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255B, Notes 1: The Lagrangian formulation of the Euler equations

16 December, 2018 in 255B - incompressible Euler equations, math.AP, math.DG | Tags: , , , | by | 16 comments

These lecture notes are a continuation of the 254A lecture notes from the previous quarter.
We consider the Euler equations for incompressible fluid flow on a Euclidean space {{\bf R}^d}; we will label {{\bf R}^d} as the “Eulerian space” {{\bf R}^d_E} (or “Euclidean space”, or “physical space”) to distinguish it from the “Lagrangian space” {{\bf R}^d_L} (or “labels space”) that we will introduce shortly (but the reader is free to also ignore the {E} or {L} subscripts if he or she wishes). Elements of Eulerian space {{\bf R}^d_E} will be referred to by symbols such as {x}, we use {dx} to denote Lebesgue measure on {{\bf R}^d_E} and we will use {x^1,\dots,x^d} for the {d} coordinates of {x}, and use indices such as {i,j,k} to index these coordinates (with the usual summation conventions), for instance {\partial_i} denotes partial differentiation along the {x^i} coordinate. (We use superscripts for coordinates {x^i} instead of subscripts {x_i} to be compatible with some differential geometry notation that we will use shortly; in particular, when using the summation notation, we will now be matching subscripts with superscripts for the pair of indices being summed.)
In Eulerian coordinates, the Euler equations read

\displaystyle \partial_t u + u \cdot \nabla u = - \nabla p \ \ \ \ \ (1)

\displaystyle \nabla \cdot u = 0

where {u: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}^d_E} is the velocity field and {p: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}} is the pressure field. These are functions of time {t \in [0,T)} and on the spatial location variable {x \in {\bf R}^d_E}. We will refer to the coordinates {(t,x) = (t,x^1,\dots,x^d)} as Eulerian coordinates. However, if one reviews the physical derivation of the Euler equations from 254A Notes 0, before one takes the continuum limit, the fundamental unknowns were not the velocity field {u} or the pressure field {p}, but rather the trajectories {(x^{(a)}(t))_{a \in A}}, which can be thought of as a single function {x: [0,T) \times A \rightarrow {\bf R}^d_E} from the coordinates {(t,a)} (where {t} is a time and {a} is an element of the label set {A}) to {{\bf R}^d}. The relationship between the trajectories {x^{(a)}(t) = x(t,a)} and the velocity field was given by the informal relationship

\displaystyle \partial_t x(t,a) \approx u( t, x(t,a) ). \ \ \ \ \ (2)

We will refer to the coordinates {(t,a)} as (discrete) Lagrangian coordinates for describing the fluid.
In view of this, it is natural to ask whether there is an alternate way to formulate the continuum limit of incompressible inviscid fluids, by using a continuous version {(t,a)} of the Lagrangian coordinates, rather than Eulerian coordinates. This is indeed the case. Suppose for instance one has a smooth solution {u, p} to the Euler equations on a spacetime slab {[0,T) \times {\bf R}^d_E} in Eulerian coordinates; assume furthermore that the velocity field {u} is uniformly bounded. We introduce another copy {{\bf R}^d_L} of {{\bf R}^d}, which we call Lagrangian space or labels space; we use symbols such as {a} to refer to elements of this space, {da} to denote Lebesgue measure on {{\bf R}^d_L}, and {a^1,\dots,a^d} to refer to the {d} coordinates of {a}. We use indices such as {\alpha,\beta,\gamma} to index these coordinates, thus for instance {\partial_\alpha} denotes partial differentiation along the {a^\alpha} coordinate. We will use summation conventions for both the Eulerian coordinates {i,j,k} and the Lagrangian coordinates {\alpha,\beta,\gamma}, with an index being summed if it appears as both a subscript and a superscript in the same term. While {{\bf R}^d_L} and {{\bf R}^d_E} are of course isomorphic, we will try to refrain from identifying them, except perhaps at the initial time {t=0} in order to fix the initialisation of Lagrangian coordinates.
Given a smooth and bounded velocity field {u: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}^d_E}, define a trajectory map for this velocity to be any smooth map {X: [0,T) \times {\bf R}^d_L \rightarrow {\bf R}^d_E} that obeys the ODE

\displaystyle \partial_t X(t,a) = u( t, X(t,a) ); \ \ \ \ \ (3)

in view of (2), this describes the trajectory (in {{\bf R}^d_E}) of a particle labeled by an element {a} of {{\bf R}^d_L}. From the Picard existence theorem and the hypothesis that {u} is smooth and bounded, such a map exists and is unique as long as one specifies the initial location {X(0,a)} assigned to each label {a}. Traditionally, one chooses the initial condition

\displaystyle X(0,a) = a \ \ \ \ \ (4)

for {a \in {\bf R}^d_L}, so that we label each particle by its initial location at time {t=0}; we are also free to specify other initial conditions for the trajectory map if we please. Indeed, we have the freedom to “permute” the labels {a \in {\bf R}^d_L} by an arbitrary diffeomorphism: if {X: [0,T) \times {\bf R}^d_L \rightarrow {\bf R}^d_E} is a trajectory map, and {\pi: {\bf R}^d_L \rightarrow{\bf R}^d_L} is any diffeomorphism (a smooth map whose inverse exists and is also smooth), then the map {X \circ \pi: [0,T) \times {\bf R}^d_L \rightarrow {\bf R}^d_E} is also a trajectory map, albeit one with different initial conditions {X(0,a)}.
Despite the popularity of the initial condition (4), we will try to keep conceptually separate the Eulerian space {{\bf R}^d_E} from the Lagrangian space {{\bf R}^d_L}, as they play different physical roles in the interpretation of the fluid; for instance, while the Euclidean metric {d\eta^2 = dx^1 dx^1 + \dots + dx^d dx^d} is an important feature of Eulerian space {{\bf R}^d_E}, it is not a geometrically natural structure to use in Lagrangian space {{\bf R}^d_L}. We have the following more general version of Exercise 8 from 254A Notes 2:

Exercise 1 Let {u: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}^d_E} be smooth and bounded.

  • If {X_0: {\bf R}^d_L \rightarrow {\bf R}^d_E} is a smooth map, show that there exists a unique smooth trajectory map {X: [0,T) \times {\bf R}^d_L \rightarrow {\bf R}^d_E} with initial condition {X(0,a) = X_0(a)} for all {a \in {\bf R}^d_L}.
  • Show that if {X_0} is a diffeomorphism and {t \in [0,T)}, then the map {X(t): a \mapsto X(t,a)} is also a diffeomorphism.

Remark 2 The first of the Euler equations (1) can now be written in the form

\displaystyle \frac{d^2}{dt^2} X(t,a) = - (\nabla p)( t, X(t,a) ) \ \ \ \ \ (5)

which can be viewed as a continuous limit of Newton’s first law {m^{(a)} \frac{d^2}{dt^2} x^{(a)}(t) = F^{(a)}(t)}.

Call a diffeomorphism {Y: {\bf R}^d_L \rightarrow {\bf R}^d_E} (oriented) volume preserving if one has the equation

\displaystyle \mathrm{det}( \nabla Y )(a) = 1 \ \ \ \ \ (6)

for all {a \in {\bf R}^d_L}, where the total differential {\nabla Y} is the {d \times d} matrix with entries {\partial_\alpha Y^i} for {\alpha = 1,\dots,d} and {i=1,\dots,d}, where {Y^1,\dots,Y^d:{\bf R}^d_L \rightarrow {\bf R}} are the components of {Y}. (If one wishes, one can also view {\nabla Y} as a linear transformation from the tangent space {T_a {\bf R}^d_L} of Lagrangian space at {a} to the tangent space {T_{Y(a)} {\bf R}^d_E} of Eulerian space at {Y(a)}.) Equivalently, {Y} is orientation preserving and one has a Jacobian-free change of variables formula

\displaystyle \int_{{\bf R}^d_F} f( Y(a) )\ da = \int_{{\bf R}^d_E} f(x)\ dx

for all {f \in C_c({\bf R}^d_E \rightarrow {\bf R})}, which is in turn equivalent to {Y(E) \subset {\bf R}^d_E} having the same Lebesgue measure as {E} for any measurable set {E \subset {\bf R}^d_L}.
The divergence-free condition {\nabla \cdot u = 0} then can be nicely expressed in terms of volume-preserving properties of the trajectory maps {X}, in a manner which confirms the interpretation of this condition as an incompressibility condition on the fluid:

Lemma 3 Let {u: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}^d_E} be smooth and bounded, let {X_0: {\bf R}^d_L \rightarrow {\bf R}^d_E} be a volume-preserving diffeomorphism, and let {X: [0,T) \times {\bf R}^d_L \rightarrow {\bf R}^d_E} be the trajectory map. Then the following are equivalent:

  • {\nabla \cdot u = 0} on {[0,T) \times {\bf R}^d_E}.
  • {X(t): {\bf R}^d_L \rightarrow {\bf R}^d_E} is volume-preserving for all {t \in [0,T)}.

Proof: Since {X_0} is orientation-preserving, we see from continuity that {X(t)} is also orientation-preserving. Suppose that {X(t)} is also volume-preserving, then for any {f \in C^\infty_c({\bf R}^d_E \rightarrow {\bf R})} we have the conservation law

\displaystyle \int_{{\bf R}^d_L} f( X(t,a) )\ da = \int_{{\bf R}^d_E} f(x)\ dx

for all {t \in [0,T)}. Differentiating in time using the chain rule and (3) we conclude that

\displaystyle \int_{{\bf R}^d_L} (u(t) \cdot \nabla f)( X(t,a)) \ da = 0

for all {t \in [0,T)}, and hence by change of variables

\displaystyle \int_{{\bf R}^d_E} (u(t) \cdot \nabla f)(x) \ dx = 0

which by integration by parts gives

\displaystyle \int_{{\bf R}^d_E} (\nabla \cdot u(t,x)) f(x)\ dx = 0

for all {f \in C^\infty_c({\bf R}^d_E \rightarrow {\bf R})} and {t \in [0,T)}, so {u} is divergence-free.
To prove the converse implication, it is convenient to introduce the labels map {A:[0,T) \times {\bf R}^d_E \rightarrow {\bf R}^d_L}, defined by setting {A(t): {\bf R}^d_E \rightarrow {\bf R}^d_L} to be the inverse of the diffeomorphism {X(t): {\bf R}^d_L \rightarrow {\bf R}^d_E}, thus

\displaystyle A(t, X(t,a)) = a

for all {(t,a) \in [0,T) \times {\bf R}^d_L}. By the implicit function theorem, {A} is smooth, and by differentiating the above equation in time using (3) we see that

\displaystyle D_t A(t,x) = 0

where {D_t} is the usual material derivative

\displaystyle D_t := \partial_t + u \cdot \nabla \ \ \ \ \ (7)

acting on functions on {[0,T) \times {\bf R}^d_E}. If {u} is divergence-free, we have from integration by parts that

\displaystyle \partial_t \int_{{\bf R}^d_E} \phi(t,x)\ dx = \int_{{\bf R}^d_E} D_t \phi(t,x)\ dx

for any test function {\phi: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}}. In particular, for any {g \in C^\infty_c({\bf R}^d_L \rightarrow {\bf R})}, we can calculate

\displaystyle \partial_t \int_{{\bf R}^d_E} g( A(t,x) )\ dx = \int_{{\bf R}^d_E} D_t (g(A(t,x)))\ dx

\displaystyle = \int_{{\bf R}^d_E} 0\ dx

and hence

\displaystyle \int_{{\bf R}^d_E} g(A(t,x))\ dx = \int_{{\bf R}^d_E} g(A(0,x))\ dx

for any {t \in [0,T)}. Since {X_0} is volume-preserving, so is {A(0)}, thus

\displaystyle \int_{{\bf R}^d_E} g \circ A(t)\ dx = \int_{{\bf R}^d_L} g\ da.

Thus {A(t)} is volume-preserving, and hence {X(t)} is also. \Box

Exercise 4 Let {M: [0,T) \rightarrow \mathrm{GL}_d({\bf R})} be a continuously differentiable map from the time interval {[0,T)} to the general linear group {\mathrm{GL}_d({\bf R})} of invertible {d \times d} matrices. Establish Jacobi’s formula

\displaystyle \partial_t \det(M(t)) = \det(M(t)) \mathrm{tr}( M(t)^{-1} \partial_t M(t) )

and use this and (6) to give an alternate proof of Lemma 3 that does not involve any integration in space.

Remark 5 One can view the use of Lagrangian coordinates as an extension of the method of characteristics. Indeed, from the chain rule we see that for any smooth function {f: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}} of Eulerian spacetime, one has

\displaystyle \frac{d}{dt} f(t,X(t,a)) = (D_t f)(t,X(t,a))

and hence any transport equation that in Eulerian coordinates takes the form

\displaystyle D_t f = g

for smooth functions {f,g: [0,T) \times {\bf R}^d_E \rightarrow {\bf R}} of Eulerian spacetime is equivalent to the ODE

\displaystyle \frac{d}{dt} F = G

where {F,G: [0,T) \times {\bf R}^d_L \rightarrow {\bf R}} are the smooth functions of Lagrangian spacetime defined by

\displaystyle F(t,a) := f(t,X(t,a)); \quad G(t,a) := g(t,X(t,a)).

In this set of notes we recall some basic differential geometry notation, particularly with regards to pullbacks and Lie derivatives of differential forms and other tensor fields on manifolds such as {{\bf R}^d_E} and {{\bf R}^d_L}, and explore how the Euler equations look in this notation. Our discussion will be entirely formal in nature; we will assume that all functions have enough smoothness and decay at infinity to justify the relevant calculations. (It is possible to work rigorously in Lagrangian coordinates – see for instance the work of Ebin and Marsden – but we will not do so here.) As a general rule, Lagrangian coordinates tend to be somewhat less convenient to use than Eulerian coordinates for establishing the basic analytic properties of the Euler equations, such as local existence, uniqueness, and continuous dependence on the data; however, they are quite good at clarifying the more algebraic properties of these equations, such as conservation laws and the variational nature of the equations. It may well be that in the future we will be able to use the Lagrangian formalism more effectively on the analytic side of the subject also.

Remark 6 One can also write the Navier-Stokes equations in Lagrangian coordinates, but the equations are not expressed in a favourable form in these coordinates, as the Laplacian {\Delta} appearing in the viscosity term becomes replaced with a time-varying Laplace-Beltrami operator. As such, we will not discuss the Lagrangian coordinate formulation of Navier-Stokes here.

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Noether’s theorem, and the conservation laws for the Euler equations

2 March, 2014 in expository, math.AP, math.CA | Tags: , , , , , | by | 19 comments

Throughout this post, we will work only at the formal level of analysis, ignoring issues of convergence of integrals, justifying differentiation under the integral sign, and so forth. (Rigorous justification of the conservation laws and other identities arising from the formal manipulations below can usually be established in an a posteriori fashion once the identities are in hand, without the need to rigorously justify the manipulations used to come up with these identities).

It is a remarkable fact in the theory of differential equations that many of the ordinary and partial differential equations that are of interest (particularly in geometric PDE, or PDE arising from mathematical physics) admit a variational formulation; thus, a collection {\Phi: \Omega \rightarrow M} of one or more fields on a domain {\Omega} taking values in a space {M} will solve the differential equation of interest if and only if {\Phi} is a critical point to the functional

\displaystyle J[\Phi] := \int_\Omega L( x, \Phi(x), D\Phi(x) )\ dx \ \ \ \ \ (1)

involving the fields {\Phi} and their first derivatives {D\Phi}, where the Lagrangian {L: \Sigma \rightarrow {\bf R}} is a function on the vector bundle {\Sigma} over {\Omega \times M} consisting of triples {(x, q, \dot q)} with {x \in \Omega}, {q \in M}, and {\dot q: T_x \Omega \rightarrow T_q M} a linear transformation; we also usually keep the boundary data of {\Phi} fixed in case {\Omega} has a non-trivial boundary, although we will ignore these issues here. (We also ignore the possibility of having additional constraints imposed on {\Phi} and {D\Phi}, which require the machinery of Lagrange multipliers to deal with, but which will only serve as a distraction for the current discussion.) It is common to use local coordinates to parameterise {\Omega} as {{\bf R}^d} and {M} as {{\bf R}^n}, in which case {\Sigma} can be viewed locally as a function on {{\bf R}^d \times {\bf R}^n \times {\bf R}^{dn}}.

Example 1 (Geodesic flow) Take {\Omega = [0,1]} and {M = (M,g)} to be a Riemannian manifold, which we will write locally in coordinates as {{\bf R}^n} with metric {g_{ij}(q)} for {i,j=1,\dots,n}. A geodesic {\gamma: [0,1] \rightarrow M} is then a critical point (keeping {\gamma(0),\gamma(1)} fixed) of the energy functional

\displaystyle J[\gamma] := \frac{1}{2} \int_0^1 g_{\gamma(t)}( D\gamma(t), D\gamma(t) )\ dt

or in coordinates (ignoring coordinate patch issues, and using the usual summation conventions)

\displaystyle J[\gamma] = \frac{1}{2} \int_0^1 g_{ij}(\gamma(t)) \dot \gamma^i(t) \dot \gamma^j(t)\ dt.

As discussed in this previous post, both the Euler equations for rigid body motion, and the Euler equations for incompressible inviscid flow, can be interpreted as geodesic flow (though in the latter case, one has to work really formally, as the manifold {M} is now infinite dimensional).

More generally, if {\Omega = (\Omega,h)} is itself a Riemannian manifold, which we write locally in coordinates as {{\bf R}^d} with metric {h_{ab}(x)} for {a,b=1,\dots,d}, then a harmonic map {\Phi: \Omega \rightarrow M} is a critical point of the energy functional

\displaystyle J[\Phi] := \frac{1}{2} \int_\Omega h(x) \otimes g_{\gamma(x)}( D\gamma(x), D\gamma(x) )\ dh(x)

or in coordinates (again ignoring coordinate patch issues)

\displaystyle J[\Phi] = \frac{1}{2} \int_{{\bf R}^d} h_{ab}(x) g_{ij}(\Phi(x)) (\partial_a \Phi^i(x)) (\partial_b \Phi^j(x))\ \sqrt{\det(h(x))}\ dx.

If we replace the Riemannian manifold {\Omega} by a Lorentzian manifold, such as Minkowski space {{\bf R}^{1+3}}, then the notion of a harmonic map is replaced by that of a wave map, which generalises the scalar wave equation (which corresponds to the case {M={\bf R}}).

Example 2 ({N}-particle interactions) Take {\Omega = {\bf R}} and {M = {\bf R}^3 \otimes {\bf R}^N}; then a function {\Phi: \Omega \rightarrow M} can be interpreted as a collection of {N} trajectories {q_1,\dots,q_N: {\bf R} \rightarrow {\bf R}^3} in space, which we give a physical interpretation as the trajectories of {N} particles. If we assign each particle a positive mass {m_1,\dots,m_N > 0}, and also introduce a potential energy function {V: M \rightarrow {\bf R}}, then it turns out that Newton’s laws of motion {F=ma} in this context (with the force {F_i} on the {i^{th}} particle being given by the conservative force {-\nabla_{q_i} V}) are equivalent to the trajectories {q_1,\dots,q_N} being a critical point of the action functional

\displaystyle J[\Phi] := \int_{\bf R} \sum_{i=1}^N \frac{1}{2} m_i |\dot q_i(t)|^2 - V( q_1(t),\dots,q_N(t) )\ dt.

Formally, if {\Phi = \Phi_0} is a critical point of a functional {J[\Phi]}, this means that

\displaystyle \frac{d}{ds} J[ \Phi[s] ]|_{s=0} = 0

whenever {s \mapsto \Phi[s]} is a (smooth) deformation with {\Phi[0]=\Phi_0} (and with {\Phi[s]} respecting whatever boundary conditions are appropriate). Interchanging the derivative and integral, we (formally, at least) arrive at

\displaystyle \int_\Omega \frac{d}{ds} L( x, \Phi[s](x), D\Phi[s](x) )|_{s=0}\ dx = 0. \ \ \ \ \ (2)

Write {\delta \Phi := \frac{d}{ds} \Phi[s]|_{s=0}} for the infinitesimal deformation of {\Phi_0}. By the chain rule, {\frac{d}{ds} L( x, \Phi[s](x), D\Phi[s](x) )|_{s=0}} can be expressed in terms of {x, \Phi_0(x), \delta \Phi(x), D\Phi_0(x), D \delta \Phi(x)}. In coordinates, we have

\displaystyle \frac{d}{ds} L( x, \Phi[s](x), D\Phi[s](x) )|_{s=0} = \delta \Phi^i(x) L_{q^i}(x,\Phi_0(x), D\Phi_0(x)) \ \ \ \ \ (3)

\displaystyle + \partial_{x^a} \delta \Phi^i(x) L_{\partial_{x^a} q^i} (x,\Phi_0(x), D\Phi_0(x)),

where we parameterise {\Sigma} by {x, (q^i)_{i=1,\dots,n}, (\partial_{x^a} q^i)_{a=1,\dots,d; i=1,\dots,n}}, and we use subscripts on {L} to denote partial derivatives in the various coefficients. (One can of course work in a coordinate-free manner here if one really wants to, but the notation becomes a little cumbersome due to the need to carefully split up the tangent space of {\Sigma}, and we will not do so here.) Thus we can view (2) as an integral identity that asserts the vanishing of a certain integral, whose integrand involves {x, \Phi_0(x), \delta \Phi(x), D\Phi_0(x), D \delta \Phi(x)}, where {\delta \Phi} vanishes at the boundary but is otherwise unconstrained.

A general rule of thumb in PDE and calculus of variations is that whenever one has an integral identity of the form {\int_\Omega F(x)\ dx = 0} for some class of functions {F} that vanishes on the boundary, then there must be an associated differential identity {F = \hbox{div} X} that justifies this integral identity through Stokes’ theorem. This rule of thumb helps explain why integration by parts is used so frequently in PDE to justify integral identities. The rule of thumb can fail when one is dealing with “global” or “cohomologically non-trivial” integral identities of a topological nature, such as the Gauss-Bonnet or Kazhdan-Warner identities, but is quite reliable for “local” or “cohomologically trivial” identities, such as those arising from calculus of variations.

In any case, if we apply this rule to (2), we expect that the integrand {\frac{d}{ds} L( x, \Phi[s](x), D\Phi[s](x) )|_{s=0}} should be expressible as a spatial divergence. This is indeed the case:

Proposition 1 (Formal) Let {\Phi = \Phi_0} be a critical point of the functional {J[\Phi]} defined in (1). Then for any deformation {s \mapsto \Phi[s]} with {\Phi[0] = \Phi_0}, we have

\displaystyle \frac{d}{ds} L( x, \Phi[s](x), D\Phi[s](x) )|_{s=0} = \hbox{div} X \ \ \ \ \ (4)

where {X} is the vector field that is expressible in coordinates as

\displaystyle X^a := \delta \Phi^i(x) L_{\partial_{x^a} q^i}(x,\Phi_0(x), D\Phi_0(x)). \ \ \ \ \ (5)

Proof: Comparing (4) with (3), we see that the claim is equivalent to the Euler-Lagrange equation

\displaystyle L_{q^i}(x,\Phi_0(x), D\Phi_0(x)) - \partial_{x^a} L_{\partial_{x^a} q^i}(x,\Phi_0(x), D\Phi_0(x)) = 0. \ \ \ \ \ (6)

The same computation, together with an integration by parts, shows that (2) may be rewritten as

\displaystyle \int_\Omega ( L_{q^i}(x,\Phi_0(x), D\Phi_0(x)) - \partial_{x^a} L_{\partial_{x^a} q^i}(x,\Phi_0(x), D\Phi_0(x)) ) \delta \Phi^i(x)\ dx = 0.

Since {\delta \Phi^i(x)} is unconstrained on the interior of {\Omega}, the claim (6) follows (at a formal level, at least). \Box

Many variational problems also enjoy one-parameter continuous symmetries: given any field {\Phi_0} (not necessarily a critical point), one can place that field in a one-parameter family {s \mapsto \Phi[s]} with {\Phi[0] = \Phi_0}, such that

\displaystyle J[ \Phi[s] ] = J[ \Phi[0] ]

for all {s}; in particular,

\displaystyle \frac{d}{ds} J[ \Phi[s] ]|_{s=0} = 0,

which can be written as (2) as before. Applying the previous rule of thumb, we thus expect another divergence identity

\displaystyle \frac{d}{ds} L( x, \Phi[s](x), D\Phi[s](x) )|_{s=0} = \hbox{div} Y \ \ \ \ \ (7)

whenever {s \mapsto \Phi[s]} arises from a continuous one-parameter symmetry. This expectation is indeed the case in many examples. For instance, if the spatial domain {\Omega} is the Euclidean space {{\bf R}^d}, and the Lagrangian (when expressed in coordinates) has no direct dependence on the spatial variable {x}, thus

\displaystyle L( x, \Phi(x), D\Phi(x) ) = L( \Phi(x), D\Phi(x) ), \ \ \ \ \ (8)

then we obtain {d} translation symmetries

\displaystyle \Phi[s](x) := \Phi(x - s e^a )

for {a=1,\dots,d}, where {e^1,\dots,e^d} is the standard basis for {{\bf R}^d}. For a fixed {a}, the left-hand side of (7) then becomes

\displaystyle \frac{d}{ds} L( \Phi(x-se^a), D\Phi(x-se^a) )|_{s=0} = -\partial_{x^a} [ L( \Phi(x), D\Phi(x) ) ]

\displaystyle = \hbox{div} Y

where {Y(x) = - L(\Phi(x), D\Phi(x)) e^a}. Another common type of symmetry is a pointwise symmetry, in which

\displaystyle L( x, \Phi[s](x), D\Phi[s](x) ) = L( x, \Phi[0](x), D\Phi[0](x) ) \ \ \ \ \ (9)

for all {x}, in which case (7) clearly holds with {Y=0}.

If we subtract (4) from (7), we obtain the celebrated theorem of Noether linking symmetries with conservation laws:

Theorem 2 (Noether’s theorem) Suppose that {\Phi_0} is a critical point of the functional (1), and let {\Phi[s]} be a one-parameter continuous symmetry with {\Phi[0] = \Phi_0}. Let {X} be the vector field in (5), and let {Y} be the vector field in (7). Then we have the pointwise conservation law

\displaystyle \hbox{div}(X-Y) = 0.

In particular, for one-dimensional variational problems, in which {\Omega \subset {\bf R}}, we have the conservation law {(X-Y)(t) = (X-Y)(0)} for all {t \in \Omega} (assuming of course that {\Omega} is connected and contains {0}).

Noether’s theorem gives a systematic way to locate conservation laws for solutions to variational problems. For instance, if {\Omega \subset {\bf R}} and the Lagrangian has no explicit time dependence, thus

\displaystyle L(t, \Phi(t), \dot \Phi(t)) = L(\Phi(t), \dot \Phi(t)),

then by using the time translation symmetry {\Phi[s](t) := \Phi(t-s)}, we have

\displaystyle Y(t) = - L( \Phi(t), \dot\Phi(t) )

as discussed previously, whereas we have {\delta \Phi(t) = - \dot \Phi(t)}, and hence by (5)

\displaystyle X(t) := - \dot \Phi^i(x) L_{\dot q^i}(\Phi(t), \dot \Phi(t)),

and so Noether’s theorem gives conservation of the Hamiltonian

\displaystyle H(t) := \dot \Phi^i(x) L_{\dot q^i}(\Phi(t), \dot \Phi(t))- L(\Phi(t), \dot \Phi(t)). \ \ \ \ \ (10)

For instance, for geodesic flow, the Hamiltonian works out to be

\displaystyle H(t) = \frac{1}{2} g_{ij}(\gamma(t)) \dot \gamma^i(t) \dot \gamma^j(t),

so we see that the speed of the geodesic is conserved over time.

For pointwise symmetries (9), {Y} vanishes, and so Noether’s theorem simplifies to {\hbox{div} X = 0}; in the one-dimensional case {\Omega \subset {\bf R}}, we thus see from (5) that the quantity

\displaystyle \delta \Phi^i(t) L_{\dot q^i}(t,\Phi_0(t), \dot \Phi_0(t)) \ \ \ \ \ (11)

is conserved in time. For instance, for the {N}-particle system in Example 2, if we have the translation invariance

\displaystyle V( q_1 + h, \dots, q_N + h ) = V( q_1, \dots, q_N )

for all {q_1,\dots,q_N,h \in {\bf R}^3}, then we have the pointwise translation symmetry

\displaystyle q_i[s](t) := q_i(t) + s e^j

for all {i=1,\dots,N}, {s \in{\bf R}} and some {j=1,\dots,3}, in which case {\dot q_i(t) = e^j}, and the conserved quantity (11) becomes

\displaystyle \sum_{i=1}^n m_i \dot q_i^j(t);

as {j=1,\dots,3} was arbitrary, this establishes conservation of the total momentum

\displaystyle \sum_{i=1}^n m_i \dot q_i(t).

Similarly, if we have the rotation invariance

\displaystyle V( R q_1, \dots, Rq_N ) = V( q_1, \dots, q_N )

for any {q_1,\dots,q_N \in {\bf R}^3} and {R \in SO(3)}, then we have the pointwise rotation symmetry

\displaystyle q_i[s](t) := \exp( s A ) q_i(t)

for any skew-symmetric real {3 \times 3} matrix {A}, in which case {\dot q_i(t) = A q_i(t)}, and the conserved quantity (11) becomes

\displaystyle \sum_{i=1}^n m_i \langle A q_i(t), \dot q_i(t) \rangle;

since {A} is an arbitrary skew-symmetric matrix, this establishes conservation of the total angular momentum

\displaystyle \sum_{i=1}^n m_i q_i(t) \wedge \dot q_i(t).

Below the fold, I will describe how Noether’s theorem can be used to locate all of the conserved quantities for the Euler equations of inviscid fluid flow, discussed in this previous post, by interpreting that flow as geodesic flow in an infinite dimensional manifold.

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The Euler-Arnold equation

7 June, 2010 in expository, math.AP, math.DG, math.DS | Tags: , , , , | by | 30 comments

A (smooth) Riemannian manifold is a smooth manifold {M} without boundary, equipped with a Riemannian metric {{\rm g}}, which assigns a length {|v|_{{\rm g}(x)} \in {\bf R}^+} to every tangent vector {v \in T_x M} at a point {x \in M}, and more generally assigns an inner product

\displaystyle \langle v, w \rangle_{{\rm g}(x)} \in {\bf R}

to every pair of tangent vectors {v, w \in T_x M} at a point {x \in M}. (We use Roman font for {g} here, as we will need to use {g} to denote group elements later in this post.) This inner product is assumed to symmetric, positive definite, and smoothly varying in {x}, and the length is then given in terms of the inner product by the formula

\displaystyle |v|_{{\rm g}(x)}^2 := \langle v, v \rangle_{{\rm g}(x)}.

In coordinates (and also using abstract index notation), the metric {{\rm g}} can be viewed as an invertible symmetric rank {(0,2)} tensor {{\rm g}_{ij}(x)}, with

\displaystyle \langle v, w \rangle_{{\rm g}(x)} = {\rm g}_{ij}(x) v^i w^j.

One can also view the Riemannian metric as providing a (self-adjoint) identification between the tangent bundle {TM} of the manifold and the cotangent bundle {T^* M}; indeed, every tangent vector {v \in T_x M} is then identified with the cotangent vector {\iota_{TM \rightarrow T^* M}(v) \in T_x^* M}, defined by the formula

\displaystyle \iota_{TM \rightarrow T^* M}(v)(w) := \langle v, w \rangle_{{\rm g}(x)}.

In coordinates, {\iota_{TM \rightarrow T^* M}(v)_i = {\rm g}_{ij} v^j}.

A fundamental dynamical system on the tangent bundle (or equivalently, the cotangent bundle, using the above identification) of a Riemannian manifold is that of geodesic flow. Recall that geodesics are smooth curves {\gamma: [a,b] \rightarrow M} that minimise the length

\displaystyle |\gamma| := \int_a^b |\gamma'(t)|_{{\rm g}(\gamma(t))}\ dt.

There is some degeneracy in this definition, because one can reparameterise the curve {\gamma} without affecting the length. In order to fix this degeneracy (and also because the square of the speed is a more tractable quantity analytically than the speed itself), it is better if one replaces the length with the energy

\displaystyle E(\gamma) := \frac{1}{2} \int_a^b |\gamma'(t)|_{{\rm g}(\gamma(t))}^2\ dt.

Minimising the energy of a parameterised curve {\gamma} turns out to be the same as minimising the length, together with an additional requirement that the speed {|\gamma'(t)|_{{\rm g}(\gamma(t))}} stay constant in time. Minimisers (and more generally, critical points) of the energy functional (holding the endpoints fixed) are known as geodesic flows. From a physical perspective, geodesic flow governs the motion of a particle that is subject to no external forces and thus moves freely, save for the constraint that it must always lie on the manifold {M}.

One can also view geodesic flows as a dynamical system on the tangent bundle (with the state at any time {t} given by the position {\gamma(t) \in M} and the velocity {\gamma'(t) \in T_{\gamma(t)} M}) or on the cotangent bundle (with the state then given by the position {\gamma(t) \in M} and the momentum {\iota_{TM \rightarrow T^* M}( \gamma'(t) ) \in T_{\gamma(t)}^* M}). With the latter perspective (sometimes referred to as cogeodesic flow), geodesic flow becomes a Hamiltonian flow, with Hamiltonian {H: T^* M \rightarrow {\bf R}} given as

\displaystyle H( x, p ) := \frac{1}{2} \langle p, p \rangle_{{\rm g}(x)^{-1}} = \frac{1}{2} {\rm g}^{ij}(x) p_i p_j

where {\langle ,\rangle_{{\rm g}(x)^{-1}}: T^*_x M \times T^*_x M \rightarrow {\bf R}} is the inverse inner product to {\langle, \rangle_{{\rm g}(x)}: T_x M \times T_x M \rightarrow {\bf R}}, which can be defined for instance by the formula

\displaystyle \langle p_1, p_2 \rangle_{{\rm g}(x)^{-1}} = \langle \iota_{TM \rightarrow T^* M}^{-1}(p_1), \iota_{TM \rightarrow T^* M}^{-1}(p_2)\rangle_{{\rm g}(x)}.

In coordinates, geodesic flow is given by Hamilton’s equations of motion

\displaystyle \frac{d}{dt} x^i = {\rm g}^{ij} p_j; \quad \frac{d}{dt} p_i = - \frac{1}{2} (\partial_i {\rm g}^{jk}(x)) p_j p_k.

In terms of the velocity {v^i := \frac{d}{dt} x^i = {\rm g}^{ij} p_j}, we can rewrite these equations as the geodesic equation

\displaystyle \frac{d}{dt} v^i = - \Gamma^i_{jk} v^j v^k

where

\displaystyle \Gamma^i_{jk} = \frac{1}{2} {\rm g}^{im} (\partial_k {\rm g}_{mj} + \partial_j {\rm g}_{mk} - \partial_m {\rm g}_{jk} )

are the Christoffel symbols; using the Levi-Civita connection {\nabla}, this can be written more succinctly as

\displaystyle (\gamma^* \nabla)_t v = 0.

If the manifold {M} is an embedded submanifold of a larger Euclidean space {R^n}, with the metric {{\rm g}} on {M} being induced from the standard metric on {{\bf R}^n}, then the geodesic flow equation can be rewritten in the equivalent form

\displaystyle \gamma''(t) \perp T_{\gamma(t)} M,

where {\gamma} is now viewed as taking values in {{\bf R}^n}, and {T_{\gamma(t)} M} is similarly viewed as a subspace of {{\bf R}^n}. This is intuitively obvious from the geometric interpretation of geodesics: if the curvature of a curve {\gamma} contains components that are transverse to the manifold rather than normal to it, then it is geometrically clear that one should be able to shorten the curve by shifting it along the indicated transverse direction. It is an instructive exercise to rigorously formulate the above intuitive argument. This fact also conforms well with one’s physical intuition of geodesic flow as the motion of a free particle constrained to be in {M}; the normal quantity {\gamma''(t)} then corresponds to the centripetal force necessary to keep the particle lying in {M} (otherwise it would fly off along a tangent line to {M}, as per Newton’s first law). The precise value of the normal vector {\gamma''(t)} can be computed via the second fundamental form as {\gamma''(t) = \Pi_{\gamma(t)}( \gamma'(t), \gamma'(t) )}, but we will not need this formula here.

In a beautiful paper from 1966, Vladimir Arnold (who, sadly, passed away last week), observed that many basic equations in physics, including the Euler equations of motion of a rigid body, and also (by which is a priori a remarkable coincidence) the Euler equations of fluid dynamics of an inviscid incompressible fluid, can be viewed (formally, at least) as geodesic flows on a (finite or infinite dimensional) Riemannian manifold. And not just any Riemannian manifold: the manifold is a Lie group (or, to be truly pedantic, a torsor of that group), equipped with a right-invariant (or left-invariant, depending on one’s conventions) metric. In the context of rigid bodies, the Lie group is the group {SE(3) = {\bf R}^3 \rtimes SO(3)} of rigid motions; in the context of incompressible fluids, it is the group {Sdiff({\bf R}^3}) of measure-preserving diffeomorphisms. The right-invariance makes the Hamiltonian mechanics of geodesic flow in this context (where it is sometimes known as the Euler-Arnold equation or the Euler-Poisson equation) quite special; it becomes (formally, at least) completely integrable, and also indicates (in principle, at least) a way to reformulate these equations in a Lax pair formulation. And indeed, many further completely integrable equations, such as the Korteweg-de Vries equation, have since been reinterpreted as Euler-Arnold flows.

From a physical perspective, this all fits well with the interpretation of geodesic flow as the free motion of a system subject only to a physical constraint, such as rigidity or incompressibility. (I do not know, though, of a similarly intuitive explanation as to why the Korteweg de Vries equation is a geodesic flow.)

One consequence of being a completely integrable system is that one has a large number of conserved quantities. In the case of the Euler equations of motion of a rigid body, the conserved quantities are the linear and angular momentum (as observed in an external reference frame, rather than the frame of the object). In the case of the two-dimensional Euler equations, the conserved quantities are the pointwise values of the vorticity (as viewed in Lagrangian coordinates, rather than Eulerian coordinates). In higher dimensions, the conserved quantity is now the (Hodge star of) the vorticity, again viewed in Lagrangian coordinates. The vorticity itself then evolves by the vorticity equation, and is subject to vortex stretching as the diffeomorphism between the initial and final state becomes increasingly sheared.

The elegant Euler-Arnold formalism is reasonably well-known in some circles (particularly in Lagrangian and symplectic dynamics, where it can be viewed as a special case of the Euler-Poincaré formalism or Lie-Poisson formalism respectively), but not in others; I for instance was only vaguely aware of it until recently, and I think that even in fluid mechanics this perspective to the subject is not always emphasised. Given the circumstances, I thought it would therefore be appropriate to present Arnold’s original 1966 paper here. (For a more modern treatment of these topics, see the books of Arnold-Khesin and Marsden-Ratiu.)

In order to avoid technical issues, I will work formally, ignoring questions of regularity or integrability, and pretending that infinite-dimensional manifolds behave in exactly the same way as their finite-dimensional counterparts. In the finite-dimensional setting, it is not difficult to make all of the formal discussion below rigorous; but the situation in infinite dimensions is substantially more delicate. (Indeed, it is a notorious open problem whether the Euler equations for incompressible fluids even forms a global continuous flow in a reasonable topology in the first place!) However, I do not want to discuss these analytic issues here; see this paper of Ebin and Marsden for a treatment of these topics.

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