Der Sommer des Jahrhunderts

Vor einigen Jahren ist ein Trend gestartet, ganze Bücher über einzelne Jahre zu schreiben. Mit diesen Büchern soll der „runden Geburtstage“ großer Ereignisse gedacht werden, etwa der 100-sten Wiederkehr des Ersten Weltkriegs, der 200-sten Wiederkehr des Wiener Kongresses oder 50-sten Wiederkehr der Studentenrevolution. In diese Reihe passt auch das Buch 1913 – Der Sommer des Jahrhunderts von Florian Illies. Es unterscheidet sich aber dadurch, dass es sich nicht um ein historisches Überblickswerk handelt. Im Gegenteil ist es ein locker zusammengestelltes Kaleidoskop feuilletonistischer Episoden aus dem Jahr 1913, einem Jahr, das im Wesentlichen nur durch das Hintergrundwissen über das darauffolgende Jahr von Relevanz ist.

Ich selbst habe mir inmitten des Hypes rund um 2013 dieses Buch aus Neugier gekauft und es damals nicht bereut. Jetzt habe ich es aus einer Laune heraus wieder gelesen und werde lebhaft an den Satz erinnert: Ein Buch, das man ein einziges Mal gelesen hat, hat man entweder einmal zu oft oder einmal zu wenig gelesen. Hier ist letzteres der Fall: es verbergen sich eine Menge kleine Perlen in diesem Buch, die sich erst durch mehrmaliges Lesen wirklich erkennen lassen: lege, lege, relege et invenies. Und kurzweilig ist es außerdem noch. Es verleitet durch die Kürze seiner unzähligen Episoden ein wenig dazu, es in vielen sehr kurzen Abschnitten zu lesen. Das ist möglich, aber nicht klug. Seine Pracht entfaltet das Kaleidoskop dadurch, dass es seine ganze Vielfalt aufzeigt – das ist nur möglich durch die Wahrnehmung all der vielen Episoden nebeneinander.

Illies schreibt mit allen literarischen Methoden, die ihm ein Roman an die Hand geben würde. Neben seinen diversen wiederkehrenden Figuren verwendet er auch allerhand Stilmittel und greift episodenübergreifend Themen auf – so etwa das Zitat „Der Rest ist Schweigen“ aus dem akademischen Disput zwischen Freud und C.G.Jung, der zu Jahresbeginn ausbricht und sich nie wieder kitten lässt. Der Satz „Der Rest ist Schweigen“ taucht in der Folge immer wieder unvermittelt, aber nicht unpassend, auf und spannt so den Bogen über viele Schauplätze und über das ganze Jahr hinweg. Tatsächlich wird das Buch in einigen Rezensionen als Roman bezeichnet, es trägt aber vollkommen zurecht nicht diese Selbstbezeichnung und ist in der Spiegel-Bestsellerliste unter den Sachbüchern geführt worden.

Es kann kaum verwundern, dass das Buch dem Feuilleton entnommen zu sein scheint: der Autor Illies war jahrelang Leiter des Feuilletons der FAZ. Ähnliche Beobachtungen wie er sie über das Jahr vor Ausbruch des Ersten Weltkriegs gesammelt hat, hat er bereits aus anderer Perspektive über seine eigene Jugendzeit angestellt: in seinem Erstlingswerk Generation Golf.

Illies entwirft ein Panorama des Jahres 1913, nach Monaten geordnet und mit wiederkehrenden Hauptpersonen. Sein Grundgerüst entnimmt er wahren Begebenheiten, die er leicht ausschmückt und mit sparsamer Erfindung ergänzt. Auf diese Weise entstehen hübsche Charakterstudien etwa von Franz Kafka, Ernst Jünger und Sigmund Freud, auf deren Spuren sich Illies begibt. Er wechselt zwischen den damals schon berühmten Persönlichkeiten wie Freud, Einstein oder Albert Schweitzer hin und her, und er bezieht auch solche Personen ein, die 1913 noch vollkommen unbekannt waren und erst später relevant für den Lauf der Welt werden sollen: neben Kafka etwa auch Hitler und Stalin. Von letzteren beiden erfindet Illies die Episode, dass sie sich im Januar 1913 bei einem Spaziergang durch Wien getroffen haben könnten – unstreitig ist der Fakt, dass beide sich niemals so nahe gekommen sind wie in diesem Monat.

Famos ist die enge Begleitung Kafkas durch das Jahr, die vor allem durch seine umfangreiche Korrespondenz mit seiner Verlobten Felice Bauer möglich wird. Prompt als die beiden sich ein Wochenende lang persönlich treffen lässt sich nichts mehr über sie aussagen, da in diesem Moment keine Briefe geschrieben werden. Aber abgesehen von diesen wenigen Tagen ergibt sich eine 360°-Ansicht von einem gnadenlos neurotischen und unsicheren Kafka, der sogar in seinem Heiratsantrag seitenweise Gründe aufzählt, warum Felice ihn unter keinen Umständen heiraten sollte (was sie auch nicht getan hat).

Überhaupt bewegen sich unverhältnismäßig viele der Akteure des Buches im Künstlermilieu, es tritt zwar der deutsche Kaiser, nicht aber sein Reichskanzler auf (nicht, dass das ein Verlust wäre). Das ist dem Feuilleton-Charakter des Buches geschuldet, erfordert aber eine gewisse Wikipedia-Zeit vom nur allgemeingebildeten Leser, der sich eben nicht tiefgehend in der Kunstgeschichte des Kubismus und Futurismus auskennt. Auch Details über die Literatenfamilie Mann (in der Thomas gerade den Zauberberg beginnt und Heinrich soeben den Untertan beendet), den Wiener Dichter Georg Trakl oder über den Lehrer James Joyce (der in Triest zu seinem Ulysses ermutigt wird, den er im Folgejahr tatsächlich in Angriff nimmt) lassen sich durch ein gewisses Fundament in der Wikipedia besser verkraften.

Ein schöner selbstreflexiver Moment des Buchs ist die Bemerkung, dass in diesem Jahr 1913 der Schöpfer des Kulturfahrplans geboren wird. In tabellarischer Form wäre Illies‘ Werk in den Kulturfahrplan zu gießen, und mit etwas literarischer Ausschmückung entspräche der Kulturfahrplan dem Buch von Illies. Ein wirklich ästhetischer Fixpunkt für meinen Geschmack.

Meistens hält Illies eine strenge zeitgenössische Perspektive ein. Was nach 1913 geschieht, ist seinen Akteuren unbekannt und wird auch durch ihn selbst meist ausgeblendet. Hin und wieder bricht er jedoch auch diesem Korsett aus, mal augenzwinkernd, mal prophetisch. Er erreicht dadurch den Verweis darauf, dass das Jahr erst im Kontrast zum Ersten Weltkrieg heute noch von Interesse ist (sicherlich hätte das Jahr 1912 mehr spektakuläre Ereignisse zu bieten gehabt – aber sein Abstand zum Weltkrieg ist größer, und sicher gewinnt das Buch gerade durch die Belanglosigkeit und Alltäglichkeit vieler seiner Inhalte).

Gelegentlich begibt Illies sich in die Vogelperspektive und blickt etwa losgelöst von allen Episoden auf die vier Zentren der Moderne (Paris, Berlin, München und Wien) und deren unterschiedliche Sicht auf die Welt. Ein anderes Mal zitiert er den Kunstkritiker Meier-Graefe und entspinnt daraus die treffende (und beinahe atemlose) Erkenntnis: „‘Bei dem Namen Picasso wird der Historiker der Zukunft stillhalten und feststellen: Hier hörte es auf.‘ Ende. Unvorstellbar, dass es nach der Formzertrümmerung des Kubismus noch einmal weitergehen könnte. Der große Autor, der vielleicht feurigste kunstkritische Stilist des Jahrhunderts, der ein Meister des Erzählens der ‚Entwicklung‘ der Kunst war, der sieht sie, ganz nüchtern, jetzt an ihr Ende gekommen. Dort, wo wir heute ihren Anfang sehen.

Das Kaleidoskop von 1913 setzt sich mit der Zeit zu einem Gesamtbild, einem Panorama der Epoche zusammen. Die Zeit vor dem Ersten Weltkrieg ist hoch ambivalent, das macht ihren Reiz aus heutiger Betrachtung aus: sowohl hochmodern als auch rückwärtsgewandt; sowohl moralisch streng konservativ als auch alle Grenzen testend und überschreitend. Ganz richtig beschwört Illies nicht den „Abendglanz“, der in der Rückschau gern herbeigerufen wird: in der Sicht der Zeitgenossen war das Ende ihrer Welt durch den Krieg nicht absehbar, im Gegenteil. Ein großer Krieg galt als zunehmend unwahrscheinlich, die Welt und die Wirtschaft waren fast wie in heutiger Zeit verflochten und vernetzt. Die Kultur schritt von Höhepunkt zu Höhepunkt voran, das Fin de Siècle war vorbei, die vielen Kunstrichtungen gingen voran und wurden zunehmend abstrakter.

Eine gewisse Untergangsstimmung will Illies sich aber nicht entgehen lassen. Er zitiert die Weltuntergangsszenarien, von denen C.G.Jung träumt, und er führt eine zeitgenössische Novelle an, in der ein spannungsreiches Duell beschrieben wird, „empfindlich und feinschalig wie eine Frucht, die auf dem Südhange gereift ist“ – daraus macht er 1913 zum Jahr „am Südhang der Geschichte“. Als wollte er den Untergang am Horizont sehen können, der für die Zeitgenossen unsichtbar sein musste. Aber die latente Depression muss er bei seinen Künstlern nicht lange suchen, die Empfindsamkeit ist ihnen angesichts der immer weiter voranstürmenden Moderne ganz natürlich zu eigen. Und in der Tat waren einige Zeitgenossen ihrer Umwelt überdrüssig; in welcher Gestalt auch immer sie eine Veränderung wollten.

Das soll für den groben Eindruck genügen. Alles Weitere lässt sich nur durch das Buch selbst erleben – und erleben muss man das Buch, sodass man tatsächlich in das Jahr 1913 eintauchen kann (oder das, was Illies durch seine Auswahl und seinen Blickwinkel daraus gemacht hat). Ein Buch, das sich mit ein wenig Abstand wieder lohnen wird zu lesen.

Brouwer’s Fixed Point Theorem

Recently, we have concluded the text on the Transformation formula, remarking that it was a tool in an elementary proof of Brouwer’s Fixed Point Theorem. Let’s have a closer look at that.

Brouwer’s Fixed Point Theorem is at the core of many insights in topology and functional analysis. As many other powerful theorems, it can be stated and understood very easily, however the proof is quite deep. In particular, the conclusions that are drawn from it, are considered even deeper. As we shall see, Brouwer’s theorem can be shown in an elementary fashion, where the Transformation Formula, the Inverse Function Theorem and Weierstrass’ Approximation Theorem are the toughest stepping stones; note that we have given a perfectly elementary proof of Weierstrass’ Theorem before. This makes Brouwer’s theorem accessible to undergraduate calculus students (even though, of course, these stepping stones already mean bringing the big guns to the fight). The downside is that the proof, even though elementary, is quite long-ish. The undergraduate student needs to exercise some patience.

 

Theorem (Brouwer, 1910): Let K:=\{x\in\mathbb{R}^p\colon \left|x\right|\leq1\} be the compact unit ball, and let f:K\to K be continuous. Then f has a fixed point, i.e. there is some x\in K such that f(x)=x.

 

There are many generalizations of the Theorem, considering more complex sets instead of K, and taking place in the infinite-dimensional space. We shall get back to that later. First, we shall look at a perfectly trivial and then a slightly less trivial special case.

 

For p=1, the statement asks to find a fixed point for the continuous mapping f:[0,1]\to[0,1]. W.l.o.g. we have shrunk the set K to [0,1] instead of [-1,1] to avoid some useless notational difficulty. This is a standard exercise on the intermediate value theorem with the function g(x):=f(x)-x. Either, f(1)=1 is the fixed point, or else f(1)<1, meaning g(1)<0 and g(0)=f(0)\geq0. As g is continuous, some point needs to be the zero of g, meaning 0=g(\xi) = f(\xi)-\xi and hence f(\xi)=\xi. q.e.d. (p=1)

 

For p=2, things are still easy to see, even though a little less trivial. This is an application of homotopy theory (even though one doesn’t need to know much about it). The proof is by contradiction however. We will show an auxiliary statement first: there is no continuous mapping h:K\to\partial K, which is the identity on \partial K, i.e. h(x)=x for x\in\partial K. If there was, we would set

\displaystyle H(t,s):=h(se^{it}), \qquad t\in[0,2\pi], s\in[0,1].

H is a homotopy of the constant curve h(0) = H(t,0) to the circle e^{it} = h(e^{it}) = H(t,1). This means, we can continuously transform the constant curve to the circle. This is a contradiction, as the winding number of the constant is 0, but the winding number of the circle is 1. There can be no such h.

Now, we turn to the proof of the actual statement of Brouwer’s Theorem: If f had no fixed point, we could define a continuous mapping as follows: let x\in K, and consider the line through x and f(x) (which is well-defined by assumption). This line crosses \partial K in the point h(x); actually there are two such points, we shall use the one that is closer to x itself. Apparently, h(x)=x for x\in\partial K. By the auxiliary statement, there is no such h and the assumption fails. f must have a fixed point. q.e.d. (p=2)

 

For the general proof, we shall follow the lines of Heuser who has found this elementary fashion in the 1970’s and who made it accessible in his second volume of his book on calculus. It is interesting, that most of the standard literature for undergraduate students shies away from any proof of Brouwer’s theorem. Often, the theorem is stated without proof and then some conclusions and applications are drawn from it. Sometimes, a proof via differential forms is given (such as in Königsberger’s book, where it is somewhat downgraded to an exercise after the proof of Stoke’s Theorem) which I wouldn’t call elementary because of the theory which is needed to be developed first. The same holds for proofs using homology groups and the like (even though this is one of the simplest fashions to prove the auxiliary statement given above – it was done in my topology class, but this is by no means elementary).

A little downside is the non-constructiveness of the proof we are about to give. It is a proof by contradiction and it won’t give any indication on how to find the fixed point. For many applications, even the existence of a fixed point is already a gift (think of Peano’s theorem on the existence of solutions to a differential equation, for instance). On the other hand, there are constructive proofs as well, a fact that is quite in the spirit of Brouwer.

In some way, the basic structure of the following proof is similar to the proof that we gave for the case p=2. We will apply the same reasoning that concluded the proof for the special case (after the auxiliary statement), we will just add a little more formality to show that the mapping g is actually continuous and well-defined. The trickier part in higher dimensions is to show the corresponding half from which the contradiction followed. Our auxiliary statement within this previous proof involved the non-existence of a certain continuous mapping, that is called a retraction: for a subset A of a topological space X, f:X\to A is called a retraction of X to A, if f(x)=x for all x\in A. We have found that there is no retraction from K to \partial K. As a matter of fact, Brouwer’s Fixed Point Theorem and the non-existence of a retraction are equivalent (we’ll get back to that at the end).

The basic structure of the proof is like this:

  • we reduce the problem to polynomials, so we only have to deal with those functions instead of a general continuous f;
  • we formalize the geometric intuition that came across in the special case p=2 (this step is in essence identical to what we did above): basing on the assumption that Brouwer’s Theorem is wrong, we define a mapping quite similar to a retraction of K to \partial K;
  • we show that this almost-retraction is locally bijective;
  • we find, via the Transformation Formula, a contradiction: there can be no retraction and there must be a fixed point.

Steps 3 and 4 are the tricky part. They may be replaced by some other argument that yields a contradiction (homology theory, for instance), but we’ll stick to the elementary parts. Let’s go.

 

Lemma (The polynomial simplification): It will suffice to show Brouwer’s Fixed Point Theorem for those functions f:K\to K, whose components are polynomials on K and which have f(K)\subset\mathring K.

 

Proof: Let f:K\to K continuous, it has the components f = (f_1,\ldots,f_p), each of which has the arguments x_1,\ldots,x_p. By Weierstrass’ Approximation Theorem, for any \varepsilon>0 there are polynomials p_k^\varepsilon such that \left|f_k(x)-p_k^\varepsilon(x)\right| < \varepsilon, k=1,\ldots,p, for any x\in K. In particular, there are polynomials \varphi_{k,n} such that

\displaystyle \left|f_k(x)-\varphi_{k,n}(x)\right| < \frac{1}{\sqrt{p}n}\qquad\text{for any }x\in K.

If we define the function \varphi_n:=(\varphi_{1,n},\ldots,\varphi_{p,n}) which maps K to \mathbb{R}^p, we get

\displaystyle    \begin{aligned}    \left|f(x)-\varphi_n(x)\right|^2 &= \sum_{k=1}^p\left|f_k(x)-\varphi_{k,n}(x)\right|^2 \\    &< \frac{p}{pn^2} \\    &= \frac1{n^2},\qquad\text{for any }x\in K    \end{aligned}

and in particular \varphi_n\to f uniformly in K.

Besides,

\displaystyle \left|\varphi_n(x)\right|\leq\left|\varphi_n(x)-f(x)\right| + \left|f(x)\right| < \frac1n + \left|f(x)\right| \leq \frac1n + 1 =:\alpha_n.

This allows us to set

\displaystyle \psi_n(x) = \frac{\varphi_n(x)}{\alpha_n}.

This function also converges uniformly to f, as for any x\in K,

\displaystyle    \begin{aligned}    \left|\psi_n(x)-f(x)\right| &= \left|\frac{\varphi_n(x)}{\alpha_n} - f(x)\right| \\    &= \frac1{\left|\alpha_n\right|}\left|\varphi_n(x)-\alpha_nf(x)\right|\\    &\leq \frac1{\left|\alpha_n\right|}\left|\varphi_n(x)-f(x)\right| + \frac1{\left|\alpha_n\right|}\left|f(x)-\alpha_nf(x)\right|\\    &< \frac1{\left|\alpha_n\right|}\frac1n + \frac1{\left|\alpha_n\right|}\left|f(x)\right|\left|1-\alpha_n\right|\\    &< (1+\delta)\frac1n + \frac{\delta}{1+\delta}\left|f(x)\right|\\    &< \varepsilon \qquad\text{for }n\gg0.    \end{aligned}

Finally, for x\in K, by construction, \left|\varphi_n(x)\right|\leq\alpha_n, and so \left|\psi_n(x)\right| = \frac{\left|\varphi_n(x)\right|}{\alpha_n} < 1, which means that \psi_n:K\to\mathring K.

The point of this lemma is to state that if we had shown Brouwer’s Fixed Point Theorem for every such function \psi_n:K\to\mathring K, whose components are polynomials, we had proved it for the general continuous function f. This can be seen as follows:

As we suppose Brouwer’s Theorem was true for the \psi_n, there would be a sequence (x_n)\subset K with \psi_n(x_n) = x_n. As K is (sequentially) compact, there is a convergent subsequence (x_{n_j})\subset(x_n), and \lim_jx_{n_j} = x_0\in K. For sufficiently large j, we see

\displaystyle \left|\psi_{n_j}(x_{n_j})-f(x_0)\right| \leq\left|\psi_{n_j}(x_{n_j})-f(x_{n_j})\right| + \left|f(x_{n_j})-f(x_0)\right| < \frac\varepsilon2 + \frac\varepsilon2.

The first bound follows from the fact that \psi_{n_j}\to f uniformly, the second bound is the continuity of f itself, with the fact that x_{n_j}\to x_0. In particular,

\displaystyle x_0 = \lim_{j} x_{n_j} = \lim_{j} \psi_{n_j}(x_{n_j}) = f(x_0).

So, f has the fixed point x_0, which proves Brouwer’s Theorem.

In effect, it suffices to deal with functions like the \psi_n for the rest of this text. q.e.d.

 

Slogan (The geometric intuition): If Brouwer’s Fixed Point Theorem is wrong, then there is “almost” a retraction of K to \partial K.

Or, rephrased as a proper lemma:

Lemma: For f being polynomially simplified as in the previous lemma, assuming x\neq f(x) for any x\in K, we can construct a continuously differentiable function g_t:K\to K, t\in[0,1], with g_t(x)=x for x\in\partial K. This function is given via

\displaystyle g_t(x) =x + t\lambda(x)\bigl(x-f(x)\bigr),

\displaystyle \lambda(x)=\frac{-x\cdot\bigl(x-f(x)\bigr)+\sqrt{\left(x\cdot\bigl(x-f(x)\bigr)\right)^2+\bigl(1-\left|x\right|^2\bigr)\left|x-f(x)\right|^2}}{\left|x-f(x)\right|^2}.

The mapping t\mapsto g_t is the direct line from x to the boundary of \partial K, which also passes through f(x). \lambda(x) is the parameter in the straight line that defines the intersection with \partial K.

 

Proof: As we suppose, Brouwer’s Fixed Point Theorem is wrong the continuous function \left|x-f(x)\right| is positive for any x\in K. Because of continuity, for every y\in \partial K, there is some \varepsilon = \varepsilon(y) > 0, such that still \left|x-f(x)\right|>0 in the neighborhood U_{\varepsilon(y)}(y).

Here, we have been in technical need of a continuation of f beyond K. As f is only defined on K itself, we might take f(x):=f\bigl(\frac{x}{\left|x\right|}\bigr) for \left|x\right|>1. We still have \left|f(x)\right| < 1 and f(x)\neq x, which means that we don’t get contradictions to our assumptions on f. Let’s not dwell on this for longer than necessary.

On the compact set \partial K, finitely many of the neighborhoods U_{\varepsilon(y)}(y) will suffice to cover \partial K. One of them will have a minimal radius. We shall set \delta =  \min_y\varepsilon(y) +1, to find: there is an open set U = U_\delta(0)\supset K with \left|x-f(x)\right| >0 for all x\in U.

Let us define for any x\in U

\displaystyle d(x):=\frac{\left(x\cdot\bigl(x-f(x)\bigr)\right)^2+\bigl(1-\left|x\right|\bigr)^2\left|x-f(x)\right|^2}{\left|x-f(x)\right|^4}.

It is well-defined by assumption. We distinguish three cases:

 

a) \left|x\right|<1: Then 1-\left|x\right|^2>0 and the numerator of d(x) is positive.

b) \left|x\right|=1: Then the numerator of d(x) is

\displaystyle \left(x\cdot\bigl(x-f(x)\bigr)\right)^2 = \bigl(x\cdot x - x\cdot f(x)\bigr)^2 = \bigl(\left|x\right|^2-x\cdot f(x)\bigr)^2 = \bigl(1-x\cdot f(x)\bigr)^2,

where by Cauchy-Schwarz and by assumption on f, we get

\displaystyle x\cdot f(x) \leq \left|x\right|\left|f(x)\right| = \left|f(x)\right| < 1\qquad (\spadesuit).

In particular, the numerator of d(x) is strictly positive.

c) \left|x\right|>1: This case is not relevant for what’s to come.

 

We have seen that d(x)>0 for all \left|x\right|\leq 1. Since d is continuous, a compactness argument similar to the one above shows that there is some V = V_{\delta'}(0)\supset K with d(x)>0 for all x\in V. If we pick \delta'=\delta if \delta is smaller, we find: d is positive and well-defined on V.

The reason why we have looked at d is not clear yet. Let us grasp at some geometry first. Let x\in V and \Gamma_x = \left\{x+\lambda\bigl(x-f(x)\bigr)\colon\lambda\in\mathbb{R}\right\} the straight line through x and f(x). If we look for the intersection of \Gamma_x with \partial K, we solve the equation

\displaystyle\left|x+\lambda\bigl(x-f(x)\bigr)\right| = 1.

The intersection “closer to” x is denoted by some \lambda>0.

This equation comes down to

\displaystyle    \begin{aligned}    && \left(x+\lambda\bigl(x-f(x)\bigr)\right) \cdot \left(x+\lambda\bigl(x-f(x)\bigr)\right) &=1 \\    &\iff& \left|x\right|^2 + 2\lambda x\cdot\bigl(x-f(x)\bigr) + \lambda^2\left|x-f(x)\right|^2 &=1\\    &\iff& \lambda^2\left|x-f(x)\right|^2 + 2\lambda x\cdot\bigl(x-f(x)\bigr) &= 1-\left|x\right|^2\\    &\iff& \left(\lambda+\frac{x\cdot\bigl(x-f(x)\bigr)}{\left|x-f(x)\right|^2}\right)^2 &= \frac{1-\left|x\right|^2}{\left|x-f(x)\right|^2} + \left(\frac{x\cdot\bigl(x-f(x)\bigr)}{\left|x-f(x)\right|^2}\right)^2 \\    &\iff& \left(\lambda+\frac{x\cdot\bigl(x-f(x)\bigr)}{\left|x-f(x)\right|^2}\right)^2 &= \frac{(1-\left|x\right|)^2\left|x-f(x)\right|^2+\left(x\cdot\bigl(x-f(x)\bigr)\right)^2}{\left|x-f(x)\right|^4} \\    &\iff& \left(\lambda+\frac{x\cdot\bigl(x-f(x)\bigr)}{\left|x-f(x)\right|^2}\right)^2 &= d(x).    \end{aligned}

As x\in V, d(x)>0, and hence there are two real solutions to the last displayed equation. Let \lambda(x) be the larger one (to get the intersection with \partial K closer to x), then we find

\displaystyle    \begin{aligned}    \lambda(x) &= \sqrt{d(x)} - \frac{x\cdot\bigl(x-f(x)\bigr)}{\left|x-f(x)\right|^2}\\    &= \frac{-x\cdot\bigl(x-f(x)\bigr)+\sqrt{\left(x\cdot\bigl(x-f(x)\bigr)\right)^2+\bigl(1-\left|x\right|^2\bigr)\left|x-f(x)\right|^2}}{\left|x-f(x)\right|^2}.    \end{aligned}

By construction,

\displaystyle \left|x+\lambda(x)\bigl(x-f(x)\bigr)\right| = 1,\qquad\text{for all }x\in V.\qquad(\clubsuit)

Let us define

\displaystyle g_t(x) = x+t\lambda(x)\bigl(x-f(x)\bigr),\qquad t\in[0,1],~x\in V.

This is (at least) a continuously differentiable function, as we simplified f to be a polynomial and the denominator in \lambda(x) is bounded away from 0. Trivially and by construction, g_0(x)=x and \left|g_1(x)\right| = 1 for all x\in V.

For \left|x\right|<1 and t<1, we have

\displaystyle    \begin{aligned}    \left|x+t\lambda(x)\bigl(x-f(x)\bigr)\right| &\stackrel{\hphantom{(\clubsuit)}}{=} \left|\bigl(t+(1-t)\bigr)x + t\lambda(x)\bigl(x-f(x)\bigr)\right|\\    &\stackrel{\hphantom{(\clubsuit)}}{=}\left|t\left(x+\lambda(x)\bigl(x-f(x)\bigr)\right)+(1-t)x\right|\\    &\stackrel{\hphantom{(\clubsuit)}}{\leq} t\left|x+\lambda(x)\bigl(x-f(x)\bigr)\right|+(1-t)\left|x\right|\\    &\stackrel{(\clubsuit)}{=} t+(1-t)\left|x\right|\\    &\stackrel{\hphantom{(\clubsuit)}}{<} t+(1-t) = 1\qquad (\heartsuit).    \end{aligned}

Hence, \left|g_t(x)\right|<1 for \left|x\right|<1 and t\in[0,1). This means g_t(\mathring K)\subset\mathring K for t<1.

For \left|x\right|=1, we find (notice that x\cdot\bigl(x-f(x)\bigr)>0 for \left|x\right|=1, by (\spadesuit)).

\displaystyle    \begin{aligned}    \lambda(x) &= \frac{-x\cdot\bigl(x-f(x)\bigr)+\sqrt{\left(x\cdot\bigl(x-f(x)\bigr)\right)^2}}{\left|x-f(x)\right|^4} \\    &= \frac{-x\cdot\bigl(x-f(x)\bigr)+x\cdot\bigl(x-f(x)\bigr)}{\left|x-f(x)\right|^4} = 0.    \end{aligned}

This is geometrically entirely obvious, since \lambda(x) denotes the distance of x to the intersection with \partial K; if x\in\partial K, this distance is apparently 0.

We have seen that g_t(x)=x for \left|x\right|=1 for any t\in[0,1]. Hence, g_t(\partial K)=\partial K for all t. g_t is almost a retraction, g_1 actually is a retraction. q.e.d.

 

Note how tricky the general formality gets, compared to the more compact and descriptive proof that we gave in the special case p=2. The arguments of the lemma and in the special case are identical.

 

Lemma (The bijection): Let \hat K be a closed ball around 0, K\subset\hat K\subset V. The function g_t is a bijection on \hat K, for t\geq0 sufficiently small.

 

Proof: We first show that g_t is injective. Let us define h(x):=\lambda(x)\bigl(x-f(x)\bigr), for reasons of legibility. As we saw above, h is (at least) continuously differentiable. We have

\displaystyle g_t(x) = x+th(x),\qquad g_t'(x)=\mathrm{Id}+th'(x).

As \hat K is compact, h' is bounded by \left|h'(x)\right|\leq C, say. By enlarging C if necessary, we can take C\geq1. Now let x,y\in\hat K with g_t(x)=g_t(y). That means x+th(x)=y+th(y) and so, by the mean value theorem,

\displaystyle \left|x-y\right| = t\left|h(x)-h(y)\right|\leq tC\left|x-y\right|.

By setting \varepsilon:=\frac1C and taking t\in[0,\varepsilon), we get \left|x-y\right| = 0. g_t is injective for t<\varepsilon.

Our arguments also proved \left|th'(x)\right| < 1. Let us briefly look at the convergent Neumann series \sum_{k=0}^\infty\bigl(th'(x)\bigr)^k, having the limit s, say. We find

\displaystyle sth'(x) = \sum_{k=0}^\infty\bigl(th'(x)\bigr)^{k+1} = s-\mathrm{Id},

which tells us

\displaystyle \mathrm{Id} = s-s\cdot th'(x) = s\bigl(\mathrm{Id}-th'(x)\bigr).

In particular, g_t'(x) = \mathrm{Id}-th'(x) is invertible, with the inverse s. Therefore, \det g_t'(x)\neq0. Since this determinant is a continuous function of t, and \det g_0'(x) = \det\mathrm{Id} = 1, we have found

\displaystyle \det g_t'(x) > 0 \text{ for any }t\in[0,\varepsilon),~x\in\hat K.

Now, let us show that g_t is surjective. As \det g_t'(x) never vanishes on \hat K, g_t is an open mapping (by an argument involving the inverse function theorem; g_t can be inverted locally in any point, hence no point can be a boundary point of the image). This means that g_t(\mathring K) is open.

Let z\in K with z\notin g_t(\mathring K); this makes z the test case for non-surjectivity. Let y\in g_t(\mathring K); there is some such y due to (\heartsuit). The straight line between y and z is

\displaystyle \overline{yz}:=\left\{(1-\lambda)y+\lambda z\colon \lambda\in[0,1]\right\}.

As g_t is continuous, there must be some point v\in\partial g_t(\mathring K)\cap\overline{yz}; we have to leave the set g_t(\mathring K) somewhere. Let us walk the line until we do, and then set

\displaystyle v=(1-\lambda_0)y+\lambda_0z,\qquad\text{with }\lambda_0=\sup\left\{\lambda\in[0,1]\colon\overline{y;(1-\lambda)y+\lambda z}\subset g_t(\mathring K)\right\}.

Now, continuous images of compact sets remain compact: g_t(K) is compact and hence closed. Therefore, we can conclude

\displaystyle g_t(\mathring K)\subset g_t(K)\quad\implies\quad \overline{g_t(\mathring K)}\subset g_t(K)\quad\implies\quad v\in\overline{g_t(\mathring K)}\subset g_t(K).

This means that there is some u\in K such that v=g_t(u). As g_t(\mathring K) is open, u\in\partial K (since otherwise, v\notin\partial g_t(\mathring K) which contradicts the construction). Therefore, \left|u\right|=1, and since g_t is almost a retraction, g_t(u)=u. Now,

\displaystyle v=g_t(u) = u \quad\implies\quad v\in\partial K.

But by construction, v is a point between z\in K and y\in g_t(\mathring K); however, y\notin\partial K, since g_t(\mathring K) is open. Due to the convexity of K, we have no choice but z\in\partial K, and by retraction again, g_t(z)=z. In particular, z\in g_t(\partial K).

We have shown that if z\notin g_t(\mathring K), then z\in g_t(\partial K). In particular, z\in g_t(K) for any z\in K. g_t is surjective. q.e.d.

 

Lemma (The Integral Application): The real-valued function

\displaystyle V(t)=\int_K\det g_t'(x)dx

is a polynomial and satisfies V(1)>0.

 

Proof: We have already seen in the previous lemma that \det g_t'(x)>0 on x\in\mathring{\hat K} for t<\varepsilon. This fact allows us to apply the transformation formula to the integral:

\displaystyle V(t) = \int_{g_t(K)}1dx.

As g_t is surjective, provided t is this small, g_t(K) = K, and therefore

\displaystyle V(t) = \int_K1dx = \mu(K).

In particular, this no longer depends on t, which implies V(t)>0 for any t<\varepsilon.

By the Leibniz representation of the determinant, \det g_t'(x) is a polynomial in t, and therefore, so is V(t). The identity theorem shows that V is constant altogether: in particular V(1)=V(0)>0. q.e.d.

 

Now we can readily conclude the proof of Brouwer’s Fixed Point Theorem, and we do it in a rather unexpected way. After the construction of g_t, we had found \left|g_1(x)\right|=1 for all x\in V. Let us write this in its components and take a partial derivative (j=1,\ldots,p)

\displaystyle    \begin{aligned}    &&1 &= \sum_{k=1}^p\bigl(g_{1,k}(x)\bigr)^2\\    &\implies& 0 &= \frac\partial{\partial x_j}\sum_{k=1}^p\bigl(g_{1,k}(x)\bigr)^2 = \sum_{k=1}^p2\frac{\partial g_{1,k}(x)}{\partial x_j}g_{1,k}(x)    \end{aligned}

This last line is a homogeneous system of linear equations, that we might also write like this

\displaystyle \begin{pmatrix}\frac{\partial g_{1,1}(x)}{\partial x_1}&\cdots &\frac{\partial g_{1,p}(x)}{\partial x_1}\\ \ldots&&\ldots\\ \frac{\partial g_{1,1}(x)}{\partial x_p}&\cdots&\frac{\partial g_{1,p}(x)}{\partial x_p}\end{pmatrix} \begin{pmatrix}\xi_1\\\ldots\\\xi_p\end{pmatrix} = 0,

and our computation has shown that the vector \bigl(g_{1,1}(x),\ldots,g_{1,p}(x)\bigr) is a solution. But the vector 0 is a solution as well. These solutions are different because of \left|g_1(x)\right| = 1. If a system of linear equations has two different solutions, it must be singular (it is not injective), and the determinant of the linear system vanishes:

\displaystyle 0 = \det \begin{pmatrix}\frac{\partial g_{1,1}(x)}{\partial x_1}&\cdots &\frac{\partial g_{1,p}(x)}{\partial x_1}\\ \ldots&&\ldots\\ \frac{\partial g_{1,1}(x)}{\partial x_p}&\cdots&\frac{\partial g_{1,p}(x)}{\partial x_p}\end{pmatrix} = \det g_1'(x).

This means

\displaystyle 0 = \int_K\det g_1'(x)dx = V(1) > 0.

A contradiction, which stems from the basic assumption that Brouwer’s Fixed Point Theorem were wrong. The Theorem is thus proved. q.e.d.

 

Let us make some concluding remarks. Our proof made vivid use of the fact that if there is a retraction, Brouwer’s Theorem must be wrong (this is where we got our contradiction in the end: the retraction cannot exist). The proof may also be started the other way round. If we had proved Brouwer’s Theorem without reference to retractions (this is how Elstrodt does it), you can conclude that there is no retraction from K to \partial K as follows: if there was a retraction g:K\to\partial K, we could consider the mapping -g. It is, in particular, a mapping of K to itself, but it does not have any fixed point – a contradiction to Brouwer’s Theorem.

 

Brouwer’s Theorem, as we have stated it here, is not yet ready to drink. For many applications, the set K is too much of a restriction. It turns out, however, that the hardest work has been done. Some little approximation argument (which in the end amounts to continuous projections) allows to formulate, for instance:

  • Let C\subset\mathbb{R}^p be convex, compact and C\neq\emptyset. Let f:C\to C be continuous. Then f has a fixed point.
  • Let E be a normed space, K\subset E convex and \emptyset\neq C\subset K compact. Let f:K\to C be continuous. Then f has a fixed point.
  • Let E be a normed space, K\subset E convex and K\neq\emptyset. Let f:K\to K be continuous. Let either K be compact or K bounded and f(K) relatively compact. Then f has a fixed point.

The last two statements are called Schauder’s Fixed Point Theorems, which may often be applied in functional analysis, or are famously used for proofs of Peano’s Theorem in differential equations. But at the core of all of them is Brouwer’s Theorem. This seems like a good place to end.

Aus der Literatur der Weimarer Republik

In einer Welle der schöngeistigen Literatur habe ich in den vergangenen Monaten diverse Werke deutscher Autoren aus der Zeit der Weimarer Republik gelesen. Tatsächlich kam das nicht geplant zustande, die Autoren, die Stilrichtungen und auch mein bleibender Eindruck sind äußerst unterschiedlich. Dieses einigende Band der Entstehungszeit ist mir erst im Nachhinein klargeworden.

 

In unregelmäßigen Abständen, aber immer wieder und mit großem Genuss lese ich den Fabian von Erich Kästner. Es handelt sich um Kästners stärksten Roman und um sein bekanntestes Werk für Erwachsene. Das soll keine Schmälerung seiner (zum Teil grandiosen) Kinderbücher sein, aber ihr Anspruch und ihre Wirkung sind andere und seien hier außen vor gelassen. Aus meiner Schulzeit kannte ich die ursprünglich veröffentlichte Fassung des Fabian, eine in manchen Aspekten bereits entschärfte Version, die dennoch von Goebbels verboten und verbrannt wurde. Vor einigen Monaten habe ich mir die Originalversion zugelegt, die zu Beginn des Textes ein wenig drastischer ist, aber von einem Kapitel abgesehen nur noch redaktionelle Änderungen zum bekannten Text aufzeigt. Kästner selbst hat in späteren Vorworten angemerkt, er habe dem Text den Titel „Der Gang vor die Hunde“ geben wollen. Wie akkurat diese Aussage ist, sei dahingestellt, es kann vermutet werden, dass diese Idee erst in der Rückschau entstanden ist.

Die titelgebende Hauptfigur Jakob Fabian begreift sich als Moralisten, der in der Zeit der Wirtschaftskrise die Welt immer weniger versteht und als immer absurder auffasst. Er unterhält diverse kurzlebige Frauenbekanntschaften, vor denen er sich teilweise aus Abscheu abwendet; die einzige, in der er echtes Potential für Liebe findet, geht in die Brüche als die Frau, Cornelia, sich einem reichen Mann zuwendet, den sie zwar nicht liebt, aber bei dem sie keine wirtschaftlichen Ängste mehr zu fürchten braucht. Fabians Freund Labude ist einer seiner wenigen Rettungsanker, auch wenn die beiden sich in der Beurteilung der Welt nicht einig sind: hier Fabian der schicksalsergebene Fatalist, der die Welt nimmt wie sie ist, weil er glaubt sie nicht ändern zu können („der Faustschlag blieb stumm“); dort Labude, der Romantiker, der glaubt, die Welt und die Menschen zum Vernünftigen verändern zu müssen. Als Labude sich aufgrund eines überzogenen, schlechten Scherzes aus Hoffnungslosigkeit das Leben nimmt, ist Fabian das einzige Mal während des Buches zu tiefen, ehrlichen Emotionen hingerissen. Fast immer bleibt Fabian reiner Beobachter, selbst als er sich in einem nächtlichen Feuergefecht zwischen einem Kommunisten und einem Nationalsozialisten wiederfindet und beide Kontrahenten im gleichen Taxi zum Krankenhaus bringt. Politisch verhält sich Fabian entsprechend seiner auch sonstigen Einstellung nicht extrem, in einer Ausrichtung, die er wohl als „anständig“ bezeichnen würde. Das schlägt sich in seiner Respektlosigkeit gegen nationalistische Denkmäler in Berlin nieder (die er in einer Busfahrt verspottet, die in der Erstausgabe noch herausgestrichen worden war), oder in seiner zurückhaltenden Auseinandersetzung mit einem Schulfreund gegen Ende des Romans. Und wie fast alle Romanhelden Kästners ist auch Fabian ein Muttersöhnchen: die rührige Episode des Besuchs seiner Mutter in Berlin und das heimliche Einanderzustecken von 20 Mark seien genannt.

Das Buch pendelt stetig zwischen beißender Komik und scharfem Sittenportrait seiner Zeit; es ist dabei stets eine bewusste Überzeichnung der Verhältnisse, und bleibt doch in einem höchst sachlichen, nüchternen Tonfall. Am Ende ertrinkt Fabian beim Versuch, ein Kind aus einem Kanal zu retten – das Kind selbst schwimmt ans Ufer. Kästner wendet sich in der Kapitelüberschrift direkt an das Publikum: „Lernt schwimmen!“ – im übertragenen Sinne: verhaltet euch nicht beobachtend und überfordert wie Fabian, sondern geht mit der Welt um wie sie sich bietet und ändert sie. Aus dieser auch sehr persönlichen Botschaft Kästners, die sich durch das ganze Buch zieht, gewinnt der Roman seine Stärke; bis zu einem gewissen Punkt hat Kästner sich hier selbst verewigt, nicht nur durch die diversen autobiographischen Elemente (Fabian, wie Kästner, ist Werbetexter in Berlin; Kästner, wie Labude, ist promovierter Germanist mit einem Schwerpunkt auf Lessing und seiner Zeit), sondern eben durch eine Botschaft, die ihm damals eine Herzensangelegenheit gewesen sein muss.

Ein kurzweiliges Buch, das sich immer wieder von neuem mit Gewinn lesen lässt. Mag der Humor auch etwas staubig geworden sein, die Geschichte ist es nicht, sie berührt noch immer und regt immer wieder zur Auseinandersetzung an.

 

Über Brecht ist praktisch alles gesagt. Aus einem Gefühl der Neugier heraus habe ich mir einige seiner Stücke wieder zu Gemüte geführt, die ich ebenfalls aus der Schulzeit kannte. So unterschiedlich die Mutter Courage, das Leben des Galilei und der Gute Mensch von Sezuan in ihrer Erzählung sind, so ähnlich sind sie sich doch in dem Punkt, dass der Leser (bzw. Theaterzuschauer) belehrt werden soll. Ganz im Geist Schillers handelt es sich bei diesen, wie vielen der Dramen von Brecht, um Lehrstücke. Schillers Rede „Die Schaubühne als eine moralische Anstalt betrachtet“ hat bereits Ende des 18. Jahrhunderts den Aspekt herausgestellt, dass das Publikum durch den Theaterbesuch gebildet werden solle – erst in zweiter Linie soll das Theater der Unterhaltung dienen, sondern idealerweise wird das Publikum aufgeklärt und in die Lage versetzt, die richtigen Fragen zu stellen. Akkurat dieser Maxime folgt Brecht, und er treibt es im Guten Menschen geradezu auf die Spitze, in dem er das Stück offen enden lässt:

Wir stehen selbst enttäuscht und sehen betroffen / den Vorhang zu und alle Fragen offen. […] Verehrtes Publikum, los, such dir selbst den Schluss! / Es muss ein guter da sein, muss, muss, muss!

Man mag darüber streiten, ob es noch ein unaufgeklärtes Theaterpublikum gibt (soll heißen, ob Menschen, die der Aufklärung bedürfen, überhaupt noch ins Theater gehen), oder ob das Konzept des Lehrstücks aus der Zeit gefallen ist. Alternativ findet die Aufklärung des aufnahmebereiten Publikums eher in anderen Kontexten statt, etwa im nicht allzu plakativen Kabarett und in der qualitativ hochwertigen Presse – wieder vorausgesetzt, dass ein aufklärungsbedürftiges Publikum dort überhaupt vorhanden ist (den Diskurs über die Selbsterkenntnis der Aufklärungsbedürftigkeit wollen wir hier nicht führen). In jedem Fall erscheinen die Lehrstücke Brechts als derart durchschaubar, dass eine moralische Besserung des Publikums von ihnen kaum zu erhoffen ist. Auch die angeprangerten Missstände scheinen in der heutigen Welt weniger von Belang zu sein – zumal die durch Brecht gelegentlich aufgezeigte Alternative des Kommunismus (im Guten Menschen) keine mehr ist und die Schrecken eines großen Kriegs um so viel größer sind als zur Entstehungszeit der Mutter Courage.

Aufgrund ihrer Durchsichtigkeit taugen die Lehrstücke natürlich dennoch als Schullektüre und werden als solche heute noch oft gelesen. Es lassen sich tiefe Charakterstudien daraus machen und für das Verständnis sind nur Hintergründe aus der klassischen humanistischen Gymnasialbildung nötig (etwa im Gegensatz zu manch anderer moderner Literatur aus dem gleichen historischen Umfeld). Ob diese Lehrstücke aber wirklich noch als Lehre taugen, sei dahingestellt. Nennenswert schöner und lehrreicher wirken doch manche Aphorismen, wie in den Geschichten vom Herrn Keuner („Aber Herr K., Sie haben sich ja überhaupt nicht verändert! – Und K. erbleichte.“) oder der auf einen Dritten Weltkrieg gemünzte Satz

Das große Karthago führte drei Kriege: es war noch mächtig nach dem ersten, noch bewohnbar nach dem zweiten. Es war nicht mehr auffindbar nach dem dritten.

Derlei ist in den genannten Lehrstücken recht selten.

Die Art der Belehrung ist in den drei Stücken, die ich jetzt neu gelesen habe, sehr unterschiedlich. Im Guten Menschen ist von der schrecklichen Realität des Kapitalismus die Rede, im Leben des Galilei von der Freiheit und Verantwortung der Wissenschaft und der Unfreiheit in der Kirche, bei der Mutter Courage von den Schrecken des Kriegs und davon, wie unterschiedlich die Menschen mit der Moral in Krieg und Frieden umgehen (sichtbar besonders in den drei Kindern der Courage, mehr noch als bei ihr selbst). Tatsächlich habe ich Brechts großen Aufführungserfolg die Dreigroschenoper aus schierer Erschöpfung ausgelassen. Meine Erinnerung ist jedoch durchaus analog zu den anderen Stücken und lässt sich an der bissigen Beschreibung des Hurenhauses als „bürgerliches Idyll“ festmachen – ein klassischer Fall, in dem „Show, don’t tell“ angebrachter gewesen wäre. Aber aus der Dreigroschenoper habe ich die schöne Zeile „Erst kommt das Fressen, dann kommt die Moral“ behalten, tatsächlich ein wahres, wenn auch drastisches Wort.

So wenig spektakulär die Inhalte der Stücke auch sein mögen, sie geben den Schauspielern aber große Möglichkeiten für eine brillante Darstellung der titelgebenden Figuren. Besonders die Rolle der Shen Te erfordert eine hohe schauspielerische Leistung, die selten in der nötigen Komplexität gelingen wird.

Die am schönsten komponierte Szene in den drei Stücken ist die Ankleideszene des Papstes im Leben des Galilei. Der Papst selbst ist Wissenschaftler, der aber während der Ankleide in das Gewand (soll heißen: in die Rolle) des Papstes schlüpft und auf diese Weise andere Prioritäten setzen muss als Galilei. Eine schöne subtile Art, die Zwänge aufzuzeigen, in denen die handelnden Figuren sich bewegen: show, don’t tell.

In der Summe ist dem Eindruck Marcel Reich-Ranickis recht zu geben, den er in der Reihe „Lauter schwierige Patienten“ geäußert hat: die Theaterstücke Brechts werden der Zeit nicht standhalten. Sie werden noch in der Schule gelesen und in den Theatern aufgeführt, aber sie haben an Aktualität und Relevanz eingebüßt. Was von Brecht überdauern mag, ist die Lyrik, seine Songs.

Auf die Stücke in weiteren Details einzugehen erscheint aufgrund ihrer Verbreitung gerade als Schullektüre nicht angebracht. Über Brecht ist alles (und mehr als das) gesagt.

 

Ebenfalls aus schierer Neugier habe ich mich mit Hans Falladas Roman Kleiner Mann – was nun? auseinander gesetzt. Paradoxerweise hat diese durchaus rührige Geschichte vom jungen Ehepaar in kleinen Verhältnissen (sie nennen sich gegenseitig „Junge“ und „Lämmchen“, ihr kleines Kind werden sie immer nur als „Murkel“ bezeichnen) nicht im geringsten meinen Nerv getroffen. Ja – der soziale Abstieg der jungen Familie ist schrecklich und grausam. Ja – die wirtschaftlichen Verhältnisse in der späten Weimarer Republik waren grässlich und schwer. Es ist überhaupt eine Epoche, mit der ich mich lange und ausgiebig auseinandergesetzt habe und die mich fortlaufend fasziniert. Und doch bin ich von dieser Erzählung, diesem (damaligen) Gegenwartsstück, seltsam unberührt geblieben. Im Gegenteil habe ich mich beim Lesen mehrfach entsetzlich für Lämmchen fremdgeschämt; eine in vielen Dingen so weltfremde und überkomplizierte Person, die gleichzeitig nicht aus übertrieben behüteten Verhältnissen kommt und sich doch in der Welt so schlecht zurecht findet (die furchtbare Szene, als sie versucht eine Erbsensuppe zu kochen). Immerhin macht sie im Lauf der Geschichte eine Entwicklung durch und geht resoluter mit der Situation um als ihr Mann. Das Ende ist offen, aber es wird klar, dass beide trotz aller Armut ihre Liebe bewahren.

Tatsächlich hat mich dieser Versuch mit Hans Fallada nicht bewogen, seinen anderen berühmten Roman Jeder stirbt für sich allein zu lesen. Bei aller Anrührung und Realitätsbeschreibung war ich weder gefesselt noch beeindruckt von Kleiner Mann – was nun? Ich habe einfach den Funken nicht gefunden, der von diesem Autor auf mich hätte überspringen können.

 

Schließlich endete mein Rundgang durch die Literatur der 1920er Jahre mit einem Ausflug zu Hermann Hesses Narziß und Goldmund. Unterschiedlicher zu den bisherigen Büchern könnte ein Roman kaum sein. Gänzlich unpolitisch, völlig der (damaligen) Gegenwart entrückt, wird die Geschichte zweier mittelalterlicher Mönche erzählt. Es sind zwei ganz und gar verschiedene Charaktere, die ganz und gar verschiedenen Lebensentwürfen folgen: der abstrakte Denker und Asket Narziß, der sein Leben im Kloster verbringt, und der Schöngeist Goldmund, der sich der Sinnenwelt, der Kunst und den Frauen hingibt und durch die Welt zieht. Beide schließen in der Jugend eine enge Freundschaft und profitieren in ihrer Sicht auf die Welt vom jeweils anderen. Diese Freundschaft überdauert Goldmunds Wanderjahre, bis sie sich nach Jahrzehnten zufällig wiedertreffen. Ein ästhetisch ungemein schönes Buch, dessen Komposition klar ist und doch nicht aufdringlich wirkt. Über die schwülstige Sprache muss man ein wenig hinwegsehen und sich hineinarbeiten, aber dennoch ist diese Sprache klar und vor allem kein Selbstzweck (ich denke an entsetzliche Phrasen bei Thomas Mann).

Etwas befremdlich innerhalb dieser Erzählung sind mystische Motive, etwa das Bild von Goldmunds Mutter, die keine der handelnden Personen kennt, das für Goldmunds Suche nach Schönheit in der Kunst vorantreibt. Gleichzeitig bleibt Goldmunds Handeln auch für den eher verkopften Leser fast zu jeder Zeit nachvollziehbar und klar. Er ist getrieben von der Suche nach Schönheit und folglich nach Inspiration – der Meister, bei dem er die Holzverarbeitung lernt, bleibt ihm einerseits künstlerisches Vorbild, andererseits ein Schreckgespenst bei der Aussicht ebenso gefesselt an einen Ort, eine Profession, eine Werkstatt zu sein.

Durch Narziß und Goldmund habe ich ein grobes Gefühl dafür bekommen, was es in einem geschichtlichen Überblick über die Literaten der Weimarer Republik hieß: „Hermann Hesse schwankt zwischen Ethik und Ästhetik.“ Wirklich greifen kann ich diese Einschätzung noch nicht, aber es dämmert eine Einsicht, wohin dieser Satz abzielen sollte. Im Gegensatz zu Brecht werde ich einmal zu Hesse zurückkehren. Auch die Person Hesse mag es wert sein, näher beleuchtet zu werden, schon aufgrund der komplexen Hintergründe in seinem Werk, aber auch aufgrund seiner Wirkung, etwa durch den Steppenwolf, oder das Glasperlenspiel.

 

Dieser Exkurs hat mir wieder die Faszination der Weimarer Republik aufgezeigt, die eine so breit gefächerte Künstlerlandschaft hervorgebracht hat. Und gleichzeitig ist dies auch ein Zeichen für die Faszination am Deutschen Kaiserreich, das mit seiner humanistischen Bildung und Kultur überhaupt die Grundlagen für eine solche künstlerische Explosion in den 1920er Jahren geschaffen hat. Von den genannten Werken setzen sich außer Narziß und Goldmund alle mit den komplexen und komplexer werdenden Problemen ihrer Gegenwart auseinander (und auch Hesse hat sich nicht im luftleeren Raum bewegt, sondern ist sowohl von seinen Vorbildern als auch sehr spürbar von seiner Umwelt beeinflusst). Es ist beeindruckend zu lesen, wie diese Welt künstlerisch verarbeitet wurde. Eine Epoche, zu der ich noch oft zurückkehren werde.

What does the determinant have to do with transformed measures?

Let us consider transformations of the space \mathbb{R}^p. How does Lebesgue measure change by this transformation? And how do integrals change? The general case is answered by Jacobi’s formula for integration by substitution. We will start out slowly and only look at how the measure of sets is transformed by linear mappings.

It is folklore in the basic courses on linear algebra, when the determinant of a matrix is introduced, to convey the notion of size of the parallelogram spanned by the column vectors of the matrix. The following theorem shows why this folklore is true; this of course is based on the axiomatic description of the determinant which encodes the notion of size already. But coming from pure axiomatic reasoning, we can connect the axioms of determinant theory to their actual meaning in measure theory.

First, remember the definition of the pushforward measure. Let X and Y be measurable spaces, and f:X\to Y a measurable mapping (i.e. it maps Borel-measurable sets to Borel-measurable sets; we shall not deal with finer details of measure theory here). Let \mu be a measure on X. Then we define a measure on Y in the natural – what would \mu do? – way:

\displaystyle \mu_f(A) := \mu\bigl(f^{-1}(A)\bigr).

In what follows, X = Y = \mathbb{R}^p and \mu = \lambda the Lebesgue measure.

Theorem (Transformation of Measure): Let f be a bijective linear mapping and let A\subset\mathbb{R}^p be a measurable set. Then, the pushforward measure satisfies:

\displaystyle \lambda_f(A) = \left|\det f\right|^{-1}\lambda(A)\qquad\text{for any Borel set }A\in\mathcal{B}^p.

 

We will start with several Lemmas.

Lemma (The Translation-Lemma): Lebesgue measure is invariant under translations.

Proof: Let c,d\in\mathbb{R}^p with c\leq d component-wise. Let t_a be the shift by the vector a\in\mathbb{R}^p, i.e. t_a(v) = v+a and t_a(A) = \{x+a\in\mathbb{R}^p\colon x\in A\}. Then,

\displaystyle t_a^{-1}\bigl((c,d]\bigr) = (c-a,d-a],

where the interval is meant as the cartesian product of the component-intervals. For the Lebesgue-measure, we get

\displaystyle \lambda_{t_a}\bigl((c,d]\bigr) = \lambda\bigl((c-a,d-a]\bigr) = \prod_{i=1}^p\bigl((d-a)-(c-a)\bigr) = \prod_{i=1}^p(d-c) = \lambda\bigl((c,d]\bigr).

The measures \lambda, \lambda_{t_a} hence agree on the rectangles (open on their left-hand sides), i.e. on a semi-ring generating the \sigma-algebra \mathcal{B}^p. With the usual arguments (which might as well involve \cap-stable Dynkin-systems, for instance), we find that the measures agree on the whole \mathcal{B}^p.

q.e.d.

 

Lemma (The constant-multiple-Lemma): Let \mu be a translation-invariant measure on \mathcal{B}^p, and \alpha:=\mu\bigl([0,1]^p\bigr) < \infty. Then \mu(A) = \alpha\lambda(A) for any A\in\mathcal(B)^p.

 

Note that the Lemma only holds for finite measures on [0,1]^p. For instance, the counting measure is translation-invariant, but it is not a multiple of Lebesgue measure.

Proof: We divide the set (0,1]^p via a rectangular grid of sidelengths \frac1{n_i}, i=1,\ldots,p:

\displaystyle (0,1]^p = \bigcup_{\stackrel{k_j=0,\ldots,n_j-1}{j=1,\ldots,p}}\left(\times_{i=1}^p\left(0,\frac1{n_i}\right] + \left(\frac{k_1}{n_1},\ldots,\frac{k_p}{n_p}\right)\right).

On the right-hand side there are \prod_{i=1}^pn_i sets which have the same measure (by translation-invariance). Hence,

\displaystyle \mu\bigl((0,1]^p\bigr) = \mu\left(\bigcup\cdots\right) = n_1\cdots n_p \cdot \mu\left(\times_{i=1}^p \left(0,\frac1{n_i}\right]\right).

Here, we distinguish three cases.

 

Case 1: \mu\bigl((0,1]^p\bigr) = 1. Then,

\displaystyle\mu\left(\times_{i=1}^p (0,\frac1{n_i}]\right) = \prod_{i=1}^p\frac1{n_i} = \lambda\left(\times_{i=1}^p (0,\frac1{n_i}]\right).

By choosing appropriate grids and further translations, we get that \mu(I) = \lambda(I) for any rectangle I with rational bounds. Via the usual arguments, \mu=\lambda on the whole of \mathcal{B}^p.

Case 2: \mu\bigl((0,1]^p\bigr) \neq 1 and >0. By assumption, however, this measure is finite. Setting \gamma = \mu\bigl((0,1]^p\bigr), we can look at the measure \gamma^{-1}\mu, which of course has \gamma^{-1}\mu\bigl((0,1]^p\bigr) = 1. By Case 1, \gamma^{-1}\mu = \lambda.

Case 3: \mu\bigl((0,1]^p\bigr) = 0. Then, using translation invariance again,

\displaystyle \mu(\mathbb{R}^p) = \mu\bigl(\bigcup_{z\in\mathbb{Z}^p}((0,1]^p+z)\bigr) = \sum_{z\in\mathbb{Z}^p}\mu\bigl((0,1]^p\bigr) = 0.

Again, we get \mu(A) = 0 for all A\in\mathcal{B}^p.

 

That means, in all cases, \mu is equal to a constant multiple of \lambda, the constant being the measure of (0,1]^p. That is not quite what we intended, as we wish the constant multiple to be the measure of the compact set [0,1]^p.

Remember our setting \alpha:=\mu\bigl([0,1]^p\bigr) and \gamma := \mu\bigl((0,1]^p\bigr). Let A\in\mathcal{B}^p. We distinguish another two cases:

 

Case a) \alpha = 0. By monotony, \gamma = 0 and Case 3 applies: \mu(A) = 0 = \alpha\lambda(A).

Case b) \alpha > 0. By monotony and translation-invariance,

\displaystyle \alpha \leq \mu\bigl((-1,1]^p\bigr) = 2^p\gamma,

meaning \gamma\geq\frac{\alpha}{2^p}. Therefore, as \alpha>0, we get \gamma>0, and by Case 1, \frac1\gamma\mu(A) = \lambda(A). In particular,

\displaystyle \frac\alpha\gamma = \frac1\gamma\mu\bigl([0,1]^p\bigr) = \lambda\bigl([0,1]^p\bigr) = 1,

and so, \alpha = \gamma, meaning \mu(A) = \gamma\lambda(A) = \alpha\lambda(A).

q.e.d.

 

Proof (of the Theorem on Transformation of Measure). We will first show that the measure \lambda_f is invariant under translations.

We find, using the Translation-Lemma in (\ast), and the linearity of f before that,

\displaystyle    \begin{aligned}    \lambda_{t_a\circ f}(A) = \lambda_f(A-a) &\stackrel{\hphantom{(\ast)}}{=} \lambda\bigl(f^{-1}(A-a)\bigr) \\    &\stackrel{\hphantom{(\ast)}}{=} \lambda\bigl(f^{-1}(A) - f^{-1}(a)\bigr) \\    &\stackrel{(\ast)}{=} \lambda\bigl(f^{-1}(A)\bigr) \\    &\stackrel{\hphantom{(\ast)}}{=} \lambda_f(A),    \end{aligned}

which means that \lambda_f is indeed invariant under translations.

As [0,1]^p is compact, so is f^{-1}\bigl([0,1]^p\bigr) – remember that continuous images of compact sets are compact (here, the continuous mapping is f^{-1}). In particular, f^{-1}\bigl([0,1]^p\bigr) is bounded, and thus has finite Lebesgue measure.

We set c(f) := \lambda_f\bigl([0,1]^p)\bigr). By the constant-multiple-Lemma, \lambda_f is a multiple of Lebesgue measure: we must have

\displaystyle \lambda_f(A) = c(f)\lambda(A)\text{ for all }A\in\mathcal{B}^p.\qquad (\spadesuit)

We only have left to prove that c(f) = \left|\det f\right|^{-1}. To do this, there may be two directions to follow. We first give the way that is laid out in Elstrodt’s book (which we are basically following in this whole post). Later, we shall give the more folklore-way of concluding this proof.

We consider more and more general fashions of the invertible linear mapping f.

Step 1: Let f be orthogonal. Then, for the unit ball B_1(0),

\displaystyle c(f)\lambda\bigl(B_1(0)\bigr) \stackrel{(\spadesuit)}{=} \lambda_f\bigl(B_1(0)\bigr) = \lambda\left(f^{-1}\bigl(B_1(0)\bigr)\right) = \lambda\bigl(B_1(0)\bigr).

This means, that c(f) = 1 = \left|\det(f)\right|.

This step shows for the first time how the properties of a determinant encode the notion of size already: we have only used the basic lemmas on orthogonal matrices (they leave distances unchanged and hence the ball B_1(0) doesn’t transform; besides, their inverse is their adjoint) and on determinants (they don’t react to orthogonal matrices because of their multiplicative property and because they don’t care for adjoints).

Step 2: Let f have a representation as a diagonal matrix (using the standard basis of \mathbb{R}^p). Let us assume w.l.o.g. that f = \mathrm{diag}(d_1,\ldots,d_p) with d_i>0. The case of d_i<0 is only notationally cumbersome. We get

\displaystyle c(f)\lambda_f\bigl([0,1]^p\bigr) = \lambda\left(f^{-1}\bigl([0,1]^p\bigr)\right) = \lambda\bigl(\times_{i=1}^p[0,d_i^{-1}]\bigr) = \prod_{i=1}^pd_i^{-1} = \left|\det f\right|^{-1}.

Again, the basic lemmas on determinants already make use of the notion of size without actually saying so. Here, it is the computation of the determinant by multiplication of the diagonal.

Step 3: Let f be linear and invertible, and let f^\ast be its adjoint. Then f^\ast f is non-negative definite (since for x\in\mathbb{R}^p, x^\ast(f^\ast f)x = (fx)^\ast(fx) = \left\|fx\right\|^2\geq0). By the Principal Axis Theorem, there is some orthogonal matrix v and some diagonal matrix with non-negative entries d with f^\ast f = vd^2v^\ast. As f was invertible, no entry of d may vanish here (since then, its determinant would vanish and in particular, f would no longer be invertible). Now, we set

\displaystyle w:=d^{-1}v^\ast f^\ast,

which is orthogonal because of

\displaystyle ww^\ast = d^{-1} v^\ast f^\ast fv d^{-1} = d^{-1}v^\ast (vd^2v^\ast)v d^{-1} = d^{-1}d^2d^{-1}v^\ast v v^\ast v = \mathrm{id}.

As f = w^\ast dv, we see from Step 1

\displaystyle    \begin{aligned}    c(f) = \lambda_f\bigl([0,1]^p\bigr) &= \lambda\left(v^{-1}d^{-1}w\bigl([0,1]^p\bigr)\right) \\    &= \lambda\left(d^{-1}w\bigl([0,1]^p\bigr)\right)\\    &= \left|\det d\right|^{-1}\lambda\left(w\bigl([0,1]^p\bigr)\right) \\    &= \left|\det d\right|^{-1}\lambda\bigl([0,1]^p\bigr) \\    &= \left|\det f\right|^{-1}\lambda\bigl([0,1]^p\bigr) \\    &= \left|\det f\right|^{-1},    \end{aligned}

by the multiplicative property of determinants again (\det f = \det d).

q.e.d.(Theorem)

 

As an encore, we show another way to conclude in the Theorem, once all the Lemmas are shown and applied. This is the more folklore way alluded to in the proof, making use of the fact that any invertible matrix is the product of elementary matrices (and, of course, making use of the multiplicative property of determinants). Hence, we only consider those.

Because Step 2 of the proof already dealt with diagonal matrices, we only have to look at shear-matrices like E_{ij}(r) := \bigl(\delta_{kl}+r\delta_{ik}\delta_{jl}\bigr)_{k,l=1,\ldots,p}. They are the identity matrix with the (off-diagonal) entry r in row i and column j. One readily finds \bigl(E_{ij}(r)\bigr)^{-1} = E_{ij}(-r), and \det E_{ij}(r) = 1. Any vector v\in[0,1]^p is mapped to

\displaystyle E_{ij}(v_1,\ldots,v_i,\ldots, v_p)^t = (v_1,\ldots,v_i+rv_j,\ldots,v_p)^t.

This gives

\displaystyle    \begin{aligned}\lambda_{E_{ij}(r)}\bigl([0,1]^p\bigr) &= \lambda\left(E_{ij}(-r)\bigl([0,1]^p\bigr)\right) \\    &= \lambda\left(\left\{x\in\mathbb{R}^p\colon x=(v_1,\ldots,v_i-rv_j,\ldots,v_p), v_k\in[0,1]\right\}\right).    \end{aligned}

This is a parallelogram that may be covered by n rectangles as follows: we fix the dimension i and one other dimension to set a rectangle of height \frac1n, width 1+\frac rn (all other dimension-widths = 1; see the image for an illustration). Implicitly, we have demanded that p\geq2 here; but p=1 is uninteresting for the proof, as there are too few invertible linear mappings in \mathbb{R}^1.

By monotony, this yields

\lambda_{E_{ij}(r)}\bigl([0,1]^p\bigr) \leq n\frac1n\left(1+\frac{r}{n}\right) = 1+\frac rn\xrightarrow{n\to\infty}1.

On the other hand, this parallelogram itself covers the rectangles of width 1-\frac rn, and a similar computation shows that in the limit \lambda_{E_{ij}(r)}\bigl([0,1]^p\bigr)\geq1.

In particular: \lambda_{E_{ij}(r)}\bigl([0,1]^p\bigr) = 1 = \left|\det E_{ij}(r)\right|^{-1}.

q.e.d. (Theorem encore)

 

Proving the multidimensional transformation formula for integration by substitution is considerably more difficult than in one dimension, where it basically amounts to reading the chain rule reversedly. Let us state the formula here first:

Theorem (The Transformation Formula, Jacobi): Let U,V\subset \mathbb{R}^p be open sets and let \Phi:U\to V be a \mathcal{C}^1-diffeomorphism (i.e. \Phi^{-1} exists and both \Phi and \Phi^{-1} are \mathcal{C}^1-functions). Let f:V\to\mathbb{R} be measurable. Then, f\circ\Phi:U\to\mathbb{R} is measurable and

\displaystyle\int_V f(t)dt = \int_U f\bigl(\Phi(s)\bigr)\left|\det\Phi'(s)\right|ds.

 

At the core of the proof is the Theorem on Transformation of Measure that we have proved above. The idea is to approximate \Phi by linear mappings, which locally transform the Lebesgue measure underlying the integral and yield the determinant in each point as correction factor. The technical difficulty is to show that this approximation does no harm for the evaluation of the integral.

We will need a lemma first, which carries most of the weight of the proof.

 

The Preparatory Lemma: Let U,V\subset \mathbb{R}^p be open sets and let \Phi:U\to V be a \mathcal{C}^1-diffeomorphism. If X\subset U is a Borel set, then so is \Phi(X)\subset V, and

\displaystyle \lambda\bigl(\Phi(X)\bigr)\leq\int_X\left|\det\Phi'(s)\right|ds.

Proof: Without loss of generality, we can assume that \Phi, \Phi' and (\Phi')^{-1} are defined on a compact set K\supset U. We consider, for instance, the sets

\displaystyle U_k:=\left\{ x\in U\colon \left|x\right|<k, \mathrm{dist}\bigl(x,U^\complement\bigr)>\frac1k\right\}.

The U_k are open and bounded, \overline U_k is hence compact, and there is a chain U_k\subset\overline U_k\subset U_{k+1}\subset\cdots for all k, with U=\bigcup_kU_k. To each U_k there is, hence, a compact superset on which \Phi, \Phi' and (\Phi')^{-1} are defined. Now, if we can prove the statement of the Preparatory Lemma on X_k := X\cap U_k, it will also be true on X=\lim_kX_k by the monotone convergence theorem.

As we can consider all relevant functions to be defined on compact sets, and as they are continuous (and even more) by assumption, they are readily found to be uniformly continuous and bounded.

It is obvious that \Phi(X) will be a Borel set, as \Phi^{-1} is continuous.

 

Let us prove that the Preparatory Lemma holds for rectangles I with rational endpoints, being contained in U.

There is some r>0 such that for any a\in I, B_r(a)\subset U. By continuity, there is a finite constant M with

\displaystyle M:=\sup_{t\in I}\left\|\bigl(\Phi'(t)\bigr)^{-1}\right\|,

and by uniform continuity, r may be chosen small enough such that, for any \varepsilon>0, even

\displaystyle \sup_{x\in B_r(a)}\left\|\Phi'(x)-\Phi'(a)\right\|\leq\frac{\varepsilon}{M\sqrt p} \text{ for every }a\in I.

With this r, we may now sub-divide our rectangle I into disjoint cubes I_k of side-length d such that d<\frac{r}{\sqrt p}. In what follows, we shall sometimes need to consider the closure \overline I_k for some of the estimates, but we shall not make the proper distinction for reasons of legibility.

For any given b\in I_k, every other point c of I_k may at most have distance d in each of its components, which ensures

\displaystyle\left\|b-c\right\|^2 \leq \sum_{i=1}^pd^2 = pd^2 < r^2.

This, in turn, means, I_k\subset B_r(b) (and B_r(b)\subset U has been clear because of the construction of r).

Now, in every of the cubes I_k, we choose the point a_k\in I_k with

\displaystyle\left|\det\Phi'(a_k)\right| = \min_{t\in I_k}\left|\det\Phi'(t)\right|,

and we define the linear mapping

\displaystyle \Phi_k:=\Phi'(a_k).

Remember that for convex sets A, differentiable mappings h:A\to\mathbb{R}^p, and points x,y\in A, the mean value theorem shows

\displaystyle \left\|h(x)-h(y)\right\|\leq\left\|x-y\right\|\sup_{\lambda\in[0,1]}\left\|h'\bigl(x+\lambda(y-x)\bigr)\right\|.

Let a\in I_k be a given point in one of the cubes. We apply the mean value theorem to the mapping h(x):=\Phi(x)-\Phi_k(x), which is certainly differentiable, to y:=a_k, and to the convex set A:=B_r(a):

\displaystyle    \begin{aligned}    \left\|h(x)-h(y)\right\|&\leq\left\|x-y\right\|\sup_{\lambda\in[0,1]}\left\|h'\bigl(x+\lambda(y-x)\bigr)\right\|\\    \left\|\Phi(x)-\Phi_k(x)-\Phi(a_k)+\Phi_k(a_k)\right\| & \leq \left\|x-a_k\right\|\sup_{\lambda\in[0,1]}\left\|\Phi'\bigl(x+\lambda(x-a_k)\bigr)-\Phi'(a_k)\right\|\\    \left\|\Phi(x)-\Phi(a_k)-\Phi_k(x-a_k)\right\| &< \left\|x-a_k\right\| \frac{\varepsilon}{M\sqrt p}\qquad (\clubsuit).    \end{aligned}

Note that as a_k\in I_k\subset B_r(a), x+\lambda(x-a_k)\in B_r(a) by convexity, and hence the upper estimate of uniform continuity is applicable. Note beyond that, that \Phi_k is the linear mapping \Phi'(a_k) and the derivative of a linear mapping is the linear mapping itself.

Now, \left\|x-a_k\right\|< d\sqrt p, as both points are contained in I_k, and hence (\clubsuit) shows

\displaystyle    \begin{aligned}    \Phi(I_k) &\subset \Phi(a_k)+\Phi_k(I_k-a_k)+B_{\frac{\varepsilon}{M\sqrt p}d\sqrt p}(0) \\    &\subset \Phi(a_k)+\Phi_k(I_k-a_k)+B_{\frac{d\varepsilon}{M}}(0).    \end{aligned}

By continuity (and hence boundedness) of \Phi', we also have

\displaystyle \left\|(\Phi_k)^{-1}(x)\right\|\leq\left\|\bigl(\Phi'(a_k)\bigr)^{-1}\right\|\left\|x\right\|\leq M \left\|x\right\|,

which means B_{\frac{d\varepsilon}{M}}(0) = \Phi_k\left(\Phi_k^{-1}\bigl(B_{\frac{d\varepsilon}{M}}(0)\bigr)\right) \subset \Phi_k\bigl(B_{d\varepsilon}(0)\bigr).

Hence:

\displaystyle \Phi(I_k) \subset \Phi(a_k) + \Phi_k\bigl(I_k-a_k+B_{d\varepsilon}(0)\bigr).

Why all this work? We want to bound the measure of the set \Phi(I_k), and we can get it now: the shift \Phi(a_k) is unimportant by translation invariance. And the set I_k-a_k+B_{d\varepsilon}(0) is contained in a cube of side-length d+2d\varepsilon. As promised, we have approximated the mapping \Phi by a linear mapping \Phi_k on a small set, and the transformed set has become only slightly bigger. By the Theorem on Transformation of Measure, this shows

\displaystyle    \begin{aligned}    \lambda\bigl(\Phi(I_k)\bigr) &\leq \lambda\left(\Phi_k\bigl(I_k-a_k+Blat_{d\varepsilon}(0)\bigr)\right) \\    &=\left|\det\Phi_k\right|\lambda\bigl(I_k-a_k+B_{d\varepsilon}(0)\bigr)\\    &\leq \left|\det\Phi_k\right|d^p(1+2\varepsilon)^p \\    &= \left|\det\Phi_k\right|(1+2\varepsilon)^p\lambda(I_k).    \end{aligned}

Summing over all the cubes I_k of which the rectangle I was comprised, (remember that \Phi is a diffeomorphism and disjoint sets are kept disjoint; besides, a_k has been chosen to be the point in I_k of smallest determinant for \Phi')

\displaystyle    \begin{aligned}    \lambda\bigl(\Phi(I)\bigr) &\leq (1+2\varepsilon)^p\sum_{k=1}^n\left|\det \Phi_k\right|\lambda(I_k) \\    &= (1+2\varepsilon)^p\sum_{k=1}^n\left|\det \Phi'(a_k)\right|\lambda(I_k)\\    &= (1+2\varepsilon)^p\sum_{k=1}^n\int_{I_k}\left|\det\Phi'(a_k)\right|ds\\    &\leq (1+2\varepsilon)^p\int_I\left|\det\Phi'(s)\right|ds.    \end{aligned}

Taking \varepsilon\to0 yields to smaller subdivisions I_k and in the limit to the conclusion. The Preparatory Lemma holds for rectangles.

 

Now, let X\subset U be any Borel set, and let \varepsilon>0. We cover X by disjoint (rational) rectangles R_k\subset U, such that \lambda\bigl(\bigcup R_k \setminus X\bigr)<\varepsilon. Then,

\displaystyle    \begin{aligned}    \lambda\bigl(\Phi(X)\bigr) &\leq \sum_{k=1}^\infty \lambda\bigl(\Phi(R_k)\bigr)\\    &\leq\sum_{k=1}^\infty\int_{R_k}\left|\det \Phi'(s)\right|ds\\    &= \int_{\bigcup R_k}\left| \det\Phi'(s)\right| ds\\    &= \int_X\left| \det\Phi'(s)\right| ds + \int_{\bigcup R_k\setminus X}\left|\det\Phi'(s)\right|ds\\    &\leq \int_X\left| \det\Phi'(s)\right| ds + M\lambda\left(\bigcup R_k\setminus X\right)\\    &\leq \int_X\left| \det\Phi'(s)\right| ds + M\varepsilon.    \end{aligned}

If we let \varepsilon\to0, we see \lambda\bigl(\Phi(X)\bigr)\leq\int_X\bigl|\det\Phi'(s)\bigr|ds.

q.e.d. (The Preparatory Lemma)

 

We didn’t use the full generality that may be possible here: we already focused ourselves on the Borel sets, instead of the larger class of Lebesgue-measurable sets. We shall skip the technical details that are linked to this topic, and switch immediately to the

Proof of Jacobi’s Transformation Formula: We can focus on non-negative functions f without loss of generality (take the positive and the negative part separately, if needed). By the Preparatory Lemma, we already have

\displaystyle\begin{aligned}    \int_{\Phi(U)}\mathbf{1}_{\Phi(X)}(s)ds &= \int_{V}\mathbf{1}_{\Phi(X)}(s)ds\\    &= \int_{\Phi(X)}ds\\    &= \lambda\bigl(\Phi(X)\bigr)\\    &\leq \int_X\left|\det\Phi'(s)\right|ds\\    &= \int_U\mathbf{1}_X(s)\left|\det\Phi'(s)\right|ds\\    &= \int_U\mathbf{1}_{\Phi(X)}\bigl(\Phi(s)\bigr)\left|\det\Phi'(s)\right|ds,    \end{aligned}

which proves the inequality

\displaystyle \int_{\Phi(U)}f(t)dt \leq \int_U f\bigl(\Phi(s)\bigr)\left|\det\Phi'(s)\right|ds,

for indicator functions f = \mathbf{1}_{\Phi(X)}. By usual arguments (linearity of the integral, monotone convergence), this also holds for any measurable function f. To prove the Transformation Formula completely, we apply this inequality to the transformation \Phi^{-1} and the function g(s):=f\bigl(\Phi(s)\bigr)\left|\det\Phi'(s)\right|:

\displaystyle    \begin{aligned}    \int_Uf\bigl(\Phi(s)\bigr)\left|\det\Phi'(s)\right|ds &= \int_{\Phi^{-1}(V)}g(t)dt\\    &\leq \int_Vg\bigl(\Phi^{-1}(t)\bigr)\left|\det(\Phi^{-1})'(t)\right|dt\\    &=\int_{\Phi(U)}f\Bigl(\Phi\bigl(\Phi^{-1}(t)\bigr)\Bigr)\left|\det\Phi'\bigl(\Phi^{-1}(t)\bigr)\right|\left|\det(\Phi^{-1})'(t)\right|dt\\    &=\int_{\Phi(U)}f(t)dt,    \end{aligned}

since the chain rule yields \Phi'\bigl(\Phi^{-1}\bigr)(\Phi^{-1})' = \bigl(\Phi(\Phi^{-1})\bigr)' = \mathrm{id}. This means that the reverse inequality also holds. The Theorem is proved.

q.e.d. (Theorem)

 

There may be other, yet more intricate proofs of this Theorem. We shall not give any other of them here, but the rather mysterious looking way in which the determinant pops up in the transformation formula is not the only way to look at it. There is a proof by induction, given in Heuser’s book, where the determinant just appears from the inductive step. However, there is little geometric intuition in this proof, and it is by no means easier than what we did above (as it make heavy use of the theorem on implicit functions). Similar things may be said about the rather functional analytic proof in Königsberger’s book (who concludes the transformation formula by step functions converging in the L^1-norm, he found the determinant pretty much in the same way that we did).

 

Let us harvest a little of the hard work we did on the Transformation Formula. The most common example is the integral of the standard normal distribution, which amounts to the evaluation of

\displaystyle \int_{-\infty}^\infty e^{-\frac12x^2}dx.

This can happen via the transformation to polar coordinates:

\Phi:(0,\infty)\times(0,2\pi)\to\mathbb{R}^2,\qquad (r,\varphi)\mapsto (r\cos \varphi, r\sin\varphi).

For this transformation, which is surjective on all of \mathbb{R}^2 except for a set of measure 0, we find

\Phi'(r,\varphi) = \begin{pmatrix}\cos\varphi&-r\sin\varphi\\\sin\varphi&\hphantom{-}r\cos\varphi\end{pmatrix},\qquad \det\Phi'(r,\varphi) = r.

From the Transformation Formula we now get

\displaystyle    \begin{aligned}    \left(\int_{-\infty}^\infty e^{-\frac12x^2}dx\right)^2 &= \int_{\mathbb{R}^2}\exp\left(-\frac12x^2-\frac12y^2\right)dxdy\\    &= \int_{\Phi\left((0,\infty)\times(0,2\pi)\right)}\exp\left(-\frac12x^2-\frac12y^2\right)dxdy\\    &= \int_{(0,\infty)\times(0,2\pi)}\exp\left(-\frac12r^2\cos^2(\varphi)-\frac12r^2\sin^2(\varphi)\right)\left|\det\Phi'(r,\varphi)\right|drd\varphi\\    &= \int_{(0,\infty)\times(0,2\pi)}\exp\left(-\frac12r^2\right)rdrd\varphi\\    &= \int_0^\infty\exp\left(-\frac12r^2\right)rdr\int_0^{2\pi}d\varphi \\    &= 2\pi \left[-\exp\left(-\frac12r^2\right)\right]_0^\infty\\    &= 2\pi \left(1-0\right)\\    &= 2\pi.    \end{aligned}

In particular, \int_{-\infty}^\infty e^{-\frac12x^2}dx=\sqrt{2\pi}. One of the very basic results in probability theory.

 

Another little gem that follows from the Transformation Formula are the Fresnel integrals

\displaystyle \int_{0}^\infty \cos(x^2)dx = \int_{0}^\infty\sin(x^2)dx = \sqrt{\frac{\pi}{8}}.

 

They follow from the same basic trick given above for the standard normal density, but as other methods for deriving this result involve even trickier uses of similarly hard techniques (the Residue Theorem, for instance, as given in Remmert’s book), we shall give the proof of this here:

Consider

\displaystyle F(t)=\int_{0}^\infty e^{-tx^2}\cos(x^2)dx\qquad\text{and}\qquad\int_{0}^\infty e^{-tx^2}\sin(x^2)dx.

Then, the trigonometric identity \cos a+b = \cos a \cos b - \sin a\sin b tells us

\displaystyle    \begin{aligned}    \bigl(F(t)\bigr)^2 - \big(G(t)\bigr)^2 &= \int_0^\infty\int_0^\infty e^{-t(x^2+y^2)}\cos(x^2)\cos(y^2)dxdy - \int_0^\infty\int_0^\infty e^{-t(x^2+y^2)}\sin(x^2)\sin(y^2)dxdy\\    &= \int_0^\infty\int_0^\infty e^{-t(x^2+y^2)}\bigl(\cos(x^2+y^2)+\sin(x^2)\sin(y^2) - \sin(x^2)\sin(y^2)\bigr)dxdy\\    &= \int_0^\infty\int_0^{\frac\pi2}e^{-tr^2}\cos(r^2)rd\varphi dr\\    &= \frac\pi2 \int_0^\infty e^{-tu}\cos u\frac12du.    \end{aligned}

This integral can be evaluated by parts to show

\displaystyle \int_0^\infty e^{-tu}\cos udu\left(1+\frac1{t^2}\right) = \frac1t,

which means

\displaystyle \bigl(F(t)\bigr)^2 - \bigl(G(t)\bigr)^2 = \frac\pi4\int_0^\infty\int_0^\infty e^{-tu}\cos udu = \frac\pi4\frac t{t^2+1}.

Then we consider the product F(t)G(t) and use the identity \sin(a+b) = \cos a\sin b + \cos b\sin a, as well as the symmetry of the integrand and integration by parts, to get

\displaystyle    \begin{aligned}    F(t)G(t) &= \int_0^\infty\int_0^\infty e^{-t(x^2+y^2)}\bigl(\cos(x^2)\sin(y^2)\bigr)dxdy\\    &=2\int_0^\infty\int_0^ye^{-t(x^2+y^2)}\sin(x^2+y^2)dxdy\\    &=2\int_0^\infty\int_0^{\frac\pi8}e^{-tr^2}\sin(r^2)rd\varphi dr\\    &=\frac\pi4\int_0^\infty e^{-tr^2}\sin(r^2)r dr\\    &=\frac\pi4\int_0^\infty e^{-tu}\sin u\frac12du\\    &=\frac\pi8\frac1{1+t^2}.    \end{aligned}

We thus find by the dominated convergence theorem

\displaystyle    \begin{aligned}    \left(\int_0^\infty\cos x^2dx\right)^2-\left(\int_0^\infty\sin x^2dx\right)^2 &= \left(\int_0^\infty\lim_{t\downarrow0}e^{-tx}\cos x^2dx\right)^2-\left(\int_0^\infty\lim_{t\downarrow0}e^{-tx}\sin x^2dx\right)^2 \\    &=\lim_{t\downarrow0}\left(\bigl(F(t)\bigr)^2-\bigl(G(t)\bigr)^2\right)\\    &=\lim_{t\downarrow0}\frac\pi4\frac{t}{t^2+1}\\    &=0,    \end{aligned}

and

\displaystyle    \begin{aligned}    \left(\int_0^\infty\cos x^2dx\right)^2 &= \left(\int_0^\infty\cos x^2dx\right)\left(\int_0^\infty\sin x^2dx\right)\\    &=\left(\int_0^\infty\lim_{t\downarrow0}e^{-tx}\cos x^2dx\right)\left(\int_0^\infty\lim_{t\downarrow0}e^{-tx}\sin x^2dx\right)\\    &=\lim_{t\downarrow0}F(t)G(t)\\    &=\lim_{t\downarrow0}\frac\pi8\frac1{1+t^2}\\    &=\frac\pi8.    \end{aligned}

One can easily find the bound that both integrals must be positive and from the first computation, we get

\int_0^\infty\cos x^2dx = \int_0^\infty\sin x^2dx,

from the second computation follows that the integrals have value \sqrt{\frac\pi8}.

q.e.d. (Fresnel integrals)

 

Even Brouwer’s Fixed Point Theorem may be concluded from the Transformation Formula (amongst a bunch of other theorems, none of which is actually as deep as this one though). This is worthy of a seperate text, mind you.

Well done, youtube-algorithm…

In the past few weeks I have encountered a youtube channel that gives several nice ideas about art and about some artistic ideas work. Apparently, youtube (which is to mean: Google) knows enough about my musical preferences to present a video called “Lord of the Rings: How music elevates story”, which de-constructs the musical leitmotifs in the score of Peter Jackson’s Lord of the Rings trilogy:

In particular, I had recognized the different themes in the score by myself, but the way they were intertwined had stayed hidden from my conscious thinking. A very nice clip that most certainly made my day – and in particular, I found out that the nerdwriter-channel had plenty of other very insightful ideas to discover: understanding Picasso or Edvard Munch (he didn’t just paint The Scream, you know, even though it is his very most famous piece, and rightly so), looking deeper into Bob Dylan’s lyrics, analyzing the speeches and tweets of President Donald Trump, something on how great directors work, as in Sherlock, or Saving Private Ryan, even about the Beatles’ cover of Sgt. Pepper’s Lonely Hearts Club Band (which would tell me little new, but I wouldn’t expect that in a non-specialist video). A very nice channel, challenging me to think deeply about many different topics, both old and new to me.

A slight introspective.

There are basic differences between the categories in which this blog is organized. On the one hand, there is maths, often rather technical and detailed, highlighting some certain aspect of a topic that has caught my interest. Usually, those texts are written immediately after I have spent enough time with this particular topic – as I often switch the topics of interest and as I tend to forget the technical details pretty fast. As a matter of fact, this is exactly why there are these mathematical texts: I can get amazed by remembering the details when I re-read the blog, and especially when I have understood fundamental things about something, I wish to keep some record and some hint of how things work.

On the other hand, there are the deeper texts on literature, like book reviews or texts on topics that I have spent a lot of time with (usually a lot more than with the particular math topics: those switch faster). In some respects, I find those texts not only deep and long, but also somewhat more mature. I have taken a lot of time to develop an understanding of these things, and even if someone was to disagree with me, I would feel ready for discussion, even years later. This is why my stack of topics to be covered changes rather slowly. I have a text on Sebastian Haffner in the back of my mind, which still needs to be written, and which can’t be written in just half an hour of leisure time; same goes for a text on the TV-series Sherlock, which itself may be still work in progress, anyway. I was tempted to start a text on ancient Greece and democracy (today compared to the past), but I didn’t feel to have any definite view yet – this topic needs some more maturity. Time and again, texts like the one on The Beatles just drop out of my head and appear here, which then strikes me as a nice event, as I have managed to put down my present view of some aspect that I have spent very much time with.

And then, there are the posts like this one. Somewhat short, lacking the really deep insights, but in some way serving as a blog in the original sense of the word: as my “web-log”. They deal with topics that sparked my immediate interest, they sometimes deal with my lack of putting my insights in writing, they sometimes even focus on my personal situation of sorts. I am quite aware of the problem that this post doesn’t bring any benefit to humanity, and that this kind of self-centration is one of the tombstones of modern media. But, if my deeper insights still have to mature, then so be it. Let us stick to Gauss: Pauca sed matura. And, as the phases come and go, my lack of spare time has returned and makes it harder to actually let my insights mature as much as I want them to. But, on the up-side, new music by Judith Holofernes is about to show up, I encountered the most amazing unplugged music by the wonderfully talented Taylor Swift, I’ve had a look at the 4th season of Sherlock, and I retrieved a great book with short-stories by Andreas Eschbach. All this made my day, several times over.

Maybe, in some way, having thought about the structure of what can be found here, has been quite an insight for myself. Considering where this post started, that’s not nothing.

Johann Kepler and how planets move

Kepler’s Laws of planetary motion follow very smoothly from Newton’s Law of Gravitation. Very little tough mathematics is needed for the proofs, it can actually be done with ordinary differential calculus and some knowledge on path integration.

Of course, from a historical point of view, these laws appeared reversed. Kepler had neither Newton’s Law at his disposal, nor had he sufficient use of the calculus machinery that we have today. Instead, his way of coming up with his Laws included years of hard work on the astronomical tables compiled by Tycho Brahe; Kepler himself was unable to make astronomical observations himself, even with his self-invented telescope, as he was ill-sighted for all his life. Later, Newton could rely on Kepler’s results to find inspiration for his Law of Gravitation: indeed, unless he could relate his results to Kepler’s laws, he knew his results to be incomplete. Together with his many other achievements (for instance, Kepler was the first to state Simpson’s rule, which is accordingly called “Kepler’s barrel rule” sometimes) this makes him one of the most interesting minds of the early modern era. His interest in planet’s orbits was rooted in astrology and the construction of horoscopes; his observations and deductions led him to drop both Copernicus’ thought that the orbits were circles and, later, that there were no platonic solids involved. Both Copernicus and Kepler had revolutionized the thoughts on space itself, Copernicus by showing how much easier the orbits can be described when Earth is allowed to move itself (no more epicycles and the like), but Kepler made it even easier by dropping circles altogether.

To consider how hard the problem of finding the planet’s orbits is, consider that we have plenty of observational data of the planets, however the data contain two unknowns: the orbit of Earth and the orbit of the planet. On top of that, our observations only tell us about the angle under which the planet is observed, we don’t learn anything about the distances involved (unless we have Kepler’s third law at our disposal). In a very insightful talk for a wider audience, Terry Tao has explained some of Kepler’s ideas on this, especially how Kepler dealt with the orbit of Mars which had been for several reasons the most tricky one of the orbits in the models that preceded Kepler. Tao mentions that Einstein valued the finding of Kepler’s Laws one of the most shining moments in the history of human curiosity. “And if Einstein calls you a genius, you are really doing well.

From these Laws and from what Newton and his successors achieved, many things can be inferred that are impossible to measure directly. For instance the mass of the Sun and all planets can be computed from here, once the gravitational constant is known (which is tricky to pinpoint, actually). Voltaire is quoted with the sentence, regarding Newton’s achievements but this would fit to Kepler as well, that the insights gained “semblaient n’être pas faites pour l’esprit humain.

To give just a tiny bit of contrast, we mention that Kepler also had erroneous thoughts that show how deeply he was still rooted in ancient ideas of harmonics and aesthetics. For instance, Kepler tried to prove why the Solar system had exactly six planets (or to rephrase a little more accurately to his thinking: why God had found pleasure in creating exactly six planets). For some time, he believed that the reason was related to the fact that there are exactly five platonic solids which define the structure of the six orbits around the sun. Those were ideas also related to the integer harmonies of a vibrating string, as the planets were supposed to move in a harmonical way themselves. Of course, in these days the observations were limited up to Saturn, as the outer planets (and dwarf planets) cannot be found by eyesight or the telescopes at Kepler’s disposal; all such ideas were doomed to be incomplete. However, his quest for harmonics in the Solar system led him in the end to his Third Law. On another account, Kepler was mistaken in the deduction of his First Law, since he lacked the deep knowledge about integration that would be developed decades later; luckily, his mistake cancels out with another mistake later on: “Es ist schon atemberaubend, wie sich bei Keplers Rechnungen letztlich doch alles fügt.” (“It is stunning how everything in Kepler’s computations adds up in the end”; have a look at Sonar’s highly readable and interesting book on the history of calculus for this).

In what follows, we shall show how the Kepler’s Laws can be proved, assuming Newton’s Law of Gravitation, in a purely mathematical fashion. There will be no heuristics from physics or from astronomy, only the axiomatic mathematical deduction that mostly works without any intuition from the applications (though we will look at motivations for why some definitions are made the way they are).

As a nice aside, we can look at the mathematical descriptions of the conic sections on which the first Law relies. But here again, there’s no connection to why these curve are called this way.

Let us state Kepler’s Laws here first.

Kepler’s First Law of Planetary Motion: Planets orbit in ellipses, with the Sun as one of the foci.

Kepler’s Second Law of Planetary Motion: A planet sweeps out equal areas in equal times.

Kepler’s Third Law of Planetary Motion: The square of the period of an orbit is proportional to the cube of its semi-major axis.

Let us prove this, by following the account of Königsberger’s book on calculus. Many calculus books deal with Kepler’s Laws in a similar axiomatical fashion, yet we stick to this account as it appears to be the neatest one without conjuring up too much of physics.

We shall give a couple of technical lemmas first.

 

The Triangle-Lemma: The triangle marked by the points (x_1,y_1), (x_2,y_2), (x_3,y_3) has area \displaystyle \frac12\left|\mathrm{det}\begin{pmatrix}1&x_1&y_1\\1&x_2&y_2\\1&x_3&y_3\end{pmatrix}\right|.

Proof: The triangle together with the coordinate axes marks the parallelograms:

P_{13} with the points (x_1,y_1), (x_3, y_3), (x_3,0), (x_1,0);

P_{23} with the points (x_2,y_2), (x_3, y_3), (x_3,0), (x_2,0);

P_{12} with the points (x_1,y_1), (x_2, y_2), (x_2,0), (x_1,0).

dreiecksflaeche

Thus, the area of the triangle is:

F_{T} = P_{13}+P_{23}-P_{12}.

The sign represents the situation given in the figure. For other triangles, another permutation of the signs may be necessary, but there will always be exactly one negative sign. Other permutations of the sign only represent a re-numbering of the points and therefore a change of sign in the determinant given in the statement. As we put absolute values to our statement, we avoid any difficulties of this kind.

As each of the paralellograms has two of their points on the x-axis, we find

\begin{aligned}    F_{T} &= \frac{y_1+y_3}{2}(x_3-x_1)+\frac{y_2+y_3}{2}(x_2-x_3)-\frac{y_1+y_2}{2}(x_2-x_1)\\    &= \frac12\left(x_1\bigl((y_1+y_2)-(y_1+y_3)\bigr) + x_2\bigl((y_2+y_3)-(y_1+y_2)\bigr) + x_3\bigl((y_1+y_3)-(y_2+y_3)\bigr)\right)\\    &= \frac12\left(x_1\bigl((y_1-y_3) + (y_2 - y_1)\bigr) + x_2(y_3-y_1) + x_3(y_1-y_2)\right)\\    &= \frac12\left((x_2-x_1)(y_3-y_1) - (x_3-x_1)(y_2-y_1)\right)\\    &= \frac12\mathrm{det}\begin{pmatrix}x_2-x_1&y_2-y_1\\x_3-x_1&y_3-y_1\end{pmatrix}\\    &= \frac12\mathrm{det}\begin{pmatrix}1&x_1&y_1\\0&x_2-x_1&y_2-y_1\\0&x_3-x_1&y_3-y_1\end{pmatrix}\\    &= \frac12\mathrm{det}\begin{pmatrix}1&x_1&y_1\\1&x_2&y_2\\1&x_3&y_3\end{pmatrix}.    \end{aligned}

Q.e.d.

 

Lemma (Leibniz’ sector formula): Let \gamma:[a,b]\to\mathbb{R}^2 be a continuously differentiable path, \gamma(t) = \begin{pmatrix}x(t)\\y(t)\end{pmatrix}. Then the line segment from 0 to the points of the path sweeps the area \displaystyle\frac12\int_a^b(x\dot y - y\dot x)dt.

Note that we have used Newton’s notation for derivatives. One might also write the integral as \displaystyle\int_a^b\bigl(x(t)y'(t)-y(t)x'(t)\bigr)dt.

Proof: Let us clarify first, what we understand by “sweeping” line segments. Consider the path \gamma given in the image.

weg

As this path is not closed (it’s not a contour), it doesn’t contain an area. But if we take the origin into account, we can define an area that is related to where the path is:

fahrstrahl

Now, pick a partition of [a,b], such as \{a=t_0,t_1,\ldots,t_{n-1},b=t_n\} and make a polygon of the partition and the origin – the corresponding triangles form an area that approximates the area bounded by \gamma, as above.

fahrstrahl_proxy

As the partition gets finer, we expect that the polygon-area converges to the \gamma-area. And this is where the definition originates, of the area that is swept by a path:

For any \varepsilon>0 there shall be \delta>0, such that for every partition \{t_0,\ldots,t_n\} of [a,b] that is finer than \delta, we get

\displaystyle \left|\sum_{i=0}^{n-1}F_{T_i} - \frac12\int_a^b(x\dot y-y\dot x)dt\right| < \varepsilon.\qquad(\ast)

Here, F(T_i) is the area of the triangle bounded by \gamma_{t_i}, \gamma_{t_{i+1}} and the origin. By the Triangle-Lemma, its area is \displaystyle\frac12\mathrm{det}\begin{pmatrix}1&0&0\\1&x_i&y_i\\1&x_{i+1}&y_{i+1}\end{pmatrix}.

Because the orientation of the T_i might be of importance, F(T_i) may keep its sign in what follows (Imagine, for instance, a path that traverses a line segment once from left to right and once from right to left; in total, no area is covered).

Now, let us prove that (\ast) is true.

As \dot x and \dot y are continuous, choose L=\max\left(\max_{[a,b]}\left|\dot x(t)\right|, \max_{[a,b]}\left|\dot y(t)\right|\right) and take \delta = \frac{\varepsilon}{2L^2(b-a)}. Take a partition \{t_0,\ldots,t_n\} with t_0=a, t_0=b and \left|t_{k+1}-t_k\right| < \delta for k=0,\ldots,n-1. Then, for any such k,

\begin{aligned}    F(T_k) &= \frac12\mathrm{det}\begin{pmatrix}1&0&0\\1&x_k&y_k\\1&x_{k+1}&y_{k+1}\end{pmatrix}\\    &=\frac12(x_ky_{k+1}-x_{k+1}y_k)\\    &= \frac12\Bigl(x_k\bigl(y_k+(y_{k+1}-y_k)\bigr) - y_k\bigl(x_k+(x_{k+1}-x_k)\bigr)\Bigr)\\    &=\frac12\bigl(x_k(y_{k+1}-y_k)-y_k(x_{k+1}-x_k)\bigr)\\    &=\frac12\left(x_k\int_{t_k}^{t_{k+1}}\dot y(t)dt - y_k\int_{t_k}^{t_{k+1}}\dot x(t)dt\right)\\    &=\frac12\int_{t_k}^{t_{k+1}}\bigl(x_k\dot y(t)-y_k\dot x(t)\bigr)dt.    \end{aligned}

This yields, using the mean value theorem,

\begin{aligned}    \left|2F(T_k)-\int_{t_k}^{t_{k+1}}(x\dot y-y\dot x)dt\right| &= \left|\int_{t_k}^{t_{k+1}}(x_k\dot y-y_k\dot x-x\dot y+y\dot x)dt\right|\\    &\leq \left|\int_{t_k}^{t_{k+1}}(x_k-x)\dot ydt\right| + \left|\int_{t_k}^{t_{k+1}}(y-y_k)\dot xdt\right|\\    &\leq\int_{t_k}^{t_{k+1}}\max_{[a,b]}\left|\dot x(t)\right|\left|{t_k-t}\right|\left|\dot y(t)\right|dt + \\    &\hphantom{=}+\int_{t_k}^{t_{k+1}}\max_{[a,b]}\left|\dot y(t)\right|\left|{t_k-t}\right|\left|\dot x(t)\right|dt\\    &\leq L^2\left|t_{k+1}-t_k\right|(t_{k+1}-t_k) + L^2\left|t_{k+1}-t_k\right|(t_{k+1}-t_k)\\    &< 2L^2\delta(t_{k+1}-t_k).    \end{aligned}

We conclude

\displaystyle\left|2\sum_{k=0}^{n-1}F(T_k) - \int_a^b(x\dot y - y\dot x)dt\right| < 2L^2\delta(b-a) = \varepsilon.

Q.e.d.

One might as well prove this by applying Green’s Theorem, but in this case it just gets less elementary.

 

The \times-Lemma: Let a,b\in\mathbb{R}^3. We set

\displaystyle a\times b := \begin{pmatrix}a_2b_3-a_3b_2\\a_3b_1-a_1b_3\\a_1b_2-a_2b_1\end{pmatrix}.

Obviously, this is linear both in a and in b. We have

(i)\quad\displaystyle \left\langle (a\times b),c\right\rangle = \mathrm{det}(a,b,c).

(ii)\quad a\times b is orthogonal to a and to b.

(iii)\quad\displaystyle (a\times b)\times c = -\left\langle b,c\right\rangle a + \left\langle a,c\right\rangle b (Grassmann’s equation).

(iv)\quad\displaystyle (a\times b)^{\cdot} = \dot a\times b+a\times\dot b.

Proof: For (i):

\begin{aligned}    \left\langle (a\times b),c\right\rangle &= \left\langle\begin{pmatrix}a_2b_3-a_3b_2\\a_3b_1-a_1b_3\\a_1b_2-a_2b_1\end{pmatrix},\begin{pmatrix}c_1\\c_2\\c_3\end{pmatrix}\right\rangle\\    &=c_1(a_2b_3-a_3b_2)+c_2(a_3b_1-a_1b_3)+c_3(a_1b_2-a_2b_1)\\    &=c_1\mathrm{det}\begin{pmatrix}a_2&b_2\\a_3&b_3\end{pmatrix}-c_2\mathrm{det}\begin{pmatrix}a_1&b_1\\a_3&b_3\end{pmatrix}+c_3\mathrm{det}\begin{pmatrix}a_1&b_1\\a_2&b_2\end{pmatrix}\\    &=\mathrm{det}\begin{pmatrix}a_1&b_1&c_1\\a_2&b_2&c_2\\a_3&b_3&c_3\end{pmatrix}\\    &=\mathrm{det}(a,b,c).    \end{aligned}

For (ii): \left\langle a\times b, a\right\rangle = \mathrm{det}(a,b,a)=0 and \left\langle a\times b,b\right\rangle = \mathrm{det}(a,b,b)=0.

For (iii):

\begin{aligned}    (a\times b)\times c &=\begin{pmatrix}a_2b_3-a_3b_2\\a_3b_1-a_1b_3\\a_1b_2-a_2b_1\end{pmatrix}\times\begin{pmatrix}c_1\\c_2\\c_3\end{pmatrix}\\    &=\begin{pmatrix}(a_3b_1-a_1b_3)c_3-(a_1b_2-a_2b_1)c_2\\(a_1b_2-a_2b_1)c_1-(a_2b_3-a_3b_2)c_3\\(a_2b_3-a_3b_2)c_2-(a_3b_1-a_1b_3)c_1\end{pmatrix}\\    &=\begin{pmatrix}a_3b_1c_3-a_1b_3c_3-a_1b_2c_2+a_2b_1c_2\\a_1b_2c_1-a_2b_1c_1-a_2b_3c_3+a_3b_2c_3\\a_2b_3c_2-a_3b_2c_2-a_3b_1c_1+a_1b_3c_1\end{pmatrix}\\    &=\begin{pmatrix}a_1b_1c_1+a_2b_1c_2+a_3b_1c_3-a_1b_1c_1-a_1b_2c_2-a_1b_3c_3\\a_1b_2c_1+a_2b_2c_2+a_3b_2c_3-a_2b_1c_1-a_2b_2c_2-a_2b_3c_3\\a_1b_3c_1+a_2b_3c_2+a_3b_3c_3-a_3b_1c_1-a_3b_2c_2-a_3b_3c_3\end{pmatrix}\\    &=(a_1c_1+a_2c_2+a_3c_3)\begin{pmatrix}b_1\\b_2\\b_3\end{pmatrix} - (b_1c_1+b_2c_2+b_3c_3)\begin{pmatrix}a_1\\a_2\\a_3\end{pmatrix}\\    &=\left\langle a,c\right\rangle b - \left\langle b,c\right\rangle a.    \end{aligned}

For (iv):

\begin{aligned}    \bigl(a(t)\times b(t)\bigr)^\cdot &= \begin{pmatrix}a_2(t)b_3(t)-a_3(t)b_2(t)\\a_3(t)b_1(t)-a_1(t)b_3(t)\\a_1(t)b_2(t)-a_2(t)b_1(t)\end{pmatrix}^\cdot\\    &=\begin{pmatrix}\dot a_2b_3+a_2\dot b_3-\dot a_3b_2-a_3\dot b_2\\\dot a_3b_1+a_3\dot b_1-\dot a_1b_3-a_1\dot b_3\\\dot a_1b_2+a_1\dot b_2-\dot a_2b_1-a_2\dot b_1\end{pmatrix}\\    &=\begin{pmatrix}\dot a_2b_3-\dot a_3b_2\\\dot a_3b_1-\dot a_1b_3\\\dot a_1b_2-\dot a_2b_1\end{pmatrix}+\begin{pmatrix}a_2\dot b_3-a_3\dot b_2\\a_3\dot b_1-a_1\dot b_3\\ a_1\dot b_2-a_2\dot b_1\end{pmatrix} \\    &=\dot a\times b + a\times \dot b    \end{aligned}

Q.e.d.

 

Now, let us look at conic sections and define them mathematically. We will not be interested in what these things have to do with cones – as stated at the beginning: pure mathematics here.

We are going to work in \mathbb{R}^2 here. Let F be a point (the so-called focal point) and l be a line (the so-called directrix), and the distance of F and l shall be some p>0. We are looking for all those points in \mathbb{R}^2 for which the distance to F and the distance to l are proportional – formally: For any point (\xi,\eta)^t\in\mathbb{R}^2, we set

r=\mathrm{dist}\bigl(F,(\xi,\eta)^t\bigr)\qquad\text{and}\qquad d = \mathrm{dist}\bigl(l, (\xi,\eta)^t\bigr),

and for \varepsilon > 0 we demand

\displaystyle \frac{r}{d}=\varepsilon.

For simplicity, we will put F into the origin of our coordinate system, and l parallel to one of the axes, as in the figure. In particular, r^2 = \xi^2+\eta^2 and d = p+\xi. Our equation for the interesting points thus becomes:

\begin{aligned}    && r^2&=\varepsilon^2d^2\\    &\iff& \xi^2+\eta^2 &= \varepsilon^2p^2+2\varepsilon^2p\xi+\varepsilon^2\xi^2\\    &\iff&\xi^2(1-\varepsilon^2) &= \varepsilon^2p^2-\eta^2+2\varepsilon^2p\xi.    \end{aligned}

kegelschnitte

Let us distinguish the following cases:

Case \varepsilon = 1. Then we set x := \xi+\frac p2, y := \eta and find

\begin{aligned}    &&\xi^2 (1-\varepsilon^2) &= \varepsilon^2p^2-\eta^2 + 2\varepsilon^2 p \xi \\    &\iff& 0 &= p^2-y^2+2p\left(x-\frac p2\right)\\    &\iff& 0 &= p^2-y^2+2px-p^2\\    &\iff& y^2 &= 2px.    \end{aligned}

We see that the interesting points lie on a parabola which is open to the right (by choosing other coordinate systems, of course, any other parabola will appear; in some way, this is its normal form).

Case \varepsilon < 1. Here we set x:=\xi-\frac{p\varepsilon^2}{1-\varepsilon^2}, y:=\eta. Then we get

\begin{aligned}    &&\xi^2 (1-\varepsilon^2) &= \varepsilon^2p^2-\eta^2 + 2\varepsilon^2 p \xi \\    &\iff &\left(x+\frac{p\varepsilon^2}{1-\varepsilon^2}\right)^2(1-\varepsilon^2) &= \varepsilon^2p^2-y^2+2\varepsilon^2p\left(x+\frac{p\varepsilon^2}{1-\varepsilon^2}\right)\\    &\iff& x^2(1-\varepsilon^2)+2xp\varepsilon^2 + \frac{p^2\varepsilon^4}{1-\varepsilon^2} &= \varepsilon^2p^2-y^2+2\varepsilon^2px+\frac{2\varepsilon^4p^2}{1-\varepsilon^2}\\    &\iff& x^2(1-\varepsilon^2) + y^2 &= \varepsilon^2p^2+\frac{\varepsilon^4p^2}{1-\varepsilon^2}\\    &\iff& x^2(1-\varepsilon^2) + y^2 &= \frac{(1-\varepsilon^2)\varepsilon^2p^2+\varepsilon^4p^2}{1-\varepsilon^2}\\    &\iff& x^2(1-\varepsilon^2) + y^2 &= \frac{\varepsilon^2p^2}{1-\varepsilon^2}\\    &\iff& \frac{x^2(1-\varepsilon^2)^2}{\varepsilon^2p^2} + \frac{y^2(1-\varepsilon^2)}{\varepsilon^2p^2} &= 1\\    &\iff& \frac{x^2}{a^2} + \frac{y^2}{b^2} &= 1,    \end{aligned}

with a = \frac{\varepsilon p}{1-\varepsilon^2} and b = \frac{\varepsilon p}{\sqrt{1-\varepsilon^2}}.

We have found that the interesting points lie on an ellipse.

Case \varepsilon > 1. This is exactly the same as the case \varepsilon<1, except for the last step. We mustn’t set b as before, since 1-\varepsilon^2<0 and we cannot get a real square root of this. Thus, we use b = \frac{\varepsilon p}{\sqrt{\varepsilon^2-1}} and the resulting negative sign is placed in the final equation:

\displaystyle \frac{x^2}{a^2}-\frac{y^2}{b^2} = 1.

This is a hyperbola.

To conclude this part, we give the general representation of conic sections in polar coordinates. From the figure given above, we see d = p+r\cos\varphi and so

\displaystyle r = \varepsilon d = \varepsilon p + \varepsilon r\cos\varphi,

which means

\displaystyle r = \frac{\varepsilon p}{1-\varepsilon\cos\varphi}.

That yields the polar coordinates (only depending on parameters and on the variable \varphi:

\displaystyle re^{i\varphi} = \frac{\varepsilon p}{1-\varepsilon\cos\varphi}e^{i\varphi}.

 

Now, let us turn to our base for the proofs of Kepler’s Laws: Newton’s Law of Gravitation. Let m be the mass of a planet, M the mass of the Sun, \gamma a real constant (the gravitational constant), and let x(t) be a path (the planet’s orbit). By Newton’s Law we have the differential equation

\displaystyle m\ddot x = -\gamma Mm\frac{x}{\left\|x\right\|^3}.

On the left-hand side, there’s the definition of force as mass multiplied by acceleration. On the right-hand side is Newton’s Law stating the gravitational force between Sun and planet.

We define the vector-valued functions of t (note that x depends on t):

\displaystyle J = x\times m\dot x\qquad\text{and}\qquad A=\frac1{\gamma Mm}J\times\dot x+\frac{x}{\left\|x\right\|}.

(J is the angular momentum, A is an axis; but our math doesn’t care for either of those names or intentions).

The AJ-Lemma: As functions of t, A and J are constant.

Proof: Let us look at J first. Using the fact that by definition a\times a = 0, and Newton’s Law of Gravitation, we get

\begin{aligned}    \dot J \underset{\times\text{-Lemma}}{\overset{(iv)}{=}} (x\times m\dot x)^\cdot &= \dot x \times m\dot x + x\times m\ddot x\\    &= \dot x \times m\dot x + x\times\left(-\gamma Mm\frac{x}{\left\|x\right\|^3}\right)\\    &= m(\dot x\times \dot x) - \frac{\gamma Mm}{\left\|x\right\|^3}(x\times x)\\    &= 0 - 0 = 0.    \end{aligned}

Now, for A, we will need a side-result first.

\begin{aligned}    \frac{d}{dt}\frac{1}{\left\|x\right\|} &= \frac{d}{dt}\bigl(x_1^2(t)+x_2^2(t)+x_3^2(t)\bigr)^{-1/2}\\    &= -\frac12\bigl(x_1^2(t)+x_2^2(t)+x_3^2(t)\bigr)^{-3/2}\bigl(2x_1(t)\dot x_1(t)+2x_2(t)\dot x_2(t)+2x_3(t)\dot x_3(t)\bigr)\\    &= -\frac{\left\langle x,\dot x\right\rangle}{\left\|x\right\|^3}.    \end{aligned}

This yields

\begin{aligned}    \dot A &\underset{\hphantom{\times\text{-Lemma}}}{=} \left(\frac{1}{\gamma Mm}J\times \dot x + \frac{x}{\left\|x\right\|}\right)^\cdot \\    &\underset{\times\text{-Lemma}}{\overset{(iv)}{=}} \frac{1}{\gamma Mm}\bigl(\dot J\times\dot x + J\times\ddot x\bigr) + \left(\frac{1}{\left\|x\right\|}\dot x-\frac{\left\langle x,\dot x\right\rangle}{\left\|x\right\|^3}x\right)\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} \frac1{\gamma Mm}\left(0+J\times\left(-\gamma M\frac{x}{\left\|x\right\|^3}\right)\right) + \left(\frac{1}{\left\|x\right\|}\dot x-\frac{\left\langle x,\dot x\right\rangle}{\left\|x\right\|^3}x\right)\\    &\underset{\hphantom{\times\text{-Lemma}}}{=}-\frac1m\left((x\times m\dot x)\times \frac{x}{\left\|x\right\|^3}\right) + \left(\frac{1}{\left\|x\right\|}\dot x-\frac{\left\langle x,\dot x\right\rangle}{\left\|x\right\|^3}x\right)\\    &\underset{\hphantom{\times\text{-Lemma}}}{=}-\left((x\times \dot x)\times \frac{x}{\left\|x\right\|^3}\right) + \left(\frac{1}{\left\|x\right\|}\dot x-\frac{\left\langle x,\dot x\right\rangle}{\left\|x\right\|^3}x\right)\\    &\underset{\times\text{-Lemma}}{\overset{(iii)}{=}} -\left\langle x,\frac{x}{\left\|x\right\|^3}\right\rangle \dot x + \left\langle \dot x,\frac{x}{\left\|x\right\|^3}\right\rangle x + \frac{1}{\left\|x\right\|}\dot x-\frac{\left\langle x,\dot x\right\rangle}{\left\|x\right\|^3}x \\    &\underset{\hphantom{\times\text{-Lemma}}}{=} -\frac1{\left\|x\right\|^3}\left\langle x,x\right\rangle \dot x + \frac1{\left\|x\right\|^3}\left\langle \dot x, x\right\rangle x + \frac1{\left\|x\right\|}\dot x-\frac1{\left\|x\right\|^3}\left\langle x,\dot x\right\rangle x\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} -\frac1{\left\|x\right\|^3}\left\|x\right\|^2\dot x + \frac1{\left\|x\right\|}\dot x\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} 0.    \end{aligned}

Q.e.d.

 

Now, we have all ingredients to prove Kepler’s Laws. We conclude axiomatically by assuming that planetary motion is governed by Newton’s Law of Gravitation (the differential equation given above).

Let’s start with

Theorem (Kepler’s First Law of Planetary Motion): Planets orbit in ellipses, with the Sun as one of the foci.

Proof: Let x(t) denote the orbit of a planet around the Sun. By the AJ-Lemma, J is constant. By definition of J = x\times m\dot x and by (ii) of the \times-Lemma, both x and \dot x are orthogonal to J; the orbit is therefore located in a two-dimensional plane. Let us introduce polar coordinates in this plane, with the Sun in the origin, and with axis A (this works, as A is located in the same plane as well: A\bot J by the definition of A).

planetenorbit

Now let \varphi(t) be the angle of x(t) and A, set \varepsilon := \left\|A\right\|. This means

\displaystyle \cos\varphi(t) = \frac{\left\langle x(t),A\right\rangle}{\left\|x\right\|\left\|A\right\|},

and so

\displaystyle \left\langle A,x(t)\right\rangle = \varepsilon \left\|x\right\|\cos\varphi(t).

By definition of A, we have

\begin{aligned}    \left\langle A,x(t)\right\rangle &\underset{\hphantom{\times\text{-Lemma}}}{=} \left\langle\frac{1}{\gamma Mm}J\times\dot x + \frac{x}{\left\|x\right\|}, x(t)\right\rangle\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} \frac{1}{\gamma Mm}\left\langle J\times \dot x, x\right\rangle + \frac{1}{\left\|x\right\|}\left\langle x,x\right\rangle\\    &\underset{\times\text{-Lemma}}{\overset{(i)}{=}} \frac{1}{\gamma Mm}\mathrm{det}(J,\dot x,x)+\frac{\left\| x\right\|^2}{\left\|x\right\|}\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} (-1)^3\frac{1}{\gamma Mm}\mathrm{det}(x,\dot x,J) + \left\|x(t)\right\|\\    &\underset{\times\text{-Lemma}}{\overset{(i)}{=}} -\frac1{\gamma Mm}\left\langle x\times \dot x,J\right\rangle + \left\|x(t)\right\|\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} -\frac1{\gamma Mm^2}\left\langle x\times m\dot x, J\right\rangle + \left\|x(t)\right\|\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} -\frac1{\gamma Mm^2}\left\langle J,J\right\rangle + \left\|x(t)\right\|\\    &\underset{\hphantom{\times\text{-Lemma}}}{=} const. + \left\|x(t)\right\|.    \end{aligned}

Now, if A=0, then we have found

\displaystyle \left\|x(t)\right\| = \frac1{\gamma Mm^2}\left\|J\right\|^2,

which means that the planet moves on a circular orbit.

If A\neq0, then we conclude

\begin{aligned}    &&\varepsilon \left\|x(t)\right\|\cos\varphi(t) &= -\frac1{\gamma Mm^2}\left\|J\right\|^2+\left\|x(t)\right\|\\    &\implies&\varepsilon\left\|x(t)\right\|\cos\varphi(t)&=-\frac1{\gamma Mm^2}\left\|J\right\|^2+\left\|x(t)\right\|\\    &\implies&\frac1{\gamma Mm^2}\left\|J\right\|^2&=\bigl(1-\varepsilon\cos\varphi(t)\bigr)\left\|x(t)\right\|\\    &\implies&\left\|x(t)\right\|&=\frac{\frac{\left\|J\right\|^2}{\gamma Mm^2}}{1-\varepsilon\cos\varphi(t)} = \frac{\varepsilon\frac{\left\|J\right\|^2}{\gamma Mm^2\left\|A\right\|}}{1-\varepsilon\cos\varphi(t)} = \frac{\varepsilon p}{1-\varepsilon\cos\phi(t)},    \end{aligned}

with p defined in the obvious fashion to make the last equation work.

Therefore, the planet moves on a conic section, with focus in the Sun. As the planet’s orbits are bounded, we have proved that it must follow an ellipse. Q.e.d.

Theorem (Kepler’s Second Law of Planetary Motion): A planet sweeps out equal areas in equal times.

Proof: We use cartesian coordinates in \mathbb{R}^3, such that e_1 is parallel to A and e_3 is parallel to J. Then x(t) is the plane \mathrm{span}(e_1,e_2) and the Sun is in (0,0). In particular, x_3(t) = 0 for all t by the proof of the First Law. Then,

\displaystyle \frac1m J = x\times \dot x = \begin{pmatrix}x_1\\x_2\\0\end{pmatrix}\times \begin{pmatrix}\dot x_1\\\dot x_2\\ 0\end{pmatrix} = \begin{pmatrix}0\\0\\x_1\dot x_2-x_2\dot x_1\end{pmatrix}.

By Leibniz’ sector formula, the line segment between times t_1 and t_2 sweeps the area

\displaystyle \frac12\left|\int_{t_1}^{t_2}(x_1\dot x_2-x_2\dot x_1)dt\right| = \frac1{2m}\left\|J\right\|(t_2-t_1).

This area only depends on the difference of times, as stated. Q.e.d.

Theorem (Kepler’s Third Law of Planetary Motion): The square of the period of an orbit is proportional to the cube of its semi-major axis.

Proof: By Leibniz’ sector formula (used similarly to the proof of the Second Law), the area contained in the planet’s entire orbit is

\displaystyle \frac12\left|\int_0^T (x_1\dot x_2-x_2\dot x_1)dt\right| = \frac1{2m}\left\|J\right\| T,

where T is the time taken for a full orbit around the Sun. By the First Law, this orbit is an ellipse, the area of which may be computed as follows: The cartesian coordinates of an ellipse are

\begin{pmatrix}x(t)\\y(t)\end{pmatrix}=\begin{pmatrix}a\cos t\\b\sin t\end{pmatrix},

with a and b real constants (the larger one is called the semi-major axis). This is actually an ellipse because of

\displaystyle \frac{x^2}{a^2}+\frac{y^2}{b^2} = \frac{a^2\cos^2 t}{a^2}+\frac{b^2\sin^2t}{b^2} = 1.

From the notations about normal forms of conic sections, we find b = \frac{\varepsilon p}{\sqrt{1-\varepsilon2}} = a\sqrt{1-\varepsilon^2}, which implies that a>b (as \varepsilon > 0 for any conic section). Now, the area of the ellipse is, by Leibniz’ sector formula again,

\begin{aligned}    \frac12\left|\int_0^{2\pi} (x_1\dot x_2-x_2\dot x_1)dt\right| &= \frac12\left|\int_0^{2\pi}\bigl(a \cos t \cdot b \cos t-b\sin t \cdot a (-\sin t)\bigr)dt\right| \\    &= \frac12 ab\int_0^{2\pi}dt \\    &= \pi ab.    \end{aligned}

Both representations of the area covered by the orbit now yield

\displaystyle T \frac1{2m}\left\|J\right\| = \pi a^2\sqrt{1-\varepsilon^2},

and so, using the definition of p obtained in the proof of the First Law,

\begin{aligned}    \displaystyle T^2 &= \frac{4m^2}{\left\|J\right\|^2}\pi^2a^4(1-\varepsilon^2) \\    &= \frac{4\pi^2 m^2a^3}{\left\|J\right\|^2}a(1-\varepsilon^2) \\    &= \frac{4\pi^2m^2a^3}{\left\|J\right\|^2}\frac{\varepsilon p}{1-\varepsilon^2}(1-\varepsilon^2) \\    &= \frac{4\pi^2m^2a^3}{\left\|J\right\|^2}\varepsilon\frac{\left\|J\right\|^2}{\gamma Mm^2\left\|A\right\|} \\    &= \frac{4\pi^2}{\gamma M}a^3.    \end{aligned}

The constant \frac{4\pi^2}{\gamma M} is identical for any planet travelling around the Sun, and thus is constant. Q.e.d.

Let us conclude with a brief remark of how beautiful and elegant those Laws are – made my day.

Loreena McKennitt’s music and lyrics

In the winter, when the dark evenings are long and I enjoy a cup of tea while looking out of my window to the stars, it is the time for me to listen to Loreena McKennitt’s music. This is by no means “easy listening” but it relaxes me a lot. It is music that I can sink into perfectly, especially when it’s dark outside and I can dream away.

Loreena McKennitt is a Canadian soprano singer and songwriter. Her music is inspired by mystic melodies, by celtic folk songs and middle eastern influences. She accordingly uses many unusual instruments: besides her singing, she performs many different instruments herself, such as a harp, an accordion and the keyboard. Many of her songs have been written by herself, but she also re-arranges classic folk music and even Elizabethan (resp. Shakespearian) songs.

My enjoyment of this music stems from her clear soprano voice, which has a marvelous, dreamy and still variable sound to it. Here is a very special singer who can transport her love for music to her listeners. I once had the distinct pleasure to listen to her in a live performance in an open-air concert – an evening that most certainly made my day.

I find it tricky to point out a few special songs here, as I can’t find any failures in her nine studio albums at all. They may all be recommended, and each has a certain feel to it, and I can’t put my finger on it – but different moods inspire me to listen to different albums. In particular, I refrain myself from posting links to any videos of her recordings – I wish to avoid cherry picking here.

My first encounters with her music came from the album “The Visit”, which contains the most beautiful rendition of the poem “The Lady of Shalott” – a poem known to every fan of Miss Marple’s detective stories, of course (“The mirror crack’d from side to side”) – which made me spend some time with English poetry for the first time. But then there is also the joyously sounding “All souls night”, the sad “Bonnie Portmore” and the ancient “Greensleeves” which apparently was only recorded in a short break in one take and still sounds wonderful on the album.

After I had been hooked, the album “Elemental” caught my attention with the harmonic duet “Carrighfergus”, a classic Irish song which is performed by a male singer and Loreena McKennitt rather contents herself with dreamy backing vocals. “Blacksmith” and “Stolen Child” are similar but the lyrics are performed by herself marvelously. Very notable is “She moved through the fair” for being entirely a cappella – there is not a hint of accompanying instrumentation to her crystal-clear voice. I am hard-pressed to think of any musician who would show this much courage on a recording (especially since this recording is about 30 years old now and couldn’t have been digitally enhanced).

“Parallel Dreams” was an album that I bought on a vacation trip many years ago, when there was too few information to know which albums were available – when I saw this during my trip to France, I bought it on the spot, the price certainly higher than what I’d have paid at home, but I wouldn’t regret that. With “Annachie Gordon” she performs a traditional Scottish song telling a sad love-story. And “Dicken’s Dublin” is a most beautiful and yet heart-breaking Christmas Song, speaking of the hope of a homeless child to find a home, and being voiced-over by a child narrating the story of the birth of Jesus. What beauty lies in this composition.

For “The Mask and the Mirror”, she wrote about her travels in the booklet, and how she was inspired for her various songs on this album. Here appear references to oriental and middle eastern music for the first time. “The dark Night of the Soul” has been her encore in her live performance that I attended, and the evening only got complete with this song. Never before have I witnessed a crowd that was so focused and so mesmerized by a single person performing on the stage.

“The Book of Secrets” appears to be one of her most famous albums, and rightfully so. With “Skellig”, “Dante’s Prayer” and “The Highwayman”, she again takes classical pieces uses this influence and produces wonderful art. I do not wish to make this whole post tedious by enumerating all the marvelous songs that can be found on “An Ancient Muse” and on “The Wind that shakes the Barley”, but let it be said that those most recent albums are by no means any worse than their predecessors. Wonderful music all over the place.

The sad thing is, that since 2010 there has not been any new music from her. But as she still travels the world and performs her music on stage, I have not given up hope that we’ll have new music eventually. And wouldn’t that be beautiful?

On numerical integration and convergence issues

The methods for numerical integration are of extreme practical interest for any mathematician. In any number of applications one is obliged to find the value of some definite integral. One of the most trivial examples should be the values of probability distributions, a little less obvious example are solutions to differential equations.

Especially since the advent of cheap but high-performing computer power those possibilities have risen immensely. Things that were unattainable some decades ago are used thoroughly by today’s standards. This is why I found it very necessary to make myself familiar with how one can find definite integrals numerically (basically that’s the same motivation for why I wanted to know about numerical algorithms for finding eigenvalues – and there is a nice connection between the two fields, as we shall see).

At first, I had wanted to compile some of the basic ideas for numerical integration here. However, I dived deeper down into some certain aspect of the theory and decided to cut that one short to present something a little less known on convergence of quadrature methods. But to begin with, a little review of what every mathematician should learn in his basic course on numerical analysis.

The numerical integration is sometimes called quadrature, as one tries to find the value of a given shape (the “area under the curve”) and therefore find a square with the same area – similar to what one does in “squaring the circle” which is called “quadraturam circuli” in latin. It’s just that we don’t have to be restricted to ruler and compass anymore.

 

Basics

Of course, the natural way of numerical integration is to evaluate the function f (to fix notation here) at certain points and make a weighted average of the values. This is related to the Riemann-definition of integrability, where you use sums of the form \sum_{i=1}^nf(\xi_i)(x_{i}-x_{i-1}) for \xi_i\in(x_{i-1},x_{i}) and let the grid x_i get finer. This is a starting point for what we can achieve, but the first question is, how can we choose the \xi_i smartly?

Let’s not delve into this too deeply, but the short answer from Riemann-integration is: do as you please (as long as f is continuous). In the end, it will converge. The most common first choice is the appropriately-called midpoint-rule (here’s a picture). If you don’t know anything further about f, why not. But one will soon find the trapezoidal rule (picture) and there is no general rule which one of them will be better in any instance. Let’s just write those down for further reference:

Midpoint-rule: \int_a^b f(t)dt \approx (b-a)f(\frac{a+b}2),

Trapezoidal rule: \int_a^b f(t)dt \approx \frac{b-a}{2}\bigl(f(a)+f(b)\bigr).

A certain mixture of those two rules can be found in

Simpson’s rule: \int_a^b f(t)dt \approx \frac{b-a}{6}(f(a)+4f(\frac{a+b}2)+f(b)\bigr).

All these rules are fit to integrate polynomials up to a certain degree exactly (which is why this feature is called the degree of exactness for the quadrature rule): the midpoint rule is exact for linear polynomials, the trapezoidal rule makes it up to degree 2 and Simpson’s rule can integrate cubic polynomials exactly.

Each of these rules can be constructed by interpolation of f with low-degree polynomials: one chooses the unique polynomial p for which p(t)=f(t) in those t that come up in the formulae given above and choose constants (“weights”) such that \int_a^b p(t)dt = \sum_{i=1}^n w_ip(t_i). Note, that this will not be a Riemann-sum anymore, in general. You will find that for p being of degree n=1, 2 or 3, you will end up with the three formulae given above.

Now, if you wish to be a little better in your interpolation, you can subdivide the interval [a,b] a little further and use any of those rules on the smaller intervals (interpolating repeatedly) to get the compound rules:

– Midpoint-rule: \int_a^b f(t)dt \approx \frac{b-a}{n}\sum_{i=1}^nf(\frac{x_{i}-x_{i-1}}2) with x_k = a+k\frac{b-a}{n},

– Trapezoidal rule: \int_a^b f(t)dt \approx \frac{b-a}{n}\sum_{i=1}^n\frac{f(x_{i-1})+f(x_i)}{2} = \frac12f(a)+\frac{b-a}{n}\sum_{i=1}^{n-1}f(x_i)+\frac12f(b) with x_k = a+k\frac{b-a}{n},

– Simpsons rule: \int_a^b f(t)dt \approx \frac{b-a}{6n}\bigl(f(a) + 2\sum_{i=1}^n f(x_i) + 4\sum_{i=1}^nf(\frac{x_{i-1}+x_{i}}{2}) + f(b)\bigr) with x_k = a+k\frac{b-a}{n}.

Note, that we have a constant grid-width here. This doesn’t have to be the case in general, as we shall see. Besides, note that in Simpson’s rule we have three evaluations of the f in each of the sub-intervals, and only the boundary points x_k are used twice (once as the left-hand point, once as the right-hand point). One might also define it slightly differently, by having the sub-intervals overlap and each evaluation of f is used twice (once as the midpoint, the other time as a boundary point), except for f(a) and f(b).

Now, any basic text on numerical analysis and Wikipedia will tell you everything there is to know about the error that you get from these quadrature formulae. Let’s not go there, except for some small remarks. First, each of these rules has an error that will diminish with more sub-divisions of [a,b]. The error will depend on how smooth f is, in terms of the norm \left\|f^{(k)}\right\|_\infty for some k\geq1. Therefore, to know about the error, you will need to conjure some information on the derivatives of f, which will rarely be possible in applications. However, if f is “only” continuous, you may find yourself in a bad position for error estimation: the quadrature rule might be just looking at the unusual points to evaluate f, which are not typical of the overall behaviour:

untypisch

(here’s an example going with the picture: take f to be some positive constant c, except for a tiny area around the evaluation, where it shall vanish; then \int_a^bf(t)dt \approx c(b-a) \neq 0 = \sum_{i=1}^n w_if(x_i) – though not impossible, it’s harder to do this the smoother f will be, and the derivatives of f will blow up, giving a worse estimate). This effect has been called “resonance” by Pólya.

Apart from ad hoc methods for the error estimation there is the method of Peano kernels which can be applied to bound quadrature formulae (and other linear functionals). Let there just be mentioned that this method requires rather little effort to yield error bounds. I wouldn’t quite call it elegant, possibly since I lack the background in functional analysis, but it gets the job nicely done.

Next natural question: which n should we use? Short answer: the more the better, though many evaluations of f are “expensive” (especially in applications from the sciences and economics where you might even be unable to get more measurements). Apart from the compound rules, which are used quite often in practice, one might think that interpolation using polynomials of higher degree should work out better and give finer error estimates. The quadrature stemming from this idea is called Newton-Cotes-formula (of which our previous rules are special cases). In principle, this is sound reasoning, but here’s the showstopper: interpolating polynomials need not be similar to the function that they interpolate, and hence the quadrature runs wild. The most famous example is Runge’s phenomenon: for f(x)=\frac{1}{1+x^2} the sequence of polynomials interpolating on an equidistant grid does not converge pointwise, which can be explained by the singularity at x = \pm i that stays invisible while working on the real numbers only. In particular, an interpolating polynomial of sufficiently high degree won’t tell us anything useful about the behaviour of f.

For numerical applications, the next problem is that the weights in Newton-Cotes-formulae become negative when n\geq 9 (that means, if you use a polynomial of higher degree to interpolate f on [a,b]). In effect, you will encounter annihilation in your computation from subtracting rather large numbers – there won’t be any guarantee for proper results anymore, even though in theory your method might work fine on your given function. Quadrature formulae with positive weights are called for.

Before the discussion of convergence of quadrature formulae, we will still look at what methods are best possible in terms of the degree of exactness. It’s the Gaussian integration (many practical things are named after Gauß, aren’t they?) which allows for exact integration of polynomials up to degree 2n-1 from n evaluations.

But first, why will we be content with a degree of exactness 2n-1, why not go further? Well, there is always at least one polynomial of degree 2n that can’t be exactly integrated by a quadrature formula on n evaluations. Let’s fix some quadrature formula, it will look like \sum_{i=1}^nw_if(x_i) with weights w_i and evaluations in x_i, and let’s look at the polynomial \omega^2(x) = \prod_{i=1}^n(x-x_i)^2 which has its zeroes at the points of evaluation of the quadrature formula. Then, we find

\displaystyle \sum_{i=1}^nw_i\omega^2(x_i) = 0 < \int_a^b \omega^2(t)dt.

Hence, there is always a polynomial of degree 2n that can’t be integrated exactly, and therefore 2n-1 is the best we could hope to achieve. Now, how do we get there? Up to now, the quadrature formulae had used some x_i (mostly because those x_i were the natural thing to do or because we can’t always chose the x_i at liberty, if they stem from experimental measurements, say) and the w_i were computed accordingly to make the polynomials up to degree n be integrated exactly. But we can of course choose the x_i wisely as well: they can act as a degree of freedom, and then we’ll have 2n clever choices to make – this seems to indicate that we can achieve the degree of exactness 2n-1. But can we? And how?

Let’s assume that there is some quadrature formula which has this degree of exactness, and let’s look at what it will do to the polynomials \omega p, where p is any polynomial of degree less than n. Restricting ourselves to the interval [a,b] = [-1,1] for simplicity, we should find

\displaystyle 0 = \sum_{i=1}^nw_i\omega(x_i)p(x_i) = \int_{-1}^1\omega(t)p(t)dt.

That shows that p would be orthogonal to \omega, no matter what p actually was (as the L^2-space is a Hilbert space, of course, with the integration as its scalar product). From the abstract theory of Hilbert spaces we can know that there are orthonormal bases of polynomials. For our setting here, we are led to use the Legendre polynomials as \omega; there are other orthonormal polynomials which will then use another weight function inside the integral – later more on that.

We have seen that the zeroes of the Legendre polynomials should be used to evaluate f. But how to find those? Here’s the pretty thing I alluded to above. There’s a recursion formula for the Legendre polynomials P_n which can be shown by induction:

\displaystyle \beta_{n+1}P_{n+1}(x) = xP_n(x) - \beta_nP_{n-1}(x), with \displaystyle P_1\equiv\frac1{\sqrt2} and \displaystyle P_2(x) = \frac32x,

and using \beta_n = \frac{n}{\sqrt{(2n-1)(2n+1)}}. This recursion may be re-written as a vector-matrix-shape:

\displaystyle\begin{bmatrix}0&\beta_1&0\\\beta_1&0&\beta_2&0\\0&\beta_2&0&\beta_3&0\\&&\ddots&\ddots&\ddots\\&&&\beta_{n-2}&0&\beta_{n-1}\\&&&0&\beta_{n-1}&0\end{bmatrix}\begin{bmatrix}P_0(x)\\P_1(x)\\P_2(x)\\\vdots\\P_{n-2}(x)\\P_{n-1}(x)\end{bmatrix}= x\begin{bmatrix}P_0(x)\\P_1(x)\\P_2(x)\\\vdots\\P_{n-2}(x)\\P_{n-1}(x)\end{bmatrix}-\begin{bmatrix}0\\0\\0\\\vdots\\0\\\beta_nP_n(x)\end{bmatrix}

The last vector drops out for the zeroes of P_n, and then we have an eigenvalue-problem. In particular: find the eigenvalues of the matrix on the left-hand-side to find the zeroes of P_n. That’s some rather unexpected connection – I found it marvellous when I first saw this.

Computing eigenvalues is a tricky thing to do, as everybody knows, and getting eigenvectors is even harder. It turns out that you’ll need the eigenvectors to compute the proper weights w_i for the quadrature formula, and many intelligent people have come up with ingenious algorithms to do so, such that we can have the proper values for the maximum degree of exactness that we have yearned for.

This shall suffice here. We can understand that these so-called Gauss-Legendre-formulae can’t be expressed in a closed form, but they yield satisfying results in practice. Of course, when there was no cheap computer power available, those formulae were more of an academic exercise, as you couldn’t easily evaluate any given function f in those crude points x_i (even though these x_i came in tables) and you can’t re-use those evaluations when you take other values for n.

A numerical advantage is that the weights will be positive for the Gaussian quadrature, which is easy to see, as a matter of fact: with the Lagrange-polynomials \ell_{ni}, that are used for explicit interpolation with polynomials and that have \ell_{ni}(x_j) = \delta_{ij} for the evaluation points, we find

\displaystyle w_i = \sum_{j=1}^nw_j\ell_{ni}^2(x_j) = \int_{-1}^1\ell_{ni}^2(t)dt > 0.

As an aside: there are some variants of Gauss-Legendre that may come in useful in some applications. For instance there is the Gauss-Chebyshev-formula which uses the weight function \frac1{\sqrt{1-x^2}} in the integration (not in the quadrature – weights and weight functions are not related directly). This means, if your function f is of the shape f(x) = \frac{g(x)}{\sqrt{1-x^2}}, use Gauss-Chebyshev on the function g, which may be easier or more stable; in that case, other x_i and w_i are necessary, of course. Similar things hold for Gauss-Laguerre (weight e^{-x}, the integral running on [a,b)=[0,\infty), which makes it possible to integrate on infinite intervals, being a non-trivial task at a first glance) and Gauss-Hermite (weight e^{-x^2}, (a,b)=(-\infty,\infty)). Other variants have certain fixed points of evaluation, which certainly reduces the degree of exactness, but which might help in solving differential equations (when you always evaluate in the point x_1=a, you save one evaluation as this is your starting-point of your multi-step method; Gauss-Radau does this, for instance, and similarly Gauss-Lobatto with x_1=a and x_n=b fixed).

Obvious linear transformations will enable us to use different values for a and b than the standard ones for which the various orthonormal polynomials are constructed. Let’s ignore this here.

Those were pretty much the basic facts of what any mathematician should know or at least should have heard once, without much of a proof stated here. Now for a little more specialized material. Who guarantees that the quadrature gets better with increasing numbers of evaluation? Evaluations are expensive, generally speaking, and maybe it doesn’t even do any good (as was the case with the Newton-Cotes-method – or does it)? It seems that Stieltjes first came up with this question and gave partial answers in 1884, while Pólya answered it rather exhaustively a couple of decades later in 1933. We rely on Pólya’s original article “Über die Konvergenz von Quadraturverfahren” (Math. Zeitschr. 37, 1933, 264-286)

 

Convergence

A quadrature method is, for all intents and purposes that are to come, a triangular scheme of weights w_{ij} and evaluation points x_{ij} like

\displaystyle \begin{matrix}w_{11}\hphantom{,}\\w_{21}, &w_{22}\hphantom{,}\\w_{31},&w_{32},&w_{33}\\\vdots\\w_{n1},&w_{n2},&\ldots&w_{nn}&\\\vdots&\end{matrix}\hspace{2em} and \hspace{2em}\displaystyle \begin{matrix}x_{11}\hphantom{,}\\x_{21}, &x_{22}\hphantom{,}\\x_{31},&x_{32},&x_{33}\\\vdots\\x_{n1},&x_{n2},&\ldots&x_{nn}&\\\vdots&\end{matrix}

For any n, we need a\leq x_{n1}<x_{n2}<\cdots<x_{nn}\leq b. Of course we shall combine those triangular schemes like this

\displaystyle Q_n[f] := \sum_{i=1}^nw_{ni}f(x_{ni})

and hold up our hope that \lim_{n\to\infty} Q_n[f] = \int_a^bf(t)dt. If so, the quadrature method converges for the funtion f. Of course, f needs to be at least Riemann-integrable (We are unable to focus on Lebesgue-integrable functions here, as no quadrature method can converge for any Lebesgue-integrable function: there are only countably many evaluation points on which f may be altered at will without effect on its integral).

It is clear that the Newton-Cotes-formulae fit in this definition. We can choose the x_{ij} at liberty and the w_{ij} follow from the demand that in stage n polynomials up to degree n-1 are integrated exactly. In particular, the Newton-Cotes-formulae converge for any polynomial by definition.

But there’s the question, what do the x_{ij} and w_{ij} need to satisfy in order for the quadrature method to converge on a given set of functions (any polynomial, any continuous or even any integrable function)? If you switch to a larger set, what are the additional necessary assumptions?

For polynomials, the case is quite easy. We look for \lim_{n\to\infty}\sum_{i=1}^nw_{ni}x_{ni}^k = \frac{1}{k+1}(b^{k+1}-a^{k+1}) for any k\geq0, as every polynomial is a linear combination of the x^k and both integration and quadrature are linear functionals. No big deal, and for k=0 in particular we find the important assumption \lim_{n\to\infty}\sum_{i=1}^nw_{ni} = b-a.

 

Pólya’s result that we shall examine in a little more detail is this

Theorem: The quadrature method converges for every continuous function, if and only if it converges for every polynomial and there is a constant \Gamma such that \sup_n\sum_{i=1}^n\left|w_{ni}\right| < \Gamma.

One direction of the proof is easy. Let \sup_n\sum_{i=1}^n\left|w_{ni}\right| < \Gamma and let f be any continuous function. We show that the method converges for f. We know by Weierstrass’ Approximation Theorem that there are uniformly close polynomials for f, in the sense that for every \varepsilon>0 we can get a polynomial p with \left\|f(t) - p(t)\right\|_\infty<\varepsilon. Thus,

\displaystyle \begin{aligned}    \left|\int_a^bf(t)dt - Q_n[f]\right| &\leq \int_a^b\left|f(t)-p(t)\right|dt + \left|\int_a^bp(t)dt - Q_n[p]\right| + \sum_{i=1}^n\left|w_{ni}\right|\left|p(x_{ni})-f(x_{ni})\right| \\    &\leq \varepsilon(b-a) + \varepsilon + \varepsilon\Gamma.    \end{aligned}

Here, we used that Q_n converges for the polynomial p and that for n sufficiently large \left\|f-p\right\|_\infty<\varepsilon. This shows that Q_n[f] is convergent.

The other direction of the proof is a little harder. We assume that there is no constant \Gamma such that \sup_n\sum_{i=1}^n\left|w_{ni}\right| < \Gamma – therefore \limsup_n\sum_{i=1}^n\left|w_{ni}\right| = \infty. We will construct a continuous function f for which Q_n[f] diverges.

This will involve the “resonance” that I alluded to earlier: choose a function that reacts as badly as possible on the evaluation points. For fixed k take g_k such that \left\|g_k\right\|_\infty = 1 and Q_k[g_k] = \sum_{i=1}^k\left|w_{ki}\right|.

resonanz

This ensures that Q_k[g_k] cannot possibly take a larger value on any function that itself is bounded by 1. Such g_k may be constructed, for instance, via g_k(x_{kj}) = \mathrm{sgn} w_{kj} and linear connections between the evaluation points.

Now, one of two possible cases may occur: either there is some k with \limsup_n\left|Q_n[g_k]\right|=\infty, or that expression stays bounded uniformly in k. In the first case, we have already found the continuous function which makes the quadrature method diverge and we are done. So, let us look at the second case only.

Let us inductively construct a subsequence of the g_k as follows. Let g_{k_1} = g_1. If we have got g_{k_{m-1}}, set

\displaystyle M_{m-1}:= \sup_nQ_n\left[\sum_{j=1}^{m-1}g_{k_j}3^{-j}\right].

As we have already decided we’re in the second case, M_{m-1} will be finite. Now, we wish to choose the next part g_{k_m} of the subsequence, and we ensure both k_m>k_{m-1} and (as \limsup_n\sum_{i=1}^n\left|w_{ni}\right| = \infty, we may find some index to make this sum of weights as large as we like)

\displaystyle \sum_{i=1}^{k_m}\left|w_{k_mi}\right| > 3^m 2(M_{m-1} + m).

With the subsequence g_{k_m} at our disposal, let’s define the function

\displaystyle f(x):=\sum_{j=1}^\infty 3^{-j}g_{k_j}(x).

This is a normally convergent series, as each of the g_{k_j} is bounded by 1 and thus for sufficiently large n:

\displaystyle\left\|\sum_{j=n}^\infty 3^{-j}g_{k_j}(x)\right\|_\infty\leq\sum_{j=n}^\infty 3^{-j} < C3^{-n}<\varepsilon.

As a uniformly convergent limit of continuous functions, f is continuous. Next, we invoke linearity of quadrature methods again and have a closer look at what the Q_n do to f:

\displaystyle \begin{aligned}    Q_{k_m}[f] &= Q_{k_m}\left[\sum_{j=1}^{m-1}g_{k_j}3^{-j}\right] + 3^{-m}Q_{k_m}\left[g_{k_m}\right] + Q_{k_m}\left[\sum_{j=m+1}^\infty g_{k_j}3^{-j}\right]\\    & > -M_{m-1} + 3^{-m}\sum_{j=1}^{k_m}\left|w_{k_mj}\right| - \sum_{\ell=1}^{k_m}\left|w_{k_m\ell}\right|\sum_{j=m+1}^\infty 1\cdot 3^{-j},    \end{aligned}

by the definition of M_{m-1} and by the construction of g_{k_m}. Then,

\displaystyle \begin{aligned}    Q_{k_m}[f] & = -M_{m-1} + 3^{-m}\sum_{j=1}^{k_m}\left|w_{k_mj}\right| - 3^{-m-1}\sum_{\ell=1}^{k_m}\left|w_{k_m\ell}\right|\cdot\frac1{1-\frac13}\\    & = -M_{m-1} + \frac123^{-m}\sum_{j=1}^{k_m}\left|w_{k_mj}\right|\\    & > m,    \end{aligned}

which may explain the strange bound that we used in the construction of the subsequence.

Letting m\to\infty, we see that the quadrature method diverges for f. The entire construction hinges on the assumption that \limsup_n\sum_{i=1}^n\left|w_{ni}\right| = \infty; in particular, the condition given in the theorem is necessary for the convergence of the quadrature method.

The theorem is proved. q.e.d.

 

The condition for the convergence on Riemann-integrable functions is rather technical and we won’t dwell on this for too long. The basic ideas of resonance are similar, and in applications there is often good reason to assume that your function is continuous (as opposed to differentiable which you usually can’t know). We’ll content ourselves with the remark that quadrature methods converge on any Riemann-integrable function if and only if they converge for every continuous function and \limsup_n\sum_{i\in I_n}\left|w_{ni}\right|=0 where I_n is a sequence of intervals which contains the x_{ni} and the total length of the intervals converges to 0.

A little more interesting is the following counter-example: There is an analytic function for which the Newton-Cotes-formulae on equidistant grids diverge.

Analytic functions are about the most well-behaved functions you may imagine, and even there the Newton-Cotes-method won’t do much good (as long as they’re computed on equidistant grids). Of course, by the theorem we proved, we can already see why: the weights are not bounded and the basic problem is what happened in Runge’s counterexample; the interpolating polynomials don’t have anything to do with the function f that we wish to integrate. As Ouspensky put it:

La formule de Cotes perd tout valeur pratique tant que le nombre des ordonnées devient considérable.

However, the problem is not inherent in Newton-Cotes: if you choose the points of evaluation wisely (as zeroes of Legendre polynomials, or the like, usually clustering them around the endpoints of the interval), the sequence will converge by the theorem that we have proved: the quadrature is then Gaussian, its weights are positive and integrate the constant function 1 properly (which even gives \sum_{i=1}^n w_{ni} = b-a and so b-a =: \Gamma <\infty) – hence, it must converge for any continuous (and in particular: analytic) function. The message is: avoid negative weights in quadrature methods and choose wisely whatever you can choose; not only will you avoid trouble in numerical computations, but you may also keep nice convergence properties.

 

Let us at least sketch the proofs of this counter-example.

Let us switch the notation very slightly and fix it like this: take x_{ni} = \frac in for i=0,\ldots,n, as we try to approximate \int_0^1f(t)dt. Then, Q_n[f] = \sum_{i=0}^nw_{ni}f(\frac in).

We’ll need two preliminaries. First: Asymptotics on the quadrature weights. Second: An estimate for the interpolating polynomial.

First preliminary: Asymptotics on the quadrature weights. As we use Newton-Cotes, the idea is to interpolate and then integrate the corresponding polynomial. The interpolating polynomial can be expressed via the Lagrange polynomials \ell_{ni}(x) := \prod_{j=1, j\neq i}^n\frac{x-x_{nj}}{x_{ni}-x_{nj}} and our idea narrows down to

\displaystyle \int_0^1f(t)dt\approx \int_0^1p(t)dt = \int_0^1\sum_{i=0}^nf(x_{ni})\ell_{ni}(t)dt = \sum_{i=0}^nf(x_{ni})\int_0^1\ell_{ni}(t)dt.

On the other hand, \int_0^1f(t)dt\approx Q_n[f] = \sum_{i=0}^nf(x_{ni})w_{ni}. Hence, the weights w_{ni} must equal \int_0^1\ell_{ni}(t)dt, or to write it down for once

\displaystyle w_{nk} = \int_0^1\frac{nt\cdot (nt-1)\cdots (nt-k+1)\cdot (nt-k-1)\cdots (nt-n)}{k(k-1)\cdots 1\cdot(-1)\cdots(k-n)}dt.

The really troublesome part is an asymptotic formula for the growth of these w_{nk}. Pólya uses all kinds of neat ideas from the theory of the gamma function, far-sighted variable transformations and a lot of computation. This has been done by Ouspensky first (“Sur les valeurs asymptotiques des coefficients de Cotes“; Bull. Amer. Math. Soc., 31, 1925, 145-156), who concluded with the quote given above, that the weights for Newton-Cotes get larger and larger in absolute value and therefore become increasingly useless. The result (which was at least a little generalized and simplified by Pólya) goes like this

\displaystyle w_{nk} = -\frac{1}{n(\log n)^2}\binom{n}{k}\left(\frac{(-1)^k}{k}+\frac{(-1)^{n-k}}{n-k}\right)(1+\eta_{nk})

with \lim_n\sup_k\eta_{nk}=0. In particular, a close inspection shows the special case

\displaystyle w_{n,\frac n2} > 2^n n^{-3}

for even n. Let’s keep this guy in mind.

Second preliminary: An estimate for the interpolating polynomial. As we wish to say something about analytic functions, we can invoke the pretty results of complex analysis. This can tell us about a representation of the interpolation polynomial. In what follows, \omega is, again, the polynomial with zeroes in the points of evaluation.  Of course, in the complex plane interpolation works with the Lagrange polynomials as well:

\displaystyle p(x) = \sum_{i=0}^nf(x_{ni})\prod_{j=0, j\neq i}^n\frac{x-x_{nj}}{x_{ni}-x_{nj}}.

Some close inspections show:

\displaystyle \begin{aligned}    p(x) &= \sum_{i=0}^nf(x_{ni})\frac{\prod_{j=0, j\neq i}^n(x-x_{nj})}{\prod_{j=0, j\neq i}^n(x_{ni}-x_{nj})}\\    &= \sum_{i=0}^nf(x_{ni})\frac{\prod_{j=0}^n(x-x_{nj})}{(x-x_{ni})\sum_{k=0}^n\prod_{\ell=0, \ell\neq k}^n(x_{ni}-x_{n\ell})}\\    &= \sum_{i=0}^n\frac{\omega(x)f(x_{ni})}{(x-x_{ni})\omega'(x_{ni})}.    \end{aligned}

For the sake of seeing how to invoke the residue theorem, we set F(t) := \frac{\omega(x)-\omega(t)}{x-t}f(t) and G(t):=\omega(t). This leads to

\displaystyle p(x) = \sum_{i=0}^n\frac{F(x_{ni})}{G'(x_{ni})} = \sum_{i=1}^n\mathrm{res}_{x_{ni}}\left(\frac{F}{G}\right).

The last equation followed from a little divine intuition – something we can’t avoid in this argument; in order to drop this intuition, we would have needed to start with an eerie expression that would have come from nowhere. So, how does it follow? The function \frac1G has simple poles in the x_{ni}, while F does not (the simple singularities in the x_{ni} cancel out in the numerator to leave us with a polynomial without further zeroes in the x_{ni}). The Laurent expansion of \frac FG starts with the a_{-1}(x-x_{ni})^{-1}+\cdots, a_{-1} being the residue. Multiplying with x-x_{ni}, using the Taylor expansion of G and taking the limit gives

\displaystyle \begin{aligned}    \mathrm{res}_{x_{ni}}\left(\frac{F}{G}\right) = \lim_{x\to x_{ni}}(x-x_{ni})\frac{F(x)}{G(x)} &= \lim_{x\to x_{ni}}(x-x_{ni})\frac{F(x)}{(x-x_{ni})G'(x_{ni})+\cdots} \\    &= \lim_{x\to x_{ni}}\frac{F(x)}{G'(x_{ni})+\cdots} = \frac{F(x_{ni})}{G'(x_{ni})}.    \end{aligned}

The argument looks slightly butchered as we read it the wrong way around – but it works nonetheless. Now comes the residue theorem into play, applying it on any reasonable domain D that contains the x_{ni} on its interior:

\displaystyle \begin{aligned}    p(x) = \sum_{i=1}^n\mathrm{res}_{x_{ni}}\left(\frac{F(\zeta)}{G(\zeta)}\right)&=\sum_{i=1}^n\mathrm{res}_{x_{ni}}\left(\frac{\bigl(\omega(x)-\omega(\zeta)\bigr)f(\zeta)}{(x-\zeta)\omega(\zeta)}\right)\\    &= \frac1{2\pi i}\int_{\partial D}\frac{\omega(x)-\omega(\zeta)}{(x-\zeta)\omega(\zeta)}f(\zeta)d\zeta    \end{aligned}

Re-writing this last expression with the help of Cauchy’s integral formula shows

\displaystyle \begin{aligned}p(x) &= \frac1{2\pi i}\int_{\partial D}\frac{\omega(x)f(\zeta)}{(x-\zeta)\omega(\zeta)}d\zeta - \frac1{2\pi i}\int_{\partial D}\frac{f(\zeta)}{x-\zeta}d\zeta \\    &= \frac1{2\pi i}\int_{\partial D}\frac{\omega(x)f(\zeta)}{(x-\zeta)\omega(\zeta)}d\zeta + f(x).    \end{aligned}

Now, consider a certain domain D in the complex plane

domain

(half-circles of radius 1 around z=0 and z=1, connected by straight lines), in which f is bounded by some constant M. Let f be analytic in this domain D and being interpolated by the polynomial p in the points x_{n0},\ldots,x_{nn} which are located in the interval [0,1]. For \zeta on the boundary of D, we are far away from the interval [0,1] and all x_{ni} in the sense that \left|\omega(\zeta)\right|\geq1 and \left|x-\zeta\right|\geq1, while for x in [0,1] we have \left|\omega(x)\right|<1. Hence,

\displaystyle \left|p(x)-f(x)\right|\leq \left|\frac1{2\pi i}\int_{\partial D}\frac{\omega(x)f(\zeta)}{(x-\zeta)\omega(\zeta)}d\zeta\right| \leq \frac1{2\pi}(2+2\pi)M.

Therefore

\displaystyle \left|\int_0^1p(t)dt\right|\leq\left|\int_0^1p(t)-f(t)dt\right|+\left|\int_0^1f(t)dt\right|\leq \frac{\pi+1}{\pi}M+M\leq 3M.

Let’s keep this one in mind as well.

From all of these preliminaries, let us state the promised counter-example: consider the function

\displaystyle f(x) := \sum_{k=4}^\infty a^{k!}\frac{\sin(k! \pi x)}{-\cos(\pi x)},

with a\in(\frac12, 1) and where the denominator and the starting index k=4 are chosen to ensure that the singularity in x=\frac12 is removable by a positive constant. This function is actually analytic as the uniform limit of analytic functions (the pretty complex analysis again; and here we need a<1 for the summands to actually diminish quickly enough). Besides, it is periodic and one can use this to find its maximum value on the horizontal bounds of the domain: by complex analysis (yet again!) the maximum must be located on the boundary, and if it were on the vertical bounds, we could (by periodicity) shift the domain without losing any information and then contradictively find the maximum on the inside of the domain. Therefore, any summand of which f is constructed may be bounded inside the domain by

\displaystyle \left|a^{k!}\frac{\sin(k! \pi x)}{-\cos(\pi x)}\right| \leq Ca^{k!}\exp(k!\pi \mathrm{Im}(x)) \leq Ca^{k!}\exp(k!\pi),

where the constant C helps to encode the minimum of the cosine on \mathrm{Im}z=1 (it won’t vanish anywhere near this line).

Now that we have bounded the analytic summand of our function f, from our second preliminary, we get

\displaystyle \left|\int_0^1 p(t)dt\right| < 3Ca^{k!}\exp(k!\pi)

and we shall consume the 3 into the constant C without further notice. On top of that, we are about to apply a Newton-Cotes-method; the integral of the interpolating polynomial is equal to what all the quadratures Q_n[f] do:

\displaystyle \left|\sum_{i=0}^nw_{ni}a^{k!}\frac{\sin(k! \pi \frac in)}{-\cos(\pi \frac in)}\right| = \left|\int_0^1 p(t)dt\right| < Ca^{k!}\exp(k!\pi).

Now we see

\displaystyle \begin{aligned}Q_{n!}[f] &= Q_{n!}\left[\sum_{k=n}^\infty a^{k!}\frac{\sin(k!\pi x)}{-\cos(\pi x)}\right]+Q_{n!}\left[\sum_{k=4}^{n-1} a^{k!}\frac{\sin(k!\pi x)}{-\cos(\pi x)}\right]\\    &\geq Q_{n!}\left[\sum_{k=n}^\infty a^{k!}\frac{\sin(k!\pi x)}{-\cos(\pi x)}\right]-\sum_{k=4}^{n-1}Ca^{k!}\exp(k!\pi)\\    &= w_{n!, \frac{n!}{2}}\sum_{k=n}^\infty k! a^{k!} -\sum_{k=4}^{n-1}Ca^{k!}\exp(k!\pi),    \end{aligned}

since in case k\geq n, \sin(k!\pi x)=0 for any relevant x_{n!,i}=\frac i{n!} and all terms in Q_{n!} vanish except for x_{n!,\frac12n!}=\frac12 where the denominator vanishes as well and the singularity is removable by taking the value k!.

This is the time to take our first preliminary out of the drawer:

\displaystyle \begin{aligned}    Q_{n!}[f] &> \frac{2^{n!}}{(n!)^3} n! a^{n!} - (n-4)C(ae^\pi)^{(n-1)!}\\    &= \frac{(2a)^{n!}}{(n!)^2}\left(1-\bigl(n!\bigr)^2(n-4)C\left(\frac{ae^\pi}{(2a)^n}\right)^{(n-1)!}\right)\end{aligned}.

As a>\frac12, the term in the large brackets converges to 1 (n! grows slower than (2a)^{n!} does), and the entire term diverges. In particular, the Newton-Cotes-method diverges for f. That’s what we wanted to show. Oof. q.e.d.

 

So, we have found necessary and sufficient conditions for quadrature methods to converge and we dealt with a striking counter-example for a plausible method on a reasonably nice class of functions to make us dismiss this plausible method. However, whenever we spoke about convergence, we didn’t deal with the speed of convergence – and we couldn’t have. As Davis and Rabinovitz have rather un-nervedly put it: Nothing positive can be said about the degree of convergence. Lipow and Stenger (“How slowly can quadrature Formulas converge?“; Math. Comp. 26, 1972, 917-922) have shown that all quadrature methods will converge arbitrarily slowly on the space of continuous functions: for every sequence a_n converging to 0, there is a continuous function f such that \int_0^1f(t)dt - Q_n[f] \geq \varepsilon_n.

Before closing this chapter, let’s say that in practical applications it’s hard to know whether your approximation to the integral is sufficient. The convergence theorems don’t speak about the speed of convergence, the error estimates deal with sup-norms of derivatives. Most applications deal with adaptive methods (which we haven’t covered here) to have a closer look where the function might become erratic, and in the end the methods are used with a little hope in the back of the user’s minds that stable methods with a high degree of exactness will do sufficiently well. There can be no certainty, however. But still, it’s some pretty mathematics to spend your time with.

How does it feel? To be on your own, with no direction home, like a complete unknown, like a rolling stone?

Every October, I get mildly interested in who is going to be Nobel Prize Laureate this year. I don’t get totally excited, since most of the time I don’t understand enough about the physics, the chemistry and (Lord help me) the medicine. I can classify the importance of the Nobel Peace Prize reasonably, and I couldn’t care less about the Non-Nobel Prize for economics. Besides, I was never fond of the Nobel Prize for Literature, since it seems a much more random prize to award, as it is the only one for artists, totally ignoring musicians, sculpturists and whatnot. In particular, if you are not closely familiar with world’s modern literature, you can’t understand the first thing about the Laureates. It depends heavily on where you live, if you are to know the winners and to estimate whether the award is rightful or not. This seems different for the science prizes, as I can at least estimate how important the respective field of research is, and it is quite different for the peace prize, as everyone with an understanding of present-day politics can estimate the importance of the awardee.

This year was different. The Nobel Prize for Literature went to Bob Dylan. This surprised me for two reasons: I knew the winner beforehand, and the winner is not a writer in the classical sense of the word. As far as I know this is the first time that a singer/songwriter wins the Nobel Prize, and this is a fine decision. As a side note, much of the literature of the ancient times used to be presented in the shape of music (since songs and rhymes are easier to memorize, an important thing when you’re without much opportunity for written records), just think of the Iliad and the Odyssey. Today, those are only referred to by their lyrics, as the music has vanished from mankind’s memory, but they are considered classical literature nonetheless. So, a good thing to award the prize for literature to a songwriter.

Now, I haven’t had much time yet to dig deeply into Bob Dylan’s discography, something I urgently need to do in the weeks to come. I had been aware that he was quite an influential writer whose songs have been covered numerous times, like Blowin’ in the Wind and Like a Rolling Stone. But I had not been aware how many songs were originally his: Mr Tambourine Man, Knockin’ on Heaven’s Door, Times are a-chaingin’, It ain’t me Babe, … and that list doesn’t start to be exhaustive. In fact, Dylan seems to be the most-covered musician in the past 100 years; I had believed this had been the Beatles, but they “only” have the most-covered song Yesterday (which is not the strongest Beatles-song by far, actually, but that doesn’t matter here). Of those many covers, most are better-known to be interpreted by other singers though they were written by Bob Dylan in the first place. Which is the phenomenon that happened to me, in fact.

One reason for this is Dylan’s voice which can’t actually be called melodic. In fact, he’s not much of a fantastic singer, as far as my taste is concerned. But his arrangements and his lyrics have been an inspiration for the entire modern popular music ever since the 1960’s. There is a virtually un-ending list of movies that feature a Dylan song in their score, which is why I know so very much of his work – though rather unaware.

Another fact that amazed me was part of the video clip for Homesick Subterranean Blues that was shown in the news after the Nobel Prize was announced: it was the inspiration to the beautiful video clip for Nur ein Wort by Wir sind Helden with their lead-singer Judith Holofernes. I had always given them the credit for the idea with the lyrics cards that they drop as the lyrics come – but again, it was Dylan’s idea. Wir sind Helden evolved this further to use little video tricks of slow-motion, playing backwards and gestures. But the basic is purely due to Dylan. Now, that is influencing new generations of artists. Mesmerizing.

I guess there’s much more down the rabbit hole. There’s a lot to discover in the oeuvre of Bob Dylan. And the few things that I have discovered already tell me he’s a worthy Laureate of the Nobel Prize for Literature.