A simple example of such a problem is to find the curve of shortest length connecting two points. If there are no constraints, the solution is a
straight line between the points. However, if the curve is constrained to lie on a surface in space, then the solution is less obvious, and possibly many solutions may exist. Such solutions are known as geodesics. A related problem is posed by
Fermat's principle: light follows the path of shortest
optical length connecting two points, which depends upon the material of the medium. One corresponding concept in
mechanics is the
principle of least/stationary action.
Many important problems involve functions of several variables. Solutions of
boundary value problems for the
Laplace equation satisfy the
Plateau's problem requires finding a surface of minimal area that spans a given contour in space: a solution can often be found by dipping a frame in soapy water. Although such experiments are relatively easy to perform, their mathematical formulation is far from simple: there may be more than one locally minimizing surface, and they may have non-trivial
The calculus of variations is concerned with the maxima or minima (collectively called extrema) of functionals. A functional maps
scalars, so functionals have been described as "functions of functions." Functionals have extrema with respect to the elements of a given
function space defined over a given
domain. A functional is said to have an extremum at the function if has the same
sign for all in an arbitrarily small neighborhood of [d] The function is called an extremal function or extremal.[e] The extremum is called a local maximum if everywhere in an arbitrarily small neighborhood of and a local minimum if there. For a function space of continuous functions, extrema of corresponding functionals are called strong extrema or weak extrema, depending on whether the first derivatives of the continuous functions are respectively all continuous or not.
Both strong and weak extrema of functionals are for a space of continuous functions but strong extrema have the additional requirement that the first derivatives of the functions in the space be continuous. Thus a strong extremum is also a weak extremum, but the
converse may not hold. Finding strong extrema is more difficult than finding weak extrema. An example of a
necessary condition that is used for finding weak extrema is the
Finding the extrema of functionals is similar to finding the maxima and minima of functions. The maxima and minima of a function may be located by finding the points where its derivative vanishes (i.e., is equal to zero). The extrema of functionals may be obtained by finding functions for which the
functional derivative is equal to zero. This leads to solving the associated
is twice continuously differentiable with respect to its arguments and
If the functional attains a
local minimum at and is an arbitrary function that has at least one derivative and vanishes at the endpoints and then for any number close to 0,
The term is called the variation of the function and is denoted by [h]
Substituting for in the functional the result is a function of
Since the functional has a minimum for the function has a minimum at and thus,[i]
total derivative of where and are considered as functions of rather than yields
and because and
where when and we have used
integration by parts on the second term. The second term on the second line vanishes because at and by definition. Also, as previously mentioned the left side of the equation is zero so that
In order to illustrate this process, consider the problem of finding the extremal function which is the shortest curve that connects two points and The
arc length of the curve is given by
Note that assuming y is a function of x loses generality; ideally both should be a function of some other parameter. This approach is good solely for instructive purposes.
The Euler–Lagrange equation will now be used to find the extremal function that minimizes the functional
Since does not appear explicitly in the first term in the Euler–Lagrange equation vanishes for all and thus,
Substituting for and taking the derivative,
for some constant Then
Solving, we get
which implies that
is a constant and therefore that the shortest curve that connects two points and is
and we have thus found the extremal function that minimizes the functional so that is a minimum. The equation for a straight line is In other words, the shortest distance between two points is a straight line.[j]
In physics problems it may be the case that meaning the integrand is a function of and but does not appear separately. In that case, the Euler–Lagrange equation can be simplified to the
The intuition behind this result is that, if the variable is actually time, then the statement implies that the Lagrangian is time-independent. By
Noether's theorem, there is an associated conserved quantity. In this case, this quantity is the Hamiltonian, the Legendre transform of the Lagrangian, which (often) coincides with the energy of the system. This is (minus) the constant in Beltrami's identity.
The discussion thus far has assumed that extremal functions possess two continuous derivatives, although the existence of the integral requires only first derivatives of trial functions. The condition that the first variation vanishes at an extremal may be regarded as a weak form of the Euler–Lagrange equation. The theorem of Du Bois-Reymond asserts that this weak form implies the strong form. If has continuous first and second derivatives with respect to all of its arguments, and if
then has two continuous derivatives, and it satisfies the Euler–Lagrange equation.
Hilbert was the first to give good conditions for the Euler–Lagrange equations to give a stationary solution. Within a convex area and a positive thrice differentiable Lagrangian the solutions are composed of a countable collection of sections that either go along the boundary or satisfy the Euler–Lagrange equations in the interior.
Lavrentiev in 1926 showed that there are circumstances where there is no optimum solution but one can be approached arbitrarily closely by increasing numbers of sections. The Lavrentiev Phenomenon identifies a difference in the infimum of a minimization problem across different classes of admissible functions. For instance the following problem, presented by Manià in 1934:
Clearly, minimizes the functional, but we find any function gives a value bounded away from the infimum.
Examples (in one-dimension) are traditionally manifested across and but Ball and Mizel procured the first functional that displayed Lavrentiev's Phenomenon across and for There are several results that gives criteria under which the phenomenon does not occur - for instance 'standard growth', a Lagrangian with no dependence on the second variable, or an approximating sequence satisfying Cesari's Condition (D) - but results are often particular, and applicable to a small class of functionals.
Connected with the Lavrentiev Phenomenon is the repulsion property: any functional displaying Lavrentiev's Phenomenon will display the weak repulsion property.
Functions of several variables
For example, if denotes the displacement of a membrane above the domain in the plane, then its potential energy is proportional to its surface area:
Plateau's problem consists of finding a function that minimizes the surface area while assuming prescribed values on the boundary of ; the solutions are called minimal surfaces. The Euler–Lagrange equation for this problem is nonlinear:
See Courant (1950) for details.
It is often sufficient to consider only small displacements of the membrane, whose energy difference from no displacement is approximated by
The functional is to be minimized among all trial functions that assume prescribed values on the boundary of If is the minimizing function and is an arbitrary smooth function that vanishes on the boundary of then the first variation of must vanish:
Provided that u has two derivatives, we may apply the divergence theorem to obtain
where is the boundary of is arclength along and is the normal derivative of on Since vanishes on and the first variation vanishes, the result is
for all smooth functions v that vanish on the boundary of The proof for the case of one dimensional integrals may be adapted to this case to show that
The difficulty with this reasoning is the assumption that the minimizing function u must have two derivatives. Riemann argued that the existence of a smooth minimizing function was assured by the connection with the physical problem: membranes do indeed assume configurations with minimal potential energy. Riemann named this idea the
Dirichlet principle in honor of his teacher
Peter Gustav Lejeune Dirichlet. However Weierstrass gave an example of a variational problem with no solution: minimize
among all functions that satisfy and can be made arbitrarily small by choosing piecewise linear functions that make a transition between −1 and 1 in a small neighborhood of the origin. However, there is no function that makes [k] Eventually it was shown that Dirichlet's principle is valid, but it requires a sophisticated application of the regularity theory for
elliptic partial differential equations; see Jost and Li–Jost (1998).
Generalization to other boundary value problems
A more general expression for the potential energy of a membrane is
This corresponds to an external force density in an external force on the boundary and elastic forces with modulus acting on The function that minimizes the potential energy with no restriction on its boundary values will be denoted by Provided that and are continuous, regularity theory implies that the minimizing function will have two derivatives. In taking the first variation, no boundary condition need be imposed on the increment The first variation of is given by
If we apply the divergence theorem, the result is
If we first set on the boundary integral vanishes, and we conclude as before that
in Then if we allow to assume arbitrary boundary values, this implies that must satisfy the boundary condition
on This boundary condition is a consequence of the minimizing property of : it is not imposed beforehand. Such conditions are called natural boundary conditions.
The preceding reasoning is not valid if vanishes identically on In such a case, we could allow a trial function where is a constant. For such a trial function,
By appropriate choice of can assume any value unless the quantity inside the brackets vanishes. Therefore, the variational problem is meaningless unless
This condition implies that net external forces on the system are in equilibrium. If these forces are in equilibrium, then the variational problem has a solution, but it is not unique, since an arbitrary constant may be added. Further details and examples are in Courant and Hilbert (1953).
Both one-dimensional and multi-dimensional eigenvalue problems can be formulated as variational problems.
The Sturm–Liouville eigenvalue problem involves a general quadratic form
where is restricted to functions that satisfy the boundary conditions
Let be a normalization integral
The functions and are required to be everywhere positive and bounded away from zero. The primary variational problem is to minimize the ratio among all satisfying the endpoint conditions. It is shown below that the Euler–Lagrange equation for the minimizing is
where is the quotient
It can be shown (see Gelfand and Fomin 1963) that the minimizing has two derivatives and satisfies the Euler–Lagrange equation. The associated will be denoted by ; it is the lowest eigenvalue for this equation and boundary conditions. The associated minimizing function will be denoted by This variational characterization of eigenvalues leads to the
Rayleigh–Ritz method: choose an approximating as a linear combination of basis functions (for example trigonometric functions) and carry out a finite-dimensional minimization among such linear combinations. This method is often surprisingly accurate.
The next smallest eigenvalue and eigenfunction can be obtained by minimizing under the additional constraint
This procedure can be extended to obtain the complete sequence of eigenvalues and eigenfunctions for the problem.
The variational problem also applies to more general boundary conditions. Instead of requiring that vanish at the endpoints, we may not impose any condition at the endpoints, and set
where and are arbitrary. If we set the first variation for the ratio is
where λ is given by the ratio as previously.
After integration by parts,
If we first require that vanish at the endpoints, the first variation will vanish for all such only if
If satisfies this condition, then the first variation will vanish for arbitrary only if
These latter conditions are the natural boundary conditions for this problem, since they are not imposed on trial functions for the minimization, but are instead a consequence of the minimization.
Eigenvalue problems in several dimensions
Eigenvalue problems in higher dimensions are defined in analogy with the one-dimensional case. For example, given a domain with boundary in three dimensions we may define
Let be the function that minimizes the quotient
with no condition prescribed on the boundary The Euler–Lagrange equation satisfied by is
The minimizing must also satisfy the natural boundary condition
on the boundary This result depends upon the regularity theory for elliptic partial differential equations; see Jost and Li–Jost (1998) for details. Many extensions, including completeness results, asymptotic properties of the eigenvalues and results concerning the nodes of the eigenfunctions are in Courant and Hilbert (1953).
Fermat's principle states that light takes a path that (locally) minimizes the optical length between its endpoints. If the -coordinate is chosen as the parameter along the path, and along the path, then the optical length is given by
where the refractive index depends upon the material.
If we try then the
first variation of (the derivative of with respect to ε) is
After integration by parts of the first term within brackets, we obtain the Euler–Lagrange equation
There is a discontinuity of the refractive index when light enters or leaves a lens. Let
where and are constants. Then the Euler–Lagrange equation holds as before in the region where or and in fact the path is a straight line there, since the refractive index is constant. At the must be continuous, but may be discontinuous. After integration by parts in the separate regions and using the Euler–Lagrange equations, the first variation takes the form
The factor multiplying is the sine of angle of the incident ray with the axis, and the factor multiplying is the sine of angle of the refracted ray with the axis.
Snell's law for refraction requires that these terms be equal. As this calculation demonstrates, Snell's law is equivalent to vanishing of the first variation of the optical path length.
Fermat's principle in three dimensions
It is expedient to use vector notation: let let be a parameter, let be the parametric representation of a curve and let be its tangent vector. The optical length of the curve is given by
Note that this integral is invariant with respect to changes in the parametric representation of The Euler–Lagrange equations for a minimizing curve have the symmetric form
It follows from the definition that satisfies
Therefore, the integral may also be written as
This form suggests that if we can find a function whose gradient is given by then the integral is given by the difference of at the endpoints of the interval of integration. Thus the problem of studying the curves that make the integral stationary can be related to the study of the level surfaces of In order to find such a function, we turn to the wave equation, which governs the propagation of light. This formalism is used in the context of
Lagrangian optics and
along a system of curves (the light rays) that are given by
These equations for solution of a first-order partial differential equation are identical to the Euler–Lagrange equations if we make the identification
We conclude that the function is the value of the minimizing integral as a function of the upper end point. That is, when a family of minimizing curves is constructed, the values of the optical length satisfy the characteristic equation corresponding the wave equation. Hence, solving the associated partial differential equation of first order is equivalent to finding families of solutions of the variational problem. This is the essential content of the
Hamilton–Jacobi theory, which applies to more general variational problems.
In classical mechanics, the action, is defined as the time integral of the Lagrangian, The Lagrangian is the difference of energies,
where is the
kinetic energy of a mechanical system and its
Hamilton's principle (or the action principle) states that the motion of a conservative holonomic (integrable constraints) mechanical system is such that the action integral
is stationary with respect to variations in the path
The Euler–Lagrange equations for this system are known as Lagrange's equations:
and they are equivalent to Newton's equations of motion (for such systems).
The conjugate momenta are defined by
For example, if
Hamiltonian mechanics results if the conjugate momenta are introduced in place of by a Legendre transformation of the Lagrangian into the Hamiltonian defined by
The Hamiltonian is the total energy of the system:
Analogy with Fermat's principle suggests that solutions of Lagrange's equations (the particle trajectories) may be described in terms of level surfaces of some function of This function is a solution of the
Further applications of the calculus of variations include the following:
Calculus of variations is concerned with variations of functionals, which are small changes in the functional's value due to small changes in the function that is its argument. The first variation[l] is defined as the linear part of the change in the functional, and the second variation[m] is defined as the quadratic part.
For example, if is a functional with the function as its argument, and there is a small change in its argument from to where is a function in the same function space as then the corresponding change in the functional is[n]
The functional is said to be differentiable if
where is a linear functional,[o] is the norm of [p] and as The linear functional is the first variation of and is denoted by,
The functional is said to be twice differentiable if
where is a linear functional (the first variation), is a quadratic functional,[q] and as The quadratic functional is the second variation of and is denoted by,
The second variation is said to be strongly positive if
elementary calculus is about
infinitesimally small changes in the values of functions without changes in the function itself, calculus of variations is about infinitesimally small changes in the function itself, which are called variations.
^"Euler waited until Lagrange had published on the subject in 1762 ... before he committed his lecture ... to print, so as not to rob Lagrange of his glory. Indeed, it was only Lagrange's method that Euler called Calculus of Variations."
^See Harold J. Kushner (2004): regarding Dynamic Programming, "The calculus of variations had related ideas (e.g., the work of Caratheodory, the Hamilton-Jacobi equation). This led to conflicts with the calculus of variations community."
^The neighborhood of is the part of the given function space where over the whole domain of the functions, with a positive number that specifies the size of the neighborhood.
^ Note the difference between the terms extremal and extremum. An extremal is a function that makes a functional an extremum.
^The following derivation of the Euler–Lagrange equation corresponds to the derivation on pp. 184–185 of Courant & Hilbert (1953).
^Note that and are evaluated at the same values of which is not valid more generally in variational calculus with non-holonomic constraints.
^The product is called the first variation of the functional and is denoted by Some references define the
first variation differently by leaving out the factor.
^ As a historical note, this is an axiom of
Archimedes. See e.g. Kelland (1843).
^The resulting controversy over the validity of Dirichlet's principle is explained by Turnbull.
^ The first variation is also called the variation, differential, or first differential.
^ The second variation is also called the second differential.
^Note that and the variations below, depend on both and The argument has been left out to simplify the notation. For example, could have been written 
^A functional is said to be linear if and where are functions and is a real number.
^ For a function that is defined for where and are real numbers, the norm of is its maximum absolute value, i.e. 
^ A functional is said to be quadratic if it is a bilinear functional with two argument functions that are equal. A bilinear functional is a functional that depends on two argument functions and is linear when each argument function in turn is fixed while the other argument function is variable.