Riemann-Hilbert Problems, Their Numerical Solution and the Computation of Nonlinear Special Functions

Abstract

The computation of special functions has important implications throughout engineering and the physical sciences. Nonlinear special functions include the solutions of integrable partial differential equations and the Painleve transcendents. Many problems in water wave theory, nonlinear optics and statistical mechanics are reduced to the study of a nonlinear special function in particular limits. The universal object that these functions share is a Riemann--Hilbert representation: the nonlinear special function can be recovered from the solution of a Riemann-Hilbert problem (RHP). A RHP consists of finding a piecewise-analytic function in the complex plane when the behavior of its discontinuities is specified. In this dissertation, the applied theory of Riemann-Hilbert problems, using both Holder and Lebesgue spaces, is reviewed. The numerical solution of RHPs is discussed. Furthermore, the uniform approximation theory for the numerical solution of RHPs is presented, proving that in certain cases the convergence of the numerical method is uniform with respect to a parameter. This theory shares close relation to the method of nonlinear steepest descent for RHPs. The inverse scattering transform for the Korteweg--de Vries and Nonlinear Schroedinger equation is made effective by solving the associated RHPs numerically. This technique is extended to solve the Painleve II equation numerically. Similar Riemann-Hilbert techniques are used to compute the so-called finite-genus solutions of the Korteweg-de Vries equation. This involves ideas from Riemann surface theory. Finally, the methodology is applied to compute orthogonal polynomials with exponential weights. This allows for the computation of statistical quantities stemming from random matrix ensembles.