Lecture 3 - Linear Systems of Dierential Equations

Example of convertion of a higher order DE into a system of rst order DEs

x

+ 3x

+ 4x

+ x = e
t
Introduce new variables
Let x
1
(t) = x(t) x
2
(t) = x

(t) x
3
(t) = x

(t)
Immediately, we have that
x

1
= x
2
x

2
= x
3
and from the given DE
x

3
= x

= 3x

4x

x + e
t
and hence
x

3
= 3x
3
4x
2
x
1
+ e
t
Written in matrix form we have
x

= Ax +g(t)
x =

x
1
x
2
x
3

A =

0 1 0
0 0 1
1 4 3

g(t) =

0
0
e
t

Note that x
1
, x
2
and x
3
, and hence vector x, depend on t
The general case. Linear systems of the form
x

= Ax +g(t)
x =

x
1
.
.
.
x
n

A =

a
11
. . . a
1n
.
.
.
.
.
.
a
n1
. . . a
nn

a constant matrix
g(t) =

g
1
(t)
.
.
.
g
n
(t)

If g(t) = 0 the system is called homogeneous

Homogeneous systems of dierential equations
These are systems of the form
x

= Ax
where
x =

x
1
.
.
.
x
n

A =

a
11
. . . a
1n
.
.
.
.
.
.
a
n1
. . . a
nn

a constant matrix
The general solution is of the form (well see later why)
x(t) = c
1
x
(1)
(t) + + c
n
x
(n)
(t)
That is, it is a linear combination of certain solutions
Constants c
1
, , c
n
are the combination co-ecients
The second-order dierential equation
x

+ 2x

3x = 0
Let x
1
= x and x
2
= x

. The derivatives of the new variables are

x

1
= x

= x
2
x

2
= x

= 3x 2x

= 3x
1
2x
2
In matrix-vector form this is
x

= Ax x =

x
1
x
2

A =

0 1
3 2

The (eigenvalue) characteristic equation is

2
+ 2 3 = 0
Recall that the dierential equation is x

+ 2x

3x = 0. Note the similarity

The eigenstructure is
v
1
=

1
1

v
3
=

1
3

The general solution is (well see why later)

x = c
1

1
1

e
t
+ c
2

1
3

e
3t
Note that the eigenvalues are in the exponents
In component form, the solution is
x x
1
= c
1
e
t
+ c
2
e
3t
x

x
2
= c
1
e
t
3c
2
e
3t
Both x
1
(position) and x
2
(velocity) satisfy the original dierential equation
First year method. Try x = e
mt
. Substitution leads to
m
2
+ 2m3 = 0 This is the characteristic equation in m instead of
Another example. The homogeneous system x

1
= x
1
+ 2x
2
, x

2
= 5x
1
+ 4x
2
In system form we have
x

= Ax x =

x
1
x
2

A =

1 2
5 4

The general solution (well see later why) is

x(t) = c
1

2e
6t
5e
6t

+ c
2

e
t
e
t

That is
x
1
(t) = 2c
1
e
6t
+ c
2
e
t
x
2
(t) = 5c
1
e
6t
c
2
e
t
The Wronskian and Linear Independence
Recall that for any matrix M we have
M invertible M has linearly independent columns
and hence we have that
det(M) = 0 M has linearly independent columns
Hence column vectors v
1
, v
2
, , v
n
are linearly independent if the matrix

v
1
.
.
. v
2
.
.
.
.
.
. v
n

has nonzero determinant

We can form an augmented matrix of n solutions of an n
th
order system

x
(1)
(t)
.
.
. x
(2)
(t)
.
.
.
.
.
. x
(n)
(t)

Its determinant is called the Wronskian

W(t) =

x
(1)
(t)
.
.
. x
(2)
(t)
.
.
.
.
.
. x
(n)
(t)

Previous example: x

1
= x
1
+ 2x
2
, x

2
= 5x
1
+ 4x
2
W(t) =

2e
6t
e
t
5e
6t
e
t

= 7e
5t
A set of solutions is linearly independent if its Wronskian is nonzero
It can be shown that the Wronskian is either never zero or always zero
A linearly independent set of solutions is also called a fundamental set of solutions
How to nd solutions of homogeneous linear systems of dierential equations
When n = 1 the system is simply x

= ax where a = a
11
The solution is x(t) = ce
at
where c is a constant
To solve homogeneous linear system seek solutions of the form
x(t) = ve
t
where is a constant and v is a constant vector
Substitution into the system gives
x

= Ax ve
t
= Ave
t
v = Av
This is the eigenvalue-eigenvector problem
Examples
The second order system
x

(t) = Ax(t) x =

x
1
x
2

A =

1 2
5 4

The eigensolution is
v
6
=

2
5

v
1
=

1
1

Hence the two solutions are

x
(1)
(t) =

2
5

e
6t
x
(2)
(t) =

1
1

e
t
Wronskian is W(t) = 7e
5t
= 0 so they are linearly independent
The general solution is
x(t) = c
1

2
5

e
6t
+ c
2

1
1

e
t
The third order system
x

(t) = Ax(t) x =

x
1
x
2
x
3

A =

1 2 3
0 4 5
0 0 6

The eigensolution is
v
1
=

1
0
0

v
4
=

2
3
0

v
6
=

16
25
10

The general solution is

x(t) = c
1

1
0
0

e
t
+ c
2

2
3
0

e
4t
+ c
3

16
25
10

e
6t
Repeated eigenvalue example..The third order system
x

(t) = Ax(t) x =

x
1
x
2
x
3

A =

2 2 3
2 1 6
1 2 0

The eigensolution is
v
5
=

1
2
1

v
3
=

2
1
0

3
0
1

The general solution is

x(t) = c
1

1
2
1

e
5t
+

c
2

2
1
0

+ c
3

3
0
1

e
3t
Fundamental Matrices and the Initial Value Problem
A fundamental set of solutions can be augmented into a Fundamental matrix
(t) =

x
(1
)(t)
.
.
. x
(2
)(t)
.
.
.
.
.
. x
(n
)(t)

Earlier example
x

(t) =

1 2
5 4

x(t) (t) =

2e
6t
e
t
5e
6t
e
t

The Wronskian W(t) = det((t))

A fundamental set of solutions is linearly independent by denition
Hence W(t) = 0 and hence (t) is invertible
An Initial Value Problem (IVP) is a system of DEs plus appropriate initial conditions
x

(t) = Ax(t) x(0) = x

0
General solution of system of DEs is
x(t) = c
1
x
(1)
(t) + + c
n
x
(n)
(t)
x(t) = (t)c where c =

c
1
.
.
.
c
n

The initial conditions require that

(0)c = x
0
c = (0)
1
x
0
x(t) = (t)(0)
1
x
0
The Fundamental Matrix (t) is dened to be
(t) = (t)(0)
1
Note that (t) is unique for a given system, but (t) is not
Observe that
(0) = I
Solution of the initial value problem can be written
x(t) = (t)x
0
Example
The second order initial value problem
x

(t) =

1 2
5 4

x(t) x(0) =

1
2

Now
(0) =

2 1
5 1

(0)
1
=
1
7

1 1
5 2

Hence
(t) =
1
7

2e
6t
+ 5e
t
2e
6t
2e
t
5e
6t
5e
t
5e
6t
+ 2e
t

Finally, the initial condition requires that

x(t) =
1
7

2e
6t
+ 5e
t
2e
6t
2e
t
5e
6t
5e
t
5e
6t
+ 2e
t

1
2

That is
x(t) =
1
7

6e
6t
+ e
t
15e
6t
e
t

That is
x
1
(t) =
6
7
e
6t
+
1
7
e
t
x
2
(t) =
15
7
e
6t

1
7
e
t
Graphically
A systemartic way of nding the solution
Recall that
D = P
1
AP
This can be used to simplify a dicult problem
A change of variables. Introduce vector variable y(t) through the relationship
x(t) = Py(t)
The columns of matrix P must be eigenvectors of A
Substitute into the system of dierential equations
x

= Ax Py

= APy y

= P
1
APy
We know that P
1
AP = D so the new system is
y

(t) = Dy(t)
In expanded notation the new system of dierential equations is

1
.
.
.
y

1
. . . 0
.
.
.
.
.
.
.
.
.
0 . . .
n

y
1
.
.
.
y
n

This is simply
y

1
=
1
y
1
, y

2
=
2
y
2
, , y

n
=
n
y
n
The solutions of these are easily obtained - high school
y
1
(t) = c
1
e

1
t
, y
2
(t) = c
2
e

2
t
, , y
n
(t) = c
n
e
nt
Finally, x(t) = Py(t) gives the required solution