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Hao Lian, programmer-poet.
This review of an introduction to differential equations course
assumes in various, tiny ways that you’ve been exposed to a
formal class. Otherwise, you probably should read a textbook
first.
1
FIRST
-
ORDER LINEAR
When using the separable method, losing zeroes occurs. For
example, the naïve solution to
y
=
x
2
(
y
−
13
)
misses
y
(
x
) =
13.
Given
a
1
(
x
)
y
(
x
)+
a
0
(
x
)
y
(
x
) =
b
(
x
)
, there are two trivial
cases:
a
0
(
x
) =
0 and
a
0
(
x
) =
a
1
(
x
)
, the latter due theproduct rule. We can reduce all such equations to this case.
Let
µ
(
x
)
such that
µ
=
µ
P
, implying
µ
=
exp
(
P dx
)
.
µ
Q
=
µ
(
y
+
Py
) =
d
(
µ
y
)
dx
µ
y
=
µ
Qdx
+
C
.
Definition 1.1
(Exact equation)
.
An
exact equation
on rect-
angle
R
is of the form
M
(
x
,
y
)
dx
+
N
(
x
,
y
)
dy
=
0 such that
there exists
F
such that
F
x
=
M
and
F
y
=
N
.
Theorem 1.1.
An equation is exact iff
M
y
=
N
x
. The solution
follows from the properties of a total derivative: M dx
+
N dy
=
0
F
x
dx
+
F
y
dy
=
0
F
(
x
,
y
) =
C
.
2
SECOND
-
ORDER LINEAR
A guess of
exp
(
rt
)
for
ay
+
by
+
c
=
0, the equationresolves to
exp
(
rt
)(
ar
2
+
br
+
c
) =
0. With two dis-tinct
r
values as solutions, then by superposition
y
(
t
) =
c
1
exp
(
r
1
t
) +
c
2
exp
(
r
2
t
)
.
Theorem 2.1
(Existence and uniqueness)
.
Given the universe
of reals, there exists a unique solution to second-order linearequations with initial conditions
y
(
t
0
) =
Y
0
and
y
(
t
0
) =
Y
1
valid for all
t
∈
.
Theorem 2.2
(Representation)
.
For
y
1
,
y
2
that are lindep on
I
with
t
0
∈
I
, there exists
c
1
,
c
2
such that
c
1
y
1
+
c
2
y
2
satisfies
the IVP on I with the initial t
0
condition.
The proof follows from knowing
W
[
y
1
,
y
2
] =
0 iff the two
solutions are linindep and some non-obvious algebra.
2.1 Working from the characteristic polynomial roots
For two identical roots, use a
t
exp
(
rt
)
term. For characteris-
tic equations with complex conjugates
α
±
β
i
, there exists two:
exp
(
α
t
)(
cos
β
t
,sin
β
t
)
. Note that complex conjugates only occur if
a
,
b
,
c
∈
. Otherwise, two non-conjugate complex
roots may arise.
2.2 Non-homogeneous
Theorem 2.3
(Existence and uniqueness.)
.
For
a
,
b
,
c
,
t
0
,
Y
0
,
Y
1
∈
with
y
P
on
I
with
t
0
∈
I
with
y
1
,
y
2
lindep, there exists a unique solution to the non-homogeneous
IVP. Proof.
We use the EUT for the homogeneous case and su-
perposition principle to construct the the solution; therefore,
it exists. To prove the solution (
y
g
=
y
p
+
c
1
y
1
+
c
2
y
2
) isunique, assume there exists another solution
ψ
such that
ψ
=
y
g
. Let
y
=
y
g
−
ψ
. Trivially,
y
satisfies the IVP where
ay
+
by
+
cy
=
y
g
−
ψ
=
0 with initial values
y
(
0
) =
0and
y
(
0
) =
0. Note that this is a homogeneous equation.However,
f
(
t
) =
0 is already a unique solution to this IVP.
By the homogeneous EUT, it must be the same solution as
y
,
implying
y
=
y
g
−
ψ
=
0 or
y
g
=
ψ
, a contradiction.
2.3 Miscellaneous
Let
v
1
=
−
gy
2
aW
[
y
1
,
y
2
]
dt v
2
=
gy
1
aW
[
y
1
,
y
2
]
dt
where
ay
+
by
+
c
=
g
. Then
y
p
=
v
1
y
1
+
v
2
y
2
. This is the
method of variations
.
Linear equations always obey the superposition principle,distinguishing them from non-linear equations. Non-linear
equations also do not guarantee uniqueness of solutions.
3
HIGHER
-
ORDER LINEAR
We can easily generalize the homogeneous linear equation to
higher powers using the characteristic equation
We can also generalize the method of undetermined co-efficients by finding a linear differential operator
A
(an an-nihilator) such that
A
[
f
](
x
) =
0. So suppose we have alinear equation in operator form
L
[
y
](
x
) =
f
(
x
)
. Then
AL
[
y
](
x
) =
A
[
f
](
x
) =
0. We have reduced the non-
homogeneous equation to homogeneous form. Boo-ya.
Constructing an annhilator is like constructing a guessusing the method of undetermined coefficients: Memorizea brief table. If
x
k
exp
(
rx
)
, then
(
D
−
r
)
m
where
m
is any integer such that
m
>
k
.
sin
β
x
or
cos
β
x
, then
(
D
2
+
β
2
)
.
x
k
exp
(
rx
)
sin
β
x
, then
[(
D
−
r
)
2
+
β
2
]
m
. For example,0
= (
D
−
1
)
3
(
D
2
+
1
)(
D
+
1
)[
y
]
y
= (
C
1
e
x
+
C
2
xe
x
+
C
3
xe
x
) + (
C
4
sin
x
+
C
5
cos
x
) +
C
6
e
−
x
.
4
MATRICES
The following statements are equivalent: (1)
A
is singular
(has no inverse); (2)
|
A
|
=
0; (3)
Ax
has non-trivial solutions,
i.e. where
x
=
0
; and (4) rows of
A
are lindep.
If
A
is singular,
Ax
=
0
has infinitely many solutions, all a
scalar multiple of some
x
0
=
0
. Furthermore,
Ax
=
b
eitherhas no solutions or infinitely many of the form
x
=
x
p
+
x
h
.
1
Hao Lian, programmer-poet.
Another property, which is significant in the light that matrix
multiplication is not commutative:
ddt
AB
=
A
d
B
dt
+
d
A
dt
B
.
Theorem 4.1
(Existence and uniqueness)
.
If
A
,
f
are contin-uous on an open interval
I
,
t
0
∈
I
, and
x
0
, then there exists a
unique
x
(
t
)
on I to the IVP
x
(
t
) =
Ax
+
f
.
Theorem 4.2.
Let
x
i
be linindep solutions to
Ax
=
x
. If they
are linindep, then the Wronskian is never zero on I. Proof.
Suppose for a contradiction that
W
(
t
0
) =
0 for some
t
0
.
X
(
t
0
)
c
=
0 for some
c
=
0
because columns becomelinearly dependent when the matrix has a nonzero determi-nant per the above theorem. Another solution to
Ax
=
0
is
z
(
t
) =
0. These solutions are identical on
I
by the EUT,implying
X
(
t
)
c
=
0 for
all
t
. This implies the
x
i
are lindep,
contradicting the initial assumption.
Two implications:
W
(
t
)
is always zero or never zero on
I
.
And the set of solutions are linindep iff
W
(
t
)
is never zero,
whence the representation theorem:
Theorem 4.3
(Representation)
.
Let
x
i
be linindep solutions tothe homogeneous system
x
=
Ax
(
t
)
on
I
. Then every solution isin the form
x
(
t
) =
X
(
t
)
c
. Denote
X
as the
fundamental matrix
for the
fundamental solution set
.
4.1 Non-homogeneous
Theorem 4.4
(Superposition principle)
.
Let
L
[
x
]
:
−
x
−
Ax
. If
x
1
,
x
2
are solutions to
L
[
x
] =
g
1
and
L
[
x
] =
g
2
, then
c
1
x
1
+
c
2
x
2
are solutions to L
[
x
] =
c
1
g
1
+
c
2
g
2
.
Theorem 4.5
(Representation)
.
Let
x
p
solve
x
=
Ax
+
f
on
I and
X
be the fundamental matrix for the homogeneous system
x
=
Ax
. Then every solution on
I
is of the form
x
=
x
p
+
Xc
by
the superposition principle. Denote this as the
general solution
.
4.2 Eigenapalooza
For the system
x
=
Ax
, guess
x
=
exp
(
rt
)
u
, implying
r
exp
(
rt
)
u
=
exp
(
rt
)
Au
or
(
A
−
r
I
)
u
=
0
.
Eigenvalues
arenumbers
r
such that that equation has a nontrivial (
u
=
0
)solution; the corresponding
u
are
eigenvectors
. Nontrivialsolutions, from a previous theorem, occurs iff
|
A
−
r
I
|
=
0.The determinant is the
characteristic polynomial
, and this is
the
characteristic equation
.
Theorem 4.6.
exp
(
r
i
t
)
u
i
is a fundamental set for linearly
dependent
{
u
i
}
. Proof.
The Wronskian over the set of those solutions is
exp
(
t
r
i
)
|
U
|
where
U
= [
u
1
,...,
u
n
]
. The determinant is
never zero because the eigenvectors are linearly independent;
therefore, the Wronskian is never zero for all
t
.
Theorem 4.7.
If
r
1
,
r
2
are distinct eigenvalues, then
u
1
,
u
2
are
linearly independent. Proof.
Suppose
u
1
=
c
u
2
. Then
(
r
1
−
r
2
)
u
1
=
0
, implying for
a contradiction that
r
1
=
r
2
because we know
u
1
=
0
.
As a corollary,
n
distinct eigenvalues and eigenvectors im-
ply a fundamental solution set for
x
=
Ax
.
The conjugates for complex eigenvalues and eigenvectors
create two linearly independent real vector solutions:exp
(
α
t
)(
a
,
b
)
·
((
cos
β
t
,
−
sin
β
t
)
,
(
sin
β
t
,cos
β
t
))
.
4.3 Non-homogeneous
Method of undetermined coefficients works similarly. How-
ever, variation of parameters yields the equation
x
=
Xc
+
X
X
−
1
f
dt
.
4.4 Matrix exponential
Definition 4.1
(Matrix exponential)
.
exp
(
A
t
) =
I
+
A
t
+
A
2
t
2
2
+
···
.
The inverse—
exp
(
A
t
)
−
1
—is
exp
(
−
A
t
)
. The derivative is
A
exp
(
A
t
)
by virtue of differentiating that pseudo-Taylor se-
ries pseudo-polynomial. Therefore, the exponential is a solu-
tion to
X
=
AX
. Because
exp
(
A
t
)
is invertible, the columns
are linindep solutions to the system. The general solution is
then
x
(
t
) =
exp
(
A
t
)
c
, and
exp
(
A
t
)
is the fundamental matrix
for the system.
Definition 4.2
(Nilpotent)
.
A matrix
B
is
nilpotent
iff there
exists
k
>
0 such that
B
k
=
0
. In such a case, the exponential
has a finite number of terms.If
A
−
r
I
is nilpotent, then there is a finite expansion:
e
A
t
=
e
rt
e
(
A
−
r
I
)
t
=
e
rt
···
+(
A
−
r
I
)
n
−
1
t
n
−
1
(
n
−
1
)
!
. (1)
4.5 Generalized eigenvectors
With repeated eigenvalues, we need a strategy to find addi-
tional eigenvectors.
Lemma.
If
X
,
Y
are fundamental matrices for the sys-tem
x
=
Ax
, then there exists a constant matrix such that
X
(
t
) =
Y
(
t
)
C
.
What is the relationship between
exp
(
A
t
)
and a givenfundamental matrix
X
? By the lemma,
exp
(
A
t
) =
X
(
t
)
C
forsome
C
. Plugging
t
=
0, we find
I
=
X
(
0
)
C
. Therefore,
exp
(
A
t
) =
X
(
t
)
X
−
1
(
0
)
.
So, to obtain the fundamental solution matrix
X
, assume
the requirement that columns must be of the form
exp
(
A
t
)
u
,
which can be decomposed by
(1)
. Therefore, we need
n
vectors
u
whose calculations are feasible. To do so, find
p
(
r
) =
|
A
−
r
I
|
and therefore the eigenvalues. For each
r
i
withmultiplicity
m
i
, find
m
i
linindep generalized eigenvectors. (A
2
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