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Higher Order Linear Difference Equations
Higher Order Linear Difference Equations
2.2.0 Introduction
The main part of this section covers the solution methodology of linear second order
difference equations (discrete dynamical systems). We examine two cases: i)
homogeneous, 2nd-order, linear discrete dynamical systems; and ii) non-homogeneous,
2nd order, linear discrete dynamical systems. Dynamical systems are powerful tools for
modeling and analyzing a variety of situations.
x1 =
1+ 5
2
x2 =
and
1 5
2
1+ 5
1 5
+ c2
f (k ) = c1
2
2
f(1) = 1 = c1
2
2
5+ 5
10
and c 2 =
5 5
10
5 + 5 1 + 5 5 5 1 5
f (k ) =
10 2 10 2
k +1
5 + 5 1 + 5
5 5 1 5
10 2
f (k + 1) 10 2
=
k
k
f (k )
5 + 5 1 + 5 5 5 1 5
10 2 + 10 2
Lets use Maple to find the limit of the above as k approaches infinity:
> limit(
(((5 + sqrt(5))/10)*((1+ sqrt(5))/2)^(k+1) + ((5
- sqrt(5))/10)*((1- sqrt(5))/2)^(k+1) ) / (((5 +
sqrt(5))/10)*((1+ sqrt(5))/2)^k + ((5 - sqrt(5))/10)*((1sqrt(5))/2)^k ), k = infinity);
1 1
+
5
2 2
The above number is called the golden mean. The number has many applications and a
rich history.
Double root:
A 2nd order linear homogeneous difference equation of the form:
a(n+2) + A a(n+1) + B a(n) = 0
has a characteristic equation of the form: x2 + A x + B =0. Assume that x =r is the
double root. Then the characteristic equation must be of the form: (x r)2 =0.
Equivalently of the form: x2 2 r x + r2 =0. Thus the corresponding difference
equation is of the form : a(n+2) 2 r a(n+1) + r2 a(n) = 0. The following theorem
states the solution a 2nd-order linear homogeneous difference equation in the case of a
double root.
Theorem 2: Given the 2nd-order , homogeneous, linear discrete dynamical system :
a(n+ 2) + A a(n+ 1) + B a(n) =0 where x = r is a double root of the characteristic
equation, the general solution is:
a(k) = c1 rk + c2 k rk = ( c1 + c2 k ) rk
A particular solution (i.e., the values of c1 and c2 ) can be found by substituting two
known values (initial conditions) of the sequence { a(n) }
Example: Find the general solution for: a(n+2) 8 a(n+ 1) + 16 a(n) =0. Also find
particular solution given the initial conditions: a(0) =2, a(1) =10.
Solution: First lets write the characteristic equation of the discrete dynamical system.
where: r =
(a
+ b2
b
and = tan 1
a
A particular solution (i.e., the values of c1 and c2 ) can be found by substituting two
known values (initial conditions) of the sequence { a(n) }
Example: Solve the dynamical system: a(n+2) + 1/9 a(n) =0 with a(0) =0 and
a(1) = 1 Interpret the long-term behavior of the solution.
Solution: The characteristic equation of the given dynamical system is:
x2 +
1
x = 0 with roots:
9
1
x= i
3
r=
The quantities:
(a
+ b2 =
b
and = tan 1 or =
radians.
3
2
a
k
k
c1 cos 2 + c 2 sin 2
Using the initial conditions the values of the constants can be obtained by solving the
system:
0
1
0 = (c1 cos 0 + c 2 sin 0) = c1
3
1
1
1 = c1 cos( ) + c 2 sin( )
2
2
3
Its solution is: c1 = 0 and c2 = 3
The particular solution is:
k
k
1
a (k ) = 3 sin( )
2
3
The first term suggests that as k becomes large, the solution becomes small (damping
factor), while the second term suggests that oscillation will be present as the solution
converges to the value of zero. Lets visualize the solution:
> plot((1/3)^k * 3* sin(k*Pi/2), k = 0..7);
Observe the oscillation and the rapid convergence to the value of zero.
The nature of the particular solution depends on type of the function g(n). Thus we
examine the following cases:
In this case g(n) could be a constant or any polynomial in terms of n. The final
conjectured form for ap(k) depends on the nature of the solution ah(k) of the associated
homogeneous equation. The final form for ap(k) is obtained by multiplying the initial
guess by km where m is the least integer to avoid duplication. (A very similar
approach was used to solve non-homogeneous, linear differential equations). The
following table summarizes the technique, presenting various cases for g(n) and the
initial and revised conjectures for ap(k).
g(n)
Initial Conjecture
ah(k)
Final Conjecture
c (constant)
ap = q k
ah = c1 + c2 k
ap =q k2
2n+6
ap = q1 + q2k
ah = c1 + c22k
ap =k ( q1 + q2k)
5 n2 8
ap = q1 + q2k +q3k2 ah = c1 + c2 k
ah(k) = c1 2k + c2
Thus there is a duplication between the initial conjecture for the particular solution and
solution for the associated homogeneous equation. Thus the revised conjectured
particular solution is: ap(k) = q k
To find the value of q we substitute the particular solution to the given nonhomogeneous equation, collect like terms and equate the corresponding coefficients:
ap(k + 1) = q ( k + 1) and ap( k + 2) = q ( k+ 2)
Substituting into the given equation (and performing algebraic manipulations) we obtain:
q k - 3(q k + q) + 2 ( q k + 2 q) = 16
k(q 3q + 2q) + ( -3q + 4q)
= 16
Thus q = 16.
The general solution to the non-homogeneous discrete dynamical system is:
a(k) = c1 2k + c2 + 16 k
Example: Find the final form of ap(k) for the discrete dynamical system:
d(n+ 2) - 2 d(n+ 1) + d(n) = 32
Solution: Since g(n) is a constant, the initial conjecture is ap(k)=q. The final form is
dictated by the nature of the solution for the associated homogeneous equation. The
characteristic equation for associated homogeneous equation is:
x2 - 2 x + 1 = 0
Thus, ah(k) = c1 + c2 k
To avoid duplication the original conjectured particular solution must be multiplied by a
factor k2 Thus the final form is:
ap(k) = q k2
Non-homogeneous equations: Exponential Functions:
In this case g(n) could be an exponential function in terms of n. The final conjectured
form for ap(k) depends on the nature of the solution ah(k) of the associated
homogeneous equation. The final form for ap(k) is obtained by multiplying appropriate
terms of the initial guess by km where m is the least integer to avoid duplication. (A
very similar approach was used to solve non-homogeneous, linear differential
equations). The following table summarizes the technique, presenting various cases for
g(n) and the initial and revised conjectures for ap(k).
g(n)
Initial Conjecture
ap(k)
ah(k)
Final Conjecture
ap(k)
5(4)n + 3(5)n
q1 4k + q2 5k
c1 + c2 4k
q1 k4k + q2 5k
2n + 5 3n
q1 2k + q2 3k
(c1 + c2 k) 2k
q1 k2 2k + q2 3k
Example: Find the general solution for the non-homogeneous discrete dynamical
system:
a(n + 2) a( n+ 1) 6 a(n) = 30 (3)n
Solution:
The initial conjecture for ap(k) is ap(k) = q 3k Lets examine the solution of the
associated homogeneous equation. The characteristic equation is:
x2 x 6 = 0 with roots:
x = 3, -2
q=2
1) Real, Distinct, x = r, s ; r s
a(k) = c1 rk + c2 sk
2) Double root: x = r
a(k) = (c1 + c2 k) rk
3) Complex, x = a + bi, a bi
If a 2nd-order homogeneous, linear dynamical system has an equilibrium value, this value
must be ae = 0. Well, if ae is an equilibrium point, then ae = a(n+2) = a(n+1) = a(n)
Substituting in the 2nd order difference equation yields:
ae + A ae + B ae = 0. Thus (1 + A + B ) ae =0 So, ae =0 assuming that
A + B -1
Note: If A + B = -1, then the dynamical system: a(n+2) + A a(n+1) + B a(n) =0
has no equilibrium value. The characteristic equation is: x2 + A x + B =0 with roots:
A ( A2 4B )
x=
Thus, if A = -1 B , one of the roots will be r =1 (real
2
rots), and thus according the solutions in the above table, the value of a(k) will grow
with no bound.
Theorem 4: The discrete dynamical system: a(n+ 2) + A a(n+ 1) + B a(n) =0 has a
single equilibrium value ae =0. If | r | < 1 and | s | < 1 then the equilibrium is stable.
If either | r | > 1 or | s | >1 or both, then the equilibrium is unstable.
Example: Find the general solution of the following discrete dynamical system.
a(n+ 2) + 5 a(n+1) + 6 a(n) =0
Characterize the long term behavior of the solution.
Solution: The characteristic equation is:
x = -2, -3
ae =
c
(assuming A + B -1 )
1+ A + B
From the above expression, it is obvious that for a 2nd-order non-homogeneous linear
difference equation to have an equilibrium value, the g(n) term must be a constant.
In exercise #11), you are asked to show that the solution to the 2nd-order nonhomogeneous difference equation is: a(k) = ah(k) + ae where ah(k) is the solution of
the associated homogeneous difference equation. Thus the stability of the equilibrium
point ae follow the stability of the associated homogeneous equation.
Theorem 5: The dynamical system a(n+2) + A a(n+1) + B a(n) =c has a single
equilibrium point: a e =
c
(assuming A + B -1 ). Let x = r, s be the
1+ A + B
Example: An object of mass m falls from a height and encounters air resistance
which over small time intervals is approximately c times its velocity at the beginning
of this interval. Assuming that no other forces act on the object, formulate a difference
equation/discrete dynamical system for the distance the object falls. Assume the object is
initially at rest.
Solution: Let a(n) represent the average acceleration of the object, and let u(n) denote
the average velocity during time period n. If d(n) is the distance traveled after time
period n then:
and
c
d (n + 2) + 2 d (n + 1) + 1 d (n) = g
m
m
The above is a 2nd-order, linear non-homogeneous discrete dynamical system.
Example: Consider a spring of length l0. A mass m is attached at the end of the spring
which stretches a distance l (from its original position) and achieves equilibrium. The
spring is suddenly stretched and released. Model the motion of the mass by constructing
a discrete dynamical system. Examine the cases: i) no damping force; ii) damping force.
Solution: At the initial equilibrium position, the weight m g is balanced by the
restoring force which is proportional to the distance the spring is stretched beyond its
equilibrium point (Hookes Law).
:
Therefore:
mg=kl
Let d(n) denote the displacement beyond the previous equilibrium point at the nth time
interval.
Case I:
According the Newtons second Law: m a(n) = Fnet
Therefore:
m a(n) = m g - k ( l + d(n) )
we get:
Therefore:
m [ d(n+2) 2 d(n+1) + d(n) ] = m g - k ( l + d(n) )
Using m g = k l the above simplifies:
m
d (n + 2) 2d (n + 1) + 1 + d (n) = 0
k
nd
which is a 2 -order homogeneous linear discrete dynamical system.
Case II:
Assume that the system (spring and mass) moves in a fluid which creates a viscous drag
force proportional to the average velocity. So Fd = c u(n) where c denotes the
damping coefficient. The drag forces always opposes the motion.
1) Find the general and particular solutions for the discrete dynamical systems:
a(0) = 1, a(1) = 2
2) Find the general and particular solutions for the discrete dynamical systems:
a(0) = 1, a(1) =0
Find the general and particular solution for the dynamical system
Calculate the limit of the ratio of two successive terms (refer to the
example for the Fibonacci sequence)
How the above limit relates to the roots of the characteristic equation?
4) Find the general and particular solutions for the discrete dynamical systems:
5) Solve the following dynamical systems. Find the general and particular solution.
Interpret and graph the long-term behavior of the solution:
a(n+ 2) 16 a(n) = n2
12 a (n+ 2) + 5 a ( n+ 1) - 2 a (n) = 2n + 5
10) Find the general solution for each of the discrete dynamical systems. Find the
equilibrium point (if it exists). Classify the equilibrium point in each case:
5
1
a(n + 2) a(n + 1) + a(n) = 0
6
6
a(n + 2)
a(n+2) a(n) = 1
1
a ( n) = 3
16
c
1+ A + B
12) A box weighing 192 lb falls off a building that is 2000 ft high. Assume that as
the package falls it is subject to a drag force that over small time intervals it is
numerically equal to 12 times the velocity at the beginning of the interval. The
initial velocity is assumed to be zero. Create a discrete dynamical system to model
the motion. Solve the model to determine the vertical displacement of the
package as a function of time. When does the package hits the ground?
Projects:
1) A 64 lb weight is attached to the lower end of a coil spring suspended from the
ceiling stretching it by 8 ft. The resistance in the mass-spring system over small
time intervals is numerically equal to the average velocity on that interval. At time
t =0 the weight is set in motion from a position 2 ft below its equilibrium
position by giving it a downward velocity of 2 ft / sec.
Derive a mathematical model (discrete dynamical system) to describe the
motion. Show all steps of the derivation
Solve the model and obtain an expression of the displacement as a funtion
of time.
Characterize the motion.