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A complete set of notes on ordinary differential equations

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You are on page 1of 238

Barry Croke

Semester 1, 2016

Based on notes written by Lilia Ferrario, Linda Stals and Dayal

Wickramasinge

Contents

1 Introduction

1.1 Mathematical models . . . . . . . . . . .

1.1.1 Setting up a mathematical model

1.2 Basic concepts and definitions . . . . . .

1.3 Solutions of DEs . . . . . . . . . . . . .

1.3.1 Particular solution of a DE . . .

1.4 Initial Value Problems . . . . . . . . . .

1.5 Geometrical meaning of y 0 = f (x, y). . .

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2

2

2

3

5

6

7

8

2 Mathematical models

2.1 Matlab . . . . . . . . . . . . . .

2.2 Population dynamics . . . . . . .

2.3 Newtons law of cooling/warming

2.4 Spread of disease . . . . . . . . .

2.5 Chemical reactions . . . . . . . .

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10

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11

13

17

19

3.1 Definitions and notation . . . . . . . . . . . . . .

3.1.1 Example: Separable differential equations

3.2 Application: Exponential growth and decay . . .

3.3 Application: Population growth . . . . . . . . . .

3.4 Application: Compound Interest . . . . . . . . .

3.5 Application: Pollution in Lake Burley Griffin . .

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22

22

22

26

28

29

29

4.1 Differentials . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.1.1 Example: Exact equation . . . . . . . . . . . . . . .

4.1.2 Theorem: Exact equation . . . . . . . . . . . . . . .

4.2 General solutions . . . . . . . . . . . . . . . . . . . . . . . .

4.2.1 Example: General solutions . . . . . . . . . . . . . .

4.2.2 Application: Fluid flow past a cylindrical obstacle .

4.3 Reduction to exact form: integrating factors . . . . . . . . .

4.3.1 Example: Integrating factor . . . . . . . . . . . . . .

4.3.2 Application: Economic growth of developing country

4.3.3 Application: fluid flow along dipole-like field lines . .

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35

35

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43

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46

47

5.1 Definitions and notation . . . . . . . . . . . . .

5.2 Homogeneous equations . . . . . . . . . . . . .

5.2.1 Examples: Homogeneous equations . . .

5.3 Non-homogeneous equations . . . . . . . . . . .

5.3.1 Examples: Non-homogeneous equations

5.3.2 Application: Art forgery . . . . . . . . .

5.3.3 Application: Radiation transfer . . . . .

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52

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55

55

61

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5.4

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6.1 Definitions and notation . . . . . . . . . . . . . . . . . . .

6.1.1 Homogeneous differential equations . . . . . . . . .

6.1.2 Example: Linear combinations . . . . . . . . . . .

6.1.3 General solution . . . . . . . . . . . . . . . . . . .

6.2 Initial Value Problems . . . . . . . . . . . . . . . . . . . .

6.2.1 Example: Initial value problems . . . . . . . . . .

6.3 Method of reduction of order . . . . . . . . . . . . . . . .

6.3.1 Basis . . . . . . . . . . . . . . . . . . . . . . . . . .

6.3.2 How to find one solution if the other is known . . .

6.3.3 Example: Method of reduction of order . . . . . .

6.4 Constant coefficients case . . . . . . . . . . . . . . . . . .

6.4.1 Characteristic equations . . . . . . . . . . . . . . .

6.4.2 Application: Mass-Spring System . . . . . . . . . .

6.4.3 Application: Euler-Cauchy equation . . . . . . . .

6.5 Existence and uniqueness theory . . . . . . . . . . . . . .

6.5.1 Wronskian . . . . . . . . . . . . . . . . . . . . . . .

6.5.2 Example: Test of linear independence . . . . . . .

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82

. 82

. 82

. 83

. 83

. 83

. 84

. 84

. 84

. 85

. 86

. 86

. 86

. 92

. 98

. 103

. 103

. 104

7.1 Notation and definitions . . . . . . . . . . . . . . . . .

7.1.1 General solution and particular solution . . . .

7.2 Solution by undetermined coefficients . . . . . . . . . .

7.2.1 Examples: Method of undetermined coefficients

7.3 Solution by variation of parameters . . . . . . . . . . .

7.3.1 Examples: Method of variation of parameters .

7.4 Modelling: Forced oscillations, resonance . . . . . . . .

7.4.1 Undamped forced oscillations . . . . . . . . . .

7.4.2 Application: NASA tethered satellite system .

7.4.3 Application: Beats . . . . . . . . . . . . . . . .

7.4.4 Application: Damped forced oscillations . . . .

7.5 Modelling: RCL-circuit . . . . . . . . . . . . . . . . .

7.6 Supply and Demand . . . . . . . . . . . . . . . . . . .

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5.5

5.4.1 Example: Bernoulli equations . . . . .

5.4.2 Application: the logistic equation . . .

Electric circuits . . . . . . . . . . . . . . . . .

5.5.1 Example: RL-Circuit . . . . . . . . . .

5.5.2 Example: RC-Circuit . . . . . . . . .

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8.1 Higher order homogeneous linear differential equations . . . . . .

8.1.1 Definitions and notation . . . . . . . . . . . . . . . . . . .

8.1.2 Higher order homogeneous linear differential equations

with constant coefficients . . . . . . . . . . . . . . . . . .

63

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133

8.2

8.1.4 Initial value problems . . . . . . . . . . . . . . . . . . .

Higher order non-homogeneous linear differential equations . .

8.2.1 Particular solution: method of undetermined coefficients

8.2.2 Example: Method of undetermined coefficients . . . . .

8.2.3 Particular solution: method of variation of parameters .

8.2.4 Initial value problems . . . . . . . . . . . . . . . . . . .

9.1 Systems of differential equations: what are they? . . . . .

9.1.1 Modelling: predator-prey . . . . . . . . . . . . . .

9.1.2 Investigate using Matlab . . . . . . . . . . . . . .

9.2 Analytic approach . . . . . . . . . . . . . . . . . . . . . .

9.2.1 Experimental evidence . . . . . . . . . . . . . . . .

9.3 Linear systems of n first order differential equations . . .

9.3.1 Eigenvalues and eigenvectors . . . . . . . . . . . .

9.3.2 Application: model of an electrical networks . . . .

9.4 Conversion of a nth order differential equation to a system

9.4.1 Example: Higher order differential equations . . .

9.5 Homogeneous systems with constant coefficients . . . . . .

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134

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10.1 Phase planes . . . . . . . . . . . . . . . . . . . . . . . . . .

10.1.1 Real and distinct roots of same sign: improper node

10.1.2 Real roots of opposite signs: saddle point . . . . . .

10.1.3 Complex roots (i): spiral point . . . . . . . . .

10.1.4 Complex pure imaginary roots (i): Centre point .

10.1.5 Equal roots: proper node . . . . . . . . . . . . . . .

10.1.6 Equal roots: degenerate node . . . . . . . . . . . . .

10.2 Summary of critical points and stability . . . . . . . . . . .

10.3 No basis of eigenvectors available . . . . . . . . . . . . . . .

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11.1 Nonlinear systems . . . . . . . . . . . . . .

11.2 Linearisation of nonlinear systems . . . . .

11.2.1 Example . . . . . . . . . . . . . . . .

11.3 Applications . . . . . . . . . . . . . . . . . .

11.3.1 Application: Macroeconomics Model

11.3.2 Application: undamped pendulum .

11.3.3 Application: damped pendulum . . .

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188

12.1 Power Series Solutions of ODEs (2nd order) . . . . . . . . . . . 188

12.1.1 Euler type equations . . . . . . . . . . . . . . . . . . . . . 193

12.1.2 The Method of Frobenius . . . . . . . . . . . . . . . . . . 196

13 Special functions

198

13.1 Bessels Functions . . . . . . . . . . . . . . . . . . . . . . . . . . 198

13.1.1 Bessel functions of the first kind and Gamma functions . 199

13.1.2 Bessel functions of the 2nd kind . . . . . . . . . . . . . . 205

14 Numerical solution of ODEs

14.1 Taylors theorem . . . . . . . . . . . . . . . . . . . . .

14.1.1 Taylors theorem for a function of two variables

14.1.2 Example: Taylors series . . . . . . . . . . . . .

14.1.3 Example: Initial Value Problem . . . . . . . . .

14.2 Eulers method . . . . . . . . . . . . . . . . . . . . . .

14.2.1 Example: Eulers method . . . . . . . . . . . .

14.3 Runge-Kutta methods . . . . . . . . . . . . . . . . . .

14.3.1 Second order Runge-Kutta . . . . . . . . . . .

14.3.2 Fourth order Runge-Kutta . . . . . . . . . . . .

14.3.3 Examples: Runge-Kutta method . . . . . . . .

14.4 System of equations . . . . . . . . . . . . . . . . . . .

14.4.1 Application: galactic dynamics . . . . . . . . .

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1

1.1

Introduction

Mathematical models

Mathematical models

Mathematical models of a wide range of systems, (in ecology, economics,

biology, physics, engineering, physiology, sociology etc) have become part of our

everyday lives; from decisions made in business dealing with millions of dollars

to decisions at home about whether to cycle to uni based on weather predictions.

To model systems can be an extremely complex procedure. The variables

describing the process need to be identified and the relationships between them

established, and to a degree, the process needs to be isolated and variables with

negligible influence need to be excluded. Clearly no model is then a perfect representation of the real life system, but they can be a very good approximation.

1.1.1

Modelling process

(a) Identify the most relevant quantities describing the process. Identify any

assumptions made and establish relationships between the quantities.

(b) Define symbols to denote the quantities, variables and constant, and set

up the mathematical equations (or assumptions you have made).

(c) Solve the equations and interpret the results in terms of the original process.

(d) Check the results are reasonable and whether they match with any experimental data.

Refer to Figure 1.

Building a model

Equations which are very complicated may be too complex to solve and

thus interpretation becomes difficult. On the other hand, models which are too

simplistic do not represent the process well and may not be very reliable in their

interpretation. So a reasonable balance needs to be found.

1.2

We will start with basic definitions, most of which you will have come across

before, but we need some standard terminology.

Definition 1 (Independent and dependent variables). If an equation involves

the derivative of one variable with respect to another, then the former is called

a dependent variable and the latter is the independent variable.

Example 1 (Independent and dependent variables). For example, in the equation

dy

d2 y

+a

+ by = 0 ,

dx2

dx

x is the independent variable and y the dependent variable and a and b are the

coefficients.

Ordinary differential equations

Definition 2 (Ordinary differential equations). A differential equation involving ordinary derivations with respect to a single independent variable such as

dy

= 7y

dx

d2 y

dy

a

=0

2

dx

dx

or

Partial differential equations

Definition 3 (Partial differential equation). These contrast with equations involving partial derivations with respect to more than one independent variable,

such as

u u

= x 2y

x y

which is a Partial Differential Equation (PDE).

Definition 4 (Order). The order of a differential equation is the order of the

highest derivative present in the equation.

Example 2 (Order). Thus

dy

= 7y

dx

dy

d2 y

a

=0

dx2

dx

or

Linear differential equation

Definition 5 (Linear differential equation). A linear differential equation is

any equation that can be written in the form

an (x)

dn y

dn1 y

dy

+

a

(x)

+ + a1 (x)

+ a0 (x)y = F (x)

n1

dxn

dxn1

dx

Example 3 (Linear differential equation). An example is

d2 y

+ y = x2 .

dx2

Non-linear differential equation

Definition 6 (Non-linear differential equation). A non-linear differential equation is one which is not linear!

Example 4 (Non-linear differential equation). For example

d2 y

+ cos y = 0

dx2

and

d2 y

dy

+y

= sin x

dx2

dx

are non-linear because of the cos y term and the ydy/dx term respectively.

Linearisation

Although most phenomena in nature are nonlinear, linear equations are much

easier to analyse. For this reason, in cases when nonlinear equations are difficult

to analyse, these can be studied through a process known as linearisation. We

will see this later in the course.

Some other notations for derivatives are:

y0

y (1)

Dy

=

=

=

dy

dx ,

dy

dx ,

dy

dx ,

d y

y 00 = dx

2,

d2 y

(2)

y = dx

,

2

d2 y

2

D y = dx2 ,

d y

y (n) = dx

n

dn y

Dn y = dx

n

x =

1.3

dx

dt

x

=

d2 x

dt2

... d3 x

x = 3

dt

Solutions of DEs

Definition 7 (Explicit solution). A function y = f (x) that satisfies a differential equation

dy

dn y

F x, y, , , n = 0

dx

dx

on some open interval, is said to be an explicit solution to the equation. This

means that if we substitute y = f (x) into the above equation we get an identity.

Definition 8 (Implicit solution). Sometimes, a solution of a DE will appear as

an implicit function, given in the form:

f (x, y) = 0

and is called an implicit solution.

Example 5 (Explicit solution). The function

9 4

x

4

is an explicit solution of the non-linear differential equation:

y=

dy

= 6xy 1/2

dx

on the interval < x < .

Lets verify this. By substituting the solution into the differential equation

and by explicit differentiation we obtain:

d 94 x4

dy

=

= 9x3

dx

dx

and

1/2

9 4

6xy 1/2 = 6x

x

= 9x3 .

4

Since the left-hand-side comes up to be the same as the right-hand-side, it

dy

is true that y = 49 x4 is a solution to dx

= 6xy 1/2 .

5

f (x, y) = x2 + y 2 9 = 0

(y > 0)

y

dy

= x

dx

Lets verify this. By implicit differentiation of f (x, y) = x2 + y 2 9 = 0 we

obtain:

d

d

d

x2 +

y2

9

dx

dx

dx

dy

2x + 2y

dx

dy

y

dx

d

0,

dx

0,

= x.

1.3.1

9 x2 .

Particular solution of a DE

Solution curves

Differential equations in general have many solutions. This shouldnt surprise us, since integration introduces arbitrary constants. For example, take the

differential equation

1

dy

=x+

dx

2

with solutions:

x

x2

+ +C

y(x) =

2

2

where C is a constant. Some of the solutions are shown in Figure 2.

A function like the one above involving an arbitrary constant C is called

a general solution of a first order differential equation. Geometrically, these

solution curves are infinitely many curves, one for each C. We call this a family

of curves.

If we choose a specific C we obtain what is called a particular solution of

that equation. For example, if we take C = 0, we get:

y(x) =

x2

x

+ .

2

2

20

15

10

-4

-2

0

x

1.4

Definition 9 (Initial value problems). A differential equation with an initial

condition is called an initial value problem. That is:

dy

= f (x, y),

and

y(x0 ) = y0

dx

where x0 and y0 are given values, together define an initial value problem.

Example 7 (Initial value problems). Lets use again the previous example:

dy

1

=x+

dx

2

now with the initial value y(1) = 2 (thus x0 = 1, y0 = 2).

We have already shown that the general solution is

x

x2

+ + C.

2

2

To obtain the solution to the initial value problem, we must ensure that the

solution curve passes through (x0 , y0 ) = (1, 2), therefore:

y(x) =

2=

1 1

+ + C.

2 2

7

By doing so, we fix the value of the constant C, since the above equation is

satisfied if C = 1. Thus, the solution to the IVP is:

y(x) =

1.5

x2

x

+ + 1.

2

2

Direction fields

Given a differential equation:

dy

= f (x, y).

dx

A solution curve is a function y(x) whose slope at (x, y) is given by dy/dx =

f (x, y). The direction field is formed by a grid of arrows which are tangential

to the solution curves. These arrows are centred at (x, y) and have slope dy/dx.

By looking at the direction field, one can have an idea of what the solution

curves look like, since the tangent line to a solution curve at each point is given

by the direction field at that point (see Figure 3).

Figure 3: Construction of one arrow of the vector field of the differential equation

dy/dx = f (x, y). The curve y = f (x) is a solution curve through (x0 , y0 )

Mathematical models

Numerical simulation

The main focus of the course will be the analytical solution of ordinary

differential equations, however we will also use a computer package to obtain

numerical results. The numerical results will largely be used to interpret and

verify the analytical solutions. Towards the end of the course we will look at

some examples where numerical techniques must be used because the differential

equation are too difficult to solve analytically.

2.1

Matlab

Matlab

The computer package that we will be using is Matlab. Matlab is available

on the Information Commons computers. It is possible to buy the student

version of Matlab at the Co-op bookstore, for example, if you want it on your

home computer, but hopefully that will not be necessary. Most of the coding

exercises will be short.

dsolve in Matlab

dsolve in Matlab allows you to find the symbolic solution to some ODEs.

While this approach may be used to check your assignment solutions, it is not

an approach that will be addressed in the course. In the course you will be

expected to check your solutions by substituting them back into the original

ODE.

In other words, you may use dsolve to check your answers if you want, but

you must also use the substitution method.

ODE solvers in Matlab

To solve equations of the form

dy

= f (y, t), y(t0 ) = y0 ,

dt

in Matlab we will usually use [T,Y] = ode45(F,TimeSpan,Y0,Options)

(1)

TimeSpan is a vector of the form [t0 , , tn ] specifying the times at which

the solution is to be evaluated.

Y0 is a vector of initial values, i.e y0 .

Options may be used to pass in additional optional arguments, we will ignore

for now.

Note that ode45 is not the only ODE solver available in Matlab. Certain

types of ODEs require the use of different numerical techniques. It is important to understand the assumptions and limitations of each numerical technique

before solving complicated ODEs.

10

M-file (ydot.m)

% dy/ dt=y2 y s i n ( t )+c o s ( t ) , y ( 0 ) =0

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

f u n c t i o n rhs=ydot ( t , y )

rhs=y2y s i n ( t )+c o s ( t ) ;

Main routine

% s e t the i n i t i a l c o n d i t i o n s

y0 =0;

% evaluate the s o l u t i o n over t h i s i n t e r v a l

ts = [ 0 : 0 . 0 1 : p i ] ;

% s o l v e t h e ODE

[ t , y]= ode45 ( @ydot , ts , y0 ) ;

% p l o t the s o l u t i o n

plot (t , y)

t i t l e ( ' Simple one d i m e n s i o n ODE ' )

xlabel ( ' t ' )

ylabel ( 'y ' )

Figure 5 shows the output of the Matlab code.

2.2

Population dynamics

Assumption 1 (Population growth). Rate of change in population growth is

proportional to the population size.

Let P (t) be the population at time t. Then

dP

= kP,

dt

where k is the rate of growth.

Example 8 (Population growth model). Lets assume the population size at

t = 0 is 10 and see how the population grows if k = 1.35.

11

1

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0

0.5

1.5

2.5

M-file (Pdot.m)

% P o p u l a t i o n growth , p0 = 1 0 , k = 1 . 3 5

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

f u n c t i o n rhs = Pdot ( t , P )

k =1.35;

rhs=kP ;

Main routine

% s e t the i n i t i a l c o n d i t i o n s

p0 =10;

% evaluate the s o l u t i o n over t h i s i n t e r v a l

ts = [ 0 : 0 . 1 : 5 ] ;

% s o l v e t h e ODE

[ t , p]= ode45 ( @Pdot , ts , p0 ) ;

12

3.5

%p l o t t h e s o l u t i o n

plot (t , p)

t i t l e ( ' Simple P o p u l a t i o n Model ' )

xlabel ( ' t ' )

ylabel ( 'p ' )

9000

8000

7000

6000

5000

4000

3000

2000

1000

0

0.5

1.5

2.5

t

3.5

4.5

According to the results in Figure 6 the population will grow exponentially

for ever, which is clearly not a realistic scenario. It also ignores additional

factors such immigration and emigration. However this model is still used to

study the growth of small populations over short intervals of time, such as the

growth of bacteria in a petri dish.

2.3

Assumption 2 (Newtons law of cooling). The rate at which the temperature

of a body changes is proportional to the difference between the temperature of

the body and the temperature of the surrounding medium.

13

Let T (t) be the temperature of the body at time t and the constant Tm be

the temperature of the surrounding medium, then

dT

= k(T Tm ),

dt

where k < 0 is the rate at which the heat is absorbed (or emitted) by the object.

Temperature and heat

Assumption 3 (Heat). Rate of change of heat content = cm Rate of change

of temperature, where c is the specific heat of the material (c is measured in

Jkg1 C1 ) and m is the mass.

Let Q be the rate of change of heat with time (measured in Watts). Let T

be the temperature. Then

dT

Q = cm .

dt

Some examples of c are given below;

Substance

Aluminium

Copper

Stainless Steel

Wood

Concrete

Water (at 20o )

c

896

383

461

2385

878

4187

Heat transfer

Convective heat is transfered to its surroundings according to the equation

hS(T Tm ),

where S is the surface area from which is lost, in units m2 , and h > 0 is the

convective heat transfer coefficient.

The following table gives some values of h for a plate of length 0.5m over

which airflow, given in m/s, passes

Air-flow at 2 m/s

Air-flow at 35 m/s

14

h

4.5

12

75

Example 9 (Hot water system). A typical electrical hot water system contains

250l of water. It is cylindrical with height 1.444m and diameter 0.564m. Initially we assume the water is 15o . The heating element supplies heat at a rate

of 3.6kW (per hour).

How long does it take to heat the water to 60o ?

S

S

b

b

b

b

:

Heating Element

S

S

Let

T (t) = temperature of water at time t,

T0 = initial temperature of water = 15o ,

Tf = final temperature of water = 60o ,

m = mass of water = 250 kg,

q = rate of energy supplied by the element = 3600 W,

S = surface area of the tank = 3.06 m,

h = convective heat transfer = 12,

c = specific heat of material = 4200 Jkg1 C1 .

We make the following assumptions

The water is well stirred so the temperature is homogeneous throughout

the tank (i.e. the temperature is not dependent on the spatial coordinates).

The heat is lost according to Newtons law of cooling.

The thermal constants remain constant (which may not be true for large

temperature changes).

15

Assumption 4 (Hot water tank). Rate of change of heat = Rate of heat produced by the element - Rate of heat lost to the surroundings.

Rate of change of heat = cm dT

dt .

Rate of heat produced by the element = q.

Rate of heat lost to surroundings = hS(T (t) Tm ).

Hence the equations modelling the water tank are

cm

dT

= q hS(T (t) Tm ).

dt

Analytical solution

Rewrite the equation as

dT

= T,

dt

T (0) = T0 ,

hS

m

where = q+hST

, = cm

.

cm

(We have assumed that the temperature of the surronding material Tm is

the same as the initial temperature of the water T0 .)

Using separation of variables gives the following analytical solution

T = T0 et +

(1 et ).

Returning back to the hot water tank problem we get the following values

for and .

hS

12 3.06

=

= 3.4971 105 .

cm

4200 250

q + hSTm

3600 + 12 3.06 15

=

=

= 3.9531 103 .

cm

4200 250

=

From

T = T0 et + (1 et ),

1 T0

t = ln

.

T

1 15

t = ln

= 17566 sec = 4.88 hrs.

60

The numerical results shown in Figure 7 also agree with these results.

16

M-file (Tdot.m)

% Hot Water Tank

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

f u n c t i o n rhs = Tdot ( t , Temp )

alpha_c = 3 . 4 9 7 1 E 5; beta_c = 3 . 9 5 3 1 E 3;

rhs = beta_calpha_c Temp ;

Main routine

% s e t the i n i t i a l c o n d i t i o n s

Temp0 =15;

% evaluate the s o l u t i o n over t h i s i n t e r v a l

ts = [ 0 : 1 0 : 2 0 0 0 0 ] ;

% s o l v e t h e ODE

[ t , Temp ]= ode45 ( @Tdot , ts , Temp0 ) ;

% p l o t the s o l u t i o n

p l o t ( t / 6 0 / 6 0 , Temp )

t i t l e ( ' Hot Water Heater ' )

x l a b e l ( ' t ( h r s ) ' ) ; y l a b e l ( 'T (C) ' )

g r i d on

2.4

Spread of disease

Assumption 5 (Spread of disease). The spread of a disease grows with the

number the of people who come into contact with infectives.

Let y be the number of susceptibles, x be the number of infectives. then

dx

= kxy,

dt

where k is the rate of infection.

We will additionally assume a constant population size of n and one infected

person is introduced into the community. Then

dx

= kxy, = kx(n + 1 x).

dt

17

65

60

55

50

T (C)

45

40

35

30

25

20

15

3

t (hrs)

Example 10 (Simple disease model). Set the population size to be 100 and

assume that there is initially one infective. How does the growth of the disease

depend on the infection rate k? Plot the results for k = 0.01, k = 0.02 and

k = 0.04 on the same graph.

See Figure 8

Matlab code to implement the disease model

M-file (xdot.m)

% d i s e a s e models

% define

function

global k

rhs =

t h e r i g h t hand s i d e f u n c t i o n

rhs = xdot ( t , x )

n

kx ( n+1x ) ;

% s o l v e t h e model f o r t h e g i v e n p a r a m e t e r s

f u n c t i o n [ t , x ] = disease_model ( dn , x0 , dk , ts )

18

global k n

% s e t t h e v a r i a b l e s needed by xdot

k = dk ;

n = dn ;

% s o l v e t h e ODE

[ t , x ] = ode45 ( @xdot , ts , x0 ) ;

Main routine

% s e t the parameters

n = 1 0 0 ; x0 = 1 ;

% evaluate the s o l u t i o n at these points

ts = [ 0 : 0 . 1 : 2 0 ] ;

% f i n d the s o l u t i o n f o r k = 0.01

[ t1 , x1 ] = disease_model ( n , x0 , 0 . 0 1 , ts ) ;

% f i n d the s o l u t i o n f o r k = 0.02

[ t2 , x2 ] = disease_model ( n , x0 , 0 . 0 2 , ts ) ;

% f i n d the s o l u t i o n f o r k = 0.04

[ t3 , x3 ] = disease_model ( n , x0 , 0 . 0 4 , ts ) ;

% p l o t the s o l u t i o n

p l o t ( t1 , x1 , t2 , x2 , t3 , x3 )

t i t l e ( ' Spread o f D i s e a s e ' )

xlabel ( ' t ' )

ylabel ( 'x ' )

l e g e n d ( ' k =0.01 ' , ' k = 0 . 0 2 ' , ' k = 0 . 0 4 ' , ' L o c a t i o n ' , ' SouthEast ' )

2.5

Chemical reactions

Lets now look at how we can use ODEs to model chemical reactions.

Example 11 (Change in concentration). Consider three species A, B and C

in a tank. The reactions A B C occur in the tank and the constants k1 ,

k2 describe the reaction rates for A B and B C respectively. If k1 = 1

hr1 , k2 = 2 hr1 and the initial concentration for A, B and C are 5, 0 and 0

mol respectively, plot the change in species over time.

Note that this example is different in that we dont just have a single unknown. Consequently we expect to end up with a system of ODEs.

ODE model

19

Spread of Disease

120

100

80

60

40

20

k=0.01

k = 0.02

k = 0.04

0

10

t

12

14

16

18

20

the following system of ODEs is obtained

dCa

dt

dCb

dt

dCc

dt

= k1 Ca ,

= k1 Ca k2 Cb ,

= k2 Cb .

As we will see later in the course, the analysis of systems of ODEs is more

complicated, and more interesting, than the analysis of a single ODE. However,

the method of coding these systems in Matlab is very similar to what we have

already been using.

Figure 9 shows the change in concentration over time.

Matlab code to model the chemical concentration

M-file (Cdot.m)

% 3 s p e c i e s Chemical R e a c t i o n

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

20

f u n c t i o n rhs = Cdot ( t , C )

k_1 = 1 ; k_2 = 2 ;

rhs=[k_1 C ( 1 ) ; k_1 C ( 1 )k_2 C ( 2 ) ; k_2 C ( 2 ) ] ;

Main routine

% s e t the i n i t i a l c o n d i t i o n s

C0 = [ 5 ; 0 ; 0 ] ;

% evaluate the s o l u t i o n over t h i s i n t e r v a l

ts= [ 0 : 0 . 1 : 1 0 ] ;

% s o l v e t h e ODE

[ t , C]= ode45 ( @Cdot , ts , C0 ) ;

% p l o t the s o l u t i o n

p l o t ( t , C ( : , 1 ) , ' b+ ' , t , C ( : , 2 ) , ' r . ' , t , C ( : , 3 ) , ' g ' )

t i t l e ( ' Chemical R e a c t i o n ' )

xlabel ( ' t ( hrs ) ' )

y l a b e l ( 'C ( mol ) ' )

l e g e n d ( 'A ' , 'B ' , 'C ' )

Chemical Reaction

5

A

B

C

4.5

4

3.5

C (mol)

3

2.5

2

1.5

1

0.5

0

5

t (hrs)

21

10

3.1

Many first order differential equations, linear and non-linear, can be reduced

through algebraic manipulation to the form:

f (x)dx = g(y)dy.

Such an equation is said to be separable because the variables x and y can be

separated from each other in such a way that x appears only in the coefficient

of dx and y appears only in the coefficient of dy. To solve an equation of this

type, we integrate on both sides to have the general solution:

Z

Z

f (x)dx = g(y)dy + C

where C is an arbitrary constant of integration.

Sometimes, the algebraic manipulation that allows us to separate the variables introduces division by one or more expressions. In such cases, the results

are valid where the denominators are different from zero. Those values that

make the denominator vanish require special considerations and may lead to

singular solutions.

3.1.1

dx + xydy = y 2 dx + ydy.

Solution

First of all, we note that this is a non-linear first order differential equation.

Lets try to separate the variables:

(1 y 2 )dx = y(1 x)dy,

Z

Z

dx

ydy

=

,

x 6= 1

1x

1 y2

ln |1 x| =

1

ln |1 y 2 | + C,

2

y 6= 1

2 ln |1 x| = ln |1 y 2 | + 2C,

ln

|1 x|2

= D,

|1 y 2 |

|1 x|2

= eD = K 2 ,

|1 y 2 |

where D = 2C

22

(1 x)2

= K 2

(1 y 2 )

(1 x)2 = (1 y 2 ),

6= 0.

Here, can take any real value, positive or negative but not zero! So

(x 1)2

+ y2

6= 0.

Solution curves

The solution curves are ellipses if > 0 and hyperbolas if < 0. We have

plotted some of these solution curves in Figures 10, 11 and 12.

Solution of Implicit Function

4

3

2

1

0

1

2

4

4

1

x

Figure 10: Typical members of the solution family [(x 1)2 /] + y 2 = 1 of the

differential equation (1 y 2 )dx = y(1 x)dy.

and y = 1. Therefore, if we were interested in a particular solution curve

passing through any of the points (1, y0 ), (x0 , 1) or (x0 , 1), we could not find

the curve using the solution we have just found, even if such particular solution

exists! Instead, we would need to go back to the original DE and look for the

required solution by using some other method. In this case, it is obvious that

23

Direction Field

5

4

3

2

1

0

1

2

3

4

5

4

1

x

Figure 11: Vector field of the differential equation (1 y 2 )dx = y(1 x)dy.

the equations x = 1, y = 1 and y = 1 are all solutions of the given DE and also

satisfy the conditions (1, y0 ), (x0 , 1), and (x0 , 1). None of these can be obtained

from our general solution, although x = 1 can be included by permitting = 0.

In this case, only y = 1 and y = 1 appear as singular solutions of the given DE.

All this is a consequence of the fact that the differential equation is non-linear.

Matlab code to draw the direction field

% s e t the a x i s range

a x i s ([ 4 6 4 4 ] )

% c a l c u l a t e gradient at these points

% ( want t o a v o i d v a l u e s o f x = 1 , y = 0 )

[ x , y ] = meshgrid ( [ [ 4 : . 5 : . 9 ] [ 1 . 1 : . 5 : 6 ] ] , [ [ 4 : . 5 : . 5 ] [0.5:0.5:4]]) ;

% f i n d t h e s l o p e o f t h e f u n c t i o n a t each p o i n t

dydx = (1y . 2 ) . / ( y .(1 x ) ) ;

% p l o t the s o l u t i o n

q u i v e r ( x , y , ones ( s i z e ( x ) ) , dydx . / abs ( dydx ) , 0 . 5 )

t i t l e ( ' Direction Field ' )

24

4

3

2

1

0

1

2

3

4

4

1

x

Figure 12: Vector field and solutions of the differential equation (1 y 2 )dx =

y(1 x)dy.

25

3.2

Radioactive decay

Carbon in the atmosphere as CO2 (carbon dioxide) consists mostly of the

inert isotopes 12 C and 13 C with a small amount of radioactive 14 C.

14

C is produced in the upper atmosphere when N (nitrogen) is altered

through the effects of cosmic radiation bombardment. Being unstable it will

convert back to N after a period of time.

Living organisms absorb carbon from the atmosphere and so have 12 C, 13 C

and 14 C in the same ratio. After death, no more 14 C is absorbed. The old 14 C

slowly decays away, so the ratio of 14 C to 12 C slowly decreases.

If we know how this ratio decreases, we can use this to detect how long ago

the remains of something that was alive died, (e.g. bone, wood, rope, some

jewelry such as amber and coral).

Radioactive material decays at a rate directly proportional to the current

amount of material. This gives us a differential equation

dx

= kx

dt

where x > 0 is the amount of 14 C, t is the time measured in years and k is

the constant of proportionality. The growth rate is negative, expressing the fact

that we are looking at decay.

The general solution can be found by separating the variables:

dx

=

Z x

dx

=

x

ln(x) =

x =

kdt

Z

k dt

kt + C 0

0

ekt+C = Cekt

where C = eC .

C = x0 . After some time t1 , half of the initial amount will have decayed and so

half will remain. That is

x0

.

x1 =

2

Thus, since x1 = x0 ekt1 , then

x1 = x0 ekt1

ekt1

26

x0

2

1

.

2

kt1 = ln 2 t1 =

ln 2

.

k

Thus, the length of time for a radio-active material to decay to half its initial

amount depends only on the constant k (not on the initial amount x0 ). The

constant k varies from substance to substance. The length of time it takes for

half of a radio-active substance to decay is called halflife of the substance. Thus:

t1 = halflife =

ln(2)

k

so

k=

ln 2

.

halflife

So, the amount of radio-active substance left at any time t will be given by

x = x0 e

ln 2

t

halflife .

Application: Halflife

of http://www.rkm.com.au)

We know that the halflife of 14 C is 5750 years. So if you find a bone (such

as a femur shown in Figure 13) that is measured to have 40% of the 14 C it

contained while it was still living, what is its age now? We can calculate what

the constant k for 14 C is:

k=

ln 2

ln 2

=

= 1.2055 104 .

halflife

5750

27

x=

40

2

x0 = x0 .

100

5

2

x0 .

5

Solving this equation for t gives the time for the 14 C to fall to 40% of its initial

value:

ln(2) ln(5)

= 7, 601 years.

t=

1.2055 104

It looks like an interesting archeological discovery!

4

x = x0 ekt = x0 e1.205510

3.3

Population growth

We can apply the theory of differential equations to the study of how populations of life forms (people, bacteria ...) change in time.

Given no limiting conditions, such as predators or insufficient food or resources, it is generally true that a population will increase more rapidly as the

population becomes larger (there are more individuals available to procreate;

this might also ignore such factors as aging however).

The simplest assumption is that the rate of increase is proportional to the

population p(t) at any given time t, that is:

dp

= kp(t)

dt

Where the constant k is the relative growth rate. that is, if B is the birth

rate and D the death rate (both per head of population per unit time) then

k = (B D).

This is a very simple mathematical model of a biological system. However,

in modelling a real life system we usually have the problem that there are an

enormous number of factors that affect the system to a greater or lesser degree

and which should really be included in the model for a realistic and accurate

representation. On the other hand, if we include every possible factor we can

think of, we would end up with a mathematical system that would be impossible

to solve. Therefore we need to make assumptions about which factors are the

most important and which ones have negligible effect and can safely be ignored.

So, one normally starts with a very simple model (like the one above) and then

can introduce less important factors one or two at a time to see how they affect

the model.

This is what we have done above with our population model. We have

ignored all factors which might influence the growth rate other than the two

most obvious and simple ones. Some of the many factors we have ignored are:

Climatic effects, such as drought, which can make make birth and death

rates change with time.

28

Overcrowding, which may make the death rate rise or birth rate drop as

the population gets high.

There may be predators which eat our subjects. A change in the size of a

predator population will affect the death rate.

Our subjects may themselves be predator. A change in size of a prey

population will affect the birth and death rates.

Epidemics.

etc., etc., etc.

Later on in the course, we will build a more sophisticated model which take

some of these effects into account.

3.4

Compound Interest

Suppose that w(t) > 0 is the wealth in an account at time t and that r(t) is

the interest rate, with interest compounded continuously. Then

dw

= r(t)w.

dt

Using separation of variables we get

Z

w(t) = w(0) exp

r(s) ds .

3.5

Some background on Lake Burley Griffin

Lake Burley Griffin was created artificially in 1956 for recreational and aesthetic purposes in Canberra (see Figure 14). In 1974 the public health authorities indicated that pollution standards set down for safe recreational use were

being violated, and this was attributed to the sewerage work in Queanbeyan (or

rather the discharge of untreated sewerage into the lakes feeder river).

After extensive measurements of pollution levels taken in the 1970s, it was

established that while sewerage plants (of which there are three above the lake)

certainly exacerbated the problem, there were significant contributions from

rural and urban run-off as well, particularly during summer rainstorms. These

were responsible for dramatic increases in pollution levels and at these times,

totally responsible to lifting the concentration levels above the safety levels

29

Figure 14: Canberra saw the future Lake Burley Griffin when the Molongo River flooded in 1956 (Picture courtesy of Reflections of Canberra:

http://www.act.gov.au/reflectionscd/reflect/intro.htm).

(interestingly, these safety levels are different for those who swim in the ACT

and those who swim in NSW).

We will formulate a simple model of this lake, and consider the concentration

of pollutant in the water as our dependent variable (the actual levels of pollution

are extremely complex involving chemical reactions, the temperature profile

written in the water column, the sediment at the bottom etc, but we will have

to ignore these).

The lake has a volume of 28.3 106 m3 and a mean flow rate of 4 106 m3

per month (for the summer months) and an average rate of 10 106 m3 per

month.

We would like to ascertain that if the authorities suddenly stopped all polluted flow into the lake, how long will it take for the concentration of pollutant

to decrease to 10% of its current level.

Model formulation

We have a schematic model shown in Figure 15.

Model assumptions

We need to make some assumptions on which our model will be based:

the lake is well stirred and the pollutant uniformly mixed throughout the

lake.

the flow rate out of the lake is equal to the flow rate into the lake - that

is the volume of the lake is constant.

30

Let m = m(t) be the mass of the pollutant in the lake at time t, V be the

volume of the lake (which is constant) and F be the volume of mixture leaving

the lake per time interval.

Define c to be the concentration of the pollutant in the mixture, then

c=

m

,

V

measurements need to be in the same units; an obvious aspect, but one easily

forgotten).

Pollution equations

We need to establish the fundamental equation describing this process which

relates the change in mass of the pollutant to the water flows. We use the

31

conservation of mass. Let m denote the change of the pollutant mass in the

time interval t (ie from time t to t + t).

From the diagram in Figure 16 we have found that if no pollutant enters the

lake then m = FV m t. This can be re-written as:

m

F m

=

.

t

V

If we now let t 0 we establish

F m

dm

=

,

dt

V

which is a differential equation describing the continuous change of the mass

of a pollutant with time. We would like an equation describing the change of

concentration of the pollutant, so we will use c = m/V from above and change

the dependent variable in the differential equation as follows.

Since

m

c=

V

then

dc

1 dm

=

dt

V dt

so, from above we get

1 F

F c

dc

=

cV =

dt

V

V

V

and we have an equation for the rate of change of the concentration with respect

to time.

It is easy to solve the above DE using the technique of separation of variables.

dc

=

dt

dc

=

Z c

1

dc =

c

ln c =

Fc

V

F

dt

V Z

F

dt

V

F

t + const.

V

So we obtain:

Ft

Ft

c = e( V +const) = econst e V .

Using the initial condition c0 = econst , (c0 is the concentration at time

t = 0) we have:

Ft

c = c0 e V .

32

We now use this model to solve the Lake Burley Griffin problem.

We had V = 28.3 106 m3 and F = 10 106 m3 per month and we wanted

to find t when c = 10%c0 .

So

c0

10

1

10

ln 10

t

Ft

= c0 e V

Ft

= e V

=

=

Ft

V

28.3 106

V

ln 10 =

ln 10 = 0.54

F

10 106 12

years.

years)

Model shortfalls

Note that this does not take into account regions of eddies or slow moving

pools caught in the topography of the lake, perhaps typically the more popular

swimming bays.

Summer pollution

Using some actual data measurements from the lake, during summer pollution levels have been measured to be 1000/100 ml, and the ACT safety standard

is set at 400/100 ml.

Using the model developed above, how long will it take (until no pollution

flowing into the lake) for the pollution level to drop to the safety standard.

In this case we want the time it would take for the concentration of the

pollutant to drop to 40% of its current level.

Now

0.4c0

t =

F /c

c0 e V

V

ln(2.5) = .22

F

years

(When the flow rate is low, F = 4 106 m3 per month, t increases to t = .54

years).

Formulation of the model with pollution entering the lake

We can easily extend this model to include pollution flowing into the lake.

We will assume that the concentration of the pollution entering the lake is

constant and denote it cin . Using the symbols and methods of the previous

formulation we have

m = cin F t cF t,

33

since the flow into the lake is assumed equal to the flow out of the lake.

If we now let t 0, we have

dm

= cin F cF

dt

and using again the change of variable c = m/V :

F

F

dc

= cin c .

dt

V

V

Make sure you can do this formulation (it is slightly different from the previous one) and then solve this differential equation using the separation of variables technique as we did for the previous example.

Under what conditions does this concentration increase to a steady-state

solution (t ), and what is this steady-state value?

34

4.1

Differentials

Exact equation

Definition 10 (Differential). If a function of u two variables x and y, u(x, y),

u

has continuous partial derivatives u

x and y over a simply connected region R

of the xy-plane, its differential is:

du =

u

u

dx +

dy.

x

y

M (x, y)dx + N (x, y)dy = 0

is called an exact equation if the left-hand side is the differential of a function

u(x, y). That is,

du = M (x, y)dx + N (x, y)dy

where

M (x, y) =

u

x

and

N (x, y) =

u

.

y

u(x, y) = constant

is a general solution of the differential equation.

4.1.1

dy

+y =0

dx

is exact, and its solution (check!) is

x

u(x, y) = xy = constant.

4.1.2

N

x

and

M

y

are continuous over a simply connected region R of the xy-plane, then the differential equation

M (x, y)dx + N (x, y)dy = 0

is exact if and only if

N

M

=

.

x

y

35

Proof of theorem

We prove the above statements in order.

First, suppose that the differential equation M (x, y)dx + N (x, y)dy is exact

and lets see whether N/x = M/y.

We know that if the DE is exact, then

du = M (x, y)dx + N (x, y)dy

but also

du =

Therefore:

M (x, y) =

u

u

dy +

dx.

y

x

u

,

x

N (x, y) =

u

.

y

Thus,

M

2u

2u

N

=

=

=

y

yx

xy

x

Here, we could exchange the order of differentiation in the mixed derivatives because of our assumption of continuity. Thus, the only if part of the

theorem is satisfied.

Now we can prove that when N/x = M/y is satisfied, then we can find

a function u(x, y) such that du = M (x, y)dx + N (x, y)dy with M = u/x and

N = u/y.

To do this, we start with M (x, y) = u/x and integrate M (x, y) with

respect to x, holding y fixed. This gives

Z x

u(x, y) =

M (z, y) dz + k(y)

x0

Since the integration is done with respect to x only, the integration constant is actually a function k of y to be determined! Thus, our proof is complete

if we can determine k(y) so that u/y = N (x, y).

To do so, lets now differentiate the above equation with respect to y:

Z x

u

=

M (z, y) dz + k(y)

y

y x0

Z x

dk(y)

=

M (z, y) dz +

y x0

dy

Z x

M (z, y)

dz + k 0 (y)

=

y

x

Z x0

N (z, y)

=

dz + k 0 (y)

z

x0

= N (x, y) N (x0 , y) + k 0 (y).

36

Note that we used the fact that M/y is continuous so that we could

interchange the integration with respect to x and the differentiation with respect

to y. We also used our original assumption N/x = M/y.

Thus, u/y will be equal to N (x, y), as required, provided that k 0 (y) =

N (x0 , y), that is:

Z

y

k(y) =

N (x0 , z) dz.

y0

function u(x, y) such that

du =

u(x, y)

u(x, y)

dx +

dy = M (x, y)dx + N (x, y)dy.

x

y

Thus, this establishes the if part of the theorem and the proof is complete.

A general solution of the DE is:

u(x, y) = constant.

4.2

General solutions

If the differential equation

M (x, y)dx + N (x, y)dy = 0

is exact, then a general solution u(x, y) = constant of the differential equation

can be found through

Z

u(x, y) = M (x, y)dx + k(y)

or through

Z

u(x, y) =

To determine our general solution u(x, y) = c, we can use, for example the

first of the two equations above. That is, we perform the integral and then we

calculate u/y and compare it with N = u/y to find k(y). Once we know

k(y), we can obtain our general solution u(x, y) by adding the results. We can

determine u(x, y) by starting with the second equation and by finding l(x) in a

similar way.

This is all much better explained through an example!!

37

4.2.1

(2x + 3y 2)dx + (3x 4y + 1)dy = 0

is exact and find a general solution.

Solution

First we have to show that this DE is exact. Here

M = 2x + 3y 2,

N = 3x 4y + 1.

So:

M

y

N

x

=

=

(2x + 3y 2)

=3

y

(3x 4y + 1)

=3

x

Since the two partial derivatives are equal, then the DE is exact.

A general solution is given by:

Z

u(x, y) =

M dx + k(y)

Z

=

(2x + 3y 2) dx + k(y)

=

to y:

u(x, y)

dk

= 3x +

.

y

dy

But we know that N = u(x, y)/y, so by comparing what we have just

obtained with N = 3x 4y + 1, we find:

3x +

Thus:

dk

= 3x 4y + 1.

dy

dk

= 4y + 1

dy

and

k = 2y 2 + y+constant.

Therefore, a general solution of the DE (check by differentiating!) is:

u(x, y) = (x2 + 3yx 2x) 2y 2 + y+constant = 0.

38

4.2.2

The flow of fluids is defined by a velocity field, determined by a velocity vector ~v , whose components are the derivatives of the position vector with respect

to time t.

It is possible to show that the trajectories of a two-dimensional flow past a

cylinder of radius r = 1 are solutions curves of the system of DEs:

y 2 x2

(x2 + y 2 )2

2xy

= 2

(x + y 2 )2

dx

dt

dy

dt

1+

where ~r = (x, y) is the position vector of a given particle and ~v = (dx/dt, dy/dt)

the velocity at a given point.

If y(x) is the path of a particle, then, since

dy

dy dx

y

=

/

=

dx

dt dt

x

y satisfies the first-order DE:

dy

2xy

y 2 x2

= 2

/

1

+

dx

(x + y 2 )2

(x2 + y 2 )2

which can be written as:

2xy

y 2 x2

dx

+

1

+

dy = 0.

(x2 + y 2 )2

(x2 + y 2 )2

Hence,

M (x, y) =

2xy

(x2 + y 2 )2

N (x, y) = 1 +

y 2 x2

.

(x2 + y 2 )2

N

M

=

.

y

x

For a general solution

Z

u(x, y) =

So:

Z

u(x, y) =

M (x, y) dx + k(y).

2xy

dx + k(y).

(x2 + y 2 )2

39

v = x2 + y 2 ,

dv = 2xdx

so that

Z

2xy

dx

(x2 + y 2 )2

=

=

so

u(x, y) =

dv

y

=

v2

v

y

2

x + y2

y

y

+ k(y).

x2 + y 2

u(x, y)

y

=

2

+ k(y)

y

y

x + y2

(x2 + y 2 ) 2y 2

dk(y)

=

+

(x2 + y 2 )2

dy

2

2

x y

dk(y)

= 2

+

.

2

2

(x + y )

dy

By comparing this to

N=

we find:

y 2 x2

u(x, y)

=1+ 2

y

(x + y 2 )2

x2 y 2

dk(y)

y 2 x2

+

=1+ 2

.

2

2

2

(x + y )

dy

(x + y 2 )2

So that

dk(y)

= 1.

dy

Thus

Z

k(y) =

dk(y)

dy = y + const.

dy

u(x, y) =

y

+ y + const.

x2 + y 2

y

The solution to the ODE is x2 +y

2 + y + const = 0.

Some solution curves are shown in the figure below.

40

Figure 17: Some solution curves for a fluid flow past a cylindrical obstacle.

41

Then, if we take the symmetric fluid flow past a circular cylinder, we can

map it (in the complex plane) into the fluid flow past an asymmetric aerofoil.

In other words, under the appropriate transformation, a cross section of a fluid

around a cylinder transforms (or maps) in the complex plane onto a curve that

is shaped like the cross section of an aeroplane wing. See Figure 18. This curve

is called Joukowski aerofoil. This makes it possible to study the characteristics

of the air flow around an aeroplane wing. As I said, since such transformation

is done in the complex plane, I will not show you here how it is done.

Joukowski aerofoils have been used to build aircrafts, and even nowadays

aerodynamic engineers use these mathematical solutions as a frame of reference

to which they can compare, for validation, their more modern aircraft designs.

Note: Nikolai Joukowski (1847-1921) was the founder of aeromechanics in

Russia.

Joukowski Airfoil

1.5

0.5

-0.5

-1

-1.5

-2

-1

42

4.3

Integrating factors

Consider the DE

ydx + xdy = 0.

Here,

M = y

M

N

= 1 6=

= 1.

y

x

N = x;

However, if we multiply it by 1/x2 (x2 6= 0):

x

y

dx + 2 dy = 0,

2

x

x

we get

M =

y

x2

N=

1

;

x

M

1

1

N

= 2 =

= 2.

y

x

x

x

P (x, y)dx + Q(x, y)dy = 0,

we multiplied it by a function F (x, y) to get an exact DE:

F (x, y)P (x, y)dx + F (x, y)Q(x, y)dy = 0.

The function F (x, y) is called an integrating factor.

There can be more than one function that make a non-exact DE become an

exact DE! In the above example, we could also have used:

F (x, y) =

1

,

x2

F (x, y) =

1

,

y2

F (x, y) =

1

,

xy

F (x, y) =

x2

1

.

+ y2

How do we find integrating factors?

So far so good... but how do we find these functions F (x, y) that make our

DE exact?

In some simple cases, one could find such functions by guessing.

Otherwise, we can use the exactness condition and see that

(F P )

y

F

P

P

+F

y

y

(F Q)

x

F

Q

= Q

+F

.

x

x

43

Now, this appears to be a rather difficult equation to solve to find F (x, y)!

However, we can find a solution to this equation in some special cases.

Thus, we look for an integrating factor that depends on one variable only,

either x or y. Lets start with F (x, y) = F (x). In this case:

P

F

P

+F

y

y

P

F

y

1 F

F x

F

Q

+F

x

x

F

Q

Q

+F

x

x

1 P

Q

.

Q y

x

=

=

and

We can calculate the RHS of the last equation quite easily. If, by doing so,

we get something that depends only on x, then our DE does have an integrating

factor F (x) and we can proceed as follows:

Z

Z

1 dF

1 P

Q

dx =

dx

F dx

Q y

x

Z

Q

1 P

dx

ln F =

Q y

x

And:

F (x) = e(

1

Q

Q

[ P

y x ] dx) .

We could have tried with an integrating factor F (x, y) = F (y). In this case,

we would get

(F P )

y

P

F

+F

P

y

y

P

F

P

+F

y

y

1 dF

F dy

Z

1 dF

dy

F dy

ln F (y)

(F Q)

x

F

Q

Q

+F

x

x

Q

F

and

x

1 Q P

P x

y

Z

1 Q P

dy

P x

y

Z

1 Q P

dy.

P x

y

=

=

=

=

=

=

F (y) = e(

1

P

P

[ Q

x y ] dy ) .

44

4.3.1

(2x2 + y)dx + (x2 y x)dy = 0

Solution

Here, we have:

M = 2x2 + y

N = x2 y x;

N

M

= 1 6=

= 2xy 1.

y

x

Lets try with a function F (x). To use the same notation that we used before

to look for integrating factors, lets set

P (x, y) = 2x2 + y,

Q

1 P

Q y

x

Q(x, y) = x2 y x.

1

(2x2 + y) (x2 y x)

x2 y x

y

x

1

[1 2xy + 1]

x2 y x

2(xy + 1)

x(xy + 1)

2

.

x

=

=

=

=

F (x) = e(

2

x

dx)

2

= e(2 ln |x|) = e(ln x ) = x2 .

We can now multiply our DE by the integrating factor that we have just

found to get:

x2 (2x2 + y)dx + x2 (x2 y x)dy

2

(2 + yx

)dx + (y x

)dy

Now this DE is exact and can be solved in the usual manner. Here

M (x, y) = 2 +

y

x2

N (x, y) = y

Z

y

u(x, y) =

(2 + 2 ) dx + k(y)

x

y

= 2x + k(y).

x

45

1

.

x

u(x, y)

y

y

2x

+ k 0 (y)

y

x

1

= + k 0 (y).

x

=

1

+ k 0 (y) =

x

k 0 (y) =

k(y)

1

x

y

y2

+ const.

2

So,

u(x, y) = 2x

y2

y

+

+ const

x

2

2x

y

y2

+

+ const = 0.

x

2

Note: By multiplying by the integration factor, we have lost the solution x = 0!!

So, we have to be careful when we change the original DE to make it exact.

4.3.2

Consider the following model of economic growth in a developing country

X(t)

= K(t)

K 0 (t)

= X(t) + H(t),

where X(t) is the total production per year, K(t) is the capital stock (building

and equipments), and H(t) is the flow of foreign aid per year.

In the first equation we assume the production is proportional to the capital

stock. In the second equation we assume the total growth of capital per year

is equal to internal savings plus foreign aid. The internal savings are, inturn,

proportional to the production. The proportionality constants and are

positive.

To write the above system as a single differential equation, let H(t) = H0 et ,

where 6= . Then

dK

= K + H0 et ,

dt

46

or

(K + H0 et )dt dK = 0.

Let P = K + H0 et and Q = 1.

This equation is not exact. Check! So we need to find an integrating factor.

Try

Z

1 P

Q

F (t) = exp

dt

Q K

t

Z

= exp

dt

=

exp(t).

factor to get

(Ket + H0 e()t )dt dKet = 0.

Let M = Ket + H0 e()t and N = et . This equation is now

exact.

Then

Z

u(t, K) =

M dt + k(K)

= Ket +

H0

e()t + k(K).

Now,

u

K

= et + k 0 (K)

= N

= et .

Therefore, the solutions are equations of the form

Ket +

H0

e()t + c = 0,

or

K = cet +

4.3.3

H0

et .

47

This is another example of fluid flow. Consider the trajectories of a twodimensional flow given by the following system of DEs:

dx

dt

dy

dt

x2 y 2

2xy

where ~r = (x, y) is the position vector of a given particle and ~v = (dx/dt, dy/dt)

the velocity vector at a given point.

If y(x) is the path of a particle, we can write

dy

dy dx

y

=

/

= .

dx

dt dt

x

Thus, y satisfies the first-order DE:

2xy

dy

= 2

dx

x y2

which can be re-written as:

2xydx + (y 2 x2 )dy = 0

hence,

N (x, y) = y 2 x2 .

M (x, y) = 2xy,

M

= 2x

y

N

= 2x.

x

6=

F (y)

= e

P

[ Q

x y ] dy

1

P

1

2xy [2x2x] dy

= eR

= eR

4x

2xy

2

y

dy

dy

= e

= e2 ln |y|

= eln y

= y 2 .

Since the integrating factor is a function of y only, the DE can be reduced

to the exact form by multiplying it by F (y) = 1/y 2 .

2xy

(y 2 x2 )

dx

+

dy

y2

y2

2x

x2

dx + 1 2 dy

y

y

48

0.

M (x, y) =

2x

y

N (x, y) =

x2

y2

.

Lets integrate M (x, y) with respect to x to find a general solution u(x, y):

Z

2x

u(x, y) =

dx + k(y)

y

x2

=

+ k(y).

y

Lets now differentiate with respect to y:

u(x, y)

y

x2

+ k 0 (y)

y y

x2

= 2 + k 0 (y).

y

But u(x, y)/y = N (x, y), so by comparing N = 1 xy2 with what we have

just found we get:

x2

x2

0

+

k

(y)

=

1

y2

y2

0

k (y) = 1

k(y)

y + const.

u(x, y) =

x2

+ y + const

y

Some of the solution curves are shown in Figures 19, 20, 21 and 22.

The next figures show some astronomical applications of flow of matter along

dipolar field lines.

49

Figure 19: Some solution curves for a fluid flow along dipole-like field lines

Herculis-type system. Note the dipolar field lines closing on the stellar surface

(courtesy of http://www.rkm.com.au).

50

Figure 21: The ultra-massive, ultra-magnetic (109 Gauss) white dwarf star

EUVE J0317-855. Note the plasma trapped to flow along the magnetic field

lines of the star (courtesy of http://www.rkm.com.au).

Figure 22: Pulsar light-house effect. Charged particles flow along the dipolar

magnetic field lines producing radiation

51

5.1

Definition 12 (Linear differential equation). A first order differential equation

is said to be linear if it can be written as:

y 0 + p(x)y = r(x).

This equation is linear in the unknown function y and its derivative y 0 =

The function p(x) and r(x) are any known functions of the variable x.

dy

dx .

the interval in which we consider the equation, then the equation is said to be

homogeneous. Otherwise, if r(x) 6= 0, it is said to be non-homogeneous.

5.2

Homogeneous equations

If r(x) = 0 we have:

y 0 + p(x)y = 0

and since y 0 =

dy

dx ,

dy

= p(x)dx.

y

Z

Z

dy

= p(x) dx

y

Z

ln |y| = p(x) dx + C 0

e

|y| =

y

Ce

p(x) dx+C 0

R

p(x) dx

Here, if C = 0 we get the trivial solution y(x) = 0.

5.2.1

y 0 + 4xy = 0.

52

dy

+ 4xdx = 0.

y

Here, p(x) = 4x. So the general solution is given by:

y(x) = Ce

4x dx

= Ce2x

y 0

-2

-4

-6

-8

-1.5

-1

-0.5

0

x

0.5

1.5

Figure 23: Some solution curves of the first order linear differential equation

dy/dx + 4xy = 0.

5.3

Non-homogeneous equations

Consider again the differential equation:

y 0 + p(x)y = r(x).

now with r(x) 6= 0.

This can be written as:

dy

+ p(x)y = r(x).

dx

53

thus:

[p(x)y r(x)] dx + dy = 0.

The good news is that this DE has an integrating factor! Set

P = p(x)y r(x),

Q = 1.

P dx + Qdy = 0.

F (x)

= e(

R

= eR

= e

= e

1

Q

Q

[ P

y x ] dx)

P

y

dx

[p(x)yr(x)]

y

p(x) dx

dx

y 0 + p(x)y

e

p(x) dx

[y + p(x)y]

= r(x)

= r(x)e

p(x) dx

e

Thus:

p(x) dx

h R

i0

[y 0 + p(x)y] = ye p(x) dx .

h R

i0

R

ye p(x) dx = r(x)e p(x) dx .

Z

R

R

ye p(x) dx = r(x)e p(x) dx dx + const

Set h =

Z

y(x) = eh

r(x)eh dx + const .

54

5.3.1

y 0 + 3y = x.

Solution

Here, p(x) = 3 and r(x) = x.

Since the general solution is:

y(x) = e

R

p(x) dx

Z

r(x)e

p(x) dx

3 dx

dx + const

then

y(x)

= e

R

3 dx

= e3x

Z

Z

xe

dx + const

3x

xe dx + const .

R the method of integration by parts.

Remember: udv = uv vdu.

Set

1

u = x, du = dx, dv = e3x dx, v = e3x .

3

So:

Z

Z

e3x

1

xe3x dx = x

e3x dx

3

3

1

e3x

e3x

1

e3x =

= x

x

.

3

9

3

3

And the general solution becomes:

y(x) =

5.3.2

x 1

+ Ce3x .

3 9

Art Forgery

When Belgium was liberated in World War II, the hunt for Nazi collaborators

started. During the hunt, the Dutch painter H.A. Van Meegeren was arrested

in May 1945 and charged for selling a 17th century painting to Goering. This

painting, Woman taken in Adultery (see Figure 24) was allegedly executed by

the very famous Dutch painter Jan Vermeer. The sentence for treason was

death.

55

It was in July of the same year that Van Meegeren surprised the art world by

claiming not only that he had never sold Woman taken in Adultery to Goering,

but also that this painting was his own. And, as if this were not enough, he

stated that the very famous painting Disciples at Emmaus was also his own creation. He continued saying that he had forged another four paintings attributed

to Vermeer and two attributed to de Hooghs.

ndtilda.co.uk/vm3.htm.)

Most people believed that Van Meegeren was trying to save his head by

lying, but then he started reproducing in his prison cell a very famous painting

by Vermeer: Jesus Among the Doctors (Figure 25). This convinced most of

the skeptics and therefore the charge of treason was changed to that of forgery

carrying a one year prison sentence. At this point, Van Meegeren refused to age

the painting so that his aging secrets wouldnt be divulged to the whole world.

Van Meegeren was convicted in October 1947 and died in the same year of heart

attack.

Because of this refusal, the art world appointed an international panel made

up by chemists, physicists and art historians to settle once and forever the

question of whether these famous paintings were genuine or just forgeries.

At the end of their studies, the panel decided that the painting were not

genuine 17th century paintings, but forgeries. In particular, the analysis of the

pigments (colours) revealed the use of cobalt blue, which is a modern pigment,

totally unknown in the 17th century. They also found traces of phenoformaldehyde (discovered only in the 19th century) that Van Meegeren used to age his

paintings. This chemical was mixed into his pigments and then, by putting the

canvas in the oven, it hardened into bakelite, making the painting look old and

cracked.

56

ndtilda.co.uk/vm3.htm.)

However, even after all this, most art critics refused to believe that the

famous and beautiful Disciples at Emmaus (Figure 26) was a fake. Thus, the

noted art historian Bredius certified it as an authentic Vermeer and was sold to

the Rembrandt Society for US$ 170,000. This was a lot of money.

Finally, in 1967, scientists at Carnegie Mellon University took the matter

into their own hands. This is how they proved that Disciples at Emmaus was a

fake.

All paintings contain white lead. This pigment has been used by artists for

thousands of years. We know that all rocks on Earth contain a certain amount

of uranium, which decays into other radio-active substances, which, in turn, also

decay until they reach the lead stage, which is not radio-active. The uranium

has a half-life of more than 4 billion years and this element keeps on feeding the

radio-active decay chain.

The white lead used by artists contains a small amount of Pb210 , which is

a radioactive isotope of lead with half-life of only 22 years. Lead is extracted

from ores containing uranium and other elements produced by the decaying

of uranium, such as Radium 226 (Ra226 ), whose half-life is 1,600 years. Ra226

decays into Pb210 . The amount of Pb210 in the ore is in radio-active equilibrium

with the amount of Ra226 . This means that in the ore the amount of Ra226

decaying into Pb210 is the same as the amount of Pb210 decaying into inert

lead. During the process of extraction of lead from the ore (smelting), up to

95% of the radium and all its descendents are removed. Thus, Pb210 is not

in radioactive equilibrium with Ra226 and thus starts decaying very fast, until

balance is reached again between Pb210 and the residual amount of Ra226 (about

57

ndtilda.co.uk/vm3.htm.)

5% of original).

Now we want to calculate the amount of Pb210 present in the painting in

terms of the original amount present when it was manufactured.

If y(t) is the amount of lead Pb210 per gram of white lead at time t, y0 is the

amount of lead Pb210 at time t0 (manufacturing time) and r(t) is the number

of disintegration of Ra226 per minute per gram of white lead paint at time t. If

k the constant of decay for Pb210 , then:

dy(t)

= ky(t) + r(t).

dt

This is a first order non-homogeneous linear differential equation of the type:

y(t)0 + p(t)y(t) = r(t).

whose solution is:

y(t) = e

R

p(t) dt

Z

r(t)e

p(t) dt

dt + const .

In our problem, p(t) = k. Also, since the half-life of Ra226 is much much

longer that of Pb210 (1,600 years against 22), we can take r(t) constant over

a period of about 300-400 years, which is the maximum age which could be

58

Z

R

R

k dt

k dt

y(t) = e

re

dt + const

Z

kt

kt

= e

r e dt + const

hr

i

= ekt ekt + const

k

i

hr

+ const ekt .

=

k

At t = t0 :

y(t0 ) =

Thus:

hr

k

i

+ const ekt0 .

h

ri

const = ekt0 y0 .

k

y(t)

=

=

h

ri

r

+ ekt0 y0 ekt

k h

k

r

r i k(tt0 )

+ y0

e

.

k

k

The value of k is known and we can measure the values that y(t) has today.

So, if we know y0 we can then determine t t0 and establish whether this is

closer to 300 or 0! But we do not know the value of y0 .... So, what do we do

now?

We said that in the ore, the amount of Pb210 is in radio-active equilibrium

with Ra226 , therefore there is no change in the amount of lead that is created

and is disintegrated. This means that in the ore, at the time of manufacturing

of the pigment:

dy

= ky0 + r0 = 0

r0 = ky0 .

dt t=0

Different ores contain different amounts of Ra226 . This amount depends on

where on Earth this ore was mined. The quantity r0 can vary from about 0.15

to 140 disintegrations per minute per gram of white lead.

Therefore, although we cannot deduce an accurate age of the painting, we

still can find out whether the painting is a fake by calculating the value of ky0

if we assume that the painting is, say, 300 years old. Set t t0 = 300 in our

solution and solve for ky0 :

r i 300k

r h

+ y0

e

y(t) =

k

k

ky0 = ky(t)e300k r e300k 1 .

59

The measured values of ky and r are 8.5 and 0.8 respectively. Thus, since

k = 3.151 102 , we get ky0 = r0 = 98, 150 disintegrations per minute per

gram of white lead, which is a huge value, well above what is expected in lead

ores (0.15-140). In fact, even the very rare ores with uranium contents of up to

3% would give a maximum of about 30,000 disintegrations per minute per gram

of white lead.

The Disciples at Emmaus is a fake.

The numerical simulation shown in Figure 27 also shows that the initial lead

content must be very high to get the current reading.

Matlab code to model the lead content given different initial conditions

M-file

% decay model

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

f u n c t i o n rhs=ddecay ( x , y )

r = 0.8;

k = 3 . 1 5 1 E 2;

rhs = ky+r ;

Main routine

hold

g r i d on

% s e t t h e time i n t e r v a l

ts = 1 : 1 0 : 3 0 0 ;

% define a set of i n i t i a l conditions

y0 = 1 0 0 0 : 5 0 0 0 0 0 : 1 0 0 0 0 0 0 0 ;

% solve equation fo r d i f f e r e n t i n i t i a l conditions

n = l e n g t h ( y0 )

for i = 1:n

y0 ( i )

[ t , y ] = ode45 ( @ddecay , ts , y0 ( i ) ) ;

plot (t , log10 (y) )

end

% l a b e l the p l o t s

t i t l e ( ' Change i n l e a d c o n t e n t with d i f f e r e n t i n i t i a l conditions ' )

xlabel ( ' t ' )

60

hold

7

log10(y)

50

100

150

t

200

250

300

5.3.3

Radiation Transfer

Consider radiation of intensity I that is propagating along the xaxis through

matter in an astronomical object. This matter absorbs the radiation impinging

on it at a rate I per unit volume and also emits blackbody radiation according to Plancks law at a rate B per unit volume. See Figure 28. Here, is

the density of the matter, its opacity and B is the Planck function. All these

quantities are functions of x. The intensity of radiation I satisfies the equation:

dI

= (I B).

dx

which can be written as:

dI

+ I = B.

dx

To find the general solution, we note that the differential equation is nonhomogeneous, of the type:

dy

y 0 + p(x)y = r(x)

y0 =

dx

61

y(x) = eh

where h =

Since

Z

r(x)eh dx + const

p(x) dx.

p(x) =

and

r(x) = B

I(x) = e

dx

Z

Be

dx

dx + const .

understand the mathematical and physical meaning of the above equations by

assuming that , and B are constants and can therefore be taken out of the

integral sign. This assumption is correct if we consider short paths over which

these quantities dont change much with x.

In this case

Z

R

R

dx

dx

I(x) = e

B e

dx + const

Z

x

x

= e

B e

dx + const

1 x

x

= e

B e

+ const

= ex [Bex + const]

= B + const ex .

If the incident radiation is I(0) = I0 , then

I0 = B + const const = I0 B.

So, the solution is:

I(x)

= B + (I0 B)ex

= I0 ex + B 1 ex .

62

(2)

through a slab of matter of thickness x and that the radiation emitted by the

slab itself is also attenuated by 1 ex as it goes through the matter.

See Figure 29.

5.4

Bernoulli equations

In some cases, it is possible to convert non-linear DEs into linear DEs. The

most famous of these reducible equations is Bernoulli Equation:

y 0 + p(x)y = g(x)y a

where a is any real number.

You can see immediately that if a = 0 or a = 1 the DE is linear, otherwise

it is not. In this case, we set

u(x) = [y(x)]1a .

u0

(1 a)y a y 0

(1 a)(g py 1a )

(1 a)(g pu)

(1 a)g + (a 1)pu

63

thus:

u0 + (1 a)pu = (1 a)g

which is now linear and can be solved through the method we saw earlier for

non-homogeneous linear DEs.

5.4.1

y 0 3y = 5xy 3 .

Solution

This is Bernoulli equation with a = 3, p(x) = 3 and g(x) = 5x.

We want to make this equation linear, so we have to make a change of

variables by setting

u(x) = [y(x)]1a = y 2

and

u0 + (1 a)pu = (1 a)g.

Thus:

u0 + 6u = 10x.

We can now solve this DE using the method we learnt earlier. Remember

that the general solution is given by:

Z

R

R

p(x) dx

p(x) dx

u=e

r(x)e

dx + C .

Here, p(x) = 6 and r(x) = 10x. So

Z

R

R

u = e 6 dx

10xe 6 dx dx + C

Z

= e6x

10xe6x dx + C .

To solve this

R integral we use the method of integration by parts. Remember:

f dg = f g gdf .

Set

1

f = x, df = dx, dg = e6x dx, g = e6x .

6

which gives (check!):

10 6x

6x

6x 10

u = e

xe e + C

6

36

5

5

=

x

+ Ce6x .

3

18

R

64

u = y 2

in order to linearise the original DE. So the general solution to the original DE

will be given by:

5

5

y 2 = x

+ Ce6x .

3

18

In this equation we have lost the solution y = 0, since we divided the original

DE by y 3 !!

Figure 30 shows some solution curves.

y(x) 0

-1

-2

-0.5

0.5

1.5

5.4.2

As a model for the growth of a population, the simple exponential growth

we saw earlier (also called the Malthusian law of population growth):

dx

= kx

dt

65

It becomes inaccurate as the population grows larger and overcrowding sets

in, when competition for resources such as food, space and so on starts to limit

the growth rate.

We now extend our model and apply it to the population growth of rabbits,

see Figure 31.

Figure 31: The rabbits in Australia are an example of a fast growing population!

The rabbit is well suited to Australia - from as few as 24 rabbits bred by

Thomas Austin near Winchelsea, Victoria (1859) we had easily more than a

billion rabbits by 1900!

We modify our model to allow for larger populations. One way to do this is

to add a term to represent overcrowding.

dx

= kx bx2 ,

dt

(the idea being that the average number of encounters of two individuals per

unit time is proportional to x2 ).

This is the logistic equation. This equation is not linear (because of the x2

term) and can be solved either by using the technique of separation of variables

or by noting that it is of the Bernoullis type. We will use the latter.

We can rewrite the last equation as

x0 kx = bx2 .

Here, the independent variable is the time t and the dependent variable is

the population of rabbits x, p(t) = k, and g(t) = b and a = 2. We have to

make a change of variable. We set

u(t) = [x(t)]1a = x1 .

So:

u0 + (1 a)pu = (1 a)g

66

u0 + ku = b.

Z

R

R

p(t) dt

p(t) dt

u=e

r(t)e

dt + C .

Here, p(t) = k and r(t) = b. So

u = e

k dt

Z

be

k dt

dt + C

Z

= ekt b ekt dt + C

b kt

= ekt

e +C

k

b

+ Cekt .

=

k

x(t) =

1

x

1

=

u

so

b

k

1

,

+ Cekt

where C is a constant.

The interesting property of this equation is that the so-called braking term

bx2 stops the population of rabbits (or humans, for that matter!) to grow to

infinity. In fact, initially small populations (0 < x(0) < k/b) increase monotonically to k/b, whilst large populations (x(0) > k/b) decrease monotonically to

k/b. The term k/b is also called the carrying capacity of the ecological system

and reflects the fact that any ecological system can support only a certain number of inhabitants (rabbits in this case). Once the population has reached the

carrying capacity, the population should hold steady (neither grow nor shrink).

See Figure 32 for the solution curves.

But what about people? In Figure 33 we can compare solution curves obtained with the simple exponential law and with the logistic equation. The data

are from the USA census.

Separation of variables to find the general solution of the Logistic

Equation

The logistic equation can be solved also by using the separation of variables

method. Lets see how.

The logistic equation is

dx

= kx bx2 .

dt

If we write m = k/b, we can rewrite the last equations as

dx

x

= kx 1

.

dt

m

67

x

dx

= kx 1

.

dt

m

We can write:

then:

dx

x 1

Z

dx

x 1

x

m

= kdt,

Z

x

m

=

kdt.

Z

k dt = kt + C

where C is a constant of integration.

The left hand integral is (using the partial fraction method):

Z

Z

dx

1

1

=

+

dx

x

x mx

x 1 m

x

0

+ C0

= ln |x| ln |m x| + C = ln

m x

68

Figure 33: Some solution curves for exponential law and logistic equation compared to data from the USA census.

69

So:

x

+ C 0 = kt + C

ln

m x

x

= kt + C 00

ln

m x

x

00

kt+C 00

= eC ekt

m x = e

where C 00 = C + C 0 is another constant.

00

Since eC is also a constant, we can write:

x

= Aekt ,

mx

00

where A = eC .

Now we can solve for x:

x = (m x)Aekt

= mAekt xAkt

x(1 + Aekt )

= mAekt

mA

.

=

A + ekt

x=

b

k

1

+ Dekt

where D is a constant.

The result is the same as before. Which method do you think is easier to

apply?

5.5

Electric circuits

Electric circuits

This is a very brief introduction to electric circuits. In the electric circuits

world, the most important laws are Kirchoffs laws. So, we will talk about voltages, currents, resistors, capacitors, etc. But first of all... What is a current?

A current is the rate of flow of charges measured in coulomb per unit time

crossing a certain surface, such as the cross-section of a wire. That is:

I=

dQ

.

dt

Current is measured in amperes and the time is in seconds. 1 ampere corresponds to the flow of one coulomb per second. Charges are carried by electrons

70

(negative charge of 1.6 1019 coulomb) and protons (of equal but positive

charge).

Charges flow between two points (thus producing a current) because of the

difference in voltage between these two points. The voltage is measured in volts

with a voltmeter.

The simplest electric circuit is a series circuit and consists of a source of

electric energy (electromotive force), such as a generator or battery and a resistor

which uses energy (e.g. a light bulb).

If we close the circuit, the current I through the resistor will cause a voltage

drop. This means that the electric potential at the two ends of the resistor

is different. The voltage drop ER across the resistor is proportional to the

instantaneous current I.

Definition 14 (Ohms law).

ER = RI.

where the constant of proportionality R is called the resistance and is measured

in ohms.

Physically, a resistor is a device often made of carbon which has a certain

specified resistance (20, 50, 100 whatever ohms).

Electric circuits also have inductors and capacitors.

The voltage drop EL across an inductor is proportional to the time rate of

change of current through it:

dI

EL = L

dt

where the constant of proportionality L is called the inductance of the inductor

and is measured in henrys. An inductor often consists of a coil of wire.

A capacitor stores energy and the voltage drop is proportional to the instantaneous charge Q on the capacitor:

Q

C

EC =

dQ

dt

I(t) =

then

EC =

1

C

I( )d.

t0

Now that we know about the various elements, we can determine the current I in a circuit by solving the equations resulting from the applications of

Kirchoff s voltage law and Kirchoff s current law.

Definition 15 (Kirchoffs voltage law). Kirchoff s voltage law states that the

algebraic sum of the voltage drops around any closed loop of a circuit is zero.

71

(Va Vd ) + (Vb Va ) + (Vc Vb ) + (Vd Vc ) = 0.

If E(t) is the externally imposed drop in voltage (electromotive force), which

is provided by a generator or battery, then:

E(t) = (Vd Va ) = (Vb Va ) + (Vc Vb ) + (Vd Vc ).

any point, the algebraic sum of the currents flowing in is the same as the currents

flowing out. That is, (see Figure 35):

I1 + I2 = I3 + I4 + I5 .

5.5.1

Example: RL-Circuit

The voltage drop across the resistor ER = RI, the voltage drop across the

inductor is EL = LdI/dt.

Thus, by Kirchoffs voltage law, their sum must be equal to the imposed

electromotive force E(t):

dI

L

+ RI = E(t)

dt

72

Figure 35: The current flowing into a node must the same as the current flowing

out

73

or

dI

RI

E(t)

+

=

.

dt

L

L

To find the general solution, we note that the differential equation is nonhomogeneous, of the type:

y 0 + p(t)y = r(t)

with the general solution

y(t) = e

Z

r(t)e dt + const

R

where h = p(t) dt. Note that in our problem, the independent variable is now

the time t, not x!

Since

R

E(t)

p(t) =

and r(t) =

.

L

L

Then general solution is given by

Z

R

E R R dt

R

dt

L

L

I(t) = e

e

dt + const

L

Z

E Rt

R

t

L

L

= e

e dt + const .

L

If the electromotive force is constant E = E0 , then

Z

R

R

E0

I(t) = e L t

e L t dt + const

L

R

E0 L R t

= e L t

e L + const

L R

R

E0 R t

= e L t

e L + const

R

R

E0

=

+ const e L t .

R

As you can see

lim

E0

E0

t

R

L

+ const e

=

.

R

R

R

We call the term ER0 the steady-state solution and the term const e L t the

transient part of the solution. In practical terms, this means that after a certain

time, the current will be constant equal to ER0 , independently of the initial value

of the current I0 . Before reaching the steady-state, a circuit is in the transient

74

state. These transient periods in electric circuits occur because elements such

as inductors and capacitors store energy. This means that a variation in electromotive force cannot have an instant circuit response, since inductor currents

and capacitor voltages delay such a response.

t

The transient part decays on a time scale t = L/R, because of the term e t

in the solution. The quantity t = L/R is called the inductive time constant of

the circuit.

If the value of the current at t = 0 is I(0) = I0 , then the solution to the

initial value problem

L

dI

+ RI = E(t)

dt

I(0) = I0

I(t) =

R

E0

+ const e L t

R

which gives

I0 =

E0

+ const

R

const = I0

E0

.

R

I(t)

E0

+ I0

R

E0

+ I0

R

=

=

R

E0

e L t

R

t

E0

e t .

R

We show in Figure 37 some solution curves obtained for different initial conditions. Note the approach to the steady-state I(t) = ER0 . The other parameters

are: L=0.2 henry, R=10 ohms and E0 =12 volt (battery).

Case B: Electromotive force is periodic

If we now have an electromotive force that is periodic, that is:

E(t) = E0 sin(t)

Z

R

R

E0

I(t) = e L t

sin(t)e L t dt + const .

L

Lets solve the integral:

Z

sin(t)e L t dt.

This

R integral can be solved through integration by parts (Remember:

U V V dU ).

75

U dV =

0.02

0.04

0.06

0.08

0.1

0.12

0.14

Figure 37: Some solution curves for the current I(t) in a RL circuit obtained

with different initial conditions and a constant electromotive force.

76

Set

U = sin(t),

dV = e L t

so:

dU = cos(t),

V =

L Rt

eL .

R

And:

Z

sin(t)e

R

Lt

dt

=

=

Z

R

L

L Rt

t

L

sin(t)e

e L cos(t) dt

R

R

Z

R

R

L

L

e L t cos(t) dt.

sin(t)e L t

R

R

U = cos(t),

dV = e L t

so:

dU = sin(t),

V =

L Rt

eL

R

and:

Z

e

R

Lt

cos(t) dt

Z

L Rt

L Rt

L

e L ( sin(t)) dt

= cos(t) e

R

R

Z

R

L Rt

L

cos(t)e L t +

e L sin(t) dt

=

R

R

Z

R

R

L

L

=

cos(t)e L t +

e L t sin(t) dt.

R

R

Now, the integral on the RHS is identical to the integral we started with, so

we can solve for this integral as follows:

Z

R

R

L

sin(t)e L t dt =

sin(t)e L t

R

Z

R

R

L L

L

t

t

L

L

cos(t)e +

e sin(t) dt ,

R R

R

Z

R

L2 2

L Rt

L

t dt

L

L

1+

= e

sin(t)

cos(t) ,

sin(t)e

R2

R

R

Z

R

R [R sin(t) L cos(t)]

sin(t)e L t dt = Le L t

.

R2 + L2 2

Well, we have the solution of our integral, at last!!

Now we must remember where we started. It was:

Z

R

R

E0

I(t) = e L t

sin(t)e L t dt + const .

L

77

R

E0 R t [R sin(t) L cos(t)]

I(t) = e L t

+

const

Le L

L

R2 + L2 2

R

[R sin(t) L cos(t)]

= E0

+ const e L t .

R2 + L2 2

Use now the following trigonometric identity:

"

#

p

2

2

sin x cos x =

+ p

sin x p

cos x

2 + 2

2 + 2

p

2

2

=

+ sin(x ),

= arctan

= R,

= L

and

= arctan

L

.

R

We get the form that is usually seen in electrical engineering applications, that

is:

R

E0

I(t) =

sin(t ) + const e L t .

R2 + 2 L2

We note again that as t the exponential term goes to zero on a timescale t and the current will oscillate harmonically. In this case the steady-state

solution is the first term in the equation (which is oscillatory) while the transient

part is given by the exponential term.

When L = 0, the phase-angle = 0 and the oscillations of the current I(t)

are in phase with those of the electromotive force E(t) (in general they are not).

We show in Figure 38 one of these solution curves.

5.5.2

Example: RC-Circuit

Rt

The voltage drop across the capacitor is EC = Q/C = t0 I( ) d /C, the

voltage drop across the resistor is ER = RI. Thus, by Kirchoffs voltage law,

their sum must be equal to the source of electric energy, which is the electromotive force E(t), which is a continuous function of time:

Z

1 t

I( ) d + RI = E(t)

C t0

or, by eliminating the integral:

dI

1

+ I

dt

C

dI

1

+

I

dt

RC

R

78

=

=

dE(t)

dt

1 dE(t)

.

R dt

1.5

0.5

10

15

20

25

30

35

-0.5

-1

Figure 38: A solution curve for the current I(t) in a RL circuit obtained with a

periodic electromotive force.

79

We note that the differential equation is first order and non-homogeneous,

of the type:

y 0 + p(t)y = r(t)

with the general solution

y(t) = e

where h =

Since

Z

r(t)e dt + const

p(t) dt.

1

RC

the general solution is given by

p(t) =

I(t)

and

1

RC

e RC t

1

R

Z

dt

1

R

r(t) =

1 dE(t)

R dt

Z

dE R 1 dt

e RC dt + const

dt

dE 1 t

RC

dt + const .

e

dt

If the electromotive force is constant E = E0 , then

dE(t)

=0

dt

and the solution becomes:

I(t) =

t

1

const e RC .

R

Case B: Electromotive force is periodic

If we now have an electromotive force that is periodic, that is:

E(t) = E0 sin(t).

Then

dE(t)

= E0 cos(t).

dt

And the solution becomes:

Z

R 1

dE R 1 dt

RC

dt 1

RC

e

dt + const

I(t) = e

R

dt

Z

1

1

RC

t E0

t

RC

= e

cos(t)e

dt + const .

R

80

This can be solved using the method of integration by parts (I omit the

evaluation of the integral here!!). The general solution is:

t

E0 C

1

I(t) = p

sin(t ) + const e RC , = arctan

.

RC

1 + (RC)2

We have again that as t the exponential term (the transient term) will

go to zero and the current will oscillate harmonically.

81

equations

6.1

Definition 17 (Second order linear differential equation). The following differential equation:

y 00 + p(x)y 0 + q(x)y = r(x)

which we can also write as

dy

d2 y

+ p(x)

+ q(x)y = r(x)

dx2

dx

is a second order linear differential equation. This equation is linear in the

dependent variable y and its derivatives.

As in first order linear DEs, second order linear DEs are homogeneous if

r(x) = 0 and non-homogeneous if r(x) 6= 0.

6.1.1

Linear combinations

Theorem 2 (Linear combination of solutions). Let y1 and y2 be linearly independent solutions to the homogeneous equation:

y 00 + p(x)y 0 + q(x)y = 0.

Then any linear combination

c1 y1 + c2 y2

with c1 and c2 are constants is also a solution of the DE.

Proof

Since y1 (x) and y2 (x) are solution of

y 00 + p(x)y 0 + q(x)y = 0

then

y1 (x)00 + p(x)y1 (x)0 + q(x)y1 (x)

0,

0.

If we multiply the first equation by c1 and the second by c2 and add, we get:

c1 y1 (x)00 + c2 y2 (x)00 + p(x) [c1 y1 (x)0 + c2 y2 (x)0 ]

+q(x) [c1 y1 (x) + c2 y2 (x)] = 0

Note that this theorem does not hold for non-homogeneous linear equations

(or non-linear equations)!

82

6.1.2

Example 21 (Linear combination of solutions). Consider the following homogeneous linear differential equation

y 00 6y 0 + 9y = 0.

The functions

y1 (x) = e3x

and

y2 (x) = xe3x

Lets multiply them by any constants. For example, lets multiply the first

by 2 and the second by 5 and take their sum.

y(x) = 2e3x + 5xe3x .

Solution

Lets now verify that this is also a solution to y 00 6y 0 + 9y = 0.

3x

00

0

2e + 5xe3x 6 2e3x + 5xe3x + 9 2e3x + 5xe3x

0

= 11e3x + 15xe3x 66e3x 90xe3x + 18e3x + 45xe3x

= 48e3x + 45xe3x 66e3x 90xe3x + 18e3x + 45xe3x

= 0.

6.1.3

General solution

General solutions

A general solution of a first order differential equation had an arbitrary

constant c in it and an Initial Value Problem had one initial condition y(0) = y0 .

This initial condition allowed us to determine the constant c and thus to obtain

the solution to the IVP.

In second order linear differential equations, a general solution consists of a

linear combination of two suitable solutions y1 and y2 :

y(x) = c1 y1 (x) + c2 y2 (x)

where c1 and c2 are two arbitrary constants.

6.2

IVP

For second order homogeneous linear differential equations an initial value

problem consists of the DE together with two initial conditions:

y 00 + p(x)y 0 + q(x)y = 0,

y(x0 ) = K0

and y 0 (x0 ) = K1 .

With these initial conditions we can find the values of the constants c1 and

c2 and thus a particular solution to the DE.

83

6.2.1

Example 22. Consider again the second order homogeneous linear differential

equation we saw in the previous example now with two initial conditions:

y 00 6y 0 + 9y = 0,

y(0) = 0,

y 0 (0) = 1.

Solution

The general solution is

y(x) = c1 e3x + c2 xe3x .

Since:

y 0 (x) = 3c1 e3x + c2 e3x (1 + 3x)

we can determine the value of the constants from the initial conditions:

y(0) = c1 = 0.

y 0 (0) = 3c1 + c2 = c2 = 1.

c1 = 0,

c2 = 1.

y(x) = xe3x .

6.3

6.3.1

Basis

Basis solutions

Definition 18 (Basis solutions). A basis of solutions of a second order homogeneous linear differential equation

y 00 + p(x)y 0 + q(x)y = 0

on a certain interval I is a pair of linearly independent solutions y1 (x) and y2 (x)

of the DE on I.

A general solution is obtained through any linear combination of y1 (x) and

y2 (x):

y(x) = c1 y1 (x) + c2 y2 (x).

A particular solution of the equation is then obtained by assigning values to

the constants c1 and c2 .

Remember: two functions y1 and y2 are linearly dependent on an interval

I if there exist two constants c1 and c2 , not both zero, such that

c1 y1 (x) + c2 y2 (x) = 0.

84

6.3.2

Given the second order homogeneous linear differential equation

y 00 + p(x)y 0 + q(x)y = 0

there is a method, called method of reduction of order that can be used to find

a basis if one solution is known. Lets see how we can do this.

Lets assume that we know y1 . To obtain a basis, we need a second linearly

independent solution y2 . Set

y2 = uy1

So:

y20

= u0 y1 + uy10

y200

u00 y1 + 2u0 y10 + uy100 + p(u0 y1 + uy10 ) + quy1

00

u y1 + u

(2y10

+ py1 ) +

u(y100

py10

+ qy1 )

0,

0.

By assumption, y1 is a solution of the DE, so the last term in the equation above

must be equal to zero. Well have:

u00 y1 + u0 (2y10 + py1 ) = 0.

Lets divide by y1 :

u00 + u0

2y10 + py1

= 0.

y1

v0 +

2y10 + py1

v = 0.

y1

with the method of separation of variables.

2y 0 + py1

dv

+ 1

v = 0.

dx

y1

2y 0 + py1

dv

= 1

dx.

v

y1

Z

Z

dv

2y10 + py1

=

dx.

v

y1

Z

ln |v| = 2 ln |y1 | p dx.

85

v = exp ln |y1 |

R

e p dx

p dx =

.

y12

Z

u =

v dx

e

Z

=

p dx

dx.

y12

Thus

Z

y2 (x) = y1 (x)

6.3.3

p dx

y12

dx.

y 00 2y 0 + y = 0,

the function y1 = ex is a solution of this DE. We want to find a second linearly

independent solution.

Solution

We can use the reduction of order formula:

Z R p dx

e

dx.

y2 (x) = y1 (x)

y12

Here, y1 = ex and p(x) = 2. So:

Z R 2 dx

Z

e

x

x

y2 (x) = e

dx

=

e

dx = xex .

e2x

This is the second linearly independent solution of the DE.

6.4

6.4.1

Characteristic equations

Characteristic equation

Consider the differential equation

y 00 + ay 0 + by = 0

where, a and b are now constants. If we can find two linearly independent

solutions y1 and y2 , then we can write a general solution in the form:

y = c1 y1 (x) + c2 y2 (x)

86

The differential equation suggests a solution of the form:

y = ex

since the derivatives of the above function are the function itself multiplied by

some constants.

Thus, lets substitute y = ex into y 00 + ay 0 + by = 0:

2 ex + aex + bex

ex 2 + a + b

since ex can never be zero, we can divide the above expression by this function

to obtain:

2 + a + b = 0.

This is called the characteristic equation or the auxiliary equation of the DE,

which is satisfied when

a + a2 4b

a a2 4b

,

2 =

1 =

2

2

so that the functions

y1 (x) = e1 x ,

y2 (x) = e2 x

We can have three different cases depending on the sign of the discriminant

a2 4b:

Case I: we have two real roots if a2 4b > 0.

Case II: we have one real double root if a2 4b = 0.

Case III: we have complex conjugate roots if a2 4b < 0.

Case I: two distinct real roots

If the characteristic equation has distinct real roots (a2 4b > 0), then

y1 (x) = e1 x ,

y2 (x) = e2 x

and a general solution is given by:

y(x) = c1 e1 x + c2 e2 x

where c1 and c2 are arbitrary constants.

Example 24 (Characteristic equation - real roots). Find a general solution of

y 00 + 5y 0 + 4y = 0.

87

Solution

The characteristic equations is:

2 + 5 + 4 = 0.

Using the quadratic formula:

a + a2 4b

,

1 =

2

2 =

a2 4b

2

we obtain:

1 = 1,

2 = 4

y(x) = c1 ex + c2 e4x .

If the characteristic equation has two repeated real roots (a2 4b = 0), then

from:

a + a2 4b

a a2 4b

1 =

,

2 =

2

2

it is obvious that we get only one solution: 1 = 2 = = a2 and

y1 (x) = ex .

To obtain a second linearly independent solution y2 (x) we can use the method

of reduction of order which gives:

Z R p(x) dx

e

dx.

y2 (x) = y1 (x)

y1 (x)2

In our case, y1 = ex and p(x) = a, so:

Z R a dx

e

x

y2 (x) = e

2 dx

[ex ]

Z ax

e

x

= e

dx,

eax

Z

= ex dx

=

since =

xex .

y(x) = c1 ex + c2 xex

where c1 and c2 are arbitrary constants.

88

a

2

of:

y 00 + 4y 0 + 4y = 0.

Solution

The characteristic equation is

2 + 4 + 4 = 0,

and has a double root at = 2.

Thus a basis of linearly independent solutions is given by

y1 (x) = e2x ,

y2 (x) = xe2x

y(x) = c1 e2x + c2 xe2x

where c1 and c2 are arbitrary constants.

Case III: Complex Roots

Consider the homogeneous linear differential equation with constant coefficients

y 00 + ay 0 + by = 0.

If the characteristic equation

2 + a + b = 0

has a negative discriminant (a2 4b < 0) in:

a a2 4b

a + a2 4b

2 =

1 =

2

2

then it has complex roots.

Before proceeding, we have to remember that

i2 = 1

or

i = 1.

and (Eulers formula)

eiy = cos y + i sin y

and

ez = ex+iy = ex eiy = ex (cos y + i sin y) .

Now, if the discriminant is negative, we can re-write the roots:

a + a2 4b

a a2 4b

1 =

,

2 =

2

2

89

as follows:

1

=

=

=

=

=

a2 4b

2

p

a + i2 (4b a2 )

2

a + i 4b a2

2

a i 4b a2

+

2

r 2

a

a2

+i b .

2

4

a +

For 2 :

r

a2

a

2 = i b .

2

4

If we now set =

q

b

a2

4

and = a2 :

1 = + i

and

2 = i.

v1 = e1 x

= e(+i)x

= ex (cos(x) + i sin(x))

and

v2 = e2 x

= e(i)x

= ex (cos(x) i sin(x)).

The above two solutions satisfy the DE, however they are complex.

We can find two real solutions by taking suitable linear combinations of the

above two solutions as follows. The first is obtained by adding the solutions and

dividing by 2:

v1 + v2

y1 =

= ex cos(x)

2

and the other by subtracting the two solutions and dividing by 2i:

y2 =

v1 v2

= ex sin(x).

2i

Note that y1 and y2 are the real and imaginary parts of e1 x (or of e2 x ).

Therefore we can summarise our results as follows. If the characteristic

equation has roots which are complex conjugates, 1 = + i and 2 = i,

then a general and real solution is given by:

y(x) = y1 (x) + y2 (x) = ex (A cos(x) + B sin(x))

90

However, be careful! If the constants a and b in the differential equation:

y 00 (x) + ay 0 (x) + by(x) = 0

are complex numbers, then the roots 1 and 2 of the characteristic equation

are also complex numbers (in general), but not complex conjugates of each other

(again in general). In this case a general solution is:

y(x) = c1 e1 x + c2 e2 x

where c1 and c2 are arbitrary constants which can be complex.

Example 26 (Characteristic equation - complex roots). Find a general solution

of the following DE:

y 00 + 4y 0 + 5y = 0.

Solution

The characteristic equation is:

2 + 4 + 5 = 0

with roots:

1 =

4 +

16 20

= 2 + i,

2

2 =

16 20

= 2 i.

2

y(x) = ex (A cos(x) + B sin(x)) .

In our case, = 2 and = 1. Therefore:

y(x) = e2x (A cos(x) + B sin(x)) .

M-file. Note that the equation has to be rewritten as a collection of first

order equations.

% Complex r o o t s example

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

f u n c t i o n rhs=dsecond1 ( t , y )

rhs = [ y ( 2 ) ; 4y ( 2 ) 5y ( 1 ) ] ;

Main routine

91

% s e t t h e time i n t e r v a l

ts = 0 : 0 . 1 : 3 ;

% define a set of i n i t i a l conditions

y0 = [ 1 ; 1 ] ;

% s o l v e the equation

[ t , y ] = ode45 ( @dsecond1 , ts , y0 ) ;

plot (t , y (: ,1) )

t i t l e ( ' C h a r a c t e r i s t i c Equation Example ' )

xlabel ( ' t ' )

ylabel ( 'y ' )

Figure 40 shows the solution if y(0) = y 0 (0) = 1.

Characteristic Equation Example

1.2

0.8

0.6

0.4

0.2

0.2

0.5

1.5

t

2.5

6.4.2

Undamped system

An elastic string or spring obeys Hookes law. An elastic string can only be

stretched (when it is slack the tension is zero). A spring can be stretched or

92

The tension (restoring force) of a stretched string or the tension or thrust of

a spring is given by:

y

T =

= ky

a

where is the modulus of elasticity, a is the natural length and y is the extension

(positive for a string and positive or negative for a spring). If we set k = /a,

then k is called the spring constant or spring modulus.

Figure 41: The tension of a stretch string. a is the natural length and y is the

extension.

For a particle of mass m attached to the end of an elastic string in equilibrium

under gravity:

mg = T0 = kd.

For motion under gravity:

m

d2 y

dt2

= mg T

= mg k(y + d)

Since (from above)

mg

d=

.

k

Then

d2 y

k

= y

dt2

m

with general solution:

r

k

y(t) = A cos(0 t) + B sin(0 t),

0 =

.

m

93

Figure 42: The tension of a string with a mass m attached to the end. d is the

extension of the spring in equilibrium.

94

Or:

y(t) = C cos(0 t ),

C=

A2 + B 2 ,

tan =

B

.

A

Damped system

Lets connect now the mass to a device designed to damp vibrations, such

as a piston moving in a cylinder containing liquid (a dashpot). Engineers build

and use dashpots to damp vibration that could be causing either mechanical

failure or that could be uncomfortable to people experiencing them. The shock

absorbers in a car are a typical example where dashpots, consisting of an oil

filled device, are used to control spring oscillation in the suspension system.

Suspensions allow us to reduce as much as possible unwanted vibrations while

travelling on uneven roads. Each car wheel has at least one shock absorber.

What do the car in Figure 43 and the Rosetta landing probe shown in Figure

44 have in common (apart from the fact that they cost a fortune)?

com /Murcielago/2001/index.html)

.

The damping force has to oppose motion and therefore is linearly proportional to the velocity. That is:

Fdamp = cv = c

dy

= cy 0

dt

where v is the velocity and c the (positive) damping constant. This approximation is reasonable for small velocities.

The forces acting on the body of mass m are:

Ftot = Fgrav T + Fdamp .

Thus:

my 00 = ky cy 0 ,

95

Homepage > ESA Science missions > Our Missions > Under development > Exploring

jump to:

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8-Jan-2003 ESAs

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Rosetta orbiter and lander

approaching Comet Wirtanen

over the lander after

touchdown on Wirtanen

surface of Wirtanen

orbit and land on a comet. Comets are icy bodies

that travel throughout the Solar System and develop

a characteristic tail when they approach the Sun.

Rosetta is scheduled to be launched on-board an

Ariane-5 rocket in January 2003 from Kourou,

French Guiana.

The decision on the

launch date will be

More about Rosetta

taken by Tuesday 14

ESA Information note no.

January 2003 (See

1-2003

Arianspaces press

Arianspaces press release

release number

03/02 of 7 January 2003

03/02 of 7 January

2003 or look at the web site

http://www.arianespace.com). The mission target is

Comet Wirtanen and the encounter will occur in

2011. Rosettas name comes from the famous

Rosetta Stone that, almost 200 years ago, led to the

deciphering of Egyptian hieroglyphics. In a similar

way, scientists hope that the Rosetta spacecraft will

unlock the mysteries of the Solar System.

Comets are very interesting objects for scientists

since their composition reflects how the Solar

System was when it was very young and still

unfinished, more than 4600 million years ago.

Comets have not changed much since then. By

orbiting Comet Wirtanen and landing on it, Rosetta

will collect essential information to understand the

origin and evolution of our Solar System. It will

also help discover whether comets contributed to

the beginnings of life on Earth. Comets are carriers

of complex organic molecules that, when delivered

to Earth through impacts, perhaps played a role in

the origin of living forms. Furthermore, volatile

light elements carried by comets may have also

played an important role in forming the Earths

oceans and atmosphere.

"Rosetta is one of the most challenging missions

ever undertaken so far," says Prof. David

Southwood, ESA Director of Science. "No one

before has attempted a simular mission, unique for

its scientific implications as well as for its complex

and spectacular interplanetary space manoeuvres."

Before reaching its target in 2011, Rosetta will

circle the Sun almost four times on wide loops in

the inner Solar System. During its long trek, the

spacecraft will have to endure some extreme

thermal conditions. Once it is close to Comet

96

Figure 44: Artists impression of the Rosettas lander on the surface of Comet

Wirtanen (Rosetta is an ESA space mission: http://sci.esa.int/).

or:

y 00 +

c 0

k

y + y = 0.

m

m

characteristic equation:

k

c

2 + +

=0

m

m

with roots:

c

c

1 p 2

1 p 2

c 4mk,

2 =

c 4mk.

1 =

+

2m 2m

2m 2m

1 = + ,

2 = .

(1) Over-damping

c2 > 4mk

1 , 2 .

c2 = 4mk

(3) Under-damping

c2 < 4mk

Overdamping

If the damping constant c is large enough, then c2 > 4mk and we have two

distinct real roots with general solution:

y(t) = c1 e()t + c2 e(+)t .

For t > 0 both exponents are negative, since > 0 and > 0 and 2 =

k/m < 2 so that both terms tend to zero as t increases. This means that

for t large enough, the mass will be at rest at the equilibrium position y = 0

and there will be no oscillatory motion.

2

Critical damping

If c2 = 4mk, then = 0 and 1 = 2 = and the general solution is:

y(t) = (c1 + c2 t) et .

The exponential function can never be zero so y(t) can be equal to zero only

if c1 + c2 t = 0. This can happen at most once. But if the initial conditions are

such that c1 and c2 are both positive (or negative), then y is never equal to zero

and thus the body never passes through the equilibrium point. This case is a

borderline case between non-oscillatory motion and oscillatory motion (thats

why it is called critical).

97

Under-damping

If the damping constant is so small that c2 < 4mk, then the roots of the

characteristic equation are complex conjugate:

1 = + i ,

where

2 = i

4mk c2

=

2m

k

c2

m 4m2

and = c/2m.

The corresponding general solution is:

y(t)

= Cet cos( t )

The cos( t ) varies between 1 and 1, so the solution curve (see Figure

45) lies between the curves

y = Cet

and

y = Cet

cycles per second. Also, the smaller c is, the largerp

is and thus the more

that corresponding to the harmonic oscillation (no damping).

6.4.3

Euler-Cauchy equation

Definition 19 (Second order Euler-Cauchy equation). Consider the linear differential equation

x2 y 00 + axy 0 + by = 0

where a and b are constants. This is the Euler-Cauchy equation.

By looking at this DE, one may guess that a solution of the type y = xm

could solve it, since differentiation of y = xm gives y 0 = mxm1 and further

differentiation gives y 00 = m(m 1)xm2 . So, if we multiply y 00 by x2 and y 0 by

x the loss in the exponent will be compensated by the power of x.

We assume that x > 0. Results for x < 0 can be found by an appropriate

change of variable.

So, lets substitute

y(x) = xm

into the DE:

x2 [m(m 1)xm2 ] + ax[mxm1 ] + bxm = m(m 1)xm + amxm + bxm = 0

98

0.5

10

20

t

30

40

-0.5

-1

so:

m(m 1) + am + b = 0.

This gives the auxiliary equation:

m2 + (a 1)m + b = 0

with roots:

m1 =

(a 1) +

(a 1)2 4b

,

2

m2 =

(a 1)

(a 1)2 4b

.

2

Case I: we have two real roots if (a 1)2 4b > 0.

Case II: we have one real double root if (a 1)2 4b = 0.

Case III: we have complex conjugate roots if (a 1)2 4b < 0.

Case I: Two distinct real roots

Consider the linear differential equation

x2 y 00 + axy 0 + by = 0.

99

m2 + (a 1)m + b = 0

has distinct real roots ((a 1)2 4b > 0), then the general solution is given by:

y(x) = c1 xm1 + c2 xm2

where c1 and c2 are arbitrary constants.

Example 27. Find a general solution of:

3x2 y 00 + 12xy 0 12y = 0.

Solution

Lets divide the DE by 3:

x2 y 00 + 4xy 0 4y = 0.

The auxiliary equation is

m2 + (a 1)m + b = 0.

Here, a = 4 and b = 4. Thus:

m2 + (4 1)m + b = m2 + 3m 4 = 0

with roots:

m1 =

3 +

32 + 16

= 1,

2

m2 =

32 + 16

= 4.

2

y(x) = c1 x + c2 x4 = c1 x +

valid for all positive x.

Case II: Double root

Consider the linear differential equation

x2 y 00 + axy 0 + by = 0.

If the characteristic equation

m2 + (a 1)m + b = 0

has a double root ((a 1)2 4b = 0), then this is:

m=

1a

2

100

c2

x4

y1 = x

1a

2

We can find the second solution using the reduction of order method.

We set:

y2 (x) = uy1 (x)

so:

y20 (x) = u0 y1 + uy10 ,

x2 (u00 y1 + 2y10 u0 + uy100 ) + ax(u0 y1 + uy10 ) + buy1

00 2

u x y1 + u

x(2xy10

+ ay1 ) +

u(x2 y100

axy10

+ by1 )

0.

The last bit is equal to zero, since y1 is a solution to the DE. So we are left

with:

u00 x2 y1 + u0 x(2xy10 + ay1 ) = 0.

1a

equation, then we separate the variables and we get:

1a (a+1)

2

2 x

1

u00

=

u0

x

ln |u0 | = ln x

1

u0 =

x

u = ln x

Therefore, since y2 = uy1 , the second solution is

y2 (x) = ln x y1 (x) = x

1a

2

ln x

y(x) = (c1 + c2 ln x)x(1a)/2

where c1 and c2 are arbitrary constants.

Example 28. Find a general solution of:

x2 y 00 + 5xy 0 + 4y = 0.

Solution

Here, a = 5 and b = 4. The characteristic equation is:

m2 + (a 1)m + b = m2 + 4m + 4 = 0.

101

in the above

This equation has a double solution for m = 2. Therefore, the two solutions

are:

ln x

1

y2 = 2 ,

x > 0.

y1 = 2 ,

x

x

The general solution is:

y(x) =

c1

ln x

+ c2 2

x2

x

x>0

Case III: Complex conjugate roots

Consider again the linear differential equation

x2 y 00 + axy 0 + by = 0.

If the characteristic equation

m2 + (a 1)m + b = 0

has complex roots ((a 1)2 4b < 0), then these are complex conjugate, that

is:

m1 = + i,

m2 = i.

Now, all we need is a trick! We will write:

i

xi = eln x

= ei ln x

and apply Eulers formula:

xm1

m2

We can now find two real solutions by taking suitable linear combinations

of the above two solutions as follows.

The first is obtained by adding the solutions and dividing by 2:

y1 = x cos( ln x)

and the other by subtracting the two solutions and dividing by 2i:

y2 = x sin( ln x).

A general solution (for x > 0) is:

y(x) = x [A cos( ln x) + B sin( ln x)]

where A and B are arbitrary constants.

102

x2 y 00 + 5xy 0 + 5y = 0.

Solution

Here, a = 5 and b = 5. The characteristic equation is:

m2 + (a 1)m + b = m2 + 4m + 5 = 0.

This equation has complex conjugate roots:

4 + 42 20

4 42 20

m1 =

= 2 + i,

m2 =

= 2 i.

2

2

And a general solution (for x > 0) is:

y(x) =

1

[A cos(ln x) + B sin(ln x)]

x2

6.5

Theorem 3 (Uniqueness of solution for IVPs). Consider the Initial Value Problem:

y 00 + p(x)y 0 + q(x)y = 0,

y(x0 ) = K0 ,

y 0 (x0 ) = K1 .

If p(x) and q(x) are continuous functions on some open interval I and x0 is

a point in I, then the above IVP has a unique solution y(x) on I.

6.5.1

Wronskian

As you already know, a general solution of a second order homogeneous

linear differential equation

y 00 + p(x)y 0 + q(x)y = 0

in an open interval I consists of a linear combination of a pair of linearly independent solutions y1 and y2 .

If y1 and y2 are linearly independent then

c1 y1 (x) + c2 y2 (x) = 0

on I only if c1 = 0 and c2 = 0.

Conversely, y1 and y2 are linearly dependent on I if they are proportional.

This means that

y1 (x) = k1 y2 (x)

or

103

y2 (x) = k2 y1 (x)

To establish whether two solutions y1 (x) and y2 (x) of the differential equation

y 00 + p(x)y 0 + q(x)y = 0

where p(x) and q(x) are continuous functions of x are linearly independent, we

can use the Wronski determinant (or wronskian). This is given by:

y y2

W (y1 , y2 ) = 10

y1 y20

where y10 (x) and y20 (x) are the first derivatives of the solutions.

Theorem 4 (Wronskian and linear independence of solutions). The two solutions y1 (x) and y2 (x) are linearly dependent in an open interval I if and only

if their wronskian is equal to zero at some point x = x0 in I. Furthermore,

it is possible to show that if W (y1 , y2 ) = 0 at any point x = x0 in I, then

W (y1 , y2 ) = 0 at all points in I. From this, it follows that if there exists a point

in I where W (y1 , y2 ) 6= 0, then y1 and y2 are linearly independent on I.

6.5.2

y1 (x) = ex ,

y2 (x) = xex

y 00 2y 0 + y = 0.

Solution

Their wronskian is

x

e

W (e , xe ) = x

e

x

xex

2x

2x

= e2x 6= 0

x

x = e (1 + x) xe

e + xe

since the wronskian is not zero, the two solutions are linearly independent and

the general solution is:

y(x) = c1 ex + c2 xex

where c1 and c2 are constants.

Existence of a general solution

Theorem 5 (Existence of a general solution). If p(x) and q(x) are continuous

over an open interval I, then the homogeneous linear differential equation

y 00 + p(x)y 0 + q(x)y = 0

has a general solution on I.

104

General solution

Theorem 6 (General solution). If p(x) and q(x) are continuous over an open

interval I, then every solution y(x) of the homogeneous linear differential equation

y 00 + p(x)y 0 + q(x)y = 0

on I, has the form:

y(x) = c1 y1 (x) + c2 y2 (x)

where c1 and c2 are constants and y1 and y2 are a basis of solutions on I

and the differential equation does not have any other singular solutions which

cannot be obtained from a general solution.

105

7

7.1

Notation and definitions

Definition 20 (Non-homogeneous differential equations). The following second

order linear differential equation:

y 00 + p(x)y 0 + q(x)y = r(x)

which we can also be written as

dy

d2 y

+ p(x)

+ q(x)y = r(x)

2

dx

dx

is non-homogeneous if r(x) 6= 0.

There are two relations between the solutions of the non-homogeneous DE

and the solutions of the associated homogeneous DE:

y 00 + p(x)y 0 + q(x)y = 0

(a) The difference of two solutions of the non-homogeneous DE on some open

interval I is a solution of the corresponding homogeneous DE on I.

(b) The sum of a solution of the non-homogeneous DE on I and a solution

of the corresponding homogeneous DE on I is a solution of the nonhomogeneous DE on I.

7.1.1

linear DE

y 00 + p(x)y 0 + q(x)y = r(x)

on an open interval I has the form:

y(x) = yh (x) + yp (x).

Where yh (x) is a general solution on I of the corresponding homogeneous

DE:

y 00 + p(x)y 0 + q(x)y = 0

which is given by:

yh (x) = c1 y1 (x) + c2 y2 (x)

And yp (x) is any solution of the non-homogeneous DE on I with arbitrary

constants.

106

Particular solution

A particular solution of the non-homogeneous DE is obtained by giving values to the constants c1 and c2 .

7.2

As we have just seen, a general solution of the non-homogeneous linear

y 00 + p(x)y 0 + q(x)y = r(x)

has the form:

y(x) = yh (x) + yp (x)

where yh (x) is a general solution of the corresponding homogeneous DE and

yp (x) is any solution of the non-homogeneous DE.

So, our main task now is to find yp !

The method of undetermined coefficients can be used with DEs of the type:

y 00 + ay 0 + by = r(x)

where a and b are constant coefficients and r(x) are:

exponential functions,

polynomials,

cosines,

sines,

sums or products of the above functions.

The reason is that these types of r(x) have derivatives similar to r(x) itself.

So, the basic idea is to use as a particular solution yp a function similar to

r(x) which involves unknown coefficients to be determined.

To use this method do the following:

(a) First of all, make sure that the DE has constant coefficients and that r(x)

is one of the functions listed in the first column of the table below.

(b) Solve the corresponding homogeneous DE (set r(x) = 0).

(c) Establish the correct form of yp by looking at the form of r(x). Then

If one of the terms of your choice of yp happens to be a solution of the

corresponding homogeneous equation, then multiply your choice of

yp by x (or by x2 if this solution is a double root of the corresponding

homogeneous equation).

107

if r(x) consists of the sum of several of the functions listed in the table,

then choose for yp the sum of the functions in the corresponding lines

of the second column.

(d) Since we want yp00 + ayp0 + byp = r(x), then we set the corresponding

coefficients of LHS and RHS equal to each other and form a system of

linear equations.

(e) By solving the system of linear equations we find the coefficients of yp .

The good thing in all this is that if you choose the wrong form of yp this

method will lead to a contradiction.

The table below gives the form of a particular solution yp when the DE has

constant coefficients.

Term in r(x)

Choice for yp

kex

Cex

kxn (n = 0, 1, )

Kn xn + Kn1 xn1 + + K1 x + K0

k cos(x)

K cos(x) + M sin(x)

k sin(x)

ke

ke

7.2.1

K cos(x) + M sin(x)

cos(x)

sin(x)

[K cos(x) + M sin(x)]

[K cos(x) + M sin(x)]

DE:

y 00 + 2y = 4x3 .

Solution

This is a second order linear non-homogeneous DE with constant coefficients.

The function r(x) is of the right type to apply the method of undetermined

coefficients.

We first have to solve the corresponding homogeneous DE:

y 00 + 2y = 0.

The characteristic equation is:

2 + 2 = 0

with complex roots:

1 = i 2,

2 = i 2.

108

Now we have to find a particular solution yp of the non-homogeneous DE.

After looking at the table, we choose:

yp = K3 x3 + K2 x2 + K1 x + K0 .

So:

yp0

3K3 x2 + 2K2 x + K1 ,

yp00

6K3 x + 2K2 .

6K3 x + 2K2 + 2(K3 x3 + K2 x2 + K1 x + K0 ) = 4x3 .

Equate the coefficients of x3 , x2 , x and x0 on both sides:

2K3

2K2

6K3 + 2K1

2K2 + 2K0

yp (x) = 2x3 6x

and a general solution to the non-homogeneous DE is:

of:

2y 00 + y 0 y = 9x2 e2x .

Solution

We divide by 2 and solve the corresponding homogeneous DE first:

y 00 +

y

y0

=0

2

2

2 +

1

=0

2

2

109

A general solution to the homogeneous DE is:

yh (x) = c1 ex + c2 ex/2 .

Now we need a particular solution to the non-homogeneous DE. The function

r(x) = 9x2 e2x is the product of terms like those listed in the first column of the

table, that is, an exponential function and a polynomial. We should choose the

following yp :

yp = e2x (K2 x2 + K1 x + K0 ).

Lets differentiate to find yp0 and yp00 :

yp0

yp00

4e2x (K2 + 4K2 x + 2K1 + 2K2 x2 + 2K1 x + 2K0 )+

e2x (2K2 x + K1 + 2K2 x2 + 2K1 x + 2K0 )

e2x (K2 x2 + K1 x + K0 ) =9x2 e2x

that is:

e2x (4K2 + 18K2 x + 9K1 + 9K2 x2 + 9K1 x + 9K0 ) = 9x2 e2x .

So:

9K2

9,

18K2 + 9K1

0,

.0

yp (x) = e2x (x2 2x +

14

).

9

y(x) = yh (x) + yp (x) = c1 ex + c2 ex/2 + e2x (x2 2x +

110

14

).

9

7.3

The method that we saw in the earlier section only applied to DEs with

constant coefficients and special functions r(x) on the RHS.

We are now going to see a much more general (though much more complicated) way to solve second order non-homogeneous linear differential equations.

This method is called method of variations of parameters and works as follows.

Consider:

y 00 + p(x)y 0 + q(x)y = r(x)

where p(x), q(x) and r(x) are continuous functions of any kind on some interval

I.

A particular solution is given by:

Z

Z

y1 (x)r(x)

y2 (x)r(x)

dx + y2 (x)

dx

yp (x) = y1 (x)

W (y1 , y2 )

W (y1 , y2 )

where y1 (x) and y2 (x) are linearly independent solutions of the corresponding

homogeneous DE:

y 00 + p(x)y 0 + q(x)y = 0

and

W (y1 , y2 ) = y1 (x)y20 (x) y2 (x)y10 (x)

is the Wronskian of y1 (x) and y2 (x).

This appears to be simple enough, but unfortunately, the integral in the

expression above is often difficult to solve.

Where does the above expression come from?

Well, assume that you have found two linearly independent solutions of the

corresponding homogeneous DE y1 (x) and y2 (x), so that its general solution is:

yh (x) = c1 y1 (x) + c2 y2 (x).

Thus, any particular solution yp (x) to the non-homogeneous must have the

property:

yp

yp

6= constant

and

6 constant

=

y1

y2

which means that

yp (x) = u(x)y1 (x) + v(x)y2 (x).

Take the first derivative:

yp0 (x) = u0 (x)y1 (x) + u(x)y10 (x) + v 0 (x)y2 (x) + v(x)y20 (x).

Now, if we take the second derivative of this expression and then we insert it

in the DE, we would end up with a second order linear DE in v 00 (x) and u00 (x),

thus something much more complicated than the DE we started off with!

111

u0 (x)y1 (x) + v 0 (x)y2 (x) = 0

and we get

yp0 (x) = u(x)y10 (x) + v(x)y20 (x).

Take now the second derivative:

yp00 (x) = u0 (x)y10 (x) + u(x)y100 (x) + v 0 (x)y20 (x) + v(x)y200 (x).

With these derivatives the DE becomes:

u(y100 + py10 + qy1 ) + v(y200 + py20 + qy2 ) + u0 y10 + v 0 y20 = r.

Since y1 and y2 are solutions of the corresponding homogeneous DE, then

the equation above reduces to:

u0 y10 + v 0 y20 = r

This equation together with the condition imposed previously:

u0 y1 + v 0 y2 = 0

form a system of two algebraic equations for the unknown functions u0 and v 0 .

These equations uniquely determine u0 (x) and v 0 (x), so that u(x) and v(x) can

be obtained by integration.

Now multiply the first of these two equation by y2 and the second by y20 ,

and then add to find u0 (x):

y2 u0 y10 + y2 v 0 y20

= y2 r

y20 u0 y1 y20 v 0 y2

u0 (y1 y20 y2 y10 )

u0 W (y1 , y2 )

= y2 r

= y2 r.

Similarly, if we now multiply the first equation by y1 and the second by y10

and add we get:

Thus:

u0 =

y1 u0 y10 + y1 v 0 y20

y1 r

y10 u0 y1 y10 v 0 y2

v 0 (y1 y20 y2 y10 )

v 0 W (y1 , y2 )

y1 r

y1 r.

y2 (x)r(x)

,

W (y1 (x), y2 (x))

112

v0 =

y1 (x)r(x)

.

W (y1 (x), y2 (x))

All we need to do now is to integrate to find u and v:

Z

Z

y2 (x)r(x)

y1 (x)r(x)

u=

dx,

v=

dx.

W (y1 (x), y2 (x))

W (y1 (x), y2 (x))

These integrals exist because the function r(x) is continuous. Therefore, a

particular solution is given by:

yp (x) = u(x)y1 (x) + v(x)y2 (x).

7.3.1

y 00 + y = tan x.

Solution

Here, we cannot use the method of undetermined coefficients, since the function r(x) = tan x is not of the right type to apply this method. To solve this

DE, we first must find the general solution to the corresponding homogeneous

DE:

y 00 + y = 0.

The characteristic equation is:

2 + 1 = 0

with roots 1 = i and 1 = i. Thus the solutions are:

y1 (x) = cos(x),

The Wronskian is:

y

W (y1 , y2 ) = 10

y1

y2 (x) = sin(x).

y2 cos x

sin x

=

y20 sin x cos x

= cos2 x + sin2 x = 1

u0 =

sin2 x

1 cos2 x

y2 r

=

=

= sec x + cos x

W (y1 , y2 )

cos x

cos x

and:

v0 =

y1 r

= cos x tan x = sin x.

W (y1 , y2 )

113

Z

u(x) = [ sec x + cos x] dx = sin x log | sec x + tan x|

and

Z

v(x) =

sin x dx = cos x.

yp (x)

y(x)

7.4

yh (x) + yp (x)

Forced Oscillations

We have already seen that the free motion of a mass-spring system is dictated

by the homogeneous linear DE:

my 00 + cy 0 + ky = 0

where y is the displacement of the body from the rest position, m is the mass

of the body, my 00 is the force of inertia, cy 0 is the damping force and ky is the

spring force.

We can model forced motions by adding the contribution of an external force

r(t) acting on the body:

my 00 + cy 0 + ky = r(t).

The term r(t) is called the input term or driving force. The solution is called

an output or a response of the system to the driving force.

Particularly interesting are those inputs that are period (periodic inputs), so

we will look at the case where the driving force is:

r(t) = F0 cos(t)

(F0 > 0,

> 0).

my 00 + cy 0 + ky = F0 cos(t)

114

y(t) = yh (t) + yp (t)

where yh (t) is the solution to the corresponding homogeneous DE and yp (t) is

a particular solution to the non-homogeneous DE.

We already know yh (t), so now we have to find yp (t).

We can use the method of undetermined coefficients. A look at the usual

table suggests that we should use:

yp = a cos(t) + b sin(t).

Lets differentiate yp to find yp0 and yp00 :

yp0

a sin(t) + b cos(t),

yp00

2 a cos(t) 2 b sin(t).

m 2 a cos(t) 2 b sin(t) + c [a sin(t) + b cos(t)]

+ k [a cos(t) + b sin(t)]

= F0 cos(t).

Collect the terms with cos and sin and we get:

(k m 2 )a + cb cos(t) + (k m 2 )b ca sin(t) = F0 cos(t).

Now we can equate the various coefficients to find a and b:

(k m 2 )a

ca

cb = F0

(k m 2 )b

0.

We can use Cramers rule (if you have forgotten how to use this rule, have

a look at 6.6 of Kreyszig) to solve this linear system:

F0 c

2

0

(k m )

(k m 2 )F0

=

.

a=

2

(k m 2 )2 + 2 c2

(k m ) c

c

(k m 2 )

b =

(k m 2 ) F0

c

0

(k m 2 ) c

c

(k m 2 )

F0 c

=

.

2 )2 + 2 c2

(k

2 2

2 2

which is OK provided

p that (k m ) + c 6= 0.

Now set 0 = k/m so we get (check!):

a = F0

m(02 2 )

,

m2 (02 2 )2 + 2 c2

b = F0

115

c

.

m2 (02 2 )2 + 2 c2

my 00 + cy 0 + ky = F0 cos(t)

is:

yp (t) = a cos(t) + b sin(t)

where the coefficients a and b are given above.

7.4.1

If c = 0, then there is no damping and the constant a and b become:

a =

b =

m( 2 2 )

F0

m(02 2 )

= F0 2 02

=

,

2

2

2

2

) + c

m (0 2 )2

m(02 2 )

c

F0 2 2

= 0.

m (0 2 )2 + 2 c2

F0

m2 (02

y(t) = yh (t) + yp (t)

=

=

F0

Cet cos(0 t ) +

cos(t).

m(02 2 )

As you can see, what we have here is the superposition of two harmonic

oscillations with frequencies 0 /2 cycles per second (the natural frequency of

the system) and /2 cycles per second of the input.

Since k = m02 , the amplitude of yp can be written as:

a=

F0

,

k

where

=

1

1

2 .

the input frequency () we have resonance which is of crucial importance in the

study of vibrating systems. The quantity is called the resonance factor.

In the case of resonance, c = 0 and = 0 and the DE can be written:

my 00 + ky = F0 cos(0 t).

The solution to the homogeneous equation is:

yh (t) = C cos(0 t ),

but now a particular solution of the non-homogeneous DE has to be multiplied

by t, since the obvious choice of yp (see the famous table) happens also to be a

solution of the corresponding homogeneous DE. So:

yp (t) = t [a cos(0 t) + b sin(0 t)] .

116

F0 /2m0 (check!) and:

yp (t) =

F0

t sin(0 t).

2m0

40

20

10

20

30

40

50

-20

-40

We see that as the time t goes by, yp (t) becomes larger and larger! This

means that if there is very little damping (c 0), the system may undergo

vibrations so large that can destroy it (see Figure 46). For structures (e.g.

buildings, bridges) this can have very dangerous implications so that engineers

and architects must watch out for resonance.

Two very famous cases when resonance proved to be disastrous are:

(a) Broughton Suspension Bridge (near Manchaster, England) in 1831. A

column of soldiers marching on the bridge setup a periodic force whose

frequency was too close to one of the natural frequencies of the bridge, so

the bridge collapsed. These days soldiers break steps when they cross a

bridge.

(b) Tacoma Narrows Bridge (Washington) in 1940. This bridge was opened

on the 1st of July 1940 and from the very first day it started oscillating

vertically (it was nicknamed Galloping Gertie and people used to travel

117

the 7th of November the bridged cracked up and finally collapsed. See

figures 47 and 48

7.4.2

The main objective of the NASA Tethered Satellite System (TSS) was to

show that satellites can be deployed, stabilised, and retrieved on a long tether

in space (up to 20km long!) and that an electrically conducting system can be

operated successfully. This is a very challenging engineering goal, because of all

the different forces acting on the satellite and Space Shuttle. These are gravity,

centrifugal force, and atmospheric drag which vary with altitude and thus are

different on each of the two bodies in a tethered system.

The Space Shuttle orbits around the Earth at a speed of about 7.6 km per

second. Such a speed is necessary to balance gravity and centrifugal force.

However, if the altitude is changed, the two forces do not balance any longer

unless the Shuttle also changes its speed. If it moves upwards, it has to slow

down. If it moves downwards, it has to speed up to balance gravity. So, two

unlinked satellites which travel at different altitudes will have the one at higher

altitude travelling more slowly than the other. See figures 49 and 50

If now we connect the two satellites with a tether, the two bodies are forced

to travel together. Thus, the higher altitude satellite will travel too fast for its

orbit and the other too slowly. The tether will prevent the lower satellite from

falling back to Earth and the upper satellite from moving to a higher orbit. This

will create a tension in the tether.

118

Figure 49: Satellite and Space Shuttle are not linked and travel at different

altitudes and thus speeds.

In such a linked system, the tether linking the satellite to the Shuttle can:

compress and stretch, causing the satellite to bounce up and down (longitudinal oscillations) (see Figure 51)

move in a circular (skip-rope) motion. (see Figure 51)

develop wave-like motions (transverse oscillations) (see Figure 52).

Furthermore, the satellite may start rocking back and forth about its attachment point (pendulous motion). See Figure 52.

All the motions listed above have their own frequencies, which depend on

the length and tension of the tether. If the frequencies are all different, they do

119

Figure 50: Satellite and Space Shuttle are linked and travel at different altitudes, but at the same speed. Thus, a tension is created in the tether (http://

science.ksc.nasa.gov/shuttle/missions/sts-75/mission-sts-75.html).

not cause any harm, but if some of them become close to each other, we can

have resonance.

The oscillations could be caused by the motion of the satellite or Shuttle.

Also, the conductive tether system produces an electrical current, which, in

turn, produces a magnetic field around the tether. This field will interact with

the Earths magnetic field, resulting in a force that may produce skip-rope type

oscillations.

Obviously, it is very important to keep control of a tethered satellite, thats

why much study has gone into identifying the different types of possible motions

and the methods used to control them.

7.4.3

Application: Beats

Beats

Something else happens when 0 .

Consider the IVP given by the general solution of forced mechanical oscillations:

y(t) = C cos(0 t ) +

F0

cos(t),

2 )

m(02

y(0) = 0, y 0 (0) = 0.

y 0 (t) = C0 sin(0 t )

120

F0

sin(t).

m(02 2 )

//liftoff.msfc.nasa.gov/academy/TETHER/dynamics.html).

//liftoff.msfc.nasa.gov/academy/TETHER/dynamics.html).

121

F0

m(02 2 )

= C0 sin()

= C cos() +

0

which gives:

C cos()

C0 sin()

=

=

F0

,

m(02 2 )

0.

So:

C=

= 0,

Therefore:

y(t) =

F0

.

2 )

m(02

F0

[cos(t) cos(0 t)]

2 )

m(02

y(t) =

2F0

sin

m(02 2 )

0 +

0

t sin

t .

2

2

Now, since

0 , then 0 is small and the period of the term

sin 02 t is large (P = 2/(0 )/2) and we obtain an oscillation of the

type shown in Figure 53. Forced undamped oscillations with 0 produce

the phenomenon called beats.

7.4.4

Damped oscillations

Consider again:

my 00 + cy 0 + ky = F0 cos(t)

with general solution:

y(t) = yh (t) + yp (t)

where yh (t) is the general solution of the corresponding homogeneous DE.

We saw earlier in this course that in the case of underdamping this is given

by:

yh (t) = et (A cos( t) + B sin( t))

where:

c

=

2m

r

and

122

k

c2

.

m 4m2

0.5

50

100

150

200

250

300

-0.5

-1

We have also already seen that a particular solution yp (t) to the non-homogeneous

DE with c 6= 0 is:

yp (t) = a cos(t) + b sin(t)

where the coefficients a and b are:

a = F0

m(02 2 )

,

m2 (02 2 )2 + 2 c2

b = F0

m2 (02

c

.

2 )2 + 2 c2

yp (t) = C cos(t )

where C (which is the amplitude of yp (t)) and the angle are (check!):

F0

C ()

p

a2 + b2 = p

tan

b

c

=

.

a

m(02 2 )

m2 (02

2 )2 + 2 c2

y(t) = yh (t) + yp (t) = Cet cos( t ) + C cos(t ).

123

One can see that the solution consists of two terms: the first term (yh (t))

represents damped oscillations and depends only on the parameters of the system and initial conditions. The damping factor et 0 when t . For this

reason, this term is called the transient part of the solution. The second term

(yp (t)) is due to the external force r(t) = F0 cos(t). Note that yp (t) is out of

phase with r(t) by an angle which is called the phase angle or phase lag since

it measures the lag of the output behind the input. Also, the magnitude of r(t)

is different from the magnitude of yp (t) by a factor C /F0 :

1

p

m2 (02

2 )2 + 2 c2

As time t goes by, the motion of the mass-spring system becomes increasingly

dominated by the yp (t) term, since the yh (t) term dies down exponentially.

Therefore, the yp (t) term is called the steady-state solution. This means that

after a sufficiently long time the output corresponding to a sinusoidal input will

be a harmonic oscillation with frequency equal to that of the input (see Figure

54).

0.06

0.04

0.02

10

12

14

-0.02

Figure 54: Behaviour of yh (t) (magenta curve), yp (t) (blue curve) and y(t) =

yh (t) + yp (t) (red curve) as a function of time t. As you can see, y(t) converges

to yp (t) at sufficiently large values of t.

124

For a given system (for which m, k and c are fixed), it may be interesting

to see how this would react to a certain sinusoidal input of frequency . For

this purpose, one can graph the amplitude C of the output as a function of .

This graph is called the frequency response curve or resonance curve.

If the input frequency = 0, then the applied force is constant (F0 cos(t) =

F0 ), there is no motion in the steady-state and C () = F0 /(m0 ) = F0 /k.

Also, if , then C () 0 since the inertia of the system doesnt

allow a response to vibrations that are too rapid.

Lets study further the amplitude term C () of the steady-state term by

looking for the maximum value obtained by this term.

We can do so by taking the derivative of C () and then by setting it equal

to zero:

"

#

d

F0

dC ()

p

=

=0

d

d

m2 (02 2 )2 + 2 c2

which gives:

F0 (4m2 0 2 + 4m2 3 + 2c2 )

2

(m 0 4 2m2 0 2 2 + m2 4 + 2 c2 )3/2

= 0.

Thus:

2m2 (02 2 ) + c2 = 0

which is verified when

r

=0

or

02

c2

.

2m2

quantity under square root becomes negative, so dC /d = 0 only if = 0. In

this case, as increases from 0 to , C () decreases from C (0) = F0 /k to

zero.

If the system is underdamped (c2 2mk), then the quantity under square

root is positive and C () has a maximum at

r

c2

max = 02

.

2m2

If we insert this value into the expression for C () we obtain:

2mF0

C (max ) = p

.

c 4m2 02 c2

You can see that C (max ) as c 0, in agreement with our previous

results. The value max /2 is called the resonance frequency for the system.

Thus, if a system is stimulated by an external force at this frequency, it is said

to be at resonance.

In Figure 55 it is shown a frequency response curve obtained for different

values of the damping constant c.

125

0.5

1

omeg

1.5

of obtained by setting m = k = 1. The curves (from bottom to the top)

correspond to a damping constant c = 3, 2, 1, 1/2, 1/4, 1/8

126

7.5

Modelling: RCL-circuit

Lets look again at Kirchoffs voltage law. This states that the algebraic sum

of the voltage drops around any closed loop of a circuit is zero. So, if E(t) is

the externally imposed drop in voltage (electromotive force), which is provided

by a generator or battery, then (see Figure 56):

E(t) = (Vd Va ) = (Vb Va ) + (Vc Vb ) + (Vd Vc ).

The above identity can be written as:

Z

dI

1

RI + L

+

I dt = E(t).

dt

C

a derivative of the unknown function I.

To eliminate the integral, differentiate with respect to the time t:

Z

d

1

dI

dE(t)

+

I dt

RI + L

=

dt

dt

C

dt

2

dI

d I

I

dE(t)

R

+L 2 +

=

dt

dt

C

dt

dI

I

dE(t)

d2 I

+

=

L 2 +R

dt

dt

C

dt

which is a non-homogeneous second-order linear differential equation.

For a sinusoidal electromotive force E(t) = E0 sin(t), the DE becomes:

L

d2 I

dI

I

+R

+

= E0 cos(t).

2

dt

dt

C

127

LI 00 + RI 0 + C1 I = E0 cos(t)

Current I

Inductance L

Resistance R

my 00 + cy 0 + ky = F0 cos(t)

Displacement y

Mass m

Damping constant c

Spring modulus k

Driving force

F0 cos(t)

1

C

Derivative E0 cos(t) of

electromotive force

This differential equation has the same form as that seen in the context of

a mechanical system!! The analogy between mechanical and electrical systems

is given in Table 1.

Note that since:

Z

dQ

dI

d2 Q

I=

,

= 2,

I dt = Q,

dt

dt

dt

then

Z

dI

1

+

I dt

dt

C

dQ

d2 Q Q

R

+L 2 +

dt

dt

C

dQ Q

d2 Q

+

L 2 +R

dt

dt

C

RI + L

E0 sin(t)

E0 sin(t)

E0 sin(t).

In practical electrical engineering problems, the current I(t) is more important than Q(t), so we will work with

L

dI

I

d2 I

+R

+

= E0 cos(t).

dt2

dt

C

To solve this DE we must find a general solution to the corresponding homogeneous DE and a particular solution to the non-homogeneous DE:

I(t) = Ih (t) + Ip (t).

The corresponding homogeneous DE is:

d2 I

R dI

I

+

+

=0

2

dt

L dt

LC

with characteristic equation:

2 +

1

R

+

=0

L

CL

128

with roots:

q

1 =

R

+

2L

R2

4L

C

2 =

2L

2L

R2

4L

C

2L

There are three different cases:

4L

C

(3) Under-damping R2 <

4L

C

4L

C

If we set:

q

R2 4L

R

C

,

=

=

2L

2L

then 1 = + and 2 = and the general solution is:

Ih (t) = c1 e()t + c2 e(+)t .

As you can see, both exponents are negative, since > 0, > 0 and

2 = 2 1/LC < 2 . Thus, in all three cases, the general solution Ih (t) 0

as t .

A particular solution Ip (t) to the non-homogeneous can be found using the

method of undetermined coefficients. A look at the usual table tells us to use:

Ip (t) = a cos(t) + b sin(t).

Calculate the derivatives:

Ip0 (t) = (a sin(t) + b cos(t)),

Ip00 (t) = 2 (a cos(t) b sin(t)).

Substitute these into the DE, then collect the cosine terms and set them

equal to E0 cos(t). Then take the sine terms and set them equal to zero:

a

C

b

2

L (b) + R(a) +

C

L 2 (a) + Rb +

E0

0.

a=

E0 S

,

R2 + S 2

b=

129

E0 R

.

R2 + S 2

S = L

1

.

C

Ip (t) = I0 sin(t )

where:

p

E0

a

S

a2 + b2 =

,

tan = = .

2

2

b

R

R +S

So, a general solution to the non-homogeneous DE is:

I0 =

After a sufficiently long time, the transient current Ih (t) 0 and the current

tends to the steady-state current Ip (t). Thus, after some time the output will

be a harmonic oscillation whose frequency is that of the input. See Figure 57.

1.5

0.5

0.005

0.01

t

0.015

0.02

-0.5

-1

-1.5

Figure 57: Transient current (red curve), steady-state current (blue curve) and

sum of the two currents (magenta curve) in a RLC circuit with sinusoidal electromotive force. You can see that after a very short time the current will oscillate

at the input frequency.

130

Finally, if the system is under-damped (R2 < 4L/C), then the frequency

response curve has a maximum at (like in mechanical systems):

r

1

R2

max =

.

LC

2L2

So, if a periodic voltage E(t) with the same frequency max were impressed

on the circuit, the electrical system would be in resonance.

7.6

We suppose that buyers and sellers in a market adapt their behaviour according to the current rate of change in price (its inflation) and to the rate of

d2 p

change of inflation. If p is the price, dp

dt is the inflation and dt2 is the rate of

change of inflation. Therefore the a consumers demand for a commodity is given

by

dp

d2 p

demand = p + m + n 2 ,

dt

dt

and supply of a commodity is be given by

supply = + p + u

dp

d2 p

+v 2,

dt

dt

Notice that m > 0 implies that rising prices cause demand to increase relative

to the initial model p. The economic interpretation is that buyers will

prefer to buy early in anticipation of higher prices later; by bringing forward

their orders they boost current demand.

If we assume that supply = demand,

p + m

dp

d2 p

dp

d2 p

+ n 2 = + p + u + v 2 ,

dt

dt

dt

dt

or

d2 p

dp

+ (m u) ( )p = ( + ).

dt2

dt

So, as with our previous examples, the solution will be oscillatory and we

can look at different choice of parameters to determine if the market will be

stable or unstable.

(n v)

131

Lets consider now linear differential equations of arbitrary order n. Their

standard form is:

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = r(x).

If r(x) 6= 0 the DE is called non-homogeneous.

If r(x) = 0, then we have:

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = 0

and the DE is called homogeneous.

8.1

8.1.1

Definitions and notation

Consider

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = 0.

A general solution for this homogeneous DE on an open interval I has the

form:

y(x) = c1 y1 (x) + c2 y2 (x) + c3 y3 (x) + cn yn (x)

where c1 , c2 , c3 , cn are arbitrary constants and y1 , y2 , y3 yn are linearly

independent solutions of the DE on I.

Wronskian

If the coefficients p0 (x), p1 (x) pn1 (x) of the homogeneous DE are continuous functions on some open interval I, then the n solutions y1 , y2 , y3 yn

are linearly independent on I if their Wronskian is different from zero on I.

That is:

y1

y2

y3

yn

0

0

0

0

y1

y

y

y

n

2

3

00

00

00

00

y1

y

y

y

n

2

3

W (y1 , y2 , , yn ) =

6= 0.

..

..

..

..

..

.

.

.

.

.

(n1)

(n1)

(n1)

(n1)

y

yn

y

y

1

132

8.1.2

constant coefficients

Constant coefficients

If a linear DE has constant coefficients:

y (n) + an1 y (n1) + an2 y (n2) + a1 y 0 + a0 y = 0

then it has the characteristic equation:

(n) + an1 (n1) + an2 (n2) + a1 + a0 = 0

and to find the solutions of the DE we must determine the roots of the characteristic equation.

This will generally require a numerical root-finding method.

Real and distinct roots

If all the n roots are real and distinct, then the general solution is given by:

y(x) = c1 e1 x + c2 e2 x + cn en x .

If there are multiple real roots, say, = 1 = 2 , then the two linearly

independent solutions corresponding to this root are:

y1 (x) = ex

and

y2 (x) = xex .

independent solutions are:

y1 (x) = ex ,

y2 (x) = xex ,

ym (x) = xm1 ex .

Complex roots

If there are simple complex roots, they occur in conjugate pairs, that is, if

= + i is a root, then = i is also a root and the two corresponding

linearly independent solutions are:

y1 (x) = ex cos(x)

and

y2 (x) = ex sin(x).

Finally, if there are multiple complex roots (say three for example) the corresponding six linearly independent solutions are:

y1 (x)

= ex cos(x),

y3 (x)

= xex cos(x),

y5 (x)

2 x

= x e

y2 (x) = ex sin(x),

y4 (x) = xex sin(x),

cos(x),

133

y6 (x) = x2 ex sin(x).

8.1.3

y 000 3y 0 2y = 0.

Solution

The characteristic equation is:

3 3 2 = 0

which we can re-write as follows:

( + 1)2 ( 2) = 0.

Thus, we have a double root at = 1 and a simple root at = 2. The

general solution is:

y(x) = c1 ex + c2 xex + c3 e2x .

y 000 + y 0 = 0.

Solution

The characteristic equation is:

3 + = 0

which we can re-write as follows:

(2 + 1) = 0

with roots = 0, = i and = i.

Thus, the general solution is:

y(x) = c1 + c2 cos x + c3 sin x.

8.1.4

An Initial Value Problems consists of the DE itself and n initial conditions:

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = 0,

y(x0 ) = K0 ,

y 0 (x0 ) = K1 ,

y 00 (x0 ) = K2 ,

134

8.2

Consider

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = r(x).

A general solution of this non-homogeneous DE on an open interval I has

the form (same as for second order equations):

y(x) = yh (x) + yp (x)

where

yh (x) = c1 y1 (x) + c2 y2 (x) + c3 y3 (x) + + cn yn (x)

is a general solution on I of the corresponding homogeneous DE and yp (x) is any

particular solution on I (with no arbitrary constants) of the non-homogeneous

DE.

8.2.1

The problem now is how to find a particular solution. Fortunately, provided

that r(x) is a function of a special type (cos, sin, exp, etc.), we can still use the

method of undetermined coefficients. The following example illustrates how this

method can be used to solve a third order DE.

8.2.2

y 000 3y 0 2y = 3ex .

Solution

We saw in a previous example that the general solution of the corresponding

homogeneous is:

yh (x) = c1 ex + c2 xex + c3 e2x .

Since both ex and xex are solutions of the corresponding homogeneous,

we will look for a particular solution yp (x) of the form

Ax2 ex

where A is a constant to be determined.

Thus:

yp0

yp00

= Aex (x2 4x + 2)

yp000

= Aex (x2 + 6x 6)

135

Aex (x2 + 6x 6 + 3x2 6x 2x2 ) = 6Aex = 3ex .

Therefore:

1

3 = 6A A = .

2

yp (x) =

x2 x

e .

2

y(x) = c1 ex + c2 xex + c3 e2x

8.2.3

x2 x

e .

2

Variation of parameters

The method of variation of parameters also extends to nth order non-homogeneous

DEs:

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = r(x).

A particular solution on I to the non-homogeneous equation with continuous

coefficients is given by the formula:

Z

Z

W1 (x)r(x)

W2 (x)r(x)

yp (x) = y1 (x)

dx + y2 (x)

dx

W (x)

W (x)

Z

Wn (x)r(x)

+ + yn (x)

dx

W (x)

where y1 , y2 , yn are linearly independent solutions on I of the corresponding

homogeneous DE and W is their Wronskian. The Wj with j = 1 n are obtained from W by replacing the j th column of W with the column [0 0 0 1]T .

You can see that when n = 2 we have:

y y2

,

W (y1 , y2 ) = 10

y1 y20

0

W1 =

1

y2

= y2 ,

y20

y

W2 = 10

y1

0

= y1 ,

1

which is the result that we found earlier for second order linear non-homogeneous

DEs.

136

8.2.4

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = r(x),

y(x0 ) = K0 ,

y 0 (x0 ) = K1 ,

y 00 (x0 ) = K2 ,

137

9

9.1

Systems of differential equations: what are they?

application.

9.1.1

Modelling: predator-prey

Model description

Consider two populations of animals, one of which preys the other. For

example, foxes and rabbits (or snakes and toads as shown in Figures 58 and

59). The population of foxes at time t will be denoted x(t) and the population

of rabbits at time t will be denoted y(t).

We will assume plenty of space and food for the rabbits, so that in the

absence of foxes they would grow exponentially. The foxes use rabbits as their

food sources, so in the absence of rabbits they would decline exponentially.

Thus, if there were no interaction between the two species we would have:

dx

dt

dy

dt

kx

my

where k is the death rate of foxes and m is the birth rate of rabbits.

Now we assume that the interaction of rabbits and foxes is jointly proportional to both populations, that is, it is proportional to xy.

dx

dt

dy

dt

kx + bxy

my cxy

or:

dx

dt

dy

dt

= x(k + by)

= y(m cx)

here, b and c are also constants. These are the Lotka-Volterra Predator-Prey

equations.

9.1.2

Matlab implementation

Lets enter the Predator-Prey equations in Matlab:

% P r e d a t o r Prey model

138

Figure 58: Prairie Rattlesnake (a predator?). Credit: U.S. Fish and Wildlife

Service U.S. Fish and Wildlife Service/photo by Photographer Bill Iko

Figure 59: Wyoming Toad in the grass (a prey?). Credit: U.S. Fish and Wildlife

Service U.S. Fish and Wildlife Service/photo by Photographer:Amy Hopperstad

139

% d e f i n e t h e r i g h t hand s i d e f u n c t i o n

f u n c t i o n rhs = pred_prey ( t , z )

global k b m c

rhs =[z ( 1 ) (k+bz ( 2 ) ) ; z ( 2 ) ( mcz ( 1 ) ) ] ;

We will replace the symbolic constants k, m, b and c by numeric ones. We

can choose: k=1; m=1; b=0.01; c=0.01;

We can now plot the solutions

% s e t the i n i t i a l c o n d i t i o n s

z0 = [ 4 0 ; 4 0 ] ;

% evaluate the s o l u t i o n at these points

ts= [ 0 : 0 . 1 : 1 0 ] ;

% s e t the parameters

global k m b c

k=1; m=1; b = 0 . 0 1 ; c = 0 . 0 1 ;

% s o l v e t h e ODE

[ t , z]= ode45 ( @pred_prey , ts , z0 ) ;

% p l o t the s o l u t i o n

plot (t , z (: ,1) )

t i t l e ( ' Changes i n Fox P o p u l a t i o n ' )

xlabel ( ' t ' )

y l a b e l ( ' Foxes ' )

The plot is shown in Figure 60.

Lets see what happens to the rabbits population. All we need to do is use

the following few lines

% p l o t the s o l u t i o n

plot (t , z (: ,2) )

t i t l e ( ' Changes i n Rabbit P o p u l a t i o n ' )

xlabel ( ' t ' )

y l a b e l ( ' Rabbits ' )

The plot is shown in Figure 61.

If we want to plot the behaviour of both populations together on the same

plot, then once again only have to make a minor modification

% p l o t the s o l u t i o n

plot (t , z (: ,1) , t , z (: ,2) )

t i t l e ( ' Rabbits and Foxes o v e r time ' )

xlabel ( ' t ' )

140

300

250

Foxes

200

150

100

50

5

t

10

the fox population, so the foxes decrease. However, since there arent

enough foxes to control the rabbits, the rabbit population increases. At

t 1.5 the number of rabbits has increased to a level where they can

support the foxes.

Time t 1.5 2.5. There are enough rabbits now to support the foxes,

so the foxes go on increasing. Their population is still too low to control

the rabbits, so the rabbits also increase. At t 2.5, the population of

foxes becomes large enough to control the rabbits.

Time t 2.5 4. There are now enough foxes to cause the number of

rabbits to decrease. There are still enough rabbits to support the foxes,

so the foxes go on increasing. At t 4, the rabbit population finally falls

too low to support the foxes anymore.

Time t 4 5.5. The population of foxes is falling, but it is still large

enough to control the rabbits, so the population of rabbits is falling too.

At t 5.5, the population of foxes falls low enough to stop controlling the

rabbits.

Time t 5.5 7.5. The population of foxes continues to fall and the

population of rabbits to rise until they appear to reach the same values

141

300

250

Rabbits

200

150

100

50

5

t

10

(40 and 40) as we started with. If they reach the same values (at the same

time), then the entire process will repeat cyclically forever.

We can shed some light on this by making a graph of y against x (this is a

parametric graph, where t is the parameter).

% p l o t the s o l u t i o n

plot (z (: ,1) , z (: ,2) )

x l a b e l ( ' Foxes ' )

y l a b e l ( ' Rabbits ' )

This graph, in Figure 63, does indeed go round in a closed loop, verifying

the cyclic nature of the process.

Lets see what happens if we start with different initial conditions.

% evaluate the s o l u t i o n at these points

ts= [ 0 : 0 . 1 : 1 0 ] ;

% s e t the parameters

global k m b c

k=1; m=1; b = 0 . 0 1 ; c = 0 . 0 1 ;

% try d i f f e r e n t i n i t i a l conditions

for i = 1:5

142

300

250

200

150

100

50

10

t

12

14

16

18

20

months).

143

300

250

Rabbits

200

150

100

50

50

100

150

Foxes

200

250

300

was obtained for x(0) = 40 and y(0) = 40.

144

% s o l v e t h e ODE

[ t , z]= ode45 ( @pred_prey , ts , [ 1 0 i 10 i ] ) ;

% p l o t the s o l u t i o n

plot (z (: ,1) , z (: ,2) )

h o l d on

end

x l a b e l ( ' Foxes ' )

y l a b e l ( ' Rabbits ' )

h o l d off

600

500

Rabbits

400

300

200

100

100

200

300

Foxes

400

500

600

were obtained by using five different sets of initial conditions (see text).

As shown in Figure 64 we get five closed curves one inside the other. It

suggests that in the middle, somewhere, there is likely to be a curve which is a

single point. That is, a value of x and y which doesnt change with time t at

all. An equilibrium state.

We can also draw a vector field of this graph.

% s e t the parameters

k=1; m=1; b = 0 . 0 1 ; c = 0 . 0 1 ;

% d e f i n e t h e p o i n t s where t h e g r a d i e n t s h o u l d be calculated

[ x , y ] = meshgrid ( [ 1 0 : 4 0 : 6 0 0 ] , [ 1 0 : 4 0 : 6 0 0 ] ) ;

145

% f i n d t h e s l o p e o f t h e f u n c t i o n a t each p o i n t

dydt = y . ( mcx ) ;

dxdt = x .( k+by ) ;

% p l o t the s o l u t i o n

q u i v e r ( x , y , dxdt . / abs ( dxdt ) , dydt . / abs ( dydt ) , 0 . 2 5 )

a x i s tight

t i t l e ( ' Direction Field ' )

xlabel ( 'x ' )

ylabel ( 'y ' )

By using the hold option we can combine the direction field and contour plot

as shown in Figure 66.

Direction Field

550

500

450

400

350

300

250

200

150

100

50

50

100

150

200

250

300

x

350

400

450

500

550

Figure 65: Vector field for the population of rabbits y against population of

foxes x plotted with dfieldplot.

9.2

Analytic approach

The investigation carried out above was numerically done with a computer,

so there could be problems. In particular, the x y graphs we have seen may

be an artifact of the computational methods, not real. The closed curves could,

for instance, be spirals, in which the successive cycles are so close together that

the difference is not observable on the graph. Furthermore, we used a particular

146

Direction Field

550

500

450

400

Rabbits

350

300

250

200

150

100

50

50

100

150

200

250

300

Foxes

350

400

450

500

550

Figure 66: Vector field for the population of rabbits y against population of

foxes x plotted with DEplot.

147

set of values of the constants. For all we know, if we took different values we

might get a totally different behaviour! An analytic approach. if possible, would

probably work for all possible values of the constants.

Equilibrium points

Let us first ask about equilibrium points. What we are looking for is any

solution of the form x(t)=constant, and y(t)=constant. For such a solution

dy

we must have dx

dt = 0 and dt = 0. Substituting these in the Predator-Prey

equations gives:

x(k + by)

0,

y(m cx)

0.

These equations are not linear, so the usual Gaussian elimination techniques

cannot be used. Usually, non-linear systems cant be solved easily, but these

can be solved.

From the first one, we have either

x=0

or

(k + by) = 0.

First case, x = 0.

Substituting this in the second equation gives y = 0 (since m 6= 0). The

equilibrium point is at

x = 0,

y = 0.

This says that if we start with no foxes and no rabbits, we will go on having no

foxes and no rabbits!

Second case, (k + by) = 0.

Since b 6= 0, we can solve this to get y = k/b. If we substitute this in the

second equation we get

k

(m cx) = 0

b

which gives

m

m cx = 0

x= .

c

So, we have one more equilibrium point:

x=

m

,

c

y=

148

k

.

b

We would expect this to be the point in the middle of the closed curves in

the Figure. If we use the value that we used before (k = 1, m = 1, b = 0.01, c =

0.01), we get x = 100, y = 100, which is right!

Lets try now to solve this system (when x 6= 0 and y 6= 0).

dx

dt

dy

dt

= x(k + by)

= y(m cx).

This gives:

y(m cx)

dy

=

,

dx

x(k + by)

which is separable!

So:

and so:

dy

(m cx)

y

=

dx

x

(k + by)

m cx

k + by

dy =

dx

y

x

Z

Z

k + by

m cx

dy =

dx

y

x

Z

Z

Z

Z

k

m

dy + b dy =

dx c dx

y

x

and

k ln y + by = m ln x cx + A

or

by k ln y + cx m ln x = A.

This equation cannot be solved explicitly for y. Nevertheless we will see that

the curves are closed!

The last equation is of the form H(x, y) = A, where H is the function

H(x, y) = by k ln y + cx m ln x.

When we ask for a solution of H(x, y) = A, we ask for all points (x, y) at

which the height of this graph (surface) is A. We could get this by slicing the

surface with a horizontal plane at height A. We need a contour plot!

% s e t the parameters

k=1; m=1; b = 0 . 0 1 ; c = 0 . 0 1 ;

% d e f i n e t h e g r i d i n t h e xy domain

[ x , y ] = meshgrid ( [ 0 : 2 0 : 4 0 0 ] , [ 0 : 2 0 : 4 0 0 ] ) ;

% f i n d the curves

149

H= byk l o g ( y )+cxm l o g ( x ) ;

% p l o t the contour

contour3 (x , y , H , 30) ;

t i t l e ( ' Contour P l o t ' )

xlabel ( 'x ' )

ylabel ( 'y ' )

z l a b e l ( 'H ' )

Contour Plot

4

4.5

5

5.5

6

6.5

7

7.5

400

300

400

300

200

200

100

y

100

0

From Figure 67 you can see that this surface has a single minimum value in

the middle surrounded by contour lines that must be closed. These curves are

the solution curves of the predator-prey equations.

Can we use the insights from this special case to come to the same conclusion

no matter what values the constants are? Recall:

H(x, y) = by k ln y + cx m ln x = A.

All that we know about the constants k, m, b, c, A is that they are positive.

So, provided we can show that the graph of H has an absolute minimum, then

the level curves must be closed curves encircling it.

This can easily be done by looking for the critical points of the function

150

H

m

=c

x

x

k

H

=b

y

y

0,

0.

x=

m

,

c

y=

k

.

b

This is the global minimum of the function H(x, y). All contours (the solution curves) will be concentric closed curves encircling this point.

9.2.1

Experimental evidence

Predator-Prey experiments

Canadian lynx, shown in Figure 68 are strictly carnivores. The snowshoe

hare (Lepus americanus) is of particular importance in the diet, and populations

of the two are known to fluctuate in linked cycles with periods of about 9.6 years

and a slight lag between hare and lynx populations.

Figure 69 shows the number of lynx furs returned in to the Hudson Bay

Company from 1820 to 1920. Distinct oscillations are seen with a period of

about nine years. No data were available on the hare population, so we can not

be certain that the oscillations are due to a predator-prey interaction. However,

controlled experiments have been performed in the laboratory with paramecia

(paramecium aurelia) that eat the yeast saccharomyces exiguns. See Figure 70.

Notice how the predator population lags behind the population changes in the

prey.

151

Figure 69: Lynx furs return from the Northern Department of the Hudson Bay

Co. Adapted from DAncona (1954). (http://animaldiversity.ummz.umich.

edu/accounts/lynx/l._canadensis.html)

9.3

A linear system of n first order differential equations in n unknown functions

y1 (t), y2 (t), yn (t) has the form:

y10 = a11 y1 + a12 y2 + a13 y3 + + a1n yn

y20 = a21 y1 + a22 y2 + a23 y3 + + a2n yn

y30 = a31 y1 + a32 y2 + a33 y3 + + a3n yn

...........................................

yn0 = an1 y1 + an2 y2 + an3 y2 + + ann yn

A further known function could also be present on the RHS of the above

equations.

Matrix form

The above system can be re-written in matrix form as follows:

0

y

y1

1

a11 a12 a13 a1n

y20

y2

y3

y3

..

. . . . . . . . . . . . . . . . . . . . . . . . . ...

.

an1 an2 an3 ann

y0

yn

n

or

y0 = Ay.

Here, we will talk a lot about eigenvalues and eigenvectors, so I will remind

you of what they are.

152

Figure 70: Oscillations in the populations of paramecia and yeast. Adapted from

DAncona (1954). (http://www-chem.st.usm.edu/japgroup/nlcd/intro.

html)

9.3.1

Overview

Let A be a n n matrix and consider the equation:

Ax = x

where is a real or complex scalar to be determined and x is a vector also to

be determined.

Apart from the trivial solution x = 0 valid for every , a value of that

satisfies the above equation and for which x 6= 0 is called an eigenvalue of A

and the vector x corresponding to this eigenvalue is called eigenvector of A. We

can re-write the above equation as:

(A I)x = 0.

These are n linear algebraic equations in the n unknowns x1 , x2 , , xn (the

components of the vector x). And I is the n n unit matrix:

1 0 0 0

0 1 0 0

0 0 1 0 .

................

0 0 0 1

153

In components:

(a11 )x1 + a12 x2 + a13 x2 + + a1n xn = 0

a21 x1 + (a22 )x2 + a23 x2 + + a2n xn = 0

a31 x1 + a32 x2 + (a33 )x2 + + a3n xn = 0

................................................

an1 x1 + an2 x2 + an3 x2 + + (ann )xn = 0

Characteristic equation

For the equations

(A I)x = 0

to have a solution x 6= 0, the determinant of (A I) must be zero. This

determinant is called the characteristic determinant of A.

2 2 matrix example

In the case of a 2 2 matrix this becomes:

a a12

det(A I) = 11

a21

a22

=

This is called the characteristic equation of A whose solutions are the eigenvalues 1 and 2 of A.

So, once 1 and 2 are known, put = 1 in (A I)x = 0 which in

components form becomes:

(a11 )x1 + a12 x2

a21 x1 + (a22 )x2

=0

=0

Then put = 2 and determine the eigenvector x2 of A corresponding to the

eigenvalue 2 .

One last remark: if x is an eigenvector of A, so is kx where k is an arbitrary

constant (k 6= 0).

9.3.2

Circuit model

Example 37 (Electrical network). Find the currents I1 (t) and I2 (t) in the

network shown in Figure 71 assuming that all charges and currents are equal

to zero at t = 0, which is when the switch is closed. Use the following values:

L = 1 henry, R1 = 4 ohms, R2 = 6 ohms C = 0.25 farad and E = 12 volt.

154

Solution

From Kirchhoffs voltage law, the loop on the left yields:

L

dI1

+ R1 (I1 I2 ) = E.

dt

then:

I10 + 4(I1 I2 ) = 12.

Again from Kirchhoffs voltage law, the loop on the right yields:

Z

1

I2 dt + R2 I2 + R1 (I2 I1 ) = 0.

C

To eliminate the integral, we can differentiate with respect to the time t to

obtain:

I2

+ R2 I20 + R1 (I20 I10 ) = 0.

C

If L = 1 henry, R1 = 4 ohms, R2 = 6 ohms C = 0.25 farad and E = 12 volt,

then:

I2

C

10I20 4I10 + 4I2

I20

0.4I10

+ 0.4I2

0.

I20 = 1.6I1 + 1.2I2 + 4.8.

155

I10

I20

In matrix form:

J0 = AJ + g

where

J=

I1

I2

,

A=

4.0

1.6

4.0

1.2

,

g=

12.0

4.8

.

for a single equation.

That is, we first solve the corresponding homogeneous system:

J0 AJ = 0.

Set

J = xet

so that

J0 = xet .

But, from above,

xet = J0 = AJ = Axet .

Therefore:

Ax = x

(A I)x = 0.

and the corresponding eigenvectors.

4 4.0

det(A I) =

1.6

1.2

=

(4 )(1.2 ) + 4 1.6

= 2 + 2.8 + 1.6 = 0

with eigenvalues 1 = 2 and 2 = 0.8.

The corresponding eigenvectors are obtained from

(A I)x = 0.

In components:

(4.0 )x1 + 4.0x2

1.6x1 + (1.2 )x2

= 0,

= 0.

Set = 2:

(4.0 + 2.0)x1 + 4.0x2

1.6x1 + (1.2 + 2.0)x2

= 2.0x1 + 4.0x2 = 0

= 1.6x1 + 3.2x2 = 0

156

eigenvalue 1 = 2 is:

2

1

x =

.

1

Similarly, an eigenvector corresponding to 2 = 0.8 is (check!):

1

x2 =

.

0.8

Therefore, a general solution to the homogeneous system is:

Jh = c1 x1 e2t + c2 x2 e0.8t .

Now we need a particular solution Jp .

Since g is constant, we can try a constant vector

a1

Jp = a =

a2

which gives J0p = 0. Substitution in

J0 = AJ + g

gives:

0 = Aa + g.

In components:

4.0a1 + 4.0a2 + 12

1.6a1 + 1.2a2 + 4.8

with solution a1 = 3, a2 = 0.

Therefore:

Jp = a =

3

0

=0

=0

J = Jh + Jp = c1 x1 e2t + c2 x2 e0.8t + a.

In components:

I1

I2

= c1 e2t + 0.8c2 e0.8t .

0

0

= 2c1 + c2 + 3,

= c1 + 0.8c2 .

with solution c1 = 4, c2 = 5.

157

= 8e2t + 5e0.8t + 3,

= 4e2t + 4e0.8t .

I1

I2

t (do you know why?).

3

t

9.4

system

An nth order differential equation looks like:

y (n) + pn1 (x)y (n1) + pn2 (x)y (n2) + p1 (x)y 0 + p0 (x)y = r(x).

If r(x) 6= 0 the DE is non-homogeneous and if r(x) = 0 is homogeneous.

We can write the DE as:

y (n) = pn1 (x)y (n1) pn2 (x)y (n2) p1 (x)y 0 p0 (x)y + r(x).

We can always reduce the above DE into a system of n first order DEs by

setting:

y1 = y,

y2 = y 0 ,

y3 = y 00 , , yn = y (n1) .

158

1.2

0.8

0.6

0.4

0.2

y10

y20

y30

..

.

=

=

=

y2

y 00 = y3

y (3) = y4

..

.

0

yn1

0

yn

=

=

=

y (n1) = yn

yn

pn1 (x)y (n1) pn2 (x)y (n2) p1 (x)y 0 p0 (x)y

+r(x)

pn1 (x)yn pn2 (x)yn1 p1 (x)y2 p0 (x)y1 + r(x)

That is, y0 = Ay + g, or

0

1

0

y10

0

0

1

0

y2

0

0

0

.. =

..

..

..

.

.

.

.

0

yn1

0

0

0

yn0

p0 (x) p1 (x) p2 (x)

159

0

0

0

..

.

0

0

0

..

.

y1

y2

..

.

yn1

yn

0

0

..

.

0

r(x)

9.4.1

Example 38 (High order differential equations). Lets express the differential

equation:

d3 y

d2 y

dy

d4 y

6 3 +7 2 +6

8y = 0

4

dt

dt

dt

dt

as a system of first order DEs.

Solution

We set y1 = y and then we have:

y10

y20

y30

y40

= y2 ,

= y3 ,

= y4 ,

= 6y4 7y3 6y2 + 8y1 .

In matrix form:

0

y10

y20 0

0 =

y3 0

8

y40

1

0

0

6

1

0

0

1

det(A I) =

0

0

8

6 7

0

1

0

7

y1

0

y2

0

1 y3

6

y4

0

= 4 6 3 + 7 2 + 6 8 = 0

1

6

with solutions 1 = 1, 2 = 1, 3 = 2, 4 = 4.

These are the four eigenvalues of A. To find the corresponding eigenvectors,

we must solve (A I)x = 0. In components:

x1

8x1

+x2

x2

6x2

+x3

x3

7x3

4 = 4 are, respectively:

1

1

1

2

1

x1 =

1 , x = 1

1

1

+x4

+(6 )x4

= 0,

= 0,

= 0,

= 0.

to the eigenvalues 1 = 1, 2 = 1, 3 = 2,

1

2

x3 =

4 ,

8

160

1

4

x4 =

16 .

64

t

y = c1 x1 et + c2 x2 e + c3 x3 e2t + c4 x4 e4t .

In components:

y1

y2

y3

y4

9.5

= c1 et + c2 et + c3 e2t + c4 e4t

= c1 et + c2 et + 2c3 e2t + 4c4 e4t

= c1 et + c2 et + 4c3 e2t + 16c4 e4t

= c1 et + c2 et + 8c3 e2t + 64c4 e4t

Consider the homogeneous linear system:

y0 = Ay

where A is a constant n n matrix (that is, the matrix elements do not

depend on t). If this matrix has a set of n linearly independent eigenvectors,

then the general solution of the linear system is

y = c1 x1 e1 t + + c2 xn en t .

161

10

10.1

Phase planes

Phase plans

Lets consider now homogeneous systems of two differential equations with

constant coefficients. Thus, if A is a 2 2 matrix, then the system

y0 = Ay

can be written, in components,

y10

y20

= a11 y1 + a12 y2 ,

= a21 y1 + a22 y2 .

independent variable t, or we can plot y2 against y1 in the y1 y2 -plane (the phase

plane). A curve in the y1 y2 -plane is called either a trajectory or an orbit or

path. Many trajectories in the phase plane give a phase-portrait of the system

of DEs.

Note that if we write:

dy2

=

dy1

dy2

dt

dy1

dt

a21 y1 + a22 y2

a11 y1 + a12 y2

every point (y1 , y2 ) has a unique tangent except for the point (0, 0) where the

RHS becomes 0/0. Thus the point (0, 0) in the phase plane is a critical point of

the system of DEs.

The characteristic equation of :

y10

y20

= a11 y1 + a12 y2

= a21 y1 + a22 y2

is given by:

2 (a11 + a22 ) + (a11 a22 a12 a21 ) = 0.

The long-term behaviour of the solution (t ) depends on the roots 1

and 2 of the characteristic equation above (positive, negative, complex, etc.).

We will see in the following examples that the nature of the roots will lead to six

types of critical points, called improper nodes, proper nodes, degenerate nodes,

saddle points, centre points and spiral points.

We will also classify the point as being stable or unstable according to the

following definitions.

A point C is a stable critical point if for every disk D of radius > 0 centred

on the critical point there is a disk D of radius > 0 such that every trajectory

passing through a point in D at a certain t = t1 has all its points in D at

t > t1 (see figure, left panel).

A critical point C is asymptotically stable (or stable and attractive) if every

trajectory approaches the critical point as t (see Figure 74, right panel).

Finally, a critical point C is unstable if it is not stable!

162

stable critical point.

10.1.1

Improper node

Consider the system:

y10

y20

1

det(A I) =

3

= y1 2y2 ,

= 3y1 4y2 .

2

= (1 ) (4 ) + 6 = 2 + 3 + 2 = 0.

4

they are real, distinct and negative.

The eigenvectors are obtained from (A I)x = 0. In components:

(1 )x1

3x1

2x2

(4 )x2

= 0,

= 0.

are:

1

2

, x2 =

.

x1 =

1

3

Thus, the solution is:

y = c1 x1 et + c2 x2 e

2t

In components:

y1 (t)

y2 (t)

= c1 et + 2c2 e2t ,

= c1 et + 3c2 e2t .

Figure 75 shows the phase portrait of some of the trajectories. The straight

lines correspond to the trajectories obtained by setting c1 = 0 and c2 = 0. Note

163

Improper node

10

y2(t)

-5

-10

5

y1(t)

10

-5

-10

that the trajectories are moving toward the origin. For this reason the origin is

called an asymptotically stable improper node.

Consider now the system:

y10

y20

det(A I)

7

=

6

= 7y1 2y2 ,

= 6y1 y2 .

2

= (7 ) (1 ) + 12

1

= 2 6 + 5 = 0.

The roots of the characteristic equation are 1 = 1 and 2 = 5, that is, now

they are real, distinct and positive.

The eigenvectors are obtained from (A I)x = 0. In components:

(7 )x1

6x1

2x2

(1 )x2

= 0,

= 0.

1

1

1

2

x =

, x =

.

3

1

164

5t

y = c1 x1 et + c2 x2 e .

In components:

y1 (t) = c1 et + c2 e5t ,

y2 (t) = 3c1 et + c2 e5t .

Figure 76 shows the phase portrait of some of the trajectories. The straight

lines correspond again to the trajectories obtained by setting c1 = 0 and c2 = 0.

Note that the trajectories are now moving away from the origin. For this reason

the origin is called an unstable improper node.

Improper node

10

y2(t)

-10

-5

5

y1(t)

10

-5

-10

10.1.2

Saddle points

Consider the system:

y10

y20

3

det(A I) =

2

= 3y1 2y2 ,

= 2y1 2y2 .

2

= (3 ) (2 ) + 4 = 2 2 = 0.

2

165

The roots of the characteristic equation are 1 = 1 and 2 = 2, that is, they

are real, distinct and of opposite sign.

The eigenvectors are obtained from (A I)x = 0. In components:

(3 )x1

2x1

2x2

(2 )x2

= 0,

= 0.

1

2

1

2

x =

, x =

.

2

1

Thus, the solution is:

2t

y = c1 x1 et + c2 x2 e .

In components:

y1 (t) = c1 et + 2c2 e2t ,

y2 (t) = 2c1 et + c2 e2t .

Figure 77 shows the phase portrait of some of the trajectories. The origin

is unstable, since although there are trajectories that pass arbitrarily near it,

these then move away from it. There are only two trajectories that approach the

origin, but these are the only ones. In this case, the origin is called an unstable

saddle point.

10.1.3

Spiral point

Consider

det(A I)

y10

y20

1

=

2

= y1 + 2y2 ,

= 2y1 y2 .

2

= (1 ) (1 ) + 4

1

= 2 + 2 + 5 = 0.

The roots of the characteristic equation are 1 = 1 + 2i and 2 = 1 2i, that

is, they are complex roots, but not pure imaginary (well see this case later).

The eigenvectors corresponding to the eigenvalues 1 = 1 + 2i and 2 =

1 2i are, respectively:

1

1

1

2

x =

, x =

.

i

i

Thus, the solution is:

y = c1 x1 e(1+2i)t + c2 x2 e

166

(12i)t

Saddle point

y2(t)

2

-4

-2

2

y1(t)

-2

-4

In components:

y1 (t) = c1 e(1+2i)t + c2 e(12i)t ,

y2 (t) = ic1 e(1+2i)t ic2 e(12i)t .

As in the case of single DEs, we can write the solution in terms of cos and

sin by using Eulers formula as follows.

y1 (t)

= c1 e(1+2i)t + c2 e(12i)t

= c1 et [cos(2t) + i sin(2t)] + c2 et [cos(2t) i sin(2t)]

= et [cos(2t) (c1 + c2 ) + i sin(2t) (c1 c2 )]

= et [A cos(2t) + B sin(2t)] .

In order to have real values for A and B, one should choose c1 and c2 to be

complex conjugates (i.e. c1 = (A + iB)/2, c2 = (A iB)/2). And:

y2 (t)

= ic1 et [cos(2t) + i sin(2t)] ic2 et [cos(2t) i sin(2t)]

= c1 et [i cos(2t) sin(2t)] + c2 et [i cos(2t) sin(2t)]

= et [cos(2t) (ic1 ic2 ) sin(2t) (c1 + c2 )]

= et [B cos(2t) A sin(2t)] .

167

Figure 78 shows the phase portrait of some of the trajectories. The origin is

a stable spiral point. In general, spiral points are unstable if a11 > 0 and stable

if a11 < 0.

Spiral point

10

y2(t)

-10

-5

5

y1(t)

10

-5

-10

To better see the reason why we get trajectories that spiral in or out of the

origin take again the system of DEs:

y10

y20

= y1 + 2y2 ,

= 2y1 y2 .

Multiply the first equation by y1 and the second by y2 then add them up:

y1 y10 = y12 + 2y1 y2

y2 y20 = 2y1 y2 y22

y1 y10 + y2 y20 = (y12 + y22 ).

Lets now use polar coordinates (r, ) and set r2 = (y12 + y22 ). Thus

1 dr2

= y1 y10 + y2 y20

2 d

then:

1 dr2

= r2 .

2 d

168

1 dr 2

d

2 Rr 2 =

R

1

dr 2

=

d

2

2

r

log(r 2 )

= + c

2

log r

+

c

e

=e

r = ce

= ce

which gives the equation of a spiral in polar coordinates once we set c equal to

any real number.

10.1.4

Centre point

Consider

y20 = y1 2y2 .

2

5

= 2 + 1 = 0.

det(A I) =

1

2

The roots of the characteristic equation are 1 = i and 2 = i, that is, they

are pure imaginary.

The corresponding eigenvectors are, respectively:

2+i

2i

x1 =

, x2 =

.

1

1

Thus, the solution is:

y = c1 x1 eit + c2 x2 e

it

In components:

y1 (t) = c1 (2 + i)eit + c2 (2 i)eit .

y2 (t) = c1 eit + c2 eit .

We can write again the solution in terms of cos and sin by using Eulers

formula as follows.

y1 (t)

t i sin t]t

= (c1 + c2 ) [2 cos t sin t] + 2i(c1 c2 ) sin t + cos

2

= A [2 cos t sin t] + B [2 sin t + cos t]

And:

y2 (t)

= (c1 + c2 ) cos t + i(c1 c2 ) sin t

= A cos t + B sin t

169

where we have again A = (c1 +c2 ) and B = i(c1 c2 ). If c1 and c2 are complex

conjugates the solutions are real.

Figure 79 shows the phase portrait of some of the trajectories. This shows

that the trajectories are ellipses centred around the origin. As you can see, in

this case, the origin is stable, but not asymptotically stable, since the solutions

never approach zero. Thus, the origin is called a stable centre point (or vortex).

Centre point

10

y2(t)

-10

-5

5

y1(t)

10

-5

-10

10.1.5

Proper node

In case of equal roots, the general solution is of the form (well see this later):

y = c1 xet + c2 xtet + uet .

The trajectories for this case are very different depending on whether the

term tet is present or not. Consider first the simpler case when this term is

not there. Illustrative of this case is the following system:

y10

y20

= y1 ,

= y2 .

(1 )2 = 0

170

The solution is

y1 (t)

y2 (t)

= c1 et ,

= c2 et .

Figure 80 shows the phase portrait of some of the trajectories which are

all straight lines of equation y2 = cc12 y1 . Note that the trajectories are moving

toward the origin. The origin is called a stable proper node.

Proper node

10

y2(t)

-10

-5

5

y1(t)

10

-5

-10

y10

y20

= y1 ,

= y2 .

y1 (t) = c1 et ,

y2 (t) = c2 et .

This gives again trajectories which are straight lines of equation y2 = cc12 y1 ,

although now the trajectories move away from the origin. The origin is called

an unstable proper node (the figure is the same as Figure 80, but with the arrows

pointing outward).

171

10.1.6

Degenerate node

Consider the system:

y10

y20

= 23 y1 + y2 ,

= 41 y1 12 y2 .

3

1

2

det(A I) =

1

1

4

2

3

1

1

=

+

+ + = 2 + 2 + 1.

2

2

4

The characteristic equation has a double root = 1.

The corresponding eigenvector is:

2

x=

.

1

Since in this case the general solution is given by (well see why later)

y = c1 xet + c2 xtet + uet .

We must find u. Therefore, we must solve

(A I)u = x

for u. Since = 1, then:

3

2 + 1

(A + I)u =

41

1

21 + 1

u1

u2

=

In components:

12 u1 + u2

14 u1 + 12 u2

=2

=1

u=

2

3

.

y = c1 xet + c2 xtet + uet .

In components:

y1

y2

= c1 et + c2 (tet + 3et ) .

172

2

1

.

Figure 81 shows the phase portrait of some of the trajectories. Note that

the trajectories are all moving toward the origin. The origin is called a stable

degenerate node (although in many books this is also called improper node).

If the eigenvalue had been a positive double root, we would have obtained a

similar phase portrait, but with the trajectories moving away from the centre,

thus giving rise to an unstable degenerate node.

Degenerate node

10

y2(t)

-10

-5

5

y1(t)

10

-5

-10

10.2

Summary

Given the homogeneous systems of differential equations with constant coefficients:

y0 = Ay,

If A is a 2 2 matrix, then the system can be written, in components,

y10

y20

= a11 y1 + a12 y2 ,

= a21 y1 + a22 y2 .

2 (a11 + a22 ) + (a11 a22 a12 a21 ) = 0.

173

Purely imaginary roots

1 = i, 2 = i

Centre

(or vortex)

Stable

Complex roots

1 = + i, 2 = i

Spiral point

Stable if < 0

Unstable if > 0

1 2 < 0

Saddle point

Unstable

1 2 > 0

Improper node

Unstable if 1 > 0, 2 > 0

1 = 2

tet absent in solution

Proper node

Stable if 1 = 2 < 0

Unstable if 1 = 2 > 0

1 = 2

tet present in solution

Degenerate node

(or improper)

Stable if 1 = 2 < 0

Unstable if 1 = 2 > 0

We have seen that the roots 1 and 2 of the characteristic equation determine the type of critical point and whether this is stable or not. Thus, we can

summarise our results in Table 2.

10.3

No basis

We have seen that it is possible for a matrix A to have a double eigenvalue

1 = 2 (by the way, this could happen with a matrix of any size). In the

example given above, we determined one solution y(1) = xet by finding the

eigenvector x corresponding to the eigenvalue , then we calculated a second

solution y(2) by taking:

y(2) = xtet + uet .

(u is currently unkown)

We justify now why this works.

Consider the following homogeneous systems of differential equations with

174

constant coefficients:

y0 = Ay.

Thus:

y(2)

= Ay(2)

= Axtet + Auet .

Then, since Ax = x:

xet + uet

= Auet .

x + u

(A I)u

= Au

= x.

By solving the above system for u, one can determine the second solution

y(2) .

Now, if A is a n n matrix (n > 3) with a triple eigenvalue, then a second

solution is given by (as before):

y(2) = xtet + uet .

And a third solution can be obtained by taking:

y(3) =

1 2 t

xt e + utet + vet

2

with v satisfying:

(A I)v = u.

175

11

11.1

Nonlinear systems

Nonlinear systems

Definition 22 (Autonomous). A differential equation where y is the dependent

variable and t is the independent variable is said to be autonomous if it has the

form:

dy

= some function of y but not of t.

dt

Similarly, an autonomous system of two DEs is of the form:

dy1

dt

dy2

dt

In other words,

dy1

dt

dy2

dt

f1 (y1 , y2 ),

f2 (y1 , y2 ).

The vast majority of physical systems are autonomous, since the laws of

physics are time-independent. Nonautonomous systems may arise because of

the introduction of forcing terms (such as the time dependent electromotive

force in electrical circuits).

Autonomous systems give rise to time-independent phase portraits which can

be successfully used to interpret at least qualitatively the behaviour of systems

of DEs. This is particularly important for nonlinear systems, since these are

often impossible to solve analytically.

Many of the stability results that we saw in the previous sections can be

applied to nonlinear systems, provided that these are not strongly nonlinear

(that is, the nonlinear component of the system is small compared to the linear component). In this section well see how to apply qualitative methods to

autonomous nonlinear systems with isolated critical points (a critical point y0

is said to be isolated if there is a neighbourhood of y0 in which y0 is the only

critical point). We will also assume that y0 is always at the origin, since if

y0 = (a, b) we can always apply the translation:

y1 = y1 a,

y2 = y2 b

176

11.2

Linearisation

Consider the system of nonlinear DEs:

y10

= f1 (y1 , y2 ),

y20

= f2 (y1 , y2 ).

Let (0, 0) be a critical point of this system and f1 and f2 continuous with

continuous partial derivatives in a neighbourhood of (0, 0).

Then we can expand f1 and f2 about this point and write the system as:

y0 = Ay + h(y1 , y2 ).

In components:

y10

y20

= a21 y1 + a22 y2 + h2 (y1 , y2 ).

autonomous and h1 (y1 , y2 ) and h2 (y1 , y2 ) are higher order terms in y1 and y2 .

It is possible to prove that if det A 6= 0 then the type of point and stability

of (0, 0) are the same as those of the linear system:

y0 = Ay.

We have linearised the system of DEs.

11.2.1

Example

Example 39 (Nonlinear System). Characterise the behaviour of

dy1

dt

dy2

dt

y1 (y2 1)

(3)

4 y12 y22

(4)

The first step is to solve

0

= y1 (y2 1)

4 y12 y22

to get the following equilibrium points (0, 2) and ( 3, 1). Let us firstly look

at (0, 2).

177

dx1

dt

dx2

dt

= x1 (x2 + 1) = x1 x2 + x1

=

matrix form, the linearised system is

1 0

0

x = Ax =

x.

0 4

The eigenvalues of A are 1 and -4, so (0, 2) is an unstable saddle point.

Now consider the equilibrium point (0, 2).

Let x1 = y1 and x2 = y2 + 2. Then we rewrite (3) and (4) as

dx1

dt

dx2

dt

= x1 (x2 3) = x1 x2 3x1

=

matrix form, the linearised system is

3 0

0

x = Ax =

x.

0 4

The eigenvalues of A are -3 and 4,

so (0, 2) is an unstable saddle point.

Look at the equilibrium

point

(

3, 1).

rewritten as

dx1

= (x1 + 3)x2 = x1 x2 + 3x2

dt

2

dx2

2

= 4 x1 + 3 (x2 + 1) = x21 2 3x1 x22 2x2 .

dt

When x1 0 and x2 0,

0

3

0

x Ax =

x.

2 3 2

The determinant

of (AI) is (+2)+6, so the eigenvalues of A are 1 5i.

point ( 3, 1).

rewritten as

dx1

= (x1 3)x2 = x1 x2 3x2

dt

2

dx2

2

= 4 x1 3 (x2 + 1) = x21 + 2 3x1 x22 2x2 .

dt

178

When x1 0 and x2 0,

3

x.

2

point.

The solution of (3) and (4) as obtained by Matlab is given in Figure 82.

The behaviour around the equilibrium points is evident in the plot.

0

x Ax =

2 3

0

5

4

3

2

y2

1

0

1

2

3

4

5

5

0

y1

Figure 82: Solution of the nonlinear system of ODES given in (3) and (4)

11.3

11.3.1

Applications

Application: Macroeconomics Model

A macroeconomics model

Consider the following model for the national income identity

Y (t) = C(t) + I(t) + D(t),

where

I(t) = K 0 (t) is the investment,

Y (t) = b0 + b1 K(t) is the real income (b0 , b1 > 0),

179

D(t) = a2 K(t) the depreciation of capital (a2 < 0);

as functions of time t. So, as a function of K the national income identity is

K 0 = b0 (1 a1 ) + [b1 (1 a1 ) a2 ] K.

The above definition talks about the real income and the real consumption.

We take a real variable to be one where the effects of inflation have been taken

into account. A nominal variable, used below, is one where the effects of inflation

have not been taken into account. So, the real variable is the nominal variable

minus inflation.

For example, suppose we buy a 1 year bond that pays 6% at the end of the

year. If we pay $100 at the beginning of the year, we get $106 at the end of the

year. The nominal interest rate is 6%.

Now suppose the inflation rate for that year is 3%. That means that a basket

of goods that would have cost $100 at the beginning of the year will cost $103

at the end of the year. So, after factoring the interest rate into account, the

amount of income we get from the $100 bond is $3. The real interest rate is 3%.

The demand for money

The supply of money is the number of dollars available to be held in wallets

and bank accounts. The demand for money is the amount of money that people

want to hold. For example, the demand for money increases around Christmas

when people require cash to purchase goods.

The number of transactions made in an economy tends to increase as income

rises. Hence, as income rises, the demand for money rises.

The demand for money also depends on the nominal interest rate. When

money is invested it cant be used to purchase goods (trade off between spending

and saving).

Take the real demand for money M (t) as a linear function of income and

nominal interest rate R(t)

M (t) = c1 Y (t) c2 R(t),

0 < c1 , c2 .

Finally, take the percentage growth rate of real demand for money as the

growth rate of nominal money supply minus the inflation rate. We will assume

the real interest rate is the constant b1 , so the inflation rate is R(t) b1 . If the

growth rate of nominal money supply is c0 > 0,

M0

M

= c0 (R(t) b1 )

c1 Y M

= c0

b1

c2

b0 c1

b1 c1

1

=

c0 + b1

K + M.

c2

c2

c2

180

Combining the national income identity and demand for money we get the

following system of differential equations

K0

M0

= b0 (1 a1 ) + [b1 (1 a1 ) a2 ] K,

b1 c1

1

b0 c 1

M

KM + M 2 .

=

c0 + b1

c2

c2

c2

K0

1 + 2 K,

1 M 2 KM + 3 M 2 ,

where 1 = b0 (1 a1 ), 2 = b1 (1 a1 ) a2 , 1 = c0 + b1

3 = c12 .

(5)

b0 c1

c2 ,

2 =

b1 c1

c2

and

Equilibrium Points

From the first equation, we see that K 0 = 0 when

K=

1

.

2

M = 0, or M =

2 1 + 1 2

3 2

2 1 +1 2

1

.

We now consider the equilibrium point K =

2 and M =

3 2

As a specific example let a1 = 4/5, a2 = 1/10, b0 = 20, b1 = 1/5, c0 = 1/10,

c1 = 2/5 and c2 = 3/2. In which case 1 = 4, 2 = 3/50, 1 = 151/30,

2 = 4/75, 3 = 2/3 and the equilbrium points occur at K = 200/3 and

M = 773/60.

Set X = K 200/3 and Y = M 773/60 and substitute into Equation (5)

to get

X0

= 3/50X,

Y0

In matrix form, the system that approximates the solution around the equilbrium point is

z 0 = Az,

where

z=

X

Y

and A =

3/50

773/1125

181

0

.

773/90

As the system has one positive and one negative eigenvalue, we know the

equilbrium point is a saddle point and is unstable.

We follow a similar procedure to determine the behaviour around the second

1

equilbrium point K =

2 = 200/3 and M = 0.

Set X = K 200/3 and Y = M and substitute into Equation (5) to get

X0

3/50X,

Y0

3/50

0

A=

.

0

2319/270

As both eigenvalues are negative, this equilbrium point is stable.

As plot of the solution around the first equilibrium point is given in Figure

??

Econometrics Example

14

13.5

13

12.5

12

11.5

11

60

62

64

66

68

70

K

72

74

76

78

80

Figure 83: Solution of the econometrics example around the equilibrium point

K = 200/3 67 and M = 773/60 12.9

11.3.2

Undamped pendulum

Consider a pendulum consisting of a bob of mass m attached to a rod of

length L, as shown in Figure 84. If is the angle the pendulum makes with

the vertical and g is the gravitational constant, the differential equation that

governs the motion of the pendulum, if air and rod resistance are neglected, is:

mL00 + mg sin = 0.

182

If we divide by mL we get:

00 + k sin = 0,

k=

g

.

L

This is a nonlinear second order differential equation for which the solution

cannot be given in terms of elementary functions. Consequently, the motion

of the pendulum can be studied only through numerical work and phase plane

analyses.

Nevertheless, when is very small, we can write sin and we get:

00 + k = 0

with solution:

the motion of the pendulum for any displacement from the equilibrium position, then we can proceed as follows.

First transform the second order nonlinear DE 00 + k sin = 0 into a first

order nonlinear system by letting = y1 and 0 = y2 . So we obtain:

y10

= y2 ,

y20

= k sin y1 .

183

Both RHSs are equal to zero when y2 = 0 and k sin y1 = 0. Thus there are

infinitely many critical points at (n, 0), where n = 0, 1, 2, .

Consider first (0, 0) and linearise the system by expanding in Maclaurin

series:

1

sin y1 = y1 y13 + y1 .

6

The linearised system at (0, 0) is:

y10

y20

= y2 ,

= ky1 .

In matrix form:

y0 = Ay =

0

k

1

0

y.

1

= 2 + k = 0.

det(A I) =

k

is always stable. Since the function sin is periodic, our results will also hold for

n = 2, 4, , that is, all these points are also centres.

Consider now the critical point (, 0). We will apply the translation:

y1 = ,

y10 = ( )0 = 0 = y2 ,

1

sin(y1 + ) = sin y1 = y1 + y13 y1 .

6

The linearised system at is:

y10

y20

= y2 ,

= ky1 .

In matrix form:

y0 = Ay =

0

k

1

0

y

Thus, the point (, 0) is a saddle point, which is always unstable. Since the

function sin is periodic, this result will also hold for n = 1, 3, , that is, all

these points are also saddle points. See Figure 85.

11.3.3

Damping

Lets see now what happens if we introduce a damping term which is proportional to the angular velocity 0 :

00 + c0 + k sin = 0.

184

y(t) 0

-1

-2

-8

-6

-4

-2

0

x(t)

Here, c is the damping constant (> 0) and k = g/L. Set now = y1 and

0 = y2 as before. So we obtain:

y10

= y2 ,

y20

= k sin y1 cy2 .

Both RHSs are again equal to zero when y2 = 0 and k sin y1 = 0. Thus

there are infinitely many critical points at (n, 0), where n = 0, 1, 2, .

Consider first (0, 0) and linearise by taking sin y1 y1 .

The linearised system at (0, 0) is:

y10

y20

= y2 ,

= ky1 cy2 .

In matrix form:

0

y = Ay =

The eigenvalues of A are:

1

det(A I) =

k c

0

k

1

c

y.

= (c + ) + k = 2 + c + k = 0,

with roots:

c2 4k

c

.

=

2

2

This result is very similar to that for the motion of a mass on a spring! Lets

see all the various possibilities:

185

(1) If c = 0, = i k, which is the result we obtained earlier in the case of

no damping. The critical point (0, 0) is a stable centre point.

(2) If c2 < 4k the roots are complex conjugates and the critical point (0, 0) is

a stable spiral point (the real part is negative, since c > 0). The motion

is underdamped.

(3) If c2 > 4k the roots are distinct, real and negative (since c > c2 4k),

and the critical point (0, 0) is a stable improper node. The motion is

overdamped.

(4) If c2 = 4k the roots are equal and negative and the critical point (0, 0) is

a stable degenerate node. The motion is critically damped.

Since the sin function is periodic, this result will also hold for n = 2, 4, .

Consider now the critical point (, 0). As earlier, we apply again the translation:

y1 = ,

y10 = ( )0 = 0 = y2 ,

1

sin(y1 + ) = sin y1 = y1 + y13 y1 .

6

The linearised system at (, 0) is:

y10

y20

= y2 ,

= ky1 cy2 .

In matrix form:

y0 = Ay =

The eigenvalues of A are:

1

det(A I) =

k c

0

k

1

c

y.

= (c + ) k = 2 + c k = 0

with roots:

c

c2 + 4k

=

.

2

2

Lets see again all the various possibilities:

no damping. The critical point (, 0) is a saddle point.

(2) If c 6= 0, since c < c2 + 4k we have two real roots of opposite sign. Thus,

the critical point (, 0) is a saddle point.

186

3

y(t) 0

-1

-2

-3

-10

-5

0

x(t)

10

We note again that since the sin function is periodic this result will also hold

for n = 1, 3, .

See Figure 86.

In the pendulum application, with and without damping, we have seen that

there are two critical (equilibrium) points. The equilibrium point corresponding

to (0, 0) can be identified with the pendulum position at rest pointing downward, while the equilibrium point corresponding to (0, ) can be identified with

the pendulum position at rest pointing upward. It is therefore quite easy to visualise why we found that the stable critical point was (0, 0) and that any small

perturbation applied to the pendulum away from this point would be damped

out with the pendulum returning to rest as t . Conversely, one can also

as easily imagine that a small perturbation applied to the pendulum away from

(0, ) would cause the pendulum to leave its rest position and converge to (0, 0).

187

12

12.1

Power Series Solutions of ODEs (2nd order)

Introduction

Most non-constant coefficient DEs cannot be solved in closed form in terms

of standard analytical functions. As early as 1676, Newton considered the possibility of representing the solution by infinite series - there are many types of

series (e.g. Fourier series, Power series etc.). We consider power series.

The series method is sometimes useful also to obtain solutions to non-linear

DEs (but it is not always easy to find the coefficients in the power series expansion in this case).

The limit of the sequence

2

a0 + a1 (x x0 ) ,

a0 ,

a0 + a1 (x x0 ) + a2 (x x0 ) ,

is written

an (x x0 )

...

n=0

whenever it exists. This series is called a power series expansion about the point

x0 . Any power series has a radius of convergence such that the series

converges for |x x0 | <

diverges for |x x0 | <

If we set

f (x) =

an (x x0 )

|x x0 | <

n=0

convergence is absolute

convergence is uniform

f is continuous

f has derivatives of all order

an =

f (n) (x0 )

n!

n+1

a

an

n+1 (x x0 )

=

lim

< 1 |x xx | < lim

n

n

n an+1

an (x x0 )

(the radius of convergence)

188

We consider homogeneous LDEs, but the method can be generaised to nonhomogeneous LDEs.

P (x)

d2 y

dy

+ Q(x)

+ R(x)y = 0

dx2

dx

We look for power series solutions about some point x0 . The nature of solution

depends on whether x0 is

an ordinary point

a singular point

R(x)

x0 is an ordinary point is the coefficients Q(x)

P (x) and P (x) of the equation in

standard form (i.e. with the coefficient of y equal to unity) are analytic at x0 .

By this we mean that they have a Taylor series expansion which converges in

some interval about x0

Q(x)

2

= a0 + a1 (x x0 ) + a2 (x x0 ) + ...

P (x)

R(x)

2

= b0 + b1 (x x0 ) + b2 (x x0 ) + ...

P (x)

Otherwise, x0 is a singular point.

y 00 xy = 0

Bessels equation of order (e.g.

Three examples from Physics: x2 y 00 + xy 0 + x2 2 y = 0

1 x2 y 00 2xy 0 + ( + 1) y = 0

Legendres equation

These equations cannot be solved analytically in the general case. Note that

the coefficients are polynomials in these cases.

In Airys equation,

R(x)

P (x)

equation,

Q(x)

1

= ,

P (x)

x

R(x)

2

=1 2

P (x)

x

x = 0 is a singular point because both these functions are certainly not analytic

at x = 0. In Legendres equation,

Q(x)

2x

=

,

P (x)

1 x2

( + 1)

R(x)

=

P (x)

1 x2

Theorem: At any ordinary point x0 , the LDE has a power series solution

of the form

X

n

y=

an (x x0 ) = a0 y1 (x) + a1 y2 (x)

n=0

189

where y1 (x), y2 (x) are linearly independent power series solutions with a radius

of convergence that is at least equal to the minimum of the radii of convergence

R(x)

of Q(x)

P (x) and P (x) .

Solution about an ordinary point

Look for solution in the form of a power series about x = x0 .

2

y = a0 + a1 (x x0 ) + a2 (x x0 ) + ... =

an (x x0 )

n=0

n1

+ ... =

nan (x x0 )

n1

n=1

nan (x x0 )

n1

n=0

y 00 = 2a1 + ... + n (n 1) (x x0 )

n2

+ ... =

n2

n (n 1) an (x x0 )

n=2

nan (x x0 )

n1

n=1

Some tricks

change the limits of summation for that the same power of (x x0 )

occurs inside the summation sign in each term. This you may write

P

P

n2

m

n (n 1) an (x x0 )

=

(m + 2) (m + 1) am+2 (x x0 )

(setting n = m + 2)

n=2

m=0

(n + 2) (n + 1) an+2 (x x0 )

(re-labelling dummy

n=0

index m)

change the independent variable from x to t where (x x0 ) = t transforms

the point of expansion from x = x0 to t = 0. This makes the algebra easier.

EX: Solve the equation (1 x2 )y 00 6xy 0 4y = 0 near the ordinary point

x = 0. Note: x = 1 are the only singular points in the finite plane).

6x

Q(x)

=

,

P (x)

1 x2

Set y =

an xn , y 0 =

n=0

X

n=0

Q(x)

4

=

P (x)

1 x2

nan xn1 , y 00 =

n=0

n=0

n(n 1)an xn 6

n=0

X

n=0

190

nan xn 4

X

n=0

an xn = 0

n=0

[n(n 1) + 6n + 4] an xn = 0

n=0

n=0

(n + 4) (n + 1) an xn = 0

n=0

we could also have set n m + 2 in the first term, but this is not as elegant

because we then start a summation with negative n.

n(n 1)an x

n=0

n2

(n + 2) (n 1) an2 xn2 = 0

n=2

The coefficient

of each power must be zero. n = 1, 1 irrelevant. n 2 : an =

n+2

a

a recurrence relation Note that the subscripts in this relation

n2

n

differ by two indices, so we expect two sequences in terms of a0 and a1 .

a2 = 24 a0

a3 = 35 a1

n 2 : an = n+2

n an2

a4 = 64 a2 =

a2k =

=

64

4 2 a0

a5 =

2k+2

2k a2ks

75

5 3 a1

a2k+1 =

2k+2 2k

64

2k 2k2 ... 4 2 a0

= (k + 1) a0

"

y = a0 1 +

#

(k + 1) x

2k

23+3

2k+1 a2k1

2k+3 2k+1

75

2k+1 2k1 ... 5 3 a1

2k+3

3 a1

"

+ a1 x +

k=1

X

2k + 3

k=1

#

x

2k+1

Note 1: There are two arbitrary constants in the solution Note 2: The

nearest singular points are at x = 1. So, from the general theory of LDEs,

convergence is guaranteed at least up to |x| < 1. In fact, convergence occurs

only in this region as can be shown by elementary convergence tests for series.

Airys Equation

Sir George Airy (1801-1892), Astronomer and Mathematician came up with

the following equation in connection with the diffraction of light:

y 00 xy = 0

There is no analytical solution and the equation is solved using power series.

Note that x = 0 is an ordinary point.

The solution is oscillatory for negative x and of exponential nature for positive x.

191

The nature of the solution about a singular point depends on how bad the

singularity is. The Taylor series used for an ordinary point may not work since

the solution may not be analytic at a singular point. A more general approach

is required.

We consider methods of solving LDEs when the singularity is of a mild nature

- that is we look for solutions about SINGULAR points which are REGULAR.

A singular point x0 is regular if (x x0 ) Q(x)

P (x) and (x x0 )

analytic (i.e. have a convergent Taylor series about x0 ).

That is,

Q(x)

= A0 + A1 (x x0 ) + ...

(x x0 )

P (x)

(x x0 )

2 R(x)

P (x)

are both

R(x)

= B0 + B1 (x x0 ) + ...

P (x)

which means that very close to x0 , the coefficients in the normalised equations

(i.e. DE with y 00 as the leading term) diverge as

Q(x)

A0

+ A1 + ...

P (x)

x x0

B1

B0

R(x)

+

+ ...

2

P (x)

(x x0 )

(x x0 )

One of the goals of this section is to establish the nature of the solutions near

such a singular point. We will see that depending on the equation, we could get

one or two solutions that remain bounded as x x0 or none at all!

When the solutions do diverge, it is possible to establish the nature of the

divergence.

Consider Bessels equation

x2 y 00 + xy 0 + x2 2 y = 0

R(x)

2

=1 2

P (x)

x

Q(x)

1

= ,

P (x)

x

x=0 is singular.

x

Q(x)

= 1,

P (x)

x2

x = 0 is a regular singular point.

192

R(x)

= 2 + x2

P (x)

x3 y 00 + 2y = 0

R(x)

2

= 3

P (x)

x

and

lim x2

x0

R(x)

1

= lim

P (x) x0 x

Without loss of generality, we can consider equations about x = 0 (we first

shift x0 to the origin by the transformation z = x x0 and then re-label z by

x).

We can re-state the condition for regularity as follows: If x = 0 is a regular

singular point, the the LDE can be cast in the form x2 y 00 + xp(x)y 0 + q(x)y = 0

(book notation!)

where p(x) and q(x) are analytic with Taylor series expansions

p(x) = p0 + p1 x + ...

q(x) = q0 + q1 x + ...

If all the coefficients vanish except for p0 , q0 , the equation becomes

x2 y 00 + xp0 y 0 + q0 y = 0

where p0 and q0 are constants. This is an equation of the Euler type that can

be solved analytically.

12.1.1

Euler equations are non-constant coefficient LDEs of the type

L[y] = x2 y 00 + p0 xy 0 + q0 y = 0

where p0 and q0 are constants. x = 0 is clearly a regular singularity.

This equation has analytical solutions which give insight to the behaviour

of solutions near regular singular points in other cases. We look for solutions of

the type

y = Axr

x>0

L[Axr ] = A x2 r (r 1) xr2 + p0 x rxr1 + q0 xr

= Axr [r (r 1) + p0 r + q0 ]

193

L[Axr ] = 0 if r satisfies r (r 1) + p0 r + q0 = 0.

F (r) = r2 + (p0 1) r + q0 = 0 - THE INDICIAL EQUATION.

q

2

Roots of the indicial equation are r1 , r2 = 0.5 (p0 1) (p0 1) 4q0 .

Three cases for roots: real distinct, real equal or complex conjugate pair

Note: for an equation of Euler type

x2 y 00 + p0 xy 0 + q0 y = 0

if y(x) is a solution, so is y(x). For is we change x x in DE, we obtain

(x)

dy(x)

d2 y(x)

+ p0 (x)

+ q0 y(x) = 0

d(x)2

d(x)

d2 y(x)

dy(x)

+ p0 x

+ q0 y(x) = 0

dx2

dx

If y1 = f (x)(x > 0) is a solution, so is y2 = f (x)(x < 0). So all we

need is to solve the DE for x > 0, and the gneral solution (given real values) is

y = f (|x|), (x > 0 and x < 0).

x2

r2 .

REAL DISTINCT ROOTS (r1 6= r2 )

y = C1 xr1 + C2 xr2 ,

r1

y = C1 |x|

r2

+ C2 |x| ,

x>0

x > 0 or x < 0

Example: x2 y 00 2xy 0 + 2y = 00

Indicial equation: r (r 1) 2r + 2 = 0 (r 1) (r 2) = 0 - both roots

are positive.

2

y = C1 |x| + C2 |x|

Note: Even though x = 0 is a regular singular point, the solution remains finite

at x = 0. In fact, all solutions pass through the original so the initial restriction

x 6= 0 was unnecessary in this case.

Example: 2x2 y 00 + 3xy 0 = 0

2r (r 1) + 3r 1 = 0 2r2 + r 1 = (2r 1) (r + 1) = 0

Now r1 = 21 , r2 = 1 i.e. one root negative. Solution is thus

1

y = C1 |x| 2 +

C2

, x > 0, x < 0

|x|

194

EQUAL ROOTS (r1 = r2 = r) y1 (x) = xr is one solution. A second

independent solution is given by

y2 (x) =

r

r ln x

x =

e

= er ln x ln x = xr ln x

r

r

y = C1 xr + C2 xr ln x,

r

x>0

x > 0, x < 0

2

(r 1/2) = 0

positive root

y = C1 x1/2 + C2 x1/2 ln x,

1/2

y = C1 |x|

1/2

+ C2 |x|

x>0

ln |x|,

x > 0, x < 0

EXAMPLE: x2 y 00 + 5xy 0 + 4y = 0 Indicial equation: r (r 1) + 5r + 4 =

2

0 (r + 2) = 0

negative root

y=

y=

C1

|x|

C2

C1

+ 2 ln x,

2

x

x

+

C2

2

|x|

ln |x|,

x>0

x > 0, x < 0

COMPLEX CONJUGATE ROOTS (r1 = + i, r2 = i) Solutions are

x+i = e(+i) ln x = e ln x ei ln x = x ei ln x

xi = x ei ln x

The real and imaginary parts of either of these solutions give two independent

real solutions

x cos ( ln x), x sin ( ln x)

with the general solution given by

Here the solutions are oscillatory, but converge or diverge as x = 0 is approached depending on the constants in the indicial equation (i.e. if is positive

or negative).

195

12.1.2

In the general case x2 y 00 + xp(x)y 0 + q(x)y = 0 where x = 0 is a regular

singular point so that p(x) and q(x) are analytic with Taylor series expansions

p(x) = p0 + p1 x + ...

q(x) = q0 + q1 x + ...

we look for Euler type solutions multiplied by power series.

y=x

an x =

n=0

an xn+r

a0 6= 0

n=0

y =

an (n + r) xn+r1

n=0

00

y =

an (n + r) (n + r 1) xn+r2

n=0

x2 y 00 + xp(x)y 0 + q(x)y = 0

x2

X

an (n + r) xn+r1

an (n + r) (n + r 1) xn+r2 + x (p0 + p1 x + ...)

n=0

n=0

X

an xn+r = 0

+ (q0 + q1 x + ...)

n=0

n=0

n=0

n=0

r

r+1

xr : [r (r 1) + p0 r + q0 ] a0 = 0

For arbitrary a0 , the indicial equation is:

F (r) = r (r 1) + p0 r + q0 = 0

This equation will provide two roots and potentially two solutions of the above

type with coefficients a1 , ... of the series chosen so that the coefficients of xr+1

... vanish.

Depending on the roots of the quadratic, the general solution will a combination of one of the following types

|x|

X

n=0

an xn ,

|x| ln |x|

an xn ,

n=0

X

n=0

196

a n xn ,

a0 6= 0

an xn+r = 0

It turns out that depending on the nature of the real roots, it will not always

be the case that the remaining coefficients can be set to zero by solving the

recurrence relations consistently (we will illustrate this by example). But there

will always be one solution of this type for the larger of these roots.

Theorem If (> 0) is the minimum of the radii of convergence of the Taylor

series for p(x) and q(x), then the LDE has a solution of one of the above types,

where the power series incorporated in the solutions converge at least for |x| < .

In this course, we focus on on the real root case. The other cases can be

dealt with similarly.

Now it can be shown that in the real root case, there will always be at least

one solution of the type

X

r

y = |x|

an xn

n=0

In fact, suce a solution always exists, where r = r1 , the larger of the two real

roots of the indicial equations (see the following theorem).

THEOREM 5.6.1:

Suppose that the indicial roots r1 and r2 of x2 y 00 + xp(x)y 0 + q(x)y = 0 given

by the solution of F (r) = r(r 1) + p0 r + q0 = 0 are real, and that r1 r2 .

Suppose that is the minimum of the radii of convergence of p(x), q(x).

Then in either < x < 0 or 0 < x < , there is always one series solution

of the standard Frobenius form

"

#

X

r1

n

y1 (x) = |x|

1+

an (r1 )x

n=1

solution is

#

"

X

r2

n

an (r2 )x

1+

y2 (x) = |x|

n=1

r1

bn (r1 )xn

n=1

r2

cn (r2 )xn

n=1

The coefficients an , bn , cn , (which may be zero) are to be found by substituting the appropriate form of solution into the DE.

Note: the leasing constants in the series components have been nromalised

to unity when appropriate.

197

13

Special functions

13.1

Bessels Functions

x2 y 00 + xy 0 + x2 2 y = 0i

q0 = 2

p0 = 1,

Indicial equation: r (r 1) + r 2 = 0.

We consider solutions for x > 0 (the domain of interest in most physical

problems). There is at least one solution of the form

y=

ak xr+k

k=0

y0 =

ak (r + k) xr+k1

k=0

y 00 =

ak (r + k) (r + k 1) xr+k2

k=0

ak (r + k) (r + k 1) xr+k +

k=0

ak (r + k) xr+k +

k=0

ak xr+k+2

k=0

2 ak xr+k = 0

k=0

h

i

X

2

ak (r + k) 2 xr+k +

ak2 xr+k = 0

k=0

k=2

The coefficient of x is given by the indicial equation (must always be the case):

a0 r2 2 = 0 r = ,

which gives distinct roots providing that 6= 0. The coefficient of xr+1 is given

by

h

i

2

a1 (r + 1) 2 = 0 a1 = 0

The coefficient of xr+k is given by

h

i

2

ak (r + k) 2 = ak2

k = 2, 3, 4, ...

ak =

1

ak2

k (k + 2)

198

y1 = a 0 x 1

x2

x4

+

...

2 (2 + 2) 2 (2 + 2) 4 (4 + 2)

x2

x4

= a0 x 1 2

+

...

2 (1 + ) 24 2! (1 + ) (2 + )

#

"

k 2k

X

(1)

x

= a0 x 1 +

22k k! (1 + ) (2 + ) ... (k + )

k=1

If is not an integer (the general case of rooths not difference by an integer), the second root of the indicial equation (r = ) gives a second linearly

independent solution.

This is obtained by replacing by in the above derivation, yielding

#

"

k

X

(1) x2k

= b0 x

1+

22k k! (1 ) (2 ) ... (k )

k=1

the coefficient of the pth term in the above sum is then indeterminate.

** So the series method gives two linearly independent solutions to Bessels

equation except in the case where is integral, in which case we have only one.

We now define BESSEL FUNCTIONS which are derived from the series

solutions as follows. They are well tabulated functions and are commonly used

in mathematical physics.

13.1.1

Assume = n (a non-negative integer) and set

a0 =

1

2n n!

"

#

k

X

1 n

(1) x2k

y1 (x) = Jn (x) = n x 1 +

2 n!

22k k! (1 + n) ... (k + n)

k=1

"

#

n

n+2

n+4

(x/2)

(x/2)

(x/2)

=

+

...

n!

1! (1 + n)! 2! (n + 2)!

Jn (x) = (x/2)

X

k=0

(1)

2k

(x/2)

k! (k + n)!

199

x2 y 00 + xy 0 + x2 n2 y = 0

A solution is

Jn (x) = (x/2)

X

k=0

n = 0, 1, 2, ...

k

(1)

2k

(x/2)

k! (k + n)!

x4

x6

x2

+

+ ...

J0 (x) = 1

4

64 2304

x

x2

x4

x6

J1 (x) =

1

+

+ ...

2

8

192 1296

x4

x6

x2 1 x2

+ ...

J2 (x) =

2 2 24 768 46080

Which gives values at x = 0 of J0 (0) = 1, J1 (0) = 0, J2 (0) = 0, and derivatives of J00 (0) = 0, J10 (0) = 21 , J20 (0) = 0.

Jn are all non-singular at the origin.

Graphs of J0 (x), J1 (x), ... represent decaying sinusoids, and we can see this

(very crudely) by comparing

1 0

2

00

(1)

y + y + 1 2 y =0

x

x

with

2

1 0

y + y + 1 2 y =0

a

a

00

(2)

2

1

2

r + r+ 1 2 =0

a

a

with roots i. For sufficiently large x (as x a some contant value), solutions of (1) should approach those of (2) and the latter are linear combinations

of ex cos x and ex sin x - exponentially decaying sinusoids with

=

1

2a

1/2

2

1

= 1 2 2

a

4a

* the wave characteristics of Bessel functions seem very much like the shapes

of water waves generated by dropping a pebble into a pond. The equations of

hydrodynamics show that waves having the shapes of Bessel functions do arise.

200

The gamma function (z) interpolates the integer factorials. The function

is used to define the factorial of a non-integer.

Z

(z) =

xz1 ex dx

0

The function is infinitely differentiable

(z + 1) = z(z)

z > 0 because

Z

Z

Z

z x

z x

z1 x

+

zx e dx = z

(z+1) =

x e dx = x e

0

0

(1) =

R

0

xz1 ex dx

ex dx = 1

1) = n (n 1) ...1 = n!. Note that 0! = (1) = 1. By analogy, we write

(z + 1) = z!.

Z

1

=

ey y 1/2 dy

2

0

Substituting y = x2 gives

Z

=2

Z

ex dx

Z

Z Z

a

2

2

2

1

=4

ex dx

ey dy = 4

e(x +y ) dxdy

2

0

0

0

0

Change to polar coordinates: x = r cos , y = r sin . This gives

(x, y)

drd = rdrd

dxdy =

(r, )

2

Z /2 Z

Z /2 Z

2

2

1

=4

er rdrd = 2

er d r2 d =

2

0

0

0

0

Hence (1/2) =

The values of (z) are available in tabulated form for 0 < z 1. The

recurrence relation can then be used to evaluate (z) for any other positive z.

Thus:

3

1

1

1

1

!=

=

=

2

2

2

2

2

3

5

3 1

1

3 1

!=

=

=

2

2

2 2

2

2 2

...

7

7 5 3 1

1

7 5 3 1

!=

=

2

2 2 2 2

2

2 2 2 2

201

We use the recurrence relation to define the Gamma function for 1 < z < 0

using the values in 0 < z < 1.

(z) =

(z + 1)

z

1

2

1

= 2

=

2

12

and then (z) for 2 < z < 1 using values in 1 < z < 0. This defines (z)

for all z except for negative INTEGRAL values.

xz1 ex dx

(z) =

z>0

(z + 1)

z<0

z

Z x

e

0+ = lim+

dx = +

x1z

z0

0

a

Z a x

Z a

e

1

ex

a

a 1 z

dx >

dx > e

dx = e

x

1z

1z

x1z

z

0 x

0 x

0

(z) =

Z

0

Bessel functions of the first kind of any order

Starting with the general solution

"

#

k

X

(1) x2k

y1 (x) = a0 x 1 +

22k k! (1 + ) ... (k + )

k=1

we now use the Gamma function to extend the definition of Bessel functions to

any order. We do this by setting

a0 =

1

2 ( + 1)

202

J (x) = (x/2)

X

k=0

(1)

2k

(x/2)

k! (k + + 1)

x>0

J1/2 (x) and J1/2 (x)

You can use the solution of Bessels equation in the form

x2

x4

y(x) = a0 x 1 2

+

...

2 1! (1 + ) 24 2! (1 + ) (2 + )

to show that

r

2

x5

2

x3

+

... =

sin x

x

J1/2 (x) =

x

3!

5!

x

r

r

2

2

x2

x2

J1/2 (x) =

1

+

... =

cos x

x

2!

4!

x

p

(This does not give the factor 2/. It is obtained from the definition of the

constant a0 = 1/ [2 ( + 1)] in the Bessel functions, and by use of the identities

involving the Gamma function).

r

1

1

2

=

1 =

1

1/2

1/2

2 2

2 2 +1

r

1

1

=

=

21/2 21

21/2 12 + 1

You can also obtain the above directly from the series solution for general :

J (x) =

x X

k=0

x 2k

(1)

k! (k + + 1) 2

x 1/2 X

x>0

k

x 2k

(1)

x>0

2

k! k + 12 + 1 2

k=0

"

#

2

4

x 1/2

1

(x/2)

(x/2)

+

...

=

2

32

1! 25

2! 72

"

#

1/2

2

4

(x/2)

(x/2)

(x/2)

= 1 1 1 3 1 1 + 5 3 1 1 ...

1! 2 2 2

2! 2 2 2 2

2 2

J1/2 (x) =

203

"

#

2

4

x 1/2

1

(x/2)

(x/2)

= 1 1

1

+

...

2

1! 23

2! 52 23

2 2

"

#

2

4

(x/2)

2 x 1/2

(x/2)

1

=

+

...

2

1! 32

2! 25 32

r

2

x3

x5

=

x

+

...

x

3!

5!

Graphs of J1/2 and J1/2 are given below. Note behaviour of J1/2 and J1/2

are similar to J0 and Y0 for large x, with a phase shift of /2.

J1/2 (x) =

2

x

1/2

cos x

2

x

1/2

sin x

J (x) =

x X

k=0

x 2k

(1)

k! (k + + 1) 2

x>0

Note 1: With the above definition, and our interpretation of the Gamma

function for negative argument, it can be verified that

n

Jn = (1) Jn

n = 0, 1, 2, ...

Note 2: J and J are linearly independent when is non integral (one is

bounded, and the other unbounded as x 0).

204

Given one solution, it is always possible to find a second linearly independent

solution by the method of reduction of order. The general solution then takes

for form

Z

dx

y = AJ (x) + BJ (x)

2

x [J (X)]

This solution is particularly useful when is an integer, and the second solution

does not follow straightforwardly by the series method. The integral is however

difficult to evaluate and often only the leading terms follow straightforwardly.

For Bessels equation, the second solution can be obtained as follows, which

also leads us to the definition of Bessel functions of the second kind.

13.1.2

If is not an integer, J (x) is a second linearly independent solution.

However, for non-integral , it is traditional to define Bessels function of

the second kind as the follwoing linear combination of J (x) and J (x).

Y (x) =

sin ()

Y (x) can then be used instead of J (x) as the second linearly independent

solution. For example,one would not use J1/2 (x), but rather Y1/2 (x).

When is an integer (roots differ by an integer) the method of Frobenius

(cases 2 and 3 discussed in theorem) can be used to derive a second set of

linearly independent solutions. They can also be obtained by the following

limiting process which gives us Bessels functions of the 2nd kind of integral

order, Y0 (x), Y1 (x), ....

For integral , we define Yn (x) as the limit

Yn (x) = lim

sin ()

using LH

opitals rule.

Unlike the Jn (x) functions, the Yn (x) functions are unboudned as x 0.

The functions Yn (x) are readily available in tabulated form. With this definition, for any , the general solution form any is

y(x) = C1 J (x) + C2 Y (x)

remainder

Notes to be completed

205

14

Motivation

As you already know, an Initial Value Problem consists of :

0

x

= f (t, x)

,

x(t0 ) = x0

where f is a prescribed function of 2 variables and (t0 , x0 ) is a point through

which the solution should pass.

A solution of this IVP is a function x(t) such that

dx(t)

= f (t, x(t))

dt

for all t in some neighbourhood of t0 and x(t0 ) = x0 .

In this section we will see some methods for calculating numerical solutions

of differential equations. These methods are very useful since most differential

equations cannot be solved analytically, or even if analytic solutions exist these

may be too complicated to be used.

The methods that we are going to see are step-by-step methods. We start

with x(t0 ) = x0 and then we proceed by calculating approximate values of the

solution x(t) at:

t1 = t0 + h,

t2 = t1 + h,

t3 = t2 + h,

t4 = t3 + h

where h has a certain assigned value and is called the stepsize. These approximate values can be obtained with a Taylor series expansion.

14.1

Taylors theorem

Taylors theorem

If the function f (x) has the (n + 1)st derivative f (n+1) (t) exists for all t in an

interval containing c and x, then the Taylor series expansion around the point

c is:

n

X

1 (k)

f (c)(x c)k + En (x)

f (x) =

k!

k=0

En (x) =

1

f (n+1) ()(x c)n+1 .

(n + 1)!

However, this formula is not very useful as it is, since we want to advance

the solution from x to a neighbouring point x + h. Thus, we need an expression

that gives us the value of the function at x + h in terms of its value at x. To

obtain such an expression, we expand the function around x.

206

f (x + h) =

n

X

1 (k)

f (x)hk + En (h)

k!

k=0

and:

En (h) =

1

f (n+1) ()hn+1

(n + 1)!

14.1.1

For a function of two variables f (x, y), the symbolic expression is:

f (x + h, y + k) =

(i)

n

X

1

h

+k

f (x, y) + En (h, k)

i!

x

y

i=0

where

1

En (h, k) =

(n + 1)!

(n+1)

h

+k

f (a + h, b + k),

x

y

0 1.

Here:

(0)

h

+k

f (x, y) = f (x, y)

x

y

(1)

f

f

(x, y)

+k

f (x, y) = h

+k

h

x

y

x

y

(2)

2f

2f

2f

h

+k

f (x, y) = h2 2 + 2hk

+ k 2 2 (x, y)

x

y

x

xy

y

14.1.2

f (x, y) = cos(xy).

Solution

The derivatives are:

f

= y sin(xy),

x

f

= x sin(xy),

y

2f

= y 2 cos(xy),

x2

207

2f

= xy cos(xy) sin(xy),

xy

2f

= x2 cos(xy).

y 2

If n = 1, then

cos[(x + h)(y + k)] = cos(xy) hy sin(xy) kx sin(xy) + E1 (h, k).

14.1.3

0

x

= f (t, x) = cos t sin x + t2

.

x(1) = 3

Solution

To solve this IVP numerically, we will use the Taylor expansion:

x(t + h) = x(t) + hx0 (t) +

h2 00

h3

h4

x (t) + x000 (t) + xiv (t) +

2!

3!

4!

know x0 (t), since this is given by the IVP itself. lets calculate x00 (t), x000 (t) and

xiv (t):

x00

= sin t x0 cos x + 2t

x000

xiv

If we stop here, the terms not included start with h5 and they form the

so-called truncation error in our procedure.

The algorithm is the following:

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% taylor

% Find t h e Taylor e x p a n s i o n o f

% c o s ( t ) s i n ( x ) +t 2 about t h e p o i n t

% ( t , x ) . h i s the step s i z e .

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

f u n c t i o n y = taylor ( t , x , h )

xp = c o s ( t )s i n ( x )+t 2 ; % f i r s t d e r i v

xpp = s i n ( t )xp c o s ( x ) +2t ; % s e c o n d d e r i v

208

xpppp = s i n ( t ) +(xp3xppp ) c o s ( x ) +3xp xpp s i n ( x ) ; % fourth deriv

y = x+h ( xp+h ( xpp+h ( xppp+h xpppp / 4 ) / 3 ) / 2 ) ; % new approx

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% taylor ode

% Use t h e Taylor s e r i e s t o s o l v e t h e ODE

%

x ' = f ( t , x ) = c o s ts i n x+t 2 ; x( 1) = 3

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% s e t the paramters

m =200; h =0.01 d0 ; t=1.0d0 ; x =3.0 d0 ; k=0;

% p r i n t the intermediate values

[k t x]

% apply t h e a l g o r i t h m

f o r k=1:m

% f i n d t h e Taylor e x p a n s i o n o f f ( t , x )

x = taylor ( t , x , h )

% t a k e a s t e p f o r w a r d i n time

t=t+h ;

% print intermediate r e s u l t s

[k t x]

end

When this algorithm was programmed and run, the solution at t = 1 was

x200 = 6.4220.

14.2

Eulers method

Eulers method

Note that if we use the approximation:

x(t + h) = x(t) + hx0 (t)

then the numerical method is called the Euler method or the Euler-Cauchy

method.

Geometrically, this method approximates the curve f (x, t) with a polygon

whose first straight line segment is tangent to the exact solution curve at t0 . The

good thing about Eulers method is that it doesnt require any differentiation

of f .

The truncation error is proportional to hn , where n is the lowest power of

the terms in the Taylor series that are not included in the calculations. For

example, for the Euler-Cauchy method, the truncation error is proportional to

h2 (since we stop the expansion with the first derivative). For a fixed interval

t = t2 t1 in which we want to solve a given DE, the number of steps is

209

this reason, Eulers method is called a first-order method.

In the example shown above, since the terms that were not included in our

calculations started with h5 , the resulting numerical method was of order 4.

14.2.1

Example 42 (Eulers method). Apply Eulers method to the following IVP:

x0 + x = t2

x(0) = 1.

Integrate over the interval [0, 0.4] with steps of stepsize h = 0.05. Solve the

problem analytically and present a table with the numerical and analytical results

and the error.

Solution

Write the problem as:

x0 = f (t, x) = t2 x

x(0) = 1.

xn+1

= xn + hf (tn , xn )

= xn + 0.05(t2n xn )

=

0.95xn + 0.05t2n .

We start with:

t0 = 0,

x0 = 1

t1

t0 + 0.05 = 0.05,

x1

t2

t1 + 0.05 = 0.1,

x2

t3

t2 + 0.05 = 0.15,

x3

210

t4

= t3 + 0.05 = 0.2,

x4

t5

t4 + 0.05 = 0.25,

x5

t6

= t5 + 0.05 = 0.3,

x6

t7

= t6 + 0.05 = 0.35,

x7

t8

= t7 + 0.05 = 0.4,

x8

x0 + x = t2

x(0) = 1.

The solution is:

Z

R

R

p(t) dt

p(t) dt

x(t) = e

r(t)e

dt + const

Z

R

R

dt

2

dt

= e

t e

dt + const

Z

t

2 t

= e

t e + const

= et t2 et 2tet + 2et + const

= t2 2t + 2 + const et .

If we set x(0) = 1, then const = 1 and the analytic solution to the IVP is

x(t) = t2 2t + 2 et .

So the numerical solution at t = 0.4 is 0.679751, while the analytical solution

is 0.689680, giving an error of 0.009929.

211

Example 43 (Eulers method). Apply Eulers method to the following IVP:

x0 = 2x

x(0) = 10.

The following shows some the Matlab to implement the Euler method.

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% euler

% Implement t h e E x p l i c i t E u l e r method

%

% Pre C o n d i t i o n :

%

f = f ( t , x ) i s t h e r i g h t hand s i d e

%

h i s the step s i z e

%

m i s t h e number o f s t e p s t o be taken

%

x0 i s t h e i n i t i a l c o n d i t i o n a t time t = 0

%

% Post C o n d i t i o n

%

x i s t h e s o l t u i o n a t t =0, h , 2h e t c .

%

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

f u n c t i o n x = euler ( f , h , m , x0 , t0 )

% r e c o r d t h e s o l u t i o n a t t h e g i v e n time

% ( taking the s t a r t i n g c o n d i t i o n s i n t o account )

y = z e r o s (m , 1) ;

% record the s t a r t i n g c o n d i t i o n s

y ( 1 ) = x0 ;

t = t0 ;

% l o o p through and update t h e s o l u t i o n s based on t h e AdamsB a s h f o r t h

% formula

f o r i = 1 : ( m1)

y ( i+1)= y ( i )+hf ( t , y ( i ) ) ;

t = t+h ;

end

% r e t u r n t h e s o l u t i o n s t a r t i n g from t = t 0

x = y;

212

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% Main p a r t o f t h e code

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% s t a r t i n g time

a = 0;

% end time

b = 10;

% step s i z e

c = 7;

h = ( ba ) /2 c ;

% p o i n t s a t which t h e s o l u t i o n w i l l be e v a l u a t e

t = (a : h : b) ';

m = length (t) ;

% d e f i n e the exact s o l u t i o n

g = inline ( ' 10 exp (2 t ) ' ) ;

% d e f i n e t h e r i g h t hand s i d e

f = inline ( ' 2x ' , ' t ' , ' x ' ) ;

% s o l v e t h e ODE

x = euler ( f , h , m , g ( a ) , a ) ;

% p l o t the r e s u l t

p l o t ( t , g ( t ) , ' g ' , t , x , ' r+ ' )

xlabel ( ' t ' )

ylabel ( 'x ' )

Figure 89 shows the solution when h = 10/25 .

Figure 90 shows (the absolute value of) the difference between the analytical

and numerical solutions.

According to the theory, if we double h the error should be divided by 2.

Figures 91, 92 and 93 shows how the error changes as h is decreased.

Stability

The ODE solvers in Matlab use numerical techniques to find approximate

solutions. In general, you will not need to write your own numerical solvers

like we just did for Eulers method. The ODE solvers available in packages

like Matlab are well written and robust. However, it is still important to

understand how the solvers work and what their limitations are.

Lets make a very minor modification to the previous example. Instead of

213

10

9

8

7

6

5

4

3

2

1

0

5

t

10

Eulers method compared to the analytical solution (green line).

214

Error (c = 5)

1.8

1.6

1.4

1.2

1

0.8

0.6

0.4

0.2

0

5

t

10

Figure 90: Difference between the numerical and analytical solutions when h =

10/25 .

215

Error (c = 6)

0.7

0.6

0.5

0.4

0.3

0.2

0.1

5

t

10

Figure 91: Difference between the numerical and analytical solutions when h =

10/26 .

216

Error (c = 7)

0.35

0.3

0.25

0.2

0.15

0.1

0.05

5

t

10

Figure 92: Difference between the numerical and analytical solutions when h =

10/27 .

217

Error (c = 8)

0.16

0.14

0.12

0.1

0.08

0.06

0.04

0.02

0

5

t

10

Figure 93: Difference between the numerical and analytical solutions when h =

10/28 .

218

solving

x0 = 2x

x(0) = 10,

x0 = 20x

x(0) = 10,

with h = 10/25 .

As shown in Figure 94, the error in the numerical approximation is of order

1023 . This is not an error in the code, it is a consequence of the stability of

Eulers method.

23

12

x 10

10

8

6

4

2

0

2

4

5

t

10

Figure 94: Difference between the numerical and analytical solutions when h =

10/25 if f (x) = 20x.

Stability theory is concerned with the consequences of round off errors and

it states that h must be smaller than a certain value before Eulers method will

work properly, and that value depends on the ODE you are solving. Sometimes

the value of h must be so small that the method is no longer practical. Many

other ODE solvers also have this stability issue, although different solvers place

different conditions on h. That is why Matlab offers you a number of different

types of solvers.

219

14.3

14.3.1

Runge-Kutta methods

Second order Runge-Kutta

Runge-Kutta methods

Consider the following IVP:

x0

= f (t, x)

.

x(t0 ) = x0

The snag with the previous method is that we must calculate all those derivatives (x0 , x00 , x000 , xiv , ), then all these functions need to be programmed.

This can all be avoided by means of clever combinations of values of f (t, x).

Consider again the Taylor expansion:

x(t + h) = x(t) + hx0 (t) +

h3

h4

h2 00

x (t) + x000 (t) + xiv (t) +

2!

3!

4!

Let the partial derivatives be denoted with the subscripts x and t, e.g.

fx , f

t = ft . Thus:

x0

00

ft + fx x0 = ft + fx f

x000

f

x

x(t + h)

= x(t) + hf +

= x+

1 2

h (ft + f fx ) + O(h3 )

2!

h

h

f + [f + hft + hf fx ] + O(h3 ).

2

2

Now we can get rid of the partial derivatives with the help of the first few

terms in the Taylor series in two variables. Since

f = x0

x

x

=

t

h

x f h

then

f (t + t, x + x) f (t + h, x + hf )

= f (t, x) + ft t + fx x + O(h2 )

= f + hft + hf fx + O(h2 ).

Now we insert this expansion into the expression for x(t + h):

1

1

x(t + h) = x + hf + hf (t + h, x + hf ) + O(h3 ).

2

2

220

x(t + h) = x(t) +

h

h

f (t, x) + f (t + h, x + hf ).

2

2

x(t + h) = x(t) +

where

F1

F2

1

(F1 + F2 )

2

= hf (t, x)

= hf (t + h, x + F1 )

method.

14.3.2

This formula is very tedious to derive, so I have skipped the proof. The

classical fourth order Runge-Kutta method is given by:

x(t + h) = x(t) +

where

14.3.3

F1

F2

F3

F4

1

(F1 + 2F2 + 2F3 + F4 )

6

= hf (t, x)

= hf t + h2 , x + 12 F1

.

= hf t + h2 , x + 12 F2

= hf (t + h, x + F3 )

Example 44 (Runge-Kutta). Apply Runge-Kuttas method to the following

IVP:

x0 + x = t 2

x(0) = 1

Integrate over the interval [0, 0.4] with steps of stepsize h = 0.05. Present a

table with the numerical and analytical results and the error.

Solution

Write the problem as:

x0 = f (t, x) = t2 x,

221

x(0) = 1.

x(t + h) = x(t) +

where

F1

F2

F

3

F4

F1

F3

F4

1

(F1 + 2F2 + 2F3 + F4 )

6

= hf (t, x)

= hf t + h2 , x + 12 F1

.

= hf t + h2 , x + 12 F2

= hf (t + h, x + F3 )

values are:

= hf (t, x) = 0.05(0 1) = 0.05

= hf t + h2 , x + 21 F1

1

= 0.05fh 0 + 0.05

2 , 1 + 2 (0.05)i

2

1 21 (0.05) = 0.048719

= 0.05 0.05

2

= hf t + h2 , x + 21 F2

1

= 0.05 h0 + 0.05

2 , 1 + 2 (0.048719) i

2

1 21 (0.048719) = 0.048751

= 0.05 0.05

2

= hf (t + h, x + F3 )

= 0.05fh (0 + 0.05, 1 0.048751)

i

2

x(t + h)

= x(t) +

1

(F1 + 2F2 + 2F3 + F4 )

6

1

(0.050000 + 2(0.048719)

6

+2(0.048751) + (0.047437))

1+

0.951271.

the new functions F1 , F2 , F3 and F4 . Here we go:

222

F1

F2

F3

h

i

2

= hf (t, x) = 0.05 (0.05) 0.951271 = 0.047439

= hf t + h2 , x + 12 F1

1

= 0.05fh 0.05 + 0.05

2 , 0.951271 + 2 (0.047439)

i

2

1

= 0.05 0.05 + 0.05

0.951271

(0.047439)

2

2

= 0.046096

= hf t + h2 , x + 12 F2

.

1

= 0.05 h0.05 + 0.05

2 , 0.951271 + 2 (0.046096)

i

2

= 0.05 0.05 + 0.05

0.951271 12 (0.046096)

2

= 0.046130

= hf (t + h, x + F3 )

= 0.05fh (0.05 + 0.05, 0.951271 0.046130)

i

2

x(t + h)

1

(F1 + 2F2 + 2F3 + F4 )

6

1

0.951271 + (0.047439 + 2(0.046096)

6

+2(0.046130) + (0.044757))

= x(t) +

=

=

0.905163.

Now we use this value x(t+h) = 0.905163 and x+h = 0.05+0.05 to calculate

the new functions F1 , F2 , F3 and F4 . Here we go again:

h

i

F

=

hf

(t,

x)

=

0.05

(0.05)

0.905163

= 0.044758

h

1

F2 = hf t + 2 , x + 2 F1

, 0.905163 + 12 (0.044758)

1

0.05 2

0.905163

(0.047439)

= 0.043358

=

0.05

0.1

+

2

2

h

1

F3 = hf t + 2 , x + 2 F2

.

1

= 0.05 h0.1 + 0.05

2 , 0.905163 + 2 (0.043358)

i

2

0.905163 12 (0.046096) = 0.043393

F4 = hf (t + h, x + F3 )

223

x(t + h)

1

(F1 + 2F2 + 2F3 + F4 )

6

1

0.905163 + (0.044758 + 2(0.043358)

6

+2(0.043393) + (0.041963))

= x(t) +

=

=

0.861792.

Now we use this value x(t + h) = 0.861792 and t + h = 0.1 + 0.05 to calculate

the new functions F1 , F2 , F3 and F4 . This goes on and on until t = 0.4.

We can now compare the numerical solution with the analytical solution:

x(t) = t2 2t + 2 et .

At time t = 0.4, the numerical solution is 0.689680 while the analytical solution

is 0.689680. So both answers agree to 6 decimal places. Recall that the error

for Eulers method was 0.009929.

Runge-Kutta methods - coding example

Lets go back to the example we looked at previously.

Example 45 (Runge-Kutta method). Apply the Runge-Kutta method to the

following IVP:

x0 = 2x

x(0) = 10.

The Runge-Kutta method is a fourth order method, meaning that as h is

halved we would expect the error to be divided by 24 = 16. Figures 95, 96, 97

and 98 shows that is the case.

14.4

System of equations

Consider the IVP

0

x

= f (t, x, y)

0

y

= g(t, x, y)

.

x(t

)

= x0

y(t0 ) = y0

The formula to advance the solution is:

x(t + h)

y(t + h)

1

(F1 + 2F2 + 2F3 + F4 ) ,

6

1

= y(t) + (G1 + 2G2 + 2G3 + G4 ) .

6

= x(t) +

224

Error (c = 5)

x 10

7

6

5

4

3

2

1

0

5

t

10

Figure 95: Difference between the numerical and analytical solutions when h =

10/25 .

225

Error (c = 6)

x 10

5

t

10

Figure 96: Difference between the numerical and analytical solutions when h =

10/26 .

226

2.5

Error (c = 7)

x 10

1.5

0.5

5

t

10

Figure 97: Difference between the numerical and analytical solutions when h =

10/27 .

227

1.4

Error (c = 8)

x 10

1.2

0.8

0.6

0.4

0.2

5

t

10

Figure 98: Difference between the numerical and analytical solutions when h =

10/28 .

228

where

14.4.1

F1

F2

G2

F3

G3

F4

hf (t, x, y),

G1 = hg(t, x, y)

h

1

1

hf t + , x + F1 , y + G1

2

2

2

h

1

1

hg t + , x + F1 , y + G1

2

2

2

h

1

1

hf t + , x + F2 , y + G2

2

2

2

h

1

1

hg t + , x + F2 , y + G2

2

2

2

hf (t + h, x + F3 , y + G3 )

G4

hg (t + h, x + F3 , y + G3 ) .

Galactic dynamics

Consider a star that is moving in the potential well created by our Galaxy.

This star will obey Newtons second law, which in cylindrical coordinates is (see

Figure 99):

d2~r

= F~G (R, z)

dt2

where FG is the gravitational force exerted on the star by the Galaxy. Note

that since disk galaxies are axial symmetric, FG is not a function of .

229

( 2

Lz

d R

=R

2

3 R

dt

2

d z

=

dt2

z

where is the potential of our Galaxy and Lz = R2 d

dt (d/dt is the angular

velocity), is the angular momentum about the zaxis, which is conserved.

The above is a system of two second order differential equations and cannot

be solved analytically. Lets now re-write this system in terms of four first order

differential equations:

0

R

=U

0

Lz

U

=R

3 R

0

z

=W

W 0 =

z

where U and W are the velocities in the R and z direction respectively.

Now we need the initial conditions. These can be obtained experimentally;

the astronomer measures the components of the velocity of a star by observing

it with various techniques. The Doppler shift in spectral lines will give the U

component of velocity while the W and V components are found by measuring

how far a star has moved over a certain period of time with respect to background stars on a photographic or CCD plate. If the stars observed are all in

the solar neighbourhood, then we know where they are in the Galaxy: in the

plane of the Galaxy (z = 0) at R = 8.5 kiloparsecs from its centre, just like the

Sun. So we have a system of four first order differential equations with initial

conditions:

Figure 100: The spiral Galaxy NGC 4414 (Credit: W. Freedman (Carnigie

Obs.) , L. Frattare (STScI) et al., & the Hubble Heritage Team (AURA/ STScI/

NASA) ). Our own Galaxy would look a bit like this if seen nearly face-on.

230

R0

z0

U (8.5, 0)

W (8.5, 0)

V (8.5, 0)

= 0 kiloparsecs from plane of Galaxy

= observed value in km/sec

= observed value in km/sec

= observed value in km/sec

1013 km).

Furthermore, we also know the value of the angular momentum Lz , since

Lz = RV and the initial values of R and V will determine its value which will

not change during the calculations.

So, we have now almost everything necessary to start our calculations which

will allow us to find out where the stars that we have diligently observed for

months and months will be in, say, 300 million years (note: it takes the Sun

about 250 million years to rotate once around the Galaxy). All that is still

needed is a simple model for the potential (R, z) of a disk galaxy. In the

simple example presented here, we will use a Galaxy of 1.5 1011 solar masses,

whose potential is:

z2

v0

(R, z) = log R2 + 2

2

q

where q is the axial ratio and v0 is the circular speed. Generally, a disk galaxy

can be built by adding the contribution of the potentials given by the galactic

bulge, the galactic disk and the halo.

Typical outputs are shown in the figures 101 and 102.

Figure 101: Orbit of a star in the R z plane with initial velocities U = 130

km/sec, V = 180 km/sec and W = 95 km/sec.

231

km/sec, V = 400 km/sec and W = 400 km/sec.

the dynamics of galaxies. In 1972, Alar and Juri Toomre constructed computer

simulations of galaxy interactions. In Figure 103 there is a simulation of a close

encounter of two galaxies. One is modelled as a single point mass whilst the

other (the large galaxy) is made up by rings of point masses. The point mass

intruder galaxy moves toward the large galaxy in the same direction as that of

the spin of the large galaxy. In the beginning of the simulation, the interaction

causes the formation of a bridge-like structure of stars joining the two galaxies.

At the end of the simulation the large galaxy doesnt look like its original self

anymore!

Toomres simulations were also very successful in the modelling of structures

similar to that observed in the colliding Antennae (NGC 4038/4039) galaxies

(see simulation and picture below). They are nicknamed Antennae because

of their long curvy tails that look like the antennae of an insect. See figures 104

and 105.

All these galaxy interaction problems are quite interesting, particularly since

our own Galaxy will collide with the Andromeda galaxy in a few billion years

(the two galaxies are approaching at a speed of about 300 km/sec). Andromeda

is about twice as massive as the Galaxy and (at the moment!) about 2.6 million

light years away. See Figure 106.

232

of the Antennae galaxies shown in the picture below.

233

Figure 105: The interacting Antennae galaxies NGC4038 and NGC4039 (credit:

B. Whitmore (STScI), F. Schweizer (DTM), NASA)

Figure 106: Two Merging Galaxies NGC 4676. These galaxies are located 300

million light-years away in the constellation Coma Berenices. The galaxies have

been given the nickname The Mice because of the two long tails made up of

stars and gas originating from each galaxy (Credit: NASA and the ACS Science

Team).

234

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