differential equations lecture notes

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differential equations lecture notes

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Fall 2014

Lecture 6

Content: Introduction to systems of first order equations. Review of matrices.

Suggested Problems:

7.1: 15, 16, 19, 20, 22, 23

7.2: 1, 2, 4, 8, 10, 13, 21, 23, 25

x01

x02

x0n

= f1 (x1 , x2 , . . . , xn , t)

= f2 (x1 , x2 , . . . , xn , t)

...

= fn (x1 , x2 , . . . , xn , t)

is called a system of first order ODEs. Here, all derivatives are with respect to

t.

Example 1.1 Consider the system

x0 = x 0.5xy

y 0 = 0.75y + 0.25xy

This system could be a model for a predator-prey system. For example, x(t) and y(t)

could be the populations of rabbit and fox in a particular region. The more rabbits

there are, the more they reproduce in the absence of other factors. This explains the

1

+x term in the first equation. The more fox and rabbit there are, more interactions

happen. Therefore it is natural to have a negative xy term in the first equation.

Since interactions mean that the fox find food, the coefficient of xy in the second

equation is +. In the absence of rabbits, the fox population dies out, therefore y in

the second equation has a negative coefficient.

A solution of a system of first order ODEs as above is an n-tuple of functions

x1 (t), x2 (t), . . . , xn (t). It doesnt make much sense to talk about one of the functions

only, one should consider the whole n-tuple. An initial condition is a specification

of the n values x1 (t0 ) = a1 , x2 (t0 ) = a2 . . . xn (t0 ) = an . Note that, all values are

specified for the same value t0 of t.

Example 1.2 Consider the initial value problem

x01 = 2x1 + x2

x02 = x1 + 2x2

with x1 (0) = 5, x2 (0) = 1. Verify that x1 (t) = 3e3t + 2et , x2 (t) = 3e3t 2et is a

solution of this initial value problem.

Solution: First, check that the two ODEs in the system are satisfied:

(3e3t 2et )0 = 9e3t 2et = (3e3t + 2et ) + 2(3e3t 2et )

Next, check that the initial condition is satisfied:

x2 (0) = 3e0 2e0 = 1

Since all conditions are satisfied, the proposed set of functions is actually a solution

of the initial value problem.

2

ODEs

x01

x02

x0n

= f1 (x1 , x2 , . . . , xn , t)

= f2 (x1 , x2 , . . . , xn , t)

...

= fn (x1 , x2 , . . . , xn , t)

fi

that each fi (x1 , x2 , . . . , xn , t) and x

(x1 , x2 , . . . , xn , t) is continuous in a rectangular

j

box containing (a0 , a1 , . . . , an , t0 ). Then there is a unique solution of this initial value

problem in some interval containing t0 .

This theorem is a direct generalization of the corresponding theorem in the single

equation case. The proof of the generalization is also beyond the scope of this course.

1.1

Linear systems

Recall that a single first order ODE is said to be linear if it can be written in the

form dy

+ p(t)y = q(t). This concept generalizes to systems as follows:

dt

Definition 1.1 A system of first order ODEs is said to be linear if it can be

written in the form

x01

x02

x0n

= a21 (t)x1 + a22 (t)x2 + . . . + a2n (t)xn + b2 (t)

...

= an1 (t)x1 + an2 (t)x2 + . . . + ann (t)xn + bn (t)

If furthermore bi (t) = 0 for all i, then the system is said to be homogenous.

3

result: The solution exists throughout the interval on which the coefficient functions

are continuous .

Theorem 1.2 (Existence-uniqueness theorem, linear case) Consider the linear system of ODEs

x01

x02

x0n

= a21 (t)x1 + a22 (t)x2 + . . . + a2n (t)xn + b2 (t)

...

= an1 (t)x1 + an2 (t)x2 + . . . + ann (t)xn + bn (t)

that each aij (t) and bi (t) is continuous for t in an open interval (, ). Then there

is a unique solution of this initial value problem, valid over the whole interval (, ).

The aim of this chapter is to develop the theory of systems of first order linear

ODEs and to systematically find solutions when all aij (t)s are constants. Matrices

will be an essential tool, therefore we will spend some time reviewing basic concepts

about matrices.

Review of Matrices

Definition 2.1 An n m matrix A (of real numbers) is a rectangular array consisting in real numbers:

. . . a1n

. . . a2n

...

. . . amn

a11 a12

a21 a22

am1 am2

The numbers aij are called the entries of the matrix. The first index tells us which

row the entry is on, and the second index tells us which column the entry is on. The

vector (ai1 , ai2 . . . ain ) is said to be the i-th row vector of the matrix A. Similarly,

the vector

4

a1j

a2j

...

amj

is said to be the j-th column vector of the matrix A. As a shorthand notation,

we will sometimes write

A = (aij )

2.1

Complex numbers

Recall the set C of complex numbers: It is the set of numbers of the form a + bi

where a, b are real numbers. Complex numbers are subject to the usual rules of

arithmetic and i2 = 1. Therefore,

(a + bi)(c + di) = (ac bd) + (bc + ad)i

z = a + bi is z = a bi. The modulus of

a complex number z = a + bi is |z| = a2 + b2 . It is easy to check that z z = |z|2 .

The only complex number with modulus zero is z = 0.

We can divide by any nonzero complex number. Indeed, if z2 6= 0 then

Therefore

z1

z1 z2

=

.

z2

|z2 |2

We can look at matrices over complex numbers C, just take aij C.

1

z2

z2

.

|z2 |2

2.2

n m matrix AT = (aji ). The conjugate of A is A = (

aij ). The adjoint of A is

A = AT .

Example 2.1 Say

1 2 + 9i

0

A=

1

3

7 4i

Then,

1

1

3

AT = 2 + 9i

0

7 4i

2.3

A =

1 2 9i

0

1

3

7 + 4i

1

1

3

A = 2 9i

0

7 + 4i

Matrix Operations

Definition 2.3 Suppose that A = (aij ) and B = (bij ) are two mn matrices. Then

their sum is the m n matrix A + B = (aij + bij ).

Definition 2.4 Say A = (aij ) is an m n matrix and c is a number. Then the

scalar multiplication of A by c is the matrix cA = (caij ).

Subtraction can be defined by combining these two operations. Namely, A B =

A + (1)B.

Definition 2.5 Say A = (aij ) is an m n matrix and B = (bij ) is an n k matrix.

Then the matrix product of A and B is the m k matrix AB = (cij ) where

cij =

n

X

l=1

ail blj

Remark 2.1 The entry cij in the definition above is equal to the dot product of the

ith row vector of A and the jth column vector of B. The condition on the sizes of

the matrices guarantees that these two vectors have the same length.

Theorem 2.1 Matrix operations have the properties below. Let 0 denote a matrix

with all entries 0, and c a constant.

A+B =B+A

A+0=0+A=A

A + (A) = 0

A + (B + C) = (A + B) + C

c(A + B) = cA + cB

A(BC) = (AB)C

A(B + C) = AB + AC

A(cB) = c(AB)

Proof: Exercise.

Remark 2.2 In general, AB 6= BA unless A and B are chosen in a special way. Matrix multiplication should be considered to be analogous to composition of functions,

so it shouldnt be expected to be commutative.

2.4

We defined 3 of the four basic operations for matrices. What about division? First

of all we have to be careful about the order since AB 6= BA. So it is better to write

AB 1 or B 1 A rather than A/B. Therefore we should decide what A1 means. In

the case of numbers, if a 6= 0, then a1 is the number such that aa1 = 1. First of

all we should determine which matrix plays the role of 1, the multiplicative identity.

1

0

I=

0

0

1

0

0

0

1

...

0 0

... 0

. . . 0

. . . 0

... 1

identity matrix of order n.

It can be easily checked that for any n m matrix A or for any k n matrix B,

IA = A,

BI = B.

Therefore the matrix I plays the role of the multiplicative identity for matrix multiplication, namely the role of 1 in real or complex numbers.

Definition 2.7 Suppose that A is an n n matrix. We say that the n n matrix

B is an inverse for A if

AB = BA = I

The inverse of a matrix, if exists, must be unique. Indeed, suppose that both B1

and B2 are inverses for A. Then B1 A = I and AB2 = I. But then

B1 = B1 I = B1 (AB2 ) = (B1 A)B2 = IB2 = B2 .

Hence there can be at most one inverse for a matrix A. Denote the inverse of A by

A1 .

How do we decide if A1 exists or not? In the case of numbers, this had an easy

answer: a has an inverse iff a 6= 0. For matrices, this is a nontrivial matter. A quick

way is through determinants, to be discussed next.

2.5

Determinants

denoted by det(A) is a number attached to A. It can be computed inductively as

follows:

8

a b

n = 2 : In this case A =

and det(A) = ad bc.

c d

Let Aij denote the matrix A with row i and column j deleted. Therefore Aij is an

(n 1) (n 1) matrix.

n n : Suppose that A = (aij ). Then we define the determinant of A using smaller

determinants, by expansion with respect to the first row:

n

X

det(A) =

(1)j1 a1j det(A1j )

j=1

A= 3

1

of

0 2

4 5

1 8

Solution:

det A = a11 det(A11 ) a12 det(A12 ) + a13 det(A13 )

4 5

3 5

3 4

= 2 det

0 det

+ (2) det

1 8

1 8

1 1

= 2(37) 0 + (2)(1)

= 72

a b

Remark 2.3 In order to avoid the awkward notation det

we write

c d

a b

c d

etc. instead.

Now we can state the fundamental result that relates invertibility of a matrix and

its determinant:

Theorem 2.2 Let A be an n n matrix of real or complex numbers. Then A1

exists if and only if det(A) 6= 0.

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