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differential equations lecture notes

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Fall 2014

Lecture 8

Content: Basic theory of systems of first order linear equations. Homogeneous

linear systems with constant coefficients.

Suggested Problems:

7.4: 1, 5, 8, 9

7.5: 11, 12, 13, 15, 17, 30, 32

Linear Independence

c1 v1 + c2 v2 + . . . + cn vn ,

where c1 , . . . , cn are constants, is called a linear combination of v1 , . . . , vn .

Definition 1.2 A set {v1 , . . . , vn } is said to be linearly independent if

c1 v1 + c2 v2 + . . . + cn vn = 0 c1 = c2 = . . . = cn = 0

A set of vectors which is not linearly independent is called linearly dependent. There

is an alternative formulation of linear independence. Suppose that the set is linearly

dependent. Then there exist constants c1 . . . , cn , at least one of which is nonzero,

such that c1 v1 + c2 v2 + . . . + cn vn = 0. Suppose that ci 6= 0. Then

ci1

ci+1

cn

c1

vi = v1 . . .

vi1

vi+1 . . . vn .

ci

ci

ci

ci

Therefore, a set of vectors is linearly independent if and only if none of the vectors

in the set can be expressed as a linear combination of the remaining vectors.

1

1

v1 = 3 ,

6

v2 = 4 ,

5

5

v3 = 0

9

c1 + 3c2 + 5c3 = 0

3c1 + 4c2 = 0

6c1 + 5c2 9c3 = 0

1 3 5 | 0

1 3

5

3 4 0 | 0 3R1 + R2 R2 , 6R1 + R3 R3 0 5 15

6 5 9 | 0

0 13 39

1 3

5

3

R2 /5 R2 0 1

0 13 39

1 3 5

13R2 + R3 R3 0 1 3

0 0 0

| 0

| 0

| 0

| 0

| 0

| 0

| 0

| 0

| 0

Hence c3 is free. In particular there are solutions of the equation other than c1 =

c2 = c3 = 0. This means that {v1 , v2 , v3 } is linearly dependent.

We can make a similar definition for a set of functions:

Definition 1.3 We say that a set of functions {f1 (t), . . . , fn (t)} is linearly independent if the equation c1 f1 (t) + . . . + cn fn (t) = 0 for all t implies c1 = c2 = . . . =

cn = 0.

2

Solution: Suppose that c1 et +c2 et +c3 1 = 0 for all t. Choose some specific values

of t in order to get a linear system:

t = 0 c1 + c2 + c3 = 0

c2

t = 1 c1 e + + c3 = 0

e

c1

t = 1

+ c2 e + c3 = 0

e

Now let us turn this into matrix form and row reduce.

1

1 1 | 0

1

1

1

e 1/e 1 | 0 eR1 + R2 R2 , 1 R1 + R3 R3 0 1/e e 1 e

e

1/e e 1 | 0 0 e 1/e 1 1/e

1

1

1

1e

R2 + R3 R3 0 1/e e

0

0

2 e 1/e

| 0

| 0

| 0

| 0

| 0

| 0

We can row reduce further but it is clear at this point that we will get a leading

1 in each column. Therefore there are no free variables, and the only solution is

c1 = c2 = c3 = 0. Hence the set is linearly independent.

There is another elegant way to test a set of functions for independence if the

functions are differentiable enough times. Suppose that f1 , . . . , fn are functions of

t which are differentiable n 1 times. In order to test them for independence we

start from the equation

c1 f1 (t) + c2 f2 (t) + . . . + cn fn (t) = 0

which holds for all t. Differentiate this equation repeatedly in order to get a linear

system:

c1 f 1 + c2 f 2 + . . . + cn f n

c1 f10 + c2 f20 + . . . + cn fn0

(n1)

c1 f 1

(n1)

+ c2 f 2

+ . . . + cn fn(n1)

= 0

= 0

...

= 0

f1

f2

0

f1

f20

(n1)

(n1)

f1

f2

...

fn

c1

0

c2 0

...

fn0

=

. . . . . .

...

(n1)

cn

0

. . . fn

Invertibility of this matrix can be tested by looking at its determinant. Therefore

let us define

f1

f2

0

f1

f20

W (f1 , f2 , . . . , fn ) =

(n1) (n1)

f

f2

1

...

fn

...

fn0

.

...

(n1)

. . . fn

The discussion above implies

Theorem 1.1 If the Wronskian of a set of functions is not zero even for one value

of t, then the set is linearly independent.

Example 1.3 Show that {er1 t , er2 t , er3 t } is linearly independent if no two of r1 , r2 , r3

are equal.

Solution:

rt

r2 t

r3 t

e1

e

e

W (er1 t , er2 t , er3 t ) = r1 er1 t r2 er2 t r3 er3 t

r12 er1 t r22 er2 t r32 er3 t

1 1 1

= er1 t er2 t er3 t r1 r2 r3

r12 r22 r32

1

0

0

= e(r1 +r2 +r3 )t r1 r2 r1 r3 r1

r12 r22 r12 r32 r12

1

0

0

1

1

= e(r1 +r2 +r3 )t (r2 r1 )(r3 r1 ) r1

2

r r2 + r1 r3 + r1

1

1

0

0

(r1 +r2 +r3 )t

1

0

=e

(r2 r1 )(r3 r1 ) r1

r12 r2 + r1 r3 r2

1

0

0

(r1 +r2 +r3 )t

1

0

=e

(r2 r1 )(r3 r1 )(r3 r2 ) r1

r12 r2 + r1 1

= e(r1 +r2 +r3 )t (r2 r1 )(r3 r1 )(r3 r2 ).

Since r1 , r2 , r3 are distinct the Wronskian is not (actually never) zero. Therefore

{er1 t , er2 t , er3 t } is linearly independent.

Exercise: Show that {er1 t , . . . , ern t } is linearly independent if r1 , r2 , . . . , rn are distinct.

ODEs

Let us first consider the case of homogenous systems of first order linear ODEs,

namely, systems of the form:

5

dx

= A(t)x.

dt

(1)

Theorem 2.1 (Principle of superposition) Suppose that x(1) , x(2) are solutions of

(1). Then any linear combination c1 x(1) + c2 x(2) is also solution where c1 , c2 are

constants.

Proof Put c1 x(1) + c2 x(2) in (1) and see if it works:

dx(1)

dx(2)

d

(c1 x(1) + c2 x(2) ) = c1

+ c2

dt

dt

dt

(1)

= c1 A(t)x + c2 A(t)x(2)

= A(t)(c1 x(1) + c2 x(2) )

We now want to construct a set of solutions of (1) so that any other solution is a

linear combination of them. These will in a sense will be basic building blocks for the

space of all solutions. We want to do this so that we have just the necessary number

of building blocks and no redundant ones. In order to construct these solutions we

appeal to the existence-uniqueness theorem. Let t0 be any point in the intersections

of the domains of continuity of the entries of A(t).

Consider the initial value problem

dx

= Ax,

dt

0

. . .

0

x(t0 ) =

1

0

. . .

0

where the only 1 in the vector above is at the ith position. By the existence-uniqeness

theorem, this initial value problem has a unique solution x(i) .

6

Theorem 2.2 The set of vector functions {x(1) , x(2) , . . . , x(n) } is linearly independent.

Solution: Suppose that c1 x(1) +c2 x(2) +. . .+cn x(n) = 0. This equation is equivalent

to the linear system

x(1) | x(2)

c

1

| . . . | x(n) . . . = 0

cn

Thus,

situation the natural

substitute for the Wronskian is W (x(1) , . . . , x(n) ) =

(1) in this

(2)

(n)

x

| x

| . . . | x . Evaluating the Wronskian at t0 , we get,

1 0 . . . 0

0 1 . . . 0

(1)

(n)

=1

W (x , . . . , x )(t0 ) =

.

.

.

0 0 . . . 1

Therefore, {x(1) , x(2) , . . . , x(n) } is linearly independent.

Theorem 2.3 Every solution of (1) can be written as a linear combination of

x(1) , x(2) , . . . , x(n) (in a unique way).

k1

Proof Suppose that x is an arbitrary solution of (1). Say x(t0 ) = . . .. Then

kn

(1)

(2)

(n)

k1 x + k2 x + . . . + kn x and x have the same value at t0 and they are both

solutions of (1). Therefore, by the existence-uniqueness theorem,

for all t. The uniqueness of the representation follows from the linear independence

of {x(1) , x(2) , . . . , x(n) }.

Definition 2.1 A linearly independent set B of solutions of (1) such that every

solution of (1) is expressible as a linear combination of elements of B is said to be

a basis for the space of solutions.

7

The results above say that {x(1) , x(2) , . . . , x(n) } is a basis for the space of solutions.

This basis is not unique. We can use the following results from linear algebra to test

whether or not a given set is a basis.

Theorem 2.4 (1) Any two bases for the same solution space have the same number

of elements. In particular, if A is an nn matrix, then any basis for for the solution

space has n elements.

(2) Any linearly independent set containing n solutions is a basis. (Under these

conditions, every solution is a linear combination of these)

These results imply that for an n n linear, homogenous system, it suffices to find

n linearly independent solutions. Then every other solution is a linear combination

of these.

Consider the system dx

dt

of this system of the form x(t) = vet where v is a constant vector. Then,

dx

dvet

=

dt

dt

= vet

dx

dt

= Ax = Avet . So,

Avet = vet

Av = v

x01 = 2x1 + x2

x02 = x1 + 2x2

d x1

2 1 x1

=

1 2 x2

dt x2

2 1

We start by finding the eigenvalues and eigenvectors of A =

.

1 2

2

1

det(A I) =

1

2

= (2 )2 1

= (3 )(1 )

solutions of the system

1 1 | 0

1 1 | 0

R R

1 1 | 0 12 1 1 | 0

1 1 | 0

R1 + R2 R2

0 0 | 0

1

The eigenvectors for 1 = 3 are then v = k

with k =

6 0. For this pair, we can

1

1 3t

write the solution x(1) (t) =

e .

1

Next, let us look at eigenvectors for 2 = 1:

9

1 1 | 0

1 1 | 0

R + R2 R2

1 1 | 0 1

0 0 | 0

1

Therefore the eigenvectors for 2 = 1 are v = k

. For this pair, we can write

1

1 t

the solution x(2) (t) =

e.

1

Is the set {x(1) , x(2) } linearly independent? We can look at their Wronskian

(1)

W (x

(2)

,x

3t

e et

= 2e4t 6= 0

= 3t

e

et

Therefore the set is linearly independent. This implies that all solutions of the system

are

3t

t

e

e

x = c1 3t + c2

e

et

with c1 , c2 R.

10

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