Linear Algebra and Differential Equations

Lecture 1
Introduction

June 13, 2016

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Introduction
An ordinary differential equation is an equation that involves an unknown
function or functions (the dependent variable(s)) and derivatives of the
dependent variable (s) with respect to the independent variable. Some
examples
q
= A cos t
C
g
00 + sin = 0
L


p  p
0
1
p = rp 1
K
a
x 00 (1 x 2 )x 0 + x = 0

 0 
x
4x + 3y
=
y
2x + 3y

Lq 00 + Rq 0 +

A solution to a differential equation is a function, which when it is

substituted into the equation, it satisfies it exactly.
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An Example
Consider the DE
x 0 = x + e t
Trying x = te t
x 0 = te t + e t = x + e t
So it is a solution. In fact the function x(t) = (t + C )e t also is a
solution for any constant C. This is known as the general solution of the
differential equation. It is analogous to the +C term you get when you
find antiderivatives in Calc I.
If we require a particular solution, an initial value of the function must be
specified. For example if x(0) = 2 then C = 2 and x(t) = (t + 2)e t

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Nomenclature

The order of a DE is the order of the highest derivative in the equation. A

DE is linear if the equation is a linear function of the dependent variable
and its derivatives and nonlinear otherwise. A DE is autonomous is the
independent variable doesnt appear explicitly.
For the examples above, the first, second, and fourth are second order and
the third and fifth are first order. The first and fifth equations are linear,
the others are nonlinear. The second, third, fourth, and fifth equations are
autonomous and the first is nonautonomous.

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Partial derivatives and the multivariable chain rule

Given a function of more than one variable, its partial derivative with
respect to one of the variables is obtained by taking the usual derivative
with respect to the given variable assuming the other variables are
constant. For example
F (x, y , z) = x 2 y + z 3 y 4 + e xz

F
= 2xy + ze xz
x

F
= x 2 + 4z 3 y 3
y

To differentiate a function of several variables, the chain rule becomes

dF
F dx
F dy
F dz
=
+
+
dt
x dt
y dt
z dt
So for the example above
F 0 = (2xy + ze xz )x 0 + (x 2 + 4z 3 y 3 )y 0 + (3z 2 y 4 + xe xz )z 0
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Analytic or closed form solutions

A analytical or closed form solution is an expression relating the
dependent variable(s) and independent variable without any derivatives. It
can be given in explicit form, x = F (t), or in implicit form, G (x, t) = C . If
the DE is given by
x 0 = f (t, x)
Suppose a closed form solution of this equation is g (t, x) = C .
differentiating with respect to t gives
gt
g 0 g
x +
=0
x0 =
x
t
gx
Where we define
g
g
gt =
gx =
t
x
thus g (x, t) is a solution if
gt
f (x, t) =
gx
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Example
A closed form solution of
x0 =

x 3 + x 2 sin(xt)
= f (x, t)
2x 2 t xt sin(xt) + 1

is given by g (x, t) = x 2 t + cos(xt) + ln x = C , since

gt = x 2 x sin(xt)

gx = 2xt t sin(xt) +

1
x

and

gt
gx

x 2 x sin(xt)
2xt t sin(xt) +

1
x

x 3 + x 2 sin(xt)
2x 2 t xt sin(xt) + 1
= f (x, t)
=

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Initial value problems

An initial value problem consists of a differential equation together with an

initial value of the dependent variable.
x 0 = f (x, t)

x(t0 ) = x0

Given an IVP the mathematical issues that need to be addressed are

Existence : Is there a solution?
Uniqueness : If there is a solution, is it unique?
Interval of Existence : For what range of values does the solution
exist?

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Things that can go wrong

Just like in the theory of algebraic equations, we are not guaranteed that a
given DE has a solution. Here are some examples of DE that misbehave in
some way
Example 1 Existence: The IVP
x 0 = x 2 ln(1 t)

x(1) = 4

cannot have a solution since the derivative isnt defined at t = 1

Example 2 Uniqueness: The IVP
x 0 = 2x 1/2

x(0) = 0

has two solutions x = 0 or x = t 2 .

Example 3 Interval of existence : The IVP
x0 = 1 + x2

x(0) = 0

has solution x = tan t which only exists for 2 < t < 2 .

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The Main Theorem

Given the IVP
x 0 = f (t, x)

x(t0 ) = x0

(a) If f (t, x) is continuous on the open rectangle a < t < b, c < x < d,
then the IVP has a solution for an open interval < t < about the
initial point.
f
is continuous in the rectangle the solution is unique.
(b) If in addition x
Notes
(1) The theorem is a local existence theorem. It only guarantees a solution
in a small neighborhood of the initial point. It doesnt give any
information about the solutions interval of existence.
(2) The theorem is also true if the dependent variable is a vector and all
the partial derivatives with respect to the dependent variables are
continuous.
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An illustrative example
Consider the DE
x 0 = 2t(x 1)2
with three different initial conditions.
(a) x(0) = 2

(b)

x(0) = 0

(c) x(0) = 1

To solve the equation we will separate the variables i.e put the xs on the
left hand side of the equation and the ts on the right.
Z
Z
dx
dx
= 2t dt
= 2t dt
(x 1)2
(x 1)2
Integrating we get

1
= t 2 + C
x 1

x =1+

t2

1
C

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(a) x(0) = 2, substituting

2=1+

1
C

x(t) = 1 +

C = 1

1
t2 + 1

(b) x(0) = 0, substituting

0=1+

1
C

x(t) = 1 +

C =1

1
t2 1

This only exists if 1 < t < 1

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(c) x(0) = 1, substituting into the solution we derived gives

1=1+

1
C

C = ?

The problem came from the method of solution of the equation. When we
separated the variables we divided by (x 1)2 . We can only do this if
x 6= 1.
By substituting it directly into the DE it is easy to show that x(t) = 1 is a
solution. This type of solution s called a singular solution.

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Motion of a particle attached to a spring

We consider a particle of mass m attached to a spring. Initially displace it
an amount x0 and let go. The initial conditions are x(0) = 0, v (0) = 0.
The particle will oscillate about the equilibrium (x = 0) position.
The independent variable will be time and the dependent variable will be
the displacement x. To get a differential equation for x we will use
Newtons 2nd law
F = ma = mx 00
For a spring the force is given by Hookes law
F = kx

where k is a constant called the spring constant

The differential equation is

mx 00 + kx = 0
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Considering the behaviour of the particle leads to guessing a solution of

the form
x = A cos(t)
Substituting into the equation gives
r
2

m( A cos(t)) + kA cos(t) = 0

k
m

To find A we use the initial condition

x(0) = x0

A = x0

Since the equation is second order, to get a unique solution, two initial
condition are required. By guessing to use the cosine we have
automatically satisfied v (0) = x 0 (0) = 0. In general the solution will be a
combination of sines and cosines.
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Is this solution unique? Yes, because we can replace the second order
equation by the two first order equations
x0 = v

v0 =

k
x
m

which we can express in the form of the single 1st order vector DE
 0 

v
x
=
k
v
m
x
The right hand side of the equation is continuous as are the partial
derivatives with respect to x and v, so by the main theorem the solution is
unique.

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