Linear Algebra and Differential Equations

Lecture 21
Matrix exponential method for solving systems of
differential Equations

July 26, 2016

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The exponential of a matrix

If a matrix Ais diagonalizable and

1
0

A = P .
..
then

eA = P

1 , , n are its eigenvalues then

0 0
2 0
1
.. . .
.. P
.
.
.

e 1
0
..
.

0
e 2
..
.

..
.

0
0
..
.

e n

1
P

expanding the exponentials as power series leads to

Linear Algebra and Differential EquationsLecture 21 Matrix exponential
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1 + 1 +

e = P

0
..
.
0

21
2!

1 + 2 + 2!2 +
..
.

..
.

0
..
.

1 + n +

0
2

2n
2!

Thus

A2 A3
+
+
2!
3!
We will use this to define the exponential for any matrix and
eA = I + A +

d At
t 2 A3 t 3 A4
e = A + tA2 +
+
+ = Ae At
dt
2!
3!
Thus the solution to the IVP
x0 = Ax

x(0) = x0

is
x(t) = e At x0
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An example
Find the solution to the IVP
 0 
 
x
5 1
x
=
y
2 6
y

x(0)
y (0)


=

4
1

The characteristic equation and eigenvalues are

2 11 + 28 = 0

= 4, 7

The associated eigenvectors are given by


 

1 1
0
v4 =

2 2
0


2 1
2 1


v7 =

0
0


v4 =

1
1


v7 =

1
2

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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The change of basis matrix and its inverse are given by





1 2 1
1 1
1
P=
P =
1 2
3 1 1
and the solution to the IVP is
x = e At x0


x
y

1
=
3

=

1 1
1 2



3e 4t + e 7t
3e 4t + 2e 7t

e 4t
0


0
e 7t



2 1
1 1



4
1

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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Repeated root
If A has a repeated root then the Cayley-Hamilton theorem in this case is
(A I)2 = 0
Let B = A I then B2 = 0 and
e At = e tI e Bt = e t e Bt
but B2 = 0 so
e Bt = I + Bt
Thus in this case
e At = e t (I + t(A I))

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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An Example
Find the solution to the IVP
 0 
 
x
6 4
x
=
y
1 2
y

x(0)
y (0)


=

3
4

The characteristic equation and eigenvalues are

2 8 + 16 = 0

=4

The matrix exponential is







1 0
2
4
1 + 2t 4t
At
4t
4t
e =e
+t
=e
t
1 2t
0 1
1 2
So the solution is
 





x
1 + 2t 4t
3
3 + 10t
= e 4t
= e 4t
y
t
1 2t
4
4 + 5t
Linear Algebra and Differential EquationsLecture 21 Matrix exponential
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Complex eigenvalues
Suppose A has complex eigenvalues = i then the Cayley-Hamilton
theorem gives
(A I)2 + 2 I = 0
Let
B = A I

B2 = 2 I

Then
e At

= e tI
e Bt = e t e Bt

B2 t 2 B3 t 3
t
+
+
= e
I + Bt +
2!
3!


2t
4t 4
2t 3 4t 5
t
= e
I(1
+
+ ) + B(t
+
+ )
2!
4!
3!
5!


sin t
= e t cos tI +
(A I)

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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An example
Find the solution to the IVP
 0 
 
x
4 3
x
=
y
6 2
y

x(0)
y (0)


=

2
1

The characteristic equation and eigenvalues are

2 + 2 + 10 = 0

= 1 3i

The matrix exponential is






sin 3t 5 3
1 0
At
t
e
= e
cos 3t
+
6 1
0 1
3


cos 3t + 53 sin 3t
sin 3t
t
= e
2 sin 3t
cos 3t 13 sin 3t
So the solution is
 
 


x
2
2 cos 3t + 37 sin 3t
= e At
= e t
y
1
cos 3t + 11
3 sin 3t
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Solving inhomogeneous linear equations

To solve the equation
x0 = Ax + f
you can either use the method of undetermined parameters (guessing) or
variation of parameters to find a particular solution. Define the
fundamental matrix as a solution to the homogeneous equation
0 = A
Let x = u then
x0 = u0 + 0 u = u0 + Au = Au + f
The equation reduces to
0

u = f

u =

Z
f

u=

1 f dt

and the particular solution is

Z
xp =

1 f dt

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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Inhomogeneous constant coefficient equations

In this case the fundamental matrix is
1 = e At

= e At
The particular solution has the form
xp = e At

e At f dt

and the solution to the IVP

x0 = Ax + f

x(0) = x0

is
x = xp + (x0 xp (0))

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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In the case of distinct real eigenvalues

 t

e 1
0
=P
P1
0
e 2 t


=P

e 1 t
0

0
e 2 t

P1

For repeated roots

= e t (I + t(A I))
1 = e t (I t(A I))
For complex roots = i


sin t
(A I)
= e t cos tI +



sin t
1
t
=e
cos tI
(A I)

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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An example
Solve the IVP
 0 
  

x
6 4
x
12t 2 12t 100
=
+
y
5 3
y
10t 2 12t 75

x(0)
y (0)


=

2
5

The characteristic equation is

2 + 3 + 2 = 0
The eigenvectors are given


5 4
v1 = 0
5 4


4 4
5 5

= 1, 2

4
5

1
1

v1 =


v2 = 0

v2 =

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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So




4 1
1 1
1
P=
P =
5 1
5 4
 t



e
0
4e t + 5e 2t 4e t 4e 2t
1
=P
P =
0 e 2t
5e t + 5e 2t 5e t 4e 2t

To find a particular integral we guess

 2

at + bt + c
xp =
dt 2 + et + f
Substituting into the DE gives

 


 
2a
2b
6 4
t
=
=
t2
2d
2e
5 3



12
2
+t
+t
10

  
b
c
+t
+
e
f
 

12
100
+
12
75

a
d

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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This separates into three equations : the t 2 terms

  

 

0
6 4
a
12
=
+
0
5 3
d
10

The t terms

a
d


1
=
2

3 4
5 6

6
=
5
 

1 3
b
=
e
2 5
4
0

4
3





4
6

12
10

b
e



=

2
0


12
+
12
  
16
0
=
12
4

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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The constant terms



c
f

0
4


=

1
=
2

6 4
5 3
3 4
5 6





c
f


+

100
79

100
75


=

8
13

The general solution is

 
 2

x
2t 8
=
y
4t + 13
 t
 
 

4e + 5e 2t 4e t 4e 2t
2
8
+

5e t + 5e 2t 5e t 4e 2t
5
13
 2
 

t
2t
2t 8
112e + 122e
=
+
140e t + 122e 2t
4t + 13

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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An example using variation of parameters

Solve the IVP
 0 
  

x
8 6
x
0
=
+
y
6
4
y
t 2 e 2t

x(0)
y (0)


=

3
1

The characteristic equation is

2 + 4 + 4 = 0

= 2

the fundamental matrix and its inverse are







6 6
6 6
2t
1
2t
=e
I+t
=e
It
6
6
6
6
The particular solution will be
Z
xp =

1 f dt

Linear Algebra and Differential EquationsLecture 21 Matrix exponential

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f=e

2t


 

1 + 6t
6t
0
6t 3
=
6t 1 6t
t 2 e 2t
t 2 6t 3


Z
3 4
t
1
2
f dt = 1 3 3 4
3t 2t

and the particular solution is

xp = e 2t

1 6t 6t
6t
1 + 6t


1 3
3t

3 4
2t

32 t 4

21 t 4

= e 2t

1 3
3t

1 4
2t

solution is


1 4
2t

1 6t 6t
x =
+e
1 3
1 4
6t
1 + 6t
3t + 2t


1 4
t 12t + 3
= e 2t 1 3 2 1 4
t
+ 2 t 12t 1
3
2t



3
1

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