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ODEsofhigherordersandsystemsofODEs

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

3.2.HigherorderlinearODEs

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

3.4.Prerequisites.Matrixeigenvalueproblem

3.5.PhaseportraitsoftwodimensionalsystemsoflinearODEs

3.6.Localanalysisofnonlinearsystems.Linearization

3.7.Multispringsystem.Frequencyspectrum

Reading:

Kreyszig,AdvancedEngineeringMathematics,10thEd.,2011

Selectionfromchapter3and4

Prerequisites:

Kreyszig,AdvancedEngineeringMathematics,10thEd.,2011

1.Basicsofmatrixesandvectors:Section4.0

2.Complexnumbers:Sections13.1,13.2and13.5

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 1

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

The general form of an ODE of nd order is

, , , ,, , 0 (3.1.1)

We will consider only equations in the explicit form, resolved with respect to the highest

derivative

, , , ,, (3.1.2)

, , , ,, 0 (3.1.3)

General rule: Number of constants in the general solution coincides with the order of the ODE.

One possible way to determine and is to specify initial conditions:

, ,, (3.1.4)

The problem (3.1.2), (3.1.4) is called the initial value (Cauchy) problem for the ODE of th order.

The conditions can be also specified in the form of boundary conditions, prescribing values of

the unknown function and/or its derivatives at various , , etc.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 2

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

General rule: Number of initial/ boundary conditions should coincide with the order of the ODE.

Note: Formulation of initial or boundary conditions does not guarantee that the

corresponding particular solution exists and is unique. The conditions, when the solution exists

and is unique, are formulated in the form of existents and uniqueness theorems.

There are three basic cases when the change of variable allows one to reduce Eq. (3.1.2) to an

equation of smaller, ( 1 th, order.

Cases when the order of an ODE reduces:

1. RHS of Eq. (3.1.2) depends only on :

, , ,,

Lets introduce new variable : , , . Then

, , , ,

3. RHS. of Eq. (3.1.3) does not depend on :

, , ,,

Lets introduce new variable . Then

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 3

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

,

, , etc. Then the ODE transforms to:

, ,, , , , ,, ,,

This is an ODE of order 1 , but, may be, in a nonexplicit form.

Example 1: 0.

Change of variable: , then 0. This is the secondorder linear homogeneous ODE

with constant coefficients. General solution is .

Solution of the original ODE: .

Example 2: 0.

Lets make the variable change: , . Then the ODE transforms to

0 or 0 : Firstorder linear (separable) ODE.

Solution: / . Now / . This is separable equation.

Solution of the original ODE: /2 .

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 4

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

Many scientific and engineering problems are formulated in terms of systems of ODEs.

A system of ODEs is a set of ODEs, where RHSs in individual equation depend on a few unknown

functions, so all equations should be solved simultaneously.

Example: 3D motion of a spacecraft on a low Earth orbit (LEO)

y

,

v m F D

Gravitational potential

FG

x FG:Gravityforce

z 1

M FD:Aerodynamicdragforce

2

1

, , , , ,

2

1

, , , , ,

2

1

, , , , ,

2

The RHS of every equation of motion depends on all current coordinates and velocity

components of the body and, thus, can not be found independently of and .

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 5

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

The Order (or dimension) of a system of ODEs is the number of unknown functions (equations).

Example:

, , , , , , , , , ,

(3.1.5)

, , , , , , , , , ,

: Twodimensional system of ODEs.

The systems of the firstorder ODEs in the explicit form play a fundamental role.

, , ,, , , ,,

(3.1.6)

, , ,, , , ,,

: System of firstorder ODEs, ndimensional systems of firstorder equations.

General solution of system (3.1.6) is the system of functions

, ,,

, ,,

which turn every ODE in (3.1.6) into identity. Every function includes arbitrary constants , ,

. These constants can be determined from the initial conditions of the Cauchy problem:

, , , , ,

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 6

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

or appropriate boundary conditions of the boundary value problem.

Systems (3.1.6) are called fundamental, because any system (or individual equation) in the

explicit form reduces to a system of form (3.1.6) by a proper change of variables.

Example: Lets consider a single equation of th order and show that it reduces to a system in

the form (3.1.6):

, , , ,, (3.1.7)

Lets introduce new functions , , ,, .

Then one can solve a fundamental system

(3.1.8)

, , ,, , , ,,

Once (3.1.8) is solved, function gives the solution of the original equation (3.1.7).

Note: Reduction to fundamental system is often used when ODEs are solved numerically. Most

of numerical methods are designed to solve only fundamental systems of form (3.1.6). Using

appropriate change of variables, the majority of practical problems can be formulated in terms

of a fundamental system. There are some specific methods for solving systems of secondorder

ODEs since Newtons law of motion results in the secondorder ODEs.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 7

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

Fundamental systems

, , ,, , , ,,

(3.1.6)

, , ,, , , ,,

are often formulated and solved using the matrix notation: Lets introduce column vectors of

unknowns , their derivatives , RHSs , arbitrary constants , and solution :

, , , , ,

,

And the general solution of this system takes the form

,

1. When we have many equations ( >>1) with unified RHSs.

2. For numerical solution of systems of ODEs, since it allows one to develop universal computer

codes, which can be applied for solving any fundamental system with arbitrary and

arbitrary vector of RHS , .

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 8

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

Example 1: 2nd order ODE for the massspring system vs. twodimensional system

,

1. Let's introduce new functions (the number of functions is equal to the order of ODE)

: Displacement

: Velocity

fundamental system

,

where

, , ,

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 9

3.1.HigherorderODEsandsystemsofODEs.Basicconcepts

Example 2: Reducing twodimensional equations of motion to a fundamental system

, , , ,

, , , ,

: coordinate,

: coordinate,

: component of velocity,

: component of velocity.

fundamental system

,

where

, , , , , , , /

, , , , /

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 10

3.2.HigherorderlinearODEs

The linear ODEs of th order in the standard form is the equation

(3.2.1)

Eq. (3.2.1) is called homogeneous if 0 and nonhomogeneous otherwise.

The general theory of linear ODEs of th order is the direct (and simple) generalization of theory

developed for the secondorder linear ODEs. In particular:

1. A particular solution of the Cauchy problem exists and is unique in any interval ,

where the coefficients and RHS are continuous functions.

2. The general solution of the homogeneous equation has the form

where , , are linearly independent solutions of the homogeneous equation and

, , are arbitrary constants determined based on the initial or boundary conditions.

3. A system of solutions , , are linearly independent if and only if its Wronskian

is not equal to zero

4. The general solution of a linear nonhomogeneous equation can be represented in the form

5. Both method of undetermined coefficients and Lagrange method of variation of parameters

can be generalized for linear ODEs of th order.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 11

3.2.HigherorderlinearODEs

The linear homogeneous ODEs of th order with constant coefficients in the standard form is

the equation

0 (3.2.2)

If we will look for a particular solution of this eq. in the form , then substituting this

function into Eq. (1.16.2) one can obtain the characteristic equation for

0

This equation has roots , , among which multiple real and complex root can appear, but

complex roots are present in complex conjugate pairs (i.e. if is the root of characteristic

equation of order , then there is another root of the same order ).

Possible cases:

1. Real root of order . It corresponds to linearly independent solutions of the form

, , ,

2. Pair of complex conjugate roots and of order . They correspond to 2

linearly independent solutions in the form

cos , sin , cos , sin , , cos , sin

Example: 2 2 0

Roots of the characteristic equation: Single real 1, double complex , and ,

. General solution takes the form:

cos sin

ME501,MechanicalEngineeringAnalysys,AlexeyVolkov 12

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

A system of firstorder ODEs is called autonomous (or dynamical) if its RHSs do not depend on

the independent variable , i.e.

Note 1: Autonomous systems often appear in mechanical problems if forces do not explicitly

depend on time.

Note 2: Formally, any dimensional fundamental system can be reduced to 1

dimensional autonomous systems by adding equation 1( ).

Example: Motion of point masses of mass (atoms) under the internal potential forces with

the potential energy , , ,, , , :

:Autonomous

, , , 1,

system

If the matter is considered at the level of individual atoms, the motion of atoms is described by

the autonomous systems of ODEs (statistical physics, solid state physics, rarefied gas dynamics).

We will consider only twodimensional autonomous systems:

, ,

or , , (3.3.1)

, ,

, , , , , (3.3.2)

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 13

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

Example of an autonomous system: 3D motion of a spacecraft on a low Earth orbit (LEO)

y ,

v m FD

FG

x

z M

1

, , , , ,

2

1

, , , , ,

2

1

, , , , ,

2

The RHS of equations of motion does not depend on time explicitly if const and

const.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 14

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

It is convenient to show different particular solutions in the form of curves on the plane ,

which in this case called the phase space or phase plane of the autonomous system (3.3.2).

Any point in the phase plane is called the phase point or phase state.

If and are fixed, then a particular solution (3.3.2) parametrically defines a curve on the

phase plane, which is called the phase trajectory of the autonomous system.

,

Here is a parameter: Different correspond to

different points (states of the same trajectory).

Phase

Constants and define different trajectories. plane

The phase portrait of an autonomous system is

a set of its characteristic trajectories on the Phase

phase plane. trajectories

Phase

Vector is called the phase velocity. The velocity

phase velocity vector is tangent to the phase

trajectory.

Phase velocity is uniquely defined by the current

phase state of the autonomous system,

, ,

.

, ,

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 15

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

Example: Undamped pendulum

Newton'ssecondlaw sin

ofmotion:

Fundamentalsystem:

sin

Phase portrait:

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 16

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

Consequence 1: Phase trajectory of an autonomous system that corresponds to the initial

condition

,

,

does not depend on .

ArbitrarysystemAutonomoussystem

,

isunique

,

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 17

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

Consequence 2: If solution of the Cauchy problem

,

,

is unique for in some domain on the phase plane, then phase trajectories of the

autonomous system cannot intersect each other in any point in . Two cases possible:

1. Any from where 0. Then any trajectory following through should have the

same tangent . Different trajectories (for different initial conditions) going through point

will be indistinguishable, so all of them correspond to the single phase trajectory.

2. Any from where 0. Then any such point is a whole solution (whole trajectory) of

the system. Any other trajectory can approach such point, but never reach it at finite .

Autonomous system

Threetrajectories

0

Domain

0

Thiscaseisimpossibleforan

autonomoussystembecause

directionofthephasetrajectory

isuniqueforgiven if

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 18

3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability

Apoint ,where 0,iscalledthecriticalpointoftheautonomoussystem.

Critical points are very important for applications, since they correspond to equilibrium states

(positions) of the physical system described by the autonomous system of ODEs.

Example: Undamped pendulum

sin

sin

Greendot:StableC.P.

Criticalpoints Reddot:UnstableC.P.

Equilibriumpositionscanbeeitherstableorunstable.

Acriticalpoint iscalledstable if,roughly,alltrajectoriesthatat

someinstantarecloseto remaincloseto atallfuturetimes.

iscalledunstable ifitisnotstable.

iscalledstableandattractive(orasymptoticallystable)if is

stableandthereisadisk around suchthateverytrajectory

thathasapointin approaches as .

Stabilityofacriticalpoint canbedeterminedinvestigatingthephaseportraitnear .

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 19

3.4.Prerequisites.Matrixeigenvalueproblem

Matrixeigenvalueproblemformatrix2x2

Consider a matrix of dimension 2 x 2 and arbitrary column vector of dimension 2

equivalenttomultiplicationbyarealnumber

(3.4.1)

If for some nonzero vector , Eq. (3.4.1) is true, then is called the eigenvector of matrix ,

and is called the eigenvalue of matrix corresponding to eigenvector .

Theproblemoffindingallpossiblepairs( , iscalledthematrixeigenvalueproblem.

Thematrixeigenvalueproblemissolvedintwosteps:

Calculationofalleigenvalues .

Calculationofeigenvectorsforeveryeigenvalue.

Step 1: Calculation of eigenvalues

Eq. (3.4.1) can be rewritten as:

1 0

0,

: (3.4.2)

0 1

Eq. (3.4.2) is a homogeneous system of linear equations with respect to unknown components

of vector . Such system has a nontrivial (and nonunique) solution only if the determinant of

the matrix of coefficients, , is equal to 0.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 20

3.4.Prerequisites.Matrixeigenvalueproblem

Thus, eigenvalues should satisfy the characteristic equation

det 0

or

0

or

0

or

0

0 (3.4.3)

where , det .

The characteristic equation (3.4.3) has two (real or complex) roots

, , (3.4.4)

where 4 , , .

Notes:

1. Matrix 2 x 2 has at most two different eigenvalues.

2. Eigenvalue problem can be formulated for any square matrix of size x . Matrix of size x

has at most different eigenvalues.

3. If det 0 then at least one eigenvalue is equal to zero.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 21

3.4.Prerequisites.Matrixeigenvalueproblem

Second step: Calculation of eigenvectors

Let's assume we solved Eq. (3.4.3) and found all possible eigenvalues.

Let's consider some eigenvalue, e.g., .

The elements of the corresponding eigenvector can be found from Eq. (3.4.1) or

0

The matrix has zero determinant, so this system has infinitely large number of

solutions (if is a solution then c is solution as well): Eigenvectors are not unique! We can

use any of two equations in order to find , for instance, first equation:

0. (3.4.5)

If 0, then we can assume that has some prescribed value and use Eq. (3.4.5) in order

to find

1

; (3.4.6)

Note: The same approach for calculation of eigenvectors of a matrix of arbitrary size x if

this matrix has different eigenvalues .

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 22

3.4.Prerequisites.Matrixeigenvalueproblem

Let's consider two column vectors and of size 2 x 1. These vectors are called linearly

independent if their linear combination is equal to zero only if 0, i.e.,

0 0 (3.4.7)

Let's rewrite Eq. (3.4.7) in the form of the linear system:

; ; 0 (3.4.8)

Thus, and are linearly independent, if system of linear equations in Eq. (3.4.8) has only a

trivial solution (see prerequisites in Section 2.2). It happens if det 0:

Theorem :

If eigenvalues or matrix is symmetric ( ) or skewsymmetric ( ),

then eigenvectors and are linearly independent.

Proof: Lets proof the theorem only for the most important case .

Lets assume that and are linearly dependent, e.g., c with 0.

Then .

Now we can subtract from the last eq.: 0, which is

impossible if . Thus, and are linearly independent .

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 23

3.4.Prerequisites.Matrixeigenvalueproblem

Example: Solve the matrix eigenvalue problem for

1 3

7/12 2

Step 1: Calculation of eigenvalues

1 3 7 15

det 0 1 2 3 0 0

7/12 2 12 4

1 1 15 5 3

, ; ;

2 4 4 2 2

Step 2: Calculation of eigenvectors. Let's calculate eigenvector for 5/2

1 3 3.5 3

7/2 2 7/2 0.5 Solutionof

3.5 3 thematrix

0 0 eigenvalue

7/12 0.5

problem

First row: 3.5 3 0 7/6

Second row: 7/12 0.5 0

1 6 6

or ;

7/6 7 1

Since , and are linearly independent:

6 6

det ; det det 48 0

7 1

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 24

3.5.PhaseportraitsoftwodimensionalsystemsoflinearODEs

Let's consider twodimensional autonomous system of homogeneous linear ODEs with

constant coefficients:

or

,where (3.5.1)

Lets look for a particular solution of (3.5.1) in the form of a vector of exponential function

,where

If we substitute this function into Eq. (3.5.1), since , we obtain the matrix equation:

0 (3.5.2)

Conclusions:

can be a particular solution of the system (3.5.1) only if is the eigenvector of the

matrix of coefficients and is the corresponding eigenvalue.

Solution of a system of homogeneous linear ODEs with constant coefficients reduces to the

matrix eigenvalue problem.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 25

3.5.PhaseportraitsoftwodimensionallinearsystemsofODEs

Let's assume that we applied Eqs. (3.4.3)(3.4.6) and found , , and , for matrix .

Two cases are possible:

and are linearly independent ( 0 only if 0). In this case

and are linearly independent solutions and the general solution is

(3.5.3)

and are linearly dependent. It can happen only in the case of the double real root,

. One can show that the general solution can be found then in the form

(3.5.4)

where can be found by substituting Eq. (3.5.4) into Eq. (3.5.1) (Kreyszig, pp. 145146).

Critical points of system in Eq. (3.5.1) are given by the solutions of the equations

(3.5.5)

if det 0 , then SLE (3.5.5) has only trivial solution, 0, and the system (3.5.1) has only

one critical point, 0.

if det 0, then at least one eigenvalue is equal to zero (see Eq. (3.4.3)). If only one

eigenvalue is zero, then there will be a line at the phase plane such that any point at this line

is a critical point.

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 26

3.5.PhaseportraitsoftwodimensionalsystemsoflinearODEs

Typical phase portraits in the case when and are linearly independent :

at , 0 0 0 0

StableUnstableAlwaysunstableAlwaysstable Stable

Stabilitycriteriaforthecriticalpoint

of2Dlinearhomogeneoussystem:

Criticalpointisunstableif

0 or 0

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 27

3.5.PhaseportraitsoftwodimensionallinearsystemsofODEs

2nd order linear homogeneous ODE vs. twodimensional system

Let's consider a 2nd order linear homogeneous ODE with constant coefficients:

0 (3.5.5)

We can transform this equation into a twodimensional fundamental system with respect to

, :

(3.5.6)

0 1

1

0

or

0

Conclusions:

Characteristic equation for the 2nd order ODE coincides with the characteristic equation for

the corresponding twodimensional system.

Solution of Eq. (3.5.5) is identical to the solution of the system (3.5.6).

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 28

3.6.Localanalysisofnonlinearsystems.Linearization

Let's consider a 2D nonlinear system

,

(3.6.1)

,

with a critical point at , , , , i.e.

, , , 0 and , , , 0 (3.6.2)

In order to analyze the stability of the critical point, we can

1. Linearize the system near its critical point (take the Taylor expansion of the RHSs at

and retain only linear terms)

, , , , , , , , , , ,

, , , , , , , , , , ,

, , ,

(3.6.3)

3. If det 0, then the kind and stability of the linearized system (3.6.3) are the same as those

of the initial nonlinear system (3.6.1).

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 29

3.6.Localanalysisofnonlinearsystems.Linearization

Example: Undamped pendulum

sin

sin Greendots:Stablecenters

Reddots:Unstablesaddlepoints

Coefficients of the linearized system:

, , , 2 ,0 0, 1, cos ,

0

Determinant of the matrix of coefficients:

0 1

det 0

0

1

Characteristic equation for the linearize system: det 0 0

ME501,MechanicalEngineeringAnalysis,AlexeyVolkov 30

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