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Chapter3

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

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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)

The general solution of Eq. (3.1.2) depends on arbitrary constants 1, ,

, , , ,, 0 (3.1.3)

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

Any particular choice of constants 1, , gives a particular solution of Eq. (3.1.2).


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.

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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 :

2. RHS of Eq. (3.1.2) does not depend on :


, , ,,
Lets introduce new variable : , , . Then
, , , ,
3. RHS. of Eq. (3.1.3) does not depend on :
, , ,,
Lets introduce new variable . Then
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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 .

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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 .
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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:
, , , , ,
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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.
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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 :

, , , , ,

Then the fundamental system (3.1.6) can be written as


,
And the general solution of this system takes the form
,

Note: The vector notation is especially useful in two cases:


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 , .
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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

2. Then solution of the equation can be found as component of the corresponding


fundamental system

3. The system can be written in the matrix form as follows:


,
where

, , ,

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3.1.HigherorderODEsandsystemsofODEs.Basicconcepts
Example 2: Reducing twodimensional equations of motion to a fundamental system
, , , ,
, , , ,

1. Let's introduce new functions


: coordinate,
: coordinate,
: component of velocity,
: component of velocity.

2.Thensolutionoftheequationcanbefoundascomponents and ofthecorresponding


fundamental system
,
where


, , , , , , , /

, , , , /

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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

where is a particular solution of the nonhomogeneous equation.


5. Both method of undetermined coefficients and Lagrange method of variation of parameters
can be generalized for linear ODEs of th order.
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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
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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)
, ,

General solution of this system has the form:


, , , , , (3.3.2)
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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.
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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.

Basic property of an autonomous system: ,


Phase velocity is uniquely defined by the current
phase state of the autonomous system,
, ,
.
, ,
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3.3.AutonomoussystemsofODEs,theirphaseportraits,andstability
Example: Undamped pendulum

Newton'ssecondlaw sin
ofmotion:

Fundamentalsystem:
sin
Phase portrait:

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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
,

Phasetrajectoriesat aredifferent Phasetrajectoryisuniqueforgiven


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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
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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 .
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3.4.Prerequisites.Matrixeigenvalueproblem
Matrixeigenvalueproblemformatrix2x2
Consider a matrix of dimension 2 x 2 and arbitrary column vector of dimension 2

Foragivenmatrix ,therearespecificvectors ,forwhichthemultiplicationbythematrix is


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.
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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.
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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)

In this way we can find , , and , for a given matrix .


Note: The same approach for calculation of eigenvectors of a matrix of arbitrary size x if
this matrix has different eigenvalues .
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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:

and arelinearlyindependent det 0. (3.4.9)

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 .

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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
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3.5.PhaseportraitsoftwodimensionalsystemsoflinearODEs
Let's consider twodimensional autonomous system of homogeneous linear ODEs with
constant coefficients:

or
,where (3.5.1)

and are real numbers.


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

Impropernode Propernodeat Saddlepointat Center Spiral point at


at , 0 0 0 0

StableUnstableAlwaysunstableAlwaysstable Stable

Stabilitycriteriaforthecriticalpoint
of2Dlinearhomogeneoussystem:
Criticalpointisunstableif
0 or 0
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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)

This system has the matrix of coefficients


0 1

and the characteristic equation with respect to eigenvalues:


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).
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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)

, , , , , , , , , , ,

, , , , , , , , , , ,

2. Obtain a linear homogeneous system with constant coefficients with respect to

, , ,
(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).
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3.6.Localanalysisofnonlinearsystems.Linearization
Example: Undamped pendulum
sin

sin Greendots:Stablecenters
Reddots:Unstablesaddlepoints

Let's consider a critical point 2 , 0.


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

Roots of the characteristic equation: , Critical point is a stable center.


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