GEM 802

Advanced Engineering Analysis

CHAPTER 2
SIMULTANEOUS LINEAR
DIFFERENTIAL EQUATIONS
A. Review of Linear Differential Equations
A differential equation of the nth order is said to be linear if it can be
written in the form
dny d n−1 y dy
(1) A0 ( x) n + A1 ( x) n−1 + ... + An−1 ( x) + An ( x) y = R( x)
dx dx dx

where the function R on the right side, and the coefficients A0,
A1,….,An are the given functions of x. If R(x) = 0, the equation (1)
becomes

dny d n−1 y dy
(2) A0 ( x) n + A1 ( x) n−1 + ... + An−1 ( x) + An ( x) y = 0
dx dx dx
and said to be homogeneous. If R(x) is not zero, it is said to be
nonhomogeneous.
 General Solution of a Homogeneous Equation

The general solution of a homogeneous differential equation

with constant coefficient is an equation in the form
y = c1y1 + c2y2 + …. + cnyn
where y1(x),….,yn(x) are linearly independent continuous
functions.
 General Solution of a Nonhomogeneous Equation
Let yp be any particular solution (not necessarily involving any
arbitrary constant) of the equation
dny d n−1 y dy
A0 ( x) n + A1 ( x) n−1 + ... + An−1 ( x) + An ( x) y = R( x)
dx dx dx
and let yc be a solution of the corresponding homogeneous
equation
dny d n−1 y dy
A0 ( x) n + A1 ( x) n−1 + ... + An−1 ( x) + An ( x) y = 0
dx dx dx
then
y = yc + yp
is the general solution of the nonhomogeneous equation.
Example
Determine the general solution of each of the
following linear differential equations.
(1) y’’ – 2y’ – 3y = 0
(2) (D2 + 2D + 1)y = 0
(2) (D2 – D)y = sinx
(3) (D2 – 4D + 4)y = e2x
(4) (D2 + 1)y = secx
B. Solutions, Consistency, and Equivalence of Linear Differential
Equations

A simultaneous system of m linear algebraic equations

in n unknowns
(1) ai1x1 + ai2x2 + … + ainxn = bi 1 i  m
becomes a simultaneous system consisting of m linear
differential equations
(2) Li1x1 + Li2x2 + … + Linxn = fi 1 i  m
where Lij is a linear differential operator on an interval I
and fi is a continuous function on that interval, in n
unknown functions x1, x2, ……,xn.
Such a system is called a linear differential system.
A linear differential system (2) is homogeneous if
and only if all of the functions f1, f2, ……,fm are
trivial on I, and the system is nonhomogeneous
otherwise.
 f11 (t ) f12 (t ) ... f1n (t ) 
A matrix  . . ... . 

 f m1 (t ) f m 2 (t ) ... f mn (t )

each of whose elements is a scalar-valued function

on an interval In, is called a matrix function.
The derivative of a matrix function F(t), if it exists, is a
matrix F’(t) whose elements are the derivatives of the
corresponding elements of F(t). A matrix function with only
one row, or just one column, is said to be a vector function.

Example:
If A(t) = cos t − sin t 
 sin t cos t 

find A’’(t) + A(t).
A solution of a linear differential system (2) on an interval I is
a vector function which satisfies each equation of the system
for every t in I. A linear differential system is consistent or
inconsistent on I according as it has, or it does not have, a
solution on I, and one system is equivalent to another if and
only if every solution of either system is a solution of the
other.

Example
Determine whether or not the vector function
x(t) = (1 – t,t) on the interval (-,)
of the differential system
(2D + 1)x1 + (D + 5)x2 = 4t
(D + 2)x1 + (D + 2)x2 = 2
C. The Reduction of a Differential System to an Equivalent System

Example
Find a complete solution of each of the following systems of
equations.
(1) (D + 5)x + (D + 4)y = e-t
(D + 2)x + (D + 1)y = 3
(2) (D – 1)x + (D + 9)y = t
(D – 2)x + (2D + 9)y = 4
(3) (2D + 3)x + (D + 4)y = -cost
(D + 1)x + (D + 2)y = 2sint
D. First-Order Systems
Consider a system of first-order equations of the standard form
x1 = a11 (t ) x1 + a12 (t ) x2 + ... + a1n (t ) xn + f1 (t )
'

x2 = a21 (t ) x1 + a22 (t ) x2 + ... + a2 n (t ) xn + f 2 (t )

'
(3)
........................................................................
xn = an1 (t ) x1 + an 2 (t ) x2 + ... + ann (t ) xn + f n (t )
'

where the coefficient functions aij(t), and the functions of the

system fi(t) are all real-valued functions. A differential system
written in the form (1) is called a first-order linear differential
system, or simply a first-order system, in n unknowns.
 First-Order Systems
A first-order system is normal on an interval I if and
only if its coefficient functions, and the functions, of
the system are all continuous on I. The problem of
finding a solution of a first-order system that satisfies n
initial conditions
(4) x1 (t0 ) = k1 , x2 (t0 ) = k2 ,......, xn (t0 ) = kn
is called an initial-value problem.
First-Order Systems
In terms of the vector functions
 x1   f1 
   
x= :  f = : 
 xn   f n 

and the coefficient matrix A =[aij]. System (1) can be written

as the compact matrix differential equation
(5) x '
= A(t ) x + f (t )
The associated homogeneous equation is of the form
(6)
x ' = A(t ) x
First-Order Systems
Solutions of differential systems in more than one unknown
will usually be expressed as vector rather than scalar
functions, and they will then be called solution vectors.
If v1, v2, …., vn are real vector functions with a common
domain and the same number of components, a linear
combination of them is simply a sum of the form
m
c1v1 + c2 v2 + ... + cm vm =  ck vk
k =1
First-Order Systems
where c1, c2,…,cm are arbitrary constants. The additive
vector functions v1, v2, …., vn are linearly dependent if
and only if there exist numbers c1, c2,…,cm, not all zero,
such that c1x1+ c2x2 + …+cm xm = 0. On the other hand,
these vector functions are linearly independent if and
only if c1x1+ c2x2 + …+cm = 0 implies
c1 = c2 =..cm = 0.
First-Order Systems

Every solution of (6) can be expressed as a linear combination of

n linearly independent solutions and since any linear
combination of solutions of (6) is itself a solution, an arbitrary
linear combination
x = c1x1+ c2x2 + …+cn xn
of any n linearly independent solutions is called a complete
solution of (4)
Linear Differential Systems with Constant Coefficients
To solve a nonhomogeneous first-order system
(7)
x = Ax + f (t )
'

where A is a constant matrix, begin for a complete

solution of the associated homogeneous system
(8)
x = Ax
'
Linear Differential Systems with Constant Coefficients
Suppose
(9) x = ket

where k is a constant vector and  is a scalar.

Substituting (9) into (8), dividing out et, writing k as
Ik, and then collecting coefficients on k, then (9)
yields a solution of (8) if and only if
(10)
(I − A)k = 0
Linear Differential Systems with Constant Coefficients

Thus (9) will be a nontrivial solution of (8) if and only if

 is a eigenvalue of A and k is a corresponding
eigenvector. The remaining steps required to find a
complementary function of (7) differ somewhat
according to
Linear Differential Systems with Constant Coefficients

Case 1
(a) all eigenvalues of A are real and distinct
n

X= i
c e
i =1
i t

Example Find a complete solution of the system

x1’ = x1 + 2x2 – x3
x2’ = 2x1 + x2 + x3
x3’ = -x1 + x2
Linear Differential Systems with Constant Coefficients
Case 2
(b) all eigenvalues of A are real, but some are repeated roots of the
characteristic equation.
n
X= i e
c t
i =1
i −1 i t

Example
Find a complete solution of the system
x1’ = -3x1 – 2x2
x2’ = 2x1 + x2
 Linear Differential Systems with Constant Coefficients
Case 3
(c) complex eigenvalues of A occur.
If the eigenvalue is of the form  = a  bi, and the
associated eigenvector of A is of the form B = ReB + iImB, then
the eigenvector appears in the solution of the form
X = e − at [c1 (Re B cosbt − Im B sin bt) + c2 (Im B cosbt + Re B sin bt)]
Example
Solve the system
x1’ = -2x1 – 13x2
x2’ = x1 + 4x2
Now suppose that a fundamental matrix
X = [x1 x2 .. xn] of that associated
homogeneous system is known on an interval I.
Then xj’ = Axj for 1jn. Clearly, these n vector equations imply,
and are implied by, the matrix equation
(11) [x1’ x2’ … xn’] = [Ax1 Ax2 …Axn]
Since [x1’ x2’ … xn’] = [x1 x2 .. xn]’ and
[Ax1 Ax2 …Axn]= A[x1 x2 .. xn] = AX,
(11) can be written as
( 12) X’ = AX
This equation is simply a concise statement of the fact that on I each
column vector of X is a solution vector o f the homogeneous system
x’ = Ax corresponding to the nonhomogeneous differential system
(1) whose matrix form is
(13) x’ = Ax + f
If c1, c2,…,cn are arbitrary constants,
(14) c1x1 + c2x2 +…+ cnxn
is a complementary function of (13). Let c be the constant column
vector with successive components c1, c2,…,cn then (14) can be
written as
(15) x1c1 + x2c2 +…+ xncn = [x1 x2 .. xn]c = Xc
Now replace these parameters by an unknown functions u1, u2,…,un
assumed to be differentiable on I. Then
u1x1 + u2x2 +…+ unxn
is a solution of (13). Hence, to determine a particular integral
of (13) of the type
(16) v = Xu
Substituting v into (13) and noting that
v’ = (Xu)’ = X’u + Xu’, then
X’u + Xu’ = AXu + f
From (12), X’ = AX, so the first terms on each side of this
equation cancel, leaving
(17) Xu’ = f
u’(t) = X-1(t)f(t) and

u (t ) =  X −1 (t ) f (t ) dt
With u thus determined, a particular integral (16) of (13) is
represented by
 (t ) f (t )dt
−1
(18) v (t ) = X (t ) X

where all constants of integration may be omitted because

any particular solution of (13), no matter how special, will
serve as a particular integral.
Example
 3 − 2
1. If A=  find a complete solution
 4 − 3
of the equation x’ = Ax.
Find a particular integral of the equation
(a) f = e 2t  (b) f = t  (c) f = sin t 
1  0 
1   
2. Solve the initial-value problem
3
x = 3x1 + x2 − 2 sin t
'
1 x(0) =  
1
x2 = 4 x1 + 3x2 + 6 cost
'