First Order Homogeneous Linear Systems with

Constant Coefficients

Department of Mathematics
IIT Guwahati
SHB/SU

SHB/SU MA-102 (2020)

Homogeneous linear systems with constant coefficients
Consider the homogeneous system
X 0 (t) = AX (t), (1)
where A is a real n × n matrix.
Goal: To find a fundamental solution set for (1).
We seek solutions of the form X (t) = e λt v , where λ ∈ R and
v ∈ Rn \ {0}.
X 0 (t) = λe λt v and AX (t) = e λt Av

so that X 0 (t) = A(t)X (t) ⇔ Av = λv . Thus X (t) = e λt v

solves X 0 (t) = AX (t) if and only if λ is an eigenvalue of A
with v as a corresponding eigenvector.

Q. Can we obtain n linear independent solutions to

X 0 (t) = AX (t) by finding all the eigenvalues and eigenvectors
of A?
SHB/SU MA-102 (2020)
Finding the general solution to X 0 (t) = AX (t)
Theorem: Suppose A = (aij )n×n . Let λi ∈ R be the eigenvalue
with corresponding eigenvector vi ∈ Rn , i = 1, . . . , n. Then
{e λ1 t v1 , e λ2 t v2 , . . . , e λn t vn }
is a fundamental solution set on R for X 0 (t) = AX (t) if and
only if {v1 , . . . , vn } is a linearly independent set. In such a
case the general solution (GS) of X 0 (t) = AX (t) is
X (t) = c1 e λ1 t v1 + c2 e λ2 t v2 + · · · + cn e λn t vn ,
where c1 , . . . , cn are arbitrary constants.
Proof.
W (t) = det[e λ1 t v1 , . . . , e λn t vn ] = e (λ1 +···+λn )t det[v1 , . . . , vn ] 6= 0.
Thus, {e λ1 t v1 , e λ2 t v2 , . . . , e λn t vn } is a fundamental solution set
and hence, the GS is given by
X (t) = c1 e λ1 t v1 + c2 e λ2 t v2 + · · · + cn e λn t vn .
SHB/SU MA-102 (2020)
Example: Find the GS of
 
0 2 −3
X (t) = AX (t), where A = .
1 −2
The eigenvalues are λ1 = 1 and λ2 = −1. The corresponding
eigenvectors (with r = 1) are
   
3 1
v1 = and v2 = .
1 1
The GS is
   
t 3 −t 1
X (t) = c1 e + c2 e .
1 1

SHB/SU MA-102 (2020)

The Matrix Exponential
We need a unified approach for solving the system
X 0 (t) = AX (t) that works for all cases. For this we extend
techniques for scalar differential equations to systems.
For example, a GS to x 0 (t) = ax(t), where a is a constant, is
x(t) = ce at . Analogously, we shall show that a GS to the
system
X 0 (t) = AX (t),
where A is a constant matrix, is
X (t) = e At C .

Task: To define the matrix exponential e At .

Given an n × n matrix A, and t0 > 0, consider the matrix
valued power series
∞
X Ak t k
.
k=0
k!
SHB/SU MA-102 (2020)
The Matrix Exponential
Let M be an n × n matrix. The function
kMk = max |M(X )|,
|X |≤1
pPn
2
where |X | = i=1 xi , is called a norm on such matrices.

Exercise: Prove that

• kMk ≥ 0 and kMk = 0 ⇔ M = 0.
• kαMk = |α|kMk for all α ∈ R, and n × n matrices M.
• kM + Nk ≤ kMk + kNk for all n × n matrices M and N.
• kMNk ≤ kMkkNk for any n × n matrix M and n × p matrix N.

P∞ Ak t k
The series k=0 k! is said to be absolutely convergent if
P∞ Ak t k

k=0 k! is convergent. The radius of convergence is R, if

it is absolutely convergent for all |t| < R and divergent for

|t| > R.
SHB/SU MA-102 (2020)
The Matrix Exponential
Theorem: The series ∞
P k k
A t
k=0 k! is absolutely convergent with
infinite radius of convergence.

Proof. Let a = kAk and t0 ∈ R be arbitrary. Then for |t| ≤ t0 ,

k k
A t kAkk |t|k ak t0k
≤ ≤ .
k! k! k!
ak t0k
But, ∞ = e at0 . By the Weierstrass M-test, the series
P
P∞ Akk=0 t k
k!

k=0 k! is absolutely convergent for all |t| ≤ t0 . Since

t0 ∈ R is arbitrary, the series is absolutely convergent with an
infinite radius of convergence.
Definition: Let A be an n × n matrix. Then for t ∈ R,
∞
X Ak t k
e At = .
k=0
k!

SHB/SU MA-102 (2020)

Computing e At
If A is a diagonal matrix, then the computation of e At is
simple.  
−1 0
Example: Let A = . Then
0 2
     
2 1 0 3 −1 0 n (−1)n 0
A = , A = , ··· , A = .
0 4 0 8 0 2n
Therefore,
∞ k
 P∞ k tk

kt k=0 (−1) k! 0
X
At
e = A = P∞ k tk
k=0
k! 0 k=0 (2) k!

e −t
 
0
= 2t .
0 e

SHB/SU MA-102 (2020)

Computing e At
Theorem: Let A and B be n × n matrices independent of t
and r , s, t ∈ R (or ∈ C). Then
• e A0 = e 0 = I .
• e A(t+s) = e At e As .
• (e At )−1 = e −At .
• e (A+B)t = e At e Bt , provided that AB = BA.
• e rIt = e rt I .
• Ae At = e At A.

Theorem: If P and A are n × n matrices and PAP −1 = B, then

e Bt = Pe At P −1 .
Proof. Using the definition of e At ,
n n
X (PAP −1 )k t k X (At)k
e Bt
= lim = P lim P −1 = Pe At P −1 .
n→∞
k=0
k! n→∞
k=0
k!
SHB/SU MA-102 (2020)
Computing e At
Corollary: If P −1 AP = diag[λj ] then e At = P diag[e λj t ] P −1 .
   
a −b cos bt − sin bt
Corollary: A = ⇒ e At = e at .
b a sin bt cos bt
Proof. If λ = a + ib, then
     
a −b λ 0 −1 i −i
=V V where V = .
b a 0 λ̄ 1 1
Thus,
e λt
   
0 −1 e ibt
e At
=V V = e V at
V −1
0 e λ̄t e −ibt
 
at cos bt − sin bt
= e .
sin bt cos bt

In particular if a = 0 then e A is a rotation by b radians.

SHB/SU MA-102 (2020)
e At is a fundamental matrix of X 0 (t) P
= AX (t).
It is well known that if the power series ∞ k
k=0 ak x is
absolutely convergent with radiusPof convergence R > 0, and
f (x) = k=0 ak x then f (x) = ∞
P∞ k 0 k−1
k=1 kak x , for all
x ∈ (−R, R).
The above fact extends to the case when ak are replaced by
matrices.
Lemma: Let A be a square matrix. Then for all t ∈ R,
d At
e = Ae At .
dt
P∞ t k Ak
Proof. As k=0 k!
has infinite radius of convergence, for all
t ∈ R,
∞ ∞ ∞
t k Ak kt k−1 Ak (tA)k−1
 
d At X d X X
e = = =A = Ae At .
dt k=0
dt k! k=1
k! k=1
(k − 1)!

SHB/SU MA-102 (2020)

e At is a fundamental matrix of X 0 (t) = AX (t).
Note that
d At
(e ) = Ae At
dt
=⇒ e At is a solution to the system
X 0 (t) = AX (t).

Since e At is invertible it follows that the columns of e At form a

fundamental solution set for X 0 (t) = AX (t).
Theorem: If A is an n × n constant matrix, then the columns
of e At form a fundamental solution set for
X 0 (t) = AX (t).

Therefore, e At is a fundamental matrix for the system, and a

GS is
X (t) = e At C = Φ(t)C .
SHB/SU MA-102 (2020)
A comparison of two fundamental matrices

Consider the n × n system X 0 (t) = AX (t). Suppose A has n

linearly independent eigenvectors {v1 , . . . , vn } such that
Avi = λi vi . Then setting
V = [v1 · · · vn ],

one fundamental matrix is

e λ1 t
 

Φ1 (t) = e λ1 t v1 · · · e λn t vn = V 
  ... .
e λn t

giving the GS X (t) = Φ1 (t)C , where C ∈ Rn is arbitrary.

SHB/SU MA-102 (2020)

A comparison of two fundamental matrices

λ1
 

As A = V  ..  V −1 , another fundamental matrix

.
λn
is
e λ1 t
 

Φ2 (t) = e At = V  ..  V −1 ,
.
e λn t
giving the GS Y (t) = Φ2 (t)C , where C ∈ Rn is arbitrary.
Observe that Φ2 (t) = Φ1 (t)V −1 .
The columns of Φ1 (t) and Φ2 (t) are two different bases of the
solution space of the system and hence of the kernel of
d
L := dt − A.

SHB/SU MA-102 (2020)

Theorem: (The fundamental theorem for linear systems)
Let A be an n × n matrix. Then for a given X0 ∈ Rn , the IVP
X 0 (t) = AX (t); X (t0 ) = X0 has a unique solution given by
X (t) = e A(t−t0 ) X0 .

Proof. If X (t) = e A(t−t0 ) X0 , then

d At −At0
X 0 (t) = dt e e X0 = Ae A(t−t0 ) X0 = AX (t), t ∈ R. Also,
X (t0 ) = IX0 = X0 .
Uniqueness: Let X (t) be any solution of the IVP. Set
Y (t) = e −At X (t). Then Y (t) is a constant vector as
Y 0 (t) = −Ae −At X (t)+e −At X 0 (t) = −Ae −At X (t)+e −At AX (t) = 0,
for all t ∈ R where the last equality holds as Ae −At = e −At A.
As Y (t0 ) = e −At0 X0 , thus Y (t) = e −At0 X0 for all t ∈ R and
any solution of the IVP is given by
X (t) = e At Y (t) = e A(t−t0 ) X0 .
SHB/SU MA-102 (2020)