Ordinary and Partial Differential Equations

and Applications
Linear Systems
Prof. P. N. Agrawal
Department of Mathematics

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 One of the most important concepts of analysis is that of a
system of n simultaneous first order differential equations in
several variables i.e. equations of the form
dx 1
=f 1 (t , x 1 , x 2 , ... , x n )
dt
dx 2 ...(1)
=f 2 (t , x 1 , x 2 , ... , x n )
dt
.
.
.
dx n
=f n (t , x 1 , x 2 , ... , x n)
dt
2
where x , x ,..., x are unknown functions of a single independent
1 2 n
variable t.
Systems of differential equations arise quit naturally in many
scientific problems.
A solution of system (1) is n functions x 1 (t), x 2 (t), ... , x n (t) such that
dx j (t)
=f j (t , x 1 (t), x 2 (t), ... , x n (t)), j =1,2..., n
dt 2
For example, let x 1 (t)=t and x 2 (t)=t , then they provide a solution of
the simultaneous first order differential equations
dx 1 dx 2
=1 and =2 x 1
dt dt
Since,
dx 1 dx 2
=1 and =2 t=2 x1
dt dt
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If we impose the initial condition on the functions x 1 (t), x 2 (t), ... , x n (t)
0 0 0
as x 1 (t 0)=x 1 , x 2(t 0)=x 2 ,... , x n (t 0 )=x n (1’)
then the system (1) together with the initial conditions (1’) is
called as initial-value problem.
A solution of this initial value problem is ‘n’ functions
x 1 (t), x 2 (t), ... x n (t) , which satisfy (1) and the initial condition (1’).
2t
t e
For example, x 1 (t)=e and x 2(t)=1+ is a solution of the IVP
2
dx 1
= x 1 , x 1 (0)=1
dt
dx 2 2 3
= x 1 , x 2 ( 0)=
dt 2

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 t dx1 t
x 1( t )=e ⇒ =e = x1
Since dt
dx 2 2t 2 3
=e =x 1 (t ) , x 1 (0)=1, x 2( 0)=
dt 2
First order systems of differential equations also arise from higher
th
order differential equations for a single variable y(t). Every n
order differential equation for the single variable y,
(n) (n−1)
y =f (t , y , y ' , ..., y ) can be converted into a system of n first-
order differential equations for the variables
n −1
dy d y
x 1 (t )= y , x 2 (t )= , ....., x n ( t )= n−1
.
dt dt
Then dx 1 dx 2 dx n−1
= x2 , = x 3 ,. .. . ., = xn
dt dt dt
and dx n
=f (t , x 1 , x 2 , ... , x 2 ) ,which is clearly a special case of (1).
dt
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Example: Convert the differential equation
n n−1
d y d y
a n (t ) n
+ a n−1 (t ) n−1
+.....+ a 0 y =0
dt dt
into a system of n first order equations.
n −1
dy d y
Solution: let x 1 (t )= y , x 2 (t )= , ....., x n ( t )= n−1
dt dt
dx 1 dx 2 dx n−1
Then = x2 , = x 3 ,. .. . . = xn
dt dt dt
and dx n 1
dt
=−
an ( t )
{ an −1 (t ) x n +a n−2 (t ) x n −1+ .....+ a 0 x 1 }

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Example: Convert the initial value problem
3 2
d y dy
dt 3
+
dt ( ) t
+ 3 y=e ; y ( 0)=1, y ' ( 0)=0, y ' ' (0)=0

dy d2 y
Into an initial value problem for the variables y , dt
, and 2 .
dt
2
dy d y
Solution: Let x 1 (t )= y , x 2 (t )= , x 3 (t )= 2
dt dt
Then dx 1 dx 2 dx 3 t 2
= x2 , =x 3 , =e −x 2−3 x1 ,
dt dt dt

x 1 (0)=1, x 2(0)=0, x 3 (0)=0.

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If each of the functions f 1 , f 2 ,..... , f n in (1) is a linear function of the
dependent variables x 1 , x 2 ,..... , x n , then system of equations is
called linear.
The most general system of n first-order linear equations is of the
form dx 1
=a11 (t) x1 +.....+ a1 n (t)x n + g 1 (t)
dt
dx 2
=a 21 (t) x 1+ .....+ a 2 n (t) x n + g2 ( t)
dt (2)
.
.
.
dx n
=a n 1 (t) x 1+ .....+a nn (t) x n + gn (t)
dt
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If each of the n functions g1 , g 2 , ..... , g n is identically zero, then the
system (2) is called homogeneous; otherwise it is non-
homogeneous.
Let us consider the case where the coefficients a ij do not depend
on t.
A homogeneous linear system with constant cofficients
dx 1
= a11 x 1+ .....+ a1 n x n
dt
dx 2
=a 21 x 1 +.....+a 2 n x n
dt (3)
.
.
.
dx n
=a n 1 x 1 +.....+ ann x n
dt
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(3) can be expressed in the concise form
dx
ẋ= = Ax (4)
dt
where

[] [ ]
x 1 (t ) a11 a12 . . . a1 n
x 2 (t ) a 21 a 22 . . . a2 n
x (t )= . and A= . . . . . .
. . . . . . .
. . . . . . .
x n (t ) an 1 an2 . . . a nn

Moreover if x 1 (t), x 2 (t),...,x n (t) satisfy the initial conditions

0 0 0
x 1 (t 0)=x 1 , x 2(t 0)=x 2 ,... x n (t 0 )=x n , then x(t) satisfies the initial value
problem

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 []
0
x 1
0
x 2

ẋ= Ax , x ( t 0 )= x , where x = .
0 0
(5)
.
.
0
xn

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Example: consider the system of equations
dx 1
=3 x 1−7 x 2 + 9 x 3
dt
dx 2
=15 x 1+ x 2− x 3
dt
dx 3
=7 x 1 +6 x 3
dt

then

[]
x1

[ ]
3 −7 9
ẋ= 15 1 −1 x and x= x 2
7 0 6 x3

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Example: The initial value problem
dx 1
= x 1− x 2 + x 3, x 1 (0)=1
dt
dx 2
=3 x 2− x 3, x 2 (0)= 0
dt
dx 3
= x 1 +7 x 3, x 3 ( 0)=−1
dt

can be written as
and

[ ] [ ]
1 −1 1 1
ẋ= 0 3 −1 x x (0)= 0 .
1 0 7 −1

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