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S 0 = −bIS + gR
I 0 = bIS − rI
R0 = rI − gR
1. Principle of superposition
Let aij (t), bj (t) i = 1, 2, · · · , n and j = 1, 2, · · · , n be known
function, and xi t, i = 1, 2, · · · , n be unknown functions, the linear first
1
2 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
2. Homogeneous System
We will use a powerful method called eigenvalue method to solve
the homogeneous system
x0 (t) = Ax(t)
where A is a matrix with constant entry. We will present this method
for A is either a 2 × 2 or 3 × 3 cases. The method can be used for A
is an n × n matrix. The idea is to find solutions of form
(3) x(t) = veλt ,
a straight line that passing origin in the direction v. Now taking deriv-
ative on x(t), we have
(4) x0 (t) = λveλt
put (3) and (2.2) into the homogeneous equation, we get
x0 (t) = λveλt = Aveλt
So
Av = λv,
which indicates that λ must be an eigenvalue of A and v is an associate
eigenvector.
2.1. A is a 2 × 2 matrix. Suppose
· ¸
a11 a12
A=
a21 a22
Then the characteristic polynomial p(λ) of A is
p(λ) = |A−λI| = (a11 −λ)∗(a22 −λ)−a12 a21 = λ2 −(a11 +a22 )+(a11 a22 −a12 a22 .
So p(λ) is a quadratic polynomial of λ. From Algebra, we know that
p(λ) = 0 has either 2 distinct real solutions, or a double solution, or
2 conjugate complex solutions. The following theorem summarize the
solution to the homogeneous system,
6 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
Solution
· ¸ ·The ¸eigenvalue is λ0 = 2 and associated· eigenvectors
¸
1 0 c1 e2t
are and , so the general solution is xc = a
0 1 c2 e2t
· 3 sin(
√ 3t) − cos(
√ 3t)
¸ −2
2t cos( √ 3t) + +2 sin(√ 3t)
= e
− sin( 3t) + 2 cos( 3t)
a
And
v11 eλ0 t v12 eλ0 t v13 eλ1 t
Φ(t) = v21 eλ0 t v22 eλ0 t v23 eλ1 t
v31 eλ0 t v32 eλ0 t v33 eλ1 t
2. HOMOGENEOUS SYSTEM 11
[2] λ0 has
one eigenvector:
v11
Suppose v 1 = v21 is the associated eigenvector with re-
v31
v12
spect to λ0 and v 2 = v22 is a solution of
v32
(λ0 I − A)v 2 = v 1 .
Then the general solution is,
xc (t) = (c1 v 1 + c2 (tv 1 + v 2 ))eλ0 t + c3 v 3 eλ1
And
v11 eλ0 t (v11 t + v12 )eλ0 t v13 eλ1
Φ(t) = v21 eλ0 t (v21 t + v22 )eλ0 t v23 eλ1
v31 eλ0 t (v31 t + v32 )eλ0 t v33 eλ1
is the fundamental solution matrix.
Case 3: p(λ) = 0 has two conjugate complex solutions a ± bi and a real
solution λ1 .
v11 + iv12
Suppose v = v21 + iv22 is the associate complex eigen-
v31 + iv32
vectorwith respect
to a + bi, then the general solution is, let
v13
v 3 = v23 , are associated eigenvectors with respect to λ1 ,
V33
xc (t) = [c1 (v 1 cos(bt)−v 2 sin(bt))c2 (v 2 cos(bt)+v 1 sin(bt))]eat +c3 v 3 eλ1 .
And
v11 cos(bt) − v12 sin(bt) v12 cos(bt) + v11 sin(bt) v13 eλ1
Φ(t) = eat v21 cos(bt) − v22 sin(bt) v22 cos(bt) + v21 sin(bt) v23 eλ1
v31 cos(bt) − v32 sin(bt) v32 cos(bt) + v31 sin(bt) v33 eλ1
is the fundamental matrix.
Case 4: p(λ) = 0 has solution λ0 with multiplicity 3.
In this case, p(λ) = (λ − λ0 )3 .
[1] λ0has three
linearly independent
eigenvectors.
v11 v12 v13
Let v 1 = v21 , v 2 = v22 , and v 3 = v23 be
v31 V32 V33
the three linearly independent eigenvectors. Then the general
12 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
λ0 t
solution is xc (t) = (c1 v 1 + c2 v 2 + c3 v 3 )e and fundamental
v11 v12 v13
v21 v22 V23
matrix is Φ(t) = eλ0 t v 31
v32
V33
[2] λ0 has
two linearly independent
eigenvectors.
v11 v12
Suppose v 1 = v 21
, v2 = v 22
are the linearly inde-
v31 V
32
v13
pendent eigenvectors. Let v 3 = v23 , then only one of the
V33
two equations, (A − λ0 I)v 3 = v 1 or (A − λ0 I)v 3 = v 2 can
has a solution that is linearly independent with v 1 , v 2 .
Suppose (A−λ0 I)v 3 = v 2 generates such a solution. Then
the general solution is xc (t) = [c1 v 1 +c2 v 2 + c3 (tv 2 + v 3 )]eλ0 t
v11 v12 tv12 + v13
and fundamental matrix is Φ(t) = eλ0 t v21 v22 tv22 + V23
v31 v32 tv32 + V33
[3] λ
0 has only
one eigenvector.
v11
Let v 1 = v21 be the linearly independent eigenvectors.
v
31
v12 v13
Let v 2 = v22 and v 3 = v23 be two vectors that
V32 V33
satisfies
(A − λ0 I)v 2 = v 1 and (A − λ0 I)v 3 = v 2 .
Then the general solution is xc (t) = [c1 v 1 + c2 (tv 1 + v 2 ) +
c3 (t2v 1 + tv 2 + v 3 )]eλ0 t and fundamental matrix is Φ(t) =
v11 tv11 + v12 t2 v11 + tv12 + v13
eλ0 t v21 tv21 + v22 t2 v21 + tv22 + V23
v31 tv31 + v32 t2 v31 + tv32 + V33
x1 (t) 3 4 −2
Solution Let x(t) = x2 (t) and 2 1 −4 The equa-
x3 (t) 1 2 0
0
tions can be written in matrix form x (t) = Ax(t).
Using Mathcad , functions eigenvals() and eigenvecs()
we find,λ1 =
−4
2 and λ2 = 1 with associated eigenvectors v 1 = 1 and v 2 =
−2
1
0 respectively. Since λ1 has multiplicity 2 as 1 appeared twice
1
in the result of eigenvals() function, we need to solve the equation
(A − λ1 I)v 3 = v 2 .
14 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
To use Mathcad ,
(1) you first compute (A − λ1 I)v 3 using the fol-
lowing sequences of key stroke,
[*] type ([Ctrl][M], set the rows and
columns in the matrix definition popup menu,
input the data for A,
[*] type -[Ctrl][M] set the row and col-
umn number and input data for λ1 I,
[*] type )[Ctrl][M], now set 1 as column
number, enter a, b, c in the place holders,
[*] type [Ctrl][.] to compute symboli-
cally and you get.
(2) Using the Given Find block to find a
solution. Type Given in a blank space, type
a+2b-c[Ctrl]= 1 and 2a-4c[Ctrl]=0 in two
rows, then type key word Find following by
typing (a,b)[Ctrl][.] you will get the solution
in terms of c.
4
Set c = 1, we get v 3 = −1 .
1
So the fundamental matrix is
−4e2t et (t + 4)et
Φ(t) = e2t 0 −et
2t
−2e e (t + 1)et
t
From (2.2),
−1 1 0 a 0
1 1 1 b = 1 ,
2 −2 0 c 0
− 52 t2 e−2t
To find a particular solution, we first compute Φ-1 (t)b(t) = −( 52 t3 + 11 5
t2 )e−t
2 2 −t
5
te
then we compute
R 2 2 −2t
R R − 5
t e dt
Φ(t) Φ-1 (t)b(t) dt = Φ(t) −( 25Rt3 + 11 5
t2 )e−t dt
2 2 −t
1 2 5
t e dt
16
5
t + 2t + 5
= − 51 t2 − 35 t − 10 7
.
9 2 24 29
5
t + 5
t + 5
To use Mathcad ,
(1) Define fundamental ma-
trix A(t) and b(t) in the
same line (not as shown in
graph), and compute in the
next line A−1 b(t)
(2) type A(t)*[Ctrl][M] choose
column as 1, at each place
holder, type [Ctrl][I] to get
the indefinite integral,
(3) and put the corresponding
entry of A−1 b(t) in the in-
tegrant position.
(4) press [Shift][Ctrl][.] type
key work simplify
a
20 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
Theorem 3.2. R -1If Φ(t) is the fundamental matrix for x0 (t) = Ax(t),
-1
, and xp (t) = Φ (t)b(t) dt, then x(t) = Φ(t)Φ (t0 )(x0 − xp (t0 )) +
xp (t) is the solution to the nonhomogeneous initial value problem,
x0 (t) = Ax(t) + b(t),
x(t0 ) = x0
· ¸
0 2 −3
Example 3.2. Find the solution to x (t) = x(t) +
3 8
· ¸ · ¸
e2t 2
and x(0) =
−2e2t 1
Now if we set x1 (t) = x(t) and x2 (t) = x0 (t) we then get an system
of first order equations
(5) x01 (t) = x2 (t)
c k f (t)
(6) x02 (t) = − x2 (t) − x1 (t) +
m m m
In general, if we have an differential equation that involving nth
order derivative x(n) (t) of unknown function x(t),
x(n) = a0 x(t) + a1 x0 (t) + · · · + an−1 x(n−1) + f (t),
we can transform it into an system of first order equations of n unknown
functions x1 (t) = x(t), x2 (t) = x0 (t), x3 (t) = x(2) (t), · · · , xn (t) =
x(n−1) (t), and using the eigenvalue method for system of differential
equation to solve the higher order equation.
Example 4.1. Transform the differential equation x(3) + 3x(2) −
0
7x (t) − 9x = sin(t) into system of first order equations.
Example 4.2. Find the general solution for the 3rd order differen-
tial equation x(3) + 3x(2) − 7x0 (t) − 9x = sin(t).
Solution From
previousexample, Example 4.1,
Let x(t) =
x1 (t) 1 0 0 0
x2 (t) , A = 0 1 0 , and b(t) = 0 we can write
x3 (t) 9 7 −3 f (t)
the system of equation in matrix form x0 (t) = Ax(t) + b(t).√ Using
Mathcad we find the eigenvalues are λ1 =−1, λ 2 = −1 + 10, λ3 =
√ 1 1√
−1− 10 with associate eigenvectors, v 1 = −1 , v 2 = −1 + √10 ,
1 11 − 2 10
22 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
1√
and v 3 = −1 − √10 respectively (after multiply the results of
11 + 2 10
Mathcad by some constants). So the fundamental matrix is
−t √
(−1+ 10)t
√
(1+ 10)t
e e√ √
e√ √
Φ(t) = −e−t (−1 + 10)e(−1+ √10)t −(1 + 10)e(1+ √10)t
√ √
e−t (11 − 2 10)e(−1+ 10)t (11 + 2 10)e(1+ 10)t
From Φ(t) we find a particular solution
3
Z 5
cos(t) − 39 sin(t)
52
xp (t) = Φ(t) Φ-1 (t)b(t) dt = 261 35
cos(t) − 156 sin(t)
3 8
− 52 cos(t) − 39 sin(t)
Hence the general solution to the system is
x1 (t)
x2 (t) =
x (t)
3 −t
√
(−1+ 10)t
√
(1+ 10)t 3 5
c1 e + c2 e + c3 e + 52 cos(t) − 39 sin(t)
√ √ √ √
−c1 e−t + c2 (−1 + 10e(−1+ 10)t − c3 (1 + 10)e(1+ 10)t + 1 cos(t) − 35 sin(t)
√ √ √ √ 26
3
156
8
c1 e−t + c2 (11 − 2 10)e(−1+ 10)t + c3 (11 + 2 10)e(1+ 10)t − 52 cos(t) − 39 sin(t)
√ √
3 5
and x1 (t) = c1 e−1t + c2 e(−1+ 10)t + c3 e(1+ 10)t + 52 cos(t) − 39 sin(t) is
the general solution to the third order ordinary differential equation
x(3) + 3x(2) − 7x0 (t) − 9x = sin(t)
. a
Project
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Project One: Define and Graph Functions
John Doe
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