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assumes in various, tiny ways that you’ve been exposed to a

Theorem 2.3 (Existence and uniqueness.). For

formal class. Otherwise, you probably should read a textbook

a, b, c, t 0 , Y0 , Y1 ∈ R with y P on I with t 0 ∈ I with y1 , y2

first.

lindep, there exists a unique solution to the non-homogeneous

IVP.

1 FIRST- ORDER LINEAR Proof. We use the EUT for the homogeneous case and su-

perposition principle to construct the the solution; therefore,

When using the separable method, losing zeroes occurs. For it exists. To prove the solution ( y = y + c y + c y ) is

g p 1 1 2 2

example, the naïve solution to y 0 = x 2 ( y −13) misses y(x) = unique, assume there exists another solution ψ such that

13. ψ 6= y g . Let y = y g − ψ. Trivially, y satisfies the IVP where

Given a1 (x) y 0 (x)+ a0 (x) y(x) = b(x), there are two trivial a y 00 + b y 0 + c y = y − ψ = 0 with initial values y(0) = 0

g

cases: a0 (x) = 0 and a0 (x) = a10 (x), the latter due the and y 0 (0) = 0. Note that this is a homogeneous equation.

product rule. We can reduce all such equations R to this case. However, f (t) = 0 is already a unique solution to this IVP.

Let µ(x) such that µ0 = µP, implying µ = exp( P d x). By the homogeneous EUT, it must be the same solution as y,

implying y = y g − ψ = 0 or y g = ψ, a contradiction.

0

d(µ y)

µQ = µ( y + P y) =

Z dx 2.3 Miscellaneous

µy = µQ d x + C. Let

Z Z

−g y2 g y1

Definition 1.1 (Exact equation). An exact equation on rect- v1 = dt v2 = dt

aW [ y1 , y2 ] aW [ y1 , y2 ]

angle R is of the form M (x, y) d x + N (x, y) d y = 0 such that

there exists F such that F x = M and F y = N . where a y 00 + b y 0 + c = g. Then y p = v1 y1 + v2 y2 . This is the

method of variations.

Theorem 1.1. An equation is exact iff M y = Nx . The solution Linear equations always obey the superposition principle,

follows from the properties of a total derivative: distinguishing them from non-linear equations. Non-linear

equations also do not guarantee uniqueness of solutions.

M d x + N d y = 0 F x d x + F y d y = 0 F (x, y) = C.

2 SECOND - ORDER LINEAR

We can easily generalize the homogeneous linear equation to

higher powers using the characteristic equation

A guess of exp(r t) for a y + b y + c = 0, the equation

00 0

We can also generalize the method of undetermined co-

resolves to exp(r t)(ar 2 + br + c) = 0. With two dis-

efficients by finding a linear differential operator A (an an-

tinct r values as solutions, then by superposition y(t) =

nihilator) such that A[ f ](x) = 0. So suppose we have a

c1 exp(r1 t) + c2 exp(r2 t).

linear equation in operator form L[ y](x) = f (x). Then

AL[ y](x) = A[ f ](x) = 0. We have reduced the non-

Theorem 2.1 (Existence and uniqueness). Given the universe

homogeneous equation to homogeneous form. Boo-ya.

of reals, there exists a unique solution to second-order linear

Constructing an annhilator is like constructing a guess

equations with initial conditions y(t 0 ) = Y0 and y 0 (t 0 ) = Y1

using the method of undetermined coefficients: Memorize

valid for all t ∈ R.

a brief table. If x k exp(r x), then (D − r)m where m is any

integer such that m > k. sin β x or cos β x, then (D2 + β 2 ).

Theorem 2.2 (Representation). For y1 , y2 that are lindep on

x k exp(r x) sin β x, then [(D − r)2 + β 2 ]m . For example,

I with t 0 ∈ I, there exists c1 , c2 such that c1 y1 + c2 y2 satisfies

the IVP on I with the initial t 0 condition. 0 = (D − 1)3 (D2 + 1)(D + 1)[ y]

y = (C1 e x + C2 x e x + C3 x e x ) + (C4 sin x + C5 cos x) + C6 e−x .

The proof follows from knowing W [ y1 , y2 ] = 0 iff the two

solutions are linindep and some non-obvious algebra.

4 MATRICES

2.1 Working from the characteristic polynomial roots

The following statements are equivalent: (1) A is singular

For two identical roots, use a t exp(r t) term. For characteris- (has no inverse); (2) |A| = 0; (3) Ax has non-trivial solutions,

tic equations with complex conjugates α±β i, there exists two: i.e. where x 6= 0; and (4) rows of A are lindep.

exp(αt)(cos β t, sin β t). Note that complex conjugates only If A is singular, Ax = 0 has infinitely many solutions, all a

occur if a, b, c ∈ R. Otherwise, two non-conjugate complex scalar multiple of some x0 6= 0. Furthermore, Ax = b either

roots may arise. has no solutions or infinitely many of the form x = x p + xh .

1

Hao Lian, programmer-poet.

Another property, which is significant in the light that matrix Proof. Suppose u1 = cu2 . Then (r1 − r2 )u1 = 0, implying for

multiplication is not commutative: a contradiction that r1 = r2 because we know u1 6= 0.

AB = A + B.

dt dt dt ply a fundamental solution set for x0 = Ax.

The conjugates for complex eigenvalues and eigenvectors

Theorem 4.1 (Existence and uniqueness). If A, f are contin-

create two linearly independent real vector solutions:

uous on an open interval I, t 0 ∈ I, and x0 , then there exists a

unique x(t) on I to the IVP x0 (t) = Ax + f. exp(αt)(a, b) · ((cos β t, − sin β t), (sin β t, cos β t)).

Theorem 4.2. Let xi be linindep solutions to Ax = x0 . If they

are linindep, then the Wronskian is never zero on I. 4.3 Non-homogeneous

Proof. Suppose for a contradiction that W (t 0 ) = 0 for some Method of undetermined coefficients works similarly. How-

t 0 . X(t 0 )c = 0 for some c 6= 0 because columns become ever, variation of parameters yields the equation

linearly dependent when the matrix has a nonzero determi- Z

nant per the above theorem. Another solution to Ax = 0 x = Xc + X X−1 f d t.

is z(t) = 0. These solutions are identical on I by the EUT,

implying X(t)c = 0 for all t. This implies the xi are lindep,

contradicting the initial assumption. 4.4 Matrix exponential

Two implications: W (t) is always zero or never zero on I. Definition 4.1 (Matrix exponential).

And the set of solutions are linindep iff W (t) is never zero,

whence the representation theorem: t2

exp(At) = I + At + A2 + · · · .

2

Theorem 4.3 (Representation). Let x i be linindep solutions to

the homogeneous system x0 = Ax(t) on I. Then every solution is The inverse—exp(At)−1 —is exp(−At). The derivative is

in the form x(t) = X(t)c. Denote X as the fundamental matrix A exp(At) by virtue of differentiating that pseudo-Taylor se-

for the fundamental solution set. ries pseudo-polynomial. Therefore, the exponential is a solu-

tion to X0 = AX. Because exp(At) is invertible, the columns

4.1 Non-homogeneous are linindep solutions to the system. The general solution is

then x(t) = exp(At)c, and exp(At) is the fundamental matrix

Theorem 4.4 (Superposition principle). Let L[x] :− x0 − Ax. for the system.

If x1 , x2 are solutions to L[x] = g1 and L[x] = g2 , then c1 x1 +

c2 x2 are solutions to L[x] = c1 g1 + c2 g2 . Definition 4.2 (Nilpotent). A matrix B is nilpotent iff there

exists k > 0 such that Bk = 0. In such a case, the exponential

Theorem 4.5 (Representation). Let x p solve x0 = Ax + f on I has a finite number of terms.

and X be the fundamental matrix for the homogeneous system

x = Ax. Then every solution on I is of the form x = x p + Xc by If A − rI is nilpotent, then there is a finite expansion:

the superposition principle. Denote this as the general solution.

(A − rI)n−1 t n−1

At r t (A−rI)t

e =e e =e rt

··· + . (1)

4.2 Eigenapalooza (n − 1)!

For the system x0 = Ax, guess x = exp(r t)u, implying

r exp(r t)u = exp(r t)Au or (A − rI)u = 0. Eigenvalues are 4.5 Generalized eigenvectors

numbers r such that that equation has a nontrivial (u 6= 0) With repeated eigenvalues, we need a strategy to find addi-

solution; the corresponding u are eigenvectors. Nontrivial tional eigenvectors.

solutions, from a previous theorem, occurs iff |A − rI| = 0. Lemma. If X, Y are fundamental matrices for the sys-

The determinant is the characteristic polynomial, and this is tem x0 = Ax, then there exists a constant matrix such that

the characteristic equation. X(t) = Y(t)C.

Theorem 4.6. exp(ri t)ui is a fundamental set for linearly What is the relationship between exp(At) and a given

dependent {ui }. fundamental matrix X? By the lemma, exp(At) = X(t)C for

some C. Plugging t = 0, we find I = X(0)C. Therefore,

The Wronskian over the set of those solutions is

Proof. P exp(At) = X(t)X−1 (0).

exp(t ri )|U| where U = [u1 , . . . , un ]. The determinant is So, to obtain the fundamental solution matrix X, assume

never zero because the eigenvectors are linearly independent; the requirement that columns must be of the form exp(At)u,

therefore, the Wronskian is never zero for all t. which can be decomposed by (1). Therefore, we need n

vectors u whose calculations are feasible. To do so, find

Theorem 4.7. If r1 , r2 are distinct eigenvalues, then u1 , u2 are p(r) = |A− rI| and therefore the eigenvalues. For each ri with

linearly independent. multiplicity mi , find mi linindep generalized eigenvectors. (A

2

Hao Lian, programmer-poet.

nonzero vector u that satisfies (A−rI)k u = 0 for some positive order linear equations.

k is a generalized eigenvector.)

Compute x = exp(r t) exp(t(A − rI)), using the Taylor ex- y 00 + 2t y 0 − 4 y = 1 with y(0) = y 0 (0) = 0

pansion for the last exponential. It becomes one of the n

3 s

1 d(µY ) s

= − e−s /4

2

0

linindep solutions to the system. The expansion will be finite Y + − Y =− 2 ⇒

s 2 2s ds 2

because (A − rI)i ui = 0 for some i ∈ [1, mi ]. The hardest

es /4

2

part is finding such a ui each time. 1

Y (s) = 2 + C 3 . (2)

s s

of exponential order, then lims→∞ L{ f }(s) = 0.

Definition 5.1 (Laplace transform). If f is defined on [0, ∞),

How to determine C? Using the above theorem, we take

then

Z∞ the limit of solution at (2) and set it equal to zero, finding

L{ f }(s) = e−st f (t) d t. easily that C = 0. Therefore, with C, we can now find y.

0 From Y (s) = 1/s3 , it follows that y(t) = t 2 /2. Magic.

5.2 Discontinuous and periodic functions

ferential equations with algebriac equations by recursively

applying L{x 0 } = sL{x} − x(0). Definition 5.3 (Heaviside step function).

u(t|t < 0) = 0

Definition 5.2. A function is piecewise continuous on the

interval [a, b] iff it is continous on that interval except at a u(t|0 < t) = 1.

finite number of points at which a jump discontinuity occurs.

We can then express any piecewise function in terms of the

step function for easier transformation. For example,

The jump at f (x) = 1/x for x = 0 would, for example,

count as an “infinite” jump and not a jump discontinuity. f (t|t < 2) = 3

f (t|2 < t < 5) = 1

Theorem 5.1. Roughly, L{ f } exists for s > α if f does not

f (t|5 < t < 8) = t

grow faster than an exponential function of some positive order

α and f is piecewise continuous on [0, ∞). f (t|8 < t) = t 2 /10

f (t) = 3 − (1 − 3)u(t − 2) + (t − 1)u(t − 5)

The proof follows from expanding out the exponential

+ (t 2 /10 − t)u(t − 8).

order test and then performing an integral comparison test.

For s > 0: 1 to 1/s, t n to n!/s n+1 , sin bt to b/(s2 + b2 ), and Properties:

cos bt to s2 /(s2 + b2 ). For s > a, e at to 1/(s − a) and e at t n to

n!/(s−a)n+1 . Finally, f (n) to s n F (s)−s n−1 f (0)−· · ·− f (n−1) (0). L{u(t − a)}(s) = e−as /s

Also, L −1{e−as F (s)}(t) = f (t − a)u(t − a)

N.B. L{e at f (t)}(s) = F (s − a).

L{e at f (t)}(s) = F (s − a)

L{t n f (t)}(s) = (−1)n F (n) (s). The solution to a constant-coefficient linear second-order

differential equation with a stepped non-homogeneous ex-

pression can be, magically, a continous function. However, its

5.1 Inverse Laplace second derivative is instead discontinuous.

L −1 , like L , is a linear operator, implying L −1{ f1 + f2 } =

L −1{ f1 } + L −1{ f2 } and L −1{c f } = cL −1{ f }. To take the

inverse, you basically consult the table. For rational polyno-

mial fractions, partial function decomposition is needed with

a small twist:

⇒ .

(s2 − 2s + 5) (s − 1)2 + 22

terms. Then, those factors have to go into the numerator

so the inverse Laplace rules for sin and cos work correctly.

For t 1 coefficients to linear equations, the transform turns

these non-constant equations into constant coefficient first-

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