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31
Chapter 1
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Review of Differential Equations
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This chapter reviews basic theory of ordinary differential equations (ODEs) and analytical
methods used for solving some types of ODEs. This chapter is not intended to be a
comprehensive study on differential equations, but more an introduction to the theory
that will be used in later chapters. Most of the material has been covered in the second-
year differential equation course.
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1.1 Systems of linear differential equations
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In many applications of differential equations, one is led to simultaneously consider sev-
eral ordinary differential equations with several dependent variables and one independent
variable. Such systems may be linear or nonlinear, homogeneous or nonhomogeneous.
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Depending on the nature of the equations, one may find that dealing with a system
of differential equations is easier than dealing with one higher-order differential equation;
or the converse may hold too.
This then leads to two scenarios. The first being that if a system of lower-order differ-
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ential equations (especially first order differential equations) is not easy to solve, we can
use them to form one higher-order differential equation that we could use familiar tech-
niques to solve. The second one being that given one higher-order differential equation, it
could be easy to solve it if transformed into a system of lower-order differential equations.
In this chapter therefore we present two ways of solving systems of differential equa-
tions namely: writing the system as one higher order differential equation; and writing
one higher order differential equation as a system of differential equations.
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4
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04
Makerere University MTH3104 - Dynamical Systems
31
ential equations
Example 1.2.1
Reduce the differential equations into systems of differential equations
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1. x00 (t) + x(t) = 0
Solution: Let x1 = x0 (t). Then x01 = x00 (t) = −x(t). This gives the system
x0 (t) = x1 (t)
x01 (t) = −x(t)
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2. y 00 + 2y = 4t
Solution: Let y = x1 , y 0 = x2 . Then x01 = y 0 = x2 and x02 = y 00 = 4t−2y = −2x1 +4t.
Then we have the system
x01 = x2
-
x02 = −2x1 + 4t
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3. 2y 000 − 6y 00 + 4y 0 + y = sin t
Solution: Let y = x1 , y 0 = x2 , y 00 = x3 . Then
x01 = y 0 = x2
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x02 = y 00 = x3
1 1
x03 = y 000 = 3y 00 − 2y 0 − y − sin t
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2 2
1 1
= 3x3 − 2x2 − x1 + sin t.
2 2
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x01 = x2
x02 = x3
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1 1
x03 = − x1 − 2x2 + 3x3 + sin t.
2 2
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4. t3 x000 + 4t2 x00 − 8tx0 + 8x = 0.
Solution: Let x = x1 , x0 = x2 , x00 = x3 . Then
x01 = x2 = x2
x02 = x00 = x3
- 1
8
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x03 = x000 = − 3 (4t2 x00 − 8tx0 + 8x)
t
8 4
= − 3 x1 + 2 x2 − x3
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t t t
x01 = x2
x02 = x3
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8 8 4
x03 = − 3 x1 + 2 x2 − x3
t t t
5.
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Solution: Let x1 = x0 , x2 = y 0 . Then x01 = x00 , x02 = y 00 . And the system (1.1)
becomes
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x01 + 3x1 − x02 + y = sin t
x1 − 4x + 5x02 − 6x2 = cos t (1.2)
y 0 − x2 = 0
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If in example 4 we had initial conditions x(2) = 3, x0 (2) = −6, x00 (2) = 14. Then
x1 (t) = x(t), x2 (t) = x0 (t), x3 (t) = x00 (t) would give x1 (2) = 3, x2 (2) = −6, and
x3 (2) = 14 as the initial conditions associated with the system of the differential
equations obtained. Clearly the system is of first order and so the initial conditions
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are of first order.
1.
x0 = x + y
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y0 = x − y
2.
x0 = x + 2y + t − 1
y 0 = 3x + 2y − 5t − 2
x00 = x0 + 2(3x + 2y − 5t − 2) + 1
= x0 + 6x + 4y − 10t − 4 + 1
= x0 + 6x + 2(x0 − x − t + 1) − 10t − 4 + 1
= x0 + 6x + 2x0 − 2x − 2t + 2 − 10t − 3
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= 3x0 + 4x − 12t − 1.
Thus x00 − 3x0 − 4x = −12t − 1; which is a second order constant coefficient, linear,
nonhomogeneous differential equation.
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3.
x0 = x + sin x cos x + 2y
y 0 = = sin2 x(x + sin x cos x + 2y) + x
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x00 = x0 (1 + cos2 x + 2(x + sin x cos x + 2y) sin2 x + 2x
= 2x0 cos2 x + 2x0 sin2 x + 2x = 2x0 + 2x.
Thus x00 − 2x0 − 2x = 0; a second order, constant coefficient, linear differential equation.
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1.4 Solving systems of differential equations
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1.4.1 Solutions by Method of elimination
This process involves building up the system of differential equation into a single differen-
tial equation that can be solved in one dependent variable. Then the solution thereafter
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1.
x0 = x + y , x(0) = 1
y 0 = x − y y(0) = 0
√ √
x(t) = c1 e 2t
+ c2 e− 2t
(1.3)
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√ √ √ √
x0 (t) = 2c1 e 2t
− 2c2 e 2t
(1.4)
Since x0 = x + y gives y = x0 − x, then (1.3) and (1.4) give
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√ √ √ √ √ √
y = 2c1 e 2t
− 2c2 e− 2t − c1 e 2t − c2 e− 2t
√ √ √ √
y = ( 2 − 1)c1 e 2t − ( 2 + 1)c2 e− 2t
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√ √
And x(0) = 1 ⇒ c1 + c2 = 1, y(0) √ = 0 ⇒ ( 2 − 1)c1 − √ ( 2 + 1)c2 = 0 which we
solve simultaneously to give c1 = 21 ( 2 + 1) c2 = 14 (2 − 2). Thus
√ √ √ √ √ √
p
-
x(t) = 12 ( (2 + 1)e 2t + 14 (2 − 2)e− 2t and y(t) = 21 e 2t − 4
2 − 2t
e .
2. Solve the system by elimination method
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x0 = 2x + y + t
y 0 = x + 2y + t2
Solution:
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x00 = 2x0 + y 0 + 1
= 2x0 + (x + 2y + t2 ) + 1
= 2x0 + (x + 2x0 − 4x − 2t + t2 ) + 1
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= 4x0 − 3x + t2 − 2t + 1
Simplifying to x00 − 4x0 + 3x = t2 − 2t + 1 = (t − 1)2 . The differential equation
x00 − 4x0 + 3x = (t − 1)2 has x(t) = c1 et + c2 e3t as the solution to the homogeneous
part and a particular solution is easily found to be 31 t2 + 29 t + 27 1
. So the general
0
solution is x(t) = c1 e + c2 e + 3 t + 9 t + 27 . With x (t) = c1 e + 3c2 e3t + 23 t + 29 and
t 3t 1 2 2 11 t
x0 − 4x + y 00 = t2
x0 + x + y 0 = 0.
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x00 − 4x0 + y 000 = 2t (1.5)
x00 + x0 + y 00 = 0 (1.6)
Equations (1.5)and (1.6) give
−5x0 + y 000 − y 00 = 2t (1.7)
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Eliminating x from the system gives
5x0 + y 00 + 4y 0 = t2 (1.8)
Adding (1.7) to (1.8) gives
y 000 + 4y 0 = t2 + 2t (1.9)
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Equation (1.9) is a third order differential equation whose auxiliary equation is
r3 + 4r = 0. This gives r = 0, r = ±2i. Then the solution to the homogeneous part is
1 3
yc = c1 + c2 cos 2t + c3 sin 2t. Clearly the particular solution is yp = 12 t + 14 t2 − 18 t.
1 3
And the general solution is y = c1 + c2 cos 2t + c3 sin 2t + 12 t + 4 t − 18 t.
1 2
dx
dt
= 3x + 4y d x 3 4 x
1. dy is equivalent to =
dt
= x − 5y dt y 1 −5 y
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dX 3 4 x
⇒ = X where X =
dt 1 −5 y
dx
dt
= 2x + 3y − 4t dX 2 3 x −4t
2. dy is equivalent to = +
= −x + e−t dt 1 0 y e−t
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dt
nonhomogeneous or X0 = AX if homogeneous.
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The process of finding solution to systems of first order linear differential equation
rests on the use of the matrix A.
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Consider the system
dx
= a11 x1 (t) + a12 x2 (t) 0 a11 a12
dt
dy written as X (t) = X(t) = X0 = AX,.
dt
= a21 x1 (t) + a22 x2 (t) a21 a22
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Then using matrix A, we compute |A − λI| = 0 where λ is an eigenvalue of the
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matrix A. This enables us to obtain the corresponding eigenvectors and hence the solution
corresponding to the particular eigenvalue.
The nature of the solution is dictated by the status of the eigenvalue. The eigenvalues
may take on real and distinct, real and equal (repeated), and complex conjugate forms.
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ξ2 ν1
equation |A − λI| = 0. If ξ = and ν = are the corresponding eigenvectors
ξ1 ν2
λ1 t ξ1
then the two linearly independent solution are X1 (t) = ξe = eλ1 t and
ξ2
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ν1
X2 (t) = νeλ2 t = eλ2 t The two solutions will be linearly independent if the Wron-
ν2
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skian W (X1 (t0 ), X2 (t0 )) 6= 0, for some t0 .
If X1 (t) = ξeλ1 t and X2 (t) = νeλ2 t are the two linearly independent solutions to the
system of linear differential equations then general solution is
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X(t) = c1 X1 (t) + c2 X2 (t) = c1 ξeλ1 t + c2 νeλ2 t
If λ1 , λ2 , . . . , λn are n eigenvalues associated with a system of n first order linear
differential equations, and ξ1 , ξ2 , . . . , ξn are the corresponding eigenvectors, then the n
linearly independent solutions to the system are X1 (t) = ξ1 eλ1 t , X2 (t) = ξeλ2 t , . . . , Xn =
ξ2 eλn t and the general solution is X(t) = c1 ξ1 eλ1 t + c2 ξ2 eλ2 t + . . . + cn ξn eλn t .
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Example 1.5.1
1. Solve the system of differential equations
dx
-
= x + 3y
dt
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dy
= 5x + 3y
dt
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0 1 3
Solution: This system is written in matrix form as X = X
5 3
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1 3
in which we have the matrix A = . We compute |A − λI| = 0. And we
5 3
1−λ 3
have = λ2 − 4λ − 12 = 0. This gives λ1 = −2 and λ2 = 6 as the
5 3−λ
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1−λ 3 ξ1 0
= (1.11)
5 3−λ ξ2 0
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3 3 ξ1 0
For λ = −2; (1.11) gives = from which we have
5 5 ξ2 0
3ξ1 + 3ξ2 = 0
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⇒ ξ1 = −ξ2 . Choosing ξ2 = −1 gives ξ1 = 1. Thus we have
5ξ1 + 5ξ2 = 0
1
an eigenvector ξ = so that one solution corresponding to λ1 = −2 is
−1
-
1
hs
X1 = ξe =λt
e−2t . For λ = 6; we have equation (1.11)
−1
−5 3 ν1 0 −5ν1 + 3ν2 = 0
giving = , from which we have ⇒
at
5 −3 ν2 0 5ν1 − 3ν2 = 0
3
λ2 = 6 we have eigenvector ν = . And the second solution is
5
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3
X2 = νeλ2 t = e6t . Then the general solution is
5
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1 −2t 3
X = c1 e + c2 e6t (1.12)
−1 5
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e−2t
1 −2t
The two solutions X1 = e = and
−1 −e−2t
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3 6t 3e6t
X2 = e = are linearly independent; for the Wronskian
5 5e6t -
−2t
e 3e6t
= 5e4t + 3e4t = 8e4t 6= 0.
W (X1 (t), X2 (t)) =
−e−2t 5e6t
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Solution (1.12) is equivalent to x(t) = c1 e−2t + 3c2 e6t and y(t) = −c1 e−2t + 5c2 e6t .
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dx
dt
= 2x + 3y
2. Solve the system of differential equations dy , subject
dt
= 2x + y
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0 2 3 2
Solution: This system can be written as X = X; X(0) = .
2 1 −1
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2−λ 3
Then |A − λI| = 0 gives = λ2 − 3λ − 4 = 0
2 1−λ
⇒ λ1 = −1 and λ2 = 4.
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3 3 ξ1 0
For λ1 = −1, we have = from which we have
2 2 ξ2 0
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3ξ1 + 3ξ2 = 0
⇒ ξ1 = −ξ2 . Choosing ξ2 = −1 gives ξ1 = 1. Thus the
2ξ1 + 2ξ2 = 0
1 1
eigenvector is ξ = and the solution is X1 = e−t .
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−1 −1
−2 3 ν1 0 −2ν1 + 3ν2 = 0
For λ = 4, we have = . This gives ⇒
2 −3 ν2 0 2ν1 − 3ν2 = 0
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3
hs
2ν1 = 3ν2 . Choosing ν2 = 2 gives ν1 = 3 and we have ν = . Then the
2
3
second solution is X2 = e4t and the general solution is X = c1 X1 + c2 X2 =
2
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1 −t 3
c1 e +c2 e4t . Thus x(t) = c1 e−t +3c2 e4t and y(t) = −c1 e−t +2c2 e4t .
−1
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dx
= −4x + y + z
dt
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dy
= x + 5y − z
dt
dz
= y − 3z
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dt
−4 1 1
-
Solution: The system in matrix form is X0 = 1 5 −1 X
0 1 −3
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−4 − λ 1 1
Then |A−λI| = 0 gives
1 5−λ −1 = (λ + 3)(λ + 4)(λ − 5) = 0 and
0 1 −3 − λ
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−1 1 1 ξ1 0
For λ1 = −3; we have 1 8 −1 ξ2 = 0 from which we get
0 1 0 ξ3 0
−ξ1 + ξ2 + ξ3 = 0 1
−ξ1 + 8ξ2 − ξ3 = 0 ⇒ ξ1 = ξ3 . Choosing ξ1 = 1 gives ξ3 = 1. Thus ξ = 0
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ξ2 = 0 1
1
and the first solution is X1 = 0 e−3t .
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1
0 1 1 ν1 0
For λ2 = −4, we have 1 9 −1 ν2 = 0 . This gives
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0 1 1 ν3 0
ν2 + ν3 = 0
ν1 + 9ν2 − ν3 = 0 ⇒ ν1 = 10ν3 and ν2 = −ν3 . Choosing ν3 = 1 gives ν2 =
ν2 + ν3 = 0
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10 10
−1, ν1 = 10 ⇒ ν = −1 . Thus the second solution is X2 = −1 e−4t .
1 1
-
hs
−9 1 1 ρ1 0 1
For λ = 5, we have 1 0 −1 ρ2 = 0 . This yields ρ = 8
0 1 −8 ρ3 0 1
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1
and the third solution is X3 = 8 e5t . Then the general solution
1
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1 10 1
X = c1 X1 +c2 X2 +c3 X3 becomes X = c1 0 e−3t +c2 −1 e−4t +c3 8 e5t .
1 1 1
Exercise 1.5.1
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31
dx dx dx
1. dt
= x + 2y 2. dt
= 2y 3. dt
= −4x + 2y
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dy dy dy
dt
= 4x + 3y dt
= 8x dt
= − 52 x + 2y
0 10 −5 0 −6 2
4. X = X 5. X = X
8 −12 −3 1
6. dx
dt
dy
dt
dz
=x+y−z
= 2y
=y−z
- 7. dx
dt
dy
dt
dz
= 2x − 7y
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= 5x + 10y + 4z
= 5y + 2z
hs
dt dt
−1 1 0 1 0 1
at
0
8. X = 1 2 1 X 9. X0 = 0 1 0 X
0 3 −1 1 0 1
−1 −1 0 −1 4 2
10. X0 = 3 4
− 32 3 X 11. X0 = 4 −1 −2 X
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1 1
8 4
− 12 0 0 6
1 1 1 4 1
0 3
12. X0 = 2 X, X(0) = 13. X 0
= 0 2 0 X, X(0) = 3
1 − 12
5
1 1 1 0
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Consider the system of differential equations given by
dx
= 6x − y
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dt
dy
= 5x + 4y
dt
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6−λ 1
Then |A − λI| = 0 gives = λ2 − 10λ + 29 = 0 from which we find
5 4−λ
λ1 = 5 + 2i, λ2 = 5 − 2i
-
hs
6 − (5 + 2i) −1 ξ1
For λ = 5 + 2i, we have =0
5 4 − (5 + 2i) ξ2
1 − 2i −1 ξ1
at
(1 − 2i)ξ1 − ξ2 = 0 (1.13)
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1
we have ξ = . Similarly, for λ = 5 − 2i, we find that the other eigenvector is
1 − 2i
1
ν= . Consequently the two linearly independent solutions are
1 + 2i
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1 (5+2i)t 1
X1 = e and X2 = e(5−2i)t
1 − 2i 1 + 2i
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And the general solution is
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1 (5+2i)t 1
X = c1 e + c2 e(5−2i)t (1.15)
1 − 2i 1 + 2i
and
y(t) = c1 (1 − 2i)e5t (cos 2t + i sin 2t) + c2 (1 + 2i)e5t (cos 2t − i sin 2t)
= e5t [(c1 + c2 ) − 2(c1 − c2 )i] cos 2t + e5t [2(c1 − c2 ) + (c1 − c2 )i sin 2t]
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⇒
x(t) = e5t (A cos 2t + B sin 2t)
y(t) = e5t (A − 2B) cos 2t + e5t (2A + B) sin 2t.
This in terms of vectors is
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x cos 2t 5t sin 2t
X= =A e +B e5t
y cos 2t + 2 sin 2t − cos 2t + sin 2t
1 1
The entries in eigenvectors ξ = and ν = corresponding to
1 − 2i 1 + 2i
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λ1 = 5 + 2i and λ2 = 5 − 2i are clearly complex conjugates of each other ( much as the
eigenvalues are complex conjugates).
One eigenvector ξ corresponding to the eigenvalue λ1 is obtained if it is clear enough
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that the second eigenvector ν is its complex conjugate.
Thus we have the following generalisation:
Let ξ and ξ¯ be complex conjugate eigenvectors corresponding to the complex conjugate
eigenvalues λ and λ̄, where λ = α + βi. Then
X1 = ξeλt = ξe(α+βi)t = ξeαt (cos βt + i sin βt)
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¯ λ̄t = ξe
and X2 = ξe ¯ (α−β)t = ξe
¯ αt (cos βt − i sin βt)
This yields on addition and subtraction
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1 λt ¯ λt ¯ 1 ¯ αt cos βt − 1 (−ξ + ξ)e
¯ αt sin βt
(ξe + ξe ) = (ξ + ξ)e
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2 2 2
For any complex number z = a + ib we note that 21 (z + z̄) = a and 2i (−z + z̄) = b are Real
numbers . Therefore the entries in the column vectors
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1 ¯ and 1 (−ξ + ξ)
¯
(ξ + ξ)
2 2
1 ¯ and B2 = i (−ξ + ξ)
¯
B1 = (ξ + ξ) (1.16)
2 2
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system of differential equation and let B1 and B2 denote the columns defined in (1.16).
Then
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are the two linearly independent solutions. The matrices B1 and B2 are clearly
1 1 0
B1 = Re(ξ) and B2 = Im(ξ). For example ξ = = + i has
i − 2i 1 −2
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1 0
B1 = Re(ξ) = and B2 = Im(ξ) = .
1 −2
-
Example 1.5.2
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Solve the system of differential equations
dx
at
= x + 2y
dt
dy 1
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= − x+y
dt 2
1−λ 2
Solution: |A − λI| = 1
= λ2 − 2λ + 2 = 0 ⇒ λ1 = 1 + i and
−2 1 − λ
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1 − (1 + i) 2 ξ1
λ2 = λ¯1 = 1 − i. For λ1 = 1 + i, we have 1 = 0; from
−2 1 − (1 + i) ξ1
2 2 0 2
which we get ξ = = + i. Then B1 = Re(ξ) = and
i 0 1 0
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0
B2 = Im(ξ) = . And the two linearly independent solutions are
1
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αt 2 0
X1 = (B1 cos βt − B2 sin βt)e = [ cos t − sin t]et and
0 1
0 2
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αt
X2 = (B2 cos βt + B1 sin βt)e = [ cos t + sin t]et . The general solution
1 0
2 0 t 0 2
is then X(t) = c1 [( cos t − sin t)e ] + c2 [( cos t + sin t)et ] which
0 1 1 0
-
2 cos t 2 sin t
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t
simplifies to X(t) = c1 e + c2 et .
− sin t cos t
at
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Exercise 1.5.2
31
Find the general solution to system of differential equations
dx dx dx
1. dt
= 6x − y 2. dt
=x+y 3. dt
= 5x + y
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dy dy dy
dt
= 5x + 2y dt
= −2x − y dt
= −2x + 3y
dx dx dx
4. dt
= 4x + 5y 5. dt
= 4x − 5y 6. dt
= x − 8y
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dy dy dy
dt
= −2x + 6y dt
= 5x − 4y dt
= x − 3y
dy dx dx
7. dt
= −z 8. dt
= 2x + y + 2z 9. dt
= x − y + 2z
-
dy dy dy
dt
=z dt
= 3x + 6z dt
= −x + y
hs
dz dz dz
dt
=z dt
= −4x − 3z dt
= −x + z
dx dx dx
10. dt
= 4x + y 11. dt
= 2x + 5y + z 12. dt
= x − 12y − 14z
at
dy dy dy
dt
= 6y dt
= −5x − 6y + 4z dt
= x + 2y − 3z
dz dz dz
dt
= −4x + 4z dt
= 2z dt
= x + y − 2z
dx dx
13. dt
= 2x + 4y + 4z 14. dt
= 6x − y; x(0) = −2
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dy dy
dt
= −x − 2y dt
= 5x + 4y; y(0) = 8
dz
dt
= −x − 2z
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dx
= 3x − 18y
dt
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dy
= 2x − 9y
dt
3 − λ −18
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Then |A − λI| = = (λ + 3)2 = 0 gives λ1 = λ2 = −3.
2 −9 − λ
3
For λ = −3 we find that ξ = , and so the solution corresponding to this is
1
-
hs
3
X1 = e−3t . But this gives only one solution and since we are interested in the
1
ξ1 ν1
where ξ = and ν = . Then using (1.17) in the system X0 = AX gives
ξ2 ν2
(Aξ − λ1 ξ)teλ1 t + (Aν−λ1 ν − ξ)eλ1 t = 0. Since this equation is to hold for all values of t
we have
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(A − λ1 I)ξ = 0 (1.18)
and (A − λ1 I)ν = ξ (1.19)
Solving (1.18) gives one solution X1 = ξeλ1 t . To find the second solution X2 we simply
solve (1.19) for ν, for a known ξ.
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Example 1.5.3
6 −18 ξ1 6ξ1 − 18ξ2 = 0 ξ1 − 3ξ2 = 0
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= 0. This gives or .
2 −6 ξ2 2ξ1 − 6ξ2 = 0 ξ1 − 3ξ2 = 0
3
The two give ξ1 = 3ξ2 . Choosing ξ2 = 1, gives ξ1 = 3. Thus ξ = and the first
1
M
3
solution is X1 = e−3t . To find the second solution, we solve (A − λI)ν = ξ.
1 -
5 −18 ν1 3 6ν1 − 18ν2 = 3 1
Thus = , gives , ⇒ ν1 − 3ν2 =
2 −6 ν2 1 2ν1 − 6ν2 = 1 2
hs
1
2
give ν2 = 61 .) Thus we have ν = . And from X2 = ξteλt + νeλt we have the second
0
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1
3 2
solution as X2 = te−3t + e−3t Then the general solution X = c1 X1 + c2 X2
1
0
1
3 3 2
gives X = c1 e−3t + c2 [ te−3t + e−3t ].
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1 1
0
31
t2
X1 = ξeλt X2 = ξteλt + νeλt and X3 = ξ eλt + νteλt + ρeλt ,
2
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ξ1 ν1
where upon substituting X3 into X0 = AX, the eigenvectors ξ = ξ2 , ν = ν2 and
ξ3 ν3
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ρ1
ρ = ρ2 must satisfy
ρ3
(A − λI)ξ = 0
-
(A − λI)ν = ξ
hs
(A − λI)ρ = ν
Example 1.5.4
Solve the system of differential equations
at
2 1 6
X0 = 0 2 5 X
-M
0 0 2
1 1
giving ξ = 0 so that the first solution is X1 = 0 e2t .
0 0
To find the second solution, we use X2 = ξteλt + νeλt , where (A − λI)ν = ξ gives
31
2−λ 1 6 ν1 1 0 1 6 ν1 1
0 2−λ 5 ν2 = 0 or 0 0 5 ν2 = 0 . Thus
0 0 2−λ ν3 0 0 0 0 ν3 0
TH
we have ν2 + 6ν3 = 1 and 5ν3 = 0, from which we see that ν3 = 0 and ν2 = 1. And the
0
choice of ν1 = 0 gives ν2 = 1 . Thus the second solution X2 = ξteλt + νeλt is
M
0
1 0
2
X2 = 0 te + 1 e2t . To find the third solution we use X3 = ξ t2! eλt + νteλt + ρeλt
2t
0 0
-
hs
0 1 6 ρ1 0
where (A − λI)ρ = ν. This gives 0 0 5 ρ2 = 1 from which we have
0 0 0 ρ3 0
at
1
ρ2 + 6ρ3 = 0 and 5ρ3 = 1. Thus ρ3 = 5
and ρ2 = − 65 . Then the choice of ρ1 = 0
-M
0
6 2
gives − 5 . Then the third solution X3 = ξ t2! eλt + νteλt + ρeλt gives X3 =
1
5
0
1 0
0 t2 e2t + 1 te2t + − 65 e2t . And the general solution X = c1 X1 +c2 X2 +c3 X3
2
0 0 1
AK
becomes
31
0
1 1 0 1 0
2
X = c1 0 e2t +c2 [ 0 te2t + 1 e2t ]+c3 [ 0 t2 e2t + 1 te2t + − 65 ].
0 0 0 0 0 1 2t
e
5
TH
If λ is of multiplicity four then the four linearly independent solutions would be
X1 = ξeλt
X2 = ξteλt + νeλt
M
t2 λt
X3 = ξ e + νteλt + ρeλt
2! -
t3 λt t2 λt
X4 = ξ e + ν e + ρteλt + γeλt
3! 2
hs
(A − λI)ξ = 0
at
(A − λI)ν = ξ
(A − λI)ρ = ν
(A − λI)γ = ρ
-M
AK
Exercise 1.5.3
31
Find the general solution of the given system.
dx dx dx
1. dt
= 3x − y 2. dt
= −6x + 5y 3. dt
= −x + 3y
TH
dy dy dy
dt
= 9x − 3y dt
= −5x + 4y dt
= −3x + 5y
dx dx dx
4. dt
= 12x − 9y 5. dt
= 3x − y − z 6. dt
= 3x + 2y + 4z
M
dy dy dy
dt
= 4x dt
=x+y−z dt
= 2x + 2z
dz dz
dt
=x−y−z dt
= 4x + 2y + 3z
−4
5 0
- 1 0 0 1 0 0
0
7. X = 1 0 2 X 8. X0 = 0 3 1 X 9. X0 = 2 2 −1 X
0 2 5 0 −1 1 0 1 0
hs
4 1 1
10. X0 = 0 4 1 X
0 0 4
at
0 0 1 1
2 4 −1
11. X0 = X, X(0) = 12. X0 = 0 1 0 X, X(0) = 2
−1 6 6
1 0 0 5
31
The methods of undetermined coefficients and variation of parameters can both be
adopted in this case too.
TH
We demonstrate this method with the following examples:
1. Solve the system
dx
M
= −x + 2y − 8
dt
dy
= −x + y + 3
dt
-
hs
−1 2 −8
Solution: This system in matrix form is X0 = X+ . We first solve
−1 1 3
−1 2
at
0
the homogeneous system X = X. The determinant |A − λI| = 0 gives
−1 1
-M
−1 − λ 2
= λ2 + 1 = 0, giving the complementary solution
−1 1−λ
cos t + sin t cos t − sin t
Xc = c 1 + c2 .
cos t − sin t
AK
−8 a1
Since F(t) = is a constant we assume a particular solution Xp = .
3 b1
0
This gives X0 p = which on substitution into the equation X0 = AX + F(t) gives
0
31
0 −1 2 a1 −8
= + ⇒ 0 = −a1 + 2b1 − 8 and 0 = −a1 + b1 + 3.
0 −1 1 b1 3
TH
14
Solving the equations simultaneously gives a1 = 14 and b1 = 11 and so Xp = .
11
cos t + sin t cos t − sin t 14
M
Thus X = Xc + Xp = c1 + c2 + .
cos t − sin t 11
dy
= 4x + 3y − 10t + 4
at
dt
6 1 6t
-M
0
Solution: This system in matrix form is X = X+ . We
4 3 −10t + 4
0 6 1
first solve the homogeneous system X = X. The determinant |A − λI| =
4 3
6−λ 1
AK
= λ2 − 9λ + 14 = 0 gives λ1 = 2 and λ2 = 7. The respective eigenvectors
4 3−λ
1 1
are ξ = for λ1 = 2 and ν = , forλ2 = 7. Consequently the complementary
−4 1
31
1 2t 1
solution is Xc = c1 e + c2 e7t .
−4 1
TH
6t 6t 0
To solve for the particular solution, F(t) = = + . So
−10t + 4 −10t 4
a1 t + a2 a1
M
we assume Xp = . This leads to X0 p = which when used in the
b1 t + b2 b1
a1 6 1 a1 t + a2 6t
system gives = + . After multiplying out
b1 4 3 b1 t + b2 −10t + 4
-
a1 (6a1 + b1 + 6)t + (6a2 + b2 )
hs
and collecting terms together we get = .
b1 (4a1 + 3b1 − 10)t + (4a2 + 3b2 + 4)
6a1 + b1 + 6 = 0 6a2 + b2 − a1 =0
Equating coefficients we have and .
at
Solving the first two equations simultaneously gives a1 = −2 and b1 = 6. And using
-M
these values into the second set of equations and solving for a1 and b1 gives a2 = − 47 and
−2t − 47 − 47
10 −2
b2 = . Then we have Xp = = t+ . Thus, the general
7 6t + 10
7
6 10
7
− 74
1 2t 1 7t −2
solution is X = Xc + Xp = c1 e + c2 e + t+ .
AK
10
−4 1 6 7
3. Determine the form of the particular solution vector Xp for the system
31
dx
= 5x + 3y − 2e−t + 1
dt
TH
dy
= −x + y + e−t − 5t + 7
dt
M
0 5 3 −2 −t 0 1
X = X+ e + t+ . Clearly for homogeneous part,
−1 1 1 - −5 7
1 2t 3
|A − λI| = 0 yields Xc = c1 e + c2 e4t .
−1 −1
hs
−2 −t 0 1
Since F(t) = e + t+ we assume a particular solution
1 −5 7
at
a1 −t a2 a3
Xp = e + t+
b1 b2 b3
-M
Remarks:
−2t2 + e2t a1 t2 + a2 t + a3 + a4 e2t
1. If F(t) = we would assume Xp =
10t + e−t b1 t + b2 + b3 e−t
AK
2. The method of undetermined coefficients is not as simple as the last examples may
seem to suggest. As in the case of solving nonhomogeneous differential equations
that are not systems, the method can only be applied when the entries in the matrix
F(t) are constants, polynomials, exponentials, sines and cosines ; or finite sums and
31
products of these functions. The assumption for Xp is actually predicted on a prior
knowledge of the complementary solution Xc . For example if F(t) is a constant
vector and λ = 0 is an eigenvalue, in which case Xc contains a constant vector, then
TH
a2 a1
Xp cannot be a constant vector but rather Xp = t+ .
b2 b1
Similarly if we have λ = −1 then Xc would contain a vector term with e−t , say
M
10t + e−t
1 −t 0
F(t) = , where Xc = e + e−4t instead of
2t2 + te2t - 1 1
a1 + a2 t + a3 e−t
Xp = (the difference being on the term with e−t )
b1 + b2 + b3 t2 + (b4 + b5 t)e2t
hs
Exercise 1.6.1
-M
In numbers 1-8 use the method of undetermined coefficients to solve the given systems
dx dx dx
1. dt
= 2x + 3y − 7 2. dt
= 5x + 9y + 2 3. dt
= x + 3y − 2t2
dy dy dy
dt
= −x − 2y + 5 dt
= −x + 11y + 6 dt
= x − 4y + 4t + 9e6t
AK
1
4 −3 −1 5 sin t
4. X0 = 3 X+ et 5. X0 = X+
9 6 10 −1 1 −2 cos t
31
1 1 1 1 0 0 5 5
0
6. X = 0 2 3 X + −1 e−4t 0
7. X = 0 5 0 X+
−10
0 0 5 2 5 0 0 40
TH
0 −1 −2 3 −4
8. Solve X = X+ subject to X(0) =
3 4 3 5
M
0 1 −1 3t 2
9. Solve the system X = X+ subject to X(0) =
3 4 3te−2t −1
1.6.2
-
Method of variation of parameters
Consider the system whose general solution is
hs
1 2t 3
X = c1 e + c2 e3t (1.20)
−3 2
at
x e2t 3e3t c1
AK
= (1.21)
y −3e2t 2e3t c2
System (1.21) can be written as X = φ(t)C and this is a solution to X0 = AX. And indeed
31
φ0 (t) = Aφ(t) (1.22)
e2t 3e3t
The function φ(t) = that is essentially made of the column vectors of
−3e2t 2e3t
TH
1 2t 3
the linearly independent solutions X1 = e and X2 = e3t is called a
−3 2
M
fundamental matrix solution of the system and C is a column of arbitrary constants.
Suppose the constant C is replaced by a matrix of functions U (t) so that
Xp = φ(t)U (t) (1.23)
is a particular solution of the nonhomogeneous system
-
X0 = AX + F(t) (1.24)
hs
Then X0 p = φ(t)U 0 (t) + φ0 (t)U (t) (1.25)
Then (1.23) and (1.25) into (1.24) gives
φ(t)U 0 (t) + φ0 (t)U (t) = Aφ(t)U (t) + F(t) (1.26)
at
−1 0 −1
Multiplying
R −1both sides of (1.27) by φ (t) gives U (t) = φ (t)F(t) so that
U (t) = φ (t)F(t)dt. Hence the assumed particular solution Xp = φ(t)U (t) becomes
Z
Xp = φ(t) φ−1 (t)F(t)dt (1.28)
AK
The indefinite integral of the column matrix φ−1 (t)F(t) in (1.28) is evaluated
R −1by integrat-
ing each entry. Thus the general solution X = Xc +Xp is X = φ(t)C +φ(t) φ (t)F(t)dt.
Example 1.6.1
31
−3 1 3t
Find the general solution to the system X0 = X+ .
2 −4 e−t
TH
0 −3 1
Solution: We first solve the homogeneous system X = X and
2 −4
−3 − λ 1
|A−λI| = = (λ+2)(λ+5) = 0 ⇒ λ1 = −2 and λ2 = −5. Clearly the
M
2 −4 − λ
1 1
corresponding eigenvectors to λ1 and λ2 are ξ = and . And the solution
1 −2
-
1 −2t 1
vectors are X1 = e and X2 = e−5t . Then the fundamental matrix
hs
1 −2
e−2t e−5t 2 2t 1 2t
−1 e e
solution φ(t) is given by φ(t) = ⇒ φ (t) = 3 3 .
e−2t −2e−5t 1 5t
e −3e1 5t
at
3t
Now with F(t) = we have
e−t
-M
Z
Xp = φ(t) φ−1 (t)F(t)dt
e−2t e−5t 2 2t 1 2t
Z
e e 3t
AK
= 3 3 dt
e−2t −2e−5t 1 5t
3
e − 13 e5t e−t
e−2t e−5t 1 t
Z
2te2t 3
e
= −2t dt
e −2e−5t te 5t
− 13 e4t
31
e−2t e−5t te2t − 21 e2t + 13 et
= −2t
e −2e−5t 1 5t
5
te − 25 1 5t
e − 12 1 4t
e
TH
6 27
+ 14 e−t
5
t − 50
= 3
5
t − 21
50
+ 12 e−t
M
6 27 1
1 −2t 1 −5t
Hence X = Xc + Xp = c1 e + c2 e + 5
3 t− 50
21 + 4
1 e−t .
1 −2 5 50 2
If the solution of the system of differential equations is sought on an interval then the
-
general solution is
hs
Z t
X = φ(t)C + φ(t) φ−1 (s)F(s)ds (1.29)
t0
at
Z t
−1
X = φ(t)φ (t0 )X0 + φ(t) φ−1 (s)F(s)ds. (1.30)
t0
AK
0 3 −1 1
For example, given the system X = X, subject to X(0) = . The
−1 3 1
e2t e4t
fundamental matrix for the homogeneous part is φ(t) = .
e −e4t
2t
31
1 1
1 1 −1
For t0 = 0; φ(t0 ) = ⇒ φ (t0 ) = 2
1
2 . And
1 −1 2
− 12
TH
−1 1 e2t e4t 1 1 1 e2t + e4t e2t − e4t
φ(t)φ (t0 ) = =
2 e2t −e4t 1 −1 2 e2t − e4t e2t + e4t
2e2t e2t 4e2t
M
−1 1
⇒ φ(t)φ (t0 )X0 = = . Since F(t) = , we have
2 2e2t e2t 4e4t
1 −2s 1 −2s
−1 2
e 2
e 4e2s 2 + 2e2s
φ (s)F(s) = 1 −4s 1 −4s =
e −2e 4e4s 2e−2s − 2
2
-
Rt 2s
2t
−
hs
Rt −1 (2 + 2e )ds 2t + e 1
⇒ t0 φ (s)F(s)ds = R t0 −2s = −2t . And
0
(2e − 2)ds −e − 2t + 1
Rt −1 e2t e4t 2t + e2t − 1 2(t − 1)(e2t − e4t )
at
φ(t) φ (s)F(s)ds = = .
0 22t −e4t −2e−2t − 2t + 1 2t(e2t + e4t )
Z t
−1
X(t) = φ(t)φ (t0 )X0 + φ(t) φ−1 (s)F(s)ds
t0
e2t 2(t − 1)(e2t − e4t )
= +
AK
Exercise 1.6.2
In the problems 1-16 use variation of parameters to solve the given system
31
dx dx
1. dt
= 3x − 3y + 4 2. dt
= 2x − y
TH
dy dy
dt
= 2x − 2y − 1 dt
= 3x − 2y + 4t
0 3 −5 1 t
0 2 −1 sin 2t
3. X = 3 X+ e2 4. X = X+ e2t
−1 −1 4 2 2 cos 2t
M
4 −t
0 3 2 2e 0 3 2 1
5. X = X+ −t 6. X = X+
−2 −1 e −2 −1 1
0 −1 sec t 1 −1 3
7. X0 = X+ 8. X0 = X+
1 0 0 1 1 3
1 −1 cos t 2 −2 1 e−2t
9. X0 = et 10. X0 =
−1
X+
- X+
6 −6
1 sin t t
3
0 0 1 0 0 0 1 1
11. X = X+ 12. X = X+
−1 0 sec t tan t −1 0 cot t
hs
1 2 csc t 1 −2 tan t
13. X0 = 1 X+ et 14. X0 = X+
− 2
1 sec
t t 1 −1 1
1 1 0 e 3 −1 −1 0
0
15. X = 1 1 0 X+ e2t 16. X0 = 1 1 −1 X + t
at
0 0 3 te3t 1 −1 1 2et
In problems 17 and 18 use equation (1.30) to solve the given system subject to the
-M
−2 2
0 5 sin 2t 2
17. X = X+ , X(0) =
2 −5 0 −1
1 −1 1/t 2
18. X0 = X+ , X(1) =
1 −1 1/t −1
AK