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**• Example of convertion of a higher order DE into a system of ﬁrst order DEs
**

x

+ 3x

+ 4x

+ x = e

t

• Introduce new variables

Let x

1

(t) = x(t) x

2

(t) = x

(t) x

3

(t) = x

(t)

• Immediately, we have that

x

1

= x

2

x

2

= x

3

and from the given DE

x

3

= x

= −3x

−4x

−x + e

t

and hence

x

3

= −3x

3

−4x

2

−x

1

+ e

t

• Written in matrix form we have

x

= Ax +g(t)

x =

¸

x

1

x

2

x

3

A =

0 1 0

0 0 1

−1 −4 −3

¸

¸

g(t) =

¸

0

0

e

t

• Note that x

1

, x

2

and x

3

, and hence vector x, depend on t

• The general case. Linear systems of the form

x

= Ax +g(t)

x =

¸

¸

x

1

.

.

.

x

n

A =

a

11

. . . a

1n

.

.

.

.

.

.

a

n1

. . . a

nn

¸

¸

¸

a constant matrix

g(t) =

¸

¸

g

1

(t)

.

.

.

g

n

(t)

**• If g(t) = 0 the system is called homogeneous
**

Homogeneous systems of diﬀerential equations

• These are systems of the form

x

= Ax

where

x =

¸

¸

x

1

.

.

.

x

n

A =

a

11

. . . a

1n

.

.

.

.

.

.

a

n1

. . . a

nn

¸

¸

¸

a constant matrix

• The general solution is of the form (we’ll see later why)

x(t) = c

1

x

(1)

(t) +· · · + c

n

x

(n)

(t)

• That is, it is a linear combination of certain solutions

• Constants c

1

, · · · , c

n

are the combination co-eﬃcients

• The second-order diﬀerential equation

x

+ 2x

−3x = 0

• Let x

1

= x and x

2

= x

**. The derivatives of the new variables are
**

x

1

= x

= x

2

x

2

= x

= 3x −2x

= 3x

1

−2x

2

• In matrix-vector form this is

x

= Ax x =

x

1

x

2

A =

¸

0 1

3 −2

**• The (eigenvalue) characteristic equation is λ
**

2

+ 2λ −3 = 0

• Recall that the diﬀerential equation is x

+ 2x

**−3x = 0. Note the similarity
**

• The eigenstructure is

v

1

=

1

1

v

−3

=

1

−3

**• The general solution is (we’ll see why later)
**

x = c

1

1

1

e

t

+ c

2

1

−3

e

−3t

• Note that the eigenvalues are in the exponents

• In component form, the solution is

x ≡ x

1

= c

1

e

t

+ c

2

e

−3t

x

≡ x

2

= c

1

e

t

−3c

2

e

−3t

• Both x

1

(position) and x

2

(velocity) satisfy the original diﬀerential equation

• First year method. Try x = e

mt

. Substitution leads to

m

2

+ 2m−3 = 0 This is the characteristic equation in m instead of λ

• Another example. The homogeneous system x

1

= x

1

+ 2x

2

, x

2

= 5x

1

+ 4x

2

• In system form we have

x

= Ax x =

x

1

x

2

A =

¸

1 2

5 4

**• The general solution (we’ll see later why) is
**

x(t) = c

1

2e

6t

5e

6t

+ c

2

e

−t

−e

−t

That is

x

1

(t) = 2c

1

e

6t

+ c

2

e

−t

x

2

(t) = 5c

1

e

6t

−c

2

e

−t

The Wronskian and Linear Independence

• Recall that for any matrix M we have

M invertible ⇐⇒ M has linearly independent columns

• and hence we have that

det(M) = 0 ⇐⇒ M has linearly independent columns

• Hence column vectors v

1

, v

2

, · · · , v

n

are linearly independent if the matrix

v

1

.

.

. v

2

.

.

. · · ·

.

.

. v

n

**has nonzero determinant
**

• We can form an augmented matrix of n solutions of an n

th

order system

x

(1)

(t)

.

.

. x

(2)

(t)

.

.

. · · ·

.

.

. x

(n)

(t)

**• Its determinant is called the Wronskian
**

W(t) =

x

(1)

(t)

.

.

. x

(2)

(t)

.

.

. · · ·

.

.

. x

(n)

(t)

• Previous example: x

1

= x

1

+ 2x

2

, x

2

= 5x

1

+ 4x

2

W(t) =

2e

6t

e

−t

5e

6t

−e

−t

= −7e

5t

• A set of solutions is linearly independent if its Wronskian is nonzero

• It can be shown that the Wronskian is either never zero or always zero

• A linearly independent set of solutions is also called a fundamental set of solutions

• How to ﬁnd solutions of homogeneous linear systems of diﬀerential equations

• When n = 1 the system is simply x

= ax where a = a

11

• The solution is x(t) = ce

at

where c is a constant

• To solve homogeneous linear system seek solutions of the form

x(t) = ve

λt

where λ is a constant and v is a constant vector

• Substitution into the system gives

x

= Ax ⇒ λve

λt

= Ave

λt

⇒ λv = Av

• This is the eigenvalue-eigenvector problem

Examples

• The second order system

x

(t) = Ax(t) x =

x

1

x

2

A =

¸

1 2

5 4

• The eigensolution is

v

6

=

2

5

v

−1

=

1

−1

**• Hence the two solutions are
**

x

(1)

(t) =

2

5

e

6t

x

(2)

(t) =

1

−1

e

−t

• Wronskian is W(t) = −7e

5t

= 0 so they are linearly independent

• The general solution is

x(t) = c

1

2

5

e

6t

+ c

2

1

−1

e

−t

• The third order system

x

(t) = Ax(t) x =

¸

x

1

x

2

x

3

A =

1 2 3

0 4 5

0 0 6

¸

¸

• The eigensolution is

v

1

=

¸

1

0

0

v

4

=

¸

2

3

0

v

6

=

¸

16

25

10

**• The general solution is
**

x(t) = c

1

¸

1

0

0

e

t

+ c

2

¸

2

3

0

e

4t

+ c

3

¸

16

25

10

e

6t

• Repeated eigenvalue example..The third order system

x

(t) = Ax(t) x =

¸

x

1

x

2

x

3

A =

−2 2 −3

2 1 −6

−1 −2 0

¸

¸

• The eigensolution is

v

5

=

¸

1

2

−1

v

−3

=

¸

−2

1

0

,

¸

3

0

1

**• The general solution is
**

x(t) = c

1

¸

1

2

−1

e

5t

+

c

2

¸

−2

1

0

+ c

3

¸

3

0

1

¸

¸

e

−3t

Fundamental Matrices and the Initial Value Problem

• A fundamental set of solutions can be augmented into a Fundamental matrix

Ψ(t) =

x

(1

)(t)

.

.

. x

(2

)(t)

.

.

. · · ·

.

.

. x

(n

)(t)

• Earlier example

x

(t) =

¸

1 2

5 4

x(t) ⇒ Ψ(t) =

¸

2e

6t

e

−t

5e

6t

−e

−t

**• The Wronskian W(t) = det(Ψ(t))
**

• A fundamental set of solutions is linearly independent by deﬁnition

• Hence W(t) = 0 and hence Ψ(t) is invertible

• An Initial Value Problem (IVP) is a system of DEs plus appropriate initial conditions

x

(t) = Ax(t) x(0) = x

0

• General solution of system of DEs is

x(t) = c

1

x

(1)

(t) +· · · + c

n

x

(n)

(t)

⇒ x(t) = Ψ(t)c where c =

¸

¸

c

1

.

.

.

c

n

**• The initial conditions require that
**

Ψ(0)c = x

0

⇒ c = Ψ(0)

−1

x

0

⇒ x(t) = Ψ(t)Ψ(0)

−1

x

0

• The Fundamental Matrix Φ(t) is deﬁned to be

Φ(t) = Ψ(t)Ψ(0)

−1

• Note that Φ(t) is unique for a given system, but Ψ(t) is not

• Observe that

Φ(0) = I

• Solution of the initial value problem can be written

x(t) = Φ(t)x

0

Example

• The second order initial value problem

x

(t) =

¸

1 2

5 4

x(t) x(0) =

1

2

• Now

Ψ(0) =

¸

2 1

5 −1

⇒ Ψ(0)

−1

=

1

7

¸

1 1

5 −2

• Hence

Φ(t) =

1

7

¸

2e

6t

+ 5e

−t

2e

6t

−2e

−t

5e

6t

−5e

−t

5e

6t

+ 2e

−t

**• Finally, the initial condition requires that
**

x(t) =

1

7

¸

2e

6t

+ 5e

−t

2e

6t

−2e

−t

5e

6t

−5e

−t

5e

6t

+ 2e

−t

1

2

That is

x(t) =

1

7

6e

6t

+ e

−t

15e

6t

−e

−t

That is

x

1

(t) =

6

7

e

6t

+

1

7

e

−t

x

2

(t) =

15

7

e

6t

−

1

7

e

−t

• Graphically

A systemartic way of ﬁnding the solution

• Recall that

D = P

−1

AP

• This can be used to simplify a diﬃcult problem

• A change of variables. Introduce vector variable y(t) through the relationship

x(t) = Py(t)

• The columns of matrix P must be eigenvectors of A

• Substitute into the system of diﬀerential equations

x

= Ax ⇒ Py

= APy ⇒ y

= P

−1

APy

• We know that P

−1

AP = D so the new system is

y

(t) = Dy(t)

• In expanded notation the new system of diﬀerential equations is

¸

¸

y

1

.

.

.

y

n

=

λ

1

. . . 0

.

.

.

.

.

.

.

.

.

0 . . . λ

n

¸

¸

¸

¸

¸

y

1

.

.

.

y

n

• This is simply

y

1

= λ

1

y

1

, y

2

= λ

2

y

2

, · · · , y

n

= λ

n

y

n

• The solutions of these are easily obtained - high school

y

1

(t) = c

1

e

λ

1

t

, y

2

(t) = c

2

e

λ

2

t

, · · · , y

n

(t) = c

n

e

λnt

• Finally, x(t) = Py(t) gives the required solution

it is a linear combination of certain solutions • Constants c1 . . ann a constant matrix • The general solution is of the form (we’ll see later why) x(t) = c1 x(1) (t) + · · · + cn x(n) (t) • That is. . . the solution is x ≡ x1 = c1 et + c2 e−3t x ≡ x2 = c1 et − 3c2 e−3t • Both x1 (position) and x2 (velocity) satisfy the original diﬀerential equation . xn a11 . Note the similarity • The eigenstructure is v1 = 1 1 v−3 = 1 −3 • The general solution is (we’ll see why later) x = c1 1 t 1 e + c2 e−3t 1 −3 • Note that the eigenvalues are in the exponents • In component form. . an1 . . . . · · · . . A= . x= . a1n .Homogeneous systems of diﬀerential equations • These are systems of the form x = Ax where x1 . cn are the combination co-eﬃcients • The second-order diﬀerential equation x + 2x − 3x = 0 • Let x1 = x and x2 = x . The derivatives of the new variables are x1 = x = x2 • In matrix-vector form this is x = Ax x= x1 x2 A= 0 1 3 −2 x2 = x = 3x − 2x = 3x1 − 2x2 • The (eigenvalue) characteristic equation is λ2 + 2λ − 3 = 0 • Recall that the diﬀerential equation is x + 2x − 3x = 0. .

x2 = 5x1 + 4x2 • In system form we have x = Ax x= x1 x2 A= 1 2 5 4 • The general solution (we’ll see later why) is x(t) = c1 That is x1 (t) = 2c1 e6t + c2 e−t x2 (t) = 5c1 e6t − c2 e−t 2e6t e−t + c2 5e6t −e−t . The homogeneous system x1 = x1 + 2x2 . Try x = emt . Substitution leads to m2 + 2m − 3 = 0 This is the characteristic equation in m instead of λ • Another example.• First year method.

· · · . v2 . has nonzero determinant • We can form an augmented matrix of n solutions of an nth order system . . . x(2) (t) . x2 = 5x1 + 4x2 W (t) = 2e6t e−t = −7e5t 5e6t −e−t • A set of solutions is linearly independent if its Wronskian is nonzero • It can be shown that the Wronskian is either never zero or always zero • A linearly independent set of solutions is also called a fundamental set of solutions • How to ﬁnd solutions of homogeneous linear systems of diﬀerential equations • When n = 1 the system is simply x = ax where a = a11 • The solution is x(t) = ceat where c is a constant • To solve homogeneous linear system seek solutions of the form x(t) = veλt where λ is a constant and v is a constant vector • Substitution into the system gives x = Ax ⇒ λveλt = Aveλt ⇒ λv = Av • This is the eigenvalue-eigenvector problem . vn are linearly independent if the matrix . . . . v1 . . x(2) (t) . x(n) (t) . x(1) (t) . · · · . • Previous example: x1 = x1 + 2x2 . W (t) = x(1) (t) . . . v2 . . . x(n) (t) . · · · . . . • Its determinant is called the Wronskian . · · · . vn .The Wronskian and Linear Independence • Recall that for any matrix M we have M invertible • and hence we have that det(M) = 0 ⇐⇒ M has linearly independent columns ⇐⇒ M has linearly independent columns • Hence column vectors v1 .

.The third order system x1 −2 2 −3 1 −6 x (t) = Ax(t) x = x2 A= 2 x3 −1 −2 0 • The eigensolution is 1 v5 = 2 −1 • The general solution is 1 −2 3 2 e5t + c2 1 + c3 0 e−3t x(t) = c1 −1 0 1 v−3 −2 3 1 . 0 = 0 1 2 v4 = 3 0 16 v6 = 25 10 x1 x = x 2 x3 1 2 3 A = 0 4 5 0 0 6 2 6t 1 e + c2 e−t 5 −1 .Examples • The second order system x (t) = Ax(t) • The eigensolution is v6 = • Hence the two solutions are x(1) (t) = 2 6t e 5 x(2) (t) = 1 e−t −1 2 5 v−1 = 1 −1 x= x1 x2 A= 1 2 5 4 • Wronskian is W (t) = −7e5t = 0 so they are linearly independent • The general solution is x(t) = c1 • The third order system x (t) = Ax(t) • The eigensolution is 1 v1 = 0 0 • The general solution is 1 2 16 x(t) = c1 0 et + c2 3 e4t + c3 25 e6t 0 0 10 • Repeated eigenvalue example.

. but Ψ(t) is not • Observe that Φ(0) = I • Solution of the initial value problem can be written x(t) = Φ(t)x0 . • Earlier example x (t) = 1 2 x(t) 5 4 ⇒ Ψ(t) = 2e6t e−t 5e6t −e−t • The Wronskian W (t) = det(Ψ(t)) • A fundamental set of solutions is linearly independent by deﬁnition • Hence W (t) = 0 and hence Ψ(t) is invertible • An Initial Value Problem (IVP) is a system of DEs plus appropriate initial conditions x (t) = Ax(t) • General solution of system of DEs is x(t) = c1 x(1) (t) + · · · + cn x(n) (t) c1 . · · · . x(n )(t) . . cn • The initial conditions require that Ψ(0)c = x0 ⇒ ⇒ c = Ψ(0)−1 x0 x(0) = x0 x(t) = Ψ(t)Ψ(0)−1 x0 • The Fundamental Matrix Φ(t) is deﬁned to be Φ(t) = Ψ(t)Ψ(0)−1 • Note that Φ(t) is unique for a given system. Ψ(t) = x(1 )(t) . . . ⇒ x(t) = Ψ(t)c where c = . x(2 )(t) .Fundamental Matrices and the Initial Value Problem • A fundamental set of solutions can be augmented into a Fundamental matrix . .

the initial condition requires that x(t) = That is x(t) = That is 6 1 x1 (t) = e6t + e−t 7 7 1 2e6t + 5e−t 2e6t − 2e−t 7 5e6t − 5e−t 5e6t + 2e−t 1 7 6e6t + e−t 15e6t − e−t x2 (t) = 15 6t 1 −t e − e 7 7 1 2 • Graphically .Example • The second order initial value problem x (t) = • Now Ψ(0) = • Hence Φ(t) = 2 1 5 −1 ⇒ Ψ(0)−1 = 1 2 x(t) 5 4 x(0) = 1 2 1 1 1 7 5 −2 1 2e6t + 5e−t 2e6t − 2e−t 7 5e6t − 5e−t 5e6t + 2e−t • Finally.

. ··· . 0 y1 . . . . . . . .high school y1 (t) = c1 eλ1 t . ··· . y2 = λ 2 y 2 . λn yn • This is simply y 1 = λ1 y 1 . yn 0 .=. x(t) = Py(t) gives the required solution . yn = λn y n • The solutions of these are easily obtained . y2 (t) = c2 eλ2 t . . . . .A systemartic way of ﬁnding the solution • Recall that D = P−1 AP • This can be used to simplify a diﬃcult problem • A change of variables. . . . . yn (t) = cn eλn t • Finally. . Introduce vector variable y(t) through the relationship x(t) = Py(t) • The columns of matrix P must be eigenvectors of A • Substitute into the system of diﬀerential equations x = Ax ⇒ Py = APy ⇒ y = P−1 APy • We know that P−1 AP = D so the new system is y (t) = Dy(t) • In expanded notation the new system of diﬀerential equations is y1 λ1 .

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