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Much of the theory of ﬁrst-order linear equations can be extended in a very nice way.
2.1 Second-Order Equations
Deﬁnition. A second-order DiﬀEq is called linear if it can be written in the form y + a1(x)y + a0(x)y = b(x) (18)
Such an equation is called homogeneous if b(x) = 0. For any equation like (18), the equation y + a1(x)y + a0(x)y = 0 (ie b replaced by 0) is called the associated homogeneous equation.
Observation 1. Note that the term homogeneous here means something completely diﬀerent from the homogeneous equations studied in 1.6. 2. If y has a coeﬃcient a2(x), we can divide the whole equation by it and thus bring it into the form (18). Then we have to watch for points x where a2(x) = 0, because they could create discontinuities of the new coeﬃcients ai(x)/a2(x). A typical system governed by such an equation is a mass-spring-dashpot assembly. Theorem 1 (Superposition / homog) If y1, y2 are two solutions of a homogeneous linear 2nd-order equation on some interval I, then c1y1 + c2y2 is another solution of that same equation on the same interval. Example 1 It is easily checked that cos x, sin x are both solutions of y + y = 0. Therefore,
4 cos x + 5 sin x is another solution of y + y = 0. Theorem 2 (Exist/Unique for IVPs) An Initial Value Problem (IVP) consisting of an 2nd order linear DiﬀEq with coeﬃcient functions continuous in some interval I, together with 2 initial conditions y(a) = y0, y (a) = y1 for some a in I has exactly one solution for any choice of the values y0, y1. This solution is deﬁned in all of I. Deﬁnition. A pair of functions y1, y2 is said to be linearly independent on an interval I if none of the functions is a constant multiple of the other on that interval. If one is a multiple of the other, they are called linearly dependent. Example 0 and any other function f (x) are linearly dependent since 0 = 0 · f (x). Eg
e2x, e−3x are linearly independent. The interval I does not play a role. But eg the functions 2x, |x| are linearly independent on [−1, 1], linearly dependent on [0, 1]. Deﬁnition. For two given diﬀerentiable functions y1, y2, deﬁne the Wronskian as a determinant, W (y1, . . . , yk ) := y1 y2 y1 y2 = y1y2 − y2y1 (19)
Theorem 3 (Wronskian) If y1, y2 are solutions of a homogeneous 2nd-order DiﬀEq like (18) with b(x) = 0 on some open interval I, then EITHER
y1, y2 are linearly independent, and W = 0 for all x in I
y2 are linearly dependent. hom. For the a linear 2nd-order homogeneous DiﬀEq with constant coeﬃcients a2y + a1y + a0 = 0 (20) deﬁne the characteristic polynomial as p(r) = a2r2 + a1r + a0 and the characteristic equation as a2r2 + a1r + a0 = 0 (21) .OR y1. y2 are two linearly independent solutions of a homogeneous 2nd-order linear DiﬀEq. and W = 0 for all x in I.) If y1. Theorem 4 (G’al Solution. Deﬁnition. then c1y1 + c2y2 is the general solution of that DiﬀEq.
.Theorem 5 (2 distinct real roots) If the characteristic equation has real roots r1 = r2 then Equation (20) has the linearly independent solutions y(x) = er1x. xer1x and the general solution of (20) is y(x) = (c1 + xc2)er1x. er2x and the general solution of (20) is y(x) = c1er1x + c2er2x. Theorem 6 (Double root) If the characteristic equation has only one root r1 then Equation (20) has the linearly independent solutions y(x) = er1x.
. Theorem 1 (Superposition/homog. . .2.) Suppose we are given functions y1. Then for any choice of constants c1. . . . the linear combination c1y1(x) + · · · + ck yk (x) is another solution of the same DiﬀEq. a0. . and b can be functions of x. . yk of a homogeneous linear n-th order DiﬀEq like (22) with b = 0. ck . .2 G’al Sol’n of nth-Order Equations An n-th order linear diﬀerential equation is one which can be rewritten in the form y (n) + an−1y (n−1) + · · · + a1y + a0y = b (22) where all an−1. . . . Theorem 2 (Exist/Unique for IVPs) An Initial Value Problem (IVP) consisting of an n-th .
. yk is said to be linearly independent if the equality c1y1(x) + · · · + ck yk (x) = 0 (valid for every x) can only be true for c1 = · · · = ck = 0. 6x − 15 are linearly dependent because . . This solution is deﬁned in all of I. 5. Example Two functions are linearly independent in the earlier sense (not multiples of each other) exactly if they are linearly independent in the new sense. . y (n−1)(a) = yn−1 for some a in I has exactly one solution for any choice of the values y0. . 4x. . yn−1. . A list of functions y1. y (a) = y1. . . . . . Deﬁnition. .order linear DiﬀEq with coeﬃcient functions continuous in some interval I. together with n initial conditions y(a) = y0.
even Excel. . aij is the entry of A in row i. If A is a square matrix (size n × n. column j.all major software packages have det as built-in function. and Aij is the square matrix obtained from A by deleting row i and column j. then the determinant of A is deﬁned recursively by det(A) = |A| = (−1)n+1an1 det(An1) +(−1)n+2an2 det(An2) + . Calculating these determinants is so tedious that we try to avoid them for matrices bigger than 3 × 3. x. ending with a + in the last column. say). . Note . 1.(−6) · 5 + 3 · 4x − 2 · (6x − 15) = 0. . Deﬁnition. +ann det(Ann) (23) Here. The powers of −1 produce an alternating sign pattern. A matrix is a rectangular array of numbers. x2 are linearly independent.
yn are solutions of a homogeneous n-th order equation like (22) with b = 0 on some open interval I. suﬃciently often diﬀerentiable. yk )(25) (k−1) W (y1. . yk−1) Theorem 3 (Wronskian) If y1. . . .Deﬁnition. . then EITHER . . . yk The recursive formula for the determinant is particularly nice for Wronskians: W (y1. . yk ) := . yk ) = (−1)k−1y1 +(−1)k y2 ± · · · + yk (k−1) W (y2. deﬁne the Wronskian as a determinant. . . . . . . . . . . . . yk ) (k−1) W (y1. . . y1 (k−1) . . . y3. y2. . . yk yk . . y1 y1 W (y1. . . . . . yk . For k given functions y1. . . . . (k−1) (24) .
. h) = f g h −g g h f h +h f h f g f g (26) Let us conﬁrm our earlier calculations and compare the answers with the Wronskian technique. Recap how to calculate a Wronskian for three functions f. g. g. and W = 0 for all x in I. and W = 0 for all x in I OR y1. . . h. . .y1. . . . yn are linearly independent. yn are linearly dependent. W (f.
−e2x. 4x. g) = 0 ⇒ linearly dependent. 6x − 15 has Wronskian 5 4x 6x − 15 W (5. x2) := 0 1 2x = 2 0 0 2 2. x.3 Homogeneous. x. 3rd-order linear equation with constant coeﬃcients which has for solutions y = 3e−5x. e10x? We use again the characteristic equation r3 + a2r2 + a1r + a0 = 0. Constant Coeﬃcients Example How do we make up a homogeneous. 6x − 15) := 0 4 6 =0 0 0 0 1. 4x.Example If g = kf (a constant multiple) then W (f. x2 has Wronskian 1 x x2 W (1. 5. .
We also want factors r − 2 and r − 10. then constant multiples of that are also a solution. we better make sure that r + 5 is a factor of the characteristic polynomial r3 + a2r2 + a1r + a0. So if we want e−5x to be a solution.. It should be of the form (r + 5)(r2 + .. This corresponds to the equation y (3) − 7y − 40y + 100y = 0. so the characteristic polynomial has to be (a multiple of) (r + 5)(r − 2)(r − 10) = r3 − 7r2 − 40r + 100. This covers 3e−5x and −e2x. Deﬁnition.). For the linear n-th order homogeneous equation any (n) +an−1y (n−1) +· · ·+a1y +a0y = 0. (27) .If r is any root of that equation then erx solves y (3) + a2y + a1y + a0y = 0. Whenever a linear equation has a solution erx.
. . In case there are less than n distinct real roots you still get some solutions. rn then Equation (27) has the n linearly independent solutions y(x) = er1x. . . .deﬁne the characteristic equation anrn + an−1rn−1 + · · · + a1r + a0 = 0 (the left-hand side of the characteristic equation is called the characteristic polynomial). Theorem 4 (n distinct real roots) If the characteristic equation has n distinct real roots r1. . . just not enough to ﬁnd the general solution. Example Equations with repeated roots are (r − 5)2 (r − 5)2(r2 + 1) . . ernx and the general solution of (27) is y(x) = c1er1x + · · · + cnernx.
. . Deﬁnition. xer0x. A number r0 is said to be a root of the characteristic polynomial with multiplicity k if (r − r0)k is a factor of that polynomial. xk−1er0x are k linearly independent solutions of the linear homogeneous equation with that characteristic polynomial. . Theorem 5 (Repeated real roots) If r0 is a root of the characteristic polynomial with multiplicity k then y(x) = er0x.These characteristic equations belong to differential equations y − 10y + 25y = 0 (28) y (4) − 10y (3) + 26y − 10y + 25y = 0 as seen by expanding the characteristic polynomials above. . .
seen as a linear operator.. (29) so D − r lowers the degree of the polynomial which multiplies erx. Similarly. So D2 stands for ’diﬀerentiate twice’. three times’ and so on. Apply (D − r)k and any . And D + 5 means ’diﬀerentiate and then add 5 times the original function’. you can rewrite the diﬀerential equation having characteristic polynomial P as P (D)y = 0. Verifying Theorem 5 rests on (D − r0)(xmer0x) = mxm−1er0x. Generally. The letter D stands for diﬀerentiation..D-operator language This is a useful device for verifying things like Theorem 5. we may write (D2 − 10D + 25)y = y − 10y + 25y. D3 for ’.
polynomial of degree less than k will be reduced to zero. but not the general solution (we need to ﬁnd 2 more solutions so that we have 4 linearly independent solutions). P (D)y = Q(D)(D − r0)k xmer0x which is zero for all m < k. xe5x. So it has the general solution y(x) = c1e5x + c2xe5x. Suppose the characteristic polynomial is P (r) = (r − r0)k Q(r). These functions are also solutions of the other equation in (28). . Example The ﬁrst equation in (28) has two solutions e5x. That means xmerx is a solution for P (D)y = 0. We can apply the operator P (D) to y(x) = xmerx.
6i (3 + 5i)(6 − 0.8 = + i 34 34 . b are any real number. They can be added and multiplied like polynomials in i with the extra rule i2 = −1. Example (3 + 5i) + (6 − 0.8i (6 − 0. r+s = r+¯ ¯ s rs = r ¯ ¯s r = r ¯ iﬀ r real And ﬁnally. Complex conjugation has the ¯ following nice properties.4i = 3 − 5i 32 + 5 2 20 28.4i) = 20 + 28. we need the Euler/DeMoivre Formula exp(bi) = cos b + i sin b.4i)(3 + 5i) 6 − 0.Complex Numbers They are deﬁned as a+bi where a.4i) = 9 + 4. The complex conjugate of z = a + bi is deﬁned as z = a − bi.
So erx and erx are both solutions of the given equation. Theorem 6 (Complex Roots) If r = a+bi is a root of the characteristic polynomial of some linear equation. real-valued solutions of that equation. . z Complex Roots Suppose r = a+bi is a root of the characteristic polynomial P of some linear equation. then y1(x) = exp(ax) cos bx y2(x) = exp(ax) sin bx are two linearly independent. If r is not real.In the last line. notice that z¯ = a2 + b2. then b = 0 and the complex conjugate r = a − bi ¯ ¯ is another root of P .
Proof Take the linear combinations y1(x) = (exp((a + bi)x) + exp((a − bi)x))/2. Example 4 a) The equation y − 4y + 5y = 0 has characteristic polynomial P = r2 − 4r + 5 with roots r = 2 ± i. So it has solutions y1(x) = e2x cos x y2(x) = e2x sin x b) The equation y (4) − 10y (3) + 26y − 10y + 25y = 0 has characteristic polynomial P = (r − 5)2(r2 + 1) . y2(x) = (exp((a + bi)x) − exp((a − bi)x))/(2i) and use the Euler/DeMoivre Formula.
−3i. r = i Example 6’ The equation y (4) +18y +81y = 0 has characteristic polynomial r4 + 18r2 + 81 = (r2 + 9)2 with roots 3i. cos 3x. −3i. ±i (meaning 5 is a double root). because here. .with roots r = 5. So it has solutions y1(x) = e5x y2(x) = xe5x y3(x) = cos x y4(x) = sin x and the general solution is y(x) = c1y1(x) + c2y2(x) + c3y3(x) + c4y4(x). four linearly independent solutions are sin 3x. x cos 3x. x sin 3x. As with real roots. 5. 3i.
2. All of these change with time. and FE is an external force.examples which we can solve. otherwise damped. If FE = 0 we call the motion free. otherwise forced. Total force acting on ’cart’ is F = FS + FR + FE where FS = −kx due to spring. (30) m m m If c = 0 we call the motion undamped.4 Mechanical Vibrations Mass-Spring-Dashpot models are just examples for behavior which happens in more complex systems . FR = −cv due to dashpot/friction. . c k 1 x + x + x = FE . So mx = ma = F = −kx − cx + FE .
Then the height of the mass is h = L(1 − cos θ) and its potential energy is V = mgh. 2 dt . so the kinetic energy is 1 ds 2 1 dθ 2 1 = mL2 T = mv 2 = m 2 2 dt 2 dt The law of conservation of energy says T +V = C is constant. or thin rod Write L for the length of the pendulum. so 2 1 2 dθ mL + mgL(1 − cos θ) = C.Pendulum Pendulum = mass suspended at the end of a string. so V = mgL(1 − cos θ). The distance traveled at time t is s = Lθ. θ for the angle it makes with the vertical at time t.
Approximate sin θ by θ (good for small θ) to get a linear second-order equation with constant coeﬃcients.can’t solve it. . measured in Radians per Time.This is an implicit DiﬀEq . see below. (31) Cancel out mLθ to get a second . g θ + cθ + θ = 0. This is a case of Free Undamped Motion. (32) L Eg for c = 0. Diﬀerentiate to get mL2θ θ + mgLθ sin θ = 0. Add a term cθ to account for (small) friction and we get an equation like (30).order equation for θ. we get a general solution θ(t) = c1 cos(ω0t) + c2 sin(ω0t) where ω0 = g/L is the circular frequency of the system.
x(t) = C cos(ω0t − α). So C is the maximum of |x|.Free Undamped Motion Here. c = 0 and FE = 0 in (30). and the general solution is x(t) = A cos ω0t + B sin ω0t. called the amplitude. Up to a multiple of π. so mx + kx = 0. Where does x have max/min?? Put C = Then ﬁnd α such that A cos α = C B sin α = . Put ω0 = k/m so roots of P are ±iω0. α is called phase angle. Then we get the nicer expression for x. α = tan−1(B/A). C A2 + B 2 . and ω0 the .
Example 1 A body with mass 1/2 kg is attached to a spring in initial position x0 = 1. C.circular frequency. and α. T. The period of this motion is the time it takes until it repeats. Find x(t). . The spring can be stretched 2 meters by a force of 100 N . velocity v0 = −5. ν. This gives the number of complete cycles per unit of time. It is given by 2π T = ω0 the frequency is ν = 1/T = ω0/(2π).
Solution 1 x(t) = cos 10t − sin 10t 2 √ 1 C = 5 2 1 tan α = − 2 α = 2π − tan−1(1/2) ≈ 5. There are three cases depending on the critical damping √ c0 = 4km.8 1√ x(t) = 5 cos(10t − 5. of mx + cx + kx = 0 is mr2 + cr + k which has roots c2 − 4km 2 r= = p ± p2 − ω0 (33) 2m where p = −c/(2m). −c ± .8) 2 Free Damped Motion The character- istic poly.
Overdamped motion. 2. c < c0. General solution has two real exponentials with negative exponents. c > c0. Imaginary roots. the number ω1 = 4km − c2 = 2m 2 ω0 − p2 . A repeated root means the general solution is x(t) = e−ct/(2m)(A + Bt) Not that much diﬀerent.1. Critically damped. Underdamped. once unless B = 0. Here. Oscillates about t-axis while tending to zero. Crosses t-axis 3. solutions have exponential with negative exponent. both solutions tend to zero. x(t) = e−ct/(2m)(A cos(ω1t) + B sin(ω1t)). c = c0.
Again. So √ √ −t (A cos 99t + B sin 99t). but now the mass is also hooked up to a dashpot which provides a resistance of 1 Newton per unit of velocity. 2 The characteristic equation has roots r = −1± √ i 99.is called circular pseudofrequency. x(0) = 1 and v(0) = −5. Example 2 As Example 1. and Ce−pt the time-varying amplitude.. x(t) = e . Find . the equation is now 1 x + x + 50x = 0. 2π/ω1 the pseudoperiod. everything! Solution Since c = 1..
. .5 0 0.5 2 2.59 1.5 0 −0. . .5 −1 −1. .5 1 0. The frequencies are almost the same.90 δ1 = α1/ω1 ≈ 0. x (0) = −5 give A = 1 C = e−t 4 B = −√ 99 A2 + B 2 = e−t 115 99 √ x(t) = C cos( 99t − α1) α1 = 2π − tan−1(B/A) ≈ 5.5 3 Solutions of 0.Initial conditions x(0) = 1.5 1 1. 1.5x + cx + 50x = 0 with x(0) = 1. x (0) = −5 for c = 0.
5 1 0.8 2 Solutions of 0. 1. .2 0. .5 −1 −1. c = 0.8 1 1. 9.9 (blue) and the critical damping c = 10 (red).6 0.5 0 −0.1.2 1.9. .4 0.5 0 0.5x + cx + 50x = 0 with x(0) = 1. . x (0) = −5 for c = 0 (black).4 1.9. The frequencies are visibly decreasing.6 1. .
Make sure to tie this in with the general theory – the general solution is y = yp + yc. Solution Try yp = Ax + B. . where yc is the general solution of the associated homogeneous problem y + 3y + 4y = 0. you ﬁnd yp = x − 2. Example 2’ Find a particular solution of y − 4y = 2e3x Solution Try yp = Ae3x. Example 1’ Find a particular solution of y + 3y + 4y = 4x − 5.2.5 Non-Hom Linear Equations We are still assuming constant coeﬃcients. you should ﬁnd A = −2/5.
Let yp be a linear combination of these terms with undetermined coeﬃcients. . Write a list of all terms that appear in f. Rule 1 . . f .Example 3’ Find a particular solution of y − 2y = 2 cos x Solution Try yp = A cos x + B sin x. f . Substitute into the given equation Ly = f to determine these coeﬃcients. Substituting yp into the given DiﬀEq leads to the system −A − 2B = 0 B − 2A = 2 which gives B = 2/5 and A = −4/5. . cos bx. Suppose f is a linear combination of polynomials times exponentials eax and/or sines and/or cosines sin bx.no duplication . .this is a ﬁnite list.
sin bx instead of the textbook’s erx.3. No term from the list can occur in the complementary function. The Case of Duplication Now what happens if some term of the list above does occur in the complementary function (ie r = a + bi is a root of P )? Example 4’ Find a particular solution of y − 4y = 3e2x .Rule 1 is guaranteed to work unless some term in the list also occurs in the complementary function. unless a + bi is a root of the characteristic polynomial P deﬁned in 2. See example 4. This is so you can better see the connection to section 2. sin kx. that is the solution of Ly = 0.3. Note that I wrote eax and cos bx. cos kx.
Solution If you try yp = Ae2x you ﬁnd Lyp = 0 regardless of A because 2 is a root of the characteristic polynomial r2 −4.massive. intimidating! particular solution of (D − r0)3y = (2x − 3)er0x Solution The characteristic polynomial P (r) = (r − r0)3 has a root r0 with multiplicity 3 so the complementary function is y(x) = (A + Bx + Cx2)er0x and of course we have duplication. Notice that any solution of this equation also satisﬁes the homogeneous linear equation (D − r0)5y = (D − r0)2[(2x − 3)er0x] = 0 Find a .try y = Axe2x. Similar to repeated roots situation . Example . You will ﬁnd that A = 3/4 works.
because the operator D − r operates on a polynomial times exponential by just diﬀerentiating the polynomial. Then try yp(x) = xsQmeax cos bx + xsRmeax sin bx with undetermined polynomials Qm. Choose s equal to . With the remaining constants. Rule 2 . We may even choose A = B = C = 0 because these terms will just give zero when we substitute them into the given DiﬀEq. E = 1/12 will indeed give a particular solution.duplication Suppose f is a poly- nomial of degree m times an exponential eax times cos bx or sin bx. Rm of the same degree m as before. So y can be written as y(x) = (A + Bx + Cx2 + Dx3 + Ex4)er0x. (D − r)3y = (6D + 24Ex)er0x = (2x − 3)er0x is what we want so D = −1/2.
the multiplicity of the root a + bi in the characteristic polynomial of the diﬀerential equation Ly = 0.Eq Ly = f to determine the coeﬃcients of Rm. Then substitute yp into the given Diﬀ. Alternatively. and s should be chosen separately for each of them. s is the smallest integer so that there is no overlap between terms in yp and terms in the complementary function. . Qm. it may be possible to save time and variables by combining multiples of the same exponential and/or trig function into one term (see eg problem # 17). If f has several terms with duplication then Rule 2 has to be applied to each one. On the other hand. Afterwards. the particular solutions for each term in f need to be added up to give Ly = f .
so stop right here!! Variation of Parameters Cut from exam. so the complementary function is yc(x) = c1e−3x cos(2x) + c2e−3x sin 2x. Note . B.nobody asked for the actual values of A. . The roots are simple so s = 1. C. Clearly. D. so Rule 2 applies.Example 9’ Determine the appropriate form of a particular solution of y + 6y + 13y = (1 + x)e−3x sin(2x) Solution The characteristic polynomial is r2 + 6r + 13 with roots r = −3 ± 2i. we have duplication. The degree m = 1. so the appropriate form is yp(x) = x(Ax+B)e−3x cos(2x)+x(Cx+D)e−3x sin(2x).
m . The combined centroid x of cart ¯ and ﬂywheel has x-coordinate x = ¯ (m − m0)x + m0(x + a cos ωt) m m0 a = x+ cos ωt. Suppose the center of the ﬂywheel is directly above the centroid (center of mass) of the cart.2.6 Forced Oscillations We study the special case of mx + cx + kx = F (t) where F is a ’simple harmonic’ mx + cx + kx = F0 cos ωt (34) (or the same with a sine function instead of a cosine). both displaced by x from the equilibrium position. Example A ﬂywheel of mass m0 rotates on a cart of mass m − m0. If ω is the frequency of the ﬂywheel and a the distance of its center of mass from its center. then the center of mass of the ﬂywheel has x-coordinate x + a cos ωt.
Assume ω0 = ω. set ω0 = k/m. so xc(t) = c1 cos ω0t + c2 sin ω0t Let F0 = m0aω 2. To ﬁnd a particular solution xp.4. we could rewrite xc as multiple of a shifted cosine if we wanted to. Newton’s Second Law says m¯ = −kx and.Without friction. we can see B = 0. . writing everything in terms of x x. and then F0 A= 2 m(ω0 − ω 2) (36) As in 2. try xp = A cos ωt + B sin ωt Right away. To study Equation (35). mx + kx = m0aω 2 cos ωt (35) (could also imagine the ﬂywheel exerting a force of magnitude m0aω 2 on the cart).
ω = 5.Example 1 Suppose m = 1. F0 2 m(ω0 − ω 2) . we get c2 = 0 and c1 = −A = − Use the trig identity cos(u − v) − cos(u + v) = 2 sin u sin v to rewrite x: x(t) = A(cos ωt − cos ω0t) (ω − ω)t (ω + ω)t = A sin 0 sin 0 2 2 Graph for ω close to ω0. Beats With initial conditions x(0) = x (0) = 0. k = 9. F0 = 80. so we solve x + 9x = 80 cos 5t. Find x(t) if x(0) = x (0) = 0.
No huge forces needed. . k = 26. where ω = ω0. Find the position x(t) if x(0) = 6. Damped Forced Oscillations Interesting feature: the complementary function xc approaches zero for t → ∞ for any initial conditions! therefore the xc-part is called a transient solution. Example 6 Consider a mass-spring-dashpot system with m = 1. x (0) = 0 and compare to the steady periodic oscillation. just constant reinforcement of existing oscillations. c = 2. and external force F (t) = 82 cos 4t.Resonance This happens in the case of duplication (see Rule 2!). xp a steady periodic oscillation.
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