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differential equations

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Equations

Chapter 03:

Systems of

Two First

Order

Equations

Brannan

Copyright 2010 by John Wiley & Sons,

Inc.

All rights reserved.

Order Equations

We

In this chapter, we consider only systems of two

first order equations and we focus most of our

attention on systems of the simplest kind: two first

order linear equations with constant coefficients.

Our goals are to show what kinds of solutions such

a system may have and how the solutions can be

determined and displayed graphically, so that they

can be easily visualized.

Chapter 3

Systems of Two First Order

Equations

3.1

3.2 Systems of Two First Order Linear Differential

Equations

3.3 Homogeneous Linear Systems with Constant

Coefficients

3.4 Complex Eigenvalues

3.5 Repeated Eigenvalues

3.6 A Brief Introduction to Nonlinear Systems

3.7 Numerical Methods for Systems of First

Order Equations

Equations

There

two straight lines in a plane: they may

intersect at a single point, they may be

parallel and nonintersecting, or they

may be coincident.

Examples:

1. 3x1 x2 = 8, x1 + 2x2 = 5.

2. x1 + 2x2 = 1, x1 + 2x2 = 5.

3. 2x1 + 4x2 = 10, x1 + 2x2 = 5.

The system

a11x1 + a12x2 = b1,

a21x1 + a22x2 = b2,

has a unique solution if and only if the

determinant = a11a22 a12a21 = 0.

The solution is given by

or infinitely many.

Matrix Method

Consider

a11

coefficient matrix, A

a

21

a12

a22

If

invertible. On the other hand, if A1 does

not exist, then A is said to be singular or

noninvertible.

b1

The solution to Ax=B is x = A1b. b

b2

Homogeneous System

THEOREM 3.1.2 The homogeneous system

Ax = 0 always has the trivial solution x1 =

0, x2 = 0, and this is the only solution when

det(A) 0. Nontrivial solutions exist if and

only if det(A) =0. In this case, unless A = 0,

all solutions are proportional to any

nontrivial solution; in other words, they lie

on a line through the origin. If A = 0, then

every point in the x1x2-plane is a solution of

system.

Example: Solve the system

3x1 x2 = 0, x1 + 2x2 = 0.

Eigenvalues

solutions to Ax = x. The eigenvector x

corresponding to the eigenvalue is obtained

by solving Ax = x for x for the given .

For a 2X2 matrix Ax = x reduces to

a11

a21

a12

x 0 Since det(A-I)=0, get

a22

Characteristic equation

The characteristic equation of the

matrix A is

2 (a11 + a22) + a11a22 a12a21 = 0.

Solutions determine the eigenvalues.

The two solutions, the eigenvalues 1

and 2, may be real and different, real

and equal, or complex conjugates.

Examples

Find the eigenvalues and eigenvectors of the

matrix A.

1.

2.

3.

THEOREM 3.1.3

Let

2 such that 12, and let the corresponding

eigenvectors be x1 and x2. If X is the matrix with

first and second columns taken to be x1 and x2,

respectively, then det(X) 0.

That is,

Linear Differential Equations

du/dt = Ku + b.

where K is a given 2X2 matrix and b a

given 2x1 matrix. U is 2X1 matrix of

unknowns whose first derivative is

du/dt. We solve this system subject to

a given initial condition u(0)= u0, a

2X1 matrix with given values.

Example

Here

Terminology

The

functions of t, so we can plot their graphs.

Plots of u1 and u2 versus t are called

component plots.

The variables u1 and u2 are often called

state variables, since their values at any

time describe the state of the system.

Similarly, the vector u = u1i + u2j is called the

state vector of the system. The u1u2-plane

itself is called the state space. If there are

only two state variables, the u1u2-plane may

be called the state plane or, more

commonly, the phase plane.

Direction Fields

The

equations du/dt = Ku + b defines a vector

field that governs the direction and speed of

motion of the solution at each point in the

phase plane. Because the vectors

generated by a vector field for a specific

system often vary significantly in length, it is

customary to scale each nonzero vector so

that they all have the same length. These

vectors are then referred to as direction

field vectors for the system and the

resulting picture is called the direction

field.

Phase Portraits

Using

solution trajectories. A plot of a

representative sample of the

trajectories, including any constant

solutions, is called a phase portrait of

the system of equations.

Order Linear Equations

of Solutions

Let each of the functions p11, . . . , p22, g1, and g2 be

continuous on an open interval I = < t < , let t0 be

any point in I, and let x0 and y0 be any given

numbers. Then there exists a unique solution of the

system

that also satisfies the initial conditions

In

The

linear system of dimension two because it

consists of first order equations and

because its state space (the xy-plane) is

two-dimensional. Further, if g(t) = 0 for all t,

that is, g1(t) = g2(t) = 0 for all t, then the

system is said to be homogeneous.

Otherwise, it is nonhomogeneous.

If the right side of

does not depend explicitly on the independent

variable t, the system is said to be

autonomous.

Then the coefficient matrix P and the

components of the vector g must be

constants. We use the notation

dx/dt = Ax + b, where A is a constant

matrix and b is a constant vector, to denote

autonomous linear systems.

autonomous system

the equilibrium solutions, or critical

points, by setting dx/dt equal to zero.

Hence any solution of Ax = b is a critical

point of the system.

If the coefficient matrix A has an inverse, as

we usually assume, then Ax = b has a

single solution, namely, x=A1b.

This is then the only critical point of the

system. However, if A is singular, then

Ax = b has either no solution or infinitely

many.

Equation to a System of First Order

Equations

Consider the second order equation

y'' + p(t)y' + q(t)y = g(t),

where p, q, and g are given functions that we

assume to be continuous on an interval I.

Substituting x1 = y and x2 = y'. This system can

be transformed to a system of two first order

equations,

Example

Consider the differential equation

u'' + 0.25u' + 2u = 3 sin t. Suppose that initial

conditions u(0) = 2, u(0) = 2. Transform this

problem into an equivalent one for a system

of first order equations. Write the matrix

notation for this initial value problem.

Answer:

this initial value problem

with Constant Coefficients

Reducing

x' = Ax + b to x' = Ax

If A has an inverse, then the only critical, or

equilibrium, point of x' = Ax + b is xeq =

A1b. In such cases it is convenient to shift

the origin of the phase plane to the critical

point using the coordinate transformation x =

xeq + x. Substituting, we get dx/dt = Ax.

Therefore, if x = (t) is a solution of the

homogeneous system x' = Ax, then the

solution of the nonhomogeneous system x' =

Ax + b is given by x = (t) + xeq = (t)

A1b.

x' = Ax

Consider

first order linear homogeneous

differential equations with constant

coefficients dx/dt=Ax.

x = etv is a solution of dx/dt = Ax

provided that is an eigenvalue and v

is a corresponding eigenvector of the

coefficient matrix A.Hence Av = v, or

(A I)v = 0.

Superposition

e2tv2 are solutions of

dx/dt = Ax.

Then the expression

x = c1x1(t) + c2x2(t),

where c1 and c2 are arbitrary constants,

is also a solution. We assume that 1

and 2 are real and different.

Example

1 0

x.

Consider the system dx/dt =

0 4

Find solutions of the system and then find the

particular solution that satisfies the initial

Condition

2

x(0) = .

Answer:

1

4t 0

x 2e 3e

0

1

t

Wronskian determinant

The determinant

is called the Wronskian determinant or, more simply,

the Wronskian of the two vectors x1 and x2. If x1(t) =

e1tv1 and x2(t) = e2tv2, then their Wronskian is

zero are referred to as a fundamental set of

solutions. The linear combination of x1 and x2 given

with arbitrary coefficients c1 and c2, x = c1x1(t) + c2x2(t),

is called the general solution.

THEOREM 3.3.2

Suppose that x1(t) and x2(t) are two solutions of

dx/dt = Ax, and that their Wronskian is not

zero. Then x1(t) and x2(t) form a fundamental

set of solutions, and the general solution is

given by, x = c1x1(t) + c2x2(t), where c1 and c2

are arbitrary constants. If there is a given initial

condition x(t0) = x0, where x0 is any constant

vector, then this condition determines the

constants c1 and c2 uniquely.

Note: The theorem is true if coefficient matrix A has eigenvalues that

are real and different. It is also valid even when the eigenvalues

are complex or repeated.

EXAMPLE - A Rockbed

Heat Storage System Revisited

storage problem with coordinates centered

at the critical point given by,

dx/dt =

13 3

8

4

1

1

4

4

x = Ax.

plot a direction field, a phase portrait, and

several component plots of the system.

Answer

The

The

general solution is

Direction field and phase portrait for the

system is shown in the next slide.

The pattern of

trajectories in

Figure is typical

of all second order

systems x' = Ax

whose eigenvalues

are real, different,

and of the same

sign. The origin

is called a node for

such a system.

If

negative, then the trajectories would be

similar but traversed in the outward

direction.

Nodes are asymptotically stable if the

eigenvalues are negative and unstable if

the eigenvalues are positive.

Asymptotically stable nodes and unstable

nodes are also referred to as nodal sinks

and nodal sources respectively.

Example

Consider the system

1 1

dx/dt =

4 1

x = Ax.

portrait.

Answer

The

The

general solution is

Direction field and phase portrait for the

system is shown in the next slide.

Saddle Points

The pattern of

trajectories in Figure

is typical of all second

order systems x' =

Ax for which the

eigenvalues are real

and of opposite signs.

The origin is called a

saddle point in this

case. Saddle points

are always unstable

because almost all

trajectories depart

from them as t

increases.

Consider a two dimensional system x= Ax with complex

conjugate eigenvalues

To solve the system, find the eigenvalues and eigenvectors,

observing that they are complex conjugates. Then write

down x1(t) and separate it into its real and imaginary parts

u(t) and w(t), respectively. Finally, form a linear

combination of u(t) and w(t), x = c1u(t) + c2w(t).

Of course, if complex-valued solutions are acceptable, you

can simply use the solutions x1(t) and x2(t).

complex.

Example

Q: Consider the system

Find

display them graphically in a phase portrait

and component plots.

A: The General solution

u(t) and w(t) of the system

for the system

Spiral Points

The

all two-dimensional systems x' = Ax whose

eigenvalues are complex with a negative real part.

The origin is called a spiral point and is

asymptotically stable because all trajectories

approach it as t increases. Such a spiral point is

often called a spiral sink. For a system whose

eigenvalues have a positive real part, the

trajectories are similar to those in Figure, but the

direction of motion is away from the origin and the

trajectories become unbounded. In this case, the

origin is unstable and is often called a spiral

source.

Centers

If the real part of the eigenvalues is

zero, then there is no exponential

factor in the solution and the

trajectories neither approach the

origin nor become unbounded.

Instead, they repeatedly traverse a

closed curve about the origin.

An example of this behavior can be

seen in Figure to left. In this case,

the origin is called a center and is

said to be stable, but not

asymptotically stable. In all three

cases, the direction of motion may

be either clockwise, as in previous

Example, or counterclockwise,

depending on the elements of the

coefficient matrix A.

Summary

For two-dimensional systems with real

coefficients, we have now completed our

description of the three main cases that

can occur:

1. Eigenvalues are real and have opposite

signs; x = 0 is a saddle point.

2. Eigenvalues are real and have the same

sign but are unequal; x = 0 is a node.

3. Eigenvalues are complex with nonzero real

part; x = 0 is a spiral point.

An Example

typical component plots.

A: The eigenvalues are 1 = 2 = 1. General

solution x = c1x1(t) + c2x2(t) where

system

for the system

It

matrices with a repeated eigenvalue and

two independent eigenvectors are the

diagonal matrices with the eigenvalues

along the diagonal. Such matrices form a

rather special class, since each of them is

proportional to the identity matrix. The

system in above Example is entirely typical

of this class of systems.

In this case the origin is called a proper

node or, sometimes, a star point.

Consider

two-dimensional linear

homogeneous systems with constant

coefficients x' = Ax.

Suppose that 1 is a repeated

eigenvalue of the matrix A and that there

is only one independent eigenvector v1.

Then one solution is x1(t) = e 1t v1. A

second solution is x2(t) = te1tv1 + e1tw,

where w satisfies (A 1I)w = v1.

The

eigenvector corresponding to the

eigenvalue 1.

In the case where the 2X2 matrix A

has a repeated eigenvalue and only

one eigenvector, the origin is called an

improper or degenerate node.

Example

Q: Consider the system

Find the eigenvalues and eigenvectors of the

coefficient matrix, and then find the

generalsolution of the system. Draw a

direction field, phase portrait, and component

plots.

A: The eigenvalues are 1 = 2 = 1/2. General

solution x = c1x1(t) + c2x2(t) where

for the system

improper or

degenerate node

system

Summary of Results

Nonlinear Systems

In

Section 3.2, we introduced the general twodimensional first order linear system

Of

form (1) or (2) may also occur. Such systems are said to

be nonlinear.

Uniqueness of Solutions.

derivatives f /x, f /y, g/x, and g/y be

continuous in a region R of txy-space defined

by < t < , 1 < x < 1, 2 < y < 2, and let the

point (t0, x0, y0) be in R. Then there is an

interval |t t0| < h in which there exists a

unique solution of the system of differential

equations

that also satisfies the initial conditions x(t0) = x0,

y(t0) = y0.

Autonomous Systems

It

exactly by analytical methods.

Therefore for such systems graphical methods and

numerical approximations become even more

important. In the next section, we will extend our

discussion of approximate numerical methods to twodimensional systems. Here we will consider systems

for which direction fields and phase portraits are of

particular importance. These are systems that do not

depend explicitly on the independent variable t. In

other words, the functions f and g in the equation

depend only on x and y and not on t.

Such a system is called autonomous, and can be

written in the form

points

To find

the autonomous system, we set dx/dt and

dy/dt equal to zero, and solve the resulting

equations

f (x, y) = 0, g(x, y) = 0

for x and y. Any solution of these is a point in

the phase plane that is a trajectory of an

equilibrium solution. Such points are called

equilibrium points or critical points.

Depending on the particular forms of f and g,

the nonlinear system can have any number

of critical points, ranging from none to

infinitely many.

Example

Consider

the system

dx/dt = x y,

dy/dt= 2x y x2.

Find a function H(x, y) such that the

trajectories of the system lie on the

level curves of H. Find the critical

points and draw a phase portrait for

the given system. Describe the

behavior of its trajectories.

Example (Ctd.)

To find the critical points, solve the

equations x y = 0, 2x y x2 = 0.

The critical points are (0, 0) and (1, 1).

To determine the trajectories, note

that for this system, becomes

dy/dx =(2x y x2)/(x y)

This is exact and so solutions satisfy

H(x, y) = x2 xy + 1/2 y2 1/3 x3 = c,

where c is an arbitrary constant.

Systems of First Order Equations

Numerical

initial value problems for a single first order differential

equation In Sections 1.3, 2.7, and 2.8 can be used.

The algorithms are the same for nonlinear and for linear

equations, so we will not restrict ourselves to linear

equations in this section. We consider a system of two

first order equations

x' = f (t, x, y), y' = g(t, x, y),

with the initial conditions x(t0) = x0, y(t0) = y0.

The functions f and g are assumed to satisfy the

conditions of Theorem 3.6.1 so that the initial value

problem above has a unique solution in some interval

of the t-axis containing the point t0. We wish to

determine approximate values x1, x2, . . . , xn, . . . and

y1, y2, . . . , yn, . . . of the solution x = (t), y = (t) at the

points tn = t0 + nh with n = 1, 2, . . . .

Euler formula

The

= xn + h fn is replaced by

RungeKutta method

The

to a system. For the step from tn to tn+1 we

have

Example

Determine approximate values of the solution

x=(t), y=(t) of the initial value problem

x' = x + 4y, y' = x y, x(0) = 2, y(0) = 0.5,

at the point t = 0.2. Use the Euler method with

h = 0.1 and the RungeKutta method with h

= 0.2. Compare the results with the values

of the exact solution:

(t) =(et + 3e3t)/2, (t) =(et 3e3t)/4

value problem using the Euler method (h =

0.1) and the RungeKutta method (h =

0.2).

Summary

Linear Algebra

1.

2.

equations in two unknowns is Ax = b.

If det A 0, the unique solution of Ax = b is x =

A1b.

If det A = 0, Ax = b may have (i) no solution, or (ii)

a straight line of solutions in the plane; in

particular, if b = 0 and A 0, the solution set is a

straight line passing through the origin.

The eigenvalue problem: (A I)x = 0. The

eigenvalues of A are solutions of the

characteristic equation det(A I) = 0. An

eigenvector for the eigenvalue is a nonzero

solution of (A I)x = 0. Eigenvalues may be real

and different, real and equal, or complex

conjugates.

Order Linear Equations

Systems with Constant

Coefficients: x' = Ax

If

with corresponding eigenvectors aib,

a fundamental set of real vector

solutions of x = Ax consists of

Re{exp[( + i)t][a + ib]} = exp(t)(cos

ta sin tb) and Im{exp[( + i)t][a +

ib]} = exp(t)(sin ta + cos tb).

If 0, then the critical point (the

origin) is a spiral point. If = 0, then

the critical point is a center.

If

then a general solution of x' = Ax is

(i) x = c1etv1 + c2etv2 if v1 and v2 are

independent eigenvectors, or

(ii) x = c1etv + c2et (w + tv), where (A I)w

= v if v is the only eigenvector of A.

The critical point at the origin is a proper

node if there are two independent

eigenvectors, and an improper or

degenerate node if there is only one

eigenvector.

Nonautonomous:

Autonomous: x ' = f (x)

Theorem 3.6.1 provides conditions that

guarantee, locally in time, existence and

uniqueness of solutions to the initial value

problem x' =f(t, x), x(t0) = x0.

Examples of two-dimensional nonlinear

autonomous systems suggest that locally

their solutions behave much like solutions

of linear systems.

Approximation Methods for

Systems

The

described in Chapters 1 and 2 are

extended to systems of first order

equations, and are illustrated for a

typical two-dimensional system.

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