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Differential

Equations
Chapter 03:
Systems of
Two First
Order
Equations
Brannan
Copyright 2010 by John Wiley & Sons,
Inc.
All rights reserved.

Chapter 3 Systems of Two First


Order Equations
We

introduce systems of two first order equations


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

Systems of Two Linear Algebraic Equations


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

3.1 Systems of Two Linear Algebraic


Equations

Solutions to a system of equations


There

are three distinct possibilities for


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.

Cramers Rule THEOREM 3.1.1


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

If = 0, then the system has either no solution


or infinitely many.

Matrix Method
Consider

a11

coefficient matrix, A
a
21

a12
a22

If

A1 exists, then A is called nonsingular or


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 and Eigenvectors


Eigenvalues

() of the matrix A are the


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

A have real or complex eigenvalues 1 and


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,

3.2 Systems of Two First Order


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

components of u are scalar valued


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

right side of a system of first order


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

a computer we can to generate


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.

Phase portrait for the example

General Solutions of Two First


Order Linear Equations

THEOREM 3.2.1 Existence and Uniqueness


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

Further, the solution exists throughout the interval I.

First Order Linear Equations


In

matrix form, we write

The

system above is called a first order


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.

Linear Autonomous Systems


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.

Critical points of linear


autonomous system

For the linear autonomous system, we find


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.

Transformation of a Second Order


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:

Component plots of the solution to


this initial value problem

3.3 Homogeneous Linear Systems


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.

The Eigenvalue Method for Solving


x' = Ax
Consider

a general system of two


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.

THEOREM 3.3.1 - Principle of


Superposition

Suppose that x1(t) = e1tv1 and x2(t) =


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

Two solutions x1(t) and x2(t) of whose Wronskian is not


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

Consider again the greenhouse/rockbed heat


storage problem with coordinates centered
at the critical point given by,

dx/dt =

13 3

8
4
1
1

4
4

x = Ax.

Find the general solution of this system. Then


plot a direction field, a phase portrait, and
several component plots of the system.

Answer
The

The

general solution is

eigenvalues are 1 = -7/4 and 2 = 1/8.


Direction field and phase portrait for the
system is shown in the next slide.

Nodal Sources and Nodal Sinks


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.

Nodal Sources and Nodal Sinks


If

the eigenvalues were positive rather than


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.

Find the general solution and draw a phase


portrait.

Answer
The

The

general solution is

eigenvalues are 1 = 3 and 2 = 1.


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.

3.4 Complex Eigenvalues


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).

Thus Theorem 3.3.2 is also valid when the eigenvalues are


complex.

Example
Q: Consider the system

Find

a fundamental set of solutions and


display them graphically in a phase portrait
and component plots.
A: The General solution

Component plots for the solutions


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

A direction field and phase portrait


for the system

Spiral Points
The

phase portrait in previous Figure is typical of


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.

3.4 Repeated Eigenvalues


An Example

Q: Consider the system x' = Ax, where

Draw a direction field, a phase portrait, and


typical component plots.
A: The eigenvalues are 1 = 2 = 1. General
solution x = c1x1(t) + c2x2(t) where

Typical component plots for the


system

A direction field and phase portrait


for the system

Proper node or Star Point


It

is possible to show that the only 2 X2


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.

Repeated Eigenvalues (in general)


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.

Repeated Eigenvalues (Ctd.)


The

vector w is called a generalized


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

A direction field and phase portrait


for the system
improper or
degenerate node

Typical plots of x1 versus t for the


system

Summary of Results

3.6 A Brief Introduction to


Nonlinear Systems
In

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

Of

course, two-dimensional systems that are not of the


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

THEOREM 3.6.1 - Existence and


Uniqueness of Solutions.

Let each of the functions f and g and the partial


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

is usually impossible to solve nonlinear systems


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

Equilibrium points or Critical


points
To find

equilibrium, or constant, solutions of


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.

A phase portrait for the system

3.7 Numerical Methods for


Systems of First Order Equations
Numerical

methods for approximating the solutions of


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

scalar Euler formula tn+1 = tn + h, xn+1


= xn + h fn is replaced by

RungeKutta method
The

RungeKutta method can be extended


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

Approximations to the solution of the initial


value problem using the Euler method (h =
0.1) and the RungeKutta method (h =
0.2).

Summary

Section 3.1 Two-Dimensional


Linear Algebra

1.
2.

Matrix notation for a linear algebraic system of two


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.

Section 3.2 Systems of Two First


Order Linear Equations

Section 3.3 Homogeneous


Systems with Constant
Coefficients: x' = Ax

Section 3.4 Complex Eigenvalues


If

the eigenvalues of A are i, 0,


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.

Section 3.5 Repeated Eigenvalues


If

A has a single repeated eigenvalue ,


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.

Section 3.6 Nonlinear Systems


Nonautonomous:

x' = f (t, x),


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.

Section 3.7 Numerical


Approximation Methods for
Systems
The

Euler and RungeKutta methods


described in Chapters 1 and 2 are
extended to systems of first order
equations, and are illustrated for a
typical two-dimensional system.