Copyiight Rene Baiiientos Page 1

QUALITATIVE ANALYSIS OF LINEAR AUTNOMOUS EQUATIONS WITH CONSTANT COEFFICIENTS

The system
JX
Jt
= A
1
X +B
1
+C
1

J
Jt
= A
2
X +B
2
+C
2

is called a linear autonomous system with constant coefficients. When _
A
1
B
1
A
2
B
2
_ = u, this system can always be
converted to a homogeneous system

Jx
Jt
= o
1
x +b
1
y
Jy
Jt
= o
2
x +o
2
y
(1)
by a suitable transformation of the form
x = X -b
y = -k
The goal of these notes is to develop a basic understanding of the qualitative aspects of the solutions of system
(1). First some general terminology and basic concepts.
Consider the system
_
Jx
Jt
= (t, x, y)
Jy
Jt
= g(t, x, y)
(2)
x(t) = (t), y(t) = (t) is a solution of system (1) on an interval I provided that the functions and is
are differentiable in I and
_
J
Jt
= (t, (t), (t))
J
Jt
= g(t, (t), (t))

for all t e I.

Jx
Jt
= y
Jy
Jt
= -4x +4y
J
Jt
(2t +1)c
2t
= -4(tc
2t
) +4((2t +1)c
2t
)
J
Jt
(2t +1)c
2t
= 2c
2t
+2(2t +1)c
2t

= 2c
2t
+4tc
2t
+2c
2t

= 4c
2t
+4tc
2t

Jy
Jt
= -4x +4y
Example 1 The functions x(t) = tc
2t
, y(t) = (2t +1)c
2t
are solutions of the system
on the interval (-, ). We verify that the second equation is satisfied and leave it as an
exercise to verify that the first one is also satisfied. We need to show that
Differentiating
On the other hand, -4(tc
2t
) +4((2t +1)c
2t
) = 4c
2t
+4tc
2t
. Therefore
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It is interesting to write the solution of example 1 in matrix notation:
x(t) = _
tc
2t
(2t +1)c
2t
]
We can wiite this solution as a sum of two vectois:
x(t) = [
1
2
tc
2t
+[
u
1
c
2t

which looks veiy much like a lineai combination of the functions {c
2t
, tc
2t
]. In fact, that is exactly what
this iuentity states although the coefficients aie not ieal numbeis but vectois.
Geometrically, the solutions of a system form a set of parametric equations of a plane curve C (or in the more
general case in R
n
). The curve is oriented by the parameter t as illustrated in the figure below.






The column vector
x(t) = _
(t)
(t)
]
traces the curve as t ranges over the interval of existence.
When we describe solutions geometrically by means of this vector function, we refer to the Cartesian plane as
the phase plane and the solution curves as trajectories.
Initial Value Problems
An initial value problem consists of a system for which initial conditions x(t
0
) = x
0
, y(t
0
) = y
0
are specified.
Initial value problems are stated like this:

Jx
Jt
= (t, x, y)
Jy
Jt
= g(t, x, y)
; x(t
0
) = x
0
, y(t
0
) = y
0

The initial conditions are used to find a particular solution of the equation.



















Jx
Jt
= y

Jy
Jt
= -4x +4y
x(u) = 1, y(u) = u
x(u) = 1 = c
1
= 1
y(u) = u = 2c
1
+c
2
= u
x(t) = _
c
2t
-2tc
2t
-4tc
2t
_
Example 2 Solve the IVP
Given that x(t) = c
1
c
2t
+c
2
tc
2t
, y(t) = 2c
1
c
2t
+c
2
(2t +1)c
2t
is a solution of the system.
Solution
we obtain the particular solution by applying the initial conditions:
Solving the system gives us c
1
= 1 and c
2
= -2. Thus, the particular solution is
((t), (t))
x(t)
C
Copyiight Rene Baiiientos Page S

We may write the result in the previous example as the sum:
x(t) = _
1
u
] c
2t
+2tc
2t
_
-1
-2
]
Once again, this may look just like another way of writing the answer, but soon we will see the significance of
the vectors (
1
0
) and (
-1
-2
).
Critical points
Recall that an autonomous system is one of the type

Jx
Jt
= (x, y)
Jy
Jt
= g(x, y)
(S)
and its critical points are the points (x, y) for which both (x, y) = u and g(x, y) = u.
Example 3 Find the critical points of the system
Jx
Jt
= y -2
Jy
Jt
= x +y -S
Solution
The critical points are found by solving the simultaneous equations.
y -2 = u
x +y -S = u
The first equation is satisfied only when y = 2. Substituting into the second equation,
x +2 -S = u = x = 3
The only critical point is (3, 2).
Example 4 Find the critical points of the system
Jx
Jt
= x -2xy
Jy
Jt
= x +y
Solution
We Solve the system
x -2xy = u
x +y = u
The second equation implies that x = -y. Substituting into the first equation,
-y +2y
2
= u = y = u, y = 12
If y = u, x = u.
if y = 12, x = -12.
Therefore, the critical points are (, ) and [-
1
2
,
1
2
.
Trajectories and the Phase Plane
The solution x(t) = (
1
0
)c
2t
+2tc
2t
(
-1
-2
) of the previous example is a compact way of writing the parametric
equations
x(t) = c
2t
-tc
2t
, y(t) = -4tc
2t

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What do these trajectories look like? In general, it is not easy to answer this question; however, one can obtain a
qualitative idea by analyzing the original equations in the system. For the sake of reducing unnecessary
arithmetic, let us consider a simple system such as:
Jx
Jt
= -y
Jy
Jt
= x +y
The general idea is this: the functions (x, y) = -y and g(x, y) = x +y tell us how each of the dependent
variables are changing at each instant. If we make the analogy with a point particle moving in the plane, we
may think of (x, y) and g(x, y) as the velocity components of the particle, but keep in mind that the system
might not even be remotely connected to physical motion in space.
Using the analogy of the point particle, these equations tell us that at the point (1,2), for example, the particle is
moving in such a way that JxJt = -2, JyJt = S.
Graphically:







The red arrow is the tangent vector to the trajectory at (1,2). Imagine if we could do this for every point in the
domain of the system. Then we would obtain a field of vectors (the direction field) associated with the system
which gives us a very clear idea of the qualitative behavior of its trajectories.
Computers can do these calculations very fast and the filed of this particular system is shown in the figure
below:

By analyzing some key information we can get an idea of its behavior without the aid of a computer. This is the
is information we look for:
1) where is JxJt = u ?
2) where is JyJt = u ?
3) where is JxJt > u, and where is it negative?
4) where is JyJt > u, and where is it negative?
5) what happens along the coordinate axes?
-3 -2 -1 0 1 2 3
-3
-2
-1
0
1
2
3
Jy
Jt
= S
Jx
Jt
= -2
(1,2)
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When these questions are answered, we have a pretty good idea of what the trajectories look like. Let us do it
for the system under consideration:
Jx
Jt
= -y
Jy
Jt
= x +y
First,
dx
dt
= u when y = u (the x-axis). this means that at any point on the x-axis, points on the trajectories do
not have a horizontal component of motion; trajectories intersect the x-axis at right angles.
dx
dt
> u when y < u. Thus, below the x-axis, trajectories have a positive x-component of motion; they move to
the right. The opposite happens above the x-axis because there
dx
dt
< u.
d
dt
= u when x +y = u or y = -x. thus, trajectories interest the line y = -x with no vertical component of
motion.
d
dt
> u when x +y > u of y > -x. Thus, the trajectory points have a positive y-component above y = -x and
a negative y-component below it.
On the x-axis, y = u so
dx
dt
= u and
d
dt
= x. Thus, these points have positive y-component of motion on the
positive x-axis (x > u) and negative y-component on the negative x-axis.
On the y-axis, x = u so
d
dt
= -y is independent of this. However,
dx
dt
= y which means that trajectory points
have a positive x-component of motion when y > u and a negative one when y < u.
We can summarize this information by plotting a point in each of these special regions and assigning small
direction arrow according to our analysis above.








When we plot a few representative trajectories in the plane, together with the equations critical points, the
resulting figure is called a phase portrait.
-1.0 -0.5 0.0 0.5 1.0
-1.0
-0.5
0.0
0.5
1.0
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Trace a few curves that have the fields arrows as tangents and you will have the systems phase portrait. In this
figure, only one representative curve has been traced. You need a few more before you call it a phase portrait.
Geometric Analysis of System (1)
We are ready to study the geometric properties if system (1) by first considering the analysis of its one
dimensional scalar counterpart:

Jx
Jt
= ox (4)
whose general solution is (as we have seen many times and in many different way)
x(t) = cc
ut

Unfortunately, there is where the similarities end because whereas the latter has a simple solution, the former is
much richer in structure. In order to appreciate just how rich, let us begin by solving the scalar equation by a
method that seems a bit ridiculous, but which will serve as a model. Let x(t) = kc
xt
, z being a number that is
yet unknown, be a tentative solution. Then
Jx
Jt
= ox = kzc
xt
= okc
xt

Since c
xt
= u
kz -ok = u
or
k(o -z) = u
If we seek nontrivial solution, then k = u and therefore z = o. Hence, the nontrivial solutions of the scalar
equation are given by
x(t) = kc
ut

and we are not surprised.
Now consider system (1) which may be written in matrix notation as

Jx
Jt
= Ax (S)
where A = _
o
1
b
1
o
2
b
2
] is the matrix of coefficients and x(t) = [
x(t)
(t)
. Notice how similar (4) and (5) are in
appearance. Let us try to find its solution in the same way we proceeded in equation (4):
Let x(t) = kc
xt
be a solution where k = [
k
1
k
2
is a constant vector and z a real number. Then,
J
Jt
kc
xt
= Akc
xt

or
zkc
xt
= Akc
xt

Since c
xt
= u,
zk = Ak
or
Ak -zk = (6)
Thus, in order for x(t) = kc
xt
to be a solution, the equation above must be satisfied. This equation is called an
eigenvalue problem and its nontrivial solutions k are called its eigenvectors. In order to find them we must first
find the values of z for which there are nontrivial solutions.
Unlike the illustration involving the scalar equation, we may not factor the vector k because the operation
A -z is undefined. We may, however, introduce the 2 2 identity matrix I
2
which will allow us to factork.
Rewriting equation (6) as
Ak -zI
2
k =

Copyiight Rene Baiiientos Page 7

or equivalently,
(A -zI
2
)k =
The nontrivial solutions of this system correspond to the values of z for which
1

uet (A -zI
2
) = u (7)
Hence, the solutions of system (1) are found by finding the eigenvalues and eigenvectors of the matrix of
coefficients. Equation (5) is equivalent to
_
o
1
-z b
1
o
2
b
2
-z
_ = u
Expanding this determinant results in the second degree equation
p(2) = 2
2
-tr(A)2 +det(A)
called the characteristic polynomial associated with A. Since it is a second degree polynomial, it has two roots
and therefore we must consider some possibilities.
CASE PROFILE
Real eigenvalues
Case 1: z
1
> z
2
> u Unstable node
Case 2: z
1
< z
2
< u Stable node
Case 3: z
1
= z
2
= u Degenerate node
Case 4: z
1
< u < z
2
Saddle point
Complex eigenvalues
Case 5: z
1
= bi, z
2
= -bi Center
Case 6: z
1
= o +bi, z
2
= o -bi, o = u Spiral

Box 1
In a moment we will come to understand the meaning of the third column.
Once the roots of the characteristic polynomial are found, we find the corresponding eigenvectors by solving
(A -zI
2
)k =
for k.
Example 5 Find the eigenvalues and eigenvectors of the matrix [
u 1
1 u
.
Solution
The eigenvalues are found by solving
z
2
-tr(A)z +Jct(A) = u
or
z
2
-u z -1 = u
Hence z
1
= -1, z
2
= 1 are the eigenvalues. To find the corresponding eigenvectors, we replace z in
(A -zI
2
)k =
or equivalently, in
[
u -z 1
1 u -z
_
k
1
k
2
] = _
u
u
]
If z = -1:
[
1 1
1 1
_
k
1
k
2
] = _
u
u
]

1
See Linear Algebra Supplement at the end of these notes.
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Only one equation results out of this computation:
k
1
+k
2
= u = k
2
= -k
1

Therefore,
k = _
k
1
k
2
] = _
k
1
-k
1
] = k
1
[
1
-1

We may take k
1
= [
1
-1
to be the eigenvector associated the z = -1 although as you can see, there
are infinitely many. Similarly,
If z = 1:
[
-1 1
1 -1
_
k
1
k
2
] = _
u
u
]
And again only one equation results out of this computation:
-k
1
+k
2
= u = k
2
= k
1

Therefore,
k = _
k
1
k
2
] = _
k
1
k
1
] = k
1
[
1
1

We may take k
2
= [
1
1
to be the eigenvector associated the z = 1.
Now let us suppose we were solving the system
x' = y
y' = x

whose matrix is A = [
u 1
1 u
. Having found the eigenvalues and their corresponding eigenvectors of this
matrix, we know that x(t) = kc
xt
is a solution of the system. Thus,
x
1
(t) = [
1
-1
c
-t
anu x
2
(t) = [
1
1
c
t

are two solutions. Are there more that were not captured in this process? No. We have the following important
result about homogeneous linear systems:




Observe that the vector solutions correspond to parametric equations of curves in the plane. For example,
x
1
(t) = [
1
-1
c
-t

Really represents
x(t) = c
-t
; y(y) = -c
-t

Similarly, the parametric equations corresponding to
x(t) = c
1
x
1
(t) +c
2
x
2
(t)
Can be obtained by expanding:
x(t) = c
1
[
1
-1
c
-t
+c
2
[
1
1
c
t

Thus,
x(t) = c
1
c
-t
+c
2
c
t

y(t) = -c
1
c
-t
+c
2
c
t

Trying to describe this curve is not easy, but if we consider the vector for
x(t) = c
1
x
1
(t) +c
2
x
2
(t)
Fact: If x
1
(t) and x
2
(t) are two linearly independent solutions of (1), then so it their linear combination
where s c
1
and c
2
are arbitrary scalars. Furthermore, x(t) is the general solution of system (1).
Copyiight Rene Baiiientos Page 9

x(t) = c
1
[
1
-1
c
-t
+c
2
[
1
1
c
t

we see that the solution curves are linear combinations of the eigenvectors k
1
= [
1
-1
and k
2
= [
1
1
. This is
the line of thought that we would like to explore.
What does x(t) = c
1
[
1
-1
c
-t
+c
2
[
1
1
c
t
tell us? It tells us that the solution vector is composed in some way
of the eigenvectors k
1
and k
2
. For example, if t - , then x(t) looks mostly like c
2
[
1
1
c
t
, which is just a
multiple of [
1
1
. Similarly, if t - -, then x(t) looks mostly like [
1
-1
. For intermediate values of t, the
solution vector looks like a combination of the two. The constants c
1
and c
2
divide the plane into four sectors,
as shown below:













Now let us trace a typical trajectory in the region c
1
> u, c
2
> u. Starting at t = , we see that the solution
vector looks mostly like [
1
1
, that is, it is parallel to it. At t = u, the solution vector is
x(u) = c
1
[
1
-1
+c
2
[
1
1

Finally, as t = -, the solution vector looks mostly like [
1
-1
. Let us translate this into a graph:












A similar analysis reveals that the trajectories follow the same general curve in the other sectors. The figure
illustrates the profile of the solution curves in the plane.


k
1
= [
1
-1

k
2
= [
1
1
c
1
> u, c
2
> u
c
1
< u, c
2
> u
c
1
< u, c
2
< u
c
1
< u, c
2
> u
[
1
-1

[
1
1

x(u)
Copyiight Rene Baiiientos Page 1u











x(t) = c
1
[
1
-1
c
-t
+c
2
[
1
1
c
t

As you can see, this method of analysis proves to be very efficient and gives us a clear picture of the systems
phase portrait.
Observe that in the previous illustration if we let z
1
= 1 and z
2
= 1, then z
1
< u < z
2
. This corresponds to
Case 4 in box 1. The Origin, which is the only critical point of the system, looks like a saddle point. The names
of the other cases similarly reflect the geometric nature of the corresponding phase portraits.
Example 6 (The Spiral) Determine the type of trajectory associated with the system
Jx
Jt
= 2x -Sy
Jy
Jt
= x -y

Solution
The matrix of this system is A = [
2 -S
1 -1
. This matrix has tr(A) = 1, A = 1. Thus,
p(z) = z
2
-z +1
The roots of this polynomial are
z
1,2
=
1 _1 -4
2
=
1
2
_
S
2
i
which corresponds to case 6; the spiral. Look at the direction field. It is clear that the trajectories will
follow spirals as indicated by the representative red curve.

What is the general solution in the previous example? It is
-0.4 -0.2 0.0 0.2 0.4
-0.4
-0.2
0.0
0.2
0.4
x(u)
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x(t) = c
1
k
1
c
(
1
2
+
3
2
)t
+c
2
k
2
c
(
1
2
-
3
2
)t

Where k
1
and k
2
are the eigenvectors corresponding to the eigenvalues [
1
2
+
3
2
i and [
1
2
-
3
2
i, respectively.
We may factor c
1
2
t
to obtain
x(t) = c
t2
_c
1
k
1
c
_
3
2
_t
+c
2
k
2
c
_-
3
2
_t
_
which clearly indicates that the origin is an unstable node, that is, the trajectories more away from it if the
initial conditions are even slightly off. Case 6 really is composed of two sub-cases: if z = o _bi are the
complex conjugate eigenvalues, then (a) the origin is an unstable node if Rc{z] > u and (b) a stable node if
Rc{z] < u.
Example 7 (The Spiral) Determine the type of trajectory associated with the system
Jx
Jt
= x +Sy

Jy
Jt
= -x -2y
Solution
The matrix of this system is A = [
1 S
-1 -2
. Hence, tr(A) = -1, A = 1. Thus,
p(z) = z
2
+z +1
The roots are
z
1,2
=
-1 _1 -4
2
= -
1
2
_
S
2
i
We expect a spiral because p(z) has complex roots. However, the real part of these roots is negative.
Thus, the spiral will circulate toward the origin.

Example 8 (The Saddle again) Determine the type of trajectory associated with the system
Jx
Jt
= -x +Sy
Jy
Jt
= Sx -y
Solution
The matrix for this system is A = [
-1 S
S -1
. We have tr(A) = -2, A = -8. Thus,
p(z) = z
2
+2z -8
The roots of this polynomial are
Jx
Jt
= x +Sy
Jy
Jt
= -x -2y
The field corresponding to
forms a spiral with limit at the origin.

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z
1,2
=
4 _4 +S2
2
= 2 _S
The roots straddle 0: z
1
= -1, z
2
= S which corresponds to Case 4: z
1
< u < z
2
. The origin acts as
a saddle point. The tangent field is illustrated in the figure below.

Saddles are characterized by the appearance of asymptotes in the phase plane.
Example 9 (The unstable nod) Determine the type of trajectory associated with the system
Jx
Jt
= Sx +y
Jy
Jt
= 2y
Solution
A = [
S 1
u 2

Thus, tr(A) = S, uet(A) = 6 and p(z) = z
2
-Sz +6. The roots of p(z) are z = 2 and z = S. These
correspond to : z
1
> z
2
> u where we let z
1
= S and z
2
= 2.
The trajectories associated with an unstable node are illustrated in the figure below.


Unstable node
Example 10 (The center) Determine the type of trajectory associated with the system
-1.0 -0.5 0.0 0.5 1.0
-1.0
-0.5
0.0
0.5
1.0
-1.0 -0.5 0.0 0.5 1.0
-1.0
-0.5
0.0
0.5
1.0
Copyiight Rene Baiiientos Page 1S

Jx
Jt
= x +2y
Jy
Jt
= -x -y
Solution
A = [
1 2
-1 -1

Thus, tr(A) = u, uet(A) = 1 and p(z) = z
2
+1. The roots of p(z) are z = i and z = -i. These correspond
eigenvalues of the form to z
1
= bi, z
2
= -bi.
The trajectories associated with center are illustrated in the figure below.


Exercises
1) Is the system
Jx
Jt
= x +y
2
-t
2

Jy
Jt
= x -t
3
y -2
Linear? If not, which term or terms make it not linear?
2) Find all critical points of the system
Jx
Jt
= Sx -4y

Jy
Jt
= 2x +Sy
3) Find all critical points of the system
Jx
Jt
= Sxy -y
2


Jy
Jt
= x +y +1
4) Write the system
Jx
Jt
= 2x +4y
Jy
Jt
= x -2y
in matrix form. What is its matrix of coefficients? What profile will its trajectories follow?
-1.0 -0.5 0.0 0.5 1.0
-1.0
-0.5
0.0
0.5
1.0
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5) Write the system
Jx
Jt
= -2y
Jy
Jt
= x -2y
in matrix form. What is its matrix of coefficients? What profile will its trajectories follow?


6) Solve the following nonlinear system using its phase plane equation (see steps below).
Jx
Jt
= 2y
Jy
Jt
= y
2
+xy
The phase plane equation is found by:
a) Writing the system is an equivalent scalar equation by eliminating the parameter t:
d
dx
=
ddt
dxdt
:
Jy
Jx
=
y
2
+xy
2y

b) This is a linear equation. Its solution curves correspond to the trajectories of the original system. Can
you determine their nature?

c) Since this is not a linear autonomous system (although it is autonomous) we cannot use the eigenvalue
approach. Show that (u,u) is a critical point of the system and read up on how to linearize it near the
origin. Write the corresponding linear system which can be used to analyze the solutions at that
critical point. The figure below illustrates the direction field for this system.


Can you see the nature of the trajectories near the origin?
Supplement: Matrices and Matrix Notation
In the study of systems of differential equations it is useful, if not essential, to use matrices. Recall that a
matrix is an array of numbers of the form
_
o
11
o
1n
. .
o
m1
o
mn
_
We use boldface capital letters such as A, B, etc., to name matrices and the dimension of a matrix, denoted by
-4 -2 0 2 4
-4
-2
0
2
4
Copyiight Rene Baiiientos Page 1S

uim(A) = m n, refers to the number of rows and columns it contains. For example, the matrix
K = [
1 4 -2
9 u u

is a 2 S matrix because it has 2 rows and 3 columns. Its entries are the numbers 1, 4, 2, 9, 0, and 0. Entry
a
21
is 9 because it occurs in row 2, column 1.
Column matrices are matrices of dimension m 1and we refer to them a column vectors. Thus, (
3
-1
) is a
2 1 column vector. Similarly, a row vector is a matrix of dimension 1 n.
Matrix Arithmetic
Matrices are added by adding their corresponding entries. Therefore, addition is defined only for matrices of
identical dimensions. We denote addition by the usual symbol A +B.
Scalar multiplication is the operation of multiplying a matrix by a number. This operation consists of
multiplying every entry by the number:
c _
o
11
o
1n
. .
o
m1
o
mn
_ = _
c o
11
c o
1n
. .
c o
m1
c o
mn
_
Matrix multiplication is defined only when the number of columns of the first matrix equals the number of
columns of the second matrix. We define the (i, ]) entry of the product of two matrices as the dot product of
the i
th
row vector of the first matrix with the j
th
column vector of the second matrix. Let A and Bbe matiices of
uimensions (m n) and (n r), respectively, and let c
]
be the (i, ]) entry of the product A B, Then
c
]
= (
o
1
o
n) _
b
1]
.
b
n]
_
Example M1 If A = [
1 -1 2
4 u S
and B = _
u u 1
S 4 -1
6 7 9
_, then the product A B is defined and the entry in
position (1,2), for example, is found by taking the dot product of the first row of matrix A and the second
column of matrix B:
c
12
= (1 -1 2) _
u
4
7
_ = 1 u + (-1) 4 +2 7 = 1
The other entries are found in the same way and the product is a matrix of dimension 2 S as well. Notice that
whereas A B is defined, B A is not.
Example M2 If A = [
u 1
S 2
and B = [
S
7
, find the product A B
Solution
[
u 1
S 2
[
S
7
= [
u S +1 7
S S +2 7

= [
7
22


tr(A) = o
1
+b
2

o
1
x +b
1
y = u
o
2
x +b
2
y = u

Let A = _
o
1
b
1
o
2
b
2
] be any matrix. The trace of A, denoted by tr(A), is defined to be the sum of the elements of its
main diagonal:
The determinant of A, denoted by uet(A) oi A, is the number defined by A = o
1
b
2
-o
2
b
1
.
The matrix is nonsingular ifA = u. When a matrix is nonsingular, the homogeneous system
has only the trivial solution x = y = u. Conversely, if A = u, then the system has nontrivial solutions.