Lecture 7

Ordinary dierential equations (ODEs) (continued)

6 7

Linear equations of second order Systems of dierential equations

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Linear equations of second order

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We consider a damped harmonic oscillator driven by a force F (t ). The dierential equation is mx + dx + cx = F (t ), where m > 0 is the mass and d > 0 is the damping. We divide the d 2 = c and f (t ) = 1 F (t ). Then , 0 equation by m and set 2 = m m m
2 x + 2 x + 0 x = f (t ).

We rst consider the homogeneous equation with f (t ) 0 (no external 2 with zeroes force). The characteristic polynomial is 2 + 2 + 0 1,2 =
2. 2 0

2. There are three cases depending on the sign of 2 0

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Linear equations of second order

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2 . In this case (strong damping) we have two real zeroes 1st case: 2 > 0 1 , 2 , both of which are negative. The general solution is

x (t ) = c1 e 1 t + c2 e 2 t . The constants c1 and c2 can be determined from initial values for x (t ) and x (t ). Since both 1 , 2 are negative, we have x (t ) 0 for large times t . There is no oscillation. 2 . In this case (aperiodic limit case) we have one real 2nd case: 2 = 0 zero 1,2 = . The general solution of the ODE is x (t ) = (c1 + c2 t )e t . Again, there is no oscillation and x (t ) 0 for large times t .

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Linear equations of second order

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2 . In this case (weak damping) we have two complex 3rd case: 2 < 0 zeroes 1,2 = i 1 , where 1 denotes the so-called eigenfrequency 2 2 > 0. The general solution is 0

x (t ) = e t (c1 cos 1 t + c2 sin 1 t ). Again, we have x (t ) 0 for large times t but this time there is an oscillation. We now consider the inhomogeneous equation with a harmonic driving force of frequency :
2 x = B cos t . x + 2 x + 0

Since the solutions of the homogeneous equation all satisfy xh (t ) 0 for large times t , in the end there will only remain the particular solution xp (t ) of the inhomogeneous equation.
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Linear equations of second order

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Use the ansatz xp (t ) = C1 cos t + C2 sin t for the particular solution. This leads to C1 =
2 (0

2 B , 2 )2 + 42 2 B
2 (0

C2 =

2 (0

2 2 )B (0 , and so 2 )2 + 42 2

xp (t ) =

2 )2

+ 4 2 2

2 ((0 2 ) cos t + 2 sin t ).

Using trigonometric identities this can be written as xp (t ) = B

2 2 )2 + 4 2 2 (0

cos( t ),

with

= arctan

2 0

2 . 2

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Linear equations of second order

The factor A( ) = 1

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2 2 )2 + 4 2 2 (0

is called amplication factor. Note that A( ) 0 for large . Hence driving forces with a very high frequency are of no eect. The amplication factor A( ) has a maximum if the denominator has a minimum. This happens precisely for
2 4(0 2 ) + 82 = 0,

hence for the frequency = r , where

2 2 2 r = 0 22 = 1 2

and 1 is the eigenfrequency. The frequency r is called resonance 1 . frequency and exists only for damping constant < 2 0
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Systems of dierential equations

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It often happens in applications that several scalar functions yi (x ) are coupled in the sense that the rst derivative of each function depends on the variable x and on the value of all other functions: yi = vi (x , y1 , . . . , yn ), 1 i n,

where vi are certain functions of n + 1 variables. These n equations form a system of ordinary dierential equations. It is useful to write this system in the following form: Let y denote the column vector (y1 , . . . , yn ) and v the column vector (v1 , . . . , vn ). Then we can write y = v (x , y ). A solution of this system of ODEs is a map s : I Rn , where I R is an interval, such that s (x ) = v (x , y (x )). If we demand in addition that y (x0 ) = y0 we have an initial value problem.
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Systems of dierential equations

If we have a system of ODEs

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y = v (x , y ), we can think of v as a vector eld on a subset of Rn . A solution y (x ) is a curve in this subset of Rn which is at each instance of x tangential to this vector eld. Example Consider the non-linear system of equations (the Lorenz system) x = 3y 3x y = x y xz z = xy z , where is a constant. It is a famous simplied model of atmospheric turbulence. Depending on the value of this system admits so-called chaotic solutions.
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Systems of dierential equations

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Note that any explicit dierential equation of order n for a scalar function y (x ) y (n) = f (x , y , y , . . . , y (n1) ) can be transformed into an equivalent system of ODEs of rst order y0 = y1 , y1 = y2 , . . . yn2 = yn1 , yn1 = f (x , y0 , y1 , . . . , yn1 ). The scalar function y (x ) is a solution of the n-th order explicit ODE if and only if y (x ) = (y (x ), y (x ), . . . , y (n1) (x ))T is a solution of the system of ODEs.
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Systems of dierential equations

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There are certain fundamental theorems which guarantee the existence and uniqueness of solutions to initial value problems of rst order ODEs or systems of ODEs. We shall only mention the general version for rst order systems of ODEs. Theorem (Peano) Suppose that the vector eld v : G Rn , with G Rn+1 , is continuous. Then the initial value problem y = v (x , y ), y (x0 ) = y0 ,

with (x0 , y0 ) G , has at least one solution. Therefore continuity of v guarantees the existence of a solution. However, it is not sucient to guarantee the uniqueness.
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Systems of dierential equations

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Example Consider the initial value problem y = 2 |y |, y (0) = 0.

This has the constant solution s1 (x ) 0. However, it also has the solution s2 (x ) = x2 x 2 if x 0 . if x < 0 |y | is

Hence the solution is not unique even though the function 2 continuous.

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Systems of dierential equations

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Let G Rn+1 be some subset and v : G Rn a vector eld on G . Denition We say that v satises a Lipschitz condition on G if there exists a constant L 0 such that v (x , y ) v (x , z ) L y z , for all (x , y ) and (x , z ) in G . Here the norm of a vector is dened by y =
2 + . . . + y 2. y1 n

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Systems of dierential equations

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We can now state a uniqueness theorem for initial value problems: Theorem (Picard-Lindel of) Suppose that the vector eld v (x , y ) satises a Lipschitz condition on [a, b ] Rn . Then the initial value problem y = v (x , y ), y (x0 ) = y0 ,

for each y0 Rn has a unique solution dened on the interval I = [a, b ].

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Systems of dierential equations

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We will only consider systems of the following form: y = Ay + b (x ), where A Rnn is a constant matrix. These systems are called linear systems with constant coecients. If b (x ) 0, the system is called homogeneous. Theorem The space of solutions of the homogeneous system with A Rnn is an n-dimensional vector space. Let yp (x ) denote some particular solution to the inhomogeneous equation. Then any solution of this equation can be written as y (x ) = yp (x ) + yh (x ), where yh (x ) is a solution of the homogeneous equation.

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Systems of dierential equations

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To describe the general solution of a homogeneous linear system of equations we need the concept of the exponential function of a matrix. First, let p (x ) = a0 + a1 x + . . . + an x n denote some polynomial in the variable x . Then for an n n-matrix we dene p (A) = a0 In + a1 A + . . . + an An . Similarly we can dene a power series in the square matrix A, where convergence means element-wise convergence. In particular we can dene

eA =
k =0

1 1 1 k A = In + A + A2 + A3 + . . . k! 2 3!

and hence

e xA =
k =0

xk k x2 x3 A = In + xA + A2 + A3 + . . . k! 2 3!
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Systems of dierential equations

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The exponential function of a square matrix has the following properties: Exponential function of a square matrix Special case: e 0 = In , where 0 denotes the n n zero-matrix. Functional equation: If AB = BA, then e A e B = e B e A = e A+B . Inverse matrix: The matrix e A is always invertible with inverse (e A )1 = e A (this follows from the rst two properties). d xA e = Ae xA = e xA A. Derivative: dx Note that the second property only holds in general if A and B commute.

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Systems of dierential equations

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Theorem Every solution of a homogeneous linear system of ODEs with constant coecients y = Ay is of the form y (x ) = e xA c , dened for all x R, where c is any column vector in Rn . Proof. Note that y (x ) = e xA c is a solution of the dierential equation, because y (x ) = Ae xA c = Ay (x ). Let c1 , . . . , cn denote a basis of Rn and y1 , . . . , yn the corresponding solutions. Then the solutions are linearly independent at each x , hence the space spanned by these solutions is n-dimensional. Since the space of solutions is also n-dimensional, every solution is of this form for some vector c .
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Systems of dierential equations

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In general the exponential e xA is dicult to calculate if A is any given matrix. Note the following: Lemma If u is an eigenvector of A with eigenvalue , then e xA u = e x u. The exponential on the right hand side is simply the exponential of a number. Proof. We have e xA u = (In + xA + x2 2 x3 3 A + A + . . . )u 2 3! x3 x2 2 = u + x u + u + 3 u . . . 2 3! x = e u.
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Systems of dierential equations

The lemma implies: Theorem

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Suppose that the matrix A Rnn has a basis of (complex) eigenvectors u1 , . . . , un with (complex) eigenvalues 1 , . . . , n . Then the vectors e x 1 u1 , . . . , e x n un form a basis of the solution space of the linear homogeneous system y = Ay . Note that a basis of (real) eigenvectors exist in particular if the matrix A is symmetric. Theorem If is a non-real complex eigenvalue with complex eigenvector u Cn , then both Re (e x u ) and Im (e x u ) are linearly independent real solutions of the system y = Ay .
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