Math 5AI: Project 4

Linear systems of differential equations

January 22-27, 2010

We next study dynamical systems of the form

dx/dt = a11 x + a12 y + f (t),

dy/dt = a21 x + a22 y + g(t),

where the aij s are constants, and f (t) and g(t) are well-behaved functions of
t. Dynamical systems of this type are said to be linear , and there is a rather
complete theory for finding their solutions.

A. Homogeneous first order linear systems of differential equations:

We first consider the associated homogeneous system:

dx/dt = a11 x + a12 y,

(1)
dy/dt = a21 x + a22 y.

There is a systematic method for solving a system of this form, which has the
virtue of extending to systems with n unknowns. This method consists of two
steps:
Step I. Assume the solution has the special form,

x = Aet , y = Bet , (2)

where A, B, and are constants, and solve for A, B, and . Usually, there
will be two values 1 and 2 for which yield nonzero solutions to the linear
system:
x = A1 e 1 t x = A2 e2 t
1 t and .
y = B1 e y = B2 e2 t

Step II. Apply the superposition principle to derive the general solution:

x = c1 A1 e1 t + c2 A2 e2 t
.
y = c1 B1 e1 t + c2 B2 e2 t

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Here c1 and c2 are constants of integration, which can be determined by initial
conditions.
Dangerous curve! If only one value of can be found, one is said to be in the
notorious repeated root case, and this simple method will not work. If there
is time, we will introduce such a method later.
It is perhaps easiest to understand this method when it is presented in the
context of a simple example.
1. a. Suppose that our system is
dx/dt = y,
dy/dt = 2x + y.
According to (2),
dx dy
= Aet , = Bet . (3)
dt dt
Substitution into the system of differential equations yields
Aet = Bet ,
Bet = 2Aet + Bet ,
and dividing by et yields
A = B,
B = 2A + B.
Determine which values of allow for nonzero solutions to this homogenous
linear system for (A, B).
b. For each choice of find a corresponding solution to the homogeneous linear
system, thereby obtaining two linearly independent solutions
x = A1 e1 t x = A2 e 2 t
1 t and .
y = B1 e y = B2 e2 t
to (2).
To find the general solution, we now make use of the superposition principle: If
x = x1 (t), x = x2 (t),
and
y = y1 (t) y = y2 (t)
are solutions to the the homogeneous linear system
dx/dt = a11 x + a12 y,
dy/dt = a21 x + a22 y,
then so is the linear superposition
x = c1 x1 (t) + c2 x2 (t),
y = c1 y1 (t) + c2 y2 (t),

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where c1 and c2 are arbitrary constants.
c. Use the superposition principle to find the general solution, involving two
arbitrary constants of integration c1 and c2 , to (2).
d. Suppose that x0 and y0 are given. To find a solution x = x(t), y = y(t) which
satisfies the initial conditions x(0) = x0 , y(0) = y0 , we substitute t = 0 into the
general solution and solve for the constants c1 and c2 . Carry this procedure
out. Note that given any initial point (x0 , y0 ), there is a unique solution curve
to our dynamical system which starts at the point (x0 , y0 ) at the time t = 0.
Step I is often somewhat more complicated to carry out than it was in this
example. Let us consider the general case. Substituting (2) into (1), we obtain

Aet = a11 Aet + a12 Bet ,

Bet = a21 Aet + a22 Bet .

We divide by et ,
A = a11 A + a12 B,
B = a21 A + a22 B,
and simplify to obtain
(a11 )A + a12 B = 0,
(4)
a21 A + (a22 )B = 0.

Given , this is a linear system in two unknowns A and B.

We ask: for which s does (4) have nontrivial solutions? To answer this
question, we multiply the first of equations (4) by a22 and the second by
a12 :
(a11 )(a22 )A +a12 (a22 )B = 0,
a12 a21 A +a12 (a22 )B = 0.
Subtract the second of these from the first to obtain

(a11 )(a22 )A a12 a21 A = 0.

Thus if A 6= 0,
(a11 )(a22 ) a12 a21 = 0. (5)
One readily checks that the same equation must hold if B 6= 0. Thus must
satisfy equation (5) if equation (4) is to have nontrivial solutions.
Equation (5) can be written more simply as
 
 a11 a12 
 = 0.
 a21 a22 

This is known as the characteristic equation, and its roots are called the eigen-
values of the coefficient matrix
 
a11 a12
A= .
a21 a22

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 We can now expand somewhat on our description of Step I: We find the
roots of the characteristic equation
 
 a11 a12 
 = 0,
 a21 a22 

and for each choice of characteristic root, we find a nonzero solution to the
corresponding linear system

(a11 )A + a12 B = 0,
a21 A + (a22 )B = 0.

We will usually have two characteristic roots, and two corresponding solutions

x = A1 e 1 t x = A2 e2 t
1 t and .
y = B1 e y = B2 e2 t

According to the principle of superposition, the general solution is then

x = c1 A1 e1 t + c2 A2 e2 t ,
y = c1 B1 e1 t + c2 B2 e2 t .

2. Use the procedure outlined above to find the general solution to

dx/dt = 3x + 3y,
dy/dt = 5x + y.

B. Complex roots:

The characteristic equation of a linear system

dx/dt = a11 x + a12 y,

dy/dt = a21 x + a22 y.

sometimes has complex roots,
ceding section works just fine,
simple tricks make the case of
the case of real roots.
For example, to carry out
homogeneous linear system,
but the method we have described in the pre-
so long as one uses complex arithmetic. A few
complex roots no more difficult to handle than
the procedure described above for solving the

dx/dt = x + y,
(6)
dy/dt = 2x + 3y,

we need to solve the characteristic equation

 
 1 1 
  = 0.
 2 3 

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or
(1 )(3 ) + 2 = 0, 2 4 + 5 = 0.
We can solve this equation by using
the quadratic formula, or by completing
the square. The result is = 2 1 = 2 i. For each root , we need to
determine the As and Bs that satisfy the linear system
(1 )A + 1B = 0,
2A + (3 )B = 0.
In the case where = 2 + i, this system is
(1 i)A + 1B = 0,
2A + (1 i)B = 0.
Note that if we multiply the first equation by 1 i we get the second equation.
If we set A = 1, then it follows from the first equation that B = 1 + i. We thus
obtain a particular solution to (6):

x = e(2+i)t ,
y = (1 + i)e(2+i)t .
In order to put this solution into a somewhat more manageable form, we
make use of Eulers formula ei = cos + i sin . The solution becomes
x = e2t eit = e2t (cos t + i sin t),
y = (1 + i)e2t eit = (1 + i)e2t (cos t + i sin t),
or equivalently,
x = e2t cos t +ie2t sin t,
(7)
y = e (cos t sin t) +ie2t (cos t + sin t).
2t

This is a complex-valued solution to our system.

3. a. Find a nonzero solution corresponding to the characteristic root = 2 i.
(This should be easyjust change i to i.)
b. Use the superposition principle to show that the real part and the imaginary
part of the solution (7) is also a solution.
c. Use part b to determine the general solution to (6) in real form.

4. a. Find the general solution to the linear system

dx/dt = x + 5y,
dy/dt = x 3y.

b. Find the particular solution which satisfies the initial conditions

x(0) = 1, y(0) = 0.

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C. Phase portraits of linear systems:

We have seen how to find the explicit solutions to the homogeneous linear system

dx/dt = a11 x + a12 y,

dy/dt = a21 x + a22 y.

Let us review the procedure. The first step is to calculate the eigenvalues of the
coefficient matrix  
a11 a12
A= .
a21 a22
Usually there will be two distinct eigenvalues 1 and 2 . For each eigenvalue
i , we find a nonzero solution (Ai , Bi ) to the homogeneous linear system

(a11 i )A + a12 B = 0,
a21 A + (a22 i )B = 0.

The general solution is then

x = c1 A1 e1 t + c2 A2 e2 t ,
(8)
y = c1 B1 e1 t + c2 B2 e2 t .

We next describe how to sketch the phase portrait for the linear system in the
(x, y)-plane, that is a sketch of the paths traversed by the solution curves in the
(x, y)-plane, in the case where the eigenvalues are real. The line which passes
through the origin x = 0, y = 0 and the point x = Ai , y = Bi is called the
eigenspace corresponding to the eigenvalue i we will denote the eigenspace
by Vi .

5. a. Consider the linear system

dx/dt = 2x + 4y,
(9)
dy/dt = 3x 2y.

which can be written in the form

   
dx x 2 4
= Ax, where x= and A = . (10)
dt y 3 2

Show that the eigenvalues of the matrix A are 4 and 4.

b. Find the eigenspaces

V4 = {x R2 : (A 4I)x = 0}, V4 = {x R2 : (A (4)I)x = 0}

c. Choose nonzero eigenvectors

   
A1 A2
V4 and V4 ,
B1 B2

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and write out the general solution
     
x A1 4t A2 4t
= c1 e + c2 e .
y B1 B2

d. Sketch the eigenspaces V4 and V4 in R2 and put arrows along the eigenspaces
to indicate the direction of fluid flow along the eigenspaces. Eliminate the
variable t from x(t) an y(t) and sketch several of the resulting curves relating x
and y, thereby obtaining the phase portrait of the linear system. Is the constant
solution at (0, 0) stable? Why or why not?

6. a. Consider the linear system

dx/dt = x,
(11)
dy/dt = 2x 3y.

which can be written in the form

   
dx x 1 0
= Ax, where x= and A = . (12)
dt y 2 3

Show that the eigenvalues of the matrix A are 1 and 3.

b. Find the eigenspaces

V1 = {x R2 : (A (1)I)x = 0}, V3 = {x R2 : (A (3)I)x = 0}

c. Choose nonzero eigenvectors

   
A1 A2
V1 and V3 ,
B1 B2

and write out the general solution

     
x A1 t A2 3t
= c1 e + c2 e .
y B1 B2

d. Sketch the eigenspaces V1 and V3 in R2 and put arrows along the eigenspaces
to indicate the direction of fluid flow along the eigenspaces. Eliminate the vari-
able t from x(t) an y(t) and sketch several of the resulting curves relating x and
y, thereby obtaining the phase portrait of the linear system. Is the constant
solution at (0, 0) stable? Why or why not?

7. a. Consider the linear system

dx/dt = (x 2),
(13)
dy/dt = 2(x 2) 3(y 3).

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Show that this system has a constant solution at the point (2, 3). Can you
sketch the phase portrait of this linear system?
b. Consider the linear system
dx/dt = x + 7,
(14)
dy/dt = 2x 3y 5.
Find the constant solution to this linear system. Can you sketch its phase
portrait?
8. Mathematical software available on the web can be used to study the qual-
itative behavior of solutions to homogeneous linear systems for various choices
of coefficient matrix. To do this use the software package (PPLANE 2005.10)
available at:
http://math.rice.edu/dfield/dfpp.html
By clicking at a point in the phase plane window, you can have the software
sketch a solution curve which starts at that point. Print out some representative
orbits to include in your notebook for each of the following homogeneous linear
systems:
a. Sketch representative orbits for the linear system
dx/dt = (x 5) (y 2),
dy/dt = 4(x 5) (y 2).
Is the constant solution at (5, 2) stable?
b. Sketch representative orbits for the linear system
dx/dt = (x 1) (y 1),
dy/dt = 3(x 1) + 5(y 1)
Is the constant solution at (1, 1) stable?
c. Sketch representative orbits for the linear system
dx/dt = (x + 1) (y + 2),
dy/dt = 5(x + 1) + 5(y + 2)
s the constant solution at (1, 2) stable?

Remark. A rough idea of the phase portrait to

dx/dt = a11 (x x0 ) + a12 (y y0 ),
dy/dt = a21 (x x0 ) + a22 (y y0 ).
can be inferred from the eigenvalues of the coefficient matrix
 
a11 a12
A= .
a21 a22

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Assuming that the two eigenvalues are distinct and neither is zero, there are
names for the six possible cases:
If the eigenvalues are . . . the point (x0 , y0 ) is a(n) . . .
positive real numbers expanding node.
negative real numbers contracting node.
real numbers with opposite signs saddle point.
complex with positive real part expanding spiral.
complex with negative real part contracting spiral.
purely imaginary center.
Using the mathematical software, you should be able to come up with pictures
for all six cases.

D. Variation of parameters:

Variations of parameters is a general method which enables us to solve the

nonhomogeneous linear system
dx/dt = a11 x + a12 y + f (t),
(15)
dy/dt = a21 x + a22 y + g(t),
once we have found the general solution to the associated homogeneous linear
system
dx/dt = a11 x + a12 y,
dy/dt = a21 x + a22 y.
The idea is simple: Replace the constants of integration c1 and c2 in the general
solution to the associated homogeneous system by variables v1 and v2 , substitute
into (15) and solve for v1 and v2 .
9. a. Find the general solution to the linear system
dx/dt = 2x y,
dy/dt = x 2y.
Your solution should involve two arbitrary constants of integration.
b. Use variation of parameters to find the general solution to the nonhomoge-
neous system
dx/dt = 2x y + e2t sec t,
dy/dt = x 2y.

Homework 4. Due Friday, January 29, 2009.

H.4.1.a. Find the general solution to the linear system
dx/dt = 5x 2y,
dy/dt = 5x y.

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b. Find the particular solution which satisfies the initial conditions

x(0) = 0, y(0) = 1.

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