Ordinary and Partial Differential Equations

Lecture 8. Linear systems of differential equations

Bibliography: Nagle, Snaff, Sieder - ”Fundamentals of DEs and BVPs” (6th ed.) - chapter 9

LINEAR SYSTEMS IN NORMAL FORM

A linear system of differential equations can be written in the normal form

x′ (t) = A(t)x(t) + f (t) (1)

where    
x1 (t) f1 (t)
 x2 (t)   f2 (t)  [ ]
x(t) = 
 ··· 
 f (t) = 
 ··· 
 A(t) = aij(t) i,j=1,n .
xn (t) fn (t)
→ if A is a constant matrix, we say that system (1) has constant coefficients; otherwise, it has
variable coefficients.
→ if f (t) ≡ 0 system (1) is homogeneous; otherwise, it is nonhomogeneous.

Existence and Uniqueness Theorem:

Suppose that A(t) and f (t) are continuous on an open interval I that contains the point t0 . Then, for
[ ]T
any choice of the initial vector x0 = x10 , x20 , ..., xn0 ∈ Rn there exists a unique solution on the whole
interval I to the initial value problem

x′ (t) = A(t)x(t) + f (t) , x(t0 ) = x0 .

Linear dependence and independence of vector functions:

The m vector functions x1 , x2 , ...xm , defined on a real interval I, with values in Rn are linearly
dependent if there exist real constants c1 , c2 , ..., cm , not all zero, such that:

c1 x1 (t) + c2 x2 (t) + ... + cm xm (t) = 0 , ∀ t ∈ I.

Otherwise, the vector functions x1 , x2 , ...xm are called linearly independent.

Wronskian of vector functions:

T
The Wronskian of n vector functions x1 , x2 , ...xn , where xi (t) = [x1,i (t), x2,i (t), ..., xn,i (t)] is the
function  
 x1,1 (t) x1,2 (t) ... x1,n (t) 
 
 x2,1 (t) x2,2 (t) ... x2,n (t) 
 
W [x1 , x2 , ...xn ](t) =  .. .. .. .. 
 . . . . 
 
 xn,1 (t) xn,2 (t) ... xn,n (t) 

THE HOMOGENEOUS CASE

♣ If x1 , x2 , ...xn are solutions on the interval (a, b) of the homogeneous system

x′ (t) = A(t)x(t) (2)

and there exists t0 ∈ (a, b) such that W [x1 , x2 , ...xn ](t0 ) ̸= 0, then every solution of (2) can be expressed
as
x(t) = C1 x1 (t) + C2 x2 (t) + ... + Cn xn (t),
where C1 , C2 , ..., Cn are real constants.
→ The linear combination x(t) = C1 x1 (t) + C2 x2 (t) + ... + Cn xn (t), (with the coefficients C1 , C2 , ..., Cn )
is called general solution of the system (2).

⃝
c 2011/2012 Eva Kaslik - West University of Timişoara, Romania
Fundamental solution set
♣ Let x1 , x2 , ...xn be n solutions on the interval (a, b) of the system (2). The following statements are
equivalent:

(i) The solutions x1 , x2 , ...xn are linearly independent;

(ii) The Wronskian W [x1 , x2 , ...xn ] is non-zero at some point t0 of the interval (a, b);
(iii) The Wronskian W [x1 , x2 , ...xn ] is never zero on the interval (a, b);

When one of the above conditions is met, x1 , x2 , ...xn is called fundamental solution set of the system
(2) and the matrix  
x1,1 (t) x1,2 (t) ... x1,n (t)
 x2,1 (t) x2,2 (t) ... x2,n (t) 
 
X(t) =  .. .. .. .. 
 . . . . 
xn,1 (t) xn,2 (t) ... xn,n (t)
is called fundamental matrix for system (2), which can be used to represent the general solution of
system (2) as
T
x(t) = X(t)c, c = [c1 , c2 , ..., cn ] ∈ Rn .

THE NONHOMOGENEOUS CASE

♣ If xp is a particular solution of the nonhomogeneous system
x′ (t) = A(t)x(t) + f (t) (3)
on the interval I and x1 , x2 , ...xn is a fundamental solution set of the associated homogeneous system,
then every solution of the nonhomogeneous system (3) can be expressed as
x(t) = xp (t) + C1 x1 (t) + C2 x2 (t) + ... + Cn xn (t),
where C1 , C2 , ..., Cn are constants.

HOMOGENEOUS LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS

A homogeneous linear system with constant coefficients is of the form
x′ (t) = Ax(t) (4)
where A is a constant n × n matrix.
Searching for a particular solution of the form x(t) = ert u of the system (4), where r is a constant and
u is a constant vector, we arrive at
(A − rI)u = 0,
where I is the n × n identity matrix. Since we are searching for nontrivial solutions, we obtain that r has
to be an eigenvalue of the matrix A, and u has to be one of its associated eigenvectors. Therefore,
the characteristic equation associated to system (4) is
det(A − rI) = 0.

Finding the fundamental solution set of the homogeneous system (4)

• Find all the distinct eigenvalues of the matrix A.

• For every distinct real eigenvalue r, compute the associated eigenvector u. The vector function ert u
is a fundamental solution;
• For every distinct pair of complex conjugate eigenvalues (r, r), r = α + iβ, compute the associated
eigenvectors u = a + ib and ū = a − ib. The vector functions functions
eαt cos βt a − eαt sin βt b
eαt sin βt a + eαt cos βt b
are fundamental solutions.

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NONHOMOGENEOUS LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
A nonhomogeneous linear system of differential equations with constant coefficients is of the
form
x′ (t) = Ax(t) + f (t) (5)
where A is a constant n × n matrix and f is vector function with n entries.
♣ A particular solution xp of (5) may be found by the method Variation of Parameters.
Indeed, if we know a fundamental solution set for the associated homogeneous system x′ (t) = Ax(t),
meaning that we know the fundamental matrix X(t) of the homogeneous system, we can search for a
particular solution xp of the nonhomogeneous system (5) of the form
xp (t) = X(t)v(t)
T
where v(t) = [v1 (t), v2 (t), ..., vn (t)] is to be determined.
If we replace xp of this form in the system (5), we obtain:
X′ (t)v(t) + X(t)v′ (t) = AX(t)v(t) + f (t)
and taking to account that X′ (t) = AX(t) (fundamental matrix) we have:
∫
X(t)v′ (t) = f (t) ⇒ v′ (t) = X−1 (t)f (t) ⇒ v(t) = X−1 (t)f (t)dt,

and so, the particular solution can be written as

∫
xp (t) = X(t) X−1 (t)f (t)dt.

Therefore, the general solution of the nonhomogeneous system (5) is:

∫
x(t) = X(t)c + X(t) X−1 (t)f (t)dt, where c ∈ Rn .

THE MATRIX EXPONENTIAL FUNCTION

If A is a constant n × n matrix, we define the matrix exponential function eAt as the (matrix-valued)
series
t2 tn
eAt = I + tA + A2 + ... + An + ...
2! n!
Properties of the matrix exponential function:
Let A, B be n × n constant matrices, and r, s, t real or complex numbers. Then:

• eA0 = I;
• eA(t+s) = eAt eAs ;
• (eAt )−1 = e−At ;
• e(A+B)t = eAt eBt provided that AB = BA;
• erIt = ert I;
d At
• (e ) = AeAt , so eAt is a solution to the matrix differential equation X′ = AX, and hence
dt
eAt is a fundamental matrix of the homogeneous system with constant coefficients x′ (t) = Ax(t).

♣ The general solution of the system x′ (t) = Ax(t) is x(t) = eAt c, where c ∈ Rn .
Generalized eigenvector:
Let A be a square matrix. A nonzero vector u which satisfies
(A − rI)m u = 0
for some scalar r and some positive integer m, is called generalized eigenvector associated to the
eigenvalue r.

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Solving the linear homogeneous system x′ = Ax:

• find all the distinct eigenvalues r1 , r2 , ..., rk of A and their algebraic multiplicities m1 , m2 , ..., mk ;

• for each eigenvalue ri find mi linearly independent generalized eigenvectors by solving

(A − ri I)mi u = 0;

• Find n linearly independent solutions by computing, for each eigenvalue ri and each of the
corresponding mi generalized eigenvectors
[ ]
t2
x(t) = e u = e u + t(A − ri I)u + (A − ri I) u + ...
At rt 2
2!

This series terminates after mi or fewer terms.