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PART

Ordinary Differential
Equations (ODEs)

Part A p1

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

CHAPTER

Systems of ODEs.

Phase Plane.
Qualitative Methods
Chapter 4 p2

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4 Systems of ODEs. Phase Plane. Qualitative Methods

In Sec. 4.3 we introduce a totally different way of looking at


systems of ODEs. The method consists of examining the
general behavior of whole families of solutions of ODEs in
the phase plane, and is called the phase plane method.
It gives information on the stability of solutions. (Stability of
a physical system is desirable and means roughly that a small
change at some instant causes only a small change in the
behavior of the system at later times.) This approach to
systems of ODEs is a qualitative method because it
depends only on the nature of the ODEs and does not
require the actual solutions. This can be very useful because
it is often difficult or even impossible to solve systems of
ODEs. In contrast, the approach of actually solving a system
is known as a quantitative method.
Chapter 4 p3

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0

For Reference: Basics


of Matrices and Vectors

Section 4.0 p4

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Most of our linear systems will consist of two linear ODEs


in two unknown functions y1(t), y2(t),
(1) y1 = a11y1 + a12y2,
y1 = 5y1 + 2y2
for example,
y2 = a21y1 + a22y2,
y2 = 13y1 + y2
(perhaps with additional given functions g1(t), g2(t) on the
right in the two ODEs).
Similarly, a linear system of n first-order ODEs in n
unknown functions y1(t), , yn(t) is of the form
y1 = a11y1 + a12y2 + + a1nyn
(2)
y2 = a21y1 + a22y2 + + a2nyn
.........................
yn = an1y1 + an2y2 + + annyn
(perhaps with an additional given function on the right in
each ODE).
Section 4.0 p5

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Some Definitions and Terms


Matrices. In (1) the (constant or variable) coefficients form a
2 x 2 matrix A, that is, an array
(3)

A a jk

a11 a12

,

a 21 a 22

fo r e x a m p le ,

5 2

A
1 .
1 3

Similarly, the coefficients in (2) form an n x n matrix

(4)

a11 a12

a 21 a 22

A a jk

an1 an 2

a1n

a2n
.

ann

The a11, a12, are called entries, the horizontal lines rows,
and the vertical lines columns.
Section 4.0 p6

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Some Definitions and Terms (continued)


Vectors. A column vector x with n components x1, , xn is
of the form
x1

x2

,
x


xn

th u s if n 2 ,

x1
x
x2

Similarly, a row vector v is of the form


v v 1

Section 4.0 p7

v n ,

th u s if n 2 ,

v v 1 v 2 .

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Calculations with Matrices and Vectors


Equality. Two n x n matrices are equal if and only if
corresponding entries are equal. Thus for n = 2, let
a11 a12
A

a
a
21
22

and

b11 b12
B
b 21 b 22

Then A = B if and only if


a11 = b11,
a12 = b12
a21 = b21,
a22 = b22.
Two column vectors (or two row vectors) are equal if and
only if they both have n components and corresponding
components are equal.

Section 4.0 p8

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Calculations with Matrices and Vectors (continued)


Equality. (continued)
Thus, let
v1
v
v2
Then

and

x1
x
x2

v x if a n d o n ly if v 1 x 1
v2 x2.

Section 4.0 p9

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Calculations with Matrices and Vectors (continued)


Addition is performed by adding corresponding entries (or
components); here, matrices must both be n x n, and vectors
must both have the same number of components.
Thus for n = 2,
(5)

a11 b11
A B
a 21 b 21

Section 4.0 p10

a12 b12
,
a 22 b 22

v1 x1
v x
.
v2 x2

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Calculations with Matrices and Vectors (continued)


Matrix Multiplication. The product C = AB (in this order)
of two n x n matrices A = [ajk] and B = [bjk]
is the n x n matrix C = [cjk] with entries
j = 1, , n
n
c jk a jm b m k
(6)
m 1
k = 1, , n.
that is, multiply each entry in the jth row of A by the
corresponding entry in the kth column of B and then add
these n products. One says briefly that this is a
multiplication of rows into columns.

Section 4.0 p11

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Calculations with Matrices and Vectors (continued)


Matrix Multiplication. (continued)
For example,
9

4
9 1 3 2

5
2 1 0 2
15

2

9 (4) 3 5
,
( 2) (4) 0 5

21
.
8

CAUTION! Matrix multiplication is not commutative,


AB BA in general.

Section 4.0 p12

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Systems of ODEs as Vector Equations


Differentiation. The derivative of a matrix (or vector) with
variable entries (or components) is obtained by
differentiating each entry (or component). Thus, if
2 t

y1 (t )
y (t )
,

y 2 (t )
s in t

th e n

2 t
2e

y 1 ( t )
y ( t )
.

y 2 ( t )
cos t

Using matrix multiplication and differentiation, we can


now write (1) as
(7)

y 1
a11 a12 y 1
y
Ay

,
y 2
a 21 a 22 y 2

Section 4.0 p13

e .g .,

5 2
y1

y
1
.
1 3
y2

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Some Further Operations and Terms


Transposition is the operation of writing columns as rows
and conversely and is indicated by T. Thus the transpose AT
of the 2 x 2 matrix
5 2
a11 a12

A
1

1 3

a 21 a 22

is

5 13
a11 a 21


1 .

2

a12 a 22

The transpose of a column vector, say,


v1
v
v2

is a ro w v e c to r,

v 1 v 2 ,

and conversely.

Section 4.0 p14

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Some Further Operations and Terms (continued)


Inverse of a Matrix. The n x n unit matrix I is the n x n
matrix with main diagonal 1, 1, , 1 and all other entries
zero. If, for a given n x n matrix A, there is an n x n matrix B
such that AB = BA = I, then A is called nonsingular and B is
called the inverse of A and is denoted by A1; thus
(8)

AA1 = A1A = I.

The inverse exists if the determinant det A of A is not zero.

Section 4.0 p15

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Some Further Operations and Terms (continued)


Inverse of a Matrix. (continued)
If A has no inverse, it is called singular. For n = 2,
(9)

a 22 a12

,
d e t A a 21 a11
1

where the determinant of A is


(10)

det A

a11 a12
a 21 a 22

Section 4.0 p16

a11 a 22 a12 a 21 .

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

The following properties hold for an invertible matrix A:


(A1)1 = A;
(kA)1 = k1A1 for nonzero scalar k;
(AT)1 = (A1)T;
For any invertible n-by-n matrices A and B,
(AB)1 = B1A1.
if A1,...,Ak are invertible n-by-n matrices, then
(A1A2Ak1Ak)1 = Ak1Ak11A21A11;
det(A1) = det(A)1.

If [A} is an invertible matrix, then


[A]-1 = 1/det(A) * adj(A)
det(A) : Determinant of matrix A
Adj(A) : Adjugate t of matrix A

17

18

Then the adj(A) is the transpose of the cofactor matrix [C],


since [C} is symmetrical matrix (in this example only) then
[C]T = [C]

3
T

adj ( A ) C 6

6
12
6

3
19

If [A] is square matrix (n x n), then its determinant is defined as

20

21

22

LxM
NxL

NxM

To multiply matrices the


number of rows in X
should equal number of
Columns of Y
23

The trace of a matrix is the sum of the elements on its


principal diagonal. It is designated as
tr [A] and is computed as

24

Transpose of a matrix involves transforming its columns into


rows and its rows into columns. For example, for the 4 4 matrix

25

Although multiplication is possible, matrix division is not defined


operation.
if a matrix [A] is square and nonsingular, there is another matrix
[A]1, called the inverse of [A], for which
[A][A]1 = [A]1[A] = [I] ( identity matrix)
Thus, the multiplication of a matrix by the inverse is analogous to
division, in the sense that a number divided by itself is equal to 1.
That is, multiplication of a matrix by its inverse leads to the identity
matrix

26

i< j

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


27
Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Some Further Operations and Terms (continued)


Linear Independence. r given vectors v(1), , v(r), with n
components are called a linearly independent set or, more
briefly, linearly independent, if
(11)
c1 v(1) + + crv(r) = 0
implies that all scalars c1, , cr must be zero; here, 0
denotes the zero vector, whose n components are all zero.
If (11) also holds for scalars not all zero (so that at least one
of these scalars is not zero), then these vectors are called a
linearly dependent set or, briefly, linearly dependent, because
then at least one of them can be expressed as a linear
combination of the others; that is, if, for instance, c1 0 in
(11), then we can obtain
v

(1)

1
c1

Section 4.0 p28

(c2v

(2)

crv

(r)

).

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

To check for vector linear independency,


1) sort all vector in a matrix
2) Find the rank of the matrix, where matrix rank is the largest sup
matrix that has non zero determinant.
3) The number of dependent vectors equal to
matrix size the rank of the matrix
Example:
X1=[ 1 4 7], X2= [2 5 8],
X3=[3 6 9]
X3 = -1*X1+2*X2, so X3 is linearly dependent on X1 and X2
and we have only 2 independent vectors, which are X1 and X2,
using matrix rank method

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.0 For Reference: Basics of Matrices and Vectors

Eigenvalues, Eigenvectors
Let A = [ajk] be an n x n matrix. Consider the equation
(12)
Ax = x
where is a scalar (a real or complex number) to be
determined and x is a vector to be determined. Now, for
every , a solution is x = 0. A scalar such that (12) holds
for some vector x 0 is called an eigenvalue of A (value of
that make the determinant of A equal to zero) , and this vector
is called an eigenvector of A corresponding to this
eigenvalue .
We can write (12) as Ax x = 0 or
(13)
(A I)x = 0
: can be, real distinct roots, repeated roots, complex roots
Section 4.0 p30

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Eigenvalue Problem (real distinct roots)


Find the eigenvalues and eigenvectors of the matrix

The characteristic equation is the quadratic equation

It has the solutions 1 = -2 and 2 = -0.8 . These are the


eigenvalues of A. Eigenvectors are obtained from .

These equation are linearly dependent equations, therefor


the ratio between X1/X2 can be found only
Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

A solution of the first equation is X1 = 2, X2 =1. This also


satisfies the second equation. (Why?) Hence an
eigenvector of A corresponding to 1 = -2 is X(1) and
corresponding to 2 = -0.8 is X(2)

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.1

Systems of ODEs as Models


in Engineering Applications

Section 4.1 p33

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Systems of ODEs are of practical importance


Systems of ODEs can serve as models in
various applications.
Higher order ODE (with the highest derivative
standing alone on one side) can be reduced to a
first-order system.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

E X A M P L E 1 Mixing Problem Involving Two Tanks


(real distinct roots)
A mixing problem involving a single tank is modeled by a single ODE,
The model will be a system of two first-order ODEs. Tank T1 and T2 in
the Fig. contain initially 100 gal of water each. In T1 the water is pure,
whereas 150 lb of fertilizer are dissolved in T2 . By circulating liquid at
a rate of 2 gal/min and stirring (to keep the mixture uniform)
the amounts of fertilizer y1 in T1 and y2 in T2 change with time t. How
long should we let the liquid circulate so that will contain at least half
as much fertilizer as there will be left in T2?

y : rate of change in fertilizer amount


at any time, which is equal to
inflow outflow of fertilizer

y :fertilizer amount at any time


Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

Inflow/ min = 2 gal/min * (y2 lb)/(100 gal) =2/100 y2 lb/min


Outflow/ min = 2 gal/min * (y1 lb)/(100 gal) =2/100 y1 lb/min

y 1 0 . 02

y 2 0 . 02

0 . 02 y 1

0 . 02 y 2

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

1 = 0.0 and 2 = -0.04


The corresponding eigenvectors will be
(-0.02 - ) x1 + 0.02 x2 = 0.0

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

we have linear system so the superposition principle is applicable

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

y1

1
2

y2

0 . 04 t

t 27 . 5 s

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Repeated Eigenvalues
In this case: x1 = e1t v1 is the unique normal mode. However, a
second order system needs two independent solutions. If we
multiplied the normal solution by t only (as in the case of single
degree of freedom system), it turns out this doesnt quite work.
Recall that in the method of order reduction (Basis method) a
second independent solution is given by (X1t + C1 ) so let
x2 = e1t (tv1 + v2).
where v2 is any constant vector satisfying
(A 1 I) v2 = v1.
(check by substitution) this does give a solution, remember that [A]
v1 = 1v1
Fact. The equation for v2 is guaranteed to have a solution, provided
that the eigenvalues 1 = 2 . When solving for v2 =(b1, b2)T, try
setting b1 = 0, and solving for b2. If that does not work, try setting
b2 = 0 and solving for b1.
Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Complex Eigenvalues
In this case:

1 = a + bi,

2 = a - bi

x1 = e1t L1 , x2 = e2t L2
Are linearly independent normal modes.
However,
L1 and L2 are compels congregate vectors

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.1 Systems of ODEs as Models in Engineering Applications

Conversion of an nth-Order ODE to a System


An nth-order ODE of the general form (8) (see Theorem 1)
can be converted to a system of n first-order ODEs. This
is practically and theoretically important
practically because it permits the study and solution of
single ODEs by methods for systems,
and theoretically because it opens a way of including the
theory of higher order ODEs into that of first-order
systems.
This conversion is another reason for the importance of
systems, in addition to their use as models in various
basic applications. The idea of the conversion is simple
and straightforward, as follows.
Section4.1 p44

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.1 Systems of ODEs as Models in Engineering Applications

Theorem 1
Conversion of an ODE
An nth-order ODE
(8)
y(n) = F(t, y, y, , y(n1))
can be converted to a system of n first-order ODEs by setting
(9) y1 = y,
y2 = y,
y3 = y, ,
yn = y(n1).
This system is of the form
y 1 y 2
y 2 y 3

(10)
y n 1 y n
y n F ( t , y 1 , y 2 ,
Section4.1 p45

, yn)
Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Simple method to reduce 2nd order system of ODE

M nxn Ynx 1 C Y K Y g ( t )
add new system

as

K nxn Y nx 1 K nxn Y nx 1 0
then
M

arange

the

two

systems

as

0 Y C K Y g ( t )

K Y K 0 Y 0

[ K ] has

non zero

the new system

A X B X
the system

elements

var iabels

h ( t )

in its diagonal
cna be renamed

pre multiply

will be reduced

by A

as
1

to

X A B X A h ( t )
1

you can do this

manpulatio

n for any order


Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2

Section 4.2 p48

Basic Theory of Systems


of ODEs. Wronskian

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

The first-order systems in the last section were special cases


of the more general system

(1)

y 1 f 1 ( t , y 1 ,

, yn )

y 2 f 2 ( t , y 1 ,

, yn )

y n f n ( t , y 1 ,

, y n ).

We can write the system (1) as a vector equation by


introducing the column vectors y = [ y1 yn]T and
f = [ f1 fn]T (where T means transposition and saves us the
space that would be needed for writing y and f as columns).
This gives
(1)
y = f(t, y).

Section4.2 p49

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

A solution of (1) on some interval a < t < b is a set of n


differentiable functions
y1 = h1(t), , yn = hn(t)
on a < t < b that satisfy (1) throughout this interval. In vector
form, introducing the solution vector h = [h1 hn]T (a
column vector!) we can write
y = h(t).
An initial value problem for (1) consists of (1) and n given
initial conditions
(2)
y1(t0) = K1, y2(t0) = K2,
,
yn(t0) = Kn,
in vector form, y(t0) = K, where t0 is a specified value of t in
the interval considered and the components of
K = [K1 Kn]T are given numbers.
Section4.2 p50

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

Linear Systems
Extending the notion of a linear ODE, we call (1) a linear
system if it is linear in y1, , yn; that is, if it can be written
(3)

y 1 a 1 1 ( t ) y 1

a1n (t ) y n g 1 (t )

y 1 a n 1 ( t ) y 1

ann (t ) y n g n (t )

Section 4.2 p51

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

Linear Systems (continued)


As a vector equation this becomes
(3)
y = Ay + g

where

a11

a n 1

a1n

a n n

y1

y
,

y n

g1

g
.

g n

This system is called homogeneous if g = 0, so that it is

(4)

y = Ay.

If g 0, then (3) is called nonhomogeneous.

Section 4.2 p52

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

Theorem 3
Superposition Principle or Linearity Principle
If y(1) and y(2) are solutions of the homogeneous linear
system (4) on some interval, so is any linear combination
y = c1y(1) + c1y(2).

Section4.2 p53

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

Basis. General Solution. Wronskian


By a basis or a fundamental system of solutions of the
homogeneous system (4) on some interval J we mean a
linearly independent set of n solutions y(1), , y(n) of (4) on
that interval. (We write J because we need I to denote the
unit matrix.) We call a corresponding linear combination
(5)
y = c1y(1) + + cny(n)
(c1, , cn arbitrary)
We can write n solutions y(1), , y(n) of
y = Ay.
on some interval J as columns of an n x n matrix
(6)
Y = [y(1) y(n)].
Section 4.2 p54

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.2 Basic Theory of Systems of ODEs. Wronskian

Basis. General Solution. Wronskian (continued)


The determinant of Y is called the Wronskian
of y(1), , y(n), written
y1

(7)

W (y

(1)

,y

(n)

y2

yn

(1)

(1)

(1)

y1

(2)

y2

yn

(2)

(2)

y1

(n)

y2

yn

(n)

(n)

The columns are these solutions, each in terms of


components. These solutions form a basis on J if and only if
W is not zero at any t1in this interval.

Section 4.2 p55

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

On the right, the exponential function is never zero, and the


determinant is not zero because its columns are the n
linearly independent eigenvectors.
Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

4.4 Criteria for Critical Points. Stability

Stability
Critical points may also be classified in terms of their
stability. Stability concepts are basic in engineering and
other applications. They are suggested by physics, where
stability means, roughly speaking, that a small change

(a small disturbance) of a physical system at some


instant changes the behavior of the system only
slightly at all future times t. For critical points, the
following concepts are appropriate.

Section 4.4 p57

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

The Phase Plane: Linear Systems


There are many differential equations, especially nonlinear
ones, that are not subject to analytical solution in any
reasonably convenient manner.
Numerical methods provide one means of dealing with these
equations.
Another approach, presented in this chapter, is geometrical in
character and leads to a qualitative understanding of the
solutions rather than to detailed quantitative information.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Solutions of Second Order Linear Systems


Consider a second order linear homogeneous system with
constant coefficients of the form x' = Ax, where A is a 2 x 2
constant matrix and x is a 2 x 1 vector.
If we assume x = ert, then x is a solution of x' = Ax provided that r is
an eigenvalue and is an eigenvector of the coefficient matrix A.
The eigenvalues are the roots of the polynomial equation
det(A-rI) = 0, and the eigenvectors are determined up to an
arbitrary constant from the equation (A-rI) = 0.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Equilibrium Solution, Phase Portrait


Solutions x for which Ax = 0 correspond to equilibrium
solutions, and are called critical points.
We assume A is nonsingular, or detA 0, and hence x = 0 is
the only critical point for the system x' = Ax.
A solution of x' = Ax is a vector function x = (t) that satisfies
the differential equation, and can be viewed as a parametric
representation for a curve in the x1 x2-plane.

This curve can be regarded as a trajectory traversed by a moving


particle whose velocity dx/dt is specified by the differential equation.
The x1x2-plane is called the phase plane, and a representative
set of trajectories is a phase portrait.
Advanced Engineering Mathematics, 10/e by Edwin Kreyszig
Copyright 2011 by John Wiley & Sons. All rights reserved.

Characterizing Equation by Trajectory Pattern


In analyzing the system x' = Ax, we must consider several
cases, depending on the nature of the eigenvalues of A.
Now our main goal is to characterize the differential equation
according to the geometric pattern formed by its trajectories.
In each case we discuss the behavior of the trajectories in
general an illustrate it with an example.
It is important to become familiar with the types of behavior
that the trajectories have for each case, as they are the basic
ingredients of the qualitative theory of differential equations.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Case 1: Real Unequal Eigenvalues of the Same Sign


When the eigenvalues r1 and r2 are both positive or both negative,
the general solution for x' = Ax is

Suppose first that r1 < r2 < 0, and that the eigenvectors (1)
and (2) are as shown below.
(1) = (2)
AND
(1) = - (2)
It follows that x 0 as t
-ve rs
for all solutions x, regardless of
the values of c1 and c2.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Case 1: Nodal Sink


If the solution starts at an initial point on the line through (1), then c2 = 0
and the solution remains on this line for all t. Similarly if the initial point
is on the line through (2). The solution can be rewritten as

Since r1 - r2 < 0, for c2 0 the


term c1(1)e(r1 - r2)t is negligible
compared to c2 (2), for large t.
Thus all solutions are tangent
to (2) at the critical point
x = 0 except for solutions that
start exactly on the line
through (1). This type of
critical point is called a node
or nodal sink.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Case 1: Nodal Source (+ve rs)


The phase portrait along with several graphs of x1 versus t are given
below. The behavior of x2 versus t is similar. If 0 < r2 < r1, then the
trajectories will have the same pattern as in figure (a) below, but the
direction will be away from the critical point at the origin. In this
case the critical point is again called a node or a nodal source.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.6

Nonhomogeneous
Linear Systems of ODEs

Section 4.6 p65

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.6 Nonhomogeneous Linear Systems of ODEs

In this section, the last one of Chap. 4, we discuss methods


for solving nonhomogeneous linear systems of ODEs
(1)
y = Ay + g
(see Sec. 4.2)
where the vector g(t) is not identically zero. We assume g(t)
and the entries of the n x n matrix A(t) to be continuous on
some interval J of the t-axis. From a general solution y(h)(t)
of the homogeneous system y = Ay on J and a particular
solution y(p)(t) of (1) on J [i.e., a solution of (1) containing no
arbitrary constants], we get a solution of (1),
(2)
y = y(h) + y(p).
y is called a general solution of (1) on J because it includes
every solution of (1) on J.

Section 4.6 p66

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.6 Nonhomogeneous Linear Systems of ODEs

Method of Undetermined Coefficients


Just as for a single ODE, this method is suitable if the
entries of A are constants and the components of g are
constants, positive integer powers of t, exponential
functions, or cosines and sines. In such a case, a particular
solution y(p) is assumed in a form similar to g; for instance,
y(p) = u + vt + wt2 if g has components quadratic in t,
with u, v, w to be determined by substitution into (1). This
is similar to Sec. 2.7,

except for the Modification Rule.

Section 4.6 p67

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

4.6 Nonhomogeneous Linear Systems of ODEs

Method of Variation of Parameters


This method can be applied to nonhomogeneous linear
systems
(6)
y = A(t)y + g(t)
with variable A = A(t) and general g(t). It yields a particular
solution y(p) of (6) on some open interval J on the t-axis if a
general solution of the homogeneous system y = A(t)y on J
is known.

Section 4.6 p71

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

Advanced Engineering Mathematics, 10/e by Edwin Kreyszig


Copyright 2011 by John Wiley & Sons. All rights reserved.

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