Eigenvalue Problem of Ordinary

Differential Equations (ODEs)

Engr. Dr. Mrs. Ijeoma O. Ndu
Department of Electronic Engineering
April, 2019
 Introduction to ODEs
• ODEs tell us how a function changes over time.

• First order equations deals with the first derivative of a function

(the slope), that is, how the function is changing over time.

• Second order equations deal with the second derivative of the

function that tells how the function bends, and is expressed in
terms of acceleration, the second newton law.
 Ordinary Differential Equations (1)
• An ordinary differential equation (ODE) is an equation that involves
some ordinary derivatives (as opposed to partial derivatives) of a
function.
• Often, the goal of solving an ODE is to determine what function or
functions satisfy the equation.
• Given the derivative of a function, the function itself can be obtained by
finding the antiderivative, i.e., by integration.
• For example, if you are given:
 Ordinary Differential Equations (2)
• The function corresponds to the antiderivative of which is
equal to sin Therefore, = sin .
• However, there is always an arbitrary constant that we cannot
determine if we only know the derivative. Therefore, all we can
determine from the above equation is that :
; for some arbitrary constant .
• In general, solving an ODE is more complicated than simple integration.
Even so, the basic principle is always integration, as we need to go from
derivative to function.
• Usually, the difficult part is determining what integration we need to do.
 A Simple ODE (1)
• Let 𝑥(𝑡) be a function of 𝑡 that satisfies the ODE:
= 0. (1)
• We can ask some simple questions. What is 𝑥(𝑡)? Is 𝑥(𝑡) uniquely determined from this equation? If
not, what else do you need to specify?

• Equation (1) just means that 𝒙(𝒕) is a constant function, 𝒙(𝒕) = 𝑪. It is certainly not uniquely
determined, as there is no way to specify the constant C if we only have equations for the derivatives of
𝑥. In order to uniquely determine 𝑥(𝑡), one must provide some additional data in terms of the function
𝑥(𝑡) itself.

• We could for example, specify that 𝑥(𝑡) must be equal to 31 when 𝑡 = 11, adding the condition 𝑥(11) =
31.

• Then we know 𝐶 = 31 and the function is 𝑥(𝑡) = 31 for all 𝑡. We frequently think of the variable 𝑡 as
representing time and refer to a condition such as 𝑥(11) = 31 as an initial condition.
 A Simple ODE (2)
• Let's write the initial condition more generally as :
,
• where is some given time and is some given number. It's as
though we initialize the system to be equal to the number at the
time .
• However, this “initial condition” also determines for early
times. As you can see from the solution for all time ,
this condition specifies the state of the system for times before and
after .
 Methods of Solution for ODEs

• Eigen Value Problem

• Numerical approximation methods such as:
• Euler
• Taylor
 Eigenvalues and Eigenvectors (1)
• The central equation for eigen values and eigen vectors is given as:
where,
• the non-zero vector is an eigenvector if there is a number such
that
• the scalar value is called the eigenvalue.
• The equation is always true for any when is a zero vector
for any .
• Hence an eigenvector must be a non-zero vector, and an
eigenvalue must correspond to a non-zero vector.
• However, the eigenvalue can be any real or complex number,
including 0.
 Eigenvalues and Eigenvectors (2)
• What does the central equation mean?
• It says that we are looking for a vector , such that and point in the
same direction; but the length can change, and is scaled by .

• Note that the central equation is not true for most vectors.

• Typically does not point in the same direction as .

• Hence, the need to find the eigen vector(s) and the corresponding
eigenvalues that satisfy the required conditions.
 General Method for Finding Eigenvalues (1)
Eigen Value Problem: Find in the equation .
Rewriting the equation gives:

• If is non-zero, the above equation will only have a solution if

• is a singular matrix, and singular matrices have a determinant of .
• To find , we solve the expression:
• The beauty of this equation is that is completely out of the picture so only
one unknown can be solved for.
General Method for Finding Eigenvalues (2)
Consider a general by matrix :

The determinant is a polynomial in :

det

𝒕𝒓 (𝑨) det(𝑨)
 General Method for Finding Eigenvalues (3)
• This polynomial is called the characteristic polynomial which encodes a
lot of important information about the system being studied.

• The determinant is a polynomial in of degree 2. If A was a 3 by 3

matrix, a polynomial of degree 3 in would be obtained.

• In general, an by matrix would have a corresponding th degree

polynomial.

• Definition:
• The characteristic polynomial of an by matrix is the th degree
polynomial det
 General Method for Finding Eigenvalues (4)
 The roots of the characteristic polynomial are the eigenvalues of .
 The constant term (the coefficient of ) is the determinant of .
 The coefficient of term is the trace of .
 The other coefficients of this polynomial are more complicated
invariants of the matrix .

• Note that it is not easy to try to solve polynomial equations by hand if

the degree is larger than 2. Enlisting some computer help is
recommended for higher order polynomials.
• However, the fundamental theorem of arithmetic tells us that this
polynomial always has roots. These roots can be real or complex.
 Computing Eigenvalues : Example 1
• Given that : to obtain the eigenvalues of matrix .

• We need to solve for in the equation: .

det .

• The characteristic polynomial is obtained as :

+ 6 = 0.
 Computing Eigenvalues : Example 1 (cont.)
• To obtain the values of , we solve + 6 using the quadratic
formula:

where: , and .

• The solution gives and

Check: + ; .
 Computing Eigenvalues: Example 2
• Given the by matrix to obtain the eigenvalues .
• Similarly, we solve for in the equation: .

det .

• The characteristic polynomial is obtained as :

+ 12.
 Computing Eigenvalues: Example 2 (cont.)
• To obtain the values of , we solve + 12 using the quadratic
formula:

where: , and .

The solution gives and

Check: + .
 Class Work
Obtain the characteristic polynomial and compute the eigenvalues of the following 𝑨 matrices:

7 3
1. 𝐴 =
3 −1

3 −2
2. 𝐴 =
6 −4

0 1
3. 𝐴 =
−2 −3

Solution:
1. 𝜆 − 6𝜆 − 16; 𝜆 = 8 and 𝜆 = −2.
2. 𝜆 + 𝜆; 𝜆 = 0 and 𝜆 = −1.
3. 𝜆 + 3𝜆 + 2; 𝜆 = −1 and 𝜆 = −2
 Computing Eigenvectors : Example 1 (1)
 Find the eigenvalue and eigenvectors of the 2 x 2 Matrix :
.
 The characteristic equation is obtained as:

+ 2.

• Solving for in the characteristic equation yields:

and
 Computing Eigenvectors : Example 1 (2)
• Next is to find the two eigenvectors associated with the
eigenvalues.
• To find and we substitute for and in the
central equation separately.

• Hence, we need to solve for and in the two equations below:

 Computing Eigenvectors : Example 1 (3)
• To find 𝑥 :
𝐴 − 𝜆 .𝑥 = 0

0−𝜆 1 −𝜆 1
𝐴−𝜆 = =
−2 −3 − 𝜆 −2 −3 − 𝜆

Substituting for λ = −1 :

−𝜆 1 −(−1) 1
=
−2 −3 − 𝜆 −2 −3 − (−1)

1 1
𝐴 − 𝜆 .𝑥 = .𝑥 =0
−2 −2
1 1 𝑥
= 0.
−2 −2 𝑥
 Computing Eigenvectors : Example 1 (4)
 From the top row of the equations, we obtain:
, so that

 Using the second row of equation also yields the same results as before:
, so that

 This means that the first eigenvector is any 2 element column vector in
which the two elements have equal magnitude and opposite sign.
 Therefore, where is an arbitrary constant.
 Computing Eigenvectors : Example 1 (5)
 Going through the same procedure using the second eigenvalue to obtain 𝑥 :
𝐴 − 𝜆 .𝑥 = 0

0−𝜆 1 −𝜆 1
𝐴−𝜆 = =
−2 −3 − 𝜆 −2 −3 − 𝜆

 Substituting for λ = −2 :

−𝜆 1 −(−2) 1
=
−2 −3 − 𝜆 −2 −3 − (−2)

2 1
𝐴 − 𝜆 .𝑥 = .𝑥 =0
−2 −1
2 1 𝑥
= 0.
−2 −1 𝑥
 Computing Eigenvectors : Example 1 (6)
 From the top row of the equations, we obtain:
, so that

 Using the second row of equation also yields the same results as before:
, so that

Therefore, where is an arbitrary constant.

 Again, the choice of +1 and -2 for the eigenvector was arbitrary; only
their ratio is important.
 Alternative Method for
• Uses row reduction technique

• for :

• in reduced echelon form, we obtain:

Perform row reduction operation:

 Alternative Method for (cont.)

Using the non zero row expression gives:

Therefore,

Note that the ratio of the eigenvector variables are the same irrespective of the
computation method.
 Alternative Method for (cont.)

• Therefore, the eigenvector associated with is :

• Check:

. =

= .
 Alternative Method for
• Using row reduction technique :

In reduced echelon form:

Perform row reduction operation:

 Alternative Method for (cont.)

Solving for the non-zero row:

If then
Therefore, the eigenvector associated with is : .
 Alternative Method for (cont.)
 Check:

. =

= .

• Therefore: is satisfied
 Computing Eigenvectors : Example 2 (1)
 Find the eigenvalue and eigenvectors of the 2 x 2 Matrix :
.
 The characteristic equation is obtained as:

• Solving for in the characteristic equation yields:

and
 Computing Eigenvectors : Example 2 (2)
• To find 𝑥 :
𝐴 − 𝜆 .𝑥 = 0

7−𝜆 3
𝐴−𝜆 =
3 −1 − 𝜆

Substituting for λ = 8 :

7−𝜆 3 7−8 3
=
3 −1 − 𝜆 3 −1 − 8

−1 3
𝐴 − 𝜆 .𝑥 = .𝑥 =0
3 −9
−1 3 𝑥
= 0.
3 −9 𝑥
 Computing Eigenvectors : Example 2 (3)
 From the top row of the equations, we obtain:
, so that

 Using the second row of equation also yields the same results as before:
, so that

Therefore, where is an arbitrary constant.

 Again, the choice of 3 and 1 for the eigenvector was arbitrary; only their
ratio is important.
 Computing Eigenvectors : Example 2 (4)
 Going through the same procedure for the second eigenvalue:
𝐴 − 𝜆 .𝑥 = 0

0−𝜆 1 −𝜆 1
𝐴−𝜆 = =
−2 −3 − 𝜆 −2 −3 − 𝜆

 Substituting for λ = −2 :

7−𝜆 3 7 − (−2) 3
=
3 −1 − 𝜆 3 −1 − (−2)

9 3
𝐴 − 𝜆 .𝑥 = .𝑥 =0
3 1
9 3 𝑥
. = 0.
3 1 𝑥
 Computing Eigenvectors : Example 2 (5)
 From the top row of the equations, we obtain:
, so that

 Using the second row of equation also yields the same results as before:
, so that

Therefore, where is an arbitrary constant.

 Again, the choice of and for the eigenvector was
arbitrary; only their ratio is important.
 Class Work

• Find the eigenvalues and eigenvectors of

• Characteristic polynomial is obtained as : .

• The eigenvalues are computed as: and

 Solution
• The eigenvectors associated with the eigenvalues are obtained as follows:
• For

Using the first line of equation gives:

Hence, the eigenvector associated with is given as : .

 Solution (contd.)
• For

Using the first line of equation gives:

Hence, the eigenvector associated with is given as : .

 Using MATLAB
The eigenvalues are the diagonal of the matrix “d”:
𝜆 = −1 and 𝜆 = −2.
The eigenvectors are the columns of the “v” matrix:
1
0.7071 2
𝑥 = =
−0.7071 1
−
2

1
−
0 1 𝑥 =
−0.4472
=
5
𝐴 = 0.8944 2
−2 −3
5

 Note that MATLAB chose different values for the eigen vectors than the ones we got in example 1. However, the
ratio of 𝑥 to 𝑥 and the ratio of 𝑥 to 𝑥 are the same as our solution.
 The chosen eigenvectors of a system are not unique, but the ratio of their elements is.
 MATLAB chooses values such that the sum of squares of the elements of each eigenvector equal unity.
 Eigenvalues and Eigenvectors Application
• Useful for solving a system of linear equations
• A simple ODE is expressed as: (1)
• where is an matrix.
• Solutions to ODE are of the form: (2)
• Substituting (2) in (1) and differentiating gives:
= .
Since can never be 0, we cancel it from both sides to get:
=
Which is the central equation for an eigenvalue problem.
 Application Example (1)
• Consider the system of first order, linear ODEs:

𝑦 = 5𝑦 + 2𝑦
𝑦 = 2𝑦 + 5𝑦

• The system can be represented using matrix notation as follows:

𝑦 5 2 𝑦
• = . .
𝑦 2 5 𝑦

• Using compact linear algebra notation gives:

𝑦 =𝐴𝑦

5 2
• Therefore, 𝐴 = .
2 5
 Application Example (2)
• Computing the eigenvalues and eigenvectors of our matrix A gives:
and
The eigenvectors corresponding to the eigenvalues is obtained as:

For :

For :
 Application Example (3)
• Since the solution to an ODE is of the form:

• is then obtained by substituting for the values of and :

• Using :

• Using :
 Application Example (4)
• Combining both expressions yields:

The constants are obtained from the initial condition at time .

This is computed as :
.
 Classwork
• Given the following system of linear ordinary differential
equations:
+1
+3

1. Express the system in matrix and linear algebra notation.

2. Obtain the matrix
3. Compute the eigenvalues , for the matrix
4. Compute the eigenvectors associated with the eigenvalues.