MAT 423: O.D.

E II

Lawi George

Department of Mathematics
Masinde Muliro University of Science and Technology

October 1, 2024

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 Organization

1 Lecture Objectives

2 Linear systems of D.E

3 Review of Matrices:Eigenvalues and eigenvectors

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 Linear Systems of Differential Equations

By the end of this lecture, the learner should be able to

State basic definitions relating to linear systems
Solve homogeneous linear systems with distinct and real
eigenvalues

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 Linear Systems of Differential Equations

A system of n linear first order differential equations in n unknowns

(an n Ö n system of linear equations) has the general form:
′
x1 (t) = a11 (t)x1 (t) + a12 (t)x2 (t) + a13 (t)x3 + · · · + a1n (t)xn + b1 (t)
′
x2 (t) = a21 (t)x1 (t) + a22 (t)x2 (t) + a23 (t)x3 + · · · + a2n (t)xn + b2 (t)
..
.
′
xn (t) = an1 (t)x1 (t) + an2 (t)x2 (t) + an3 (t)x3 + · · · + ann (t)xn + bn (t)
(1)

where the coefficients aij (t)′ s and bi (t)′ s are functions of t.

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 Linear Systems of Differential Equations
The system of equations (1) above is most often given in a
shorthand format as a matrix-vector equation, in the form:
′
x = Ax + b (2)

where   
a11 a12 ... b1
 .. ..  .. 
A= . B=.

. 
aK 1 aKK bn
 ′  
x1 x1
′  ..   .. 
x =  .  and x =  . 
′
xn xn
The matrix of coefficients, A, is called the coefficient matrix of the
system. If every term bi (t) = 0. then the system is said to be
homogeneous, otherwise it is nonhomogeneous.

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 Linear Systems of Differential Equations

Definition
A solution vector on an interval I is any column matrix
 
x1
 .. 
x =.
xn

whose entries are differentiable functions satisfying the system

(Eqn 2) on the interval.

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 Linear Systems of Differential Equations
Example
Verify that on the interval (−∞, ∞) that
   
1 −t 3 4t
x1 = e and x2 = e
−1 2

are solutions for the system

 
2 3
′
x = x
2 1

Solution
   
′ −1 −t ′ 12 4t
x1 = e and x2 = e
1 8
    
2 3 1 −t −1 −t ′
Ax1 = e = e = x1
2 1 −1 1
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 Linear Systems of Differential Equations

Solution
Similarly
    
2 3 3 4t 12 4t ′
Ax2 = e = e = x2
2 1 2 8
Thus x1 and x2 are solutions of the given system of equations.

Definition
Initial Value Problem
Let to denote a point on an interval I and
   
x1 (to ) α1
 ..   .. 
x(to ) =  .  and xo =  . 
xn (to ) αn

where the αi , i = 1, 2, 3, . . . n are given constants.

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 Linear Systems of Differential Equations

Definition
Then the problem
solve:
′
x = Ax + b (3)

subject to:

x(to ) = xo

is an initial-value problem on the interval.

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 Linear Systems of Differential Equations

Theorem
Superposition Principle
Let x1 , x2 , .....xn be a set of solution vectors of the homogeneous
′
system x = Ax on an interval I . Then the linear combination
x = c1 x1 + c2 x2 + ...... + cn xn where the ci , i = 1, 2, 3, . . . n are
arbitrary constants, is also a solution on the interval.

Example

2 3
Given the system x′ = x whose solutions are
2 1

  
1 3 4t
x1 = e −t and x2 = e
−1 2

verify that x = c1 x1 + c2 x2 is also a solution for the system

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 Linear Systems of Differential Equations

Solution
   
1 −t 3 4t
x = c1 e + c2 e
−1 2
   
′ −1 −t 12 4t
x = c1 e + c2 e
1 8

c1 e −t + 3c2 e 4t
  
2 3
Ax =
2 1 −c1 e −t + 2c2 e 4t
   
−1 −t 12 4t
= c1 e + c2 e = x′
1 8

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 Linear Systems of Differential Equations

Definition
Linear dependence/independence:
Let x1 , x2 , .....xn be a set of solution vectors of the homogeneous
′
system x = Ax on an interval I . We say that the set is linearly
dependent on the interval if there exist constants
ci , i = 1, 2, 3, . . . n not all zero, such that
c1 x1 + c2 x2 + ...... + cn xn = 0 for every t in the interval. If the set
of vectors is not linearly dependent on the interval, it is said to be
linearly independent.

We can introduce the concept of the Wronskian determinant as a

test for linear independence. We state the following theorem
without proof.

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 Linear Systems of Differential Equations
Theorem
Wronskian
Let
     
x11 x12 x1n
x21  x22  x2n 
x1 =  .  , x2 =  .  , . . . , xn =  .  ,
     
 ..   ..   .. 
xn1 xn2 xnn
′
be n solution vectors of the homogeneous system x = Ax on an
interval I . Then the set of solution vectors is linearly independent
on I if and only if the Wronskian

x11 x12 . . . x1n

x21 x22 . . . x2n
W (x1 , x2 , . . . , xn ) = .
.. .. . ̸= 0
. . . . ..
xn1 xn2 . . . xnn
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 Linear Systems of Differential Equations

Example

2 3
Given the system x′ = x whose solutions are
2 1
  
1 3 4t
x1 = e −t and x2 = e
−1 2

The Wronskian is

e −t 3e 4t
W (x1 , x2 ) = = 5e 3t ̸= 0
−e −t 2e 4t
. Hence the two solutions are linearly independent.

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 Linear Systems of Differential Equations

Definition
Fundamental Set of solutions:
Any set x1 , x2 , ..., xn of n linearly independent solution vectors of
′
the homogeneous system x = Ax on an interval I is said to be a
fundamental set of solutions on the interval.

Theorem
Let x1 , x2 , ..., xn be a fundamental set of solutions of the
′
homogeneous system x = Ax on an interval I . Then the general
solution of the system on the interval is

x = c1 x1 + c2 x2 + ... + cn xn

where ci , i = 1, 2, 3, . . . n are arbitrary constants.

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 Linear Systems of Differential Equations

Theorem
(Distinct real roots: Planar case). Suppose A is a 2x2 matrix of
real entries with real eigenvalues λ1 ̸= λ2 . Furthermore, suppose
v1 is an eigenvector associated with λ1 and v2 is an eigenvector
′
associated with λ2 . Then the general solution to x = Ax is

x = c1 e λ1 t v1 + c2 e λ2 t v2

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 Linear Systems of Differential Equations

For nonhomogeneous systems a particular solution xp on an

interval I is any vector, free of arbitrary parameters, whose entries
′
are functions that satisfy the system x = Ax + b.
Theorem
Let xp be a given solution of the nonhomogeneous system
′
x = Ax + b.on an interval I and let xc = c1 x1 + c2 x2 + ... + cn xn
denote the general solution on the same interval of the associated
homogeneous system.
Then the general solution of the nonhomogeneous system on the
interval is x = xc + xp The general solution xc of the associated
homogeneous is called the complementary function of the
nonhomogeneous system .

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 Linear Systems of Differential Equations
Review of Matrices:Eigenvalues and eigenvectors
Consider a given square matrix A of order n of real entries. If X is
a column vector and λ is a scalar (a number) then the relation
AV = λV (4)
is called an eigenvalue problem. Eqn 4 may be rewritten as
AV − λV = 0
(A − λI )V = 0 (5)
where I is an identity matrix of order n as A.
Clearly the trivial solution for Eqn 5 is V = 0. We shall be
interested in non-trivial solutions. These may exist for special
values of λ, called the eigenvalues of the matrix A. Non-trivial
solutions will only exist if the determinant of the coefficient matrix
in Eqn 5 is zero,i.e
det(A − λI ) = 0 (6)
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 Linear Systems of Differential Equations

Eqn 6 is called the characteristic equation of the matrix A, while

det(A − λI ) = |A − λI | is called the characteristic polynomial of
the matrix A.
For each value of λ that is obtained the corresponding value of V
is obtained by solving Eqn 5. These V ’s are called eigenvectors.
Example
Find the eigenvalues and the eigenvectors of the matrix
 
2 3
A=
3 2

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 Linear Systems of Differential Equations
Solution

2−λ 3
|A − λI | = =0
3 2−λ
= λ2 − 4λ − 5 = 0 (7)

whose solutions are λ1 = −1 and λ2 = 5

The eigenvector V1 corresponding to λ1 = −1 is obtained by
solving
    
2 − −1 3 x1 0
=
3 2 − −1 x2 0
(8)
        
3 3 x1 0 x1 −1
= ⇒ =
3 3 x2 0 x2 1

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 Linear Systems of Differential Equations

Solution
The eigenvector V2 corresponding to λ1 = 5 is obtained by solving
    
2−5 3 x1 0
=
3 2 − 5 x2 0
(9)
        
−3 3 x1 0 x1 1
= ⇒ =
3 −3 x2 0 x2 1

Exercise: Find the

 eigenvalues and the eigenvectors
  of the matrix
−4 6 x 1
(a)A = , Solution is λ1 = 2 ,V1 = 1 = and
−3 5 x2 1
   
x 2
λ2 = −1, V2 = 1 =
x2 1

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 Linear Systems of Differential Equations

     
−1 1 x −1
(b)A = , Solution is λ1 = −2 ,V1 = 1 = and
1 −1 x2 1
   
x 1
λ2 = 0, V2 = 1 =
x2 1
     
−1 1 x −1
(c)A = , Solution is λ1 = −2 ,V1 = 1 = and
1 −1 x2 1
   
x 1
λ2 = 0, V2 = 1 =
x2 1

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 Linear Systems of Differential Equations

Example
Find the eigenvalues
 and the eigenvectors of the matrix
1 −1 4
A = 3 2 −1
2 1 −1
(Non-symmetric matrix non-repeated eigenvalues)

Solution
 
1 −1 4 1 − λ −1 4
A = 3 2 −1 , |A − λI | = 3 2−λ −1 =0
2 1 −1 2 1 −1 − λ

The characteristic equation is p(λ) = λ3 − 2λ2 − 5λ + 6 = 0

whose solutions are λ1 = 1 , λ2 = −2 and λ3 = 3

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 Linear Systems of Differential Equations

Solution
Case 1: λ1 = 1, the corresponding eigenvector V1 is obtained by
solving

    
1 − 1 −1 4 x1 0
 3 2−1 −1  x2  = 0
2 1 −1 − 1 x3 0
(10)
        
0 −1 4 x1 0 x1 −1
3 1 −1 x2  = 0 ⇒ V1 = x2 = 4 
  
2 1 −2 x3 0 x2 1

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 Linear Systems of Differential Equations

Solution
Case 2: λ2 = −2, the corresponding eigenvector V2 is obtained by
solving

    
1 − −2 −1 4 x1 0
 3 2 − −2 −1  x2  = 0
2 1 −1 − −2 x3 0
(11)
        
3 −1 4 x1 0 x1 −1
3 4 −1 x2  = 0 ⇒ V2 = x2 = 1 
  
2 1 1 x3 0 x2 1

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 Linear Systems of Differential Equations

Solution
Case 3: λ3 = 3, the corresponding eigenvector V3 is obtained by
solving

    
1 − 3 −1 4 x1 0
 3 2−3 −1  x2  = 0
2 1 −1 − 3 x3 0
(12)
        
−2 −1 4 x1 0 x1 1
 3 −1 −1 x2  = 0 ⇒ V3 = x2 = 2
  
2 1 −4 x3 0 x2 1

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 Linear Systems of Differential Equations

Example
Find the eigenvalues
 and the eigenvectors of the matrix
1 1 3
A = 1 5 1
3 1 1
(Symmetric matrix non-repeated eigenvalues)

Solution
 
1 1 3 1−λ 1 3
A = 1 5 1 , |A − λI | = 1 5−λ 1 =0
3 1 1 3 1 1−λ

The characteristic equation is p(λ) = λ3 − 7λ2 + 0λ − 36 = 0

whose solutions are λ1 = −2 , λ2 = 3 and λ3 = 6

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 Linear Systems of Differential Equations

Solution
Case 1: λ1 = −2, the corresponding eigenvector V1 is obtained by
solving

    
1 − −2 1 3 x1 0
 1 5 − −2 1  x2  = 0
3 1 1 − −2 x3 0
(13)
        
3 1 3 x1 0 x1 −1
1 7 1 x2  = 0 ⇒ V1 = x2 = 0 
  
3 1 3 x3 0 x2 1

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 Linear Systems of Differential Equations

Solution
Case 2: λ2 = 3, the corresponding eigenvector V2 is obtained by
solving

    
1−3 1 3 x1 0
 1 5−3 1  x2  = 0
3 1 1 − 3 x3 0
(14)
        
−2 1 3 x1 0 x1 −1
 1 2 1  x2  = 0 ⇒ V2 = x2 = 1 
  
3 1 −2 x3 0 x2 −1

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 Linear Systems of Differential Equations

Solution
Case 3: λ3 = 6, the corresponding eigenvector V3 is obtained by
solving

    
1−6 1 3 x1 0
 1 5−6 1  x2  = 0
3 1 1 − 6 x3 0
(15)
        
−5 1 3 x1 0 x1 1
 1 −1 1  x2  = 0 ⇒ V3 = x2 = 2
  
3 1 −5 x3 0 x2 1

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 Linear Systems of Differential Equations

Exercise:Find the eigenvalues

 andthe eigenvectors
 of the matrices
−4 1 1 −1 1 0
(a) A =  1 5 −1 (b)A =  1 2 1 
0 1 −3 0 3 −1
 
−1 4 2
(c)A =  4 −1 −2
0 0 6

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 Linear Systems of Differential Equations
Complex Conjugate Roots Case
Example
′
Find the general solution to the following linear system x = Ax
where  
0 1
A=
−2 2

Solution
First we need to find the eigenvalues and associated eigenvectors
of A. The characteristic equation is

p(λ) = λ2 − 2λ + 2 = 0

The associated eigenvalues are

√
2± 4−8
λ1 , λ2 = =1±i
2
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 Linear Systems of Differential Equations

Solution
 
1
For λ1 = 1 + i the associated eigenvector is v1 = .
1+i
 
1
For λ2 = 1 − i the associated eigenvector is v2 = .
1−i
This gives two complex-valued solutions, namely
 
λ1 t (1+i)t 1
x1 = e v1 = e
1+i

and  
λ2 t (1−i)t 1
x2 = e v2 = e
1−i

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 Linear Systems of Differential Equations
We are ultimately looking for two linearly independent real-valued
solutions. To find real-valued solutions, we take the real- and
imaginary-parts of x1 . By Euler’s theorem,
Solution
 
λ1 t (1+i)t 1
x1 = e v1 = e
1+i
   
t 1 0
= e (cost + i sint) +i
1 1
   
t cost t sint
=e + ie
cost − sint cost + sint

Thus the general solution is

   
cost sint
x = c1 e t + c2 e t
cost − sint cost + sint

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