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MATH 304 Linear Algebra Matrix Exponentials
MATH 304 Linear Algebra Matrix Exponentials
= 2y ,
y (0) = 3.
= 2x + 3y , = x + 4y ,
x (0) = 2, y (0) = 1.
x n
n
1 In particular, e = lim 1 + n n
x
2.7182818.
x2 xn Denition 2. e = 1 + x + + + + 2! n! Denition 3. f (x ) = e x is the unique solution of the initial value problem f = f , f (0) = 1.
Matrix exponentials Denition. For any square matrix A let 1 1 exp A = e A = I + A + A2 + + An + 2! n! Matrix exponential is a limit of matrix polynomials. Remark. Let A(1) , A(2) , . . . be a sequence of nn (n) matrices, A(n) = (aij ). The sequence converges to an nn matrix B = (bij ) if aij bij as n , i.e., if each entry converges. Theorem The matrix exp A is well dened, i.e., the series converges.
(n)
Properties of matrix exponentials Theorem 1 If AB = BA then e A e B = e B e A = e A+B . Corollary (a) e tA e sA = e sA e tA = e (t +s )A , t , s R; (b) e O = I ; (c) (e A )1 = e A . Theorem 2
tA
d tA e = Ae tA = e tA A. dt
Lemma Let A be an nn matrix and x Rn . Then the vector function v(t ) = e tA x satises v = Av. d dv = e tA x = Ae tA x = A e tA x = Av. Proof: dt dt Theorem For any t0 R and x0 Rn the initial value problem dv = Av, v(t0 ) = x0 dt has a unique solution v(t ) = e (t t0 )A x0 . Indeed, v(t ) = e (t t0 )A x0 = e tA e t0 A x0 = e tA x, where x = e t0 A x0 is a constant vector.
= diag(b1 , b2 , . . . , bk ),
1 3 1 2 ai + 3! ai + = e ai . where bi = 1 + ai + 2!
Example. A =
2 3 . 1 4
1 1 1 3
1 4
3e t + e 5t 3e t + 3e 5t . e t + e 5t e t + 3e 5t
= 2x + 3y , = x + 4y
2 3 , x0 = 1 4
2 . 1
3e t + e 5t 3e t + 3e 5t e t + e 5t e t + 3e 5t
3 t 5t e +5 x (t ) = 4 4e , 5 5t t y (t ) = 1 4e + 4e .
Example. A = A2 = e
tA
1 2 , A3 = 0 1
tn n t2 2 = I +tA+ A + + A + = 2! n!
t2 2!
where a(t ) = 1 + t +
2 3
t3 3!
+ = et,
t t b (t ) = t + 2 t 2! + 3 3! + = te .
Thus e tA =
e t te t . 0 et
Example. A =
e t 0 0 e t
= e t I , 1 t . 0 1
B2 = O
= e tB = I + tB =
Thus e tA = e t I e tB =
e t te t . 0 e t
= 2x + y , = 2y
= e 2t
x (t ) = e 2t (1 + t ), y (t ) = e 2t .