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Ordinary Differential Equations PDF
Ordinary Differential Equations PDF
AND
I-Liang Chern
Department of Mathematics
National Taiwan University
2007
1 Introduction 1
1.1 What is mathematical modeling? . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.1 Two Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.2 Methods and tools to solve the differential equations . . . . . . . . 2
1.2 First-order equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2.1 Autonomous equation . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2.2 Linear first-order equation . . . . . . . . . . . . . . . . . . . . . . 5
1.2.3 Integration factors and integrals . . . . . . . . . . . . . . . . . . . 7
1.2.4 Separable equations . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.3 Modeling with First Order Equations . . . . . . . . . . . . . . . . . . . . . 12
1.3.1 Some Examples Homeworks . . . . . . . . . . . . . . . . . . . 12
1.3.2 Modeling population of single species . . . . . . . . . . . . . . . . 13
1.3.3 Abstract phase field models . . . . . . . . . . . . . . . . . . . . . 20
1.3.4 An example from thermodynamicsexistence of entropy . . . . . . 22
1.4 Existence, uniqueness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
1.4.1 Local existence theorem . . . . . . . . . . . . . . . . . . . . . . . 23
1.4.2 Uniqueness theorem . . . . . . . . . . . . . . . . . . . . . . . . . 24
1.5 First Order Difference Equations . . . . . . . . . . . . . . . . . . . . . . . 25
1.5.1 Euler method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.5.2 First-order difference equation . . . . . . . . . . . . . . . . . . . . 26
1.6 Historical Note . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3
4 CONTENTS
5 Nonlinear oscillators 79
5.1 Conservative nonlinear oscillators and the energy method . . . . . . . . . . 79
5.1.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
5.1.2 Phase plane and autonomous systems . . . . . . . . . . . . . . . . 81
5.2 Simple pendulum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
5.2.1 global structure of phase plane . . . . . . . . . . . . . . . . . . . . 82
5.2.2 Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
5.3 Cycloidal Pendulum Tautochrone Problem . . . . . . . . . . . . . . . . 86
5.3.1 The Tautochrone problem . . . . . . . . . . . . . . . . . . . . . . 86
5.3.2 The Brachistochrone . . . . . . . . . . . . . . . . . . . . . . . . . 87
5.3.3 Construction of a cycloidal pendulum . . . . . . . . . . . . . . . . 89
5.4 The orbits of planets and stars . . . . . . . . . . . . . . . . . . . . . . . . 91
5.4.1 Centrally directed force and conservation of angular momentum . . 91
5.5 Damping . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
5.5.1 Stability and Lyapunov method . . . . . . . . . . . . . . . . . . . 99
Introduction
1
2 CHAPTER 1. INTRODUCTION
A falling object A object falling down from hight y0 . Let v(t) be its velocity at time t.
According to Newtons law,
dv
= g. (1.1)
dt
Here g is the gravitation constant. Usually the object experiences friction. One emperical
model is that the friction force per mass is inverse proportitional to its speed. Adding this
frictional force, the model becomes
dv
= g v, (1.2)
dt
where is the frictional coefficient.
|y K| = eC et
y(t) K = eC et
y(t) K = C1 et
Here C1 = eC is a constant. Now, we plug the initial condition: y(0) = y0 . We then get
C1 = y0 K and
y(t) = K + (y0 K)et . (1.4)
1.1. WHAT IS MATHEMATICAL MODELING? 3
We observe that y(t) K as t . This is true for any initial datum y0 . We call K is
a stable equilibrium. For the heating/cooling problem, the temperature y(t) will eventually
approach the room temperature K. For the falling object problem, the velocity v(t) will
approach a termination velocity K = g/. For any time 0 < t < , in fact, y(t) is a
linear interpolation between y0 and K. That is,
y(t) = et y0 + (1 et )K
1
K + (y0 K)et = (y0 + K).
2
1
et = .
2
This yields thf = log 2/. We thus interprete 1/ to be the relaxation time. The solution
y(t) relaxes to its stable equilibrium K at time scale 1/.
Homework. A dead body is found at 6:30 AM with temperature 18 . At 7:30 AM, the
body temperature is 16 . Suppose the surrounding temperature is 16 and the alive peoples
temperature is about 37 . Estimate the dead time.
Using mathematical software There are many mathematical software which can
solve ODEs. We shall use Maple in this class. Let us type the following commands
in Maple. To use the tool of differential equations, we need to include it by typing
> with(DEtools):
> with(plots):
> dfieldplot(subs(r=0.5,K=5,Deq),y(t),t=-5..5,y=-2..7,arrows=slim):
4 CHAPTER 1. INTRODUCTION
4
y(t)
4 2 2 4
y 0 (t)
= 1.
f (y(t))
1.2. FIRST-ORDER EQUATIONS 5
Homeworks
1. y 0 = ay 2
2. y 0 = (y y0 )(y1 y)
4. y 0 = (y y0 )2 (y1 y)
5. y 0 = (y y0 )3 (y1 y)
6. y 0 = r tanh(y)
y 0 = a(t)y.
This yields
log y(t) = A(t) + C1 , or y(t) = CeA(t) ,
where AR0 (t) = a(t), and C or C1 is a constant. We may choose A(0) = 0. That is,
t
A(t) = 0 a(s) ds. The constant C is y0 if we require y(0) = y0 . We conclude that the
solution is
Rt
a(s) ds
y(t) = y(0)e 0 .
Next, we study the inhomogeneous equation. The method below is known as variation
of constant. We guess our solution to have the form
y(t) = C(t)eA(t) .
This yields
C 0 (t) = b(t)eA(t)
By plugging the initial datum, we obtain C(0) = y(0). Hence, the general solution is given
by
Z t
y(t) = y(0)eA(t)
+ b(s)eA(s)+A(t) ds.
0
y(t) = C(t)eA(t)
In a short time, if C remains nearly unchanged, eA(t) behaves like solutions of y 0 = A0 (t)y.
By allowing C(t) varying, the C 0 (t) term can take care contribution of the source b(t)
pumping into the system.
It is important to notice that the integrand b(s)eA(t)A(s) is the solution of y 0 = a(t)y
for s < t with y(s) = b(s).a This means that the source term b(s) generates a solution
b(s)eA(t)A(s) at time s. The total contribution
Rt of the source term from time 0 to t is the
accumulation of these solutions, i.e. 0 b(s)eA(t)A(s) ds. This is called the Duhamel prin-
ciple.
1.2. FIRST-ORDER EQUATIONS 7
Example.
Consider
2
y 0 + y = t 1.
t
Let Z
2 dt
A(t) = = ln t2
t
and eA(t) = t2 . By multiplying eA(t) on both sides, we obtain
d 2
(t y) = t2 (t 1).
dt
Integrating in t, we get
2 t4 t3
t y = + C.
4 3
Hence,
t2 t C
y(t) = + 2.
4 3 t
Homeworks
1. B-D: pp. 39, 3,7,10,19,21,29,33, 35
dy
= f (t, y) (1.6)
dt
with initial datum
y(0) = y0 . (1.7)
The solution is a curve in t-y plane. This curve can be expressed explicitly like y = y(t),
or in implicit form like (t, y) = const. In the latter case, we mean that y can be solved
as a function in t locally and this function satisfies (1.6) and (1.7). We call an integral
of (1.6), which means that (t, y(t)) remains a constant along a solution curve y = y(t).
Sometimes, is called an invariant.
To be more precise, consider a curve passing through (t0 , y0 ) defined implicitly by
d = (t , y ) (dt, dy) = 0.
8 CHAPTER 1. INTRODUCTION
The direction (dt, dy) is the tangent direction of the curve y = y(t). The above formula
simply means that (t , y ) is normal to the curve y = y(t). On the other hand, we can
interprete the ODE y 0 = f (t, y) by
That is, (f, 1) is also normal to the curve. In other words, = const is a solution of the
ODE y 0 = f (t, y) is equivalent to
(t , y ) k (f, 1).
(t , y ) k (M, N )
(t , y ) = (M, N )
Examples
and
Z Z Z
2t 1 2t 1 2t 1 1 1
te dt = tde = te + e2t dt == te2t e2t + C.
2 2 2 2 4
Hence, (1.10) can be express as
2t 1 2t 1 2t
d e y + te + e = 0.
2 4
We call := e2t y + 12 te2t + 14 e2t an integral of (1.9).
3. In the linear equation (1.5)
y 0 = a(t)y + b(t),
we multiply (1.5) by (t) = eA(t) and use a(t) = A0 (t), we obtain
eA(t) y 0 A0 (t)eA(t) y = eA(t) b(t)
d A(t)
e y = eA(t) b(t)
dt
We can then integrate this formula in t to obtain the solution for (1.5). In this method,
= eA(t) is an integration factor and
Z
A(t)
=e y eA(t) b(t) dt
is an integral.
Notice that the integration factor and the integral are not unique. For instance, in examle
2
1 above, any functionR (r ) is an integration factor of the equation xdx + ydy = 0, and the
antiderivative = is its integral. Here, r2 = x2 + y 2 .
This is easily seen from the following observation. Suppose is an integral and is
the corresponding integration factor. Consider a composition function
(t, y) = h((t, y)),
where h() is any smooth function. Then
d = h0 d = h0 (M (t, y)dt + N (t, y)dy) = 0.
Hence, is another integral with a new integration factor h0 ((t, y))(t, y).
Certainly, if both and are integrals of (1.8), they represent the same solutions,
namely, there is one-to-one correspondence of the level sets of and :
(t, y) = C1 if and only if (t, y) = C2 .
Two functions and with this property is called function dependent. If we define a
function h which maps:C1 C2 , then (t, y) = h((t, y)). Thus, two integrals are
functional dependent and are related through a composition of function.
10 CHAPTER 1. INTRODUCTION
Homeworks
1. Find the integral curves (or integrals) of the equations
dy 2
(a) dx
= xy2
dy x2
(b) dx
= 1+y 2
Dividing (1.8) by f2 (y)g1 (t), then the Phaffian equation (1.8) becomes
f1 (t) g2 (y)
dt + dy = 0.
g1 (t) f2 (y)
Then (t, y) = constant defines a solution implicitly. In this example, 1/f2 (y)g1 (t) is an
integration factor.
Examples
P (x, y) dx + Q(x, y) dy = 0.
Homeworks (Courant and John, Vol. II, pp. 690) Solve the following equations
1. xy 0 + y = y 2 log x
2. xy 2 (xy 0 + y) = a2
3. (1 x2 )y 0 xy = axy 2 .
* Riccati equation (Courant and John, Vol. II, pp. 690) The Riccati equation reads
y 0 = a(t)y 2 + b(t)y + c(t) (1.13)
It can be transformed into a linear equation if we know a particular solution y = y1 (x). We
introduce the new unknown
1
u= .
y y1
* Homeworks Courant and John, Vol. II, pp. 690, Exercises 48.
Simple population growth model Let y(t) be the population (say European population
in U.S.) at time t. The census data are from 1790-2000 (every 10 years). We can build a
model based on the following hypothesis:
dy
= births deaths + migration. (1.14)
dt
It is natural to assume that the births and the deaths are propotition to the population. Let
us neglect the migration for the moment. In terms of mathematical equations, this reads
dy
= ry (1.15)
dt
where r is called the net growth rate, which is the natural growth rate minus the death rate.
We should have r > 0 if the population is growing. We can set the initial value
y(0) = y0 , (1.16)
the population at year 1790. With (1.15) and (1.16), we can find its solution
y(t) = y0 ert .
We can find the growth rate r by fitting the data, say the census at year 1800. This yields
that r = 0.03067. We find it fits very well until 1820. From then on, the discrepancy
becomes larger and larger. It suggests that
the growth rate r is treated as a constant is only valid local in time;
environmental limitation is not taken into account.
Logistic population model The above population model was proposed by Malthus (1766-
1834), an economist and a mathematician. One critism of the simple growth model is that
it does not take the limit of environment into consideration. With this consideration, we
should expect that there is a environmental carrying capacity K such that
when y < K, the rate y 0 > 0,
when y > K, the rate y 0 < 0.
A simple model with these considerations is the follows:
y
y 0 = ry 1 . (1.17)
K
This is called the logistic population model. It was suggested by the Balgien mathematician
Pierre Verhulst (1838). It is a nonlinear equation. There is another interpretation for the
nonlinear term ry 2 /K. Namely, y 2 represents the rate of pair-interaction. The coefficient
r/K is the rate of this interaction to the change of y. The minus sign simply means that the
pair-interaction decreases the population growth due to a competition of resource.
14 CHAPTER 1. INTRODUCTION
Exact solutions for the logistic equation We can solve this equation by the method of
separation of variable.
y 0 (t)
= r.
y(1 y/K)
Integrating in t yields
y 0 (t)
Z
dt = rt + C.
y(1 y/K)
By change-variable formula for integration, we have
Z
1
dy = rt + C.
y(1 y/K)
This yields
Z
1 1
+ dy = rt + C
y K y
y
log = rt + C.
K y
y 1
K y = C1 ert .
y 1
= .
K y C1 ert
This yields
K
y=
1 + C1 ert
When y < 0 or y > K, we get
y 1
= .
K y C1 ert
This gives
K
y=
1 C1 ert
When t = 0, we require y(0) = y0 . We find that in both cases, C1 = |1 K/y0 |. Thus, the
solution is ( K
1C1 ert
y0 < 0 or y0 > K
y(t) = K
1+C1 ert
0 < y0 < K
These constant solutions are called the equilibrium states. Any solution with initial state
near K will approach to K as t tends to infinity. We call K a stable equilibrium. On the
other hand, if the initial state is a small perturbation of the 0 state, it will leave off the zero
state and never come back. We call 0 a unstable equilibrium.
1 C1 t = 0.
We call the slution blows up at finite time. This solution has no ecological meaning.
Qualitative analysis for the logistic equation We can analyze the properties (equilib-
rium, stability, asymptotic behaviors) of solutions of the logistic equation by the phase
portrait analysis. First, let us notice two important facts:
For any point (t0 , y0 ), there is a solution y() passing through (t0 , y0 ). In other words,
y(t0 ) = y0 .
They are the existence and uniqueness theorem of the ODE. Let us accept this fact for the
moment. Next, we can use the equilibria to classify our general solutions.
The first step is to find all equilibria of this system. Let us denote the right-hand side of
(1.17) by f (y), i.e. y
f (y) = ry 1 .
K
An equilibrium is a constant solution y(t) y, where f ( y ) = 0.. In our case, the equilibria
are y(t) 0 and y(t) K.
The second step is to classify all other solutions. On thet-y plane, we first draw the
above two constant solutions. Now, by the uniqueness, no solution can pass through these
two constant solution. Therefore, the y-space is naturally partitioned into three regions
f (
y ) > 0. By the continuity of f , there must be an > 0 and a neighborhood I of y such
that f (y) > for all y I. Since limt y(t) = y monotonically, there must be a t0 such
that y(t) I for t t0 . On the other hand, the corresponding y 0 (t) = f (y(t)) . Hence
y(t) y(t0 ) + (t t0 ) for all t t0 . This contradicts to y(t) being bounded. Hence, we
get y(t) K as t . Similarly, for solution y() I3 , y(t) K as t .
Using the same argument, we can show that for solution in I1 I2 , y(t) 0 as t
. This means that 0 is unstable. Indeed, for y(0) < 0, we have f (y) < 0. This implies
y() is decreasing for t > 0. If y(t) has a low bound, then y(t) will have a limit and this
limit y < 0 and must be a zero of f . This is a contradiction. Hence y(t) has no low bound.
To summarize, we have the following theorem.
Theorem 3.1 All solutions of (1.17) are classified into the follows.
Maple Practice Below, we demonstrate some Maple commands to learn how to solve
plot the solutions.
> with(plots):
> with(DEtools):
> DiffEq := diff(y(t),t)=r*y(t)*(1-y(t)/K);
y(t)
DiffEq := dtd y(t) = r y(t) (1 )
K
> dfieldplot(subs(r=0.1,K=5,DiffEq),y(t),t=-5..5,y=-2..7,arrows=slim,
> lor=y/7);
1.3. MODELING WITH FIRST ORDER EQUATIONS 17
4
y(t)
4 2 2 4
> display({fig1,fig2,fig3,fig4});
18 CHAPTER 1. INTRODUCTION
4
y(t)
40 20 20 40
y
The solution for y 0 = ry(1 K
) C with y(0) = y0 is
1
y(t) = K + tanh( (t + C0 ))
2 r 2K
where
p 2K r
= rK(rK 4C), C0 = arctanh( (2y0 K)).
In additional to the constraint C K/4, we should also require y(0) > 0. Otherwise, there
would be no harvesting at all. This would give another constraint on C. You may find it by
yourself.
Homeworks
1. B-D, pp. 88, 7, 16, 17
2. B-D: pp. 91, 22, 23, 25, 26, 27, 28
y 0 = f (y)
where f (y) has three zeros y1 < y2 < y3 . Assume the sign of f is f (y) > 0 for y <
y1 , y2 < y < y3 , and f (y) > 0 for y1 < y < y2 , y > y3 . In this case, for y(t) with
initial data y(0) satisfying y(0) < y2 , we have y(t) y1 as t . If y(0) > y1 , then
y(t) y3 as t . The states y1 and y3 are the two stable states. Such a model is called
a bistable model. It is usually used to model phase field of some material. A simple model
is f (y) = y(1 y)(1/2 y).
Maple tool: phase line analysis Use Maple to draw the function f (y). The y-axis is
partition into regions where f (y) > 0 or f (y) < 0. Those y such that f (y ) = 0 are
the equilibria. An equilibrium y is stable if f is increasing near y and unstable if f is
decreasing there.
y(t) = y(0)et
We see that the solution tends to its equilibrium 0 exponentially fast. The physical
meaning of 1/ is the time that the difference of solution from its equilibrium is
reduced by a fixed factor (e1 ). We say the convergent rate to its equilibrium to be
O(et .
1
y(t) = .
1/y(0) + t
Homework
2. Construct an ODE so that y(t) = 5 is its asymptotic solution with convergent rate
e2t .
e = cv T
where cv is called the specific heat at constant volume. It means that the amount of energy
you need to add to the system at constant volume to gain one degree increase of tempera-
ture.
We can change the volume V of the system by moving the piston. If the process is
moved slowly, we image that the system has no energy exchange with external environment
except the work we apply to it through the piston. Such a process is called an adiabetic
process (no heat exchange with the external world). In such a process, by the conservation
of energy,
de = pdV,
where pdV is the work we apply to the system. This is a Phaffin equation. Using the
ideal gas law and the assumption of polytropic gas, we get
cv
(pdV + V dp) = pdV.
R
This gives cv cv
1+ pdV + V dp = 0.
R R
We divide both sides by cv /R, we get
pdV + V dp = 0,
where cv
1+ R
:= cv ,
R
1.4. EXISTENCE, UNIQUENESS 23
is called the gas constant. This Phaffin equation can be integrated by using the technique
of separation of variable:
dV dp
+ = 0.
V p
Thus, we get
ln p + ln V = C
Hence,
pV
is a constant. This means that each adiabetic process keeps pV invariant (the integral of
an adiabetic process). The quantity pV labels a thermostate of the system. It is called an
entropy. Notice that any function of pV is also invariant under an adiabetic process. The
one which has 1/T as an integration factor for the Phaffin equation de + pdV = 0 is called
the physical entropy. That is
T dS = de + pdV.
This leads to
1
dS = (de + pdV )
T
R cv
= (pdV + V dp) + pdV
pV R
dV dp
= cv +
V p
= cv d ln(pV )
= dcv ln(pV )
Thus, the physical entropy
S = cv ln(pV ).
y0 = y2
y(0) = y0
lim y(t) = .
t1/y0
In the local existence theorem, it only states that the solution exists in a small region.
If the solution does have a limit at the end of this small interval, we can solve the equation
again to extend this solution. Eventually, we can find the maximal interval of existence.
Homeworks Find the maximal interval of existence for the problems below.
1. y 0 = 1 + y 2 , y(0) = y0
2. y 0 = y 3 , y(0) = y0
3. y 0 = ey , y(0) = y0
4. y 0 = y ln y, y(0) = y0 > 0.
y 0 = y 1/2 , y(0) = 0
t2
y(t) =
4
is a solution. On the other hand, we know y(t) 0 is also a solution.
Homework.
1. Construct another example y 0 = f (y) which does not have uniqueness.
Theorem 4.3 Assume that f and f /y are continuous in a small neighborhood of (t0 , y0 ).
Suppose y1 (t) and y2 (t) are two solutions that solve the initial value problem
In other word, no two solutions can pass through the same point in the t y plane.
This is very useful. For instance, in the logistic equation: y 0 = ry(1 y/K), 0 and K
are the only two equilibrium states. They naturally partition the domain into three regions:
I1 = (, 0), I2 = (0, K) and I3 = (K, ). By the uniqueness theorem, no solution
can cross these two constant states. From this, we can obtain that the the solution starting
from y(0) > 0 will tend to K as t , because it will approach a constant state and this
constant state can only be K. We will see more applications of the uniqueness theorem in
the subsequent chapters.
y n+1 y n
= f (tn , y n ). (1.23)
h
26 CHAPTER 1. INTRODUCTION
This is called the Euler method. It approximates the solution by piecewise linear function.
The approximate solution y n+1 can be computed from y n . If we refine the mesh size h, we
would expect the solution get closer to the true solution. To be more precise, let us fix any
time t. Let us divide [0, t] into n subintervals evenly. Let h = t/n be the step size. We use
Euler method to construct y n . The convergence at t means that y n y(t) as n (with
nh = t fixed, hence h 0).
Homework
1. Use Euler method to compute the solution for the differential equation
y 0 = ay
where a is a constant. Find the condition on h such that the sequence y n so con-
structed converges as n and nh = t is fixed.
Data, modeling
Population model
Isaac Newton
Euler
Mathematical software
Maple software
28 CHAPTER 1. INTRODUCTION
Chapter 2
29
30 CHAPTER 2. SECOND ORDER LINEAR EQUATIONS
capacitor: Vc = Q/C.
A typical capacitor is a pair of parallel plates with equal charges and opposite sig-
nature. There is an electric field E induced by the charges on the two plates. It is
clear that the more charges on the plates, the higher the electric field. That is, E is
proportitional to E. The potential difference on the two plates is V = Ed. Hence,
V is proportitional to Q.
inductor: Vi = L dIdt
.
A inductance is a solenoid. By the Amper`e law, the current on a circular wire induces
a magnetic field mainly through the disk the circle surrounds. The time-varying cur-
rent induces a time-varying magnetic field. By the Farady law, this time-varying
magnetic field induces an electric field E (electromotive force) in the opposite direc-
tion. Thus, there is a linear relation between the potential drop V (which is Ed)
and dI/dt.
The constants R, C, L are called the resistance, conductance and inductance, respectively.
Fom the Kirkohoff law (conservation of energy), we have
d2 Q dQ 1
L 2
+R + Q = f (t) (2.2)
dt dt C
where f (t) is the external potential from the batery.
We notice there is an analogy between mechanical oscillators and electrical oscillators.
ay 00 + by 0 + cy = f (t), (2.3)
L(D)y = f, (2.5)
where
d
L(D) = aD2 + bD + c, D = .
dt
The term f is called the source term.
L(D)y = 0. (2.6)
We try a solution of the form y(t) = et (called an ansatz) for the homogeneous equation.
Plug this ansatz into the homogeneous equation. We obtain
L(D) et = L()et = a2 + b + c et = 0.
This leads to
a2 + b + c = 0.
The polynomial equation is called the characteristic equation for (2.13). Let 1 , 2 be its
two roots (possible complex roots).
There are three cases:
Case 1: 1 6= 2 and real. In this case, we have found two solutions y1 (t) = e1 t and
y2 (t) = e2 t .
Case 2: 1 6= 2 and complex. In this case, the two complex roots are conjugate to
each other (because a, b, c are real). Let us denote 1 = + i and 2 = i. In
this case, we can check that the real part and the imaginary part of eit are solutions.
That is, y1 (t) = et cos t and y2 (t) = et sin t are two solutions.
Case 3: 1 = 2 . In this case, we can check y1 (t) = e1 t and y2 (t) = te1 t are two
solutions. Indeed, from 1 being the double root of L() = 0, we have L(1 ) = 0,
and L0 (1 ) = 0. By plugging te1 t into the equation (2.6), we obtain
d
te1 t = L(1 ) te1 t + L0 (1 ) e1 t = 0.
L
dt
Homeworks.
1. Consider the equation y 00 y = 0.
(a) Show that both its real part y1 and imaginary part y2 are solutions too.
(b) Show any linear combination of y1 and y2 is also a solution.
It is important to observe that the solution set of (2.6) forms a linear space (vector
space)1 . That is, if y1 () and y2 () are two solutions of (2.6), so are their linear combinations
C1 y1 () + C2 y2 () for any two constants C1 and C2 . In fact, you can check
d d d
L (C1 y1 + C2 y2 ) = C1 L y1 + C2 L y2 = 0.
dt dt dt
We call this solution set the solution space of (2.6). From the existence and uniqueness
for the initial value problem, we know that a general solution is uniquely determined by its
initial data: y(0) and y 0 (0), which are two free parameters. Thus, the solution space of (2.6)
is two dimensional. General solutions can be expressed as C1 y1 () + C2 y2 (). To solve the
initial value problem (2.6), (2.4), we need to express in terms of the initial data y0 and y1 .
There are three cases:
Case 1. 1 6= 2 and real. A general solution for the homogeneous equation has the
form
y(t) = C1 y1 (t) + C2 y2 (t),
where
y1 (t) := e1 t , y2 (t) := e2 t .
The constants C1 and C2 are determined by the initial condition (2.4):
C1 + C2 = y0
1 C1 + 2 C2 = y1 .
y0 = y(0) = C1
y1 = y 0 (0) = C1 + C2 .
The constants C1 and C2 can be solved uniquely because we have 6= 0 in this case.
Case 3. 1 = 2 . In this case,
are two independent solutions. So, general solution has the form C1 y1 (t) + C2 y2 (t). The
constants C1 and C2 are determined by the initial data. This leads to
C1 = y0
1 C1 + C2 = y1 .
The functions {y1 (), y2 ()} form a basis of the solution space. They are called the
fundamental solutions of (2.6).
Wronskian. Suppose our initial data are set at time t0 instead 0, i.e. we are given y(t0 ) =
y0 and y 0 (t0 ) = y1 . To find the corresponding solution y(), we assume y = C1 y1 + C2 y2 .
Plug into the initial conditions, we get two equations for C1 and C2 :
We call this determinant the Wronskian of y1 and y2 . In the homeworks below, you will
check the Wronskian of the fundamental solutions y1 and y2 is never zero. This means that
you can impose initial data at any time t0 .
Homework.
2. Let = + i. Find the Wronskians W (et , et ) and W (et cos t, et sin t).
(a) Determine the values of for which all solutions tend to zero as t .
(b) Determine the values of for which all solutions become unbounded as t .
d2 y
d
L y = a 2 + cy = 0. (2.7)
dt dt
We call such system a harmonic oscillator or free oscillator. The corresponding character-
istic equation a2 + c = 0 has two characteristic roots
r r
c c
1 = i , 2 = i ,
a a
which are pure imaginary due to both a, c > 0 in a harmonic oscillator. Let us denote
r
c
0 = (2.8)
a
C1 ei0 t + C2 ei0 t .
Its real part forms the real solution of (2.7). It has the form
where q
A= B12 + B22 , cos(0 ) = B1 /A, sin(0 ) = B2 /A,
A is called the amplitude and 0 is the initial phase. They are related to the initial data y0
and y1 by
y0 = A cos(0 ), y1 = 0 A cos(0 ).
2.3. LINEAR OSCILLATORS 35
This motion is called harmonic oscillation or free oscillation. It is important to note that
through a transformation:
y = cos
the ODE (2.7) is converted to a linear motion with constant speed:
d2 d
2
= 0, = 0 (2.10)
dt dt
Its solution solution is given by (t) = 0 + 0 t. So it can be viewed as a circular motion
with constant angular speed.
2.3.2 Damping
In this section, we consider (2.13) with damping term:
ay 00 + by 0 + cy = 0. (2.11)
The coefficient b > 0. We recall that the homogeneous equation has two independent
solutions e1 t and e2 t , where
b + b2 4ac b b2 4ac
1 = , 2 = ,
2a 2a
are the two roots of the characteristic equation a2 + b + c = 0. We have the following
cases: = b2 4ac < 0, = 0 or > 0.
Case 3. Overdamping When b2 4ac 0, i are real and negative. The two independent
solutions
yi (t) = ei t 0, as t , i = 1, 2.
We call this is overdamping. It means that the damper is too strong so that the solution has
no oscillation at all and decays to 0 exponentially fast. The decay rate is O(et ), where
= b/2a. The quantity 1/ is called the relaxationtime. As a concrete example, consider
y 00 + 3y 0 + y = 0. One eigenvalue is 1 = 3/2 + 5/2. The other is 2 = 3/2 5/2.
We see the solution y1 (t) = et decays slower than y2 (t) := e2 t .
Homeworks.
m 0 2 1
E(t) := y (t) + ky(t)2
2 2
satisfies E 0 (t) 0.
Free vibration with periodic forcing Let us consider the free vibration with a periodic
forcing
y 00 + 02 y = F0 cos(t).
We have two subcases.
Case 1. 6= 0 .
It is reasonable to guess that there is a special solution which is synchronized with
the periodic external forcing. Thus, we try a special solution of the form C cos(t). By
plugging into the equation, we can find the coefficient C = F0 /(a(2 02 )). Thus, the
function
F0
yp (t) = cos(t)
a( 02 )
2
2.3. LINEAR OSCILLATORS 37
is a special solution. Let us still abbreviate F0 /(2 02 ) by C. The general solution can
be expressed as
where
0 + 0
h = , l =
2 2
indicate low and high frequencies, respectively; and
(C + A, B) = A(cos(
1 ), sin(1 )), (C A, B) = B(cos(2 ), sin(2 )).
is very large, and hence A is very large. We concentrate on the solution y(t) = A cos(l t
1 ) cos(h t). In this solution, we may view A cos(l t 1 ) as the amplitude of the high
frequency wave cos(h t). This amplitude itself is a low frequency wave, which is the
envelope of the solution y(t). We call it the modulation wave. This phenomenon occurs in
acoustics when two tuning forks of nearly equal frequency are sound simultaneously.
Case 2. = 0 .
In this case, we try a special solution of this form:
The amplitude of this solution increases linearly in time. Such a phenomenon is called
resonance.
38 CHAPTER 2. SECOND ORDER LINEAR EQUATIONS
Damped vibrations with periodic forcing We consider a damped vibration system with
periodic forcing:
y 00 + by 0 + cy = F0 cos(t).
The two eigenvalues of the corresponding homogeneous system are
1 = b + b2 4c, 2 = b b2 4c.
As before, we have three cases: (1) overdamping, (2) critical damping, (3) underdamping:
Overdamping case: b2 4c > 0. In this case, 1 and 2 are real and negative.
yi (t) = ei t , i = 1, 2 are two independent solutions for the homogeneous equation.
1 = b + i 2 = b i,
where
= 4c b2 .
The two independent solutions of the homogeneous equations are y1 (t) = ebt cos(t)
and y2 (t) = ebt sin(t).
To find a special solution for the inhomogeneous equation, we try
yp = C cos(t) + D sin(t).
This yields
2 C + bD + cC = F0
2 D bC + cD = 0
Then
yp = C cos(t) + D sin(t)
= A cos(0 ) cos(t) A sin(0 ) sin(t)
= A cos(t + 0 )
Thus, a special solution is again a cosine function with amplitude A and initial phase 0 .
The general solution is
Notice that y(t) A cos(t + 0 ) as t because both y1 (t) and y2 (t) tend to 0
as t . We call the solution A cos(t + 0 ) the steady-state solution or the forced
response. This solution synchronized with the external periodic forcing.
Remarks.
We notice that the amplitude A has maximum when = 0 := c, that is, the
external forcing has the same period as the internal period 0 .
We also notice that A only when b = 0 (no damping) and c = 2 . This is the
resonance case. Otherwise, there is no resonance. In other word, general solutions
approach the forced responsed solution, even in the case of resonance with damping.
Homework.
ay 00 + by 0 + cy = f (t). (2.13)
where L(s) = as2 + bs + c. From the theory for homogeneous equations, we know that we
can find two independent solutions Let y1 () and y2 () be a set of fundamental solutions of
the homogeneous equation
d
L [y] = 0.
dt
Suppose yp () is a special solution of (2.13), then so is yp + C1 y1 + C2 y2 for any constants
C1 and C2 . This is because the linearity of the equation. Namely,
From the existence and uniqueness of ODEs, we know the solution sets depends on two
parameters. We can conclude that the solution set S to (2.13) is S = yp +S0 , where S0 is the
solution space corresponding to the homogeneous equation. In other words, the solution
set of (2.13) is an affine space. The choice of the special solution is not unique. If yq is
another special solution, then a solution y = yp + z with z S0 , then y = yq + (yp yq + z)
and yp yq + z S0 . Thus, it is sufficient to find just one special solution. Then we can
construct all solutions with the helps of the fundamental solutions y1 and y2 .
We introduction two methods to find a special solution. In latter chapter, we will further
introduce the method of Laplace transform to find special solutions.
tk et ,
we can use the following method of undetermined coefficient to find a special solution. We
use examples to explain.
Plug this into equation, we obtain a polynomial equations. Equate both sides and we
can determine the coefficients. There are k + 1 linear equations for k + 1 knowns
ak , ..., a0 .
2.4. INHOMOGENEOUS EQUATIONS 41
a 0 + b (a1 ) + c (a1 t + a0 ) = t.
This yields
ca1 = 1
ba1 + ca0 = 0.
This yields
3a = 1
4b + 4a b = 0.
yp = t(ak tk + + a0 )e1 t
This gives
aa = 0
2a = 1
Homework.
Homework.
This leads to
(C10 y10 + C20 y20 ) = f (2.16)
2.4. INHOMOGENEOUS EQUATIONS 43
Equations (2.15) and (2.16) give a first-order differential equation for C1 and C2 :
0
C1 (t) 1 0
= (t) , (2.17)
C20 (t) f (t)
where
y1 (t) y2 (t)
(t) := . (2.18)
y10 (t) y20 (t)
By integrating (2.17), we obtain
Z t
C1 (t) C1 (0) 1 0
= + (s) ds
C2 (t) C2 (0) 0 f (s)
Z t 0
C1 (0) 1 y2 (s) y2 (s) 0
= + ds
C2 (0) 0 W (y1 , y2 )(s) y10 (s) y1 (s) f (s)
Z t
C1 (0) 1 y2 (s)f (s)
= + ds
C2 (0) 0 W (y1 , y2 )(s) y1 (s)f (s)
y 00 y = f (t)
You may check this special solution satisfies the initial conditions y(0) = y 0 (0) = 0.
Example. Find a particular solution of
y 00 + y = csc t
44 CHAPTER 2. SECOND ORDER LINEAR EQUATIONS
for t near /2. Ans. The fundamental solutions corresponding to the homogeneous equa-
tion is
y1 (t) = cos t, y2 (t) = sin t.
The Wronskian W (y1 , y2 )(t) = 1. A special solution is given by
Z t Z t
y2 (s)f (s) y1 (s)f (s)
yp (t) = y1 (t) ds + y2 (t) ds
/2 W (y1 , y2 )(s) /2 W (y1 , y2 )(s)
Z t Z t
= cos t sin(s) csc(s) ds + sin t cos(s) csc(s) ds
/2 /2
= (t /2) cos t + sin t ln sin t.
Homeworks.
where
y1 a11 a12 a1n f1
y2 a21 a22 a2n
f
2
y= , A = .. , f = .. ,
.. .. .. ..
. . . . . .
yn an1 an2 ann fn
Its initial value problem is to study (3.1) with initial condition:
y(0) = y0 . (3.2)
av 0 = bv cy + f
If (y, v) is a solution of this first-order system, then from v = y 0 , we have v 0 = y 00 . From
the second equation, we conclude that y satisfies ay 00 + by 0 + cy = f . Conversely, if y
satisfies (3.3), then y is twice differentiable. Let us name y 0 = v. Then v 0 = y 00 . From
(3.3), av 0 + bv + cy = f . Hence, these two equations are equivalent.
45
46 CHAPTER 3. LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
Physically, if y denote a velocity, then the term y s a force pointing to the direction
perpendicular to y and . We will see later that this is a rotation.
Coupled spring-mass systems Consider a coupled spring-mass system. The system con-
tains two masses and springs. The mass m1 is connected on its two ends to wall and a mass
m2 respectively by springs with spring constants k1 and k2 . The mass m2 is connected to
mass m1 on one end and to the wall on the other end by a spring with spring constant k3 .
Let xi be the position of the mass mi . Then the equations for xi are
m1 x001 = k1 x1 k2 (x1 x2 )
m2 x002 = k3 x2 k2 (x2 x1 )
Homework.
y0 = Ay. (3.5)
3.1. INITIAL VALUE PROBLEM FOR N N LINEAR SYSTEMS 47
Since the equation is linear in y, we can see the following linear property of the solutions.
Namely, if y1 and y2 are solutions of (3.5), so does their linear combination: 1 y1 + 2 y2 ,
where 1 , 2 are any two scalar numbers. Therefore, if S0 denotes the set of all solutions
of (3.5), then S is a vector space.
In the case of inhomogeneous equation (3.1), suppose we have already known a par-
ticular solution yp , then so is yp + y for any y S0 . On the other hand, suppose z is a
solution of the inhomogeneous equation:
z0 = Az + f
y(0) = y0 Rn .
Theorem 3.1 The solution space S0 for equation (3.5) is a two-dimensional vector space.
The solution space for equation (3.1) is the affine space yp + S0 , where yp is a particular
solution of (3.1).
Pn
v1 , , vn are independent, that is, if Ci vi = 0, then Ci = 0 for all i = 1, ..., n.
i=1
Pn
This two conditions implies that any vector v can be represented as v = i=1 Ci vi
uniquely.
Our goal in this section is to construct a basis {y1 , ..., yn } in S0 . A general solution in
S0 can be represented as
X n
y(t) = Ci yi (t).
i=1
For an initial value problem with y(t0 ) = y0 , the coefficients Ci are determined by the
linear equation
Xn
yi (t0 )Ci = y0 .
i=1
48 CHAPTER 3. LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
or
Y(t0 )C = y0
where
Y(t) = [y1 (t), y2 (t), , yn (t)], C = [C1 , , Cn ]t .
If y1 , , yn are independent, then Ci can be solved uniquely. Such a set of solutions
{y1 , , yn } is called a fundamental solution of (3.5).
So, two main issues are:
3.2 2 2 systems
3.2.1 Independence and Wronskian
In the solution space S0 , two solutions y1 and y2 are called independent if C1 y1 (t) +
C2 y2 (t) = 0 implies C1 = C2 = 0. This definition is for all t, but based on the uniqueness
theorem, we only need to check this condition at just one point. We have the following
theorem.
Theorem 3.2 Suppose y1 and y2 are solutions of (3.5). If y1 (t0 ) and y2 (t0 ) are indepen-
dent in R2 , then y1 (t) and y2 (t) are independent in R2 for all t in the maximal interval of
existence for both y1 and y2 which contains t0 .
Proof. Let t1 be a point lying in the maximal interval of existence containing t0 . Suppose
y1 (t1 ) and y2 (t1 ) are linearly dependent, then there exist constants C1 and C2 such that
C1 y1 (t1 ) + C2 y2 (t1 ) = 0.
Let y = C1 y1 +C2 y2 . Notice that both y and the zero constant solution have the same value
at t1 . By the uniqueness theorem, y 0 on the maximal interval of existence containing
t1 , hence, containg t0 . This contradicts to y1 (t0 ) and y2 (t0 ) being independent.
Theorem 3.3 Let y1 and y2 be two solutions of (3.5). Let us abbreviate the Wronskian
W (y1 , y2 )(t) by W (t). We have
3.2. 2 2 SYSTEMS 49
(i)
dW
= (trA)W
dt
(ii) W (t0 ) 6= 0 if and only if W (t) 6= 0 for all t.
Proof. Let Y = (y1 , y2 ). Then we have
Y0 = AY.
The Wronskian W (t) is detY(t). We differentiate W in t, We get
W 0 = y1,1
0 0
y2,2 y1,2 0
y2,1 y2,1 0
y1,2 + y2,2 y1,1
X
= (a1,k yk,1 y2,2 a1,k yk,2 y2,1 a2,k yk,1 y1,2 + a2,k yk,2 y1,1 )
k
= (a1,1 + a2,2 )(y1,1 y2,2 y1,2 y2,1 )
= tr(A)W
Since W (t) = W (t0 ) exp(tr(A)(t t0 )), we see that W (t0 ) 6= 0 if and only if W (t) 6= 0.
Case 1.
i are real and there are two independent real eigenvectors v1 and v2 . The corresponding
two independent solutions are
y1 = e1 t v1 , y2 = e2 t v2 .
A general solution has the form
y(t) = C1 y1 (t) + C2 y2 (t)
If the initial data is y0 , then
C1 v1 + C2 v2 = y0 .
Let T be the matrix (v1 , v2 ). Then
C1
= T 1 y0 .
C2
The 0 state is an equilibrium. Its behavior is determined by the sign of the eigenvalues:
1 , 2 < 0: all solutions tend to 0 as t . We call 0 state a sink. It is a stable
equilibrium.
1 , 2 > 0: all solutions tend to infinity as t . In fact, all solutions tend to the 0
state as t . We call 0 state a source. It is an unstable equilibrium.
1 2 < 0. Let us take 1 < 0 and 2 > 0 as an example for explanation. A general
solution has the form
y(t) = C1 e1 t v1 + C2 e2 t v2
We have e1 t 0 and e2 t as t . Hence if y(0) Ms := {v1 , R},
then the corresponding C2 = 0, and y(t) 0 as t . We call the line Ms
a stable manifold. On the other hand, if y(0) Mu := {v2 , R}, then the
corresponding C1 = 0 and y(t) 0 as t . We call the line Mu an unstable
manifold. For any other y0 , the corresponding y(t) has the following asymptotics:
y(t) v1 -axis, as t ,
y(t) v2 -axis, as t +.
That is, all solutions approach the stable manifold as t and the unstable mani-
fold as t . The 0 state is the intersection of the stable and unstable manifolds.
It is called a saddle point.
1 = 0 and 2 6= 0. In this case, a general solution has the form: y(t) = C1 v1 +
C2 e2 t v2 . The equilibrium {
y|Ay = 0} is a line: {C1 v1 |C1 R}. When 2 < 0,
then all solutions approach C1 v1 . This means that the line C1 v1 is a stable line.
3.2. 2 2 SYSTEMS 51
det (I A) = ( 1)2 4 = 0.
(A 1 I)v1 = 0.
This gives
1
v1 = .
2
Similarly, the eigenvector corresponding to 2 = 1 is
1
v2 = .
2
Example 2.
8 11
y = Ay, A = .
6 9
This yields
1
v1 = .
1
Similarly, we obtain
11
v2 = .
6
The general solution is
y(t) = C1 e3t v1 + C2 e2t v2 .
The line in the direction of v1 is a stable manifold, whereas the line in v2 direction is a
unstable manifold. The origin is a saddle point.
52 CHAPTER 3. LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
Example 3.
1 2
y = Ay, A = .
2 4
Case 2.
i are complex conjugate.
1 = + i, 2 = i.
Since A is real-valued, the corresponding eigenvectors are also complex conjugate:
w1 = u + iv, w2 = u iv.
d
(x(t) + iy(t)) = A (x(t) + iy(t)) .
dt
By taking the real part and the imaginary part, using the fact that A is real, we obtain
dx dy
= Ax(t), = Ay(t)
dt dt
Hence, both the real part and the imaginary part of z(t) satisfy the equation.
Now, let us take the real part and the imaginary part of one of the above solution:
The other solution z2 is the complex conjugate of z1 . We extract the same real solutions
from z2 .
You may wonder now whether u and v are independent. Indeed, if v = cu for some
c R, then
A(u + iv) = 1 (u + iv)
gives
A(1 + ic)u = 1 (1 + ic)u
3.2. 2 2 SYSTEMS 53
Au = 1 u = ( + i)u
This yields
Au = u, and u = 0,
because A is real. This implies = 0 if u 6= 0. This contradicts to that the eigenvalue 1
has nontrivial imaginary part.
From the independence of u and v, we conclude that y1 and y2 are also independent,
and constitute a real basis in the solution space S. A general solution is given by
y(t) = C1 y1 (t) + C2 y2 (t),
where Ci are real and are determined by the initial data:
C1 y1 (0) + C2 y2 (0) = y0 ,
C1 u + C2 v = y0 .
Let T be the matrix (u, v), then
C1
= T 1 y0 .
C2
We may use another parameters to represent the solution.
y(t) = C1 et (cos tu sin tv) + C2 et (sin tu + cos tv)
= et ((C1 cos t + C2 sin t)u + (C2 cos t C1 sin t)v)
= Aet (cos(t 0 )u + sin(t 0 )v) ,
where (C1 , C2 ) = A(cos 0 , sin 0 ).
Case 3.
1 = 2 are real and only one eigenvector. Let us see examples first to get some intuition.
y20 = ry2 .
We obtain y2 (t) = C2 ert and By plugging this into the first equation
(A 2I)v = 0
1
1 1 v 0
= .
1 1 v2 0
This yields a solution, called v1 :
1
v1 = .
1
This is the only eigenvector. The solution e2t v1 is a solution of the ODE. To find
the other independent solution, we expect that there is a resonant solution te2t in the
3.2. 2 2 SYSTEMS 55
we obtain
2v1 te2t + v1 e2t + et v2 = A(v1 te2t + v2 et )
Using Av1 = 2v1 , we get
v1 e2t + et v2 = Av2 et
(A 2I)v2 = v1 .
That is
1 1 v1 1
= .
1 1 v2 1
This gives v 1 + v 2 = 1. So,
0
v2 = .
1
is a solution.
Now, we find two solutions
y1 = e2t v1
y2 = te2t v1 + e2t v2 .
Remark. The double root case can be thought as a limiting case where the second eigen-
values 2 1 and v2 v1 . In this case,
1
e2 t v2 e1 t v1
2 1
is also a solution. This is equivalent to differentiate
et v
p() := det(I A) = ( 1 )2 = 0.
p(A) = 0.
This can be seen from the following argument. Let Q() be the matrix
d b d b
Q() = = I.
c a c a
Then
(A I)Q() = p()I.
We immediately get p(A) = 0.
Now, suppose 1 is a double root of A. We can find an eigenvector v1 such that
Av1 = 1 v1 .
(A 1 I)v2 = v1 .
The solvability of v2 comes from the follows. Let Nk be the null space of (A 1 I)k ,
k = 1, 2. We have the following mapping
A I A I
N2 1 N1 1 {0}
We have seen that the only eigenvector is v1 . Thus, N1 =< v1 >, the span of v1 . From
the Caley-Hamilton theorem, N2 = R2 . The kernel of A 1 I is N1 . From a theorem
of linear map: the sum of the dimensions of range and kernel spaces equals the dimension
of the domain space. The domain space is R2 and the dimension of the kernel space is 1.
Hence, the range space has dimension 1. We conclude that the range of A 1 I is N1 .
Hence, there exists a v2 N2 such that
(A 1 I)v2 = v1 .
This is called the Jordan canonical form of A. We can find two solutions from this form:
y1 (t) = e1 t v1 ,
y2 (t) = te1 t v1 + e1 t v2
You can check the Wronskian W [y1 , y2 ](t) 6= 0. Thus, y1 and y2 form a fundamental
solution. The general solution has the form
y(t) = C2 tv2 + C1 v1
Homeworks.
1. B-D, pp. 398: 1,3,7, 9
3.2.3 Stability
We can plot a stability diagram on the plane of the two parameters T and D, the trace and
the determinant of A. The eigenvalues of A are
T + T 2 4D T T 2 4D
1 = , 2 = .
2 2
Let := T 2 4D. On the T -D plane, the parabola = 0, the line D = 0 and the
line T = 0 partition the plane into the following regions. The status of the origin is as the
follows.
Homework.
Av = v.
det (I A) = 0.
This is a third order equation because we have a 3 3 system. One of its roots must be
real. The other two roots can be both real or complex conjugate. We label the first one
by 3 and the other two by 1 and 2 . The corresponding eigenvectors are denoted by vi ,
i = 1, 2, 3. It is possible that 1 = 2 . In this case, v1 and v2 are the vectors to make A in
Jordan block. That is
Av1 = 1 v1
Av2 = 1 v2 + v1
The solution y1 and y2 are found exactly the same way as that in two dimension. The
solution y3 (t) = e3 t v3 . If 3 < 0, then the general solution tends to the plane spanned
by v1 and v2 . Let us denote this plane by < v1 , v2 >. On the other hand, if 3 > 0, the
solution leaves the plane < v1 , v2 >. The origin 0 is asymptotically stable only when the
real part of i
Re i < 0, i = 1, 2, 3.
Example.
Consider
0 0.1 0
A= 0 0 0.2 .
0.4 0 0
The characteristic equation is
3 0.008 = 0.
The roots are
3 = 0.2, 1 = 0.2ei2/3 , 2 = 0.2ei2/3 .
The eigenvectors are
1/2 1 + i 3 1 i 3
v3 = 1 , v1 = 2 i2 3 , v2 = 2 + i2 3 .
1 4 4
y0 (t) = y
0 3 2
= 3 0 1 y
2 1 0
We have many examples in the physical world represented with the same equation.
Motion of a charge particle in constant electric magnetic field The force exterted by
a charged particle is known as the Lorentz force
F = q(E + v B)
The motion of the charged particle in thisi E-M field is governed by
m
r = F.
Suppose the EM field is constant with E only in z direction and B in x direction. Then the
motion is on y z plane if it is so initially. We write the equation in each components:
m
y = qB z, z = qE qB y.
m
Let
qB
:= ,
m
the equations are rewritten as
E
y = z,
z = y .
B
The particle started from zero vecolity has the trajectory
E E
y(t) = (t sin t), z(t) = (1 cos t).
B B
This is a cycloid.
3.4. FUNDAMENTAL MATRICES AND EXP(T A) 61
Homework
Consider the equation
d
p y(t) = 0,
dt
where y is scalar. Let us consider
p(s) = (s 1)3 .
Show that
y1 (t) = et , y2 (t) = tet , y3 (t) = t2 et .
are three independent solutions.
Homeworks.
1. B-D,pp. 429, 17,18
Homework
1. Consider an n n matrix ODE
Y0 (t) = AY(t)
Let W (t) = detY(t). Show that
W 0 (t) = tr(A)W (t)
P
where tr(A) := Pi ai,i .
Hint: (detA)0 = i,j a0i,j Ai,j , where Ai,j is the cofactor of A.
62 CHAPTER 3. LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
3.4.2 exp(A)
Let us consider the space of all complex-valued matrices Mn = {A|A is a complex valued n n matrix}.
We can define a norm on Mn by
!1/2
X
kAk := |aij |2
i,j
kA + Bk kAk + kBk.
kABk kAkkBk.
The proof of the last assertion is the follows.
X X
kABk2 = | aik bkj |2
i,j k
XX X
( |aik |2 )( |bkj |2 )
i,j k k
XX XX
= ( |aik |2 ) ( |bkj |2 )
i k j k
2 2
= kAk kBk
With this norm, we can talk about theory of convergence. The space Mn is equivalent
2
to Cn . Thus, it is complete. This means that every Cauchy sequence converges to a point
in Mn .
Now we define the exponential function in Mn as the follows.
X 1 n
exp(A) := A . (3.9)
n=0
n!
exp(0) = I.
Proof. This series converges because Mn is complete and this series is a Cauchy series:
m m
X 1 k X 1
k A k kAkk < ,
n
k! n
k!
converges uniformly for t in any bounded set in R. And the derivative of exp(tA) is the
term-by-term differentiation of the original series:
d X 1
exp(tA) = tn1 An
dt n=1
(n 1)!
X 1
= tn1 An1 A
n=1
(n 1)!
= A exp(tA).
We have seen that the fundamental solution Y(t) of the equation y0 = Ay satisfies
Y0 = AY. From the above theorem, we see that exp(tA) is a fundamental solution satis-
fying exp(0) = I.
Below, we compute exp(tA) for some special A.
1 0
1. A = . In this case,
0 2
n
n 1 0
A =
0 n2
and
et1 0
exp(A) = .
0 et2
If 1 and 2 are complex conjugate and 1 = + i, then
exp(tA) = et (cos t + i sin t) I.
0
2. A = . In this case,
0
2 2 0
A =
0 2
0 3
A3 =
3 0
4
0
A4 =
0 4
64 CHAPTER 3. LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
Hence,
X 1 cos t sin t
n n
exp(tA) = t A =
n! sin t cos t
n
1
3. A = . The matrix A = I + N, where
0
0 1
N=
0 0
is called a nilponent matrix. N has the property
N2 = 0.
Thus,
An = (I + N)n = n I + nn1 N
With this,
X 1 n n
exp(tA) = t A
n=0
n!
X 1 n n
= t ( I + nn1 N)
n=0
n!
X 1
= exp(t)I + n1 tn N
n=1
(n 1)!
= exp(t)I + t exp(t)N
t
e tet
=
0 et
For general 2 2 matrices A, we have seen that there exists a matrix T = [v1 , v2 ] such
that
AT = T
where is either diagonal matrix (case 1) or a Jordan matrix (Case 3). Notice that
An = (TT1 )n = Tn T1
Hence, the corresponding exponential function becomes
X 1 n n
exp(tA) = t A
n=0
n!
X 1 n
= t Tn T1
n=0
n!
X 1 n n 1
= T( t )T
n=0
n!
= T exp(t)T1
3.5. NONHOMOGENEOUS LINEAR SYSTEMS 65
Y = [v1 , v2 ] exp(t)
Homeworks.
Show that if AB = BA, then exp(A + B) = exp(A) exp(B). In particular, use this
result to show exp((t s)A) = exp(tA) exp(sA)1 .
We use variation of parameters to solve this equation. Let (t) = exp(tA) be the fun-
damental solution for the homogeneous equation. To find a particular solution for the
inhomogeneous equation, we consider
y(t) = (t)u(t).
0 u + u0 = Au + f
Using 0 = A, we get
u0 = f
Hence, a particular of u is Z t
u(t) = (s)1 f (s) ds
0
This special solution has 0 initial data. The solution for initial condition y(0) = y0 has the
following expression:
Z t
y(t) = (t)y0 + (t)(s)1 f (s) ds (3.11)
0
Notice that the matrix exponential function also satisfies the exponential laws. We can
rewrite the above expression as
Z t
y(t) = (t)y0 + (t s)f (s) ds. (3.12)
0
Homeworks.
The method of Laplace transform converts a linear ordinary differential equation with con-
stant coefficients to an algebraic equation. The core of the this differential equation then
lies in the roots of the corresponding albebraic equation. In application, the method of
Laplace transform is particular useful to handle general source terms.
for some positive constants C and , the above improper integral converges uniformly and
absolutely for complex s lies in a compact set in {s C|Res > }:
Z Z
st C
|f (t)e | dt C et est dt =
0 0 s
4.1.1 Examples
1. When f (t) 1, L(1) = 1/s.
67
68 CHAPTER 4. METHODS OF LAPLACE TRANSFORMS
3. The function
1 for t 0
h(t) =
0 for t < 0
is called the Heaviside function. It has a discontinuity at t = 0 with jump h(0+)
h(0) = 1. The Laplace transform of
Z Z
st eas
L(h(t a)) = h(t a)e dt = est dt = eas L(1) = ,
0 a s
for any a 0.
4. When f (t) = tn ,
1 n st
Z Z
n n st
L(t ) = t e dt = t de
0 s 0
Z
1 n st
= (t e )0 ntn1 est dt
s 0
n n!
= L(tn1 ) = n+1
s s
Alternatively, we also have
Z Z
n d n st
n st
L(t ) = t e dt =
) e dt (
0 0 ds
d n st
Z
d 1 n!
= ( ) e dt = ( )n = n+1
ds 0 ds s s
n!
5. L(tn et ) = (s)n+1
. Indeed,
Z
n t
L(t e ) = tn et est ds
Z0
= tn e(s)t ds
0
n!
=
(s )n+1
4.1. LAPLACE TRANSFORM 69
6. L(eit ) = 1
si
, L(cos t) = s
s2 + 2
, L(sin t) =
s2 + 2
. Indeed,
1 1 1 1 s
L(cos t) = L(eit + eit ) = ( + )= 2 .
2 2 s i s + i s + 2
7. We shall apply the method of Laplace transform to solve the initial value problem:
y 0 + y = t, y(0) = y0 .
1. L is linear.
3. Translation:
Thus, the term eas in the s-space represents a translation in the time domain.
70 CHAPTER 4. METHODS OF LAPLACE TRANSFORMS
4. Dilation:
1 s 1 1 t
L(f (bt)) = F , L F (bs) = f .
b b b b
5. Differentiation:
6. Integration:
Z t Z
F (s) 1 f (t)
L f ( ) d = ,L F (s1 ) ds1 = ,
0 s s t
7. Convolution:
L(f g) = L(f ) L(g),
where Z t
(f g)(t) = f ( )g(t ) d
0
Proof.
Z Z t
st
L(f g) = e f ( )g(t ) d dt
0 0
Z Z t
= es f ( )es(t ) g(t ) d dt
Z0 0 Z
dt es f ( )es(t ) g(t )
= d
Z0
Z
s
= e f ( ) d est g(t) dt = L(f )L(g)
0 0
Homeworks.
(a) B0 (2t) B0 (2t 1), where B0 (t) = 1 for 0 t < 1 and B0 (t) = 0 otherwise.
(b) f (t) =
P
k=0 B(2t k).
4.2. LAPLACE TRANSFORM FOR DIFFERENTIAL EQUATIONS 71
(c) Let f0 (t) = t(1 t) for 0 t < 1 and f (t) = 0 elsewhere. Let f (t) be the
periodic extension of F0 with period 1. Find Lf0 , Lf , Lf00 and Lf 0 ..
5. Prove Z t Z
F (s) 1 f (t)
L f ( ) d = ,L F (s1 ) ds1 = ,
0 s s t
6. Let f (t) be a period function with period p. Let
f (t) for 0 < t < p
f0 =
0 elsewhere.
Let F (s) denote for Lf . Show that
Lf0 = Lf eps Lf = (1 eps )F (s).
P (D)y = f
L(P (D)y) = Lf
We claim that
L(P (D)y) = P (s) Y (s) I(s) = F (s) (4.6)
where Y (s) = (Ly)(s), F (s) = Lf (s) and
n X
X n
I(s) = ak y (ki) (0)si1 .
i=1 k=i
In other words, the function Y (s) of the Laplace transform of y satisfies an algebraic equa-
tion.
To show this, we perform
Z Z
st
k
L(D y) = k
D ye dt = est dy (k1) = y (k1) (0) + sL(Dk1 y).
0 0
Thus,
L(Dk y) = (y (k1) (0) sy (k2) (0) sk1 y(0)) + sk Ly.
Now, P (D) = nk=0 ak Dk , we have
P
n
X n
X k
X
L(P (D)y) = ak L(Dk y) = ak y (ki) (0)si1 + P (s)Ly
k=0 k=1 i=1
The equation
P (s) Y (s) I(s) = F (s)
can be solved with
F (s) + I(s)
Y (s) = .
P (s)
Let us call
1 1
G(t) = L
P (s)
called the Greens function. Then in the case of I(s) 0, we have
1 1
y(t) = L F (s) = (G f )(t)
P (s)
Thus, the solution is the convolution of the Greens function and the source term.
4.2. LAPLACE TRANSFORM FOR DIFFERENTIAL EQUATIONS 73
Homeworks.
1. B-D,pp.322: 24,27,36,38.
for any smooth function with finite support. The function here is called a test function.
Likewise, a generalized function is defined how it is used. Namely, it is defined how it acts
on smooth test functions. For instance, the Heaviside function is a generalized function in
the sense that Z Z
h(t)(t) dt := (t) dt.
0
The function f (t) := a1 (t t1 ) + a2 (t t2 ) is a generalized function. It is defined by
Z
f (t)(t) dt := a1 (t1 ) + a2 (t2 ).
All ordinary functions are generalized functions. In particular, all piecewise smooth func-
tions are generalized functions. For such a function f , it is un-important how f is defined
at the jump points. All it matters is the integral
Z
f (t)(t) dt
with test function . For piecewise smooth function f , the jump point makes no contribu-
tion to the integration.
74 CHAPTER 4. METHODS OF LAPLACE TRANSFORMS
The RHS is well-defined because f is a generalized function. You can check that Dt h(t) =
(t). If f is a piecewise smooth function having jump at t = a with jump height [f ]a
defined by [f ]a := limta+ f (t) limta f (t). Let f 0 (t) be the ordinary derivative of
f in the classical sense. f 0 (t) is defined everywhere except at t = a. This f 0 (t) is a
piecewise smooth function and hence it is a generalized function. From the definition of
the generalized derivative, one has
(Dt f )(t) = f 0 (t) + [f ]a (t a).
To see this,
Z Z Z a Z
0
(Dt f ) dt := f (t) (t) dt = ( + )f (t)0 (t) dt
a
(t)est dt = 1.
R
1. L =
2. L 0 = s,
3. Lh = 1/s.
P (D)y = f.
with initial data y(0), y (n1) (0) prescribed. We recall that the Laplace transform of this
equation gives
L(P (D)y) = P (s) Y (s) I(s) = F (s) (4.7)
where Y (s) = (Ly)(s), F (s) = Lf (s) and
n X
X n
I(s) = ak y (ki) (0)si1 .
i=1 k=i
There are two possible cases which can produce a solution to be a Greens function.
L = 1,
The Greens function corresponds to solution with impulse source and zero initial
data.
1
P (D)G(t) = 0 for t > 0, G(0) = G0 (0) = = 0, G(n1) (0) = .
an
76 CHAPTER 4. METHODS OF LAPLACE TRANSFORMS
Remark. Notice that the Greens functions obtained by the above two methods are iden-
tical. Indeed, let us see the following simplest example. The function eat are the solution
(Greens function) of both problems:
(i) y 0 ay = , y(0) = 0,
(ii) y 0 ay = 0, y(0) = 1.
Indeed, in the first problem, the equation should be realized for t R. The corresponding
initial data is y(0) = 0. While in the second problem, the equation should be understood
to be hold for t > 0 and the initial data understood to be y(0+) = 1. This is classical sense.
With this solution eat , if we define
at
e t0
y(t) =
0 t<0
then Dx y + ay = . This means that this extended function is a solution of (i) and the
derivative in (i) should be interpreted as weak derivative.
Examples
1. Suppose P (D) = (D + 1)(D + 2). Then
1 1 1
=
P (s) s+1 s+2
Hence,
G(t) = et e2t .
In these two examples, we notice that G(0) = 0 but G0 (0+) = 1. This is consistent to
G0 (0) = 0. Indeed, G0 has a jump at t = 0 and the generalized derivative of G0 produces
the delta function.
With the Greens function, using convolution, one can express the solution of the equa-
tion P (D)y = f with zero initial condition by
Z t
y(t) = (G f )(t) = G(t )f ( ) d.
0
A physical interpretation of this is that the source term f (t) can be viewed as
Z t
f (t) = f ( )(t ) d
0
4.2. LAPLACE TRANSFORM FOR DIFFERENTIAL EQUATIONS 77
the superposition of delta source (t ) with weight f ( ). This delta source produces a
solution G(t )f ( ). By the linearity of the equation, we have the solution is also the
superposition of these solution:
Z t
y(t) = G(t )f ( ) d.
0
Next, let us see the case when f 0 and the initial data are not zero. We have seen that
the contribution of the source is
n n
I(s) XX
Y (s) = , where I(s) = ak y (ki) (0)si1 .
P (s) i=1 k=i
When y(0) = y 0 (0) = = y (n2) (0) = 0 and y (n1) (0) = 1, the corresponding I(s) =
an y (n1) (0) = an . Hence, y(t) = L1 (I(s)/P (s) = an G(t).
Q`
Case 2. When P (s) has multiple roots, say P (s) = i=1 (s i )ki . Then
` i Xk j1
1 XX Ai,j,m sm
= j
,
P (s) i=1 j=1 m=0
(s i )
sm dm 1
1 1
L = mL .
(s i )j dt (s i )j
78 CHAPTER 4. METHODS OF LAPLACE TRANSFORMS
Let us see the Laplace inverse of si /P (s). You can check it is Di G(t). With this, we
can write the general solution as the follows.
P (D)y = f
with prescribed y(0), ..., y (n1) has the following explicit expression:
1 I(s) F (s)
y(t) = L +
P (s) P (s)
X n X n
= ak y (ki) (0)G(i1) (t) + (G f )(t)
i=1 k=i
Homeworks.
2. Prove L( (i) ) = si .
3. Find the Greens function for the differential operator P (D) = (D2 + 2 )m .
4. Find the Greens function for the differential operator P (D) = (D2 k 2 )m .
Nonlinear oscillators
y = F (y) (5.1)
where F (y) is the restoration force. We may integrate F once and define the potential V (y)
by
V 0 (y) = F (y).
With the help of potential, the total energy defined by
1
2 + V (y(t))
E(t) = y(t) (5.2)
2
is conserved. To see that, we multiplies (5.1) by y:
y y = V 0 (y)y,
5.1.1 Examples
Simple pendulum Let us consider a pendulum with arm length l. One of its end is fixed.
The other end has a mass m swinging with anlge from the verticle line. The acceleration
Here, the dot denotes for d/dt. The gravitational force in the direction of
of the mass is l.
motion is mg sin . Therefore, its equation of motion reads
ml = mg sin(),
79
80 CHAPTER 5. NONLINEAR OSCILLATORS
or
r
g
= 2 sin(), = . (5.3)
l
Motion on a given curve in a plane A curve (x(s), y(s)) in a plane can be parametrized
by its arc length s. If the curve is prescribed as we have in the case of simple pendulum, then
the motion is described by just a function s(t). By Newtons law, the motion is governed
by
m
s = f (s),
where f (s) is the force in the tangential direction of the curve. For instance, suppose
the curve is given by y = y(s), and suppose the force is the uniform garvitational force
mg(0, 1), then the force in the tangential direction is
dx dy dy
f (s) = ( , ) [mg(0, 1)] = mg .
ds ds ds
dy dy d
= = g sin
ds d ds
ml = mg sin ,
or in terms of s,
s
s = mg sin
m .
l
my 00 = V 0 (y)
y 4 y 2
V (y) = .
4 2
Energy method To find the trajectory with a prescribed energy E, we express y in terms
of y and E: p
y = 2(E V (y)).
Using separation of variables, we reach
dy
p = dt.
2(E V (y))
The solution is given implicitly by
Z
dy
p = t t0 .
2(E V (y))
The two constants E and t0 are determined by the initial data.
In abstract form:
y = F(y) (5.6)
Such system is called autonomous system, i.e. F(y) is independent of t. In this case, if
y(t) is a solution, so does y(t + t0 ) for any constant t0 . Therefore, we are mainly interested
in the trajectory {y(t)|t R} in the phase space, not the graph {(t, y(t))|t R}.
A constant y is called an equilibrium of (5.6) if F( y) = 0. In this case, y(t) y is a
constant solution.
For a conservative system: y = V 0 (y), we can obtain the trajectories on the phase
plane by energy method. The trajectories are given by the following implicit expression:
1
CE = {(y, y)| y 2 + V (y) = E}
2
y + 2 y = 0.
This yields
1 y
sin = t + C.
2E
Hence
2E
y= sin((t + t0 )),
where t0 is a free parameter.
Homeworks.
y 2 g
CE := {(y, y)
| cos y = E} (5.8)
2 l
This is the trajectory with energy E. These trajectories can be classified into the follow
categories.
5.2. SIMPLE PENDULUM 83
2
y2 gl cos y = E} is empty. Thus,
1. No trajectory: For E < g/l, the set {(y, y)|
there is no trajectory with such E.
2. Equilibria: For E = g/l, the trajectories are isolated points (2n, 0), n Z.
These correspond to equibria, namely they are constant state solutions
3. Bounded solutions. For g/l < E < g/l, the trajectories are bounded closed orbits.
Due to periodicity of the cosine function, we see from (5.8) that (y, y)
is on CE if and
only if (y + 2n, y)
is on CE . We may concenstrate on the branch of the trajectory
lying between (, ), since others are simply duplications of the one in (, )
through the mapping (y, y) 7 (y + 2n, y).
For y (, ), we see that the condition
y 2 g
cos y = E
2 l
implies
g
E+ cos y 0,
l
or
El
cos y .
g
This forces y can only stay in [y1 , y1 ], where
y1 = cos1 (El/g).
The condition g/l < E < g/l is equivalent to 0 < y1 < . The branch of the
trajectory CE in the region (, ) is a closed orbit:
2(E + gl cos y)
p
for y > 0,
y =
2(E + gl cos y) for y < 0
p
The solution is bounded in [y1 , y1 ]. The two end states of this orbit (y1 , 0), where
the velocity y is zero and the corresponding angle y has the largest absolute value.
The value y1 is called the amplitude of the pendulum.
We integrate the upper branch of this closed orbit by using the method of separation
of variable: Z y Z
dy
= dt = (t t0 )
2(E + gl cos y)
p
0
We may normalize t0 = 0 because the system is autonomous (that is, the right-hand
side of the differential equation is independent of t). Let us denote
Z y1
dy
t1 := .
2(E + gl cos y)
p
0
84 CHAPTER 5. NONLINEAR OSCILLATORS
Let us call Z y
dy
(y) := .
2(E + gl cos y)
p
0
Then (y) is defined for y [y1 , y1 ] with range [t1 , t1 ]. The function is
monotonic increasing (because 0 (y) > 0 for y (y1 , y1 )) Hence, its inversion
y(t) = (t) is well-defined for t [t1 , t1 ]. This is the solution y(t) in the upper
branch of CE in (, ). We notice that at the end point of this trajectory, y(t
1 ) = 0.
Therefore, for t > t1 , we can go to the lower branch smoothly:
Z y
dy
= t t1 .
2(E + gl cos y)
p
y1
This yields
Z 0 Z y
dy
+ = t t1 ,
2(E + gl cos y)
p
y1 0
(y) = 2t1 t.
We notice that
This can be consider as a limiting of the above case with E g/l from below.
5.2. SIMPLE PENDULUM 85
5. Unbounded solution: For E > g/l, there are two branches p of CE , the upper one
(y > 0) and the lower one (y < 0). The upper branch: y = 2(E + cos(y)g/l) > 0
is defined for all y R. By using the method of separation of variable, we get
Z y
dy
q =t
0 2 E + gl cos(y)
Let us call the left-hand side of the above equation by (y). Notice that (y)
is a monotonic increasing function defined for y (, ), because 0 (y) >
1
2(Eg/l)
> 0. The range of is (, ). Its inversion (t) is the solution y = (t).
Let Z 2
dy
T := q
2 E + gl cos(y)
0
From the periodicity of the cosine function, we have for 2n y 2(n + 1),
Z 2 Z 2n Z y
dy
t = (y) = + + + q
2 E + gl cos(y)
0 2(n1) 2n
This yields
t = nT + (y 2n).
Or
y(t) = 2n + (t nT ), for t [nT, (n + 1)T ].
5.2.2 Period
Let us compute the period for case 2 in the previous subsection. Recall that
Z y1 r Z y1
dy g dy
T = q = q
y1 2 E + gl cos(y)
2l y1 El + cos(y)
g
r Z y1 r Z y1
g dy g dy
= p = q
2l y1 cos(y) cos(y1 ) l y1 sin2 y1 sin2 y
2 2
where 0 < y1 = arccos(El/g) < is the amptitude of the pendulum. By the substitution
sin(y/2)
u= ,
sin(y1 /2)
where k = sin(y1 /2). This integral is called an elliptic integral. This integral cannnot be
expressed as an elementary. But we can estimate the period by using
1 1 k 2 u2 1 k 2
R1
for 1 u 1 and using 1 1/ 1 u2 du = , the above elliptic integral becomes
s s
l l 1
2 T 2 (5.10)
g g 1 k2
Homework.
Using Taylor expansion for (1 k 2 u2 )1/2 , expand the elliptic integral
Z 1
du
f (k) = p
1 (1 u2 )(1 k 2 u2 )
in Taylor series in k for k near 0. You may use Maple to do the integration.
The force
dy dy d l sin s
= = = sin = .
ds d ds 2l cos 2 2 4l
The equation of motion on cycloidal pendulum is
g
s = s,
4l
p
a linear equation! Its period is T = 2 l/g, which is independent of the amplitude of the
oscillation.
dy
s = g .
ds
The question is: what kind of curve produce linear oscillator. In other word, which curve
gives dy/ds = ks. This is an ODE for y(s). Its solution is
k 2
y(s) = s.
2
Since s is the arc length of the curve, we have
x0 (s)2 + y 0 (s)2 = 1.
Hence, x0 (s) = 1 k 2 s2 . We use the substitution: s = sin(/2)/k. Then
k 2 1 2 1
y= s = sin = (1 cos ).
2 2k 2 4k
Z Z Z
2 2
1 2 1 1
x= 1 k s ds = cos d = (1 + cos ) d = ( + sin ) .
2k 2 4k 4k
Thus, the planar curve that produces linear restoration tangential force is a cycloid.
Ref. http://mathworld.wolfram.com
dy p d(1 + gky)
= 1 + gky, or = gkds.
ds 1 + gky
This yields p
2 1 + gky = gks + C,
When s = 0, we have y(0) = 0. Hence the constant C = 2.
2
2 + gks
gky = 1.
2
The center of curvature of C at P = (x, y) is the center of the osculating circle that is
tangent to C at P . SupposepP 0 = (, ) is its coordinate. Then P P 0 is normal to C (the
normal (nx , ny ) is (y,
x)/
x 2 + y 2 ) and the radius of the osculating circle is 1/. Thus,
the coordinate of the center of curvature is
1 x 2 + y 2
= x + nx = x y ,
y y
x x
1 x 2 + y 2
= y + ny = y + x .
y y
x x
When (x(), y()) is given by the cycloid equation (5.11),
x = + + sin , y = 1 cos , ,
we find that its evolute
= + sin , = 1 + cos , (5.12)
is also a cycloid.
2. The evolute of C is the envelope of its normals. We want to find the tangent of the
evolute E and show it is identical to the normal of C. To see this, we use arc length s
as a parameter on C. With this, the normal (nx , ny ) = (y 0 , x0 ) and the curvature =
x0 y 00 y 0 x00 , where 0 is d/ds. The evolute is
= x y 0 , = y + x0 , (5.13)
where = 1/. Thus, the evolute E is also parametrized by s. Since x02 + y 02 = 1, we
differentiate it in s to get x0 x00 + y 0 y 00 = 0. This together with = x0 y 00 y 0 x00 yield
x00 = y 0 /, = y 00 = x0 /.
Differentiating (5.13) in s, we can get the tangent of the evolute E:
0 = x0 y 00 0 y 0 = 0 y 0 , 0 = y 0 + x00 + 0 x0 = 0 x0 , (5.14)
Therefore,
0 x0 + 0 y 0 = 0.
This means that the tangent ( 0 , 0 ) of the evolute at the center of curvature is parallel to
the normal direction (y 0 , x0 ) of the curve C. Since both of them pass through (, ), they
are coincide. In other words, the normal to the curve C is tangent to the evolute E at the
center of curvature.
5.4. THE ORBITS OF PLANETS AND STARS 91
3. The end point of the thread P lies on the cycloid C. We show that the radius of
curvature plus the length of portion on E where the thread is attched to is 4. To see this,
we denote the acr length on the evolute E by . The evolute E, as parametrized by the arc
length s of C is given by (5.13). Its arc length satisfies
2
d
= 02 + 02 = (0 y 0 )2 + (0 x0 )2 = 02
ds
Here, we have used (5.14). Hence, 02 = 02 . We take s = 0 at = ((x, y) = (, 2)).
We choose s > 0 when > . We take (0) = 0 which corresponds to (, ) = (, 2). We
call this point A (the cusp of the cycloid E). We also choose (s) > 0 for s > 0. Notice
that 0 (s) < 0. From these normalization, we have
0 (s) = 0 (s).
Now, as the mass moves along C to a point P on C, the center of curvature of C at P is Q
which is on the evolute E. We claim that
length of the arc AQ on E + the length of the straight line P Q = 4.
To see that, the first part above is
Z s Z s
0
ds = 0 ds = (0) (s).
0 0
The second part is simply the radius of curvature (s). Hence the above sum is (0) = 4.
Homework.
1. Given a family of curves : {(x(t, ), y(t, ))|t R}, a curve E is said to be the
envelop of if
(a) For each , is tangent to E. Let us denote the tangent point by P
(b) The envelop E is made of P with R.
Now consider the family of curves to be the normal of a cycliod C, namely
= (x() + tnx (), y() + tny ()),
where (x(), y()) is given by (5.11) and (nx , ny ) is its normal. Using this definition
of envelop, show that the envelop of is the cycloid given by (5.12).
where r is the distance from the star to the center, r is the position vector from the center
to the star and
r
r = ,
e
r
is the unit director. The equation of motion of the star is
r = F (r)
er .
r = r
er = r(cos , sin ).
Define
:= ( sin , cos )
e
r . Then a particle motion on a plane with trajectory
be the unit vector perpendicular to e
r(t) has the following velocity
r = r r = r
er + r e e .
er + r
where r is the radial speed and r is the circular speed. Here, we have used
d
r = (cos , sin ) =
e e .
dt
The acceleration is
r = re r + r
r + r e e + r
e + re
= (r r2 ) er + (2r + r)
e .
= d (r2 )
r(2r + r)
dt
is the change of angular momentum. Indeed, the angular momentum is
L = r r = r
er (r e ) = r2 n.
er + r
5.4. THE ORBITS OF PLANETS AND STARS 93
r r2 = F (r), (5.15)
d 2
(r ) = 0. (5.16)
dt
These are the two second-order equations for the unknowns (r, , r, The equation
).
(5.16) can be integrated and gives the conservation of angular momentum
r2 = constant = L. (5.17)
{(r, , r, | = L/r2 }.
)
L2
r = F (r) + , (5.18)
r3
where the second term on the right-hand side is the centrifugal force. Notice that this
equation is independent of . Thus, given initial data (r0 , 0 , r0 ) at time t = 0, we can find
from (5.18) by using (r0 , r0 ) only. We can then use r2 = L to find (t):
r(t) and r(t)
Z t
L
(t) = 0 + dt.
0 r(t)2
The equation (5.18) can be solved by the energy method. We multiply (5.18) by r on
both sides to obtain
1 L2
d 1 2
r + (r) + = 0,
dt 2 2 r2
where with 0 (r) = F (r) is the potential. We obtain the law of conservation of energy:
1 2 1 L2
r + (r) + = constant = E. (5.19)
2 2 r2
This energy is another integral. A prescribed energy E defines a surface in the (r, , r)-
1 2 1 L2
space. Since the energy 2 r + (r) + 2 r2 is independent of (a consequence of centrally
forcing), this energy surface is a cylinder CE R , where CE is the curve defined by (5.19)
on the phase plane r-r.
The equation of motion with a prescribed energy E is
r
dr L2
= 2(E (r)) 2 . (5.20)
dt r
94 CHAPTER 5. NONLINEAR OSCILLATORS
It is symmetric about the r-axis. Let us suppose that r1 and r2 ( r1 < r2 ) are two roots of
the right-hand side of the above equation:
L2
2(E (r)) =0
r2
and no other root in between. Then the curve defined by (5.20) is a closed curve connecting
(r1 , 0) and (r2 , 0). The radial period is defined to be the time the particle travels from (r1 , 0)
to (r2 , 0) and back. That is,
Z r2
dr
Tr = 2 p .
r1 2(E (r)) L2 /r2
Next, we shall represent this orbit on the orbital plane (r, ). From the conservation of
angular momentum
d L
= 2 6= 0,
dt r
we can invert the function (t) and use as our independent variable instead of the time
variable t. The chain rule gives
d L d
= 2 .
dt r d
The equation of motion now reads
L2
L d L dr
= F (r). (5.21)
r2 d r2 d r3
Next, we check the variation of as r changes for a radial period. The roots of the
right-hand side of (5.22) are equilibria. From (5.20) and (5.22), we see that dr/d = 0 if
and only if dr/dt = 0. Hence these roots are exactly r1 and r2 in (5.20). The orbit r = r()
defined by (5.20) must lie between its two extremals where dr/d = 0. That is, the orbit
r = r() must lie between the inner circle r r1 and the outer circle r r2 . The inner
radius r1 is called the pericenter distance, whereas r2 the apocenter distance.
5.4. THE ORBITS OF PLANETS AND STARS 95
As the particle travels from pericenter to apocenter and back (i.e. one radial period Tr ),
the azimuthal angle increases by an amount
Z r2 Z r2
d L dt
= 2 dr = 2 2
dr
r1 dr r1 r dr
Z r2
dr
= 2L p .
2 2(E (r)) L2 /r2
r1 r
Quadratic potential
The potential generated by a homogeneous sphere has the form (r) = 12 2 r2 , where
is a constant. The force in Cartesian coordinate is F = 2 (x, y). Hence the equation of
motion is
x = 2 x, y = 2 y.
We notice that the x and y components are decoupled. Its solution is
x(t) = a cos(t + x ), y(t) = b cos(t + y ). (5.25)
where a, b and x , y are constants. The orbits are ellipses.
The energy equation is
1 2 2 2 1 L2
r + r + = E.
2 2 2 r2
Its contour curves are bounded and symmetric about r and r axis. The solution is
r
L2
r = 2E 2 r2 2 .
r
2
The trajectory intersect r = 0 at r1 and r2 , where ri satisfies 2E 2 r2 Lr2 . This yields
2 E E 2 2 L2
ri =
2
There are two real roots when E 2 > 2 L2 . The above elliptical orbit moves between
between r1 and r2 . From the solution being an ellipse, we can also get that Tr = T .
Homework.
1. Show that the trajectory defined by (5.25) is an ellipse.
2. * Find the integral Z r2
2L dr
:= 2
q .
r1 r 2E 2 r2 L2
r2
96 CHAPTER 5. NONLINEAR OSCILLATORS
Kepler potential
The Kepler force is F (r) = GM/r2 , where M is the center mass, G the gravitational
constant. The potential is (r) = GM/r. From (5.23),
d2 u GM
2
+u= 2 .
d L
This yields
GM
u = C cos( 0 ) +
L2
where C and 0 are constants. By plugging this solution into the energy equation (5.24),
we obtain
1 2 2 1 GM G2 M 2 GM E
C sin (0 )+ C 2 cos2 (0 )+C cos(0 ) 2 + 4
2 C cos(0 ) = 2 .
2 2 L 2L L L
This yields p
2E G2 M 2 /L2
C= .
L
We may assume 0 = 0. Define
CL2 L2
e= , a= ,
GM GM (1 e2 )
the eccentricity and the semi-major axis, respectively. The trajectory reads
a(1 e2 )
r= . (5.26)
1 + e cos
This is an ellipse. The pericenter distance r1 = a(1 e), whereas the apocenter distance
r2 = a(1 + e). The periods are
r
a3
Tr = T = 2 . (5.27)
GM
Homework.
1. Prove (5.27).
d2 u
2GM a GM
2
+ 1 2
u= 2 ,
d L L
GM K 2
1 0
= u = C cos + ,
r K L2
where 1/2
2GM a
K= 1 .
L2
The constant K > 1 for a > 0 and 0 < K < 1 for a < 0. The constant C is related to the
energy E by
2
1 C 2 L2 1 GM K
E= .
2 K2 2 L
The pericenter and apocenter distances are respectively
1 1
GM K 2 GM K 2
r1 = +C , r2 = C .
L2 L2
Here, u1 = 1/r1 and u2 = 1/r2 . To plot the trajectory on u- plane, we may assume
0 = 0. If K is rational, then the orbit is closed. For instance, when K = 1, the trajectory
is an ellipse. When K = 3/2, the particle starts from (u1 , 0), travels to (u2 , 3/2), then
back to (u1 , 3), then to (u2 , (3 + 3/2)), finally return to (r1 , 6).
Reference. James Binney and Scott Tremaine, Galactic Dynamics, Princeton University
Press, 1987.
Homeworks
1. Consider the Duffings equation
0 x2 x3
x = V (x), V (x) = + .
2 3
(a) Find the equilibria.
(b) Plot the level curve of the energy E on the phase plane s-s0 .
(c) Find the period T as a function of E.
(d) Analyze the stability of the equilibria.
(e) There is a special orbit, called the homoclinic orbit, which starts from the orgin,
goes around a circle, then comes back to the orgin. Find this orbit on the phase
plane and try to find its analytic form.
5.5 Damping
In this section, we consider dissipative nonlinear oscillators. The dissipation is due to
friction. The friction force is usually a function of velocity. Let us call it b(y).
In general,
we consider
y = F (y) + b(y)
(5.28)
The friction force has the property:
This means that the direction of the frictional force is in the opposite direction of the ve-
locity and the friction force is zero if the particle is at rest. Here are two concrete examples
of damping.
ml = mg sin .
ml = mg sin . (5.29)
5.5. DAMPING 99
m y ky, (v) = v 4 ,
y = (y) (5.30)
Suppose F ( y ) = 0. Then steady state y(t) y is a solution. Here, we have used b(0) = 0.
We call the state (
y , 0) an equilibrium on the phase plane.
Recall in the case of linear spring with damping, we have seen in Chapter 2 that every
solution tends to the zero state as t tends to infinity. This zero state is an equilibrium and it
is globally stable (i.e. any solution tends to this equilibrium as t ). Let us study the
same global stability problem for the damped nonlinear equation(5.31). Let us suppose that
the potential corresponding to the force F (y) is V (y), i.e. V 0 (y) = F (y). We consider
the following damped system:
y = V 0 (y) + b(y).
(5.32)
The following theorem give a sufficient condition for global stability of the equilibrium.
Theorem 5.6 Suppose V (y) as |y| and V (y) has only one minimum y. Then
any solution y satisfies
Proof. For simplicity, we assume b(y) = y. It should be clear if this case is done, how it
can be generalized to more general cases. Without loss of generality, we may also assume
y = 0 and V (0) = 0. Otherwise, we may just replace y by y y and V (y) by V (y) V ( y ),
which does not alter F (y) in the original problem.
We use energy method: multiplying y on both sides of (5.31), we obtain
y y = V 0 (y)y y y
dE
= y 2 , (5.33)
dt
where
y 2
E(y, y)
:= + V (y). (5.34)
2
The strategy is to prove (i) E(t) 0, and (ii) E(y, y) = 0 if and only if (y, y)
= (0, 0),
and (iii) (y(t), y(t))
(0, 0). We divide the proof into the following steps.
100 CHAPTER 5. NONLINEAR OSCILLATORS
Step 1. From (5.33), E(t) := E(y(t), y(t)) is a decreasing function along any trajectort
(y(t), y(t)).
0. we get E(t) decreases to a
Further, it has lower bound, namely, E(y, y)
limit as t . Let us call this limit .
theorem on the initial data. Namely, the solution of an ODE depends on its initial data
continuously. Let us accept this fact. Suppose ( y (0), y (0)) + , we want to prove that for
any fixed s > 0, ( y (s), y (s)) + . Since ( y (0), y (0)) + , there exist tn such that
(y(tn ), y(t n )) ( y (0), y (0)). For large n, let us consider two solutions, one has initial data
(y(tn ), y(t n )), the other has initial data ( y (0), y (0)). The two initial data are very closed.
By the continuity dependence of the initial data, we get (y(tn + s), y(t n + s)) is also closed
to (
y (s), y(s)). This yields that (y(tn + s), y(t n + s)) (
y (s), y(s)) as n . Thus,
y (s), y (s)) + .
(
Step 3. We claim that E( y (s), y (s)) = for any s 0. This is because (y(tn +s), y(t n+
s)) (
y (s), y(s)) as n and the corresponding energy E(y(tn + s), y(t n + s)) .
This implies
d
y (s), y (s)) = 0.
E(
ds
2
On the other hand, ds d
y (s), y (s)) = y (s). Hence, we get y (s) 0. This again
E(
implies y(s) y for some constant y. Thus, ( y , 0) is an equilibrium state of the damping
oscillation system (5.32). However, the only equilibrium state for (5.32) is (0, 0) because
V has a unique minimum and thus the only zero of F := V 0 is 0. This implies
y (s), y (s)) = = 0.
E(
We conclude that
E(y(t), y(t))
= 0 as t .
The above method to show global stability is called the Lyapunov method. The energy
function E above is called a Lyapunov function. Thus, the effect of damping (dissipation)
is a loss of energy.
5.5. DAMPING 101
y ky, (v) = v 4 ,
y = (y)
m
the equilibrium state is (0, 0). From Lyapunov method, we see that this equilibrium is
globally stable.
For the simple pendulum, we see that V () = g/l cos has infinite many minima:
= 2n. The function E(y, y) has local minima (2n, 0). The local minimum (2n, 0)
sits inside the basin
Bn = {(y, y)
| E(y, y)
< g/l}.
The equilibrium (2n, 0) is the only minimum of E in the basin Bn . Suppose a solution
starts from a state (y(0), y(0))
Bn , then by using the Lyapunov method, we see that
(y(t), y(t))
(2n, 0) as t .
What will happen if E(0) g/l initially? From the loss of energy we have E(t) will
eventually go below g/l. Thus, the trajectory will fall into some basin Bn for some n and
finally goes to (2n, 0) as t .
Homeworks
1. Plot the phase portrait for the damped simple pendulum (5.29).
2. Consider a simple pendulum of length l with mass m at one end and the other end is
attached to a vibrator. The motion of the vibrator is given by (x0 (t), y0 (t). Let the
angle of the pendulum to the verticle axis (in counterclockwise direction) is (t).
(a) Show that the position of the mass m at time t is (x(t), y(t)) = (x0 (t) +
l sin (t), y0 (t) cos (t)).
(b) Find the velocity and acceleration of m.
(c) Suppose the mass is in the uniform gravitational field (0, mg). Use the New-
tons law to derive the equation of motion of m.
(d) Suppose (x0 (t), y0 (t)) is given by (0, sin(0 t). Can you solve this equation?
The populations of a predator and prey exhibit interesting periodic phenomenon. A sim-
ple example is the fox-rabbit system. Let R(t) be the population of rabbit and F (t) the
population of fox. The model proposed by Lotka-Volterra reads
R = R RF
F = F + RF.
Here,
103
104 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
An epidemic model
Consider the spread of a viral epidemic through an isolated population. Let x(t) denote the
number of susceptible people at time t, y(t) the number of infected people. The epidemic
model reads
x = 0.0003x 0.005xy
y = 0.1y + 0.005xy
The first equation means that the birth rate of susceptible people is 0.0003. Susceptible
people are infected through interaction and the infected rate is proportional to xy. The
second equation means that the death rate of infected people is 0.1. The infected rate is the
same as that in the first equation.
We shall study the initial value problem for this system with initial data (x(t0 ), y(t0 )) =
(x0 , y0 ), where t0 is the starting time. We may write this problem in vector form
y = f (y) (6.2)
y(t0 ) = y0 . (6.3)
First, we have the standard existence and uniqueness theorems.
6.3. EQUILIBRIA AND LINEARIZATION 105
Theorem 6.7 If f is continuously differentiable, then the initial value problem (6.2) and
(6.3) has a unique solution for t in some small interval (t0 , t0 + ).
Notice that the vector field f (y) we consider here is independent of t explicitly. Such
systems are called autonomous systems. For autonomous systems, we notice the following
things.
It is enough to study the initial value problems with t0 = 0. For if y(t) is the solution
with y(t0 ) = y0 , then z(t) := y(t t0 ) is the solution with z(0) = y0 , and y() and
z() trace the same trajectory on the plane. We call such trajectories the orbits, the
y-plane the phase plane.
Two orbits cannot intersect on the phase plane. This follows from the uniqueness
theorem.
An orbit cannot end in finite region. This means that it is not possible to find a finite
time T such that (i) y() exists in [0, T ), (ii) y() can not be extended beyond T , and
{y(t)|t [0, T )} stays in finite region. For the limit limtT y(t) must exist and the
existence theorem allows us to extend the solution beyond T . Therefore, we can only
have either limtT |y(t)| = or T = .
Our goal is to characterize the orbital structure on the phase plane. There are some special
orbits which play important roles in the characterization of the whole orbital structure.
They are (i) equilibria, (ii) periodic orbits, (iii) equilibria-connecting orbits.
The constant function y(t) y is a solution. We want to study the behaviors of solutions
. It is natural to take Taylor expansion of y about y
of (6.2) which take values near y . We
have
f
y = f (y) = f (
y) + y) (y y
( |2 ).
) + O(|y y
y
Let u = y y
. Then u(t) satisfies
u = Au + g(u), (6.4)
where
f f
A := ( y + u)
y) , g(u) := f ( y) u = O(|u|2 ).
(
y y
.
System (6.4) is called the linearized equation (or the perturbed equation) of (6.2) about y
We have already known the structure of the linear equation
v = Av. (6.5)
v1 = A1 v1 , (6.6)
with A1 A. We ask when do the solutions of (6.6) and (6.5) look similar? The quantita-
tive behaviors of solutions of (6.5) are determined by the eigenvalues of A. Namely,
1 1
1 = T + T 2 4D , 2 = T T 2 4D .
2 2
where T = a + d and D = ad bc. It is clear that i are continuous in T and D, hence in
a, b, c, d, or hence in A. Thus, if we vary A slightly, then the change of i is also small on
the complex plane.
Now suppose
Rei (A) 6= 0, i = 1, 2. (6.7)
Then this property is still satisfied for those A1 sufficiently closed to A. The property
(6.7) corresponds to that the zero state is a (spiral) source, a (spiral) sink, or a saddle. We
conclude that sink, source and saddle are persistent under small linear perturbation.
Homework.
1. Suppose Rei (A) 6= 0, i = 1, 2. Let
a1 b1
A1 = .
c1 d1
Rei (A1 ) 6= 0, i = 1, 2.
The same result is still valid for nonlinear perturbation. We use the following example
to explain the picture. Consider
x = r1 x
(6.8)
y = r2 y + x2 .
This yields
2r1 B = r2 B + x20 .
Thus, general solutions of y(t) reads
x20
y(t) = Aer2 t + e2r1 t . (6.10)
2r1 r2
We see that the asymptotical behavior of (x(t), y(t)) is
When r1 < 0 and r2 < 0, then (x(t), y(t)) (0, 0) as t . We call (0, 0) a sink.
Remark. In the case r1 < 0 and r2 < 0, even in the resonant case, i.e. 2r1 = r2 ,
we still have y(t) 0 as t .
When r1 > 0 and r2 > 0, then (x(t), y(t)) (0, 0) as t . We call (0, 0) a
source.
The orbit with x0 = 0 is called a stable manifold passing (0, 0), while the orbit with
A = 0 a unstable manifold. We denote the former one by Ms and the latter one by
Mu . We call (0, 0) a saddle point. By eliminate t from (6.9) and (6.10), we can obtain
the equations of Ms and Mu as the follows.
Ms : x = 0,
Mu : y = x2 .
2r1 r2
When r1 < 0 and r2 > 0, (0, 0) is a saddle point. The stable and unstable manifolds
are
Mu : x = 0,
Ms : y = x2 .
2r1 r2
Let us go back to the general formulation (6.2). We have the following definitions.
of (6.2) is called
Definition 3.3 An equilibrium y
a sink if y(t) y
as t ,
108 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
a source if y(t) y
as t ,
2. A curve Mu ( if
y) is called a unstable manifold passing through the equilibrium y
y(t) y as t for any solution y(t) with y(0) Mu ( y).
Theorem 6.8 Consider the autonomous system (6.2) and its linearization (6.5) about an
equilibrium. Suppose y is hyperbolic. Then
source
y is a sink of the nonlinear equation
saddle
if and
only if
source
0 is a sink of the linearized equation
saddle
Remark. If an equilibrium y is not hyperbolic, then the perturbation can break the local
orbital structure. Let us see the following example. Consider
( 2 2
x = y + (x +y
2
)
x
(x +y 2 )
2
x = x + 2 y
When = 0, the orbits are circles with center at the origin. To see the effect of perturbation,
we multiply the first equation by x and the second equation by y then add them together.
We obtain
= 2
where = x2 + y 2 . The solution of (t) is
1
(t) = .
(0)1 t
When < 0, the solution tends to 0 as t . When > 0, the solution tends to zero as
t . Moreover, the solution (t) as t (0)1 /. Thus, the center becomes a
sink if < 0 and a source when > 0.
6.3. EQUILIBRIA AND LINEARIZATION 109
where
r1
L1 = .
1
This yields
x1 x2
x1 = 0, 1 = 0.
K1 L 1
They are called the x-nullclines. Similarly, the y-nullclines are
x2 x1
x2 = 0, 1 = 0,
K2 L 2
where L2 = r22 .
The quantity L1 = r1 /1 measures the competitive capacity of species 1. The quan-
tity L1 is large means that r1 is large (species 1 has large growth rate) or 1 is small (it is
less sensitive to competition). Let us define
L1 L2
s1 = , s2 = .
K2 K1
The quantity s1 measures the competitive ratio of species 1 relative to the maximal popula-
tion of species 2. s1 > 1 means that species 1 is more competitive relative to the maximal
population of species 2.
The intersection of a x-nullcline and a y-nullcline is an equilibrium. We are only inter-
ested in those equilibria in the first quadrant because xi is the population of the i species.
There are four cases.
In the first two cases, there are three equilibria in the first quadrant: E0 = (0, 0), E1 =
(K1 , 0) and E2 = (0, K2 ). In the last two cases, there are four equilibria: E0 = (0, 0),
E1 = (K1 , 0), E2 = (0, K2 ) and E = (x1 , x2 ), where
1
L1 L2 (s1 1)
x1 = K2
1
1
L 1L
= s1 s2 1
K1 K2 1 2
1
L1 L1 (s2 1)
x2 = K1
1
2
L 1L
= s1 s2 1
K1 K2 1 2
We get
K 1 r1
f r1 0 f r1 K2 s 1
(0, 0) = , (K1 , 0) = ,
x 0 r2 x 0 r2 (1 s12 )
In all cases, E0 is a unstable node.
After some computation, we can draw the following conclusion.
Theorem 6.9 In the two-species competition model, the equilibria and their stability are
the follows.
Case 4: s1 > 1 and s2 > 1: both E1 and E2 are saddle and E is a stable node.
Ecologically, this theorem says that co-existence of two competing species can occur only
when both are competitive.
In the case of the competitive model for the left curling snails and right curling snails,
both have the same parameters r, K and . Thus, both have the same competitive ratio:
r
s= .
K
If s > 1, both would be competitive and they would co-exist. But this is not the case we
have found. Instead, we find only one kind exists now in nature. To give an explanation,
we notice that the term r/Kx21 represents the self competition, while the term x1 x2
the cross competition. We should expect that these two competition terms are about the
same magnitude. That is, r/K . In this case, s 1. If the cross competition is slightly
stronger than the self competition, we would have s < 1. This would yield that only one
species can survive in long time.
Ref. Clifford Henry Taubes, Modeling Differential Equations in Biology, pp. 23, pp. 73,
pp. 81.
6.4. PHASE PLANE ANALYSIS 111
Homeworks.
The equilibria are those states where $(f,g) = (0,0)$. They are
> fig1 :=
> implicitplot( {
> subs(Case1,x(t)=x1,y(t)=x2,f=0),
> subs(Case1,x(t)=x1,y(t)=x2,g=0) },
> x1=-0.2..1.5,x2=-0.2..3,
> grid=[100,100],color=navy):
> display(fig1,axes=boxed);
2.5
1.5
x2
0.5
x1
> f1 := subs(Case1,x(t)=x1,y(t)=x2,f):
> g1 := subs(Case1,x(t)=x1,y(t)=x2,g):
> vsign := piecewise(
> 2, f1 > 0 and g1 > 0,
> -2, f1 > 0 and g1 < 0,
> -1, f1 < 0 and g1 < 0,
> 1, f1 < 0 and g1 > 0);
> plot3d(vsign,x1=-0.2..1.5,x2=-0.2..3,axes=frame,grid=[100,100],
> orientation =[-90,0],style=HIDDEN,shading=ZHUE);
x2
2 3 x1 (1 x1 ) + x1 x2 < 0 and 2 x2 (1 ) + 4 x1 x2 < 0
2
x2
1 3 x1 (1 x1 ) + x1 x2 < 0 and 2 x2 (1
) 4 x1 x2 < 0
vsign := 2
x2
1 3 x1 (1 x1 ) x1 x2 < 0 and 2 x2 (1 ) 4 x1 x2 < 0
2
x2
2
3 x1 (1 x1 ) x1 x2 < 0 and 2 x2 (1 ) + 4 x1 x2 < 0
2
6.4. PHASE PLANE ANALYSIS 113
x1
0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4
3
2.5
1.5
x2
0.5
Vector field
3
2.5
1.5
x2
0.5
Find the separametrices. You need to try to find a proper initial data such that it generates
a separametrix.
114 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
2.5
1.5
y
0.5
0.5
0 0.5 1 1.5
x
Homeworks.
3. Plot phase portraits for the four cases in the competitive model in the last subsection.
6.5. HAMILTONIAN SYSTEMS 115
The starting point is unimportant. We can choose any point as our starting point. The
corresponding is defined up to a constant. By the divergence theorem, the integral is
independent of path in a simply connected domain. Hence, is well-defined on simply
connected domain. You can check that y = u and x = v. If the domain is not simply
connected, the steam function may be a multiple valued function. We shall not study this
case now.
The particle trajectory is governed by
x = u(x, y) = y (x, y)
y = v(x, y) = x (x, y)
which is a Hamiltonian flow with Hamiltonian (x, y). The second equation for the veloc-
ity field yields that
2 2
+ 2 = 0.
x2 y
Such a function is called a harmonic function. The theory of potential flow can be analyzed
by complex analysis. You can learn this from text books of complex variable or elementary
fluid mechanics.
Here are two examples for the potential flow: (1) = Im(z 2 ), (2) (z) = Im(z+1/z),
where z = x + iy and Im is the imaginary part. The first one represent a jet. The second
is a flow passes a circle (or cylinder if you view in three dimension).
Example 5. The magnetic field B satisfies divB = 0. For two-dimensional steady mag-
netic field B = (u, v), this reads
ux + vy = 0.
The magnetic field lines are the curves which are tangent to B at every points on this line.
That is, it satisfies
x = u(x, y) = y (x, y)
y = v(x, y) = x (x, y)
where is the stream function corresponding to the divergent free field B.
Example 6. Linear hamiltonian flow. If we consider
ax2 cy 2
H(x, y) = + bxy +
2 2
the corresponding Hamiltonian system is
x b c x
= (6.12)
y a b y
A conservative quantity we can immediately get is the Hamiltonian itself. That is, along
any trajectory (x(t), y(t)) of (6.11), we have
d
H(x(t), y(t)) = Hx x + Hy y = Hx Hy + Hy (Hx ) = 0.
dt
In two dimension, the orbits of a Hamiltonian system in the phase plane are the level sets
of its Hamiltonian.
2. (
x, y) is a saddle of H, iff (
x, y) is a saddle.
In the case of simple pendulum, (2n, 0) are the centers, whereas (2(n + 1), 0) are the
saddles. In the case of Duffing oscillator, ( , 0) are the centers, while (0, 0) is the
saddle. In the last example, the Hamiltonian system reads
x = p
(6.13)
p = x 32 x2 .
The equilibrium occurs at (0, 0) and (3/2, 0), where the right-hand sides of the ODE are
0s.
Below, we use Maple to plot the contour curves the Hamiltonian. These contour
curves are the orbits.
> with(DEtools):
> with(plots):
> E := y2/2+x3/3-delta*x2/2;
1 1 1
E := y 2 + x3 x2
2 3 2
Plot the level set for the energy. Due to conservation of energy, these level sets are the
orbits.
> contourplot(subs(delta=1,E),x=-2..2,y=-2..2,grid=[80,80],contours
> =[-0.3,-0.2,-0.1,0,0.1,0.2,0.3],scaling=CONSTRAINED,labels=[s,s
> title=delta=1);
delta=1
2
s 1
Remarks.
It is clear that asymptotical stability implies stability.
For linear systems, centers are stable whereas sinks and spiral sinks are asymptoti-
cally stable.
The latter simply means that the force is in the opposite direction of the velocity. Thus, the
system reads
x = p
p = V 0 (x) + b(p)
You can check that along any trajectory (x(t), v(t)),
d
(H(x(t), p(t)) = Hx x + Hp p = V 0 (x)p + p(V 0 (x) b) = bp < 0.
dt
Thus, the Hamiltonian h decreases along any trajectories until p = 0. Such a perturbation
is called a dissipative perturbation. As a result, we can see that (0, 0) becomes asymptotic
stable. Indeed, we shall show in the section of Liapunov function that (x(t), p(t)) (0, 0)
as t for any trajectories. Here, we just show that, from the linear analysis, the center
becomes a spiral sink for a Hamiltonian system with dissipative perturbation. We shall
assume b0 (0) 6= 0. The variational matrix at (0, 0) is
0 1 0 1
=
Hxx Hxp + b0 (0) V 00 (0) b0 (0)
Thus, if b0 (0) 6= 0, then b0 (0) < 0. Hence, (0, 0) becomes a spiral sink.
120 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
= x (, )
x = y (x, y)
y = x (x, y) = y (, )
then
x(t) + y(t)
(t) (t)
= 0.
Thus, the two flows are orthogonal to each other. We have seen that is an integral of the
Hamiltonian. If is an integral of the gradient flow (6.14). That is, the gradient flows are
the level sets of . We recall that the level sets of are the orbits of the Hamiltonian flows.
We conclude that the level sets of and are orthogonal to each other.
Example 1. Let = (x2 y 2 )/2. Then the gradient flow satisfies
x = x
y = +y
Its solutions are given by x = x0 et and y = y0 et . We can eliminate t to obtain that the
function (x, y) := 2xy is an integral. If we view these functions on the complex plane:
z = x + iy, we see that (z) + i(z) = z 2 .
Example 2. Let (x, y) = (x2 + y 2 )/2. The gradient flows are given by
x = x
y = y
ax2 cy 2
(x, y) = + bxy +
2 2
the corresponding Hamiltonian system is
x b c x
=
y a b y
x2 y 2
(x, y) := = C1 .
1 x2
Remarks.
d d
h((x(t), y(t)) = h0 () (x(t), y(t)) = 0.
dt dt
If (0, 0) is the center of , then (0, 0) is a sink of the corresponding gradient flow.
The properties of a gradient system are shown the the next theorem.
122 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
Assume that the critical points of are isolated and non-degenerate. Then the system has
the following properties.
If (
x, y) is an isolated minimum of , then (
x, y) is a sink.
If (
x, y) is an isolated maximum of , then (
x, y) is a source.
If (
x, y) is an isolated saddle of , then (
x, y) is a saddle.
1
T T 2 4D ,
2
2
where T = xx + yy , D = xx yy xy . From
T 2 4D = (xx yy )2 + 4xy
2
0
we have that the imaginary part of the eigenvalues i are 0. Hence the equilibrium can only
be a sink, a source or a saddle.
Recall from Calculus that whether the critical point ( x, y) of is a local maximum,
a local minimum, or a saddle, is completed determined by 1 , 2 < 0, 1 , 2 > 0, or
1 2 < 0, respectively. On the other hand, whether the equilibrium ( x, y) of (6.14) is a
source, a sink, or a saddle, is also completed determined by the same conditions.
Remarks.The integral of a gradient system can also be a hamiltonian and generates a
hamiltonian flow. Suppose ( x, y) is a sink of such a gradient flow of . In the mean time
this gradient flow can be viewed as a hamiltonian flow of . We then would get that ( x, y)
is a sink of a hamiltonian flow. This contradicts to the theorem in the last section which
says that the non-degenerate equilibrium of a hamiltonian system can only be saddles or
centers. Whats wrong? The problem is that is no longer a smooth function at ( x, y) if
the latter is a sink or source of a gradient flow of . The theorem of the last section can not
be applied for this case.
6.5. HAMILTONIAN SYSTEMS 123
Homeworks.
x() = 0, p() = 0.
et 1
t
u= t = tanh .
e +1 2
124 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
This yields
2t 2
x(t) = 1 u = sech .
2
When (1 + u)/(1 u) < 0, we have
et + 1
t
u= t = coth .
e 1 2
This yields
2 t 2
x(t) = 1 u = csch .
2
This should be the solution on the left half plane in the phase plane. From
3 t t > for t > 0
x(t) = sinh cosh =
2 2 < for t < 0
Hence, the branch on the upper plane is the one with t (0, ), while the lower branch,
t ().
Below, we use Maple to plot these orbits in the phase plane and the corresponding
graphs of x(t).
> with(DEtools):
> with(plots):
> E := y2/2+x4/4-delta*x2/2;
1 1 1
E := y 2 + x4 x2
2 4 2
Plot the level set for the energy. Due to conservation of energy, these level sets are the
orbits.
> contourplot(subs(delta=1,E),x=-2..2,y=-2..2,grid=[80,80],contours
> =[-0.3,-0.2,-0.1,0,0.1,0.2,0.3],scaling=CONSTRAINED,labels=[s,s
> title=delta=1);
delta=1
s
0.5
0.5
1
6.6. LIAPUNOV FUNCTION AND GLOBAL STABILITY 125
Homeworks.
1. Use the same method to find the homoclinic orbits for the Duffing equation.
Definition 6.8 A smooth function (x, y) is called a Liapunov function for (6.15) if
d(x(t), y(t))
< 0. (6.16)
dt
Thus, (x(t), y(t)) is a decreasing function.
Theorem 6.12 Consider the system (6.15). Suppose (0, 0) is its equilibrium. Suppose the
system possesses a Liapunov function , then (0, 0) is globally and asymptotically stable.
That is, for any trajectory, we have
Proof. We shall use the extremal value theorem to prove this theorem. The extremal value
theorem states that
a continuous function in a bounded and closed domain in Rn attains its extremal value.
Along any trajectory (x(t), y(t)), we have that (x(t), y(t)) is decreasing (condition (iii))
126 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
and bounded below (condition (i)). Hence it has a limit as t tends to infinity. Suppose
limt (x(t), y(t)) = m > 0. Then the orbit (x(t), y(t)), t (0, ) is confined in the
region S := {(x, y)|m (x, y) (x(0), y(0))}. From condition (ii), this region is
bounded and closed. Hence d(x(t), y(t))/dt can attain a maximum in this region (by the
extremal value theorem). Let us call it . From (6.16), we have < 0. But this implies
Z t
d(x(t), y(t))
(x(t), y(t)) = dt t as t .
0 dt
is bounded and closed. Hence, by the extremal value theorem again that attains a mini-
mum in this region. Since > 0 in this region, we have
Remark. We give another intuitive proof to show that (x(t), y(t)) 0 as t implies
(x(t), y(t) (0, 0), at least locally. Since (x, y) has minimum at (0, 0). it implies that
there exists c > 0 such that
(x, y) c(x2 + y 2 )
for (x, y) (0, 0). From (x(t), y(t)) 0 as t , we obtain
We take
1 g
(x, y) = y 2 + (1 cos x).
2 l
Then
g g
x f + y g = sin(x)y + y( sin x by) = by 2 < 0.
l l
Although the function does not satisfy (ii) in the definition of Liapunov function,
it satisfies
g
{(x, y)|(x, y) }
l
128 CHAPTER 6. NONLINEAR SYSTEMS IN TWO DIMENSIONS
Chapter 7
7.1 Existence
In this section, we study the existence, uniqueness and numerical schemes to construct
solutions for the initial value problem
y(t0 ) = y0 . (7.2)
Theorem 7.13 (Local Existence, Cauchy-Peano theory) Consider the initial value prob-
lem (7.1), (7.2). Suppose f and f /y are continuous in a neighborhood of (t0 , y0 ), then the
initial value problem (7.1) and (7.2) has a solution y() in [t0 , t0 + ] for some > 0.
This is an integral equation for y(). We claim that the initial value problem (7.1)
(7.2) is equivalent to the integral equation (7.3).
We have seen the derivation from (7.1) and (7.2) to (7.3). Conversely, Rt if y() is
continuous and satisfies (7.3), then f (, y()) is continuous. Hence, t0 f (s, y(s)) ds
is differentiable. By the fundamental theorem of Calculus, y0 (t) = f (t, y(t)). Hence,
y() satisfies (7.1). As t = t0 , the integral part of (7.3) is zero. Hence y(t0 ) = y0 .
2. Function space C[I] and function on function space. The integral equation can be
viewed as a fixed point equation
Rt in a function space C[I] as the follows. First, let us
denote the function y0 + t0 y(s, y(s)) ds by z(t). The mapping y() 7 z(), denote
by (y). maps a function to a function. The domain of consists of all continuous
functions y defined in the interval I = [t0 , t0 + ], that is
129
130 CHAPTER 7. EXISTENCE, UNIQUENESS THEOREMS
The space C[I] depends on , and > 0 is to be chosen later. We find that maps
C[I] into itself. The integral equation (7.3) is equivalent to the fixed point equation
y = (y) (7.4)
y0 (t) y0
Z t
n+1 n
y (t) = (y )(t) := y0 + f (s, yn (s)) ds, n 1. (7.5)
t0
4. C[I] is a complete normed function space. In order to show the limit of yn stays
in C[I], we need to define a norm to measure distance between two functions. We
define
kyk = max |y(t)|
tI
It is called the norm of y. The quantity ky1 y2 k is the maximal distance of y1 (t)
and y2 (t) in the region I. An important property of the function space C(I) is that
all Cauchy sequence {yn } has a limit in C(I). This property is called completeness.
It allows us to take limit in C(I).
Remark. A sequence {yn } is called a Cauchy sequence if for any > 0, there exists
an N such that for any m, n N , we have
kyn ym k < .
5. The sequence {yn } is a Cauchy sequence in C(I) if is small enough. From (7.5),
we have
Z t
n+1 n n n1
ky y k = k(y ) (y )k |f (s, yn (s)) f (s, yn1 (s))| ds
t0
Z t
L|yn (s) yn1 (s)| ds Lkyn yn1 k
t0
Here, L = max |f (s, y)/y|. We choose small enough so that L = < 1. With
this,
m1
X m1
X
m n k+1 k
ky y k ky y k k <
k=n n
provided n < m are large enough. Thus, {yn } is a Cauchy sequence in C(I) if
is small enough. By the completeness of C(I), yn converges to a function y
C(I). This convergence is called uniform convergence. In particular, it implies that
7.2. UNIQUENESS 131
yn (s) y(s) for all s I. This convergence is called pointwise convergence. This
also yields lim f (s, yn (s)) = f (s, y(s)) for all s I because f is continuous in y.
By the continuity of integration, we then get
Z t Z t
n
f (s, y (s)) ds f (s, y(s)) ds
t0 t0
By taking limit n in (7.5), we get that y() satisfies the integral equation (7.3).
6. y() is differentiable. y() satisfies the integral equation and the right-hand side of the
integral equationRis an integral with continuous integrand. By the fundamental theo-
t
rem of calculus, t0 f (s, y(s)) ds is differentiable and its derivative at t is f (t, y(t)).
7.2 Uniqueness
Definition 2.9 We say that f (s, y) is Lipschitz continuous in y if there exists a constant L
such that
|f (s, y1 ) f (s, y2 )| L|y1 y2 |.
for any y1 and y2 .
Theorem 7.14 If f (s, y) is Lipschitz in y in a neighbor of (t0 , y0 ), then the initial value
problem
y0 (t) = f (t, y(t)), y(0) = y0
has a unique solution.
Proof. Suppose y1 () and y2 () are two solutions. Then Let (t) := |y2 (t) y1 (t)|. We
have
We get
0 (t) L(t) 0.
Multiplying eLt on both sides, we get
0
eLt (t) 0.
Hence
eLt (t) (0).
But (0) = 0 (because y1 (0) = y2 (0) = y0 ) and (t) = |y1 (t) y2 (t)| 0, we conclude
that (t) 0.
132 CHAPTER 7. EXISTENCE, UNIQUENESS THEOREMS
If f does not satisfies the Lipschitz condition, then a counter example does exist. Typical
counter example is
y 0 (t) = 2 y, y(0) = 0.
Any function has the form
0 t<c
y(t) =
(t c)2 t c
with arbitrary c 0 is a solution.
Theorem 7.15 If f (t, y) is smooth and grows at most linearly as |y| , then all solu-
tions of ODE y0 = f (t, y) can be extended to t = .
Proof. Suppose a solution exists in [0, T ), we give a priori estimate for this solution. From
the grow condition of f , we have
Hence
b
|y(T )| |y(0)|eaT + eaT .
a
Such an estimate is called a priori estimate of solutions. It means that as long as solution
exist, it satisfies the above estimate.
Now suppose our solution exists in [0, T ) and cannot be extended. From the above es-
timate, the limit y(T ) exists. This is because y() is bounded, hence f (t, y(t) is bounded
and hence y0 (t) is bounded for t [0, T ). Hence we can extend y() from T with the
y(T +) = y(T ). By the local existence theorem, the solution can be extended for a short
7.5. SUPPLEMENTARY 133
time. Now, we have a solution on two sides of T with the same data y(T ), we still need
to show that it satisfies the equation at t = T . To see this, on the right-hand side
lim y0 (t) = lim f (t, y(t)) = f (T, y(T )).
tT + tT +
Therefore y0 (t) is continuous at T and y0 (T ) = f (T, y(T )). Hence we get the extended
solution also satisfies the equation at T . This is a contradiction.
Remarks.
1. We can replace the growth condition by
|f (t, y)| a(t)|y| + b(t) (7.7)
where a(t) and b(t) are two positive functions and locally integrable, which means
Z Z
a(t) dt, b(t) dt <
I I
Gronwall inequality can be used to show that the continuous dependence of solution
to its initial data.
7.5 Supplementary
7.5.1 Uniform continuity
Pointwise continuity. The concept of continuity is a local concept. Namely, y is con-
tinuous at t0 means that for any > 0 there exists > 0 such that |y(t) y(t0 )| < as
|tt0 | < . The continuity property of y at t0 is measured by the relation (). The locality
here means that also depends on t0 . This can be read by the example y = 1/t for t0 0.
For any , in order to have |1/t 1/t0 | < , we can choose t20 (Check by yourself).
Thus, the continuity property of y(t) for t0 near 0 and 1 is different. The ratio / is of the
same magnitude of y0 (t0 ), in the case when y() is differentiable.
134 CHAPTER 7. EXISTENCE, UNIQUENESS THEOREMS
Uniform continuity
Theorem 7.16 When a function y is continuous on a bounded closed interval I, the above
local continuity becomes uniform. Namely, for any > 0, there exists a > 0 such that
|y(t1 ) y(t2 )| < whenever |t1 t2 | < .
Proof. For any > 0, any s I, there exists (, s) > 0 such that |y(t) y(s)| <
whenever |t s| < (, s). Let us consider the open intervals U (s, (, s)) := (s
(, s), s + (, s)). The union sI U (s, (, s)) contain I. Since I is closed and bounded,
by so called the finite convering lemma, there exist finite many U (si , (, si )), i = 1, ..., n
such that I ni=1 U (si , (, si )). Then we choose
n
:= min (, si )
i=1
then the distances between any pair si and sj must be less than . For any t1 , t2 I with
|t1 t2 | < , Suppose t1 U (sk , (, sk )) and t2 U (sl , (, sl )), then we must have
|sk sl | < .
|y(t1 ) y(t2 )| |y(t1 ) y(sk )| + |y(sk ) y(sl )| + |y(sl ) y(t2 )| < 3.
The key of the proof is the finite convering lemma. It says that a local property can be
uniform through out the whole interval I. This is a key step from local to global.
kayk = |a|kyk
If we replace y2 by y2 k, it says that the distance between the two function is less than
ky1 k and ky2 k. This is exactly the triangular inequality. To show this inequality, we notice
that
|y1 (t)| ky1 k, |y2 (t)| ky2 k, for all t I
Hence,
|y1 (t) + y2 (t)| |y1 (t)| + |y2 (t)| kbf y1 k + ky2 k.
By taking maximal value on the L.H. side for t I, we obtain
The function space C[I] with the norm k k is called a normed vector space.
7.5. SUPPLEMENTARY 135
kyn ym k < .
Theorem 7.17 Let {yn } be a Cauchy sequence in C(I). Then there exist y C(I) such
that
kyn yk 0 as n .
To prove this theorem, we notice that for each t I, {yn (t)} is a Cauchy sequence in R.
Hence, the limit limn yn (t) exists. We define
With this, we can estimate |y(t1 ) y(t2 )| through the help of yn with n N . Namely,
|y(t1 ) y(t2 )| |y(t1 ) yn (t1 )| + |yn (t1 ) yn (t2 )| + |yn (t2 ) y(t2 )|
2 + |yn (t1 ) yn (t2 )| 3
In the last step, we have used the uniform continuity of yn on I. Hence, y is continuous in
I.
Also, from the Cauchy property of yn in C(I), we have for any > 0, there exists an
N > 0 such that for all n, m > N , we have
kyn ym k <
and this holds for n > N . Now we take maximum in t I. This yields
kyn yk
137
138CHAPTER 8. NUMERICAL METHODS FOR ORDINARY DIFFERENTIAL EQUATIONS
The error term (h) is called the truncation error. You may view the forward Euler method
R tn+1
is a rectangle method for numerical integration for tn f (s, y(s)) ds. Similarly, we may
use trapezoidal rule
Z tn+1
1
f (s, y(s)) ds = h(f (tn , y(tn )) + f (tn+1 , y(tn+1 )) + O(h3 ).
tn 2
We do not have y(tn+1 ), yet we can use y1 obtained by the forward Euler to approximate
y(tn+1 ). From (8.2),
This yields
1
y(tn+1 ) = y(tn ) + h(f (tn , y n ) + f (tn+1 , y1 )) + O(h3 ),
2
n n n
where y1 = y(t ) + hf (t , y(t )). In general, we can write our numerical scheme as
Fh (t, y) = f (t, y)
Definition 2.11 The numerical scheme (8.3) for (8.1) is said of order p if any smooth solu-
tion y() of (8.1) satisfies
Thus, forward Euler is first order while RK2 is second order. The quantity
|en | M hp+1
for order p schemes. This is a finite difference inequality. We can derive a discrete Gronwall
inequality as below. We have
en (1 + hL)en1 + M hp+1
(1 + hL)2 en2 + ((1 + hL) + 1)M hp+1
..
. !
Xn1
n 0
(1 + hL) e + (1 + hL) M hp+1
k
k=0
(1 + hL)n
(1 + hL)n e0 + M hp+1
hL
(1 + hL)n
(1 + hL)n e0 + M hp
L
Now, we fix nh = t, this means that we want to find the true error at t as h 0. With t
fixed, we have
Lt
(1 + nh)n = (1 + hL)1/hL eLt .
Since the initial error e0 = 0, the true error at t is
en M eLt hp .
Theorem 8.18 If the numerical scheme (8.3) is of order p, then the true error at a fixed
time is of order O(hp ).
k1 = f (t, y)
k2 = f (t + h/2, y + hk1 /2)
k3 = f (t + h/2, y + hk2 /2)
k4 = f (t + h, y + hk3 )
and
k1 + 2(k2 + k3 ) + k4
F (t, y) = .
6
One can check that the truncation error by Taylor expansion is O(h5 ). Hence the RK4 is a
fourth order scheme.
Chapter 9
141
142 CHAPTER 9. INTRODUCTION TO DYNAMICAL SYSTEM
Homeworks.
x + (x2 1)x + x = 0.
x3
x = (x y)
3
x
y =
We can draw the nullclines: f = 0 and g = 0. From the direction field of (f, g), we see
that the field points inwards for large (x, y) and outward for (x, y) near (0, 0). This means
that there will be a limiting circle in between.
As >> 1, we can oberve that the time scale on x variable is fast whereas it is slow on
the y-variable. That is,
x(t)
= O(), y(t)
= O(1/).
On the x y plane, consider the curve
x3
y =x
3
3
The solution moves fast to the curve y = x x3 . Once it is closed to this curve, it move
slowly along it until it moves to the critical points (1, 32 ). At which it moves away from
the curve fast and move to the other side of the curve. The solution then periodically moves
in this way.
Reference. You may google website on the Van der Pol oscillator on the web site of
scholarpedia for more details.
Thus, (y) represents where the positive + (y) ends up. A set S is called positive (resp.
negative) invariant under if (t, S) S for all t 0 (resp. t 0). A set S is called
invariant if S is both positive invariant and negative invariant. It is easy to see that equilibria
and periodic orbits are invariant set. The closure of an invariant set is invariant. Further,
we have the theorem.
Proof. The proof is based on the continuous dependence of the initial data. Suppose p .
Thus, there exists tn such that p = limn (tn , y). Consider two solutions: (s, p)
and (s + tn , y) = (s, (tn , y)), for any s > 0. The initial data are closed to each other
when n is enough. Thus, by the continuous dependence of the initial data, we get (s, p) is
closed to (s + tn , y).