Differential Equations

Version: 2.0
Contents
1 Functions 3
1.1 The Exponential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2 Ramp, Step, and Dirac Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

2 Complex Numbers 8
2.1 Principal Argument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2 Rectangular and Polar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.3 Sinusoidal Identity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.4 Complex Exponential Identity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.5 Complex Powers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.6 Complex Roots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

3 First Order Equations (Analytic) 19

3.1 System Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.2 System Responses to Inputs x(t) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.2.1 Sinusoidal/Complexify Example . . . . . . . . . . . . . . . . . . . . . . . 33
3.3 Integrating Factor Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
3.4 Separable Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
3.5 Exact Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

4 Second Order Equations (Analytic) 39

4.1 System Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.2 Homogeneous/Null Solution [No Input/Forcing term x(t)] . . . . . . . . . . . . . . 41
4.3 System Responses to Inputs x(t) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
4.4 The General Solution with Initial conditions . . . . . . . . . . . . . . . . . . . . . 50
4.5 Alternative Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
4.6 Variation of Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

5 Systems 54
5.1 First Order Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
5.2 Elimination [Null Solution Method 1] . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.3 Eigenvalues and Eigenvectors [Null Solution Method 2] . . . . . . . . . . . . . . . 58
5.4 Fundamental Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
5.5 Variation of Parameters [Particular Solution] . . . . . . . . . . . . . . . . . . . . . 61
5.6 Matrix Exponential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
5.7 Decoupling Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

1
6 Graphical and Numerical Methods 65
6.1 System Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
6.2 Direction/Slope Field . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
6.2.1 Autonomous ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
6.2.2 Critical/Equilibrium Points . . . . . . . . . . . . . . . . . . . . . . . . . . 69
6.3 Phase Plane . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71

2
1 Functions

3
1.1 The Exponential
Exponential Intuition

The exponential can be constructed by finding a function y(t) such that:

dy
= y(t)
dt
A first attempt for y, with its derivative, is as follows:

1 2
y1 = 1 + t + t
2
dy1
= 0 + 1 + t
dt

dy
is missing a term, the second attempt for y could ensure the derivative captures this term:
dt
1 2 1 3
y2 = 1 + t + t + t
2 6
dy2 1 2
= 0 + 1 + t + t
dt 2

dy
To fix to capture the missing term:
dt
• A new term needs to be introduced in y
dy
• The new term will be absent from
dt

This cycle repeats therefore to satisfy:

dy
= y(t)
dt
infinitely many terms are needed.

Taylor Series

Intuition reveals that et is an infinite Taylor series:

∞
t2 t3 t4 X tn
y(t) = et = 1 + t + + + + ... =
2 6 24 n!
n=0

1 1 1
y(1) = e = 1 + 1 + + + + . . . ≈ 2.718
2 6 24

4
Exponential as a Limit

The natural logarithm and it’s derivative are:

y = ln(a · x) a∈R

y(x + m) − y(x) 1
y0 = lim =
m→0 m ax

To express an exponential as a limit:

1. Use log rules to manipulate the derivative:

1 ln(ax + m) − ln(ax)
= lim
ax m→0 m

ax + m 1/m
 
= lim ln
m→0 ax

m 1/m
 
= lim ln 1 +
m→0 ax

2. Use both sides as the power of e and rearrange:

1/m
m
lim ln 1+ ax
e1/ax = e m→0

1/m
m
ln 1+ ax
= lim e
m→0

m 1/m
 
= lim 1+
m→0 ax

3. With:
1 1 1
b = , n = , t =
a m x
Substitution produces:
bt n
 
ebt = lim 1+
n→∞ n

5
1.2 Ramp, Step, and Dirac Functions
• The graphs of the three functions are as follows:

Figure 1: Unit Ramp Function r(t) = t, t > 0

Figure 2: Unit Step Function s(t) = 1, t > 0

Figure 3: Dirac Delta Function δ(0) = ∞

6
• The relationship between the functions are as follows:

d d
dt dt
r(t) −
−
)R*
−− s(t) −
−
)R*
−− δ(t)

• Differentiation is an anti-smoothing operator, producing a function with increased noise.

• Integration is a smoothing operator, producing a function with less noise (i.e. cancels noise).

• The integral of δ(t) produces a value of one:

Z α
α

δ(t) dt = s(t) = 1 , α 6= 0
−α −α

• The important principle usage of δ(t) is:

Z ∞
x(t) · δ(t − T ) dt = x(T )
−∞

Example:

Given: Z ∞
δ(t)2 dt
−∞

For this case, x(t) = δ(t) and T = 0 therefore the integral is:
Z ∞
δ(t) · δ(t) dt = δ(0) = ∞
−∞

7
2 Complex Numbers

8
2.1 Principal Argument
• For z ∈ C:
z = x + iy

Re(z) = x

Im(z) = y
z can be expressed as a vector in the complex plane:
" #
x
~z =
y

The principal argument of z is the angle θ between the R+ axis and ~z such that θ ∈ (−π, π].

• Denoted as:
Arg(z) = atan2(y, x)

Re > 0

𝕀𝕞

ℝ𝕖

Im
 
atan2(Im, Re) = arctan
Re

9
Re < 0 , Im ≥ 0

𝕀𝕞

ℝ𝕖

Im
 
atan2(Im, Re) = arctan + π
Re

For a vector in quadrant 2, arctan finds the angle of the vector as though it was in quadrant
4 therefore adding π to the output rectifies the discrepancy.

Re < 0 , Im < 0

𝕀𝕞

ℝ𝕖

Im
 
atan2(Im, Re) = arctan − π
Re

For a vector in quadrant 3, arctan finds the angle of the vector as though it was in quadrant
1 therefore subtracting π to the output rectifies the discrepancy.

10
Re = 0 , Im > 0

𝕀𝕞

ℝ𝕖

π
atan2(Im, Re) =
2

Re = 0 , Im < 0

𝕀𝕞

ℝ𝕖

π
atan2(Im, Re) = −
2

11
Re = 0 , Im = 0

𝕀𝕞

ℝ𝕖

atan2(Im, Re) = Undefined

12
2.2 Rectangular and Polar
• Complex numbers can be represented in two forms:

1. Rectangular
2. Polar

Imaginary

(r, θ ) or (x, y)

y = r sin θ

θ
Real
O
x = r cos θ polar
axis

• Rectangular → Polar Coordinates:

θ = atan2(y, x)

r 2 = x2 + y 2
p
∴ r = x2 + y 2

• Polar → Rectangular Coordinates:

x
CAH : cos θ =
r
y
SOH : sin θ =
r

∴ x = r · cos θ

y = r · sin θ

13
• Rectangular form is useful for:

Addition : (a + ib) + (x + iy) = (a + x) + i(b + y)

Subtraction : (a + ib) − (x + iy) = (a − x) + i(b − y)

• Polar form is useful for:

Multiplication : reiθ · Reiα = (r · R)ei(θ+α)

r i(θ−α)
Division : reiθ / Reiα = e
R

Powers : (reiθ )n = rn einθ

• With r = R = 1, multiplication and division rotates complex number about the unit circle
due to the addition/subtraction of angles.

• For z ∈ C:
z · z = |z|2 = r2

• When dividing with a complex number in rectangular form, multiply components by z:

1 1 1 x − iy x − iy
= = · =
z x + iy x + iy x − iy x2 + y 2

This is useful as the division is now by a number in R and is valid as: z / z = 1.

14
2.3 Sinusoidal Identity
• A linear combination of sin and cos terms produces a cos wave with a phase shift:

A cos ωt + B sin ωt = R cos(ωt − φ)

• The identities of R and φ are: √

R = A2 + B 2

φ = atan2(B, A)
Proof:
A cos ωt + B sin ωt = R cos(ωt − φ)

= R(cos ωt · cos φ + sin ωt · sin φ)

Matching coefficients produces:
A = R cos φ

B = R sin φ
The produced equations are identical to the Polar ↔ Rectangular conversion formulas.

• A cos ωt + B sin ωt = R cos(ωt − φ) = Re{Rei(ωt − φ) }

• When the input of a system is a sinusoid, it is useful to “complexify” the problem in order to:

1. Take advantage of exponential properties (e.g. the derivative is itself).

2. Find the solution with one term, a complex exponential, instead of two, cos and sin.

15
2.4 Complex Exponential Identity
• A linear combination of sin and cos terms is equivalent to a linear combination of a complex
exponential and its conjugate:

a · cos ωt + b · sin ωt = α · eiωt + β · e−iωt

• With the identities:

1 iωt 1 −iωt
cos ωt = ·e + ·e
2 2

1 iωt 1 −iωt
sin ωt = ·e − ·e
2i 2i

by equating coefficients it can be concluded:

a b
α = +
2 2i

a b
β = −
2 2i

a = α + β

b = i · (α − β)

2.5 Complex Powers

• To calculate the power of a complex number, ensure it’s in polar form and then use:

De Moivre’s Formula

z n = (reiω )n = rn eiωn = rn [cos(ωn) + sin(ωn)], n∈Z

Example:
(5eiπ )2 = 25ei2π

16
2.6 Complex Roots
• With complex numbers:
z = reiθ

w = ρeiφ
Given z n = w, then:
rn eiθn = ρeiφ+2πk

By equating coefficients:
rn = ρ

eiθn = eiφ+2πk
The relationship between the complex exponential angles is:

θn = φ + 2πk

• The n roots of z n are:

1
zk = w n

1
= (ρeiφ+2πk ) n

√ φ+2πk
= n ρ · ei n k ∈ {0, 1, 2, . . . , n − 1}

Therefore:
√
r = n ρ

φ + 2πk
θk = k ∈ {0, 1, 2, . . . , n − 1}
n

Principal Nth Root

 
1 √ Arg(φ)
w n = n ρ exp j
n

There is only one value corresponding to the Principal Nth Root of a complex number.

17
Example:

Given:
1 − aM +1 z −M −1 = 0

The M + 1 roots are:

1 − aM +1 z −(M +1) = 0

z M +1 − aM +1 = 0

z M +1 = aM +1

z M +1 = aM +1 · 1

z M +1 = aM +1 · e2πk

  1
M +1
z = aM +1 · e2πk

 
2π
z = a · exp k k ∈ {0, 1, 2, . . . , M }
M +1

Im
z-plane
M+1 = 8

a Re

18
3 First Order Equations (Analytic)

19
3.1 System Model
• First order differential equations take form:

dy
= ay + x(t)
dx

– a , Growth rate.
– y(t) , Output of the system.
– x(t) , Input of the system, aka the forcing term.

• Differential equations provide an implicit specification of a system, that:

1. Describes the relationship between the input and output, using their derivatives.
2. Is an alternative to an explicit expression for a system’s output, i.e y = f (x)

• y(0) , Initial state of the system (e.g. initial position)

• The description of x(t) is determined by its sign:

x(t) < 0 , Sink

x(t) > 0 , Source

• There are different forms of differential equations:

dy
= ay + x(t) , Linear, Constant Coefficent
dt

dy
= 2ty + x(t) , Linear (in terms of y), Dynamic Coefficent (with respect to t)
dt

dy
= y2 + x(t) , Nonlinear, Constant Coefficent
dt

• The Associated Homogeneous Equation (AHE) is derived by letting x(t) = 0:

dy
= ay
dt

20
• For linear equations, the general (complete) solution is:

y = yn + yp

Solving the equation:

dy
− ay = x(t)
dt

Homogeneous Solution (Null Solution) yn

The solution when x(t) = 0 (null):

dyn
= ayn
dt
The solution is denoted as:
yn (t) = C · eat

Solving:
dyn
− ayn = 0
dt

• Known as the natural/transient response of a system.

• Depends on the structure and initial state of the system.

• Does not depend on the input signal applied to the system.

• Component of the general response that is produced by the system, due to a release of
the energy stored within the system itself.

Particular Solution yp

The solution when x(t) 6= 0:

dyp
= ayp + x(t)
dt
The solution is denoted as yp (t) and solves:

dyp
− ayp = x(t)
dt

• Depends on the input signal and the internal structure of the system.

• Does not depend on the initial state of the system.

• Component of the general response that:

1. Is due to the input signal being applied to the system.

2. Remains active after yn (t) gradually becomes smaller and dissipates (if a < 0).

21
• Given:
Complete Solution : u + v = 6

Null Solution : u + v = 0
Adding all null solutions yn to any particular solution yp forms the complete line:

v
Complete Line

Null Line yp1 = (3,3)

yn = (c,-c) yp2 = (6,0)
u

u+v=6
u+v=0
{(u, v) : (u, v) ∈ Complete Line} can be defined in multiple ways:

y1 = (3 + c1 , 3 − c1 )

y2 = (6 + c2 , 0 − c2 )

For c1 , c2 ∈ R, both coordinate expressions traverse the same line.

• Input sources that usually arise in science and engineering problems are:

Constant Source ⇔ x(t) = c ∈ R

Step Function at time T ⇔ x(t) = s(t − T )

Delta Function at time T ⇔ x(t) = δ(t − T )

Exponential at time T ⇔ x(t) = ea(t−T )

Complex Exponential ⇔ x(t) = R · eiωt

22
System Model

For any given continuous input x(t), the first order differential equation:

dy
= ay + x(t)
dt
the general solution is:
Z s=t
y(t) = y(0)eat + ea(t−s) x(s) ds
s=0

• y(0)eat — the growth from the initial condition.

Z s=t
• ea(t−s) x(s) ds — the continuous accumulation of shifted exponentials.
s=0

The continuous accumulation of shifted exponentials is easier to envisage in discrete time:

t = 0 : y(t) = y(0)

t = 1 : y(t) = y(0)eat + x(1)ea(t−1)

t = 2 : y(t) = y(0)eat + x(1)ea(t−1) + x(2)ea(t−2)

..
.

If x(t) = 0 ∀ t > 3 , then:

y(t) = y(0)eat + x(1)ea(t−1) + x(2)ea(t−2) + x(3)ea(t−3) , t>3

That is, no more exponentials are accumulated as x(t) · ea(t−s) = 0 ∀ t > 3.

If x(t) represents a dirac function:

( )
c t = s0
x(t) =
0 otherwise

Then:  
 y(0)eat t < s0 
y(t) =
y(0)eat + x(s0 )ea(t−s0 ) t ≥ s0
 

23
3.2 System Responses to Inputs x(t)
• To take an educated guess for the general solution y, assume:

1. The solution of yn has form Ceat

2. The solution of yp is a constant multiplied by an object of the same type as x(t):

yp = K · [Mathematical object of the same type as x(t)]

To find K:
(a) Take the derivative of yp .
(b) Set equal to the differential equation.
(c) Solve for K

3. The partial general solution is given as:

y(t) = Ceat + yp (t)

With the initial condition y(0), solve for C:

y(0) = C + yp (0)

∴ C = y(0) − yp (0)

4. Substitute the value of C into the partial general solution to form the general solution:

y(0) − yp (0) eat + yp (t)

y(t) =

5. Rearrange the general solution to take form:

y(t) = y(0)eat + (yp (t) − yp (0)eat )

Such that:

y(0)eat = yc
n , Initial Condition Growth — a special case yn as y
cn (0) = y(0)

(yp (t) − yp (0)eat ) = ybp , Input Growth — a special case yp as ybp (0) = 0

24
x(t) = Constant

Given:
dy
= ay + b
dt
The input x(t) is a constant, b, therefore guess yp also as a constant:

yp = K

The derivative of any constant is zero therefore:

0 = aK + b

Rearranging the equation produces:

b
K = − = yp
a

The partial general solution is then:

b
y(t) = Ceat −
a
Using the initial condition:
b
y(0) = C −
a
b
∴ C = y(0) +
a
The general solution is therefore:
 
b at b
y(t) = y(0) + e −
a a

b at
= y(0)eat + (e − 1)
a

Intuition:

Continuous bank deposits of $b

25
x(t) = Step Function

Given:
dy
= ay + b · s(t − T )
dt

The general solution is piecewise:

t≤T

The differential equation is equivalent to the AHE:

dy
= ay
dt
In this case, the general solution is simply:

y(t) = y(0)eat

t>T

The differential equation resembles the constant example:

dy
= ay + b
dt
In this case, the general solution is simply:
 
b a(t−T )
y(t) = y(0)eat + e −1
a

Intuition:

t≤T

Growth comes only from the initial condition. At t = T , the source has commenced but not
had time to affect the general solution (i.e instantaneous effect from source does not occur)

t>T

Continuous deposits of $b are made, growth in the general solution accounts for the delay in
deposits by shifting the exponential function by T .

26
x(t) = Dirac Function

The derivative of the step function is the dirac function therefore:

 
d
Step Response yp = Impulse Response yp
dt
  
d b a(t−T )
⇒ e −1 = bea(t−T )
dt a

The general solution is piecewise akin to the Step function:

t<T
y(t) = y(0)eat

t≥T
y(t) = y(0)eat + bea(t−T )

Intuition:

• A single deposit of $b is made at t = T

• For t > T , the general solution is a linear combination of the initial condition and $b
growing exponentially with:

1. Rate = a
2. Exponential start times t = 0 and t = T respectively

With −a (e.g. to represent inflation), step and dirac inputs differ with lim :
t→∞
 
Dirac : lim y(0)e−at + be−a(t−T ) = 0
t→∞

   
b −a(t−T ) b
Step : lim y(0)e−at − e −1 =
t→∞ a a

Continual deposits from a Step input balances the loss from inflation whereas with a Dirac
input this does not occur therefore bank balance goes to zero.

27
x(t) = Exponential

Given:
dy
= ay + est
dt
The input x(t) is an exponential, est , therefore guess yp also as an exponential:

yp = Kest

With yp and its derivative, substitution into the differential equation produces:

Kest = aKest + est

Rearranging the equation produces:

1
K = , Transfer Function
s−a

The partial general solution is then:

1
y(t) = Ceat + · est
s−a

Using the initial condition:

1
y(0) = C +
s−a
1
∴ C = y(0) −
s−a

The general solution is therefore:

 
1 1
y(t) = y(0) − eat + · est
s−a s−a

1
= y(0)eat + · (est − eat )
s−a

Intuition:

Exponential bank deposits of dollars with rate s

28
x(t) = Exponential Contd.

Resonance:

• As s → a, the general solution evaluates to a large response

• When s = a resonance occurs, i.e. the input growth rate equals the natural growth
rate, and ybp results in an indeterminate form.

• The indeterminate form is resolved by L’Hopital’s rule:

eat − eat 0
ybp = =
s−a 0

d
ds (est − eat ) test
⇒ lim d
= lim = teat
s→a
ds (s − a) s→a 1

• The general solution for when s = a is:

y(t) = y(0)eat + teat

29
x(t) = Sinusoid

Given:
dy
= ay + A cos ωt + B sin ωt
dt
Guess yp to have the same form as x(t), i.e:

yp = M cos ωt + N sin ωt

Taking yp and its derivative then substituting them into the differential equation produces:

−M ω sin ωt + N ω cos ωt = a(M cos ωt + N sin ωt) + A cos ωt + B sin ωt

Equating coefficients produces:

sin terms : −M ω = aN + B

cos terms : N ω = aM + A

Solving the system of linear equations produces:

aA + Bω
M = −
ω 2 + a2

Aω − aB
N =
ω 2 + a2

The particular solution is thus:

aA + Bω Aω − aB
yp = − cos ωt + sin ωt
ω 2 + a2 ω 2 + a2

yp includes both sinusoidal terms, i.e:

yp = M cos ωt + N sin ωt

even when x(t) is missing one, i.e:

dy
= ay + A cos ωt
dt

30
x(t) = Sinusoid Contd.

The partial general solution is then:

aA + Bω Aω − aB
y(t) = Ceat − cos ωt + sin ωt
ω 2 + a2 ω 2 + a2

Using the initial condition:

aA + Bω
y(0) = C −
ω 2 + a2

aA + Bω
∴ C = y(0) +
ω 2 + a2

With constants:
Ψ = aA + Bω

η = Aω − aB
The general solution is:
   
Ψ 1
y(t) = y(0) + eat + − Ψ cos ωt + η sin ωt
ω 2 + a2 ω 2 + a2

= y(0)eat
 
1
+ at
Ψ(e − cos ωt) + η sin ωt
ω 2 + a2

Intuition:

Voltage going up and down to drive current.

31
x(t) = Complex Exponential

Given:
dz
= az + R · ei(ωt−φ)
dt
The input x(t) is a complex exponential therefore guess zp also as a complex exponential:

zp = Kei(ωt−φ)

With zp and its derivative, substitution into the differential equation produces:

iωKei(ωt−φ) = aKei(ωt−φ) + R · ei(ωt−φ)

Rearranging the equation produces:

R
K =
iω − a

The partial general solution is then:

R
z(t) = Ceat + · ei(ωt−φ)
iω − a

Using the initial condition:

R
z(0) = C + · e−iφ
iω − a
R
∴ C = z(0) − · e−iφ
iω − a

The general solution is therefore:

 
R −iφ R
z(t) = z(0) − ·e eat + · ei(ωt−φ)
iω − a iω − a

R  
= z(0)eat + · ei(ωt−φ) − e−iφ eat
iω − a

32
3.2.1 Sinusoidal/Complexify Example

Given:
dy
= 3y + 3 cos 2t + 4 sin 2t
dt
Then:
a=3 , ω=2 , A=3 , B=4

Solving the differential equation using the sinusoidal method produces the solution:
 
1
y(t) = y(0)e3t + 3t
· 17e − 17 cos 2t − 6 sin 2t
13

Alternatively, the differential equation can be expressed with one cos term:
√
R = 32 + 4 2 = 5
4
φ = atan2(4, 3) = arctan
3
 
dy 4
= 3y + 5 cos 2t − arctan
dt 3

In this form, the differential equation can be complexified:

dz


4
= 3z + 5ei 2t−arctan 3
dt
The complex solution is therefore:
 
5


4 4
z(t) = z(0)e3t + · ei 2t−arctan 3 −e −i arctan 3 · e3t
−3 + 2i

The real valued solution is attained by taking:

Re{z(t)} = y(t)
 
1
= y(0)e3t + · 17e3t − 17 cos 2t − 6 sin 2t
13

33
3.3 Integrating Factor Method
Integrating Factor µ(t)

dy
Applies to constant rates a and dynamic rates a(t): = a(t)y + x(t)
dt

When rearranging the equation to express the input in terms of the output and derivatives:

dy
− a(t)y = x(t)
dt

The LHS multiplied by µ(t) resembles the derivative of µ(t) · y(t), using the product rule:
   
dy ? d
µ(t) − a(t)y = µ(t) · y
dt dt

dy   ? dy dµ
⇒ µ(t) · − a(t)µ(t) · y = µ(t) · + ·y
dt dt dt

By matching coefficients:
dµ
= −a(t) · µ(t)
dt
Hence:  Z t 
µ(t) = exp − a(τ ) dτ
0
R
A constant c precedes e− a(t) dt but only one integrating factor is needed so c = 1.

As the LHS was multiplied by µ(t), multiplying the RHS by µ(t) produces the identity:
 
d
µ(t) · y = µ(t) · x(t)
dt

With: Z t 
1
= exp a(τ ) dτ , µ(0) = 1
µ(t) 0

The general solution is found by integrating both sides and solving for y:
Z t  
µ(t) · y(t) − µ(0) · y(0) = µ(s) · x(s) ds
0
 Z t   
1
y(t) = y(0) + µ(s) · x(s) ds
µ(t) 0
Z t  Z t  Z t  
y(t) = exp a(τ ) dτ · y(0) + exp a(τ ) dτ · x(s) ds
0 0 s

34
Example:

Given:
dy 4
= − · y + t2
dt 3 + 4t
The integrating factor is:

4
−a(t) =
3 + 4t

Z t Z t
1
−a(τ ) dτ = du = ln |3 + 4t| − ln |3|
0 0 u
 
|3 + 4t| 4
µ(t) = exp ln = t+1 t ∈ [0, ∞) ∴ abs omitted
3 3

The general solution can then be calculated:

    
d 4 4
t + 1 · y(t) = t + 1 · t2
dt 3 3

  t Z t   
4 4 2
τ + 1 · y(τ ) = τ + 1 · τ dτ
3 0 0 3

 
4 1 4
t + 1 · y(t) − y(0) = (t + t3 ) − 0
3 3

y(0) t4 + t3
y(t) = 4 +
3t +1 4t + 3

35
3.4 Separable Equations
• First order differential equations can be expressed as:

dy
= f (t, y)
dt
This expression represents both linear and non-linear differential equation:

dy
Linear : = a(t)y
dt
dy
Non-linear : = ay − by 2
dt

Separable Equations

A differential equation is separable if it can be rearranged in the form:

dy
= f (t, y) = g(t) · h(y)
dt

With initial conditions:

t = 0 & y(0)

Rearrange the ODE and integrate, with initial conditions as limits, then solve for y:
Z γ=y Z τ =t
h(γ) dγ = g(τ ) dτ
γ=y(0) τ =0

dy
Separable : = −2ty 2
dt
dy
Non Separable : = y 3 + t2
dt

Example:
dy
= −2ty 2
dt

Z y Z t
1
dγ = −2τ dτ
y(0) γ2 0

1 1
− + = −t2
y y(0)
1 y(0)
y(t) = 1 =
t2 + y(0)
y(0)t2 + 1

36
3.5 Exact Equations
• A linear or non-linear ODE of the form:

dy g(t, y)
=
dt h(t, y)

is an exact equation if the following is satisfied:

Exact Condition
δ δ
h(t, y) = − g(t, y)
δt δy

• All separable equations are exact but not all exact equations are separable.

Solution Procedure
1. Assert the Exact condition holds

2. Rearrange the equation then calculate the indefinite integral of the LHS:

h(t, y) dy = g(t, y) dt
Z
h(t, y) dy = H(t, y) + c(t)

3. Find the c(t) such that:

δ
[H(t, y) + c(t)] = −g(t, y)
δt

4. The general solution is:

y(t) = H(t, y) + c(t)

Let t = 0 to find constant y(0), the solution for the defined ODE is then:

H(t, y) + c(t) = y(0)

37
Example:
dy 2yt − 1
=
dt y 2 − t2

g(t, y) = 2yt − 1

h(t, y) = y 2 − t2

1. The equation holds the Exact condition:

δ
[y 2 − t2 ] = −2t
δt
δ
− [2yt − 1] = −2t
δy

2. The indefinite integral of h(t, y) w.r.t y is:

Z
1 3
y 2 − t2 dy = y − yt2 + c(t)
3

3. Take the derivative w.r.t t on the indefinite integral result and equate coefficients:
 
d 1 3 2
y − yt + c(t) = −2yt + 1
dt 3

d
⇒ −2yt + c(t) = −2yt + 1
dt

∴ c(t) = t

4. The general solution is:

1 3
y(t) = y − yt2 + t
3
The constant is:
1
y(0) = y(0)3
3
Hence the solution to the specified ODE is:

1 3 1
y − yt2 + t = y(0)3
3 3

38
4 Second Order Equations (Analytic)

39
4.1 System Model
• Second order ODEs involve the second derivative, as well as the first:

dy
, Velocity
dt

d2 y
, Acceleration
dt2

• Expressed in the form:

d2 y
= f (t, y, y 0 )
dt2
If the differential equation is linear, it can be expressed as:

d2 y dy
m· + b· + k · y = x(t)
dt2 dt

Such that:

m , Mass [larger m means slower ω]

b , Damping coefficient

k , System characteristic [larger k means faster ω] (e.g. spring stiffness)

y , Amount the free end of the system was displaced from its “relaxed” position

• Two initial conditions are needed:

y(0) , Initial Position

y 0 (0) , Initial Velocity

y 00 (0), the initial acceleration, is derived from the second order ODE.

40
4.2 Homogeneous/Null Solution [No Input/Forcing term x(t)]
• Given:
d2 y dy
m· + b· + k·y = 0
dt2 dt
Let:
yn = est

Substituting yn into the ODE produces:

(m · s2 + b · s + k) · est = 0

• est is never zero therefore the bracketed term must equal zero:

Characteristic Equation

m · s2 + b · s + k = 0

The Characteristic equation is solved by the quadratic formula:

√
−b ± b2 − 4mk
sj =
2m

• Due to the ± symbol in the quadratic equation, there are two solutions: sn1 and sn2

• Depending on the values of m, b and k, the expression:

b2 − 4mk

May be positive or negative. In the negative event, the expression:

p
b2 − 4mk

Will produce imaginary values.

• Known as the complementary/transient solution, if damping is present as t → ∞ its

contribution to the general solution decays to zero.

41
Undamped Solution (b = 0)

The solutions to the characteristic equation are:

r r
k k
sn1 = i · sn2 = −i ·
m m
r
k
ωn = , Natural Frequency
m

The solution to the homogeneous ODE is:

yn = α · eiωn t + β · e−iωn t

Intuition:
The system oscillates forever with frequency ωn

Characteristic Equation Plot

• Centered on the y-axis above the s-axis

• Two imaginary roots

Damping Ratio

With a ratio between the damping coefficient and mass:

b
p =
2m
The Damping Ratio is:
p
ζ =
ωn

42
Underdamped (b2 < 4mk , 0 < ζ < 1)

The solutions to the Characteristic equation can be expressed as:

p
sj = −p ± i · ωn2 − p2

p
ωd = ωn2 − p2 , Damped Frequnecy

The solution to the homogeneous ODE is:

yn = α · e−pt · eiωd t + β · e−pt · e−iωd t

Intuition:
The system oscillates with frequency ωd and exponentially decays to zero with rate −p

Characteristic Equation Plot:

• Centered in the first or second quadrant above the s-axis

• Two roots ∈ C

43
Critically Damped (b2 = 4mk , ζ = 1)
√
−b ± 0 b
sj = ∴ sn1 = sn2 = − = −p
2m 2m

The solution to the homogeneous ODE is:

yn = α · e−pt + β · t · e−pt

Intuition:
The system returns to equilibrium as quickly as possible without oscillating.

Characteristic Equation Plot:

• Centered in the first or second quadrant, touching the s-axis

• A repeated root ∈ R.

m Repeated Roots for Higher Order ODEs

For a root repeated m times, the solution would be:

yn = α · e−pt + β1 · t · e−pt + . . . + βm−1 · tm−1 · e−pt

44
Overdamped (b2 > 4mk , ζ > 1)

sn1 , sn2 ∈ R

sn1 , sn2 < 0

The solution to the homogeneous ODE is:

yn = α · esn1 t + β · esn2 t

Intuition:
The system returns to equilibrium without oscillating.

Characteristic Equation Plot:

2 1
s

• Graph centered in the third or fourth quadrant.

• Two roots ∈ R.

• The sj closest to zero decays the slowest, in this case the exponential with rate sn2
decays faster to zero than rate sn1

45
4.3 System Responses to Inputs x(t)

x(t) = Sinusoid

With:
ωf , Forcing Frequency

Given:
d2 y dy
m· + b· + k · y = α cos ωf t + β sin ωf t
dt2 dt
Guess yp to have the same form as x(t), i.e:

yp = c1 cos ωf t + c2 sin ωf t

After:

1. Taking yp and its derivatives.

2. Substituting them into the differential equation

3. Solving a pair of linear equations for c1 and c2

The formulas produced are:

Λ = k − m · ωf2

= m · (ωn2 − ωf2 )

α·Λ − b·β
c1 =
Λ2 + b2 · ωf

β·Λ − b·α
c2 =
Λ2 + b2 · ωf
The particular solution is thus:

α·Λ − b·β β·Λ − b·α

yp = cos ωf t + sin ωf t
Λ2 + b2 · ωf Λ2 + b2 · ωf

In the event b = 0 and ωf = ωn , an indeterminate form is produced therefore:

α cos ωf t β sin ωf t
yp = lim +
ωf →ωn Λ Λ
α · t sin ωn t β · t cos ωn t
= − N.B: L’Hospital’s Rule w.r.t ωf
2m · ωn 2m · ωn

46
x(t) = Complex Exponential

Given:
d2 y dy
m· + b· + k · y = e sf t
dt2 dt
The input x(t) is a complex exponential therefore guess yp also as a complex exponential:

yp = Cesf t

With yp and its derivative, substitution into the differential equation produces:

m · s2 · Cesf t + b · s · Cesf t + k · Cesf t = esf t

Rearranging the equation produces:

1
C =
m· s2f + b · sf + k

1
yp = · esf t
m· s2f + b · sf + k

• The Transfer function is one over the Characteristic equation:

1
C(s) = , Transfer Function
m · s2 + b · s + k

• As s ∈ C, a phase and magnitude plot can be constructed from C(s):

– The phase plot reveals how a signal with frequency s is phase shifted.
– The magnitude plot reveals how a signal with frequency s is amplified.

If sf is equal to any of the null exponents sn1 and sn2 then C(sf ) has an indeterminate form:

1
C(sf ) = C(sn1 ) = C(sn2 ) =
0
This occurs because sn1 and sn2 are roots of the Characteristic equation (i.e. make zero)

Therefore:

esf t
yp = lim
sf →sn1 m · s2f + b · sf + k

tesn1 t
= N.B: L’Hospital’s Rule w.r.t sf
2m · sn1 + b

If another indeterminate form is produced, keep applying L’Hospital’s rule.

47
x(t) = Dirac Function

Given:
d2 y dy
m· + b· + k · y = δ(t) , y(0) = 0 , y 0 (0) = 0
dt2 dt
The particular solution is equal to the solution that solves:

d2 y dy 1
m· + b· + k · y = 0 , y(0) = 0 , y 0 (0) =
dt2 dt m

As the above is equivalent to a null solution, yp is a linear combination of exponentials:

esn1 t , esn2 t

For t = 0, to satisfy y(0) = 0:

yp = esn1 t − esn2 t

The derivative is
yp0 = sn1 esn1 t − sn2 esn2 t
1
For t = 0, to satisfy yp0 (0) = , yp can be revised:
m

esn1 t − esn2 t
yp = , Impulse Response
m(sn1 − sn2 )

If sn1 = sn2 then an indeterminate form is produced, therefore:

esn1 t − esn2 t
yp = lim
sn1 →sn2 m(sn1 − sn2 )

tesn2 t
= N.B: L’Hospital’s Rule w.r.t sn1
m

x(t) = Step Function

Given:
d2 y dy
m· + b· + k · y = C · s(t)
dt2 dt
Then:
yp = C

yp could also be calculated from integrating the yp of the dirac function.

48
x(t) = Polynomial Function

Given:
d2 y dy
m· + b· + k · y = tn
dt2 dt
The particular solution is a linear combination of polynomials of order n and lower:

yp = c0 · t0 + ... + cn · tn

= c0 + c1 · t + ... + cn · tn

When yp is substituted into the ODE, the coefficients are calculated by forming linear equa-
tions via equating coefficients.

x(t) = Combination of Functions

Given:
d2 y dy
m· + b· + k · y = t · cos ωt
dt2 dt
The particular solution is a multiplication of the respective yp forms:

yp = (c0 + c1 t) · cos ωt + (d0 + d1 t) · sin ωt

49
4.4 The General Solution with Initial conditions
1. Choose an appropriate yn and yp for the ODE given such that:

y(t) = yn + yp

2. Let t = 0, i.e. y(0), and solve for α

3. Substitute α into y(t) and take the derivative to find y 0 (t).

4. Let t = 0, i.e. y 0 (0), and solve for β

Example:

Given:
d2 y dy
2· + 5· + 2 · y = e5t
dt2 dt
1. The general solution is:
1
yn = α · e− 2 t + β · e−2t

1
yp = · e5t
77
1 1
y(t) = α · e− 2 t + β · e−2t + · e5t
77

2. When t = 0:
1
α = y(0) − β −
77
3. Substitute and take the derivative:
 
1 1 1
y(t) = y(0) − β − · e− 2 t + β · e−2t + · e5t
77 77
 
1 1 1 5
y 0 (t) = − y(0) − β − · e− 2 t + −2β · e−2t + · e5t
2 77 77

4. When t = 0:
1 1 2 0
β = − · y(0) − · y (0)
21 3 3

2 4 2 0
∴ α = − + · y(0) + · y (0)
33 3 3

50
4.5 Alternative Notation
• The input is often expressed as:
x(t) = k · X(t)

Such that:
d2 y dy
m· + b· + k · y = k · X(t)
dt2 dt
– The input X(t) has the same units as the output y
– The gain, of the signal passed through the system, becomes dimensionless.

• Dividing through by m produces:

d2 y b dy k k
+ · + ·y = · X(t)
dt2 m dt m m

k
• = ωn2 , therefore:
m

d2 y b dy
+ · + ωn2 · y = ωn2 · X(t)
dt2 m dt

• With: r
b 2b k
= √ · = 2ζωn
m 4mk m
The ODE can be expressed as:

d2 y dy
+ 2ζωn · + ωn2 · y = ωn2 · X(t)
dt2 dt

51
4.6 Variation of Parameters
• Applies to ODEs, including those with constants varying with time, with form:

d2 y dy
+ b(t) · + k(t) · y = x(t)
dt2 dt

• The homogeneous solution has form:

yn = α(t) · yn1 (t) + β(t) · yn2 (t)

 
ynj (t) , Null Solution e.g: eλj t , teλj t , etc

• There exists a particular solution with form:

yp = c1 (t) · yn1 (t) + c2 (t) · yn2 (t)

The constants cj (t) are responsible for adapting the null solutions to equal the input x(t)

• The first derivative of yp is:

   
0 0 0 0 0
yp (t) = c1 (t) · yn1 (t) + c2 (t) · yn2 (t) + c1 (t) · yn1 (t) + c2 (t) · yn2 (t)

It can be shown that:  

0 0
c1 (t) · yn1 (t) + c2 (t) · yn2 (t) = 0

Therefore:  
0 0 0
yp (t) = c1 (t) · yn1 (t) + c2 (t) · yn2 (t)

• The second derivative of yp is:

   
00 00 00 0 0 0 0
yp (t) = c1 (t) · yn1 (t) + c2 (t) · yn2 (t) + c1 (t) · yn1 (t) + c2 (t) · yn2 (t)

52
• Substituting yp and its derivatives into the ODE produces:
 
00 0
c1 (t) · yn1 (t) + b(t) · yn1 (t) + k(t) · yn1 (t)

 
00 0
+ c2 (t) · yn2 (t) + b(t) · yn2 (t) + k(t) · yn2 (t)

 
0 0 0 0
+ c1 (t) · yn1 (t) + c2 (t) · yn2 (t) = x(t)

As yn1 and yn2 are null solutions to the ODE:

 
0 0 0 0
c1 (t) · yn1 (t) + c2 (t) · yn2 (t) = x(t)

0 0
• Two linear equations for c1 (t) and c2 (t) have been produced:

0 0
c1 (t) · yn1 (t) + c2 (t) · yn2 (t) = 0
0 0 0 0
c1 (t) · yn1 (t) + c2 (t) · yn2 (t) = x(t)

With the matrix:  

yn1 (t) yn2 (t)
W (t) =   , Wronskian
 
0 0
yn1 (t) yn2 (t)

The system:  
0
  
yn1 (t) c1 (t) yn2 (t)
0



  =  
0 0 0
yn1 (t) yn2 (t) c2 (t) x(t)

has a solution if det W (t) 6= 0

Variation of Parameters Solution

0 yn2 (t) · x(t) 0 yn1 (t) · x(t)

c1 (t) = − , c2 (t) =
det W (t) det W (t)

t t
yn2 (τ ) · x(τ ) yn1 (τ ) · x(τ )
Z Z
yp = −yn1 (t) · dτ + yn2 (t) · dτ
0 det W (t) 0 det W (t)

53
5 Systems

54
5.1 First Order Systems
• A system of differential equations is a model such that the rate of change of variables are
dependent on the output of other variable — along with an input, e.g:

x0 = ax + by + cxy + r1 (t)

y 0 = dx + ey + f xy + r2 (t)

In the above, the rate of change of x is determined by:

ax , The output of x(t), itself, with a growth rate of a

by , The output of y(t) with a growth rate of b

cxy , The output of x(t) multiplied by y(t) with a growth rate of c symbolizes their interaction

r1 (t) , An input signal

• Order of all terms on the LHS accumulated is known as the total order of the system, e.g:

x0 = . . . x0 = ...
⇒ Total Order = 2 ⇒ Total Order = 3
y0 = . . . y 00 = . . .

• Total order of the system determines the amount initial conditions needed.

• The solutions x(t) and y(t) define the solution curve parametrically.

• x0 (t) and y 0 (t) define the vector field, representing velocity.

• Systems can be expressed in matrix notation:

" # " #" # " #
x0 a b x r1 (t)
= +
y0 c d y r2 (t)

⇒ ~z 0 = A~z + ~r(t)

55
• Higher order ODEs can be converted to first order systems, given an ODE with form:

y (4) + a · y (3) + m · y 00 + b · y 0 + k · y = 0

Rearrange for the highest order term:

y (4) = −k · y − b · y 0 − m · y 00 − a · y (3)

Define new variables:

x1 = y
0
x2 = y 0 = x1
0
x3 = y 00 = x2
0
x4 = y (3) = x3
0
y (4) = x4
0
Write the xi in terms of x’s to form the first order system:

0
x1 = x2  0   
x1 0 1 0 0 x1
0  0   
x2 = x3 x   0 0 1 0 
 x2 
 
 2
⇒  0 = 

 
0 x   0
x3 = x4  3  0 0 1 
 x3 
 
0
0 x4 −k −b −m −a x4
x4 = −k · x1 −b · x2 −m · x3 −a · x4

• The matrix is known as the Companion matrix of the ODE.

• The order of the ODE is equivalent to the total order of the system.

• ODE’s can be recovered from systems via substitution.

56
5.2 Elimination [Null Solution Method 1]
1. Rearrange an ODE to express a variable in terms of the other variable and its derivatives.

2. Substitute the rearranged equation into the other ODE and simplify, producing a new ODE.

3. Calculate the null solution to the newly derived ODE.

4. Use the rearranged expression to derive the solution for the other variable.

5. Use initial conditions to determine constant coefficients.

Example:

Given:
x0 = −5x + 2y x(0) , y(0)

y0 = 2x − 2y
1. Rearrange:
x0 + 5x
y =
2
2. Substitute and simplify:
0
x0 + 5x x0 + 5x
  
= 2x − 2·
2 2

⇒ x00 + 7x0 + 6x = 0

3. The null solution is:

xn = α · e−t + β · e−6t

4. Use the rearranged equation to form the other null solution:

(−α · e−t − 6β · e−6t ) + 5(α · e−t + β · e−6t )

yn =
2

1 −6t
= 2αe−t − βe
2

5. Use initial conditions to determine constant coefficients:

 
1
α = y(0) − x(0)
x(0) = α + β 3
∴
1
y(0) = 2α − β
 
1
2 β = 4x(0) − y(0)
3

57
5.3 Eigenvalues and Eigenvectors [Null Solution Method 2]
Given the system:
~z 0 = A~z

The null solution ~zn is calculated with:

1. Eigenvalues λi of A (Each λi ≡ sni [roots of the characteristic equation])

2. Eigenvectors ~vi of A

Eigenvalues ∈ R

~zn = α · ~v1 · eλ1 t + β · ~v2 · eλ2 t

Eigenvalues ∈ C

• Eigenvalues come in pairs, a complex number and it’s conjugate.

• One eigenvalue produces two linearly independent real solutions therefore conjugates
are omitted.

• For λi ∈ C, the corresponding eigenvector ~vi ∈ C

• The solution will have form:

   
~zn = α · Re ~vi · eλ i t + β · Im ~vi · e λ i t

Zero Eigenvalues

Given:
λ1 = 0 , λ2 = −2

The system is known as degenerate and has solution form:

~zn = α · ~v1 + β · ~v2 · e−2t

58
Repeated Eigenvalues (Complete)

Given a λ that is repeated j times:

λ1 = −3 , λ2 = −3 , ... , λj = −3

The repeated λs are complete if j linearly independent eigenvectors can be found:

~zn = c1 · ~v1 · e−3t + c2 · ~v2 · e−3t + . . . + cj · ~vj · e−3t

All symmetric matrices in Rn×n have complete eigenvalues.

Repeated Eigenvalues (Defective)

Given a λ that is repeated j times, it’s defective if only k linearly independent eigenvectors
can be found, such that a further m = j − k solution vectors are needed:

1. Find the vector p~m that satisfies:

(A − λI)m+1 p~m = 0

2. Use p~m to generate m vectors:

p~0 = (A − λI)m p~m

p~1 = (A − λI)m−1 p~m

..
.

p~m−1 = (A − λI) p~m

3. The further m solution vectors are:

~x1 p1 + t · p~0 )
= (~
 
1 2
~x2 = p~2 + t · p~1 + · t · p~0
2!
..
.
 
1 2 1
~xm = p~m + t · p~m−1 + · t · p~m−2 + . . . + · tm · p~0
2! m!

With a and b as the unknown constants, the solution is:

~zn = a1 · ~v1 · eλt + . . . + ak · ~vk · eλt + b1 · ~x1 · eλt + . . . + bm · ~xm · eλt

59
5.4 Fundamental Matrices
• Given the system:
~z 0 = A~z

With eigenvectors ~vi , the null solution is:

~zn = α · ~v1 · eλ1 t + β · ~v2 · eλ2 t

Letting:
 
~zj (t) , Null Solution j e.g: ~vj · eλj t p1 + t · p~0 ) ·
, (~ eλj t , etc

The homogeneous solution can be rewritten as:

~zn = α · ~z1 (t) + β · ~z2 (t)

Fundamental Matrix
A fundamental matrix is formed by gathering all null solutions into a single matrix:
 . .. 
.. .
 
Ξ(t) = ~z1 (t) · · · ~zn (t)
 
 
.. ..
. .

Properties of Ξ:
1. det Ξ(t) 6= 0 ∀t
0
2. Ξ (t) = AΞ(t) (i.e. Ξ(t) solves the system equation)

• Due to the infinitely many ways of choosing eigenvectors, it infers that Ξ is one of infinitely
many fundamental matrices of A.

With C representing any constant matrix:

Φ = Ξ(t) C

is also a fundamental matrix.

60
5.5 Variation of Parameters [Particular Solution]
• Given the system:
~z 0 = A~z + ~r(t)

The solution is:

~z + ~zn + ~zp

Where ~zp is expressed by time-varying coefficients multiplied by null solutions:

~zp = c1 (t) · ~z1 (t) + c2 (t) · ~z2 (t)

= Ξ(t) ~c(t)

• Plugging ~zp into the system equation produces the formula for ~c(t):

0 0
Ξ (t) ~c(t) + Ξ(t) ~c (t) = AΞ(t) ~c(t) + ~r(t)

0
Ξ(t) ~c (t) = ~r(t)

0
~c (t) = Ξ−1 (t) ~r(t)

Z t
~c(t) = Ξ−1 (τ ) ~r(τ ) dτ + ~k
0

• The particular solution is therefore:

Z t
~zp = Ξ(t) Ξ−1 (τ ) ~r(τ ) dτ + Ξ(t) ~k
0

• ~k is determined from the initial condition ~zp (0).

• ~k is often omitted as only one particular solution is needed therefore it’s easier to let ~k = ~0.

61
5.6 Matrix Exponential
• While methods for solving the homogeneous solution include:

– Elimination; and
– Eigenvalue and Eigenvectors

the matrix exponential provides an explicit formula.

• For a square n × n matrix A, the matrix exponential is defined as an infinite series:

Matrix Exponential Infinite Series

1 2 2
eAt = I + At + A t + ...
2!

A does not need to have a full set of n independent eigenvalues/eigenvectors, but if it did:

A = V ΛV −1

1
∴ eAt = I + V ΛV −1 t + V Λ2 V −1 t2 + . . .
2!
1 2 2
= V (I + Λt + Λ t + . . . )V −1
2!

= V eΛt V −1

 λt 
e 1
 

= V ..  −1
V
 . 
 
eλn t

• eAt produces a matrix, which happens to be fundamental, with the same dimension as A.

• eAt can be calculated using a fundamental matrix:

Matrix Exponential via Fundamental Matrix

eAt = Ξ(t) Ξ−1 (0)

1. Ξ−1 (0) is a constant matrix.

2. The infinite series infers eAt is the fundamental matrix that equals I when t = 0.

3. When t = 0, Ξ(0) Ξ−1 (0) = I [ Ξ(t) is non-singular hence has an inverse ].

62
• Given a homogeneous system:
" #
x(0)
~z0 = A~z ~z(0) =
y(0)

The solution to the homogeneous equation is:

~zn = eAt~z(0)

With:
~ei , Column vector i of eAt

The homogeneous can also be expressed as:

~zn = x(0) · ~e1 + y(0) · ~e2

• Given an inhomogeneous system:

~z0 = A~z + ~r(t) ~z(0)

The solution is calculated by:

~z = eAt~z(0) + (eAt − I)A−1~r(t)

• The two properties the matrix exponential retains are:

d At
1. e = AeAt
dt

2. eAt · eAτ = eA(t+τ )

63
5.7 Decoupling Systems
• A change in coordinate system such that the differential equations are decoupled.

• Requires A to have a full set of eigenvalues and eigenvectors

• Given:
~z 0 = A~z + ~r(t)

1. Substitute A for eigenvalues and eigenvectors and multiply by V −1 :

~z 0 = V ΛV −1~z + ~r(t)

V −1~z 0 = ΛV −1~z + V −1~r(t)

2. Let:
ϕ
~ = V −1~z ~ (t) = V −1~r(t)
µ

∴ ϕ
~ 0 = V −1~z 0 ∴ Vµ
~ (t) = ~r(t)

As V −1 and ~r(t) are known, µ

~ (t) can be deduced via Gaussian elimination.

3. Substitute the expressions into the equation:

ϕ
~ 0 = ΛV −1 ϕ
~ + µ
~ (t)

As Λ is diagonal, the ODEs are decoupled and can be solved individually:

      
ϕ01 λ1 ϕ1 µ1 (t)
       
 .   ..   .   . 
 ..  =  . .
.  +  .  +  . 
    
  
       
ϕ0n λn ϕn µn (t)

E.g:
ϕ01 = λ1 ϕ1 + µ1 (t)

4. Once ϕ
~ has be calculated, the solution to the original system is:

~z = V ϕ
~

64
6 Graphical and Numerical Methods

65
6.1 System Model
• For most non-linear ODEs with form:

dy
= f (t, y)
dt
solutions exist yet there are no explicit formulas.

• Non-linear ODE solutions do not have exponential solutions.

Existence Theorem
Solutions for ODEs exists when f (t, y) is a continuous function for t near 0 and y near y(0)

Uniqueness Theorem

δ
There’s only one solution per y(0) if f (t, y) is continuous.
δy

• Given:
f (t, y) = b(t)y + x(t)
dy
⇒ = b(t)y + x(t)
dt
If x(t) is continuous for all time and:
 
δ 
 δy f (t, y) = |b(t)| ≤ L
 

Then the solution curve for the ODE passing through y(0) is in the domain t ∈ (−∞, ∞).

• With the following satisfied:  

δ 
 δy f (t, y) ≤ L
 

With:
dy
= f (t, y)
dt
dz
= f (t, z)
dt
Then:
|y(t) − z(t)| ≤ eLt · |y(0) − z(0)|

If y(t) and z(t) solutions curves start close, they stay close.

66
6.2 Direction/Slope Field
dy
• The Direction/Slope Field is the vector field of on the ty-plane where:
dt

t , Time (Horizontal Axis)

y , System Output Value (Vertical Axis)

• The arrows point in the direction of travel of the solution curve.

• Given:
t0 , Initial Time

y0 , Initial y Value

The solution curve starts at (t0 , y0 )

• Solution curves are often superimposed over the vector field produced by the y 0 (t) equation.

Example:

Given:
dy
= t · sin(t + y 2 )
dt

t0 = 0

y0 = 0
The solution curve and vector field is:

67
6.2.1 Autonomous ODEs

• Have no ts in the differential equation, e.g:

dy
= y3 − y
dt

• All arrows point in the same direction for a fixed y value.

• A solution curve with initial value y0 starting at time t1 is identical to the solution curve with
initial value y0 starting at time t2 except translated left or right.

• Due to redundant information, solutions are plotted on a phase line, e.g:

dy
= y2
dt

t0 = 0

y0 = −2

68
6.2.2 Critical/Equilibrium Points

• Applies to ODEs with form:

dy
= f (t, y)
dt
• The y values (roots) solving f (t, y) = 0 are known as equilibrium points yej , j ∈ N.

• In the slope field, horizontal lines occur at each y = yej

• Equilibrium points give information regarding how curves in the field behave.

• For each yej , its type can be revealed by either evaluating:

1. The gradient at yej −  , yej + ; or

δ
2. f (t, y)
δy

Source

f (t, yej − ) < 0

f (t, yej + ) > 0


δ 
f (t, y) > 0
δy y = yej

Sink

f (t, yej − ) > 0

f (t, yej + ) < 0


δ 
f (t, y) < 0
δy y = yej

Node (Saddle)

f (t, yej − ) > 0

f (t, yej + ) > 0

f (t, yej − ) < 0

f (t, yej + ) < 0

69
• In the event: 
δ 
f (t, y) = 0
δy y = yej

No information regarding the j’th equilibrium point can be deduced.

• When a solution converges to an equilibrium point, it can either:

1. Stay there indefinitely.

2. Escape and continue in the slope field.

• Solutions that stay at an equilibrium point satisfy the Existence and Uniqueness theorem.

• If the Existence and Uniqueness theorem is violated, i.e f (y)’s differential is not continuous,
then solutions can escape, e.g:
1
f (t, y) = t · y 2

δ t
∴ f (t, y) = 1
δy 2y 2

There’s a discontinuity in the derivative when y = 0 hence there are infinitely many solutions.

70
6.3 Phase Plane
• Phase planes consists of curves of systems, i.e:

x0 = f (x, y, t)

y 0 = g(x, y, t)

Each curve in the plane:

– Represents the system starting at different initial conditions.

– Is defined parametrically, i.e x0 (t) and y 0 (t), therefore there is no time axis. Instead
traversing the curve represents the progression of time.

• The Phase plane of an ODE converted into a system reveals the long term behavior of solutions.

• Eigenvectors produce the “Straight Line” solutions.

• Eigenvalues determines the feature of the Phase plane.

• Limit cycles are closed trajectories that are stable, i.e. all other solutions go towards:

– Physically represents periodic motion that if disturbed returns to its periodic state.
– There are no analytic methods to determine if a system has a Limit Cycle.

71