Chapter 1

Chapter 1.
Systems of Linear Differential

Equations
Le Cong Nhan
Faculty of Applied Sciences

HCMC University of Technology and Education
Ngày 25 tháng 8 năm 2022
Le Cong Nhan (Faculty of Applied Sciences HCMC University

Chapter of 1. Technology
Systems ofand Education)
Linear Differential Equations Ngày 25 tháng 8 năm 2022 1 / 33
Chapter Overview
1 Theory of Linear Systems
2 Homogeneous Linear Systems

The Auxiliary Equation
Solution by Diagonalization
3 Nonhomogeneous Linear Systems

Undetermined Coefficients
Variation of Parameters
Diagonalization
Matrix Exponential

1.1 Theory of Linear Systems
The systems of n linear differential equations in n unknowns of the form
P11 (D)x1 + P12 (D)x2 + · · · + P1n (D)xn = b1 (t)

P21 (D)x1 + P22 (D)x2 + · · · + P2n (D)xn = b2 (t)
.. .. (1)
. .
Pn1 (D)x1 + Pn2 (D)x2 + · · · + Pnn (D)xn = bn (t)
The systems of first-order ODEs

dx1
= g1 (t, x1 , x2 , ..., xn )
dt
dx2
= g1 (t, x1 , x2 , ..., xn )
dt (2)
.. ..
. .
dxn
= g1 (t, x1 , x2 , ..., xn )
dt

Linear Systems
When each of the functions g1 , g2 , ..., gn is linear in the dependent variables x1 , x2 , ..., xn
we get the normal form of a first-order system of linear equations:
dx1
= a11 (t)x1 + a12 (t)x2 + · · · + a1n (t)xn + f1 (t)
dt
dx2
= a21 (t)x1 + a22 (t)x2 + · · · + a2n (t)xn + f2 (t)
dt (3)
.. ..
. .
dxn
= an1 (t)x1 + an2 (t)x2 + · · · + ann (t)xn + fn (t)
dt
When fi (t) = 0, i = 1, 2, ..., n, the linear system is said to be homogeneous;
otherwise it is nonhomogeneous.

Matrix Form of a Linear System
      
x1 a11 (t) a12 (t) · · · a1n (t) x1 f1 (t)
x  a21 (t) a22 (t) · · · a2n (t)
d  2  x2  f2 (t)
   
.= . .. ..   ..  +  ..  (4)
  
dt  ..   .. . .  .   . 
xn an1 (t) an2 (t) · · · ann (t) xn fn (t)
| {z } | {z } | {z } | {z }
dX/dt A X F
Definition 1 (Solution vector)

A solution vector on an interval I is any column matrix
 
x1 (t)
x2 (t)
X= . 
 
 .. 
xn (t)
whose entries are differentiable functions satisfying the system (4) on the interval.
Example 2
Verify that on the interval (−∞, ∞)
−2t
3e 6t

e
X1 = and X2 =
−e −2t 5e 6t
are solutions of

1 3
X0 = X.
5 3

Initial-Value Problem
Let t0 denote a point on an interval I and
   
x1 (t0 ) γ1
x2 (t0 )  γ2 
X(t0 ) =  .  and X0 =  .  ,
   
 ..   .. 
xn (t0 ) γn
where the γi , i = 1, 2, ..., n are given constants. Then the problem
Solve: X0 = A(t)X + F(t)
(5)
Subject to: X(t0 ) = X0
is an initial-value problem on the interval.
Theorem 3 (Existence of a Unique Solution)

Let the entries of the matrices A(t) and F (t) be functions continuous on a common
interval I that contains the point t0 . Then there exists a unique solution of the
initial-value problem (5) on the interval.
Homogeneous Systems
Let us consider the homogeneous system
X0 = AX (6)
Theorem 4 (Superposition principle)

Let X1 , X2 , ..., Xk be a set of solution vectors of the homogeneous system X0 = AX
on an interval I . Then the linear combination
X = c1 X1 + c2 X2 + · · · + ck Xk ,
where the ci , i = 1, 2, ..., k are arbitrary constants, is also a solution on the

interval.

Definition 5 (Linear Dependence and Linear Independence)
Let X1 , X2 , ..., Xn be a set of solution vectors of the homogeneous system (6) on
an interval I . We say that the set is linearly dependent on the interval if there
exist constants c1 , c2 , ..., ck not all zero, such that
c1 X1 + c2 X2 + · · · + cn Xn = 0 (7)
for every t in the interval. If the set of vectors is not linearly dependent on the
interval, it is said to be linearly independent.

Theorem 6 (Criterion for Linearly Independent Solutions)
Let X1 , X2 , ..., Xn be n solution vectors of the homogeneous system (6) on an
interval I
     
x11 x12 x1n
x21  x22  x2n 
X1 =  .  , X2 =  .  , ..., Xn =  . 
     
 ..   ..   .. 
xn1 xn2 xnn
Then the set of solution vectors is linearly independent on I if and only if the
Wronskian

x11 x12 · · · x1n

x21 x22 · · · x2n
W (X1 , X2 , ..., Xn ) = . .. .. 6= 0. (8)

.. . .

xn1 xn2 · · · xnn

Theorem 7 (General Solution-Homogeneous Systems)
Let X1 , X2 , ..., Xn be a fundamental set of solutions of the homogeneous system
X 0 = AX on an interval I . Then the general solution of the equation on the
interval is
X = c1 X1 + c2 X2 + · · · + cn Xn ,
where ci , i = 1, 2, ..., n are arbitrary constants.

Nonhomogeneous Equations
Let us consider the nonhomogeneous system
X0 = AX + F(t). (9)
Theorem 8 (General Solution-Nonhomogeneous Equations)

Let Xp be any particular solution of the nonhomogeneous system (9) on an interval
I , and let
Xc = c1 X1 + c2 X2 + · · · + cn Xn
denote the general solution on the same interval of the associated homogeneous
system (9). Then the general solution of the nonhomogeneous system on the interval
is
X = Xc + Xp . (10)

1.2 Homogeneous Linear Systems
The Auxiliary Equation
Let us consider the homogeneous linear first-order system
X0 = AX, (11)
where the coefficient matrix A is an n × n matrix of constants.

1 The characteristic equation of the matrix A is
det (A − λIn ) = 0 (12)
A solution λ of (12) is so-called an eigenvalue of A.

 
k1
 k2 
A solution K =  .  6= 0 corresponding to an eigenvalue λ of the system
 
 .. 
kn
(A − λIn ) K = 0 (13)
is so-called an eigenvector of A.
2 X = Ke λt is then a solution of (11).
Case 1: Distinct Real Eigenvalues
Let λ1 , λ2 , ..., λn be n distinct real eigenvalues of the coefficient matrix A of the

homogeneous system (11), and let K1 , K2 , ..., Kn be the corresponding eigenvectors.
Then the general solution of (11) on the interval (−∞, ∞) is given by
X = c1 K1 e λ1 t + c2 K2 e λ2 t + · · · + cn Kn e λn t . (14)

Case 2: Repeated Eigenvalues
Let λ1 be an eigenvalue of multiplicity m of the coefficient matrix A of the
homogeneous system (11).
1 If we can find m linearly independent eigenvectors K1 , K2 , ..., Km
corresponding to an eigenvalue λ1 of multiplicity m ≤ n. Then the general
solution of (11) contains the linear combination
c1 K1 e λ1 t + c2 K2 e λ1 t + · · · + cm Km e λ1 t .
2 If there is only one eigenvector corresponding to the eigenvalue λ1 of

multiplicity m, then m linearly independent solutions of the form
X1 = K11 e λ1 t ,
X2 = K21 te λ1 t + K22 e λ1 t ,
..
.
m−1 m−2
t t
Xm = Km1 (m−1)! e λ1 t + Km2 (m−2)! e λ1 t + · · · + Kmm e λ1 t ,
where Kij are column vectors.

Case 3: Complex Eigenvalues
Let K1 be an eigenvector corresponding to the complex eigenvalue λ1 = α + iβ, α

and β real. Then
K1 e λ1 t and K1 e λ1 t
are solutions of (11).

In addition, denote by B1 and B2
1 i
B1 = K1 + K1 = Re(K1 ) and B2 = −K1 + K1 = Im(K1 ). (15)
2 2
Then B1 and B2 are two column vectors with real entries, and
X1 = (B1 cos βt − B2 sin βt) e αt

(16)
X2 = (B2 cos βt + B1 sin βt) e αt
are linearly independent solutions of (11) on (−∞, ∞).

Example 9
Solve the system
dx
= 2x + 3y
dt
(17)
dy
= 2x + y .
dt

Example 10
Solve the system
dx
= −4x+ y+ z
dt
dy
= x+ 5y − z (18)
dt
dz
= y− 3z.
dt

Example 11 (Repeated Eigenvalues)
Solve X0 = AX, where
 
1 −2 2
A = −2 1 −2 .
2 −2 1

 
2 1 3
A = 0 2 1 .
0 0 1

 
2 1 3
A = 0 2 1 .
0 0 2

Example 14 (Complex Eigenvalues)
Solve the initial-value problem

2 8 2
X0 = X, X(0) = .
−1 −2 −1

1.2 Homogeneous Linear Systems
Solution by Diagonalization
This method is applicable to a system
X0 = AX (19)
where the coefficient matrix A is diagonalizable, i.e., A = PDP−1 .
X0 = PDP−1 X ⇐⇒ P−1 X0 = DP−1 X
1 Let Y = P−1 X, then we get Y0 = DY, that is

 0     λ t
y1 λ1 0 · · · 0 y1 c1 e 1
y20   0 λ2 · · · 0  y2  c2 e λ2 t 
 ..  =  .. .. ..   ..  =⇒ Y =  ..  (20)
      
. . . .  .   . 
yn0 0 0 · · · λn yn cn e λn t
2 Hence the general solution of X0 = AX is X = PY.

Example 15
Solve X0 = AX by diagonalization, where
 
−2 −1 8
A =  0 −3 8 .
0 −4 9

1.3 Nonhomogeneous Linear Systems
Let us consider the nonhomogeneous linear system
X0 = AX + F(t) (21)
Method of solution:
+ Method of undetermined coefficients
+ Method of variation of parameters
+ Diagonalization
+ Matrix Exponential e At

Undetermined Coefficients
If F(t) has the forms
P(t), P(t)e αt , P(t)e αt cos βt, P(t)e αt sin βt, (22)
where P(t) = am t m + · · · + a1 t + a0 , ak are the column vectors of constants, then

we find a particular solution of the form
Q(t), Q(t)e αt , e αt (Q1 (t) cos βt + Q2 (t) sin βt) , (23)
where degP = degQ = degQi , i = 1, 2.
Example 16
Solve the system on the interval (−∞, ∞)

0 2 8 2
X = X+ .
−1 −2 −1

Step 1: A Fundamental Matrix
If X1 , X2 , ..., Xn is a fundamental set of solutions of the homogeneous system X0 =

AX on an interval I , then its general solution on the interval is
     
x11 x21 xn1
x21  x22  xn2 
X = c1  .  + c2  .  + · · · + cn  .  (24)
     
 ..   ..   .. 
xn1 x2n xnn
| {z } | {z } | {z }
X1 X2 Xn
    
c1 x11 + c2 x12 + · · · + cn x1n x11 x12 ··· x1n c1
 c2 x21 + c2 x22 + · · · + cn x2n  x21 x22 ··· x2n   c2 
= ..  =  .. .. ..   ..  (25)
    
 .   . . .  . 
c1 xn1 + c2 xn2 + · · · + cn xnn xn1 xn2 ··· xnn cn
| {z } | {z }
Φ(t) C
where the matrix Φ(t) is called a fundamental matrix of the system on the interval.
Step 2: General Solution Formula
Find a particular solution of the nonhomogeneous system
X0 = AX + F(t) (26)
of the form
 
u1 (t)
u2 (t)
Xp = Φ(t)U(t), where U(t) =  .  .
 
 .. 
un (t)
Substitute Xp into (26) we get
Z Z
U(t) = Φ−1 (t)F(t)dt =⇒ Xp = Φ(t) Φ−1 (t)F(t)dt.
Thus the general solution of the system (26) is X = Xc + Xp or

Z
X = Φ(t)C + Φ(t) Φ−1 (t)F(t)dt. (27)

Example 17
Find the general solution of the nonhomogeneous system

0 −3 1 3t
X = X + −t .
2 −4 e
on the interval (−∞, ∞).

Diagonalization
This method is applicable to a system
X0 = AX + F(t) (28)
where the coefficient matrix A is diagonalizable, i.e., A = PDP−1 .
X0 = PDP−1 X + F(t) ⇐⇒ P−1 X0 = DP−1 X + P−1 F(t).
1 Let Y = P−1 X and G = P−1 F(t), then we get Y0 = DY + G, that is

 0     
y1 λ1 0 · · · 0 y1 g1 (t)
y20   0 λ2 · · · 0  y2  g2 (t)
 ..  =  .. .. ..   ..  +  ..  (29)
      
. . . .   .   . 
0
yn 0 0 · · · λn yn gn (t)
2 Hence the general solution of X0 = AX is X = PY.

Example 18
Find the general solution of the nonhomogeneous system by diagonalization
t
0 4 2 3e
X = X+ .
2 1 et
on the interval (−∞, ∞).

Matrix Exponential
The general solution of X0 = AX + F(t), A is an n × n matrix of constants, is

Z t
X = Xc + Xp = e At C + e At e −As F(s)ds, (30)
t0
the matrix exponential e At is a fundamental matrix, it is always nonsingular and

−1
e −As = e As . Note that e −As can be obtained from e −At by replacing t by −s.
∞
t2 tm X tk
1 By definition: e At = I + At + A2 + · · · + Am + ··· = Ak .
2! m! k!
k=0
2 Using the Laplace transform
n o
−1
e At = L−1 (sIn − A) . (31)
3 Power of a Matrix Am : Let P(λ) is the characteristic equation of A, i.e.,
P(λ) = det (A − λIn ) = 0 (32)
Then by using the Cayley-Hamilton theorem, P(A) = 0.

Example 19

1 −1
Compute e At for A = .
2 −2


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Chapter 1.

Systems of Linear Differential

Faculty of Applied Sciences

Ngày 25 tháng 8 năm 2022

Le Cong Nhan (Faculty of Applied Sciences HCMC University

1 Theory of Linear Systems

2 Homogeneous Linear Systems

3 Nonhomogeneous Linear Systems

Le Cong Nhan (Faculty of Applied Sciences HCMC University

The systems of n linear differential equations in n unknowns of the form

P11 (D)x1 + P12 (D)x2 + · · · + P1n (D)xn = b1 (t)

The systems of first-order ODEs

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Definition 1 (Solution vector)

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Theorem 3 (Existence of a Unique Solution)

Let us consider the homogeneous system

Theorem 4 (Superposition principle)

where the ci , i = 1, 2, ..., k are arbitrary constants, is also a solution on the

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

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

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Let us consider the nonhomogeneous system

Theorem 8 (General Solution-Nonhomogeneous Equations)

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Let us consider the homogeneous linear first-order system

where the coefficient matrix A is an n × n matrix of constants.

det (A − λIn ) = 0 (12)

A solution λ of (12) is so-called an eigenvalue of A.

Let λ1 , λ2 , ..., λn be n distinct real eigenvalues of the coefficient matrix A of the

Le Cong Nhan (Faculty of Applied Sciences HCMC University

2 If there is only one eigenvector corresponding to the eigenvalue λ1 of

where Kij are column vectors.

Let K1 be an eigenvector corresponding to the complex eigenvalue λ1 = α + iβ, α

are solutions of (11).

X1 = (B1 cos βt − B2 sin βt) e αt

are linearly independent solutions of (11) on (−∞, ∞).

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

This method is applicable to a system

where the coefficient matrix A is diagonalizable, i.e., A = PDP−1 .

X0 = PDP−1 X ⇐⇒ P−1 X0 = DP−1 X

1 Let Y = P−1 X, then we get Y0 = DY, that is

2 Hence the general solution of X0 = AX is X = PY.

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Let us consider the nonhomogeneous linear system

Le Cong Nhan (Faculty of Applied Sciences HCMC University

If F(t) has the forms

P(t), P(t)e αt , P(t)e αt cos βt, P(t)e αt sin βt, (22)

where P(t) = am t m + · · · + a1 t + a0 , ak are the column vectors of constants, then

Q(t), Q(t)e αt , e αt (Q1 (t) cos βt + Q2 (t) sin βt) , (23)