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CONTENTS

Chapter 3 1. Preliminary theory

2. Homogeneous linear systems
SYSTEMS OF LINEAR FIRST- 3. Nonhomogeneous linear systems
ORDER DIFFERENTIAL 4. Matrix exponential
EQUATIONS

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1. PRELIMINARY THEORY

• A system that have the normal form • When each of the functions , , … , is linear in
the dependent variables , , … , we get the
= , , ,…,
first-order system of linear DEs.
= , , ,…, = + ⋯+ +
⋮
= + ⋯+ +
= , , ,…,
⋮
is called a system of first-order DEs.
= + ⋯+ +

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• If , and denote the respective matrices • Then the system of linear first-order DEs can be
written as
= +
= , = ,
⋮ ⋮ • If the system is homogeneous, its matrix form is then
=
…
• The problem
…
= solve: = +
⋮ ⋮ ⋮ ⋮
subject to: =
…
is an initial-value problem.

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Existence of a Unique Solution

Example 1. Write the following systems of first-order Theorem

ODEs in matrix notation. Let the entries of the matrices and be
functions continuous on a common interval that
=3 +4 contains the point . Then there exists a unique
a)
=5 −7 solution of the initial-value problem.

=6 + + +
b) = 8 + 7 − + 10
=2 +9 − +6

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Superposition principle

Theorem. Superposition principle Example 2. Verify that on the interval −∞, ∞

Let , , … , be a set of solution vectors of the −1 3
= and = are solutions of
homogeneous system on an interval . Then the linear 1 5
1 3
combination =
5 3
= + + ⋯+ Find other solutions of this system.
where the , = 1,2, … , are arbitrary constants, is
also a solution on the interval.

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Criterion for linearly independent

Linear Dependence/Independence
solutions
Definition. Theorem.
Let , , … , be a set of solution vectors of the
homogeneous system on a interval . Let = , = ,… , =
We say that the set is linearly dependent on the interval ⋮ ⋮ ⋮
if there exist constants , , … , not all zero, such
that be solution vectors of homogeneous system on an
+ + ⋯+ =0 interval . Then the set of solution vectors is linearly
for every in the interval. independent on if and only if the Wronskian
…
If the set of vectors is not linearly dependent on the
…
interval, it is said to be linearly independent. , ,…, = ⋮ ⋮ ⋮ ⋮ ≠ 0, ∀ ∈
…
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General solution – Homogeneous

Fundamental set of solutions
systems
• Any set , , … , of linearly independent Theorem.
solution vectors of the homogeneous system on an Let , , … , be a fundamental set of solutions of
interval is said to be a fundamental set of solutions. the homogeneous system on an interval . Then the
• There exists a fundamental set of solutions for the general solution of the system on is
homogeneous system on an interval . = + + ⋯+
where the , = 1,2, … , are arbitrary constants.

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General solution –
Nonhomogeneous systems
Example 3. Find the general solution of system Theorem.
a) in Example 2. Let be a given solution of the nonhomogeneous
1 0 1 system on an interval an let
b) = 1 1 0 where = + + ⋯+
−2 0 −1 denote the general solution on of the associated
cos
0
sin homogeneous system.
1 1 1 1
= − cos + sin , = , = − sin − cos Then general solution of nonhomogeneous system is
2 2 0 2 2
− cos − sin − sin + cos = +
are solutions. The general solution of the associated
homogeneous system is called the complementary
function of the nonhomogeneous system.
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2. HOMOGENEOUS LINEAR
Exercises
SYSTEMS
• Exercises 8.1 (page 332) • If = is a solution of = then
[2] Dennis G. Zill, [2012], A First Course in Differential = and we have
Equations with Modeling Applications, Brooks Cole. − =0
• We must find a nontrivial vector that satisfies
above equation.
• But this equation has nontrivial solutions only if
det − =0
• This polynomial equation in is called the
characteristic equation of matrix .

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• Its solutions are the eigenvalues of . Theorem. Distinct real eigenvalues

• A solution ≠ 0 corresponding to an eigenvalue is Let , , … , be distinct real eigenvalues of the
called an eigenvector of . coefficient matrix of the homogeneous system and
Example 4. Find the eigenvalues and eigenvectors of let , , … be the corresponding eigenvectors.
the matrix
2 3 Then the general solution on the interval −∞, ∞ is
=
2 1 given by
= + + ⋯+

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Repeated eigenvalues

Example 5. Solve • If is a positive integer and − is a factor of

the characteristic equation while − is not,
=2 +3 then is said to be an eigenvalue of multiplicity .
a)
=2 + • If it’s possible to find linearly independent
eigenvectors , , … , corresponding to an
eigenvalue of multiplicity .
= −4 + +
• Then the general solution of system contains the
b) = +5 − linear combination
+ + ⋯+
= −3

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• If there is only one eigenvector corresponding to the Example 6. Solve

eigenvalue of multiplicity . 1 −2 2
• Then linearly independent solutions of form a) = −2 1 −2
= 2 −2 1
= + 3 −18
b) =
⋮ 2 −9
= + +⋯ 2 1 6
−1 ! −2 ! c) = 0 2 5
+ 0 0 2

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Complex eigenvalues

Theorem. Example 7. Solve the initial-value problem

Let = + be a complex eigenvalue of coefficient 2 8 2
= , 0 =
matrix in homogeneous system and let and −1 −2 −1
denote the column vectors defined by
= Re , = Im
Then
= cos − sin
= cos + sin
are linearly independent solutions.

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3. NONHOMOGENEOUS LINEAR
Exercises
SYSTEMS
• Exercises 8.2 (page 346) • The general solution of a nonhomogeneous linear
[2] Dennis G. Zill, [2012], A First Course in Differential system = + on an interval is
Equations with Modeling Applications, Brooks Cole. = +
where is the complementary function and is any
particular solution.
• The method of undetermined coefficient consists of
making an educated guess about the form of
particular solution vector .

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• This method is applied only when Example 8.

– the entries of are constants 6 1 6
– and the entries of are constants, polynomials,
a) Solve = + on −∞, ∞ .
4 3 −10 + 4
exponential functions, sines and cosines or finite sums and b) Determine the form of a particular solution vector
products of these functions.
for the system
=5 +3 −2 +1

=− + + −5 +7

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Variation of parameters

• The general solution of homogeneous system

=
= , =
where ⋮
…
… = +
= ⋮ , = ⋮ ⋮ ⋮ ⋮ = + = +
…
⇒ =
• is called a fundamental matrix of the system. ⇒ =
• A particular solution is
=

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Exercises

Example 9. Solve the system • Exercises 8.3 (page 354)

−3 1 3 [2] Dennis G. Zill, [2012], A First Course in Differential
= +
2 −4 Equations with Modeling Applications, Brooks Cole.
on −∞, ∞ .

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4. MATRIX EXPONENTIAL Computation of

• For any × matrix , • Use of the Laplace transform

=ℒ −
= + + + ⋯+ +⋯=
2! ! !
• Derivative of the matrix exponential is
=
• The general solution of = + is

= + = +

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