ODE Lecture 15

MA 102: Lecture - 15
Homogeneous Linear Systems With Constant Coefficients
March-June 2023
Lecture-15
(Chapter 7 of Differential Equations by S. L. Ross, 3rd Edition)
(March-June 2023) MA 102-ODE Lecture-15 1 / 22

Matrix Exponential
Definition
For any n × n real matrix A, define the matrix exponential eAt (or etA ) as
X tk ∞
t2 2 t3 3
eA t := I + tA + A + A + ··· = Ak for t ∈ R .
2! 3! k!
k=0

Matrix Exponential
Definition
For any n × n real matrix A, define the matrix exponential eAt (or etA ) as
X tk ∞
t2 2 t3 3
eA t := I + tA + A + A + ··· = Ak for t ∈ R .
2! 3! k!
k=0
 
d1 0 ··· 0
0 d2 ··· 0
If D =  . is an n × n real and diagonal matrix then
 
 .. .. .. 
. ··· .
0 0 ··· dn
 dt 
e 1 0 ··· 0
 0 ed2 t ··· 0 
Dt
e =. .
 
 .. .. ..
. ··· . 
0 0 ··· edn t

Matrix Exponential is a Fundamental Matrix

Theorem
For a homogeneous linear VDE x0 = A x where A is real matrix (constant
coefficients), the matrix exponential eAt is a fundamental matrix on R.
Proof.
Set
t2 2 t3 3
Φ(t) = eAt = I + tA + A + A + · · · , t ∈ R.
2! 3!


Theorem
Proof.
Set
t2 2 t3 3
Φ(t) = eAt = I + tA + A + A + · · · , t ∈ R.
2! 3!
By differentiating the series term by term we obtain
dΦ(t) d
= eAt = A eAt = A Φ(t) for t ∈ R.
dt dt


Theorem
Proof.
Set
t2 2 t3 3
Φ(t) = eAt = I + tA + A + A + · · · , t ∈ R.
2! 3!
dΦ(t) d
dt dt
Therefore Φ(t) satisfies the homogeneous linear VDE x0 = A x on R and their

columns are linearly independent. Hence eAt is a fundamental matrix on R.


Theorem
Proof.
Set
t2 2 t3 3
Φ(t) = eAt = I + tA + A + A + · · · , t ∈ R.
2! 3!
dΦ(t) d
dt dt
Therefore Φ(t) satisfies the homogeneous linear VDE x0 = A x on R and their

columns are linearly independent. Hence eAt is a fundamental matrix on R.
Note: eAt is same as etA . In some books, etA will be considered.

Theorem (Fundamental Theorem for Linear Systems)

Let A be an n × n real matrix. Then, for a given x0 ∈ Rn , the Initial Value
Problem involving homogeneous linear VDE
x0 = Ax and x(0) = x0
has a unique solution given by
x(t) = eAt x0 .


x0 = Ax and x(0) = x0
x(t) = eAt x0 .
Proof: By previous theorem, eAt is a fundamental matrix of x0 = Ax on R and

hence x(t) = eAt C for t ∈ R, where C is a column vector in Rn is a general
solution of x0 = Ax.


x0 = Ax and x(0) = x0
x(t) = eAt x0 .
Proof: By previous theorem, eAt is a fundamental matrix of x0 = Ax on R and

hence x(t) = eAt C for t ∈ R, where C is a column vector in Rn is a general
solution of x0 = Ax.
Applying the initial condition x(0) = x0 , we get C = x0 and hence
x(t) = eAt x0
is a solution to the given initial value problem.

Easiest Linear System of ODEs
We know the GS to scalar equation x0 (t) = ax(t) is x(t) = ceat ,

where c = x(0).
The easiest linear systems to solve are systems of the form
x0 (t) = Dx(t),
where D is an n × n diagonal matrix. Such a system actually consists

of n uncoupled equations
x0i (t) = dii xi (t), i = 1, . . . , n,
whose solution is
xi (t) = ci edii t ,
where the ci ’s are constants (ci = xi (0)).

Example: Consider the uncoupled system

x01 (t) = −x1 (t)
x02 (t) = 2x2 (t).
Writing this system in the matrix form x0 (t) = Ax(t), where

−1 0
A= .
0 2
The method of separation of variables yield the GS
x1 (t) = c1 e−t
x2 (t) = c2 e2t
In matrix form

e−t 0
x(t) = c, where c = x(0).
0 e2t
Homogeneous linear systems with constant coefficients
Consider the homogeneous system

x0 (t) = Ax(t), (1)
where A is a real n × n matrix.
Goal: To find a fundamental solution set for (1).
We seek solutions of the form x(t) = eλt v, where λ is a constant and

v = [v1 , . . . , vn ]T is a constant vector (i.e., vi are real constants for
i = 1, . . . , n) such that
λeλt v = eλt Av =⇒ (A − λI)v = 0.

Thus,
x(t) = eλt v is a solution of x0 (t) = Ax(t)
⇐⇒ λ and v satisfy (A − λI)v = 0.
(We are interested in the case when v 6= 0).
(A − λI)v = 0 has a nontrivial solution ⇐⇒ det(A − λI) = 0.
Form of a Solution to x0 = A x, A is an n × n real matrix.
Theorem
If λ is an eigenvalue of A and v = (v1 , · · · , vn )T is an eigenvector
corresponding to λ, then the function x : R → Rn defined by
T
x(t) = v eλ t = v1 eλt , · · · , vn eλt for t ∈ R
is a solution of x0 = A x on R.
Method to find a Solution of x0 = A x
To find a solution of x0 = A x where A is an n × n real

matrix, we need to


matrix, we need to
Find the eigenvalues of A.


matrix, we need to
Find all linearly independent eigenvectors of A.


matrix, we need to
Write solutions of the form x(t) = v eλt .


matrix, we need to


matrix, we need to
Finally, we should have n linearly independent column
vectors (whose component functions are all real valued)
x1 (t), · · · , xn (t) as solutions for
x0 = A x.

Example: Find the eigenvalues and eigenvectors of the matrix

2 −3
A= .
1 −2

2−λ −3 = λ2 − 1 = 0.

det(A − λI) =
1 −2 − λ
λ1 = 1, λ2 = −1. To find the eigenvectors corresponding to λ1 = 1,
we solve

1 −3 v1 0
(A − λ1 I)v = 0 =⇒ = .
1 −3 v2 0
The eigenvector associated with λ1 = 1 is

3
v1 = r , r ∈ R \ {0}.
1

Example: Find the eigenvalues and eigenvectors of the matrix

2 −3
A= .
1 −2

2−λ −3 = λ2 − 1 = 0.

det(A − λI) =
1 −2 − λ
λ1 = 1, λ2 = −1. To find the eigenvectors corresponding to λ1 = 1,
we solve

1 −3 v1 0
(A − λ1 I)v = 0 =⇒ = .
1 −3 v2 0
The eigenvector associated with λ1 = 1 is

3
v1 = r , r ∈ R \ {0}.
1
Calculate eigenvector v2 corresponding to eigenvalue λ2 = −1.

Definition
Let A be an n × n real matrix. Let λ be an eigenvalue of A. The eigenvalue λ is
said to be regular if its geometric multiplicity p is equal to its algebraic multiplicity
m. The eigenvalue λ is said to be irregular if λ is not regular.

Definition
Definition
Let A be an n × n real matrix. The matrix A is said to be defective if A has at
least one eigenvalue which is irregular. That is, A is defective if A is not
diagonalizable.

Definition
Definition
diagonalizable.
We know that a normal matrix A (that is, AA∗ = A∗ A) is diagonalizable and

hence it cannot be defective.

Definition
Definition
diagonalizable.
We know that a normal matrix A (that is, AA∗ = A∗ A) is diagonalizable and

hence it cannot be defective.

1 1
The matrix is defective. It has single eigenvalue λ = 1 and eigenvector
0 1
v = (1, 0).

Definition
Let A be an n × n matrix. Let λ be an eigenvalue of A with algebraic multiplicity
m. Then, for k = 1, 2, 3, . . ., m, any nonzero solution v of
(A − λI)k v = 0
is called a generalized eigenvector (GEV) of A.

Definition
(A − λI)k v = 0
is called a generalized eigenvector (GEV) of A. In fact, there are m linearly

independent generalized eigenvectors for the eigenvalue λ with algebraic
multiplicity m.

Definition
(A − λI)k v = 0

multiplicity m.
Note: Every eigenvector is a generalized eigenvector, but converse is not true.

Definition
(A − λI)k v = 0

multiplicity m.

Definition
Let λ be an eigenvalue of an n × n matrix A and let v1 be an eigenvector
corresponding to the eigenvalue λ. If m is the largest positive integer such that all
the systems
(A − λI)v = vk−1
have a nontrivial solution vk for k = 2, 3, . . ., m. Then {v1 , v2 , . . . , vm } is
called a chain of generalized eigenvectors generated by v1 .

Definition
(A − λI)k v = 0

multiplicity m.

Definition
Let λ be an eigenvalue of an n × n matrix A and let v1 be an eigenvector
corresponding to the eigenvalue λ. If m is the largest positive integer such that all
the systems
(A − λI)v = vk−1
have a nontrivial solution vk for k = 2, 3, . . ., m. Then {v1 , v2 , . . . , vm } is
called a chain of generalized eigenvectors generated by v1 . The generalized
eigenvectors in a chain are linearly independent.
Example
 
1 2 0
Determine the generalized eigenvectors for the matrix A = 1 1 2.
0 −1 1

Example
 
1 2 0
0 −1 1
Step 1: Finding eigenvalues The matrix A has only one eigenvalue λ = 1 with
algebraic multiplicity 3.

Example
 
1 2 0
0 −1 1
Step 2: Finding eigenvectors and generalized eigenvectors

Example
 
1 2 0
0 −1 1
Step 2a: Solving (A − λI)v = 0.
(A − I)v = 0 =⇒ v1 = (−2, 0, 1) .
v1 is an eigenvector and hence it is a generalized eigenvector.

Example
 
1 2 0
0 −1 1
(A − I)v = 0 =⇒ v1 = (−2, 0, 1) .

Step 2b: Solving (A − λI)2 v = 0.
(A − I)2 v = 0 =⇒ v2 = (0, 1, 0) .

Example
 
1 2 0
0 −1 1
(A − I)v = 0 =⇒ v1 = (−2, 0, 1) .

Step 2b: Solving (A − λI)2 v = 0.
(A − I)2 v = 0 =⇒ v2 = (0, 1, 0) .
Step 2c: Solving (A − λI)3 v = 0.
(A − I)3 v = 0 =⇒ v3 = (1, 0, 0) .

Different Cases
To find all solutions of x0 = A x where A is an n × n real matrix, we need to

determine the nature of the eigenvalues and eigenvectors of A and classify them
as follows:

Different Cases

as follows:
1 Case 1: The matrix A has n linearly independent eigenvectors. That is, A is
diagonalizable.

Different Cases

as follows:
diagonalizable.
2 Case 2: The matrix A has p linearly independent eigenvectors with p < n.
That is, A is a defective matrix and hence it is not diagonalizable.

Different Cases

as follows:
diagonalizable.

Different Cases

as follows:
diagonalizable.
In Case 1, we get n linearly independent solutions to x0 = A x .

Different Cases

as follows:
diagonalizable.
In Case 1, we get n linearly independent solutions to x0 = A x .
In Case 2, we get p linearly independent solutions to x0 = A x . However, we need

to find remaining n − p linearly independent solutions.

Cases to deal in this course
We proceed further in the following directions.


1 Case 1: A is diagonalizable


Case 1(a): All eigenvalues of A are real and distinct.


Case 1(b): All eigenvalues of A are real and some of the eigenvalues are
repeated. For each repeated eigenvalue λ of A, the geometric multiplicity p of
λ is equal to the algebraic multiplicity of m of λ.


Case 1(c): All eigenvalues of A are distinct and some/all of the eigenvalues
are complex numbers.


2 Case 2: A is NOT diagonalizable


Case 2(a): All eigenvalues of A are real and some of the eigenvalues are
repeated. For a repeated eigenvalue λ of A, the geometric multiplicity p of λ
is less than the algebraic multiplicity of m of λ.


Case 2(a): All eigenvalues of A are real and some of the eigenvalues are
Case 2(b): All eigenvalues of A are complex and some of the eigenvalues are

If A is diagonalizable (Case 1), then x0 = Ax can be

uncoupled
Then, there exists an invertible matrix P such that P −1 AP = D with

D = diag(λj ) where λj ’s are eigenvalues of A.


uncoupled

Set
x = Py .
Then
x0 = P y0 =⇒ y0 = P −1 x0 = P −1 Ax = P −1 AP y = D y


uncoupled

Set
x = Py .
Then
x0 = P y0 =⇒ y0 = P −1 x0 = P −1 Ax = P −1 AP y = D y
dyj
y0 = D y =⇒
= λj yj j = 1, 2, . . . , n .
dt
Thus, the coupled linear system x0 = Ax is converted into the uncoupled linear
system y0 = Dy through the diagonalization technique.

Example: Consider x01 = −x1 − 3x2 ; x02 = 2x2 . Here

−1 −3
A= .
0 2
The eigenvalues of A are λ1 = −1 and λ2 = 2. A pair of
corresponding eigenvectors is

1 −1
v1 = , v2 = .
0 1
The matrix

1 −1 −1 1 1
P = and P = .
0 1 0 1


−1 0
Note that P AP = −1
0 2
We obtain the uncoupled linear system
y10 = −y1 y20 = 2y2 .

The GS is given by
y1 (t) = c1 e−t , y2 (t) = c2 e2t .

The GS to the original system is
−t
e 0
x(t) = P P −1 c, c = x(0).
0 e2t
x1 (t) = c1 e−t + c2 (e−t − e2t ), x2 (t) = c2 e2t .

Case 1: A is diagonalizable
Theorem
Let A be an n × n real matrix. If A is diagonalizable (that is, there exists an
invertible matrix P such that A = P DP −1 where D is a diagonal matrix), then
eAt = P eDt P −1 .

Case 1: A is diagonalizable
Theorem
Let A be an n × n real matrix. If A is diagonalizable (that is, there exists an
invertible matrix P such that A = P DP −1 where D is a diagonal matrix), then
eAt = P eDt P −1 .
Example
 
6 3 −2
If A = −4 −1 2 , then compute eAt . The matrix A has eigenvalues
13 9 −3
λ1 = 1, λ2 = 2, λ3 = −1.     
1 −1 0.5 1 0 0 5 3 −1
Set P = −1 2 −0.5, D = 0 2 0  and P −1 =  1 1 0 .
1 1 1 0 0 −1 −6 −4 2
Then, A = P DP −1 . Therefore
(5et − e2t − 3e−t ) (3et − e2t − 2e−t ) (−et + e−t )

 
eAt = P eDt P −1 = (−5et + 2e2t + 3e−t ) (−3et + 2e2t + 2e−t ) (et − e−t )  .
t t
2t
(5e + e − 6e ) −t 2t
(3e + e − 4e ) −t
(−et + 2e−t )
Case 1: n L. I. Eigenvectors
Theorem: Suppose A = (aij )n×n has n linearly independent

eigenvectors v1 , v2 , . . ., vn . Let λi be the eigenvalue corresponding
to vi . Then
{eλ1 t v1 , eλ2 t v2 , . . . , eλn t vn }
is a fundamental solution set on R for x0 = Ax. Then the general
solution (GS) of x0 = Ax is
x(t) = c1 eλ1 t v1 + c2 eλ2 t v2 + · · · + cn eλn t vn ,
where c1 , . . . , cn are arbitrary constants.

Proof. It is easy to check that xi (t) = eλi t vi solves the system

x0 = Ax for each i = 1, . . . , n. Now we have to show that the set
{eλ1 t v1 , eλ2 t v2 , . . . , eλn t vn }
is a linearly independent set. Consider

W (t) = det[eλ1 t v1 , . . . , eλn t vn ] = e(λ1 +···+λn )t det[v1 , . . . , vn ] 6= 0
(since vi ’s are eigen vectors corresponding to distinct eigen values and
hence are linearly independent)
Thus, {eλ1 t v1 , eλ2 t v2 , . . . , eλn t vn } is a fundamental solution set and
hence, the GS is given by
x(t) = c1 eλ1 t v1 + c2 eλ2 t v2 + · · · + cn eλn t vn .

Example: Find the GS of

 
7 −1 6
x0 (t) = Ax(t), where A =  −10 4 −12  .
−2 1 −1
The eigenvalues are λ1 = 2, λ2 = 3 and λ3 = 5. The corresponding

eigenvectors are
     
1 1 3
v1 =  −1  , v2 =  −2  and v3 =  −6  respectively .
−1 −1 −2
The GS is
     
1 1 3
x(t) = c1 e2t  −1  + c2 e3t  −2  + c3 e5t  −6  .
−1 −1 −2

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MA 102: Lecture - 15

Homogeneous Linear Systems With Constant Coefficients

(March-June 2023) MA 102-ODE Lecture-15 1 / 22

(March-June 2023) MA 102-ODE Lecture-15 2 / 22

(March-June 2023) MA 102-ODE Lecture-15 2 / 22

Matrix Exponential is a Fundamental Matrix

(March-June 2023) MA 102-ODE Lecture-15 3 / 22

Matrix Exponential is a Fundamental Matrix

(March-June 2023) MA 102-ODE Lecture-15 3 / 22

Matrix Exponential is a Fundamental Matrix

Therefore Φ(t) satisfies the homogeneous linear VDE x0 = A x on R and their

(March-June 2023) MA 102-ODE Lecture-15 3 / 22

Matrix Exponential is a Fundamental Matrix

Therefore Φ(t) satisfies the homogeneous linear VDE x0 = A x on R and their

Note: eAt is same as etA . In some books, etA will be considered.

Theorem (Fundamental Theorem for Linear Systems)

has a unique solution given by

(March-June 2023) MA 102-ODE Lecture-15 4 / 22

Theorem (Fundamental Theorem for Linear Systems)

has a unique solution given by

Proof: By previous theorem, eAt is a fundamental matrix of x0 = Ax on R and

(March-June 2023) MA 102-ODE Lecture-15 4 / 22

Theorem (Fundamental Theorem for Linear Systems)

has a unique solution given by

Proof: By previous theorem, eAt is a fundamental matrix of x0 = Ax on R and

is a solution to the given initial value problem.

(March-June 2023) MA 102-ODE Lecture-15 4 / 22

Easiest Linear System of ODEs

We know the GS to scalar equation x0 (t) = ax(t) is x(t) = ceat ,

where D is an n × n diagonal matrix. Such a system actually consists

(March-June 2023) MA 102-ODE Lecture-15 5 / 22

Example: Consider the uncoupled system

Homogeneous linear systems with constant coefficients

Consider the homogeneous system

We seek solutions of the form x(t) = eλt v, where λ is a constant and

(March-June 2023) MA 102-ODE Lecture-15 7 / 22

(A − λI)v = 0 has a nontrivial solution ⇐⇒ det(A − λI) = 0.

Form of a Solution to x0 = A x, A is an n × n real matrix.

Method to find a Solution of x0 = A x

To find a solution of x0 = A x where A is an n × n real

(March-June 2023) MA 102-ODE Lecture-15 9 / 22

Method to find a Solution of x0 = A x

To find a solution of x0 = A x where A is an n × n real

(March-June 2023) MA 102-ODE Lecture-15 9 / 22

Method to find a Solution of x0 = A x

To find a solution of x0 = A x where A is an n × n real

(March-June 2023) MA 102-ODE Lecture-15 9 / 22

Method to find a Solution of x0 = A x

To find a solution of x0 = A x where A is an n × n real

(March-June 2023) MA 102-ODE Lecture-15 9 / 22

Method to find a Solution of x0 = A x

To find a solution of x0 = A x where A is an n × n real

(March-June 2023) MA 102-ODE Lecture-15 9 / 22

Method to find a Solution of x0 = A x

To find a solution of x0 = A x where A is an n × n real

(March-June 2023) MA 102-ODE Lecture-15 9 / 22

Example: Find the eigenvalues and eigenvectors of the matrix

(March-June 2023) MA 102-ODE Lecture-15 10 / 22

Example: Find the eigenvalues and eigenvectors of the matrix

Calculate eigenvector v2 corresponding to eigenvalue λ2 = −1.

(March-June 2023) MA 102-ODE Lecture-15 10 / 22

(March-June 2023) MA 102-ODE Lecture-15 11 / 22

(March-June 2023) MA 102-ODE Lecture-15 11 / 22