3 Linear Equations and Systems

In this chapter we continue our study of differential equations and linear systems to
examine physical processes that can be described with multiple functions

A system could be composed of many parts or just a single object.

Model: Damped Harmonic Motion

One important model is the repetitive or harmonic motion of an object, a result of

Newton’s second law combined with Hooke’s law which describes a restoring force kx acting
on the object. In addition if the object experiences a damping force cxNproportional to the
velocity, then Newton’s law becomes

which is the differential equation

The negative signs indicate that the restoring force FS and damping force FR both oppose the
motion of the object. We have derived a linear second-order homogeneous equation with
constant coefficients- an important, recurring application in this text. This linear equation

is equivalent to the first-order system of differential equations

This system will exhibit many different behaviors, depending on the set of parameters {m,c,k},
which are best illustrated by their graphs.

3.1 Damped Systems

We know that the general solution x(t) of the second-order equation xO + pxN + qx = 0 is a
linear combination of two basis functions {x1, x2}. We assume that each function has derivatives
that are scalar multiples of each other. We are motivated to try an exponential function, since

Since each term contains the non-zero exponential function, the result is an algebraic equation
r² + pr + q = 0, called the characteristic or auxiliary equation. The equation xO - 5xN + 6x = 0
can be replaced by the condition r² - 5r + 6 = 0, which has the factored form (r - 2)(r - 3) = 0 with
roots r = 2 and r = 3. The general solution is the linear combination

generated by the basis functions

Example 1 Consider

We can easily solve the characteristic equation r² + 5r + 4 = 0 and

3.1 Damped Systems

determine the general solution

The initial conditions x(0) = 1 and xN(0) = 1 give the solution

The graph of this function (top) clearly indicates that we have

exponential decay, as shown by this time-dependent solution and the
phase portrait of the linear system (below)

# For practice, solve

In this example we have overdamped motion since there are two real negative roots r1
and r2 so the position function takes the exponential form

There are no oscillations- only exponential decay back to the (stable) equilibrium value x = 0.

Example 2 Solve:

The characteristic equation r² - 1 = 0 has two roots r = ±1 with different

signs, so the general solution

is a linear combination of increasing and decreasing exponential

functions. The trajectories in the phase plane of the system xN = y and
yN = x should both approach and “fly away” from the origin (0,0) and
have a hyperbolic form. We often call the origin a saddle node.
# For practice, try

Each of these examples have distinct characteristic values. What happens when one
(or more) of these roots is repeated? The double root r = r1 would correspond to the equation

We know that one possible solution of this equation is the exponential function

Another independent solution might be found by the variation of parameters, replacing the
constant c with some mystery function u(t), so that

and its derivatives will simplify to the result uO = 0 (verify), so u(t) is a linear function. Finally
we obtain a complete general solution
3.1 Damping

Example 3 Solve

The characteristic equation

when r = 2, so the general solution becomes

We can show that the initial conditions y(0) = 1 and yN(0) = 1 give

This trajectory in the phase plane (shown) verifies that this solution
will increase with time t ÷ 4, moving away from the origin.
# For practice, try

Critically damped motion occurs if there is only one real root of the equation mxO + cxN +
kx = 0, when c² = 4km and r = -c/(2m), so the position function becomes

This function has at most one zero, so if the object passes through the equilibrium x = 0, it
exponentially decays back to that point.

Example 4 Solve:

The characteristic equation (r + 3)² = 0 has the single root r = -3, so

The initial conditions require that c1 = 1 and c2 = 3, so we have the

decaying exponential solution

which has no time t > 0 when x(t) = 0. The phase portrait displays the
critical damping in the system xN = y and yN = -9x - 6y.
# For practice, solve

Any nth-order linear equation

can be written as a system of first-order equations if we introduce the n subscripted variables

So, for the third-order equation

we make the make the substitutions

3.1 Damping

and obtain the first-order system

Example 5 Solve

The characteristic equation r³ + 3r² - 10r = 0 has a factored form

The general solution is then

The initial conditions y(0) = 7, yN(0) = 0 and yO(0) = 70 require that

This linear system is solved in the usual manner to obtain c1 = 0, c2 = 2

and c3 = 5, so finally

# For practice, try

PS3.1
 3.2 Complex Roots: Oscillations

Recall the equation of simple harmonic motion yO + b²y = 0 is a linear combination of

sine and cosine, so the general solution

If we examine the characteristic equation r² + b² = 0, we have two imaginary roots r = ±bi. The
general solution should then be the exponential function

How do we reconcile these two apparently different solutions? The answer is given by Euler’s
Formula, where the Maclaurin series provides that the complex-valued exponential function

When the root of the characteristic equation is a complex number r = a + bi, the solution
is the exponential function

Since the complex roots of real-valued equations always occur as complex conjugates a ± bi, the
general solution of the second-order equation yO + pyN + qy = 0 becomes

Example 1 Solve

The roots of the characteristic equation r² - 4r + 5 = 0 or

are given by r = 2 ± i. The general (time) solution is then

This is an increasing exponential function. If we choose the initial

conditions y(0) = 1 and yN(0) = 2, then c1 = 1. The derivative

would require that c2 = -1. The particular solution becomes

The increasing value of this solution is also clearly illustrated in the

phase portrait by the upper trajectory that spirals away from the origin.
3.2 Complex Roots

# For practice, solve

Example 2 Solve

The characteristic equation r² + 2r + 4 = 0 also has the form

which has two complex roots

The general solution is then

The decaying exponential implies that each trajectory of the system

will now spiral into the origin.

# For practice, solve

All of the techniques for finding the characteristic values discussed so far naturally extend
to higher-order equations.

Example 3 Solve each equation.

(A)
We can reduce (factor) the characteristic equation

It is clear that r = 2, while the remaining two complex roots (verify) r =

-1 ± 2i. The general solution becomes

(B)
The characteristic equation

has repeated imaginary roots ±2i, so we have the general solution

# For practice, try

Underdamped harmonic motion occurs if the characteristic equation mr² + cr + k = 0 has

two complex roots and the solution or position function

where p = c/(2m) > 0, so the object will oscillate with a frequency given by ù² = k/m, but with a
decaying amplitude until it returns to the equilibrium position x = 0.
3.2 Complex Roots

Example 4 Suppose that a mass m = ½ kg experiences a resistance of 1 N per

m/sec of velocity. The restoring force on the spring is 100 N when it is
stretched 2 m, so the spring constant k = 50 N/m. The initial position
x(0) = 1 m and the initial velocity xN(0) = -5 m/sec. Using this data,
the equation of motion becomes

with a characteristic equation r² + 2r + 100 = (r + 1)² + 99 = 0, that has

two complex roots r = -1 ± i/99. The general solution becomes

Thus, the mass oscillates with a frequency ù = 3/11 rad/sec and a

decaying exponential amplitude. The initial conditions x(0) = 1 and
xN(0) = -5 give the time-dependent solution

This function and its graph (above) are typical of underdamped

motion, as is the phase portrait (spiral) of the corresponding system

# For practice, try

The reader should pay special attention to the graphs in these damping problems. The
phase portraits clearly display the behavior of each system without the need for the analytical
solutions. We can begin to identify certain types of trajectories that are associated with each
version of the equation mxO + cxN + kx = 0, where the roots of the characteristic equation are

If the origin is a stable equilibrium, then all real exponential functions must decay as t ÷
4. The discriminant D = c² - 4km will determine the type of phase portrait, as shown below.

System (a) is overdamped (D > 0), while system (b) is critically damped (D = 0) and the origin is
a stable node. The third system has only one decaying exponential; the origin is a saddle node.
The final two systems (D < 0) have complex (d) and imaginary roots (e), making the origin a
stable spiral and center.
PS3.2
 3.3 Systems and Matrices

Our future work with first-order systems will be aided by the use of vector and matrix
notation. In the SHM problem yO + y = 0, y(0) = 0, yN(0) = 1, the variables x1 = y and x2 = yN give

The general solution of the system xN = Ax is (surprise) a linear combination of two vectors

The initial condition x(0) = (0,1) determines the final form of the solution

We can solve any first-order system

by “recombining” these equations and solving the corresponding equation xO + pxN+ qx = 0.

Example 1 Solve:

This system is equivalent to the second-order equation xO = 2x + xN or

The roots of the characteristic equation r² - r - 2 = 0 give

We may show that the trajectories in the phase plane are given by

When C = 0 we get the lines y = -x and y = 2x, which separate the

the hyperbolic curves. In the phase plane we observe that the “flow”
approaches the origin along one line and moves away from the origin
along the other line- the origin is often called a saddle point.
# For practice, consider

Example 2 Solve:

This system corresponds to the equation

where r² + 0.2r + 1.01 = (r + 0.1)² + 1 = 0, so

The initial value x(0) = 0 determines that

3.3 Systems and Matrices

If the initial value y(0) = 1 = B, we have the parametric equations

which is an inward spiral or sink in the phase plane (shown).

# For practice, let

Any linear differential equation L(x) = 0 may be defined by the operator

where the derivative D6 = d6/dt6. This notation permits us to treat a differential equation or
system of equations like their algebraic counterparts. Recall that we had the equation xO- 5xN +
6x = 0, or in operator form (D² - 5D + 6)x = (D - 3)(D - 2)x = 0, which has a general solution

A system of two first-order differential equations could take the form

This linear system Ax = ƒ has a unique solution given by Cramer’s rule, where x = *A1*/*A* or
*A*x = *A1* provided the operational determinant *A* 0. For this system, we have

The homogeneous case with ƒ1 = ƒ2 = 0 would then become the single equation

The solution y(t) is determined in a similar manner, so that we have the alternative equation

Example 3 Solve:

This homogeneous system has the operator form

which becomes the single equation

The characteristic values are given by r² + 3r - 10 = 0, so that

The function y(t) is determined by a similar equation

3.3 Systems and Matrices

producing a second solution

We know there are only two arbitrary constants in this problem. To

find the connections between these constants, we substitute into the
first equation xN = 4x - 3y and obtain the identity

Comparing, we have b1 = 2a1/3 and b2 = 3a2 and the two solutions

# For practice, solve

In this example the system

has a general solution given by a linear combination of two vector functions:

We can verify that either basis vector will satisfy the condition xN = Ax, for example

The initial conditions x(0) = 2 and y(0) = -1 will determine the constants a1 = 3 and a2 = -1.

Application: Mixture Problem

We have two tanks that exchange their solutions, where the rates of change in the
amounts of salt in each tank are given by the usual rule: rate in - rate out and each rate is the flow
(volume/time) × concentration (amount/volume). The given diagram (below) gives the system

If x(0) = 25 and y(0) = 0, the phase plane below shows the behavior of the system as t ÷ 4.
3.3 Systems and Matrices

Application: Coupled Masses

Consider a system of two masses m1 and m2 joined by two springs with spring constants
k1 and k2. If we represent the position of each mass with the quantities x(t) and y(t), respectively,
then Newton’s second law produces the second-order system

Choosing the specific values for m1 = 2, m2 = 1, k1 = 4 and k2 = 2, we have the system

The operational determinant of the second version yields

The roots of the characteristic equation are ±i and ±2i, so that

The first equation of the system y = (D² + 3)x gives the other solution

The solution (x(t),y(t)) of this second-order system has the vector form

Notice that the masses are in phase (top) with a frequency ù1 = 1, but with m2 having an
amplitude of motion twice that of m1. With a frequency ù2 = 2 (bottom), the amplitudes are the
same, but the masses are now out of sync or phase by 180E.

This double spring problem has the form xN = Ax if we choose four new variables

so that we have four first-order equations

which provide the matrix equation

Project: Kepler’s Problem

The second-order system

describes the motion of a satellite of mass m acting under the influence of a force directed toward
the origin (Earth) with a magnitude k/(x² + y²).
 3.4 Eigenvalues

In a previous example we had the system

with a general solution (x(t),y(t)) of the form

Notice that each solution vector corresponds to a set of parametric equations:

The first pair is the line y1/x1 = 2/3 or y1 = 2x1/3 and the second pair is another line y2 = 3x2. We
have two linear trajectories in the phase plane (above). The slope of each line is determined by
the vectors v1 = (3,2) and v2 = (1,3) or any scalar multiples.

Recall that the linear system Ax = b defines a mapping of one vector to another, given by
the linear function T(x) = Ax. We require a non-zero vector v that is a scalar multiple of itself;
that is, a solution of the matrix equation Av = ëv. For example, consider the matrix

and the vector v = (2,1), where

or the vector v = (3,2), where

We can easily verify that a scalar multiple of either vector will also work. The equation Av = ëv
or its homogeneous version (A - ëI)v = 0 has a non-zero eigenvector v if there is an eigenvalue ë
that satisfies the characteristic equation det(A - ëI) = 0.

Example 1 Let

The eigenvalues of this matrix are given by the determinant

which produces the characteristic equation

with roots (eigenvalues) ë = 5 and ë = -1. There is an eigenvector that

corresponds to the value ë = 5, which is a solution of the homogeneous
3.4 Eigenvalues

system (A - 5I)v = 0 with a coefficient matrix

This system reduces to the single condition

which has many non-trivial solutions; the simplest choice is v = (1,1).

Any scalar multiple of the vector (1,1) will also be an eigenvector of ë
= 5. We proceed in a similar manner to find an eigenvector for the
value ë = -1, where we must solve (A + I)v = 0 and

The second matrix indicates that the components of v are given by

Hence, any multiple of the basic vector (2,-1) will work.

# For practice, try {3,(1,2);-1,(1,-2)}

Example 2 Let

We can verify that the eigenvalues of this 3 × 3 matrix are given by

Starting with ë = 2, the system (A - ëI)v = 0 has a coefficient matrix

The solution (vector) is determined by the conditions

so that we may choose v = (1,3,1). The second value ë = 1 implies

The conditions

are satisfied by (say) the vector v = (3,2,1). Finally, if ë = -1, then

3.4 Eigenvalues

The conditions

are satisfied by (say) the vector v = (1,0,1).

# For practice, let {0,(0,1,-3);1,(0,2,-5);3,(1,0,2)}

For any 2 × 2 matrix of the form

we recognize that the characteristic equation (a - ë)(d - ë) - bc = 0 always simplifies to

where we identify the trace ô = a + d and the determinant Ä = ad - bc of the given matrix.

The Euler Connection

One of Euler’s many contributions to our story was to recognize that the characteristic
values of the linear equation mxO + cxN + kx = 0

are the same as the eigenvalues of its first-order system

where the trace ô = -c/m and determinant Ä = k/m.

Example 3 Consider
We know that the characteristic equation

has roots r1 = 2 and r2 = -1, so the solution (position) becomes

which has a derivative (velocity)

If we introduce two new variables x1 = y and x2 = yN, we have the

system xN = Ax, where
3.4 Eigenvalues

We note that matrix A has a trace ô = 1 and determinant Ä = -2, hence

the eigenvalues are given by ë² - ë - 2 = 0, which is same characteristic
equation as above! In fact, the German word eigen is often translated
as “proper” or “characteristic.” We can also verify that each solution
vector from above is an eigenvector of matrix A:

# For practice, try

Example 4 Let

We immediately recognize that ô = 0 and Ä = 1, so the eigenvalues are

given by ë² + 1 = 0 with two imaginary roots ë = ±i. The system

has a possible outcome

so we may choose the vector v = (1,i). The other vector is given by

and we have the conjugate v = (1,-I).

# For practice, let {±4i,(K2i,1)}

Example 5 Consider
The equation r² + 2r + 5 = 0 has complex roots r = -1 ± 2i. This
second-order equation is equivalent to the system

The trace and determinant of matrix A provide the same characteristic

equation ë² + 2ë + 5 = 0 and eigenvalues ë = -1 ± 2i. We can show that
for either value ë there is a corresponding vector x such that

# For practice, try

PS3.4
 3.5 Homogeneous Systems

The first-order system xN = Ax should remind the reader of the natural growth model xN =
ax. We are therefore motivated to seek an exponential solution (vector)

which has a derivative

Since the exponential function is never zero, we would obtain the eigenvalue condition Av = ëv.
So, the solution of any first-order system reduces to the algebraic solution of this linear system.

Example 1 Solve:

This 2 × 2 matrix has eigenvalues given by ë² - 3ë - 10 = 0 or ë1 = -2

and ë2 = 5. With ë1 = -2 we have the system (A + 2I)v = 0, where

This system reduces to a single equation 3v1 + v2 = 0 with one possible

choice (1,-3). The eigenvalue ë2 = 5 implies (A - 5I)v = 0, where

So, we have the condition v1 - 2v2 = 0 and the second eigenvector has
(say) the components v1 = 2 and v2 = 1. The general solution becomes

which can be split into two parametric equations

# For practice, let

We may study the geometry of these solutions in the plane ú², where each eigenfunction
is a line through the origin with a slope v2/v1 determined by the components of the eigenvector.
In the previous example with the pair ë = -2 and v = (1,-3), we have the line y = -3x; for ë = 5
and v = (2,1), we have the line y = x/2. We observe that the “flow” or direction along each line is
given by the eigenvalues: towards the origin when ë < 0 and away if ë > 0 (see graph above).

Example 2 Solve:

The trace ô = 8 and determinant Ä = 25 produce the equation ë² - 8ë

+ 25 = 0, which has complex eigenvalues ë = 4 ± 3i. When we
substitute ë = 4 - 3i into the system (A - ëI)v = 0, we get
3.5 Eigenvalues

One possible solution of this system is v = (1,i). The other eigenvalue

ë = 4 + 3i gives the expected complex conjugate v* = (1,-i). Hence, we
obtain the linear combination of complex-valued solutions

# For practice, let

We can use the fact that eigenvalues/vectors always occur as conjugate pairs to separate
the real and imaginary parts of either complex solution xi, so we may form the combination of
two real-valued independent solutions

In the previous example, we had ë = 4 - 3i and v = (1,i), so using Euler’s formula we may write

The real and imaginary components of this vector produce the real-valued general solution

two parametric equations that correspond to a family of spirals (shown above) leaving the origin.

Application: Mixture Problem

Three brine tanks are connected as shown. If fresh water enters the first tank, the amount
of salt in each tank is given by the linear system

where ki = r/Vi and r (gal/min) is the constant flow rate. Suppose V1 = 20, V2 = 40, V3 = 50 and r
= 10, with the initial amounts x1(0) = 15 and x2(0) = x3(0) = 0, then we have

The eigenvalues of this triangular matrix lie along the main diagonal:

The Maple command eigenvects will provide the general solution

3.5 Homogeneous Systems

The initial conditions give c1 = 5, c2 = 30 and c3 = 125. The plot of the three scalar functions
reveals that each tank reaches the expected equilibrium state x(t) ÷ 0 as t ÷ 4.

For any 2 × 2 system the characteristic equation ë² - ôë + Ä = 0 has two roots

The eigenvalues and phase portrait will clearly depend on the discriminant D = ô² - 4Ä. We can
quickly describe the behavior of the system and stability of the origin (equilibrium point) with a
trace-determinant diagram, which is divided into different regions by the parabola ô² = 4Ä:

(1) Above this parabola, where ô² - 4Ä < 0 and the eigenvalues are
complex, we find the spirals and centers;
(2) Below the parabola, where ô² - 4Ä > 0 and the eigenvalues are real,
we find the nodes and saddle points;
(3) On the parabola ô² - 4Ä = 0, we identify a single eigenvalue, which
may produce one or two independent eigenvectors. The origin is
called a degenerate node, which is proper if there are two vectors
(directions) or improper for a single vector (direction).

Example 3 Describe the stability for each system xN = Ax.

(A)

The trace ô = 3 and determinant Ä = -10 is located in the lower ôÄ half

plane, so the origin is a unstable saddle node.

(B)

The trace ô = 8 and determinant Ä = 16 lies on the parabola ô² = 4Ä so

the origin is an unstable (ô > 0) node. All trajectories are tangent to a
single line (eigenvector).

(C)

The trace and determinant values (-2,101) indicate that the trajectories
are spirals and the origin is asymptotically stable (ô < 0).

# For practice, let {unstable spirals}

3.5 Homogeneous Systems

Application: Rotation

Consider the initial value problem

The zero trace ô and determinant Ä = 100 easily identify the origin as a stable center. The
imaginary value ë = 10i yields the complex eigenvector v = (3 + 5i, 4). The initial point (4,2)
gives the particular solution

the rotated elliptical trajectory (shown).

Project: Rotation Revisited

PS3.5