BITS Pilani: DE ZG535: Advanced Engineering Mathematics

BITS Pilani
DE ZG535: Advanced Engineering Mathematics

Dr. K. Ram chandra murthy
Assistant Professor, BITS Pilani, Hyderabad Campus
BITS Pilani rcmurthy@hyderabad.bits-pilani.ac.in

Pilani|Dubai|Goa|Hyderabad
BITS Pilani
Pilani|Dubai|Goa|Hyderabad
Systems of Linear First-Order Differential

Equations
Review
 Numerical Solutions of Ordinary Differential Equations

• Euler Methods and Error Analysis
• Runge–Kutta Methods
• Solution using MATLAB
3 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

Scopeofthislecture
 Theory of Linear Systems

 Homogeneous Linear Systems
 Solution by Diagonalization
 Nonhomogeneous Linear Systems

Theory of Linear Systems
 First-order system: a system of first-order differential equations

can be of the below form

 Linear systems: When each of the functions is linear in the

dependent variables we get the normal form of a first-order
system of linear equations
 We assume that the coefficients as well as the functions are

continuous on a common interval I.

 Matrix Form of a Linear System: If , , and denote the respective

matrices
 system of linear first-order differential equations can be written as
Or simply , is zero if system is homogenous

 Ex: Write the given linear system in matrix form

 Initial-Value Problem: Let denote a point on an interval I and

and
where are given constants, then
is an initial value problem on the interval


 Linear Dependence and Linear Independence:

• Let be a set of solution vectors of a homogeneous system on an
interval I. We say that the set is linearly dependent on the
interval if there exist constants not all zero, such that
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

 Wronskian
If we can show that for some in I, then for all in I

 Homogenous System:
 Any set of n linearly independent solution vectors of the
homogeneous system on an interval I is said to be a
fundamental set of solutions on the interval
 Let be a fundamental set of solutions of the homogenous

system on an interval I. Then the general solution of the system
of the system on the interval is
where the are arbitrary constants

 Nonhomogenous System:
 For nonhomogeneous systems, a particular solution on an
interval I is any vector, free of arbitrary parameters, whose
entries are functions that satisfy the system
 Let be a given solution of the nonhomogeneous system on an
interval I, and let
denote the general solution on the same interval of the

associated homogeneous system. Then the general solution of the
nonhomogeneous system on the interval is

 Ex: Verify that the vector X is a solution of the given homogeneous

linear system
 Soln.
Therefore

 Ex: Verify that the vector is a particular solution of the given

nonhomogeneous linear system
 Soln.
Therefore

Homogeneous Linear Systems
 For a general homogeneous linear first-order system, where has

constant coefficients, we can always find a solution of the form
 If is to be a solution vector of the system, then . Therefore we can

write . Rearranging we get
 A solution corresponding to an eigenvalue is called an eigenvector

of A.

 Distinct Real Eigenvalues: Let ,….. be n distinct real eigenvalues of

the coefficient matrix A of the homogeneous system and let be the
corresponding eigenvectors. Then the general solution on the
interval is given by

 Ex: Find the general solution of the given system
 The system is
using Gauss-Jordan elimination


 Repeated Eigenvalues: Not all of the n eigenvalues ,….. of an

matrix A need be distinct, some of the eigenvalues may be
repeated. For example or is a root of multiplicity two.
 In general, if is a positive integer and is a factor of the

characteristic equation while is not a factor, then is said to be an
eigenvalue of multiplicity .

 Repeated Eigenvalues
• For some matrices A it may be possible to find linearly
independent eigenvectors corresponding to an eigenvalue of
multiplicity . In this case, the general solution of the system
contains the linear combination

 Soln.

 Ex:

• If there is only one eigenvector corresponding to the eigenvalue
of multiplicity , then linearly independent solutions of the form

• Now suppose that is an eigenvalue of multiplicity two and that
there is only one eigenvector associated with this value. A
second solution can be found of the form
and
• Substituting in and simplifying , we get and , which on
solving gets and respectively

 Soln.

 Soln.

 Complex Eigenvalues: If and , , are complex eigenvalues of the

coefficient matrix A, we can then certainly expect their
corresponding eigenvectors to also have complex entries.
 Let A be the coefficient matrix having real entries of the
homogeneous system, and let be an eigenvector corresponding to
the complex eigenvalue , and real. Then the solutions are
 , are conjugates of , respectively

 Complex Eigenvalues:
 If ) and ) , then let be a complex eigenvalue of the coefficient
matrix A in the homogeneous system
are linearly independent solutions on

 Soln.

Solution by Diagonalization
 An alternative method for solving a homogeneous system of linear

first-order differential equations
 Coupled Systems: A homogeneous linear system
in which each is expressed a linear combination of is said to be

coupled.
 If the coefficient matrix A is diagonalizable, then the system can be
uncoupled in that each can be expressed solely in terms of .

 If the matrix A has n linearly independent eigenvectors, then we

can find a matrix P such that , where D is a diagonal matrix. If we
make the substitution in the system , then
or or
 The new system is uncoupled and the solution of each of these

linear equations is ,

 The general solution can be written as column vector
 Since we now know and since the matrix can be constructed from
the eigenvectors of , the general solution of the original system is
obtained from .
 The method fails when A has repeated eigenvalues and n linearly
independent eigenvectors cannot be found

 Ex: Use diagonalization to solve the given system
 Soln.

 Soln.

Nonhomogeneous Linear Systems
 The general solution of a nonhomogeneous linear system (t)

on an intervalis where is the complementary function or general
solution of the associated homogeneous linear system and is any
particular solution of the nonhomogeneous system
 Three methods for obtaining
• Undetermined Coefficients
• Variation of Parameters
• Diagonalization

 Undetermined Coefficients
• This consists of making an educated guess about the form of a
particular solution vector ; the guess is motivated by the types
of functions that comprise the entries of the column matrix (t)
• This method is only applicable when the entries of A are
constants and the entries of (t) are constants, polynomials,
exponential functions, sines and cosines, or finite sums and
products of these functions

 Ex: Use the method of undetermined coefficients to solve the given

system
 Soln.

 Soln.

 Ex: Use the method of undetermined coefficients to solve the given

system
 Soln.

 Soln.

 Soln.
Note: The rules governing the form of in the linear higher order ODEs
do not quite apply here. One must be careful of the choice of guess
function for some special cases (like zero eigen value) as there are
more intricacies in this method.
 Variation of Parameters
• If is a fundamental set of solutions of the homogeneous system
on an interval , then its general solution on the interval is the
linear combination
or , where is the column vector of arbitrary constants and is the

matrix whose columns consist of the entries of the solution
vectors of the system

• is called the Fundamental Matrix of the system
• Properties of a fundamental matrix

• A fundamental matrix is nonsingular
• If is a fundamental matrix of the system , then

• If matrix of constants C can be replaced by a matrix of functions
so that is a particular solution of the system .
• Using properties of fundamental matrix, we get

 Ex: Use variation of parameters to solve the given system
 Soln. We obtain

 Diagonalization: if the coefficient matrix A possesses n linearly

independent eigenvectors, then we can use diagonalization to
uncouple the system
 If P is such that where D is a diagonal matrix

Substituting we get , where

 Ex: Use diagonalization to solve the given system
 Soln.

 Soln.
and

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BITS Pilani

DE ZG535: Advanced Engineering Mathematics

BITS Pilani rcmurthy@hyderabad.bits-pilani.ac.in

Systems of Linear First-Order Differential

 Numerical Solutions of Ordinary Differential Equations

3 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Theory of Linear Systems

4 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 First-order system: a system of first-order differential equations

5 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Linear systems: When each of the functions is linear in the

 We assume that the coefficients as well as the functions are

6 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Matrix Form of a Linear System: If , , and denote the respective

 system of linear first-order differential equations can be written as

Or simply , is zero if system is homogenous

7 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Ex: Write the given linear system in matrix form

8 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Initial-Value Problem: Let denote a point on an interval I and

is an initial value problem on the interval

9 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

10 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Linear Dependence and Linear Independence:

for every t in the interval. If the set of vectors is not linearly

11 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

If we can show that for some in I, then for all in I

12 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Let be a fundamental set of solutions of the homogenous

where the are arbitrary constants

13 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

denote the general solution on the same interval of the

14 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Ex: Verify that the vector X is a solution of the given homogeneous

15 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Ex: Verify that the vector is a particular solution of the given

16 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 For a general homogeneous linear first-order system, where has

 If is to be a solution vector of the system, then . Therefore we can

 A solution corresponding to an eigenvalue is called an eigenvector

17 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Distinct Real Eigenvalues: Let ,….. be n distinct real eigenvalues of

18 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Ex: Find the general solution of the given system

using Gauss-Jordan elimination

19 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

20 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Repeated Eigenvalues: Not all of the n eigenvalues ,….. of an

 In general, if is a positive integer and is a factor of the

21 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

22 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Ex: Find the general solution of the given system

23 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

24 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

25 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

26 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Ex: Find the general solution of the given system

27 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

28 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

 Complex Eigenvalues: If and , , are complex eigenvalues of the

 , are conjugates of , respectively

29 BITS Pilani, Deemed to be University under Section 3 of UGC Act, 1956

are linearly independent solutions on