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Systems of First Order Differential Equations: Department of Mathematics IIT Guwahati Shb/Su

The document discusses systems of first-order differential equations. It begins by introducing notation for dependent and independent variables. It then defines first-order systems in normal form and how higher-order differential equations can be rewritten as first-order systems. It also introduces matrix and vector notation for representing linear systems. It discusses existence and uniqueness of solutions, the Wronskian of solutions, Abel's formula, representation of solutions using fundamental matrices, and examples.

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akshay
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
94 views

Systems of First Order Differential Equations: Department of Mathematics IIT Guwahati Shb/Su

The document discusses systems of first-order differential equations. It begins by introducing notation for dependent and independent variables. It then defines first-order systems in normal form and how higher-order differential equations can be rewritten as first-order systems. It also introduces matrix and vector notation for representing linear systems. It discusses existence and uniqueness of solutions, the Wronskian of solutions, Abel's formula, representation of solutions using fundamental matrices, and examples.

Uploaded by

akshay
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Systems of First Order Differential Equations

Department of Mathematics
IIT Guwahati
SHB/SU

SHB/SU MA-102 (2020)


Notation

• t → independent variable.
• x1 (t), . . . , xn (t), y (t) → dependent variables (functions of t).
• X (t) = [x1 (t), · · · , xn (t)]T → (column) vector valued dependent
variable.
• F (t) = [f1 (t), · · · , fn (t)]T → (column) vector valued function of t.
• A(t) = [aij (t)]n×n → an n × n matrix valued function of t where
each entry is a function of t.
• C (I) continuous function on open interval I of R, possibly vector or
matrix valued which will be clear from the context.
• C 1 (I) continuously differentiable function on an open interval I of
R, possibly vector or matrix valued which will be clear from the
context.

SHB/SU MA-102 (2020)


First Order Systems in Normal Form
A first order system of n (not necessarily linear) equations in n
unknown functions x1 (t), x2 (t), . . . , xn (t) in normal form is
given by

x10 (t) = f1 (t, x1 , x2 , . . . , xn ),


x20 (t) = f2 (t, x1 , x2 , . . . , xn ),
..
.
xn0 (t) = fn (t, x1 , x2 , . . . , xn ).

Higher-order differential equations often can be rewritten as a


first-order system. Consider the nth order ODE
y (n) (t) = f (t, y , y 0 , . . . , y (n−1) ) (1)
into a first-order system as follows.
SHB/SU MA-102 (2020)
Setting
x1 (t) := y (t), x2 (t) := y 0 (t), . . . , xn (t) := y (n−1) (t).
we obtain n first-order equations:
x10 (t) = y 0 (t) = x2 (t),
x20 (t) = y 00 (t) = x3 (t),
..
. (2)
0 (n−1)
xn−1 (t) = y (t) = xn (t),
0 (n)
xn (t) = y (t) = f (t, x1 , x2 , . . . , xn ).
if (1) has n initial conditions:
y (t0 ) = α1 , y 0 (t0 ) = α2 , . . . , y (n−1) (t0 ) = αn ,
then the system (2) has initial conditions:
x1 (t0 ) = α1 , x2 (t0 ) = α2 , . . . , xn (t0 ) = αn .
SHB/SU MA-102 (2020)
Example: y 00 (t) + 3y 0 (t) + 2y (t) = 0; y (0) = 1, y 0 (0) = 3.
Setting
x1 (t) := y (t) and x2 (t) := y 0 (t)
we obtain

x10 (t) = x2 (t),


x20 (t) = −3x2 (t) − 2x1 (t).
The initial conditions transform to x1 (0) = 1, x2 (0) = 3.

We shall consider only linear systems of first-order ODEs.

SHB/SU MA-102 (2020)


First Order Normal Systems in Matrix Vector Form

Consider the linear system in the normal form:


x10 (t) = a11 (t)x1 (t) + · · · + a1n (t)xn (t) + f1 (t),
x20 (t) = a21 (t)x1 (t) + · · · + a2n (t)xn (t) + f2 (t),
..
.
xn0 (t) = an1 (t)x1 (t) + · · · + ann (t)xn (t) + fn (t).

in matrix and vector notations, we write it as


X 0 (t) = A(t)X (t) + F (t), (3)
where X (t) = [x1 (t), . . . , xn (t)]T , F (t) = [f1 (t), . . . , fn (t)]T ,
and A(t) = [aij (t)] is a n × n matrix.
When F = 0 the linear system (3) is said to be homogeneous.

SHB/SU MA-102 (2020)


Definition: Let I be an open interval in R. The IVP for the
system
X 0 (t) = A(t)X (t) + F (t) (4)
where A(t) and F (t) are continuous on I, is to find a vector
function X (t) ∈ C 1 (I) that satisfies the system (4) for all
t ∈ I and the initial conditions X (t0 ) = X0 = (x1,0 , . . . , xn,0 )T ,
where t0 ∈ I and X0 ∈ Rn .

Theorem: (Existence and Uniqueness)


Let A(t) and F (t) be continuous on I and t0 ∈ I. Then, for
any choice of X0 = (x1,0 , . . . , xn,0 )T ∈ Rn , there exists a
unique solution X (t) to the IVP

X 0 (t) = A(t)X (t) + F (t), X (t0 ) = X0


on the whole interval I.

SHB/SU MA-102 (2020)


Example: Consider the IVP:

   √   
0 t 3 tan t 1−t −1
X (t) = X (t) + , X (0) = .
t sin t 0 1
This IVP has a unique solution on the interval (−π/2, 1).

Theorem: Consider the n × n system


X 0 (t) = A(t)X (t) + F (t), t ∈ I,
where A(t), F (t) ∈ C (I). Let L : C 1 (I) 7→ C 1 (I) defined by
LX (t) = X 0 (t) − A(t)X (t),
for all X (t) ∈ C 1 (I). Then,
• L is linear.
• X 0 (t) = A(t)X (t) ⇔ X (t) ∈ Ker (L).
• dim Ker (L) = n.
SHB/SU MA-102 (2020)
The Wronskian of Solutions
Definition: The Wronskian of n vector functions

X1 (t) = (x1,1 (t), . . . , xn,1 (t))T , . . . , Xn (t) = (x1,n (t), . . . , xn,n (t))T
is defined as
x1,1 (t) x1,2 (t) · · ·

x1,n (t)
x2,1 (t) x2,2 (t) · · · x2,n (t)


W (X1 , . . . , Xn )(t) := .. .. ..
. . .

x (t) x (t) · · · xn,n (t)
n,1 n,2
= |X1 (t) · · · Xn (t)|

Theorem: Let {X1 (t), . . ., Xn (t)} be a set of solutions of


X 0 (t) = A(t)X (t) on I where A(t) ∈ C (I). They form a
linearly independent set on I iff W (X1 . . . Xn )(t) 6= 0 on I.

SHB/SU MA-102 (2020)


Abel’s formula
Theorem: If X1 (t), . . . , Xn (t) are solutions of
X 0 (t) = A(t)X (t) on I, W (t) := W (X1 , . . . , Xn )(t), and
t0 ∈ I, then Abel’s formula for the Wronskian W (t) is
Z t 
W (t) = W (t0 ) exp trace(A(s))ds , ∀t ∈ I
t0

Proof: Let X (s) = [X1 (s) · · · Xn (s)]. Using Jacobi’s formula,


dW d
= (|X (s)|) = trace(adj(X (s))X 0 (s))
ds ds
= trace(adj(X (s))A(s)X (s))
= trace(A(s) X (s) adj(X (s)))
= trace(A(s) |X (s)|)
= W (s) trace(A(s)).
The result follows by solving for W (s) and integrating from t0
to t.
SHB/SU MA-102 (2020)
Representation of Solutions
Theorem:(Homogeneous case)
Let X1 (t), . . . , Xn (t) be n linearly independent solutions to

X 0 (t) = A(t)X (t), t ∈ I,


where A(t) is continuous on I. Then, every solution to
X 0 (t) = A(t)X (t) can be expressed in the form
X (t) = c1 X1 (t) + · · · + cn Xn (t),
where ci ’s are constants.
Definition: A set {X1 (t), . . . , Xn (t)} of n linearly independent
solutions to
X 0 (t) = A(t)X (t), t ∈ I (∗)
is called a fundamental solution set for (∗) on I.

SHB/SU MA-102 (2020)


The matrix Φ(t) defined by
Φ(t) := [X1 (t) · · · Xn (t)]
x1,1 (t) x1,2 (t) · · · x1,n (t)
 
 x2,1 (t) x2,2 (t) · · · x2,n (t) 
=  .. .. .. 
 . . . 
xn,1 (t) xn,2 (t) · · · xn,n (t)

is called a fundamental matrix for (∗).


Note: We can use Φ(t) to express the general solution
X (t) = c1 X1 (t)+· · ·+cn Xn (t) = Φ(t)C , where C = (c1 , . . . , cn )T .

2. Since |Φ(t)| = W (X1 , . . . , Xn )(t) 6= 0 on I, Φ(t) is


invertible for every t ∈ I.

SHB/SU MA-102 (2020)


Implications of Abel’s Formula

Corollary Consider the linear n × n system of ODEs

X 0 (t) = A(t)X (t)


and suppose X (t) = [X1 (t) · · · Xn (t)] such that
Xi0 (t) = A(t)Xi (t), i = 1, . . . , n,

for all t ∈ I. The following are equivalent.


• X (t) is a fundamental matrix.
• X (t) is invertible for all t ∈ I.
• X (t) is invertible for some arbitrary choice of t ∈ I.

SHB/SU MA-102 (2020)


0
Example:
 Consider
 the system X (t) = A(t)X (t) on R, where
0 1 1
A= 1 0 1  . The set {X1 (t), X2 (t), X3 (t)}, where
1 1 0
 2t     
e −e −t 0
X1 (t) =  e 2t  , X2 (t) =  0  , X3 (t) =  e −t  ,
e 2t e −t −e −t

is a fundamental solution set.


Note that AXi (t) = Xi0 (t), i = 1, 2, 3. Further,

e 2t −e −t 0
2t −t

W (t) = e 0 e = −3 6= 0.
e 2t e −t −e −t

SHB/SU MA-102 (2020)


 
e 2t −e −t 0
The fundamental matrix Φ(t) =  e 2t 0 e −t  .
−t
e 2t
e −e −t

Thus, the GS is
     
e 2t −e −t 0
X (t) = Φ(t)C = c1  e 2t  + c2  0  + c3  e −t  .
e 2t e −t −e −t

SHB/SU MA-102 (2020)


Theorem:(Non-homogeneous case)
Let Xp (t) be a particular solution of

X 0 (t) = A(t)X (t) + F (t), t ∈ I, (∗∗)


and let {X1 (t), . . . , Xn (t)} be a fundamental solution set on I
for the corresponding homogeneous system X 0 (t) = A(t)X (t).
Then every solution to (∗∗) can be expressed in the form

X (t) = c1 X1 (t) + · · · + cn Xn (t) + Xp (t)


= Φ(t)C + Xp (t).

*** End ***

SHB/SU MA-102 (2020)

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