Differential Equations

Linear systems are often described using differential

equations. For example:
d
2
y
dt
2
+5
dy
dt
+6y = f(t)
where f(t) is the input to the system and y(t) is the
output.
We know how to solve for y given a specic input f.
We now cover an alternative approach:
Equation
Differential
convolution
Corresponding
Output
solve
Any input
Impulse response
17
Solving for Impulse Response
We cannot solve for the impulse response directly so
we solve for the step response and then differentiate
it to get the impulse response.
convolution
Corresponding
Output
Equation
Differential
solve
differentiate
Any input
Impulse response
Step response
18
Motivation: Convolution
If we know the response of a linear system to a step
input, we can calculate the impulse response and hence
we can nd the response to any input by convolution.
Suppose we want to know how a cars suspension re-
sponds to lots of different types of road surface.
We measure how the suspension responds to a step
input (or calculate the step response from a theoreti-
cal model of the system).
We can then nd the impulse response and use con-
volution to nd the cars behaviour for any road sur-
face prole.
19
Solving for Step Response
If we want to nd the step response of
dy
dt
+5y = f(t)
where f is the input and y is the output. It would be
nice if we could put f(t) = H(t) and solve. Unfortu-
nately we dont know of a way to do this directly. So
we
1. set f(t) = 1, and solve for just t 0
2. set the boundary condition y(0) = 0 (also y(0) =
0 for second order equations) to imply that f(t)
was zero for all t < 0.
We thus have a complete solution because y = 0 for
t < 0, and we have found y for all t 0.
20
Boundary Condition Justication
Prove that y = 0 at t = 0 by contradiction.
We know that y(t) = 0 for all t < 0. Therefore the
only way for y to equal something other than zero at
t = 0 is if there is a step discontinuity in y at t = 0.
Assume that y has a step of height h at t = 0. If y
has a step discontinuity at t = 0 then
dy
dt
must have
a delta function at t = 0.
So we have:
f(t) is a step function so |f(t)| 1 for all t.
|y| h at t = 0.

dy
dt

at t = 0.
Which violates the original equation at t = 0.
dy
dt
= f(t) 5y
As the RHS is nite but the LHS is innite. Therefore
y must be continuous at t = 0, and we can use the
initial condition y(0) = 0.
21
Step Response Example
Step 1: set f(t) = 1, and solve for just t 0.
dy
dt
+5y = 1
Complimentary function: y +5y = 0 y = Ae
5t
Particular Integral: try y = (a const) y =
1
5
General Solution: y = Ae
5t
+
1
5
Step 2: set the boundary condition y = 0 at t = 0
y(0) = 0 A+
1
5
= 0 A =
1
5
So step response is y(t) =
1
5
_
1 e
5t
_
for t 0.
22
Step Impulse Response
Impulse
Response
g(t)
Step
differentiate
integrate
Response
Step response is y(t) =
1
5
_
1 e
5t
_
for t 0.
Impulse response g(t) is given by:
g(t) =
_

_
0, t < 0
d
dt
_
1
5
_
1 e
5t
_
_
= e
5t
, t 0
23
Find the Impulse Response
d
2
y
dt
2
+13
dy
dt
+12y = f(t)
1. Find the General Solution with f(t) = 1
Complimentary function is y = Ae
12t
+Be
t
Particular integral is y =
1
12
General solution is y =
1
12
+Ae
12t
+Be
t
2. Set boundary conditions y(0) = y(0) = 0 to get
the step response.
1
12
+A +B = 0
12A B = 0
A =
1
132
and B =
1
11
Thus Step Response is y =
1
12
+
e
12t
132

e
t
11
3. Differentiate the step response to get the impulse
response.
g(t) =
dy
dt
=
e
t
e
12t
11
, (t > 0)
24
Using the Impulse Response
If we have a system input composed of impulses,
f(t) = 3(t 1) +4(t 2)
we can nd the corresponding system output using
superposition.
y(t) = 3g(t 1) +4g(t 2)
= 3
_
_
e
(t1)
e
12(t1)
11
_
_
+4
_
_
e
(t2)
e
12(t2)
11
_
_
25
More General Input
Suppose our input is composed of lots of delta func-
tions:
f(t) =

n
p
n
(t q
n
)
Then the corresponding system output will be
y(t) =

n
p
n
g(t q
n
)
26
Section 2: Summary
ay + by + cy + d = f(t)
Differential Equation
convolution
Corresponding
Output
differentiate
ay + by + cy + d = 1
Any input
Impulse response
Step response
solve
with boundary conditions
y(0) = 0 and y(0) = 0
27
Section 3
Convolution
In this section we derive the convolution integral and
show its use in some examples.
28
Convolution
Our goal is to calculate the output, y(t) of a linear sys-
tem using the input, f(t), and the impulse response
of the system, g(t).
An impulse at time t = 0 produces the impulse re-
sponse.
Linear
System
t t
(t) g(t)
An impulse delayed to time t = produces a delayed
impulse response starting at time .
Linear
System
g(t )

t t

(t )
29
A scaled impulse at time t = 0 produces a scaled
impulse response.
Linear
System
t t
g(t) (t) k k
An impulse that has been scaled by k and delayed to
time t = produces an impulse response scaled by
k and starting at time .
Linear
System
g(t )

t t

(t ) k k
30
Consider the input, f(t) to be made up of a sequence
of strips of width . Each of these strips is similar
to a delta function and thus leads to a system out-
put of an appropriately scaled and delayed impulse
response.
(t ) f( )

t
f(t)
leads to response
g(t ) f( )
The response of the system, y(t) is thus the sum of
these delayed, scaled impulse responses. (Provided
g(t) = 0 for t < 0.)
y(t)

All
slices
g(t )f()
Let the width of the slices tend to zero. The sum turns
into an integral called the convolution integral.
y(t) =
_
t

g(t )f()d
31
y(t) =
_
t

g(t )f()d
Treat t as a constant when evaluating the integral.
The integration variable is .
t is time as it relates to the output of the system
y(t).
is time as it relates to the input of the system
f().
32
Convolution Example 1
Consider a system with impulse response
g(t) =
_
0 , t < 0
e
5t
, t 0
Find the output for input f(t) = H(t) (step function).
y(t) =
_
t

g(t )f()d
=
_
t

e
5(t)
H()d
=
_
t
0
e
5(t)
d
=
_
1
5
e
5(t)
_
t
0
=
1
5
_
1 e
5t
_
33
Convolution Example 2
For the same system (g(t) = e
5t
, t 0), nd the
output for input
f(t) =
_

_
0, t < 0
v, 0 < t < k
0, t > k
k
v
f(t)
t
Using the convolution integral, the answer is given by
y(t) =
_
t

g(t )f()d
=
_

_
_
t

g(t ) 0d, t < 0

_
0

g(t ) 0d
+
_
t
0
g(t ) v d, 0 < t < k
_
0

g(t ) 0d
+
_
k
0
g(t ) v d
+
_
t
k
g(t ) 0d, t > k
34
Case (a): t < 0
_
t

g(t ) 0d = 0 so y(t) = 0 for all t < 0.

Case (b): 0 < t < k
y(t) =
_
t
0
g(t ) v d =
_
t
0
e
5(t)
v d
=
v
5
_
e
5(t)
_
t
0
=
v
5
_
1 e
5t
_
Case (c): t > k
y(t) =
_
k
0
g(t ) v d =
_
k
0
e
5(t)
v d
=
v
5
_
e
5(t)
_
k
0
=
v
5
_
e
5k
1
_
e
5t
(a) (b) (c) k
y(t)
t
35
Convolution Example 3
For the same system (g(t) = e
5t
, t 0), nd the
output for input
f(t) =
_
0, t < 0
sin(t), t > 0
t
f(t)
Using the convolution integral, the answer is given by
y(t) =
_
t

g(t )f()d
=
_

_
_
t

g(t ) 0d, t < 0

_
0

g(t ) 0d
+
_
t
0
g(t ) sin() d, 0 < t
36
Case (a): t < 0
_
t

g(t ) 0d = 0 so y(t) = 0 for all t < 0.

Case (b): 0 < t
y(t) =
_
t
0
g(t ) sin() d
=
_
t
0
e
5(t)
sin() d
= Im
__
t
0
e
5(t)
e
i
d
_
= Im
_

_
e
5t
_
_
e
(5+i)
5 +i
_
_
t
0
_

_
= Im
_
e
it
e
5t
5 +i
_
=
5sin(t) cos(t) +e
5t
25 +
2
37
Convolution Summary
ay + by + cy + d = f(t)
Differential Equation
convolution
differentiate
ay + by + cy + d = 1
Step response
solve
with boundary conditions
y(0) = 0 and y(0) = 0
Corresponding
Impulse response: g(t)
Output: y(t)
Any
Input: f(t)
y(t) =
_
t

g(t ) f() d
38
Complete Example
Find the impulse response of
d
2
y
dt
2
+3
dy
dt
+2y = f(t)
hence nd the output when the input f(t) = H(t)e
t
.
1. Find the General Solution with f(t) = 1
Complimentary function is y = Ae
t
+Be
2t
Particular integral is y =
1
2
General solution is y =
1
2
+Ae
t
+Be
2t
2. Set boundary conditions y(0) = y(0) = 0 to get
the step response.
1
2
+A+B = 0
A2B = 0
A = 1 and B =
1
2
Thus Step Response is y =
1
2
e
t
+
e
2t
2
39
3. Differentiate the step response to get the impulse
response.
g(t) =
dy
dt
= e
t
e
2t
4. Use the convolution integral to nd the output for
the required input.
The required input is f(t) = e
t
, t > 0.
y(t) =
_
t

g(t )f()d
=
_
t
0
_
e
(t)
e
2(t)
_
e

d
=
_
t
0
e
t
e
2t
d
=
_
e
t
e
2t
_
t
0
= (t 1) e
t
+e
2t
40
Section 3: Summary
Convolution integral (memorise this):
f(t) = input
g(t) = impulse response
y(t) = output
y(t) =
_
t

g(t ) f() d
Way to nd the output of a linear system, described
by a differential equation, for an arbitrary input:
Find general solution to equation for input = 1.
Set boundary conditions y(0) = y(0) = 0 to get
the step response.
Differentiate to get the impulse response.
Use convolution integral together with the impulse
response to nd the output for any desired input.
41
Section 4
Evaluating Convolution Integrals
A way of rearranging the convolution integral is de-
scribed and illustrated.
The differences between convolution in time and space
are discussed and the concept of causality is intro-
duced.
The section ends with an example of spatial convolu-
tion.
42