System of Linear Equation

System of First Order Equations
1 Anil Kumar, Department of Mathematics

System of 1
st
order ODE Syste o o de O
General form of the system of simultaneous first order
ordinary differential equations ordinary differential equations
1 1 1 2
2 2 1 2
( , , , )
( , , , )
n
n
x f t x x x
x f t x x x
'
=
'
=

2 2 1 2
1 2
( , , , )
( , , , )
n
n n n
f
x f t x x x
'
=
where each x
k
is a function of t.
If each f
k
is a linear function of x
1
, x
2
, , x
n
, then the system
k n
of equations is said to be linear, otherwise it is nonlinear.
Systems of higher order differential equations can similarly
b d fi d be defined.
Example 1. System of 1
st
order ODE p y
Consider the differential equation
0 ) ( 192 ) ( 16 ) ( +
'
+
' '
t t t
This second order equation can be converted into a system
of first order equations by letting
0 ) ( 192 ) ( 16 ) ( = +
'
+
' '
t u t u t u
q y g
x
1
= u and x
2
= u'.
Thus
1 2
2 2 1
16 192 0
x x
x x x
'
=
'
+ + =
or
1 2 2
2 1
192 16 x x x
x x
=
'
=
'
1 2 2
n
th
Order ODEs and Linear 1
st
Order Systems n Order ODEs and Linear 1 Order Systems
The method illustrated in previous example can be used to
transform an arbitrary n
th
order equation
( )
( ) ( 1)
, , , , , (1)
n n
y f t y y y y

' ''
=
into a system of n first order equations, first by defining
Th
( 1)
1 2 3
, , , , (2)
n
n
x y x y x y x y

' ''
= = = =
Then
1 2
2 3
x x
x x
'
=
'
=
1
(3)
n n
x x
'
=
1 2
( , , , )
n n
x f t x x x
'
=
System of 1
st
order ODE System of 1 order ODE
(1) and (3) are equivalent in the sense (1) and (3) are equivalent in the sense
if (t) i l ti f (1) th th f ti (t) (t) if y(t) is a solution of (1), then the functions x
1
(t), x
2
(t),
, x
n
(t) defined by (2) satisfy (3), and conversely, if
x
1
(t), x
2
(t), , x
n
(t) satisfy (3), then y(t) is a solution of
(1) (1).
Solutions of First Order Systems y
A system of simultaneous first order ordinary differential
equations has the general form q g
1 1 1 2
( , , , )
(1)
n
x f t x x x
'
=
It has a solution on I: a t b if there exists n functions

1 2
( , , , ).
n n n
x f t x x x
'
=
( ) ( ) ( ) x t x t x t
which are differentiable on I and satisfy the system of
equations at all points t in I.
1 2
( ), ( ), , ( )
n
x t x t x t
q p
Initial conditions may also be prescribed to give an IVP:
1 0 1 2 0 2 0
( ) , ( ) , , ( ) (2)
n n
x t a x t a x t a = = =
Theorem 1:
(Existence and uniqueness of the solution) ( q )
Suppose f
1
,, f
n
and the partial derivatives cf
1
/cx
1
,, cf
1
/cx
n
,
, cf
n
/c x
1
, , cf
n
/cx
n
are continuous in a region R of (t, x
1
, x
2
,
,x
n
) space. If is an interior point of R. Then the
system (1) has a unique solution
( )
0 1 2
, , , ,
n
t a a a
( ) ( ) ( ) t t t
that satisfies the initial conditions (2).
1 2
( ), ( ), , ( )
n
x t x t x t
System of 1
st
order ODE y
Theorem 1 is a special of the following theorem for the Theorem 1 is a special of the following theorem for the
equation
( )
( ) ( 1)
, , , , , (*)
n n
y f t y y y y

' ''
=
Theorem 2: Let the function f and the partial derivatives
cf/cy, cf/cy',, cf/cy
(n-1)
be continuous in a region R of (t, y, f y, f y , f y g ( , y,
y',, y
(n-1)
) space. If is an interior point of R,
then the equation (*) has a unique solution y(t) that satisfies
( )
0 1 2
, , , ,
n
t a a a
the initial conditions y(t
0
) = a
1
, y'(t
0
) = a
2
, , y
(n-1)
(t
0
) = a
n
.
Examples p
Transform the following equations into a system of first
order equations order equations.
1
( ) 2 0,
2
i y y y
'' '
+ + =
2
1
( ) 2 3sin ,
2
ii y y y t
'' '
+ + =
2 2
1
( ) 0,
4
iii t y ty t y
| |
'' '
+ + =
|
\ .
2 2
0 1
( ) ( ) ,
( ) ( ) ( ) ( ), (0) and (0) .
iv y y x y
v y p t y q t y g t y y o o
''' '' '
=
'' ' '
+ + = = =
Exercises Exercises
1. Transform the given system into a single equation of second g y g q
order
( )
' '
1 2 2 1 2
1 2 2 1
( ) , 2 2 .
( ) 2 , 2 .
i x x x x x
ii x x x x
' '
= =
' '
= =
Linear systems y
The general linear system of first order differential
equations is of the form equations is of the form
1 1 1
( ) ( ) ( )
dx
a t x b t y f t
d
= + +
1 1 1
2 2 2
( ) ( ) ( )
( ) ( ) ( )
y f
dt
dy
a t x b t y f t
dt
= + +
where a
1
(t), b
1
(t), a
2
(t), b
2
(t), f
1
(t), f
2
(t) are continuous on
l d i t l I [ b] f th t i If f (t) f (t) 0
dt
a closed interval I = [a, b] of the t-axis. If f

1
(t) = f
2
(t) = 0
then the system is called homogeneous, otherwise non-
homogeneous homogeneous.
Solutions of the linear systems Solutions of the linear systems
A solution of the above system on I is a pair of functions x(t),
y(t) satisfying both the equations throughout the interval y(t) satisfying both the equations throughout the interval.
We shall write such a solution in the form
( )
.
x x t =
We shall write such a solution in the form

.
( ) y y t
Example: are the solutions of the

4 2
4 2
and
t t
t t
x e x e
y e y e

= =

= =

3
dx
x y
= +
homogeneous system (on any interval I)

3
.
3
x y
dt
dy
x y
dt
= +
= +
dt

Example Example
The equation
t 2 0 , 0 s s = +
' '
t y y
can be written as system of first order equations by letting x
1
= y
and x
2
= y'. Thus
2
y
1 2
2 1
x x
x x
=
'
=
'
A solution to this system is
hi h i i d i i
t 2 0 ), cos( ), sin(
2 1
s s = = t t x t x
which is a parametric description
for the unit circle.
Linear Systems Linear Systems
Existence and uniqueness theorem:
Theorem 1: If t
0
is any point of the interval I and if x
0
and y
0
are
any real numbers, then the system
1 1 1
( ) ( ) ( )

dx
a t x b t y f t
dt
d
= + +
h d l l ti lid th h t I h
2 2 2
( ) ( ) ( )
dy
a t x b t y f t
dt
= + +
= ) (t x x
has one and only one solution valid throughout I such
that x(t
0
) = x
0
and y(t
0
) = y
0
.

= ) (
) (
t y y
Linear Systems
Task is to study the structure of the solutions of the
homogeneous system homogeneous system
1 1
( ) ( )
dx
a t x b t y
dt
= +
2 2
(1)
( ) ( )
dt
dy
a t x b t y
dt
= +
It is obvious that (x = 0, y = 0) is the trivial solution.

k i i l l i
dt
Hence we seek nontrivial solutions.

Linear Systems
Theorem 2: If the above homogeneous system (1) has two
solutions
2
( )
(2)
( )
x x t
y y t
=
1
( )
and
( )
x x t
y y t
=
2
( ) y y t =
1
( ) y y t =
1 2
( ) ( ) x Ax t Bx t = +
on I = [a, b], then

is also a solution of (1) on I for any arbitrary constants A
1 2
1 2
( ) ( )
(3)
( ) ( )
x Ax t Bx t
y Ay t By t
+
= +
is also a solution of (1) on I for any arbitrary constants A

and B.
(Or any linear combination of two solutions of the
homogeneous system (1) is also a solution homogeneous system (1) is also a solution.
Linear Systems
Definition: Wronskian of the two solutions (2) of the homo-
geneous system (1) is defined as
W( )
) ( ) (
2 1
t x t x
W(t) =
Th 3 If th W ki f th t l ti (2) f th
) ( ) (
) ( ) (
2 1
2 1
t y t y
Theorem 3: If the Wronskian of the two solutions (2) of the
homogeneous system (1) doesnt vanish on I then (3) is the
general solution of the given homogeneous system on this g g g y
interval.
Linear Systems Linear Systems
Remark: Vanishing or non-vanishing of the Wronskian of
two solutions does not depend on the choice of t. p
Therefore we have the following theorem:
Theorem 4: The Wronskian of the two solutions (2) of the
homogeneous system (1) is either identically zero or never
zero on I.
Linear dependence/independence Linear dependence/independence
The solutions and
=
) (
) (
2
t x x
=
) (
) (
1
t x x
of the homogeneous system (1) are called linearly dependent on I
if (t) k (t) (t) k (t)
= ) (
2
t y y
= ) (
1
t y y
if x
1
(t) = k x
2
(t) or x
2
(t) = k x
1
(t)
y
1
(t) = k y
2
(t) y
2
(t) = k y
1
(t)
for some constant k and all t in I Otherwise linearly independent for some constant k and all t in I. Otherwise linearly independent.
Linear dependence is equivalent to the condition that there exist
two constants A and B, at least one of them is not zero, such that
Ax
1
(t) + B x
2
(t) = 0
Ay
1
(t) + B y
2
(t) = 0 for all t in I.
19 Anil Kumar, Department of
Mathematics
Linear dependence/independence Linear dependence/independence
Theorem 5: If the two solutions (2) of the homogeneous
system (1) are linearly independent on I, then (3) is the y ( ) y p ( )
general solution of (1) on I.
Proof: To prove the theorem, it suffices to show that the solutions
(2) are linearly dependent iff their Wronskian W(t) is zero.
Homogeneous linear systems with constant
coefficients coefficients
Find a general solution of the following homogeneous system of
differential equations differential equations
1 1
(1)
dx
a x b y
dt
= +
2 2
(1)

dt
dy
a x b y
dt
= +
where a
1
, b
1
, a
2
, b
2
are given constants.
One method of finding the general solution of above system is
b d diff i i f h i i based on differentiating one of the two equations given,
eliminating one of the dependent variables and solving the
resulting second order linear equation. g q
21
Anil Kumar, Department of Mathematics
EXERCISES
By differentiating an equation of the system w.r.t. t and
eliminating any one of the dependent variable find the general eliminating any one of the dependent variable find the general
solution of the following
dx
2
1)
+ =
+ =
y x
dt
dy
y x
dt
2 3
2
2)
dt
dx
x y
= +
x y
dt
dy
y
dt
+
dt
22 Anil Kumar, Department of
Mathematics
Homogeneous linear systems Homogeneous linear systems
Method 2:
We know that the exponential function has the property that its We know that the exponential function has the property that its
derivatives are constant multiples of the function itself. Hence it is
natural to seek solution of (1) of the type mt
x Ae

=
Substituting in (1) we get
(2)
mt
x Ae
y Be

`
=
)
g ( ) g
and therefore, we get
1 1 2 2
and
mt mt mt mt mt mt
Ame a Ae b Be Bme a Ae b Be = + = +
and therefore, we get
1 1
2 2
( ) 0
(3)
( ) 0
a m A b B
a A b m B
+ =

`
+ =
)
Homogeneous linear systems Homogeneous linear systems
The above equations have nontrivial solutions whenever
b
0
2 2
1 1
=
m b a
b m a
2
1 2 1 2 2 1
- ( ) ( - ) 0 m a b m a b a b + + =
This equation is called auxiliary equation of the system (1).
Let m
1
and m
2
be the roots of the auxiliary equation.
When m = m
1
, system (3) gives solutions, say A = A
1
and B = B
1
.
And then the corresponding nontrivial solution of system (1) is
=
=
t m
t m
e B y
e A x
1
1
1
1
y
1
Homogeneous linear systems
When m = m
2
system (3) gives solutions, say A = A
2
and B = B
2
.
Then the corresponding nontrivial solution of system (1) is p g y ( )
2
2
2
2
m t
m t
x A e
y B e

=
`
=
)
Thus two solutions are
2
y B e
)
1
1
1
m t
m t
x Ae
B

=
`
)
2
2
2
and
m t
m t
x A e
B

=
`
)
The two solutions, got above, in general may not be linearly
independent
1
1
m t
y Be =
)
2
2
m t
y B e =
)
independent.
Hence while constructing the general solution, three cases on the
nature of the roots m
1
and m
2
of auxiliary equation must be dealt
f ll W di th th carefully. We discuss these three cases.
Case 1: m
1
m
2
and real Case 1: m
1
m
2
and real
When m
1
m
2
clearly the above set of solutions are linearly
independent independent.
Hence the general solution is given by
1 2
m t m t
x c Ae c A e

+
1 2
1 2
1 1 2 2
1 1 2 2
m t m t
x c Ae c A e
y c Be c A e

= +
`
= +
)
Example: Solve the system of linear first order equations
( ) 3 4
dx
i x y
= +

( ) 4 3
dx
ii x y
( ) 3 4
2 3
i x y
dt
dy
x y
d
= +

= +

)
( ) 4 3
8 6
ii x y
dt
dy
x y
dt
=

)
y
dt

)
dt

)
Case 2: m
1
= m
2
Case 2: m
1
m
2
In this case, we get a repeated solution as
=
=
mt
mt
Be y
Ae x
Get the second linearly independent solution as
1 2 1 2
( ) and ( )
mt mt
x A A t e y B B t e = + = +
and hence the general solution is
1 1 2 2
( )
mt mt
x c A A t e c Ae = + +
where c and c are arbitrary constants
1 1 2 2
( )
mt mt
y c B B t e c Be = + +
where c
1
and c
2
are arbitrary constants.
Examples Examples
dx
5 4
dx
4
( )
dx
x y
dt
i
dy
=
5 4
( )
dx
x y
dt
ii
dy
= +
2
dy
x y
dt
=
y
x y
dt
= +
Case 3: m
1
, m
2
are complex Case 3: m
1
, m
2
are complex
Let m = a ib,
For m
1
= a + ib, the expected solution is of the type
or
+ =
+ =
+
+
t ib a
t ib a
e iB B y
e iA A x
) (
2 1
) (
2 1
) (
) (
+ + =
+ + =
) sin (cos ) (
) sin (cos ) (
2 1
2 1
bt i bt e iB B y
bt i bt e iA A x
at
at
where A
1
, A
2
, B
1
, B
2
are real constants such that neither both of
A
1
, A
2
, nor both of B
1
, B
2
are zero.
+ e iB B y
2 1
) (

+ + ) sin (cos ) (
2 1
bt i bt e iB B y
In this case, the general solution of the system is
t t
1 1 2 2 1 2
1 1 2 2 1 2
( cos sin ) ( sin cos )
( cos sin ) ( sin cos )
at at
at at
x c e A bt A bt c e A bt A bt
y c e B bt B bt c e B bt B bt
= + +
= + +
29
Anil Kumar, Department of Mathematics
Case 3: m
1
, m
2
are complex Case 3: m
1
, m
2
are complex
For m
1
= a + ib, the expected solution is of the type
+ =
+ t ib a
e iA A x
) (
) (

+ + = ) sin (cos ) ( bt i bt e iA A x
at
or
where A A B B are real constants such that neither both of
+ =
+ =
+ t ib a
e iB B y
e iA A x
) (
2 1
2 1
) (
) (
+ + =
+ + =
) sin (cos ) (
) sin (cos ) (
2 1
2 1
bt i bt e iB B y
bt i bt e iA A x
at
where A
1
, A
2
, B
1
, B
2
are real constants such that neither both of
A
1
, A
2
, nor both of B
1
, B
2
are zero. Therefore, we have
+ + = ) cos sin ( ) sin cos ( bt A bt A i bt A bt A e x

at
Another set of solution is
+ + =
+ + =
) cos sin ( ) sin cos (
2 1 2 1
2 1 2 1
bt B bt B i bt B bt B e y
bt A bt A i bt A bt A e x
at
Another set of solution is
+ =
) i ( ) i (
2 1 2 1
bt B bt B i bt B bt B
bt A bt A i bt A bt A e x
at
at
Anil Kumar, Department of Mathematics 30
+ = ) cos sin ( ) sin cos (

2 1 2 1
bt B bt B i bt B bt B e y
at
Case 3: m
1
, m
2
are complex
1
,
2
p
Linear combinations of those two solutions with suitable
coefficients give the following pair of real solutions.
=
=
) sin cos (
) sin cos (
2 1
2 1
bt B bt B e y
bt A bt A e x
at
at
1 2
1 2
( sin cos )
and
( sin cos )
at
at
x e A bt A bt
y e B bt B bt
= +
= +
Wronskian of the two solutions is given by
) (
2 1
y
1 2
( ) y
Since is the solution of the given homo
+ =
+ t ib a
e iA A x
) (
2 1
) (
2
1 2 2 1
( ) ( )
at
W t AB A B e =
Since is the solution of the given homo-
geneous system we have the following linear algebraic system.
+ =
+ t ib a
e iB B y
) (
2 1
) (
Case 3: m
1
, m
2
are complex
1 1 2 1 1 2
( - )( ) ( ) 0
( ) ( ) ( ) h ( )
a m A iA b B iB
b b
+ + + =
O t f ti t h
2 1 2 2 1 2
( ) ( - ) ( ) 0 where ( ) a A iA b m B iB m a ib + + + = = +
1 1 1 1
( - ) 0 a m A b B + =
One set of equations we get here
This linear algebraic system leads us to conclude that
1 2 1 2
( - ) =0 a m A b B +
and hence those two solutions are linearly independent
1 1
1 2 2 1
2 2
0 - 0 W(t) 0
A B
AB A B
A B
= = =
and hence those two solutions are linearly independent
1 1 2 2 1 2
1 1 2 2 1 2
[ ( cos sin ) ( sin cos )]
.
[ ( cos sin ) ( sin cos )]
at
at
x e c A bt A bt c A bt A bt
y e c B bt B bt c B bt B bt
= + +
= + +
1 1 2 2 1 2
[ ( ) ( )] y

Example Example
4 2
( )
dx
x y
dt
ii
=
2
( )
dx
x y
dt
i
=
( )
5 2
ii
dy
x y
dt
= +
( )
4 2
i
dy
x y
dt
= +
General solution of non homogeneous system
of equations of equations.
Theorem 6: If is the general solution of the
+
+ =
) ( ) (
) ( ) (
2 1
t By t Ay y
t Bx t Ax x
homogeneous part of the non- homogeneous system
+ = ) ( ) (
2 1
t By t Ay y
1 1 1
( ) ( ) ( )
(1)
( ) ( ) ( )
dx
a t x b t y f t
dt
dy
t b t f t
= + +
on I and if is any particular solution of
2 2 2
( ) ( ) ( )
y
a t x b t y f t
dt
= + +
( ) and ( )
p p
x x t y y t = = on I and if is any particular solution of
(1) on I, then is the general solution of the
system (1)
( ) d ( )
p p
x x t y y t
+ + =
+ + =
) ( ) ( ) (
) ( ) ( ) (
2 1
2 1
t y t By t Ay y
t x t Bx t Ax x
p
p
system (1).
Exercise: Solution to non-homogeneous
system system
Consider a non-homogeneous linear system
1 1 1
( ) ( ) ( )
dx
a t x b t y f t
dt
d
= + +
g y
2 2 2
( ) ( ) ( )
dy
a t x b t y f t
dt
= + +
and the corresponding homogeneous system

1 1
( ) ( )
( ) ( )
dx
a t x b t y
dt
dy
b
= +
2 2
( ) ( )
y
a t x b t y
dt
= +
= ) (
1
t x x
2
( )
d
x x t =
If are linearly independent solution

of homogeneous system so that
= ) (
1
t y y
2
and
( ) y y t

Exercise: Solution to non-homogeneous
system system
is its general solution show that
+ =
) ( ) (
) ( ) (
2 1
t B t A
t Bx t Ax x
is its general solution, show that
+ = ) ( ) (
2 1
t By t Ay y
1 1 2 2
( ) ( ) ( ) ( ) x v t x t v t x t = +
will be a particular solution of non-homogeneous system if the

1 1 2 2
( ) ( ) ( ) ( ) y v t y t v t y t
= +
functions v
1
(t) and v
2
(t) satisfy the system
/ /
f x v x v = +
2 2
/
2 1
/
1
1 2 2 1 1
f y v y v
f x v x v
= +
= +
(Proof is Just the verification)
J ust the verification J ust the verification
Note Note: : This method of getting the particular solution of a non-
homogeneous system is called method of variation of g y
parameters
Example: Use method of variation of parameters to find the
particular solution of the non homogeneous system
dx
5 2
4 2 8 8
dx
x y t
dt
dy
= + +
Also find the general solution.
4 2 8 8
dy
x y t
dt
=

System of Linear Equation

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System of Linear Equation

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System of First Order Equations

1 Anil Kumar, Department of Mathematics

It has a solution on I: a t b if there exists n functions

a closed interval I = [a, b] of the t-axis. If f

We shall write such a solution in the form

Example: are the solutions of the

homogeneous system (on any interval I)

12 Anil Kumar, Department of Mathematics

It is obvious that (x = 0, y = 0) is the trivial solution.

Hence we seek nontrivial solutions.

on I = [a, b], then

is also a solution of (1) on I for any arbitrary constants A

+ + = ) cos sin ( ) sin cos ( bt A bt A i bt A bt A e x

+ = ) cos sin ( ) sin cos (

Wronskian of the two solutions is given by

Since is the solution of the given homo

32 Anil Kumar, Department of Mathematics

and the corresponding homogeneous system

If are linearly independent solution

35 Anil Kumar, Department of Mathematics

will be a particular solution of non-homogeneous system if the

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