MATH 623

Instructor:

Ordinary Differential Equations

Georgi Medvedev

Fall 2010

Lecture 5. Linear systems and Floquet theory.

5.1

Linear systems

Consider the homogeneous system of ODEs

x = A(t)x

and

(5.1)

and inhomogeneous systems of differential equations

x = A(t)x + h(t), x Rn ,

(5.2)

where A(t) Rnn is a continuous matrix and h(t) Rn is a continuous vector.

Definition 5.1. Suppose {x(1) , x(2) , . . . , x(n) } is a set of solutions of (5.1). Let
X(t) = col (x(1) , x(2) , . . . , x(n) ) Rnn
such that detX(t0 ) 6= 0 for some t0 R. Then X(t) is called fundamental matrix solution of (5.1).
Definition 5.2. Fundamental matrix solution of (5.1), X(t), is called a principal matrix solution of (5.1) at
time t0 R if X(t0 ) = I.
Lemma 5.3. The rank of X(t) does not depend on t.
Proof. Let x(1) , x(2) , . . . , x(r) be solutions of (5.1). Then
x(t) = c1 x(1) (t) + c2 x(2) (t) + + cr x(r) (t)

(5.3)

solves (5.1). If x(t0 ) = 0 for some t0 R then

c1 x(1) (t) + c2 x(2) (t) + + cr x(r) (t) = 0 t R,

(5.4)

by uniqueness of solutions of the intial value problems for (5.1). Therefore, x(1) (t), x(2) (t), . . . , x(r) (t) are
linearly independent for every t iff they are linearly independent for some t0 .

We will need the following properties of solutions of (5.1) and (5.2).
Lemma 5.4.
1. If X(t) is a fundamental matrix solution then X(t)X 1 (t0 ) is the principal matrix solution at time
t0 .
1

2. The variation of constants formula:

x(t) = X(t)X

Z
(t0 )x(t0 ) +

X(t)X 1 (s)h(s)ds.

(5.5)

3. The Liouvilles formula:

Z t
det X(t) = det X(t0 ) exp{ tr A(s)}.

(5.6)

t0

Proof.
1. follows by verification.
2. By a change of variable in (5.2)
x(t) = X(t)y(t),

(5.7)

+ X y = AXy + h.
Xy

(5.8)

y = X 1 (t)h(t).

(5.9)

we have
Plug X = AX in (5.2) to obtain
The statement in 2) follows after integrating (5.9) and using (5.7).
3. Use product rule to verify the Leibniz formula for determinants:

X1,1 X1,2
..
..
.
.
n
X

0
0
0

(det X) =
det Xi,1 Xi,2

..
..
i=1
.
.
Xn,1 Xn,2
Since X = AX,
X i,k =

n
X

ai,j Xj,k ,

X1,n
..
.

0
Xi,n
.
..
.
Xn,n

(5.10)

i, k {1, . . . , n},

j=1

and
(X i,1 , . . . , X i,n ) =

n
X

i {1, . . . , n}.

ai,j (Xj,1 , . . . , Xj,n ),

(5.11)

j=1

Thus,

X1,1
..
.

X1,2
..
.

Pn
Pn
0
(det X) =
det
j=1 a2,j Xj,2
j=1 a1,j Xj,1

..
..
i=1

.
.
Xn,1
Xn,2

n
X

X1,n
..
.

Pn

j=1 an,j Xj,n .

..

.
Xn,n

(5.12)

Subtract from row i on the rhs of (5.13) the linear combination:

n
X

ai,j (Xj,1 , . . . , Xj,n )

j=1
j6=i

to obtain (5.13)

X1,1
X1,2

..
..
.
n
.
X

(det X) =
det ai,i Xi,1 ai,i Xi,2
..
..
i=1
.
.
Xn,1
Xn,2

X1,n
..
.

ai,i Xi,n
= tr A(t) det X(t)
..
.
Xn,n

(5.13)

The statement in 3) follows by integrating (5.13).


Example 5.5. Consider
x = A(t)x,



1 4(cos 2t)2 2 + 2 sin 4t
.
A(t) =
2 + 2 sin 4t 1 4(sin 2t)2

(5.14)

From the characteristic equation

2 + 2 + 1 = 0

(5.15)

one finds that the eigenvalues of A(t) are negative 1,2 = 1. Nonetheless, the equilibrium at the origin is
unstable, because


t sin 2t
x(t) = e
(5.16)
cos 2t
solves (5.14).

5.2

Linear systems with periodic coefficients

Consider
x = A(t)x,

x Rn ,

(5.17)

where A(t) is continuous periodic matrix with the least period > 0, A(t + ) = A(t) t R.
Theorem 5.6. A fundamental matrix solution of (5.17) can be written as
X(t) = P (t)etB ,

(5.18)

where P (t) is periodic and B (in general complex) is a constant (n n) matrix.

Remark 5.7. Equation (5.18) implies that the stability of the equilibrium at the origin is deteremined by the
spectrum of B.
3

Proof. Note that X (t) = X(t + ) is a fundamental matrix solution of (5.17):

X (t) = A(t + )X(t + ) = A(t)X (t).
Thus, for some constant nonsingular matrix C Rnn ,
X(t + ) = X(t)C.

(5.19)

C = eB

(5.20)

P (t) = X(t)etB

(5.21)

Set
and define
Then P is periodic, because
P (t + ) = X(t + )eB etB = X(t)etB = P (t).

Remark 5.8. When C has negative eigenvalues, B as defined in (5.20) is complex. However, if one redefines
C = X(t)1 X(t + 2) then B can be chosen real.
Definition 5.9. Matrix C in (5.19) is called the monodromy matrix. The eigenvalues
1 , 2 , . . . , n
of C are called characteristic multipliers. Complex k is called a characteristic exponent if
k = ek .
Theorem 5.10.
1 2 . . . n

Z
= exp{

tr A(t)dt},

(5.22)

0
n
X

i =

i=1

tr A(t)dt mod 2 1 i

Proof. Let X(t) be a principal matrix solution. Then by Liouvilles formula,

Z
det X(t) = exp{
tr A(s)ds}.
0

On the other hand

det X(t) = det P (t)etB .
Thus,
B

det P ()e

(5.23)

Z
= exp{

tr A(s)ds}.
0

(5.24)

But,
det P () = det P (0) = det X(0) = 1.
Finally,
1 2 . . . n = det P ()eB = exp{

tr A(s)ds}.
0

This shows (5.22). Equation (5.23) follows from (5.22).


For 2D flows Theorem it allows to compute the characteristic multipliers. To show this, consider
x = f (x), x R2 ,

(5.25)

where as usual f (x) = (f1 (x), f2 (x))T is a smooth vector field. Suppose x = u(t) is a periodic solution of
(5.25) with period 1. The variational equation is obtained by linearizing the flow near O = {x = u(t) : t
S 1 }, i.e., plugging x = u(t) + (t) in (5.25) and keeping the linear term:
= A(t), A(t) = Df (u(t)) .

(5.26)

We are interested in stability of the trivial solution = 0 of the variational equation (5.25). By differentiating
both sides of
u = F (u(t)) ,
we find that = u(t)

solves (5.26). Therefore, one can choose the fundamental matrix solution as
X(t) = (u(t)

).
Thus,

X(t + ) = (u(t
+ ) ) = (u(t)

) =


1
.
0

(5.27)

From (5.27) conclude that one multiplier cahrachteristic multiplier is 1 = 1. Theorem 5.2 then yields the
second multiplier
Z
Z

2 = exp{

tr Df (u(s))ds} = exp{
0

Therefore, the sign of

R
0

div f (u(s))ds}.
0

div f (u(s))ds determines the stability of the periodic orbit of a 2D flow.