CHAPTER 1

System of First Order Dierential Equations

In this chapter, we will discuss system of rst order dierential equa-
tions. There are many applications that involving nd several unknown
functions simultaneously . Those unknown functions are related by a
set of equations that involving the unknown functions and their rst
derivatives. For example, in Chapter Two, we studied the epidemic of
contagious diseases. Now if
S(t) denotes number of people that is susceptible to the disease
but not infected yet.
I(t) denotes number of people actually infected.
R(t) denotes the number of people have recovered.
If we assume
The fraction of the susceptible who becomes infected per unit
time is proportional to the number infected, b is the propor-
tional number.
A xed fraction rS of the infected population recovers per unit
time, 0 r 1.
A xed fraction of the recovers g become susceptible and in-
fected, 0 g 1. proportional function.
The system of dierential equations model this phenomena are
S

= bIS + gR
I

= bIS rI
R

= rI gR
The numbers of unknown function in a system of dierential equa-
tions can be arbitrarily large, but we will concentrate ourselves on 2 to
3 unknown functions.
1. Principle of superposition
Let a
ij
(t), b
j
(t) i = 1, 2, , n and j = 1, 2, , n be known
function, and x
i
t, i = 1, 2, , n be unknown functions, the linear rst
1
2 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
order system of dierential equation for x
i
(t) is the following,
x

1
(t) = a
11
(t)x
1
(t) + a
12
(t)x
2
(t) + + a
1n
(t)x
n
(t) + b
1
(t)
x

2
(t) = a
21
(t)x
1
(t) + a
22
(t)x
2
(t) + + a
2n
(t)x
n
(t) + b
2
(t)
x

3
(t) = a
31
(t)x
1
(t) + a
32
(t)x
2
(t) + + a
3n
(t)x
n
(t) + b
3
(t)
.
.
.
x

n
(t) = a
n1
(t)x
1
(t) + a
n2
(t)x
2
(t) + + a
nn
(t)x
n
(t) + f
1
(t)
Let x(t) be the column vector of unknown functions x
i
t, i =
1, 2, , n, A(t) = (a
ij
(t), and b(t) be the column vector of known
functions b
i
t, i = 1, 2, , n, we can write the rst order system of
equations as
x

(t) = A(t)x(t) +b(t) (1)

When n = 2, the linear rst order system of equations for two
unknown functions in matrix form is,
_
x

1
(t)
x

2
(t)
_
=
_
a
11
(t) a
12
(t)
a
21
(t) a
22
(t)
_ _
x
1
(t)
x
2
(t)
_
+
_
b
1
(t)
b
2
(t)
_
When n = 3, the linear rst order system of equations for
three unknown functions in matrix form is,
_
_
x

1
(t)
x

2
(t)
x

3
(t)
_
_
=
_
_
a
11
(t) a
12
(t) a
13
a
21
(t) a
22
(t) a
23
a
31
(t) a
32
(t) a
33
_
_
_
_
x
1
(t)
x
2
(t)
x
3
t
_
_
+
_
_
b
1
(t)
b
2
(t)
b
3
(t)
_
_
A solution of equation (1) on the open interval I is a column vec-
tor function x(t) whose derivative (as a vector-values function) equals
A(t)x(t) +b(t). The following theorem gives existence and uniqueness
of solutions,
Theorem 1.1. If the vector-valued functions A(t) and b(t) are con-
tinuous over an open interval I contains t
0
, then the initial value prob-
lem
_
x

(t) = A(t)x(t) +b(t)

x(t
0
) = x
0
has an unique vector-values solution x(t) that is dened on entire in-
terval I for any given initial value x
0
.
When b(t) 0, the linear rst order system of equations becomes
x

(t) = A(t)x(t),
which is called a homogeneous equation.
As in the case of one equation, we want to nd out the general
solutions for the linear rst order system of equations. To this end, we
rst have the following results for the homogeneous equation,
1. PRINCIPLE OF SUPERPOSITION 3
Theorem 1.2. Principle of Superposition Let x
1
(t), bx
2
(t), , x
n
(t)
be n solutions of the homogeneous linear equation
x

(t) = A(t)x(t)
on the open interval I. If c
1
, c
2
, , c
n
are n constants, then the
linear combination
c
1
x
1
(t) + c
2
x
2
(t) + c
3
x
3
(t) + + c
n
x
n
(t)
is also a solution on I.
Example 1.1. Let
x

(t) =
_
1 0
0 2
_
x(t)
, x
1
(t) =
_
e
t
0
_
and x
2
(t) =
_
0
e
2t
_
are two solutions, as
bx

1
(t) =
_
(e
t
)

0
_
=
_
e
t
0
_
=
_
1 0
0 2
_ _
e
t
0
_
and
bx

2
(t) =
_
0
(e
2t
)

_
=
_
0
2e
2t
_
=
_
1 0
0 2
_ _
0
e
2t
_
By the Principle of Superposition, for any two constants c
1
and c
2
x(t) = c
1
x
1
(t) + c
2
x
2
(t) = c
1
_
e
t
0
_
+ c
2
_
0
e
2t
_
=
_
c
1
e
t
c
2
e
2t
_
is also solution. We shall see that it is actually the general solution.
The next theorem gives the general solution of linear system of
equations,
Theorem 1.3.
- Let x
1
(t), x
2
(t), , bx
n
(t) be n linearly independent (as vectors)
solution of the homogeneous system
x

(t) = A(t)x(t),
then for any solution x
c
(t) there exists n constants c
1
, c
2
, , c
n
such
that
x
c
(t) = c
1
x
1
(t) + c
2
x
2
(t) + + c
n
x
n
(t).
We call x
c
(t) the general solution of the homogeneous system.
4 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
If x
p
(t) is a particular solution of the nonhomogeneous system,
x(t) = B(t)x(t) +b(t),
and x
c
(t) is the general solution to the associate homogeneous system,
x(t) = B(t)x(t)
then x(t) = x
c
(t) +x
p
(t) is the general solution.
Example 1.2. Let
x

(t) =
_
4 3
6 7
_
x(t) +
_
4t
2
+ 5t
6t
2
+ 7t + 1
_
x(t)
, x
1
(t) =
_
3e
2t
2e
2t
_
and x
2
(t) =
_
e
5t
3e
5t
_
are two linearly independent
solutions. and x
p
(t) =
_
t
2
t
_
is a particular solution. By Theorem
1.3,
x(t) = c
1
x
1
(t) + c
2
x
2
(t) +x
p
(t) =
_
3c
1
e
2t
+ c
2
e
5t
+ t
2
2c
1
e
2t
+ 3c
2
e
5t
+ t
_
(2)
is the general solution. Now suppose we want to nd a particular so-
lution that satises the initial condition x(0) =
_
2
1
_
, then let t = 0
in (2), we have
x(0) =
_
3c
1
+ c
2
2c
1
+ 3c
2
_
=
_
2
1
_
,
which can be written in matrix form,
_
3 1
2 3
_ _
c
1
c
2
_
=
_
2
1
_
,
Solve this equation, we get
_
c
1
c
2
_
=
_
1
1
_
. So the particular
solution is x(t) =
_
3e
2t
e
5t
+ t
2
2e
2t
3e
5t
+ t
_
.
From the above example, we can summarize the general steps in
nd a solution to initial value problem,
_
x

(t) = A(t)x(t) +b(t)

x(t
0
) = x
0
2. HOMOGENEOUS SYSTEM 5
Step One: Find the general solution x
c
= c
1
x
1
(t) +c
2
x
2
(t) +
+ c
n
x
n
(t), where x
1
(t), x
2
(t), , x
n
(t) are a set of lin-
early independent solutions, to the associate homogeneous sys-
tem, x

(t) = A(t)x(t).
Step Two: Find a particular solution x
p
(t)to the nonhomo-
geneous system, x

(t) = A(t)x(t) +b(t).

Step Three: Set x(t) = x
c
(t) + x
p
(t) and use the equation
x(t
0
) = x
0
, to determine c
1
, c
2
, , c
n
.
2. Homogeneous System
We will use a powerful method called eigenvalue method to solve
the homogeneous system
x

(t) = Ax(t)
where A is a matrix with constant entry. We will present this method
for A is either a 2 2 or 3 3 cases. The method can be used for A
is an n n matrix. The idea is to nd solutions of form
x(t) = ve
t
, (3)
a straight line that passing origin in the direction v. Now taking deriv-
ative on x(t), we have
x

(t) = ve
t
(4)
put (3) and (2.2) into the homogeneous equation, we get
x

(t) = ve
t
= Ave
t
So
Av = v,
which indicates that must be an eigenvalue of A and v is an associate
eigenvector.
2.1. A is a 2 2 matrix. Suppose
A =
_
a
11
a
12
a
21
a
22
_
Then the characteristic polynomial p() of A is
p() = |AI| = (a
11
)(a
22
)a
12
a
21
=
2
(a
11
+a
22
)+(a
11
a
22
a
12
a
22
.
So p() is a quadratic polynomial of . From Algebra, we know that
p() = 0 has either 2 distinct real solutions, or a double solution, or
2 conjugate complex solutions. The following theorem summarize the
solution to the homogeneous system,
6 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
Theorem 2.1. Let p() be the characteristic polynomial of A, for
x

(t) = Ax(t),
Case 1: p() = 0 has two distinct real solutions
1
and
2
.
Suppose v
1
=
_
v
11
v
21
_
and v
2
=
_
v
12
v
22
_
are associate eigen-
vector (i.e, Av
1
=
1
v
1
and Av
2
=
2
v
2
) Then the general
solution is
x
c
(t) = c
1
v
1
e

1
t
+ c
2
v
2
e

2
t
And
(t) =
_
v
11
e

1
t
v
12
e

2
t
v
21
e

1
t
v
22
e

2
t
_
is called the fundamental matrix(A fundamental matrix
is a square matrix whose columns are linearly independent so-
lutions of the homogeneous system).
Case 2: p() = 0 has a double solutions
0
.
In this case p() = (
0
)
2
and
0
is a zero of p() with
multiplicity 2.
(1)
0
has two linearly independent eigenvectors:
Suppose v
1
=
_
v
11
v
21
_
and v
2
=
_
v
12
v
22
_
are associate linearly
independent eigenvectors. Then the general solution is
x
c
(t) = (c
1
v
1
+ c
2
v
2
)e

0
t
And
(t) = e

0
t
_
v
11
v
12
v
21
v
22
_
(2)
0
has only one associate eigenvector:
Suppose v
1
=
_
v
11
v
21
_
is the only associated eigenvector and
v
2
=
_
v
12
v
22
_
is a solution of
(
0
I A)v
2
= v
1
.
Then the general solution is,
x
c
(t) = (c
1
v
1
+ c
2
(tv
1
+v
2
)e

0
t
And
(t) = e

0
t
_
v
11
(v
11
t + v
12
)
v
21
(v
21
t + v
22
)
_
is the fundamental solution matrix.
2. HOMOGENEOUS SYSTEM 7
Case 3: p() = 0 has two conjugate complex solutions a+bi and abi.
Suppose v =
_
v
11
+ iv
12
v
21
+ iv
22
_
is the associate complex eigen-
vector with respect to a + bi, then the general solution is,
v
1
=
_
v
11
v
21
_
and v
2
=
_
v
12
v
22
_
x
c
(t) = [c
1
(v
1
cos(bt) v
2
sin(bt))c
2
(v
2
cos(bt) +v
1
sin(bt))]e
at
.
And
(t) = e
at
_
v
11
cos(bt) v
12
sin(bt) v
12
cos(bt) + v
11
sin(bt)
v
21
cos(bt) v
22
sin(bt) v
22
cos(bt) + v
21
sin(bt)
_
is the fundamental matrix.
From Theorem 2.1, let (t) be the fundamental matrix, the general
solution is given by x
c
(t) = (t)c, with c =
_
c
1
c
2
_
and the solution
that satises a given initial condition x(t
0
) = x
0
is given by
x(t) = (t)(t
0
)
-t
x
0
Example 2.1. Two distinct eigenvalues case Find the general
solution to x

(t) =
_
2 3
1 5
_
x(t)
Solution Using Mathcad , functions eigenvals() and eigen-
vecs()
In Mathcad , eigenvecs(M) Returns a matrix containing the eigenvectors. The
nth column of the matrix returned is an eigenvector corresponding to the nth
eigenvalue returned by eigenvals.
we nd,
1
=
3
2
+
1
2

61 and
2
=
3
2

1
2

61 with associated eigen-

vectors v
1
=
_
7

61
2
_
and v
2
=
_
7 +

61
2
_
respectively. So
the fundamental matrix is
(t) =
_
(7

61)e
(
3
2
+
1
2

61)t
(7 +

61)e
(
3
2

1
2

61)t
2e
(
3
2
+
1
2

61)t
2e
(
3
2

1
2

61)t
_
and the general solution is, for c =
_
c
1
c
2
_
,
x
c
(t) = (t)c

8 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS

Example 2.2. One double eigenvalues with two linearly in-
dependent eigenvectors Find the general solution to x

(t) =
_
2 0
0 2
_
x(t).
Solution The eigenvalue is
0
= 2 and associated eigenvectors
are
_
1
0
_
and
_
0
1
_
, so the general solution is x
c
=
_
c
1
e
2t
c
2
e
2t
_

Example 2.3. One double eigenvalues with only one eigen-
vector Find the solution to x

(t) =
_
2 3
3 8
_
x(t) and x(0) =
_
2
3
_
Solution Using Mathcad , functions eigenvals() and eigen-
vecs() we can nd a double eigenvalue
0
= 5 and eigenvector
_
.707
.707
_
.
Notice, the symbolic operator (bring up by either [Shift][Ctrl][.] or
[Ctrl][.]) will not work with eigenvecs() this time, but since multiply
an eigenvector by a nonzero constant still get an eigenvector, we can
choose v
1
=
_
3
3
_
.
To nd w that satises (A
0
I)w = v
1

0
we will solve (A

0
I)
_
w
1
w
2
_
=
_
1
1
_
. That is,
_
3 3
3 3
_ _
w
1
w
2
_
=
_
3
3
_
One solution is w
1
= 1 and w
2
= 0
So the fundamental matrix is
(t) = e
5t
_
3 3t + 1
3 3t
_
and the general solution is, c =
_
c
1
c
2
_
,
x
c
(t) = (t)c
Now, (0) = e
5(0)
_
3 3(0) + 1
3 3(0)
_
=
_
3 1
3 0
_
and (0)
-1
=
1
3
_
0 1
3 3
_
.
Hence, the particular solution is x(t) = (t)(0)
-1
x
0
= e
5t
_
3t + 4
3t 3
_

2. HOMOGENEOUS SYSTEM 9
Example 2.4. Two conjugate complex eigenvalues case Find
the general solution to x

(t) =
_
2 3
1 2
_
x(t)
Solution Using Mathcad , functions eigenvals() and eigen-
vecs() we nd two conjugate complex eigenvalues,
1
= 2 + i

3 and

2
= 2i

3 with associated eigenvector v

1
=
_
3
i
_
with respect to

1
. Compare this with the Theorem 2.1, we have a = 2, b =

3, v
11
=

3, v
21
= 0, v
12
= 0, and v
22
= 1.
So the fundamental matrix is
(t) = e
2t
_
3 cos(bt) sin(bt)

3 sin(bt) cos(bt)
_
and the general solution is, c =
_
c
1
c
2
_
,
x
c
(t) = (t)c = e
2t
_
3 cos(

3t) sin(

3t)

3 sin(

3t) cos(

3t)
_ _
c
1
c
2
_
= e
2t
_
3c
1
cos(

3t) c
2
sin(

3t)

3c
1
sin(

3t) c
2
cos(

3t)
_
Suppose we want to nd a solution such that x(0) =
_
1
2
_
, then
x(t) = (t)(0)
-1
x(0)
= e
2t
_
3 cos(

3t) sin(

3t)

3 sin(

3t) cos(

3t)
_ _
3 0
0 1
_
-1
_
1
2
_
= e
2t
_
3 cos(

3t) sin(

3t)

3 sin(

3t) cos(

3t)
_ _
1

3
2
_
= e
2t
_
cos(

3t) + +2 sin(

3t)
sin(

3t) + 2 cos(

3t)
_

2.2. A is a 3 3 matrix. Suppose

A =
_
_
a
11
a
12
a
13
a
21
a
22
a
23
a
31
a
32
a
33
_
_
Then the characteristic polynomial p() of A given by
p() = |AI|,
10 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
is a cubic polynomial of . From Algebra, we know that p() = 0
has either 3 distinct real solutions, or 2 distinct solutions and one is a
double solution, or one real solution and 2 conjugate complex solutions,
or a triple solution. The following theorem summarize the solution to
the homogeneous system,
Theorem 2.2. Let p() be the characteristic polynomial of A, for
x

(t) = Ax(t),
Case 1: p() = 0 has three distinct real solutions
1
,
2
, and
3
.
Suppose v
1
=
_
_
v
11
v
21
v
31
_
_
, v
2
=
_
_
v
12
v
22
v
32
_
_
, and v
3
=
_
_
v
13
v
23
v
33
_
_
are associate eigenvector (i.e, Av
1
=
1
v
1
, Av
2
=
2
v
2
, and
Av
3
=
3
v
3
) Then the general solution is
x
c
(t) = c
1
v
1
e

1
t
+ c
2
v
2
e

2
t
+ c
3
v
3
e

3
t
And the fundamental matrix is
(t) =
_
_
v
11
e

1
t
v
12
e

2
t
v
13
e

3
t
v
21
e

1
t
v
22
e

2
t
v
23
e

3
t
v
31
e

1
t
v
32
e

2
t
v
33
e

3
t
_
_
.
Case 2: p() = 0 has a double solutions
0
.
So p() = (
0
)
2
(
1
), and
0
has multiplicity 2. Let
v
3
=
_
_
v
12
v
22
v
32
_
_
is the eigenvector associated with
1
.
[1]
0
has two linearly independent eigenvectors:
Suppose v
1
=
_
v
11
v
21
_
and v
2
=
_
v
12
v
22
_
are associate linearly
independent eigenvectors. Then the general solution is
x
c
(t) = (c
1
v
1
+ c
2
v
2
)e

0
t
+ c
3
v
3
e

1
t
And
(t) =
_
_
v
11
e

0
t
v
12
e

0
t
v
13
e

1
t
v
21
e

0
t
v
22
e

0
t
v
23
e

1
t
v
31
e

0
t
v
32
e

0
t
v
33
e

1
t
_
_
2. HOMOGENEOUS SYSTEM 11
[2]
0
has one eigenvector:
Suppose v
1
=
_
_
v
11
v
21
v
31
_
_
is the associated eigenvector with re-
spect to
0
and v
2
=
_
_
v
12
v
22
v
32
_
_
is a solution of
(
0
I A)v
2
= v
1
.
Then the general solution is,
x
c
(t) = (c
1
v
1
+ c
2
(tv
1
+v
2
))e

0
t
+ c
3
v
3
e

1
And
(t) =
_
_
v
11
e

0
t
(v
11
t + v
12
)e

0
t
v
13
e

1
v
21
e

0
t
(v
21
t + v
22
)e

0
t
v
23
e

1
v
31
e

0
t
(v
31
t + v
32
)e

0
t
v
33
e

1
_
_
is the fundamental solution matrix.
Case 3: p() = 0 has two conjugate complex solutions abi and a real
solution
1
.
Suppose v =
_
_
v
11
+ iv
12
v
21
+ iv
22
v
31
+ iv
32
_
_
is the associate complex eigen-
vector with respect to a + bi, then the general solution is, let
v
3
=
_
_
v
13
v
23
V
33
_
_
, are associated eigenvectors with respect to
1
,
x
c
(t) = [c
1
(v
1
cos(bt)v
2
sin(bt))c
2
(v
2
cos(bt)+v
1
sin(bt))]e
at
+c
3
v
3
e

1
.
And
(t) = e
at
_
_
v
11
cos(bt) v
12
sin(bt) v
12
cos(bt) + v
11
sin(bt) v
13
e

1
v
21
cos(bt) v
22
sin(bt) v
22
cos(bt) + v
21
sin(bt) v
23
e

1
v
31
cos(bt) v
32
sin(bt) v
32
cos(bt) + v
31
sin(bt) v
33
e

1
_
_
is the fundamental matrix.
Case 4: p() = 0 has solution
0
with multiplicity 3.
In this case, p() = (
0
)
3
.
[1]
0
has three linearly independent eigenvectors.
Let v
1
=
_
_
v
11
v
21
v
31
_
_
, v
2
=
_
_
v
12
v
22
V
32
_
_
, and v
3
=
_
_
v
13
v
23
V
33
_
_
be
the three linearly independent eigenvectors. Then the general
12 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
solution is x
c
(t) = (c
1
v
1
+ c
2
v
2
+ c
3
v
3
)e

0
t
and fundamental
matrix is (t) = e

0
t
_

_
v
11
v
12
v
13
v
21
v
22
V
23
v
31
v
32
V
33
_

_
[2]
0
has two linearly independent eigenvectors.
Suppose v
1
=
_
_
v
11
v
21
v
31
_
_
, v
2
=
_
_
v
12
v
22
V
32
_
_
are the linearly inde-
pendent eigenvectors. Let v
3
=
_
_
v
13
v
23
V
33
_
_
, then only one of the
two equations, (A
0
I)v
3
= v
1
or (A
0
I)v
3
= v
2
can
has a solution that is linearly independent with v
1
, v
2
.
Suppose (A
0
I)v
3
= v
2
generates such a solution. Then
the general solution is x
c
(t) = [c
1
v
1
+ c
2
v
2
+ c
3
(tv
2
+v
3
)]e

0
t
and fundamental matrix is (t) = e

0
t
_
_
v
11
v
12
tv
12
+ v
13
v
21
v
22
tv
22
+ V
23
v
31
v
32
tv
32
+ V
33
_
_
[3]
0
has only one eigenvector.
Let v
1
=
_
_
v
11
v
21
v
31
_
_
be the linearly independent eigenvectors.
Let v
2
=
_
_
v
12
v
22
V
32
_
_
and v
3
=
_
_
v
13
v
23
V
33
_
_
be two vectors that
satises
(A
0
I)v
2
= v
1
and (A
0
I)v
3
= v
2
.
Then the general solution is x
c
(t) = [c
1
v
1
+ c
2
(tv
1
+ v
2
) +
c
3
(t
2
v
1
+ tv
2
+ v
3
)]e

0
t
and fundamental matrix is (t) =
e

0
t
_
_
v
11
tv
11
+ v
12
t
2
v
11
+ tv
12
+ v
13
v
21
tv
21
+ v
22
t
2
v
21
+ tv
22
+ V
23
v
31
tv
31
+ v
32
t
2
v
31
+ tv
32
+ V
33
_
_
Remark 2.1. Suppose A is an n n matrix, for the homogeneous
system x

(t) = Ax(t), three general case would happen

Case 1: A has n distinct eigenvalues
i
, i = 1, 2, , n with linearly
independent eigenvectors v
i
, i = 1, 2, , n then the general
solution will be x
c
(t) = c
1
v
1
e

1
+ c
2
v
2
e

2
+ + c
n
v
n
e
n
2. HOMOGENEOUS SYSTEM 13
Case2: A has m < n distinct eigenvalues, in this case some eigenval-
ues would have multiplicity greater than 1.
Suppose
r
has multiplicity r. Depending on how many
linearly independent eigenvectors are associated with
r
the
situation could be very complex. Let p be the number of linearly
eigenvectors associated with
r
, then d = r p is called the
decit of
r
. The simply cases are either d = 0 or d = r 1.
When 0 < d < r 1 the situation could be very complex.
Suppose d = r 1 and v
1
is the only eigenvector associate
with
r
, then one will have to solve r 1 equations (A

r
)
i
v
i+1
= v
i
, i = 1, 2, , r 1. And the general solution
would contains terms like [c
1
v
1
+c
2
(v
1
t +v
2
) +c
3
(v
1
t
2
+v
2
t +
v
3
) + + c
r
(v
r
1
+v
2
t
r1
+ +v
r
)]e
r
.
Case 3: A complex root a+bi with associated eigenvector v
a
+iv
b
, then
the general solution contains term, [c
1
(v
a
cos(bt)v
b
sin(bt))+
c
2
(v
a
sin(bt) +v
b
cos(bt))]e
at
.
Remark 2.2. Suppose x
1
(t), x
2
(t), x
3
(t), , x
n
(t) are n linearly
independent solution for nn homogeneous system, x

(t) = Ax(t), the

fundamental matrix (t) is a matrix whose columns are x
i
(t), i =
1, 2, , n.
Example 2.5. (Two distinct eigenvalues) Find the general so-
lution to
x

1
= 3x
1
+ 4x
2
2x
3
x

2
= 2x
1
+ x
2
4x
3
x

3
= x
1
+ 2x
2
Solution Let x(t) =
_
_
x
1
(t)
x
2
(t)
x
3
(t)
_
_
and
_
_
3 4 2
2 1 4
1 2 0
_
_
The equa-
tions can be written in matrix form x

(t) = Ax(t).
Using Mathcad , functions eigenvals() and eigenvecs() we nd,
1
=
2 and
2
= 1 with associated eigenvectors v
1
=
_
_
4
1
2
_
_
and v
2
=
_
_
1
0
1
_
_
respectively. Since
1
has multiplicity 2 as 1 appeared twice
in the result of eigenvals() function, we need to solve the equation
(A
1
I)v
3
= v
2
.
14 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
To use Mathcad ,
(1) you rst compute (A
1
I)v
3
using the fol-
lowing sequences of key stroke,
[*] type ([Ctrl][M], set the rows and
columns in the matrix denition popup menu,
input the data for A,
[*] type -[Ctrl][M] set the row and col-
umn number and input data for
1
I,
[*] type )[Ctrl][M], now set 1 as column
number, enter a, b, c in the place holders,
[*] type [Ctrl][.] to compute symboli-
cally and you get.
(2) Using the Given Find block to nd a
solution. Type Given in a blank space, type
a+2b-c[Ctrl]= 1 and 2a-4c[Ctrl]=0 in two
rows, then type key word Find following by
typing (a,b)[Ctrl][.] you will get the solution
in terms of c.
Set c = 1, we get v
3
=
_
_
4
1
1
_
_
.
So the fundamental matrix is
(t) =
_
_
4e
2t
e
t
(t + 4)e
t
e
2t
0 e
t
2e
2t
e
t
(t + 1)e
t
_
_
and the general solution is,
x
c
(t) = c
1
v
1
e
2t
+ c
2
v
2
e
t
+ c
3
(tv
2
+v
3
)e
t

Example 2.6. (One eigenvalue with decit 1) Find the solution

to x

(t) =
_
_
3 0 1
2 1 1
4 0 1
_
_
x(t) and x(0) =
_
_
2
3
4
_
_
Solution Using Mathcad , functions eigenvals() (Notice the
eigenvecs() will not nd a good result in this case due to the rounding
error.) we nd,
0
= 1 is the only eigenvalue. To nd the associate
eigenvectors we compute (Using (A
0
I)v = 0)
(A
0
I)v =
_
_
2 0 1
2 0 1
4 0 2
_
_
_
_
v
1
v
2
v
3
_
_
_
_
2v
1
+ v
3
2v
1
+ v
3
4v
1
2v
3
_
_
= 0
2. HOMOGENEOUS SYSTEM 15
We have only 2v
1
+ v
3
= 0 for three variables v
1
, v
2
, v
3
, this indicates
that v
2
can be any value, and set v
1
= 1 nd v
3
= 2, So v
1
=
_
_
1
0
2
_
_
and v
2
=
_
_
1
1
2
_
_
are two eigenvectors.
To nd the generalize eigenvector associated with
0
we will have
to solve two equations
(A
0
I)
_
_
w
1
w
2
w
3
_
_
=
_
_
1
0
2
_
_
,
and
(A
0
I)
_
_
w
1
w
2
w
3
_
_
=
_
_
1
1
2
_
_
,
From (2.2),
_
_
2 0 1
2 0 1
4 0 2
_
_
_
w
1
w
2
_
=
_
_
1
0
2
_
_
,
we get two inconsistent equations 2w
1
+ w
3
= 1 and 2w
1
+ w
3
= 0. So
now solution can be found in this case.
From (2.2),
_
_
2 0 1
2 0 1
4 0 2
_
_
_
w
1
w
2
_
=
_
_
1
1
2
_
_
,
we get one equation 2w
1
+ w
3
= 1 choose w
3
= 1 we get w
1
= 0, since
w
2
can be anything, we set w
2
= 1. So v
3
=
_
_
0
1
1
_
_
and we can verify
that v
1
, v
2
, and v
3
are linearly independent.
So the fundamental matrix is
(t) = e
t
_
_
1 1 t
0 1 t + 1
2 2 2t + 1
_
_
and the general solution is,
x
c
(t) = [c
1
v
1
+ c
2
v
2
+ c
3
(tv
2
+v
3
)]e
t
16 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
Now, (0) =
_
_
1 1 0
0 1 1
2 2 1
_
_
and (0)
-1
_
_
2
3
4
_
_
=
_
_
1
3
0
_
_
.
Hence, the particular solution is x(t) = [v
1
+ 3v
2
]e
t

Example 2.7. (One eigenvalue with decit 2) Find the general

solution to x

(t) =
_
_
2 1 0
1 4 1
2 2 3
_
_
x(t).
Solution Using Mathcad , functions eigenvals() (Notice the
eigenvecs() will not nd a good result in this case due to the rounding
error.) we nd,
0
= 3 is the only eigenvalue. To nd the associate
eigenvectors we compute (Using (A
0
I)v = 0)
(A3I)v =
_
_
1 1 0
1 1 1
2 2 0
_
_
_
_
v
1
v
2
v
3
_
_
_
_
v
1
+ v
2
+ v
3
v
1
+ v
2
+ v
3
2v
1
2v
2
_
_
= 0
We have only one eigenvector v
1
=
_
_
1
1
2
_
_
.
To nd the generalize eigenvector associated with
0
we will have
to solve two equations
(A3I)v
2
= v
1
,
and
(A3I)v
3
= v
2
,
From (2.2),
_
_
1 1 0
1 1 1
2 2 0
_
_
_
_
a
b
c
_
_
=
_
_
1
1
2
_
_
,
we have two equations
_
b a = 1
a + b + c = 1
Choosing a = 0, we get b = 1, c = 0. Hence v
2
=
_
_
0
1
0
_
_
2. HOMOGENEOUS SYSTEM 17
From (2.2),
_
_
1 1 0
1 1 1
2 2 0
_
_
_
_
a
b
c
_
_
=
_
_
0
1
0
_
_
,
we have two equations
_
b a = 0
a + b + c = 1
Choosing a = 0, we get b = 0, c = 1. So v
3
=
_
_
0
0
1
_
_
and we can verify
that v
1
, v
2
, and v
3
are linearly independent.
So the fundamental matrix is
(t) = e
t
_
_
1 t t
2
1 1 + t t
2
+ t
2 2t 2t
2
+ 1
_
_
and the general solution is,
x
c
(t) = [c
1
v
1
+ c
2
(tv
1
+v
2
) + c
3
(t
2
v
1
+ tv
2
+v
3
)]e
3t

Example 2.8. (Two conjugate complex eigenvalues case)

Find the general solution to x

(t) =
_
_
1 1 3
2 0 3
1 0 1
_
_
x(t)
Solution Using Mathcad , functions eigenvals() and eigen-
vecs() we nd two conjugate complex eigenvalues and one real eigen-
value,
1
= 1,
2
=
1
2
+ i
1
2

19, and
3
=
1
2
i
1
2

19 with associ-
ated eigenvector v
1
=
_
_
0
1
1
_
_
and v =
_
_
1 + i

19
2 + i

19
2
_
_
=
_
_
1
2
2
_
_
+
i
_
_

19

19
0
_
_
with respect to
3
. Compare this with the Theorem 1.3,
18 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
we have a =
1
2
, b =
1
2

19, v
2
=
_
_
1
2
2
_
_
(real part of v), and v
3
=
_
_

19

19
0
_
_
(imaginary part of v).
The general solution is,
x
c
(t) = c
1
v
1
e
t
+c
2
(v
2
cos(
1
2

19)v
3
sin(
1
2

19))e
1
2
t
+c
3
(v
2
sin(
1
2

19)+v
3
cos(
1
2

19))e
1
2
t

3. Nonhomogeneous System of Equations

To nd solutions to the initial value problem of nonhomogeneous
equations x

(t) = Ax(t) +b(t), x(t

0
) = x
0
we follow the steps below,
(1) Find the general solution x
c
(t) = (t)c to homogeneous equa-
tion x

(t) = Ax(t), where (t) is the fundamental matrix.

(2) Find a particular solution x
p
to x

(t) = Ax(t)
(3) The general solution to the nonhomogeneous equation x

(t) =
Ax(t) is x(t) = x
c
(t) + x
p
(t). Using x(t
0
) = x
0
to determine
the coecient vector c.
The following theorem gives one way to nd a particular solution based
on the fundamental matrix,
Theorem 3.1. Let (t) be a fundamental matrix of x

(t) = Ax(t),
a particular solution to x

(t) = Ax(t) +b(t) is given by

x
p
(t) = (t)
_
(t)
-1
b(t) dt.
Example 3.1. Find the general solution to
x

1
= 3x
1
+ 4x
2
2x
3
+ t
2
x

2
= 2x
1
+ x
2
4x
3
x

3
= x
1
+ 2x
2
t
2
Solution Let x(t) =
_
_
x
1
(t)
x
2
(t)
x
3
(t)
_
_
, A =
_
_
3 4 2
2 1 4
1 2 0
_
_
, and
b(t) =
_
_
t
2
0
t
2
_
_
. The equations can be written in matrix form x

(t) =
3. NONHOMOGENEOUS SYSTEM OF EQUATIONS 19
Ax(t)+b(t). From Example 2.5, we know that the fundamental matrix
to x(t) = Ax(t) is
(t) =
_
_
4e
2t
e
t
(t + 4)e
t
e
2t
0 e
t
2e
2t
e
t
(t + 1)e
t
_
_
To nd a particular solution, we rst compute
-1
(t)b(t) =
_
_

2
5
t
2
e
2t
(
2
5
t
3
+
11
5
t
2
)e
t
2
5
t
2
e
t
_
_
then we compute
(t)
_

-1
(t)b(t) dt = (t)
_
_
_

2
5
t
2
e
2t
dt
_
(
2
5
t
3
+
11
5
t
2
)e
t
dt
_
2
5
t
2
e
t
dt
_
_
=
_
_
1
5
t
2
+ 2t +
16
5

1
5
t
2

3
5
t
7
10
9
5
t
2
+
24
5
t +
29
5
_
_
.
And so the general solution is,
x(t) = c
1
_
_
4
1
2
_
_
e
2t
+ c
2
_
_
1
0
1
_
_
e
t
+ c
3
_
t
_
_
1
0
1
_
_
+
_
_
4
1
1
_
_
_
e
t
+
_
_
1
5
t
2
+ 2t +
16
5

1
5
t
2

3
5
t
7
10
9
5
t
2
+
24
5
t +
29
5
_
_
The following is a screen shot that shows how to carry out the compu-
tation in Mathcad ,
To use Mathcad ,
(1) Dene fundamental ma-
trix A(t) and b(t) in the
same line (not as shown in
graph), and compute in the
next line A
1
b(t)
(2) type A(t)*[Ctrl][M] choose
column as 1, at each place
holder, type [Ctrl][I] to get
the indenite integral,
(3) and put the corresponding
entry of A
1
b(t) in the in-
tegrant position.
(4) press [Shift][Ctrl][.] type
key work simplify

20 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS

Theorem 3.2. If (t) is the fundamental matrix for x

(t) = Ax(t),
, and x
p
(t) =
_

-1
(t)b(t) dt, then x(t) = (t)
-1
(t
0
)(x
0
x
p
(t
0
)) +
x
p
(t) is the solution to the nonhomogeneous initial value problem,
x

(t) = Ax(t) +b(t), x(t

0
) = x
0
Example 3.2. Find the solution to x

(t) =
_
2 3
3 8
_
x(t) +
_
e
2t
2e
2t
_
and x(0) =
_
2
1
_
Solution From Example 2.3 is the fundamental matrix is
(t) = e
5t
_
3 3t + 1
3 3t
_
and (0)
-1
=
1
3
_
0 1
3 3
_
.
Now b(t) =
_
e
2t
2e
2t
_
, using the formula x
p
(t) = (t)
_

-1
(t)b(t) dt
and Mathcad , we have x
p
(t) =
_
0
1
3
e
2t
_
Therefore,
(0)
-1
(x(0) x
p
(0)) =
1
3
_
0 1
3 3
_
_
_
2
1
_

_
0
1
3
_
_
=
_

2
3
8
_
.
and the solution is
x(t) = (t)(0)
-1
(x(0) x
p
(0)) +x
p
(t) = e
5t
_
24t 6
24t 2 +
1
3
e
3t
_

4. Higher order dierential equations

One can transform equations that involving higher order derivatives
of unknown functions to system of rst order equations. For example,
suppose x(t) is an unknown scalar function that satises
mx

(t) + cx

(t) + kx(t) = f(t)

an equation can be used to model a spring system with external force
f(t) or an RCL electronic circuit with an energy source f(t).
4. HIGHER ORDER DIFFERENTIAL EQUATIONS 21
Now if we set x
1
(t) = x(t) and x
2
(t) = x

(t) we then get an system

of rst order equations
x

1
(t) = x
2
(t) (5)
x

2
(t) =
c
m
x
2
(t)
k
m
x
1
(t) +
f(t)
m
(6)
In general, if we have an dierential equation that involving nth
order derivative x
(n)
(t) of unknown function x(t),
x
(n)
= a
0
x(t) + a
1
x

(t) + + a
n1
x
(n1)
+ f(t),
we can transform it into an system of rst order equations of n unknown
functions x
1
(t) = x(t), x
2
(t) = x

(t), x
3
(t) = x
(2)
(t), , x
n
(t) =
x
(n1)
(t), and using the eigenvalue method for system of dierential
equation to solve the higher order equation.
Example 4.1. Transform the dierential equation x
(3)
+ 3x
(2)

7x

(t) 9x = sin(t) into system of rst order equations.

Solution Here the highest order of derivative is third derivative
x
(3)
of x(t). So we transfer it into system of 3 equations.
Let x
1
(t) = x(t), x
2
(t) = x

(t), x
3
(t) = x

(t), we have
x

1
(t) = x
2
(t) (7)
x

2
(t) = x
3
(t) (8)
x

3
(t) = 3x
3
(t) + 7x
2
(t) + 9x
1
(t) sin(t) (9)
Let x(t) =
_
_
x
1
(t)
x
2
(t)
x
3
(t)
_
_
, A =
_
_
1 0 0
0 1 0
9 7 3
_
_
, and b(t) =
_
_
0
0
f(t)
_
_
we can write the system of equation in matrix form x

(t) = Ax(t) +
b(t).
Example 4.2. Find the general solution for the 3rd order dieren-
tial equation x
(3)
+ 3x
(2)
7x

(t) 9x = sin(t).
Solution From previous example, Example 4.1, Let x(t) =
_
_
x
1
(t)
x
2
(t)
x
3
(t)
_
_
, A =
_
_
1 0 0
0 1 0
9 7 3
_
_
, and b(t) =
_
_
0
0
f(t)
_
_
we can write
the system of equation in matrix form x

(t) = Ax(t) + b(t). Using

Mathcad we nd the eigenvalues are
1
= 1,
2
= 1 +

10,
3
=
1

10 with associate eigenvectors, v

1
=
_
_
1
1
1
_
_
, v
2
=
_
_
1
1 +

10
11 2

10
_
_
,
22 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
and v
3
=
_
_
1
1

10
11 + 2

10
_
_
respectively (after multiply the results of
Mathcad by some constants). So the fundamental matrix is
(t) =
_
_
e
t
e
(1+

10)t
e
(1+

10)t
e
t
(1 +

10)e
(1+

10)t
(1 +

10)e
(1+

10)t
e
t
(11 2

10)e
(1+

10)t
(11 + 2

10)e
(1+

10)t
_
_
From (t) we nd a particular solution
x
p
(t) = (t)
_

-1
(t)b(t) dt =
_
_
3
52
cos(t)
5
39
sin(t)
1
26
cos(t)
35
156
sin(t)

3
52
cos(t)
8
39
sin(t)
_
_
Hence the general solution to the system is
_
_
x
1
(t)
x
2
(t)
x
3
(t)
_
_
=
_
_
c
1
e
t
+ c
2
e
(1+

10)t
+ c
3
e
(1+

10)t
+
3
52
cos(t)
5
39
sin(t)
c
1
e
t
+ c
2
(1 +

10e
(1+

10)t
c
3
(1 +

10)e
(1+

10)t
+
1
26
cos(t)
35
156
sin(t)
c
1
e
t
+ c
2
(11 2

10)e
(1+

10)t
+ c
3
(11 + 2

10)e
(1+

10)t

3
52
cos(t)
8
39
sin(t)
_
_
and x
1
(t) = c
1
e
1t
+ c
2
e
(1+

10)t
+ c
3
e
(1+

10)t
+
3
52
cos(t)
5
39
sin(t) is
the general solution to the third order ordinary dierential equation
x
(3)
+ 3x
(2)
7x

(t) 9x = sin(t)
.
Example 4.3. Find the solution to the initial value problem
x

10x

+ 9x = te
t
, x(0) = 1, x

(0) = 1.
Solution Since the given equation is of second order, we will have
two unknowns x
1
(t) = x(t), x
2
(t) = x

(t) to transform the equation into

a system of rst order equations,
x

1
(t) = x
2
x

2
(t) = 10x
2
9x
1
+ te
t
,
and the initial conditions are x
1
(0) = x(0) = 1 x
2
(0) = x

(0) = 1.
Now let x(t) =
_
x
1
(t)
x
2
(t)
_
, A =
_
0 1
9 10
_
, and b(t) =
_
0
te
t
_
.
We have the matrix version of this equation, x

(t) = Ax(t) +b(t)

4. HIGHER ORDER DIFFERENTIAL EQUATIONS 23
Using Mathcad , we nd the eigenvalues
1
= 1,
1
= 9, and
associate eigenvectors v
1
=
_
1
1
_
, v
2
=
_
1
9
_
. And fundamental
matrix (t) =
_
e
t
e
9t
e
t
9e
9t
_
.
From (t) we nd a particular solution
x
p
(t) = (t)
_

-1
(t)b(t) dt =
_

1
512
(32t
2
+ 8t + 1)e
t

1
512
(32t
2
+ 72t + 9)e
t
_
The solution with initial values x
0
=
_
1
1
_
is given by
x(t) = (t)
-1
(0)(x
0
b(0)) +b(t)
=
_

_
_

1
16
t
2

1
64
t +
639
512
_
e
t

127
512
e
9t
_

1
16
t
2

9
64
t +
631
512
_
e
t

1143
512
e
9t
_

_
.
Hence the solution to the initial value problem of the second order
dierential equation is x(t) = x
1
(t) =
_

1
16
t
2

1
64
t +
639
512
_
e
t

127
512
e
9t
.
Project
At beginning you should enter: Project title, your name, ss#, and
due date in the following format
Project One: Dene and Graph Functions
John Doe
SS# 000-00-0000
Due: Mon. Nov. 23rd, 2003
You should format the text region so that the color of text is dierent
than math expression. You can choose color for text from Format
>Style select normal and click modify, then change the settings for
font. You can do this for headings etc.
(1) Solutions To System of Equations
Finding solution to linear system using Mathcad and study
the long time dynamic behavior of the solutions.
Find general solution to
_
x

= y
y

= x
24 1. SYSTEM OF FIRST ORDER DIFFERENTIAL EQUATIONS
Plot several solutions with dierent initial values in
[-] xt-plane, yt-plane
xy-plane. Here you will need to dene range variable
t = 0, 0.1 7 and set X := x(t), Y := y(t). The graph
in xy-plane is called the trajectory. If this models the
movement of a satellite, what is its trajectory.
Find general solution to
_
x

= 8y
y

= 18x
Plot several solutions with dierent initial values in
[-] xt-plane, yt-plane
xy-plane. Here you will need to dene range variable
t = 0, 0.1 7 and set X := x(t), Y := y(t). The graph
in xy-plane is called the trajectory. If this models the
movement of a satellite, what is its trajectory.
Find general solution to
_
x

= 2x y
y

= y 3x
Plot several solutions with dierent initial values in
[-] xt-plane, yt-plane
xy-plane. Here you will need to dene range variable
t = 0, 0.1 7 and set X := x(t), Y := y(t). The graph
in xy-plane is called the trajectory. If this models the
movement of a system of two species, what is you con-
clusion about interdependency of these species? Can you
nd initial value such that x(t) = 0 (distinct) for some t?
what about y(t).
(2) Solution of Higher order equation In general mx

+cx

+
kx = f(t) models a object with mass m attached to a spring
with constant k and damping force that is proportional to
the velocity x

, c 0, k > 0. Suppose m = 1 and f(t) =

Ae
at
sin(bt), that is the external force is oscillatory (b > 0)
and diminishing (a > 0) Find solutions and graph the solu-
tions.
- c = b = 0 Find general solution and graph some particular
solutions.
- c = 20, k = 10, a = 0, b =
1
4
, A = 1
- c = 2, k = 3, A = 100, a = 2, b =