Chap 3 Linear Differential

Equations

(Chun-Hsin Wang)

Fall 2002
Outline
Second-Order Homogeneous Linear Equations
Second-Order Homogeneous Equations with
Constant Coefficients
Modeling: Mass-Spring Systems, Electric Circuits
Euler-Cauchy Equation
Wronskian
Second-Order Nonhomogeneous Linear
Equations
Higher Order Linear Differential Equations
Page 2
Outline

-

Page 3
Second-Order ODE

General Form for Second-Order Linear ODE

Implicit Form

F ( x, y , y , y ) 0
Explicit Form

y p( x ) y q( x ) y r ( x )

Page 4
Second-Order Homogeneous
Linear Equations
Second-Order Homogeneous Linear ODE

y p( x ) y q( x ) y 0

p(x), q(x): coefficient functions

Example

(1 x ) y 2 xy 6 y 0
2

Page 5
Examples of Nonlinear differential
equations

x( yy y ' ) 2 y ' y 0
2

y' y ' 1
2

Page 6
A linear combination of Solutions for
homogeneous linear equation
Example:

y " y 0
x
y e ,y e
x

x
y 3e 5e
x

Page 7
Second-Order Homogeneous
Linear Equations
Linear Principle (Superposition Principle)

If y1 and y2 are the solutions of

y p( x ) y q( x ) y 0
y = c1y1+ c2y2 is also a solution
(c1, c2 arbitrary constants)
y is called the linear combination of y1 and y2

Page 8
Second-Order Homogeneous
Linear Equations
Proof:
Let y c1 y1 c2 y2
y p( x ) y q( x ) y
(c1 y1 c2 y2 ) p( x )( c1 y1 c2 y2 ) q( x )( c1 y1 c2 y2 )
c1 y1 p( x ) y1 q( x ) y1 c2 y2 p( x ) y2 q( x ) y2 0

Note ( cy ) cy ( y1 y2 ) y1 y2

Page 9
Does the Linearity Principle hold for
nonhomogeneous linear or nonlinear equations ?
Example: A nonhomogeneous linear differential
equation
y 1 cos x, y 1 sin x
y " y 1
(1 cos x ) (1 sin x )
Example: A nonlinear differential equation

y x ,y 1
2

y" y xy' 0
x 1
2
Page 10
Initial Value Problem for Second-
Order homogeneous linear equations
For second-order homogeneous linear equations,

y p( x ) y q( x ) y 0
a general solution will be of the form
y c1 y1 c2 y2
, a linear combination of two solutions involving two
arbitrary constants c1 and c2
An initial value problem consists two initial
conditions.

y ( x0 ) k0 , y ' ( x0 ) k1
Page 11
Initial Value Problem

Example:
x
y" y 0, y c1e c2e x

y (0) 4, y ' (0) 2

Observation:
y1 e x , y2 le x
Our solution would not have been general
enough to satisfy the two initial conditions and
solve the problem.
Page 12
A General Solution of an
Homogeneous Linear Equation
Definition: A general solution of an equation
y p( x ) y q( x ) y 0 on an open interval I
is a solution y c1 y1 c2 y2
with y1 and y2 not proportional solutions of
the equation on I and c1 ,c2 arbitrary
constants.
The y1 and y2 are then called a basis (or
fundamental system) of the equation on I
A particular solution of the equation is
obtained if we assign specific values to c1 ,c2
Page 13
Linear Independent
Two functions y1(x) and y2(x) are linear
independent on an interval I where
they are defined if
k1 y1( x) k2 y2 ( x) 0 k1 0, k2 0

Example
y1 cos x, y2 sin x
y " y 0
Page 14
How to obtain a Bass if One
Solution is Known ?
Method of Reduction Order
y p( x ) y q( x ) y 0
Given y1

Find y2

e
p ( x ) dx

y2 y1 2
dx
y1
Page 15
Second-Order Homogeneous
Linear Equations
Proof:
Let y2 uy1
y2 uy1 uy1, y2 uy1 2uy1 uy1
y p( x ) y q( x ) y 0
(uy1 2uy1 uy1) p( x )( uy1 uy1 ) q( x )( uy1 ) 0
uy1 u( 2 y1 p( x ) y1 ) u( y1 p( x ) y1 q( x ) y1 ) 0
2 y1 p( x ) y1
u u 0, Let U u
y1
2 y1 p( x ) y1
U U 0
y1
Page 16
Second-Order Homogeneous
Linear Equations
Proof:
dU 2 y1 p ( x ) y1
dx
U y1
ln U 2 ln y1 p ( x )dx

e
p ( x ) dx

U
y12

e
p ( x ) dx

y2 y1 Udx y1 2
dx
y
1

Page 17
Second-Order Homogeneous
Linear Equations
Example 3-1:

x 2 y xy y 0, y1 x, Find y2
Sol: 1 1
y y 2 y 0
x x
1

e
p ( x ) dx dx
x
e
y2 y1 2
dx x 2
dx
y
1 x
eln x 1
x 2 dx x dx
x x
x ln x
Page 18
Second-Order Homogeneous
Linear Equations
Exercise 3-1: Basic Verification and
Find Particular Solution
Basis cos( 3x ), sin( 3x )
y 9 y 0
Initial Condition y (0) 4, y (0) 6

Basis e x , xe-x
y 2 y y 0
Initial Condition y (0) 1, y (0) 0

Basis x 1/ 2 , x 3/2
4 x 2 y 3 y 0
Initial Condition y (1) 3, y (1) 2.5
Page 19
 Exercise: Reduce of order if a solution
is known.

x y"5xy'9 y 0, y1 x
2 3

Page 20
Second-Order Homogeneous
Equations with Constant Coefficients
General Form of Second-Order
Homogeneous Equations with Constant
Coefficients

y ay by 0
whose coefficients a and b are constant.

Page 21
Second-Order Homogeneous
Equations with Constant Coefficients

Sol: y ay by 0
x
Try y e
x x x
( e ) a ( e ) be 0
e 2 x
ae x
be x
0
( a b ) e
2 x
0
Characteristic
Equation a b 0
2

Page 22
Second-Order Homogeneous
Equations with Constant Coefficients
Case 1: 1, 2
1 x 2 x
a 4b 0
2
y c1e c2e
Case 2: 1 , 1
1 x
a 4b 0
2
y (c1 c2 x )e
Case 3: m ni
a 4b 0
2
y emx ( A cos nx B sin nx)
Page 23
Second-Order Homogeneous
Equations with Constant Coefficients
Example 3-2:
y y 2 y 0, y (0) 4, y (0) 5
Sol:
Step 1: Find General Solution
2 0,
2

1,2
y c1e x c2e 2 x
Page 24
Second-Order Homogeneous
Equations with Constant Coefficients
Step 2: Find Particular Solution

y c1e x c2 e 2 x
y c1e 2c2 e
x 2 x

y (0) c1 c2 4
y (0) c1 2c2 5
c1 1, c2 3
2 x
y e 3e
x

Page 25
Second-Order Homogeneous
Equations with Constant Coefficients
Step 3: Plot Particular Solution
MATLAB Code

x=[0:0.01:2];
y=exp(x)+3*exp(-2*x);
plot(x,y)

Page 26
Case 2 Real Double Root = -a/2

ax 2
a 2
4b 0, y1 e
Let y2 uy1
y2 uy1 uy1, y2 uy1 2uy1 uy1
y ay by 0
(uy1 2uy1 uy1) a (uy1 uy1 ) b(uy1 ) 0
uy1 u( 2 y1 ay1 ) u ( y1 ay1 by1 ) 0
y1 ay1 by1 0
2 y '1 ae ax 2 ay1 , 2 y '1 ay1 0
u" y1 0, u" 0
u c1 x c2
take u x, y2 xy1 xe ax 2
y ( c1 c2 x )e ax 2
Page 27
Second-Order Homogeneous
Equations with Constant Coefficients
Example 3-3:
y 4 y 4 y 0, y (0) 3, y (0) 1
Sol:
Step 1: Find General Solution
4 4 0,
2

2,2
y ( c1 c2 x )e 2 x
Page 28
Second-Order Homogeneous
Equations with Constant Coefficients
Step 2: Find Particular Solution

y ( c1 c2 x )e 2 x
y c2 e 2x
2( c1 c2 x )e 2x

y (0) c1 3
y (0) c2 2c1 1
c1 3, c2 5
y (3 5 x )e 2x

Page 29
Second-Order Homogeneous
Equations with Constant Coefficients
Step 3: Plot Particular Solution
MATLAB Code

x=[0:0.01:2];
y=(3-5*x).*exp(2*x);
plot(x,y)

Page 30
Euler Formula
Euler Formula

e cos x i sin x
ix

Proof: x 2
x 3
x n
ex 1 x
2! 3! n 0 n!

x2 x4 x6
( 1)n x 2 n
Maclaurin cos( x ) 1
Series 2! 4! 6! n 0 (2n)!
x 3 x5 x 7
( 1)n x 2 n 1
sin( x ) x
3! 5! 7! n 0 ( 2n 1)!

Page 31
Euler Formula
Proof:
2 3 n
( ix ) ( ix ) ( ix )
e 1 ix e cos xi sin x
ix ix
2! 3! n 0 n!

x 2 ix 3 x 4 ix 5 x 6 ix 7
1 ix
2! 3! 4! 5! 6! 7!
x2 x4 x6 x3 x5 x7
1 i x
2! 4! 6! 3! 5! 7!
cos( x ) i sin( x )
Page 32
Euler Formula

i
e 1

Page 33
Complex Exponential Function

z s it
s it
e e
z
e e e (cos t i sin t )
s it s

Page 34
Case 3 a 2 4b 0

a a
1 iw, 2 iw,
2 2
1 2
w b a
4
1x ( a 2 ) x iwx (a 2) x
e e e (cos wx i sin wx)
e 2x e ( a 2 ) x iwx e ( a 2 ) x (cos wx i sin wx)
ax 2 ax 2
y1 e cos wx, y2 e sin wx
ax 2
y e ( A cos wx B sin wx)
Page 35
Second-Order Homogeneous
Equations with Constant Coefficients
Example 3-4:
y 0.2 y 4.01 y 0, y (0) 0, y (0) 2
Sol:
Step 1: Find General Solution
0.2 4.01 0,
2

0.1 2i
y e 0.1 x ( A cos 2 x B sin 2 x )
Page 36
Second-Order Homogeneous
Equations with Constant Coefficients
Step 2: Find Particular Solution
0.1 x
ye ( A cos 2 x B sin 2 x )
y 0.1e 0.1 x ( A cos 2 x B sin 2 x )
0.1 x
e ( 2 A sin 2 x 2 B cos 2 x )
y (0) A 0
y (0) 2 B 2
A 0, B 1
y e 0.1 x sin 2 x
Page 37
Second-Order Homogeneous
Equations with Constant Coefficients
Step 3: Plot Particular Solution
MATLAB Code

x=[0:0.1:30];
y=exp(-0.1*x).*sin(2*x);
plot(x,y)

Page 38
Second-Order Homogeneous
Equations with Constant Coefficients
Exercise 3-2: Find General Solution
4 y 4 y 3 y 0

2 y 9 y 0

y 4 y 4 y 0

9 y 30 y 25 y 0

y 2 y 2 y 0

4 y 4 y 10 y 0
Page 39
Modeling: Mass-Spring Systems

my cy ky 0

Page 40
Modeling: Electric Circuits

1
LI RI I 0
C

Capacitor
Resistor (farads)
Inductor
(ohms) (heries)

Page 41
Modeling my cy ky 0

my cy ky 0
c k

2
0
m m
c 1
1, 2 c 4mk
2

2m 2m
c 1
, c 4mk
2

2m 2m
1 , 2
Page 42
 ( ) t ( ) t
Modeling y (t ) c1e c2e

Overdamping c 4mk 0
2

Page 43
Modeling y (t ) (c1 c2t )e t

Critical Damping c 2 4mk 0

Page 44
Modeling c 4mk 0
2

y ( t ) e t ( A cos w*t B sin w*t )

Ce t cos( w*t ),
C A2 B 2 , tan B
A
Underdamping

Page 45
Euler-Cauchy Equation

Euler-Cauchy Equation

x y axy by 0
2

Sol : Substitute y x m , y mx m 1 , y m( m 1) x m 2
x 2 m( m 1) x m 2 axmxm 1 bx m 0
m( m 1) x m amx m bx m 0
The Auxiliary Equation

m (a 1)m b 0
2

Page 46
Euler-Cauchy Equation

Case 1: Distinct Real Roots m1, m2

y c1 x m1
c2 x m2

Example 3-5: x 2 y 2.5xy 2.0 y 0

Sol : Auxiliary Equation
m 2 3.5m 2 0
m 0.5, 4
y c1 x 0.5 c2 x 4
Page 47
Euler-Cauchy Equation

Case 2: Double Roots m=(1-a)/2

y (c1 c2 ln x ) x m

Page 48
Euler-Cauchy Case 2 :Example
Example x 2 y 3xy 4 y 0

Sol : Auxiliary Equation

m 4m 4 0
2

m 2, 2
y ( c1 c2 ln x ) x 2

Page 49
Euler-Cauchy Equation

Case 3: Complex Roots m = a bi

y x A cos(b ln x ) B sin( b ln x )
a

Page 50
Euler-Cauchy Case 3 :Example
Example x y 7 xy 13 y 0
2

Sol : Auxiliary Equation

m 6m 13 0
2

m 3 2i
y x 3
A cos( 2 ln x ) B sin( 2 ln x )

Page 51
Existence and Uniqueness Theory

y p ( x ) y q( x ) y 0 (1)
y c1 y1 c2 y2 (2)
y ( x0 ) k0 , y ' ( x0 ) k1 (3)

If p(x) and q(x) are continuous function on some

open interval and x0 is in , then the initial value
problem consisting of (1) and (3) has a unique
solution y(x) on the interval .

Page 52
Wronskian

A set of n functions y1(x), y2(x), , yn(x),

is said to be linearly dependent over
an interval I if there exist n constants
c1, c2, , cn, not all zero, such that

c1 y1 ( x ) c2 y2 ( x ) cn yn ( x ) 0
Otherwise the set of functions is said to
be linearly independent
Page 53
Wronskian
A set of n functions y1(x), y2(x), , yn(x), is
linearly independent over an interval I if and
only if the determinant (Wronski determinant, or
Wronskian)
y1 y2 yn
y1 y2 yn
W ( y1 , y2 ,, yn )

y1( n ) y2( n ) yn( n )
0
Page 54
Wronskian

Example 3-8: cos x, sin x

Sol:
cos x sin x
W (cos x, sin x )
sin x cos x
cos2 x sin 2 x
1 0
cosx, sinx are linearly independent
Page 55
Linear Dependence and
Independence of Solution
Suppose that (1) has continuous coefficients
p(x) and q(x) on an open interval . Then two
solutions y1 and y2 of (1) on are linear
dependent on if and only if their Wronskian
W is zero at some x0 in .
Furthermore, if W=0 for x= x0, then W=0 on
; hence if there is an x1in at which W is not
zero, then y1 ,y2 are liner independent on .

Page 56
Illustration of Theorem 2

Example 1

y1 coswx, y2 sinwx
y " w 2 y 0

Example 2

y"2 y ' y 0,
y ( c1 c2 x )e x

Page 57
A General Solution of (1) includes All
Solutions
y p ( x ) y q( x ) y 0 (1)
Theorem 3 (Existence of a general solution)
If p(x) and q(x) are continuous on an open interval , then (1)
has a general solution on .
Theorem 4 (General solution)
Suppose that (1) has continuous coefficients p(x) and q(x) on
some open interval . Then every solution y=Y(x) of (1) is of the
form
Y c1 y1 ( x) c2 y2 ( x)

where y1 , y2 form a basis of solutions of (1) on and c1, c2 are

suitable constants. Hence (1) does not have singular solutions
(I.e., solutions not obtainable from a general solution)

Page 58
Nonhomogeneous Equations

y p ( x ) y q( x ) y r ( x ) (1)
y p ( x ) y q( x ) y 0 ( 2)

Theorem
(a) The difference of two solutions of (1)
on some open interval is a solution of (2)
on
(b) The sum of a solution of (1) and a
solution of (2) on is a solution of (1) on

Page 59
y p ( x ) y q( x ) y r ( x ) (1)
y p ( x ) y q( x ) y 0 ( 2)

A general solution of the nonhomogeneous equation

(1) on some open interval is a solution of the form
y ( x ) yh ( x ) y p ( x ) (3)

where yh(x)=c1y1(x)+c2y2(x) is a general solution of

the homogeneous equation (2) on and yp(x) is any
solution of (1) on containing no arbitrary constants.
A particular solution of (1) on is a solution obtain
from (3) by assigning specific values to the arbitrary
constants c1 and c2 in yh(x).

Page 60
Practical Conclusion

To solve the nonohomegeneous equation (1)

or an initial value problem for (1) , we have
to solve the homogeneous equation (2) and
find any particular solution yp of (1)

y p ( x ) y q( x ) y r ( x ) (1)
y p ( x ) y q( x ) y 0 ( 2)

Page 61
Initial value problem for a
nonhomogeneous equation
Example

y"2 y '101 y 10.4e x

y (0) 1.1, y ' (0) 0.9

Page 62
Solution by Undetermined
Coefficients
Method of Undetermined Coefficients

y ay by r ( x )

General Solution: y = y h + yp
yh : Homogeneous Solution
yp : Particular Solution
Page 63
Solution by Undetermined
Coefficients
r (x ) yp
nx nx
ke ke
kx n Kn xn Kn1xn1 K1x K0
k cos x K1 cos x K 2 sin x
k sin x K1 cos x K 2 sin x
ke cos x e ( K1 cos x K 2 sin x )
nx nx

ke sin x e ( K1 cos x K 2 sin x )

nx nx

Page 64
Rules for the Method of
Undetermined Coefficients
Basic Rule
Modification Rule
Sum Rule

Page 65
Solution by Undetermined
Coefficients


Example 3-9: y 4 y 8 x , Find y p
2

Sol:
y p K 2 x K1 x K 0
2

y p 2 K 2
2 K 2 4( K 2 x 2 K1 x K 0 ) 8 x 2
4 K 2 x 4 K1 x ( 2 K 2 4 K 0 ) 8 x
2 2

K 2 2, K1 0, K 0 1
y p 2 x2 1
Page 66
Example for Modification Rule

Example 1: in the case of a simple root

y 3 y'2 y e , Find y p
x

Example 2: in the case of a double root

y 2 y ' 1 e x ,
y (0) 1, y ' (0) 1

Example 3: sum rule.

y 2 y '5 y 1.25e0.5 x 40 cos 4 x 55 sin 4 x,
y (0) 0.2, y ' (0) 60.1
Page 67
Second-Order Non-homogeneous
Linear Equations
Method of Variation of Parameters

y p( x ) y q( x ) y r ( x )
Particular Solution:
y2 r y1r
y p ( x ) y1 dx y2 dx
W W
y1, y2 : Homogeneous Solutions
W : Wronskian of y1 and y2
Page 68
Second-Order Non-homogeneous
Linear Equations


Example 3-10: y 4 y 8 x , Find y p
2

Sol: y1 cos 2 x, y2 sin 2 x

cos 2 x sin 2 x
W 2
2 sin 2 x 2 cos 2 x
y2 r yr
y p y1 dx y2 1 dx
W W
8 x 2 sin 2 x 8 x 2 cos 2 x
cos 2 x dx sin 2 x dx
2 2

cos 2 x 2 x 2 cos 2 x 4 x cos 2 xdx sin 2 x 2 x 2 sin 2 x 4 x sin 2 xdx

cos 2 x 2 x 2 cos 2 x 2 x sin 2 x cos 2 x

sin 2 x 2 x 2 sin 2 x 2 x cos 2 x sin 2 x
2 x2 1
Page 69
Higher Order Linear Differential
Equations
Higher Order Homogeneous Linear ODE

y ( n ) pn 1 ( x ) y ( n 1) p1 ( x ) y p0 ( x ) y 0

If y1, y2, , yn are the solutions of

y (n)
pn 1 ( x ) y ( n 1)
p1 ( x ) y p0 ( x ) y 0

y = c1y1+ c2y2 + + cnyn will be the general

solution
Page 70
Higher Order Linear Differential
Equations
Higher Order Nonhomogeneous Linear ODE

y ( n ) pn 1 ( x ) y ( n 1) p1 ( x ) y p0 ( x ) y r ( x )

General Solution: y = y h + yp
yh : Homogeneous Solution
yp : Particular Solution
Page 71