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This document provides a summary of key topics covered in the course "Ordinary Differential Equations". It begins with an overview of solving linear ODEs, including reduction of order, computing matrix exponentials, and higher order scalar ODEs. It also discusses non-constant coefficients, the method of Wronski, stability of equilibria, linearization, and the method of Lyapunov. Key terminology is defined. The document is organized into two parts, with part one focusing on solving linear ODEs and part two on stability analysis of systems.

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106 views8 pages

216

This document provides a summary of key topics covered in the course "Ordinary Differential Equations". It begins with an overview of solving linear ODEs, including reduction of order, computing matrix exponentials, and higher order scalar ODEs. It also discusses non-constant coefficients, the method of Wronski, stability of equilibria, linearization, and the method of Lyapunov. Key terminology is defined. The document is organized into two parts, with part one focusing on solving linear ODEs and part two on stability analysis of systems.

Uploaded by

hmalrizzo469
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
You are on page 1/ 8

Course 216: Ordinary Dierential Equations

Notes by Chris Blair


These notes cover the ODEs course given in 2007-
2008 by Dr. John Stalker.
Contents
I Solving Linear ODEs 2
1 Reduction of Order 2
2 Computing Matrix Exponentials 2
3 Higher Order Scalar ODEs 4
4 Non-constant Coecients 4
5 Method of Wronski 5
II Stability 6
6 Non-linear ODEs 6
7 Equilibria and Stability 6
8 Linearisation 8
9 Method of Lyapunov 8
Terminology
Scalar equation A single ODE.
System of equations Several ODEs.
Order The order of an ODE is the order of the highest derivative appearing in it.
Linear / Non-linear A linear ODE is an ODE that is linear, etc.
Homogeneous / Inhomogeneous Homogeneous means no constant terms present. Inhomo-
geneous means constant terms are present.
1
Invariants An invariant of a system of ODEs is a function of the dependent and independent
variables and their derivatives which is constant for any solution of the equation. They can be
used to place bounds on solutions.
Part I
Solving Linear ODEs
1 Reduction of Order
Any higher order ODE or system of ODEs can be reduced to a system of rst order ODEs
by introducing new variables to replace the derivatives in the original equation/system.
For example, the third order equation
c
1
x

(t) + c
2
x

(t) + c
3
x

(t) + c
4
x(t) = 0
can be reduced to a rst order system using the following set of substitutions:
x
1
= x, x
2
= x

, x
3
= x

giving:
x

1
= x
2
, x

2
= x
3
, x

3
=
c
4
c
1
x
1

c
3
c
1
x
2

c
2
c
1
x
3
We can write this in matrix form:
_
_
x

1
x

2
x

3
_
_
=
_
_
0 1 0
0 0 1

c
4
c
1

c
3
c
1

c
2
c
1
_
_
_
_
x
1
x
2
x
3
_
_
Hence, any ODE or system of ODEs can be written in the following matrix form:
x

(t) = A(t)x(t)
which has solution:
x(t) = exp(tA) x(0)
2 Computing Matrix Exponentials
The exponential of the matrix tA is given by:
exp(tA) =

n=0
1
n!
t
n
A
n
For a diagonal matrix,
exp
_
_
_
_
_
a 0 . . . 0
0 b . . . 0
.
.
.
.
.
.
0 . . . 0 n
_
_
_
_
_
=
_
_
_
_
_
exp(a) 0 . . . 0
0 exp(b) . . . 0
.
.
.
.
.
.
0 . . . 0 exp(n)
_
_
_
_
_
2
Given two matrices A and B then
exp(A + B) = exp(A)exp(B)
if AB = BA. Note that any scalar multiple of the identity commutes with all matrices.
2 by 2 Matrices
A =
_
a b
c d
_
=
_
a+d
2
0
0
a+d
2
_
+
_
ad
2
b
c
da
2
_
= B + C
and we have BC = CB so that exp(B+C) = expB expC. Letting =
a+d
2
, we then have
exp(tA) = exp(tB) exp(tC)
exp(tA) =
_
exp(t) 0
0 exp(t)
_
exp(tC)
Now, the discriminant of A is
=
_
trA
_
2
4 detA
and C
2
=

4
I. This leads to three cases:
i) = 0, then
exp(tC) = I + tC
ii) < 0, then
exp(tC) = cos
_
t

2
_
I +
sin(
t

2
)

2
C
iii) > 0, then
exp(tC) = cosh
_
t

2
_
I +
sinh(
t

2
)

2
C
n n Matrices
Every n by n matrix A is similar to its Jordan form J, which can be written as the sum of
a diagonal and a nilpotent matrix, J = D + N. We have
A = PJP
1
exp(tA) = P exp(tJ) P
1
exp(tA) = P exp(tD) exp(tN) P
1
The Jordan form J has the eigenvalues of A on the diagonal, and some ones below the
diagonal, depending on whether the eigenvalues are distinct. The columns of the matrix
P are the eigenvectors of A. The entries of P can also be found once you know J, using
AP = PJ.
The exponential of the nilpotent matrix N is computed directly using the exponential
formula.
Note that in the case of a higher order scalar equation, we only need the rst row of P, as
we are just looking for x(t).
3
3 Higher Order Scalar ODEs
Consider a higher order scalar ODE,
c
n
d
n
x
dt
n
+ . . . + c
2
d
2
x
dt
2
+ c
1
dx
dt
+ c
0
x = 0
which we can write as
p
_
d
dt
_
x = 0
where p is the polynomial
p(s) = c
n
s
n
+ . . . + c
2
s
2
+ c
1
s + c
0
= 0
which has roots
i
.
A basis for the solution space is then
_
exp(
1
t), t exp(
1
t), . . . , t
r
1
1
exp(
1
t), . . . , exp(
k
t), . . . , t
r
k
1
exp(
k
t)
_
where the
i
are the individual roots of the equation and r
i
is the multiplicity of the i
th
root.
In the inhomogeneous case, we have p(
d
dt
)x = f, and have the special case where f itself
satises some dierential equation q(
d
dt
)f = 0. Hence
q
_
d
dt
_
p
_
d
dt
_
x = 0
and we can form a basis for the solution space using the roots of r(s) = q(s)p(s). It is
then possible to evaluate the coecients of the particular solution to the inhomogeneous
equation by evaluating p(
d
dt
)x = f
4 Non-constant Coecients
Homogeneous Scalar Equations
The homogeneous equation
x

(t) = a(t)x(t)
has unique solution:
x(t) = x(0) exp
__
t
0
a(s)ds
_
4
Inhomogeneous Scalar Equations
The inhomogeneous equation
x

(t) = a(t)x(t) + f(t)


has unique solution:
x(t) = x(0) exp
__
t
0
a(s)ds
_
+
_
t
0
exp
__
t
s
a(r)dr
_
f(s)ds
Systems
The equation
x

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

f(t)
has unique solution:
x(t) = W(t)x(0) +
_
t
0
W(t)W
1
(s)

f(s)ds
where W(t) satises the matrix initial value problem
W

(t) = A(t)W(t), W(0) = I


5 Method of Wronski
Consider a second order scalar linear homogeneous ODE:
p(t)x

(t) + q(t)x

(t) + r(t)x(t) = 0 (1)


which has a two-dimensional solution space.
We dene
w(t) = x
1
(t)x

2
(t) x

1
(t)x
2
(t)
giving
p(t)w

(t)+q(t)w(t) = x
1
(t)
_
p(t)x

2
(t)+q(t)x

2
(t)+r(t)x
2
(t)
_
x
2
(t)
_
p(t)x

1
(t)+q(t)x

1
(t)+r(t)x
1
(t)
_
so if x
1
, x
2
solve (1) then w(t) solves
p(t)w

(t) + q(t)w(t) = 0 (2)


Hence, if we have x
1
a solution to (1) and w a solution to (2), we can then nd x
2
such
that x
2
is a solution to (1), and is linearly independent to x
1
.
5
Then, given (1) and x
1
:
w(t) = w(0) exp
_

_
t
0
q(s)
p(s)
ds
_
and as
d
dt
_
x
2
(t)
x
1
(t)
_
=
w(t)
x
2
1
(t)
,
x
2
(t)
x
1
(t)
=
x
2
(0)
x
1
(0)
+
_
t
0
w(s)
x
1
(s)
2
ds
The general solution is then any linear combination of x
1
and x
2
:
x(t) = c
1
x(t) + c
2
x
2
(t)
Part II
Stability
6 Non-linear ODEs
Non-linear ODEs
A non-linear ODE is of the form
x

(t) =

F
_
x(t), t
_
Autonomous Systems
An autonomous system is of the form
x

(t) =

F
_
x(t)
_
7 Equilibria and Stability
Equilibria
An equilibrium of an autonomous system x

(t) =

F
_
x(t)
_
is a c such that

F(c) = 0
i.e. the equilibria of a system are the zeros of

F.
Stability
An equilibrium c is said to be stable if > 0, > 0 such that if
|| x(0) c ||
then
|| x(t) c ||
for all positive t.
6
Asymptotic Stability
An equilibrium c is said to be asymptotically stable if > 0 such that
|| x(0) c || lim
t
x(t) = c
Strict Stability
An equilibrium c is said to be strictly stable if it is both stable and asymptotically stable.
Stability and Invariants
If c is an equilibrium of an autonomous system and E is a continuously dierentiable
invariant of the system which has a strict local minimum at c, then c is stable but not
asymptotically stable.
Stability of Linear Constant Coecient First Order Systems
These are systems
x

(t) = Ax(t)
with solution
x(t) = exp(tA)x(0) = P exp(tJ)P
1
x(0)

0 is always an equilibrium, and each equilibrium is stable/asymptotically stable if and only


if

0 is stable/asymptotically stable.
We can determine the stability of the system by considering the real parts of the eigenvalues
of A:
Real Parts Stable Asymptotically Stable
all < 0 Yes Yes
all 0, Yes No
geometric multiplicity = algebraic multiplicity for all imaginary eigenvalues
all 0, No No
geometric multiplicity < algebraic multiplicity for some imaginary eigenvalue
some > 0 No No
In the 2 by 2 case, then if trace A < 0 and det A 0, then

0 is strictly stable. If trace
A 0 and det A 0 then

0 is stable. Otherwise it is not stable or asymptotically stable.
In the scalar high order case where p(
d
dt
)x = 0, p(s) a polynomial, if all roots of p(s) = 0
have negative real parts, then we have strict stability. If all roots have non-positive real
parts, and all imaginary roots have multiplicity one, then we have stability but not strict
stability. Otherwise, neither stability nor asymptotic stability.
7
8 Linearisation
The linearisation of an autonomous system x

(t) =

F
_
x(t)
_
about an equilibrium c is the
matrix A dened by
a
jk
=
F
j
x
k
(c)
If all eigenvalues of A have negative real parts, then c is strictly stable.
If some eigenvalue of A has positive real part, then c is neither stable nor asymptotically
stable.
Otherwise, we learn nothing.
9 Method of Lyapunov
Lyapunov Function
A Lyapunov function for the equilibrium c of an autonomous system is a continuously
dierentiable function V with a strict local minimum at c such that

j
V
x
j
F
j
0
Strict Lyapunov Function
A strict Lyapunov function is a Lyapunov function satisfying

j
V
x
j
F
j
r
_
V (x) V (c)
_
for some positive r.
An equilibrium c is stable if it admits a Lyapunov function, and strictly stable if it admits
a strict Lyapunov function.
8

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