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Second-Order Differential Equations: A Second-Order Differential Equation Is Called Linear If It Can Be Written

EE2092 Course Notes on solving second-order linear differential equations with constant coefficients, including the homogeneous solution and the nonhomogeneous solution using the method of undetermined coefficients and method of variation of parameters.

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0% found this document useful (0 votes)
143 views33 pages

Second-Order Differential Equations: A Second-Order Differential Equation Is Called Linear If It Can Be Written

EE2092 Course Notes on solving second-order linear differential equations with constant coefficients, including the homogeneous solution and the nonhomogeneous solution using the method of undetermined coefficients and method of variation of parameters.

Uploaded by

Aaron Mueller
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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_______________________________________________________________

9/30/2014 Chapter 4 Second-Order Differential Equations 4-1


Chapter 4
Second-Order Differential
Equations
A second-order differential equation is called linear
if it can be written
) ( ) ( ) (
2
2
x r y x q
dx
dy
x p
dx
y d
= + +
where p(x), q(x) and r(x) can be any given functions
of x.
If r(x) = 0 0 ) ( ) (
2
2
= + + y x q
dx
dy
x p
dx
y d
is called homogeneous.
If r(x) = 0 ) ( ) ( ) (
2
2
x r y x q
dx
dy
x p
dx
y d
= + +
is called non-homogeneous.
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-2
Contents
1
L denotes Linear Differential Eq.
C denotes Constant-coefficient Linear Differential Eq.
Solving The Homogeneous Equations
Distinct, Real Roots L,C
1
Equal Roots L,C
Complex Conjugate Roots L,C
Wronskian Test For Linear Independence L

Solving For A Particular Solution
Solution By Undetermined Coefficients L,C
Solution By Variation of Parameters L
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-3
Second-Order Homogeneous
Equations: Constant
Coefficients
In this section, we are interested in solving
homogeneous equations of the form
0
2
2
= + + by
dx
dy
a
dx
y d
where coefficients a and b are constants. Recall that
in the first-order case,
has a solution of the form
0 = + ky
dx
dy
kx
e y

=
To solve Eq. (4.1), let us try, as a possible solution,
(4.1)
x
e y

=
Substituting Eq. (4.2) and its derivatives
x x
e
dx
y d
e
dx
dy

= =
2
2
2
(4.2)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-4
( ) 0
0
2
2
= + +
= + +


b a e
be e a e
x
x x x
Into Eq. (4.1)
Hence, Eq. (4.2) satisfies Eq. (4.1) if is a solution
of the quadratic equation
0
2
= + + b a
which is known as the characteristic equation.
Let
1
and
2
be the roots of the characteristic eq.
2
4
2
2 , 1
b a a
=
and the two solutions to the 2
nd
order homogeneous
Eq. (4.1) are
x x
e y e y
2 1
2 1
and

= =
You may verify this by substituting each solution and
its derivative into Eq. (4.1)
(4.3)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-5
From Eq. (4.3), three possible cases may arise,
depending on the sign of the discriminant a
2
4b.
Case 1: Two distinct, real roots if a
2
4b > 0
Case 2: Equal, real roots if a
2
4b = 0
Case 3: Two complex conjugate roots if a
2
4b < 0
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-6
Two Distinct, Real Roots
In this case,
x x
e y e y
2 1
2 1
and

= =
x x
Be Ae y
2 1

+ =
constitute a basis of solutions of Eq. (4.1) and the
general solution is
To solve
0
2
2
= + + by
dx
dy
a
dx
y d
0
2
= + + b a
The characteristic equation is
For real, distinct roots,
2
4
2
2 , 1
b a a
=
0 4
2
> b a
(4.1)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-7
Example 1: Solve the initial value problem
5 ) 0 ( , 4 ) 0 ( , 0 2
2
2
=
'
= = + y y y
dx
dy
dx
y d
The characteristic equation is given by
1 or 2
0 ) 1 )( 2 (
0 2
2
=
= +
= +
The general solution:
x x
Be Ae y + =
2
Putting in the initial conditions:
5 2
| 2 ) 0 (
4 ) 0 (
0
2
= + =
+ =
'
= + =
=

B A
Be Ae y
B A y
x
x x
Solving, A = 3 and B = 1. Therefore the solution is
x x
e e y + =
2
3
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-8
Example 2: Solve the boundary value problem
0 ) 1 ( , 4 ) 0 ( , 0 4 3
2
2
= = = y y y
dx
dy
dx
y d
The characteristic equation is given by
4 or 1
0 ) 4 )( 1 (
0 4 3
2
=
= +
=
The general solution:
x x
Be Ae y
4
+ =

4 1
1
4 1
4
4 1
4 4
Solving
0 ) 1 (
4 ) 0 (
e e
e
B
e e
e
A
Be Ae y
B A y

=
= + =
= + =

Putting in the boundary conditions


_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-9
Equal Roots
In this case, one solution is
x
e y

=
1
( )
x
x x
e Bx A
Bxe Ae y


+ =
+ =
To obtain a second independent solution, let
x
xe xy y

= =
1 2
You may proof that y
2
= xe
x
is also a solution by
substituting y
2
and its derivatives into Eq. (4.1).

Since y
1
= e
x
and y
2
= xe
x
are independent (we will
prove this later) they form the basis for the general
solution, which is
To solve
0
2
2
= + + by
dx
dy
a
dx
y d
0
2
= + + b a
The characteristic equation is
For equal roots,
2 2
4
2
a b a a
=

=
0 4
2
= b a
(4.1)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-10
Example 3: Solve
0 16 8
2
2
= + + y
dx
dy
dx
y d
The characteristic equation is given by
roots) double (Equal, 4
0 ) 4 (
0 16 8
2
2
=
= +
= + +
Hence the basis is
( )
x
e Bx A y
4
+ =
x x
xe e
4 4
and

and the general solution is
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-11
Example 4: Solve the initial value problem
1 ) 0 ( , 3 ) 0 ( , 0 4 4
2
2
=
'
= = + y y y
dx
dy
dx
y d
The characteristic equation is given by
2
0 ) 2 (
0 4 4
2
2
=
=
= +
The general solution:
x
e Bx A y
2
) ( + =
5 1 ) ( 2 ) 0 (
3 ) 0 (
= = + =
'
= =
B A B y
A y
Putting in the boundary conditions
By differentiating
x x
e Bx A Be y
2 2
) ( 2 + + =
'
Therefore the solution is
x
e x y
2
) 5 3 ( =
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-12
) sin( ) cos(
) sin( ) cos(
formula Euler g Usin
) (
) (
nx i nx e
nx i nx e
nx i
nx i
=
+ =
Complex, Conjugate Roots
To solve
0
2
2
= + + by
dx
dy
a
dx
y d
0
2
= + + b a
The characteristic equation is
For complex roots,
0 4
2
< b a
1 = i
The general solution is
( ) | |
| | nx D C i nx D C e
nx i nx D nx i nx C e
e De e Ce
De Ce
De Ce y
mx
mx
inx mx inx mx
x in m x in m
x x
sin ) ( cos ) (
) sin (cos sin cos
) ( ) (
2 1
+ + =
+ + =
+ =
+ =
+ =

+

in m
a b
i
a
b a a
=

=

=
2
4
2
2
4
2
2
2 , 1
| | nx B nx A e y
mx
sin cos + =
(4.1)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-13
Example 5: Solve the boundary value problem
1 )
4
( , 1 ) 0 ( , 0 5 2
2
2
=
t
= = + + y y y
dx
dy
dx
y d
The characteristic equation is given by
i 2 1
0 5 2
2
=
= + +
The general solution:
) 2 sin 2 cos ( x B x A e y
x
+ =

4 4
1
2
sin
2
cos
4
1 1 0 sin 0 cos ) 0 (
t t
= =
|
.
|

\
|
t
+
t
=
|
.
|

\
|
t
= = + =
e B B A e y
A B A y
Putting in the boundary conditions
Therefore the solution is
) 2 sin 2 (cos
4
x e x e y
x t
+ =
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-14
Wronskian Test For
Linear Independence of
Solutions
Consider
0 ) ( ) (
2
2
= + + y x q
dx
dy
x p
dx
y d
Suppose p(x) and q(x) are continuous functions of x
on some interval I, the Wronskian Test is used to
test the independence of the solutions y
1
and y
2
. The
Wronskian is defined
( )
dx
dy
y
dx
dy
y
dx
dy
dx
dy
y y
y y W
1
2
2
1 2 1
2 1
2 1
, = =
Note:
1. Two solutions y
1
and y
2
are linearly
independent (and hence is a basis for the
solution of Eq. (1)), if for some x in interval I,
the Wronskian W = 0.
2. Conversely, y
1
and y
2
are linearly dependent if
and only if W = 0 for some x in I.
3. If W = 0, for some x in I, W 0 on I.
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-15
Example 6:
0
2
2
2
= + y w
dx
y d
iw
w
=
= + 0
2 2
The two solutions are:
wx y wx y sin cos
2 1
= =
The characteristic equation is given by
We want to check for independence of the two
solutions
( )
w
wx wx w
wx w wx w
wx wx
dx
wx d
dx
wx d
wx wx
wx wx W
=
+ =

=
=
) sin (cos
cos sin
sin cos
sin cos
sin cos
sin , cos
2 2
Hence the two solutions are linearly independent on
any interval when w = 0.
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-16
We are now interested in solving nonhomogeneous
equations of the form
) (
2
2
x r by
dx
dy
a
dx
y d
= + +
where r(x) = 0 and coefficients a and b are constants.
The corresponding homogeneous equation is
Nonhomogeneous Equations
0
2
2
= + + by
dx
dy
a
dx
y d
To solve the nonhomogeneous Eq. (4.4), we have to
solve the homogeneous equation Eq. (4.5) and then
find any particular solutions y
p
of Eq. (4.4).
) ( ) ( ) ( x y x y x y
p h
+ =
where y
h
(x) is a general solution of the homogeneous
equation Eq. (4.5).
(4.4)
(4.5)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-17
Example 7: Solve the initial value problem
3 ) 0 ( , 1 ) 0 ( 10 3 4
2
2
2
=
'
= = +

y y e y
dx
dy
dx
y d
x
3 or 1
0 3 4
2
=
= +
First, solve the homogeneous equation.The
characteristic equation is given by
The general solution to the homogeneous equation is
x x
h
Be Ae y
3
+ =
Next, we find a particular solution to the
nonhomogeneous equation. Noting that the RHS is of
the form e
2x
, we try
x
p
Ce y
2
=
Find derivatives
x
p
x
p
Ce
dx
y d
Ce
dx
dy
2
2
2
2
4
2

=
=
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-18
Substituting y
p
and its derivatives into the
nonhomogeneous eq.
x
p
x
x x
x x x x
e y
C e
e Ce
e Ce Ce Ce
2
2
2 2
2 2 2 2
3
2
Therefore
3
2
0
10 15
10 3 8 4



=
= =
=
= + +

The general solution is given by


x x x
p h
e Be Ae
y y y
2 3
3
2

+ + =
+ =
Putting in the initial conditions:
3
3
4
3
|
3
4
3 ) 0 (
1
3
2
) 0 (
0
2 3
= + =
+ =
'
= + + =
=

B A
e Be Ae y
B A y
x
x x x
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-19
Solving,
1 ,
3
4
= = B A
The general solution is
x x x
p h
e e e
y y y
2 3
3
2
3
4

+ =
+ =
Note: The arbitrary constants A and B are solved
only after the general solution y = y
h
+ y
p
is found.
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-20
Solution By Undetermined
Coefficients
This approach is to find the particular solution if the
RHS r(x) is of simple form. Given
) (
2
2
x r by
dx
dy
a
dx
y d
= + +
where a and b are constants, the following rules
apply.
Rule 1: Choose the form of the particular solution
y
p
(x) according to the table given below.
If r(x) equals Choose y
p
(x) equals
x
ke
x
Ce

n
kx
n n
n n
C x C x C x C + + + +

1
1
2 1

)
`

e
e
x k
x k
sin
cos
x D x C e + e sin cos

e
e
o
o
x ke
x ke
x
x
sin
cos
) sin cos ( x D x C e
x
e + e
o
(4.4)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-21
Rule 2: If the choice of y
p
(x) is one of the solutions of
the homogeneous part, multiply y
p
(x) by x (see
Example 9 and 10).
Rule 3: If r(x) is a sum of expressions of the first
column, then let y
p
(x) be the sum of the corresponding
expressions in the second column.
Example 8: Solve
2
2
2
8 4 x y
dx
y d
= +
i 2
0 4
2
=
= +
First, solve the homogeneous equation.The
characteristic equation is given by
The general solution to the homogeneous equation is
x B x A y
h
2 sin 2 cos + =
To find a particular solution, we refer to Rule 1 of
Table. Let
3 2
2
1
C x C x C y
p
+ + =
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-22
Find derivatives
1
2
2
2 1
2
2
C
dx
y d
C x C
dx
dy
p
p
=
+ =
Substituting y
p
and its derivatives into the
nonhomogeneous eq.
( )
1 , 0 , 2
cients, coeffi Comparing
8 4 2
3 2 1
2
3 2
2
1 1
= = =
= + + +
C C C
x C x C x C C
1 2
2
= x y
p
1 2 2 sin 2 cos
2
+ + =
+ =
x x B x A
y y y
p h
The particular solution is
and the general solution is
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-23
Example 9: (Demonstrating Rule 2) Solve
x
e y
dx
dy
dx
y d
= + 2 3
2
2
2 or 1 =
The roots of the characteristic equation is given by
Hence
x x
h
Be Ae y
2
+ =
To find a particular solution, Rule 1 suggests that we
let y
p
= Ce
x
. But we see that e
x
is a solution of the
homogeneous equation. Hence, by Rule 2, let
x
p
Cxe y =
Find derivatives
( ) ( )
x x
p
x x
p
e xe C
dx
y d
e xe C
dx
dy
2 ,
2
2
+ = + =
Substitution gives
( )
x x x x
e Cxe e x C e x C = + + + 2 1 3 ) 2 (
x x x
xe Be Ae y + =
2
Comparing coefficients of e
x
, a general solution is
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-24
Example 10: (Demonstrating Rule 2) Solve
x
e y
dx
dy
dx
y d

= + + 2
2
2
The characteristic equation has a double root = 1
and the solution to the homogeneous equation is
( )
x
h
e Bx A y

+ =
We need y
p
. Rule 1 suggests that we let y
p
= Ce
-x
. But
we see that e
x
is a solution of the homogeneous
equation. Hence, we let y
p
= Cxe
x
. Again, this is a
solution of homogeneous equation. Finally, by Rule
2, we let y
p
= Cx
2
e
-x
.
Find derivatives
( ) ( )
( ) ( ) ( )
( )
x
x x
p
x x x
p
e x x C
e x e x x C
dx
y d
e x x C xe e x C
dx
dy



+ =
+ =
= + =
2 4
2 2 2
2 2
2
2
2
2
2 2
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-25
Substitution gives
2 1
2
) 2 ( 2 ) 2 4 (
2 2 2
=
=
= + + +


C
e Ce
e e Cx e x x C e x x C
x x
x x x x
( )
x x
e x e Bx A y

+ + =
2
2
1
The general solution is
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-26
Solution By Variation Of
Parameters
We have ) ( ) ( ) (
2
2
x r y x q
dx
dy
x p
dx
y d
= + +
with arbitrary functions p, q and r that are continuous
on some interval I. Let y
1
and y
2
be two independent
solutions (their Wronskian = 0) of the homogeneous
equation
0 ) ( ) (
2
2
= + + y x q
dx
dy
x p
dx
y d
Then, the particular solution y
p
(x) can be expressed
in the form
) ( ) ( ) ( ) ( ) (
2 1
x y x v x y x u x y
p
+ =
where u(x) and v(x) satisfy the constraints:
) (
0
2 1
2 1
x r
dx
dy
dx
dv
dx
dy
dx
du
y
dx
dv
y
dx
du
= +
= +
(4.4)
(4.5)
(4.6)
(4.7)
(4.8)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-27
(

=
(
(

(
(

r
dx
dv
dx
du
dx
dy
dx
dy
y y
0
2 1
2 1
Notice that Eq. (4.7) and (4.8) form 2 simultaneous
equations on du/dx and dv/dx. Both equations can be
expressed as a single matrix equation as
u(x) and v(x) can be solved as follows. Let
r
dx
dy
y
W
dx
dy
r
y
W
dx
dy
dx
dy
y y
W
1
1
2 2
2
1
2 1
2 1
0 0
= =
=
Using Cramers rule, the solution to Eq. (4.9) is
(
(
(

=
(
(
(

W
W
W
W
dx
dv
dx
du
2
1
(4.9)
(4.10)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-28
Integrating,
(
(
(

}
}
=
(

dx
W
W
dx
W
W
v
u
2
1
The particular solution is
}
+
}
=
+ =
dx
W
W
x y dx
W
W
x y
x y x v x y x u x y
p
2
2
1
1
2 1
) ( ) (
) ( ) ( ) ( ) ( ) (
(4.11)
(4.12)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-29
Proof: Given
If y
1
and y
2
are two independent solutions of the
homogeneous equation, let the particular solution be
) ( ) ( ) (
2
2
x r y x q
dx
dy
x p
dx
y d
= + +
) ( ) ( ) ( ) ( ) (
2 1
x y x v x y x u x y
p
+ =
Differentiating
|
.
|

\
|
+ +
|
.
|

\
|
+ =
dx
dv
y
dx
dy
v
dx
du
y
dx
dy
u
dx
dy
p
2
2
1
1
Let us impose a constraint of
0
2 1
= +
dx
dv
y
dx
du
y Constraint Eq. (4.7)
Substituting into Eq. (4.14),
dx
dy
v
dx
dy
u
dx
dy
p
2 1
+ =
(4.4)
(4.13)
(4.14)
(4.15)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-30
Differentiating again,
2
2
2
2
2
1
2
1
2
2
dx
y d
v
dx
dy
dx
dv
dx
y d
u
dx
dy
dx
du
dx
y d
p
+ + + =
Substituting Eq. (4.13), (4.15) and (4.16) into (4.4),
and collecting terms
r
dx
dy
dx
dv
dx
dy
dx
du
qy
dx
dy
p
dx
y d
v qy
dx
dy
p
dx
y d
u
= + +
(
(

+ + +
(
(

+ +
2 1
2
2
2
2
2
1
1
2
1
2
The terms in the square brackets are zero because y
1

and y
2
are solutions of the homogeneous equation. So
Eq. (4.17) becomes
r
dx
dy
dx
dv
dx
dy
dx
du
= +
2 1
which is the second constraint, Eq. (4.8). (Proved)
(4.16)
(4.17)
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-31
Example 11: Solve
x y
dx
y d
sec
2
2
= +
The characteristic equation is
x B x A y
h
sin cos + =
i =
=
= +
1
0 1
2
2
and the solution to the homogeneous equation is
Hence, let
x y x y sin , cos
2 1
= =
x
dx
dy
x
dx
dy
cos , sin
2 1
= =
(

=
(
(

x
dx
dv
dx
du
x x
x x
sec
0
cos sin
sin cos
Then
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-32
1 sec cos
sec sin
0 cos
0
tan sin sec
cos sec
sin 0
0
1 sin cos
cos sin
sin cos
1
1
2
2
2
1
2 2
2 1
2 1
= =

= =
= = = =
= + =

= =
x x
x x
x
r
dx
dy
y
W
x x x
x x
x
dx
dy
r
y
W
x x
x x
x x
dx
dy
dx
dy
y y
W
Let
1
tan
2
1
= =
= =
W
W
dx
dv
x
W
W
dx
du
Integrating
x dx v
x x d
x
dx
x
x
xdx u
= =
= =
= =
}
}
} }
1
cos ln ) (cos
cos
1
cos
sin
tan
Solving the simultaneous equations,
_______________________________________________________________
9/30/2014 Chapter 4 Second-Order Differential Equations 4-33
Therefore,
x x x x
x y x v x y x u y
p
sin cos ln cos
) ( ) ( ) ( ) (
2 1
+ =
+ =
x x x x x B x A y sin cos ln cos sin cos + + + =
and the general solutions is

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