MAT5101

Applied Mathematics

Department of Mathematics,
Dokuz Eylül University,
35160 Buca, İzmir, Turkey.

Tuesday 15th May, 2018

14:40

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Contents I

1 Linear Algebra
Matrices and Linear Systems
Linear Systems
Gauss Elimination

Vector Spaces

Determinants
Cramer’s Rule

Real Inner Product Spaces

Linear Transformations

Eigenvalues, Eigenvectors and Eigenspaces

Diagonalization

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Contents II

2 Ordinary Differential Equations

First-Order Linear Differential Equations
Homogeneous Equation
Non-Homogeneous Equation
Second-Order Linear Differential Equations with Constant
Coefficients
Homogeneous Equation
Non-Homogeneous Equation

Initial Value Problems and Boundary Value Problems

Initial Value Problems
Boundary Value Problems

Sturm-Liouville Problems
Fourier Series

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Contents III

3 Partial Differential Equations

Heat Equation

Wave Equation

Laplace Equation

Fourier Integral
The Fourier Sine and Cosine Integrals
Solving PDEs by Fourier Integrals

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Linear Algebra

Matrices and Linear Systems

• Roughly speaking, a matrix is a rectangular array.
• We shall discuss existence and uniqueness of solutions for systems of
linear equations.
• The method of Gauss elimination will be introduced to solve systems.

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We will denote by capital bold letters such as A, B, · · · , or by writing the

general entry in the brackets such as A := (aij ), and so on. By an m × n
matrix (read as m by n), we mean a matrix with m rows and n columns.
It should be noted that rows come always first! m × n is called the size
of the matrix. Explicitly, an m × n matrix is of the form
 
a11 a12 · · · a1n
 a21 a22 · · · a2n 
A :=  . ..  . (1)
 
.. ..
 .. . . . 
am1 am2 · · · amn

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Each entry in (1) has two subscripts. The first one stands for the row
number and the second one stands for the column number. That is, a21
is the entry in the second row and first column.
If m = n, then the matrix A will be called as a square matrix. In this
case, a11 , a22 , · · · , ann are called as the main diagonal entries of the
matrix A.

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If either m = 1 or n = 1, then a matrix is called as a vector. We will

denote vectors by lowercase bold letters such as a, b, · · · or by their
general terms in brackets such as a = (ai ), and so on. If m = 1, then the
vector is called a row vector, i.e.,


a := a1 a2 · · · an

while if n = 1, then the vector is called a column vector, i.e.,

 
a1
 a2 
a :=  .  .
 
 .. 
am

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Definition 1 (Equality of Matrices)

Two matrices A = (aij ) and B = (bij ) are said to be equal (and written
as A = B) if and only if they have same size and the corresponding
entries are equal, i.e., a11 = b11 , a12 = b12 , and so on. Matrices which
are not equal are called as different. Thus, matrices of different sizes are
always different.

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Definition 2 (Addition of Matrices)

The sum of two matrices A = (aij ) and B = (bij ) of the same sizes is
written as A + B and is the matrix A + B = (aij + bij ), i.e., the matrix
obtained by adding the corresponding entries of A and B. Matrices of
different sizes cannot be added.

Example 1
Readily, we compute that
     
0 1 2 6 5 4 0+6 1+5 2+4
+ =
9 8 7 3 4 5 9+3 8+4 7+5
 
6 6 6
= .
12 12 12

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Definition 3 (Scalar Multiplication)

The product of any m × n matrix A = (aij ) by any scalar α is written as
αA and is the m × n matrix αA = (αaij ), i.e., the matrix whose entries
obtained by multiplying each entry of A by α.

Example 2
Obviously, we compute that
   
4 5 6 3·4 3·5 3·6
3 =
7 8 9 3·7 3·8 3·9
 
12 15 18
= .
21 24 27

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Property 1 (Rules for Matrix Addition and Scalar Multiplication)

From the familiar laws for the addition of numbers, we obtain the
following similar laws for the addition of matrices of the same size m × n.
1. A + B = B + A.
2. (A + B) + C = A + (B + C ), which is written as A + B + C .
3. A + 0 = A.
4. A + (−A) = 0.
Here, 0 denotes the zero matrix (of the size m × n), i.e., the m × n
matrix whose all entries are zero. Similarly, for scalar multiplication, we
have the following rules.
5. α(A + B) = αA + αB.
6. (α + β)A = αA + βA.
7. α(βA) = (αβ)A, which written as αβA.
8. 1A = A.

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Definition 4 (Matrix Multiplication)

The product C = AB (in this order) of an m × n matrix A = (aij ) times

and p × q matrix B = (bjk ) is defined if and only if n = p and is then the
m × q matrix C = (cik ) whose entries are obtained by
n
X
cik := aij bjk , i = 1, 2, · · · , m, k = 1, 2, · · · , q. (2)
j=1

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The condition n = p means that the second factor B must have as many
rows as the first factor A has columns. As a diagram of sizes, we can
give the following.
A B = C .
[m×n][n×q] [m×q]

In (2), cik is obtained by multiplying each entry in the i-th row of A by

the corresponding entry in the k-th column of B, and then adding these
n products. For instance, c21 = a21 b11 + · · · + a2n bn1 . One calls this
briefly as “multiplication of rows into columns”.

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 
b1k · · · b1q
 
 .. . . . 
. . ..
 
 
× 
 bjk · · · bjq


 
.. .
 
..
. ..
 
× 
 . 

bnk · · · bnq
×
  

  
  
 
 ai1 · · · aij · · · ain cik · · · ciq

 
  
 . .  .. .

 . . . ... . . . ...  ..
. ..

 . 
 . 

am1 · · · amj · · · amn cm1 · · · cmk · · · cmq

Figure 1: An illustration of matrix multiplication.

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Example 3
Using Definition 4, we compute that
  
3 2 2 (−1) 3
4 (−2) 5 3 2
 
3×2+2×5 3 × (−1) + 2 × 3 3×3+2×2
=
4 × 2 + (−2) × 5 4 × (−1) + (−2) × 3 4 × 3 + (−2) × 2
 
16 3 13
= .
(−2) (−10) 8

Note that multiplication in the reverse order is not defined.

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It should be noted that matrix multiplication is in general not

commutative, i.e., AB 6= BA.
Example 4
    
1 1 (−1) 1 0 0
=
100 100 1 (−1) 0 0
and
    
(−1) 1 1 1 99 99
= .
1 (−1) 100 100 (−99) (−99)

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Our examples show that order of factors in matrix multiplication must

always be observed very carefully. Otherwise, matrix multiplication
satisfies the following rules similar to those for numbers.

Property 2 (Rules for Matrix Multiplication)

Let α be a scalar while A, B and C be matrices such that the expressions
on the left are defined.
1. (αA)B = α(AB) = A(αB), which is written as αAB or AαB or
ABα.
2. A(BC ) = (AB)C , which is written as ABC .
3. (A + B)C = AC + BC .
4. A(B + C ) = AB + AC .
Second property is called as associate law, third and fourth properties
are called as distributive laws.

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Definition 5 (Transposition of a Matrix)

The transpose of an m × n matrix A = (aij ) is the n × m matrix AT
(read as A transpose), which has the first row of A as its first column,
second row of A as its second column, and so on. Thus, the transpose of
A in (1) is AT = (aji ), which is written as
 
a11 a21 · · · am1
 a12 a22 · · · am2 
AT :=  . ..  .
 
.. ..
 .. . . . 
a1n a2n · · · amn

As a particular case, transposition converts row vectors to column vectors

and vice versa.

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Property 3 (Rules for Matrix Transposition)

Let α be a scalar and A, B be matrices such that the expressions on the
left are defined.

T
1. AT = A.
2. (A + B)T = AT + B T .
3. (αA)T = α AT .

4. (AB)T = B T AT .

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Transposition gives a rise to two useful classes of matrices as follows.

Definition 6 (Symmetric and Skew-Symmetric Matrices)

Let A be a square matrix. A is said to be symmetric matrix if and only
if AT = A while it is said to be skew-symmetric matrix if and only if
AT = −A.

Note that skew-symmetric matrices have zero as their diagonal entries.

Example 5
   
(−2) 3 2 0 (−5) 1
 3 8 (−5)  is symmetric while  5 0 (−3) 
2 (−5) 1 (−1) 3 0
is skew-symmetric.

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Any real square matrix A may be written as the sum of a symmetric

matrix and a skew-symmetric matrix. More precisely, we write
1
1
A + AT + A − AT .


A=
|2 {z } |2 {z }
symmetric skew-symmetric

Example 6
Consider that
7
(− 32 )
     
3 2 7 3 2 7 0 0
 5 4 3  =  72 4 9
2
+ 3
2 0 (− 23 )  ,
9 3
7 6 4 7 2 4 0 2 0

where the first and the second matrices on the right-hand side are
symmetric and skew-symmetric, respectively.

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Definition 7 (Upper and Lower Triangular Matrices)

Let A = (aij ) be a square matrix. If aij = 0 for i > j, then A is called as
upper triangular matrix. If aij = 0 for i < j, then A is called as lower
triangular matrix.

   
a11 a12 · · · a1n a11

 a22 · · · a2n 

 a a
 21 22


   
.. .  . .. . .
. ..  ..
  



  . . 

ann an1 an2 · · · ann

Figure 2: Upper and lower triangular matrices, respectively. All the entries in
the red triangles are zero.

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Definition 8 (Diagonal and Identity Matrices)

Let A = (aij ) be a square matrix. If aij = 0 for i 6= j, then A is called as
diagonal matrix.
In particular, a scalar matrix whose entries on the main diagonal are all 1
is called as the identity matrix (or the unit matrix), and is denoted by
In (or simply I).

   
a11 1
 

 a22 
 
 1 

 
..
 

.
  .. 



  . 
 
ann 1

Figure 3: Diagonal and the identity matrices, respectively. All the entries in the
red triangles are zero.

The diagonal matrix A whose diagonal entries are ak is denoted by

A := diag(ak ).
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Definition 9 (Orthogonal Matrices)

Let A be a square matrix. A is said to be orthogonal matrix if and only
if AAT = I.

Example 7
 
  2 (−2) 1
1 1 1 1
Show that √ and 1 2 2  are
2 1 (−1) 3
2 1 (−2)
orthogonal matrices.

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Definition 10 (Linear Systems)

A linear system of m equations and n unknowns x1 , x2 , · · · , xn is the set
of equations of the form

a11 x1 + a12 x2 + · · · + a1n xn =b1

a21 x1 + a22 x2 + · · · + a2n xn =b2
.. (3)
.
am1 x1 + am2 x2 + · · · + amn xn =bm .

The system is called as linear because x1 , x2 , · · · , xn appear in the first

power only, just as in the equation of a straight line. a11 , a12 , · · · , amn are
given numbers called as coefficients of the system. b1 , b2 , · · · , bm on
the right are also given numbers. If b1 , b2 , · · · , bm = 0, then (3) is called
as homogeneous system, otherwise it is called as non-homogeneous
system.

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From the definition of matrix multiplication, we see that the m equations

of (3) may be written as a single vector equation of the form

Ax = b,

where A, x and b are defined as

     
a11 a12 ··· a1n x1 b1
 a21 a22 ··· a2n   x2   b2 
A :=  .  , x :=   and b :=  .
     
.. .. .. .. ..
 .. . . .   .   . 
am1 am2 ··· amn xn bm

We assume that aij are not all zero, so that A is not a zero matrix. Note
that x has n components and b has m components.

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The matrix  
a11 a12 ··· a1n b1
 a21 a22 ··· a2n b2 
A
e :=  
 .. .. .. .. .. 
 . . . . . 
am1 am2 ··· amn bm
is called the augmented matrix of the system (3). The vertical line can
be omitted (as we shall do later). It is merely a reminder that the last
column of A e does not belong to A.

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Although a system can be solved rather quickly by noticing its particular

form, Gauss elimination is a systematic approach and will work in
general, also for larger systems. Let us illustrate this method on the
following example.
Example 8

Consider the system

x1 − x2 + x3 =0
−x1 + x2 − x3 =0
10x2 + 25x3 =90
20x1 + 10x2 =80.

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The associated augmented matrix is

 
1 (−1) 1 0
 (−1) 1 (−1) 0 
A
e := 
 0
.
10 25 90 
20 10 0 80

Step 1. Elimination of the first unknown. We mark the first row as the
pivot row and its first entry as the pivot. To eliminate x1 in the other
equations, we add 1 times the pivot row to the second row and add
(−20) times the pivot row to the fourth row. This yields
 
1 (−1) 1 0
 0 0 0 0 
 .
 0 10 25 90 
0 30 (−20) 80

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Step 2. Elimination of the second unknown. First, push the zero row at
the end of the matrix
 
1 (−1) 1 0
 0 10 25 90 
 .
 0 30 (−20) 80 
0 0 0 0

Then, mark the second row as the pivot row and its first non-zero entry
as the pivot. To eliminate x2 in the other equations, we add (−3) times
the pivot row to the third row. Hence, the result is
 
1 (−1) 1 0
 0 10 25 90 
 .
 0 0 (−95) (−190) 
0 0 0 0

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Step 3. Back substitution. Now, working backwards from the last to the
first row of this triangular matrix, we can readily find x3 , x2 and x1 as
follows.
(−190)
x3 = = 2,
−95x3 = − 190 (−95)
10x2 + 25x3 =90 =⇒ 1
x2 = (90 − 25 × 2) = 4,
x1 − x2 + x3 =0 10
x1 =4 − 2 = 2.

Therefore, we have a unique solution. 

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Elementary Row Operations for Matrices

• Interchange of two rows.
• Addition of a constant multiple of one row to another row.
• Multiplication of a row by a non-zero constant.

Elementary Operations for Equations

• Interchange of two equations.
• Addition of a constant multiple of an equation to the others.
• Multiplication of an equation by a non-zero constant.

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Definition 11
We now call a linear system S1 row-equivalent to another linear system
S2 if S1 can be obtained from S2 only by applying finitely many row
operations.

Thus, we can state the following theorem, which also justifies the Gauss
elimination.
Theorem 1
Row-equivalent linear systems have the same set of solutions.

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At the end of the Gauss elimination the form of the coefficient matrix,
the augmented matrix or the system itself is called row-reduced form.
In it, rows of zeroes, if present, are the last rows, and in each non-zero
row the leftmost non-zero entry is farther to the right than in the
previous row. For instance, (see Example 8) the following coefficient
matrix and its augmented matrix are in the row-reduced form.
   
1 (−1) 1 1 (−1) 1 0
 0 10 25   and  0 10 25 90
 
 .
 0 0 (−95)   0 0 (−95) (−190) 
0 0 0 0 0 0 0

Note that we do not require that the leftmost non-zero entries be 1 since
this has no theoretic or numeric advantage.

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Example 9
Transform the following matrices into row-reduced forms.
   
(−1) 4 1 1 (−2) 1 3
 0 0 0 0  and  0 1 1 .
0 0 0 1 2 0 1

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 
 a11 a12 · · · · · · · · · a1n b1 

 a22 · · · · · · · · · a2n b2 

 
 .. .. .. 

 . . . 

a · · · a br
 
 rr rn 
 

 br +1 

..
 
 

 . 

bm

Figure 4: Row reduced form of the augmented matrix at the end of the Gauss
elimination. Here, r ≤ m and a11 , a22 , · · · , arr 6= 0, and all the entries in the red
triangle and the blue rectangle are zero.

From this, we see that with respect to the solutions of the system with
augmented matrix in Figure 4 (and thus, with respect to the originally
given system) there are three possible cases.

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Exactly One Solution

If r = n and br +1 , br +2 , · · · , bm = 0 (if present), then we have unique

solution. To get the solution, we solve the n-th equation ann xn = bn , and
then use back substitution.
 
 a11 a12 · · · a1n b1 
a · · · a b
 
 22 2n 2 
 
 .. .. .. 

 . . . 
ann bn 
 

 
 
 
 
 

Figure 5: All the entries in the red triangle and the blue rectangles are zero.

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Infinitely Many Solutions

If r < n and br +1 , br +2 , · · · , bm = 0 (if present), then we have infinitely
many solutions. To get the solution, we pick xr +1 , xr +2 , · · · , xn as
arbitrary and solve xr from the r -th equation
arr xr + ar (r +1) xr +1 + · · · + arn xn = br , and then use back substitution.
 
 a11 a12 · · · · · · · · · a1n b1 
a22 · · · · · · · · · a2n b2 
 

 
 .. .. .. 

 . . . 

arr · · · arn br 
 

 
 
 
 
 

Figure 6: All the entries in the red triangle and the blue rectangles are zero.

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No Solution

If r < m and at least one br +1 , br +2 , · · · , bm is non-zero, then we have

no solution.
 
a
 11 12 a · · · · · · · · · a1n b 1 

 a22 · · · · · · · · · a2n b 2


 

 . .. .
.. .
..


 
arr · · · arn br 
 

 

 br +1 
..
 
 

 . 

bm

Figure 7: All the entries in the red triangle and the blue rectangle are zero, but
there exists non-zero entries in the orange rectangle.

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 Vector Spaces

Vector Spaces

• A quantity such as work, area or energy, which is described in terms of

magnitude only is called a scalar.
• A quantity, which needs both magnitude and direction to be described
is called a vector.
A vector is an element of vector space, which will be introduced below.

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Definition 12 (Vector Space)

A vector space V over the field R is a set satisfying the following
properties.
1. Closure: u + v ∈ V for all u, v ∈ V .
2. Commutativity: u + v = v + u for all u, v ∈ V .
3. Associativity: u + (v + z) = (u + v ) + z for all u, v , z ∈ V .
4. Identity Element: There exists 0 ∈ V such that u + 0 = u for all
u ∈ V.
5. Inverse Element: There exists (−u) ∈ V such that u + (−u) = 0 for
all u ∈ V .
6. Closure: αu ∈ V for all u ∈ V and all α ∈ R.
7. Distributivity of scalar multiplication: α(u + v ) = αu + αv .
8. Distributivity of scalar multiplication: (α + β)u = αu + βu.
9. Compatibility of scalar multiplication: α(βu) = (αβ)u.
10. Identity Element: 1u = u.

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Example 10
Some examples of vector spaces are listed below.
1. The singleton {0}.
2. Rn (the set of vectors).
3. Rm×n (the set of m × n matrices).
4. Pn [x] (the set of polynomials).
5. F[a, b] (the set of functions on [a, b]).
6. C1 [a, b] (the set of continuously differentiable functions on [a, b]).

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Definition 13 (Linear Combination)

Let u 1 , u 2 , · · · , u n ∈ V and α1 , α2 , · · · , αn ∈ R. Then, the vector

α1 u 1 + α2 u 2 + · · · + αn u n

is called as a linear combination of the vectors u 1 , u 2 , · · · , u n .

Definition 14 (Linear Dependence)

Let u 1 , u 2 , · · · , u n ∈ V . If the equation

α1 u 1 + α2 u 2 + · · · + αn u n = 0

implies that α1 , α2 , · · · , αn = 0, then the vectors u 1 , u 2 , · · · , u n are

called as linearly independent. If there exist scalars α1 , α2 , · · · , αn ∈ R
not all zero such that the linear combination satisfies

α1 u 1 + α2 u 2 + · · · + αn u n = 0,

then the vectors u 1 , u 2 , · · · , u n are called as linearly dependent.

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Example 11
1. Show that (1, 1), (−3, 2) are linearly independent.
2. Show that (1, 1), (−3, 2), (2, 4) are linearly dependent.
10 20 2×
(− −→
3,
2)

16

(2, →
4)
−
1

)×
0

5
(−
−→ )
,1
(1
×
16

-10 0
-10 -3 0 1 2 10 0 10 16 20

Figure 8: The figures show that 16(1, 1) + 2(−3, 2) + (−5)(2, 4) = (0, 0), i.e.,
(1, 1), (−3, 2), (2, 4) are linearly dependent.

3. Show that 1, x, x 2 , (x − 4)2 are linearly dependent.

4. Show that e−t , et , cosh(t) are linearly dependent.

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 Vector Spaces

Definition 15 (Rank of a Matrix)

The rank of a matrix A is the maximum number of linearly independent
row vectors of A, and it is denoted by rank(A).

Example 12
Find the rank of the matrix
 
3 0 2 2
A :=  (−6) 42 24 54  .
21 (−21) 0 (−15)

Clearly, we have

12(3, 0, 2, 2) + (−1)(−6, 42, 24, 54) + (−2)(21, −21, 0, −15) = (0, 0, 0, 0)

shows that rank(A) ≤ 2. On the other hand, we obtain

α(3, 0, 2, 2) + β(21, −21, 0, −15) = (0, 0, 0, 0) =⇒ α = 0 and β = 0.

Thus, rank(A) = 2.

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 Vector Spaces

Theorem 2 (Rank of Row-equivalent Matrices)

Row-equivalent matrices have the same rank.

In other words, this theorem allows us to use Gauss elimination to find

the rank. In that case, the number of non-zero rows of the row-reduced
matrix is the rank.
Example 13
   
(−2) 2 1 3 (−2) 2 1 3
 0 0 1 1   0 0 1 1 
  and   are row-equivalent.
 2 (−2) 0 1   0 0 0 3 
2 (−2) 4 8 0 0 0 0
The number of non-zero rows of the last matrix is 3, i.e., its rank is 3.
Thus, the first matrix has the rank 3 too.

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 Vector Spaces

Theorem 3 (Linear Dependence of a Set of Vectors)

A set of p vectors with n components each are linearly independent if the
matrix with these vectors as row vectors has rank p and linearly
dependent if the rank is less than p.

Example 14
The set{(1, 2, 1), (−2, −3, 1),
 (3, 5, 0)} is linearly dependent since the
1 2 1
matrix  (−2) (−3) 1  has the rank 2, which is less than 3.
3 5 0

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 Vector Spaces

Theorem 4 (Rank in Terms of Column Vectors)

The rank of a matrix A is equal to the maximum number of linearly
independent column vectors of A.

Thus, A and AT have the same rank.

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 Vector Spaces

Definition 16 (Spanning of a Set)

Let V be a vector space and S be a subset of V . Span(S) is the set of
all linear combinations of the vectors in S, i.e.,

Span(S) := {α1 u 1 +· · ·+αn u n : u 1 , · · · , u n ∈ S, α1 , · · · , αn ∈ R, n ∈ N}.

Example 15
Show that Span{(1, 1), (−3, 2), (2, 4)} = R2 .

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 Vector Spaces

Definition 17 (Basis of Vector Spaces)

Let V be a vector space and B be a linearly independent subset of V . B
is a basis of V provided that every element in V can be written as a
linear combination of vectors in B, i.e., for every u ∈ V , there exist
n ∈ N, u 1 , u 2 , · · · , u n ∈ B and α1 , α2 , · · · , αn ∈ R such that
u = α1 u 1 + α2 u 2 + · · · + αn u n . In this case, we write V = Span(B).

Definition 18 (Dimension of Vector Spaces)

Let V be a vector space and B be a basis of V . In this case, dimension
of V is the number of vectors in B and is denoted by dim(V ).

Example 16
Show that {(1, 1), (−3, 2)} is a basis for R2 . Hence, dim(R2 ) = 2.

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 Vector Spaces

Definition 19 (Dimension of Row-Space and Column-Space of Matrices)

Let A be a matrix. The row-space (the spanning set of the row vectors)
and the column space (the spanning set of the column vectors) of A have
the same dimension, which is equal to the rank of A.

Finally for a given matrix A, the solution set of the homogeneous system
Ax = 0 is a vector space, which is called as the null space of A, and its
dimension is called as the nullity of A.

Theorem 5 (Dimension Theorem)

Let A be a matrix of the size m × n. Then,

rank(A) + nullity(A) = n.

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 Vector Spaces

Consider the non-homogeneous system

a11 x1 + a12 x2 + · · · + a1n xn =b1

a21 x1 + a22 x2 + · · · + a2n xn =b2
.. (4)
.
am1 x1 + am2 x2 + · · · + amn xn =bm ,

where a11 , a12 , · · · , amn , b1 , b2 , · · · , bm are scalars and x1 , x2 , · · · , xn are

unknowns.

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 Vector Spaces

Theorem 6 (Fundamental Theorem for Linear Systems)

1. (4) is consistent (i.e., it has solutions) if and only if the coefficient

matrix A and its augmented matrix A e have the same rank.
2. (4) has unique solution if and only if the common rank r of A and A e
is equal to n.
3. (4) has infinitely many solutions if the common rank r is less than n.
In this case, a total of r unknowns can be obtained in terms of (n − r )
unknowns (or parameters).

When (4) admits solutions, one can apply Gauss elimination to find those
solutions.

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 Vector Spaces

Consider the homogeneous system

a11 x1 + a12 x2 + · · · + a1n xn =0

a21 x1 + a22 x2 + · · · + a2n xn =0
.. (5)
.
am1 x1 + am2 x2 + · · · + amn xn =0,

where a11 , a12 , · · · , amn are scalars and x1 , x2 , · · · , xn are unknowns. Note
that x1 , x2 , · · · , xn = 0 is always a solution, which is called as the trivial
solution.
According to Theorem 6, (5) admits non-trivial solutions if r < n, where
r := rank(A). If r < n, then these solutions, together with x = 0, form a
vector space of dimension (n − r ), which is called as the solution space
of (5).

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 Vector Spaces

In particular, if x 1 and x 2 are two solutions of (5), then the vector

x := c1 x 1 + c2 x 2 , where c1 and c2 are scalars, is also a solution of (5).
This property does not hold for non-homogeneous systems. It should also
be mentioned that the term “solution space” is only used for
homogeneous systems.

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 Vector Spaces

The solution space of (5) is also called as the null space of A because of
Ax = 0 for every x in the solution space of (5). Its dimension is called as
the nullity of A. Hence, by Theorem 5, we have

rank(A) + nullity(A) = n,

where n is the number of unknowns (i.e., the number of columns of A).

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 Vector Spaces

Example 17
Show that the solution space (null space) of
 
  x  
1 2 3 4   y 
= 0
2 4 7 8  z  0
w

is   

 x 

 y  : x = −2y − 4w and z = 0
  
 z  
 
w
 

or equivalently
     

 (−2) (−4) 

1   0 
  
y
  +w
  : y, w ∈ R .

 0  0  

0 1
 

Hence, the dimension of the solution space (nullity) is 2.

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 Vector Spaces

Theorem 7
A homogeneous linear system with fewer equations than the number of
unkowns has always non-trivial solutions.

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 Vector Spaces

Theorem 8
If a non-homogeneous linear system is consistent, then all of its solutions
are obtained as
x = xh + xp,
where x h runs through all solutions of the associated homogeneous
system and x p is any (fixed) solution of the non-homogeneous system.

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 Vector Spaces

Example 18
Show that 

  x  
3 2 3 (−2)  y  1
 1 1 1 0  = 3 
 z 
1 2 1 (−1) 2
w
has    
1 1
 0   2 
x h := c  
 (−1)  and x p := 
 0 ,


0 3
where c is an arbitrary constant. So, any solution of the system is of the
form    
1 1
 0   2 
x =c  (−1)  +  0  ,
  

0 3
where c is an arbitrary constant.

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 Determinants

Determinants

Determinant is a function from square matrices to scalars.

Our efficient computational procedure will be cofactor expansion.
However, for square matrices of the size 2 or 3, we will give simpler rules.

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 Determinants

Definition 20 (Determinant of 2 × 2 Matrices)

 
a11 a12
Let A := , then its determinant is the number defined by
a21 a22
 
 a11 a12 
 a21 a22  := a11 a22 − a12 a21 .
 

Determinat of A is also denoted by |A| or det(A).

Example 19
We compute that
 
 3 2 

 (−4) = 3 · 1 − 2 · (−4) = 11.
1 

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 Determinants

Definition 21 (Determinant of 3 × 3 Matrices)

 
a11 a12 a13
Let A :=  a21 a22 a23 , then det(A) is defined by
a31 a32 a33
 
 a11 a12 a13 
 
 a21 a22 a23  :=[a11 a22 a33 + a21 a32 a13 + a31 a12 a23 ]
 
 a31 a32 a33 
− [a13 a22 a31 + a23 a32 a11 + a33 a12 a21 ].

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 Determinants

 

 a11 a12 a13 


 a21 a22 a23 

a31 a32 a33
 
 
(−) a11 a12 a13 (+)
(−) a21 a22 a23 (+)
(−) (+)

Figure 9: A diagram for the Sarrus rule.

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 Determinants

Example 20
We compute by Sarrus rule that
 
 1 5 (−3) 

 2
 3 (−4)  =[1 · 3 · 2 + 2 · 6 · (−3) + (−1) · 5 · (−4)]
 (−1) 6 2 
− [(−3) · 3 · (−1) + (−4) · 6 · 1 + 2 · 5 · 2]
=[6 + (−36) + 20] − [9 + (−24) + 20]
=(−10) − 5 = −15.

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 Determinants

Before proceeding for the general definition of a square matrix

determinant, we need to introduce two concepts.

Definition 22 (Minors and Cofactors of a Matrix)

Let A := (aij ) be square matrix of size n. For an entry aij , its minor,
which is denoted by Mij , is defined to be the determinant of the matrix
formed by deleting the row and the column where aij is located. For an
entry aij , its cofactor is defined to be Cij := (−1)i+j Mij .

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 Determinants

 
a11 ··· a1(j−1) a1j a1(j+1) ··· a1n
 
 .. .. .. .. .. .. .. 

 . . . . . . . 

 a
 (i−1)1 · · · a(i−1)(j−1) a(i−1)j a(i−1)(j+1) · · · a(i−1)n 

ai1 · · · ai(j−1) aij ai(j+1) · · · ain
 
 
 
 a(i+1)1
 · · · a(i+1)(j−1) a(i+1)j a(i+1)(j+1) · · · a(i+1)n 

 
 .. .. .. .. .. .. .. 

 . . . . . . . 

an1 ··· an(j−1) anj an(j+1) ··· ann

Figure 10: A diagram for minors and cofactors.

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 Determinants

Definition 23 (Determinant of n × n Matrices by Cofactor Expansion)

Let A := (aij ) be an n × n matrix. Determinant of A through the k-th
row is defined by

det(A) := ak1 Ck1 + ak2 Ck2 + · · · + akn Ckn .

Similarly, cofactor expansion through the k-th column is defined by

det(A) := a1k C1k + a2k C2k + · · · + ank Cnk .

While computing determinant of a matrix by cofactor expansion, it would

be easier to choose the row or the column, where zeroes appear the most.
If A = diag(ak ) is a diagonal matrix of size n, then det(A) = a1 a2 · · · an .

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 Determinants

Example 21
We compute that
 
 6 0 (−3) 5 

 4 13 6 (−8) 

 (−1) 0 7 4 

 8 6 0 2 
   
 4 6 (−8)   6 (−3) 5 
=0(−1)1+2  (−1) 7 4  + 13(−1)2+2  (−1)
 
7 4 
 8 0 2   8 0 2 
   
 6 (−3) 5   6 (−3) 5 
3+2  4+2 
  
+ 0(−1)  4 6 (−8) 
 + 6(−1)  4 6 (−8) 

 8 0 2   (−1) 7 4 
=0 · (−1) · 708 + 13 · 1 · (−298) + 0 · (−1) · 48 + 6 · 1 · 674
=(−3874) + 4044 = 170.

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 Determinants

Theorem 9
Let A and B be two square matrices of the same size. Then,

det(AB) = det(BA) = det(A) det(B).

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 Determinants

Property 4 (Properties of Determinant)

Determinant of a matrix satisfy the following properties.
1. Interchange of two rows or two columns multiplies the value of the
determinant by (−1).
2. Addition of a multiple of a row or a column to another does not
change the value of the determinant.
3. Multiplication of a row or a column by a non-zero constant c
multiplies the value of the determinant by c.

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 Determinants

Property 5 (Further Properties of Determinant)

Determinant of a matrix also has the following properties.

1. Transposition of a matrix does not change the value of the
determinant.
2. A zero row or a column renders the value of the determinant zero.
3. Proportional rows or columns render the value of the determinant
zero. In particular, a determinant with two identical rows or columns has
the value zero.

Theorem 10 (Determinant of Orthogonal Matrices)

The determinant of an orthogonal matrix is either 1 or (−1).

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 Cramer’s Rule

Cramer’s Rule
Theorem 11 (Cramer’s Rule)

Consider the square system

a11 x1 + a12 x2 + · · · + a1n xn =b1

a21 x1 + a22 x2 + · · · + a2n xn =b2
.. (6)
.
an1 x1 + an2 x2 + · · · + ann xn =bn .

Denote by A and b the coefficient matrix and the right-hand side vector,
respectively. For k = 1, 2, · · · , n, denote by Ak the matrix formed by
replacing k-th column of A by b. Then, we have the following.
det(Ak )
1. If det(A) 6= 0, then (6) has a unique solution given by xk = det(A) .
2. If det(A) = 0 and det(Ak ) = 0 for all k, then (6) has infinitely many
solutions.
3. If det(A) = 0 and det(Ak ) 6= 0 for some k, then (6) has no solutions.

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 Cramer’s Rule

As an immediate consequence of Theorem 11, we can give the following

corollary.
Corollary 1

Consider the square homogeneous system

a11 x1 + a12 x2 + · · · + a1n xn =0

a21 x1 + a22 x2 + · · · + a2n xn =0
.. (7)
.
an1 x1 + an2 x2 + · · · + ann xn =0.

Then, (7) has the trivial solution only if and only if det(A) 6= 0.

Note that in this case, det(Ak ) = 0 for all k by the second case of
Corollary 5, and thus last case of Theorem 11 does not appear.

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 Cramer’s Rule

Example 22
The system
x + 2y =−3
2x + 6y + 4z = − 6
−x + 2z =1
has a unique solution since the determinant of the coefficient matrix is
(−4). Thus, the solution is given by
   
 (−3) 2 0   1 (−3) 0 
   
 (−6) 6 4   2 (−6) 4 
   
 1 0 2  (−4)  (−1) 1 2 
x= = = 1, y = = −2,
(−4) (−4) (−4)

and similarly z = 1.

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 Cramer’s Rule

Definition 24 (Singular Matrix and Non-Singular Matrix)

Let A be a square matrix of size n. A is said to be singular if A−1 does
not exist. Otherwise, A is said to be non-singular.

Theorem 12 (Existence of the Inverse Matrix)

Let A be a square matrix of size n. A is non-signular if and only if
det(A) 6= 0. Further, A is non-singular if and only if rank(A) = n.

The inverse matrix A−1 of A can be obtained by transforming the

augmented matrix (A | I) into (I | B) by using elementary row operations.
This procedure is known as Gauss-Jordan elimination process and the
matrix B is the inverse of A, i.e., B := A−1 .

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 Cramer’s Rule

Example 23
Find the inverse matrix of the matrix A given below.
 
1 2 3
A :=  0 1 4 .
5 6 0

By using Gauss-Jordan process for the matrix (A | I), we have

   
1 2 3 1 0 0 1 2 3 1 0 0
 0 1 4 0 1 0 ∼ 0 1 4 0 1 0 
5 6 0 0 0 1 0 (−4) (−15) (−5) 0 1
   
1 2 3 1 0 0 1 2 3 1 0 0
∼ 0 1 4 0 1 0 ∼ 0 1 0 20 (−15) (−4) 
0 0 1 (−5) 4 1 0 0 1 (−5) 4 1

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 Cramer’s Rule

 
1 2 0 16 (−12) (−3)
∼ 0 1 0 20 (−15) (−4) 
0 0 1 (−5) 4 1
 
1 0 0 (−24) 18 5
∼ 0 1 0 20 (−15) (−4)  .
0 0 1 (−5) 4 1
Hence,  
(−24) 18 5
A−1 :=  20 (−15) (−4)  .
(−5) 4 1


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 Cramer’s Rule

Before we introduce a formula for the inverse matrix, we need to

introduce a new matrix.
Definition 25 (Adjoint Matrix)
Let A = (aij ) be a square matrix. The adjoint matrix of A is defined by
adj(A) := (Cij )T , where Cij denotes the cofactor of aij .

Theorem 13 (Inverse of a Matrix)

Let A = (aij ) be a square matrix. Then,

1
A−1 := adj(A)
det(A)

provided that det(A) 6= 0.

It should be noted that if A = diag(ak ) is a diagonal

matrix such that no
entry on the diagonal is zero, then A−1 = diag a1k .

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 Cramer’s Rule

Example 24
Clearly, for  
3 1
A :=
2 4
we have det(A) = 10 and
 T  
4 (−2) 4 (−1)
adj(A) = = .
(−1) 3 (−2) 3

Therefore, we have
 
−1 1 4 (−1)
A = .
10 (−2) 3

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 Cramer’s Rule

Example 25
For the matrix  
1 (−1) (−2)
A :=  3 (−1) 1 ,
1 (−3) (−4)
we compute that det(A) = 10. Also, we have
 
7 2 (−3)
adj(A) =  13 (−2) (−7)  .
(−8) 2 2

Thus, the inverse matrix is

 
7 2 (−3)
1 
A−1 = 13 (−2) (−7)  .
10
(−8) 2 2

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 Cramer’s Rule

Theorem 14
Let A and B be two square matrices of the same size. Then,

(AB)−1 = B −1 A−1 .

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 Cramer’s Rule

The inverse matrix is useful for solving systems of the form

Ax = b.

Once A−1 is known, we can multiply both sides of the above system by
A−1 and get
x = A−1 b.

Example 26
Show that
x − y − 2z = − 10
3x − y + z =5
x − 3y − 4z =20
has the solution

x = −12, y = −28 and z = 13.

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 Cramer’s Rule

Remark 1
Some remarks on matrix multiplication are given below.
1. Matrix multiplication is not commutative, i.e., we have in general that

AB 6= BA.

2. AB = 0 does not imply that A = 0 or B = 0 (or BA = 0). For

instance,     
1 1 (−1) 1 0 0
= .
2 2 1 (−1) 0 0
3. AB = AC does not generally imply B = C even when A 6= 0.

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 Cramer’s Rule

Theorem 15 (Cancellation Laws)

Let A, B, C be square matrices of the same size. Then, the following
properties hold.
1. If det(A) 6= 0 and AB = AC , then B = C .
2. If det(A) 6= 0 and AB = 0, then B = 0. Hence, if AB = 0 with
A 6= 0 and B 6= 0, then det(A) = 0 or det(B) = 0.
3. If A is singular, then so are AB and BA.

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 Real Inner Product Spaces

Real Inner Product Spaces

Definition 26 (Real Inner Product Space)

Let V be a vector space over the field R. V is said to be an inner
product space over R, if there exists a mapping h·, ·i : V × V → R
satisfying the following properties.
1. Positive-Definiteness:
(a) hu, ui ≥ 0 for all u ∈ V .
(b) hu, ui = 0 if and only if u = 0.
2. Symmetry: hu, v i = hv , ui for all u, v ∈ V .
3. Linearity:
(a) hu + v , zi = hu, zi + hv , zi for all u, v , z ∈ V .
(b) hαu, v i = αhu, v i for all u, v ∈ V and all α ∈ R.

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 Real Inner Product Spaces

Example 27
Let (u1 , u2 ), (v1 , v2 ) ∈ R2 , then

h(u1 , u2 ), (v1 , v2 )i = u1 v1 + u2 v2

satisfies the properties of vector spaces. Indeed, we have

h(u1 , u2 ), (u1 , u2 )i = u12 + u22 ≥ 0,

and it is zero if and only if u1 = 0 and u2 = 0, i.e., (u1 , u2 ) = (0, 0).

Next, we see that

h(u1 , u2 ), (v1 , v2 )i = u1 v1 + u2 v2 = v1 u1 + v2 u2 = h(v1 , v2 ), (u1 , u2 )i. I

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 Real Inner Product Spaces

Finally, we have

h(u1 , u2 ) + (v1 , v2 ), (z1 , z2 )i = h(u1 + v1 , u2 + v2 ), (z1 , z2 )i

=(u1 + v1 )z1 + (u2 + v2 )z2 = (u1 z1 + u2 z2 ) + (v1 z1 + v2 z2 )
=h(u1 , u2 ), (z1 , z2 )i + h(v1 , v2 ), (z1 , z2 )i

and
hα(u1 ,u2 ), (v1 , v2 )i = h(αu1 , αu2 ), (v1 , v2 )i
=(αu1 )v1 + (αu2 )v2 = α(u1 v1 + u2 v2 )
=αh(u1 , u2 ), (v1 , v2 )i.
Thus, R2 is an inner product space on R. 

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 Real Inner Product Spaces

Example 28
Two examples of inner product spaces are listed below.
1. Rn is an inner product space with
   
* u1 v1 +
 u2   v2 
 ..  ,  ..  := u1 v1 + · · · + un vn .
   
 .   . 
un vn

2. C[a, b] is an inner product space with

Z b
hf , g i := f (ξ)g (ξ)dξ.
a

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 Real Inner Product Spaces

Definition 27 (Orthogonality)
Let V be an inner product space on R, and u, v ∈ V . The vectors u and
v are called orthogonal provided that hu, v i = 0.

Example 29
1. In R3 , u := (2, 1, −1) and v := (1, −1, 1) are orthogonal.
a+b a+b 2


2. In C[a, b], f (x) := x − 2 and g (x) := x 2 − (a + b)x + 2 are
orthogonal.

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 Real Inner Product Spaces

Definition 28 (Norm)
Let V be an inner product space on R, and u ∈ V . The norm of u is
defined by p
kuk := hu, ui.
Further, u is said to be a unit vector provided that kuk = 1.

Example 30
1. On Rn , a norm is given by
 
u1

 u2  q
 ..  := u12 + u22 + · · · + un2 .
 
 . 

un

2. On C[a, b], a norm is given by

s
Z b
2
kf k := f (ξ) dξ.
a

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 Real Inner Product Spaces

Property 6
Inner products and norms satisfy the following properties.
1. Cauchy-Schwarz Inequality: |hu, v i| ≤ kukkv k for all u, v ∈ V .
2. Triangle Inequality: ku + v k ≤ kuk + kv k for all u, v ∈ V .


3. Parallelogram Equality: ku + v k2 + ku − v k2 = 2 kuk2 + kv k2 for
all u, v ∈ V .

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 Linear Transformations

Linear Transformations

Definition 29 (Linear Transformation)

Let V and W be vector spaces over the field R. The mapping
f : V → W is called as a linear transform provided that the following
properties are satisfied.
1. f (u + v ) = f (u) + f (v ) for all u, v ∈ V .
2. f (αu) = αf (u) for all u ∈ V and all α ∈ R.

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 Linear Transformations

Example 31
Some examples of linear transforms are listed below.
1. Zero transform, i.e., f (u) = 0.
2. Identity transform, i.e., f (u) = u.
3. Reflection transform, i.e., f (u) = −u.
4. Scaling transform, i.e., f (u) = λu, where λ ∈ R
5. Projection transform.
6. Rotation transform.
7. Differential transform.
8. Integral transform.

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 Linear Transformations

Representation Matrix

Let {e 1 , e 2 , · · · , e n } be a basis for Rn . Then for every u ∈ Rn , there

exist scalars α1 , α2 , · · · , αn ∈ R such that

u = α1 e 1 + α2 e 2 + · · · + αn e n .

If f is a linear mapping, then we have

f (u) = α1 f (e 1 ) + α2 f (e 2 ) + · · · + αn f (e n ).

Hence, if we know the values f (e 1 ), f (e 2 ), · · · , f (e n ), then we can

uniquely determine f (u). This idea can be used to write the transform f
as
f (u) = Au,
where A is an m × n matrix provided that f : Rn → Rm .

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 Linear Transformations

Example 32
   
1 1
Consider the basis , of R2 . Let us find the rule of
1 (−1)
the linear transform f : R2 → R3 satisfying
   
  5   3
1 1
f =  (−1)  and f =  (−5)  .
1 (−1)
11 1

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 Linear Transformations

This implies that the transform f is of the form

      
x x +y 1 x −y 1
f =f +
y 2 1 2 (−1)
   
x +y 1 x −y 1
= f + f
2 1 2 (−1)
   
5 3
x +y  x −y 
= (−1)  + (−5) 
2 2
11 1
 
4x + y
=  −3x + 2y  .
6x + 5y

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 Linear Transformations

Thus, f has the matrix representation

 
  4 1  
x x
f =  (−3) 2  .
y y
6 5

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 Linear Transformations

Definition 30 (Null Space and Range)

Let f : V → W be a linear transform. The null space of f is defined by

Null(f ) := {u : f (u) = 0}

and the range of f is defined by

Range(f ) := {v : f (u) = v }.

Further,



nullity(f ) := dim Null(f ) and rank(f ) := dim Range(f ) .

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 Linear Transformations

Recalling Theorem 5 and the definition of the representation matrix, we

can give the following result.
Theorem 16
Let f : V → W be a linear transform. Then,

rank(f ) + nullity(f ) = dim(V ).

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 Linear Transformations

Example 33
Find the rank and the nullity of the transform f : R3 → R2 defined by
 
x  
16x + y − 3z
f  y = .
8x − 3y + z
z

We can rewrite f in the form

   
x   x
16 1 (−3)
f  y  =  y ,
8 (−3) 1
z z

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 Linear Transformations

We see that    
 1 
Null(f ) = x  5  : x ∈ R
7
 
 
 1 
= Span  5  ,
7
 

and thus nullity(f ) = 1. Then, by Theorem 16, we have rank(f ) = 2. 

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 Eigenvalues, Eigenvectors and Eigenspaces

Eigenvalues, Eigenvectors and Eigenspaces

Let A := (aij ) be an n × n matrix and consider the vector equation

Ax = λx. (8)

Here, x is an unknown vector and λ is an unknown scalar. Our task is to

determine the x vectors and λ values for which (8) holds. Geometrically,
we are looking for vectors x for which multiplication by A has the same
effect as multiplication by a scalar λ, i.e., Ax is proportional to x.

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 Eigenvalues, Eigenvectors and Eigenspaces

Clearly, x = 0 is a solution of (8) for any value of λ since A0 = 0 = λ0.

This is obvious and is of no interest. A value of λ for which (8) has a
non-trivial solution (x 6= 0) is called as an “eigenvalue” (or a
“characteristic value”) of the matrix A.
The non-trivial solutions x of (8) are called as “eigenvectors” (or
“characteristic vectors”) of the matrix A corresponding to the
eigenvalue λ.
The set of all eigenvalues of A is called as the “spectrum” of A. We will
see in examples that the spectrum of A consists of at least one
eigenvalue and at most of n numerically different eigenvalues.

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 Eigenvalues, Eigenvectors and Eigenspaces

This example illustrates the general case as follows. Expanding (8) in its
components, we get

a11 x1 + a12 x2 + · · · + a1n xn =λx1

a21 x1 + a22 x2 + · · · + a2n xn =λx2
..
.
an1 x1 + an2 x2 + · · · + ann xn =λxn .

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 Eigenvalues, Eigenvectors and Eigenspaces

Moving the terms on the right-hand side to the left-hand side gives us

(a11 − λ)x1 + a12 x2 + · · · + a1n xn =0

a21 x1 + (a22 − λ)x2 + · · · + a2n xn =0
..
.
an1 x1 + an2 x2 + · · · + (ann − λ)xn =0.

This is written in the matrix form as

(A − λ I)x = 0.

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 Eigenvalues, Eigenvectors and Eigenspaces

By Cramer’s rule, this linear system of equations has a non-trivial

solution if and only if the corresponding determinant of the coefficient
matrix is zero, i.e.,
D(λ) := det(A − λ I) = 0.
Here, (A − λ I) is called as the “characteristic matrix” and D(λ) is
called as the “characteristic determinant” of A. Clearly, D(λ) gives us
a polynomial of n-th degree in λ, which is called as the “characteristic
polynomial” of A.

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 Eigenvalues, Eigenvectors and Eigenspaces

Theorem 17 (Eigenvalues)
The eigenvalues of a square matrix A are the roots of the characteristic
equation det(A − λ I) = 0. Hence, an n × n matrix has at least 1
eigenvalue and at most n numerically different eigenvalues.

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 Eigenvalues, Eigenvectors and Eigenspaces

For obtaining the eigensystem (eigenvalues and eigenvectors) of a square

matrix, we must first find the eigenvalues from the characteristic
equation det(A − λ I) = 0. Then, we should use them in the system
(A − λ I)x = 0 to find the eigenvectors.

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 Eigenvalues, Eigenvectors and Eigenspaces

Example 34
 
2 2
The characteristic polynomial of the matrix A := is
1 3
 
 2−λ 2 
D(λ) :=  = λ2 − 5λ + 4 = (λ − 1)(λ − 4)
1 3−λ 

whose roots are λ1 := 1 and λ2 := 4. Thus, the eigenvalues of A are 1

and 4, i.e., the spectrum of A is {1, 4}. I

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 Eigenvalues, Eigenvectors and Eigenspaces

It follows from the system (A − λ I)x = 0 with λ1 = 1 that

    
1 2 x1 0
= .
1 2 x2 0

Then, we get x1 = −2x2 , which yields

 
(−2)
x =c ,
1

2
where c is an arbitrary constant. So, we can take as the
(−1)
eigenvector
  corresponding
 to the eigenvalue 1. We could also take
(−1) 2
1 instead of . However, both are linearly dependent
2
(−1)
and the latter one looks more simple. I

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 Eigenvalues, Eigenvectors and Eigenspaces

The system (A − λ I)x = 0 with λ2 = 4 becomes

    
(−2) 2 x1 0
= .
1 (−1) x2 0

Solving this, we get  

1
x =c ,
1
 
1
where c is an arbitrary constant. Hence, is an eigenvector, which
1
corresponds to the second eigenvalue 4. 

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 Eigenvalues, Eigenvectors and Eigenspaces

Theorem 18 (Eigenvectors and Eigenspaces)

Let x and y be eigenvectors of a matrix A corresponding to the same
eigenvalue λ. Then, (x + y ) (with x + y 6= 0) and αx (with αx 6= 0) are
also eigenvectors, which correspond to λ.
Hence, the eigenvectors corresponding to one and the same eigenvalue of
A, together with 0, form a vector space, which is called as the
“eigenspace” of A corresponding to that eigenvalue.

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 Eigenvalues, Eigenvectors and Eigenspaces

Example 35
 
1 2 1
Let us consider the matrix A :=  0 3 2 . The characteristic
(−1) 1 1
equation of A is D(λ) := −λ3 + 5λ2 − 6λ = −λ(λ − 2)(λ − 3). Thus, A
has the eigenvalues
 λ
1 := 0, λ2 := 2and λ3 :=
 3. Further, we get
 the
1 3 1
eigenvector  (−2)  for λ1 = 0,  2  for λ2 = 2 and  1 
3 (−1) 0
for λ3 = 3.

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 Eigenvalues, Eigenvectors and Eigenspaces

Example 36
 
1 0 0
Consider the matrix A :=  2 1 0 . The characteristic equation
1 (−2) 3
of A is D(λ) := −λ3 + 5λ2 − 7λ + 3 = −(λ − 1)2 (λ − 3). Thus, A has
the
 eigenvalues
 λ1,2 := 1 and λ3 :=
 3. 
Further, we get the eigenvector
0 0
 1  for the eigenvalue 1 and  0  for the eigenvalue 3. In this
1 1
example, we can find only two eigenvectors.

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 Eigenvalues, Eigenvectors and Eigenspaces

Theorem 19 (Eigenvalues of a Transpose)

Let A be a square matrix. The matrix A and its transpose AT have the
same eigenvalues.

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 Eigenvalues, Eigenvectors and Eigenspaces

Theorem 20 (Eigenvalues of Symmetric and Skew-Symmetric Matrices)

Symmetric matrices have real eigenvalues while skew-symmetric matrices
have purely imaginary or zero eigenvalues.

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 Eigenvalues, Eigenvectors and Eigenspaces

Theorem 21 (Eigenvalues of Orthogonal Matrices)

Let A be an orthogonal square matrix. Then, its eigenvalues are real or
complex conjugate in pairs and have modulus 1.

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 Diagonalization

Definition 31 (Similar Matrices)

Let A and B be n × n matrices. B is said to be “similar” to A if there
exists some non-singular matrix P such that

B = P −1 AP.

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 Diagonalization

Theorem 22 (Eigenvalues and Eigenvectors of Similar Matrices)

If A and B are similar matrices, then both have the same eigenvalues.
Further, if x is an eigenvector of A, then y := P −1 x is an eigenvector of
B, which corresponds to the same eigenvalue.

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 Diagonalization

Theorem 23 (Diagonalization of a Matrix)

Let A be an n × n matrix with n linearly independent eigenvalues. Then,

D := X −1 AX

is a diagonal matrix whose entries on the main diagonal are the

eigenvalues of A. Here, X is the matrix with the eigenvectors as column
vectors.
Further, for m ∈ N, we have

D m = X −1 Am X

or equivalently
Am = X D m X −1 .

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 Diagonalization

Example 37
 
4 1
Consider the matrix A := . We see that the eigenvalues
(−8) (−5)
 
1
of A are (−4) and 3, which yield the eigenvectors and
(−8)
   
1 1 1
, respectively. Let us define X := , which
(−1) (−8) (−1)
 
(−1) (−1)
yields X −1 = 17 . Then, we get the diagonal matrix
8 1
 
(−4) 0
D := X −1 AX = .
0 3

Further, note that

 
7 7 −1 4840 2653
A = XD X = .
(−21224) (−19037)

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 Ordinary Differential Equations

Ordinary Differential Equations

Definition 32 (Ordinary Differential Equations)

An “ordinary differential equation” (in short, ODE) is an equation

containing one unknown function (dependent variable) of one
independent variable together with its derivatives.

Definition 33 (Order of the ODE)

The highest-order derivative appearing in the equation is called the

“order” of a differential equation.

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 Ordinary Differential Equations

Example 38

Let us present some ordinary differential equations.

1. 5y 0 (t) + 3y (t) = 6.
2. y 00 (t) + sin(t)y 0 (t) + 2ty (t) = et .
3. ty 000 (t) + t 2 − 1 y 00 (t) + 4y (t) = 0.

4. y (iv) (t) + 8y 00 (t) + 9y (t) = 0.

Each equation has a dependent variable y (unknown function) and a
single independent variable t. Equation 1 and Equation 4 are said to
have constant coefficients, while Equation 2 and Equation 3 are said to
have variable coefficients. The equations above are of first order, second
order, third order and fourth order, respectively.

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 Ordinary Differential Equations First-Order Linear Differential Equations

First-Order Linear Differential Equations

In this section, we will consider ordinary differential equations of the form

y 0 (t) + p(t)y (t) = f (t), t ∈ I, (9)

where p and f are continuous functions on some interval I . If f (t) ≡ 0,

then (9) is said to be “homogeneous”, otherwise it is said to be
“non-homogeneous”.

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 Ordinary Differential Equations First-Order Linear Differential Equations

Suppose that yc (complementary solution) denotes all solutions of the

associated homogeneous equation

y 0 (t) + p(t)y (t) = 0, (10)

and yp (particular solution) is a solution of the non-homogeneous

equation (9). Then,
y (t) = yc (t) + yp (t)
denotes all solutions (general solution) of the non-homogeneous
equation (9).

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 Ordinary Differential Equations First-Order Linear Differential Equations

Homogeneous Equation

Let us first solve homogeneous equation (10). Suppose that y 6= 0 and

write
y 0 (t)
= −p(t),
y (t)
which by integration yields that
 
Z t
lny (t) = − p(ξ)dξ + k,

where k is an arbitrary constant. This can be written as

Rt
y (t) = ce− p(ξ)dξ
, (11)

where c := ±ek is a non-zero arbitrary constant. As y ≡ 0 is also a

solution of (10), we can let c in (11) be any arbitrary constant.

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 Ordinary Differential Equations First-Order Linear Differential Equations

The general solution of the homogeneous equation (10) is

Rt
y (t) = ce− p(ξ)dξ
,

where c is an arbitrary constant. This includes all solutions of (10).

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 Ordinary Differential Equations First-Order Linear Differential Equations

Non-Homogeneous Equation
Next, we proceed
Rt
to find a solution of (9). To this end, we multiply (9)
by µ(t) := e p(ξ)dξ and get

y 0 (t)µ(t) + y (t)µ(t)p(t) = µ(t)f (t)

=⇒ y 0 (t)µ(t) + y (t)µ0 (t) = µ(t)f (t)
=⇒ (y µ)0 (t) = µ(t)f (t),
which by integration yields that
Z t
y (t)µ(t) = µ(ξ)f (ξ)dξ
Z t
1
=⇒ y (t) = µ(ξ)f (ξ)dξ
µ(t)
or equivalently, we have
Rt
Z t Rξ
− p(ξ)dξ p(ζ)dζ
y (t) = e e f (ξ)dξ, (12)

which is a solution of (9).

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 Ordinary Differential Equations First-Order Linear Differential Equations

From (11) and (12), the general solution of (9) (all solutions) are given
by Z t R
− t p(ξ)dξ − t p(ξ)dξ ξ
R R
y (t) = ce| {z } + e e p(ζ)dζ f (ξ)dξ ,
complementary solution | {z }
particular solution

where c is an arbitrary constant.

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 Ordinary Differential Equations First-Order Linear Differential Equations

Example 39
Show that the general solution of the equation

y 0 + 3y = et

is
1
yc := ce−3t + et ,
4
where c is an arbitrary constant. Further, if the initial condition y (0) = 1
is given, then the desired solution becomes
3 −3t 1 t
y := e + e.
4 4

Figure 11: The graphic of the solution y over the interval [0, 1].

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Second-Order Linear Differential Equations with Constant

Coefficients

In this section, we will be obtaining all solutions of the ODE

ay 00 (t) + by 0 (t) + cy (t) = f (t), t ∈ R,

where a, b, c ∈ R with a 6= 0 and f is a continuous function on R. As in

the first-order case, we will proceed with the associated homogeneous
equation first.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Homogeneous Equation

Consider the
ay 00 (t) + by 0 (t) + cy (t) = 0, (13)
rt
where a, b and c are as mentioned above. Substituting y = e into the
left-hand side of (13), we see that

ay 00 + by 0 + cy =ar 2 er t + br er t + cer t
=y (ar 2 + br + c)
=yP(r ),

where the characteristic parabola is defined by

P(r ) := ar 2 + br + c. (14)

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Hence, if P(r0 ) = 0, then

ay 00 + by 0 + cy = 0

and thus
y (t) := er0 t
is a solution of (13).

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

2
Distinct Roots: ∆ := b − 4ac > 0

In this case, (14) has two distinct roots given by

√ √
−b − ∆ −b + ∆
r1 := and r2 := .
2a 2a
Thus,
y1 (t) := er1 t and y2 (t) := er2 t (15)
are two solutions of (13).

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Further, for the Wronskian of the solutions, we have

     
 y1 (t) y2 (t)   er1 t er2 t  (r1 +r2 )t  1
 1 
W (t) =  0
 0
 =  r1 t r2 t  = e
y1 (t) y2 (t)  r1 e r2 e  r1 r2 
√
∆ −bt
= − (r1 − r2 )e(r1 +r2 )t = e a 6= 0.
a
This shows that the solutions in (15) are linearly independent solutions of
(13).
Thus, the general solution of the equation is

yc (t) := c1 er1 t + c2 er2 t ,

where c1 and c2 are arbitrary constants.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Alternatively, using the hyperbolic trigonometric functions, i.e.,

ex + e−x ex − e−x
cosh(x) := and sinh(x) := for x ∈ R,
2 2
we can show that
√  √ 
b ∆ b ∆
y1 (t) := e− 2a t cosh t and y2 (t) := e− 2a t sinh t
2a 2a

are also linearly independent solutions of (13).

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Example 40
Let us solve
y 00 + y 0 − 2y = 0.
Clearly, the characteristic equation is r 2 + r − 2 = 0 or equivalently
(r + 2)(r − 1) = 0, which implies r1 := −2 and r2 := 1. Since the roots
are distinct, the general solution of the equation is

yc (t) := c1 e−2t + c2 et ,

where c1 and c2 are arbitrary constants.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Example 41
The differential equation

y 00 (t) − y (t) = 0

has the general solution

yc (t) := c1 cosh(t) + c2 sinh(t),

where c1 and c2 are arbitrary constants.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Repeated Roots: ∆ = 0

Then, (14) has a repeated root given by

b
r1 := − .
2a
Hence,
y1 (t) := er1 t (16)
is a solution of (13). Now, define

y2 (t) := er1 t u(t), (17)

where u is a differentiable function to be determined later.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Recall that y10 = r1 y1 , and thus y100 = r12 y1 . Computing the derivatives of
y2 , we get
y20 =er1 t u 0 + r1 er1 t u
=er1 t [u 0 + r1 u],
y200 =er1 t u 00 + 2r1 er1 t u 0 + r12 er1 t u
=er1 t u 00 + 2r1 u 0 + r12 u .
 

Substituting these into the equation gives us

ay200 + by20 + cy2 =aer1 t u 00 + 2r1 u 0 + r12 u + ber1 t [u 0 + r1 u] + cer1 t u

 

=er1 t au 00 + (2ar1 + b) u 0 + (ar12 + br1 + c) u

 
| {z } | {z }
0 0
=aer1 t u 00 .

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

If we let u(t) := t, then y2 in (17) takes the form

y2 (t) := er1 t t (18)

and becomes a solution of (13). Computing the Wronskian of y1 and y2 ,

we obtain
   
 y (t) y2 (t)   er1 t er1 t t
W (t) =  10

0
 =  r1 t r1 t

r1 t 
y1 (t) y2 (t)   r1 e e + r1 e t
 rt 
 e1 0  b
=  = e− a t 6= 0,
r1 er1 t er1 t 

i.e.,
y1 (t) = er1 t and y2 (t) = er1 t t
are linearly independent.
Thus, the general solution of the equation is

yc (t) := c1 er1 t + c2 er1 t t,

where c1 and c2 are arbitrary constants.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Example 42
Let us solve
y 00 − 4y 0 + 4y = 0.
Clearly, the characteristic equation is r 2 − 4r + 4 = 0 or equivalently
(r − 2)2 = 0, which implies r1,2 := 2. Since the roots are repeated, the
general solution of the equation is

yc (t) := c1 e2t + c2 e2t t,

where c1 and c2 are arbitrary constants.

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Roots in Complex Pairs: ∆ < 0

In this case, complex conjugate roots of (14) are given by

√ √
−b − i −∆ −b + i −∆
r1 := and r2 := .
2a 2a
For simplicity, we let
√
b −∆
α := − and β := , (19)
2a 2a
and define
z1 (t) := e(α−iβ)t and z2 (t) := e(α+iβ)t .

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

As in the first case, we can show that z1 and z2 are solutions of (13).
However, they are complex functions. We will now show that their real
and imaginary parts also form solutions. Using the well-known Euler’s
formula eiθ = cos(θ) + i sin(θ), we get

z1 (t) := eαt [cos(βt) − i sin(βt)]

and
z2 (t) := eαt [cos(βt) + i sin(βt)].

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Let us define

y1 (t) := eαt cos(βt) and y2 (t) := eαt sin(βt). (20)

Computing the derivatives of y1 , we get

y10 (t) =αeαt cos(βt) − βeαt sin(βt)

=eαt [α cos(βt) − β sin(βt)]

and
y100 (t) =(α2 − β 2 )eαt − 2αβeαt sin(βt)
=eαt (α2 − β 2 ) cos(βt) − 2αβ sin(βt) .
 

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 Ordinary Differential Equations Second-Order Linear Differential Equations with Constant Coefficients

Substituting these into (13) and using (19) yield that

ay100 (t) + by10 (t) + cy1 (t) =aeαt (α2 − β 2 ) cos(βt) − 2αβ sin(βt)
 

+ beαt [α cos(βt) − β sin(βt)] + ceαt cos(βt)

=eαt a(α2 − β 2 ) + bα + c cos(βt)


| {z }
0

− (2aα + b) sin(βt) = 0,
| {z }
0

which shows that y1 is a solution of (13). Similarly, we can show that y2

is also a solution of (13).

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Finally, we show that they are linearly independent, i.e.,

 
 eαt cos(βt) eαt sin(βt) 
W (t) =  
αeαt cos(βt) − βeαt cos(βt) αeαt sin(βt) + βeαt sin(βt) 
   
 eαt cos(βt) eαt sin(βt)  2αt  cos(βt)
 sin(βt) 
= αt αt = βe  
−βe cos(βt) βe sin(βt)  − cos(βt) sin(βt) 
=βe2αt 6= 0.

Thus, y1 and y2 defined in (20) are linearly independent solutions of (13).

Therefore, the general solution of the equation is

yc (t) := c1 eαt cos(βt) + c2 eαt sin(βt),

where c1 and c2 are arbitrary constants.

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Example 43
Let us solve
y 00 − 4y 0 + 13y = 0.
Clearly, the characteristic equation is r 2 − 4r + 13 = 0 or equivalently
(r − 2)2 + 32 = 0, which implies r1,2 := 2 ± 3i. Since the roots are in
complex conjugates, the general solution of the equation is

yc (t) := c1 e2t cos(3t) + c2 e2t sin(3t),

where c1 and c2 are arbitrary constants.

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Non-Homogeneous Equation

Now, we return to the equation

ay 00 (t) + by 0 (t) + cy (t) = f (t), t ∈ R, (21)

where a, b, c ∈ R with a 6= 0 and f is a continuous function on R.

Suppose that y1 and y2 are two linearly independent solutions of the
associated homogeneous differential equation (14). Suppose that a
solution of (21) is of the form

yp (t) := y1 (t)u1 (t) + y2 (t)u2 (t), (22)

where u1 and u2 are functions to be determined later.

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Taking the derivatives, we get

yp0 =[y10 u1 + y20 u2 ] + [y1 u10 + y2 u20 ],

yp00 =[y100 u1 + y200 u2 ] + [y10 u10 + y20 u20 ] + [y1 u10 + y2 u20 ]0 ,

which yields upon substituting into (21) that

f =ayp00 + byp0 + cyp

=a [y100 u1 + y200 u2 ] + [y10 u10 + y20 u20 ] + [y1 u10 + y2 u20 ]0
 

+ b [y10 u1 + y20 u2 ] + [y1 u10 + y2 u20 ] + c[y1 u1 + y2 u2 ]

 

=u1 [ay100 + by10 + cy1 ] +u2 [ay200 + by20 + cy2 ]

| {z } | {z }
0 0
+ a [y10 u10 + y20 u20 ] + [y1 u10 + y2 u20 ]0 + b[y1 u10 + y2 u20 ].
 

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If we assume that  0 0
y1 u1 + y2 u2 =0
y10 u10 + y20 u20 = f ,
a
then by Cramer’s rule, we have
Z t
f (ξ)y2 (ξ)

fy2

0
u1 = − u1 (t) = − dξ
 

aW =⇒ aW (ξ)
Z t (23)
u 0 = fy1
 
u2 (t) = f (ξ)y1 (ξ)
dξ,

2
aW aW (ξ)

where W is the Wronskian of y1 and y2 , i.e., W := y1 y20 − y10 y2 .

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Using (23) in (22), we get

Z t Z t
f (ξ)y2 (ξ) f (ξ)y1 (ξ)
yp (t) = −y1 (t) dξ + y2 (t) dξ. (24)
aW (ξ) aW (ξ)

Since the complementary solution of (22) is

yc (t) := c1 y1 (t) + c2 y2 (t), (25)

where c1 and c2 are arbitrary constants. Finally, by (24) and (25), the
general solution of (21) is
Z t Z t
f (ξ)y2 (ξ) f (ξ)y1 (ξ)
y (t) = c1 y1 (t) + c2 y2 (t) −y1 (t) dξ + y2 (t) dξ ,
| {z } aW (ξ) aW (ξ)
complementary solution | {z }
particular solution

where c1 and c2 are arbitrary constants.

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Example 44
Let us solve
y 00 + y = 3.
Clearly, the characteristic equation is r 2 + 1 = 0, which implies
r1,2 := ±i. Since the roots are complex conjugates, the complementary
solution of the equation is

yc := c1 cos(t) +c2 sin(t),

| {z } | {z }
y1 y2

where c1 and c2 are arbitrary constants. I

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Note that the Wronskian of cos and sin is 1. Using the variation of
parameters formula, we have
Z t Z t
yp (t) := − cos(t) 3 sin(ξ)dξ + sin(t) 3 cos(ξ)dξ

=3 cos2 (t) + 3 sin2 (t) = 3.

Therefore, the general solution of the equation is

y (t) := c1 cos(t) + c2 sin(t) + 3. 

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 Initial Value Problems and Boundary Value Problems

Initial Value Problems and Boundary Value Problems

Two main contents of this section are the initial-value problems (IVP)
and the boundary-value problems (BVP).

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 Initial Value Problems and Boundary Value Problems

Initial Value Problems

Initial value problems (IVP) for second-order linear differential equations

are of the form
(
ay 00 (t) + by 0 (t) + cy (t) = f (t) for t > 0
(26)
y (0) = α and y 0 (0) = β,

where a, b, c ∈ R with a 6= 0, f is a continuous function on [0, ∞) and

α, β are real numbers.

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 Initial Value Problems and Boundary Value Problems

To find the unique solution of (26), we first write the general solution of
the ODE in the first line of (26) and then apply the initial conditions in
the second line to determine for which arbitrary constants these
conditions hold. Say

yc (t) := c1 y1 (t) + c2 y2 (t) + yp (t) for t ≥ 0

is the general solution of (26). Applying the initial conditions, we get

( (
yc (0) =α c1 y1 (0) + c2 y2 (0) =α − yp (0)
=⇒
0
yc (0) =β c1 y10 (0) + c2 y20 (0) =β − yp0 (0)

from which we can solve c1 and c2 .

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Example 45
Show that the solution of the IVP
(
y 00 + y 0 − 2y = 0 for t > 0
y (0) = 1 and y 0 (0) = −5

is
y (t) := 2e−2t − et for t ≥ 0.

Figure 12: The graphic of the solution y over the interval [0, 1].

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 Initial Value Problems and Boundary Value Problems

Example 46
Show that the solution of the IVP
(
y 00 − 4y 0 + 4y = 0 for t > 0
0
y (0) = 1 and y (0) = 5

is
y (t) := e2t + 3e2t t for t ≥ 0.

1
1

Figure 13: The graphic of the solution y over the interval [0, 1].

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 Initial Value Problems and Boundary Value Problems

Example 47
Show that the solution of the IVP
(
y 00 − 4y 0 + 13y = 0 for t > 0
0
y (0) = 2 and y (0) = −5

is
y (t) := e2t 2 cos(3t) − 3 sin(3t) for t ≥ 0.
 

2
1

Figure 14: The graphic of the solution y over the interval [0, 1].

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Example 48
Show that the solution of the IVP
(
y 00 + y = 3 for t > 0
0
y (0) = 5 and y (0) = −1

is
y (t) := 2 cos(t) − sin(t) + 3 for t ≥ 0.

Figure 15: The graphic of the solution y over the interval [0, 1].

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 Initial Value Problems and Boundary Value Problems

Example 49
Show that the solution of the IVP
(
y 00 − y = 3 for t > 0
y (0) = −1 and y 0 (0) = −3

is
y (t) := 2 cosh(t) − 3 sinh(t) − 3 for t ≥ 0.

1
−1

Figure 16: The graphic of the solution y over the interval [0, 1].

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 Initial Value Problems and Boundary Value Problems

Boundary Value Problems

Before we start off this section, we need to make it very clear that we are
only going to scratch the surface of the topic of BVPs. There is enough
material in the topic of BVPs that we could devote a whole class to it.
The intent of this section is to give a brief (and we mean very brief) look
at the idea of BVPs and to give enough information to allow us to do
some basic partial differential equations in the next chapter.

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 Initial Value Problems and Boundary Value Problems

Now, with that out of the way, the first thing that we need to do is to
define just what we mean by a BVP. With IVPs, we had a differential
equation and we specified the value of the solution and an appropriate
number of derivatives at the same point (collectively called “initial
conditions”). For instance, for a second-order differential equation the
initial conditions are as follows.

y (0) = α and y 0 (0) = β.

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With BVPs, we will have a differential equation and we will specify the
function and/or derivatives at different points, which we’ll call boundary
values. For second-order differential equations, which will be looking at
pretty much exclusively here, any of the following can (and will) be used
for boundary conditions.

y (t1 ) = α and y (t2 ) = β,

0
y (t1 ) = α and y 0 (t2 ) = β,
0
y (t1 ) = α and y (t2 ) = β,
y (t1 ) = α and y 0 (t2 ) = β.

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 Initial Value Problems and Boundary Value Problems

As we’ll soon see much of what we know about initial value problems will
not hold here. We can, of course, solve the ODE provided the
coefficients are constant. None of that will change. The changes (and
perhaps the problems) arise when we move from initial conditions to
boundary conditions.

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 Initial Value Problems and Boundary Value Problems

Example 50
Show that the solution of the BVP
(
y 00 + 4y = 0 for 0 < t < π
4
y (0) = −2 and y ( π4 ) = 10

is
π
y (t) := −2 cos(2t) + 10 sin(2t) for 0 ≤ t ≤ 4.

π
−2 4

Figure 17: The graphic of the solution y over the interval [0, π4 ].

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 Initial Value Problems and Boundary Value Problems

Example 51
Show that solutions of the BVP
(
y 00 + 4y = 0 for 0 < t < π
y (0) = −2 and y (π) = −2

are
y (t) := −2 cos(2t) + c sin(2t) for 0 ≤ t ≤ π,
where c is an arbitrary constant.

π
−2

Figure 18: The graphic of the solutions y over the interval [0, π] for
c = −5, −4, · · · , 5.

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 Initial Value Problems and Boundary Value Problems

Example 52
Show that the BVP
(
y 00 + 4y = 0 for 0 < t < π
y (0) = −2 and y (π) = 3

has no solutions.

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Example 53
Show that the solution of the BVP
(
y 00 + 3y = 0 for 0 < t < π
0
y (0) = 7 and y (π) = 0

is √
√
√

y (t) := 7 cos 3t + 7 tan 3π sin 3t for 0 ≤ t ≤ π.

Figure 19: The graphic of the solution y over the interval [0, π].

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 Initial Value Problems and Boundary Value Problems

Example 54
Show that the BVP
(
y 00 + 25y = 0 for 0 < t < π
0 0
y (0) = 5 and y (π) = 5

has no solutions.

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Example 55
Show that solutions of the BVP
(
y 00 + 9y = cos(t) for 0 < t < π
2
y 0 (0) = 3 and y ( π2 ) = −1

are
1 π
y (t) := c cos(3t) + sin(3t) + cos(t) for 0 ≤ t ≤ 2,
8
where c is an arbitrary constant.

−1 π
2

Figure 20: The graphic of the solutions y over the interval [0, π] for
c = −5, −4, · · · , 5.

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 Sturm-Liouville Problems

Sturm-Liouville Problems

Legendre’s, Bessel’s and other ODEs of importance in engineering can be

written as a Sturm-Liouville equation
0
p(t)y 0 + [q(t) + λr (t)]y = 0,

(27)

where λ is a real parameter. The boundary value problem consisting of

an ODE (27) and given Sturm-Liouville boundary conditions
(
α1 y (a) + α2 y 0 (a) =0
(28)
β1 y (b) + β2 y 0 (b) =0

is called a “Sturm-Liouville problem”.

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 Sturm-Liouville Problems

We shall see further that these problems lead to useful series of

developments in terms of particular solutions of (27) and (28). Crucial in
this section is the notion of orthogonality, which will be discussed later
in this section.
In (27), we suppose that p, q, r and p 0 are continuous on the interval I
with r (t) > 0 for all t ∈ I . Further, we suppose in (28) that α1 , α2 are
given constants, not both zero, and so are β1 , β2 .

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 Sturm-Liouville Problems

Clearly, y ≡ 0 is a solution (called as the “trivial solution”) for any λ as

(27) is homogeneous and (28) has zeroes on the right-hand side. This is
of no interest. We want to find eigenfunctions y , that is, solutions of
(27) satisfying (28) without being identically zero. We call a number λ
for which an eigenfunction exists an eigenvalue of the Sturm-Liouville
problem (27) and (28).

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 Sturm-Liouville Problems

Example 56
Consider the Sturm-Liouville problem
(
y 00 (t) + λy (t) = 0
y (0) = 0 and y (π) = 0.

Let us find its eigenvalues and eigenfunctions. I

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 Sturm-Liouville Problems

To obtain the non-trivial solutions of the EVP, we consider the following

there distinct cases.
Case 1. Let λ > 0. Say λ := µ2 , where µ > 0. In this case, the general
solution of the DE is

yc (t) := c1 cos(µt) + c2 sin(µt),

where c1 and c2 are arbitrary constants. Using the boundary conditions,

we get

 c1 :=0
( 
c1 = 0
=⇒ c2 :=arbitrary
c1 cos(µπ) + c2 sin(µπ) = 0 
µn :=n, n = 1, 2, · · · .


Hence, for n = 1, 2, · · · , we get the eigenvalues λn := n2 and the

eigenfunctions ϕn (t) := sin(nt), where we let c2 := 1 for simplicity. I

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 Sturm-Liouville Problems

Case 2. Let λ = 0. In this case, the general solution of the DE is

yc (t) := c1 + c2 t,

where c1 and c2 are arbitrary constants. Applying the boundary

conditions, we get
( (
c1 = 0 c1 :=0
=⇒
c1 + πc2 = 0 c2 :=0,

which leads us to the trivial solution only. I

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 Sturm-Liouville Problems

Case 3. Let λ < 0. Say λ := −µ2 , where µ > 0. The general solution of
the DE is
yc (t) := c1 cosh(µt) + c2 sinh(µt),
where c1 and c2 are arbitrary constants. Using the boundary conditions,
we get ( (
c1 = 0 c1 :=0
=⇒
c1 cosh(µπ) + c2 sinh(µπ) = 0 c2 :=0.
Hence, we get the trivial solution.
Thus, the Sturm-Liouville problem has the eigenvalues

λn := n2 for n = 1, 2, · · ·

and the eigenfunctions

ϕn (t) := sin(nt) for n = 1, 2, · · · . 

!!! Insert Graphic Here!!!

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Example 57
Consider the Sturm-Liouville problem
(
y 00 (t) + λy (t) = 0
y (0) = 0 and y 0 (π) = 0.

Show that its eigenvalues are

 1 2
λn := n − for n = 1, 2, · · ·
2
and eigenfunctions are
 
1
ϕn (t) := sin n − t for n = 1, 2, · · · .
2

!!! Insert Graphic Here!!!

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Example 58
Consider the Sturm-Liouville problem
(
y 00 (t) + λy (t) = 0
y 0 (0) = 0 and y 0 (π) = 0.

Show that its eigenvalues are

λn := n2 for n = 0, 1, · · ·

and eigenfunctions are

ϕn (t) := cos(nt) for n = 0, 1, · · · .

!!! Insert Graphic Here!!!

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Example 59
Consider the periodic Sturm-Liouville problem
(
y 00 (t) + λy (t) = 0
y (−π) = y (π) and y 0 (−π) = y 0 (π).

Show that its eigenvalues are

λn := n2 for n = 0, 1, · · ·

and eigenfunctions are

ϕ2n (t) := cos(nt) and ϕ2n+1 (t) := sin(nt) for n = 0, 1, · · · .

!!! Insert Graphic Here!!!

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 Sturm-Liouville Problems

Fourier Series

Definition 34 (Orthogonality)
Functions f1 , f2 , · · · defined on some interval I : a < t < b are called as
“orthogonal” on this interval with respect to the weight function µ
(with µ(t) > 0 for all t ∈ I ) if the inner product satisfies
Z b
hfm , fn i := fm (ξ)fn (ξ)µ(ξ)dξ = 0 for all distinct m and n.
a

The norm of a function f is defined by

s
Z b

2
kf k := f (ξ) µ(ξ)dξ.
a

If the weight function is 1, then we briefly say that f1 , f2 , · · · are

orthogonal instead of orthogonal with respect to 1. Further, if f1 , f2 , · · ·
are orthogonal and all have norm 1, then they are called “orthonormal”.

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 Sturm-Liouville Problems

Let f0 , f1 , · · · be an orthogonal set of functions with respect to the weight

function µ on the interval I : a < t < b. Suppose that the function f
can be represented by a convergent series
∞
X
f (t) = am fm (t) = a0 f0 (t) + a1 f1 (t) + · · · , (29)
m=0

where a0 , a1 , · · · are scalars. This is called as the “orthogonal

expansion” or the “generalized Fourier series”. If f0 , f1 , · · · are
eigenfunctions of a Sturm-Liouville problem, then we call (29) as an
“eigenfunction expansion”.

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 Sturm-Liouville Problems

Note that we have

Z b
hf , fn i = f (ξ)fn (ξ)µ(ξ)dξ
a
Z ∞
b X
= am fm (ξ)fn (ξ)µ(ξ)dξ
a m=0
∞
X Z b
= am fm (ξ)fn (ξ)µ(ξ)dξ
m=0 a

X∞
= am hfm , fn i.
m=0

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 Sturm-Liouville Problems

Because of the orthogonality, all the terms inside the sum are zero except
when m = n. Hence, the infinite series reduces to

hf , fn i = an hfn , fn i = an kfn k2 ,

which yields
hf , fn i
an = , n = 0, 1, · · · (30)
kfn k2
provided that kfn k =
6 0.

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 Sturm-Liouville Problems

Recalling (29), we explicitly have

f (t) = a0 f0 (t) + a1 f1 (t) + · · · ,

where Rb
f (ξ)fn (ξ)µ(ξ)dξ
an = Ra b
2 , n = 0, 1, · · ·
a
fn (ξ) µ(ξ)dξ
provided that kfn k =
6 0.

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Definition 35 (Completeness)
Let f1 , f2 , · · · be a sequence of orthogonal functions on an interval
I : a < t < b and S be a set of functions defined on I . If every function
f ∈ S can be approximated arbitrarily closely by a linear combination of
the functions f1 , f2 , · · · , then f1 , f2 , · · · is said to be “complete” in the
set S. More precisely, let f ∈ S, if for every ε > 0, there exist a positive
integer m, scalars a1 , a2 , · · · , am and functions f1 , f2 , · · · , fm such that
m
X

f − ak k < ε.
f

k=0

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 Sturm-Liouville Problems

Lemma 1 (Completeness of the Trigonometric System)

The trigonometric system 1, cos(mt), sin(mt) for m = 1, 2, · · · is
orthogonal on the interval I : −π < t < π (hence, on any interval of
length 2π because of the periodicity), i.e., the inner product of any two
of these functions over the period is 0. Explicitly, we have the following.
Rπ
1. −π cos(mξ)dξ = 0 for any m.
Rπ
2. −π sin(mξ)dξ = 0 for any m.
(
Rπ π, m = n
3. −π cos(mξ) cos(nξ)dξ =
0, m 6= n.
(
Rπ π, m = n
4. −π sin(mξ) sin(nξ)dξ =
0, m 6= n.
Rπ
5. −π cos(mξ) sin(nξ)dξ = 0 for any m and n.
Further, the trigonometric system is complete in the set of piecewise
smooth functions (i.e., functions, which are piecewise continuous
together with their derivatives) defined on the closed interval [−π, π].

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 Sturm-Liouville Problems

Theorem 24 (Fourier Series)

Let f be piecewise smooth and be periodic of period 2π. Then, f can be

represented by its Fourier series
∞
X  
a0 + am cos(mt) + bm sin(mt) ,
m=1

where Z π
1
a0 = f (ξ)dξ,
2π −π
1 π
Z
am = f (ξ) cos(mξ)dξ, m = 1, 2, · · · ,
π −π
1 π
Z
bm = f (ξ) sin(mξ)dξ, m = 1, 2, · · · .
π −π
Further, the series converges to f (t) if f is continuous at t and to
f (t + )+f (t − )
2 if f has a jump type discontinuity at t.

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 Sturm-Liouville Problems

Example 60

Consider the following 2π-periodic function

(
1, 0<t<π
f (t) :=
(−1), −π < t < 0

whose graphic is given below.

1

−2π −π π 2π

−1

Figure 21: The graphic of f over the interval [−2π, 2π]. I

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 Sturm-Liouville Problems

Computing the Fourier coefficients, we see that

Z 0 Z π 
1
a0 = (−1)dξ + 1dξ = 0,
2π −π 0
Z 0 Z π 
1
am = (−1) cos(mξ)dξ + cos(mξ)dξ = 0,
π −π 0
Z 0 Z π 
1
bm = (−1) sin(mξ)dξ + sin(mξ)dξ
π −π 0
 0 π 
1 1 1
= cos(mξ) − cos(mξ)
 
π m −π m 0
2  2 
1 − (−1)m
 
= 1 − cos(mπ) =
mπ mπ
for m = 1, 2, · · · . I

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 Sturm-Liouville Problems

Substituting these back into the series, we get

∞
2 X 1
1 − (−1)m sin(mt)

f (t) ∼
π m=1 m

or equivalently
∞
4X 1

f (t) ∼ sin (2k − 1)t ,
π 2k − 1
k=1

which is the desired series. I

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 Sturm-Liouville Problems

This Fourier series converges to the 2π-periodic function



 0, t=π

1, 0<t<π
g (t) :=
0,
 t=0

(−1), −π < t < 0


whose graphic is given below.

1

−2π −π π 2π

−1

Figure 22: The graphic of g over the interval [−2π, 2π]. 

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 Sturm-Liouville Problems

Theorem 25 (Fourier Series for 2L-Periodic Functions)

The Fourier series of a function of period 2L is of the form

∞     
X π π
f (t) ∼ a0 + am cos mt + bm sin mt
m=1
L L

with coefficients
Z L
1
a0 := f (ξ)dξ,
2L −L
1 L
Z  
π
am := f (ξ) cos mξ dξ, m = 1, 2, · · · ,
L −L L
Z L  
1 π
bm := f (ξ) sin mξ dξ, m = 1, 2, · · · .
L −L L

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Example 61
Consider the following 2-periodic function
(
t, 0 < t < 1
f (t) :=
2, −1 < t < 0

whose graphic is given below.

2

−2 −1 1 2

Figure 23: The graphic of f over the interval [−2, 2]. I

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 Sturm-Liouville Problems

The series
∞ 
1 − (−1)m 2 − (−1)m
   
5 X
− cos(πmt) + sin(πmt)
4 m=1 π 2 m2 πm

is the Fourier series for f . I

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 Sturm-Liouville Problems

This series converges to the 2-periodic function

3
2, t = 1


t, 0 < t < 1
g (t) :=
1, t = 0


2, −1 < t < 0


whose graphic is given below.

2

−2 −1 1 2

Figure 24: The graphic of g over the interval [−2, 2]. 

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 Sturm-Liouville Problems

Theorem 26 (Fourier Series for Even Functions)

The Fourier series of an even function of period 2L is a Fourier Cosine

series of the form
∞  
X π
f (t) ∼ a0 + am cos mt
m=1
L

with coefficients
Z L
1
a0 := f (ξ)dξ,
L 0
Z L  
2 π
am := f (ξ) cos mξ dξ, m = 1, 2, · · · .
L 0 L

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 Sturm-Liouville Problems

Theorem 27 (Fourier Series for Odd Functions)

The Fourier series of an odd function of period 2L is a Fourier Sine

series of the form
∞  
X π
f (t) ∼ bm sin mt
m=1
L
with coefficients
Z L  
2 π
bm := f (ξ) sin mξ dξ, m = 1, 2, · · · .
L 0 L

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 Sturm-Liouville Problems

Example 62
Consider the following 2-periodic function

f (t) := t for |t| < 1

whose graphic is given below.

1

−4 −3 −2 −1 1 2 3 4

−1

Figure 25: The graphic of f over the interval [−4, 4]. I

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 Sturm-Liouville Problems

The series
∞
2 X (−1)m
− sin(πmt)
π m=1 m
is the Fourier Sine series for f . I

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 Sturm-Liouville Problems

This series converges to the 2-periodic function


0, t = 1

g (t) := t, −1 < t < 1

0, t = 0


whose graphic is given below.

1

−4 −3 −2 −1 1 2 3 4

−1

Figure 26: The graphic of g over the interval [−4, 4]. 

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 Sturm-Liouville Problems

Example 63
Consider the 2L-periodic function defined as
(
t(L − t), 0≤t≤L
f (t) :=
t(L + t), −L ≤ t ≤ 0

whose graphic is given below.

−3L −L L 3L

Figure 27: The graphic of f over the interval [−3L, 3L]. I

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 Sturm-Liouville Problems

Show that
∞
4L2 X 1 − (−1)m
 
π
sin mt for − L ≤ t ≤ L
π 3 m=1 m3 L

or equivalently
∞
8L2 X
 
1 π
sin (2k − 1)t for − L ≤ t ≤ L
π3 (2k − 1)3 L
k=1

is the Fourier series of f . 

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 Partial Differential Equations

Partial Differential Equations

Definition 36 (Partial Differential Equations)

A “partial differential equation” (in short, PDE) is an equation

containing one unknown function (dependent variable) of at least two
independent variables together with its derivatives.

Definition 37 (Order of the PDE)

The highest-order derivative appearing in the equation is called the

“order” of a differential equation.

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 Partial Differential Equations

Example 64

Let us present some important partial differential equations.

2
∂u
1. One-Dimensional Heat Equation: ∂t = c 2 ∂∂xu2 .
∂2u 2
2. One-Dimensional Wave Equation: ∂t 2 = c 2 ∂∂xu2 .
∂2u ∂2u
3. Two-Dimensional Laplace Equation: ∂x 2 + ∂y 2 = 0.
2 2
∂ u ∂ u
4. Two-Dimensional Poisson Equation: ∂x 2 + ∂y 2 = f (x, y ).
2
 2

∂ u ∂ u ∂2u
5. Two-Dimensional Wave Equation: ∂t 2 = c2 ∂x 2 + ∂y 2 .
∂2u ∂2u ∂2u
6. Three-Dimensional Laplace Equation: ∂x 2 + ∂y 2 + ∂z 2 = 0.
Here, c is a positive constant, t is time while x, y , z are Cartesian
coordinates, and the dimension is the number of these Cartesian
variables in the equation.

In this section, we will consider Equation 1, Equation 2 and Equation 3.

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 Partial Differential Equations

Consider the second-order quasilinear PDE

Auxx + Buxy + Cuyy = F (x, y , u, ux , uy ), (x, y ) ∈ R, (31)

where A, B and C are only functions of x and y , and R is a open

connected set in R2 . Such equations are classified by checking
∆ := B 2 − 4AC as follows.
1. Hyperbolic: ∆ > 0.
2. Parabolic: ∆ = 0.
3. Elliptic: ∆ < 0.
So, we can say that the heat equation is parabolic, the wave equation
is hyperbolic while the Laplace equation is elliptic.

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 Partial Differential Equations

For a PDE of the particular form (31) to be meaningful, we need

boundary conditions such as the followings.
1. Dirichlet Boundary Condition: u = f (x, y ) for (x, y ) ∈ ∂R, where
∂R denotes the boundary of R.
∂u
2. Neumann Boundary Condition: ∂n = f (x, y ) for (x, y ) ∈ ∂R,
where n denotes the normal vector to the boundary of R.
∂u
3. Robin Boundary Condition: αu + β ∂n = f (x, y ) for (x, y ) ∈ ∂R.
4. Mixed Boundary Condition: This case includes at least two of the
conditions above. For instance, u = f (x, y ) for (x, y ) ∈ J1 and
∂u
∂n = g (x, y ) for (x, y ) ∈ J2 , where J1 and J2 nonintersecting curves with
J1 ∪ J2 = ∂R.

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 Partial Differential Equations

Theorem 28 (Superposition Principle)

Let u1 and u2 be solutions of the second-order linear homogeneous
PDE
Auxx + Buxy + Cuyy + Dux + Euy + Fu = 0,
where A, B, C , D, E and F are only functions of x and y , in some region
R. Then,
u := c1 u1 + c2 u2 ,
where c1 and c2 are arbitrary constants, is also a solution.

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 Partial Differential Equations Heat Equation

Heat Equation

In this section, we will study finding the solution of the one-dimensional

heat equation
∂u ∂2u
= c2 2 , (32)
∂t ∂x
K
where c 2 = σρ , which gives us the temperature u(x, t) in a body of
homogeneous rod. Here, c is the thermal diffusivity, K is the thermal
conductivity, σ is the specific heat and ρ is the density of the metal rod.
This equation is also known as “diffusion equation”.

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 Partial Differential Equations Heat Equation

We consider the temperature in a long thin metal rod of constant cross

section and homogeneous material, which is oriented along the
hotizontal-axis and is perfectly insulated laterally. So that the heat can
only flow in the hotizontal-direction. See Figure 28.

Figure 28: The rod under consideration.

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 Partial Differential Equations Heat Equation

We shall solve (32) for some important types of boundary and initial
conditions. We begin with the case in which the ends x = 0 and x = L of
the bar are kept at temperature zero. So that we have the boundary
conditions

u(0, t) = 0 and u(L, t) = 0 for all t ≥ 0. (33)

Furthermore, the initial temperature in the bar at time t = 0 is given as

f (x). Hence, we have the initial condition

u(x, 0) = f (x) for 0 ≤ x ≤ L. (34)

Here, we must have f (0) = 0 and f (L) = 0 for consistency with (33).

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 Partial Differential Equations Heat Equation

We shall determine a solution u(x, t) of (32) satisfying (33) and (34).

Our method will use the technique of separation of variables, which will
be the main idea for solving the wave equation and the Laplace equation.
The steps of the method are outlined below.
Step 1. We let u(x, t) := ϕ(x)ψ(t) to obtain from the PDE (32) two
ODEs, one for ϕ and one for ψ.
Step 2. We determine solutions of these ODEs satisfying the boundary
conditions (33) and the initial condition (34).
Step 3. Finally, using Fourier series, we compose the solutions in Step 2
to obtain the solution of (32) satisfying (33) and (34).

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 Partial Differential Equations Heat Equation

Step 1: Two ODEs from the Heat Equation

In the method of separating variables (or the product method), we

determine solution of the heat equation (32) of the form

u(x, t) := ϕ(x)ψ(t), (35)

which is a product of two functions, each depending only on one of the

variables x and t. This is a powerful general method that has various
applications in engineering mathematics. Differentiating (35), we obtain

∂u ∂2u
= ϕψ̇ and = ϕ00 ψ,
∂t ∂x 2
where dots denote the derivatives with respect to t and the primes the
derivatives with respect to x.

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 Partial Differential Equations Heat Equation

By substituting this into (32), we have

ϕψ̇ = c 2 ϕ00 ψ.

Dividing by c 2 ϕψ and simplifying gives

ϕ00 1 ψ̇
= 2 .
ϕ c ψ
The variables are separated now, the left-hand side depends only on x
and the right-hand side only on t. Hence, both sides must be constant
because if they were variables, then changing one would affect only one
side, leaving the other side unaltered. Thus,

ϕ00 1 ψ̇
= 2 = −λ,
ϕ c ψ
where λ is called as the “separation constant”.

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 Partial Differential Equations Heat Equation

Multiplying by the denominators gives immediately two ODEs

ϕ00 + λϕ = 0 (36)

and
ψ̇ + c 2 λψ = 0. (37)

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 Partial Differential Equations Heat Equation

Step 2: Fulfilling the Boundary Conditions

We now determine solutions ϕ and ψ of (36) and (37), respectively, so

that u = ϕψ satisfies the boundary conditions (33), that is,

u(0, t) = ϕ(0)ψ(t) = 0 and for all t ≥ 0.

u(L, t) = ϕ(L)ψ(t) = 0
(38)
we first solve the spatial problem (36). If ψ ≡ 0, then u = ϕψ ≡ 0, which
is of no interest. Hence, ψ 6≡ 0 and then by (38), we get

ϕ(0) = 0 and ϕ(L) = 0. (39)

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 Partial Differential Equations Heat Equation

We will show that λ must be positive.

Case 1. Let λ < 0, then we may take λ := −µ2 , where µ > 0. Hence,
the general solution of (36) is

ϕ(x) := A cosh(µx) + B sinh(µx),

where A and B are arbitrary constants. Applying the boundary conditions

in (39) yields A := 0 and B := 0, which leads us to the trivial solution
ϕ ≡ 0.

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 Partial Differential Equations Heat Equation

Case 2. Let λ = 0, then the general solution of (36) is

ϕ(x) := A + Bx,

where A and B are arbitrary constants. An application of the boundary

conditions in (39) yields A := 0 and B := 0, which again leads us to the
trivial solution ϕ ≡ 0.

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 Partial Differential Equations Heat Equation

Case 3. Let λ > 0, then we may take λ := µ2 , where µ > 0. In this

case, the general solution of (36) is

ϕ(x) := A cos(µx) + B sin(µx),

where A and B are arbitrary constants. Using (39), we get

A=0 and B sin(µL) = 0.

We must take B 6= 0 since otherwise ϕ ≡ 0. Hence, sin(µL) = 0, which

yields µn := πL n for n = 1, 2, · · · . Hence, the eigenvalues are
 2
π
λn := n , n = 1, 2, · · ·
L

and the eigenfunctions are


π
ϕn (x) := sin nx , n = 1, 2, · · · .
L

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 Partial Differential Equations Heat Equation

π

2
Now, we turn to the solution of the problem (37) with λn := Ln , i.e.,
 2
π
ψ̇ + c n ψ=0
L

whose general solution is

π 2
ψn (t) := Cn e−(c L n) t ,

where C1 , C2 , · · · are arbitrary constants to be determined later.

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 Partial Differential Equations Heat Equation

Hence, the functions

 
π π 2
un (x, t) := ϕn (x)ψn (t) = Cn sin nx e−(c L n) t , n = 1, 2, · · · (40)
L

are solutions of the heat equation (32) satisfying (33). These are the
eigenfunctions of the problem corresponding to the eigenvalues c πL n
for n = 1, 2, · · · .

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 Partial Differential Equations Heat Equation

Step 3: Complete Solution by Fourier Series

So far, we have the solutions in (40) satisfying the boundary conditions
(33). To obtain a solution that also satisfies the initial condition (34), we
consider the series of eigenfunctions
∞ ∞  
X X π π 2
u(x, t) = un (x, t) = Cn sin nx e−(c L n) t . (41)
n=1 n=1
L

Letting t = 0 in (41) and using (34), we have

∞  
X π
u(x, 0) = Cn sin nx = f (x).
n=1
L

Hence, for (41) to satisfy (34), Cn ’s must be the coefficients of the

Fourier Sine series of f by Theorem 27, i.e.,

2 L
Z  
π
Cn := f (ξ) sin nξ dξ, n = 1, 2, · · · .
L 0 L

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 Partial Differential Equations Heat Equation

Example 65
Show that the solution of the heat equation

1
ut = 64 uxx for 0 < x < L and t > 0

u(0, t) = 0 and u(L, t) = 0 for t > 0

u(x, 0) = x(L − x) for 0 ≤ x ≤ L


is
∞
4L2 X 1 − (−1)n
 
π π 2
u(x, t) := 3 3
sin nx e−( 8L n) t .
π n=1 n L

!!! Insert Graphic Here !!!

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 Partial Differential Equations Heat Equation

Example 66
Show that the solution of the heat equation

1
ut = 64 uxx for 0 < x < L and t > 0

u(0, t) = 0 and u(L, t) = 0 for t > 0
u(x, 0) = sin πL x + 3 sin 5 πL x − 8 sin 17 πL x




for 0 ≤ x ≤ L


is    
π π 2 π π 2
u(x, t) := sin x e−( 8L ) t + 3 sin 5 x e−(5 8L ) t
L L
 
π π 2
− 8 sin 17 x e−(17 8L ) t .
L

!!! Insert Graphic Here !!!

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 Partial Differential Equations Heat Equation

Example 67
Show that the solution of the heat equation

1
ut = 64 uxx for 0 < x < L and t > 0

ux (0, t) = 0 and ux (L, t) = 0 for t > 0
u(x, 0) = 1 − cos 3 πL x


for 0 ≤ x ≤ L


is  
π π 2
u(x, t) := 1 − cos 3 x e−(3 8L ) t .
L

!!! Insert Graphic Here !!!

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 Wave Equation

Wave Equation

The model of a vibrating elastic string (a violin string, for instance)

consists of the one-dimensional wave equation

∂2u 2
2∂ u
= c , (42)
∂t 2 ∂x 2
where c 2 := Tρ . Here, c is the velocity of propagation with a tension
of T and a mass density of ρ.

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 Wave Equation

Since the string is fastened at the ends x = 0 and x = L, we have the

two boundary conditions

u(0, t) = 0 and u(L, t) = 0 for all t ≥ 0. (43)

Furthermore, the form of the motion of the string will depend on its
initial deflection (the deflection at time t = 0) f (x), and on its initial
velocity (the velocity at time t = 0) g (x). Hence, we have the two
initial condition

u(x, 0) = f (x) and ut (x, 0) = g (x) for 0 ≤ x ≤ L. (44)

We will find a solution of the PDE (42) satisfying (43) and (44). The
technique applied here is almost same as the one used for the heat
equation.

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 Wave Equation

Step 1: Two ODEs from the Wave Equation

Substitution of a product u(x, t) = ϕ(x)ψ(t) into (42) gives

ϕψ̈ = c 2 ϕ00 ψ,
2
d2 ψ
where ϕ00 := ddxϕ2 and ψ̈ := dt 2 . To separate the variables, we divide by
c 2 ϕψ, which yields
ϕ00 1 ψ̈
= 2 .
ϕ c ψ
The left-hand side depends only on x and the right-hand side only on t,
so both sides must be equal to the so-called separation constant λ, i.e.,

ϕ00 1 ψ̈
= 2 = −λ. (45)
ϕ c ψ

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 Wave Equation

We can show that for λ < 0 and λ = 0, the only solution u = ϕψ

satisfying (43) is the trivial solution, i.e., u ≡ 0. For λ = µ2 > 0, where
µ > 0, we have from (45) that

ϕ00 1 ψ̈
= 2 = −µ2 .
ϕ c ψ
Multiplication by the denominators gives immediately the two ODEs

ϕ00 + µ2 ϕ = 0 (46)

and
ψ̈ + c 2 µ2 ψ = 0. (47)

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 Wave Equation

Step 2: Fulfilling the Boundary Conditions

We first solve (46). A general solution is

ϕ(x) := A cos(µx) + B sin(µx), (48)

where A and B are constants. From the boundary conditions in (43), it

follows that

u(0, t) = ϕ(0)ψ(t) = 0 and u(L, t) = ϕ(L)ψ(t) = 0.

We only require ϕ(0) = 0 and ϕ(L) = 0 since ψ ≡ 0 would yield u ≡ 0.

Hence, ϕ(0) = A = 0 by (48) and then ϕ(L) = B sin(µL) = 0 with B 6= 0
(to avoid ϕ ≡ 0), we get sin(µL) = 0, which implies µn := πL n for
n = 1, 2, · · · . Letting B := 1, we obtain the solutions ϕn (x) := sin πL nx

of (46) satisfying (43)

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 Wave Equation

π
Now, we solve (47). For µn := L n, as just obtained, (47) becomes
 2
π
ψ̈ + c n ψ=0
L

whose general solution is

   
π π
ψn (t) := Cn cos c nt + Dn sin c nt ,
L L

where C1 , C2 , · · · and D1 , D2 , · · · are constants.

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 Wave Equation

Therefore, the functions

     
π π π
un (x, t) := sin nx Cn cos c nt +Dn sin c nt , n = 1, 2, · · ·
L L L
(49)
are solutions of the wave equation (42) satisfying (43). The functions in
(49) are the eigenfunctions of the problem corresponding to the
eigenvalues c πL n for n = 1, 2, · · · .

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 Wave Equation

Step 3: Complete Solution by Fourier Series

So far, we have the solutions in (49) satisfying the boundary conditions

(43). To obtain a solution that also satisfies the initial condition (44), we
consider the series of eigenfunctions
∞      
X π π π
u(x, t) := sin nx Cn cos c nt + Dn sin c nt . (50)
n=1
L L L

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 Wave Equation

Letting t = 0 in (50) and using (44), we have

∞  
X π
u(x, 0) = Cn sin nx = f (x).
n=1
L

Hence, for (50) to satisfy the first condition in (44), Cn ’s must be the
coefficients of the Fourier Sine series of f by Theorem 27, i.e.,

2 L
Z  
π
Cn := f (ξ) sin nξ dξ, n = 1, 2, · · · .
L 0 L

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 Wave Equation

Letting t = 0 after differentiating (50) with respect to t and using (44),

we have
∞  
X π π
ut (x, 0) = Dn c n sin nx = g (x).
n=1
L L

Hence, for (50) to satisfy the second condition in (44), Dn ’s must be the
coefficients of the Fourier Sine series of g by Theorem 27, i.e.,
Z L  
2 π
Dn := g (ξ) sin nξ dξ, n = 1, 2, · · · .
cπn 0 L

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 Wave Equation

Example 68
Show that the solution of the wave equation

utt = 4uxx for 0 < x < L and t > 0

u(0, t) = 0 and u(L, t) = 0 for t > 0

u(x, 0) = x(L − x) and ut (x, 0) = x for 0 ≤ x ≤ L


is
∞
L2 X 4 1 − (−1)n
   
π π
u(x, t) := 2 sin n x cos 2n t
π n=1 L π n3 L
(−1)n
 
π
− 2
sin 2n t .
n L

!!! Insert Graphic Here !!!

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 Wave Equation

Example 69
Show that the solution of the wave equation

utt = 4uxx for 0 < x < L and t > 0

u(0, t) = 0 and u(L, t) = 0 for t > 0
u(x, 0) = 4 sin 5 πL x and ut (x, 0) = 3 sin 14 πL x



for 0 ≤ x ≤ L


is
       
π π 3L π π
u(x, t) := 4 sin 5 x cos 10 t + sin 14 x sin 28 t .
L L 28π L L

!!! Insert Graphic Here !!!

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 Wave Equation

Example 70
Show that the solution of the wave equation

utt = 4uxx for 0 < x < L and t > 0

ux (0, t) = 0 and u(L, t) = 0 for t > 0
π π



u(x, 0) = 2 cos 9 2L x and ut (x, 0) = 3 cos 15 2L x for 0 ≤ x ≤ L


is
       
π π L π π
u(x, t) := 2 cos 9 x cos 9 t + cos 15 x sin 15 t .
2L L 5π 2L L

!!! Insert Graphic Here !!!

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 Laplace Equation

Laplace Equation

In this section, we will consider the Laplace equation

∂2u ∂2u
2
+ 2 = 0, (51)
∂x ∂y
which can be obtained from two-dimensional heat equation
 2
∂2u

∂u ∂ u
= c2 +
∂t ∂x 2 ∂y 2
∂u
by taking the time as constant. So that ∂t ≡ 0, which leads us to (51).

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 Laplace Equation

We will consider here (51) under Dirichlet boundary condition

u(x, 0) = 0 and u(x, H) = f (x) for 0 ≤ x ≤ L (52)

and
u(0, y ) = 0 and u(L, y ) = 0 for 0 ≤ y ≤ H. (53)
See Figure 29.

f (x)

H
0 0

Figure 29: The plate under consideration.

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 Laplace Equation

Step 1: Two ODEs from the Laplace Equation

We will solve this problem again by using the method of separation of

variables. Substituting u(x, y ) = ϕ(x)ψ(y ) into (51), dividing by ϕψ,
and then
ϕ00 ψ̈
= − = −λ, (54)
ϕ ψ
where λ is the so-called separation constant. We can show that for
λ < 0 and λ = 0, the only solution u = ϕψ satisfying (53) is the trivial
solution, i.e., u ≡ 0. For λ = µ2 > 0, where µ > 0, we have from (54)
that
ϕ00 ψ̈
= − = −µ2 .
ϕ ψ

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 Laplace Equation

Step 2: Fulfilling the Boundary Conditions

From this and (53), we get the ODE

ϕ00 + µ2 ϕ = 0

with the boundary conditions

ϕ(0) = 0 and ϕ(L) = 0.

This gives us µn := πL n and ϕn (x) := sin πL nx for n = 1, 2, · · · .

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 Laplace Equation

π
Next, using µn := Ln in the second ODE, we get
 2
π
ψ̈ − n ψ=0
L

with the initial condition

ψ(0) = 0
whose solution is  
π
ψn (y ) := Cn sinh ny ,
L
where C1 , C2 , · · · are constants to be determined later.

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 Laplace Equation

Thus, for n = 1, 2, · · · , we see that

   
π π
un (x, y ) := Cn sin nx sinh ny
L L

π

2
are the eigenfunctions for the eigenvalues λn := Ln .

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 Laplace Equation

Step 3: Complete Solution by Fourier Series

Defining
∞    
X π π
u(x, y ) := Cn sin nx sinh ny
n=1
L L

and using (52), we see that

∞    
X π π
u(x, H) = Cn sin nx sinh nH = f (x).
n=1
L L

By Theorem 27, the coefficients of the solution u are given by

Z L  
2 π
Cn := f (ξ) sin nξ dξ, n = 1, 2, · · · .
L sinh πL nH 0


L

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 Laplace Equation

Example 71
Show that the solution of the Laplace equation
 2
∂ u ∂2u
 ∂x 2 + ∂y 2 = 0 for 0 < x, y < 2


u(x, 0) = 0 and u(x, 2) = sin 3 π2 x for 0 ≤ x ≤ 2

u(0, y ) = 0 and u(2, y ) = 0 for 0 ≤ y ≤ 2


is    
1 π π
u(x, y ) := sin 3 x sinh 3 y .
sinh(3π) 2 2

!!! Insert Graphic Here!!!

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 Laplace Equation

Example 72
Show that the solution of the Laplace equation
 2
∂ u ∂2u
 ∂x 2 + ∂y 2 = 0 for 0 < x, y < 2

u(x, 0) = 0 and u(x, 2) = 0 for 0 ≤ x ≤ 2

u(0, y ) = − sin π2 y and u(2, y ) = 0 for 0 ≤ y ≤ 2


is    
1 π π
u(x, y ) := − sinh π − x sin y .
sinh(π) 2 2

!!! Insert Graphic Here!!!

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 Laplace Equation

Example 73
Show that the solution of the Laplace equation
 2
∂ u ∂2u
 ∂x 2 + ∂y 2 = 0 for
0 < x, y < 2

u(x, 0) = 3 sin 7 π2 x and u(x, 2) = sin 3 π2 x


for 0 ≤ x ≤ 2

u(0, y ) = − sin π2 y and u(2, y ) = 0 for 0 ≤ y ≤ 2


is    
1 π π
u(x, y ) := sin 3 x sinh 3 y
sinh(3π) 2 2
   
3 π π
+ sin 7 x sinh 7π − 7 y
sinh(7π) 2 2
   
1 π π
− sinh π − x sin y .
sinh(π) 2 2

!!! Insert Graphic Here!!!

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 Fourier Integral

Fourier Integral

We develop the Fourier integral with an intuitive approach. However, at

the conclusion of our approach, we state the Fourier integral theorem.
The Fourier integral theorem states all the sufficient conditions necessary
for the Fourier integral representation of a function. We now start with
our intuitive approach.

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 Fourier Integral

Suppose we have an arbitrary smooth function fL on the interval [−L, L].

Then, we may represent fL by the Fourier series
∞     
X π π
fL (t) = a0 + am cos mt + bm sin mt ,
m=1
L L

where Z L
1
a0 := f (ξ)dξ,
2L −L
1 L
Z  
π
am := f (ξ) cos mξ dξ, m = 1, 2, · · · ,
L −L L
1 L
Z  
π
bm := f (ξ) sin mξ dξ, m = 1, 2, · · · .
L −L L
We will try to figure out what happens when L → ∞.

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 Fourier Integral

π π
Let ω := L m, then ∆ω := L. Thus, we have
Z L ∞  Z L 
1 X 1
fL (t) = f (ξ)dξ + f (ξ) c(ωξ)dξ c(ωt)
2L −L m=1
L −L
 Z L  
1
+ f (ξ) s(ωξ)dξ s(ωt)
L −L
Z L ∞ Z L 
1 1X
= f (ξ)dξ + f (ξ) c(ωξ)dξ c(ωt)
2L −L π m=1 −L
Z L   (55)
+ f (ξ) s(ωξ)dξ s(ωt) ∆ω,
−L

where we denote cos and sin with their first letters above.

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 Fourier Integral

Now, let L → ∞, and assume that the limiting function

f (t) := lim fL (t)

L→∞

is a non-periodic absolutely integrable function, i.e.,

Z ∞
|f (ξ)|dξ < ∞.
−∞

Then, for all L > 0, we have

 Z L  Z L Z ∞
1  1 1

 2L f (ξ)dξ  ≤
 |f (ξ)|dξ ≤ |f (ξ)|dξ,
−L 2L −L 2L −∞

which implies
Z L
1
lim f (ξ)dξ = 0. (56)
L→∞ 2L −L

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 Fourier Integral

Letting L → ∞, then ∆ω → 0, and we get from (55) and (56) that

Z ∞
f (t) = {A(ω) cos(ωt) + B(ω) sin(ωt)}dω, (57)
0

where
Z ∞ Z ∞
1 1
A(z) := f (ξ) cos(zξ)dξ and B(z) := f (ξ) sin(zξ)dξ.
π −∞ π −∞

It is clear that the intuitive approach here merely suggests the

representation in (57) but, by no means, establishes it. In general, the
limit of the series in (55) as ∆ω → 0 is not the definition of the integral
in (57). Sufficient conditions for the validity of (57) are given below.

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 Fourier Integral

Theorem 29 (Fourier Integral)

Let f be a piecewise continuous function on every finite interval, and

have a right-hand and left-hand derivative
R∞ at every point. Suppose also
that f is absolutely integrable, i.e., −∞ |f (ξ)|dξ < ∞. Then, f can be
represented by the Fourier integral
Z ∞
f (t) ∼ {A(ω) cos(ωt) + B(ω) sin(ωt)}dω,
0

where
Z ∞ Z ∞
1 1
A(z) := f (ξ) cos(zξ)dξ and B(z) := f (ξ) sin(zξ)dξ.
π −∞ π −∞

Further, the integral converges to f (t) if f is continuous at t and to

f (t + )+f (t − )
2 if f has a jump type discontinuity at t.

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 Fourier Integral

Example 74

Show that the Fourier integral of



 0, t ≤ −h

1, −h < t < 0
f (t) :=


 2, 0<t≤h
0, t > h,


where h > 0, is
Z ∞
1 sin(hω)
f (t) ∼ 3 cos(ωt)
π 0 ω

1 − cos(hω)
+ sin(ωt) dω for t ∈ R. I
ω

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 Fourier Integral

By Theorem 29, we see that the Fourier integral converges to the function
1


 2 , t = −h
1, −h < t < 0




3, t = 0

g (t) := 2
2, 0 < t < h


1, t = h





0, |t| > h.


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 Fourier Integral

Example 75

Show that the Fourier integral of

(
1, |t| ≤ h
f (t) :=
0, |t| > h,

where h > 0, is
Z ∞
2 sin(hω)
f (t) ∼ cos(ωt)dω for t ∈ R. I
π 0 ω

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 Fourier Integral

By Theorem 29, we see that the Fourier integral converges to the function

1, |t| < h

g (t) := 12 , |t| = h

0, |t| > h.


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 Fourier Integral

Example 76

Show that the Fourier integral of

(
sgn(t), |t| < h
f (t) :=
0, |t| ≥ h,

where h > 0, is
∞
1 − cos(hω)
Z
2
f (t) ∼ sin(ωt)dω. I
π 0 ω

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 Fourier Integral

By Theorem 29, we see that the Fourier integral converges to the function
 1

 (− 2 ), t = −h

(−1), −h < t < 0





0, t=0
g (t) :=
1,
 0<t<h

1
, t=h


2



0, |t| > h.


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 Fourier Integral

The Fourier Cosine and Sine Integrals

In the previous subsection, we first stated Fourier’s integral theorem.

Then, we gave the preferred form of Fourier’s integral. In Example 75
and Example 76, we see that B(z) ≡ 0 and A(z) ≡ 0, respectively. In
this subsection, we will present that this property holds in general for
even and for odd functions.

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 Fourier Integral

Theorem 30 (Fourier Integral Theorem for Even Functions)

Fourier integral of an even function is a Fourier Cosine integral of the
form Z ∞
f (t) ∼ A(ω) cos(ωt)dω,
0
where Z ∞
2
A(z) := f (ξ) cos(zξ)dξ.
π 0

This actually gives us the Fourier transform of f (|t|) for t ∈ R if

f : [0, ∞) → R.

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 Fourier Integral

Theorem 31 (Fourier Integral Theorem for Odd Functions)

Fourier integral of an odd function is a Fourier Sine integral of the form
Z ∞
f (t) ∼ B(ω) sin(ωt)dω,
0

where Z ∞
2
B(z) := f (ξ) sin(zξ)dξ.
π 0

This actually gives us the Fourier transform of sgn(t)f (|t|) for t ∈ R if

f : [0, ∞) → R.

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 Fourier Integral

Example 77

Show that the Fourier Cosine integral of

f (t) = e−αt for t ≥ 0,

where α > 0, is
Z ∞
2 α
f (|t|) ∼ cos(ωt)dω for t ∈ R.
π 0 α2 + ω2

!!! Insert Graphic Here !!!

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 Fourier Integral

Example 78

Show that the Fourier Cosine integral of

2
f (t) = e−αt for t ≥ 0,

where α > 0, is
Z ∞
1 ω2
f (|t|) ∼ √ e− 4α cos(ωt)dω for t ∈ R.
απ 0

!!! Insert Graphic Here !!!

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 Fourier Integral

Example 79

Show that the Fourier Sine integral of

f (t) = e−αt for t ≥ 0,

where α > 0, is
Z ∞
2 ω
sgn(t)f (|t|) ∼ sin(ωt)dω for t ∈ R.
π 0 α2 + ω 2

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 Fourier Integral

Solving PDEs by Fourier Integrals

Now, we will solve some examples by using the notion of Fourier integral.
Example 80

Consider the heat equation under Dirichlet type boundary conditions in

the upper half-plane

u − uxx = 0, −∞ < x < ∞, t > 0


 t

2
u(x, 0) = e−x , −∞ < x < ∞


u is bounded.

We will use the Fourier integral concept to find the solution. I

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 Fourier Integral

Let u(x, y ) := ϕ(x)ψ(y ), then

ϕ00 + λϕ = 0 and ψ̇ + λψ = 0.

Then, we have

−µx
a(λ)e
 + b(λ)eµx , λ<0
ϕλ (x) := a(λ) + b(λ)x, λ=0

a(λ) cos(µx) + b(λ) sin(µx), λ > 0,


where µ > 0 satisfies λ = sgn(λ)µ2 , and

ψλ (t) := c(λ)e−λt . I

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 Fourier Integral

Case 1. Let λ < 0. u is not bounded if a(λ) 6= 0 or b(λ) 6= 0.

Case 2. Let λ = 0. u is not bounded if b(λ) 6= 0.
Case 3. Let λ > 0. u is bounded for any a(λ) and b(λ).
This can be written as

ϕλ (x) := a(λ) cos(µx) + b(λ) sin(µx) for λ ≥ 0.

Then, we have
2
uµ (x, t) := A(µ) cos(µx) + B(µ) sin(µx) e−µ t

for µ ≥ 0. I

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 Fourier Integral

By the superposition principle, we have

Z ∞
2
A(ω) cos(ωx) + B(ω) sin(ωx) e−ω t dω.

u(x, t) :=
0

Then, by Example 78, we have

Z ∞
2
e−x = u(x, 0) =

A(ω) cos(ωx) + B(ω) sin(ωx) dω,
0

which yields
1 z2
A(z) := √ e− 4 and B(z) :≡ 0. I
π

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 Fourier Integral

Therefore,
Z ∞
1 ω2 2
u(x, t) := √ e− 4 cos(ωx)e−ω t dω
π 0
Z ∞
1 1 2
=√ cos(ωx)e−(t+ 4 )ω dω. I
π 0

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 Fourier Integral

The last integral above can be computed as

x2
e− 1+4t
u(x, t) := √ .
1 + 4t

x 1 −1
t

2
− x
Figure 30: Graphic of e√ 1+4t
. 
1+4t

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 Fourier Integral

Example 81

Consider the Laplace equation under Dirichlet type boundary conditions

in the upper half-plane

uxx + uyy = 0, −∞

 (
< x < ∞, y > 0

 1, |x| < π
u(x, 0) =


 0, |x| ≥ π

u is bounded.


We will use the Fourier integral concept to find the solution. I

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 Fourier Integral

Let u(x, y ) := ϕ(x)ψ(y ), then

ϕ00 + λϕ = 0 and ψ̈ − λψ = 0.

Then, we have

−µx
a(λ)e
 + b(λ)eµx , λ<0
ϕλ (x) := a(λ) + b(λ)x, λ=0

a(λ) cos(µx) + b(λ) sin(µx), λ > 0


and 
c(λ) cos(µy ) + d(λ) sin(µy ), λ < 0

ψλ (y ) := c(λ) + d(λ)y , λ=0
c(λ)e−µy + d(λ)eµy ,

λ > 0,


where µ > 0 satisfies λ = sgn(λ)µ2 . I

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 Fourier Integral

Case 1. Let λ < 0.

• ϕ is not bounded if a(λ) 6= 0 or b(λ) 6= 0.
• ψλ is bounded for any c(λ) and d(λ).
Case 2. Let λ = 0.
• ϕ is not bounded if b(λ) 6= 0.
• ψλ is not bounded if d(λ) 6= 0.
Case 3. Let λ > 0.
• ϕλ is bounded for any a(λ) and b(λ).
• ψλ (y ) is not bounded if d(λ) 6= 0. I

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 Fourier Integral

Thus, 
0,
 λ<0
ϕλ (x) := a(λ), λ=0

a(λ) cos(µx) + b(λ) sin(µx), λ > 0


and 
c(λ) cos(µy ) + d(λ) sin(µy ), λ < 0

ψλ (y ) := c(λ), λ=0
c(λ)e−µy ,

λ > 0.


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 Fourier Integral

Therefore, we have

uµ (x, y ) := {A(µ) cos(µx) + B(µ) sin(µx)}e−µy for µ ≥ 0,

which yields
Z ∞
u(x, y ) := {A(ω) cos(ωx) + B(ω) sin(ωx)}e−ωy dω. I
0

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 Fourier Integral

Using the initial condition, we get

Z ∞
f (x) = u(x, 0) = {A(ω) cos(ωx) + B(ω) sin(ωx)}e−ωy dω.
0

By Example 75, we find that

2 sin(πz)
A(z) := and B(z) :≡ 0.
π z
Therefore, we have
Z ∞
2 sin(πω)
u(x, y ) := cos(ωx)e−ωy dω. I
π 0 ω

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 Fourier Integral

The last integral above can be computed as

    
1 π+x π−x
u(x, y ) := arctan + arctan .
π y y

x 1 −1
y

1 π+x π−x 



Figure 31: Graphic of π
arctan y
+ arctan y
.

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 Fourier Transform

Fourier Transform

Using the definition of Fourier integral, we will introduce the so-called

Fourier transform. Let f be a continuous function and consider the
Fourier integral

1 ∞
Z Z ∞ Z ∞ 
f (t) = f (ξ) c(ωξ) c(ωt) + f (ξ) s(ωξ) s(ωt) dξdω
π 0 −∞ −∞
Z ∞Z ∞
1

= f (ξ) cos ω(ξ − t) dξdω
π 0 −∞
Z ∞Z ∞
1

= f (ξ) cos ω(ξ − t) dξdω
2π −∞ −∞
Z ∞Z ∞
1 h i
= f (ξ) e−iω(ξ−t) + eiω(ξ−t) dξdω
4π −∞ −∞
"Z #
∞ Z ∞ Z ∞Z ∞
1
= f (ξ)e−iω(ξ−t) dξdω + f (ξ)eiω(ξ−t) dξdω .
4π −∞ −∞ −∞ −∞

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 Fourier Transform

Substituting ω 7→ −ω in the second integral, we get

"Z #
∞ Z ∞ Z ∞Z ∞
1 −iω(ξ−t) iω(ξ−t)
f (t) = f (ξ)e dξdω + f (ξ)e dξdω
4π −∞ −∞ −∞ −∞
Z ∞Z ∞
1
= f (ξ)e−iω(ξ−t) dξdω
2π −∞ −∞
Z ∞ Z ∞ 
1 1 −iωξ
=√ √ f (ξ)e dξ eiωt dω.
2π −∞ 2π −∞

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 Fourier Transform

Define the Fourier transform by

Z ∞
1
F{f }(z) := √ f (ξ)e−izξ dξ,
2π −∞

then Z ∞
1
√ F{f }(ω)eiωt dω = f (t)
2π −∞

or equivalently 
F F{f } (−t) = f (t).
That is, if F is a Fourier transform of a function f , then

F −1 {F }(t) = F{F }(−t) = f (t).

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 Fourier Transform

Definition 38 (Fourier Transform)

Let f : R → R be a piecewise continuous function such that

Z ∞
|f (ξ)|dξ < ∞.
−∞

Then, the Fourier transform F of f is defined by

Z ∞
1
F{f }(z) := √ f (ξ)e−izξ dξ.
2π −∞

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 Fourier Transform

Example 82

Show that the Fourier transform of

(
1, |t| < h
f (t) :=
0, |t| ≥ h,

where h > 0, is r
21
F{f }(z) = sin(hz).
πz

!!! Insert Graphic Here!!!

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 Fourier Transform

Example 83

Show that r
 −α|·|
2 α
F e (z) = ,
π α2 + z 2
where α > 0.
!!! Insert Graphic Here!!!

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 Fourier Transform

Example 84

Show that
2 1 z2
F e−α· (z) = √ e− 4α ,

2α
where α > 0.
!!! Insert Graphic Here!!!

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 Fourier Transform

Theorem 32
The Fourier transform is linear, i.e.,

F{αf + βg }(z) = αF{f }(z) + βF{g }(z),

where α, β are constants and f , g are piecewise continuous functions.

Theorem 33
Let f be a piecewise differentiable function such that limt→±∞ f (t) = 0.
Then,
F{f 0 }(z) = izF{f }(z).

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 Fourier Transform

Definition 39 (Convolution)

Let f and g be suitable functions. The convolution f ∗ g is defined by

Z ∞
(f ∗ g )(t) := f (t − τ )g (τ )dτ.
−∞

Theorem 34

Let F and G denote the Fourier transforms of the functions f and g ,

respectively. Then,
F(f ∗ g )(z) = F (z)G (z).

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 Fourier Transform

Definition 40 (Inverse Fourier Transform)

The integral Z ∞
1
F −1 {F }(t) := √ F (ω)eiωt dω.
2π −∞

Theorem 35

If F is the Fourier transform of f , then

Z ∞
1
√ F (ω)eiωt dω = f (t).
2π −∞

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 Fourier Transform

Example 85

Consider the heat equation under Dirichlet type boundary conditions in

the upper half-plane

ut − uxx = 0, −∞ < x < ∞, t > 0

u(x, 0) = e−|x| , −∞ < x < ∞

u is bounded.


We will use the Fourier transform to find the solution. I

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 Fourier Transform

Let us denote by U(z, t) the Fourier transform of u(x, t) in the variable

x, i.e., Z ∞
1
U(z, t) := √ u(ξ, t)e−izξ dξ.
2π −∞
Taking the Fourier transform of the PDE, we get

Ut + z 2 U = 0,

which is a first-order linear ordinary differential equation in the dependent

variable U and the independent variable t. Solving this, we get
2
U(z, t) := C (z)e−z t ,

where C is a function of z, which will be determined from the initial

condition. I

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 Fourier Transform

This implies that

2
U(z, t) = U(z, 0)e−z t .
It follows from the initial condition and Example 83 that
r
 −|·| 2 1
U(z, 0) = F e (z) = .
π 1 + z2
By Example 84 and Theorem 34, we have
r  
2 1 −z 2 t 1  −|·| 2
− ·4t
U(z, t) = e =√ F e (z)F e
π 1 + z2 2t
 
1 ·2
= √ F e−|·| ∗ e− 4t . I
2t

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 Fourier Transform

Taking the inverse Fourier transform, we get

 
1 −|·|
2
− ·4t
u(x, t) := √ e ∗e (x)
2t
or explicitly Z ∞
1 τ2
u(x, t) = √ e−|x−τ | e− 4t dτ,
2t −∞

which is the desired solution. 

!!! Insert Graphic Here!!!

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