UNENE Math Refresher Course

Ordinary Differential Equations

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Example – Vibration of a Mass-Spring System

Consider a mass-spring system as shown

x(t)
k F(t)
m

x(t) x, x, x

k F(t) kx F(t)
m m

x(t) is the displacement of mass m from its equilibrium position.

The spring force is kx.

P
Newton’s Second Law requires ma = F:
m · ẍ(t) = F(t) − kx =⇒ m ẍ + kx = F(t)

This equation is a differential equation.

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Definition

A differential equation is an equation that contains derivatives of dependent

variables with respect to one or more independent variables.
A differential equation is called an ordinary differential equation (ODE)
if there is only one independent variable and only ordinary derivatives (not
partial derivatives) are involved.

Let x be an independent variable and y be a dependent variable. In general, an

ODE is of the form
 dy dny 
F x, y, , ..., n = 0
dx dx
The order of a differential equation is the order of the highest derivative
appearing in the differential equation.
If y and its various derivatives y ′, y ′′, . . . appear linearly in the equation, it
is a linear differential equation; otherwise, it is nonlinear.

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Definition – Linear Ordinary Differential Equations

The general form of an nth-order linear ordinary differential equation is

dn y dn−1y dy
an(x) n + an−1(x) n−1 + · · · + a1(x) + a0(x) y = f(x)
dx dx dx

If a0(x), a1(x), . . . , an(x) are constants, the ordinary differential equation is said
to have constant coefficients. Otherwise it is said to have variable coefficients.

Example

d2 y
. + 2 y = sin 3x Second-order linear with constant coefficients
dx2
 dy 2
. + 2 y = sin 3x First-order nonlinear
dx
2
2 y
d dy
. x 2
+ 2x − y = ln x Second-order linear with variable coefficients
dx dx

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Definition – Partial Differential Equations

If the dependent variable u is a function of more than one independent variable,

say x1, x2, . . . , xm, an equation involving the variables x1, x2, . . . , xm, u and
various partial derivatives of u with respect to x1, x2, . . . , xm is called a partial
differential equation (PDE).

Example

∂ 2u ∂ 2u
. + = f(x, y) Poisson’s equation in two-dimensions
∂x2 ∂y2

∂ 2u 1 ∂u
. 2
= Heat equation in one-dimension
∂x c ∂t

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Definition – General Solution

The general solution of an ordinary differential equation contains all possible

solutions. In general, an nth-order ordinary differential equation will contain n
arbitrary constants in its general solution.

The solution of an ordinary differential equation satisfying a set of conditions is

a particular solution.

Example

Consider the differential equation y ′′ + y = 0.

It can be shown that
y = C1 sin x + C2 cos x
is a solution for any constants C1 and C2 =⇒ general solution

y1 = sin x is a particular solution (C1 = 1, C2 = 0)

y2 = cos x is a particular solution (C1 = 0, C2 = 1)
y3 = 2 sin x−3 cos x is a particular solution (C1 = 2, C2 = −3)
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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Definition – Initial Value Problem

If a differential equation is required to satisfy conditions on the dependent
variable and its derivatives specified at one value of the independent variable,
these conditions are called initial conditions (IC) and the problem is called an
initial value problem (IVP).

Definition – Boundary Value Problem

If a differential equation is required to satisfy conditions on the dependent
variable and possibly its derivatives specified at two or more values of the
independent variable, these conditions are called boundary conditions (BC) and
the problem is called a boundary value problem (BVP).

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Example – Initial Value Problem

Consider the differential equation y ′′ + y = 0.
If we impose the initial conditions y(0) = 2, y ′(0) = −1, determine the solution
of this IVP.

We know that y(x) = C1 sin x + C2 cos x is the general solution.

. y ′(x) = C1 cos x − C2 sin x

Applying the initial conditions:

. y(0) = C1 sin 0 + C2 cos 0 = C2 = 2
. y ′(0) = C1 cos 0 − C2 sin 0 = C1 = −1

The solution of this IVP is

y(x) = − sin x + 2 cos x

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Ordinary Differential Equations — Introduction © Wei-Chau Xie

Example – Boundary Value Problem

Consider the differential equation y ′′ + y = 0.
If we impose the boundary conditions y(0) = 2, y( π4 ) = −1, determine the
solution of this BVP.

We know that y(x) = C1 sin x + C2 cos x is the general solution.

Applying the boundary conditions:

. y(0) = C1 sin 0 + C2 cos 0 = C2 = 2
√
. y( π4 ) = C1 sin π
+ C2 cos π
= √1 (C1 + C2) = −1 =⇒ C1 = −2− 2
4 4 2

The solution of this BVP is

√
y(x) = −(2+ 2) sin x + 2 cos x.

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First-Order Differential Equations — Method of Separation of Variables © Wei-Chau Xie

The Method of Separation of Variables

dy
Consider the first-order DE: = f(x) φ( y)
dx

Case 1: If φ( y) =
/ 0, divide the DE by φ( y):
1
dy = f(x) dx
φ( y)
| {z }
| {z }
Contains y only Contains x only
General solution can be obtained by integrating both sides
Z Z
1
dy = f(x) dx + C C = arbitrary constant
φ( y)

Case 2: If φ( y) = 0 =⇒ y = y0 is a root of the equation

. =⇒ y = y0 is a solution.

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First-Order Differential Equations — Method of Separation of Variables © Wei-Chau Xie

Example
dy
Solve = 2x y
dx

Case 1: y = 0 is a solution.
Case 2: y = / 0, divide the DE by y and integrate both sides
Z Z
1
. dy = 2x dx + C
y
    2 2
. ln y = x + C =⇒  y = ex +C =⇒ y = ±eC · ex
  2

Let A = ±eC. The general solution is

2 2
y = Aex or y = Cex C = arbitrary real constant

Case 1: y = 0 is included in the general solution with C = 0.

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First-Order Differential Equations — Method of Separation of Variables © Wei-Chau Xie

Example
dy 6x5 + 2x + 1
Solve the IVP = y
, y(0) = π
dx cos y + e

The DE is variable separable

Z Z
. (cos y + e y) dy = (6x5 + 2x + 1) dx + C

. ∴ sin y + e y = x6 + x2 + x + C General solution

Using the initial condition: x = 0, y = π :

sin π + eπ = C =⇒ C = eπ
The solution of the IVP is

sin y + e y = x6 + x2 + x + eπ Particular solution

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First-Order Differential Equations — Method of Separation of Variables © Wei-Chau Xie

Example
dr sin ϕ + e 2r sin ϕ
Solve =
dϕ 3e r + e r cos ϕ

dr sin ϕ(1 + e 2r)

= r Variable separable
dϕ e (3 + cos ϕ)
Z Z
er sin ϕ
∴ 2r
dr = dϕ + C
1+e cos ϕ + 3
Z Z
1 r 1
2r
d(e )=− d(cos ϕ +3) + C
1+e cos ϕ +3
Z
1 −1
dx = tan x
1 + x2

∴ tan−1e r = − ln(cos ϕ +3) + C General solution

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First-Order Differential Equations — Linear First-Order Equations © Wei-Chau Xie

Linear First-Order Equations

dy
Linear first-order equations are of the form + P(x)· y = Q(x)
dx

The roles of x and y may be exchanged to give linear first-order DE of the form
dx
+ P( y)·x = Q( y)
dy

Linear First-Order Equations

dy
RR hZ i
− P(x)dx P(x)dx
+ P(x)· y = Q(x) =⇒ y = e Q(x)e dx + C
dx
dx
R hZ R i
− P( y)dy P( y)dy
+ P( y)·x = Q( y) =⇒ x = e Q( y)e dy + C
dy

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First-Order Differential Equations — Linear First-Order Equations © Wei-Chau Xie

Example
dy
Solve = 5 y + 3e5x
dx
dy
Rewrite the DE in the standard form + P(x)· y = Q(x):
dx
dy
. − 5 · y = 3e5x, P(x) = −5, Q(x) = 3e5x
dx
Z Z R
. P(x) dx = −5 dx = −5x, e P(x)dx = e−5x

Z R Z
P(x)dx
. Q(x)e dx = 3e5x · e−5x dx = 3x

R hZ R i
− P(x)dx P(x)dx
. y=e Q(x)e dx + C = e5x (3x + C)

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First-Order Differential Equations — Linear First-Order Equations © Wei-Chau Xie

Example
1
Solve y′ =
x − 3y

dy 1 dx
. = =⇒ = x − 3y
dx x − 3y dy
dx
. − 1 · x = −3 y, P( y) = −1, Q( y) = −3 y
dy
Z Z R
. P( y) dy = −1 · dy = − y, e P( y)dy = e−y
Z R Z
P( y)dy − y − 1 −y
. Q( y)e dy = −3 y · e−y dy = −3 e = 3( y + 1)e−y
(−1)2
R hZ R i
. x = e− P( y)dy
Q( y)e P( y)dy
dy + C

. = e y [3( y + 1)e−y + C] = 3( y + 1) + Ce y

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Applications of First-Order Differential Equations — Heating and Cooling © Wei-Chau Xie

Newton’s Law of Cooling

The rate of change in the temperature T(t), dT/dt, of a body in a medium of
temperature Tm is proportional to the temperature difference between the body
and the medium, i.e.,
dT
= −k(T − Tm),
dt
where k >0 is a constant of proportionality.

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Applications of First-Order Differential Equations — Heating and Cooling © Wei-Chau Xie

Example – Newton’s Law of Cooling

A thermometer is removed from a room where the temperature is 20◦C to the
outside where the temperature is −10◦C. After 1 minute, the thermometer
reads 10◦C.
1. What is the reading of the thermometer at t = 2 minutes?
2. How long will it take for the thermometer to read −5◦C?

dT
By Newton’s Law of Cooling = −k(T − Tm)
dt
T: Temperature of the thermometer at time t
Tm: Outside temperature, Tm = −10◦C
The DE can be written as
dT
. + k·T = kTm, P(t) = k, Q(t) = kTm Linear first-order
dt

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Applications of First-Order Differential Equations — Heating and Cooling © Wei-Chau Xie

Z R Z R Z
P(t)dt P(t)dt
. P(t) dt = kt, e = ekt, Q(t)e dt = kTm · ekt dt = Tm ekt
R hZ R i
− P(t)dt P(t)dt
. T=e Q(t) e dx + C = e−kt (Tm ekt + C)

. ∴ T = −10 + C e−kt

At t = 0, T = 20◦C: 20 = −10 + Ce−k·0 =⇒ C = 30

2 2
At t = 1, T = 10◦C: 10 = −10 + 30e−k·1 =⇒ e−k = =⇒ k = − ln
3 3

t· ln 32 2
t
. ∴ T(t) = −10 + 30·e = −10 + 30·
3
2
2 10
At t = 2: T(2) = −10 + 30· = = 3.33◦C
3 3
2
t =⇒ 2
t 1 2 1
When T = −5: −5 = −10 + 30· = =⇒ t· ln = ln
3 3 6 3 6
1
ln
6
t= = 4.4 min
2
ln
3
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Applications of First-Order Differential Equations — Radioactive Decay Law © Wei-Chau Xie

Example – Radioactive Decay Law

Suppose that, in a sample of radioactive materials, there are N(t) nuclei which
have not decayed at time t.
During the time interval from t to t+1t, the number of radioactive nuclei
which will decay is proportional to N(t) and 1t, i.e.

N(t) − N(t+1t) = λ·N(t)·1t

where λ is the constant of proportionality called the decay constant.
Divide by 1t and take the limit 1t→0
N(t+1t) − N(t) dN
− = λN(t) =⇒ − = λN
1t dt
The differential equation is variable separable
Z Z
1
dN = −λ dt + C =⇒ ln N = −λt + C =⇒ N(t) = C e−λt
N

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Applications of First-Order Differential Equations — Radioactive Decay Law © Wei-Chau Xie

Initial condition: t = 0, N(0) = N0 =⇒ C = N0

N(t) = N0 e−λt Radioactive Decay Law

Half-Life t1/2 is the length of time it takes for the radioactivity of a

radioisotope to decrease by a factor of two, i.e.
1
N(t1/2) = N0 e−λt1/2 = N
2 0

1 =⇒ 1
e−λt1/2 = − λt1/2 = ln = − ln 2
2 2

ln 2 ln 2
∴ t1/2 = or λ=
λ t1/2

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Applications of First-Order Differential Equations — Motion of a Particle © Wei-Chau Xie

Newton’s Second Law

The product of the mass of an object and its acceleration is equal to the sum of
P
forces applied on the object, i.e., ma = F.

Example
A motor boat is travelling at a speed v0 and the motor is turned off at time
t = 0. The resistance from air is proportional to the velocity, i.e., Rair = −αv,
and the resistance from water is proportional to the square of the velocity, i.e.,
Rwater = −βv2, in which α and β are positive constants. Determine the velocity
of the boat for t > 0.

x, v, a
αv
βv2

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Applications of First-Order Differential Equations — Motion of a Particle © Wei-Chau Xie

Apply Newton’s Second Law to the boat:

P dv α
ma = F: m = −α v − β v2 = −β v (v + k), k=
dt β
Z Z
dv β
. =− dt + C Variable separable
v (v + k) m
Z
1 1 1  β 1 β
.
k
−
v v+k
dv = − t + C
m
=⇒
k
[ ln v − ln(v + k)] = − t + C
m

1 v β v − kβ t
. ln = − t+C =⇒ = Ce m
k v+k m v+k
v0
At t = 0, v = v0 =⇒ = C · e0
v0 + k
v0 v0 β v0
∴ C= = α = α+βv
v0 + k v0 + 0
β
β v0 α − αt
− αt · ·e m − αt
Cke m α + β v0 β α v0 e m
v(t) = = =
− αt
m
β v0 − αt
m − αt
1 − Ce 1− ·e (α+βv0) − βv0 e m
α + β v0
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Applications of First-Order Differential Equations — Mixture Problem © Wei-Chau Xie

Example – Mixture Problem

Initially 50 kg of salt is dissolved in a large tank holding 1000 L of water. A brine
solution with a concentration of 0.2 kg/L is pumped into the tank at the rate of
10 L/min, and the well-stirred solution is pumped out at the same rate.
1. Determine the amount of salt in the tank at any time.
2. How much salt is present after 50 minutes?
3. How much salt is present after a long long time?

Inflow
Q in , c in

Volume = 1000
Amount of salt = s(t)
s(t) Outflow
Concentration c(t) =
1000 Qout , cout

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Applications of First-Order Differential Equations — Mixture Problem © Wei-Chau Xie

s(t)
s(t) = Amount of salt in the tank at time t =⇒ Salt concentration c(t) =
1000
Inflow
Flow rate Qin = 10 (L/min)
Salt concentration cin = 0.2 (kg/L)
Outflow
Flow rate Qout = 10 (L/min)
s(t)
Salt concentration cout = c(t) = (kg/L)
1000
Consider time interval 1t:
. 1s = Change of amount of salt in 1t
. = (Amount of salt in inflow in 1t) − (Amount of salt in outflow in 1t)
. = cin Qin 1t − cout Qout 1t
s
. = 0.2 × 10 × 1t − × 10 × 1t
1000

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Applications of First-Order Differential Equations — Mixture Problem © Wei-Chau Xie

ds s
Divide by 1t and take the limit 1→0 =⇒ =2−
dt 100
ds 1 1
. + ·s = 2, P(t) = , Q(t) = 2 Linear first-order
dt 100 100
Z Z R Z t t
t P(t)dt
. P(t) dt = , Q(t)e dt = 2 · e 100 dt = 200 e 100
100
R hZ R i
. s(t) = e− P(t)dt Q(t) e P(t)dt dx + C
t t t
− 100
−
. =e 200 e 100 + C = 200 + C e 100
C is determine from the initial condition: t = 0, s = 50
t
0 − 100
50 = 200 + C e =⇒ C = −150 =⇒ s(t) = 200 − 150 e

50
− 100
At t = 50 min: s(50) = 200 − 150 e = 109.02 kg
t

− 100
When t → ∞: lim s(t) = lim 200 − 150 e = 200 kg
t→∞ t→∞
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Applications of First-Order Differential Equations — Tank Problem © Wei-Chau Xie

Example – Tank Problem

The moderator in a CANDU unit has been poisoned with gadolinium nitrate
Gd(NO3)3 due to activation of shut-down system two (SDS-2). Referring to
the schematic diagram, it is given that the volume of heavy water D2O in
the calandria is V = 220, 000 L, with the initial concentration of gadolinium
nitrate being C0 = 12 mg/L, the flow rate through the ion exchange columns is
Q = 2, 300 L/min, and the removal efficiency is α = 95%. Determine how long
it will take to get the gadolinium nitrate concentration below 0.01 mg/L in order
to begin plant startup activities.

Initial Gd(NO3)3
concentration
C0 = 12 mg/L

Ion Exchanger Calandria

Removal efficience α V = 220,000 L

Flow rate
Q= 2,300 L/min
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Applications of First-Order Differential Equations — Tank Problem © Wei-Chau Xie

At time t, the Gd(NO3)3 concentration is C(t).

Amount of Gd(NO3)3 in calandria is C(t)·V.
During time interval 1t,

Outflow = Q1t
Amount of Gd(NO3)3 removed = C(t)·Q1t·α
At time t+1t, the Gd(NO3)3 concentration is C(t+1t).
Amount of Gd(NO3)3 in calandria is C(t+1t)·V.

∴ (Amount of Gd(NO3)3 at t) − (Amount of Gd(NO3)3 at t+1t)

= Amount of Gd(NO3)3 removed

∴ C(t)·V − C(t+1t)·V = C(t)·Q1t·α

Divide by 1t and take the limit 1t→0
C(t+1t) − C(t) dC(t)
−V = αQ C(t) =⇒ V = −αQ C(t)
1t dt
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Applications of First-Order Differential Equations — Tank Problem © Wei-Chau Xie

Z Z
1 1 V
dC = − dt + D, τ= Variable separable
C τ αQ
t
ln C = − + D =⇒ C(t) = D e−t/τ
τ
When t = 0, C(0) = C0 =⇒ D = C0
C(t) V C(t)
∴ C(t) = C0 e−t/τ =⇒ t = −τ ln =− ln
C0 αQ C0

When C(t) = 0.01 mg/L

220, 000 0.01
t=− ln = 713.87 min = 11 hr 54 min
0.95×2, 300 12

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Applications of First-Order Differential Equations — Chemical Reaction © Wei-Chau Xie

Law of Mass Action

The Law of Mass Action states that the rate of reaction is directly proportional
to the product of the masses of reactants.

Example – Chemical Reaction

A chemical reaction may be expressed as
A+B→C
in which M grams of chemical A reacts with N grams of chemical B to
generate M+N grams of compound C.
Suppose we add a grams of chemical A to b grams of chemical B.
M
At time t, x(t) grams of compound C is produced, in which x(t) grams
M+N
N
of chemical A and x(t) grams of chemical B are used.
M+N
The amounts of chemicals A and B left are, respectively,
M N
a− x(t), b− x(t)
M+N M+N
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Applications of First-Order Differential Equations — Chemical Reaction © Wei-Chau Xie

By the Law of Mass Action, the rate of reaction satisfies

dx  M  N 
. =k a− x b− x
dt M+N M+N
   
M a (M+N) N b (M+N)
. =k· −x · − x = k̃ (x − α) (x − β)
M+N M M+N N
M N a (M+N) b (M+N)
where k̃ = k · · , α= , β=
M+N M+N M N
Z Z 
dx 1 1 1 
. ∴ = k̃ dt + C =⇒ − dx = k̃ t + C
(x−α)(x−β) α−β x−α x−β
 
1  x−α  x−α
. ln  = k̃ t + C =⇒ = C ek̄ t k̄ = k̃ (α−β)
α−β  x−β  x−β

C is determined by the initial condition t = 0, x(0) = 0:

0−α α x−α α k̄ t
= C e0 =⇒ C= =⇒ = e
0−β β x−β β

αβ (1 − e−k̄ t)
∴ x(t) =
α − β e−k̄ t
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Applications of First-Order Differential Equations — Chemical Reaction © Wei-Chau Xie

Numerical Example – Chemical Reaction

Suppose M = 1, N = 4, a = 50, b = 32. If 30 grams of compound C are
formed in 10 minutes
1. Determine the amount of compound C at any time.
2. How much of compound C is produced in 15 minutes?
3. What happens after a long long time?

a (M+N) 50 (1+4)
. x(10) = 30, α= = = 250
M 1
b (M+N) 32 (1+4)
. β= = = 40
N 4

αβ (1 − e−k̄ t) 250·40 (1 − e−k̄ t) 1000 (1 − e−k̄ t)

. x(t) = = =
α−β e−k̄ t 250 − 40 e−k̄ t 25 − 4 e−k̄ t

1000 (1 − e−10 k̄) 1 88

At t = 10, x(10) = = 30 =⇒ k= ln
25 − 4 e−10 k̄ 10 25

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Applications of First-Order Differential Equations — Chemical Reaction © Wei-Chau Xie

88

− 10t ln 25
1000 1 − e
x(t) =
− 10t ln 25
88
25 − 4 e

− 23 ln 88
25


1000 1 − e
At time t = 15: x(15) = = 34.79
− 23 ln 88
25 − 4e 25

88

− 10t ln 25
1000 1 − e 1000
When t → ∞: lim x(t) = = = 40
t→∞ 88
− 10t ln 25 25
25 − 4 e
After a long long time, 40 grams of compound C is produced, which uses 8
grams of chemical A and all 32 grams of chemical B. Since there is no chemical
B left, the chemical reaction stops.

33
Linear Ordinary Differential Equations © Wei-Chau Xie

Linear Ordinary Differential Equations

In general, an nth-order linear ODE is of the form

dny dn−1y dy
an(x) n + an−1(x) n−1 + · · · + a1(x) + a0(x) y = F(x)
dx dx dx
If a0, a1, . . . , an are constants, the ODE has constant coefficients.

Using the D-operator, the general nth-order linear ODE can be rewritten as
 n n−1
 dy
a (x) D + an−1(x) D + · · · + a1(x) D + a0(x) y = F(x), Dy ≡
| n {z } dx
φ(D )
. ∴ φ(D ) y = F(x)

34
Linear Ordinary Differential Equations © Wei-Chau Xie

Procedure for Finding the General Solution

φ(D ) y = F(x), φ(D ) = an D n + an−1 D n−1 + · · · + a1 D + a0

1. Find a particular solution yP(x) of the differential equation:

φ(D ) yP = F(x) Particular solution

where the subscript P stands for particular solution.

2. Find the general solution yC(x) of the complementary differential equation:

φ(D ) yC = 0 Complementary solution

where the subscript C stands for complementary solution.

3. Add yP(x) and yC(x) to obtain the general solution y(x):

y(x) = yC(x) + yP(x) General solution

35
Linear Ordinary Differential Equations — Complementary Solutions © Wei-Chau Xie

Procedure for Finding the Complementary Solution

For the nth-order linear differential equation

φ(D ) y = F(x), φ(D ) = an D n +an−1 D n−1 + · · · +a1 D +a0

set the right-hand side to zero to obtain the complementary DE

φ(D ) y = 0

Replace D by λ to obtain the characteristic equation

φ(λ) = 0 or an λn + an−1 λn−1 + · · · + a1 λ + a0 = 0

Solve the characteristic equation, which is an algebraic equation, to find the

characteristic numbers (roots) λ1, λ2, . . . , λn.
Write the complementary solution yC using the characteristic numbers.

36
Linear Ordinary Differential Equations — Complementary Solutions © Wei-Chau Xie

Forms of Complementary Solution

Having obtained the characteristic numbers, the complementary solution can be
easily written.

λ = a =⇒ yC = C eax
λ = α ±iβ =⇒ yC = eα x(A cos βx + B sin βx)
If the characteristic equation φ(λ)=0 has a p-fold root λ = a
p−1


λ = a, a, . . . , a =⇒ yC = C0 + C1 x + · · · + Cp−1 x e ax
| {z } | {z }
p times polynomial of degree p−1
If φ(λ)=0 has a pair of complex roots λ = α±iβ of p-fold
αx p−1


λ = α±iβ, . . . , α±iβ =⇒ yC = e [ A0 + A1 x + · · · + Ap−1 x cos βx
p−1


+ B0 + B1 x + · · · + Bp−1 x sin βx ]
| {z } | {z }
p times polynomials of degree p−1

37
Linear Ordinary Differential Equations — Complementary Solutions © Wei-Chau Xie

Example
Solve y ′′ − 9 y = 0

Using the D-operator, (D2 − 9) y = 0 =⇒ φ(D ) = D2 − 9

The characteristic equation is φ(λ) = 0 =⇒ λ2 − 9 = 0 =⇒ λ = ±3
The complementary solution is yC = C1 e−3x + C2 e3x

Example
Solve (D 2 + 2 D + 2) y = 0

The characteristic equation is λ2 + 4λ + 20 = 0

p
2
√
−4 ± 4 − 4×1×20 −4 ± −64 √
λ= = = −2 ± i 4 i = −1
2×1 2
The complementary solution is yC = e−2x(A cos 4x + B sin 4x)

38
Linear Ordinary Differential Equations — Complementary Solutions © Wei-Chau Xie

Example
Solve (D 2 − 4D + 4) y = 0.

The characteristic equation is λ2 −4λ+4 = 0 =⇒ (λ−2)2 = 0 =⇒ λ = 2, 2

The complementary solution is y(x) = (C0 + C1 x) e2x

Example
Given the characteristic numbers of a DE, write the complementary solution.
1. λ = 2, 2, 2, 0, 0
yC = (C0 + C1 x + C2 x2) e2x + (D0 + D1 x)
√
2. λ = 1 ± i 3, −2, −2, 0, −1
x
√ √
yC = e (A cos 3x + B sin 3x) + (C0 + C1 x) e −2x + D0 + D1 e −x

3. λ = 1, 1, −1, ±i, ±i
yC = (C0 + C1 x) ex + D e−x + [(A0 + A1 x) cos x + (B0 + B1 x) sin x]

39
Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Method of Undetermined Coefficients

The method of undetermined coefficients assumes a form for a particular

solution, with coefficients to be determined, according to the form of the
right-hand side of the DE.

Corresponding to RHS F(x) Assumed Form of yP

(1) Polynomial of degree k Polynomial of degree k
(2) eαx C eαx
(3) sin βx, cos βx A cos βx + B sin βx



(4) eαx a0 +a1 x+ · · · +ak xk cos βx, αx k
e [ A0 +A1 x+ · · · +Ak x cos βx



eαx xk
b0 +b1 x+ · · · +bk sin βx k
+ B0 +B1 x+ · · · +Bk x sin βx]
| {z } | {z }
Polynomial of degree k Polynomial of degree k
The coefficients are determined by substituting the assumed particular
solution into the DE.

40
Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Example
Find yP for y ′′ + 4 y ′ − 2 y = 2x2 − 3x + 6.

RHS function F(x) = 2x2 − 3x + 6 Polynomial of degree 2

Assume yP = C2 x2 + C1 x + C0 Polynomial of degree 2
Substitute into the DE

yP′′ + 4 yP′ − 2 yP = 2C2 + 4(2C2 x + C1) − 2(C2 x2 + C1 x + C0)

= −2C2 x2 + (8C2 − 2C1)x + (2C2 + 4C1 − 2C0)
= 2x2 − 3x + 6
Equate coefficients of corresponding terms

−2C2 = 2 =⇒ C2 = −1
1 5
8C2 − 2C1 = −3 =⇒ C1 = (8C2 + 3) = −
2 2
2C2 + 4C1 − 2C0 = 6 =⇒ C0 = C2 + 2C1 − 3 = −9
5
∴ yP = −x2 − x−9 Particular solution
2
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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Example
Solve (D 2 − 3 D + 2) y = 4 e3x.

Characteristic equation λ2 −3λ+2 = 0 =⇒ (λ−1)(λ−2) = 0 =⇒ λ = 1, 2

yC = C1 ex + C2 e2x

Corresponding to F(x) = 4 e3x, assume yP = C e3x

Substitute into the DE

(D 2 − 3 D + 2) yP = 9C e3x − 3 · 3C e3x + 2 · C e3x = 2C e3x = 4 e3x

∴ 2C = 4 =⇒ C=2 =⇒ yP = 2 e3x

∴ y = yC + yP = C1 ex + C2 e2x + 2 e3x General solution

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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Example
Find yP for y ′′ − y ′ + y = 2 sin 3x.

Corresponding to F(x) = 2 sin 3x, assume yP = A cos 3x + B sin 3x

Substitute into the DE

yP′′ − yP′ + yP = (−9A cos 3x − 9B sin 3x) − (−3A sin 3x + 3B cos 3x)
+ (A cos 3x + B sin 3x)
= (−8A − 3B) cos 3x + (3A − 8B) sin 3x
= 2 sin 3x
Equate coefficients of corresponding terms

 16
−8A − 3B = 0  A = −

73
=⇒
3A − 8B = 2  B = 6

73
16 6
∴ yP = − cos 3x + sin 3x Particular solution
73 73
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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Example
Solve (D 2 − 2 D − 3) y = 4x − 5 + 6x e2x.

Characteristic equation λ2 −2λ−3 = 0 =⇒ (λ+1)(λ−3) = 0 =⇒ λ = −1, 3

yC = C1 e−x + C2 e3x
Corresponding to F1(x) = 4x − 5, assume yP1 = A1 x + A0
Corresponding to F2(x) = 6x e2x, assume yP2 = (B1 x + B0) e2x

yP = yP1 + yP2 = A1 x + A0 + (B1 x + B0) e2x

yP′ = A1 + B1 e2x + 2(B1 x + B0) e2x, yP′′ = 4B1 e2x + 4(B1 x + B0) e2x

Substitute into the DE

(D 2 −2 D −3) yP = [4B1 e2x +4(B1 x+B0)e2x] −2 [A1 +B1 e2x +2(B1 x+B0)e2x]
−3 [A1 x+A0 +(B1 x+B0)e2x]
= −3A1 x − (2A1 +3A0) + [(2B1 −3B0) − 3B1 x] e2x
= 4x − 5 + 6x e2x

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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Equate coefficients of corresponding terms

 4
−3A1 = 4  A 1 = −


 3
 1 23
2A1 +3A0 = 5   A0 = (5 − 2A1) =
=⇒ 3 9
2B1 −3B0 = 0  2 4

 B 0 = B = −


 3 1 3
−3B1 = 6 
B1 = −2

∴ y = yC + yP
−x 4
3x 23 4
2x
= C1 e + C2 e − x + − 2x + e General solution
3 9 3

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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Exceptions in the Method of Undetermined Coefficients

In general, if any of the normally assumed terms of a particular solution occurs
in the complementary solution, one must multiply these assumed terms by a
power of x which is sufficiently high, but not higher, so that none of these
assumed terms occur in the complementary solution.

Example

Given the complementary solution yC and the right-hand side F(x) of the DE, specify
the form of yP using the method of undetermined coefficients.
(1) yC = c1 ex + c2 e2x + (d0 + d1x)e−x, F(x) = 3ex + 2e3x − x e−x

F(x) Normally Assumed Form for yP Contained in yC Modification

3ex C1 ex c1 ex x·C1 ex
2e3x C2 e3x --
---
---
-- --
---
---
--
−x e−x (D0 + D1 x)e−x (d0 + d1x)e−x x2 ·(D0 + D1 x)e−x

∴ yP = x·C1 ex + C2 e3x + x2 ·(D0 + D1 x)e−x

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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

(2) yC = c0 + c1 x + c2 x2 + a cos 2x + b sin 2x, F(x) = 2 − x + sin x − cos 2x

F(x) Normally Assumed Form for yP Contained in yC Modification

2−x C0 + C1 x c0 + c1 x + c2 x2 x3 ·(C0 + C1 x)
sin x A1 cos x + B1 sin x --
---
---
-- --
---
---
--
− cos 2x A2 cos 2x+B2 sin 2x a cos 2x + b sin 2x x·(A2 cos 2x+B2 sin 2x)

∴ yP = x3 ·(C0 + C1 x) + A1 cos x + B1 sin x + x·(A2 cos 2x + B2 sin 2x)

(3) yC = (c0 + c1 x)ex + a cos x + b sin x, F(x) = ex + e−x − x sin x

F(x) Normally Assumed Form for yP Contained in yC Modification

ex C1 ex (c0 + c1 x)ex x2 ·C1 ex

e−x C2 e−x --
---
---
-- --
---
---
--
−x sin x (A0 +A1 x) cos x a cos x + b sin x x· [(A0 +A1 x) cos x
+(B0 +B1 x) sin x +(B0 +B1 x) sin x]

∴ yP = x2 ·C1 ex + C2 e−x + x· [(A0 +A1 x) cos x + (B0 +B1 x) sin x]

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Linear Ordinary Differential Equations — Particular Solutions © Wei-Chau Xie

Example
Solve y ′′ − 2 y ′ + y = ex.

Characteristic equation λ2 − 2λ + 1 = 0 =⇒ (λ − 1)2 = 0 =⇒ λ = 1, 1

yC = (C0 + C1 x)ex
Corresponding to F(x) = ex, the normally assumed form for yP is Cex.
Since Cex is contained in yC, assume yP = x2 · Cex.

yP′ = 2Cxex + Cx2 ex, yP′′ = 2Cex + 4Cxex + Cx2 ex.

Substitute into the DE

yP′′ − 2 yP′ + yP = (2Cex + 4Cxex + Cx2 ex) − 2(2Cxex + Cx2 ex) + Cx2 ex
= 2Cex = ex
1 =⇒ 1
2C = 1 =⇒ C= yP = x2 ex
2 2
1
∴ y = yC + yP = (C0 + C1 x)ex + x2 ex General solution
2

48
Applications of Linear Differential Equations © Wei-Chau Xie

Vibration of a Single Degree-of-Freedom System

x(t) x0(t) x(t)

k k
F(t)
c m c m

Consider a single degree-of-freedom system consisting of a mass m, a spring

of stiffness k, and a viscous damper with damping coefficient c.
The motion is described by the horizontal displacement x(t) of mass m from
its equilibrium position.
The system is called single degree-of-freedom (DOF) because it needs one
variable to describe its motion.

49
Applications of Linear Differential Equations © Wei-Chau Xie

1. Single DOF System under Externally Applied Force

x(t)

k
F(t)
c m

x(t) x, x, x
k kx
F(t) F(t)
c m m
cx

Consider mass m. It moves towards the right by a displacement x(t).

The spring is stretched by x(t) =⇒ the spring pulls the mass back towards
the left and the spring force is kx.
The damping force is similar to the spring force but is proportional to the
velocity =⇒ the damping force is c ẋ towards the left.
P
Newton’s Second Law requires ma = F :

m · ẍ(t) = F(t) − kx − c ẋ =⇒ m ẍ + c ẋ + kx = F(t)

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Applications of Linear Differential Equations © Wei-Chau Xie

2. Single DOF System under Base Excitation

x0(t) x(t)

k
c m

x(t) x, x, x
x0(t) k k(x−x0)

c m c (x−x0) m

The support moves towards the right by a displacement x0(t).

Applications of this model include a structure under earthquake excitation or
a robotic arm under base movement.
Consider mass m. It moves towards the right by a displacement x(t).
Mass moves towards the right =⇒ the spring pulls it back towards the left.
The stretch of the spring is x(t)−x0(t) =⇒ the spring force is k(x−x0).
The damping force is similar to the spring force but is proportional to the
velocity =⇒ the damping force is c(ẋ− ẋ0) towards the left.
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Applications of Linear Differential Equations © Wei-Chau Xie

x0(t) x(t)

k
c m

x(t) x, x, x
x0(t) k k(x−x0)

c m c (x−x0) m

P
Newton’s Second Law requires ma = F:
m · ẍ(t) = −k(x−x0) − c(ẋ− ẋ0)

Let y(t) = x(t)−x0(t) be the relative displacement of the mass.

The equation of motion becomes
m ÿ + c ẏ + ky = −m ẍ0
where ẍ0(t) is the base acceleration.
The loading on the mass created from base excitation is F(t) = −m ẍ0(t),
which is proportional to the mass and the base acceleration.
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Applications of Linear Differential Equations © Wei-Chau Xie

Equation of motion of a single degree-of-freedom system

m ẍ + c ẋ + kx = F(t)

Divide the equation by m

c k F(t) 2 k c
ẍ + ẋ + x= , ω0 = , 2ζ ω0 =
m m m m m
ω0 natural circular frequency of the system
ζ nondimensional damping coefficient
F(t)
Equation of motion in standard form ẍ + 2ζ ω0 ẋ + ω02 x =
m
Solution x(t) has two parts: complementary solution and particular solution.

Complementary solution xC(t) corresponds to F(t) = 0. The system is in

free (not forced) vibration, and the solution is the response of free vibration.
Particular solution xP(t) corresponds to the right-hand side of the DE or
the forcing term F(t) and is the response of forced vibration.

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Applications of Linear Differential Equations © Wei-Chau Xie

Free Vibration—Complementary Solution

Complementary DE ẍ + 2ζ ω0 ẋ + ω02 x = 0
p

Characteristic equation λ2 + 2ζ ω0 λ + ω02 = 0 =⇒ 2
λ = ω0 −ζ ± ζ −1
Underdamped System 0 6 ζ < 1
Most engineering structures fall in this category with ζ usually less than 10%.
p

2
λ = ω0 −ζ ± i 1−ζ = −ζ ω0 ± iωd
p
where ωd = ω0 1−ζ 2 is the damped natural circular frequency.
xC(t) = e −ζ ω0t(A cos ωd t + B sin ωd t)
A and B are determined from the initial conditions x(0) = x0 and ẋ(0) = v0:
v0 +ζ ω0 x0
A = x0, B=
ωd
 v +ζ ω x 
∴ xC(t) = e −ζ ω0t x0 cos ωd t + 0 0 0
sin ωd t , 0 6 ζ < 1.
ωd

54
Applications of Linear Differential Equations © Wei-Chau Xie

Special Case: Undamped System ζ = 0, ωd = ω0

The response becomes

v0
. xC(t) = x0 cos ω0t + sin ω0t
ω0
s
 v 2
 
2 0 x0 v0/ω0
. = x0 + q cos ω0t + q sin ω0t
ω0 x20 +(v0/ω0)2 x20 +(v0/ω0)2
. | {z } | {z } | {z }
. a cos ϕ sin ϕ
. = a cos(ω0t−ϕ) Harmonic function: amplitude a, phase angle ϕ

xC(t) Slope=v0 at t=0

a

x0 Amplitude a
Period T = 2π
ω0

t
ϕ
ω0 a cos(ω0 t − ϕ)

−a

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Applications of Linear Differential Equations © Wei-Chau Xie

Harmonic solution xC(t) = a cos(ω0t−ϕ)

2π
Period T =
ω0
ω0 is called the natural circular frequency of the system, unit rad/sec.
ω0 1 cycles
The natural frequency is f = = , unit or Hz.
2π T sec
The maximum displacement is
s
 v 2
max xC(t) = a = x20 + 0 = amplitude of the motion
ω0

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Applications of Linear Differential Equations © Wei-Chau Xie

Underdamped Free Vibration

r  v +ζ ω x 2  v +ζ ω x 
xC(t) = ae −ζ ω0t cos(ωd t−ϕ) a= x20 + 0 ω 0 0 , ϕ = tan−1 0 ω x 0 0
d d 0
cos(ωd t −ϕ)
1
Td = 2π
ω d

ϕ t
ωd
−1
xC(t)
a

a e−ζω0t

a e−ζω0t cos(ωd t −ϕ)

−a e−ζω0t (Envelope)

Harmonic oscillatory response

−a with exponentially decaying amplitude
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Applications of Linear Differential Equations © Wei-Chau Xie

Forced Vibration—Particular Solution

For an underdamped system with 0< ζ < 1, the complementary solution or

the response of free vibration is
 v +ζ ω x 
xC(t) = e −ζ ω0t x0 cos ωd t + 0 ω 0 0 sin ωd t
d
The response decays exponentially and approaches zero as t→∞.
The complementary solution is called the transient solution.
Because its value becomes negligible after some time, its effect is small and is
not important in practice.
The particular solution xP(t) is associated with the right-hand side of the DE
and hence corresponds to forced vibration.
The particular solution is called the steady-state solution, because it is the
solution that persists when time is large.

58
Applications of Linear Differential Equations © Wei-Chau Xie

Suppose F(t) = F0 sin t. The particular solution is

F0 1 −1 2ζ ω0
.xP(t) = q sin(t−ϕ), ϕ = tan
m (ω2 −2)2 +(2ζ ω )2 ω02 −2
0 0

 Excitation frequency
Let r = = = Frequency ratio
ω0 Undamped natural frequency

The amplitude of the response of forced vibration is

  F 1 F 1 k
. xP(t)max = 0 q
 = 0p , ω02 =
m (ω2 −2)2 +(2ζ ω )2 k (1−r ) +(2ζ r)
2 2 2 m
0 0

If dynamic effect is not considered one obtains

F0
m ẍ + c ẋ + kx = F(t) = F0 sin t =⇒ xstatic =
k
This is the static displacement of the system under the static force F0.

59
Applications of Linear Differential Equations © Wei-Chau Xie

 
x (t) 1
P max
=p = Dynamic Magnification Factor
xstatic (1−r2)2 +(2ζ r)2

7
ζ= 0
Dynamic Magnification Factor (DMF)

5 ζ= 0.1

3
ζ = 0.2

2
ζ= 0.3
1 
r= ω
0
0 0.5 1 1.5 2 2.5
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Applications of Linear Differential Equations © Wei-Chau Xie

When r → 0 (excitation frequency  → 0), DMF → 1.

Dynamic excitation approaches a static force. The amplitude of dynamic
response approaches the static displacement.
When r → ∞ (excitation frequency  ≫ ω0), DMF → 0.
The dynamic response approaches zero.
d(DMF)
Maximum value of DMF occurs when = 0 =⇒ r ≈ 1, if ζ ≪ 1
dr
Maximum value of DMF occurs when r ≈ 1 ( ≈ ω0)

 1  1
DMFmax ≈ DMF r=1 = p
  =
(1−r ) +(2ζ r) r=1 2ζ
2 2 2 

The smaller the damping coefficient, the larger the amplitudes of dynamic
response.
When ζ = 0 and  = ω0, a response of unbound amplitude occurs and the
system is in resonance.

61
Applications of Linear Differential Equations © Wei-Chau Xie

Resonance
When ζ = 0 and  = ω0, the equation of motion becomes
F0 F0
ẍP + ω02 xP = sin ω0t =⇒ xP(t) = − t cos ω0t
m 2mω0

xP(t)

Excitation Frequency  = Natural Frequency of the System ω0

=⇒ Resonance

Amplitude of response of the system increases linearly with time.

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The Laplace Transform © Wei-Chau Xie

The Laplace Transform

The Laplace transform is one of the most important integral transforms.

Applying the Laplace transform to a linear ODE with constant coefficients
converts it into a linear algebraic equation.
The solution of the DE can then be obtained by determining the inverse Laplace
transform.
The method of Laplace transform is particularly advantageous in solving linear
ODE with the RHS functions involving discontinuous and impulse functions.

Definition — Laplace Transform

Let f(t), t >0, be a given function. The Laplace transform F(s) of function f(t)
is defined by
Z ∞

F(s) = L f(t) = e−st f(t)dt, s >0
0

63
The Laplace Transform © Wei-Chau Xie

Example
Determine the Laplace transform of f(t) = 1.
Z ∞
 −st 1 −st∞ 1
F(s) = L 1 = e · 1 dt = − e  = , s >0
0 s t=0 s

Example
Determine the Laplace transforms of f(t) = sin ωt and f(t) = cos ωt.
Z ∞ Z ∞ ∞
 iωt 1
e−st · eiωt dt = e−(s−iω)t dt = − e−(s−iω)t

. L e =
0 0 s−iω t=0

1 s + iω s + iω
. = = = , s >0
s−iω (s−iω)(s+iω) s2 + ω2
. ∵ cos ωt = Re(eiωt), sin ωt = Im(eiωt) eiωt = cos ωt+ i sin ωt
 s
 iωt
. ∴ L cos ωt = Re[L e ]=
s2 + ω2

L sin ωt = Im[L e ] = 2 ω 2
  iωt
.
s +ω
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The Laplace Transform © Wei-Chau Xie

Properties of the Laplace Transform

1.. Laplace transform L { · } is a linear operator

2.. Laplace Transform of Derivatives
 (n)
L f (t) = sn F(s) − sn−1 f(0) − sn−2 f ′(0) − · · · − s f (n−2)(0) − f (n−1)(0)

3.. Property of Shifting

 at  
L e f(t) = F(s−a) = L f(t)  s→(s−a)

4.. Property of Differentiation

n
n n (n) n d F(s)
L t f(t) = (−1) F (s) = (−1) n
, n = 1, 2, . . .
ds

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The Laplace Transform © Wei-Chau Xie

Example
Determine the Laplace transform of f(t) = eat.
Z ∞
 at

Solution 1: F(s) = L e = e−st · eat dt Definition
0
Z ∞
−(s−a)t 1 −(s−a)t∞ 1
. = e dt = − e  = , s >a
0 s−a t=0 s−a
 at
 
Solution 2: F(s) = L e · 1 = L 1 s→(s−a) Property of Shifting

1  1
. =  =
s s→(s−a) s−a

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The Laplace Transform © Wei-Chau Xie

Example
Determine the Laplace transform of f(t) = tn, n=0, 1, . . . .

Using the formula of Laplace transform of derivative

  f(t) = tn  n−1  n
. L ′
f (t) = s L f(t) − f(0) = =⇒ L n t = s L t − 0n
 n n  n−1
L t = L t
s

L t =1 L 1 = 12 ,
   1
. n = 1: L 1 =
s s s

L t =2 L t = 2 · 12 = 2·13
 2 
. n = 2:
s s s s
 3 3  2 3 2·1 3·2·1
. n = 3: L t = L t = · 3 = 4
s s s s
. ··· ···

 n n!
In general, L t = n+1 , n = 0, 1, . . . 0!=1
s
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The Heaviside Step Function © Wei-Chau Xie

The Heaviside Step Function

The Heaviside step function is defined by
(
0, t< a
H(t−a) = a is a real number
1, t >a

H(t−a)
1

t
0 a

 1 −as
. L H(t −a) = e , s >0
s

. L f(t −a) H(t −a) = e −as F(s), s>a>0

68
The Heaviside Step Function © Wei-Chau Xie

Example
 3

Evaluate (a) L (t−2) H(t−2) (b) L sin t H(t−2π )

−2s 3! 6 −2s
 3
−2s
 3
(a) L (t−2) H(t−2) = e L t = e 4
= 4 e
s s

 
(b) L sin t H(t−2π ) = L sin(t−2π ) H(t−2π )

 e−2π s
. = e−2π s L sin t = 2
s +1

69
The Heaviside Step Function © Wei-Chau Xie

The Heaviside step function is very useful in dealing with functions with
discontinuities or piecewise smooth functions.
( f (t)
0, t< t0
f(t) = t0 t
f1(t), t >t0
f 1(t)
= f1(t)H(t−t0)

( f (t)
f2(t), t< t0
f(t) = f 2(t)
0, t >t0
t
t0
= f2(t) [1−H(t−t0)]



 0, t< a f (t)

f(t) = g(t), a< t< b g(t)


 0, t >b t
a b
= g(t) [H(t−a) − H(t−b)]

70
Impulse Functions © Wei-Chau Xie

Impulse Functions

Consider an impulse function f(t) over a time interval t0 < t< t0 +ε with constant
amplitude I/ε as shown in Figure (a).
f (t) f (t) f (t)

Area =I
Area =I
I
ε2
Area =I I
ε1
t t t
t0 ε1 t0+ε1 t0 ε2 t0+ε2 t0
ε→0
(a) (b) (c)

The area under the function f(t), or the impulse, is I.

I
f(t) = H(t−t0) − H[t−(t0 +ε)]
ε
When ε decreases as in Figures (a) and (b)
The width of the time interval over which the impulse is defined decreases.
The amplitude I/ε of the function increases.
The area under the function remains constant.

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The Dirac Delta Function © Wei-Chau Xie

Dirac Delta Function

In the case of I = 1, the limiting function as ε→0,
H(t−t0) − H[t−(t0 +ε)]
lim f(t) = lim ≡ δ(t−t0)
ε→0 ε→0 ε
is called the unit impulse function or the Dirac delta function.

Properties of the Dirac Delta Function

δ(t−a)
1. δ(t−a) = 0, if t6= a.
Area =1
2. δ(t−a) → +∞, as t→a.
Z a+α
3. δ(t−a)dt = 1, α >0. t
a−α a

4. Shifting Property If g(t) is any function,

Z a+α
g(t) δ(t−a)dt = g(a), α >0
a−α

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The Dirac Delta Function © Wei-Chau Xie

Z (
t 0, t< a dH(t−a)
5. δ(t−a)dt = H(t−a) = =⇒ = δ(t−a)
−∞ 1, t >a dt
Z ∞

6. L δ(t−a) = e−st · δ(t−a)dt = e−as, a >0 Shifting property
0
Z ∞

7. L f(t) δ(t−a) = e−st · f(t)δ(t−a)dt = e−as f(a), a >0
0

δ(t−a) is not a function in the usual sense.

It is known as a generalized function.

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The Inverse Laplace Transform © Wei-Chau Xie

The Inverse Laplace Transform


Given the Laplace transform F(s) of function f(t), F(s)= L f(t) , the inverse
−1

Laplace transform is f(t)= L F(s) .

Properties of the Inverse Laplace Transform

 −1

1. L · is a linear operator =⇒ L · is a linear operator

 at  
2. L e f(t) = F(s−a) =⇒ L −1 F(s−a) = e L F(s) = e at f(t)
at −1

n 
3. L t f(t) = (−1)n F (n)(s) =⇒ L −1 F (n)
(s) = (−1)n tn f(t)

  −as
4. L f(t−a)H(t−a) = e−as F(s) =⇒ L −1 e F(s) = f(t −a) H(t −a)

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The Inverse Laplace Transform © Wei-Chau Xie

Example

−1
2s 1 4
Evaluate L F(s) , where F(s) = 2
+ 3
− .
s +4 s s−1

     
−1
 2s 1 4
. L F(s) = L −1 2 + L −1 3 − L −1
s +4 s s−1
     
s 1 2! 1
. = 2 L −1 2 2 + L −1 3 − 4 L −1
s +2 2 s s−1
1 2
. = 2 cos 2t + t − 4 et
2

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The Inverse Laplace Transform © Wei-Chau Xie

Example
 
s 1
Evaluate L −1 2
+ 3
.
s + 6s + 11 (s−3)

     
−1 s 1 −1 (s+3) − 3 1 −1 2
.L + =L + L
s2 + 6s + 11 (s−3)3 (s+3)2 + 2 2 (s−3)3
     
−1 s+3 −1 1 1 −1 2
. =L − 3L + L
(s+3)2 + 2 (s+3)2 + 2 2 (s−3)3
−1
 at −1

L F(s−a) = e L F(s)
  −3t
( √ )  
−3t −1 s 3e −1 2 1 3t −1 2!
. =e L √ − √ L √ + e L
2
s + ( 2) 2 2 2
s + ( 2) 2 2 s3
√ 3 −3t √ 1
. =e −3t
cos 2t − √ e sin 2t + e 3t t2
2 2

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The Inverse Laplace Transform © Wei-Chau Xie

Example
 
e−π s
Evaluate L −1 2
.
s +9

   
1 1 3 1
. ∵ L −1 2 = L −1 2 2 = sin 3t
s +9 3 s +3 3
 −π s 
−1 e 1
.∴ L = sin 3(t−π ) H(t−π )
2
s +9 3
−1
 −as
L e F(s) = f(t−a) H(t−a)
1
. = − sin 3t H(t−π )
3

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The Inverse Laplace Transform © Wei-Chau Xie

Theorem — Convolution Integral

−1
 −1

If L F(s) = f(t) and L G(s) = g(t), then
Z t Z t


L −1 F(s) G(s) = f ∗ g (t) = f(u) g(t−u)du = g(u) f(t−u)du
0 0
in which the integral is known as a Convolution Integral.

Example
 
1
Evaluate L −1 2 2
.
s (s +1)
   
1 1
. ∵ L −1 2 = t, L −1 2 = sin t
s s +1
    Z t
1 1 1
. ∴ L −1 2 2 = L −1 2 · 2 = t ∗ sin t = (t−u) sin u du
s (s +1) s s +1 0
Z t t Z t

. =− (t−u) d(cos u) = −(t−u) cos u  + cos u du = t − sin t
0 u=0 0
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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Solving Differential Equations Using the Laplace Transform

Consider an nth-order linear ODE with constant coefficients

an y (n)(t) + an−1 y (n−1)(t) + · · · + a1 y ′(t) + a0 y(t) = f(t)


L y(t) = Y(s)
 ′
L y (t) = s Y(s) − y(0)
 ′′
L y (t) = s2 Y(s)) − s y(0) − y ′(0)
··· ···
 (n)
L y (t) = sn Y(s) − sn−1 y(0) − sn−2 y ′(0) − · · · − s y(n−2)(0) − y(n−1)(0)
Taking the Laplace transform on both sides of the equation leads to an
algebraic equation for Y(s)
h Pn i h n−1
P i
an sn Y(s) − sn−i y(i−1)(0) + an−1 sn−1 Y(s) − sn−1−i y(i−1)(0) + · · ·
i=1 i=1

+ a1[sY(s) − y(0)] + a0 Y(s) = L f(t)

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Solving for Y(s) yields

 Pn P
k
L f(t) + ak y(i−1)(0)sk−i
k=1 i=1
Y(s) = n
P
ai si
i=0

−1

Taking the inverse transform y(t)= L Y(s) gives the solution of the DE.

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Solve the initial value problem (IVP) y ′′ + 4 y = 4t, y(0) = 1, y ′(0) = 5.

Let Y(s)= L y(t) . Taking the Laplace transform of both sides of the DE yields
2 ′ 1
. [s Y(s) − s y(0) − y (0)] + 4 Y(s) = 4 · s2
2 4
. (s + 4) Y(s) = 2 + s + 5
s
Solving for Y(s) leads to
4 s 5
. Y(s) = + +
s2(s2 +4) s2 +4 s2 +4
1 1  s 5 1 s 4
. = 2 − 2 + 2 + 2 = 2 + 2 + 2
s s +4 s +4 s +4 s s +4 s +4
Taking the inverse Laplace transform gives
     
−1 1 s 2
−1
 −1 −1
. y(t) = L Y(s) = L +L +2L
s2 s2 +22 s2 +22
. = t + cos 2t + 2 sin 2t

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Solve the IVP y ′′ + 2 y ′ + 5 y = f(t), t > 0, y(0) = 1, y ′(0) = 3, where
(
1, 0 6 t < 2
f(t) =
0, t > 2
Using the Heaviside step function, f(t) can be written as
   1 e−2s
. f(t) = 1 − H(t−2) =⇒ L f(t) = L 1 − L H(t−2) = −
s s
Taking the Laplace transform of both sides of the DE yields
2 ′ 1−e−2s
. [s Y(s) − s y(0) − y (0)] + 2 [s Y(s) − y(0)] + 5 Y(s) = s
2 1−e−2s
. (s + 2s + 5) Y(s) = +s+5
s
Solving for Y(s) leads to
1−e−2s s+5 1−e−2s n 1 s+2 o (s+1) + 4
.Y(s) = + 2 = − 2 +
s(s2 +2s+5) s +2s+5 5 s s +2s+5 (s+1)2 +4

1−e−2s n 1 (s+1) 1 o (s+1) 2·2

.= − − + +
5 s (s+1)2 +22 (s+1)2 +22 (s+1)2 +22 (s+1)2 +22
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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

 
−1 1 (s+1) 1 2 −t 1

.∵ L − − · =t−e cos 2t − sin 2t
s (s+1)2 +22 2 (s+1)2 +22 2
−1
 at −1

L F(s−a) = e L F(s)
  
−1 −2s 1 (s+1) 1 2
.∴ L e − − ·
s (s+1)2 +22 2 (s+1)2 +22
 −(t−2) 1
. = (t−2) − e [ cos 2(t−2) − 2 sin 2(t−2)] H(t−2)
−1
 −as
L e F(s) = f(t−a) H(t−a)
Taking the inverse Laplace transform gives
−1

. y(t) = L Y(s)
n
1 −t 1

5 [
. = t−e cos 2t − sin 2t ]
2
 o
1
. − (t−2) − e−(t−2) [ cos 2(t−2) − sin 2(t−2)] H(t−2)
2
. + e−t cos 2t + 2e−t sin 2t
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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Solve the IVP y ′′ + y = 4 δ(t−2π ), y(0) = 1, y ′(0) = 0.


Let Y(s)= L y(t) . Taking the Laplace transform of both sides of the DE yields
2 ′

. [s Y(s) − s y(0) − y (0)] + Y(s) = 4 L δ(t−2π )
. (s2 + 1) Y(s) = 4 e−2π s + s

4 e−2π s s
Solving for Y(s) leads to Y(s) = 2 + 2
s +1 s +1
Taking the inverse Laplace transform gives
 −2π s   
 4 e s
. y(t) = L −1 Y(s) = L −1 + L −1
s2 +1 s2 +1

. = 4 sin(t−2π ) H(t−2π ) + cos t

 −as
−1

. L e F(s) = f(t−a) H(t−a)

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Solve the IVP y ′′ − 2 y ′ + 5 y = 2 δ(t−3), y(0) = 0, y ′(0) = 1.

Let Y(s)= L y(t) . Taking the Laplace transform of both sides of the DE yields

2 ′

. [s Y(s) − s y(0) − y (0)] − 2 [s Y(s) − y(0)] + 5 Y(s) = 2 L δ(t−3)

2 −3s 2 e−3s + 1
. (s − 2s + 5) Y(s) = 2 e + 1 =⇒ Y(s) =
(s−1)2 +22

Taking the inverse Laplace transform gives

 
−1 2 t −1
 at
. ∵ L 2
(s−1) +2 2
= e sin 2t L F(s−a) = e f(t)
   
 2 1 2
. ∴ y(t) = L −1 Y(s) = L −1 e−3s + L −1
(s−1)2 +22 2 (s−1)2 +22

1
. = et−3 sin 2(t−3) H(t−3) + et sin 2t
2
 −as
−1

L e F(s) = f(t−a) H(t−a)

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Z t
3
Find y(t) where y(t) = t + sin(t−u) y(u) du.
0

Let Y(s)= L y(t) . Take the Laplace transform of both sides of the equation
Z t 
  3
. L y(t) = L t + L sin(t−u) y(u) du
0

Using the convolution integral

Z t 
  1
. L sin(t−u) y(u) du = L sin t L y(t) = 2
Y(s)
0 s +1
3! 1  1  6
. ∴ Y(s) = 4 + 2 Y(s) =⇒ 1− 2 Y(s) = 4
s s +1 s +1 s

s2 +1 6 6 6
Solving for Y(s) leads to Y(s) = · = +
s2 s4 s4 s6
   
 3! 1 −1 5! 3 1 5
. ∴ y(t) = L −1 Y(s) = L −1 4 + L = t + t
s 20 s6 20
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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Z t
Find y(t) where y(t) = 3t2 − e−t − et−u y(u) du.
0

Let Y(s)= L y(t) . Take the Laplace transform of both sides of the equation
Z t 
  2  −t
. L y(t) = 3 L t − L e − L et−u y(u) du
0
Z t 
t−u
 t  1
.∵ L e y(u) du = L e L y(t) =
s−1
Y(s) Convolution integral
0

2! 1 1  1  6 1
. ∴ Y(s) = 3· 3 − − Y (s) =⇒ 1+ Y (s) = 3 −
s s+1 s−1 s−1 s s+1
s−1  6 1  6 6 1 1
. ∴ Y(s) = − = 3 − 4 − +
s s3 s+1 s s s+1 s(s+1)
6 6 1 1 1 
. = 3 − 4 − + −
s s s+1 s s+1
       
 2! 3! 1 1
. ∴ y(t) = L −1 Y(s) = 3 L −1 3 − L −1 4 + L −1 − 2 L −1
s s s s+1
. = 3t2 − t3 + 1 − 2e−t
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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Example
Determine the current i(t) in the series RLC circuit shown when R = 2 ,
L = 0.1 H, C = 0.1 F, and V(t) = 120t−120t H(t−1).

i R V(t)
120
V(t) L 120 t

0 1 t
C

For t 6 0, V(t) = 0. The capacitor behaves as an open circuit =⇒ i(0) = 0.

For t > 0, apply Kirchhoff ’s Voltage Law
Z t
di 1
. −V(t) + Ri + L + i(u)du = 0
dt C −∞
Z t
di
. 0.1 + 2i + 10 i(u)du = 120t − 120t H(t−1)
dt −∞
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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie


Let I(s)= L i(t) .
Z t  Z t 
.L i(u)du = L i(u) · 1du
−∞ −∞

  1
. = L 1 L i(t) = I(s) Convolution integral
s
 
.L t H(t−1) = L [(t−1)+1] H(t−1)
  e−s e−s
. = L (t−1) H(t−1) + L H(t−1) = 2 +
s s
Take the Laplace transform of both sides of the equation
1 1  e−s e−s 
.0.1 [s I(s) − i(0)] + 2 I(s) + 10· I(s) = 120· 2 − 120 2
+
s s s s
 10   1−e−s e−s 
. 0.1 s + 2 + I(s) = 120 −
s s2 s
10 0.1 s2 + 2 s + 10 s2 + 20 s + 100
. ∵ 0.1 s + 2 + = =
s s 10 s

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

1200 s  1−e−s e−s 

. ∴ I(s) = 2 2
−
s + 20 s + 100 s s
 −s −s 
1−e e
. = 1200 −
s (s+10)2 (s+10)2
   
1 1
. ∵ L −1 = 1, L −1 = e−10t t
s (s+10)2
  Z t
1
.∴ L −1 = u e−10u · 1 du Convolution integral
s (s+10)2 0

−10u − 1 −10ut 10t + 1 −10t 1

. = e  =− e +
(−10)2 0 100 100
   
e−s 10(t−1) + 1 −10(t−1) 1
. L −1 = − e + H(t−1)
s (s+10)2 100 100
 
e−s
. L −1 = e−10(t−1) (t−1) H(t−1)
(s+10)2

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Solving Differential Equations Using the Laplace Transform © Wei-Chau Xie

Taking the inverse Laplace transform gives the solution to the DE

−1

.i(t) = L I(s)

10t+1 −10t 1 h 10(t−1)+1 1 i
. = 1200 − e + − − e−10(t−1) + H(t−1)
100 100 100 100

. − (t−1) e−10(t−1) H(t−1)

n o
−10t −10(t−1)
. = 12 1 − (10t+1) e − H(t−1) − [90(t−1) + 1] e H(t−1)

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