Math 18500 Week 3: First Order Linear Systems and Second order homogeneous equations

Homogeneous Linear Systems: Real Eigenvalue Case. In this section we will begin to address the
problem of finding two solutions ⃗x1 (t) and ⃗x2 (t) of a linear, homogeneous, autonomous system
d⃗x
= A⃗x,
dt
such that ⃗x1 (0) and ⃗x2 (0) are a two-dimensional basis.
As a concrete example, consider the homogeneous system
    
d x 1 −2 x
= .
dt y −2 1 y
To understand what the solutions of this system look like, we first compute the slope of its velocity field,
dy −2x + y
= ,
dx x − 2y
and we write down its isocline equations:
−2x + y
= C = constant.
x − 2y
Simplifying this equation, we find that all isoclines are lines through the origin:
−2x + y = C(x − 2y) =⇒ (1 + 2C)y = (2 + C)x.
We can see this effect when we plot the velocity field:
y

Notice that there are two isoclines which are everywhere parallel to the velocity field. One of these is the
isocline with slope 1:
C = 1 =⇒ (1 + 2)y = (2 + 1)x =⇒ y = x.
Geometrically, the fact that the velocity field is parallel to this line tells us that our system of equations has
a special solution of the form      
x1 (t) 1 f (t)
= f1 (t) = 1 .
y1 (t) 1 f1 (t)
1
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To solve for the unknown function f1 (t), we can substitute into both sides of our system:
   ′ 
d x1 (t) f (t)
= 1′
dt y1 (t) f1 (t)
    
1 −2 f1 (t) −f1 (t)
= .
−2 1 f1 (t) −f1 (t)
From this we see that f1 (t) must satisfy the differential equation
f1′ (t) = −f1 (t),
and therefore must take the general form
f1 (t) = c1 e−t
for some constant c1 .
An important thing to notice here is that
   −t   
x1 (t) c e 0
lim = lim 1 −t = .
t→∞ y1 (t) t→∞ c1 e 0
This is consistent with the velocity field: along the line y = x, the velocity field points directly inward,
towards the origin.
By similar reasoning, we can find a solution which travels along the isocline with slope C = −1:
C = −1 =⇒ (1 − 2)y = (2 − 1)x =⇒ y = −x
This solution takes the form  
1
⃗x2 (t) = f2 (t) ,
−1
and the function f2 (t) can be found using the same process:
   ′ 
d x1 (t) f2 (t)
=
dt y1 (t) −f2′ (t)
    
1 −2 f2 (t) 3f2 (t)
= .
−2 1 −f2 (t) −3f2 (t)
From this we see that f2 (t) must satisfy the differential equation
f2′ (t) = 3f2 (t),
and therefore must take the general form
f2 (t) = c2 e3t
for some constant c2 . This time, we have
lim f2 (t) = ∞.
t→∞
Again, this is consistent with the velocity field, which points away from the origin on the line y = −x.
Let us now generalize this idea to other linear homogeneous systems. We have to look for solutions that
start at points (x0 , y0 ) where the position vector,
 
x
⃗v = 0
y0
is parallel to the velocity specified by the velocity field:
 
x0
A⃗v = A
y0
To make A⃗v and ⃗v parallel, ⃗v must satisfy the eigenvector equation:
A⃗v = λ⃗v .
Given any eigenvector ⃗v , we can immediately find a solution of our system, in the form
⃗x(t) = f (t)⃗v ,
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and we can also immediately solve for f (t) by substituting into the equation

d⃗x
= A⃗x.
dt

Explicitly, we find that

f ′ (t)⃗v = Af (t)⃗v = f (t)λ⃗v ,

and therefore

f (t) = ceλt

for some constant c.

In cases where A is a 2 × 2 matrix with a real eigenbasis, this idea produces two solutions,

⃗x1 (t) = c1 eλ1 t⃗v1 , ⃗x2 (t) = c2 eλ2 t⃗v2 .

and we can obtain a general solution by superimposing them:

⃗x(t) = c1 eλ1 t⃗v1 + c2 eλ2 t⃗v2 .

For example, suppose we want to find a solution of the initial value problem
    
d x 1 −2 x
= , x(0) = 2, y(0) = 1.
dt y −2 1 y

For this system, we have already obtained the two special solutions
   
−t 1 3t 1
⃗x1 (t) = e , ⃗x2 (t) = e ,
1 −1

which correspond to the following solutions of the eigenvector equation:

         
1 −2 1 1 1 −2 1 1
= −1 · , =3·
−2 1 1 1 −2 1 −1 −1

Therefore, the general solution is

   
1 1
⃗x(t) = c1 e−t + c2 e3t .
1 −1

Setting t = 0, and imposing our initial conditions, we obtain

     
1 1 2
⃗x(0) = c1 + c2 = .
1 −1 1

You can verify that the solution of this system of linear equations is

3 1
c1 = , c2 = .
2 2

Therefore, the solution of the initial value problem is

   
3 −t 1 1 1
⃗x(t) = e + e3t .
2 1 2 −1
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Here is a plot of the solution:

y

We can see that the solution starts off asymptotic to the line y = x, in the limit as t → −∞. It’s a bit harder
to see from the picture, but in the limit as t → ∞ it is asymptotic to the line y = −x. The reason for this
is that    
3 −t 1 0
lim e =
t→∞ 2 1 0
and    
1 3t 1 0
lim e = ,
t→−∞ 2 −1 0
so in each of these limits only one of the two terms dominates the behavior of ⃗x(t).
The reason why it takes the solution much longer to approach the line y = −x is that the exponential
e−t
decays to 0 at a slower rate in the limit t → ∞ than the exponential
e3t
decays to 0 in the limit as t → −∞.
The relative rates of exponential decay actually become very important for systems where the eigenvalues
of the coefficient matrix have the same sign. For example, consider the initial value problem
    
d x 2 1 x
= , x(0) = 2 , y(0) = 1
dt y 1 2 y
The coefficient matrix for this system,  
2 1
1 2
has the same eigenvectors as in our previous example, but the eigenvalues have the same sign:
         
2 1 1 1 2 1 1 1
=3· , =1·
1 2 1 1 1 2 −1 −1
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By applying the methods above, you can find the solution:

   
3 1 1 1
⃗x(t) = e3t + et .
2 1 2 −1

Here a plot of the solution, together with the velocity field of the system:
y

In the limit as t → ∞, the solution curve is nearly parallel to the line y = x. This is because the exponential
e3t
grows at a faster rate than the exponential
et ,
so the first term dominates the solution in the limit as t → ∞.
Similarly, in the limit as t → −∞, the exponential
et
decays slower than the exponential
e3t ,
so as t → −∞, the second term dominates. This is also reflected in the plot: as the solution approaches the
origin, it does so in a direction which is tangent to the line y = −x.
 6

Homogeneous Linear Systems: Complex Eigenvalue Case. If we consider the matrix

 
1 −2
A= ,
2 1
then its characteristic polynomial,
 
1−λ −2
det (A − λI) = det = (1 − λ)2 + 4,
2 1−λ
and we find that it has two complex roots:
(1 − λ)2 + 4 = 0 =⇒ λ = 1 ± 2i.
Therefore, A has no real eigenvalues (and certainly no real eigenbasis).
By definition, a complex eigenvalue of a matrix A is a complex number
λ = p + iq
such that there exists a complex vector  
v1 + w1 i
⃗v = ,
v2 + w2 i
which satisfies  
v1 + w1 i
A⃗v = λ⃗v = (p + iq) .
v2 + w2 i
If λ is any complex root of the characteristic polynomial of A, it is always possible to find a complex
eigenvector with eigenvalue λ, using the same methods we use to find real eigenvectors.
For example, we can find a complex eigenvector of the matrix
 
1 −2
A= ,
2 1
with eigenvalue
λ = 1 + 2i,
by solving the equation     
1 − (1 + 2i) −2 x0 0
= ,
2 1 − (1 + 2i) y0 0
or     
−2i −2 x0 0
= .
2 −2i y0 0
One solution of the equation is  
1
⃗v = ,
−i
and this is a complex eigenvector for A.
We can use this complex eigenvector to construct a solution of the equation
d⃗x
= A⃗x,
dt
in exactly the same way that we used real eigenvectors to construct solutions. The main difference is that
the solution is a complex vector:  
1
⃗x(t) = eλt⃗v = e(1+2i)t .
−i
To understand why this is a valid solution, look at what happens when we plug it back in to the equation:
d  λt 
e ⃗v = λeλt⃗v = eλt λ⃗v = eλt A⃗v = Aeλt⃗v .
dt
If λ was a real number and ⃗v was a real vector, these steps would show that eλt⃗v was a solution. But there
is one step which requires additional verification when λ is complex:
d λt
e = λeλt .
dt
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To prove this identity, first expand λ into its real and imaginary parts:
d (p+iq)t
e = (p + iq)e(p+iq)t .
dt
Then expand both sides of the equation into their real and imaginary parts:
d  pt d  pt d  pt
e cos(qt) + iept sin(qt) =
  
e cos(qt) + i e sin(qt) ,
dt dt dt
(p + iq) ept cos(qt) + iept sin(qt) = pept cos(qt) − qept sin(qt) + i pept sin(qt) + qept cos(qt) .
     

The two expressions are equal, by virtue of the product rule.

Now let’s return to the equation we were trying to solve,
    
d x 1 −2 x
= .
dt y 2 1 y
We have found a complex solution, but this isn’t very satisfying - what we actually want are real solutions.
Fortunately, any complex solution leads to not only one but two real solutions.
To see why, we can expand our complex solution into its real and imaginary parts:
     t   t 
(1+2i)t 1 t 1 e cos(2t) e sin(2t)
⃗x(t) = e = e (cos 2t + i sin 2t) = t +i = ⃗x1 (t) + i⃗x2 (t).
−i −i e sin(2t) −et cos(2t)
We know that this is a solution of the equation
d⃗x
= A⃗x.
dt
Making the substitution ⃗x(t) = ⃗x1 (t) + i⃗x2 (t), we find that
d⃗x1 d⃗x2
+i = A⃗x1 + iA⃗x2 ,
dt dt
and comparing the real and imaginary parts of both sides,
d⃗x1 d⃗x2
= A⃗x1 , = A⃗x2 ,
dt dt
we find that both the real and imaginary parts of the complex solution are real solutions.
In conclusion, we obtain two real solutions,
 t 
e cos(2t)
⃗x1 (t) = ,
et sin(2t)
and
et sin(2t)
 
⃗x2 (t) = .
−et cos(2t)
These solutions can be used to generate arbitrary real solutions, by taking (real) linear combinations:
⃗x(t) = c1 ⃗x1 (t) + c2 ⃗x2 (t).
If we want a solution with prescribed initial values, we can set t = 0, and solve the equation
⃗x(0) = c1 ⃗x1 (0) + c2 ⃗x2 (0),
for c1 and c2 .
To complete this story, we need to understand how to visualize solutions like this. In general, if
λ = p + iq , q > 0
is a complex eigenvalue of a matrix A, then all real solutions of the equation
d⃗x
= A⃗x
dt
will take the general form
⃗x(t) = ept cos(qt)⃗v1 + ept sin(qt)⃗v2 ,
 8

where ⃗v1 and ⃗v2 are real vectors. It’s helpful to plot these trajectories in the special case
   
1 0
⃗v1 = , ⃗v2 = .
0 1
In this case, we have  
cos(qt)
⃗x(t) = ept .
sin(qt)
No matter the value of p, the curve will “spiral” around the origin, crossing the x axis at regular intervals
with period
2π
T = .
q
The distance from the origin is controlled by the factor ept , in a way which depends on the sign of p:
(1) If p < 0, then the solution will spiral towards the origin, since
lim ept = 0.
t→∞
(2) If p > 0, the solution will spiral away from the origin, since
lim ept = ∞.
t→∞
(3) If p = 0, the solution will move around the origin in a circle, since
e0t = 1.
Here are pictures of all three cases:

p<0 p>0 p=0

We can plot the solutions in the general case by applying a linear transformation to each of the standard
solutions above.
For example, to sketch the trajectory
⃗x(t) = cos(qt)⃗v1 + sin(qt)⃗v2 ,
we would take the standard trajectory
⃗x0 (t) = cos(qt)ı̂ + sin(qt)ȷ̂,
and apply the following transformation:

⃗v1
ȷ̂
⃗v2
ı̂
 9

To guide the transformation, we draw a square with sides parallel to the x and y axes. When we transform
this square, it becomes a parallelogram with sides parallel to ⃗v1 and ⃗v2 . The circle inscribed in the square
becomes an ellipse inscribed in the parallelogram!
The pictures when p ̸= 0 is similar. A spiral aligned with the x and y axes gets transformed to a spiral
aligned with the vectors ⃗v1 and ⃗v2 :
⃗v1
ȷ̂
⃗v2
ı̂

Notice that in both cases, the orientation of the spiral changed, from clockwise to counterclockwise. In
general, to determine the orientation of the spiral, we need to draw a few velocity vectors.
For example, consider the system     
d x −1 −4 x
= .
dt y 2 3 y
If we calculate the characteristic polynomial of its matrix, we get
 
−1 − λ −4
det = λ2 − 2λ + 5 = (λ − 1)2 + 22 .
2 3−λ
This has complex roots
λ = 1 ± 2i,
and therefore the solutions will spiral outward (since the real part of the eigenvalue is p = 1 > 0). To
determine the orientation of the spirals, we can compute the velocity vectors at the points (±1, 0) and
(0, ±1) and draw them:

Once we draw these, it becomes clear that the spirals must be going counterclockwise.
It is usually pretty difficult to make accurate sketches of the solutions by hand, but it is not hard to get a
rough idea of what they look like.
 10

Stability. In summary, we have seen that solutions of linear autonomous systems

d⃗x
= A⃗x + ⃗b
dt
can always be written in the form
⃗x(t) = ⃗xeq + c1 ⃗x1 (t) + c2 ⃗x2 (t),
where ⃗x1 (t) and ⃗x2 (t) are solutions of the associated homogeneous system
d⃗x
= A⃗x.
dt
This is valid in all cases, as long as an equilibrium solution exists.
In the case where A has two distinct real eigenvalues, the solutions ⃗xi (t) are given by
⃗x1 (t) = eλ1 t⃗v1 , ⃗x2 (t) = eλ2 t⃗v2 ,
where λ1 and λ2 are the real eigenvalues, and ⃗v1 and ⃗v2 are the real eigenvectors.
In the case where A has two complex eigenvalues, they are given by
⃗x1 (t) = ept (cos(qt)⃗v1 − sin(qt)⃗v2 ) , ⃗x2 (t) = ept (sin(qt)⃗v1 + cos(qt)⃗v2 )
where ⃗v1 and ⃗v2 are the real and imaginary parts of a complex eigenvector
⃗v = ⃗v1 + i⃗v2
with eigenvalue
λ = p + iq.
There is also a third case: A could have a repeated real eigenvalue. In this case it is always possible to find
solutions of the form
⃗x1 (t) = eλt⃗v1 , ⃗x2 (t) = eλt⃗v2 + teλt⃗v3
where ⃗v1 and ⃗v3 are parallel. We will not discuss this case in detail, but it’s good to be aware of it.
Some systems have the property that both solutions of the homogeneous equation decrease in magnitude
and tend towards the origin as t → ∞:
lim ⃗x1 (t) = lim ⃗x2 (t) = ⃗0
t→∞ t→∞
For example, this happens in the real eigenvalue case if both eigenvalues are negative. It also happens in the
complex eigenvalue case, if the complex eigenvalues have negative real part.
In either case, the limiting value of any solution of the inhomogeneous equation will be ⃗xeq :
lim ⃗x(t) = lim [⃗xeq + c1 ⃗x1 (t) + c2 ⃗x2 (t)] ,
t→∞ t→∞
= lim ⃗xeq + c1 lim ⃗x1 (t) + c2 lim ⃗x2 (t)
t→∞ t→∞ t→∞
= ⃗xeq .
In the context of first order autonomous equations, we had a word for an equilibrium point with this property:
we said that an equilibrium point was stable if all solutions starting at nearby values were drawn back
towards the equilibrium, and approached it in the limit as t → ∞.
The same concept and terminology can be applied to systems of equations as well. For linear autonomous
systems, we have the following stability criterion:
Stability Criterion for Linear Systems. A linear autonomous system
d⃗x
= A⃗x + ⃗b
dt
has a stable equilibrium point ⃗xeq if and only if every eigenvalue of A has a negative real part.
While we have only proved this criterion only for systems of two equations with distinct real eigenvalues
and/or complex eigenvalues, it is true in general for linear autonomous systems with any number of equations.
 11

Linear Differential Operators. A differential equation of order n is said to be linear if it can be written
in the form
dn y dn−1 y dy
pn (t) n + pn−1 (t) n−1 + · · · + p1 (t) + p0 (t)y = f (t)
dt dt dt
where p0 (t), . . . , pn (t) and f (t) are arbitrary functions of t. Any other equation is said to be nonlinear.
There is a very rich theory of linear equations, which incorporates a number of robust and useful concepts.
By contrast, the theory of nonlinear equations is mostly restricted to a few special examples which can only
be solved approximately, or by a combination of ingenuity and physical/geometric insight. For this reason,
we will focus on linear equations for the remainder of the course.
When thinking about linear equations, it is useful to introduce the language of linear differential operators.
d
The simplest linear differential operator is the derivative operator, dt . It is an operator because it operates
d
on functions: given a function y(t), we can apply the operator dt , and the result is a new function,
d
[y(t)] = y ′ (t).
dt
This operation is linear, because it obeys the sum rule:
d d d
[y1 (t) + y2 (t)] = [y1 (t)] + [y2 (t)]
dt dt dt
and more generally,
d d d
[c1 y1 (t) + c2 y2 (t)] = c1 [y1 (t)] + c2 [y2 (t)]
dt dt dt
for any functions y1 and y2 and constants c1 and c2 .
When we apply the derivative operator twice, the result is a second derivative:
d2 y
 
d d
[y] = 2 = y ′′
dt dt dt
For second and higher derivatives it is useful to introduce the shorthand
d
D= ,
dt
because the notation
D2 y = y ′′ , D3 y = y ′′′ , etc.
is a bit easier on the eyes than
d2 y d3 y
, etc.,
dt2 dt3
and it more accurately reflects the idea that we are differentiating several times in a row.
In general, a linear differential operator is any operator of the form
O = pn Dn + pn−1 Dn−1 + · · · + p2 D2 + p1 D + p0 ,
where pi = pi (t) can be arbitrary functions of t.
When we apply an operator like this to a function y(t), we get a new function,
Oy = pn Dn y + pn−1 Dn−1 y + · · · + p2 D2 y + p1 Dy + p0 y
dn y dn−1 y d2 y dy
= pn n + pn−1 n−1 · · · + p2 2 + p1 + p0 y
dt dt dt dt
and this operation is linear:
O [c1 y1 (t) + c2 y2 (t)] = c1 O [y1 (t)] + c2 O [y2 (t)]
With this notation, any linear differential equation can be written conceptually in the form
Oy = f,
where O is a linear differential operator.
For example, operator notation allows to clearly identify three properties of linear equations:
 12

(1) Suppose that y1 (t) and y2 (t) are two solutions of a linear homogeneous equation:
Oy1 = 0
Oy2 = 0.
If c1 and c2 are arbitrary constants, and
y(t) = c1 y1 (t) + c2 y2 (t),
then y(t) is a solution of the same homogeneous equation:
O[c1 y1 + c2 y2 ] = c1 Oy1 + c2 Oy2 = 0 + 0 = 0
In other words, solutions of homogeneous equations can be superimposed.

(2) Suppose that yp (t) is a particular solution of an inhomogeneous equation,

Oyp = f
If yh (t) is any solution of the corresponding homogeneous equation,
Oyh = 0.
and if
y(t) = yp (t) + yh (t),
then y(t) is a solution of the original inhomogeneous equation:
Oy = Oyp + Oyh = f + 0 = f
(3) Suppose that y1 (t) and y2 (t) are solutions of linear inhomogeneous equations with different right
hand sides:
Oy1 = f1
Oy2 = f2
If c1 and c2 are arbitrary constants, and
y(t) = c1 y1 (t) + c2 y2 (t)
then y(t) is a solution of the inhomogeneous equation
O [c1 y1 + c2 y2 ] = c1 f1 + c2 f2
where the right hand side is a linear combination of the right hand sides of the original equations.
We will see that these properties are crucial for solving linear equations.
 13

Second Order Homogeneous Equations: Exponential Ansatz Method. Let us focus on solving
second order homogeneous equations
y ′′ + py ′ + qy = 0
whose coefficients p and q are constants. An equation like this can also be written using operator notation,
D2 y + pDy + qy = 0,
or more succinctly as
Oy = 0 for O = D2 + pD + q.
Most equations of this form can be solved using two key ideas:
1. The Exponential Ansatz.1
2. The Superposition Principle.
For second order homogeneous equations with constant coefficients, our lucky guess will take the form
y(t) = eλt ,
where λ is an unspecified number (possibly complex). A guess of this form is called an exponential ansatz.
To see why the exponential ansatz is a good guess, recall that the identity
d λt
e = λeλt
dt
holds for any real or complex number λ. Similarly for the higher derivatives, we have
dk λt
Dk eλt = e = λk eλt .
dtk
Therefore, if we make the substitution y = eλt in the equation
D2 y + pDy + qy = 0,
we get
λ2 eλt + pλeλt + qeλt = 0.
Dividing by eλt , we obtain a quadratic equation for λ:
λ2 + pλ + q = 0
The polynomial on the left hand side is called the auxiliary polynomial of the differential operator
O = D2 + pD + q.
In most cases, the auxiliary polynomial will have 2 distinct roots, λ1 and λ2 (which may be real or complex).
Therefore, we usually find two exponential solutions
y1 (t) = eλ1 t and y2 (t) = eλ2 t .
when we make an exponential ansatz.
For example, consider the equation
y ′′ + 4y ′ + 3y = 0.
In this case, the auxiliary equation is
λ2 + 4λ + 3 = 0,
which factors as
(λ + 1)(λ + 3) = 0,
and therefore has solutions λ1 = −1 and λ2 = −3. The corresponding exponential solutions are
y1 (t) = e−t and y2 (t) = e−3t .

As another example, consider the equation

y ′′ + 4y ′ + 5y = 0.
1Here ansatz is a German word, which means something like “educated guess”. Probably it would be more accurate to say
“lucky guess”.
 14

In this case, the auxiliary equation is

λ2 + 4λ + 5 = 0,
which has two complex roots: √
42 − 4 · 5
−2 ±
λ= = −2 ± i.
2
In this case, the exponential solutions are complex-valued functions,
y(t) = e(−2+i)t = e−2t eit = e−2t (cos t + i sin t) = e−2t cos t + ie−2t sin t,
and
y(t) = e(−2−i)t = e−2t e−it = e−2t (cos t − i sin t) = e−2t cos t − ie−2t sin t.
However, in most applications we want to have real solutions - the complex solutions are not so useful.
To obtain two real solutions, recall that any complex equation can be split into real and imaginary parts. In
the example above, writing the complex solution as y = y1 + iy2 , the equation that it satisfies is
(D2 + 4D + 5)(y1 + iy2 ) = 0.
Applying linearity, we find that
(D2 + 4D + 5)y1 + i(D2 + 4D + 5)y2 = 0 + 0i.
Splitting this equation into its real and imaginary parts, we conclude that
(D2 + 4D + 5)y1 = 0,
and
(D2 + 4D + 5)y2 = 0.
Therefore, the real and imaginary parts of the complex solution,
y1 (t) = e−2t cos t and y2 (t) = e−2t sin t,
are each individually solutions of the original differential equation.
In either case (real or complex), we end up with two real solutions y1 (t) and y2 (t).2. Since y1 (t) and y2 (t)
are both solutions of the linear homogeneous equation
O[y(t)] = 0,
the superposition principle tells us that any linear combination y(t) = c1 y1 (t) + c2 y2 (t) is a solution of the
same homogeneous equation:
O[c1 y1 + c2 y2 ] = c1 O[y1 ] + c2 O[y2 ] = 0 + 0 = 0.
We can use this to construct solutions with arbitrary initial values y(t0 ) and y ′ (t0 ) at any initial time t0 .
For example, let us use the superposition principle to solve the initial value problem
y ′′ + 4y ′ + 3y = 0 , y(0) = 0 , y ′ (0) = 2.
We have seen that the exponential solutions of this equation are
y1 (t) = e−t and y2 (t) = e−3t .
Therefore, any linear combination
y(t) = c1 e−t + c2 e−3t
is also a solution. The derivative of this solution is
y ′ (t) = −c1 e−t − 3c2 e−3t .
To achieve the correct initial conditions, we set t = 0, obtaining a system of equations for c1 and c2 :
y(0) = c1 + c2 = 0,
′
y (0) = −c1 − 3c2 = 2.
We then find that c1 = 1 and c2 = −1. So the solution with the correct initial values is
y(t) = e−t − e−3t .

2There is an exception when the characteristic equation has a repeated root - we will come back to this case later.
 15

Second Order Homogeneous Equations: Repeated Integration Method. There is one special case
where the exponential ansatz method fails to produce a general solution of a given second order equation:
when the auxiliary equation has a repeated root.
For example, consider the equation
y ′′ + 4y ′ + 4y = 0
In this case the auxiliary equation is
λ2 + 4λ + 4 = 0,
which factors as
(λ + 2)2 = 0,
so the equation has a repeated root,
λ = −2.
As a result, the exponential ansatz method produces only one solution,
y1 = e−2t .
To find a second solution of the equation, we need a new method.
The idea behind the second method is to rewrite the equation using operator notation:
(D2 + 4D + 4)y = 0.
We can then factor the operator on the left hand side:
D2 + 4D + 4 = (D + 2)2 .
Here we need to be suspicious, because the ordinary algebra we are used to does not necessarily apply to
operators. For example, matrices can be thought of as operators on vectors, and we know that the matrix
multiplication is not commutative:
AB ̸= BA.
One consequence of this is that the usual binomial formula is invalid for matrices (and other kinds of operators
as well). Indeed,
(A + B)2 = (A + B)(A + B) = A(A + B) + B(A + B) = A2 + AB + BA + B 2 ,
and this is not equal to
A2 + 2AB + B 2 ,
unless the two matrices commute (i.e. AB = BA).
Fortunately, a similar issue does not appear here. Indeed,
(2D)y = 2(Dy) = 2y ′ = (2y)′ = D(2y) = (D2)y,
so the operators 2D and D2 are equal, and we can conclude that
(D + 2)2 = D2 + 2D + D2 + 22 = D2 + 4D + 4
Note that this would be invalid for second order operators with nonconstant coefficients! For example,
(D2 + 2tD + t2 )y = y ′′ + 2ty ′ + t2 y,
but on the other hand
(D + t)2 y = (D + t)(y ′ + ty) = y ′′ + (ty)′ + ty ′ + t2 y = y ′′ + y + ty ′ + ty ′ + t2 y = y ′′ + 2ty ′ + (1 + t2 )y.
So we are using something very special about constant coefficient operators, when we factor like this.
Returning to the problem at hand, we now see that it is valid to replace the equation
(D2 + 4D + 4)y = 0
with the equation
(D + 2)(D + 2)y = 0.
This is helpful, because if we make the substitution
(D + 2)y = u,
 16

then we are left with a first order equation,

(D + 2)u = 0
which we know how to solve.
Namely, if we convert back from operator notation we get
du
+ 2u = 0
dt
and this is a separable equation, whose solution we know:
u = c2 e−2t .
Substituting into the equation
(D + 2)y = u,
we obtain
y ′ + 2y = c1 e−2t
and this is a first order linear equation, which can be solved using integrating factors.
Multiplying by the integrating factor J = e2t , and proceeding with the standard method, we obtain
e2t y ′ + 2e2t y = e2t e−2t c1 = c1 ,
d  2t 
e y = c1 ,
dt
2t
e y = c1 t + c2 ,
y = (c1 t + c2 )e−2t = c1 te−2t + c2 e−2t .
If we work this out in complete generality, we will find that in the case of a repeated root, the equation
(D + λ)(D + λ)y = 0
has the general solution
y = c1 teλt + c2 eλt .
The same method above can be applied to arbitrary second order equations with constant coefficients - this
method is referred to as repeated integration. In general, to solve an equation
(D2 + pD + q)y = 0,
we factor the right hand side,
(D − λ1 )(D − λ2 )y = 0,
and then make the substitution
(D − λ2 )y = u.
This leaves us with the equation
(D − λ1 )u = 0.
We can then solve for u and v using our standard techniques for solving first order equations (separating the
variables, and integrating factors). If you carry this out you will find that the solutions are
u = c1 eλ1 t ,
and (if the roots are distinct),
y = c1 eλ1 t + c2 eλ2 t .
This derivation confirms the validity of the exponential ansatz method - it always produces the most general
solution possible.