![Introduction
0.1 Notes about these notes
This book originated from my class notes for teaching Math 286, differential equations, at the
University of Illinois at Urbana-Champaign in fall 2008 and spring 2009. It is a first course on
differential equations for engineers. I have also taught Math 285 at UIUC and Math 20D at UCSD
using this book. The standard book for the UIUC course is Edwards and Penney, Differential
Equations and Boundary Value Problems: Computing and Modeling [EP], fourth edition. Some
examples and applications are taken more or less from this book, though they also appear in many
other sources, of course. Among other books I have used as sources of information and inspiration
are E.L. Ince’s classic (and inexpensive) Ordinary Differential Equations [I], Stanley Farlow’s
Differential Equations and Their Applications [F], which is now available from Dover, Berg and
McGregor’s Elementary Partial Differential Equations [BM], and Boyce and DiPrima’s Elementary
Differential Equations and Boundary Value Problems [BD]. See the Further Reading chapter at the
end of the book.
I taught the UIUC courses with the IODE software (http://www.math.uiuc.edu/iode/).
IODE is a free software package that is used either with Matlab (proprietary) or Octave (free
software). Projects and labs from the IODE website are referenced throughout the notes. They need
not be used for this course, but I recommend using them. The graphs in the notes were made with
the Genius software (see http://www.jirka.org/genius.html). I have used Genius in class to
show these (and other) graphs.
This book is available from http://www.jirka.org/diffyqs/. Check there for any possible
A
updates or errata. The LTEX source is also available from the same site for possible modification
and customization.
I would like to acknowledge Rick Laugesen. I have used his handwritten class notes the first
time I taught Math 286. My organization of this book, and the choice of material covered, is heavily
influenced by his class notes. Many examples and computations are taken from his notes. I am also
heavily indebted to Rick for all the advice he has given me, not just on teaching Math 286. For
spotting errors and other suggestions, I would also like to acknowledge (in no particular order): John
P. D’Angelo, Sean Raleigh, Jessica Robinson, Michael Angelini, Leonardo Gomes, Jeff Winegar,
Ian Simon, Thomas Wicklund, Eliot Brenner, Sean Robinson, Jannett Susberry, Dana Al-Quadi,
Cesar Alvarez, Cem Bagdatlioglu, Nathan Wong, Alison Shive, Shawn White, Wing Yip Ho, Joanne
5](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-5-320.jpg)
![0.2. INTRODUCTION TO DIFFERENTIAL EQUATIONS 7
0.2 Introduction to differential equations
Note: more than 1 lecture, §1.1 in [EP], chapter 1 in [BD]
0.2.1 Differential equations
The laws of physics are generally written down as differential equations. Therefore, all of science
and engineering use differential equations to some degree. Understanding differential equations is
essential to understanding almost anything you will study in your science and engineering classes.
You can think of mathematics as the language of science, and differential equations are one of
the most important parts of this language as far as science and engineering are concerned. As
an analogy, suppose that all your classes from now on were given in Swahili. Then it would be
important to first learn Swahili, otherwise you will have a very tough time getting a good grade in
your other classes.
You have already seen many differential equations without perhaps knowing about it. And
you have even solved simple differential equations when you were taking calculus. Let us see an
example you may not have seen:
dx
+ x = 2 cos t. (1)
dt
Here x is the dependent variable and t is the independent variable. Equation (1) is a basic example
of a differential equation. In fact it is an example of a first order differential equation, since it
involves only the first derivative of the dependent variable. This equation arises from Newton’s law
of cooling where the ambient temperature oscillates with time.
0.2.2 Solutions of differential equations
Solving the differential equation means finding x in terms of t. That is, we want to find a function
of t, which we will call x, such that when we plug x, t, and dx into (1), the equation holds. It is the
dt
same idea as it would be for a normal (algebraic) equation of just x and t. We claim that
x = x(t) = cos t + sin t
dx
is a solution. How do we check? We simply plug x into equation (1)! First we need to compute dt
.
We find that dx = − sin t + cos t. Now let us compute the left hand side of (1).
dt
dx
+ x = (− sin t + cos t) + (cos t + sin t) = 2 cos t.
dt
Yay! We got precisely the right hand side. But there is more! We claim x = cos t + sin t + e−t is also
a solution. Let us try,
dx
= − sin t + cos t − e−t .
dt](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-7-320.jpg)
![Chapter 1
First order ODEs
1.1 Integrals as solutions
Note: 1 lecture (or less), §1.2 in [EP], covered in §1.2 and §2.1 in [BD]
A first order ODE is an equation of the form
dy
= f (x, y),
dx
or just
y = f (x, y).
In general, there is no simple formula or procedure one can follow to find solutions. In the next few
lectures we will look at special cases where solutions are not difficult to obtain. In this section, let
us assume that f is a function of x alone, that is, the equation is
y = f (x). (1.1)
We could just integrate (antidifferentiate) both sides with respect to x.
y (x) dx = f (x) dx + C,
that is
y(x) = f (x) dx + C.
This y(x) is actually the general solution. So to solve (1.1), we find some antiderivative of f (x) and
then we add an arbitrary constant to get the general solution.
Now is a good time to discuss a point about calculus notation and terminology. Calculus
textbooks muddy the waters by talking about the integral as primarily the so-called indefinite
13](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-13-320.jpg)
![18 CHAPTER 1. FIRST ORDER ODES
1.2 Slope fields
Note: 1 lecture, §1.3 in [EP], §1.1 in [BD]
At this point it may be good to first try the Lab I and/or Project I from the IODE website:
http://www.math.uiuc.edu/iode/.
As we said, the general first order equation we are studying looks like
y = f (x, y).
In general, we cannot simply solve these kinds of equations explicitly. It would be good if we could
at least figure out the shape and behavior of the solutions, or if we could even find approximate
solutions for any equation.
1.2.1 Slope fields
As you have seen in IODE Lab I (if you did it), the equation y = f (x, y) gives you a slope at each
point in the (x, y)-plane. We can plot the slope at lots of points as a short line through the point
(x, y) with the slope f (x, y). See Figure 1.1.
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
3 3 3 3
2 2 2 2
1 1 1 1
0 0 0 0
-1 -1 -1 -1
-2 -2 -2 -2
-3 -3 -3 -3
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
Figure 1.1: Slope field of y = xy. Figure 1.2: Slope field of y = xy with a graph
of solutions satisfying y(0) = 0.2, y(0) = 0, and
y(0) = −0.2.
We call this picture the slope field of the equation. If we are given a specific initial condition
y(x0 ) = y0 , we can look at the location (x0 , y0 ) and follow the slopes. See Figure 1.2.
By looking at the slope field we can get a lot of information about the behavior of solutions. For
example, in Figure 1.2 we can see what the solutions do when the initial conditions are y(0) 0,
y(0) = 0 and y(0) 0. Note that a small change in the initial condition causes quite different](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-18-320.jpg)
![22 CHAPTER 1. FIRST ORDER ODES
1.3 Separable equations
Note: 1 lecture, §1.4 in [EP], §2.2 in [BD]
When a differential equation is of the form y = f (x), we can just integrate: y = f (x) dx + C.
Unfortunately this method no longer works for the general form of the equation y = f (x, y).
Integrating both sides yields
y= f (x, y) dx + C.
Notice the dependence on y in the integral.
1.3.1 Separable equations
Let us suppose that the equation is separable. That is, let us consider
y = f (x)g(y),
for some functions f (x) and g(y). Let us write the equation in the Leibniz notation
dy
= f (x)g(y).
dx
Then we rewrite the equation as
dy
= f (x) dx.
g(y)
Now both sides look like something we can integrate. We obtain
dy
= f (x) dx + C.
g(y)
If we can find closed form expressions for these two integrals, we can, perhaps, solve for y.
Example 1.3.1: Take the equation
y = xy.
First note that y = 0 is a solution, so assume y 0 from now on. Write the equation as dy
dx
= xy, then
dy
= x dx + C.
y
We compute the antiderivatives to get
x2
ln |y| = + C.
2](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-22-320.jpg)
![1.4. LINEAR EQUATIONS AND THE INTEGRATING FACTOR 27
1.4 Linear equations and the integrating factor
Note: 1 lecture, §1.5 in [EP], §2.1 in [BD]
One of the most important types of equations we will learn how to solve are the so-called linear
equations. In fact, the majority of the course is about linear equations. In this lecture we focus on
the first order linear equation. A first order equation is linear if we can put it into the form:
y + p(x)y = f (x). (1.3)
Here the word “linear” means linear in y and y ; no higher powers nor functions of y or y appear.
The dependence on x can be more complicated.
Solutions of linear equations have nice properties. For example, the solution exists wherever
p(x) and f (x) are defined, and has the same regularity (read: it is just as nice). But most importantly
for us right now, there is a method for solving linear first order equations.
The trick is to rewrite the left hand side of (1.3) as a derivative of a product of y with another
function. To this end we find a function r(x) such that
d
r(x)y + r(x)p(x)y = r(x)y .
dx
This is the left hand side of (1.3) multiplied by r(x). So if we multiply (1.3) by r(x), we obtain
d
r(x)y = r(x) f (x).
dx
Now we integrate both sides. The right hand side does not depend on y and the left hand side is
written as a derivative of a function. Afterwards, we solve for y. The function r(x) is called the
integrating factor and the method is called the integrating factor method.
We are looking for a function r(x), such that if we differentiate it, we get the same function back
multiplied by p(x). That seems like a job for the exponential function! Let
r(x) = e p(x) dx
.
We compute:
y + p(x)y = f (x),
e p(x) dx
y + e p(x) dx p(x)y = e p(x) dx
f (x),
d
e p(x) dx y = e p(x) dx
f (x),
dx
e p(x) dx
y= e p(x) dx
f (x) dx + C,
y = e− p(x) dx
e p(x) dx
f (x) dx + C .
Of course, to get a closed form formula for y, we need to be able to find a closed form formula
for the integrals appearing above.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-27-320.jpg)
![32 CHAPTER 1. FIRST ORDER ODES
1.5 Substitution
Note: 1 lecture, §1.6 in [EP], not in [BD]
Just as when solving integrals, one method to try is to change variables to end up with a simpler
equation to solve.
1.5.1 Substitution
The equation
y = (x − y + 1)2
is neither separable nor linear. What can we do? How about trying to change variables, so that in
the new variables the equation is simpler. We use another variable v, which we treat as a function of
x. Let us try
v = x − y + 1.
We need to figure out y in terms of v , v and x. We differentiate (in x) to obtain v = 1 − y . So
y = 1 − v . We plug this into the equation to get
1 − v = v2 .
In other words, v = 1 − v2 . Such an equation we know how to solve.
1
dv = dx.
1 − v2
So
1 v+1
ln = x + C,
2 v−1
v+1
= e2x+2C ,
v−1
or v+1 = De2x for some constant D. Note that v = 1 and v = −1 are also solutions.
v−1
Now we need to “unsubstitute” to obtain
x−y+2
= De2x ,
x−y
and also the two solutions x − y + 1 = 1 or y = x, and x − y + 1 = −1 or y = x + 2. We solve the first
equation for y.
x − y + 2 = (x − y)De2x ,
x − y + 2 = Dxe2x − yDe2x ,
−y + yDe2x = Dxe2x − x − 2,
y (−1 + De2x ) = Dxe2x − x − 2,
Dxe2x − x − 2
y= .
De2x − 1](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-32-320.jpg)
![1.6. AUTONOMOUS EQUATIONS 37
1.6 Autonomous equations
Note: 1 lecture, §2.2 in [EP], §2.5 in [BD]
Let us consider problems of the form
dx
= f (x),
dt
where the derivative of solutions depends only on x (the dependent variable). Such equations are
called autonomous equations. If we think of t as time, the naming comes from the fact that the
equation is independent of time.
Let us come back to the cooling coffee problem (see Example 1.3.3). Newton’s law of cooling
says that
dx
= −k(x − A),
dt
where x is the temperature, t is time, k is some constant, and A is the ambient temperature. See
Figure 1.6 for an example with k = 0.3 and A = 5.
Note the solution x = A (in the figure x = 5). We call these constant solutions the equilibrium
solutions. The points on the x axis where f (x) = 0 are called critical points. The point x = A is
a critical point. In fact, each critical point corresponds to an equilibrium solution. Note also, by
looking at the graph, that the solution x = A is “stable” in that small perturbations in x do not lead
to substantially different solutions as t grows. If we change the initial condition a little bit, then as
t → ∞ we get x → A. We call such critical points stable. In this simple example it turns out that all
solutions in fact go to A as t → ∞. If a critical point is not stable we would say it is unstable.
0 5 10 15 20 0 5 10 15 20
10 10 10.0 10.0
7.5 7.5
5 5
5.0 5.0
0 0 2.5 2.5
0.0 0.0
-5 -5
-2.5 -2.5
-10 -10 -5.0 -5.0
0 5 10 15 20 0 5 10 15 20
Figure 1.6: Slope field and some solutions of Figure 1.7: Slope field and some solutions of
x = −0.3 (x − 5). x = 0.1 x (5 − x).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-37-320.jpg)
![42 CHAPTER 1. FIRST ORDER ODES
1.7 Numerical methods: Euler’s method
Note: 1 lecture, §2.4 in [EP], §8.1 in [BD]
At this point it may be good to first try the Lab II and/or Project II from the IODE website:
http://www.math.uiuc.edu/iode/.
As we said before, unless f (x, y) is of a special form, it is generally very hard if not impossible
to get a nice formula for the solution of the problem
y = f (x, y), y(x0 ) = y0 .
What if we want to find the value of the solution at some particular x? Or perhaps we want to
produce a graph of the solution to inspect the behavior. In this section we will learn about the basics
of numerical approximation of solutions.
The simplest method for approximating a solution is Euler’s method∗ . It works as follows: We
take x0 and compute the slope k = f (x0 , y0 ). The slope is the change in y per unit change in x. We
follow the line for an interval of length h on the x axis. Hence if y = y0 at x0 , then we will say that
y1 (the approximate value of y at x1 = x0 + h) will be y1 = y0 + hk. Rinse, repeat! That is, compute
x2 and y2 using x1 and y1 . For an example of the first two steps of the method see Figure 1.11.
-1 0 1 2 3 -1 0 1 2 3
3.0 3.0 3.0 3.0
2.5 2.5 2.5 2.5
2.0 2.0 2.0 2.0
1.5 1.5 1.5 1.5
1.0 1.0 1.0 1.0
0.5 0.5 0.5 0.5
0.0 0.0 0.0 0.0
-1 0 1 2 3 -1 0 1 2 3
y2
Figure 1.11: First two steps of Euler’s method with h = 1 for the equation y = 3
with initial
conditions y(0) = 1.
More abstractly, for any i = 1, 2, 3, . . ., we compute
xi+1 = xi + h, yi+1 = yi + h f (xi , yi ).
The line segments we get are an approximate graph of the solution. Generally it is not exactly the
solution. See Figure 1.12 on the next page for the plot of the real solution and the approximation.
∗
Named after the Swiss mathematician Leonhard Paul Euler (1707 – 1783). Do note the correct pronunciation of
the name sounds more like “oiler.”](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-42-320.jpg)
![Chapter 2
Higher order linear ODEs
2.1 Second order linear ODEs
Note: less than 1 lecture, first part of §3.1 in [EP], parts of §3.1 and §3.2 in [BD]
Let us consider the general second order linear differential equation
A(x)y + B(x)y + C(x)y = F(x).
We usually divide through by A(x) to get
y + p(x)y + q(x)y = f (x), (2.1)
where p(x) = B(x)/A(x), q(x) = C(x)/A(x), and f (x) = F(x)/A(x). The word linear means that the equation
contains no powers nor functions of y, y , and y .
In the special case when f (x) = 0 we have a so-called homogeneous equation
y + p(x)y + q(x)y = 0. (2.2)
We have already seen some second order linear homogeneous equations.
y + k2 y = 0 Two solutions are: y1 = cos(kx), y2 = sin(kx).
y −k y=0
2
Two solutions are: y1 = e ,
kx
y2 = e−kx .
If we know two solutions of a linear homogeneous equation, we know a lot more of them.
Theorem 2.1.1 (Superposition). Suppose y1 and y2 are two solutions of the homogeneous equation
(2.2). Then
y(x) = C1 y1 (x) + C2 y2 (x),
also solves (2.2) for arbitrary constants C1 and C2 .
47](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-47-320.jpg)
![2.2. CONSTANT COEFFICIENT SECOND ORDER LINEAR ODES 51
2.2 Constant coefficient second order linear ODEs
Note: more than 1 lecture, second part of §3.1 in [EP], §3.1 in [BD]
Suppose we have the problem
y − 6y + 8y = 0, y(0) = −2, y (0) = 6.
This is a second order linear homogeneous equation with constant coefficients. Constant coefficients
means that the functions in front of y , y , and y are constants, not depending on x.
To guess a solution, think of a function that you know stays essentially the same when we
differentiate it, so that we can take the function and its derivatives, add some multiples of these
together, and end up with zero.
Let us try a solution of the form y = erx . Then y = rerx and y = r2 erx . Plug in to get
y − 6y + 8y = 0,
r e − 6rerx + 8erx = 0,
2 rx
r2 − 6r + 8 = 0 (divide through by erx ),
(r − 2)(r − 4) = 0.
Hence, if r = 2 or r = 4, then erx is a solution. So let y1 = e2x and y2 = e4x .
Exercise 2.2.1: Check that y1 and y2 are solutions.
The functions e2x and e4x are linearly independent. If they were not linearly independent we
could write e4x = Ce2x for some constant C, implying that e2x = C for all x, which is clearly not
possible. Hence, we can write the general solution as
y = C1 e2x + C2 e4x .
We need to solve for C1 and C2 . To apply the initial conditions we first find y = 2C1 e2x + 4C2 e4x .
We plug in x = 0 and solve.
−2 = y(0) = C1 + C2 ,
6 = y (0) = 2C1 + 4C2 .
Either apply some matrix algebra, or just solve these by high school math. For example, divide the
second equation by 2 to obtain 3 = C1 + 2C2 , and subtract the two equations to get 5 = C2 . Then
C1 = −7 as −2 = C1 + 5. Hence, the solution we are looking for is
y = −7e2x + 5e4x .
Let us generalize this example into a method. Suppose that we have an equation
ay + by + cy = 0, (2.3)](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-51-320.jpg)
![2.3. HIGHER ORDER LINEAR ODES 57
2.3 Higher order linear ODEs
Note: somewhat more than 1 lecture, §3.2 and §3.3 in [EP], §4.1 and §4.2 in [BD]
After reading this lecture, it may be good to try Project III from the IODE website: http:
//www.math.uiuc.edu/iode/.
Equations that appear in applications tend to be second order. Higher order equations do appear
from time to time, but it is a general assumption of modern physics that the world is “second order.”
The basic results about linear ODEs of higher order are essentially the same as for second order
equations, with 2 replaced by n. The important concept of linear independence is somewhat more
complicated when more than two functions are involved.
For higher order constant coefficient ODEs, the methods are also somewhat harder to apply, but
we will not dwell on these complications. We can always use the methods for systems of linear
equations from chapter 3 to solve higher order constant coefficient equations.
So let us start with a general homogeneous linear equation
y(n) + pn−1 (x)y(n−1) + · · · + p1 (x)y + p0 (x)y = 0. (2.4)
Theorem 2.3.1 (Superposition). Suppose y1 , y2 , . . . , yn are solutions of the homogeneous equation
(2.4). Then
y(x) = C1 y1 (x) + C2 y2 (x) + · · · + Cn yn (x)
also solves (2.4) for arbitrary constants C1 , . . . , Cn .
In other words, a linear combination of solutions to (2.4) is also a solution to (2.4). We also
have the existence and uniqueness theorem for nonhomogeneous linear equations.
Theorem 2.3.2 (Existence and uniqueness). Suppose p0 through pn−1 , and f are continuous func-
tions on some interval I, a is a number in I, and b0 , b1 , . . . , bn−1 are constants. The equation
y(n) + pn−1 (x)y(n−1) + · · · + p1 (x)y + p0 (x)y = f (x)
has exactly one solution y(x) defined on the same interval I satisfying the initial conditions
y(a) = b0 , y (a) = b1 , ..., y(n−1) (a) = bn−1 .
2.3.1 Linear independence
When we had two functions y1 and y2 we said they were linearly independent if one was not the
multiple of the other. Same idea holds for n functions. In this case it is easier to state as follows.
The functions y1 , y2 , . . . , yn are linearly independent if
c1 y1 + c2 y2 + · · · + cn yn = 0
has only the trivial solution c1 = c2 = · · · = cn = 0, where the equation must hold for all x. If we can
solve equation with some constants where for example c1 0, then we can solve for y1 as a linear
combination of the others. If the functions are not linearly independent, they are linearly dependent.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-57-320.jpg)
![58 CHAPTER 2. HIGHER ORDER LINEAR ODES
Example 2.3.1: Show that e x , e2x , e3x are linearly independent.
Let us give several ways to show this fact. Many textbooks (including [EP] and [F]) introduce
Wronskians, but that is really not necessary here.
Let us write down
c1 e x + c2 e2x + c3 e3x = 0.
We use rules of exponentials and write z = e x . Then we have
c1 z + c2 z2 + c3 z3 = 0.
The left hand side is a third degree polynomial in z. It can either be identically zero, or it can have
at most 3 zeros. Therefore, it is identically zero, c1 = c2 = c3 = 0, and the functions are linearly
independent.
Let us try another way. As before we write
c1 e x + c2 e2x + c3 e3x = 0.
This equation has to hold for all x. What we could do is divide through by e3x to get
c1 e−2x + c2 e−x + c3 = 0.
As the equation is true for all x, let x → ∞. After taking the limit we see that c3 = 0. Hence our
equation becomes
c1 e x + c2 e2x = 0.
Rinse, repeat!
How about yet another way. We again write
c1 e x + c2 e2x + c3 e3x = 0.
We can evaluate the equation and its derivatives at different values of x to obtain equations for c1 ,
c2 , and c3 . Let us first divide by e x for simplicity.
c1 + c2 e x + c3 e2x = 0.
We set x = 0 to get the equation c1 + c2 + c3 = 0. Now differentiate both sides
c2 e x + 2c3 e2x = 0.
We set x = 0 to get c2 + 2c3 = 0. We divide by e x again and differentiate to get 2c3 e x = 0. It is clear
that c3 is zero. Then c2 must be zero as c2 = −2c3 , and c1 must be zero because c1 + c2 + c3 = 0.
There is no one best way to do it. All of these methods are perfectly valid.
Example 2.3.2: On the other hand, the functions e x , e−x , and cosh x are linearly dependent. Simply
apply definition of the hyperbolic cosine:
e x + e−x
cosh x = or 2 cosh x − e x − e−x = 0.
2](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-58-320.jpg)
![62 CHAPTER 2. HIGHER ORDER LINEAR ODES
2.4 Mechanical vibrations
Note: 2 lectures, §3.4 in [EP], §3.7 in [BD]
Let us look at some applications of linear second order constant coefficient equations.
2.4.1 Some examples
k Our first example is a mass on a spring. Suppose we have
F(t)
m a mass m 0 (in kilograms) connected by a spring with spring
constant k 0 (in newtons per meter) to a fixed wall. There may be
some external force F(t) (in newtons) acting on the mass. Finally,
damping c there is some friction measured by c ≥ 0 (in newton-seconds per
meter) as the mass slides along the floor (or perhaps there is a damper connected).
Let x be the displacement of the mass (x = 0 is the rest position), with x growing to the right
(away from the wall). The force exerted by the spring is proportional to the compression of the
spring by Hooke’s law. Therefore, it is kx in the negative direction. Similarly the amount of force
exerted by friction is proportional to the velocity of the mass. By Newton’s second law we know
that force equals mass times acceleration and hence mx = F(t) − cx − kx or
mx + cx + kx = F(t).
This is a linear second order constant coefficient ODE. We set up some terminology about this
equation. We say the motion is
(i) forced, if F 0 (if F is not identically zero),
(ii) unforced or free, if F ≡ 0 (if F is identically zero),
(iii) damped, if c 0, and
(iv) undamped, if c = 0.
This system appears in lots of applications even if it does not at first seem like it. Many real
world scenarios can be simplified to a mass on a spring. For example, a bungee jump setup is
essentially a mass and spring system (you are the mass). It would be good if someone did the math
before you jump off the bridge, right? Let us give two other examples.
Here is an example for electrical engineers. Suppose that we have the
C pictured RLC circuit. There is a resistor with a resistance of R ohms, an
E L inductor with an inductance of L henries, and a capacitor with a capacitance
R
of C farads. There is also an electric source (such as a battery) giving a
voltage of E(t) volts at time t (measured in seconds). Let Q(t) be the charge](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-62-320.jpg)
![70 CHAPTER 2. HIGHER ORDER LINEAR ODES
2.5 Nonhomogeneous equations
Note: 2 lectures, §3.5 in [EP], §3.5 and §3.6 in [BD]
2.5.1 Solving nonhomogeneous equations
We have solved linear constant coefficient homogeneous equations. What about nonhomogeneous
linear ODEs? For example, the equations for forced mechanical vibrations. That is, suppose we
have an equation such as
y + 5y + 6y = 2x + 1. (2.6)
We will write Ly = 2x + 1 when the exact form of the operator is not important. We solve
(2.6) in the following manner. First, we find the general solution yc to the associated homogeneous
equation
y + 5y + 6y = 0. (2.7)
We call yc the complementary solution. Next, we find a single particular solution y p to (2.6) in
some way. Then
y = yc + y p
is the general solution to (2.6). We have Lyc = 0 and Ly p = 2x + 1. As L is a linear operator we
verify that y is a solution, Ly = L(yc + y p ) = Lyc + Ly p = 0 + (2x + 1). Let us see why we obtain the
general solution.
Let y p and y p be two different particular solutions to (2.6). Write the difference as w = y p − y p .
˜ ˜
Then plug w into the left hand side of the equation to get
w + 5w + 6w = (y p + 5y p + 6y p ) − (˜ p + 5˜ p + 6˜ p ) = (2x + 1) − (2x + 1) = 0.
y y y
Using the operator notation the calculation becomes simpler. As L is a linear operator we write
Lw = L(y p − y p ) = Ly p − L˜ p = (2x + 1) − (2x + 1) = 0.
˜ y
So w = y p − y p is a solution to (2.7), that is Lw = 0. Any two solutions of (2.6) differ by a solution
˜
to the homogeneous equation (2.7). The solution y = yc + y p includes all solutions to (2.6), since yc
is the general solution to the associated homogeneous equation.
Theorem 2.5.1. Let Ly = f (x) be a linear ODE (not necessarily constant coefficient). Let yc be the
complementary solution (the general solution to the associated homogeneous equation Ly = 0) and
let y p be any particular solution to Ly = f (x). Then the general solution to Ly = f (x) is
y = yc + y p .
The moral of the story is that we can find the particular solution in any old way. If we find a
different particular solution (by a different method, or simply by guessing), then we still get the
same general solution. The formula may look different, and the constants we will have to choose to
satisfy the initial conditions may be different, but it is the same solution.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-70-320.jpg)
![2.6. FORCED OSCILLATIONS AND RESONANCE 77
2.6 Forced oscillations and resonance
Note: 2 lectures, §3.6 in [EP], §3.8 in [BD]
Let us return back to the example of a mass on a spring. We k F(t)
now examine the case of forced oscillations, which we did not yet m
handle. That is, we consider the equation
mx + cx + kx = F(t), damping c
for some nonzero F(t). The setup is again: m is mass, c is friction, k is the spring constant and F(t)
is an external force acting on the mass.
What we are interested in is periodic forcing, such as noncentered rotating parts, or perhaps
loud sounds, or other sources of periodic force. Once we learn about Fourier series in chapter 4,
we will see that we cover all periodic functions by simply considering F(t) = F0 cos(ωt) (or sine
instead of cosine, the calculations are essentially the same).
2.6.1 Undamped forced motion and resonance
First let us consider undamped (c = 0) motion for simplicity. We have the equation
mx + kx = F0 cos(ωt).
This equation has the complementary solution (solution to the associated homogeneous equation)
xc = C1 cos(ω0 t) + C2 sin(ω0 t),
√
where ω0 = k/m is the natural frequency (angular). It is the frequency at which the system “wants
to oscillate” without external interference.
Let us suppose that ω0 ω. We try the solution x p = A cos(ωt) and solve for A. Note that we
need not have sine in our trial solution as on the left hand side we will only get cosines anyway. If
you include a sine it is fine; you will find that its coefficient will be zero (I could not find a rhyme).
We solve using the method of undetermined coefficients. We find that
F0
xp = cos(ωt).
m(ω2
0 − ω2 )
We leave it as an exercise to do the algebra required.
The general solution is
F0
x = C1 cos(ω0 t) + C2 sin(ω0 t) + cos(ωt).
m(ω2 − ω2 )
0](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-77-320.jpg)
![Chapter 3
Systems of ODEs
3.1 Introduction to systems of ODEs
Note: 1 lecture, §4.1 in [EP], §7.1 in [BD]
Often we do not have just one dependent variable and one equation. And as we will see, we
may end up with systems of several equations and several dependent variables even if we start with
a single equation.
If we have several dependent variables, suppose y1 , y2 , . . . , yn , then we can have a differential
equation involving all of them and their derivatives. For example, y1 = f (y1 , y2 , y1 , y2 , x). Usually,
when we have two dependent variables we have two equations such as
y1 = f1 (y1 , y2 , y1 , y2 , x),
y2 = f2 (y1 , y2 , y1 , y2 , x),
for some functions f1 and f2 . We call the above a system of differential equations. More precisely,
the above is a second order system of ODEs.
Example 3.1.1: Sometimes a system is easy to solve by solving for one variable and then for the
second variable. Take the first order system
y1 = y1 ,
y2 = y1 − y2 ,
with initial conditions of the form y1 (0) = 1, y2 (0) = 2.
We note that y1 = C1 e x is the general solution of the first equation. We then plug this y1 into the
second equation and get the equation y2 = C1 e x − y2 , which is a linear first order equation that is
easily solved for y2 . By the method of integrating factor we get
C1 2x
e x y2 = e + C2 ,
2
85](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-85-320.jpg)
![90 CHAPTER 3. SYSTEMS OF ODES
3.2 Matrices and linear systems
Note: 1 and a half lectures, first part of §5.1 in [EP], §7.2 and §7.3 in [BD]
3.2.1 Matrices and vectors
Before we can start talking about linear systems of ODEs, we will need to talk about matrices, so
let us review these briefly. A matrix is an m × n array of numbers (m rows and n columns). For
example, we denote a 3 × 5 matrix as follows
a11 a12 a13 a14 a15
A = a21 a22 a23 a24 a25 .
a31 a32 a33 a34 a35
By a vector we will usually mean a column vector, that is an m × 1 matrix. If we mean a row
vector we will explicitly say so (a row vector is a 1 × n matrix). We will usually denote matrices by
upper case letters and vectors by lower case letters with an arrow such as x or b. By 0 we will mean
the vector of all zeros.
It is easy to define some operations on matrices. Note that we will want 1 × 1 matrices to really
act like numbers, so our operations will have to be compatible with this viewpoint.
First, we can multiply by a scalar (a number). This means just multiplying each entry by the
same number. For example,
1 2 3 2 4 6
2 = .
4 5 6 8 10 12
Matrix addition is also easy. We add matrices element by element. For example,
1 2 3 1 1 −1 2 3 2
+ = .
4 5 6 0 2 4 4 7 10
If the sizes do not match, then addition is not defined.
If we denote by 0 the matrix of with all zero entries, by c, d scalars, and by A, B, C matrices, we
have the following familiar rules.
A + 0 = A = 0 + A,
A + B = B + A,
(A + B) + C = A + (B + C),
c(A + B) = cA + cB,
(c + d)A = cA + dA.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-90-320.jpg)
![96 CHAPTER 3. SYSTEMS OF ODES
Exercise 3.2.1: Check that the solution above really solves the given equations.
If we write this equation in matrix notation as
Ax = b,
2 2 2 2
where A is the matrix 1 1 3 and b is the vector 5 . The solution can be also computed via the
1 4 1 10
inverse,
x = A−1 Ax = A−1 b.
One last note to make about linear systems of equations is that it is possible that the solution is
not unique (or that no solution exists). It is easy to tell if a solution does not exist. If during the
row reduction you come up with a row where all the entries except the last one are zero (the last
entry in a row corresponds to the right hand side of the equation) the system is inconsistent and
has no solution. For example if for a system of 3 equations and 3 unknowns you find a row such as
[ 0 0 0 | 1 ] in the augmented matrix, you know the system is inconsistent.
You generally try to use row operations until the following conditions are satisfied. The first
nonzero entry in each row is called the leading entry.
(i) There is only one leading entry in each column.
(ii) All the entries above and below a leading entry are zero.
(iii) All leading entries are 1.
Such a matrix is said to be in reduced row echelon form. The variables corresponding to columns
with no leading entries are said to be free variables. Free variables mean that we can pick those
variables to be anything we want and then solve for the rest of the unknowns.
Example 3.2.1: The following augmented matrix is in reduced row echelon form.
1 2 0 3
0 0 1 1
0 0 0 0
Suppose the variables are x1 , x2 , and x3 . Then x2 is the free variable, x1 = 3 − 2x2 , and x3 = 1.
On the other hand if during the row reduction process you come up with the matrix
1 2 13 3
0 0 1 1 ,
0 0 0 3
there is no need to go further. The last row corresponds to the equation 0x1 + 0x2 + 0x3 = 3, which
is preposterous. Hence, no solution exists.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-96-320.jpg)
![3.2. MATRICES AND LINEAR SYSTEMS 97
3.2.5 Computing the inverse
If the coefficient matrix is square and there exists a unique solution x to Ax = b for any b, then A
is invertible. In fact by multiplying both sides by A−1 you can see that x = A−1 b. So it is useful to
compute the inverse if you want to solve the equation for many different right hand sides b.
The 2 × 2 inverse can be given by a formula, but it is also not hard to compute inverses of larger
matrices. While we will not have too much occasion to compute inverses for larger matrices than
2 × 2 by hand, let us touch on how to do it. Finding the inverse of A is actually just solving a bunch
of linear equations. If we can solve Axk = ek where ek is the vector with all zeros except a 1 at the
kth position, then the inverse is the matrix with the columns xk for k = 1, . . . , n (exercise: why?).
Therefore, to find the inverse we can write a larger n × 2n augmented matrix [ A | I ], where I is the
identity. We then perform row reduction. The reduced row echelon form of [ A | I ] will be of the
form [ I | A−1 ] if and only if A is invertible. We can then just read off the inverse A−1 .
3.2.6 Exercises
Exercise 3.2.2: Solve 1 2
3 4 x= 5
6 by using matrix inverse.
9 −2 −6
Exercise 3.2.3: Compute determinant of −8 3 6 .
10 −2 −6
1 2 3 1
4 0 5 0
Exercise 3.2.4: Compute determinant of 6 0 7 0 . Hint: Expand along the proper row or column
8 0 10 1
to make the calculations simpler.
1 2 3
Exercise 3.2.5: Compute inverse of 1 1 1 .
0 1 0
1 2 3
Exercise 3.2.6: For which h is 4 5 6 not invertible? Is there only one such h? Are there several?
7 8 h
Infinitely many?
h 1 1
Exercise 3.2.7: For which h is 0 h 0 not invertible? Find all such h.
1 1 h
9 −2 −6 1
Exercise 3.2.8: Solve −8 3 6 x= 2 .
10 −2 −6 3
5 3 7 2
Exercise 3.2.9: Solve 8 4 4 x= 0 .
6 3 3 0
3 2 3 0 2
Exercise 3.2.10: Solve 3
0
3
2
3
4
3
2 x= 0
4 .
2 3 4 3 1
Exercise 3.2.11: Find 3 nonzero 2 × 2 matrices A, B, and C such that AB = AC but B C.
1 1 1
Exercise 3.2.101: Compute determinant of 2 3 −5
1 −1 0](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-97-320.jpg)
![3.3. LINEAR SYSTEMS OF ODES 99
3.3 Linear systems of ODEs
Note: less than 1 lecture, second part of §5.1 in [EP], §7.4 in [BD]
First let us talk about matrix or vector valued functions. Such a function is just a matrix whose
entries depend on some variable. If t is the independent variable, we write a vector valued function
x(t) as
x1 (t)
x2 (t)
x(t) = .
. .
.
xn (t)
Similarly a matrix valued function A(t) is
a11 (t) a12 (t) · · · a1n (t)
a21 (t) a22 (t) · · · a2n (t)
A(t) = . . .
. ..
. . .
.
. . .
an1 (t) an2 (t) · · · ann (t)
We can talk about the derivative A (t) or dA . This is just the matrix valued function whose i jth entry
dt
is ai j (t).
Rules of differentiation of matrix valued functions are similar to rules for normal functions. Let
A(t) and B(t) be matrix valued functions. Let c a scalar and let C be a constant matrix. Then
A(t) + B(t) = A (t) + B (t),
A(t)B(t) = A (t)B(t) + A(t)B (t),
cA(t) = cA (t),
CA(t) = CA (t),
A(t)C = A (t)C.
Note the order of the multiplication in the last two expressions.
A first order linear system of ODEs is a system that can be written as the vector equation
x (t) = P(t)x(t) + f (t),
where P(t) is a matrix valued function, and x(t) and f (t) are vector valued functions. We will often
suppress the dependence on t and only write x = Px + f . A solution of the system is a vector
valued function x satisfying the vector equation.
For example, the equations
x1 = 2tx1 + et x2 + t2 ,
x1
x2 = − x2 + et ,
t](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-99-320.jpg)
![3.4. EIGENVALUE METHOD 103
3.4 Eigenvalue method
Note: 2 lectures, §5.2 in [EP], part of §7.3, §7.5, and §7.6 in [BD]
In this section we will learn how to solve linear homogeneous constant coefficient systems of
ODEs by the eigenvalue method. Suppose we have such a system
x = Px,
where P is a constant square matrix. We wish to adapt the method for the single constant coefficient
equation by trying the function eλt . However, x is a vector. So we try x = veλt , where v is an
arbitrary constant vector. We plug this x into the equation to get
λveλt = Pveλt .
We divide by eλt and notice that we are looking for a scalar λ and a vector v that satisfy the equation
λv = Pv.
To solve this equation we need a little bit more linear algebra, which we now review.
3.4.1 Eigenvalues and eigenvectors of a matrix
Let A be a constant square matrix. Suppose there is a scalar λ and a nonzero vector v such that
Av = λv.
We then call λ an eigenvalue of A and v is said to be a corresponding eigenvector.
Example 3.4.1: The matrix 2 1
0 1 has an eigenvalue of λ = 2 with a corresponding eigenvector 1
0
because
2 1 1 2 1
= =2 .
0 1 0 0 0
Let us see how to compute the eigenvalues for any matrix. We rewrite the equation for an
eigenvalue as
(A − λI)v = 0.
We notice that this equation has a nonzero solution v only if A − λI is not invertible. Were it
invertible, we could write (A − λI)−1 (A − λI)v = (A − λI)−1 0, which implies v = 0. Therefore, A
has the eigenvalue λ if and only if λ solves the equation
det(A − λI) = 0.
Consequently, we will be able to find an eigenvalue of A without finding a corresponding
eigenvector. An eigenvector will have to be found later, once λ is known.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-103-320.jpg)
![3.4. EIGENVALUE METHOD 105
Exercise 3.4.1 (easy): Are eigenvectors unique? Can you find a different eigenvector for λ = 3 in
the example above? How are the two eigenvectors related?
Exercise 3.4.2: Note that when the matrix is 2 × 2 you do not need to write down the augmented
matrix and do row operations when computing eigenvectors (if you have computed the eigenvalues
2 1
correctly). Can you see why? Try it for the matrix 1 2 .
3.4.2 The eigenvalue method with distinct real eigenvalues
OK. We have the system of equations
x = Px.
We find the eigenvalues λ1 , λ2 , . . . , λn of the matrix P, and corresponding eigenvectors v1 , v2 , . . . , vn .
Now we notice that the functions v1 eλ1 t , v2 eλ2 t , . . . , vn eλn t are solutions of the system of equations
and hence x = c1 v1 eλ1 t + c2 v2 eλ2 t + · · · + cn vn eλn t is a solution.
Theorem 3.4.1. Take x = Px. If P is an n × n constant matrix that has n distinct real eigenvalues
λ1 , λ2 , . . . , λn , then there exist n linearly independent corresponding eigenvectors v1 , v2 , . . . , vn , and
the general solution to x = Px can be written as
x = c1 v1 eλ1 t + c2 v2 eλ2 t + · · · + cn vn eλn t .
The corresponding fundamental matrix solution is X(t) = [ v1 eλ1 t v2 eλ2 t ··· vn eλn t ]. That
is, X(t) is the matrix whose jth column is v j eλ j t .
Example 3.4.4: Suppose we take the system
2 1 1
x = 1 2 0 x.
0 0 2
Find the general solution.
1
We have found the eigenvalues 1, 2, 3 earlier. We have found the eigenvector 1 for the
0
1 0
eigenvalue 3. Similarly we find the eigenvector −1 for the eigenvalue 1, and 1 for the eigenvalue
0 −1
2 (exercise: check). Hence our general solution is
c1 et + c3 e3t
1
0
1
−1 e + c2 1 e2t + c3 1 e3t = −c1 et + c2 e2t + c3 e3t .
x = c1
t
2t
0 −1 0 −c2 e
In terms of a fundamental matrix solution
3t
t
t 0 e3t c1
e
x = X(t) c = −e e2t e c2 .
2t
0 −e 0 c3
](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-105-320.jpg)
![110 CHAPTER 3. SYSTEMS OF ODES
3.5 Two dimensional systems and their vector fields
Note: 1 lecture, part of §6.2 in [EP], parts of §7.5 and §7.6 in [BD]
Let us take a moment to talk about constant coefficient linear homogeneous systems in the plane.
Much intuition can be obtained by studying this simple case. Suppose we have a 2 × 2 matrix P and
the system
x x
=P . (3.2)
y y
The system is autonomous (compare this section to § 1.6) and so we can draw a vector field (see
end of § 3.1). We will be able to visually tell what the vector field looks like and how the solutions
behave, once we find the eigenvalues and eigenvectors of the matrix P. For this section, we assume
that P has two eigenvalues and two corresponding eigenvectors.
Case 1. Suppose that the eigenvalues of P
3
-3 -2 -1 0 1 2 3
3 are real and positive. We find two corresponding
eigenvectors and plot them in the plane. For ex-
2 2
ample, take the matrix 1 1 . The eigenvalues are
0 2
1 and 2 and corresponding eigenvectors are 1 0
1 1
and 1 . See Figure 3.3.
1
0 0
Now suppose that x and y are on the line de-
termined by an eigenvector v for an eigenvalue λ.
-1 -1 That is, y = av for some scalar a. Then
x
-2 -2
x x
=P = P(av) = a(Pv) = aλv.
y y
-3 -3
-3 -2 -1 0 1 2 3
The derivative is a multiple of v and hence points
Figure 3.3: Eigenvectors of P.
along the line determined by v. As λ 0, the
derivative points in the direction of v when a is
positive and in the opposite direction when a is
negative. Let us draw the lines determined by the eigenvectors, and let us draw arrows on the lines
to indicate the directions. See Figure 3.4 on the facing page.
We fill in the rest of the arrows for the vector field and we also draw a few solutions. See
Figure 3.5 on the next page. Notice that the picture looks like a source with arrows coming out from
the origin. Hence we call this type of picture a source or sometimes an unstable node.
Case 2. Suppose both eigenvalues were negative. For example, take the negation of the matrix
in case 1, −1 −1 . The eigenvalues are −1 and −2 and corresponding eigenvectors are the same,
0 −2
1 and 1 . The calculation and the picture are almost the same. The only difference is that the
0 1
eigenvalues are negative and hence all arrows are reversed. We get the picture in Figure 3.6 on the
facing page. We call this kind of picture a sink or sometimes a stable node.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-110-320.jpg)
![3.6. SECOND ORDER SYSTEMS AND APPLICATIONS 115
3.6 Second order systems and applications
Note: more than 2 lectures, §5.3 in [EP], not in [BD]
3.6.1 Undamped mass-spring systems
While we did say that we will usually only look at first order systems, it is sometimes more
convenient to study the system in the way it arises naturally. For example, suppose we have 3
masses connected by springs between two walls. We could pick any higher number, and the math
would be essentially the same, but for simplicity we pick 3 right now. Let us also assume no friction,
that is, the system is undamped. The masses are m1 , m2 , and m3 and the spring constants are k1 ,
k2 , k3 , and k4 . Let x1 be the displacement from rest position of the first mass, and x2 and x3 the
displacement of the second and third mass. We will make, as usual, positive values go right (as x1
grows the first mass is moving right). See Figure 3.11.
k1 k2 k3 k4
m1 m2 m3
Figure 3.11: System of masses and springs.
This simple system turns up in unexpected places. For example, our world really consists of
many small particles of matter interacting together. When we try the above system with many more
masses, we obtain a good approximation to how an elastic material behaves. By somehow taking a
limit of the number of masses going to infinity, we obtain the continuous one dimensional wave
equation (that we study in § 4.7). But we digress.
Let us set up the equations for the three mass system. By Hooke’s law we have that the force
acting on the mass equals the spring compression times the spring constant. By Newton’s second
law we have that force is mass times acceleration. So if we sum the forces acting on each mass and
put the right sign in front of each term, depending on the direction in which it is acting, we end up
with the desired system of equations.
m1 x1 = −k1 x1 + k2 (x2 − x1 ) = −(k1 + k2 )x1 + k2 x2 ,
m2 x2 = −k2 (x2 − x1 ) + k3 (x3 − x2 ) = k2 x1 − (k2 + k3 )x2 + k3 x3 ,
m3 x3 = −k3 (x3 − x2 ) − k4 x3 = k3 x2 − (k3 + k4 )x3 .
We define the matrices
−(k1 + k2 )
m1 0 0
k2 0
M = 0 m2 0 K= −(k2 + k3 ) .
and k2 k3
−(k3 + k4 )
0 0 m3 0 k3
](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-115-320.jpg)
![124 CHAPTER 3. SYSTEMS OF ODES
3.7 Multiple eigenvalues
Note: 1 or 1.5 lectures , §5.4 in [EP], §7.8 in [BD]
It may very well happen that a matrix has some “repeated” eigenvalues. That is, the characteristic
equation det(A − λI) = 0 may have repeated roots. As we have said before, this is actually unlikely
to happen for a random matrix. If we take a small perturbation of A (we change the entries of A
slightly), then we will get a matrix with distinct eigenvalues. As any system we will want to solve
in practice is an approximation to reality anyway, it is not indispensable to know how to solve these
corner cases. It may happen on occasion that it is easier or desirable to solve such a system directly.
3.7.1 Geometric multiplicity
Take the diagonal matrix
3 0
A= .
0 3
A has an eigenvalue 3 of multiplicity 2. We call the multiplicity of the eigenvalue in the characteristic
equation the algebraic multiplicity. In this case, there also exist 2 linearly independent eigenvectors,
1 and 0 corresponding to the eigenvalue 3. This means that the so-called geometric multiplicity
0 1
of this eigenvalue is also 2.
In all the theorems where we required a matrix to have n distinct eigenvalues, we only really
needed to have n linearly independent eigenvectors. For example, x = Ax has the general solution
1 3t 0 3t
x = c1 e + c2 e .
0 1
Let us restate the theorem about real eigenvalues. In the following theorem we will repeat eigen-
values according to (algebraic) multiplicity. So for the above matrix A, we would say that it has
eigenvalues 3 and 3.
Theorem 3.7.1. Take x = Px. Suppose the matrix P is n×n, has n real eigenvalues (not necessarily
distinct), λ1 , . . . , λn , and there are n linearly independent corresponding eigenvectors v1 , . . . , vn .
Then the general solution to the ODE can be written as
x = c1 v1 eλ1 t + c2 v2 eλ2 t + · · · + cn vn eλn t .
The geometric multiplicity of an eigenvalue of algebraic multiplicity n is equal to the number of
corresponding linearly independent eigenvectors. The geometric multiplicity is always less than
or equal to the algebraic multiplicity. We have handled the case when these two multiplicities are
equal. If the geometric multiplicity is equal to the algebraic multiplicity, then we say the eigenvalue
is complete.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-124-320.jpg)
![128 CHAPTER 3. SYSTEMS OF ODES
0 1 2
Exercise 3.7.5: Let A = −1 −2 −2 . a) What are the eigenvalues? b) What is/are the defect(s) of the
−4 4 7
eigenvalue(s)? c) Find the general solution of x = Ax.
0 4 −2
Exercise 3.7.6: Let A = −1 −4 1 . a) What are the eigenvalues? b) What is/are the defect(s) of the
0 0 −2
eigenvalue(s)? c) Find the general solution of x = Ax.
2 1 −1
Exercise 3.7.7: Let A = −1 0 2 . a) What are the eigenvalues? b) What is/are the defect(s) of the
−1 −2 4
eigenvalue(s)? c) Find the general solution of x = Ax.
Exercise 3.7.8: Suppose that A is a 2 × 2 matrix with a repeated eigenvalue λ. Suppose that there
are two linearly independent eigenvectors. Show that A = λI.
1 1 1
Exercise 3.7.101: Let A = 1 1 1 . a) What are the eigenvalues? b) What is/are the defect(s) of the
1 1 1
eigenvalue(s)? c) Find the general solution of x = Ax.
1 3 3
Exercise 3.7.102: Let A = 1 1 0 . a) What are the eigenvalues? b) What is/are the defect(s) of the
−1 1 2
eigenvalue(s)? c) Find the general solution of x = Ax.
2 0 0
Exercise 3.7.103: Let A = −1 −1 9 . a) What are the eigenvalues? b) What is/are the defect(s) of
0 −1 5
the eigenvalue(s)? c) Find the general solution of x = Ax.
Exercise 3.7.104: Let A = [ a a ], where a, b, and c are unknowns. Suppose that 5 is a doubled
b c
eigenvalue of defect 1, and suppose that 1 is the eigenvector. Find A and show that there is only
0
one solution.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-128-320.jpg)
![3.8. MATRIX EXPONENTIALS 129
3.8 Matrix exponentials
Note: 2 lectures, §5.5 in [EP], §7.7 in [BD]
3.8.1 Definition
In this section we present a different way of finding the fundamental matrix solution of a system.
Suppose that we have the constant coefficient equation
x = Px,
as usual. Now suppose that this was one equation (P is a number or a 1 × 1 matrix). Then the
solution to this would be
x = ePt .
It turns out the same computation works for matrices when we define ePt properly. First let us write
down the Taylor series for eat for some number a.
∞
(at)2 (at)3 (at)4 (at)k
eat = 1 + at + + + + ··· = .
2 6 24 k=0
k!
Recall k! = 1 · 2 · 3 · · · k is the factorial, and 0! = 1. We differentiate this series term by term
d at a3 t2 a4 t3 (at)2 (at)3
e =a+a t+
2
+ + · · · = a 1 + at + + + · · · = aeat .
dt 2 6 2 6
Maybe we can try the same trick with matrices. Suppose that for an n × n matrix A we define the
matrix exponential as
def 1 1 1
e A = I + A + A2 + A3 + · · · + Ak + · · ·
2 6 k!
Let us not worry about convergence. The series really does always converge. We usually write Pt
as tP by convention when P is a matrix. With this small change and by the exact same calculation
as above we have that
d tP
e = PetP .
dt
Now P and hence etP is an n × n matrix. What we are looking for is a vector. We note that in the
1 × 1 case we would at this point multiply by an arbitrary constant to get the general solution. In the
matrix case we multiply by a column vector c.
Theorem 3.8.1. Let P be an n × n matrix. Then the general solution to x = Px is
x = etP c,
where c is an arbitrary constant vector. In fact x(0) = c.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-129-320.jpg)
![132 CHAPTER 3. SYSTEMS OF ODES
details. We let E be the matrix with the eigenvectors as columns. Let λ1 , . . . , λn be the eigenvalues
and let v1 , . . . , vn be the eigenvectors, then E = [ v1 v2 · · · vn ]. Let D be the diagonal matrix
with the eigenvalues on the main diagonal. That is
λ1 0 · · · 0
0 λ2 · · · 0
D = . . .. . .
. .
.
. .
. .
0 0 · · · λn
We compute
AE = A[ v1 v2 · · · vn ]
= [ Av1 Av2 · · · Avn ]
= [ λ1 v1 λ2 v2 · · · λn vn ]
= [ v1 v2 · · · vn ]D
= ED.
The columns of E are linearly independent as these are linearly independent eigenvectors of A.
Hence E is invertible. Since AE = ED, we right multiply by E −1 and we get
A = EDE −1 .
This means that eA = EeD E −1 . Multiplying the matrix by t we obtain
λ1 t
e
0 ··· 0
0 eλ2 t · · · 0
etA = EetD E −1 = E . . E .
−1
. ..
.
. .
(3.4)
.
. . .
0 · · · eλn t
0
The formula (3.4), therefore, gives the formula for computing the fundamental matrix solution etA
for the system x = Ax, in the case where we have n linearly independent eigenvectors.
Notice that this computation still works when the eigenvalues and eigenvectors are complex,
though then you will have to compute with complex numbers. It is clear from the definition that if
A is real, then etA is real. So you will only need complex numbers in the computation and you may
need to apply Euler’s formula to simplify the result. If simplified properly the final matrix will not
have any complex numbers in it.
Example 3.8.1: Compute the fundamental matrix solution using the matrix exponentials for the
system
x 1 2 x
= .
y 2 1 y](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-132-320.jpg)
![3.8. MATRIX EXPONENTIALS 133
Then compute the particular solution for the initial conditions x(0) = 4 and y(0) = 2.
Let A be the coefficient matrix 1 2 . We first compute (exercise) that the eigenvalues are 3 and
2 1
−1 and corresponding eigenvectors are 1 and −1 . Hence we write
1
1
−1
1 1 e3t 0 1 1
etA =
1 −1 0 e−t 1 −1
1 1 e3t 0 −1 −1 −1
=
1 −1 0 e−t 2 −1 1
−1 e3t e−t −1 −1
=
2 e3t −e−t −1 1
e3t +e−t e3t −e−t
−1 −e3t − e−t −e3t + e−t
= = 2 2 .
2 −e3t + e−t −e3t − e−t e3t −e−t
2
e3t +e−t
2
The initial conditions are x(0) = 4 and y(0) = 2. Hence, by the property that e0A = I we find that
the particular solution we are looking for is etA b where b is 4 . Then the particular solution we are
2
looking for is
e3t +e−t e3t −e−t
x 4 2e3t + 2e−t + e3t − e−t 3e3t + e−t
= 2 2 = = .
y e3t −e−t
2
e3t +e−t
2
2 2e3t − 2e−t + e3t + e−t 3e3t − e−t
3.8.4 Fundamental matrix solutions
We note that if you can compute the fundamental matrix solution in a different way, you can use
this to find the matrix exponential etA . The fundamental matrix solution of a system of ODEs is
not unique. The exponential is the fundamental matrix solution with the property that for t = 0
we get the identity matrix. So we must find the right fundamental matrix solution. Let X be any
fundamental matrix solution to x = Ax. Then we claim
etA = X(t) [X(0)]−1 .
Clearly, if we plug t = 0 into X(t) [X(0)]−1 we get the identity. We can multiply a fundamental
matrix solution on the right by any constant invertible matrix and we still get a fundamental matrix
solution. All we are doing is changing what the arbitrary constants are in the general solution
x(t) = X(t)c.
3.8.5 Approximations
If you think about it, the computation of any fundamental matrix solution X using the eigenvalue
method is just as difficult as the computation of etA . So perhaps we did not gain much by this
new tool. However, the Taylor series expansion actually gives us a very easy way to approximate
solutions, which the eigenvalue method did not.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-133-320.jpg)
![136 CHAPTER 3. SYSTEMS OF ODES
3.9 Nonhomogeneous systems
Note: 3 lectures (may have to skip a little), somewhat different from §5.6 in [EP], §7.9 in [BD]
3.9.1 First order constant coefficient
Integrating factor
Let us first focus on the nonhomogeneous first order equation
x (t) = Ax(t) + f (t),
where A is a constant matrix. The first method we will look at is the integrating factor method. For
simplicity we rewrite the equation as
x (t) + Px(t) = f (t),
where P = −A. We multiply both sides of the equation by etP (being mindful that we are dealing
with matrices that may not commute) to obtain
etP x (t) + etP Px(t) = etP f (t).
We notice that PetP = etP P. This fact follows by writing down the series definition of etP ,
1 1
PetP = P I + I + tP + (tP)2 + · · · = P + tP2 + t2 P3 + · · · =
2 2
1
= I + I + tP + (tP)2 + · · · P = PetP .
2
We have already seen that d
dt
etP = PetP . Hence,
d tP
e x(t) = etP f (t).
dt
We can now integrate. That is, we integrate each component of the vector separately
etP x(t) = etP f (t) dt + c.
−1
Recall from Exercise 3.8.7 that (etP ) = e−tP . Therefore, we obtain
x(t) = e−tP etP f (t) dt + e−tP c.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-136-320.jpg)
![3.9. NONHOMOGENEOUS SYSTEMS 139
That is, we wish to find g1 through gn that satisfy (3.8). We note that since all the eigenvectors are
independent, the matrix E = [ v1 v2 · · · vn ] is invertible. We see that (3.8) can be written as
f = Eg, where the components of g are the functions g1 through gn . Then g = E −1 f . Hence it is
always possible to find g when there are n linearly independent eigenvectors.
We plug (3.7) into (3.6), and note that Avk = λk vk .
x = v1 ξ1 + v2 ξ2 + · · · + vn ξn
= A v1 ξ1 + v2 ξ2 + · · · + vn ξn + v1 g1 + v2 g2 + · · · + vn gn
= Av1 ξ1 + Av2 ξ2 + · · · + Avn ξn + v1 g1 + v2 g2 + · · · + vn gn
= v1 λ1 ξ1 + v2 λ2 ξ2 + · · · + vn λn ξn + v1 g1 + v2 g2 + · · · + vn gn
= v1 (λ1 ξ1 + g1 ) + v2 (λ2 ξ2 + g2 ) + · · · + vn (λn ξn + gn ).
If we identify the coefficients of the vectors v1 through vn we get the equations
ξ1 = λ1 ξ1 + g1 ,
ξ2 = λ2 ξ2 + g2 ,
.
.
.
ξn = λn ξn + gn .
Each one of these equations is independent of the others. They are all linear first order equations
and can easily be solved by the standard integrating factor method for single equations. That is, for
example for the kth equation we write
ξk (t) − λk ξk (t) = gk (t).
We use the integrating factor e−λk t to find that
d
ξk (t) e−λk t = e−λk t gk (t).
dx
Now we integrate and solve for ξk to get
ξk (t) = eλk t e−λk t gk (t) dt + Ck eλk t .
Note that if we are looking for just any particular solution, we could set Ck to be zero. If we leave
these constants in, we will get the general solution. Write x(t) = v1 ξ1 (t) + v2 ξ2 (t) + · · · + vn ξn (t),
and we are done.
Again, as always, it is perhaps better to write these integrals as definite integrals. Suppose that
we have an initial condition x(0) = b. We take c = E −1 b and note b = v1 a1 + · · · + vn an , just like
before. Then if we write
t
ξk (t) = eλk t e−λk s gk (s) dt + ak eλk t ,
0](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-139-320.jpg)
![3.9. NONHOMOGENEOUS SYSTEMS 143
Exercise 3.9.2: Check that x1 and x2 solve the problem. Also try setting a2 = 1 and again check
these solutions. What is the difference between the two solutions we can obtain in this way?
As you can see, other than the handling of conflicts, undetermined coefficients works exactly the
same as it did for single equations. However, the computations can get out of hand pretty quickly
for systems. The equation we had done was very simple.
3.9.2 First order variable coefficient
Just as for a single equation, there is the method of variation of parameters. In fact for constant
coefficient systems, this is essentially the same thing as the integrating factor method we discussed
earlier. However, this method will work for any linear system, even if it is not constant coefficient,
provided we can somehow solve the associated homogeneous problem.
Suppose we have the equation
x = A(t) x + f (t). (3.9)
Further, suppose that we have solved the associated homogeneous equation x = A(t) x and found
the fundamental matrix solution X(t). The general solution to the associated homogeneous equation
is X(t)c for a constant vector c. Just like for variation of parameters for single equation we try the
solution to the nonhomogeneous equation of the form
x p = X(t) u(t),
where u(t) is a vector valued function instead of a constant. Now we substitute into (3.9) to obtain
x p (t) = X (t) u(t) + X(t) u (t) = A(t) X(t) u(t) + f (t).
But X(t) is the fundamental matrix solution to the homogeneous problem, so X (t) = A(t)X(t), and
X (t) u(t) + X(t) u (t) = X (t) u(t) + f (t).
Hence X(t) u (t) = f (t). If we compute [X(t)]−1 , then u (t) = [X(t)]−1 f (t). We integrate to obtain u
and we have the particular solution x p = X(t) u(t). Let us write this as a formula
x p = X(t) [X(t)]−1 f (t) dt.
Note that if A is constant and we let X(t) = etA , then [X(t)]−1 = e−tA and hence we get a solution
x p = etA e−tA f (t) dt, which is precisely what we got using the integrating factor method.
Example 3.9.4: Find a particular solution to
1 t −1 t 2
x = x+ (t + 1). (3.10)
t2 +1 1 t 1](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-143-320.jpg)
![144 CHAPTER 3. SYSTEMS OF ODES
Here A = t21 1 −1 is most definitely not constant. Perhaps by a lucky guess, we find that
+1
t
t
X = 1 −t solves X (t) = A(t)X(t). Once we know the complementary solution we can easily find a
t 1
solution to (3.10). First we find
1 1 t
[X(t)]−1 = .
t2 + 1 −t 1
Next we know a particular solution to (3.10) is
x p = X(t) [X(t)]−1 f (t) dt
1 −t 1 1 t t 2
= (t + 1) dt
t 1 t2+ 1 −t 1 1
1 −t 2t
= dt
t 1 −t + 1
2
1 −t t2
=
t 1 − 1 t3 + t
3
1 4
t
= 3 .
3
t +
2 3
t
Adding the complementary solution we have that the general solution to (3.10).
1 −t c1 1 4
t c1 − c2 t + 3 t4
1
x= + 3 = .
t 1 c2 3
t +
2 3
t c2 + (c1 + 1) t + 2 t3
3
Exercise 3.9.3: Check that x1 = 1 t4 and x2 = 3 t3 + t really solve (3.10).
3
2
In the variation of parameters, just like in the integrating factor method we can obtain the general
solution by adding in constants of integration. That is, we will add X(t)c for a vector of arbitrary
constants. But that is precisely the complementary solution.
3.9.3 Second order constant coefficients
Undetermined coefficients
We have already seen a simple example of the method of undetermined coefficients for second order
systems in § 3.6. This method is essentially the same as undetermined coefficients for first order
systems. There are some simplifications that we can make, as we did in § 3.6. Let the equation be
x = Ax + F(t),
where A is a constant matrix. If F(t) is of the form F0 cos(ωt), then as two derivatives of cosine is
again cosine we can try a solution of the form
x p = c cos(ωt),](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-144-320.jpg)
![3.9. NONHOMOGENEOUS SYSTEMS 145
and we do not need to introduce sines.
If the F is a sum of cosines, note that we still have the superposition principle. If F(t) =
F0 cos(ω0 t) + F1 cos(ω1 t), then we would try a cos(ω0 t) for the problem x = Ax + F0 cos(ω0 t),
and we would try b cos(ω1 t) for the problem x = Ax + F0 cos(ω1 t). Then we sum the solutions.
However, if there is duplication with the complementary solution, or the equation is of the form
x = Ax + Bx + F(t), then we need to do the same thing as we do for first order systems.
You will never go wrong with putting in more terms than needed into your guess. You will find
that the extra coefficients will turn out to be zero. But it is useful to save some time and effort.
Eigenvector decomposition
If we have the system
x = Ax + F(t),
we can do eigenvector decomposition, just like for first order systems.
Let λ1 , . . . , λn be the eigenvalues and v1 , . . . , vn be eigenvectors. Again form the matrix
E = [ v1 · · · vn ]. We write
x(t) = v1 ξ1 (t) + v2 ξ2 (t) + · · · + vn ξn (t).
We decompose F in terms of the eigenvectors
F(t) = v1 g1 (t) + v2 g2 (t) + · · · + vn gn (t).
And again g = E −1 F.
Now we plug in and doing the same thing as before we obtain
x = v1 ξ1 + v2 ξ2 + · · · + vn ξn
= A v1 ξ1 + v2 ξ2 + · · · + vn ξn + v1 g1 + v2 g2 + · · · + vn gn
= Av1 ξ1 + Av2 ξ2 + · · · + Avn ξn + v1 g1 + v2 g2 + · · · + vn gn
= v1 λ1 ξ1 + v2 λ2 ξ2 + · · · + vn λn ξn + v1 g1 + v2 g2 + · · · + vn gn
= v1 (λ1 ξ1 + g1 ) + v2 (λ2 ξ2 + g2 ) + · · · + vn (λn ξn + gn ).
We identify the coefficients of the eigenvectors to get the equations
ξ1 = λ1 ξ1 + g1 ,
ξ2 = λ2 ξ2 + g2 ,
.
.
.
ξn = λn ξn + gn .
Each one of these equations is independent of the others. We solve each equation using the methods
of chapter 2. We write x(t) = v1 ξ1 (t) + · · · + vn ξn (t), and we are done; we have a particular solution.
If we have found the general solution for ξ1 through ξn , then again x(t) = v1 ξ1 (t) + · · · + vn ξn (t) is
the general solution (and not just a particular solution).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-145-320.jpg)
![Chapter 4
Fourier series and PDEs
4.1 Boundary value problems
Note: 2 lectures, similar to §3.8 in [EP], §10.1 and §11.1 in [BD]
4.1.1 Boundary value problems
Before we tackle the Fourier series, we need to study the so-called boundary value problems (or
endpoint problems). For example, suppose we have
x + λx = 0, x(a) = 0, x(b) = 0,
for some constant λ, where x(t) is defined for t in the interval [a, b]. Unlike before, when we
specified the value of the solution and its derivative at a single point, we now specify the value of
the solution at two different points. Note that x = 0 is a solution to this equation, so existence of
solutions is not an issue here. Uniqueness of solutions is another issue. The general solution to
x + λx = 0 has two arbitrary constants present. It is, therefore, natural (but wrong) to believe that
requiring two conditions guarantees a unique solution.
Example 4.1.1: Take λ = 1, a = 0, b = π. That is,
x + x = 0, x(0) = 0, x(π) = 0.
Then x = sin t is another solution (besides x = 0) satisfying both boundary conditions. There are
more. Write down the general solution of the differential equation, which is x = A cos t + B sin t.
The condition x(0) = 0 forces A = 0. Letting x(π) = 0 does not give us any more information as
x = B sin t already satisfies both boundary conditions. Hence, there are infinitely many solutions of
the form x = B sin t, where B is an arbitrary constant.
149](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-149-320.jpg)
![154 CHAPTER 4. FOURIER SERIES AND PDES
Similarly
π
cos(mt) cos(nt) dt = 0, when m n.
0
And finally we also get
π
sin(mt) sin(nt) dt = 0, when m n,
−π
π
cos(mt) cos(nt) dt = 0, when m n,
−π
and π
cos(mt) sin(nt) dt = 0.
−π
4.1.4 Fredholm alternative
We now touch on a very useful theorem in the theory of differential equations. The theorem holds
in a more general setting than we are going to state it, but for our purposes the following statement
is sufficient. We will give a slightly more general version in chapter 5.
Theorem 4.1.2 (Fredholm alternative∗ ). Exactly one of the following statements holds. Either
x + λx = 0, x(a) = 0, x(b) = 0 (4.4)
has a nonzero solution, or
x + λx = f (t), x(a) = 0, x(b) = 0 (4.5)
has a unique solution for every function f continuous on [a, b].
The theorem is also true for the other types of boundary conditions we considered. The theorem
means that if λ is not an eigenvalue, the nonhomogeneous equation (4.5) has a unique solution for
every right hand side. On the other hand if λ is an eigenvalue, then (4.5) need not have a solution
for every f , and furthermore, even if it happens to have a solution, the solution is not unique.
We also want to reinforce the idea here that linear differential operators have much in common
with matrices. So it is no surprise that there is a finite dimensional version of Fredholm alternative
for matrices as well. Let A be an n × n matrix. The Fredholm alternative then states that either
(A − λI)x = 0 has a nontrivial solution, or (A − λI)x = b has a solution for every b.
A lot of intuition from linear algebra can be applied to linear differential operators, but one
must be careful of course. For example, one difference we have already seen is that in general a
differential operator will have infinitely many eigenvalues, while a matrix has only finitely many.
∗
Named after the Swedish mathematician Erik Ivar Fredholm (1866 – 1927).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-154-320.jpg)
![4.2. THE TRIGONOMETRIC SERIES 157
4.2 The trigonometric series
Note: 2 lectures, §9.1 in [EP], §10.2 in [BD]
4.2.1 Periodic functions and motivation
As motivation for studying Fourier series, suppose we have the problem
x + ω2 x = f (t),
0 (4.6)
for some periodic function f (t). We have already solved
x + ω2 x = F0 cos(ωt).
0 (4.7)
One way to solve (4.6) is to decompose f (t) as a sum of cosines (and sines) and then solve many
problems of the form (4.7). We then use the principle of superposition, to sum up all the solutions
we got to get a solution to (4.6).
Before we proceed, let us talk a little bit more in detail about periodic functions. A function
is said to be periodic with period P if f (t) = f (t + P) for all t. For brevity we will say f (t) is
P-periodic. Note that a P-periodic function is also 2P-periodic, 3P-periodic and so on. For example,
cos(t) and sin(t) are 2π-periodic. So are cos(kt) and sin(kt) for all integers k. The constant functions
are an extreme example. They are periodic for any period (exercise).
Normally we will start with a function f (t) defined on some interval [−L, L] and we will want
to extend periodically to make it a 2L-periodic function. We do this extension by defining a new
function F(t) such that for t in [−L, L], F(t) = f (t). For t in [L, 3L], we define F(t) = f (t − 2L), for
t in [−3L, −L], F(t) = f (t + 2L), and so on. We assumed that f (−L) = f (L). We could have also
started with f defined only on the half-open interval (−L, L] and then define f (−L) = f (L).
Example 4.2.1: Define f (t) = 1 − t2 on [−1, 1]. Now extend periodically to a 2-periodic function.
See Figure 4.2 on the following page.
You should be careful to distinguish between f (t) and its extension. A common mistake is to
assume that a formula for f (t) holds for its extension. It can be confusing when the formula for f (t)
is periodic, but with perhaps a different period.
Exercise 4.2.1: Define f (t) = cos t on [−π/2, π/2]. Take the π-periodic extension and sketch its graph.
How does it compare to the graph of cos t?
4.2.2 Inner product and eigenvector decomposition
Suppose we have a symmetric matrix, that is AT = A. We have said before that the eigenvectors of
A are then orthogonal. Here the word orthogonal means that if v and w are two distinct (and not](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-157-320.jpg)
![160 CHAPTER 4. FOURIER SERIES AND PDES
Let us check the formulas using the orthogonality properties. Suppose for a moment that
∞
a0
f (t) = + an cos(nt) + bn sin(nt).
2 n=1
Then for m ≥ 1 we have
∞
a0
f (t) , cos(mt) = + an cos(nt) + bn sin(nt) , cos(mt)
2 n=1
∞
a0
= 1 , cos(mt) + an cos(nt) , cos(mt) + bn sin(nt) , cos(mt)
2 n=1
= am cos(mt) , cos(mt) .
f (t) , cos(mt)
And hence am = cos(mt) , cos(mt)
.
Exercise 4.2.2: Carry out the calculation for a0 and bm .
Example 4.2.3: Take the function
f (t) = t
for t in (−π, π]. Extend f (t) periodically and write it as a Fourier series. This function is called the
sawtooth.
-5.0 -2.5 0.0 2.5 5.0
3 3
2 2
1 1
0 0
-1 -1
-2 -2
-3 -3
-5.0 -2.5 0.0 2.5 5.0
Figure 4.3: The graph of the sawtooth function.
The plot of the extended periodic function is given in Figure 4.3. Let us compute the coefficients.
We start with a0 ,
1 π
a0 = t dt = 0.
π −π](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-160-320.jpg)
![164 CHAPTER 4. FOURIER SERIES AND PDES
is only an equality for such t where f (t) is continuous. That is, we do not get an equality for
t = −π, 0, π and all the other discontinuities of f (t). It is not hard to see that when t is an integer
multiple of π (which includes all the discontinuities), then
∞
π 2 π
+ sin (2k − 1) t = .
2 k=1
2k − 1 2
We redefine f (t) on [−π, π] as
0
if −π t 0,
f (t) = π if 0 t π,
/2
π
if t = −π, t = 0, or t = π,
and extend periodically. The series equals this extended f (t) everywhere, including the disconti-
nuities. We will generally not worry about changing the function values at several (finitely many)
points.
We will say more about convergence in the next section. Let us however mention briefly an
effect of the discontinuity. Let us zoom in near the discontinuity in the square wave. Further, let
us plot the first 100 harmonics, see Figure 4.7. You will notice that while the series is a very good
approximation away from the discontinuities, the error (the overshoot) near the discontinuity at
t = π does not seem to be getting any smaller. This behavior is known as the Gibbs phenomenon.
The region where the error is large does get smaller, however, the more terms in the series we take.
1.75 2.00 2.25 2.50 2.75 3.00 3.25
3.50 3.50
3.25 3.25
3.00 3.00
2.75 2.75
1.75 2.00 2.25 2.50 2.75 3.00 3.25
Figure 4.7: Gibbs phenomenon in action.
We can think of a periodic function as a “signal” being a superposition of many signals of pure
frequency. For example, we could think of the square wave as a tone of certain base frequency. It
will be, in fact, a superposition of many different pure tones of frequencies that are multiples of the](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-164-320.jpg)
![4.2. THE TRIGONOMETRIC SERIES 165
base frequency. On the other hand a simple sine wave is only the pure tone. The simplest way to
make sound using a computer is the square wave, and the sound will be a very different from nice
pure tones. If you have played video games from the 1980s or so, then you have heard what square
waves sound like.
4.2.4 Exercises
Exercise 4.2.3: Suppose f (t) is defined on [−π, π] as sin(5t) + cos(3t). Extend periodically and
compute the Fourier series of f (t).
Exercise 4.2.4: Suppose f (t) is defined on [−π, π] as |t|. Extend periodically and compute the
Fourier series of f (t).
Exercise 4.2.5: Suppose f (t) is defined on [−π, π] as |t|3 . Extend periodically and compute the
Fourier series of f (t).
Exercise 4.2.6: Suppose f (t) is defined on (−π, π] as
−1 if −π t ≤ 0,
f (t) =
1
if 0 t ≤ π.
Extend periodically and compute the Fourier series of f (t).
Exercise 4.2.7: Suppose f (t) is defined on (−π, π] as t3 . Extend periodically and compute the
Fourier series of f (t).
Exercise 4.2.8: Suppose f (t) is defined on [−π, π] as t2 . Extend periodically and compute the
Fourier series of f (t).
There is another form of the Fourier series using complex exponentials that is sometimes easier
to work with.
Exercise 4.2.9: Let ∞
a0
f (t) = + an cos(nt) + bn sin(nt).
2 n=1
Use Euler’s formula eiθ = cos(θ) + i sin(θ) to show that there exist complex numbers cm such that
∞
f (t) = cm eimt .
m=−∞
Note that the sum now ranges over all the integers including negative ones. Do not worry about
convergence in this calculation. Hint: It may be better to start from the complex exponential form
and write the series as ∞
c0 + cm eimt + c−m e−imt .
m=1](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-165-320.jpg)
![166 CHAPTER 4. FOURIER SERIES AND PDES
Exercise 4.2.101: Suppose f (t) is defined on [−π, π] as f (t) = sin(t). Extend periodically and
compute the Fourier series.
Exercise 4.2.102: Suppose f (t) is defined on (−π, π] as f (t) = sin(πt). Extend periodically and
compute the Fourier series.
Exercise 4.2.103: Suppose f (t) is defined on (−π, π] as f (t) = sin2 (t). Extend periodically and
compute the Fourier series.
Exercise 4.2.104: Suppose f (t) is defined on (−π, π] as f (t) = t4 . Extend periodically and compute
the Fourier series.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-166-320.jpg)
![4.3. MORE ON THE FOURIER SERIES 167
4.3 More on the Fourier series
Note: 2 lectures, §9.2 – §9.3 in [EP], §10.3 in [BD]
Before reading the lecture, it may be good to first try Project IV (Fourier series) from the
IODE website: http://www.math.uiuc.edu/iode/. After reading the lecture it may be good to
continue with Project V (Fourier series again).
4.3.1 2L-periodic functions
We have computed the Fourier series for a 2π-periodic function, but what about functions of different
periods. Well, fear not, the computation is a simple case of change of variables. We can just rescale
the independent axis. Suppose that you have the 2L-periodic function f (t) (L is called the half
π
period). Let s = L t. Then the function
L
g(s) = f s
π
is 2π-periodic. We want to also rescale all our sines and cosines. We want to write
∞
a0 nπ nπ
f (t) = + an cos t + bn sin t .
2 n=1
L L
If we change variables to s we see that
∞
a0
g(s) = + an cos(ns) + bn sin(ns).
2 n=1
We can compute an and bn as before. After we write down the integrals we change variables from s
back to t.
1 π 1 L
a0 = g(s) ds = f (t) dt,
π −π L −L
1 π 1 L nπ
an = g(s) cos(ns) ds = f (t) cos t dt,
π −π L −L L
1 π 1 L nπ
bn = g(s) sin(ns) ds = f (t) sin t dt.
π −π L −L L
The two most common half periods that show up in examples are π and 1 because of the
simplicity. We should stress that we have done no new mathematics, we have only changed
variables. If you understand the Fourier series for 2π-periodic functions, you understand it for 2L-
periodic functions. All that we are doing is moving some constants around, but all the mathematics
is the same.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-167-320.jpg)
![170 CHAPTER 4. FOURIER SERIES AND PDES
we have f (0−) = 0 and f (0+) = π.
Let f (t) be a function defined on an interval [a, b]. Suppose that we find finitely many points
a = t0 , t1 , t2 , . . . , tk = b in the interval, such that f (t) is continuous on the intervals (t0 , t1 ), (t1 , t2 ),
. . . , (tk−1 , tk ). Also suppose that all the one sided limits exist, that is, all of f (t0 +), f (t1 −), f (t1 +),
f (t2 −), f (t2 +), . . . , f (tk −) exist and are finite. Then we say f (t) is piecewise continuous.
If moreover, f (t) is differentiable at all but finitely many points, and f (t) is piecewise continuous,
then f (t) is said to be piecewise smooth.
Example 4.3.2: The square wave function (4.8) is piecewise smooth on [−π, π] or any other interval.
In such a case we simply say that the function is piecewise smooth.
Example 4.3.3: The function f (t) = |t| is piecewise smooth.
Example 4.3.4: The function f (t) = 1 is not piecewise smooth on [−1, 1] (or any other interval
t
containing zero). In fact, it is not even piecewise continuous.
√
Example 4.3.5: The function f (t) = 3 t is not piecewise smooth on [−1, 1] (or any other interval
containing zero). f (t) is continuous, but the derivative of f (t) is unbounded near zero and hence not
piecewise continuous.
Piecewise smooth functions have an easy answer on the convergence of the Fourier series.
Theorem 4.3.1. Suppose f (t) is a 2L-periodic piecewise smooth function. Let
∞
a0 nπ nπ
+ an cos t + bn sin t
2 n=1
L L
be the Fourier series for f (t). Then the series converges for all t. If f (t) is continuous near t, then
∞
a0 nπ nπ
f (t) = + an cos t + bn sin t .
2 n=1
L L
Otherwise ∞
f (t−) + f (t+) a0 nπ nπ
= + an cos t + bn sin t .
2 2 n=1
L L
If we happen to have that f (t) = f (t−)+ f (t+) at all the discontinuities, the Fourier series converges
2
to f (t) everywhere. We can always just redefine f (t) by changing the value at each discontinuity
appropriately. Then we can write an equals sign between f (t) and the series without any worry. We
mentioned this fact briefly at the end last section.
Note that the theorem does not say how fast the series converges. Think back to the discussion
of the Gibbs phenomenon in the last section. The closer you get to the discontinuity, the more terms
you need to take to get an accurate approximation to the function.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-170-320.jpg)
![176 CHAPTER 4. FOURIER SERIES AND PDES
4.4 Sine and cosine series
Note: 2 lectures, §9.3 in [EP], §10.4 in [BD]
4.4.1 Odd and even periodic functions
You may have noticed by now that an odd function has no cosine terms in the Fourier series and an
even function has no sine terms in the Fourier series. This observation is not a coincidence. Let us
look at even and odd periodic function in more detail.
Recall that a function f (t) is odd if f (−t) = − f (t). A function f (t) is even if f (−t) = f (t). For
example, cos(nt) is even and sin(nt) is odd. Similarly the function tk is even if k is even and odd
when k is odd.
Exercise 4.4.1: Take two functions f (t) and g(t) and define their product h(t) = f (t)g(t). a) Suppose
both are odd, is h(t) odd or even? b) Suppose one is even and one is odd, is h(t) odd or even? c)
Suppose both are even, is h(t) odd or even?
If f (t) and g(t) are both odd, then f (t) + g(t) is odd. Similarly for even functions. On the other
hand, if f (t) is odd and g(t) even, then we cannot say anything about the sum f (t) + g(t). In fact, the
Fourier series of any function is a sum of an odd (the sine terms) and an even (the cosine terms)
function.
In this section we consider odd and even periodic functions. We have previously defined the 2L-
periodic extension of a function defined on the interval [−L, L]. Sometimes we are only interested
in the function on the range [0, L] and it would be convenient to have an odd (resp. even) function.
If the function is odd (resp. even), all the cosine (resp. sine) terms will disappear. What we will do
is take the odd (resp. even) extension of the function to [−L, L] and then extend periodically to a
2L-periodic function.
Take a function f (t) defined on [0, L]. On (−L, L] define the functions
def f (t)
if 0 ≤ t ≤ L,
Fodd (t) =
− f (−t) if −L t 0,
def f (t)
if 0 ≤ t ≤ L,
Feven (t) =
f (−t) if −L t 0.
Extend Fodd (t) and Feven (t) to be 2L-periodic. Then Fodd (t) is called the odd periodic extension of
f (t), and Feven (t) is called the even periodic extension of f (t).
Exercise 4.4.2: Check that Fodd (t) is odd and that Feven (t) is even.
Example 4.4.1: Take the function f (t) = t (1 − t) defined on [0, 1]. Figure 4.11 on the facing page
shows the plots of the odd and even extensions of f (t).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-176-320.jpg)
![4.4. SINE AND COSINE SERIES 177
-2 -1 0 1 2 -2 -1 0 1 2
0.3 0.3 0.3 0.3
0.2 0.2 0.2 0.2
0.0 0.0 0.0 0.0
0.0 0.0 0.0 0.0
-0.1 -0.1 -0.1 -0.1
-0.2 -0.2 -0.2 -0.2
-0.3 -0.3 -0.3 -0.3
-2 -1 0 1 2 -2 -1 0 1 2
Figure 4.11: Odd and even 2-periodic extension of f (t) = t (1 − t), 0 ≤ t ≤ 1.
4.4.2 Sine and cosine series
Let f (t) be an odd 2L-periodic function. We write the Fourier series for f (t). First, we compute the
coefficients an (including n = 0) and get
L
1 nπ
an = f (t) cos t dt = 0.
L −L L
That is, there are no cosine terms in the Fourier series of an odd function. The integral is zero
because f (t) cos (nπL t) is an odd function (product of an odd and an even function is odd) and
the integral of an odd function over a symmetric interval is always zero. The integral of an even
function over a symmetric interval [−L, L] is twice the integral of the function over the interval
[0, L]. The function f (t) sin nπ t is the product of two odd functions and hence is even.
L
L L
1 nπ 2 nπ
bn = f (t) sin t dt = f (t) sin t dt.
L −L L L 0 L
We now write the Fourier series of f (t) as
∞
nπ
bn sin t .
n=1
L
Similarly, if f (t) is an even 2L-periodic function. For the same exact reasons as above, we find
that bn = 0 and
2 L nπ
an = f (t) cos t dt.
L 0 L](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-177-320.jpg)
![178 CHAPTER 4. FOURIER SERIES AND PDES
The formula still works for n = 0, in which case it becomes
L
2
a0 = f (t) dt.
L 0
The Fourier series is then ∞
a0 nπ
+ an cos t .
2 n=1
L
An interesting consequence is that the coefficients of the Fourier series of an odd (or even)
function can be computed by just integrating over the half interval [0, L]. Therefore, we can compute
the Fourier series of the odd (or even) extension of a function by computing certain integrals over
the interval where the original function is defined.
Theorem 4.4.1. Let f (t) be a piecewise smooth function defined on [0, L]. Then the odd extension
of f (t) has the Fourier series
∞
nπ
Fodd (t) = bn sin t ,
n=1
L
where
L
2 nπ
bn = f (t) sin t dt.
L 0 L
The even extension of f (t) has the Fourier series
∞
a0 nπ
Feven (t) = + an cos t ,
2 n=1
L
where
L
2 nπ
an = f (t) cos t dt.
L 0 L
The series ∞ bn sin nπ t is called the sine series of f (t) and the series a20 + ∞ an cos nπ t
n=1 L n=1 L
is called the cosine series of f (t). We often do not actually care what happens outside of [0, L]. In
this case, we pick whichever series fits our problem better.
It is not necessary to start with the full Fourier series to obtain the sine and cosine series. The
sine series is really the eigenfunction expansion of f (t) using the eigenfunctions of the eigenvalue
problem x + λx = 0, x(0) = 0, x(L) = L. The cosine series is the eigenfunction expansion of f (t)
using the eigenfunctions of the eigenvalue problem x + λx = 0, x (0) = 0, x (L) = L. We could
have, therefore, gotten the same formulas by defining the inner product
L
f (t), g(t) = f (t)g(t) dt,
0](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-178-320.jpg)
![184 CHAPTER 4. FOURIER SERIES AND PDES
4.5 Applications of Fourier series
Note: 2 lectures, §9.4 in [EP], not in [BD]
4.5.1 Periodically forced oscillation
k Let us return to the forced oscillations. Consider a mass-spring
F(t)
m system as before, where we have a mass m on a spring with spring
constant k, with damping c, and a force F(t) applied to the mass.
Suppose the forcing function F(t) is 2L-periodic for some L 0.
damping c We have already seen this problem in chapter 2 with a simple F(t).
The equation that governs this particular setup is
mx (t) + cx (t) + kx(t) = F(t). (4.9)
The general solution consists of the complementary solution xc , which solves the associated
homogeneous equation mx + cx + kx = 0, and a particular solution of (4.9) we call x p . For c 0,
the complementary solution xc will decay as time goes by. Therefore, we are mostly interested in a
particular solution x p that does not decay and is periodic with the same period as F(t). We call this
particular solution the steady periodic solution and we write it as x sp as before. What will be new in
this section is that we consider an arbitrary forcing function F(t) instead of a simple cosine.
For simplicity, let us suppose that c = 0. The problem with c 0 is very similar. The equation
mx + kx = 0
has the general solution
x(t) = A cos(ω0 t) + B sin(ω0 t),
where ω0 = m . Any solution to mx (t) + kx(t) = F(t) is of the form A cos(ω0 t) + B sin(ω0 t) + x sp .
k
The steady periodic solution x sp has the same period as F(t).
In the spirit of the last section and the idea of undetermined coefficients we first write
∞
c0 nπ nπ
F(t) = + cn cos t + dn sin t .
2 n=1
L L
Then we write a proposed steady periodic solution x as
∞
a0 nπ nπ
x(t) = + an cos t + bn sin t ,
2 n=1
L L
where an and bn are unknowns. We plug x into the differential equation and solve for an and bn in
terms of cn and dn . This process is perhaps best understood by example.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-184-320.jpg)
![190 CHAPTER 4. FOURIER SERIES AND PDES
4.6 PDEs, separation of variables, and the heat equation
Note: 2 lectures, §9.5 in [EP], §10.5 in [BD]
Let us recall that a partial differential equation or PDE is an equation containing the partial
derivatives with respect to several independent variables. Solving PDEs will be our main application
of Fourier series.
A PDE is said to be linear if the dependent variable and its derivatives appear at most to the
first power and in no functions. We will only talk about linear PDEs. Together with a PDE, we
usually have specified some boundary conditions, where the value of the solution or its derivatives
is specified along the boundary of a region, and/or some initial conditions where the value of the
solution or its derivatives is specified for some initial time. Sometimes such conditions are mixed
together and we will refer to them simply as side conditions.
We will study three specific partial differential equations, each one representing a more general
class of equations. First, we will study the heat equation, which is an example of a parabolic PDE.
Next, we will study the wave equation, which is an example of a hyperbolic PDE. Finally, we will
study the Laplace equation, which is an example of an elliptic PDE. Each of our examples will
illustrate behavior that is typical for the whole class.
4.6.1 Heat on an insulated wire
Let us first study the heat equation. Suppose that we have a wire (or a thin metal rod) of length L
that is insulated except at the endpoints. Let x denote the position along the wire and let t denote
time. See Figure 4.13.
temperature u
0 L x
insulation
Figure 4.13: Insulated wire.
Let u(x, t) denote the temperature at point x at time t. The equation governing this setup is the
so-called one-dimensional heat equation:
∂u ∂2 u
= k 2,
∂t ∂x
where k 0 is a constant (the thermal conductivity of the material). That is, the change in heat at a
specific point is proportional to the second derivative of the heat along the wire. This makes sense;](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-190-320.jpg)
![4.7. ONE DIMENSIONAL WAVE EQUATION 201
4.7 One dimensional wave equation
Note: 1 lecture, §9.6 in [EP], §10.7 in [BD]
Imagine we have a tensioned guitar string of length L. Suppose we only consider vibrations in
one direction. That is, let x denote the position along the string, let t denote time, and let y denote
the displacement of the string from the rest position. See Figure 4.18.
y
y
0 L x
Figure 4.18: Vibrating string.
The equation that governs this setup is the so-called one-dimensional wave equation:
ytt = a2 y xx ,
for some constant a 0. Assume that the ends of the string are fixed in place:
y(0, t) = 0 and y(L, t) = 0.
Note that we have two conditions along the x axis as there are two derivatives in the x direction.
There are also two derivatives along the t direction and hence we need two further conditions
here. We need to know the initial position and the initial velocity of the string. That is,
y(x, 0) = f (x) and yt (x, 0) = g(x),
for some known functions f (x) and g(x).
As the equation is again linear, superposition works just as it did for the heat equation. And
again we will use separation of variables to find enough building-block solutions to get the overall
solution. There is one change however. It will be easier to solve two separate problems and add
their solutions.
The two problems we will solve are
wtt = a2 w xx ,
w(0, t) = w(L, t) = 0,
(4.10)
w(x, 0) = 0 for 0 x L,
wt (x, 0) = g(x) for 0 x L.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-201-320.jpg)
![208 CHAPTER 4. FOURIER SERIES AND PDES
4.8 D’Alembert solution of the wave equation
Note: 1 lecture, different from §9.6 in [EP], part of §10.7 in [BD]
We have solved the wave equation by using Fourier series. But it is often more convenient to
use the so-called d’Alembert solution to the wave equation∗ . This solution can be derived using
Fourier series as well, but it is really an awkward use of those concepts. It is much easier to derive
this solution by making a correct change of variables to get an equation that can be solved by simple
integration.
Suppose we have the wave equation
ytt = a2 y xx . (4.14)
And we wish to solve the equation (4.14) given the conditions
y(0, t) = y(L, t) = 0 for all t,
y(x, 0) = f (x) 0 x L, (4.15)
yt (x, 0) = g(x) 0 x L.
4.8.1 Change of variables
We will transform the equation into a simpler form where it can be solved by simple integration.
We change variables to ξ = x − at, η = x + at and we use the chain rule:
∂ ∂ξ ∂ ∂η ∂ ∂ ∂
= + = + ,
∂x ∂x ∂ξ ∂x ∂η ∂ξ ∂η
∂ ∂ξ ∂ ∂η ∂ ∂ ∂
= + = −a + a .
∂t ∂t ∂ξ ∂t ∂η ∂ξ ∂η
We compute
∂2 y ∂ ∂ ∂y ∂y ∂2 y ∂2 y ∂2 y
y xx = = + + = 2 +2 + 2,
∂x2 ∂ξ ∂η ∂ξ ∂η ∂ξ ∂ξ∂η ∂η
∂y
2
∂ ∂ ∂y ∂y ∂2 y ∂2 y ∂2 y
ytt = 2 = −a + a −a + a = a2 2 − 2a2 + a2 2 .
∂t ∂ξ ∂η ∂ξ ∂η ∂ξ ∂ξ∂η ∂η
∂2 y ∂2 y
In the above computations, we have used the fact from calculus that ∂ξ∂η
= ∂η∂ξ
. Then we plug into
the wave equation,
∂2 y
0 = a2 y xx − ytt = 4a2 = 4a2 yξη .
∂ξ∂η
∗
Named after the French mathematician Jean le Rond d’Alembert (1717 – 1783).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-208-320.jpg)
![214 CHAPTER 4. FOURIER SERIES AND PDES
4.9 Steady state temperature and the Laplacian
Note: 1 lecture, §9.7 in [EP], §10.8 in [BD]
Suppose we have an insulated wire, a plate, or a 3-dimensional object. We apply certain fixed
temperatures on the ends of the wire, the edges of the plate or on all sides of the 3-dimensional
object. We wish to find out what is the steady state temperature distribution. That is, we wish to
know what will be the temperature after long enough period of time.
We are really looking for a solution to the heat equation that is not dependent on time. Let us
first do this in one space variable. We are looking for a function u that satisfies
ut = ku xx ,
but such that ut = 0 for all x and t. Hence, we are looking for a function of x alone that satisfies
u xx = 0. It is easy to solve this equation by integration and we see that u = Ax + B for some
constants A and B.
Suppose we have an insulated wire, and we apply constant temperature T 1 at one end (say where
x = 0) and T 2 on the other end (at x = L where L is the length of the wire). Then our steady state
solution is
T2 − T1
u(x) = x + T1.
L
This solution agrees with our common sense intuition with how the heat should be distributed in the
wire. So in one dimension, the steady state solutions are basically just straight lines.
Things are more complicated in two or more space dimensions. Let us restrict to two space
dimensions for simplicity. The heat equation in two variables is
ut = k(u xx + uyy ), (4.18)
∂
2 ∂ 2
or more commonly written as ut = k∆u or ut = k 2 u. Here the ∆ and 2 symbols mean ∂x2 + ∂y2 .
We will use ∆ from now on. The reason for using such a notation is that you can define ∆ to be the
right thing for any number of space dimensions and then the heat equation is always ut = k∆u. The
operator ∆ is called the Laplacian.
OK, now that we have notation out of the way, let us see what does an equation for the steady
state solution look like. We are looking for a solution to (4.18) that does not depend on t. Hence we
are looking for a function u(x, y) such that
∆u = u xx + uyy = 0.
This equation is called the Laplace equation∗ . Solutions to the Laplace equation are called harmonic
functions and have many nice properties and applications far beyond the steady state heat problem.
Harmonic functions in two variables are no longer just linear (plane graphs). For example,
you can check that the functions x2 − y2 and xy are harmonic. However, if you remember your
∗
Named after the French mathematician Pierre-Simon, marquis de Laplace (1749 – 1827).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-214-320.jpg)
![220 CHAPTER 4. FOURIER SERIES AND PDES
4.10 Dirichlet problem in the circle and the Poisson kernel
Note: 2 lectures, , §9.7 in [EP], §10.8 in [BD]
4.10.1 Laplace in polar coordinates
A more natural setting for the Laplace equation ∆u = 0 is the circle rather than the square. On the
other hand, what makes the problem somewhat more difficult is that we need polar coordinates.
Recall that the polar coordinates for the (x, y)-plane are (r, θ) where
(r, θ)
x = r cos θ, y = r sin θ, r
θ
where r ≥ 0 and −π θ ≤ π.
Now that we know our coordinates, let us give the problem we wish to
solve. We have a circular region of radius 1, and we are interested in the
Dirichlet problem for the Laplace equation for this region. Let u(r, θ) denote the temperature at the
point (r, θ) in polar coordinates. We have the problem:
∆u = 0, for r 1, u(1, θ) = g(θ)
(4.25)
u(1, θ) = g(θ), for −π θ ≤ π.
The first issue we face is that we do not know what the
Laplacian is in polar coordinates. Normally we would find ∆u = 0
u xx and uyy in terms of the derivatives in r and θ. We would
need to solve for r and θ in terms of x and y. While this
is certainly possible. It happens to be more convenient to
do this in reverse. Let us instead compute derivatives in r radius 1
and θ in terms of derivatives in x and y and then solve. The
computations are easier this way. First
xr = cos θ, xθ = −r sin θ, yr = sin θ, yθ = r cos θ.
Next by chain rule we obtain
ur = u x xr + uy yr = cos(θ)u x + sin(θ)uy ,
urr = cos(θ)(u xx xr + u xy yr ) + sin(θ)(uyx xr + uyy yr ) = cos2 (θ)u xx + 2 cos(θ) sin(θ)u xy + sin2 (θ)uyy .
Similarly for the θ derivative. Note that we have to use product rule for the second derivative.
uθ = u x xθ + uy yθ = −r sin(θ)u x + r cos(θ)uy ,
uθθ = −r cos(θ)u x − r sin(θ)(u xx xθ + u xy yθ ) − r sin(θ)uy + r cos(θ)(uyx xθ + uyy yθ )
= −r cos(θ)u x − r sin(θ)uy + r2 sin2 (θ)u xx − r2 2 sin(θ) cos(θ)u xy + r2 cos2 (θ)uyy .](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-220-320.jpg)
![4.10. DIRICHLET PROBLEM IN THE CIRCLE AND THE POISSON KERNEL 227
Let us not leave the Poisson kernel without explaining its geometric meaning. Let s be the
distance from (r, θ) to (1, α). You may recall from calculus that this distance s in polar coordinates
is given precisely by the square root of 1 − 2r cos(θ − α) + r2 . That is, the Poisson kernel is really
the formula
1 − r2
.
s2
One final note we make about the formula is to note that it
(1, α) s
is really a weighted average of the boundary values. First let us
(r, θ)
look at what happens at the origin, that is when r = 0.
π 1
1 1 − 02 r
u(0, 0) = g(α) dα
2π −π 1 − 2(0) cos(θ − α) + 02
π
1
= g(α) dα.
2π −π
This is precisely the average value of g(θ) and therefore the
average value of u on the boundary. This is a general feature
of harmonic functions, the value at some point p is equal to the
average of the values on a circle centered at p.
What the formula says is that the value of the solution at any point in the circle is a weighted
average of the boundary data g(θ). The kernel is bigger when (r, θ) is closer to (1, α), and therefore
we give more weight to the values g(α) closer to (r, θ) and less weight to the values g(α) when (1, α)
far from (r, θ).
4.10.4 Exercises
Exercise 4.10.2: Using series solve ∆u = 0, u(1, θ) = |θ|, for −π θ ≤ π.
Exercise 4.10.3: Using series solve ∆u = 0, u(1, θ) = g(θ) for the following data. Hint: trig
identities.
a) g(θ) = 1/2 + 3 sin(θ) + cos(3θ) b) g(θ) = 3 cos(3θ) + 3 sin(3θ) + sin(9θ)
c) g(θ) = 2 cos(θ + 1) d) g(θ) = sin2 (θ)
Exercise 4.10.4: Using the Poisson kernel, give the solution to ∆u = 0, where u(1, θ) is zero for θ
outside the interval [−π/4, π/4] and u(1, θ) is 1 for θ on the interval [−π/4, π/4].
Exercise 4.10.5: a) Draw a graph for the Poisson kernel as a function of α when r = 1/2 and θ = 0.
b) Describe what happens to the graph when you make r bigger (as it approaches 1). c) Knowing
that the solution u(r, θ) is the weighted average of g(θ) with Poisson kernel as the weight, explain
what your answer to part b means.
Exercise 4.10.6: Take the function g(θ) to be the function xy = cos θ sin θ on the boundary. Use the
series solution to find a solution to the Dirichlet problem ∆u = 0, u(1, θ) = g(θ). Now convert the
solution to Cartesian coordinates x and y. Is this solution surprising? Hint: use your trig identities.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-227-320.jpg)
![Chapter 5
Eigenvalue problems
5.1 Sturm-Liouville problems
Note: 2 lectures, §10.1 in [EP], §11.2 in [BD]
5.1.1 Boundary value problems
We have encountered several different eigenvalue problems such as:
X (x) + λX(x) = 0
with different boundary conditions
X(0) = 0 X(L) = 0 (Dirichlet) or,
X (0) = 0 X (L) = 0 (Neumann) or,
X (0) = 0 X(L) = 0 (Mixed) or,
X(0) = 0 X (L) = 0 (Mixed), . . .
For example for the insulated wire, Dirichlet conditions correspond to applying a zero temperature
at the ends, Neumann means insulating the ends, etc. . . . Other types of endpoint conditions also
arise naturally, such as the Robin boundary conditions
hX(0) − X (0) = 0 hX(L) + X (L) = 0,
for some constant h. These conditions come up when the ends are immersed in some medium.
Boundary problems came up, for example, in the study of the heat equation ut = ku xx when we
were trying to solve the equation by the method of separation of variables. In the computation we
encountered a certain eigenvalue problem and found the eigenfunctions Xn (x). We then found the
eigenfunction decomposition of the initial temperature f (x) = u(x, 0) in terms of the eigenfunctions
∞
f (x) = cn Xn (x).
n=1
229](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-229-320.jpg)
![230 CHAPTER 5. EIGENVALUE PROBLEMS
Once we had this decomposition and once we found suitable T n (t) such that T n (0) = 1, we noted
that a solution to the original problem could be written as
∞
u(x, t) = cn T n (t)Xn (x).
n=1
We will try to solve more general problems using this method. First, we will study second order
linear equations of the form
d dy
p(x) − q(x)y + λr(x)y = 0. (5.1)
dx dx
Essentially any second order linear equation of the form a(x)y + b(x)y + c(x)y + λd(x)y = 0 can
be written as (5.1) after multiplying by a proper factor.
Example 5.1.1 (Bessel): Put the following equation into the form (5.1):
x2 y + xy + λx2 − n2 y = 0.
1
Multiply both sides by x
to obtain
1 2 n2 d dy n2
x y + xy + λx − n y = xy + y + λx −
2 2
y= x − y + λxy = 0.
x x dx dx x
We can state the general Sturm-Liouville problem∗ . We seek nontrivial solutions to
d dy
p(x) − q(x)y + λr(x)y = 0, a x b,
dx dx
(5.2)
α1 y(a) − α2 y (a) = 0,
β1 y(b) + β2 y (b) = 0.
In particular, we seek λs that allow for nontrivial solutions. The λs for which there are non-
trivial solutions are called the eigenvalues and the corresponding nontrivial solutions are called
eigenfunctions. The constants α1 and α2 should not be both zero, same for β1 and β2 .
Theorem 5.1.1. Suppose p(x), p (x), q(x) and r(x) are continuous on [a, b] and suppose p(x) 0
and r(x) 0 for all x in [a, b]. Then the Sturm-Liouville problem (5.2) has an increasing sequence
of eigenvalues
λ1 λ2 λ3 · · ·
such that
lim λn = +∞
n→∞
and such that to each λn there is (up to a constant multiple) a single eigenfunction yn (x).
Moreover, if q(x) ≥ 0 and α1 , α2 , β1 , β2 ≥ 0, then λn ≥ 0 for all n.
∗
Named after the French mathematicians Jacques Charles François Sturm (1803 – 1855) and Joseph Liouville
(1809 – 1882).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-230-320.jpg)
![232 CHAPTER 5. EIGENVALUE PROBLEMS
or
h √
√ = tan λ.
λ
Now use a computer to find λn . There are tables available, though using a computer or a graphing
calculator will probably be far more convenient nowadays. Easiest method is to plot the functions
h/x and tan x and see for which x they intersect. There will be an infinite number of intersections. So
√ √
denote by λ1 the first intersection, by λ2 the second intersection, etc. . . . For example, when
h = 1, we get that λ1 ≈ 0.86, and λ2 ≈ 3.43. A plot for h = 1 is given in Figure 5.1. The appropriate
√
eigenfunction (let A = 1 for convenience, then B = h/ λ) is
h
yn (x) = cos( λn x) + √ sin( λn x).
λn
0 2 4 6
4 4
2 2
0 0
-2 -2
-4 -4
0 2 4 6
1
Figure 5.1: Plot of x
and tan x.
5.1.2 Orthogonality
We have seen the notion of orthogonality before. For example, we have shown that sin(nx) are
orthogonal for distinct n on [0, π]. For general Sturm-Liouville problems we will need a more
general setup. Let r(x) be a weight function (any function, though generally we will assume it
is positive) on [a, b]. Then two functions f (x), g(x) are said to be orthogonal with respect to the
weight function r(x) when
b
f (x) g(x) r(x) dx = 0.
a](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-232-320.jpg)
![5.1. STURM-LIOUVILLE PROBLEMS 233
In this setting, we define the inner product as
b
def
f, g = f (x) g(x) r(x) dx,
a
and then say f and g are orthogonal whenever f, g = 0. The results and concepts are again
analogous to finite dimensional linear algebra.
The idea of the given inner product is that those x where r(x) is greater have more weight.
Nontrivial (nonconstant) r(x) arise naturally, for example from a change of variables. Hence, you
could think of a change of variables such that dξ = r(x) dx.
We have the following orthogonality property of eigenfunctions of a regular Sturm-Liouville
problem.
Theorem 5.1.2. Suppose we have a regular Sturm-Liouville problem
d dy
p(x) − q(x)y + λr(x)y = 0,
dx dx
α1 y(a) − α2 y (a) = 0,
β1 y(b) + β2 y (b) = 0.
Let y j and yk be two distinct eigenfunctions for two distinct eigenvalues λ j and λk . Then
b
y j (x) yk (x) r(x) dx = 0,
a
that is, y j and yk are orthogonal with respect to the weight function r.
Proof is very similar to the analogous theorem from § 4.1. It can also be found in many books
including, for example, Edwards and Penney [EP].
5.1.3 Fredholm alternative
We also have the Fredholm alternative theorem we talked about before for all regular Sturm-
Liouville problems. We state it here for completeness.
Theorem 5.1.3 (Fredholm alternative). Suppose that we have a regular Sturm-Liouville problem.
Then either
d dy
p(x) − q(x)y + λr(x)y = 0,
dx dx
α1 y(a) − α2 y (a) = 0,
β1 y(b) + β2 y (b) = 0,](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-233-320.jpg)
![234 CHAPTER 5. EIGENVALUE PROBLEMS
has a nonzero solution, or
d dy
p(x) − q(x)y + λr(x)y = f (x),
dx dx
α1 y(a) − α2 y (a) = 0,
β1 y(b) + β2 y (b) = 0,
has a unique solution for any f (x) continuous on [a, b].
This theorem is used in much the same way as we did before in § 4.4. It is used when solving
more general nonhomogeneous boundary value problems. The theorem does not help us solve
the problem, but it tells us when a unique solution exists, so that we know when to spend time
looking it. To solve the problem we decompose f (x) and y(x) in terms of the eigenfunctions of the
homogeneous problem, and then solve for the coefficients of the series for y(x).
5.1.4 Eigenfunction series
What we want to do with the eigenfunctions once we have them is to compute the eigenfunction
decomposition of an arbitrary function f (x). That is, we wish to write
∞
f (x) = cn yn (x), (5.3)
n=1
where yn (x) the eigenfunctions. We wish to find out if we can represent any function f (x) in this way,
and if so, we wish to calculate cn (and of course we would want to know if the sum converges). OK,
so imagine we could write f (x) as (5.3). We will assume convergence and the ability to integrate
the series term by term. Because of orthogonality we have
b
f, ym = f (x) ym (x) r(x) dx
a
∞ b
= cn yn (x) ym (x) r(x) dx
n=1 a
b
= cm ym (x) ym (x) r(x) dx = cm ym , ym .
a
Hence,
b
f, ym f (x) ym (x) r(x) dx
cm = = a
. (5.4)
ym , ym b 2
ym (x) r(x) dx
a
Note that ym are known up to a constant multiple, so we could have picked a scalar multiple of an
eigenfunction such that ym , ym = 1 (if we had an arbitrary eigenfunction ym , divide it by ym , ym ).
˜ ˜ ˜](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-234-320.jpg)
![5.1. STURM-LIOUVILLE PROBLEMS 235
In the case that ym , ym = 1 we would have the simpler form cm = f, ym as we essentially did for
the Fourier series. The following theorem holds more generally, but the statement given is enough
for our purposes.
Theorem 5.1.4. Suppose f is a piecewise smooth continuous function on [a, b]. If y1 , y2 , . . . are the
eigenfunctions of a regular Sturm-Liouville problem, then there exist real constants c1 , c2 , . . . given
by (5.4) such that (5.3) converges and holds for a x b.
Example 5.1.4: Take the simple Sturm-Liouville problem
π
y + λy = 0, 0x ,
2
π
y(0) = 0, = 0. y
2
The above is a regular problem and furthermore we actually know by Theorem 5.1.1 on page 230
that λ ≥ 0.
Suppose λ = 0, then the general solution is y(x) = Ax + B, we plug in the initial conditions
to get 0 = y(0) = B, and 0 = y ( π ) = A, hence λ = 0 is not an eigenvalue. The general solution,
2
therefore, is √ √
y(x) = A cos( λ x) + B sin( λ x).
√ √
Plugging in the boundary conditions we get 0 = y(0) = A and 0 = y π = λ B cos λ π . B
√ √ 2 2
cannot be zero and hence cos λ π = 0. This means that λ π must be an odd integral multiple of
π
√ 2 2
2
, i.e. (2n − 1) π = λn π . Hence
2 2
λn = (2n − 1)2 .
We can take B = 1. And hence our eigenfunctions are
yn (x) = sin (2n − 1)x .
We finally compute
π
2 π 2
sin (2n − 1)x . dx =
0 4
So any piecewise smooth function on [0, π ] can be written as
2
∞
f (x) = cn sin (2n − 1)x ,
n=1
where π
2 π
f, yn f (x) sin (2n − 1)x dx 4 2
cn = = 0
= f (x) sin (2n − 1)x dx.
yn , yn π
2
2
sin (2n − 1)x dx π 0
0
Note that the series converges to an odd 2π-periodic (not π-periodic!) extension of f (x).
Exercise 5.1.3 (challenging): In the above example, the function is defined on 0 x π , yet the
2
series converges to an odd 2π-periodic extension of f (x). Find out how is the extension defined for
π
2
x π.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-235-320.jpg)
![236 CHAPTER 5. EIGENVALUE PROBLEMS
5.1.5 Exercises
Exercise 5.1.4: Find eigenvalues and eigenfunctions of
y + λy = 0, y(0) − y (0) = 0, y(1) = 0.
Exercise 5.1.5: Expand the function f (x) = x on 0 ≤ x ≤ 1 using the eigenfunctions of the system
y + λy = 0, y (0) = 0, y(1) = 0.
Exercise 5.1.6: Suppose that you had a Sturm-Liouville problem on the interval [0, 1] and came up
with yn (x) = sin(γnx), where γ 0 is some constant. Decompose f (x) = x, 0 x 1 in terms of
these eigenfunctions.
Exercise 5.1.7: Find eigenvalues and eigenfunctions of
y(4) + λy = 0, y(0) = 0, y (0) = 0, y(1) = 0, y (1) = 0.
This problem is not a Sturm-Liouville problem, but the idea is the same.
Exercise 5.1.8 (more challenging): Find eigenvalues and eigenfunctions for
d x
(e y ) + λe x y = 0, y(0) = 0, y(1) = 0.
dx
Hint: First write the system as a constant coefficient system to find general solutions. Do note that
Theorem 5.1.1 on page 230 guarantees λ ≥ 0.
Exercise 5.1.101: Find eigenvalues and eigenfunctions of
y + λy = 0, y(−1) = 0, y(1) = 0.
Exercise 5.1.102: Put the following problems into the standard form for Sturm-Liouville problems,
that is, find p(x), q(x), r(x), α1 , α2 , β1 , and β2 , and decide if the problems are regular or not.
a) xy + λy = 0 for 0 x 1, y(0) = 0, y(1) = 0,
b) (1 + x2 )y − 2xy + (λ − x2 )y = 0 for −1 x 1, y(−1) = 0, y(1) + y (1) = 0.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-236-320.jpg)
![5.2. APPLICATION OF EIGENFUNCTION SERIES 237
5.2 Application of eigenfunction series
Note: 1 lecture, §10.2 in [EP], exercises in §11.2 in [BD]
The eigenfunction series can arise even from higher order equations. Suppose we have an elastic
beam (say made of steel). We will study the transversal vibrations of the beam. That is, assume the
beam lies along the x axis and let y(x, t) measure the displacement of the point x on the beam at
time t. See Figure 5.2.
y
y
x
Figure 5.2: Transversal vibrations of a beam.
The equation that governs this setup is
∂4 y ∂2 y
a4 + = 0,
∂x4 ∂t2
for some constant a 0.
Suppose the beam is of length 1 simply supported (hinged) at the ends. The beam is displaced
by some function f (x) at time t = 0 and then let go (initial velocity is 0). Then y satisfies:
a4 y xxxx + ytt = 0 (0 x 1, t 0),
y(0, t) = y xx (0, t) = 0,
(5.5)
y(1, t) = y xx (1, t) = 0,
y(x, 0) = f (x), yt (x, 0) = 0.
Again we try y(x, t) = X(x)T (t) and plug in to get a4 X (4) T + XT = 0 or
X (4) −T
= 4 = λ.
X aT
We note that we want T + λa4 T = 0. Let us assume that λ 0. We can argue that we expect
vibration and not exponential growth nor decay in the t direction (there is no friction in our model
for instance). Similarly λ = 0 will not occur.
Exercise 5.2.1: Try to justify λ 0 just from the equations.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-237-320.jpg)
![5.3. STEADY PERIODIC SOLUTIONS 241
5.3 Steady periodic solutions
Note: 1–2 lectures, §10.3 in [EP], not in [BD]
5.3.1 Forced vibrating string.
Suppose that we have a guitar string of length L. We have studied the wave equation problem in this
case, where x was the position on the string, t was time and y was the displacement of the string.
See Figure 5.3.
y
y
0 L x
Figure 5.3: Vibrating string.
The problem is governed by the equations
ytt = a2 y xx ,
y(0, t) = 0, y(L, t) = 0, (5.6)
y(x, 0) = f (x), yt (x, 0) = g(x).
We saw previously that the solution is of the form
∞
nπa nπa nπ
y= An cos t + Bn sin t sin x
n=1
L L L
where An and Bn were determined by the initial conditions. The natural frequencies of the system
are the (circular) frequencies nπa for integers n ≥ 1.
L
But these are free vibrations. What if there is an external force acting on the string. Let us
assume say air vibrations (noise), for example a second string. Or perhaps a jet engine. For
simplicity, assume nice pure sound and assume the force is uniform at every position on the string.
Let us say F(t) = F0 cos(ωt) as force per unit mass. Then our wave equation becomes (remember
force is mass times acceleration)
ytt = a2 y xx + F0 cos(ωt), (5.7)
with the same boundary conditions of course.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-241-320.jpg)
![Chapter 6
The Laplace transform
6.1 The Laplace transform
Note: 1.5 – 2 lectures, §10.1 in [EP], §6.1 and parts of §6.2 in [BD]
6.1.1 The transform
In this chapter we will discuss the Laplace transform∗ . The Laplace transform turns out to be a very
efficient method to solve certain ODE problems. In particular, the transform can take a differential
equation and turn it into an algebraic equation. If the algebraic equation can be solved, applying
the inverse transform gives us our desired solution. The Laplace transform also has applications in
the analysis of electrical circuits, NMR spectroscopy, signal processing, and elsewhere. Finally,
understanding the Laplace transform will also help with understanding the related Fourier transform,
which, however, requires more understanding of complex numbers. We will not cover the Fourier
transform.
The Laplace transform also gives a lot of insight into the nature of the equations we are dealing
with. It can be seen as converting between the time and the frequency domain. For example, take
the standard equation
mx (t) + cx (t) + kx(t) = f (t).
We can think of t as time and f (t) as incoming signal. The Laplace transform will convert the
equation from a differential equation in time to an algebraic (no derivatives) equation, where the
new independent variable s is the frequency.
We can think of the Laplace transform as a black box. It eats functions and spits out functions
in a new variable. We write L{ f (t)} = F(s) for the Laplace transform of f (t). It is common to
write lower case letters for functions in the time domain and upper case letters for functions in the
∗
Just like the Laplace equation and the Laplacian, the Laplace transform is also named after Pierre-Simon, marquis
de Laplace (1749 – 1827).
249](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-249-320.jpg)
![256 CHAPTER 6. THE LAPLACE TRANSFORM
6.2 Transforms of derivatives and ODEs
Note: 2 lectures, §7.2 –7.3 in [EP], §6.2 and §6.3 in [BD]
6.2.1 Transforms of derivatives
Let us see how the Laplace transform is used for differential equations. First let us try to find
the Laplace transform of a function that is a derivative. That is, suppose g(t) is a continuous
differentiable function of exponential order. Then
∞ ∞
∞
L {g (t)} = e−st g (t) dt = e−st g(t) − (−s) e−st g(t) dt = −g(0) + sL{g(t)}.
t=0
0 0
We repeat this procedure for higher derivatives. The results are listed in Table 6.2. The procedure
also works for piecewise smooth functions, that is functions that are piecewise continuous with a
piecewise continuous derivative. The fact that the function is of exponential order is used to show
that the limits appearing above exist. We will not worry much about this fact.
f (t) L{ f (t)} = F(s)
g (t) sG(s) − g(0)
g (t) s2G(s) − sg(0) − g (0)
g (t) s3G(s) − s2 g(0) − sg (0) − g (0)
Table 6.2: Laplace transforms of derivatives (G(s) = L{g(t)} as usual).
Exercise 6.2.1: Verify Table 6.2.
6.2.2 Solving ODEs with the Laplace transform
Notice that the Laplace transform turns differentiation into multiplication by s. Let us see how to
apply this fact to differential equations.
Example 6.2.1: Take the equation
x (t) + x(t) = cos(2t), x(0) = 0, x (0) = 1.
We will take the Laplace transform of both sides. By X(s) we will, as usual, denote the Laplace
transform of x(t).
L{x (t) + x(t)} = L{cos(2t)},
s
s2 X(s) − sx(0) − x (0) + X(s) = 2 .
s +4](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-256-320.jpg)
![258 CHAPTER 6. THE LAPLACE TRANSFORM
-1.0 -0.5 0.0 0.5 1.0
1.00 1.00
0.75 0.75
0.50 0.50
0.25 0.25
0.00 0.00
-1.0 -0.5 0.0 0.5 1.0
Figure 6.1: Plot of the Heaviside (unit step) function u(t).
Using the Heaviside function, f (t) can be written as
f (t) = u(t − π) sin t.
Similarly the step function that is 1 on the interval [1, 2) and zero everywhere else can be written as
u(t − 1) − u(t − 2).
The Heaviside function is useful to define functions defined piecewise. If you want to define f (t j
such that f (t) = t when t is in [0, 1], f (t) = −t + 2 when t is in [1, 2] and f (t) = 0 otherwise, you
can use the expression
f (t) = t u(t) − u(t − 1) + (−t + 2) u(t − 1) − u(t − 2) .
Hence it is useful to know how the Heaviside function interacts with the Laplace transform. We
have already seen that
e−as
L{u(t − a)} = .
s
This can be generalized into a shifting property or second shifting property.
L{ f (t − a) u(t − a)} = e−as L{ f (t)}. (6.1)
Example 6.2.2: Suppose that the forcing function is not periodic. For example, suppose that we
had a mass-spring system
x (t) + x(t) = f (t), x(0) = 0, x (0) = 0,
where f (t) = 1 if 1 ≤ t 5 and zero otherwise. We could imagine a mass-spring system, where a
rocket is fired for 4 seconds starting at t = 1. Or perhaps an RLC circuit, where the voltage is raised
at a constant rate for 4 seconds starting at t = 1, and then held steady again starting at t = 5.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-258-320.jpg)
![6.2. TRANSFORMS OF DERIVATIVES AND ODES 261
6.2.5 Transforms of integrals
A feature of Laplace transforms is that it is also able to easily deal with integral equations. That is,
equations in which integrals rather than derivatives of functions appear. The basic property, which
can be proved by applying the definition and doing integration by parts, is
t
1
L f (τ) dτ = F(s).
0 s
It is sometimes useful (e.g. for computing the inverse transform) to write this as
t
1
f (τ) dτ = L−1 F(s) .
0 s
1
Example 6.2.4: To compute L−1 s(s2 +1)
we could proceed by applying this integration rule.
t t
1 1 1
L−1 = L−1 dτ = sin τ dτ = 1 − cos t.
s s2 + 1 0 s 2+1
0
Example 6.2.5: An equation containing an integral of the unknown function is called an integral
equation. For example, take
t
t2 = eτ x(τ) dτ,
0
where we wish to solve for x(t). We apply the Laplace transform and the shifting property to get
2 1 1
3
= L{et x(t)} = X(s − 1),
s s s
where X(s) = L{x(t)}. Thus
2 2
X(s − 1) = or X(s) = .
s2 (s + 1)2
We use the shifting property again
x(t) = 2e−t t.
6.2.6 Exercises
Exercise 6.2.2: Using the Heaviside function write down the piecewise function that is 0 for t 0,
t2 for t in [0, 1] and t for t 1.
Exercise 6.2.3: Using the Laplace transform solve
mx + cx + kx = 0, x(0) = a, x (0) = b,
where m 0, c 0, k 0, and c2 − 4km 0 (system is overdamped).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-261-320.jpg)
![264 CHAPTER 6. THE LAPLACE TRANSFORM
6.3 Convolution
Note: 1 or 1.5 lectures, §7.2 in [EP], §6.6 in [BD]
6.3.1 The convolution
We said that the Laplace transformation of a product is not the product of the transforms. All hope
is not lost however. We simply have to use a different type of a “product.” Take two functions f (t)
and g(t) defined for t ≥ 0, and define the convolution∗ of f (t) and g(t) as
t
def
( f ∗ g)(t) = f (τ)g(t − τ) dτ. (6.2)
0
As you can see, the convolution of two functions of t is another function of t.
Example 6.3.1: Take f (t) = et and g(t) = t for t ≥ 0. Then
t
( f ∗ g)(t) = eτ (t − τ) dτ = et − t − 1.
0
To solve the integral we did one integration by parts.
Example 6.3.2: Take f (t) = sin(ωt) and g(t) = cos(ωt) for t ≥ 0. Then
t
( f ∗ g)(t) = sin(ωτ) cos ω(t − τ) dτ.
0
We apply the identity
1
cos(θ) sin(ψ) = sin(θ + ψ) − sin(θ − ψ) .
2
Hence,
t
1
( f ∗ g)(t) =
sin(ωt) − sin(ωt − 2ωτ) dτ
0 2
t
1 1
= τ sin(ωt) + cos(2ωτ − ωt)
2 4ω τ=0
1
= t sin(ωt).
2
The formula holds only for t ≥ 0. We assumed that f and g are zero (or simply not defined) for
negative t.
∞
∗
For those that have seen convolution defined before, you may have seen it defined as ( f ∗ g)(t) = −∞ f (τ)g(t − τ) dτ.
This definition agrees with (6.2) if you define f (t) and g(t) to be zero for t 0. When discussing the Laplace transform
the definition we gave is sufficient. Convolution does occur in many other applications, however, where you may have
to use the more general definition with infinities.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-264-320.jpg)
![6.4. DIRAC DELTA AND IMPULSE RESPONSE 269
6.4 Dirac delta and impulse response
Note: 1 or 1.5 lecture, §7.6 in [EP], §6.5 in [BD]
6.4.1 Rectangular pulse
Often in applications we study a physical system by putting in a short pulse and then seeing what
the system does. The resulting behaviour is often called impulse response. Let us see what we mean
by a pulse. The simplest kind of a pulse is a simple rectangular pulse defined by
0 if t a,
ϕ(t) = M if a ≤ t b,
0 if b ≤ t.
See Figure 6.3 for a graph. Notice that
ϕ(t) = M u(t − a) − u(t − b) ,
where u(t) is the unit step function.
0.0 0.5 1.0 1.5 2.0 2.5 3.0
2.0 2.0
1.5 1.5
1.0 1.0
0.5 0.5
0.0 0.0
0.0 0.5 1.0 1.5 2.0 2.5 3.0
Figure 6.3: Sample square pulse with a = 0.5, b = 1 and M = 2.
Let us take the Laplace transform of a square pulse,
e−as − e−bs
L {ϕ(t)} = L M u(t − a) − u(t − b) = M .
s
For simplicity we let a = 0, and it is convenient to set M = 1/b to have
∞
ϕ(t) dt = 1.
0](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-269-320.jpg)
![270 CHAPTER 6. THE LAPLACE TRANSFORM
That is, to have the pulse have “unit mass.” For such a pulse we compute
u(t) − u(t − b) 1 − e−bs
L {ϕ(t)} = L = .
b bs
We generally want b to be very small. That is, we wish to have the pulse be very short and very tall.
By letting b go to zero we arrive at the concept of the Dirac delta function.
6.4.2 The delta function
The Dirac delta function∗ is not exactly a function; it is sometimes called a generalized function. We
avoid unnecessary details and simply say that it is an object that does not really make sense unless
we integrate it. The motivation is that we would like a “function” δ(t) such that for any continuous
function f (t) we have
∞
δ(t) f (t) dt = f (0).
−∞
The formula should hold if we integrate over any interval that contains 0, not just (−∞, ∞). So δ(t)
is a “function” with all its “mass” at the single point t = 0. In other words, for any interval [c, d]
d 1 if the interval [c, d] contains 0, i.e. c ≤ 0 ≤ d,
δ(t) dt =
0 otherwise.
c
Unfortunately there is no such function in the classical sense. You could informally think that δ(t)
is zero for t 0 and somehow infinite at t = 0.
A good way to think about δ(t) is as a limit of short pulses whose integral is 1. For example,
suppose that we have a square pulse ϕ(t) as above with a = 0, M = 1/b, that is ϕ(t) = u(t)−u(t−b) .
b
Compute
∞ ∞
u(t) − u(t − b) 1 b
ϕ(t) f (t) dt = f (t) dt = f (t) dt.
−∞ −∞ b b 0
If f (t) is continuous at t = 0, then for very small b, the function f (t) is approximately equal to f (0)
on the interval [0, b]. We approximate the integral
b b
1 1
f (t) dt ≈ f (0) dt = f (0).
b 0 b 0
Therefore,
∞ b
1
lim ϕ(t) f (t) dt = lim f (t) dt = f (0).
b→0 −∞ b→0 b 0
∗
Named after the English physicist and mathematician Paul Adrien Maurice Dirac (1902–1984).](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-270-320.jpg)
![272 CHAPTER 6. THE LAPLACE TRANSFORM
6.4.3 Impulse response
As we said before, in the differential equation Lx = f (t), we think of f (t) as input, and x(t) as the
output. Often it is important to find the response to an impulse, and then we use the delta function
in place of f (t). The solution to
Lx = δ(t)
is called the impulse response.
Example 6.4.2: Solve (find the impulse response)
x + ω2 x = δ(t),
0 x(0) = 0, x (0) = 0. (6.3)
We first apply the Laplace transform to the equation. Denote the transform of x(t) by X(s).
1
s2 X(s) + ω2 X(s) = 1, and so X(s) = 2 .
0
s + ω2 0
Taking the inverse Laplace transform we obtain
sin(ω0 t)
x(t) = .
ω0
Let us notice something about the above example. We have proved before that when the input
was f (t), then the solution to Lx = f (t) was given by
sin ω0 (t − τ)
t
x(t) = f (τ) dτ.
0 ω0
Notice that the solution for an arbitrary input is given as convolution with the impulse response. Let
us see why. The key is to notice that for functions x(t) and f (t),
t t
d2
(x ∗ f ) (t) = f (τ)x(t − τ) dτ = f (τ)x (t − τ) dτ = (x ∗ f )(t).
dt2 0 0
We simply differentiate twice under the integral∗ , the details are left as an exercise. And so if we
convolve the entire equation (6.3), the left hand side becomes
(x + ω2 x) ∗ f = (x ∗ f ) + ω2 (x ∗ f ) = (x ∗ f ) + ω2 (x ∗ f ).
0 0 0
The right hand side becomes
(δ ∗ f )(t) = f (t).
Therefore y(t) = (x ∗ f )(t) is the solution to
y + ω0 y = f (t).
2
This procedure works in general for other linear equations Lx = f (t). If you determine the impulse
response, you also know how to obtain the output x(t) for any input f (t) by simply convolving the
impulse response and the input f (t).
∗
You should really think of the integral going over (−∞, ∞) rather than over [0, t] and simply assume that f (t) and
x(t) are continuous and zero for negative t.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-272-320.jpg)
![Chapter 7
Power series methods
7.1 Power series
Note: 1 or 1.5 lecture , §8.1 in [EP], §5.1 in [BD]
Many functions can be written in terms of a power series
∞
ak (x − x0 )k .
k=0
If we assume that a solution of a differential equation is written as a power series, then perhaps we
can use a method reminiscent of undetermined coefficients. That is, we will try to solve for the
numbers ak . Before we can carry out this process, let us review some results and concepts about
power series.
7.1.1 Definition
As we said, a power series is an expression such as
∞
ak (x − x0 )k = a0 + a1 (x − x0 ) + a2 (x − x0 )2 + a3 (x − x0 )3 + · · · , (7.1)
k=0
where a0 , a1 , a2 , . . . , ak , . . . and x0 are constants. Let
n
S n (x) = ak (x − x0 )k = a0 + a1 (x − x0 ) + a2 (x − x0 )2 + a3 (x − x0 )3 + · · · + an (x − x0 )n ,
k=0
denote the so-called partial sum. If for some x, the limit
n
lim S n (x) = lim ak (x − x0 )k
n→∞ n→∞
k=0
277](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-277-320.jpg)
![7.1. POWER SERIES 281
For example, sine is an analytic function and its Taylor series around x0 = 0 is given by
∞
(−1)n 2n+1
sin(x) = x .
n=0
(2n + 1)!
In Figure 7.2 on the facing page we plot sin(x) and the truncations of the series up to degree 5 and 9.
You can see that the approximation is very good for x near 0, but gets worse for x further away from
0. This is what happens in general. To get a good approximation far away from x0 you need to take
more and more terms of the Taylor series.
7.1.4 Manipulating power series
One of the main properties of power series that we will use is that we can differentiate them term by
term. That is, suppose that ak (x − x0 )k is a convergent power series. Then for x in the radius of
convergence we have ∞ ∞
d
a (x − x )k = kak (x − x0 )k−1 .
k 0
dx k=0
k=1
Notice that the term corresponding to k = 0 disappeared as it was constant. The radius of conver-
gence of the differentiated series is the same as that of the original.
Example 7.1.4: Let us show that the exponential y = e x solves y = y. First write
∞
1 k
y = ex = x.
k=0
k!
Now differentiate ∞ ∞
1 1
y = k xk−1 = xk−1 .
k=1
k! k=1
(k − 1)!
We reindex the series by simply replacing k with k + 1. The series does not change, what changes is
simply how we write it. After reindexing the series starts at k = 0 again.
∞ ∞ ∞
1 1 1 k
xk−1 = x(k+1)−1 = x.
k=1
(k − 1)! k+1=1
(k + 1) − 1 ! k=0
k!
That was precisely the power series for e x that we started with, so we showed that d
dx
[e x ] = ex .
Convergent power series can be added and multiplied together, and multiplied by constants
using the following rules. First, we can add series by adding term by term,
∞ ∞ ∞
a (x − x )k + b (x − x )k =
(ak + bk )(x − x0 )k .
k 0 k 0
k=0 k=0 k=0](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-281-320.jpg)
![7.2. SERIES SOLUTIONS OF LINEAR SECOND ORDER ODES 285
7.2 Series solutions of linear second order ODEs
Note: 1 or 1.5 lecture , §8.2 in [EP], §5.2 and §5.3 in [BD]
Suppose we have a linear second order homogeneous ODE of the form
p(x)y + q(x)y + r(x)y = 0.
Suppose that p(x), q(x), and r(x) are polynomials. We will try a solution of the form
∞
y= ak (x − x0 )k
k=0
and solve for the ak to try to obtain a solution defined in some interval around x0 .
The point x0 is called an ordinary point if p(x0 ) 0. That is, the functions
q(x) r(x)
and
p(x) p(x)
are defined for x near x0 . If p(x0 ) = 0, then we say x0 is a singular point. Handling singular points
is harder than ordinary points and so we now focus only on ordinary points.
Example 7.2.1: Let us start with a very simple example
y − y = 0.
Let us try a power series solution near x0 = 0, which is an ordinary point. Every point is an ordinary
point in fact, as the equation is constant coefficient. We already know we should obtain exponentials
or the hyperbolic sine and cosine, but let us pretend we do not know this.
We try
∞
y= ak xk .
k=0
If we differentiate, the k = 0 term is a constant and hence disappears. We therefore get
∞
y = kak xk−1 .
k=1
We differentiate yet again to obtain (now the k = 1 term disappears)
∞
y = k(k − 1)ak xk−2 .
k=2](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-285-320.jpg)
![292 CHAPTER 7. POWER SERIES METHODS
7.3 Singular points and the method of Frobenius
Note: 1 or 1.5 lectures , §8.4 and §8.5 in [EP], §5.4 – §5.7 in [BD]
While behaviour of ODEs at singular points is more complicated, certain singular points are not
especially difficult to solve. Let us look at some examples before giving a general method. We may
be lucky and obtain a power series solution using the method of the previous section, but in general
we may have to try other things.
7.3.1 Examples
Example 7.3.1: Let us first look at a simple first order equation
2xy − y = 0.
Note that x = 0 is a singular point. If we only try to plug in
∞
y= ak xk ,
k=0
we obtain
∞ ∞
0 = 2xy − y = 2x kak x k−1
− ak x k
k=1 k=0
∞
= a0 + (2kak − ak ) xk .
k=1
First, a0 = 0. Next, the only way to solve 0 = 2kak − ak = (2k − 1) ak for k = 1, 2, 3, . . . is for ak = 0
for all k. Therefore we only get the trivial solution y = 0. We need a nonzero solution to get the
general solution.
Let us try y = xr for some real number r. Consequently our solution—if we can find one—may
only make sense for positive x. Then y = rxr−1 . So
0 = 2xy − y = 2xrxr−1 − xr = (2r − 1)xr .
Therefore r = 1/2, or in other words y = x1/2 . Multiplying by a constant, the general solution for
positive x is
y = Cx1/2 .
Note that the solution is not even differentiable at x = 0. The derivative necessarily must “blow up”
at the origin, so much is clear from the differential equation itself.](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-292-320.jpg)
![Further Reading
[BM] Paul W. Berg and James L. McGregor, Elementary Partial Differential Equations, Holden-
Day, San Francisco, CA, 1966.
[BD] William E. Boyce, Richard C. DiPrima, Elementary Differential Equations and Boundary
Value Problems, 9th edition, John Wiley Sons Inc., New York, NY, 2008.
[EP] C.H. Edwards and D.E. Penney, Differential Equations and Boundary Value Problems:
Computing and Modeling, 4th edition, Prentice Hall, 2008.
[F] Stanley J. Farlow, An Introduction to Differential Equations and Their Applications, McGraw-
Hill, Inc., Princeton, NJ, 1994. (Published also by Dover Publications, 2006.)
[I] E.L. Ince, Ordinary Differential Equations, Dover Publications, Inc., New York, NY, 1956.
301](https://image.slidesharecdn.com/diffyqs-130108101013-phpapp02/85/Differential-Equations-for-Engineers-301-320.jpg)
Differential Equations for Engineers
- 1. Notes on Diffy Qs Differential Equations for Engineers by Jiˇ í Lebl r December 17, 2012
- 2. 2 A Typeset in LTEX. Copyright c 2008–2012 Jiˇí Lebl r This work is licensed under the Creative Commons Attribution-Noncommercial-Share Alike 3.0 United States License. To view a copy of this license, visit http://creativecommons.org/ licenses/by-nc-sa/3.0/us/ or send a letter to Creative Commons, 171 Second Street, Suite 300, San Francisco, California, 94105, USA. You can use, print, duplicate, share these notes as much as you want. You can base your own notes on these and reuse parts if you keep the license the same. If you plan to use these commercially (sell them for more than just duplicating cost), then you need to contact me and we will work something out. If you are printing a course pack for your students, then it is fine if the duplication service is charging a fee for printing and selling the printed copy. I consider that duplicating cost. During the writing of these notes, the author was in part supported by NSF grant DMS-0900885. See http://www.jirka.org/diffyqs/ for more information (including contact information).
- 3. Contents Introduction 5 0.1 Notes about these notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 0.2 Introduction to differential equations . . . . . . . . . . . . . . . . . . . . . . . . . 7 1 First order ODEs 13 1.1 Integrals as solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 1.2 Slope fields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 1.3 Separable equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 1.4 Linear equations and the integrating factor . . . . . . . . . . . . . . . . . . . . . . 27 1.5 Substitution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 1.6 Autonomous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 1.7 Numerical methods: Euler’s method . . . . . . . . . . . . . . . . . . . . . . . . . 42 2 Higher order linear ODEs 47 2.1 Second order linear ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 2.2 Constant coefficient second order linear ODEs . . . . . . . . . . . . . . . . . . . . 51 2.3 Higher order linear ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 2.4 Mechanical vibrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 2.5 Nonhomogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70 2.6 Forced oscillations and resonance . . . . . . . . . . . . . . . . . . . . . . . . . . 77 3 Systems of ODEs 85 3.1 Introduction to systems of ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . 85 3.2 Matrices and linear systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90 3.3 Linear systems of ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 3.4 Eigenvalue method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103 3.5 Two dimensional systems and their vector fields . . . . . . . . . . . . . . . . . . . 110 3.6 Second order systems and applications . . . . . . . . . . . . . . . . . . . . . . . . 115 3.7 Multiple eigenvalues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124 3.8 Matrix exponentials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129 3.9 Nonhomogeneous systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136 3
- 4. 4 CONTENTS 4 Fourier series and PDEs 149 4.1 Boundary value problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149 4.2 The trigonometric series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157 4.3 More on the Fourier series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 4.4 Sine and cosine series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176 4.5 Applications of Fourier series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184 4.6 PDEs, separation of variables, and the heat equation . . . . . . . . . . . . . . . . . 190 4.7 One dimensional wave equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 201 4.8 D’Alembert solution of the wave equation . . . . . . . . . . . . . . . . . . . . . . 208 4.9 Steady state temperature and the Laplacian . . . . . . . . . . . . . . . . . . . . . . 214 4.10 Dirichlet problem in the circle and the Poisson kernel . . . . . . . . . . . . . . . . 220 5 Eigenvalue problems 229 5.1 Sturm-Liouville problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229 5.2 Application of eigenfunction series . . . . . . . . . . . . . . . . . . . . . . . . . . 237 5.3 Steady periodic solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241 6 The Laplace transform 249 6.1 The Laplace transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249 6.2 Transforms of derivatives and ODEs . . . . . . . . . . . . . . . . . . . . . . . . . 256 6.3 Convolution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264 6.4 Dirac delta and impulse response . . . . . . . . . . . . . . . . . . . . . . . . . . . 269 7 Power series methods 277 7.1 Power series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277 7.2 Series solutions of linear second order ODEs . . . . . . . . . . . . . . . . . . . . 285 7.3 Singular points and the method of Frobenius . . . . . . . . . . . . . . . . . . . . . 292 Further Reading 301 Solutions to Selected Exercises 303 Index 311
- 5. Introduction 0.1 Notes about these notes This book originated from my class notes for teaching Math 286, differential equations, at the University of Illinois at Urbana-Champaign in fall 2008 and spring 2009. It is a first course on differential equations for engineers. I have also taught Math 285 at UIUC and Math 20D at UCSD using this book. The standard book for the UIUC course is Edwards and Penney, Differential Equations and Boundary Value Problems: Computing and Modeling [EP], fourth edition. Some examples and applications are taken more or less from this book, though they also appear in many other sources, of course. Among other books I have used as sources of information and inspiration are E.L. Ince’s classic (and inexpensive) Ordinary Differential Equations [I], Stanley Farlow’s Differential Equations and Their Applications [F], which is now available from Dover, Berg and McGregor’s Elementary Partial Differential Equations [BM], and Boyce and DiPrima’s Elementary Differential Equations and Boundary Value Problems [BD]. See the Further Reading chapter at the end of the book. I taught the UIUC courses with the IODE software (http://www.math.uiuc.edu/iode/). IODE is a free software package that is used either with Matlab (proprietary) or Octave (free software). Projects and labs from the IODE website are referenced throughout the notes. They need not be used for this course, but I recommend using them. The graphs in the notes were made with the Genius software (see http://www.jirka.org/genius.html). I have used Genius in class to show these (and other) graphs. This book is available from http://www.jirka.org/diffyqs/. Check there for any possible A updates or errata. The LTEX source is also available from the same site for possible modification and customization. I would like to acknowledge Rick Laugesen. I have used his handwritten class notes the first time I taught Math 286. My organization of this book, and the choice of material covered, is heavily influenced by his class notes. Many examples and computations are taken from his notes. I am also heavily indebted to Rick for all the advice he has given me, not just on teaching Math 286. For spotting errors and other suggestions, I would also like to acknowledge (in no particular order): John P. D’Angelo, Sean Raleigh, Jessica Robinson, Michael Angelini, Leonardo Gomes, Jeff Winegar, Ian Simon, Thomas Wicklund, Eliot Brenner, Sean Robinson, Jannett Susberry, Dana Al-Quadi, Cesar Alvarez, Cem Bagdatlioglu, Nathan Wong, Alison Shive, Shawn White, Wing Yip Ho, Joanne 5
- 6. 6 INTRODUCTION Shin, Gladys Cruz, Jonathan Gomez, Janelle Louie, Navid Froutan, Grace Victorine, Paul Pearson, Jared Teague, Ziad Adwan, Martin Weilandt, Sönmez Sahuto˘ lu, Pete Peterson, Thomas Gresham, ¸ g Prentiss Hyde, Jai Welch, and probably others I have forgotten. Finally I would like to acknowledge NSF grant DMS-0900885. The organization of this book to some degree requires that they be done in order. Later chapters can be dropped. The dependence of the material covered is roughly given in the following diagram: Introduction Chapter 1 Chapter 2 v ( + Chapter 3 Chapter 6 Chapter 7 ( Chapter 4 Chapter 5 There are some references in chapters 4 and 5 to material from chapter 3 (some linear algebra), but these references are not absolutely essential and can be skimmed over, so chapter 3 can safely be dropped, while still covering chapters 4 and 5. The textbook was originally done for two types of courses. Either at 4 hours a week for a semester (Math 286 at UIUC): Introduction, chapter 1, chapter 2, chapter 3, chapter 4 (w/o § 4.10), chapter 5 (or 6 or 7). Or a shorter version (Math 285 at UIUC) of the course at 3 hours a week for a semester: Introduction, chapter 1, chapter 2, chapter 4 (w/o § 4.10), (and maybe chapter 5, 6, or 7). The complete book can be covered in approximately 65 lectures, that of course depends on the lecturers speed and does not account for exams, review, or time spent in computer lab (if for example using IODE). Therefore, a two quarter course can easily be run with the material, and if one goes a bit slower than I do, then even a two semester course. The chapter on Laplace transform (chapter 6), the chapter on Sturm-Liouville (chapter 5), and the chapter on power series (chapter 7) are more or less interchangeable time-wise. If time is short the first two sections of the chapter on power series (chapter 7) make a reasonable self-contained unit.
- 7. 0.2. INTRODUCTION TO DIFFERENTIAL EQUATIONS 7 0.2 Introduction to differential equations Note: more than 1 lecture, §1.1 in [EP], chapter 1 in [BD] 0.2.1 Differential equations The laws of physics are generally written down as differential equations. Therefore, all of science and engineering use differential equations to some degree. Understanding differential equations is essential to understanding almost anything you will study in your science and engineering classes. You can think of mathematics as the language of science, and differential equations are one of the most important parts of this language as far as science and engineering are concerned. As an analogy, suppose that all your classes from now on were given in Swahili. Then it would be important to first learn Swahili, otherwise you will have a very tough time getting a good grade in your other classes. You have already seen many differential equations without perhaps knowing about it. And you have even solved simple differential equations when you were taking calculus. Let us see an example you may not have seen: dx + x = 2 cos t. (1) dt Here x is the dependent variable and t is the independent variable. Equation (1) is a basic example of a differential equation. In fact it is an example of a first order differential equation, since it involves only the first derivative of the dependent variable. This equation arises from Newton’s law of cooling where the ambient temperature oscillates with time. 0.2.2 Solutions of differential equations Solving the differential equation means finding x in terms of t. That is, we want to find a function of t, which we will call x, such that when we plug x, t, and dx into (1), the equation holds. It is the dt same idea as it would be for a normal (algebraic) equation of just x and t. We claim that x = x(t) = cos t + sin t dx is a solution. How do we check? We simply plug x into equation (1)! First we need to compute dt . We find that dx = − sin t + cos t. Now let us compute the left hand side of (1). dt dx + x = (− sin t + cos t) + (cos t + sin t) = 2 cos t. dt Yay! We got precisely the right hand side. But there is more! We claim x = cos t + sin t + e−t is also a solution. Let us try, dx = − sin t + cos t − e−t . dt
- 8. 8 INTRODUCTION Again plugging into the left hand side of (1) dx + x = (− sin t + cos t − e−t ) + (cos t + sin t + e−t ) = 2 cos t. dt And it works yet again! So there can be many different solutions. In fact, for this equation all solutions can be written in the form x = cos t + sin t + Ce−t for some constant C. See Figure 1 for the graph of a few of these solutions. We will see how we can find these solutions a few lectures from now. It turns out that solving differential equations 0 1 2 3 4 5 can be quite hard. There is no general method 3 3 that solves every differential equation. We will generally focus on how to get exact formulas for 2 2 solutions of certain differential equations, but we will also spend a little bit of time on getting ap- 1 1 proximate solutions. For most of the course we will look at ordi- 0 0nary differential equations or ODEs, by which we mean that there is only one independent variable -1 and derivatives are only with respect to this one -1 variable. If there are several independent vari- 0 1 2 3 4 5 ables, we will get partial differential equations or PDEs. We will briefly see these near the end of Figure 1: Few solutions of dx + x = 2 cos t. dt the course. Even for ODEs, which are very well under- stood, it is not a simple question of turning a crank to get answers. It is important to know when it is easy to find solutions and how to do so. Although in real applications you will leave much of the actual calculations to computers, you need to understand what they are doing. It is often necessary to simplify or transform your equations into something that a computer can understand and solve. You may need to make certain assumptions and changes in your model to achieve this. To be a successful engineer or scientist, you will be required to solve problems in your job that you have never seen before. It is important to learn problem solving techniques, so that you may apply those techniques to new problems. A common mistake is to expect to learn some prescription for solving all the problems you will encounter in your later career. This course is no exception. 0.2.3 Differential equations in practice So how do we use differential equations in science and engineering? First, we have some real world problem that we wish to understand. We make some simplifying assumptions and create a
- 9. 0.2. INTRODUCTION TO DIFFERENTIAL EQUATIONS 9 mathematical model. That is, we translate the real world situation into a set of differential equations. Then we apply mathematics to get some sort of a mathematical solution. There is still something left to do. We have to interpret the results. We have to figure out what the mathematical solution says about the real world problem we started with. Learning how to formulate the mathematical Real world problem model and how to interpret the results is what your physics and engineering classes do. In this abstract interpret course we will focus mostly on the mathematical analysis. Sometimes we will work with simple real solve Mathematical Mathematical world examples, so that we have some intuition model solution and motivation about what we are doing. Let us look at an example of this process. One of the most basic differential equations is the standard exponential growth model. Let P denote the population of some bacteria on a Petri dish. We assume that there is enough food and enough space. Then the rate of growth of bacteria will be proportional to the population. I.e. a large population grows quicker. Let t denote time (say in seconds) and P the population. Our model will be dP = kP, dt for some positive constant k 0. Example 0.2.1: Suppose there are 100 bacteria at time 0 and 200 bacteria 10 seconds later. How many bacteria will there be 1 minute from time 0 (in 60 seconds)? First we have to solve the equation. We claim that a solution is given by P(t) = Cekt , where C is a constant. Let us try: dP = Ckekt = kP. dt And it really is a solution. OK, so what now? We do not know C and we do not know k. But we know something. We know that P(0) = 100, and we also know that P(10) = 200. Let us plug these conditions in and see what happens. 100 = P(0) = Cek0 = C, 200 = P(10) = 100 ek10 . Therefore, 2 = e10k or ln 2 10 = k ≈ 0.069. So we know that P(t) = 100 e(ln 2)t/10 ≈ 100 e0.069t . At one minute, t = 60, the population is P(60) = 6400. See Figure 2 on the next page.
- 10. 10 INTRODUCTION Let us talk about the interpretation of the results. Does our solution mean that there must be exactly 6400 bacteria on the plate at 60s? No! We made assumptions that might not be true exactly, just approximately. If our assumptions are reasonable, then there will be approximately 6400 bacteria. Also, in real life P is a discrete quantity, not a real number. However, our model has no problem saying that for example at 61 seconds, P(61) ≈ 6859.35. Normally, the k in P = kP is known, and we want to solve the equation for different initial 0 10 20 30 40 50 60 conditions. What does that mean? Take k = 1 6000 6000 for simplicity. Now suppose we want to solve 5000 5000 the equation dP = P subject to P(0) = 1000 (the dt initial condition). Then the solution turns out to 4000 4000 be (exercise) 3000 3000 P(t) = 1000 et . 2000 2000 We call P(t) = Cet the general solution, as 1000 1000 every solution of the equation can be written in 0 0 this form for some constant C. You will need an 0 10 20 30 40 50 60 initial condition to find out what C is, in order to find the particular solution we are looking for. Figure 2: Bacteria growth in the first 60 sec- Generally, when we say “particular solution,” we onds. just mean some solution. Let us get to what we will call the four fundamental equations. These equations appear very often and it is useful to just memorize what their solutions are. These solutions are reasonably easy to guess by recalling properties of exponentials, sines, and cosines. They are also simple to check, which is something that you should always do. There is no need to wonder if you have remembered the solution correctly. First such equation is, dy = ky, dx for some constant k 0. Here y is the dependent and x the independent variable. The general solution for this equation is y(x) = Cekx . We have already seen that this function is a solution above with different variable names. Next, dy = −ky, dx for some constant k 0. The general solution for this equation is y(x) = Ce−kx .
- 11. 0.2. INTRODUCTION TO DIFFERENTIAL EQUATIONS 11 Exercise 0.2.1: Check that the y given is really a solution to the equation. Next, take the second order differential equation d2 y = −k2 y, dx2 for some constant k 0. The general solution for this equation is y(x) = C1 cos(kx) + C2 sin(kx). Note that because we have a second order differential equation, we have two constants in our general solution. Exercise 0.2.2: Check that the y given is really a solution to the equation. And finally, take the second order differential equation d2 y 2 = k2 y, dx for some constant k 0. The general solution for this equation is y(x) = C1 ekx + C2 e−kx , or y(x) = D1 cosh(kx) + D2 sinh(kx). For those that do not know, cosh and sinh are defined by e x + e−x cosh x = , 2 e x − e−x sinh x = . 2 These functions are sometimes easier to work with than exponentials. They have some nice familiar properties such as cosh 0 = 1, sinh 0 = 0, and dx cosh x = sinh x (no that is not a typo) and d d dx sinh x = cosh x. Exercise 0.2.3: Check that both forms of the y given are really solutions to the equation. An interesting note about cosh: The graph of cosh is the exact shape a hanging chain will make. This shape is called a catenary. Contrary to popular belief this is not a parabola. If you invert the graph of cosh it is also the ideal arch for supporting its own weight. For example, the gateway arch in Saint Louis is an inverted graph of cosh—if it were just a parabola it might fall down. The formula used in the design is inscribed inside the arch: y = −127.7 ft · cosh(x/127.7 ft) + 757.7 ft.
- 12. 12 INTRODUCTION 0.2.4 Exercises Exercise 0.2.4: Show that x = e4t is a solution to x − 12x + 48x − 64x = 0. Exercise 0.2.5: Show that x = et is not a solution to x − 12x + 48x − 64x = 0. dy 2 Exercise 0.2.6: Is y = sin t a solution to dt = 1 − y2 ? Justify. Exercise 0.2.7: Let y + 2y − 8y = 0. Now try a solution of the form y = erx for some (unknown) constant r. Is this a solution for some r? If so, find all such r. Exercise 0.2.8: Verify that x = Ce−2t is a solution to x = −2x. Find C to solve for the initial condition x(0) = 100. Exercise 0.2.9: Verify that x = C1 e−t + C2 e2t is a solution to x − x − 2x = 0. Find C1 and C2 to solve for the initial conditions x(0) = 10 and x (0) = 0. Exercise 0.2.10: Find a solution to (x )2 + x2 = 4 using your knowledge of derivatives of functions that you know from basic calculus. Exercise 0.2.11: Solve: dA a) = −10A, A(0) = 5. dt dH b) = 3H, H(0) = 1. dx d2 y c) = 4y, y(0) = 0, y (0) = 1. dx2 d2 x d) = −9x, x(0) = 1, x (0) = 0. dy2 Note: Exercises with numbers 101 and higher have solutions in the back of the book. Exercise 0.2.101: Show that x = e−2t is a solution to x + 4x + 4x = 0. Exercise 0.2.102: Is y = x2 a solution to x2 y − 2y = 0? Justify. Exercise 0.2.103: Let xy − y = 0. Try a solution of the form y = xr . Is this a solution for some r? If so, find all such r. Exercise 0.2.104: Verify that x = C1 et + C2 is a solution to x − x = 0. Find C1 and C2 so that x satisfies x(0) = 10 and x (0) = 100. Exercise 0.2.105: Solve dϕ ds = 8ϕ and ϕ(0) = −9.
- 13. Chapter 1 First order ODEs 1.1 Integrals as solutions Note: 1 lecture (or less), §1.2 in [EP], covered in §1.2 and §2.1 in [BD] A first order ODE is an equation of the form dy = f (x, y), dx or just y = f (x, y). In general, there is no simple formula or procedure one can follow to find solutions. In the next few lectures we will look at special cases where solutions are not difficult to obtain. In this section, let us assume that f is a function of x alone, that is, the equation is y = f (x). (1.1) We could just integrate (antidifferentiate) both sides with respect to x. y (x) dx = f (x) dx + C, that is y(x) = f (x) dx + C. This y(x) is actually the general solution. So to solve (1.1), we find some antiderivative of f (x) and then we add an arbitrary constant to get the general solution. Now is a good time to discuss a point about calculus notation and terminology. Calculus textbooks muddy the waters by talking about the integral as primarily the so-called indefinite 13
- 14. 14 CHAPTER 1. FIRST ORDER ODES integral. The indefinite integral is really the antiderivative (in fact the whole one-parameter family of antiderivatives). There really exists only one integral and that is the definite integral. The only reason for the indefinite integral notation is that we can always write an antiderivative as a (definite) integral. That is, by the fundamental theorem of calculus we can always write f (x) dx + C as x f (t) dt + C. x0 Hence the terminology to integrate when we may really mean to antidifferentiate. Integration is just one way to compute the antiderivative (and it is a way that always works, see the following examples). Integration is defined as the area under the graph, it only happens to also compute antiderivatives. For sake of consistency, we will keep using the indefinite integral notation when we want an antiderivative, and you should always think of the definite integral. Example 1.1.1: Find the general solution of y = 3x2 . Elementary calculus tells us that the general solution must be y = x3 + C. Let us check: y = 3x2 . We have gotten precisely our equation back. Normally, we also have an initial condition such as y(x0 ) = y0 for some two numbers x0 and y0 (x0 is usually 0, but not always). We can then write the solution as a definite integral in a nice way. Suppose our problem is y = f (x), y(x0 ) = y0 . Then the solution is x y(x) = f (s) ds + y0 . (1.2) x0 Let us check! We compute y = f (x), via the fundamental theorem of calculus, and by Jupiter, y is a x0 solution. Is it the one satisfying the initial condition? Well, y(x0 ) = x f (x) dx + y0 = y0 . It is! 0 Do note that the definite integral and the indefinite integral (antidifferentiation) are completely different beasts. The definite integral always evaluates to a number. Therefore, (1.2) is a formula we can plug into the calculator or a computer, and it will be happy to calculate specific values for us. We will easily be able to plot the solution and work with it just like with any other function. It is not so crucial to always find a closed form for the antiderivative. Example 1.1.2: Solve 2 y = e−x , y(0) = 1. By the preceding discussion, the solution must be x 2 y(x) = e−s ds + 1. 0 Here is a good way to make fun of your friends taking second semester calculus. Tell them to find the closed form solution. Ha ha ha (bad math joke). It is not possible (in closed form). There is absolutely nothing wrong with writing the solution as a definite integral. This particular integral is in fact very important in statistics.
- 15. 1.1. INTEGRALS AS SOLUTIONS 15 Using this method, we can also solve equations of the form y = f (y). Let us write the equation in Leibniz notation. dy = f (y). dx Now we use the inverse function theorem from calculus to switch the roles of x and y to obtain dx 1 = . dy f (y) What we are doing seems like algebra with dx and dy. It is tempting to just do algebra with dx and dy as if they were numbers. And in this case it does work. Be careful, however, as this sort of hand-waving calculation can lead to trouble, especially when more than one independent variable is involved. At this point we can simply integrate, 1 x(y) = dy + C. f (y) Finally, we try to solve for y. Example 1.1.3: Previously, we guessed y = ky (for some k 0) has the solution y = Cekx . We can now find the solution without guessing. First we note that y = 0 is a solution. Henceforth, we assume y 0. We write dx 1 = . dy ky We integrate to obtain 1 x(y) = x = ln |y| + D, k where D is an arbitrary constant. Now we solve for y (actually for |y|). |y| = ekx−kD = e−kD ekx . If we replace e−kD with an arbitrary constant C we can get rid of the absolute value bars (which we can do as D was arbitrary). In this way, we also incorporate the solution y = 0. We get the same general solution as we guessed before, y = Cekx . Example 1.1.4: Find the general solution of y = y2 . First we note that y = 0 is a solution. We can now assume that y 0. Write dx 1 = 2. dy y
- 16. 16 CHAPTER 1. FIRST ORDER ODES We integrate to get −1 x= + C. y We solve for y = C−x . So the general solution is 1 1 y= or y = 0. C−x Note the singularities of the solution. If for example C = 1, then the solution “blows up” as we approach x = 1. Generally, it is hard to tell from just looking at the equation itself how the solution is going to behave. The equation y = y2 is very nice and defined everywhere, but the solution is only defined on some interval (−∞, C) or (C, ∞). Classical problems leading to differential equations solvable by integration are problems dealing with velocity, acceleration and distance. You have surely seen these problems before in your calculus class. Example 1.1.5: Suppose a car drives at a speed et/2 meters per second, where t is time in seconds. How far did the car get in 2 seconds (starting at t = 0)? How far in 10 seconds? Let x denote the distance the car traveled. The equation is x = et/2 . We can just integrate this equation to get that x(t) = 2et/2 + C. We still need to figure out C. We know that when t = 0, then x = 0. That is, x(0) = 0. So 0 = x(0) = 2e0/2 + C = 2 + C. Thus C = −2 and x(t) = 2et/2 − 2. Now we just plug in to get where the car is at 2 and at 10 seconds. We obtain x(2) = 2e2/2 − 2 ≈ 3.44 meters, x(10) = 2e10/2 − 2 ≈ 294 meters. Example 1.1.6: Suppose that the car accelerates at a rate of t2 m/s2 . At time t = 0 the car is at the 1 meter mark and is traveling at 10 m/s. Where is the car at time t = 10. Well this is actually a second order problem. If x is the distance traveled, then x is the velocity, and x is the acceleration. The equation with initial conditions is x = t2 , x(0) = 1, x (0) = 10. What if we say x = v. Then we have the problem v = t2 , v(0) = 10. Once we solve for v, we can integrate and find x. Exercise 1.1.1: Solve for v, and then solve for x. Find x(10) to answer the question.
- 17. 1.1. INTEGRALS AS SOLUTIONS 17 1.1.1 Exercises Exercise 1.1.2: Solve dy dx = x2 + x for y(1) = 3. Exercise 1.1.3: Solve dy dx = sin(5x) for y(0) = 2. Exercise 1.1.4: Solve dy dx = 1 x2 −1 for y(0) = 0. Exercise 1.1.5: Solve y = y3 for y(0) = 1. Exercise 1.1.6 (little harder): Solve y = (y − 1)(y + 1) for y(0) = 3. Exercise 1.1.7: Solve dy dx = 1 y+1 for y(0) = 0. Exercise 1.1.8 (harder): Solve y = sin x for y(0) = 0, y (0) = 2. Exercise 1.1.9: A spaceship is traveling at the speed 2t2 + 1 km/s (t is time in seconds). It is pointing directly away from earth and at time t = 0 it is 1000 kilometers from earth. How far from earth is it at one minute from time t = 0? Exercise 1.1.10: Solve dx dt = sin(t2 ) + t, x(0) = 20. It is OK to leave your answer as a definite integral. Exercise 1.1.101: Solve dy dx = e x + x and y(0) = 10. Exercise 1.1.102: Solve x = 1 x2 , x(1) = 1. Exercise 1.1.103: Solve x = 1 cos(x) , x(0) = π . 2 Exercise 1.1.104: Sid is in a car traveling at speed 10t + 70 miles per hour away from Las Vegas, where t is in hours. At t = 0 the Sid is 10 miles away from Vegas. How far from Vegas is Sid 2 hours later? Exercise 1.1.105: Solve y = yn , y(0) = 1, where n is a positive integer. Hint: You have to consider different cases.
- 18. 18 CHAPTER 1. FIRST ORDER ODES 1.2 Slope fields Note: 1 lecture, §1.3 in [EP], §1.1 in [BD] At this point it may be good to first try the Lab I and/or Project I from the IODE website: http://www.math.uiuc.edu/iode/. As we said, the general first order equation we are studying looks like y = f (x, y). In general, we cannot simply solve these kinds of equations explicitly. It would be good if we could at least figure out the shape and behavior of the solutions, or if we could even find approximate solutions for any equation. 1.2.1 Slope fields As you have seen in IODE Lab I (if you did it), the equation y = f (x, y) gives you a slope at each point in the (x, y)-plane. We can plot the slope at lots of points as a short line through the point (x, y) with the slope f (x, y). See Figure 1.1. -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -2 -2 -2 -2 -3 -3 -3 -3 -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 Figure 1.1: Slope field of y = xy. Figure 1.2: Slope field of y = xy with a graph of solutions satisfying y(0) = 0.2, y(0) = 0, and y(0) = −0.2. We call this picture the slope field of the equation. If we are given a specific initial condition y(x0 ) = y0 , we can look at the location (x0 , y0 ) and follow the slopes. See Figure 1.2. By looking at the slope field we can get a lot of information about the behavior of solutions. For example, in Figure 1.2 we can see what the solutions do when the initial conditions are y(0) 0, y(0) = 0 and y(0) 0. Note that a small change in the initial condition causes quite different
- 19. 1.2. SLOPE FIELDS 19 behavior. On the other hand, plotting a few solutions of the equation y = −y, we see that no matter what y(0) is, all solutions tend to zero as x tends to infinity. See Figure 1.3. -3 -2 -1 0 1 2 3 3 3 2 2 1 1 0 0 -1 -1 -2 -2 -3 -3 -3 -2 -1 0 1 2 3 Figure 1.3: Slope field of y = −y with a graph of a few solutions. 1.2.2 Existence and uniqueness We wish to ask two fundamental questions about the problem y = f (x, y), y(x0 ) = y0 . (i) Does a solution exist? (ii) Is the solution unique (if it exists)? What do you think is the answer? The answer seems to be yes to both does it not? Well, pretty much. But there are cases when the answer to either question can be no. Since generally the equations we encounter in applications come from real life situations, it seems logical that a solution always exists. It also has to be unique if we believe our universe is deterministic. If the solution does not exist, or if it is not unique, we have probably not devised the correct model. Hence, it is good to know when things go wrong and why. Example 1.2.1: Attempt to solve: 1 y = , y(0) = 0. x Integrate to find the general solution y = ln |x| + C. Note that the solution does not exist at x = 0. See Figure 1.4 on the next page.
- 20. 20 CHAPTER 1. FIRST ORDER ODES -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -2 -2 -2 -2 -3 -3 -3 -3 -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 Figure 1.4: Slope field of y = 1/x. Figure 1.5: Slope field of y = 2 |y| with two solutions satisfying y(0) = 0. Example 1.2.2: Solve: y = 2 |y|, y(0) = 0. See Figure 1.5. Note that y = 0 is a solution. But another solution is the function x2 if x ≥ 0, y(x) = 2 −x if x 0. It is actually hard to tell by staring at the slope field that the solution is not unique. Is there any hope? Of course there is. It turns out that the following theorem is true. It is known as Picard’s theorem∗ . Theorem 1.2.1 (Picard’s theorem on existence and uniqueness). If f (x, y) is continuous (as a function of two variables) and ∂ f exists and is continuous near some (x0 , y0 ), then a solution to ∂y y = f (x, y), y(x0 ) = y0 , exists (at least for some small interval of x’s) and is unique. Note that the problems y = 1/x, y(0) = 0 and y = 2 |y|, y(0) = 0 do not satisfy the hypothesis of the theorem. Even if we can use the theorem, we ought to be careful about this existence business. It is quite possible that the solution only exists for a short while. Example 1.2.3: For some constant A, solve: y = y2 , y(0) = A. ∗ Named after the French mathematician Charles Émile Picard (1856 – 1941)
- 21. 1.2. SLOPE FIELDS 21 We know how to solve this equation. First assume that A 0, so y is not equal to zero at least for some x near 0. So x = 1/y2 , so x = −1/y + C, so y = C−x . If y(0) = A, then C = 1/A so 1 1 y= 1/A . −x If A = 0, then y = 0 is a solution. For example, when A = 1 the solution “blows up” at x = 1. Hence, the solution does not exist for all x even if the equation is nice everywhere. The equation y = y2 certainly looks nice. For most of this course we will be interested in equations where existence and uniqueness holds, and in fact holds “globally” unlike for the equation y = y2 . 1.2.3 Exercises Exercise 1.2.1: Sketch slope field for y = e x−y . How do the solutions behave as x grows? Can you guess a particular solution by looking at the slope field? Exercise 1.2.2: Sketch slope field for y = x2 . Exercise 1.2.3: Sketch slope field for y = y2 . Exercise 1.2.4: Is it possible to solve the equation y = xy cos x for y(0) = 1? Justify. √ Exercise 1.2.5: Is it possible to solve the equation y = y |x| for y(0) = 0? Is the solution unique? Justify. Exercise 1.2.6: Match equations y = 1 − x, y = x − 2y, y = x(1 − y) to slope fields. Justify. a) b) c) Exercise 1.2.101: Sketch the slope field of y = y3 . Can you visually find the solution that satisfies y(0) = 0? Exercise 1.2.102: Is it possible to solve y = xy for y(0) = 0? Is the solution unique? Exercise 1.2.103: Is it possible to solve y = x x2 −1 for y(1) = 0? Exercise 1.2.104: Match equations y = sin x, y = cos y, y = y cos(x) to slope fields. Justify. a) b) c)
- 22. 22 CHAPTER 1. FIRST ORDER ODES 1.3 Separable equations Note: 1 lecture, §1.4 in [EP], §2.2 in [BD] When a differential equation is of the form y = f (x), we can just integrate: y = f (x) dx + C. Unfortunately this method no longer works for the general form of the equation y = f (x, y). Integrating both sides yields y= f (x, y) dx + C. Notice the dependence on y in the integral. 1.3.1 Separable equations Let us suppose that the equation is separable. That is, let us consider y = f (x)g(y), for some functions f (x) and g(y). Let us write the equation in the Leibniz notation dy = f (x)g(y). dx Then we rewrite the equation as dy = f (x) dx. g(y) Now both sides look like something we can integrate. We obtain dy = f (x) dx + C. g(y) If we can find closed form expressions for these two integrals, we can, perhaps, solve for y. Example 1.3.1: Take the equation y = xy. First note that y = 0 is a solution, so assume y 0 from now on. Write the equation as dy dx = xy, then dy = x dx + C. y We compute the antiderivatives to get x2 ln |y| = + C. 2
- 23. 1.3. SEPARABLE EQUATIONS 23 Or x2 x2 x2 |y| = e 2 +C = e 2 eC = De 2 , where D 0 is some constant. Because y = 0 is a solution and because of the absolute value we actually can write: x2 y = De 2 , for any number D (including zero or negative). We check: x2 x2 y = Dxe 2 = x De 2 = xy. Yay! We should be a little bit more careful with this method. You may be worried that we were integrating in two different variables. We seemed to be doing a different operation to each side. Let us work this method out more rigorously. dy = f (x)g(y) dx We rewrite the equation as follows. Note that y = y(x) is a function of x and so is dy dx ! 1 dy = f (x) g(y) dx We integrate both sides with respect to x. 1 dy dx = f (x) dx + C. g(y) dx We can use the change of variables formula. 1 dy = f (x) dx + C. g(y) And we are done. 1.3.2 Implicit solutions It is clear that we might sometimes get stuck even if we can do the integration. For example, take the separable equation xy y = 2 . y +1 We separate variables, y2 + 1 1 dy = y + dy = x dx. y y
- 24. 24 CHAPTER 1. FIRST ORDER ODES We integrate to get y2 x2 + ln |y| = + C, 2 2 or perhaps the easier looking expression (where D = 2C) y2 + 2 ln |y| = x2 + D. It is not easy to find the solution explicitly as it is hard to solve for y. We, therefore, leave the solution in this form and call it an implicit solution. It is still easy to check that an implicit solution satisfies the differential equation. In this case, we differentiate to get 2 y 2y + = 2x. y It is simple to see that the differential equation holds. If you want to compute values for y, you might have to be tricky. For example, you can graph x as a function of y, and then flip your paper. Computers are also good at some of these tricks. We note that the above equation also has the solution y = 0. The general solution is y2 + 2 ln |y| = x + C together with y = 0. These outlying solutions such as y = 0 are sometimes called singular 2 solutions. 1.3.3 Examples Example 1.3.2: Solve x2 y = 1 − x2 + y2 − x2 y2 , y(1) = 0. First factor the right hand side to obtain x2 y = (1 − x2 )(1 + y2 ). We separate variables, integrate and solve for y y 1 − x2 = , 1 + y2 x2 y 1 = 2 − 1, 1+y 2 x −1 arctan(y) = − x + C, x −1 y = tan − x+C . x Now solve for the initial condition, 0 = tan(−2 + C) to get C = 2 (or 2 + π, etc. . . ). The solution we are seeking is, therefore, −1 y = tan −x+2 . x
- 25. 1.3. SEPARABLE EQUATIONS 25 Example 1.3.3: Suppose Bob made a cup of coffee, and the water was boiling (100 degrees Celsius) at time t = 0 minutes. Suppose Bob likes to drink his coffee at 70 degrees. Let the ambient (room) temperature be 26 degrees. Furthermore, suppose Bob measured the temperature of the coffee at 1 minute and found that it dropped to 95 degrees. When should Bob start drinking? Let T be the temperature of coffee, let A be the ambient (room) temperature. Newton’s law of cooling states that rate at which the temperature of the coffee is changing is proportional to the difference between the temperature of the coffee and the ambient temperature. That is, dT = k(A − T ), dt for some constant k. For our setup A = 26, T (0) = 100, T (1) = 95. We separate variables and integrate (let C and D denote arbitrary constants) 1 dT = −k, T − A dt ln(T − A) = −kt + C, (note that T − A 0) T − A = D e−kt , T = A + D e−kt . That is, T = 26 + D e−kt . We plug in the first condition, 100 = T (0) = 26 + D and hence D = 74. We have T = 26 + 74 e−kt . Second condition says 95 = T (1) = 26 + 74 e−k . Solving for k we get k = − ln 95−26 ≈ 0.07. Now we solve for the time t that gives us a temperature of 70 degrees. That 74 70−26 ln is, we solve 70 = 26 + 74e−0.07t to get t = − 0.07 ≈ 7.43 minutes. So Bob can begin to drink the 74 coffee at about 7 and a half minutes from the time Bob made it. Probably about the amount of time it took us to calculate how long it would take. 2 Example 1.3.4: Find the general solution to y = −xy (including singular solutions). 3 First note that y = 0 is a solution (a singular solution). So assume that y 0 and write −3 y = x, y2 3 x2 = + C, y 2 3 6 y= 2 = 2 . x /2 + C x + 2C 1.3.4 Exercises Exercise 1.3.1: Solve y = x/y. Exercise 1.3.2: Solve y = x2 y.
- 26. 26 CHAPTER 1. FIRST ORDER ODES dx Exercise 1.3.3: Solve = (x2 − 1) t, for x(0) = 0. dt dx Exercise 1.3.4: Solve = x sin(t), for x(0) = 1. dt dy Exercise 1.3.5: Solve = xy + x + y + 1. Hint: Factor the right hand side. dx Exercise 1.3.6: Solve xy = y + 2x2 y, where y(1) = 1. dy y2 + 1 Exercise 1.3.7: Solve = , for y(0) = 1. dx x2 + 1 dy x2 + 1 Exercise 1.3.8: Find an implicit solution for = , for y(0) = 1. dx y2 + 1 Exercise 1.3.9: Find explicit solution for y = xe−y , y(0) = 1. Exercise 1.3.10: Find explicit solution for xy = e−y , for y(1) = 1. Exercise 1.3.11: Find explicit solution for y = ye−x , y(0) = 1. It is alright to leave a definite 2 integral in your answer. Exercise 1.3.12: Suppose a cup of coffee is at 100 degrees Celsius at time t = 0, it is at 70 degrees at t = 10 minutes, and it is at 50 degrees at t = 20 minutes. Compute the ambient temperature. Exercise 1.3.101: Solve y = 2xy. Exercise 1.3.102: Solve x = 3xt2 − 3t2 , x(0) = 2. Exercise 1.3.103: Find implicit solution for x = 1 3x2 +1 , x(0) = 1. Exercise 1.3.104: Find explicit solution to xy = y2 , y(1) = 1. Exercise 1.3.105: Find an implicit solution to y = sin(x) cos(y) .
- 27. 1.4. LINEAR EQUATIONS AND THE INTEGRATING FACTOR 27 1.4 Linear equations and the integrating factor Note: 1 lecture, §1.5 in [EP], §2.1 in [BD] One of the most important types of equations we will learn how to solve are the so-called linear equations. In fact, the majority of the course is about linear equations. In this lecture we focus on the first order linear equation. A first order equation is linear if we can put it into the form: y + p(x)y = f (x). (1.3) Here the word “linear” means linear in y and y ; no higher powers nor functions of y or y appear. The dependence on x can be more complicated. Solutions of linear equations have nice properties. For example, the solution exists wherever p(x) and f (x) are defined, and has the same regularity (read: it is just as nice). But most importantly for us right now, there is a method for solving linear first order equations. The trick is to rewrite the left hand side of (1.3) as a derivative of a product of y with another function. To this end we find a function r(x) such that d r(x)y + r(x)p(x)y = r(x)y . dx This is the left hand side of (1.3) multiplied by r(x). So if we multiply (1.3) by r(x), we obtain d r(x)y = r(x) f (x). dx Now we integrate both sides. The right hand side does not depend on y and the left hand side is written as a derivative of a function. Afterwards, we solve for y. The function r(x) is called the integrating factor and the method is called the integrating factor method. We are looking for a function r(x), such that if we differentiate it, we get the same function back multiplied by p(x). That seems like a job for the exponential function! Let r(x) = e p(x) dx . We compute: y + p(x)y = f (x), e p(x) dx y + e p(x) dx p(x)y = e p(x) dx f (x), d e p(x) dx y = e p(x) dx f (x), dx e p(x) dx y= e p(x) dx f (x) dx + C, y = e− p(x) dx e p(x) dx f (x) dx + C . Of course, to get a closed form formula for y, we need to be able to find a closed form formula for the integrals appearing above.
- 28. 28 CHAPTER 1. FIRST ORDER ODES Example 1.4.1: Solve 2 y + 2xy = e x−x , y(0) = −1. First note that p(x) = 2x and f (x) = e x−x . The integrating factor is r(x) = e = e x . We 2 p(x) dx 2 multiply both sides of the equation by r(x) to get 2 2 2 2 e x y + 2xe x y = e x−x e x , d x2 e y = ex . dx We integrate 2 e x y = e x + C, 2 2 y = e x−x + Ce−x . Next, we solve for the initial condition −1 = y(0) = 1 + C, so C = −2. The solution is 2 2 y = e x−x − 2e−x . p(x)dx Note that we do not care which antiderivative we take when computing e . You can always add a constant of integration, but those constants will not matter in the end. Exercise 1.4.1: Try it! Add a constant of integration to the integral in the integrating factor and show that the solution you get in the end is the same as what we got above. An advice: Do not try to remember the formula itself, that is way too hard. It is easier to remember the process and repeat it. Since we cannot always evaluate the integrals in closed form, it is useful to know how to write the solution in definite integral form. A definite integral is something that you can plug into a computer or a calculator. Suppose we are given y + p(x)y = f (x), y(x0 ) = y0 . Look at the solution and write the integrals as definite integrals. x x t − p(s) ds p(s) ds y(x) = e x0 e x0 f (t) dt + y0 . (1.4) x0 You should be careful to properly use dummy variables here. If you now plug such a formula into a computer or a calculator, it will be happy to give you numerical answers. Exercise 1.4.2: Check that y(x0 ) = y0 in formula (1.4).
- 29. 1.4. LINEAR EQUATIONS AND THE INTEGRATING FACTOR 29 Exercise 1.4.3: Write the solution of the following problem as a definite integral, but try to simplify as far as you can. You will not be able to find the solution in closed form. 2 y + y = e x −x , y(0) = 10. Remark 1.4.1: Before we move on, we should note some interesting properties of linear equations. First, for the linear initial value problem y + p(x)y = f (x), y(x0 ) = y0 , there is always an explicit formula (1.4) for the solution. Second, it follows from the formula (1.4) that if p(x) and f (x) are continuous on some interval (a, b), then the solution y(x) exists and is differentiable on (a, b). Compare with the simple nonlinear example we have seen previously, y = y2 , and compare to Theorem 1.2.1. Example 1.4.2: Let us discuss a common simple application of linear equations. This type of problem is used often in real life. For example, linear equations are used in figuring out the concentration of chemicals in bodies of water (rivers and lakes). A 100 liter tank contains 10 kilograms of salt dissolved in 60 liters of 5 L/min, 0.1 kg/L water. Solution of water and salt (brine) with concentration of 0.1 kilograms per liter is flowing in at the rate of 5 liters a minute. The solution in the tank is well stirred and flows out at a rate of 3 liters a minute. How much salt is in the tank when the tank is full? Let us come up with the equation. Let x denote the kilograms of salt 60 L in the tank, let t denote the time in minutes. Then for a small change ∆t 10 kg of salt in time, the change in x (denoted ∆x) is approximately ∆x ≈ (rate in × concentration in)∆t − (rate out × concentration out)∆t. 3 L/min Dividing through by ∆t and taking the limit ∆t → 0 we see that dx = (rate in × concentration in) − (rate out × concentration out). dt In our example, we have rate in = 5, concentration in = 0.1, rate out = 3, x x concentration out = = . volume 60 + (5 − 3)t Our equation is, therefore, dx x = (5 × 0.1) − 3 . dt 60 + 2t Or in the form (1.3) dx 3 + x = 0.5. dt 60 + 2t
- 30. 30 CHAPTER 1. FIRST ORDER ODES Let us solve. The integrating factor is 3 3 r(t) = exp dt = exp ln(60 + 2t) = (60 + 2t)3/2 . 60 + 2t 2 We multiply both sides of the equation to get dx 3 (60 + 2t)3/2 + (60 + 2t)3/2 x = 0.5(60 + 2t)3/2 , dt 60 + 2t d (60 + 2t)3/2 x = 0.5(60 + 2t)3/2 , dt (60 + 2t)3/2 x = 0.5(60 + 2t)3/2 dt + C, (60 + 2t)3/2 x = (60 + 2t) −3/2 dt + C(60 + 2t)−3/2 , 2 1 x = (60 + 2t)−3/2 (60 + 2t)5/2 + C(60 + 2t)−3/2 , 10 60 + 2t x= + C(60 + 2t)−3/2 . 10 We need to find C. We know that at t = 0, x = 10. So 60 10 = x(0) = + C(60)−3/2 = 6 + C(60)−3/2 , 10 or C = 4(603/2 ) ≈ 1859.03. We are interested in x when the tank is full. So we note that the tank is full when 60 + 2t = 100, or when t = 20. So 60 + 40 x(20) = + C(60 + 40)−3/2 ≈ 10 + 1859.03(100)−3/2 ≈ 11.86. 10 The concentration at the end is approximately 0.1186 kg/liter and we started with 1/6 or 0.167 kg/liter. 1.4.1 Exercises In the exercises, feel free to leave answer as a definite integral if a closed form solution cannot be found. If you can find a closed form solution, you should give that. Exercise 1.4.4: Solve y + xy = x. Exercise 1.4.5: Solve y + 6y = e x .
- 31. 1.4. LINEAR EQUATIONS AND THE INTEGRATING FACTOR 31 Exercise 1.4.6: Solve y + 3x2 y = sin(x) e−x , with y(0) = 1. 3 Exercise 1.4.7: Solve y + cos(x)y = cos(x). Exercise 1.4.8: Solve 1 x2 +1 y + xy = 3, with y(0) = 0. Exercise 1.4.9: Suppose there are two lakes located on a stream. Clean water flows into the first lake, then the water from the first lake flows into the second lake, and then water from the second lake flows further downstream. The in and out flow from each lake is 500 liters per hour. The first lake contains 100 thousand liters of water and the second lake contains 200 thousand liters of water. A truck with 500 kg of toxic substance crashes into the first lake. Assume that the water is being continually mixed perfectly by the stream. a) Find the concentration of toxic substance as a function of time in both lakes. b) When will the concentration in the first lake be below 0.001 kg per liter? c) When will the concentration in the second lake be maximal? Exercise 1.4.10: Newton’s law of cooling states that dx = −k(x − A) where x is the temperature, dt t is time, A is the ambient temperature, and k 0 is a constant. Suppose that A = A0 cos(ωt) for some constants A0 and ω. That is, the ambient temperature oscillates (for example night and day temperatures). a) Find the general solution. b) In the long term, will the initial conditions make much of a difference? Why or why not? Exercise 1.4.11: Initially 5 grams of salt are dissolved in 20 liters of water. Brine with concentration of salt 2 grams of salt per liter is added at a rate of 3 liters a minute. The tank is mixed well and is drained at 3 liters a minute. How long does the process have to continue until there are 20 grams of salt in the tank? Exercise 1.4.12: Initially a tank contains 10 liters of pure water. Brine of unknown (but constant) concentration of salt is flowing in at 1 liter per minute. The water is mixed well and drained at 1 liter per minute. In 20 minutes there are 15 grams of salt in the tank. What is the concentration of salt in the incoming brine? Exercise 1.4.101: Solve y + 3x2 y = x2 . Exercise 1.4.102: Solve y + 2 sin(2x)y = 2 sin(2x), y(π/2) = 3. Exercise 1.4.103: Suppose a water tank is being pumped out at 3 L/min. The water tank starts at 10 L of clean water. Water with toxic substance is flowing into the tank at 2 L/min, with concentration 20t g/L at time t. When the tank is half empty, how many grams of toxic substance are in the tank (assuming perfect mixing)? Exercise 1.4.104: Suppose we have bacteria on a plate and suppose that we are slowly adding a toxic substance such that the rate of growth is slowing down. That is, suppose that dP = (2 − 0.1t)P. dt If P(0) = 1000, find the population at t = 5.
- 32. 32 CHAPTER 1. FIRST ORDER ODES 1.5 Substitution Note: 1 lecture, §1.6 in [EP], not in [BD] Just as when solving integrals, one method to try is to change variables to end up with a simpler equation to solve. 1.5.1 Substitution The equation y = (x − y + 1)2 is neither separable nor linear. What can we do? How about trying to change variables, so that in the new variables the equation is simpler. We use another variable v, which we treat as a function of x. Let us try v = x − y + 1. We need to figure out y in terms of v , v and x. We differentiate (in x) to obtain v = 1 − y . So y = 1 − v . We plug this into the equation to get 1 − v = v2 . In other words, v = 1 − v2 . Such an equation we know how to solve. 1 dv = dx. 1 − v2 So 1 v+1 ln = x + C, 2 v−1 v+1 = e2x+2C , v−1 or v+1 = De2x for some constant D. Note that v = 1 and v = −1 are also solutions. v−1 Now we need to “unsubstitute” to obtain x−y+2 = De2x , x−y and also the two solutions x − y + 1 = 1 or y = x, and x − y + 1 = −1 or y = x + 2. We solve the first equation for y. x − y + 2 = (x − y)De2x , x − y + 2 = Dxe2x − yDe2x , −y + yDe2x = Dxe2x − x − 2, y (−1 + De2x ) = Dxe2x − x − 2, Dxe2x − x − 2 y= . De2x − 1
- 33. 1.5. SUBSTITUTION 33 Note that D = 0 gives y = x + 2, but no value of D gives the solution y = x. Substitution in differential equations is applied in much the same way that it is applied in calculus. You guess. Several different substitutions might work. There are some general things to look for. We summarize a few of these in a table. When you see Try substituting yy v = y2 y2 y v = y3 (cos y)y v = sin y (sin y)y v = cos y y ey v = ey Usually you try to substitute in the “most complicated” part of the equation with the hopes of simplifying it. The above table is just a rule of thumb. You might have to modify your guesses. If a substitution does not work (it does not make the equation any simpler), try a different one. 1.5.2 Bernoulli equations There are some forms of equations where there is a general rule for substitution that always works. One such example is the so-called Bernoulli equation∗ . y + p(x)y = q(x)yn . This equation looks a lot like a linear equation except for the yn . If n = 0 or n = 1, then the equation is linear and we can solve it. Otherwise, the substitution v = y1−n transforms the Bernoulli equation into a linear equation. Note that n need not be an integer. Example 1.5.1: Solve xy + y(x + 1) + xy5 = 0, y(1) = 1. First, the equation is Bernoulli (p(x) = (x + 1)/x and q(x) = −1). We substitute v = y1−5 = y−4 , v = −4y−5 y . In other words, (−1/4) y5 v = y . So xy + y(x + 1) + xy5 = 0, −xy5 v + y(x + 1) + xy5 = 0, 4 −x v + y−4 (x + 1) + x = 0, 4 −x v + v(x + 1) + x = 0, 4 ∗ There are several things called Bernoulli equations, this is just one of them. The Bernoullis were a prominent Swiss family of mathematicians. These particular equations are named for Jacob Bernoulli (1654 – 1705).
- 34. 34 CHAPTER 1. FIRST ORDER ODES and finally 4(x + 1) v = 4. v − x Now the equation is linear. We can use the integrating factor method. In particular, we use formula (1.4). Let us assume that x 0 so |x| = x. This assumption is OK, as our initial condition is x = 1. Let us compute the integrating factor. Here p(s) from formula (1.4) is −4(s+1) . s x x −4(s + 1) e−4x+4 e1 p(s) ds = exp ds = e−4x−4 ln(x)+4 = e−4x+4 x−4 = , 1 s x4 x e− 1 p(s) ds =e4x+4 ln(x)−4 = e4x−4 x4 . We now plug in to (1.4) x x t v(x) = e− 1 p(s) ds e 1 p(s) ds 4 dt + 1 1 x e−4t+4 = e4x−4 x4 4 dt + 1 . 1 t4 Note that the integral in this expression is not possible to find in closed form. As we said before, it is perfectly fine to have a definite integral in our solution. Now “unsubstitute” x e−4t+4 y−4 = e4x−4 x4 4 dt + 1 , 1 t4 e−x+1 y= x e−4t+4 1/4 . x4 1 t4 dt + 1 1.5.3 Homogeneous equations Another type of equations we can solve by substitution are the so-called homogeneous equations. Suppose that we can write the differential equation as y y =F . x Here we try the substitutions y v= and therefore y = v + xv . x We note that the equation is transformed into v 1 v + xv = F(v) or xv = F(v) − v or = . F(v) − v x
- 35. 1.5. SUBSTITUTION 35 Hence an implicit solution is 1 dv = ln |x| + C. F(v) − v Example 1.5.2: Solve x2 y = y2 + xy, y(1) = 1. We put the equation into the form y = (y/x)2 + y/x. We substitute v = y/x to get the separable equation xv = v2 + v − v = v2 , which has a solution 1 dv = ln |x| + C, v2 −1 = ln |x| + C, v −1 v= . ln |x| + C We unsubstitute y −1 = , x ln |x| + C −x y= . ln |x| + C We want y(1) = 1, so −1 −1 1 = y(1) = = . ln |1| + C C Thus C = −1 and the solution we are looking for is −x y= . ln |x| − 1 1.5.4 Exercises Hint: Answers need not always be in closed form. Exercise 1.5.1: Solve y + y(x2 − 1) + xy6 = 0, with y(1) = 1. Exercise 1.5.2: Solve 2yy + 1 = y2 + x, with y(0) = 1. Exercise 1.5.3: Solve y + xy = y4 , with y(0) = 1. Exercise 1.5.4: Solve yy + x = x2 + y2 .
- 36. 36 CHAPTER 1. FIRST ORDER ODES Exercise 1.5.5: Solve y = (x + y − 1)2 . x2 −y2 Exercise 1.5.6: Solve y = xy , with y(1) = 2. Exercise 1.5.101: Solve xy + y + y2 = 0, y(1) = 2. Exercise 1.5.102: Solve xy + y + x = 0, y(1) = 1. Exercise 1.5.103: Solve y2 y = y3 − 3x, y(0) = 2. Exercise 1.5.104: Solve 2yy = ey −x + 2x. 2 2
- 37. 1.6. AUTONOMOUS EQUATIONS 37 1.6 Autonomous equations Note: 1 lecture, §2.2 in [EP], §2.5 in [BD] Let us consider problems of the form dx = f (x), dt where the derivative of solutions depends only on x (the dependent variable). Such equations are called autonomous equations. If we think of t as time, the naming comes from the fact that the equation is independent of time. Let us come back to the cooling coffee problem (see Example 1.3.3). Newton’s law of cooling says that dx = −k(x − A), dt where x is the temperature, t is time, k is some constant, and A is the ambient temperature. See Figure 1.6 for an example with k = 0.3 and A = 5. Note the solution x = A (in the figure x = 5). We call these constant solutions the equilibrium solutions. The points on the x axis where f (x) = 0 are called critical points. The point x = A is a critical point. In fact, each critical point corresponds to an equilibrium solution. Note also, by looking at the graph, that the solution x = A is “stable” in that small perturbations in x do not lead to substantially different solutions as t grows. If we change the initial condition a little bit, then as t → ∞ we get x → A. We call such critical points stable. In this simple example it turns out that all solutions in fact go to A as t → ∞. If a critical point is not stable we would say it is unstable. 0 5 10 15 20 0 5 10 15 20 10 10 10.0 10.0 7.5 7.5 5 5 5.0 5.0 0 0 2.5 2.5 0.0 0.0 -5 -5 -2.5 -2.5 -10 -10 -5.0 -5.0 0 5 10 15 20 0 5 10 15 20 Figure 1.6: Slope field and some solutions of Figure 1.7: Slope field and some solutions of x = −0.3 (x − 5). x = 0.1 x (5 − x).
- 38. 38 CHAPTER 1. FIRST ORDER ODES Let us consider the logistic equation dx = kx(M − x), dt for some positive k and M. This equation is commonly used to model population if we know the limiting population M, that is the maximum sustainable population. The logistic equation leads to less catastrophic predictions on world population than x = kx. In the real world there is no such thing as negative population, but we will still consider negative x for the purposes of the math. See Figure 1.7 on the preceding page for an example. Note two critical points, x = 0 and x = 5. The critical point at x = 5 is stable. On the other hand the critical point at x = 0 is unstable. It is not really necessary to find the exact solutions to talk about the long term behavior of the solutions. For example, from the above we can easily see that 5 if x(0) 0, lim x(t) = 0 if x(0) = 0, t→∞ DNE or − ∞ if x(0) 0. Where DNE means “does not exist.” From just looking at the slope field we cannot quite decide what happens if x(0) 0. It could be that the solution does not exist for t all the way to ∞. Think of the equation x = x2 , we have seen that it only exists for some finite period of time. Same can happen here. In our example equation above it will actually turn out that the solution does not exist for all time, but to see that we would have to solve the equation. In any case, the solution does go to −∞, but it may get there rather quickly. Often we are interested only in the long term behavior of the solution and we would be doing unnecessary work if we solved the equation exactly. It is easier to just look at the phase diagram or phase portrait, which is a simple way to visualize the behavior of autonomous equations. In this case there is one dependent variable x. We draw the x axis, we mark all the critical points, and then we draw arrows in between. If f (x) 0, we draw an up arrow. If f (x) 0, we draw a down arrow. x=5 x=0 Armed with the phase diagram, it is easy to sketch the solutions approximately. Exercise 1.6.1: Try sketching a few solutions simply from looking at the phase diagram. Check with the preceding graphs if you are getting the type of curves.
- 39. 1.6. AUTONOMOUS EQUATIONS 39 Once we draw the phase diagram, we can easily classify critical points as stable or unstable∗ . unstable stable Since any mathematical model we cook up will only be an approximation to the real world, unstable points are generally bad news. Let us think about the logistic equation with harvesting. Suppose an alien race really likes to eat humans. They keep a planet with humans on it and harvest the humans at a rate of h million humans per year. Suppose x is the number of humans in millions on the planet and t is time in years. Let M be the limiting population when no harvesting is done. k 0 is some constant depending on how fast humans multiply. Our equation becomes dx = kx(M − x) − h. dt We expand the right hand side and solve for critical points dx = −kx2 + kMx − h. dt Critical points A and B are kM + (kM)2 − 4hk kM − (kM)2 − 4hk A= , B= . 2k 2k Exercise 1.6.2: Draw the phase diagram for different possibilities. Note that these possibilities are A B, or A = B, or A and B both complex (i.e. no real solutions). Hint: Fix some simple k and M and then vary h. For example, let M = 8 and k = 0.1. When h = 1, then A and B are distinct and positive. The graph we will get is given in Figure 1.8 on the next page. As long as the population starts above B, which is approximately 1.55 million, then the population will not die out. It will in fact tend towards A ≈ 6.45 million. If ever some catastrophe happens and the population drops below B, humans will die out, and the fast food restaurant serving them will go out of business. When h = 1.6, then A = B = 4. There is only one critical point and it is unstable. When the population starts above 4 million it will tend towards 4 million. If it ever drops below 4 million, humans will die out on the planet. This scenario is not one that we (as the human fast food proprietor) want to be in. A small perturbation of the equilibrium state and we are out of business. There is no room for error. See Figure 1.9 on the following page. Finally if we are harvesting at 2 million humans per year, there are no critical points. The population will always plummet towards zero, no matter how well stocked the planet starts. See Figure 1.10 on the next page. ∗ The unstable points that have one of the arrows pointing towards the critical point are sometimes called semistable.
- 40. 40 CHAPTER 1. FIRST ORDER ODES 0 5 10 15 20 0 5 10 15 20 10.0 10.0 10.0 10.0 7.5 7.5 7.5 7.5 5.0 5.0 5.0 5.0 2.5 2.5 2.5 2.5 0.0 0.0 0.0 0.0 0 5 10 15 20 0 5 10 15 20 Figure 1.8: Slope field and some solutions of Figure 1.9: Slope field and some solutions of x = 0.1 x (8 − x) − 1. x = 0.1 x (8 − x) − 1.6. 0 5 10 15 20 10.0 10.0 7.5 7.5 5.0 5.0 2.5 2.5 0.0 0.0 0 5 10 15 20 Figure 1.10: Slope field and some solutions of x = 0.1 x (8 − x) − 2. 1.6.1 Exercises Exercise 1.6.3: Let x = x2 . a) Draw the phase diagram, find the critical points and mark them stable or unstable. b) Sketch typical solutions of the equation. c) Find lim x(t) for the solution with t→∞ the initial condition x(0) = −1. Exercise 1.6.4: Let x = sin x. a) Draw the phase diagram for −4π ≤ x ≤ 4π. On this interval mark the critical points stable or unstable. b) Sketch typical solutions of the equation. c) Find limt→∞ x(t) for the solution with the initial condition x(0) = 1. Exercise 1.6.5: Suppose f (x) is positive for 0 x 1, it is zero when x = 0 and x = 1, and it is negative for all other x. a) Draw the phase diagram for x = f (x), find the critical points and mark
- 41. 1.6. AUTONOMOUS EQUATIONS 41 them stable or unstable. b) Sketch typical solutions of the equation. c) Find lim x(t) for the solution t→∞ with the initial condition x(0) = 0.5. Exercise 1.6.6: Start with the logistic equation dx = kx(M − x). Suppose that we modify our dt harvesting. That is we will only harvest an amount proportional to current population. In other words we harvest hx per unit of time for some h 0 (Similar to earlier example with h replaced with hx). a) Construct the differential equation. b) Show that if kM h, then the equation is still logistic. c) What happens when kM h? Exercise 1.6.101: Let x = (x − 1)(x − 2)x2 . a) Sketch the phase diagram and find critical points. b) Classify the critical points. c) If x(0) = 0.5 then find lim x(t). t→∞ Exercise 1.6.102: Let x = e−x . a) Find and classify all critical points. b) Find lim x(t) given any t→∞ initial condition. Exercise 1.6.103: Assume that a population of fish in a lake satisfies dx = kx(M − x). Now suppose dt that fish are continually added at A fish per unit of time. a) Find the differential equation for x. b) What is the new limiting population?
- 42. 42 CHAPTER 1. FIRST ORDER ODES 1.7 Numerical methods: Euler’s method Note: 1 lecture, §2.4 in [EP], §8.1 in [BD] At this point it may be good to first try the Lab II and/or Project II from the IODE website: http://www.math.uiuc.edu/iode/. As we said before, unless f (x, y) is of a special form, it is generally very hard if not impossible to get a nice formula for the solution of the problem y = f (x, y), y(x0 ) = y0 . What if we want to find the value of the solution at some particular x? Or perhaps we want to produce a graph of the solution to inspect the behavior. In this section we will learn about the basics of numerical approximation of solutions. The simplest method for approximating a solution is Euler’s method∗ . It works as follows: We take x0 and compute the slope k = f (x0 , y0 ). The slope is the change in y per unit change in x. We follow the line for an interval of length h on the x axis. Hence if y = y0 at x0 , then we will say that y1 (the approximate value of y at x1 = x0 + h) will be y1 = y0 + hk. Rinse, repeat! That is, compute x2 and y2 using x1 and y1 . For an example of the first two steps of the method see Figure 1.11. -1 0 1 2 3 -1 0 1 2 3 3.0 3.0 3.0 3.0 2.5 2.5 2.5 2.5 2.0 2.0 2.0 2.0 1.5 1.5 1.5 1.5 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -1 0 1 2 3 -1 0 1 2 3 y2 Figure 1.11: First two steps of Euler’s method with h = 1 for the equation y = 3 with initial conditions y(0) = 1. More abstractly, for any i = 1, 2, 3, . . ., we compute xi+1 = xi + h, yi+1 = yi + h f (xi , yi ). The line segments we get are an approximate graph of the solution. Generally it is not exactly the solution. See Figure 1.12 on the next page for the plot of the real solution and the approximation. ∗ Named after the Swiss mathematician Leonhard Paul Euler (1707 – 1783). Do note the correct pronunciation of the name sounds more like “oiler.”
- 43. 1.7. NUMERICAL METHODS: EULER’S METHOD 43 -1 0 1 2 3 3.0 3.0 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 -1 0 1 2 3 y2 Figure 1.12: Two steps of Euler’s method (step size 1) and the exact solution for the equation y = 3 with initial conditions y(0) = 1. Let us see what happens with the equation y = y2/3, y(0) = 1. Let us try to approximate y(2) using Euler’s method. In Figures 1.11 and 1.12 we have graphically approximated y(2) with step size 1. With step size 1 we have y(2) ≈ 1.926. The real answer is 3. So we are approximately 1.074 off. Let us halve the step size. Computing y4 with h = 0.5, we find that y(2) ≈ 2.209, so an error of about 0.791. Table 1.1 on the following page gives the values computed for various parameters. Exercise 1.7.1: Solve this equation exactly and show that y(2) = 3. The difference between the actual solution and the approximate solution we will call the error. We will usually talk about just the size of the error and we do not care much about its sign. The main point is, that we usually do not know the real solution, so we only have a vague understanding of the error. If we knew the error exactly . . . what is the point of doing the approximation? We notice that except for the first few times, every time we halved the interval the error approximately halved. This halving of the error is a general feature of Euler’s method as it is a first order method. In the IODE Project II you are asked to implement a second order method. A second order method reduces the error to approximately one quarter every time we halve the interval (second order as 1/4 = 1/2 × 1/2). To get the error to be within 0.1 of the answer we had to already do 64 steps. To get it to within 0.01 we would have to halve another three or four times, meaning doing 512 to 1024 steps. That is quite a bit to do by hand. The improved Euler method from IODE Project II should quarter the error every time we halve the interval, so we would have to approximately do half as many “halvings” to get the same error. This reduction can be a big deal. With 10 halvings (starting at h = 1) we have 1024 steps, whereas with 5 halvings we only have to do 32 steps, assuming that the error was comparable to start with. A computer may not care about this difference for a problem this simple, but suppose each step would take a second to compute (the function may be substantially more
- 44. 44 CHAPTER 1. FIRST ORDER ODES Error h Approximate y(2) Error Previous error 1 1.92593 1.07407 0.5 2.20861 0.79139 0.73681 0.25 2.47250 0.52751 0.66656 0.125 2.68034 0.31966 0.60599 0.0625 2.82040 0.17960 0.56184 0.03125 2.90412 0.09588 0.53385 0.015625 2.95035 0.04965 0.51779 0.0078125 2.97472 0.02528 0.50913 Table 1.1: Euler’s method approximation of y(2) where of y = y2/3, y(0) = 1. difficult to compute than y2/3). Then the difference is 32 seconds versus about 17 minutes. Note: We are not being altogether fair, a second order method would probably double the time to do each step. Even so, it is 1 minute versus 17 minutes. Next, suppose that we have to repeat such a calculation for different parameters a thousand times. You get the idea. Note that in practice we do not know how large the error is! How do we know what is the right step size? Well, essentially we keep halving the interval, and if we are lucky, we can estimate the error from a few of these calculations and the assumption that the error goes down by a factor of one half each time (if we are using standard Euler). Exercise 1.7.2: In the table above, suppose you do not know the error. Take the approximate values of the function in the last two lines, assume that the error goes down by a factor of 2. Can you estimate the error in the last time from this? Does it (approximately) agree with the table? Now do it for the first two rows. Does this agree with the table? Let us talk a little bit more about the example y = y2/3, y(0) = 1. Suppose that instead of the value y(2) we wish to find y(3). The results of this effort are listed in Table 1.2 on the next page for successive halvings of h. What is going on here? Well, you should solve the equation exactly and you will notice that the solution does not exist at x = 3. In fact, the solution goes to infinity when you approach x = 3. Another case when things can go bad is if the solution oscillates wildly near some point. Such an example is given in IODE Project II. The solution may exist at all points, but even a much better numerical method than Euler would need an insanely small step size to approximate the solution with reasonable precision. And computers might not be able to easily handle such a small step size. In real applications we would not use a simple method such as Euler’s. The simplest method that would probably be used in a real application is the standard Runge-Kutta method (see exercises). That is a fourth order method, meaning that if we halve the interval, the error generally goes down by a factor of 16 (it is fourth order as 1/16 = 1/2 × 1/2 × 1/2 × 1/2).
- 45. 1.7. NUMERICAL METHODS: EULER’S METHOD 45 h Approximate y(3) 1 3.16232 0.5 4.54329 0.25 6.86079 0.125 10.80321 0.0625 17.59893 0.03125 29.46004 0.015625 50.40121 0.0078125 87.75769 Table 1.2: Attempts to use Euler’s to approximate y(3) where of y = y2/3, y(0) = 1. Choosing the right method to use and the right step size can be very tricky. There are several competing factors to consider. • Computational time: Each step takes computer time. Even if the function f is simple to compute, we do it many times over. Large step size means faster computation, but perhaps not the right precision. • Roundoff errors: Computers only compute with a certain number of significant digits. Errors introduced by rounding numbers off during our computations become noticeable when the step size becomes too small relative to the quantities we are working with. So reducing step size may in fact make errors worse. • Stability: Certain equations may be numerically unstable. What may happen is that the numbers never seem to stabilize no matter how many times we halve the interval. We may need a ridiculously small interval size, which may not be practical due to roundoff errors or computational time considerations. Such problems are sometimes called stiff . In the worst case, the numerical computations might be giving us bogus numbers that look like a correct answer. Just because the numbers have stabilized after successive halving, does not mean that we must have the right answer. We have seen just the beginnings of the challenges that appear in real applications. Numerical approximation of solutions to differential equations is an active research area for engineers and mathematicians. For example, the general purpose method used for the ODE solver in Matlab and Octave (as of this writing) is a method that appeared in the literature only in the 1980s.
- 46. 46 CHAPTER 1. FIRST ORDER ODES 1.7.1 Exercises dx Exercise 1.7.3: Consider = (2t − x)2 , x(0) = 2. Use Euler’s method with step size h = 0.5 to dt approximate x(1). dx Exercise 1.7.4: Consider = t − x, x(0) = 1. a) Use Euler’s method with step sizes h = dt 1, 1/2, 1/4, 1/8 to approximate x(1). b) Solve the equation exactly. c) Describe what happens to the errors for each h you used. That is, find the factor by which the error changed each time you halved the interval. Exercise 1.7.5: Approximate the value of e by looking at the initial value problem y = y with y(0) = 1 and approximating y(1) using Euler’s method with a step size of 0.2. Exercise 1.7.6: Example of numerical instability: Take y = −5y, y(0) = 1. We know that the solution should decay to zero as x grows. Using Euler’s method, start with h = 1 and compute y1 , y2 , y3 , y4 to try to approximate y(4). What happened? Now halve the interval. Keep halving the interval and approximating y(4) until the numbers you are getting start to stabilize (that is, until they start going towards zero). Note: You might want to use a calculator. The simplest method used in practice is the Runge-Kutta method. Consider dx = f (x, y), dy y(x0 ) = y0 , and a step size h. Everything is the same as in Euler’s method, except the computation of yi+1 and xi+1 . k1 = f (xi , yi ), k2 = f (xi + h/2, yi + k1 h/2), xi+1 = xi + h, k1 + 2k2 + 2k3 + k4 k3 = f (xi + h/2, yi + k2 h/2), yi+1 = yi + h, 6 k4 = f (xi + h, yi + k3 h). dy Exercise 1.7.7: Consider = yx2 , y(0) = 1. a) Use Runge-Kutta (see above) with step sizes h = 1 dx and h = 1/2 to approximate y(1). b) Use Euler’s method with h = 1 and h = 1/2. c) Solve exactly, find the exact value of y(1), and compare. Exercise 1.7.101: Let x = sin(xt), and x(0) = 1. Approximate x(1) using Euler’s method with step sizes 1, 0.5, 0.25. Use a calculator and compute up to 4 decimal digits. Exercise 1.7.102: Let x = 2t, and x(0) = 0. a) Approximate x(4) using Euler’s method with step sizes 4, 2, and 1. b) Solve exactly, and compute the errors. c) Compute the factor by which the errors changed. Exercise 1.7.103: Let x = xe xt+1 , and x(0) = 0. a) Approximate x(4) using Euler’s method with step sizes 4, 2, and 1. b) Guess an exact solution based on part a) and compute the errors.
- 47. Chapter 2 Higher order linear ODEs 2.1 Second order linear ODEs Note: less than 1 lecture, first part of §3.1 in [EP], parts of §3.1 and §3.2 in [BD] Let us consider the general second order linear differential equation A(x)y + B(x)y + C(x)y = F(x). We usually divide through by A(x) to get y + p(x)y + q(x)y = f (x), (2.1) where p(x) = B(x)/A(x), q(x) = C(x)/A(x), and f (x) = F(x)/A(x). The word linear means that the equation contains no powers nor functions of y, y , and y . In the special case when f (x) = 0 we have a so-called homogeneous equation y + p(x)y + q(x)y = 0. (2.2) We have already seen some second order linear homogeneous equations. y + k2 y = 0 Two solutions are: y1 = cos(kx), y2 = sin(kx). y −k y=0 2 Two solutions are: y1 = e , kx y2 = e−kx . If we know two solutions of a linear homogeneous equation, we know a lot more of them. Theorem 2.1.1 (Superposition). Suppose y1 and y2 are two solutions of the homogeneous equation (2.2). Then y(x) = C1 y1 (x) + C2 y2 (x), also solves (2.2) for arbitrary constants C1 and C2 . 47
- 48. 48 CHAPTER 2. HIGHER ORDER LINEAR ODES That is, we can add solutions together and multiply them by constants to obtain new and different solutions. We call the expression C1 y1 + C2 y2 a linear combination of y1 and y2 . Let us prove this theorem; the proof is very enlightening and illustrates how linear equations work. Proof: Let y = C1 y1 + C2 y2 . Then y + py + qy = (C1 y1 + C2 y2 ) + p(C1 y1 + C2 y2 ) + q(C1 y1 + C2 y2 ) = C1 y1 + C2 y2 + C1 py1 + C2 py2 + C1 qy1 + C2 qy2 = C1 (y1 + py1 + qy1 ) + C2 (y2 + py2 + qy2 ) = C1 · 0 + C2 · 0 = 0. The proof becomes even simpler to state if we use the operator notation. An operator is an object that eats functions and spits out functions (kind of like what a function is, but a function eats numbers and spits out numbers). Define the operator L by Ly = y + py + qy. The differential equation now becomes Ly = 0. The operator (and the equation) L being linear means that L(C1 y1 + C2 y2 ) = C1 Ly1 + C2 Ly2 . The proof above becomes Ly = L(C1 y1 + C2 y2 ) = C1 Ly1 + C2 Ly2 = C1 · 0 + C2 · 0 = 0. Two different solutions to the second equation y − k2 y = 0 are y1 = cosh(kx) and y2 = sinh(kx). Let us remind ourselves of the definition, cosh x = e +e and sinh x = e −e . Therefore, these are x −x x −x 2 2 solutions by superposition as they are linear combinations of the two exponential solutions. The functions sinh and cosh are sometimes more convenient to use than the exponential. Let us review some of their properties. cosh 0 = 1 sinh 0 = 0 d d cosh x = sinh x sinh x = cosh x dx dx cosh2 x − sinh2 x = 1 Exercise 2.1.1: Derive these properties using the definitions of sinh and cosh in terms of exponen- tials. Linear equations have nice and simple answers to the existence and uniqueness question. Theorem 2.1.2 (Existence and uniqueness). Suppose p, q, f are continuous functions on some interval I, a is a number in I, and a, b0 , b1 are constants. The equation y + p(x)y + q(x)y = f (x), has exactly one solution y(x) defined on the same interval I satisfying the initial conditions y(a) = b0 , y (a) = b1 .
- 49. 2.1. SECOND ORDER LINEAR ODES 49 For example, the equation y + k2 y = 0 with y(0) = b0 and y (0) = b1 has the solution b1 y(x) = b0 cos(kx) + sin(kx). k The equation y − k2 y = 0 with y(0) = b0 and y (0) = b1 has the solution b1 y(x) = b0 cosh(kx) + sinh(kx). k Using cosh and sinh in this solution allows us to solve for the initial conditions in a cleaner way than if we have used the exponentials. The initial conditions for a second order ODE consist of two equations. Common sense tells us that if we have two arbitrary constants and two equations, then we should be able to solve for the constants and find a solution to the differential equation satisfying the initial conditions. Question: Suppose we find two different solutions y1 and y2 to the homogeneous equation (2.2). Can every solution be written (using superposition) in the form y = C1 y1 + C2 y2 ? Answer is affirmative! Provided that y1 and y2 are different enough in the following sense. We will say y1 and y2 are linearly independent if one is not a constant multiple of the other. Theorem 2.1.3. Let p, q be continuous functions. Let y1 and y2 be two linearly independent solutions to the homogeneous equation (2.2). Then every other solution is of the form y = C1 y1 + C2 y2 . That is, y = C1 y1 + C2 y2 is the general solution. For example, we found the solutions y1 = sin x and y2 = cos x for the equation y + y = 0. It is not hard to see that sine and cosine are not constant multiples of each other. If sin x = A cos x for some constant A, we let x = 0 and this would imply A = 0. But then sin x = 0 for all x, which is preposterous. So y1 and y2 are linearly independent. Hence y = C1 cos x + C2 sin x is the general solution to y + y = 0. We will study the solution of nonhomogeneous equations in § 2.5. We will first focus on finding general solutions to homogeneous equations. 2.1.1 Exercises Exercise 2.1.2: Show that y = e x and y = e2x are linearly independent. Exercise 2.1.3: Take y + 5y = 10x + 5. Find (guess!) a solution.
- 50. 50 CHAPTER 2. HIGHER ORDER LINEAR ODES Exercise 2.1.4: Prove the superposition principle for nonhomogeneous equations. Suppose that y1 is a solution to Ly1 = f (x) and y2 is a solution to Ly2 = g(x) (same linear operator L). Show that y = y1 + y2 solves Ly = f (x) + g(x). Exercise 2.1.5: For the equation x2 y − xy = 0, find two solutions, show that they are linearly independent and find the general solution. Hint: Try y = xr . Note that equations of the form ax2 y + bxy + cy = 0 are called Euler’s equations or Cauchy- Euler equations. They are solved by trying y = xr and solving for r (we can assume that x ≥ 0 for simplicity). Exercise 2.1.6: Suppose that (b − a)2 − 4ac 0. a) Find a formula for the general solution of ax2 y + bxy + cy = 0. Hint: Try y = xr and find a formula for r. b) What happens when (b − a)2 − 4ac = 0 or (b − a)2 − 4ac 0? We will revisit the case when (b − a)2 − 4ac 0 later. Exercise 2.1.7: Same equation as in Exercise 2.1.6. Suppose (b − a)2 − 4ac = 0. Find a formula for the general solution of ax2 y + bxy + cy = 0. Hint: Try y = xr ln x for the second solution. If you have one solution to a second order linear homogeneous equation you can find another one. This is the reduction of order method. Exercise 2.1.8 (reduction of order): Suppose y1 is a solution to y + p(x)y + q(x)y = 0. Show that e− p(x) dx y2 (x) = y1 (x) 2 dx y1 (x) is also a solution. Note: If you wish to come up with the formula for reduction of order yourself, start by trying y2 (x) = y1 (x)v(x). Then plug y2 into the equation, use the fact that y1 is a solution, substitute w = v , and you have a first order linear equation in w. Solve for w and then for v. When solving for w, make sure to include a constant of integration. Let us solve some famous equations using the method. Exercise 2.1.9 (Chebyshev’s equation of order 1): Take (1 − x2 )y − xy + y = 0. a) Show that y = x is a solution. b) Use reduction of order to find a second linearly independent solution. c) Write down the general solution. Exercise 2.1.10 (Hermite’s equation of order 2): Take y − 2xy + 4y = 0. a) Show that y = 1 − 2x2 is a solution. b) Use reduction of order to find a second linearly independent solution. c) Write down the general solution. Exercise 2.1.101: Are sin(x) and e x linearly independent? Justify. Exercise 2.1.102: Are e x and e x+2 linearly independent? Justify. Exercise 2.1.103: Guess a solution to y + y + y = 5. Exercise 2.1.104: Find the general solution to xy + y = 0. Hint: Notice that it is a first order ODE in y .
- 51. 2.2. CONSTANT COEFFICIENT SECOND ORDER LINEAR ODES 51 2.2 Constant coefficient second order linear ODEs Note: more than 1 lecture, second part of §3.1 in [EP], §3.1 in [BD] Suppose we have the problem y − 6y + 8y = 0, y(0) = −2, y (0) = 6. This is a second order linear homogeneous equation with constant coefficients. Constant coefficients means that the functions in front of y , y , and y are constants, not depending on x. To guess a solution, think of a function that you know stays essentially the same when we differentiate it, so that we can take the function and its derivatives, add some multiples of these together, and end up with zero. Let us try a solution of the form y = erx . Then y = rerx and y = r2 erx . Plug in to get y − 6y + 8y = 0, r e − 6rerx + 8erx = 0, 2 rx r2 − 6r + 8 = 0 (divide through by erx ), (r − 2)(r − 4) = 0. Hence, if r = 2 or r = 4, then erx is a solution. So let y1 = e2x and y2 = e4x . Exercise 2.2.1: Check that y1 and y2 are solutions. The functions e2x and e4x are linearly independent. If they were not linearly independent we could write e4x = Ce2x for some constant C, implying that e2x = C for all x, which is clearly not possible. Hence, we can write the general solution as y = C1 e2x + C2 e4x . We need to solve for C1 and C2 . To apply the initial conditions we first find y = 2C1 e2x + 4C2 e4x . We plug in x = 0 and solve. −2 = y(0) = C1 + C2 , 6 = y (0) = 2C1 + 4C2 . Either apply some matrix algebra, or just solve these by high school math. For example, divide the second equation by 2 to obtain 3 = C1 + 2C2 , and subtract the two equations to get 5 = C2 . Then C1 = −7 as −2 = C1 + 5. Hence, the solution we are looking for is y = −7e2x + 5e4x . Let us generalize this example into a method. Suppose that we have an equation ay + by + cy = 0, (2.3)
- 52. 52 CHAPTER 2. HIGHER ORDER LINEAR ODES where a, b, c are constants. Try the solution y = erx to obtain ar2 erx + brerx + cerx = 0, ar2 + br + c = 0. The equation ar2 + br + c = 0 is called the characteristic equation of the ODE. Solve for the r by using the quadratic formula. √ −b ± b2 − 4ac r1 , r2 = . 2a Therefore, we have er1 x and er2 x as solutions. There is still a difficulty if r1 = r2 , but it is not hard to overcome. Theorem 2.2.1. Suppose that r1 and r2 are the roots of the characteristic equation. (i) If r1 and r2 are distinct and real (when b2 − 4ac 0), then (2.3) has the general solution y = C1 er1 x + C2 er2 x . (ii) If r1 = r2 (happens when b2 − 4ac = 0), then (2.3) has the general solution y = (C1 + C2 x) er1 x . For another example of the first case, take the equation y − k2 y = 0. Here the characteristic equation is r2 − k2 = 0 or (r − k)(r + k) = 0. Consequently, e−kx and ekx are the two linearly independent solutions. Example 2.2.1: Find the general solution of y − 8y + 16y = 0. The characteristic equation is r2 − 8r + 16 = (r − 4)2 = 0. The equation has a double root r1 = r2 = 4. The general solution is, therefore, y = (C1 + C2 x) e4x = C1 e4x + C2 xe4x . Exercise 2.2.2: Check that e4x and xe4x are linearly independent. That e4x solves the equation is clear. If xe4x solves the equation, then we know we are done. Let us compute y = e4x + 4xe4x and y = 8e4x + 16xe4x . Plug in y − 8y + 16y = 8e4x + 16xe4x − 8(e4x + 4xe4x ) + 16xe4x = 0. We should note that in practice, doubled root rarely happens. If coefficients are picked truly randomly we are very unlikely to get a doubled root. Let us give a short proof for why the solution xerx works when the root is doubled. This case r x r x is really a limiting case of when the two roots are distinct and very close. Note that e 2 2 −e11 is a r −r solution when the roots are distinct. When we take the limit as r1 goes to r2 , we are really taking the derivative of erx using r as the variable. Therefore, the limit is xerx , and hence this is a solution in the doubled root case.
- 53. 2.2. CONSTANT COEFFICIENT SECOND ORDER LINEAR ODES 53 2.2.1 Complex numbers and Euler’s formula It may happen that a polynomial has some complex roots. For example, the equation r2 + 1 = 0 has no real roots, but it does have two complex roots. Here we review some properties of complex numbers. Complex numbers may seem a strange concept, especially because of the terminology. There is nothing imaginary or really complicated about complex numbers. A complex number is simply a pair of real numbers, (a, b). We can think of a complex number as a point in the plane. We add complex numbers in the straightforward way, (a, b) + (c, d) = (a + c, b + d). We define multiplication by def (a, b) × (c, d) = (ac − bd, ad + bc). It turns out that with this multiplication rule, all the standard properties of arithmetic hold. Further, and most importantly (0, 1) × (0, 1) = (−1, 0). Generally we just write (a, b) as a + ib, and we treat i as if it were an unknown. We do arithmetic with complex numbers just as we would with polynomials. The property we just mentioned becomes i2 = −1. So whenever we see i2 , we replace it by −1. The numbers i and −i are the two roots of r2 + 1 = 0. Note that engineers often use the letter j instead of i for the square root of −1. We will use the mathematicians’ convention and use i. Exercise 2.2.3: Make sure you understand (that you can justify) the following identities: • i2 = −1, i3 = −i, i4 = 1, 1 • = −i, i • (3 − 7i)(−2 − 9i) = · · · = −69 − 13i, • (3 − 2i)(3 + 2i) = 32 − (2i)2 = 32 + 22 = 13, • 1 3−2i = 1 3+2i 3−2i 3+2i = 3+2i 13 = 3 13 + 2 13 i. We can also define the exponential ea+ib of a complex number. We do this by writing down the Taylor series and plugging in the complex number. Because most properties of the exponential can be proved by looking at the Taylor series, these properties still hold for the complex exponential. For example the very important property: e x+y = e x ey . This means that ea+ib = ea eib . Hence if we can compute eib , we can compute ea+ib . For eib we use the so-called Euler’s formula. Theorem 2.2.2 (Euler’s formula). eiθ = cos θ + i sin θ and e−iθ = cos θ − i sin θ.
- 54. 54 CHAPTER 2. HIGHER ORDER LINEAR ODES Exercise 2.2.4: Using Euler’s formula, check the identities: eiθ + e−iθ eiθ − e−iθ cos θ = and sin θ = . 2 2i 2 Exercise 2.2.5: Double angle identities: Start with ei(2θ) = eiθ . Use Euler on each side and deduce: cos(2θ) = cos2 θ − sin2 θ and sin(2θ) = 2 sin θ cos θ. For a complex number a + ib we call a the real part and b the imaginary part of the number. Often the following notation is used, Re(a + ib) = a and Im(a + ib) = b. 2.2.2 Complex roots Suppose that the equation ay + by + cy = 0 has the characteristic equation ar2 + br + c = 0 that √ b2 has complex roots. By the quadratic formula, the roots are −b± 2a −4ac . These roots are complex if b2 − 4ac 0. In this case the roots are √ −b 4ac − b2 r1 , r2 = ±i . 2a 2a As you can see, we always get a pair of roots of the form α ± iβ. In this case we can still write the solution as y = C1 e(α+iβ)x + C2 e(α−iβ)x . However, the exponential is now complex valued. We would need to allow C1 and C2 to be complex numbers to obtain a real-valued solution (which is what we are after). While there is nothing particularly wrong with this approach, it can make calculations harder and it is generally preferred to find two real-valued solutions. Here we can use Euler’s formula. Let y1 = e(α+iβ)x and y2 = e(α−iβ)x . Then note that y1 = eαx cos(βx) + ieαx sin(βx), y2 = eαx cos(βx) − ieαx sin(βx). Linear combinations of solutions are also solutions. Hence, y1 + y2 y3 = = eαx cos(βx), 2 y1 − y2 y4 = = eαx sin(βx), 2i are also solutions. Furthermore, they are real-valued. It is not hard to see that they are linearly independent (not multiples of each other). Therefore, we have the following theorem.
- 55. 2.2. CONSTANT COEFFICIENT SECOND ORDER LINEAR ODES 55 Theorem 2.2.3. Take the equation ay + by + cy = 0. If the characteristic equation has the roots α ± iβ (when b2 − 4ac 0), then the general solution is y = C1 eαx cos(βx) + C2 eαx sin(βx). Example 2.2.2: Find the general solution of y + k2 y = 0, for a constant k 0. The characteristic equation is r2 + k2 = 0. Therefore, the roots are r = ±ik and by the theorem we have the general solution y = C1 cos(kx) + C2 sin(kx). Example 2.2.3: Find the solution of y − 6y + 13y = 0, y(0) = 0, y (0) = 10. The characteristic equation is r2 − 6r + 13 = 0. By completing the square we get (r − 3)2 + 22 = 0 and hence the roots are r = 3 ± 2i. By the theorem we have the general solution y = C1 e3x cos(2x) + C2 e3x sin(2x). To find the solution satisfying the initial conditions, we first plug in zero to get 0 = y(0) = C1 e0 cos 0 + C2 e0 sin 0 = C1 . Hence C1 = 0 and y = C2 e3x sin(2x). We differentiate y = 3C2 e3x sin(2x) + 2C2 e3x cos(2x). We again plug in the initial condition and obtain 10 = y (0) = 2C2 , or C2 = 5. Hence the solution we are seeking is y = 5e3x sin(2x). 2.2.3 Exercises Exercise 2.2.6: Find the general solution of 2y + 2y − 4y = 0. Exercise 2.2.7: Find the general solution of y + 9y − 10y = 0. Exercise 2.2.8: Solve y − 8y + 16y = 0 for y(0) = 2, y (0) = 0. Exercise 2.2.9: Solve y + 9y = 0 for y(0) = 1, y (0) = 1. Exercise 2.2.10: Find the general solution of 2y + 50y = 0. Exercise 2.2.11: Find the general solution of y + 6y + 13y = 0.
- 56. 56 CHAPTER 2. HIGHER ORDER LINEAR ODES Exercise 2.2.12: Find the general solution of y = 0 using the methods of this section. Exercise 2.2.13: The method of this section applies to equations of other orders than two. We will see higher orders later. Try to solve the first order equation 2y + 3y = 0 using the methods of this section. Exercise 2.2.14: Let us revisit Euler’s equations of Exercise 2.1.6 on page 50. Suppose now that (b − a)2 − 4ac 0. Find a formula for the general solution of ax2 y + bxy + cy = 0. Hint: Note that xr = er ln x . Exercise 2.2.101: Find the general solution to y + 4y + 2y = 0. Exercise 2.2.102: Find the general solution to y − 6y + 9y = 0. Exercise 2.2.103: Find the solution to 2y + y + y = 0, y(0) = 1, y (0) = −2. Exercise 2.2.104: Find the solution to 2y + y − 3y = 0, y(0) = a, y (0) = b. Exercise 2.2.105: Find the solution to z (t) = −2z (t) − 2z(t), z(0) = 2, z (0) = −2.
- 57. 2.3. HIGHER ORDER LINEAR ODES 57 2.3 Higher order linear ODEs Note: somewhat more than 1 lecture, §3.2 and §3.3 in [EP], §4.1 and §4.2 in [BD] After reading this lecture, it may be good to try Project III from the IODE website: http: //www.math.uiuc.edu/iode/. Equations that appear in applications tend to be second order. Higher order equations do appear from time to time, but it is a general assumption of modern physics that the world is “second order.” The basic results about linear ODEs of higher order are essentially the same as for second order equations, with 2 replaced by n. The important concept of linear independence is somewhat more complicated when more than two functions are involved. For higher order constant coefficient ODEs, the methods are also somewhat harder to apply, but we will not dwell on these complications. We can always use the methods for systems of linear equations from chapter 3 to solve higher order constant coefficient equations. So let us start with a general homogeneous linear equation y(n) + pn−1 (x)y(n−1) + · · · + p1 (x)y + p0 (x)y = 0. (2.4) Theorem 2.3.1 (Superposition). Suppose y1 , y2 , . . . , yn are solutions of the homogeneous equation (2.4). Then y(x) = C1 y1 (x) + C2 y2 (x) + · · · + Cn yn (x) also solves (2.4) for arbitrary constants C1 , . . . , Cn . In other words, a linear combination of solutions to (2.4) is also a solution to (2.4). We also have the existence and uniqueness theorem for nonhomogeneous linear equations. Theorem 2.3.2 (Existence and uniqueness). Suppose p0 through pn−1 , and f are continuous func- tions on some interval I, a is a number in I, and b0 , b1 , . . . , bn−1 are constants. The equation y(n) + pn−1 (x)y(n−1) + · · · + p1 (x)y + p0 (x)y = f (x) has exactly one solution y(x) defined on the same interval I satisfying the initial conditions y(a) = b0 , y (a) = b1 , ..., y(n−1) (a) = bn−1 . 2.3.1 Linear independence When we had two functions y1 and y2 we said they were linearly independent if one was not the multiple of the other. Same idea holds for n functions. In this case it is easier to state as follows. The functions y1 , y2 , . . . , yn are linearly independent if c1 y1 + c2 y2 + · · · + cn yn = 0 has only the trivial solution c1 = c2 = · · · = cn = 0, where the equation must hold for all x. If we can solve equation with some constants where for example c1 0, then we can solve for y1 as a linear combination of the others. If the functions are not linearly independent, they are linearly dependent.
- 58. 58 CHAPTER 2. HIGHER ORDER LINEAR ODES Example 2.3.1: Show that e x , e2x , e3x are linearly independent. Let us give several ways to show this fact. Many textbooks (including [EP] and [F]) introduce Wronskians, but that is really not necessary here. Let us write down c1 e x + c2 e2x + c3 e3x = 0. We use rules of exponentials and write z = e x . Then we have c1 z + c2 z2 + c3 z3 = 0. The left hand side is a third degree polynomial in z. It can either be identically zero, or it can have at most 3 zeros. Therefore, it is identically zero, c1 = c2 = c3 = 0, and the functions are linearly independent. Let us try another way. As before we write c1 e x + c2 e2x + c3 e3x = 0. This equation has to hold for all x. What we could do is divide through by e3x to get c1 e−2x + c2 e−x + c3 = 0. As the equation is true for all x, let x → ∞. After taking the limit we see that c3 = 0. Hence our equation becomes c1 e x + c2 e2x = 0. Rinse, repeat! How about yet another way. We again write c1 e x + c2 e2x + c3 e3x = 0. We can evaluate the equation and its derivatives at different values of x to obtain equations for c1 , c2 , and c3 . Let us first divide by e x for simplicity. c1 + c2 e x + c3 e2x = 0. We set x = 0 to get the equation c1 + c2 + c3 = 0. Now differentiate both sides c2 e x + 2c3 e2x = 0. We set x = 0 to get c2 + 2c3 = 0. We divide by e x again and differentiate to get 2c3 e x = 0. It is clear that c3 is zero. Then c2 must be zero as c2 = −2c3 , and c1 must be zero because c1 + c2 + c3 = 0. There is no one best way to do it. All of these methods are perfectly valid. Example 2.3.2: On the other hand, the functions e x , e−x , and cosh x are linearly dependent. Simply apply definition of the hyperbolic cosine: e x + e−x cosh x = or 2 cosh x − e x − e−x = 0. 2
- 59. 2.3. HIGHER ORDER LINEAR ODES 59 2.3.2 Constant coefficient higher order ODEs When we have a higher order constant coefficient homogeneous linear equation, the song and dance is exactly the same as it was for second order. We just need to find more solutions. If the equation is nth order we need to find n linearly independent solutions. It is best seen by example. Example 2.3.3: Find the general solution to y − 3y − y + 3y = 0. (2.5) Try: y = erx . We plug in and get r3 erx − 3r2 erx − rerx + 3erx = 0. We divide through by erx . Then r3 − 3r2 − r + 3 = 0. The trick now is to find the roots. There is a formula for the roots of degree 3 and 4 polynomials but it is very complicated. There is no formula for higher degree polynomials. That does not mean that the roots do not exist. There are always n roots for an nth degree polynomial. They may be repeated and they may be complex. Computers are pretty good at finding roots approximately for reasonable size polynomials. A good place to start is to plot the polynomial and check where it is zero. We can also simply try plugging in. We just start plugging in numbers r = −2, −1, 0, 1, 2, . . . and see if we get a hit (we can also try complex numbers). Even if we do not get a hit, we may get an indication of where the root is. For example, we plug r = −2 into our polynomial and get −15; we plug in r = 0 and get 3. That means there is a root between r = −2 and r = 0, because the sign changed. If we find one root, say r1 , then we know (r − r1 ) is a factor of our polynomial. Polynomial long division can then be used. A good strategy is to begin with r = −1, 1, or 0. These are easy to compute. Our polynomial happens to have two such roots, r1 = −1 and r2 = 1. There should be 3 roots and the last root is reasonably easy to find. The constant term in a monic polynomial such as this is the multiple of the negations of all the roots because r3 − 3r2 − r + 3 = (r − r1 )(r − r2 )(r − r3 ). So 3 = (−r1 )(−r2 )(−r3 ) = (1)(−1)(−r3 ) = r3 . You should check that r3 = 3 really is a root. Hence we know that e−x , e x and e3x are solutions to (2.5). They are linearly independent as can easily be checked, and there are 3 of them, which happens to be exactly the number we need. Hence the general solution is y = C1 e−x + C2 e x + C3 e3x . Suppose we were given some initial conditions y(0) = 1, y (0) = 2, and y (0) = 3. Then 1 = y(0) = C1 + C2 + C3 , 2 = y (0) = −C1 + C2 + 3C3 , 3 = y (0) = C1 + C2 + 9C3 .
- 60. 60 CHAPTER 2. HIGHER ORDER LINEAR ODES It is possible to find the solution by high school algebra, but it would be a pain. The sensible way to solve a system of equations such as this is to use matrix algebra, see § 3.2. For now we note that the solution is C1 = −1/4, C2 = 1, and C3 = 1/4. The specific solution to the ODE is −1 −x 1 y=e + e x + e3x . 4 4 Next, suppose that we have real roots, but they are repeated. Let us say we have a root r repeated k times. In the spirit of the second order solution, and for the same reasons, we have the solutions erx , xerx , x2 erx , ..., xk−1 erx . We take a linear combination of these solutions to find the general solution. Example 2.3.4: Solve y(4) − 3y + 3y − y = 0. We note that the characteristic equation is r4 − 3r3 + 3r2 − r = 0. By inspection we note that r4 − 3r3 + 3r2 − r = r(r − 1)3 . Hence the roots given with multiplicity are r = 0, 1, 1, 1. Thus the general solution is y = (C1 + C2 x + C3 x2 ) e x + C4 . terms coming from r = 1 from r = 0 The case of complex roots is similar to second order equations. Complex roots always come in pairs r = α±iβ. Suppose we have two such complex roots, each repeated k times. The corresponding solution is (C0 + C1 x + · · · + Ck−1 xk−1 ) eαx cos(βx) + (D0 + D1 x + · · · + Dk−1 xk−1 ) eαx sin(βx). where C0 , . . . , Ck−1 , D0 , . . . , Dk−1 are arbitrary constants. Example 2.3.5: Solve y(4) − 4y + 8y − 8y + 4y = 0. The characteristic equation is r4 − 4r3 + 8r2 − 8r + 4 = 0, 2 (r2 − 2r + 2) = 0, 2 (r − 1)2 + 1 = 0. Hence the roots are 1 ± i, both with multiplicity 2. Hence the general solution to the ODE is y = (C1 + C2 x) e x cos x + (C3 + C4 x) e x sin x. The way we solved the characteristic equation above is really by guessing or by inspection. It is not so easy in general. We could also have asked a computer or an advanced calculator for the roots.
- 61. 2.3. HIGHER ORDER LINEAR ODES 61 2.3.3 Exercises Exercise 2.3.1: Find the general solution for y − y + y − y = 0. Exercise 2.3.2: Find the general solution for y(4) − 5y + 6y = 0. Exercise 2.3.3: Find the general solution for y + 2y + 2y = 0. Exercise 2.3.4: Suppose the characteristic equation for a differential equation is (r − 1)2 (r − 2)2 = 0. a) Find such a differential equation. b) Find its general solution. Exercise 2.3.5: Suppose that a fourth order equation has a solution y = 2e4x x cos x. a) Find such an equation. b) Find the initial conditions that the given solution satisfies. Exercise 2.3.6: Find the general solution for the equation of Exercise 2.3.5. Exercise 2.3.7: Let f (x) = e x − cos x, g(x) = e x + cos x, and h(x) = cos x. Are f (x), g(x), and h(x) linearly independent? If so, show it, if not, find a linear combination that works. Exercise 2.3.8: Let f (x) = 0, g(x) = cos x, and h(x) = sin x. Are f (x), g(x), and h(x) linearly independent? If so, show it, if not, find a linear combination that works. Exercise 2.3.9: Are x, x2 , and x4 linearly independent? If so, show it, if not, find a linear combina- tion that works. Exercise 2.3.10: Are e x , xe x , and x2 e x linearly independent? If so, show it, if not, find a linear combination that works. Exercise 2.3.101: Find the general solution of y(5) − y(4) = 0 Exercise 2.3.102: Suppose that the characteristic equation of a third order differential equation has roots 3,±2i. a) What is the characteristic equation? b) Find the corresponding differential equation. c) Find the general solution. √ Exercise 2.3.103: Solve 1001y + 3.2y + πy − 4y = 0, y(0) = 0, y (0) = 0, y (0) = 0. Exercise 2.3.104: Are e x , e x+1 , e2x , sin(x) linearly independent? If so, show it, if not find a linear combination that works. Exercise 2.3.105: Are sin(x), x, x sin(x) linearly independent? If so, show it, if not find a linear combination that works.
- 62. 62 CHAPTER 2. HIGHER ORDER LINEAR ODES 2.4 Mechanical vibrations Note: 2 lectures, §3.4 in [EP], §3.7 in [BD] Let us look at some applications of linear second order constant coefficient equations. 2.4.1 Some examples k Our first example is a mass on a spring. Suppose we have F(t) m a mass m 0 (in kilograms) connected by a spring with spring constant k 0 (in newtons per meter) to a fixed wall. There may be some external force F(t) (in newtons) acting on the mass. Finally, damping c there is some friction measured by c ≥ 0 (in newton-seconds per meter) as the mass slides along the floor (or perhaps there is a damper connected). Let x be the displacement of the mass (x = 0 is the rest position), with x growing to the right (away from the wall). The force exerted by the spring is proportional to the compression of the spring by Hooke’s law. Therefore, it is kx in the negative direction. Similarly the amount of force exerted by friction is proportional to the velocity of the mass. By Newton’s second law we know that force equals mass times acceleration and hence mx = F(t) − cx − kx or mx + cx + kx = F(t). This is a linear second order constant coefficient ODE. We set up some terminology about this equation. We say the motion is (i) forced, if F 0 (if F is not identically zero), (ii) unforced or free, if F ≡ 0 (if F is identically zero), (iii) damped, if c 0, and (iv) undamped, if c = 0. This system appears in lots of applications even if it does not at first seem like it. Many real world scenarios can be simplified to a mass on a spring. For example, a bungee jump setup is essentially a mass and spring system (you are the mass). It would be good if someone did the math before you jump off the bridge, right? Let us give two other examples. Here is an example for electrical engineers. Suppose that we have the C pictured RLC circuit. There is a resistor with a resistance of R ohms, an E L inductor with an inductance of L henries, and a capacitor with a capacitance R of C farads. There is also an electric source (such as a battery) giving a voltage of E(t) volts at time t (measured in seconds). Let Q(t) be the charge
- 63. 2.4. MECHANICAL VIBRATIONS 63 in coulombs on the capacitor and I(t) be the current in the circuit. The relation between the two is Q = I. By elementary principles we have that LI + RI + Q/C = E. If we differentiate we get 1 LI (t) + RI (t) + I(t) = E (t). C This is an nonhomogeneous second order constant coefficient linear equation. Further, as L, R, and C are all positive, this system behaves just like the mass and spring system. The position of the mass is replaced by the current. Mass is replaced by the inductance, damping is replaced by resistance and the spring constant is replaced by one over the capacitance. The change in voltage becomes the forcing function. Hence for constant voltage this is an unforced motion. Our next example behaves like a mass and spring system only approxi- mately. Suppose we have a mass m on a pendulum of length L. We wish to find an equation for the angle θ(t). Let g be the force of gravity. Elementary L physics mandates that the equation is of the form θ g θ + sin θ = 0. L This equation can be derived using Newton’s second law; force equals mass times acceleration. The acceleration is Lθ and mass is m. So mLθ has to be equal to the tangential component of the force given by the gravity. This is mg sin θ in the opposite direction. The m curiously cancels from the equation. Now we make our approximation. For small θ we have that approximately sin θ ≈ θ. This can be seen by looking at the graph. In Figure 2.1 we can see that for approximately −0.5 θ 0.5 (in radians) the graphs of sin θ and θ are almost the same. -1.0 -0.5 0.0 0.5 1.0 1.0 1.0 0.5 0.5 0.0 0.0 -0.5 -0.5 -1.0 -1.0 -1.0 -0.5 0.0 0.5 1.0 Figure 2.1: The graphs of sin θ and θ (in radians).
- 64. 64 CHAPTER 2. HIGHER ORDER LINEAR ODES Therefore, when the swings are small, θ is always small and we can model the behavior by the simpler linear equation g θ + θ = 0. L Note that the errors that we get from the approximation build up. So after a very long time, the behavior of the real system might be substantially different from our solution. Also we will see that in a mass-spring system, the amplitude is independent of the period. This is not true for a pendulum. Nevertheless, for reasonably short periods of time and small swings (for example if the pendulum is very long), the approximation is reasonably good. In real world problems it is very often necessary to make these types of simplifications. There- fore, it is good to understand both the mathematics and the physics of the situation to see if the simplification is valid in the context of the questions we are trying to answer. 2.4.2 Free undamped motion In this section we will only consider free or unforced motion, as we cannot yet solve nonhomoge- neous equations. Let us start with undamped motion where c = 0. We have the equation mx + kx = 0. √ If we divide by m and let ω0 = k/m, then we can write the equation as x + ω2 x = 0. 0 The general solution to this equation is x(t) = A cos(ω0 t) + B sin(ω0 t). By a trigonometric identity, we have that for two different constants C and γ, we have A cos(ω0 t) + B sin(ω0 t) = C cos(ω0 t − γ). √ It is not hard to compute that C = A2 + B2 and tan γ = B/A. Therefore, we let C and γ be our arbitrary constants and write x(t) = C cos(ω0 t − γ). Exercise 2.4.1: Justify the above identity and verify the equations for C and γ. Hint: Start with cos(α − β) = cos(α) cos(β) + sin(α) sin(β) and multiply by C. Then think what should α and β be. While it is generally easier to use the first form with A and B to solve for the initial conditions, the second form is much more natural. The constants C and γ have very nice interpretation. We look at the form of the solution x(t) = C cos(ω0 t − γ).
- 65. 2.4. MECHANICAL VIBRATIONS 65 We can see that the amplitude is C, ω0 is the (angular) frequency, and γ is the so-called phase shift. The phase shift just shifts the graph left or right. We call ω0 the natural (angular) frequency. This entire setup is usually called simple harmonic motion. Let us pause to explain the word angular before the word frequency. The units of ω0 are radians per unit time, not cycles per unit time as is the usual measure of frequency. Because we know one cycle is 2π radians, the usual frequency is given by ω0 . It is simply a matter of where we put the 2π constant 2π, and that is a matter of taste. 2π The period of the motion is one over the frequency (in cycles per unit time) and hence ω0 . That is the amount of time it takes to complete one full oscillation. Example 2.4.1: Suppose that m = 2 kg and k = 8 N/m. The whole mass and spring setup is sitting on a truck that was traveling at 1 m/s. The truck crashes and hence stops. The mass was held in place 0.5 meters forward from the rest position. During the crash the mass gets loose. That is, the mass is now moving forward at 1 m/s, while the other end of the spring is held in place. The mass therefore starts oscillating. What is the frequency of the resulting oscillation and what is the amplitude. The units are the mks units (meters-kilograms-seconds). The setup means that the mass was at half a meter in the positive direction during the crash and relative to the wall the spring is mounted to, the mass was moving forward (in the positive direction) at 1 m/s. This gives us the initial conditions. So the equation with initial conditions is 2x + 8x = 0, x(0) = 0.5, x (0) = 1. √ √ We can directly compute ω0 = k/m = 4 = 2. Hence the angular frequency is 2. The usual frequency in Hertz (cycles per second) is 2/2π = 1/π ≈ 0.318. The general solution is x(t) = A cos(2t) + B sin(2t). Letting x(0) = 0.5 means A = 0.5. Then x (t) = √ −2(0.5) sin(2t) + 2B cos(2t). Letting x (0) = 1 we √ √ get B = 0.5. Therefore, the amplitude is C = A2 + B2 = 0.25 + 0.25 = 0.5 ≈ 0.707. The solution is x(t) = 0.5 cos(2t) + 0.5 sin(2t). A plot of x(t) is shown in Figure 2.2 on the following page. In general, for free undamped motion, a solution of the form x(t) = A cos(ω0 t) + B sin(ω0 t), corresponds to the initial conditions x(0) = A and x (0) = ω0 B. Therefore, it is easy to figure out A and B from the initial conditions. The amplitude and the phase shift can then be computed from A and B. In the example, we have already found the amplitude C. Let us compute the phase shift. We know that tan γ = B/A = 1. We take the arctangent of 1 and get approximately 0.785. We still
- 66. 66 CHAPTER 2. HIGHER ORDER LINEAR ODES 0.0 2.5 5.0 7.5 10.0 1.0 1.0 0.5 0.5 0.0 0.0 -0.5 -0.5 -1.0 -1.0 0.0 2.5 5.0 7.5 10.0 Figure 2.2: Simple undamped oscillation. need to check if this γ is in the correct quadrant (and add π to γ if it is not). Since both A and B are positive, then γ should be in the first quadrant, and 0.785 radians really is in the first quadrant. Note: Many calculators and computer software do not only have the atan function for arctangent, but also what is sometimes called atan2. This function takes two arguments, B and A, and returns a γ in the correct quadrant for you. 2.4.3 Free damped motion Let us now focus on damped motion. Let us rewrite the equation mx + cx + kx = 0, as x + 2px + ω2 x = 0, 0 where k c ω0 = , p= . m 2m The characteristic equation is r2 + 2pr + ω2 = 0. 0 Using the quadratic formula we get that the roots are r = −p ± p2 − ω2 . 0 The form of the solution depends on whether we get complex or real roots. We get real roots if and only if the following number is nonnegative: c 2 k c2 − 4km p2 − ω2 = 0 − = . 2m m 4m2
- 67. 2.4. MECHANICAL VIBRATIONS 67 The sign of p2 − ω2 is the same as the sign of c2 − 4km. Thus we get real roots if and only if c2 − 4km 0 is nonnegative, or in other words if c2 ≥ 4km. Overdamping When c2 −4km 0, we say the system is overdamped. In this case, there are two distinct real roots r1 and r2 . Notice that both roots are negative. As p2 − ω2 is always less than p, then −p ± 0 p2 − ω2 0 is negative. The solution is 0 25 50 75 100 1.5 1.5 x(t) = C1 er1 t + C2 er2 t . Since r1 , r2 are negative, x(t) → 0 as t → ∞. 1.0 1.0 Thus the mass will tend towards the rest position as time goes to infinity. For a few sample plots for different initial conditions, see Figure 2.3. 0.5 0.5 Do note that no oscillation happens. In fact, the graph will cross the x axis at most once. To see why, we try to solve 0 = C1 er1 t +C2 er2 t . Therefore, 0.0 0.0 C1 er1 t = −C2 er2 t and using laws of exponents we obtain 0 25 50 75 100 −C1 = e(r2 −r1 )t . Figure 2.3: Overdamped motion for several dif- C2 ferent initial conditions. This equation has at most one solution t ≥ 0. For some initial conditions the graph will never cross the x axis, as is evident from the sample graphs. Example 2.4.2: Suppose the mass is released from rest. That is x(0) = x0 and x (0) = 0. Then x0 x(t) = r1 er2 t − r2 er1 t . r1 − r2 It is not hard to see that this satisfies the initial conditions. Critical damping When c2 − 4km = 0, we say the system is critically damped. In this case, there is one root of multiplicity 2 and this root is −p. Therefore, our solution is x(t) = C1 e−pt + C2 te−pt . The behavior of a critically damped system is very similar to an overdamped system. After all a critically damped system is in some sense a limit of overdamped systems. Since these equations are really only an approximation to the real world, in reality we are never critically damped, it is a place we can only reach in theory. We are always a little bit underdamped or a little bit overdamped. It is better not to dwell on critical damping.
- 68. 68 CHAPTER 2. HIGHER ORDER LINEAR ODES Underdamping When c2 − 4km 0, we say the system is 1.0 0 5 10 15 20 25 30 1.0 underdamped. In this case, the roots are complex. r = −p ± p2 − ω2 0.5 0.5 0 √ = −p ± −1 ω2 − p2 0 0.0 0.0 = −p ± iω1 , -0.5 -0.5 where ω1 = ω2 − p2 . Our solution is 0 x(t) = e−pt A cos(ω1 t) + B sin(ω1 t) , -1.0 -1.0 0 5 10 15 20 25 30 or Figure 2.4: Underdamped motion with the en- x(t) = Ce−pt cos(ω1 t − γ). velope curves shown. An example plot is given in Figure 2.4. Note that we still have that x(t) → 0 as t → ∞. In the figure we also show the envelope curves Ce−pt and −Ce−pt . The solution is the oscillating line between the two envelope curves. The envelope curves give the maximum amplitude of the oscillation at any given point in time. For example if you are bungee jumping, you are really interested in computing the envelope curve so that you do not hit the concrete with your head. The phase shift γ just shifts the graph left or right but within the envelope curves (the envelope curves do not change if γ changes). Finally note that the angular pseudo-frequency (we do not call it a frequency since the solution is not really a periodic function) ω1 becomes smaller when the damping c (and hence p) becomes larger. This makes sense. When we change the damping just a little bit, we do not expect the behavior of the solution to change dramatically. If we keep making c larger, then at some point the solution should start looking like the solution for critical damping or overdamping, where no oscillation happens. So if c2 approaches 4km, we want ω1 to approach 0. On the other hand when c becomes smaller, ω1 approaches ω0 (ω1 is always smaller than ω0 ), and the solution looks more and more like the steady periodic motion of the undamped case. The envelope curves become flatter and flatter as c (and hence p) goes to 0. 2.4.4 Exercises Exercise 2.4.2: Consider a mass and spring system with a mass m = 2, spring constant k = 3, and damping constant c = 1. a) Set up and find the general solution of the system. b) Is the system underdamped, overdamped or critically damped? c) If the system is not critically damped, find a c that makes the system critically damped.
- 69. 2.4. MECHANICAL VIBRATIONS 69 Exercise 2.4.3: Do Exercise 2.4.2 for m = 3, k = 12, and c = 12. Exercise 2.4.4: Using the mks units (meters-kilograms-seconds), suppose you have a spring with spring constant 4 N/m. You want to use it to weigh items. Assume no friction. You place the mass on the spring and put it in motion. a) You count and find that the frequency is 0.8 Hz (cycles per second). What is the mass? b) Find a formula for the mass m given the frequency ω in Hz. Exercise 2.4.5: Suppose we add possible friction to Exercise 2.4.4. Further, suppose you do not know the spring constant, but you have two reference weights 1 kg and 2 kg to calibrate your setup. You put each in motion on your spring and measure the frequency. For the 1 kg weight you measured 1.1 Hz, for the 2 kg weight you measured 0.8 Hz. a) Find k (spring constant) and c (damping constant). b) Find a formula for the mass in terms of the frequency in Hz. Note that there may be more than one possible mass for a given frequency. c) For an unknown object you measured 0.2 Hz, what is the mass of the object? Suppose that you know that the mass of the unknown object is more than a kilogram. Exercise 2.4.6: Suppose you wish to measure the friction a mass of 0.1 kg experiences as it slides along a floor (you wish to find c). You have a spring with spring constant k = 5 N/m. You take the spring, you attach it to the mass and fix it to a wall. Then you pull on the spring and let the mass go. You find that the mass oscillates with frequency 1 Hz. What is the friction? Exercise 2.4.101: A mass of 2 kilograms is on a spring with spring constant k newtons per meter with no damping. Suppose the system is at rest and at time t = 0 the mass is kicked and starts traveling at 2 meters per second. How large does k have to be to so that the mass does not go further than 3 meters from the rest position? Exercise 2.4.102: Suppose we have an RLC circuit with a resistor of 100 miliohms (0.1 ohms), inductor of inductance of 50 millihenries (0.05 henries), and a capacitor of 5 farads, with constant voltage. a) Set up the ODE equation for the current I. b) Find the general solution. c) Solve for I(0) = 10 and I (0) = 0. Exercise 2.4.103: A 5000 kg railcar hits a bumper (a spring) at 1 m/s, and the spring compresses by 0.1 m. Assume no damping. a) Find k. b) Find out how far does the spring compress when a 10000 kg railcar hits the spring at the same speed. c) If the spring would break if it compresses further than 0.3 m, what is the maximum mass of a railcar that can hit it at 1 m/s? d) What is the maximum mass of a railcar that can hit the spring without breaking at 2 m/s?
- 70. 70 CHAPTER 2. HIGHER ORDER LINEAR ODES 2.5 Nonhomogeneous equations Note: 2 lectures, §3.5 in [EP], §3.5 and §3.6 in [BD] 2.5.1 Solving nonhomogeneous equations We have solved linear constant coefficient homogeneous equations. What about nonhomogeneous linear ODEs? For example, the equations for forced mechanical vibrations. That is, suppose we have an equation such as y + 5y + 6y = 2x + 1. (2.6) We will write Ly = 2x + 1 when the exact form of the operator is not important. We solve (2.6) in the following manner. First, we find the general solution yc to the associated homogeneous equation y + 5y + 6y = 0. (2.7) We call yc the complementary solution. Next, we find a single particular solution y p to (2.6) in some way. Then y = yc + y p is the general solution to (2.6). We have Lyc = 0 and Ly p = 2x + 1. As L is a linear operator we verify that y is a solution, Ly = L(yc + y p ) = Lyc + Ly p = 0 + (2x + 1). Let us see why we obtain the general solution. Let y p and y p be two different particular solutions to (2.6). Write the difference as w = y p − y p . ˜ ˜ Then plug w into the left hand side of the equation to get w + 5w + 6w = (y p + 5y p + 6y p ) − (˜ p + 5˜ p + 6˜ p ) = (2x + 1) − (2x + 1) = 0. y y y Using the operator notation the calculation becomes simpler. As L is a linear operator we write Lw = L(y p − y p ) = Ly p − L˜ p = (2x + 1) − (2x + 1) = 0. ˜ y So w = y p − y p is a solution to (2.7), that is Lw = 0. Any two solutions of (2.6) differ by a solution ˜ to the homogeneous equation (2.7). The solution y = yc + y p includes all solutions to (2.6), since yc is the general solution to the associated homogeneous equation. Theorem 2.5.1. Let Ly = f (x) be a linear ODE (not necessarily constant coefficient). Let yc be the complementary solution (the general solution to the associated homogeneous equation Ly = 0) and let y p be any particular solution to Ly = f (x). Then the general solution to Ly = f (x) is y = yc + y p . The moral of the story is that we can find the particular solution in any old way. If we find a different particular solution (by a different method, or simply by guessing), then we still get the same general solution. The formula may look different, and the constants we will have to choose to satisfy the initial conditions may be different, but it is the same solution.
- 71. 2.5. NONHOMOGENEOUS EQUATIONS 71 2.5.2 Undetermined coefficients The trick is to somehow, in a smart way, guess one particular solution to (2.6). Note that 2x + 1 is a polynomial, and the left hand side of the equation will be a polynomial if we let y be a polynomial of the same degree. Let us try y p = Ax + B. We plug in to obtain y p + 5y p + 6y p = (Ax + B) + 5(Ax + B) + 6(Ax + B) = 0 + 5A + 6Ax + 6B = 6Ax + (5A + 6B). So 6Ax + (5A + 6B) = 2x + 1. Therefore, A = 1/3 and B = −1/9. That means y p = 1 3 x− 1 9 = 3x−1 9 . Solving the complementary problem (exercise!) we get yc = C1 e−2x + C2 e−3x . Hence the general solution to (2.6) is 3x − 1 y = C1 e−2x + C2 e−3x + . 9 Now suppose we are further given some initial conditions. For example, y(0) = 0 and y (0) = 1/3. First find y = −2C1 e−2x − 3C2 e−3x + 1/3. Then 1 1 1 0 = y(0) = C1 + C2 − , = y (0) = −2C1 − 3C2 + . 9 3 3 We solve to get C1 = 1/3 and C2 = −2/9. The particular solution we want is 1 2 3x − 1 3e−2x − 2e−3x + 3x − 1 y(x) = e−2x − e−3x + = . 3 9 9 9 Exercise 2.5.1: Check that y really solves the equation (2.6) and the given initial conditions. Note: A common mistake is to solve for constants using the initial conditions with yc and only add the particular solution y p after that. That will not work. You need to first compute y = yc + y p and only then solve for the constants using the initial conditions. A right hand side consisting of exponentials, sines, and cosines can be handled similarly. For example, y + 2y + 2y = cos(2x). Let us find some y p . We start by guessing the solution includes some multiple of cos(2x). We may have to also add a multiple of sin(2x) to our guess since derivatives of cosine are sines. We try y p = A cos(2x) + B sin(2x).
- 72. 72 CHAPTER 2. HIGHER ORDER LINEAR ODES We plug y p into the equation and we get −4A cos(2x) − 4B sin(2x) − 4A sin(2x) + 4B cos(2x) + 2A cos(2x) + 2B sin(2x) = cos(2x). The left hand side must equal to right hand side. We group terms and we get that −4A + 4B + 2A = 1 and −4B − 4A + 2B = 0. So −2A + 4B = 1 and 2A + B = 0 and hence A = −1/10 and B = 1/5. So − cos(2x) + 2 sin(2x) y p = A cos(2x) + B sin(2x) = . 10 Similarly, if the right hand side contains exponentials we try exponentials. For example, for Ly = e3x , we will try y = Ae3x as our guess and try to solve for A. When the right hand side is a multiple of sines, cosines, exponentials, and polynomials, we can use the product rule for differentiation to come up with a guess. We need to guess a form for y p such that Ly p is of the same form, and has all the terms needed to for the right hand side. For example, Ly = (1 + 3x2 ) e−x cos(πx). For this equation, we will guess y p = (A + Bx + Cx2 ) e−x cos(πx) + (D + Ex + F x2 ) e−x sin(πx). We will plug in and then hopefully get equations that we can solve for A, B, C, D, E, and F. As you can see this can make for a very long and tedious calculation very quickly. C’est la vie! There is one hiccup in all this. It could be that our guess actually solves the associated homogeneous equation. That is, suppose we have y − 9y = e3x . We would love to guess y = Ae3x , but if we plug this into the left hand side of the equation we get y − 9y = 9Ae3x − 9Ae3x = 0 e3x . There is no way we can choose A to make the left hand side be e3x . The trick in this case is to multiply our guess by x to get rid of duplication with the complementary solution. That is first we compute yc (solution to Ly = 0) yc = C1 e−3x + C2 e3x and we note that the e3x term is a duplicate with our desired guess. We modify our guess to y = Axe3x and notice there is no duplication anymore. Let us try. Note that y = Ae3x + 3Axe3x and y = 6Ae3x + 9Axe3x . So y − 9y = 6Ae3x + 9Axe3x − 9Axe3x = 6Ae3x .
- 73. 2.5. NONHOMOGENEOUS EQUATIONS 73 Thus 6Ae3x is supposed to equal e3x . Hence, 6A = 1 and so A = 1/6. We can now write the general solution as 1 y = yc + y p = C1 e−3x + C2 e3x + xe3x . 6 It is possible that multiplying by x does not get rid of all duplication. For example, y − 6y + 9y = e3x . The complementary solution is yc = C1 e3x + C2 xe3x . Guessing y = Axe3x would not get us anywhere. In this case we want to guess y p = Ax2 e3x . Basically, we want to multiply our guess by x until all duplication is gone. But no more! Multiplying too many times will not work. Finally, what if the right hand side has several terms, such as Ly = e2x + cos x. In this case we find u that solves Lu = e2x and v that solves Lv = cos x (that is, do each term separately). Then note that if y = u + v, then Ly = e2x + cos x. This is because L is linear; we have Ly = L(u + v) = Lu + Lv = e2x + cos x. 2.5.3 Variation of parameters The method of undetermined coefficients will work for many basic problems that crop up. But it does not work all the time. It only works when the right hand side of the equation Ly = f (x) has only finitely many linearly independent derivatives, so that we can write a guess that consists of them all. Some equations are a bit tougher. Consider y + y = tan x. Note that each new derivative of tan x looks completely different and cannot be written as a linear combination of the previous derivatives. We get sec2 x, 2 sec2 x tan x, etc. . . . This equation calls for a different method. We present the method of variation of parameters, which will handle any equation of the form Ly = f (x), provided we can solve certain integrals. For simplicity, we restrict ourselves to second order constant coefficient equations, but the method works for higher order equations just as well (the computations become more tedious). The method also works for equations with nonconstant coefficients, provided we can solve the associated homogeneous equation. Perhaps it is best to explain this method by example. Let us try to solve the equation Ly = y + y = tan x. First we find the complementary solution (solution to Lyc = 0). We get yc = C1 y1 + C2 y2 , where y1 = cos x and y2 = sin x. To find a particular solution to the nonhomogeneous equation we try y p = y = u1 y1 + u2 y2 ,
- 74. 74 CHAPTER 2. HIGHER ORDER LINEAR ODES where u1 and u2 are functions and not constants. We are trying to satisfy Ly = tan x. That gives us one condition on the functions u1 and u2 . Compute (note the product rule!) y = (u1 y1 + u2 y2 ) + (u1 y1 + u2 y2 ). We can still impose one more condition at our discretion to simplify computations (we have two unknown functions, so we should be allowed two conditions). We require that (u1 y1 + u2 y2 ) = 0. This makes computing the second derivative easier. y = u1 y1 + u2 y2 , y = (u1 y1 + u2 y2 ) + (u1 y1 + u2 y2 ). Since y1 and y2 are solutions to y + y = 0, we know that y1 = −y1 and y2 = −y2 . (Note: If the equation was instead y + p(x)y + q(x)y = 0 we would have yi = −p(x)yi − q(x)yi .) So y = (u1 y1 + u2 y2 ) − (u1 y1 + u2 y2 ). We have (u1 y1 + u2 y2 ) = y and so y = (u1 y1 + u2 y2 ) − y, and hence y + y = Ly = u1 y1 + u2 y2 . For y to satisfy Ly = f (x) we must have f (x) = u1 y1 + u2 y2 . So what we need to solve are the two equations (conditions) we imposed on u1 and u2 u1 y1 + u2 y2 = 0, u1 y1 + u2 y2 = f (x). We can now solve for u1 and u2 in terms of f (x), y1 and y2 . We will always get these formulas for any Ly = f (x), where Ly = y + p(x)y + q(x)y. There is a general formula for the solution we can just plug into, but it is better to just repeat what we do below. In our case the two equations become u1 cos(x) + u2 sin(x) = 0, −u1 sin(x) + u2 cos(x) = tan(x). Hence u1 cos(x) sin(x) + u2 sin2 (x) = 0, −u1 sin(x) cos(x) + u2 cos2 (x) = tan(x) cos(x) = sin(x).
- 75. 2.5. NONHOMOGENEOUS EQUATIONS 75 And thus u2 sin2 (x) + cos2 (x) = sin(x), u2 = sin(x), − sin2 (x) u1 = = − tan(x) sin(x). cos(x) Now we need to integrate u1 and u2 to get u1 and u2 . 1 sin(x) − 1 u1 = u1 dx = − tan(x) sin(x) dx = ln + sin(x), 2 sin(x) + 1 u2 = u2 dx = sin(x) dx = − cos(x). So our particular solution is 1 sin(x) − 1 y p = u1 y1 + u2 y2 = cos(x) ln + cos(x) sin(x) − cos(x) sin(x) = 2 sin(x) + 1 1 sin(x) − 1 = cos(x) ln . 2 sin(x) + 1 The general solution to y + y = tan x is, therefore, 1 sin(x) − 1 y = C1 cos(x) + C2 sin(x) + cos(x) ln . 2 sin(x) + 1 2.5.4 Exercises Exercise 2.5.2: Find a particular solution of y − y − 6y = e2x . Exercise 2.5.3: Find a particular solution of y − 4y + 4y = e2x . Exercise 2.5.4: Solve the initial value problem y + 9y = cos(3x) + sin(3x) for y(0) = 2, y (0) = 1. Exercise 2.5.5: Setup the form of the particular solution but do not solve for the coefficients for y(4) − 2y + y = e x . Exercise 2.5.6: Setup the form of the particular solution but do not solve for the coefficients for y(4) − 2y + y = e x + x + sin x. Exercise 2.5.7: a) Using variation of parameters find a particular solution of y − 2y + y = e x . b) Find a particular solution using undetermined coefficients. c) Are the two solutions you found the same? What is going on?
- 76. 76 CHAPTER 2. HIGHER ORDER LINEAR ODES Exercise 2.5.8: Find a particular solution of y − 2y + y = sin(x2 ). It is OK to leave the answer as a definite integral. Exercise 2.5.9: For an arbitrary constant c find a particular solution to y − y = ecx . Hint: Make sure to handle every possible real c. Exercise 2.5.101: Find a particular solution to y − y + y = 2 sin(3x) Exercise 2.5.102: a) Find a particular solution to y + 2y = e x + x3 . b) Find the general solution. Exercise 2.5.103: Solve y + 2y + y = x2 , y(0) = 1, y (0) = 2. Exercise 2.5.104: Use variation of parameters to find a particular solution of y − y = 1 e x +e−x . Exercise 2.5.105: For an arbitrary constant c find the general solution to y − 2y = sin(x + c).
- 77. 2.6. FORCED OSCILLATIONS AND RESONANCE 77 2.6 Forced oscillations and resonance Note: 2 lectures, §3.6 in [EP], §3.8 in [BD] Let us return back to the example of a mass on a spring. We k F(t) now examine the case of forced oscillations, which we did not yet m handle. That is, we consider the equation mx + cx + kx = F(t), damping c for some nonzero F(t). The setup is again: m is mass, c is friction, k is the spring constant and F(t) is an external force acting on the mass. What we are interested in is periodic forcing, such as noncentered rotating parts, or perhaps loud sounds, or other sources of periodic force. Once we learn about Fourier series in chapter 4, we will see that we cover all periodic functions by simply considering F(t) = F0 cos(ωt) (or sine instead of cosine, the calculations are essentially the same). 2.6.1 Undamped forced motion and resonance First let us consider undamped (c = 0) motion for simplicity. We have the equation mx + kx = F0 cos(ωt). This equation has the complementary solution (solution to the associated homogeneous equation) xc = C1 cos(ω0 t) + C2 sin(ω0 t), √ where ω0 = k/m is the natural frequency (angular). It is the frequency at which the system “wants to oscillate” without external interference. Let us suppose that ω0 ω. We try the solution x p = A cos(ωt) and solve for A. Note that we need not have sine in our trial solution as on the left hand side we will only get cosines anyway. If you include a sine it is fine; you will find that its coefficient will be zero (I could not find a rhyme). We solve using the method of undetermined coefficients. We find that F0 xp = cos(ωt). m(ω2 0 − ω2 ) We leave it as an exercise to do the algebra required. The general solution is F0 x = C1 cos(ω0 t) + C2 sin(ω0 t) + cos(ωt). m(ω2 − ω2 ) 0
- 78. 78 CHAPTER 2. HIGHER ORDER LINEAR ODES or written another way F0 x = C cos(ω0 t − γ) + cos(ωt). m(ω2 0 − ω2 ) Hence it is a superposition of two cosine waves at different frequencies. Example 2.6.1: Take 0.5x + 8x = 10 cos(πt), x(0) = 0, x (0) = 0. √ Let us compute. First we read off the parameters: ω = π, ω0 = 8/0.5 = 4, F0 = 10, m = 0.5. The general solution is 20 x = C1 cos(4t) + C2 sin(4t) + cos(πt). 16 − π2 Solve for C1 and C2 using the initial conditions. It is easy to see that C1 = 16−π2 and C2 = 0. −20 Hence 20 x= cos(πt) − cos(4t) . 16 − π2 Notice the “beating” behavior in Figure 2.5. 10 0 5 10 15 First use the trigonometric identity 20 10 A−B A+B 2 sin sin = cos B − cos A 5 5 2 2 to get that 0 0 20 4−π 4+π x= 2 sin t sin t . 16 − π2 2 2 -5 -5 Notice that x is a high frequency wave modulated by a low frequency wave. -10 -10 0 5 10 15 20 Now suppose that ω0 = ω. Obviously, we 20 Figure 2.5: Graph of 16−π2 cos(πt) − cos(4t) . cannot try the solution A cos(ωt) and then use the method of undetermined coefficients. We notice that cos(ωt) solves the associated homogeneous equation. Therefore, we need to try x p = At cos(ωt)+ Bt sin(ωt). This time we do need the sine term since the second derivative of t cos(ωt) does contain sines. We write the equation F0 x + ω2 x = cos(ωt). m Plugging x p into the left hand side we get F0 2Bω cos(ωt) − 2Aω sin(ωt) = cos(ωt). m
- 79. 2.6. FORCED OSCILLATIONS AND RESONANCE 79 Hence A = 0 and B = F0 2mω . Our particular solution is F0 2mω t sin(ωt) and our general solution is F0 x = C1 cos(ωt) + C2 sin(ωt) + t sin(ωt). 2mω The important term is the last one (the particular solution we found). We can see that this term grows without bound as t → ∞. In fact it oscillates between 2mω and −F0 t . The first two terms only F0 t 2mω oscillate between ± C1 + C2 , which becomes smaller and smaller in proportion to the oscillations 2 2 of the last term as t gets larger. In Figure 2.6 we see the graph with C1 = C2 = 0, F0 = 2, m = 1, ω = π. By forcing the system in just the right fre- 0 5 10 15 20 quency we produce very wild oscillations. This 5.0 kind of behavior is called resonance or perhaps 5.0 pure resonance. Sometimes resonance is desired. 2.5 For example, remember when as a kid you could 2.5 start swinging by just moving back and forth on 0.0 the swing seat in the “correct frequency”? You 0.0 were trying to achieve resonance. The force of -2.5 each one of your moves was small, but after a -2.5 while it produced large swings. -5.0 On the other hand resonance can be destruc- -5.0 0 5 10 15 20 tive. In an earthquake some buildings collapse while others may be relatively undamaged. This 1 is due to different buildings having different reso- Figure 2.6: Graph of π t sin(πt). nance frequencies. So figuring out the resonance frequency can be very important. A common (but wrong) example of destructive force of resonance is the Tacoma Narrows bridge failure. It turns out there was a different phenomenon at play∗ . 2.6.2 Damped forced motion and practical resonance In real life things are not as simple as they were above. There is, of course, some damping. Our equation becomes mx + cx + kx = F0 cos(ωt), (2.8) for some c 0. We have solved the homogeneous problem before. We let c k p= ω0 = . 2m m ∗ K. Billah and R. Scanlan, Resonance, Tacoma Narrows Bridge Failure, and Undergraduate Physics Textbooks, American Journal of Physics, 59(2), 1991, 118–124, http://www.ketchum.org/billah/Billah-Scanlan.pdf
- 80. 80 CHAPTER 2. HIGHER ORDER LINEAR ODES We replace equation (2.8) with F0 x + 2px + ω2 x = 0 cos(ωt). m The roots of the characteristic equation of the associated homogeneous problem are r1 , r2 = −p ± p2 − ω2 . The form of the general solution of the associated homogeneous equation depends 0 on the sign of p2 − ω0 , or equivalently on the sign of c2 − 4km, as we have seen before. That is, 2 C1 er1 t + C2 er2 t if c2 4km, xc = C1 e + C2 te−pt if c2 = 4km, −pt e C cos(ω t) + C sin(ω t) if c2 4km , −pt 1 1 2 1 where ω1 = ω2 − p2 . In any case, we can see that xc (t) → 0 as t → ∞. Furthermore, there can 0 be no conflicts when trying to solve for the undetermined coefficients by trying x p = A cos(ωt) + B sin(ωt). Let us plug in and solve for A and B. We get (the tedious details are left to reader) F0 (ω2 − ω2 )B − 2ωpA sin(ωt) + (ω2 − ω2 )A + 2ωpB cos(ωt) = 0 0 cos(ωt). m We get that (ω2 − ω2 )F0 A= 0 2 , m(2ωp)2 + m(ω2 − ω2 ) 0 2ωpF0 B= 2 . m(2ωp)2 + m(ω2 − ω2 ) 0 √ We also compute C = A2 + B2 to be F0 C= . 2 m (2ωp) + 2 (ω2 0 − ω2 ) Thus our particular solution is (ω2 − ω2 )F0 2ωpF0 xp = 0 2 cos(ωt) + 2 sin(ωt). m(2ωp) +2 m(ω2 0 − ω2 ) m(2ωp) + m(ω2 − ω2 ) 2 0 Or in the alternative notation we have amplitude C and phase shift γ where (if ω ω0 ) B 2ωp tan γ = = 2 . A ω0 − ω2
- 81. 2.6. FORCED OSCILLATIONS AND RESONANCE 81 Hence we have F0 xp = cos(ωt − γ). 2 m (2ωp)2 + (ω2 − ω2 ) 0 If ω = ω0 we see that A = 0, B = C = 2mωp , and γ = π/2. F0 The exact formula is not as important as the idea. Do not memorize the above formula, you should instead remember the ideas involved. For different forcing function F, you will get a different formula for x p . So there is no point in memorizing this specific formula. You can always recompute it later or look it up if you really need it. For reasons we will explain in a moment, we call xc the transient solution and denote it by xtr . We call the x p we found above the steady periodic solution and denote it by x sp . The general solution to our problem is x = xc + x p = xtr + x sp . We note that xc = xtr goes to zero as t → ∞, as all the terms involve an exponential with a 0 5 10 15 20 negative exponent. Hence for large t, the effect 5.0 5.0 of xtr is negligible and we will essentially only see x sp . Hence the name transient. Notice that 2.5 2.5 x sp involves no arbitrary constants, and the initial conditions will only affect xtr . This means that 0.0 0.0 the effect of the initial conditions will be negli- gible after some period of time. Because of this -2.5 -2.5 behavior, we might as well focus on the steady periodic solution and ignore the transient solu- -5.0 -5.0 tion. See Figure 2.7 for a graph of different initial 0 5 10 15 20 conditions. Notice that the speed at which xtr goes to zero Figure 2.7: Solutions with different initial con- depends on p (and hence c). The bigger p is (the ditions for parameters k = 1, m = 1, F0 = 1, bigger c is), the “faster” xtr becomes negligible. c = 0.7, and ω = 1.1. So the smaller the damping, the longer the “tran- sient region.” This agrees with the observation that when c = 0, the initial conditions affect the behavior for all time (i.e. an infinite “transient region”). Let us describe what we mean by resonance when damping is present. Since there were no conflicts when solving with undetermined coefficient, there is no term that goes to infinity. What we will look at however is the maximum value of the amplitude of the steady periodic solution. Let C be the amplitude of x sp . If we plot C as a function of ω (with all other parameters fixed) we can find its maximum. We call the ω that achieves this maximum the practical resonance frequency. We call the maximal amplitude C(ω) the practical resonance amplitude. Thus when damping is present we
- 82. 82 CHAPTER 2. HIGHER ORDER LINEAR ODES talk of practical resonance rather than pure resonance. A sample plot for three different values of c is given in Figure 2.8. As you can see the practical resonance amplitude grows as damping gets smaller, and any practical resonance can disappear when damping is large. 0.0 0.5 1.0 1.5 2.0 2.5 3.0 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Figure 2.8: Graph of C(ω) showing practical resonance with parameters k = 1, m = 1, F0 = 1. The top line is with c = 0.4, the middle line with c = 0.8, and the bottom line with c = 1.6. To find the maximum we need to find the derivative C (ω). Computation shows −4ω(2p2 + ω2 − ω2 )F0 C (ω) = 0 . 2 3/2 m (2ωp)2 + (ω2 − ω2 ) 0 This is zero either when ω = 0 or when 2p2 + ω2 − ω2 = 0. In other words, C (ω) = 0 when 0 ω= ω2 − 2p2 0 or ω = 0. It can be shown that if ω2 − 2p2 is positive, then ω2 − 2p2 is the practical resonance frequency 0 0 (that is the point where C(ω) is maximal, note that in this case C (ω) 0 for small ω). If ω = 0 is the maximum, then essentially there is no practical resonance since we assume that ω 0 in our system. In this case the amplitude gets larger as the forcing frequency gets smaller. If practical resonance occurs, the frequency is smaller than ω0 . As the damping c (and hence p) becomes smaller, the practical resonance frequency goes to ω0 . So when damping is very small, ω0 is a good estimate of the resonance frequency. This behavior agrees with the observation that when c = 0, then ω0 is the resonance frequency. The behavior is more complicated if the forcing function is not an exact cosine wave, but for example a square wave. It will be good to come back to this section once we have learned about the Fourier series.
- 83. 2.6. FORCED OSCILLATIONS AND RESONANCE 83 2.6.3 Exercises Exercise 2.6.1: Derive a formula for x sp if the equation is mx + cx + kx = F0 sin(ωt). Assume c 0. Exercise 2.6.2: Derive a formula for x sp if the equation is mx +cx +kx = F0 cos(ωt)+F1 cos(3ωt). Assume c 0. Exercise 2.6.3: Take mx + cx + kx = F0 cos(ωt). Fix m 0 and k 0. Now think of the function C(ω). For what values of c (solve in terms of m, k, and F0 ) will there be no practical resonance (that is, for what values of c is there no maximum of C(ω) for ω 0)? Exercise 2.6.4: Take mx + cx + kx = F0 cos(ωt). Fix c 0 and k 0. Now think of the function C(ω). For what values of m (solve in terms of c, k, and F0 ) will there be no practical resonance (that is, for what values of m is there no maximum of C(ω) for ω 0)? Exercise 2.6.5: Suppose a water tower in an earthquake acts as a mass-spring system. Assume that the container on top is full and the water does not move around. The container then acts as a mass and the support acts as the spring, where the induced vibrations are horizontal. Suppose that the container with water has a mass of m = 10, 000 kg. It takes a force of 1000 newtons to displace the container 1 meter. For simplicity assume no friction. When the earthquake hits the water tower is at rest (it is not moving). Suppose that an earthquake induces an external force F(t) = mAω2 cos(ωt). a) What is the natural frequency of the water tower? b) If ω is not the natural frequency, find a formula for the maximal amplitude of the resulting oscillations of the water container (the maximal deviation from the rest position). The motion will be a high frequency wave modulated by a low frequency wave, so simply find the constant in front of the sines. c) Suppose A = 1 and an earthquake with frequency 0.5 cycles per second comes. What is the amplitude of the oscillations? Suppose that if the water tower moves more than 1.5 meter, the tower collapses. Will the tower collapse? Exercise 2.6.101: A mass of 4 kg on a spring with k = 4 and a damping constant c = 1. Suppose that F0 = 2. Using forcing of F0 cos(ωt). Find the ω that causes practical resonance and find the amplitude. Exercise 2.6.102: Derive a formula for x sp for mx + cx + kx = F0 cos(ωt) + A where A is some constant. Assume c 0. Exercise 2.6.103: Suppose there is no damping in a mass and spring system with m = 5, k = 20, and F0 = 5. Suppose that ω is chosen to be precisely the resonance frequency. a) Find ω. b) Find the amplitude of the oscillations at time t = 100.
- 84. 84 CHAPTER 2. HIGHER ORDER LINEAR ODES
- 85. Chapter 3 Systems of ODEs 3.1 Introduction to systems of ODEs Note: 1 lecture, §4.1 in [EP], §7.1 in [BD] Often we do not have just one dependent variable and one equation. And as we will see, we may end up with systems of several equations and several dependent variables even if we start with a single equation. If we have several dependent variables, suppose y1 , y2 , . . . , yn , then we can have a differential equation involving all of them and their derivatives. For example, y1 = f (y1 , y2 , y1 , y2 , x). Usually, when we have two dependent variables we have two equations such as y1 = f1 (y1 , y2 , y1 , y2 , x), y2 = f2 (y1 , y2 , y1 , y2 , x), for some functions f1 and f2 . We call the above a system of differential equations. More precisely, the above is a second order system of ODEs. Example 3.1.1: Sometimes a system is easy to solve by solving for one variable and then for the second variable. Take the first order system y1 = y1 , y2 = y1 − y2 , with initial conditions of the form y1 (0) = 1, y2 (0) = 2. We note that y1 = C1 e x is the general solution of the first equation. We then plug this y1 into the second equation and get the equation y2 = C1 e x − y2 , which is a linear first order equation that is easily solved for y2 . By the method of integrating factor we get C1 2x e x y2 = e + C2 , 2 85
- 86. 86 CHAPTER 3. SYSTEMS OF ODES or y2 = C1 x 2 e + C2 e−x . The general solution to the system is, therefore, y1 = C1 e x , C1 x y2 = e + C2 e−x . 2 We now solve for C1 and C2 given the initial conditions. We substitute x = 0 and find that C1 = 1 and C2 = 3/2. Thus the solution is y1 = e x , and y2 = (1/2)e x + (3/2)e−x . Generally, we will not be so lucky to be able to solve for each variable separately as in the example above, and we will have to solve for all variables at once. k As an example application, let us think of mass and spring m1 m2 systems again. Suppose we have one spring with constant k, but two masses m1 and m2 . We can think of the masses as carts, and we will suppose that they ride along a straight track with no x1 x2 friction. Let x1 be the displacement of the first cart and x2 be the displacement of the second cart. That is, we put the two carts somewhere with no tension on the spring, and we mark the position of the first and second cart and call those the zero positions. Then x1 measures how far the first cart is from its zero position, and x2 measures how far the second cart is from its zero position. The force exerted by the spring on the first cart is k(x2 − x1 ), since x2 − x1 is how far the string is stretched (or compressed) from the rest position. The force exerted on the second cart is the opposite, thus the same thing with a negative sign. Newton’s second law states that force equals mass times acceleration. So the system of equations governing the setup is m1 x1 = k(x2 − x1 ), m2 x2 = −k(x2 − x1 ). In this system we cannot solve for the x1 or x2 variable separately. That we must solve for both x1 and x2 at once is intuitively clear, since where the first cart goes depends exactly on where the second cart goes and vice-versa. Before we talk about how to handle systems, let us note that in some sense we need only consider first order systems. Let us take an nth order differential equation y(n) = F(y(n−1) , . . . , y , y, x). We define new variables u1 , . . . , un and write the system u1 = u2 , u2 = u3 , . . . un−1 = un , un = F(un , un−1 , . . . , u2 , u1 , x).
- 87. 3.1. INTRODUCTION TO SYSTEMS OF ODES 87 We solve this system for u1 , u2 , . . . , un . Once we have solved for the u’s, we can discard u2 through un and let y = u1 . We note that this y solves the original equation. A similar process can be followed for a system of higher order differential equations. For example, a system of k differential equations in k unknowns, all of order n, can be transformed into a first order system of n × k equations and n × k unknowns. Example 3.1.2: Sometimes we can use this idea in reverse as well. Let us take the system x = 2y − x, y = x, where the independent variable is t. We wish to solve for the initial conditions x(0) = 1, y(0) = 0. If we differentiate the second equation we get y = x . We know what x is in terms of x and y, and we know that x = y . y = x = 2y − x = 2y − y . We now have the equation y + y − 2y = 0. We know how to solve this equation and we find that y = C1 e−2t + C2 et . Once we have y we use the equation y = x to get x. x = y = −2C1 e−2t + C2 et . We solve for the initial conditions 1 = x(0) = −2C1 + C2 and 0 = y(0) = C1 + C2 . Hence, C1 = −C2 and 1 = 3C2 . So C1 = −1/3 and C2 = 1/3. Our solution is 2e−2t + et −e−2t + et x= , y= . 3 3 Exercise 3.1.1: Plug in and check that this really is the solution. It is useful to go back and forth between systems and higher order equations for other reasons. For example, the ODE approximation methods are generally only given as solutions for first order systems. It is not very hard to adapt the code for the Euler method for first order equations to handle first order systems. We essentially just treat the dependent variable not as a number but as a vector. In many mathematical computer languages there is almost no distinction in syntax. In fact, this is what IODE was doing when you had it solve a second order equation numerically in the IODE Project III if you have done that project. The above example is what we call a linear first order system, as none of the dependent variables appear in any functions or with any higher powers than one. It is also autonomous as the equations do not depend on the independent variable t. For autonomous systems we can easily draw the so-called direction field or vector field. That is, a plot similar to a slope field, but instead of giving a slope at each point, we give a direction (and a magnitude). The previous example x = 2y − x, y = x says that at the point (x, y) the direction in which we should travel to satisfy the equations should be the direction of the vector (2y − x, x) with the speed equal to the magnitude of this vector. So we draw the vector (2y − x, x) based at the point
- 88. 88 CHAPTER 3. SYSTEMS OF ODES (x, y) and we do this for many points on the xy-plane. We may want to scale down the size of our vectors to fit many of them on the same direction field. See Figure 3.1. We can now draw a path of the solution in the plane. That is, suppose the solution is given by x = f (t), y = g(t), then we can pick an interval of t (say 0 ≤ t ≤ 2 for our example) and plot all the points f (t), g(t) for t in the selected range. The resulting picture is usually called the phase portrait (or phase plane portrait). The particular curve obtained we call the trajectory or solution curve. An example plot is given in Figure 3.2. In this figure the line starts at (1, 0) and travels along the vector field for a distance of 2 units of t. Since we solved this system precisely we can compute x(2) and y(2). We get that x(2) ≈ 2.475 and y(2) ≈ 2.457. This point corresponds to the top right end of the plotted solution curve in the figure. -1 0 1 2 3 -1 0 1 2 3 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -1 0 1 2 3 -1 0 1 2 3 Figure 3.1: The direction field for x = 2y − x, Figure 3.2: The direction field for x = 2y − x, y = x. y = x with the trajectory of the solution starting at (1, 0) for 0 ≤ t ≤ 2. Notice the similarity to the diagrams we drew for autonomous systems in one dimension. But now note how much more complicated things become if we allow just one more dimension. Also note that we can draw phase portraits and trajectories in the xy-plane even if the system is not autonomous. In this case however we cannot draw the direction field, since the field changes as t changes. For each t we would get a different direction field. 3.1.1 Exercises Exercise 3.1.2: Find the general solution of x1 = x2 − x1 + t, x2 = x2 . Exercise 3.1.3: Find the general solution of x1 = 3x1 − x2 + et , x2 = x1 . Exercise 3.1.4: Write ay + by + cy = f (x) as a first order system of ODEs.
- 89. 3.1. INTRODUCTION TO SYSTEMS OF ODES 89 Exercise 3.1.5: Write x + y2 y − x3 = sin(t), y + (x + y )2 − x = 0 as a first order system of ODEs. Exercise 3.1.101: Find the general solution to y1 = 3y1 , y2 = y1 + y2 , y3 = y1 + y3 . Exercise 3.1.102: Solve y = 2x, x = x + y, x(0) = 1, y(0) = 3. Exercise 3.1.103: Write x = x + t as a first order system. Exercise 3.1.104: Write y1 + y1 + y2 = t, y2 + y1 − y2 = t2 as a first order system.
- 90. 90 CHAPTER 3. SYSTEMS OF ODES 3.2 Matrices and linear systems Note: 1 and a half lectures, first part of §5.1 in [EP], §7.2 and §7.3 in [BD] 3.2.1 Matrices and vectors Before we can start talking about linear systems of ODEs, we will need to talk about matrices, so let us review these briefly. A matrix is an m × n array of numbers (m rows and n columns). For example, we denote a 3 × 5 matrix as follows a11 a12 a13 a14 a15 A = a21 a22 a23 a24 a25 . a31 a32 a33 a34 a35 By a vector we will usually mean a column vector, that is an m × 1 matrix. If we mean a row vector we will explicitly say so (a row vector is a 1 × n matrix). We will usually denote matrices by upper case letters and vectors by lower case letters with an arrow such as x or b. By 0 we will mean the vector of all zeros. It is easy to define some operations on matrices. Note that we will want 1 × 1 matrices to really act like numbers, so our operations will have to be compatible with this viewpoint. First, we can multiply by a scalar (a number). This means just multiplying each entry by the same number. For example, 1 2 3 2 4 6 2 = . 4 5 6 8 10 12 Matrix addition is also easy. We add matrices element by element. For example, 1 2 3 1 1 −1 2 3 2 + = . 4 5 6 0 2 4 4 7 10 If the sizes do not match, then addition is not defined. If we denote by 0 the matrix of with all zero entries, by c, d scalars, and by A, B, C matrices, we have the following familiar rules. A + 0 = A = 0 + A, A + B = B + A, (A + B) + C = A + (B + C), c(A + B) = cA + cB, (c + d)A = cA + dA.
- 91. 3.2. MATRICES AND LINEAR SYSTEMS 91 Another useful operation for matrices is the so-called transpose. This operation just swaps rows and columns of a matrix. The transpose of A is denoted by AT . Example: T 1 4 1 2 3 = 2 5 4 5 6 3 6 3.2.2 Matrix multiplication Let us now define matrix multiplication. First we define the so-called dot product (or inner product) of two vectors. Usually this will be a row vector multiplied with a column vector of the same size. For the dot product we multiply each pair of entries from the first and the second vector and we sum these products. The result is a single number. For example, b 1 a3 · b2 = a1 b1 + a2 b2 + a3 b3 . a1 a2 b3 And similarly for larger (or smaller) vectors. Armed with the dot product we can define the product of matrices. First let us denote by rowi (A) the ith row of A and by column j (A) the jth column of A. For an m × n matrix A and an n × p matrix B we can define the product AB. We let AB be an m × p matrix whose i jth entry is rowi (A) · column j (B). Do note how the sizes match up. Example: 1 0 −1 1 2 3 1 1 1 = 4 5 6 1 0 0 1·1+2·1+3·1 1·0+2·1+3·0 1 · (−1) + 2 · 1 + 3 · 0 6 2 1 = = 4·1+5·1+6·1 4·0+5·1+6·0 4 · (−1) + 5 · 1 + 6 · 0 15 5 1 For multiplication we want an analogue of a 1. This analogue is the so-called identity matrix. The identity matrix is a square matrix with 1s on the main diagonal and zeros everywhere else. It is usually denoted by I. For each size we have a different identity matrix and so sometimes we may denote the size as a subscript. For example, the I3 would be the 3 × 3 identity matrix 1 0 0 I = I3 = 0 1 0 . 0 0 1
- 92. 92 CHAPTER 3. SYSTEMS OF ODES We have the following rules for matrix multiplication. Suppose that A, B, C are matrices of the correct sizes so that the following make sense. Let α denote a scalar (number). A(BC) = (AB)C, A(B + C) = AB + AC, (B + C)A = BA + CA, α(AB) = (αA)B = A(αB), IA = A = AI. A few warnings are in order. (i) AB BA in general (it may be true by fluke sometimes). That is, matrices do not commute. For example take A = 1 1 and B = 1 0 . 1 1 0 2 (ii) AB = AC does not necessarily imply B = C, even if A is not 0. (iii) AB = 0 does not necessarily mean that A = 0 or B = 0. For example take A = B = 0 1 0 0 . For the last two items to hold we would need to “divide” by a matrix. This is where the matrix inverse comes in. Suppose that A and B are n × n matrices such that AB = I = BA. Then we call B the inverse of A and we denote B by A−1 . If the inverse of A exists, then we call A invertible. If A is not invertible we sometimes say A is singular. If A is invertible, then AB = AC does imply that B = C (in particular the inverse of A is unique). We just multiply both sides by A−1 to get A−1 AB = A−1 AC or IB = IC or B = C. It is also not hard −1 to see that (A−1 ) = A. 3.2.3 The determinant We can now talk about determinants of square matrices. We define the determinant of a 1 × 1 matrix as the value of its only entry. For a 2 × 2 matrix we define a b def det = ad − bc. c d Before trying to compute the determinant for larger matrices, let us first note the meaning of the determinant. Consider an n × n matrix as a mapping of the n dimensional euclidean space Rn to Rn . In particular, a 2 × 2 matrix A is a mapping of the plane to itself, where x gets sent to Ax. Then the determinant of A is the factor by which the area of objects gets changed. If we take the unit square
- 93. 3.2. MATRICES AND LINEAR SYSTEMS 93 (square of side 1) in the plane, then A takes the square to a parallelogram of area |det(A)|. The sign of det(A) denotes changing of orientation (negative if the axes got flipped). For example, let 1 1 A= . −1 1 Then det(A) = 1 + 1 = 2. Let us see where the square with vertices (0, 0), (1, 0), (0, 1), and (1, 1) gets sent. Clearly (0, 0) gets sent to (0, 0). 1 1 1 1 1 1 0 1 1 1 1 2 = , = , = . −1 1 0 −1 −1 1 1 1 −1 1 1 0 √ So the image of the square is another square. The image square has a side of length 2 and is therefore of area 2. If you think back to high school geometry, you may have seen a formula for computing the area of a parallelogram with vertices (0, 0), (a, c), (b, d) and (a + b, c + d). And it is precisely a b det . c d a b The vertical lines above mean absolute value. The matrix c d carries the unit square to the given parallelogram. Now we can define the determinant for larger matrices. We define Ai j as the matrix A with the i row and the jth column deleted. To compute the determinant of a matrix, pick one row, say the ith th row and compute. n det(A) = (−1)i+ j ai j det(Ai j ). j=1 For the first row we get +a det(A ) if n is odd, 1n 1n det(A) = a11 det(A11 ) − a12 det(A12 ) + a13 det(A13 ) − · · · −a det(A ) if n even. 1n 1n We alternately add and subtract the determinants of the submatrices Ai j for a fixed i and all j. For a 3 × 3 matrix, picking the first row, we would get det(A) = a11 det(A11 ) − a12 det(A12 ) + a13 det(A13 ). For example, 1 2 3 5 6 4 6 4 5 det 4 5 6 = 1 · det + 3 · det − 2 · det 8 9 7 9 7 8 7 8 9 = 1(5 · 9 − 6 · 8) − 2(4 · 9 − 6 · 7) + 3(4 · 8 − 5 · 7) = 0.
- 94. 94 CHAPTER 3. SYSTEMS OF ODES The numbers (−1)i+ j det(Ai j ) are called cofactors of the matrix and this way of computing the determinant is called the cofactor expansion. It is also possible to compute the determinant by expanding along columns (picking a column instead of a row above). Note that a common notation for the determinant is a pair of vertical lines: a b a b = det . c d c d I personally find this notation confusing as vertical lines usually mean a positive quantity, while determinants can be negative. I will not use this notation in this book. One of the most important properties of determinants (in the context of this course) is the following theorem. Theorem 3.2.1. An n × n matrix A is invertible if and only if det(A) 0. In fact, there is a formula for the inverse of a 2 × 2 matrix −1 a b 1 d −b = . c d ad − bc −c a Notice the determinant of the matrix in the denominator of the fraction. The formula only works if the determinant is nonzero, otherwise we are dividing by zero. 3.2.4 Solving linear systems One application of matrices we will need is to solve systems of linear equations. This is best shown by example. Suppose that we have the following system of linear equations 2x1 + 2x2 + 2x3 = 2, x1 + x2 + 3x3 = 5, x1 + 4x2 + x3 = 10. Without changing the solution, we could swap equations in this system, we could multiply any of the equations by a nonzero number, and we could add a multiple of one equation to another equation. It turns out these operations always suffice to find a solution. It is easier to write the system as a matrix equation. Note that the system can be written as 2 2 2 x1 2 1 1 3 x2 = 5 . 1 4 1 x3 10
- 95. 3.2. MATRICES AND LINEAR SYSTEMS 95 To solve the system we put the coefficient matrix (the matrix on the left hand side of the equation) together with the vector on the right and side and get the so-called augmented matrix 2 2 2 2 1 1 3 5 . 1 4 1 10 We apply the following three elementary operations. (i) Swap two rows. (ii) Multiply a row by a nonzero number. (iii) Add a multiple of one row to another row. We will keep doing these operations until we get into a state where it is easy to read off the answer, or until we get into a contradiction indicating no solution, for example if we come up with an equation such as 0 = 1. Let us work through the example. First multiply the first row by 1/2 to obtain 1 1 1 1 1 1 3 5 . 1 4 1 10 Now subtract the first row from the second and third row. 1 1 1 1 0 0 2 4 0 3 0 9 Multiply the last row by 1/3 and the second row by 1/2. 1 1 1 1 0 0 1 2 0 1 0 3 Swap rows 2 and 3. 1 1 1 1 0 1 0 3 0 0 1 2 Subtract the last row from the first, then subtract the second row from the first. 1 0 0 −4 0 1 0 3 0 0 1 2 If we think about what equations this augmented matrix represents, we see that x1 = −4, x2 = 3, and x3 = 2. We try this solution in the original system and, voilà, it works!
- 96. 96 CHAPTER 3. SYSTEMS OF ODES Exercise 3.2.1: Check that the solution above really solves the given equations. If we write this equation in matrix notation as Ax = b, 2 2 2 2 where A is the matrix 1 1 3 and b is the vector 5 . The solution can be also computed via the 1 4 1 10 inverse, x = A−1 Ax = A−1 b. One last note to make about linear systems of equations is that it is possible that the solution is not unique (or that no solution exists). It is easy to tell if a solution does not exist. If during the row reduction you come up with a row where all the entries except the last one are zero (the last entry in a row corresponds to the right hand side of the equation) the system is inconsistent and has no solution. For example if for a system of 3 equations and 3 unknowns you find a row such as [ 0 0 0 | 1 ] in the augmented matrix, you know the system is inconsistent. You generally try to use row operations until the following conditions are satisfied. The first nonzero entry in each row is called the leading entry. (i) There is only one leading entry in each column. (ii) All the entries above and below a leading entry are zero. (iii) All leading entries are 1. Such a matrix is said to be in reduced row echelon form. The variables corresponding to columns with no leading entries are said to be free variables. Free variables mean that we can pick those variables to be anything we want and then solve for the rest of the unknowns. Example 3.2.1: The following augmented matrix is in reduced row echelon form. 1 2 0 3 0 0 1 1 0 0 0 0 Suppose the variables are x1 , x2 , and x3 . Then x2 is the free variable, x1 = 3 − 2x2 , and x3 = 1. On the other hand if during the row reduction process you come up with the matrix 1 2 13 3 0 0 1 1 , 0 0 0 3 there is no need to go further. The last row corresponds to the equation 0x1 + 0x2 + 0x3 = 3, which is preposterous. Hence, no solution exists.
- 97. 3.2. MATRICES AND LINEAR SYSTEMS 97 3.2.5 Computing the inverse If the coefficient matrix is square and there exists a unique solution x to Ax = b for any b, then A is invertible. In fact by multiplying both sides by A−1 you can see that x = A−1 b. So it is useful to compute the inverse if you want to solve the equation for many different right hand sides b. The 2 × 2 inverse can be given by a formula, but it is also not hard to compute inverses of larger matrices. While we will not have too much occasion to compute inverses for larger matrices than 2 × 2 by hand, let us touch on how to do it. Finding the inverse of A is actually just solving a bunch of linear equations. If we can solve Axk = ek where ek is the vector with all zeros except a 1 at the kth position, then the inverse is the matrix with the columns xk for k = 1, . . . , n (exercise: why?). Therefore, to find the inverse we can write a larger n × 2n augmented matrix [ A | I ], where I is the identity. We then perform row reduction. The reduced row echelon form of [ A | I ] will be of the form [ I | A−1 ] if and only if A is invertible. We can then just read off the inverse A−1 . 3.2.6 Exercises Exercise 3.2.2: Solve 1 2 3 4 x= 5 6 by using matrix inverse. 9 −2 −6 Exercise 3.2.3: Compute determinant of −8 3 6 . 10 −2 −6 1 2 3 1 4 0 5 0 Exercise 3.2.4: Compute determinant of 6 0 7 0 . Hint: Expand along the proper row or column 8 0 10 1 to make the calculations simpler. 1 2 3 Exercise 3.2.5: Compute inverse of 1 1 1 . 0 1 0 1 2 3 Exercise 3.2.6: For which h is 4 5 6 not invertible? Is there only one such h? Are there several? 7 8 h Infinitely many? h 1 1 Exercise 3.2.7: For which h is 0 h 0 not invertible? Find all such h. 1 1 h 9 −2 −6 1 Exercise 3.2.8: Solve −8 3 6 x= 2 . 10 −2 −6 3 5 3 7 2 Exercise 3.2.9: Solve 8 4 4 x= 0 . 6 3 3 0 3 2 3 0 2 Exercise 3.2.10: Solve 3 0 3 2 3 4 3 2 x= 0 4 . 2 3 4 3 1 Exercise 3.2.11: Find 3 nonzero 2 × 2 matrices A, B, and C such that AB = AC but B C. 1 1 1 Exercise 3.2.101: Compute determinant of 2 3 −5 1 −1 0
- 98. 98 CHAPTER 3. SYSTEMS OF ODES Exercise 3.2.102: Find t such that 1 t is not invertible. −1 2 Exercise 3.2.103: Solve 1 1 1 −1 x= 10 20 . a 0 0 Exercise 3.2.104: Suppose a, b, c are nonzero numbers. Let M = a 0 0 b ,N= 0 b 0 . a) Compute 0 0 c −1 −1 M . b) Compute N .
- 99. 3.3. LINEAR SYSTEMS OF ODES 99 3.3 Linear systems of ODEs Note: less than 1 lecture, second part of §5.1 in [EP], §7.4 in [BD] First let us talk about matrix or vector valued functions. Such a function is just a matrix whose entries depend on some variable. If t is the independent variable, we write a vector valued function x(t) as x1 (t) x2 (t) x(t) = . . . . xn (t) Similarly a matrix valued function A(t) is a11 (t) a12 (t) · · · a1n (t) a21 (t) a22 (t) · · · a2n (t) A(t) = . . . . .. . . . . . . . an1 (t) an2 (t) · · · ann (t) We can talk about the derivative A (t) or dA . This is just the matrix valued function whose i jth entry dt is ai j (t). Rules of differentiation of matrix valued functions are similar to rules for normal functions. Let A(t) and B(t) be matrix valued functions. Let c a scalar and let C be a constant matrix. Then A(t) + B(t) = A (t) + B (t), A(t)B(t) = A (t)B(t) + A(t)B (t), cA(t) = cA (t), CA(t) = CA (t), A(t)C = A (t)C. Note the order of the multiplication in the last two expressions. A first order linear system of ODEs is a system that can be written as the vector equation x (t) = P(t)x(t) + f (t), where P(t) is a matrix valued function, and x(t) and f (t) are vector valued functions. We will often suppress the dependence on t and only write x = Px + f . A solution of the system is a vector valued function x satisfying the vector equation. For example, the equations x1 = 2tx1 + et x2 + t2 , x1 x2 = − x2 + et , t
- 100. 100 CHAPTER 3. SYSTEMS OF ODES can be written as 2t et t2 x = 1/t −1 x+ t . e We will mostly concentrate on equations that are not just linear, but are in fact constant coefficient equations. That is, the matrix P will be constant; it will not depend on t. When f = 0 (the zero vector), then we say the system is homogeneous. For homogeneous linear systems we have the principle of superposition, just like for single homogeneous equations. Theorem 3.3.1 (Superposition). Let x = Px be a linear homogeneous system of ODEs. Suppose that x1 , . . . , xn are n solutions of the equation, then x = c1 x1 + c2 x2 + · · · + cn xn , (3.1) is also a solution. Furthermore, if this is a system of n equations (P is n × n), and x1 , . . . , xn are linearly independent, then every solution can be written as (3.1). Linear independence for vector valued functions is the same idea as for normal functions. The vector valued functions x1 , x2 , . . . , xn are linearly independent when c1 x1 + c2 x2 + · · · + cn xn = 0 has only the solution c1 = c2 = · · · = cn = 0, where the equation must hold for all t. Example 3.3.1: x1 = tt2 , x2 = 1+t , x3 = −t are linearly depdendent because x1 + x3 = x2 , and 0 2 1 this holds for all t. So c1 = 1, c2 = −1, and c3 = 1 above will work. On the other hand if we change the example just slightly x1 = tt2 , x2 = 0 , x3 = −t , then 2 t 1 the functions are linearly independent. First write c1 x1 + c2 x2 + c3 x3 = 0 and note that it has to hold for all t. We get that c1 t2 − c3 t3 0 c1 x1 + c2 x2 + c3 x3 = = . c1 t + c2 t + c3 0 In other words c1 t2 − c3 t3 = 0 and c1 t + c2 t + c3 = 0. If we set t = 0, then the second equation becomes c3 = 0. But then the first equation becomes c1 t2 = 0 for all t and so c1 = 0. Thus the second equation is just c2 t = 0, which means c2 = 0. So c1 = c2 = c3 = 0 is the only solution and x1 , x2 , and x3 are linearly independent. The linear combination c1 x1 + c2 x2 + · · · + cn xn could always be written as X(t) c, where X(t) is the matrix with columns x1 , . . . , xn , and c is the column vector with entries c1 , . . . , cn . The matrix valued function X(t) is called the fundamental matrix, or the fundamental matrix solution. To solve nonhomogeneous first order linear systems, we use the same technique as we applied to solve single linear nonhomogeneous equations.
- 101. 3.3. LINEAR SYSTEMS OF ODES 101 Theorem 3.3.2. Let x = Px + f be a linear system of ODEs. Suppose x p is one particular solution. Then every solution can be written as x = xc + x p , where xc is a solution to the associated homogeneous equation (x = Px). So the procedure will be the same as for single equations. We find a particular solution to the nonhomogeneous equation, then we find the general solution to the associated homogeneous equation, and finally we add the two together. Alright, suppose you have found the general solution x = Px + f . Now you are given an initial condition of the form x(t0 ) = b for some constant vector b. Suppose that X(t) is the fundamental matrix solution of the associated homogeneous equation (i.e. columns of X(t) are solutions). The general solution can be written as x(t) = X(t)c + x p (t). We are seeking a vector c such that b = x(t0 ) = X(t0 )c + x p (t0 ). In other words, we are solving for c the nonhomogeneous system of linear equations X(t0 )c = b − x p (t0 ). Example 3.3.2: In § 3.1 we solved the system x1 = x1 , x2 = x1 − x2 , with initial conditions x1 (0) = 1, x2 (0) = 2. This is a homogeneous system, so f (t) = 0. We write the system and the initial conditions as 1 0 1 x = x, x(0) = . 1 −1 2 We found the general solution was x1 = c1 et and x2 = c21 et + c2 e−t . Letting c1 = 1 and c2 = 0, et we obtain the solution (1/2)et . Letting c1 = 0 and c2 = 1, we obtain e0 . These two solutions are −t linearly independent, as can be seen by setting t = 0, and noting that the resulting constant vectors are linearly independent. In matrix notation, the fundamental matrix solution is, therefore, et 0 X(t) = 1 t . 2 e e−t Hence to solve the initial problem we solve the equation X(0)c = b,
- 102. 102 CHAPTER 3. SYSTEMS OF ODES or in other words, 1 0 1 1 c= . 2 1 2 After a single elementary row operation we find that c = 1 3/2 . Hence our solution is et 0 1 et x(t) = X(t)c = = . 1 t 2 e e−t 3 2 2 e + 2 e−t 1 t 3 This agrees with our previous solution. 3.3.1 Exercises Exercise 3.3.1: Write the system x1 = 2x1 − 3tx2 + sin t, x2 = et x1 + 3x2 + cos t in the form x = P(t)x + f (t). Exercise 3.3.2: a) Verify that the system x = 1 3 x has the two solutions 1 e4t and −1 e−2t . b) 3 1 1 1 Write down the general solution. c) Write down the general solution in the form x1 =?, x2 =? (i.e. write down a formula for each element of the solution). Exercise 3.3.3: Verify that 1 1 et and 1 −1 et are linearly independent. Hint: Just plug in t = 0. 1 1 1 Exercise 3.3.4: Verify that 1 et and −1 et and −1 e2t are linearly independent. Hint: You must 0 1 1 be a bit more tricky than in the previous exercise. Exercise 3.3.5: Verify that t and t3 are linearly independent. t2 t4 e2t et Exercise 3.3.101: Are et and e2t linearly independent? Justify. Exercise 3.3.102: Are cosh(t) , et and e−t linearly independent? Justify. 1 1 1 Exercise 3.3.103: Write x = 3x − y + et , y = tx in matrix notation. Exercise 3.3.104: a) Write x1 = 2tx2 , x2 = 2tx2 in matrix notation. b) Solve and write the solution in matrix notation.
- 103. 3.4. EIGENVALUE METHOD 103 3.4 Eigenvalue method Note: 2 lectures, §5.2 in [EP], part of §7.3, §7.5, and §7.6 in [BD] In this section we will learn how to solve linear homogeneous constant coefficient systems of ODEs by the eigenvalue method. Suppose we have such a system x = Px, where P is a constant square matrix. We wish to adapt the method for the single constant coefficient equation by trying the function eλt . However, x is a vector. So we try x = veλt , where v is an arbitrary constant vector. We plug this x into the equation to get λveλt = Pveλt . We divide by eλt and notice that we are looking for a scalar λ and a vector v that satisfy the equation λv = Pv. To solve this equation we need a little bit more linear algebra, which we now review. 3.4.1 Eigenvalues and eigenvectors of a matrix Let A be a constant square matrix. Suppose there is a scalar λ and a nonzero vector v such that Av = λv. We then call λ an eigenvalue of A and v is said to be a corresponding eigenvector. Example 3.4.1: The matrix 2 1 0 1 has an eigenvalue of λ = 2 with a corresponding eigenvector 1 0 because 2 1 1 2 1 = =2 . 0 1 0 0 0 Let us see how to compute the eigenvalues for any matrix. We rewrite the equation for an eigenvalue as (A − λI)v = 0. We notice that this equation has a nonzero solution v only if A − λI is not invertible. Were it invertible, we could write (A − λI)−1 (A − λI)v = (A − λI)−1 0, which implies v = 0. Therefore, A has the eigenvalue λ if and only if λ solves the equation det(A − λI) = 0. Consequently, we will be able to find an eigenvalue of A without finding a corresponding eigenvector. An eigenvector will have to be found later, once λ is known.
- 104. 104 CHAPTER 3. SYSTEMS OF ODES 2 1 1 Example 3.4.2: Find all eigenvalues of 1 2 0 . 0 0 2 We write 2 − λ 2 1 1 1 0 0 1 1 det 1 2 0 − λ 0 1 0 = det 1 2−λ 0 = 2−λ 0 0 2 0 0 1 0 0 = (2 − λ) (2 − λ)2 − 1 = −(λ − 1)(λ − 2)(λ − 3). and so the eigenvalues are λ = 1, λ = 2, and λ = 3. Note that for an n × n matrix, the polynomial we get by computing det(A − λI) will be of degree n, and hence we will in general have n eigenvalues. Some may be repeated, some may be complex. To find an eigenvector corresponding to an eigenvalue λ, we write (A − λI)v = 0, and solve for a nontrivial (nonzero) vector v. If λ is an eigenvalue, this will always be possible. 2 1 1 Example 3.4.3: Find an eigenvector of 1 2 0 corresponding to the eigenvalue λ = 3. 0 0 2 We write 2 1 1 1 0 0 v1 −1 1 1 v1 (A − λI)v = 1 2 0 − 3 0 1 0 v2 = 1 −1 0 v2 = 0. 0 0 2 0 0 1 v3 0 0 −1 v3 It is easy to solve this system of linear equations. We write down the augmented matrix −1 1 1 0 0 0 , 1 −1 0 0 −1 0 and perform row operations (exercise: which ones?) until we get 1 −1 0 0 0 . 0 0 1 0 0 0 0 The equations the entries of v have to satisfy are, therefore, v1 − v2 = 0, v3 = 0, and v2 is a free variable. We can pick v2 to be arbitrary (but nonzero) and let v1 = v2 and of course v3 = 0. For 1 example, v = 1 . Let us verify that we really have an eigenvector corresponding to λ = 3: 0 2 1 1 1 3 1 1 2 0 1 = 3 = 3 1 . 0 0 2 0 0 0 Yay! It worked.
- 105. 3.4. EIGENVALUE METHOD 105 Exercise 3.4.1 (easy): Are eigenvectors unique? Can you find a different eigenvector for λ = 3 in the example above? How are the two eigenvectors related? Exercise 3.4.2: Note that when the matrix is 2 × 2 you do not need to write down the augmented matrix and do row operations when computing eigenvectors (if you have computed the eigenvalues 2 1 correctly). Can you see why? Try it for the matrix 1 2 . 3.4.2 The eigenvalue method with distinct real eigenvalues OK. We have the system of equations x = Px. We find the eigenvalues λ1 , λ2 , . . . , λn of the matrix P, and corresponding eigenvectors v1 , v2 , . . . , vn . Now we notice that the functions v1 eλ1 t , v2 eλ2 t , . . . , vn eλn t are solutions of the system of equations and hence x = c1 v1 eλ1 t + c2 v2 eλ2 t + · · · + cn vn eλn t is a solution. Theorem 3.4.1. Take x = Px. If P is an n × n constant matrix that has n distinct real eigenvalues λ1 , λ2 , . . . , λn , then there exist n linearly independent corresponding eigenvectors v1 , v2 , . . . , vn , and the general solution to x = Px can be written as x = c1 v1 eλ1 t + c2 v2 eλ2 t + · · · + cn vn eλn t . The corresponding fundamental matrix solution is X(t) = [ v1 eλ1 t v2 eλ2 t ··· vn eλn t ]. That is, X(t) is the matrix whose jth column is v j eλ j t . Example 3.4.4: Suppose we take the system 2 1 1 x = 1 2 0 x. 0 0 2 Find the general solution. 1 We have found the eigenvalues 1, 2, 3 earlier. We have found the eigenvector 1 for the 0 1 0 eigenvalue 3. Similarly we find the eigenvector −1 for the eigenvalue 1, and 1 for the eigenvalue 0 −1 2 (exercise: check). Hence our general solution is c1 et + c3 e3t 1 0 1 −1 e + c2 1 e2t + c3 1 e3t = −c1 et + c2 e2t + c3 e3t . x = c1 t 2t 0 −1 0 −c2 e In terms of a fundamental matrix solution 3t t t 0 e3t c1 e x = X(t) c = −e e2t e c2 . 2t 0 −e 0 c3
- 106. 106 CHAPTER 3. SYSTEMS OF ODES Exercise 3.4.3: Check that this x really solves the system. Note: If we write a homogeneous linear constant coefficient nth order equation as a first order system (as we did in § 3.1), then the eigenvalue equation det(P − λI) = 0 is essentially the same as the characteristic equation we got in § 2.2 and § 2.3. 3.4.3 Complex eigenvalues A matrix might very well have complex eigenvalues even if all the entries are real. For example, suppose that we have the system 1 1 x = x. −1 1 Let us compute the eigenvalues of the matrix P = 1 1 −1 1 . 1−λ 1 det(P − λI) = det = (1 − λ)2 + 1 = λ2 − 2λ + 2 = 0. −1 1 − λ Thus λ = 1 ± i. The corresponding eigenvectors will also be complex. First take λ = 1 − i, (P − (1 − i)I)v = 0, i 1 v = 0. −1 i The equations iv1 + v2 = 0 and −v1 + iv2 = 0 are multiples of each other. So we only need to consider one of them. After picking v2 = 1, for example, we have an eigenvector v = 1 . In similar fashion i we find that 1 is an eigenvector corresponding to the eigenvalue 1 + i. −i We could write the solution as i (1−i)t −i (1+i)t c ie(1−i)t − c2 ie(1+i)t x = c1 e + c2 e = 1 (1−i)t . 1 1 c1 e + c2 e(1+i)t We would then need to look for complex values c1 and c2 to solve any initial conditions. It is perhaps not completely clear that we get a real solution. We could use Euler’s formula and do the whole song and dance we did before, but we will not. We will do something a bit smarter first. We claim that we did not have to look for a second eigenvector (nor for the second eigenvalue). All complex eigenvalues come in pairs (because the matrix P is real). First a small side note. The real part of a complex number z can be computed as z+¯ , where the 2 z bar above z means a + ib = a − ib. This operation is called the complex conjugate. Note that if a is
- 107. 3.4. EIGENVALUE METHOD 107 a real number, then a = a. Similarly we can bar whole vectors or matrices. If a matrix P is real, ¯ then P = P. We note that Px = P x = Px. Therefore, (P − λI)v = (P − λI)v. ¯ So if v is an eigenvector corresponding to the eigenvalue λ = a + ib, then v is an eigenvector corresponding to the eigenvalue λ = a − ib. ¯ Suppose that a + ib is a complex eigenvalue of P, and v is a corresponding eigenvector. Then x1 = ve(a+ib)t is a solution (complex valued) of x = Px. Then note that ea+ib = ea−ib , and so x2 = x1 = ve(a−ib)t is also a solution. The function x1 + x1 x1 + x2 x3 = Re x1 = Re ve(a+ib)t = = 2 2 is also a solution. And x3 is real-valued! Similarly as Im z = z−¯ 2i z is the imaginary part, we find that x1 − x2 x4 = Im x1 = . 2i is also a real-valued solution. It turns out that x3 and x4 are linearly independent. We will use Euler’s formula to separate out the real and imaginary part. Returning to our problem, i (1−i)t i t iet cos t + et sin t x1 = e = e cos t − iet sin t = t . 1 1 e cos t − iet sin t Then et sin t Re x1 = , et cos t et cos t Im x1 = , −et sin t are the two real-valued linearly independent solutions we seek. Exercise 3.4.4: Check that these really are solutions.
- 108. 108 CHAPTER 3. SYSTEMS OF ODES The general solution is et sin t et cos t c et sin t + c2 et cos t x = c1 t + c2 t = 1 t . e cos t −e sin t c1 e cos t − c2 et sin t This solution is real-valued for real c1 and c2 . Now we can solve for any initial conditions that we may have. Let us summarize as a theorem. Theorem 3.4.2. Let P be a real-valued constant matrix. If P has a complex eigenvalue a + ib and a corresponding eigenvector v, then P also has a complex eigenvalue a − ib with a corresponding ¯ eigenvector v. Furthermore , x = Px has two linearly independent real-valued solutions x1 = Re ve(a+ib)t , and x2 = Im ve(a+ib)t . So for each pair of complex eigenvalues we get two real-valued linearly independent solutions. We then go on to the next eigenvalue, which is either a real eigenvalue or another complex eigenvalue pair. If we had n distinct eigenvalues (real or complex), then we will end up with n linearly independent solutions. We can now find a real-valued general solution to any homogeneous system where the matrix has distinct eigenvalues. When we have repeated eigenvalues, matters get a bit more complicated and we will look at that situation in § 3.7. 3.4.4 Exercises Exercise 3.4.5 (easy): Let A be a 3 × 3 matrix with an eigenvalue of 3 and a corresponding 1 eigenvector v = −1 . Find Av. 3 Exercise 3.4.6: a) Find the general solution of x1 = 2x1 , x2 = 3x2 using the eigenvalue method (first write the system in the form x = Ax). b) Solve the system by solving each equation separately and verify you get the same general solution. Exercise 3.4.7: Find the general solution of x1 = 3x1 + x2 , x2 = 2x1 + 4x2 using the eigenvalue method. Exercise 3.4.8: Find the general solution of x1 = x1 − 2x2 , x2 = 2x1 + x2 using the eigenvalue method. Do not use complex exponentials in your solution. 9 −2 −6 Exercise 3.4.9: a) Compute eigenvalues and eigenvectors of A = −8 3 6 . b) Find the general 10 −2 −6 solution of x = Ax. −2 −1 −1 Exercise 3.4.10: Compute eigenvalues and eigenvectors of 3 2 1 . −3 −1 0
- 109. 3.4. EIGENVALUE METHOD 109 a b c Exercise 3.4.11: Let a, b, c, d, e, f be numbers. Find the eigenvalues of 0 d e 0 0 f . 1 0 3 Exercise 3.4.101: a) Compute eigenvalues and eigenvectors of A = −1 0 1 . b) Solve the system 2 0 2 x = Ax. Exercise 3.4.102: a) Compute eigenvalues and eigenvectors of A = 1 1 −1 0 . b) Solve the system x = Ax. Exercise 3.4.103: Solve x1 = x2 , x2 = x1 using the eigenvalue method. Exercise 3.4.104: Solve x1 = x2 , x2 = −x1 using the eigenvalue method.
- 110. 110 CHAPTER 3. SYSTEMS OF ODES 3.5 Two dimensional systems and their vector fields Note: 1 lecture, part of §6.2 in [EP], parts of §7.5 and §7.6 in [BD] Let us take a moment to talk about constant coefficient linear homogeneous systems in the plane. Much intuition can be obtained by studying this simple case. Suppose we have a 2 × 2 matrix P and the system x x =P . (3.2) y y The system is autonomous (compare this section to § 1.6) and so we can draw a vector field (see end of § 3.1). We will be able to visually tell what the vector field looks like and how the solutions behave, once we find the eigenvalues and eigenvectors of the matrix P. For this section, we assume that P has two eigenvalues and two corresponding eigenvectors. Case 1. Suppose that the eigenvalues of P 3 -3 -2 -1 0 1 2 3 3 are real and positive. We find two corresponding eigenvectors and plot them in the plane. For ex- 2 2 ample, take the matrix 1 1 . The eigenvalues are 0 2 1 and 2 and corresponding eigenvectors are 1 0 1 1 and 1 . See Figure 3.3. 1 0 0 Now suppose that x and y are on the line de- termined by an eigenvector v for an eigenvalue λ. -1 -1 That is, y = av for some scalar a. Then x -2 -2 x x =P = P(av) = a(Pv) = aλv. y y -3 -3 -3 -2 -1 0 1 2 3 The derivative is a multiple of v and hence points Figure 3.3: Eigenvectors of P. along the line determined by v. As λ 0, the derivative points in the direction of v when a is positive and in the opposite direction when a is negative. Let us draw the lines determined by the eigenvectors, and let us draw arrows on the lines to indicate the directions. See Figure 3.4 on the facing page. We fill in the rest of the arrows for the vector field and we also draw a few solutions. See Figure 3.5 on the next page. Notice that the picture looks like a source with arrows coming out from the origin. Hence we call this type of picture a source or sometimes an unstable node. Case 2. Suppose both eigenvalues were negative. For example, take the negation of the matrix in case 1, −1 −1 . The eigenvalues are −1 and −2 and corresponding eigenvectors are the same, 0 −2 1 and 1 . The calculation and the picture are almost the same. The only difference is that the 0 1 eigenvalues are negative and hence all arrows are reversed. We get the picture in Figure 3.6 on the facing page. We call this kind of picture a sink or sometimes a stable node.
- 111. 3.5. TWO DIMENSIONAL SYSTEMS AND THEIR VECTOR FIELDS 111 -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -2 -2 -2 -2 -3 -3 -3 -3 -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 Figure 3.4: Eigenvectors of P with directions. Figure 3.5: Example source vector field with eigenvectors and solutions. -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -2 -2 -2 -2 -3 -3 -3 -3 -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 Figure 3.6: Example sink vector field with Figure 3.7: Example saddle vector field with eigenvectors and solutions. eigenvectors and solutions. Case 3. Suppose one eigenvalue is positive and one is negative. For example the matrix 1 −2 . 0 1 The eigenvalues are 1 and −2 and corresponding eigenvectors are 1 and −3 . We reverse the 0 1 arrows on one line (corresponding to the negative eigenvalue) and we obtain the picture in Figure 3.7. We call this picture a saddle point. For the next three cases we will assume the eigenvalues are complex. In this case the eigenvectors are also complex and we cannot just plot them in the plane. Case 4. Suppose the eigenvalues are purely imaginary. That is, suppose the eigenvalues are ±ib. For example, let P = −4 0 . The eigenvalues turn out to be ±2i and eigenvectors are 2i and −2i . 0 1 1 1
- 112. 112 CHAPTER 3. SYSTEMS OF ODES Consider the eigenvalue 2i and its eigenvector 1 2i . The real and imaginary parts of vei2t are 1 i2t cos(2t) Re e = , 2i −2 sin(2t) 1 i2t sin(2t) Im e = . 2i 2 cos(2t) We can take any linear combination of them to get other solutions, which one we take depends on the initial conditions. Now note that the real part is a parametric equation for an ellipse. Same with the imaginary part and in fact any linear combination of the two. This is what happens in general when the eigenvalues are purely imaginary. So when the eigenvalues are purely imaginary, we get ellipses for the solutions. This type of picture is sometimes called a center. See Figure 3.8. -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -2 -2 -2 -2 -3 -3 -3 -3 -3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3 Figure 3.8: Example center vector field. Figure 3.9: Example spiral source vector field. Case 5. Now suppose the complex eigenvalues have a positive real part. That is, suppose the eigenvalues are a ± ib for some a 0. For example, let P = −4 1 . The eigenvalues turn out to be 1 1 1 ± 2i and eigenvectors are 2i 1 and 1 . We take 1 + 2i and its eigenvector 1 and find the real −2i 2i and imaginary of ve(1+2i)t are 1 (1+2i)t cos(2t) Re e = et , 2i −2 sin(2t) 1 (1+2i)t sin(2t) Im e = et . 2i 2 cos(2t) Note the et in front of the solutions. This means that the solutions grow in magnitude while spinning around the origin. Hence we get a spiral source. See Figure 3.9.
- 113. 3.5. TWO DIMENSIONAL SYSTEMS AND THEIR VECTOR FIELDS 113 Case 6. Finally suppose the complex eigenvalues have a negative real part. That is, suppose the eigenvalues are −a ± ib for some a 0. For example, let P = −1 −1 . The eigenvalues turn out to 4 −1 1 1 1 be −1 ± 2i and eigenvectors are −2i and 2i . We take −1 − 2i and its eigenvector 2i and find the (−1−2i)t real and imaginary of ve are 1 (−1−2i)t cos(2t) Re e = e−t , 2i 2 sin(2t) 1 (−1−2i)t − sin(2t) Im e = e−t . 2i 2 cos(2t) Note the e−t in front of the solutions. This means that the solutions shrink in magnitude while spinning around the origin. Hence we get a spiral sink. See Figure 3.10. -3 -2 -1 0 1 2 3 3 3 2 2 1 1 0 0 -1 -1 -2 -2 -3 -3 -3 -2 -1 0 1 2 3 Figure 3.10: Example spiral sink vector field. We summarize the behavior of linear homogeneous two dimensional systems in Table 3.1. Eigenvalues Behavior real and both positive source / unstable node real and both negative sink / stable node real and opposite signs saddle purely imaginary center point / ellipses complex with positive real part spiral source complex with negative real part spiral sink Table 3.1: Summary of behavior of linear homogeneous two dimensional systems.
- 114. 114 CHAPTER 3. SYSTEMS OF ODES 3.5.1 Exercises Exercise 3.5.1: Take the equation mx + cx + kx = 0, with m 0, c ≥ 0, k 0 for the mass-spring system. a) Convert this to a system of first order equations. b) Classify for what m, c, k do you get which behavior. c) Can you explain from physical intuition why you do not get all the different kinds of behavior here? Exercise 3.5.2: Can you find what happens in the case when P = 1 1 ? In this case the eigenvalue 0 1 is repeated and there is only one eigenvector. What picture does this look like? Exercise 3.5.3: Can you find what happens in the case when P = 1 1 1 1 ? Does this look like any of the pictures we have drawn? Exercise 3.5.101: Describe the behavior of the following systems without solving: a) x = x + y, y = x − y. b) x1 = x1 + x2 , x2 = 2x2 . c) x1 = −2x2 , x2 = 2x1 . d) x = x + 3y, y = −2x − 4y. e) x = x − 4y, y = −4x + y. Exercise 3.5.102: Suppose that x = Ax where A is a 2 by 2 matrix with eigenvalues 2 ± i. Describe the behavior. Exercise 3.5.103: Take y = 0 1 y . Draw the vector field and describe the behavior. Is it one x 0 0 x of the behaviours that we have seen before?
- 115. 3.6. SECOND ORDER SYSTEMS AND APPLICATIONS 115 3.6 Second order systems and applications Note: more than 2 lectures, §5.3 in [EP], not in [BD] 3.6.1 Undamped mass-spring systems While we did say that we will usually only look at first order systems, it is sometimes more convenient to study the system in the way it arises naturally. For example, suppose we have 3 masses connected by springs between two walls. We could pick any higher number, and the math would be essentially the same, but for simplicity we pick 3 right now. Let us also assume no friction, that is, the system is undamped. The masses are m1 , m2 , and m3 and the spring constants are k1 , k2 , k3 , and k4 . Let x1 be the displacement from rest position of the first mass, and x2 and x3 the displacement of the second and third mass. We will make, as usual, positive values go right (as x1 grows the first mass is moving right). See Figure 3.11. k1 k2 k3 k4 m1 m2 m3 Figure 3.11: System of masses and springs. This simple system turns up in unexpected places. For example, our world really consists of many small particles of matter interacting together. When we try the above system with many more masses, we obtain a good approximation to how an elastic material behaves. By somehow taking a limit of the number of masses going to infinity, we obtain the continuous one dimensional wave equation (that we study in § 4.7). But we digress. Let us set up the equations for the three mass system. By Hooke’s law we have that the force acting on the mass equals the spring compression times the spring constant. By Newton’s second law we have that force is mass times acceleration. So if we sum the forces acting on each mass and put the right sign in front of each term, depending on the direction in which it is acting, we end up with the desired system of equations. m1 x1 = −k1 x1 + k2 (x2 − x1 ) = −(k1 + k2 )x1 + k2 x2 , m2 x2 = −k2 (x2 − x1 ) + k3 (x3 − x2 ) = k2 x1 − (k2 + k3 )x2 + k3 x3 , m3 x3 = −k3 (x3 − x2 ) − k4 x3 = k3 x2 − (k3 + k4 )x3 . We define the matrices −(k1 + k2 ) m1 0 0 k2 0 M = 0 m2 0 K= −(k2 + k3 ) . and k2 k3 −(k3 + k4 ) 0 0 m3 0 k3
- 116. 116 CHAPTER 3. SYSTEMS OF ODES We write the equation simply as Mx = K x. At this point we could introduce 3 new variables and write out a system of 6 equations. We claim this simple setup is easier to handle as a second order system. We will call x the displacement vector, M the mass matrix, and K the stiffness matrix. Exercise 3.6.1: Repeat this setup for 4 masses (find the matrices M and K). Do it for 5 masses. Can you find a prescription to do it for n masses? As with a single equation we will want to “divide by M.” This means computing the inverse of M. The masses are all nonzero and M is a diagonal matrix, so comping the inverse is easy. 1 m1 0 0 M = 0 1 0 . −1 m2 1 0 0 m3 This fact follows readily by how we multiply diagonal matrices. You should verify that MM −1 = M −1 M = I as an exercise. Let A = M −1 K. We look at the system x = M −1 K x, or x = Ax. Many real world systems can be modeled by this equation. For simplicity, we will only talk about the given masses-and-springs problem. We try a solution of the form x = veαt . We compute that for this guess, x = α2 veαt . We plug our guess into the equation and get α2 veαt = Aveαt . We can divide by eαt to get that α2 v = Av. Hence if α2 is an eigenvalue of A and v is a corresponding eigenvector, we have found a solution. In our example, and in other common applications, it turns out that A has only real negative eigenvalues (and possibly a zero eigenvalue). So we will study only this case. When an eigenvalue λ is negative, it means that α2 = λ is negative. Hence there is some real number ω such that −ω2 = λ. Then α = ±iω. The solution we guessed was x = v cos(ωt) + i sin(ωt) . By taking real and imaginary parts (note that v is real), we find that v cos(ωt) and v sin(ωt) are linearly independent solutions. If an eigenvalue is zero, it turns out that both v and vt are solutions, where v is a corresponding eigenvector.
- 117. 3.6. SECOND ORDER SYSTEMS AND APPLICATIONS 117 Exercise 3.6.2: Show that if A has a zero eigenvalue and v is a corresponding eigenvector, then x = v(a + bt) is a solution of x = Ax for arbitrary constants a and b. Theorem 3.6.1. Let A be an n × n matrix with n distinct real negative eigenvalues we denote by −ω2 −ω2 · · · −ω2 , and corresponding eigenvectors by v1 , v2 , . . . , vn . If A is invertible (that 1 2 n is, if ω1 0), then n x(t) = vi ai cos(ωi t) + bi sin(ωi t) , i=1 is the general solution of x = Ax, for some arbitrary constants ai and bi . If A has a zero eigenvalue, that is ω1 = 0, and all other eigenvalues are distinct and negative, then the general solution can be written as n x(t) = v1 (a1 + b1 t) + vi ai cos(ωi t) + bi sin(ωi t) . i=2 We can use this solution and the setup from the introduction of this section even when some of the masses and springs are missing. For example, when there are only 2 masses and only 2 springs, simply take only the equations for the two masses and set all the spring constants for the springs that are missing to zero. 3.6.2 Examples Example 3.6.1: Suppose we have the system in Figure 3.12, with m1 = 2, m2 = 1, k1 = 4, and k2 = 2. k1 k2 m1 m2 Figure 3.12: System of masses and springs. The equations we write down are 2 0 −(4 + 2) 2 x = x, 0 1 2 −2 or −3 1 x = x. 2 −2
- 118. 118 CHAPTER 3. SYSTEMS OF ODES We find the eigenvalues of A to be λ = −1, −4 (exercise). Now we find corresponding eigenvec- tors to be 1 and −1 respectively (exercise). 2 1 We check the theorem and note that ω1 = 1 and ω2 = 2. Hence the general solution is 1 1 x= a cos(t) + b1 sin(t) + a cos(2t) + b2 sin(2t) . 2 1 −1 2 The two terms in the solution represent the two so-called natural or normal modes of oscillation. And the two (angular) frequencies are the natural frequencies. The two modes are plotted in Figure 3.13. 0.0 2.5 5.0 7.5 10.0 0.0 2.5 5.0 7.5 10.0 2 2 1.0 1.0 1 1 0.5 0.5 0 0 0.0 0.0 -1 -1 -0.5 -0.5 -2 -2 -1.0 -1.0 0.0 2.5 5.0 7.5 10.0 0.0 2.5 5.0 7.5 10.0 Figure 3.13: The two modes of the mass-spring system. In the left plot the masses are moving in unison and the right plot are masses moving in the opposite direction. Let us write the solution as 1 1 x= c1 cos(t − α1 ) + c cos(2t − α2 ). 2 −1 2 The first term, 1 c cos(t − α1 ) c1 cos(t − α1 ) = 1 , 2 2c1 cos(t − α1 ) corresponds to the mode where the masses move synchronously in the same direction. The second term, 1 c cos(2t − α2 ) c cos(2t − α2 ) = 2 , −1 2 −c2 cos(2t − α2 ) corresponds to the mode where the masses move synchronously but in opposite directions. The general solution is a combination of the two modes. That is, the initial conditions determine the amplitude and phase shift of each mode.
- 119. 3.6. SECOND ORDER SYSTEMS AND APPLICATIONS 119 Example 3.6.2: We have two toy rail cars. Car 1 of mass 2 kg is traveling at 3 m/s towards the second rail car of mass 1 kg. There is a bumper on the second rail car that engages at the moment the cars hit (it connects to two cars) and does not let go. The bumper acts like a spring of spring constant k = 2 N/m. The second car is 10 meters from a wall. See Figure 3.14. k m1 m2 10 meters Figure 3.14: The crash of two rail cars. We want to ask several question. At what time after the cars link does impact with the wall happen? What is the speed of car 2 when it hits the wall? OK, let us first set the system up. Let t = 0 be the time when the two cars link up. Let x1 be the displacement of the first car from the position at t = 0, and let x2 be the displacement of the second car from its original location. Then the time when x2 (t) = 10 is exactly the time when impact with wall occurs. For this t, x2 (t) is the speed at impact. This system acts just like the system of the previous example but without k1 . Hence the equation is 2 0 −2 2 x = x. 0 1 2 −2 or −1 1 x = x. 2 −2 We compute the eigenvalues of A. It is not hard to see that the eigenvalues are 0 and −3 (exercise). √ Furthermore, eigenvectors are 1 and −2 respectively (exercise). We note that ω2 = 3 and we 1 1 use the second part of the theorem to find our general solution to be 1 1 √ √ x= (a1 + b1 t) + a2 cos( 3 t) + b2 sin( 3 t) 1 −2 √ √ a1 + b1 t + a2 cos(√3 t) + b2 sin( √ t) 3 = a1 + b1 t − 2a2 cos( 3 t) − 2b2 sin( 3 t) We now apply the initial conditions. First the cars start at position 0 so x1 (0) = 0 and x2 (0) = 0. The first car is traveling at 3 m/s, so x1 (0) = 3 and the second car starts at rest, so x2 (0) = 0. The first conditions says a + a2 0 = x(0) = 1 . a1 − 2a2
- 120. 120 CHAPTER 3. SYSTEMS OF ODES It is not hard to see that this implies that a1 = a2 = 0. We plug a1 and a2 and differentiate to get √ √ b1 + √ b2 cos( √ t) 3 3 x (t) = . b1 − 2 3 b2 cos( 3 t) So √ 3 b1 + √ b2 3 = x (0) = . 0 b1 − 2 3 b2 It is not hard to solve these two equations to find b1 = 2 and b2 = 1 √ . 3 Hence the position of our cars is (until the impact with the wall) √ 2t + √ sin( 3 t) 1 x= 2t − √ sin(√3 t) . 3 2 3 Note how the presence of the zero eigenvalue resulted in a term containing t. This means that the carts will be traveling in the positive direction as time grows, which is what we expect. What we are really interested in is the second expression, the one for x2 . We have x2 (t) = √ 2 2t − √3 sin( 3 t). See Figure 3.15 for the plot of x2 versus time. 0 1 2 3 4 5 6 12.5 12.5 10.0 10.0 7.5 7.5 5.0 5.0 2.5 2.5 0.0 0.0 0 1 2 3 4 5 6 Figure 3.15: Position of the second car in time (ignoring the wall). Just from the graph we can see that time of impact will be a little more than 5 seconds from √ time zero. For this we have to solve the equation 10 = x2 (t) = 2t − √3 sin( 3 t). Using a computer 2 (or even a graphing calculator) we find that timpact ≈ 5.22 seconds. √ As for the speed we note that x2 = 2 − 2 cos( 3 t). At time of impact (5.22 seconds from t = 0) we get that x2 (timpact ) ≈ 3.85. √ The maximum speed is the maximum of 2 − 2 cos( 3 t), which is 4. We are traveling at almost the maximum speed when we hit the wall.
- 121. 3.6. SECOND ORDER SYSTEMS AND APPLICATIONS 121 Now suppose that Bob is a tiny person sitting on car 2. Bob has a Martini in his hand and would like to not spill it. Let us suppose Bob would not spill his Martini when the first car links up with car 2, but if car 2 hits the wall at any speed greater than zero, Bob will spill his drink. Suppose Bob can move car 2 a few meters towards or away from the wall (he cannot go all the way to the wall, nor can he get out of the way of the first car). Is there a “safe” distance for him to be at? A distance such that the impact with the wall is at zero speed? The answer is yes. Looking at Figure 3.15 on the facing page, we note the “plateau” between t = 3 and t = 4. There is a point where the speed is zero. To find it we need to solve x2 (t) = 0. This √ is when cos( 3 t) = 1 or in other words when t = √3 , √3 , . . . and so on. We plug in the first value to 2π 4π obtain x2 √3 = √3 ≈ 7.26. So a “safe” distance is about 7 and a quarter meters from the wall. 2π 4π Alternatively Bob could move away from the wall towards the incoming car 2 where another safe distance is √3 ≈ 14.51 and so on, using all the different t such that x2 (t) = 0. Of course t = 0 is 8π always a solution here, corresponding to x2 = 0, but that means standing right at the wall. 3.6.3 Forced oscillations Finally we move to forced oscillations. Suppose that now our system is x = Ax + F cos(ωt). (3.3) That is, we are adding periodic forcing to the system in the direction of the vector F. Just like before this system just requires us to find one particular solution x p , add it to the general solution of the associated homogeneous system xc and we will have the general solution to (3.3). Let us suppose that ω is not one of the natural frequencies of x = Ax, then we can guess x p = c cos(ωt), where c is an unknown constant vector. Note that we do not need to use sine since there are only second derivatives. We solve for c to find x p . This is really just the method of undetermined coefficients for systems. Let us differentiate x p twice to get x p = −ω2 c cos(ωt). Now plug into the equation −ω2 c cos(ωt) = Ac cos(ωt) + F cos(ωt) We cancel out the cosine and rearrange the equation to obtain (A + ω2 I)c = −F. So −1 c = (A + ω2 I) (−F).
- 122. 122 CHAPTER 3. SYSTEMS OF ODES Of course this is possible only if (A + ω2 I) = A − (−ω2 )I is invertible. That matrix is invertible if and only if −ω2 is not an eigenvalue of A. That is true if and only if ω is not a natural frequency of the system. Example 3.6.3: Let us take the example in Figure 3.12 on page 117 with the same parameters as before: m1 = 2, m2 = 1, k1 = 4, and k2 = 2. Now suppose that there is a force 2 cos(3t) acting on the second cart. The equation is −3 1 0 x = x+ cos(3t). 2 −2 2 We have solved the associated homogeneous equation before and found the complementary solution to be 1 1 xc = a cos(t) + b1 sin(t) + a cos(2t) + b2 sin(2t) . 2 1 −1 2 We note that the natural frequencies were 1 and 2. Hence 3 is not a natural frequency, we can try c cos(3t). We can invert (A + 32 I) −1 −1 7 −1 −3 1 6 1 + 32 I = = 40 −1 40 3 . 2 −2 2 7 20 20 Hence, 7 −1 1 −1 0 c = (A + ω2 I) (−F) = 40 −1 40 3 = 20 −3 . 20 20 −2 10 Combining with what we know the general solution of the associated homogeneous problem to be we get that the general solution to x = Ax + F cos(ωt) is 1 1 1 x = xc + x p = a1 cos(t) + b1 sin(t) + a2 cos(2t) + b2 sin(2t) + 20 −3 cos(3t). 2 −1 10 The constants a1 , a2 , b1 , and b2 must then be solved for given any initial conditions. If ω is a natural frequency of the system resonance occurs because we will have to try a particular solution of the form x p = c t sin(ωt) + d cos(ωt). That is assuming that all eigenvalues of the coefficient matrix are distinct. Note that the amplitude of this solution grows without bound as t grows.
- 123. 3.6. SECOND ORDER SYSTEMS AND APPLICATIONS 123 3.6.4 Exercises Exercise 3.6.3: Find a particular solution to −3 1 0 x = x+ cos(2t). 2 −2 2 Exercise 3.6.4 (challenging): Let us take the example in Figure 3.12 on page 117 with the same parameters as before: m1 = 2, k1 = 4, and k2 = 2, except for m2 , which is unknown. Suppose that there is a force cos(5t) acting on the first mass. Find an m2 such that there exists a particular solution where the first mass does not move. Note: This idea is called dynamic damping. In practice there will be a small amount of damping and so any transient solution will disappear and after long enough time, the first mass will always come to a stop. Exercise 3.6.5: Let us take the Example 3.6.2 on page 119, but that at time of impact, cart 2 is moving to the left at the speed of 3 m/s. a) Find the behavior of the system after linkup. b) Will the second car hit the wall, or will it be moving away from the wall as time goes on? c) At what speed would the first car have to be traveling for the system to essentially stay in place after linkup? Exercise 3.6.6: Let us take the example in Figure 3.12 on page 117 with parameters m1 = m2 = 1, k1 = k2 = 1. Does there exist a set of initial conditions for which the first cart moves but the second cart does not? If so, find those conditions. If not, argue why not. 1 0 0 −3 0 0 cos(2t) Exercise 3.6.101: Find the general solution to 0 2 0 x = 2 −4 0 x+ 0 . 0 0 3 0 6 −3 0 Exercise 3.6.102: Suppose there are three carts of equal mass m and connected by two springs of constant k (and no connections to walls). Set up the system and find its general solution. Exercise 3.6.103: Suppose a cart of mass 2 kg is attached by a spring of constant k = 1 to a cart of mass 3 kg, which is attached to the wall by a spring also of constant k = 1. Suppose that the initial position of the first cart is 1 meter in the positive direction from the rest position, and the second mass starts at the rest position. The masses are not moving and are let go. Find the position of the second mass as a function of time.
- 124. 124 CHAPTER 3. SYSTEMS OF ODES 3.7 Multiple eigenvalues Note: 1 or 1.5 lectures , §5.4 in [EP], §7.8 in [BD] It may very well happen that a matrix has some “repeated” eigenvalues. That is, the characteristic equation det(A − λI) = 0 may have repeated roots. As we have said before, this is actually unlikely to happen for a random matrix. If we take a small perturbation of A (we change the entries of A slightly), then we will get a matrix with distinct eigenvalues. As any system we will want to solve in practice is an approximation to reality anyway, it is not indispensable to know how to solve these corner cases. It may happen on occasion that it is easier or desirable to solve such a system directly. 3.7.1 Geometric multiplicity Take the diagonal matrix 3 0 A= . 0 3 A has an eigenvalue 3 of multiplicity 2. We call the multiplicity of the eigenvalue in the characteristic equation the algebraic multiplicity. In this case, there also exist 2 linearly independent eigenvectors, 1 and 0 corresponding to the eigenvalue 3. This means that the so-called geometric multiplicity 0 1 of this eigenvalue is also 2. In all the theorems where we required a matrix to have n distinct eigenvalues, we only really needed to have n linearly independent eigenvectors. For example, x = Ax has the general solution 1 3t 0 3t x = c1 e + c2 e . 0 1 Let us restate the theorem about real eigenvalues. In the following theorem we will repeat eigen- values according to (algebraic) multiplicity. So for the above matrix A, we would say that it has eigenvalues 3 and 3. Theorem 3.7.1. Take x = Px. Suppose the matrix P is n×n, has n real eigenvalues (not necessarily distinct), λ1 , . . . , λn , and there are n linearly independent corresponding eigenvectors v1 , . . . , vn . Then the general solution to the ODE can be written as x = c1 v1 eλ1 t + c2 v2 eλ2 t + · · · + cn vn eλn t . The geometric multiplicity of an eigenvalue of algebraic multiplicity n is equal to the number of corresponding linearly independent eigenvectors. The geometric multiplicity is always less than or equal to the algebraic multiplicity. We have handled the case when these two multiplicities are equal. If the geometric multiplicity is equal to the algebraic multiplicity, then we say the eigenvalue is complete.
- 125. 3.7. MULTIPLE EIGENVALUES 125 In other words, the hypothesis of the theorem could be stated as saying that if all the eigenvalues of P are complete, then there are n linearly independent eigenvectors and thus we have the given general solution. If the geometric multiplicity of an eigenvalue is 2 or greater, then the set of linearly independent eigenvectors is not unique up to multiples as it was before. For example, for the diagonal matrix A = 3 0 we could also pick eigenvectors 1 and −1 , or in fact any pair of two linearly 0 3 1 1 independent vectors. The number of linearly independent eigenvectors corresponding to λ is the number of free variables we obtain when solving Av = λv. We pick specific values for those free variables to obtain eigenvectors. If you pick different values, you may get different eigenvectors. 3.7.2 Defective eigenvalues If an n × n matrix has less than n linearly independent eigenvectors, it is said to be deficient. Then there is at least one eigenvalue with an algebraic multiplicity that is higher than its geometric multiplicity. We call this eigenvalue defective and the difference between the two multiplicities we call the defect. Example 3.7.1: The matrix 3 1 0 3 has an eigenvalue 3 of algebraic multiplicity 2. Let us try to compute eigenvectors. 0 1 v1 = 0. 0 0 v2 We must have that v2 = 0. Hence any eigenvector is of the form v01 . Any two such vectors are linearly dependent, and hence the geometric multiplicity of the eigenvalue is 1. Therefore, the defect is 1, and we can no longer apply the eigenvalue method directly to a system of ODEs with such a coefficient matrix. The key observation we will use here is that if λ is an eigenvalue of A of algebraic multiplicity m, then we will be able to find m linearly independent vectors solving the equation (A − λI)m v = 0. We will call these generalized eigenvectors. Let us continue with the example A = 3 1 and the equation x = Ax. We have an eigenvalue 0 3 λ = 3 of (algebraic) multiplicity 2 and defect 1. We have found one eigenvector v1 = 1 . We have 0 the solution x1 = v1 e3t . In this case, let us try (in the spirit of repeated roots of the characteristic equation for a single equation) another solution of the form x2 = (v2 + v1 t) e3t .
- 126. 126 CHAPTER 3. SYSTEMS OF ODES We differentiate to get x2 = v1 e3t + 3(v2 + v1 t) e3t = (3v2 + v1 ) e3t + 3v1 te3t . As we are assuming that x2 is a solution, x2 must equal Ax2 , and Ax2 = A(v2 + v1 t) e3t = Av2 e3t + Av1 te3t . By looking at the coefficients of e3t and te3t we see 3v2 + v1 = Av2 and 3v1 = Av1 . This means that (A − 3I)v2 = v1 , and (A − 3I)v1 = 0. Therefore, x2 is a solution if these two equations are satisfied. We know the second of these two equations is satisfied as v1 is an eigenvector. If we plug the first equation into the second we obtain (A − 3I)(A − 3I)v2 = 0, or (A − 3I)2 v2 = 0. If we can, therefore, find a v2 that solves (A − 3I)2 v2 = 0 and such that (A − 3I)v2 = v1 , then we are done. This is just a bunch of linear equations to solve and we are by now very good at that. We notice that in this simple case (A − 3I)2 is just the zero matrix (exercise). Hence, any vector v2 solves (A − 3I)2 v2 = 0. We just have to make sure that (A − 3I)v2 = v1 . Write 0 1 a 1 = . 0 0 b 0 By inspection we see that letting a = 0 (a could be anything in fact) and b = 1 does the job. Hence we can take v2 = 0 . Our general solution to x = Ax is 1 1 3t 0 1 c e3t + c2 te3t x = c1 e + c2 + t e3t = 1 . 0 1 0 c2 e3t Let us check that we really do have the solution. First x1 = c1 3e3t + c2 e3t + 3c2 te3t = 3x1 + x2 . Good. Now x2 = 3c2 e3t = 3x2 . Good. Note that the system x = Ax has a simpler solution since A is a so-called upper triangular matrix, that is every entry below the diagonal is zero. In particular, the equation for x2 does not depend on x1 . Mind you, not every defective matrix is triangular. Exercise 3.7.1: Solve x = 3 1 x by first solving for x2 and then for x1 independently. Check that 0 3 you got the same solution as we did above. Let us describe the general algorithm. Suppose that λ is an eigenvalue of multiplicity 2, defect 1. First find an eigenvector v1 of λ. Then, find a vector v2 such that (A − λI)2 v2 = 0, (A − λI)v2 = v1 .
- 127. 3.7. MULTIPLE EIGENVALUES 127 This gives us two linearly independent solutions x1 = v1 eλt , x2 = v2 + v1 t eλt . This machinery can also be generalized to higher multiplicities and higher defects. We will not go over this method in detail, but let us just sketch the ideas. Suppose that A has an eigenvalue λ of multiplicity m. We find vectors such that (A − λI)k v = 0, but (A − λI)k−1 v 0. Such vectors are called generalized eigenvectors. For every eigenvector v1 we find a chain of generalized eigenvectors v2 through vk such that: (A − λI)v1 = 0, (A − λI)v2 = v1 , . . . (A − λI)vk = vk−1 . We form the linearly independent solutions x1 = v1 eλt , x2 = (v2 + v1 t) eλt , . . . t2 tk−2 tk−1 xk = vk + vk−1 t + vk−2 + · · · + v2 + v1 eλt . 2 (k − 2)! (k − 1)! Recall that k! = 1 · 2 · 3 · · · (k − 1) · k is the factorial. We proceed to find chains until we form m linearly independent solutions (m is the multiplicity). You may need to find several chains for every eigenvalue. 3.7.3 Exercises Exercise 3.7.2: Let A = 5 −3 3 −1 . Find the general solution of x = Ax. 5 −4 4 Exercise 3.7.3: Let A = 0 3 0 . a) What are the eigenvalues? b) What is/are the defect(s) of the −2 4 −1 eigenvalue(s)? c) Find the general solution of x = Ax. 2 1 0 Exercise 3.7.4: Let A = 0 2 0 . a) What are the eigenvalues? b) What is/are the defect(s) of the 0 0 2 eigenvalue(s)? c) Find the general solution of x = Ax in two different ways and verify you get the same answer.
- 128. 128 CHAPTER 3. SYSTEMS OF ODES 0 1 2 Exercise 3.7.5: Let A = −1 −2 −2 . a) What are the eigenvalues? b) What is/are the defect(s) of the −4 4 7 eigenvalue(s)? c) Find the general solution of x = Ax. 0 4 −2 Exercise 3.7.6: Let A = −1 −4 1 . a) What are the eigenvalues? b) What is/are the defect(s) of the 0 0 −2 eigenvalue(s)? c) Find the general solution of x = Ax. 2 1 −1 Exercise 3.7.7: Let A = −1 0 2 . a) What are the eigenvalues? b) What is/are the defect(s) of the −1 −2 4 eigenvalue(s)? c) Find the general solution of x = Ax. Exercise 3.7.8: Suppose that A is a 2 × 2 matrix with a repeated eigenvalue λ. Suppose that there are two linearly independent eigenvectors. Show that A = λI. 1 1 1 Exercise 3.7.101: Let A = 1 1 1 . a) What are the eigenvalues? b) What is/are the defect(s) of the 1 1 1 eigenvalue(s)? c) Find the general solution of x = Ax. 1 3 3 Exercise 3.7.102: Let A = 1 1 0 . a) What are the eigenvalues? b) What is/are the defect(s) of the −1 1 2 eigenvalue(s)? c) Find the general solution of x = Ax. 2 0 0 Exercise 3.7.103: Let A = −1 −1 9 . a) What are the eigenvalues? b) What is/are the defect(s) of 0 −1 5 the eigenvalue(s)? c) Find the general solution of x = Ax. Exercise 3.7.104: Let A = [ a a ], where a, b, and c are unknowns. Suppose that 5 is a doubled b c eigenvalue of defect 1, and suppose that 1 is the eigenvector. Find A and show that there is only 0 one solution.
- 129. 3.8. MATRIX EXPONENTIALS 129 3.8 Matrix exponentials Note: 2 lectures, §5.5 in [EP], §7.7 in [BD] 3.8.1 Definition In this section we present a different way of finding the fundamental matrix solution of a system. Suppose that we have the constant coefficient equation x = Px, as usual. Now suppose that this was one equation (P is a number or a 1 × 1 matrix). Then the solution to this would be x = ePt . It turns out the same computation works for matrices when we define ePt properly. First let us write down the Taylor series for eat for some number a. ∞ (at)2 (at)3 (at)4 (at)k eat = 1 + at + + + + ··· = . 2 6 24 k=0 k! Recall k! = 1 · 2 · 3 · · · k is the factorial, and 0! = 1. We differentiate this series term by term d at a3 t2 a4 t3 (at)2 (at)3 e =a+a t+ 2 + + · · · = a 1 + at + + + · · · = aeat . dt 2 6 2 6 Maybe we can try the same trick with matrices. Suppose that for an n × n matrix A we define the matrix exponential as def 1 1 1 e A = I + A + A2 + A3 + · · · + Ak + · · · 2 6 k! Let us not worry about convergence. The series really does always converge. We usually write Pt as tP by convention when P is a matrix. With this small change and by the exact same calculation as above we have that d tP e = PetP . dt Now P and hence etP is an n × n matrix. What we are looking for is a vector. We note that in the 1 × 1 case we would at this point multiply by an arbitrary constant to get the general solution. In the matrix case we multiply by a column vector c. Theorem 3.8.1. Let P be an n × n matrix. Then the general solution to x = Px is x = etP c, where c is an arbitrary constant vector. In fact x(0) = c.
- 130. 130 CHAPTER 3. SYSTEMS OF ODES Let us check. d d tP x= e c = PetP c = Px. dt dt Hence etP is the fundamental matrix solution of the homogeneous system. If we find a way to compute the matrix exponential, we will have another method of solving constant coefficient homogeneous systems. It also makes it easy to solve for initial conditions. To solve x = Ax, x(0) = b, we take the solution x = etA b. This equation follows because e0A = I, so x(0) = e0A b = b. We mention a drawback of matrix exponentials. In general eA+B eA eB . The trouble is that matrices do not commute, that is, in general AB BA. If you try to prove eA+B eA eB using the Taylor series, you will see why the lack of commutativity becomes a problem. However, it is still true that if AB = BA, that is, if A and B commute, then eA+B = eA eB . We will find this fact useful. Let us restate this as a theorem to make a point. Theorem 3.8.2. If AB = BA, then eA+B = eA eB . Otherwise eA+B eA eB in general. 3.8.2 Simple cases In some instances it may work to just plug into the series definition. Suppose the matrix is diagonal. For example, D = a 0 . Then 0 b ak 0 Dk = , 0 bk and 1 1 1 0 a 0 1 a2 0 1 a3 0 ea 0 eD = I + D + D2 + D3 + · · · = + + 2 + 3 + ··· = . 2 6 0 1 0 b 2 0 b 6 0 b 0 eb So by this rationale we have that e 0 ea 0 eI = and eaI = . 0 e 0 ea This makes exponentials of certain other matrices easy to compute. Notice for example that the matrix A = −1 1 can be written as 3I + B where B = −1 −2 . Notice that B2 = 0 0 . So Bk = 0 5 4 2 4 0 0 for all k ≥ 2. Therefore, e = I + B. Suppose we actually want to compute etA . The matrices 3tI B and tB commute (exercise: check this) and etB = I + tB, since (tB)2 = t2 B2 = 0. We write e3t 0 etA = e3tI+tB = e3tI etB = (I + tB) = 0 e3t e3t 0 1 + 2t 4t (1 + 2t) e3t 4te3t = = . 0 e3t −t 1 − 2t −te3t (1 − 2t) e3t
- 131. 3.8. MATRIX EXPONENTIALS 131 So we have found the fundamental matrix solution for the system x = Ax. Note that this matrix has a repeated eigenvalue with a defect; there is only one eigenvector for the eigenvalue 3. So we have found a perhaps easier way to handle this case. In fact, if a matrix A is 2 × 2 and has an eigenvalue λ of multiplicity 2, then either A is diagonal, or A = λI + B where B2 = 0. This is a good exercise. Exercise 3.8.1: Suppose that A is 2 × 2 and λ is the only eigenvalue. Then show that (A − λI)2 = 0. Then we can write A = λI + B, where B2 = 0. Hint: First write down what does it mean for the eigenvalue to be of multiplicity 2. You will get an equation for the entries. Now compute the square of B. Matrices B such that Bk = 0 for some k are called nilpotent. Computation of the matrix exponential for nilpotent matrices is easy by just writing down the first k terms of the Taylor series. 3.8.3 General matrices In general, the exponential is not as easy to compute as above. We usually cannot write a matrix as a sum of commuting matrices where the exponential is simple for each one. But fear not, it is still not too difficult provided we can find enough eigenvectors. First we need the following interesting result about matrix exponentials. For two square matrices A and B, with B invertible, we have −1 eBAB = BeA B−1 . This can be seen by writing down the Taylor series. First note that 2 (BAB−1 ) = BAB−1 BAB−1 = BAIAB−1 = BA2 B−1 . k And hence by the same reasoning (BAB−1 ) = BAk B−1 . Now write down the Taylor series for eBAB . −1 −1 1 2 1 3 eBAB = I + BAB−1 + (BAB−1 ) + (BAB−1 ) + · · · 2 6 1 2 −1 1 3 −1 = BB−1 + BAB−1 + BA B + BA B + · · · 2 6 1 2 1 3 = B I + A + A + A + · · · B−1 2 6 = Be B . A −1 Given a square matrix A, we can sometimes write A = EDE −1 , where D is diagonal and E invertible. This procedure is called diagonalization. If we can do that, the computation of the exponential becomes easy. Adding t into the mix we see that we can then easily compute the exponential etA = EetD E −1 . To diagonalize A we will need n linearly independent eigenvectors of A. Otherwise this method of computing the exponential does not work and we need to be trickier, but we will not get into such
- 132. 132 CHAPTER 3. SYSTEMS OF ODES details. We let E be the matrix with the eigenvectors as columns. Let λ1 , . . . , λn be the eigenvalues and let v1 , . . . , vn be the eigenvectors, then E = [ v1 v2 · · · vn ]. Let D be the diagonal matrix with the eigenvalues on the main diagonal. That is λ1 0 · · · 0 0 λ2 · · · 0 D = . . .. . . . . . . . . . 0 0 · · · λn We compute AE = A[ v1 v2 · · · vn ] = [ Av1 Av2 · · · Avn ] = [ λ1 v1 λ2 v2 · · · λn vn ] = [ v1 v2 · · · vn ]D = ED. The columns of E are linearly independent as these are linearly independent eigenvectors of A. Hence E is invertible. Since AE = ED, we right multiply by E −1 and we get A = EDE −1 . This means that eA = EeD E −1 . Multiplying the matrix by t we obtain λ1 t e 0 ··· 0 0 eλ2 t · · · 0 etA = EetD E −1 = E . . E . −1 . .. . . . (3.4) . . . . 0 · · · eλn t 0 The formula (3.4), therefore, gives the formula for computing the fundamental matrix solution etA for the system x = Ax, in the case where we have n linearly independent eigenvectors. Notice that this computation still works when the eigenvalues and eigenvectors are complex, though then you will have to compute with complex numbers. It is clear from the definition that if A is real, then etA is real. So you will only need complex numbers in the computation and you may need to apply Euler’s formula to simplify the result. If simplified properly the final matrix will not have any complex numbers in it. Example 3.8.1: Compute the fundamental matrix solution using the matrix exponentials for the system x 1 2 x = . y 2 1 y
- 133. 3.8. MATRIX EXPONENTIALS 133 Then compute the particular solution for the initial conditions x(0) = 4 and y(0) = 2. Let A be the coefficient matrix 1 2 . We first compute (exercise) that the eigenvalues are 3 and 2 1 −1 and corresponding eigenvectors are 1 and −1 . Hence we write 1 1 −1 1 1 e3t 0 1 1 etA = 1 −1 0 e−t 1 −1 1 1 e3t 0 −1 −1 −1 = 1 −1 0 e−t 2 −1 1 −1 e3t e−t −1 −1 = 2 e3t −e−t −1 1 e3t +e−t e3t −e−t −1 −e3t − e−t −e3t + e−t = = 2 2 . 2 −e3t + e−t −e3t − e−t e3t −e−t 2 e3t +e−t 2 The initial conditions are x(0) = 4 and y(0) = 2. Hence, by the property that e0A = I we find that the particular solution we are looking for is etA b where b is 4 . Then the particular solution we are 2 looking for is e3t +e−t e3t −e−t x 4 2e3t + 2e−t + e3t − e−t 3e3t + e−t = 2 2 = = . y e3t −e−t 2 e3t +e−t 2 2 2e3t − 2e−t + e3t + e−t 3e3t − e−t 3.8.4 Fundamental matrix solutions We note that if you can compute the fundamental matrix solution in a different way, you can use this to find the matrix exponential etA . The fundamental matrix solution of a system of ODEs is not unique. The exponential is the fundamental matrix solution with the property that for t = 0 we get the identity matrix. So we must find the right fundamental matrix solution. Let X be any fundamental matrix solution to x = Ax. Then we claim etA = X(t) [X(0)]−1 . Clearly, if we plug t = 0 into X(t) [X(0)]−1 we get the identity. We can multiply a fundamental matrix solution on the right by any constant invertible matrix and we still get a fundamental matrix solution. All we are doing is changing what the arbitrary constants are in the general solution x(t) = X(t)c. 3.8.5 Approximations If you think about it, the computation of any fundamental matrix solution X using the eigenvalue method is just as difficult as the computation of etA . So perhaps we did not gain much by this new tool. However, the Taylor series expansion actually gives us a very easy way to approximate solutions, which the eigenvalue method did not.
- 134. 134 CHAPTER 3. SYSTEMS OF ODES The simplest thing we can do is to just compute the series up to a certain number of terms. There are better ways to approximate the exponential∗ . In many cases however, few terms of the Taylor series give a reasonable approximation for the exponential and may suffice for the application. For example, let us compute the first 4 terms of the series for the matrix A = 1 2 . 2 1 5 13 7 t2 2 t3 3 1 2 2 2 2 e ≈ I + tA + A + A = I + t tA +t 5 +t 3 6 7 3 13 = 2 6 2 1 2 2 3 6 1+t+ + 13 t3 5 2 t 2 t + 2 t2 + 7 t3 = 2 6 3 . 2 t + 2 t + 3 t3 7 2 1 + t + 2 t2 + 13 t3 5 6 Just like the scalar version of the Taylor series approximation, the approximation will be better for small t and worse for larger t. For larger t, we will generally have to compute more terms. Let us see how we stack up against the real solution with t = 0.1. The approximate solution is approximately (rounded to 8 decimal places) 0.12 2 0.13 3 1.12716667 0.22233333 e0.1 A ≈ I + 0.1 A + A + A = . 2 6 0.22233333 1.12716667 And plugging t = 0.1 into the real solution (rounded to 8 decimal places) we get 1.12734811 0.22251069 e0.1 A = . 0.22251069 1.12734811 Not bad at all! Although if we take the same approximation for t = 1 we get 1 1 6.66666667 6.33333333 I + A + A2 + A3 = , 2 6 6.33333333 6.66666667 while the real value is (again rounded to 8 decimal places) 10.22670818 9.85882874 eA = . 9.85882874 10.22670818 So the approximation is not very good once we get up to t = 1. To get a good approximation at t = 1 (say up to 2 decimal places) we would need to go up to the 11th power (exercise). 3.8.6 Exercises Exercise 3.8.2: Using the matrix exponential, find a fundamental matrix solution for the system x = 3x + y, y = x + 3y. ∗ C. Moler and C.F. Van Loan, Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later, SIAM Review 45 (1), 2003, 3–49
- 135. 3.8. MATRIX EXPONENTIALS 135 Exercise 3.8.3: Find etA for the matrix A = 2 3 0 2 . Exercise 3.8.4: Find a fundamental matrix solution for the system x1 = 7x1 + 4x2 + 12x3 , x2 = 0 x1 + 2x2 + x3 , x3 = −3x1 − 2x2 − 5x3 . Then find the solution that satisfies x = 1 . −2 Exercise 3.8.5: Compute the matrix exponential eA for A = 1 2 0 1 . Exercise 3.8.6 (challenging): Suppose AB = BA. Show that under this assumption, eA+B = eA eB . −1 Exercise 3.8.7: Use Exercise 3.8.6 to show that (eA ) = e−A . In particular this means that eA is invertible even if A is not. Exercise 3.8.8: Suppose A is a matrix with eigenvalues −1, 1, and corresponding eigenvectors 1 , 1 0 . a) Find matrix A with these properties. b) Find the fundamental matrix solution to x = Ax. c) 1 Solve the system in with initial conditions x(0) = 2 . 3 Exercise 3.8.9: Suppose that A is an n × n matrix with a repeated eigenvalue λ of multiplicity n. Suppose that there are n linearly independent eigenvectors. Show that the matrix is diagonal, in particular A = λI. Hint: Use diagonalization and the fact that the identity matrix commutes with every other matrix. Exercise 3.8.10: Let A = −1 −1 1 −3 . a) Find etA . b) Solve x = Ax, x(0) = 1 −2 . Exercise 3.8.11: Let A = 1 2 3 4 . Approximate etA by expanding the power series up to the third order. Exercise 3.8.101: Compute etA where A = 1 −2 −2 1 . 1 −3 2 Exercise 3.8.102: Compute etA where A = −2 1 2 . −1 −3 4 Exercise 3.8.103: a) Compute etA where A = 3 −1 1 1 . b) Solve x = Ax for x(0) = 1 2 . Exercise 3.8.104: Compute the first 3 terms (up to the second degree) of the Taylor expansion of etA where A = 2 3 (Write as a single matrix). Then use it to approximate e0.1A . 2 2
- 136. 136 CHAPTER 3. SYSTEMS OF ODES 3.9 Nonhomogeneous systems Note: 3 lectures (may have to skip a little), somewhat different from §5.6 in [EP], §7.9 in [BD] 3.9.1 First order constant coefficient Integrating factor Let us first focus on the nonhomogeneous first order equation x (t) = Ax(t) + f (t), where A is a constant matrix. The first method we will look at is the integrating factor method. For simplicity we rewrite the equation as x (t) + Px(t) = f (t), where P = −A. We multiply both sides of the equation by etP (being mindful that we are dealing with matrices that may not commute) to obtain etP x (t) + etP Px(t) = etP f (t). We notice that PetP = etP P. This fact follows by writing down the series definition of etP , 1 1 PetP = P I + I + tP + (tP)2 + · · · = P + tP2 + t2 P3 + · · · = 2 2 1 = I + I + tP + (tP)2 + · · · P = PetP . 2 We have already seen that d dt etP = PetP . Hence, d tP e x(t) = etP f (t). dt We can now integrate. That is, we integrate each component of the vector separately etP x(t) = etP f (t) dt + c. −1 Recall from Exercise 3.8.7 that (etP ) = e−tP . Therefore, we obtain x(t) = e−tP etP f (t) dt + e−tP c.
- 137. 3.9. NONHOMOGENEOUS SYSTEMS 137 Perhaps it is better understood as a definite integral. In this case it will be easy to also solve for the initial conditions as well. Suppose we have the equation with initial conditions x (t) + Px(t) = f (t), x(0) = b. The solution can then be written as t x(t) = e−tP e sP f (s) ds + e−tP b. (3.5) 0 Again, the integration means that each component of the vector e sP f (s) is integrated separately. It is not hard to see that (3.5) really does satisfy the initial condition x(0) = b. 0 x(0) = e−0P e sP f (s) ds + e−0P b = I b = b. 0 Example 3.9.1: Suppose that we have the system x1 + 5x1 − 3x2 = et , x2 + 3x1 − x2 = 0, with initial conditions x1 (0) = 1, x2 (0) = 0. Let us write the system as 5 −3 et 1 x + x= , x(0) = . 3 −1 0 0 We have previously computed etP for P = 5 −3 3 −1 . We immediately have e−tP , simply by negating t. (1 + 3t) e2t −3te2t (1 − 3t) e−2t 3te−2t etP = , e−tP = . 3te2t (1 − 3t) e2t −3te−2t (1 + 3t) e−2t Instead of computing the whole formula at once. Let us do it in stages. First t t (1 + 3s) e2s −3se2s es e f (s) ds = sP 2s 2s ds 0 0 3se (1 − 3s) e 0 t (1 + 3s) e3s = ds 0 3se3s te3t = (3t−1) e3t +1 . 3
- 138. 138 CHAPTER 3. SYSTEMS OF ODES Then t x(t) = e−tP e sP f (s) ds + e−tP b 0 (1 − 3t) e−2t 3te−2t te3t (1 − 3t) e−2t 3te−2t 1 = (3t−1) e3t +1 + −3te−2t (1 + 3t) e−2t 3 −3te −2t (1 + 3t) e−2t 0 −2t −2t te (1 − 3t) e = t + −e 3 + 1 3 +t e −2t −3te−2t (1 − 2t) e−2t = et . − 3 + 1 − 2t e−2t 3 Phew! Let us check that this really works. x1 + 5x1 − 3x2 = (4te−2t − 4e−2t ) + 5(1 − 2t) e−2t + et − (1 − 6t) e−2t = et . Similarly (exercise) x2 + 3x1 − x2 = 0. The initial conditions are also satisfied as well (exercise). For systems, the integrating factor method only works if P does not depend on t, that is, P is constant. The problem is that in general d e P(t) dt P(t) e P(t) dt , dt because matrix multiplication is not commutative. Eigenvector decomposition For the next method, we note that eigenvectors of a matrix give the directions in which the matrix acts like a scalar. If we solve our system along these directions these solutions would be simpler as we can treat the matrix as a scalar. We can put those solutions together to get the general solution. Take the equation x (t) = Ax(t) + f (t). (3.6) Assume that A has n linearly independent eigenvectors v1 , . . . , vn . Let us write x(t) = v1 ξ1 (t) + v2 ξ2 (t) + · · · + vn ξn (t). (3.7) That is, we wish to write our solution as a linear combination of eigenvectors of A. If we can solve for the scalar functions ξ1 through ξn we have our solution x. Let us decompose f in terms of the eigenvectors as well. Write f (t) = v1 g1 (t) + v2 g2 (t) + · · · + vn gn (t). (3.8)
- 139. 3.9. NONHOMOGENEOUS SYSTEMS 139 That is, we wish to find g1 through gn that satisfy (3.8). We note that since all the eigenvectors are independent, the matrix E = [ v1 v2 · · · vn ] is invertible. We see that (3.8) can be written as f = Eg, where the components of g are the functions g1 through gn . Then g = E −1 f . Hence it is always possible to find g when there are n linearly independent eigenvectors. We plug (3.7) into (3.6), and note that Avk = λk vk . x = v1 ξ1 + v2 ξ2 + · · · + vn ξn = A v1 ξ1 + v2 ξ2 + · · · + vn ξn + v1 g1 + v2 g2 + · · · + vn gn = Av1 ξ1 + Av2 ξ2 + · · · + Avn ξn + v1 g1 + v2 g2 + · · · + vn gn = v1 λ1 ξ1 + v2 λ2 ξ2 + · · · + vn λn ξn + v1 g1 + v2 g2 + · · · + vn gn = v1 (λ1 ξ1 + g1 ) + v2 (λ2 ξ2 + g2 ) + · · · + vn (λn ξn + gn ). If we identify the coefficients of the vectors v1 through vn we get the equations ξ1 = λ1 ξ1 + g1 , ξ2 = λ2 ξ2 + g2 , . . . ξn = λn ξn + gn . Each one of these equations is independent of the others. They are all linear first order equations and can easily be solved by the standard integrating factor method for single equations. That is, for example for the kth equation we write ξk (t) − λk ξk (t) = gk (t). We use the integrating factor e−λk t to find that d ξk (t) e−λk t = e−λk t gk (t). dx Now we integrate and solve for ξk to get ξk (t) = eλk t e−λk t gk (t) dt + Ck eλk t . Note that if we are looking for just any particular solution, we could set Ck to be zero. If we leave these constants in, we will get the general solution. Write x(t) = v1 ξ1 (t) + v2 ξ2 (t) + · · · + vn ξn (t), and we are done. Again, as always, it is perhaps better to write these integrals as definite integrals. Suppose that we have an initial condition x(0) = b. We take c = E −1 b and note b = v1 a1 + · · · + vn an , just like before. Then if we write t ξk (t) = eλk t e−λk s gk (s) dt + ak eλk t , 0
- 140. 140 CHAPTER 3. SYSTEMS OF ODES we will actually get the particular solution x(t) = v1 ξ1 (t) + v2 ξ2 (t) + · · · + vn ξn (t) satisfying x(0) = b, because ξk (0) = ak . Example 3.9.2: Let A = 1 3 . Solve x = Ax + f where f (t) = 2e for x(0) = −5/16 . 3/16 t 3 1 2t The eigenvalues of A are −2 and 4 and corresponding eigenvectors are −1 and 1 respectively. 1 1 This calculation is left as an exercise. We write down the matrix E of the eigenvectors and compute its inverse (using the inverse formula for 2 × 2 matrices) 1 1 1 1 −1 E= , E −1 = . −1 1 2 1 1 We are looking for a solution of the form x = 1 −1 ξ1 + 1 ξ2 . We also wish to write f in terms 1 of the eigenvectors. That is we wish to write f = 2et 2t = −1 g1 + 1 g2 . Thus 1 1 g1 2et 1 1 −1 2et et − t = E −1 = = t . g2 2t 2 1 1 2t e +t So g1 = et − t and g2 = et + t. We further want to write x(0) in terms of the eigenvectors. That is, we wish to write x(0) = −5/16 = −1 a1 + 1 a2 . Hence 3/16 1 1 a1 3/16 1/4 = E −1 −5/16 = −1/16 . a2 So a1 = 1/4 and a2 = −1/16. We plug our x into the equation and get that 1 1 1 1 1 1 ξ1 + ξ2 = A ξ1 + A ξ2 + g1 + g −1 1 −1 1 −1 1 2 1 1 1 1 t = (−2ξ1 ) + 4ξ2 + (et − t) + (e − t). −1 1 −1 1 We get the two equations 1 ξ1 = −2ξ1 + et − t, where ξ1 (0) = a1 = , 4 −1 ξ2 = 4ξ2 + et + t, where ξ2 (0) = a2 = . 16 We solve with integrating factor. Computation of the integral is left as an exercise to the student. Note that we will need integration by parts. et t 1 ξ1 = e−2t e2t (et − t) dt + C1 e−2t = − + + C1 e−2t . 3 2 4
- 141. 3.9. NONHOMOGENEOUS SYSTEMS 141 C1 is the constant of integration. As ξ1 (0) = 1/4, then 1/4 = 1/3 + 1/4 + C1 and hence C1 = −1/3. Similarly et t 1 ξ2 = e4t e−4t (et + t) dt + C2 e4t = − − − + C2 e4t . 3 4 16 As ξ2 (0) = 1/16 we have that −1/16 = −1/3 − 1/16 + C2 and hence C2 = 1/3. The solution is 1 et − e−2t 1 − 2t 1 e4t − et 4t + 1 e4t −e−2t + 3−12t x(t) = + + − = 3 −2t +e4t +2et 16 . −1 3 4 1 3 16 e 3 + 4t−5 16 e4t −e−2t e−2t +e4t +2et That is, x1 = 3 + 3−12t 16 and x2 = 3 + 4t−5 16 . Exercise 3.9.1: Check that x1 and x2 solve the problem. Check both that they satisfy the differential equation and that they satisfy the initial conditions. Undetermined coefficients We also have the method of undetermined coefficients for systems. The only difference here is that we will have to take unknown vectors rather than just numbers. Same caveats apply to undetermined coefficients for systems as for single equations. This method does not always work. Furthermore if the right hand side is complicated, we will have to solve for lots of variables. Each element of an unknown vector is an unknown number. So in system of 3 equations if we have say 4 unknown vectors (this would not be uncommon), then we already have 12 unknown numbers that we need to solve for. The method can turn into a lot of tedious work. As this method is essentially the same as it is for single equations, let us just do an example. Example 3.9.3: Let A = −1 0 . Find a particular solution of x = Ax + f where f (t) = et . t −2 1 Note that we can solve this system in an easier way (can you see how?), but for the purposes of the example, let us use the eigenvalue method plus undetermined coefficients. The eigenvalues of A are −1 and 1 and corresponding eigenvectors are 1 and 0 respectively. 1 1 Hence our complementary solution is 1 −t 0 t xc = α1 e + α2 e, 1 1 for some arbitrary constants α1 and α2 . We would want to guess a particular solution of x = aet + bt + c. However, something of the form aet appears in the complementary solution. Because we do not yet know if the vector a is a multiple of 0 , we do not know if a conflict arises. It is possible that 1
- 142. 142 CHAPTER 3. SYSTEMS OF ODES there is no conflict, but to be safe we should also try btet . Here we find the crux of the difference for systems. We try both terms aet and btet in the solution, not just the term btet . Therefore, we try x = aet + btet + ct + d. Thus we have 8 unknowns. We write a = a1 a2 ,b= b1 b2 ,c= c1 c2 , and d = d1 d2 . We plug x into the equation. First let us compute x . a1 + b1 t b1 t c1 x = a + b et + btet + c = e + te + . a2 + b2 b2 c2 Now x must equal Ax + f , which is Ax + f = Aaet + Abtet + Act + Ad + f = −a1 −b1 −c1 −d1 1 t 0 = et + tet + t+ + e + t. −2a1 + a2 −2b1 + b2 −2c1 + c2 −2d1 + d2 0 1 We identify the coefficients of et , tet , t and any constant vectors. a1 + b1 = −a1 + 1, a2 + b2 = −2a1 + a2 , b1 = −b1 , b2 = −2b1 + b2 , 0 = −c1 , 0 = −2c1 + c2 + 1, c1 = −d1 , c2 = −2d1 + d2 . We could write the 8 × 9 augmented matrix and start row reduction, but it is easier to just solve the equations in an ad hoc manner. Immediately we see that b1 = 0, c1 = 0, d1 = 0. Plugging these back in, we get that c2 = −1 and d2 = −1. The remaining equations that tell us something are a1 = −a1 + 1, a2 + b2 = −2a1 + a2 . So a1 = 1/2 and b2 = −1. Finally, a2 can be arbitrary and still satisfy the equations. We are looking for just a single solution so presumably the simplest one is when a2 = 0. Therefore, 1/2 0 0 0 1 t e x = aet + btet + ct + d = et + tet + t+ = t 2 . 0 −1 −1 −1 −te − t − 1 That is, x1 = 1 et , x2 = −tet − t − 1. We would add this to the complementary solution to get the 2 general solution of the problem. Notice also that both aet and btet were really needed.
- 143. 3.9. NONHOMOGENEOUS SYSTEMS 143 Exercise 3.9.2: Check that x1 and x2 solve the problem. Also try setting a2 = 1 and again check these solutions. What is the difference between the two solutions we can obtain in this way? As you can see, other than the handling of conflicts, undetermined coefficients works exactly the same as it did for single equations. However, the computations can get out of hand pretty quickly for systems. The equation we had done was very simple. 3.9.2 First order variable coefficient Just as for a single equation, there is the method of variation of parameters. In fact for constant coefficient systems, this is essentially the same thing as the integrating factor method we discussed earlier. However, this method will work for any linear system, even if it is not constant coefficient, provided we can somehow solve the associated homogeneous problem. Suppose we have the equation x = A(t) x + f (t). (3.9) Further, suppose that we have solved the associated homogeneous equation x = A(t) x and found the fundamental matrix solution X(t). The general solution to the associated homogeneous equation is X(t)c for a constant vector c. Just like for variation of parameters for single equation we try the solution to the nonhomogeneous equation of the form x p = X(t) u(t), where u(t) is a vector valued function instead of a constant. Now we substitute into (3.9) to obtain x p (t) = X (t) u(t) + X(t) u (t) = A(t) X(t) u(t) + f (t). But X(t) is the fundamental matrix solution to the homogeneous problem, so X (t) = A(t)X(t), and X (t) u(t) + X(t) u (t) = X (t) u(t) + f (t). Hence X(t) u (t) = f (t). If we compute [X(t)]−1 , then u (t) = [X(t)]−1 f (t). We integrate to obtain u and we have the particular solution x p = X(t) u(t). Let us write this as a formula x p = X(t) [X(t)]−1 f (t) dt. Note that if A is constant and we let X(t) = etA , then [X(t)]−1 = e−tA and hence we get a solution x p = etA e−tA f (t) dt, which is precisely what we got using the integrating factor method. Example 3.9.4: Find a particular solution to 1 t −1 t 2 x = x+ (t + 1). (3.10) t2 +1 1 t 1
- 144. 144 CHAPTER 3. SYSTEMS OF ODES Here A = t21 1 −1 is most definitely not constant. Perhaps by a lucky guess, we find that +1 t t X = 1 −t solves X (t) = A(t)X(t). Once we know the complementary solution we can easily find a t 1 solution to (3.10). First we find 1 1 t [X(t)]−1 = . t2 + 1 −t 1 Next we know a particular solution to (3.10) is x p = X(t) [X(t)]−1 f (t) dt 1 −t 1 1 t t 2 = (t + 1) dt t 1 t2+ 1 −t 1 1 1 −t 2t = dt t 1 −t + 1 2 1 −t t2 = t 1 − 1 t3 + t 3 1 4 t = 3 . 3 t + 2 3 t Adding the complementary solution we have that the general solution to (3.10). 1 −t c1 1 4 t c1 − c2 t + 3 t4 1 x= + 3 = . t 1 c2 3 t + 2 3 t c2 + (c1 + 1) t + 2 t3 3 Exercise 3.9.3: Check that x1 = 1 t4 and x2 = 3 t3 + t really solve (3.10). 3 2 In the variation of parameters, just like in the integrating factor method we can obtain the general solution by adding in constants of integration. That is, we will add X(t)c for a vector of arbitrary constants. But that is precisely the complementary solution. 3.9.3 Second order constant coefficients Undetermined coefficients We have already seen a simple example of the method of undetermined coefficients for second order systems in § 3.6. This method is essentially the same as undetermined coefficients for first order systems. There are some simplifications that we can make, as we did in § 3.6. Let the equation be x = Ax + F(t), where A is a constant matrix. If F(t) is of the form F0 cos(ωt), then as two derivatives of cosine is again cosine we can try a solution of the form x p = c cos(ωt),
- 145. 3.9. NONHOMOGENEOUS SYSTEMS 145 and we do not need to introduce sines. If the F is a sum of cosines, note that we still have the superposition principle. If F(t) = F0 cos(ω0 t) + F1 cos(ω1 t), then we would try a cos(ω0 t) for the problem x = Ax + F0 cos(ω0 t), and we would try b cos(ω1 t) for the problem x = Ax + F0 cos(ω1 t). Then we sum the solutions. However, if there is duplication with the complementary solution, or the equation is of the form x = Ax + Bx + F(t), then we need to do the same thing as we do for first order systems. You will never go wrong with putting in more terms than needed into your guess. You will find that the extra coefficients will turn out to be zero. But it is useful to save some time and effort. Eigenvector decomposition If we have the system x = Ax + F(t), we can do eigenvector decomposition, just like for first order systems. Let λ1 , . . . , λn be the eigenvalues and v1 , . . . , vn be eigenvectors. Again form the matrix E = [ v1 · · · vn ]. We write x(t) = v1 ξ1 (t) + v2 ξ2 (t) + · · · + vn ξn (t). We decompose F in terms of the eigenvectors F(t) = v1 g1 (t) + v2 g2 (t) + · · · + vn gn (t). And again g = E −1 F. Now we plug in and doing the same thing as before we obtain x = v1 ξ1 + v2 ξ2 + · · · + vn ξn = A v1 ξ1 + v2 ξ2 + · · · + vn ξn + v1 g1 + v2 g2 + · · · + vn gn = Av1 ξ1 + Av2 ξ2 + · · · + Avn ξn + v1 g1 + v2 g2 + · · · + vn gn = v1 λ1 ξ1 + v2 λ2 ξ2 + · · · + vn λn ξn + v1 g1 + v2 g2 + · · · + vn gn = v1 (λ1 ξ1 + g1 ) + v2 (λ2 ξ2 + g2 ) + · · · + vn (λn ξn + gn ). We identify the coefficients of the eigenvectors to get the equations ξ1 = λ1 ξ1 + g1 , ξ2 = λ2 ξ2 + g2 , . . . ξn = λn ξn + gn . Each one of these equations is independent of the others. We solve each equation using the methods of chapter 2. We write x(t) = v1 ξ1 (t) + · · · + vn ξn (t), and we are done; we have a particular solution. If we have found the general solution for ξ1 through ξn , then again x(t) = v1 ξ1 (t) + · · · + vn ξn (t) is the general solution (and not just a particular solution).
- 146. 146 CHAPTER 3. SYSTEMS OF ODES Example 3.9.5: Let us do the example from § 3.6 using this method. The equation is −3 1 0 x = x+ cos(3t). 2 −2 2 The eigenvalues were −1 and −4, with eigenvectors 1 2 and 1 −1 . Therefore E = 1 1 2 −1 and E −1 = 3 1 −1 . Therefore, 1 2 1 2 g1 1 1 1 0 cos(3t) = E −1 F(t) = = 3 −2 . g2 3 2 −1 2 cos(3t) 3 cos(3t) So after the whole song and dance of plugging in, the equations we get are 2 ξ1 = −ξ1 + cos(3t), 3 2 ξ2 = −4 ξ2 − cos(3t). 3 For each we can try the method of undetermined coefficients and try C1 cos(3t) for the first equation and C2 cos(3t) for the second equation. We plug in to get 2 −9C1 cos(3t) = −C1 cos(3t) + cos(3t), 3 2 −9C2 cos(3t) = −4C2 cos(3t) − cos(3t). 3 Each of these equations we solve separately. We get −9C1 = −C1 + 2/3 and −9C2 = −4C2 − 2/3. And hence C1 = −1/12 and C2 = 2/15. So our particular solution is 1 −1 1 2 1/20 x= cos(3t) + cos(3t) = −3/10 cos(3t). 2 12 −1 15 This solution matches what we got previously in § 3.6. 3.9.4 Exercises Exercise 3.9.4: Find a particular solution to x = x + 2y + 2t, y = 3x + 2y − 4, a) using integrating factor method, b) using eigenvector decomposition, c) using undetermined coefficients. Exercise 3.9.5: Find the general solution to x = 4x + y − 1, y = x + 4y − et , a) using integrating factor method, b) using eigenvector decomposition, c) using undetermined coefficients. Exercise 3.9.6: Find the general solution to x1 = −6x1 + 3x2 + cos(t), x2 = 2x1 − 7x2 + 3 cos(t), a) using eigenvector decomposition, b) using undetermined coefficients.
- 147. 3.9. NONHOMOGENEOUS SYSTEMS 147 Exercise 3.9.7: Find the general solution to x1 = −6x1 + 3x2 + cos(2t), x2 = 2x1 − 7x2 + 3 cos(2t), a) using eigenvector decomposition, b) using undetermined coefficients. Exercise 3.9.8: Take the equation 1 −1 t2 x = t 1 x+ . 1 t −t a) Check that t sin t t cos t xc = c1 + c2 −t cos t t sin t is the complementary solution. b) Use variation of parameters to find a particular solution. Exercise 3.9.101: Find a particular solution to x = 5x + 4y + t, y = x + 8y − t, a) using integrating factor method, b) using eigenvector decomposition, c) using undetermined coefficients. Exercise 3.9.102: Find a particular solution to x = y + et , y = x + et , a) using integrating factor method, b) using eigenvector decomposition, c) using undetermined coefficients. Exercise 3.9.103: Solve x1 = x2 + t, x2 = x1 + t with initial conditions x1 (0) = 1, x2 (0) = 2, using eigenvector decomposition. Exercise 3.9.104: Solve x1 = −3x1 + x2 + t, x2 = 9x1 + 5x2 + cos(t) with initial conditions x1 (0) = 0, x2 (0) = 0, x1 (0) = 0, x2 (0) = 0, using eigenvector decomposition.
- 148. 148 CHAPTER 3. SYSTEMS OF ODES
- 149. Chapter 4 Fourier series and PDEs 4.1 Boundary value problems Note: 2 lectures, similar to §3.8 in [EP], §10.1 and §11.1 in [BD] 4.1.1 Boundary value problems Before we tackle the Fourier series, we need to study the so-called boundary value problems (or endpoint problems). For example, suppose we have x + λx = 0, x(a) = 0, x(b) = 0, for some constant λ, where x(t) is defined for t in the interval [a, b]. Unlike before, when we specified the value of the solution and its derivative at a single point, we now specify the value of the solution at two different points. Note that x = 0 is a solution to this equation, so existence of solutions is not an issue here. Uniqueness of solutions is another issue. The general solution to x + λx = 0 has two arbitrary constants present. It is, therefore, natural (but wrong) to believe that requiring two conditions guarantees a unique solution. Example 4.1.1: Take λ = 1, a = 0, b = π. That is, x + x = 0, x(0) = 0, x(π) = 0. Then x = sin t is another solution (besides x = 0) satisfying both boundary conditions. There are more. Write down the general solution of the differential equation, which is x = A cos t + B sin t. The condition x(0) = 0 forces A = 0. Letting x(π) = 0 does not give us any more information as x = B sin t already satisfies both boundary conditions. Hence, there are infinitely many solutions of the form x = B sin t, where B is an arbitrary constant. 149
- 150. 150 CHAPTER 4. FOURIER SERIES AND PDES Example 4.1.2: On the other hand, change to λ = 2. x + 2x = 0, x(0) = 0, x(π) = 0. √ √ Then the general solution is x = A cos( 2 t) + B sin( 2 t). Letting x(0) = 0 still forces A = 0. We √ √ apply the second condition to find 0 = x(π) = B sin( 2 π). As sin( 2 π) 0 we obtain B = 0. Therefore x = 0 is the unique solution to this problem. What is going on? We will be interested in finding which constants λ allow a nonzero solution, and we will be interested in finding those solutions. This problem is an analogue of finding eigenvalues and eigenvectors of matrices. 4.1.2 Eigenvalue problems For basic Fourier series theory we will need the following three eigenvalue problems. We will consider more general equations, but we will postpone this until chapter 5. x + λx = 0, x(a) = 0, x(b) = 0, (4.1) x + λx = 0, x (a) = 0, x (b) = 0, (4.2) and x + λx = 0, x(a) = x(b), x (a) = x (b), (4.3) A number λ is called an eigenvalue of (4.1) (resp. (4.2) or (4.3)) if and only if there exists a nonzero (not identically zero) solution to (4.1) (resp. (4.2) or (4.3)) given that specific λ. The nonzero solution we found is called the corresponding eigenfunction. Note the similarity to eigenvalues and eigenvectors of matrices. The similarity is not just coincidental. If we think of the equations as differential operators, then we are doing the same exact d2 thing. For example, let L = − dt2 . We are looking for nonzero functions f satisfying certain endpoint conditions that solve (L − λ) f = 0. A lot of the formalism from linear algebra can still apply here, though we will not pursue this line of reasoning too far. Example 4.1.3: Let us find the eigenvalues and eigenfunctions of x + λx = 0, x(0) = 0, x(π) = 0. For reasons that will be clear from the computations, we will have to handle the cases λ 0, λ = 0, λ 0 separately. First suppose that λ 0, then the general solution to x + λx = 0 is √ √ x = A cos( λ t) + B sin( λ t). The condition x(0) = 0 implies immediately A = 0. Next √ 0 = x(π) = B sin( λ π).
- 151. 4.1. BOUNDARY VALUE PROBLEMS 151 If B√ zero, then x is not a nonzero solution. So to get a nonzero solution we must have that is √ √ sin( λ π) = 0. Hence, λ π must be an integer multiple of π. In other words, λ = k for a positive integer k. Hence the positive eigenvalues are k2 for all integers k ≥ 1. The corresponding eigenfunctions can be taken as x = sin(kt). Just like for eigenvectors, we get all the multiples of an eigenfunction, so we only need to pick one. Now suppose that λ = 0. In this case the equation is x = 0 and the general solution is x = At + B. The condition x(0) = 0 implies that B = 0, and x(π) = 0 implies that A = 0. This means that λ = 0 is not an eigenvalue. Finally, suppose that λ 0. In this case we have the general solution √ √ x = A cosh( −λ t) + B sinh( −λ t). Letting x(0) = 0 implies that A = 0 (recall cosh 0 = 1 and sinh 0 = 0). So our solution must be √ x = B sinh( −λ t) and satisfy x(π) = 0. This is only possible if B is zero. Why? Because sinh ξ is only zero when ξ = 0. You should plot sinh to see this fact. We can also see this from the definition t −t of sinh. We get 0 = sinh t = e −e . Hence et = e−t , which implies t = −t and that is only true if t = 0. 2 So there are no negative eigenvalues. In summary, the eigenvalues and corresponding eigenfunctions are λk = k2 with an eigenfunction xk = sin(kt) for all integers k ≥ 1. Example 4.1.4: Let us compute the eigenvalues and eigenfunctions of x + λx = 0, x (0) = 0, x (π) = 0. Again we will have to handle the cases λ 0,√ = 0, λ 0 √ λ separately. First suppose that λ 0. The general solution to x + λx = 0 is x = A cos( λ t) + B sin( λ t). So √ √ √ √ x = −A λ sin( λ t) + B λ cos( λ t). The condition x (0) = 0 implies immediately B = 0. Next √ √ 0 = x (π) = −A λ sin( λ π). √ √ Again A cannot be zero if λ is to be an eigenvalue, and sin( λ π) is only zero if λ = k for a positive integer k. Hence the positive eigenvalues are again k2 for all integers k ≥ 1. And the corresponding eigenfunctions can be taken as x = cos(kt). Now suppose that λ = 0. In this case the equation is x = 0 and the general solution is x = At + B so x = A. The condition x (0) = 0 implies that A = 0. Now x (π) = 0 also simply implies A = 0. This means that B could be anything (let us take it to be 1). So λ = 0 is an eigenvalue and x = 1 is a corresponding eigenfunction. √ √ Finally, let λ 0. In this case we have the general solution x = A cosh( −λ t) + B sinh( −λ t) and hence √ √ √ √ x = A −λ sinh( −λ t) + B −λ cosh( −λ t).
- 152. 152 CHAPTER 4. FOURIER SERIES AND PDES We have already seen (with roles of A and B switched) that for this to be zero at t = 0 and t = π it implies that A = B = 0. Hence there are no negative eigenvalues. In summary, the eigenvalues and corresponding eigenfunctions are λk = k2 with an eigenfunction xk = cos(kt) for all integers k ≥ 1, and there is another eigenvalue λ0 = 0 with an eigenfunction x0 = 1. The following problem is the one that leads to the general Fourier series. Example 4.1.5: Let us compute the eigenvalues and eigenfunctions of x + λx = 0, x(−π) = x(π), x (−π) = x (π). Notice that we have not specified the values or the derivatives at the endpoints, but rather that they are the same at the beginning and at the end of the interval. Let us skip λ 0. The computations are the same as before, and again we find that there are no negative eigenvalues. For λ = 0, the general solution is x = At + B. The condition x(−π) = x(π) implies that A = 0 (Aπ + B = −Aπ + B implies A = 0). The second condition x (−π) = x (π) says nothing about B and hence λ = 0 is an eigenvalue with a √corresponding eigenfunction x = 1. √ For λ 0 we get that x = A cos( λ t) + B sin( λ t). Now √ √ √ √ A cos(− λ π) + B sin(− λ π) = A cos( λ π) + B sin( λ π). We remember that cos(−θ) = cos(θ) and sin(−θ) = − sin(θ). Therefore, √ √ √ √ A cos( λ π) − B sin( λ π) = A cos( λ π) + B sin( λ π). √ Hence either B = 0 or sin( λ π) = 0. Similarly (exercise) if we differentiate x and plug in the √ second condition we find that A = 0 or sin(√λ π) = 0. Therefore, unless we want A and B to both be √ zero (which we do not) we must have sin( λ π) = 0. Hence, λ is an integer and the eigenvalues are yet again λ = k2 for an integer k ≥ 1. In this case, however, x = A cos(kt) + B sin(kt) is an eigenfunction for any A and any B. So we have two linearly independent eigenfunctions sin(kt) and cos(kt). Remember that for a matrix we could also have had two eigenvectors corresponding to a single eigenvalue if the eigenvalue was repeated. In summary, the eigenvalues and corresponding eigenfunctions are λk = k2 with the eigenfunctions cos(kt) and sin(kt) for all integers k ≥ 1, λ0 = 0 with an eigenfunction x0 = 1.
- 153. 4.1. BOUNDARY VALUE PROBLEMS 153 4.1.3 Orthogonality of eigenfunctions Something that will be very useful in the next section is the orthogonality property of the eigen- functions. This is an analogue of the following fact about eigenvectors of a matrix. A matrix is called symmetric if A = AT . Eigenvectors for two distinct eigenvalues of a symmetric matrix are orthogonal. That symmetry is required. We will not prove this fact here. The differential operators we are dealing with act much like a symmetric matrix. We, therefore, get the following theorem. Theorem 4.1.1. Suppose that x1 (t) and x2 (t) are two eigenfunctions of the problem (4.1), (4.2) or (4.3) for two different eigenvalues λ1 and λ2 . Then they are orthogonal in the sense that b x1 (t)x2 (t) dt = 0. a Note that the terminology comes from the fact that the integral is a type of inner product. We will expand on this in the next section. The theorem has a very short, elegant, and illuminating proof so let us give it here. First note that we have the following two equations. x1 + λ1 x1 = 0 and x2 + λ2 x2 = 0. Multiply the first by x2 and the second by x1 and subtract to get (λ1 − λ2 )x1 x2 = x2 x1 − x2 x1 . Now integrate both sides of the equation. b b (λ1 − λ2 ) x1 x2 dt = x2 x1 − x2 x1 dt a a b d = x x1 − x2 x1 dt a dt 2 b = x2 x1 − x2 x1 = 0. t=a The last equality holds because of the boundary conditions. For example, if we consider (4.1) we have x1 (a) = x1 (b) = x2 (a) = x2 (b) = 0 and so x2 x1 − x2 x1 is zero at both a and b. As λ1 λ2 , the theorem follows. Exercise 4.1.1 (easy): Finish the theorem (check the last equality in the proof) for the cases (4.2) and (4.3). We have seen previously that sin(nt) was an eigenfunction for the problem x + λx = 0, x(0) = 0, x(π) = 0. Hence we have the integral π sin(mt) sin(nt) dt = 0, when m n. 0
- 154. 154 CHAPTER 4. FOURIER SERIES AND PDES Similarly π cos(mt) cos(nt) dt = 0, when m n. 0 And finally we also get π sin(mt) sin(nt) dt = 0, when m n, −π π cos(mt) cos(nt) dt = 0, when m n, −π and π cos(mt) sin(nt) dt = 0. −π 4.1.4 Fredholm alternative We now touch on a very useful theorem in the theory of differential equations. The theorem holds in a more general setting than we are going to state it, but for our purposes the following statement is sufficient. We will give a slightly more general version in chapter 5. Theorem 4.1.2 (Fredholm alternative∗ ). Exactly one of the following statements holds. Either x + λx = 0, x(a) = 0, x(b) = 0 (4.4) has a nonzero solution, or x + λx = f (t), x(a) = 0, x(b) = 0 (4.5) has a unique solution for every function f continuous on [a, b]. The theorem is also true for the other types of boundary conditions we considered. The theorem means that if λ is not an eigenvalue, the nonhomogeneous equation (4.5) has a unique solution for every right hand side. On the other hand if λ is an eigenvalue, then (4.5) need not have a solution for every f , and furthermore, even if it happens to have a solution, the solution is not unique. We also want to reinforce the idea here that linear differential operators have much in common with matrices. So it is no surprise that there is a finite dimensional version of Fredholm alternative for matrices as well. Let A be an n × n matrix. The Fredholm alternative then states that either (A − λI)x = 0 has a nontrivial solution, or (A − λI)x = b has a solution for every b. A lot of intuition from linear algebra can be applied to linear differential operators, but one must be careful of course. For example, one difference we have already seen is that in general a differential operator will have infinitely many eigenvalues, while a matrix has only finitely many. ∗ Named after the Swedish mathematician Erik Ivar Fredholm (1866 – 1927).
- 155. 4.1. BOUNDARY VALUE PROBLEMS 155 4.1.5 Application Let us consider a physical application of an endpoint problem. Suppose we have a tightly stretched quickly spinning elastic string or rope of uniform linear density ρ. Let us put this problem into the xy-plane. The x axis represents the position on the string. The string rotates at angular velocity ω, so we will assume that the whole xy-plane rotates at angular velocity ω. We will assume that the string stays in this xy-plane and y will measure its deflection from the equilibrium position, y = 0, on the x axis. Hence, we will find a graph giving the shape of the string. We will idealize the string to have no volume to just be a mathematical curve. If we take a small segment and we look at the tension at the endpoints, we see that this force is tangential and we will assume that the magnitude is the same at both end points. Hence the magnitude is constant everywhere and we will call its magnitude T . If we assume that the deflection is small, then we can use Newton’s second law to get an equation T y + ρω2 y = 0. Let L be the length of the string and the string is fixed at the beginning and end points. Hence, y(0) = 0 and y(L) = 0. See Figure 4.1. y y 0 L x Figure 4.1: Whirling string. We rewrite the equation as y + ρω y = 0. The setup is similar to Example 4.1.3 on page 150, 2 T except for the interval length being L instead of π. We are looking for eigenvalues of y + λy = 0, y(0) = 0, y(L) = 0 where λ = ρω . As before there are no nonpositive eigenvalues. With λ 0, the 2 T √ √ general solution to the equation is y = A cos( λ x) + B sin( λ x). The condition y(0) = 0 implies √ √ that A = 0 as before. The condition y(L) = 0 implies that sin( λ L) = 0 and hence λ L = kπ for some integer k 0, so ρω2 k2 π2 =λ= 2 . T L What does this say about the shape of the string? It says that for all parameters ρ, ω, T not satisfying the above equation, the string is in the equilibrium position, y = 0. When ρω = kLπ , 2 2 2 T 2 then the string will “pop out” some distance B at the midpoint. We cannot compute B with the information we have. Let us assume that ρ and T are fixed and we are changing ω. For most values of ω the string is √ in the equilibrium state. When the angular velocity ω hits a value ω = kπ √ρ , then the string will pop L T
- 156. 156 CHAPTER 4. FOURIER SERIES AND PDES out and will have the shape of a sin wave crossing the x axis k times. When ω changes again, the string returns to the equilibrium position. You can see that the higher the angular velocity the more times it crosses the x axis when it is popped out. 4.1.6 Exercises √ √ Hint for the following exercises: Note that when λ 0, then cos λ (t − a) and sin λ (t − a) are also solutions of the homogeneous equation. Exercise 4.1.2: Compute all eigenvalues and eigenfunctions of x + λx = 0, x(a) = 0, x(b) = 0 (assume a b). Exercise 4.1.3: Compute all eigenvalues and eigenfunctions of x + λx = 0, x (a) = 0, x (b) = 0 (assume a b). Exercise 4.1.4: Compute all eigenvalues and eigenfunctions of x + λx = 0, x (a) = 0, x(b) = 0 (assume a b). Exercise 4.1.5: Compute all eigenvalues and eigenfunctions of x + λx = 0, x(a) = x(b), x (a) = x (b) (assume a b). Exercise 4.1.6: We have skipped the case of λ 0 for the boundary value problem x + λx = 0, x(−π) = x(π), x (−π) = x (π). Finish the calculation and show that there are no negative eigenvalues. Exercise 4.1.101: Consider a spinning string of length 2 and linear density 0.1 and tension 3. Find smallest angular velocity when the string pops out. Exercise 4.1.102: Suppose x + λx = 0 and x(0) = 1, x(1) = 1. Find all λ for which there is more than one solution. Also find the corresponding solutions (only for the eigenvalues). Exercise 4.1.103: Suppose x + x = 0 and x(0) = 0, x (π) = 1. Find all the solution(s) if any exist. Exercise 4.1.104: Consider x + λx = 0 and x(0) = 0, x(1) = 0. Why does it not have any eigenvalues? Why does any first order equation with two endpoint conditions such as above have no eigenvalues? Exercise 4.1.105 (challenging): Suppose x + λx = 0 and x(0) = 0, x (0) = 0, x(1)√ 0. Suppose = that λ 0. Find an equation that all such eigenvalues must satisfy. Hint: Note that − λ is a root of 3 r3 + λ = 0.
- 157. 4.2. THE TRIGONOMETRIC SERIES 157 4.2 The trigonometric series Note: 2 lectures, §9.1 in [EP], §10.2 in [BD] 4.2.1 Periodic functions and motivation As motivation for studying Fourier series, suppose we have the problem x + ω2 x = f (t), 0 (4.6) for some periodic function f (t). We have already solved x + ω2 x = F0 cos(ωt). 0 (4.7) One way to solve (4.6) is to decompose f (t) as a sum of cosines (and sines) and then solve many problems of the form (4.7). We then use the principle of superposition, to sum up all the solutions we got to get a solution to (4.6). Before we proceed, let us talk a little bit more in detail about periodic functions. A function is said to be periodic with period P if f (t) = f (t + P) for all t. For brevity we will say f (t) is P-periodic. Note that a P-periodic function is also 2P-periodic, 3P-periodic and so on. For example, cos(t) and sin(t) are 2π-periodic. So are cos(kt) and sin(kt) for all integers k. The constant functions are an extreme example. They are periodic for any period (exercise). Normally we will start with a function f (t) defined on some interval [−L, L] and we will want to extend periodically to make it a 2L-periodic function. We do this extension by defining a new function F(t) such that for t in [−L, L], F(t) = f (t). For t in [L, 3L], we define F(t) = f (t − 2L), for t in [−3L, −L], F(t) = f (t + 2L), and so on. We assumed that f (−L) = f (L). We could have also started with f defined only on the half-open interval (−L, L] and then define f (−L) = f (L). Example 4.2.1: Define f (t) = 1 − t2 on [−1, 1]. Now extend periodically to a 2-periodic function. See Figure 4.2 on the following page. You should be careful to distinguish between f (t) and its extension. A common mistake is to assume that a formula for f (t) holds for its extension. It can be confusing when the formula for f (t) is periodic, but with perhaps a different period. Exercise 4.2.1: Define f (t) = cos t on [−π/2, π/2]. Take the π-periodic extension and sketch its graph. How does it compare to the graph of cos t? 4.2.2 Inner product and eigenvector decomposition Suppose we have a symmetric matrix, that is AT = A. We have said before that the eigenvectors of A are then orthogonal. Here the word orthogonal means that if v and w are two distinct (and not
- 158. 158 CHAPTER 4. FOURIER SERIES AND PDES -3 -2 -1 0 1 2 3 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 -0.5 -0.5 -3 -2 -1 0 1 2 3 Figure 4.2: Periodic extension of the function 1 − t2 . multiples of each other) eigenvectors of A, then v, w = 0. In this case the inner product v, w is the dot product, which can be computed as vT w. To decompose a vector v in terms of mutually orthogonal vectors w1 and w2 we write v = a1 w1 + a2 w2 . Let us find the formula for a1 and a2 . First let us compute v, w1 = a1 w1 + a2 w2 , w1 = a1 w1 , w1 + a2 w2 , w1 = a1 w1 , w1 . Therefore, v, w1 a1 = . w1 , w1 Similarly v, w2 a2 =. w2 , w2 You probably remember this formula from vector calculus. Example 4.2.2: Write v = 2 as a linear combination of w1 = −1 and w2 = 1 . 3 1 1 First note that w1 and w2 are orthogonal as w1 , w2 = 1(1) + (−1)1 = 0. Then v, w1 2(1) + 3(−1) −1 a1 = = = , w1 , w1 1(1) + (−1)(−1) 2 v, w2 2+3 5 a2 = = = . w2 , w2 1+1 2 Hence 2 −1 1 5 1 = + . 3 2 −1 2 1
- 159. 4.2. THE TRIGONOMETRIC SERIES 159 4.2.3 The trigonometric series Instead of decomposing a vector in terms of eigenvectors of a matrix, we will decompose a function in terms of eigenfunctions of a certain eigenvalue problem. The eigenvalue problem we will use for the Fourier series is x + λx = 0, x(−π) = x(π), x (−π) = x (π). We have previously computed that the eigenfunctions are 1, cos(kt), sin(kt). That is, we will want to find a representation of a 2π-periodic function f (t) as ∞ a0 f (t) = + an cos(nt) + bn sin(nt). 2 n=1 This series is called the Fourier series∗ or the trigonometric series for f (t). We write the coefficient of the eigenfunction 1 as a20 for convenience. We could also think of 1 = cos(0t), so that we only need to look at cos(kt) and sin(kt). As for matrices we want to find a projection of f (t) onto the subspace generated by the eigenfunctions. So we will want to define an inner product of functions. For example, to find an we want to compute f (t) , cos(nt) . We define the inner product as π def f (t) , g(t) = f (t) g(t) dt. −π With this definition of the inner product, we have seen in the previous section that the eigenfunctions cos(kt) (including the constant eigenfunction), and sin(kt) are orthogonal in the sense that cos(mt) , cos(nt) = 0 for m n, sin(mt) , sin(nt) = 0 for m n, sin(mt) , cos(nt) = 0 for all m and n. By elementary calculus for n = 1, 2, 3, . . . we have cos(nt) , cos(nt) = π and sin(nt) , sin(nt) = π. For the constant we get that 1 , 1 = 2π. The coefficients are given by π f (t) , cos(nt) 1 an = = f (t) cos(nt) dt, cos(nt) , cos(nt) π −π π f (t) , sin(nt) 1 bn = = f (t) sin(nt) dt. sin(nt) , sin(nt) π −π Compare these expressions with the finite-dimensional example. For a0 we get a similar formula π f (t) , 1 1 a0 = 2 = f (t) dt. 1, 1 π −π ∗ Named after the French mathematician Jean Baptiste Joseph Fourier (1768 – 1830).
- 160. 160 CHAPTER 4. FOURIER SERIES AND PDES Let us check the formulas using the orthogonality properties. Suppose for a moment that ∞ a0 f (t) = + an cos(nt) + bn sin(nt). 2 n=1 Then for m ≥ 1 we have ∞ a0 f (t) , cos(mt) = + an cos(nt) + bn sin(nt) , cos(mt) 2 n=1 ∞ a0 = 1 , cos(mt) + an cos(nt) , cos(mt) + bn sin(nt) , cos(mt) 2 n=1 = am cos(mt) , cos(mt) . f (t) , cos(mt) And hence am = cos(mt) , cos(mt) . Exercise 4.2.2: Carry out the calculation for a0 and bm . Example 4.2.3: Take the function f (t) = t for t in (−π, π]. Extend f (t) periodically and write it as a Fourier series. This function is called the sawtooth. -5.0 -2.5 0.0 2.5 5.0 3 3 2 2 1 1 0 0 -1 -1 -2 -2 -3 -3 -5.0 -2.5 0.0 2.5 5.0 Figure 4.3: The graph of the sawtooth function. The plot of the extended periodic function is given in Figure 4.3. Let us compute the coefficients. We start with a0 , 1 π a0 = t dt = 0. π −π
- 161. 4.2. THE TRIGONOMETRIC SERIES 161 We will often use the result from calculus that says that the integral of an odd function over a symmetric interval is zero. Recall that an odd function is a function ϕ(t) such that ϕ(−t) = −ϕ(t). For example the functions t, sin t, or (importantly for us) t cos(nt) are all odd functions. Thus π 1 an = t cos(nt) dt = 0. π −π Let us move to bn . Another useful fact from calculus is that the integral of an even function over a symmetric interval is twice the integral of the same function over half the interval. Recall an even function is a function ϕ(t) such that ϕ(−t) = ϕ(t). For example t sin(nt) is even. 1 π bn = t sin(nt) dt π −π 2 π = t sin(nt) dt π 0 π 2 −t cos(nt) 1 π = + cos(nt) dt π n t=0 n 0 2 −π cos(nπ) = +0 π n −2 cos(nπ) 2 (−1)n+1 = = . n n We have used the fact that 1 if n even, cos(nπ) = (−1) = n −1 if n odd. The series, therefore, is ∞ 2 (−1)n+1 sin(nt). n=1 n Let us write out the first 3 harmonics of the series for f (t). 2 2 sin(t) − sin(2t) + sin(3t) + · · · 3 The plot of these first three terms of the series, along with a plot of the first 20 terms is given in Figure 4.4 on the following page. Example 4.2.4: Take the function 0 if −π t ≤ 0, f (t) = π if 0 t ≤ π.
- 162. 162 CHAPTER 4. FOURIER SERIES AND PDES -5.0 -2.5 0.0 2.5 5.0 -5.0 -2.5 0.0 2.5 5.0 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -1 -1 -1 -1 -2 -2 -2 -2 -3 -3 -3 -3 -5.0 -2.5 0.0 2.5 5.0 -5.0 -2.5 0.0 2.5 5.0 Figure 4.4: First 3 (left graph) and 20 (right graph) harmonics of the sawtooth function. -5.0 -2.5 0.0 2.5 5.0 3 3 2 2 1 1 0 0 -5.0 -2.5 0.0 2.5 5.0 Figure 4.5: The graph of the square wave function. Extend f (t) periodically and write it as a Fourier series. This function or its variants appear often in applications and the function is called the square wave. The plot of the extended periodic function is given in Figure 4.5. Now we compute the coefficients. Let us start with a0 π π 1 1 a0 = f (t) dt = π dt = π. π −π π 0 Next, π π 1 1 an = f (t) cos(nt) dt = π cos(nt) dt = 0. π −π π 0
- 163. 4.2. THE TRIGONOMETRIC SERIES 163 And finally 1 π bn = f (t) sin(nt) dt π −π 1 π = π sin(nt) dt π 0 π − cos(nt) = n t=0 1 − cos(πn) 1 − (−1)n 2 if n is odd, = = = n n n 0 if n is even. The Fourier series is ∞ ∞ π 2 π 2 + sin(nt) = + sin (2k − 1) t . 2 n=1 n 2 k=1 2k − 1 n odd Let us write out the first 3 harmonics of the series for f (t). π 2 + 2 sin(t) + sin(3t) + · · · 2 3 The plot of these first three and also of the first 20 terms of the series is given in Figure 4.6. -5.0 -2.5 0.0 2.5 5.0 -5.0 -2.5 0.0 2.5 5.0 3 3 3 3 2 2 2 2 1 1 1 1 0 0 0 0 -5.0 -2.5 0.0 2.5 5.0 -5.0 -2.5 0.0 2.5 5.0 Figure 4.6: First 3 (left graph) and 20 (right graph) harmonics of the square wave function. We have so far skirted the issue of convergence. For example, if f (t) is the square wave function, the equation ∞ π 2 f (t) = + sin (2k − 1) t . 2 k=1 2k − 1
- 164. 164 CHAPTER 4. FOURIER SERIES AND PDES is only an equality for such t where f (t) is continuous. That is, we do not get an equality for t = −π, 0, π and all the other discontinuities of f (t). It is not hard to see that when t is an integer multiple of π (which includes all the discontinuities), then ∞ π 2 π + sin (2k − 1) t = . 2 k=1 2k − 1 2 We redefine f (t) on [−π, π] as 0 if −π t 0, f (t) = π if 0 t π, /2 π if t = −π, t = 0, or t = π, and extend periodically. The series equals this extended f (t) everywhere, including the disconti- nuities. We will generally not worry about changing the function values at several (finitely many) points. We will say more about convergence in the next section. Let us however mention briefly an effect of the discontinuity. Let us zoom in near the discontinuity in the square wave. Further, let us plot the first 100 harmonics, see Figure 4.7. You will notice that while the series is a very good approximation away from the discontinuities, the error (the overshoot) near the discontinuity at t = π does not seem to be getting any smaller. This behavior is known as the Gibbs phenomenon. The region where the error is large does get smaller, however, the more terms in the series we take. 1.75 2.00 2.25 2.50 2.75 3.00 3.25 3.50 3.50 3.25 3.25 3.00 3.00 2.75 2.75 1.75 2.00 2.25 2.50 2.75 3.00 3.25 Figure 4.7: Gibbs phenomenon in action. We can think of a periodic function as a “signal” being a superposition of many signals of pure frequency. For example, we could think of the square wave as a tone of certain base frequency. It will be, in fact, a superposition of many different pure tones of frequencies that are multiples of the
- 165. 4.2. THE TRIGONOMETRIC SERIES 165 base frequency. On the other hand a simple sine wave is only the pure tone. The simplest way to make sound using a computer is the square wave, and the sound will be a very different from nice pure tones. If you have played video games from the 1980s or so, then you have heard what square waves sound like. 4.2.4 Exercises Exercise 4.2.3: Suppose f (t) is defined on [−π, π] as sin(5t) + cos(3t). Extend periodically and compute the Fourier series of f (t). Exercise 4.2.4: Suppose f (t) is defined on [−π, π] as |t|. Extend periodically and compute the Fourier series of f (t). Exercise 4.2.5: Suppose f (t) is defined on [−π, π] as |t|3 . Extend periodically and compute the Fourier series of f (t). Exercise 4.2.6: Suppose f (t) is defined on (−π, π] as −1 if −π t ≤ 0, f (t) = 1 if 0 t ≤ π. Extend periodically and compute the Fourier series of f (t). Exercise 4.2.7: Suppose f (t) is defined on (−π, π] as t3 . Extend periodically and compute the Fourier series of f (t). Exercise 4.2.8: Suppose f (t) is defined on [−π, π] as t2 . Extend periodically and compute the Fourier series of f (t). There is another form of the Fourier series using complex exponentials that is sometimes easier to work with. Exercise 4.2.9: Let ∞ a0 f (t) = + an cos(nt) + bn sin(nt). 2 n=1 Use Euler’s formula eiθ = cos(θ) + i sin(θ) to show that there exist complex numbers cm such that ∞ f (t) = cm eimt . m=−∞ Note that the sum now ranges over all the integers including negative ones. Do not worry about convergence in this calculation. Hint: It may be better to start from the complex exponential form and write the series as ∞ c0 + cm eimt + c−m e−imt . m=1
- 166. 166 CHAPTER 4. FOURIER SERIES AND PDES Exercise 4.2.101: Suppose f (t) is defined on [−π, π] as f (t) = sin(t). Extend periodically and compute the Fourier series. Exercise 4.2.102: Suppose f (t) is defined on (−π, π] as f (t) = sin(πt). Extend periodically and compute the Fourier series. Exercise 4.2.103: Suppose f (t) is defined on (−π, π] as f (t) = sin2 (t). Extend periodically and compute the Fourier series. Exercise 4.2.104: Suppose f (t) is defined on (−π, π] as f (t) = t4 . Extend periodically and compute the Fourier series.
- 167. 4.3. MORE ON THE FOURIER SERIES 167 4.3 More on the Fourier series Note: 2 lectures, §9.2 – §9.3 in [EP], §10.3 in [BD] Before reading the lecture, it may be good to first try Project IV (Fourier series) from the IODE website: http://www.math.uiuc.edu/iode/. After reading the lecture it may be good to continue with Project V (Fourier series again). 4.3.1 2L-periodic functions We have computed the Fourier series for a 2π-periodic function, but what about functions of different periods. Well, fear not, the computation is a simple case of change of variables. We can just rescale the independent axis. Suppose that you have the 2L-periodic function f (t) (L is called the half π period). Let s = L t. Then the function L g(s) = f s π is 2π-periodic. We want to also rescale all our sines and cosines. We want to write ∞ a0 nπ nπ f (t) = + an cos t + bn sin t . 2 n=1 L L If we change variables to s we see that ∞ a0 g(s) = + an cos(ns) + bn sin(ns). 2 n=1 We can compute an and bn as before. After we write down the integrals we change variables from s back to t. 1 π 1 L a0 = g(s) ds = f (t) dt, π −π L −L 1 π 1 L nπ an = g(s) cos(ns) ds = f (t) cos t dt, π −π L −L L 1 π 1 L nπ bn = g(s) sin(ns) ds = f (t) sin t dt. π −π L −L L The two most common half periods that show up in examples are π and 1 because of the simplicity. We should stress that we have done no new mathematics, we have only changed variables. If you understand the Fourier series for 2π-periodic functions, you understand it for 2L- periodic functions. All that we are doing is moving some constants around, but all the mathematics is the same.
- 168. 168 CHAPTER 4. FOURIER SERIES AND PDES Example 4.3.1: Let f (t) = |t| for −1 t ≤ 1, extended periodically. The plot of the periodic extension is given in Figure 4.8. Compute the Fourier series of f (t). -2 -1 0 1 2 1.00 1.00 0.75 0.75 0.50 0.50 0.25 0.25 0.00 0.00 -2 -1 0 1 2 Figure 4.8: Periodic extension of the function f (t). We want to write f (t) = a0 2 + ∞ n=1 an cos(nπt) + bn sin(nπt). For n ≥ 1 we note that |t| cos(nπt) is even and hence 1 an = f (t) cos(nπt) dt −1 1 =2 t cos(nπt) dt 0 1 1 t 1 =2 sin(nπt) −2 sin(nπt) dt nπ t=0 0 nπ 1 1 2 (−1)n − 1 0 if n is even, = 0 + 2 2 cos(nπt) = = −4 nπ t=0 n 2 π2 n π 22 if n is odd. Next we find a0 1 a0 = |t| dt = 1. −1 You should be able to find this integral by thinking about the integral as the area under the graph without doing any computation at all. Finally we can find bn . Here, we notice that |t| sin(nπt) is odd and, therefore, 1 bn = f (t) sin(nπt) dt = 0. −1
- 169. 4.3. MORE ON THE FOURIER SERIES 169 Hence, the series is ∞ 1 −4 + cos(nπt). 2 n=1 n2 π2 n odd Let us explicitly write down the first few terms of the series up to the 3rd harmonic. 1 4 4 − 2 cos(πt) − 2 cos(3πt) − · · · 2 π 9π The plot of these few terms and also a plot up to the 20th harmonic is given in Figure 4.9. You should notice how close the graph is to the real function. You should also notice that there is no “Gibbs phenomenon” present as there are no discontinuities. -2 -1 0 1 2 -2 -1 0 1 2 1.00 1.00 1.00 1.00 0.75 0.75 0.75 0.75 0.50 0.50 0.50 0.50 0.25 0.25 0.25 0.25 0.00 0.00 0.00 0.00 -2 -1 0 1 2 -2 -1 0 1 2 Figure 4.9: Fourier series of f (t) up to the 3rd harmonic (left graph) and up to the 20th harmonic (right graph). 4.3.2 Convergence We will need the one sided limits of functions. We will use the following notation f (c−) = lim f (t), and f (c+) = lim f (t). t↑c t↓c If you are unfamiliar with this notation, limt↑c f (t) means we are taking a limit of f (t) as t approaches c from below (i.e. t c) and limt↓c f (t) means we are taking a limit of f (t) as t approaches c from above (i.e. t c). For example, for the square wave function 0 if −π t ≤ 0, f (t) = (4.8) π if 0 t ≤ π,
- 170. 170 CHAPTER 4. FOURIER SERIES AND PDES we have f (0−) = 0 and f (0+) = π. Let f (t) be a function defined on an interval [a, b]. Suppose that we find finitely many points a = t0 , t1 , t2 , . . . , tk = b in the interval, such that f (t) is continuous on the intervals (t0 , t1 ), (t1 , t2 ), . . . , (tk−1 , tk ). Also suppose that all the one sided limits exist, that is, all of f (t0 +), f (t1 −), f (t1 +), f (t2 −), f (t2 +), . . . , f (tk −) exist and are finite. Then we say f (t) is piecewise continuous. If moreover, f (t) is differentiable at all but finitely many points, and f (t) is piecewise continuous, then f (t) is said to be piecewise smooth. Example 4.3.2: The square wave function (4.8) is piecewise smooth on [−π, π] or any other interval. In such a case we simply say that the function is piecewise smooth. Example 4.3.3: The function f (t) = |t| is piecewise smooth. Example 4.3.4: The function f (t) = 1 is not piecewise smooth on [−1, 1] (or any other interval t containing zero). In fact, it is not even piecewise continuous. √ Example 4.3.5: The function f (t) = 3 t is not piecewise smooth on [−1, 1] (or any other interval containing zero). f (t) is continuous, but the derivative of f (t) is unbounded near zero and hence not piecewise continuous. Piecewise smooth functions have an easy answer on the convergence of the Fourier series. Theorem 4.3.1. Suppose f (t) is a 2L-periodic piecewise smooth function. Let ∞ a0 nπ nπ + an cos t + bn sin t 2 n=1 L L be the Fourier series for f (t). Then the series converges for all t. If f (t) is continuous near t, then ∞ a0 nπ nπ f (t) = + an cos t + bn sin t . 2 n=1 L L Otherwise ∞ f (t−) + f (t+) a0 nπ nπ = + an cos t + bn sin t . 2 2 n=1 L L If we happen to have that f (t) = f (t−)+ f (t+) at all the discontinuities, the Fourier series converges 2 to f (t) everywhere. We can always just redefine f (t) by changing the value at each discontinuity appropriately. Then we can write an equals sign between f (t) and the series without any worry. We mentioned this fact briefly at the end last section. Note that the theorem does not say how fast the series converges. Think back to the discussion of the Gibbs phenomenon in the last section. The closer you get to the discontinuity, the more terms you need to take to get an accurate approximation to the function.
- 171. 4.3. MORE ON THE FOURIER SERIES 171 4.3.3 Differentiation and integration of Fourier series Not only does Fourier series converge nicely, but it is easy to differentiate and integrate the series. We can do this just by differentiating or integrating term by term. Theorem 4.3.2. Suppose ∞ a0 nπ nπ f (t) = + an cos t + bn sin t 2 n=1 L L is a piecewise smooth continuous function and the derivative f (t) is piecewise smooth. Then the derivative can be obtained by differentiating term by term, ∞ −an nπ nπ bn nπ nπ f (t) = sin t + cos t . n=1 L L L L It is important that the function is continuous. It can have corners, but no jumps. Otherwise the differentiated series will fail to converge. For an exercise, take the series obtained for the square wave and try to differentiate the series. Similarly, we can also integrate a Fourier series. Theorem 4.3.3. Suppose ∞ a0 nπ nπ f (t) = + an cos t + bn sin t 2 n=1 L L is a piecewise smooth function. Then the antiderivative is obtained by antidifferentiating term by term and so ∞ a0 t an L nπ −bn L nπ F(t) = +C + sin t + cos t , 2 n=1 nπ L nπ L where F (t) = f (t) and C is an arbitrary constant. Note that the series for F(t) is no longer a Fourier series as it contains the a2 t term. The 0 antiderivative of a periodic function need no longer be periodic and so we should not expect a Fourier series. 4.3.4 Rates of convergence and smoothness Let us do an example of a periodic function with one derivative everywhere. Example 4.3.6: Take the function (t + 1) t if −1 t ≤ 0, f (t) = (1 − t) t if 0 t ≤ 1, and extend to a 2-periodic function. The plot is given in Figure 4.10 on the following page. Note that this function has one derivative everywhere, but it does not have a second derivative whenever t is an integer.
- 172. 172 CHAPTER 4. FOURIER SERIES AND PDES -2 -1 0 1 2 0.50 0.50 0.25 0.25 0.00 0.00 -0.25 -0.25 -0.50 -0.50 -2 -1 0 1 2 Figure 4.10: Smooth 2-periodic function. Exercise 4.3.1: Compute f (0+) and f (0−). Let us compute the Fourier series coefficients. The actual computation involves several integra- tion by parts and is left to student. 1 0 1 a0 = f (t) dt = (t + 1) t dt + (1 − t) t dt = 0, −1 −1 0 1 0 1 an = f (t) cos(nπt) dt = (t + 1) t cos(nπt) dt + (1 − t) t cos(nπt) dt = 0 −1 −1 0 1 0 1 bn = f (t) sin(nπt) dt = (t + 1) t sin(nπt) dt + (1 − t) t sin(nπt) dt −1 −1 0 4(1 − (−1)n ) π38n3 if n is odd, = = π3 n3 0 if n is even. That is, the series is ∞ 8 sin(nπt). n=1 π3 n3 n odd This series converges very fast. If you plot up to the third harmonic, that is the function 8 8 sin(πt) + sin(3πt), π 3 27π3 8 it is almost indistinguishable from the plot of f (t) in Figure 4.10. In fact, the coefficient 27π3 is 3 already just 0.0096 (approximately). The reason for this behavior is the n term in the denominator. The coefficients bn in this case go to zero as fast as 1/n3 goes to zero.
- 173. 4.3. MORE ON THE FOURIER SERIES 173 For functions constructed piecewise from polynomials as above, it is generally true that if you have one derivative, the Fourier coefficients will go to zero approximately like 1/n3 . If you have only a continuous function, then the Fourier coefficients will go to zero as 1/n2 . If you have discontinuities, then the Fourier coefficients will go to zero approximately as 1/n. For more general functions the story is somewhat more complicated but the same idea holds, the more derivatives you have, the faster the coefficients go to zero. Similar reasoning works in reverse. If the coefficients go to zero like 1/n2 you always obtain a continuous function. If they go to zero like 1/n3 you obtain an everywhere differentiable function. To justify this behavior, take for example the function defined by the Fourier series ∞ 1 f (t) = sin(nt). n=1 n3 When we differentiate term by term we notice ∞ 1 f (t) = cos(nt). n=1 n2 Therefore, the coefficients now go down like 1/n2 , which means that we have a continuous function. The derivative of f (t) is defined at most points, but there are points where f (t) is not differentiable. It has corners, but no jumps. If we differentiate again (where we can) we find that the function f (t), now fails to be continuous (has jumps) ∞ −1 f (t) = sin(nt). n=1 n This function is similar to the sawtooth. If we tried to differentiate the series again we would obtain ∞ − cos(nt), n=1 which does not converge! Exercise 4.3.2: Use a computer to plot the series we obtained for f (t), f (t) and f (t). That is, plot say the first 5 harmonics of the functions. At what points does f (t) have the discontinuities? 4.3.5 Exercises Exercise 4.3.3: Let 0 if −1 t ≤ 0, f (t) = t if 0 t ≤ 1, extended periodically. a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic.
- 174. 174 CHAPTER 4. FOURIER SERIES AND PDES Exercise 4.3.4: Let −t if −1 t ≤ 0, f (t) = 2 t if 0 t ≤ 1, extended periodically. a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic. Exercise 4.3.5: Let −t if −10 t ≤ 0, f (t) = 10 t 10 if 0 t ≤ 10, extended periodically (period is 20). a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic. Exercise 4.3.6: Let f (t) = ∞ n13 cos(nt). Is f (t) continuous and differentiable everywhere? Find n=1 the derivative (if it exists everywhere) or justify why f (t) is not differentiable everywhere. n Exercise 4.3.7: Let f (t) = ∞ (−1) sin(nt). Is f (t) differentiable everywhere? Find the derivative n=1 n (if it exists everywhere) or justify why f (t) is not differentiable everywhere. Exercise 4.3.8: Let 0 if −2 t ≤ 0, f (t) = t if 0 t ≤ 1, −t + 2 if 1 t ≤ 2, extended periodically. a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic. Exercise 4.3.9: Let f (t) = et for −1 t ≤ 1 extended periodically. a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic. c) What does the series converge to at t = 1. Exercise 4.3.10: Let f (t) = t2 for −1 t ≤ 1 extended periodically. a) Compute the Fourier series for f (t). b) By plugging in t = 0, evaluate ∞ ∞ (−1)n 1 1 1 1 1 = 1 − + − · · · . c) Now evaluate = 1 + + + ···. n=1 n2 4 9 n=1 n2 4 9 Exercise 4.3.101: Let f (t) = t2 for −2 t ≤ 2 extended periodically. a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic.
- 175. 4.3. MORE ON THE FOURIER SERIES 175 Exercise 4.3.102: Let f (t) = t for λ t ≤ λ (for some λ) extended periodically. a) Compute the Fourier series for f (t). b) Write out the series explicitly up to the 3rd harmonic. Exercise 4.3.103: Let ∞ 1 1 f (t) = + sin(nπt). 2 n=1 n(n2 + 1) Compute f (t). Exercise 4.3.104: Let ∞ 1 1 f (t) = + cos(nt). 2 n=1 n3 a) Find the antiderivative. b) Is the antiderivative periodic? Exercise 4.3.105: Let f (t) = t/2 for −π t π extended periodically. a) Compute the Fourier series for f (t). b) Plug in t = π/2 to find a series representation for π/4. c) Using the first 4 terms of the result from part b) approximate π/4.
- 176. 176 CHAPTER 4. FOURIER SERIES AND PDES 4.4 Sine and cosine series Note: 2 lectures, §9.3 in [EP], §10.4 in [BD] 4.4.1 Odd and even periodic functions You may have noticed by now that an odd function has no cosine terms in the Fourier series and an even function has no sine terms in the Fourier series. This observation is not a coincidence. Let us look at even and odd periodic function in more detail. Recall that a function f (t) is odd if f (−t) = − f (t). A function f (t) is even if f (−t) = f (t). For example, cos(nt) is even and sin(nt) is odd. Similarly the function tk is even if k is even and odd when k is odd. Exercise 4.4.1: Take two functions f (t) and g(t) and define their product h(t) = f (t)g(t). a) Suppose both are odd, is h(t) odd or even? b) Suppose one is even and one is odd, is h(t) odd or even? c) Suppose both are even, is h(t) odd or even? If f (t) and g(t) are both odd, then f (t) + g(t) is odd. Similarly for even functions. On the other hand, if f (t) is odd and g(t) even, then we cannot say anything about the sum f (t) + g(t). In fact, the Fourier series of any function is a sum of an odd (the sine terms) and an even (the cosine terms) function. In this section we consider odd and even periodic functions. We have previously defined the 2L- periodic extension of a function defined on the interval [−L, L]. Sometimes we are only interested in the function on the range [0, L] and it would be convenient to have an odd (resp. even) function. If the function is odd (resp. even), all the cosine (resp. sine) terms will disappear. What we will do is take the odd (resp. even) extension of the function to [−L, L] and then extend periodically to a 2L-periodic function. Take a function f (t) defined on [0, L]. On (−L, L] define the functions def f (t) if 0 ≤ t ≤ L, Fodd (t) = − f (−t) if −L t 0, def f (t) if 0 ≤ t ≤ L, Feven (t) = f (−t) if −L t 0. Extend Fodd (t) and Feven (t) to be 2L-periodic. Then Fodd (t) is called the odd periodic extension of f (t), and Feven (t) is called the even periodic extension of f (t). Exercise 4.4.2: Check that Fodd (t) is odd and that Feven (t) is even. Example 4.4.1: Take the function f (t) = t (1 − t) defined on [0, 1]. Figure 4.11 on the facing page shows the plots of the odd and even extensions of f (t).
- 177. 4.4. SINE AND COSINE SERIES 177 -2 -1 0 1 2 -2 -1 0 1 2 0.3 0.3 0.3 0.3 0.2 0.2 0.2 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -2 -1 0 1 2 -2 -1 0 1 2 Figure 4.11: Odd and even 2-periodic extension of f (t) = t (1 − t), 0 ≤ t ≤ 1. 4.4.2 Sine and cosine series Let f (t) be an odd 2L-periodic function. We write the Fourier series for f (t). First, we compute the coefficients an (including n = 0) and get L 1 nπ an = f (t) cos t dt = 0. L −L L That is, there are no cosine terms in the Fourier series of an odd function. The integral is zero because f (t) cos (nπL t) is an odd function (product of an odd and an even function is odd) and the integral of an odd function over a symmetric interval is always zero. The integral of an even function over a symmetric interval [−L, L] is twice the integral of the function over the interval [0, L]. The function f (t) sin nπ t is the product of two odd functions and hence is even. L L L 1 nπ 2 nπ bn = f (t) sin t dt = f (t) sin t dt. L −L L L 0 L We now write the Fourier series of f (t) as ∞ nπ bn sin t . n=1 L Similarly, if f (t) is an even 2L-periodic function. For the same exact reasons as above, we find that bn = 0 and 2 L nπ an = f (t) cos t dt. L 0 L
- 178. 178 CHAPTER 4. FOURIER SERIES AND PDES The formula still works for n = 0, in which case it becomes L 2 a0 = f (t) dt. L 0 The Fourier series is then ∞ a0 nπ + an cos t . 2 n=1 L An interesting consequence is that the coefficients of the Fourier series of an odd (or even) function can be computed by just integrating over the half interval [0, L]. Therefore, we can compute the Fourier series of the odd (or even) extension of a function by computing certain integrals over the interval where the original function is defined. Theorem 4.4.1. Let f (t) be a piecewise smooth function defined on [0, L]. Then the odd extension of f (t) has the Fourier series ∞ nπ Fodd (t) = bn sin t , n=1 L where L 2 nπ bn = f (t) sin t dt. L 0 L The even extension of f (t) has the Fourier series ∞ a0 nπ Feven (t) = + an cos t , 2 n=1 L where L 2 nπ an = f (t) cos t dt. L 0 L The series ∞ bn sin nπ t is called the sine series of f (t) and the series a20 + ∞ an cos nπ t n=1 L n=1 L is called the cosine series of f (t). We often do not actually care what happens outside of [0, L]. In this case, we pick whichever series fits our problem better. It is not necessary to start with the full Fourier series to obtain the sine and cosine series. The sine series is really the eigenfunction expansion of f (t) using the eigenfunctions of the eigenvalue problem x + λx = 0, x(0) = 0, x(L) = L. The cosine series is the eigenfunction expansion of f (t) using the eigenfunctions of the eigenvalue problem x + λx = 0, x (0) = 0, x (L) = L. We could have, therefore, gotten the same formulas by defining the inner product L f (t), g(t) = f (t)g(t) dt, 0
- 179. 4.4. SINE AND COSINE SERIES 179 and following the procedure of § 4.2. This point of view is useful, as we commonly use a specific series that arose because our underlying question led to a certain eigenvalue problem. If the eigenvalue problem is not one of the three we covered so far, you can still do an eigenfunction expansion, generalizing the results of this chapter. We will deal with such a generalization in chapter 5. Example 4.4.2: Find the Fourier series of the even periodic extension of the function f (t) = t2 for 0 ≤ t ≤ π. We want to write ∞ a0 f (t) = + an cos(nt), 2 n=1 where π 2 2π2 a0 = t2 dt = , π 0 3 and π 2 π 2 2 21 4 π an = t cos(nt) dt = t sin(nt) − t sin(nt) dt π 0 π n 0 nπ 0 π 4 π 4 4(−1)n = 2 t cos(nt) + 2 cos(nt) dt = . nπ 0 nπ 0 n2 Note that we have “detected” the continuity of the extension since the coefficients decay as n12 . That is, the even extension of t2 has no jump discontinuities. It does have corners, since the derivative, which is an odd function and a sine series, has jumps; it has a Fourier series whose coefficients decay only as 1 .n Explicitly, the first few terms of the series are π2 4 − 4 cos(t) + cos(2t) − cos(3t) + · · · 3 9 Exercise 4.4.3: a) Compute the derivative of the even extension of f (t) above and verify it has jump discontinuities. Use the actual definition of f (t), not its cosine series! b) Why is it that the derivative of the even extension of f (t) is the odd extension of f (t)? 4.4.3 Application Fourier series ties in to the boundary value problems we studied earlier. Let us see this connection in more detail. Suppose we have the boundary value problem for 0 t L, x (t) + λ x(t) = f (t),
- 180. 180 CHAPTER 4. FOURIER SERIES AND PDES for the Dirichlet boundary conditions x(0) = 0, x(L) = 0. By using the Fredholm alternative (Theorem 4.1.2 on page 154) we note that as long as λ is not an eigenvalue of the underlying homogeneous problem, there exists a unique solution. Note that the eigenfunctions of this eigenvalue problem are the functions sin nπ t . Therefore, to find the solution, we first find the Fourier sine L series for f (t). We write x also as a sine series, but with unknown coefficients. We substitute the series for x into the equation and solve for the unknown coefficients. If we have the Neumann boundary conditions x (0) = 0, x (L) = 0, we do the same procedure using the cosine series. Let us see how this method works on examples. Example 4.4.3: Take the boundary value problem for 0 t 1, x (t) + 2x(t) = f (t), where f (t) = t on 0 t 1, and satisfying the Dirichlet boundary conditions x(0) = 0, x(1) = 0. We write f (t) as a sine series ∞ f (t) = cn sin(nπt), n=1 where 1 2 (−1)n+1 cn = 2 t sin(nπt) dt = . 0 nπ We write x(t) as ∞ x(t) = bn sin(nπt). n=1 We plug in to obtain ∞ ∞ x (t) + 2x(t) = −bn n2 π2 sin(nπt) + 2 bn sin(nπt) n=1 n=1 ∞ = bn (2 − n2 π2 ) sin(nπt) n=1 ∞ 2 (−1)n+1 = f (t) = sin(nπt). n=1 nπ Therefore, 2 (−1)n+1 bn (2 − n2 π2 ) = nπ or 2 (−1)n+1 bn = . nπ(2 − n2 π2 )
- 181. 4.4. SINE AND COSINE SERIES 181 We have thus obtained a Fourier series for the solution ∞ 2 (−1)n+1 x(t) = sin(nπt). n=1 nπ (2 − n2 π2 ) Example 4.4.4: Similarly we handle the Neumann conditions. Take the boundary value problem for 0 t 1, x (t) + 2x(t) = f (t), where again f (t) = t on 0 t 1, but now satisfying the Neumann boundary conditions x (0) = 0, x (1) = 0. We write f (t) as a cosine series ∞ c0 f (t) = + cn cos(nπt), 2 n=1 where 1 c0 = 2 t dt = 1, 0 and 1 2 (−1)n − 1 −4 if n odd, cn = 2 t cos(nπt) dt = = π n 22 0 π2 n2 0 if n even. We write x(t) as a cosine series ∞ a0 x(t) = + an cos(nπt). 2 n=1 We plug in to obtain ∞ ∞ x (t) + 2x(t) = −an n π cos(nπt) + a0 + 2 2 2 an cos(nπt) n=1 n=1 ∞ = a0 + an (2 − n2 π2 ) cos(nπt) n=1 ∞ 1 −4 = f (t) = + cos(nπt). 2 n=1 π2 n2 n odd Therefore, a0 = 2 , an = 0 for n even (n ≥ 2) and for n odd we have 1 −4 an (2 − n2 π2 ) = , π2 n2
- 182. 182 CHAPTER 4. FOURIER SERIES AND PDES or −4 an = . n2 π2 (2− n2 π2 ) The Fourier series for the solution x(t) is ∞ 1 −4 x(t) = + cos(nπt). 4 n=1 n2 π2 (2− n2 π2 ) n odd 4.4.4 Exercises Exercise 4.4.4: Take f (t) = (t − 1)2 defined on 0 ≤ t ≤ 1. a) Sketch the plot of the even periodic extension of f . b) Sketch the plot of the odd periodic extension of f . Exercise 4.4.5: Find the Fourier series of both the odd and even periodic extension of the function f (t) = (t − 1)2 for 0 ≤ t ≤ 1. Can you tell which extension is continuous from the Fourier series coefficients? Exercise 4.4.6: Find the Fourier series of both the odd and even periodic extension of the function f (t) = t for 0 ≤ t ≤ π. Exercise 4.4.7: Find the Fourier series of the even periodic extension of the function f (t) = sin t for 0 ≤ t ≤ π. Exercise 4.4.8: Consider x (t) + 4x(t) = f (t), where f (t) = 1 on 0 t 1. a) Solve for the Dirichlet conditions x(0) = 0, x(1) = 0. b) Solve for the Neumann conditions x (0) = 0, x (1) = 0. Exercise 4.4.9: Consider x (t) + 9x(t) = f (t), for f (t) = sin(2πt) on 0 t 1. a) Solve for the Dirichlet conditions x(0) = 0, x(1) = 0. b) Solve for the Neumann conditions x (0) = 0, x (1) = 0. Exercise 4.4.10: Consider x (t) + 3x(t) = f (t), x(0) = 0, x(1) = 0, where f (t) = ∞ bn sin(nπt). Write the solution x(t) as a Fourier series, where the coefficients are n=1 given in terms of bn . Exercise 4.4.11: Let f (t) = t2 (2 − t) for 0 ≤ t ≤ 2. Let F(t) be the odd periodic extension. Compute F(1), F(2), F(3), F(−1), F(9/2), F(101), F(103). Note: Do not compute using the sine series.
- 183. 4.4. SINE AND COSINE SERIES 183 Exercise 4.4.101: Let f (t) = t/3 on 0 ≤ t 3. a) Find the Fourier series of the even periodic extension. b) Find the Fourier series of the odd periodic extension. Exercise 4.4.102: Let f (t) = cos(2t) on 0 ≤ t π. a) Find the Fourier series of the even periodic extension. b) Find the Fourier series of the odd periodic extension. Exercise 4.4.103: Let f (t) be defined on 0 ≤ t 1. Now take the average of the two extensions g(t) = Fodd (t)+Feven (t) . a) What is g(t) if 0 ≤ t 1 (Justify!) b) What is g(t) if −1 t 0 (Justify!) 2 Exercise 4.4.104: Let f (t) = ∞ 1 n=1 n2 sin(nt). Solve x − x = f (t) for the Dirichlet conditions x(0) = 0 and x(π) = 0. Exercise 4.4.105 (challenging): Let f (t) = t + ∞ 21n sin(nt). Solve x + πx = f (t) for the Dirichlet n=1 conditions x(0) = 0 and x(π) = 1. Hint: Note that π satisfies the given Dirichlet conditions. t
- 184. 184 CHAPTER 4. FOURIER SERIES AND PDES 4.5 Applications of Fourier series Note: 2 lectures, §9.4 in [EP], not in [BD] 4.5.1 Periodically forced oscillation k Let us return to the forced oscillations. Consider a mass-spring F(t) m system as before, where we have a mass m on a spring with spring constant k, with damping c, and a force F(t) applied to the mass. Suppose the forcing function F(t) is 2L-periodic for some L 0. damping c We have already seen this problem in chapter 2 with a simple F(t). The equation that governs this particular setup is mx (t) + cx (t) + kx(t) = F(t). (4.9) The general solution consists of the complementary solution xc , which solves the associated homogeneous equation mx + cx + kx = 0, and a particular solution of (4.9) we call x p . For c 0, the complementary solution xc will decay as time goes by. Therefore, we are mostly interested in a particular solution x p that does not decay and is periodic with the same period as F(t). We call this particular solution the steady periodic solution and we write it as x sp as before. What will be new in this section is that we consider an arbitrary forcing function F(t) instead of a simple cosine. For simplicity, let us suppose that c = 0. The problem with c 0 is very similar. The equation mx + kx = 0 has the general solution x(t) = A cos(ω0 t) + B sin(ω0 t), where ω0 = m . Any solution to mx (t) + kx(t) = F(t) is of the form A cos(ω0 t) + B sin(ω0 t) + x sp . k The steady periodic solution x sp has the same period as F(t). In the spirit of the last section and the idea of undetermined coefficients we first write ∞ c0 nπ nπ F(t) = + cn cos t + dn sin t . 2 n=1 L L Then we write a proposed steady periodic solution x as ∞ a0 nπ nπ x(t) = + an cos t + bn sin t , 2 n=1 L L where an and bn are unknowns. We plug x into the differential equation and solve for an and bn in terms of cn and dn . This process is perhaps best understood by example.
- 185. 4.5. APPLICATIONS OF FOURIER SERIES 185 Example 4.5.1: Suppose that k = 2, and m = 1. The units are again the mks units (meters- kilograms-seconds). There is a jetpack strapped to the mass, which fires with a force of 1 newton for 1 second and then is off for 1 second, and so on. We want to find the steady periodic solution. The equation is, therefore, x + 2x = F(t), where F(t) is the step function 0 if −1 t 0, F(t) = 1 if 0 t 1, extended periodically. We write ∞ c0 F(t) = + cn cos(nπt) + dn sin(nπt). 2 n=1 We compute 1 1 cn = F(t) cos(nπt) dt = cos(nπt) dt = 0 for n ≥ 1, −1 0 1 1 c0 = F(t) dt = dt = 1, −1 0 1 dn = F(t) sin(nπt) dt −1 1 = sin(nπt) dt 0 1 − cos(nπt) = nπ t=0 1 − (−1) n 2 πn if n odd, = = πn 0 if n even. So ∞ 1 2 F(t) = + sin(nπt). 2 n=1 πn n odd We want to try ∞ a0 x(t) = + an cos(nπt) + bn sin(nπt). 2 n=1 Once we plug x into the differential equation x + 2x = F(t), it is clear that an = 0 for n ≥ 1 as there are no corresponding terms in the series for F(t). Similarly bn = 0 for n even. Hence we try ∞ a0 x(t) = + bn sin(nπt). 2 n=1 n odd
- 186. 186 CHAPTER 4. FOURIER SERIES AND PDES We plug into the differential equation and obtain ∞ ∞ x + 2x = −bn n π sin(nπt) + a0 + 2 2 2 bn sin(nπt) n=1 n=1 n odd n odd ∞ = a0 + bn (2 − n2 π2 ) sin(nπt) n=1 n odd ∞ 1 2 = F(t) = + sin(nπt). 2 n=1 πn n odd So a0 = 2 , bn = 0 for even n, and for odd n we get 1 2 bn = . πn(2 − n2 π2 ) The steady periodic solution has the Fourier series ∞ 1 2 x sp (t) = + sin(nπt). 4 n=1 πn(2 − n2 π2 ) n odd We know this is the steady periodic solution as it contains no terms of the complementary solution and it is periodic with the same period as F(t) itself. See Figure 4.12 for the plot of this solution. 0.0 2.5 5.0 7.5 10.0 0.5 0.5 0.4 0.4 0.3 0.3 0.2 0.2 0.1 0.1 0.0 0.0 0.0 2.5 5.0 7.5 10.0 Figure 4.12: Plot of the steady periodic solution x sp of Example 4.5.1.
- 187. 4.5. APPLICATIONS OF FOURIER SERIES 187 4.5.2 Resonance Just like when the forcing function was a simple cosine, resonance could still happen. Let us assume c = 0 and we will discuss only pure resonance. Again, take the equation mx (t) + kx(t) = F(t). When we expand F(t) and find that some of its terms coincide with the complementary solution to mx + kx = 0, we cannot use those terms in the guess. Just like before, they will disappear when we plug into the left hand side and we will get a contradictory equation (such as 0 = 1). That is, suppose xc = A cos(ω0 t) + B sin(ω0 t), where ω0 = Nπ L for some positive integer N. In this case we have to modify our guess and try ∞ a0 Nπ Nπ nπ nπ x(t) = + t aN cos t + bN sin t + an cos t + bn sin t . 2 L L n=1 L L n N In other words, we multiply the offending term by t. From then on, we proceed as before. Of course, the solution will not be a Fourier series (it will not even be periodic) since it con- tains these terms multiplied by t. Further, the terms t aN cos Nπ t + bN sin Nπ t will eventually L L dominate and lead to wild oscillations. As before, this behavior is called pure resonance or just resonance. Note that there now may be infinitely many resonance frequencies to hit. That is, as we change the frequency of F (we change L), different terms from the Fourier series of F may interfere with the complementary solution and will cause resonance. However, we should note that since everything is an approximation and in particular c is never actually zero but something very close to zero, only the first few resonance frequencies will matter. Example 4.5.2: Find the steady periodic solution to the equation 2x + 18π2 x = F(t), where −1 if −1 t 0, F(t) = 1 if 0 t 1, extended periodically. We note that ∞ 4 F(t) = sin(nπt). n=1 πn n odd Exercise 4.5.1: Compute the Fourier series of F to verify the above equation.
- 188. 188 CHAPTER 4. FOURIER SERIES AND PDES The solution must look like x(t) = c1 cos(3πt) + c2 sin(3πt) + x p (t) for some particular solution x p . We note that if we just tried a Fourier series with sin(nπt) as usual, we would get duplication when n = 3. Therefore, we pull out that term and multiply by t. We also have to add a cosine term to get everything right. That is, we must try ∞ x p (t) = a3 t cos(3πt) + b3 t sin(3πt) + bn sin(nπt). n=1 n odd n 3 Let us compute the second derivative. x p (t) = −6a3 π sin(3πt) − 9π2 a3 t cos(3πt) + 6b3 π cos(3πt) − 9π2 b3 t sin(3πt)+ ∞ + (−n2 π2 bn ) sin(nπt). n=1 n odd n 3 We now plug into the left hand side of the differential equation. 2x p + 18π2 x = − 12a3 π sin(3πt) − 18π2 a3 t cos(3πt) + 12b3 π cos(3πt) − 18π2 b3 t sin(3πt)+ + 18π2 a3 t cos(3πt) + 18π2 b3 t sin(3πt)+ ∞ + (−2n2 π2 bn + 18π2 bn ) sin(nπt). n=1 n odd n 3 If we simplify we obtain ∞ 2x p + 18π x = −12a3 π sin(3πt) + 12b3 π cos(3πt) + 2 (−2n2 π2 bn + 18π2 bn ) sin(nπt). n=1 n odd n 3 This series has to equal to the series for F(t). We equate the coefficients and solve for a3 and bn . 4/(3π) −1 a3 = = 2, −12π 9π b3 = 0, 4 2 bn = = 3 for n odd and n 3. nπ(18π2 − 2n2 π2 ) π n(9 − n2 )
- 189. 4.5. APPLICATIONS OF FOURIER SERIES 189 That is, ∞ −1 2 x p (t) = 2 t cos(3πt) + sin(nπt). 9π n=1 π3 n(9− n2 ) n odd n 3 When c 0, you will not have to worry about pure resonance. That is, there will never be any conflicts and you do not need to multiply any terms by t. There is a corresponding concept of practical resonance and it is very similar to the ideas we already explored in chapter 2. We will not go into details here. 4.5.3 Exercises Exercise 4.5.2: Let F(t) = 1 + ∞ n12 cos(nπt). Find the steady periodic solution to x + 2x = F(t). 2 n=1 Express your solution as a Fourier series. Exercise 4.5.3: Let F(t) = ∞ n13 sin(nπt). Find the steady periodic solution to x + x + x = F(t). n=1 Express your solution as a Fourier series. Exercise 4.5.4: Let F(t) = ∞ n12 cos(nπt). Find the steady periodic solution to x + 4x = F(t). n=1 Express your solution as a Fourier series. Exercise 4.5.5: Let F(t) = t for −1 t 1 and extended periodically. Find the steady periodic solution to x + x = F(t). Express your solution as a series. Exercise 4.5.6: Let F(t) = t for −1 t 1 and extended periodically. Find the steady periodic solution to x + π2 x = F(t). Express your solution as a series. Exercise 4.5.101: Let F(t) = sin(2πt) + 0.1 cos(10πt). Find the steady periodic solution to x + √ 2 x = F(t). Express your solution as a Fourier series. Exercise 4.5.102: Let F(t) = ∞ e−n cos(2nt). Find the steady periodic solution to x + 3x = F(t). n=1 Express your solution as a Fourier series. Exercise 4.5.103: Let F(t) = |t| for −1 ≤ t ≤ 1 extended periodically. Find the steady periodic √ solution to x + 3 x = F(t). Express your solution as a series. Exercise 4.5.104: Let F(t) = |t| for −1 ≤ t ≤ 1 extended periodically. Find the steady periodic solution to x + π2 x = F(t). Express your solution as a series.
- 190. 190 CHAPTER 4. FOURIER SERIES AND PDES 4.6 PDEs, separation of variables, and the heat equation Note: 2 lectures, §9.5 in [EP], §10.5 in [BD] Let us recall that a partial differential equation or PDE is an equation containing the partial derivatives with respect to several independent variables. Solving PDEs will be our main application of Fourier series. A PDE is said to be linear if the dependent variable and its derivatives appear at most to the first power and in no functions. We will only talk about linear PDEs. Together with a PDE, we usually have specified some boundary conditions, where the value of the solution or its derivatives is specified along the boundary of a region, and/or some initial conditions where the value of the solution or its derivatives is specified for some initial time. Sometimes such conditions are mixed together and we will refer to them simply as side conditions. We will study three specific partial differential equations, each one representing a more general class of equations. First, we will study the heat equation, which is an example of a parabolic PDE. Next, we will study the wave equation, which is an example of a hyperbolic PDE. Finally, we will study the Laplace equation, which is an example of an elliptic PDE. Each of our examples will illustrate behavior that is typical for the whole class. 4.6.1 Heat on an insulated wire Let us first study the heat equation. Suppose that we have a wire (or a thin metal rod) of length L that is insulated except at the endpoints. Let x denote the position along the wire and let t denote time. See Figure 4.13. temperature u 0 L x insulation Figure 4.13: Insulated wire. Let u(x, t) denote the temperature at point x at time t. The equation governing this setup is the so-called one-dimensional heat equation: ∂u ∂2 u = k 2, ∂t ∂x where k 0 is a constant (the thermal conductivity of the material). That is, the change in heat at a specific point is proportional to the second derivative of the heat along the wire. This makes sense;
- 191. 4.6. PDES, SEPARATION OF VARIABLES, AND THE HEAT EQUATION 191 if at a fixed t the graph of the heat distribution has a maximum (the graph is concave down), then heat flows away from the maximum. And vice-versa. We will generally use a more convenient notation for partial derivatives. We will write ut instead of ∂u , and we will write u xx instead of ∂ u . With this notation the heat equation becomes 2 ∂t ∂x2 ut = ku xx . For the heat equation, we must also have some boundary conditions. We assume that the ends of the wire are either exposed and touching some body of constant heat, or the ends are insulated. For example, if the ends of the wire are kept at temperature 0, then we must have the conditions u(0, t) = 0 and u(L, t) = 0. If, on the other hand, the ends are also insulated we get the conditions u x (0, t) = 0 and u x (L, t) = 0. In other words, heat is not flowing in nor out of the wire at the ends. We always have two conditions along the x axis as there are two derivatives in the x direction. These side conditions are called homogeneous (that is, u or a derivative of u is set to zero). Furthermore, suppose that we know the initial temperature distribution at time t = 0. That is, u(x, 0) = f (x), for some known function f (x). This initial condition is not a homogeneous side condition. 4.6.2 Separation of variables The heat equation is linear as u and its derivatives do not appear to any powers or in any functions. Thus the principle of superposition still applies for the heat equation (without side conditions). If u1 and u2 are solutions and c1 , c2 are constants, then u = c1 u1 + c2 u2 is also a solution. Exercise 4.6.1: Verify the principle of superposition for the heat equation. Superposition also preserves some of the side conditions. In particular, if u1 and u2 are solutions that satisfy u(0, t) = 0 and u(L, t) = 0, and c1 , c2 are constants, then u = c1 u1 + c2 u2 is still a solution that satisfies u(0, t) = 0 and u(L, t) = 0. Similarly for the side conditions u x (0, t) = 0 and u x (L, t) = 0. In general, superposition preserves all homogeneous side conditions. The method of separation of variables is to try to find solutions that are sums or products of functions of one variable. For example, for the heat equation, we try to find solutions of the form u(x, t) = X(x)T (t).
- 192. 192 CHAPTER 4. FOURIER SERIES AND PDES That the desired solution we are looking for is of this form is too much to hope for. What is perfectly reasonable to ask, however, is to find enough “building-block” solutions of the form u(x, t) = X(x)T (t) using this procedure so that the desired solution to the PDE is somehow constructed from these building blocks by the use of superposition. Let us try to solve the heat equation ut = ku xx with u(0, t) = 0, u(L, t) = 0, and u(x, 0) = f (x). Let us guess u(x, t) = X(x)T (t). We plug into the heat equation to obtain X(x)T (t) = kX (x)T (t). We rewrite as T (t) X (x) = . kT (t) X(x) This equation must hold for all x and all t. But the left hand side does not depend on x and the right hand side does not depend on t. Hence, each side must be a constant. Let us call this constant −λ (the minus sign is for convenience later). We obtain the two equations T (t) X (x) = −λ = . kT (t) X(x) In other words X (x) + λX(x) = 0, T (t) + λkT (t) = 0. The boundary condition u(0, t) = 0 implies X(0)T (t) = 0. We are looking for a nontrivial solution and so we can assume that T (t) is not identically zero. Hence X(0) = 0. Similarly, u(L, t) = 0 implies X(L) = 0. We are looking for nontrivial solutions X of the eigenvalue problem X + λX = 0, X(0) = 0, X(L) = 0. We have previously found that the only eigenvalues are λn = nLπ , for integers 2 2 2 nπ n ≥ 1, where eigenfunctions are sin L x . Hence, let us pick the solutions nπ Xn (x) = sin x . L The corresponding T n must satisfy the equation n2 π2 T n (t) + kT n (t) = 0. L2 By the method of integrating factor, the solution of this problem is −n2 π2 T n (t) = e L2 kt .
- 193. 4.6. PDES, SEPARATION OF VARIABLES, AND THE HEAT EQUATION 193 It will be useful to note that T n (0) = 1. Our building-block solutions are nπ −n2 π2 un (x, t) = Xn (x)T n (t) = sin x e L2 kt . L We note that un (x, 0) = sin nπ L x . Let us write f (x) as the sine series ∞ nπ f (x) = bn sin x . n=1 L That is, we find the Fourier series of the odd periodic extension of f (x). We used the sine series as it corresponds to the eigenvalue problem for X(x) above. Finally, we use superposition to write the solution as ∞ ∞ nπ −n2 π2 u(x, t) = bn un (x, t) = bn sin x e L2 kt . n=1 n=1 L Why does this solution work? First note that it is a solution to the heat equation by superposition. It satisfies u(0, t) = 0 and u(L, t) = 0, because x = 0 or x = L makes all the sines vanish. Finally, plugging in t = 0, we notice that T n (0) = 1 and so ∞ ∞ nπ u(x, 0) = bn un (x, 0) = bn sin x = f (x). n=1 n=1 L Example 4.6.1: Suppose that we have an insulated wire of length 1, such that the ends of the wire are embedded in ice (temperature 0). Let k = 0.003. Then suppose that initial heat distribution is u(x, 0) = 50 x (1 − x). See Figure 4.14. 0.00 0.25 0.50 0.75 1.00 12.5 12.5 10.0 10.0 7.5 7.5 5.0 5.0 2.5 2.5 0.0 0.0 0.00 0.25 0.50 0.75 1.00 Figure 4.14: Initial distribution of temperature in the wire.
- 194. 194 CHAPTER 4. FOURIER SERIES AND PDES We want to find the temperature function u(x, t). Let us suppose we also want to find when (at what t) does the maximum temperature in the wire drop to one half of the initial maximum of 12.5. We are solving the following PDE problem: ut = 0.003 u xx , u(0, t) = u(1, t) = 0, u(x, 0) = 50 x (1 − x) for 0 x 1. We write f (x) = 50 x (1 − x) for 0 x 1 as a sine series. That is, f (x) = ∞ n=1 bn sin(nπx), where 1 200 200 (−1)n 0 if n even, bn = 2 50 x (1 − x) sin(nπx) dx = 3 3 − = 400 0 πn π3 n3 π3 n3 if n odd. 0 0.00 t 20 0.25 40 x 60 0.50 80 u(x,t) 0.75 100 1.00 12.5 12.5 11.700 10.400 9.100 10.0 10.0 7.800 6.500 5.200 7.5 7.5 3.900 2.600 1.300 5.0 5.0 0.000 2.5 2.5 0.0 0.0 0 0.25 20 0.50 40 x 60 0.75 t 80 1.00 100 Figure 4.15: Plot of the temperature of the wire at position x at time t. The solution u(x, t), plotted in Figure 4.15 for 0 ≤ t ≤ 100, is given by the series: ∞ 400 sin(nπx) e−n π 0.003 t . 2 2 u(x, t) = n=1 π 3 n3 n odd
- 195. 4.6. PDES, SEPARATION OF VARIABLES, AND THE HEAT EQUATION 195 Finally, let us answer the question about the maximum temperature. It is relatively easy to see that the maximum temperature will always be at x = 0.5, in the middle of the wire. The plot of u(x, t) confirms this intuition. If we plug in x = 0.5 we get ∞ 400 sin(nπ 0.5) e−n π 0.003 t . 2 2 u(0.5, t) = n=1 π 3 n3 n odd For n = 3 and higher (remember n is only odd), the terms of the series are insignificant compared to the first term. The first term in the series is already a very good approximation of the function. Hence 400 2 u(0.5, t) ≈ 3 e−π 0.003 t . π The approximation gets better and better as t gets larger as the other terms decay much faster. Let us plot the function u(0.5, t), the temperature at the midpoint of the wire at time t, in Figure 4.16. The figure also plots the approximation by the first term. 0 25 50 75 100 12.5 12.5 10.0 10.0 7.5 7.5 5.0 5.0 2.5 2.5 0 25 50 75 100 Figure 4.16: Temperature at the midpoint of the wire (the bottom curve), and the approximation of this temperature by using only the first term in the series (top curve). After t = 5 or so it would be hard to tell the difference between the first term of the series for u(x, t) and the real solution u(x, t). This behavior is a general feature of solving the heat equation. If you are interested in behavior for large enough t, only the first one or two terms may be necessary. Let us get back to the question of when is the maximum temperature one half of the initial maximum temperature. That is, when is the temperature at the midpoint 12.5/2 = 6.25. We notice on the graph that if we use the approximation by the first term we will be close enough. We solve 400 −π2 0.003 t 6.25 = e . π3
- 196. 196 CHAPTER 4. FOURIER SERIES AND PDES That is, ln 6.25 π 3 t= 400 ≈ 24.5. −π2 0.003 So the maximum temperature drops to half at about t = 24.5. We mention an interesting behavior of the solution to the heat equation. The heat equation “smoothes” out the function f (x) as t grows. For a fixed t, the solution is a Fourier series with −n2 π2 coefficients bn e L2 kt . If t 0, then these coefficients go to zero faster than any n1p for any power p. In other words, the Fourier series has infinitely many derivatives everywhere. Thus even if the function f (x) has jumps and corners, then for a fixed t 0, the solution u(x, t) as a function of x is as smooth as we want it to be. 4.6.3 Insulated ends Now suppose the ends of the wire are insulated. In this case, we are solving the equation ut = ku xx with u x (0, t) = 0, u x (L, t) = 0, and u(x, 0) = f (x). Yet again we try a solution of the form u(x, t) = X(x)T (t). By the same procedure as before we plug into the heat equation and arrive at the following two equations X (x) + λX(x) = 0, T (t) + λkT (t) = 0. At this point the story changes slightly. The boundary condition u x (0, t) = 0 implies X (0)T (t) = 0. Hence X (0) = 0. Similarly, u x (L, t) = 0 implies X (L) = 0. We are looking for nontrivial solutions X of the eigenvalue problem X + λX = 0, X (0) = 0, X (L) = 0. We have previously found that the only eigenvalues are λn = nLπ , for integers n ≥ 0, where eigenfunctions are cos nπ x (we include 2 2 2 L the constant eigenfunction). Hence, let us pick solutions nπ Xn (x) = cos x and X0 (x) = 1. L The corresponding T n must satisfy the equation n2 π2 T n (t) + kT n (t) = 0. L2 For n ≥ 1, as before, −n2 π2 T n (t) = e L2 kt . For n = 0, we have T 0 (t) = 0 and hence T 0 (t) = 1. Our building-block solutions will be nπ −n2 π2 un (x, t) = Xn (x)T n (t) = cos x e L2 kt , L
- 197. 4.6. PDES, SEPARATION OF VARIABLES, AND THE HEAT EQUATION 197 and u0 (x, t) = 1. We note that un (x, 0) = cos nπ L x . Let us write f using the cosine series ∞ a0 nπ f (x) = + an cos x . 2 n=1 L That is, we find the Fourier series of the even periodic extension of f (x). We use superposition to write the solution as ∞ ∞ a0 a0 nπ −n2 π2 u(x, t) = + an un (x, t) = + an cos x e L2 kt . 2 n=1 2 n=1 L Example 4.6.2: Let us try the same equation as before, but for insulated ends. We are solving the following PDE problem ut = 0.003 u xx , u x (0, t) = u x (1, t) = 0, u(x, 0) = 50 x (1 − x) for 0 x 1. For this problem, we must find the cosine series of u(x, 0). For 0 x 1 we have ∞ 25 −200 50 x (1 − x) = + cos(nπx). 3 n=2 π2 n2 n even The calculation is left to the reader. Hence, the solution to the PDE problem, plotted in Figure 4.17 on the next page, is given by the series ∞ 25 −200 cos(nπx) e−n π 0.003 t . 2 2 u(x, t) = + 3 n=2 π 2 n2 n even Note in the graph that the temperature evens out across the wire. Eventually, all the terms except the constant die out, and you will be left with a uniform temperature of 25 ≈ 8.33 along the entire 3 length of the wire. 4.6.4 Exercises Exercise 4.6.2: Imagine you have a wire of length 2, with k = 0.001 and an initial temperature distribution of u(x, 0) = 50x. Suppose that both the ends are embedded in ice (temperature 0). Find the solution as a series.
- 198. 198 CHAPTER 4. FOURIER SERIES AND PDES 0.00 0 5 t x 0.25 10 0.50 15 0.75 20 u(x,t) 25 1.00 30 12.5 11.700 12.5 10.400 10.0 9.100 7.800 10.0 6.500 7.5 5.200 3.900 7.5 2.600 5.0 1.300 0.000 5.0 2.5 2.5 0.0 0 0.0 0.00 5 10 0.25 15 0.50 20 0.75 x t 25 30 1.00 Figure 4.17: Plot of the temperature of the insulated wire at position x at time t. Exercise 4.6.3: Find a series solution of ut = u xx , u(0, t) = u(1, t) = 0, u(x, 0) = 100 for 0 x 1. Exercise 4.6.4: Find a series solution of ut = u xx , u x (0, t) = u x (π, t) = 0, u(x, 0) = 3 cos(x) + cos(3x) for 0 x π.
- 199. 4.6. PDES, SEPARATION OF VARIABLES, AND THE HEAT EQUATION 199 Exercise 4.6.5: Find a series solution of 1 ut = u xx , 3 u x (0, t) = u x (π, t) = 0, 10x u(x, 0) = for 0 x π. π Exercise 4.6.6: Find a series solution of ut = u xx , u(0, t) = 0, u(1, t) = 100, u(x, 0) = sin(πx) for 0 x 1. Hint: Use the fact that u(x, t) = 100x is a solution satisfying ut = u xx , u(0, t) = 0, u(1, t) = 100. Then use superposition. Exercise 4.6.7: Find the steady state temperature solution as a function of x alone, by letting t → ∞ in the solution from exercises 4.6.5 and 4.6.6. Verify that it satisfies the equation u xx = 0. Exercise 4.6.8: Use separation variables to find a nontrivial solution to u xx + uyy = 0, where u(x, 0) = 0 and u(0, y) = 0. Hint: Try u(x, y) = X(x)Y(y). Exercise 4.6.9 (challenging): Suppose that one end of the wire is insulated (say at x = 0) and the other end is kept at zero temperature. That is, find a series solution of ut = ku xx , u x (0, t) = u(L, t) = 0, u(x, 0) = f (x) for 0 x L. Express any coefficients in the series by integrals of f (x). Exercise 4.6.10 (challenging): Suppose that the wire is circular and insulated, so there are no ends. You can think of this as simply connecting the two ends and making sure the solution matches up at the ends. That is, find a series solution of ut = ku xx , u(0, t) = u(L, t), u x (0, t) = u x (L, t), u(x, 0) = f (x) for 0 x L. Express any coefficients in the series by integrals of f (x).
- 200. 200 CHAPTER 4. FOURIER SERIES AND PDES Exercise 4.6.101: Find a series solution of ut = 3u xx , u(0, t) = u(π, t) = 0, u(x, 0) = 5 sin(x) + 2 sin(5x) for 0 x π. Exercise 4.6.102: Find a series solution of ut = 0.1u xx , u x (0, t) = u x (π, t) = 0, u(x, 0) = 1 + 2 cos(x) for 0 x π. Exercise 4.6.103: Use separation of variables to find a nontrivial solution to u xt = u xx . Exercise 4.6.104: Use separation of variables (Hint: try u(x, t) = X(x) + T (t)) to find a nontrivial solution to u x + ut = u.
- 201. 4.7. ONE DIMENSIONAL WAVE EQUATION 201 4.7 One dimensional wave equation Note: 1 lecture, §9.6 in [EP], §10.7 in [BD] Imagine we have a tensioned guitar string of length L. Suppose we only consider vibrations in one direction. That is, let x denote the position along the string, let t denote time, and let y denote the displacement of the string from the rest position. See Figure 4.18. y y 0 L x Figure 4.18: Vibrating string. The equation that governs this setup is the so-called one-dimensional wave equation: ytt = a2 y xx , for some constant a 0. Assume that the ends of the string are fixed in place: y(0, t) = 0 and y(L, t) = 0. Note that we have two conditions along the x axis as there are two derivatives in the x direction. There are also two derivatives along the t direction and hence we need two further conditions here. We need to know the initial position and the initial velocity of the string. That is, y(x, 0) = f (x) and yt (x, 0) = g(x), for some known functions f (x) and g(x). As the equation is again linear, superposition works just as it did for the heat equation. And again we will use separation of variables to find enough building-block solutions to get the overall solution. There is one change however. It will be easier to solve two separate problems and add their solutions. The two problems we will solve are wtt = a2 w xx , w(0, t) = w(L, t) = 0, (4.10) w(x, 0) = 0 for 0 x L, wt (x, 0) = g(x) for 0 x L.
- 202. 202 CHAPTER 4. FOURIER SERIES AND PDES and ztt = a2 z xx , z(0, t) = z(L, t) = 0, (4.11) z(x, 0) = f (x) for 0 x L, zt (x, 0) = 0 for 0 x L. The principle of superposition implies that y = w + z solves the wave equation and furthermore y(x, 0) = w(x, 0) + z(x, 0) = f (x) and yt (x, 0) = wt (x, 0) + zt (x, 0) = g(x). Hence, y is a solution to ytt = a2 y xx , y(0, t) = y(L, t) = 0, (4.12) y(x, 0) = f (x) for 0 x L, yt (x, 0) = g(x) for 0 x L. The reason for all this complexity is that superposition only works for homogeneous conditions such as y(0, t) = y(L, t) = 0, y(x, 0) = 0, or yt (x, 0) = 0. Therefore, we will be able to use the idea of separation of variables to find many building-block solutions solving all the homogeneous conditions. We can then use them to construct a solution solving the remaining nonhomogeneous condition. Let us start with (4.10). We try a solution of the form w(x, t) = X(x)T (t) again. We plug into the wave equation to obtain X(x)T (t) = a2 X (x)T (t). Rewriting we get T (t) X (x) 2 T (t) = . a X(x) Again, left hand side depends only on t and the right hand side depends only on x. Therefore, both equal a constant, which we will denote by −λ. T (t) X (x) 2 T (t) = −λ = . a X(x) We solve to get two ordinary differential equations X (x) + λX(x) = 0, T (t) + λa2 T (t) = 0. The conditions 0 = w(0, t) = X(0)T (t) implies X(0) = 0 and w(L, t) = 0 implies that X(L) = 0. Therefore, the only nontrivial solutions for the first equation are when λ = λn = nLπ and they are 2 2 2 nπ Xn (x) = sin x . L The general solution for T for this particular λn is nπa nπa T n (t) = A cos t + B sin t . L L
- 203. 4.7. ONE DIMENSIONAL WAVE EQUATION 203 We also have the condition that w(x, 0) = 0 or X(x)T (0) = 0. This implies that T (0) = 0, which in turn forces A = 0. It is convenient to pick B = nπa (you will see why in a moment) and hence L L nπa T n (t) = sin t . nπa L Our building-block solutions are L nπ nπa wn (x, t) = sin x sin t . nπa L L We differentiate in t, that is ∂wn nπ nπa (x, t) = sin x cos t . ∂t L L Hence, ∂wn nπ (x, 0) = sin x . ∂t L We expand g(x) in terms of these sines as ∞ nπ g(x) = bn sin x . n=1 L Using superposition we can just write down the solution to (4.10) as a series ∞ ∞ L nπ nπa w(x, t) = bn wn (x, t) = bn sin x sin t . n=1 n=1 nπa L L Exercise 4.7.1: Check that w(x, 0) = 0 and wt (x, 0) = g(x). Similarly we proceed to solve (4.11). We again try z(x, y) = X(x)T (t). The procedure works exactly the same at first. We obtain X (x) + λX(x) = 0, T (t) + λa2 T (t) = 0. n2 π2 and the conditions X(0) = 0, X(L) = 0. So again λ = λn = L2 and nπ Xn (x) = sin x . L This time the condition on T is T (0) = 0. Thus we get that B = 0 and we take nπa T n (t) = cos t . L
- 204. 204 CHAPTER 4. FOURIER SERIES AND PDES Our building-block solution will be nπ nπa zn (x, t) = sin x cos t . L L We expand f (x) in terms of these sines as ∞ nπ f (x) = cn sin x . n=1 L And we write down the solution to (4.11) as a series ∞ ∞ nπ nπa z(x, t) = cn zn (x, t) = cn sin x cos t . n=1 n=1 L L Exercise 4.7.2: Fill in the details in the derivation of the solution of (4.11). Check that the solution satisfies all the side conditions. Putting these two solutions together, let us state the result as a theorem. Theorem 4.7.1. Take the equation ytt = a2 y xx , y(0, t) = y(L, t) = 0, (4.13) y(x, 0) = f (x) for 0 x L, yt (x, 0) = g(x) for 0 x L, where ∞ nπ f (x) = cn sin x , n=1 L and ∞ nπ g(x) = bn sin x . n=1 L Then the solution y(x, t) can be written as a sum of the solutions of (4.10) and (4.11). In other words, ∞ L nπ nπa nπ nπa y(x, t) = bn sin x sin t + cn sin x cos t n=1 nπa L L L L ∞ nπ L nπa nπa = sin x bn sin t + cn cos t . n=1 L nπa L L
- 205. 4.7. ONE DIMENSIONAL WAVE EQUATION 205 y 0.1 0 2 x Figure 4.19: Plucked string. Example 4.7.1: Let us try a simple example of a plucked string. Suppose that a string of length 2 is plucked in the middle such that it has the initial shape given in Figure 4.19. That is 0.1 x if 0 ≤ x ≤ 1, f (x) = 0.1 (2 − x) if 1 x ≤ 2. The string starts at rest (g(x) = 0). Suppose that a = 1 in the wave equation for simplicity. We leave it to the reader to compute the sine series of f (x). The series will be ∞ 0.8 nπ nπ f (x) = sin sin x . n=1 n2 π2 2 2 Note that sin nπ 2 is the sequence 1, 0, −1, 0, 1, 0, −1, . . . for n = 1, 2, 3, 4, . . .. Therefore, 0.8 π 0.8 3π 0.8 5π f (x) = sin x − 2 sin x + sin x − ··· π 2 2 9π 2 25π 2 2 The solution y(x, t) is given by ∞ 0.8 nπ nπ nπ y(x, t) = 2 π2 sin sin x cos t n=1 n 2 2 2 ∞ 0.8(−1)m+1 (2m − 1)π (2m − 1)π = sin x cos t m=1 (2m − 1) π 2 2 2 2 0.8 π π 0.8 3π 3π 0.8 5π 5π = sin x cos t − 2 sin x cos t + sin x cos t − ··· π 2 2 2 9π 2 2 25π 2 2 2 A plot for 0 t 3 is given in Figure 4.20 on the following page. Notice that unlike the heat equation, the solution does not become “smoother,” the “sharp edges” remain. We will see the reason for this behavior in the next section where we derive the solution to the wave equation in a different way. Make sure you understand what the plot, such as the one in the figure, is telling you. For each fixed t, you can think of the function y(x, t) as just a function of x. This function gives you the shape of the string at time t.
- 206. 206 CHAPTER 4. FOURIER SERIES AND PDES 0 0.0 t 1 0.5 2 x 1.0 3 y(x,t) 1.5 0.10 0.110 2.0 0.088 0.066 0.10 0.05 0.044 0.022 0.000 0.05 0.00 -0.022 y -0.044 -0.066 -0.088 0.00 -0.05 -0.110 y -0.05 -0.10 0.0 -0.10 0.5 0 1.0 x 1 1.5 2 t 2.0 3 Figure 4.20: Shape of the plucked string for 0 t 3. 4.7.1 Exercises Exercise 4.7.3: Solve ytt = 9y xx , y(0, t) = y(1, t) = 0, y(x, 0) = sin(3πx) + 1 sin(6πx) 4 for 0 x 1, yt (x, 0) = 0 for 0 x 1. Exercise 4.7.4: Solve ytt = 4y xx , y(0, t) = y(1, t) = 0, y(x, 0) = sin(3πx) + 1 sin(6πx) 4 for 0 x 1, yt (x, 0) = sin(9πx) for 0 x 1. Exercise 4.7.5: Derive the solution for a general plucked string of length L, where we raise the string some distance b at the midpoint and let go, and for any constant a (in the equation ytt = a2 y xx ).
- 207. 4.7. ONE DIMENSIONAL WAVE EQUATION 207 Exercise 4.7.6: Imagine that a stringed musical instrument falls on the floor. Suppose that the length of the string is 1 and a = 1. When the musical instrument hits the ground the string was in rest position and hence y(x, 0) = 0. However, the string was moving at some velocity at impact (t = 0), say yt (x, 0) = −1. Find the solution y(x, t) for the shape of the string at time t. Exercise 4.7.7 (challenging): Suppose that you have a vibrating string and that there is air resis- tance proportional to the velocity. That is, you have ytt = a2 y xx − kyt , y(0, t) = y(1, t) = 0, y(x, 0) = f (x) for 0 x 1, yt (x, 0) = 0 for 0 x 1. Suppose that 0 k 2πa. Derive a series solution to the problem. Any coefficients in the series should be expressed as integrals of f (x). Exercise 4.7.101: Solve ytt = y xx , y(0, t) = y(π, t) = 0, y(x, 0) = sin(x) for 0 x π, yt (x, 0) = sin(x) for 0 x π. Exercise 4.7.102: Solve ytt = 25y xx , y(0, t) = y(2, t) = 0, y(x, 0) = 0 for 0 x 2, yt (x, 0) = sin(πt) + 0.1 sin(2πt) for 0 x 2. Exercise 4.7.103: Solve ytt = 2y xx , y(0, t) = y(π, t) = 0, y(x, 0) = x for 0 x π, yt (x, 0) = 0 for 0 x π. Exercise 4.7.104: Let’s see what happens when a = 0. Find a solution to ytt = 0, y(0, t) = y(π, t) = 0, y(x, 0) = sin(2x), yt (x, 0) = sin(x).
- 208. 208 CHAPTER 4. FOURIER SERIES AND PDES 4.8 D’Alembert solution of the wave equation Note: 1 lecture, different from §9.6 in [EP], part of §10.7 in [BD] We have solved the wave equation by using Fourier series. But it is often more convenient to use the so-called d’Alembert solution to the wave equation∗ . This solution can be derived using Fourier series as well, but it is really an awkward use of those concepts. It is much easier to derive this solution by making a correct change of variables to get an equation that can be solved by simple integration. Suppose we have the wave equation ytt = a2 y xx . (4.14) And we wish to solve the equation (4.14) given the conditions y(0, t) = y(L, t) = 0 for all t, y(x, 0) = f (x) 0 x L, (4.15) yt (x, 0) = g(x) 0 x L. 4.8.1 Change of variables We will transform the equation into a simpler form where it can be solved by simple integration. We change variables to ξ = x − at, η = x + at and we use the chain rule: ∂ ∂ξ ∂ ∂η ∂ ∂ ∂ = + = + , ∂x ∂x ∂ξ ∂x ∂η ∂ξ ∂η ∂ ∂ξ ∂ ∂η ∂ ∂ ∂ = + = −a + a . ∂t ∂t ∂ξ ∂t ∂η ∂ξ ∂η We compute ∂2 y ∂ ∂ ∂y ∂y ∂2 y ∂2 y ∂2 y y xx = = + + = 2 +2 + 2, ∂x2 ∂ξ ∂η ∂ξ ∂η ∂ξ ∂ξ∂η ∂η ∂y 2 ∂ ∂ ∂y ∂y ∂2 y ∂2 y ∂2 y ytt = 2 = −a + a −a + a = a2 2 − 2a2 + a2 2 . ∂t ∂ξ ∂η ∂ξ ∂η ∂ξ ∂ξ∂η ∂η ∂2 y ∂2 y In the above computations, we have used the fact from calculus that ∂ξ∂η = ∂η∂ξ . Then we plug into the wave equation, ∂2 y 0 = a2 y xx − ytt = 4a2 = 4a2 yξη . ∂ξ∂η ∗ Named after the French mathematician Jean le Rond d’Alembert (1717 – 1783).
- 209. 4.8. D’ALEMBERT SOLUTION OF THE WAVE EQUATION 209 Therefore, the wave equation (4.14) transforms into yξη = 0. It is easy to find the general solution to this equation by integrating twice. Let us integrate with respect to η first∗ and notice that the constant of integration depends on ξ. We get yξ = C(ξ). Next, we integrate with respect to ξ and notice that the constant of integration must depend on η. Thus, y = C(ξ) dξ + B(η). The solution must, therefore, be of the following form for some functions A(ξ) and B(η): y = A(ξ) + B(η) = A(x − at) + B(x + at). 4.8.2 The formula We know what any solution must look like, but we need to solve for the given side conditions. We will just give the formula and see that it works. First let F(x) denote the odd extension of f (x), and let G(x) denote the odd extension of g(x). Define x x 1 1 1 1 A(x) = F(x) − G(s) ds, B(x) = F(x) + G(s) ds. 2 2a 0 2 2a 0 We claim this A(x) and B(x) give the solution. Explicitly, the solution is y(x, t) = A(x − at) + B(x + at) or in other words: x−at x+at 1 1 1 1 y(x, t) = F(x − at) − G(s) ds + F(x + at) + G(s) ds 2 2a 0 2 2a 0 (4.16) F(x − at) + F(x + at) 1 x+at = + G(s) ds. 2 2a x−at Let us check that the d’Alembert formula really works. x x 1 1 1 1 y(x, 0) = F(x) − G(s) ds + F(x) + G(s) ds = F(x). 2 2a 0 2 2a 0 So far so good. Assume for simplicity F is differentiable. By the fundamental theorem of calculus we have −a 1 a 1 yt (x, t) = F (x − at) + G(x − at) + F (x + at) + G(x + at). 2 2 2 2 So −a 1 a 1 yt (x, 0) = F (x) + G(x) + F (x) + G(x) = G(x). 2 2 2 2 Yay! We’re smoking now. OK, now the boundary conditions. Note that F(x) and G(x) are odd. x Also 0 G(s) ds is an even function of x because G(x) is odd (to see this fact, do the substitution ∗ We can just as well integrate with ξ first, if we wish.
- 210. 210 CHAPTER 4. FOURIER SERIES AND PDES s = −v). So −at at 1 1 1 1 y(0, t) = F(−at) − G(s) ds + F(at) + G(s) ds 2 2a 0 2 2a 0 at at −1 1 1 1 = F(at) − G(s) ds + F(at) + G(s) ds = 0. 2 2a 0 2 2a 0 Note that F(x) and G(x) are 2L periodic. We compute L−at L+at 1 1 1 1 y(L, t) = F(L − at) − G(s) ds + F(L + at) + G(s) ds 2 2a 0 2 2a 0 L −at 1 1 1 = F(−L − at) − G(s) ds − G(s) ds + 2 2a 0 2a 0 L at 1 1 1 + F(L + at) + G(s) ds + G(s) ds 2 2a 0 2a 0 at at −1 1 1 1 = F(L + at) − G(s) ds + F(L + at) + G(s) ds = 0. 2 2a 0 2 2a 0 And voilà, it works. Example 4.8.1: What the d’Alembert solution says is that the solution is a superposition of two functions (waves) moving in the opposite direction at “speed” a. To get an idea of how it works, let us do an example. Suppose that we have the simpler setup ytt = y xx , y(0, t) = y(1, t) = 0, y(x, 0) = f (x), yt (x, 0) = 0. Here f (x) is an impulse of height 1 centered at x = 0.5: x 0.45, 0 if 0≤ x 0.45, 20 (x − 0.45) if 0≤ f (x) = 20 (0.55 − x) if 0.45 ≤ x 0.55, 0 if 0.55 ≤ x ≤ 1. The graph of this pulse is the top left plot in Figure 4.21 on the next page. Let F(x) be the odd periodic extension of f (x). Then from (4.16) we know that the solution is given as F(x − t) + F(x + t) y(x, t) = . 2
- 211. 4.8. D’ALEMBERT SOLUTION OF THE WAVE EQUATION 211 It is not hard to compute specific values of y(x, t). For example, to compute y(0.1, 0.6) we notice x − t = −0.5 and x + t = 0.7. Now F(−0.5) = − f (0.5) = −20 (0.55 − 0.5) = −1 and F(0.7) = f (0.7) = 0. Hence y(0.1, 0.6) = −1+0 = −0.5. As you can see the d’Alembert solution is much easier 2 to actually compute and to plot than the Fourier series solution. See Figure 4.21 for plots of the solution y for several different t. 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -0.5 -0.5 -0.5 -0.5 -1.0 -1.0 -1.0 -1.0 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -0.5 -0.5 -0.5 -0.5 -1.0 -1.0 -1.0 -1.0 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 Figure 4.21: Plot of the d’Alembert solution for t = 0, t = 0.2, t = 0.4, and t = 0.6. 4.8.3 Notes It is perhaps easier and more useful to memorize the procedure rather than the formula itself. The important thing to remember is that a solution to the wave equation is a superposition of two waves traveling in opposite directions. That is, y(x, t) = A(x − at) + B(x + at).
- 212. 212 CHAPTER 4. FOURIER SERIES AND PDES If you think about it, the exact formulas for A and B are not hard to guess once you realize what kind of side conditions y(x, t) is supposed to satisfy. Let us give the formula again, but slightly differently. Best approach is to do this in stages. When g(x) = 0 (and hence G(x) = 0) we have the solution F(x − at) + F(x + at) . 2 On the other hand, when f (x) = 0 (and hence F(x) = 0), we let x H(x) = G(s) ds. 0 The solution in this case is 1 x+at −H(x − at) + H(x + at) G(s) ds = . 2a x−at 2a By superposition we get a solution for the general side conditions (4.15) (when neither f (x) nor g(x) are identically zero). F(x − at) + F(x + at) −H(x − at) + H(x + at) y(x, t) = + . (4.17) 2 2a Do note the minus sign before the H, and the a in the second denominator. Exercise 4.8.1: Check that the new formula (4.17) satisfies the side conditions (4.15). Warning: Make sure you use the odd extensions F(x) and G(x), when you have formulas for f (x) and g(x). The thing is, those formulas in general hold only for 0 x L, and are not usually equal to F(x) and G(x) for other x. 4.8.4 Exercises Exercise 4.8.2: Using the d’Alembert solution solve ytt = 4y xx , 0 x π, t 0, y(0, t) = y(π, t) = 0, y(x, 0) = sin x, and yt (x, 0) = sin x. Hint: Note that sin x is the odd extension of y(x, 0) and yt (x, 0). Exercise 4.8.3: Using the d’Alembert solution solve ytt = 2y xx , 0 x 1, t 0, y(0, t) = y(1, t) = 0, y(x, 0) = sin5 (πx), and yt (x, 0) = sin3 (πx). Exercise 4.8.4: Take ytt = 4y xx , 0 x π, t 0, y(0, t) = y(π, t) = 0, y(x, 0) = x(π − x), and yt (x, 0) = 0. a) Solve using the d’Alembert formula. Hint: You can use the sine series for y(x, 0). b) Find the solution as a function of x for a fixed t = 0.5, t = 1, and t = 2. Do not use the sine series here. Exercise 4.8.5: Derive the d’Alembert solution for ytt = a2 y xx , 0 x π, t 0, y(0, t) = y(π, t) = 0, y(x, 0) = f (x), and yt (x, 0) = 0, using the Fourier series solution of the wave equation, by applying an appropriate trigonometric identity.
- 213. 4.8. D’ALEMBERT SOLUTION OF THE WAVE EQUATION 213 Exercise 4.8.6: The d’Alembert solution still works if there are no boundary conditions and the initial condition is defined on the whole real line. Suppose that ytt = y xx (for all x on the real line and t ≥ 0), y(x, 0) = f (x), and yt (x, 0) = 0, where if x −1, 0 x + 1 if −1 ≤ x 0, f (x) = −x + 1 if 0 ≤ x 1, if x 1. 0 Solve using the d’Alembert solution. That is, write down a piecewise definition for the solution. Then sketch the solution for t = 0, t = 1/2, t = 1, and t = 2. Exercise 4.8.101: Using the d’Alembert solution solve ytt = 9y xx , 0 x 1, t 0, y(0, t) = y(1, t) = 0, y(x, 0) = sin(2πx), and yt (x, 0) = sin(3πx). Exercise 4.8.102: Take ytt = 4y xx , 0 x 1, t 0, y(0, t) = y(1, t) = 0, y(x, 0) = x − x2 , and yt (x, 0) = 0. Using the D’Alembert solution find the solution at a) t = 0.1, b) t = 1/2, c) t = 1. You may have to split your answer up by cases. Exercise 4.8.103: Take ytt = 100y xx , 0 x 4, t 0, y(0, t) = y(4, t) = 0, y(x, 0) = F(x), and yt (x, 0) = 0. Suppose that F(0) = 0, F(1) = 2, F(2) = 3, F(3) = 1. Using the D’Alembert solution find a) y(1, 1), b) y(4, 3), c) y(3, 9).
- 214. 214 CHAPTER 4. FOURIER SERIES AND PDES 4.9 Steady state temperature and the Laplacian Note: 1 lecture, §9.7 in [EP], §10.8 in [BD] Suppose we have an insulated wire, a plate, or a 3-dimensional object. We apply certain fixed temperatures on the ends of the wire, the edges of the plate or on all sides of the 3-dimensional object. We wish to find out what is the steady state temperature distribution. That is, we wish to know what will be the temperature after long enough period of time. We are really looking for a solution to the heat equation that is not dependent on time. Let us first do this in one space variable. We are looking for a function u that satisfies ut = ku xx , but such that ut = 0 for all x and t. Hence, we are looking for a function of x alone that satisfies u xx = 0. It is easy to solve this equation by integration and we see that u = Ax + B for some constants A and B. Suppose we have an insulated wire, and we apply constant temperature T 1 at one end (say where x = 0) and T 2 on the other end (at x = L where L is the length of the wire). Then our steady state solution is T2 − T1 u(x) = x + T1. L This solution agrees with our common sense intuition with how the heat should be distributed in the wire. So in one dimension, the steady state solutions are basically just straight lines. Things are more complicated in two or more space dimensions. Let us restrict to two space dimensions for simplicity. The heat equation in two variables is ut = k(u xx + uyy ), (4.18) ∂ 2 ∂ 2 or more commonly written as ut = k∆u or ut = k 2 u. Here the ∆ and 2 symbols mean ∂x2 + ∂y2 . We will use ∆ from now on. The reason for using such a notation is that you can define ∆ to be the right thing for any number of space dimensions and then the heat equation is always ut = k∆u. The operator ∆ is called the Laplacian. OK, now that we have notation out of the way, let us see what does an equation for the steady state solution look like. We are looking for a solution to (4.18) that does not depend on t. Hence we are looking for a function u(x, y) such that ∆u = u xx + uyy = 0. This equation is called the Laplace equation∗ . Solutions to the Laplace equation are called harmonic functions and have many nice properties and applications far beyond the steady state heat problem. Harmonic functions in two variables are no longer just linear (plane graphs). For example, you can check that the functions x2 − y2 and xy are harmonic. However, if you remember your ∗ Named after the French mathematician Pierre-Simon, marquis de Laplace (1749 – 1827).
- 215. 4.9. STEADY STATE TEMPERATURE AND THE LAPLACIAN 215 multi-variable calculus we note that if u xx is positive, u is concave up in the x direction, then uyy must be negative and u must be concave down in the y direction. Therefore, a harmonic function can never have any “hilltop” or “valley” on the graph. This observation is consistent with our intuitive idea of steady state heat distribution. Commonly the Laplace equation is part of a so-called Dirichlet problem∗ . That is, we have some region in the xy-plane and we specify certain values along the boundaries of the region. We then try to find a solution u defined on this region such that u agrees with the values we specified on the boundary. For simplicity, we consider a rectangular region. Also for simplicity we specify boundary values to be zero at 3 of the four edges and only specify an arbitrary function at one edge. As we still have the principle of superposition, we can use this simpler solution to derive the general solution for arbitrary boundary values by solving 4 different problems, one for each edge, and adding those solutions together. This setup is left as an exercise. We wish to solve the following problem. Let h and w be the height and width of our rectangle, with one corner at the origin and lying in the first quadrant. (0, h) u=0 (w, h) ∆u = 0, (4.19) u(0, y) = 0 for 0 y h, (4.20) u(x, h) = 0 for 0 x w, (4.21) u=0 ∆u = 0 u=0 u(w, y) = 0 for 0 y h, (4.22) u(x, 0) = f (x) for 0 x w. (4.23) (0, 0) u = f (x) (w, 0) The method we apply is separation of variables. Again, we will come up with enough building- block solutions satisfying all the homogeneous boundary conditions (all conditions except (4.23)). We notice that superposition still works for the equation and all the homogeneous conditions. Therefore, we can use the Fourier series for f (x) to solve the problem as before. We try u(x, y) = X(x)Y(y). We plug u into the equation to get X Y + XY = 0. We put the Xs on one side and the Ys on the other to get X Y − = . X Y The left hand side only depends on x and the right hand side only depends on y. Therefore, there is some constant λ such that λ = −X = YY . And we get two equations X X + λX = 0, Y − λY = 0. ∗ Named after the German mathematician Johann Peter Gustav Lejeune Dirichlet (1805 – 1859).
- 216. 216 CHAPTER 4. FOURIER SERIES AND PDES Furthermore, the homogeneous boundary conditions imply that X(0) = X(w) = 0 and Y(h) = 0. Taking the equation for X we have already seen that we have a nontrivial solution if and only if λ = λn = nwπ and the solution is a multiple of 2 2 2 nπ Xn (x) = sin x . w For these given λn , the general solution for Y (one for each n) is nπ nπ Yn (y) = An cosh y + Bn sinh y . (4.24) w w We only have one condition on Yn and hence we can pick one of An or Bn to be something convenient. It will be useful to have Yn (0) = 1, so we let An = 1. Setting Yn (h) = 0 and solving for Bn we get that nπh − cosh w Bn = . nπh sinh w After we plug the An and Bn we into (4.24) and simplify, we find nπ(h−y) sinh w Yn (y) = . nπh sinh w We define un (x, y) = Xn (x)Yn (y). And note that un satisfies (4.19)–(4.22). Observe that nπ un (x, 0) = Xn (x)Yn (0) = sin x . w Suppose ∞ nπx f (x) = bn sin . n=1 w Then we get a solution of (4.19)–(4.23) of the following form. sinh nπ(h−y) ∞ ∞ nπ w u(x, y) = bn un (x, y) = . bn sin x w nπh sinh w n=1 n=1 As un satisfies (4.19)–(4.22) and any linear combination (finite or infinite) of un must also satisfy (4.19)–(4.22), we see that u must satisfy (4.19)–(4.22). By plugging in y = 0 it is easy to see that u satisfies (4.23) as well.
- 217. 4.9. STEADY STATE TEMPERATURE AND THE LAPLACIAN 217 Example 4.9.1: Suppose that we take w = h = π and we let f (x) = π. We compute the sine series for the function π (we will get the square wave). We find that for 0 x π we have ∞ 4 f (x) = sin(nx). n=1 n n odd Therefore the solution u(x, y), see Figure 4.22, to the corresponding Dirichlet problem is given as ∞ 4 sinh n(π − y) u(x, y) = sin(nx) . n=1 n sinh(nπ) n odd 0.0 0.0 y 0.5 0.5 1.0 x 1.5 1.0 2.0 1.5 2.5 3.0 2.0 u(x,y) 2.5 3.0 3.0 3.142 2.5 2.828 2.514 3.0 2.199 2.0 1.885 2.5 1.571 1.257 1.5 0.943 2.0 0.628 1.0 0.314 1.5 0.000 0.5 1.0 0.0 0.5 0.0 0.5 0.0 1.0 0.0 1.5 0.5 1.0 2.0 1.5 x 2.0 2.5 2.5 3.0 3.0 y Figure 4.22: Steady state temperature of a square plate with three sides held at zero and one side held at π. This scenario corresponds to the steady state temperature on a square plate of width π with 3 sides held at 0 degrees and one side held at π degrees. If we have arbitrary initial data on all sides,
- 218. 218 CHAPTER 4. FOURIER SERIES AND PDES then we solve four problems, each using one piece of nonhomogeneous data. Then we use the principle of superposition to add up all four solutions to have a solution to the original problem. There is another way to visualize solutions of the Laplace equation. Take a wire and bend it in just the right way so that it corresponds to the graph of the temperature above the boundary of your region. Then dip the wire in soapy water and let it form a soapy film stretched between the edges of the wire. It turns out that this soap film is precisely the graph of the solution to the Laplace equation. Harmonic functions come up frequently in problems when we are trying to minimize area of some surface or minimize energy in some system. 4.9.1 Exercises Exercise 4.9.1: Let R be the region described by 0 x π and 0 y π. Solve the problem ∆u = 0, u(x, 0) = sin x, u(x, π) = 0, u(0, y) = 0, u(π, y) = 0. Exercise 4.9.2: Let R be the region described by 0 x 1 and 0 y 1. Solve the problem u xx + uyy = 0, u(x, 0) = sin(πx) − sin(2πx), u(x, 1) = 0, u(0, y) = 0, u(1, y) = 0. Exercise 4.9.3: Let R be the region described by 0 x 1 and 0 y 1. Solve the problem u xx + uyy = 0, u(x, 0) = u(x, 1) = u(0, y) = u(1, y) = C. for some constant C. Hint: Guess, then check your intuition. Exercise 4.9.4: Let R be the region described by 0 x π and 0 y π. Solve ∆u = 0, u(x, 0) = 0, u(x, π) = π, u(0, y) = y, u(π, y) = y. Hint: Try a solution of the form u(x, y) = X(x) + Y(y) (different separation of variables). Exercise 4.9.5: Use the solution of Exercise 4.9.4 to solve ∆u = 0, u(x, 0) = sin x, u(x, π) = π, u(0, y) = y, u(π, y) = y. Hint: Use superposition. Exercise 4.9.6: Let R be the region described by 0 x w and 0 y h. Solve the problem u xx + uyy = 0, u(x, 0) = 0, u(x, h) = f (x), u(0, y) = 0, u(w, y) = 0. The solution should be in series form using the Fourier series coefficients of f (x).
- 219. 4.9. STEADY STATE TEMPERATURE AND THE LAPLACIAN 219 Exercise 4.9.7: Let R be the region described by 0 x w and 0 y h. Solve the problem u xx + uyy = 0, u(x, 0) = 0, u(x, h) = 0, u(0, y) = f (y), u(w, y) = 0. The solution should be in series form using the Fourier series coefficients of f (y). Exercise 4.9.8: Let R be the region described by 0 x w and 0 y h. Solve the problem u xx + uyy = 0, u(x, 0) = 0, u(x, h) = 0, u(0, y) = 0, u(w, y) = f (y). The solution should be in series form using the Fourier series coefficients of f (y). Exercise 4.9.9: Let R be the region described by 0 x 1 and 0 y 1. Solve the problem u xx + uyy = 0, u(x, 0) = sin(9πx), u(x, 1) = sin(2πx), u(0, y) = 0, u(1, y) = 0. Hint: Use superposition. Exercise 4.9.10: Let R be the region described by 0 x 1 and 0 y 1. Solve the problem u xx + uyy = 0, u(x, 0) = sin(πx), u(x, 1) = sin(πx), u(0, y) = sin(πy), u(1, y) = sin(πy). Hint: Use superposition. Exercise 4.9.101: Let R be the region described by 0 x 1 and 0 y 1. Solve the problem ∞ 1 ∆u = 0, u(x, 0) = sin(nπx), u(x, 1) = 0, u(0, y) = 0, u(1, y) = 0. n=1 n2 Exercise 4.9.102: Let R be the region described by 0 x 1 and 0 y 2. Solve the problem ∆u = 0, u(x, 0) = 0.1 sin(πx), u(x, 2) = 0, u(0, y) = 0, u(1, y) = 0.
- 220. 220 CHAPTER 4. FOURIER SERIES AND PDES 4.10 Dirichlet problem in the circle and the Poisson kernel Note: 2 lectures, , §9.7 in [EP], §10.8 in [BD] 4.10.1 Laplace in polar coordinates A more natural setting for the Laplace equation ∆u = 0 is the circle rather than the square. On the other hand, what makes the problem somewhat more difficult is that we need polar coordinates. Recall that the polar coordinates for the (x, y)-plane are (r, θ) where (r, θ) x = r cos θ, y = r sin θ, r θ where r ≥ 0 and −π θ ≤ π. Now that we know our coordinates, let us give the problem we wish to solve. We have a circular region of radius 1, and we are interested in the Dirichlet problem for the Laplace equation for this region. Let u(r, θ) denote the temperature at the point (r, θ) in polar coordinates. We have the problem: ∆u = 0, for r 1, u(1, θ) = g(θ) (4.25) u(1, θ) = g(θ), for −π θ ≤ π. The first issue we face is that we do not know what the Laplacian is in polar coordinates. Normally we would find ∆u = 0 u xx and uyy in terms of the derivatives in r and θ. We would need to solve for r and θ in terms of x and y. While this is certainly possible. It happens to be more convenient to do this in reverse. Let us instead compute derivatives in r radius 1 and θ in terms of derivatives in x and y and then solve. The computations are easier this way. First xr = cos θ, xθ = −r sin θ, yr = sin θ, yθ = r cos θ. Next by chain rule we obtain ur = u x xr + uy yr = cos(θ)u x + sin(θ)uy , urr = cos(θ)(u xx xr + u xy yr ) + sin(θ)(uyx xr + uyy yr ) = cos2 (θ)u xx + 2 cos(θ) sin(θ)u xy + sin2 (θ)uyy . Similarly for the θ derivative. Note that we have to use product rule for the second derivative. uθ = u x xθ + uy yθ = −r sin(θ)u x + r cos(θ)uy , uθθ = −r cos(θ)u x − r sin(θ)(u xx xθ + u xy yθ ) − r sin(θ)uy + r cos(θ)(uyx xθ + uyy yθ ) = −r cos(θ)u x − r sin(θ)uy + r2 sin2 (θ)u xx − r2 2 sin(θ) cos(θ)u xy + r2 cos2 (θ)uyy .
- 221. 4.10. DIRICHLET PROBLEM IN THE CIRCLE AND THE POISSON KERNEL 221 Let us now try to solve for u xx + uyy . We start with 1 u r2 θθ to get rid of those pesky r2 . If we add urr and use the fact that cos2 (θ) + sin2 (θ) = 1, we get 1 1 1 u + urr = u xx + uyy − cos(θ)u x − sin(θ)uy . 2 θθ r r r We’re not quite there yet, but we notice that all we are lacking is 1 ur . We therefore obtain the r Laplacian in polar coordinates: 1 1 u + ur + urr = u xx + uyy = ∆u. 2 θθ r r Notice that the Laplacian in polar coordinates no longer has constant coefficients. 4.10.2 Series solution Let us separate variables as usual. That is let us try u(r, θ) = R(r)Θ(θ). Then 1 1 0 = ∆u = 2 RΘ + R Θ + R Θ. r r Let us put R on one side and Θ on the other and then conclude that both sides must be constant. 1 1 2 RΘ = − R + R Θ. r r Θ rR + r2 R =− = −λ. Θ R We get two equations: Θ + λΘ = 0, r2 R + rR − λR = 0. Let us first focus on Θ. We know that u(r, θ) ought to be 2π-periodic in θ, that is, u(r, θ) = u(r, θ +2π). Therefore, the solution to Θ + λΘ = 0 must be 2π-periodic. We conclude that λ = n2 for a nonnegative integer n = 0, 1, 2, 3, . . .. The equation becomes Θ + n2 Θ = 0. When n = 0 the equation is just Θ = 0, so we have the general solution Aθ + B. As Θ is periodic, A = 0. For convenience let us write this solution as a0 Θ0 = 2 for some constant a0 . For positive n, the solution to Θ + n2 Θ = 0 is Θn = an cos(nθ) + bn sin(nθ), for some constants an and bn .
- 222. 222 CHAPTER 4. FOURIER SERIES AND PDES Next, we consider the equation for R, r2 R + rR − n2 R = 0. This equation has appeared in exercises before—we solved it in Exercise 2.1.6 and Exercise 2.1.7 on page 50. The idea is to try a solution r s and if that does not work out try a solution of the form r s ln r. When n = 0 we obtain R0 = Ar0 + Br0 ln r = A + B ln r, and if n 0, we get Rn = Arn + Br−n . The function u(r, θ) must be finite at the origin, that is, when r = 0. Therefore, B = 0 in both cases. Let us set A = 1 in both cases as well, the constants in Θn will pick up the slack so we do not lose anything. Therefore let R0 = 1, and Rn = rn . Hence our building block solutions are a0 u0 (r, θ) = , un (r, θ) = an rn cos(nθ) + bn rn sin(nθ). 2 Putting everything together our solution is: ∞ a0 u(r, θ) = + an rn cos(nθ) + bn rn sin(nθ). 2 n=1 We look at the boundary condition in (4.25), ∞ a0 g(θ) = u(1, θ) = + an cos(nθ) + bn sin(nθ). 2 n=1 Therefore, the solution to (4.25) is to expand g(θ), which is a 2π-periodic function as a Fourier series, and then the nth coordinate is multiplied by rn . In other words, to compute an and bn from the formula we can, as usual, compute π π 1 1 an = g(θ) cos(nθ) dθ, and bn = g(θ) sin(nθ) dθ. π −π π −π Example 4.10.1: Suppose we wish to solve ∆u = 0, 0 ≤ r 1, −π θ ≤ π, u(1, θ) = cos(10 θ), −π θ ≤ π.
- 223. 4.10. DIRICHLET PROBLEM IN THE CIRCLE AND THE POISSON KERNEL 223 1.0 -1.0 x -0.5 y 0.5 0.0 0.5 0.0 1.0 u(r,theta) -0.5 1.5 -1.0 1.0 1.200 1.5 0.900 0.600 0.5 0.300 1.0 0.000 -0.300 0.0 -0.600 0.5 -0.900 -0.5 -1.200 -1.500 0.0 -1.0 -0.5 -1.5 -1.0 1.0 -1.5 0.5 -1.0 0.0 -0.5 0.0 -0.5 y 0.5 x 1.0 -1.0 Figure 4.23: The solution of the Dirichlet problem in the disc with cos(10 θ) as boundary data. The solution is u(r, θ) = r10 cos(10 θ). See the plot in Figure 4.23. The thing to notice in this example is that the effect of a high frequency is mostly felt at the boundary. In the middle of the disc, the solution is very close to zero. That is because r10 becomes very small as r tends to 0. Example 4.10.2: Let us solve a more difficult problem. Suppose we have a long rod with circular cross section of radius 1 and we wish to solve the steady state heat problem. If the rod is long enough we simply need to solve the Laplace equation in two dimensions. Let us put the center of the rod at the origin and we have exactly the region we are currently studying—a circle of radius 1. For the boundary conditions, suppose in Cartesian coordinates x and y, the temperature is fixed at 0 when y 0 and at 2y when y 0. We set the problem up. As y = r sin(θ), then on the circle of radius 1 we have 2y = 2 sin(θ). So ∆u = 0, 0 ≤ r 1, −π θ ≤ π, 2 sin(θ) if 0 ≤ θ ≤ π, u(1, θ) = 0 if −π θ 0.
- 224. 224 CHAPTER 4. FOURIER SERIES AND PDES We must now compute the Fourier series for the boundary condition. By now the reader has plentiful experience in computing Fourier series and so we simply state that ∞ 2 −4 u(1, θ) = + sin(θ) + cos(2nθ). π n=1 π(4n2 − 1) Exercise 4.10.1: Compute the series for u(1, θ) and verify that it really is what we have just claimed. Hint: Be careful, make sure not to divide by zero. We now simply write the solution (see Figure 4.24) by multiplying by rn in the right places. ∞ 2 −4r2n u(r, θ) = + r sin(θ) + cos(2nθ). π n=1 π(4n2 − 1) 1.0 x -0.5 y 0.5 0.0 0.5 0.0 1.0 u(r,theta) -0.5 2.0 2.000 1.800 2.0 1.5 1.600 1.400 1.200 1.000 1.5 1.0 0.800 0.600 0.400 0.200 0.000 1.0 0.5 0.5 0.0 1.0 0.0 0.5 0.0 -0.5 0.0 -0.5 y 0.5 x 1.0 Figure 4.24: The solution of the Dirichlet problem with boundary data 0 for y 0 and 2y for y 0.
- 225. 4.10. DIRICHLET PROBLEM IN THE CIRCLE AND THE POISSON KERNEL 225 4.10.3 Poisson kernel There is another way to solve the Dirichlet problem with the help of an integral kernel. That is, we will find a function P(r, θ, α) called the Poisson kernel∗ such that π 1 u(r, θ) = P(r, θ, α) g(α) dα. 2π −π While the integral will generally not be solvable analytically, it can be evaluated numerically. In fact, unless the boundary data is given as a Fourier series already, it will be much easier to numerically evaluate this formula as there is only one integral to evaluate. The formula also has theoretical applications. For instance, as P(r, θ, α) will have infinitely many derivatives, then via differentiating under the integral we find that the solution u(r, θ) has infinitely many derivatives, at least when inside the circle, r 1. By infinitely many derivatives what you should think of is that u(r, θ) has “no corners” and all of its partial derivatives too exist and have “no corners”. We will compute the formula for P(r, θ, α) from the series solution, and this idea can be applied anytime you have a convenient series solution where the coefficients are obtained via integration. Hence you can apply this reasoning to obtain such integral kernels for other equations, such as the heat equation. The computation is long and tedious, but not overly difficult. Since the ideas are often applied in similar contexts, it is good to understand how this computation works. What we do is start with the series solution and replace the coefficients with the integrals that compute them. Then we try to write everything as a single integral. We must use a different dummy variable for the integration and hence we use α instead of θ. ∞ a0 u(r, θ) = + an rn cos(nθ) + bn rn sin(nθ) 2 n=1 π 1 = g(α) dα 2π −π ∞ π π 1 1 + g(α) cos(nα) dα r cos(nθ) + n g(α) sin(nα) dα rn sin(nθ) n=1 π −π π −π π ∞ 1 = g(α) + 2 g(α) cos(nα)rn cos(nθ) + g(α) sin(nα)rn sin(nθ) dα 2π −π n=1 π ∞ 1 = 1 + 2 r cos(nα) cos(nθ) + sin(nα) sin(nθ) g(α) dα n 2π −π n=1 OK, so we have what we wanted, the expression in the parentheses is the Poisson kernel, P(r, θ, α). However, we can do a lot better. It is still given as a series, and we would really like to have a nice ∗ Named for the French mathematician Siméon Denis Poisson (1781 – 1840).
- 226. 226 CHAPTER 4. FOURIER SERIES AND PDES simple expression for it, so we must work a little harder. The trick is to rewrite everything in terms of complex exponentials. Let us now work just on the kernel. ∞ P(r, θ, α) = 1 + 2 rn cos(nα) cos(nθ) + sin(nα) sin(nθ) n=1 ∞ =1+2 rn cos n(θ − α) n=1 ∞ =1+ rn ein(θ−α) + e−in(θ−α) n=1 ∞ ∞ n n =1+ rei(θ−α) + re−i(θ−α) . n=1 n=1 In the above expression we recognize the geometric series. That is, recall from calculus that as long as |z| 1, then ∞ z zn = . n=1 1−z Note that n starts at 1 and that is why we have the z in the numerator. It is the standard geometric series multiplied by z. Let us continue with the computation. ∞ ∞ n n P(r, θ, α) = 1 + rei(θ−α) + re−i(θ−α) n=1 n=1 rei(θ−α) re−i(θ−α) =1+ + 1 − rei(θ−α) 1 − re−i(θ−α) 1 − rei(θ−α) 1 − re−i(θ−α) + 1 − re−i(θ−α) rei(θ−α) + 1 − rei(θ−α) re−i(θ−α) = 1 − rei(θ−α) 1 − re−i(θ−α) 1 − r2 = 1 − rei(θ−α) − re−i(θ−α) + r2 1 − r2 = . 1 − 2r cos(θ − α) + r2 Now that’s a forumla we can live with. The solution to the Dirichlet problem using the Poisson kernel is π 1 1 − r2 u(r, θ) = g(α) dα. 2π −π 1 − 2r cos(θ − α) + r2 1 Sometimes the formula for the Poisson kernel is given together with the constant 2π , in which case we should of course not leave it in front of the integral. Also, often the limits of the integral are given as 0 to 2π; everything inside is 2π-periodic in α, so this does not change the integral.
- 227. 4.10. DIRICHLET PROBLEM IN THE CIRCLE AND THE POISSON KERNEL 227 Let us not leave the Poisson kernel without explaining its geometric meaning. Let s be the distance from (r, θ) to (1, α). You may recall from calculus that this distance s in polar coordinates is given precisely by the square root of 1 − 2r cos(θ − α) + r2 . That is, the Poisson kernel is really the formula 1 − r2 . s2 One final note we make about the formula is to note that it (1, α) s is really a weighted average of the boundary values. First let us (r, θ) look at what happens at the origin, that is when r = 0. π 1 1 1 − 02 r u(0, 0) = g(α) dα 2π −π 1 − 2(0) cos(θ − α) + 02 π 1 = g(α) dα. 2π −π This is precisely the average value of g(θ) and therefore the average value of u on the boundary. This is a general feature of harmonic functions, the value at some point p is equal to the average of the values on a circle centered at p. What the formula says is that the value of the solution at any point in the circle is a weighted average of the boundary data g(θ). The kernel is bigger when (r, θ) is closer to (1, α), and therefore we give more weight to the values g(α) closer to (r, θ) and less weight to the values g(α) when (1, α) far from (r, θ). 4.10.4 Exercises Exercise 4.10.2: Using series solve ∆u = 0, u(1, θ) = |θ|, for −π θ ≤ π. Exercise 4.10.3: Using series solve ∆u = 0, u(1, θ) = g(θ) for the following data. Hint: trig identities. a) g(θ) = 1/2 + 3 sin(θ) + cos(3θ) b) g(θ) = 3 cos(3θ) + 3 sin(3θ) + sin(9θ) c) g(θ) = 2 cos(θ + 1) d) g(θ) = sin2 (θ) Exercise 4.10.4: Using the Poisson kernel, give the solution to ∆u = 0, where u(1, θ) is zero for θ outside the interval [−π/4, π/4] and u(1, θ) is 1 for θ on the interval [−π/4, π/4]. Exercise 4.10.5: a) Draw a graph for the Poisson kernel as a function of α when r = 1/2 and θ = 0. b) Describe what happens to the graph when you make r bigger (as it approaches 1). c) Knowing that the solution u(r, θ) is the weighted average of g(θ) with Poisson kernel as the weight, explain what your answer to part b means. Exercise 4.10.6: Take the function g(θ) to be the function xy = cos θ sin θ on the boundary. Use the series solution to find a solution to the Dirichlet problem ∆u = 0, u(1, θ) = g(θ). Now convert the solution to Cartesian coordinates x and y. Is this solution surprising? Hint: use your trig identities.
- 228. 228 CHAPTER 4. FOURIER SERIES AND PDES Exercise 4.10.7: Carry out the computation we needed in the separation of variables and solve r2 R + rR − n2 R = 0, for n = 0, 1, 2, 3, . . .. Exercise 4.10.8 (challenging): Derive the series solution to the Dirichlet problem if the region is a circle of radius ρ rather than 1. That is, solve ∆u = 0, u(ρ, θ) = g(θ). Exercise 4.10.101: Using series solve ∆u = 0, u(1, θ) = 1 + ∞ 1 n=1 n2 sin(nθ). Exercise 4.10.102: Using the series solution find the solution to ∆u = 0, u(1, θ) = 1 − cos(θ). Express the solution in Cartesian coordinates (that is, using x and y). Exercise 4.10.103: a) Try and guess a solution to ∆u = −1, u(1, θ) = 0. Hint: try a solution that only depends on r. Also first, don’t worry about the boundary condition. b) Now solve ∆u = −1, u(1, θ) = sin(2θ) using superposition. Exercise 4.10.104 (challenging): Derive the Poisson kernel solution if the region is a circle of radius ρ rather than 1. That is, solve ∆u = 0, u(ρ, θ) = g(θ).
- 229. Chapter 5 Eigenvalue problems 5.1 Sturm-Liouville problems Note: 2 lectures, §10.1 in [EP], §11.2 in [BD] 5.1.1 Boundary value problems We have encountered several different eigenvalue problems such as: X (x) + λX(x) = 0 with different boundary conditions X(0) = 0 X(L) = 0 (Dirichlet) or, X (0) = 0 X (L) = 0 (Neumann) or, X (0) = 0 X(L) = 0 (Mixed) or, X(0) = 0 X (L) = 0 (Mixed), . . . For example for the insulated wire, Dirichlet conditions correspond to applying a zero temperature at the ends, Neumann means insulating the ends, etc. . . . Other types of endpoint conditions also arise naturally, such as the Robin boundary conditions hX(0) − X (0) = 0 hX(L) + X (L) = 0, for some constant h. These conditions come up when the ends are immersed in some medium. Boundary problems came up, for example, in the study of the heat equation ut = ku xx when we were trying to solve the equation by the method of separation of variables. In the computation we encountered a certain eigenvalue problem and found the eigenfunctions Xn (x). We then found the eigenfunction decomposition of the initial temperature f (x) = u(x, 0) in terms of the eigenfunctions ∞ f (x) = cn Xn (x). n=1 229
- 230. 230 CHAPTER 5. EIGENVALUE PROBLEMS Once we had this decomposition and once we found suitable T n (t) such that T n (0) = 1, we noted that a solution to the original problem could be written as ∞ u(x, t) = cn T n (t)Xn (x). n=1 We will try to solve more general problems using this method. First, we will study second order linear equations of the form d dy p(x) − q(x)y + λr(x)y = 0. (5.1) dx dx Essentially any second order linear equation of the form a(x)y + b(x)y + c(x)y + λd(x)y = 0 can be written as (5.1) after multiplying by a proper factor. Example 5.1.1 (Bessel): Put the following equation into the form (5.1): x2 y + xy + λx2 − n2 y = 0. 1 Multiply both sides by x to obtain 1 2 n2 d dy n2 x y + xy + λx − n y = xy + y + λx − 2 2 y= x − y + λxy = 0. x x dx dx x We can state the general Sturm-Liouville problem∗ . We seek nontrivial solutions to d dy p(x) − q(x)y + λr(x)y = 0, a x b, dx dx (5.2) α1 y(a) − α2 y (a) = 0, β1 y(b) + β2 y (b) = 0. In particular, we seek λs that allow for nontrivial solutions. The λs for which there are non- trivial solutions are called the eigenvalues and the corresponding nontrivial solutions are called eigenfunctions. The constants α1 and α2 should not be both zero, same for β1 and β2 . Theorem 5.1.1. Suppose p(x), p (x), q(x) and r(x) are continuous on [a, b] and suppose p(x) 0 and r(x) 0 for all x in [a, b]. Then the Sturm-Liouville problem (5.2) has an increasing sequence of eigenvalues λ1 λ2 λ3 · · · such that lim λn = +∞ n→∞ and such that to each λn there is (up to a constant multiple) a single eigenfunction yn (x). Moreover, if q(x) ≥ 0 and α1 , α2 , β1 , β2 ≥ 0, then λn ≥ 0 for all n. ∗ Named after the French mathematicians Jacques Charles François Sturm (1803 – 1855) and Joseph Liouville (1809 – 1882).
- 231. 5.1. STURM-LIOUVILLE PROBLEMS 231 Note: Be careful about the signs. Also be careful about the inequalities for r and p, they must be strict for all x! Problems satisfying the hypothesis of the theorem are called regular Sturm-Liouville problems and we will only consider such problems here. That is, a regular problem is one where p(x), p (x), q(x) and r(x) are continuous, p(x) 0, r(x) 0, q(x) ≥ 0, and α1 , α2 , β1 , β2 ≥ 0. When zero is an eigenvalue, we will usually start labeling the eigenvalues at 0 rather than 1 for convenience. Example 5.1.2: The problem y + λy, 0 x L, y(0) = 0, and y(L) = 0 is a regular Sturm- Liouville problem. p(x) = 1, q(x) = 0, r(x) = 1, and we have p(x) = 1 0 and r(x) = 1 0. The eigenvalues are λn = nLπ and eigenfunctions are yn (x) = sin( nπ x). All eigenvalues are nonnegative 2 2 2 L as predicted by the theorem. Exercise 5.1.1: Find eigenvalues and eigenfunctions for y + λy = 0, y (0) = 0, y (1) = 0. Identify the p, q, r, α j , β j . Can you use the theorem to make the search for eigenvalues easier? (Hint: Consider the condition −y (0) = 0) Example 5.1.3: Find eigenvalues and eigenfunctions of the problem y + λy = 0, 0 x 1, hy(0) − y (0) = 0, y (1) = 0, h 0. These equations give a regular Sturm-Liouville problem. Exercise 5.1.2: Identify p, q, r, α j , β j in the example above. First note that λ ≥ 0 by Theorem 5.1.1. Therefore, the general solution (without boundary conditions) is √ √ y(x) = A cos( λ x) + B sin( λ x) if λ 0, y(x) = Ax + B if λ = 0. Let us see if λ = 0 is an eigenvalue: We must satisfy 0 = hB − A and A = 0, hence B = 0 (as h 0), therefore, 0 is not an eigenvalue (no eigenfunction). Now let us try λ 0. We plug in the boundary conditions. √ 0 = hA − λ B, √ √ √ √ 0 = −A λ sin( λ) + B λ cos( λ). Note that if A = 0, then B = 0 and vice-versa, hence both are nonzero. So B = hA √ , λ and √ √ √ √ 0 = −A λ sin( λ) + hA λ cos( λ). As A 0 we get √ λ √ √ √ 0 = − λ sin( λ) + h cos( λ),
- 232. 232 CHAPTER 5. EIGENVALUE PROBLEMS or h √ √ = tan λ. λ Now use a computer to find λn . There are tables available, though using a computer or a graphing calculator will probably be far more convenient nowadays. Easiest method is to plot the functions h/x and tan x and see for which x they intersect. There will be an infinite number of intersections. So √ √ denote by λ1 the first intersection, by λ2 the second intersection, etc. . . . For example, when h = 1, we get that λ1 ≈ 0.86, and λ2 ≈ 3.43. A plot for h = 1 is given in Figure 5.1. The appropriate √ eigenfunction (let A = 1 for convenience, then B = h/ λ) is h yn (x) = cos( λn x) + √ sin( λn x). λn 0 2 4 6 4 4 2 2 0 0 -2 -2 -4 -4 0 2 4 6 1 Figure 5.1: Plot of x and tan x. 5.1.2 Orthogonality We have seen the notion of orthogonality before. For example, we have shown that sin(nx) are orthogonal for distinct n on [0, π]. For general Sturm-Liouville problems we will need a more general setup. Let r(x) be a weight function (any function, though generally we will assume it is positive) on [a, b]. Then two functions f (x), g(x) are said to be orthogonal with respect to the weight function r(x) when b f (x) g(x) r(x) dx = 0. a
- 233. 5.1. STURM-LIOUVILLE PROBLEMS 233 In this setting, we define the inner product as b def f, g = f (x) g(x) r(x) dx, a and then say f and g are orthogonal whenever f, g = 0. The results and concepts are again analogous to finite dimensional linear algebra. The idea of the given inner product is that those x where r(x) is greater have more weight. Nontrivial (nonconstant) r(x) arise naturally, for example from a change of variables. Hence, you could think of a change of variables such that dξ = r(x) dx. We have the following orthogonality property of eigenfunctions of a regular Sturm-Liouville problem. Theorem 5.1.2. Suppose we have a regular Sturm-Liouville problem d dy p(x) − q(x)y + λr(x)y = 0, dx dx α1 y(a) − α2 y (a) = 0, β1 y(b) + β2 y (b) = 0. Let y j and yk be two distinct eigenfunctions for two distinct eigenvalues λ j and λk . Then b y j (x) yk (x) r(x) dx = 0, a that is, y j and yk are orthogonal with respect to the weight function r. Proof is very similar to the analogous theorem from § 4.1. It can also be found in many books including, for example, Edwards and Penney [EP]. 5.1.3 Fredholm alternative We also have the Fredholm alternative theorem we talked about before for all regular Sturm- Liouville problems. We state it here for completeness. Theorem 5.1.3 (Fredholm alternative). Suppose that we have a regular Sturm-Liouville problem. Then either d dy p(x) − q(x)y + λr(x)y = 0, dx dx α1 y(a) − α2 y (a) = 0, β1 y(b) + β2 y (b) = 0,
- 234. 234 CHAPTER 5. EIGENVALUE PROBLEMS has a nonzero solution, or d dy p(x) − q(x)y + λr(x)y = f (x), dx dx α1 y(a) − α2 y (a) = 0, β1 y(b) + β2 y (b) = 0, has a unique solution for any f (x) continuous on [a, b]. This theorem is used in much the same way as we did before in § 4.4. It is used when solving more general nonhomogeneous boundary value problems. The theorem does not help us solve the problem, but it tells us when a unique solution exists, so that we know when to spend time looking it. To solve the problem we decompose f (x) and y(x) in terms of the eigenfunctions of the homogeneous problem, and then solve for the coefficients of the series for y(x). 5.1.4 Eigenfunction series What we want to do with the eigenfunctions once we have them is to compute the eigenfunction decomposition of an arbitrary function f (x). That is, we wish to write ∞ f (x) = cn yn (x), (5.3) n=1 where yn (x) the eigenfunctions. We wish to find out if we can represent any function f (x) in this way, and if so, we wish to calculate cn (and of course we would want to know if the sum converges). OK, so imagine we could write f (x) as (5.3). We will assume convergence and the ability to integrate the series term by term. Because of orthogonality we have b f, ym = f (x) ym (x) r(x) dx a ∞ b = cn yn (x) ym (x) r(x) dx n=1 a b = cm ym (x) ym (x) r(x) dx = cm ym , ym . a Hence, b f, ym f (x) ym (x) r(x) dx cm = = a . (5.4) ym , ym b 2 ym (x) r(x) dx a Note that ym are known up to a constant multiple, so we could have picked a scalar multiple of an eigenfunction such that ym , ym = 1 (if we had an arbitrary eigenfunction ym , divide it by ym , ym ). ˜ ˜ ˜
- 235. 5.1. STURM-LIOUVILLE PROBLEMS 235 In the case that ym , ym = 1 we would have the simpler form cm = f, ym as we essentially did for the Fourier series. The following theorem holds more generally, but the statement given is enough for our purposes. Theorem 5.1.4. Suppose f is a piecewise smooth continuous function on [a, b]. If y1 , y2 , . . . are the eigenfunctions of a regular Sturm-Liouville problem, then there exist real constants c1 , c2 , . . . given by (5.4) such that (5.3) converges and holds for a x b. Example 5.1.4: Take the simple Sturm-Liouville problem π y + λy = 0, 0x , 2 π y(0) = 0, = 0. y 2 The above is a regular problem and furthermore we actually know by Theorem 5.1.1 on page 230 that λ ≥ 0. Suppose λ = 0, then the general solution is y(x) = Ax + B, we plug in the initial conditions to get 0 = y(0) = B, and 0 = y ( π ) = A, hence λ = 0 is not an eigenvalue. The general solution, 2 therefore, is √ √ y(x) = A cos( λ x) + B sin( λ x). √ √ Plugging in the boundary conditions we get 0 = y(0) = A and 0 = y π = λ B cos λ π . B √ √ 2 2 cannot be zero and hence cos λ π = 0. This means that λ π must be an odd integral multiple of π √ 2 2 2 , i.e. (2n − 1) π = λn π . Hence 2 2 λn = (2n − 1)2 . We can take B = 1. And hence our eigenfunctions are yn (x) = sin (2n − 1)x . We finally compute π 2 π 2 sin (2n − 1)x . dx = 0 4 So any piecewise smooth function on [0, π ] can be written as 2 ∞ f (x) = cn sin (2n − 1)x , n=1 where π 2 π f, yn f (x) sin (2n − 1)x dx 4 2 cn = = 0 = f (x) sin (2n − 1)x dx. yn , yn π 2 2 sin (2n − 1)x dx π 0 0 Note that the series converges to an odd 2π-periodic (not π-periodic!) extension of f (x). Exercise 5.1.3 (challenging): In the above example, the function is defined on 0 x π , yet the 2 series converges to an odd 2π-periodic extension of f (x). Find out how is the extension defined for π 2 x π.
- 236. 236 CHAPTER 5. EIGENVALUE PROBLEMS 5.1.5 Exercises Exercise 5.1.4: Find eigenvalues and eigenfunctions of y + λy = 0, y(0) − y (0) = 0, y(1) = 0. Exercise 5.1.5: Expand the function f (x) = x on 0 ≤ x ≤ 1 using the eigenfunctions of the system y + λy = 0, y (0) = 0, y(1) = 0. Exercise 5.1.6: Suppose that you had a Sturm-Liouville problem on the interval [0, 1] and came up with yn (x) = sin(γnx), where γ 0 is some constant. Decompose f (x) = x, 0 x 1 in terms of these eigenfunctions. Exercise 5.1.7: Find eigenvalues and eigenfunctions of y(4) + λy = 0, y(0) = 0, y (0) = 0, y(1) = 0, y (1) = 0. This problem is not a Sturm-Liouville problem, but the idea is the same. Exercise 5.1.8 (more challenging): Find eigenvalues and eigenfunctions for d x (e y ) + λe x y = 0, y(0) = 0, y(1) = 0. dx Hint: First write the system as a constant coefficient system to find general solutions. Do note that Theorem 5.1.1 on page 230 guarantees λ ≥ 0. Exercise 5.1.101: Find eigenvalues and eigenfunctions of y + λy = 0, y(−1) = 0, y(1) = 0. Exercise 5.1.102: Put the following problems into the standard form for Sturm-Liouville problems, that is, find p(x), q(x), r(x), α1 , α2 , β1 , and β2 , and decide if the problems are regular or not. a) xy + λy = 0 for 0 x 1, y(0) = 0, y(1) = 0, b) (1 + x2 )y − 2xy + (λ − x2 )y = 0 for −1 x 1, y(−1) = 0, y(1) + y (1) = 0.
- 237. 5.2. APPLICATION OF EIGENFUNCTION SERIES 237 5.2 Application of eigenfunction series Note: 1 lecture, §10.2 in [EP], exercises in §11.2 in [BD] The eigenfunction series can arise even from higher order equations. Suppose we have an elastic beam (say made of steel). We will study the transversal vibrations of the beam. That is, assume the beam lies along the x axis and let y(x, t) measure the displacement of the point x on the beam at time t. See Figure 5.2. y y x Figure 5.2: Transversal vibrations of a beam. The equation that governs this setup is ∂4 y ∂2 y a4 + = 0, ∂x4 ∂t2 for some constant a 0. Suppose the beam is of length 1 simply supported (hinged) at the ends. The beam is displaced by some function f (x) at time t = 0 and then let go (initial velocity is 0). Then y satisfies: a4 y xxxx + ytt = 0 (0 x 1, t 0), y(0, t) = y xx (0, t) = 0, (5.5) y(1, t) = y xx (1, t) = 0, y(x, 0) = f (x), yt (x, 0) = 0. Again we try y(x, t) = X(x)T (t) and plug in to get a4 X (4) T + XT = 0 or X (4) −T = 4 = λ. X aT We note that we want T + λa4 T = 0. Let us assume that λ 0. We can argue that we expect vibration and not exponential growth nor decay in the t direction (there is no friction in our model for instance). Similarly λ = 0 will not occur. Exercise 5.2.1: Try to justify λ 0 just from the equations.
- 238. 238 CHAPTER 5. EIGENVALUE PROBLEMS Write ω4 = λ, so that we do not need to write the fourth root all the time. For X we get the equation X (4) − ω4 X = 0. The general solution is X(x) = Aeωx + Be−ωx + C sin(ωx) + D cos(ωx). Now 0 = X(0) = A + B + D, 0 = X (0) = ω2 (A + B − D). Hence, D = 0 and A + B = 0, or B = −A. So we have X(x) = Aeωx − Ae−ωx + C sin(ωx). Also 0 = X(1) = A(eω − e−ω ) + C sin ω, and 0 = X (1) = Aω2 (eω − e−ω ) − Cω2 sin ω. This means that C sin ω = 0 and A(eω − e−ω ) = 2A sinh ω = 0. If ω 0, then sinh ω 0 and so A = 0. This means that C 0 otherwise λ is not an eigenvalue. Also ω must be an integer multiple of π. Hence ω = nπ and n ≥ 1 (as ω 0). We can take C = 1. So the eigenvalues are λn = n4 π4 and the eigenfunctions are sin(nπx). Now T + n4 π4 a4 T = 0. The general solution is T (t) = A sin(n2 π2 a2 t) + B cos(n2 π2 a2 t). But T (0) = 0 and hence we must have A = 0 and we can take B = 1 to make T (0) = 1 for convenience. So our solutions are T n (t) = cos(n2 π2 a2 t). As the eigenfunctions are just sines again, we can decompose the function f (x) on 0 x 1 using the sine series. We find numbers bn such that for 0 x 1 we have ∞ f (x) = bn sin(nπx). n=1 Then the solution to (5.5) is ∞ ∞ y(x, t) = bn Xn (x)T n (t) = bn sin(nπx) cos(n2 π2 a2 t). n=1 n=1 The point is that Xn T n is a solution that satisfies all the homogeneous conditions (that is, all conditions except the initial position). And since and T n (0) = 1, we have ∞ ∞ ∞ y(x, 0) = bn Xn (x)T n (0) = bn Xn (x) = bn sin(nπx) = f (x). n=1 n=1 n=1 So y(x, t) solves (5.5). The natural (circular) frequencies of the system are n2 π2 a2 . These frequencies are all integer multiples of the fundamental frequency π2 a2 , so we get a nice musical note. The exact frequencies and their amplitude are what we call the timbre of the note. The timbre of a beam is different than for a vibrating string where we get “more” of the lower frequencies since we get all integer multiples, 1, 2, 3, 4, 5, . . .. For a steel beam we get only the square multiples 1, 4, 9, 16, 25, . . .. That is why when you hit a steel beam you hear a very pure sound. The sound of a xylophone or vibraphone is, therefore, very different from a guitar or piano.
- 239. 5.2. APPLICATION OF EIGENFUNCTION SERIES 239 Example 5.2.1: Let us assume that f (x) = x(x−1) 10 . On 0 x 1 we have (you know how to do this by now) ∞ 4 f (x) = sin(nπx). n=1 5π3 n3 n odd Hence, the solution to (5.5) with the given initial position f (x) is ∞ 4 y(x, t) = 3 n3 sin(nπx) cos(n2 π2 a2 t). n=1 5π n odd 5.2.1 Exercises Exercise 5.2.2: Suppose you have a beam of length 5 with free ends. Let y be the transverse deviation of the beam at position x on the beam (0 x 5). You know that the constants are such that this satisfies the equation ytt + 4y xxxx = 0. Suppose you know that the initial shape of the beam is the graph of x(5 − x), and the initial velocity is uniformly equal to 2 (same for each x) in the positive y direction. Set up the equation together with the boundary and initial conditions. Just set up, do not solve. Exercise 5.2.3: Suppose you have a beam of length 5 with one end free and one end fixed (the fixed end is at x = 5). Let u be the longitudinal deviation of the beam at position x on the beam (0 x 5). You know that the constants are such that this satisfies the equation utt = 4u xx . Suppose you know that the initial displacement of the beam is x−5 , and the initial velocity is −(x−5) in the 50 100 positive u direction. Set up the equation together with the boundary and initial conditions. Just set up, do not solve. Exercise 5.2.4: Suppose the beam is L units long, everything else kept the same as in (5.5). What is the equation and the series solution? Exercise 5.2.5: Suppose you have a4 y xxxx + ytt = 0 (0 x 1, t 0), y(0, t) = y xx (0, t) = 0, y(1, t) = y xx (1, t) = 0, y(x, 0) = f (x), yt (x, 0) = g(x). That is, you have also an initial velocity. Find a series solution. Hint: Use the same idea as we did for the wave equation. Exercise 5.2.101: Suppose you have a beam of length 1 with hinged ends. Let y be the transverse deviation of the beam at position x on the beam (0 x 1). You know that the constants are such that this satisfies the equation ytt + 4y xxxx = 0. Suppose you know that the initial shape of the beam is the graph of sin(πx), and the initial velocity is 0. Solve for y.
- 240. 240 CHAPTER 5. EIGENVALUE PROBLEMS Exercise 5.2.102: Suppose you have a beam of length 10 with two fixed ends. Let y be the transverse deviation of the beam at position x on the beam (0 x 10). You know that the constants are such that this satisfies the equation ytt + 9y xxxx = 0. Suppose you know that the initial shape of the beam is the graph of sin(πx), and the initial velocity is uniformly equal to x(10 − x). Set up the equation together with the boundary and initial conditions. Just set up, do not solve.
- 241. 5.3. STEADY PERIODIC SOLUTIONS 241 5.3 Steady periodic solutions Note: 1–2 lectures, §10.3 in [EP], not in [BD] 5.3.1 Forced vibrating string. Suppose that we have a guitar string of length L. We have studied the wave equation problem in this case, where x was the position on the string, t was time and y was the displacement of the string. See Figure 5.3. y y 0 L x Figure 5.3: Vibrating string. The problem is governed by the equations ytt = a2 y xx , y(0, t) = 0, y(L, t) = 0, (5.6) y(x, 0) = f (x), yt (x, 0) = g(x). We saw previously that the solution is of the form ∞ nπa nπa nπ y= An cos t + Bn sin t sin x n=1 L L L where An and Bn were determined by the initial conditions. The natural frequencies of the system are the (circular) frequencies nπa for integers n ≥ 1. L But these are free vibrations. What if there is an external force acting on the string. Let us assume say air vibrations (noise), for example a second string. Or perhaps a jet engine. For simplicity, assume nice pure sound and assume the force is uniform at every position on the string. Let us say F(t) = F0 cos(ωt) as force per unit mass. Then our wave equation becomes (remember force is mass times acceleration) ytt = a2 y xx + F0 cos(ωt), (5.7) with the same boundary conditions of course.
- 242. 242 CHAPTER 5. EIGENVALUE PROBLEMS We will want to find the solution here that satisfies the above equation and y(0, t) = 0, y(L, t) = 0, y(x, 0) = 0, yt (x, 0) = 0. (5.8) That is, the string is initially at rest. First we find a particular solution y p of (5.7) that satisfies y(0, t) = y(L, t) = 0. We define the functions f and g as ∂y p f (x) = −y p (x, 0), g(x) = − (x, 0). ∂t We then find solution yc of (5.6). If we add the two solutions, we find that y = yc + y p solves (5.7) with the initial conditions. Exercise 5.3.1: Check that y = yc + y p solves (5.7) and the side conditions (5.8). So the big issue here is to find the particular solution y p . We look at the equation and we make an educated guess y p (x, t) = X(x) cos(ωt). We plug in to get −ω2 X cos(ωt) = a2 X cos(ωt) + F0 cos(ωt), or −ω2 X = a2 X + F0 after canceling the cosine. We know how to find a general solution to this equation (it is an nonhomogeneous constant coefficient equation) and we get that the general solution is ω ω F0 X(x) = A cos x + B sin x − 2. a a ω The endpoint conditions imply X(0) = X(L) = 0. So F0 0 = X(0) = A − , ω2 or A = F0 ω2 , and also F0 ωL ωL F0 0 = X(L) = cos + B sin − 2. ω 2 a a ω ωL Assuming that sin( a ) is not zero we can solve for B to get ωL −F0 cos a −1 B= . (5.9) ωL ω2 sin a Therefore, cos ωL − 1 F0 ω a ω X(x) = 2 x − 1 . cos x − sin ω a ωL a sin a
- 243. 5.3. STEADY PERIODIC SOLUTIONS 243 The particular solution y p we are looking for is cos ωL − 1 F0 ω a ω y p (x, t) = 2 cos x − sin x − 1 cos(ωt). ω a ωL a sin a Exercise 5.3.2: Check that y p works. Now we get to the point that we skipped. Suppose that sin( ωL ) = 0. What this means is that ω is a equal to one of the natural frequencies of the system, i.e. a multiple of πa . We notice that if ω is not L equal to a multiple of the base frequency, but is very close, then the coefficient B in (5.9) seems to become very large. But let us not jump to conclusions just yet. When ω = nπa for n even, then L cos( ωL ) = 1 and hence we really get that B = 0. So resonance occurs only when both cos( ωL ) = −1 a a and sin( ωL ) = 0. That is when ω = nπa for odd n. a L We could again solve for the resonance solution if we wanted to, but it is, in the right sense, the limit of the solutions as ω gets close to a resonance frequency. In real life, pure resonance never occurs anyway. The above calculation explains why a string will begin to vibrate if the identical string is plucked close by. In the absence of friction this vibration would get louder and louder as time goes on. On the other hand, you are unlikely to get large vibration if the forcing frequency is not close to a resonance frequency even if you have a jet engine running close to the string. That is, the amplitude will not keep increasing unless you tune to just the right frequency. Similar resonance phenomena occur when you break a wine glass using human voice (yes this is possible, but not easy∗ ) if you happen to hit just the right frequency. Remember a glass has much purer sound, i.e. it is more like a vibraphone, so there are far fewer resonance frequencies to hit. When the forcing function is more complicated, you decompose it in terms of the Fourier series and apply the above result. You may also need to solve the above problem if the forcing function is a sine rather than a cosine, but if you think about it, the solution is almost the same. Example 5.3.1: Let us do the computation for specific values. Suppose F0 = 1 and ω = 1 and L = 1 and a = 1. Then cos(1) − 1 y p (x, t) = cos(x) − sin(x) − 1 cos(t). sin(1) Write B = cos(1)−1 for simplicity. sin(1) Then plug in t = 0 to get f (x) = −y p (x, 0) = − cos x + B sin x + 1, ∂y p and after differentiating in t we see that g(x) = − ∂t (x, 0) = 0. ∗ Mythbusters, episode 31, Discovery Channel, originally aired may 18th 2005.
- 244. 244 CHAPTER 5. EIGENVALUE PROBLEMS Hence to find yc we need to solve the problem ytt = y xx , y(0, t) = 0, y(1, t) = 0, y(x, 0) = − cos x + B sin x + 1, yt (x, 0) = 0. Note that the formula that we use to define y(x, 0) is not odd, hence it is not a simple matter of plugging in to apply the D’Alembert formula directly! You must define F to be the odd, 2-periodic extension of y(x, 0). Then our solution would look like F(x + t) + F(x − t) cos(1) − 1 y(x, t) = + cos(x) − sin(x) − 1 cos(t). (5.10) 2 sin(1) 0 0.0 t 1 2 0.2 3 x 4 0.5 5 y(x,t) 0.8 0.20 0.240 1.0 0.148 0.099 0.20 0.049 0.10 0.000 -0.049 0.10 -0.099 0.00 y -0.148 -0.197 0.00 -0.254 y -0.10 -0.10 -0.20 0.0 -0.20 0.2 0 0.5 1 x 2 0.8 3 4 1.0 t 5 Figure 5.4: Plot of y(x, t) = F(x+t)+F(x−t) 2 + cos(x) − cos(1)−1 sin(1) sin(x) − 1 cos(t). It is not hard to compute specific values for an odd extension of a function and hence (5.10) is a wonderful solution to the problem. For example it is very easy to have a computer do it, unlike a series solution. A plot is given in Figure 5.4.
- 245. 5.3. STEADY PERIODIC SOLUTIONS 245 5.3.2 Underground temperature oscillations Let u(x, t) be the temperature at a certain location at depth x underground at time t. See Figure 5.5. depth x Figure 5.5: Underground temperature. The temperature u satisfies the heat equation ut = ku xx , where k is the diffusivity of the soil. We know the temperature at the surface u(0, t) from weather records. Let us assume for simplicity that u(0, t) = T 0 + A0 cos(ωt). For some yearly mean temperature T 0 , then t = 0 is midsummer (you can put negative sign above to make it midwinter if you wish). A0 gives the typical variation for the year. That is, the hottest temperature is T 0 + A0 and the coldest is T 0 − A0 . For simplicity, we will assume that T 0 = 0. The frequency ω is picked depending on the units of t, such that when t = 1 year, then ωt = 2π. It seems reasonable that the temperature at depth x will also oscillate with the same frequency. This, in fact, will be the steady periodic solution, independent of the initial conditions. So we are looking for a solution of the form u(x, t) = V(x) cos(ωt) + W(x) sin(ωt). for the problem ut = ku xx , u(0, t) = A0 cos(ωt). (5.11) We will employ the complex exponential here to make calculations simpler. Suppose we have a complex valued function h(x, t) = X(x) eiωt . We will look for an h such that Re h = u. To find an h, whose real part satisfies (5.11), we look for an h such that ht = kh xx , h(0, t) = A0 eiωt . (5.12) Exercise 5.3.3: Suppose h satisfies (5.12). Use Euler’s formula for the complex exponential to check that u = Re h satisfies (5.11).
- 246. 246 CHAPTER 5. EIGENVALUE PROBLEMS Substitute h into (5.12). iωXeiωt = kX eiωt . Hence, kX − iωX = 0, or X − α2 X = 0, √ ω where α = ± iω . Note that ± i = ± 1+i so you could simplify to α = ±(1 + i) k √ 2 2k . Hence the general solution is √ω √ω X(x) = Ae−(1+i) 2k x + Be(1+i) 2k x . We assume that an X(x) that solves the problem must be bounded as x → ∞ since u(x, t) should be bounded (we are not worrying about the earth core!). If you use Euler’s formula to expand the complex exponentials, you will note that the second term will be unbounded (if B 0), while the first term is always bounded. Hence B = 0. √ω (1+i) 2k x Exercise 5.3.4: Use Euler’s formula to show that e √ω is unbounded as x → ∞, while −(1+i) 2k x e is bounded as x → ∞. Furthermore, X(0) = A0 since h(0, t) = A0 eiωt . Thus A = A0 . This means that √ω √ω √ω √ω h(x, t) = A0 e−(1+i) 2k x eiωt = A0 e−(1+i) 2k x+iωt = A0 e− 2k x ei(ωt− 2k x) . We will need to get the real part of h, so we apply Euler’s formula to get √ω ω ω h(x, t) = A0 e− 2k x cos ωt − x + i sin ωt − x . 2k 2k Then finally √ω ω u(x, t) = Re h(x, t) = A0 e− 2k x cos ωt − x . 2k Yay! ω Notice the phase is different at different depths. At depth x the phase is delayed by x 2k . For example in cgs units (centimeters-grams-seconds) we have k = 0.005 (typical value for soil), ω ω = seconds2π a year = 31,557,341 ≈ 1.99 × 10−7 . Then if we compute where the phase shift x 2k = π in 2π we find the depth in centimeters where the seasons are reversed. That is, we get the depth at which summer is the coldest and winter is the warmest. We get approximately 700 centimeters, which is approximately 23 feet below ground. Be careful not to jump to conclusions. The temperature swings decay rapidly as you dig deeper. √ω The amplitude of the temperature swings is A0 e− 2k x . This function decays very quickly as x (the depth) grows. Let us again take typical parameters as above. We will also assume that our surface
- 247. 5.3. STEADY PERIODIC SOLUTIONS 247 temperature swing is ±15◦ Celsius, that is, A0 = 15. Then the maximum temperature variation at 700 centimeters is only ±0.66◦ Celsius. You need not dig very deep to get an effective “refrigerator,” with nearly constant temperature. That is why wines are kept in a cellar; you need consistent temperature. The temperature differential could also be used for energy. A home could be heated or cooled by taking advantage of the above fact. Even without the earth core you could heat a home in the winter and cool it in the summer. The earth core makes the temperature higher the deeper you dig, although you need to dig somewhat deep to feel a difference. We did not take that into account above. 5.3.3 Exercises Exercise 5.3.5: Suppose that the forcing function for the vibrating string is F0 sin(ωt). Derive the particular solution y p . Exercise 5.3.6: Take the forced vibrating string. Suppose that L = 1, a = 1. Suppose that the forcing function is the square wave that is 1 on the interval 0 x 1 and −1 on the interval −1 x 0. Find the particular solution. Hint: You may want to use result of Exercise 5.3.5. Exercise 5.3.7: The units are cgs (centimeters-grams-seconds). For k = 0.005, ω = 1.991 × 10−7 , A0 = 20. Find the depth at which the temperature variation is half (±10 degrees) of what it is on the surface. Exercise 5.3.8: Derive the solution for underground temperature oscillation without assuming that T 0 = 0. Exercise 5.3.101: Take the forced vibrating string. Suppose that L = 1, a = 1. Suppose that the forcing function is a sawtooth, that is |x| − 1 on −1 x 1 extended periodically. Find the 2 particular solution. Exercise 5.3.102: The units are cgs (centimeters-grams-seconds). For k = 0.01, ω = 1.991 × 10−7 , A0 = 25. Find the depth at which the summer is again the hottest point.
- 248. 248 CHAPTER 5. EIGENVALUE PROBLEMS
- 249. Chapter 6 The Laplace transform 6.1 The Laplace transform Note: 1.5 – 2 lectures, §10.1 in [EP], §6.1 and parts of §6.2 in [BD] 6.1.1 The transform In this chapter we will discuss the Laplace transform∗ . The Laplace transform turns out to be a very efficient method to solve certain ODE problems. In particular, the transform can take a differential equation and turn it into an algebraic equation. If the algebraic equation can be solved, applying the inverse transform gives us our desired solution. The Laplace transform also has applications in the analysis of electrical circuits, NMR spectroscopy, signal processing, and elsewhere. Finally, understanding the Laplace transform will also help with understanding the related Fourier transform, which, however, requires more understanding of complex numbers. We will not cover the Fourier transform. The Laplace transform also gives a lot of insight into the nature of the equations we are dealing with. It can be seen as converting between the time and the frequency domain. For example, take the standard equation mx (t) + cx (t) + kx(t) = f (t). We can think of t as time and f (t) as incoming signal. The Laplace transform will convert the equation from a differential equation in time to an algebraic (no derivatives) equation, where the new independent variable s is the frequency. We can think of the Laplace transform as a black box. It eats functions and spits out functions in a new variable. We write L{ f (t)} = F(s) for the Laplace transform of f (t). It is common to write lower case letters for functions in the time domain and upper case letters for functions in the ∗ Just like the Laplace equation and the Laplacian, the Laplace transform is also named after Pierre-Simon, marquis de Laplace (1749 – 1827). 249
- 250. 250 CHAPTER 6. THE LAPLACE TRANSFORM frequency domain. We use the same letter to denote that one function is the Laplace transform of the other. For example F(s) is the Laplace transform of f (t). Let us define the transform. ∞ def L{ f (t)} = F(s) = e−st f (t) dt. 0 We note that we are only considering t ≥ 0 in the transform. Of course, if we think of t as time there is no problem, we are generally interested in finding out what will happen in the future (Laplace transform is one place where it is safe to ignore the past). Let us compute some simple transforms. Example 6.1.1: Suppose f (t) = 1, then ∞ ∞ h e−st e−st e−sh 1 1 L{1} = e−st dt = = lim = lim − = . 0 −s t=0 h→∞ −s t=0 h→∞ −s −s s The limit (the improper integral) only exists if s 0. So L{1} is only defined for s 0. Example 6.1.2: Suppose f (t) = e−at , then ∞ ∞ ∞ e−(s+a)t 1 L{e } = −at −st −at e e dt = e−(s+a)t dt = = . 0 0 −(s + a) t=0 s+a The limit only exists if s + a 0. So L{e−at } is only defined for s + a 0. Example 6.1.3: Suppose f (t) = t, then using integration by parts ∞ L{t} = e−st t dt 0 ∞ ∞ −te−st 1 = + e−st dt s t=0 s 0 ∞ 1 e−st =0+ s −s t=0 1 = 2. s Again, the limit only exists if s 0. Example 6.1.4: A common function is the unit step function, which is sometimes called the Heaviside function∗ . This function is generally given as 0 if t 0, u(t) = 1 if t ≥ 0. ∗ The function is named after the English mathematician, engineer, and physicist Oliver Heaviside (1850–1925). Only by coincidence is the function “heavy” on “one side.”
- 251. 6.1. THE LAPLACE TRANSFORM 251 Let us find the Laplace transform of u(t − a), where a ≥ 0 is some constant. That is, the function that is 0 for t a and 1 for t ≥ a. ∞ ∞ ∞ e−st e−as L{u(t − a)} = e u(t − a) dt = −st e −st dt = = , 0 a −s t=a s where of course s 0 (and a ≥ 0 as we said before). By applying similar procedures we can compute the transforms of many elementary functions. Many basic transforms are listed in Table 6.1. f (t) L{ f (t)} C C s 1 t s2 2 t2 s3 6 t3 s4 n! tn sn+1 1 e−at s+a ω sin(ωt) s2 +ω2 s cos(ωt) s2 +ω2 ω sinh(ωt) s2 −ω2 s cosh(ωt) s2 −ω2 e−as u(t − a) s Table 6.1: Some Laplace transforms (C, ω, and a are constants). Exercise 6.1.1: Verify Table 6.1. Since the transform is defined by an integral. We can use the linearity properties of the integral. For example, suppose C is a constant, then ∞ ∞ L{C f (t)} = e−stC f (t) dt = C e−st f (t) dt = CL{ f (t)}. 0 0 So we can “pull out” a constant out of the transform. Similarly we have linearity. Since linearity is very important we state it as a theorem. Theorem 6.1.1 (Linearity of the Laplace transform). Suppose that A, B, and C are constants, then L{A f (t) + Bg(t)} = AL{ f (t)} + BL{g(t)}, and in particular L{C f (t)} = CL{ f (t)}.
- 252. 252 CHAPTER 6. THE LAPLACE TRANSFORM Exercise 6.1.2: Verify the theorem. That is, show that L{A f (t) + Bg(t)} = AL{ f (t)} + BL{g(t)}. These rules together with Table 6.1 on the preceding page make it easy to find the Laplace transform of a whole lot of functions already. But be careful. It is a common mistake to think that the Laplace transform of a product is the product of the transforms. In general L{ f (t)g(t)} L{ f (t)}L{g(t)}. It must also be noted that not all functions have a Laplace transform. For example, the function 1 2 t does not have a Laplace transform as the integral diverges for all s. Similarly, tan t or et do not have Laplace transforms. 6.1.2 Existence and uniqueness Let us consider when does the Laplace transform exist in more detail. First let us consider functions of exponential order. The function f (t) is of exponential order as t goes to infinity if | f (t)| ≤ Mect , for some constants M and c, for sufficiently large t (say for all t t0 for some t0 ). The simplest way to check this condition is to try and compute f (t) lim . t→∞ ect If the limit exists and is finite (usually zero), then f (t) is of exponential order. Exercise 6.1.3: Use L’Hopital’s rule from calculus to show that a polynomial is of exponential order. Hint: Note that a sum of two exponential order functions is also of exponential order. Then show that tn is of exponential order for any n. For an exponential order function we have existence and uniqueness of the Laplace transform. Theorem 6.1.2 (Existence). Let f (t) be continuous and of exponential order for a certain constant c. Then F(s) = L{ f (t)} is defined for all s c. The transform also exists for some other functions that are not of exponential order, but that will not be relevant to us. Before dealing with uniqueness, let us note that for exponential order functions we obtain that their Laplace transform decays at infinity: lim F(s) = 0. s→∞ Theorem 6.1.3 (Uniqueness). Let f (t) and g(t) be continuous and of exponential order. Suppose that there exists a constant C, such that F(s) = G(s) for all s C. Then f (t) = g(t) for all t ≥ 0.
- 253. 6.1. THE LAPLACE TRANSFORM 253 Both theorems hold for piecewise continuous functions as well. Recall that piecewise continuous means that the function is continuous except perhaps at a discrete set of points where it has jump discontinuities like the Heaviside function. Uniqueness however does not “see” values at the discontinuities. So we can only conclude that f (t) = g(t) outside of discontinuities. For example, the unit step function is sometimes defined using u(0) = 1/2. This new step function, however, has the exact same Laplace transform as the one we defined earlier where u(0) = 1. 6.1.3 The inverse transform As we said, the Laplace transform will allow us to convert a differential equation into an algebraic equation. Once we solve the algebraic equation in the frequency domain we will want to get back to the time domain, as that is what we are interested in. If we have a function F(s), to be able to find f (t) such that L{ f (t)} = F(s), we need to first know if such a function is unique. It turns out we are in luck by Theorem 6.1.3. So we can without fear make the following definition. If F(s) = L{ f (t)} for some function f (t). We define the inverse Laplace transform as def L−1 {F(s)} = f (t). There is an integral formula for the inverse, but it is not as simple as the transform itself—it requires complex numbers and path integrals. For us it will suffice to compute the inverse using Table 6.1 on page 251. Example 6.1.5: Take F(s) = s+1 . Find the inverse Laplace transform. 1 We look at the table to find 1 L−1 = e−t . s+1 As the Laplace transform is linear, the inverse Laplace transform is also linear. That is, L−1 {AF(s) + BG(s)} = AL−1 {F(s)} + BL−1 {G(s)}. Of course, we also have L−1 {AF(s)} = AL−1 {F(s)}. Let us demonstrate how linearity can be used. Example 6.1.6: Take F(s) = s s+s+1 . Find the inverse Laplace transform. 2 3 +s First we use the method of partial fractions to write F in a form where we can use Table 6.1 on page 251. We factor the denominator as s(s2 + 1) and write s2 + s + 1 A Bs + C = + 2 . s3 + s s s +1 Putting the right hand side over a common denominator and equating the numerators we get A(s2 + 1) + s(Bs + C) = s2 + s + 1. Expanding and equating coefficients we obtain A + B = 1, C = 1, A = 1, and thus B = 0. In other words, s2 + s + 1 1 1 F(s) = = + 2 . s3 + s s s +1
- 254. 254 CHAPTER 6. THE LAPLACE TRANSFORM By linearity of the inverse Laplace transform we get s2 + s + 1 1 1 L−1 3+ s = L−1 + L−1 2 = 1 + sin t. s s s +1 Another useful property is the so-called shifting property or the first shifting property L{e−at f (t)} = F(s + a), where F(s) is the Laplace transform of f (t). Exercise 6.1.4: Derive the first shifting property from the definition of the Laplace transform. The shifting property can be used, for example, when the denominator is a more complicated quadratic that may come up in the method of partial fractions. We complete the square and write such quadratics as (s + a)2 + b and then use the shifting property. 1 Example 6.1.7: Find L−1 s2 +4s+8 . First we complete the square to make the denominator (s + 2)2 + 4. Next we find 1 1 L−1 = sin(2t). s2 +4 2 Putting it all together with the shifting property, we find 1 1 1 L−1 = L−1 = e−2t sin(2t). s2 + 4s + 8 (s + 2)2 + 4 2 In general, we want to be able to apply the Laplace transform to rational functions, that is functions of the form F(s) G(s) where F(s) and G(s) are polynomials. Since normally, for the functions that we are considering, the Laplace transform goes to zero as s → ∞, it is not hard to see that the degree of F(s) must be smaller than that of G(s). Such rational functions are called proper rational functions and we can always apply the method of partial fractions. Of course this means we need to be able to factor the denominator into linear and quadratic terms, which involves finding the roots of the denominator. 6.1.4 Exercises Exercise 6.1.5: Find the Laplace transform of 3 + t5 + sin(πt). Exercise 6.1.6: Find the Laplace transform of a + bt + ct2 for some constants a, b, and c.
- 255. 6.1. THE LAPLACE TRANSFORM 255 Exercise 6.1.7: Find the Laplace transform of A cos(ωt) + B sin(ωt). Exercise 6.1.8: Find the Laplace transform of cos2 (ωt). 4 Exercise 6.1.9: Find the inverse Laplace transform of s2 −9 . 2s Exercise 6.1.10: Find the inverse Laplace transform of s2 −1 . 1 Exercise 6.1.11: Find the inverse Laplace transform of (s−1)2 (s+1) . t if t ≥ 1, Exercise 6.1.12: Find the Laplace transform of f (t) = 0 if t 1. s Exercise 6.1.13: Find the inverse Laplace transform of (s2 +s+2)(s+4) . Exercise 6.1.14: Find the Laplace transform of sin ω(t − a) . Exercise 6.1.15: Find the Laplace transform of t sin(ωt). Hint: Several integrations by parts. Exercise 6.1.101: Find the Laplace transform of 4(t + 1)2 . 8 Exercise 6.1.102: Find the inverse Laplace transform of s3 (s+2) . Exercise 6.1.103: Find the Laplace transform of te−t (Hint: integrate by parts). Exercise 6.1.104: Find the Laplace transform of sin(t)e−t (Hint: integrate by parts).
- 256. 256 CHAPTER 6. THE LAPLACE TRANSFORM 6.2 Transforms of derivatives and ODEs Note: 2 lectures, §7.2 –7.3 in [EP], §6.2 and §6.3 in [BD] 6.2.1 Transforms of derivatives Let us see how the Laplace transform is used for differential equations. First let us try to find the Laplace transform of a function that is a derivative. That is, suppose g(t) is a continuous differentiable function of exponential order. Then ∞ ∞ ∞ L {g (t)} = e−st g (t) dt = e−st g(t) − (−s) e−st g(t) dt = −g(0) + sL{g(t)}. t=0 0 0 We repeat this procedure for higher derivatives. The results are listed in Table 6.2. The procedure also works for piecewise smooth functions, that is functions that are piecewise continuous with a piecewise continuous derivative. The fact that the function is of exponential order is used to show that the limits appearing above exist. We will not worry much about this fact. f (t) L{ f (t)} = F(s) g (t) sG(s) − g(0) g (t) s2G(s) − sg(0) − g (0) g (t) s3G(s) − s2 g(0) − sg (0) − g (0) Table 6.2: Laplace transforms of derivatives (G(s) = L{g(t)} as usual). Exercise 6.2.1: Verify Table 6.2. 6.2.2 Solving ODEs with the Laplace transform Notice that the Laplace transform turns differentiation into multiplication by s. Let us see how to apply this fact to differential equations. Example 6.2.1: Take the equation x (t) + x(t) = cos(2t), x(0) = 0, x (0) = 1. We will take the Laplace transform of both sides. By X(s) we will, as usual, denote the Laplace transform of x(t). L{x (t) + x(t)} = L{cos(2t)}, s s2 X(s) − sx(0) − x (0) + X(s) = 2 . s +4
- 257. 6.2. TRANSFORMS OF DERIVATIVES AND ODES 257 We plug in the initial conditions now—this makes the computations more streamlined—to obtain s s2 X(s) − 1 + X(s) = . s2 +4 We solve for X(s), s 1 X(s) = + 2 . (s2 + 1)(s 2 + 4) s +1 We use partial fractions (exercise) to write 1 s 1 s 1 X(s) = 2+1 − 2+4 + 2 . 3 s 3 s s +1 Now take the inverse Laplace transform to obtain 1 1 x(t) = cos(t) − cos(2t) + sin(t). 3 3 The procedure for linear constant coefficient equations is as follows. We take an ordinary differential equation in the time variable t. We apply the Laplace transform to transform the equation into an algebraic (non differential) equation in the frequency domain. All the x(t), x (t), x (t), and so on, will be converted to X(s), sX(s) − x(0), s2 X(s) − sx(0) − x (0), and so on. We solve the equation for X(s). Then taking the inverse transform, if possible, we find x(t). It should be noted that since not every function has a Laplace transform, not every equation can be solved in this manner. Also if the equation is not a linear constant coefficient ODE, then by applying the Laplace transform we may not obtain an algebraic equation. 6.2.3 Using the Heaviside function Before we move on to more general equations than those we could solve before, we want to consider the Heaviside function. See Figure 6.1 on the next page for the graph. 0 if t 0, u(t) = 1 if t ≥ 0. This function is useful for putting together functions, or cutting functions off. Most commonly it is used as u(t − a) for some constant a. This just shifts the graph to the right by a. That is, it is a function that is 0 when t a and 1 when t ≥ a. Suppose for example that f (t) is a “signal” and you started receiving the signal sin t at time t = π. The function f (t) should then be defined as 0 if t π, f (t) = sin t if t ≥ π.
- 258. 258 CHAPTER 6. THE LAPLACE TRANSFORM -1.0 -0.5 0.0 0.5 1.0 1.00 1.00 0.75 0.75 0.50 0.50 0.25 0.25 0.00 0.00 -1.0 -0.5 0.0 0.5 1.0 Figure 6.1: Plot of the Heaviside (unit step) function u(t). Using the Heaviside function, f (t) can be written as f (t) = u(t − π) sin t. Similarly the step function that is 1 on the interval [1, 2) and zero everywhere else can be written as u(t − 1) − u(t − 2). The Heaviside function is useful to define functions defined piecewise. If you want to define f (t j such that f (t) = t when t is in [0, 1], f (t) = −t + 2 when t is in [1, 2] and f (t) = 0 otherwise, you can use the expression f (t) = t u(t) − u(t − 1) + (−t + 2) u(t − 1) − u(t − 2) . Hence it is useful to know how the Heaviside function interacts with the Laplace transform. We have already seen that e−as L{u(t − a)} = . s This can be generalized into a shifting property or second shifting property. L{ f (t − a) u(t − a)} = e−as L{ f (t)}. (6.1) Example 6.2.2: Suppose that the forcing function is not periodic. For example, suppose that we had a mass-spring system x (t) + x(t) = f (t), x(0) = 0, x (0) = 0, where f (t) = 1 if 1 ≤ t 5 and zero otherwise. We could imagine a mass-spring system, where a rocket is fired for 4 seconds starting at t = 1. Or perhaps an RLC circuit, where the voltage is raised at a constant rate for 4 seconds starting at t = 1, and then held steady again starting at t = 5.
- 259. 6.2. TRANSFORMS OF DERIVATIVES AND ODES 259 We can write f (t) = u(t − 1) − u(t − 5). We transform the equation and we plug in the initial conditions as before to obtain e−s e−5s s2 X(s) + X(s) = − . s s We solve for X(s) to obtain e−s e−5s X(s) = − . s(s2 + 1) s(s2 + 1) We leave it as an exercise to the reader to show that 1 L−1 = 1 − cos t. s(s2 + 1) In other words L{1 − cos t} = 1 s(s2 +1) . So using (6.1) we find e−s L−1 = L−1 e−s L{1 − cos t} = 1 − cos(t − 1) u(t − 1). s(s2 + 1) Similarly e−5s L−1 2 + 1) = L−1 e−5s L{1 − cos t} = 1 − cos(t − 5) u(t − 5). s(s Hence, the solution is x(t) = 1 − cos(t − 1) u(t − 1) − 1 − cos(t − 5) u(t − 5). The plot of this solution is given in Figure 6.2. 0 5 10 15 20 2 2 1 1 0 0 -1 -1 -2 -2 0 5 10 15 20 Figure 6.2: Plot of x(t).
- 260. 260 CHAPTER 6. THE LAPLACE TRANSFORM 6.2.4 Transfer functions Laplace transform leads to the following useful concept for studying the steady state behavior of a linear system. Suppose we have an equation of the form Lx = f (t), where L is a linear constant coefficient differential operator. Then f (t) is usually thought of as input of the system and x(t) is thought of as the output of the system. For example, for a mass-spring system the input is the forcing function and output is the behavior of the mass. We would like to have an convenient way to study the behavior of the system for different inputs. Let us suppose that all the initial conditions are zero and take the Laplace transform of the equation, we obtain the equation A(s)X(s) = F(s). Solving for the ratio X(s)/F(s) we obtain the so called transfer function H(s) = 1/A(s). X(s) H(s) = . F(s) In other words, X(s) = H(s)F(s). We obtain an algebraic dependence of the output of the system based on the input. We can now easily study the steady state behavior of the system given different inputs by simply multiplying by the transfer function. Example 6.2.3: Given x + ω2 x = f (t), let us find the transfer function (assuming the initial 0 conditions are zero). First, we take the Laplace transform of the equation. s2 X(s) + ω0 X(s) = F(s). 2 Now we solve for the transfer function X(s)/F(s). X(s) 1 H(s) = = 2 . F(s) s + ω20 Let us see how to use the transfer function. Suppose we have the constant input f (t) = 1. Hence F(s) = 1/s, and 1 1 X(s) = H(s)F(s) = 2 . s + ω2 s 0 Taking the inverse Laplace transform of X(s) we obtain 1 − cos(ω0 t) x(t) = . ω2 0
- 261. 6.2. TRANSFORMS OF DERIVATIVES AND ODES 261 6.2.5 Transforms of integrals A feature of Laplace transforms is that it is also able to easily deal with integral equations. That is, equations in which integrals rather than derivatives of functions appear. The basic property, which can be proved by applying the definition and doing integration by parts, is t 1 L f (τ) dτ = F(s). 0 s It is sometimes useful (e.g. for computing the inverse transform) to write this as t 1 f (τ) dτ = L−1 F(s) . 0 s 1 Example 6.2.4: To compute L−1 s(s2 +1) we could proceed by applying this integration rule. t t 1 1 1 L−1 = L−1 dτ = sin τ dτ = 1 − cos t. s s2 + 1 0 s 2+1 0 Example 6.2.5: An equation containing an integral of the unknown function is called an integral equation. For example, take t t2 = eτ x(τ) dτ, 0 where we wish to solve for x(t). We apply the Laplace transform and the shifting property to get 2 1 1 3 = L{et x(t)} = X(s − 1), s s s where X(s) = L{x(t)}. Thus 2 2 X(s − 1) = or X(s) = . s2 (s + 1)2 We use the shifting property again x(t) = 2e−t t. 6.2.6 Exercises Exercise 6.2.2: Using the Heaviside function write down the piecewise function that is 0 for t 0, t2 for t in [0, 1] and t for t 1. Exercise 6.2.3: Using the Laplace transform solve mx + cx + kx = 0, x(0) = a, x (0) = b, where m 0, c 0, k 0, and c2 − 4km 0 (system is overdamped).
- 262. 262 CHAPTER 6. THE LAPLACE TRANSFORM Exercise 6.2.4: Using the Laplace transform solve mx + cx + kx = 0, x(0) = a, x (0) = b, where m 0, c 0, k 0, and c2 − 4km 0 (system is underdamped). Exercise 6.2.5: Using the Laplace transform solve mx + cx + kx = 0, x(0) = a, x (0) = b, where m 0, c 0, k 0, and c2 = 4km (system is critically damped). Exercise 6.2.6: Solve x + x = u(t − 1) for initial conditions x(0) = 0 and x (0) = 0. Exercise 6.2.7: Show the differentiation of the transform property. Suppose L{ f (t)} = F(s), then show L{−t f (t)} = F (s). Hint: Differentiate under the integral sign. Exercise 6.2.8: Solve x + x = t3 u(t − 1) for initial conditions x(0) = 1 and x (0) = 0, x (0) = 0. Exercise 6.2.9: Show the second shifting property: L{ f (t − a) u(t − a)} = e−as L{ f (t)}. Exercise 6.2.10: Let us think of the mass-spring system with a rocket from Example 6.2.2. We noticed that the solution kept oscillating after the rocket stopped running. The amplitude of the oscillation depends on the time that the rocket was fired (for 4 seconds in the example). a) Find a formula for the amplitude of the resulting oscillation in terms of the amount of time the rocket is fired. b) Is there a nonzero time (if so what is it?) for which the rocket fires and the resulting oscillation has amplitude 0 (the mass is not moving)? Exercise 6.2.11: Define (t − 1)2 if 1 ≤ t 2, f (t) = 3 − t if 2 ≤ t 3, 0 otherwise. a) Sketch the graph of f (t). b) Write down f (t) using the Heaviside function. c) Solve x + x = f (t), x(0) = 0, x (0) = 0 using Laplace transform. Exercise 6.2.12: Find the transfer function for mx +cx +kx = f (t) (assuming the initial conditions are zero). Exercise 6.2.101: Using the Heaviside function u(t), write down the function 0 if x 1 f (x) = t − 1 if 1 ≤ x 2 . 1 if x ≥ 2
- 263. 6.2. TRANSFORMS OF DERIVATIVES AND ODES 263 Exercise 6.2.102: Solve x − x = (t2 − 1)u(t − 1) for initial conditions x(0) = 1, x (0) = 2 using the Laplace transform. Exercise 6.2.103: Find the transfer function for x + x = f (t) (assuming the initial conditions are zero).
- 264. 264 CHAPTER 6. THE LAPLACE TRANSFORM 6.3 Convolution Note: 1 or 1.5 lectures, §7.2 in [EP], §6.6 in [BD] 6.3.1 The convolution We said that the Laplace transformation of a product is not the product of the transforms. All hope is not lost however. We simply have to use a different type of a “product.” Take two functions f (t) and g(t) defined for t ≥ 0, and define the convolution∗ of f (t) and g(t) as t def ( f ∗ g)(t) = f (τ)g(t − τ) dτ. (6.2) 0 As you can see, the convolution of two functions of t is another function of t. Example 6.3.1: Take f (t) = et and g(t) = t for t ≥ 0. Then t ( f ∗ g)(t) = eτ (t − τ) dτ = et − t − 1. 0 To solve the integral we did one integration by parts. Example 6.3.2: Take f (t) = sin(ωt) and g(t) = cos(ωt) for t ≥ 0. Then t ( f ∗ g)(t) = sin(ωτ) cos ω(t − τ) dτ. 0 We apply the identity 1 cos(θ) sin(ψ) = sin(θ + ψ) − sin(θ − ψ) . 2 Hence, t 1 ( f ∗ g)(t) = sin(ωt) − sin(ωt − 2ωτ) dτ 0 2 t 1 1 = τ sin(ωt) + cos(2ωτ − ωt) 2 4ω τ=0 1 = t sin(ωt). 2 The formula holds only for t ≥ 0. We assumed that f and g are zero (or simply not defined) for negative t. ∞ ∗ For those that have seen convolution defined before, you may have seen it defined as ( f ∗ g)(t) = −∞ f (τ)g(t − τ) dτ. This definition agrees with (6.2) if you define f (t) and g(t) to be zero for t 0. When discussing the Laplace transform the definition we gave is sufficient. Convolution does occur in many other applications, however, where you may have to use the more general definition with infinities.
- 265. 6.3. CONVOLUTION 265 The convolution has many properties that make it behave like a product. Let c be a constant and f , g, and h be functions then f ∗ g = g ∗ f, (c f ) ∗ g = f ∗ (cg) = c( f ∗ g), ( f ∗ g) ∗ h = f ∗ (g ∗ h). The most interesting property for us, and the main result of this section is the following theorem. Theorem 6.3.1. Let f (t) and g(t) be of exponential type, then t L {( f ∗ g)(t)} = L f (τ)g(t − τ) dτ = L{ f (t)}L{g(t)}. 0 In other words, the Laplace transform of a convolution is the product of the Laplace transforms. The simplest way to use this result is in reverse. Example 6.3.3: Suppose we have the function of s defined by 1 1 1 = . (s + 1)s 2 s + 1 s2 We recognize the two entries of Table 6.2. That is 1 1 L−1 = e−t and L−1 = t. s+1 s2 Therefore, t 1 1 L−1 = τe−(t−τ) dτ = e−t + t − 1. s + 1 s2 0 The calculation of the integral involved an integration by parts. 6.3.2 Solving ODEs The next example demonstrates the full power of the convolution and the Laplace transform. We can give the solution to the forced oscillation problem for any forcing function as a definite integral. Example 6.3.4: Find the solution to x + ω2 x = f (t), 0 x(0) = 0, x (0) = 0, for an arbitrary function f (t).
- 266. 266 CHAPTER 6. THE LAPLACE TRANSFORM We first apply the Laplace transform to the equation. Denote the transform of x(t) by X(s) and the transform of f (t) by F(s) as usual. s2 X(s) + ω0 X(s) = F(s), 2 or in other words 1 X(s) = F(s) . s2 + ω2 0 We know 1 sin(ω0 t) L−1 = . s2 + ω0 2 ω0 Therefore, t sin ω0 (t − τ) x(t) = f (τ) dτ, 0 ω0 or if we reverse the order t sin(ω0 t) x(t) = f (t − τ) dτ. 0 ω0 Let us notice one more feature of this example. We can now see how Laplace transform handles resonance. Suppose that f (t) = cos(ω0 t). Then t sin(ω0 τ) 1 t x(t) = cos ω0 (t − τ) dτ = cos(ω0 τ) sin ω0 (t − τ) dτ. 0 ω0 ω0 0 We have computed the convolution of sine and cosine in Example 6.3.2. Hence 1 1 1 x(t) = t sin(ω0 t) = t sin(ω0 t). ω0 2 2ω0 Note the t in front of the sine. The solution, therefore, grows without bound as t gets large, meaning we get resonance. Similarly, we can solve any constant coefficient equation with an arbitrary forcing function f (t) as a definite integral using convolution. A definite integral, rather than a closed form solution, is usually enough for most practical purposes. It is not hard to numerically evaluate a definite integral. 6.3.3 Volterra integral equation A common integral equation is the Volterra integral equation∗ t x(t) = f (t) + g(t − τ)x(τ) dτ, 0 ∗ Named for the Italian mathematician Vito Volterra (1860 – 1940).
- 267. 6.3. CONVOLUTION 267 where f (t) and g(t) are known functions and x(t) is an unknown we wish to solve for. To find x(t), we apply the Laplace transform to the equation to obtain X(s) = F(s) + G(s)X(s), where X(s), F(s), and G(s) are the Laplace transforms of x(t), f (t), and g(t) respectively. We find F(s) X(s) = . 1 − G(s) To find x(t) we now need to find the inverse Laplace transform of X(s). Example 6.3.5: Solve t x(t) = e−t + sinh(t − τ)x(τ) dτ. 0 We apply Laplace transform to obtain 1 1 X(s) = + 2 X(s), s+1 s −1 or 1 s−1 s 1 X(s) = s+1 1 = 2−2 = 2 − 2 . 1− s2 −1 s s −2 s −2 It is not hard to apply Table 6.1 on page 251 to find √ 1 √ x(t) = cosh( 2 t) − √ sinh( 2 t). 2 6.3.4 Exercises Exercise 6.3.1: Let f (t) = t2 for t ≥ 0, and g(t) = u(t − 1). Compute f ∗ g. Exercise 6.3.2: Let f (t) = t for t ≥ 0, and g(t) = sin t for t ≥ 0. Compute f ∗ g. Exercise 6.3.3: Find the solution to mx + cx + kx = f (t), x(0) = 0, x (0) = 0, for an arbitrary function f (t), where m 0, c 0, k 0, and c2 − 4km 0 (system is overdamped). Write the solution as a definite integral. Exercise 6.3.4: Find the solution to mx + cx + kx = f (t), x(0) = 0, x (0) = 0, for an arbitrary function f (t), where m 0, c 0, k 0, and c2 − 4km 0 (system is underdamped). Write the solution as a definite integral.
- 268. 268 CHAPTER 6. THE LAPLACE TRANSFORM Exercise 6.3.5: Find the solution to mx + cx + kx = f (t), x(0) = 0, x (0) = 0, for an arbitrary function f (t), where m 0, c 0, k 0, and c2 = 4km (system is critically damped). Write the solution as a definite integral. Exercise 6.3.6: Solve t x(t) = e−t + cos(t − τ)x(τ) dτ. 0 Exercise 6.3.7: Solve t x(t) = cos t + cos(t − τ)x(τ) dτ. 0 s Exercise 6.3.8: Compute L−1 (s2 +4) 2 using convolution. Exercise 6.3.9: Write down the solution to x − 2x = e−t , x(0) = 0, x (0) = 0 as a definite integral. 2 2 Hint: Do not try to compute the Laplace transform of e−t . Exercise 6.3.101: Let f (t) = cos t for t ≥ 0, and g(t) = e−t . Compute f ∗ g. 5 Exercise 6.3.102: Compute L−1 s4 +s2 using convolution. Exercise 6.3.103: Solve x + x = sin t, x(0) = 0, x (0) = 0 using convolution. Exercise 6.3.104: Solve x + x = f (t), x(0) = 0, x (0) = 0, x (0) = 0 using convolution. Write the result as a definite integral.
- 269. 6.4. DIRAC DELTA AND IMPULSE RESPONSE 269 6.4 Dirac delta and impulse response Note: 1 or 1.5 lecture, §7.6 in [EP], §6.5 in [BD] 6.4.1 Rectangular pulse Often in applications we study a physical system by putting in a short pulse and then seeing what the system does. The resulting behaviour is often called impulse response. Let us see what we mean by a pulse. The simplest kind of a pulse is a simple rectangular pulse defined by 0 if t a, ϕ(t) = M if a ≤ t b, 0 if b ≤ t. See Figure 6.3 for a graph. Notice that ϕ(t) = M u(t − a) − u(t − b) , where u(t) is the unit step function. 0.0 0.5 1.0 1.5 2.0 2.5 3.0 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Figure 6.3: Sample square pulse with a = 0.5, b = 1 and M = 2. Let us take the Laplace transform of a square pulse, e−as − e−bs L {ϕ(t)} = L M u(t − a) − u(t − b) = M . s For simplicity we let a = 0, and it is convenient to set M = 1/b to have ∞ ϕ(t) dt = 1. 0
- 270. 270 CHAPTER 6. THE LAPLACE TRANSFORM That is, to have the pulse have “unit mass.” For such a pulse we compute u(t) − u(t − b) 1 − e−bs L {ϕ(t)} = L = . b bs We generally want b to be very small. That is, we wish to have the pulse be very short and very tall. By letting b go to zero we arrive at the concept of the Dirac delta function. 6.4.2 The delta function The Dirac delta function∗ is not exactly a function; it is sometimes called a generalized function. We avoid unnecessary details and simply say that it is an object that does not really make sense unless we integrate it. The motivation is that we would like a “function” δ(t) such that for any continuous function f (t) we have ∞ δ(t) f (t) dt = f (0). −∞ The formula should hold if we integrate over any interval that contains 0, not just (−∞, ∞). So δ(t) is a “function” with all its “mass” at the single point t = 0. In other words, for any interval [c, d] d 1 if the interval [c, d] contains 0, i.e. c ≤ 0 ≤ d, δ(t) dt = 0 otherwise. c Unfortunately there is no such function in the classical sense. You could informally think that δ(t) is zero for t 0 and somehow infinite at t = 0. A good way to think about δ(t) is as a limit of short pulses whose integral is 1. For example, suppose that we have a square pulse ϕ(t) as above with a = 0, M = 1/b, that is ϕ(t) = u(t)−u(t−b) . b Compute ∞ ∞ u(t) − u(t − b) 1 b ϕ(t) f (t) dt = f (t) dt = f (t) dt. −∞ −∞ b b 0 If f (t) is continuous at t = 0, then for very small b, the function f (t) is approximately equal to f (0) on the interval [0, b]. We approximate the integral b b 1 1 f (t) dt ≈ f (0) dt = f (0). b 0 b 0 Therefore, ∞ b 1 lim ϕ(t) f (t) dt = lim f (t) dt = f (0). b→0 −∞ b→0 b 0 ∗ Named after the English physicist and mathematician Paul Adrien Maurice Dirac (1902–1984).
- 271. 6.4. DIRAC DELTA AND IMPULSE RESPONSE 271 Let us therefore accept δ(t) as an object that is possible to integrate. We often want to shift δ to another point, for example δ(t − a). In that case we have ∞ δ(t − a) f (t) dt = f (a). −∞ Note that δ(a − t) is the same object as δ(t − a). In other words, the convolution of δ(t) with f (t) is again f (t), t ( f ∗ δ)(t) = δ(t − s) f (s) ds = f (t). 0 As we can integrate δ(t), let us compute its Laplace transform. ∞ L {δ(t − a)} = e−st δ(t − a) dt = e−as . 0 In particular, L {δ(t)} = 1. Remark 6.4.1: Notice that the Laplace transform of δ(t − a) looks like the Laplace transform of the derivative of the Heaviside function u(t − a), if we could differentiate the Heaviside function. First notice e−as L u(t − a) = . s To obtain what the Laplace transform of the derivative would be we multiply by s, to obtain e−as , which is the Laplace transform of δ(t − a). We see the same thing using integration, t δ(s − a) ds = u(t − a). 0 So in a certain sense d “ u(t − a) = δ(t − a) ” dt This line of reasoning allows us to talk about derivatives of functions with jump discontinuities. We can think of the derivative of the Heaviside function u(t − a) as being somehow infinite at a, which is precisely our intuitive understanding of the delta function. Example 6.4.1: Let us compute L−1 s+1 . So far we have always looked at proper rational s functions in the s variable. That is, the numerator was always of lower degree than the denominator. Not so with s+1 . We write, s s+1 1 1 L−1 = L−1 1 + = L−1 {1} + L−1 = δ(t) + 1. s s s The resulting object is a generalized function and only makes sense when put underneath an integral.
- 272. 272 CHAPTER 6. THE LAPLACE TRANSFORM 6.4.3 Impulse response As we said before, in the differential equation Lx = f (t), we think of f (t) as input, and x(t) as the output. Often it is important to find the response to an impulse, and then we use the delta function in place of f (t). The solution to Lx = δ(t) is called the impulse response. Example 6.4.2: Solve (find the impulse response) x + ω2 x = δ(t), 0 x(0) = 0, x (0) = 0. (6.3) We first apply the Laplace transform to the equation. Denote the transform of x(t) by X(s). 1 s2 X(s) + ω2 X(s) = 1, and so X(s) = 2 . 0 s + ω2 0 Taking the inverse Laplace transform we obtain sin(ω0 t) x(t) = . ω0 Let us notice something about the above example. We have proved before that when the input was f (t), then the solution to Lx = f (t) was given by sin ω0 (t − τ) t x(t) = f (τ) dτ. 0 ω0 Notice that the solution for an arbitrary input is given as convolution with the impulse response. Let us see why. The key is to notice that for functions x(t) and f (t), t t d2 (x ∗ f ) (t) = f (τ)x(t − τ) dτ = f (τ)x (t − τ) dτ = (x ∗ f )(t). dt2 0 0 We simply differentiate twice under the integral∗ , the details are left as an exercise. And so if we convolve the entire equation (6.3), the left hand side becomes (x + ω2 x) ∗ f = (x ∗ f ) + ω2 (x ∗ f ) = (x ∗ f ) + ω2 (x ∗ f ). 0 0 0 The right hand side becomes (δ ∗ f )(t) = f (t). Therefore y(t) = (x ∗ f )(t) is the solution to y + ω0 y = f (t). 2 This procedure works in general for other linear equations Lx = f (t). If you determine the impulse response, you also know how to obtain the output x(t) for any input f (t) by simply convolving the impulse response and the input f (t). ∗ You should really think of the integral going over (−∞, ∞) rather than over [0, t] and simply assume that f (t) and x(t) are continuous and zero for negative t.
- 273. 6.4. DIRAC DELTA AND IMPULSE RESPONSE 273 6.4.4 Three-point beam bending Let us give another quite different example where delta functions turn up. In this case representing point loads on a steel beam. Suppose we have a beam of length L, resting on two simple supports at the ends. Let x denote the position on the beam, and let y(x) denote the deflection of the beam in the vertical direction. The deflection y(x) satisfies the Euler-Bernoulli equation∗ , d4 y EI = F(x), dx4 where E and I are constants† and F(x) is the force applied per unit length at position x. The situation we are interested in is when the force is applied at a single point as in Figure 6.4. y Fδ(x − a) x Figure 6.4: Three-point bending. In this case the equation becomes d4 y EI = −Fδ(x − a), dx4 where x = a is the point where the mass is applied. F is the force applied and the minus sign indicates that the force is downward, that is, in the negative y direction. The end points of the beam satisfy the conditions, y(0) = 0, y (0) = 0, y(L) = 0, y (L) = 0. See § 5.2, for further information about endpoint conditions applied to beams. Example 6.4.3: Suppose that length of the beam is 2, and suppose that EI = 1 for simplicity. Further suppose that the force F = 1 is applied at x = 1. That is, we have the equation d4 y = −δ(x − 1), dx4 ∗ Named for the Swiss mathematicians Jacob Bernoulli (1654 – 1705), Daniel Bernoulli —nephew of Jacob— (1700 – 1782), and Leonhard Paul Euler (1707 – 1783). † E is the elastic modulus and I is the second moment of area. Let us not worry about the details and simply think of these as some given constants.
- 274. 274 CHAPTER 6. THE LAPLACE TRANSFORM and the endpoint conditions are y(0) = 0, y (0) = 0, y(2) = 0, y (2) = 0. We could integrate, but using the Laplace transform is even easier. We apply the transform in the x variable rather than the t variable. Let us again denote the transform of y(x) as Y(s). s4 Y(s) − s3 y(0) − s2 y (0) − sy (0) − y (0) = −e−s . We notice that y(0) = 0 and y (0) = 0. Let us call C1 = y (0) and C2 = y (0). We solve for Y(s), −e−s C1 C2 Y(s) = + 2 + 4. s4 s s We take the inverse Laplace transform utilizing the second shifting property (6.1) to take the inverse of the first term. −(x − 1)3 C2 3 y(x) = u(x − 1) + C1 x + x. 6 6 We still need to apply two of the endpoint conditions. As the conditions are at x = 2 we can simply replace u(x − 1) = 1 when taking the derivatives. Therefore, −(2 − 1)3 C2 −1 4 0 = y(2) = + C1 (2) + 23 = + 2C1 + C2 , 6 6 6 3 and −3 · 2 · (2 − 1) C2 0 = y (2) = + 3 · 2 · 2 = −1 + 2C2 . 6 6 Hence C2 = 1 and solving for C1 using the first equation we obtain C1 = −1 . Our solution for the 2 4 beam deflection is −(x − 1)3 x x3 y(x) = u(x − 1) − + . 6 4 12 6.4.5 Exercises Exercise 6.4.1: Solve (find the impulse response) x + x + x = δ(t), x(0) = 0, x (0) = 0. Exercise 6.4.2: Solve (find the impulse response) x + 2x + x = δ(t), x(0) = 0, x (0) = 0. Exercise 6.4.3: A pulse can come later and can be bigger. Solve x + 4x = 4δ(t − 1), x(0) = 0, x (0) = 0. Exercise 6.4.4: Suppose that f (t) and g(t) are differentiable functions and suppose that f (t) = g(t) = 0 for all t ≤ 0. Show that ( f ∗ g) (t) = ( f ∗ g)(t) = ( f ∗ g )(t).
- 275. 6.4. DIRAC DELTA AND IMPULSE RESPONSE 275 Exercise 6.4.5: Suppose that Lx = δ(t), x(0) = 0, x (0) = 0, has the solution x = e−t for t 0. Find the solution to Lx = t2 , x(0) = 0, x (0) = 0 for t 0. s2 +s+1 Exercise 6.4.6: Compute L−1 s2 . Exercise 6.4.7 (challenging): Solve Example 6.4.3 via integrating 4 times in the x variable. Exercise 6.4.8: Suppose we have a beam of length 1 simply supported at the ends and suppose that force F = 1 is applied at x = 3 in the downward direction. Suppose that EI = 1 for simplicity. Find 4 the beam deflection y(x). Exercise 6.4.101: Solve (find the impulse response) x = δ(t), x(0) = 0, x (0) = 0. Exercise 6.4.102: Solve (find the impulse response) x + ax = δ(t), x(0) = 0, x (0) = 0. Exercise 6.4.103: Suppose that Lx = δ(t), x(0) = 0, x (0) = 0, has the solution x(t) = cos(t) for t 0. Find (in closed form) the solution to Lx = sin(t), x(0) = 0, x (0) = 0 for t 0. s2 Exercise 6.4.104: Compute L−1 s2 +1 . 3s2 e−s +2 Exercise 6.4.105: Compute L−1 s2 .
- 276. 276 CHAPTER 6. THE LAPLACE TRANSFORM
- 277. Chapter 7 Power series methods 7.1 Power series Note: 1 or 1.5 lecture , §8.1 in [EP], §5.1 in [BD] Many functions can be written in terms of a power series ∞ ak (x − x0 )k . k=0 If we assume that a solution of a differential equation is written as a power series, then perhaps we can use a method reminiscent of undetermined coefficients. That is, we will try to solve for the numbers ak . Before we can carry out this process, let us review some results and concepts about power series. 7.1.1 Definition As we said, a power series is an expression such as ∞ ak (x − x0 )k = a0 + a1 (x − x0 ) + a2 (x − x0 )2 + a3 (x − x0 )3 + · · · , (7.1) k=0 where a0 , a1 , a2 , . . . , ak , . . . and x0 are constants. Let n S n (x) = ak (x − x0 )k = a0 + a1 (x − x0 ) + a2 (x − x0 )2 + a3 (x − x0 )3 + · · · + an (x − x0 )n , k=0 denote the so-called partial sum. If for some x, the limit n lim S n (x) = lim ak (x − x0 )k n→∞ n→∞ k=0 277
- 278. 278 CHAPTER 7. POWER SERIES METHODS exists, then we say that the series (7.1) converges at x. Note that for x = x0 , the series always converges to a0 . When (7.1) converges at any other point x x0 , we say that (7.1) is a convergent power series. In this case we write ∞ n ak (x − x0 )k = lim ak (x − x0 )k . n→∞ k=0 k=0 If the series does not converge for any point x x0 , we say that the series is divergent. Example 7.1.1: The series ∞ 1 k x2 x3 x =1+x+ + + ··· k=0 k! 2 6 is convergent for any x. Recall that k! = 1 · 2 · 3 · · · k is the factorial. By convention we define 0! = 1. In fact, you may recall that this series converges to e x . We say that (7.1) converges absolutely at x whenever the limit n lim |ak | |x − x0 |k n→∞ k=0 exists. That is, the series ∞ |ak | |x − x0 |k is convergent. If (7.1) converges absolutely at x, then it k=0 converges at x. However, the opposite implication is not true. Example 7.1.2: The series ∞ 1 k x k=1 k k converges absolutely at any x ∈ (−1, 1). It converges at x = −1, as ∞ (−1) converges (condition- k=1 k ally) by the alternating series test. But the power series does not converge absolutely at x = −1, because ∞ 1 does not converge. The series diverges at x = 1. k=1 k 7.1.2 Radius of convergence If a series converges absolutely at some x1 , then for all x such that |x − x0 | ≤ |x1 − x0 | (that is, x is closer than x1 to x0 ) we have |ak (x − x0 )k | ≤ |ak (x1 − x0 )k | for all k. As the numbers |ak (x1 − x0 )k | sum to some finite limit, summing smaller positive numbers |ak (x − x0 )k | must also have a finite limit. Therefore, the series must converge absolutely at x. We have the following result. Theorem 7.1.1. For a power series (7.1), there exists a number ρ (we allow ρ = ∞) called the radius of convergence such that the series converges absolutely on the interval (x0 − ρ, x0 + ρ) and diverges for x x0 − ρ and x x0 + ρ. We write ρ = ∞ if the series converges for all x.
- 279. 7.1. POWER SERIES 279 diverges converges absolutely diverges x0 − ρ x0 x0 + ρ Figure 7.1: Convergence of a power series. See Figure 7.1. In Example 7.1.1 the radius of convergence is ρ = ∞ as the series converges everywhere. In Example 7.1.2 the radius of convergence is ρ = 1. We note that ρ = 0 is another way of saying that the series is divergent. A useful test for convergence of a series is the ratio test. Suppose that ∞ ck k=0 is a series such that the limit ck+1 L = lim n→∞ck exists. Then the series converges absolutely if L 1 and diverges if L 1. Let us apply this test to the series (7.1). That is we let ck = ak (x − x0 )k in the test. Compute ck+1 ak+1 (x − x0 )k+1 ak+1 L = lim = lim k = lim |x − x0 |. n→∞ ck n→∞ ak (x − x0 ) n→∞ ak Define A by ak+1 A = lim . n→∞ ak Then if 1 L = A|x − x0 | the series (7.1) converges absolutely. If A = 0, then the series always converges. If A 0, then the series converges absolutely if |x − x0 | 1/A, and diverges if |x − x0 | 1/A. That is, the radius of convergence is 1/A. Let us summarize. Theorem 7.1.2. Let ∞ ak (x − x0 )k k=0 be a power series such that ak+1 A = lim n→∞ ak exists. If A = 0, then the radius of convergence of the series is ∞. Otherwise the radius of convergence is 1/A.
- 280. 280 CHAPTER 7. POWER SERIES METHODS Example 7.1.3: Suppose we have the series ∞ 2−k (x − 1)k . k=0 First we compute, ak+1 2−k−1 A = lim = lim −k = 2−1 = 1/2. k→∞ ak k→∞ 2 Therefore the radius of convergence is 2, and the series converges absolutely on the interval (−1, 3). The ratio test does not always apply. That is the limit of aak might not exist. There exist more k+1 sophisticated ways of finding the radius of convergence, but those would be beyond the scope of this chapter. 7.1.3 Analytic functions Functions represented by power series are called analytic functions. Not every function is analytic, although the majority of the functions you have seen in calculus are. An analytic function f (x) is equal to its Taylor series∗ near a point x0 . That is, for x near x0 we have ∞ f (k) (x0 ) f (x) = (x − x0 )k , (7.2) k=0 k! where f (k) (x0 ) denotes the kth derivative of f (x) at the point x0 . -10 -5 0 5 10 3 3 2 2 1 1 0 0 -1 -1 -2 -2 -3 -3 -10 -5 0 5 10 Figure 7.2: The sine function and its Taylor approximations around x0 = 0 of 5th and 9th degree. ∗ Named after the English mathematician Sir Brook Taylor (1685 – 1731).
- 281. 7.1. POWER SERIES 281 For example, sine is an analytic function and its Taylor series around x0 = 0 is given by ∞ (−1)n 2n+1 sin(x) = x . n=0 (2n + 1)! In Figure 7.2 on the facing page we plot sin(x) and the truncations of the series up to degree 5 and 9. You can see that the approximation is very good for x near 0, but gets worse for x further away from 0. This is what happens in general. To get a good approximation far away from x0 you need to take more and more terms of the Taylor series. 7.1.4 Manipulating power series One of the main properties of power series that we will use is that we can differentiate them term by term. That is, suppose that ak (x − x0 )k is a convergent power series. Then for x in the radius of convergence we have ∞ ∞ d a (x − x )k = kak (x − x0 )k−1 . k 0 dx k=0 k=1 Notice that the term corresponding to k = 0 disappeared as it was constant. The radius of conver- gence of the differentiated series is the same as that of the original. Example 7.1.4: Let us show that the exponential y = e x solves y = y. First write ∞ 1 k y = ex = x. k=0 k! Now differentiate ∞ ∞ 1 1 y = k xk−1 = xk−1 . k=1 k! k=1 (k − 1)! We reindex the series by simply replacing k with k + 1. The series does not change, what changes is simply how we write it. After reindexing the series starts at k = 0 again. ∞ ∞ ∞ 1 1 1 k xk−1 = x(k+1)−1 = x. k=1 (k − 1)! k+1=1 (k + 1) − 1 ! k=0 k! That was precisely the power series for e x that we started with, so we showed that d dx [e x ] = ex . Convergent power series can be added and multiplied together, and multiplied by constants using the following rules. First, we can add series by adding term by term, ∞ ∞ ∞ a (x − x )k + b (x − x )k = (ak + bk )(x − x0 )k . k 0 k 0 k=0 k=0 k=0
- 282. 282 CHAPTER 7. POWER SERIES METHODS We can multiply by constants, ∞ ∞ α ak (x − x0 ) = αak (x − x0 )k . k k=0 k=0 We can also multiply series together, ∞ ∞ ∞ bk (x − x0 ) = ck (x − x0 )k , a (x − x )k k k 0 k=0 k=0 k=0 where ck = a0 bk + a1 bk−1 + · · · + ak b0 . The radius of convergence of the sum or the product is at least the minimum of the radii of convergence of the two series involved. 7.1.5 Power series for rational functions Polynomials are simply finite power series. That is, a polynomial is a power series where the ak are zero for all k large enough. We can always expand a polynomial as a power series about any point x0 by writing the polynomial as a polynomial in (x − x0 ). For example, let us write 2x2 − 3x + 4 as a power series around x0 = 1: 2x2 − 3x + 4 = 3 + (x − 1) + 2(x − 1)2 . In other words a0 = 3, a1 = 1, a2 = 2, and all other ak = 0. To do this, we know that ak = 0 for all k ≥ 3 as the polynomial is of degree 2. We write a0 + a1 (x − 1) + a2 (x − 1)2 , we expand, and we solve for a0 , a1 , and a2 . We could have also differentiated at x = 1 and used the Taylor series formula (7.2). Let us look at rational functions, that is, ratios of polynomials. An important fact is that a series for a function only defines the function on an interval even if the function is defined elsewhere. For example, for −1 x 1 we have ∞ 1 = xk = 1 + x + x2 + · · · 1−x k=0 This series is called the geometric series. The ratio test tells us that the radius of convergence is 1. 1 The series diverges for x ≤ −1 and x ≥ 1, even though 1−x is defined for all x 1. We can use the geometric series together with rules for addition and multiplication of power series to expand rational functions around a point, as long as the denominator is not zero at x0 . Note that as for polynomials, we could equivalently use the Taylor series expansion (7.2). Example 7.1.5: Expand x 1+2x+x2 as a power series around the origin (x0 = 0) and find the radius of convergence.
- 283. 7.1. POWER SERIES 283 2 First, write 1 + 2x + x2 = (1 + x)2 = 1 − (−x) . Now we compute 2 x 1 =x 1 + 2x + x 2 1 − (−x) ∞ = x (−1)k xk k=0 ∞ =x c xk k k=0 ∞ = ck xk+1 , k=0 where using the formula for product of product of series we obtain, c0 = 1, c1 = −1 − 1 = −2, c2 = 1 + 1 + 1 = 3, etc. . . . Therefore ∞ x = (−1)k+1 kxk = x − 2x2 + 3x3 − 4x4 + · · · 1 + 2x + x2 k=1 The radius of convergence is at least 1. We use the ratio test ak+1 (−1)k+2 (k + 1) k+1 lim = lim = lim = 1. k→∞ ak k→∞ (−1)k+1 k k→∞ k So the radius of convergence is actually equal to 1. 7.1.6 Exercises ∞ Exercise 7.1.1: Is the power series ek xk convergent? If so, what is the radius of convergence? k=0 ∞ Exercise 7.1.2: Is the power series kxk convergent? If so, what is the radius of convergence? k=0 ∞ Exercise 7.1.3: Is the power series k!xk convergent? If so, what is the radius of convergence? k=0 ∞ 1 Exercise 7.1.4: Is the power series (x − 10)k convergent? If so, what is the radius of k=0 (2k)! convergence? Exercise 7.1.5: Determine the Taylor series for sin x around the point x0 = π.
- 284. 284 CHAPTER 7. POWER SERIES METHODS Exercise 7.1.6: Determine the Taylor series for ln x around the point x0 = 1, and find the radius of convergence. 1 Exercise 7.1.7: Determine the Taylor series and its radius of convergence of around x0 = 0. 1+x x Exercise 7.1.8: Determine the Taylor series and its radius of convergence of around x0 = 0. 4 − x2 Hint: You will not be able to use the ratio test. Exercise 7.1.9: Expand x5 + 5x + 1 as a power series around x0 = 5. ∞ Exercise 7.1.10: Suppose that the ratio test applies to a series ak xk . Show, using the ratio test, k=0 that the radius of convergence of the differentiated series is the same as that of the original series. Exercise 7.1.11: Suppose that f is an analytic function such that f (n) (0) = n. Find f (1). ∞ Exercise 7.1.101: Is the power series (0.1)n xn convergent? If so, what is the radius of conver- n=1 gence? ∞ n! n Exercise 7.1.102 (challenging): Is the power series x convergent? If so, what is the radius n=1 nn of convergence? Exercise 7.1.103: Using the geometric series, expand 1 1−x around x0 = 2. For what x does the series converge? Exercise 7.1.104 (challenging): Find the Taylor series for x7 e x around x0 = 0. Exercise 7.1.105 (challenging): Imagine f and g are analytic functions such that f (k) (0) = g(k) (0) for all large enough k. What can you say about f (x) − g(x)?
- 285. 7.2. SERIES SOLUTIONS OF LINEAR SECOND ORDER ODES 285 7.2 Series solutions of linear second order ODEs Note: 1 or 1.5 lecture , §8.2 in [EP], §5.2 and §5.3 in [BD] Suppose we have a linear second order homogeneous ODE of the form p(x)y + q(x)y + r(x)y = 0. Suppose that p(x), q(x), and r(x) are polynomials. We will try a solution of the form ∞ y= ak (x − x0 )k k=0 and solve for the ak to try to obtain a solution defined in some interval around x0 . The point x0 is called an ordinary point if p(x0 ) 0. That is, the functions q(x) r(x) and p(x) p(x) are defined for x near x0 . If p(x0 ) = 0, then we say x0 is a singular point. Handling singular points is harder than ordinary points and so we now focus only on ordinary points. Example 7.2.1: Let us start with a very simple example y − y = 0. Let us try a power series solution near x0 = 0, which is an ordinary point. Every point is an ordinary point in fact, as the equation is constant coefficient. We already know we should obtain exponentials or the hyperbolic sine and cosine, but let us pretend we do not know this. We try ∞ y= ak xk . k=0 If we differentiate, the k = 0 term is a constant and hence disappears. We therefore get ∞ y = kak xk−1 . k=1 We differentiate yet again to obtain (now the k = 1 term disappears) ∞ y = k(k − 1)ak xk−2 . k=2
- 286. 286 CHAPTER 7. POWER SERIES METHODS We reindex the series (replace k with k + 2) to obtain ∞ y = (k + 2) (k + 1) ak+2 xk . k=0 Now we plug y and y into the differential equation ∞ ∞ 0=y −y= (k + 2) (k + 1) ak+2 x − k ak xk k=0 k=0 ∞ = (k + 2) (k + 1) ak+2 xk − ak xk k=0 ∞ = (k + 2) (k + 1) ak+2 − ak xk . k=0 As y − y is supposed to be equal to 0, we know that the coefficients of the resulting series must be equal to 0. Therefore, ak (k + 2) (k + 1) ak+2 − ak = 0, or ak+2 = . (k + 2)(k + 1) The above equation is called a recurrence relation for the coefficients of the power series. It did not matter what a0 or a1 was. They can be arbitrary. But once we pick a0 and a1 , then all other coefficients are determined by the recurrence relation. Let us see what the coefficients must be. First, a0 and a1 are arbitrary a0 a1 a2 a0 a3 a1 a2 = , a3 = , a4 = = , a5 = = , ... 2 (3)(2) (4)(3) (4)(3)(2) (5)(4) (5)(4)(3)(2) So we note that for even k, that is k = 2n we get a0 ak = a2n = , (2n)! and for odd k, that is k = 2n + 1 we have a1 ak = a2n+1 = . (2n + 1)! Let us write down the series ∞ ∞ ∞ ∞ a0 2n a1 1 1 y= ak x = k x + x2n+1 = a0 x2n + a1 x2n+1 . k=0 n=0 (2n)! (2n + 1)! n=0 (2n)! n=0 (2n + 1)! We recognize the two series as the hyperbolic sine and cosine. Therefore, y = a0 cosh x + a1 sinh x.
- 287. 7.2. SERIES SOLUTIONS OF LINEAR SECOND ORDER ODES 287 Of course, in general we will not be able to recognize the series that appears, since usually there will not be any elementary function that matches it. In that case we will be content with the series. Example 7.2.2: Let us do a more complex example. Suppose we wish to solve Airy’s equation∗ , that is y − xy = 0, near the point x0 = 0. Note that x0 = 0 is an ordinary point. We try ∞ y= ak xk . k=0 We differentiate twice (as above) to obtain ∞ y = k (k − 1) ak xk−2 . k=2 We plug y into the equation ∞ ∞ 0 = y − xy = k (k − 1) ak x k−2 −x ak xk k=2 k=0 ∞ ∞ = k (k − 1) ak xk−2 − ak xk+1 . k=2 k=0 We reindex to make things easier to sum ∞ ∞ 0 = y − xy = 2a2 + (k + 2) (k + 1) ak+2 xk − ak−1 xk . k=1 k=1 ∞ = 2a2 + (k + 2) (k + 1) ak+2 − ak−1 xk . k=1 Again y − xy is supposed to be 0 so first we notice that a2 = 0 and also ak−1 (k + 2) (k + 1) ak+2 − ak−1 = 0, or ak+2 = . (k + 2)(k + 1) Now we jump in steps of three. First we notice that since a2 = 0 we must have that, a5 = 0, a8 = 0, a11 = 0, etc. . . . In general a3n+2 = 0. The constants a0 and a1 are arbitrary and we obtain a0 a1 a3 a0 a4 a1 a3 = , a4 = , a6 = = , a7 = = , ... (3)(2) (4)(3) (6)(5) (6)(5)(3)(2) (7)(6) (7)(6)(4)(3) ∗ Named after the English mathematician Sir George Biddell Airy (1801 – 1892).
- 288. 288 CHAPTER 7. POWER SERIES METHODS For ak where k is a multiple of 3, that is k = 3n we notice that a0 a3n = . (2)(3)(5)(6) · · · (3n − 1)(3n) For ak where k = 3n + 1, we notice a1 a3n+1 = . (3)(4)(6)(7) · · · (3n)(3n + 1) In other words, if we write down the series for y we notice that it has two parts a0 3 a0 6 a0 y = a0 + x + x + ··· + x3n + · · · 6 180 (2)(3)(5)(6) · · · (3n − 1)(3n) a1 a1 7 a1 + a1 x + x4 + x + ··· + x3n+1 + · · · 12 504 (3)(4)(6)(7) · · · (3n)(3n + 1) 1 1 6 1 = a0 1 + x 3 + x + ··· + x3n + · · · 6 180 (2)(3)(5)(6) · · · (3n − 1)(3n) 1 1 7 1 + a1 x + x 4 + x + ··· + x3n+1 + · · · . 12 504 (3)(4)(6)(7) · · · (3n)(3n + 1) We define 1 1 6 1 y1 (x) = 1 + x3 + x + ··· + x3n + · · · , 6 180 (2)(3)(5)(6) · · · (3n − 1)(3n) 1 1 7 1 y2 (x) = x + x4 + x + ··· + x3n+1 + · · · , 12 504 (3)(4)(6)(7) · · · (3n)(3n + 1) and write the general solution to the equation as y(x) = a0 y1 (x) + a1 y2 (x). Notice from the power series that y1 (0) = 1 and y2 (0) = 0. Also, y1 (0) = 0 and y2 (0) = 1. If we obtained a solution that satisfies the initial conditions y(0) = a0 and y (0) = a1 . The functions y1 and y2 cannot be written in terms of the elementary functions that you know. See Figure 7.3 for the plot of the solutions y1 and y2 . These functions have many interesting properties. For example, they are oscillatory for negative x (like solutions to y + y = 0) and for positive x they grow without bound (like solutions to y − y = 0). Sometimes a solution may turn out to be a polynomial. Example 7.2.3: Let us find a solution to the so-called Hermite’s equation of order n∗ is the equation y − 2xy + 2ny = 0. ∗ Named after the French mathematician Charles Hermite (1822–1901).
- 289. 7.2. SERIES SOLUTIONS OF LINEAR SECOND ORDER ODES 289 -5.0 -2.5 0.0 2.5 5.0 7.5 7.5 5.0 5.0 2.5 2.5 0.0 0.0 -2.5 -2.5 -5.0 -5.0 -5.0 -2.5 0.0 2.5 5.0 Figure 7.3: The two solutions y1 and y2 to Airy’s equation. Let us find a solution around the point x0 = 0. We try ∞ y= ak xk . k=0 We differentiate (as above) to obtain ∞ y = kak xk−1 , k=1 ∞ y = k (k − 1) ak xk−2 . k=2 Now we plug into the equation ∞ ∞ ∞ 0 = y − 2xy + 2ny = k (k − 1) ak xk−2 − 2x kak xk−1 + 2n ak x k k=2 k=1 k=0 ∞ ∞ ∞ = k (k − 1) ak xk−2 − 2kak xk + 2nak xk k=2 k=1 k=0 ∞ ∞ ∞ = 2a2 + (k + 2) (k + 1) ak+2 xk − 2kak xk + 2na0 + 2nak xk k=1 k=1 k=1 ∞ = 2a2 + 2na0 + (k + 2) (k + 1) ak+2 − 2kak + 2nak xk . k=1 As y − 2xy + 2ny = 0 we have (2k − 2n) (k + 2) (k + 1) ak+2 + (−2k + 2n)ak = 0, or ak+2 = ak . (k + 2)(k + 1)
- 290. 290 CHAPTER 7. POWER SERIES METHODS This recurrence relation actually includes a2 = −na0 (which comes about from 2a2 + 2na0 = 0). Again a0 and a1 are arbitrary. −2n 2(1 − n) a2 = a0 , a3 = a1 , (2)(1) (3)(2) 2(2 − n) 22 (2 − n)(−n) a4 = a2 = a0 , (4)(3) (4)(3)(2)(1) 2(3 − n) 22 (3 − n)(1 − n) a5 = a3 = a1 , ... (5)(4) (5)(4)(3)(2) Let us separate the even and odd coefficients. We find that 2m (−n)(2 − n) · · · (2m − 2 − n) a2m = , (2m)! 2m (1 − n)(3 − n) · · · (2m − 1 − n) a2m+1 = . (2m + 1)! Let us write down the two series, one with the even powers and one with the odd. 2(−n) 2 22 (−n)(2 − n) 4 23 (−n)(2 − n)(4 − n) 6 y1 (x) = 1 + x + x + x + ··· , 2! 4! 6! 2(1 − n) 3 22 (1 − n)(3 − n) 5 23 (1 − n)(3 − n)(5 − n) 7 y2 (x) = x + x + x + x + ··· . 3! 5! 7! We then write y(x) = a0 y1 (x) + a1 y2 (x). We also notice that if n is a positive even integer, then y1 (x) is a polynomial as all the coefficients in the series beyond a certain degree are zero. If n is a positive odd integer, then y2 (x) is a polynomial. For example, if n = 4, then 2(−4) 2 22 (−4)(2 − 4) 4 4 y1 (x) = 1 + x + x = 1 − 4x2 + x4 . 2! 4! 3 7.2.1 Exercises In the following exercises, when asked to solve an equation using power series methods, you should find the first few terms of the series, and if possible find a general formula for the kth coefficient. Exercise 7.2.1: Use power series methods to solve y + y = 0 at the point x0 = 1. Exercise 7.2.2: Use power series methods to solve y + 4xy = 0 at the point x0 = 0. Exercise 7.2.3: Use power series methods to solve y − xy = 0 at the point x0 = 1.
- 291. 7.2. SERIES SOLUTIONS OF LINEAR SECOND ORDER ODES 291 Exercise 7.2.4: Use power series methods to solve y + x2 y = 0 at the point x0 = 0. Exercise 7.2.5: The methods work for other orders than second order. Try the methods of this section to solve the first order system y − xy = 0 at the point x0 = 0. Exercise 7.2.6 (Chebyshev’s equation of order p): a) Solve (1 − x2 )y − xy + p2 y = 0 using power series methods at x0 = 0. b) For what p is there a polynomial solution? Exercise 7.2.7: Find a polynomial solution to (x2 + 1)y − 2xy + 2y = 0 using power series methods. Exercise 7.2.8: a) Use power series methods to solve (1 − x)y + y = 0 at the point x0 = 0. b) Use the solution to part a) to find a solution for xy + y = 0 around the point x0 = 1. Exercise 7.2.101: Use power series methods to solve y + 2x3 y = 0 at the point x0 = 0. Exercise 7.2.102 (challenging): We can also use power series methods in nonhomogeneous equa- tions. a) Use power series methods to solve y − xy = 1−x at the point x0 = 0. Hint: Recall the 1 geometric series. b) Now solve for the initial condition y(0) = 0, y (0) = 0. Exercise 7.2.103: Attempt to solve x2 y − y = 0 at x0 = 0 using the power series method of this section (x0 is a singular point). Can you find at least one solution? Can you find more than one solution?
- 292. 292 CHAPTER 7. POWER SERIES METHODS 7.3 Singular points and the method of Frobenius Note: 1 or 1.5 lectures , §8.4 and §8.5 in [EP], §5.4 – §5.7 in [BD] While behaviour of ODEs at singular points is more complicated, certain singular points are not especially difficult to solve. Let us look at some examples before giving a general method. We may be lucky and obtain a power series solution using the method of the previous section, but in general we may have to try other things. 7.3.1 Examples Example 7.3.1: Let us first look at a simple first order equation 2xy − y = 0. Note that x = 0 is a singular point. If we only try to plug in ∞ y= ak xk , k=0 we obtain ∞ ∞ 0 = 2xy − y = 2x kak x k−1 − ak x k k=1 k=0 ∞ = a0 + (2kak − ak ) xk . k=1 First, a0 = 0. Next, the only way to solve 0 = 2kak − ak = (2k − 1) ak for k = 1, 2, 3, . . . is for ak = 0 for all k. Therefore we only get the trivial solution y = 0. We need a nonzero solution to get the general solution. Let us try y = xr for some real number r. Consequently our solution—if we can find one—may only make sense for positive x. Then y = rxr−1 . So 0 = 2xy − y = 2xrxr−1 − xr = (2r − 1)xr . Therefore r = 1/2, or in other words y = x1/2 . Multiplying by a constant, the general solution for positive x is y = Cx1/2 . Note that the solution is not even differentiable at x = 0. The derivative necessarily must “blow up” at the origin, so much is clear from the differential equation itself.
- 293. 7.3. SINGULAR POINTS AND THE METHOD OF FROBENIUS 293 Not every problem with a singular point has a solution of the form y = xr , of course. But perhaps we can combine the methods. What we will do is to try a solution of the form y = xr f (x) where f (x) is an analytic function. Example 7.3.2: Suppose that we have the equation 4x2 y − 4x2 y + (1 − 2x)y = 0, and again note that x = 0 is a singular point. Let us try ∞ ∞ y = xr ak x k = ak xk+r , k=0 k=0 where r is a real number, not necessarily an integer. Again if such a solution exists, it may only exist for positive x. First let us find the derivatives ∞ y = (k + r) ak xk+r−1 , k=0 ∞ y = (k + r) (k + r − 1) ak xk+r−2 . k=0 Plugging into our equation we obtain 0 = 4x2 y − 4x2 y + (1 − 2x)y ∞ ∞ ∞ = 4x 2 (k + r) (k + r − 1) ak x k+r−2 − 4x 2 (k + r) ak x k+r−1 + (1 − 2x) ak xk+r k=0 k=0 k=0 ∞ ∞ ∞ ∞ = 4(k + r) (k + r − 1) ak xk+r − 4(k + r) ak xk+r+1 + ak xk+r − 2ak xk+r+1 k=0 k=0 k=0 k=0 ∞ ∞ ∞ ∞ = 4(k + r) (k + r − 1) ak x k+r − 4(k + r − 1) ak−1 x k+r + ak x k+r − 2ak−1 xk+r k=0 k=1 k=0 k=1 ∞ = 4r(r − 1) a0 + a0 + 4(k + r) (k + r − 1) ak − 4(k + r − 1) ak−1 + ak − 2ak−1 xk+r k=1 ∞ = 4r(r − 1) + 1 a0 + 4(k + r) (k + r − 1) + 1 ak − 4(k + r − 1) + 2 ak−1 xk+r . k=1 Therefore to a solution we must first have 4r(r − 1) + 1 a0 = 0. Supposing that a0 0 we obtain 4r(r − 1) + 1 = 0.
- 294. 294 CHAPTER 7. POWER SERIES METHODS This equation is called the indicial equation. This particular indicial equation has a double root at r = 1/2. OK, so we know what r has to be. That knowledge we obtained simply by looking at the coefficient of xr . All other coefficients of xk+r also have to be zero so 4(k + r) (k + r − 1) + 1 ak − 4(k + r − 1) + 2 ak−1 = 0. If we plug in r = 1/2 and solve for ak we get 4(k + 1/2 − 1) + 2 1 ak = a = ak−1 . 1/2) (k + 1/2 − 1) + 1 k−1 4(k + k Let us set a0 = 1. Then 1 1 1 1 1 1 1 a1 = a0 = 1, a2 = a1 = , a3 = a2 = , a4 = a3 = , ... 1 2 2 3 3·2 4 4·3·2 Extrapolating, we notice that 1 1 ak = = . k(k − 1)(k − 2) · · · 3 · 2 k! In other words, ∞ ∞ ∞ 1 k+1/2 1 k y= ak x k+r = x = x1/2 x = x1/2 e x . k=0 k=0 k! k=0 k! That was lucky! In general, we will not be able to write the series in terms of elementary functions. We have one solution, let us call it y1 = x1/2 e x . But what about a second solution? If we want a general solution, we need two linearly independent solutions. Picking a0 to be a different constant only gets us a constant multiple of y1 , and we do not have any other r to try; we only have one solution to the indicial equation. Well, there are powers of x floating around and we are taking derivatives, perhaps the logarithm (the antiderivative of x−1 ) is around as well. It turns out we want to try for another solution of the form ∞ y2 = bk xk+r + (ln x)y1 , k=0 which in our case is ∞ y2 = bk xk+1/2 + (ln x)x1/2 e x . k=0 We would now differentiate this equation, substitute into the differential equation again and solve for bk . A long computation would ensue and we would obtain some recursion relation for bk . In fact, the reader can try this to obtain for example the first three terms 2b1 − 1 6b2 − 1 b1 = b0 − 1, b2 = , b3 = , ... 4 18 We would then fix b0 and obtain a solution y2 . Then we write the general solution as y = Ay1 + By2 .
- 295. 7.3. SINGULAR POINTS AND THE METHOD OF FROBENIUS 295 7.3.2 The method of Frobenius Before giving the general method, let us clarify when the method applies. Let p(x)y + q(x)y + r(x)y = 0 be an ODE. As before, if p(x0 ) = 0, then x0 is a singular point. If, furthermore, the limits q(x) r(x) lim (x − x0 ) and lim (x − x0 )2 x→x0 p(x) x→x0 p(x) both exist and are finite, then we say that x0 is a regular singular point. Example 7.3.3: Often, and for the rest of this section, x0 = 0. Consider x2 y + x(1 + x)y + (π + x2 )y = 0. Write q(x) x(1 + x) lim x = lim x = lim (1 + x) = 1, x→0 p(x) x→0 x2 x→0 r(x) (π + x2 ) lim x2 = lim x2 2 = lim (π + x2 ) = π. x→0 p(x) x→0 x x→0 So 0 is a regular singular point. On the other hand if we make the slight change x2 y + (1 + x)y + (π + x2 )y = 0, then q(x) (1 + x) 1+x lim x = lim x = lim = DNE. x→0 p(x) x→0 x2 x→0 x Here DNE stands for does not exist. The point 0 is a singular point, but not a regular singular point. Let us now discuss the general Method of Frobenius∗ . Let us only consider the method at the point x = 0 for simplicity. The main idea is the following theorem. Theorem 7.3.1 (Method of Frobenius). Suppose that p(x)y + q(x)y + r(x)y = 0 (7.3) has a regular singular point at x = 0, then there exists at least one solution of the form ∞ y=x r ak xk . k=0 A solution of this form is called a Frobenius-type solution. ∗ Named after the German mathematician Ferdinand Georg Frobenius (1849 – 1917).
- 296. 296 CHAPTER 7. POWER SERIES METHODS The method usually breaks down like this. (i) We seek a Frobenius-type solution of the form ∞ y= ak xk+r . k=0 We plug this y into equation (7.3). We collect terms and write everything as a single series. (ii) The obtained series must be zero. Setting the first coefficient (usually the coefficient of xr ) in the series to zero we obtain the indicial equation, which is a quadratic polynomial in r. (iii) If the indicial equation has two real roots r1 and r2 such that r1 − r2 is not an integer, then we have two linearly independent Frobenius-type solutions. Using the first root, we plug in ∞ y1 = x r1 ak x k , k=0 and we solve for all ak to obtain the first solution. Then using the second root, we plug in ∞ y2 = x r2 bk x k , k=0 and solve for all bk to obtain the second solution. (iv) If the indicial equation has a doubled root r, then there we find one solution ∞ y1 = xr ak x k , k=0 and then we obtain a new solution by plugging ∞ y2 = x r bk xk + (ln x)y1 , k=0 into equation (7.3) and solving for the constants bk . (v) If the indicial equation has two real roots such that r1 − r2 is an integer, then one solution is ∞ y1 = x r1 ak x k , k=0 and the second linearly independent solution is of the form ∞ y2 = xr2 bk xk + C(ln x)y1 , k=0 where we plug y2 into (7.3) and solve for the constants bk and C.
- 297. 7.3. SINGULAR POINTS AND THE METHOD OF FROBENIUS 297 (vi) Finally, if the indicial equation has complex roots, then solving for ak in the solution ∞ y = xr1 ak x k k=0 results in a complex-valued function—all the ak are complex numbers. We obtain our two linearly independent solutions∗ by taking the real and imaginary parts of y. Note that the main idea is to find at least one Frobenius-type solution. If we are lucky and find two, we are done. If we only get one, we either use the ideas above or even a different method such as reduction of order (Exercise 2.1.8 on page 50) to obtain a second solution. 7.3.3 Bessel functions An important class of functions that arises commonly in physics are the Bessel functions† . For example, these functions arise as when solving the wave equation in two and three dimensions. First we have Bessel’s equation of order p. x2 y + xy + x2 − p2 y = 0. We allow p to be any number, not just an integer, although integers and multiples of 1/2 are most important in applications. When we plug ∞ y= ak xk+r k=0 into Bessel’s equation of order p we obtain the indicial equation r(r − 1) + r − p2 = (r − p)(r + p) = 0. Therefore we obtain two roots r1 = p and r2 = −p. If p is not an integer following the method of Frobenius and setting a0 = 1, we can obtain linearly independent solutions of the form ∞ (−1)k x2k y1 = x p , k=0 22k k!(k + p)(k − 1 + p) · · · (2 + p)(1 + p) ∞ (−1)k x2k y2 = x −p . k=0 22k k!(k − p)(k − 1 − p) · · · (2 − p)(1 − p) ∗ See Joseph L. Neuringera, The Frobenius method for complex roots of the indicial equation, International Journal of Mathematical Education in Science and Technology, Volume 9, Issue 1, 1978, 71–77. † Named after the German astronomer and mathematician Friedrich Wilhelm Bessel (1784 – 1846).
- 298. 298 CHAPTER 7. POWER SERIES METHODS Exercise 7.3.1: a) Verify that the indicial equation of Bessel’s equation of order p is (r−p)(r+p) = 0. b) Suppose that p is not an integer. Carry out the computation to obtain the solutions y1 and y2 above. Bessel functions will be convenient constant multiples of y1 and y2 . First we must define the gamma function ∞ Γ(x) = t x−1 e−t dt. 0 Notice that Γ(1) = 1. The gamma function also has a wonderful property Γ(x + 1) = xΓ(x). From this property, one can show that Γ(n) = (n − 1)! when n is an integer, so the gamma function is a continuous version of the factorial. We compute: Γ(k + p + 1) = (k + p)(k − 1 + p) · · · (2 + p)(1 + p)Γ(1 + p), Γ(k − p + 1) = (k − p)(k − 1 − p) · · · (2 − p)(1 − p)Γ(1 − p). Exercise 7.3.2: Verify the above identities using Γ(x + 1) = xΓ(x). We define the Bessel functions of the first kind of order p and −p as ∞ 1 (−1)k x 2k+p J p (x) = p y1 = , 2 Γ(1 + p) k=0 k!Γ(k + p + 1) 2 ∞ 1 (−1)k x 2k−p J−p (x) = −p y2 = . 2 Γ(1 − p) k=0 k!Γ(k − p + 1) 2 As these are constant multiples of the solutions we found above, these are both solutions to Bessel’s equation of order p. The constants are picked for convenience. When p is not an integer, J p and J−p are linearly independent. When n is an integer we obtain ∞ (−1)k x 2k+n Jn (x) = . k=0 k!(k + n)! 2 In this case it turns out that Jn (x) = (−1)n J−n (x), and so we do not obtain a second linearly independent solution. The other solution is the so-called Bessel function of second kind. These make sense only for integer orders n and are defined as limits of linear combinations of J p (x) and J−p (x) as p approaches n in the following way: cos(pπ)J p (x) − J−p (x) Yn (x) = lim . p→n sin(pπ)
- 299. 7.3. SINGULAR POINTS AND THE METHOD OF FROBENIUS 299 As each linear combination of J p (x) and J−p (x) is a solution to Bessel’s equation of order p, then as we take the limit as p goes to n, Yn (x) is a solution to Bessel’s equation of order n. It also turns out that Yn (x) and Jn (x) are linearly independent. Therefore when n is an integer, we have the general solution to Bessel’s equation of order n y = AJn (x) + BYn (x), for arbitrary constants A and B. Note that Yn (x) goes to negative infinity at x = 0. Many mathematical software packages have these functions Jn (x) and Yn (x) defined, so they can be used just like say sin(x) and cos(x). In fact, they have some similar properties. For example, −J1 (x) is a derivative of J0 (x), and in general the derivative of Jn (x) can be written as a linear combination of Jn−1 (x) and Jn+1 (x). Furthermore, these functions oscillate, although they are not periodic. See Figure 7.4 for graphs of Bessel functions. 0.0 2.5 5.0 7.5 10.0 0.0 2.5 5.0 7.5 10.0 1.0 1.0 1.00 1.00 0.5 0.5 0.75 0.75 0.0 0.0 0.50 0.50 -0.5 -0.5 0.25 0.25 -1.0 -1.0 0.00 0.00 -1.5 -1.5 -0.25 -0.25 -2.0 -2.0 0.0 2.5 5.0 7.5 10.0 0.0 2.5 5.0 7.5 10.0 Figure 7.4: Plot of the J0 (x) and J1 (x) in the first graph and Y0 (x) and Y1 (x) in the second graph. Example 7.3.4: Other equations can sometimes be solved in terms of the Bessel functions. For example, given a positive constant λ, xy + y + λ2 xy = 0, can be changed to x2 y + xy + λ2 x2 y = 0. Then changing variables t = λx we obtain via chain rule the equation in y and t: t2 y + ty + t2 y = 0, which can be recognized as Bessel’s equation of order 0. Therefore the general solution is y(t) = AJ0 (t) + BY0 (t), or in terms of x: y = AJ0 (λx) + BY0 (λx). This equation comes up for example when finding fundamental modes of vibration of a circular drum, but we digress.
- 300. 300 CHAPTER 7. POWER SERIES METHODS 7.3.4 Exercises Exercise 7.3.3: Find a particular (Frobenius-type) solution of x2 y + xy + (1 + x)y = 0. Exercise 7.3.4: Find a particular (Frobenius-type) solution of xy − y = 0. Exercise 7.3.5: Find a particular (Frobenius-type) solution of y + 1 y − xy = 0. x Exercise 7.3.6: Find the general solution of 2xy + y − x2 y = 0. Exercise 7.3.7: Find the general solution of x2 y − xy − y = 0. Exercise 7.3.8: In the following equations classify the point x = 0 as ordinary, regular singular, or singular but not regular singular. a) x2 (1 + x2 )y + xy = 0 b) x2 y + y + y = 0 c) xy + x3 y + y = 0 d) xy + xy − e x y = 0 e) x2 y + x2 y + x2 y = 0 Exercise 7.3.101: In the following equations classify the point x = 0 as ordinary, regular singular, or singular but not regular singular. a) y + y = 0 b) x3 y + (1 + x)y = 0 c) xy + x5 y + y = 0 d) sin(x)y − y = 0 e) cos(x)y − sin(x)y = 0 Exercise 7.3.102: Find the general solution of x2 y − y = 0. Exercise 7.3.103: Find a particular solution of x2 y + (x − 3/4)y = 0. Exercise 7.3.104 (Tricky): Find the general solution of x2 y − xy + y = 0.
- 301. Further Reading [BM] Paul W. Berg and James L. McGregor, Elementary Partial Differential Equations, Holden- Day, San Francisco, CA, 1966. [BD] William E. Boyce, Richard C. DiPrima, Elementary Differential Equations and Boundary Value Problems, 9th edition, John Wiley Sons Inc., New York, NY, 2008. [EP] C.H. Edwards and D.E. Penney, Differential Equations and Boundary Value Problems: Computing and Modeling, 4th edition, Prentice Hall, 2008. [F] Stanley J. Farlow, An Introduction to Differential Equations and Their Applications, McGraw- Hill, Inc., Princeton, NJ, 1994. (Published also by Dover Publications, 2006.) [I] E.L. Ince, Ordinary Differential Equations, Dover Publications, Inc., New York, NY, 1956. 301
- 302. 302 FURTHER READING
- 303. Solutions to Selected Exercises 0.2.101: Compute x = −2e−2t and x = 4e−2t . Then (4e−2t ) + 4(−2e−2t ) + 4(e−2t ) = 0. 0.2.102: Yes. 0.2.103: y = xr is a solution for r = 0 and r = 2. 0.2.104: C1 = 100, C2 = −90 0.2.105: ϕ = −9e8s x2 1.1.101: y = e x + 2 +9 1.1.102: x = (3t − 2)1/3 1.1.103: x = sin−1 t + 1 1.1.104: 170 1/(1−n) 1.1.105: If n 1, then y = (1 − n)x + 1 . If n = 1, then y = e x . 1.2.101: y = 0 is a solution such that y(0) = 0. 1.2.102: Yes a solution exists. y = f (x, y) where f (x, y) = xy. The function f (x, y) is continuous and ∂ f = x, which is also continuous near (0, 0). So a solution exists and is unique. (In fact y = 0 is ∂y the solution). 1.2.103: No, the equation is not defined at (x, y) = (1, 0). 1.2.104: a) y = cos y, b) y = y cos(x), c) y = sin x. Justification left to reader. y = Ce x 2 1.3.101: x = et + 1 3 1.3.102: 1.3.103: x3 + x = t + 2 303
- 304. 304 SOLUTIONS TO SELECTED EXERCISES 1.3.104: y= 1 1−ln x 1.3.105: sin(y) = − cos(x) + C y = Ce−x + 1/3 3 1.4.101: 1.4.102: y = 2ecos(2x)+1 + 1 1.4.103: 250 grams P(5) = 1000e2×5−0.05×5 = 1000e8.75 ≈ 6.31 × 106 2 1.4.104: 1.5.101: y= 2 3x−2 3−x2 1.5.102: y= 2x 1/3 1.5.103: y = 7e3x + 3x + 1 1.5.104: y = x2 − ln(C − x) 1.6.101: a) 0, 1, 2 are critical points. b) x = 0 is unstable (semistable), x = 1 is stable, and x = 2 is unstable. c) 1 1.6.102: a) There are no critical points. b) ∞ √ kM+ (kM)2 +4Ak 1.6.103: a) dt = kx(M − x) + A b) dx 2k 1.7.101: Approximately: 1.0000, 1.2397, 1.3829 1.7.102: a) 0, 8, 12 b) x(4) = 16, so errors are: 16, 8, 4. c) Factors are 0.5, 0.5, 0.5. 1.7.103: a) 0, 0, 0 b) x = 0 is a solution so errors are: 0, 0, 0. 2.1.101: Yes. To justify try to find a constant A such that sin(x) = Ae x for all x. 2.1.102: No. e x+2 = e2 e x . 2.1.103: y=5 2.1.104: y = C1 ln(x) + C2 √ √ 2.2.101: y = C1 e(−2+ 2)x + C2 e(−2− 2)x 2.2.102: y = C1 e3x + C2 xe3x √ √ −x/4 √ 2.2.103: y = e−x/4 cos ( 7/4)x − 7e sin ( 7/4)x 2.2.104: y(x) = 2(a−b) 5 e−3x/2 + 3a+2b 5 ex 2.2.105: z(t) = 2e cos(t) −t 2.3.101: y = C 1 e x + C 2 x3 + C 3 x2 + C 4 x + C 5 2.3.102: a) r3 −3r2 +4r −12 = 0, b) y −3y +4y −12y = 0, c) y = C1 e3x +C2 sin(2x)+C3 cos(2x)
- 305. SOLUTIONS TO SELECTED EXERCISES 305 2.3.103: y = 0. 2.3.104: No. e1 e x − e x+1 = 0. 2.3.105: Yes. (Hint: First note that sin(x) is bounded. Then note that x and x sin(x) cannot be multiples of each other.) 2.4.101: k = 8/9 (and larger) 2.4.102: a) 0.05I + 0.1I +√1/5)I = 0 ( b) x(t) = Ce cos( √ t − γ) −t 3 √ c) x(t) = 10e cos( 3 t) + √3 e−t sin( 3 t) −t 10 2.4.103: a) k = 500000 b) 1 √ 5 2 ≈ 0.141 c) 45000 kg d) 11250 kg 2.5.101: y= −16 sin(3x)+6 cos(3x) 73 2e x +3x3 −9x √ √ 2e x +3x3 −9x 2.5.102: a) y = 6 . b) y = C1 cos( 2x) + C2 sin( 2x) + 6 . 2.5.103: y(x) = x − 4x + 6 + e−x (x − 5). 2 2xe x −(e x +e−x ) log(e2x +1) 2.5.104: y= 4 √ √ 2.5.105: y= − sin(x+c) 3 + C1 e 2 x + C2 e− 2 x √ 2.6.101: ω = 4 √2 ≈ 0.984 C(ω) = 3167 ≈ 31 √ 2.016 (ω2 −ω2 )F0 2.6.102: x sp = 0 2 cos(ωt) + 2ωpF0 2 sin(ωt) + A , where p = k c 2m and ω0 = k m . m(2ωp)2 +m(ω2 −ω2 ) 0 m(2ωp)2 +m(ω2 −ω2 ) 0 2.6.103: a) ω = 2 b) 25 3.1.101: y1 = C1 e3x , y2 = y(x) = C2 e x + C1 3x 2 e , y3 = y(x) = C3 e x + C1 3x 2 e 3.1.102: x = 5 e2t − 3 e−t , y = 3 e2t + 4 e−t 3 2 5 3 3.1.103: x1 = x2 , x2 = x3 , x3 = x1 + t 3.1.104: y3 + y1 + y2 = t, y4 + y1 − y2 = t2 , y1 = y3 , y2 = y4 3.2.101: −15 3.2.102: −2 3.2.103: x= 15 −5 1/a0 0 1/a 0 3.2.104: a) b) 0 1/b 0 0 1/b 0 0 1/c 3.3.101: Yes. 3.3.102: No. 2 cosh(t) 1 − et 1 − e−t 1 =0 3.3.103: x y = 3 −1 t 0 x y + et 0 2 C2 et +C1 3.3.104: a) x = 0 2t 0 2t x b) x = 2 C 2 et
- 306. 306 SOLUTIONS TO SELECTED EXERCISES 3.4.101: 1 0 3 a) Eigenvalues: 4, 0, −1 Eigenvectors: 0 , 1 , 5 1 0 −2 1 0 3 b) x = C1 0 e4t + C2 1 + C3 5 e−t 1 0 −2 3.4.102: √ √ a) Eigenvalues: 2 , 2 , 1+ 3i 1− 3i Eigenvectors: −2 √ 1− 3i , −2 √ 1+ 3i √ √ −2 cos 23t −2 sin 23t b) x = C1 e t/2 √ √ √ + C2 e t/2 √ √ √ cos + 3 sin 2 3t 2 3t sin 2 3t − 3 cos 2 3t 3.4.103: x = C1 1 1 et + C2 1 −1 e−t 3.4.104: x = C1 cos(t) − sin(t) + C2 sin(t) cos(t) √ 3.5.101: a) Two eigenvalues: ± 2 so the behavior is a saddle. b) Two eigenvalues: 1 and 2, so the behavior is a source. c) Two eigenvalues: ±2i, so the behavior is a center (ellipses). d) Two eigenvalues: −1 and −2, so the behavior is a sink. e) Two eigenvalues: 5 and −3, so the behavior is a saddle. 3.5.102: Spiral source. 3.5.103: -10 -5 0 5 10 10 10 5 5 0 0 -5 -5 -10 -10 -10 -5 0 5 10 The solution will not move anywhere if y = 0. When y is positive, then the solution moves (with constant speed) in the positive x direction. When y is negative, then the solution moves (with constant speed) in the negative x direction. It is not one of the behaviors we have seen. Note that the matrix has a double eigenvalue 0 and the general solution is x = C1 t + C2 and y = C1 , which agrees with the above description. 1 √ √ 0 √ √ 0 3.6.101: x = −1 a1 cos( 3 t)+b1 sin( 3 t) + 1 a2 cos( 2 t)+b2 sin( 2 t) + 0 a3 cos(t)+ 1 −2 1 −1 b3 sin(t) + 1/2 2/3 cos(2t) m 0 0 −k k 0 1 √ √ 3.6.102: 0 m 0 x = k −2k k x. Solution: x = −2 a1 cos( 3k/m t) + b1 sin( 3k/m t) + 0 0 m 0 k −k 1 1 √ √ 1 0 a2 cos( + b2 sin( k/m t) + 1 a3 t + b3 . k/m t) −1 1 √ 3.6.103: x2 = (2/5) cos( 1/6 t) − (2/5) cos(t) 1 1 0 3.7.101: a) 3, 0, 0 b) No defects. c) x = C1 1 e3t + C2 0 + C3 1 1 −1 −1
- 307. SOLUTIONS TO SELECTED EXERCISES 307 3.7.102: a) 1, 1, 2 b) Eigenvalue 1 has a defect of 1 0 1 0 3 c) x = C1 1 et + C2 0 +t 1 et + C3 3 e2t −1 0 −1 −2 3.7.103: a) 2, 2, 2 b) Eigenvalue 2 has a defect of 2 0 0 0 1 0 t2 0 c) x = C1 3 e2t + C2 −1 +t 3 e2t + C3 0 +t −1 + 2 3 e2t 1 0 1 0 0 1 3.7.104: A= 5 5 0 5 e3t +e−t e−t −e3t 3.8.101: etA = 2 e−t −e3t 2 e3t +e−t 2 2 3t 2t t 3et 3t 2e −4e +3e 2 − 3e 2 −e3t +4e2t −3et etA = 2et −2e2t 3.8.102: et 2e2t −2et t 3e3t 2e3t −5e2t +3et 3e 2 − 2 −e 3t +5e2t −3et (t+1) e2t −te2t (1−t) e2t 3.8.103: a) etA = te2t (1−t) e2t b) x = (2−t) e2t 1+2t+5t2 3t+6t2 3.8.104: 2t+4t2 1+2t+5t2 e0.1A ≈ 1.25 0.36 0.24 1.25 3.9.101: The general solution is (particular solutions should agree with one of these): x(t) = 5 C1 (e9t + e4t ) + 5 C2 (e9t − e4t ) − 18t+5 y(t) = 1 C1 (e9t − e4t ) + 5 C2 (4e5t + e4t ) + 6 + 1 4 54 5 1 t 7 216 3.9.102: The general solution is (particular solutions should agree with one of these): x(t) = 1 C1 (et + e−t ) + 1 C2 (et − e−t ) + tet y(t) = 1 C1 (et − e−t ) + 2 C2 (et + e−t ) + tet 2 2 2 1 3.9.103: x= 1 1 5 t 2 e −t−1 + 1 −1 −1 −t 2 e √ √ 3.9.104: x= 1 9 1 140 + 120 √6 e + 140 1 1 6t + 1√ 120 6 e− 6t − t 60 − cos(t) 70 + 1 −1 −9 80 sin(2t) + 1 30 cos(2t) + 40 − cos(t) 9t 30 4.1.101: ω = π 15 2 4.1.102: λk = 4k2 π2 for k = 1, 2, 3, . . . xk = cos(2kπt) + B sin(2kπt) (for any B) 4.1.103: x(t) = − sin(t) 4.1.104: x = Ce−λt and if x(0) = 0 then C = 0 and so x(t) = 0, so the solution is always identically zero. Note that one condition is always enough to guarantee a unique solution for a first order equation. √ √ 3 √ √ √ 3 √ √ 3 3 −3 λ 3 λ 3 λ 4.1.105: 3 e2 − 3 3 cos 2 + sin 2 =0 4.2.101: sin(t) ∞ (π−n) sin(πn+π2 )+(π+n) sin(πn−π2 ) 4.2.102: πn2 −π3 sin(nt) n=1
- 308. 308 SOLUTIONS TO SELECTED EXERCISES 1 4.2.103: 2 − 1 cos(2t) 2 ∞ π4 (−1)n (8π2 n2 −48) 4.2.104: 5 + n4 cos(nt) n=1 ∞ 16(−1)n 4.3.101: a) 8 6 + π2 n 2 cos nπ 2 t b) 8 6 − 16 π2 cos π t + 2 4 π2 cos πt − 16 9π2 cos 3π 2 t + ··· n=1 ∞ (−1)n+1 2λ 4.3.102: a) nπ sin nπ λ t b) 2λ π sin λ t − λ sin π π 2π λ t + 2λ 3π sin 3π λ t − ··· n=1 ∞ π 4.3.103: f (t) = n2 +1 cos(nπt) n=1 ∞ 4.3.104: a) F(t) = t 2 +C + 1 n4 sin(nt) b) no. n=1 ∞ (−1)n+1 4.3.105: a) n sin(nt) b) f is continuous at t = π/2 so the Fourier series converges to n=1 ∞ (−1)n+1 f (π/2) = π/4. Obtain π/4 = 2n−1 = 1 − 1/3 + 1/5 − 1/7 + · · · . c) Using the first 4 terms get n=1 76/105 ≈ 0.72 (quite a bad approximation, you would have to take about 50 terms to start to get to within 0.01 of π/4). ∞ ∞ 2(−1)n+1 4.4.101: a) 1/2 + −4 π2 n2 cos nπ 3 t b) πn sin nπ 3 t n=1 n=1 n odd ∞ −4n 4.4.102: a) cos(2t) b) πn2 −4π sin(nt) n=1 n odd 4.4.103: a) f (t) b) 0 ∞ −1 4.4.104: n2 (1+n2 ) sin(nt) n=1 ∞ 4.4.105: t π + 1 2n (π−n2 ) sin(nt) n=1 4.5.101: x= √ 1 2−4π2 sin(2πt) + √2−100π2 0.1 cos(10πt) ∞ e−n 4.5.102: x= 3−2n cos(2nt) n=1 ∞ 4.5.103: x= 1 √ 2 3 + −4 √ n2 π2 ( 3−n2 π2 ) cos(nπt) n=1 n odd ∞ 4.5.104: x= 1 √ 2 3 − 2 π3 t sin(πt) + −4 n2 π4 (1−n2 ) cos(nπt) n=3 n odd 4.6.101: u(x, t) = 5 sin(x) e−3t + 2 sin(5x) e−75t 4.6.102: u(x, t) = 1 + 2 cos(x) e−0.1t
- 309. SOLUTIONS TO SELECTED EXERCISES 309 4.6.103: u(x, t) = eλt eλx for some λ 4.6.104: u(x, t) = Ae x + Bet 4.7.101: y(x, t) = sin(x) sin(t) + cos(t) 4.7.102: y(x, t) = 1 5π sin(πx) sin(5πt) + 1 100π sin(2πx) sin(10πt) ∞ 2(−1)n+1 √ 4.7.103: y(x, t) = n sin(nx) cos(n 2 t) n=1 4.7.104: y(x, t) = sin(2x) + t sin(x) 4.8.101: y(x, t) = sin(2π(x−3t))+sin(2π(3t+x)) 2 + cos(3π(x−3t))−cos(3π(3t+x)) 18π x − x2 − 0.04 if 0.2 ≤ x ≤ 0.8 4.8.102: a) y(x, 0.1) = 0.6x if x ≤ 0.2 0.6 − 0.6x if x ≥ 0.8 b) y(x, 1/2) = −x + x2 c) y(x, 1) = x − x 2 4.8.103: a) y(1, 1) = −1/2 b) y(4, 3) = 0 c) y(3, 9) = 1/2 ∞ 4.9.101: u(x, y) = 1 n2 sin(nπx) sinh(nπ(1−y)) sinh(nπ) n=1 4.9.102: u(x, y) = 0.1 sin(πx) sinh(π(2−y)) sinh(2π) ∞ 4.10.101: u = 1 + 1 n n2 r sin(nθ) n=1 4.10.102: u = 1 − x 4.10.103: a) u = −1 r2 + 4 1 4 b) u = −1 2 4 r + 1 + r2 sin(2θ) 4 π 1 ρ − r2 2 4.10.104: u(r, θ) = g(α) dα 2π −π ρ − 2rρ cos(θ − α) + r2 5.1.101: λn = (2n−1)π 2 , n = 1, 2, 3, . . ., yn = cos (2n−1)π 2 x 5.1.102: a) p(x) = 1, q(x) = 0, r(x) = 1 , α1 = 1, α2 = 0, β1 = 1, β2 = 0. The problem is not x regular. b) p(x) = 1 + x2 , q(x) = x2 , r(x) = 1, α1 = 1, α2 = 0, β1 = 1, β2 = 1. The problem is regular. 5.2.101: y(x, t) = sin(πx) cos(4π2 t) 5.2.102: 9y xxxx + ytt = 0 (0 x 10, t 0), y(0, t) = y x (0, t) = 0, y(10, t) = y x (10, t) = 0, y(x, 0) = sin(πx), yt (x, 0) = x(10 − x). ∞ 5.3.101: y p (x, t) = −4 n4 π4 cos(nπx) − cos(nπ)−1 sin(nπ) sin(nπx) − 1 cos(nπt). n=1 n odd 5.3.102: Approximately 1991 centimeters 6.1.101: 8 s3 + 8 s2 + 4 s 6.1.102: 2t2 − 2t + 1 − e−2t
- 310. 310 SOLUTIONS TO SELECTED EXERCISES 1 6.1.103: (s+1)2 1 6.1.104: s2 +2s+2 6.2.101: f (t) = (t − 1)(u(t − 1) − u(t − 2)) + u(t − 2) e−t 3et 6.2.102: x(t) = (2et−1 − t2 − 1)u(t − 1) − 2 + 2 6.2.103: H(s) = 1 s+1 6.3.101: 1 2 (cos t + sin t − e−t ) 6.3.102: 5t − 5 sin t 1 6.3.103: 2 (sin t − t cos t) t 6.3.104: 0 f (τ) 1 − cos(t − τ) dτ 6.4.101: x(t) = t 6.4.102: x(t) = e−at 6.4.103: x(t) = (cos ∗ sin)(t) = 1 t sin(t) 2 6.4.104: δ(t) − sin(t) 6.4.105: 3δ(t − 1) + 2t 7.1.101: Yes. Radius of convergence is 10. 7.1.102: Yes. Radius of convergence is e. ∞ 7.1.103: 1 1−x = − 1−(2−x) so 1 1 1−x = (−1)n+1 (x − 2)n , which converges for 1 x 3. n=0 ∞ 1 7.1.104: (n−7)! xn n=7 7.1.105: f (x) − g(x) is a polynomial. Hint: Use Taylor series. 7.2.101: a2 = 0, a3 = 0, a4 = 0, recurrence relation (for k ≥ 5): ak = −2ak−5 , so: y(x) = a0 + a1 x − 2a0 x5 − 2a1 x6 + 4a0 x10 + 4a1 x11 − 8a0 x15 − 8a1 x16 + · · · 7.2.102: a) a2 = 1 , and for k ≥ 1 we have ak = ak−3 + 1, so 2 y(x) = a0 +a1 x+ 1 x2 +(a0 +1)x3 +(a1 +1)x4 + 3 x5 +(a0 +2)x6 +(a1 +2)x7 + 5 x8 +(a0 +3)x9 +(a1 +3)x10 +· · · 2 2 2 b) y(x) = 1 x2 + x3 + x4 + 3 x5 + 2x6 + 2x7 + 5 x8 + 3x9 + 3x10 + · · · 2 2 2 7.2.103: Applying the method of this section directly we obtain ak = 0 for all k and so y(x) = 0 is the only solution we find. 7.3.101: a) ordinary, b) singular but not regular singular, c) regular singular, d) regular singular, e) ordinary. √ √ 1+ 5 1− 5 7.3.102: y = Ax 2 + Bx 2 ∞ (−1)−1 k 7.3.103: y = x3/2 k!(k+2)! x (Note that for convenience we did not pick a0 = 1) k=0 7.3.104: y = Ax + Bx ln(x)
- 311. Index absolute convergence, 278 commute, 92 acceleration, 16 complementary solution, 70 addition of matrices, 90 complete eigenvalue, 124 Airy’s equation, 287 complex conjugate, 106 algebraic multiplicity, 124 complex number, 53 amplitude, 65 complex roots, 54 analytic functions, 280 constant coefficient, 51, 100 angular frequency, 65 convergence of a power series, 278 antiderivative, 14 convergent power series, 278 antidifferentiate, 14 converges absolutely, 278 associated homogeneous equation, 70, 101 convolution, 264 atan2, 66 corresponding eigenfunction, 150 augmented matrix, 95 cosine series, 178 autonomous equation, 37 critical point, 37 autonomous system, 87 critically damped, 67 beating, 78 d’Alembert solution to the wave equation, 208 Bernoulli equation, 33 damped, 66 Bessel function of second kind, 298 damped motion, 62 Bessel function of the first kind, 298 defect, 125 Bessel’s equation, 297 defective eigenvalue, 125 boundary conditions for a PDE, 190 deficient matrix, 125 boundary value problem, 149 delta function, 270 catenary, 11 dependent variable, 7 Cauchy-Euler equation, 50 determinant, 92 center, 112 diagonal matrix, 116 cgs units, 246, 247 matrix exponential of, 130 characteristic equation, 52 diagonalization, 131 Chebyshev’s equation of order p, 291 differential equation, 7 Chebyshev’s equation of order 1, 50 Dirac delta function, 270 cofactor, 94 direction field, 87 cofactor expansion, 94 Dirichlet boundary conditions, 180, 229 column vector, 90 Dirichlet problem, 215 311
- 312. 312 INDEX displacement vector, 116 Sturm-Liouville problems, 233 distance, 16 free motion, 62 divergent power series, 278 free variable, 96 dot product, 91, 158 Frobenius method, 295 dynamic damping, 123 Frobenius-type solution, 295 fundamental matrix, 100 eigenfunction, 150, 230 fundamental matrix solution, 100, 130 eigenfunction decomposition, 229, 234 eigenvalue, 103, 230 general solution, 10 eigenvalue of a boundary value problem, 150 generalized eigenvectors, 125, 127 eigenvector, 103 generalized function, 270 eigenvector decomposition, 138, 145 Genius software, 5 ellipses (vector field), 112 geometric multiplicity, 124 elliptic PDE, 190 geometric series, 226, 282 endpoint problem, 149 Gibbs phenomenon, 164 envelope curves, 68 equilibrium solution, 37 half period, 167 Euler’s equation, 50 harmonic function, 214 Euler’s equations, 56 harvesting, 39 Euler’s formula, 53 heat equation, 190 Euler’s method, 42 Heaviside function, 250 Euler-Bernoulli equation, 273 Hermite’s equation of order n, 288 even function, 161, 176 Hermite’s equation of order 2, 50 even periodic extension, 176 homogeneous equation, 34 existence and uniqueness, 20, 48, 57 homogeneous linear equation, 47 exponential growth model, 9 homogeneous side conditions, 191 exponential of a matrix, 129 homogeneous system, 100 exponential order, 252 Hooke’s law, 62, 115 extend periodically, 157 hyperbolic PDE, 190 first order differential equation, 7 identity matrix, 91 first order linear equation, 27 imaginary part, 54 first order linear system of ODEs, 99 implicit solution, 24 first order method, 43 impulse response, 269, 272 first shifting property, 254 inconsistent system, 96 forced motion, 62 indefinite integral, 14 systems, 121 independent variable, 7 Fourier series, 159 indicial equation, 294 fourth order method, 44 initial condition, 10 Fredholm alternative initial conditions for a PDE, 190 simple case, 154 inner product, 91
- 313. INDEX 313 inner product of functions, 159, 233 matrix inverse, 92 integral equation, 261, 266 matrix valued function, 99 integrate, 14 Method of Frobenius, 295 integrating factor, 27 method of partial fractions, 253 integrating factor method, 27 Mixed boundary conditions, 229 for systems, 136 mks units, 65, 69, 185 inverse Laplace transform, 253 multiplication of complex numbers, 53 invertible matrix, 92 multiplicity, 60 IODE software, 5 multiplicity of an eigenvalue, 124 Lab I, 18 Lab II, 42 natural (angular) frequency, 65 Project I, 18 natural frequency, 77, 118 Project II, 42 natural mode of oscillation, 118 Project III, 57 Neumann boundary conditions, 180, 229 Project IV, 167 Newton’s law of cooling, 25, 31, 37 Project V, 167 Newton’s second law, 62, 63, 86, 115 nilpotent, 131 la vie, 72 normal mode of oscillation, 118 Laplace equation, 190, 214 Laplace transform, 249 odd function, 161, 176 Laplacian, 214 odd periodic extension, 176 Laplacian in polar coordinates, 221 ODE, 8 leading entry, 96 one-dimensional heat equation, 190 Leibniz notation, 15, 22 one-dimensional wave equation, 201 linear combination, 48, 57 operator, 48 linear equation, 27, 47 ordinary differential equation, 8 linear first order system, 87 ordinary point, 285 linear operator, 48, 70 orthogonal linear PDE, 190 functions, 153, 159 linearity of the Laplace transform, 251 vectors, 157 linearly dependent, 57 with respect to a weight, 232 linearly independent, 49, 57 orthogonality, 153 for vector valued functions, 100 overdamped, 67 logistic equation, 38 with harvesting, 39 parabolic PDE, 190 parallelogram, 93 mass matrix, 116 partial differential equation, 8, 190 mathematical model, 9 partial sum, 277 mathematical solution, 9 particular solution, 10, 70 matrix, 90 PDE, 8, 190 matrix exponential, 129 period, 65
- 314. 314 INDEX periodic, 157 second order differential equation, 11 phase diagram, 38 second order linear differential equation, 47 phase portrait, 38, 88 second order method, 43 phase shift, 65 second shifting property, 258 Picard’s theorem, 20 semistable critical point, 39 piecewise continuous, 170 separable, 22 piecewise smooth, 170 separation of variables, 191 Poisson kernel, 225 shifting property, 254, 258 power series, 277 side conditions for a PDE, 190 practical resonance, 82, 189 simple harmonic motion, 65 practical resonance amplitude, 81 sine series, 178 practical resonance frequency, 81 singular matrix, 92 product of matrices, 91 singular point, 285 projection, 159 singular solution, 24 proper rational function, 254 sink, 110 pseudo-frequency, 68 slope field, 18 pure resonance, 79, 187 solution, 7 solution curve, 88 quadratic formula, 52 source, 110 spiral sink, 113 radius of convergence, 278 spiral source, 112 ratio test for series, 279 square wave, 82, 162 real part, 54 stable critical point, 37 real world problem, 8 stable node, 110 recurrence relation, 286 steady periodic solution, 81, 184 reduced row echelon form, 96 steady state temperature, 199, 214 reduction of order method, 50 stiff problem, 45 regular singular point, 295 stiffness matrix, 116 regular Sturm-Liouville problem, 231 Sturm-Liouville problem, 230 reindexing the series, 281 regular, 231 repeated roots, 59 superposition, 47, 57, 100, 191 resonance, 79, 122, 187, 266 symmetric matrix, 153, 157 RLC circuit, 62 system of differential equations, 85 Robin boundary conditions, 229 row vector, 90 Taylor series, 280 Runge-Kutta method, 46 tedious, 72, 73, 80, 141, 225 thermal conductivity, 190 saddle point, 111 three mass system, 115 sawtooth, 160 three-point beam bending, 273 scalar, 90 timbre, 238 scalar multiplication, 90 trajectory, 88
- 315. INDEX 315 transfer function, 260 transient solution, 81 transpose, 91 trigonometric series, 159 undamped, 64 undamped motion, 62 systems, 115 underdamped, 68 undetermined coefficients, 71 for second order systems, 121, 144 for systems, 141 unforced motion, 62 unit step function, 250 unstable critical point, 37 unstable node, 110 upper triangular matrix, 126 variation of parameters, 73 for systems, 143 vector, 90 vector field, 87 vector valued function, 99 velocity, 16 Volterra integral equation, 266 wave equation, 190, 201, 208 weight function, 232