11.

2 Stability of Linear Systems

Introduction We have seen that the plane autonomous system dx 5 P1 x, y2 dt
critical point (a) X0

X0

dy 5 Q 1 x, y2 dt gives rise to a vector field V(x, y) (P(x, y), Q(x, y)), and a solution X X(t) of the system may be interpreted as the resulting path of a particle that is initially placed at position X(0) X0. If X0 is a critical point of the system, then the particle remains stationary. In this section we examine the behavior of solutions when X0 is chosen close to a critical point of the system. Some Fundamental Questions Suppose that X1 is a critical point of a plane autonomous system and X X(t) is a solution of the system that satisfies X(0) X0. If the solution is interpreted as a path of a moving particle, we are interested in the answers to the following questions when X0 is placed near X1: (i) Will the particle return to the critical point? More precisely, if X X(t) is the solution that satisfies X(0) X0, is limtSq X(t) X1? (ii) If the particle does not return to the critical point, does it remain close to the critical point or move away from the critical point? It is conceivable, for example, that the particle may simply circle the critical point, or it may even return to a different critical point or to no critical point at all. See FIGURE 11.2.1. If in some neighborhood of the critical point case (a) or (b) in Figure 11.2.1 always occurs, we call the critical point locally stable. If, however, an initial value X0 that results in behavior similar to (c) can be found in any given neighborhood, we call the critical point unstable. These concepts will be made more precise in Section 11.3, where questions (i) and (ii) will be investigated for nonlinear systems. Stability Analysis We will first investigate these two stability questions for linear plane autonomous systems and lay the foundation for Section 11.3. The solution methods of Chapter 10 enable us to give a careful geometric analysis of the solutions to x ax by y cx dy in terms of the eigenvalues and eigenvectors of the coefficient matrix A5 a a c b b. d (1)

critical point (b) X0

critical point

critical point (c)

FIGURE 11.2.1 Critical points

Here a, b, c, and d are constants. To ensure that X0 (0, 0) is the only critical point, we will assume that the determinant ad bc 0. If t a d is the trace* of matrix A, then the characteristic equation det (A lI) 0 can be rewritten as l2 tl 0. Therefore the eigenvalues of A are l (t 2t2 2 4 D )/2, and the usual three cases for these roots occur according to whether t 2 4 is positive, negative, or zero. In the next example we use a numerical solver to discover the nature of the solutions corresponding to these cases.
*In general, if A is an n n matrix, the trace of A is the sum of the main diagonal entries.

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CHAPTER 11 Systems of Nonlinear Differential Equations

 EXAMPLE 1

Eigenvalues and the Shape of Solutions

x x y y cx y

Find the eigenvalues of the linear system

in terms of c, and use a numerical solver to discover the shapes of solutions corresponding to the cases c 1 4 , 4, 0, and 9. 21 1 Solution The coefficient matrix a b has trace t 2 and determinant 1 c, c 21 and so the eigenvalues are l5 22 24 2 41 1 2 c2 t 2t2 2 4 D 5 5 21 2c. 2 2

The nature of the eigenvalues is therefore determined by the sign of c. 1 3 If c 1 4 , then the eigenvalues are negative and distinct: l 2 and 2 . In FIGURE 11.2.2(a) we have used a numerical solver to generate solution curves or trajectories that correspond to various initial conditions. Note that, except for the trajectories drawn in red in the figure, the trajectories all appear to approach 0 from a fixed direction. Recall from Chapter 10 that a collection of trajectories in the xy-plane or phase plane is called a phase portrait of the system. When c 4 the eigenvalues have opposite signs, l 1 and 3, and an interesting phenomenon occurs. All trajectories move away from the origin in a fixed direction except for solutions that start along the single line drawn in red in Figure 11.2.2(b). We have already seen behavior like this in the phase portrait given in Figure 10.2.2. Experiment with your numerical solver and verify these observations. The selection c 0 leads to a single real eigenvalue l 1. This case is very similar to the case c 1 4 with one notable exception. All solution curves in Figure 11.2.2(c) appear to approach 0 from a fixed direction as t increases.
y y

0.5

0.5

0.5

0.5

0.5 (a) c = y
1 4

0.5

0.5 (b) c = 4 y

0.5

0.5

0.5

0.5

0.5

0.5 (c) c = 0

0.5

0.5 (d) c = 9

0.5

FIGURE 11.2.2 Phase portraits of linear system in Example 1

11.2 Stability of Linear Systems

593

y K2 K1

Finally, when c 9, l 1 !29 1 3i. Thus the eigenvalues are conjugate complex numbers with negative real part 1. Figure 11.2.2(d) shows that solution curves spiral in toward the origin 0 as t increases. The behaviors of the trajectories observed in the four phase portraits in Figure 11.2.2 in Example 1 can be explained using the eigenvalueeigenvector solution results from Chapter 10. Case I: Real Distinct Eigenvalues (t 2 4 0) According to Theorem 10.2.1 in Section 10.2, the general solution of (1) is given by X 1 t2 5 c1K1el1t 1 c2K2el2t, (2)

FIGURE 11.2.3 Stable node

y K2 K1

where l1 and l2 are the eigenvalues and K1 and K2 are the corresponding eigenvectors. Note that X(t) can also be written as X 1 t2 5 el1t f c1K1 1 c2K2e1l2 2 l12tg . (3)

FIGURE 11.2.4 Unstable node

y K1

K2

FIGURE 11.2.5 Saddle point

(a) Both eigenvalues negative (t 2 4 0, t 0, and 0) Stable Node (l2 l1 0): Since both eigenvalues are negative, it follows from (2) that limtSq X(t) 0. If we assume that l2 l1, then l2 l1 0 and so e1l2 2 l12 t is an exponential decay function. We may therefore conclude from (3) that X(t) c1K1 el1 t for large values of t. When c1 0, X(t) will approach 0 from one of the two directions determined by the eigenvector K1 corresponding to l1. If c1 0, X(t) c2K2 el2 t and X(t) approaches 0 along the line determined by the eigenvector K2. FIGURE 11.2.3 shows a collection of solution curves around the origin. A critical point is called a stable node when both eigenvalues are negative. (b) Both eigenvalues positive (t 2 4 0, t 0, and 0) Unstable Node (0 l2 l1): The analysis for this case is similar to (a). Again from (2), X(t) becomes unbounded as t increases. Moreover, again assuming l2 l1 and using (3), we see that X(t) becomes unbounded in one of the directions determined by the eigenvector K1 (when c1 0) or along the line determined by the eigenvector K2 (when c1 0). FIGURE 11.2.4 shows a typical collection of solution curves. This type of critical point, corresponding to the case when both eigenvalues are positive, is called an unstable node. (c) Eigenvalues have opposite signs (t 2 4 0 and 0) Saddle Point (l 2 0 l 1): The analysis of the solutions is identical to (b) with one exception. When c1 0, X(t) c2K2 el2 t and, since l2 0, X(t) will approach 0 along the line determined by the eigenvector K 2. If X (0) does not lie on the line determined by K2, the line determined by K1 serves as an asymptote for X(t). Thus the critical point is unstable even though some solutions approach 0 as t increases. This unstable critical point is called a saddle point. See FIGURE 11.2.5.

EXAMPLE 2

Real Distinct Eigenvalues

Classify the critical point (0, 0) of each of the following linear systems X AX as either a stable node, an unstable node, or a saddle point. 2 3 210 6 (a) A 5 a b (b) A 5 a b 2 1 15 219 In each case discuss the nature of the solutions in a neighborhood of (0, 0). Solution (a) Since the trace t 3 and the determinant 4, the eigenvalues are l5 3 232 2 41 242 t 2t 2 2 4 D 3 5 5 5 5 4, 21. 2 2 2

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CHAPTER 11 Systems of Nonlinear Differential Equations

The eigenvalues have opposite signs, and so (0, 0) is a saddle point. It is not hard to show (see Example 1, Section 10.2) that eigenvectors corresponding to l1 4 and l2 1 are 3 1 K1 5 a b andK2 5 a b , 2 21
y = 2x/3

y 2

x 2 2

respectively. If X(0) X0 lies on the line y x, then X(t) approaches 0. For any other initial condition X ( t ) will become unbounded in the directions determined by K1. In other words, the line y 2 3 x serves as an asymptote for all these solution curves. See FIGURE 11.2.6. (b) From t 29 and 100 it follows that the eigenvalues of A are l 1 4 and l2 25. Both eigenvalues are negative, and so (0, 0) is in this case a stable node. Since eigenvectors corresponding to l1 4 and l2 25 are 1 2 K1 5 a b andK2 5 a b , 1 25 respectively, it follows that all solutions approach 0 from the direction defined by K1 except those solutions for which X(0) X0 lies on the line y 5 2 x determined by K2. These solutions approach 0 along y 5 2 x. See FIGURE 11.2.7. Case II: A Repeated Real Eigenvalue (t 2 4 0) Degenerate Nodes: Recall from Section 10.2 that the general solution takes on one of two different forms depending on whether one or two linearly independent eigenvectors can be found for the repeated eigenvalue l1. (a) Two linearly independent eigenvectors If K1 and K2 are two linearly independent eigenvectors corresponding to l1, then the general solution is given by X 1 t2 5 c1K1el1t 1 c2K2el1t 5 1 c1K1 1 c2K22 el1t. If l1 0, then X(t) approaches 0 along the line determined by the vector c1K1 c2K2 and the critical point is called a degenerate stable node (see FIGURE 11.2.8(a)). The arrows in Figure 11.2.8(a) are reversed when l1 0, and we have a degenerate unstable node.
y K2 c1K1 + c2K2 y

FIGURE 11.2.6 Saddle point

y y=x

FIGURE 11.2.7 Stable node

K1 x

K1 x

(a)

(b)

FIGURE 11.2.8 Degenerate stable nodes

11.2 Stability of Linear Systems

595

(b) A single linearly independent eigenvector When only a single linearly independent eigenvector K1 exists, the general solution is given by X 1 t2 5 c1K1el1t 1 c2 1 K1tel1t 1 Pel1t 2 , where (A l1I)P K1 (see Section 10.2, (12)(14)), and the solution may be rewritten as X 1 t2 5 tel1t c c2K1 1 c1 c2 K1 1 P d . t t

If l1 0, then limtSq tel1 t 0 and it follows that X(t) approaches 0 in one of the directions determined by the vector K1 (see Figure 11.2.8(b)). The critical point is again called a degenerate stable node. When l1 0, the solutions look like those in Figure 11.2.8(b) with the arrows reversed. The line determined by K1 is an asymptote for all solutions. The critical point is again called a degenerate unstable node. Case III: Complex Eigenvalues (t 2 4 0) If l1 a ib and l 1 a ib are the complex eigenvalues and K1 B1 iB2 is a complex eigenvector corresponding to l1, the general solution can be written as X(t) c1X1(t) c2X2(t), where
x

X1(t) (B1 cos bt B2 sin bt)eat

and

X2(t) (B2 cos bt B1 sin bt)eat.

See equations (23) and (24) in Section 10.2. A solution can therefore be written in the form x(t) eat (c11 cos bt c12 sin bt),
FIGURE 11.2.9 Center

y(t) eat (c21 cos bt c22 sin bt), y(t) c21 cos bt c22 sin bt.

(4)

and when a 0 we have x(t) c11 cos bt c12 sin bt, (5) (a) Pure imaginary roots (t 4 0, t 0) Center: When a 0, the eigenvalues are pure imaginary and, from (5), all solutions are periodic with period p 2p/b. Notice that if both c12 and c21 happened to be 0, then (5) would reduce to
2

x(t) c11 cos bt,

y(t) c22 sin bt,

(a) y

2 2 which is a standard parametric representation for the ellipse x2 / c2 11 y / c22 1. By solving the system of equations in (4) for cos bt and sin bt and using the identity sin2bt cos2bt 1, it is possible to show that all solutions are ellipses with center at the origin. The critical point (0, 0) is called a center, and FIGURE 11.2.9 shows a typical collection of solution curves. The ellipses are either all traversed in the clockwise direction or all traversed in the counterclockwise direction. (b) Nonzero real part (t 2 4 0, t 0) Spiral Points: When a 0, the effect of the term eat in (4) is similar to the effect of the exponential term in the analysis of damped motion given in Section 3.8. When a 0, eat S 0, and the elliptical-like solution spirals closer and closer to the origin. The critical point is called a stable spiral point. When a 0, the effect is the opposite. An ellipticallike solution is driven farther and farther from the origin, and the critical point is now called an unstable spiral point. See FIGURE 11.2.10.

EXAMPLE 3
(b)

Repeated and Complex Eigenvalues

FIGURE 11.2.10 Stable and unstable spiral points

Classify the critical point (0, 0) of each of the following linear systems X AX. 3 218 21 2 (a) A 5 a b (b) A 5 a b 2 29 21 1 In each case discuss the nature of the solution that satisfies X(0) (1, 0). Determine parametric equations for each solution. CHAPTER 11 Systems of Nonlinear Differential Equations

596

Solution (a) Since t 6 and 9, the characteristic polynomial is l2 6l 9 (l 3)2, and so (0, 0) is a degenerate stable node. For the repeated eigenvalue l 3 we 3 find a single eigenvector K1 a b , and so the solution X(t) that satisfies X(0) (1, 0) 1 approaches (0, 0) from the direction specified by the line y x/3. (b) Since t 0 and 1, the eigenvalues are l i, and so (0, 0) is a center. The solution X(t) that satisfies X(0) (1, 0) is an ellipse that circles the origin every 2p units of time. From Example 4 of Section 10.2 the general solution of the system in part (a) is
1 3 3 X 1 t2 5 c1 a b e23t 1 c2 c a b te23t 1 a 2 b e23t d . 1 1 0

y 1

x 1 1 (a) y 1 1

The initial condition gives c1 0 and c2 2, and so x (6t 1)e3t, y 2te3t are parametric equations for the solution. The general solution of the system in part (b) is X 1 t2 5 c1 a cos t 1 sin t cos t 2 sin t b 1 c2 a b. cos t 2 sin t
1

x 1 1 (b)

The initial condition gives c1 0 and c2 1, and so x cos t sin t, y sin t are parametric equations for the ellipse. Note that y 0 for small positive values of t, and therefore the ellipse is traversed in the clockwise direction. The solutions of parts (a) and (b) are shown in FIGURES 11.2.11(a) and 11.2.11(b), respectively.
FIGURE 11.2.12 conveniently summarizes the results of this section. The general geometric nature of the solutions can be determined by computing the trace and determinant of A. In practice, graphs of the solutions are most easily obtained not by constructing explicit eigenvalueeigenvector solutions but rather by generating the solutions numerically using a numerical solver and a method such as the RungeKutta method (Section 6.2) for first-order systems.
stable spiral stable node unstable spiral

FIGURE 11.2.11 Solution curves in Example 3

2 = 4

unstable node

2 4 < 0
center degenerate stable node degenerate unstable node

saddle

FIGURE 11.2.12 Geometric summary of Cases I, II, and III

11.2 Stability of Linear Systems

597

 EXAMPLE 4

Classifying Critical Points

Classify the critical point (0, 0) of each of the following linear systems X AX 2abx 1.01 3.10 2ax (a) A 5 a b (b) A 5 a b 21.10 21.02 2cdy 2dy , and y . for positive constants a, b, c, d, x Solution (a) For this matrix t 0.01, 2.3798, and so t2 4 0. Using Figure 11.2.12, we see that (0, 0) is a stable spiral point. (b) This matrix arises from the LotkaVolterra competition model, which we will study in dy ) and all constants in the matrix are positive, t 0. The Section 11.4. Since t (ax y (1 bc). If bc 1, then 0 and the critical point determinant may be written as adx is a saddle point. If bc 1, then 0 and the critical point is either a stable node, a degenerate stable node, or a stable spiral point. In all three of these cases limtSq X(t) 0. We can now give answers to each of the questions posed at the beginning of this section for the linear plane autonomous system x ax by y cx dy with ad bc Theorem 11.2.1 0. The answers are summarized in the theorem below. Stability Criteria for Linear Systems

For a linear plane autonomous system X AX with det A 0, let X X(t) denote the solution that satisfies the initial condition X(0) X0, where X0 0. (a) limtSq X(t) 0 if and only if the eigenvalues of A have negative real parts. This will occur when 0 and t 0. (b) X(t) is periodic if and only if the eigenvalues of A are pure imaginary. This will occur when 0 and t 0. (c) In all other cases, given any neighborhood of the origin, there is at least one X0 in the neighborhood for which X(t) becomes unbounded as t increases.

Remarks
The terminology used to describe the types of critical points varies from text to text. The following table lists many of the alternative terms that you may encounter in your reading. Term critical point spiral point stable node or spiral point unstable node or spiral point Alternative Terms equilibrium point, singular point, stationary point, rest point focus, focal point, vortex point attractor, sink repeller, source