Linear Differential Equation

Linear differential equation - Wikipedia, the free encyclopedia
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http://en.wikipedia.org/wiki/Linear_differential_equation
Linear differential equation

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From Wikipedia, the free encyclopedia
In mathematics, linear differential equations are differential equations having differential equation solutions which can be added together to form
other solutions. They can be ordinary or partial. The solutions to linear equations form a vector space (unlike non-linear differential equations).
Contents
1 Introduction
2 Homogeneous equations with constant coefficients

2.1 Examples
2.1.1 Simple harmonic oscillator
2.1.2 Damped harmonic oscillator
3 Nonhomogeneous equation with constant coefficients

3.1 Example
4 Equation with variable coefficients

4.1 Examples
5 First-order equation with variable coefficients

5.1 Examples
6 Systems of Linear Differential Equations

7 See also
8 External links
9 Notes
10 References
Introduction
Linear differential equations are of the form
where the differential operator L is a linear operator, y is the unknown function (such as a function of time y(t)), and the right hand side f is a given
function of the same nature as y (called the source term). For a function dependent on time we may write the equation more expressly as
and, even more precisely by bracketing
The linear operator L may be considered to be of the form[1]
The linearity condition on L rules out operations such as taking the square of the derivative of y; but permits, for example, taking the second
derivative of y. It is convenient to rewrite this equation in an operator form
where D is the differential operator d/dt (i.e. Dy = y' , D2y = y",... ), and the An are given functions.
Such an equation is said to have order n, the index of the highest derivative of y that is involved.
A typical simple example is the linear differential equation used to model radioactive decay.[2] Let N(t) denote the number of radioactive atoms in
some sample of material [3] at time t. Then for some constant k > 0, the number of radioactive atoms which decay can be modelled by
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If y is assumed to be a function of only one variable, one speaks about an ordinary differential equation, else the derivatives and their coefficients
must be understood as (contracted) vectors, matrices or tensors of higher rank, and we have a (linear) partial differential equation.
The case where f = 0 is called a homogeneous equation and its solutions are called complementary functions. It is particularly important to the
solution of the general case, since any complementary function can be added to a solution of the inhomogeneous equation to give another solution
(by a method traditionally called particular integral and complementary function). When the Ai are numbers, the equation is said to have constant
coefficients.
Homogeneous equations with constant coefficients

The first method of solving linear homogeneous ordinary differential equations with constant coefficients is due to Euler, who realized that solutions
have the form ezx, for possibly-complex values of z. The exponential function is one of the few functions to keep its shape after differentiation,
allowing the sum of its multiple derivatives to cancel out to zero, as required by the equation. Thus, for constant values A1,..., An, to solve:
we set y = ezx, leading to
Division by ezx gives the nth-order polynomial:
This algebraic equation F(z) = 0 is the characteristic equation considered later by Gaspard Monge and Augustin-Louis Cauchy.
Formally, the terms
of the original differential equation are replaced by zk. Solving the polynomial gives n values of z, z1, ..., zn. Substitution of any of those values for z
into ezx gives a solution ezix. Since homogeneous linear differential equations obey the superposition principle, any linear combination of these
functions also satisfies the differential equation.
When these roots are all distinct, we have n distinct solutions to the differential equation. It can be shown that these are linearly independent, by
applying the Vandermonde determinant, and together they form a basis of the space of all solutions of the differential equation.
The preceding gave a solution for the case when all zeros are distinct, that is, each has
multiplicity 1. For the general case, if z is a (possibly complex) zero (or root) of F(z) having
multiplicity m, then, for
,
is a solution of the ODE.
Applying this to all roots gives a collection of n distinct and linearly independent functions,
where n is the degree of F(z). As before, these functions make up a basis of the solution
space.
If the coefficients Ai of the differential equation are real, then real-valued solutions are
generally preferable. Since non-real roots z then come in conjugate pairs, so do their
corresponding basis functions xkezx, and the desired result is obtained by replacing each pair
with their real-valued linear combinations Re(y) and Im(y), where y is one of the pair.
Examples
has the characteristic equation
This has zeroes, i, i, and 1 (multiplicity 2). The

solution basis is then
A case that involves complex roots can be solved with the aid of Euler's formula.
This corresponds to the real-valued solution basis
Examples
Given
. The characteristic equation is
"2i". Thus the solution basis
is
if
for
.
which has roots

. Now y is a solution if and only
Because the coefficients are real,

we are likely not interested in the complex solutions
our basis elements are mutual conjugates
The linear combinations
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will give us a real basis in
Simple harmonic oscillator

The second order differential equation
which represents a simple harmonic oscillator, can be restated as
The expression in parenthesis can be factored out, yielding
which has a pair of linearly independent solutions:
The solutions are, respectively,
and
These solutions provide a basis for the two-dimensional solution space of the second order differential equation: meaning that linear combinations of
these solutions will also be solutions. In particular, the following solutions can be constructed
and
These last two trigonometric solutions are linearly independent, so they can serve as another basis for the solution space, yielding the following
general solution:
Damped harmonic oscillator

Given the equation for the damped harmonic oscillator:
the expression in parentheses can be factored out: first obtain the characteristic equation by replacing D with . This equation must be satisfied for all
y, thus:
Solve using the quadratic formula:
Use these data to factor out the original differential equation:
This implies a pair of solutions, one corresponding to
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The solutions are, respectively,
where = b/2m. From this linearly independent pair of solutions can be constructed another linearly independent pair which thus serve as a basis for
the two-dimensional solution space:
However, if || < |0| then it is preferable to get rid of the consequential imaginaries, expressing the general solution as
This latter solution corresponds to the underdamped case, whereas the former one corresponds to the overdamped case: the solutions for the
underdamped case oscillate whereas the solutions for the overdamped case do not.
Nonhomogeneous equation with constant coefficients

To obtain the solution to the nonhomogeneous equation (sometimes called inhomogeneous equation), find a particular integral yP(x) by either the
method of undetermined coefficients or the method of variation of parameters; the general solution to the linear differential equation is the sum of the
general solution of the related homogeneous equation and the particular integral. Or, when the initial conditions are set, use Laplace transform to
obtain the particular solution directly.
Suppose we face
For later convenience, define the characteristic polynomial
We find a solution basis
for the homogeneous (f(x) = 0) case. We now seek a particular integral yp(x) by the variation
of parameters method. Let the coefficients of the linear combination be functions of x:
For ease of notation we will drop the dependency on x (i.e. the various (x)). Using the operator notation D = d/dx, the ODE in question is P(D)y = f;
so
With the constraints
the parameters commute out,
But P(D)yj = 0, therefore
This, with the constraints, gives a linear system in the uj. This much can always be solved; in fact, combining Cramer's rule with the Wronskian,
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In the very non-standard notation used above, one should take the i,n-minor of W and multiply it by f. That's why we get a minus-sign. Alternatively,
forget about the minus sign and just compute the determinant of the matrix obtained by substituting the j-th W column with (0, 0, ..., f).
The rest is a matter of integrating uj.
also satisfies the ODE for any set of constants cj.
The particular integral is not unique;
Example
Suppose
. We take the solution basis found above
Using the list of integrals of exponential functions
And so
(Notice that u1 and u2 had factors that canceled y1 and y2; that is typical.)
For interest's sake, this ODE has a physical interpretation as a driven damped harmonic oscillator; yp represents the steady state, and
the transient.
is
Equation with variable coefficients

A linear ODE of order n with variable coefficients has the general form
Examples
A simple example is the CauchyEuler equation often used in engineering
First-order equation with variable coefficients

A linear ODE of order 1 with variable coefficients has the general form
Examples
Solve the equation
Where D is the differential operator. Equations of this form can be solved by multiplying the
integrating factor
with the initial condition
throughout to obtain
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Using the general solution method:
which simplifies due to the product rule (applied backwards) to

The indefinite integral is solved to give:
which, on integrating both sides and solving for y(x) gives:
Then we can reduce to:
In other words: The solution of a first-order linear ODE
where = 4/3 from the initial condition.
with coefficients that may or may not vary with x, is:
where is the constant of integration, and
A compact form of the general solution based on a Green's function is (see J. Math. Chem. 48 (2010) 175):
where (x) is the generalized Dirac delta function.
Examples
Consider a first order differential equation with constant coefficients:
This equation is particularly relevant to first order systems such as RC circuits and mass-damper systems.
In this case, f(x) = b, g(x) = 1.
Hence its solution is
Systems of Linear Differential Equations

An arbitrary linear ordinary differential equation or even a system of such equations can be converted into a first order system of linear differential
equations by adding variables for all but the highest order derivatives. A linear system can be viewed as a single equation with a vector-valued
variable. The general treatment is analogous to the treatment above of ordinary first order linear differential equations, but with complications
stemming from noncommutativity of matrix multiplication.
To solve
(here
is a vector or matrix, and
is a matrix), let
be the solution of
with
(the identity matrix).
is
a fundamental matrix for the equation the columns of
form a complete linearly independent set of solutions for the homogeneous equation. After
substituting
, the equation
simplifies to
Thus,
If
commutes with
for all
and
, then
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and thus
but in the general case there is no closed form solution, and an approximation method such as Magnus expansion may have to be used. Note that the
exponentials are matrix exponentials.
See also
Matrix differential equation
Partial differential equation
Continuous-repayment mortgage
Fourier transform
Laplace transform
List of differentiation identities, Nth Derivatives Section
External links
http://eqworld.ipmnet.ru/en/solutions/ode.htm
Notes
1. Gershenfeld 1999, p.9
3. Robinson 2004, p.7
2. Robinson 2004, p.5
References
Birkhoff, Garrett and Rota, Gian-Carlo (1978), Ordinary Differential Equations, New York: John Wiley and Sons, Inc., ISBN 0-471-07411-X
Gershenfeld, Neil (1999), The Nature of Mathematical Modeling, Cambridge, UK.: Cambridge University Press, ISBN 978-0-521-57095-4
Robinson, James C. (2004), An Introduction to Ordinary Differential Equations, Cambridge, UK.: Cambridge University Press,
ISBN 0-521-82650-0
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Linear differential equation - Wikipedia, the free encyclopedia

From Wikipedia, the free encyclopedia

2 Homogeneous equations with constant coefficients

2.1.1 Simple harmonic oscillator

2.1.2 Damped harmonic oscillator

3 Nonhomogeneous equation with constant coefficients

4 Equation with variable coefficients

5 First-order equation with variable coefficients

6 Systems of Linear Differential Equations

and, even more precisely by bracketing

The linear operator L may be considered to be of the form[1]