Linear Algebra and Differential Equations

Lecture 22
Applications of systems of differential equations

July 27, 2016

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Mixing problems
Consider a series of three vats with brine pumped between them at a rate
of r liters per minute

If x1 (t), x2 (t), x3 (t) are the amounts of salt, in kg, in V1 , V2 , V3

respectively and c0 is the concentration of input to V1 then the DEs for
the amounts of salt are
x1 = c0 r k1 x1
x20 = k1 x1 k2 x2
x30 = k2 x2 k3 x3
where ki =

r
Vi .

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We can express it as a matrix equation

0

x1
k1
0
0
x1
c0 r
x2 = k1 k2
0 x2 + 0 = Ax + f
x3
0
k2 k3
x3
0

the solution to the problem is

x = xp + (x(0) xp (0))
where
xp = A1 f
Since the eigenvalues of A are k1 , k2 , k3 the elements of will be
combinations of e k1 t , e k2 t , e k3 t and
lim x = xp

so the xs asymptote to their equilibrium values.

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A numerical example
Let
r = 60 c0 = 1 V1 = 20 V2 = 12 V3 = 60
x1 (0) = 44

x2 (0) = 0 x3 (0) = 0

the DE is

0
60
x1
3 0
0
x1
x2 = 3 5 0 x2 + 0
0
x3
0
5 1
x3

The particular (equilibrium) solution is found by putting the left hand side
of equation to zero

20
xp = 12
60
The eigenvalues of A are 1, 3, 5

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the associated eigenvectors are

2 0 0
0
3 4 0 v1 = 0
0
5 0
0

0 0 0
3 2 0 v3 =
0 5 2

2 0 0
3 0 0 v5 =
0 5 4

0
0
0

0
0
0

v1

0
= 0
1

4
v3 = 6
15

0
v5 = 4
5

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The general solution is

20
0
4
0
x = 12 + c1 e t 0 + c2 e t 6 + c3 e 5t 4
60
1
15
5
Using the initial condition gives

44
20 + 4c2

0 =
12 + 6c2 + 4c3
0
60 + c1 15c2 5c3
with solution
c1 = 30

c2 = 6

c3 = 12

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Second order constant coefficient equations

In physical situations these are more common than the first order DEs
x00 = Ax

A is constant

We will use the same idea that worked for first order systems, let
x = e t v
Substituting into the DE gives
2 ve t = Ave t

Av = 2 v

thus = where is an eigenvalue of A and v is the associated

eigenvector.
we can express the solution in matrix exponential form as

x=e

At

c1 + e

At

c2

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If A has distinct eigenvalues it also has linearly independent eigenvectors.

We can use these as a basis and work with the components in this basis
Suppose the eigenvalues and associated eigenvectors of A are 1 , , n
and v1 , , vn . Write x in the form
x(t) = x1 (t)v1 + + xn (t)vn
Substituting into the DE
x100 (t)v1 + + xn00 (t)vn = Ax = 1 x1 (t)v1 + + n xn (t)vn
(x100 (t) 1 x1 (t))v1 + + (xn00 (t) n xn (t))vn
but the vi are linearly independent so the coefficients are all zero and we
have the n DEs
x100 (t) 1 x1 (t) = 0

xn00 (t) n xn (t) = 0

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An application
Consider two masses with the same mass, m, connected by three springs
as shown below

The equations of motion are

mx100 = k1 x1 + k2 (x2 x1 )
or


x1
x2

00

1
=
m

mx 00 = k3 x2 + k2 (x1 x2 )

(k1 + k2 )
k2
k2
(k2 + k3 )



x1
x2

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The trace of the matrix is

trA =

1
(k1 + 2k2 + k3 ) < 0
m

The determinant is
detA =

1
1
2
(k
+
k
)(k
+
k
)

k
= 2 (k1 k2 + k2 k3 + k3 k1 ) > 0
1
2
2
3
2
m2
m

and
1
((k1 + k3 )2 + 4k2 (k1 + k3 ) + 4k22
m2
4(k1 k2 + k2 k3 + k3 k1 ))


1
=
(k1 k3 )2 + 4k22
2
m

(trA)2 detA =

so the eigenvalues of A are real and negative and so the s are pure
imaginary and the solution will be a combination of cos and sin.

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A numerical example
For example let m = 1, k1 = 6, k2 = 2, k3 = 3 The equation is



00 
8 2
x1
x1
=
2 5
x2
x2
The eigenvalues are 4, 9 and the associated eigenvectors are


 
 
4 2
0
1
v4 =
v4 =
2 1
0
2


 


1 2
0
2
v9 =
v9 =
2 4
0
1
The DEs are
x100 = 4x1

x200 = 9x2

so the general solution is


x = (c1 cos 2t + c2 sin 2t)

1
2


+ (c3 cos 3t + c4 sin 3t)

2
1

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Spectral methods
This is another way to calculate matrix exponentials without calculating
eigenvectors and change of basis matrices.
For simplicity suppose the matrix A has n distinct eigenvalues,
1 , 2 , , n , and associated eigenvectors, v1 , v2 , , vn , define the
projection matrices
A 2 I A 3 I
A n I
P1 =

1 2 1 3
1 n
A n I
A 1 I A 3 I

P2 =
2 1 2 3
2 n
..
..
..
..
.
.
.
.
A 1 I A 2 I
A n1 I
Pn =

n 1 n 2
n n1
The Cayley Hamilton theorem is
p(A) = (A 1 I)(A 2 I) (A n I) = 0

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Properties of the projection matrices

P1 + P2 + + Pn = I
Pi Pj = 0 if i 6= j
3 P2 = P
i
i
4 AP = P
i
i i
5 A = P + P + + P
1 1
2 2
n n
6 Ak = k P + k P + + k P
1
2
n n
1
2
Proof (1)
P1 v1 = v1
P1 v2 = = P1 vn = 0
1
2

Expand any vector using the eigenvectors as basis

u = u1 v1 + + un vn
then
(P1 + P2 + + Pn )u = u1 v1 + + un vn = u
so
P1 + P2 + + Pn = I

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(2) If i 6= j then the Cayley Hamilton theorem implies

Pi Pj = 0
(3)
Pi = Pi I = Pi (P1 + P2 + + Pn ) = P2i
(4)
(A i I)Pi = p(A) = 0

APi = i Pi

again using the Cayley Hamilton theorem.

(5)
A = AI = A(P1 + P2 + + Pn ) = 1 P1 + n Pn
(6)
Ak = (1 P1 + n Pn )k = k1 Pk1 + kn Pkn = k1 P1 + kn Pn

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Using projection matrices to solve DEs

Because of property (6) of the projection matrices
e At = e 1 t P1 + e 2 t P2 + + e n t Pn
For example to solve the IVP

1 1 1
x0 = 0 2 1 x
1 1 3

3
x(0) = 2
1

the characteristic equation for A is

3 62 + 11 6 = 0 = 1, 2, 3

0 1 1
1 1 1
0 1
AI= 0 1 1
A 2I = 0
1 1 2
1 1 1

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2 1 1
A 3I = 0 1 1
1 1 0

3 3 0
1
(A 2I)(A 3I)
= 1 1 0
P1 =
(1 2)(1 3)
2
1 1 0

1 2 1
(A I)(A 3I)
P2 =
= 1 2 1
(2 1)(2 3)
0 0 0

1 1 2
(A I)(A 2I)
1
1 1 2
P3 =
=
(3 1)(3 2)
2
1 1 2

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The fundamental matrix is

e At

= e t P1 + e 2t P2 + e 3t P3
3 t
1 3t
2t
32 e t + 2e 2t 12 e 3t
2e e + 2e

1 t
1 3t
2t
=
12 e t + 2e 2t 12 e 3t
2e e + 2e

1 t
1 3t
21 e t + 12 e 3t
2e 2e

e 2t + e 3t

e 2t

e 3t

e 3t

and the solution to the IVP is

15 t
2 e

2 =

5 t
2e

x=e

At

6e 2t + 32 e 3t

3 3t
2e

6e 2t

52 e t + 32 e 3t

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Another example
Solve the IVP
 0 
 
x
5 3
x
=
y
2 4
y

x(0)
y (0)


=

1
2

the characteristic equation is

2 + 9 + 14 = 0
= 2, 7




A (7)I
1 2 3
1 3 3
A (2)I
P2 =
=
=
P7 =
2 2
2 (7)
5 2 3
7 (2)
5
 2t

1 2e
+ 3e 7t 3e 2t 3e 7t
At
2t
7t
e = e P2 + e P7 =
5 2e 2t 2e 7t 3e 2t + 2e 7t
and the solution is
1
x = e x(0) =
5
At

e 2t + 9e 7t
e 2t 6e 7t

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