Chap 8 老師講義

2016年9月19日 下午 06:33

微分方程式
Chapter 8
管傑雄
台大電機系
Chapter 8 Systems of Linear First-order
Differential Equation
8.1 Preliminary Theory
Note
System of differential equations

where Pij are polynomials of various degrees in the differential operator D.

System of first-order differential equations

Linear Systems -- systems of linear first-order equations

Every gi is linear in the dependent variables xi.

Ch8 第 1 頁
 ..............

where aij and fi are functions continuous on a common interval I. When fi(t) = 0, i = 1, 2,
3, ... , n, the system is said to be homogeneous; otherwise it is called nonhomogeneous. We
also refer to the above system as nth-order linear system.

Note:
1. Equation to a System
Suppose a linear nth-order differential equation is first written as

If we introduce the variables

y = x1, y' = x2, y" = x3, ... , y(n-1) = xn,
then we can get
x1' = x2
x2' = x3
x3' = x4
.......
xn-1' = xn

The differential equation becomes a system of linear normal form.

2. A Linear System of Higher-order Equations to the Normal Form

Represent the highest-order terms with the others and use the same procedure as the nth-order
linear equation.

Example: Reduce (D2 - D + 5)x + 2D2y = et

-2x + (D2 + 2)y = 3t2
to the normal form.
Solution: 1st equation - 2 times second equation gives
D2x = et - 6t2 - 9x + 4y + Dx
and the second equation is rewritten as
D2y = 2x – 2y + 3t2
If we let
Dx = u and Dy = v
then
Dx = u
Dy = v
Du = -9x + 4y + u + et - 6t2
Dv = 2x - 2y + 3t2

3. Degenerate Systems
Those systems of differential equations cannot be reduced to a linear system in normal
form i.e., we cannot represent the highest-order terms with the others, are said to be
degenerate.
Example: Reduce
(D + 1)x + (D + 1)y = 0
2Dx + (2D + 1)y = 0
to the normal form.

Ch8 第 2 頁
to the normal form.
Solution: Actually the system is degenerate since the determinant of the coefficients of the
highest-order terms is zero and we can not.

Matrix Functions

is called a matrix function or a matrix-valued function. If each aij(t) is continuous, then A(t) is
said to be continuous.

Note:
1. Derivative of a Matrix Function

2. Integral of a Matrix Function

3. Rules for Differentiating and Integrating

, C is a matrix of constants

the order is important

Matrix Form of a Linear System

where

Ch8 第 3 頁
Initial-Value Problem
Solve:

Subject to: X(t0) = X0

Existence of a Unique Solution

Let the entries of the matices A(t) and F(t) be functions continuous on a common
interval I that contains the point t0. Then there exists a unique solution of the initial-
value problem on the interval.

Superposition Principle
Let X1, X2, ... , Xk be a set of solution vectors of the homogeneous system X' = AX on
an interval I. Then the linear combination
X = c1X1 + c2X2 + ... + ckXk
where ci, i = 1, 2, ... , k, are arbitrary constants, is also a solution in the interval.

Linear Dependence/Independence
Let X1, X2, ... , Xk be a set of solution vectors of the homogeneous system X' = AX on
an interval I. We say that the set is linearly dependent on the interval, if there exist
contants c1, c2, ... , ck, not all zero, such that
c1X1 + c2X2 + ... + ckXk= 0
for every t in the interval. If the set of vectors is not linearly dependent on the interval, it is
said to be linearly independent.

Criterion for Linear Independence

Let

, ........

be n solution vectors of the homogeneous system X' = AX on an interval I. A necessary and

sufficient condition that the set of solutions be linearly independent is that the Wronskian

for every t in I.

Ch8 第 4 頁
for every t in I.
In fact, it can be shown that if X1, X2, ... , Xn are solution vectors of X' = AX, then for
every t in I either

or

Thus, if we can show that W  0 for some t0 in I, then W  0 for every t and hence the
solutions are linearly independent on the interval.
Proof: We try to confirm the following statements: If there is a specific value t0 in the
interval to make W = 0, then W = 0 for every t in the interval.
From the assumption, we find that X1(t0), X2(t0), ... , Xn(t0) are linearly dependent. This
indicates that we can find n constants c1, c2, ... , cn, not all zero to make
X0 = c1X1(t0) + c2X2(t0) + ... + cnXn(t0) = 0
Using these constant, we can form a vector
X(t) = c1X1(t) + c2X2(t) + ... + cnXn(t)
In particular, X(t0) = 0. From the superposition principle, we know that X(t) is a solution of X'
= AX. If we solve the differential equation X' = AX subject to X(t0) = X0 = 0, the solution
vector should be unique, and we find that it is the zero vector. That is, X(t) = 0. for every t in
the interval. Since ci is not all zero, X1(t), X2(t), ... , Xn(t) are linearly dependent for every t in
the interval. Therefore, W = 0 for every t in the interval.

Fundamental set of solutions

Any set X1, X2, ... , Xn of n linearly independent solution vectors of the homogeneous
system X' = AX on an interval I is said to be a fundamental set of solutions on the
interval.

Existence of a Fundamental Set

There exists a fundamental set of solutions for the homogeneous system X' = AX on an
interval I.
Proof: We can find n solutions vectors subject to the following n initial values respectively:

, ... ,

,
Since W(X1(t0), X2(t0), ... , Xn(t0))  0, we conclude that

for every t and they are linearly independent. Therefore, they are a fundamental set of
solutions.

General Solution -- Homogeneous Systems

Let X1, X2, ... , Xn be a set of solution vectors of the homogeneous system X' = AX on
Ch8 第 5 頁
 Let X1, X2, ... , Xn be a set of solution vectors of the homogeneous system X' = AX on
an interval I. The general solution of the system on the interval is defined to be
X = c1X1 + c2X2 + ... + cnXn
where ci, i = 1, 2, ... , n, are arbitrary constants.

General Solution -- Nonhomogeneous Systems

Let Xp (particular solution vector) be a given solution of the nonhomogeneous system
X' = AX + F(t) on an interval I, and let
Xc = c1X1 + c2X2 + ... + cnXn
denote the general solution on the same interval of the corresponding homogeneous system
X' = AX. The general solution of the nonhomogeneous system on the interval is defined to be
X = Xc + Xp
where Xc is called the complementary function.

8.2 Homogeneous Linear Systems with Constant

Coefficients
The homogeneous differential equation:
X' = AX
we can try the solution form:
X = Ket
Then differential equation becomes
(A - I)K = 0
The nontrivial solutions exist if and only if
det(A - I) = 0
where  is called an eigenvalue of A and K is an eigenvector corresponding to .

8.2.1 Distinct Real Eigenvalues

Let 1, 2, ... , n be n distinct real eigenvalues of the coefficient matrix of X' = AX and
let K1, K2, ... , Kn be the corresponding eigenvectors. Then the general solution of the
homogeneous equation is given by
X = c1K1e t + c2K2e t + .... + cnKne t
1 2 n

Example: Solve

Solution: The coefficient matrix is

and then

and so eigenvalues are -3, -4, and 5. The associated eigenvectors are

Ch8 第 6 頁
,

The general solution is

8.2.2 Repeated Eigenvalues

If 1 is an eigenvalue of mutiplicity m, then we distinguish two possibilities:
(1) For some A, it is possible to find m linearly independent eigenvectors K1, K2, ... , Km
corresponding to eigenvalue 1 of multiplicity m for m  n. In this case the general solution
contains the linear combination
c1K1e t + c2K2e t + .... + cmKme t
1 1 1

Example: Solve

Solution: det(A-I)=0 yields

and  = -1, -1, 5.

For  = -1, the associated eigenvectors are

and

For  = 5, the eigenvector is

The general solution is

Ch8 第 7 頁
(2) If there is only one eigenvector corresponding to the eigenvalue of multiplicity m, then m
linearly independent solutions of the form

........

can always be found.

Note: For the intermediate cases, we can still use (2)'s method to find the missing solutions.

Eigenvalue of multiplicity 2
We try the solution form

and substitute it into the homogeneous equation:

Hence,
(A - 1I)K = 0
(A - 1I)P = K
We can find K first and then find P.

Example: Solve

Solution: We find the eigenvalues from

and it is -3 of multiplicity 2. We first find the associated eigenvector

and then we find the vector P:

P can be gievn by

.
The two independent solutions are

Ch8 第 8 頁
Eigenvalue of Multiplicity 3
We try the solution form

By substituting it into the equation, we find that K, P and Q must satisfy

(A - 1I)K = 0
(A - 1I)P = K
(A - 1I)Q = P
we can find their values sequentially.

Example: Solve

Solution: We first find the eigenvalues:

det(A - I) = (2 - )3 = 0
and the root is 2 of multiplicity 3. In succession we find that
(A - 1I)K = 0, the solution is

(A - 1I)P = K, the solution is

(A - 1I)Q = P, the solution is

The general solution is

8.2.3 Complex Eigenvalues

Let A be the coefficient matrix having real entries of X' = AX and let K1 be an
eigenvector corresponding to the complex eigenvalue 1 =  + i,  and  real. Then
X1 = K1e t and
1

are the solutions of the homogeneous system.

Proof: Since A is real,

and

is a solution.

Ch8 第 9 頁
is a solution.

Alternative form of the solutions corresponding to the complex eigenvalues(因為解的實

部與虛部均為上述兩獨立解的線性組合)

改寫成Eigenvector的實部及虛部
By defining

and

then

are linearly independent solutions of the homogeneous system.

Example: Solve

Solution: The eigenvalues are given by

and they are 2i and -2i. The associated eigenvector for  = 2i is

The matrices

, and

The general solution is

8.3 Variation of Parameters

A Fundamental Matrix
Let

Ch8 第 10 頁
,

, ........

be a fundamental set of n solution vectors of the homogeneous system X' = AX on an interval

I. The matrix

is said to be a fundamental matrix of the system on the interval. Then the general solution of
the homogeneous system X' = AX can be written as
X = C
where C is an
column vector of arbitrary constants.

The Fundamental Matrix is Nonsingular

The linear independence of the columns of (t) on an interval I guarantees that det 0
for every t in the interval; that is, (t) is nonsingular on the interval.

The Fundamental Matrix Equation

'(t) = A(t)

Note:
1. The Fundamental Matrix Has an Inverse
Let (t) be a fundamental matrix of the homogeneous system X' = AX on an interval I.
Then -1(t) exists for every value of t in the interval.

2. Special Matrix
Let V1, V2, ... , Vn be solution vectors of X' = AX that satisfy the conditions

Ch8 第 11 頁
, ... ,

Here t0 is an arbitrary chosen point in the interval on which the general solution of the system
is defined. The matrix

is a special fundamental matrix which has the property

=I
where I is the
multiplicative identity.
Note: Suppose a constant matrix

such that

 is the identity at t = t0. Therefore,

i.e.,

and

Example:

and

are two solution of

on the interval I = (-, ). Since

for every t in the I. They form a fundamental set of solutions and the general solution is
X = c1X1 + c2X2 = C
where

Ch8 第 12 頁
 and

We call  a fundamental matrix. The inverse of  is

The special fundamental matrix (t) satisfying (0) = I can be found from the column
vectors:

and

and

and

Hence, the special fundamental matrix

Note: Solution by Diagonalization

For a homogeneous system X' = AX, if we can find a transform X = PY such that the
differential equation of Y becomes
Y' = DY
where D = P-1AP is a diagonal matrix, then the system can be uncoupled in that each yi's can
be expressed solely in terms of yi. The solution of X is derived by the transform of X = PY.

Example: solve

solution: We first find the eigenvalues by

Ch8 第 13 頁
and the roots are -2, 1 and 5. The associated eigenvectors are

Thus, a matrix that diagonalizes the coefficient matrix is

The matrix D is

and the solution of Y is

The solution of X is

Nonhomogeneous Linear Systems

1. Undetermined Coefficients
Example: Solve

solution: The coefficient matrix is

and the eigenvalues are 2 and 4. The associated eigenvectors are

Ch8 第 14 頁
.
The complementary function is

The function F(t) is

and no coincidence of the terms with the complementary function occurs. Then we can
assume the particular function is

Note: If there is a coincidence of terms, the same rule as the nth-order case should be
followed.

2. Variation of Parameters
The nonhomogeneous system
X' = AX + F(t)
can solved by first solving the homogeneous system
X' = AX
The associated general solution, i.e., the complementary function, is
Xc = (t)C
where (t) is a fundamental matrix of the system. By using variation of parameters to find
the particular solution, we can replace the constant vector C with a column matrix of
functions
Xp = (t)U(t)
where

Substituting it into the nonhomogeneous system gives

'(t)U(t) + (t)U'(t) = A(t)U(t) + F(t)
Since '(t) = A(t), the above equation is simplified as
(t)U'(t) = F(t)
Hence,

and the particular solution is

The general solution is

Note: 上述式子在計算矩陣積分時須特別注意：對矩陣各element的積分，積分下限必須
一致。

Example: Solve

Ch8 第 15 頁
Solution: The characteristic equation of the coefficient matrix is
( + 2)( + 5) = 0
The roots are -2 and -5. The associated eigenvectors are

.
The fundamental matrix is

and the inverse matrix is

The particular solution is

The general solution is

In the nonhomogeneous system, let the initial condition be X = X0 at t = t0. Since the
general solution of the nonhomogeneous system can be written as

Substituting the initial condition into the equation gives

C = -1(t0)X0
In addition, the special fundamental matrix is

.
The general solution can be rewritten as

Note: Diagonalization
If P is the matrix that diagonalizes the coefficient matrix A, and X is transformed with
X = PY, the differential equation of Y is
Y' = P-1APY + P-1F or Y' = DY + G
where D = P-1AP and G = P-1F.
Example: Solve

by diagonalization.
Solution: The characteristic equation of A is
2 - 5 = 0

Ch8 第 16 頁
 2 - 5 = 0
The roots are 0 and 5 and the associated eigenvectors are

The transform matrix P is

The matrix G is

The differential equation which Y follows is

Hence, the solution of Y is

The solution of the original system is

求解常係數聯立微分方程組的程序步驟
1. 降階方程組成為Normal Form X’ = AX + F(t)，其中A是常係數矩陣
2. 求出A的Eigenvalue及Eigenvector。對於重根時，若有必要則須找出K, P, Q….
3. 由2之結果求出足夠的獨立解，針對共軛解則改以實部及虛部代之
4. 將獨立排成Fundamental Matrix 
5. 計算Special Fundamental Matrix

.
6. 計算通解

8.4 Matrix Exponential

Definition: For any nxn matrix A whose entries are constants,

Note: 1.

2.

Ch8 第 17 頁
 3. etAe-sA = e(t-s)A
4. etA is a fundamental matrix of the system X' = AX: (t) = etA
The result of 2. indicates that the solution of X' = AX + F(t) can be written as

which is written with (t) as

Example: Use the exponential matrix to find a general solution of

.
Solution: The matrix A = I + B where I is the identity matrix while

The separation is due to the fact that

where

and

since

The special fundamental matrix (t) is

The general solution is

Note: The simplicity of the computations in this example is due to the fact that A is an upper
triangular matrix.

Ch8 第 18 頁
2016.12.07 (三) OK
2016年12月7日 下午 03:29

Ch8 第 19 頁
Ch4方法 system of DE's
2016年12月7日 下午 03:29

考慮聯立方程式

其中x最高m階；y最高n階
可將其寫成

寫成矩陣形式

Case 1:

x, y 具有唯一解
先求出齊性解
、

須留意此處變成最高(n+m)階微分，且x與y齊性解相同，但特解不同，可得

再求出特解
代回原微分方程式任意一條，可以解得 關係，最後待定常數c的個數為(n+m)個

Case 2:
且 且 則有無限多組解

Case 3:
且 或 則無解

Ch8 第 20 頁
Example
2016年12月7日 下午 03:56

代回原式，解得

待定係數僅剩 三個

Ch8 第 21 頁
Ch8 方法
2016年12月7日 下午 03:56

Step 1: Normalization

x: m-th order ; y:n-th order

若 ，可以將x, y的最高階微分項分離

(初步normalization)

若 ，則為degenerate，可以將方程式階數降低

然後繼續進行normalization

Example : (degenerate)

(降階)
代回原方程式

Step 2 : n-th order linear equation -> system of linear DE's

考慮

Ch8 第 22 頁
可表示為
此為將n-th order linear DE轉成system of linear equation

將初步normalization 的結果改寫成

寫成矩陣型式

Ch8 第 23 頁
可簡化表示為
此為將聯立 x:m-th order & y:n-th order linear DE轉成system of linear equation

Ch8 第 24 頁
2016.12.09 (五) ok
2017年1月24日 上午 11:17

Ch8 第 25 頁
矩陣解 normal form
2017年1月24日 上午 11:18

考慮

其中A為 矩陣
Initial condition

僅考慮唯一解析解區之解
首先求解Homogeneous 情況

求得
令

Solution set :
Fundamental matrix :
若 則 有反矩陣

需要注意，Fundamental matrix 不是唯一的。

再考慮Nonhomogeneous

求出一個
方程式之解為

Ch8 第 26 頁
Case 1 相異實根
2017年1月24日 上午 11:19

以下考慮 為constant matrix (也可以是singular)之homogeneous equation 求解。

猜
其中K為constant colume vector
代入方程式可得

.…..characteristic equation
上式為n次方程式，依高斯代數基本定理 可以解出n個解
若 為相異實根，則

Example: Solve

Solution: The coefficient matrix is

and then

and so eigenvalues are -3, -4, and 5. The associated eigenvectors are

Ch8 第 27 頁
The general solution is

Ch8 第 28 頁
Case 2 重根
2017年1月24日 上午 11:19

If 1 is an eigenvalue of mutiplicity m, then we distinguish two possibilities:

(1) For some A, it is possible to find m linearly independent eigenvectors K1, K2, ... , Km
corresponding to eigenvalue 1 of multiplicity m for m  n. In this case the general solution
contains the linear combination
c1K1e t + c2K2e t + .... + cmKme t
1 1 1

Example: Solve

Solution: det(A-I)=0 yields

and  = -1, -1, 5.

For  = -1, the associated eigenvectors are

and

For  = 5, the eigenvector is

The general solution is

(2) If there is only one eigenvector corresponding to the eigenvalue of multiplicity m, then m
linearly independent solutions of the form

........

can always be found.

Note: For the intermediate cases, we can still use (2)'s method to find the missing solutions.

Eigenvalue of multiplicity 2
We try the solution form

Ch8 第 29 頁
We try the solution form

and substitute it into the homogeneous equation:

Hence,
(A - 1I)K = 0
(A - 1I)P = K
We can find K first and then find P.

Example: Solve

Solution: We find the eigenvalues from

and it is -3 of multiplicity 2. We first find the associated eigenvector

and then we find the vector P:

P can be gievn by

.
The two independent solutions are

Eigenvalue of Multiplicity 3
We try the solution form

By substituting it into the equation, we find that K, P and Q must satisfy

(A - 1I)K = 0
(A - 1I)P = K
(A - 1I)Q = P
we can find their values sequentially.

Example: Solve

Solution: We first find the eigenvalues:

det(A - I) = (2 - )3 = 0
and the root is 2 of multiplicity 3. In succession we find that
(A - 1I)K = 0, the solution is

Ch8 第 30 頁
 (A - 1I)K = 0, the solution is

(A - 1I)P = K, the solution is

(A - 1I)Q = P, the solution is

The general solution is

＊觀念統整
並非雙重根就一定要找K、P，只要找到兩個eigen vectors 即可；並非三重根就一定
要找K、P、Q，只要找到eigen vectors即可。
對於三重根而言，有以下幾個可能性
1.
2.
3.
4.
但需要留意 1. 的向量空間只到 ；2. 與 3. 的向量空
間有 與 ；4. 的向量空間有 、 與 。
對於一組微分方程，雖然可以任意選擇組合，但是不可能改變解的向量空間。

＊由K、P、Q反求A矩陣 (自己出考題)

設定 三重根

Ch8 第 31 頁
設定 三重根
給定eigen vector

Ch8 第 32 頁
Case 3 複數根
2017年1月24日 上午 11:19

Let A be the coefficient matrix having real entries of X' = AX and let K1 be an eigenvector
corresponding to the complex eigenvalue 1 =  + i,  and  real. Then
X1 = K1e t and
1

are the solutions of the homogeneous system.

Proof: Since A is real,

and

is a solution.

Alternative form of the solutions corresponding to the complex eigenvalues(因為解的實

部與虛部均為上述兩獨立解的線性組合)

改寫成Eigenvector的實部及虛部
By defining

and

then

are linearly independent solutions of the homogeneous system.

Example: Solve

Solution: The eigenvalues are given by

and they are 2i and -2i. The associated eigenvector for  = 2i is

Ch8 第 33 頁
The matrices

, and

The general solution is

Ch8 第 34 頁
2016.12.16 (五) ok
2017年1月24日 上午 11:20

Ch8 第 35 頁
Solution of X'=AX
2017年1月24日 上午 11:22

其中， ，稱作special fundamental matrix

此外， ，因此 唯一。

相較於 Fundamental matrix 不是唯一的，以 討論其解更為方便。

可寫為

Ch8 第 36 頁
求解 Xp
2017年1月24日 上午 11:22

Ch8 第 37 頁
Undetermined method
2017年1月24日 上午 11:22

Ch8 第 38 頁
Variation of parameter
2017年1月24日 上午 11:22

The nonhomogeneous system

X' = AX + F(t)
can solved by first solving the homogeneous system
X' = AX
The associated general solution, i.e., the complementary function, is
Xc = (t)C
where (t) is a fundamental matrix of the system. By using variation of parameters to find
the particular solution, we can replace the constant vector C with a column matrix of
functions
Xp = (t)U(t)
where

Substituting it into the nonhomogeneous system gives

'(t)U(t) + (t)U'(t) = A(t)U(t) + F(t)
Since '(t) = A(t), the above equation is simplified as
(t)U'(t) = F(t)
Hence,

and the particular solution is

The general solution is

Example: Solve

Solution: The characteristic equation of the coefficient matrix is

( + 2)( + 5) = 0

Ch8 第 39 頁
 ( + 2)( + 5) = 0
The roots are -2 and -5. The associated eigenvectors are

.
The fundamental matrix is

and the inverse matrix is

Ch8 第 40 頁
Diagonalization
2017年1月24日 上午 11:23

代入

其中 為對角線化矩陣(非微分算符)，

假設可找到n個K eigen vector

令

可以得知 、

容易解Y，解出後將Y代回

Ch8 第 41 頁
求解常係數聯立微分方程組的程序步驟
2017年1月26日 下午 04:46

1. 降階方程組成為Normal Form X’ = AX + F(t)，其中A是常係數矩陣

2. 求出A的Eigenvalue及Eigenvector。對於重根時，若有必要則須找出K, P, Q….
3. 由2之結果求出足夠的獨立解，針對共軛解則改以實部及虛部代之
4. 將獨立排成Fundamental Matrix 
5. 計算Special Fundamental Matrix

.
6. 計算通解

或者是

Ch8 第 42 頁
2016.12.21 (三) ok
2017年1月24日 上午 11:23

Ch8 第 43 頁
Matrix function
2017年1月24日 上午 11:23

考慮一個函數 ，假設可以使用泰勒展開

定義Matrix function

A為n*n方陣。可以注意到，使用power series定義矩陣函數可以保證其存在，並且函
數值也是矩陣。

現在考慮一個函數

其對應的矩陣函數為

以下為矩陣函數 之性質。
1.定義 (A為零矩陣也成立)
因此

2.

3.

滿足反矩陣定義，因此 與 互為反矩陣

4.
Proof:

Ch8 第 44 頁
特別注意到 滿足
這提供了簡便的方法來求

用此公式容易寫成程式

Example: Use the exponential matrix to find a general solution of

.
Solution: The matrix A = I + B where I is the identity matrix while

The separation is due to the fact that

where

and

since

The special fundamental matrix (t) is

The general solution is

Note: The simplicity of the computations in this example is due to the fact that A is an upper
triangular matrix.

Ch8 第 45 頁
Ch8 第 46 頁
Ch8 第 47 頁