S OLUTION OF LINEAR DIFFERENTIAL EQUATIONS

We want to solve differential equation of the form


(1)

with an initial condition at time .





Theorem: If we can find any two linearly independent a
solutions



 
and (2)


















then the general solution of the system of equations (1)
starting from any given initial condition is








(3)








where the constants and are given by the initial

condition.
a Two solutions are said to be linearly dependent if one is a constant multiple of the other,
i.e., if and .






















Notice that in (1), operates on the vector to give the

vector . Generally the derived vector is different from the


source vector, both in magnitude and direction.

Eigenvector: special directions in the state space such that if
the vector is in that direction, the resultant vector also



lies along the same direction. It only gets stretched or
squeezed.
Eigenvalue: the factor by which any eigenvector expands or
contracts when it is operated on by the matrix .
When the matrix operates on the vector , and if

happens to be an eigenvector, then we can write

where is the eigenvalue. This yields




where is the identity matrix of the same dimension as .


This condition would be satisfied if the determinant

.







Thus





































































This is called the characteristic equation, whose roots are the
eigenvalues. Thus, for a matrix one gets a quadratic



equation — which in general yields two eigenvalues.

Finding Eigenvectors: By the definition of eigenvector,





































This leads to the two equations




(4)























These two equations always turn out to be identical.

 S UMMARY

Eigenvalues are obtained by solving the equation




and the eigenvectors are obtained, for each real eigenvalue,
from the equation







 U SING E IGENVECTORS TO SOLVE DIFF . EQNS .

The definition of eigenvector tells us that if an initial

condition is located on an eigenvector, then the vector




remains along the same eigenvector and therefore the whole
solution also remains along that eigenvector.
The equation (4) may yield three different types of results:
1. eigenvalues real and distinct,
2. eigenvalues complex conjugate,
3. eigenvalue real and equal.
Let and eigenvalues, and eigenvectors.




If we place an initial condition on ,





(dynamics is constrained along the eigendirection). This is
like an 1D differential equation whose solution is

. Therefore the solution of the differential









equation along the eigendirection is





 







Similarly, for any initial condition placed along we have


another solution
 








Therefore the general solution can be constructed as

(5)
 


 






 E XAMPLE

Let the system of equations be given by


(6)










The matrix has eigenvalues and . For ,







the eigenvector is given by . To choose any point on




this eigenvector, set . This gives . Thus


















For this initial condition the solution is















Similarly, for , the eigenvector is . To







choose a point on this eigenvector, take . This gives


. Thus the second eigenvector becomes

















and the solution along this eigenvector becomes














Hence the general solution of the system of differential
equations is




 



 














where the constants and are to be determined from the

initial condition.
For example, if the initial condition is at , then








this equation gives














Solving, we get and . Thus the solution




of the differential equation with this initial condition is


















or, in terms of the individual coordinates












 








 E IGENVALUES COMPLEX CONJUGATE

Complex eigenvalues always occur as complex conjugate


pairs. If is an eigenvalue, is also an










eigenvalue. Let be an eigenvector corresponding to the

eigenvalue . This is a complex-valued vector. It is






easy to check that , the conjugate of the vector , is



associated with the eigenvalue .






Though complex-valued eigenvectors cannot represent any
specific direction in the real-valued state-space, their physical
significance derives from the fact that the eigenvector
equation holds.

This allows us to obtain a solution as

(7)

 






Here the left hand side is a real-valued function and the right
hand side is complex valued, expressible in the form
( ) — which is a linear combination of the functions


and .

Therefore the real part and the imaginary part must

individually be solutions of the differential equation. This
allows us to write two real-valued solutions from which the
general solution can be constructed.
Let us illustrate this with the system of equations


(8)







for which the eigenvalues are . For the









eigenvector equation is



































Thus the eigenvector direction is given by . To






choose a specific eigenvector, we take , so that




is an eigenvector.





 (9)


which is a linear combination of the real part and the


 
 













  

  


 

Thus a complex-valued solution is






 



  


 





 


  




  


 

 



 

   
   

imaginary part.









Hence the two linearly independent real-valued solutions are





and









Therefore a general solution is





(10)

















The other eigenvalue supplies no new information, as it is the
complex conjugate of the first one.
As a final check, one can differentiate and from (10)








to obtain back (8) — which would imply that (10) is really a
solution for (8).

The case of imaginary roots is a special case of this solution,

where . Thus the solutions for imaginary eigenvalues

are






 











(11)














Here also, the values of and have to be obtained from

the initial condition.

To illustrate, let an initial condition be . Substituting






this value of at in (11) we get and .








Thus the trajectory is given by

and


 




 






Thus each state variable follows a sinusoidal variation, while
lags behind by .







Signals and Networks

E IGENVALUES ARE REAL AND EQUAL

We have only one real-valued eigenvector associated with

the eigenvalue . So we have only one solution

 






In this case the rule is to look for a second solution of the
form


(12)


 












so that the general solution is




(13)



 


 
















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EXAMPLE

Let


(14)







Here both the eigenvalues are equal to 1. For this eigenvalue
the eigenvector equation is , so that an eigenvector





. Thus one nontrivial solution is














We now seek another solution of the form (12) with .


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Substituting this into (14) we get










































This reduces to



 












 









Since these equations must hold independent of , each term


in the above equations must be zero.

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Hence









and










Solving these, we have , and .







Since we can take any values of and satisfying these


equations, we take and . This gives another







linearly independent solution of (14) as








 







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Hence the general solution of (14) is





















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Example 2:

L i

E R C v

KCL gives KVL gives













or,










or,




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In matrix form,






















The second order equation can be obtained in terms of or .

Differentiating the first equation,






































or,










 









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We first take the homogenious part:








whose roots are










The critical value of the resistance is given by











or,







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The undamped ( ) natural frequency of oscillation










Now we mould the equation in the form








which demands that










or,







Notice that in this case we have to define as .








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Now let us look at it from the point of view of the

homogenious first order equations :




















To calculate the eigenvalues, .



























or,













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This gives








which is the same equation as derived in the 2nd order case.
Therefore the eigenvalues are the same as the roots of the
characteristic equation.










In terms of and the eigenvalues are:











The eigenvalues will be real for and complex conjugate




for .





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Now let H, F, and , for which the






eigenvalues are real: and .










Substituting the parameter values we have as
























First take and calculate its corresponding







eigenvector.















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The two lines give

and








These are identical equations, giving the eigenvector
. Similarly, for the other eigenvalue







we get the eigendirection .




Now, we select specific (arbitrary) eigenvectors along the
eigendirections. Choose A and V as the first






eigenvector, and V and A along the second.





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i
λ1

λ2

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The solution is straightforward obtained as:



 




















and are to be obtained from the initial conditions.

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Now take H, F, and , for which the







eigenvalues are complex conjugate: .














Substituting the parameter values we have as
























First take and calculate its corresponding
  








eigenvector.



























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