121

Chapter 7

Systems of First-Order Linear

Equations

7.1 Introduction

◦ t : independent variable

◦ x1 , x2 , x3 ... : dependent variables which are functions of t

• spring–mass system

◦ The two masses move on a frictionless surface under the influence of external forces F1 (t)
and F2 (t), and they are also constrained by the three springs whose constants are k1 , k2 ,
and k3 , respectively.

◦ Positive direction : motion and displacement to the right.

We have the following equations for the coordinates x1 and x2 of the two masses:
d2 x1
m1 = k2 (x2 − x1 ) − k1 x1 + F1 (t) = −(k1 + k2 )x1 + k2 x2 + F1 (t),
dt2
d2 x2
m2 = −k3 x2 − k2 (x2 − x1 ) + F2 (t) = k2 x1 − (k2 + k3 )x2 + F2 (t).
dt2
7.1. Introduction 122

• parallel LRC circuit

◦ voltage and current are described by the system of equations

dI V
= ,
dt L
dV I V
=− − ,
dt C RC
where L is the inductance, C is the capacitance, and R is the resistance.

Example 1. The motion of a certain spring–mass system (see Example 3 of Section 3.7)
is described by the second-order differential equation
1
u00 + u0 + u = 0.
8
Rewrite this equation as a system of first-order equations.
7.1. Introduction 123

◦ The general equation of motion of a spring–mass system

mu00 + γu0 + ku = F (t)

can be transformed into a system of first-order differential equations as follows.

x01 = x2 ,
k γ 1
x02 = − x1 − x2 + F (t).
m m m

To transform an arbitrary nth order equation

y (n) = F (t, y, y 0 , ..., y (n−1) )

into a system of n first-order differential equations, we let

x1 = y, x2 = y 0 , ..., xn = y (n−1) .

Then, we have
x01 = x2 ,
x02 = x3 ,
·
·
·
0
xn−1 = xn ,
We have more general system as follows.

x01 = F1 (t, x1 , x2 , ..., xn ),

x02 = F2 (t, x1 , x2 , ..., xn ),
·
·
·
x0n = Fn (t, x1 , x2 , ..., xn ),

◦ A solution of this system on the interval I : α < t < β consists of n functions

x1 = φ1 (t), x2 = φ2 (t), ..., xn = φn (t)

where each function is differentiable at all points in interval I and the system of equations
is satisfied at all points in interval I.

With given n initial conditions of the form

x1 (t0 ) = x◦1 , x2 (t0 ) = x◦2 , ..., xn (t0 ) = x◦n ,

It forms an initial value problem.

7.1. Introduction 124

Theorem 7.1.1. Let each of the n functions F1 , ..., Fn and the n2 first partial derivatives
∂F1 ∂F1 ∂Fn ∂Fn
, ..., , ..., , ..., be continuous in a region R of tx1 x2 · · · xn −space defined by
∂x1 ∂xn ∂x1 ∂xn
α < t < β, α1 < x1 < β1 , ..., αn < xn < βn , and let the point (t0 , x◦1 , x◦2 , ...,◦n ) be in R.
Then there is an interval |t − t0 | < h in which there exists a unique solution x1 = φ1 (t), ...,
xn = φn (t) of the system of differential equations that also satisfies the initial conditions.

Theorem 7.1.2. If the functions p11 , p12 , ..., pnn , g1 , ..., , gn are continuous on an open interval
I : α < t < β then there exists a unique solution of the system x1 = φ1 (t), ..., xn = φn (t) that
also satisfies the initial conditions, where t0 is any point in I, and x◦1 , ..., x◦n are any prescribed
numbers. Moreover, the solution exists throughout the interval I.
7.2. Matrices 125

7.2 Matrices
Let A be a m × n matrix as follows.
a11 a12 · · · a1n
 

 a21 a22 · · · a2n 


 · · · 


 · · · 

 · · · 
am1 am2 · · · amn
• Basic definitions for matrices

AT : transpose of A which is obtained from A by interchanging the rows and columns of

A. Thus, if A = (aij ), then AT = (aji ).

A : conjugate of A. Thus, if A = (aij ), then A = (aij ).

T
A∗ : adjoint of A = the transpose of the conjugate matrix A

Example
 
3 2−i
A=
4 + 3i −5 + 2i

◦ square matrix : n × n matrix.

◦ column vector and low vector :

• Properties of Matrices.

1. Equality : two m × n matrices (aij ) and (bij ) are the same if aij = bij for all i, j
2. Zero : The symbol 0 matrix if aij = 0 for all i, j.
3. Addition : for two m × n matrices A = (aij ) and B = (bij ),

A + B = (aij ) + (bij ) = (aij + bij )

So, we have

A + B = B + A, A + (B + C) = (A + B) + C
7.2. Matrices 126

4. Multiplication by a Number : αA = α(aij ) = (αaij ).

So, we have

α(A + B) = αA + αB, (α + β)A = αA + βA and

−A = (−1)A

5. Subtraction : The difference A − B of two m × n matrices is defined by

A − B = A + (−B) = (aij − bij )

6. Multiplication : For A = (aij ) and B = (bij ) are m × n and n × r matrices,

n
!
X
AB = C = (cij ), where (cij ) = aik bkj
k=1

So, we also have the associative law

and the distributive law as follows.

(AB)C = A(BC)

A(B + C) = AB + AC

However, AB 6= BA in general.

Example 1. To illustrate the multiplication of matrices, and also the fact that matrix
multiplication is not necessarily commutative, consider the matrices
   
1 −2 1 2 1 −1
A= 0 2 −1 , B =  1 −1 0 
2 1 1 2 −1 1
7.2. Matrices 127

7. Multiplication of Vectors : For two vectors xT = (x1 , x2 , ..., xn ) and yT = (y1 , y2 , ..., yn ),

we define dot product between them as follows.

n
X
x·y = xT y = xi yi
i=1

We also define the scalar or inner product (x, y) as follows.

n
X
T
(x, y) = x y = x i yi
i=1

Then, we have

(x, y) = (y, x), (x, y + z) = (x, y) + (x, z),

(αx, y) = α(x, y), (x, αy) = α(x, y)

◦ ||x|| := (x, x)1/2 : length, or magnitude of x.

◦ If (x, y) = 0, then the two vectors x and y are said to be orthogonal.

8. Identity : n × n identity matrix I

1 0 ··· 0
 

 0 1 ··· 0 

 · · · 0 
I= 

 · · · 0 

 · · · 0 
0 0 ··· 1

We have

AI = IA = A, if A is an n × n matrix.

9. Inverse and Determinant : The n × n square matrix A is said to be nonsingular or

invertible if there is another matrix B such that AB = I and BA = I, where I is the
n × n identity matrix. If there is such a B, it can be shown that there is only one. It
is called the multiplicative inverse, or simply the inverse, of A, and we write B = A−1 .
Then

AA−1 = A−1 A = I.

Matrices that do not have an inverse are called singular or noninvertible.

7.2. Matrices 128

• How to find the inverse matrix A−1 of A.

◦ Minor Mij :

◦ Cofactor Cij := (−1)i+j Mij

◦ Determinant A or detA
7.2. Matrices 129

Example 2. Find the inverse of

 
1 −1 −1
A =  3 −1 2 
2 2 3
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
130

7.3 Systems of Linear Algebraic Equations; Linear Indepen-

dence, Eigenvalues, Eigenvectors
• Systems of Linear Algebraic Equations

A set of n simultaneous linear algebraic equations in n variables

a11 x1 + a12 x2 + · · · + a1n xn = b1 .
·
·
·
an1 x1 + an2 x2 + · · · + ann xn = bn
can be written in matrix form as

Ax = b,

where the n × n matrix A and the n-dimensional vector b are given, and the components
of the n-dimensional vector x are to be determined. If b = 0, the system is said to be
homogeneous; otherwise, it is nonhomogeneous.

◦ If the coefficient matrix A is nonsingular then there is a unique solution of the system for
any vector b. Since A is nonsingular, A−1 exists. Then we have

x = A−1 b

If A is singular then solutions of equation either do not exist, or do exist but are not unique.

◦ Homogenous system Ax = 0

◦ Nonhomogenous system Ax = b
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
131

• Consider the augmented matrix

 
 a11 · · · a1n b1 
 
 
 · · · 
 
 
 
(A | b) = 
 · · · 

 
 
 · · · 
 
 
 
an1 · · · ann bn

We now perform row operations on the augmented matrix so as to transform A into an

upper triangular matrix—that is, a matrix whose elements below the main diagonal are all
zero.

Example 1. Solve the system of equations

x1 − 2x2 + 3x3 = 7,
−x1 + x2 − 2x3 = −5,
2x1 − x2 − x3 = 4
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
132

Example 2. Discuss solutions of the system

x1 − 2x2 + 3x3 = b1 ,
−x1 + x2 − 2x3 = b2 ,
2x1 − x2 + 3x3 = b3
for various values of b1 , b2 , and b3 .
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
133

• Linear Dependence and Independence.

A collection of k vectors x(1) , · · ·, x(k) is said to be linearly dependent if there exists a set
of real or complex numbers c1 , ..., ck at least one of which is nonzero, such that

c1 x(1) + · · · + c1 x(k) = 0 (7.1)

Otherwise, x(1) , · · ·, x(k) are said to be linearly independent.

◦ Form the n × n matrix X by putting the vector x(j) into column j of X. Thus X = (xij ),
(j)
where xij = xi , the ith component of the vector x(j) . Also let c = (cj ).

Then equation (7.1) can be written as

 (1) (n)
  
x1 c1 + · · · + x1 cn x11 c1 + · · · + x1n cn
· · · ·
   
   
· · = · · =0
  
 
· · · ·
   
 
(1) (n) x c + · · · + x cn
xn c1 + · · · + xn cn n1 1 nn

or, equivalently,

Xc = 0

◦ The set of vectors x(1) , · · ·, x(n) is linearly independent if and only if det X 6= 0.

Example 3. Determine whether the vectors

     
1 2 −4
x(1) =  2  , x(2) =  1 , x(3) = 1 
−1 −13 −11
are linearly independent or linearly dependent. If they are linearly dependent, find a linear
relation among them.
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
134

• Eigenvalues and Eigenvectors

From the equation Ax = y, vectors that are transformed into multiples of themselves are
important in many applications, including finding solutions to systems of first-order linear
differential equations with constant coefficients.

Ax = λx or
(A − λI)x = 0

The latter equation has nonzero solutions if and only if λ is chosen so that

det(A − λI) = 0 (7.2)

◦ Equation (7.2) is a polynomial equation of degree n in λ and is called the characteristic

equation of the matrix A.

◦ Values of λ that satisfy equation (7.2) may be either real- or complex-valued and are called
eigenvalues of A. The nonzero solutions x of the equation Ax = λx that are obtained by
using such a value of λ are called the eigenvectors corresponding to that eigenvalue.

Example 4. Find the eigenvalues and eigenvectors of the matrix

 
3 −1
A=
4 −2
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
135

◦ Normalized : chose the constant c so that ||x|| = k for a fixed constant k (mainly k = 1)

◦ each n × n matrix has n eigenvalues λ1 , ..., λn some of which may be repeated. If a given
eigenvalue appears m times as a root of equation (7.2), then that eigenvalue is said to have
algebraic multiplicity m.

◦ If an eigenvalue has q linearly independent eigenvectors. we say the eigenvalue has

geometric multiplicity q.

◦ We note that 1 ≤ q ≤ m. If each eigenvalue of A is simple (has algebraic multiplicity 1),

then each eigenvalue also has geometric multiplicity 1.

Example 5. Find the eigenvalues and eigenvectors of the matrix

 
0 1 1
A= 1 0 1 
1 1 0
7.3. Systems of Linear Algebraic Equations; Linear Independence, Eigenvalues, Eigenvectors
136

◦ An important special class of matrices, called self-adjoint or Hermitian matrices, are

those for which A∗ = A; that is, aji = aij .

◦ useful properties of the eigenvalues and eigenvectors of Hermitian matrices:

1. All eigenvalues are real.

2. There always exists a full set of n linearly independent eigenvectors, regardless of the
algebraic multiplicities of the eigenvalues.

3. If x(1) and x(2) are eigenvectors that correspond to different eigenvalues, then (x(1) , x(2) ) =
0. Thus, if all eigenvalues are simple, then the associated eigenvectors form an orthogonal
set of vectors.

4. Corresponding to an eigenvalue of algebraic multiplicity m, it is possible to choose m

eigenvectors that are mutually orthogonal. Thus the full set of n eigenvectors can always
be chosen to be orthogonal as well as linearly independent.
7.4. Basic Theory of Systems of First-Order Linear Equations 137

7.4 Basic Theory of Systems of First-Order Linear Equations

To discuss the system
x01 = p11 (t)x1 + · · · + p1n xn + g1 (t),
·
· (7.3)
·
x0n = pn1 (t)x1 + · · · + pnn xn + gn (t)
we write it in matrix notation as follows.

x0 = P(t)x + g(t), (7.4)

where x1 = x1 (t), ..., xn = xn (t) are components of a vector x = x(t); g1 (t), ..., gn (t) are
components of a vector g(t), and p11 (t), ..., pnn (t) are elements of an n × n matrix P(t).

◦ Throughout this section we assume that P and g are continuous on some interval α < t <
β; that is, each of the scalar functions p11 , ..., pnn , g1 , ..., gn is continuous there. According
to Theorem 7.1.2, this is sufficient to guarantee the existence of solutions of equation (7.4)
on the interval α < t < β.

• Homogeneous equation x0 = P(t)x by setting g(t) = 0

◦ Notation

   
x11 (t) x1k (t)

 x21 (t) 


 x2k (t) 

(1)
 ·  (k)
 · 
x (t) =   , . . . , x (t) =  , . . .

 · 


 · 

 ·   · 
xn1 (t) xnk (t)

to designate specific solutions of the homogeneous system.

Theorem 7.4.1 (Principle of Superposition). If the vector functions x(1) and x(2) are
solutions of the system, then the linear combination c1 x(1) + c2 x(2) is also a solution for any
constants c1 and c2 .

Theorem 7.4.2. If the vector functions x(1) , ..., x(n) are linearly independent solutions of the
homogeneous system for each point in the interval α < t < β, then each solution x = x(t) of
the system can be expressed as a linear combination of x(1) , ..., x(n)

x(t) = c1 x(1) (t) + · · · + cn x(n) (t) (7.5)

is exactly one way.

◦ If the constants c1 , ..., cn are thought of as arbitrary, then equation (7.5) includes all
solutions of the homogeneous system, and it is customary to call it the general solution.
Any set of solutions {x(1) , ..., x(n) } of equation that is linearly independent at each point
in the interval α < t < β is said to be a fundamental set of solutions for that interval.
7.4. Basic Theory of Systems of First-Order Linear Equations 138

Theorem 7.4.3 (Abel’s Theorem). If x(1) , ..., x(n) are solutions of homogeneous equation
on the interval α < t < β, then in this interval W [x(1) , ..., x(n) ] either is identically zero or else
never vanishes.
Proof.

dW
= (p11 (t) + p22 (t) + · · · + pnn (t)) W.
dt
Hence ˆ 
W (t) = c exp [p11 (t) + · · · + pnn (t)]dt . (7.6)

The expression for W (t) in equation (7.6) is known as Abel’s formula.

Theorem 7.4.4. Let
     
1 0 0

 0 


 1 


 0 


 0 


 0 


 0 

e(1) =
 ·  , e(2) = 
  ·  , ... , e(n) = 
  · ;


 · 


 · 


 · 

 ·   ·   · 
0 0 1

further, let x(1) , ..., x(n) be the solutions of the homogeneous system that satisfy the initial
conditions
x(1) (t0 ) = e(1) , ..., x(n) (t0 ) = e(n) ,
respectively, where t0 is any points in α < t < β. Then x(1) , ..., x(n) form a fundamental set of
solutions of the system.
Theorem 7.4.5. Consider the system
x0 = P(t)x,
where each element of P is a real-valued continuous function. If x = u(t) + iv(t) is a complex-
valued solution of the equation, then its real part u(t) and its imaginary part v(t) are also
solutions of this equation.
Proof. We substitute u(t) + iv(t) for x in the equation, thereby obtaining
x0 − P(t)x = u0 (t) − P(t)u(t) + i(v0 (t) − P(t)v(t)) = 0

◦ To summarize the results of this section:

1. Any set of n linearly independent solutions of the system x0 = P(t)x constitutes a funda-
mental set of solutions.

2. Under the conditions given in this section, such fundamental sets always exist.

3. Every solution of the system x0 = P(t)x can be represented as a linear combination of

any fundamental set of solutions.
7.5. Homogeneous Linear Systems with Constant Coefficients 139

7.5 Homogeneous Linear Systems with Constant Coefficients

We consider systems of homogeneous linear equations with constant coefficients having the form

x0 = Ax, (7.7)

where A is a constant n × n matrix. We assume that all the elements of A are real (rather than
complex) numbers.

Example 1. Find the general solution of the system

 
0 2 0
x = x.
0 −3
7.5. Homogeneous Linear Systems with Constant Coefficients 140

Example 2. Consider the system

 
1 1
x0 = x.
4 1
Plot a direction field and determine the qualitative behavior of solutions. Then find the general
solution and draw a phase portrait showing several trajectories.
7.5. Homogeneous Linear Systems with Constant Coefficients 141
7.5. Homogeneous Linear Systems with Constant Coefficients 142
7.5. Homogeneous Linear Systems with Constant Coefficients 143

Example 3. Consider the system

 √ 
−3
√ 2
x0 = x.
2 −2
Draw a direction field for this system and find its general solution. Then plot a phase portrait
showing several typical trajectories in the phase plane.
7.5. Homogeneous Linear Systems with Constant Coefficients 144
7.5. Homogeneous Linear Systems with Constant Coefficients 145

• The nature of the eigenvalues and the corresponding eigenvectors determines the nature
of the general solution of the system x0 = Ax. If we assume that A is a real-valued matrix,
then we must consider the following possibilities for the eigenvalues of A:

1. All eigenvalues are real and different from each other.

2. Some eigenvalues occur in complex conjugate pairs.

3. Some eigenvalues, either real or complex, are repeated.

7.5. Homogeneous Linear Systems with Constant Coefficients 146

Example 4. Find the general solution of

 
0 1 1
x0 =  1 0 1  x.
1 1 0