where A and B are arbitrary constants.

Both of these equations are homogeneous linear dierential equations with constant coecients. An nth -order linear dierential equation is of the form

Linear Dierential Equations Math 130 Linear Algebra

D Joyce, Fall 2012 Its important to know some of the applications of linear algebra, and one of those applications is to homogeneous linear dierential equations with constant coecients.

an f n (t) + + a2 f (t) + a1 f (t) + a0 f (t) = b. that is, some linear combination of the derivatives up through the nth derivative is equal to b. In general, the coecients an , . . . , a1 , a0 , and b can be any functions of t, but when theyre all scalars (either real or complex numbers), then its a linear dierential equation with constant coecients. When b is 0, then its homogeneous. For the rest of this discussion, well only consider at homogeneous linear dierential equations with constant coecients. The two example equations are such; the rst being f kf = 0, and the second being f + f = 0.

What is a dierential equation? Its an equation where the unknown is a function and the equation is a statement about how the derivatives of the function are related. Perhaps the most important dierential equation is the exponential dierential equation. Thats the one that says a quantity is proportional to its rate of change. If we let t be the independent variable, f (t) What do they have to do with linear algethe quantity that depends on t, and k the constant bra? Their solutions form vector spaces, and the of proportionality, then the dierential equation is dimension of the vector space is the order n of the equation. f (t) = kf (t). The rst example was the rst-order equation f kf = 0. Its solutions were Aekt where A was Its general solution is an arbitrary constant. The set of these solutions is a vector space because the 0 function is one sof (t) = Aekt lution, theyre closed under addition, and theyre where A is an arbitrary constant. This dierential closed under multiplication by constants. The second example was the second-order equaequation has applications as the exponential model of population growth, radioactive decay, compound tion f + f = 0. Its solutions, A cos t + B sin t form a two-dimensional vector space. interest, Newtons law of cooling, and lots more. In general the set of solutions will always be a Another important dierential equation is the one that the sine and cosine function satises. For vector space. The zero function is always a solution; both of those functions, their second derivative is thats because were only considering homogeneous their negation. They satisfy the dierential equa- dierential equations. If f and g both satisfy the equation, then so does f + g. Finally, if c is a scalar tion and f satises the equation, so does cf . f (t) = f (t). Thats called a second order dierential equation since the second derivative is involved. The general So, how do you solve these equations, and why does the dimension of the solution space solution to this dierential equation is equal the order of the equation? Lets take f (t) = A cos t + B sin t an example to illustrate it. It should be general 1

enough to show the method, but not two compli- You can use Eulers identity to convert between the cated. Consider the fourth-order equation two forms. We still have the other factor (D 2)2 to deal f 4f + 5f 4f 4f = 0. with. The double root at 2 complicates the soluThe trick is to treat derivatives as dierential tions. Ill leave out the derivation 2of the solution operatorsthings which operate on functions. We to the dierential equation (D 2) t = 0, and just give its general solution, f (t) = Cte2t + Det2 . You d as is common in can check that it works. Analogous solutions can could denote this operator as dt calculus, but a simple uppercase D makes it eas- be found when there are multiple roots rather than ier to see whats going on. Then the dierential just double roots. equation looks like In summary, this example dierential equation, f 4f + 5f 4f 4f = 0, has the general D4 f 4D3 f + 5D2 f 4Df 4f = 0, solution and that can be rewritten as f (t) = Aeit + Beit + Cte2t + Det2 . We havent shown that there arent any other solutions, but well skip that part since were just doing Now, I chose this example to factor nicely. The a survey on the topic, not a whole course. dierential operator D4 4D3 +5D2 4D4 factors as (D2 + 1)(D2 4D + 4), which further factors as Dynamical systems. You might ask, are these (D2 + 1)(D 2)2 . That rst quadratic polynomial, really important? Yes. Linear dynamical systems D2 + 1, is irreducible over R but factors over C, are modelled using these equations. so to make things easier, well work over C. That In such a system you have several things that gives us the factorization into linear factors change over time. Suppost theyre the quantities 2 x, y, and z. Some of these things aect others pos(D i)(D + i)(D 2) . itively, some negatively. If x aects y positively, The Fundamental Theorem of Algebra assures us then y will have a term kx where k is positive, but that we can always factor an nth degree polynomial if negatively, then k is negative. A linear dynamical into linear factors over C, so what happened in this system is a system of linear equations like example will also happen in the general case. The + 2y z x = Fundamental Theorem of Algebra connnects the ory = 2x der of the dierential equation to the dimension of z = y 3z the solution space. Now we can break down the dierential equations For this example, x and y aect each other posiinto linear pieces. We can solve (D i)f = 0 since tively in a positive feedback loop, and y positively its just the exponential dierential equation. It has aects z, but z negatively aects x and itself. Although its a system of three linear dierential solutions f (t) = Aeit . Likewise (D+i)f = 0 has the it equations, its equivalent to one third order diersolutions f (t) = Be . That gives us solutions for (D2 + 1)f = 0, namely Aeit + Beit . Note that we ential equation. Dynamical systems like this are used in physics, already saw a dierent description of the solutions for this equation, f f = 0, and that was as chemistry, biology, economics, and almost any subA cos t + B sin t. The connection between the two ject that calls itself a science. forms of the solutions is Eulers identity Math 130 Home Page at it http://math.clarku.edu/~djoyce/ma130/ e = cos t + i sin t. 2 (D4 4D3 + 5D2 4D 4)f = 0.