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Dynamic Formulations
O Basic formulation:
Deterministic – 𝑦 = 𝑓(𝑥𝑖, 𝒕)
Dynamic Modelling
dependent independent variable;
variable the simplest: consists of “t”
O The formulation is characterized by either derivatives
(or partial derivatives) of:
Anna Maria Sri Asih O dependent variables with respect to time OR:
Department of Mechanical & Industrial Engineering O Dependent variables for more than one discrete
Gadjah Mada University value of time

discrete dynamical systems

Types of dynamic formulation
(formulation B1 & B3)
O Determine whether there is a long-term approach to
Based on the nature and number of
some regular pattern in the system -> recurrence
independent variables in the formulation relation
Number of Nature of independent variables
independent discrete Continuous
variables O Classification:
=1 B1 B2  linear: no products and/or power of sequence
>1 B3 B4 vars, nor functions of sequenced vars, i.e. log,
exp, trigonometric
a(n+1) = 5a(n-1) + 1000n

discrete dynamical systems

Formulation B1
(formulation B1 & B3)
O Classification (con’t) Number of independent variables = 1
Nature : discrete

 homogenous: the only terms appeared in the O Independent vars: “t” :

recurrence relation are ones that involve a sequence takes discrete value: t1, t2, t3, …
vars  assumes only integer values, so that:
a(n+2) = a3a(n) – a(n+1)  x(t) : indexed sequence x(i), i = integer
a(n+2) = 9a(n) + n (NOT)
O Formulations: difference equation formulations
 the order: subtracting the smallest argument from the O Suited for systems with discrete time characterization
largest argument
a(n-2) = a(n+1) + a(n) + a(n-3)
 (n+1) – (n-3) = 4

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Formulation B1 (cont’d) Formulation B1 (cont’d)

Formulation: t corresponds to time;
Z  dependent vars(output)
General form of a first-order difference
u  independent vars (input) equation:
  parameter

𝑍𝑡+1 = 𝑔𝑡 𝑍𝑡 , 𝑍𝑡−1 , … 𝑍𝑡−𝑚𝑡 ; 𝑢𝑡 , 𝑢𝑡 , … 𝑢𝑡−𝑚𝑡 ; 𝜃𝑡 , −∞ < 𝑡 < ∞ 𝑥𝑛+1 = 𝑓 𝑥𝑛

Simple formulation: g does not change with t

𝑍𝑡+1 = 𝑔 𝑍𝑡 , 𝑍𝑡−1 , … 𝑍𝑡−𝑚𝑡 ; 𝑢𝑡 , 𝑢𝑡 , … 𝑢𝑡−𝑚𝑡 ; 𝜃𝑡 , −∞ < 𝑡 < ∞

f  the new value of the variable at the next
time step from the previous value
In the formulation: keep the “principle of causality”:
 No Zt+j or ut+j, j0

Formulation B1 (cont’d) Formulation B1 (cont’d)

Example: first order linear difference equation:
O Example 1: world population

𝑥𝑛+1 = 𝑎𝑥𝑛 + 𝑏

with a and b are constants. If b=0  becomes the simplest growth model: Let Nt ( N(t))  total population at the end of tth interval
𝑥𝑛+1 = 𝑎𝑥𝑛
The general solution to the equation above: Bt and Dt are the births and deaths in the interval t

𝑥𝑛 = 𝑥0 𝑎𝑛 b and d are birth and death rate

with 𝑥0 is an initial value.
If you know the function f and an initial x0  just do the iteration on the Asume that Bt and Dt are proportional to Nt-1
function to calculate the successive values of xn.
How to build the difference formulation?

Formulation B1 (cont’d) Formulation B3

O Example 2: savings
Number of independent variables > 1
Nature : discrete
You save your money (Rp 1000) in a deposit
with 12% interest a year compounded monthly
at 1% per month. Formulations are similar with B1, except that
there two or more independent vars.
How’s the model the worth
of the deposit savings? All independent vars take discrete values 
dependent vars can be viewed as sequences
with two or more indices

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Formulation B3 (cont’d) Formulation B3 (cont’d)

O Example: world population
Example: Zt,j
 first index: t corresponds to time Let Nt ( N(t))  total population at the end of tth interval
 second index: j corresponds to spatial coordinate Bt and Dt are the births and deaths in the interval t
b and d are birth and death rate
Asume that Bt and Dt are proportional to Nt-1
Ensure “principal of causalty”: Zk+1,j depends on Zm,n
mk More refined characterization :
 no restrictions on n  investigation in J regions
 with Ntj, representing the population in region j at the end of
interval t
𝑍𝑡+1,𝑗 = 𝑔 𝑍𝑡,𝑗 , 𝑍𝑡,𝑗−1 , 𝑍𝑡,𝑗+1 ; 𝑢𝑘,𝑗 ; 𝜃𝑘, 𝑗 𝑗𝑘
𝑓𝑡 represent the number of people migrating from region j to k (j) in the interval t
How is the model formulation for the population changes in region j (1 jJ)?
Formulations: multidimensional difference equation

continuous dynamical system Derivatives

(formulation B2 and B4)
Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins Ordinary Derivatives Partial Derivatives
(B2) (B4)
O Differential equations – integrations (B2): Dependent vars are
continuous functions of the independent var (t) which takes on a
continuous range of values

1. ordinary differential equation:

 dependent var x(t) and its derivatives with respect to t
dy u
2. integral equation: dx y
 dependent var x(t) and integrals of function of x(),   t

3. differential difference equation:

 dependent var x(t) and its lagged value x(-t) and their
derivatives with respect to t u is a function of
y is a function of one more than one
O Partial differential equations – partial integrations (B4) independent variable independent variable
Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins

Differential
Ordinary Differential Equations
Equations (Formulation B2)
Ordinary Differential Equations (ODE) involve one or
more ordinary derivatives of unknown functions with
Ordinary Differential Partial Differential
Equations respect to one independent variable
Equations
Examples :
d2y  2u  2u
 6 xy  1  0 dy
y 2 x 2  y  ex y(x): unknown function
dx2 dx
involve one or more
involve one or more d2y dy
Ordinary derivatives of
partial derivatives of  5  2 y  cos( x)
unknown functions
unknown functions dx 2 dx
x: independent variable
Fin500J Topic 6
Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins

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Classification of ODE Order of a ODE

(Formulation B2 – cont’d) (Formulation B2 – cont’d)
ODE can be classified in different ways The order of an ordinary differential equations is the
O Order order of the highest order derivative
O First order ODE Examples :
O Second order ODE
dy
O Nth order ODE  y  ex First order ODE
O Linearity dx
O Linear ODE d2y dy
O Nonlinear ODE
 5  2 y  cos( x) Second order ODE
dx 2 dx
O Auxiliary conditions 3
O Initial value problems  d y  dy
2
 2
   2 y 4  1 Second order ODE
O Boundary value problems
Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins
 dx  dx
Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins

Linear vs Non-linear ODE Auxiliary conditions ODE

(Formulation B2 – cont’d) (Formulation B2 – cont’d)
An ODE is linear if the unknown function and its derivatives Initial-Value Problems Boundary-Value Problems
appear to power one. No product of the unknown function and/or
its derivatives
an ( x) y n ( x)  an1 ( x) y n1 ( x)    a1 ( x) y' ( x)  a0 ( x) y( x)  g ( x)  The auxiliary conditions are O The auxiliary conditions are not at
at one point of the one point of the independent
independent variable variable
Examples:
O More difficult to solve than initial
dy Linear ODE value problem
 y  ex
dx
2
d y dy y ' '2 y ' y  e 2 x y ' '2 y ' y  e 2 x
 5  2 x 2 y  cos(x) Linear ODE
dx 2 dx y (0)  1, y ' (0)  2.5 y (0)  1, y (2)  1.5
3
 d 2 y  dy
 2    y  1 Non-linear ODE same different
 dx  dx Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins

Solution of ODE
Example of ODE (1)
A solution to a differential equation is a function that
satisfies the equation.
World population, with :
t
Example: Solution x(t )  e N(t) represent the total population at
Proof : time t
dx(t )
 x(t )  0 dx(t )
dt  e t In the interval (t, t+t), N(t) changes
dt due to births and deaths
dx(t )
 x(t )  e t  e t  0 Differential formulation ?
dt
Reference: Philip H. Dybvig - Lecture Notes by Paul Dawkins

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Partial Differential Equations

Example of ODE (2) (Formulation B4)
O PDE:
A new product is introduced to a population of 1 million : an equation that:
of potential customers.  has an unknown function depending at least two variables
 contains some partial derivatives of the unknown function
The rate at which the population hears about the
product is assumed to be proportional to the number of O Independent vars:
people who are not yet aware of the product. 𝑡, 𝑥, 𝑦, 𝑧, … 𝑒𝑡𝑐. : t  time, others  space coordinates

By the end of the first year, half of the population has O Dependent var:
heard of the product. 𝑢 = 𝑢(𝑡, 𝑥, 𝑦, 𝑧, … )

O Partial derivatives:
How many people will have heard of it by the end of the 𝜕𝑢 𝜕2𝑢 𝜕2𝑢
second years? 𝑢𝑡 = 𝜕𝑡
, 𝑢𝑡𝑡 = 𝜕𝑡2
, 𝑢𝑥𝑦 = 𝜕𝑥𝜕𝑦 , 𝑒𝑡𝑐.

Partial Differential Equations Types of PDE

(Formulation B4 cont’d)
(2nd order)
O Order of PDE:
𝑓𝑖𝑟𝑠𝑡 𝑜𝑟𝑑𝑒𝑟 ∶ 𝑢𝑡 = 𝑢𝑥
O Hyperbolic PDE, i.e. wave equation
𝑠𝑒𝑐𝑜𝑛𝑑 𝑜𝑟𝑑𝑒𝑟 ∶ 𝑢𝑡 = 𝑢𝑥𝑥 , 𝑢𝑥𝑦 = 0, physical problems: vibrating systems
𝑡ℎ𝑖𝑟𝑑 𝑜𝑟𝑑𝑒𝑟 ∶ 𝑢𝑡 + 𝑢𝑥𝑥𝑥 = sin(𝑥)
𝑓𝑜𝑢𝑟𝑡ℎ 𝑜𝑟𝑑𝑒𝑟 ∶ 𝑢𝑥𝑥𝑥𝑥 + 𝑢𝑡𝑡 and wave propagation
O Linearity of PDE:
𝑙𝑖𝑛𝑒𝑎𝑟 ∶ 𝑢𝑡𝑡 + exp −𝑡 𝑢𝑥𝑥 = sin 𝑡
O Parabolic PDE, i.e. heat equation
𝑙𝑖𝑛𝑒𝑎𝑟 ∶ 𝑥𝑢𝑥𝑥 + 𝑦𝑢𝑦𝑦 = 0 heat flow and diffusion processes
𝑛𝑜𝑛𝑙𝑖𝑛𝑒𝑎𝑟 ∶ 𝑢𝑢𝑥𝑥 + 𝑢𝑡 = 0
𝑛𝑜𝑛𝑙𝑖𝑛𝑒𝑎𝑟 ∶ 𝑢𝑥 + 𝑢𝑦 + 𝑢2 = 0 O Elliptic PDE, i.e. Laplace equation
O Homogeneity: homogeneous if the free term (RHS) is
ℎ𝑜𝑚𝑜𝑔𝑒𝑛𝑒𝑜𝑢𝑠 ∶ 𝑢𝑡𝑡 − 𝑢𝑥𝑥 = 0
steady state phenomena (mechanical
𝑛𝑜𝑛ℎ𝑜𝑚𝑜𝑔𝑒𝑛𝑒𝑜𝑢𝑠 ∶ 𝑢𝑡𝑡 − 𝑢𝑥𝑥 = 𝑥 2 sin(𝑡) equilibrium, thermal equilibrium)

Example of PDE: River pollution

O Pollutant concentration changes due to:

1. diffusion Based on Ficks’ law :

(parameters: D=diffusion coefficient), T ( x, t )
J  D
2. transportation t
(parameter: U =speed)
Based on diffusion continuity
O Concentration amount changes at x after
t, due to: T ( x, t ) T ( x, t )  2T ( x, t )
 U D
t x x 2
1. traveling pollutant to x+x

2. additional pollutant (due to Range of independent vars:

diffusion) at x
-L1 ≤ x ≤ L2, 0 ≤ t ≤ ∞