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Applications of Differential and

Difference Equations

Dr. Bhupesh Dutt Sharma

Department of Mathematics
VIT-AP University Amaravati
Amaravati A.P

December 17, 2019


Outline of Course
Module-1-Matrix methods
Introduction
Linear System of Equations
Eigenvalue and Eigenvector
Module-2-Differential equations with variable coefficients
Sturm Liovilles Problem
Series Solution
Module-3-Fourier series
Fourier Series
Module-4-Difference equations and Z-Transforms
Difference Equation
Z-Transform
Inverse Z Transform
Solution of Difference Equation by Z Transform
Module-1-Matrix methods
Introduction

Matrix
A matrix is the rectangular arrays system of numbers,
functions and vectors.
Example
   
1 2 3   1
(a) 3 2 3 (b) 1 2 3
 (c) 2 or In general

0 5 4 3
A = [aij ]
The matrix with one row only is known as row matrix (b) and
with one column only known as column matrix (c).
Addition of Matrix
If A = [aij ]andB = [bij ] are both m × n matrices, then their
sum is defined to m × n matrix A + B = [aij + bij ].
Multiplication of matrix
If A = [aij ] be n × k and B = [bij ] be are both k × m
matrices, then their productAB is defined to m × n matrix,
whose i, j element is

ai1 b1j + ai2 b2j + ...........aik bkj .

Theorem
Let A, B, C be matrices. Then the following operation are
defined
I A+B=B+A
I A(B + C) = (AB + AC)
I A(BC) = (AB)C
I cAB = (cA)B = A(cB), c is any scalar.
Some Basic Definitions
I A matrix is known as square matrix if rows and columns
are equal.
I Trace of the matrix is defined as the sum of all diagonal
elements i.e ni=1 aii = Trace.
P
I Upper Triangular matrix A: aij = 0 for i > j.
I Lower Triangular matrix A: aij = 0 for i < j.
I Diagonal Matrix A: aij = 0 for i 6= j.
I Scalar matrix A: a diagonal matrix with aii = k for every i
and k is a constant.
Inverse of a Matrix
Let A be a square matrix. The another square matrix B is said
to be the inverse of matrix A (written as A−1 ) iff AB = I or
AA−1 = I , where I is the identity matrix. The Inverse of any
matrix is given as:
1
A−1 = adj(A)
det(A)
Transpose of Matrix
The transpose of matrix of m × n A = [aij ] is the n × m
matrix AT , read as A transpose.
Example  
a11 a12 a13
AT = [aji ] or A = a21 a22 a23  then
 a
31 a32 a33
a11 a21 a31
T
A = a12 a22 a32 

a13 a23 a33
Properties of the Transpose
I For any matrix A

(At )t = A.

I If the product AB is defined then


t t t
Symmetric Matrix
A matrix is said to be symmetric matrix whose transpose is
equal to the itself and skew symmetric matrix are the
matrix whose transpose is equal to the negative of itself the
matrix. i.e
A = At (symmetric) and A = −AT (skew symmetric)
A real square matrix A can we written as the sum of symmetric
and skew symmetric matrix i.e.

A + A0 A − A0
A= +
2 2
Example
A computer production company produced two model HP70
and HP72. The matrix A shows the cost per computer and B
shows the production for the year 2017. Find a matrix shows
the shareholders cost per quarter for raw material, labour and
others.

HP70 HP72 1 2 3 4
 
10 12  
3 8 6 9
A=3 4 B=
6 2 4 3
5 6
Elementary Row operation
Let A be any square matrix then
I Interchange of two row.
I Addition of constant multiple of one row to another row.
I Multiplication of a row by a non zero constant.

Example 
−2 1 6 −3
1 1 2 5
Let A = 
0

9 3 7
2 −3 4 11
Theorem
Let A be an m × n matrix. Suppose B is formed from A by an
elementary row operation. Let E be the matrix formed by
performing this row by In . then

B = EA (1.1)
Row Reduced Echelon Form

An n × m is in row reduced echelon form if it satishfies the


following conditions
I The leading entry of each non zero row is 1.
I if any row has its leading entry in column j, then all other
elements of column j are zero.
I If row i is a non zero row and row k is zero row then
i < k.
I If the leading entry of row r1 is in column c1 , and the
leading entry of row r2 is in column c2 , and r1 < r2 then
c1 < c2 .
when a matrix satisfies these condition, we will say that matrix
is in row reduced echelon form.
Example  
1 0 0 2 1
0 1 0 −2 4
The matrix A = 
0

0 1 0 1
0 0 0 0 0

Example
Find 
the row reduced
 echelon form of the matrix
2 0 1
A = 0 −4 6 .
2 −2 5

Example
 
0 0 0 0 0
0 0 2 0 0
A=
0

1 0 1 1
0 0 3 0 4
Linear System of Equations
A linear system of m equation in n unknown x1 ...., xn is a set
of equations of the form

a11 x1 + .... + a1n xn = b1


a21 x1 + .... + a2n xn = b2
...............................
am1 x1 + .... + amn xn = bm (1.2)

The constants a11 ....amn are known as the coefficients. If the


right hand side constants i.e. b1 .......bm are all zero then
system is known as the homogeneous system of equations
otherwise it is known as nonhomogeneous system of
equations.
Matrix form of the Linear System:
The linear system of equation in matrix form written as:

Ax = b (1.3)

where the A = [aij ] is known as the coefficient matrix


 oforder
  x1
a11 a12 ... a1n .
 
 a21 a22 ... a2n 
 , and x =  .  and
 
m × n i.e A =   . . ... .  .
 
am1 am2 ... amn .
xn
 
b1
 . 
 
 . 
b=  .  are column vectors.

 
 . 
bm
Solution of Linear System of equation by Gauss
Elimination Method:

The Gauss Elimination method is based on backward substi-


tution and convert the system of equation in upper triangular
form.
Example
Find the solution of the system of equation 2x1 + 5x2 = 2 and
−4x1 + 3x2 = −30 by Gauss Elimination method.
Example
Find the current i1 , i2 and i3 in the following circuit By Gauss

Elimination method:
Linear Independence and Independence
let the x1 , x2 , .........xn are the vectors of some vector space of
dimension n, a linear combination of these vectors can be
express in the form:

a1 x1 + a2 x2 + .......an xn

let the above linear combination is equal to zero i.e

a1 x1 + a2 x2 + .......an xn = 0 (1.4)

So from the above equation if all the ai0 s are equal to zero
then all the vectors xi0 s are called as linearly independent other
wise if at least one ci is non zero then it is known as linearly
dependent.
Rank of a Matrix
The maximum number of linearly independent row of a given
matrix A is known as the rank of the matrix. It is denoted by
rank(A) or r (A).
Theorem
For any non zero matrix the number of linearly independent
row or linearly independent column is known as the rank of the
matrix.
Theorem
The row rank and column rank are always equal.
Example
Consider the 4 − touple vectors
u1 = (2, 0, 1, 3), u2 = (0, 1, 1, 1), u3 = (2, 2, 3, 0) show that
wether they are L.I or L.D.
Example  
2 1 −3 4
2 4 −2 5 
Find the rank of the following matrix: 
0

3 1 3
2 1 −3 −2
Non homogeneous System of Equation

A non homogeneous system of m equation in n unknown x1 ...., xn


is a set of equations of the form

a11 x1 + .... + a1n xn = b1


a21 x1 + .... + a2n xn = b2
...............................
am1 x1 + .... + amn xn = bm (1.5)

The constants a11 ....amn are known as the coefficients. The


matrix form of this can be:

Ax = b (1.6)

where the A = [aij ] is known as the coefficient matrix of order


m × n i.e
   
  x 1 b1
a11 a12 ... a1n .
 
 . 
 
 a21 a22 ... a2n 
 , and x =  .  and b =  . .
   
A =   . . ... .  .
 
 . 
 
am1 am2 ... amn  .   . 
xn bm
We Call AX = b is consistent if it has a solution and inconsis-
tent if it has no solution.
Let we define a new matrix known as Augmented Matrix with
the coefficient matrix A and the RHS vector b such as:
 
a11 a12 ... a1n : b1
 a21 a22 ... a2n : b2 
B=  .
 (1.7)
. ... . : 
am1 am2 ... amn : bm
Theorem
Consider the linear system Ax=b, where A is m × n. There is
1. no solution iff r (A|b) 6= r (A),
2. a unique solution iff r (A|b) = r (A) = n,
3. System has infinite no. of solutions iff r (A|b) = r ()A = r
is less then n, in terms of an (n − r ) number of unknowns.

Example

Find that the Following system of Equations is consistant or not


if yes then find the solution:
(i)

−3x + 2y + 2z = 8
x + 4y − 6z = 1
−2y − 2z = −2
(ii)

−3x + 2y + 2z = 8
x + 4y − 6z = 1
−2x + 6y − 4z = 9

(iii)

−3x + 2y + 2z = 8
x + 4y − 6z = 1
−2x + 6y − 4z = −2
Homogeneous System of Equation

A homogeneous system of m equation in n unknown x1 ...., xn is


a set of equations of the form

a11 x1 + .... + a1n xn = 0


a21 x1 + .... + a2n xn = 0
...............................
am1 x1 + .... + amn xn = 0 (1.8)

The constants a11 ....amn are known as the coefficients. The


matrix form of this can be:

Ax = 0 (1.9)

where the A = [aij ] is known as the coefficient matrix of order


m × n i.e
   
  x 1 0
a11 a12 ... a1n .
 
0
 
 a21 a22 ... a2n 
 , and x =  .  and b =  . . We
   
A=  . . ... .  .
 
.
 
am1 am2 ... amn  .  .
xn 0
Call AX = 0 is always consistent since X = 0 will always be the
solution.
Theorem
Consider The homogeneous system of equation Ax=0 then
1. System is consistent and has trivial Solution x = 0 always,
2. Unique solution x = 0 iff, r (A) = n, i.e. trivial solution.
3. A non trivial solution iff r (A) = r < n in terms of (n − r )
number of unknowns i.e. infinite solution.
Theorem
A homogeneous system of equation Ax=0 has non trivial
solution iff det(A) = 0.
Example
Check the consistency of following system of equation and find
the solution:
(i)
−4x1 + x2 − 7x3 = 0
2x1 + 9x2 − 13x3 = 0
x1 + x2 + 10x3 = 0
(ii)
−4x1 + x2 − 7x3 = 0
2x1 + 9x2 − 13x3 = 0
−6x1 − 8x2 + 6x3 = 0
Vector Space Rn
The vector space R n consisting of all vectors with n
components (n real numbers) has dimension n.
Row Space and Column Space
The row space and the column space of a matrix A have the
same dimension equal to the rank A.
Theorem
Let Ax = b be linear system of equation. If A is n × n matrix
and det(A) 6= 0 the Ax = b has unique solution given as
x = A−1 b.
Random Walk in Crystal
An atom may jump from a site it occupies to an adjacent.
unoccupied one, and then proceed from there to other site,
making a random walk through the crystal.
We can represents this lattice of location by drawing a point
for each location and a line between points exactly when an
atom can move directly from one point to the other point in
the crystal. Such diagram is called a graph.

A walk of length n in a graph is sequence v1 , v2 , v3 .......vn+1 of


points(not necessarily different), with each vj adjancent to
vj+1 . Such a walk represents a possible path an atom might
take over n edges (may be some repeated) through various
sites in the the crystal.
Definition (Adjacency Matrix)
Define a adjacency matrix A = [aij ] of the graph to be the
n × n matrix having

1 if vi is adjacent tovj in the graph
aij = (1.10)
0 if there is no line between vi and vj

Theorem (Matrix Tree Theorem)


Let G be a graph with vertices labeled v1 , v2 , .....vn . Form an
n × n matrix T = [tij ] as follows. If i = j,then tij is the
number of the lines to vi in the graph. If i 6= j, then tij = 0 if
there is no line between vi and vj in G , and tij = −1 if there is
there is such a line. Then all cofactors of T are equal and
their common value is the number of spanning tree in G .
The matrix associated with this matrix will be:
In this shear mapping the red arrow changes direction but the
blue arrow does not. The blue arrow is an eigenvector of this
shear mapping because it does not change direction, and since
its length is unchanged, its eigenvalue is 1.
Eigenvalue and Eigenvectors
Let A be an square matrix. A real number λ associated to The
matrix A is said to an eigenvalue (characteristic value) if there
exist a vector x associated to λ such that

Ax = λx

or

(A − λI )x = 0

this vector x associated to each eigenvalue λ is known as the


eigenvector (characteristic vector).
How to find eigenvalue

Let A be a square matrix of order n and λ be the eigenvalue


value then

(A − λI )x = 0 or Bx = 0

has trivial solution x = 0 iff B or det(A − λI ) 6= 0 and non


trivial or non zero solution iff

det(A − λI ) = 0 or |A − λI | = 0

the above equation is the an algebraic equation which is known


as the Characteristic equation and resulting polynomial of
degree n in λ is known as the characteristic polynomial.
Example
 
1 2
A=
1 0
Solution:
equation det(A − λI ) = 0
Characteristic

1 − λ 2
= 0, i.e λ2 − λ − 2 = 0
1 −λ
λ = 2, λ = −1
Example
Find
 the eigen
 value and eigen vector of the following matrix
2 2 1
1 3 1
1 2 2
Properties of Eigenvalue

Let A be any square matrix, properties of eigen value is as


followings:
I Trace: The sum of the diagonal elements of A is known
as the trace of A is equal to the sum of eigen value.
I Determinate of A Determinante of A is equal to the
product of eigen value.
I A and AT has same eigen value.
I If all the eigen value is non zero then then |A| =
6 0 i.e., A
is non singular.
I If at least one eigen value is zero then |A| = 0 i.e. matrix
is singular.
I If λ is an eigen value of A then λ1 will be the eigen value
of A−1 .
I The eigen value of kA is kλ.
Definition (Characteristics Polynomial)
If A is an n × n matrix, then det(A − λI ) is a polynomial of
degree n, of the form

λn − (trA)λn−1 + (tr (adjA)λn−2 ... + (−1)n det(A) (1.11)

Theorem
Suppose the n × n matrix A has n distinct eigenvalues. Then
A has n linearly independent eigenvectors.
Theorem
The eigenvalue of real symmetric matrix are real and the
eigenvectors associated to distinct eigenvalues are orthogonal
to each other.
Properties of Eigenvector
I The eigenvector corresponding to the eigenvalue are
always non zero.
I The set of eigenvectors are always linearly independent.
Example
An elastic membrane in the x1 x2 − plane with boundary circle
x − 12 + x22 = 1 is stretched so that a point P(x1 , x2 ) goes
over into the point Q(y1 , y2 ), given by

y1 = 5x1 + 3x2
y2 = 3x1 + 5x2

Find the principal direction that is, the direction of the


position vector x of P for which the direction of the position
vector y of Q is the same or exactly opposite. What shape
does the boundary circle take under this deformation.
Theorem (Cayley Hamilton Theorem)
Every square matrix satisfies its own characteristics equation.
Let A be a square matrix with eigenvalue λ whose characteristics
equation is given by:

D(λ) = λn + cn−1 λn−1 ...............c1 λ + c0 = 0

then by Cayley Hamilton theorem

An + cn−1 An−1 + ................c1 A + c0 I = 0


Example
Verify Cayley Hamilton theorem for
1 2
A= Find A−1 and determine A8 .
2 −1

Example
Verify Cayley Hamilton
 theorem for the matrix
1 2 3
A = 2 4 5 and hence find A−1 .
3 5 6
Definition
A real square matrix A = [aij ] is said to be an orthogonal
matrix if its transpose gives the inverse of A.

AT = A−1 (1.12)

Definition
An orthogonal transform are the transformations such as

y = Ax (1.13)

where A is an orthogonal matrix.


Orthonormalaty of the Column Vectors
A real square matrix is orthogonal iff its column (or row)
vector a1 , a2 ......an form an orthonormal system, that is,

T 0 if j 6= k
ai .ak = aj ak = (1.14)
1 if j = k
Theorem
A symmetric matrix has an orthonormal basis of eigenvectors
of Rn .
Theorem
The determinant of orthogonal matrix is +1 or −1.
Similar Matrix
A square matrix A is said to be similar to B if there exist a
non singular matrix P such that

B = P −1 AP

Results
I Similar matrix A and B have same eigenvalues.
I If X is the eigenvector of A then Y = P −1 X is an
eigenvector of B.
Diagonalization
A square matrix A of order n with n L.I eigenvectors is similar
to a diagonal matrix D whose diagonal elements are the
eigenvalues of A.

D = P −1 AP (1.15)

where P is the matrix with eigenvectors as column vectors.


Power of Matrix
Let D = P −1 AP then

D 2 = (P −1 AP)(P −1 AP)
= P −1 A2 P

Similarly,

D n = P −1 An P or
An = PD n P −1
Example
Find a matrix
 P which diagonalize the matrix
4 1
A= . Verify that P −1 AP = D where D is a diagonal
2 3
matrix. hence find A6 .
Example
 
5 −4 4
A = 12 −11 12
4 −4 5
Find the eigenvalue and eigenvectors. Check whether the
matrix is diagonalizable or not if yes then diagonalize it.

Example  
1 6 1
Diagonalize the matrix A = 1 2 0.
0 0 3
Quadratic Form

A Quadratic form Q in the components x1 , x2 , .......xn of a vector


x is a sum of n2 term such as

Q = x T Ax for example take x1 , x2


Q = a11 x12 + a22 x22 + 2a12 x1 x2
  
  a11 a12 x1
Q = x1 , x2
a21 a22 x2

We assume that A is symmetric matrix.


We know that the eigenvectors of A are orthogonal i.e. the form
a orthonormal basis.
Let P be the matrix of eigenvectors that is orthogonal i.e.
P −1 = P T
Therefore,

A = PDP −1 = PAP T (1.16)

So

Q = x T PDP T x. (1.17)

If we have P T x = y , then, since P T = P −1 , then we have


P −1 x = y , therefore

x = Py (1.18)

and the therefore the quadrtic form will become

Q = y T Dy = λ1 y12 + λ2 y22 + .....λn yn2 . (1.19)


Theorem (Principle Axes Theorem)
Let A be areal symmetric matrix with distinct eigenvalue
λ1 , λ2 ........λn . Then there is an orthogonal matrix P such that
the change of variables X = PY transform the quadratic form
X T AX in to
n
X
λj yj2 . (1.20)
j=1

Example
Find out what type of conic section the following quadratic
form represents and transform it to principal axes form.

Q = 17x12 − 30x1 x2 + 17x22 = 128. (1.21)


The theory of Linear Differential Equation

Let us consider the system of first order linear differential equa-


tions as

y10 = a11 y1 + a12 y2 ...........a1n yn + g1 (x)


y20 = a21 y1 + a22 y2 .........a2n yn + g2 (x)

yn0 = an1 y1 + an2 y2 ...........ann yn + gn (x) (1.22)

If g1 (x)..........gn (x) = 0 the system is known as homogeneous


otherwise non homogeneous.
The above system of equation (1.22) can be wrtitten as
 0
y1     
y20  a11 a12 ........a1n y1 g1 (x)
   a21 a22 ........a2n  y2  g2 (x)
 ..  = 
  ...... ...... ..............  ..  +  ..  (1.23)
   
 .. 
an1 a2n .........ann yn gn (x)
yn0

Or

Y 0 = A(x)Y + G (x) (1.24)

we are here consider only homogeneous system.


Solution of Homogeneous System of ODE
Let us consider the homogeneous system of Equations

X 0 = AX (1.25)

where A is real coefficient matrix of constants.


Let us assume X = Ee λt is the solution where E is n × n matrix
we have

(Ee λt )0 = AEe λt
E λe λt = AEe λt
AE = λE

Which is true if λ is an eigenvalue with corrosponding eigenvec-


tor E .
Theorem
Let A be an n × n matrix of real numbers. If λ is an eigenvalue
with associated eigenvector E , then Ee λt is a solution of X 0 =
Ax.
Homogeneous system LODE-Diagonalization
Method

Let us consider the homogeneous system of linear differential


equations

Y 0 = AY (1.26)

when n×n matrix A is diagonalizable. Suppose ∃ a non singular


matrix P such that

D = P −1 AP (1.27)
 
d1 0 0 .........0
 0 d2 0 .........0 
D=  .. ..
 (1.28)
.. ........... 
0 0 0 .............dn
then the solution of the system Y 0 = AY will be
 d x
c1 e 1
c2 e d2 x 
P .. 
 (1.29)
cn e dn x

Example
0
Determine
 the
 general solution of Y = AY where
1 2
A=
−2 2
Example
Solve the initial value problem
   
2 −3 −3 1
Y 0 =  2 −2 −2 Y Y (0) = 0 (1.30)
−2 1 1 0
Converting Differential Equation in First order
System of Equation

Every Linear differential equation can be converted in to linear


system of equations.
Example
Convert the following differential equation in system of linear
equations

y 00 + 3y 0 + 2y = 0 (1.31)

Solution
let y = v1 and y 0 = v2 = v10 then
y 00 = −3y 0 − 2y
v20 =  −3v
 2 − 2v1 and
0
 v1 = v2 can be written as
0

v1 0 1 v1
0 =
v2 −2 −3 v2
Example (Mixing Problems)

Two tank are


connected with pipe. Tank 1 contain 20 litters of water in
which 150 gram of chlorine are dissolved. Tank 2 contain 50
gram of chlorine dissolved in 10 litres of water. At t = 0 pure
water is pumped in to tank 1 at a rate of 3 lt/min. other
information is given in figure. Determine the amount of
chlorine in each tank at time t.
Example (Mass Spring System)

The free motion of mass spring system is given as


c k
my 00 + cy 0 + ky = 0 or y 00 = − y 0 − y (1.32)
m m
let y = y1 and y 0 = y2 the the above system is converted in
k c
y10 = y2
y20 = − y1 − y2
m m
  
0 0 1 y1
Y = AY = −k −c (1.33)
m m
y2
Let us take m = 1, c = 2 and k = 0.75
eigenvalue fro this
 system
 λ1 = −0.5 and λ2 = −1.5. with
2 1
eigenvector x1 = and x2 =
−1 −1.5
Solution of Type X 0 = AX + G

Let us consider X = PZ where P diagonalize A. Put in to


differential equation
X 0 = (PZ )0 = PZ 0 = A(PZ ) + G (1.34)
Pz 0 = (AP)Z + G (1.35)
0 −1
Z = DZ + P G (1.36)
from equation (1.36) we get an uncoupled sustem of first or-
der ODE which can we solved separately and the the general
solution will be
X = PZ (1.37)

Example    
0 3 3 8
Let us consider X = X+
1 5 4e 3t
Solution of Type X 00 = AX

Let X = PZ then System will converted in to uncoupled system


as

Z 00 = DZ (1.38)

then solve it separately.


Example

then system of ODE will be

y100 = −3y1 − 2(y1 − y2 ) = −5y1 + 2y2 (1.39)

y200 = −2(y2 − y1 ) = 2y1 − 2y2 (1.40)


Example

then system of ODE will be

y100 = −3y1 − 2(y1 − y2 ) = −5y1 + 2y2 (1.39)

y200 = −2(y2 − y1 ) = 2y1 − 2y2 (1.40)


Example
Module-2
Definition (Sturm-Liouville Problem)
A Sturm-Liouville problem is an end point problem of the form
 
d dy
r (x) + [q(x) + λp(x)]y = 0 (a < x < b) (2.1)
dx dx

A1 y (a)−A2 y 0 (a) = 0 and B1 y (b)+B2 y 0 (b) = 0 (2.2)


with neither A1 , A2 both zero nor B1 , B2 both zero. The
parameter λ in above equation is known as the ’eigenvalue’ for
we have to discussed the solution.
The equation (2.1) is known as the Sturm-Liouville Differential
equation.
Regular Sturm-Liouville Problem
The differential equation (2.1) wit boundary condition

A1 y (a) − A2 y 0 (a) = 0 and B1 y (b) + B2 y 0 (b) = 0 (2.3)

with neither A1 , A2 both zero nor B1 , B2 both zero is known as


the Regular Sturm-Liouville Problem.
Periodic Sturm-Liouville Problem
The differential equation (2.1) with r (a) = r (b) and boundary
condition

y (a) = y (b) and y 0 (a) = y 0 (b) = 0 (2.4)

with neither A1 , A2 both zero nor B1 , B2 both zero is known as


the Regular Sturm-Liouville Problem.
Regular Sturm-Liouville Problem
The differential equation (2.1) wit boundary condition

A1 y (a) − A2 y 0 (a) = 0 and B1 y (b) + B2 y 0 (b) = 0 (2.3)

with neither A1 , A2 both zero nor B1 , B2 both zero is known as


the Regular Sturm-Liouville Problem.
Periodic Sturm-Liouville Problem
The differential equation (2.1) with r (a) = r (b) and boundary
condition

y (a) = y (b) and y 0 (a) = y 0 (b) = 0 (2.4)

with neither A1 , A2 both zero nor B1 , B2 both zero is known as


the Regular Sturm-Liouville Problem.
Problem
Discussed the solution of Regular Sturm-Liouville problem

y 00 + λy = 0; y (0) = y (L) = 0 (2.5)

on interval [0, L].


Problem
The problem

y 00 + λy = 0; y (−L) = y (L), y 0 (−L) = y 0 (L) (2.6)

is periodic on [−L, L]. Discussed the solution.


Problem
Discussed the solution of Regular Sturm-Liouville problem

y 00 + λy = 0; y (0) = y (L) = 0 (2.5)

on interval [0, L].


Problem
The problem

y 00 + λy = 0; y (−L) = y (L), y 0 (−L) = y 0 (L) (2.6)

is periodic on [−L, L]. Discussed the solution.


Orthogonal Function
Function y1 (x), y2 (x), ..... defined over sum interval [a, b] are
called orthogonal on this interval with respect to weight
function r (x) > 0 if for all m and all n different from m,
Z b
(ym , yn ) = r (x)ym (x)yn (x)dx = 0 (m 6= n), (2.7)
a

(ym , yn ) is the slandered notation for this integral.


Norm ym
The norm kym k of ym is defined as
s
p Z b
kym k = (ym , ym ) = r (x)ym2 (x)dx. (2.8)
a
Orthonormal Function
Function y1 (x), y2 (x), ..... defined over some interval [a, b] are
called orthonormal on this interval with respect to weight
function r (x) > 0 if for all m and all n different from m,
Z b 
0 if m 6= n
(ym , yn ) = r (x)ym (x)yn (x)dx = δmn =
a 1 if m = n
(2.9)

Example
The differential equation of vibration of string is given as
y 00 + λy = 0, y (0) = 0, y (π) = 0.
Here λ = ρTω where ρ is density, ω is angular velocity and T is
the tension force. Show that the eigenfunction of this problem
form an orthogonal set on the interval.
Theorem
Suppose we have a Sturm-Liouville problem on an interval
[a, b], then
I If φ is an eigenfunction, then so is cφ for any non zero
real number c.
I Let λm and λn be distinct eigenvalues of the problem,
with corresponding eigenfunctions φm and φn . Then
Z b
p(x)φn (x)φm (x)dx = 0 (2.10)
a

where p is the coefficient of λ in the Sturm-Liouville


Differential equation (ry 0 )0 + (q + λp)y = 0.
I Every eigenvalue of the Strum-Liouville problem is real
Orthogonal Series
Let y0 , y1 ...... be orthogonal with respect to a weight function
r (x) on an interval [a, b], and let f (x) be a function that can
be represented by a convergent series

X
f (x) = an yn (x) = a0 y0 (x) + a1 y1 (x) + ..... (2.11)
n=0

is called an orthogonal series, orthogonal expansion,or


generalized Fourier series. If ym are the eigenfunction of S.L.P
then equation (2.11) is called eigenfunction expansion.
Expansion of Function
Suppose the eigenvalues λn and corresponding eigenfunction
φn for n = 1, 2, .... and f (x) be a given function, we want to
write

X
f (x) = cn φn (x) (2.12)
n=1

then the coefficient cn is given as


Rb
p(x)f (x)φn (x) dx
cn = a R b (2.13)
a
p(x)φ2n (x) dx

Example
Expand f (x) = x 2 (1 − x) for y 00 + λy = 0; y 0 (0) = y 0 ( π2 ) = 0.
in term of its eigenfunctions
Series Solution

General form of Second Order Differential Equation

Let us consider a homogeneous linear second order differential


equation with variable

d 2y dy
a0 (x) 2
+ a1 (x) + a2 (x)y = 0 (2.14)
dx dx
let as assume a0 (x) 6= 0 then above equation will be

d 2y dy
2
+ P(x) + Q(x)y = 0 (2.15)
dx dx
a1 (x) a2 (x)
Known as normal form, where P(x) = a0 (x)
, Q(x) = a0 (x)
Definition (Analytic Function)
A function f (x) is said to be analytic at x0 if f (x) has Taylor’s
series expansion about x0 given as:

X f n (x0 )
(x − x0 )n
n=0
n!

exist and converges to f (x).


Definition (Ordinary Point or Regular Point)
A point x0 is said to regular point of the above given
differential equation (2.2), if both P(x) and Q(x) are analytic
at x0 .
If a function is not analytic at x0 then it is said to have singularity
at x0 .
Definition ( Singular Point)
A point x0 is said to be singular point of above given
differential equation(2.2) if either P(x) or Q(x0 ) or both are
not analytic at x0 .
Definition (Regular Singular Point)
A singular point x0 is said to be regular singular point if both
(x − x0 )P(x) and (x − x0 )2 Q(x) are analytic at x0 . Other wise
it is called irregular point.
Example
Find the Singularity of the following

(1 − x 2 )y 00 + 2y 0 − 3y = 0, x 3 (x − 1)y 00 + 2(x − 1)y 0 + 5xy = 0


Power Series

An expression in the form of


c0 + c1 (x − x0 ) + c2 (x − x0 )2 ..............cn (x − x0 )n ...... or
X∞
cn (x − x0 )n
n=0
is known as the power series of x about x = x0 . The constants
c0 , c1 ......cn known as coefficients and x0 is known as the center
of the power series.
Theorem
If x0 is a regular point of differential equation (2.2), then a
general solution of (2.2) is obtained as linear combination of
two linearly independent power series solution of the form

X
cn (x − x0 )n (2.16)
n=0
and both power series converge in some interval |x − x0 | <
R(R > 0).
Solution about Regular Point
Let x = x0 is the regular point of the differential equation
y 00 + P(x)y 0 + Q(x)y = 0. we assume a power series solution
as

X
y= an (x − x0 )n (2.17)
0

then find y 0 , y 00 and y put in to the given differential equation


and then collect the coefficient of x 0 , x 1 , x 2 .....x n . Find the
recurrence relation for coefficient, put in to equation (2.17) to
get series solution.
Example
Find the power series solution of
y 00 + x 2 y = 0 about x = 0.
Example
Find the power series expansion of
00 0
(1 − x 2 )y − 2xy + 2y = 0
Example
Find power series solution of y 0 + 2xy = 1
1−x
.
Frobenius Method

The solution about regular singular point x0 can be obtained by


an extension of the power series method known as the Frobenius
Method. In this method we consider power series such as:

X ∞
X
(x − x0 )r cn (x − x0 )n or cn (x − x0 )n+r
n=0 n=0

Definition (Indicial equation)


An equation of the for [r (r − 1) + p0 r + q0 ]a0 = 0 is known as
the indicial equation.
Example
Solve x 2 y 00 + 5xy 0 + (x + 4)y = 0.
Frobenius Solution
I If indicial equation has distinct root the say r = r1 , r2
then solution will be
y1 = x r1 (a0 + a1 x + a2 x 2 ......) and
y2 = x r2 (A0 + A1 x + A2 x 2 ......).
I If indicial equation has equal root say r1 = r2 = r then
solution will be
y1 = x r (a0 + a1 x + a2 x 2 ......) and
y2 = y1 (x) ln x + x r (A1 x + A2 x 2 ......).
I If indicial equation has root differ by an integer say r1 , r2
then solution will be
y1 = x r1 (a0 + a1 x + a2 x 2 ......) and
y2 = ky1 ln x + x r2 (A1 x + A2 x 2 ......).
Example

00 00 0
xy + y = 0, x(x − 1)y + (3x − 1)y + y = 0
Example (Case-2)
solve x 2 y 00 + x( 12 + 2x)y 0 + (x − 12 )y = 0

Example (case-3)
Solve x 2 y 00 + 5xy 0 + (x + 4)y = 0.
Definition (Legendre’s Differential Equation)
Legendre’s differential equation is defined as
00 0
(1 − x 2 )y − 2xy + n(n + 1)y = 0 (2.18)

where n is a parameter which depends on the physical


quantity. The solution of Legendre’s differential equation is
known as Legendre’s polynomials .
Problem
Find the series solution of Legendre’s equation.
Legendre’s polynomials
The resulting solution of Legendre’s equation is known as
Legendre’s polynomial of degree n and is denoted by Pn (x)
given as:
M
X (2n − 2m)!
Pn (x) = (−1)m x n−2m (2.19)
m=0
2n m!(n− m)!(n − 2m)!

where M = n2 or n−1 2
which ever is integer.
The first five polynomial solutions are

P0 (x) = 1, P1 (x) = x
1 1
P2 (x) = (3x 2 − 1), P3 (x) = (5x 3 − 3x)
2 2
1 1
P4 (x) = (35x − 30x + 3), P5 (x) (63x 5 − 70x 3 + 15x)
4 2
8 8
Theorem (Rodrigues’s Formula)
For n = 0, 1, 2.....
1 dn
Pn (x) = n n
((x 2 − 1)n ) (2.20)
2 n! dx

Proof.
Let w = (x 2 − 1)n . then w 0 = n(x 2 − 1)n−1 . then

(x 2 − 1)w 0 − 2nxw = 0 (2.21)

d nw
differentiate the function n + 1 times and show that is
dx n
the solution.
Generating Function
1
If we expand G (x, t) = √1−2xt+t 2 in a power series of t, then

the coefficient of t is exactly the nth Legendre polynomial.i.e


n


1 X
G (x, t) = √ = Pn (x)t n (2.22)
1 − 2xt + t 2 n=0

Example
Show Pn (1) = 1
Example
Show Pn (−x) = (−1)n Pn (x)
Example
express 2 − 3x + 4x 2 in terms of Legendre polynomials.
Generating Function
1
If we expand G (x, t) = √1−2xt+t 2 in a power series of t, then

the coefficient of t is exactly the nth Legendre polynomial.i.e


n


1 X
G (x, t) = √ = Pn (x)t n (2.22)
1 − 2xt + t 2 n=0

Example
Show Pn (1) = 1
Example
Show Pn (−x) = (−1)n Pn (x)
Example
express 2 − 3x + 4x 2 in terms of Legendre polynomials.
Theorem
The Legendre’s Polynomials Pn (x) are orthogonal on the
interval −1 ≤ x ≤ 1.
Z 1
Pn (x)Pm (x) = 0 if m 6= m (2.23)
−1

and
Z 1
2
Pn (x)Pm (x) = if m = m (2.24)
−1 2n + 1

Problem
Find the recurrence relations between Legendre’s polynomials.
Theorem (Laplace’s First Integral for P n (x))
For n = 0, 1, 2, 3....... the Legendre Polynomial can evaluated
as
1 π
Z √
Pn (x) = (x + x 2 − 1 cos θ)n dθ. (2.25)
π 0

Example
Let Pn (x) be the Legendre polynomial of degree n. Show that
for any function f (x), for which the nth derivatives is
continuous,
Z 1
(−1)n 1 2
Z
f (x)Pn (x) dx = n (x − 1)n f n (x) dx. (2.26)
−1 2 n! −1

Example
R +1
Evaluate the value of −1
x 2 Pn+1 (x)Pn−1 (x) dx.
Fourier-Legendre Series
Suppose f (x) is defined for −1 ≤ x ≤ 1. Then the expansion
of the function f (x) in terms of Legendre’s polynomial is given
as

X
f (x) = cn Pn (x). (2.27)
n=0

where
R1
−1
f (x)Pn (x) dx
cn = R1 (2.28)
P 2 (x) dx
−1 n

The expansion (2.26) is called the Fourier-Legendre Series and


cn0 s is called the Fourier Legendre coefficients of f .
Example
Let f (x) = cos πx
2
for −1 ≤ x ≤ 1. Find the Fourier Legendre
Series.
Bessel’s Equation
An equation is in the form
00 0
x 2 y + xy + (x 2 − ν 2 )y = 0 (2.29)

Find the solution of Bessel’s Equation.


Definition ( Bessel’s Functions)
The first solution of Bessel’s differential equation is known as
the Bessel’s function of first and denoted by Jn (x) given as:

n
X (−1)m x 2m
Jn (x) = x (2.30)
m=0
22m+n m!(n + m)!
Bessel’s Equation
An equation is in the form
00 0
x 2 y + xy + (x 2 − ν 2 )y = 0 (2.29)

Find the solution of Bessel’s Equation.


Definition ( Bessel’s Functions)
The first solution of Bessel’s differential equation is known as
the Bessel’s function of first and denoted by Jn (x) given as:

n
X (−1)m x 2m
Jn (x) = x (2.30)
m=0
22m+n m!(n + m)!
since the Bessel’s equation is second order the we have to find
second L.I solution. We know that the indicial equation has
two roots r = ±ν, therefore second solution is depend on the
difference of 2ν of the roots, as
Case-1 If 2ν is not integer, then Jν and J−ν will be the solution,
and the general solution will be

y (x) = aJν (x) + bJ−ν (x). (2.31)

Case-2 If 2ν is positive integer say 2ν = 2n + 1 then the general


solution will be

y (x) = aJn+ 1 (x) + bJ−n− 1 (x). (2.32)


2 2

Case-3 If 2ν is an integer but not in the form 2n + 1. then in this


case we Jν and J−ν will be the solution but not L.I and
J−ν (x) = (−1)n Jν (x).
Definition (Bessel’s Function of Second Kind)
From the case-3 we define another linear independent solution
which is known as Bessel’s function of second kind and define
as
" ∞
#
2 X (−1)n [φ(k) + φ(k + 1)] 2k+n
Yn (x) = Jn [γ + ln x] + x
π k=1
22k+n+1 k!(k + n)!
n−1
2 X (n − k − 1)! 2k−n
− x
π k=0 22k−n+1 k!

γ is called Euler’s constant.


The Bessel’s second kind function for non integer value can
also be written as
1
Y n (x) = [Jν (x) cos(νπ) − J−ν (x)] (2.33)
sin(νπ)
Example
solve the differential equation 9x 2 y 00 − 27xy 0 + (9x 2 + 35)y = 0
Example q
2
n

Prove (i) J−ν (x) = (−1) Jν (x) (ii) J− 1 (x) = πx
sin(x).
2

Theorem
The general solution of Bessel’s differential equation for any
ν = n is given as:

y (x) = AJn (x) + BYn (x) (2.34)

Recurrence Relation of Bessel’s Function


Application of Legendre and Bessel’s Equation
Example
If a, b, c are constant and n is any non negative integer the
solution of the Bessel equation of the form

a2 − v 2 c 2
   
00 2a − 1 0 2 2 2c−2
y + y + b c x + y =0
x x2
(2.35)

will be

x a Jν (bx c ) and x a Yν (bx c ) (2.36)

so the general solution will be

c1 x a Jν (bx c ) + c2 x a Yν (bx c ) (2.37)


Example (The critical Length of a Vertical Rod)
Consider a thin elastic rod of uniform density and circular
cross section, clamped to the vertical position. The rod is
clamped in a vertical position. The critical length LC is the
transition between these two states. If L ≥ LC , the rod
remains bent, but if L < LC , it returns to the vertical after a
small displacement. We want to derive an expression for LC .
SO the equation is given as

Z x
00
EIy (x) = w [y (ξ) − y (x)]dξ (2.38)
0
Example (The critical Length of a Vertical Rod)
Consider a thin elastic rod of uniform density and circular
cross section, clamped to the vertical position. The rod is
clamped in a vertical position. The critical length LC is the
transition between these two states. If L ≥ LC , the rod
remains bent, but if L < LC , it returns to the vertical after a
small displacement. We want to derive an expression for LC .
SO the equation is given as

Z x
00
EIy (x) = w [y (ξ) − y (x)]dξ (2.38)
0
after simplifying the differential equation will be
w 0
y 000 (x) + xy = 0 (2.39)
EI
after simplifying the differential equation will be
w 0
y 000 (x) + xy = 0 (2.39)
EI
let y 0 = u there fore we get

w
u 00 + xu = 0 (2.40)
EI
For solution use the standard form as Bessel’s equation.
after simplifying the differential equation will be
w 0
y 000 (x) + xy = 0 (2.39)
EI
let y 0 = u there fore we get

w
u 00 + xu = 0 (2.40)
EI
For solution use the standard form as Bessel’s equation.
Example (Symmetrical vibration of a stretched
string)
Image a very thin piece of drum skin, aluminium foil, or sheet
rubber stretched uniformly in circular frame. The eqaution of
vibration string is
Module-3-Fourier series
Definition
Even and Odd Function A f (x) is said to be even if
f (−x) = f (x) and odd if f (−x) = f (x).
Definition
Periodic Function A f (x) is said to be periodic with period
T if f (x + T ) = f (x), T > 0.
Theorem
Any real valued function f (x) can written as sum of even and
odd function as:
f (x) + f (−x) f (x) − f (−x)
f (x) = +
2 2
Fourier Series
Let f (x) be a real values function defined over some domain
D and periodic with period 2l. The Fourier series of f (x) is
defined as:
∞ h
X nπx nπx i
f (x) = a0 + an cos( ) + bn sin( ) (3.1)
n=1
l l

where
Z l
1
a0 = f (x)dx (3.2)
2l −l
Z l
1 nπx
an = f (x) cos( )dx (3.3)
l −l l
Z l
1 nπx
bn = f (x) sin( )dx (3.4)
l −l l
If f (x) is even then Fourier series of f (x)
∞ h
X nπx i
f (x) = a0 + an cos( ) (3.5)
n=1
l
where
Z l
1
a0 = f (x)dx (3.6)
l −l

2 l
Z
nπx
an = f (x) cos( )dx (3.7)
l −l l
for f (x) is odd then the Fourier series of f (x)
∞ h
X nπx i
f (x) = bn sin( ) (3.8)
n=1
l
where
Z l
2 nπx
bn = f (x) sin( )dx (3.9)
l −l l
Example
Find the Fourier series of
f (x) = x, x 2 , x + x 2 , e x for − 1 < x < 1
Example
Find the Fourier transform of a periodic signal function f (x)
passes through
 a analog signal
−k if − π < x < 0
f (x) =
k if 0 < x < π

Example
a sinusoidal voltage E sin ωt where t is time, is passed through
a half wave rectifier that clips the negative portion of the wave
find the Fourier series of resulting periodic function:

0 if − L < t < 0,
u(t) = (3.10)
E sin ωt if 0 < t < L
Fourier Half Range Series
If f is defined over the half interval 0 ≤ x ≤ L. We can write a
Fourier cosine series and Fourier Sine series for f on [0, L].
Cosine Series
Suppose f (x) is defined for 0 ≤ x ≤ L. To get pure Cosine
series on this interval we defined

a0 X nπx
f (x) = + an cos( ) (3.11)
2 n=1
L

where
Z L
2 nπx
an = f (x) cos( ) dx (3.12)
L 0 L

Example
Let f (x) = e 2x for 0 ≤ x ≤ 1 find half range Fourier Cosine
Fourier Half Range Series
If f is defined over the half interval 0 ≤ x ≤ L. We can write a
Fourier cosine series and Fourier Sine series for f on [0, L].
Cosine Series
Suppose f (x) is defined for 0 ≤ x ≤ L. To get pure Cosine
series on this interval we defined

a0 X nπx
f (x) = + an cos( ) (3.11)
2 n=1
L

where
Z L
2 nπx
an = f (x) cos( ) dx (3.12)
L 0 L

Example
Let f (x) = e 2x for 0 ≤ x ≤ 1 find half range Fourier Cosine
Sine Series
Let f (x) is defined over [0, L]. We can defined Sine series that
contains only Sine terms as

X nπx
f (x) = bn sin( ) (3.13)
n=1
L

where
Z L
2 nπx
bn = f (x) sin( ) dx (3.14)
L 0 L

Example
Let f (x) = e 2x for 0 ≤ x ≤ 1 find half range Fourier sine
series.
Sine Series
Let f (x) is defined over [0, L]. We can defined Sine series that
contains only Sine terms as

X nπx
f (x) = bn sin( ) (3.13)
n=1
L

where
Z L
2 nπx
bn = f (x) sin( ) dx (3.14)
L 0 L

Example
Let f (x) = e 2x for 0 ≤ x ≤ 1 find half range Fourier sine
series.
Theorem (Parseval’s Theorem)
Let f be continuous function on [−L, L] and let f 0 be
piecewise continuous. then the Fourier coefficients of f on
[−L, L] satisfy
∞ L
a02 X 2
Z
1
+ (an + bn2 ) = f (x)2 dx. (3.15)
2 n=1
L −L

and we can define Parseval’s Identity for half range series as


∞ ∞
a02 X 2 2 L L
Z Z
X 2
+ an = f (x)2 dx. bn2 = f (x)2 dx.
2 n=1 L 0 n=1
L 0

(3.16)

Example
Find P
The Fourier Series of cos(x/2) on [π, π] and hence show
that ∞ 1 π 2 −8
n=1 (4n2 −1)2 = 16 .
Theorem (Parseval’s Theorem)
Let f be continuous function on [−L, L] and let f 0 be
piecewise continuous. then the Fourier coefficients of f on
[−L, L] satisfy
∞ L
a02 X 2
Z
1
+ (an + bn2 ) = f (x)2 dx. (3.15)
2 n=1
L −L

and we can define Parseval’s Identity for half range series as


∞ ∞
a02 X 2 2 L L
Z Z
X 2
+ an = f (x)2 dx. bn2 = f (x)2 dx.
2 n=1 L 0 n=1
L 0

(3.16)

Example
Find P
The Fourier Series of cos(x/2) on [π, π] and hence show
that ∞ 1 π 2 −8
n=1 (4n2 −1)2 = 16 .
Definition (Fundamental Period)
Let a function has period p if f (x + p) = f (x) for all x. The
smallest positive p for which this hold is called the fundamental
period of f . For example sin(x) has fundamental period 2π.
Phase angle Form
When each an 6= 0, the phase angle form of the Fourier series
of f (x) on [− p2 , − p2 ] is

a0 X
f (x) = + cn cos(nωx + δn ), (3.17)
2 n=1
p
where ω = 2π p
, cn = an2 + bn2 and δn = − arctan( bann ).
This phase angle form also called the Harmonic form of the
Fourier series for f (x) on [− p2 , − p2 ]. The term cos(nωx + δn )
is called the nth harmonic of f , cn is the nth harmonic
amplitude and δn is nth phase angle of f .
Definition (Fundamental Period)
Let a function has period p if f (x + p) = f (x) for all x. The
smallest positive p for which this hold is called the fundamental
period of f . For example sin(x) has fundamental period 2π.
Phase angle Form
When each an 6= 0, the phase angle form of the Fourier series
of f (x) on [− p2 , − p2 ] is

a0 X
f (x) = + cn cos(nωx + δn ), (3.17)
2 n=1
p
where ω = 2π p
, cn = an2 + bn2 and δn = − arctan( bann ).
This phase angle form also called the Harmonic form of the
Fourier series for f (x) on [− p2 , − p2 ]. The term cos(nωx + δn )
is called the nth harmonic of f , cn is the nth harmonic
amplitude and δn is nth phase angle of f .
Example
If f (x) = x 2 on 0 ≤ x < 3 find Phase angle form if
f (x + 3) = f (x).
Example (Solution Of ODE by Fourier)
Let a mass spring system under non-sinusoidal periodic driving
force with mass m = 1g , c = o.05g /sec and k = 25g /sec 2 is
given as

y 00 + 0.05y 0 + 25y = r (t) (3.18)

where
t + π2

if −π <t <0
r (t) = π (3.19)
−t + 2
if 0<t<π

r (t + 2π) = r (t) find the steady state solution.


Example
If f (x) = x 2 on 0 ≤ x < 3 find Phase angle form if
f (x + 3) = f (x).
Example (Solution Of ODE by Fourier)
Let a mass spring system under non-sinusoidal periodic driving
force with mass m = 1g , c = o.05g /sec and k = 25g /sec 2 is
given as

y 00 + 0.05y 0 + 25y = r (t) (3.18)

where
t + π2

if −π <t <0
r (t) = π (3.19)
−t + 2
if 0<t<π

r (t + 2π) = r (t) find the steady state solution.


Harmonic Analysis
Let The Fourier series of a function f (x) with peroid 2π is
defined as

a0 X
f (x) = + (an cos(nx) + bn sin(nx)) (3.20)
2 n=1

where
1 2π
Z
a0 = f (x)dx = 2 Mean Value of f(x) (3.21)
π 0
1 2π
Z
an = f (x) cos(nx)dx = 2 Mean Value of f (x) cos(nx)
π 0
(3.22)
Z 2π
1
bn = f (x) sin(nx)dx = 2 Mean Value off (x) sin(nx)
π 0
(3.23)
So from the Fourier Series We have
the First harmonic = a1 cos x + b1 sin x
Second harmonic= a2 cos 2x + b2 sin 2x
and so on.............
Example
Find the Fourier series expansion of the y = f (x) up to two
harmonic from the given tabular data.
x 0 π3 2π 3
π 4π3

3
y .8 .6 .4 .7 .9 1.1
Module-4-Difference equations and
Z-Transforms
Definition
Difference Equation- Suppose we consider a sequence of
numbers a0 , a1 , a2 , ......... is defined by certain general
relationship between ai0 s such as:

A1 an+1 + A2 an+2 ..........An an+m = f (n) (4.1)

or

A1 a(n + 1) + A2 a(n + 2)..........An a(n + m) = f (n) (4.2)

is known as the difference equation.


Example
The number of rabbits on a farm increases by 8% per year in
addition to the removal of 4 rabbits per year for adoption. The
farm starts out with 35 rabbits. Let yn be the population after
n years. We can write the difference equation

y = 1.08y −4 y = 35 (4.3)
Definition
Difference Equation- Suppose we consider a sequence of
numbers a0 , a1 , a2 , ......... is defined by certain general
relationship between ai0 s such as:

A1 an+1 + A2 an+2 ..........An an+m = f (n) (4.1)

or

A1 a(n + 1) + A2 a(n + 2)..........An a(n + m) = f (n) (4.2)

is known as the difference equation.


Example
The number of rabbits on a farm increases by 8% per year in
addition to the removal of 4 rabbits per year for adoption. The
farm starts out with 35 rabbits. Let yn be the population after
n years. We can write the difference equation

y = 1.08y −4 y = 35 (4.3)
Example
The population of a country is currently 70 million, but is
declining at the rate of 1% per year. Let yn be the population
after n years. Difference equation showing how to compute yn
from yn−1 .
Difference Equation-Steady State
The steady state or long-run value represents an equilibrium,
where there is no more change in yn . We call this value y∞
b
yn = ayn−1 + b ⇒ y∞ = . (4.4)
1−a
Example
The population of a country is currently 70 million, but is
declining at the rate of 1% per year. Let yn be the population
after n years. Difference equation showing how to compute yn
from yn−1 .
Difference Equation-Steady State
The steady state or long-run value represents an equilibrium,
where there is no more change in yn . We call this value y∞
b
yn = ayn−1 + b ⇒ y∞ = . (4.4)
1−a
First Order Difference Equation
A difference equation is in the form

y (n + 1) = ay (n) + b (4.5)

is known as the first order difference equation.


The solution of the first order difference equation is given as:
an − 1
y (n) = an y (0) + b a 6= 1 (4.6)
a−1
if we take steady state
First Order Difference Equation
A difference equation is in the form

y (n + 1) = ay (n) + b (4.5)

is known as the first order difference equation.


The solution of the first order difference equation is given as:
an − 1
y (n) = an y (0) + b a 6= 1 (4.6)
a−1
if we take steady state
Example
Let x(n + 1) − 2x(n) + 4 = 0 where x(0) = 3. Find the
solution.
The solution is given as:
n −1
x(n) = 2n (3) + (−4) 22−1

Problem
An amount of USD10, 000 is deposited in a bank account with
an annual interest rate of 4%. Determine the balance of the
account after 15 years. This problem leads to the difference
equation b(n + 1) = 1.04b(n), b(0) = 10, 000
If the equation is given in the form

y (n + 1) = a(n)y (n) + b(n) (4.7)

then the solution is given as


n−1
! n−1 n−1
!
Y X Y
yn = a(k) y (0) + a(j) c(k). (4.8)
k=0 k=0 j=k+1

Example
Find the solution of the difference equation

x(n + 1) = 2x(n) + n x(0) = 5. (4.9)


Definition (Shift Operator-E)
The Shift operator is defined as

E (x(n)) = x(n + 1) (4.10)

Definition (Difference Operator- ∆)


The difference operator is defined as

∆ = ∆(x(n)) = x(n + 1) − x(n). (4.11)


Definition (Shift Operator-E)
The Shift operator is defined as

E (x(n)) = x(n + 1) (4.10)

Definition (Difference Operator- ∆)


The difference operator is defined as

∆ = ∆(x(n)) = x(n + 1) − x(n). (4.11)

Note
The relation between these two operator is

∆=E −I (4.12)
Definition (Shift Operator-E)
The Shift operator is defined as

E (x(n)) = x(n + 1) (4.10)

Definition (Difference Operator- ∆)


The difference operator is defined as

∆ = ∆(x(n)) = x(n + 1) − x(n). (4.11)

Note
The relation between these two operator is

∆=E −I (4.12)
Second Order Linear Difference Equation
The general form of second order linear difference equation is
given as:

x(n+2)+b(n)x(n+1)+c(n)x(n) = f (n), n ∈ N (4.13)

here b(n), c(n), f (n) are the given sequence.


If f (n) = 0 the equation is known as the homogeneous
difference equation otherwise inhomogeneous.
The Linear Difference Equation with Constant
Coefficient-
In equation (4.13), if the coefficients b(n), c(n) are constant
then it is linear difference equation with constant coefficients.
Solution of Homogeneous Difference Equation
(xc (n))

Let us consider the second order difference equation

x(n + 2) + bx(n + 1) + cx(n) = 0, c 6= 0 (4.14)

Let x(n) = λn is the solution then above equation will be:

λn+2 + bλn+1 + cλn = 0

or

λ2 + bλ + c = 0 (4.15)

The equation (4.15) is known as the characteristics equation


which has two roots say λ1 , λ2 then,
Case-1 When roots are distinct and real
In this case the solution is given as:

x(n) = c1 λn1 + c2 λn2 (4.16)

Case-2, When roots are real and equal


When roots are real and equal say λ1 = λ2 = λ then solution
will be

x(n) = c1 λn + c2 nλn (4.17)


Case-1 When roots are distinct and real
In this case the solution is given as:

x(n) = c1 λn1 + c2 λn2 (4.16)

Case-2, When roots are real and equal


When roots are real and equal say λ1 = λ2 = λ then solution
will be

x(n) = c1 λn + c2 nλn (4.17)

Case-3, When roots are imaginary Roots are imaginary say


a ± ib then solution will be

x(n) = c1 (a + ib)n + c2 (a − ib)n (4.18)

or

ρn (c1 cos nθ + c2 sin nθ) (4.19)

where ρ = |λ| and θ = arg (a + ib).


Case-1 When roots are distinct and real
In this case the solution is given as:

x(n) = c1 λn1 + c2 λn2 (4.16)

Case-2, When roots are real and equal


When roots are real and equal say λ1 = λ2 = λ then solution
will be

x(n) = c1 λn + c2 nλn (4.17)

Case-3, When roots are imaginary Roots are imaginary say


a ± ib then solution will be

x(n) = c1 (a + ib)n + c2 (a − ib)n (4.18)

or

ρn (c1 cos nθ + c2 sin nθ) (4.19)

where ρ = |λ| and θ = arg (a + ib).


Example
solve the difference equation

x(n + 1) + x(n + 1) − 2x(n) = 0. (4.20)

Example
solve the difference equation

x(n + 1) + 6x(n + 1) + 9x(n) = 0. (4.21)

Example
solve the difference equation

x(n + 2) − x(n + 1) + x(n) = 0. (4.22)


Solution of Inhomogeneous difference equationxp (n)

The inhomogeneous difference equation is defined as


x(n + 2) + bx(n + 1) + cx(n) = f (n), n∈N (4.23)
The general solution of the equation (4.20) is given as
x(n) = xc (n) + xp (n) (4.24)

Method of Undetermined Coefficients:-


Case-1 if f (n) = an

If the RHS function f (n) = an then solution will be obtain by


assuming x(n) = can and then collect the coefficients both side.
Example
Let x(n + 2) + 2x(n + 1) − 3x(n) = 4.2n
Solution of Inhomogeneous difference equationxp (n)

The inhomogeneous difference equation is defined as


x(n + 2) + bx(n + 1) + cx(n) = f (n), n∈N (4.23)
The general solution of the equation (4.20) is given as
x(n) = xc (n) + xp (n) (4.24)

Method of Undetermined Coefficients:-


Case-1 if f (n) = an

If the RHS function f (n) = an then solution will be obtain by


assuming x(n) = can and then collect the coefficients both side.
Example
Let x(n + 2) + 2x(n + 1) − 3x(n) = 4.2n
Case -2, If f (n) = cos(an), sin(an)

The consider the solution as xp (n) = A cos(an) + B sin(bn) and


then put in original equation, collect the coefficient of cos(an)
and sin(bn), simplify it find the value of A and B.
Problem
We will find the complete solution to the equation
x(n + 2) + 4x(n) = cos(2n)
Problem
We will find the complete solution to the equation
x(n + 2) − x(n + 1) − 6x(n) = 3 cos(n) + 4 sin(4n)
Case -2, If f (n) = cos(an), sin(an)

The consider the solution as xp (n) = A cos(an) + B sin(bn) and


then put in original equation, collect the coefficient of cos(an)
and sin(bn), simplify it find the value of A and B.
Problem
We will find the complete solution to the equation
x(n + 2) + 4x(n) = cos(2n)
Problem
We will find the complete solution to the equation
x(n + 2) − x(n + 1) − 6x(n) = 3 cos(n) + 4 sin(4n)
Case-III- If f (n) = nk

If f (n) = nk where k is an integer then we assume the solution


in the form x(n) = c0 + c1 n + c2 n2 ......ck nk and then collect the
coefficients and find the value of c0 , c1 .....ck .
Problem
We will find the complete solution to the equation
x(n + 2) − x(n + 1) − 6x(n) = 36n
Standard Form of undetermined coefficients:
Example ( Samuelson’s model )
Samuelson’s model of interaction between the multiplier and
the accelerator.

Ct = C0 + cYt−1 , 0 < c < 1.


It = I0 + v (Ct − Ct−1 ); v > 0.
Yt = Ct + It

The symbols Y, C, I stand for national income, consumption


and investment respectively. The first equation is the
consumption function with a one-period lag; the second is the
investment function of the accelerator type. C0 + I0 are the
levels of autonomous consumption and investment. The
marginal propensity to consume c and the accelerator
coefficient v are assumed to be constant. after simplifying
these three equation we get a combined equation:

Yt − c(1 + v )Yt−1 + cvYt−2 = C0 + I0 (4.25)


Example ( Samuelson’s model )
Samuelson’s model of interaction between the multiplier and
the accelerator.

Ct = C0 + cYt−1 , 0 < c < 1.


It = I0 + v (Ct − Ct−1 ); v > 0.
Yt = Ct + It

The symbols Y, C, I stand for national income, consumption


and investment respectively. The first equation is the
consumption function with a one-period lag; the second is the
investment function of the accelerator type. C0 + I0 are the
levels of autonomous consumption and investment. The
marginal propensity to consume c and the accelerator
coefficient v are assumed to be constant. after simplifying
these three equation we get a combined equation:

Yt − c(1 + v )Yt−1 + cvYt−2 = C0 + I0 (4.25)


Example
The integers 0, 1, 1, 2, 3, 5, 8, 13, 21, , n are said to form
a Fibonacci sequence. Form the Fibonacci difference equation
and solve it.
Formation of Difference Equation-
Problem

Problem
Find the difference equation to represent the system in the
given figure having input and output sequence {xk } and {yk }
respectively, where D is the unit delay block and a and b are
constant feedback gains.
Formation of Difference Equation-
Problem

Problem
Find the difference equation to represent the system in the
given figure having input and output sequence {xk } and {yk }
respectively, where D is the unit delay block and a and b are
constant feedback gains.
Z-Transform
Definition (Z Transform)
The z-transform of a sequence {x}∞
−∞ is defined as


X xk
Z {xk }∞
−∞ = X(z) = (4.27)
k=−∞
zk

Whenever the sum exist and where z is a complex variable, as


yet undefined.
Here Z is known as the z-transform operator.

For the sequence {xk }∞


0 the z-transform is defined as


X xk
Z {x}∞
0 = X(z) = (4.28)
k=0
zk
Example
Find the z transform for the sequence {xk }∞ k
0 = {2 }

z
Z {ak } = (4.29)
z −a
z
Z {k} = (4.30)
(z − 1)2
Example
Find the z transform for the sequence {xk }∞
0 = {2k}

Definition
Unit Impulse Function A sequence of particular importance is
the unit impulse or impulse sequence is defined as

{δk } = {1} = {1, 0, 0, 0......} then (4.31)

Z {δk } = 1 (4.32)
Example
Find the z transform for the sequence {xk }∞ k
0 = {2 }

z
Z {ak } = (4.29)
z −a
z
Z {k} = (4.30)
(z − 1)2
Example
Find the z transform for the sequence {xk }∞
0 = {2k}

Definition
Unit Impulse Function A sequence of particular importance is
the unit impulse or impulse sequence is defined as

{δk } = {1} = {1, 0, 0, 0......} then (4.31)

Z {δk } = 1 (4.32)
Property of Z Transform


X f (kT )
Z {f (fT )} = . (4.33)
k=0
zk

Linearity
If {xk } and {yk } are sequence having z transform X (z) and
Y (z) respectively and if a and b are constants real or complex,
then

Z {axk + byk } = aX (z) + by (z) (4.34)


Shifting Property(Delaying)

1
Z {xk−k0 } = Z {xk } (4.35)
z k0

Example
1 k

The casual sequence is given as xk = 2
find z Transform of
{xk−2 }.

Second Shifting Property(Advancing)

0 −1
kX
Z {xk+k0 } = z k0 X (z) − xn z k0 −n (4.36)
n=0
Multiplication by ak
If Z {xk } = X (z) then for a constant a

Z {ak xk } = X (a−1 z) (4.37)

Multiplication by k n
If Z {xk } = X (z) then for a positive integer n
 n
n d
Z {k xk } = −z X (z) (4.38)
dz
Theorem (Initial Value theorem)
If {xk } is a sequence with z transform X (z) then the initial
value theorem states that

lim X (z) = x0 (4.39)


z→∞

Theorem (Final Value theorem)


If {xk } is a sequence with z transform X (z) then the final
value theorem states that

lim {xk } = lim (1 − z)−1 X (z) (4.40)


k→∞ z→1

provided that the pole of (1 − z)−1 X (z) are inside the unite
circle.
Table of z transform:
Definition (Inverse z Transform)
The inverse z transform is denoted by Z −1 [x(z)] defined a
casual sequence {xk } whose z transform is X(z) i.e

if Z {xk } = X (z), then {xk } = Z −1 [x(z)] (4.41)

Example
Find the
 
−1 z
Z (4.42)
z −2

Example
Find the
 
−1 z
Z (4.43)
z − 2)(z − 1)
Example
Find inverse z transform of
 
−1 2z + 1
Z (4.44)
(z − 3)(z + 1)

Example
Find inverse z transform of
 
−1 z
Z (4.45)
z 2 + a2

Example
Find inverse z transform of
 
−1 z
Z (4.46)
z2 − z + 1
Example
Find inverse z transform of
 3 2

−1 z + 2z + 1
Z (4.47)
z3

Example
Find inverse z transform of
z(1 − e −aT )
 
−1
Z (4.48)
(z − 1)(z − e −aT )

where a and T are positive constant.


Assignment-1
Assignment-2
Solution of Difference Equation-
Example
Solve the given difference equation by using z transform.

yk+2 + yk+1 − 2yk = 1 y0 = 0, y1 = 1 (4.49)

Problem
Solve the given difference equation by using z transform.
3
8yk+2 − 6yk+1 + yk = 9 y0 = 1, y1 = (4.50)
2

Problem
Solve the given difference equation by using z transform.

yk+2 + 2yk = 0 y0 = 1, y1 = 2. (4.51)
Formation of Difference Equation-
Problem
Find the difference equation to represent the system in the
given figure having input and output sequence {xk } and {yk }
respectively, where D is the unit delay block and a and b are
constant feedback gains.

Solution

yk+2 + ayk+1 − byk = xk (4.52)


Example
Find the output signal of the following discrete time signal
processing problem in quiescent in initial state and solve it by
using z-transformation assuming input signal xk = 2k .
Problem
The dynamics of discrete time system are determined by the
difference equation

yk+2 − 5yk+1 + 6yk = uk

Dtermine
 the response of the system to the unit step input
0 k <0
uk = given that y0 = y1 = 1.
1 k ≥0
Z-Transfer Function
Let us consider the general linear constant coefficient difference
equation for a linear time invariant system with input sequence
uk and output sequence yk as:

an yk+n +an−1 yk+n−1 ....a0 yk = bm uk+m +bm−1 uk+m−1 .......b0 uk


(4.53)

where k ≥ 0.
Assuming the system initially to be in a quiescent state, we take
z transform both side of (4.53):

an z n +an−1 z n−1 +.....a0 )Y (z) = (bm z m +bm−1 z m−1 ......)U(z)


(4.54)

Where Y (z) = Z {yk } and U(z) = Z {uk }.


Definition (Z-Transfer Function)
Let Z {yk } = Y (z) and Z {uk } = U(z) be the z transform of
the given sequences. The system discrete or z transfer
function G (z) is defined as

Y (z) bm z m + bm−1 z m−1 ....... + b0


G (z) = = (4.55)
U(z) an z n + an−1 z n−1 ............a0

and we have assumed that the system was initially in quiescent


state that means for the system (4.53) if
y0 = y1 = y2 = ............... = yn−1 = 0
u0 = u1 = u2 = ...............um−1 = 0.
If we put U(z) = 0 is called the characteristics equation
of the system and its order determine the order of the system
and its roots are referred as the poles of the discrete transfer
function. Like wise the roots of the Y (z) = 0 is called the
zeros of the discrete transfer function.
Example
Draw a block diagram to represent the system modelled by the
difference equation

yk+2 + 3yk+1 − yk = uk (4.56)

and find the corresponding z transfer function.


Example
A system is specified by its z transfer function

Y (z) z −1
G (z) = = 2
U(z) z + 3Z + 2

what is the order n of the system. Can it be implemented only


n delay element, discuss it.
Definition (Impulse Response Function)
Consider a sequence δk = 1, 0, 0, 0, 0, 0......
We know that z{δk } = 1
Consider the system with transfer function G (z) s.t.

Y (z)
G (z) = or Y (z) = G (z)U(z). (4.57)
U(z)

If the input sequence {yk } is the impulsive sequence δk and


the system is initially quiescent then the output sequence yδk is
called impulsive response of the system.
Hence
z{yδk } = Yδ (z) = G (z)
Example
Find the impulse response function of the system with z
transfer function
z
G (z) =
z2 + 3z + 2

Example
A system has the impulse response sequence

{yδk } = {ak − 0.5k }

where a > 0 ia real constant. What is the nature of this


response when (a) a = 0.4, (b) a = 1.2. Find the step
response of the system in both cases.
Definition (Stability)
A Linear constant coefficient discrete time system with
transfer function G (z) is stable if and only if all the pole of
G (z) lie within the unit circle |z| < 1 in the complex z plane.
If one or more poles lie outside the circle then this system is
said to be unstable. If one or more pole lie on the unit circle
|z| = 1, with all the other pole lie in the unit circle then the
system is said to be marginally stable .
Problem
As system is specified by its z-transfer function
z
G (z) =
z2 + 0.3z + 0.02
Draw a block diagram to illustrate a time domain realization
of the system. Check the stability of the system and find a
second structure of the system.
Definition (Convolution)
Let x1 (n) and x2 (n) are the two sequence with z-transform
X1 (z) and X2 (z) then the Convolution of x1 (n) and x2 (n) is
defined as
x1 (n) ∗ x2 (n) = X1 (z).X2 (z)
.
Example
Find the convolution of u(n) & u(n − 1).
Theorem (Convolution Theorem)
The Convolution of x1 (n) and x2 (n) is defined as

x1 (n) ∗ x2 (n) = X1 (z).X2 (z)

. Then by convolution theorem


n
X
−1
Z (X1 (z).X2 (z)) = x1 (n) ∗ x2 (n) = x1 (i)x2 (n − i)
i=0
.
Example
Find the inverse z transform by convolution

z2
Y (z) =
(z − 3)(z − 2)
.
Application of Initial and Final Value Theorem
we know that by initial value theorem

x0 = lim X (z)
z→∞

similarly

x1 = lim (zX (z) − zx0 ), x2 = lim (z 2 X (z) − z 2 x0 − zx1 )


z→∞ z→∞

and by Final Value Theorem

x∞ = lim (1 − z)−1 X (z)


z→1

Example
Let z transfer function of any sequence is
2z + 1
X (z) =
(z + 1)(z − 3)
Example
Suppose a certain population of owls is growing at the rate of
2% per year. If we let x0 represent the size of the initial
population of owls and xn the number of owls n years later,
then what will be the population of the owls after 10 year if
initially they are 10000 in numbers.
Example
Solve the Fibonacci recurrence relation Fn+2 = Fn+1 + Fn ,
given F0 = F1 = 1.

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