ENGG2013 Unit 25

Second-order Linear DE
Apr, 2011.
Yesterday
First-order DE
Method of separating variable
Method of integrating factor
System of first-order DE
Eigenvalues determine the convergence behaviour near a critical
point.
Objectives:
Solve the initial value problem
Given the initial value, find the trajectory
Transient-state analysis of electronic circuits
Understand the system behaviour
Does the system converge?
Stable equilibrium point, unstable equilibrium point.

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Linear Second-order DE
Homogeneous


Non-homogeneous
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Linear Second-order
constant-coeff. DE
Homogeneous


Non-homogeneous
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Vibrating spring without damping
x(t): vertical displacement
Hookes law: Force = k x
k is the spring constant, k > 0
(the constant k is sometime
called the spring modulus.)
Newtons law: F = m x
m is the mass, m > 0
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m x
k x
m x + k x = 0
Assumptions:
Spring has negligible weight
No friction
Second-order, autonomous
linear, constant-coefficient
and homogeneous
x
Solutions to undamped spring-
mass model
Normalize by m


Direct substitution verifies that and
are solutions, e.g.
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Natural frequency
Let



We know that cos( t) and sin( t) are both
solutions.
is called the natural frequency.
Dimension check: The unit of is Hz = s
-1
.
The spring constant k has unit kg s
-2
.
k/m has unit s
-2
.
Square root of k/m has unit s
-1
.

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Principle of superposition
(aka linearity principle)
For linear and homogenous differential equation,
the linear combination of two solutions is also a
solution.





For any real numbers a and b,
a cos( t) + b cos( t)
is a solution to x+
2
x=0.
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GRAPHICAL METHOD
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Graphical illustration of spring-
mass model
Define the displacement-velocity vector




Reduction to system of two first-order
differential equations.




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x ' = v
v ' = - k x/m
k = 3
m = 1




-5 -4 -3 -2 -1 0 1 2 3 4 5
-5
-4
-3
-2
-1
0
1
2
3
4
5
x
v
Phase plane for the vibrating spring
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Sample solution
The trajectory is a ellipse
Order reduction technique
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equivalent
Second-order DE with constant coefficients is basically
the same as a system of two first-order DE.
Vibrating spring with damping
Vibrating spring in honey
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m x = k x d x
Force exerted by the spring
Damping due to viscosity
Equivalent form
honey
Assumption:
Magnitude of damping force
is directly proportional to x.
d> 0
Phase plane for damped spring
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x ' = v
v ' = - (k x + d v)/m
m = 1
d = 1
k = 3



-5 -4 -3 -2 -1 0 1 2 3 4 5
-5
-4
-3
-2
-1
0
1
2
3
4
5
x
v
Sample solutions
Convergence
to the origin
METHOD OF DIAGONALIZATION
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Recall: Diagonalization
Definition: an n n matrix M is called diagonalizable if
we can find an invertible matrix S, such that


is a diagonal matrix, or equivalently,


Example:

Diagonalization is useful in decoupling a linear system
for instance.
Solution to vibrating spring with
damping
Characteristic equation
Eigenvalues
Solution to vibrating spring with
damping
Eigenvectors have complex components
Diagonalize
Concatenate
Two eigenvectors are not
scalar multiple of each other,
because the two eigenvalues are
distinct . Hence inverse exists.
Solution to vibrating spring with
damping
Substitute by the diagonalized matrix
Change of variables
An uncoupled system
Solution to vibrating spring with
damping
Solve the uncoupled system
K
1
and K
2
are constants
Substitute back
(C
1
, C
1
, a and b are constants)
Solution to vibrating spring with
damping
0 2 4 6 8 10
-1
-0.5
0
0.5
1
time
x
A general strategy for linear system

Linear system


Decouple
(Diagonalization)
Solve each
subsystem separately
Piece them
together

Solved


METHOD OF GUESS-AND-VERIFY
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2
nd
-order constant-coeff. DE
Homogeneous
b and c are constants.


Non-homogeneous
b and c are constants.
f(t) is a function of independent variable t.
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The homogeneous case
Idea: try a function in the form e
kt
as a
solution.
k is some constant.
Substitute e
kt
into x+bx+cx=0 and try to
solve for the constant k.
Apply the superposition principle: any linear
combination of solutions is also a solution.
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Examples
1. Solve x+3x+2x=0.

2. Solve x4x+4x=0.

3. Solve x+9x= 0.
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General solution: x(t) = c
1
e
2t
+ c
2
e
t
General solution: x(t) = c
1
e
2t
+ c
2
t e
2t
General solution:
x(t) = c
1
e
3i t
+ c
2
e
-3i t
= d
1
sin(t)+ d
2
cos(t)
Summary of the three cases
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Case Roots Basis of solutions General Solution
1 Distinct real

and

e
t
, e
t
c
1
e
t
+c
2
e
t

2 Repeated root e
t
, te
t
c
1
e
t
+c
2
te
t

3 Complex roots

=r+i, =ri
e
(r+i)t
, e
(ri)t


e
r
(c
1
cos t+c
2
sin t)
Characteristic equation
Differential equation
The non-homogeneous case
Property: If x
1
(t) and x
2
(t) are two solutions to


then their difference x
1
(t) x
2
(t) is a solution to
the homogeneous counterpart

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Consequence
Suppose that x
p
(t) is some solution to
x+bx+cx=f(t) (given to you by a genie for
example)
Any solution of x+bx+cx=f(t) can be
written as x
h
(t) +x
p
(t)
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A solution to the
homogeneous DE
x+bx+c=0
A particular solution
Method of trial and error
(aka as the method of
undetermined coefficient)
To solve the non-homogeneous DE
x+bx+cx=f(t)
1. Find a particular solution by trial and error
(and experience)
Let the particular solution be x
p
(t).
2. Solve the homogeneous version x+bx+cx=0.
Let the homogeneous solution be x
h
(t).
3. The general solution is x
h
(t)+ x
p
(t).

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How to guess a particular solution
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f(t) Choice for x
p
(t)
K x
n
c
n
x
n
+c
n-1
x
n-1
++c
1
x
1
+c
0
K e
at
Ce
at
K sin(t)

c
1
sin(t)+c
2
cos(t)

K cos(t)

c
1
sin(t)+c
2
cos(t)

K e
at
sin(t)


e
at
(c
1
sin(t)+c
2
cos(t))
K e
at
cos(t)

e
at
(c
1
sin(t)+c
2
cos(t))
K, C, a, , c
0
, c
1
, c
2,
are constants
Example
Solve x+3x+2x= e
5t
.
Try c e
5t
as a particular solution.
(c e
5t
)+3(c e
5t
)+(c e
5t
)= e
5t
25c e
5t
+15c e
5t
+5c e
5t
= e
5t

25 c + 15c + 5c=1 c = 1/45
Let x
p
(t) = e
5t
/45 as a particular solution.
General solution is c
1
e
2t
+ c
2
e
t
+ e
5t
/45


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Homogeneous solution
Particular solution
Summary
Graphical method using phase plane.
Reduction to two 1
st
-order linear DE.
Method of diagonalization
Need to reduce the second-order DE to a system
of first-order DE.
Time-consuming but theoretically sound.
Method of undetermined coefficients
Find a solution quickly, but not systematic.
Good for calculation in examination.
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Final Exam
Date: 6
th
May (Friday)
Venue: NA Gym
Time: 9:30~11:30
Coverage: Everything in Lecture Notes and
Homeworks
Close-book exam
You may bring a calculator, and a handwritten
A4-size and double-sided crib sheet.
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