Linear Algebra and Differential Equations

Lecture 17
Higher Order Linear Differential Equations

July 14, 2016

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Higher order linear homogeneous equations

The general form of these is
x (n) + pn1 (t)x (n1) + pn2 (t)x (n2) + + p0 x = 0
If we define
vk (t) = x (k) (t)
then the equation can be expressed as a first order DE
x0 = Ax
where

x=

x
v1
v2
..
.
vn1

A=

0
0
..
.

1
0
..
.

0
1
..
.

..
.

0
0
0

p0 p1 p2

0
0
..
.
1
pn1

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Given an initial condition

x(t0 ) =

x0
x00
x000
..
.
(n1)

x0

then as long as the functions p0 , , pn1 are continuous at the initial

condition we have a unique solution.
Let us define x1 (t) be the solution of the equation corresponding to the
initial condition x(t0 ) = 1 all other other derivatives equal to zero, xk (t)
be the solution of the equation corresponding to the initial condition
x (k) (t0 ) = 1 all other other derivatives equal to zero. These functions
clearly span the solution set for the equation.

Linear Algebra and Differential EquationsLecture 17 Higher Order

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If x(t) is the solution of the equation corresponding to the initial conditions

x(t0 ) = x0

x 0 (t0 ) = x00

(n1)

x (n1) (t0 ) = x0

then x(t) can be written as

(n1)

x(t) = x0 x1 (t) + x00 x2 (t) + + x0

They will be linearly independent as long

 x1
x2

0
 x10
x
2

W (t) = 
..
..

.
.
 (n1)
(n1)
 x
x2
1

xn (t)

as the determinant


xn 

xn0 
..
 6= 0
..

.
.

(n1) 
x
n

This determinant is called the Wronskian

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Abels Theorem
In the general case the Wronskian can also
DE

 x1
x2

0
 x10
x
2

0
W (t) = 
..
..

.
.
 (n1)
(n1)
 x
x2
1
Using the product rule, the
of n determinants

 x10
x20

 x10
x20

0
W (t) = 
..
..

.
.
 (n1)
(n1)
 x
x2
1

be calculated directly from the

..
.

xn
xn0
..
.
(n1)

xn

derivative of the determinant will be the sum

..
.

xn0
xn0
..
.
(n1)

xn

 
  x1
x2

 
00
  x100
x

2
 
..
..
+
..
 
.
.
.
  (n1)
(n1)
  x
x2

xn
xn00
..
.
(n1)

xn

Linear Algebra and Differential EquationsLecture 17 Higher Order

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+ + 




..
.

xn
xn0
..
.

x1n x2n

xnn

x1
x10
..
.

x2
x20
..
.

Only the last one is nonzero, all the others have

nonzero one can be simplified using the DE


x1
x2

0

x
x20
1

0
W (t) = 
..
..

.
.

 p (t)x (n1) p (t)x (n1)
n1

n1

duplicate rows. The

..
.

xn
xn0
..
.
(n1)

pn1 (t)xn

which becomes
Z
W 0 (t) = pn1 (t)W (t)

W (t) = W (t0 )e

pn1 (s) ds
t0

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Basis for the solution space

The solutions of the homogeneous DE
x (n) + pn1 (t)x (n1) + pn2 (t)x (n2) + + p0 x = 0
can be thought of as elements of the kernal of the linear transformation T
T(x) = x (n) + pn1 (t)x (n1) + pn2 (t)x (n2) + + p0 x
It is a subspace of the vector space of twice differentiable functions. The
functions x1 (t), , x2 (t) span this subspace. Th Wronskian is
Z t

pn1 (s) ds
t0
W (t) = W (t0 )e
Since their Wronskian at t0 is 1, W (t) 6= 0 so they are linearly
independent thus they form a basis for the solution space. So the solution
space is n dimensional.

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Inhomogeneous equations
Inhomogeneous linear equations have the form
x (n) + pn1 (t)x (n1) + pn2 (t)x (n2) + + p0 x = f (t)
If xp is any solution of the DE and xh is a solution of the associated
homogeneous equation, let
x(t) = xp (t) + xh (t)
If we call the differential operator T then
T(xp + xh ) = T(xp ) + T(xh ) = f (t) + 0 = f (t)
So x satisfies the inhomogeneous equation. So the most general solution
will be
x(t) = xp (t) + c1 x1 (t) + c2 x2 (t) + + cn xn (t)
xp (t) is called a particular integral and x1 , x2 , .xn are a basis for the
solutions of the associated homogeneous equation (f (t) = 0).

Linear Algebra and Differential EquationsLecture 17 Higher Order

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An example
Solve the IVP
x 00 x = t

x(0) = 2

x 0 (0) = 3

A particular solution is xp = t, e t and e t are solutions of the associated

homogeneous equation. To check their linear independence, their
Wronskian is

 t
 e
e t 

= 2 6= 0
W (t) =  t
e e t 
So the general solution is
x(t) = t + c1 e t + c2 e t
and the initial conditions give
2 = c1 + c2

3 = 1 + c1 c2

so c1 = 3, c2 = 1

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Reduction of order
If we are given an nth order linear homogeneous DE and a solution x1 .
Then the other solutions to the DE will satisfy an (n-1)th order DE.
x (n) + pn1 (t)x (n1) + pn2 (t)x (n2) + + p0 x = 0
Let x = ux1 then
x 0 = ux10 +x1 u 0

x 00 = ux100 +2u 0 x10 +x1 u 00

x 00 = ux1000 +3u 0 x100 +3x10 u 00 +x1 u 000

Substituting into the DE we get

(n)

(n1)

u(x1 +pn1 (t)x1

(n2)

+pn2 (t)x1

+ +p0 x1 )+F (u 0 , u 00 , , u (n) ) = 0

since x1 is a solution the coefficient of u is zero the DE becomes

F (u 0 , u 00 , , u (n) ) = 0
Now let p = u 0 the DE is an (n-1)th DE for p.
F (p, p 0 , , p (n1) ) = 0

Linear Algebra and Differential EquationsLecture 17 Higher Order

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An example
Given that t 4 is a solution to the DE
t 3 x 000 t 2 x 00 2tx 0 4x = 0
Let x = ut 4 then
x 0 = u 0 t 4 + 4t 3 u

x 00 = u 00 t 4 + 8t 3 u 0 + 12t 2 u

x 000 = t 4 u 000 + 12t 3 u 00 + 36t 2 u 0 + 24tu

Substituting into the DE
0 = t 3 (t 4 u 000 + 12t 3 u 00 + 36t 2 u 0 + 24tu) t 2 (u 00 t 4 + 8t 3 u 0 + 12t 2 u)
2t(u 0 t 4 + 4t 3 u) 4ut 4
= u 000 (t 7 ) + u 00 (12t 6 t 6 ) + u 0 (36t 5 8t 5 2t 5 )
= t 2 u 000 + 11tu 00 + 26u 0
= t 2 p 00 + 11tp 0 + 26p

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Reduction of order for second order DE

If we can find one solution to the DE, we can use the Wronskian to solve
for another linearly independent solution
W (t) = x1 x20 x2 x10
Suppose we know x1 (t), then the expression above gives a first order linear
DE for x2 . It has integrating factor x12 .
x1 x20 x2 x10
W
=
=
x12
x12

x2
x1

0

and so the second function is

Z
x2 (t) = x1 (t)

W
dt
x12

Linear Algebra and Differential EquationsLecture 17 Higher Order

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An Example

Given that one solution of the DE

t 2 x 00 + 3tx 0 + x = 0
is x1 = 1t . Find another linearly independent solution.
W (t) = e
then

(3/t) dt

1
x2 (t) =
t

W (t) = t 3
1
ln t
dt =
t
t

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Variation of parameters
To solve inhomogeneous 2nd order equations we can use a method called
variation of parameters. It is related to the integration factor method for
first order linear equations
Suppose x1 and x2 are linearly independent solutions of the homogeneous
equation
x 00 + p(t)x 0 + q(t)x = 0
and we wish to find a particular solution to the inhomogeneous equation
x 00 + p(t)x 0 + q(t)x = f (t)
Rewrite the equation in the form

0 

 

x
0
1
x
0
=
+
x0
q(t) p(t)
x0
f (t)

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Define the matrix


=

x1 x2
x10 x20

It satisfies the DE


= A
Let

A=

x
x0

0
1
q(t) p(t)


u
u0

Substituting this into the DE gives


0



 

u
u
u
0
0

=
A
+
u0
u0
u0
f (t)

Linear Algebra and Differential EquationsLecture 17 Higher Order

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Since 0 = A the DE reduces to


0 

u
0

u0
f (t)
Then
 0



0
1
x2 x2
0
u
=
f (t)
u0
W x10 x1

u
u0

x
x0


=

u
u0


=

but


0

x1 x2
x10 x20

"

0
f (t)

"

u
u0

x2 f (t)
W dt
x1 f (t)
W dt

x2 f (t)
W dt
x1 f (t)
W dt

Thus a particular solution is given by

Z
Z
x2 f (t)
x1 f (t)
xp = x1
dt + x2
dt
W
W

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An example
Find the general solution to
x 00 + x = tan t
The homogeneous equation has solutions given by
x1 = cos t

x2 = sin t

Z
xp = cos t

W =1
Z

tan t sin t dt + sin t

tan t cos t dt

1 cos2 t
dt + sin t sin t dt
cos t
= cos t (ln | sec t + tan t| sin t) sin t cos t
Z

= cos t

= cos t (ln | sec t + tan t|)

x = cos t (ln | sec t + tan t|) + c1 cos t + c2 sin t

Linear Algebra and Differential EquationsLecture 17 Higher Order

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