Higher-Order Ordinary Differential Equations

Jonathan Winston L. Salvacion, Dr. Eng’g.1

September 7, 2024

1
Mapúa University
Outline

Module Learning Objectives

Introduction: Vectors, Matrices, Eigenvalues

Conversion of an n-Order ODE

Basic Theory

Homogeneous Linear ODEs

Nonhomogeneous Linear ODEs

Overview of Solutions
Module Learning Objectives
Module Learning Objectives

At the end of this lecture, the student should be able to

1. Convert a high-order ordinary differential equation into a
system of differential equations
2. Use vectors, matrices and eigenvalues to represent systems of
differential equations
3. Solve high-order ordinary differential equations
Introduction: Vectors,
Matrices, Eigenvalues
What is a Vector?

Definition: A vector is an ordered list of numbers that can

represent points in space, directions, or physical quantities.
What is a Vector?

Definition: A vector is an ordered list of numbers that can

represent points in space, directions, or physical quantities.

Matrix representation:
 
v1
 v2 
v=.
 
 .. 
vn

Example:  
2
v = −3
5
What is a Vector?
Definition: A vector is an ordered list of numbers that can
represent points in space, directions, or physical quantities.

Matrix representation:
 
v1
 v2 
v=.
 
 .. 
vn

Example:  
2
v = −3
5
Geometric Interpretation: Vectors can be visualized as arrows in
space with both magnitude and direction.
Vector in 2-D Space

q
vy vx2 + vy2

vy = 2 v

O vx = 3 vx x
Vector in 3-D Space
y

vy

vy = 1.5 q
vx2 + vy2 + vz2
v
O
vx = 2 vx x
vz = 2.5

z vz
Vector Operations

Vector Addition:
     
u1 v1 u1 + v1
u+v = + =
u2 v2 u2 + v2
Vector Operations

Vector Addition:
     
u1 v1 u1 + v1
u+v = + =
u2 v2 u2 + v2

Scalar Multiplication:

   
v1 cv1
cv = c =
v2 cv2
Vector Operations

Vector Addition:
     
u1 v u + v1
u+v = + 1 = 1
u2 v2 u2 + v2

Scalar Multiplication:

   
v cv1
cv = c 1 =
v2 cv2

Dot Product:

u · v = u1 v1 + u2 v2 + · · · + un vn
Vector Operations
Vector Addition:
     
u1 v1 u1 + v1
u+v = + =
u2 v2 u2 + v2
Scalar Multiplication:

   
v cv1
cv = c 1 =
v2 cv2
Dot Product:

u · v = u1 v1 + u2 v2 + · · · + un vn
Cross Product (in R3 ):

 
u2 v3 − u3 v2
u × v = u3 v1 − u1 v3 
u1 v2 − u2 v1
What is a Matrix?

Definition: A matrix is a rectangular array of numbers arranged in

rows and columns.
What is a Matrix?

Definition: A matrix is a rectangular array of numbers arranged in

rows and columns.
Mathematical Representation:
 
a11 a12 · · · a1n
 a21 a22 · · · a2n 
A= .
 
. .. . . .. 
 . . . . 
am1 am2 · · · amn
What is a Matrix?
Definition: A matrix is a rectangular array of numbers arranged in
rows and columns.
Mathematical Representation:
 
a11 a12 · · · a1n
 a21 a22 · · · a2n 
A= .
 
. .. . . .. 
 . . . . 
am1 am2 · · · amn

Types of Matrices:
▶ Square Matrix: Same number of rows and columns.
▶ Diagonal Matrix: Non-zero entries only on the main
diagonal.
▶ Identity Matrix (I): Diagonal entries are 1, others are 0.
▶ Zero Matrix: All entries are zero.
What is a Matrix?

Definition: A matrix is a rectangular array of numbers arranged in

rows and columns.
Mathematical Representation:
 
a11 a12 · · · a1n
 a21 a22 · · · a2n 
A= .
 
.. .. .. 
 .. . . . 
am1 am2 · · · amn

Example:  
1 2
A=
3 4
Matrix Operations

Matrix Addition:
     
a11 a12 b11 b12 a11 + b11 a12 + b12
A+B= + =
a21 a22 b21 b22 a21 + b21 a22 + b22
Matrix Operations

Matrix Addition:
     
a11 a12 b11 b12 a11 + b11 a12 + b12
A+B= + =
a21 a22 b21 b22 a21 + b21 a22 + b22

Scalar Multiplication:

   
a11 a12 ca11 ca12
cA = c =
a21 a22 ca21 ca22
Matrix Operations
Matrix Addition:
     
a a b b a + b11 a12 + b12
A + B = 11 12 + 11 12 = 11
a21 a22 b21 b22 a21 + b21 a22 + b22

Scalar Multiplication:

   
a11 a12 ca11 ca12
cA = c =
a21 a22 ca21 ca22

Matrix Multiplication:

 
a b + a12 b21 a11 b12 + a12 b22
AB = 11 11
a21 b11 + a22 b21 a21 b12 + a22 b22
Matrix Operations
Matrix Addition:
     
a11 a12 b11 b12 a11 + b11 a12 + b12
A+B= + =
a21 a22 b21 b22 a21 + b21 a22 + b22
Scalar Multiplication:

   
a11 a12 ca11 ca12
cA = c =
a21 a22 ca21 ca22
Matrix Multiplication:

 
a11 b11 + a12 b21 a11 b12 + a12 b22
AB =
a21 b11 + a22 b21 a21 b12 + a22 b22

Transpose of a Matrix:
 
a11 a21
AT =
a12 a22
Determinants and Inverses

Determinant of a 2 × 2 Matrix:

det(A) = a11 a22 − a12 a21

Determinants and Inverses

Determinant of a 2 × 2 Matrix:

det(A) = a11 a22 − a12 a21

Inverse of a 2 × 2 Matrix:

 
−1 1 a22 −a12
A = if det(A) ̸= 0
det(A) −a21 a11
Determinants and Inverses

Determinant of a 2 × 2 Matrix:

det(A) = a11 a22 − a12 a21

Example:
 
4 7
A=
2 6
Determinants and Inverses

Determinant of a 2 × 2 Matrix:

det(A) = a11 a22 − a12 a21

Example:
 
4 7
A=
2 6
Calculate det(A) = 4 × 6 − 7 × 2 = 24 − 14 = 10.
Determinants and Inverses

Determinant of a 2 × 2 Matrix:

det(A) = a11 a22 − a12 a21

Example:
 
4 7
A=
2 6
Calculate det(A) = 4 × 6 − 7 × 2 = 24 − 14 = 10. Compute
A−1 = 101
Determinants and Inverses

Determinant of a 2 × 2 Matrix:

det(A) = a11 a22 − a12 a21

Example:
 
4 7
A=
2 6
Calculate det(A)
 = 4× 6 − 7 × 2 = 24 − 14 = 10. Compute
6 −7
A−1 = 101
−2 4
Vector Form of Differential Equations

General Form:
x′ (t) = Ax(t) + b(t)
where:
▶ x(t) is a vector of unknown functions.
▶ A is a matrix of coefficients.
▶ b(t) is a vector of functions.
Vector Form of Differential Equations

General Form:
x′ (t) = Ax(t) + b(t)
where:
▶ x(t) is a vector of unknown functions.
▶ A is a matrix of coefficients.
▶ b(t) is a vector of functions.
Example:       
d x1 1 2 x1 5
= +
dt x2 3 4 x2 6
Solving Homogeneous Systems

▶ Consider the homogeneous system:

x′ (t) = Ax(t)

▶ Solution involves finding eigenvalues and eigenvectors of A.

▶ General solution:

x(t) = c1 e λ1 t v1 + c2 e λ2 t v2 + . . .

where:
▶ λi are eigenvalues.
▶ vi are corresponding eigenvectors.
▶ ci are constants determined by initial conditions.
Definitions

▶ Eigenvalue (λ): A scalar such that there exists a non-zero

vector v satisfying:
Av = λv
▶ Eigenvector (v): A non-zero vector that satisfies the above
equation for a given λ.
▶ Characteristic Equation:

det(A − λI) = 0

used to find eigenvalues.

Example: Finding Eigenvalues
Given Matrix:  
4 1
A=
2 3

1. Form the Characteristic Equation:

det(A − λI) = 0

2. Compute:
 
4−λ 1
det = (4−λ)(3−λ)−2×1 = λ2 −7λ+10 = 0
2 3−λ

3. Solve:
λ2 − 7λ + 10 = 0
λ = 2, 5
Example: Finding Eigenvalues

For λ = 2:
▶ Solve:
(A − 2I)v = 0
    
2 1 v1 0
=
2 1 v2 0
▶ Solution:
2v1 + v2 = 0 ⇒ v2 = −2v1
▶ Eigenvector:  
1
v1 =
−2
Example: Finding Eigenvalues

For λ = 5:
▶ Solve:
(A − 5I)v = 0
    
−1 1 v1 0
=
2 −2 v2 0
▶ Solution:
−v1 + v2 = 0 ⇒ v2 = v1
▶ Eigenvector:  
1
v2 =
1
Applications of Eigenvalues and Eigenvectors

▶ Stability Analysis:
▶ Determine the stability of equilibrium points in dynamical
systems.
▶ Eigenvalues with negative real parts indicate stable systems.
▶ Diagonalization:
▶ Simplify matrix computations by converting a matrix into a
diagonal form.
▶ Useful in computing matrix powers and exponentials.
▶ Principal Component Analysis (PCA):
▶ Reduce the dimensionality of data while preserving variance.
▶ Eigenvectors of the covariance matrix represent principal
components.
▶ Differential Equations:
▶ Solve systems of differential equations efficiently.
▶ Eigenvalues determine the behavior of solutions over time.
Summary

▶ Reviewed the definitions and operations of vectors and

matrices.
▶ Explored how to represent systems of differential equations
using vectors and matrices.
▶ Learned how to compute eigenvalues and eigenvectors and
their significance.
▶ Discussed various applications of eigenvalues and
eigenvectors in different fields.
Questions?

Any questions?
References

▶ Linear Algebra and Its Applications by Gilbert Strang.

▶ Introduction to Linear Algebra by Serge Lang.
▶ Differential Equations and Linear Algebra by Stephen W.
Goode.
▶ Online resources and lecture notes.
Conversion of an n-Order ODE
Introduction

▶ An nth order linear ODE can be converted into a system of

first-order linear ODEs.
Introduction

▶ An nth order linear ODE can be converted into a system of

first-order linear ODEs.
▶ This transformation is essential for solving ODEs using matrix
methods, including eigenvalue analysis.
Introduction

▶ An nth order linear ODE can be converted into a system of

first-order linear ODEs.
▶ This transformation is essential for solving ODEs using matrix
methods, including eigenvalue analysis.
▶ We will illustrate this process and its applications.
General nth Order Linear ODE

Consider a general nth order linear ODE:

y (n) (t) + an−1 y (n−1) (t) + · · · + a1 y ′ (t) + a0 y (t) = 0

General nth Order Linear ODE

Consider a general nth order linear ODE:

y (n) (t) + an−1 y (n−1) (t) + · · · + a1 y ′ (t) + a0 y (t) = 0

Here y (k) (t) denotes the kth derivative of y (t) with respect to t,
and ak are constants.
General nth Order Linear ODE

Consider a general nth order linear ODE:

y (n) (t) + an−1 y (n−1) (t) + · · · + a1 y ′ (t) + a0 y (t) = 0

Here y (k) (t) denotes the kth derivative of y (t) with respect to t,
and ak are constants.
Conversion to First-Order System

Define new variables:

y1 = y , y2 = y ′ , ..., yn = y (n−1)
Conversion to First-Order System

Define new variables:

y1 = y , y2 = y ′ , ..., yn = y (n−1)

Differentiating the first equation once, we get

y1′ = y ′
Conversion to First-Order System

Define new variables:

y1 = y , y2 = y ′ , ..., yn = y (n−1)

Differentiating the first equation once, we get

y1′ = y ′

But according to the second equation

y1′ = y ′ = y2
Conversion to First-Order System

Define new variables:

y1 = y , y2 = y ′ , ..., yn = y (n−1)

The pattern is repeated up to the second to the last equation:

y1′ = y2 ,
y2′ = y3 ,
..
.
′
yn−1 = yn ,
Conversion to First-Order System

Define new variables:

y1 = y , y2 = y ′ , ..., yn = y (n−1)

The pattern is repeated up to the second to the last equation:

y1′ = y2 ,
y2′ = y3 ,
..
.
′
yn−1 = yn ,

For the last equation, we write

yn′ = −a0 y1 − a1 y2 − · · · − an−1 yn

Conversion to First-Order System

Define new variables:

y1 = y , y2 = y ′ , ..., yn = y (n−1)

The system of first-order ODEs becomes:

y1′ = y2 ,
y2′ = y3 ,
..
.
′
yn−1 = yn ,
yn′ = −a0 y1 − a1 y2 − · · · − an−1 yn .
Matrix Representation

The system can be written in matrix form:

Y′ (t) = AY(t)

where
y1′ (t)
 
y ′ (t)
′  2 
Y (t) =  . 
 .. 
yn′ (t)
Matrix Representation

The system can be written in matrix form:

Y′ (t) = AY(t)

where  
y1 (t)
y2 (t)
Y(t) =  . 
 
 . .
yn (t)
Matrix Representation

The system can be written in matrix form:

Y′ (t) = AY(t)

where
 
0 1 0 ··· 0

 0 0 1 ··· 0 

A=
 .. .. .. .. .. 
 . . . . . 

 0 0 0 ··· 1 
−a0 −a1 −a2 · · · −an−1
Example: Second-Order ODE

Consider the second-order ODE:

y ′′ + 3y ′ + 2y = 0

Convert to a first-order system:

y1′ = y2 ,
y2′ = −2y1 − 3y2 .

Matrix form:  
′ 0 1
Y (t) = Y(t)
−2 −3
Conclusion

▶ Converting an nth order linear ODE to a system of first-order

equations is a powerful technique.
▶ Matrix methods, including eigenvalue analysis, simplify the
study of the system’s behavior.
▶ This approach is widely used in engineering and applied
mathematics.
Basic Theory
Overview

Definition: An n-th order ODE is of the form:

an (x)y (n) + an−1 (x)y (n−1) + · · · + a0 (x)y = g (x)

Overview

Definition: An n-th order ODE is of the form:

an (x)y (n) + an−1 (x)y (n−1) + · · · + a0 (x)y = g (x)

Linear if y and its derivatives appear linearly.

Overview

Definition: An n-th order ODE is of the form:

an (x)y (n) + an−1 (x)y (n−1) + · · · + a0 (x)y = g (x)

Linear if y and its derivatives appear linearly.

Classification:
▶ Homogeneous: g (x) = 0
▶ Non-homogeneous: g (x) ̸= 0
Existence and Uniqueness Theorem

Theorem: For a linear n-th order ODE:

y (n) + pn−1 (x)y (n−1) + · · · + p0 (x)y = g (x),

there exists a unique solution if pi (x) and g (x) are continuous on

an interval I and initial conditions are specified.
Existence and Uniqueness Theorem
Theorem: For a linear n-th order ODE:

y (n) + pn−1 (x)y (n−1) + · · · + p0 (x)y = g (x),

there exists a unique solution if pi (x) and g (x) are continuous on

an interval I and initial conditions are specified.
y

y0 + ϵ
ϵ
(x0 , y0 )
y0
ϵ
y0 − ϵ
x
x0 − δ δ x0 δ x0 + δ
Existence and Uniqueness Theorem

Theorem: For a linear n-th order ODE:

y (n) + pn−1 (x)y (n−1) + · · · + p0 (x)y = g (x),

there exists a unique solution if pi (x) and g (x) are continuous on

an interval I and initial conditions are specified.

Key Points:
▶ Continuity of the coefficients.
▶ Initial conditions:
y (x0 ) = y0 , y ′ (x0 ) = y0′ , . . . , y (n−1) (x0 ) = yn−1 .
▶ The theorem guarantees local solutions on a finite interval
around x0 .
Matrix and Vector Representation of Linear Systems

Formulation:
▶ Higher-order ODEs can be written as a system of first-order
ODEs.
Matrix and Vector Representation of Linear Systems

Formulation:
▶ Higher-order ODEs can be written as a system of first-order
ODEs.
▶ Example: The 2nd-order ODE y ′′ + p(x)y ′ + q(x)y = g (x)
becomes:
y′ = A(x)y + b(x),
where:
     
y 0 1 0
y= , A(x) = , b(x) = .
y′ −q(x) −p(x) g (x)
Matrix and Vector Representation of Linear Systems

General System:
Y′ = A(x)Y + B(x),
where A(x) is an n × n matrix, and Y is an n-dimensional vector.
Superposition Principle

Statement:
▶ If y1 (x) and y2 (x) are solutions of the homogeneous ODE,
then any linear combination c1 y1 (x) + c2 y2 (x) is also a
solution.
Superposition Principle

Statement:
▶ If y1 (x) and y2 (x) are solutions of the homogeneous ODE,
then any linear combination c1 y1 (x) + c2 y2 (x) is also a
solution.
Implication:
▶ The general solution to an nth order homogeneous linear ODE
is a linear combination of n independent solutions.
Basis and General Solution

Definition: A basis of solutions is a set of n linearly independent

solutions {y1 , y2 , . . . , yn } to the homogeneous ODE.
Basis and General Solution

Definition: A basis of solutions is a set of n linearly independent

solutions {y1 , y2 , . . . , yn } to the homogeneous ODE.

General Solution:

y (x) = c1 y1 (x) + c2 y2 (x) + · · · + cn yn (x),

where c1 , c2 , . . . , cn are constants determined by initial conditions.

Basis and General Solution

Definition: A basis of solutions is a set of n linearly independent

solutions {y1 , y2 , . . . , yn } to the homogeneous ODE.

General Solution:

y (x) = c1 y1 (x) + c2 y2 (x) + · · · + cn yn (x),

where c1 , c2 , . . . , cn are constants determined by initial conditions.

Example: Consider y ′′ + y = 0. The general solution is:

y (x) = c1 cos(x) + c2 sin(x).

The Wronskian

Definition:
▶ The Wronskian of two functions y1 (x) and y2 (x) is:

y1 (x) y2 (x)
W (y1 , y2 )(x) = .
y1′ (x) y2′ (x)

▶ For n functions, the Wronskian is an n × n determinant.

Importance:
▶ If W (y1 , y2 , . . . , yn ) ̸= 0 on an interval, the solutions
{y1 , y2 , . . . , yn } are linearly independent.
Example: For y1 (x) = e x and y2 (x) = e −x :

ex e −x
W (e x , e −x ) = = −2.
ex −e −x
Conclusion

▶ Existence and Uniqueness ensure we have a solution.

▶ Matrix formulation provides a powerful framework.
▶ The superposition principle simplifies finding the general
solution.
▶ Basis functions form the building blocks for the general
solution.
▶ The Wronskian helps in checking the independence of
solutions.
Homogeneous Linear ODEs
Introduction to Higher-Order Homogeneous Systems

System of ODEs:
Y′ (t) = AY(t)
where Y(t) is a vector of unknown functions and A is a constant
matrix.
General Form:
AY(t) = λY(t)
Eigenvalues λ help classify the behavior of the system.
Solution:
▶ Solutions depend on eigenvalues and eigenvectors of matrix A.
▶ Real and complex eigenvalues produce different phase plane
behaviors.
Phase Plane and Critical Points

Phase Plane:
▶ A graphical representation of trajectories of a system of
differential equations.
▶ Variables x(t) and y (t) plotted as coordinates in the plane.
Critical Points:
▶ Points where Y′ = 0.
▶ Classification based on eigenvalues:
▶ Real, distinct eigenvalues: saddle points, nodes.
▶ Complex eigenvalues: spirals.
Types of Critical Points:
▶ Stable/Unstable nodes
▶ Saddle points
▶ Spirals
Phase Portrait Examples

▶ Example: Phase portrait for a system with complex

eigenvalues.
▶ Plot the trajectories to observe spiral behavior.
Solved Example: Eigenvalue Method

Example: Solve the system:

 
3 1
Y′ = Y
1 3

Steps:
1. Find eigenvalues by solving det(A − λI) = 0.
2. Compute eigenvectors.
3. Write the general solution as a linear combination of
eigenvectors.
Solution: Eigenvalues are λ1 = 4, λ2 = 2. The general solution is:

Y(t) = c1 e 4t v1 + c2 e 2t v2
Solved Example: Complex Eigenvalues

Example: Solve the system:

 
′ 0 −1
Y = Y
1 0

Solution:
▶ Eigenvalues are λ = ±i, indicating a center.
▶ General solution:
   
cos t − sin t
Y(t) = c1 + c2
sin t cos t
Exercises

Exercise 1: Solve the system:

 
′ 2 1
Y = Y
1 2

Exercise 2: Classify the critical points for the system:

 
′ −1 3
Y = Y
−3 −1

Exercise 3: Sketch the phase portrait for the system:

 
0 −2
Y′ = Y
1 0
Nonhomogeneous Linear ODEs
Overview of Solutions
Methods for Solving Higher-Order ODEs

1. Reduction of Order
2. Method of Undetermined Coefficients
3. Method of Variation of Parameters
4. Series Solutions (Power Series)
5. Laplace Transform
6. Numerical Methods
7. Eigenvalue/Eigenvector Method
8. Green’s Function
9. Fourier Transform
10. Frobenius Method
11. Separation of Variables
Questions?

Thank you!

Questions?