Ordinary Differential Equations

1
Introduction to Ordinary
Differential Equations (ODE)
 Recall basic definitions of ODE,
 order
 linearity
 initial conditions
 solution
 Classify ODE based on( order, linearity, conditions)
 Classify the solution methods

2
Derivatives
Derivatives

Ordinary Derivatives Partial Derivatives

dy u
dx y
u is a function of
y is a function of one more than one
independent variable independent variable

3
Differential Equations
Differential
Equations

Ordinary Differential Equations Partial Differential Equations

u u
2 2 2
d y
2
 6 xy  1  2 0
dx y x
2

involve one or more

involve one or more partial derivatives of
Ordinary derivatives of unknown functions
unknown functions

4
Ordinary Differential Equations
Ordinary Differential Equations (ODE) involve one or
more ordinary derivatives of unknown functions with
respect to one independent variable

Examples :
dy
 y  ex y(x): unknown function
dx
d2y dy
2
 5  2 y  cos( x)
dx dx
x: independent variable

5
Order of a differential equation
The order of an ordinary differential equations is the order
of the highest order derivative

Examples :
dy
 y  ex First order ODE
dx
d2y dy
2
 5  2 y  cos( x) Second order ODE
dx dx
3
 d y
2
 dy
 2
   2 y 4  1 Second order ODE
 dx  dx

6
Solution of a differential equation
A solution to a differential equation is a function that
satisfies the equation.
Example :
Solution x(t )  e t
dx(t )
 x(t )  0 Proof :
dt dx(t ) t
 e
dt
dx(t )
 x(t )  e t  e t  0
dt

7
Linear ODE
An ODE is linear if the unknown function and its derivatives
appear to power one. No product of the unknown function
and/or its derivatives
an ( x) y n ( x)  an 1 ( x) y n 1 ( x)    a1 ( x) y ' ( x)  a0 ( x) y ( x)  g ( x)
Examples :
dy Linear ODE
 y  ex
dx
d2y dy
2
 5  2 x 2
y  cos( x) Linear ODE
dx dx
3
 d 2 y  dy
 2    y  1 Non-linear ODE
 dx  dx
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Boundary-Value and Initial value Problems
Initial-Value Problems Boundary-Value Problems

 The auxiliary conditions are  The auxiliary conditions are not at

at one point of the one point of the independent
independent variable variable
 More difficult to solve than initial
value problem

y ' '2 y ' y  e2 x y' '2 y' y  e 2 x

y (0)  1, y ' (0)  2.5 y(0)  1, y(2)  1.5
same different

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Classification of ODE
ODE can be classified in different ways
 Order
 First order ODE
 Second order ODE
 Nth order ODE
 Linearity
 Linear ODE
 Nonlinear ODE
 Auxiliary conditions
 Initial value problems
 Boundary value problems

10
Solutions
 Analytical Solutions to ODE are available for linear
ODE and special classes of nonlinear differential
equations.

 Numerical method are used to obtain a graph or a

table of the unknown function

 We focus on solving First Order Linear ODE and

Second Order Linear ODE and Euler Equation

11
First Order Linear Differential Equations
 Def: A first order differential equation is
said to be linear if it can be written

y  p( x) y  g ( x)

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First Order Linear Differential Equations
 How to solve first-order linear ODE ?

y  p( x) y  g ( x) (1)
Sol:
Multiplying both sides by  (x ) , called an integrating factor,
gives dy
 ( x)   ( x) p( x) y   ( x) g ( x) (2)
dx
assuming  ( x) p( x)   ' ( x), (3) we get

dy
 ( x)   ' ( x) y   ( x) g ( x) (4)
dx
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First Order Linear Differential Equations
By product rule, (4) becomes
(  ( x) y ( x))'   ( x) g ( x) (5)
  ( x) y ( x)    ( x) g ( x)dx  c1

 y ( x) 
  ( x) g ( x)dx  c 1
(6)
 ( x)
Now, we need to solve  (x ) from (3)
 ' ( x)
 ( x) p ( x)   ' ( x)   p ( x)
 ( x)
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First Order Linear Differential Equations
 ' ( x)
 p( x)  (ln  ( x))'  p( x)
 ( x)
 ln  ( x)   p( x)dx  c2
  ( x)  e  p ( x ) dx c2
 c3e  p ( x ) dx
(7)
to get rid of one constant, we can use
 ( x)  e  p ( x ) dx (8)
The solution t o a linear first order differenti al equation is then

y ( x) 
  ( x) g ( x)dx  c
(9)
e
p ( x ) dx

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Summary of the Solution Process

 Put the differential equation in the form (1)

 Find the integrating factor,  (x ) using (8)
 Multiply both sides of (1) by  (x ) and write the left
side of (1) as (  ( x) y ( x))'
 Integrate both sides
 Solve for the solution y (x)

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Example 1
y  y  e 2x

Sol:
y ( x)  e 
 p ( x ) dx e  p ( x ) dx g ( x)dx  c 
  
  ( 1) dx   ( 1) dx 2 x 
e   e e dx  c 

 e x  e  x e 2 x dx  c 

 ex ex  c 
 ce x  e 2 x

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Example 2
1
xy ' 2 y  x  x ; With Initial Condition: y (1) 
2

2
2
Sol:  y ' y  x 1
x
 y ( x)  e 
 p ( x ) dx  e  p ( x ) dx g ( x)dx  c 
  
 
 
2 2
 dx  x dx
 
2
e x
e ( x  1) dx  c   x x 2
( x  1)dx  c
 
2  1 4 1 3  1 2 1
 x  x  x  c   x  x  cx  2
4 3  4 3
Apply the initial condition to get c,
1 1 1 7
   cc  .
2 4 3 12 18
Second Order Linear Differential Equations

 Homogeneous Second Order Linear Differential

Equations
o real roots, complex roots and repeated roots

 Non-homogeneous Second Order Linear Differential

Equations
o Undetermined Coefficients Method

 Euler Equations

19
Second Order Linear Differential Equations
The general equation can be expressed in the form
ay ' 'by 'cy  g ( x)
where a, b and c are constant coefficients
Let the dependent variable y be replaced by the sum of the
two new variables: y = u + v
Therefore
au' 'bu'cu av' 'bv'cv  g ( x)
If v is a particular solution of the original differential equation
au' 'bu'cu  0
purpose

The general solution of the linear differential equation will be the

sum of a “complementary function” and a “particular solution”.

20
The Complementary Function (solution of the
homogeneous equation)
ay' 'by'cy  0

Let the solution assumed to be: y  e rx

dy d2y
 re rx 2
 r 2 rx
e
dx dx
erx (ar 2  br  c)  0
characteristic equation
Real, distinct roots
Double roots
Complex roots

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Real, Distinct Roots to Characteristic Equation
• Let the roots of the characteristic equation be real, distinct
and of values r1 and r2. Therefore, the solutions of the
characteristic equation are:
y  e r1x y  e r2 x
• The general solution will be
y  c1e r1x  c2e r2 x

• Example
y ' '5 y '6 y  0 r 2  5r  6  0

r1  2
y  c1e 2 x  c2e3 x
r2  3

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 Equal Roots to Characteristic Equation
• Let the roots of the characteristic equation equal and of value r1
= r2 = r. Therefore, the solution of the characteristic equation is:
y  e rx
Let y  Ve  y'  e rxV 'rVerx and y' '  e rxV ' '2re rxV 'r 2Verx
rx

where V is a
function of x
ay' 'by'cy  0

ar 2  br  c  0 2ar  b  0

V ' ' ( x)  0 V  cx  d

y  berx  (cx  d )erx  c1erx  c2 xerx

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Complex Roots to Characteristic Equation
Let the roots of the characteristic equation be complex in the
form r1,2 =λ±µi. Therefore, the solution of the characteristic
equation is:
y1  e(    i ) x  ex (cos( x)  i sin( x)),
y2  e(    i ) x  ex (cos( x)  i sin( x)).

1 1
x
u ( x)  ( y1  y2 )  e cos(  x), v( x)  ( y1  y2 )  e  x sin(  x)
2 2i
It is easy to see that u and v are two solutions to the differential
equation. Therefore, the geneal solution to the d.e. is:
y ( x)  c1e λx cos(  x)  c2e λx sin(  x).

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Examples
(I) Solve y ' '6 y '9 y  0 (II) Solve y ' '4 y '5 y  0

Characteristic Equation Characteristic Equation

r 2  6r  9  0 r 2  4r  5  0

r1  r2  3 r1, 2  2  i

y  (c1  c2 x)e 3 x
y  e2 x (c1 cos x  c2 sin x)

25
Non-homogeneous Differential Equations (Method of
Undetermined Coefficients)

ay ' 'by 'cy  g ( x)

When g(x) is constant, say k, a particular solution of equation is

y  k /c

When g(x) is a polynomial of the form a0  a1 x  a2 x  ...  an x where

2 n

all the coefficients are constants. The form of a particular solution is

y   0  1 x   2 x 2  ...   n x n

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 Example
Solve
y' '4 y'4 y  4 x  8x 3 Complementary Function
y ' '4 y '4 y  0
y'  q  2rx  3sx 2
y  p  qx  rx 2  sx 3
y ' '  2r  6 sx
r 2  4r  4  0
Characteristic Equation
(2r  6sx)  4(q  2rx  3sx 2 )  4( p  qx  rx 2  sx 3 )  4 x  8x3

Equating Coefficients of Equal Powers of x

r2
2r  4q  4 p  0
yc  (c1  c2 x)e 2 x
6s  8r  4q  4
4r  12s  0
4s  8
y  yc  y p
y p  7  10 x  6 x 2  2 x3  (c1  c2 x)e 2 x  7  10 x  6 x 2  2 x 3

27
Non-homogeneous Differential Equations
(Method of Undetermined Coefficients)
• When g(x) is of the form Te r x , where T and r are constants. The
form of a particular solution is
y  Ae
rx

T
A
ar 2  br  c
• W h e n g ( x ) i s o f t h e f o r m C s i n n x + D c o s n x , wh e r e C a n d D a r e
constants, the form of a particular solution is

y  E sin nx  F cos nx
(c  n 2 a)C  nbD
E
(c  n 2 a ) 2  n 2 b 2

(c  n 2 a)C  nbD
F
(c  n 2 a ) 2  n 2 b 2

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 Example
Solve Complementary Function
3 y ' '6 y '  18
3 y ' '6 y '  0
y'  C
y  Cx
y' '  0 3r 2  6r  0
Characteristic Equation
3(0)  6(C)  18
r1  0, r2  2

C  3 yc  c1  c2 e 2 x

y  yc  y p
y p  3 x  3x  c1  c2e 2 x

29
Example
Solve Complementary Function
3 y' '10 y'8 y  7e4 x
3 y ' '10 y '8 y  0
y'  (1  4 x)Ce4 x
y  Cxe4 x
y' '  (16 x  8)Ce 4 x 3r 2  10r  8  (3r  2)(r  4)  0
Characteristic Equation
 24C  10C  7
r1  2 / 3, r2  4

1 yc  Ae2 x / 3  Be 4 x
C
2
y  yc  y p
1 4 x
1 4 x
y p   xe   xe  Ae2 x / 3  Be 4 x
2 2
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 Example
Solve Complementary Function
y ' ' y '6 y  52 cos 2 x
y ' ' y '6 y  0
y '  2(C sin 2 x  D cos 2 x)
y  C cos 2 x  D sin 2 x
y ' '  4(C cos 2 x  D sin 2 x)
r 2  r  6  (r  2)(r  3)  0
Characteristic Equation
 10C  2D  52
r1  2, r2  3
 2C  10D  0
yc  Ae2 x  Be 3 x
C  5
D 1
y  yc  y p
y p  5 cos 2 x  sin 2 x  Ae2 x  Be 3 x  5 cos 2 x  sin 2 x

31
Euler Equations
 Def: Euler equations
ax y' 'bxy'cy  0
2

 Assuming x>0 and all solutions are of the

form y(x) = xr
 Plug into the differential equation to get the
characteristic equation
ar (r  1)  b(r )  c  0.
32
Solving Euler Equations: (Case I)
• The characteristic equation has two different real
solutions r1 and r2.
• In this case the functions y = xr1 and y = xr2 are both
solutions to the original equation. The general solution
is: y( x)  c x r1  c x r2
1 2

Example:
2 x 2 y ' '3xy'15 y  0, the characteri stic equation is :
5
2r(r-1 )  3r-15  0  r1  , r2  3.
2
5
 y(x)  c1 x  c2 x 3.
2

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Solving Euler Equations: (Case II)
• The characteristic equation has two equal roots r1 = r2=r.

• In this case the functions y = xr and y = xr lnx are both

solutions to the original equation. The general solution is:

y( x)  x r (c1  c2 ln x)

Example:

x 2 y' '7 xy'16 y  0, the characteri stic equation is :

r(r-1 )  7r  16  0  r  4.
 y(x)  c1 x 4  c2 x 4 ln x.

34
 Solving Euler Equations: (Case III)
• The characteristic equation has two complex roots r1,2 = λ±µi.

x    i  e(    i )ln x  x cos(  ln x)  ix sin(  ln x)

So, in the case of complex roots, the general solution will be:
y( x)  x λ (c1 cos( μ ln x)  c2 sin( μ ln x))

Example:
x 2 y ' '3 xy'4 y  0, the characteri stic equation is :
r(r-1 )  3r  4  0  r1, 2  1  3i.
 y(x)  c1 x 1 cos( 3 ln x)  c2 x 1 sin( 3 ln x).
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