EEF 210E

DIFFERENTIAL EQUATIONS

LECTURE 11
 6.6 The Convolution Integral

The equality of the two integrals follows by making the change of

variable in the first integral.

The following notation is used for the “convolution” operation.

Convolution integrals arise in various applications in which the
behavior of the system at time t depends not only on its state at time t
but also on its past history.
Systems of this kind are sometimes called hereditary systems and
occur in such diverse fields as neutron transport, viscoelasticity, and
population dynamics, among others.

The convolution has many of the properties of ordinary

multiplication.
For example:
However,there are other properties of ordinary multiplication that the
convolution integral does not have. For example, it is not true in
general that is equal to

If , then:

So, for this case.

 Proof of Theorem 6.6.1:

Since the integrand of the first integral does not depend on the integration
variable of the second, we can write as an iterated integral:

The second integral can be put into a more convenient form by

introducing a change of variable. Let ( is fixed)
Then:
Also, as ,
as
 The iterated integral on the right side is carried out over the shaded
wedge-shaped region extending to infinity in the tτ-plane.

Assuming that the order of integration can be reversed, we can write:

OR
Example Find the solution of the initial value problem
Consider the problem consisting of the differential equation

together with the initial conditions:

The coefficients a, b, and c describe the properties of some physical

system, and g(t) is the input to the system. The values and
describe the initial state, and the solution y is the output at time t.

So we can write
where
Consequently,

where and

is the solution of the initial value problem.

is the solution of:

We can find when the specific values of

a, b and c are known.
To find , let us write:

where
 The function H is known as the transfer function and depends only
on the properties of the system under consideration: H(s) is
determined entirely by the coefficients a, b, and c.
 On the other hand, G(s) depends only on the external excitation g(t)
that is applied to the system.
 Using convolution theorem, we can write:

 where and is the given forcing function.

Impulse Response of a System
To obtain a better understanding of the significance of
Apply the unit impulse function as the forcing function to the
system. Then: and ,then
This means that is the solution of the initial value problem:

is called the impulse response of the system.

 CHAPTER 7
Systems of First Order Linear Equations
7.1 Introduction
The general equation of a spring-mass-damper system:

Let us transform this equation into a system of first order equations.

Let:

Then we can write:

We can transform an arbitrary nth order equation

into a system of n first order equations.

Introduce variables:

In general, the system of n equations:

An nth order differential equation

can be written as n first order
differential equations.
A solution of this system of equations on the interval
is a set of n functions:

that are differentiable at all points in the interval I and that satisfy
the system of equations at all points in this interval.
In addition to the given system of differential equations,
there may also be given initial conditions of the form

where is a specified value of t in I, and are prescribed numbers.

The differential equations and the initial conditions together form
an initial value problem.
If each of the functions is a linear function of the dependent
variables then the system of equations is said to be linear;
otherwise, it is nonlinear. Thus the most general system of n first order
linear equations has the form

If each of the functions is zero for all t in the interval I, then

the system is said to be homogeneous; otherwise, it is nonhomogeneous.
 Note that, in contrast to the situation for a nonlinear system,
the existence and uniqueness of the solution of a linear system
are guaranteed throughout the interval in which the hypotheses
are satisfied.
Example
Example
Example
Homework (Review)

Please study

7.2 Review of Matrices

7.3 Systems of Linear Algebraic Equations; Linear Independence,

Eigenvalues, Eigenvectors
7.4 Basic Theory of Systems of First Order Linear Equations

Write it in matrix form:

Solution is:
are the components of
are the components of a vector
are elements of an matrix
A vector is said to be a solution of Eq. (2) if its components
satisfy the system of equations (1).
We assume that P and g are continuous on some interval
that is each of the scalar functions
are continuous there.
Let us first consider the homogeneous equation

We assume:
Specific solutions of this system are designated by:

Principle of Superposition (Similar to Theorem 3.2.2)

Solutions are:

By Theorem 7.4.1:

also satisfies the equation.

 If are solutions of then
is also a solution for any constants

Every finite linear combination of solutions of is also a solution.

Consider the matrix:

The columns of this matrix are

The columns of are linearly independent for a given value of t if and
only if for that value of t.
This determinant is called the Wronskian of the n solutions

The solutions are linearly independent at a point if and only

if is not zero there.
(Similar to Theorem 3.2.3)

For arbitrary constants , this is called the general solution.

Any set of solutions that is linearly independent
at each point in the interval is said to be a
fundamental set of solutions for that interval.

To prove Theorem 7.4.2, we will show that any solution of

can be written as for
suitable values of
 Let be some point in the interval and let

We have to determine whether there is any solution of the form

that also satisfies the same initial
condition
So, we want to determine whether there are values
such that

Or in scalar form:

• The necessary and sufficient condition so that there is a unique

solution is that the Wronskian
evaluated at is nonzero. Then are
linearly independent.
 So, if are linearly independent , then
is non-zero and a unique solution for
exists.

(Similar to Theorem 3.2.7)

This theorem relieves us of the necessity of examining at

all points in the interval of interest and enables us to determine whether
form a fundamental set of solutions merely by
evaluating their Wronskian at any convenient point in the interval.

Abel’s Theorem
(Similar to Theorem 3.2.5)
 (Similar to Theorem 3.2.6)

Substitute into

=0 =0
 Summary

1. Any set of n linearly independent solutions of the system

constitutes a fundamental set of solutions.

2. Under the conditions given in this section, such fundamental

sets always exist.

3. Every solution of the system can be represented as

a linear combination of any fundamental set of solutions.
 7.5 Homogeneous Linear Systems with
Constant Coefficients
Example Find the general solution of the system

and form a fundamental set of solutions.

 We found two independent solutions of the system
in the form of an exponential function multiplied by a vector.
 For the general solution of a system of equations, we are
looking for solutions of the form:

where the exponent r and the vector are to be determined.

 Substitute into

 Canceling the nonzero scalar factor

 We obtain:

 I: identity matrix
r: eigenvalue
: eigenvector
Example

Eigenvalues
Eigenvectors
Example

Eigenvalues
Eigenvectors
• To find solutions of the differential equation , we must
find the eigenvalues and eigenvectors of A from the associated
algebraic system.
• The eigenvalues are roots of the nth degree polynomial
equation

• The nature of the eigenvalues and the corresponding eigenvectors

determines the nature of the general solution of the system.
• If we assume that A is a real-valued matrix, then there are three
possibilities for the eigenvalues of A:
1. All eigenvalues are real and different from each other.
2. Some eigenvalues occur in complex conjugate pairs.
3. Some eigenvalues, either real or complex, are repeated.
If the n eigenvalues are all real and different, then associated with
each eigenvalue is a real eigenvector and the n eigenvectors
are linearly independent. The corresponding solutions
are:

never zero

are linearly independent

therefore this is nonzero.

form a fundamental set of solutions.

Example

Eigenvalues
Example