Differential and Difference

Equations
Single differential equation
Types of differential equations
( )
( ( ), '( ), ''( ), , ( )) 0
n
f x t x t x t x t =
( )
0 1 2
( ) ( ) ( ) ( ) '( ) ( ) ''( ) ( ) ( ) 0
n
n
b t a t x t a t x t a t x t a t x t + + + + + =
'( ) ( ) x t ax t =
Order
Linear (and non-homogeneous)
First order linear differential equations with constant coefficients
'( ) ( ) x t ax t b = +
Linear and homogeneous
( )
0 1 2
( ) ( ) ( ) '( ) ( ) ''( ) ( ) ( ) 0
n
n
a t x t a t x t a t x t a t x t + + + + =
Homogeneous
Non-homogeneous
Types of solutions
Solutions are functions of t.
Particular solution: one solution satisfying
the equation.
General solutions: all solutions satisfying
the equation.
Properties of the solution
(homogeneous) (I)
If ( )isasolutionto
h
x t
'( ) ( ) x t ax t =
Thenthegeneralsolutionto(1)is ( ).
h
Kx t
[ ( )]' [ ( )]' [ ( )]
h h h
Kx t K x t a Kx t = =
(1)
Properties of the solution (non-homogeneous) (II)
If ( )isasolutionto
h
x t
'( ) ( ) x t ax t =
and ( )isasolutionto
p
x t
LHSof(2) [ ( ) ( )]' {[ ( )]'} {[ ( )]'}
h p h p
Kx t x t Kx t x t = + = +
Thenthegeneralsolutionto(2)is ( ) (t).
h p
Kx t x +
(1)
'( ) ( ) x t ax t b = +
(2)
RHSof(2) [ ( ) ( )]
{ [ ( )]'} { [ ( )]' }
h p
h p
a Kx t x t b
a Kx t a x t b
= + +
= + +
Constructing general solutions to a homogeneous
differential equation
Homogeneousequation
'( ) ( ) x t ax t =
aparticularsolution
( ) ( )
h at
x t Kx t Ke = =
Usingproperty(I)toobtaingeneralsolutions
(1)
( )
h at
x t e =
Constructing general solutions to a
non-homogeneous differential equation
Non-homogeneousequation
'( ) ( ) x t ax t b = +
aparticularsolutionto(2)
( )
h at
x t e =
aparticularsolutiontothehomogeneouspartof(2)
(2)
( ) / note[ ( )]' 0
p p
x t b a x t = =
generalsolutionsto(2)
( ) ( ) ( ) /
h p at
x t Kx t x t Ke b a = + =
Methodtosolve(2)?
(*)
Picking a solution from (*)
(0) x c =
0
(0) / /
a
x Ke b a K b a

= =
Given initial condition
From (*)
So
/ K c b a = +
Stability of solutions
lim ( )
t
x t
+
<
Definition: A solution is stable if
For solutions to (2) to be stable, it requires a<0.
So
lim ( ) lim ( / )
/ ( )
at
t t
p
x t Ke b a
b a x t
+ +
=
= =
The limit b/a is called the steady-state of x(t).
A system of linear differential
equations
First order, constant coefficients.
Representation
'
1 11 1 12 2 1
'
2 21 1 22 2 2
( ) ( ) ( )
( ) ( ) ( )
x t a x t a x t b
x t a x t a x t b

= + +

= + +

'( ) ( ) , det( ) 0. x t Ax t b A = + =
An example
Converting to
'
1 11 12 1 1
2 21 22 2 2
( ) ( )
( ) ( )
x t a a x t b
x t a a x t b
| | | || | | |
= +
| | | |
\ . \ .\ . \ .
General form
where: x(t) nx1, A nxn, b nx1.
(3)
Solution method
[ ( )]' 0.
e
x t =
[ ( )]' 0 ( )
e e
x t Ax t b = = +
1
( ) .
e
x t A b

=
(i) Find a particular solution (steady state equilibrium) to (3):
Assume
So
and
( ) ( ) ( )
e
y t x t x t =
[ ( ) ( )]' [ ( ) ( )]
'( ) ( ) { ( ) }
'( ) ( )
e e
e
y t x t A y t x t b
y t Ay t Ax t b
y t Ay t
+ = + +
= + +
=
(ii) Find general solutions (compensating solutions)
to homogeneous part of (3):
Let
Sub. Into (3)
( ) ( ) ( )
e
x t y t x t = +
1
A QDQ

=
1
1 1
1 1
'( ) ( )
'( ) ( )
[ ( )]' [ ( )]
'( ) ( )
y t QDQ y t
Q y t DQ y t
Q y t D Q y t
z t Dz t

=
=
=
=
1
( ) ( ) z t Q y t

=
Eigen-decomposition of A
So
Here
( ) ( ) y t Qz t =
or
'( ) ( ) z t Dz t =
'
1
1 1
'
2 2
2
'
( )
0 0 ( )
0 0 ( )
( )
0 ( )
( )
n n
n
z t
z t
z t
z t
z t
z t

| |
| || |
|
| |
|
| |
=
|
| |
|
| |
|
\ .\ .
\ .
( )
i
t
i i
z t K e

=
Solving
Note
Individual z(t)
So
'
( ) ( )
i i i
z t z t =
1
1 2
1
1
1 2
1
1 1 2 2
( ) ( ) ( )
( ) ( )
( , , , )
n
n
e
e
t
n
t
n
t t t
n n
x t y t x t
Qz t x t
K e
v v v A b
K e
K v e K v e K v e A b

= +
= +
| |
|
=
|
|
\ .
= + + +
(iii) General solutions to (3):
'
1 1
'
2
2
( ) ( ) 1 2 1
( ( ) )
( ) 0 1 2
( )
x t x t
Ax t b
x t
x t
| |
| | | | | |
= + = +
|
| | |
|

\ . \ . \ .
\ .
1
0
| |
|
\ .
1
5
( )
2
e
x t A b

| |
= =
|
\ .
Example
Particular solution
and
Complementary solutions
(general solutions to the homogeneous part)
Engenvalues of A: 1 and -1
Corresponding eigenvectors:
1
1
| |
|

\ .
General solutions
1 2
1 1 5
( )
0 1 2
t t
x t K e K e

| | | | | |
= + +
| | |

\ . \ . \ .
Phase diagram
Graphic illustration of general solutions.
Consider only 2-equation system.
Relationship between x1(t) and x2(t) over
time.
Term.: a solution in the phase diagram is
called a manifold.
'
1 1 2
'
2 2
( ) ( ) 2 ( ) 1
( ) ( ) 2
x t x t x t
x t x t
= + +
= +
2
x
1
x
Example
1 2
2 1 0 x x + + =
2
2 x =
E
-5
2
Stable Manifold
Unstable Manifold
Integral Curve
Correspondence (I)
0 When (i)
2 1
= = K K
|
.
|

\
|

=
2
5
) (t x
0 , 0 When (ii)
2 1
= = K K
General solutions
1 2
1 1 5
( )
0 1 2
t t
x t K e K e

| | | | | |
= + +
| | |

\ . \ . \ .
Steady-state equilibrium:
Stable manifold: |
.
|

\
|

+ |
.
|

\
|

=

2
5
1
1
) (
2
t
e K t x
Straight line: goes thru point (-5,2) with a slope given by
the vector (1, -1).
Correspondence (II)
0 , 0 When (iv)
2 1
= = K K
0 , 0 When (iii)
2 1
= = K K
General solutions
1 2
1 1 5
( )
0 1 2
t t
x t K e K e

| | | | | |
= + +
| | |

\ . \ . \ .
Integral curves.
Unstable manifold: |
.
|

\
|

+ |
.
|

\
|
=
2
5
0
1
) (
1
t
e K t x
Straight line: goes thru point (-5,2) with a slope given by
the vector (1, 0).
Difference equation
Single linear, first order difference equation
with constant coefficients
t t
ax x =
+1
G x =
0
Let
Ga ax x = =
0 1
2
1 2
Ga ax x = =
Homogeneous:
Forward iteration
t
t
Ga x =
Stability?
. 1 ,
1
= + =
+
a b ax x
t t
e e
t
e
t
x x x = =
+1
Let
) 1 /( , a b x b ax x
e e
e
= + =
) 1 /( a b Ga x y x
t e
t t
+ = + =
Non-homogeneous:
Steady-state (particular solution)
t t
ay y =
+1
General solutions:
Transform (4) into a homogeneous equation
(4)
e
t
x x y =
t
Let
Then
t
t
Ga y =
A system of difference equations

+ + =
+ + =
+
+
2 , 2 22 , 1 21 1 , 2
1 , 2 12 , 1 11 1 , 1
b x a x a x
b x a x a x
t t t
t t t
vector. 1 a is and
matrix, a is vectors, 1 are and : where
1 t t

+
n b
n n C n x x
. 0 ) det( ,
1
= + =
+
C I b Cx x
n t t
Example:
Converting to
General form
|
.
|

\
|
+
|
|
.
|

\
|
|
.
|

\
|
=
|
|
.
|

\
|
+
+
2
1
, 2
, 1
22 21
12 11
1 , 2
1 , 1
b
b
x
x
a a
a a
x
x
t
t
t
t
(5)
Solution method
b C I x b Cx x
n
e e e 1
) (

= + =
(i) Find a particular solution (steady state equilibrium)
Converting (5) to a homogeneous system
e
t t
x x y = Let
e
x x x = =
+
e
1 t
e
t
Let
t t
Cy y =
+1
Then
t t
y QDQ y
1
1

+
=
1
= QDQ C
(ii) Solving the homogeneous system
then ) ( Let
1
t t t t
Qz y y Q z = =

t t
Dz z =
+1
|
|
|
.
|

\
|
|
|
|
.
|

\
|
=
|
|
|
.
|

\
|
+
+
t n
t
n t n
t
z
z
z
z
,
, 1 1
1 ,
1 , 1
0 0
0 0
0 0

t t
y DQ y Q
1
1
1
+

=
t
i i t i
G z ) (
,
=
e
t
x Qz + =
e
t t
x y x + =
(iii) General solution
b C I v G v G
n
t
n n n
t 1
1 1 1
) ( ) ( ) (

+ + + =
e
t
n n
t
n
x
G
G
v v +
|
|
|
|
.
|

\
|
=
) (
) (
) , , (
1 1
1

Higher order difference equations
1
Let
t t t
y x x
+
=
E.g.
So
2 1
3 2 6 0
t t t
x x x
+ +
+ + =
2 1 1
4( ) 6 6 0
t t t t t
x x x x x
+ + +
+ + =
1
4 6 6 0
t t t
y y x
+
+ + =
1 t t t
x x y
+
= +
1
6 4 6
t t t
y x y
+
= +
(2)Let
e
t t
z x x =
Alternatively,
So
3 2 6 0
e e e
x x x + + =
2 1
3 2 0
t t t
z z z
+ +
+ + =
Assumez
t
t
=
1 2
1 2
t t
t
z G G = +
1 2
2 1
t
t
x G G = + +
(1) Find a particular solution x^e,
2
1 2
then ( 3 2) 0
1, 2
t


+ + =
= =
1
e
x =