Chapter 4

Systems of Linear Differential

Equations

Introduction to Systems
Up to this point the entries in a vector or matrix have been real numbers. In
this section, and in the following sections, we will be dealing with vectors and matri-
ces whose entries are functions. A vector whose components are functions is called
a vector-valued function or vector function. Similarly, a matrix whose entries are
functions is called a matrix function.

The operations of vector and matrix addition, multiplication by a number and

matrix multiplication for vector and matrix functions are exactly as defined in Chap-
ter 5 so there is nothing new in terms of arithmetic. However, there are operations on
functions other than arithmetic operations, e.g., limits, differentiation, and integra-
tion, that we have to define for vector and matrix functions. These operation from
calculus are defined in a natural way.

Let v(t) = (f1 (t), f2(t), . . . , fn (t)) be a vector function whose compo-
nents are defined on an interval I.
Limit: Let c ∈ I. If lim fi (t) = αi exists for i = 1, 2, . . . n, then
x→c
 
lim v(t) = lim f1 (t), lim f2 (t), . . . , lim fn (t) = (α1 , α2 , . . . , αn ) .
t→c t→c t→c t→c

Limits of vector functions are calculated “component-wise.”

Derivative: If f1 , f2 , . . . , fn are differentiable on I, then v is

87
 differentiable on I, and

v0 = ((f10 (t), f20 (t), . . . , fn0 (t)) .

That is, v0 is the vector function whose components are the derivatives
of the components of v.
Integration: Since differentiation of vector functions is done component-
wise, integration must also be component-wise. That is
Z Z Z Z 
v(t) dt = f1 (t) dt, f2(t) dt, . . . , fn (t) dt .

Limits, differentiation and integration of matrix functions is done in ex-

actly the same way, component-wise.

4.1. Systems of Linear Differential Equations

Consider the third-order linear differential equation

y 000 + p(t)y 00 + q(t)y 0 + r(t)y = f (t)

where p, q, r, f are continuous functions on some interval I. Solving the equation

for y 000, we get
y 000 = −r(t)y − q(t)y 0 − p(t)y 00 + f (t).

Introduce new dependent variables x1 , x2, x3 , as follows:

x1 = y
x2 = x01 (= y 0)
x3 = x02 (= y 00)

Then
y 000 = x03 = −r(t)x1 − q(t)x2 − p(t)x3 + f (t)
and the third-order equation can be written equivalently as a system of three first-
order equations:

x01 = x2
x02 = x3
x03 = −r(t)x1 − q(t)x2 − p(t)x3 + f (t)

88
Example 1. (a) Consider the third-order nonhomgeneous equation

y 000 − y 00 − 8y 0 + 12y = 2et.

Solving the equation for y 000, we have

y 000 = −12y + 8y 0 + y 00 + 2et .

Let x1 = y, x01 = x2 (= y 0), x02 = x3 (= y 00). Then

y 000 = x03 = −12x1 + 8x2 + x3 + 2et

and the equation converts to the equivalent system:

x01 = x2
x02 = x3
x03 = −12x1 + 8x2 + x3 + 2et

Note: This system is just a very special case of the “general” system of three,
first-order differential equations:

x01 = a11(t)x1 + a12(t)x2 + a13(t)x3(t) + b1(t)

x02 = a21(t)x1 + a22(t)x2 + a23(t)x3(t) + b2(t)
x03 = a31(t)x1 + a32(t)x2 + a33(t)x3(t) + b3(t)

(b) Consider the second-order homogeneous equation

t2y 00 − ty 0 − 3y = 0.

Solving this equation for y 00, we get

3 1
y 00 = 2
y + y0.
t t
To convert this equation to an equivalent system, we let x1 = y, x01 = x2 (= y 0).
Then we have

x01 = x2
3 1
x02 = 2 x1 + x2
t t
which is just a special case of the general system of two first-order differential equa-
tions:

x01 = a11(t)x1 + a12(t)x2 + b1 (t)

x02 = a21(t)x1 + a22(t)x2 + b2 (t)

89
General Theory

Let a11(t), a12(t), . . . , a1n(t), a21(t), . . . , ann (t), b1 (t), b2(t), . . . , bn (t) be contin-
uous functions on some interval I. The system of n first-order differential equations

x01 = a11(t)x1 + a12(t)x2 + · · · + a1n(t)xn (t) + b1(t)

x02 = a21(t)x1 + a22(t)x2 + · · · + a2n(t)xn (t) + b2(t)
.. .. (S)
. .
x0n = an1 (t)x1 + an2(t)x2 + · · · + ann (t)xn (t) + bn (t)

is called a first-order linear differential system.

The system (S) is homogeneous if

b1 (t) ≡ b2(t) ≡ · · · ≡ bn (t) ≡ 0 on I.

(S) is nonhomogeneous if the functions bi (t) are not all identically zero on I; that
is, if there is at least one point a ∈ I and at least one function bi (t) such that
bi (a) 6= 0.

Let A(t) be the n × n matrix

 
a11(t) a12(t) · · · a1n (t)
 
 a21(t) a22(t) · · · a2n (t) 
A(t) = 
 .. .. .. 

 . . . 
an1 (t) an2 (t) · · · ann (t)

and let x and b be the vectors

   
x1 b1
   
 x2   b2 
x=
 .. ,
 b=
 .. .

 .   . 
xn bn

Then (S) can be written in the vector-matrix form

x0 = A(t) x + b. (S)

The matrix A(t) is called the matrix of coefficients or the coefficient matrix.

Example 2. The vector-matrix form of the system in Example 1(a) is:

   
0 1 0 0
0    
x = 0 0 1 x +  0 ,
−12 8 1 2et

90
a nonhomogeneous system.

The vector-matrix form of the system in Example 1(b) is:

! ! ! !
0 1 0 0 1 x1
x0 = x+ = x, where x = ,
3/t2 1/t 0 3/t2 1/t x2

a homogeneous system.

A solution of the linear differential system (S) is a differentiable vector function

 
x1(t)
 
 x2(t) 

x(t) =  .. 

 . 
xn (t)

that satisfies (S) on the interval I.

   
1 t
e2t e
   2 
Example 3. Verify that x(t) =  2e2t  +  21 et  is a solution of the nonho-
1 t
4e2t 2
e
mogeneous system    
0 1 0 0
0    
x = 0 0 1 x +  0 
−12 8 1 2et
of Example 2.

91
SOLUTION
   0
1 t
e2t e
 2t   21 t 
x0 =  2e  +  2 e 
1 t
4e2t 2
e
   
1 t
2e2t e
 2t   21 t 
=  4e  +  2 e 
1 t
8e2t 2
e
       
1 t
0 1 0 e2t e 0
?    2t   21 t   
=  0 0 1   2e  +  2 e  +  0 
1 t
−12 8 1 4e2t 2
e 2et
       
1 t
0 1 0 e2t 0 1 0 e 0
?   2t    2   
=  0 0 1  2e  +  0 0 1  21 et  +  0 
2t 1 t
−12 8 1 4e −12 8 1 2
e 2et
     
1 t
2e2t e 0
 2t   21 t   
=  4e  +  2 e  +  0 
8e2t − 32 et 2et
   
1 t
2e2t e
 2t   21 t 
=  4e  +  2 e .
1 t
8e2t 2
e

x is a solution.

THEOREM 1. (Existence and Uniqueness Theorem) Let a be any point on the

interval I, and let α1 , α2 , . . . , αn be any n real numbers. Then the initial-value
problem  
α1
 
 α2 
0
x = A(t) x + b(t), x(a) =  
 .. 
 . 
αn
has a unique solution.

Exercises 4.1

Convert the differential equation into a system of first-order equations.

1. y 00 − ty 0 + 3y = sin 2t.

92
 2. y 00 + y = 2e−2t .

3. y 000 − y 00 + y = et .

4. my 00 + cy 0 + ky = cos λt, m, c, k, λ are constants.

Write the system in vector-matrix form.

5.

x01 = −2x1 + x2 + sin t

x02 = x1 − 3x2 − 2 cos t

6.

x01 = etx1 − e2tx2

x02 = e−t x1 − 3et x2

7.

x01 = 2x1 + x2 + 3x3 + 3e2t

x02 = x1 − 3x2 − 2 cos t
x03 = 2x1 − x2 + 4x3 + t

8.

x01 = t2 x1 + x2 − tx3 + 3
x02 = −3et x2 + 2x3 − 2e−2t
x03 = 2x1 + t2 x2 + 4x3
!
t−1
9. Verify that u(t) = is a solution of the system in Example 1 (b).
−t−2
   
1 t
e−3t e
   2 
10. Verify that u(t) =  −3e−3t  +  21 et  is a solution of the system in
1 t
9e−3t 2
e
Example 1 (a).
 
te2t
 
11. Verify that w(t) =  e2t + 2te2t  is a solution of the homogeneous system
4e2t + 4te2t
associated with the system in Example 1 (a).

93
 !
− sin t
12. Verify that x(t) = is a solution of the system
− cos t − 2 sin t
! !
−2 1 0
x0 = x+ .
−3 2 2 sin t
 
−2e−2t
 
13. Verify that x(t) =  0  is a solution of the system
3e−2t
 
1 −3 2
0  
x = 0 −1 0 x.
0 −1 −2

4.2. Homogeneous Systems

In this section we give the basic theory for linear homogeneous systems. This “theory”
is simply a repetition results given in Sections 3.2 and 3.6, phrased this time in terms
of the system
x01 = a11(t)x1 + a12(t)x2 + · · · + a1n(t)xn (t)
x02 = a21(t)x1 + a22(t)x2 + · · · + a2n(t)xn (t)
.. .. (H)
. .
x0n = an1 (t)x1 + an2(t)x2 + · · · + ann (t)xn (t)
or
x0 = A(t)x. (H)
 
0
 
 0 
Note first that the zero vector z(t) ≡ 0 = 
 ..  is a solution of (H). As before,

 . 
0
this solution is called the trivial solution. Of course, we are interested in finding
nontrivial solutions.

THEOREM 1. If x1 , x2, . . . , xk are solutions of (H), and if c1 , c2, . . . , ck are

real numbers, then
c1 x1 + c2 x2 + · · · + ck xk
is a solution of (H); any linear combination of solutions of (H) is also a solution of
(H).

94
DEFINITION 1. Let
     
x11(t) x12(t) x1k (t)
     
 x21(t)   x22(t)   x2k (t) 
x1 = 
 .. ,
 x2 = 
 .. , . . . ,
 xk = 
 .. 

 .   .   . 
xn1 (t) xn2 (t) xnk (t)
be n-component vector functions defined on some interval I. The vectors are linearly
dependent on I if there exist k real numbers c1 , c2 , . . . , ck , not all zero, such
that
c1x1 (t) + c2 x2(t) + · · · + ck xk (t) ≡ 0 on I.
Otherwise the vectors are linearly independent on I.
THEOREM 2. Let x1, x2, . . . , xn be n, n-component vector functions defined
on an interval I. If the vectors are linearly dependent, then

x11 x12 · · · x1n

x21 x22 · · · x2n
W (t) = .. .. .. .. ≡ 0 on I.
. . . .
xn1 xn2 · · · xnn

The determinant in Theorem 4 is called the Wronskian of the vector functions

x1 , x2 , . . . , xn .

COROLLARY Let x1 , x2, . . . , xn be n, n-component vector functions defined

on an interval I. If the Wronskian W (t) 6= 0 for at least one t ∈ I, then the
vectors are linearly independent on I.
Example 1. The vector functions
! !
t3 t−1
u= and x =
3t2 −t−2

are solutions of the homogeneous system in Example 1(b), Section 4.1. Their Wron-
skian is:
t3 t−1
W (t) = = −4t.
3t2 −t−2
The solutions are linearly independent.

The vector functions

     
e2t e−3t te2t
     
x1 =  2e2t , x2 =  −3e−3t , x3 =  e2t + 2te2t 
4e2t 9e−3t 4e2t + 4te2t

95
are solutions of the homogeneous system
 
0 1 0
 
x0 =  0 0 1 x.
−12 8 1

Their Wronskian is:

e2t e−3t te2t

W (t) = 2e2t −3e−3t e2t + 2te2t = −25et .
4e2t 9e−3t 4e2t + 4te2t

These solutions are linearly independent.

THEOREM 3. Let x1 , x2, . . . , xn be n solutions of (H). Exactly one of the

following holds:

1. W (x1, x2, . . . , xn )(t) ≡ 0 on I and the solutions are linearly dependent.

2. W (x1, x2, . . . , xn )(t) 6= 0 for all t ∈ I and the solutions are linearly
independent.

It is easy to construct sets of n linearly independent solutions of (H). Simply pick

any point a ∈ I and any nonsingular n × n matrix A. Let α1 be the first column
of A, α2 the second column of A, and so on. Then let x1 be the solution of (H)
such that x1 (a) = α1 , let x2 be the solution of (H) such that x2(a) = α2 , . . .,
and let xn be the solution of (H) such that xn = αn . The existence and uniqueness
theorem guarantees the existence of these solutions. Now

W (x1, x2, . . . , xn )(a) = det A 6= 0.

Therefore, W (t) 6= 0 for all t ∈ I and the solutions are linearly independent.

A particularly nice set of n linearly independent solutions is obtained by choosing

A = In , the identity matrix.

THEOREM 4. Let x1, x2, . . . , xn be n linearly independent solutions of (H). Let

u be any solution of (H). Then there exists a unique set of constants c1 , c2, . . . , cn
such that
u = c1x1 + c2x2 + · · · + cn xn .
That is, every solution of (H) can be written as a unique linear combination of
x1 , x2 , . . . , xn .

96
DEFINITION 2. A set {x1, x2, . . . , xn } of n linearly independent solutions of
(H) is called a fundamental set of solutions. A fundamental set of solutions is also
called a solutions basis for (H). If x1, x2 , . . . , xn is a fundamental set of solutions
of (H), then the n × n matrix
 
x11(t) x12(t) · · · x1n (t)
 
 x21(t) x22(t) · · · x2n (t) 
X(t) =  .. .. .. 

 . . . 
xn1 (t) xn2 (t) · · · xnn (t)

(the vectors x1, x2, . . . , xn are the columns of X) is called a fundamental matrix for
(H).

DEFINITION 3. Let x1, x2, . . . , xn be a fundamental set of solutions of (H).

Then
x = c1 x1 + c2 x2 + · · · + cn xn ,
where c1 , c2, . . . , cn are arbitrary constants, is the general solution of (H).

Exercises 4.2

Determine whether or not the vector functions are linearly dependent.

! !
2t − 1 −t + 1
1. x1 = , x2 =
−t 2t
! !
cos t sin t
2. x1 = , x2 =
sin t cos t
     
2−t t 2+t
     
3. x1 =  t , x2 =  −1 , x3 =  t − 2 .
−2 2 2
     
et −et 0
     
4. x1 =  −et , x2 =  2et , x3 =  et .
et −et 0
! ! !
t
e 0 0
5. x1 = , x2 = , x3 =
0 0 et

97
 6. Given the linear differential system
!
5 −3
x0 = x.
2 0
Let ! !
e2t 3e3t
x1 = and x2 = .
e2t 2e3t

(a) Show that x1, x2 are a fundamental set of solutions of the system.
(b) Let X be the corresponding fundamental matrix. Show that

X 0 = AX.

(c) Give the general solution of the system.

!
1
(d) Find the solution of the system that satisfies x(0) = .
0

7. Let X be the matrix function

 
0 4te−t e−t
 
X(t) =  1 e−t 0 
1 0 0
(a) Verify that X is a fundamental matrix for the system
 
−1 4 −4
 
x0 =  0 −1 1 x.
0 0 0
 
0
 
(b) Find the solution of the system that satisfies x(0) =  1 .
2

4.3. Homogeneous Systems with Constant Coefficients

A homogeneous system with constant coefficients is a linear differential system having
the form

x01 = a11x1 + a12x2 + · · · + a1n xn

x02 = a21x1 + a22x2 + · · · + a2n xn
.. ..
. .
x0n = an1 x1 + an2 x2 + · · · + ann xn

98
where a11, a12, . . . , ann are constants. The system in vector-matrix form is
  
x01 a11 a12 · · · a1n x1
x02  a21 a22 · · · a2n    →
−
   x2 
=   or x0 = A− →
x.
−  − − − −  − 
0
xn an1 an2 · · · ann xn

Example 1. Consider the 3rd order linear homogeneous differential equation

y 000 − y 00 − 8y 0 + 12y = 0.

The characteristic equation is:

r3 − r2 − 8r + 12 = (r − 2)2 (r + 3) = 0

and {e2t, te2t, e−3t} is a solution basis for the equation.

The corresponding linear homogeneous system is

 
0 1 0
 
x0 =  0 0 1 x
−12 8 1
and    
e2t 1
 2t  2t  
x1(t) =  2e  = e  2 
4e2t 4
is a solution vector. Similarly,
 
1
 
x2(t) = e−3t  3 
9
is a solution vector.

The example suggests that homogeneous systems with constant coefficients might
have solution vectors of the form x(t) = eλt v, for some number λ and some
constant vector v.

If x(t) = eλt v is a solution vector of (H), then

x0 = Ax which implies λeλt v = Aeλt v and so Av = λ v.

The latter equation is an eigenvalue-eigenvector equation for A. Thus, we look for

solutions of the form x(t) = eλtx where λ is an eigenvalue of A and c is a
corresponding eigenvector.

99
Example 2. Find a fundamental set of solution vectors of
!
1 5
x0 = x
3 3

and give the general solution of the system.

SOLUTION First we find the eigenvalues:

1−λ 5
det(A − λI) = = (λ − 6)(λ + 2).
3 3−λ

The eigenvalues are λ1 = 6 and λ2 = −2.

Next, we find corresponding eigenvectors. For λ1 = 6 we have:

! ! !
−5 5 x1 0
(A − 6I)x = = which implies x1 = x2, x2 arbitrary.
3 −3 x2 0
!
1
Setting x2 = 1, we get the eigenvector .
1
!
5
Repeating the process for λ2 = −2, we get the eigenvector .
−3
! !
1 5
Thus x1 = e6t and x2 = e−2t are solution vectors of the system.
1 −3

The Wronskian of x1 and x2 is:

e6t 5e−2t
W (t) = = −8e4t 6= 0.
e6t −3e−2t

Thus x1 and x2 are linearly independent; they form a fundamental set of solutions.
The general solution of the system is
! !
1 5
x(t) = c1x1 + c2x2 = c1 e6t + c2 e−2t .
1 −3

Example 3. Find a fundamental set of solution vectors of

 
3 −1 −1
 
x0 =  −12 0 5 x
4 −2 −1

100
  
1
 
and find the solution that satisfies the initial condition x(0) =  0 .
1

SOLUTION

3 − λ −1 −1
det(A − λI) = −12 −λ 5 = −λ3 + 2λ2 + λ − 2.
4 −2 −1 − λ

Now

det(A − λI) = 0 implies λ3 − 2λ2 − λ + 2 = (λ − 2)(λ − 1)(λ + 1) = 0.

The eigenvalues are λ1 = 2, λ2 = 1, λ3 = −1.

As you can check, corresponding eigenvectors are:

     
1 3 1
     
v1 =  −1  , v2 =  −1  , v3 =  2  .
2 7 2

A fundamental set of solution vectors is:

     
1 3 1
     
x1 = e2t  −1  , x2 = et  −1  , x3 = e−t  2  .
2 7 2

since distinct exponential vector-functions are linearly independent (calculate the

Wronskian to verify.)

To find the solution vector satisfying the initial condition, solve

 
1
 
c1 x1(0) + c2 x2(0) + c3 x3(0) =  0 
1

which is:        
1 3 1 1
       
c1  −1  + c2  −1  + c3  2  =  0 
2 7 2 1
or     
1 3 1 c1 1
    
 −1 −1 2   c2  =  0  .
2 7 2 c3 1

101
 Note: The matrix of coefficients is the fundamental matrix evaluated at t = 0

Using the solution method of your choice (row reduction, inverse, Cramer’s rule),
the solution is: c1 = 3, c2 = −1, c3 = 1. The solution of the initial-value problem is
     
1 3 1
2t   t  −t  
x = 3e  −1  − e  −1  + e  2  .
2 7 2

Two Difficulties

There are two difficulties that can arise:

1. A has complex eigenvalues.

If λ = a + bi is a complex eigenvalue with corresponding (complex) eigenvector

u + i x, then λ = a − bi (the complex conjugate of λ) is also an eigenvalue of A
and u − i x is a corresponding eigenvector. The corresponding linearly independent
complex solutions of x0 = Ax are:

w1 = e(a+bi)t(u + i x) = eat(cos bt + i sin bt)(u + i x)

= eat [(cos bt u − sin bt x) + i(cos bt x + sin bt u)]

w2 = e(a−bi)t(u − i x) = eat (cos bt − i sin bt)(u − i x)

= eat [(cos bt u − sin bt x) − i(cos bt x + sin bt u)]

Now
1
x1(t) = 2
[w1 (t) + w2 (t)] = eat(cos bt u − sin bt x)
and
1
x2(t) = 2i
[w1 (t) − w2 (t)] = eat(cos bt x + sin bt u)
are linearly independent solutions of the system, and they are real-valued vector
functions. It is worth noting that x1 and x2 are simply the real and imaginary
parts of w1 (or of w2 ).

Example 4. Determine a fundamental set of solution vectors of

 
1 −4 −1
 
x0 =  3 2 3 x.
1 1 3

102
SOLUTION

1−λ −4 −1
det(A−λI) = 3 2−λ 3 = −λ3 +6λ2 −21λ+26 = −(λ−2)(λ2 −4λ+13).
1 1 3−λ

The eigenvalues are: λ1 = 2, λ2 = 2+3i, λ3 = 2−3i. The corresponding eigenvectors

are:        
1 −5 + 3i −5 3
       
v1 =  0  , v2 =  3 + 3i  =  3  + i  3 
−1 2 2 0
     
−5 − 3i −5 3
     
v3 =  3 − 3i  =  3  − i  3  .
2 2 0

Now
   
−5 3
(2+3i)t     
e  3  + i  3  =
2  0   
−5 3
2t    
e (cos 3t + i sin 3t)  3  + i  3  =
   2   0     
−5 3 3 −5
         
e2t cos 3t  3  − sin 3t  3  + i e2t cos 3t  3  + sin 3t  3  .
2 0 0 2

A fundamental set of solution vectors for the system is:

      
1 −5 3
2t   2t     
x1 = e  0  , x2 = e cos 3t  3  − sin 3t  3  ,
−1 2 0
    
3 −5
    
x3 = e2t cos 3t  3  + sin 3t  3  .
0 2

2. A has an eigenvalue of multiplicity greater than 1

We’ll look first at the case where A has an eigenvalue of multiplicity 2.

103
  
1 −3 3
 
Example 5. Let A =  3 −5 3 .
6 −6 4

1−λ −3 3
det(A − λI) = 3 −5 − λ 3 = −λ3 + 12λ − 16 = −(λ − 4)(λ + 2)2 .
6 −6 4 − λ

The eigenvalues are: λ1 = 4, λ2 = λ3 = −2.


1
 
As you can check, an eigenvector corresponding to λ1 = 4 is v1 =  1 .
2

We’ll carry out the details involved in finding an eigenvector corresponding to the
“double” eigenvalue −2.
    
3 −3 3 v1 0
    
[A − (−2)I]v =  3 −3 3   v2  =  0  .
6 −6 6 v3 0

The augmented matrix for this system of equations is

   
3 −3 3 0 1 −1 1 0
   
 3 −3 3 0  which row reduces to  0 0 0 0 
6 −6 6 0 0 0 0 0

The solutions of this system are: v1 = v2 −v3, v2 , v3 arbitrary. We can assign values
to v2 and v3 independently and obtain two linearly independenteigenvectors.
 For
1
 
example, setting v2 = 1, v3 = 0, we get the eigenvector v2 =  1 . Reversing
0
 
1
 
the roles, we set v2 = 0, v3 = −1 to get the eigenvector v3 =  0 . Clearly
−1
v2 and v3 are linearly independent. You should understand that there is nothing
magic about our two choices for v2 , v3 ; any choice which produces two independent
vectors will do.

The important thing to note here is that this eigenvalue of multiplicity 2 produced
two independent eigenvectors.

104
 Based on our work above, a fundamental set of solutions for the differential system
 
1 −3 3
 
x0 =  3 −5 3 x
6 −6 4
is 
    
1 1 1
4t   −2t    
x1 = e  1  , x2 = e  1  , x3 = e−2t  0  .
2 0 −1
 
0 1 0
 
Example 6. Let A =  0 0 1 
12 8 −1

−λ 1 0
det(A − λI) = 0 −λ 1 = −λ3 − λ2 + 8λ − 12 = −(λ − 3)(λ + 2)2 .
12 8 −1 − λ
The eigenvalues are: λ1 = 3, λ2 = λ3 = −2.

1
 
As you can check, an eigenvector corresponding to λ1 = 3 is v1 =  3 .
9

We’ll carry out the details involved in finding an eigenvector corresponding to the
“double” eigenvalue −2.
    
2 1 0 v1 0
    
[A − (−2)I]v =  0 2 1   v2  =  0  .
12 8 1 v3 0
The augmented matrix for this system of equations is
   
2 1 0 0 2 1 0 0
   
 0 2 1 0  which row reduces to  0 2 1 0 
12 8 1 0 0 0 0 0

The solutions of this system are v1 = 14 v3 , v2 = − 12 v3, v3 arbitrary. Here there is

only one parameterand so we’ll get only one eigenvector. Setting v3 = 4 we get the
1
 
eigenvector v2 =  −2 .
4

In contrast to the preceding example, the “double” eigenvalue here has only one
(independent) eigenvector.

105
 Suppose that we were asked to find a fundamental set of solutions of the linear
differential system  
0 1 0
0  
x = 0 0 1 x.
12 8 −1
By our work above, we have two independent solutions
   
1 1
   
x1 = e3t  3  and x2 = e−2t  −2  .
9 4
We need a third solution which is independent of these two.

Our system has a special form; it is equivalent to the third order equation

y 000 + y 00 − 8y 0 − 12y = 0.

The characteristic equation is

r3 + r2 − 8r − 12 = (r − 3)(r + 2)2 = 0

(compare with det(A−λI).) The roots are: r1 = 3, r2 = r3 = −2 and a fundamental

set of solutions is {y1 = e3t, y2 = e−2t, y3 = te−2t}. The correspondence between
these solutions and the solution vectors we found above should be clear:
   
1 1
   
e3t −→ e3t  3  , e−2t −→ e−2t  −2  .
9 4

The solution y3 = te−2t of the equation corresponds to the solution vector

       
y3 te−2t 0 1
 0       
x3 =  y3 = e−2t − 2te−2t  = e−2t  1  + te−2t  −2  .
y300 −4e−2t − 4te−2t −4 4
The appearance of the te−2t v2 term should not be unexpected since we know that
a characteristic root of multiplicity 2 produces a solution of the form tert.

You can check that x3 is independent of x1 and x2 . Therefore, the solution

vectors x1, x2 , x3 are a fundamental set of solutions of the system.
 
0
 
The question is: What is the significance of the vector w =  1 ? How
−4
is it related to the eigenvalue −2 which generated it, and to the corresponding
eigenvector?

106
 Let’s look at [A − (−2)I]w = [A + 2I]w:
    
2 1 0 0 1
    
[A + 2I]w =  0 2 1   1  =  −2  = v2;
12 8 1 −4 4

A − (−2)I “maps” w onto the eigenvector v2. The corresponding solution of the
system has the form
x3 = e−2tw + te−2tv2
where v2 is the eigenvector corresponding to −2 and w satisfies

[A − (−2)I]w = v2.

General Result

Given the linear differential system x0 = Ax. Suppose that A has an eigenvalue λ
of multiplicity 2. Then exactly one of the following holds:

1. λ has two linearly independent eigenvectors, v1 and v2. Corresponding

linearly independent solution vectors of the differential system are x1 (t) = eλtv1
and x2(t) = eλtv2 .

2. λ has only one (independent) eigenvector v. Then a linearly independent pair

of solution vectors corresponding to λ are:

x1(t) = eλtv and x2(t) = eλtw + teλtv

where w is a vector that satisfies (A − λI)w = v. The vector w is called a

generalized eigenvector corresponding to the eigenvalue λ.
!
1 −1
Example 7. Find a fundamental set of solution vectors of x0 = x.
1 3

SOLUTION

1−λ −1
det(A − λI) = = λ2 − 4λ + 4 = (λ − 2)2 .
1 3−λ

Characteristic values: λ1 = λ2 = 2.

Characteristic vectors:
! ! !
−1 −1 v1 0
(A − 2I)v = = ;
1 1 v2 0

107
 ! !
−1 −1 0 1 1 0
−→ .
1 1 0 0 0 0
The solutions are: v1 = −v2!, v2 arbitrary; there is only one eigenvector. Setting
1
v2 = −1, we get v = .
−1
!
1
The vector x1 = e2t is a solution of the system.
−1

A second solution, independent of x1 is x2 = e2tw +te2t v where w is a solution

of (A − 2I)z = v:
! ! !
−1 −1 z1 1
(A − 2I)z = = ;
1 1 z2 −1
! !
−1 −1 1 1 1 −1
−→ .
1 1 1 0 0 0
The solutions of this system are z1 = −1 − z2, z2 arbitrary. If
! we choose z2 = 0
−1
(any choice for z2 will do), we get z1 = −1 and w = . Thus
0
! !
−1 1
x2(t) = e2t + te2t
0 −1

is a solution of the system independent of x1. The solutions

! ! !
1 −1 1
x1(t) = e2t , x2(t) = e2t + te2t
−1 0 −1

are a fundamental set of solutions of the system.

Eigenvalues of Multiplicity 3.

Given the differential system x0 = Ax. Suppose that λ is an eigenvalue of A of

multiplicity 3. Then exactly one of the following holds:

1. λ has three linearly independent eigenvectors v1, v2, v3. Then three linearly
independent solution vectors of the system corresponding to λ are:

x1(t) = eλtv1 , x2 (t) = eλtv2, x3(t) = eλtv3.

108
 2. λ has two linearly independent eigenvectors v1, v2. Then two linearly inde-
pendent solutions of the system corresponding to λ are:

x1(t) = eλtv1 , x2 (t) = eλtv2

A third solution, independent of x1 and x2 has the form

x3 (t) = eλtw + teλtx

where x is an eigenvector corresponding to λ and (A − λI)w = x.

3. λ has only one (independent) eigenvector v. Then three linearly independent

solutions of the system have the form:

x1 = eλtv, x2 = eλtw + teλtv,

x3(t) = eλtz + teλtw + t2 eλtv

where (A − λI)w = v and (A − λI)z = w.

Exercises 4.3

Find the general solution of the system x0 = Ax where A is the given matrix. If
an initial condition is given, also find the solution that satisfies the condition.

!
−2 4
1. .
1 1
! !
−1 1 −1
2. , x(0) = .
4 2 1
 
−2 2 1
 
3.  0 −1 0 . Hint: −3 is an eigenvalue.
2 −2 −1
   
3 0 −1 −1
   
4.  −2 2 1 , x(0) =  2 . Hint: 2 is an eigenvalue.
8 0 −3 −8
!
1 −2
5. .
2 1

109
 !
−1 2
6. .
−1 −3
!
3 2
7. .
−8 −5
 
−3 0 −3
 
8.  1 −2 3 . Hint: −2 is an eigenvalue.
1 0 1
 
2 −1 −1
 
9.  −1 2 −1 . Hint: 3 is an eigenvalue
1 1 4
 
−2 1 −1
 
10.  3 −3 4 . Hint: 1 is an eigenvalue.
3 −1 2
 
−3 1 −1
 
11.  −7 5 −1 .
−6 6 −2

110