Bfferential Equations,

Dynamical Systems,
and Linear Algebra
 Differential Equations,
Dynamical Systems,
and Linear Algebra

MORRIS W . IIIRSCH AND STEPHEN SMALE

un*milr.IWiE.mt.-

This I. d volumc in
PURE AND APPLIED MATHEMATICS ACADEMIC PRESS. INC.
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AND HYMAN

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 Contents

CHAPTER 1 FIRST EXAMPLES

Co~rnlowra 1974. nu ACADEMIC -Em, INC.
ALL nlcnn rrsuveD. 1. The Bimpbat Exunplcd
NO PART OF THIS PUULICATWN MAY I D BUIOWQD 01 2. Linear Bystems with Constant Cafficienb
MNSHITTW IN ANY FWU am IY A m MEANS, aecnmr Nolea
O. MECHANICAL. muuDwG PHOTOCOPY, LEMDUIO. OI A N Y
INFMMATION STMUOE AND lEnlEVAL 9-M. WllHObT
PelMlSSlON IN WlllTlNG FROM THE PUILL3IU.
CHAPTER 2 NEWIVN'S EQuAT~ONAND KEPLER'S LAW
1. Harmonic Oaeillntors
2. %me Calculus Background
ACADEMIC PRESS. INC. 3. Conservative Force Fields
Sm Dtego. Cal\lclmla 92101 4. Centnl Force Fields
5. sum
6. Elliptical P l m e h r y Orbits
Notea
lintrrd K,n#B,nt Edirmn puhlirhrd hy
A C A D t M l C PRESS LIMITED
24-28 Oval Road. London NWI 7DX CHAPTER 3 LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
AND R W L EIGENVALUES
I. Baaic Linear Algebra
2. Real Ebnvnlues
Hinch. Monis. Date
3. UiRernnlial Eguationa with Red, Uiatinct Eiscnvdua~
4. Complex E i n v d u e s
DtfTuentid tqurtions, C m k d systems. u ~ d
limv alpbra-
CHAPTER 4 LINEAR SYSTEMS WITH CONSTANT COEFFICIENTS
(Pure m d applied mthcmalin: a rrier of monouaphs AND COMPLEX EIGENVALUES
ud lcrtboolrs. v. )
I. mifernntid equation% 2. Alpbra% Lmcu. 1. Complex V c e b r Spaas
1. Srnak.Stephcn. Dam joint author. 11. Ti*. 2. Real Opentors with Complex Eigenvducs
3. Application d Complex Linesr Algehn to M a t o l d Equations

CHAF'TER 5 LlN EAR SYSTEMS AND EXPONENTIALS OFOPEBATORS

1. Rnview of Topology in R
'
2. New Norms for Old
3. Exponentids of Oprators
4. Homwneous Linesr System
5. A Nonhomogeneou Equation
6. Higher Older Systems
Noletl
 vii

CHAPTER 6 LINEAR SYSTEMS AND CANONICAL FORMS O F 4. The Poincd-Bendixmn Theorem

OPERA1DRS 5 Appliestions 01 the Poinc.u&&ndixmn Theorem
Note.
1. The Primary Decompmition
+
2. The S N Deeomprmition
CHAPTER 12 ECOLOGY
3. Nilpotent Canonical Forms
4. Jordan and Real Csnonical Forms I. One Species
5. Canorlira1 Forms and DiRemntial Equation8 2. Predator and Prey
6. H i ~ h e rOrder Linear Equatiana 3. Competing Species
7. Operators on Furnrlion Spaces Xotes

:ll.l'l'KH 7 CONTRACTIONS AND GENERIC PROPERTIES O F CHAPTER 13 PERIODIC A T T R A C ~ O R S

OPERATORS
1. Asymptotic Stabibty of Clused Orbitr
1. Sinks and Sources 2. Discrete DynmiealSyti(em
2. Hyperbolic Flows 3. Slability nnd C l a d Orbits
3. Generic Properties of Operators
4. The Significance of Genericity CHAPTER IS CLASSICAL MECHANICS
287
CHAPTER 8 FUNDAMENTAL THEORY 290
I. Dynmical Bystemu md Vactar Fislds ass
2. The F u n d m e n W Theorem
3. Existence and Uniqueness CIIAPTER 15 NONAVrONOMOUS EQUATIONS AND DIFFEBEPITUBILITY
4. Continuity of Solutions in Initial Conditions O F FLOWS
5. On Extending Solutions
1. Existence, Uoiqumcul, snd Continuity lor N o n u t a w w o u
6. Glahal Solutions
DiRwcntial Equations
7. T h e Flow a1 s DiRemntisl Equation
2. DiKemntirbility 01 the Flow of Autonomous Equalion
Noks
CHAPTER 16 PERTURBATION THEORY AND S T R U C N R A L STABILITY
CHAPTIER 9 STABILITY O F EQUILIBRIA
I. Persistence of Equilibrin
I. Nonlinear Sink8 2. Persistence of C l a d Orbits
2. Stability 3. Structural Stability
3. Liapunov Function8
4. Gruiiint 8yatema
AFTERWORD
5. Gndientll and Inner Products
Notes
APPENDIX I ELEMENTARY F A m S
CRAPTER 19 DIFFERENTIAL EQUATIONS FOR E L E C T X I U L CIRCUITS I. Set Theoretic Conventions
2. Cmnplex Numbers
I. A n RLC Cimuit 3. Delerminnnts
2. Analpin 01 tbs Clreuit Equations 4. Two Propwitions on Linear Algebrs
3. Vur der Pol's Equation
4. Hopi Biluwtion
APPENDIX I1 POLYNOMIALS
5. Mare General Circuit Equation8
Notea 1. The Fundamental Theorem of Algebra

APPENDIX 111 ON CANONICAL FORMS

I. Limit Sets 1. A Decompoaitiob Themem
2. Locd Seetions urd F l o w Boxen 2. Un iquencul 01 S and N
3. Monotone Sequences in Ranw Dynmical Systems 3. Canonical Forms for Nilpotent Opratom
viii CONTENTS

4PPEYDIS IY THE INVERSE F U N a I O N THEOREM 337

340
Preface
REFERENCES

4NSWERS TO SELECTED PROBLEMS 343

Subject Index

This book is about dynamical aspects of ordinary differential equations and the
relations between dynamical systems and certain fields outside pure mathematics.
A prominent role is played by the structure theory of linear operators on finite-
d;mensional vector spaces; we have included a seli+ontained t r m t m m t of that
subject.
The background material needed to understand this book is differential c~lculus
of several variables. For example, Serge Lang's Coldus o j SNcml VaricrMea, up to
the chapter on integration, contains more than is needed to understand much of our
text. On the other hand, after Chapter 7 we do we several resulta from elementary
analysis such as theorem on uniform convergence; these are stated but not proved.
This mathematics is contained in Lang's Anolysid I, for instance. Our treatment of
linear algebra is systematic and self<ontainrd, although the most elementary parta
have the character of a review; in any case, h g ' a Coldua oj Sncrd Variables
develops this elementary linear algebra a t a leisurely pace.
While this book can be wed as early ap the sophomore year by ntudents with a
strong first year of calculus, i t is oriented mainly toward upper diviaion mathematiea
and science students. I t can also be ueed for a graduate course, especially if t h e l a t e
chapters are emphasized.
I t has been said that the subject of ordinary differential equations is a collection
of tricks and hints for finding solutions, and that i t is important because i t cao
solve problem in physics, engineering, ete. O w view is that the subject can be
developed with considerable unity and coherence; we have attempted such a de-
velopment with this book. The importance of ordinary differentid equations
vtd d uid other areas of science lim in its power to motivate, unify, .ndgive l o r n to
those arena. Our four chapters on "applications" have been writtea to do ewretly
this, and not merely to provide examples. Moreover, an underatanding of the ways
that differential equations relates to other subjects is a prinlary m m of ineight
and inspiration for the student and working mathematician dike.
Our goal in this book is to develop nonlinear ordinary differentid equations in
open subsets of real Cartesian space, R', in such a a a y that the extension to
manifolds is simple and natural. We treat chiefly autonomous emphasiring
qualitative behavior of solution curves. The related themes of d i t y and physieal
significance pervade much of the material. Many topics have been omitted, such as
Lsplsee transforms, series solutions, Sturm theory, and special iunctions.
The level of rigor is high, and almost everything is proved. More important.
however, is that ad hoc methcds have been rejected. We have tried to develop
S PREFACE
I , ~ O I I ~ tSI I I L ~;idd
, insight to the theorem and t,hat are important methods in their
own rialit.
\Vr lravr avoided the introduction of manifolds in order to make the book more
widvly rcadablc; but the main ideas can easily be transferred to dynamical systems
on mnrlifolds.
Tllc first six chapters, especially Chapters 3 4 , give a rather intensive and com-
pletr study of linear differential equations with constant cocffieicnta. This subject
nrnttcr ran almost be identified with linear algebra; hence those chapters constitute
11 sllr,rt courw in linear algebra a s well. The algebraic emphasis is on eigenvectors and
hot\- to find them. We go far beyond this, however, to the "semisimple + nilpotent"
dccoml~osilionof an arbitrary operator, and then on to the Jordan form and its r e d
analogue. Those proofs that are far removed from our use of the theorems are
relegatrd to appendices. While complex spaces are used freely, our primary concern
is to obtain results for real spaces. This point of view, so important for differential
equalions, is not commonly found in textbooks on linear algebra or on differential
equations.
Our approach to linear algebra is a fairly intrinsic one; we avoid coordinates
where frasihle, while not hesitating to use them a s a tool for computations or proofs.
On OII. r1th1.r hand, instead of developing abatract vector spaces, we work withi
lir~(.:tr - ~ ~ l ~ s p :of ~ cR"
t , sor C", a small concession which perhaps makes the abstraction1
nl,lre I I ~ K C ~ - . ~ I I I I I . .
1lhi11~: anlr t~lgrhraicthrory, we give explicit methods of writing down solutions
I,, arbitrary constant coefficient linear differential equations. Examples arc included.
In particular, the S + N decomposition is used to compute the exponential of a n
arbitrary square matrix.
Chapter 2 is independent from the others and jncludea an elementary account
of the Keplerian planetary orbits.
The fundamental theorem on existence, uniquenm, and continuity of solutions
of ordinary differential equations are developed in Chapters 8 and 16. Chapter 8 is
rrst rirtvd t r ~t hc autonomous CMP, in line with our basic orientation toward dynami-
,.,!
(,nl - t r,ll\h
( 'll:ll~tc.r\10, 12, and 14 are devoted tosystematic introductions to mathematical
m~rlt1. c t f ~ ~ l ~ ~ ~ circuits,
. l r i c a l population theory, and classical mechanics, respectively.
'1'111,I\r:~ytor~ ?LIosrrcircuit theory is presented a s a special casr of the more general
t I~wjrl-rr.curt ly developed on manifolds. The Volterra-Lotkaequationsofcompeting
spr~c.i~.,q tirr: :~nalyzcd, along with some generalizations. In mechanics we develop
thc 1ltrrnilli)nian f o r d i s m for conseniative systems whose configuration space is
arl I I ( I I . I I s11b*rtOf a vector space.
T11,. rcw~:rinin~five chapters contain a subatantid introductioh to the phase
portr:~itannlysis of nonlinear autonomous system. They include a dkcuasion of
"gc.nvric" ~,n~pertics of linear flows, 1.iapunov and structural stability, PoincarC
U~ndixsu~l tllenry, periodic attractors, and perturbations. Wa conclude with an
Aftc.r\~ord which points thc way toward manifolds.
PREFACE xi
l'lrc. followi~lgrcmarks s h ~ ~ u hvlp
l d lht, rl,nd<.rd~,cid<. U I I \\-hich chapt,,rs 10 rttad
R I I ~ill \vhnt o r d ~ r .
('Ilaplvrs I and 2 ari.~!lc~mvnlary,bul thvy prc.st>ntmany ideas that recur through-
out tlle book
Chapt1.r~3-7 form a scqucnce thal del-(.lops linrar thcory rathrr Ihoroughly.
C a p t v r s 3, 4, and 5 rnakc a good inlroduclion to li~lrarnpvraloi-s and linear diffrr-
ential equations. The canonical form lhcory of ('hapl1.r G is Ihc. basis of thc slability
results provid in Chapters 7, 9, and 13; how<w.r,this h~.avyalgcbra might br ~mst-
poncd a t a first cxposure to this mat(8rial and Ilr(. r ~ s u l l staken on faith.
The existence, uniqueness, and col~linuityof ~ u l u l i ~ ~pnrs o, d in Chapter 8, arc
u s d (often implicitly) throughout the rrvt of lhc book. Dcprnding on thr rvsd(,r's
taste, proofs could be omitted.
A roader intc.rcstcd in the nonlinear rnalcrial, who h a scmr background in linvar
thcory, might start with the stability throry of Chaptc'r 9. C:haptcrs 12 (wology),
13 (periodic attractors), and 10 (prrturbations) dcpcnd strongly on Chaptrr 9, tvhilr
the scction on dual rector spaces and gradi1.111~ \+-ill111akcOhaptan 1 0 (rlc~trical
circuits) and 14 (nlwhanics) easier 10 undc,rstand.
Chaptcr 12 also depends on Chaptvr I I (Poincar&B~.rldixson); and tLc matrrial
in Scction 2 of Chapter I I on local st.ctir)ns is ustd again ill C'haptcrs 13 and 16.
Chaptrr 15 (nonautonomous cquati~,ns) is a contir~unlionof Chaptcr 8 and is
used in (:t~apt~ru I I, 13, and 16; howuvcr it call h,omittld at a first reading.
T l a Ii~gicaldvpendcncc of tho later cl~apl<,ra IS surnrnarizod tn thc: following chart:
The book owerr much to many people. Wc only mention four of them her?. lkuko
Workman and Ruth Suzuki did an cxccllcnt job of typing the manuscript. Dick
Palais made a number of uscful comments. Special thanks arc due to Jacob Palis,
who rc*ad tllu manuscript thoruughly, found nrany minor c m m , and suggcatrd
wvcralsubstantial improvcmcnts. I'r~~f(~ssor llirsclr is grutrful to the hlillcr lnatitute
for its support during part of thc wriling of tlrc b,w,k.
Chapter 1
First Examples

The purpose of this ahort chapter is to develop some simple examplea of diUerea-
tial equations. Thk development motivate. the linear algebra treated sutmequently
and moreover gives in an elementary context nome of the bssic idem of ordinsry
differential equations. Later these ideas will be put into a more ay-tic expixi-
tion. In particular, the -plea themselves are special eases of the d&Urn-
tial equations eonsidered in Chapter 3. We regard this chapter ma important &ea
some of the most basic ideas of differential equations are 8een in simple form

61. The Simplest Examples

The differential equation

is the simplest differential equation. I t is also one of the most important. First,
what does it mean? Here z = + ( t ) is an unknown real-valued function of a red
variable t and &Id( is its derivative (we will also use z' or x'(t) for thisderivative).
The equation tells us that for every value of t the equality

is true. Here a denotes a constant.

The solutions to (1) are obtained from calculus: if K is any coostant (real num-
ber), the function f ( t ) = K e g is a solution since
 $1. THE BIMPLUIT EXAMPLEX 3

The qualitative behavior of solutions is vividly illustrated by sketching the g r a p b

of solutions (Fig. A). These graphs follos a typical practice in this book. The
figures are meant to illustrate qualitative features and may be imprecise in quanti-
tative detail.
+
The equation z' = az is s!uble in a certain sense if a 0. More precisely, if a
is replaced by another constant b sufficiently close to a, the qualitative behavior
of the solutions does not change. I f , for example, 1 b - a I < I a 1, then b haa the
same sign as a. But if a = 0, the slightest change in a leads to a radical change in
the behavior of solutions. We may also say that a = 0 is a S i f u r c d k point in the
one-parameter family of equations z' = az, a in R
Consider next a xystem of ta-o differential equations in two unknown functions:

0 .o a =0 a a(0
FIG. A This is a very h p l e system; however, many more-comphcated systems of two
equations ean be reduced to this form as we shall see a little later.
hIoreover, there are no olher solulions. To see this, let u ( t ) be any mlution and Since there is no relation specified between the two unknown functions z , ( t ) ,
compute the derivative of u(t)eW': x 1 ( t ) ,they are "uncoupled"; we can immediately write down all aolutiona (aa for
(1)):
) K , e x p ( a l f ) , KI = constant,
z ~ ( t=
z i ( t ) = K1 exp(&t), Kt = constant.
Here K , and K S are determined if initial conditions z , ( b ) = u l , - ( 4 ) = u, are
Thrrcfur,, rc(1 lc.*' is a constant K, so u(1) = KC'. This proves our w r t i o n
' r h rc,rlst;rnt K appeurirlg in the solution is completely determined if the vhkttttel i specified. (We sometimes write exp a for e.)
IPt US consider equation ( 2 ) from a more geometric point of view. We ewsider
I I O of t l i ~
holul ion at a singlr, point t, is specified. Suppose that a function z ( t ) satisfy-
two functions z,( f ) ,z i ( t ) as specifying an unknown cum z ( t ) = ( x , ( t ) ,a ( 1 ) ) in
i r l ~I 1 I i- rr~~uired such that x(t,) = uo, then K muat satisfy KC'@= %. Thus
the ( z , ,z i ) plane Rz.That ia to say, z is a m p from the real numbers R into R1,z :
~ I I U ~ L ~ I II I1I I L IIBS a u n i q u ~
solution satisfying a specified initial condilion z ( 4 ) = %.
R -+ R2. The right-hand side of (3) expresses the tangent uecfurzl(t) = ( z ; ( t ) ,z ; ( t ) )
1:or >i~~il~lir,ity, we often take L = 0; then K = %. There is no loss of generality
to the curve. Using vector notation,
in tt~killglo = 0, for if u ( t ) is a solution with u ( 0 ) = m, then the function v ( t ) =
u ( l - 1,) is n solution with u ( 4 ) = %. (3') z' = Az,
I t i:. cotnrlrun to restate (1) in the form of an initial v a l u e problem: where A z denotes the vector ( a l z l ,a b ) , which one ahould t h i d of as being b d
a t 2.
A solution z ( 1 ) to ( 2 ) must not only satisfy the first condition ( I ) , but must slso
takr on the prescribed initial value K a t t = 0.We have proved that the initial
valuc prublvm ( 2 ) has a unique solution.
The constant a in the equation z' = az can be considered as a parameter. If a
ch:r~~pq,c. t11v (quation changrs and so do the solutions. Can we describe qualita-
livi,l) 111{.!r :i? tlrc- solut ion3 cllangc?
'1'111.srq~tof a is crueirrl here:
if a > 0 , lim,,,K Z Lequals m when K > 0, and equals - m when K < 0;
if a = 0, K e l = constant;
if a < 0,lim,,, KC' = 0.
 lr~itlulcv~lditionsare of the form z(b) = u where u = (y, y ) is 6 p i h q ~ & ~ t
of R2 (;~ornetrically, thii means t h t when t = b the curve is required to p W
through t hr gi Ten point u.
Tbt. lrurp (that is, function) A : W -P (or r -r Az) Can be considered a vcclor
&ld on RZ.Thii m e w that to eech point z in the plane we aasign the vector Az.
For purposes of viaualirstion, we picture A r as a vector "based at I"; that is, we
+
w i g n to z the directed line w e n t from r to z Ar. For example, if q = 2,
s = -3, and r = (1, l ) , then a t (1, 1) we picture an arrow pointing from (1, 1)
+
to (1. 1) (2, -$) = (3, f ) (Fig.B). Thus if Ar = (221, - f n ) , we attach to
+
each point z in the plane an arrow with tail a t z and head at r Ax and obtain
the picture ill Fig. C.
Sulvirlg thr differential equation (3) or (3') with initial conditions ( u ~y , ) at
1 = 0 niralls finding in the plane a curve z(t) that satisfies (3') and passes through
the poi I I I~I = (UI, w) when t = 0. A few solution curves are aketched in Fig. D.
The trivial solution ( z ~ ( t )zi(t))
, = (0, 0) is also considered a "curve."
The family of all solution curves as subeels OF R1is called the "phase portrait"
of equation (3) (or (3')).
The oncdimensional equation z' = at can also be interpreted geometrically: the
phase portrait is as in Fi. E, which should be compared with Fig. A. It is clearer
to picture the graph8 of (1) and the solution curves for (3) since two-djmcnsional
pictures are better than either one- or threedimensional pictures. The g~aphsof
FIG. D. Some aolution cum- tor' - Az, A -C -:I
solutions to (3) require a thedimensional picture wbieh the nsdw is invited to
sketch!
Let us consider equation (3) as a dynamieol aydem. This meana that the i m b
pendent variable t ia interpreted as time and the solution curve r ( f ) could be thought
of, for example, as the path of a particle moving in the plane R '
. We ean hmg&
a particle placed at any point u = (u,, w) in R' at time t = 0. As time p d
the particle moves along the solution curve z(t) that satisfies the initial condition
z(0) = u. At any later time t > 0 the particle will be in another +tion z(t). And
a t an earlier time t < 0, the particle was a t a position z(t). T o i n d i ~ t ethe d*
pendence of the position on t and u we denote it by d,(u). Thua
We can imagine particles plseed at each point of the plane and all movir& simul-
taneously (for example, dust particles under a steady wind). The aolution curvm
are spoken of as trajectories or orbits in this context. For each 6xed t in q we have
a transformation assigning to each point u in the plane another point +,(u). This
transformation denoted by 6,:R' -+ R' is clearly a linear transFormation, that m,
 81. THE BIMPLEST EXAMPLE8

a ,O o C 0
FIG. E

+
+ , ! u + i.) = + , ( , I ) +,(I,) and @,(Xu) = A+,(u), for all vectors u, Y, and all
real nurnbprs h.
As time proceeds, every point of the plane moves simdtmeously along the tra-
jectory passing through it. In this way the collection of maps 4,: R' + R', 1 E R, i
a one-parameter family of transformations. This family is called the pow or dynami-
cal8yskm or W determined by the vector field t + A+, which in turn is equivalent
to the systenr (3).
Th? d).namical system on the real line R companding to equation (1) is par-
ticul;rrl,v ~ ~ i \ st \ ~- dvscribr:
a > 0.:!I1 ~ l , ~ i l vxcrpt
)
rt\
-
if a < 0, all points move toward 0 as t,ime goes to ; if
0 n~ovcaway from 0 toward f m ;if a = 0, all points stand
still. i.
I\'(, I,;i\.r sta~rtrdfrom a diRerential equation and have obtained the dynamical
s.v>tprn + , >'Iris procrss is established through the fundamentat theorem of ordinary
difT(-rr,~ltial c.rluations as we shall see in Chapter 8.
Lntcr \vc shall also reverse this process: starting from a dyrprnical system +,, a
differential equation nil1 be obtained (simply by differentiatink +,(u)with respect
to I).
I t is seldoni that differential equations are given in the simple uncoupled form T o find y;, y; differentiate the equations defining yl, yz to obtain
( 3 ) . Consider, for example, the system: I
y; = 2r;+ r;,
y; = r; + r;.
By substitution
or in vrctor notation Y; = + + (-621 - 42.) = 411 + !h,
2 ( 5 ~ 1 3%)
y: = (5x1 + 3zr) + (42,- 43%) = -a. -I,

Another substitution yields

Our tippn)nch is to find a linear change of cwrdindes that will transform equation
(4) into uncoupled or diagonal form. I t turns out that new coordinates (yl, y,) do Y : = 4(Y1 - yr) + 2 ( - y ~+ 2y*),
the job where

(In Chapter 3 we explain how the new coordinates were found.)

Solving for x in t e r n of y , we have The last equations are in d%ad form and we have already solved this clam of
system. The solution ( y l ( t ) , y ~ ( t )such
) that ( y l ( 0 ) , ~ ~ ( 0=) (h,
) 4)is
v , ( t ) = e"b,
10 1. FIRST EXAMPLE0 62. LINEAR BYSTEX6 WITH CONSTANT COEIFICIWTB 11

At this point we are not trying to solve (1) ; rather, we want to place it in a geo- differentiable, then the map z in d e d differentiable; its derivative is dehed to be
metrical and algebraic setting in order to understand better what a solution means.
At the most primitive level, a solution of (1) is a set of n differentiable real- -
dl = zf(l) = (z:(t), . . , , z:(t)).
dz
valued f~lnrtionsz.(l) that make (1) true.
I n or(lrr t n , r~.ncha more conceptual understanding of (1) we introduce reol ndi- Thus the derivative, as a function of 1, is again a map from R to R-.
ntr~tslo,,rri('nrlrsian space R".This is simply the set of all n-tuples of real numbers. The derivative can also be expressed in the form
An CIOIII(~III"1 R" is a "point" z = (11, ...
, I") ;the number z. is the ith cwrdin.de
of the , ~ ~ i L. ~ i I'oints
t x, y in Rmare added coordinatewise:
1
+
zr(t) = lim- ( r ( t h) - ~ ( 0 ) .
, h
.t + !, = (Z,, . . . , I") + (y,, , . , y.,)
, = (21 + y,, . . . , + ym).
Z.
I t ha5 a natural geometric interpretation a5 the vector o(f) based a t z(t), which is

-
Also, if X is n rcnl numbcr wc define t h prducl
~ of A and z to he a trsnalate of st(;). Thia vector is called the tongent usdor to the m e U t (or a t
~(1)).
If we imagine 1 aa denoting time, then the leagth I d ( f ) I of the t a r y p t vwbr m
interpreted physically as the Bpeed of a particle deacrihing I(#).
Thr distance between points z, y in R is defined to he To write (1) in an abbreviated form we d the doubly indexed mt of numbaa
lz -yl = [(rl - y1)' + ... + (2" - y.)']"'. a,, an n X n m a t e A, denoted thw:

The length of z is
IzI= (21' + . .. + z.l)l'l.
A vc.ctor based al z t R'. is an ordered pair of points z, y in Rn,denoted by 3.
We thi~lkof this as an arrow or line segment directed from r to y. We 8ay ?$ ia
baser1 at I Next, for each z € R. we define a vector Az € R' whoee ith coordinate is
A vector based a t the origin

note that thin ia the ith row in the righbhand uide of (1). In this way the matrix A
in identified with the point z € R". in interpreted as a map
To a vector Z b a s e d a t z is associated the vector y - z based a t the origin 0. A:Rm+R=
We call the vectors r t a n d y - z lramlal+s of each other. which to r auaigns Az.
From now on a vector based a t 0 in called simply a vector. Thus an element of With thie notation (1) is rewritten
R' can be considered either as an n-tuple of real numbers or as an arrow issuing (2) z' = Az.
from t k . origin.
I t is only for purposes of viaualisation that we consider vectors based a t points Thus the ayetern (1) can be conaidered M a uingle "vector differential e q \ u h "
other than 0. 1:or computations, all vectors are based a t 0 since such vectors can (2). (The word cquution is classically reserved for the case of just one rvkbb;re
be addrd and multiplied by real numbers. ahd call (2) both a syetem m d an equation)
We r ~ t u r nto the system of differential equations (1). A candidate for a solution Wethinkof t h e m s p A : R ' - t R a s a vcGlor)feidonR=:to each points € Rg
ia a cum in R": ~t a.ss~gns the vector based at r which is a translate of Az. Then a solution of (2)
is a curve z: R -t R- w h m tangent vector a t any given t is the veetorAs(t) (tmzm
. Fig.D of Seetion 1.
lated to ~ ( 1 ) )See
In Chapters 3 m d 4 we nhdl give methods of explicitly solviag (2), or equk-
By this we mean a map lently (1). In nubaequent chspters it will be ahown that in fact (2) IIM a uniqua
solution z(t) satisfying any given initial eonditioo z(0) = UI E II.. This is tbs
Such a map is dexribed in terms of coordinates by (*). If each function z.(t) ia S d o n 1 this was proved for the apechl case n -
fundamental theorem 01linear differentid equations with mnstmt m&chU; in
1.
 -
(b) Let A [' -11. Find solutions u(l), v(1) to z' -
A t such that every
+
solution can be expressed in the form m ( l ) Bo(1) for nuitable con-
stanta a,8.
1. For each of the following matrices A sketeh the vector field z + Az in R'.
(\Iising matrix entries are 0.)

The background needed for a reader of Chapter 1 is a good first year of college
calculus. One good source is 8. Lang'e Stermd Coursc in C a h l w [12, Chapters I,
11, and 1x1.In thin refemme the material on derivative, mwee, .nd vecbm in
R. and matrice ia dieeuesed much more thoroughly than in our Section 2.

2. For A as in (a), (b) , (c) of Problem 1, solve the i ~ t i value

d problem
2' = Az, z(0) = (k,, h , h ) .
3. Let A be as in (e),
(o eae 1, b sin 1, w l''
Problem
is)
1. Find
-
a solution to tr A t with t ( 0 ) -
conetanta a, b, c such that the curve 1-+
(1, 0,3).
4. Find two different matrice A, B such that the curve

satisfies both the differentialequations

z' = Az and z' =EL.
5. Ld A = [a;'] be an n X n diagonal matrix, that is, a,, = 0 if i # j. Show that
the diRerential equation

has a unique solution for eveiy initid condition.

6. Let A be an n X n diagonal matrix. Find mditiom on A guaranteeing that
lim z(1) = 0

for all solutions to z' - Az.

,-m

7. Let A= [ a , j ] be an n X n matrix. Denote by -A the matrix [ - a c ] .

(s) What is the relation between the vector fielde z +Az and z -r (-A)z?

of z' -
(b) What is the geometric relation between solution curves of z' a Az and
-A27
- -
8. (a) Let u(i), v(i) be solutions to z' Az. Show that the curve ~ ( t )
rru(1) f ~ ( 1 is) a solution for all real numbers e,8.

Ch,apter 2 The connection between the physical concept of force field and the mathematid
Newton's Equation and Kepler's Luw
We develop in this chapter the earliest important examples of differential equa-
tions, which in fact are connected uith the origins of calculus. Theseequations were
used bv Newton lo derive and unify the three laws of Kepler. These laws were
found from the earlier astronomical observations of Tycho Brahe. Here we give a
brief derivation of two of Kepler's laws, while a t the aame time setting forth some
general ideas about differential equations.
The equations of Newton, our starting p i n t , have retained importance through-
out the history of modem physics and lie a t the root of that part of physics called
classical mechanics. ,, 1'
The first chapter of this book dealt with linear equations, but Newton's equa-
tions are nonlinear in general. I n later chapters we shall pursue the subject of non-
linear differrntial equations somewhat systematically. The-examples here ~ r o v i d e
us tr-ilh concrete examples of historical and scientific importance. Furthermore, the
case we consider most thoroughly here, that of a particle moving in a central force
grnv~tationalfield, is simple enough so that the differential equations can be solved
explicitly using exact, classical methods (just calculus!). This is due to the existence
of certain invariant functions called inkgrala (aometirnes called "first integrals";
rr-e do not mean the integrals of elementary calculus). Physically, a n integral is a
cons<,rvatiol~law; in the case of Newtonian mechanics the two inkgrals we find
corrcalrol~d tc, consrmation of energy and angular momentum. htathematically
a n int~.gralrrduces t,he number of diienaions.
\Vr shall br working with a particle moving in afield ojforce F . Mathematically
F is a ~,cclorJFeM on the (configurntion) space of the particle, which ir. our csse we
rmppose to bc Cartesian three space R8.Thus F is a map F: R' + Rathat apsigns
to a point. I in R' anolher point F ( z ) in R:. From the mathematical point of view,
F ( z ) is tl~oughtof (YJ a vector based a t z. From the physical point of view, F ( x )
is the iorce exerted on a particle located a t z.
The example of a force field we shall be most concerned with is the gravitational
ficld oi the sun: F ( z ) is the force on a particle located a t z allracling i l to the sun.
$1. HARMONIC OSCILLATORS 15
We shall go into details of this field in Section 6. Other important examples of form
fields are derived from electrical forces, magnetic forces, and so on.
concept of differential equation is Neufun's second lalt.: F = mu. This h w e t e
that a particle in a force field moves in such a nay that the force vector a t the loen-
tion of the particle, a t any instant, equals the acceleration vector of tbe particle
times the maps m. If z(1) denotes the position vector of the particle a t time 1, where
z : R + Rais a sufficiently differentiable curve, then the acceleration v w r is t h
second derivative of z ( t ) uith respect to timr
(We follow tradition and use dots for time derivatives in t h i chapter.) Newton's
second law states
F(z(1)) = ?nZ(l).
Thus we obtain a eecond order differentialequation:
In Newtonian physics i l is assumed that nr is a positive constant. Newton's law of
gravitation is used to derive the exact form of thr function F ( z ) . While these q u a -
tions are the main goal of thin chapter. we first d i i u s s simple harmonic motion
and then basic background material.
$1. Harmonic Oecillators
We consider a particle of mass at moving in one dimension, its position a t time
1 given by a function 1 + z(t), z: R + R. Suppose the force on the particle a t a
point I: E R is given by -mpyz, where p is some real constant. Then according
to the laws of physics (compare Section 3) the motion of the particle aatiafies
(1) i' + p'z = 0.
oscillator and ( 1) is the equation of the harmonic
An example of the harmonic ornillator is the simple pendulum moving in a plane,
when one makes an approximation of sin z by 2 (compare Chapter 9 ) . Another
example is the caw where the force on the particle is c a d by a spring.
I t ie easy to check that for any constants A , B, the function
(2) ~(t=
) A cos pl + B sin pl
is a solution of ( I ) , with initial eonditionsx(0) = A , %(O) = pB. Infact, asis proved
often in calculus courses, (2) is the only solution of (1) aatiafying these initial condi-
Thue (z, z ) -
I z .1' If z, I/:I +Rn are C" functioaa, then a &of the Lcibai.
product rule for derivatives in
tions. I s t e r we will show in a systematic way that these facts are true.
Using hasic trigonometric identities, (2) may be rewritten in t,M form
~ ( 6 )= a coa (p6 + fa), M esn be d y checked using coordinate functions.
(3)
where a - (A' + F ) " ' ia called the amplitude, and coa lo = A(A' +
8)-"'.
In Section 6 we will consider equation (1) where a wnstant term ia added (repre-
We will have o&on to mnr6der functions f: Rm- + R (which, for mmple,
muld be given by temperature or density). Such a n u p f i e d e d O if the nup
R- -r R given by e3eb paniPl derivative z -+ df/h;(r) is dedned and mtinuous
senting a cutlstant diatwhing force) :
(in Cbspter 5 we dieeuss continuity in more detail). In this cmc the gdirnt of
(4) t +p*z = K , ..
f, d e d prad f, is the map Rm* R- tbat sen& z into ( a f / h ( z ) , . , a j / k ( r ) ).
Gradf is ul ewnple of a vector field on Rm. (In Chapter 1 we mnnided d y
Then, sinrilarly to ( I ) , every solution of (4) has the form
li- vector fielde, but gnd f may be more general.)
z(1) acos (pl + lo) + P'-K Next, mnsider the composition of two C maps as follom:
(5) ,
i =
' /
I*R-*R
r
The two-dimensi&l version of the harmonic oscillator concerns a map x:: R -+ R'
and a force F ( z ) = Lmkz (where now, of course, z = (z,, Q) E R'). Equation The chain rule can be expressed in this eontext .s
(1) now has the aame form

with solutions given by wing the definitions of g m d b t and inner product, the reader an prooe tbst thi.
is e q u i d e n t to
) Ccoakl+Dinkl.
~ ( 1 =
See Prohlem 1.
Planar motion will be considered more generally and in more detail in later sec-
tions. But first we go over some mathemstical preliminaries.

82. Some Cdculue Background

A pnth of a moving particle in Rm (usually n 5 3) ia given hy a map f : I -+ R"
ahrrc I might be the set R of all real numbers or an interval (0, b) of all real num-
bers strictly hetween a and b. The derivative off (provided f is differentiable at
each point of I ) defines a map f': I -+ Rm.The map f is called C1,or continua~sly
diflrrrrtt~ablc,if J' is continuous (that ia to say, the corresponding coordinate func-
.
tions /:(t) are continuous, i = 1, . . , n). Iff': Z -t R" is itwlf C', then f is said
to I)r C. I~~ductivcly, in this way, one defines a map f : I -+ Rmto hc C ,where r =
3, 4 , 5 , and so on.
Thc ~ I I I I C T product, or "dot product," of two vectors, z,y in R" is denoted hy
(I,y \ rind defined hy
A vector field F: R' -+R' is d e d a force field if the vector F ( r ) m+ed to the
point z is interpreted ul a force acting on a particle p M at z.
Many force fielde rppeming in physics h e in the I d l e way. There is a C
function
V: R a - + R
such that
(The negative sign is traditional.) &Ich a force iield is cdkxcmumotia. Tbs
function V is called the potentid energy function. (More properly V shrmld be cdled
a potentid energy since a waetsnt to it does not change the force M d
-4V(z).) Problem 4 relstcs potentid e n e w to w k .
 $4. CENTRAL FORCE FIELDS 19

The planar harmonic oscillation of Section 1 corresponds to the force field These facts reduce the proof to showing that
m(i,1 ) + (prnd V, x) = 0
'l'lti,. 1ie.lrl i. cwnsrrvative, with potential energy or (mz:+ Y , f ) = 0. But this is M since Newton's m n d law is mZ +
grad V(z) = 0 in this instance.
{'(I) = bmk 1 z 1'
:ts i s I :t.il? v<,rifird.
I'lrr :tny nroving particle z ( t ) of mans m, the kinetic energy is defined to be $4. Central Force Fielda

her^ x ( 0 is interpreted as the velocily vector a t time I; i b length I P(1). I is the speed A force field F is called central if F ( z ) points in the direction of the line through
a t timr 1. If \ye consider the function z : R-+ R' as describing a curve in R', then z , for every z. In other words, the vector F ( z ) is always a scalar multiple of z, the
f ( 1 ) is the tangent vector to the curve a t ~ ( 1 ) . coefficient depending on z:
I.'or a particle moving in a conservative force field F = -grad V, the potential F ( z ) = X(z)z.
e n e r p at I is defined to be V(z). Note that whereas the kinetic energy depends on We often tacitly exclude from consideration a particle at the origin; many central
the velocity, the potential energy is a function of position. force fields are not defined (or are "infinite") at the origin.
The lold energy (or sometimes simply m g y ) is
L e m m a Let F be a eonscrvdite force field. Then the following stahmda a n
This ha_. thr folloning meaning. If z(l) is the trajectory of a particle moving in equivalat:
the conservative force field, then E is a real-valued function of time: (8) F d r d ,
(b) F(z) = f ( l z O z ,
( c ) F ( z ) = -grad V(z) and Ir(z) = g(l z 1).
Theorem (Conservation of Energy) Lei z(t) be he tr'&ry of a parttde moving Proof. Suppose (c) is true. To prove (b) we find, from the chain rule:
force field F = -grad V. Then the low mergy E is independent of
i r ~n ror~xer~aliue
tIff1,

Proof. I t ncrds to be shown that h'(z(1)) is constant in 1 or that

this proves (b) with /(I z 1) = g'(( z ()/I z 1. I t is clear t b t (b) i m p w (a). To
ahow that (a) implies (c) we must prove that V is wnstant on each sphere.
d 1
(3 m I + ~ ( z ( t ) ) )= 0.
Since any two points in S. can be connected by a curve in S., it Suaim to show that
It fol1ou.s from calculus that V is constant on any curve in S . Hence if J C R is an interval and u: J -t S. is
a C' map, we must show that the derivative of the composition 1' u
v
J-S.C Ra-R
( a vprslon u f the Leibniz product formula) ; and also that
is identically 0.This derivative is

(thr chnir~rulr)
 @. CENTRAL PORCE FIELDS 21

ns in Prrtion 2. Now grad V(z)
= -F(z) = -A(z)z since F is central: origin and the particle, as ia the force on the particle. This d e a it plwsible th.t
the particle always moves along the same line through the origin. T o prove thi8 let
( s ( l ) , z ~ ( t )~, ' ( 1 ) )be the coordinstes of ~ ( 1 ) Then
. we have three diKerenti.l
equations

= 0 By intwation we find
because I u(l) I a.
z.(t) = @ l l l ~ . ( k ) , h(t) = \ ' q ( 8 ) &,
R
I n Section 5 we shall consider a special conservative central force field obtained
from Newton's law of gravitation. Therefore z ( l ) ia always a scalar multiple of z ( k ) and so z(1) moves in a hxed line,
Consider now a central force field, not necessarily conaewative. and hence in a fixed plane, as asserted.
SGppns? a t some time b, that P C Ra denotes the plane containing the particle, We restrict attention to a conservative central force field in a plane, which we
tl~t-vrh)city vector of the particle and the origin. The force vector F(z) for any take to be the Carlesian plane R '. T h u z now denotes a point of R', the p0kati.l
point z in P also lies in P.This makes it plaueible that the particle etaye in the plane energy V ia defined on R' and
P for all time. In fact, this is W e : a particle moving in a central f o m field moves
in a fixed plane.
The proof depende on the cross product (or vector product) u X v of vectors U,
v in R1.We recall the definition Introduce polar coordinates (r, B ) , with r = 12 .1
Define the angular m a e n l u m of the particle to be
h = mf8,
andthut u X v = - u X u = IuI IvINmn8,whereNisaunitvectorperpendi~v where 8 is the time derivative of the angular coordinate of the particle.
lar to u and v , ((I,cl, N ) oriented as the axes ("right-hand rule"), and 8 is the angle
betwern u and u.
Then the vector u X u = 0 if and only if one vector is a scalar multiple of the Theorem (Consmation of Angular Momentum) For a particle rnODImODin
Ing a
central jorce J&M:
other; if u X v # 0, then u X v ia orthogonal to the plane containing u and u. If
u and L- are functions of 1 in R, then a version of the Leibnic product rule asserts
(as one can check u i n g Cartesian coordinates) :
Proof. Let i = i(t) be the unit vector in the h t i o n z(1) so z = n . Let j
j(1) be the unit vector with e 90" angle from i to j. A computation ahom that di/&
--
Now let z ( t ) be the path of a particle moving under the influence of a central Bj, dj/dl = -t% and hence
Iorvv fivld. We have t = ii + dJ,
Differentiating again yielb

If the force in eentral, however, it has zero component perpendicular to z. Thera

fore, aince z = m-'F(z), the component of z along j muat be 0. Hence
because i: is a scalar multiple of z. Therefore z(l) X t(1) is a constant vector y.
If y # 0, this means that z and i always lie in the plane orthogonal t o y , as asserted.
If y = 0,then z(1) = g(t)z(l) for some s d a r function g(f). This means that the
vclority vrrlor of the moving is always directed along the line through the provirrg the theorem.
 @. ELLIPTICAL PLANETARY ORBllt3

We must now face the fact that b o h bodie4 will move. However, if mi is much Lemma
gwater than mr, its motion will he much less since acceleration is inversely propor-
tional to mass. We therefore make the simplifying assumption that one of the
hodies d o e not move; in the case of planetary motion, of course it is the sun that
is awumrd a t rest. (One might also proceed by taking the center of maas a t the Proof. k'rom the formula for 2 in Section 4 and the d e f i ~ t i o nof T we have
origi11,without making this simplifying assumption.)
$VI% place the sun a t the origin of R
' and consider the force field corresponding
to a planet of given mkw m. This field is then
-1 du - h- du
f = -- 8 = -
u* lie in dB
I)y the chain rule and the definitions of u and h ; and also
\r-)jc.re C I& a tonstant. We then change the units in which force is measured to obtain
tlrr nirn)>lr,rformula

Substitution in the formula for T prove4 the lemma

It ih clear this force field is central. Moreover, it in conservative, since

-
Now we find a differential pquation relating u and 8 along the solution e w e .
Observe that T = E' - V E + u. From the lemma we get
- - - grad V ,
I t I'
Differentiate both side4 by 8, divide by 2 du/d8, and use dE/& = 0 (conservation
of energy). We obtain another equation

Observe that Ffz) is not defined a t 0.

As in the previous seetion we m t r i c t attention to particles moving in the plane
R'; or, more properly, in Rp - 0. The force field ia the Newtonian gravitational field
in Rz,F ( z ) = -z/l z 1.'
t:onsidrr a particular solution curve of our differential equation O = m-'F(z).
l'hr angular momentum h and energy E are regarded as constants in time since
tt~r!- nrr t h r same a t all points of the curve. The case h = 0 is not so interesting; it
(*~irr(.yx~nrls to motion along a straight line toward or away from the sun. Hence
\\,, :1.111111. ti Z 0.
1lttr~1.li11.t.polar roordinatcs ( r , 9); dong the solution curve they become fune-
. till111( r ( l ) , 8(1)). Since r'B is constant and not 0, the syn oj B id cornlad
t i ~ ~ n,)I
alolip tlii- rurve. Thus 8 is always increasing or altvays decreasing with time. There-
fore r is a junclwn o j 8 alOw Ihc curve.
Let u(l) = l / r ( l ) ; then u is dm a function of B(1). Note that
where nl/hz is a m u t a n t .
We re-examine the meaning of just what we are doing and of (2). A particular
orbit of the planar central force problem is considered, the forcebeing gravitational.
Alr~ngthis orbit, the. di~tancer from tlrc origin (the Rource of the force) iaa function
of 9, as is I/r = u. Wr. have shown that this function u = ~ ( 9mtisfica
) (21, where
h is the constant angular n~onlentumand nr is the maacl.
The solution of (2) (as \vaa seen in Section 1I is
where C and 80are arbitrary constants.
To obtain a solution to ( I ) , use (3) to compute du/& and d%/db, m M t u t e
the resulting expression into (1) and solve for C. The result is

I\'? havr n convrnicnt formula for kinetic energy T.

26 2. NEWTON'^ EQUATION A N U K ~ P L E R ' B L A W

l'ullinp: Illis into (3) we get PROBLEMS

1. A particle of mra m mows in the plane R ' under the iduence of an M e

band tying it t o the origin. The length of the band is negligible. Hwke's law
atates that the force on the particle is alwaya directed toward the origin and
lvhrre q is an arbitrary constant. There is no need to consider both uigm in front
of the radical since cos(8 + q + w ) = -cos(8 + q). hloreover, by changing the
vari:~hlrI ) to 8 - q ure can put any particular wlution in the form
-
in proportional to the distance from the origin. Write the force lield and verify
that i t is wneervative and central. Write the equation F ma for thia c m e
and mlve it. (CompareSeetion 1.) Verify that for "moat" initid wnditions the
.

particle moves in an ellipee.

2. Which of the following force fielde on R1are conservative?
(8) F ( z , y) = (-9, -2J)
Wc r~eallfrdm analytic geometry that the equation of a conic in polar coordinates (b) F(Z, Y) = (2%- $9 2ZY)
1s (c) F ( z , Y) = ( ~ ~ 0 )
3. Consider the esse of a parGc1e in a gravitational held moving directly away
fm the origin a t time 1 = 0. Disc- its motion. Under what initid conditions
does i t eventually rev- direction?
111.rr.I is I hr lalua rectum and e 2 0 is the cccenfrin'l~.The origin is a f m a and the 4. Let F ( z ) be a force held on R'. L e t s , zl be points in R'and k t y ( 8 ) be a path
tlirc.(. I.;IS!..- t > 1, t = 1, t < L correapmd respectively to a hyperbola, parabola, in R', d. 5 6 5 61, psnmetrized by arc length 8, from a to 4.The w k done
anll ,.llil,~c.. The case r = 0 is a circle. in moving a particle along thin path is defined to be the integral
Sin1.r ( 4 ) is in the form (5) we have shown that Lhc orbil ofa particle moving under
/he 111.l7uc11re of a Neu*lonian qrauilafwdforw in a conic of eccenfricily

C l ~ a ~ . lcv I
, 1 if and only if E 1 0. Therefore the orbit is a hyperbola, parabola, or
(4lipst. arrording to wnether E > 0,E = 0,or E < 0.
-1'lis,rli1antit.v 11 = l / r ia always positive, From (4) i t follows that
where ~ ' ( 8 )is t h e (unit) w e n t vector to the path. Prove that the force lield
i s conservative if and only 8 the work is independent of the path. I n fact if
F = -grad V, then the work done ia V(z,) V ( a ) .-
5. How can we determine whether the orbit of (a) Earth .nd (b) Pluto is an
ellipse, parabola, or hyperbola?
6. Fill in the detaila of the proof of the theorem in Section 4.
7. Prove the angular momentum h, energy E, and maas m of a planet rue related
by the inequality

But if I) = + x radians, cos 8 = - I and hence

Note
.I ,hi. I I<
~ h'
I. I ' , ~ I ~ ~ \ t. o * I0I.~For some of the planets, including the earth, complete
rl i r I ~ l t ~ , h~jlr~r .1~.<,11
r~b,wrvrd;for these planets cos8 = -1 nt least once a year. Lang'a Scebnd Courr in Calculus [I23 is a good background reference for the
.l'i~,.~<,fc'r,, 11i~ir orl,its arr rllipses. In fact from a few o b s e r ~ ~ t i o of
n s any planet it mathematics in this chapter, especially hi^ Chapters 3 and 4. The physics materid
,.:)I, I t < . 41tnjri t h a t thr orbit is in fact an elliose.
is covered extensively in a fairly elementary (and perhaps old-fashioned) way in
2s 2. N E W ~ N ' S EQUATIOX AND KEPLER'S LAW

Prilzciples of JIechanicg by Synge and Griffith 1231.One can also find the mechanics
d i s c u s s in the book on advanced cdculus by
I:<].

trf
Loomis and Sternberg [15, Chapter
Thr r~nsysternaticad hoc methods used in Section 6 are successful here because
OIVn-lativc simplicity of the equations. These methods do not extend very far
Chapter 3
Intct ~~it-r~li:r~i~rs.
In general, there are not e n o u ~ h"integrals."
' l ' l ~ t b 111g~lc1
of planetary motion in this chapter i quite idealized; it ignores the
Linear Systems with Constant
P ~ : I V I ~ H I I ~ I Ieffect of t.hc other planets.
IR~
Coefiients and Real Eigenvalues

The purpose of this chapter is to begin the study of the theory of linesroperatom,
which are basic to difierential equations. Section 1 is an outline of the necessary
facb about vector spaces. Since it is long it is divided into Paria A through F. A
reader familiar with some linear algebra should use Section 1 mainly as a reference.
In Section 2 we show how to diagonalizc an operator having real, distinct eigen-
values. This technique is used in Section 3 t o aolve the linear, constant aoeffeient
system I' = A z , where A is an operator having real distinct eigenvalues. The laat
seetion is an introduction t o complex eigenvdues. Thii subject will be Btudied
further in Chapter 4.

$1. Basic Linear Algebra

We emphasize that for many readers this wetion should be used only ss a refer-
ence or a review.

A. M a trices and operators

The setting for moat of the differential equations in this book is Csrteaian space
R";thie space was defined in Chapter I, Section 2, as were the operators of addition
and eealar multiplication of vectors. The following f d i properties of t h e
:a 3. L I N E A R 8 Y S T E M 8 : CONSTART COEFFICIENTS, REAL EIGENVALUES $1. U 4 S l C LINEAR ALGEBRA

olwr:tfio~~-
ltrr imnrtdiatr consequences of the definitions: with a 1 ill the kth place, zeros elsewhere, then

t 1) Ae* = (ark. . . . , a+!

a*, = C a,#..
1-1

Thua the image of ei is the kth column of the matrix A.

Let .If. be the set of all n X n matrices. Then from what we have just daseribed,

Hcrc r , y, 2 C R", - z = ( - L)z, and 0 = (0, . . . , 0 ) € R".

there is a natural map
(2) nf. - L(R')
that associates to each matrix the corresponding linear map. There is an i n v e m
process that associates to every operator on R" a matrix. In fact Iet T: R n -R*
\ be any operator. Then define a,, = the ith coordinate of Te,. The matrix A = [a,j]
Or = 0' (the first 0 in R , the second in R"). obtained in this way has for its kth column the vector Tek. Thus
Tlwsc operations satisfying VS1 and V S 2 define the vcclor space structure on R". Te,=Aei; k = l , . . . , n.
l'ri~clu,~~illy, our dcvclopment relies only on the vector space stmcturc and ignor- It follow^ that the operator defined by A is exactly T. For let x E R m be any
n is, coordinate) structure of R'. T o e m p h i r e this idea, we may
the ( ' ~ r t ~ x i l i(that vector, z = (z,, . . . , 2.). Then
write 15 fur R" and call 15 a vector space. +, 5s' ~ p - ~ .U ' !
Thc standard coordinates are often ill ~ u i t e dto the diferential equation being z = qe, + . . . + Z.G.
studied; r c may seek new coordinates, as we did in Chapter I, giving the equation Hence
a sirnp1r.r form. The goal of this and subsequent chapters on algebra is to explain Ax = A ( x zrer) = xxt(Aer) (by LI and U )
t111- I\raDrr,sz.I t is very useful to be able to treat vectors (and later, operators) as = C zl(Tek)
u l ~ j t . r . tirl~lt~~endent
~ of any particular eoordinste system. = T ( C xtek)
'l'iiv rv:itIi,r familiar with linear algebrawill recognize VS1 and VS2 as the defining
axitln~s<,I 1~11 abstract v c c t ~ ~
space.
r With the additional axiom of finite dimen- = Tz.
sini~nllty,abstract vector spaces could be used in place of R' throughcut most of In this way we obtain a natural correspondence between o p e r a m on Rmand n X n
tlris hook. _- E L O T K . < -d; matrices.
Let A = [a,,] be some n X m matrix
a,, is a real number, where (i,j ) tang? os' in Seetion 2 of Chapter 1. Thua each
dl ordered pairs of intqera with 1 4
1 5 rt, 1 _< j 5 n . The matrix A can be considered as a map A : R"--rR" where
More generally, to wery linear map R' --.Rm corresponds M m X n matrix,
and conversely. I n this book we shafl usually be concerned with only operaton, and
n X n matrices.
the, l t l r c4)r)rdinateof Ax is I:-, a.,r,, for each z = (XI,. . . , r.) in R". I t is easy Let S, T be operators on Rm.The composite map TS, sending the vector x to
10 r.1u.l.L t l ~ u ttllis map sacisficz, for z, y € R", A E R: T ( S ( x ) ) ,is again an operator on R". If S hss the matrix [a,,] = A and T hss the
matrix [ b , , ] = B, then T S has the matrix [c,,] = C, where

c,, = x b,ras.
k-1
:it, 1~:111~~i1
' I ' i t , .I, lrr~rattlyproprrliea. Any map A: Rm-R* ~atisfying1.1 and L2 To see thin we compute the image of e, under TS:
ih I.;III,.~ .I I~rrrar.rrrnp. Kvrn murc gcncrally, a map A: R" -+ R" (pcrhaps different
c i , ~ r l ~;it111
a i ~ rang(,)
~ that eatisfirs 1,l and L2 is called linear. In the csse where the (TS)e, = B(Ae,) = B ( X ar,ck)
k
[lomain and range arc thr same, A is also called an operalor. The set of all operators
mi R nii ~lrnotedby L ( R " ) . = C a,(Bet)
k
S o t c that if er C Rais the vector
-Z k
ai(Zbt~t).
I
 91. B.<SIC LlSEAll ALGEBRA 33

Thrrcforc. An oprrator T is called i n w l i b l e if there exists an operator S such that S T =

( T S )e, = (xb , t a ~ ie,.) T S = I We call S the inuerse of T and m i t e S = T-', T = S-I. If A and B are
the matricrs corresponding to S and T, then AB = BA = I. We also m y A is
invertible, B = A-', A = B-1.
This formula says that the ith coordinate of (TS)e, is I t is not easy t o find the inverse of a matrix (supposing it hss one) in generd;
w discuss this further in the appendix. The 2 X 2 case is quite simple, however.
The inverse of
i coordinate is c.,, our assertion follow.
Si1rt.e t l ~ it11
We call the matrix C obtained in this way the produd BA of B and A (in that
ordvr) .
Since composition of mappings is sssoeiative, it follows that C(BA) = (CB)A
if :t, R , C are n X n matrices.
The sum S + T of operatora S, T E L(R") is defined to be the operator

I t is easy to see that if A and B are the respective matrices of S and T, then the
nrxtrix of S + +
T is A B = [ a , , b.,J. +
I lltt,r:~t<,rs
and tnatrices obey the two distributive laws
provided the d e t m i m n l D # 0. If D = 0, A is not invertible. (Determinants are

T i r I, sp<*eialoperators are 0: t
the c o ~ r r s ~ o n d i nmatrices.
g
-
0 and I: z -
x. We also use 0 and I to denote
All entries of 0 are 0 E R while I = [6,,] where 6;i
considered in Part E.)

B. Subspaces, bases, and dimenawn

is the Kronecker function:
Let E = R '. A nonempty subset F C E is called a uubspace (more properIy, a
linear subspace) if F is closed under the operations of addition and scdnr multi-
plication in B; that i8, for all z F, y E F, A E R:
Tlnl. I llas rinrs on the diagonal (from upper left tolower right) and zeros elsewhere.
+
It i. r,lr.:ir that A 0 = 0 +
A = A, 0.4 = A 0 = 0 , and A l = IA = A, for
t, ,111 cil)t.r:~torsand nlutr~ccs. I t follows that with these operations F satisfies VS1 and VS2 of Part A.
1 t 7' i > a n operator and X any real number, a new operator T is defined by If F contains only 0, we write F = 0 and call F the lriviol subspace. If F # E, we
call F a proper subspace.
If F1 and F, are subspaces and F, C F,, we call F I a subspace of F,.
I f .L = [a,,] is the nlntrix of T, then the matrix of AT is A4. = [ ~ a . , ] ,obtained by Since a subspace wtisfies VSl and VS2, the concept of a linear m a p T: Fl + F,
I I I U I ~ I I ~ I \ I I I raclr
~ r'ntry in A by A. It is clear that
L2 in I'art A. In particular, if m -
between subspaces P I C R",FZC R-,makes sense: T is a map mtisfying L1 and
n and F, = F,, T is an opera(m on a subepace.
Henceforth we shall use the term vcclor space to mean "subspace of a Cartesian
space." An element of a vector space will be called a w c h (alsoa point). T o die-
tinguish thcm from vectors, real numbers are called scalars.
and sindarly for matrices. Here 0 and I are real numbers.
The set L ( R m )of all operators on R",like the set M. of all n X n matrices, satis- Two important. subspaces are determined by a linear map
ti^^ tht. v c ~ t o rspace axiom VSI, VS2 with 0 as 0 and z, y, z as operators (or ma- A : El -r E,,
trices). If UT consider an n x n matrix as a p& in R"', the Cartesian space of whew E, and E* are vector spaces. The kernel of A is the set
dunension n2, then the vector space operations on L ( R m ) and M , are the usual
OIl,,S.
KerA = Iz € Et I A t = h,=A-'(0).
34 :3. LINEAR ~YSTEMS:
CONSTANT COEFFICIENT%, WEAL EIOENVALVEB

Tlrr. ti~tn!leof rl is the sct It is cssy to check that Ker A and Im A are subspaces of E, and Et, respectively.
A sirnplr but important property of I<er A is this: A is onc-lwne if and a l y if
Irn A = [ y € E, / AI = y for some z E El) Iier A = 0. For suppose A is one-to-one, nnd z E Ker A. Then Az = 0 = AO.
= A(E1). Hence z = 0; therefore 0 is tbe only element of Ker A. Conversely, suppose Ker A =
0, and Az = Ay. Then A(z - y ) = 0, so x -
y E Ker A. Then A(+ - y) = 0,
Let F be a vector space. A set $ = [ a l ,. . . , a*\ of vecton, in F is enid to span F s o z - y E 1CerA.Thusz - y = O s o z = y.
.
if every vrctor in F is a linear combination of a,, . . , a,; that is, for every z E F The kernel of a linear map R' -+ R" is connected with linear equstione (algebraic,
there an- scalars 11, . . . , l r sucb that not differential) as follows. Let A = [a,,] be the m x n mntrix of the map. Then
s = llal + .. . + 1 ~ . x = (z,,. . . , I.) is in Ker A if and only if

The set S is called indspendenl if m.benever b, . . . , It are scnlsn, such that

(III.,, 1, = . = l1* 0.
.\ hilsis I I I F is a n ordrrcd set of vectors in F that is independent and which s p m In other uords, (z,,. . . , z.) is n solution to the above system of m linear homo-
F. geneous equations in n unknouna. In this case Ker A is called the dudion spou of
T h e follotving basic fact is proved in Appendix I. the system. "Solvmng" the syslem means finding a basis jotlKer A.
If a linear map T : E -4 F is both one-bone and onto, tben there is a unique
map S : F-+ E such that S T ( z ) = z and TS(y) = y for all z E E, y E F. The
Proposition 1 E m veclor space F ha8 a basis, and every boaid of F hw Ute same map S is also linear. In this case we call T an isomorphism, and say that E and F
rlunrber of elentenla. If (el, . . . ,ell C F id an indspenderU subsel l h d is no1 a basis,
are isomorphic vector spaces.
by adjoininy lo it milable uectors e*+~,.. . , e, one can form a basis [ e l , . . . , &,I.
'I.Ir(.nrlmber of clern~ntsin a basis of F is called the dimension of F, denoted by
Proposition 2 T u v vector spaces are isontorphic if and only if 1h.q hoa Ilu m e
dim b' I f I el. . . . , e". 1 is a basis of F, then every vector I: E F can be expressed
dimension. In p a r l k l a r , every n 4 i n r m s i o d m t o r spcrcc is isomorphic to R
'
.
rn
x = X Jie., 1. € R, Proof, Suppose E and F are isomorphic. If ( e l , . . , , a)-iss back for E, it b
r- I
easy to verify tbat Te,, . . . , Te. span F (since T is onto) and are independent
C ~P,. span F. ]\loreover, the numbers 11, . . . , t, are unique. To see this,
P I I ~thc (since T is one-toone). Therefore E and F have the Bame dimension, n.Conversely,
. .
suppnsc also that

z =
,"
s,e,.
suppose ]el, . . , e.1 and ( f ~., . , f.1 are bases for E and F, respectivtIy. D&ne
T : E + F to be the unique linenr map such tbat Te. = f,, i = I , . . . , n: if +
X z.e. E h', then T z = C zJ.. Then T is onto since the f , span F, and Ker T = 0
-
I-,
since the f , are independent.
The following important proposition is proved in Appendix I.

Proposition 3 Let T : E + F be a linear ntap. Then

dim(Irn T ) + dim(1ier T ) = dim E
'l'hcw nr~mbcrsh, . . . , t, are called the coordinalea of z in Ute baais (el, . . ., &I. I n particular; Buppose dim E = dim F. Then Ihe following are e q u i d e d rialmrenlr:
'flip plnridard basis el, . . . , e, of R' is defined by
(a) I<er T = 0
\\rth 1 in the ith and 0 elsewhere. This is in fact a basis; for Cliei = (b) 1, T =f
(c) T is an omorphisnt
I I , , . . . , I.), so (el, . . . , e. 1 spans R"; independence is immediate.
 $1. R.\SlC LINEAR ALGEBRA

C. Changes of bases and wordinutcs defined:

.
To every basis {el, . . , e. 1 of a vector space E we have associated a system of
coordinates aa follows: to each vector z E E we assign the unique n-tuple of real
numbers ( t , , . . . , I.) such that z = C z.c,. If we consider z, as a function of z,
we may define a map
In fact, Q is the matrix of the linear operator J.rp-': R" R'.
How are the matrices P and Q related? To answer this we fvst relnte the bsses
-
with their corresponding coordinates:

(5) zl(ei) = 6:,, 1, j = 1, . . . , n;

l ' l ~ i ris FI lir~tarmap; it is in fact the unique linear map sending each basis vector
e, (IT I.: intu the corresponding standard basis vector of R", which we denote here (6) y ) = 6 k,i = 1, . , . ,n.
by E , .
Substituting (4) and (3) into ( 6 ):
It is easy t o see that (p is an isomorphism (see Proposition 2 of Part B). The
isomomhism v sends each vector z into ita n - t u ~ l eof coordinates in the h& 6ki C q r r ~ r ( Cp.8,).
-
= I
{ E l , . . . , i.1.
.
Conversely, let q: E Rn be any isomorphism. If [CI, . . , L ]is the s h d e r d Since zl is a linpar function, we have
..
baais of R", then define e. = 9 - ' ( i . ) ,i= 1, . . . , n. Then {el, . , e.1 is a basis of
E, and clearly, 6,. = 1 (Cg t ~ p . m ( e , ) )
I i

C ( C 9klPiP1,)
-
=
111 1111sn I nrnvr- nt thr follouing definition: A coordinate ayakm on a vector
I wr
~ 1 i
i ~ u m o r ~ ~ (P. tis m Rm.(Of course, n = dim E.) The coordinates
l~~

-
h l l w l - II ' L att by (5). Each term of the intarnal eum on the right is 0 unlee 1 = j, in which caa
. .
:1 F.' :nrc ( 2 1 , . . . , z . ) , where (p(z) = (21, . , z*). Each coordinate z, is a it is g r , ~ . Thus
~.
Trrnrt~onz , ; E
I~III.:!~ R.
I\
and 811 ~aurnorphisrnE -
r thus have three equivalent concepts: a basin of E , a coordinate system on E ,
RR.
Iieaders familiar with the theory of dual vector s p a c e (see Chapter 9) will
Qr; = C qk;pi,.
i

To interpret this formula, introduce the matrix R which ia the Lran+porc P of

- -
. .
rrcoguizv the coordinate functions z, as forming the basis of E* dual to (e,, . ,c J ;
P,by
R = [r,,], r,, = p,,.
hrrc A'' is the "dual space" of E , that is, the vector space of linear maps E R.
The coordinate functions z , are the unique Linear functions E R such that Each row of R is the corresponding column of P. Then,
6.. = E grj rj.
I

where 6., 0 if i Z j and i if i = j.

= tells us that the (k, i )th entry in the matrix QR is 6k.; in other words,
. investigate the relations between two bases in E and the two correspond-
I i o ~ r we
ing rf~ur~llnate systems. I = QR.
.
1.1.1 IF,, . . . , e. I br a baais of E and (21, . . , z.) the corresponding coordinates. We finally obtain

\\-it11coordi~~ates +: -
1.t.t u.. I..' 4 R" br thv corresponding isomorphism. Let ( f ~.,. . ,f.! be a new basis,
(y,, . . . , y.). Let E R' be the corresponding isomorphiem.
Each victor j, is a linear combination of the e,; hence we define an n X n matrix:
Thus
I =

Q = ( P i ) - : = (P')',
QP'.

The last equalitv follows from the identities I' = I, and (AB)' - FA' for MY

Eseh of the new coordinates y;: E - R ia a linear map, and m can be e x p d

in terms of the old coordinates (21, . . . , 2.). In this way another n x n matrix ia
n X n matrices A , B. Hence

50 (P)-' = (PI)',
I = (PP-')' = P8(P')',
38 3. LINEAR BYBTEW8: CONSTANT COEmCIENlU, REAL EIOENVALUEE $1. BASIC' LINEAR AWEBRA 39

We have proved: Now suppase a new system of coordinatrs ( y , , . . . , y.) is introduced in E, cor-
responding to a new bask (h,. . . ,f.1. Let B be the matrix of T in the new coordi-
Proposition 4 The matrix aprwsing nno mordina!a i n leima oj the dd u ~JICin- nates. How is B related to A?
o v s r Iraiispose oj Uc matrix czprwsing Ue nnu basis in lcrms oj the old. The new coordinates are related t o the old ones by an invertible matrix Q = [q,,],
as explained in Part C. If z E E is anv point, ite two seta of coordinate.
z = ( X I , . . . , zl) and y = ( y l , . . . , yl) are related by
D. Operator, boaea, and mdtricea
I/ = Qz; z = Q1y.
In Part A we -iated to an operator T on R' a matrix [at,] by the rule (Here we think of z and y as point8 in R'.) The imsge TIalso bss two sets of eo-
(7)
'
..
Tef = C a c ~ i ; i = I, . ,n, ordinates, Az and By, where B is the matrix of T in the new coordinstes. Therefore

.
where ( e l , . . , s )is the standmi bnain of R
'. Equivalently, the ith coordinate
Hence
of T z , z = ( X I ., . . , z . ) , is
(S) C asp,.
1 for all y E- R". I t follows that
It I- 11ic.fitltorepresent (8)as the product of a n n x n matrix and a n n x i matrix :

This is a basic fact. I t is worth restating in terms of the matrix P expreaing the
.
new basis vectors f; in terms of the old basis ( e , ,. . , emf:

\\'e carry out exactly the same procedure for an operator T: E -+ E, where E
.
is any vector space and ( e l ,. . , e,,l is a given basis of E. Namely, ( 7 ) dehnea a
matrix [a,;]. The coordinates of T z for the h& {el, . . . ,e. 1 are computed by ( 8 ) .
I t is helpful to use the following mlea in constmeting the matrix of an operator
in a given bssis:
The j t h c d u m n of the matrix give8 the coordinates of the image of the jth bssis
vector, as In ( 7 ) .
.I'lrr 1111 row of the matrix e x p r m the ith coodin& of the imsge of z s d a linear
In Part C we saw that Q is the inverse transpaw of P. Therefore
The matrix P' can be dmribed as followa: the tth cnlumn of P consista of the m-
ordinam of the new basis vector j, in the old basis [el, . . . , e,,). Observe t M in
(10) and ( 1 1 ) the inverse s i p - i appear in different places.
Two n X n matrices B and A related as in (10)by some invertible matrix Q are
called s i m i h r . This is a basic equivalence relation on matrices. Two matried are

-
similar if and only if they represent the same operatar in ditTerent baaea. Any matrix
function of the coordinates of z, as in ( 8 ) . property that is preaemed under similarity is a property of the underlying linear
I f we think of the coordinate. as linear function8 xi: E R, then ( 7 ) is expreaaed transformation. One of the main goals of linear algebra is to h o v e r criteria for
succinctly by the similarity of matrices.
(9) z,T = C a s f ; i = i ,..., n. We also call two operators S , T E L ( E ) similar if T = QSQl for some invertible
operator Q t L ( E ) . This is equivalent to similarity of their matrioes. Similar
This looks very pretty when placed next to ( 7 ) ! The left side of ( 9 ) is the corn&- operators define differential equations that have the same d y n a r n i d proper&.
tion
r ii
E-E-R. E. Determinant, trace, a n d rank
The right-hand side of ( 9 ) is a linear combination of the linear functiom 21,. . ,Z.. .
The meaning of ( 9 ) in that the two linear functions on E, expressed by the left and
right sides of (9),are equah Det: Af. -
We recall briefly the main properties of the determinant function
R,
~n 3. L I N E A R SYSTEMS: CONBTANT COEFFICIENTS, REAL EIOENVALUEB $1. BABIC LINEAR ~mEnR.4 41

1% Iwr,, >I., I> thc S of 71

P ~ X n matrices: Therefore we can define the trace of an operator to be the trace of any matrix rep-
enting it. I t is not easy to interpret the trece geometridy.
D l . 13~tiAR)= (Det A) (Det R), Note tbat
DL' u r t I = 1,
D3: Det A # 0 if and only if A is invertible. Tr(A + B) = Tr(A) Tr(B).+
The rank of an operator is defined tabe the dimension of its Si
There is a unique function Det having theae three properties; it is discussed in more
detail in the appendix. For a 1 X 1 matrix A = [a], Det A = a. For a 2 X 2 ma& n X nmatrix defines an operator on R", we can define the rank of a matrix A ta be
the rank of the corresponding operator T . Rank is inuoriol under b i h n l y .
[:I = A , The vector space Im T is spanned by the imsges under T of the st.adyd ba&
Det A = ad - be. vector, el,. . . , er. Since Te, is the n-tuple that is the j t h column of A , it fdlons that
I:rr~r~r1)1 and D2 it follows that if A-I exieta, then Ute rank of A equals the mazimum number oj i h f q e d d dumm of A.
T h i ~gives a practical method for computing the rank of an o p m t o r T. Let A
Det(A-1) = (Det A)-1. be an n X n matrix representing T in some basis. Denote the jth column o f A by
Frolo Dl \r-c then obtain c,, thought of aa an n-tuple of numbers, that is, an element of R-. The rank of T
Det(RAR-I) = Det A . equals the dimension of the subspace of R ' spanned by el, . . .,,6. This nubpact L
also spanned by CI, . , .. +
ci Act, c,+I,. .. , c.; X E R. Thua we may replace
In r ~ t h v rr-ords,
r simtlar mdricea hwe Ihe dome ddmminul. We m y therefore define
the drtrrminant of an operator T: E --r E to be the determinant of any ma&
any column c, of A by c, + A s , for any A € R, k # j . I n addition, the order of
the columns can be changed without altering the rank. By repestedly trmalo-
rcprr-sentlnp; T . ing A in these two ways we can change A to tbe form
For tt = I, the determinant of T : R1-+ R1 is the factar by which T multiplies
lengths, except poasibly for sign. Similarly, for R' and areaa, R' and volumes.
I f A is a triangular matrix (a,, = 0 for i > j, or a,i = 0 for i < j ) , tben Det A =
all . . . am, the product of the diagonal elements.
From D3 we deduce: where D is an r X r diagonal matrix whose diagonal entries are diRerent fmm la,
and C has n - r mws and r columns, and d other entries are 0. I t is easy to eee
that the rank of B, and hence of A, is r.
Propmition 5 Lei A be a n aperdar. Then the jollowing ata&mais are cpuimh!: From Proposition 3 (Part B) it follows that an operator on an rn '04 "

(IL) IIPI A # 0, vector s p a is invertible if and only if it has rank n.

-
( b ) 1G.r A = 0,
(c) A is one-to-one,
(d) A is &, F. Direct sum decomposition
(e) A is rnucrldle.
I n particular, Det A = 0 ij and only ij A x = 0 for some wdor z # 0. ..
Let El, . , E, be aubspaces of E. We any E is the dircd srm of them if
vector x in E can be expressed uniquely:
Another important similarity invariknt is the irace of a matrix A = [a,,]:
This is denoted

the s u m of the diagonal dements. A cornputstion shows that

Let T : E + E a n d T . : E . - E m , < = 1, . . . , nbeoperatonr Wesay that T h

and hence
Tr(RAR-1) = Tr(R-IRA)
the dired sum of the T, if E = El e . . . e E., each E, is invarhnt under T, tbst
is, T ( E , ) C E;, and Tz = T.x if z E E.. We denote the situation by T
T l e . . . e T.. If T , has the matrix A, in some basis for each E,, tbm by taking
-
42 . LINF.AIt SYSTEMS: CON8TANT COEFFICIENW, HEAL EIGENVALUEB 82. RE.4L EIGERVALUEB 43

the union of the basis elements of the Ej to obtain a basis for E, T has the matrix (See Part E of the previous section) To do thw let A he a rep-tstive of T. Then
(1) ia equivalent to

We consider A as an indeterminate (that is, an "unknown number") and compute

the left-hand side of (2) (see Appendix I ) . The result is a poIynomial p(h) in h,
L called the characlcrislu polynomial of A. Thus the red eigenvaluea of T a r e exactly
.l.lii- I ~ I V : I Z I - ~thr matrices A , are put together comer-to-corner diagonally as indi- the real roots of the p(h). Actually, p(h) is independent of the bssis, for if B ia
~ntl.cl.:dl ~vtllrrentries in A being zero. (We adopt the convention that the blank the matrix of T In another basis, then
rlrtrics I r r n rl~atrixare zeros.) B = QAQ'
l'<,rd1r1,ct sums of operators there is the useful formula:
for some invertible n X n matrix Q (Section 1, Part D). Hence
Drt(T1 m . . . e T.) = (Det TI) . .. (Det T.),
Det(B - AI) = Det(QAQ1 - A I )
and thr rcll~ivalentmatrix formula:
Det diag(Al, . . . , A.1 = (Det At) .. , (Det A").
.41so. = Det(A - AI)
Tr(T, e .. . m T.) = T r (TI) + . .. + Tr (T.). (Section 1, Part E). We therefore call p(A) the charodcrialic polynomial of UIC
and ) the dimension of E.
operalor T. Note that the degree of p ( ~ ia
Tr diag(A1,. . . , A m ) = Tr(Ai) + ... + Tr(An). A complex root of the characteristic polynomial is called a armplct. eigcnadu
\Ye identify the Cartesian of R- and R' with Rm+'in the obvious way. of T. These will he considered in Section 4.
I f C. C R- nnd F C R. are aubspaces, then E X F is a subspaw of Rm+"under
Once a real eigenvalue u has been found, the eigenvectom belonging to a are
this idrntification. Thus the Cdrtesibn ptbducf of two vector apsces is a vector apaee. found by solving the equation

By (2) there must exist a nonzero soIution vector I . The solution space of (3) is
$2. Real Eigenvaluea exactly the a-eigenspace.
Emmple. Conaider the operator A = [_:
_:I on R', used to describe a differen-
tial equation (4) in Chapter 1. The characteristic polynomial ia
k t T bc an operator on a vector space E. A nonsero vectur z E E is called a
(real) eigenueclor if Tz = az for some r e d number a. This u is called a red eigigen-
d u e ; we say z belongs lo a.
E;gcnvaluea and eigenvectom are very impartant: Many problem in phymw
and other sciences, as w-11 as in mathematics, are equivalent to the problem of = (A - 2) (A + 1).
finding eigenvectors of an operator. Moreover, eigenvectors can often he used to The eigenvaluea are therefore 2 and - 1. The eigenvectom belonging to 2 are solu-
find an especially simple matrix for an operator. tions of the equations ( T - 21)x = 0, or
Tlw condition t hat a is a real eigenvalue of T menna that the kernel of the operator

is nontrivial. This kernel is called the azigennpm of T; it consists of all eigeo-

which, in coordinates, is
vectors belonging to a together with the 0 vector.
To find the real eigenvdues of T we must find all real numhern A euch that 3z1+ 32, = 0,
@ 3. LINEAR BYSTEWB: CONSTANT COErRCIENTG, REAL EIOENYALUEB 52. REAL EIOENYALUEB 45

The solutions am If a real eigenvalue a is known, the general procedure for finding +vectors
belonging to a are found as follows. Let A be the matrix of T in a lmsia@. The matrix
equation ( A - a1)z = 0 is equivalent to the system of linear equation8

is b:~qisfor the eigenspace belonging to the real eigenvalue 2

$1
TIII,- 1 rbinenspace comprises solutions of

The vanishing of Det (A - a l ) guarantees a nonaero solution z = (21, . . . , z;).

Such a solution is an eigenvector for a, expressed in the basis,@.
..
A very fortunate situation occurs when E has a basis { jl, . , j.) such that each
f, is an eigenvector of T. For the matrix of T in this basis is just the diagonal matrix
This matrix equation ia equivalent to the pair of acalar equation8
D = diag(a1, .. ., a.1, that is,

p.. 1
I t is rlear that ( - 1, 2) i a basis for the solution space. Therefore the v e c h
j, = ( - 1, 2) R2 is a' basis for the ( - 1) -eigenapace of T.
The two vectors all. other entries being 0. We say T is diagonaluable.
jl = ( 1 , -I), j: = ( - 1 . 2) I t is very easy to compute with D. For example, if z E E haa componente
(21, .. . , z.), thBt is, z = C zJi. then T z = ( a m , . . . , a.z;). The kth power
form a new bask ( j i ,f*)for R'. In this basis T bss the diagonal matrix D'= D . - . D (kfactors) isjustdiag(a:, . . . , a : l .

An important criterion for diagonalizability is the following.

+ Theorem 1 Lel T be an a p e r e for an ndimewionol veclor apace E. I j the churac-

then a -
Note that any vector z-=( X I a)
(y, - y,, - y l +
, in R' can be written in t h e form ~ J I yjt;
2y.) using the definition of the j,. Therefore (y,, y) are
the coordinates of z in the new basis. Thus
(erislicpolynmnial oj T h a n ddislind r e d rook, lhen T ean be diagonaliud.
P r w f . Let el, . . . , e. he eigenvectors corresponding to distinct + d u e s
..
a], . . . , an. If el, , , e. do not form a basis for E, order them so that q, . . . ,.r
is a maximal independent suhast, m < n Then e. = xEl lp,; and

This is how the diagonalizing change of coordinates was found in Section I of Chap-
ter 1.
Example. Let T have the matrix [:-:I. The characteristic polynomial is

= Lj(aj - a.) ei.

?I
Hence T has no real eigenvaluea.
4; 3. L I N E R SY6TEZIS: CONSTANT COEFFICIENTS, REAL EIGENVALUES 93. DIFFERENTIAL EQUATIONS WITH REAL, DISTINCT EIUENVILUEB 47

S111~1.r , . . . , em arc indcpendent, 83. Differential IEquatione with Real, Distinct Eigenvalua

S I I I ~aV, # n, by aqumption, each 1, = 0. Therefore, e. = 0, contradicting e. We use the resulb of Section 2 to prove an important result.
..
beir~gan ~igenvector.Hence le,, . , en) is a bask, so T is diagonalizable.
Theorem 1 Lel A be a n operafor on R^ having n dis(ind, r e d e+uduu. Thm
The lolb\\ing theorem interprete Theorem 1 in the language of matrices. R
'
, the linurr diflerential cpualia
jor all xo E

Thaorem 2 Lel A be an n X n matrix having n disltncl real kgewatues A,, . . . ,A. (1) x' = Ax; z(0) = G,
Then there exisla an invertrMe n x n mat& Q such thal has a unique solution.
Proof. Theorem 2 of Section 2 implies the existence of an invertible m a t h Q
Proof. Let (el, . . . , e.1 be the standard besi in Rn with corresponding co- such that the matrix Q A Q Lis diagonal:
.
ordinntrs (I,, . . , x.). Let T be the operator on R' where the matrix in the stand- QAQ' = diaglA1, . . . , 1.A = B,
ard basis i s A. Suppose / jl, . . . ,j.1 ia a basis of eigenvectors of T, so that Afi =
h i , , j = 1, . . . , n. Put j,- ..
(j,,,. , ji.\. If Q is the matrix whose jth column is
J,, then QAQ-' is the matrix of T in the bask / jl, . . . ,I.), as shown in Part D of
.
where A,, . . , A. are the eigenvaluea of A. Introducing the new coordinates y = Qz
in R", with x = Q'y, we find
Section 1 . But this matrix is di&(h,, . , A.1. . . y' = Qz' = QAz = QA (QLy)
80
WT \ d l often use the expression " A has real dislinel eigavalues" for the hypothesis
of Theorem 1 and 2. (2) y' = By.
Another useful condition implying diagonalizability ia that an operator have a Since B is diagonal, this means
syit~ntefn'cmatrix (aii = aii) in some bash; eee Chapter 9.
Ict us examine a general operator T on R' for diagonalizability. Let the matrix (2') -
y.' = A@,; i 1, . . . ,n.
[:
be :I; the characteristic polynomial pr(A) is Thua (2) ia an uncoupled form of ( I ) . We know that (2') has unique sdutiona for
every initial condition yi(0) :

= A% - (a + d)A + (bd - bc). TO solve ( I ) , put y(0) = QQ. If y(t) ia the eorreaponding solution of (2), then
+
Wotice that a d is the trace Tr and ad - bc is the determinant Det. The mote
the solution of ( I ) ia
x (t) = Q-'y (1).
) , hence the eigenvaluea of T, are therefore
of ~ T ( Aand
hIore explicitly,
+ (T? - 4 Det)"'].
)mr
z(l) = Q1(yr(0) exp(A11). . . . , y.(O) exp(A,L)).
Tllc roots are real and distinct if Tr' - 4 Det > 0; they are nonreal complex con-
jugr~tcsii Tr - 4 Det < 0; and there is only one mot, necesssrily real, if T r - DiRerentiation shows that
J 1)rt - 0 Therefore T is diagonalizable if TI'- 4 Det > 0. The remaining case,
'l'r' - 4 Uet = 0 is ambiguous. If T is diagonalieable, the diagonal elements are
eigcnvcctora. If pr has only one root a,then T has a matrix [; :I. Hence T = al.
Rut this means any matrix for T ia diagonal (not just diagonalieable) ! Therefore
x h m Tr' - 4 Det = .O either every matrix for T,or no matrix for T, is diagonal.
Tlie oprrator represented by [I :j cannot be disgonalized, for example..
4X 3. L I N E A R SYSTEDIS: CONSTANT COEFFICIENTB, H E A L EIOENVALUES 43. DIFFERENTIAL EQUATIONS WITH REAL, DISTIN(T EIOENVALUEB 49

This substitution is most easily done by matrix multiplication

Thus r ( l ) really does solve (1). writing z ( 1 ) and y (1) as column vettors,
To prove that there are no other solutions t o ( I ) , we note that z(1) is a mlution
to (1) if and only if Qz(f) is a mlution to

Henre two different solutions t o (1) would lead to two different solutions to (3), T o find a mlution z(f) with a specified initial value
wllirh is ir~iposisiblesince B is diagonal. This prover, the theorem.
z(0) = u = (U,, . .. , u.),
It is inrportant to obsrrve that the proof in constructive; i t actually shows how one substitutes 1 = 0 in (6),equates the right-hand side to u, and mlveu the result-
to tir~dscjlutions in any specific case. For the proof of Theorem 1 of Section 2 .
ing syetem of linear algebraic equations for the unknowna (a,, , . ,&) :
shows how to find the diagondizing coordinate change Q (or Q-I). We review t h
procedure.
F i t , find the eigenvaluea of A by finding the roots of t,he charaeteriatic poly-
nomial of A. (This, of course, may be very difficult.) For each eigenvalue A; find a This im equivalent to the matrix equation
corresponding eigenvector f i by solving the a p t e m of linear equations corresponding
to the vector equation
(A - AJ)f; = 0. Thus a = ( P L ) - L ~Another
. way of saying this is that the initial valueu z(0) = u
corresponds to the initial value y (0) = (Pt)-'u of (5). If one ie interestedonly in a
(This is purely mechanical but may take a long time if n is lsrge.) Write out each specific vector u, i t is easier to solve (7) directly then to invert the matrix P.
eigenvector j. in coordinates: Here is a simple example. Find the general solution to the system
(8) 2: = z,
obtaining a matrix P = [M.Then the yi are defined by the equation
2; = 2, - q.
The corresponding matrix is

Sotr t hr order of the aubscripta in (4) ! The ith wlumn of P' consiets of the coordi-
11ntc*soff.. The matrix Q in the proof is t h e i n v e m of P.However, for mme pur-
poses, it is not necessary to compute Q.
Ilr thc new coordinates the original differential equation becomes
Since A is triangular,
Det(A - XI) = (1 - A) (2 - A ) ( - 1 - A)
Hence the eigenvalues are 1, 2, - 1. They are real and distinct, so the theorem
so tlle general solution is applies.
The matrix B is
.
where a,, . . , a. are arbitrary constants, a; = y,(O). The general solution to the
original rvluation is found from (4) :
 $3. DIFFEHEXTIAL EQUATIONS WITH HEAL, DIUTINCI. EIOENVALUEB
,d) 3. LINEAR SYSTEMS: CONSTANT COEPFICIEN'TE, H E A L ErOENvALUEB
From z = P5, we have
In the new coordinates the equivalent differential equation is
yI = Ill1

y: = 2 ~ ,
y; = -lh,

xhieh has the solution hence

~ l ( l=
) ael,
yl(l) = be", zr(1) = -2ac' + be",
(1) =- a, b, c arbitrary conatants. za(1) = ae' + ce',
To relate the old and new eoordinatea we must find three eigenveetors f ~fa, , fa where a, b, c are arbitrary wnatanta.
of A belonging respectively to the e i ~ e n v a l u a1, 2, - 1. The second column of A The reader should verify that (9) is indeed a solution to (8).
T o solve an initial value problem for (a), with
shours that we can take
h = (0, 1,0),
we must select a, b, c appropriately.
and the third wlumn shows t h a t we may take From (9) we find
h = (O,O, 1). s(0) = 20,

find j, = (a,u,, v,) we must solve the vector equation

zr(0) = a + c.
Thus we must solve the linear system
(10) 2a = u,,
-2 + b = *,

this leads to the numerical equation for the unknowns a, b, c. Thii amounts to inverting the matrix of coeficienta d the
lefthand side of (lo), which ie exactly the matrix PI. For particdar value8 of u,, w,
us, i t is w i e r to solve (10) directly.
This procedure can, of course, be used for more general initial valuen, z(k) = u
The following observation h an immediate consequence of the proof of Theorem 1.
nonzero solution will do; we take w = 2, U, = -2, IJ=
I Thus
Theorem 2 Lel the n X n mdriz A have n disfincf real &&uu XI, ... , X..
Then every solution lo the differenlial equalwn
The matrix PL has for ita columna the triplm fh, ft, fa:
2' = Az, z!O) = u,
18 of the fonn

for unique consfanis c,,, . . . , ci. depending on u.

52 3. LINEAH BYBTEMS: CONSTANT COEPFICIENT8, HEAL EIOENVALVW $3. DIFFERENTIAL EQUATION8 WITH HEAL, DISTINCT EIOENVALLl.UEB

By usirrg this theorem we get much information about the general character of Therefore
tllr solutions dircctly from the knowledge of the eigenvaluea, without explicitly
snlvit~gthe differential equation. For example, if d l the eigenvduea are negstive,
cviclrr~tly
lim z(l) = 0
c- which reduces to
for every solution x(I), and conversely. This aspect of linear equations will be
investigated in later chapters. cn = 0.
Theorrni 2 leads to another method of solution of (1). Regard the coefficients ci, From z; = 21 - zl we obtain
as unknowns; eet
+ 2cd' - tar' = - csl)el + (cu - ca)2' + (qI
z,(l) -C I
ci, exp(1.4,) ; i= 1, . ..,n, cnel
Therefore
(GI - co)cl.

Cn = CII - Cn,
and substitute i t into
2czr = c* - c",
z' = Az, z(0) = u.
-c., = C" - a,
Then rquate coefficients of exp(6Ai) and solve for the c.,. There r d t s a ~ y s t e m which bd1 down to
of linear algebraic equations for the c., which can always be satisfied provided Cn = ~CIL,
.
x,l . . , A. are r e d and distinct. This ie the method of "undetermined coefficients!'
La, = 0.
As an example we consider the same eystem aa before,
Without uaing the initial condition yet, we have found
z ~ ( l )= cue',

with the initial condition which L equivalent to (9). From (z1(0), a(O), ~ ~ () 0=) (1,0,O) we find
z(0) = (1,0,0).
c,1=1, c"=l, cu=-+.
,,
I IIC- rige~ivalueaare A1 = 1, A t = 2, AI = -1. Our solution m w t be of the form The solution is therefore
z(t) = (el, -e8 + 11, tet - 48').
We remark that the conclusion of Theorem 2 is definitely falae for nome 0perat.m~
with real, repeated eigenvaluee. Consider the operator A = :I, whose only eigen- [:
value ir, 1 and the sy&m z' = Ax:
TIlrn from z:(I) = XI we obtain (11) 2: = 21,

c1,et + &I&' - cuc' = cue' + clre" t cuc' 2: = 21 + a.

O h v i o d y , zr(1) = act, a = constant, but there L no comtant b such that a(6) =
for d l valuea of I.WS4 pomible only if
be' is a solution to ( 11). The reader can verify that in fact a solution in
eu = el, = 0.
q(1) = act,
(Differentiate and set 1 = 0.) From z; = 21 + 2+1 we get *(I) = e'(d + b),
crlel + 2cu& - cne-< = (cll + 2 ~ r ) c '+ (cu2cn)lt + (cu + 2cn)c1. a and b being arbitrary constants. All mlutions have t b form; see hoblem 3.
,.! 1 3. LINEAR BYSTEM8: CONSTANT COEPPICIEHT8, HEAL EIOENVALUW 64. COMPLEX EICIENVALUEB

6. Consider a second order differential equation

(*I z" + bz' + cz = 0; b and c constant.
1.
(a) z' = -z,
y' = z +
2y;
(b) z: -
Solve the foltoning initial value problems:
+
221 a,
z: = Z l + h ;
( a ) By examining the equivalent first order system

~ ( 0= ) 3.
) 0, ~ ( 0 = xl(1) = I, - ( I ) = 1

(c) Z' = Az; (d) z' = Az, show that if F - 4c > 0, then (*) has a unique solution r ( t ) for every
z(0) = (3,O) ; z(0) = (0, -b, b), initial condition of the form

( b ) If bz - 4c > 0, what assumption about b and c ensures that

2. I-ind a 2 X 2 matrix A such that one solution to z' = Az is

for every solution z ( l ) ?
(e) Sketch the g r a p h of the three solutions of
8. Show that the only mlution to z" - 32' + 22 = 0
for the initial conditions

7. Let a 2 X 2 matrix A have real, distinct eigenvaluea A,r. Suppoee an eigen-

vector of A ia (1,O) and an eigenvector of r ia (1, 1). Sketch the p k portr$ts
of z' = Az for the following csses:
(a) 0 < A < r ; (b) 0 < r < A; (c) A < p < 0;
(dl A < 0 < r ; (e) A = 0; r > 0.

( H i n ~ :If (yl(l), y2(t)) is another solution, consider the functions e-'yl(l),

e-ly?(l).) $4. Complex Eigenvalues
4. Lrt an operator A have real, distinct eigenvaluea. What condition on the eigen-
rs1ur.s is equivalent to I z(1) I = m for every sdution ~ ( 1 to) X' = Az? A class of operatom that have no real eigenvdues are the planar opemtom T.,:
R'+ R' represented by mstricea of the form A , , = 21, b f 0. The charac-
5. Suppose the n X n matrix A hss red, distinct eigeovaluee. Let 1 ++(1, a) teristic polynomial is
be the solution to z' = Ax with initial vdue +(Or ~ g ) = 20. A' - 2aA + (a' + F ) ,
( a ) Show that for each h e d 1, where roots are
lim +(I, YO) = +(La20).
n-=m ./ a + ib, a - ib; i = d?.
This means solutions are continuous in initial conditions. (Hint: Suppoae \Ye interpret T.,r ~eometricall!, ae f111lows.Intmduce the numbers r, 0 by
A is diagonal.) r = (at + bl)'lz,
( h ) Improve ( a ) by finding constants A 1 0, k 1 0 such that

( H ~ n tTheorem
: 2.)
56 3. LINEAH BYSTEMB: CONSTANT COEmCIENT8, REAL EIQENVALUEB W. COMPLEX EIGENVALUES 57

Then: P r o v i d i i b > 0, T., id a mnlerclockwiue roeolion through B rodiaw f o h d T does not correspond to mnltiplication by a complex number since its matrix
by a strefching (or shrinking) of Ilu Imgth of each Yedm by a fador of r. is not of the form Am,&.But i t is possible to introduce new coordinates in R-that
That is, if IL denotes rotation through 0 radians, thcn is, to find a new hasia-giving T a matrix A*,.
Let (u, a)be the dandard coordinates in R2.Make the substitution
T.,b(+) = r&(z) = &(rz).
To see this first observe that 1
' =A + YT,
a = r eos 8, b = r sin 8. zr = -y1,
In the standard basis, the matrix of IL ia so that the new coordinates are given by

Yl = -a,
-yl=z1+zr.
the matrix of scalar multiplication by r is r l = C I].
The equality The matrix of T in the y-coodimtea i s [: = A].,. For this matrix r = 32,
0 = r/4. Therefore in the ( y ~ ,y*)-plane T is rotation through r / 4 fdlowed
with stretching by @. I n the original coordinates (G, z,), T is a kind of "elliptical
rotation" followed by the fi-atretch. If vectors in R' are identified with complex
numbers via the y-eoordinates-the vector whose yeoodinates are (B, B) becomes
viclds our assertion.
yl + i y t h e n T corresponds t o multiplication by 1 + i.
There is another al~ebraicinterpretatim of Tar.Identify the plane R' with the
This shows that although T is not diagonalizable, coordinates can be introduced
field of complex numbers under the identification
in which T has asimple geometrical interpretation: a rotation Iollowed by aunifonn
(z, I) - z + iy. stretch. Moreover, the amount of the rotation and stretch can be deduced from
Then with tbia identification, t L operator T.& cmrcspoRdB to mdliplicolin by
+
the roots of the characteristic polynomial, since r / 4 = arg(l i ) ,32 = 1 1 + i 1.
We shall explain in Chapter 4, Section 3 how the new coordinates were found
a +ib:
(z, Y) -2 ;Y + We show now how the complex structure on R' (that is, the identification of
R' with C) may be used to solve a corresponding class of differential equations.
operate by T.4
1
(az- by, bz
I -I
+ ay) (QZ- by)
mnltiply by a + ib
+ i(br + QY)
Consider the system

Notice also that r is the nonn (absoluta value) of a + bi and B is its argument.
Readers familinr with complex functions will recall the formula a + ib re' (aee
Appendix I).
-
The geometric interpretation of T.., makes it eksy to compute with. For example,
t o compute the pth power of T..,: We use complex variables to formally find a solution, check that whst we hsve
found solves (1 1, and postpone the uniqueness proof (but see Problem 5).
Thus replace (2, y) by z + +
iy = z, and [; -:] by a bi = r. Then (1) becornea
'cos@
sin @
-r*mn@
9 cm @ 1.
-
=
Following the lead from the beginning of Chapter 1, we write a solution for (2),
Next, we consider the operator T on R' where the matrix is C -:I .T h e c h a r t(t) KC'^. Let us interpret this in terms of complex and r e d nurnbm. Write
+
the complex number K aa u iv and set z(t) = zit) + iy(f),6. = emem. A stand-
acterlstlc polynomial isA1 - 2A + 2, where rootsare
ard formula from complex numbers (see Appendix I ) ssp that eW = u m tb +
i sin lb. Putting this information together and taking real and h q i m r y parts we
.is 3. LINEAR SYSTEMS: C O N S T A N T COEIYtCIENT8, REAL ElGENVALUELi 64. COMPLEX EIOENVALUEB

obtain Therefore the solution to (4) with initial condition

(3) ) uemcos 16 - w" sin 16,

~(1=
) (zo,
(z(Q), ~ ( 0 ) = Yo)
is

The reader who is uneasy about the derivation of (3) can regard the preceding z(t) = 5b sin 16 + zocos tb,
par:bgrapll simply aa motivation for the formulas (3); it is easy to verify directly
by diRcrentiation t h t (3) indeed providerr a solution to (1). On the other hnnd,
all the steps in the derivation of (3) are justifiable.
Y (6) = yo cos Ib - basin tb,
We have just seen how introduction of complex variables can be an aid in mlving a s can be vprified by differentiation.
differential equations. Admittedly, this use waa in a very special case. However, We can put this solution in a marc perspicuous form as follows. Let C =
many s.vstema not in the form (1) can be brought to that form through a change +
[ ( V O / ~ ) ' ~'1'''and write, d n g C f 0,
of roordinatea (see Problem 5). In Chapter 4 we shall pursue this idea systemati-
cally. At present we merely give an example which waa treated before in the Kepler
problc.111 511Chapter 2.
('onsi[lrr the system
Then u' + v' = 1, and
z(1) = CCvcosIb - uein tb].
Let 1, = bkLarc con v, m that
The rorrespanding matrix is
cos bio = v, sin b4 = u.
Then r ( I ) - C (coa bl cos bb - sin bt sin bk), or
\\-hose eigenvnluea are fbi. I t is natural to ask whether A can be put in the form
(5) z(t) = C cos b(t - Lo) ;
and

through a coordinate change. The answer ia yes; without explaining how we dip (6) y (1) = bC sin b(l - Lo)
covered them (this will be done in Chapter 4), we introduce new coordinates (u, U) as the reader can verify; C and 10 are arbitrary constants.
by setting z = v, y = bu. Then From (5) and (6) we see that

\\-r hnr-e already solved the system Thus the solution curve (z(l), y ( l ) ) goes round and round an &pee.
u' = - bv, Returning to the system (4), the reader hw probably recognized t h s t i t ia equiva-
lent to the second order equation on R
v' = bu;
tbc solution with (u(O), ~ ( 0 ) =
) (uo, vo) ie
obtained by differentiating the Grst equation of (4) and then substikiting the
) uocw 16 -
~(f= sin rb, second. This is the famous equation of "simple harmonic motion," whose p r d
v(1) = u o s i n 1 6 + g c w I b solution is (5).
60 3. LINEAR SYSTEMS: CON8TANT COEPFICIENW, HEAL EIOENVALUU w. COMPLEX EIOENVALUEB
61
PROBLEMS 6. Let A = -3. me sokutiona of z' = A r depend continuously on initid values.
(See Problem 5, Seotion 3.)
7. Solve the initial value problem
I . Solve the following initial value problem.
(a) z ' = -ye
y1 = 2;
z(0) = 1, y(0) = 1.
2: -
(b) z: = - 2%
22,;
Z , ( C ) = 0, a ( 0 ) = 2.
2' = -4y,
y' = z;
(c) z' = Y, (d) 2' = Az, ~(0=
) 0, ) -7.
~ ( 0=
y1 ' -2; x(0) = (3, -9) ;

2. Sketch the p b portraits of each of the differential equations in Problem 1.

3. Let A - C; -f] and let z(l) be a solution t o z' = Az, not identically 0. The

(a) a circle if a -
curve z(f) is of the following form:
0;
(b) a spiral inward toward (0,O) if a < 0, b f 0;
(c) a spiral outward away from (0, 0 ) if a > 0, b f 0.
What effect hes the sign of b on the spirals in (b) and (c)? What in the phase
portrait if b = O?

4, Sketch the phase portraits of:

(a) z' = -22; (b) z' = -1: 4-1;
y' = 22; Y' = 3y;
'2 = -2y. I= -x-2.
Which solutions tend to 0 8s t -+ op ?

5. Let A be a 2 X 2 matrix whose eigenvalues are the complex numbera a Bi,

p # 0. Let B = G -!I. Show there eldsts an invertible matrix Q with QAQ-' =
R , n.. follows:
I :ri Show that the determinant of the following 4 X 4 matrix b 0:

where I = [i :].
( b ) Show that there exists a 2 X 2 matrix Q such that AQ = QB.
(Hint: Write out the above equation in the four entrim of Q = [qc!]
Show> the resulting syatern of four-linear hornogensoua equations rn
the ur unknowna q;, has the coefficient matrivof part (a).)
(c) Show that Q can be chosen invertible.
Thvn~forcthe system z' = Ax has unique solutions for given initial conditions.
 $1. COMPLEX VECFOH SPACES 63
.
', then X1 is the vector (As, . , , h.) ; this b d a r multi-
z = (21, . . . , 2.) i~ in C
plication. Note that R ' is contained naturally in C. as the set of all (s,, . . , z.),

Chapter 4 where each z, is real.

Linetr.r Systems with Constant
Coejicients and Complex Eigenunlues
As wc aa\\- in the last section of the preceding chapter, complex numbers enter
oaturnlly in the study and mlution of real ordinsry differential equations. In gen-
eral the study of operators of complex vector spaces facilitates the solving of linear
differential equations. The first part of this chapter is devoted to the linear algebra
of compl~xvector spaces. Subsequently, methods are developed to study almost all
fiwt ordvr linear ordinary differential equations with constant coefficients, including
tho-e 1vhnsa associated operator has distinct, though perhaps nonreal, eigenvalues.
1'111. nrp;rnlng of "almost all" \\-ill be made precise in Chapter 7.
The axioms VS1, VS2 of Section 1A of Chapter 3 are valid for the options
we have just defined for C^. They define the complez vedor ~ M X Xstructure on Cm.
As in Section IB, Chapter 3, a nonempty subset F of C' ie called a subspace or a
(complex) linear nubspace if i t is closed under the operations of addition and scalar
multiplication in C'. The notions of trivial subspace, proper subspace, subspace
of a (complex) subspace are defined as in the real case; the same b true for the
concept of linear map T: F I + F, between subspaces F,, F2 of Cn.One replaces
real scalars by complex scalars (that is, complex numbers) everywhere. A complcr
vector space will mean a subspace of C'.
The material on kernels and images of linear maps of complex vector spaces
goes over directly from the real case as well as the facts about bases, dimmion,
coordinates. Propositions 1, 2, and 3 of Section IB, Chapter 3, are all valid for the
complex case. In fact, all the algebraic properties of real vector spaces m d their
linear maps carry over to complex vector spaces and their line- mapa In par-
ticular, the determinant of a complex operator T,or a complex n X n matrix, b
defined (in C). I t is zero if and only if T has a nontrivial kernel.
Consider now an operator on C", or more generally, an operator T on a complex
vector apace F C C'. Tbua T:F --+ F is a linear map and we may to study
its eigenvalues and eigenvectors as in Section 2 of Chapter 3. An eigenvalue A of
T is a complex number such that Ta = Au has a nonzero mlution w E P. The vector
v of P is called an eqenvector belonging to A. This is exactly analagous t o the real
case. The methods for finding real eigenvalues and eigenvectora apply to this com-
plex case.
Given a complex operator T as above, one associatea to i t a polynomid

p(A) = Det(T - AI)

) the dimension of
(now with complex coefficients) such that the degree of p ( ~ is
61. C:orrnplex Vector Spaces P and the roots of p are exsctly the eigenvalues of T.
The roof of Theorem 1 of Section 2 in the previous chapter applies t o yield;
In ordrr to gain a deeper understanding of linear operators (and hence of linear
(liflc~n.ntial~ ( ~ u a t i o n1t.r s ) hnve to find thr geomptric significance of complex eigen- Theorem Let T: F + F be an opmalm on an n-dimensionnl cmnpkz ocdar
viiltlc.<. '1.11i.s js don" h s extc-oding an oprrator T o n a (rc,al) vector spacr B to an P. If the characlcristic polynomial has didtinct rwb, then T can be dhpnali&.
<qwr:ttrtl.T c 1111a r m ~ l ~ l rvvctor )x spacr Kc. Complex aigmvalucs of T arc associated ..
Thia impliea thd when t h e roots arc distinct, then O M may find a U ( 6 , . , % I
\r 11 11 I . O I ~ I ~I >
'1 iI<.lii~itic>us
, ~ ICIC. -X
I I ~ ~ I . ~LI )IT7'C.
;rnd r.l~.:nt.t~tnry
~S \Vr first develop conlpl~xvector apacm.
propcrtics of R' and (renl) vector epaces go over
of tigenwctors for T so thai ij z = x;,
tkwnvcdor belonging lo the ( u r m p k ) cigmvalues A,.
-
z,e, in in F, then Tz Xpp,; e, is the

<i~rt.rI I\ I , > C" tlnd c ~ m l ~ l evxe c t ~ rspaces hy ~ystcmaticallyreplacing the real num-
I>wr-.R iiith colafi;.x nrtmhers C. We makr thi3 more p r c r q now.
f '<,!!ipfrs(,'a,-!es~a,r space C- is the set all n-tuplrs z = ( z a . . . , 2.) of complex
I ~ I I ~ I K( STC S~ Ap~rv~idix I fur the definition of colnplex nrllllhcrs). We call 2 in C'
a ,.<lrr~lilvx vvctur or son~ctinlrsa point in C'.Cornplcx vrctors are added exactly
likt. v,.rtors ill R" (SCP C8aptrr I , Section 2 ) . Also, if is a cr~rnplexnumhcr and
Observe that the above theorem is stronger than the c o m a p o d h g theorem
in the real case. The latter demanded the lurther substantial condition that the
roots of the characteristic polynomial bs real.
Say that an operator T on a complex vector apace is miaimpie if it b dingod-
 4. LINEAH 8YBTEM8: CONSTANT COEFFICIENTB, COMPLEX EIOWVALUEB $1. COMPLEX VECTOH SPACEB 65

izohle. Thus by the theorem above T is semisimple if its characteristic polynomial Similarly, y E F. I t follows easily that F = FHC,that is, F is the complexification
hns 111stinrtroots (but not conversely as we shall see in Chapter 6). of the space of real vectors in F. The conveiw is trivial.
. \ % n,. Ilnvc la,tc.cl, R" C C". WP consider now more generally the relations be- Just as every subupace E C R' has a complcxification Ec C C",every operator
t a a . , . ~v(.(.tor
~ spacrs in R" and complex vector space8 in C". Let F be a complex T: B -+ E han an extsnsion to a complcx linear operator
sul)r;,,npr. C.. Then FR = F fl R" is the set of all n-tuplea (21. . . . , 2.) that are Tc: Ec +&,
in F' and arc real. Clearly, FH is closed under the operations of addition as well
as srahar multiplication by real numbers. Thus FH is a real vector space (subspace eallc-d the compleziliea(wnof T.T o define Tc,r E Ec, let
of R'j. (1) z= A9j; x, E C, z, E E.
Considrr now the converse process. Let B C R" be a subspaee and let E c be the Then
subset (lf C" obtained by taking all linear combinations of vectors in E, with complex Tcz = X,Tz,.
coefficients. Thus
I t is easy to see that this definition doea not depend on the ehoiee of the representa-
tion (1).
If (el, ..., erl = 6~is a basis for E , it is also a basis for the complex vector space
Ec; and the @matrix for Tc ia the same as the &matrix for T.
In particular, if T E L(Rn) is represented by an ti X n matrix A (in the mud
and Ec is a complex subspaee of C". Note that (Ec)n = E. We call Ec the corn-
plexification of E and FH the qace of real wdors in F .
In drfining Ec, FH we used the fact t h a t all the spaces considered were subseta
way), then Tc E L(C') is also represented by A.

- -
The queation arises ss to when an operator Q: EC EC is the compledfication
of an operator T:E E.
of C". The essential element of structure here, befidea the algebraic structure, is
thc operation of complex wnjugalwn. Proposition Lel E C R' be a r e d veclor spuce and Ec C C. its wmplen'$mtion.
+
Itccall if r = z iy is a complex number, then i = z - iy. We often write If Q E L(Ec) fhm Q = Tc for some T t L(&i if and only if
i = a(2) so that a : C + C as a map with the property a' = a . a = identity. The
s1.1q t f fix(.rl pointn of a, that is, the set of a such that a(z) = r, b precisely the set
8)f ~-m.:il1n11l11,r-rs in C.
. L ' t ~ i y ii~~.riition can bo extended immediately to C' by defining
a, or rc~nju~ation, Prwj. If Q = Tc,we leave it to the rradrr 1*1 pmvc that Qa = sQ.Conversely,
0 : C- -+ C by conjugating each coordinate. That is, assume Q commntea with a. Then Q(E) C 15; for if z E E, then uz = x, henee
aQz = Qaz = QZ
so
For this extension, the set of l i d poinb w R". Q z E ly E E c I q = yl = ECR= E.
Note also that if F is a eomplex subspace of C*, auch that a F = F, then the set Let Q I E = T E L ( E ) ; it is clear from the definition of Tc that Tc = Q.
of fixrd points of a on F is precisely FH. This map a plays a crucial role in the relk
tiun bet\\-cen real and complex vector spaces. We close this section with a property that will be very important in later chapters.
r.t.t F C C" be a C-invariant linear subspace of C". Then it follows that for v E F
An operator T on a real vector space E is s e r n ~ i m p l eif its complexXcation Tc ia a
X C, s l X v ) = r ( A ) u ( ! ' )or if we write u(W) = W for W € F, hV = XI. Thus a is dingonalbable operator on Ec. Then the t h r e m proved earlier irnpliea that a
t t r d VDIII~IVX Linrar. However, o ( v + W ) = o(v) + a(W). sufficient (but not necessary) condition for semisimplicity is that the chanrctmktic
I I ft~llc~i\s tliat for any subspacf: F C C", polynomial should have distinct roots.

PROBLEMS

1. Let F C C' be the wbapace spanned by tho vector ( 1, i).

J t I!) * F' with z, y € R";so r E F because (a) Prove that F is not invariant under conjugation and henee ia not the
complexification of any subspace ol R2.
(b) 1;ind Fn and (Fn)c.
 $2. HEAL OPEHATORS WITH COMPLEX BLGEZVALUES 67

',
-. IJct I: C R. and F C C" bc subspacrs. What relations, if an),, exist bet\veen T h e o r e m 1 Let T: E + E be a red operdor uilh dislrnd G e n n d u u i 1% as i n
din1 E 2nd dim Kc? Urtween dim F and dim Fn? the previot~sproposilwn. Then E and T have a direcl sun? deco~nposilwn (scc Seelion
3. 1II.. C C" is any subspace, \\.hat relation is there betwecn F and Fnc? 1F of Chapter 3),
4. f.<.t P: 1 , a~ rrnt vrrtor space and T E L ( 6 ) . Show that (Ker T ) c = l i e r ( T c ) , E = E.reEb, T = T.etTb, T.:E.+E., Tb:E&+Eb,
(lI11 = I m ( T c ) , and (T-I)C = (TC)-I if T is invertible.
where T. has red etgenvalued and Tb nonreol eyenuaim.

For the proof a.e pass to the ~om~lexification TC and apply the theorem of the
$2. lleul Operators with Complex Eigenvalues preceding section together with the above proposition. This yields a basis for Ec
(e,, . . . , e,, f,, j,, . . . ,,I,,j,) of eigrnvectom of Tc corresponding to the eigenvaluw
(A,, . . . , A,, M I , PI,. . . , Pa, n.).
I\-r incwr toward understanding the lincar differential cquation with constant
No\\.let F. h~ thr romplex subspacr of F,c' spanncd by (el, . . . , and F, be
c~~rliici~~nts the subspace spanned by If,, fe, . . . ,f., .?.I.Tlrus F. and Fs are invariant subspaern
lor TC on Kc and form a direct sum decomposition for Ec,

. is nn operator on R".For this purpose, v c study further the eigenvalues

\ \ l l ~ r tT hlorrovcr F. and Fa a r r invariant under eonlplrx conjuption. Sct E. = E n F. and
:inch r.igc.nvrrtr,rs of T . This \\.as done thoroughly in Chapter 3 assuming tbnt all Eb = E n Fb; then F., Fs arr t h r con~plexifiratio~ra of E., Ea, and E = E. 8 E*. I t
I I I , . I.~CC.II\.:I~IIVS
were distinct and rcal. Now we drop the hypotheis that the eigen- is rasy to SM. thnt E. and Eb have th,, r r q u i r d propertiw.
r;lll~<..1r111.l hr n-al. Thwrem I reduces the study of such T t o T . and Tb. T h e previous chapter a m -
lyzed T..
Prrrl~usitiur~.If T is a11 operalor on a r e d ueclor space F , then the sel of 1l:eigen- W r remark that Theorem 1 provides an "u~reoupling" of the differentid equation
r d u a is preserved u~rderco?irplex cor~ju~alion. w
Thus if X a n eigenudue SO is A. Con-
reqt~etrlly.we ,#ray write the eigenvdues of T as

mentioned a t the beginning of the section. \I-c nray rewrite this equation a s s pai
of equations
1 . I'irst. rrl,svrvt: tlr:rt the. rigrnvalum of T coincid,! with the ei~envalues
(,I' itc ~~~,~~~lrl,-xilirati,~~i TC I)I.C~USC both T and TC l ~ a v ct l ~ same : charactrristic
l i l 1 I ? l l l ~ ~I,vt
~ ~ iA, ~I)(%
l ~ L I LC~KCIIVLLIUC of Tc and q a corrrsl)ondinp, rigrnvcctor in
I., , 'i~+- = i q . . \ I , I I ~ ~ ~tIhI r~ cir~~jup;ation
owration e t c ~both sidc.8, we find

where T., Tb arc a s above and z, t Em,rb E F;,

1h1t. I,?. t l ~ c of Section 1, \\'e pmcced to the study of the operator Tb,

Theorem 2 Let T : E + E be a n ope~alororr a real t r c l o ~space lrilh dislind non-

1.ea1eigendues (PI,PI, . . . , M., K , ) . Then thpre is all i ~ r ~ u r i adirect
n l a u n ~dmnipoaition
for E a ~ a~ corresl~o~tdinq
d direct ~ U I I Idecourpositio~rfol- T ,
In othrr words, i is a n ~igenvalueof Tc with
I>rl>vt*s tlrc l~ro~~crsitiou.
(Anothrr proof is bascd '.F = RI et - . . et E.,
r~lvuomi:rlof T hax rrd cocfficic~rts,so thc roots occur in c ~ ~ n j u g apain.)
tc
'i'll,. It:wir 11ro1)c.rti~sof real operatmz are contained in t h e following three T = Tlet ... e T . ,
IIWCI~C~I~K. and T ,
such lkat each FI,i s 11ro dO~roi~ional < I,(E,i h a s erge~~unlircs
r., P ,
 $3. APPLICATION OF COMPLEX LINEAR A W E B R A 10 DIWERENTIAL EQUATION8 89

For the proof of Theorem 2, aimply let Fi be the compler s u m of Ec spanned PROBLEM
by tbe eigenveetors, /, ji co- ta the ekenvduee pr, pi. Then let Ei bs
Pi n E. The rest follow. For each of the following operators T on Rt find an invariant twodimenaional
E C R' and a bsais for E giving T I E a metrix of the form 3:
Theorems 1 and 2 reduce in principle the study of .nopentor witb dintinct eigen-
values to the case of rn opentor on s d teed wetor qmw with n o d (8)
eigenvalues.

63. Application of Complex Linear Algebra t o Differential Equations

T h e study of mch a matrix A and the corresponding differentia equation on

Consider the-'1 differential equation on Rn
R', &/dt = A t , wsa the content of Chapter 3, Section 4.

-
We now give the proof of Theorem 3.
Let T c : Ec Ec be the complexificationof T . Since Tc bas the same dues
nu T , there are eigenvectors 0 , 3 in Ec belonging to p, p, respectively.
-
Let* u + ivwithu,vE R-.Then+ = u - w.NotathaturndvsreinE~,for wbere T ia an operator on Rn (or equivalently, an n X n matrix). Sup- that
T has tl distinct eigenvalua Then Theorems I , 2, and 3 of tbe prerious section
apply to uncouple the equation and, after finding the new bssis, one can obtaiu
Hence u and u are in Ec n R m = E. Moreover, it ia easy to see that u and v sre
the solution. Letting E = R', we first apply Theorem 1 to obtain the following sys
independent (we the independence of 7, a). Therefore Iv, u] is a W for E.
To compute the matrix of T i n this baaia we Btnrt from tern, equivalent to ( 1) :
Tc(u + iv) = ( a + bi) ( u + W)
= (-bv + au) + i ( w f bu).

+ w) - Tu + iTv.
Also,
T ~ ( U db
(2b) -
dt = TS~.
Tu - au + bu,
Therefore
Here
Tu - -bv f au. T = T. 0 TI, t = (z., a) E E. e E, = E,
This me- t b t the matrix of T in the basis (v, u ) is F <I, cornpletiq the proof. T. haa real eigenvdues, and T,nonreal eigenvaluea
Note that (2s) and (2b) are equations defined not on R-, but on nubopaced E.
In the c o w of the proof we have found the following interprdation of 4 complsx and EA. But our defmitiona and &on of d i f f e r e n t i equstions rpply just m
eigenvalue of a real operator T C L(E), E C Rm: well to subapacea of R '. To find explicit solutions to the original equatim, baaea
for tbeae mbapaees must be found. This in done by finding +vectom of the
complexificatim of T , as will be explained below.
I f we obtain solutions .ad properttea of (2s)and (2b) separately, corrpsponding
information M gained for (2) and (1). Furthermore, ( 2 4 received 4 complete
Note that u and v can be obtained directly from (p and a (without reference to discwnion in Chapter 3, Section 3. Thua in principle it is euflicient togive an adyak
C*)by the formulae in the proof of Theorem 3, of (2b). To this end, Theorem 2 of Section 2 appliea to give the loll* system,
io 4. LlxE.4~SYBTEM8: CONSTANT COEFFTClENTB, COMPLEX ElGENvALUES 93. APPLICATION O P COMPLEX LINEAH A I G E B H A TO DlPPZRENTlAL EQUATIONS 71

+ L,
where T = TIm . . . m T., y = (y,, . . . , y,) € Eb = El m . . . m E. and each Ei
hm two dimensions.
21 = YI

h = -us;
The new coordinates are given by
l or x = Py,

Thua (L'b) and hence (2), (1) are reduced to the atudy of the equation

14) -
dy 4 =
T,yi on two-dimensional E,,
dl
nIu,rr, r:wI, T, has nonrenl ~igciivalues. Finally, Thmrem 3 of Section 2 applies The matrix of A in the y-coordinates is
t o put ( 4 I i l l t h r lorn1 of the equation analyzed in Section 4 of Chapter 3.
Exontple I Consider the equation
z: = -221,
2; = XI + 2% or B = AI,Iin the notation of Section 4, Chapter 3.
Thus,as we saw in that section, our diflerential equation
or

x' = Ax, z = ( q , z2), A = -:]

This is tl~ematrix considered in Chapter 3, Section 4. The eigenvalues of A are on R', having the form
A = l+i,X=l-i.
.\ r,mrplcx eigenvector belonging to 1 +
i is found by solving the equation
(A - (1 + t ) ) =
~ 0
in the y-coordinates, can be solved as
for ~c e C?,

[ - 1-'i][3 = 0;
y ~ ( t )= w' cos 1 - vet sin t,
-
~ ( t ) w'sin I + vet cos 1.
The ori&l equation has as its general solution
r~(1) = (U + v)el eos 1 + ( u - v ) e' sin 1,
The first equation is equivalent to the wand, as is aeen by multiplying the second
by { - 1 - i). From the second equation we me that the solutions are all (eomplex)
~ r ( 1 )= -uel cos t + uel 8in 1.
+
nmltiplce of any nonzero complex vector w such that w, = ( - 1 i)wr; for exam- Example 2 Consider on R' the differential equation
+
plr, ~r., = -1, wl .- l a. Thua

is a con~plcxeigenvector belonging to 1 f i.
We choose the new basin ( 0 , ul for Rr CC', with u -
(1, - I ) , u = (1,O).
To find new coordinates yl, y, corresponding to thia new bask, note that m y t The characteristic equation Det(A - 11) = 0 is ( 1 - 1) ( ( 2 - f)* + 9) = 0. Ita
can be written +
solutions, the eigenvalues for A, are X = 1, r = 2 3i, p = 2 - 3;. Eigenvedom
in C1 for the complexified operator are found by solving the hornqpneous aystema
 of some texts. In geometry, physics, and other kinds of applied msthematim, one

Ch(~~t(lr 5 wldom encounters naturally any d~Herentialequation of {~rderhigher than two.

Often even the secvnd order equations are studied with more insight after reducing
to a first o r d ~ nystrm
r (for example, in Hamilton's approach to meehanim).

Linear Systems and Exponentials

of Operators 61. Review of Topology in R.

The inner product ("dot product") of vectors x and y in Rmis

The Euclidean norm of z is I z j = (z, z)lf' = (z,? + . . . + z.*)'/*. Bneic p m p

ei-ties of the inner product are
Synmetry: (x, u) = (Y,x);
Bi!i~an'ly: (x + y, z ) = (x, z ) + (y, z),
Thr* ohject of this chapter is t o solve the linear homogeneous system with con- ( W , Y ) = ~ ~ , Ya)E, R ;
ststkt rorfficients Posilive definilenem: (z, z ) 2 0 and
(1) I' = At, (x, t> = 0 if and only if z = 0.
where A is an operator on R" (or an n X n matrix). This is aocomplmhed with An important ihequality is
exp~)nmtialrof operators.
T l ~ i nwthod
s of eolution is of great importme, although in this chapter we can
cornputr solutions only for special cases. When combined with the opemtor theory To t h , first suppose z = 0 or y = 0; the inequality is obvious N m ,&me
of Chnpt 1.r 6, the exponential method yields explicit solutions for every system (1). that for any A

-
I:vr rvvry operator A , another operator eA, called the e z p o d i a l of A , in defined
in Sr-rtirln4. The function A e* has formal properties similar to those of ordinary or
+
B ar, x kg) 2 o +
-
rxpc~nrntialsof real numbers; indeed, the latter in a special case of the former.
Likr\rise the function t erA (1 E R) resembles the familiar elb, where a E R. I n
particular, it is shorn that the solutions of ( I ) are exactly the maps z: R +RR
+
(x, z ) A'(Y, YJ +
2A(2, y) 2 0
Writing -(z, Y)/(Y, Y) for A yield6 the inequality.
given by The bssic properties of the norm me:
z(t) = el*K (K E R"). (I) I z I 2 O a n d I z I =Oifandonlyifz=O;
Thus lye establish existence and uniqueness of solution of ( I ) ; "uniqueness" means (2) I z + y l 5 l z l + l ~ l ;
that there is only one solution z(t) aatisfyiying a given initial condition of the form (3) I m l = l a l l z l ;
~ ( 1 0 )= KO. where I a I is the ordinary abaolute value of the scalsr a . To prove the triangle
E:xponcntials of operators are defined in Section 3 by means of an infinite series inequality (21, it suffices to prove
in the operator space L(R") ; the series is formally the same as the usual series for
es. Convergence is established by means of a epecial norm on L(R'), the unijom
It+y115 lzl=+lYl'+2lzlIyl.
Since
rrnrnr. Korrns in general are d k w d in Section 2, while Section 1 briefly reviews
sonlr bkqic topology in R". Iz+yIt= (Z+Y,Z+Y)
Srrtions 5 and 6 are devoted to two leas-central types of differential equations. = IXI1+ I Y 11+2(x, Y),
Onc is a simple inhomogeneoua system and the other a highcr order equetion of one thia follows from Cauchy's inequality.
variable. We do not, however, follow the heavy e m p h i a on higher order equations
i(i 5. LINEAR BYSTEMS AND EXPONENTIAL% OF OPERATORB

it is true that
Geometrically, / t [ is the length of the vector t and

A subset X C R mis bounded if there exists a > 0 such that X C B.(O).

where 8 is the angle between t and y.
The dtslanee between two points z, y E R" is defined to be I t - y 1 = d(t, y) A subset X is compucf if every sequence in X bas a subsequence converging to a
I ( i??nsy to prove:
point in X.The basic theorem of BoltowWeierslrass says:

ti1Ir-y1~Oanri(x-y[=Oifandonlyifz=u; A subsel of R" ia compad $and only if it ia both c l d and bounded.

6) ! I - z ) < I x - y l + l y - 2 1 . Let K C R' be compact and f: K - Rm be a continuous mnp. Then f ( K ) ia
'1.h'. Innt inrrluality follows from the triangle inequality applied to Compact.
A nonempty compact subset of R has a maximal element and a minimal element.
Combining this uith the preceding statement p r o v e the familiar d t :
If t > 0 the t-neighborhood of t E R" is
Every continuous map f: K + R, defined on a compacf set K, faked on a matimum
B,(r) = ly E R ' l l y - z l <(I value and a minimum value.
.4 nehhborhwd of x is any subset of R" containing an t-neighbmhood of t . One may extend the notions of distance, open set, convergent sequence, and other
A set X C Rm is open if it is a neighborhood of every t E X . Explicitly, X is topological ideas to vector subspaces of R.. For example, if E is a subapace of R-,the
open if and only if for every t E X there exids r > 0, depending on z, such that distance function d: R" X R" + R restricts to a function dg: E X E --r R that dao
satisfies (4) and (5). Then meighborhwds in E may be defined via dg and thus
open set5 of E become defined.
A sequence It*)= r,, m, . . . in Rmmuerges lo the timi4 y E Rm if
62. New Norms for Old
Equivalently, every neighborhood of y contains all but a finite number of the points
of the sequence. We denote this by y = limb. zb or tr -+ y. If tr = (zn, . . . , th)
and y = (yl, . . . , y.), then I t ' ( convegea t o y jf and only if l i . t r j
1 , . . . , 11. A sequence that has a limit is called mucrUd.
yj,] - - I t is often convenient to use functions on R. that are similar to the Euclidean
norm, but not identical to it. We define a norm on Rnto be any function N: Ra --+ R
that satisfies the analogues of ( I ) , (Z),and ( 3 ) of Section 1:
A sequence {a) in R" is a C a d y sequence if for every t > 0 there exists an
integer !a such that >
( I ) N ( x ) 0 and N ( r ) = 0 if and only if r = 0;

Iri-trI<t i f k 2 4 and j > k ,

+ +
(2) N ( z Y) I N ( z ) N ( Y ) ;
(3) N ( a z ) = / a I N ( z ) .
The following basic property of R
' ia called metric completeness: Here are some other norms on R.:
A seguenm converges lo a timil if and only I f il is a C&y sequcnec.
lzlm..-maxllz,l, . . . , LzrnII,
A subset Y C R- is dosed if every sequence of points in Y that is convergent
has its limit in Y. It is w y to we that this is equivalent to: Y is closed if the eom- Itl..m = itll + . . . + lz.1.
plement R" - Y is open. Let (B = lfr, . . . ,f.) be a basis for R" and defme the Eudidmn (BMn:
Let X C Rmbe any subset. A map f: X + R- is d i n u o w if i t takes convergent
sequences to convergent sequences. Thin means: for every sequence (zrJin X with I r la = (flt + . .. + f,')l/' if z = I:fj,.
lirn t
b*-
b - y E X,
I n other words, I t la is the Euclidean norm of z
Cl

in &coordinates (11,. . . ,.).t

78 5. LINEAR BYSTEM8 A N D EXPONENTIAL8 O P OPERAmRB 62. NEW NORM8 POR OLD

NOH.let z E R".I f z - 0, ( 4 ) is obvious. If 1 r 1 = a Z 0, then

N ( r ) = &(a-It).
Since I a-'z I = 1 we have
Thr, hn2;ic fact about norms is the equivalence of nonns: A < N(o-'z) 5 B.
Hence
A a-'N ( t )5 B,
Propositiorl 1 Let N : R" + R be any n o m . There mid conslonh A > 0, B > 0
surh lhal which yields ( 4 ) ,since a = I z 1.
Let E C R" be a subspace. We define a mrm on E to be any function
N:E-R
for all z, where I z I ur the E d i d e u n norm.
that satisfies ( I ) , (Z), and (3). In particular, every norm on R m&cb to a norm
Proof. Firat, consider the max norm. Clearly, on E. In fact, every norm on E in obtained from a norm on R' by d c t i o n . To
see thii, decompose R' into s direct sum
( m a * l z , I ) ' 5 C ~ ? ':nn(maxIt,:l)';
f Rg- EmF.
taking square roots r e have (For example, let (q,. . . , c.1 be a bsein for R' such that (el, . . . , GI is s basis
~ t l . " ~ _ < I_<6ItIrnY.
zI for E ; then F is the subspace whose basis in {%+I, . . . , GI.) Given a norm N on

T l n ~ ai ~ )t.hr
r max norm we can take A = I/*, B - 1, or, equivdently,
E , define a norm N' on R* by
N'b) - N(v) f 1 +I,
where
z = y + z , ~ E E , z EF,
Now let N : R" -r R be any norm. We show that N is w d i n w u s . We have and I z I in the Euclidean norm of z. I t is easy to verify that N' is a norm on Rg r a d
N(x) = N ( C < C I z, I N ( e j ) ,
t i ~ j )
N' I E = N .
From thb the equivalence of norms on E follows. For let N be s norm on E. Then
where el, . . . , c. in the standard bsein. If we m y sssurne N ia restriction to E of a norm on R', alao denoted by N. There
m s ~ r l N ( a ).,. ., N ( L ) 1 = M , exist A , B E R such that ( 4 ) holds for all z in R', so it holds a fortiori for dl t
then in E.
N(z) l M Z= I zi ( _< Mn l t .= , I We now define a normed veetor space ( E . N ) to be s vector apaee E (that is, a
subspace of some R") together with a particular norm N on E.
We shall frequently use the following corollary of the equivalence of norm:
By the triangle inequality,
INlz) - N ( Y ) I _i N ( t - Y ) Proposition 2 Lel ( E , N ) be any nonned w l a r space. A aqumx ( t r l in E con-
ucrgea Lb y ifand only if
<MnIz-y\.
(5) lim N ( t r - y) = 0.
This shows that N in continuous; for suppose lim z k = y in R*: .-*
I N ( z ~-
) N ( v ) I ':Mn I - Y I, Proof. Let A > 0, B > 0 be se in ( 4 ) . Suppose (5) holds. Then the inequdity
so lim N ( a ) = N ( y ) inR. O<(a-y[<A-'N(*,-y)
S;nee N is continuous, i t a t t a b a maximum value B and a minimum v d u e A
on tlre closed bounded set
shows that limb,, I n- y I - 0, hence n + y. The converee in proved *ly.

(t~R~\(zI=11. Another useful application of the equivalence of nomu in:

S:! 5. LINEAR 8VSTEY8 AND EXWNENTIALS OF OPEEATORB 83. EXFUNENTlALB OP OPERATORB 83

.
( d ) Let 1% . . . G.1 be a bask for E. Show that there is a unique inner
product on E mch that
In other u-or&, 11 T 11 is the maximum value of I Tz on the unil baU

(e,,e,)=6., f o r d i,~.
6. Which of the following formulas define n o m on R'? (Let ( t , y) be the co-
ordinates in R'.)
-
The e d e n c e of thin maximum value followa from the compactness of D (Section
1, Propaition 3) and the continuity of T: Rn Rn.(This continuity follow im-
mediately from a matrix representation of T.)
+ +
(a) ( 9 t y yt)l/'; (b) (i.'- 3ty $)lf" + The uniform norm on L(RS) depends on the norm chosen for R-. If no norm on
R" is Bpecified, the standard Euclidean norm is intended.
c + y ; (4 t ( l ~ I + l ~ I ) + ~ ( ~ + f ) ~ ~ ~ .
5. 1st U C R" be a bounded open set wntnioing 0. Suppose U is wnvez: if t E U
+
and y E U , then the line segment [Lt (1 - t)y 10 5 15 11 k in U . For
Lemma 1 Le4 R' be gim a norm I t I. The wrrmponding uniform norm an L(Rm)
has the following propertics:
each z C Rq deiine
a(z) = lead upper bound of ( A 2 0 1 kz E U I . (a) I f ] [ TI1 = k,ihen I T t I Ik l t I joralltinRm
(b) II S T I I 5 II 11.11 T II.
Then the function (c) I I T - ~ [ < l I T 1 [ - j o r o l l r n = 0 , 1 . 2, . . . .
Proof.
y = 1 t I-'%,
(a) If
then
t - 0, then I TI I = 0 = k I t I. If z Z 0, then Iz[Z 0. Let

is a norm on R'. I
l y l = - - l t l = 1.
8. Let nl. be the vector space of n X n matrices. Denote the trampme of A E M. It I
by A'. Show that an inner product (see Problem 5) on M, is defined by the Hence
formula
( A , B) = Tr(A'B)
Express thin inner product in term of the entries in the matrices A and B.
from which (a) follow.
9. IXnd the orthogonal complement in ni. (exProblem 8) of the eubepaee of (b) Let ( t ( 5 1. Then from (a) we have
diagonal matrices.
IS(Tz)I 5 IISII.ITtl
10. r i d a basis tor the subspace of M. of matrices of trace 0. What is the ortho-
g o d complement of this subspace? I llSII.lI TII.It.1
5 II SII.11 TII.
S i e 11 S T 11 is the maximum value of I STz 1, (b) follows.
53. Exponentinls of Operators Finally, (c) is an immediate consequence of (b).

We now define an important aeries generalizing the usual exponential eeries. For
The sct L(R") of operators on R" is identified with the set nl. of n X n matrices. any operator T: R" + R' define
This in turn k the ssme as R"' since a matrix is nothing but a L i t of n' numbers.
(011~ cl~noscean ordering for these numbers.) Therefore L(Rw)is a vector apace
under the usual addition and scalar multiplication of operators (or metricen). We
may thus speak of n o m on L(Rm),convergence of series of operators, and so on. (Here k! is k f a c l o d , the product of the 'rat k positive integer8 if k > 0, and
A frequently used norm on L(Rm)is the uniform wrm. Thin norm in defined in O! = 1 by definition.) This is a aeries in the vector space L(R").
t e r m of a given norm on R' = E, which we shall write as I t 1. If T: E 4 E is an
operator, the uniform norm of T is defined to be
Theorem The ezponerJd a r i c a Tk/k! i a ab8alukIy cotwc~genifar s ~ r y
IITII = ~ l l T z l I I z Il l l . operafar T.
84 5. LINEAR B T a n Y L I AND EXPONENTIAIB OF OPZRATORB

Proof. Let It T (1 = a 2 0 be the unifonn norm (for some norm on R'). ( b ) if S T = T S , Utm cd+" = cde';
Then <
11 T'/klll d / k ! , by L m u ~1 , proved earlier. Now the real series ( c ) e-* = (@)-I;
(d) i f n = Z a n d T = C ; 3 , U t m
d / k ! coovergea to G (where e is the base d natural logarithms). Therefore
the exponential aeries for T converges mbaolutely by the m p s r i s o n t . ( k t i o o
2).
We have also proved that
11 & 11 5 e''&IL. The proof of (a) follows from the idsntities P ( A + B ) P ' = P A P ' + PBP-'
We ahall need the following d t . and ( P T P 1 ) ' = P P P . Therefore

L~~~ 2 L.& C k Ai = A and X:4 B , = B be absdulcly umumqd of

a p e r w s on Rm:Then A B = C = C I ,where CI = E , + k d A&.
and (a) follows by tak~nglimits. To prove (b), observe that because S T = TS we
p,&. Let the nth partial sum of the series A,, 2 BI, I= CI be denoted
have by the hinomlal theorem
respectively hy a., 8 ,T.. T h ~ n
AB = lim ad.,
I--

while Therefore

I[ ?., - o$,, iB computed, i t b found tbat it e q d

EAjB,+ FAjBb,
wbere denotes the rnun over terms with indices estislving
j+k<2n, O<jln, n+llk52n, by Lemma 2, whkh proves ( b ) . Putting T = - S in ( h ) dves ( c ) .
The proof of ( d ) follow from the correspondence
while E" is the sum c o r r ~ ~ o d i ntog
j+k<2n, n+15j<2nS O<_k<n.
Therefore
I 1 7s- - a d s I 1 5 CI I1 Ai 11.11 BI / I + C"I1 A, H-IIBLI\. of Chapter 3, which preserves sums,prcducta, and real multiples. l t is eamy to lee
that it dso preserves Limits. Therefore
Now

where cJ ia the complex number ( d ) ' / k ! . Utb,g P = -1, we &d the R.1
I( A, ( 1 < m. Similarly, C" [I A, ll.I\ Bk 11 part of e'to be thesum of the Taylor series ( a t 0 ) for coa b; simil.rly, the-
This tends to 0 as n -+ m &ce
-
+
part is sin b. This proves ( d ) .
0 as n -+ m. Therefore lim,,(m - ad.) 0, pro* the lemma Obsave that ( c ) implien that 8 b invertible for every operator 5. Tha is d
wua to tbe fact that Z # 0 for every real nlsmber a.
The next result is uaeful m cornpuling with enponmt*. As an example we compute tbe exponential of T = C; 3. We rrite

(a) ij Q -
Propodtion Lei P, S, T dmdc o p a d m 8 on R'. Then:
P T P I , Lhtn 8 - PerP1;
 $3. EXPONENTIALS OF OPERATORB
$8 5. LINEAR 8YSTEYB AND EXPONENTIAL8 OP OPERATOR8

For, from T t we
= a, obtain
\'<,tr that n l commutes uith B. Hence
er = er@ = &.

so!c 0 2 = 0;hence B' = 0 for all k > 1 , and

Thus

\\-e enn now compute e" for any 2 x 2 matrix A. We will see in Chapter 6 that
car1 find an invertible matrix P such that the matrix
B = PAP1
We conclude this section with the observation that d l that hea been aaid lor
exponentiab of operators on R' also holds for operatom on the m p l a veetor spsee
C*. This is becauee C' can be conaidered aa the real vector spree R" by simply
ignoring nonreal scalars; every complex operator is a forfiwi a red operator. In
addition, the preeedii statement about eigenvectors in equdiy d i d when eomplu
eigenvaluea of an operator on Cn are considered; tbe proof is the same.

has one ol the following forms: PROBLEMS

1. Let N be any norm on L ( R m )Prove

. that there w a constant K such that
compute
\\'c l l l r ~ ~ eB. For ( I ) , N(ST) IKN(S)N(T)
for all opentors S , T. Why ,must K 2 I?
2. Let T : R* + R- be a linear transformation. Show that T is unifmmly m-
Linuaua: lor all e > 0 there exists I > 0 such that if I t - y 1 < 6 then
I Tt - T y I < r.
3. Let T : R' + Rmbe an operator. Show that
as n.ns shoun in the proposition above. For (3)
I I T 11 = least upper bound - t z o .
I I
4. Fmd the uniform norm of each of the following operators on R':
as we have just seen. Therelore eA a n be computed from the formula
2 = p L d p= P-1.P.
There is a very simple relationdip between the eigenveetors of T and those ol 5. Let
er:
11 z f R. ia a n eigenvcclar of T belonging to the reol cigmvalu a of T , then z aaobo
art eigenveclor ojer belonging to 6.
 5. LINEAR 8YSTEMB AND UPONENTIAM OP OPERATORB 04. HOMWENEOUB LINEAR 8 Y S T E M S 89
(a1 Show that 12. If A B = B A , then e A h = hc' and eAB = Bc'.
lim 11 T' 11"" = t.
"..- 13. Let an operator A : R' -+ R' leave invariant a subspace E C R" (that in.
> 0 there is a bash @ of R' for which A t E E for all r E E ) . Show that eA also leaves E invariant.
(b) Show that for every t

I I T Ill0 < t + f, 14. Show that if 1 1 T - 111 is suficiently smell, then there i an operator S such
+
that es = T. (Hinf: Expand log(1 t ) in a Taylor series.) To what extent
u-here 11 T 11s is the uniform norm of T corresponding to the Euclidean is S unique?

(c)
&norm on R'.
For any basis 63 of R', 15. Show that there is no real 2 X 2 matrix S such that h = [< 3.
I/ T Ila > t.
6. ( a ) Showthat
I1 T 11.11
T-lIl l 1 04. Homogeneous Linear Systems
for wery invertible operator T .
( b ) If T haa two distinct real eigenvalues, then Let A be an operator on R'. In this section we shall express mlutiws to the
equation :

(Hinl: F i consider operators on R'.)

7. Prove that if T is an operator on R" such that 11 T - I ( 1 < 1, then T is in t e r m of exponentiale of operators.
invrrtible and the series ( I - T)' converges absolutely to T-'. Find Consider the map R + L(Rn) which t o 1 E R ssaignn the operator 8'. Siice
L(R") is identified with R"', it makes sense to speak of the derivative of this map.
alr upper bound for 11 T-' (1.

"
H. Let A E L(R") be invertible. Find r > 0 such that if / I B A 1 1 < e, then Proposition
B is invertible. (Hinl: F i t show A-'B is invertible by applying Problem 7
to T = A-'B.)
9. Compute the exponentiala of the following matricea ( i = 0) :
In other words, the derivative of the operator-valued function e" b another

1' 1::]
operator-valued function Ae'". This means the composition of elAwith A ; the order
of composition doea not matter. One can think of A and ccAas matrices, in which

[" ' '1

case AetA is their product.
Proof of t h e proposition.
(t') 0 0 3 (f) (g)
0 0 0 0 1 3 0 1
d_ e"
d'
= lirn
A,
-
e[l+h)A-
h
etA

erA@A - c~~
= lirn ---
A 4 h

10 I.'n,r rnch matrix T in Pmblem 9 find the ci.pnvalues of er.

I I. I. i t ~ dan example of two operators A , B on R' such that that the last limit equah A foilows from the series definition of e". Note that A
commutes with each term of the series for elA, hence with el.. This proves
the proposition.
(90 5. LINEAR SYSTEM8 AND EXPONENTIAL3 OP OPERATURS
04. HOMOGEXEOU8 LINEAR SYSTEMS

\Ye car) now solve equation ( I ) . We recall from Chapter 1 that the general solu- whcre a, b are constants. In matrix n o t a t i ~ nthis is
tion of thc scalar equation

The mlution with initial value K = (K,, K,) E Rzis

' f 1 1 ~ . *:ilur is true where z,a, and k are allowed to be complex numbers (Chapter 3 ) . el*K.
'l'11c.s-c rcsults are special cases of the following, which can be considered aa the In Section 3 we rwrw that
fundanlentgl theorem of Enear differential equations with constant coefficients.

Throrenl I,et A be an operdor on Rm.Then Uu solulwn of the initial value problem Thus
(1'1 t' = Az, z(0) = K € R", el" = (ehK1, e"(tbK1 + K*))
Thus the solution to (3) eatisfying

nrtil llrrlr 0r.e no other soluliom.

Prorf. The preceding lemma shows that

SIIIV~, P'h' = K, it follows that ( 2 ) is a solution of (1'). To see that there are no
ottrt.r ic,lrttions, let z(t) be any solution of (1') and put

111u.1.t 1cn10,! / I / ) is a constant. Setting 1 = 0 shows y(f) = K. This completes the

I > V t11<, thwtrrnl.
i'r~~csf

.\- an rxaml~lewe compute the general solution of the tu-o-dimensional system

FIG. A. Sddle: R - e1 , h < 0 < .,

9" 5. LINEAR BYSTEMS AND EXPDNENTIALS OF OPERATOW $4. HOMOGENEOUS LINEAR SYSTEMS

Since at know how to compute the exponential of any 2 X 3 matrix (Section 3),
wv ran explicitly solve any two-dimensional system of the form z' = A z , A E L(R1). I"'
IVithout finding explicit solutions, we can also obtain important qualitative in-
formation about the solutions from the eigenvaluea of A. We consider the most
important special cases.
Case 1. A h a r d &endues of opposik signs. In this ease the origin (or some-
times the differential equation) is called a soddk. A s we saw in Chapter 3,after a
suitahle change of coord~natesr = Py,the equation becomes

In the ( y,, y?) plane the phase portrait looks like Fig. A on p. 91
Case 11. ~ ( @ive
.4U q p w d l ~ havc real pa~t8.This important case is called
a smk. 1t hau the characteristic property that

for <*verysolution ~(1).

If A is diagonal, this ia obvious, for the solutions are
FIG. C. N d e : R - 6:I, A <p <0

If A is diagonalizable, the solutions

are of the form with y(l) as above and P t L(R2); clearly, x(l) -+O as I-- m .
The p h portrait for these subcases looks like Fig. B if the eigenvalues are
equal ( a j m ) and like Fig.C if they are unequal ( a node).
If the eigenvalues are negative but A is not diagonaliible, there is a change
of coordinates z = Py (see Chapter 6) giving the equivalent equation

Y' = BY,
where

We have already solved such an equation; the solutions are

which tend to 0 as 1 tends to -. The phase portrait looks l i e Fig. D (animproper

node).
If the eigenvalues are a f ib, a < 0 we can change coordinates as in Chapter 4
 5. LINEAR SYSTEM8 AND EXPONENTIALG OF OPERATORS $4. HOMOGEXEOUS LINEAR SYSTEMS

Therefore the general solution is expressed it1 y-coordinates as

y (1) = eU(K2cos lh - K2 sin rb, K*cos rb + K,sin fb).
Since ] cos fb I 5 1 and I sin fb I _< 1, and a < 0, it follows that

If b > 0, the phaae portrait consists of counterclockwise spirals tending to 0 (Fig.

E) , and clockwise spirals tending to 0 if b < 0.

Case 111. All +e,~values h e posiliue r e d part In this case, d e d a sarrce, we

have
lim I ~ ( 1 I) = .o and lim J z(1) I = 0.
,-ID ,---
FIG,D. Improper node: B = [: 3,< 0.
A proof similar to that of Case 11 can be given; the detaiLs me left to the reader.
The phase portraits are like Figs. B-E uith the arrous reversed.

Cane I V . The eigenvalues ore pure imaginary. This is called a center. I t is charac-
to obtain the equivalent system
terized by the property that all solutions are periodic with the same period. To see
= By,
B 2 [; -:I. this, change coordinates to obtain the equivalent equation

From Section 3 we find

= ,IS [ -6inIbI We know that
YI = By,
B = [; -;I.
cos Ib '
em = E,": -sin
cos 16
*]
Therefwe if y ( 1 ) is my solution,

FIG.E. Spirnl sink: H - [i3, b > 0 > a, FIG F, Center: l3 = [: -3 > b 0.

 5. LINEAR 8YSTEM8 AND EXPONENTIALS OF OPERATORS $4. HOMODEVEOUG LINEAR SYSTEMS 9'7

given by
+,(z) = eIAz.
The collection of maps 1 + , 1 t a is called the Pow corresponding to the differential
equation (1). Thia flow has the basic property

which is just another way of writing

this is proved in the proposition in Section 2. The flow is called linear bemuse each
map @, : R" -+ R" is a linear map. I n Chapter 8 we s h d define more general nonlinmr
flows.
The phsse portraits h u s e e d above give a good visualization of the wrrespond-
ing flows. Imagine points of the plane all moving at once along the curves in the
direction of the m w s . (The origin stays put.)
PIG. G

The portrait in the y-crmrdinatea consists of concentric circles. In the original PROBLEMS
z-coordinates the orbits may be ellipses aa in Fig. F. (If b < 0, the m w a point
rln(,k\\-isr.)
1;iprr G summarizes the geometric information about the phase portrait of 1. Find the general solution to eaeh of the following systems:
r' : A r that can be deduced from the characteristic polynomial of A. We write
this polynomial as
+
hy - (Tr A)X Det A.
The d i s m ' m i ~ dA is defined to be
A = (TrA)' - 4 Det A.
The eigenvalues are
+ (Tr A * <A).
T~IIIS r1,:11eigenvalue correspond to the case A 2 0; the eigenvalues have negstive
rtnl 11:irt when Tr A < 0; and so on.
'rhv cr~nnctricintrrpretation of z' = Az is aa foUows (compare Chapter 1). The
n1:1p R,, -t R" which sends z into Ax is a vector field on R-.Given s point K of
R". t1cr.r~.is s uniqw curve 1 --t el*K which atsrte at K a t time %em,and is a aolution
. In ( a ) , ( b ) , and (c) of Problem 1, find the solutions 8atisIyinS each of tbe
uI ( 1) I K r interpret 1 as time.) The tangent vector to this curve a t a time b is the
following initial conditions:
vcctor Ar(4) of the vector field a t the point of the curve z(b).
We may think of points of R" flowing simultaneously along them solution curves.
(a) z(0) = 1, y(0) = -2; (b) z(0) = 0, y(0) = -2;
The [mitiun of a point z E R" a t time 1is denoted by (C) z(0) = 0, y(0) = 0.
3 Let A r R' -+ R' be an operator that leaves a subpace E C R. invariant.
Let 2: R --r R" be a solution of z' = A I . If z(b) E E for some 4 E R, show
Thus for each 1 E R we have a map that r(1) € A' for all 1 € R.
+,:R"-+R" (1ER) 1. Suppose A E L(Rm)has a real eigenvalue X < 0. Then the equation d = A2
 5. LIREAR SYSTEMS AND EXPONENTIAL6 OF OPERATORB 8.5. A NONHOMOGENEOUS E Q U A T I O N 99

if Tr .4 = 0, and that in this case the origin is not a sink or a ,*wee. (Hint:
hrrs a t least one nontrivial solution z(r) such that
An operator is area-preserving if a ~ r donly if the detrrmi~rantis *I.)
lim ~ ( 1 =
) 0.
,-- 12. Describe in words the phase portraits of z' = Az for

5. k t A E L(Rt) and suppose z' = A z has a nontrivial periodic aolufion, u ( f ):

this means u(f + p) = u(t) for some p > 0. P m e that every solution is
prriodic, with the same period p.

6. If u : R -+ R" is a nontrivial solution of z' = Ax, then

7. Supply the details of Case I1 in the text.
8. Classify and sketch the phase portraits of planar differelitial equations z'
A z , A E L (R') , where A has zero as an eigenvalue.
1,'or csch of the following matrices A consider the corresponding differentid
~ q r ~ n t i oz'n = Az. Decide whether the origin is a sink, source, saddle, or none
of tl~rse.Identify in each case those vectors u such that lim,,, z(f) = 0 , where
z(1) is the solution with z ( 0 ) = u :
13. Suppose A is an n X n matrix with t l distinct eigenvdues and the real patt of
every eigenvalue is less than some negative numbcr a. Show that for every
solution to z' = A z , there exists 10 > 0 such that
14. Let T be an invertible operator on R', n odd. Then z' = Tz hes a mnpwiodic
= solution.
IS. Let A = [: :] have nonred eigenvalues. Then b # 0. The nontrivial solutions
curves to z' = Az are spirds or ellipses that are oriented clockwise if b > 0
and counterclockwise if b < 0. (Hint: Consider the &I of

95. A Nonhomogeneous Equation

We consider a nonhomogeneous nonautonomous linear differential equation

10 \\'l~irhvalues (if any) of the parameter k in the following matrices makes the (1) z' = Ax + B(1).
(#ripina sink for the corresponding differential equation z' = Az? Here A is an operator on R. and B: R --r R" is a continuous map. This equation in
called nonhomogeneous because of the tcrm B(1) which prevents ( 1 ) from being
strictly linear; the fact that the right side of (1) depends explicitly on f makes i t
nonuulonommra. I t is difficult to interpret solutions geometrically.
We look for a solution having the form

where f : R -+ R" is some differentiable curve. (This method of solution is d e d

"variation of constants," perhaps b e c a w if B(l) = 0 , f(r) is a constant.) Every
solution can in fact he written in this form since elA is invertible.
11. Let 4 , : R' --r R' be the Boa cotresponding to the equation z' = Ax. (That Differentiation of (2) using the Leibnis rule yields
is, 1 -+ 4,(2) is the solution w i n g throngh z a t f = 0 . ) Flu 'ix > 0, and show
a r of R' -4 R'. Then ehow that 4 , preserves area if and only
tlut 4, is a l i ~ ~ rmap
 05. A NONHOMwENEOUe EQUATION m1

Since z ia assunled to bs a mhrtion of (2), Note that u ( l ) ia also a solution to ( I ) , while ed'K isa solution to &e h v
equation

obtained from (1) by repking B(1) with 0. In fact, if v(f) ia any dution to ( I )
By integration +
and y(1) any solution to (4), then clesrly z = v y in another mlution to (1).

f(1) - fCbB(8) * + K. Hence the general solution to (1) ia obtained from a solution by adding
to it the general solution of the cmmsponding homogenema equation. In summary

so nu a candidate for a solution of (1) we hrw Theorem Lcf u ( f ) be a parfinJ4r sdulwn o j Lhc nonlbmopmamu linmt diflcrenfid
mdwn

Let us examine (3) to see that it indeed m&es sem. The i n w d in (3) and
the prrvioua equation ia the vector-dued hrnction 8 -+c*'B(r) mapping R into
R..In fact, for any continuowmap g of the reds into a vector apace Re,the integral (4') a? = Az.
can bs defined .a an element of R.. Given a baain of R", this integd ia a vector
whom c o o d b t e s M the integrds of the eoordiarte. function8 of g. Conueraely, flu tun1 of a dclulion of (1) and a .d- of (4') u a dulion of (1).
The in- .a 4 hrnction of its upper limit t in a map from R into R". For each
1 the operator acb on tbe in- to give an dement of R". So I -+ z(t) in a well- If the function B(1) in at all eomplicbted it w i l l probably bs hpcmible to replace
defmed map from R into E. the integral in (3) by a h p l e formula; sometimes, howwer, this esn bs done.
To check that (3) is a d u t i o n of ( I ) , we differentiate z(1) in (3) : Erampk. Find the gPnerd solution to
(5) x;= -a,

Here
t; = 4 + f.
Thus (3) ia indeed a solution of (1).
That every solution d (1) must bs of the form (3) can bs eeea M fo~owa.Let
y: Rm-+E bs a eecond solution of (1). Then

so that from Section I

x'-I/' - A(z - y)
x -y - cdAKc for some K . in Rn. and the integral in (3) ia
Thin implies that y ia of the form (3) (with perhaps a different coostaot K E R').
We remark that if B in (1) ia ody debned on some interval, b h d of on all of
R, then by the above rnethads, we obtain a solution z(1) deiined for 1 in that
interval.
We obtain further bight into (1) by rewriting the general solution (3) in the
form
x(1) - u(f) + 6"K, To compute (3) we set
s i n l - lcapl
oosr+tsinr-1' I
102 5. LINEAR BYUTEMB AND EXPONWTIALB OF OPERAMR8

hence the general aolution system:

I
Performing the matrix multiplication and aimpl'if+ yields Thue if z(t) = ( z ~ ( t )a, ( t ) ) is a solution of (2), then s(t) = =I(() ia a Bdution
z,(t) = -1 + KIOOS1 + (1 - KI) 8in 1, d (1) ; if s(1) is a solution of ( I ) , then z(1) = (s(l), sl(l)) ia a solution of (2).
This procedure of introducing new variables works very generally to redue
zt(t) = 1 - (1 - Kg)cm t + KI sin 1. &her order equations to first ordm ones. Thus consider

This is t h e solution whose value at t = 0 is (3) + + ... + 6-18' + (ha '0.

z1(0) = G , *(0) = Kt. ..
Here s is a real function oft and a(-) is the nth derivative of a, while s, . , s are
constants.
.
In thb case the new variables are zl = 8, zi = z:, . . ,z, = LA'and Ibe equation
(3) is equivalent to the ggtem

I . Find all solutions to the follou* equations or system:

(1,) z'-4r-eosl=O; (b) z ' - 4 2 - 1 = 0 ; (c) zt '== 2y .- z ;
In vector notation (4) hss the fonn z' = Az, where A is the matrix
id) x ' = Y ,
y' = -42 + sin21;
(e) z' = z y +
y' = - 2 y + 1,
z, +
z' = 21 + sin t.

2. Suppose T: R" -R" is an invertible lin- operator and c E E is a nonzero

constant vector. Show there is a cbange of coordinates of the form
z = P y b, + b E R",

transforming the nonhomogeneous equation z = T z + c into h~rnogeneous

form f = Sy. Find P, b, and S. (Hid:
Where ia z' = O?)
3. Solve Problem I (c) using the change of c o o r d i n a ~of Problem 2.
Proposition T& churacfcridtic polyromiuloj (4') is

86. Higher Otder Systems Proof. One uses induction on n. For n = 2, this is easily checked. Aawne the
truth of the propwition for n - 1, and let A, be the (n - 1) X (n - 1) sub
matrir of A ooneiating of the laat (n - 1) rows snd laat (n - 1) columns. Then
Consider a linear differential equation with constant coefficiente which involves Det(XI - A) is easily computed to be X Det (XI - A-I) +
a.by expndbq along
a derivative higher than the first; for example, the first column. The induction hypothesis yields the desired chrracteristie
polynanial.

By introducing new variables we are able to reduce (1) to a f i t order system The point of the propmition is that it giver the c h a r a c ~ pcdymmd
c dinxtly
of two equations. Let q = s and = 2; = a'. Then (1) becomes equivalent to the from the equation for the higher order differential equation (3).
104 5. LINEAR SYSTEM8 AND EXPONENTIAL0 OF OPERATOR8
06. HIGHER ORDER 8Y8TEMS
105

k t us now return to our first equation We find that

(1) 8" + ad' + bs = 0. 8' (1) = ( - CI + Cl) f7'- C K '

From the initial conditions in (5) we get, setting t 0 in the last two formulna
Denote the roots of the polynomial equation A' + + aA b = 0 by AI, A,. Suppow
=

nt lust t l ~ ~~ ~t C Sroots
P are real and distinct. Then (1) reduces t o the equation of CI = 1,
Irr~tordt,r ( 2 ) ; onr can find a diagonaliing system of coordinates (yl, yz). Every
-C1+C* = 2.
x,lrltio~l<,I ( 2 ) for thrsr coordinatesisthen yl(t) = K, exp(All), y,(l) = Ktexp(Atl),
\ \ i t 1 1 nrlnt r a r ? runstants K1, K,. Thua r l ( t ) or a(!) is a certain linear eombimation Hence CZ = 3 and the solution to ( 5 ) is
a ( ( ) = p , , K , exp(A11) + p12Ktexp(Aat). We conclude that if At, At are real and
distinct then every solution of ( I ) is of t h e form
a(!) = C' + 3le-I,
The reader may verify that this actually is a solution to (5) !
The final case to consider is that when AI, A, are nonreal comple* coajugk n--
for some (real) constants C,, C,. These constants can be found if initial values bers. Suppose A, = u +
iu, A: = u - iu. Then we get a solution (ssin Ghspter 3) :
s(/,), a l ( t O ) are given.
S r x t , suppose that AI = Ar = A and that these eigenvalues are real. In this case
yl(f) = eg'(KI cos vl - Kz sin vl),
tlrv 2 X L' nlatrix in ( 2 ) is similar t o a matrix of the form ~ ( t=
) e"(K18invl + Kteosvt).
Thus we obtain s(1) aa a linear combination of yl(l) and y,(l), so that findly,
s(t) = egl(Clcos 01 + C1 sin A)
11s uill shown in Chapter 6. In the new coordinates the equivalent fmt-order for some constants CI, Cl.
systcnr i? A special caap of the laat equation is the "harmonic oaeillator":
Y; = Ayr,
a"+ bts = 0;
the eigenvalues are *ib, and the general solution is
thv nlrthods of Section 4 we find that the general solution t o such a system is
CI cos M + CI sin M.
We 8ummarir.e what we have found.

Kl ilnd K 2 being arbitrary constants. In the original coordinates the stlutions to Tbeorcm Lei Ah, A. be the rooh oj Ihc polylmniol A' + aA + b. Then nmy didion
1111. ~.,~rlivalmt first order s y s t ~ mare linear combinations of these. Thus \ye con- oj the d i h e n l i o l egudion
cll~rl~.t l ~ n t~f the chrrracteristic polynomial of ( I ) has only one root A € R, the
solrlti~llrshave the form (1) 8" + as' + ba = o
is oj lhe following type:

The values of CI and Ct can be determined from initial conditions.

fhe ( a ) . 11, are red disrincl: s ( l ) = C, exp(A11) ctexp(k,t) ; +
(b). XI = At = A is red: s(1) = Cle" + Ctte";
k;ran~ple. Solve the initial-value problem +
C u e ( c ) . AI = XI = u iu, v f 0 : s(1) = em'(Clccw ut Cl d n vl) +
In each case CI, C, are (real) constants determined by initial conditions of the
form
T l ~ rhnractPristic
r polynomial is + 2A +
I ; the only root is A = - I. Th~reforc
the general solution is The nth order linear equation (3) can &be solved by changing it to an equiva-
s(1) = Cle-I +
Cde-'. lent first order system. First order system that come from nth o& equations
l~nvr,sp<.(.ialproperties which enable them to be solved quite e d y . To understand systems. For example, consider the system
t h r n~rthodof solution requires more linear algebra, however. We ahall return to
h ~ h e order
r equations in the next chapter.
\VF make a simple but important observation about the linear homogeneous
equation (3) : Here z(1) and y (1) are unknown real-valued functions of a resl variable. Introduce
new functions u = zf, v = y'. The ays& is equivalent to the fourdiiensional
I f s(l) and q(t) are sdulions Lo (3), so id Ihcfundh s(1) + q(1) ; i l k is any rccll first order system
number, then b ( 1 ) is a ffllulia. 2' = u,
In other words, the set of all solutions is a vector space. And since n initial conditions
determinrs a solution uniquely (consider the companding first order system) , the
dinw.nsiot> of the vector space of solutions equal8 the order of the differential
equation.
:\ highrr order inhomogpneous linear equation

(6)
,(-I+ alsi--"+ . . . + Iha = b(1)
PROBLEMS
r a n Irc solved (in principle) by reducing it to a h t order inhomogeneous linear

1. Which of the fouowing functions nntiafy an equation of the fonn a" + +ad
and applying variation of constants (Section 5). Note that bs = O?
( a ) let (b) P - 1 +
(c) cos 21 3 9in 21
r 0 i +
(d) cos 21 2 sin 31 (e) r1 ws 21 (I) e1 4+
(g) 31 - 9
2. Find solutions to the following equatiom ha* the w e d initial values.
( a ) a" +
4s = 0 ; a(0) = 1, ~ ' ( 0 )= 0.
(b) 8" - 3a'+ 21 = 0 ; a(1) = 0, ~ ' ( 1 )= -1.
h s in the case of first order systems, the gene& mlution to (6) can be expressed
3. For each of the following equations find a basis for the solutions; that ia, find
~ lthe
i general solution to the corresponding homogeneous equation
+
two solutions al(l), e(1) such that every solution has the form a ( l ) Be(1)
for suitable constants a,8 :
(a) 8" +
36 = 0 (b) a" - 3s = 0
plus s particular solution of (2). Consider, for example,
( c ) (I" - 8' - 6a = 0 (d) a" 8'+ +
8 = 0

4. Suppose the rode of the quadratic equation A' + +

aA 6 = 0 have negative
real parta. Prove every solution of the differential equation
The general solution of
sV+a=O 8" + as' + bs = 0
satisfies
lim a(1) = 0.
1-1

A particular solution to (7) is 5. State and prove a generalization of Problem 4 for for nth order differen-
E(1) = 1 - 1 tial equations
Hrnrc the general solution to (7) ia
+
+ a,a("-ll ... +a. = 0,
where the polynomial
A c o s I + B s i n l + l - 1. A' + a,A'-1 + . . . + a.
Finally, we point out that higher order rydcms can be reduced to fvst order hea n distinct roots with negative red parta.
10% 5. LINEAR BYSTEM8 AND EXPONENTIAIG OF OPERATOH8

6. Under what conditions on the constsnta a, b is there a nontrivial solution

to 8"

l~as
+ +
as b = 0 B U C ~that the equation
a(1) = 0 Chapter 6
(a I nr* sohition; Linear Systems and Canonical
(11) :I pnsitivc finitp number of solutions;
( r ) i r ~ f i n i t rmany
l~ mlutions? Forms of Operators
; I : , , ~,.:,,-ho f t h c following equations sketchthe phase portrait of the cnrrpspond-
ilra first ordrr gystcm. Then sketch the graphs of several solutions a(!) for
diflprcnt initial conditions:
$8, + =0 (b) 8'' - a = 0 (c) 8" + +
8' 8 =0
(a) n- f r . 2s' = 0 (e) a" - a' 8 .
\ -
+
8. Which quatiom 8" + as' + bs = 0 have a nontrivial periodic solution? What
is the period?

The aim of this chapter is to achieve deeper insight. into the solutions of the
10. Find a real-valued function 8(l) such that differential equation
8" + 4s = ca9 21, (1) zl=Az, AEL(E), E=Rm,
s(O)=O, s'(O)=l. by decompoeing the operator A into operators of particularly Bimple kin&. I n
Section. 1 and 2 we d e c o m p the vector space E into a direct 8um
11. I'ind all of functjons z(l), y(t) that satisfy the system of differential
equations E = E , s . . . mE,
2' = -y, and A into a dire& ~ u m

y" = - z - y+y1. A=Alm...mA., AbEL(E,)

12. k t q(t) be a polynamid of degree m. Show that any equation
..
+ a,,In-lj + . + &a. = q(1)
has a solution which is a polynomial of degree 5 m.
A reference t o mme of the topdogicd back!gound in Section 1 is Bartle's The
Shenls of Red Andyaid [2]. Another is Lang's Andysid I [ll].
Esch AI can he expressed as a sum
with Sk 8emisimple (that is, ita wmplexilication is diagonahble), and Nk niI-
potent (that is, (A'&)* = 0 for some m); moreover, Sk and Nk commute. T l h
reduces the eerie9 fot elA to a finite sum which is easily computed. Thus mlutions
to (1) can he found for any A .
Section 3 is devoted to nilpotent operators. The goal is a special, essentially
unique matrix representation of a nilpotent operator. This speeial matrix is applied
in Section 4 to the nilpotent part of any operator T t o produce special matrices
for T called the Jordan form; and for operators on real vector spaces, the red -on-
icd form. These forms make the structure of the operator quite clear.
In Section 5 solutions of the differential equation z' = Ax are studied by means
of the real ennonical form of A. I t is found that all solutions are linear combitiortll
of certain aimple functions. Important information about the nature of the d u -
tions can be obtained without expticitly solving the equation.
110 6. LINEAR BYBTEM8 A N D CANONlCAL FURMI3 OF OPSMTOIU) $1. THE PRIMARY D E C O M P O ~ I T ~ O N
111

-
Srrlion 6 applies the results of Section 5 to the higher order one-dimensioaal Let us s w what this decomposition means. Suppose first that there is only one
linc:tr t~o~rrogeneousequation with constant coefficient8 eigenvalue X, of multiplicity n = dim E. The theorem implies E = E(T, A). Put

('2) +
a(-' als{-l + ..
. + L a = 0. N=T-XI, S=M.
are easily found if the roota of the charncteristic polynomial
Sulu~ior~s n e n , clearly, T = N +
S and SN = NS.Moreover, S is diagonal (j,, b)
A" + alAW' + .. . + a. and N is nilpotent, for E = E ( T , A) = Ker N". can t~~ we
-&tely
compute
are known. A different approach to (2). via operstom on function spaces, is very
briefly d i i c u d in the last section. "-1 Nb
er=EBeH=&x---;
Ttlc first four sections deal not with differential equations, only linear algebra. r k!
This linr~aralgebra, the eigenvector eheory of a real operator, is, on one hand, there is no difficulty in finding it.
randy t r r a t d in tpxta, and, on the other hnnd, important for the study of linear
differentid equations. Emmpk 1 Let T = J]. The characterhtic polynomial i.
p(l) = b - 41 + 4 = (1 - 2)'.
There is only one eigenvalue, 2, of multiplicity 2. Hence
8 1. T h e Primary Decomposition

In this section we state a basic decompoeition theorem for operators; the p m f

is given in Appendii 111. I t is not necessary to know the proof in order to use the
theorem, however.
In the test of this section T denotes an operator on a vector spece E, which may
- or com~lex;but if E is r e d it is aa9wed that all eigenvdues of T are 1-1.
- - real
he We know without further computation that N commutes with S md is nilpotent
Let the c b s ~ ~ ~ t e & polynomid
tic of T be given as the product of order 2: W = 0. (The reader can verify these statements.) Therefore

e r = eS@ = 8 ( l + N)

.
Here A,, . . , L are the distinct roota of p(t), and the integer n, 2 I is the multi-
+ .. +
plicity of XI; note thnt nt . n. = dim E. More generally,
We recall that the eigenspsce of T belonging to Xr is the subpsce
err = e"eM = e"(I f tN)
Ker(T - XI) C E
(w-e write Xt for the operntor L I ) . Note tbst T is diagonalicable if and only if E
is the direct sum of the eigenapaces (for this meam E has a basis of eigenvectors).
We define the generdired eigmspou of T w n g lo Xt to be the subspace Thus the method applies directly to mlving the differential equation z' = Tz
E( T, L) = Ker (T - At)" C E. (aee the previoua chnpter).
For comparieon, try to compute directly the limit of
Note that thie subspnce is invariant under T.
Thr following primary decapouitim theorein is proved in Appendix. 111. "'[I
Mk! 1
-73
Theorem 1 Lel T be an operator on E, w h E is a cmplct vector F . OT e b e h' I n the general ease put
G real and T has real e+nt.dues.Then E is lhe direct arm of the gmrdized eigen-
spaces of, T. The d i e of each gmrdized cigmspoce e#d, Me mul*ipIin'ty o f & ~ = T I E ( . L TI.
,
corresponding eigenualue. Then = Ti e .. . e T,. Since each TI hss only the one & e n d u e ht, we can
1 12 6. LINEAR BYSTEMS A N D CANONICAL YORM8 OF OPERATORE $1. THE PRIMARK DECOMFmSlnON
113

apply thv previous result. Thus The one-dimensional generalied eigenapace of 4 1 is the mlutian sp.ee of the
eystem of q u a t i o m
Tk=Sk+Nk; Sk,Nk€L(E(Xk,T)),
( T o - 1)r = 0,
xvhere St= 1.1 on E ( h , T ) , and Nt = Tk- Sk is nilpotent of order nk. Then
or
T=S+N,
where
S =&e ... es,,
N = N l e . . . eN,.
Clearlv, S N = N S . Moreover, N ia nilpofd and S ia diagonaliE&ble. For if m =
..
max (n,,. , n.) , then one can verify that the vector
N" = ( N , ) " e ...
e (N.), = 0; Qa = (0,2,1)
and S is diagonalizcd by a basia for E which is made up of bases for the generalized is a basis.
rigenspares. , ,a , ) of R'. Let T = S
Let 03 be the basis ( a ~I% + N bs as in Theorem 2. I n
We have proved: d3-coordiitea, S hss the mntkx

T h w n m 2 Let T E L ( E ) , where E is complet i j T has a n a r d eigenvolue. Then

+
T = S N , w b c S N = N S and S is d b q d i r a b k and N ia nilpdmt.
In Appendix 111 we shnll prove that S and N are uniquely defermid by T .
Using Theorem 2 one can compute the exponential of any operator T:E --r E this follows from the eigendues of T being - 1, - 1, 1. Let So bs the mstrix d S
for which the eigenvaluenare known. (Recnll we are making the general mumption in standard coordinates. Then
that if E is red, d l the eigenvaluen of T must ba real.) The method is made clear
by the following example.
Example 2 Let T E L(R') ba the operntor whose matrix in standard coonli- where P is the inverse trnnapose of the matrix whose rows are a ~at,
, a,. Hence

[: :3
nates is

(I-')' = 0 1 0 ,

We analyze Towith a n e w t ~ mlving

d the differentin1 equation
z' = Tfl.
The charscterktic polynomial of To can be read off from the diagonal because aU
subdiagonal entries are 0 ; i t is

Thc ci~t-nvnluesare - 1 with multiplicity 2, and 1 with multiplicity 1.

T ~ Itwo-dimensional
. generalined eigenspace of - 1 is spanned by the basis
a1 = (I,O,O), a, = (0,1, 0 ) ; Therefore
this can be read off directly from the fir& two columns of To.
114 6. L I N E A R SYSTEM6 A N D CANONICAL FURME OF OPERATORS $1. THE PRIMARY DECOYPOBlTlON

11at r i ~r~ultiplication
~ give8 Finally, we obtain

which gives

WP can no\\. find the matrix No of N in the standard basis for R

'
,
No = To - So
I t is no more difficult to compute c'", t E R. Replacing TI by tT, t d o r m s &
to t&, N, to tN,, and m on; the point is that the ~ u n matrix
c P is used for d values
to t. One obtains

We have now computed the matrices of S and N. The reader might verify that
N9=OandSN=NS.
We compute the matrix in standard coordinates of @ not by computing the matrix
eSQdirectly from the definition, which involves an infinite series, but as follows:

The mlution of z' = T s is given in terms of exp(tTo).

The following consequence of the primary decomposition is called the Cayley-
Hamilton theorem.

Theorem 3 Let A be any opmdor a a real or e a p l e z ucclor tpclac. Ld i* charoc-

tvhirli turns out to be Lnisric pdynmnial k
0
P(t) = C &.
m
Then p( A) = 0,ihd is,

It is easy to compute exp(No) : 2d L ( z )

U
= 0
exp(No) = I + No for all r E E.
Proof. We may eslnune E = R' or C'; nince an operator on R"and i b unnplexi-
hcation have the same chsrscteristic polynomial, there is no h a of p a d i t y in

-
s m m h g E is a complex vector apace.
I t suffices to ahow that P ( A ) z 0 for all z in an tubitrsry g e m d i d e&nquca
 42. THE 8 +N DGCOMWBITION 117

E ( A , A ) , where P(X) - 0. NOW

for
( S N - NS)c = SoAro - NOSO = 0.
E(A, A ) = K m ( A - A)', S i l a r reasoning ahows that N is nilpotent, and also S +
N = T. The uniqueness
where m is the multiplicity of A. Siim ( 1 - A)" dividea p ( t ) we nrik of S m d N follows from uniquenea of & and No.This completes the p m f .
p(l) = q(t) ( 1 - A)'.
Definition S is called the sernia'mple pad of T and N the nilpdml part.
Hence,for z E E(A, A ) :
p ( A ) z = q ( A ) C ( A- A)'zl Let T = S +
N ss in Theorem I. Since Sc is disgondkable, it follows from
Chapter 4 that in a suitable basis @ of R". described below, S hss a matrix of the
= cl(A)(O) = 0.
form

02. The S +N Deeomvition

Let T be a n o p m t o r on R-and Tc:C- 4C gi b wmplaifimtion. If Tc is dkgond-
izable, we my T is minim&.

Theorem 1 For any opGtntor T E Z(Rm)iherc are unique -8 S, N on Rn

nrzh llial T = S + N , SN = N S , S n rcmirimpb, and N ia nilpoM.
Progf. We have already seen a similu theorem for operators on complex vector
spaces; n o r we apply this d t to prove the theorem for operstara on R'. Let
o: C" -+ O be the operator of conjugation (Chapter 4) ; if z = z +
iu E C m rwhew
r, y E R*, then cz = z - iy. An operator Q on C g is the compl&cation of an
operator ou R- if and only Qe = 4.
Here XI, . . . , X, are the real eigenvalues of T , with multiplicity; and the cnnple.
numbers
Given T E L(Rm)let Tc E L ( O ) be i b compldcation. By Theorem 2, Section
I, there are unique operators S., Na on Cq such thst &+a&; k = I,..., 8,
are the complex. eigenvaluea with positive i m a g h r y part, with multiplicity. Note
that T, Tc, Sc, and S have the name eigenvalues.
SONo = N&, $ diagoudbble, and NI nilpotent. We sasert that & and Na sre The exponential of the matrix tL, t € R is easy to calculate since
complexificationa of operators sa Rm. This bi proved by aha* they wrnrnute
with r , M follomr. Put S, = aSoC1,N I = E N / ' . Then ta -6

The baais CE that g i w S the matrix L is obtained ss f o l l m . The firat r vectors

I t is m y to gee that S1 h d i a g o d h b l e , NI is nilpotent, md SIN1 = NISI.T h e m
in bd are from bssea for the generaliced eigenspaces of T that belong to red eigen-
fore So = SIand N. = N,. %meana that $ and N. commute d t h a M %4k?h?d.
value. The remaining 2s vectors are the imaginary and resl pnrta of b of the
There are uniqueoperatomS, N i n L ( W such that
+
generalized eigenapaeea of TC that belong to eigenvaluea a a, b > 0.
S. = Sc, 4 = Nc. In this way e" can be wrnputed for any operator T, provided the eigenvafues
of T a r e k n o w .
Since the map A -r Ac is one-to-one, it foU0~0that
Example. Let T E L (R4)be the operator whoee matrix in staadard eobrdinstes
 6, LINEAR SYSTEMS AND CANONICAL F O W B OF OPmTOH8 9" THE S + N DECOMPOBITION
and one finds that
r 1 0 1 0 1

In C the generabed ieigenspsce is the aolution apace of Hence

(To- i ) t = 0,

The matrix of N in standard coordinates is then

These are equivdent to

h = iU.
-z,+ irr = iz..
a basis for the solution space we pick the complex vmtom
~=(;,l,o,l), v=(i,l,-i,O).
From these we take imaginary and real P m :
(I,o,o,o) =el, I u = ( l , O , - 1 , O ) =ea,
R Y = (0, 1,O, I) = a, R u = (0, 1, 0, 0) = er.
~h~~~ four -tom, in order, f o m a bssis 63 of R'. This b ~ Bives
& S the matrix
ro - 1 1 which indeed is nilpotent of order 2 (where den* . a zero).
The matrix of elr in ntandrvd caordinstes is

L 1 0J exp(lT~)= exp(tN~ 1%) + = exp(No) exp(l&)

(We know this without further computation.)
The matrix of S in standard ~ h a t e iss
= (I + tNo)P exp(tS,)P1.
From
s, = P1S1P,
I is the transpose of the matrix of components of 63; thus
where P
rcwt -sin1 1
rl o I 01 exp(lS,) =
sin1 cost
cost -sin1
sin 1 cos t
the render can complete the computation.
120 6. L I N E A R SYBTEMB AND CANONICAL PORMB O F OPERATOM k2. THE 8+N DECOMWBlTlON 121

10. I f A and B are wmmuting operators, find a formula for the semisimple and
nilpotent parts of A B and A +
B in terms of the corresponding parts of A
and B. Show by example that the formula is not always valid if A and B do not
1. For each of the following operators T find bases for the generalized eigenspacea; commute.
pivr the rnatriccs (for the standard basis) of the ermieimple and nilpoknt
11. Identify R'+' with the eet P. of polynomiale of degree _< n, via the c o r n
parts of T.
spondence

Let D: P. -+ P. be the diRerentiation operator. Prove D is nilpotent.

12. Find the matrix of D in the standard basis in Problem 11.

13. A rotation around a l i e in R' and reflection in a plane in R' are semisimple
operators.
14. Let Sbesemisimpleand Nnilpotent.If S N = N S = 0 , then S = Oor N = 0.
2. A matrix [axi] such that aii = 0 for 1 5 j is nilpotent.
(Hint: Consider generalised eigenspacea of S 3- N.)
3. What are the eigenvdues of a nilpotent matrix?
15. If II = T, then T is diagondizable. (Hint: Do not use any d t s in this
4. For a h of the following matricea A, compute elA, 1 E R: chapter!)

16. Find necessary and sufficient conditions on a, b, c, d in order that the operator
C: :I be
(a) diagondkable; (b) semisimple; (c) nilpotent.
17. Let F C E be invariant under T E L ( E ) . If T is nilpotent, or seminimple, or
diagonalisable, m is T I F.

18. An operator T E L ( E ) is semisimple if and only if for every invariant subapace

F C E, there is another invariant subspace F' C E each that E = F m F'.

19. Suppose T is nilpotent and

3. I'rovc that an operator is nilpotent if d l its eigenvalues are zero.
k-1
6. The semisimple and nilpotent parts of T commute with A if T commutes P
' = ajTj, a, E R.
with A. +e
Then Tk= 0.
7. If A is nilpotent, what kind of functions are the coordinates of solutions to
I' = Az? 20. What valuea of a, b, c, d make the following operators semiaimple?
8. I f N is a nilpotent operator on an n-dimensional vector space then N' = 0.
9. Jf'hat can be said about AB and A A B if A B = BA and
( a ) A and B are nilpotent?
(b) A and B are semisimple?
(c) A is nilpotent and B is semisimple? 21. What vdues of a, b, c, d make the operators in Problem 20 nilpotent?
 6, LINEAR SYSTEMS AND CANONICAL FWRMS OF OPERATORB
03. NILPOTENT CANONICAL FOFLMB
123
Theorem 1 Lcl N be a nilpotml operator a a red m compler ucdor spcce E. Then
$3. Nilpotent Canonical Forms E h a a bami giving N a ntaln'z oj ihe j m

I n t h r prrvious section we saw that m y operator T can be decomposed uniquely

where A, w an eletncntary nilpoM block, and the & of A, ia a nonincr-ng fundia
The mat& A,, . . . , A. ore unipuly determined by Ihe o p r d m N .
of k .

with S semisimple, N nilpotent, and SN = N S . We dso found a c a n o n i d fm
for S , that is, a type of matrix representing S which is uniquely determined by
T , except for the ordering of diagonnl blocks. In the complex case, for example,
wl~rreA,. . . . , X. we the r m t s of the charncteristic polynomial of T , listed with
their proper multiplicities.
Although we ahowed how to find r o m matrix repreaentstion of N , we did not
give any special one. In this section we shall find for any nilpotent operator a matrix
that is uniquely determined by the operator (except for order of diagonal blocks).
From this we shall obtain a special matrix for any operator, called the Jordan
We call the matrix in Theorem 1 the canonical f m of N .
Let A be an elementary nilpotent matrix. I t is evident that the rank of A is
n - I ; hence
d i i K e r A = 1.
Thii implies the following corollary of Theorem 1.
Theorem 2 In Themem 1 the number r oj blocks ia quai Lo dim Ker A.
We define the canonical form of a nilpotent matrix to be the canonical form
of the corresponding operator; this is a matrix similar to the original one. Since

1;1
esnonical form. aimiiai matricea correspond to the same operator, it followe that they have the
An elemmlary ni2pdcnl Mock is a mat& of the form same canonical form. Fmm this we conclude:
(1)
Theorem 3 Two nilpotml n X n malriccs, or Lwo nilpot& operatme a ULc
vector spcce, are sirnilor if and mdy Chey hove Ihe sam mnonical jmm.
1 0
The queation arisee: given a nilpotent operator, how is it8 canonical form found?
To answer this let us examie a nilpotent matrix which is sfready in canonical
form, say, the 10 X 10 matrix
with 1's just below the d i o d nnd 0's elsewhere. We include the one-by-one
mntrix [O].
If .V: E --r E is m operator represented by euch a matrix in a basis el, . . ., e.,
then A.' behaves ss folloanr on the bdis elemente:

~t is obvious thst Nn ( e r ) = 0, k = 1, . . . , n ; hence Ns = 0.Thus N is nilpotent

of o d e r 11. >loreover, Nb # 0 if 0 5 k < n, since Nhe, = ek+i Z 0.
In Appendix 111 we shdl prove
1 ?4 6. LINEAR SYSTEM8 AND CANONICAL YOFORMS OF OPERATORS

the m e below i t givcs the equivalent sy-:

Kr conaidrr iV as representing a nilpotent operator T on RIO. Consider the relations
between the following wta of numbers:
8, = dim Ker P , 1 5k5 10,
and
.,= number of elementary nilpotent k X k blocks, 1 5k5 10.

N o t e that .,
= 0 if k > 3. The numbers 4 depend on the operator, and can be
computed from any matrix for T. On the other hand, if we know the vr we can Subtracting the second of thew, equtiona from the h t gkcs
immediately write down the matrix N. The problem, then, is to compute the v,
in terms of the 6r.
Considrr
.I - 26, - a,.
61 = dim Ker T. Subtrscthg the (k + l ) t h from the kth giwa
From Theorem 2 we find
il = total number of blocks - rl + r1 + rs. and the Lst equation gives P. Thus we have proved the fob* tbsnm,in which
put (b) dawa IMto compute the nxamid form of any nilpotent -1~:
Next, consider 6, = dim Ker II. Each 1 X 1 block (thnt in, the blocks LO])
contributes one dimension to Ker P. Each 2 X 2 block contributes 2, while the
3 x 3 block also contribute0 2. Thus Theopcpl4 L d T b e a n i l p d m t o p c r d m a a n k d i m n u i o n o l a t d o r s p a c e . If.,
w & ~ o f k ~ k ~ i n & a o ~ n i o o t f a n o j T -, dd i & mKaP,h
k following squdwnr a n did:
l
For 6, = dim Ker P , we see that the 1 X 1 blocks each contribute 1; the 2 X 2
blocks each contribute 2; and the 3 X 3 block contributes 3. Hence
(8)
(b)
- CIS-
.,- 2.4- a,,
h krr + m Lsrj;
. m - I, . . ., n;

rk- -&-I + 26. < k < n,

v.- -6-1 + 6. -&+I, 1

In this example Ns = 0, hence h = 6#, k > 3.

Note that the e q u t i o n s in (b) can be subsumed under the equation
For an arbitrary nilpotent operator T on a vector apace of dimennion n, let N
be tlie canonical fonn; define the numbem ak and rb, k = 1, . . , n, aa before. By.
the samr rresoning we obtain the equations
validfordlintegerak2 1 , i f w e n o t e t h s t h - 0 a n d 4 - i f o r k > n .
There is the more f i c u l t problem of hnding a bsais that puts a given nilpdcnt
operator in canonical form. An algorithm is implicit in Appendix 111. Our point of
&w, bowww, is to obtain t h e infornution from camajd form. F a
eumple, the equtionu in the pnceding theorem immediately pmra that b cd-
p o l a l o p e m b m N , M a a D s d o r s p a c e Earcmmihrifandonlyif dimKerN.
< <
-
= r1 + 2v, 4 ... + (n - 2)~.-, + (n - 1) (.-I + r.), dim Ker Mb for 1 k dim E.
+
For wmputrtionnl purposes, the S N decomposition is usculty deplntc (k,
6. = r1 + 2v2 + . .. + nu.. the other h d , the exhence m d uniqueness of the cmonieal f o n m L w t
for theory.
\\.v think r > F thc 6, as known and mlve for the rk. Subtnrcting each equation from
1'16 6. LINEAR BYSTEM8 AND CANONICAL FURMB OF OPERATORB 84. JORDAZ AND REAL CANONICAL FURMB

elenlentary nilpotent matrix, X

I + A has the form
1. Verify that each of the following operators is nilpdent and find its canonicd 1
form :

2. I RS~ be a matrix in nilpotent canonicd form. Prove N is eimilar to

(a) kN for d nonzero k E R,
(b) the transpose of N.
3. Let N be an n X n nilpotent matrix of rnnk r. If N' = 0,then k 2 n / ( n - r).
4. Classify the following operators on R
' by similarity (rnisaing entries are 0) :

+
(Some of the d i i n a l blocks may be 1 x 1 matrices [XI.) Thnt is, AZ A has
X's along the diionrd; below the diagonal are 1's and 0's; all other entries are 0.
The blocks making up XI + A are c d l d eknienlary Jordan mafrius, or clmunkry
X4IwIC8. A matrix of the form (1) is cdled a Jmdun matrir belongitlg to X, or briefly,
a Jardon Adlock.
..
Qnaider next an operator T: E + E whose distinct eigenvduea are XI, . , L;
na usual E is complex if some cigenvalue is nonreal. Then E = El e ... e E,,
-1 -1 -1 0 where E, is the generalized A,eigenspacc, I; = I , . . . , m. We know thst T I EI =
Akl + Nk with Nk nilpotcnt. We give El a basis a,,,,which givea TI Ek a Jordan
.
matrix belonging to A,. The basis 63 = @I U . . U @t of E gives T a matrix of the
Q4. Jordan and R e a l Cenoniul Forms form

thi?; section canonicd f o e are constructed for arbitrary operators.

111
with an operntor T o n E that has only one eigenvdue A; if X ia nonreal,
i\.e scrlrt
where each Cb ia a Jordan matrix belonging to A*. Thus C is c o m p d of diagonal
\ve- snpp(~st~ E complpx. In Section 1 we saw that
blocks, each of which is an elementary Jordan matrix C . The matrix Cis called the
T=AI+N Jordun fmm (or Jordan matrix) of T.
with .V nilpotent. We apply Theorem 1 of Section 3 and give E a basis 63 = We hnve constructed a particular Jordan matrix for T, by decomposing E na a
le,, . . . , em)that gives N a matrix A in nilpotent canonicd form. Hence T has the direct sum of the generdizd eigenspaces of T. But it is easy to see that given any
@-matrix X I +
A . Since A is composed of dicl(lond blocks, m h of which is an Jordan matrix M representing T,each Jordan A-block of M rep-b the teatric-
12s 6. LINEAR SYSTEMS AND CANONICAL FORMS O F OPERATORE H. JORDAS AND R W L CANONICAL mRM8

tion of T to the generalized h-eigenspace. Thua M must be the matrix we con- of diagonal blocks of the fnm
structed, perhaps with the X-blocks rearranged.
I t is easy to prove that similar operators have the Bame Jordan forma (perhaps
with rearranged A-blocks). For if P T P 1 = TI, then P maps each generaliaed
X-eigenspace of T. isomorphicdly onto the generalized beigenapace of TI; hence
the Jordan A-blocksare the same for TOand TI.
In summary :

Theorem 1 Let T L(E) be an optvalor; if E M r e d , assume dl eigmvaEws of where

T are real. Then E has a basis giving T a matrir in Jatdan fom, that is, a malriz
a -b
made up of d i a g d blmks of the fm ( 1 ) .

Except for the order of these blocks, tbe matrix is uniquely determined by T.
D =

Thus T I E, has a matrix of the fcan

I2 = [; 3
Any operator similar to T has the eame Jordan form. The Jordan form can be
xritten A + B, where B is a diagonal matrix representing the semisimple part of
T while A is a canonical nilpotent matrix which represents the nilpotent part of
T; and AB = BA.
Note that each elementnry X-block contributes 1to the dirneneion d Ker (T A). -
Thrrefore,

Propasition In the Jwdan fm of an operalm T, Ihe number o f e ~ n l a r X-blockd

y
-
is dim Ker ( T A).

We turn now to an operator T on a real vector space E, allowing T to have non-

real eigenvalues. Let Tc: Ec -+ EC be the complexifieation of T. Then EC has a
basis rB putting Tc into Jordan form. This bask IBia made up of bases for eacb
generalized cigenspaee of Tc. We &sewed in Chaptrr 4, Section 2, that for a real
eigrnvalur A, the generalized eigempace Ec(Tc, A) is the complexifieation of a
suhspar~of E, and hence bas a bask of vectors in E ; the matrix of Tc I E (Tc, A)
in t h ~ basis
s is thus a real matrix which represents T I E(T, A). I t is a Jordan &block.
1,rt r = a + ib, b > 0 be a nonreal eigenvdue of T. Let

br a bmis for E(p, Tc), giving Tc IE(#, Tc) a Jordan matrix belonging to p.
In Section 2 we BBW that

E ( r , Tc) E(P, Tc)

is the complexification of a aubspace E, C E which is T-invariant; and the vectors Combining theae bases, we obtain

Theorem2 I ~ L T : E - - r E b r o n o p c r d m m a r c o l u c e l mT~h. m E k r s a b o a i s
i s E . It is easy to see that in tbis basis, T 1 E.
nrc n l ~ t ~ s for has a matrix composed qiving T a mafrir compated of diagonal blocks of 1/18 forms ( 1 ) and ( 2 ) . The dioparcll
130 6. LINEAR SYBTEWB AND CANONICAL mRm OF OPERATORB

elemenls are the real eigmualues, with multiplicity. Each block 3,

b > 0, appears number of k X k blocks of the form
+
as natty limes as he multiplin'ly of fhe eigenvalu a bi. Such a molrir is uniquely
defernzined b y the similarity daes of T, creep1 for fhe order oj the blocks.

I)rlinitir,nn The matrix drscribcd in the thcorem ia called the real canonical form
of 1. 11 7' lu~sonly r ~ n rigcnvalue8,
l it is thc samp as the Jordan form. If T is nil-
pr~t<.~lt.it I S the same HS the canonical form discueeed earlier for nilpotent operatom.

Tbr ~rcvioustheory applies to Tc to show: in the real Jordan form of T; and

6t (X) = dim Ker(T - A)'.
Proposition I n the real canonical form of an operator T on a real veclor space, the
~ ~ u ~ t l(f
b cblocks
r of the form For each complex eigenvalue A = a + bi, b > 0, define rt (A) = number of 2k X 2k
blocks 01 the form

is dim Kc.r(T - A ) . The number of blocks of fhefonn (2) ia dim Ker (Tc ( a a)). - +
Thr real canonical form of an operator T exhibits tbe eigenvalues as p u t of a in the real Jordan form of T; and
matrix for T. This ties them to T much more directly than h e i r definition as roots
of t111, rh~~ractcristic
polynomial. For example, it is easy to provc: 6t (A) = dim Ker(Tc - X)
as 8 compkx vector space. One obtains:
3
'Ihcv,rc*~n Let A,. . . . , A. be the e i g e n d u e a (with multiplicities) o j an opalor T.
l'l,, I, Thmrem 4 Let T be an operator on a real trdtmensirmal ucdm spau. Then he
(H) Tr(T) = XI + . . . + A,, real Jordan form o j T ia w i n e d by the j W n g equalions:

(b) Det (T) = X, . . . X..

Proof. We may replace a real operator by its ~om~lexifiration, without changing where A rum through all real eigmwluea and d l cmnpkz eigmdtua wdh pod&
its tracr, determinant, or eigenvalues. Hence we may assume T operatea on a com- imaginary part.
plrx vector space. The trace is the sum of the d i i n a l elements of m y matrix for
7'. I o , t l l n ~at thr dordnn form proves (a). Since the Jordan form is a triangular Example. Find the real canonical form of the operator
111:1trl\.t l ~ i(\(.t(>rn~inlmtof T is thr product of its diagonal elements. This prows
(11). ~ O O O-81

'I'r, ri)llll\rltc thr cano~riralform of an operator T we apply Thcorem 4 of Section

:i 1.t -
t ~ n t01 T X for each real rigenvaluc A, and to Tc - ( a bi)
ti,,. ~ ~ i l ~ ) n tpart +
itbr V R ~ vi,~~rplrx
I rigenvalue a + bi, b > 0. For each real cigrnvalue X define rb(X) =
 w. CANONICAL FOR- AND DI-AL WVATJONli 133

The rharacteristic polynomial ia 10. Show that the number of real logarithm of an operator on Rmis eitber 0, 1,
(t - (1 + t)(l - (1 - i))(l - 2)'. or countably idbite.

-
Thc ~igrnvaluesare thus 1 + i, 1 i, 2, 2. Biice 1 + i has multiplicity 1, there
can only be one block [: -:I.
A computation ahom W. O n o n i d Form. and Dieennttl -do-
&(2) = 1.
After a long algebraic digression we return t~ the differentia equation
This is p r o v d most easily by showing that rank ( T - 2)

[: i :I.
= 3. Hence there is only
one elementary 2-block. The real canonical form is thus: (1) ?=Az, AEL(R-).
Suppoee A is Jordaa A-block, E R:

Thr-rr rrmaina the problem of finding a basis that p u b an operator in real canon-
ical form. An algorithm can be derived from the procedure in Appendix 111 for
putting nilpotent operators in canonical form. We shall have no need for it, however.
h m the decornuonition

PROBLEMS

I.

"1 [
0 1'1
-1 0
'b) ' -;I
Firrd the Jordan f o m of the following operators on C":

"' ['ii I
1+i
2. Find the real canonical forms of the operators in Problem 1, Section 2.
3. Find the real canonical f o m of operntora in Problem 4, Section 2.
L 01
fiad by the exponentid m ~ t h a d(Chapter 5) that the solution t o (1)+th hitkl
d u e z(0) = C € R* b

4. What are the possible real canonical l o r n of an operator o n R* for n 5 51

5. Let A be a 3 X 3 real matrix which w not diagonal, If (A + 0' = 0, find the
rral canonical form of A .
ti l.vt . I 111. un cqwrator. Supponr q(X) is a polynomial (not idcntieally 0)such
t llnl q ( .4) = 0.Then thc cigrnvalucs of A are roots of q.
7. l r l ; I , B be commuting operators on C' (respectively, R*). There is a basis
l w t t i ~ ~both
g of them in Jordan (respectively, real) canonical fonn.
8. Evrr? n X tt matrix is similar to its transpose.
O. Let A be an operator on R". An operator B on R8 is called a real logarithm
of ;I if eB = A . Show that A has a real logarithm if and only if A is an iso-
~llurpl~ism and the number of Jordan X-blocks is even for each negative eigew
value h.
194 6. LINEAR SYBTEMS AND CANONICAL FORM6 OP OPERATORB 85. CANONICAL FORM8 A N D DIWERENTIAL EQUATIONS

1n coordinates, j = 1, .. . , m. This is the aolution to (1) with initial conditions

The reader may verify diiectly thmt (5) is a solution to (1).

Note that the factorials can be absorbed into the constants. At this point we are not ao much interested in the precise formulas (2) and (5)
+
Suppose instead that x = a bi, b # 0, and t h t A is a real A-block: as in the following observation:

1 (6) If X is real, each coordinate zj(1) of any d u t i o n to ( 1) is a linear w m b i t i o n

(with constant coefficients) of the functions

+ +
(7) If X = a bi, b 0, and n = 2m, then each coordinate zr(f) of m y aolution
to ( I ) 18 a linear c o m b i t i o n of the functions
elfk cas bf, eLrsin bf ; 0 <k 5 m.
Let m be the number of blocks D so that n = 2m. The aolution to (1) can be com- Consider now Fq.(1) where A is any real n X n matrix. By a suitable change
puted using exponential*. I t is easiest to consider the equation or coordinates x = P y we tramform A into real canonical form B = P A P ' . The
(3)
mhcrr z : R - z' = Bz,
C" is an unknown map and B is the complex m X m matrix
1
equation
(8) y' = By
is equivalent to (1) : every solution x(1) to (1) has the form
I([) = Pv(t),
where y (f) aolvea (8).
Equation ( 8 ) breaks up into a net of uncoupled equations, each d the form
U' = B.u,

where 8. is one of the blocks in the real canonical form B of A. Therelore the m-
Wr identify C- with Rh by the correspondence ordinates of solutionu to ( 8 ) are linear coordinates of the function deamibed in (6)
(71+ i y ~ ., . . , z- + iw-) = (21,UI,. . . , %, y-1. +
and (7), where X or a bi ia an eigenvalue of B (hence of A). The m e therefore
is true of the original equation ( 1 ) .
'I'lu, solution to (3) is formally the same as (2) with a change of notation:
Theorem 1 Lel A E L(Rm) and lei I(!) be a sdufim of z' = A2. Then d c e
d i n a t e x, (t) is a tinear cornbindion oflhefiLm'm
reu bf, tle* sin bf,
Put Cb = L, + iMk,k = 1, . . . , m, and take real and imaginary pa& of (4);
+
COB

where a bi rune through all the eigenvalues of A with b 2 0, and k and 1 run lliraugh
us in^ the identity
el"-0 = e'(cos bf + i sin bl) aU the iniqeru 0 , . . . , n - 1. Moream, for each = a + bi, k and ia n lua Lhon
one obtains the mze of the brgwl &-block in the rcal comiml form of A.
j-1 p
rj(f) c' - [Lj4cas bt - M I A sin bf], Notice that i( A has real eigenvaluea, then the functions displayed in Theorem 1
=
,
k! include theae of the form kb.
j-I p This result does not tell what the aolutions of (1) are, but i t telb us what form
y i ( f ) = 1' C - [MI+ cas bf
,kt
+ LId sin bl]; the aolutions take. The following is a typieal and very importurt application of
Thwrean 1.
 w. C A N O N I C A L FORMS A N D DIFFERENTIAL EQUATIONS

T h w r e m 2 Suppose amy eigenualue of A E L(Rm)had negafk red part. Then solution to z' = At, then
l i m ~ ( t =) O
I-.

for ewry solution to I' = Ax. for all t 2 0. Find such a k and a for each of the following operaton, A :
Proof. This is an immediate consequence of Theorem 1, the inequalities
IcwbtI_<l, lsinMlI1,
and the fact that
lirn Pet
I-,
- 0 for all k if a < 0.
The converse to Theorem 2 ia easy:
2. Let A E L ( R m ) Suppose
. all mlutiona of z' = A z are periodic with the lume
T h e o r e m 3 I f m r y a d u t i o n o f z ' = AztcndstoOast-+w,Lhenamyeigmvalue period. Then A is semisimple and the charactektic p o l y n d is a power d
u j :I has rwgalive red parl. 1'+ a a C R.
,
'
Proof. +
Suppose r = a 1% ia an eigenvalue with a > 0. From ( 5 ) we obtain 3. Suppose at least one eigenvalue of A E L ( R m )has pwitive red part. Prove
a solution (in suitable coordinates) that for any a E Rm,t > 0 there ia a solution z(1) to I' = A t mch tlut
zl ( 1 ) = 1'eos M , It(0)-al<r and liIt(t)l=m.
I--
y ( t ) = 1'sin bt,
4. Ld A € L ( R m )and , mppose all eigenvaluea of A have nonpoeitive red p-.
zfU) = Y I V ) = 0, j 2 1,
( a ) If A is semisimple, ahow that every solution of z' = Ax ia bounded (that
which doea not tend to zero as t + m . is, there is a constant M, depending on t ( O ) , such h t It(t)I S for
all 1 E R ) .
A n arpument similar to the proof of Theorem 2 shows: ( b ) Show hy example that if A ia not eemisiiple, there may ex& a solution
such that
'Um 1 r(1)I = w .
T h w r r m 4 If every eigenualue of A E L ( R n )haa posilive real parl, then a*.

lirn I I ( ! ) I = m 5. For any solution to I' = Ar, A E L ( R m )show

, that exactly one of the folbw-
f o r <.t,r.r!/ mlufion lo z' = Az.
1- 1

Tlir following corollary of Theorem 1 i. useful:

-- -
ing alternatives holds:
( a ) lirn,-, r ( t ) 0 and lirn
(h) Ii,,, I t ( t ) l
,-.
I z(t)I w ;
and lim ,-, z(1) = 0 ,
-
(c) there exkt constants M, N > 0 such that
Theorem 5 If A E L ( R n ) ,then the cootdinales of w r y solution to I' = A t are M < Iz(1) I < N
injinalely diflerenhobkfunclirms (W is, C" for aU m ) .
for all 1 E R.
6. Ld A 6 L(R') be semisimple and suppose the eigenvaluea of A are *a',*bi;
a>O,b>O.
PROBLEMS
( a ) If a/b is a rational number, every mlution to I' = A t is periodic.
(h) If a/b is irrational, thew ia a nonperiodic soltition t ( t ) a h that
1 fn\ Suppose that every eigenvalue of A E L ( R ' ) has real part less than M < J z ( l ) l< N
-a < 0.Provr that there exists a constant k > 0 such that if z(1) ia a for auitable constants W . N > 0.
13s 6. LINEAR BY8TEMB AND CANONICAL FORM8 OF OPERATORB #6. HlQHER ORDER LINEAR WUATIONB 139

Q6. Nipher Order Linear Equations A matrix of thin form in ealled the companion mdrir of the polynomid
(4) p(A) = A' +
a1X-I + ... +
%-,A Q,.+
Consider the onedimenaional, nth order homogeneous linear differential equation I n Chapter 5 it was shown that this in the characteristic polynomial of A.
with constant coefficienta Companion matrices have ~pecialproperties as operators. The key to mlvkg (1)
in the following fact.

-
Here s: R R in an unknown function, al, . . . , Q, are comlsntd, and )'(x
kth derivative of 8.
means the
Pmpositlon 2 Let A E C be a red or cmplez e i g d u e of a companion mabiz
A, Then Ule red alnunicolform of A ha8 only one A-block.
Proof. We eoneider A as an operator on C'. The number of X b l o e b M
Proposition 1 (a) A linear combinufion of sdutions of (1) is again a sdution.
I 1)) The derivative of a solution of ( I ) w again a sdution. dim Ker(A - A),
.
Frooj. By a linear cornbindion of functions fl, .. , f,, having a common do- considering Ker(A - A) as a complex vector apace.
main, and whose values are in a common vector apace, we mem a function of the Thefirstncolumnnof A - Aformthe (n -
1) x n m t r i x
fonn
f ( r ) = &(z) + +
.* . c ~ - ( z ) ,
. .
where c,, . . , G are conslank.Thus (a) means that if rl(t), . . , &(I) are solutions
of (1) and cl, . . . , G are constanta, then ca,(t) .- +. +
c,s, (t) is also a aolution;
thin follows from kinrarity of derivatives.
I'art ( h ) is immediate by differentiating both idea of (1)-provided we know
that 8 soll~tionis n f 1 times differentiable! This is in fact true. To prove it, con-
siclr.r thv ~quivalentlinear system
w h i c h h a s r a n k n - 1.HenceA - Ahasranknorn- 1,butrankninnrledout
aince A is an eigenvalue. Hence A - A has rank n - 1, no Ker(A - A) hrs E' .
I. Thia provea Propoaition 2.

..
Definition A bauia of mlutions to (1) in a net of solutions a,, . , r , auch that
If s is a solution to ( I ) , then every solution is "xprexible ss a linear combination of 81, . . . , b in one .adonly
one way.
z = (a, a', . . . , d-")
in a solution to (1). From Theorem 4, Sectisn 1 we know that every solution to The following theorem is the basic reault of this section.
(2) has derivatives of all orders.
The matrix of coefficienta of the linear system (2) in the n X n matrix Theorem The following n funclias form a bauia for the sdutimrs of (1) :
(a) the funclion reU, where A ncns Ihrarph the dislincl rml roo& of the k
feridfic pdpomial (4), and k i s anonnegatiw i n k w r i n the range0 5 k <
mdtiplicily of A; logcUIcr toilh
(h) thefuncrimrs
re1COE bf and Petsin bl,
whma+binrnsU1r~hhcomplezr&of(4) lraMnqb>Oandkua
nonnegative in@ i n the range 0 I k < multiplici& of a bi. +
140 6. L ~ N E A R SYSTEMS AND CANONICAL FORMS 01OPERA'FORB
06. HIGHER ORDER LINEAR EQUATIONS

Proof. We call the functions listed in the proposition basic functions. I t follows
To find a solution with given initial conditions, say,
from Theorem 1 of the previous section that every solution is a linear combination
of basic functions. (8) a(0) = 0,
Tbe proof that each basic function is in fact a solution in given in the next section. s'(0) = -1,
By Proposition 1 it followsthat the solutions to (1) are exactly the linear comhina-
tinns of hasic functions. ~ " ' ( 0 ) = -4,
It n.n~ninsto prove tbat each solution is a unipuc linear combination of basic a"' (0) = 14,
f~~n~-ti<llrr.lor thia wr first note that tbrre are precisely n function8 listed in (a)
nntl (1,) . t l ~ nurnhvr
r nt functions liated q u a l a the aum of the multiplicities of the we compute the left-hand side of (8) from ('I),
to get:
rr.111roots of p(A), plus tuice the sum of the multiplicities or the complex roota with (9) 40) = A +C -0,
positive imaginary parts. Since nonreal m t a come in conjugate pairs, this tatal
sf(0)=-2A+ B +D=-1,
is the sum of the multiplicities of all the roota, which is n.
.
Define a map q : R" -+Rna# follows. Let fi, . . , f. be an ordering of the basic a(*'(O)= 4A- 4B-C =-4,
functions. For each a = (a,, . .. , a.) E Rnlet s.(l) be the mlution ~ ( ~ ' ( 0=) -8A + 128 - D = 14.

.s = C ad,. The only d u t i o n to this aystem of equations is

i l
A=C=O, B=l, D=-2.
I)t,linv
Therefore the solution to (6) and (8) is
p (a) = ( 8 . (0) , 8; (0) , . . . , 8.("-" (0) ) E Rm.
11 ia (.a*\- to see that q is a linear map, Moreover, p is surjective since for each
.
in,. . . . n . ~ )E R' there is some mlution s such that
PROBLEMS

and s = 8. tor some a. I t follows that (p ia injective.

From this we eee at once that every mlution s is a unique linear combination 1. Find a m a p a:R -tR auch that
of the basic functions, for if a. = so, then (p(a) = (p(8) and hence a = 8. a'" - a@'+ 4n' - 4.3 = 0,
This completee the proof of the theorem.
~(0= ) 1, ( 0 --1 d"(0) = 1.
Theorcm 1 reduces tbe d u t i o n of (1) to elementary linear algebra, provided 2. Comider equatim (6) in the text. Find out for which initid m n d i t i o ~r(O),
the roob and multiplicities of thecharacteristic polynomial are known. For example, al(0), a"(0) there is a solution s(1) auch that:
ronr;idrr the equation (a) a([) is periodic; (b) limb, s(f) = 0 ;
(c) l i m , , , l a ( l ) I = m ; (d) ~ s ( l ) ) i s b o u n d e d f o r l 2 0 ;
(e) I a(!) I is bounded for all 1 E R.
The roots of the characteristic polynomial 3. Find all periodic solutions to

are
4. What is the smallest integer n >0 for which there is a different. equation

Therefore the general solution is

81"' + als("l' + . . . + a,s = 0,
having among its solutions the functions
e.in in, 4Pe", -cl?
where A, B, C, D are arbitrary constants.
Find the constanta al, . . . , R.
 J7. OPERATORB ON FUNCTION RPACFB 143
17. Operaton, o n Function Spaces Moreover,
Ker q(D) C Ker p(D),
discuss briefly another quite different approach to the equation since pr = rq. In addition, if f E Ker q(D) and g € Ker r(D), then f g E +
Ker p ( D ) .
We can now give a pmof that if (t - A)' divides p ( t ) , than t'& € Ker p(D),
Let 5 be the set of all infinitely diflerentisble functiom R + R (one could aho 0 j k j m - 1. Itsufficestoprove
use maps R 4 C) . Under multiplication by c o n s h t a and addition of functions, 5 (D - X)'+'Pe1& = 0, k = 0, 1, . . . .
(2)
satisfies the axioms VS1, VS2 for a vector space (Chapter 3, Section 1, Part A) ;
but 5 is not finite dimensional.
Let D: 5 + 5 denote the differenlialia opcrdm; that is,
Note that D(e") - Ma, or
(D - A)e" = 0.
Next, obaerve the following relation between operatora:
'l'licrl I ) is rt linrar opcrator. Somc other operators on 5 are: Dt - 1D = 1
rrrl~ltildie>~tion
of f by a constant A, which we denotesimply by A; note that l j =f
(this means D(tf) - 1Df = f, which follows from the Leibniz formula). Hence alao
rind [If = 0;
r~~~~lriplicr~tion
of j by the function i(1) = 1, which we denote by 1. (D - A)L - l(D - A) = 1.
oprrators can be built from these by compmition, addition, and multiplica-
SI.\V I t follows easily by induction that
tion by constants. For example, ( D - h ) r - P ( D - A) = ktCL; k = 1, 2,....
Therefore
assigns to j the function
D(Df) = D ( f ) = f";
(D - ~ ) H ~ ( r t =a )(D - A)&(D- A) (Pea)
-
similarly D n j ffc-',the nth derivative. The operator D
tion f' - hf.
- A assignu to j the func- = (D - A ) ' ( [ ~ ( D- A)
= k ( -~ x)&(r-'P).
+ ktCLba)
Rlore generally, let
Hence (2) is proved by induction on k.

be a l)oly~ornial.(There could also be a coefficient ao of In.)

There is defined an
If h is interpreted srr a complex number and p(D) h a complex d c i e n t a , the
proof goen through without change. If p(D) hss real coefficients b u t A a bi
is a nonred mot, it folloas that both the nrl and i n m g b t y parts of r e L &re m i -
- +
oprrator
p(D) = D n + a l D w ' + ...+
&-ID+&,
.
hilated by p(D) Thie ahoas that

which assigns to f the function

are in Ker p(D).
f (8) + a p - ' 1 + . . . + a-,f' + aJ. We have proved part of Theorem 1, Seetion 6 by easy " f o d " (but
methods. Thc main part-that every wlution is a linear combination of basic
We may then rephrase the problem of ~ o l v i n g( I ) :find the k m l af the operalm
functiom-can bp proved by similar moans. [SFP1,lncar Algebra by S. Lang, p. 213
P(W. (Rcading, Rlassaehusetts: Addison-Wrslcy, 1966).]Oprrators on function spaces
This way of looking a t things new way8 of manipulating higher+rder
have many uses for both theoretical and ~ r a c t i r a lwork in diflerential equations.
equations. For example, if p(A) facton,
P O ) = q(A)r(A),
then clrarly,
Ker r(D) C Ker p(D).

Chapter 7 -
Contractions and Generic Properties
of Operators
In this chapter we study some important kinds of linear flown elA, particularly
contractions. A (Linear) contraction in cbaracterbed by the property that every
.
trajectory tends to 0 a8 t --r m Equivalently, the eigenvalues of A have negative
real parts. Sucb f i m form the banh for the study of asymptotic stability in Chapter
9. Contractions and their extreme oppcaitee, expamiow, are studied in Seetion 1.
Section 2 is devoted to hyperbolic ftows el*, cbaractericed by the condition that
the eigenvalues of A have noluero real psrts. Such a flow in the direct aum of a
contraction and an expnaion. Thus their q d t a t i v e behavior is very simple.
In Section 3 we introduce the notion of a generic property of operators on Rm;
t h i ~means that the get of operators which have that property contairna dense
ope11 subset of L(Rq). I t is shown that "semisimple" is a generic property, and
also, "generating hyperbolic flows" is a generic property for operators.
Tbe concept of a generic property of operators in a mathematical way of making
precise the idea of "ahnost all" operutore, or of a "typical" operator. This point is
discussed in Seetion 4.
01. S i n b and So-
Suppose that n state of aome "physieal" (or mechanical, biological, economic,
etc.) system in determined by the d u e s of n psrametem; the apace of all states
is taken to be an open set U C Itg.We m p p that the dynamic behavior of the
system is modeled mathematically by the solution curves of a differential equation
(or d y n m i c d sya&m)
(1) a! -
f(z), f: U + R n .
We are interested in the long-run behavior of trajectories (that is, solution curves)
01. SINKS AND SOURCES 145
of (1). Of espwial interest are equilibrium stales. Such n state f E U in m e that
does not change with time. Mathematically, this means that the eonstrnt map
t 2 is a solution to (1) ; equivalently, f(2) = 0. Hence we define an aguilb
rium of (1) to be a point 5 E U such that f ( f ) = 0.
From a physical point of view only equilibria that are "stable" sre of interest.
A pendulum balanced upright is in equilibrium, but this is very unlikely to occur;
moreover, tbe slightest diiturbance will completely dte tbe pendulum's behavior.
Such an equilibrium is urntable. On the other hand, the downward rest poeition ia
stable; if slightly perturbed from it, the pendulum will swing around i t rod (bemuse
of friction) gradually approach it again.
Stability is studied in detail in Chapter 9. Here we restrict a t t e n t i e to linear
systems and concentrate on the simplest and most important type d stable
equilibrium.
Consider a linear equation
(2) z' = Az, A E L (R") .
The origin 0 E R' in e d e d a sink if all the eigenvaluea of A have n-tive red
parts. We also nay the linear flow c'" is a cxmiractia.
In Chapter 6, Theorem 2 and 3, Seetion 5, it was shown that 0 in a sink if and
only if every trnjectory tends to 0 a8 t 4 m . (This is ealled aqmpblie stability.)
From Problem 1, Section 5 of that chapter, it follown that trajectorieg approaeh
a sink ezpmtiolly. The fdlowing r d t makes this more preck.
(a) The migin is a sink for h& d y m m i c d syalem 2' = A+.
(b) ForanynmminELhcreareumslan&k>O,b>Oareh1M
f O T d t > O , l ! E E.
(c) There e n i k b > 0 and a bomb (B of E w k unseaponding twrm did*
Proof. Clenrly, (c) implies (b) by equivalence of norms; and (b) implies (a)
by Theorem 3 of Cbapter 6, Section 5. That (a) implies (b) f o U m easily from
Theorem 1 of that section; the detaile are left to the reader.
I t remains to prove that (a) implies (c). For this we use the following purely
algebraic fact, wboee pmof is postponed.
Recall thbt R A is the real psrt of A.
Lemma Let AbcanoperdmrnarcalucclmspoccEandarpporc
14(j 7. CONTRACTIONB A N D GENERIC PROPERTIES OF OPERATURB #I. EINM AND W W W ~ 147

for every etgenvalue X of A. Thcn E has a bimti arch lhuf i n he mespading i n w Let c E R be euch thst
product and n m , Rx<c<@
for every eigenvalue A of A.
(4) a l z l ' 5 (Azlz) 5 B I z 1 1 Suppoee first that A ia semislnple. Then R' has a direct sum demmpoitian
lor all r C E.

Assr~rni~~rthe truth of the lemma, we derive an estimate for solutions of I' = Az. where each Bi in a onedirnenaiond aubepsce spanned by an eigenv&tor e, of A
I t , . . , r.) be coordinates on E corresponding to a basin E? eucb that (4) comeqanding to a real eigenvalue X i ; and each FA is a twodimendonrl eubqmce
holds, and Irt invariant under A, having a bsais [fj, oil giving A ( F Athe matrix

be a solution to z' = Az. Then for tbe norm and inner product defined by E? we bave where a* + rb, is an eigenvslue of A. By .asumption
Given Rmthe inner product defined by
--CCC ziz;
(zi)'Pn' and all other inner products among the q,f,, and gb being 0. Then r m p u t a t i o n
Hence rhows
d
,I .I =
(2 2') - (2, A+)
IzI Izl '
it follows easily that
CI2,Z) 5 c I 2 It
Thcrcfore, from (4), we have for all z E Ra,IW required.
Now let A be any opentor. We fvet give R' a bssiseo that A has a matrix in red
c a n o n i d form
...
A = diagfA~, , A,I,
wbere each A, has the form

I t follows by integration that

5 1% l t ( l ) l - 1% 1 z(O)l 5 Bl;
hence

Theorem 1 is proved by letting 8 = - b < 0 where the eigenvdues of A have

real parts lesn than - b.
JVc now prove the lemma; for simplicity we pmve only the aecond inequality
of ( 4 ) .
148 7. C D ~ ~ AND
O OENIB~C
N ~ PROPEBTI~ or O P ~ T D M 81. BINKS A N D 8 0 U R C E 8 149

If we give a rmbapace El of E, conmpondiag to a block A, a basis aatialying the Therefore if t is sufficiently m a l l , the basis a. satisfies the lemma for a block (5).
lemma for Aj, then all these bases together fulfill the lemma for A. Therefore we The ease of a block (6) is similar and is left to the reader. This completee the proof
may m u m e A is a single block.
1"or tbe fvst kind of block ( 5 ) , we cm writa A
a,l and N hse the matrix
-
S N where S hrs the matrix +
of the lemma.
The qualitative behavior of a flow near a sink haa a simple geometrid inter-
pretation. Suppose 0 E R' ia a sink for the linear diflerential equation i = j(r).

1 Consider the spheres

S . = ( z € ~ ~ I I z l = a Ja,> 0 ,
where I z I is the norm derived from an inner product as in the theorem. S i e e 1 z(1) I
has negative derivatives, the trajectories all point inside them spherea as in Fe.A.

Thus the baeis vectors (el, . .. , e.1 are eigenvectars of S, while

N ~ I 9, -
NL-r = LI
NL. = 0.
Let t > 0 be very emall and consider a new baaia
1
, . . = I * ,, . . . LI.
a. in again composed of e&nveetars of S, while now
NZI - 4,
Nt, = da,
We emphasize that this is true for the spheres in a special norm; i t may be false
NZ.-I = d., for some other norm.

Thus the a. matrix of A is

NZ. - 0.
The hear flow elA that haa the extreme opposite character to a contraction is an
e x p r , for which the origin is called a source: every eigenvalue of A haa positive
real part. The following reeult is the analogue of Theorem 1 for expansions.

Theorem 2 I j A E L(E), the fdlmm'ng are e q u k h t :

(a) The origin is a bourn jm the dylcrmical system i = A x ;
(b) For any norm on E , &re are m t a & L > 0, a > 0 sud, that
eiAz1 2 LCY I I I
joraU120,zEE.
I n t ( r , y ). denote the inner product correapondiag to a,.I t is clear by eonsidering (c) There emkisb a > 0 and a boaM a) oj E whosc c m r m i nurm
~ &lEcf
the matrix (7) tbat
4.
(h, +-(Sz,z)
e+o.
# . ( 4. I x I'
150 7. CONTRACl'IONS AND GENERIC PROPERTIEB O F O P E R A M R 8

The proof is like that of Theorem 1, using the lemma and the first inequality of After contraetions and expansions, hyprrbolie linear flows have the simplest
(4). types of phase portraits. Their importance stems from the fact that almost every
linear flow is hyperbolic. This will be made precise, and proved, in the next section.
The following theorem my8 that a hyperbolic flow is the direct sum of a contrac-
tion and an expansion.

1. fa) Show that the operator A = [-:

generates a contracting flow elA Theorem Let elA be a hyperbolic linear pow, A E L ( E ) . Then E has a ddired arm
(I,) Sketch the phase portrait of J' = Az in standard coordinates. decomposition
( e ) Show that i t is false that 1 elAx I 5 I z I for all 1 2 0 , t E R', where I x I E=BaEu
is thr Euclidean norm.
1,t.t E'" bc a contraction in R.. Show that for r > 0 sufficiently large, the norm invariant under A, such U d fhe i n d d pow on El is a confraction and fhe i n d d
2.
pow on E" ia an elpamion. This decompo8ition ia unique.
11 r I/ on R" defined by
Proof. We give E a bask putting A into real canonical form (Chapter 6). We
order this basis so that the canonical form mntrix first has blocks corresponding to
eigenvalues with negative real parts, followed by blocks corresponding to positive
sntislit.~,for some X > 0, eigenvalues. The firat rxt of blocks represent tho restriction of A to a subspace
II e t A tII 5 '-e ll 1.11. E' C E, while the remaining blocks represent the restriction of A to fiu C E .
Since El is invariant under A , i t is invariant under elA. Put A I E. = A, and
3. r;il If elB and el" are both contractions on R ', and BA = AB, then el["+" I
A I Eu = A". ThenetAI E* = elA.. By Theorem 1, Section 1, elA E'is a contraction.
ip a contraction, Similarly for expansjons.
Similarly, Theorem 2, Section 1 implies that elA I E" is an expadon.
t b) Sbow that ( a ) can be false if the m m p t i o n that A B = BA is dmpped. Thus A = A. a A. is the desired decomposition.
4. Consider a m a moving in a straight h e under the inhence of a spring. ks- T o check uniqueness of the decomposition, suppose F* a F Y is another decom-
sump there is a retarding frictional force ~roportionalto the velocity but oppo- position of E invariant under the flow such that el* I F' is a contraction and elA I Fg
site in sign. is an expansion. Let z E P.We can write
(a) Using Newton's seeond law, verify that the equation of motion hss the
form
mz" = at' + bz; m > 0, a < 0, b < 0. -
Since e t A z 0 as 1 -. -, we have eIAy--r 0 and el*z - 0. But

(b) Show that the corresponding first order system has a sink a t (0, 0).
(c) What do you conclude about the long-run behavior of this physical
system?
i.I f cfA is a contraction (expansion), &.ow that el+*' is an expansion (respec-
tively, contraction). Therefore a contraction is characterized by every trajeo
tory going to a as L -+ - ; and an expawion, by every trajectory going to
Oast-+-00.
v2. I ~ l l w r b o l iFlows
~ jectories will spiral toward Eu (Fig. C).
.\ typv of linrar flov elA that is more general than contractions and expansions is
thr hypcrbolzcjour: all eigenvalues of A have nonzero real part.
for all 1 2 0. Hence I z I = 0. This shows that F* C B. The same argument shows
that E' C Fe; hence E' = F*. Similar reasoning about e l A shows that En = Fu.
This comptetes the proof.
A hyperbolic flow may h a contraction (E" = 0) or an expansion (E* = 0).
If neither E' nor Emis 0, the phase portrait may look like Fig. A in t h e twodimen-
sional case or like Fig. B in a three-dimensional case.
I
If, in addition, the eigenvalues of A E. have nonzero imaginary part, all tra-
Other three-dimensional phase portraits are obtained by reversing the arrows in
Figs. B and C.
The letter8 s and u stand for alable and unslable. E' and E' are sometimes called
the stable and unslaMe subspaces of the hyperbolic flow.
 7. COHTRACI'IONB AND GENERIC PROPERTIES OP OPERATORS $3, OENrrUC P R O P M R m OF O-TDm

PROBLEMS

I. Let the eigenvaluea ofA E,L(R5)be 1, F , v . Not~cethat elA u, s hyperbolic flow

and sketch its phase portrait if:
(a) X < r < r < O ;
(h) X < O , , & = o + b i , o < O , b > 0 ;

(d) X < 0 < p -.

(c) X < O , ~ = o + b i , a > O , b > O ;

(e) A < r < O < r .

and A is sunisimple;

2. etAis hyperbolic il and only if for each z # 0 either

3. Show that s hyperbolic flow has no nontrivial periodic solutions.

$3. Generic Propestlea of Openton

Let F be a normed vector apace (Chapter 5). Recall that a set X F ia opcn
if whenever z E X there ia mn open bdl about z contained in X; that is, for some
o > 0 (depending on r) the open bdl about t of radiun o ,

IY E ~ ~ ( u - <za ll ,

ia contained in X. From the equivalence of n o m it follows that this definition is

FIG. B independent of the norm; any other norm would have the same property (for
perhaps s different radius 0 ) .
Ueing geametrieal language we say that if z belongn to an open ret X, any point
suMcientIy near to z also b e l o w to X.
Another kind of aubset of F ia s dnuc set: X C F is dense il wery point of F
ia arbitrarily clase to points of X . More precisely, il r E F , then far every * > 0
there exists some y E X with I z - y I < t . EquivalentIy, U n X is m p t y for
every nonempty open set U C F .
154 7. CONTRACTIONB AND GENERIC PRO PERT^^ or OPEIU~PDBB &3. GENERIC PROPERTIES 01. OPERATORS
155
,111 tnterwttng kind of subset ofX is aeet X C F which is both open and dense. It Prooj. We first prove 81 dense. Let T be an operator on Rm.Fix a bsais 61 put-
lS ~ , h i ~ r t t c t ~ ~ t ry~tllr
z r dk~llowingprolwrtim: every point In t h complement
~ ofF ting T in real canonical form.
,.;,Il 1 , ~ . : ~ ~ ~ ~ r , , rnrlr~trarlty t r d hy hw~ntsofX( k a u . . X is den*): but no
~ n ~ ~ ~rlorrly The real canonical form of T can be writkn as the aum of two rrutricm
1 ) , , 1 1 ~ 1 (11 .Y <,:inh. :~l>l~ro.r~tnntrtlarbitrarily closely by polnu In the complement
[lr.<,;t~~.s~- .Y I*open).
IIvrv is a simple axample of a dense open set in R': where

This, of course, is the complemntt of the hyperbola defined by zy = I. If %yo # 1

and I I - I,,1, I y - yo 1 are m a l l enough, then q # 1 ; this proves X open. Given
an) (10.yo) C R', we can find ( r , Y) as close as we like to ( 2 0 , YO) with q # I; thia
proves X dense.
;\lore generafly, one can show that the complement of any algebraic curve in
R' is dense and open.
A dense open set is a very fat set, as the following proposition shows:

Froponi t ion Let X,, . . . , X, be den= open aeb in F . Thm

x = xln '.. nx.

IS also dercse and open. and

P-J. It can be w i l y shown generally that the intersection of a finite number

of open sets is open, so X in open. To prove X dense jet U C F be a nonempty
open set. Then U n XI is nonempty since X I in dense. Because U and Xi are open,
U n XI is open. Since U flXI in open and nonempty, ( U n XI) fl XI is nonempty
because X, is dense. Since Xi in open, U n XI n X, is open. Thus (Un XI n Xt) n 4
is nonempty, and so on. So U n X i s nonempty, which proves that X is dense in F.
Now ronsider a subset X of the vector space L(Rm).It nukes sense to cat1 X
dense, or open. In trying to prove thia for a given X we may use any convenient
norm on L ( R m ) .One such norm is the 61-max norm, where Cd is a basis R-:
1) TIIa.,, = msx{)auII[aij] -&matrix of TI.

A property @ that refera to operatom on R* in a gene& pmpcrtvif the set of opers-

tom having property B contains a dense open set. Thu4 a property is generic if i t in
shared by some dense open set of operatom (and p e r h a p other operatom M well).
Intuitively speddng, a generic b one whicb "almoat all" operatom have.
The eigenvalues of T (with multiplicities) are A,, . . . , A,, and al . . .,
a, f ib..
Theorem 1 The sel SI of q m & s a R' Ihd hove n dwlind tigcnudw is h e Given t > 0, let
and ogerr in L(Rm). hi,.. ., C , a ;,..., d
156 7. CONTRhCI1ON8 AND GENERIC PROPERTIES O F OPERATORS

be distinct real numbers such that

The set of semisimple operators is nol open. For example, every neighborhood
IA:-AjI<e and ld-atI<c. of the semisimple operator I E L(R') contains a nonsemisimple operator of the
fonn [::I.
W e also have

Theorem 3 The set

+
and T' = S' N. Then the Q-max norm of T
values of T' are the n distinct numbers
- T' is less than r, and the eigen-
& = (T < L(Rm)I elT is a hyperbolic flow)
w upen and dense in L (Rm)
Proof. I n the proof of density of & in Theorem 1, we can take the numbem
A;, . . . , A:, a;, . . . ,d (the real parts of eigenvalues of T') to be no-; thin proven
density. Openness is proved by a convergence argument similar to (and easier than)
the one given in the proof of Theorem 2.

PROBLEMS
This i)rovt*nthat 81 is dense.
To provp that S1 is open we argue by contradiction. If it is not open, then there
is a sequence A,, A t , . . . of operators on Rg that are not in 81 but which converges 1. Each of the following properties defines a set of real n X n matriees. Ftod out
to an uprrator A in 8,. There is a n upper bound for the norms of the AI and hence which arts are dense, and which are open in the apace L(Rm)of d linear opera-
for their eigenvalues. By assumption eaeh A, has an eigenvalue Ak of multiplicity tors on R":
a t least two. (a) detetminant # 0 ;

At -
Suppose a t first that d l XI, are real. Passing to a subeequence wemay assume that
A E 8,. For each k, there are two independent eigenvectors zk, y, for A t be-
longing to the eigenvalue Ah. We may clearly suppose I s I = I yr I = 1. Moreover
(b) trace is rational;
(c) entries are not integers;
(d) 3 5 d e t e r m i m t < 4;
(e) - l < ( A I < l f o r e v e r y e i g e n v a l u e ~ ;
we may assume zr and y h orthogonal, otherwise replacing by
(f) no real eigenvalues;
(g) each real eigenvalue has multiplicity one.
Passing again to uubsequencen we may assume -t z and y, -,y. Then z and y 2. Which of the following propertien of operators on R- are generic?
are independent vectors. Fmm the relations A b z k = h z t and Atyt = XI# we find (a) I A I # 1 for every eigmvalue A;
in the limit that A z = hz and Ay = Ay. But thia contradicts A E 81. (b) n = 2 ; some eigenvalue is not real ;
If somp of the h are nonreal, the eame contradiction is reached by considering (c) n = 3; some eigenvalue is not real;
the complrxifications of the A,; now zk and yt are vectora in C". In place of the ( d ) no solution of z' = A z is periodic (except the zero solution) ;
Euclidean inner product on R" we use the Hemition inner product on Cmdefined (e) there an! n distinct eigenvalues. with distinct imaginary parts;
by (1, w ) = x7-I Z,I@~, and the corresponding norm I z I = (2, r)"'. The rest of the ( f ) A z f z a n d A z # - z f o r a l I z f 0.
argument is formally the same aa before.
3. The set of operators on Rmthat generate contractions is open, but not dense, in
Note that the operatom in SI are all seminimple, by Chapter 4. Therefore an L (R"). Likewise for expansions.
irnnrdinte consequence of Theorem 1 is
 155 7. CONTRACTIONS A N D GENERIC PROPERTIES O F OPERATUR8

4. A subset X of a v e c b r space is m ' d d if there are dense open sete A, C E,

k = 1 , 2 ,..., s u c h t h a t n A ~ C X .
(a) Prove the theorem of Bake:a residual set is dense.
n
(b) Show that if X1is residual, k = 1, 2, . . . ,then Xh is residual.
id) If the set Q C C is residual, show that the set of operators in R' whose
ri~envaluesare in Q, is residual in L(Rn).
Chapter 8
Fundamentul Theory
&t. 'L'he Significance of Genericity

I f an opr,rator A E I,(Rm) is semisimple, the differential equation I' = Az breaks

down into a number of simple uncoupled equations in one or two dimensions. If
the t*i~mvnlues of A have nonzero real p s r b , the differential equation might be
complicated from the analytic point of view, but the geometric structure of the
hyperbolic Row elA is very simple: it is the direct sum of a contrmtion and
an expansion.
In Section 3 we showed that such nice operators A are in s sense typical. Pre-
cisely, operators that generate hyperbolic R o y form a dense open set in L(Rn);
while the s ~oft semisimple operatorscontains a dense open set. Thus if A generates
s hypc*rbolicRow, so does any operator sufficiently near to A . If A does not, we can
approximate A arbitrarily closely by operators that do.
The significance of this for linear differential equations is the following. If there
is uncertainty as to the entries in a matrix A, and no reason to -me the contrary,
we might as well assume that the Row elA is hyperbolic. For example, A might be
obtained from physical observations; there is a Limit to the accuracy of the measur-
ing instmmenta. Or the differential equation z' = AE may be used as an abstract
model of some general physical (or biological, chemical, etc.) phenomenon; indeed,
differential equations are very popular as models. In this case i t makes little sense
to insist on exact values for the entries in A .
, I t is often helpful in such situations to assume that A is as simple aa poeible-
until compelled by logic, theory or observation to change that masumption. I t is
reasonable, then, b ascribe to A any convenient generic property. Thus it is com-
forting to assume that A is semisimple, for then the operator A (and the Row et*)
are direct sums of very eimple, d y analyzed one- and two-dimgnsional types.
There may, of course, be good ressons for not eauming a p&icular generic
property. If it is suspected that the differential equation z' = Az hss natumt
symmetry properties, for example, or that the Row must conserve some quantity
(for example, energy), then assumption of a generic property could be a mistake.
This chapter is more difficult than the preceding ones; it is also central to t h e
study of ordinary differeotial equations.We suggest that the reader bmase thrmyh
the chapter, omitting the p m f s until the pwpnae of the theorema begha to fit
into place.
01. D y m m i d Symtcme and Vector Rdds
A dynamical system is a way of describing the passage in time of all pointe of a
given apace S. The space S could be thought of, for example, as the spsce of sbtea
of mme phyeical system. Mathematically, S might be a Euclidean space or m open
subset of Euciidean w e . In the Kepler problem of Chapter 2, S was the set of
&ble poeitions m d velocities; for the planar gravitational central force problem,
A dynamical system on S tells ue, for z in S, where z is 1 unit of time later,2 units
of time later, and m on. We denote these new positions of x by z,, zl,respectively. At
time sero, z is a t z or b. One unit before time sero, z was a t z-I. If one exttnpohten
to hH up the real numbera, one obtains the tsajectory zt for aU time 1. The map
R + S, which sends 1 into z,, is a c w e in S that represents the tife hidory of z as
time runs from - m t~ m .
I t is asaumed that the n u p from R X S + S defined by ( I , r ) + z,is continuously
diflereotiable or s t lea& continuous m d continuously diflereatkble in 1. The map
+I: S -. S that takes z m b z, is defined for each t and from otu interpretation as
aka moving in time it is mmonsble to expect +, to have rrs an in- C,.Abo,
h should be the identity m d +,(+.(z)) = +,+.(z) is a natural condition (remember
+I(Z) = 23.
164 8. FUNDAMENTAL THEORI
$2. THE NNDAMENTAL TEEORXU 161
We formalize the above in the following definition: be developed In t h ~ chapter:
s (2) wlll be treated in Chapter 15. Our emphasis in
this book is completely on the autonomous esse.
-
A dynamic& b y a M is a C map R X S 2 S where 6 is an open m t of Euclidean
, map *,: 6 -r O satisfies
space and writing +(t, z ) + , ( I ) the
(a) .$a: % + S is the identity; $2. T h e F u n d a m e n t a l Theorem
( b ) The composition 6 , +,
= *,+,for each 1, s i n R,

(.'
S o t ? that th? definition implies that the map 6 , :O * O is C' for each t and has a
invrrsr .$-, ( t a k e s = - 1 in ( b ) ) .
.4n example of a dynamical system is impticitly and approximately defined by -
Throughout the rest of this chapter, E will denote a vector space with a norm;
W C E, an open set in E ; and j: W E a continuou map. By a d u l h d the

-
trp differential equations in the Newton-Kepler chapter. However, we give a pre- differential equation
cise example as foUows.
Lct A be an operator on a vector apace E ; let E = d and 6 : R X d s b e de-
, = elAz.Thus 6 1 :S d s can be represented by 6 , = e l A . Clearly,
f i n d by ~ ( 1 z) we mean a differentiable function
+O = 8 = the identity operator and eince ecl+*" = c'*e'*, we have defined a dy-
namical system on E (see Chapter 5 ) .
This example of a dynamical system is related ta the differential equation dz/dt =
defined on some interval J C R such that for dl t E J
A r on E. A dynamical ~ y s t e m6 , on s i n general gives riee to a differential equation u'(9 = f ( u ( O ) .
on S, that is, a vector field o n 8, f : s -.E . Here S is suppoaed to be an open net in Here J could be an interval of real numbera which in open, e l d , or brlf open, Iulf
the v ~ c t o space
r E. Given +,, define f by closed. That ia,
(a,b) = I t € R I a c t c b l .

thus for I in O, f ( z ) is a vector in E which we think of as the tangent vector to the

curve 1 + 6 , ( z ) a t t = 0. Thud euety dylnmicd system gives nire lo a diffetetctid
epuolion.
q'e may rewrite this in more conventional terms. If g , : 8 - s is a dynamieal and 80 on. Also, a or b could be m, but intervaLs l i e (a, m ] are not allowed.
system and r E 9, let x ( l ) = + , ( z ) ,and f : O-E be defined as in ( 1 ) .Then we Geometrically, u b a cwve in E whom tangent vector ul(t) equrls f(u(1)); we
may rewrite (1) as thinkofthisveetorasbssedatu(Q.Themapf: W - + E i s a v e e t o r f i e l d o n W . A
solution u m y be thought of as the psth of a particle that m o m in E m thst at
time t , it8 tangent vector or velocity is given by the value of the rector field a t the
) & ( z ) is the mlution curve of 0 ' ) satisfying the initial condition
Thus ~ ( 1 or
r(0) = z. There is a converae process to the above; given a differential equation
one has associated to it, an object that would be a dynamieal system if it were
poeition of the particle. Inugine a dust particle in a W y wind, for armple, a
an electmn moving through a e o r s t m ~magnetic
I , u'(U = f ( z ) .
t field. See Jso Fig. A, where u(4) -
drfined for all 1. This process is the fundamental theory of differential equations
and the rest of this chspter is devoted to it.
The equation (1') we are talking about is ealled a n aulonomaus equation. This

-
means that the function f doen not depend on time. One can alao consider a C
map f : I x W E where I is an interval and W is an open set in the vector space.
The equation in that ease is

rind is r111lr.d nonautonomous. The existence and uniqueness theory for (I1) will
 8. F U N D A M E N T A L THEORY
u. EXISTENCE A N D UNIQUENE-

solution

of the differentd equalion

z: ( - a , a ) - W

z' = f ( 4
satisfying the initial condition
z(0) = 4.

We will prove Theorem 1 in the next section.

53. Existence a n d V ~ q u e n e s s

-
FIG. B
A function f : W +E, W an open w t of the norrned vector apace E , is aaid to be
An initial condition for a solution u :J W is a condition of the form u ( b ) = Q Lipschitz on W if there exists a constant K such that
where b E J, € W. For simplicity, we usually take = 0 .
A differential equation might have several solutions with a given initial condition.
For example, consider the equation in R, for all z, y in W . We call K a Lipschifz constant for f .
We have aasumed a norm for E. In a different norm f will stffl be Lipsehitz be
2' = 391a. causeof the equivalence of norms (Chapter 5) ;the constant K m y change, however.
Hrre 1V = R = E , f : R +R is given by f ( + ) = 39'. More generally, we call f locoUy Lipsdrila if each point of W (the domain of f )
The identically zero function uo: R 4 R given by % ( t ) = 0 for all t is evidently has a neighborhood W. in W such that the restriction f I W Ois Lipschita. The Lip
a solution with initial condition u ( 0 ) = 0.But so is the function defined by z(L) = schitz constant off I Womay vary with WO.
1" The graphs of some solution curves are shown in Fig. B.
Thus it is clear that to ensure unique solutions, extra conditions must be imposed
on the function f . That f be continuously differentiable, turns out to be sufficient,
Lemma Let Ihe function f : W - E be C. Then j is i d l y Lip&&.

as we shall see. Thus the phenomenon of nonuniqueness of sohtions with given Before giving the proof we recall the meaning of the derivative D f ( r ) for x € W.
initial conditions is quite exceptional and rarely arises in practice. This is a linear operator on E ; i t aasigna to a vector u € E, the vector
In addition ta uniqueness of solutions there is the question of existence. Up to
1
this point, we have been able to compute solutions explicitly. Often, however, this
is not possible, and in fact it is not a priori obvious that an arbitrary differential
D f ( z ) u = lim - ( f ( z
.4 8
+ ar) - / ( z ) ) , a € R,
equation has any solutions a t all. which will exist if D f ( z ) is defined.
We do not give an example of a differential equation without a solution because .
In coordinates ( I , , . .,r.)on E, let f ( z ) = (f,(11, . . ., c.), . .., f . ( z ~ , ..., I . ) ) ;
in fact ( I ) has a solution for all initial conditions provided f is continuous. We then D f ( z ) is repres~ntedby t h e n X n matrix of partial derivatives
shall not prove this; instead we give an easier proof under hypotheses that also
gunrantrc uniqueness.
Thr following is the fundamental loesl theorem of ordinary differential equationi. Convrrscly, if all the partial derivatives rxist and are continuous, then f is CL.For
I t is called a "local" theorem bemuse it de& with the nature of the v e c h field each r: E W, therc is defined the oprrator norm I( D f ( r ) 11 of the linw operator
f : W 4 E near some point Q of W. D f ( z ) E L ( E ) (ace Chapter 5 ) . If u E E, then

Theorem 1 Lcl W C E be an open arbset of a naned veclor space, f : W + E a O

(continuously differdiable)map, and E W.Then t h e is some a > 0 and a unique
(1) IDf(x)uI 5
-
II D f ( ~ ) lI l I .
That f : W + E is C1implia that the map W L ( E ) which sends I + D f ( z ) is a
continuous map (see, for example, the notes a t end of this chapter).
 w. EXISTENCE A N D UNIQUENELI.

Xext, we prove that there is a constant L 2 c such that for all k 2 0: (by uniform convergence)
I w + I ( ~ - u ( l ) l 5 (Ka1.L.
Put L = max(1 u ~ ( t-
) %(f)l:I I I 5 a ) . We have
= *+ l f ( Z ( 8 ) ) &

(by continuity off).

Therefore z: J 4 WOsatisfies ( 4 ) and hence is a solution of (a). In particular,
z:J+WoisC.
5 l~I Ul(a) - %(6)1
This takes care of the existence part of Theorem 1 (of Seetion 1 ) and we now
prove the uniqueness part.
Let z, y; J + W be two d u t i o m of ( I ) satisfying z ( 0 ) = p(0) = y where
< aKL. we may suppose that J is the closed interval [-a, a]. We will &ow that z(d) =
.4ssuming by induction that, for some k 2 2, we have already proved y ( f ) for all I E J . Let Q = max,.~I z(1) - y(l)[. This maximum is attained a t
Iu;(f)-u;-~(l)l<(aK)~'L, )II<a, some point f l E J . Then
we have

5 KLI -w-I(~)I~.
< (aK) ( a K ) h 1 L= (aK)'L.
Therefore we aee that, putting aK =a < 1 , for 8nY r >8>N
5 aKQ.
Since aK < I , this is impossible unless Q = 0. Thus

for any prescribed e > 0 provided N is large enough. Another proof of uniqueness followa from the le- of the next seetion.
By the lemma from analysis, this & o w that the eequence of functions uo, ul, ... We have proved Theorem 1 of Section 2. Note that in the c o w of the pmof
converges uniformly to a continuous function z : J 4 B. From the identity the following was shown: Given m y ball We C W of radius b &out with
max.cw, I f ( z ) J5 M , where f on Wo has Lipschit. constant K and 0 < a <
mini b l M , l / K 1, then there is a unique solution z: (-a, a ) 4 W of ( 3 ) such that
%.(I) = + je f(l(t(8)) da,
z ( 0 ) = I+.
we find by taking limits of both Bides that Some r e m a r b are in order.
Conaider the situation in Theorem 1 with a C' map f : W -+E, W open in E.
Two sduliun c u m of z' = f ( z ) eonnd cross. This is an immediate eonseguenee of
uniqueness but is worth emphasizing geometrically. Suppose p: J -,W , $: J I -r W
are two solutions of z' = f ( z ) such that p(t,) = S(h). Then p(h) in not a c w
+
because if we let J.l(t)= J.(h - II t ) , then $1 is also a solution. Since +,(t~) =
$ ( h ) = ~ ( L L ) ,it follows that $I nnd p agree near tg by the uniquenem atstement of
Theorem 1. Thus the aituation of Fig. A is prevented. Similarly, a eolution curve and so
cannot cross itself ss in Fig. B.

As k --+ m , ur(f) converges to

which is, of course, the solution of our Mjginal equation.

FIG. A FIG. R
If, in fact, a solution curve cp: J -+ W of z' = f(z) satisfies ~(11)= v(C
for some I, and w > 0, then that solution curve muat close up as in Fig. C.
M. Continuity of solution^ i n Initid Gnditions
+ w)
For Theorem 1 of Section 2 to be a t all intereating in any physical sense (or even
mathematically) it needs to he complemented hy the property that the solution
r(l) depends continuously on the initial condition z(0). The next theom gives s
precise statement of thin property.

Thmrcm Lel W C E be open and suppose f: W -+ E has Lipddrik caulonl K.

Let y(t), z(I) be solufias fo
FIG. C
(1) z' = f (2)
Let us see how the "iteration scheme" used in the p m f in thin section applies
to a very simple differential equation. Consider W = R andj(z) = z, and seareh an Ihe doaed inLnval [b, fl). T h ,jm aU r E [b, rl]:
for a solution of z' = z in R (we know already that the solution z(t) satisfying
z(0) = o is given by z(1) = 14).
Set
% ( t ) = a, The proof depends on a useful inequality (Gronwd's) which we prove M.

Lemma Lel u: [0, a] --r R be cunfinuow and nonnegative. Suppose C 1 0, K >0

are auch lhal

u(1) 5C + ltKU(S)&
0

fm all 1 E [0, a]. Thm

u(1) 5 ceca
j~ 4U 1 f [0, a].
 55. O N EXTENDING SObUTIONB 171

Prwf. First, duppose C > 0, let 05. On Extending Solutions

Lemma Lel a (? map f: W --t E be @ven. Suppace two adulioM u{f), ~ ( f Of )

then z' = f ( ~ )are deJFned on & same open inlertlol J conlaining 4 and d f y u(4) =
~ ( 4 )Then
. u(f) = v(f) for dl f E J .
u(r) 5 U(9.
B? ditTr,rentiationof Ll we find We know from Theorem 1 of Section 2 that u(l) = v(f) in some open interval
u'(f) = Ku(f) ;
around 4. The union of d l such open intervals is the largest open interval J* in
hence J around I, on whieh u = v. But J* must equal J . For, if not, J* has an end point
1, E J ; we suppow 11 is the rightrhand end point, the other ease being aimilsr. By
continuity, u(k) = u(fl). But, hy Theorem 1 of Section 2, u = 0 in some J', an
interval around f,. Then u = v in J' U J' whieh ia larger than J*. This contradiction
Hence proves the lemma.

There is no guarantee that a solution z(r) to a differential equation can be de-

fined for all f. For example, the equation in R,
z'=1+z',
has as solutions the functions
hy integration. Since U(0) = C, we have by exponentiation
z = tan(f - c), c = constant.
and 80 Such a function cannot be extended over an interval larger than

1f C = 0, then apply the above argument for a sequence of positive c, that tend
to 0 ss i --+ m . This prove4 the lemma.
*
fflnce x(f) --t m as f -+c f r / 2 .
We turn to the proof of the theorem. Now consider a general equation (1) z' = f ( z ) where the C function f ia defined
Define on an open w t W C E. For each 20 E W &re is a mazimum upen intend (a. 8 )
M i n i n g 0 on which h e w a 8dU1Mn. ~ ( f with ) x(0) = 4 There ia some such
~ ( 1 )= I ~ ( 1 )- 0 ) I. interval hy Theorem 1 of Section 2; let (a, 8) be the union of aU open intervnb
Since
containing 0 on which there is a solution with z(0) = 4.(Pomibly, a = - m or
Y(O - ~ ( =0~ -
( u zio + /' [firw ) - f m )) I & . 8 = +a,, or both.) By the lemma the solutions on any two intervds in the union
agree on the i n t e m t i o n s of the two intervals. Hence there ia a solution on all of
we have (a,8).
Next, we investigate what happens to a solution as the limits of its domain are
approached. We state the result only for the right-hand limit; the other caae ia
similar.
Now apply the l m a to the function u(f) = v(b + f) to get
Theorem Let W C E b e o p e n , letf: W - + E b e a C m a p .W y(f) beard&
"(9 I V(b) exp(K(t - 4 ) ) , on a m a d open inlnvcll J = (a,8) C R wiUl 8 < m . Then piDm any wmpoct
which ia just the conclueion of the theorem. aef K C W, there w sonw f E (a, 8) mMIhy(L) 4 K.
then it leaves any compact &.
boundary of W or I y(f)\ Lnds to - {or both).
-
This theorem rays that if a solution y ( t ) cannot be extended to a brger interval,
This i m p b that aa f @ e i t k ~ ( f Unds
) Lo the Prooj. Let [0, 8) be the msldmal half-open intend on which t h e n is rr mlution
y as above. Then y([O, 8 ) ) C A, and so 8 Cannot be h i t . by the theorem.
Proof of the theorem. Suppose y (f) E K for dl f E (a,8). Sincef M continu-
ous, there &ta M > 0 such that 1 f ( z ) J _< M if z E K.
Let 7 E (a, 0). Now we prove that y extends to a continuous map [r, a ] -r E. 66. Global Solutions
By a lemma from analyeis it aufficestto prove y: J -* E uniformiy continuous. For
1, < 11 in J we have
We five here a stronger theorem on the continuity of mlutiona in terms of initid
conditions.
I n the theorem of Section 4 we assumed that both m l u h were defined on the
same interval. I n the next theorem it is not necesssry to sssume thia. The theorem
showa that enlutiona atsrting at nearby points will be d e b e d on the m e closed
interval and remain nesr to each other in thia interd.
Now the extended curve y: [a, 814 E M differentiahle a t 8. For
Theorem led f(z) be C . Let y(f) be a adulh to i = f(z) d c f i d OI Lhs M
i& [b, f,], loilh y(b) = YO. Then is a nkghborhood U C E of y, a cudad
K w h Ihd if z, E U , fhm h e is a unique udulh z(l) nbo defined on 14, f,] with
z(L) =s;andxrolyfirs
1 y(f) - r(f)I < K I yo - Y I exp{K{f - 4 ) )
for ad 1 E CL,a.
For the proof we will uee the foUowing lemma.
hence ord
Lemma I f f : W -+ E is locally Lipwhdz and A C W is a m@
bounded) a d , llrm f I A is Lipbchh.
P-f. Suppose not. Then for ewry K > 0, no matter how Isrge,we aro find
for all f between 7 and 8. Henee y M differentiahle at 8, and in fact y'{B) = f(y{p)). z and y in A with
Therefore y ia a solution on [r, 81. S i c e there ia a dution on an interval D, a), If@) - f(y)I > K I z - Y I.
b > 8, we ean extend y to the interval {a,4). Renee (a,8) could not be a maximd
domain of a solution. This completes the p m f of the theorem. In particular, we cam find z., y. 811th that
(1) If(&) - f b . ) l L n I ~ . -y.I for n = 1, 2 , . . . .
The following important fact follow8 immediately from the theorem.
Since A is compact, we ean choose convergent subsequmw of the Z. and fi
wabeliag, we may aesume I.-+ 2 and y. -r y' with 2 and y' in A. We 0km-a
Prq-~tion L c l A b e a ~ ~ o f L h s o p o l s c l W C E a dW
~ -f+:E that z* = y*, eince we have, for dl n,
beC. Lely.
Y: CO, el -
E A andsu~ilisknown~mrl(adulirmnrrucafLhsfm
w,
lied mlirdy i n A. Then thore u a dulia
-
~ ( 0 ) %,
.--
I I* - ) = lim.1 z. - y. 1 5 n-I I f(z.j - f(y.)( 5 n-'2M,
where M ia the maximum value off on A. There ia a neighborhood W. of 2 for
which f I W,has a Lipschit5 constant K in t. There ia an n.pleh that I . € We if
v:[o,-)-W, y(O)=yh and y(t)EA n 2 np. Therefore, for n 2 n.:
f w d f 20. If(z.) -f(y.)l 5 Kt?. -u-In
which contradicts (1) for n > K. Thb proves the lemma.
 $7. THE F L O W O F A DIFFERENTIAL EQUAfON

The proof of the theorem now goes as follom Let n C R X W be the following set:
By campaetnees of [b h], there exieta e > 0 such that z E W if I z - y ( f ) 1 5 t.
The set of dl such points is a cotnpnet subset A of W. The C map f is
locally Lipacbits (Section 3). By the lemma, it follona that f I A has a Lipschita The map ( t , y) -+ 0(1, y ) is then a function
constant k.
I r t a > 0 be so amall that 6 $ c and b exp(k I h - b 1) 5 t . We aeaert that if +:n+ w.
1 % - y, I < 6, then there is a unique solution through 4 defined on all of [4, 111. We call + the Pow of equation ( 1).
Fit of all, s E W since 14 - y(b)l < r , so there is a solution s(1) through zo on We shall often write
a tneximal interval [b, 8 ) . We prove 6 > 4. For mppcee 8 5 4. Then by the ex- o(1, 2 ) = Ol(2).
ponrntial rtstimate in Section 4, for d l 1 € [ b , @),we have
Example. Let f ( z ) = Az, A E L(E).Then +t(z) = cUz.

Theorem 1 The map + has the f W n g property:

Thus z(t) lies in the compact set A ; by the theorwl of Section 5, [b, 8 ) could not
be a solution domain. Therefore ~ ( 1 is) defined on [to, h ] . The exponential Proof.Fit,suppoee s and 1 are positive and +.(+,(z)) is defined. Thia m e w
estimate follons from Section 4, and the uniquenew from the lemma of Section 5. and a E J(+,(z)). Suppoee J ( z ) = (a, 8). Then a < 1 < 8 ; we 8hall
f € J(z)
We interpret the theorem in another way. Given f ( z ) as in the theorem and a show @ >s + f. Define
solution y (t) defined on [ b , t,], we 8ee that for all 4 d c i e n t l y cloee to yo = y(b), y: (u,s+1]-+W
there is a unique solution on [f., t1] starting a t a at time sero. Let us note thin
solution by t -+ u ( l , 4 ) ; thus u ( 0 , ~ =
) a,m d ~ ( fy.)
, = y(1).
Then the theorem implies:

Then y is a solution and y(0) = z. Hence s + t E J ( z ) . Moreover,

uniformly on [b, 41. In other words, Uw sdution through
on 2".
4 dtpolds eonlinwwly
+
+a+t(z) = ~ ( 8 1) = +.(+s(z) 1.
The rest of the proof of Theorem 1 uses the same ideas and is left to the reader.

$7. T h e Flow of a DUlemntlrl Equation

Proof. To prove O open, let (4, a ) € SI. We suppcee b 1 0 , the other caae
being aimilar. Then the solution curve t -+ + ( t , s ) ie defined on [ O , 4 ] , and hence
In this emtion we consider an equation +
on an intend [ - t , f. t ] , t > 0. By the theorem of Section 6, there i s &neighbor-
hood U C W of s such that the solution 1 -+ 641, z ) ie defined Jn [ - t , b c] +
(1) z' = l ( z ) +
for all z in U.Thus ( - r , fo t) X U C 0 , wbich prove3 n open.
To prove +: 0 -+ W continuous at (4, a ) , let U and f be as above. We m y m ~ p
defined by a C function f : W + E , W C E open.
pose that U has compact closure 0 C W. Since f is locally L i p h i t s and the set
For each y EIW there ia a unique solution Q(1)with Q(0) = y defined on a maxi-
mal open interval J ( y ) C R. T o indicate the dependence of + ( f ) on y, we write
A = +([-t, b + e] X 0 ) is compact, there is a Lipschits constant K for f 1 A .
L e t M = m a x ( l f ( z ) I : z E A J . L e t 8 >Osstisfy8 < ~ , a n d i f ( z ~ - < & , t h e n
zt E U . Suppose
It1-bI<6, I Z I - ~ [ < ~ .
 67. TKE FLOW O F A DIPPERENTIAL EQUATION

Then PROBLEMS

1. Write out the first few terms of the Picard iteration scheme (Setion 3) for
The second term on the right goes to 0 with 6 b e c s w the solution through s is each of the following initial value problrm. Where possible, use any method
co~itinuous(even differentiable) in t. The first term on the right, by the estimate to find explicit solutions. Discuss the domain of the solution.
in Section 6, is bounded hy I S 8 which alao goen to 0 with I. This proves Theorem 2.
+
( a ) r' = t 2; t ( 0 ) = 2.
(h) 2' = 9,';t ( 0 ) = 0.
In Chaptcr 16 we shall show that in fact 4 is C.
(c) I' = x'"; r ( 0 ) = 1.
S o w suppose ( 1 , 10) E O; then 4 haa a neighborhood U C W with t x U C 0,
(d) r' = sin z ; z ( 0 ) = 0.
sinrc wr know O is open in R X W. The function z -r 4t(1) defines a map
( e ) t' = 1 / 2 7 ; z ( l ) = 1.
2. Let A be an n X n matrix. Show that the Picard method for solving z' = At,
z ( 0 ) = u gives the solution etAu.
3. Derive the Taylor aeriea for sin t hy applying the P i e d method to the f i a t
Theorem 3 The map 4 , sends U MUO an open #el V and 6 ,ti defined on V and order system corresponding to the second order initial value problem
sends V malo U.The oompodilimr &,#, ti the identity map of U ; the wmposition +,&I
is the idmlily map of V .
P r m f . If y = + , ( z ) ,then t E J ( z ) . I t M easy to see that then - 1 E J(y), 4. For each of the following functions, find a Lipschits constant on the region
for the function indicated, or prove there is none:
8-+ A - ~ ( Y ) (a) f ( r ) = 1 1 1 , - - < z < -.
(h) f ( r ) = rl/', - 1 <_ z _< 1.
is a solution on [- t, 0 ] sending 0 toy. Thus 4-1 in defined on 4 , ( U ) = V; the state- (c) f ( t )= l / z , 1 5 z 5 -.
mrnt ab~nltcompositions ia obvious. I t remaim to prove V is open. Let V* V > (d) f ( z , y ) = ( Z + ~ Y , --I), ( Z , I ) E R'.
hc. tlrr rnaximal suhset of W on which 4-, is defined. V * is open because O is open,
and 0-,: V b-r W is continuous because 4 is continuous. Therefore the inverse
image of the open set U under 4-, is open. But this inverse image is exactly V.

We summarize the results of this section: 5. Consider the differential equation

Corresponding to the autonomous equation t' = f ( t ) , with loeally Lipschits = z"'.
f : W -+ E, there is a map 4 : O + W where (t, z ) C O if and only if there is a 801~-
tion on CO, t ] (or [t, 0 ] if i < 0 ) mding 0 t o t . The set O is open. + is defined by (a) There are infinitely many solutions satisfying z ( 0 ) = 0 on every in-

-
letting 1 -+ + ( ( I ) = +(t, z ) be the maximal solution curve taking 0 to a. Tbere
is an open set U ,C W on which the map 6,:U , W is defined. The maps +, satisfy
O,+,(z) = &+,(I) as in Theorem 1. Each map 6 , is a homeomorphism; that b,6,
ternal [O, 81.
(b) For what values of a are there infinitely many solutions on [O, a ] satisfy-
ing z ( 0 ) = -1?
is one-bone and has a continuous inveree; the i n v e m is 4-1.
6. Let f : E + E be continuous; suppose f ( x ) _< M . For each n = 1, 2, . . . , let
If
z,: [0, I ] -+ E be a solution to r' = f ( z ) . If ~ " ( 0converges,
) &ow that a
f(r) = At, A E L(E), subsequence of Ix.1 converges uniformly to a solution. (Hint:Look up kseoli's
then theorem in a hook on analysis.)
* , ( z ) = c"z.
7. Use Prohlem 6 to show that continuity of solutions in initial conditions fol!ows
In this case O = R x E and each 4 , is defined in all of E. from uniqueness and existence of solutions.
8. Prove the followinggeneral fact (seealso Section4) :if C 10 and u, v: [O, 81 -r apectively. Consider C maps f, g,
R are continuous and nonnegative, and

The chah rule of calculus can be stated as: the derivative of the componition ia the
composition of the derivatives. In other words, if z E U, then
then

u(f) 5 CeV(l1, V(f) = l"(*)

&. Consider the caee where F = R and U is an interval;writing f
the chain rule reads
E U , f (f) = w(1),
9. Define f : R 4 R by (sd)'(f) = D g ( f ( 9 ) ( f ( 9 ) .
f(z)=l if 2 5 1 ; f(z)=2 if z > l . I n case H also equab R, the formula becomes
There is no eolution to z' = f(z) on any o p n interval around 1 = 1.
10. Let g: R -+ R be Lipnchitz and f: R 4 R continuous. Show that the system For more details on this and a further development of calculus don# these linea,
2' = g(z), see S. Lang's Seumd Carre in Calnrlus [12]. S. Lang'a A d y a k I [I13 dno coven
these que-ationa as well as the lemma from analyaia used in Section 3 and the uni-
Y' = f(z)y, form continuity statement used in the proof of the theorem of W o n 5.
has a t most one solution on any intervd,for s given initial value. (Hint; Wee
Gronnall's inequdity .)

Out treatment of calculus tends to be from the modem point of view. The deriva-
tive is viewed as a linear translomrstion.
Suppose that U is an open set of a vector Vace E and that g: U -+ F ie m e map,
F a second vector space. What is +he derivative of g a t a E UO?We my that this
derivative exista and is denoted by & ( a ) E L(E, F) if

Then, if, for each z E U, the derivative Dg(z) exists, this derivative defines a
map

If this map ia continuous, then g is mid to be C. If this map is C itself, then g is

said to be C1.
No<\.suppose F, G, H are three vector spaces and u, v are open & of F, G, re-
 61. NONLINEAR SINK8 I8 1

some physical (or biological, economic, or the like) system described by ( I ) , then
2 is an "equilihrium state": if the 8ystem is a t 2 it alwaye will be (and alwap
was) a t 2.
Let +: n -+ W be the flow associated with (1) ; D C R X W is sn open aet, and
Stability of Equilibria for each z E W the map t -+ +(L, z) = +,(z) is the solution p w i n g through z when
I = 0;it ti defined for I in some open interval. If i is an equilihriurn, then +,(t) = i.
for all t E R. For this reaeon, t is also called a alalianary poinf, or frud point, of

Then the origin 0 E R

I n tbi chapter we introduce the important idea of slobilily of an qrilibrium
pol111of a dynarnical system. In later chaptera other ' h d s of stability will be dh-
cussed, such as stability of periodic solutions and stnrctural stability.
An equifihrium Z in slablc if all nearby mlutiona stay nearby, It is o s p p t d d y
stable if all nearby solutions not only stay nearby, but also tend to Z. Of coum,
prrcisr definitions are required; these are given in Section 2. In Section 1 a special
kind of asymptotically stable equilibrium ia studied first: the rink. This b charm-
terized hy crprmenlial approach to I of all nearby solutions I n Chapter 7 the
special ease of linear sinks was coddered. S i b are useful because they can be
detpcted by the eigenvaluea of the linear part of the syatem (that is, the derivative
of the vector field a t 2).
In Section 3 the famous stability thsorems of Liapunov are proved. This section
also contains a rather refined theorem (Theorem 2) which u not e n t i n 1 for the
rrst of thp book, cxcept in Chapter 10.
Sections 4 and 5 treat the important epedal case of gradient flows. These have
special properties that make their analyeis fairly simple; moreover, they are of
frequent occurrence.
-
the flow. Another name for d is a zero or mngular poi& of the vector field f.
Suppose f is b e a r : W = R ' and f(z) A t where A is a linear operator on Re.
' is an equilihrium of (1). In Chapter 7 we saw that when
A < 0 is greater than the real parts of the eigenvalues of A, then mlutiona +,(z)
approach 0 exponentidly :
I ( ~ 4 2I )< C@'
for some C > 0.
Now auppae f is a C1 vector field (not necessarily linear) with equilibrium
point 0 E Rm.We think of the derivative Dj(0) = A of f a t 0 as a linear vector
field which approximatea f near 0. We call it the l i m r part o f f a t 0. If all eigen-
values of Dj(0) have negative r e d parts, we call 0 a rink. hlore generally, an
equilihrium d of (1) is a sink if all eigenvslues of Df(z) have negative real parts.
The following theorem says that a nonlinear sink d behaves locally like a linear
aink: nearhy solutions approach i exponentially.
Theorem Let 2 € W k a rink o j epudion (1). Suppose eipewdue of Df(2)
haa real part less than -c, c > 0. Then lhere is a neighborhod U C W of Z acch that
(a) 4,(1) is duf;ned and in U for all z E U, t > 0.
(b) Them is a Eudideon norm on R. mceh that
f o r d 2 E U,'L 2 0.
(c) For any norm on R., there w a caslonl B > 0 sueh that

$1. Nonlinenr Sinks In parh'mhr, ~ ~ ( --r

z Z) as t - m for aU z E U.
Prwj. For convenience we sssume f = 0. (If not, give R ' new coordinates
Y = Z - F , in y-coordinates f haa an equilibrium a t 0 ; etc.)
Cotlsidrr a differential equation Put A = Df(0). Choose b > 0 so that the real parts of ejgenvalues of A are
(1) I' = f(z); f: W -+ R*; W C Rmopen. 1- than - b < -c. The lemma in Chapter 7, Section 1 shows that R . haa a hssia
cB whose correapondmg norm and inner product satisfy
W r suppose f ia C.A point 3 E W is d e d an equilibrium point of (1) if f ( i ) = 0.
C l ~ a r t ~the
. conatant function ~ ( t )I i. is a solution of (1). By uniqueness of (Az, z) < -b lzl'
solutio~~s, no other mlution curve can pass through 2. If W is the sta* space of for all I E R'.
1s2 9. GTABILITY O F EQUILIBRIA it. N O N L I N E A R SINICE
183

Sinrr, -4 = D/(O) and f(0) = 0, by the deftnition of derivative, Remernher that the spheres are not necessarily "mud" spherea; they are apheres
in a special norm. In standard coordiites they may be ellipsoids.
A simple physical example of a nonlinear sink is given hy a pendulum moving in
a vertical plane (Fig. B). We assume a constant downward gravitational force
Therefore hy Cauchy's m e q u d t y , equal to the mass m of the boh; we neglect the mass of the rod supporting the

lii
U(z) - Az,z) = 0,
hoh. We =ume there is a frictional (or viscous) force resisting the motion, pro-
portional to the speed of the boh.
rO IZI' Let 1 he the (constant) length of the rod. The boh of the pendulum moves along
I t f o l l o ~ sthat there exists I > 0 so m s l l that if I z I 5 6, then z E W and a cirrlr of radiw I. If B(f) is the countrrclockwiw angle from the vertical to the
rod a t timr f , then the angular vclocity of thr bob is @/dl and the veloeity is
U(z), z ) 5 - C I z 1.'
1 &/dl. Therefore the frictional force is -kl &/dl, k a nonnegative constant; this
1'utrr= IrE~"~/r(I6).Letz(f),O<f<b,bea~olutioncuweinU, force is tangent to the circle.
~ ( #0 0. Then The downward gravitational force m has component -m sin B(f) tangent to the
circle; this is the force on the boh that produces motion. Therefore the total force
tangent to the circle at time f is

Hence, since z' = f (2) :

The acceleration of the bob tangent to the circle is

This shows, first, that I z(f) I is d e e m i n g ; hence I r ( f ) I E U for all f E [O, 41.
S i c r U is compact, it follows from Section 5, Chapter 8 that the trajectory z(f)
is defined and in U for all f 1 0. Secondly, (2) implies that
hence, from Newton's law a = F/m, we have
I W ) I 5 e-'* I Z(0) I
for all 1 2 0. Thus (a) and (h) are proved and (c) follows from equivalence of
norms.
The phase portrait. a t a nonlinear sink Z looks like that of the linear part of the
vector field: in a suitable norm the trajectories point inside all uufficiently s d
epheres about f (Fig. A). P'= k 1
sin e.
m
Introducing a new variable
w = P

FIG. A. Nonlinear sink. FIG.B. Pendulum

1 S4 9, BTABILITI
O F EQUILIBRIA

{interpretd as angular velocity), we o h t i n the equivalent first order system hut its motion is too m a l l to observe. A better explanation is that the msthematical
'6 = 0,
model (3) of its motion is only an apgroximation to reality.
(3)

PROBLEMS
This aonlinrar, autonomous equation in R' has equilihria a t the points
1. (a) State and prove a converse to the theorem of Section 1.
(h) Define "sources" for nonlinear vector fields and prove an interesting
theorem about them.
We concentrate on the equilihrium (0,O).
The vector field defining (3) is 2. Show hy example that if f is a nonlinear C vector field and f(0) = 0, i t in
possible that lim,-, z ( t ) = 0 for all solutions to z' = f (z), without the eigen-
values of Df(O) having negative red park-.
3. h u m e f is a C vector field on R ' and f(0) = 0. Suppme m e eigenvalue of
Its derivative a t (8, w) is Df(0) has positive real part. Show that in every neighborhood of 0 there is a
solution z(f) for which ( z(f) I ie increasing on some interval [O, 43, 4 > 0.
4. If Z L a sink of a dynamical aystem, i t has a neighborhood containing no other
equilibrium.

Hence
$2. Stability

The study of equilibria plays a central tole in ordinary differential equations

with eigenvalues
Thr real part - k / 2 m is negative as long as the coefficient of friction k is positive
and the mass is positive. Therefore the equilibrium 8 = 0 = 0 is a sink. We con-
clude: for all sufficiently small initial angles and velocities, the pendulum tends
toward the equilibrium position (0, 0 ) .
This, of course, is not surprising. In fact, from experience it eeem obvious that
from any initial position and velocity the pendulum will tend toward the down-
a-ard equilibrium state, except for B few 8g- statea which tend toward the
vertically halanced position. To verify this physical conclusion mathematically
takes more work, however. We return to thin question in Section 3.
I3rforr leaving the pendulum we point out a paradox: Me @durn cannd unnc
to r e ~ l That
, is, once it is in motion--not in equilihrium-it cannot reach an equi-
librium state, hut only approach one arbitrarily claaely. Thie follows from unique-
nem of solutions of differential equations! Of couree, one knows that pendulums
actually do come to reat. One c a n argue that the pendulum is not "redlyJ' at rest,
and their applications. An equilibrium point, however, must sstisfy a certain -
stah'iity criterion in order to be very significant physically. (Here, as in aeverd
other places in this book, we use the word phy& in a hroad n e w ; thus, in some
contexts, physiml could be replaced hy bidapical, chemical, or even ccolopicol.)
The notion of stability most often considered is that ugually attributed to
Liapunov. An equilihrium in atable if nearby solutions stay nearby for dl future
time. Since in applications of dynamical aptems one cnnnot pinpoint a state
exactly, hut ouly approximately, an equilihrium must be stahle to be physically
meaningful.
The mathematical d e f i ~ t i o nis:
Definition I Suppme i E W is an equilibrium of the differential equation
where f : W + E is a C1 map from an open aet W of the vector space E into E.
Then Z is a a& equilibrium if for ewry neighborhood U of 2 in W t h e n ia a
neighborhood Ul of 2 in U such that every solution z ( f ) with z(0) in U,is dedned
and in U for all 1 > 0. (Sec Fig. A,)
 9, STABlLlTi OP EQUILIBRIA

equation
(2)
where A has pure imaginary eigenvalues. The orbits are all ellipses (Fx.D).

L
A. FIG. Stability.

DcGdtion 2 If (/I can be chosen so that in addition to the properties described

z(L) = 2, then Z is ~ p t d i o a u yslable. (6ec Fig. B.)
in Definition 1, h,,,
FIG. D. Stable, but not aaymptotidy atrbk.

The importance of this example in application is limited (despite the famed

harmonic oscillator) because the slightat nonlinear perturbation ail destroy its
character. Even a smsll linear perturbation can make it into a aink or a murce
since "hyperbolicity" is a generic property for linear flow6 (aee Chapter 7).
A source is an example of an unstahle equilihrium.

u FIG. B. Asymptotic ntrbil'ity.

To complement the main theorem of Section 2 we have the f o l l o instshility
theorem. The proof L not essential to the rest of the book.
~
..-

Theorem Let W C E be open and f: W + E wnlinuowly diffucntioble.Supporc

Definition 3 An equilibrium Z that is not etable in called unslable. This means
f (5) = 0 and Z is a s* cpuilibrium poinl of the epudiun
thrrc i~ a neighborhood U of Z such that for evmy neighborhood Ul of Z in U, there
is a t leaat one solution z(t) e t d n g at ~ ( 0E) U,,which does not lie entirely in U. 2
' = f (2).
(See Fig. C . ) Then no eigenuoluc of Df(Z) hos positive real part.

We say that an equilihrium e is hyperbolic if the derivative Df(Z) has no &an-

vdue with real part zero.

Corollary A hypmbdie equiltbiurn poinl ti eiUler UMW

o r asp@&nUy

Proof c$ the theorem. Sup- some eigenvaluc has positive red p t ; we

shall prove z is not stable. We may m e Z = 0, repkeing f(z) by j(z- f)

invariant under Df(0), uuch that eigenvaluca of A -

othenvise. By the canonical form theorem (Chapter 2), E baa a splitting El B.
D/(O)Ih dl have poritha
real part, while t h w of B = Df (0)1 Er all have negative or 0 real part.
FIG. C. lnstsbility.
Let a > 0 be such that wery eigenvalue of A hss real part >a IbI tbcrr is
A sink is ssymptotically staMe and t h d o r e stable. An example of an equi- a Euclidean norm on El such that
hrium that is stahle but not asymptotically stable is the origin in R' for a linear (3) (Az,I) > a l l 1 , all z E El.
I<< 9. STABILITY O F EQUILIBRIA

Sin~ilnrly,for any b > 0 there exists a Euclidean norm on El such that Furthermore, if (2,u) = z E U,thenDg(z)(f(z)) = D d z , u)U~(z,u),ft(z,u ) ) =
(z,f,(z, I) ) - (Ill, fa(*, Y))which will be positive if r E ~ ~ (by0 (a).
) Thia implies
(4) (By, t ~ )< b I u Is, all u E El. that on a solution z(L) in U psasing t,hrough the boundmy of C, g is i w a ' n q
since by the chain rule, (d/dt)(g(z(L)) = Dg(z(l))f(z(L)). Therefore M dulion
W r choose b so that
which atarb in C can lmue C bejore ii leaves U. F i e E gives the idea.
0 < b < a. Geometrically (b) implies tbst each vector j(r) a t z E C points outward fmm
We take the inner product on E = El e E; to be the direct sum of these inner the ephere about 0 passing through z. See Fig.F.
products on E l and E;; we also use the n o m associated to these inner products
on El, El, E. If z = (I, y) € E Le El, then I z I = (1 z I' I u Is)'". +
We shall use the Taylor expamion off around 0:

Thus, given any r > 0, there ex* i > 0 such that if U = B1(O) (the hall of
radius 6 about 0),
(5) I Q(z) I I r l z I for 2 E U.

FIG. F

Condition (b) hss the following quantitative implication. If a

curve in C fl U,then
- z (1) is a solution

BO (b) implies

FIG. E. The mne Cia shaded

Lemma T h e e&la I > 0 such lhaf if U id dd BI(O) C W ,Ihm fm

Ute c l ~ b
all z = (I, y) E C n U,
(a) +
(2. fi (2, U)) - b,f d z , u) ) > 0 if I 0, and
log I z(L) +
I' 1 2 ~ 1 1% I 4 0 ) Is,
(b) lhere erisfs a > 0 roilh (f(z), z) 2 a 1 2 1.'
I z(t) 1' 2 P' I ~ ( 0 is;
This Ic~~irna
tic111 1131.I x t g: B, X E,
9 is C", !I ' [ O , m )
-
yields our instability theorem as fouows. We interpret hrst condi-
R be defined by g(z, y) = )(I z 1' - I y 12). Then
C, and g-l(0) is the boundary of C .
)
190 9. STABILITY OF EQUILIBRIA (2. STABILITY 191

Thus each nontrivial solution z(1) starting in C fl U moves away from 0 a t an types of dynamical systems (the gradient systenrs of Section 4), almast every
exponential rate as long as it is defined and in C n U. state b in the basin of some sink; other states are "improhable" (they constitute
If y (1) is not defined for all 1 2 0, then, by Chapter 8, Section 5, i t must leave a set of measure 0). For such a system, thr s i n h represent the different types of
the compact set C n U ;as we have seen above, it must therefore Leave U.On the long term behavior.
other hand, if y(i) is defined for all 1, i t muat also leave U since U is the ball of I t is often a matter of practical importnncr to determine the basin of a sink f.
radius 6 and e1I z(0) I > 6 for large t. Therefore there are solutions starting arbi- For cxamplr, suppoar L repre8rnts sonlr dcwirtd equilibrium state of a physical
trarily close to 0 and leaving U.Thus (easuming the truth of the lemma), the system. The extent of the basin tulla us how large a perturhation fmm equilibrium
vector field f does not have 0 as a point of stable equilibrium. we can allow and still be sure that the eystpm will return to equilibriun~.
We now give the proof of the lemma. First, part (b) : if (I, y) = z E C n U , We conclude thin section by remarking that James Clerk .\laxwell applied
stability theory to the study of the rings of the planet Saturn. He decided that
they must be composed of many small separate bodies, rather than being solid or
so, by (3), (4), ( 5 ) : fluid, for only in the former case arr there sMle solutions of the equations of mo-
u(z), z) 2 a I 1P - b I u I' - e I 2 1.' tion. He discovered that while solid or fluid ringu were mathematically p d b l e ,
the slightest perturhation would destroy their configuration.
I n C , I z \ Z I y I a n d I x l ' L t ( l x I S + I y I t ) 2 f I ~ ( ~ . T h(f(a),z)
w 2 (a/2 -
b/2 - e ) 1 z 1.' We choose t > 0 and then 6 > 0 so that a = a/2 - b/2 - t > 0.
This proves (b).
To chrck (a), note that the lefbhand side of (a) is PROBLEMS
(Ax, I) - (By, u) + (2, R(x, y)) - S(2, u)),
but
1. (a) k t e be a stable equilibrium of a dgnamieal system corresponding to a
(2, R ( r , u)) - (u, S(+, u)) 1
I <
2 1 (2, Q(z)) I. C' vector field on an open set Nr C E. Show that for every neighborhood
We may proceed just as in the previous part; finally, 6 > Ois chosen sothat a / 2 - U of Z in W, there is a neighborhood U' of i in U such that every solution
b/2 - 2t > 0. This yields the propmition. curve r(1)with z(0) f U' is defined and in U' for all 1 > 0.
(b) If Z is asymptotically stable, the neighborhood U' in (a) can he ehosen
In Chapter 7 we introduced hyperbolic linear flows. The nonlinear analogue is to have the additional property that Lim,,, r(1) = i if z(0) t U'.
a hyperbolic equilibrium point 3 of a dynamical system t' = f ( r ) ; and to repeat, ( H z I I ~ :Consider the set of all points of U whose trajectories for 1 2 0 enter
thi nwans that the eigenvalues of Df(i) have nonrero real parts. If these real psrte the set U,in Definition 1 or 2.)
art. all nrgative, i is, of course, a sink; if they are all positive, 3 is called a smtrce. If
both signs occur, t ia a saddle point. From the theorem we see that a 2. For which of the following linear operators A on R mis 0 E R. a stable equi-
saddle poinl is undabb. librium of z' = Ax?
If f is an asymptotic equilibrium of a dymmical aystem, by definition there is
a neighborhood N of i such that any solution curve starting in N tends toward 2.
The union of all eolu tion curves that tend toward z (as I + m ) b d e d the badin
of i,denoted by B(3).
I t in clear that any solution curve which meets N is in B(2); and, eonveraely,
any 8Olution curve in B ( i ) must meet N . I t follors that B ( Z ) is an opm a l ; for,
by continuity of the flow, if the trajectory of I meeta N, the trajectory of any
nearby point alm meets N.
Sotir.1. that B ( f ) and B(g) are disjoint if 2 and y are different asymptotically
stsblr eq~~iEbria. For if a trajectory tends toward 2, it cannot also tend toward Y.
If a dynamics1 system represents a system, one can practically identify 3. Let A be a linear operator on Rn all of whose eigenvalues have real part 0.
the states in B ( i ) with 2. For every state in B(2) will, after a period of transition, Then 0 t R- is a stable equilibrium of z' = Ax if and only if A is semisimple;
stay 80 close to 2 as to be indistinguishable fmm it. For some frequently occurrins and 0 is never asymptotically stable.
192 9. BTABILITY OF EQUILIBRIA

4. Show that the dynamical aystem in R*,where equations in polar awrdin8t.m by the chain rule. Consequently, if P(z) is negative, then V dec- along th
are aolution of (1) through z.
9b 1 t > 0, We can now state Lbpunov's stability theorem:
#=I, .rf-1
0, r = 0, Theorem 1 k t Z E W & an quiltbiurn jor (1). Lct V: U -+ R & a calinuow
has a stable equilibrium a t the origin. (Hint: Every neighborhood of the fundion dejned on a neighborhood U C W of x, differed& an U - d, meh lhd
origin contains a solution curve encircling the origin.)
Let f : R" + R- be C and suppoee f(0) = 0. If mme e i g e n d u e of Dj(0) hss
(a) V(Z) - Oand V(z)
(b) V < 0 i n U - i.
> Oifz + i;
5.
positive real part, there is a nonzero solution z(t), - m < 1 5 0, to z' = f ( d , Thm d it sloblc. Furlhermare, if &o
such :hat lim,,, z(t) = 0. (Hint: Use the instability theorem of Section 3 to
find a sequence of solutions GO), L I t 5 0, in BdO) with I z.(O) I = 6 and (c) v<OinU-Z,
lirn..-- rm(k)= 0 . ) h 3 it ~ p I d d .&ilk.
y
6. Let g : R m 4 Rn be C' and auppoee f (0) = 0. If some eigenvalue of Dg(0) hss
negative real part, there ia a solution g(t), 0 5 t < m , tO Z' = g ( ~ )E, U C that
~
A function V antisfying (a) and (b) is &led a L i o p u w f i l i d h for 2. If (c)
also holtls. WP rwll V it stnct L I ~ ~ I J Uftilbrt~ot~.
I ~ O I . TIIC01i1y cq(~illl)riil~n
I?; tlie origin
lime-, g(t) = 0. (Hint: Compare previous pmblem.)
r = y =O.
We emphmiie that Liapunov's theorem can be applied without solving th
differential equation. On the other hand, there is no cut-and-dried method of
$3. Liapunov Function. finding Liapunov functions; i t is a matter of ingenuity and trid and e m r in each
ease. Sometimes there are natural functions to try. I n the case of mechanical or
electrical systems, energy is often a Lkpunov function.
In Section 2 we defined stability and asymptotic atability of a n equilibrium d
Exampfe 1 Conaider the dynamic$ sptem on R' described by the system of
of a dynamic81 system
differential equations
2' = 2y(z - I ) ,
where f : W + R" is a C map on an open set W C R". If 2 is a sink, atab'ility can
be detected by examining the eigendues of the linear part Df(2). Other than that,
however, as yet we have no way of determining &ability except by a c t d l y hnding
all solutions to ( I ) , which may be diffrcnlt if not impossible. The z-axis ( - { (z, y, r ) [ z = y = 01) consists entirely of equilibrium p o i n b
The Russian mathematician and engineer A. M. Liapunov, in his 1892 doctoral Let us investigate the origin for &ability.
thpsis, found a very uaefnl criterion for stability. I t is a generahation of the ides The linear part of the system at (O,O, 0) is the matrix
that fnr a sink there is a norm on R*such thqt I z(l) - i! I decreases for mlutiom
I ( 0 111.arr . Liapunov showed that certain other functions could be used inntesd
r g l I lnr rlrtrrtt to g u n r a n k stability.
14.1 I' 1' -+ R bc a diflcrentiable function defined in a neighborhood U C W
of I . WI. ~lc.nclteby V : U -t R the function defined by
Them are two imaginary eigenvalues and one zero eigendue. AU we an conclude
fmm tbia is thabthe origin is not a mink.
Here the right-hand Bide is aimply the operator DV(z) applied to the vector Let us look for a Liapunov funetion for (0, 0, 0) of the form V(x, y, r ) = ai f
f ( 7 ) . Then if +,(z) is the solution to (1) though z when t = 0,
+ d,with a, b, c > 0. For mch a V,
194 9. BTABILITY Or EQUILIBRIA $3. WAPUNOV PUNCl'IONS

Wew:lnr V s 0 : th~scanheaccompl~shedbysett~ngc = l a n d % = b.Weconclude sufficiently nem y we have

that ? + Zy' + z' is a Llapunov function; therefore the origin is a stable equi- V(u(a)) < V(4;
I~brlum.Moreover, the origin isasymptot~callystable,sineeour Liapunov function
V 1s clearly strict. that is. it satisfies (c) o f p . 193. putting y(0) = r(t.) for sufficiently large n yields the contrsdiction
V(dL + 8)) < V(4).
Example 2 Consider a (constant) mass m moving under the influence of a Therefore y = Z. This proves that i ia the only possible limit p i n t of the net
conservatlvr force field -grad *(I) defined by 8 potential function W O-r R *: ( ~ ( t I)1 2 0 ) . Thin completes the proof of Lispunov's theorem.
on an oprn set W o C R'. (Sce Chapter 2.) The corresponding dynamical system
on the state s p c e W = W oX R' C R' X R' is, for (I, V ) E We X R8:

h t (i,8) E W o X R' be an equilibrium point. Then ir = 0 and grad iP(t) = 0.

To invrstigate stability a t ( t , 0), we try to uae the total energy
FIG, A. L v d sud- or s Ltspunov function.

Figure A makea the thwrem intuit~velyobvious. The condition v C 0 meMs

to construct a Liapunov function. Since a Liapunov function must vanish a t
that when a trajectory crasses a "level surface" V-'(c), it moves inside the set
(f, 01, we subtract from E ( t , V) the energy of the state (2, 0), which is +(2), and
where V 5 c and can never come out again. Unfortunately, it is difficult to justify
define V : W , X R' 4 R by
the dingram; why should the sets V-I(c) shrink down to i?Of ~ w s ein , m y
c m , Fig. A is indeed correct; for example, if V is a positive definite qundratic
+
-
form, such BS i 2 6 . But what if the level surfacea look like Fi.B? I t is hard
to imagine such a V that fulfills all the requirements of a Lispunov function; but
By runscrvation of energy, v 0. Since $mv' 2 0, we assume .(I) > .fZ) for rather than trying to rule out that possibility, it is simpler to give the analytic
I nrilr i,r # r, in ordrr to mat^ 1. a Liapunov function. Thrrefore we have proved proof &S above.
t11,~ 11-Lnonn theorem of Lagrange: an equiltbrium (f,0) of aconserdive force
-4 Liapunov functions not only detect stable equilibria; they can be used to esti-
.fit i l l I., d<rlJr if /he pofential energy has a local absolute minimum al t. mate the extent of the basin of an asymptotically stable equilibrium, ss the follow-
ing theorem shows. In order to state it, we make two definitions. A set Pis p o r i t d y
invariant for a dy namicd aystem if for each r in P, *,(z) is defined and in P for dl
Proof of Liapunov's theorem. Let 6 > 0 be so small that the closed ball t 2 0 (where $ denotes the flow of the system). An entire orbit of the system is a
B , ( z ) around f of radius 6 liee entirely in U. Let a be the minimum value of V
on thr boundary of &(f), that is, on the sphere Sr(2) of radius 6 and center t .
Then a > 0 by (a). Let U , = 11 C B,(i) 1 V(+) < a J . Then no solution starting
in I ; , can meet S a ( i ) since I; is nonincressing on solution curves. Hence every
soh~tionsrnrtinp. i n t', nrvrr lcaves B,(f). This proves f is stable. Now m u m e
( c ) tiold.: a s d l , so that 1' is strictly decreasing on orbits in U - 2. Let z(l) be a

1, -
s u l ~ ~ t ~shrting
on
, ri~(.h
ill t', - i and supposr t(t.) -+ 20 6 Ba(f) for some sequence
a scqurncr exists by compactnem of B,(f).We assert s 2. To see-
I'!i(f.) 1-
tl115.o l ~ > ~ ~thatr r r I ' ( r ( 1 ) ) > V ( y ) for all t 2 0 since I;(r(t)) decreases and
l'(z,) by continuity of V. If 4 # t , let z(t) be the solution atarting
a! O: I'm any s > 0, w e have V (~(s)) < V(4). Hence for any solution y (a) starting
 @. LIAPUNOV PUNCTIONB

set of the form 4 E [O, a ] such that B(4) = +r. Then

(+I(E) If E RI, E(B(b),4 4 ) ) = E ( k r , 4 k ) )
w h ~ r 4,(z)
r is defined for dl 1 E R. = ml[lL(4)a + 21
2 2ml.
Theorem 2 Lel i E W be an equilibn'um of Ute d y n a r n d d y a l n ( 1 ) and kt V : But
I I + R be a I,iapunm function for 2, U a neiphbcrhood of 2. Let P C U be a neighbor- E ( B ( 4 ) ) ,4 s ) ) 5 c < 2ml.
hood of f which is closed i n W . Suppose fhd P is positively incariotat, and lhad Lhm
t s no entire orbit in P - 2 on which V is conafanf. Then e is asympldicdy a&, This contradiction shows that @ ( a )< r , and so P, ia positively invariant.
an11 P C B ( 3 ) . We easrrt that P, fulfills the second condition of Theorem 2. For suppoee E is
constant s n a trajectory. Then, along that trajectory, l? = 0 and m o = 0. Hence,
from ( 3 ) of Section 1,8' = 0 m 8 is constant on the orbit and alm sin B = 0. Since
Before proving Theorem 2 we apply i t to the equilibrium 2 = (0, 0 ) of the I 8 I < r , it follows that e = 0. Thus the only entire orbit in P. on which E is con-
prndulum djscuased in Section 1. For a Liapunov function we try the total energy stant is the equilibrium orbit ( 0 ,0 ) .
E ,which we expect to decrervee along trajectories because of friction. Now Finally, P. ia a c l d set. For if (80,w) ia a limit point of P,, then [ B. ( r, <
E = kinetic energy + potential energy; and E ( 4 , *) < c by continuity of E. But I 8,1 = s implies E(&, w) > c. Hence
( 8. I < r and 80 (80, oo) E PC.
kinetie energy = #wu+ From Theorem 2 we conclude that each P. C B(0,O); hence the net
= #rn(U)'
P=UIPcIO<c<2~l
= ww'. is contAined in B ( 0 , 0 ) . Note that
For potential energy we take mass times height above the lowest point of the c h l e : P=((8,w)IE(U,w)<2ml and IeI<rl.
potential energy = m(1 - I cas 8).
This result is quite natural on physical grounds. For 2nd is the total energy of
Thus
E = +& + ml(1 -cost?) the state ( r , 0 ) where the bob of the pendulum is balanced above the pivot. Thus
if the pendulum is not pointing straight up, and the total energy in lem than the
= ml(+u+ I - c ~ e ) . total energy of the balanced upward state, then the pendulum will gradually
Then approach the state (0,O).
?% = rnl(lw1+ #sin B); There will be other states in the bash of ( 0 , 0 ) that are not in the net P. can-
eider a atate (*,u ) , where u ia very small but not zero. Then ( r , u) 4 P, hut the
using (3) of Seetion 1 this simplifies to pendulum moves immediately into a state in P, and therefore apprcahes (0, 0 ) .
Hence ( r , u ) E B(0,O). See Exercise 5 and 6 for other examples.

Thus ?% I 0 and E(0, 0 ) = 0 , so that E is indeed a Liapunov function.

Proof of Theorem 2. Imagine a trajectory r(l),0 1 < m , in the + t i d y
To estimate the basin of ( 0 , O), fix a number c, 0 < c < 2ml, and d e h e
invariant set P. Suppose t ( t ) does no1 tend to f as 1 -+ m . Then there must be a
P C = ((O,w)IE(O,w)<c and (eI<r). point a # i in P and a aequence 1 + m such that
('lvarl\-. ( 0 .0 ) C PC.We shall prove P. C B(0, 0 ) .
I', is p~witivelyinvariant. For mppose
If a = V ( a ) ,then rr ia the greatest lower bound of ( V ( + ( f)) I I >_ 01 ; this follorr,
( 8 ,t , 0 I l _< a , u >0 from continuity of V aod the fact that V decresses along trajectories.
Let L be the set of all mch pointa a in W:
t h ~ E(U(a),
t w ( a ) ) $ c since B
is a trait'ctorv with (8(0),w(O ) E P.. To 8ee that (B(a),*I(=)) E P., observe
5 0. If ( e(=) ( 2. r , there must exist s a m d e s t L = (a E W I there exiat 1. 4 with t.(L) --+a!*
where I([) ia the trajectory postuhted above. 8 i c e every point of L is a Limit
of points in P, and P is closed in W, it followe that L C P. Momver, if o E L,
then the rntire orbit of o ia in L; that b, +,(a) ia defined and in L for dl r E R.
For +,(a) is defined for all t 2 0 since P is positively invariant. On the other hand,
each point @ , ( r ( f , , )is) defined for dl i in the i n w d [-L, 01; mnce r ( L ) -+ o
and we may assume i, < l~< . . . , it follows from Chapter 8 that @,(a)is defined
for all 1 [-f,,, 01, n = 1,2,. .. . Since -1. -r - w , +,(o) is definedfor all 1 5 0.
To see thst & ( a ) E L, for m y particnlsr 8 E R, note that if z(L) -+ 0, them
+
~ ( 1 - 8 ) +&(a).
We reach a contradiction, for V(a) = a for all 0 E L; hence V in constant on
an pntire orbit in P. This is impossible; hence I'm,,. x(t) = f for dl trajectories
in P. Tliis pmves that 2 is ~ymptoticallystable, and alm that P C B(2). This
completes the proof of Theorem 2.
he' set L defined above ia called the set of d i m i t poi&, or the dclimil d ,of
the trajectofy ~ ( i )(or of any point on the trajectory). S i i l y , we d e h e the
set of a-limit poi&, or the a-lamil sct, of a trajectory y(t) @be the set of d l points
b such that lim.,, y(L) = b for mme sequence f,, -+ - w. (The reaeon, such aa
it is, for thia terminology is that a is the first letter and o the lsst letter of the
Greek alphabet.) We will make extensive use of .these concepts in Chapter 11.
A set .4 in the domain W of a dynamical a y a h is invariant if for every r E A,
.$,cri is drfined and in A for all t < R. The following facts, eaaentislly proved in
thv pro<,f of Theorem 2, will be used in Chapter 11.
set and the uclimit setofa tmjeaWy whichisdefinedf w d
Prowsition The ol-li>~tit
t E R a w closed invariant sets.
The total energy E is a Liapunov function for the corresponding first order
aystem
z ' = y,
Y' = -!7(r);
E ia kinetic energy plus potential energy, and the potential energy at z R
is the work required to move the mass from 0 to x.)
4. I n Problem 3 suppose also that there is a frictional force opposing the motion,
of the form -f(z)v, f(z) 2 0, where v is the velocity, and z the position of the
particle. If j-'(0) = 0, then (0, 0) is asymptotically stable, and in fact aery
trajectory tends toward (0, 0).
5 . Sketch the p k portraite of
(8) the pendulum with friction (see alm Problem 6) ;
(b) the pendnlum without friction.
6. For the frictional pendulum, show that for every integer n and every
(a)
angle 80 there is an initial state (Bo, oo) whose trajectory tends toward
(0, O), and which travels n times, but not n + 1 times, around the circle.
(b) Diecuss the set of trajectories tending toward the equilibrium (r, 0).
7. Prove the following instability thmrem: Let V be s C real-vdued function
defined on a neighborhood U of an equilibrium Z of a dynamical system.
Suppose V(f) = 0 and > 0 in U - 2. If V(r,) > 0 lor mme sequence
r. 4 e, then i is unstable.
8. Let V be a strict Liapunov function for an equilibrium 2 of a dynamical system.
Let c > 0 be mch that V-'[O, c] is compact and contains no other equilibrium.
Then VU'-'[O,c] C B ( Z ) .

PROBLEMS
$4. Gradient Systeme

1. Find II strict Liapunov function for the equilibrium (0, 0) of

A wadienl wtn on an open set W C Rmin s dynamicd system of the form
2
' = -2z - yl.

where
Find 6 > 0 as large as you can such that the open disk of radiua I and center V: U + R
(0,O) ia contained in the basin of (0,O). is a C function, and
.?. Discuss the stability and basins of the equilibria of Example 1in the text.
3. A particle moves on the straight line R under the inlluence of a Ncntonim
force depending only upon the position of the particle. If the force ia d m y 8 ia the gradient vector field
directed toward 0 E R, and Mniahm a t 0, then 0 is a stable equilibrium. (Hid: grad V: U + R.
of V. (The negative sign in (1) is traditional. Note that -grad V(x) = this kemrl is the ( n - 1)dimemional subspace of vectors perpendicular to grad
gsd(-.V(d).) V(u) (translated parallelly to u). Therefore we have shown:
Gradlent syatmnu have apecia1 propertien that make their flows rather aimple.
The following equality is fundamental:
Theorem 2 At r&r poinla, Lhe uecfor W - g a d V(E) b perpendieday to Lhe
(2) DV(z)y = (grad V(L.),u). hvel mrjaces of V.
Tlris Rsye that the derivative of V a t r (which is a l i n k map Rn --r R), evaluated
on y € Rm,gives the inner product of the veetars grad V(z) and y. To prove (2), Note by (2) that the nonregular or criticd points of V sre preckly the equi-
we observe that librium points of the syatem (1).
Since the trajectories of the gradient system (1) are tangent to -grad V(r),
we have the following geometric description of the flow of a gradient syetem:
which %exactly the inner product of grad V(z) and y = (yl, . . . , y,).
Let V: U -r Rmba the derivative of V along trajectariea of ( I ) ; that is, Theorem 3 lkt
E' = -grad V(z)
be a gradient system. At regular poinla Lhe trajedmied cross level aujacu o r h p d i y .
~Vonrepularpanla are equilzkiu of lhc system. Isdolcd minima art aupmptoticdly
Theorem I V ( Z ) < 0 for all z E U ;and V(Z) = 0 if ond bnly if z is an cqui- 8hfJh.
librzum qf (1).
Prooj. By the chain rule
Ezarn,.de. Let V: R' -+ R be the function V(r, y) = z'(z - I)' + 9.Then we
have, putting z = (2, y):
V(E) = DV(z)zl

by (2) ; hence
- (grad V(+), -grad V(z))

V(r) = - I g a d V ( t ) 1.'
This proves the theorem.

Corollary Let 5 be an i s o U minimum of V. Then i is an osymplolicdly 8 f d e

~ q u l l ~ h r r o~ frtnh ~e pradisnt aystem z' = -grad V(z).

Prwj. I t is easy to verify that the function z 4 V(Z) - V(f) is a strict
Liapunov function for 2, in some neighborhood of f .
To understand a g d i e n t flow geometrically one looks a t the level svgaces of
the function V: U -+ R. These sre the subsets V-'(4, c E R. If u E V"(c) is a
regular puint, that is, grad V(z) # 0, then V-'(c) looks like a "surface" of dimen-
sion n - 1 near E. TO 8ee this, assume (by renumbering the coordinates) that
The study of thin differential equation starb with the equilihrk These are
found by setting the righbhand aiden eqnal to 0, or - 2z(z - 1)(% - 1) = 0,
-29 = 0.
We obtain precisely three equilibria: rl = (0, O), 21.11= (t,0). +m = (I, 0 ) . T o
check their stability properties, we compute the derivative Dj(r) which in cc-
ordinates is

;1
dV/dr.(u) +! 0. Using the implicit function theorem, we find a function g:
R--1 -r R such that for z near u we have identically
(-2z(z - I)(& - I))

hence near u, V-'(c) looks like the graph of the function g.

Thc tnng~ntplane to this graph is exactly the kernel of DV(u). But, by (Z),
 FIG. C. Level curvea of V(z,y) and gradient lints of (z', y') - -grad V(s,I).
portrait of (z', y') = -grad V(r, y), superimposed on Fig. B, look like Fig. C.
The level curve ahsped like a reclining figure eight is V-'(A).
More information about a gradient flow is given by:

Theorem 4 Ld z be an d i m i l point or an d i m i f point (Sedirm 3) of a trojcday

of a grad& pow. Then 2 i.ma c p u ~ ~ u m .
v/
FIG. A. Grrphol V - P(r - I)' + V' Proof. Sup-
-
r is a n orlimit point. As in the proof of T h e o ~ m2, Section 3,
one shows that V is constsnt dong the trajectory of z. Thus V ( Z ) 0; by Theorem
1, z is an equilibrium. The ease of a-limit points is similar. In fact, an a-limit point
z o f d = -gradV(z)isanvrlimitpointofd = gradV(x),whencegmdV(z)
In the case of isolated equilibria this result implies that an orbit must either run
0. -
off to infinity or elee tend to an equilibrium. In the example above we see that
I(vi1l11ntingthis a t the three equilibria gives: the sets
V-I([-c, c]), c E R,
are compact and positively invariant under the gradient Bow. Therefore eseh
trajectory en- such a set ic, defined for d l f 2 0, and tends to one of the W
\\'P cun1.111defrom the main result on nonlinear sinks that zr, rl11 are sinks while 211 equilibria (0, O), (1, O), or ( f , 0). And the trajectory of every point d m enter
is n saddlc.. B? the theorem of Section 2, ZII is not a stsble equilibrium. such a set, since the trajectory through (2, y) enters the set
The graph of V looks like that in Fig.A. The curves on the graph represent
intrrsrrtions with horizontal ~lanes.The level ''surf-"
look like those in Fig. B. Level c w e s of V(z, y) - ( c u m , in this e m )
2'(z - 1)' +
y' and the p h a
V-'(C-c, c]), c = V(2, y).
The gearnetrid analysis of this flow is completed by observing that the line
z = # is made up of the equilibrium (4, 0 ) snd two trajectories which appmseh
it, while no other trajectory tends to (t. 0). This is becausr the derivative with
respect to 1 of 1 z - f / is positive if 0 < z < f or :< z < 1, ss a computation
shows.
We have shown: trajectories to the left of the line z = f tend toward (0, 0)
(as f -+ + w ) ; and trajectories to the right tend toward (1,O). Tmjeetoriar on
the line z = f tend toward (3, 0). Thin gives a description of the bavh of tbe
equilibria (9, 0) and (1,O). They are the two hdf planes

FIG.B. Level curvas of V(z,y)

B(1, 0) = [(I, y) E R'I x > fl.
 9. STABILITY OP EQUILIBRIA
85. GFlADlENTB AND INNER PIIODUcTs

PROBLEMS for E' by defining

ef:~+R,
1. For each of the following functions V ( u ) ,&etch the phaae portrait of the gradi- ef (Clie,) = 1,;
1
ent flow u' = -grad V ( u ) . Identify the equilibria and classify them as to
stability or instability. Sketch the level surfaces of V on the m e d i m . for i , j = 1, . . . , n. Thus ef ie characterized by
(a) $ + 2 p (b) f - p - * + 4 y + 5 ef (e;)
(d) 2 f - 2r# + + + = 6.).

.:
(c) y sin z 5 9 42 4y +.4
(F) P + f - Z (f) f ( 2 - 1) +
Y'(u - 2 ) 'z + a*is called the basis dual to a.
Now euppose E ia given an arbitrary inner product ( , ). We define an lursoeiated

rmrrrenl if ~ ( 1 . ) -
2 . Suppose a dynarnical ayntem ia given. A trajectory z ( t ) , 0 5 t < -, is called
z ( 0 ) for some EWJence f + m. Prove that a grdient
dynanlical ayatern hsa no nonconstrrnt recurrent trsjectoriea.
3. Let V: E + R be C and suppose V-I(- m , c ] is compact for every c E R.
Suppose alea D V ( z ) # 0 except for a finite number of points pl, . . . ,p,. Prove:
(a) Every solution z ( t ) of d = -grad V ( z ) ia defined for all 1 2 0;
(b) li, z ( t ) exists and equals one of the equilibrium points P I , . . . , P.,
for wery solution z ( t ) .
map E -+ E* (as in Theorem 1) by B ( z ) ( y ) = (z,y ) . Clearly, cp is an b
morphism by Theorem 1, mnce its kernel is 0 .
Next, let V : W -r R be a continuously differentiable map defined on an open
set W C E. The derivative of V ia a continuous map
D V : W -+ L ( E , R ) = E*.
A map W --r E.is called a I-form on W. An ordinary differentid equation ia the
same as s v&r field on W,that ia, a map W -r E. We we + I : F + E to con-
vert the 1-form D V : W + C into s vector field grad V : W 4 E:

$5. Gradients a n d I n n e r Pmducla Definition g a d V ( z ) = V ( D V ( Z ) ) , E W.

From the definition of B we obtain the equivalent formulation

Llrrc u.c treat the gradient of
ccluipptd with an inner
a real-valued function V on a vector space E
( , ). Even if E ia R", the inner product might
not be the standard one. Even if it is, the new definition, while equivalent to the
(1) -
D V ( z ) ~ b d V ( Z ) ,y ) for d l y E E.
The reeder can verify that if E = R* with the usual inner product, then this defini-
old, hss the advantage of being umrdindc free. As an application we study further tion of g a d V ( z ) is the Bsme as
t h e equilibria of s gradient flow.
We define the dual of a (real) vector apace E to be the vector space

of all linear maD8 E + R . We now prove some results of the preceding section concerning the differential
equation
Theorem 1 E* is isomorphic lo E and Ihw ha8 fhe hem dimnsirm. (2) z' = -grad V ( z ) ,
Proof. .
Let let, . . , e.1 be a basis for E and ( , ) the induced inner ~ r o d u c t . wing our new definition of grad V .
Thrn define u : E + P by z --r u.where % ( y ) = (2, y). Clearly, u is a linear map.

jective. Let v E C and v ( c , ) = li. Define z

nnd us = v. This proves the theorem.
-
AJso, u, # 0 if 1: # 0 since u . ( z ) = ( z , z ) # 0. I t remains to show that u ia sur-
C l,ei, so ~ ( c L=) (CL,C 1s.) = Theorem2 L e t V : W + R b c a C f u n d i o n ( C h d i s , D V : W - , P i s C ; o r V h o s
contimroua a& partid dmiidivea) on an open set W in a vador upace B udh an
inner produd.
Since E and C have the m e dimension, say n, C hss a basis of n elements. ( a ) f is an equilibrium point of fhe diferentid quation ( 2 ) i f and only if
If ( e l , . . . , em) = .
is s basis for E , they determine a bath (e:, . . , e:J = a
' D V ( t ) = 0.
 b. QRADIENTB AND I N N E R PRODUCT% 207

( b ) I f x(t) is a rolulia of ( 2 ) , then An oprator T f L ( E ) b adj-adjoin1 if T* = T,that is,

,
d
V ( Z ( ~ )=) - I grad V ( x ( t ) ) Is.
If z(1) ts no1 consbnl, h V(z(L)) is a decrea~t'ngjunction of 1. 0.. - 0'.
(Tz,y) = (I, Ty), for all
In an orthonormal basis thia means the matrix [a,j] of T is syn&,
I, y E E.
that is,
jr.) I, - I..

Prod: Since V is C, the right aide of (2) is a C function of I ; therefore the

baaic uniqueness and existence theory of Chapter 8 applies to (2). Thmrcm 3 h E be a red mlor s p a a A h an inner produd and kl T be a edj-
By the definitions -grad V ( E ) = 0 if and only if DV(E) = 0, since E -r E*
1s a linear isomorphism; this provrm (a). T o prove (b) we use the cham rule :
*: adjoin1 operalor on E. Then Ihc eigenualm of T are real.
Prwj. Let Ec be the eomplexification of E. We extend ( , ) to a function
Ec x Ec -+ C +
as follows. If z + iy and u iv are in Ec, define
(x + iy, u + iu) = (z, + i ( b, - (x, v ) ) + (y, v ) .
U ) U)
= D V ( z ( t ) ) ( - d V(z(t));
by ( 1 ) this equsls I t is easy to verify the following for all a, b E Ec, h E C :
(grad 1.'(1(1)), -grad V ( z ( 1 ) ) )= - I grad V ( z ( 1 ) )Is. (3) (a, a ) >0 if a # 0,
If I(/)is not constant, then by (a), grad V ( r ( 1 ) ) # 0 ; so (h) implia (4) h(a, b ) = (ha, b ) = (a, Xb),
where - denotes the complex conjugate.
Let Tc: EC -+ EC be the complexification of T ; thus T C ( X+ i y ) = T x +i(Ty).
Let ( T * ) c be the complexification of T*. I t is easy to verify that
T h s provrm (c) .
(5) (TM, b ) = (a, ( T * ) c ~ ) ,
The dual vector space is slso used to study linear operators. We define the (Thisis true even if T is not self-adjoint.)
adjoint of an operator Suppose h E C is an eigenvalue for T and a E Ec an eigenveetor for A ; then
T:E-rE Tca = ha.
(where E haa some fixed inner product) to be the operator BY (5)
To:E-rE (Tea, a ) = (a, (Te)ca)
defined by the equality = (a, Tca).
(Tz,u ) = (X, TV) since T* = T. Hence
for all r , y in E. To make aense of this, first keep y fixed and note that the map (ha, a ) = (a, ha).
r -+ ( T I , y ) in a linear map E -r R ; hence it defines an element h(y) E P.We But, (4),
define h(a, a ) = (ha, a ) ,
T*y = *-Ih(y), while
where X(a, a ) = (a, ha);
*:
E -+ E' so, by (3), A = X and A is real.
is the isomorphism defined earlier. I t ia m y to see that T o is linear.
If C% is an oslhaonnol basis for E, that is, @ = [el, . . . , e.1 and Corollary A 8ymmlric real n X n mafriz lras real eigmuolm.

Consider wain a gradient wetor field

then the @-matrix uf T* turns out to be the trampose of the @-matrix for T , as is
easily verified. F(x) = -gad V(r).
I:l~r si~n\,lirity wc &*urn= the vector epace ie Rn,equipped with the usual inner T h s ~ e m6 A1 an cpuiltbrium of a pradiml pow !Jw li-r part o j the lzQr &Id
p r o , l ~ ~ rI~mt
t . i be an equilibrium of the ~yatem ia d 4 d W by an ortlmmmd boais.

z' = -grad V(z)

Thr operator
DF(i) PROBLEMS
hea the matrix
1. Find an orthonormal &gonabzing basis for each of the following operatom:

in thr standard basis. Since this matrix is 8ymmetric. we conclude:

Theorem 4 At an equilibrium of a g r a d i d sydlem, lhc eigenuolues are real.

2. h t A A a B-adjoint operator. If z and y are eigenveeton belonging ta
This thwrnn is also tme for gradients defined by arbitrary inner products. diflerent eigenvdues then (z,y ) = 0.
120r example, a gradient system in the plane cannot have eph& or centers a t
equilibria. I n fact, neither can it have improper nodes becsuae of: 3. Show that for each operator A of Pmbhrn 1, the vector field t -4 Az is the
gradient of mme function.

Theorem 5 la&E be a red veclor spow with an i n w produe(. Then any aelf- 4. If A i s 8 njmmetric operator, show that the vector field r + Az is the gsdient

-
adjvittt oprralm on E can be diugonal~ed. of some function.
P r m f . Let T : E E be self-adjoint. Sinoe the eigenvaluraa of T are real, there
is a nonzero vector el E E nuch that TeI = Xlel, XI E R.Let
Notes

t h orthogonal
~ complement of e,. If z E El,then Tz 6 El, for A etstement and proof of the implicit function theorem uaed in Section 4, is
(Tx, el) = ( x , TCI)= (z,&I) = h(z. el) = 0. given in Appendix 4. See P. Ualmcm' Finite Dimmsiao( Vcdor Spacu [8] for a
more extended treatment of self-adjoint boperators. One can find more on
Hence T lcaves El invariant. Give El the same inner product sa E ; then the operator Liapunov theory in I a S d e and Lefacheh'a S W d y by L i o p u d a Dirdd M e M
WiUL ApplicaCiOns [14]. Pontryngm's text [lo] on ordinary d~fferent~al equations
is recommended; in particular, he hsa m interesting application of tispunov
is self-adjoint. In the aame way we find a nonsero vector ,e E El such that theory to the study of the governor of a steam engine.
Te,= A*; A, E R.
Note that el and e, m independent, since (el, e,) = 0. Continuing in thin way, we
fmd a maximal independent set (8 = Iel, .. .
,em]of eigenvectas of T.These must
span E, otherwise we could enlarge the net by looking a t the restriction of T to
..
the subspace orthogonal to el, . , c.. In this bspis 63, T in diagonal.

We have actually proved more. Note that cr, ..

. ,.c are mutually orthogonal;
nncl nc*ran take them to have norm 1. Therefore a rccf4joinf operdor (or a am-
rnetnc matrix) can & diagadired by an wtlmmmd baab.
For gradient s p h we have proved:

Chapter 10
Differential Equations
for Electrical Circuits
First a simple but very basic circuit example is described and the diflerential
equations governing the circuit are derived. Our derivation is done in such a way
that the idcna exwnd to general circuit equations. That ie why we are m careful
to ~ n u k rthr maps explicit and to describe precisely the sets of states obeying
physical laws. This is in contrast to the more typicd ad hoc approach to nonlinear
circuit theory.
The equations lor thia example are andysed from the purely mathematical
point of view in the next three sections; these are the claeaical equations of Lienard
and Van der Pol. In particular Van der Pol'# equation could perhapa be regarded
as the fundamental example of a nonlinear ordinary differential equation. It
possesses an oscillation or periodic solution that is a periodic attractor. Every
nontrivial solution tends to thia periodic mlution; no linear flow can have this
property. On the other hand, for a periodic solution to be viable in applied mathe-
matim, thie or mme related stability property must be sstisfied.
The construction of the phase portrait of Van der Pol in Section 3 involves
somr nontrivial mathematical arguments and many readers may wish to skip or
postpone this part of the book. On the other hand, the methods have some wider
use in studying phase portraits.
Asymptotically stable equilibria connote death in a eystem, while attracting
oscillators connote Ble. We give an example in Section 4 d a continuous transition
from one to the other.
I n Section 5 we give an introduction to the mathcmaticd foundations of elec-
trical circuit theory, especially oriented toward the analysis of nonlinear circuits.
$1. AN RLC CIRCUIT 211
41. A n RLC Circuit
We give an example of an electrical circuit and derive from it a dilferential
equation that shows how the state of the circuit varies in time. The dilferentd
equation is analyzed in the lollo~ingsection. Later we ahall describe in greater
generality elements of the mathematical theory of electrical circuits.
Our discussion of the example here is dune in a way that extends to the more
grnvral case.
The circuit of our example is the simple but fundamental series RL4! circuit in
Fig. A. We will try to communicate what this means, especially in m a t h e r m t i d
terms. The circuit hss three branches, one resistor marked by R, one inductor
marked by L, and one capacitor marked by C . One can think of a branch a s being
a certain electrical device with two terminals. In the circuit, branch R has terminds
a, for example and these terminals are wired together to form the points or
nodes a,p, 7.
The electrical devices we consider in thia book are of the three t y w : resistom,
inductors, and capacitors, which we will characteriee m a t h e m a t i d y shortly.
In the circuit one haa flowing through each branch a current which is measured
by a real number. Nore precisely the currents in the circuit are given hy the three
numbers i ~i ,~ i, ~ i~; measurn the current through the resistor, and m on. Current
in a branch is analogous to water flowing in a pipe; the corresponding measure for
water would be the amount flowing in unit time, or better, the rate a t which water
passes by a fixed point in the pipe. The arrows in the disgram that orient the
branches tell us which way the current (read water!) is flowing; if for example i n
is poaitivc, then according to the arrow current Aors through the m k t a r from
B to a (the choice of the arrows is made once and for all a t the start).
The state of the currents a t a given time in the circuit is thus represented by a
point i = ( i ~ i, ~ i, ~ )€ R*.But Kirchhopa current low (KCL) says that in reality
there is a strong restriction on what i can occur liCL akserts that the total current
212 10. DIFFERENTIAL EQUATlONB FOR ELECTRICAL CIRCUI1B 81. AN RLC CIRCUIT 213

flowing into a node is equal to the total current Bowing out of that node. (Think of
tho \vntc,r analogy to make this plausible.) For our circuit t h b ia equivalent to
KCL: in = iL = -ic.
T h i d,afines a onedimensional subspace K , of R' of physiwl currenf st&. Our
cholcr of orientation of the capacitor branch may aeem unnatural. In fact the
oricntntions are arbitrary; in the example they were chosen so that the equations
eventually obtained relate most directly to the history of the subject.
The state of the circuit is characteri~edby the current itogether with the voltage
(or Iwttrr, voltage drop) acrow each branch. These voltages are denoted by vn, V L , uc
for the resistor branch, inductor branch, and capacitor branch, respectively. In the
water analogy one thinks of the voltage drop as the difierence in preseures a t the
two ends of a pipe. To measure voltage one placesa voltmeter (imagine8 water pres-
sure meter) at each of the nodes a,p, v which reads V(a) a t a , and so on. Then UB
is thc differellee in the reading a t a and p
V(p) - V(a) = VR.
fying Kirchholf'slswsforma three-dimenaional subpace K of the form K = K , x
Kt C R' x R'.
Next, we give a mathematid definition of the three kinds of electrid devices
of the circuit.
First consider the resiator element. A resistor in the R branch impoees a "fun*
tional relationship" on in, OR. We take in our example this relationship to be de-
fined by a C' real function f of a real variable, so that vn = !(is). If R denotes a
conventional linear resiator, then f is linear and UR = f ( i ~ is ) a statement of Ohm's
law. The graph o f f in the (in, us) plane ia called the characlmslu of the resistor.
A couple of examples of characteristics are given in Figs. B and C. (A characteristic
like that in Fig. C occurs in the,"tunnel diode.")
A physical st& (i, u) E R' X R' = S will be one which sstiifiea KCL and KVL
or (i, u) E K and also f (i,) = u,. These conditions define a aubeet 2 C K C s
Thus the eel of physical slates Z is that set of points ( t ~i , ~ic,, on, VL, vc) in R' X Ra
mtisfying:

T h r oricmtation or arrow tells us that V R = V(p) - V[a) rather than V(a) V(p).- vm +VL - vc = 0 (KVL),
An ur~reslricledvolloge st& of the circuit is then a point v = (UR,UL,uc) in 2'. f(in) = VR (generalized Ohrn'a law).
Again R Iiirchholf law puts a p h y d d restriction on v:
Next we concern owselves with the pasmge in time of a state; this defines a
KVL: ve + v~ - vc = 0. curve in the atate space S:
This defines a twodimensional linear aubspace K, of R'. From our explanation of
tbe vn, uL,vc in t e r m of voltmeters, KVL is clear; that is, The inductor (which one may think of as a coil; it is hard to find a water analogy)
UR + UL - vc = (V(p) - V(a)) + (V(a) - V(v)) - (V(8) - V(v)) = 0. specifies that
In a general circuit, one veraion of KVL ssserta that the voltages can be derived L- d i ~ ( t )= VL(~) (Fareday's law),
from a "voltage potential" function V on the nodes as above.
We summarise that in the product space, R' X R' = S, t h m ntatea (i, V) =tie- where L is a positive conatant called the inductance
I "#
I IVR
214 10. DIFFERENTIAL EQUATION6 FQR ELErnRLCAL ClRCUITB 02. LVALYSIS O F THE CIRCUIT EQUATIONS 215

011thr. other hand, the capacitor (which may be thought of as two metal p L a b PROBLEMS
sf.parat~cjhy some insulator; in the water model it is a tank) imposes the condition

1. Find the differential equations for the nctwork in Fig. D, where the rcskbr ia
voltage controlled, that is, the resistor characteristic is the graph of a CJfunc-
tion g : R -+ R, #(vn) = in.
n h m . C is a positive constant called the capacitance.
We summarize our development so far: a state of our circuit is given by the nix
numbers (in, i r , ic, V R , UL, V C ) that
, is, an element of R1 X R'. These numbera are
subject to three restrictions: Kirchhoff's current Law, Kirchhoff's voltage Law, and
the resistor characteristic or "generalized Ohm's law." Therefore the space of
physical statps is a certain subset Z C R' X R1. The way a state changes in time
is dctcrmined by two differential equations.
Ycut. \vr simplify the state space Z by ohserving that i~ and uc determine tb
otl~vrforlr coordinates, since i ~ = i Land ic = - i ~by KCL, V E = j ( i ~ )= j ( i ~ by
)
tht' pcen~~mlized Ohm's law, and U L = uc - un = uc - f(ir,) by KVL. Therefore
rvr can use Rt as thc state space, interpreting the coordinates as ( i ~vc). , Formally,
we define a map r : R' X R' 4 If', sending (I, u ) E R' x R' to ( i ~V ,C ) . Then m FIG. D
sct ra = x I Z,the restriction of r to 2 ;this map ro:Z + R ' b one-to-one and onto;
its inverse is given by the map u : RI -+ Z, 2. Show that the LX circuit consisting of one inductor and one capacitor wired
in a closed loop oscillates.
~ ( i ,V,C ) = ( i ~i ,~- ,i ~ ,W L ) ,vc - j ( i ~ )V, C ) .
I t is easy to check that q(ir, vc) satisfies KCL, KVL, and the generalised Ohm's
law, so p does map R' into E ;it ia also easy to see that ro and sre inverae to each $2. Analyais of the Circuit Equations
other.
We therefore adopt R ae our stab space. The differential equations goy-
the change of state must be rewritten in t e r n of our new coordinates ( i ~V,C :) Here we begin a study of the phase portrait of the planar differential equation
derived from the circuit of the previous section, namely:
di
L--L =
dt
UL = vc - j ( i ~ ) ,

For simplicity, since this in only an example, we make L = 1, C = 1.

If we write I = i r , y = vc, we have aa ditTerentisl equations on the ( z , y) Car- This is one form of Lienard's quaiion. If j ( r ) = i - I, then (1) is a form of --
tesian space: Van der Pol's equaiion.
dr First consider the moat simple case of linear f (or ordinary resistor of Section I ) .
$ = v -f(r), Let f ( z ) = K x , K > 0. Then (1) takes the form

"
dl
= ,-

The eigenvalues of A are given by X = 1 [ - K ( K t - 4)'n-J. Since x always

These equations are analyzed in the following 8ection. bas negative real part, the zero state ( 0 , O ) b an asymptotically atable equilibrium,
illi LO. DIFFERENTIAL EQUATIONS mR ELECTRICAL CIRCUITU 03. V A S DER POL'S EQUATION

ill f;wt a sink. Every state tends to zero; physically this is the dissipative effect of
thr rrsistor. Furthermore, one can see that ( 0 , 0 ) will be a spiral pink precisely
\\IIVII K < 2.
S ~ xwc
t consider the equilibria of ( 1 ) for a general C1 function j.
Thrre is in fact a unique equilibrium i of ( 1 ) obtained by setting
The matrix of first partial derivatives of ( 1 ) at i is
uuppresging t, this is equal to
by ( 1 ) . Here J could be any interval of real numbers in the domain of z.
The statement of the proposition has an interpretation for the electric circuit
that gave rise to ( 1 ) and which we will pursue later: energy d e c along ~ the
solution curves according to the power dissipated in the resistor.
In circuit theory, a resistor whose characteristic is the graph of j: R + R, is
called parmve if its chsracteristic is contained in the set c o n $ s t i of ( 0 , 0 ) and
the interior of the first and third quadrant (Fig.A for example). Thus in the case
of a passive resistor - r j ( z ) i negative except when z = 0 .

whosc cigrnvalues are given by

[:?(O' n
We conclude that this equilibrium s s t i s f i ~ :
i in a sink if f'(0) > 0,
and
z i s a sourceif j'(0) <0
( s ~ Cllnptrr
r 9).
In oarticular for Van der Pol's equation ( j ( c ) = z' - r) the unique equi- FIG. A
librium is a source.
To analyze ( 1 ) further we define a function W: Rs -r Rr by W ( x ,y) = f(l" + ]+om Theorem 2 of Chapter 9, Section 3, it follows that the origin is asymptoti-
y') ; thus W iu half of the norm aquared. The following proposition is Bimple but
important in the study of ( 1 ) . cally stable and its basin of attraction is the whole plane. Thus the word paMivc
comectly describes the dynamics of such a circuit.

Proposition Let z ( t ) = ( t ( t ) ,y ( t ) ) be a solution cum oj Lienard's equolion ( 1 ) .

Thr~i
P3. Van der Pol'a Equation

The goal here is to continue the study of Lienard's equation for a certain func-
Prwj. Apply the chain rule to the c o m p i t i o n tion j.

J:R'~R
to obtain
 10. DlFFEHENTlAL EQUATIONS FUR ELECTRICAL CIRCUIT[I b3. VAN DER POL'S EQUATION 219

These curves are disjoint; together with the origin they form the boundaries of
the four regions.
Next we see how the vector field ( z ' , d ) of (1) behaves on the boundary curves.
I t is clear that y' = 0 a t ( 0 , O ) and on v+ U u ,and nowhere elm; and z' = 0 exnctly
on g+ U r U ( 0 , 0 ) . Furthermore the vector (x', y') i~ horizontal on v+ U tr and
points right on v+, and left on rr ( f i g . B ) . And ( r ' , y') is vertical on g+ U g-, p o i n t
ing downward on g+ and upward on g-. I n each region A , B, C. D the signs of
x' and y' are constant. Thus in A , for example, we have z' > 0 , y' < 0 , and eo the
vector field always points into the fourth quadrant.
The next part of our analysis concerns the nature of the flow in the interior of
the regions. Figure B suggests that trajectories spiral around the origin clockwise.
C
I v-
The nrxt two propositions make this precise.

FIG. A

This is called V a n der Pol'sequation; equivalently

dx
(2)
-
dl = u - z ' + z ,

"
dt
= -=,
la this case we can give a fairly complete phase portrait analysis

T h e o r e m There id one n o n t r i d periodic solution oj ( 1 ) and every nonequilibrium

solution Leads lo this periodic adution. "The system osn'lloks."

11.17knr,\v from thr previous section that (2) has a unique equilibrium a t ( 0 , O),
ntrrl it is ;I source. Thv next step is to show that every nonequilihrium ~olution
"rotatt>sVin s certain sense around the equilibrium in a clockwise direction. TO
this cnd \vc. divide the ( I , y ) plane into four disjoint regions (open sets) A , B,
C, L) in Iig. A. These rrgions m a k ~up the complement of the curves
TI~esrcurves ( 3 ) thus form thc boundaries of the four regions. Let us make this
nlorc. prl,r.isr. Definp four curves
FIG. B
Proposition 1 A n y trajectory sfarfing a v+ enters A . A n y trajeclmy starting in A
meek g + ; furlhennme it meek g+ befme it meek r,g- or vt.
Prooj. See Fig. B . Let ( z ( t ) ,y ( t ) ) be a solution CWE to ( 1 ) . If ( r ( O ) , y ( 0 ) ) E
v+, then x ( 0 ) = 0 and y ( 0 ) > 0 . Since t ' ( 0 ) > 0 , z ( t ) increaaea for anall t and
so z ( t ) > 0 which implies that y ( t ) decreases for small t. Hence the curve enters A .
Before the curve leaves A (if it does), z' must become 0 again, so the c w e must
cross g+ before it meets rr, r or u+. Thus the first and last statements of the pmpo-
sition are proved.
I t remains to show that if ( 2 ( 0 ) , y ( 0 ) ) 6 A then ( x ( t ) , y ( t ) ) E g+ for some
t > 0 . Sup- not.
Let P C Ra be the compact w t bounded by ( 0 , O ) and vt, g+ and the line y = y ( 0 )
as in Fig, C. The solution curve ( ~ ( t )y (, l ) ) . 0 < t < @ is in P.From Chapter 8,
i t follows since ( ~ ( t )y ,( t ) ) does not meet g+, i t is defined for all t > 0 .
Since z' > 0 in A , r ( t ) 2 a for t > 0 . Hcncc from ( I ) , y'(t) 5 -a for t > 0 .
 -
10. DIFFERENTIAL EQUATIONS FOR ELECTIlICAL CIRCUITS ~ 3 . VAN DER m ~ l aEQuAmoN 2-21

as followe. Let p € v f ; the solution curve 1 & ( p ) through p is defined for dl

1 2 0. There will be a d a t h ( p ) = ti > 0 such that &,,(p) E u+. We put ~ ( p = )
+,,(p). Thus ~ ( p is) the first point after p on the trajectory of p (for t > 0 ) which
is again on vf (Fig. E). The map p -+ b ( p ) is continuous; while this ahould be
intuitively clear, it follows rigomuely from Chapter 11. Hence r is also continuous.
Note that r is one to one by uniqueness of solutions.
The importance of this dim map V: vf -+ vf comes from its intimate relation-
ship to the phase portrait of the Bow. For example:

Proposition 3 LU p E vf. Then p w a p o d of r ( W is, r ( p ) -

p ) tf ond
onl~ifpisonapcriudiesoZulimroj(1)( W W , O , ( P ) = pjorronrcf Z O ) . M o r c o a r
cuery perkdie adulim cum nu& I+.
FIG. C

For these values oft, then
u(t) = I' ~ ' ( 8d). 6 u ( 0 )
This is impossible, unless our trajectory meets g+, proving Proposition 1.
Similar arguments prove (aee fig. D) :
-
P r w j . If r ( p ) = p, then &t,(p) = p, where 1, = t,(p) is as in the delinition
of u. Suppoee on the other hand that u ( p ) # p. Let v* = vf u ( 0 , 0 ) . We observe
'rat that r extenda to a map u* v* which is again continuous and one to one,
- .L sending ( 0 , 0 ) to itself. Next we identify u* with ( y t R I y 2 0 ) b y amignhg to
each point its y-~oordinate.Hence there is a natural order on v': ( 0 , y) < ( 0 , z) if
y < z. It follow8 from the intermediate value theorem that u : tf -r tf is order
preserving. If r ( p ) > p, then d ( p ) > r ( p ) > p and by induction e ( p ) > p,
..
n = 1, 2, . . This means that the trajectory of p never c- u+ agdn a t p.
Hence & ( p ) # p for dl t # 0. A simiiar argument applien if o ( p ) < p. Themfore
if r ( p ) Z p, p is not on a periodic trajectory. The lsllt statement of Proposition 3
follows from Proposition 2 which implies that every trajectory (except ( 0 , 0 ) )
meets vf.
For every point p E vf let k ( p ) = k be the smallest t > 0 auch thst +,(p) E w.
Define a continuow map

FIG. D. Trajectories apiral clockrise.

Proposition 2 Every trajeztory w dejnedjor (af (east) all t 2 0. Ezcept j m ( 0 , O),

each lrajeclary repeatedly crosses Ulc cums vf, p,tr, g-, in d d w i ~ order,
e padsing
among the regiotw A , B, C, D i n cloekluise order.

To analyze further the Bow of the Van der Pol oscillator we define a map I"-
e: v+-+ vf
FIG. E. The map *: o* - .*.
 10. DIFFERENTIAL EQUATIONS FOR mECTRICAL ClRCUlTB w. VAN DER POL'S WUATION

point has the property that I a ( % ) I = 1 981, hence that

From skew symmetry we have also

hence puthing A = 2Lt > 0 we have

Thus g, lies on a nontrivial periodic trajectory 7.

Since 6 is monotone, silnilar r e w n i n g shows that the trajectory through q,, is
FIG. F. The mep a: v+ - u-.
the unique nontrivial periodic solution.
To investigate other trajectories we define a map 8 : r -+ u+, aendmg each point
of u- to the first interseetion of ita trajectory (for t > 0 ) with vf. By symmetry
See Fig. F. The map a ia a h one to one hy uniqueness of solutione and thw mono-
tone. B(P) = -a(--P).
Using the methods in the proof of Proposition 1 it can be shown that there is a Note that r = 6.
unique point p. E u+ such that the solution curve We identify the paxis with the real numbers in the y-coordinate. Thus if p,
q € @ U tr we write p > q if p in above q. Note that a and @ reverae thia ordering
while r preeerves it.
intrrsecta the curve g+ at the point ( 1 , O ) where fl meeta the x-axis. Let r = I p, I. Now let p E v+, p > a. Since a ( % ) = -90 we have a ( p ) < -98 and a ( p ) > q,
Define a continuous map On the other hand, 6 ( p ) < 0 which means the same thing as a ( p ) > - p . T h e r e
(:u++R, fore r ( p ) = B a ( p ) < p. W e have shown that p > q, implies p > a ( p ) > q, Simi-
larly a ( p ) > .'(p) > *and by induction a m ( p )> r a + ' ( p ) > 98, n = I . 2 , . . ..
The sequence r m ( p ) has a limit 91 2 qo in u+. Note that 91 is a fixed point of a ,
where I p I means the usual Euclidean norm of the vector p. Further analysis of for by continuity of r we have
the flow of ( 1 ) is based on the following rather delicate result:

Proposition 4 (a) 6 ( p ) > 0 i j 0 < l p I < r;

(b) 6 ( p ) & e w s mondoncly tu - oa oa I p ] -+ oa', [ p 12 r.

Part of the graph of 6 ( p ) ae a function of I p I ia shown achematidly in Fig. C.

The intermediate value theorem and Proposition 4 imply that h e M a unique
a € flhIh 6(98) = 0 .
We will prove b p o s i t i o n 4 shortly; first we use i t to complete the proof of the
main t h w m of this section. We exploit the a h symmetry of the vectot field
g ( z , y ) = (Y - z-' + 2 , - 2)
glven by the right-hand side o f ( 2 ) ,namely,
u ( - G )!I- = -g(x, u ) .
'l'hb rli,,nns that if 1 4 ( r ( t ) , y ( t ) ) in a solution curve, so is t + ( - z ( f ) , - y ( t ) ) .
Cnnvi(lcr the trajectory of the unique point qp E v+ such that 6(qo) = 0. Thin
 v. VAN DER POL'S EQUATION

Since r has only one fixed point q, = q This ahows that h e h i- of p *rob
totwrdrasf+w.Thesamething~tmeifp<~;thedetailsmlefttothe
reader. Since every trajectory except (0,O) meeta v+, the proof of the main theorem
in complete.

-
I t remains to prove Proposition 4.
We adopt the following notation, Let 7 ; [a, b] + R' be a C1 curve in the p h e ,
written y(f) = (z(t), y(t)). If F: R' R in C , define

It may happen that d ( f ) + <

0 for a f 5 b, m that along 7 , y is a function of
t , y = y ( t ) . In this eaae we cnn change variabien:

mlution curve y into three curves yt, 79, n as in Fig. H. Then

hencc
where
- h(p) + 4(p) + b ( ~ ) ,
Similarly if yf(t) Z 0.
RecaU the function
W(z, u) = +(* + v'). Notice that along yj, y (f) in a function of z(f). Hence

Let y(f) = ( t ( f ) , y(f)), 0 5 f 5 k = k(p) be the mrution curve joining p € u+

to o ( p ) E r.By definition a(p) = W(z(f,), y(f,)) - W(z(O), y(0)). Thus

By the propwition of Section 2 we have

a(p) = [ -
- = ( t ) ( ~ ( t ) ~ 2 ~ ) dl;
)
where f(z) = i - t. As p moves up the -is,

On yx, t ia a function of y, and z 2 1. Therefore, since dy/dl = - t ,

-
y - f(z) increases (for (E, y)
on 71). Hence &(p) decreases ae I p I -+ *. Similarly h ( p ) decreases ae I p I w.

Thi?imrnrdiately proves (s) of P r o p i t i o n 4 because the integrand $ positive for

0 < r ( l ) < 1.
We may rewrite the last equality as
We restrict attention to pointa p t vf with ( p
I > r. We divide the corresponding
l)B I p I in-, the domain [yl, fi] of i n m t i o n beamres stedily luger.
The function y -. z(y) depends on p ; we write it z,(y). As I p 1 imaseq tba
curves p move to the right; hence t,(y) inc- ) - ~ ( y ) ' )d a
m d , m ~ ( y(1
creases. I t foUowa that &(p) dec- na J p ( me-; .rd wklentlv
1irn1.1,. h ( p ) = - w . Thin campietea the proof of Reposition 4
--
.+>(i 10. DIFPERENTIAL EQUATIONS FOR ELECTRICAL CIRCUITB w. HOPF BlFVRCATlON

5. Consider the equation

1. I:ind 1111.phase portrait for the differential rquation

I t has a unique nontrivial periodic solution 7, by Pmblem 3. Show that as
p + m , 7, tends to the c l o d curve consisting of two horizontal line segmmta
andtwoarcaony = i - xasinFig.1.
'2. Give a proof of Proposition 2.
3. (Hartrnan [9, Chapter 7, Theorem 10.23) Find the phaw: portrait of the $4. Hapf Bifurution
f c ~ l l r i \ r i ndifferential
~ equation and in particular show there is a unique non-
tr~vi:llprritdic a)lntion:

given a C' map g,: W -

\\,lrrrv all of the foflowing arc assumed:
(i) J , q a r e C ' ;
(ii) y ( - I ) = -g(r) and r g ( r ) > 0 for all I. # 0;
(iii) f ( - I ) = -f ( z ) and j ( r ) < 0 for 0 < z < a;
(iv) for r > a,f ( r ) is positive and increasing;
( v ) J ( z ) 4 m m r 4 m,
( I i l i ~ i Imitate
: thv proof of the thcorem in Section 3.)
4. (Hard!) Consider the quation
Given f, how many periodic solutions does this system have? This would be
interesting to know for many broad classes of funetions j. Good results on this
would probably make an interesting research article.'
Often one encounters a diflerential equation with parameln. Precisely, one ia
E where W is an open set of the vector space E and r ia
allowed to vary over some parameter space, say p E J = [ - 1, 11. Furthermore
i t ia convenient to suppose that g, is differmtiable in p. or that the map
J X W +E, (it, 4 g,(z)
is C1.
Then one conaidem the diflerential equation
One ia especially concerned how the phase portrait of (1) changes as p varies.
A value w where there ia a basic structural change in thia phase portrait is called
a bifurcation point. Rather than try to develop any sort of ayslematie bifurcation
theory here, we will give one fundamental example, or a rdizbtion of what ia
called Iiopf bifurcation.
Return to the circuit example of Seetion 1, where we now sup- that the
resistor characleristic depends on a parameter p and is denoted by f,: R + R,
-1 < 5 1. (hlaybe is the temperature of the resistor.) The physied behavior
of the circuit is then described by the differential equation on R':

Consider as an example the speeial case where f. is described by

Then we apply the results of Sections 2 and 3 ta nee what h a p p e ~a s r is varied

from - 1 t o 1.
For each p , - 1 5 u 5 0, the resistor is paruive and the pmposition of Section 2
implien that dl solutions tend asymptotically to zem as I + m. P h y d y the
circuit is dead, in that a f k a period of transition dl the currents and vol- .
 10. DIFFERENTIAL EQUATIONS FOR ELECTRICAL CIRCUITS 05. YORE GENERAL CIRCUIT EQUATlONS 229

terminals. The circuit is formed by connecting together various terminals. The

connection points are called mda.
Toward giving a mathemetid description of the network, we define in R8 a
linear graph which corresponds to the network. This linear graph consists of the
following data:
(a) A finite set A of points ( d l e d nodes) in R8. The number of nodes in de-
noted by a, a t y p i d node by a.
-1 s pso O < ~ I I (b) A finite set B of line segments in R1 (called branches). The end points of a
branch must be nodes. D i i n c t branches can meet only a t a node. The number of
FIG. A. Bifurcation.
branches is b; a t y p i d branch is denoted by 0.
stay at 0 (or as close to 0 as we want). But nots thet aa p ctoases 0, the circuit We assume thet each branch g is midcd in the sense thet one is given a direction
becornrs dive. I t will begin to willate. This follow from the fact thet the analysis from one tsrminal to the other, say from a ( - ) tsrminal r to a (+) t e r m i d p.
of Section 3 applies to (2) when 0 < p 1; in this case (2) will heve a unique TheboundaryofBC B i s t h e s e t J g = Pur
periodic solution 7, and the origin becomes a source. In fact every nontrivial For the moment we ignore the exact nature of a branch, whether it is a &tor,
solution tends to 7, as 1 -+ m. Further elaboration of the idear, in Section 3 can be capacitor, or inductor.
usedtoshowthet7,-rOasp+O,p> 0. We auppose also that the set of nodes and the set of branches are ordered, m
Far ( 2 ) , p = 0 ia the biiurcation value of the parameter. The bssic structure of that it makes sense to speak of the kth branch, and ao on.
the ~ h a s eportrait changes as p passes through the value 0. See Fig. A. A currmt awe of the network will be sonhe point i = (i,, . . . , 6 ) E Rbwhere
The mathematician E. Hopi proved thet for fairly general one-parameter families ik repretents the current flowing through the kth branch a t a certain moment.
of equations z' = f, (z) , there must be a closed orbit for p > w if the eigenvalue In this case we will often write S for Rb,
character of an equilibrium changes auddenly at r. from a sink to a souree. The Kirchhoff numenl law or KCL states thet the amount of current Bowing
into a node a t s given moment is equal to the amount flowing wt. The water
analogy of Seetion 1 makes this plausible. We want to expree, this mdition in a
PROBLEMS mathematical way which will be especially convenient for our devebpment.
Toward this end we construct a linear map d: d --+ O where O is the Csrtesian
Bpace R' (reed a is the number of nodes).
1. Find all values of p which are the bifurcation p i n t s for the linear differential If i E s is a current atate and a is a node we define the ath coo*te of di E o
vqu!ttion: tobe
(d0. = C c.ia,
#€I)

where

2. Pmve the statement in the text thet 7, + 0 as p -+ 0, p > 0. .

=
11
1
0
if p = a ,
if & = a ,
otherwise.
One may interpret (di) as the net current flow into node a when the drmit is h
the current etate i.

$5. blorc General Circuit Equations

\\.F her? a tiny of finding the ordinary differential equations for a claas of Proof. It is d c i e n t to check the condition for each node a E A. Thus (dt?. =
elevtricnl !rr,tworksor circuits. We consider networks made up of resistors, capaci- 0 if and only if
tors, and inductom. Later we diacuaq briefly the nature of these objeets, called the Cc& = 0,
branches of the circuit; at premnt it suffices to consider them as devices with twb DfB
23 10. DIFFERENT~A~
EQUATIONS rOR ELECTRICAL CIRCUITS 05. MORE GENERAL CIRCUIT EQUATION6

or from t.he definition of *.a,

ia = E ia,
ICE #€I
P-. r-. P(z1,. . . ,I.) = E z.V(dl,).
r,
This Isst is just the ~xprrssionof KCL a t the node a. This proves the theorem. Thus P t I,*.
To see that d*P = v, consider first the current state i s E d defined above just
Next, a voltage saole of our network is defined to be a point v = ( v l , .. .
, v r ) C Rb, before Theorem 2. Then
where in this context we denote R' by TI. The kth coordinate u, represents the
voltage drop across the kth branch. Thc Kirchhoff voltage low (KVL) m y be
stated as asserting that there is a real function on the set of nodes, a uollage polenlid
(given. for example, by voltmeter readings), V: A -,R, so that us = V ( P ) -
V ( 6 ) for each 6 E @.
To relate KCL to KVL and to prove what is called Tellegen's theorem in net- Since the slates in, 6 t B form a basis for d, this shows that v = d . 9 . Hence v is in
utrrk thmr?, wc: make a short excursion into linear algebra. Let E, F be vectbr the image of do.
spaces \ v h w dual vector spacrs (Chapter 9) are denoted by L",F a ,respectivrly. Conversely, asaume that u = d * W , W E I,*.For the kth node a define V (a)=

u*: F* -
I f u . E -,F is a linear trnnsforniation, then its adjoin! or dual is a lirlrar map
E* defined by u8(+) (y) = +(u(y)), where I E F*, y E E. (Here u*(r)
t E* and maps E -,R.)
is an e l r m ~ n of
W ( f a ) , where f. C I, has kth coordina~e1 and all other coordinates 0.Then V is
a voltage potential for v since the voltage which v assigns to the branch 6 is

Now let + be the natural bilinear map defined on the Cartesian product vector
space E X E* with values in R : if (e, e*) € E X E*, then +(e, e*) = eL(e).

Proposition Let I I : E F be a lineal. lfmp und let K

+ = (Ker 10 x 'lm r c * ) C
+
E x E' Then is zero on K . This completes the proof of Theorem 2.

Prnr!f. Ikt ( P , e*)

4(e, e*)
E K so that u(e)
= 4(e, u*y) =
= 0 and e*
(u*y) (e)
- ufy for some y € F'.
= y (u(e)) = 0.
Then Thr space oJ utlreslricled stales of the circuit is the Cartesian space # X d*. Thoee
ststm which satisfy KCL and KVL constitute a linear subspace K C d X s*. By
Theorems I and 2,
This proves the proposition.
K = Ker d x Im d* C s x s*
Remark. A further argument shows that dim K = dim E. An actual or physical state of the network must lie in K.
We return to the analysis of the voltage and current states of a network. It Thc p o w 6 in a network is a real function d~finedon the big state spaee s X S *
turns out to be useful, as we shall see presrntly, to identify the space with the and in fact is just the natural pairing diiussrd earlier. Thus if ( r , v) E d X do,
dual spare 8' of 9. \Iathematically this is no problem sinrr both 'U and 9 ' are
the power +(i, 11) = u(i) or in terms of Cartesian coordinates
nnt,lr:~llrisonlorphic to Rb. With this idrntification, the voltage which a voltage
.I:LIV 1' . g * axsigns to the kth branch 6 is just u(id), whrre 1 8 E # is thv vector
u I ~ ~ , rt itl .t . kt11 cnordinate is 1 and where other coordinatvs art. 0.
\Vt- rnn now rxprpss I<VL more elcgantl3:
Thv prrvious proposition givcs us

T heorrm 2 A rlollage stale v E d* sali,~fiesK V I, iJ and only tj t t is t n the image

oj fltr, a ~ l j o i ~di*l : D* -. 9
' oJ d: d -. 3). Theorem 3 (Trllrgcn's theorem) T l ~ power
e is zero on skah disfying K i d h o f f a
laws.
P r m j . Suppost. u satisfies Kirchhntr's voltwr law. Tllrn there is a voltage
Ixttcwt~:~l ~ nu1rrlr.r.. w~tll~ ' ( 1 3 )= V ((3') -
V rnapl)lllp, the set of nodes to t h real .\lathematically this is the same thing a s saying that 6:9 X d * -, R restricted
l.(p)for each branch 6. Recalling that I, = R., a = number of nodes, we define to K is zero.
?:$? 10. DIFFERENTIAL EQUATION8 FOR ELECTRICAL CIRCUIT8
Yo\\- iar describe in mathematical terms the three different types of devices in
tllr ~ ~ r t n - t ~the
r k :resistor, inductor, and capacitor. These devices impom conditionn
on thr state, or on how the state changes in time, in the corresponding branch.
Kwh resistor imposes a relation on the current and voltage in its branch. This
assume that (i,, v,) satisfy f,(i,) -
relation might be an equation of the form F,(i,, u,) = 0; but for simplicity we will
u, for some real-valued C function j, of a red
variable. Thus f is a "generalized Ohm's law." The graph off, in the (i,, v,) plane
is called the choracleristie of the pth resistor and is determined by the physical
proprrtic-s of thc resistor. (Compare Section 1.) For example, a battery is a r e
sistur in this context. and its characteristic is of the form { (i,, u,) E R' I v, =
constant 1.
-
An inductor or capacitor does not impose conditione directly on the state, but
only on how the state in that b m c h chsngee in time. In particular let A be an
inductor branch with current. voltage in that branch denoted by Q, vh. Then the
-
xth inductor imposes the condition:-
d i ~
(18) L*(ir) - dl = ur.
Hrrc I,r is determined by the inductor and is called the inductance. I t is assumed
t u Irr. n ('I positivc function of ir.
S1111ilnr1y 4 capacitor in the 7th branch defines a C positive function v,
t.rillvcl tlw capacitancr; and the current, voltage in the Tth branch satisfy.
-
C,(u,)
du
c,(v,) -2 = i,.
dl
We now examine the resistor conditione more carefully. These are conditionn on
the state3 themselves and have an effect similsr to Iiirchhoff's laws in that they
place physical restrictions on the space of all states, s X S*. We define Z to be the
sobst-t of g X 8. consisting of states that satisfy the two Kirchhoff laws and the
rrriitr~rronditions. This space Z is called the space of p h y s i d a t a h and is de-
zcribcd lry
3 = l(t,s)CeXebj(i,v)EK,f,(i,) =v,,p=l, . . . , rl.
HI^ ( I , , ~ b )denotes the components of i, u in the pth branch and p varies over
tllr rt.sistor branches, r in number.
1indt.r rather generic conditions, E will be a manifold, that is, the higher dimen-
sional nnalog of a surface. Differential equations can be defined on msnifolda; the
-
rapncitors and inductors in our circuit will determine diRerential equations on Z
\\.lrosr corresponding flow *,:E Z describes how a atats changed with time.
Bccauae we do not have a t our d i i the notionn of dilTerentiable manifolds,
we will make a simplifying assumption before pmeeeding to the differential eqw
tions of thc circuit. Thia is the assumption that the space of currents in the in-
durtors and voltsges in the capacitors may be wed to give coordinates to Z. We
makt*this more precise.
05 MORE GENERAL CIRCUIT EQUATION8 233
Let C be the space of all currents in the inductor branchea, 80 that E is n a t u d y
isomorphic to R',where 1 is the number of inductors. A point i of 2 will be d e n o w
by i = (11, . . . , i d ) where ir is the current in the Ath branch. There is a naturd
map ( a projection) ir: # -+ which just eenda a current state into its components
in the inductors.
Similarly we let e* be the space of all voltsgea in the capacitor bnrnches m
that e* is isomorphic to R', where c the number of cnpacitors. Also uc: 8 . - e*
-
will denote the correaponr.ljng projection.
Consider the map i~ X UC:s X s* 2 x e* restricted to E C $ x $*. Cdl
this map I: Z E X e*. ( I t will help in following this rather abstract presentation
+
to follow i t along with the example in Section 1.)
Hypotheaim The map I: Z -
;e
E X e* haa an inverrre whkh is a C map
x e* -, e c s x a*.
Under thii hypothesis, we may identify the space of physical states of the n e t
work with the space E X e*. This is convenient because, as we shall see, the dif-
ferential equations of the circuit have a simple formulation on E X e*. In words
the hypothesis may be stated: the current in the inductors and the voltages in
the capacitors, via Kirchhoff's taws and the laws of the &tor
determine the currents and voltages in all the branches.
chanrctaistiea,
Although thii hypothesis is strong, it makea some sense when one reslim that
the "dimension" of Z should be expected to be the same as the dimemion of
E X 12'. This follows from the remark after the proposition on dim K, and the fact
that Z is defined by r additional equations.
T o state the equationn in this case we define a function P : 9 X #* + R called
the mired pdenlicrl. We will follow the convention that indices p refer to resistor
branchea and auma over such p means summation over the resistor bnmehes.
-
Similarly A is used for inductor branches and 7 for capacitor branches. Then
P: # X 8. R b defined by
arbitrary conntant. Now P by restriction may be considered as s map P : Z
and fiually by our hypothesis may even be considered as a map
-
Here the integral tefera to the indefinite integral so that P is defined only up to an
R
(By an "abuse of language" we use the m e letter P for all three map.)
Now assume we have a particular circuit of the type we have been considering.
At a given instant 4 the circuit is in a particular current-voltage atate. The states
will ehange as time goes on. In this way a c w e in # X #* is obtained, depending
on the initial state of the circuit.
Id4 10. DIFFERENTIAL EQUATIONS FOR ELECTIIICAL CIRCUIT8 $5. MORE CENEML CIRCUIT EQUATIONS 235

Tlle cunlponents ip(t), vp(t), 0 E B of this eurve must satisfy the conditions from the drfinition of P and the generalized Ohm's laws. By the chain rule
inrposd by Kirchhoff's laws and the resistor characteristics; that is, they must
be in P. In addition a t each instant of time the components dir/dt and du,/dt of
the tangent vectors of the curve must satisfy the relations imposed by ( l a ) and
( 111).A curve satisfying these conditions we call a phygicol trajectory.
From the last two equations we find
If tlit. circuit satisfirs our special hypothesis, each physical trajectory is identi-
n rurve in & X e*. The following theorem says that the curves so obtained
f l ~ d\\-~tli
arc- cxartly the solution curves of a certain system of differential equations in c (2+ "r) ibl + c ('- i,) v; = 0.
a: x e*.
Since 4' and vA' can take any values,

Theorem 4 (Brayton-Xfnser) Each physical trajectory of an electrical circuit

nnliqjy7itg the specid hypothesis zs a soldion curve of the syslem

The thaorem now follows from ( l a ) and ( i b )

zr.li,.~<h rlrirl 7 rut8 throagh all in(luctors and capoc'fors o j the circuit respectively.
('utzr-rrsrly, every solutior~curve fo t h e equations is a physual trajectory.
Some remarks on this theorem are in order. First, one can follow this develop
ment for the example of Section 1 to bring the generality of the above down to
earth. Secondly, note that if there are either no inductors or no capacitors, the
Brayton-Moser equations have many features of gradient equations and much of
the material of Chapter 9 can be applied; see Problcm 9. In the more general cnse

-
the equations have the character of a gradient with respect to an indefinitemetric.
We add some final remarks on an energy theorem. Suppose for aimplieity that
Here P is the map E X e* R defined above. The right-hand sides of the all the LAand C, are corwtant and let
d;fferential equations are thus functionn of all the i,, u,.

Proor. Consider an arbitrary C1 curve in E X e*. Because of our hypothesis be the function W(i, u) = f Lrir' + + x,
Cp,'. Thus W haa the form of a
a . irlrntii>-
~ a: X e* with Z C 9 X 9'; hence we write the curve norm square and its level surfaces are generalized ellipsoids; W may be interpreted
aa the energy in the inductor and capacitor branches. Define P.: t X e* + R
(power in the resistors) to be the composition
I \ \ liirc~lll~olf's Ian- (l'hmrcm 1) i(1) f I<er d. Hence i'(t) F Ker d. By Theorem 2
1.1 1r I I I I (1'. 1%-l'~~llc,~vn's
tht.orrm, for all 1
where P . ( t , u) = x i,v, (summed over resistor branches). We state without proof:
U Prr\vnte this as T h e o r e m 5 Let +: I + E X e* be any solution o j the equatirms of Ule prenkxa
C v,i, + x u l i r + C u,i, = 0.
theorem. Then

From Leibnis' rule we get

C v,i; = tx u,i,)' - x i,u,'
Theorem 5 may be interpreted a s asserting that in a circuit the energy in the
Substituting this into the p r e c d n g equation gives
inductors and capacitors varies according to power dissipated in the rwiators.
See the early sections where W appeared and was used in the analysis of Lienard's
equation. Theorem 5 pr0vidc.s criteria for asymptotic stability in circuits.
2.76 10. DIWERENTIAL EQUATION8 WR ELECTRICAL ClRCUITB
b. MORE GENERAL CIRCUIT EQUATIONS

1. Let S he a finite set and P C N X N a symmetric binary relation on N (that in,

(I, y) E P if (y, z) P). Suppoee z +
y for all (z,y) E P. Show that there
is a linear graph in R' w h m nodes are in one-to-one correspondence with N,
such that the two nodes corresponding to r, y are joined by a branch if and
only if ( r ,y) E N .
2. Show that Kirchhoff's voltage law as stated in the text in eqnivalent ta the
..
follouing condition ("the voltage drop around a loop in zero") : Let cro, at, . , FIG.B
uk = ao be nodes such that a, and --I are end points of a branch B., m =
1 , . . , C. Then 6. Show that the diRerentisl equatione for the circuit in Fig. B are given by:
di
~2dl = -(" 7 + v7,),
where t, = *l according as ( A ) += a,,, or a,,,-]

3. Prove that dim K = dim E (see the proposition in the text and the remark
at ter i t ) .
do,.
C' -
dl
= a& - J ( i J , . ) .
4. I'ruvr Throrcm 5.
Here i = / ( v ) gives the mistor characteristic.
5. G1ns1dr.r resistors whose characteristic in of the form F(a,, v,) = 0, where F is
:Irr,~rl-valuedCLfunction. Show that an RLC circuit (Fig. A) with this kind of 7. Suppoae given a circuit satisfying the basic hypothesis of this & 44d d
rcmsistr~rantisfie the special hjpoth* if and only if the resistor is current the other ammptions except that the characteristic of one resistor is given
rontn,llcd, that is, F has the form ,
by a voltagecontrolled char~cteristici = f ( v ) , not neeeesarily current con-
trolled. Show that if the corresponding term of the mixed poteatia Pis rep-
by Ivf'(v) du, then Theorem 4 is still true.
8. F i d the differential equations for this circuit (Brayton) (Fig. C). Here1111
denotes a hattery (reaistm with characteristic : v = conat.), q&&. denotes s

FIG. C
238 10. D~FPERENTIAL EQUATIONS FUR ELECTRICAL CIRCUITU

linear resistor, and the box is a reaintor with characteristic given by i = f(v).

9.
Find the mixed potential and the phase portrait for some choice of f. See
Problem 7.
We refer to the Brayton-Moser equations. Suppose there are no capacitonr.
Chapter 11
( a ) Show that the function P: C --. R decreases along nonequilibrium tra- The Poincarb-Bendixson Theorem
jt-ctoriea of the Brayton-Jtoaer equations.
(1)) I r t n be the number of inductors. If each function I., is a constant,
find an inner product on R' = C which makea thr*vector

the gradient of P i n the sense of Chapbr 9, Section 5.

Notes
This chapter follows to a large extent "%tathemtical foundations nf clcctriral
c ~ r r t ~ ~ 1~ .3.Snlalr
"~ In tl~rJor(nmlofD~~e~'e,ztinI
Geot~tetry1221.1'111.I I I I ~ ~ I ~ I . E I . : I , ~ \ I . I I ~ *
trxt nn rlrctrical circuit theory by Desoer and Icuh [53 is excellent for a trratrnnlt
of nluny rrlated subjects. Hartman's h w k [9], ~nentionrdu l ~ oIn Cl~nptcr 11,
goes extensively into the material of our Sections 2 and 3 with many historical
refercnces. Lefwhetz's book Differential Epuolions, Geometrical Theory [I41 also
discusses these nonlinear planar equations. Van der Pol himsrlf related his quation
to heartbeat and recently E. C. Zeeman haa done very intrrrsting work on this
. some phyeical background of circuit theory, onr can see The Feynman
s u b j ~ t For
Lccturca on Phy& [6].
We have already Been how periodic solutions in plnnar d @ d systems play
an important role in electrical circuit theory. In fact the periodic wlution in Van
der Pol's equation, coming from the simple circuit equation in the preview chapter,
haa feature that go well beyond circuit theory. This periodic wlutioa is a 'limit
cycle," a concept we make precise in this chapter.
The Poinca&Bend'uson theorem givea a criterion for the detection of limit
cycler ~nt l ~ e ~ l a o(I~isrriterloncould
e. have been used to findthevan der Potoscilla-
tor. On the other hand, this approach would have miaaed the uniqu-
Poinc&Bendixson is a basic tool for understanding p hd v i d~ I M
but for diflerential equations in higher dimensions i t has no -tion or
counterpd. Thus nfter the first two rather basic sections, we restrict o d v e s to
planar dynamical system. The first section gives wme properties of the Ilnitirq
behavior of orbits on the level of abatraet topological dynamics while in the next
section we analyze the flow near nonequilibrium points of a d y n a m i d aystao.
Throughout this chapter we consider a dynamical ayatem on an open set W in a
vector spaee E, that is, the flow 9,defined by a C1 vector field f: W 4 E.

$1. Limit Sets

if there is a Pequence I . --
We recall from Chapter 9, Section 3 that y C W is an o-limd poi& of z C W
such that lim.,, d , . ( t ) = y The set of all *limit

-
points of y is the o-limit eel L.(u). We define a-limit poinla and the d i m i r ad L. ( y )
by replacing I. -+ a, with 1. - m In the above definition. By a limit at we
mean a set of thr. form L..(y) or L.(y).
Here are some examplea of limit e t s . If r is an asymptotically strbte equilib
rium, it is the o-limit set of every point in ita basin (seeChapter 9, Seetion 2). Any
 P P ~ (a) . Suppoee y E L ( z ) , a n d +(z) = 2. If +L(z) -+YI ~JWI +-(z) v.
-
+

Renee y E L.(z).
(b) If f. rn and +,.(z) 2 y E 4 ( z ) , then f. 2 0 for *~JY b n
m that +,.(z) E 0. Renee y E D = D.
(c) Follow from (b).

PROBLEMS

- FIG. A
1. Show that acompact limitset isconnected (that IS.not the union oftwodisjoint
nonempty closed eets.
2. Identify R' with C' having two complex coordinates (w, r), and w d d e x tbe
linear s y d m
(*) w' = 2riw,

where 9 in aa irrational real number.

equilibrium is its own a-limit set and orlimit set. A c l d orbit is the e-limit and
w-limit set of every point on it. In the Van der Pol oscillator there is a unique eloeed
( a ) Put a = eM' and ahow that the set (a. I n
unitcircleC= ( z E C l l z I = I ) .
-
1, 2, . . .I is dense in the

orbit 1 ;it is the -limit of every point except the origin (Fig. A ) . The origin is t b (b) Let +, be the flowof (*). Show that for n an integer,
a-limit set of every point inside 7. If y is outside y, then L ( y ) is empty.
There are examples of limit sets that are neither closed orbits nor equilibria, for
example the f~gure8 in the flow suggested by Fig. B. There %rethree equilibria, two (c) a) belong to the toma C X C C C'. Use (a), (b) to sbow thrt
Let (a,
aaurees, and one saddle. The figure 8 is the ~ l i r n iset
t of all points outside it. The
right half of the 8 the A m i t set of all points inside i t except the equilibrium, and
similarly for the left half. (d) Find 4 and L. of an srbitrary point of C'
In three dimensions there are extremely complicated examples of limit sets,
although they are not easy to describe. In the plane, howwer, limit sets are f d y 3. Find a linear aystan on
CX ...
XCCCk,then
R* - Cb mch that if a belonga to the &torum
simple. In fact Fig. B is typical, in b t one can ahow that a limit set other than a
closed orbit or equilibrium is made up of equilibria and trajectories joining them.
The Poincan%Beodixson theorem says that if a compact limit set in the plane
contains no equilibria it is a closed orbit. 4. I n Problem 2, mppoee instead that 0 is raliond. Identify L and L d nery
We recall fmm Chapter 9 that a limit set is c l a d in W, and in invariant under point.
the flow. We ahall alao need the following result: 5. Let X be a nonempty compact invsriant set for a (? dynamidsyatcm. Buppwe
that X is minimal, h t is, X contains no compact in&t nonempty proper
subset. Prove the following:
Propodtion (a) If r and r are on Ulc aume trajcdory, then 4 (2) = L.(z) ;8imC
hrly for a-limits.
( h ) If D w a dodd po&bdy inadant ad and o € D, lhm L ( z ) C D ;s i m h i y
-
(a) Every hjeetory in X in d e w in X ;
-
(b) La(?) 4 ( z ) X f o r e a c h t E X;
(c) For any (relatively) open set U C X, there is a number P > 0 such th.(
for nqalivcly inadant & and d i m * . f o r a n y r E X , b E R , C h e r e e ~ t m c h b t + , ( zE) U a n d I t - 4 1 <
(c) A c l o d iwarianl ad, in particuhr a limd set, conhind the d i m i l and dimit
add of aey point i n il.
p;
141 11. THE WIN CAR^-BENDIXSON THEOREM $2. IACAL SECTIONS AND FLOW BOX-

(11) I.'l$rany r , y in X t h ~ r eare sequences 1. -+ m , a. + -m such that

6. Lrt X be a closed invariant set for a CLdynamics1 Bystem on R', such that
1 N - LQ(NI
g,(z) is defined for all t E R, z € X. Suppose that L.(r) = L.(z) = X for FIG. A. The flow box.
all r : X. I'rove that X is compact.
S X (-a, a),where S C H is a section at 0 and a > 0. I n this ease u-e sometimes

52. l ~ x - a lScctiona a n d Flow Boxen
\Vr consitlrr again the flow 9, of the C' vector field J: W -- E. Suppose the origin
0 F E belongs to W .
A local srcfion at 0 of Jis an open set S containing 0 in a hyperplane H C E which
is transvrrw to J By a hyperplane we mean a linear subspace whose dimension
is oncbIps8 than dim B. T o say that S C H is m w s e to j means that j(z). 6 H
for all r E S. In particular j ( z ) # 0 for z E S.
Our first use of a local section a t 0 will be to aonstmct a "flow box" in a neighbor-
hood of 0. A flow box gives a complete description of a flow in a neighborhood of
any ~ronr~uilibrium point of any flow, by m w of special (nonlinear) coordinates
.
write V. = .(N) and call V. a pow bor a t (or about) 0 in E. See Fig. A. An
important proprrty of a flow box is that if z E t'.. then +,(I) E S for a unique
1 € (-u, a ) .
From the definition of it follows that if e L ( p )= (s,y ) , then W1(+,(p)) =
(8 + 1, y) for sufficiently small I a ] , I f I.
We remark that a flow box can be defined about any nonequilibrium point 4
The assumption that a = 0 i~ no real restriction since if . z is any point, one can
replace J(z) by f ( z - a ) to convert the point to 0.
If S is a local eection, the trajectory through a point r, (perhaps far from S) may
reach 0 E S in a certain time 4; 8ee Fi.B. We ahow that in a c& I d sense,4
is a continuous function of zp More precisely:

\\.v I I I ~ ~ this -
Thp drscription is simple: points move in parallel straight lines a t constant s p e d .
L ~ , I)r~ciaca s follows. A diffmorphian t:U V is a differentiable
map f t , > n ~t911,. opcn set of a vcctor space to-another with a diflerentiablc invew.
.\ ,flair. bor is a diffeomorphism

of a neighborhood N of (0, 0 ) onto a neighborhood of 0 in W , which transform

the vrctor field I: W -- E into the constant vector firld (1.0) on R X H. The flow

.
of j is thereby converted to a simple flow on R X H : FIG. B

Plopmition Lel S be a local &ion at 0 as above, and arppose +,.(a) = 0. Them

The map is defined by idanopenael(I C WCM*OiningyandauniqueC1mapr:U - R r u d r W u J ( l o ) =
* ( l , Y) = 4'(1l),

.
for (I, y ) in a sufficiently small neighborhood of (0,0) in R X H . One appeals b
I, and
+.I., (1) E S

.
('hnptrr 15 tosee that I is a CLIMP. The derivative of a t (0,O) is easily computed for all z f Z'.
to bv the linear map ~ h i c his the identity on 0 X H, and on R = R X 0 it sends
Proof. Let h : E +R be a linear map whose kernel H is the hyperplnae eon-
1 to j ( 0 ) . Since j ( 0 ) is tramverse to H, it follows that DP(0, 0) is an isomorphism. taining S. Then h ( j ( 0 )) # 0. The function
Hence by the inverse function theorem maps an open neighborhood N of (0,O)
diffc~omt~rpl~irally onto a nrighborl~nod V of 0 ill E . Wt. taka- N of the forpl.
in 0, and

By the implicit function theorem there ia a unique C map 2 -t r ( x ) E R

011 :I I;, of z,,In W such that +(%) = t,and G(z, r ( x ) ) r 0. Henee
~~~,~yhl)orlroo(i FIG. R
+.(., (z) 5 H ;if U C UI in a sufficiently anull neighborhood of Z. then kc.,(=)E 5.
This proves the propwition.

For later reference note that

A sequence of points may be on the intersection of a solution curve aDd a segment

I; they may he monotone along the aolution curve but not along the aegment, or
vice venur; see Fi. A However, this is impossible if the segmcnl is a locnl &ion.
03. in eLw D y n d c a l Swtenu
Monotone !kquencu~
Figure B shows an example; w e suggest the reader experiment with psper and
pencil !
We now restrict our diacumuion to plsnsr d+Ca m.
Let G,z,,. . . be a finite or infinite aequenca d distinct poinb on the solution Proposition 1 Let S be a local seelion of a C1 plonar dpamical sydmr and yh a,
<
curve C = Id,(z+)lO 1 < a ) . We say the oequenca in m4MtOM along the ItD yt,.. . a sequence of dislincl +nb of S lhal are on the sonre solufim nrm C. I j the
je&y if +,.(z+) = r. with 0< ... <
t, < a. ~ rnonokme along C, il is dso monotone &ng S,
8 c q u e is
..
Let YO, y,, . be a finite or infiniteoequence of poinb on a line w e n t I in Rt.
We say the aequence is mowtone dag 1 if the vector y. - I(. is a & inultiple Proof, I t suffices to consider three points yo, 81, A. Let Z be the &pie closed
.
h,(y, - y,3with I < A, < A,, < . . . n = 2,3.. . . Another way tosay this Is that curve made up of the part B of C between yo and v, and the wgneat T C S between
yo and y,. Let D be the cIoaed bounded region bounded by Z.We euppose that the
y,. 1sbetweeny.-, andy,,, rn thenatural orderalong1.n = 1.2, . . . .
tnriectory of y, leavca D at yl (Fig.C) ; if it enters, the argument in similsr.
We aasert that at any point of T the trajectory leavea D. For it either Ieaves or
enters because, T being transverse to the flow, it crorvles the boundsry of D. The
set of point8 in T whose trajectory Ieaves D is a nonempty open subset T- C T,by

(3
FIG. C
 $3. MONO'IQNE SEQUENCES I N PLANAR D Y N A M I C h L S Y S T E M S 247

~ . o r ~ t ~ nt l~l tl11,~ i t fitnv,

\ tlir wt T I C 7' w h ~ r etrajrctorirs rntrr D is also nI)(.n in
which is nlonotone along the trajectory of r , with a. E J , , b. E J t , n = 1 , 2, . . . .
'I' 51111.~.7' H I I ~'/', itr? d;rjc~itltllnd T = T- U T I , it f0110tv5 from conncctcdnc.~s But uuch a srclurnce cannot be monotone along S since J , and J I are disjoint, con-
$ , I t i l l . itil,,rv:lI thnt 7', must hr empty. tradicting I'roposition 1.
I t htll,ms that tlw cortlplrmrnt of O is positively invariant. ]:or no trajrctory
I :!I, t.1itt.r I ) at a point of T; nor can it cross 8 , hy uniqucnrss of solutions.
'l'l~(,r(,forr. .$,(!I,)
+ RZ - I) for all 1 > 0. In particular, yz ( S - T.
'1'11~ 5c.t <, - T is the union of two half open intervals l a and I, with yo an end-
point of I. and y, an endpoint of II.One can draw an arc from a point .$.(Y,) (tvith
t > 0 w r y small) to a point of I,, without crossing Z. Thrrafore II is outside D. 1. Let A C R2be the annulus
Si1nilar1~-l o is inside D. I t follows that y, E I, since it must he outside D. This
iiho~j-sthat y, is hetween yo and y, in I, proving Proposition 1.
Let j he a C' vector field on a neighborhood of A which points inward along
\Vc come to an important property of limit points. the two boundary circles of A . Suppose also that every radial segment of A
is local section (Fig. E). Prove there is a periodic treiectory in A.
Proposition 2 Let y c L,(z) U L.(z). Then Lhe trajectory of y crosses any l d
~ r c l i < , !nll irof ,riure than one poinl.

Fr(n$. Supposr y, and y, are distinct points on the trajectory of y and S ia a

IIN'!I~ s~~etioli containing y, and y,. Suppose y C L,(z) (thr argument for I,.(z) is
similar). Then y, C L.(x), k = 1, 2. Let V t r lbe flow boxes a t yh defined hy some
intccrvals .I\ C S; we aasume J , and J Y dinjoint (Fig: n).The trajectory of z enters
1',,, ilrfinitc1.voften; hence i t crosses J I infinitely often. Hence there is a sequence

(Hanl: Let S he a d i a l segment. Show that if z f S then +,(z) E S for a

smallest 1 = t(z) > 0. Consider the map S --.S given by z *,(.,(z).)
2. Show that a closed orbit of a planar C' dynamical system meeta a local section
in a t most one point.
3. Let W C R ' be open and let /: W + R' be a C vector field with no equilibria.
Let J C W be an open line segment whose end points are in the boundary of
W. Suppose J is a global sedwn in the aense that f is t r a w e r u e to J , and for
any z C W there exists 8 < 0 and 1 > 0 such that ~ ( x F ) J and O,(r) E J .
Pmve the foUouing statements.
( a ) 1'01. any x c J let ~ ( z E) R be the s d l e s t positive number such that

(h) A point z C J lies on a c l d orbit if and only if F(r) r.

(c) Evrry limit s r t is a closed orhit.
-
F ( z ) = drr., F J ; thismap F : J - J is C1and h w a C inverse.
4. 1,f.l I be a recurrent point of a C' planar dynamical system, that is, there is a Let S b e a l d a e c t i o n a t ~ Ey , 8 o d t h a t S f l y * r . B y l a a ~ a t a & w
sequence 1. -+ f m such that box V, near z we see that there is a sequence 4 < t, < . mcb t h a t ..

(a) I'rovr that pithpr z is an equilibrium or z lies on a closed orbit.

( b ) Show by exnmple that there can be a recurrent point for higher dimen-
sional systems that is not an equilibrium and does not lie on a closed orbit.
+,(z) B S for L,< t
P u t z. = +t.(Z). By Propmition 1, Section 3, z.
< 1, n
- = 1,2,. . ..
z monotonically in S.
There & an upper bound for the set of poaitive numbers f.+, - C For ,rp
pose h ( r ) = z, A > 0. Then for z. d c i e n t l y neat t , +,(zm)C V. and bena
$34. The Poincad-Bendixson Theorem *H#(z*) E
for mme t E [-e, tJ. Thue
By a closed orbit of a dynamics1 system we mean the image of a nontrivial
solution. Thus a trajrctary v is a closed orbit if 7 is not an equilibrium and L d I J > O . FromChapter8,there&6>Osuchthatil1z.-uI <&md
6, (2)= x for nome x C 7, p f 0. I t follows that +.,(y) = y for all y E y, n = 0,
* I , *2, . . . . I 1I I A + r then 1 +&.) - +,(u)l < 1-9.
In this section \ve complrte the proof of a celebrated result:
Let fi be m bge that I z. - z I < d for ail PL > n,,. Then

Theorem (Poincar+Bendin) A nonempty wmpad limit set of a CL planar

dynatnieal system, whkh conhim no eguilibtium point, is a closed or&. 1 It l1.+1.
Then
Proof. Asume L.(z) is compact and y E L ( z ) . (The case of a-limit sets is
similar.) We show fust that the trajectory of y is a closed orbit.
d(+a(z), 7 ) 5 t+a(z) - +t-*.(z)I
Since y belongs to the eompact invariant set L,(z) we know that L.(y) is a
nonrmpty subset of L ( z ) . Let a E L.(y); let S be a local section a t z, and N a
Ro\v box neighborhood of z about some open interval J , 2 C J C S. By Proposition
2 of the previous section, the trajectory of y meets S a t exactly one point. On the aince I t - 1. I I A + e. The proof of the P o i n d B e n d i x s o n theorem is complete.
other hand, there is a sequence 1. -+ m such that +,.(y) --r 2; hence infinitely many
+,.(y) belong to V. Therefore we can find r, a E R such that r > a and
PROBLEMS

It follo\vs that +(y) = +,(y) ; hence 6-,(y) = y, r - s > 0.Since L.(z) contains
no equilibrium, y belongs to closed orbit. 1. Consider a CLdynarnical sy&m in R1having only a finite number of equilibrk
It remains to prove that if y is a closed orbit in L ( z ) then 7 = L.(z). I t is (8) Show that every limit set is either s closed orbit or the mion of equilibria
enough to show that r o d trajectories rp,(z) such that Lim,,+,(z) and Lim,,+,(z) are
equilibria.
(b) Show by example (draw a picture) that the number of diatinet trsjeetories
in L ( z ) may be infinite.
where d ( + , ( z ) , v) is the distance from x to the compact set y (that is, the distance 2. Let 7 be a c l o d orbit oi a C dynsmical system on an open net m R '
. Let
from +,(z) to the neareat point of 7). be the period of y. Let (7.) be a eequeme of closed orbits; glppome the period
?,-PO li. THE PO IN CAR^-BENDIX~N THEOHEM

of r. is Am. If there are points x. E y . such that x. x E y , prove that A,

-+ A.-+

(This result can be false for higher dimensional syatems. I t is true, however, that
if A. -+ p, then p is an integer multiple of A.)

$5. Applications of the PoincsrCBendixson Theorem

\Ve continue to suppose given a planar dynamical system

Definition A litnil cycle is a closed orbit 7 such that y C L,(x) or y C L.(x)

for some z f 7 . In the first case y is called an ~ I i m i cycie;
t in the second c e , an
a-lit cycle.

In the proof of the Poinc&Bendixson theorem it waa shown that limit cyclea is positiveiy invariant, as is the net B = A - y . I t is easy t o m that +,(y) s p k l s
enjoy a certain property not shared by other closed orbits: if y is an w-limit cycle, toward y for ail y B. A useful consequence of this is
there exists x f y such that

For an a - l i t cycle replace

jrctory spirals toward y as t
-- by - m . ~ e o m e t r i c d ythis means that some tra-
e (for ~ l i r n i cycles)
t or aa t -+ - m (for a-limit
Proposition 1 L c f y b e a n d i r n i f c y c l e . I f y = L . ( x ) , x d y f h m x h a a a n e i g k -
hood 1' such thaf y = L.(y) for aU y C V . I n other m&,

A = l y l - f = L.(y)I - y
We sd

cycles). See Fig. A.

ia open.

Proof. i.'or suffici~ntly large t > 0,+, (z)is in the interior of the net A described
above. Hence + , ( y ) E A for y sufficiently ciose to x. This implies the pmpoeition.

A similar resuit holds for a-limit cycles.

cyck.
Theorem 1 A nonempty cornpad ad K thaf ia poai(kly or ncgdtkdy iMMhnl
conlains either a limY cycle or an equilibrium.

Proof. Suppose for example that K is ppsitively invnriant. If z E K,thtn l ( x )

is a nonempty subset of K ;apply Poincan5Bendimn.

Limit cycies possess a kind of one-sided stability. Suppose r is an w-limit cycle The next result exploits the spiraling property of limit cyclea.
and iet +,(z) spirai toward y as t -+ m. Let S h e local section a t z € y . Then there
will br an interval T C S disjoint from y bounded by + , , ( x ) , +,,(z), with lo < 11
a ~ r dnot meeting thc trajectory of x for < t < 1, (Fig. B). The region A bounded Proposition 2 Let y be a closed orb11arid suppose thaf the domain W of& d y o m i c d
I,?. r , T and the curve Lr enclosed by y. Then U amtaitu d h m an
systern inclruies the tuhole open region
equilibrium or a lintit cycle.
l+dz)I lo 5 t 5 tll
2.19 11. THE P ~ ~ H C A R ~ - B E N D I XTHEOREM
$ON
6.APPLICATIONB OF THE POINCAR~-BENDIXSON THEOREM 253
Proof. Let D be the compact set U U 7 . Then D is invariant since no trajectory PROBLEMS
from O can cross 7. If U contains no limit cycle and no equilibrium, then, for any
x t i',
L.(z) = L.(z) = 7 1. The celebrated Brouwcr fcrd poinf Ihwrem statea that any cvntinuous map f
of the closed unit ball
- If S is a local swtion a t a point z
b! l'r,~~~~,:rrf-Rclrdixson.
I, a . s, -t - rn such that
t 7 , there are sequences

+,.(a) € S, +d.(z) -+z, into itaelf has a fued point (that is, j ( z ) = z for some x).
and (a) Prove this for n = 2, ~nsumingthat J is C', by finding an equilibrium for
. t s, +..(X) -+z. the vector field g(z) = /(z) - z.
But this leads to a contradiction of the ~ropmitionin Section 3 on monotone (b) Prove Brouwer'rr theorem for n = 2 using the fact that any continuous
map is the uniform l i t of C' maps.
sequerrces.
2. Ifit f be a CLvector field on a neighborhood of the annulus
Actunlly this last result can be considerably sharpened:

Suppose that, f haa no zeros and that j is transverse to the boundary, pointing
Theorem 2 Let 7 be a closed orbit enclosing an open ael L' contained in the domain inward.
1V of the dytramieal system. Then U contains an equilibrium.
( a ) Prove there is a closed orbit. (Notice that the hypothesis is weaker than
Proof. Suppose U contains no equilibrium. If z. -z in U and each x. lies in Problem 1, Section 3.)
on a clost.d orbit, then x must lie on a closed orbit. E'or otherwise the trajectory of (b) If there are exactly seven closed orbits, show that one of them has orbits
z I\-ould spiral toward a limit cycle, and by Proposition 1 so would the trajectory spiraling toward i t from both side.
of some z..
3. Let J; R1 -+ R' be a C1vector field w i t h no zeros. Suppose the flow +I generated
Let A 2 0 be the greatest lower bound of the areas of regions enclosed by closed
by j preserve area (that is, if S is any open set, the area of +,(S) ie independent
orbits in U . Let (7.1 be a sequence of closed orbits enclosing regions of a m A.

z, -
such that lim,, A. = A. Let z. E 7.. Since 7 U U ie compact we may assume
x c c', Then if U contains no equilibrium, x lies on a closed orbit B of area
.4 (01.Tlrc usual section argument shorn thnt 89 n + Q , 7, gets arbitrarily close
4.
of 1). Show that every trajectory is a closed act.
Let J be a CLvector field on a neighborhood of the annulus A of Pmblem 2.
Suppose that for every boundary point x, J(x) is a nonzero vector tangent to
~ area A. - A (B), of the region between 7. and 8, goes to 0.Thus
to p I I I I ~I I ( , I I C the the boundary.
r. (0) = ..I. ( a ) Sketch the pmible phase portraits in A under the further assumption
\Ye have shown that if U contains no equilibrium, i t contains a closed orbit ,3 that there are no equilibria and no closed orbits besides the boundary
enclosing a region of minimal area. Then the region enclosed by B contains neither circles. Include the cam where the boundary trajectories have opposite
an rquilibrium nor a closed orbit, contradicting Proposition 2. orientations.
(b) Suppose the boundary trajectories are oppositely oriented and that the
The following result uses the spiraling properties of limit cycles in a subtle way. flow preserves area. Show that A contains an equilibrium.
5. Let J and g be C' vector fields on R2 such that Cf(x), g(x)) = 0 for all z. If j
Theorem 3 Lef H be a $ref inlcgral of a planar CLdynamical a y a h (thal is, H has a closed orbit, prove that g has a zero.
LS a r e a l - r a l d Junction lhal i s conslant on lrajcclorics). IJ H is not cmlanl on any
opetl sel, /hen here are no limd cycles. 6. LetJbeaC'vectorfieldonanopensetWCR'andH:W+RaChurction
such that
P~.ooj. Suppose there is a limit cycle 7; let c E R be the constant value of H
on r. If z(t) is a trajectory that spirale toward 7 , then H(z(1)) E c by continuity DH(x)/(z) = 0
of H. In Proposition 1 we found an open set whose trajectories spiial toward 7 ; thua for all x. Prove that:
H is constant on an open set. (a) H is constant on solution curves of z' = /(x) ;
 I 11 I
I rI
1)H (r) = 0 if r belongs to a limit cycle;
If x belongs to a compact invariant set on H-hichDH is never 0,then x
1ic.s on a eloped orbit. Chapter 12
Ecology
Notes

1'. Hartman's Ordinary Diferenlial Epolions [9], a good but advanced book,
coven cxtcnsively the material in this chapter.
I t should be noted that our diiussion implicitly used the fact that a closed curve
in R?n-hich does not intersect itself must separate Rzinto two connectvd rrgions, a
bounded one and an unbounded one. This theorem, the Jordan curve theorem, while
naively obvious, needs mathematical proof. One can be found in Newman's Topology
of I ' l a ~ ~ Sols
c [i7].
In this chapter we examine some nonlinrar two dimrnsional systems that have
been usrd as mathematical models of the g r ~ ~ wof t htw-o sppcies sharing a common
environment. In the first section, which treats only a single species, various math*
metical assumptions on the growth rate are discussed. These are intended to capture
mathematically, in the simplest way, the dependence of the growth rate on food
supply and the negative effects of ovemrowding.
In Section 2, the simplest types of equations that model a predator-prey ecology
are invcstigated: the object is to find out the long-run qualitative behavior of tra-
jectories. A more sophisticated approach is used in Section 3 to study two competing
species. Instead of explicit formulas for thr equatiuns, certain qualitative assump
tions are made ahout the form of the equations. (A similar approaeh to predator
and prey is outlind in one of the problems.) Such assumptions are more plausible
than any set of particular equations can he; one has correspondingly more confidence
in the conclusions reached.
An interesting phenomenon ohserved in Section 3 is bifurcation of behavior.
RIathernatically this means that a slight quantitative change in initial conditions
leads to a large qualitative difference in long-term behavior (because of a change of
w-iimit sets). Such bifurcations, also called "catastrophes," occur in many applica-
tions of nonlinear systems; several recent thwries in mathematical biology have
been based on bifurcation theory.

$1. One Specie.

The birth rate of a human population is unually given in terms of the number
of births per thousand in one year. Thr ~rumbrrone thousand is used merely t~
avoid decimal places; instead of a hirth rate of 17 per thousand one could just ne
2.)6 12. ECOLOGY
uell spenl, of 0.017 pcr individual (although this is harder to visualize). Similarly,
thr prriod of one year is also only a convention; the hirth rate could just es well
br plivc~nill terms of a week, a sccond, or any other unit of time. Similar remarks
al,]>lyto the death ratc and to thr growlh mk, or hirth rate minus death rate. The
~rowtlirate is thus the nct change in population per unit of time divided hy the
total population at the hrginning of thc timc period.
+
Suppose the population y ( 1 ) at time t changes to y Ay in the time interval
[f, f +At]. Then the (average) growth rate is
I I I praeticr y ( t ) is found only at such times b, h, . . . when population is counted;
and ~ t valur
s IS a nonnegative integer. We assume that y is extended (hy interpola-
tion or some other method) to a nonnegative real-valued function of a real variahle.
Wr assume that y has a continuous derivative.
Giving in to an irresistible mathematical urge, we form the limit
'11111s~ U I I I . ~ I Cof> I ~1 is the growth rate of the population a t time 1.
'1'111. sllnplrst assumption is that of a constant growth rate a . This is the case
if tlri! number of births and deaths in a small time period A1 have a fixed ratio to
the total population. These ratios will he linear functions of At, hut independent
111tllc size. of the population. Thus the net change will be ay At where a is a constant;
lit,llrv
;
a = -y' = - logy;
i ~ ~ t ~ ' ~ r nwe
t i nohtain
g the familiar formula for unlimiled growth:
The growth rate can depend on many things. Let w assume for the moment that
it dcpends only on the per capita food supply o, and that a 2 0 is constant, There
will be a m i ~ m u muo necegsary to sustain the population. For o > oo, the growth
rate is positive; for o < no,it is negative; while for s = ro,the growth rate is 0. The
simplrst way to ensure this is to make the growth rate a linear function of o - oo:
Elc,r~.11 : I I I ~a,,nrv co~istants,dependent only on the species, and r is a parameter,
$1. ONE SPECIES 257
dependent on the partieular environment but constant for a given ecology. ( I n
the next section o will he another species satisfying a second differential equation.)
The preceding quation is readily solved:
Thus the population muat increase without limit, remain constant, or approach
0 es a limit, depending on whether o > oa, = -0, or o < so. If we recall that actu-
ally fractional values of y (f) are meaningless, we see that for all practical purposer,
"y (1) -+ 0" really means that the population dies out in a finite time.
In reality, a population cannot increase without limit; a t least, this has never
been observed! I t is more realistic to assume that when the population level exceeds
a certain value q , the growth rate is negative. We call this value v, the limiting
population. Note that ? is not necessarily an upper bound for the population. Rea-
Eons for the negative growth rate might be insanity, decreased food supply, over-
crowding, smog, and so on. We refer to these varioua unspecified eauses es social
phenomena. (There may be p i t i v e soeial phenomena; for example, a medium size
population may he better organized to resist predators and ohtain food than a
small one. But we ignore this for the moment.)
Again making the simplest mathematical assumptions, we suppose the growth
rate is proportional to 1 - y :
a = C ( T - y), c > 0 a constant.
Thus we ohtain the eqwtion of limiled gro]uIh:
Notr that this suggests
This means that during the period At the population changc is cy2Af less than it
would be without social phenomena. We can interpret cy' as a number propor-
tional t o the averagc numher of encounters hetween y individuals. Hence cy' is a
kind of sorial friction.
-
The guilihria of (2) oecur a t y 0 and y = q . The equilibrium a t q isasyrnptot
ically stahle (if c > 0 ) since the derivative of c ( q - y)y at t j is -cq, which is
negative. The hasin of q is 1 y I y > 01 since y (1) will increase to q aa a limit if 0 <
y (0)< II, and decrease to 1 as a limit if < y (0). (This can be seen by eonsidering
the sign of dyldt.)
A more realistic model of a single species is
Here the variahle gmwth rate M is assumed to depend only on the tobl population
w.
 Q'2. PREDATOR AND PREY 259

I t is plausiblr t o assume as before that there is a limiting population II such that
I f (,) = 0 and M ( y ) < 0 for y > v. If very small populations behave like the
unlimited growth model, we assum? hf (0) > 0.
1. .\ population y (t) is governed by an equation
Y' = M(v)v.
Provr that:
-
(ti) equilibria occur a t y 0 and whrnrvrr ill (y) = 0;
( b ) tlie r~quilibriuma t y = 0 is unstable;
I!,) un ccluilibrium t > 0 is asymptoticnlly stabbb if ant1 only if tllcsrr exists
6 > 0 Y U C ~ I that Bf > 0 on the illtrwal [E - t, f ) and hf < 0 on
lations, and ia proportional to At; we write it asf(r, y ) At. What should we p t u l a t e
about !(I, g ) ?
I t is reasonable that I(+, y) be proportional to y: twice as many cats will eat
twice as many mice in a small time period. We also assumef(z, y) ia proportiand
to r : if the mouse population is doublrd, a cat will come across a mouse tuice as
often. Thus we put /(z, y) = Bry, 6 a positive constant. (This assumption is 1-
plausibl~if thr ratio of prey to prrdators is very large. If a cat is placed among a
xufficientl? large mouse population, after a while it will ignore t h e mice.)
The prey spwies is assumed to have a constant per capita food supply available,
sufficirnt to increase its population in the absence of predators. Therefore the prey
is subjrct to a differential equation of the form
I' = A t - Rxy
In this \ca.v wr arrivr s t thr predator-prey equations of Voltem and Lotka:

+
cc, E *I.
2 Suppose the population of the United States obeys limited growth. Compute
the limiting population end the population in the year 2000, using the follou.ing This system has equilibria a t (0, 0 ) and z = (DJC, AjR). It is pas?, to see that
data: (0, 0 ) is a saddle, hence unstable. The eigenvalues a t (D/C, .4/B) are pun? i@-
nary, however, which gives n o information about stability.
Year Population We investigate the phase portrait of ( I ) by drawing the two Lines
19fd 150,697,361
1960 179,323,176
1970 203,184,772

$2. Predator a n d Prey

We consider a predator species y and its prey z. The prey population is the total
fund supply for the predators at any given moment. The total food consumed by
the prdators (in a unit of time) is proportional to the number of predator-prey
cncouotcrs, which we assume proportional to ry. Hence the per capita food supply
for tl~c.predntora a t time 1 is proportional to r(1). Ignoring social phenomena for
t l ~ rnlonient, W P obtain from equation ( I ) of the preceding awtion:
y' = a(z - ao)y,
,I > 0 and
a-l~r~rc. > 0 art. constants. We rewrite this as
o.,
These divide the region z > 0 , y > 0 into four quadrants (Fig.A). In each quadrant
the signs of r' and y' are constant as indicated.
T h r positive x-axis and the positive y-axis are each trajectories as indicated in
Fig. A. The reader can make the appropriatr conclusion about the behavior of the
population.
Othrrwisr earh solution eurvr ( ~ ( t ) y, ( t ) ) mnvm countercloekuim around z
from one quadrant to the next. Consid~rfor ?xampl~a trajectory ( ~ ( f ) ,~ ( 1 ) )
starting a t a point

y' = (Cr - D ) y ; C > 0 , D > 0.

Considrr next the growth ratr of the prey. In rach small time poriod At, a certain
numbtar of prey are eaten. This number is assumcd to dtapend only on the two popu- in quadrant I. There is a maximal interval LO, r ) =J such t h s t ( z ( t ) , ~ ( 1 ) €)
 82. PRWATOR AND PREY 261

r l r O !y" 0 r ' c 0 Therefore (Chapbr 8) ( z ( r ) ,v ( r ) ) is defined and in the boundary of that region;
y' < 0 y', 0 since z(1) is decreasing, ~ ( r = ) DIC. Thus the trajectory enters quadrant 11.
Similarly for other quadrants.
We cannot yet tell whether trajectories spiral in toward z, spiral toward a limit
,
/8 ---- - - - - - -- - 1 1 1
8'. 0
cycle, or spiral out toward "infinity" and the coordinate axes. Let us try to finda
tiapunov function H.
Borrowing the trick of separaliun of variables from partial differential equations,
*'>0 Y x;. 0 we look for a function of the form
y'c 0 Y '0
4
!
I

FIG.A

quadrant I for 0 _< 1 < r (perhaps r - m ). Put Hence

A - Bv = - r < 0 ,

A s lcrllg as 1
Cu-D=s>O.
E J , z(1) is decreasing and y(1) is incren6ing. Hence
We obtain H - 0 provided

d 2'
;log x(1) = -Z = A - B y 5 -r,
Since r and y are independent variables, this is possible if and only if
d_logy(t) = = CZ- D 1 s. z dF/dz y dC/dy
dl Y -= -= Constant.
Cx-D By-A
Therefore
Putting the constant equal to 1 tie get
(2) < z(1) 5 ue-I,
C -

for 0 _< 1 < 7. From the sreond inequality of (2) we see that r is finite. From (2)
and (3) we see that for 1 E J , ( ~ ( f )y, (1)) is confined to the compact r e o n integrating we find
F (2) = Cz - D log 2,
O (y) = By - A logy.
Thus the function

defined for z > 0, y > 0, is constant on solution curves of (i).

,q;j 12. ECOLOGY
62. PREDATOR A N D PREY 263

By considering the signs of J H / J r and JH/Jy i t is easy to srr that the rquilibrium
r = (DiC, A / B ) is an absolute minimum for H.I t follows that H (more precisely,
H - H ( z ) ) is a Iiapunov function (Chapter 9). Therefor? z is a shble equdi6riua1.
We note next that there are no limil cycles; this follows from Chapter I1 because
H is I N I ~rnnstant on any open set.
\VV I l l l l l {)rOvr
No matter what the numbers of prey and predator are, neither species will die
out, nor will it grow indefinitely. On the other hand, vxcept for the state z, which
is improbable, the populations will not remain constant
Let us introduce social phenomena of Section 1 into the equations (1). We ohtain -.
the follouing predalor-prey equatiuna o j s p i e s with l i m W growth:

T l l c o r c ~ n1 Er-rry trojrctory o j the I'olterra-Lotka equations ( 1 ) is o clnaed orbit y ' = (Cz- D -py)y
(crc,,pl lhc, r.qrrilibriurn z n n d the coordinate ares). The constants . I , R, C , D, A, r are all positive.
Proof. C ~ ~ ~ n i dar -point
r w = (u, u ) , u > 0, u > 0; Icr # z , Then thrrr is a Wc dividc. thc. upper-right quadrant Q ( I > 0, y > 0) into sectors by the two
scquencr . . . < 1-1 < 4 < II
,Ir~t11jIyi~~linit,, < . . . nurl~that +,.(w) is on tllr line liow
r = 1) 1 ', I ~ I I ~
L : A - Ry - Ar = 0 ;
t. --+ m as n - m ,
Along these lines t' = 0 and y' = 0, respectively. There are two pansibiiities, ac-
If i< llltt ill a closed orbit, the points +,.(w) are monotone along the line 1: = D/C
11.
cording to whether th& lines intersect in Q or not. If not (Fig. C ) , the predators
I ('t~:~~,t,.r 1 I ). Sinre tllerr are no limit cyclrs, either
die out and the prey population approaches its limiting value A/A (where L meets
the I-axis).

Siurc. If is constant on the trajectory of w, this implies that H (w) = H(z). But this
rol~tr~rlicts minimalit? of H ( 2 ) .

A/ x
FIG. C. Predalom - -
0 ; prey A/&.

This is because it is impossible for both prey and predators to increase a t the
same time. If the prey is above its limiting populatio~~ it must derrease and after
a while the predator population also starts to decrease (when the trajectory crosses
M).After that point the prey can never increase past A/A, and so the predntora
~l<,ii
\\I, II:IVP t l ~ fi,lln\~ing
. (schcmatic) phase portrait (I'ig. B). Thrrc.forr, for continue to decrease. If the trajectory crosspj L. the prey increases again (hut not
;III! r i ~ t initial
. ~ ~ ~)upulations(r(O), ~ ( 0 ) with ) r ( 0 ) # 0 , and y(0) # 0, other past :l/A), while the predators continue to die off. In the limit the predators dis-
111:<11 :. popuI:~tionsof predatcx and prey will rlscillatr cyclically. appear and the prey population stabilizes a t 11 /A.
 FIG. D

Suppose now that L and M crow at a point z = (2, y ) in the quadrant Q (Fig. FIG. E
D ) ; of courser is an equilibrium. The tinear part of the vector field (3) a t r is
r-is - 3 q We alsa see that in the long run, a trnjectory either appronches r or ebe spirals
down to s limit cycle.
From a prnctic~lstandpoint a trajectory that tends toward z is indistinguishable
The characteristic polynomial has paaitive coefficients. Both mta of such a poly-
from z after a certain time. Likewise a trajectory that appronchea a Limit cycle 7
nomial have negative real pa&. Therefore z w asyrnplotually amble.
can be identified with 7 nfter it is sufficiently close.
Nntr that in addition tc the equilibria a t r and (0,O), there is also an quilibrium,
The conclusion ia that ony 4 of prddalora and p r q which obeys s p u a l h ( 2 )
n caddlr, a t the intenection of the line L with the z-axis.
d u a l l y selflea down lo ci(hcr a cunatunl m p e d u pqpuhlian. There we obadule
I t 1s not easy to determine the basin of 2 ; nor do we know whether there are any
upper Sounds fhal no populotia can e& in the long run, M m& whal the indid
limit cyclrs Nevertheless we can obtain some information.
popJolimu are.
Let L meet thc axis a t (p, 0) and the y-axis a t (0, q ) . Let r be a rectangle
whose corners are
(0, 01, (P,01, (0, Q), ( P , Q) PROBLEM
with p > p, > q, and ( p , @)E M (Fig. E). Every trajectory a t a boundary point
of r either enters r or is part of the bound*. Therefore r w porilwely iwarionl.
Every point in Q is contained in such a rectangle. Show by examples that the equilibrium in Fig. D can be either a spiral sink or a
~ Poincark-Bcndixson theorem the w-limit set of any point ( z , y ) in r, with
1 3 tllc node. Draw dragrams.
I > 0, > 0, must be a limit cycle or one of the three equilibria (0, O ) , z or ( p ,0).
W'r r~iluout ( 0 , 0) and ( p , 0 ) by noting that z' is increasing near (0, 0); and y' is
Inc.rl,:mlrll: near ( p , 0 ) . Therefore L.(r) is either z or a limit cycle in l". By a con-
sr.clurnl7rof the Poincd-Bendixson theorem any limit cycle must surround z. $3. Competing Spccia
WP ~ h ~ r r vfurther
e that any such rectangle r contains all limit cycles. For a
l i ~ l ~P>.cII,
it (Like any trajectory) must enter r, and r is positively invariant.
E'ixrrig (P,0 ) as above, i t follows that for any inild valuer (z(O), y ( O ) ) , here We consider now two species z , y which cotnlwte for a cornmon food supply.
errs18 I, > 0 m h U~at Instead of analyzingspec~ficeguations we follow ndrfferent procedure: weconalder
a large class of equations about which we assume only a few qualitative features. In
this way constderable generahty is gamed, and l ~ t t l eIS last b e c a w specrfic
One can also find eventual lower bounds for Z ( L ) and y ( L ) equations can be very diflicult to analyze
 $3. COMPETING SPECIES 267
Thr equations of growth of the two species are written in the form
whrrr: g : [O, b] -r R is a nonncgativc C' map with g-'(0) = b. The function S is
(1) r' = M (E, y)r, positive to the lrft of v and negative to the right
Supposr fi and v do not intersect and that fi is brIoa v . Thrn a haw portrait can
v' = N(x, Y)V, bv founrI in a xtraightfrJrward way following mrthrds of the previous section. The
. c h r r ~the growth ratm M and N are C1 functions of nonnegative variables z, y. rquilibria are (0, O), (a, 0 ) and (0, b). All carhits tend to one of the three quilibria
Thr fi>llowingassumptions are made: but most tu thr asymptotically stabh. (aquilibrium (0, b ) . SIT Fig. B.
(11) If either species increases, the growth rate of the other goes down. Hence
dM t)N
-<O and -<0.
aY ar
( b ) If either popuIation iy very large, neither species can multiply. Hence
there exists K > 0 such that
Ji(1,y)50 and N(z,y)lO if t > K or v Z K .
(c) In the absence of either species, the other has a positive gmwth rate up to
a r ~ r t a i npopuIation and a negative growth rate beyond it. Therefore there are
a.c~n>t:llrIs a > 0, b > 0 such that
.If(1.0 ) >0 for t <a and M(z, 0 ) < 0 for x > a,
.l(O,y)>O for y < b and N(O,y)<O for y > b
I I T I I I . ~ II ~I I I I ~r x R I I I C T . ~ ~1t)e s e t I( = M ' (0) P X H C L ~ Yonce
I{? ( : I ) :tnd (I.) i.i~~.Ia
if 0 5 r 5 a and not at all if E > a. By (a) and the implicit function theorem fi
ir the ~(raphof a nonnegative C1 map j : [0, a] -+ R such that j-'(0) = a . Below
t I ~ rurvr
r p. M > 0 and a h v p it JI < 0 (Fig. A).

Suppose now that fi and u intersect. We make the assumption that f i n r ia a

finite set, and a t each intersection point, fi and vcross transversely, that is, they have
distinct tangrnt Lines. This assamption could be dispensed with but it simplifies
the topology of the curves. hloreover df and A' ean be approximated arbitrarily
closely by functions whose zero sets have this property. In a sense which c a n he
made precise, this is a "generic" property.
The curves fi and v and the coordinate axes bound a finite number of connected
open sets in the upper right quadrant: these are sets where z' # 0 and y' # 0. We
call these open sets bask r e ~ i o m(Fig. C). They are of four types:

In thv ~ Y = IV-'(0) is a smooth eurve of the form

samr way t h set
111: r'<O, y'<O;
IV: xr>O, y1<0.

l o . 01
FIG. C
Thr boundary dB of a basic region B is made up of points of the following typen:
points of p 0 u, d e d vertices; pointa on p or v but not on both nor on the coordinats
axes, called o r d i ~ r yboundary points; and points on the axes.
A vertex in an equilibrium; the other equilibria are a t (0, 0). (a, O), and (0, b ) .
At an ordinary boundary point w E dB, the vector (z', y') is either vertical (if
w E p ) or horizontal (if w E v ) . I t points either into or out of B since r has no
vertical tangents and v hss no horizontal tangents. We call w an inward or outward
point of dB, accordingly.
The following technical result in the key to analysing equation ( I ) :
L e m m a Lcl B be a basic region. Then Ihc ordinary boundary goink of B are ciUlcr
nU inward or aU oufword.
Proof. If the lemma holds for B, we call B good.
Let p be a vertex of B where p and r cross. Then p is on the boundary of four
b w i c regions, one of each type. Types I1 and IV,and types I and 111, are d ' i o n d i y
opposite paim.
$3. COMPETING SPECIES 269
Let rul C p and vo C v be the open arcs of ordinary boundary points having p
s a common end point. If w U a consists mtirr.lj of inward nr entirely of outward
points of dB, we call p goodjor B ; otherwise p is bad for B. I t is essy to see that if
p is good for B, it is good for theother three bmic regions adjacent top, and similarly
for bad (Fig. D). This is because (z', y') rcvcnrs direction as one proceeds along
p or u p a t a prosing p i n t . Hence it makes sense to call a vertex simply gwd or bad.
Bad Good
FIG. U
Consider first of all the region Bo whose boundary contains (0,O). This is of type
I (I' > 0,y' > 0). If q is an ordinary point of n aBo, we can connect q to a point
inside 8 0 by a path which avoids v. Along such a path y' > 0. Hence (z', y') pointa
upward out of Bo a t q since p is the graph of a function. Similarly a t an ordinary
point r of v n dBo, (z',y') points to the right, out ul BOa t r. Hence BOis good, and
so every vertex of Bo is good.
Next we show that if B is a basic region and aB contains one good vertex p of
p il u , then B is good. We assume that near p, the vector field along dB points into
B ; we also assume that in B, z' < 0 and y' > 0. (The other caves are similar.) Let
rul C p, vo C v b arcs of ordinary boundary points of B adjacent to p (Fig. E). For
example let t he any ordinary point of dB n p and q any ordinary point of m. Then
y' > 0 s t q. As we move along p from q to r thv sign of y' changes each time we cross
v. Thc. number of uuch crossing8 is men becaus~.r and q are on the same side of r.
Hence y' > 0 a t r . This means that (z', y ' ) points up a t r. Similndy, I' < 0 a t
every ordinary point of v n dB. Therefore along p the vector (i, y') points up;
along v ic p i n t s left. Then B lies above p and lejt of v. Thus B is good.
This proves the lemma, for we can pass from any vertex to any other along cry
starting from a good yertex. Since successive vrrtices belong to the boundary of a
common basic region, each vertex in turn is proved good. Hence all are good.
As a consequencc of the lemma, each baa& region, and iis closure, L eiUlet PEG
lively or negafiuely invariant.
 FIG. F

hamining the equilibria for stability, one finds the following d t a . A vertex
where p and r each hsve negstive dope, but p is steeper, is s s y m p b t i d y stable
(Fig. G ) . One aeea this by drawing a a d rectangle with aides parallel ta the axes
around the equilibrium, putting one corner in each of the bur adjacent regions.
Such a rectangle is positively invariant; nince it can be arbitrarily small, the equilib
rium is asymptotically stable. Analytically this ia expressed by

slope of %, - --
M=<slopeofv =
M.
- N*
-
N, < O1
where M, = dM/dz, M, -
dM/dy, and ru, on, a t the equilibrium, from which rr
computation yielda eigenvalues with negative real partu. Hence we have a sink.
FIG. E

\Vhat are the possible e l i n i t pointa of the flow ( I ) ? There are no closed orbite.
For n closed orbit must be contained in a b ~ i region, c but this is impossible since
z ( 1 ) and y (1) are monotone slang any mlution curve in a basic region. Therefore
aU -limit pointa are equilibria.
We note also that each trajectory is defined for aU 1 2 0,because any point
lies in a large rectangle r spanned by (0, O), (zo,O), (0,yo), (G,yo) with q > a,
yo > b ; such a rectangle is compact and positively invariant (Fig. F). Thus we
havc shown :

I%eor==na The pow +, of (1)has lhe folkwing property:for aU p = (z,y), z 2 0,

y 2 0, Ihr lttnil
FIG. G
lim OI(P)
1-D

exish and is one of a fin& number of eguilibria. A case by CW study of the different ways p and * can cross ahows that the only
other ssymptotidly atable equilibrium is (b, 0) when (b,0) is above p , or (a,0 )
Wc conclude that lhe populaliona of two competing species always lnul lo one of a when (a,0) is to the right of v. All other equilibria are unstable. For enample, q
.fin& nurtiber of limaling populaliona. in Fig. H is unstable because arbitrarily near it, to the kft, is a trajectory with z
272 12. ECOWCY $3. CO\IPETISG SPECIES L ?3

drcrcilsing; such a trajectory tends toward (0, b ) . Thus in Fig. H, ( 0 , b ) and p
arr asymptotically stable, while q , r, s and (a, 0 ) are unstable. Note that r is a
source.
There musf be a1 leas1 one mymplotuatly alable equilibrium. If (0, b ) is not one,
then it lies under p ; and if ( a , 0 ) is not one, it lies over r . In that case p and r cross,
and thr first crossing to the left of (a, 0 ) is asymptotically stable.
Ilvc*ry trajectory tends to an equilihrium; it is instructive to see how these
a-limits change as the initial state changes. Lpt us suppose that q is a saddle. Then
it can br shown that exactly two trajectories a,a' approach q, the so-called slabk
nlangolds of q, or sometirnea separalrices of q. We concentrate on the one in the
unbounded basic region B,, labeled a in Fig. H.
Xotr that both populations are positive at p. Suppose that some unusual event
occurs, I I I I ~ilccountrd for hy our model, and the state of the ecology c h a n p sud-
d m l y from rqo to 'I. Such an w e n t m l ~ hb~
t introduction of a new psticide, importa-
tion of additional mcmhcrs of onc of thc spcrirs, a forest fire, or the like. .\lathe-
matically the rvcnt is a jump from the hasin of p to that of (0, b).
Sucll a change, eve11 though quite small, is an ecological catastrophe. For the
trajectory of ur has quite a di Rerent fate: i t goes to (0, b ) and the E speeies is wiped
out!
Of course in practical ecology one rarely has TiK.H to work with. Without it, the
change from q to ul does not seem very different from the insignificant change from
uo to a near state u2, which also goes to p. The moral 4 c l ~ a rin. the absence of com-
prehensive knowledge, a deliberate change in the ecology, even an apparently minor
m e , is a very risky proposition.

1. The equations
2' = x(2- I- y),

satisfy rc~nditions ( a ) through ( d ) for rnnlpctinr sprciea. Explain why these

rcluations mtike it mathc.maticallq. posoihl(., b u t cbxtremely unlikely, for both
sprcits to survive.
2. TI\-o species I , y are in syi~rbiosisif an increasr of either population leads to an
increase in the growth rate of the other. Thus we assume

10.01 t o . 0) d3l J.V

->0 and 0. ->
JY az
FIG. H . Bifurcation of behavior.
We also suppose that the total food supply is limitcd; hence for some .4 > 0,
All pointa of B , to the left of a end up a t (0, b ) , while points to the right go to B > 0 we have
p. As we move across o this limiting behavior changes radically. Let us consider hl(z,y)<O if s > . - l ,
this biJurcalim of behavior in biological t e r m .
Let o,, U I be statrs in Bo, very near each other but separated by a ; suppose the .i'(z, y ) <0 if y > B.
trnjrctorv of vo goes to p while that of a, goes tu ( 0 , b ) . The point vo = (a,yp) I f hotll populations are very small, thpy both incrraw; hence
r q r t . w , ~ ~ an
t s emlogv of commting species which will rvrntually stabilize a t p.
.I1 (0, 0 ) >0 and .V10, 0 ) > 0.
 Assuming that the intersections of the curves M m 1 ( O )N-l(O)
, are finite, and was inspired by observation of fish populations in the Upper Adriatic. A discussion
itll arc transverse, show that: of some of this material ia found in a paper by E. W. hlontmll el al., "On the Voltemr
and other nonlinear models" [16]. See also the book The Sfruggk jar Eridfcnce by
( a ) every trajectory tends to an equilibrium in the region 0 < z < A , 0 <
U. D'Ancona [4].
Y < B;
(b) there are no sources; A very readable summary of some recent work ia in "The Btnrggle for Me, I"
by A. Rescigno and I. Richsrdeon [21]. hluch of the material of this chapter wan
(c) there is a t least one sink;
(d) if d M / d z < 0 and d N / d y < 0 , there is a unique sink z, and z = L , ( z , y )
adapted from their paper.
for all z > 0 , y > 0 . A recent b w k by Ren6 Thorn [24] on morphogenesis uses very sdvanced theonen
of stability and bifurcation in constructing mathematical modela of biological
. Prove that under plausible hypotheses, two mutually destructive species can- processes.
not rocxist in the long run.
1. 1 ~ 111 irnd z dmote predator and prey populations. Let
z' = M ( z , y)z,
Y' = N ( z , Y ) Y ,
where M and N satisfy the following conditions.
(i) If there are not enough prey, the predators decrease. Hence for some
b >0
N ( x , ~ ) < 0 if z < b .
(ii) An increase in the prey improves the predator growth rate; hence
d.v/az > 0 .
(iii) In the absence of predators a small prey population will increase; hence
nf ( o , o )> 0.
tiv) Bryond a certain size, the prey population must decrease; hence there
c.xists A > 0 with M ( r , y ) < 0 if z > A .
c v ) Any increase in predators decreases the rate of growth of prey; hence
Jhf/dy < 0 .
(vi) Thc two curves M-'(O), N - ' ( 0 ) interaect transversely, and a t only a
finite number of pointa.
Shr~wthat if there is some (u, u ) with M ( u , u) > 0 and N ( u , u ) > 9
thlm Lhcrc is cithrr an asymptotically stable equilibrium or an -limit cycle.
Slorrovcr, il the number of limit cycles ia finite and positive, one of them must
have orbits spiraling toward it from b t h sides.
3. Show that the analysis of equation ( 1 ) is essentially the same if (c) is replaced
by the more natural assumptions: M ( 0 , O ) > 0 , N ( 0 , O ) > 0 , and M ( 2 . 0 ) < 0
for I > A , N ( 0 , y ) < 0 for y > B.

Note*

There is a good deal of experimental and observational evidence in support of

the grnrral conclusions of this chapter-that predator-prey ecologies oscillate
nhilc competitor ecologiw rcach an equilibrium. In fact Volterra's original study
 51. AEYMPlOTIC 8TABILITY O F CWBED ORBIT8

Chapter 13 We say a point z f W haa aqnplolic period h € R if

Periodic Attractors Theorem 1 Let 7 be an aaymploLakdly sloble closed orbil of penid A. Thtn 7 has a
neighborhood U C W utuh lhal awry pard o j C haa aympldic perid A.
Proof. Let U be the open set Cr, in the definition of asymptotically stable with
W o = U1. Let z C U and fiT e > 0. There exists 6, 0 < 6 5 r, such that if z € 7
and 1 y - z I < 6, then I + ~ ( y )- + A ( z ) ~< e (by continuity of the Row). Of eourae
+r(z) = z. Since d ( + , ( z ) ,y ) + 0 as 1 -r m, there exista 1, 2 0 such that if L 2 ,,f
there is a point 2 , E 7 such that I +,(z) - r , I < I. Keeping in mind #A(z,) = r ,
we have for L 2 b:

Here we define asymptotic stability for c l d orbits of a dynamical system, and

nn rsprcinllv important kind called a periodic attractor. Just as sinks are of major This proves the theorem
itliltor1lltlrm.sl~ir,np(rq~~ilil)ris in rnodrl~of "phvsical" systems, no periodic attractors
l f i ~ ~oft oxrillations in such models. As wc shall show in
nr,. tlu. I I I ~ I S I i ~ ~ l l ) i ~ r kind The significance of Theorem 1 is that after a certain time, trajectories near an
('l~ibl~lt,r I l i . sucl~oscillations persist even if the vector field is perturbed. asymptotically etsble closed orbit behave as if they themselves had the m e period
.l'llr. I I I I ~ I I I r ~ s u l tis that a certain eigenvalue condition on the derivative of the as the closed orbit.
flow inqrlir~sayrnptotic stability. This is proved by the same method of local sec- The only example we have seen of an mymptot,ic closed orbit occurs in a two
ti<.rls~ ~ a i . rarlier(l in the I'oinc&Bendixson theorem. This leads to the study of dimensional system. Thiq is no accident; planar systems are comparatively easy to
"disrrr*tra~lynamicalsystems" in Section 2, a topic which is intsresting by itself. analyze, essentially because solution curves locally separate the plane.
The theorem below is analogous to the fact that an equilibrium Z is asymptotically
stable if the eigenvaluea of Df(f) have negative real part. I t is not as convenient
$1. Asymptotic Stability of Closed O r b i b to use since i t requirea information about the solutions of the quation, not merely

-
a b u t the vector field Nevertheles ~tE ol'grrat ~ n i p o n ; i ~ ~ r r .

Let f: IV Rmbe a C' vector field on an open set W C R";the flow of the dif- Theorem 2 Let 7 be achedorbilojpcrimi A ojllredyomicolsydrm ( 1 ) . L c l p E 7 .
frrrntial equation Suppose lhal n - 1 o j fie cige?umlw of lht linear map D k ( p ) : E + E are lcds than
0) x' = j(t) 1 in abmLulc d u e . Thm t is oayllploficdly alable.
i~ 1I8.11otrfI11y +I.
%me remarks on this theorem are in order. First, it aasumes that $1 is diffemti-
1 . ~ 1 r C If- be a closed orbit of the flow, that is, a nontrivial periodic solution
able. In fact, +,(z) is a C function of (L, z ) ; this is proved in Chapter 16. Second,
curvv JVc call r aay~~tp/o/ically dfuble if for every open set Ul C U', with Y C UI
the condition on D+l(p) is independent of p E 7 . For if q E 7 is a different point,
tllr,rr Ir r i l l ope11 set i . ~ Y, C L'I C U, B U C ~that +,(U1) C 9 for all 1 > 0 and
let r € R be such that 4.(p) = q. Then

Herr d ( r , 7 ) means the minimum distance from x to a point of v .

Thr cltw~dorbit in the Van der Pol millator was shoun to be asymptotically
which shows that D + A ( ~is) to D h ( q ) . Third, note that 1 is an e W -
stablr. On the other hand, the cloeed orbits of the harmonic oscillator are not since
an asynptotieally stable closed orbit is evidently isolated from other closed orbite. value of D h ( p ) eince
D6r(p)f (P) = I ( P ) .
 $2. DISCRETE DYNAMlCAL STSTEMS p79

The elpenvalue condition in Theorem 2 is stronger than asymptot~cstability.
If it holds, we cdl 7 a periodic @ r a c k . Not only do trajectoriee neer a
attractor 7 have the enme asymptotic period M 7, but they are ~ y r n p t o t i c d y
"in ~'hasr"u-ith 7. This is stated preeieely in the following thwrem.
Theorem 3 Let -, be a periodic &actor. I f lim-. d(+,(z), 7 ) = 0, Ihen Ullre
1 +,(I) - ~,(z)l 0.
ia o unlpue point z E 7 arch thnf h+, - from the ranonical form throrrms of Chaptrr 6.
This means that any point &ciently near to 7 has the same fate as a defurite
point of 1 .
I t can be proved (not cadsily)that the closed orbit in thk Vm der Pol oscillatar
is a periodic attnctor (see the Problems).
The proofs of Theorems 2 and 3 occupy the rest of this chapter. The proof of
Thmrrm 2 depends on a locd section S to the flow at p, analogous to thoee in C h a p
ter 10 for planar flow-s: S is an open subset of an ( n - 1)-dimensional subpaee
transvcrsr to the veetor field a t p. FoUowhg trajectories from one point of 3 to
another, defines a C1 map h: So-+ S, where Sois open in S and c o n k h a p. We call
h t h i'nrnrorL
~ map. The following section studies the " d i r e t e dynamical aystem"
h : So-+ S.In particular p E Sois shown to be an ~ y m p t o t i c d ystable hxed point
of h , and this w i l y impties Theorem 2.
PROBLEM
Let y be a closed orbit of period h 7 0 in a plsnar dynamical system z' = .f(z).
L e t p E 7.
( a ) If
I Det D+h(p)l < 1,
space" of somr sort, then g(z) is the state of thr system 1 unit of time after it is in
state x. After 2 units of time it will be in state g2(x) = g ( g ( z ) ); after n units, in
state g m ( r ) .Thus instead of a continuou~family of states j&(z) I t f R) we have
the discrete family [ga(z)I n E Z I , where Z is the set of integers.
The diReomorphism might be a linrar owrator T: E + E. Sueh systems are
s t u d i ~ din linear al~r.hra.We get rather eomplrte information a b u t their s t ~ c t u r e
Suppo~eT = eA, A F L ( E ) . Thrn T is thr "time one map" of the linear flow
cU. If this continuous flow elA reprewnts some natural dynamical process, the
discrete flow T' = em*is like a series of photographs of the process taken a t regular
time intervals. If these intervaki arc very small, the discrete flow is a good appmxi-
mation to the continuous one. A motion picture, for example, is a discrete flow
that is hard to distinguish from a continuous one.
-
The analogue of an equilibrium for a discrete system g: E E is a fir& poid
Z = g ( i ) . For a linear ojxrator T, the origin is a fixed point. If there are other
fixed points, they are eigenvectors belonging to the eigenvalue 1.
We 8hall be interested in stability propertie8 of fixed points. The key e u u n p l ~is a
linear coir!raction: an operator T F L(E) such that
for all z i E. The time one map of a contracting flow is a linear contraction.
Proposition The jollotcqings€olements are equivakrrt:
(a) T is a linear confractiot~;
(b) the etgenvalues of T have absolure d u e s less Iha7r 1;
,,
(c) them is a norm orr E , and < 1, such /ho(

then -, is a periodic attractor, and c o n v e d y . I Tzl 5 ~ l l l

(b) Using the methods of Chapter 10, Section 3, and Lioudle's j m u l a (a proof jar all z 6 E.
of Liouville's formula may be found in Hartman's book [9])
Prwf. If some real eigenvalue A has ahsolutr value I h I 2 I , (1) is not true
Det = e v [/: Df(+.) a], >
if z is an eigenvector for A. If I h I 1 and A is complex, a similar argument about
the complexification of T show-s that T is not a contraction. Hence (a) implies
( b ) . That (c) implies ( a ) is obvious; it remains t o prove (b) implies (e).
show that the closed orhit in the Van der Pol oscillator is a periodic attractor.
We embed E in its complexification Ec, extending T to a complex linear operator
TC on EC (Chapter 4). I t suffices to find a norm on EC ss in (c) regardi in^ Kc aa a
real vector space), for then (c) follows by restricting this norm to E.
$2, Discrete D y n a m i d Systems Recall that Ec is the direct sum of the generalized eigenspaees If, of Tc, uhich
are invariant under Tc. I t suffices to norm each of these aubepaees; if z = zl,

is a C map g: W -
An important example of a discrete dynamieal aystem (preciee definition Ister)
W on an open wt W of vector space which haa a C' inverae
g-I: W + W. Such a map is cdled a difleamarphiam of W. If W represents a "atate
zr f VA,then define I z 1 = maxi/ 1 ) . Thus we may replace Ec h\. VA, or
what is the same thing, sssume that T has only one eigenvalue A.
A aimilar argument reduces us t o the cam where the Jordan form of Tc hay only
 13. PERIODIC AlTRAC1URB $3. S T A B I L I T Y A X D CLOSED ORBITS 281
orrr +*l(.m~,nt;iry
Jordan block for all I i E. Let 0 < r < 1 - r. RJ- Taylor's thmrem tbrre is a neighborbood
1. C M' of 0 so small that if z f t., then

I:or R I I t~ > 0 t h ~ IrS another

~ basis [ e l , . . . , e.1 giving TC tbe "tJorden form" Putting u = y + r < 1 we have I g ( z ) l _< u I z I for z 5 I-. Given a nekhborhood
C' of 0 , cboose r > 0 so small that tbe ha11 C'I of radius r about 0 lies in C . Then
/ r , . ~ I 5 v" I t I for z F C']; hence g m zf C', and g'z + 0 as I + m . completes
thr roof.

Tbc preceding argument can be slightly modified t o show tbat in the specified
norm,
I ~ ) - ~ Y I I - Y Ir < l ,
7'11is \\.as proved in Chaptpr 7. Give F.'c the max norm for this basis.
for all I,y in some neighborbood of 0 in H'.

\vht,n. at. . . , o. are arbitrary complrx numbers. Then if I A I < 1 and t is suffi-
cir11tl.vsniall, ( c ) is satisfied This completes the proof of Proposition 1. 53. Stability and Cloned Orbile

I Y v no\$-dvfine a discrete dynamical system to be a C1 map g: W

is an i,prn set in a vector space 6. If W +
-
E where W
E , it is possible that g' is not defined at We consider again the flow 6 , of a C' vector field f : 117+ E. Let 7 C II' be a
all 1" ~ I I I I L (: ~ H',
f or even at any points of W. (Tbis last case is of course unintemting closed orbit and suppose 0 6 7.
RS I1 11: XYR~P~.)
ll:~1111<'111 Suppow S is a section at 0. If A. > 0 is the period of 7 , then an 1 increases past
:Ifirrrl rlrrrrtl r = g ( Z ) of such a system is aaympfdically stable if every nei~hbnr- A , thr solution curve $,(O) c r o w s S at 0. If x is sufficiently near 0,there nil1 be a
hood I ' C H' of i 1-ontains a n~ighborbo~id (il of z such that !/"(('I) C ( ' for time r ( z ) near h when $,,,(z) crosses S. In this way a map
n 2 0 and
lim g"(z) = i
"--
for all r E (I,. It follows tbe Proposlt~on that 0 IS w y ~ ~ ~ p t o t l r : .;cill,lr
~ l l y for 11 is obtained, ( ' a neighborhood of 0. In fact, bp Section 2 of Chapter 11, there
linear contraction.
is such a C' and a unique C1 map r : C' -. R such that $,l.,(l) C S for all I in C'
In analogy with continuous flows we define a sink of a discrete d.ynamical systrm and r ( 0 ) = A.
g to nltmanan equilibriwm (that is, fixcd point) a t wbich thc ~igmvaluc.~ of Dg have NOWlet I', r be as abovr and put So = S n ('. Define a C1map
nbsviut~.value less than 1.
The main result of tbis section is:

Theorem IAI i be a fired poinl of a discrele dynamical syslem g : W + B. I j the

eryc~rvniursof D g ( i ) arc less than 1 m absolute value, i i s aaympfolicalfy sfable.
Prwj. W'e may assume i = 0 E E. Give B a norm such that for some
Then q is a discrete dynamical system with a fixed point at 0. See Fig. A. \Ye call
g a !'otnrard m b p . Note that the Pnincard map ma? not be definable a t all pointa
< 1, of S (Fig. B).
Therv IS an intimate connection between the dynamieal properties of the flow
near y and those of the Poincan? map near 0. For example:
 13. 8TABILITY A N D CI*)$ED ORBITB

n(Q 2 0 such that

= +.co(z.rtr)
a n d n ( l ) + m -1-+m.Thereforeforf >O
d(+t(z), 7) 5 I 9 4 ~ -
) hcg,(0)l
= I b.c#rzm,,~- C I ~ I ( O ) ( ~
which goes lo 0 as 1--, 0.

Keeping the same notation, we also have:

Pcopition 2 If 0 id a aink for p, then y id adymplolicdly nfable.

Proaj. Let U be any neighborhood of y in W ; we must find U,, a neighborhood
of y in (I,such that ~ , ( U I C
) GI for all 1 2 0 and

for all z E Ul.

Let N C U be a neighborhood of y so a n d l that if I E N and I I I < 2A, thea
FIG. A. A Poincard map p: S, -r S
+,(z) E U (where h is the period of y).
Let H C E be the hyperplane containing the I d &ion S.Since 0 is a aink.
Prolmsition 1 Ida/ g: So--, S be a Poincart map for y oa above. Lel x t So be d the main result of Section 2 say8 that H has a norm such that for m e p < 1, and
rlrn! l i n ~ . ~ gm(r)
. = 0. Then some neighborhood V of 0 in S,,i t is true that

lim d(+,(z), 7) = 0. Iv(z)l < r l z l

1-1 for dl x < V. I*lt p > 0 be so a m d that the ball B, in H around 0 of d i m p is
Proof. z. t S.Since gS+'(z) ia defined, z. E So. Put r(z.) = A.. contained in V n N; and such that r ( z ) < 2 A if z E B,

-
Let g"(z) =
Since . --, 0. A. -, A
I (the period of 7 ) . Thus there is an upper bound r for Define
II A. II 11 Z 01. By continuity of the flow, as n m , Ul = [ + , ( t ) E B", 12 0 ) .
See Fig. C. Then U, is a neighborhood of y which is positively invariant. Moreover
Ul C U. For let y C UI. Then y = +,(I)for m e z E B,, 1 1 0. We scnrert that
unijomrly in 8 [O, r]. For any 1 > 0, there exist 8(1) t [O, r], and an integer (1, z) can be chosen so that 0 < I 5 r ( z ) . For put pm(z)= +. Then z. E V for
all n 2 0. There exista n such that y is between 1. and z.+~on the trajectory of
z ; since z. E V , +(z.) < 2h; and y = &(z) = Q,(z.) for 0 5 I < 2A. Then y E U
because z. E N.
-
Finally, d(+,(y), y ) -+ 0 as 1 m for all y 6 U. For we cnn wirite, for given y,

FIG. B. The Point-6 map is not defined at y.

Since pm(z)-+ 0, the result follows from Proposition 1

The following reault links the derivative of the Poincad map to that of the fh.
-
We keep the same notation.

Proposition 3 Lel !he h m l o n e H CE be inwrionl under b r ( 0 ) . Then

D ~ ( 0 1= D+r(O)l H .
 $3. STABILITY AND C W S E D ORBITS

If ~ . ~ ( isz defined
) and sufficiently near 0 for n = I, . . . , !ithen
,

where

For some v < 1 and some norm on E we have

and using Dr(0) = 0, we h o w that for any r > 0,

I I. - 1.-1 1 I r I g'-lz 1 5 tun-' I z l
if ( I ( is suficiently smaii. T h u s

Hence if t is sufficiently small, the sequence +.~(z) stays near 0 and can be mn-

-
P r w j . 1,rt r : So R be the CLmap such that r(0) = k and g(z)
By the remark at the end of Section 2, Chapter 11, we have
= O(+(Z),2)
tinued for all positive integers n, and the above inequalities are valid for all n. It
follows that the sequence It.) is Cauchy and converges to some a t R. Thus +~.z()
converges to &(O) = z f 7. This implies Theorem 3 of Section 1.

PROBLEMS
Since I)o~(O)( H ) = H = Ker h , Dr(0) -i 0. Hence by the chain m l e

I. Show that the planar system

It is c a y to see that the derivativea of any two Poincad m a p , lor different

s~ctlonsnt 0, are similar.
\!'I, riou h:lve all the ingredients for the proof of Theorem 2 of the fvst section.
Suplx~sry is a closed orbit of period X as in that theorem. We may assume 0 t r.
We choose an (n - 1)-dimensional subspace H of E as follows. H is like an
eigenspace corresponding to the eigenvalues of Der(0) with absolute value leas
than I . Precisely, let B C Ec be the direct sum of the generalized eigenswea
belonging to these eigenvalues for the complexification (D#r(O))c: Ec -+ Ec, and
let H = B fl E. Then H is an (n - 1)dimensional subspace o i E invariant under
DO.(O) and the restriction D+r(O)l H is a linear contraction.
I r t S C H be a section at 0 and g: Sa-t S a P o i n c d map. The previoue pro&-
tion implips that the hxed p i n t 0 € Soisa sink for g. By Pwpoaition2, y isasymptot
ically stable.
To (rrove Theorem 3, it suffices to consider a point z E S, where g: SI -t S is
t h I'crincarh
~ map of a I d ~ectiona t 0 E y (since every trajectory darting near
.r int.rsrets So).
-,
has a unique closed orbit and eompute its Poincah map. Show that 7 is a
periodic attractor. ( H i n t : Use polar coordinates.)
2. Let X denote either a closed orbit or an equilibrium. If X is a s y m p t o t i d y
stable, show that for every h > 0 there is a neighbrhood U of X such that if
P C 'L - X, then ~ , ( p #
) p for all t C [O, A].
3. Show that a linear Row cannot have an asymptotically stable closed orbit.
4. Define the concepts of sloMc dosed orbit of s flow, and stat& fLcd pol'nl of a
discrete dynamical system. Prove the following:
(a) A closed orbit is stable if and only if it4 P o i n c d map haa a atable fixed
point a t 0.
(b) If a closed orbit 7 of period h is stable then no eigenvalue of W r ( p ) ,
p F r, has absolute value more t h one, but the converse can be false.
5, ( a ) I,ct p be an asymptotically stable fixed point of a diserete dynamical
system g: W + E. Show that p has arbitrarily small compact neighbor-
hoods V C W such that g(V) C int V and n&o g'( V) = p.
(b) State and prove the analogue of (a) for closed orbits. Chapter 14
Classical Mechanics
Invrstignte the fixed point 0 for stability and asymptotic stability (aee Problem
4 ) . Cunsidrr separately thr cases I a 1 < 1, I a ] = 1, I a \ > 1.
7. ~'Tht.('r~ntractinp.hlap Theorem) Let X C R" be a nonem~tyclosed set and
.\- - - + .\'a cuntinuous map. Suppose j has a Lipsehitz constant a < 1. Prove
thnt f tias unique fixed point p, and lim.,.f"(z) = p for all z C X. (Hid:
('onsider the squence f"(z).)

The goal of t h ~ very

s short chapter is to do two t l ~ ~ n g(1)
s . to give a statement
of the famous n-body problem of celestial mechanics and (2) to give a brief intro-
duction to Hamiltoninn mechanics. We give a more abstract treatment of H a d
tonian theory than ia given in physics texts; but our method exhibits inmrimt
notions more clearly and has the virtue of passing d y to the case where the
configuration space is a manifold.

$1. T h e n-Body Problem

We give a description of the n-body " p ~ b l e m " of celestial mechanics; this

extsnds the Kepler problem of Chapter 2. The basic example of this mecbanieal
system is the solar system with the sun and planets representing the n bodies.
Another example is the system consisting of the earth, moon, and sun. We are
concerned here with Newtonian gravitational forces; on the other hand, the New-
ton- n-body problem is the prototype of other n-body problems, with f o r m
other than gravitational.
The data, or parametera of thi8aystem, are n ponitive numbers mprwentiog the
maases of the n bodies. We denote these numbers by m,,. . . , m.
The firat goal in understanding a mechanical system ip to define the ~ t l & u d i o n
q a c e , or q s c e of generalised pwitions. In this cam a configuration will coosist
precisely of the positions of each of the n bodies. We will write I ; for the position
of the ith body so that z, is a point in Euclidean three space (the npace in which we
live) denoted by E. Now E is ieomorphic to Cartesian space R' but by no natuml
ieomorphiam. However E does have a natural notion of inner product and m i -
nted norm; the notions of length and perpendicular make sense in the spsce in
which we live, while any system of coordinate axes is arbitrary.
 $1. THE n-BODY PHORLEM 289

Thus Euclidean three space, tbe configuration spacc of onc. body, is a thrce- We deal thrn with t h r space of noncollision stat- which is ( M A) X Y. -
diinrnsionsl vector space together with an inner product. Newton's equations are second order equations an .ti - A which may be written
Tlu, rolifiguration space d l for the it-body problem is the Cartesian product of m.?,=-grad.V(r) for i = l , . . . , n.
.
E \ritll it-~,lf11 tinlcs; thus 111 = ( E ) ' and r = ( r ~ ., . , x.), where I, E E is thc
~>osirl<,~l o f the ith body. S o t r that I, denotes a point in E, not a number. Here the partial derivative D.V of V with respect to I, is a map from JI - A to
0 1 1 , . nlil? drducc thr space of states from the configuration space as the space L ( E , R ) ; then t h e innerproduct on E conrerL~D,V(x)t o a rertorwhtch weeall grad,
7',, of all t:ingcSntvectors to all possible CUNPB in h l . Onr may think of T M as the V ( r ) .T h e process E similar to the defin~tionof gradierlt i r ~Chapter 9. Thus tlre
l r t X .If and represent a state a s ( I ,v) t di X hf, whrrc I is a configura-
~ ) r o < l ~.lI rquatlons make sense as written.
tior! as bc.fa~rv and r = (o,, . . . , v . ) , u, t E being the velocity of t h r ith body. A One may rewrite Newton's equations in such a way that they k o m e a first
stat,, of thv s-stem gives complete information about the systrm a t a given moment -
order system on the space of states (,If A) x I f .
and ( a t Irast in classical mechanics) determines the complc*te lift history of the
stat(,.
'1'111. dvtc.rinination of this life history gors via the ordinary diRcrcntial equations m,v, = -grad, V ( s ) . for I = . . .~ t .
of motion, Xewton's equations in this instance. Good insights into these equations
can b~ obtained by introducing kinetic and potential energy. The flow obtained from this diflcrential equation then determines how a state
T h e kinetic energy is a function K : hi X hi 4R on the spacc of states which moves in time, or the life history of the n b o d i e o n n thrir positions and velocities
is givrn by are given. Although there is a vast literaturr of sevrral centuries on these equa-
I " tions, no clear picture has emerged. I n fact it is still not cvrn clrnr what the basic
K ( I , u) = - C m. I u. 1.' qurstiona are for thin "problem."
2 i-1
%imc*of thr clurstions that h a v ~bern s t u d i d irlrludr,: I s it true that almnat all
HI^, 1111 110)rnrof u , in thr Euclidran norm on E. Onr mav also consider K to be stntca do not h a d to collisions? To what rxtrnt are periodic ~olutionsstable? How
givvrl cIirw.tl>.by a n inner product B on hf by to show the existenec of periodic solutions?How to r r l a t ~t h r thcwry of the n-body
problem to the orbits in the solar systcm?
Our present goal is simply t o puc Newton's equations into the fmnrrwork of
this book and to see how they fit into the more abstract fran~eworkof Hamiltonian
mechanics.
K ( x , u) = B(v, v). We put the n-body problem into a little more gtsneral setting. The key ingrcdi~nts
I t is clear that B defines a n inner product on hf where (u., w.)means the original are:
inner product on E. Configuration space Q, a n open set in a vrrtor spacr E (in t h r above ease
(1)
T ~ pofolfial
P energy V is a function on M dcfined by Q = hi - A a n d E = M).
(2) A C function K . Q X E 4 R , kinetic enrrgy, such that K ( r , v) has the
form K ( r , a) = K.(v, a ) , where K. is an inner product on E (in the above
case K, was independent of 3, but in problems with constraints, K. de-
\VI, silpposr that the gravitational constant is I for simplicity. Note that this pends on I).
functioi~is not defined a t any "collision" (where I, = I,). Lct A,, be the subspaee of (3) A (? function V: Q + R , potential cnergy.
collisions 111 the ith and jth bodies so t h a t
T h e triple (Q, K, V) is called a simple mechanical syalem, and Q X E the stale
A,, = { rE Ai I r. = z j l , i < j. apace of the system. Givcn a simple mechanical system ( Q , K, V) the energy or
Thus A,, is a linear subspacc of the vector spacc Al. Drnotc the spacct of all collisions total cnrrg). is thr function e: Q X E -. R d r f i n d by e(r, v ) = K(I, v ) I.'(r). +
I)? A C .I1 so tlwt A = U Thctn proprrly nprakinp;, the ,lt,tnnin 111 thr pntcntial For a simplr ~nochanicalsystem, one can canonically define a vector field on
,.nr.rK! i.: 11 - A : Q X B wl~ichgive-s the rquations of motion for thc statcq (points of Q X E ) . W e
1': A1 - A + R.
will sce how this can be done in the ncxt section.
 I < X ~ I I I I I ~ofI ~ simple
: mechanical systenls beside the n-body problem include a It can be shown that every avmplectic form is of thiri type for some repwen&
p n r t i r 4 ~rlloving in a conservative central force field, a harmnnic oscillator, and a tion of F ss E X EL.
fr~rtlor~l~~s:. pendulum. If one r x t ~ n d sthe definition of sitnplc mechanical systems Now let U be an open subset of a vector space F provided with a symplectie
to p<.rniit Q to be a manifold, then a large part of classical mechanics may be form n. There is a prescription for assigning to any (? function H : U --9 R,a CI
analyzed in this framework. vector field X H on U called the Hamillonian u c l m JWof H . In thie eontext H m
called a H a m i l h i a n or a Hmiltonian function. To obtain X H let DH: V -r P
be the derivative of H and simply write
92. I l u t ~ ~ i l t o n l aMechanim
n

where 9-' is the inverse of the isomorphism O : F 4 F* defined by D above. (1) m

We shall introduce Hamiltonian mechanics from a rather abstract point of equivalent to saying R ( X H ( I ) ,y ) = D H ( I ) ( y ) , all y E F. T h w X H : If -D F is a
view, and thrn relate it to the Newtonian point of v i ~ wThis
. abstract development C1 vector field on U ; the differential equations defined by this vector field are
prneceds quite analogously to the modem treatment of gradients using inner called Hamilton's equafiaa. By wing coordinates we can compare these with what
prcducts; now however the inner product is replaced by a "symplectic form." are called Hamilton's equations in physics books.
So \vv b r ~ i nour discussion by defining this kind of form. L t 4 be the symplectic form on F = E x ti* defined above and let
If F is a vector spacc, a symplectic jmm n on F is a real-valued bilinear form r = (r,. . . . , z.) represent points of ti and y = ( y , , . . . , y.) points of for the
that is antisymmetric and nondcgenerate. Thus dual coordinate atructures on E and E*. Let h:F + F* be the sw~~&tediso-
morphism.
For any (? function H : U -P R,
is a bilinear map that is antisymmetric: n ( u , v) = - R ( v , u ) , and nonhgenerafe,
which means that the map D H ( r , y) =
,
aH
C -d l ,
ax.
+ C, aH
- dy..
ay.

is an isomorphism. Here * is the linear map from F to F*defined by

I t turns out that the existence of a symplectic form on F implies that the di- This is Been as follows. Observe that ( e u p p m h g ( r , y ) )
mension of F is even (gee the Problems).
Wo givr an example of such a form & on every even dimensional vector space. ~ ( X H= ) DH
If F is an even dimensional vector apace, we may write F i n the form F = E X h",
the Cartesian product of a vector space E and its dual ti*. Then an element j of % ( X H ,u) = DH(w) for all w € F
F is of the form (v, w) where v, w arevectora of E, ti', respectively. Now if j = (v, ul), By letting w range over the standard b& elements of R", one conhmrs the a-
fO = (LP, UP) are two vectors of F, we define pression for X n . The differentinl equation defined by the vector field X n is h:

Thrn it is easy to check that 4 is a eymplectic form on F. The nondegenemy is

o b t a i n ~ ~byi showing that if a # 0, then one may find 0 auch that % ( a , 0 ) Z 0.
Note that Ib does not depend on a choice of coordinate structure on E, so that it
is natural on E X E*.
If onc chooses a basis for ti, and uses the induced basis on EL. 4 i~ expressed
in coordinate8 by These are the usual expressions for Hamilton's equations.
Continuing on the abstract lcvel we obtain the "cowervation of energy" theorem.
4 ( ( v , W ) , (LP, UP)) = C W , ~ U-~ C w # , ~ . The reason for calling it by thia name is that in the mechanical modeb desribed
 $2. 1I4\IILTOSIAX MECHANICS '293

setting, 11 plays the role of energy, and the solution curves represent the
i l l tl~i-.
Then set
nlotlorrs of states of the s ~ s t e m . 0 ) = (9,A,(u)).

Considrr thr rxamplc nf a sirnplr mechanical s>.strnl of a particle with mass rn

/I. I -
T l l r o r r m (Conservation of Energy) Let U be on open set o j a vector s w e F,

sul~rli~tt
: ~ II a symplectic jorm on F. Then H is conslant on Ihe
R arty Cv j u ~ ~ c l t oattd
crrrres defitrerl by /be wclor field X u .
K ( q , r') = inr / u 1.' Thrn A: E X E -
tial e n r r p 1'. I n this rasp s t a t r space is E X E and K: E x E -
moving in Euclidean t h r w space E under a consrrvativc. force firld given by poten-
R is given by
E X E* is given h,. A,(u) = p f E*, \vhere
p(11') = 2 K o ( i t ,10); o r
Proof. If + , ( r )is a solution curve of the vector f i ~ J dX,r, then it has to h shown p ( t u ) = m (e, s )
that and ( , ) is thr inner product on E. In a Cartesian coordinate system on E, p =
mr, so t h a t the image p of u under A is indwd the classical momentum, "conjugate"
to v.
Rrturning to our simple mechanical s>.stem in grneral, note that t h e Legendre
l'lrib t.sl~rl.fisionby the chain rule is transformation has a n inverse, so that A is a diffeomorphism from t h e state space
t o the phase space. This permits one to transfer the e n e r e - function o on s t a t e
space to a function H on phase space called t h e H u ~ l t i ~ l o l of
i a a~ simple nrechanicd
sysfem. Thus 13.e havr
B u t U H ( X H ) is simply, by the definition of X H ,~ ( X H , which is 0 since n is
XH)
antis) rn~rrvtrir.This rnds thr proof.

It is instructive t o compare this development with t h a t of a gradient dynamical

s?-st~rrl.These are the same except for the character of the basic bilinear form
involved; fur one system it is a n inner product and for the other it is a symplectic
fornr. TIIP defining function is constant on solution curves for the Hamiltonian
casr, but cxcept at equilibria, it is increasing for the gradient caw.
Ia'mm the point of view of mechanics, the Hamiltonian formulation has the T h r final strp in converting a simple mechanical s\-stem t o a Hamiltonian system
advantap* that the equations of motion are expressed simplv and without need
is t o put a symplectic form on F = E x X* >
Q x E* = I . . But w e have already
constructed such a form R, in the early part of this srctiun. Using (q, p ) for variables
of rirordinates, starting just from the energv H. Furtherrnorr, conservation laws
follow ea.ily and naturally, the one we proved being the simplrst example. Rather on Q X E*, then Hamilton's equations take t h e form in coordinates
than pursue this direction however, we turn to the question of relating abstract
Hamiltonian mechanics to the more classical approach to mechanics. We shall see
holy the c,nergy of a simple mechanical systcnl can be virwrd as a Hamiltonian H ;
t h diKer~.ntial
~ equations of nlotion of thc system arc then givrn by the vrctor
firlti XI!.

torbi:irr s\->tvnlH: I' -

Thus to a given simple mechanical system (Q,K , V ) , we will associate a Hamil-
R. C' C F , R a sympleetic form on F in a natural way.
It#.rnll rlr;~tconfiguration spacr Q is a n open set in a vector spare E and that
Sine? for a given mechanical system H (intrrpreted as total energ?.) is a lino~vn
function of p , , 9 , , thesr are ordinary ditirrrntial rquati(~ns.The basic sssertion of
Harniltunian mrchanEs is that they descrih thc. nlotion of the system.
Ill(. 5ti1t1.sparr uf t h simple
~ mechanical sj-stem is Q x E . The spacr of grnrralizd
nlolllolltil or phase space of the system is Q X E9, wherr E* is thr dual vector T h e justification for this assertion is t!\-t~fold. On one hand, there are many
Sll2\<.l,of (1, casrn ultr,rt. Ilsn~iltr~n's rquetions arr rr1uivalv~lt to >-4.u-ton's; wc discuss one
'TItv rvlntir,n bc.tn.t**i)t l ~ sr t a t r spncc rind t h phasc
~ spacr of t h r R!-aten> is dven bvlow. OII t h t otlr<.rhand, thcrr a r r crmlnlcnl 141ssi1.itlsyst~.rnstr, which Ses.ton's

lilwar i % o n ~ u r ~ h A,: -
b,v tlrv I.r!/?rldre lransjormation A: Q X E + Q X E*. To d c f i n ~A, fitst drtine a
i s nE~ E*, for each q E Q, by
A,(v)u* = 2K,(u, w ) ; u E E, IV E B
Ia\3-sdo not dirrctl~- apply (such asaspinning top), b u t which fit into the framework
of "sin~plr.mctllhniral systems," especiall!. if the conliguratic~ns p c c is allou,ed
to bra a surfact*o r higher dimemionel manifold. For many such s!-stems, Hamilton'a
wuations havr been verified experimentallj.
 It is meaningleas, however, to tu to deduce Hamilton's q u a t i o m from Newton's and show that H is constant on orbits. The critical points of H are s t a = 0,
on the abstract level of simple mechnnical eystem (Q, K, V). For there is no f(z) = 0 ; use H
. = j ' ( z ) , H.. = 1.)
identification of the elements of the "configuration npace" Q with m y particular
physical or geometrical parametera. 4. Consider the equation
Cuns~drra s an example the apecial caw above where K ( q , v ) = t C mu,' in
+
Curtral~lrlcoordinates. Then m,q = pc and H@, q ) = C ( R 2 / ~ ) V ( q ) ;Hamil-
2 + g(+ + j(l) = 0,
ton's ~qrir~tlonsbecome where g ( r ) > 0, and j is as in Problem 3. Describe the phase portrait (the
function y may be interpreted as coming from friction in a mechanical problem).

Pi1 "
av .
--
3%
Diflerentiating the first and combining them equatiorur yield One modern approach to mechanics is Abraham's book, Faundolions o j M&nica
[I]. Wintner's A d y t i c d Fmndotiona oj Celestial Mechnlur 1251 has a very ex-
tenaive treatment of the n-body problem.

These are the familiar Newton's equations, again. Convenrely, Newton's equations
imply Hamilton'e in this csse.

PROBLEMS

1. Show that if the vector spsee F has a aymplectic form U on it, then F hrs even
dienaion. H i d : Give F m inner product ( , ) m d let A : F -,F be the operator
defined by (Az, y) = fl(r,y). Consider the eigenvectors of A.
2. (Lagrange) Let (Q, K , V) be a simple mechnnical system and X N the ~ a a e i -
ated Hamiltoninn vector 6eld on phase npace. Show that (q. 0 ) is an equi-
librium for X x if and only if DV(q) = 0 ; and (q, 0) is a atable equilibrium if
9 ia an isolated minimum of V. ( H i d : Uee consewation of energy.)
3. Consider the second order differential equation in one variable
r+f(z) =o,
where j; R 4 R is C and if j ( z ) = 0, then j l ( r ) # 0. Deacribe the orbit stmc-
ture of the associated system in the plane
* = v
8 = -f(+)
whm j ( x ) = z - 9.Discm thin p h a ~ p o r t r a iint general. ( H i d : Wder
 Wr call the function f ( t , r ) Lipschilz i n r if tlicrc. is a constant K 2 0 such thet
I f ( 4 1 1 ) - f(1, dl 5K 111 - 19 I
for all ( I , 11) and ( 1 , I S ) in IV.
The fundanil*ntallocal thwrcm for nnnautonomous equations is:
Nonautonomous Equations
Theorem 1 ].el W C R X E be open arul f : IV 4 E a continuow m a p thaf ia
and Dierentiability of Flozus 1,ips~hitzill r. If (6,rb) E W , t b r e is art open inlerual J conloining 1 and a unique
sdulion to ( I ) dejned on J .

The proof is the samc as that of thr fundamental theorem for autonomous equa-
tions (Chaptrr 8),the extra variable L be in^ insrrtrd a h r r e appropriate.
Thc theurrm applirs in particular to functions f(1, r ) that are CL,or even con-
tinuously difirrrntiablc only in r ; for such an f iy locally Lipsehitz in r (in the
obvirms scnsi.). In particular we can prove:

Theorem 2 I.et A . J + L ( E ) be a eonliiiuous nrap from ark open intcnal J fa the

space of lar~earoperalors on E. 1x1 (la, ua) C J X h'. Then the inilal d u e p r o b l n
This is a short technical chapter which bikes carr of some unfinished business A
left over from Chapter 8 on fundamental theory. We develop existence, uniqueness,
I = I r(4) = ua
and continuity of solutions of nonautonomous equations z' = f(1, r ) . Even though has a unique solutiort 011 ail o f J .
our main emphasis is an autonomous equations, the thpory of nonautonomous Proof. It suffices to find a solution on rvrry compact interval; by uniquenm
linrnr crluations I' = A (1)I is needed as a technical dcvice in e.stablishing diffcrcnti- such solutions can be continued ov(.r J. If Jo C J is compact, there ia an upper
nbilit i of fln\\s. Thc variational equationalong asolution of an autonomous equation bound K to thr norms of thr opprators . 4 ( t ) , 1 6 J,. Such an u p p r bound is a
is :i11I . < ~ u : ~ ~ ~ofI I Ithis
I typr. 1,ipsrhitz rnnstant i l l I for f I Jo X E , and Thcorcm 1 can be used to prove Theorem
2.
As in t h r autonomous ease, solutions of (1) arc continuous with respect to initial
conditions if f(1, I ) is locally Lipschitz in r . We leave t h precise
~ formulation and
$1. Existence, Uniqueness, a n d Continuity for N o ~ ~ e u t o n o m o uDilFeren-
s
tlul Equations proof of this fact to the readrr.

A diffcrrnt kind of continuity is continuity of solutions as functions of the data

Lrt E br a normed vector apace, W C R x E an open srt, and f : 1V + E a con- f ( 1 , I). Thatis, iff: IV + E and y: W 4 E are both Lipschitz in z, and If - g I
tinuous map. Lrt ( b , ua) E IV. A solution to thv initial valur prnblrm is uniformly small, we rxpect solutions to r' = f ( l , I ) and y' = y ( t , y), having the
snrnc. initial valucs, ;I] bc. closr. This is true; in fact we havc the following more
precise result.

Theorem 3 I.et W C R x E be open and f, g : It' -+ E continurn. S u p p a a

is s diffvrrntiable curve r ( l ) in E defined for 1 in solnr intrrval J having the follo\ving for all (1, r ) C Tir,
propvrt ics: I f ( 4 1 ) - g ( l ! r ) l < *,
Lo E J and z(b) = &, 1,eL K be a Lipschilz c o ~ ~ s l a ni nt x for f ( 1 , L ) . If r ( / ) ,y ( t ) are solulio~wlo
I' = f(1, I).

V' = g(1. V ) ,
298 15. NONAUTONOMOU8 EQUATION8 AND DIWERENTIABILITY OF PLOWS $2. DIFFERENTIABILITY OF THE ww OF A U T O N O H O U ~ EQUATIONB . 299
x-.
L*
respeclive/y, on rome infemd J, and ~ ( 4 =
) ~ ( 4 ) ~ where f is assumed C'. Our aim is to show that the flow

1 z(t) - v ( 9 l l$ (exp(K I t - 4 0 - 1)
defined by ( I ) is a C' function of two variables, and to identify a+/&.
for all 1 t J. To this end let y(1) be a particular solution of ( I ) for t in some open i n t e r 4
J . Fix 4 E J and put y(4) = yo. For each 1 f J put
Proof. For t E J we have

thus A: J + L ( E ) is continuous. We define a nomutonornous linear equation

This is the voriationol equation of (1) donp Ule solution y (1).

From Section 1 we know that (2) has a solution on all of J for every initial mndi-
Hence tion u ( 4 ) = uo.
The eignificmce of (2) ia that ~j u, is small, then Ule m p
1 4 V(t) + u(l)
+
.
w a good approtirnatio?t Lo Ihe solution x(1) oj ( I ) w i U l initial value r ( 4 ) = y. u*
+ /'In., u(.)) - ria. uis))h
~ To make this precise we intrcduce the following notation. If f f E, let the msp

I[:KI~(~) - Y(~)ILC/'.&. be the solution to (2) which sends 4 to €.If E and yo + E E W, let the map

Let h(!) = I Z(I) - ~ ( f ) lThen

.
be the wlution to ( I ) which sends 4 to yo + E. (Thus y(l, E) = 6,-,(y. + t).)
Propoeition Let JOC J be a c a p 1 iW containing 4. Then
lim I V(f, E) - I ( f ) - ~ ( 1E)I
, =

I t follows from Gronwall's inequality (Chapter 8) that

i-a It1
uniformly i n 1 E Jo.

u(l) + ' < ' e x p ( K l t - b l ) , This meana that for every r > 0, there exists 6 > 0 such that if I E I Id, then
K-K
which yields the theorem.
f o ~all t t Jo. Thus as E -+ 0, the curve t + y ( 1 ) + u(L, E) is a better snd better
+
approximation to y(f, 5). In many applications y(t) u(t, E) is used in pbee of
(2. DilTercntiebility of the Flow of Autonomous Equations y (1, E) ; this is convenient because u(t, [) is linear in 5.
We will prove the presently. First we use (3) to prove:

Coriric11.r an autonomous differential equation

Theorem 1 The flow +(1, r ) o j ( I ) is C'; lhnl id, d+/df and */dl erid and an
( 1' r' = ( I ) f : W --r E, W open in E, contznuow in (1, z).
300 15. NONAUTONOMOOS EQUATIONS AND DlFFEHBNTlABlLlTY OF PLOWS 8'1. DIFF&II~NTlABlLllTO F THE FWW O F AVTOXO\(OUS EQVATIOXS

Proof. Of course a+(!,z ) / a l is just f ( + , ( z ) ) ,which is continuous. T o compute The Taylor estimate for f says
d+/dr \\-r2 have, for small
j(y) -f (2) = Df ( I ) ( y - r ) + R(z, Y - 4,
d ( l , yo + f ) - +(L, Yo) = V ( l ,f ) - ~ ( 1 )
limR(z, y - , ? ) / I y - z ( = O
Thc proposition now implies that a4(1, a)/ax E I,(@ is the linear map -+ u(L, f ) . 9-Y
Thc continuity of d+/dr is a consequence of the continuity in initial conditions and
data of solutions to the variational equation (2). uniformly in y for y in a given compact set. We apply this t o y = y(8, E), z = y(8) ;
Drnoting the flow again by + , ( I ) ,we note that for each 1 the derivative D+t(r) from linearity of D f ( y ( 8 ) ) and (4) we get
of t l ~ rrl1;11) +, a t I E W is the same as a + ( / ,r)/d+. W e call this the space der~ualiw
of t h r f l o ~ v ,as opposed to the lime derivdive z)/dl.
TII(. proof of thc preceding thmrem actually cornputm & , ( a ) as the solution
to a n initial value problem in the vector space L ( E ) : for each r0 t W fhe apace
derit'alive of /he pow satisfies

Denote the left side of (5) by g(1) and put

N 1 € Jal.

-
= maxlJIDf(y,s)ll 8
Il,.rr. L\-P rcgzrrd roas a parameter. An important special case is that of an equilibrium
i so that +,(q i . Putting D f ( i ) = A E L ( E ) , we get
Then from ( 5 ) we get

D&(Z) = I . Fix e > 0 and pick I , > 0 so small that

Thc solution to this is
D+,(r) = el*. (7) I R ( y ( s ) , y(a,O - ! ~ ( s ) )5l - l y ( s , E) - y($)I
T11ls rncalrs that in a neighborhood ojan equilibrium lhejow is approximately linear. if I y ( s , f ) - y(s)l 5 60 and s E Jo.
We now prove the For simplicity we take 6 = 0.T h e integral equa- From Chaptpr 8, Section 4 there are constants K >_ 0 and I, > 0 such that
tions satisfied by y (1, f ) , y (1), and u(1, f ) are
(8) I Y ( ~ , £ ) - ~ ( 8 1 1l lfIfl'5~0

if 1f 1 I a, and
E Ja. (I

Assume now that ( 6 ( 5 61. From ( 6 ) , (7), and (8) r e find, for i C do,

g(1) 6 h r / ' ! ? ( s ) d 8 + 4'.1(1@'ra,

whence

for some constant C depending only on K and the lrngth of JO.Applying Gronu-all's
 $2. DlFPEHENTlABlLITY OP THE PLOW OP AUTONOMOUS EQUATIONB 303

inequality we obtain PROBLEMS

a ( 0 s Cd"' 1 C I
if t t J. and I ( 1 5 il. ( R e d that 61 depends on a.) Since is m y pmitive number, 1. Let A : R -,L(E) be continuous and let P : R + L ( E ) be the solution to the
this ahows that a ( ; ) / ( I 4 0 uniformly in 1 E J., which proves the propdtioa. initial value problem
We &ow next that the flow enjoys the m e dagse of differenthb'ity ss doen P'=A(L)P, P(O)=Po€L(E)
the data. Show that
A function f ; W + E is d e d C , 1 5 r < m if i t hrs r continuous derivatives
Forr> 2thisMequi&tto:fLOdDfi W + L ( E ) MCC1. I f f M C f o r d l
r 2 1, we say f M C-. We let O m a n "continuou&"
2. Show that if j is (?, some r with 0 5r $ m, m d z(1) is asolution to x' = f(x),
then x is a C*I function.

Proof. We induct on r, the ease r = 1 having bctn pmved in Thebrem 1.

We m y mppose r < m for the p m f .
Suppose, na the inductive hypothesis, t h t r 2 2 . a d that the flow d every
differential equation
t' = F(t),
with C--'dBt8F , i s O'.
Consider the differential equation on E X E d&ed by the vecbr field

or equivalently,
(9) 2' = f ( x ) , up = Df(2)u.
S j c e F k C-I, the Bow 9 of (9) is O n .But this ia just

aince the aecond equation in (9) M the vsrktioarl equation d the first equation.
Therefore a+/ax is a Cr' function of (1, z), &w &/ax = D+,(z). MOreover
@It31 1s Cr-' (In fact, C
' in t) since

I t follows thst 4 is C' ainee its firat partid derivstivm are O'.
 51. PI:IlSlSTESCE O F EQUILIBRIA 3G

A nnyhborhocd of f E V ( W ) is any subset 37 C V(1V) that contains a set of the

form
Ig E w ( W ) I llg - J I I , < *I
for @om(.t > 0 and somr norm on IT.
Perturbation Theory Tllr spt V( W ) ha? thr formal proprrti~sr ~ af vrctnr spare undpr the usual opcra-
tiong of addition and scalar multiplication of vt.ctor-valurd functions. The C' norm
and Structural Stability has ninny of the same formal propwtic* as thr norms for m t o r spaces defined
earlier, namely,
I l h 111 2 0 ,
1 ) h 11, =0 if and only if h = 0,

whew if 1) h 111 or 11 g 111 is infinite, the obvious interpretation is made.

We can now state our first perturbation theorem.

T h m r e m 1 1x1 f: W -*E be a C1 vector field ar~di E 1V a n equilibrium of I' =

This chaptpr is an introduction to the problem: What effect does c h a n ~ n gthe
diflrrcntisl Prluation itself have on thesolution? In ~atiicular,we find general condi-
tions for rquilibria to undrr small prrturbations of the vector field. Similar
rc.sults arp found for periodic orbits. Finally, we discuss briefly more global problems
of tllp snmr type. That is to say, W P consider the question: When do- the phase
portr:tit itself ptrsist under perturbations of the vector field?This is the ~ r o b l e mof
~trurturalstability.
dCW
f ( z ) such /ha1 D j ( 2 ) E L ( E ) is itlvertible. Then there erisls a r ~ k ~ h b a r h oU
of i and a rteighborhocd X C V(W) of j such that /or a n y g E 32 there ia a uniquc
equilibrium g t U of y' = g ( y ) . Moreouer, if E i s normed, for any t > 0 roe con
choose 32 so lluzt I g - i. I < r.
Theorem 1 applies to the spocial case where i is a hyperbolic equilibrium, that
is, thr (~i~cnvalurs of D f ( i ) have nonzi.ru real parts. In this case, thr inricr ind(f)
o f f in 1111.n~rrt~t>~,r
r l f c~i~~.rrvnluca
(cour~tingrn~rltipliritics) of Dj(i)having nwative
rrnl parts If dill1 B = n , thrn i n d ( i ) = n tnr.atn f is a sink. while i n d ( t ) = 0
means i t is a source. We can sharpen Thwrcru 1 as fmllo\vs:

Theorem 2 Suppose Ulol t i s a hyperbolic equilihriunz. 111 Theorem 1 , /&n, 32,

U can be chosen so thal i J g E 37, Ihe unique equilibrium g E U of y' = g ( y ) id hyper-
1.r.t 11' 11,. an open srt in a vretor space E and J : W -t E n C1 vector field. BY a
bolic and haa the same inder as 2'.
perlurhaliotg of j we 8imply mean another C vector field on W which we think of as
being "C' close to j," that is, Proof. This lollon-s from a theorem in Chapter 7 and Thmrem 1.

Ij(r)--g(z)I and IlDf(z)-Dg(~)Il The proof of Throrem 1 has nothing to do with differential equations; rather, it
depends on thr following result about C' maps:
arr small for all r F W .
T,, 1n:lht. this nlrirr P f ~ ~Irti V(1V) ~ ~ , be the set of all C1 vrctor fields on W. If
F,' h:!. :I 11, ~ I I I I . 11-\-r-drfinr thv C1-norm 11 h 111 of a vector field h E v ( W ) to be the Proposition L e t / : W 4 E k C 1 and suppose r, 6 IV is such t h d the l i t t a r operalor
1 ~ : t . t 11111)c.rI N I U I ) ~of all thr nunihrrs DJ(so): R 4 E rs invertible. Then there is a r~eighborhuod 3L C V(W) of J and an
opor sel 1' C W conlaintng r o such lhal rf y t X , Lher~

(a) [j I 1 is one-10-OILP,
and
\ .a, :~il,n\111cpossibility ( 1 h 11, = rn if thrse numbem are unbounded. (h) f(10) c g(U).
 gk. PERslSTENCE OP EQUILIBBIA

-
Theorem 1 follows by taking z. Z and/(*) = 0, for then g(y) = 0 for a unique
0 t C'. To make I p - z I < e (assuming E is nonned now) we eimply replace W
Therefore

by W , = { r E W / 12 - i I < c ] . The ~roposition guarantees that 32 can be 1 ) -Y 2 Y I-

I;' II Dj(y + Lu) - D j ( y ) l l l u 1 dl.
c,
chosen so that U , and hence is in W ofor any g E X.
From (3) and ( 2 ) we then get
I t remains to prove the p r o p i t i o n . In the following lemma9 w e keep the same
notation.

Lemma 1 A asume E w normad. Lcl T h u s j ( y ) # j ( z ) . This proves Lemma 1

v > I1 W(=)-l 11. Lemma 2 Suppose E w a nonned vector gpace with norm ds,t¶ncd by an i n w p r a .
I A ~V C W be an open ball mound ro areh Ihd Let B C W be a dosed ball around lo with boundary aB, and j: W -+ E a C mnp.
Suppoac D j ( y ) is invertible jor aU y € B. Let
(1) I1 D~(Y)-Il l < v3
m i n l l j ( y ) -/(%)I IY E aBl > 26 > 0.
Then w E j ( B ) i j I w - j(zo)l < 6.
j o r a l l y, z € V. Tihcnjl Vbone-toonc. Prmj. Since B is compact, there exists yo E B at which the function

Prmj. If y E V snd u E E is nonzero, then H : B + R,

u = Df(y)-'(Dj(y)u); ) w Is
H ( Y ) = i I ~ ( Y-
hence takes a minimal value. Note that yo cannot be in dB, for if y E aB, then
l u l 5 l l D ~ ( Y ) - ' II I D f ( ~ ) uI.
so, from ( I ) , Ij(Y) - w I ? Ij(Y) - j ( ~ a ) l- lj(-%) -wI
Iu I > 2a - 6.
(3) I DJ(y)(u)l > T- Hence
) w l > a > I/(%) - w l ,
I ~ ( Y-
+
Now let y, 2 be dietinct points of V with r = y u. Note that since V is a ball, showing that I j ( y ) - w I is not minimal if y E aB.
y + t u E V f o r a l l t E [O, 1). DefineaCmapq:[O, 1 1 - + E b y Since the norm on E comes from an inner product, I z 1' is differentiable; its
q(L) = j ( y e tu). derivative a t I is the linear map z -+ (x, 2). By the chain rule, H is differentiable
and its derivative a t yo is the linear map
Then
4 ) =j(y), *(l)=j(z).
Since ye is a critical point of H and yo in an interior point of B, DH(y,) = 0.
By the rhain ~ l e , Since Dj(y0) is invrrtible, there exists u t E with
v'(L) = Dj(y + tu)u. D ~ ( Y o )YO)
~ - w.
Hencr Then
0 = DH(yo)u
= V ( Y-
~ w, YO) - w)
= I j(@) - w 1'.
Therefore j(y0) = w, proving Lemma 2.
 $2. PERSISTENCE OF CLOSED ORBIT8
308 16. PERTURBATION THEORY AND STRUCTURAL BTABILI~Y

Xote that the proof actually shows that PROBLEMS

1. Shou- that the stable and unstable manifolds of a hyperbolic equilibrium of a

T o prove the proposition we give E a norm coming from an inner product. The linear differential equation z' = A+ vary cont~nuouslywith linear perturbations
subset of invertible operators in the vector space L ( E ) is open. Therefore there of A t L ( E ) . That is, suppose E u e E' is the invariant splitting of E such
exists a > 0 such that A E L ( E ) is invertible if that e l A : E u -, E" is an expanding linrar flow and elC E' 4 ZPis contracting.
Given t > 0 , there exists 6 > 0 such that if 1 1 B - A 11 < 6, then B leaves
I I A - Df(rm)ll < a. invariant a splitting F u e F' of E such that elB I F" is expanding, elB I F is
~ D f ( r ) is continuous, there is a neighborhood Nt C W of
Since the. I I I r~ + 10
contracting, and there is a linear isomorphism T . E -. E such that T ( E V ) =
such that if + t H I , then Fu,T ( E B )= F ' , a n d 11 T - 111 < t .
I1 D f ( 4 - D f ( ~ e ) l l< 4~. 2. Let W C R' be an open set and 0 t W an asymptotically stable equilibrium
of a C' vector firld f : W + R".Assume that 0 has a strict Liapunov function.
I t follou~sthat if g t V ( W ) is such that Then 0 has a neighborhood W , C W with the following property. For anv
r > 0 there exists 6 > 0 such that if g: R X W -R is C' and I g(1. z ) -
11 ~ ~ - 2D ~) ( L . )<I Iaa
( j ( r )1 < 6 for all (1, x ) , then every solution I(!) to z' = g(1, I ) with 4 4 ) t W
for all r i Y,, then D g ( z ) is invertible for all z t N , . The set of such g is a neighbor- satisfies z ( 1 ) E iV for all 1 1 L. and I r ( l ) l < t for all 1 greater than some tl.
hood m, of f. ( H t n l : If 1: is a strict Liapunov function for 0, then ( d / d l ) ( V ( x ( l ) )is close
1,c.t P > 11 I > f ( ~ ~ 1)1 .- Thel map A + A-I from invertible operators to L ( E ) , is to ( d / d l ) ( V ( y ( l ) )where
, y' = f ( y ) . Hence ( d l d l ) ( V ( r ( 1 ) )< 0 if 1 z(t)l is
cont~t~l~o\td I U S P the formula in Appendix I for the invene of a matrix). I t follows
not too small. Imitate the proof of Liapunov's theorem.)
t l ~ r !~.tI L : I ~ n ntiRhhorhoorl 'X2C n1and IO has a neighborhood .Vg C NI such that
if y i ,I and 3 F .Vl, then
II M Y ) - ' Il c v. 92. Peraietence of Cloeed Orbits

We can find still smaller neighborhoods, XIC X* of f and N I C I V ~of 10, such that
if g 6 XIand y, r C N I , then In this section we consider a dynamics1 system 4, defined by a CLvector field
f : W + E where W C E is an open set. We suppose that there is a c l d orbit
r C W of period A > 0. For convenience we assume the origin 0 t E in in 7. The
main rwult is:
If I<,iiorrafrarnLnrlfna 1 lhal for arry ball V C N a n d any g t 318, g I V is one-lo-
" <. Theorem 1 Let u : SO+ S be a Pmneard m a p for a loud section Sat 0. k t U C W
1.'1x II 1>1111 1' C S1around
Let B C V be a closed ball around r o and choose
20. be a neighborhad of 7. Suppoae lhat 1 is not a n eigenvalue of Du(0).T b m b e eriab
6 > 0 as I I I 2.aThere is a neighborhood n C aroff such that if g t 32, thcn
1~~mm a & l t b m h w d n C ~ ( W ) o f f such that meevery u e c f m f i e l d g ~n h a d o s c d a b i c
BC U .
mini I g ( y ) -~(Io) 1 Iy t dB1 > 26 > 0 .
It f,,ll,~rvsthat if I w - g(ro)l < 6 and g E n , then w t g ( B ) . The proposition is The condition on the PoincarC map in Theorem 1 is equivalent ta the condition
noa p r ~ , r f ~using
d this Iand taking U = V. that the e~ut=n\-alue10fD4~ ( 0 )ha< nlulti])l~c~ty
1. Cnfortunately, no equ~valent
condition on the rector fieldf IS known.
We have not d i s c u d the important topic of nonautonomous perturbations. Proof of the theorem. Let T: + R be the C map such that r ( 0 ) = k and
Problem 2' shows that in a certain sense the basin of attraction of a sink persisrs
under small nonautonomous ~erturbations. 44 = *.<S)(X).
3 10 16. PERTURBATION THEORY AND STRUCTURAL STABILITY

We n i a j assume that the closure of So is a compact subset of S. Let a > 0. There Hc,ncr 1has a unique zrro y E So;and y lies on a closrd orbit @ of g. Xloreover, we
exists bo > 0 such that if g t X(W) and I g(x) - f ( t ) l < L for all z t 8, then, can nlalir y so close to 0 that 0 C U.This proves Theorem I.
fiwt, S will be a local section a t 0 for g, and second, there is a C' map 0 : & + R
such that The question of the uniqurness of the closed orbit of the perturbation is interest-
ing. I t is not necessarily unique; in fact. it is poasible that all points of U lie on
l-(x) - ~ ( 4 < 1 a,
closd orbits off! But it is true that closrd orbits other than y will have periods
much b i g ~ r rthan y. In fact, given t > 0, there exists 6 > 0 so small that if 0 <
and d(r, 7 ) < 6 and + , ( I ) = I, 1 > 0, then 1 > 2A - r. The same will hold true for
sufficiently small perturbations of 7 : the fix& point y of v that we found above
where $, is the flow of g. lies on a closcd orbit 0 of g whose p ~ r i o dis within t of A ; while any other closed orbit
of g that nltLctsSOwill have to circlc around 4 seaeral limrs before it closcs up. This
I'u t
sections; see Fig, A.
fnllo\r.s fro111t l ~ rrc.lntion of ckjstd orbits to 1111%
$.(x>(x) = u ( 4 .
Thrn
v:&-+S
Is n ( " Innlr l r hich is a kind of Poincar6 map for the flow $,.
C;ivvri a n $ 1, > 0 and any compact set K C W, and any r >0 we can ensure
thnt
I I Db(1.1 - m , ( ~ ) l <l v
for all t E [- 4 41, I C K, provided we make (1 Q - f 11, small enough. This follows
from continuity of solutions of differential equations a s functions of the original
data and initial conditions and the expression of dJ.,(z)/dx as solutions of the
nonautonomous quation in L ( E ) ,

FIG. A. A closed orhit 8' near a hyperbolic closed orhit 6.

whrxrc y' = qiy). (See Chapter 15.)
Frtl~tlthi, (me can show that provided 11 g - f Ill is small enough, one can make Thrre is one special c w where the uniqueness of the cloned orbit o f the perturbs-
1 11 DII(I) - Dv(z)ll as small as desired for all r E SO.
/ U ( J ) - 1.1 ~ 1 and tion can be ~uarantred:if 7 is a periodic attractor and g is sufficiently close to f ,
A t~r;vrlprint I = u(x) of u lies on a closed orbit of the flow $,. We view such a then 6 will alsc~be a prriodic attractor; hencr every trajectory that cornea near @
1ixc.d lloint R zero of the C1 map winds closrr and closer to @ a s1 + w and so cannot br a cloned orbit.
Silnilarly, if 7 is a pcriodic r~:pc,llrr,80 is 0, and again uniquenrss holds.
Cvnsidr~rnvxt tht- case where 7 is a hyperbulic closed orbil. T h means that the
uhrre H is the hyperplane containing S derivative a t 0 E Y of the Poincare map has no rigenvalues of absolute value 1. In
~ So-' H be the C map
I A ' 6: this case a weaker kind of uniqueness obtains: there is a neighborhood V C U of
7 such that if 32 is small enough, every g t 32 will have a unique closed orbit that

-
so that ~ ( 0 ) 0. Now
[(I)

DE(0)
= U(Z)

= Du(0)
-I

- I.
ia entirely contained in V . I t is possible, however, for every neighborhood of a hyper-
bolic closed orbit to i n t e m t other closed orbits, although t b is hard to picture.
We noup state without proof an important approximation result. Let B C R.
whcrr I . M -+ H is the identity. Since 1 is not an eigenvalue of h ( 0 ) we know br a closed ball and dB its boundary sphere.
that 0 i.; nr~tan eigrnvalue of D[(O), that is, D((0) ia invertible. From the proposi-
tion In t11r j~rc.cedingsection we can find a neighborhood C V(So) o f t such that Theorem 2 I,tl W C R" be a n open set containing B and f : W 4 R. a C vedm
IIUlI;I ulll(illr5zrro y S,,.If I / g - f 1 1 , lc; sufficiently small, 1, { 3n.
;In)- I I I : ~ ~1 1 1) ,? jieM which is lransuerse lo dB al every pmnl of dB. Lel 32 C V ( W ) be any n&hborhood
$11' 16. PERTURBATION THEORY A N D STNULTVHAL STABILITY

and
(a) if
(b) if
zE B id an equilabrium of g, then r is hyperbolic;
y C B is a closed orbil of g, fhen y is hyperbolic.
aD.
-
= (IER"[IEI =]I.
Cotwider C' vector fields f : W R" defined on some open set W containing D-
such that (1(z). z ) < O for each E in 8D".Such an f is called atmdurally alobk on
The condition that f be transverse to r3B is not actually necessary, and in fact, B D" if there exists a neighborhood 32 C V(W) such that if g: W -+R"is in 32. then
can be replaced by any compact subset of W. flows of fand gare topologically equivalent on D".This means there exists a borne+
morphism h. D' 4 D" such that for rach r 6 D m ,
h ( l + , ( ~ )1I 2 01) = I h ( h ( r ) ) l 1 2 01,
where $, is the Row of g; and if z is not an equilibrium. h preserves the orientation
of the trajectory. (The orientation of the trajeetor). is simply the direction that
SIIO~ t l ~ tthc rigrnvalur condition in the main theorem of this section points move along the curve as 1 increases.)
1.
is nccrssar>-.
This is a very strong condition on a vector field. It means that the flow g, can-
not have any "exceptional" dynamics1 features in D'. For example, it can he shown
2. Let y br a periodic attractor of r' = f(x). Show there is a C' real-valued that if t E int D' is an equilibrium, then i t must be hyperbolic; the basic tenson
function V(r) on a neighborhood of y such that V 2 0, V-'(0) = y, and is that linear flows with such equilibria are generic.
(did()( l ' ( r ( t ) ) < 0 if x(1) is a solution curve not in 7. (Hinl: Let z(1) be The harmonic oscillator illustrates the necessity of this condition as follows.
tht. solution rurvr in 7 .such that r ( l ) - t ( t ) - 0 aa 1 4 w ; s r r Chapter 13. Suppow that f; W 4 R', with W 3 0, is a vector firld which in some neighborhood
-
Svrtion I , 'l'hrorrm 3. Consider ~d 1 r(1) r(l)ladl for somr large constant T.) of 0 is given by
3, 1.t.t i I (1 R" br, rlr,t.n a ~ ~ r l y 111n prriodic attractor for a (." vc-ctor field f : W -+

-
R * SII,,\Vthat 7 ham n nrighborhood ( I with the following property. For any
+ > 0 t11tmrc. rxists 6 > 0 such that if g: R X W R" is C' and I g(1, r ) -
zr=Ax, A=[-: :I.
j 1 1< 6 . then every solution ~ ( t to
m ) I' = g(1, I) with r ( h ) E II satisfie8 By arbitrary slight perturbation, the matrix A can be changed to make the origin
r i I I .. 1 . for all 1 2 I, and d ( r ( t ) , 7) < t for all 1 g r e a t ~ than
r some !I. (Hint: either a sink, saddle, or source. Since thme havr different dynamic behavior, the
l'rolil,,~tt2 , and Problem 2 of Srction 1.) flou~yare not t o ~ o l o g ~ r a l the
l y sanw Hrncr / ' I > nor t r ~ ~ t - t ~ l r stahlr.
> ~ I I y In cntltm.t.
11LS known tf~atthe Van der Pol ocr~lli~tor I. strurtur;~llyrt;llllr.
The folloning is the main result of this section. I t givw an example of a class of
$3. S t r u c t u r a l Stability s t m c t u r d y stable systems. (See Fig. A.)

In the previous sections we saw that certain features of a flow may be preserved
under small perturbations. Thus if a flow has a sink or attractor, any nearby flow
will have a nearby sink; similarlv, for periodic attmtors.
I t sometimes happens that an!, nearby flow is topologically the same as a given
flow, that is. fur any sufficiently small perturbation of the flow, a homeomorphism
rxists rhnt rnrrirs rach trajpctory of the original flow onto a trajectory of the per- FIG A. A structurally stable vector field
turb:ht~,~n. ( A /tomsomurplr~srnis simply a continuous map, having a continuou
invvr..(-.i Surli a homromr~rphism sets up a onc-toone correspondence between
rquilit>rl:~ uf thr two flows, closed orbits, and so on. In tllis case the original flow
(or i t b vect~xfield) is callrd slrucfurally stable.
H c ~ cis thr prrrisr definition of structural stability, a t least in the restricted
setting of vtrtor fields which point in on the unit disk (or ball) in R '. Let
314 16. PERTURBATION THEORY A N D STRUCTURAL RT4BILlTY 63. STRVCTURAL STABILITY

Theorem 1 Lel f : W + R" be a C1wclor field on a n open sel W 3 D" luilh lhe
following properlies:

( a ) f ha.? rraclly one equilibrium 0 t D', nnd 0 id a s i n k ;

ih \ 1 porrrts ~tte.ardalo~rgthe boundary dD" of Dm,lhal is,

((.I lr:n,-, +*(I)= 0 for all E E D",where 6,id lhejloru o f f .

Then f i s slruclurally sfable on D..

Before proving this we mention three other results on structural stability. These
concern a C' vector field f : W + R' whrrr W C R' is a neighborhood of P.The
fist is from thr original paper on structural stability by Pontr~sginand Andronov.

Thr-orem 2 S u p ~ ~ o sf e poinls inward on P.Then the following crmdiliona taken

loyrfiivr o r e rprrtt'alenl lo slruclural slabilily on 0:

(:I) Oic ,f/i~ilibriain DZ are hyprrbolic;

1I I c,u.ir ,-Ir~spd orlrl i n DZ i s erltrpr a prrroriic ollraclor ma periodic repeller (lhaf
88, n ~ ~ r r r o d allraclor
ic for the veclorfield - f ( z ) ) ;
(r:l i i r ~lrojrclory trr P goesfrom saddle lo saddle.

Tlrt, n~.~rssity of t h third

~ condition is shown by breaking a saddle connection
as in I'lg.B ( a ) by an approximation as in Fig. B(h).
A good tl~snlof force is given to Theorrm 2 by tbe following result of Prixoto;
it iulplics thnt structural stability on D2 is a prnrric condition. Lrt Vo( W ) hi, thc
scatof C1vertor firlds on W that point inward on dD2.
(b)
FlI;. U. (a) Flow near a saddle con~tection;( b ) brealrlns a a d d l e conmaelion
Theorem, 3 T h e scl

S = {f t Vo(W ) I f is structurally stable on P J Theorem 4 The sel of slruclurally slable syslems cortlaatred i n grad (D') id open
and dense irr grad (D").
i s dense awI open. That is, every elemenl of S has a neighborhood in Vo(W) contained
171 S, and every open sel i n Vo(W) contains a veclm field which i s slnrclurally stable We turn to the proof of Theorem 1. In outline it proceeds as follows. A vector
on Dl. firld g sufficiently close to f is shown to have a unique equilibrium a E D' near

Unfortunatrly, it has h e n shown that there can be no analogue of Theorem 3

greater than 2. Neverthrless, there are many interesting vector
for dinlensit~~ls
field* that arc structurally stable, and the subject continues to inspire a lot of
research.
I n the important case of grbdient dvnamical systems, there is an analogue of
Thronm 3 for higher dimensions ~4 follows. Consider in V(D") the set grad(Dm)
of gradirnt vrctor fields that point inward on D'.
-
0; rtlorcover, all trajectories of g in Dmtend tr,ward a. Once this is known, the homeo-
morphism h: Dm D" is defined to be the identity on d D ' ; for each 7 E dD' it
maps thr f-trajectory of r onto the g-trajectory of E preserving the parametrization;
and h(0) = o .
Thc proof is based on the follouing result which is interesting in itself. In Section
I we showed the persistence of a hyperbolic equilibrium under dperturbations.
In thr special case of a sink we have a sharper result showing tbst the basin of
attraction retains a certain size under perturbation.
316 16. PERTURBATION TUEORY AND 8TRUClIJRAL BTABILITY 03 BTRUCPURAL BTABILITY 317

Proporitionn LelO C E be a sinkfma CLu e c h j i e l d f: W 4 E where W is an open
s e t , , I I , ~ ~ I0. I I I ~erisls an inner product on E, a number r 0, and a neighbor-
HThere
hoot1 X C P ( U ' ) off such lhal the following holds: for each g € % lh~reis a sink a =
a ( y ) f o r y such lhal the sel
B7= lx€ E l l r l S r l
contains a, is an the basin of a, and is poailiwly invariant under the flow of g.
Proof. From Chapter 9 we give E an inner product with the followingproperty.
For snmr u < 0 and 2r > 0 it is true that
We now prove Theorem I. Since Dmis compact and f ( r ) points inward along the
> boundary, no solution curve can leave D". Hence Dmis ~ositivelyinvariant. Choose
r > 0 and 32 C: V ( W ) aa in the proposition. let OJLd C 32 be a neighborhood of j
so small that if g E &, then g ( r ) points inward along JD'. Let $I be the flow of
g E 32p. Note that Dmis also positively invariant for ),.
For every z t Dm- int B,, th?rr is a neighborhood U . C W of r and C, > 0
much that if y t U. and 1 1 l,, then
By compactness of dD" a finite number K,, . . . , U,. of the sets U . cover aD". P u t

if 0 i I r I -. 2 r . I t follows that B, is in thr basin of 0, and that f ( r ) points inward

nlor,p cili.. I t is cll,nr that f h~.- R nci~hborhood32p C V(W) such that if d t n, Then +,(D" - int 8,) C B,, if 1 2 4. I t follows from continuity of the flow in f
t11a.11 : t l u s 111 r ) !),lints inunrd along dB,.
(Chapter 1.5) that j has a neighborhood 321 C 32 such that if g E T I , then
.
I "' * r ; 1 1 1 , l ] t , , l s = v + € If I!/ 1 < € , t l l l ~ l lllll~clll.~l~ll
l l ~ l l lff.(.q) :1l,Ottt y
i \ l l I l 1.1l1111. \ ..l11.11,~. $,(Dm-intB.)CB. if 124.
B. C B. (y) C B*.. implies that
1r.t v < p < A. Wr asscrt that if 11 g - f 11, is suffic;entlv small, then the sink a lim +,(z)= a for all r E Dm.
of g \rill hr. in B., and mon-uvrr, 1--

if r F: B.(a). To see this, write
(y(r), r
For let x D" : then y = $,,(z) B,. andB, C bnsln ofa i111alcrJ,.
- a ) = U ( r - a),x - a ) + (g(z) - f ( z - a ) , z - a )
It also implies that every y D" - a 1s of the fonn $ , ( x ) for sonre r dD" and
1 2 0. For otherw~se
hence y = o .
L.(y) is not empty : hut z L.(y). t l w t ~+,(z)+ a a-t x.-
Fix g E n l . We h a w proved RO far that the map

The lnnp a(T ) = g (r) - f ( r - a) vanishes a t a. The norm of its derivative a t z is

rstilllnted t11u.c
haa Dm- a for its image. And the map
a? I 1 !I - f 111 0,[I Dg(r) - Df(r) 11 + 0 uniformly for I t.I 5 Zr, and also x
+ -
-
a + 0 , so (1 Ilf(r) - Df(r a ) ( (--I0 uniformly for ( r ( i. 27. Thus if (1 g - f \I1
is small enough, 11 Da(z)ll 5 r - n, and u -
v is a Lipschitz constant for a ;hence

hae D* - 0 aa its image. We define

Conscqurntl\., if / I g - f 111 is sufficirntly small, say, less than 6 > 0, h: rr -+ D',
<~Iz-aI~+~r-v)lx-a1~
=rIx--a1'
as rcquircd. Another way of ssying t h i ~is that h maps &(x) to ) , ( r ) for z E aD', 1 2 0, and
1'11t :It, = l y € u(R')I II g - f 11, < 6 1 , and set 32 = 3bn32,. Suppose g € n, h ( 0 ) = a; therefore h maps trajectories of 4 ta trajectories of +, preserving orients-
with sink a t B.. By (A) the set B.(a) is in the hasin of a. Since B. C B.(a), and tion. Clearly, h ( D ) = Dm.The continuity of h is verified from continuity of the
g(x) points inward dong dB,, the proof irr complets. flowe, and by r e v h g the role of the flow and its perturbation one obtains a con-
31s 16. PERTURBATION THEORY AND BTHUCTURAL STABILITY

tinuous invrrse to h. Thus h i~ a homeomorphism; thr proof of Theorem 1

is cornpl~tr.

Afterword
1. Slii~ii. I l l a tif j: R2 + R2 is structurally stable on p' and f ( 0 ) = 0, thpn 0 is a
11) IWI lx~livc~~~t~ilil~rium.
?. l . ~ t7 C R",tt > 1 br the circle
7 = ( I E R . I Z : + ~ : - ~ , . Z ~ = Ofor k > 2 1 .
1,vt
N = ( . z € ReId!s,.r) 5 1 1 .
Let W C R" be a neighborhood of N a n d f : W -r R" a CLvector field. Suppose
f ( r ) points into N for d l r in aN = ( x € RmI d(r, 7 ) = I J.If y is a periodic
attrnrtr~rand y = L.(I) for all E E N, prove that f is structurally stable on This book is only an introduction to the subject of dynamical systems. To pro-
.S. (Ser Fig. C for n = 3.) ceed furthrr requires the treatment of diRrrrntial equations on manifolds; and
the formidable complications arising from infinitely many closed orbits must be
faced.
This is not the place to develop the theory of manifolds, but we can try to indi-
cate thrir use in dynamiral systems. The surface S of the unit ball in R' is an exam-
ple of the twodimensional manifold. A vector field on R' might be tangent to S
FIG. C a t all pointsof S ; if it is, thrv S is invarinr~turtdcr tltv f l ~ ~ In
e - this s a y n-eget an
rxnrnplr nf a dynamical sysirm on thr ma~~ifold $ (xr.v Fig. A).
Thc eompaetnPss of S implies that solution curves of such a system are defined
for all 1 i R. This is in fact true for all flows on compact manifolds, and is one
reason for the introduction of manifolds.
hlanifolds arise quite naturally in mechanics. C'onsidpr for example a simple
mechanical system as in Chapter 14. There is the Hamiltonian function H: L' + R ,
3 I f f E V(1V) is structurally stable on DmC R", show that f has a neighborhood where U is an open s u k t of a vector space. The "conservation of energy" theorem
3t such that every g t 3t is structurally stable. a t a h that H is constant on trajectories. Another way of saying the same thing
is that if H ( z ) = c, then the whole trajectory of 3. lies in the subset H-'(c). For
4. Shov that Theorem 1 can be shalpened a s follows. For every > 0 there is a
"most" values of c this subset is a submanifold of 11, just as thr sphere S i n R' c a n
~~eigtiborhood n of fsuch that if g 5 3t the homeomorphism h (in the definition
of structural stability) can be chosen so that I h(x) - t I < c for all x E Dm.
be viewed as H-I( 1) where H ( z , y, z) = z ' + y2 + z2. The dimension of H-'(c)
is one less than that of U.Other first integrals cut doun the dimension even further.
5 . Find necessary and sufficient conditions that a vector field f : R + R be struc- In the planar Kepler problem, for example, thr state space is originally an open
turally stable on a compact interval. subset U of R'. The flow conserves both total energy H and angular momentum
h. For all values of c, d the subset (r. E 1' 1 H ( L ) = C, h ( r ) = dl is a manifold
6. l e t A be an operator on R' such that the linear Row e l A is hyperbolic. Find
that is invariant undrr the flow.
t > 0 such that if B is an operator on R" satisfying I( B - A 1 1 < t, then there hlanifolds also arise in mechanical problems with constraints. A pendulum in
IS n 11(1111(nrnorphisnlof R* ontc itsclf that tskev each trajectory of thr dif-
three dimensions has a configuration space rondisting of the Bsphere S, and it8
fr.rlmtirll vquation I' = A+ onto a trajectory of y' = By.
state space is thc manifold of tangent vectors to S. The configuration space of a
 must confront lin~itsets which can be rxtrenlrly ronlplicated, even for structurally
stable systems. I t can happen that a compact rrgion contains infinitely many
prriodic solutions with periods approaching infinity. I'oincare was dismayed by
11i.q discovery that this could happrn w e n in t l ~ vSr\~-tonianthree-body problem,
and expressed despair of comprehending such a plrenon~tmon.
In spite of t h r ~ ~ r c v a l r n of
c r such systems it is not easy t o prove their existence,
and UP cannot go into details here. But t o give some idea of how they arise in ap-
parently simple situations, 1r.e indicate in I:ig. B a discrvtr dxnarnical system in
the planr. Hrre the rrctanglr AHCD is srnt t o its i n ~ a ~A'BC'D' c in the most
obvious way by a diffeomorphism f of RZ,thus j1.4) = . I f , and so on. I t can be
s1hotr.n that j \\-ill have infinitely many I,c.r~od~cj)oi~~ts, u ~ l dthat this property is
prrsrwrd by perturbations. ( A point p is pcridic if f'(),\ = 11 for some 11 > 0.)
Considering R2a s embedded in RJ,one can construct a flow in R' tsansverse t o R'
whose time one map Icaves R' invariant and is just the diffromorphism f in Rz.Such
a flow has closed orbits through the periodic points of f .

rigid body n i t h one point fixed is a compact three-dimensional manifold, the set
of rotations of Euclidean three space.
The topology (global structure) of a manifold plays an important role in the
analyais of dynamical systems on the manifold. For examplr, a dynamical s y s t m
on the two sphvre S must have an equilibrium; this can be proved using the
I'oincarCFkndixson throrem.
The nrathemstical treatment of electrical circuit theory tan h e extended if mani- I n spite of PoincarB's discouragement therr has been much progress in recent
folds are usrd. The very restrictive special hypothesis in Chaptrr 10 was made in years in underfitanding the global behavior of fairly general types of dynamical
orrllsr t o avoid manifolds. T h a t hypothesis is that the physical stater of a circuit aystcms, including those exhibiting arbitrarily long closed orbits. On the other
(1111r.yi11gIiirrhhnR's and ~ r n r r a l i z r dOhm's laws) c a n br {raramrtrizrd hy the hand, we a r r far from a clear picture of the suk~jrctand many intrrmting problcms
inlh~ctorcnrrrnts and capacitor voltag~r.This convcxrts thc flow on the space of are unsolved.
physical states into a flow on a vector space. Unfortunatrly this w u m p t i o n ex- The lollouing books are recommendrd t o the reader 1%-houqshes t o see how the
cludes many circuits. The more general theory simply deals with the flo\r. directly subject of dynamied s y s t m s has developed in recent years. They represent a good
on the space of physical states, which is a manifold under "generic" hypotheses cross section of current research. Proceedings of Synzposta in Pure dlathnnolica
on the circuit. Volunre X I V , Global Analysis [33 and Dynar~~ical S y s l n ~ ~[19].
s See also Sitecki's --
f i l n n i f < ~ lenter d ~ into difierential equations in anothrr way. The set of points Diflerenliable Dyncmrica [AS].
~ < ) I I , S ~t ,r : r j ~ ~ r t t ~ r i r s to a given hyperbolic equilibrium form a submanifold called
trnd
t l ~ ht t ; ~ l r i ~~nilnifolcl
. <,f t11l.rquilibrium. T l ~ c s esubmanifolds are a key t o any deep
g1oll;ll ti~~~lr>rstanding of dynamical systcms.
Our an:ll?sis of thl. longterrn behavior of trajectories has been lirnitrd Lo the
sinrplest Lillds of limit sets, equilibria and closed orbits. 1;or some types of systems
thrsr arr essentially all that can occur, for example gradient flows and planar sys-
tt3rnP But t o achieve any kind of grneral picture in dimensions higher than two, one
 ELEMENTAHY FACTS

Wr frcqurntly use the summalion sign:

nhpre the I , arc elements of a vector space. If there is not much ambiguity, the
Elementary Facts limits arc omitted:
C z, = r , - . + + I..

2. Complex Numbers

WI. recall thr elpmrnts of complrx numbers C. \Vr are n ~ interested

~ t in complex
analysis III itself; but sometimes t h r usr of conipl~.xnumbers simplifies the stud?.
of real differential equations.
'PIIIS a1rl1~.l~dixcollrcta vnrious rlcmrntary facts t h a t most readers will have T h r s r t of complrx numhrrs C ia thc Carte-sian planr Rzr o n s i d ~ r e das a vector
sw.11 bcforv. sparr, tngrthrr with a prrjdurt oprrati,,n.
h t i be tllr- complrx number i = (0, I ) in rarordinatrs on R2. Then everv complex
numhcsr I ran b r written uniquely in thr. form 2 = r + zy \\.her? z, y are real num-
bers. Complex numbrrs are added as ~ l e m m t sof R', so if z = z +
iy, z' = r' + iy',
I. Set T h e o r e t i c C o n v e n t i o n s thpn z + Z' = (I + z') + i(y +y'): the rules of addition carry over from R2to C.
,4fultiplicatwn of complex numbers is defined as follo\\s: if z = I + iy and
2' = I' + iy', then zz' = (I=' - yy') + i ( r y ' + r'y). Note that tZ = -1 (or
M'c use extrnsively maps, o r functions, from one set X to another Y, which we " t = c l " ) n i t h tl~isdefinitionof Product and this fact is a n aid to remembering
vritr t h r product definition. T h e r e a d ~ rmay check the follo\ving properties of multi-
plication '

(a) zt' = 2'2.

Thus t b e map f assigns to each element z E X (that is, z belongs to X ) a n element (b) (zzr)z" = z (z'z").

t:S -
f ( r ) = y of Y. In this case ~ v often
r write r -+ y or I --t ,'(I). T h e identity map
S i* defined by i ( z ) = r and if Q is a subset of X , Q C X, the inclusion
(c) 1z = z (hrrc I = I
( d ) If z = z +
+i-0)
iy is not 0 , thcn

-
nl:qr n . Q 4 .Y is defined h y a ( q ) = q. I f f : X --t Y, and g: 'I --t Z are two maps,
th,. r*~mlr<i>~tiong * f (or somrtimes w r i t t ~ ngf) is drfined by g f ( r ) = g U ( z ) ) .
TIIVtn:ql / S --t Y is said to bc one-to-one if whenr!vcr r, r' C X , r + z', thcn
*
f ( s 1 f(1'1. T h r Image o f f is t h r set dt.scrihvd as (P) If t is real (that is, t = I + i . O ) , tIlt.11multiplication b,. t cdncidrs with
scalar multiplication ill R2.If z and 2' are both real, complex multiplication

TIII.II./ IS 0111,1 if Im f = Y. An inverse g (or f-') o f f is a map g: Y

.
- X such t h a t (f)
sprcinlizcs t o ordinary multiplication.
(L+ Z')W = 2w + z,w, L, z ' , w c C.
g f is t h r identity map on X and f g is the idrntity on Y. If the image o f f is

- -
1' and f is O I I P to ulie, thcn J has an inverse and conversely.
If /: S Y is a [nap and Q C X, then f I Q: Q Y denotes t b e restrictiun of
i = s - iy. Thus cr~njugationis a map e : C -
Thc cor)~plcrconjugate of a complex ~ ~ u n ~ btc .=r x +iy IS the complcx ~lurnber
C, s ( z ) = i. \vhiclr has 3s its set
of fixed poi~ltsthe real numbers; t h a t is to say i = z if and only if z is rcal Simple
J t(2 O PO J I Q (9) = f (9).
 ELEMENTARY FACT8 3%
prvpt.rtil.s t r f ronjugation arc: Thus the expression on the right does not depend on i and furthermore g i v e a
i = z, way of finding (or defining) Det A inductively. The determinant of a 2 X 2 matrix
:]
C: is od - be. For a 3 X 3 matrix
(z + 2') = f + i',
E' = 22'.

' f ~ , ,:lll+llllll(.
. VIIIUI.
of 11 C O I I I ~ Inumber
PX z = z + iy is
/z/ = ( ~ i )=~ (zZ
f' + y7)lf2. one obtains
Thrn
Iz / = 0 if and only if z = 0, Det (.4) = all DetI,"[ -m Det [zl 21+ [z 21 ai. Det
1z+z'1112l+ 12'1,
Recall that if Det A # 0 , then A has an inverse. One way of finding t h b inverse
lzz'l = I z I l z ' l I is to solre r x p l ~ c ~ thp
B i% en inverse A ' forA
t l ~ system
. of ~ C ~ U ~ I ~ IAx- 1.g= By : then
O I I < y for x o b t a ~ n ~ n

a l ~ d1 z I is the ordinary absolute value if z is real.

If Det A # 0, one has the formula
Suppow a complex number z has absolute value 1. Then on R' i t is on the unit
rirr,lc (dt.urribrd by 12 + d = 1) and thrre is a 8 t R such that z = cos 8 + i sin 8. A-' = transpose of [(-l);:tTt At]
We dcfinr tllr symbol e" by
e" = cos 8 + i sin 8, I t follows easily from the recursive definition that the determinant of a tri-
e*,b = e'e". angular matrix is the product of the diagonal entries.

l'ltis usr of the expunrntial symbol can be justified by showing that it is eon-
sistrnt with a ronvrrgcnt power scrirs representation of e'. Here one takes the
po\\-c.r svrics ~f ca+" or rmr dom for ordinary real rxponcntinlu; thus 4. Two Proponitions on Llncar Algebra

The purpose of this section is to prove Propositions 1 and 3 of Section lB, Chap
ter 3.
011i. c:itt olwratr uith complex exponentials by the same rules as for real ex-
~)I)II~~III~;I~S
Proposition I Every vecfor space F has a b a h , and every basis of F h a the m e
number of e h m k . If (el, . . , 4.
1 C F id an independen1 subsel tbaf is not a baaid,

3. Determinants
by adjoining lo if suitable veUma e+,, . . ., e,. one can form a basis el, ., CI. ..
The proof goes by some easy lemmas.
Oar. me? fiud a good account of d c t ~ r m i m n tin
s Lang's Second Course in Colcdur.
[12]. H u t \<I- just \\.rite do~vna couple of facts that arc usrful. Lemma 1 A s y
sm of n linear homogmears eqtdwm i n n + 1u k altwus
I,.lrrt give a general expression for a determinant. k t A = [a,,] be the
\rr. has a d r i v i a l solution.
I fr X 1 1 ) ~llrltrixwhose entr). in the it11 row and jth colu~nnis a,,. Denote by .4,>
thi. I 11 l i X ( n - 1) matrix obtained by deleting the ith row and jth column.
- The proof of Lemma 1 in done by the process of elimination of one unknown to
<
'I'hc~i~f I is a fixed intcger, 1 5 i n, the determinant mtisfies obtain a system of n - I equations in n unknowns. Then one is finished by indue-
tion (the first case, n = 2, being obvious). The elimination is done by udng the
nrt .4 = (-l).+lo,, Det A,, + --- + (-I)'+"a,. Dct A,.. first equation to adve f m one variable as a linear eombiition of the rest. The
 327

-
ELEMENTARY PACW

exprcs-ion obtained is substituted in the remaining equations to make the re- Proposition 3 Lel T : E F be a linear map. Then
durtion
dim(Im T ) + dim(Ker T) = dim E.
Lemma 2 Lel l el, . . . , e.) be a h i s for a veclor space F. If vl, . . . , U . are linearly
i t l d e p r ~ ~ d eelements
Proof.
~it of F , lhen m n.
I t is sufficient to show that m
c, is a l i n ~ a rcombination of the ei,
<
+ n + 1. Suppose othe&. Then each
(a) Ker T
(b)
(c)
Im T -
In parlicular, suppose dim E = dim F. Then [he folh<rrg are epuiunlenl dolemenfa:
=
F;
0;

T if a n h o r p h i s m .
P r o o f . The second Dart follows from the first part (and things said in Section 1
of chapter 3 ) .
T o prove the first part of the proposition let fi, . . . ,f. be a basis for I m T . Choose
B \ Lemma 1, the system of equations .
el, . . . , eb euch that Te. = f,. Let gl, . . , 81 be a basis for Ker T . I t is eufficient
"41
to show that
C+,a.r= 0, k = I , . . . , Q, [ e l , . . . , eh, g ~ ., . . , g11
i-l
is a basis for E since k = dim Im T and 1 = dim Ker T .
hns a nontrivial solution t = (21,. . . , I"+,).Then F i ,these elements are independent: for if C A.e. + 1 Mag, = 0, application
of T yields 1 A,Te, = C h f , = 0. Then the A. = 0 since the j; sre independent.
Thus C Msi = 0 and the Mi = 0 since the gi are independent.
Second, E is spanned by the e. and g,, that is, every element of E can be written
so that the v , are linearly dependent. This contradiction proves Lemma 2.
as a linear combination of the e, and the g,. Let e be any element of E. Define
From Lemma 2 we obtain the part of Proposition I which say8 that two bases
v = A*., where Te = x
A& defines the A,. Then e = (e - v ) +
u. Now
T ( e - u ) =Osee- v i KerTandthus(e-u)canhewrittenasaLinesrcombh-
. .
havr the same number of elements. If [el, . , 1.e and (a,, . ..
, v.1 are the two ation of the gj.
bases, thvn the lemma says m <
n. An interchange yields n 5 m.
.
say that a set S = ( U I , . . , u,J of linearly independent elements of F is mmimal
if for e v p r 11 in F, v 4 S , the set { v , V I., . . , v.1 is dependent.

Lemma 3 A mazimal scl of linearly indspendenl elements B = [u,, . . . , v.1 in a

oector space F ia a hif.
Proof. We have to show that any v E F ,v 4
B , is a linear combination of the
u.. But by hypothesis v, u,, ... , v, are dependent so that one can find numbem z,
z. not all zcro such thet x Z.V. + rn = 0. Then t # 0 since the v; m e independent.
T h u s I' = ( - z , / z ) c , . This proves Lemma 3.

I'ruposition 1 now goes easily. Recall F is a linear mbspace of Rn (our definition

of vector space!). If F Z 0, let u, be any nonzero element. If (y1 is not a basis,
one can find ur E F, vz not in the space spanned by Is].Then vl, y m e independent
and if {y,ut) is maximal, we are liniahed by Lemma 3. Otherwise we continue
the process. The process must stop with a maximal set of Linearly independent
. <
elem~nts( V I., . ,v-1, m n by Lemma 2. This gives us a basis for F. The rest of
the roof of the proposition proceeds in exactly the same manner.
 P r o p i t i o n 2 Ip (2) 1 allaina a minimum value

Appendix 11 Proof. For each k > 0 define the compnct set

D.= IZECIIZIS~I
Polynomials The continuous function I p(z) 1 attains a minimum value
vr = I P(z*) I, zr t DA,
on Dr. (2, ma.v not be unique) By Proposition 1 there exists k > 0 such that

We may take k ? I . Then vk is the minimum value of I p(z) 1, for if r E D., then
>
I p(r ) I I ur, while if z 4 D,, / p (z) I ul by (2); and U I > vr since DI C DI.
Proof of theorem. Let I p ( s ) I be minimal. The function

1. T h e F u n d a m e n t a l Theorem of Algebra q(z) = P(Z + 20)

is a polynomial taking the same values as p , hence it suffirm to prove that q has a
root. Clearly, I q ( 0 ) I is minimal. Hence we may assume that
(3) lhenzinimumsalueof I p ( z ) I i s I p ( 0 ) I = lo,\.
p (2) = n.z" n,-lz"-' + . . . + arz + a,, a. # 0, We write
~ ~ l ~ mof n '> I with complrx coefficients a,,. . . , am.Then p(z)
i ; tdrp;r~.e
l 0
111. : I 11,

for ;11 lust on(, z € C.

=
p(z) = a, + a.r4 + zL+'r(r), nl # 0. k 2 1,
TIiv proof is based on the following basic property of where 7 is a polynomial of degree n - k - 1 ~fk < n and T = 0 otherwise.
W e cl~ooscw so that

Proposition 1 limlz1,.. I p(z) I = w (4) a, + arwt - 0.

Proof. For 2 # 0 we can write In other words, w ib a kth m t of Such n root exists, for if

-
-aa = P(cos 8 + i sin U),
ah
then we can take

w = p1(*(ox (f) + i sin (f))

We now write, for 0 <1< I,
Thrrrfore there exists L > 0 such that if / z I 2 L, then the righthand side of p(1w) = (1 - LL)a,+ lk(o, + am,') + (lu~)'+'r(lw)
(1) is >
1 I n. I > 0, and hence
= ( I - Lb)a, + ( l ~ ) ~ ' r ( L w ) .
Hence
But if I o, I > 0, for t sufficiently small, we have

such a value of 1 makes

I as I - 1 I wk+'r(lw) I > 0,

I P ( ~ w ) <I l c y l .
This contradicts minirnality of I p ( 0 ) I = I cy I. Hence I p(0) I = 0.
Appendix I I k
On Canonical Forms
Corollary ..I polynomial p of &gree n can be foelored:

where p(A,) = 0 , k - I, . . . ,n, and p(z) # Ofor z # Ah

Prooj. For any A E C we have

) ~ ( (-
~ ( 2= 2 A) + A)
The goal of this appendix is to prove three results of Chapter 6: Theorem I and
expand in^ by the binomial theorem, we have the uniqueness of the S + N decomposition, of Section I ; and Theorem I of Sec-
tion 3.

Every term on the right with j > 0 has a factor of z - A; hence 1. A Deeornpanition Theorem

Theorem 1 (Section I, Chapter 6) Let T be an opndor on V where V w a

mmplez v e e b space, or V ia real and T has rzol cigenuulus. Then V ia l k dircd
arm of the gmerdiud eigc~pacesof T. The dimenBion of each gmcrdiud cig-
quob the mulliplieily o j the heeorrcspondiw endue.
for some polynomial q(z) of degree n - 1 (which dependn on A). In particulsr, if
~(AI= ) 0, which must be true for mme XI, we have For the proof we conaider thue an operator T: V + V, where we auppoee that
V ia a complex vector space.
P(Z) = (2 - AI)~I(z). Define mbspaces for each nonnegative integer j as follows:
Since q, has a root A,, we write
) (2 - AI) (2
~(2= - Aa)qr(z)
K,(T) - Kj = Ker T'; N = U K,;
and so on.
'l'hc curnplex numbers A,, . . . , h. are the rook of p. If they are distinct, p has
s i i j j l ~ l r ~ r r , ~ f , + .If A apprars k times among IA,, . . . , A.1, A ia a root of mdipttiily k, Then
or n k-jukf root. This is equivalent to ( r - A)* being a factor of p(z). 0 = Ka C Kt C . . . C K, C K,,I C...C N;
V = La> LI>...> L, C L , , l > . . . > M .
Chooee n and m m that
K i = K. if j 2 n ,
Lj- L , if j t m ,
336 APPENDIX 111

%(I/,) :~rlclthe Z(y,) arr independent by assumption, i t follows that u, C Ker N,

1 = 1. . , r . No\\. each 71, has the form
",-I

C a,tNkz,,
t*
nJ = nil (z,), Appendix Iv
Hrnrr rr, = p,(~V)z,for the polynomial p,(l) = C z l a,,lk. Therefore .Vu, = The Inverse Function Theorem
p,(.\-)y, = 0. By Lemma 2, p,(L) is divisible by L"if nt _< nil(y,). Since I 5 nil(y,),
!v(* can \x-rlt(-
P,(t) = S,(l)t
for some polynomial s,(l).
But nnn-. substituting I\' for I, we have
uj = s,(N)Xxj
= s,(.V)y, E Z(y,).
Tlr(*rrf~ar
u , = 0 since the Z(y,) are indcpend~nt.
H'r now show that
In this appendix we prove the inverse function theorem and the implicit function
(1 1 V=Z(q)a...eZ(z,).L theorem.
with L C lirr A'. h t Krr ,V = K and Irt I, br a subspace of K such that
K = ( K f l N ( V ) )e L . Inverse function theorem Let W be an open aei in a uedm tpace E and ld /:
W -4E be a C m p . Suppaae zr E W id arch fhaf D j ( s ) ra an iMcrliblc linear
'l'11' I i. i~~~lt*pi.nd~nt
II from the Z ( r , ) . T o see this, let v E ( @ Z ( z , ) )n L. Then
operaloronE. Then~~hasanopenneighborhocdV C Wsuehfhaffalf V w a d i f f w
I I @%(I,)1 n li, and by an argument similar to the one above, this implies
murphimn nlo an open 8cl.
I \ I I ' ) 1h1t .\' (I') n I, = 0,hence u = 0.
It I r rl<.:~r tliat cvery cyclic subspace in K, and hence in L, is one dimensional. Prwj. By continuity of Df: W -t L ( E ) there is an open MI V C W about zr
Thcr~.f~or(% I, = Z (wl) e . . . m Z ( w . ) , where (w,, . . . , w,l is a basis for L. Finally, and a number r > 0 such that if y, z € V, then Dj(y) is invertible,
'I = Z ( Z I ) e . . . e Z ( z , ) eZ(w1) e . . . e Z ( w8 ).
and
This proposition implies the theorem, except for the question of uniqueness of the
rnittricrs .4,. . . . , A,. This uniqueness is equivalcnt to the assertion that thc oper-
:itor \' dr,tr.rmincs t l ~ csizrs of the blocks .A, (or the dimension$ of the cycllc sub- I t follows from Lemma I of Chapter 16, Seetion I , that j I V is one-to-one. hlore-
~ [ I : I ~1 , V - : is don? I ) \ induction on dim V.
'1'111. over, Lemma 2 of that seetion implies tbat j ( V ) is an open set.
IIII \ . to its image N ( V ) = F:
( ' o i , ~ ~ ,fIl *~ r, rt,rtrietiol~
, The map f ': j ( V ) + V is continuous. This foliows from I d compactness of
.V / F : F - F .
j ( V ) . Alternatively, in the proof of Lemma 1 it is shown that if y and r are in
V, then
It I. t,;~-i wr, tl~;ltII1' is thr tlirttct aum of cyclic subsparc.~ZI C I . . . e %. m !I.;.
\\t1,.1# 11 , ~ dim Z , > I , t111.n , V ( I ' ) is thr
C l i ~ l r.\'. : I I I CZI~ is gr1111rntrdI I zlr
hence, putting j(y) = a and j(z) = b, we have
r11r.,vt ~ I I I ~ I
N(Z1) e , . . m A'(Z,),
o h , r r \ rZk) I.<cyclic, Rrul.ratcd by ,\'( r k ) ,and dim N ( Z h ) = dim 2, - I . Since which provesf continuous.
111111 \ (P') < dim l', t l ~ nurnbvrs
r {dimZt -. I I are drtermincd by A' 1 F , hcnce I t remains to prove that j-' 4 CL.The derivative of /-I at a = j ( r ) E j ( V ) is
b! .\ 11 Llh,ss that ( d ~ m ZbJ arc also drtcrmined by N . Dj(z)-'. To see this, we write, for b = j(y) E / ( V ) :
Tl1t5liil~*lr~..*
t l ~ rpm)I I J thr
~ tlicorem.
 APPENDIX IV THE INVERSE FUNCTION THEOREM 339

Nor Bt.forc brginning the proof we remark that the conelusion can be rephrased thus:
f(v) - f ( z ) = Dj(z) (V - 2) + R(Y. 2). ik graph oj g id the set
where
Thus F-l(c) is a "hypersurface" in a neighborhood of ( r ~yo).
,
To prove the implicit function theorem we apply the inverse function theorem
to the map
Hence
j: W + E, x E2,
19 - 2 - Dj(z)-'U(v) - f(z)) I = I Y - r - Df(z)-I(Df(y - z) + R(V,z ) ) 1 f k . v) = (I, F(I. Y ) ) .
= I D/(Z)-~(R(V,
2) 1. The derivative off at (z, y) C U' is the linear map
Hence
of(=,v ) : ELX E; 4 EnX G,

It is easy to find an inverse to this if aF(z, y)/ay is invertible. Thus D j ( q , yo) is

invertible. Hence there is an open set L'o X V C W containing (a, yo) such that
j restricts to a diffeomorphism of Uo X V onto an open set Z C El X E,.
This clparl? goes to 0 as I f(y) - f ( x ) I goes to 0. Therefore D ( p ) (a) =
Choose open sets U C Uo, Y C Et such that r , E U , c € Y, and
[Df(f-'a)>l. Thus the map D ( p ) : j ( V ) -+ L(E) is the composition:j-', followed
by Dj, followed by the inversion of invertible operatore. Since each of these map
in continuous, so in D(f I).
The inverse of j : U o X I.' -Z preserves the first coordinate because f preserves
it. The restriction of ( jI U o X V)-' to I' X Y is thus a C' map of the form
Remark. Indudion on r = 1, 2, , . . shavr a b o that if j u C , thm f-I id C.

prorlwt of ltuo vcclor spoces. Let F: W

such that (lie linear operator
-
Implirit {unction theorem Let W C El X EEbe an open set i n Lhe Cartesian
El bc a C1 mop. Suppose (ro, yo) E W id
where

is C1.
h(z, w) = (2, 4 2 ,

p : u x Y-I.
u')),

Define a C1 map
g: C' - V,

id invertible. Put F ( s , yo) = c. Thm h e arc open seb U C El, V C El with

From the relation j h = identity of U X Y we obtain, for z € U :
C) = fh(z, C )
C' m q
ond a u>~ique
= t ~ Fh
, (2, C) )
g:u-+ v
auch thd
g(r)) 4 c
Thus
j'orcril+ I '. n~ld~ ~ m r e o ~F~( re,ry), # c if(z, y) E U x V and y # g ( z )
for all z 6 U.Since f is one-bone on U X V, if y # g ( r ) , then
f ( 2 9 u) * f ( z , 9 ( z ) );
hence
( z , F ( z , u ) ) f ( z , F ( z , ~ ( z ) ) )= (z,c),
ao F ( x , y ) Z e. %completes the p m f of the implicit function theorem, References
We note that if F is O,g is C.
From the identity
F(z,g(z)) c,
we find from the chain mle that for all z in U :

This yields the formula

1. R. Abraham, Frmndnliom of Medronrca (New York: Benjamin. 1967).
2. R. Bartie, Thc E W of Rml A d y s w (New York, Wiley, 1964).
3. 8. 8. Chern and 8. Smale (ds.),Proceeding6 of lhc Symposium in Pure M d e m u f w X I V ,
C k l Analyaia (Providence, Rhode Island: Amer. >lath. Sac., 1970).
4. U. D'Ancona, Thc Slmggbjar Erishce (Leiden, The N e t k r l ~ d s Brill,: 1950.
5. C. h r and E. Kuh. Bosic Cirmrzl T h w y (New York: blcGraw-Hill, 1969).
6. R. Feymma, R. G i h t o n , and M. Sands, Tlu F c y n m n Lcduru on physic^, Vol. 1 ( W i n g ,
Massachusetts; Addison-Wesley, 1963).
7. N. S. Goel, S C. hlaitrs, and E. W. blont~oll,h'mltnrar 8fodclc of Inlcmdimg Population.
(New York: Acndernic P-, 19R).
8. P . Halmos, Fintlc Lhmmaid V c d m Spaus (Princeton, New Jersey: V m Noatrand, 1958).
9. P . Hartman, O r d i ~ r Dtflnn*iol
y Epudtona (New York: Wiley, 1964).
10. S. L m g , Calculus o j SNrral Yarioblcs (Reading, Massachwetls: Addison-W&y, 1973).
11. S. Lang, Anolynir I (Reading, M w a c h u s e t b : Addison-Wesley, 1988).
12. S. L a g , S c m d Course tn C a h l w , Ilnded. (Reading, Mswsehuaetb: Addison-Wesky. 1964).
13. J. L.Sallm and S. Lelschetz, Smbilrly by Liapunov's Lhrcd M e h o d md A p p l i d i m u ( N e r
York: Academic P m , 1961).
14. S. Wachetz, I h f f n d u r f Epuotias, Ccmnrlrtc Throry (New York: Wiky ( I n l e m L n m ) ,
1957).
16. L. Loomis and 8. Stemberg, A & m d C&alua ( R e d i n g , Massachusetts: Ad&-Wesky,
1968).
16. E, W. Montmll, On the Volterrs s n d other nonlinear models, ALo. Mod. Phyr. 43 (1971).
17. M. H. A. Newman, Topology of Plonr Scb (London and New York: Cambridge Univ. P-,
1954).
18. 2. Niteeb, fiffermtiable DyMmics (Cambridge, Massachusetts: M I T Rey, 1971).
19. hl. M. Peixoto (td.), DyMmtml S y s w (New York: Aeade~nicP-. 1973).
20. L. Pontryagin, Ordinary fiffnmtial E~uoliona ( R e d m g , hlaassehusetts: Addimn-Wesky,
1062).
..--,
21. A. k i g n o and I. Richardson. T h e atru&e lor life; I, T w o s p e c k , BYU, M d .Biephyaia
29 (19671, 377-388.
22. 8.Smde, On the m s t h e m a t i d foundations of ekctricd circuit theory, I.Diffnmtial Cmm.
7 (1972), 193-210.
34'2 REFERENCES

a.I . Synge and B. Criffiths, Principlrs of hfrchnrra (New York: hlcGraw-Hill, 1949).
24 R. Thorn, SLabifrlt Strudurrfk d Y o r p h o g h h e : Esaai d'unc thloric gh(ro1r dcamodhlrs (Read-
ing, 3fa~sachusetfs:Addlson-Wedey, 1973).
25. A . Wlntaer, The A n u l y f ~ c o fFrmndatim of C e M l a f Mechan~ca (Princeton, New Jersey:
Princeton Univ. Preus, 1941).
26. E. Zeeman, Diflcrentisl cqus(ians for heartbeat and nerve irnpulaes, in D y n a m ~ c dSyaLmu
( 3 1 . h l . Peixoto, ed.), p. 683 (New Yark: Academic Press, 1973).
Answers to Selected Problems

Chapter I

Sert ion 2, page I2

2. (a) ( t , e f . b',k e ' )

(b) ( t i e 1 ,ks-'',ks)
(r) (k,e'. line", k,ez')
6 . A = d i a g l a , , ..., a.1 a n d a , < 0 , 1 = 1, ..., 11.
8. (h) An? solutions u, v s u c h t h a t u ( 0 ) a n d v ( 0 ) are illdependent vectom

Chapter 2

Page 27

m e a n s thr s e t
".\lostv initirrl rrlnditi<~ns is, v ) . R2 X R1such that r i3 not
colltnr,ar \\-ith r.

2. ( a ) n-ith V ( s ,y) = -2
- -
2d and ( c )
r2
\r-~thI,(+, y) = -
3 -3 2
7. H i l l / , Usr ( 4 ) Srction 6.
 ANSWERS TO BELECl'ED PROBLEMS Y S W E R S TO SELECTED PROBLEMS

Chapter 3 In the Ilr\\ coordinates thr difft~rentialquati011 becomm

Y; = Y,
6 = -@ Y,,
y: = \TZ y*.
T h e gc.nc.ral solution is
y, = Ce',
y~ = A c o s ( a 1) + B sin (fif ) ,
4. All pig~nvaluesare positive
y, = - B c o s ( f i t ) + Asin(V21).
Thrreforc,
6. (b) b > O
Ce'
JI = -
Bcos(\l2 1) + A s i n i f i t ) ,
( 2 8 - A f i ) c o s ( f i 1) - (B@ + 2A) sin(* 1 ) .
72 =
Serf inn I.page 60 (B+Afi)cos(,r)
71 = +
(B\lZ- A ) s i n ( a ! ) .
(Theauthors solved this problem in only two days.)
I, \ 0i s = 3e1 ros 2t + 9eisin 21
y = 3e1 sin 21 - 9e1cos 21
Chapter 5

Section 2, page 81

Section 1 , page 65 3. A = l , B = f i
4. ( R ) fi (h) 4 (c) I td) %
2, dim K = dim Kc and dim F 2 dim Fa
0. ( a ) and (dl
3 F 3 RCR

Section 3, page 87
Sect ion 2. pape 69

1. (a) BB.\IJfor E is given by (0, -a,q 2 ) and (1, -2, - 1)

Section 3, page 73
4. (a) T h r norm L=, 1.
Introduce thr new basis ( 1 . 0 , O), (0, -*,a), (1, -2, - I ) , and new coordinates 7. Hinf: Use geometric series
(y,, yz. Y ) related t o the old by

*-,
I 1 = Yl + uz, x z ' = L for O < z < 1, w i t h r = ( l I - T I [
2
, = /Z - 2y,, ,, I - =
I, = y2 - y,. 13. H i ~ l l : Show that all the terms in t h r pPa1.r srries for e* leave E invariant.
 ANSWERS TO BELECTED PROBLEM6

S e r l i o n 1, page 97 i h ) (;r,n~,ralizcdI-(.igcnspacc. rpannrd t~?. 1 1 , 0 ), gr*nc.rallzed( - l)+igenspacr

qrannrd h y (1, 2) ;
1. (a) I(!) = (K: - !K,)em,
y(l) = Klen.
( b ) I ( ! ) = P ( K I cos 1 -
Ki sin t ) ,
y(1) = ef'(Kz cos t +
K l sin 1). '7. I [ thrrthpc~rr-rrofthrmatrixis[ b , , ] . th<.nb., = 0b)r i <j + r (r - I, 2. . . . I .

4 If i,if: ('onsidcr A rt.strictc-d to rigrnspacn of A and usv rcsult of Problem 3.

!I ~ : I I5 1 t 1 k ( h ) .wurcr ( c ) suorcc
idi ncqnv of thc.s(> (f) none of t h e e

"
1;. .4 prr.ir.rvrs cach grneralizd v,gc.nspacc G:hence it suffices to cr~nsidr-rthc
10 0111y if a < -2 a r r thrrr any values of such k and in this case for
Ia)
rc?;trirtionsof A and T t c ~EA.I f T = S + .Y, thrn S 1 E, = $.I whichcommutes
k >6 2 ; . with A . Thus S and T hoth commute with 4 , so thrrefore does .\' = T - S.
I lii !it, values (,f A-.
S. Ksr thv Cajlcy-Harn~lton thwrrm.
I4 Ilrrtl: There is a rrsl cigrnvalur.. Study 2' on its (~igrnspace.
1.5. O j n s i d ~ bascs
r of the* kernrl and thr image.

Serricrn 5, page 102

Section 3, page 126
I. fr[-4 cost + sin 11 - + e"k.
(.
(ni I(/) =

I. Canonica~forms:
ill1 ,111 = -fs[4t + I ] + e"-
18
+ e41k ( a ) 0 0I 0!]
trr r 1 0 = Acns1 + B s i n / .
y(1) = - A sin 1 + B ens 1 + 21 0 0 0
0 0
S e c t i o n 6 , page 107 4. Assunll that S is in nilpotent canonical form. k t b denote t h e number of hlocks
2. (:I) s(l) eos21. (h) s(1) = -e" + elt-'.
nntl s t h r ~naximalnumber nf rows in a block. Then bs 5 n ; a l w b = n r and -
=
s 5 k.
. I r 1, I i (h) cxpV2 1 , cxp - f i t 4. Sirnilar pairs a r r ( a ) , ( d ) and ( I ) ) , (c).
4 ffz,at. ('llc.ck caw? (a), ( b ) , ( c ) of t h r thcorum.
X a = 0, b > 0 ; prrind is <b/2r.
S e r f ion 4, page 132

Chapter 6

S e r t i o ~2.~page 120

I. iai (;~-lleralizrdl-eigen~pacrspanncd hy ,( I. 0). (0, 1) ; 1. For s = :<.

 4NBU'ERS TO SELECTED PROBLEM8

(i. IT .tr = 81. r # 0, then 0 = q ( A ) r = q(rr)r. Chapter 8

4 S11t,\\ that A and A' haw the same Jordan form if A is a cumplcx matrix, and
I I N s. l l n r r~,:rl canonical iorm if d is real.
Page 177

Scrti,wr 5. pnge 136 1. (a) f ( + ) = 1 + 2 .

%(l) = 2,
I. I :I1.i.t ,*veryrigenvalue have real part < - b with b > a > 0. Let A = S
i + N
nith S semisimpl~and N nilpotent. In suitable coordinates ) / els 1 1 5 e-la,
-
il c" 1 1 5 Cfn. Then 11 elA (1 5 c ~ - ' ~ L " , and so elmI/ e l " / -+ 0 as 1 m .
>
I.vt s > O h r s o large that e" /I elA 1)) < 1 for 1 s. Put k = rnin(l1 e l A 11-')
Tor0 1 j s. <
'1 If I is an rigenveetor belonging to an eigenvalue with nonzero real part, then
the solution e'"r is not periodic. If ib, ic are pure imaginary eigenvalues, b # +c,
and 2 . 11. t Cma r r corresponding dgenvectors, then the real part of e l * ( z w ) +
is H nonp(.rindic solution.

By induction
P
I. h({) =?-I.

2. (a) In ( 7 ) , A = B = 0. Hence s(0) = C, ~ ' ( 0 )= D, s e ~ ( ~=) - e Hence

~ ~ ~= ~-D. ( 0 )

Chapter 7

ul(l) = Ods = 0,
Section 1, page 150 0

3. ia) Use e'Be'" = el(B+*' ~ " ( 1 )= 0

for all n: Hence z ( t ) = 0.
re) z(1) = t-'.
Sectiorr 2, page 153
4. (a) 1
2. I'sc the theorem of this section and Theorems 1 and 2 of Section 1.
R UFPProblem 2. (b)
If('' - '(O)
12-01
'- m as + --r 0; no Lipschitz constant.

(c) 1
5. ( a ) For 0 < c < E let

1 : 1 ,p (b) dense (c) dense, open

(<.I ,q>tln (f) open (g) dense, open
.i..d) ANSWERS TU SELECTED PHOBLEMS ANS\VEHS TO SELECTED PROBLEMS

Chapter 9 Chapter 10

.%ecfiort I, pnpe 185

Section I,p a g e 215
'2 lent (.\:l~~ll~lJ
, , .{ I) = --I' [ I i R).
:{. Ilrri/: I ' v 11 sl~~,ciul il1111.r prt~ducton R".Ccmiput~~ thv rate of cha~lgrof
1 I ( / ) 1: \ \ I I P ~ P I([) is a solutinn such that r ( 0 ) is ( t h e real part of) an rig~w-
\.cetur Clr Df(0)having positive real part; take r ( 0 ) very small
4. I'.I. (111 oI the thrnrrm of Scction 1.

Section 3, page 226

":i1. (1,) (,.) 1. Every solut~onis prriodic! Hifrl: If ( r ( l ) ,y(1) ) is a solution, so is ( - I ( -I),
13. I l i r i ~ : I,ook a t the Jnrdan f o r n ~of A . I t suffices t o considr.r a n r l ~ m e n t a r y y(-Oj,
.Tordnn hlork.

Section 4, p a g e 228

1. p = -2, u = -If 2fl

1. I' + y'
a strict Liapunov function
iq

S. 1'-'LO, r ] I < positively invariant. The a-limit set of any point of 1'-1[O, c ] con-
siqts entirrly of rquilibria in 1'-'[O, c ] , hence it is just 2'. Section 5, p a g e 237

2. LVI r' = -grad I . - ( r ) .Then V dtcreases a l o ~ ~trajectories,

g so that 1' iu roll-
r t n n t on n rlbcurrrnt trajrctory. Hrnce, a rrcurrrnt trajectory consists rntirvly
or r~cluilil~riunl points, and so is a constant
3. lit) Earl1 svt I , - ' ( - 5 , C] is positively invariant
II ) ) I'.i. Throrcm 3

Section I . page 241

1. Hzr11: II t h limit ~ set L is not r n n n r c t ~ d fill0

, tlirjoint r,l)rn sets l ' , . 1 ; con-
?. 1r.t .Ir = hr..4y = p!l. A f p,p + 0. Thl.11 (I, y) = p-l(r, Ay) = r - l ( A r . y ) = taining 1.. Thrn find a boundvd wquctnc<. of 1uli11tsr. on t h e t r a j ~ t o r ywith
A!J ' ( 1 .!I I . :111dAu-' # I, z, fl Ul, I, q 1 ' 2 .
;. . { I = pr:,cI $ ( I , -41). 4. l l i ~ r l . Evvry solution is prriodlr.
352 .4NF(WERS TO SELECTED PROBLEMS

Section 3, p a g e 447

2. H i n l : Apply Proposition 2
1. I f ir~ts: ( a )If z is not an equilibrium, take a local section a t z. (b) See Section 1 , p a g e 309
Prnhlrm 2 of Section 1.
I. Hitrt: If B is ckrtre to A , each eigenvalue of B having negative real part will
be closr to a similar elgrnvaluc A of A . Arguing as in the proof that S , is open
in Theorem 1 of Chapter 7, Spction 3, show that the sum of the multiplicities
of thesr rigenvalues p , of B nrar A equals the multiplicity of A. Then show that
2. H i n t : Lct y C r. Take a local section a t y and apply Proposition 1 of the pre- bases for the generalized eigenspaces of the ,I can be chosen near corresponding
villus section. bases for A .

Section 5, p a g e 253 S e c t i o n 3, page 318

2. Hints: (a) Use Poincad-F3endiison. (b) D o the problem for 2 n l +
closed orbits; use induction on n .
5 . H i n l : Let U be the region bounded by a closed orbit r o f f . Then g is trans-
verse to the boundary r of U . Apply Poincar&Bendixson.
1. Suppose Df(0) hss 0 as an eigenvaluc, let g,(r) = f ( r ) 4- r r , t # 0. For.1 t I
sufficiently small, one of g-., g. ~111be a saddle and the other a source o r s ~ n k ;
hence f cannot have the same phase portrait as both g, and g.. If Dj(0) h
3 3 1 , A > 0,as an eigenvalue, then g-. is a sink and g,, is a source.
ti. H i n t : First consider the case where e l A is a contraction or expansion. Then use
Problem 1 of Section 1.

Section 1 , p o g e Z78

( a ) H i n l : Show that the given condition is equivalent to the existence of a n

t i ~ r n v a l u ea of D h ( r ) with I u I < I . Apply Theorem 2.

S e r t i o n 3, prrge 285

3. Ifrjil: If u is periodic of period h, then so is rv for all r > 0.

.i.Ifr~zts: ( a ) Do the problcm first in cast p is zero and g i s linear. Then use
Ta\lor's rormula for t h r genrral caw. ( b ) Apply the result in (a) after taking
R local sr.ction.

Chapter 15

Src tion 2, p a g e 303

2 This is pretty trivial. Since I' is the f? function f , then I is P+'.

Subject Index

4 (hxllge

AI,+oln~lerwvergenre, XtI ,,I l,*.r.. ,;ti

1 8 f l l r c l r d l r t a ~ 6,
~ , 36
A d i u i ~ ~'2t31)
.
:idjc?h~~i r j i ,,perator, ZL%
Chararteru,tir, 213, 232
(:haracter~,~~r pa,l>nomlal, 43. 103
o Lilnlt pi~i111. ]!IS, 239
Clured urblt, 21s
A~,drvl~ov, :$I4
An~lllarna,lnentam, 21 Cbr~eda ~ ~ b s eit6,
PLII~uIII.,2 1 i Companiotn Inarrlx. 139
h ~ ~ t ~ r y r n m e lmap,
r i v 2U0 Cun>pnri,o~l~ R I , 80
( ' U ~ ~ ~ Y I Ispecier,I I ~ 265
Areid vell,rily, 29
l i y n ~ p t u f i penud,
r 277 (bmplex Cartealan -ipace, 62
L y r n p t n t ~ ca ~ a b i l ~ t 145,
y , 180, 186 Cun~plexe r g e t ~ v a l ~ m . 55
43,
.Lr?.t~~ptutirall?' stable perivdic solution , 2i6 Complex tlurnbers, 323
s ~ m p t o t ~ e s l >lable
ly sink, 280 Cumplex vertor >pare, 62, 63
u t u ~ ~ u r n o eqllativll,
~l. 160 C u m p l e u t i r s t ~ u01 ~ t operato? 65
Cvmplexlfiralw~~ ul vector apace;., 64
B C , , n h ~ ~ > r a ~*pare, v,~h ?Xi
IiHd vertirm, %!I t.<llljl#~ale u l runiplex lttlrnber, 3'3
IILL-CYI V O , . ~ O T . 10
C'<,!~lll~ale ~nolilelltulll,'L?bJ
B%ir Irrrrrt~ofrs,140 C u r ~ ~ ~ ~ g u64t ~ u r ~ ,
b ~ i rep,,t~,.
c '267 Cu~~.ervatiu~l
Bs.i,>, I90 of ar~gularnltmle#>tunt,21
oi euergy, Lh, 812
lia.,., :I4
,rf ~i,>lllll~,ll.. I:!!> C ~ n l ~ c r r a t ~force \ - e held, 17
( : u n t i ~ ~ ~ ~map, e l ~ .i 6
Uell!~?g* rc, e ~ g e ~ ~ v e c l42
ur,
B ~ f ~ t r r a l ~ g227,
m , 255 C u t ~ t t ~ ~ n o tdilierentiablc
cly map, 16
C u ~ ~ t r a r t i tmap l g theorem, ZH3
of l , e h a v i u ~272
Co~b~rttctiu~t, I45
B ~ f ~ ~ r e n tpcrlllt,
rut~ S
B;li#ncw~ls. 75 Cot~verge~lve. ib
Cuhvex yet, 164
B<,111dary, 221)
I%ral~r.he-, 2 2 1 ,21 1 Cuurdll~aleayaten~,36
Uraytu~b-SI~*erthevrcrn, 234 L i h t r d i l l a l ~ J4 ,
Brcruwer fired p u u ~ ttheorem, 253 ('TUII product, 20
C u r r c > ~PI t, I
C ('urreul h t a l n , 212, 229
Chrve, 3, 10
C', C', 178
C N I I I I I ~ hrrnr,
~ C ! ! ~122. 123, 331 r y c l ~ *ub>pare,
r 331
Cxpx<.tlxt~re. '?!? Cycl~ vector. ,134
Cnpll~ltllc~, 211, 23-2
C a r l ~ i a rp>n d l ~ c t01 vector space. 41
C a r t ~ ~ :-rv;l#,e,
u ~ LO
Carwhy -ecllrellre, i 6
('I,~,#~I,~'. I , , ~ ~ ~ I I ,75
,~,I>,
(:I>>11.t -llnllllllllll ~ I ~ c c ~ ~115
I.BLI,
(.,-,,IW. !I5
Ve~noidimce huld-, 1!1
CI,:,,,, B l l l ~ ,17, 17s
 SUBJECT INDEX
SUBJECT INDEX

I)iKerenliatiu!> operator, 142 Gradient, I7

Kepler'q fimt I s r , 23 N~lpotentcanolnral l o r n , 122
1)rrect turn. +I Grsdkent ryslcm. I99
Kersel. 13 S d e . 93, 21 I. 229
1)lsrrete dgnamical qyslnn, 278, 280 Graph of map, 339
limetic emergy, 18, 28X N a ~ ~ a u t o n o m o dilerential
tu equations. 99, 296
I>i.rrete flow, 279 Gmnwall's inequality, 169
Kirchholf'. rurreut Inw. 211 Nu~~anltonomoua perturbation, 308
I)i.crlmina~lt, 96 G r o w ~ hrale, 256
K \ L, 2L2. 230 Nu~idegenerstcb ~ l ~ n eform, sr 2YO
I ) n t a ~ ~ c 10,
e . 76
H Nonhumugeneuus. 99
I)nnl hs\a, 205
L N,,nlisear ~ n k 182 ,
I)nnl .\pnre. 36 Hsmiltor~ian,281, 2Y3
1.agrsnge's I llenrem, 194 Norm, 77
Ihnal vector qrnre. 204 Hnmilto~risl~ vector field, 2YI
I)?lmanrirnl ,>rlem. 5, 6. 159, 160 Hmilton'n equations, 291 L a t u ~rectum, 26 0
Harmonic motion. 59 Legendre ~ r a t ~ a l u m a l i o n292
, Ohmb law, 213
E Hnrmon~coscillator, 15, 105 Length, In, 76 w Llmh point, 198, 239
Eccen~ricity,26 H ~ g h e order
r linear equations, 138 Ixvel surface, 195,200 One-form, 205
Elpenspare, 110 Higher order systems, 102 Liapunov. 192 Onto mapping, 322
E~genvalue,63 Homeomorphism, 312 Liapunov lu~rrlion,193 Open scl, 76, 153
Eigenvertor, 42, 6 3 Homogeneous linear system#, 89 Liapunov'a theorem, 180 Operalor, 30, 33
Elementary A-block, 127 Hopf bilurcation, 227 Lienard's equatiot~,2L0, 215 Orbits, 5
I:len,el,tRry Jardan matrix, 127 Hyperbolic closed orbit, 31 1 Limit cycle, 250 Order 01 dilerential equation, 22
I?l?~a?t~tary liilpotent block. 122 Hyperbolic equilibrium, 187 Limit sea, 239 Ordlnary boundary points, 268
I<II~CK 1.q.
V2s!l
, Hyperbolic flow, 150 Limiting populat~on,257 Or~entedbranch, 22Y
bhl!re ori>it, It45 Hyperplane, 242 Linear contrect~on,279 Ongin, I0
I<~l#lntir>r~of lltn~tedgrowth, 257 Linear flow, 97 Orthonormal haw, 206
Eqnilrbr>unt,~ 4 5 1 Linear praph, 229
Linear map, 30, 33 P
K q u ~ l ~ b r ~poiut,
a ~ m 180 Identity map, 322
1:qmlibrium state, 145, 181 Liuear part, I81 Parallelogram law, RI
Image, 34, 322
Eucl~deanLhree spare, 287 L ~ n e a rsubspsee, 33 Parameter, 2
Implicit function theorem, 338
Expnn31on. 149 1.1rlear tranalormntion, 5 Parametrized dilerentid equation, 227
Improper node, 93
Lxpn~~etrt ( e ~ p )W, L l l ~ e a r ~ lproperties,
g 30 Partial sums, W
Independent aet (subset), 34
k;xpo~~erbtial,74 Lll~esrly)"dependent elements, 326 Pawive m i s t o r . 217
Inductmcc, 213, 232
c,l operslor. 112 Lmuville's formula, 278 Peixolo, 3 14
Inductors, 211. 213,232
I:xp,~,entlnl appmach, 181 lnflnlte series, 86 L~pschitrconntanl. 167 Pendulum, 1%
i:\[>,>!,<.,,f,*l.vr,i=", $3 Lipchitz function, 163 Pcriodlc sttrarlor, 278
Inilial condition, 2, 162
Local section, 212, 278 P e r i d l e w l u l ~ o n a 95
,
Initial vdue problem, 2
F Locslly Lipaehitz, 163 Perturbation, 304
Inner product, 16, 75
Phase portrsit. 4
F ~ r t ~ r i a83
I, I n phage trajectories. 278
Inlcgral, 23 M Phase space, 292
Field of force, 15 Phys~ealstates, 213, 232
Fixed point, LRI, 279 Invariance, 198 Manifolds, 232, 319
Inverse. 33 Physresl trajectory, 234
Flow, 6, 175 Matrices (mstnx), 8, I I
P ~ e s r diteration, 177
Flow b x . 243 Inveme function theorem, 337 Ysrwtll, 191
Poincar&Bendilson theorem, 239, U 8
Foclrs. RR Invertibility, 33 M ~ n i m e set,
l 241
Poinear6 map. 278. 281
Forre field, 16. 17. 23 Isomorphism, 35 Mixed polenlial, 233
Iteration scheme, I68 Pontrysgin, 314
Fundamental theorem, 162 .\lonotone along trajectory, 244
Por~tivedeliniten-, 75
F~~!tdnmenlal theorem ol alwbra, 328 \l,,lt!pli";ly, 110
Positive ~nvsriance,195
F ~ l ~ ~ d u m e theory,
~ u ~ n l 160 J ul a root, 330
Potential energy, 17,288
Jordan Lblock, 127 Power, 231
G Jordan curve theorem, 254
N
Predator-prey equation, 259
1 ; ~ ! ~ P ~ ~ I qpenkpace,
IIZPII 110 Jordan f o r q 127 n-body pmblem. 287 Primmy decpmposition theorem, 110
c;enernl~,ed mtm~evta,292 Jordan matrix, 127 Neighborhood, 76,305 Produel of matrice, 32
I:~ll?nr propert\.. 154 Newtonian gravitat~onalfield, 24 Proper subspnce. 33
I;e!.eurit,, 1,W K Newlon's equnt~ons,289
Cilubnl rertron, 117 Newlon's second law, 15
R
KCL. 211, 22!4
( ; < ~ ~vecl~ces,
tl 26!l Kcplcr problem. 5 8 I I I I ( E 331
), Rank, 41
V i l ~ ~ t eL ~12,
~ t117
. Heal canonical form, 130
 SUBJECT INDEX

Ileal d~.llnrr e~genvsluw,46 Symmetric matrix, 46, 20;

Real e~genvnlne,42 Symmetry, 75
llenl It,enrrt h m 01 operator, 132 Symplecl~clorm, 290
K e n ~ r r ~ r1l t> ( 1 ~ ~
248
>1, System, 3
I<eu~llarpolllt, 200 o l diflereotisl equatiom, 9
Ilesidulcl ,etr; (,uh<et~),158
Ilwistorb, 211, 213 T
I l ~ t r i r l i o ~322
r. Tangent vector, 3, I I
R1.C rrrctrit, 21 1 Telle~en'. theorem, 231
T i m e one map, 279
S
Total energy, 18, 289
S:i,l,Ilc $32 Trnre. 40
5~l,l<llell,ii!#l, lt!ll Trajectories. S
F<.:,l>,r.. :it Translates 01 vevtom, 10
RPPITOII111:1~, >>I Transvenal r r r > \ r i ~ , 267
~,
SeIf-a~tj<#~r?t ,qtcr,ht<,r,207 T r s n ~ r v e n eto vectcw field, 242
%t.rrrr~vv~il~l~c.~t\~. t1.1.65,1 IF, 117 T r ~ v i n l~ I I I N ~ IR RL C ~ ,
Yepilrnt r t m wf \..rl~hles, 261
b p a r n t n r p > , 272 u
Seqnenre, iti U r ~ r o u p l ~ 3,
~ ~67
g,
Sene.. Xll Undetermlned cuefieienb, 52
S ; ~ , ~ ~ r l e r rpulrrt.
t). LRI Uniform cot~tinuity,87
Prr,k. 1-15. IW. IXI, 2Rn ' U~riformnurm, R2
?v,,,!lnr ! h a l r ~ v ~ %I ., Unit hnll. 81
S ~ r ~ t ~t r,xl rr~ r t o ~ ttiotio~r, ~iv 59 Unlimited nmwth. 256
Srnrple nM.t.Ii~t,~rvnl,yrtem, Wlt
Swt>tl~ I T ? ~ I ~ , 257 ~~>~VIL,
tjrlt~ta,r~ ol d~flererrt~sl eqt~al~on,
Srlulron .pare, 35
S o ~ ~ r r'15. e . 149, 190 Ihriatio,, o l constan8, 99
Spare drnvnti\.e, 300 Variational eqnatiun, 2W
811i t n t R , 22 der Pol's eqb~ati<,tl,210, 215, 217
,,I ,,!>re.lr,rt~l .I*lW, 2:ll l e c t o r , 10, 33
Slnhilnt~,l + h Vector field, 4, I I
,,Ieal##~l~l,rla. 140 \'ector space, 30, 33
Stable rlo-ed orhrl. 2% Vector btructure on R '
, 30
Plnl,le eqnln!i<tn :% Veloci~yvector, 1 8
Slnltlc rcl,~~ltllr~rr!,~, 18.5 I'ertices, 268
>, <l,l,. l!,,.,l ~ , < , , ,9% ,~, l'olt Rue, 212
5t,,l,lr ~ I I , I I I , ~ I I I < I . , 2 2 halt w e dmp, 212
31,,I,lr .8,.i8:h<.,. lr,l Voltwe potential, 2L2, 230
Ftn,~clitnlh;i-r-. , < I V o l t a ~ e*tale, '112, 250
Srnte +e, e, 21, 3:) i'~~ltrrra-Lorkn 2.59, 262
er~~~stk,rd+.
State. S!
S t a I i u ~ > p~or >j l ~ tLXI . 'J
Slrurt~rrnl.tal,~l!l?, 304, 313 Work, 17
Suh>pnre, 3:)
Summstiur~.igrl. 323 2
Y:-",tl,<>.,., 273 Zero. 181