Variation of parameters

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In mathematics, variation of parameters, also known as variation of constants, is a general method to solve inhomogeneous linear ordinary differential equations.

For first-order inhomogeneous linear differential equations it is usually possible to find solutions via integrating factors or undetermined coefficients with considerably less effort, although those methods leverage heuristics that involve guessing and don't work for all inhomogeneous linear differential equations.

Variation of parameters extends to linear partial differential equations as well, specifically to inhomogeneous problems for linear evolution equations like the heat equation, wave equation, and vibrating plate equation. In this setting, the method is more often known as Duhamel's principle, named after Jean-Marie Duhamel who first applied the method to solve the inhomogeneous heat equation. Sometimes variation of parameters itself is called Duhamel's principle and vice versa.

History

The method of variation of parameters was introduced by the Swiss-born mathematician Leonhard Euler (1707–1783) and completed by the Italian-French mathematician Joseph-Louis Lagrange (1736–1813).[1] A forerunner of the method of variation of a celestial body's orbital elements appeared in Euler's work in 1748, while he was studying the mutual perturbations of Jupiter and Saturn.[2] In his 1749 study of the motions of the earth, Euler obtained differential equations for the orbital elements;[3] and in 1753 he applied the method to his study of the motions of the moon.[4] Lagrange first used the method in 1766.[5] Between 1778 and 1783, Lagrange further developed the method both in a series of memoirs on variations in the motions of the planets[6] and in another series of memoirs on determining the orbit of a comet from three observations.[7] (It should be noted that Euler and Lagrange applied this method to nonlinear differential equations and that, instead of varying the coefficients of linear combinations of solutions to homogeneous equations, they varied the constants of the unperturbed motions of the celestial bodies.[8]) During 1808-1810, Lagrange gave the method of variation of parameters its final form in a series of papers.[9] The central result of his study was the system of planetary equations in the form of Lagrange, which described the evolution of the Keplerian parameters (orbital elements) of a perturbed orbit.

In his description of evolving orbits, Lagrange set a reduced two-body problem as an unperturbed solution, and presumed that all perturbations come from the gravitational pull which the bodies other than the primary exert at the secondary (orbiting) body. Accordingly, his method implied that the perturbations depend solely on the position of the secondary, but not on its velocity. In the 20th century, celestial mechanics began to consider interactions which depend on both positions and velocities (relativistic corrections, atmospheric drag, inertial forces). Therefore, the method of variation of parameters used by Lagrange was extended to the situation with velocity-dependent forces.[10]

Description of method

Given an ordinary non-homogeneous linear differential equation of order n

$y^{(n)}(x) + \sum_{i=0}^{n-1} a_i(x) y^{(i)}(x) = b(x).\quad\quad {\rm (i)}$

let $y_1(x), \ldots, y_n(x)$ be a fundamental system of solutions of the corresponding homogeneous equation

$y^{(n)}(x) + \sum_{i=0}^{n-1} a_i(x) y^{(i)}(x) = 0.\quad\quad {\rm (ii)}$

Then a particular solution to the non-homogeneous equation is given by

$y_p(x) = \sum_{i=1}^{n} c_i(x) y_i(x)\quad\quad {\rm (iii)}$

where the $c_i(x)$ are differentiable functions which are assumed to satisfy the conditions

$\sum_{i=1}^{n} c_i'(x) y_i^{(j)}(x) = 0 \, \mathrm{,} \quad j = 0,\ldots, n-2.\quad\quad {\rm (iv)}$

Starting with (iii), repeated differentiation combined with repeated use of (iv) gives

$y_p^{(j)}(x) = \sum_{i=1}^{n} c_i(x) y_i^{(j)}(x) \, \mathrm{,} \quad j=0,\ldots,n-1 \, \mathrm{.} \quad\quad {\rm (v)}$

One last differentiation gives

$y_p^{(n)}(x)=\sum_{i=1}^n c_i'(x)y_i^{(n-1)}(x)+\sum_{i=1}^n c_i(x) y_i^{(n)}(x)\, \mathrm{.} \quad\quad{\rm (vi)}$

By substituting (iii) into (i) and applying (v) and (vi) it follows that

$\sum_{i=1}^n c_i'(x) y_i^{(n-1)}(x) = b(x).\quad\quad {\rm (vii)}$

The linear system (iv and vii) of n equations can then be solved using Cramer's rule yielding

$c_i'(x) = \frac{W_i(x)}{W(x)}, \, \quad i=1,\ldots,n$

where $W(x)$ is the Wronskian determinant of the fundamental system and $W_i(x)$ is the Wronskian determinant of the fundamental system with the i-th column replaced by $(0, 0, \ldots, b(x)).$

The particular solution to the non-homogeneous equation can then be written as

$\sum_{i=1}^n y_i(x) \, \int \frac{W_i(x)}{W(x)}\ \mathrm dx.$

Examples

First order equation

$y' + p(x)y = q(x)$

Solve the corresponding homogeneous equation to find the general solution:

$y' + p(x)y = 0$.

This homogeneous differential equation can be solved by different methods, for example separation of variables:

$\frac{d}{dx} y + p(x)y = 0$
$\frac{dy}{dx}=-p(x)y$
${dy \over y} = -{p(x)dx},$
$\int \frac{1}{ y} \, dy = -\int p(x) \, dx$
$\ln |y| = -\int p(x) \, dx +C_0$
$y = \pm e^{-\int p(x) \, dx +C_0 } = C e^{-\int p(x) \, dx}$

The general solution is therefore:

$y_g = C e^{-\int p(x) \, dx}$

Now we have to solve the non-homogeneous equation:

$y' + p(x)y = q(x)$

Using the method variation of parameters, we get the particular solution from the general solution as:

$y_p = C(x) e^{-\int p(x) \, dx}$

By substituting the particular solution into the non-homogeneous equation, we can find C(x):

$C' (x) e^{-\int p(x) \, dx} - C(x) p(x) e^{-\int p(x) \, dx} + p(x) C(x) e^{-\int p(x) \, dx} = q(x)$
$C' (x) e^{-\int p(x) \, dx} = q(x)$
$C' (x) = q(x) e^{\int p(x) \, dx}$
$C(x) =\int q(x) e^{\int p(x) \, dx} \, dx + C$

Therefore the particular solution is:

$y_p =C e^{-\int p(x) \, dx} \int q(x) e^{\int p(x) \, dx} \, dx$

The final solution of the differential equation is:

$y = y_g + y_p$
$y =C e^{-\int p(x) \, dx} \int q(x) e^{\int p(x) \, dx} \, dx+ C e^{-\int p(x) \, dx}$
$y =C e^{-\int p(x) \, dx} (\int q(x) e^{\int p(x) \, dx} \, dx+1)$

Specific second order equation

Let us solve

$y''+4y'+4y=\cosh{x}.\;\!$

We want to find the general solution to the differential equation, that is, we want to find solutions to the homogeneous differential equation

$y''+4y'+4y=0.\;\!$

From the characteristic equation

$\lambda^2+4\lambda+4=(\lambda+2)^2=0\;\!$
$\lambda=-2.\;\!$

Since we have a repeated root, we have to introduce a factor of x for one solution to ensure linear independence.

So, we obtain u1 = e−2x, and u2 = xe−2x. The Wronskian of these two functions is

$\begin{vmatrix} e^{-2x} & xe^{-2x} \\ -2e^{-2x} & -e^{-2x}(2x-1)\\ \end{vmatrix} = -e^{-2x}e^{-2x}(2x-1)+2xe^{-2x}e^{-2x}$
$= -e^{-4x}(2x-1)+2xe^{-4x}= (-2x+1+2x)e^{-4x} = e^{-4x}.\;\!$

Because the Wronskian is non-zero, the two functions are linearly independent, so this is in fact the general solution for the homogeneous differential equation (and not a mere subset of it).

We seek functions A(x) and B(x) so A(x)u1 + B(x)u2 is a general solution of the non-homogeneous equation. We need only calculate the integrals

$A(x) = - \int {1\over W} u_2(x) b(x)\,\mathrm dx,\; B(x) = \int {1 \over W} u_1(x)b(x)\,\mathrm dx$

Recall that that for this example

$b(x) = \cosh{x}$

That is,

$A(x) = - \int {1\over e^{-4x}} xe^{-2x} \cosh{x}\,\mathrm dx = - \int xe^{2x}\cosh{x}\,\mathrm dx = -{1\over 18}e^x(9(x-1)+e^{2x}(3x-1))+C_1$
$B(x) = \int {1 \over e^{-4x}} e^{-2x} \cosh{x}\,\mathrm dx = \int e^{2x}\cosh{x}\,\mathrm dx ={1\over 6}e^{x}(3+e^{2x})+C_2$

where $C_1$ and $C_2$ are constants of integration.

General second order equation

We have a differential equation of the form

$u''+p(x)u'+q(x)u=f(x)\,$

and we define the linear operator

$L=D^2+p(x)D+q(x)\,$

where D represents the differential operator. We therefore have to solve the equation $L u(x)=f(x)$ for $u(x)$, where $L$ and $f(x)$ are known.

We must solve first the corresponding homogeneous equation:

$u''+p(x)u'+q(x)u=0\,$

by the technique of our choice. Once we've obtained two linearly independent solutions to this homogeneous differential equation (because this ODE is second-order) — call them u1 and u2 — we can proceed with variation of parameters.

Now, we seek the general solution to the differential equation $u_G(x)$ which we assume to be of the form

$u_G(x)=A(x)u_1(x)+B(x)u_2(x).\,$

Here, $A(x)$ and $B(x)$ are unknown and $u_1(x)$ and $u_2(x)$ are the solutions to the homogeneous equation. (Observe that if $A(x)$ and $B(x)$ are constants, then $Lu_G(x)=0$.) Since the above is only one equation and we have two unknown functions, it is reasonable to impose a second condition. We choose the following:

$A'(x)u_1(x)+B'(x)u_2(x)=0.\,$

Now,

$u_G'(x)=(A(x)u_1(x)+B(x)u_2(x))'=(A(x)u_1(x))'+(B(x)u_2(x))'\,$
$=A'(x)u_1(x)+A(x)u_1'(x)+B'(x)u_2(x)+B(x)u_2'(x)\,$
$=A'(x)u_1(x)+B'(x)u_2(x)+A(x)u_1'(x)+B(x)u_2'(x)\,$

and since we have required the above condition, then we have

$u_G'(x)=A(x)u_1'(x)+B(x)u_2'(x).\,$

Differentiating again (omitting intermediary steps)

$u_G''(x)=A(x)u_1''(x)+B(x)u_2''(x)+A'(x)u_1'(x)+B'(x)u_2'(x).\,$

Now we can write the action of L upon uG as

$Lu_G=A(x)Lu_1(x)+B(x)Lu_2(x)+A'(x)u_1'(x)+B'(x)u_2'(x).\,$

Since u1 and u2 are solutions, then

$Lu_G=A'(x)u_1'(x)+B'(x)u_2'(x).\,$

We have the system of equations

$\begin{pmatrix} u_1(x) & u_2(x) \\ u_1'(x) & u_2'(x) \end{pmatrix} \begin{pmatrix} A'(x) \\ B'(x)\end{pmatrix} = \begin{pmatrix} 0\\ f\end{pmatrix}.$

Expanding,

$\begin{pmatrix} A'(x)u_1(x)+B'(x)u_2(x)\\ A'(x)u_1'(x)+B'(x)u_2'(x)\end{pmatrix} = \begin{pmatrix} 0\\f\end{pmatrix}.$

So the above system determines precisely the conditions

$A'(x)u_1(x)+B'(x)u_2(x)=0\,$
$A'(x)u_1'(x)+B'(x)u_2'(x)=Lu_G=f.\,$

We seek A(x) and B(x) from these conditions, so, given

$\begin{pmatrix} u_1(x) & u_2(x) \\ u_1'(x) & u_2'(x) \end{pmatrix} \begin{pmatrix} A'(x) \\ B'(x)\end{pmatrix} = \begin{pmatrix} 0\\ f\end{pmatrix}$

we can solve for (A′(x), B′(x))T, so

$\begin{pmatrix} A'(x) \\ B'(x)\end{pmatrix}= \begin{pmatrix} u_1(x) & u_2(x) \\ u_1'(x) & u_2'(x) \end{pmatrix}^{-1} \begin{pmatrix} 0\\ f\end{pmatrix}$
$={1\over W} \begin{pmatrix} u_2'(x) & -u_2(x) \\ -u_1'(x) & u_1(x) \end{pmatrix} \begin{pmatrix} 0\\ f\end{pmatrix},$

where W denotes the Wronskian of u1 and u2. (We know that W is nonzero, from the assumption that u1 and u2 are linearly independent.)

So,

$A'(x) = - {1\over W} u_2(x) f(x),\; B'(x) = {1 \over W} u_1(x)f(x)$
$A(x) = - \int {1\over W} u_2(x) f(x)\,\mathrm dx,\; B(x) = \int {1 \over W} u_1(x)f(x)\,\mathrm dx.$

While homogeneous equations are relatively easy to solve, this method allows the calculation of the coefficients of the general solution of the inhomogeneous equation, and thus the complete general solution of the inhomogeneous equation can be determined.

Note that $A(x)$ and $B(x)$ are each determined only up to an arbitrary additive constant (the constant of integration). Adding a constant to $A(x)$ or $B(x)$ does not change the value of $Lu_G(x)$ because the extra term is just a linear combination of u1 and u2, which is a solution of $L$ by definition.

References

1. ^ See:
2. ^ Euler, L. (1748) "Recherches sur la question des inégalités du mouvement de Saturne et de Jupiter, sujet proposé pour le prix de l'année 1748, par l’Académie Royale des Sciences de Paris" [Investigations on the question of the differences in the movement of Saturn and Jupiter; this subject proposed for the prize of 1748 by the Royal Academy of Sciences (Paris)] (Paris, France: G. Martin, J.B. Coignard, & H.L. Guerin, 1749).
3. ^ Euler, L. (1749) "Recherches sur la précession des équinoxes, et sur la nutation de l’axe de la terre," Histoire [or Mémoires ] de l'Académie Royale des Sciences et Belles-lettres (Berlin), pages 289-325 [published in 1751].
4. ^ Euler, L. (1753) Theoria motus lunae: exhibens omnes ejus inaequalitates … [The theory of the motion of the moon: demonstrating all of its inequalities … ] (Saint Petersburg, Russia: Academia Imperialis Scientiarum Petropolitanae [Imperial Academy of Science (St. Petersburg)], 1753).
5. ^ Lagrange, J.-L. (1766) “Solution de différens problèmes du calcul integral,” Mélanges de philosophie et de mathématique de la Société royale de Turin, vol. 3, pages 179-380.
6. ^ See:
7. ^ See:
8. ^ Michael Efroimsky (2002) "Implicit gauge symmetry emerging in the N-body problem of celestial mechanics," page 3.
9. ^ See:
• Lagrange, J.-L. (1808) “Sur la théorie des variations des éléments des planètes et en particulier des variations des grands axes de leurs orbites,” Mémoires de la première Classe de l’Institut de France. Reprinted in: Joseph-Louis Lagrange with Joseph-Alfred Serret, ed., Oeuvres de Lagrange (Paris, France: Gauthier-Villars, 1873), vol. 6, pages 713-768.
• Lagrange, J.-L. (1809) “Sur la théorie générale de la variation des constantes arbitraires dans tous les problèmes de la méchanique,” Mémoires de la première Classe de l’Institut de France. Reprinted in: Joseph-Louis Lagrange with Joseph-Alfred Serret, ed., Oeuvres de Lagrange (Paris, France: Gauthier-Villars, 1873), vol. 6, pages 771-805.
• Lagrange, J.-L. (1810) “Second mémoire sur la théorie générale de la variation des constantes arbitraires dans tous les problèmes de la méchanique, … ,” Mémoires de la première Classe de l’Institut de France. Reprinted in: Joseph-Louis Lagrange with Joseph-Alfred Serret, ed., Oeuvres de Lagrange (Paris, France: Gauthier-Villars, 1873), vol. 6, pages 809-816.
10. ^ See:
• Coddington, Earl A.; Levinson, Norman (1955). Theory of Ordinary Differential Equations. New York: McGraw-Hill.
• Boyce, W. E.; DiPrima, R. C. (1965). Elementary Differential Equations and Boundary Value Problems 8th Edition. Wiley Interscience., pages 186-192, 237-241