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I want to solve a large system of 500 by 500 differential equations such that I have equations such as: Note all the A1, A2 are just constants, that are not necessarily equal.

y1'[t]= A1*y1[t]+ B1*y2[t]+...+Z1*y500[t]
y2'[t]= A2*y1[t]+ B2*y2[t]+...+Z2*y500[t]
.
.
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y500'[t]=A500*y1[t]+ B500*y2[t]+...+Z500*y500[t]

In the Mathematica documentation, I have found some tutorials on how to do this for a 2x2 matrix, but not for large matrices.

Thanks!

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Since the equation is linear, we know that the answer is a matrix exponential. See for example, the section on linear differential equations in Wikipedia, which shows that the solution to a vector-valued linear ordinary differential equation $\frac{d y(t)}{dt} = A y(t)$ is $y(t) = e^{A t} y_0$.

The code below sets up a n by n matrix (randomly) and the matrix exponential is calculated. A random initial vector init is chosen, and then the n trajectories starting at init are plotted.

n = 10;
m = RandomReal[{-1, 1}, {n, n}];
exp[t_] := MatrixExp[m t];
init = RandomReal[{-1, 1}, n];
Plot[exp[t].init, {t, 0, 1}]

enter image description here

For the specifics of the OPs case, the matrix m contains all the A1, B1, A2, B2 etc parameters.

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