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I know that impulse is the change in linear momentum. Is the direction of impulse always along the change in momentum vector? Please explain.

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You have already said you are aware that the impulse $\mathbf J$ is the change in linear momentum $\Delta\mathbf p$, so we have $$\mathbf J\equiv\Delta\mathbf p$$

This is a vector equation. When two vectors are equal they must have the same magnitude and direction.


In general, if we have two vectors $\mathbf a$ and $\mathbf b$ that are equal, then their components must be equal (let's assume we are working with 2D vectors here) $$a_x=b_x$$ $$a_y=b_y$$

So looking at the magnitude of $\mathbf a$: $$||\mathbf a||=\sqrt{a_x^2+a_y^2}=\sqrt{b_x^2+b_y^2}=||\mathbf b||$$

And looking at the direction of $\mathbf a$: $$\theta_a=\tan^{-1}\left(\frac{a_y}{a_x}\right)=\tan^{-1}\left(\frac{b_y}{b_x}\right)=\theta_b$$

Therefore, two vectors that are equal must have the same magnitude and direction

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