Lyapunovs Direct Method for Flows

Lyapunovs 2nd or Direct Method is a technique for investigating stability which gener-
alises how energy behaves in a physical system to an arbitrary dynamical system. The
Lyapunov function plays the role of this energy function: it is minimum when the sys-
tem is in equilibrium, it increases in value when the equilibrium is perturbed since such a
perturbation is equivalent to injecting energy into the system, and if the system is stable
the energy will not increase, indeed it usually decreases as the system returns to equilib-
rium.
We start by looking at a number of functional properties that well use in describing
Lyapunov functions.
1 Positive Denite Functions & Quadratic Functions
Given a neighbourhood N of 0 R
n
a function W : R
n
R is
positive denite (pd) if
(pd 1) W(0) = 0
(pd 2) W(x) > 0 for x = 0 N
positive semi-denite (psd) if
(psd 1) W(0) = 0
(psd 2) W(x) 0 for x N
negative denite (nd) if W(x) is pd
negative semi-denite (nsd) if W(x) is psd.
A quadratic function QF : R
n
R is given by
QF(x) =
n

i=1
n

j=1
P
ij
x
i
x
j
= x
T
Px
where P is a symmetric matrix P = P
T
= [P
ij
].
It may be shown that a quadratic function QF is pd (respectively psd, nd, nsd) if all
the eigenvalues of P are positive (respectively greater than or equal to zero, negative,
less than or equal to zero). In all cases the matrix P inherits the corresponding name
of the quadratic function. A computationally straightforward way of checking whether
a symmetric matrix P is pd is given by Sylvesters criterion: P is pd i all its leading
principal minors are positive.
Examples:
QF(x) = x
2
2xy + 2y
2
=
_
x y
_
_
1 1
1 2
_ _
x
y
_
is pd since its leading principal minors are P
11
= 1 and det P = 1 respectively.
QF(x) = 2x
2
1
2x
1
x
2
+ 2x
1
x
3
3x
2
2
x
2
3
=
_
x
1
x
2
x
3
_
_
_
2 1 1
1 3 0
1 0 1
_
_
_
_
x
1
x
2
x
3
_
_
is not pd since its leading principal minors are P
11
= 2, (P
11
)(P
22
) (P
12
)(P
21
) = 5
and det(P) = 2. Can Sylvesters criterion tell us anything else? We can use it to check
whether P is nd by investigating P. The leading principal minors of this latter matrix
are 2, 5 and 2, and so we can conclude that P is nd.
We remark in passing that Sylvesters criterion cannot be used in general to identify psd
matrices.
2 Lyapunov Local Stability Theorems
Consider the ow
x = f(x), x
e
= 0 (1)
Dene the Lyapunov function V : N R by
(L1) V is pd
(L2)
dV
dt
=
_
V
x
_
T
x =
_
V
x
_
T
f(x) = ||
V
x
|| || x|| cos is nsd
V
x
is the gradient of V , and it is orthogonal to the contours of V and pointing away from
the origin; is the angle between
V
x
and x. Thus if
dV
dt
< 0 at a point x = x
c
in the phase
plane, then the systems trajectory is crossing the contour V (x
c
) from a higher value of
V to a lower value of V , i.e. is heading towards 0. (See Fig. 1)
Theorem 1 (Stability) If there exists a Lyapunov function for the system of Eq(1),
then x
e
= 0 is stable.
Theorem 2 (Asymptotic stability) If there exists a Lyapunov function for the system
of Eq(1), with the additional property that
(L3)
dV
dt
is nd
then x
e
= 0 is asymptotically stable.
Theorem 3 (Instability) If there exists a pd function V for which
dV
dt
is also pd for the
system of Eq(1), then x
e
= 0 is unstable.
3 Lyapunov Global Stability Theorems
These mirror the local stability theorems, but with some dierences
N = R
n
(of course),
V (x) as ||x|| . A function with this property is said to be radially
unbounded and it is needed to ensure that the contours of V dene closed curves.
With these provisos, the global stability theorems read the same as the local stability
ones.
Figure 1: Trajectory crossing a contour
4 La Salles Invariance Principle
This principle can be of use in the situation where the Direct Method enables us to infer
stability but not asymptotic stability, but we suspect that the latter is indeed the case.
Recall that a (forward) invariant set S for system of Eq (1) has the property that
x
0
S x(t) = (t, x
0
) S, t 0
Assume that we have a function V : Dene the neighbourhood N
b
= {x : V (x) < b}.
Furthermore assume that
dV
dt
0 for x N
b
. Dene R = {x N
b
:
dV
dt
= 0} and let M
be the union of all invariant sets in R. The Invariance Principle says that if x
0
N
b
then
x(t) M as t . [See Fig. 2].
Corollary 4 If (i) V is pd, (ii)
dV
dt
is nsd and (iii) M = {0}, then 0 is locally asymptot-
ically stable.
Corollary 5 If (i) V is pd everywhere and radially unbounded, (ii)
dV
dt
is nsd everywhere
and (iii) M = {0}, then 0 is globally asymptotically stable.
Figure 2: La Salles Invariance Principle: Invariant set M = M
1
M
2
M
3
for which
dV
dt
= 0
5 Two canonical examples
1-d ow
x +c(x) = 0
where c(x) is continuous and has the same sign as x i.e.
xc(x) > 0, x = 0
Continuity requires that c(0) = 0 [See Fig. 3] and thus x
e
= 0.
Consider the radially unbounded pd function
V (x) =
1
2
x
2

dV
dt
= x x
= xc(x)
< 0, if x = 0
Thus
dV
dt
is nd, and we can conclude that x
e
= 0 is globally asymptotically stable.
Specic examples are:
x + 2x = 0, x +x|x| = 0, x +x
3
= 0, x +x sin x = 0
Can anything be be said about
x +x
2
= 0?
Figure 3: the function c(x)
What can be said if c is continuous but that xc(x) > 0 on a nite interval containing
x = 0?
2-d ow
x +b( x) +c(x) = 0
where b and c are continuous functions and have the same sign as their arguments
i.e.
xb( x) > 0, x = 0
xc(x) > 0, x = 0
Continuity requires that b(0) = 0 and c(0) = 0. Both b and c as functions of their
respective arguments have the same shape as the function in Fig. 3.
The example is a generalisation of the spring-mass-damper system with nonlinear
spring (c(x)) and nonlinear damping (b( x)). With the choice of state variables
x = x, y = x, the state equation becomes
d
dt
_
x
y
_
=
_
y
c(x) b(y)
_
and with the given conditions on b and c, x
e
= 0.
Consider the pd function
V (x, y) =
1
2
y
2
+
_
x
0
c(s)ds

dV
dt
= y y +c(x) x
= c(x)y b(y)y +c(x)y
= b(y)y
0
Thus
dV
dt
is nsd, implying that x
e
= 0 is stable. But is it asymptotically stable?
Now
dV
dt
= 0 only if y = 0 giving us that R = {(x, 0)
T
} - the x - axis. What is M?
If x R but x = 0 then y = c(x) = 0 leading to the conclusion that y changes
value i.e. is no longer 0 and so the trajectory leaves R. Hence if x M then x must
be zero and so M = {(0, 0)
T
} = 0. The Invariance Principle then tells us that 0 is
locally asymptotically stable.
In addition, if the integral
_
x
0
c(s)ds is unbounded as |x| , then V is radially
unbounded and we get that 0 is globally asymptotically stable.
Specic examples are:
x + 2 x| x| +x
1
3
x
3
= 0, x + x
3
+x
5
x
4
sin
2
x = 0
Again what can be said if b or c are continuous such that yb(y) > 0 or xc(x) > 0 on
a nite interval containing 0?
6 Linear Systems
Even though Lyapunovs rst or indirect method (linearization) is usually adequate for
linear systems, the use of the direct method gives us another tool for stability analysis.
Recall that for linear systems, local stability and global stability are synonymous. For
the linear system
x = Ax, x
e
= 0 (2)
consider the quadratic function
V (x) = x
T
Px, P
T
= P

dV
dt
= x
T
Px +x
T
P x
= (Ax)
T
Px +x
T
P(Ax)
= x
T
A
T
Px +x
T
PAx
= x
T
(A
T
P +PA)x
= x
T
Qx
where we have set
A
T
P +PA = Q (3)
This equation is known as the Lyapunov Equation. Note that Q is forced to be symmetric.
Lets consider the case where we want to establish asymptotic stability of the xed point
x
e
= 0. We require that (i) V = x
T
Px be pd or equivalently that the matrix P be pd
and (ii) that
dV
dt
= x
T
Qx be nd or equivalently that the matrix Q be nd, i.e. Q be pd.
this leads to the following theorem
Theorem 6 (Linear Asymptotic Stability) The (xed point of the) system of Eq (2)
is globally asymptotically stable if and only if, given any pd matrix Q, the solution P of
Eq (3) is also pd.
Example:
x =
_
0 1
2 3
_
x
Since Q can be any pd matrix, it is quite common to choose Q = I. Building in symmetry
in P, the Lyapunov Equation for this system becomes
_
0 2
1 3
__
p
1
p
2
p
2
p
3
_
+
_
p
1
p
2
p
2
p
3
__
0 1
2 3
_
=
_
1 0
0 1
_
or writing this as a system of linear equations
4p
2
= 1 position (1, 1) in matrix equation
2p
3
+p
1
3p
2
= 0 position (1, 2) in matrix equation
p
1
3p
2
2p
3
= 0 position (2, 1) in matrix equation
2p
2
6p
3
= 1 position (2, 2) in matrix equation
(Notice that the equation in position (2, 1) is the same as that in position (1, 2), due to
the built-in symmetry, and so there are only 3 independent equations in the 3 unknowns)
The system has solution
p
1
=
5
4
, p
2
=
1
4
, p
3
=
1
4
So we have
P =
_
5/4 1/4
1/4 1/4
_
which has leading principal minors P
11
=
5
4
and detP =
1
4
. Thus x
e
= 0 is globally
asymptotically stable.
7 Basin of Attraction for an asymptotically stable
xed point
Consider the system of Eq (1), where we assume that x
e
= 0 is asymptotically stable.
Then there exists a neighbourhood (N) of 0 with a pd V (x) and corresponding nd
dV
dt
.
The following approach can be used to estimate its basin of attraction (it is described in
terms of a 2-d problem):
Solve
dV
dt
= 0
One solution of this is x = 0. We are interested in the other solution(s) which are
typically curves. Generically, these curves partition the plane into regions where
dV
dt
alternates from positive to negative and back again. We select the largest region
(Z) that contains 0 and where
dV
dt
0 throughout.
Solve the optimisation problem
min
xZ
V (x), subject to
dV
dt
= 0, x = 0
Let m

= min
xZ
V (x).
The estimate of the basin of attraction is then
B = {x : V (x) < m}
Using a dierent function for V will result in a dierent estimate of the basin of
attraction. [See Fig.(4)]
Figure 4: Basin of Attraction of stable xed point
Example:
x = x +y, y = y +
1
2
x
2
(4)
has a xed point at x
e
= 0. The pd function
V (x, y) =
1
2
x
2
+
1
2
xy +
1
2
y
2
(5)

dV
dt
= (x +
1
2
y) x + (
1
2
x +y) y
= x
2

1
2
y
2
+
1
4
x
3
+
1
2
x
2
y
We can argue that for x near 0 the third order terms in the expression for
dV
dt
are negligible,
and so
dV
dt
is nd giving local asymptotic stability. We use the method discussed above to
estimate the basin of attraction.
dV
dt
= 0
y
2
x
2
y
1
2
x
3
+ 2x
2
= 0
This denes two real branches for y as a function of x. The active branch (see Fig. (5) is
y =
x
2
_
x

x
2
+ 2x 8
_
which function we will denote by Y (x). Now dene G(x)

= V (x, Y (x)) . Minimising G
Figure 5: Basin of Attraction of stable xed point of Eq(4) estimated using Eq(5).
as a function of x yields m = min
x
G(x) =
9
2
at x 2.1523 (found numerically). Hence
the estimate of the basin of attraction is
B =
_
(x, y)
T
:
1
2
x
2
+
1
2
xy +
1
2
y
2
<
9
2
_
.