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Linear Systems

Prof. Dr. Joo Edgar Chaves Filho


Mestrado em Eng. Eltrica

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Linear Systems

Lyapunov Stability: An introduction to


Nonlinear/Uncertain Systems

2
Stability for a linear system
The system:
x Ax Bu, y Cx Du
Basic requirement for a system:
If a bounded input is applied, a bounded output
should be produced. BIBO stable.
If the input is removed, the output will vanish
gradually y(t) 0, as t . output stable
If you remove the input, the state will vanish
x(t) 0, as t . Internal stable (asymptotically)
These stability notions are closely related.
Internal stability is fundamental. For LTI sys, internal
stability implies the others. 3
Internal stability for a linear system
The system: x Ax Bu, y Cx Du
It is about the behavior of the zero input response:
x(t) e At x 0
Based on the solution, we have the following results:
Re(li)<0, for all .i, then as t , eAt 0, x(t) always
converges to 0. Asymptotically stable
Re(li) > 0, for some .i. Some entries of eAt diverge.
There exist x0 such that x(t) grows unbounded. Unstable
Re(li) 0 for all .i, all eigenvalues with 0 real parts are
simple, eAt is bounded but not converge to 0. Critical case
Re(li) 0 for all .i, some eigenvalues with 0 real parts are
repeated, eAt unbounded; x(t) unbounded for some x0 unstable
The most desirable is asymptotic stability, ensuring robustness 4
What if we have a nonlinear system: x f ( x, t )
For instance, x Ax B sat(Fx) sat(Fx)

This is a very common case.


Most physical control systems
have this form. u=Fx
Another case: differential inclusion
x Ax : A Can be used to describe uncertain
time-varying systems
The explicit solutions for these systems cannot be
obtained.
How can we analyze stability, performance?
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Example: Consider a switched system
x A1x, A 2 x, A1 1 1, A 2 1 13,
1 1 1 / 13 1
Both A1 and A2 have eigenvalues at -1+ j and -1 j. The
switching rule is arbitrary, i.e., dx/dt can take either A1x or A2x.

Is the system stable?

An earlier conjecture: if aA1+(1-a)A2 is stable for all


a[0,1], maybe the system should be stable.

For this particular system, the eigenvalues of aA1+(1-a)A2


have real part -1 for all a[0,1].

However, there is a switching rule to make the trajectories


diverge.
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x A1x, A 2 x, A1 1 1, A 2 1 13,
1 1 1 / 13 1

0.8

0.6
A1x Observation: Even for
0.4 two stable systems,
A2x there may exist a
0.2

0
switching rule to make
the system unstable.
-0.2

-0.4 Question: How can


-0.6
we guarantee stability?
-0.8
-3 -2 -1 0 1 2 3

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Example: an opposite case. Consider the switched system

x A1x, A 2 x, A1 0.1 1 , A 2 0.1 1 ,


- 3 0.1 1 / 3 0.1
Both A1 and A2 are unstable.
Question: Is there a particular switching rule to make the system
stable?

Yes.
0.8

0.6

0.4 A1x
0.2

-0.2

-0.4

-0.6 A2x
-0.8

-1

-1.2
-0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 1.2
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Lyapunovs approach:
Stability analysis without solving differential
equations
Can be applied to complicated systems
Can also be used for performance analysis

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The vector field, trajectories: a geometric view
The system x f(x)
x f(x)
It actually describes a vector field.
For a given x, f(x) is the vector x
which describes the direction x : velocity
x(t) heads to and how fast x : position
it goes (velocity)
Starting from a point x0, a smooth curve
can be constructed such that the vectors x0
along the curve is tangential to it.
This smooth curve is a trajectory
Also a solution to x f(x)
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Lyapunov stability: a first glimpse
The system x f(x)
Usually it is hard/impossible to get the explicit solution
It is possible to characterize some properties of the
vector field, e.g., its relation w.r.t some reference set.
For example, there is a family of ellipsoids
Same shape, different radius, from
0 to .
Suppose all the vectors f(x) point
inward of every ellipsoid.
What can we conclude from here?
Every trajectory goes to smaller and smaller ellipsoids
Eventually converges to 0. Stability 11
Generalization
Observation: We can use more general reference sets
than ellipsoids

As long as all the vectors points inward of each


boundary, we can still conclude stability.

Q: How to describe mathematically this property?


How to describe the shape of a reference set?
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Positive definite function and level sets
Definition: A function V: Rn R is said to be
positive definite if V(x) > 0 for all x 0;
positive semi-definite if V(x) 0 for all x ;
negative definite if V(x) < 0 for all x 0.
negative semi-definite if V(x) 0 for all x .

Given a positive semi-definite V. For a positive number r,


denote r3
LV(r):={ xR : V(x) r}
n r 2
r1
LV(r) is said to be a level set of V.
Clearly, LV(r1) LV(r2) if r1< r2.
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Quadratic functions and ellipsoids ( 3.9 )
These are the most popular choices of functions and
level sets.
Given a symmetric matrix P=PT (pij=pji).
A quadratic function can be defined as

V(x) = xTPx
n n
V(x) x T Px pijx i x j
i 1 j1

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Review:

Theorem: A symmetric matrix P is positive definite


if and only if its eigenvalues are all positive.

Theorem: A symmetric matrix P is positive definite


iff there exists a nonsingular matrix N such that P=NNT.

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Matrix inequalities:
Given two real symmetric matrices P and Q, we say that
P > Q if P Q> 0 (PQ positive definite)
P Q if P Q 0 (PQ positive semi-definite)
P < Q if PQ < 0 (PQ negative definite)
P Q if P Q 0 (PQ negative semi-definite)
It is easy to see that,
If P < Q, and X is nonsingular, then XPX < XQX
If P< Q, and X is singular, then XPX XQX

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Level sets of quadratic functions
Consider P = PT > 0 (symmetric + positive definite).
Let V(x)=xTPx. V is positive definite.
What are the level set LV(r)={xRn: xTPx r}?
Example:
V(x) x T Px x T 1 0 x x12 4x 22
0 4
The level set LV(1)
x2 The ellipsoid includes (0,0.5)
(0,0.5) and (1,0).
x1
(1,0)
The boundary is the set
{x: xTPx=1}
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Example: V1 (x) x T P1x x T U10 04 UT x, U cos - sin
sin cos
x2
LV1 (1) has the same shape
x1 with LV(1). Rotate by .
The one with P 1 0
0 4

For a general P=PT > 0. Let lmax be the maximal


eigenvalue, lmin be the smallest eigenvalue.
The level set LV(1) is an ellipsoid with long axis
(1/lmin)1/2 and short axis (1/lmax)1/2
To reflect the dependence of the ellipsoid on the matrix
P, we denote e(P,r):=LV(r), where V(x)=xPx
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Family of level sets
Consider P = PT > 0 (symmetric + positive definite).
Let V(x)=xTPx.
What is the relation between e(P,1) and e(P,s2)?
For a subset X of Rn and a positive number k,
denote kX={kx: xX} a scaled set.
Then e(P,s2) = s e(P,1). Note that
(P,1) x R 2 : x' Px 1
(P, s 2 ) x R 2 : x' Px s 2

Small: e(P,1/4)
Middle: e(P,1)
Large: e(P,4)
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Lyapunov Stability:
We turn back to the stability problem for system
x f(x)
How to describe the property that all vector point
inward of an ellipsoid?
Let the ellipsoid be: e(P,r).
Its boundary is the set {x: xPx = r}
Let x0 be a point on the boundary. Px0
The vector perpendicular to the
x0
tangential surface of the ellipsoid
at x0 is Px0 f(x0)
The vector f(x0) points inward iff
Px 0 , f(x 0 ) 0 x 0 P' f(x 0 ) 0 20
In summary, for the system x f(x)
Theorem: Given P=PT>0. If xTPf(x) < 0 for all x0,
then the system is asymptotically stable.
Px0 Explanation:
x0 On the boundary of each ellipsoid
e(P,r), the vector f(x) points strictly
f(x0)
inward of the ellipsoid.
A trajectory starting from each
boundary will reach smaller and
and smaller boundaries,
Eventually, converge to the origin
Such a stability is called quadratic stability. The level sets
are called contractively invariant ellipsoids.
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Another interpretation:
Given a quadratic function V(x)=xPx, P=P>0.
V/x=2Px.
Along a trajectory x(t) of the system, V is a function
of time, V(x(t)).
The time derivative of V is
V V
, ,

V x f(x) 2x , Pf(x)
x x
The condition xPf(x) < 0 implies that V(x(t)) is
strictly decreasing.
Hence V(x(t)) 0 as t .
x(t) e(P,r) for r 0.
x(t) 0. 22
With a more general positive-definite function V(x).
Let the derivative with respect to x be V/x.
Consider the system x f ( x, t )
Theorem: If (V/x)Tf(x,t) < 0, for all x0, all t>0,
then the system is asymptotically stable.

V/x: perpendicular to the


tangential surface.
Potential: the vector f(x,t) can
be allowed to have uncertainty
This is the fundamental theorem of stability for
nonlinear, uncertain and time-varying systems.
It is called Lyapunov stability theorem.
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Now we work on the linear system: x f ( x) Ax
Applying the condition for quadratic stability, we have
Theorem: If there exists a P=PT>0, such that
ATP+PA < 0 (negative definite), (1)
Then the system is asymptotically stable.
This is called Lyapunov stability theorem for linear systems

Explanation: The original condition is


xTPf(x)=xTPAx<0 for all x0 (2)
Note that xTPAx=(xTPAx)T=xTATPx. (2) is equivalent
to
xT(PA+ATP)x < 0 for all x0 (3)
(3) (1). Note that PA+ATP is symmetric. 24
How the stability condition,
P=P>0 s.t. AP+PA < 0 (1)
relates to the earlier condition
Re(lk) < 0 for all eigenvalues lks of A (2)
Conclusion: They are the same.

Theorem: All eigenvalues of A have negative real


parts iff for any N=N> 0, the Lyapunov equation
AP + P A= N (*)
has a unique solution P=P > 0.

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Look again at the theorem:
Theorem: All eigenvalues of A have negative real
parts iff for any N=N> 0, the Lyapunov equation
AP + P A= N (*)
has a unique solution P=P > 0.
It concludes more than the existence of P such that
AP+PA < 0.
In fact, you can construct a P > 0 such that AP+PA
equals any given negative definite matrix N.

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Example:
x Ax, A 1 0.2
1 2
Pick N = -I, and solve AP + PA = N
(use matlab P=lyap(A,I), we obtain
P= 2.5

2
0.6296 -0.1296 1.5

-0.1296 0.2630 1

0.5

0
Boundary of -0.5
e(P,1), the set of x such -1

that xPx=1. -1.5

-2

-2.5
Each line segment starts at -1.5
-1 -0.5 0 0.5 1 1.5

a point x on the boundary and


Ends at x+Ax*k for some scaling k. It shows the direction of Ax27
Problem set #12
Problem 1: For the system,

x Ax, A 1 2
1/2 1
Solve AP + PA = I. Plot the boundary of e(P,1)
and line segments which show the direction of Ax
for a selection of boundary points.

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Now we have two ways to test the stability of a linear sys.
Compute the eigenvalues of A;
with matlab: eig(A), Re(eig(A)) < 0?
Solve the Lyapunov equation AP+PA= Q (e.g., Q=I)
with matlab: P=lyap(A,-A, Q), eig(P) > 0?
The first method looks simpler. I never use the second
method.
The significance of Lyapunov approach
is not about its appl. to stability analysis of LTI sys.
is about its appl. to stability analysis of more
complicated sys.
and is also about its appl. to performance analysis
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Other applications:
The maximal output by bounded input. For the LTI sys,
x Ax Bu, y Cx (*)
We only know that ||u(t)||2 k . Suppose x(0)=0.
What is the maximal output ||y(t)|| ?
This problem is formulated when u is a disturbance.
Need to evaluate the effect of disturbances.
The maximal output by a set of initial states.
For (*), assume u=0. x(0)X. What is the maximal
output ||y(t)||?

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A simple performance measure:
the convergence rate
Consider the zero-state response of

x Ax : x(0) x 0
Have x(t)=eAtx0. If the system is stable, then x(t) 0 as t.
It is desirable that x(t) converges to zero as fast as possible.
How to describe this property?

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Consider a stable system, x Ax
Definition: The convergence rate is defined as the maximal
a such that there exists a constant c > 0 satisfying
||x(t)||2 c ||x0|| eat for all x0Rn.
Theorem:
1) The convergence rate is the maximal g such that
there exists P=P>0 satisfying
AP + PA < -2 g P
2) The convergenc e rate max Re(i (A)) : i 1,2,..., n

Note 1: The convergence rate is also an index of stability margin.


It indicates how far away the system is from being unstable.
Note 2: The first property can be extended to more complicated
systems when exact solution is unavailable.
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Next, we are going to deal with
stability of
Linear Differential Inclusions

Note: Using the Lyapunov function method, LDI is only


one step away from LTI.

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Linear Differential Inclusions (LDIs)
Motivation: how does LDI arise?
Example: A system with uncertain parameters
x (A 0 k1 (t)A 1 k 2 (t)A 2 )x,
The parameters k1(t) and k2(t) are time-varying and
uncertain. We only know that |k1(t)| 1 and |k2(t)| 1.
Denote W: A0+k1A1+k2A2: |k1|1,|k2|1},
W is a subset of Rnn, or a set of nn real matrices.
At every instant, we dont know dx/dt exactly, except that
x Ax : A W An LDI
34
v
Example: A nonlinear system k 2u
(u)
x Ax B (Fx)
k1u
y(.) is a scalar function.
It is known but we dont have u
suitable tools to handle such
kind of nonlinearity.
If we bound y(.) with two linear functions k1u and k2u,
then
y (Fx) kFx : k [k1 , k 2 ]
x Ax B(Fx) Ax kBFx : k [k1 , k 2 ]
If we let W={A+kBF: k[k1,k2]}. Again we have
x Ax : A
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Linear differential inclusions are used to describe
complicated systems, such as
nonlinear systems,
uncertain systems,
switched systems and
time-varying systems
with
a family of linear systems

This makes a complicated system approachable


with tools extended from those for linear systems.
We first review some concept about convex set.

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Consider a vector space, e.g., Rp
(note Rnm is also a vector space)
Let s1,s2Rp. The set s2
{ks1+ (1-k)s2: k[0,1]}
represents a line segment s1
between s1 and s2.

Let S be a subset of Rp, i.e., S Rp. S is said to be


a convex set if for any two s1,s2 S,
{ks1+ (1-k)s2: k[0,1]} S
s2 Not
convex
convex
s1 37
Convex hull of a set of points
Let s1, s2, , sN be a set of points in Rp. The convex
hull of s1, s2, , sN, denoted co{s1, s2, , sN}, is the
minimal convex set that includes s1, s2, , sN
s1 s2
s3 It is a polygon.

s6 s4
s5
N
co{s i : i 1,2,, N} is i : 1 2 ... N 1, i 0
i 1

A convex linear combination


38
Examples

(-1,1) (1,1) co 1, 1 , 1, 1
1 1 1 1

k
1 : | k1 | 1, | k 2 | 1
(-1,-1) (1,-1) k 2

k R2 : k 1
(0,1)
co 1, 0, 1, 0
0 1 0 1

(0,-1) (1,0) k1
: | k1 | | k 2 | 1
(0,-1) k 2

k R2 : k 1 1

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A system contains uncertain parameters: k2
x (A 0 k1 (t)A 1 k 2 (t)A 2 )x, (-1,1) (1,1)

Each point (k1, k2) corresponds to a matrix k1


(k1,k2) A0+k1E1+k2E2 (-1,-1) (1,-1)
This defines a map from R2 to Rnn.
It is an affine map
Let S be a polygon in R2 with vertices s1, s2, , sN, S=co{s1,s2,}
Denote W ={A0+k1E1+k2E2: [k1 k2]S} (the image of S)
W is a polygon in Rnn.
A vertex of S corresponds to a vertex of W.
W = co{A0+k1E1+k2E2: [k1 k2]=s1, s2,sN}

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Examples
W1 A0 k1E1 k 2 E 2 : | k1 | 1, | k 2 | 1 (-1,1) (1,1)
co A1 , A 2 , A3 , A 4
A1 A 0 E1 E 2 , A 2 A0 E1 E 2 , (-1,-1) (1,-1)
A3 A 0 E1 E 2 , A 4 A 0 E1 E 2 .

W2 A0 k1E1 k 2 E 2 k 3E3 : | k1 | 1, | k 2 | 1, | k 3 | 1
co A1 , A 2 , A3 , A 4 , A5 , A6 , A7 , A8
A1 A 0 E1 E 2 E 3 , A 2 A 0 E1 E 2 - E 3 ,
A 3 A 0 E1 E 2 E 3 , A 4 A 0 E1 E 2 E 3 ,
A5 A 0 E1 E 2 E 3 , A 6 A 0 E1 E 2 - E 3 ,
A 7 A 0 E1 E 2 E 3 , A8 A 0 E1 E 2 E 3 ,

41
Examples
W3 A0 k1E1 k 2 E 2 : | k1 | | k 2 | 1
(0,1)

co A1 , A 2 , A3 , A 4
(0,-1) (1,0)
(0,-1)
A1 A0 E1 , A 2 A0 E1 ,
A3 A0 E 2 , A 4 A 0 E 2 .

W4 A0 k1E1 k 2 E 2 k 3E3 : | k1 | | k 2 | | k 3 | 1

co A1 , A 2 , A3 , A 4 , A5 , A6
A1 A 0 E1 , A 2 A 0 E1 ,
A3 A0 E 2 , A 4 A0 E 2 ,
A5 A 0 E 3 , A 6 A 0 E 3 ,

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Stability of Polytopic LDIs
Given a set of nn real matrices A1, A2, AN.
Let W=co{A1,A2,,AN}. Consider the LDI
x Ax : A
Equivalent ly, x coA1x, A 2 x,..., A N x

Theorem: The LDI is stable if there exists P=P>0


such that
A1 ' P PA1 0
A2 ' P PA2 0

AN ' P PAN 0
43
Main idea: Consider the ellipsoid e(P,r).
Let x0 be a point on its boundary. Px0
A1P+PA1< 0 Px0, A1x0 < 0 x0
A 2x0
A2P+PA2< 0 Px0, A2x0 < 0 A1x0 ANx0

ANP+PAN< 0 Px0, ANx0 < 0

Since x co{A 1x, A 2 x,...A N x}, a1 , a 2 ,..., a N 0,


s. t. a1 a 2 ... a N 1, and
x |x 0 a1A1x 0 a 2 A 2 x 0 ... a N A N x 0
N
Px 0 , x |x 0 Px 0 , A i x 0 0
i 1

This is valid for all x on the boundary of each ellipsoid.


A trajectory will enter smaller and smaller ellipsoids. 44
The convergence rate for an LDI
Definition: The convergence rate amax is defined as the maximal
a such that there exists constant c > 0 satisfying
||x(t)||2 c ||x0|| eat
for all x0Rn and all possible solutions x(t) corresponding to each x0.

Theorem: Let gmax be the maximal g such that there exists P=P>0
satisfying
A1 ' P PA1 2 P
A 2 ' P PA 2 2 P

A N ' P PA N 2 P
Then gmax amax.

We can use gmax as an estimate for the convergence rate.


If gmax > 0, then the LDI is stable. 45
The optimization problem for computing the maximal gmax
sup


s. t. A1 ' P PA1 2 P
A 2 ' P PA 2 2 P Linear matrix inequalities
Can be efficiently solved
A N ' P PA N 2 P
with Matlab
P P' I

46
A1=[0 1 0;0 0 1;-1 -2 -5]; A2=[0 1 0;0 0 1; -1 -2 -4];
A3=[0 1 0;0 0 1; -1 -3 -2];
n=max(size(A1)); % dimension of Ai
setlmis([])
P=lmivar(1,[n,1]); % Q a 3x3 symmetric matrix

lmiterm([-1 1 1 P],1,1)
lmiterm([1 1 1 0],eye(n))

lmiterm([2 1 1 P],1,A1,'s') % first LMI: A1P+PA1< tP


lmiterm([-2 1 1 P],1,1)

lmiterm([3 1 1 P],1,A2,'s') % first LMI: A2P+PA2< tP


lmiterm([-3 1 1 P],1,1)

lmiterm([4 1 1 P],1,A3,'s') % first LMI: A3P+PA3< tP


lmiterm([-4 1 1 P],1,1)

lmisys=getlmis;
op=[0.000001 300 1e18 10 1]; Result: gamma=0.3408
[t,X]=gevp(lmisys,3,op); stable
P=dec2mat(lmisys,X,P);
gamma=-t/2 47
Example: A second-order system with an uncertain/time-varying
parameter g

x 1 1 g(t) 0 1 x, g(t) [0,1.2]


1.5 2 1 0
The system can be described with the following LDI

x coA1x, A 2 x, A1 1 1 , A 2 1 0.2
1.5 2 2.7 2
Using LMI solver, the solution to
sup
s. t. A1 ' P PA1 2 P
A 2 ' P PA 2 2 P
P P' I
is 0.6051 0, P 12.0687 2.8735
2.8735 2.2988
48
x coA1x, A 2 x, A1 1 1 , A 2 1 0.2
1.5 2 2.7 2
0.6051 0, P 12.0687 2.8735
2.8735 2.2988
The system is stable. To demonstrate this result, we plot the
verctor A1x and A2x along the boundary of e(P,1)

A2x A1x
0.8 0.8

0.6 0.6

0.4 0.4

0.2 0.2

0 0

-0.2 -0.2

-0.4 -0.4

-0.6 -0.6

-0.8 -0.8
-0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4

49
Problem set #12
Problem 2: Consider the following LDI

x coA1x, A 2 x, A1 1 1, A 2 2 3
3 2 2 1

Compute the convergence rate g along with a matrix P=P>0.


Along the boundary of e(P,1), plot A1x in one figure and plot
A2x in another figure.

50
Stability for discrete-time systems x[k]
*
*

Consider a system: x[k+1]=f(x[k]) *
x[k+1]
Given a quadratic function V(x)=xPx. *

Theorem: The system is stable if


f(x)P f(x) < xPx for all x0. (1)

Interpretation:
Consider x[k] on the boundary of an ellipsoid: x[k] e(P,r),
i.e. x[k]Px[k]= r.
Condition (1) implies that x[k+1]P x[k+1] < r, x[k+1] is
inside the ellipsoid.
A trajectory will go to smaller and smaller ellipsoid. stable
51
Stability for LTI systems x[k]
*
*

Consider a system: x[k+1]=Ax[k] *
x[k+1]
Given a quadratic function V(x)=xPx. *

Theorem: The system is stable if


AP A < P (2)

Note that (2) implies that


xAPAx < xPx x[k+1]Px[k+1] < x[k] P x[k]

Theorem: The following are equivalent


There exists P=P>0 satisfying (2)
All eigenvalues of A are within the unit disk, i.e., |li|<1 for all i.
52
Stability of Polytopic LDIs
Given a set of nn real matrices A1, A2, AN.
Let W=co{A1,A2,,AN}.
Consider the LDI (linear difference inclusion)
x[k 1] Ax[k] : A
Equivalent ly, x[k 1] coA1x[k], A 2 x[k],..., A N x[x]

Theorem: The LDI is stable if there exists P=P>0


such that
A1 ' PA1 P 0
A 2 ' PA 2 P 0

A N ' PA N P 0
53
The convergence rate for an LDI
Definition: The convergence rate min is defined as the minimal
0 such that there exists constant c > 0 satisfying
||x[k]||2 c ||x0|| k
for all x0Rn and all possible solutions x[k] corresponding to each x0.

Theorem: Let gmin be the minimal g 0 such that there exists P=P>0
satisfying
A1 ' PA1 P 0
A 2 ' PA 2 P 0

A N ' PA N P 0

Then gmin > min.

We can use gmin as an estimate for the convergence rate.


If gmin < 1, then the LDI is stable. 54
Final Exam Coverage:
Equivalence transformation
Realization of transfer function
Controllability and observability
Controllability/observability decomposition
Conditions for Jordan canonical form
State feedback design
Observer design
Lyapunov stability

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