Lecture Notes 2016

Signal-‐‑ und Systemtheorie II
D-‐‑ITET, Semester 4

Notes 0: Introduction
John Lygeros
Automatic Control Laboratory, ETH Zürich

www.control.ethz.ch
Where, when & what?
•  Lectures
–  Thursdays, 8:00-‐‑10:00, ETF E1 (and today)
•  Examples classes:
–  Mondays, 13:00-‐‑15:00, ETF C1 and ETF E1
•  Assessment
–  WriLen examination
–  Optional mid-‐‑terms: April 4 and May 9
–  Mid term grade 15%+15%, only together, only positive
–  Usual exemptions (military, illness, with certificate) apply
–  Possibly unconventional format
0.2
Where, when & what?
•  Exercises
–  Examples papers, ~ 4 exercises on the topic of the week
–  Discussed in examples classes
–  In addition, exercises in lecture notes
–  Neither part of class credit
–  Integral part of the learning experience nonetheless
–  Example paper exercises in style of final exam questions
–  Please try to do them and discuss with instructor and
assistants if you have questions
–  Please aLend examples classes
–  Feel free to submit your solutions for grading
0.3
Reading material
•  Lecture notes
–  Slides handout, available on class webpage & Moodle
–  Blackboard notes
•  Recommended book
–  K.J. Åström and R.M. Murray: “Feedback Systems: An Introduction for
Scientists and Engineers”, Princeton U.P., 2008
–  hLp://www.cds.caltech.edu/~murray/amwiki/index.php/Main_Page
•  Other excellent books
–  G.F. Franklin, J.D. Powell, and A. Emami-‐‑Naeini, “Feedback control of
dynamical systems”, Prentice-‐‑Hall, 2006 (also used in Regesysteme I/II)
–  J. Hespanha, “Linear Systems Theory”, Princeton U.P., 2009
–  T. Kailath, “Linear systems”, Prentice-‐‑Hall, 1980
–  E.A. Lee and P. Varaiya, “Structure and interpretation of signals and
systems”, Addison-‐‑Wesley, 2002
0.4
The flipped classroom concept
•  ETH TORQUE pilot course in 2014
–  Tiny, Open-‐‑with-‐‑Restrictions courses focused on QUality and
Effectiveness
–  “Flipped classroom” concept
–  Use of web and mobile technology before, during, and after lecture
•  Available sources of online content, different purposes

–  ETH learning management tool (Moodle)
•  Our weekly off-‐‑line preparation tool for the class
–  ETH mobile application (EduApp)
•  Real time Q&A in the classroom
–  Experimental adaptive learning platform (Albie)
•  Exam preparation and interactive learning (trust Albie)
–  Class webpage
•  Repository with links to all of the above
0.5
Moodle: Learning management
•  Official website for the Signals and Systems II
–  hLps://moodle-‐‑app2.let.ethz.ch
•  Log in using your ETH account and register for the Signals
and Systems II
•  What you will find:
–  Short video tutorials on course material
–  Quizzes designed to test your understanding of course material
–  Exercises of examples papers
–  Forum to interact and ask questions about the course material
•  How it will be used:
–  Videos and quizzes will be assigned before the lectures
–  The lecture will build on top of these assignments by adding more in
depth material in a (hopefully) flipped classroom atmosphere
0.6
EduApp: Interactive lectures
•  EduApp can be found at
–  hLp://www.eduapp.ethz.ch
•  Install the app on your iPhone or Android mobile phone
•  Log in using your ETH account – you should automatically
see the SSII course if you are registered.
–  An interactive platform that can be used during the lecture
–  Questions will be posed during some lectures and example sessions
and students will be asked to contribute answers
–  Back channel available where students can ask questions
anonymously
0.7
Albie (Optional, self paced study)
•  The experimental platform Albie can be found at
–  hLp://www.albie.co (Yes, that is .co NOT .com)
•  Register using an ETH Zurich email address (must end in
ethz.ch). After logging in for the first time, go to search and
join the Signals and Systems course
–  An experimental adaptive learning platform
–  Optional, not used in assignments during the semester
–  Personalized, “non-‐‑linear” content sequence
–  Last year many students used during their exam preparation
–  Search for content or “trust Albie” to tell you what to look at next
–  More: Learning statistics and comments aLached to content
0.8
It’s all for a good cause!
•  Please try to make the most of it
–  Watch the videos, do the quizzes, come prepared
–  Actively participate in the class, work on exercises,
answer questions
–  ALend the examples classes where exam style questions
will be answered
–  Provide feedback: What works, what does not
•  If it all gets too much, play the SygSys game!

–  hLp://www.sigsystext.com/
0.9
Class content: Dynamical systems
•  Describe evolution of variables over time
–  Input variables
SS1
–  Output variables
–  State variables SS2
•  Control:
–  Steer systems using inputs RS1
–  Feedback
0.10
From signals to systems
SS1: System maps input
Input System Output
signals to output
signals
D
SS2: Where does
+ x(t) +
Input
u(t)
B
+
C
+ y(t) Output input-output map
A come from?
System 1 RS1: What happens when

we connect system
System 2 inputs and outputs?
0.11
Dynamical systems
•  Describe evolution of variables over time
–  Input variables
–  Output variables
–  State variables
•  What is a “state”?
•  What values can it take?
•  What is “time”?
•  What values can it take?
•  What is “evolution”?
•  How can evolution be described?
0.12
Discrete vs continuous
•  Discrete à Finite (or countable) values
–  {0, 1, 2, 3, …}
–  {a, b, c, d}
–  {ON, OFF}, {hot, warm, cool, cold}, …
•  Continuous à Real values
x ∈R, x ∈R n
– 
x ∈[−1,1] ⇒ x ∈R,−1 ≤ x ≤ 1
– 
1 , x2 ) ∈R 2 | x12 + x22 ≤ 1}
–  {(x
•  Hybrid à Part discrete and part continuous
–  Airplane + flight management system
–  Thermostat + room temperature
0.13
System classification (examples)
Time
Discrete Continuous Hybrid
State
Finite state
Queuing
Discrete machines,
Turing machines systems
z-‐‑transform Laplace Impulse

transform
Continuous xk +1 = Axk + Buk  = Ax(t) + Bu(t)
x(t) differential
yk = Cxk + Duk y(t) = Cx(t) + Du(t) inclusions
Mixed Logic-‐‑
Switching Hybrid
Hybrid Dynamical
systems diffusions automata
0.14
In this course
•  We will concentrate mostly on
–  Continuous state
–  Continuous time
–  Linear systems
•  We will also establish a connection to
–  Discrete time
–  Linear systems
and to
–  Continuous time
–  Nonlinear systems
•  Start with examples from many classes of systems
0.15
Course outline: Introductory material
1.  Modeling
–  Mechanical and electrical systems
–  Discrete and continuous time systems
–  Discrete and continuous state systems
–  Linear and nonlinear (continuous state) systems
2.  Revision: ODE and linear algebra
–  ODE = Ordinary Differential equations
–  Existence and uniqueness of solutions
–  Range and null spaces of matrices
–  Eigenvalues, eigenvectors, …
0.16
Course outline: Continuous time LTI
3.  Time domain
–  LTI = Linear Time Invariant
–  State space equations
–  Time domain solution of state space equations
4.  Controllability, observability, energy
5.  “Frequency domain”
–  Revision of Laplace transforms
–  Laplace solution of state space equations
–  Stability
–  Bode and Nyquist plots
0.17
Course outline: Discrete time LTI and
advanced topics
6.  Discrete time LTI systems
–  Sampled data systems
–  Linear difference equations
–  Controllability and observability
–  z-‐‑transform
–  Simulation, Euler method and its stability
7.  Nonlinear systems
–  Differences from linear systems
–  Multiple equilibria, limit cycles, chaos
–  Linearization
–  Stability
–  Examples
0.18
Notation
•  denotes the integers. This is a discrete set
Z
Z = {,−2,−1,0,1,2,}
•  denotes the natural numbers
N N = {0,1,2,}
•  denotes the complex numbers
C
s = s1 + js2 ∈C | s |= s12 + s22 Im[ s ]

s2 s
−1 s2
Im[s] = s2 ∠s = tan |s|
s1
Re[ s] = s1
s =| s | e j∠s ∠s
s1 Re[ s ]
Belongs to e = cos(θ ) + j sin(θ )
jθ
0.19
Notation
• 
R n denotes Euclidean space of dimension n. It is a
finite dimensional vector space (sometimes called
linear space). Special cases:
x ∈R
–  n=1, real line, (drop the superscript)
–  n=2, real plane,
⎡ x ⎤
x = (x1 , x2 ) = ⎢ 1 ⎥ ∈R 2
⎢ x2 ⎥ ⎡
⎣ ⎦ x1 ⎤
⎢ ⎥
•  General n, write x as ⎢ x2 ⎥
ordered list of x = (x1 , x2 ,, xn ) = ⎢ ⎥ ∈R n
⎢  ⎥
numbers, or vector
⎢ xn ⎥
⎣ ⎦
0.20
Notation
• 
R n×m matrices with n rows and m columns, whose
elements are real
⎡ a11 a12  a1m ⎤
⎢ ⎥
⎢ a21 a22  a2m ⎥
A=⎢ = ⎡ a ⎤
⎥ ⎣ ij ⎦ n×m ∈R n×m
⎢     ⎥
⎢ an1 an2  anm ⎥
⎣ ⎦
•  Also a vector space, can define “length”, …
R n = R n×1 ,R = R1×1
•  Special cases
•  Assume familiar with basic matrix operations
(addition, multiplication, eigenvalues)
0.21
x2
Notation 1
•  Definition of sets {x ∈R 2 | x12 + x22 ≤ 1} -1 1 x1

•  Special case: Intervals for a,b ∈R,a < b -1
[a,b] = {x ∈R | a ≤ x ≤ b} (a,b) = {x ∈R | a < x < b}

[a,b) = {x ∈R | a ≤ x < b} (a,b] = {x ∈R | a < x ≤ b}
(a,∞) = {x ∈R | a < x} (−∞,b] = {x ∈R | x ≤ b}
R + = [0,∞)
∀
•  means “for all”
∃
•  means “there exists”
{
Exercise: What do the sets x ∈R 2 x1 = 0 or x2 = 0 , }
{ } {
x ∈R 2 x1 ≥ x2 and y ∈R ∃x ∈R, y=x 2 } look like?
0.22
Notation
•  Continuous time à t ∈R +
•  Discrete time à k ∈N
•  Continuous state à x ∈R n
•  Continuous input à u ∈R m
•  Continuous output à y ∈R p
•  Discrete state à q ∈Q
e.g. thermostat à q ∈Q = {ON ,OFF}
•  Lower case leLers: Vectors/numbers x, u, t, k

•  Upper case leLers: Matrices, A, B, C, …
0.23
Notation
•  function returning for an
f (i) : X → Y x ∈X f (x) ∈Y
x  f (x)
•  Example: Discrete time input signal
u(i) : N → R m k  u(k) = uk
Discrete Input at Shorthand

time time k notation
•  Example: Continuous time state signal
x(i) : R + → R n t  x(t)
Continuous State at
time time t
0.24
Linear functions: Euclidean space
•  Special case: Linear function f (i) : R n → R m
x1 , x2 ∈R n , a1 ,a2 ∈R
•  For any
f (a1 x1 + a2 x2 ) = a1 f (x1 ) + a2 f (x2 )

A ∈R m×n ,
•  Multiplication by a matrix f (x) = Ax
f (a1 x1 + a2 x2 ) = A(a1 x1 + a2 x2 ) = a1 Ax1 + a2 Ax2 = a1 f (x1 ) + a2 f (x2 )
•  All linear functions on finite dimensional vector
spaces can be wriLen in this way
Exercise: Show that if f (i) : R n → R m , g(i) : R m → R p are
linear functions, then their composition g( f (•)) : R n → R p
is also linear. If f and g are defined in terms of matrices
A ∈R m×n , B ∈R p×m what does this composition correspond to?
0.25
Linear functions: Function spaces
•  Linear functions defined more generally for
vector (linear) spaces
•  For example, for u1 (i),u2 (i) : R → R, a1 ,a2 ∈R
define by
(a1u1 + a2u2 )(i) : R → R

(a1u1 + a2u2 )(t) = a1u1 (t) + a2u2 (t) ∀t ∈R

•  Likewise, for U1 (i),U 2 (i) : C → C, a1 ,a2 ∈C
define by
(a1U1 + a2U 2 )(i) : C → C
(a U + a U )(s) = a U (s) + a U (s) ∀s ∈C
1 1 2 2 1 1 2 2

0.26
Laplace transform and convolution
•  Given u(i) : R → R
•  Laplace transform U (i) : C → C
∞
∫
− st
U (s) = u(t)e dt
−∞
•  Convolution of u with fixed function

h(i) : R → R
∞
(u ∗ h)(i) : R → R (u * h)(t) = ∫ u(τ )h(t − τ ) d τ
−∞
Exercise: Show that the Laplace transform and

the convolution are linear functions of u(.)
0.27
Subtle points
•  In SSII interested in system response for
positive times t ∈R +
•  Implicitly assume all signals = 0 for t < 0
•  Hence Laplace transform simplifies to
∞ ∞
∫ ∫
− st − st
U (s) = u(t)e dt = u(t)e dt
−∞ 0
t<0
(since u(t)=0 for )
•  And convolution simplifies to
∞ t

(u * h)(t) =
−∞
∫ u(τ )h(t − τ ) d τ = ∫ u(τ )h(t − τ ) d τ 0
u(τ ) = 0 for τ < 0 and h(t − τ ) = 0 for τ > t
(since )
0.28

Notes 1: Modeling
John Lygeros

www.control.ethz.ch
Series of examples

1.  Pendulum: Continuous time, continuous state,
nonlinear autonomous system
2.  RLC circuit: Continuous time, continuous state

linear system with inputs
3.  Amplifier circuit: Continuous time, continuous state
linear system with inputs and outputs
4.  Population dynamics: Discrete time, continuous

state nonlinear system
5.  Manufacturing machine: Discrete time, discrete
state system
6.  Thermostat: Continuous time, hybrid state system
1.2
Example 1: Pendulum
•  A continuous time, continuous
state, autonomous,
nonlinear system
•  Mass m hanging from
weightless string of length l θ
l
θ
•  String makes angle with
downward vertical
•  Friction with dissipation m
constant d mg
•  Determine how the pendulum
is going to move
•  i.e. assuming we know where the pendulum is at
θ0
“time” t=0 (θ0) and how fast it is moving ( )
determine where it will be at time t (θ(t))
1.3
Pendulum: Equations of motion
•  Evolution of q governed by Newton’s law
mlθ(t) = −dlθ(t) − mg sin θ (t) Exercise: Derive the
differential equation from
Angular Friction Gravity Newton’s laws of motion
acceleration force force
•  Need to solve Newton’s differential equation

•  i.e. find a function
θ (•) : R + → R
Time Angle
such that
θ (0) = θ 0 θ(0) = θ0
∀t ∈R + , mlθ(t) = −dlθ(t) − mg sin[θ (t)]
1.4
Pendulum: Existence and uniqueness
•  Such a function is known as a “solution” or a
“trajectory” of the system
θ 0 , θ0
1. Does a trajectory exist for all ?
θ 0 , θ0
2. Is there a unique trajectory for each ?
3. Can we find this trajectory?
•  Clearly important questions for differential
equations used to model physical systems
•  In general answer to questions may be “no”
•  In fact, answer to question 3 usually is “no”!
•  However, we can usually approximate the
trajectory by computer simulation
1.5
Pendulum: MATLAB simulation
l = 1, m = 1, d = 1, g = 9.8, θ 0 = 0.75, θ0 = 0
function [xprime] = pendulum(t,x) θ(t) θ (t)

xprime=[0; 0];
l = 1;
m=1;
d=1;
g=9.8;
xprime(1) = x(2);
xprime(2) = -sin(x(1))*g/l-x(2)*d/m;
>> x=[0.75 0];

>> [T,X]=ode45(’pendulum’, [0 10], x’);
>> plot(T,X);
>> grid;
1.6
Pendulum: State space description
•  Convenient to write ODE more compactly
 = f (x(t)), x(t) ∈R n
x(t)
•  For the pendulum, let Exercise: A different f(x(t))

⎡ x (t) ⎤ would be obtained if x1(t) and
x(t) = ⎢ 1 ⎥ ∈R 2 with x2(t) are selected differently.
⎢ x2 (t) ⎥
⎣ ⎦ Derive f(x(t)) for

x1 (t) = θ 3 (t) + θ(t), x2 (t) = θ(t)

x1 (t) = θ (t), x2 (t) = θ(t)
•  Then ⎡ ⎤
x2 (t)
⎢ ⎥
 =⎢ d
x(t) g ⎥ = f (x(t))
⎢ − m x2 (t) − l sin x1 (t) ⎥
⎣ ⎦
1.7
Pendulum: State space description
2
x(t) ∈R
•  This first order ODE for describes exactly
the same “dynamics” as second order ODE for θ (t) ∈R
x(t) ∈R 2
•  Vector called the state of the system
•  Function called the vector field
f (•) : R 2 → R 2
•  For the pendulum f is a nonlinear function of x
•  Solving Newton’s equation is equivalent to finding a
function x(•) : R + → R 2 Angle & angular
Time velocity
such that
⎡ θ ⎤
x(0) = ⎢ 0 ⎥
⎢ θ0 ⎥
⎣ ⎦
∀t ∈R + , x(t)
 = f (x(t))
1.8
Pendulum: Vector field & phase plane
Vector field f(x) Trajectory x2(t) vs. x1(t)
x2 x2 (t)
t =0
x1 x1 (t)
1.9
Example 2: RLC circuit
•  Continuous time, continuous state, linear system
•  Input voltage v1(t) (not autonomous)
•  Determine evolution of voltages and currents
vR (t) v L (t)
+ - + - iL (t)
+ R L
+
v1 (t) C vC (t)
-
-
1.10
RLC circuit: Equations of “motion”
•  From Kirchoff’s laws + element equations
•  E.g.
dvC (t)
C = iL (t)
dt
diL (t) d 2 vc (t) R dvc (t) 1 1
L = v L (t) + + vc (t) = v1 (t)
dt dt 2 L dt LC LC
vR (t) = RiL (t)
v L (t) = v1 (t) − vR (t) − vC (t)
•  Solution to ODE gives vC(t)
•  All other voltages and currents can be
computed from vC(t)
1.11
RLC circuit: MATLAB simulation
R = 10 L =1
C = 0.01 x0 = 0
Low pass filter
Exercise: Modify the

MATLAB code for the
pendulum to simulate
the RLC circuit and
generate such plots.
1.12
RLC circuit: State space description
•  Try to write first order vector ODE x(t)  = f (x(t)), x(t) ∈R n
•  Based on our experience with the pendulum

–  Second order ODE for vC(t) suggests x(t) ∈R 2
–  x(t) has something to do with energy
(θ ) (θ )
•  Potential and kinetic in the pendulum
•  Stored in capacitor (vC) and inductor (iL) in circuit
⎡ x (t) ⎤
x(t) = ⎢ 1
•  Try ⎥ ∈R 2 , x1 (t) = vC (t), x2 (t) = iL (t)
⎢ x2 (t) ⎥
⎣ ⎦
(in circuits this usually works: Voltages across capacitors and
currents through inductors can be selected as the states)
•  Input voltage: External source of energy
u(t) = v1 (t)
1.13
•  Relate state (x(t)) and input (u(t))
dvC (t) 1
C = iL (t) ⇒ x1 (t) = x2 (t)

dt C
diL (t) 1 R 1
L = v1 (t) − vR (t) − vC (t) ⇒ x2 (t) = u(t) − x2 (t) − x1 (t)

dt L L L
•  In matrix form
⎡ 1 ⎤
⎢ 0 ⎥ ⎡ 0 ⎤

x(t)= ⎢ C ⎥ x(t) + ⎢ 1 ⎥ u(t)
⎢ −1 −R ⎥ ⎢ ⎥
⎢ ⎥ ⎢⎣ L ⎥⎦
⎣ L L ⎦
1.14
•  Have wriben ODE of the form
Exercise: What

x(t)=Ax(t) + Bu(t) = f (x(t),u(t)) are the matrices
A and B?
•  Similarities to pendulum
–  2nd order ODE à two states
–  States related to energy stored in system
•  Differences from pendulum
–  External source of energy à input u(t)
à system no longer “autonomous”
–  Function f(x,u) linear in x and u
à dynamics described by linear ODE
1.15
Example 3: Amplifier circuit
•  Continuous time, continuous state linear system
•  Input voltage v1(t) vC (t)
•  Output voltage v0(t) iC0 (t) + -
0
C0
iR (t)
0
vC (t) R0
i1 R1
+
1
- iin
-
+ +
C1 vin
-
+
iout +
v1 (t)
v0 (t)
-
-
1.16
Reminder: Operational amplifier (OpAmp)
Input Input
current Resistance Output
iin (large) resistance
à- (small)
Input + Rout
voltage Rin Output
- iout + current
vin +
µ vin Output
+ vout voltage
- -
Gain
(large)
External voltage source (not shown) provides
energy for gain
1.17
Reminder: Ideal OpAmp
•  Assume
Rin ≈ ∞ iin ≈ 0
Rout ≈ 0 iout independent of vout
µ≈∞ vin ≈ 0 if vout finite
•  “Virtual earth assumption”
•  Makes circuit analysis much easier
•  Note that
–  Input power iinvin=0
–  Output power ioutvout is arbitrary
•  Necessary energy comes from external voltage source
(not shown!)
1.18
Amplifier circuit: Equations of motion
•  Assuming OpAmp is ideal
dvC (t)
C1 1
= i1 (t) dvC (t) vC (t)
v1 (t)
dt 1
=− 1
+
v1 (t) − vC (t) dt R1C1 R1C1
vin ≈ 0 ⇒ i1 (t) = 1
R1
dvc (t)
C0 0
= ic (t) dvC (t) vC (t) vC (t)
v1 (t)
dt 0 0
=− −0
+ 1
dt R0C0 R1C0 R1C0

iin ≈ 0 ⇒ i1 (t) = iC (t) + iR (t)
0 0
1 vin ≈ 0 ⇒ v0 (t) = −vC (t)

iR (t) = vC (t)
0
R0 0 0
1.19
Amplifier circuit: State space description
•  First order ODE in vector variables
•  From our experience so far we would expect
–  Two state variables
–  Voltages of capacitors, x1(t)=vC1(t), x2(t)=vC0(t)
–  One input variable, u(t)=v1(t)
–  One output variable, y(t)=v0(t)
•  Write equations that relate input, states and output
⎡ 1 ⎤ ⎡ 1 ⎤
⎢ − 0 ⎥ ⎢ ⎥
dx(t) ⎢ R1C1 ⎥ ⎢ R1C1 ⎥
=⎢ ⎥ x(t) + ⎢ 1 ⎥ u(t)
dt
⎢ − 1 −
1 ⎥ ⎢ ⎥
⎢ R1C0 R0C0 ⎥ ⎢ R1C0 ⎥
⎣ ⎦ ⎣ ⎦
y(t) = ⎡ 0 −1 ⎤ x(t)
⎣ ⎦
1.20
Amplifier circuit: State space description
•  Have wriben in the form

x(t)=Ax(t) + Bu(t) = f (x(t),u(t))
y(t) = Cx(t) + Du(t) = h(x(t),u(t))
•  f and h are linear functions of the state and inputs
Exercise: Modify the matlab

Exercise: What are the
code given for the pendulum
matrices A, B, C and D?
to simulate the amplifier
What are their dimensions?
circuit
1.21
Amplifier circuit: Simulation
Exercise: Why does

the output settle to
zero even though
input is non-zero?
1.22
Amplifier circuit: Energy
•  Energy stored in the system
1 1 1 ⎡ C 0 ⎤
E(t) = C1vC2 (t) + C0 vC2 (t) = x(t)T ⎢ 1 ⎥ x(t)
2 1
2 0
2 ⎢ 0 C0 ⎥
⎣ ⎦
•  Quadratic function of the state
1
E(t) = x(t)T Qx(t)
2
Exercise: Derive the energy

Exercise: What is the equations for the pendulum
matrix Q in this case? and the RLC circuit. Can you
find a matrix Q in both cases?
1.23
Amplifier circuit: Power
•  Power: Instantaneous energy change
d 1 1
P(t) = E(t) = x(t)
 T
Qx(t) + x(t)T Qx(t)

dt 2 2
1
( ) 1
(
= x(t) A + u(t) B Qx(t) + x(t)T Q Ax(t) + Bu(t)
2
T T T T
2
)
1
2
(
T
) 1
(
= x(t) A Q + QA x(t) + u(t)T BT Qx(t) + x(t)T QBu(t)
T
2
)
•  Quadratic in state and input
•  If there is no input (u(t)=0)
1
( )
P(t) = x(t)T AT Q + QA x(t)
2
1.24
Amplifier circuit: Power (u(t)=0)
⎛⎡ 1 1 ⎤ ⎡ 1 ⎤⎞
⎜⎢ − − ⎥⎡ ⎤ ⎡ ⎤ ⎢ − 0 ⎥⎟
1 T ⎜⎢
R1C1 R1C0 ⎥ C1 0 C1 0 ⎢ R1C1 ⎥⎟
P(t) = x(t) ⎜ ⎢ ⎢ ⎥ + ⎢ ⎥ x(t)
2 ⎥
1 ⎥ ⎢ 0 C0 ⎥ ⎢ 0 C0 ⎥ ⎢ ⎢ 1 1 ⎥ ⎥ ⎟
⎜⎢ 0 − ⎣ ⎦ ⎣ ⎦ − − ⎟
⎜⎝ ⎢ R0C0 ⎥ ⎢ R1C0 R0C0 ⎥⎟⎠
⎣ ⎦ ⎣ ⎦
⎡ 2 1 ⎤
⎢ − − ⎥ Exercise: Derive this
1 T ⎢
R1 R1 ⎥
= x(t) ⎢ ⎥ x(t) equation directly by
2
⎢ −1 − 2 ⎥ differentiating the energy
⎢ R1 R0 ⎥
⎣ ⎦ of the circuit
x1 (t) 2 x1 (t)x2 (t) x2 (t) 2 1 1
⇒ P(t) = − − − E(t) = C1vC (t) + C0 vC2 (t)
2
R1 R1 R0 2 1
2 0
Exercise: Repeat for the RLC circuit and pendulum
1.25
Population dynamics
•  A discrete time, continuous state system
•  Experiment:
–  Closed jar containing a number (N) of fruit flies
–  Constant food supply
•  Question: How does fly population evolve?
•  Number of flies limited by available food, epidemics
–  Few flies à abundance of space/food à more flies
–  Many flies à competition for space/food à fewer flies
•  Maximum number “ecosystem” can support NMAX
•  State: Normalized population
N
x= ∈ [0,1]
N MAX
1.26
Population dynamics: State space model
•  Track x from generation to generation: xk population at
generation k
•  How does population at generation k+1 depend on xk?
•  Classic model: Logistic map
xk +1 = rxk (1− xk ) = f (xk ) Exercise: Is the function

f(x) linear or non-linear?
Exercise: Show that if r ∈[0,4]

and x0 ∈[0,1] then xk ∈[0,1]
for all k=0, 1, 2, …
1.27
Population dynamics: Solution
•  r represents the “food” supply
–  Large r means a lot of food is provided
–  Small r means lible food is provided
•  Shape of f(x) reflects population trends
–  Small population now à small population next
generation (not enough individuals to breed)
–  Large population now à small population next
generation (food/living space shortage, epidemics, etc.)
•  How does the population change in time?
•  This depends a lot on r
xk
1.  If then decays to 0 (i.e. all flies die)
r ∈[0,1)
xk
2.  If then tends to a steady state value (i.e. the
r ∈[1,3)
fly population stabilizes)
3.  If then tends to a 2-‐‑
r ∈[3,1+ 6) xk periodic solution
(i.e. the population alternates between two values)
4.  Eventually chaotic behavior!
1.28
Population dynamics: Simulation
1.29
Manufacturing system
•  A discrete time, discrete state system
•  Model of a machine in a manufacturing shop
•  Machine can be in three states
–  Idle (I)
–  Working (W)
–  Broken (D)
•  State changes when certain “events” happen
–  A part arrives and starts gebing processed (p)
–  The processing is completed and the part moves on to the
next machine (c)
–  The machine fails (f)
–  The machine is repaired (r)
•  Finite number of states and inputs:
–  Finite State machine or
–  Finite Automaton
1.30
Manufacturing system: State space model
•  Possible states of the machine
q ∈Q = {I,W , D}

•  Possible inputs (events)
σ ∈Σ = { p,c, f ,r}

•  Not all events are possible for all states, e.g.
–  A part cannot start gebing processed (σ=p) while the
machine is broken (q=D)
–  The machine can only be repaired (σ=r) when broken (q=D)
•  Transition function δ : Q × Σ → Q
Exercise: Is δ
•  Write as discrete time system linear or nonlinear?
qk +1 = δ (qk ,σ k ) Does the question
even make sense?
1.31
Manufacturing system: Automaton
δ (I, p) = W
Exercise: Q has n elements
δ (W ,c) = I and Σ has m elements, how
δ (W , f ) = D many lines are needed (at
most) to define δ?
δ (D,r) = I
•  All other combinations
Initial
not allowed I state
•  Assume we start at I
•  Easier to represent by a graph p r
Exercise: If graph has e c
arrows, how many lines W D
are needed to define δ? f
1.32
Manufacturing system: Solution
•  Assume initially q0=I. What are the sequences of
events the machine can experience?
•  Some sequences are possible while others are not
–  pcp → possible
–  ppc → impossible
•  The set of all acceptable sequences is called the
language of the automaton
•  The following are OK Arbitrary no. Nothing
–  Arbitrary number of pc of repetitions
denoted by (pc)*
–  Arbitrary number of pfr ( p ⋅ c + p ⋅ f ⋅ r)* ⋅ (1+ p + p ⋅ f )
denoted by (pfr)*
–  Possibly followed by
a p or pf OR Followed by
1.33
Thermostat
•  A continuous time, hybrid system
•  Thermostat is trying to keep the temperature of a
room at around 20 degrees
–  Turn heater on if temperature ≤ 19 degrees.
–  Turn heater off if temperature ≥ 21 degrees.
•  Due to uncertainty in the radiator dynamics, the
temperature may fall further, to 18 degrees, or rise
further, to 22 degrees
•  Both a continuous and a discrete state
–  Discrete state: Heater q(t) ∈Q = {ON ,OFF}
–  Continuous state: Room temperature x(t) ∈R
•  Evolution in continuous time
•  No external input (autonomous system)
1.34
Thermostat: State space model
•  Different differential equations
for x, depending on ON or OFF
–  Heater OFF: Temperature decreases
exponentially toward 0
 = −α x(t)
x(t) Exercise: Solve the
differential equations
–  Heater ON: Temperature increases
to verify exponential
exponentially towards 30
increase/decrease.
 = −α (x(t) − 30)
x(t)
•  Heater changes from ON to OFF
and back depending on x(t)
•  Natural to describe by mixture of differential equation
and graph notation
1.35
Thermostat: Hybrid automaton
Initial Can go ON
state provided that …
(OFF,20)
OFF x(t) ≤ 19 ON
x(0) = 20  = −ax(t)
x(t)  = −a(x(t) − 30)
x(t)
x(t) ≥ 18 x(t) ≤ 22
x(t) ≥ 21
While OFF x(t)

Can stay OFF changes
as long as … according to …
1.36
Thermostat: Solutions
q(t) x(t)
ON
OFF
1.37
Continuous modeling: Generic steps
1.  Identify input variables
–  Usually obvious
–  Quantities that come from the outside
–  Say m such input variables
–  u(t) ∈R m
Stack them in vector form, denote by
2.  Identify output variables
–  Usually obvious
–  Quantities that can be measured
–  Say p such quantities
–  y(t) ∈R p
Stack them in vector form, denote by
1.38
3.  Select state variables
–  Need to encapsulate the past
–  Need (together with inputs) to determine future
–  For physical systems often related to energy storage
–  For mechanical systems can usually select positions
(q(t)) and velocities (v(t))
–  For electrical circuits can usually select capacitor
voltages (vC(t))and inductor currents (iL(t))
–  Other choices possible, may lead to simpler models
–  Say n such variables
–  Stack them in vector form, denote by x(t) ∈R n
1.39
4.  Take derivatives of states
–  Try to obtain n equations with derivative of one
state on the left hand side and a function of the
states and inputs on the right hand side
–  For mechanical systems
•   = v(t)
q(t)
Position derivatives easy,
•  Velocity derivatives (=accelerations) from Newton law
–  For electrical circuits
dvC (t) diL (t)
•  Current/voltage relations C = iC (t), L = v L (t)
dt dt
•  Relate to each other by Kirchoff’s laws
–   = f (x(t),u(t))
Result: Vector differential equation
x(t)
1.40
5.  Write output variables as a function of state
and input variables
–  Usually easy
–  Result: Vector algebraic equation y(t) = h(x(t),u(t))
6.  Determine whether the system is linear, etc.
–  Are the functions f and h linear or not?

Disclaimer:
–  Generic steps seem easy, but require creativity!
–  Mathematical models never the same as reality
–  With any luck, close enough to be useful
1.41

Notes 2: Revision of ODE and
linear algebra
John Lygeros

www.control.ethz.ch
State space models
•  For the time being continuous time, continuous state
models
–  Nonlinear
–  Linear
•  State equations are ordinary differential equations
–  Reminder of some tools to deal with these
•  Continuous state models have extra structure
–  States, inputs, and outputs take values in vector spaces
•  To exploit structure need tools from linear algebra
•  Discrete time continuous state models very similar
–  State equations are difference equations, else the same
•  Discrete state and hybrid models somewhat different
2.2
Assumed to be known
•  Matrix product, compatible dimensions
–  Associative: (AB)C = A(BC)
–  Distributive with respect to addition: A(B + C) = AB + AC
–  Non-‐‑commutative: AB ≠ BA in general
•  Transpose of a matrix
– 
(AB)T = BT AT
•  For square matrices
–  Identity matrix AI = IA = A
–  In every dimension there exists a unique identity matrix
−1 −1
–  Inverse matrix A A = AA = I
–  May not always exist
–  When it does it is unique
–  Computation of the determinant and its basic properties
2.3
The 2-‐‑norm
Definition: The 2-norm is a Fact 2.1: For all x, y ∈R n
, a ∈R
function i : R n → R that to each
1.  x ≥ 0 and x = 0 if & only if x = 0
x ∈R n assigns a real number
n 2.  ax = a ⋅ x
x = ∑i
x
i=1
2
3.  x + y ≤ x + y
2 Exercise: Prove 1 and 2. Is the

Exercise: Show that x = x T
x
2-norm a linear function?
•  The 2-‐‑norm is a measure of “size” or “length”
x, y ∈R n x − y
•  Distance between is
•  The set of points that are closer than r>0 to
x ∈R n
{ y ∈R n x− y <r }
2.4
Inner product
Definition: The inner product is a Fact 2.2: For all x, y, z ∈R n , a,b ∈R
function i,i : R n × R n → R that
1.  x, y = y, x
takes two vectors x, y ∈R and
n
returns the real number 2. a x, y + b z, y = ax + bz, y

n 2
∑
x, y = x y = x T y 3.  x, x = x
i i
i=1
Exercise: Prove these. For fixed
Definition: Two vectors x, y ∈R n
y, is the function y,i linear?
are called orthogonal if x, y = 0.
•  Orthogonal: Meet at right angles
A set of vectors, x1 , x2 ,…, xm ∈R n
•  Orthonormal: Pairwise orthogonal
are called orthonormal if
and unit length
⎧⎪ 0 if i ≠ j
xi , x j =⎨ Exercise: Are the vectors ⎡ 0 ⎤,⎡ 1 ⎤
⎪⎩ 1 if i = j
⎢ ⎥ ⎢ ⎥
2 ⎦ ⎣ 0 ⎦
orthogonal? Orthonormal? ⎣
2.5
Linear independence
Definition: A set of vectors {x1 , x2 ,xm } ∈R n is called linearly
independent if for a1 ,a2 ,am ∈R
a1 x1 + a2 x2 + + am xm = 0 ⇔ a1 = a2 =  = am = 0
Otherwise they are called linearly dependent.
•  Linearly dependent if and only if at least one is a
linear combination of the rest. E.g. if
a1 ≠ 0
a2 am
a1 x1 + a2 x2 + + am xm = 0 ⇒ x1 = − x2 − − xm
a1 a1
Fact 2.3: There exists a set with n linearly Exercise: What is a set of
independent vectors in R n ,but any set with n linearly independent
more than n vectors is linearly dependent. vectors of R n ?
2.6
Subspaces
Definition: A set of vectors S ⊆ R n is called a subspace of R n
if for all x, y ∈S and a,b ∈R, we have that ax + by ∈S.
•  Note that the set S is generally an infinite set

•  Examples of subspaces of Rn
–  S = R n and S = {0}
{ x ∈R n x1 = 2x2
–  }
–  {
x ∈R }
x1 = 0 Exercise: Draw these sets
n
•  Not subspaces for n=2. Prove that they

{ x ∈R n x1 = 1
–  } are/are not subspaces.
–  {
x ∈R n
}
x1 = 0 or x2 = 0
2.7
Basis of a subspace

{
Definition: The span of x1 , x2 ,…, xm ⊂ R is
n
} Exercise: Show span
set of all linear combinations of these vectors is a subspace
{
•  In fact, span = smallest subspace containing x1 , x2 ,…, xm }
{ }
Definition: A set of vectors x1 , x2 ,…, xm ⊂ R is called a
n
basis for a subspace S ⊆ R n if

1. { x1 , x2 ,…, xm } are linearly independent
2. S = span { x1 , x2 ,…, xm }
In this case, m is called the dimension of S.
Rn
•  All subspaces of have bases. The number of vectors, m, in all
bases of a given subspace is the same. By Fact 2.3, n ≥ m
•  Basis of subspace is not unique
•  Different bases related through “change of coordinates”
2.8
Range space of a matrix
Definition: The range space of a matrix A ∈R n×m is the set
{
range(A) = y ∈R n | ∃ x ∈R m , y = Ax }
Fact 2.4: range(A) is a subspace of R n Exercise: Prove Fact 2.4
⎡ a ⎤
Definition: The rank of a ⎢ 1i ⎥
matrix A ∈R n×m is the A = ⎡⎣ a1 a2 am ⎤⎦ , where ai = ⎢  ⎥
⎢ a ⎥
dimension of range(A). ⎢⎣ ni ⎥⎦
Fact 2.5: range(A) = span {a1 ,a2 ,…,am }.

rank(A)=number of linearly independent Exercise: Prove Fact 2.5
columns, a1, …, am of A.
2.9
Null space of a matrix
Definition: The null space of a matrix A ∈R n×m is the set
{
null(A) = x ∈R m | Ax = 0 }
R
Fact 2.6: null(A) is a subspace of m
m
Exercise: Prove Fact 2.6
⎡ âT ⎤
⎢ 1 ⎥
A=⎢  ⎥ , where âiT = ⎡⎣ ai1 ai 2  aim ⎤⎦
⎢ T ⎥
⎢ ân ⎥
⎣ ⎦
Fact 2.7: null(A)=set of vectors

orthogonal to the rows of A
Fact 2.8: rank(A)=number of linearly

independent rows, â1 ,…, ân of A 2.10
Inverse of a square matrix
Definition: The inverse of a matrix A ∈R n×n is a matrix A−1 ∈R n×n
A−1 A = AA−1 = I
Fact 2.9: If an inverse of A exists

then it is unique.
Definition: A matrix is called

singular if it does not have an Fact 2.10: A is invertible if and
inverse. Otherwise it is called only if det(A) ≠ 0
non-singular or invertible.
2.11
Inverse of a square matrix
If A is invertible Exercise: Show that
−1 adj(A) Adjoint matrix= matrix ⎡ d −b ⎤
A = of subdeterminants −1 ⎢ ⎥
det(A) transposed
⎡ a b ⎤ ⎣ −c a ⎦
⎢ ⎥ =
⎣ c d ⎦ ad − bc
Fact 2.11: A is invertible if and only if the system of linear

equations Ax = y has a unique solution x ∈R for all y ∈R
n n
Fact 2.12: A is invertible if and Fact 2.13: A is invertible if and

only if null(A) = 0 {} only if range(A) = R
n
Exercise: Prove Facts 2.11-2.12

2.12
Systems of linear equations
Ax = y A ∈R , y ∈R given
n×m n
x ∈R unknown
m
•  m=n unique solutions if and only if A invertible (Fact 2.11)
•  If A singular system will have either no solutions, or infinite
number of solutions
•  n>m à equations > unknowns à generally no solution
( )
−1
Fact 2.14: If A has rank m then x = A A
T
AT y is the
unique minimizer of Ax − y
•  n<m à unknowns > equations à generally infinite solutions

Fact 2.15: If A has rank n then the system has infinitely many
( )
−1
solutions. The one with the minimum norm is x = A AA
T T
y
2.13
Orthogonal matrices
Fact 2.16: A is orthogonal if
and only if its columns are
Definition: A matrix is called ortho-normal. The product of
orthogonal if AAT = AT A = I orthogonal matrices is
orthogonal. If A is orthogonal
then Ax = x
2.14
Eigenvalues and eigenvectors
Definition: A (nonzero) vector w ∈C n is called an eigenvector of
a matrix A ∈R if there exists a number λ ∈C such that
n×n
Aw = λ w. The number λ is then called an eigenvalue of A
•  Eigenvalues and eigenvectors are in general complex even

if A is a real matrix
•  An nxn matrix has n eigenvalues (some may be repeated).
They are the solutions of the characteristic polynomial
det(λ I − A) = λ n + a1λ n−1 + a2λ n−2 + + an = 0
•  The n eigenvalues of A are Exercise: Show that if w is an
called the spectrum of A eigenvector then so is aw for
any a ∈C
2.15
Eigenvalues and eigenvectors
Theorem 2.1: (Cayley-Hamilton) Every matrix A is a solution of
its characteristic polynomial
An + a1 An−1 + a2 An−2 + + an I = 0
Exercise: Show that this implies that all

m
powers A for m=0, 1, … can be written
2 n−1
∈R
as linearxcombinations
n of I, A, A ,…, A
Fact 2.17: A is invertible if and

Exercise: Show Fact 2.17
only if all its eigenvalues are
using Fact 2.12
non-zero
2.16
Diagonalizable matrices
⎡ λ1 0 . . 0 ⎤
⎢ ⎥
⎢ 0 λ2 . . 0 ⎥
⎢ ⎥
Awi = λi wi ⇒ A[ w1 w2 ... wn ] = [ w1 w2 ... wn ] ⎢ . . . . . ⎥
⎢ . . . . . ⎥
W ∈C n×n ⎢ ⎥
W
⎢ 0 0 . . λn ⎥
⎣ ⎦
Λ ∈C n×n
Definition: A is called
diagonalizable if W is invertible ⇒ A = W ΛW −1
Fact 2.18: If the eigenvalues of A are

Exercise: Show that Fact 2.18
distinct (λi ≠ λ j if i ≠ j) then its
implies that W is invertible
e-vectors are linearly independent
2.17
Symmetric, positive definite and
positive semi-‐‑definite matrices
Definition: A matrix is called Definition: A symmetric matrix
symmetric if A = AT is called positive definite if
Fact 2.19: Symmetric matrices x T Ax > 0 for all x ≠ 0. It is called

have real eigenvalues and positive semi-definite if x T Ax ≥ 0.
orthogonal eigenvectors
Fact 2.20: A matrix is positive
Exercise: If A is symmetric then definite if and only if it has (real)
there exist U ∈R n×n orthogonal & positive e-values. It is positive
Λ ∈R n×n diagonal such that semi-definite if and only if it has
(real) non-negative e-values.
A = U ΛU T
A > 0 (resp. A ≥ 0)
We use as a
shorthand for A symmetric,
positive (semi-‐‑)definite
2.18
Singular value decomposition
Fact 2.21: For any A ∈R n×m
A = U ΣV T
where U ∈R n×n and V ∈R m×m are

orthogonal and Σ ∈R n×m “diagonal”
with non-negative elements
The elements of Σ are called

the singular values of A
2.19
State Space: Inputs, outputs and states
•  Mathematical model of physical system described by
u1 ,u2 ,....,um ∈R
–  Input variables (denoted by )
y1 , y2 ,...., y p ∈R
–  Output variables (denoted by )
x1 , x2 ,...., xn ∈R
–  State variables (denoted by )
•  All inputs states and outputs are real numbers
•  Usually write more compactly as vectors
⎡ u1 ⎤ ⎡ y1 ⎤ ⎡ x1 ⎤
⎢ ⎥ ⎢ ⎥ ⎢ ⎥ Exercise: Which of the
⎢ u2 ⎥ ⎢ y2 ⎥ ⎢ x2 ⎥ examples in Notes 1 can be
u=⎢ ⎥ ∈ m
y=⎢ ⎥ ∈
p
x=⎢ ⎥ ∈
n
 ⎥ ⎢  ⎥ ⎢  ⎥ described by real vectors?

⎢
⎢ um ⎥ ⎢ yp ⎥ ⎢ xn ⎥ What are these vectors?
⎣ ⎦ ⎣ ⎦ ⎣ ⎦
Input vector Output vector State vector
•  Number of states, n, is called dimension (or order) of the system
2.20
State space: Dynamics
•  Dynamics of process imply relations between variables
–  Differential equations giving evolution of states as a function of
the states, inputs and possibly time, i.e. we have functions
d
f i (i) : R × R × R + → R,
n m
xi (t) = f i (x(t),u(t),t), i = 1,,n
dt
–  Algebraic equations giving the outputs as a function of the
states, inputs and possibly time, i.e. we have functions
hi (i) : R n × R m × R + → R, yi (t) = hi (x(t),u(t),t), i = 1,, p
•  Equations usually come from “laws of nature”

–  Newton’s laws for mechanical systems
–  Electrical laws for circuits
–  Energy and mass balance for chemical reactions
2.21
In vector form
•  Usually write more compactly be defining
f (i) : R n × R m × R + → R n h(i) : R n × R m × R + → R p
⎡ f (x,u,t) ⎤ ⎡ h (x,u,t) ⎤
⎢ 1
⎥ ⎢ 1 ⎥
f (x,u,t) = ⎢  ⎥ h(x,u,t) = ⎢  ⎥
⎢ f (x,u,t) ⎥ ⎢ h (x,u,t) ⎥
⎢⎣ n ⎥⎦ ⎢⎣ p ⎥⎦
•  Then state, input and output vectors are linked by
d
x(t) = f (x(t),u(t),t) Exercise: What are the
dt functions f for the pendulum,
y(t) = h(x(t),u(t),t) RLC and opamp examples of
Notes 1? What are the
•  State space form dimensions of these systems?
•  f called the vector field
2.22
Linear and autonomous systems
Definition: A system in state space form Exercise: Which of the
is called time invariant if its dynamics do systems considered in
not depend explicitly on time Notes 1 are autonomous?
 = f (x(t),u(t)), y(t) = h(x(t),u(t))
x(t) Which are time invariant?
Definition: A system in state

Definition: A system in state
space form is called linear if the
space form is called autonomous
functions f and h are linear, i.e.
if it is time invariant and has no
input variables  = A(t)x(t) + B(t)u(t)
x(t)
 = f (x(t)),
x(t) y(t) = h(x(t)) y(t) = C(t)x(t) + D(t)u(t)
Exercise: What are the general
equations for a linear time Exercise: Which of the systems
invariant system? considered in Notes 1 are linear?
2.23
Higher order differential equations
•  Often “laws of nature” expressed in terms of higher
order differential equations
–  For example, Newton’s law à second order ODE
•  These can be converted to state space form by
defining lower order derivatives (all except the
highest) as states
Exercise: Convert the following differential equation of order r into

state space form
d r y(t) ⎛ dy(t) d r−1 y(t) ⎞
r
+ g ⎜ y(t), ,..., r−1 ⎟
=0
dt ⎝ dt dt ⎠
What is the dimension of the resulting system? Is it autonomous?
Under what conditions is it linear?
2.24
Time invariant systems
•  The explicit time dependence can be eliminated by
introducing time as an additional state with
t = 1
•  The result is a time invariant system of dimension n+1
Exercise: Convert the following time varying system
 = f (x(t),u(t),t), x ∈R n
x(t)

y(t) = h(x(t),u(t),t)
of dimension n into a time invariant system of dimension n+1.
Exercise: Repeat for the linear time varying system
 = A(t)x(t) + B(t)u(t), x ∈R n
x(t)

y(t) = C(t)x(t) + D(t)u(t)
Is the resulting time invariant system linear?
2.25
Coordinate transformation
•  What happens if we perform a change of coordinates for
the state vector?
•  Restrict abention to time invariant linear systems
 = Ax(t) + Bu(t)
x(t)
y(t) = Cx(t) + Du(t)
and linear changes of coordinates
x̂(t) = Tx(t), T ∈R n×n ,det(T ) ≠ 0
•  In the new coordinates we get another linear system
̂ = TAT −1 x̂(t) + TBu(t)
x(t)
y(t) = CT −1 x̂(t) + Du(t)
•  Could be useful, transformed system may be simpler
2.26
Solution of state space equations
•  Only autonomous systems for the time being
 = f (x(t)),
x(t) y(t) = h(x(t))
•  Non-‐‑autonomous systems essentially the same,
formal mathematics more complicated
•  What is the “solution” of the system?
x(t0 ) = x0 ∈R ,
–  Where do we start? Say
n
at time t0 ∈R
t1 ≥ t0
–  How long do we go? Say until some
•  Would like to find functions
x(i) : ⎡⎣t0 ,t1 ⎤⎦ → R n , y(i) : ⎡⎣t0 ,t1 ⎤⎦ → R p

“satisfying” system equations for given conditions
2.27
Solution of state space equations
Definition: A pair of functions x(i) : ⎡⎣t0 ,t1 ⎤⎦ → R n , y(i) : ⎡⎣t0 ,t1 ⎤⎦ → R p
is a solution of the state space system over the interval ⎡⎣t0 ,t1 ⎤⎦
starting at x0 ∈R n if
1.  x(t0 ) = x0  = f (x(t)), ∀t ∈ ⎡⎣t0 ,t1 ⎤⎦
2. x(t)
3. y(t) = h(x(t)), ∀t ∈ ⎡⎣t0 ,t1 ⎤⎦
•  Note that x(.) implicitly defines y(.)
•  Therefore the difficulty is finding the solution to the
differential equation
Exercise: Show that x(t) is a solution
•  Because the system is over the interval [0, T] if and only if
autonomous the starting x(t-‐‑t0) is a solution over the interval
[t0, t0+T] starting at the same initial
time is also unimportant state.
2.28
Existence and uniqueness of solutions

•  For autonomous systems the “only” thing we need to
do is, given find a function
f (i) : R n → R n , x0 ∈R n ,T ≥ 0,
x(i) : ⎡⎣0,T ⎤⎦ such that
→ Rn Exercise: Does the
function x(.) have
x(0) = x0 and x(t)  = f (x(t)), ∀t ∈ ⎡⎣0,T ⎤⎦ to be continuous?

Differentiable?
•  Does such a function exist for some T?
•  Is it unique, or can there be more than one?
•  Do such functions exist for all T?
•  Can we compute them even if they do?
•  Clearly all these are important for physical models
•  Unfortunately answer is sometimes “no”
2.29
Examples
•  Illustrate potential problems on 1 dimensional systems
•  No solutions: Consider the system
⎧⎪ −1 if x(t) ≥ 0 Exercise: Compute the

 = −sgn(x(t)) = ⎨
x(t) solutions for x0 = 1 and x0 = -‐‑1.
⎪⎩ 1 if x(t) < 0 Are they defined for all T?
starting at x0=0. The system has no solution for any T
•  Many solutions: Consider the system  = 3x(t) 2 3 , x0 = 0.
x(t)
For any a ≥ 0 the following is a solution for the system
⎧⎪ (t − a)3 if t ≥ a Exercise: Prove this is the
x(t) = ⎨ case.
⎪⎩ 0 if t < a
2.30
Examples
•  No solutions for T large: Consider the system
 = 1+ x(t) 2 , x0 = 0.
x(t)
•  The solution is x(t ) = tan(t ) Exercise: Prove this.

What happens at t=π /2?
•  So many things can go wrong!

•  Fortunately many important systems are “well-‐‑behaved”
Definition: A function f :  n →  n is called Lipschitz if

there exists λ > 0 such that for all x, x̂ ∈ n
f (x) − f ( x̂) ≤ λ x − x̂
2.31
LipschiQ functions
•  λ is called the Lipschih Exercise: Show that any
constant of f other λ’ ≥ λ is also a
•  Lipschih functions are Lipschih constant
continuous but not necessarily
differentiable Exercise: Show that
f(x)=|x| (x is a real number)
•  All differentiable functions is Lipschih. What is the
with bounded derivatives Lipschih constant? Is the
are Lipschih function differentiable?
•  Linear functions are Lipschih
Exercise: Show that f(x)=Ax
Exercise: Show that the f(x) is Lipschih. What is a
in the three pathological Lipschih constant? Is the
examples in p. 2.30-‐‑2.31 are function differentiable?
not Lipschih.
2.32
Existence and uniqueness
Theorem 2.2: If f is Lipschih then the differential equation

 = f (x(t)), with initial condition x0 ∈R n
x(t)
x(•) : [0,T ] →  n
has a unique solution for all T ≥ 0
and all 0
x ∈ n
.

•  So state space systems defined by Lipschih vector
fields are well behaved:
•  They have unique solutions
•  Over arbitrarily long horizons
•  Wherever they start
2.33
Continuity
•  Even if a unique solution exists, this does not mean
we can find it
•  Sometimes we can: See the pathological examples
above and linear systems (Notes 3)
•  Usually have to resort to simulation on computer
•  Construct approximate numerical solution
•  It helps if solutions that start close remain close
Theorem 2.3: If f is Lipschih then the solutions starting at
x0 , x̂0 ∈ n t≥0
are such that for all
x(t) − x̂(t) ≤ e λt x0 − x̂0
•  Continuous dependence on initial condition

2.34
Non-‐‑autonomous systems
•  Formally, we would expect that given
f (i) : R n × R m × R + → R n , x0 ∈R n ,t1 ≥ t0 ≥ 0,u(i) : ⎡⎣t0 ,t1 ⎤⎦ → R m
the solution would be a function x(i) : ⎡⎣t0 ,t1 ⎤⎦ → R
n

x(t0 ) = x0 and x(t)  = f (x(t),u(t),t), ∀t ∈ ⎡⎣t0 ,t1 ⎤⎦

•  This is OK if f is continuous in u Exercise: What goes wrong
and t and u(.) is continuous in t in the case of discontinuity?
•  Unfortunately discontinuous u(.) are quite common
•  Fortunately there is a fix, but the math is harder
•  Roughly speaking need
–  f(x,u,t) Lipschih in x, continuous in u and t
–  u(t) continuous for “almost all” t
2.35

Notes 3: Continuous LTI
systems in time domain
John Lygeros

www.control.ethz.ch
LTI systems in state space form State
space
•  General state space systems
⎡ u1 ⎤ ⎡ y1 ⎤ ⎡ x1 ⎤
d ⎢ ⎥ ⎢ ⎥ ⎢ ⎥
x(t) = f (x(t),u(t),t) ⎢ ⎢ y2 ⎥ ⎢ x2 ⎥
dt u2 ⎥
y=⎢ ⎥ ∈ x = ⎢ ⎥ ∈
n
u=⎢ ⎥ ∈
m p
y(t) = h(x(t),u(t),t) ⎢  ⎥ ⎢  ⎥ ⎢  ⎥
⎢ um ⎥ ⎢ yp ⎥ ⎢ xn ⎥
⎣ ⎦ ⎣ ⎦ ⎣ ⎦
Input vector Output vector State vector
•  LTI systems are linear and time invariant, i.e.
 = Ax(t) + Bu(t)
x(t) A ∈ n×n B ∈ n×m
C ∈ p×n D ∈ p×m
3.2
Block diagram representation
.x(t)
+ x(t) +
B +
+ C ++
u(t) y(t)
3.3
LTI systems in state space form
⎡ a11 a12 ... a1n ⎤
For LTI systems state space equations ⎢ ⎥
⎢ a21 a22 ... a2n ⎥
–  n coupled, first order, linear differential equations
A=⎢ ⎥
–  p linear algebraic equations ⎢     ⎥
⎢ an1 an2 ... ann ⎥
–  Time invariant coefficients ⎣ ⎦
x1 (t) = a11 x1 (t) + ... + a1n xn (t) + b11u1 (t) + ... + b1mum (t) ⎡ b ... b1m ⎤
⎢ 11
⎥
B=⎢    ⎥
x2 (t) = a21 x1 (t) + ... + a2n xn (t) + b21u1 (t) + ... + b2mum (t) ⎢ b ⎥
... b
⎢⎣ n1 nm ⎥
⎦

⎡ c ... c1n ⎤
xn (t) = an1 x1 (t) + ... + ann xn (t) + bn1u1 (t) + ... + bnmum (t) ⎢ 11
⎥
C=⎢    ⎥
y1 (t) = c11 x1 (t) + ... + c1n xn (t) + d11u1 (t) + ... + d1mum (t) ⎢ c ... c ⎥
⎢⎣ p1 pn ⎥
⎦
y2 (t) = c21 x1 (t) + ... + c2n xn (t) + d 21u1 (t) + ... + d 2mum (t) ⎡ d ... d1m ⎤
⎢ 11
⎥
 D=⎢    ⎥
⎢ d ... d pm ⎥
y p (t) = c p1 x1 (t) + ... + c pn xn (t) + d p1u1 (t) + ... + d pmum (t) ⎢⎣ p1 ⎥⎦
3.4
Examples
RLC Circuit Amplifier Circuit
dv (t) dvC (t) vC (t) v1 (t)
C C = iC (t) = iL (t)
1
=− 1
+
dt dt R1C1 R1C1
di (t) dvC (t) vC (t) vC (t) v1 (t)
L L = v L (t) = v1 (t) − vR (t) − vC (t) 0
=− 0
− 1
+
dt dt R0C0 R1C0 R1C0
⎡ 1 ⎤ ⎡
⎢ −
1
0
⎤
⎥
⎡ 1
⎢
⎤
⎥
⎢ 0 ⎥ ⎡ 0 ⎤ ⎢ R C ⎥ ⎢ R1C1 ⎥
 =⎢ +
1 1

x(t)= ⎢ C ⎥ x(t) + ⎢ ⎥
u(t)
x(t) ⎥ x(t) ⎢ 1 ⎥ u(t)
⎢ 1 ⎥ ⎢ − 1 −
1 ⎥ ⎢ ⎥
⎢ 1 R ⎥ ⎢ R1C0 R0C0 ⎥ ⎢ R1C0 ⎥
⎢ − − ⎥ ⎢⎣ L ⎥⎦ ⎣ ⎦ ⎣ ⎦
⎣ L L ⎦
y(t) = ⎡ 0 −1 ⎤ x(t)
⎣ ⎦
⎡ x2 (t) ⎤ nonlinear
⎢ ⎥
 =⎢ d
cf. pendulum x(t) g ⎥
⎢ − m x2 (t) − l sin x1 (t) ⎥
⎣ ⎦
3.5
System solution
•  Since system is time invariant, assume we are given
–  Initial condition x0 ∈R
n
–  The input values u(•) : [0,T ] → 

m
•  Compute the system solution x(•) : [0,T ] →  n
 = Ax(t) + Bu(t), ∀t ∈ ⎡⎣0,T ⎤⎦

x(0) = x0 and x(t)
•  If we can do this, then output y(•) : [0,T ] →  p
y(t) = Cx(t) + Du(t), ∀t ∈ ⎡⎣0,T ⎤⎦
•  For simplicity assume input continuous function of time
3.6
State solution
The system solution is
t
x(t) = Φ(t)x0 + ∫ Φ(t − τ )Bu(τ ) d τ
0
where 2 2 k k
A t A t
Φ(t) = e = I + At +
At
+ ... + + ... ∈R n×n
2! k!
State transition
matrix
and the integral is computed element by element
2 2
a t
e = 1+ at + + ... if a ∈
(cf. Taylor series expansion: )
at
2!
3.7
Output solution
Simply combine state solution
t
x(t) = Φ(t)x0 + ∫ Φ(t − τ )Bu(τ ) d τ
0
with output map

to obtain
t
y(t) = CΦ(t)x0 + ∫ CΦ(t − τ )Bu(τ ) d τ + Du(t)
0
3.8
Transition matrix properties
Fact 3.1: The state transition

matrix is such that Exercise: Prove properties 1,
2 and that (harder)
1. Φ(0) = I
Φ(t)Φ(−t) = Φ(−t)Φ(t) = I
d
2. Φ(t) = AΦ(t)
dt Exercise: By invoking the
existence discussion from
3. Φ(−t) = [Φ(t)]−1
Notes 2, show property 4
(harder).
4. Φ(t1 + t2 ) = Φ(t1 )Φ(t2 )
3.9
Proof of solution formula (sketch)
•  Clearly
0
x(0) = Φ(0)x0 + ∫ Φ(0 − τ )Bu(τ ) d τ = x0
0
•  To show that use the

 = Ax(t) + Bu(t)
x(t)
LeibniX formula for differentiating integrals
d g (t ) d
∫
dt f (t )
l(t,τ ) d τ = l(t, g(t)) g(t)
dt
d
− l(t, f (t)) f (t)
dt
g (t ) ∂
+∫ l(t,τ ) d τ
f (t ) ∂t
3.10
Example: RC circuit
+ _
•  Inputs: u(t) = vs (t) Voltage
•  States: x(t) = vC (t) R
Input + iC(t)
•  Initial condition: x0 = vC (0) +
- vC(t) _ C
•  State space equations vS (t)
1 1
 =−
x(t) x(t) + u(t)
RC RC Exercise: Derive the
•  Response to step with amplitude 1V state space equations.
What are the
−
t
⎛ −
t
⎞ “matrices” A and B?
x(t) = e RC
x0 + ⎜ 1− e RC ⎟
⎝ ⎠ Exercise: Derive the
step response
3.11
State solution structure
The solution consists of two parts:
t
x(t) = Φ(t)x0 + ∫ Φ(t − τ )Bu(τ ) d τ
0
Zero Zero
Total
transition
= Input + State
transition transition
u(t) = 0∀t ⇒ x(t) = ZIT Linear function of initial state
•  Linear function of input

x0 = 0 ⇒ x(t) = ZST
•  Convolution integral
3.12
Superposition principle
•  ZST linear in input trajectory
•  ZST under input u1 (⋅) : [0,t] →  m

t
x1 (t) = ∫ Φ(t − τ )Bu1 (τ ) d τ
0
•  ZST under input
u2 (⋅) : [0,t] →  m
t
x2 (t) = ∫ Φ(t − τ )Bu2 (τ ) d τ
0
•  ZST under input for
u(τ ) = a1u1 (τ ) + a2u2 (τ ) τ ∈[0,t]
t
a1 ,a2 ∈, x(t) = ∫ Φ(t − τ )Bu(τ ) d τ
0
t
= ∫ Φ(t − τ )B(a1u1 (τ ) + a2u2 (τ )) d τ
0
= a1 x1 (t) + a2 x2 (t)
3.13
Output solution structure
The solution consists of two parts:
t
y(t) = CΦ(t)x0 + C ∫ Φ(t − τ )Bu(τ ) d τ + Du(t)
0
Zero Zero
Total
Response
= Input + State
Response Response
u(t) = 0∀t ⇒ y(t) = ZIR Linear function of initial state
•  Linear function of input

x0 = 0 ⇒ y(t) = ZSR •  cf. linear system definition in SS1
•  Convolution integral
3.14
Zero input transition
•  If we know the state transition matrix we can (in
principle) compute all solutions of linear system
•  Given matrix A would like to compute
k k
A t
Φ(t) = e = I + At +… +
At
+…
k!
•  Many ways of doing this
–  Summing infinite series (in some rare cases!)
–  Using eigenvalues and eigenvectors (this set of notes)
–  Using the Laplace transform (later)
–  Numerically (later)
•  Using eigenvalues at least two methods
–  Using Cayley Hamilton Theorem (Theorem 2.1)
–  Using eigenvalue decomposition (used here)
3.15
E-‐‑values and E-‐‑vectors: Rough idea
Awi = λi wi
•  Recall that (p. 2.15)
•  ZIT
 = Ax(t) ⇒ x(t) = Φ(t)x(0)
x(t)
x(0) = wi  = Awi = λi wi
⇒ x(0)
•  i.e. if we start on e-‐‑vector we stay on e-‐‑vector
•  x(t)
increases/decreases depending on sign of λ
•  E.g. x2
w2 w1
x (0)
n = 2, λ1 < 0, λ2 > 0
x(0) x (0)
x1
3.16
Transition matrix computation
•  Change of coordinates using matrix of eigenvectors
•  Assume matrix diagonalizable (p.2.17)
AW = W Λ ⇒ A = W ΛW −1 Exercise: Prove
by induction that
Matrix of
•  Therefore (Fact 2.18) Ak = W Λ kW −1
e-vectors
Λt −1

Φ(t) = e = We W
At
Exercise: Prove this

where ⎡ λ1t
e ... 0 ⎤
⎢
Λt
⎥
e =⎢    ⎥
⎢ 0 ... e
λn t ⎥
⎢⎣ ⎥⎦
3.17
Example: RLC circuit
•  Recall that (p. 1.14)
d ⎡ vC (t) ⎤ ⎡ 0 1 C ⎤ ⎡ vC (t) ⎤ ⎡ 0 ⎤ v (t)

⎢ ⎥ = ⎢ ⎥ ⎢ ⎥ + 1L
dt ⎣ iL (t) ⎦ ⎣ −1 L − R L ⎦ ⎣ iL (t) ⎦ ⎢⎣ ⎥⎦ s

•  Set R=3, C=0.5, L=1 vR (t) vL (t)
+ - + - iL (t )
A=⎡ 0 2 ⎤
⎣ −1 −3 ⎦ +
R L
+
•  Eigenvalues: v1 (t) vC (t)
C
λ1 = −1, λ2 = −2 -
-
•  Eigenvectors:
w1 = ⎡ 2 ⎤ ,w2 = ⎡ 1 ⎤
⎣ −1 ⎦ ⎣ −1 ⎦
3.18
RLC circuit: Transition matrix
⎡ ⎤ ⎡ −t
⎤ ⎡ ⎤ Using Matlab:
Λt
e = We W
At −1
= 2 1 e 0 1 1
⎣ −1 −1 ⎦ ⎢⎣ 0 e −2t ⎥⎦ ⎣ −1 −2 ⎦
>> A=[0 2;-‐‑1 -‐‑3];
>> [W,L]=eig(A)

W e Λt W −1 W =

0.8944 -‐‑0.7071
-‐‑0.4472 0.7071
Φ(t) = 2e −t − e −2t 2e −t − 2e −2t ⎤

⎡ −t −2t −t −2t

⎢⎣ −e + e −e + 2e ⎥⎦ L =

-‐‑1 0
0 -‐‑2
3.19
RLC circuit: ZIT
x(0) = w1 ⇒ x(t) = Φ(t) ⎡ 2 ⎤ = e −t ⎡ 2 ⎤
⎣ −1 ⎦ ⎣ −1 ⎦
x(0) = w2 ⇒ x(t) = Φ(t) ⎡ 1 ⎤ = e −2t ⎡ 1 ⎤

⎣ −1 ⎦ ⎣ −1 ⎦
x(0) = a1w1 + a2 w2 ⇒ x(t) = Φ(t)(a1w1 + a2 w2 )
⇒ x(t) = a1e −t w1 + a2e −2t w2 ⎯t→∞
⎯⎯ →⎡ 0 ⎤
⎣0⎦
•  Because w1 and w2 linearly independent they form a
R2
basis for (p. 2.8)
•  Therefore all initial conditions can be wrioen as
x(0) = a1w1 + a2 w2
•  Therefore ZIT à 0 for all initial conditions

3.20
RLC circuit: Step input
ZST with u(t) = V , for t ≥ 0
t
x(t) = ∫ Φ(t − τ )Bu(τ ) d τ

0
t
= Φ(t) ∫ Φ(−τ )BV d τ

0
= ⎡ −2e −t
+ e −2t
+ 1 ⎤V ⎯t→∞
⎯⎯ →⎡ V ⎤
⎢⎣ e − e
−t −2t ⎥⎦ ⎣0⎦
3.21
Notes: Diagonalizable matrices
•  For diagonalizable matrices, state transition matrix linear
combination of terms of the form eλit
•  Generally λi = σ ± jω ∈C,σ ,ω ∈
•  So ZIT linear combination of terms of the form
if λi = 0 (σ = 0,ω = 0)
–  1
eσ t if λi = σ (σ ≠ 0,ω = 0)
– 
ω t)
–  sin( and cos(ω t) if λi = ± jω (σ = 0,ω ≠ 0)
σt σt
sin(ω t) and e cos(ω t) if λi = σ ± jω (σ ≠ 0,ω ≠ 0)
–  e
λi = σ ± jω
•  Part of ZIT corresponding to
σ = 0,ω = 0
–  Constant if
–  Converges to 0 if σ < 0
–  Periodic if σ = 0,ω ≠ 0
–  Goes to infinity if σ > 0
3.22
Typical ZIT for diagonalizable matrices
Im(λ)
Re(λ)
3.23
Stability: Zero input transition
•  Consider the system x(t)  = Ax(t) + Bu(t)
•  Let x(t) be its ZIT x(t) = Φ(t)x0 = e At x0
Definition: The system is called stable if for all ε > 0

there exists δ > 0 such that
if x0 ≤ δ then x(t) ≤ ε for all t ≥ 0.
Otherwise the system is called unstable.
•  i.e. if the state starts small it stays small (p. 2.4)
•  or you can keep the state as close as you want to
0 by starting close enough
3.24
Asymptotic stability
Definition: The system is called asymptotically stable
if it is stable and in addition
x(t) → 0 as t → ∞
•  i.e. not only do we stay close to 0 but also
converge to it
Exercise: Show that x(t) → 0
if and only if x(t) → 0
•  Note that
–  Definitions do not require diagonalizable matrices
–  In fact we, will see that they also work for
nonlinear systems (Notes 7)
3.25
Diagonalizable matrices
Theorem 3.1: System with diagonalizable A matrix is:
•  Stable if and only if Re[λi ] ≤ 0,∀i
•  Asymptotically stable if and only if Re[λi ] < 0 ∀i
•  Unstable if and only if ∃i : Re[ λi ] > 0
•  Proof: By inspection!

λi t
•  Transition matrix linear combination of e
–  Re[
for all initial conditions ZIT tends
λi ] < 0,∀i ⇒
to zero
–  ZIT remains bounded and for
Re[λi ] ≤ 0 ∀i ⇒
some initial conditions is periodic (or constant)
–  for some initial conditions ZIT
∃i : Re[λi ] > 0 ⇒
tends to infinity
3.26
Phase plane plots
•  For two state variables (n=2)
•  x2(t) vs x1(t) parameterized by t for different initial states
Trajectory plot Phase plane plot
x2(t)/x1(t) vs t x2(t) vs x1(t)
w1
Stable
node
w2
3.27
Phase plane plots
w1
Saddle
point
w2
w1
Unstable
node
w2
3.28
Phase plane plots
Stable
focus
Center
3.29
Phase plane plots
Unstable
focus
+
+ +
+
+
+
+ +
+ +
+
3.30
Non-‐‑diagonalizable matrices (examples)
Exercise: What are the
A1 = ⎡ 0 1 ⎤ ⇒ e 1 = ⎡ 1 t ⎤
At eigenvalues of A1 and A2?
⎣0 0⎦ ⎣0 1⎦ What are the eigenvectors?
What goes wrong with their
diagonalization?
A2 = ⎡ −1 1 ⎤ A2t
⇒e = ⎡ e −t
te −t
⎤
⎣ 0 −1 ⎦ ⎢⎣ 0 e −t ⎥⎦ Exercise: Prove the formulas
for the transition matrices
Exercise: Repeat the computations for the matrices

⎡ −1 1 0 ⎤ ⎡ −1 1 0 ⎤
A3 = ⎢ 0 −1 1 ⎥ , A4 = ⎢ 0 −1 0 ⎥
⎢⎣ 0 0 −1 ⎥⎦ ⎢⎣ 0 0 −1 ⎥⎦
3.31
Non-‐‑diagonalizable matrices (general)
•  Distinct e-‐‑values à matrix diagonalizable (Fact 2.18)
λ1 = λ2 = … = λr = σ ± jω
•  Assume some e-‐‑value repeated r times,
•  In general, ZIT linear combination of terms of the form
–  1,t,t
2 ,…,t r-1 if σ = 0,ω = 0
σt σt r-1 σ t
–  e ,te ,…,t e if σ ≠ 0,ω = 0
– 
sin( ω t),cos(ω t),t sin(ω t),…,t r−1
cos(ω t) if σ = 0,ω ≠ 0
–  e
σt
sin(ω t),eσ t cos(ω t),…,t r−1eσ t cos(ω t) if σ ≠ 0,ω ≠ 0
•  Can be shown using generalized eigenvectors and Jordan
canonical form
3.32
Non-‐‑diagonalizable matrices (general)

Note that:
•  If σ < 0,
– 
t k eσ t , t k eσ t cos ω t, t k eσ t sin ω t ⎯t→∞
⎯⎯ →0
–  Hence ZIT tends to zero (for some initial states)
•  If σ > 0,
– 
t k eσ t , t k eσ t cos ω t, t k eσ t sin ω t ⎯t→∞
⎯⎯ →∞
–  Hence ZIT tends to infinity (for some initial states)

•  If
σ = 0,
1,cos ω t, sin ω t
–  remain bounded
– 
t k , t k cos ω t, t k sin ω t ⎯t→∞ ⎯⎯ → ∞ for k ≥ 1
–  ZIT may remain bounded or tend to infinity
–  Cannot tell just by looking at e-‐‑values
3.33
Non-‐‑diagonalizable matrices: Stability
Theorem 3.2: The system is:
•  Asymptotically stable if and only if Re[λi ] < 0 ∀i
•  Unstable if ∃i : Re[ λi ] > 0
•  Subtle differences with diagonalizable case
–  Asymptotic stability condition the same
–  Instability condition sufficient but not necessary
•  Reason is that if then
∀i Re[λi ] ≤ 0 but ∃i Re[λi ] = 0
stability not determined by e-‐‑values alone.
–  ZIT may remain bounded for all initial conditions
–  ZIT may go to infinity for some initial conditions
–  If matrix non-‐‑diagonalizable, but no e-‐‑value with
is repeated then Theorem 3.1 still applies
Re[λi ] = 0
3.34
Zero state transition: Dirac function
•  Can be thought of as a function of time which is
–  Infinite at t=0
⎧⎪ ∞ if t = 0
–  Zero everywhere else δ (t) = ⎨
∞
⎪⎩ 0 if t ≠ 0
–  Satisfies ∫ −∞
δ (t) = 1
•  Can be thought of as the limit as ε à 0 of (among others)
⎧
⎪ 0 if t < 0
⎪
1ε ⎪ 1
δ ε (t) = ⎨ if 0 ≤ t < ε
⎪ ε
⎪
⎪ 0 if t ≥ ε
ε t
⎩
3.35
Impulse transition h(t) (n=m=1)
= m = 1 ⇒
•  n x(t) ∈R, u(t) ∈R
 = ax(t) + bu(t), a ∈R, b ∈R
x(t)
•  State impulse transition h(t) is ZST (x0 = 0) for u(t) = δ (t)
t
h(t) = ∫ Φ(t − τ )Bδ (τ )dτ Exercise: Show that
0
t
impulse transition also
=e ∫ e −aτ bδ (τ ) d τ = e at b ZIT for appropriate x0
at
0
•  General ZST convolution of impulse transition with input

t t
x(t) = ∫ Φ(t − τ )Bu(τ )dτ = ∫ e a(t−τ )bu(τ ) d τ
0 0
t
= ∫ h(t − τ )u(τ ) d τ = (h ∗ u)(t)
0
3.36
Example: RC circuit (p. 3.11)
1 1
•  For the RC circuit: A = − ∈, B = ∈
RC RC
t
−
Φ(t) = e RC
•  Impulse transition
t
1 −
h(t) = Φ(t)b = e RC
RC
•  Unit step response: ZST with
⎧⎪ 1 t ≥ 0 t ⎛ −
t
⎞
u(t) = ⎨ ⇒ x(t) = ∫ h(t − τ ) ⋅1⋅ d τ = ⎜ 1− e ⎟RC
⎪⎩ 0 t < 0 0
⎝ ⎠
3.37
Impulse transition H(t) (general)
•  For general n, m impulse transition given by matrix
⎡ h (t) . . h1m (t) ⎤
⎢ 11 ⎥
⎢ ⎥
H (t) = ⎢ . . . .
⎥ = Φ(t)B ∈ n×m
. . . .
⎢ ⎥
⎢⎣ hn1 (t) . . hnm (t) ⎥
⎦
•  hij(t) equal to xi(t) when
x(0) = 0
–  H (t) = Φ(t)B
u j (t) = δ (t), uk (t) = 0 k ≠ j
– 
•  Again, ZST convolution of input with impulse transition
x(t) = (H ∗ u)(t) Integral computed
element by element
3.38
Output impulse response K(t)
•  Usually interested in input-‐‑output behavior
•  Output impulse response: output solution to
–  Input δ(t)
–  Initial state x(0)=0
•  Combine impulse transition formula and output
map, output impulse response given by
K (t) = CΦ(t)B + Dδ (t) ∈R p×m
and output ZSR to input u(t) is Exercise: Verify

this using the
y(t) = (K ∗ u)(t) formula on p. 3.8
3.39
Stability with inputs: Zero state transition
 = Ax(t) + Bu(t)
x(t)
•  Consider the system
t
•  Zero state transition ∫
x(t) = Φ(t − τ )Bu(τ ) d τ
0
Theorem 3.3: Assume that Re[λi ] < 0 ∀i . Then there

exists α ≥ 0 such that ZST, x(t), satisfies
u(t) ≤ M ∀t ≥ 0 ⇒ x(t) ≤ α M ∀t ≥ 0
If in addition u(t) ⎯⎯⎯
→ 0 then x(t) ⎯⎯⎯
t→∞
→ 0. t→∞
•  So small inputs lead to small states. If in addition

the input goes to zero, so does the state
•  Asymptotic stability needed, not enough
Re[λi ] ≤ 0
3.40
Stability with inputs: Full response
 = Ax(t) + Bu(t)
x(t)

•  Complete response = ZIR + ZSR

•  If
Re[λi ] < 0 ∀i
•  ZIT/ZIR and ZST/ZSR small if input and x(0) small
•  Bounded input, bounded state (BIBS) property
•  Bounded input, bounded output (BIBO) property
•  ZIT/ZIR and ZST/ZSR tend to 0 if input tends to 0
•  Hence output tends to 0 if input tends to 0
3.41

Notes 4: Energy, Controllability,
Observability
John Lygeros

www.control.ethz.ch
Wien oscillator: Circuit
i0 (t)
(k −1)R
i1 (t) R iin
- iout
- + +v
vR - in + +
C1 R1
+ - v0 (t)
+ vC (t)
R2 C2
- vC2 (t)
1
Ideal amplifier iin = 0 ⇒ i1 (t) = i0 (t) ⎫

⎪
⎧ vC (t) ⎪
⎪ i1 (t) = − 2
⎪
⎪ R ⎬ ⇒ v0 (t) = kvC2 (t)
vin = 0 ⇒ vR (t) = vC (t) ⇒ ⎨
2
⎪ vC (t) − v0 (t) ⎪
i0 (t) = 2 ⎪
⎪ (k −1)R ⎪
⎩ ⎭
4.2
Wien oscillator: State equations
•  Linear circuit
•  State Variables: vC (t),vC (t)
1 2
vC (t) dvC (t) dvC 2 (t)
⎡ v (t) ⎤ •  KCL:
2
+ C1 1
+ C2 =0
x(t) = ⎢ C1
⎥ ∈R 2 R2 dt dt
⎢ v (t) ⎥ dvC (t)
⎢⎣ C2 ⎥⎦ •  KVL: v (t) − v (t) − R C
C2 C1 1 1
1
− kvC (t) = 0
dt 2
•  Input Variable: none

(autonomous)
⎡ 1 1− k ⎤
⎡ v (t) ⎤ ⎡ v (t) ⎤ ⎢ − ⎥
d ⎢ 1 C
⎥ = A ⎢ C1 ⎥ dx(t) ⎢ R1C1 R1C1 ⎥
=⎢ ⎥ x(t)
dt ⎢ vC (t) ⎥ ⎢ v (t) ⎥ dt 1 1 k −1 ⎥
⎢⎣ 2 ⎥⎦ ⎢⎣ C2 ⎥⎦ ⎢ − +
⎢ R1C2 R2C2 R1C2 ⎥
⎣ ⎦
4.3
Wien oscillator: Response
•  For simplicity set R1 = R2 = R,C1 = C2 = C
•  Autonomous system (ZIΤ)
•  Stability deftermined by sign of the real part of eigenvalues
•  Eigenvalues are the roots of the characteristic polynomial
3− k 1
det(λ I − A) = 0 ⇒ λ + 2
λ+ 2
=0
RC (RC)
•  For second order polynomials
aλ 2 + bλ + c = 0
the sign of real part of roots determined by signs of a, b, c
•  This is NOT true for higher order polynomials, we need
HurwiJ test
4.4
Wien oscillator: Stability
a, b, c same sign ⇔ ∀i,Re ⎡⎣λi ⎤⎦ < 0 ⇔ Asymp.
stable Exercise:
a, b, c not same Prove this
sign
⇔ ∃i,Re ⎡⎣λi ⎤⎦ > 0 ⇔ Unstable
Some of
a, b, c = 0 à Degenerate case
Response
⎡ ⎤
k < 3 ⇔ ∀i,Re ⎣λi ⎦ < 0 ⇒ goes to 0
j Response oscillates with
k = 3 ⇔ λi = ± ⇔ frequency ω=1/RC
RC
Response goes to
⎡ ⎤
k > 3 ⇔ Re ⎣λi ⎦ > 0 ⇒ infinity (generally)
4.5
Wien oscillator: Eigenvalue locus
k − 3 ± (k −1)(k − 5) Exercise:
•  Eigenvalues are λ =
2RC Show this
Exercise: Simulate
•  Real and negative 0 < k ≤ 1 the Wien oscillator
1< k < 3
•  Complex, negative real part for k = 0.5, 2, 3, 4, 6
and plot x1 vs. x2
•  Imaginary k = 3
Exercise: Plot locus
•  Complex, positive real part 3 < k < 5 of the e-‐‑values as k
goes from 0 to
•  Real and positive k ≥ 5 infinity (in matlab)
•  Roots real and equal (critical damping)
k = 1 or 5
4.6
System energy
•  For the Wien oscillator
1 1 1 ⎡ C 0 ⎤
E(t) = C1vC2 (t) + C2 vC2 (t) = x(t)T ⎢ 1 ⎥ x(t)
2 1
2 2
2 ⎢ 0 C2 ⎥
⎣ ⎦
1
•  Quadratic function of the state E(t) = x(t)T Qx(t)
2
•  Matrix Q
–  Symmetric (Q=QT) (in this case diagonal)
–  Positive definite Q > 0, i.e. x Qx > 0 ∀x ≠0
T
•  Any quadratic with Q that satisfies these properties

serves as an “energy like” function Exercise: Find Q̂
•  Example: Coordinate change such that
x̂(t) = Tx(t)
for T invertible 1
E(t) = x̂(t)T Q̂x̂(t)
2
4.7
System power
•  Instantaneous change in energy
dE(t) x T (t)Qx(t) x T (t)Qx(t)

P(t) = = +
dt 2 2
=
( ) (
x(t)T AT + u(t)T BT Qx(t) x(t)T Q Ax(t) + Bu(t)
+
)
2 2
=
( ) (
x(t)T AT Q + QA x(t) u(t)T BT Qx(t) + x(t)T QBu(t)
+
)
2 2
•  For autonomous systems or when u=0 (ZIT)
P(t) =
( )
x(t)T AT Q + QA x(t)
=−
x(t)T Rx(t)
(
, for R = − AT Q + QA )
2 2
4.8
System power
•  Power also a quadratic of the state Exercise: Show
•  Matrix R is symmetric R is symmetric
•  If it is positive definite R > 0, i.e. x T Rx > 0 ∀x ≠ 0
then energy decreases all the time
•  Natural to assume that in this case system is stable
Exercise: Compute power for the Wien oscillator.

For which values of k is R positive definite?
Theorem 4.1: The eigenvalues of A have negative real part if and

only if for all R = RT > 0 there exists a unique Q = Q T > 0
such that AT Q + QA = −R
4.9
Lyapunov equation
•  Lyapunov equation
AT Q + QA = −R
•  A and R known, linear equation in unknown Q
•  Can be re-‐‑wri[en as Elements
of Q
Elements Âq = r Elements
of A of R
•  Because Q and R symmetric n(n+1)/2 equations in
n(n+1)/2 unknowns
•  Fact 2.11 à equation has:
–  Unique solution if non-‐‑
Â singular
–  Multiple solutions or no solutions if singular
Â
4.10
Lypunov functions
•  Linear version of Lyapunov Theorem (Notes 7)
•  Possible to solve efficiently (e.g. Matlab)
AT Q + QA = −R
•  For any solving for Lyapunov equation for
R = RT > 0
unknown Q allows us to determine stability of x(t)  = Ax(t)
–  Unique positive definite solution à Asymptotically stable
–  No solution, multiple solutions
à Not asymptotically stable
–  Non-‐‑positive definite solution
V : Rn → R
•  Resulting energy-‐‑like function

1 T Exercise: Why is
V (x) = x Qx Lyapunov equation
2
linear? Is Lyapunov
known as Lyapunov function function linear?
4.11
Input-‐‑State-‐‑Output relations
•  Investigate the effect of
–  Input on state
–  State on output
•  Two fundamental questions
1.  Can I use inputs to “drive” state to desired value
2.  Can I infer what the state is by looking at output
•  Answer to 1. à Controllability
•  Answer to 2. à Observability
•  Answers hidden in structure of matrices A, B, and C
4.12
Controllability
•  Consider a linear system
dx
(t) = Ax(t) + Bu(t)
dt x ∈R n ,u ∈R m , y ∈R p
Definition: The systemn is called controllable over [0, t]

if for all x(0) = nx0 ∈ initial conditions and all
terminal x1 ∈ conditions there exists an input
u(⋅) : [0,t] →  m such that x(t) = x1
4.13
Observations
x0 , x1
•  In other words: For any we can find
u(⋅) : [0,t] →  m such that
t
x1 = e At x0 + ∫ e A(t−τ ) Bu(τ )dτ

0
•  Observations:
x0 x1
–  Input can drive the state from to in time t,
x1
but not necessarily keep it at afterwards
–  Input to state relation, outputs play no role and
can be ignored for the time being
–  Definition generalizes to other systems (nonlinear,
time varying, etc.) but more care is needed
4.14
Observations
Fact 4.1: The
n
system is controllable over [0, t] if and only if for
all x1 ∈ there exists an input u(•) : [0,t] →  m such that
x(t ) = x1 starting at x(0) = 0

Proof: Exercise: Prove “only if” part
If: To drive the system from x(0)=x0 to x(t)=x 1 use input that drives
it from x (0) = 0 to x (t) = x1 − e x0
At

Fact 4.2: The system is controllable over [0, t] if and only if for

all x0 ∈R n there exists an input u(•) : [0,t] →  m such that

= 0 starting at
x(t) x(0) = x0

Proof: Exercise: Prove “only if” part
If: To drive the system from x(0)=x0 to x(t)=x1 use input that drives
x (0) = x0 − e − At x1 to x (t) = 0
it from
4.15
Controllability gramian
Given time t, define controllability gramian
t Exercise: Show that
WC (t) = ∫ e Aτ BBT e A τ d τ ∈R n×n
T

W (t) = W T
(t) ≥ 0
0
C C
Fact 4.3: The system is controllable over [0, t] if and only if

WC(t) is invertible
x0 ∈ n x1 ∈ n
Proof: If. Drive system from to in time t.
By Fact 4.1, assume x0=0 and select
T AT (t−τ ) Exercise: Complete
u(τ ) = B e −1
WC (t) x1 , τ ∈[0,t]
the “if” part
4.16
Controllability gramian
Only if: If WC(t) is not invertible then (Fact 2.12, 2.17)
z ∈ n
there exists with such that
z≠0
t
WC (t)z = 0 ⇔ z WC (t)z = 0 ⇔ ∫ z e BB e z d τ = 0
T T Aτ T AT τ
0
t
2

⇔ ∫ z e B d τ = 0 ⇔ z e B = 0 for all τ ∈[0,t]
T Aτ T Aτ
0 t
∫
Therefore z T x(t) = z T e A(t−τ ) Bu(τ ) d τ = 0
0
and only x(t) orthogonal to z can be reached from

x(0)=0. By Fact 4.1, the system is not controllable
4.17
Controllability test
Define the controllability matrix

P = [B AB A2 B  An−1B] ∈R n×nm

Theorem 4.2: The system is controllable over [0, t] if and only
if the rank of P is n

The rank of P is at most n since it has n rows (Fact 2.5)
Proof: We know that the system is controllable over [0, t] if and
z ∈ n
only if WC(t) is invertible. WC(t) is invertible if and only if for
WC(t)z=0 ó z=0
(else WC(t) has 0 as an eigenvalue, Fact 2.17). If we can show
WC(t) z=0 ó PTz=0
this would imply PT has rank n if and only if WC(t) is invertible.
4.18
Controllability test: Proof
As in the proof of Fact 4.3 we can show that
T AT τ
WC (t)z = 0 ⇔ B e z = 0 for all τ ∈[0,t]
T
By Taylor series, the last part holds if and only if BTeA τz and all its
derivatives at τ=0 are equal to zero, in other words
T AT τ d T AT τ

B e z = B T
z = 0 B e z = BT AT z = 0
τ =0 dτ τ =0
and so on, until
d n−1 T AT τ
B e z = B T
(A ) z=0
n−1 T

dτ n−1
τ =0
Higher derivatives (involving An, An+1, etc.) are then automatically zero
by the Cayley-‐‑Hamilton Theorem 2.1. Summarizing

W C
(t)z = 0 ⇔ P T
z=0
and the system is controllable if and only if P has rank n.
4.19
Example: OpAmp circuit
Ideal amplifier:
i1 (t) = i0 (t) + iC (t) + iL (t)
vin (t) vC (t) dvC (t)
⇒ = +C + iL (t)
R1 R0 dt
iL (t) L
dvC (t) 1 1 1
⇒ = − iL (t) − vC (t) + vin (t) +
vC (t)
dt C R0C R1C -
iC (t)
C
diL (t) diL (t) vC (t) i0 (t)
L = vC (t) ⇒ = R1 R0
dt dt L i1 (t)
−
v0 (t) = −vC (t) +

+
+
vin (t) − v0 (t)
-
4.20
Example: OpAmp circuit
The state space matrixes are:
⎡ 0 1 L ⎤ ⎡ ⎤
0 ⎡ 0 −1 ⎤
A = ⎢ ⎥ , B = ⎢ ⎥ ,C =
⎢⎣ −1 C −1 R0C ⎥⎦ ⎢⎣ 1 R1C ⎥⎦ ⎣ ⎦

Note that the input affects only one of the two states directly
It can use this state to influence the second state through the
dynamics encoded in the matrix A
⎡ 1 ⎤
⎢ 0 ⎥
⎢ R1 LC ⎥ −1
P=⎢ ⎥ ⇒ det(P) = 2 2 ≠ 0
⎢ 1 1 ⎥ R1 LC
−
⎢ R1C R0 R1C 2 ⎥
⎣ ⎦
4.21
Observations
•  Easy test for controllability
•  Requires matrix multiplications and rank test, instead
of integration of matrix exponential
•  Proof of Theorem 4.2 implies the following
n
Corollary 4.1: The set of x1 ∈ for which ∃u(⋅) : [0,t] → 
m
such that x(t) = x1 starting at x(0) = 0 is equal to Range(P)
Fact 4.4: WC(t) is invertible for some t > 0

if and only if it is invertible for all t > 0.
•  Roughly speaking, if the system is controllable can
get from any state to any other state as fast as we like
•  The faster we go, the more the “energy” and the
bigger the inputs we will need
4.22
Minimum energy inputs
Consider as the “energy” of the input the quantity
t t
2
∫ u(τ ) u(τ ) d τ = ∫ u(τ ) d τ
T

0 0
In our example of p. 4.20
t t
2
∫ u(τ )
0
d τ = R1 ∫ vin (τ )i1 (τ ) d τ = R1 i(energy provided by vin )
0
Theorem 4.2: Assume that the system is controllable. Given

x1 ∈ n and t > 0, the input that drives the system from
x(0)=0 to x(t)=x1 and has the minimum energy is given by
AT (t−τ )
um (τ ) = B e T
WC (t) −1 x1 , for τ ∈[0,t]
4.23
Minimum energy inputs: Proof
Proof: In the proof of Fact 4.3 we saw that the proposed
um(.) drives the system from x(0)=0 to x(t)=x1. Its energy is
t t
u (τ )T u (τ ) d τ = x TW (t) −1 e A(t−τ ) BBT e AT (t−τ )W (t) −1 x d τ
∫
0
m m ∫0
1 C C 1
⎛ t
⎞
= x1 WC (t) ⎜ ∫ e
T −1 A(t−τ )
BB e T AT (t−τ )
d τ ⎟ WC (t) −1 x1 = x1TWC (t) −1 x1
⎝0 ⎠
To show that this energy is minimum, consider any other
input u(.) that drives the state from x(0)=0 to x(t)=x1. u(.) can
u(τ ) = um (τ ) + û(τ ).
be wri[en as So its energy will be
t t
∫ τ τ τ = ∫ m τ + τ (um (τ ) + û(τ )) d τ
T T
u( ) u( ) d (u ( ) û( ))
0 0
t
= ∫ (um (τ )T um (τ ) + um (τ )T û(τ ) + û(τ )T um (τ ) + û(τ )T û(τ )) d τ

0
4.24
Minimum energy inputs: Proof
t t
= ∫ e A(t−τ ) Bu(τ ) d τ = ∫ e A(t−τ ) B(um (τ ) + û(τ )) d τ

But x(t)
0
t
0
t t
= ∫ e A(t−τ ) Bum (τ ) d τ + ∫ e A(t−τ ) Bû(τ ) d τ = x1 + ∫ e A(t−τ ) Bû(τ ) d τ

0 0 0
t
∫
Since x(t)=x1, we have that e A(t−τ ) Bû(τ ) d τ = 0
t t
0
t
∫0 m
and ∫0 ∫0 1 C e Bû(τ ) d τ = 0
−1 A(t−τ )
u (τ ) T
û(τ ) d τ = û(τ ) T
um
(τ ) d τ = x T
W (t)

Therefore
t t t
∫ τ τ τ ∫ τ τ τ ∫ m um (τ ) d τ
τ
−1
u( ) T
u( ) d = x1
T
WC
(t) x1
+ û( ) T
û( ) d ≥ u ( ) T
0 0 0
4.25
Observability
dx
(t) = Ax(t) + Bu(t)
dt x ∈R n ,u ∈R m , y ∈R p
Definition: The system is called observable over [0, t] if given
u(⋅) : [0,t] →  m and y(⋅) : [0,t] →  we can uniquely
p
determine the value of x(⋅) : [0,t] → 

n
•  Again time of observation, t, will turn out to play no role

•  Inputs play little role, just carried along
•  Generalizations (to e.g. non-linear systems) possible,
but care is needed
4.26
Initial state observability
t
•  Recall that x(t) = e At x + e A(t−τ ) Bu(τ )dτ
0 ∫0
u(⋅) : [0,t] → 
•  Therefore to infer given
x(⋅) : [0,t] →  n
m
it suffices to infer the initial condition x(0)=x0

•  Assume that two initial conditions, x0 and , under the x̂0
u(⋅) : [0,t] →  m
same input lead to the same output
y(⋅) : [0,t] →  p , i.e. ∀τ ∈[0,t]
τ τ
Ce Aτ x0 + C ∫ e A(τ −s) Bu(s)d s + Du(τ ) = Ce Aτ x̂0 + C ∫ e A(τ −s) Bu(s)d s + Du(τ )
0 0
•  Then Ce Aτ (x0 − x̂0 ) = 0, for all τ ∈[0,t]

x ∈R n Ce Aτ x = 0 ∀τ ∈[0,t]
•  such that called unobservable
4.27
Unobservable states
Ce Aτ x = 0 τ ∈[0,t]
∈R nunobservable if and only if for all
•  x
Aτ
Ce x = 0
•  Note that if x=0 then , so x=0 is an
unobservable state Exercise: Show that the
•  System is observable if and only unobservable states form
if x=0 is the only unobservable state a subspace
•  In this case the initial state x0 is uniquely determined
by the zero input response since
Ce Aτ x0 = Ce Aτ x̂0 for all τ ∈[0,t]
⇔ Ce Aτ (x0 − x̂0 ) = 0 for all τ ∈[0,t]
⇔ (x0 − x̂0 ) unobservable
⇒ (x0 − x̂0 ) = 0 ⇒ x0 = x̂0
4.28
Observability
•  Note that two initial conditions that under the same
input lead to the same output differ by an
unobservable state
•  By a Taylor series argument Ce Aτ x = 0 for all τ ∈[0,t]
if an only if all its derivatives at τ = 0 equal to 0
Aτ d
Ce x = Cx = 0, Ce Aτ x = CAx = 0,
τ =0 dt ' τ =0
d n−1 Aτ
Ce x = CA n−1
x=0 Exercise: Show this
dτ
n−1
τ =0
•  By the Cayley Hamilton Theorem 2.1, if for
CAk x = 0
k=0, 1, …, n-‐‑1 then for all k>n-‐‑
CAk x = 0 1
Exercise: Show this
4.29
Observability
•  Therefore a state x is unobservable if an only if Qx = 0
⎡ C ⎤
⎢ ⎥
⎢ CA ⎥ ∈R np×n
Q=
⎢  ⎥
⎢ n−1 ⎥
⎣ CA ⎦
•  If Q is full rank then the only unobservable state is 0

•  In this case, system is observable since
Ce Aτ (x0 − x̂0 ) = 0 for all τ ∈[0,t] ⇔ x0 = x̂0
Theorem 4.3: The system is observable over [0, t] if and only if

the rank of the matrix Q is n
4.30
Example: OpAmp circuit (p. 4.20)

⎡ 0 −1 ⎤ 1
•  Q
therefore it is observable
=⎢ ⎥ ⇒ det(Q) = ≠ 0
⎣1 C 1 R0C ⎦ C
•  We are only measuring one of the two states directly
•  We can infer the value of the other state by its effect on the
measured state through the dynamics encoded in A
•  Roughly speaking use measured state + all its derivatives to
deduce the value of the unmeasured states
4.31
Observability Gramian
One can also construct and observability gramian
t Exercise: Show that
∫
W (t) = e C Ce d τ ∈R
T
A τ T A τ n×n

O W (t) = W T
(t) ≥ 0
0 O O

Fact 4.5: The system is observable over [0, t] if and only
if WO(t) is invertible. If the system is observable over some
[0, t] then it is also observable over all [0, t’]

Notes
–  Checking the rank of matrix Q is easier Corollary 4.2: Set of
–  Rank of Q at most n (n columns) unobservable states
–  Time of observation is immaterial equal to Null(Q)
4.32
Output derivative interpretation
 =
Consider differentiating y(t) along x(t) Ax(t) + Bu(t)
y (t) = Cx(t)
 + Du(t)
 = CAx(t) + CBu(t) + Du(t)

y(t) = CA2 x(t) + CABu(t) + CBu(t)
  + Du(t)

⎡ y(0) ⎤ ⎡ ⎤ ⎡ ⎡ ⎤
⎢ ⎥ ⎢ C D 0  0 ⎤ ⎢ u(0) ⎥
⎥ ⎢ ⎥
⎢ y (0) ⎥ ⎢ CA ⎥ x(0) + ⎢ CB D 
 0 ⎥ ⎢ u(0) ⎥
⎢ ⎥=⎢  ⎥ ⎢ CAB CB  0 ⎥⎢ ⎥
⎢  ⎥ ⎢ ⎢  ⎥
n−1 ⎥ ⎢ n−2 n−3 ⎥
⎢⎣ y (n−1) (0) ⎥⎦ ⎣ CA ⎦ ⎣ CA B CA B  D ⎦ ⎢ u (n−1) (0)
⎣ ⎥⎦
Y = Qx(0) + KU Y ∈R , K ∈R
np np×nm
,U ∈R nm
4.33
Output derivative interpretation
Y = Qx(0) + KU
Measured Q full rank Known
•  System of linear equations to be solved for x(0)
•  If p=1, Q ∈R n×n has rank n ⇒ Q invertible
x(0) = Q −1 (Y − KU )
•  If p>1, more equations than unknowns, least squares
solution. If Q has rank n, pseudo-‐‑inverse (Fact 2.14)
( )
−1
x(0) = Q Q T
Q T (Y − KU )
4.34
But …
•  Differentiating measurements is a bad idea
•  Noise gets amplified
•  Intuition: Sinusoidal signal corrupted by small
amplitude, high frequency noise
y(t) = asin(ω t) + bsin(ω n t) b  a, ω n  ω
a
•  Signal-‐‑to-‐‑noise ratio: SNR =  1
b
aω a
y (t) = ω a cos(ω t) + ω n bcos(ω n t) ⇒ SNR = 
bω n b
aω 2
aω
y(t) = −ω asin(ω t) − ω n bsin(ω n t) ⇒ SNR =
 2 2

bω n
2
bω n
•  Derivative of signal soon becomes useless
4.35
Observers
•  Instead of differentiating, build a “filter”
•  Progressively construct estimate of the state x (t) ∈R n
•  x (0) ∈R n
Start with some (arbitrary) initial guess
•  Measure y(t) and u(t)
•  Update estimate according to
dx
(t) = Ax (t) + Bu(t) + L ⎡⎣ y(t) − Cx (t) − Du(t) ⎤⎦
dt
•  Mimic evolution of true state, plus correction term
•  Gain matrix L
•  Error dynamics
e(t) = x(t) − x (t) ⇒ e(t)
 = (A − LC)e(t)
4.36
Observers
Theorem 4.4: If the system is observable, then L can be chosen
such that eigenvalues of (A-LC) have negative real parts.
•  In this case error system is asymptotically stable

•  Error goes to zero e(t) ⎯t→∞⎯⎯ →0
State estimate converges to true state x (t) ⎯⎯⎯ → x(t)
t→∞
• 
•  Convergence arbitrarily quick by choice of L
•  In presence of noise “transients” may be bad
•  Kalman filter: Optimal trade-‐‑off for L if
–  State and measurement equations
corrupted by noise
–  System linear and noises Gaussian
4.37
Kalman decomposition
T ∈R n×n
There exists change of coordinates invertible such that:

⎡ x̂1 (t) ⎤ ← controllable & observable
⎢ ⎥
⎢ x̂2 (t) ⎥ ← controllable & unobservable
x̂(t) = Tx(t) = ⎢ ⎥
⎢ x̂3 (t) ⎥ ← uncontrollable & observable
⎢ ⎥
⎢⎣ x̂4 (t) ⎥ ← uncontrollable & unobservable
⎦
⎡ 0 ⎤ ⎡
⎢
Â11 0 Â13
⎥ B̂1 ⎤
⎢ ⎥
⎢ Â21 Â22 Â23 Â24 ⎥ ⎢
Â = TAT = ⎢
−1
⎥ , B̂ = TB = ⎢ B̂2 ⎥
⎥
⎢ 0 0 Â33 0 ⎥ ⎢ 0 ⎥
⎢ ⎥ ⎢
⎢⎣ 0 0 Â43 Â44 ⎥ ⎣ 0 ⎥⎦
⎦
Ĉ = CT −1 = ⎡ Ĉ1 0 Ĉ3 0 ⎤
⎢⎣ ⎥⎦
4.38
Kalman decomposition
⎛ ⎡ Â 0 ⎤ ⎡ B̂1 ⎤⎞ ⎛ ⎡ Â Â13 ⎤ ⎡ ⎞
⎜ ⎢ 11 ⎥,⎢ ⎥⎟ controllable, ⎜ ⎢ 11 ⎥ , Ĉ Ĉ ⎤⎟ observable
Â33 ⎥ ⎢⎣
3 ⎥
⎜ ⎢ Â21 Â22 ⎥ ⎢ B̂2 ⎥⎟⎠ ⎜⎢ 0 1
⎦⎟
⎝⎣ ⎦ ⎣ ⎦ ⎝⎣ ⎦ ⎠
u(t) B̂1 C+O Ĉ1 y(t)

+
x̂1 (t)
B̂2 Ĉ3
Â21 Â13
C+O Â23 C+O
x̂2 (t) x̂3 (t)
Â24 Â43
C+O
x̂4 (t)
4.39
Stabilizability and detectability

Definition: The system is detectable if all eigenvalues of Â22 and

Â44 in the Kalman decomposition have negative real part.

Can design observer for observable part ⎛ ⎡ Â Â ⎤ ⎞
13 ⎥ ⎡
with overall observation error decaying ⎢ ⎜ ⎢ 11
, Ĉ1 Ĉ3 ⎤⎟
⎜ 0 Â33 ⎥ ⎢⎣ ⎥⎦⎟
to zero ⎝⎣ ⎦ ⎠

Definition: The system is stabilizable if all eigenvalues of Â33 and
Â44 in Kalman decomposition have negative real part.

Can design controller for controllable part ⎛ ⎡ Â 0 ⎤ ⎡ B̂ ⎤⎞
which ensures overall system ⎜ ⎢ 11 ⎥ , ⎢ 1 ⎥⎟
⎜ ⎢ Â21 Â22 ⎥ ⎢ B̂2 ⎥⎟
asymptotically stable ⎝⎣ ⎦ ⎣ ⎦⎠
4.40

Notes 5: Continuous LTI
systems, frequency domain
John Lygeros

www.control.ethz.ch
Laplace Transform
•  Convert time function f(t) to a complex variable function F(s)

f : R → R F : C → C
∞

f (t) 

L
L

−1 
F (s) { } ∫
F(s) = L f (t) = f (t)e dt − st
0

•  Recall that we assume that f(t)=0 for all t<0 (p. 0.22)
•  Can also be defined for matrix valued functions
f :R→R n×m
F :C→ C n×m
by taking the integral element by element
5.2
Laplace Transform: Properties
Assumption: The function f(t) is such that the integral can be
defined, i.e. f (t)e − st ⎯t→∞
⎯⎯ → 0 “quickly enough”
{ }
•  Linearity L a1 f (t) + a2 g(t) = a1F(s) + a2G(s)
{ −at
}
•  s shift L e f (t) = F(s + a)

⎧d ⎫
•  Time derivative L ⎨ f (t) ⎬ = sF (s) − f (0)
⎩ dt ⎭
{ }
•  Convolution L ( f * g)(t) = F (s)G(s)
Exercise: Prove these
properties using the Recall discussion
definition on p. 0.22
5.3
Laplace Transform: Useful functions
{ }
A.  Dirac function L δ (t) = 1
B.  Step function L {1} = 1

s
{ }
C.  Exponential function L e −at = 1
s+a
D.  Sinusoidal functions
L {sin(ω t)} = ω
Exercise: Prove C using the s shift
property. Prove D using C. Prove
s2 + ω 2 B using A and the time derivative
{ }
L cos(ω t) = s
s2 + ω 2
property.
Initial value theorem: lim f (t) = lim sF (s) Whenever all

t→0 s→∞
Final value theorem: lim f (t) = lim sF(s) limits exist

t→∞ s→0
5.4
Inverse Laplace Transform
•  Defined as an integral Exercise: Compute the
Laplace transform of:
•  Laplace transforms of interest here
f (t) = t, f (t) = t n ,
will be proper, rational functions
–  Ratio of two polynomials in s f (t) = te −at ,
–  Degree of numerator less than or f (t) = e −at cos(ω t),
equal to degree of denominator
d2
•  In this case use partial fractions g(t) = 2 f (t),
dt
•  Example: f (t) = sin(ω t + θ )
⎧
−1 1 ⎫ −1 ⎧ 1 ⎫ −1 ⎧ 1 1 ⎫
L ⎨ 2 ⎬= L ⎨ ⎬= L ⎨ − ⎬
⎩ s + 3s + 2 ⎭ ⎩ (s + 1)(s + 2) ⎭ ⎩s +1 s + 2⎭
−1 ⎧ 1 ⎫ −1 ⎧ 1 ⎫ −t −2t
=L ⎨ ⎬− L ⎨ ⎬=e −e
⎩ s + 1⎭ ⎩s + 2⎭
5.5
Back to LTI systems
Time domain: dx(t)
= Ax(t) + Bu(t)
dt
x(t) ∈R n , u(t) ∈R m , y(t) ∈R p , t ∈R
Take Laplace Transform
⎧ dx(t) ⎫
L⎨ { }
⎬ = L Ax(t) + Bu(t) ⇒ sX (s) − x(0) = AX (s) + BU (s)
⎩ dt ⎭
−1 −1
Laplace domain: X (s) = (sI − A) x0
+ (sI − A) BU (s)
Y (s) = CX (s) + DU (s)
X (s) ∈C n , U (s) ∈C m , Y (s) ∈C p , s ∈C
5.6
Comparison with time domain
•  Time domain solution
t
x(t) = e At x0 + ∫ e A(t−τ ) Bu(τ ) d τ

0 Convolution
•  Take Laplace transform
⎧⎪ t A(t−τ ) ⎫⎪
{ } { }
L x(t) = L e At x0 + L ⎨ ∫ e
⎪⎩ 0
Bu(τ ) d τ ⎬
⎪⎭
⇒ X (s) = L {e } At
{ }
x0 + L e At BU (s)
•  Comparing
{ }
L e At = (sI − A) −1 ∈C n×n
5.7
Example (p. 3.18)
R L
⎡ 1 ⎤
⎢ 0 ⎥ ⎡ v (t) ⎤ ⎡ 0 ⎤
d ⎡⎢ vC (t) ⎤⎥ ⎢ C ⎥⎢ C ⎥ + ⎢ 1 ⎥ vs (t)
+
vs (t ) C =
⎥ ⎢ iL (t) ⎥ ⎢ ⎥
−
dt ⎢ iL (t) ⎥ ⎢ 1 R
⎣ ⎦ ⎢ − − ⎥⎣ ⎦ ⎢⎣ L ⎥⎦
⎣ L L ⎦
•  For R=3, C=0.5, L=1

⎡ 0 2 ⎤ ⎡ s −2 ⎤
A=⎢ ⎥ ⇒ (sI − A) = ⎢ ⎥
⎣ −1 −3 ⎦ ⎣ 1 s+3 ⎦
•  Laplace transform of state transition matrix
−1 1 ⎡ s+3 2 ⎤
(sI − A) = 2 ⎢ ⎥
s + 3s + 2 ⎣ −1 s ⎦
5.8
Example: Transition Matrix
⎧⎪ ⎡ s + 3 2 ⎤ ⎫⎪
−1
{ −1
Φ(t) = L (sI − A) = L ⎨ 2 } −1 1
⎢
⎪⎩ s + 3s + 2 ⎣ −1 s ⎦ ⎪⎭
⎥⎬
⎧⎡ s+3 2 ⎤⎫
⎪⎢ 2 ⎥⎪
⎪ ⎪
= L−1 ⎨ ⎢ s + 3s + 2 s + 3s + 2 ⎥ ⎬
2
⎪ ⎢⎢ −1 s ⎥⎪
⎥
⎪ ⎣ s 2 + 3s + 2 s 2 + 3s + 2 ⎦ ⎪
⎩ ⎭
⎧⎡ 2 1 2 2 ⎤⎫
⎪⎢ − − ⎥⎪
⎪ ⎪
= L−1 ⎨ ⎢ s + 1 s + 2 s + 1 s + 2 ⎥ ⎬
⎪ ⎢ −1 + 1 −1
+
2 ⎥⎪
⎪⎩ ⎢⎣ s + 1 s + 2 s + 1 s + 2 ⎥⎦ ⎪⎭
⎡ 2e −t − e −2t 2e −t − 2e −2t ⎤
Φ(t) = ⎢ ⎥ As before!
−t
⎢⎣ −e + e
−2t
−e −t + 2e −2t ⎥⎦ (p. 3.19)
5.9
Example: Step transition (p. 3.21)
ZST with input (recall that )
vs (t) = V for t ≥ 0 vs (t) = 0 for t < 0
Laplace transform Vs (s) = V s
⎡ 2 ⎤
⎢ ⎥
−1 ⎢ s(s + 1)(s + 2) ⎥
X (s) = (sI − A) BVs (s) = ⎢ ⎥ V
s
⎢ ⎥
⎢⎣ s(s + 1)(s + 2) ⎥⎦
⎡ 1 2 1 ⎤
⎢ − + ⎥
= ⎢ s s + 1 s + 2 ⎥V No need to compute
⎢ 1 1 ⎥ entire (sI-‐‑A)-‐‑1, just
⎢ − ⎥ second column
⎣ s + 1 s + 2 ⎦
⎡ −2e −t + e −2t + 1 ⎤
x(t) = L −1
{ }
X (s) = ⎢
e −t − e −2t
⎥V
⎢⎣ ⎥⎦
5.10
Example: Step transition
⎡ 2 ⎤
⎢ ⎥
⎢ s(s + 1)(s + 2) ⎥V
X (s) = ⎢ ⎥
s
⎢ ⎥
⎢⎣ s(s + 1)(s + 2) ⎥⎦
Initial value theorem x(0) = limt→0 x(t) = lim s→∞ sX (s)
⎡ 2 ⎤
⎢ ⎥
x(0) = lim s→∞ ⎢⎢
(s + 1)(s + 2) ⎥V = ⎡ 0 ⎤ (ZST)
⎥ ⎢ ⎥
s ⎣ 0 ⎦
⎢ ⎥
⎢⎣ (s + 1)(s + 2) ⎥⎦
⎡ ⎤
⎢
2
⎥
(s + 1)(s + 2) ⎥ ⎡ V ⎤
Final value theorem limt→∞ x(t) = lim s→0 ⎢⎢ ⎥ V =⎢ ⎥
s ⎣ 0 ⎦
⎢ ⎥
⎢⎣ (s + 1)(s + 2) ⎥⎦
5.11
Example: Sinusoidal input
ZST with input vs (t) = V sin(t)
Laplace transform Vs (s) = V s 2 + 1
⎡ 2 ⎤
⎢ 2 ⎥
−1 ⎢ (s + 1)(s + 1)(s + 2) ⎥
X (s) = (sI − A) BVs (s) = ⎢ ⎥V
s
⎢ 2 ⎥
⎢⎣ (s + 1)(s + 1)(s + 2) ⎥⎦
⎛ −3s + 1 1 2 ⎞
VC (s) = X 1 (s) = ⎜ 2 + − ⎟ V
⎝ 5(s + 1) s + 1 5(s + 2) ⎠
3V V −t 2 −2t
vC (t) = − cos(t) + sin(t) +Ve − Ve
5 5 5
External input Eigenvalue
response response
5.12
Example: Sinusoidal input
•  The system is stable, so as t → ∞
2 Transient
Ve − Ve −2t → 0
−t
solution
5
3V V Steady state
vC (t) → − cos(t) + sin(t) solution
5 5
•  In general, for stable systems with sinusoidal input steady
state solution is also sinusoidal with
–  Same frequency as input
–  Amplitude and phase determined by system matrices
5.13
Transfer function
•  Consider ZSR X (s) = (sI − A) −1 BU (s)
Y (s) = CX (s) + DU (s)
(
Y (s) = C(sI − A) −1 B + D U (s) )
•  Transfer function
−1
G(s) = C(sI − A) B + D ∈C p×m
•  Summarizes system input-‐‑output behavior

Y (s) = G(s)U (s)
•  In the RLC example s
–  If we measure y=iL C = ⎡ 0 1 ⎤ , D = 0 ⇒ G(s) =
⎣ ⎦ (s + 1)(s + 2)
⎡ ⎤ 2
–  If we measure y=vC C = 1 0 , D = 0 ⇒ G(s) =
⎣ ⎦ (s + 1)(s + 2)
5.14
Transfer function structure
•  System called
–  Single input, single output (SISO) if m=p=1
–  Multi-‐‑input, multi-‐‑output (MIMO) if m or p >1
•  SISO à B, CT vectors of dimension n, D a real number

Cadj(sI − A)B Cadj(sI − A)B + D det(sI − A)

G(s) = +D= ∈C
det(sI − A) det(sI − A)
•  All entries are rational functions of s

System zeros
•  For SISO systems
(s − z1 )(s − z2 )(s − zk )
G(s) = ∈C
(s − p1 )(s − p2 )(s − pn )
System poles
5.15
Proper and strictly proper transfer function

•  Consider SISO system described by rational G(s)
•  Transfer function is called proper if
numerator degree denominator degree
≤
Fact 5.1: SISO transfer functions arising from state space

descriptions of LTI systems are always proper
•  Transfer function is called strictly proper if

numerator degree < denominator degree
Fact 5.2: SISO transfer functions arising from state space

descriptions of LTI systems are strictly proper if and only if D=0
•  Input affects output only through system dynamics
5.16
Proper and strictly proper transfer function

(s − z1 )(s − z2 )(s − zk )
G(s) = ∈C
(s − p1 )(s − p2 )(s − pn )
•  Proper à k n, strictly proper à k<n
≤
•  If G(s) is strictly proper, expanding polynomials
b1s n−1 + b2 s n−2 + + bn

G(s) =
s n + a1s n−1 + a2 s n−2 + + an
•  Some bi may be zero
•  If no pole-‐‑zero cancellations the denominator is the
characteristic polynomial of A
•  i.e. poles are the eigenvalues of A
•  For simplicity we will mostly consider SISO, strictly
proper transfer functions in the rest of these notes
5.17
Transfer function and impulse response
t
•  SISO systems, ZSR y(t) = C ∫ e

A(t−τ )
Bu(τ ) d τ + Du(t)
0
•  Output impulse response: ZSR with u(t)=δ(t)

K (t) = Ce At B + Dδ (t) (c.f. Notes 3)
•  Taking Laplace transform
{ }
L{K (t)} = L Ce At B + Dδ (t) = C(sI − A) −1 B + D
•  Transfer function is Laplace transform of output

impulse response
•  ZSR: impulse response-‐‑input convolution y(t) = (K *u)(t)
{ } { }
Y (s) = L (K *u)(t) = L K (t) U (s) = G(s)U (s)
5.18
Transfer function and stability
•  From our knowledge of time domain solutions
–  If poles are distinct system is
•  Asymptotically stable if and only if Re[ pi ] < 0,∀i
•  Stable if and only if ∀i Re[ pi ] ≤ 0
•  Unstable if and only if ∃i : Re[ pi ] > 0
–  If poles are repeated system is
•  Asymptotically stable if and only if Re[ pi ] < 0,∀i
•  Unstable if ∃i : Re[ pi ] > 0
•  If system may be stable
∀i Re[ pi ] ≤ 0 and ∃i Re[ pi ] = 0
or unstable, depending on partial fraction expansion
(cf. “depending on eigenvectors” of matrix A, Notes 3)
•  Provided there are no pole zero cancellations
5.19
Block diagrams

G1(s) G2(s) ⇔ G2(s)G1(s)
G1(s)
+
+
+
⇔ G2(s)+G1(s)
G2(s)
+ G1(s)
+-
⇔ [1+G1(s)G2(s)]-1G1(s)
G2(s)
Caution: MIMO transfer functions in general matrices!
5.20
Block diagrams
u y
+
K1(s) + K2(s) G(s)
-
K3(s)
Exercise: In the
−1
Y (s) = [1+ G(s)K 2 (s)K 3 (s)] G(s)K 2 (s)K1 (s)U (s) SISO case, show
that if G(s) strictly
proper, K1(s), K2(s),
•  In the SISO case: Composition or rational transfer
K3(s) proper then
functions is also a rational transfer function closed loop
•  Properties of “closed loop” system studied using transfer function is
the same tools strictly proper
5.21
Frequency response
•  In RLC example, steady state response to sinusoidal
input is sinusoidal
•  More generally consider proper, stable SISO system
with transfer function G(s)
•  Apply u(t)=sin(ωt)
•  Output secles to sinusoid y(t)=Ksin(ωt+φ) with
–  The same frequency, ω
–  Amplitude K = G( jω ) = Re[G( jω )]2 + Im[G( jω )]2
⎛ Im[G( jω )] ⎞
φ = ∠G( jω ) = tan ⎜
–  Phase −1
⎝ Re[G( jω )] ⎟⎠
ω
•  Shown by partial fraction expansion of
Y (s) = G(s) 2
(s + ω 2 )
5.22
Frequency response
•  Response of system to sinusoids at different
frequencies called the frequency response
•  Frequency response important because
–  Sinusoids are common inputs
–  Directly related to any other input by Fourier transform
–  Frequency response tells us a lot about system behavior
–  E.g. Will it be stable under various interconnections?
•  Frequency response usually summarized graphically
G( jω ) vs. ω , log plot
–  Bode plots: Log-‐‑log plot lin-‐‑ ∠G( jω ) vs. ω
–  Nyquist plot: G(jω) in polar coordinates, parameterized by ω
G( jω ) vs. ∠G( jω ),
–  Nichols chart: Log-‐‑lin plot
parameterized by ω
5.23
Bode plots (bode.m)
log (ω ) (in rad/sec) axes
Pair of plots, x-‐‑axis the same , y-‐‑
( )
20log G( jω ) (in dB) and ∠G( jω ) (in degrees)
RLC example (p. 5.14)

2 s
G(s) = G(s) =
(s + 1)(s + 2) (s + 1)(s + 2)
5.24
Nyquist plot (nyquist.m)
Plot of Im[G(jω)] vs. Re[G(jω)] parameterized by ω
RLC example (p. 5.14)

2 s
G(s) = G(s) =
(s + 1)(s + 2) (s + 1)(s + 2)
5.25
Resonance
•  Appears in second order systems (two poles)
•  Bode magnitude plot has maximum at some frequency
•  Sinusoidal inputs around this frequency get amplified
•  Important consequences for performance
•  Second order systems very common in practice
•  Example: Simplified suspension model
f (t) x(t) + dx(t)

M  + kx(t) = − f (t)
x(t) Output:
position X (s) 1
=− 2
Input: F (s) Ms + ds + k
Force
Second order
transfer function
5.26
Resonance
•  Second order transfer functions of interest look like
Kω n2
G(s) = 2 , ωn > 0
s + 2ζω n s + ω n
2
k d 1
•  For suspension example: ω n = , ζ= , K =−
M 2 km k
Natural Damping
frequency Gain
ratio

•  Frequency response Kω n2
G( jω ) =
(ω ) + (2ζω ω )
2 2
Kω 2 2
−ω 2
G( jω ) = n n n
(ω n2 − ω 2 ) + j(2ζω nω ) ⎛ 2ζω nω ⎞
∠G( jω ) = −tan ⎜ 2 −1
2⎟
⎝ ωn − ω ⎠
5.27
Resonance
1.  For stability need ζ ≥0 Exercise: Verify 1-‐‑5
2.  For poles real (over-‐‑
ζ ≥1 damped system)
3.  For poles real and equal (critical damping)
ζ =1
4.  For poles complex (under-‐‑
0 <ζ <1 damped system)
5.  For poles imaginary (undamped system)
ζ =0
1
ζ≥
6.  For magnitude Bode plot decreasing in w
2
1
7.  For magnitude Bode plot has a maximum
0 ≤ζ <
2
Exercise: Take
K
ω = ω n 1− 2ζ 2
at and
G( jω ) = the derivative
2ζ 1− ζ 2 G( jω )
of to
verify 6-‐‑7
5.28
Example: AFM Resonances
5.29
Transfer function realization
•  Time domain description à unique transfer function
dx ⎫
(t) = Ax(t) + Bu(t) ⎪ −1
dt ⎬ ⎯ ⎯
→ G(s) = C(sI − A) B+D
y(t) = Cx(t) + Du(t) ⎪
⎭
•  Transfer function à unique time domain description??
⎧ dx
(s − z1 )(s − z2 )(s − zk ) ? ⎪ (t) = Ax(t) + Bu(t)
G(s) = ⎯⎯→ ⎨ dt
(s − p1 )(s − p2 )(s − pn ) ⎪ y(t) = Cx(t) + Du(t)
⎩
•  Given G(s), choice of A, B, C, D such that
C(sI
known as a realization of G(s)
− A) −1 B + D = G(s)
•  Clearly not unique, e.g. coordinate change x̂ = Tx, det(T ) ≠ 0
5.30
Realization: SISO, strictly proper system
b1s n−1 + b2 s n−2 + + bn
•  SISO, strictly proper system G(s) = n
s + a1s n−1 + a2 s n−2 + + an
⎡ 0 0 … −an ⎤ ⎡ bn ⎤
⎡ 0 1 0 … 0 ⎤ ⎡ 0 ⎤ ⎢ ⎥ ⎢ ⎥
⎢ ⎥ ⎢ ⎥ ⎢ 1 0 … −an−1 ⎥ ⎢ bn−1 ⎥
⎢ 0 0 1 … 0 ⎥ ⎢ 0 ⎥ ⎢ ⎥ ⎢ ⎥
 =⎢
x(t)      ⎥ x(t) + ⎢  ⎥ u(t)  =⎢
x(t) 0 1 … −an−2 ⎥ x(t) + ⎢ bn−2 ⎥ u(t)
⎢ 0 0 0 … 1 ⎥ ⎢ 0 ⎥ ⎢ ⎥ ⎢ ⎥
⎢ ⎥ ⎢ ⎥ ⎢     ⎥ ⎢  ⎥
⎢ −an −an−1 −an−2 … −a1 ⎥ ⎢ 1 ⎥ ⎢ 0 0 … −a1 ⎥ ⎢ b1 ⎥
⎣ ⎦ ⎣ ⎦
⎣ ⎦ ⎣ ⎦
y(t) = ⎡ bn bn−1 bn−2 … b1 ⎤ x(t)
⎣ ⎦ y(t) = ⎡ 0 0 … 1 ⎤ x(t)
⎣ ⎦
Controllable canonical form Observable canonical form

Exercise: Show that both the controllable
and the observable canonical forms are
realizations of G(s)
5.31
Uncontrollable and unobservable systems
⎡ ⎤ ⎡ 1 ⎤ ⎡ −1 0 ⎤ ⎡ 1 ⎤
−1 1  =⎢
 =⎢
x(t) ⎥ x(t) + ⎢ ⎥ u(t), x(t) ⎥ x(t) + ⎢ ⎥ u(t),
⎣ 0 1 ⎦ ⎣ 0 ⎦ ⎣ 1 1 ⎦ ⎣ 0 ⎦
y(t) = ⎡ 1 0 ⎤ x(t) y(t) = ⎡ 1 0 ⎤ x(t)
⎣ ⎦ ⎣ ⎦
1
1.  In both cases transfer function G(s) =
s +1
2.   = −x(t) + u(t), y(t) = x(t) ∈R Exercise: Show
Same as x(t)
points 1-‐‑5
3.  Original state space system unstable
4.  Transfer function poles have negative real parts!
5.  Pole-‐‑zero cancellation of term corresponding to
uncontrollable/unobservable part
6.  Can be shown in general using Kalman decomposition
5.32
In summary
•  Transfer function alternative system description to
state space
•  Closely related, not equivalent
•  Advantages
+  Coordinate independent
+  Easier to manipulate for system composition
+  Easier to compute response to “complicated” inputs
+  Immediate connection to steady state sinusoidal response
+  May also work for systems that do not have state space
description (e.g. delay elements)
•  Disadvantages
–  Less natural in terms of physical laws
–  Used mostly for ZSR
–  May contain less information than state space description
–  Unobservable and uncontrollable parts lost
5.33

Notes 6: Discrete time LTI
systems
John Lygeros

www.control.ethz.ch
Sampled Data Systems
•  Computers operate on bit streams
•  Value and time quantization
1.  Variables can take finitely many values
2.  Operations performed at fixed “clock” period
6.2
•  In “embedded” computational systems digital
computer has to interact with analog environment.
–  Measurements of physical quantities processed by
computers
–  Decisions of computer applied to physical system
•  Requires transformation of real valued signals of real
time to discrete valued signals of discrete time and
vice-‐‑versa
–  Analog to digital conversion (A/D or ADC)
–  Digital to analog conversion (D/A or DAC)
6.3
•  Usually value quantization is quite accurate.
•  Here we ignore value quantization, we concentrate
on time quantization.
•  Assume:
–  “ADC”àsample every T
–  “DAC”àzero order hold
6.4
COMPUTER
Z.O.H
SYSTEM
 = Ax(t) + Bu(t)
x(t)
6.5
Sampled Data Linear Systems
How does linear system with sampling and zero
order hold look like from computer?
x(t)
 = Ax(t) + Bu(t) A ∈ n×n
B ∈ n×m

y(t) = Cx(t) + Du(t) C ∈ p×n D ∈ p×m

u(t) = uk for all t ∈[kT ,(k + 1)T )
y k
= y(kT )
t ∈[kT ,(k + 1)T )
For
t
x(t) = e A(t−kT )
x(kT ) + ∫ e A(t−τ ) Bu(τ )dτ
kT
6.6
Sampled Data Linear Systems
( ) ⎛ e A((k +1)T −τ ) Bdτ ⎞ uk
(k +1)T
x (k + 1)T = e x(kT ) + ∫
AT
⎝ kT ⎠
= e x(kT ) + ∫ e A(T −τ ) Bdτ ⎞ uk
⎛ T
AT
⎝ 0 ⎠
y(kT ) = Cx(kT ) + Du(kT )
(k +1)T T
∫ Bdτ = ∫ e A(T −τ ) Bdτ
A((k +1)T −τ )
Exercise: Show that e
kT 0
Let xk = x(kT ), uk = u(kT ), yk = y(kT ). Then

T
xk +1 = Axk + Buk with A = e , B = ∫ e A(T −τ ) B d τ
AT
0
yk = Cxk + Duk C = C, D = D
6.7
Discrete Time Linear Systems
Solution: Given x̂0 ∈R n and uk ∈R m , k = 0,1,…, N −1

solution consists of two sequences xk ∈R n ,k = 0,1,…, N
and yk ∈R , k = 0,1,…, N such that:
p
x0 = x̂0
xk +1 = Axk + Buk , k = 0,1,…, N −1
yk = Cxk + Duk , k = 0,1,…, N
6.8
Solution of Discrete Time Linear Systems
k −1
xk = A x̂0 + ∑ A
k k −i−1
Bui
i=0
Exercise: Prove
this by induction
ZIT ZST
ZST: Discrete time convolution of

–  Input
–  State impulse response
6.9
Computation of solution
•  Hard part is computation of (c.f. )
•  If matrix is diagonalizable
⎡ λ k ... 0 ⎤
⎢ 1 ⎥
Λk = ⎢    ⎥
⎢ ⎥
⎢ 0 ... λ k
n ⎥
⎣ ⎦
Definition: The system is called stable if for all ε > 0 there exists
δ > 0 such that x0 ≤ δ ⇒ xk ≤ ε for all k = 0,1,… It is called
asymptotically stable if in addition lim k→∞ xk = 0 . A system that
is not stable is called unstable.
6.10
Stability, diagonalizable matrices
•  If matrix diagonalizable, Ak linear combination of
λi
–  = σ i ± jω i , λi = σ i2 + ω i2 Exercise: Show that if
A is diagonalizable and
–  ∀i, Re ⎡⎣λ1 ⎤⎦ < 0 then
A = e AT
–  is diagonalizable and
∀i, λi < 1 .
– 
Theorem 6.1: System with diagonalizable A matrix is:

•  Stable if and only if ∀i λi ≤ 1
•  Asymptotically stable if and only if ∀i λi < 1
•  Unstable if and only if ∃i : λi > 1
6.11
Stability, non-‐‑diagonalizable matrices

Theorem 6.2: The system is:

•  Asymptotically stable if and only if ∀i λi < 1
•  Unstable if ∃i : λi > 1
•  As before, eigenvalues not enough to determine stability

∀i λi ≤ 1
•  Case may be either stable, or unstable
depending on repetition paêrn of eigenvalues with
λi = 1
(determined by eigenvectors)
•  The analogy to continuous time systems is not always
perfect however!
6.12
Deadbeat response
•  Assume all eigenvalues of A are zero:
•  Then for some (nilpotent matrix)

•  Example:
In general proved
using Jordan form

xk = Ak x0 = 0 for all k ≥ N
•  Then
•  ZIT gets to 0 in finite time and stays there.
•  This never happens with continuous time systems.
6.13
Coordinate change
x̂k = Txk
•  Assume for some invertible
T ∈R n×n
•  In the new coordinates system dynamics are

again linear time invariant
x̂k +1 = Âx̂k + B̂uk
Exercise: Show this
yk = Ĉx̂k + D̂uk
with
Â = TAT −1 , B̂ = TB
−1
Ĉ = CT , D̂ = D
6.14
Energy and Power
•  Consider “energy like” function:
•  “Power”: change of energy in time
•  If (autonomous system)
6.15
Stability and Energy
•  If then energy Exercise: Show that
decreases all the time R=RT

•  Natural to assume that system is stable
Theorem 6.3: for all i=1, 2, …, n if and only
if for all the equation
has a unique solution with .
6.16
Controllability
•  System is controllable if we can steer it from any
x̂0 ∈R n
x̂ N
∈R
initial condition to any final condition
n
using appropriate sequence

•  Assume N ≥ n
•  Define again controllability matrix
P = [B AB 2
A B A n−1
B] ∈R n×nm
Theorem 6.4: The system is

controllable if and only if P has Exercise: Prove this
rank n.
6.17
Observability
•  System is observable if we can infer the state
evolution by observing the
input and output sequences
N ≥ n −1
•  Assume ⎡ C ⎤
•  Define again ⎢ ⎥
⎢ CA ⎥
observability Q = ∈R np×n
⎢  ⎥
matrix ⎢ n−1 ⎥
⎣ CA ⎦
Theorem 6.5: The system is
observable if and only if Q Exercise: Prove this
has rank n.
6.18
z Transform
•  Time function fk converts to a complex variable function F(z)

f :N→ R F :C→ C

∞

fk   Z

Z
 F (z)
−1 
{ } ∑
F (z) = Z f k = fk z −k
k =0
•  We implicitly assume that fk=0 for all k<0 (cf. p.0.22)
•  Can also be defined for matrix valued functions by taking
sum element by element
z ∈C
•  can be thought of as unit time delay
fk z f k +1
6.19
z Transform: Properties
Assumption: The function fk is such that the sum converges
{ }
•  Linearity Z a1 f k + a2 g k = a1F(z) + a2G(z)
Exercise: Prove
{ }
•  Time shift Z f k −k0 = z
− k0
F (z) these
{
•  Convolution Z ( f * g) k = Z } {∑ k
i=0 }
f i g k −i = F (z)G(z)
•  Some common functions:
–  Impulse function Z {δ } = 1
k
(δ 0 = 1, δ k = 0 if k ≠ 0)
z
–  Step function Z {1 } = (1k = 1 k ≥ 0,1k = 0 k < 0)
k
z −1
–  Geometric progression Z {a } k
=
z
z−a
( a < 1)
6.20
Transfer function
•  Assume
•  Take z transform of all signals
(
Y (z) = ⎡C zI − A ) B + D ⎤U (z)
−1
⎢⎣ ⎥⎦
Transfer
Function
Exercise: Show that the transfer function is z-‐‑transform
of “impulse response” (appropriately defined!)
6.21
Transfer function
( )
−1
G(z) = C zI − A B+D
•  Rational function of z.

•  System asymptotically stable Poles of G(z) have
magnitude less
than 1
•  If system uncontrollable/unobservable pole zero
cancellations.

6.22
Simulation
•  Simulation: Numerical solution in computer
•  Simulation of discrete time systems (linear or
non-‐‑linear) is very easy conceptually
•  Discrete time systems can also help understand
the simulation of continuous time systems
•  Consider continuous time, LTI system
 = Ax(t) + Bu(t)
x(t)
•  Given solution is
x̂0 ∈R n , u(⋅) : [0,T ] →  m
x(⋅) : [0,T ] →  n , with
t
x(t) = e (t) x̂0 + ∫ e A(t−τ ) Bu(τ ) d τ
At
0
6.23
Example: RLC circuit (p. 3.18)
R L
⎡ 1 ⎤
⎢ 0 ⎥ ⎡ v (t) ⎤ ⎡ 0 ⎤
+ d ⎡⎢ vC (t) ⎤⎥ ⎢ C ⎥⎢ C ⎥ + ⎢ 1 ⎥ vs (t)
−
vs (t ) C =
dt ⎢ iL (t) ⎥ ⎢ 1 ⎥ ⎢ iL (t) ⎥ ⎢ ⎥
R
⎣ ⎦ ⎢ − − ⎥⎣ ⎦ ⎢⎣ L ⎥⎦
⎣ L L ⎦
•  Solution depends on eigenvalues and eigenvectors

•  Determined by R, L, C
•  Consider autonomous case vs(t)=0 for all t
6.24
For example
w2
w1
R=3W, L=1H, C=0.5F R=3W, L=1H, C=0.005F
λ2 = −2 < −1 = λ1 < 0 λi = −1.5 ± 14.06 j
6.25
For example
R=0W, L=1H, C=0.005F

λi = ±14.14 j
6.26
Numerical approximation
•  Approximate the solution with a sequence
•  Divide the interval in N equal subintervals
•  Let Simulation step
•  We approximate
x((k + 1)δ ) ≈ x(kδ ) + δ x(k
 δ)
= x(kδ ) + δ (Ax(kδ ) + Bu(kδ ))
•  So we set x0 = x(0) = x̂0 , xk = x(kδ ), uk = u(kδ )
xk +1 = (I + Aδ )xk + δ Buk
6.27
Numerical approximation
Integration using Euler method

First order approximation of the equation
6.28
Zero input response
•  Consider autonomous system
•  Solution is
•  First order approximation
•  First order approximation good if “small”

6.29
Stability of numerical approximation
•  How small should the step be?
•  If the eigenvalues of A have negative real part, then
system asymptotically stable and
•  At the very least we would like to guarantee that
the numerical approximation is such that
•  Assume A diagonalizable Eigenvalue
matrix
(diagonal)
Eigenvector
matrix
(invertible)
6.30
Stability of numerical approximation
•  Then Exercise: Prove this
•  Discrete time system asymptotically stable if and

only if xk → 0 ∀x0 ∈R n ⇔ 1+ λiδ < 1 ∀i = 1,…,n
•  For example, if λi are real and negative
2 Exercise: Repeat for
δ< complex eigenvalues
max | λi |
i=1,…,n
6.31
RLC circuit with R=3W, L=1H, C=0.5F
δ = 0.01 δ = 0.05
6.32
RLC circuit with R=3W, L=1H, C=0.5F
«Exact» Numerical
solution approximation Instability!
δ = 0.25 δ = 1.25
λ1 = −1, λ2 = −2 ⇒ δ < 1 for stability

6.33
Simulation
•  Simple first order approximation known as
“forward Euler” method
•  Another approach is “backward Euler”
x = Ax ⇒ xk +1 ≈ xk + δ Axk +1 ⇒ xk +1 ≈ (I − δ A) −1 xk
•  Care also needed when selecting step δ
•  Much beêr methods than Euler exist
–  E.g. Runge-‐‑Kuâ, variable step, high order
–  Specialized methods for “stiff” systems, hybrid
systems, differential-‐‑algebraic systems, etc.
–  Coded in robust numerical tools such as Matlab
6.34

Notes 7: Nonlinear systems
John Lygeros

www.control.ethz.ch
Nonlinear systems
•  Most of this course: Dynamical systems modeled by linear
differential equations in state space form
 = Ax(t) + Bu(t)
x(t) x(t) ∈ n ,u(t) ∈ m , y(t) ∈ p
y(t) = Cx(t) + Du(t) A ∈ n×n , B ∈ n×m ,C ∈ p×n , D ∈ p×m
•  Last few lectures return to more general systems

 = f (x(t),u(t))
x(t) x(t) ∈ n ,u(t) ∈ m , y(t) ∈ p
y(t) = h(x(t),u(t)) f :  n ×  m →  n ,h :  n ×  m →  p
•  Concentrate on continuous time
•  Discrete time can be more complicated
–  E.g. the “Population Dynamics” example in Notes 1 is one
dimensional but can be chaotic
7.2
Nonlinear systems
•  More general than linear system, hence more difficult

•  Concentrate on autonomous, time invariant systems
 = f (x(t))
x(t) ( In the linear case x(t)
 = Ax(t))
•  Assume function f is LipschiP
∃λ > 0,∀x, x̂ ∈R , n
f (x) − f ( x̂) ≤ λ x − x̂
•  This implies existence and uniqueness of solutions
•  In general solution cannot be computed analytically
•  Simulation methods applicable however
•  Look into the following issues
–  Invariant sets
–  Stability of invariant sets
7.3
Invariant sets
•  Generalization of notion of equilibrium
Definition: A set of states S ⊆ R n is called invariant if

∀x0 ∈S,∀t ≥ 0, x(t) ∈S

 = f (x(t))
x(t) means the solution to starting at x
x(t) 0
•  Equilibrium points are an important class of
invariant sets
Definition: A state x̂ ∈R n is called
x̂
Exercise: Prove that if is
an equilibrium if
S = x̂ {}
an equilibrium then
f ( x̂) = 0 is an invariant set
7.4
Equilibria
•  Linear systems have a linear subspace of equilibria
–  Sometimes only xˆ = 0
–  More generally, the null space Exercise: Show that the
of the matrix A
 = Ax(t)
equilibria of
x(t)
coincide with the null

space of A

•  Nonlinear systems can have many isolated equilibria
•  Example: The pendulum from Notes 1 has 2 equilibria
⎡ x2 (t) ⎤
⎢ ⎥ ⎡ 0 ⎤ ⎡ π ⎤ Exercise:
 =⎢ d
x(t) g ⎥ ⇒ x̂ = ⎢ ⎥ , x̂ ' = ⎢ ⎥ Show this
⎢ − m x2 (t) − l sin x1 (t) ⎥ ⎣ 0 ⎦ ⎣ 0 ⎦
⎣ ⎦
(More precisely, number of pendulum equilibria is
infinite, but they all coincide physically with these two)
7.5
Pendulum for d=0
Exercise: Let xk +1 = f (xk )

be a nonlinear system in
discrete time (cf. p.1.27).
The equilibria for this
system are given by
x̂ = f ( x̂)
Show that equilibria are
invariant sets (cf. p.1.29).
7.6
Shifting equilibria to the origin
•  It is often convenient to “shift” an equilibrium to the
origin before analyzing the system behavior
•  This involves a change of coordinates
w(t) = x(t) − x̂ ∈R n
•  In the new coordinates the system becomes
 = f (x(t)) = f (w(t) + x̂) = fˆ (w(t))

 = x(t)
w(t)

•  The system in the new coordinates has an Exercise:
equilibrium at ŵ = 0 ∈R n Show this
7.7
Limit cycles
•  Observed only in systems of dimension 2 or more
Definition: A solution x(t) is called a periodic orbit if
∃T > 0,∀t ≥ 0, x(t + T ) = x(t)
•  Equilibria define trivial periodic orbits Exercise: Show that

•  Limit cycles: Non-‐‑trivial periodic orbits solution starting at
•  Linear systems exhibit either an equilibrium is
–  Trivial periodic orbits (equilibria) periodic
–  Subspaces of periodic orbits, e.g.
⎡ 0 ω ⎤ Exercise: Show this
 =⎢
x(t) ⎥ x(t) system has subspace
⎢⎣ −ω 0 ⎥⎦ of periodic orbits
•  Nonlinear systems can also have non-‐‑trivial, isolated
periodic orbits à Limit cycles
7.8
Example: Van der Pol oscillator
•  Developed as a model for dynamics of vacuum tube
(transistor) circuits
•  Under certain conditions circuits observed to oscillate

•  Van der Pol showed this is due to “nonlinear
resistance” phenomena
•  Second order differential equation
 2 
θ (t) − ε (1− θ (t) )θ (t) + θ (t) = 0
Exercise: Write the equation for the

van der Pol oscillator in state space
form. Hence determine its equilibria.
7.9
Example: van der Pol oscillator, ε=1
Exercise: Let
Stable be a
xk +1 = f (xk )
limit nonlinear system
cycle in discrete time.
How would you
define periodic
orbits and limit
cycles for this
system?
(cf. p.1.28).
Unstable
equilibrium
7.10
Strange aGractors
•  In 2D continuous time equilibria & limit cycles as bad
as it gets (Poincare-‐‑Bendixson Theorem)
•  In higher dimensions stranger things may happen
–  Invariant tori
–  Chaotic aeractors
•  Example: Lorenz equations
–  Developed by E.N. Lorenz
–  To capture atmospheric phenomena
x1 (t) = a(x2 (t) − x1 (t))

x2 (t) = (1+ b)x1 (t) − x2 (t) − x1 (t)x3 (t)
x3 (t) = x1 (t)x2 (t) − cx3 (t)
7.11
Chaotic aGractor
•  For some parameter values, there is a bounded subset
of the state space such that if we start inside we stay
there for ever and
–  Most trajectories go around for ever,
–  Without ever meeting themselves (not limit cycles)
•  Given any two points in this set we can find a
trajectory that starts arbitrarily close to one and ends
up arbitrarily close to the other
•  This set is called a chaotic or strange aeractor
Exercise: Compute Exercise: Simulate the Lorenz

the equilibria of the equations for a=10, b=24, c=2,
Lorenz equations and x0=(-‐‑5, -‐‑6, 20)
7.12
Lorenz aGractor simulation
7.13
Stability
•  Most commonly studied property of invariant sets
•  Trajectories stay close or converge to invariant set
•  Restrict aeention to equilibria
•  Simple characterization for LTI and equilibrium x̂ = 0
–  Systems stable if eigenvalues of A have negative real part
–  Poles of transfer function are in left half of complex plane
Definition: An equilibrium x̂ is called

stable if for all ε > 0 there exists δ > 0 Exercise: Which of the
such that equilibria of the pendulum
(simulation p. 7.6) would you
x0 − x̂ < δ ⇒ x(t) − x̂ < ε ∀t ≥ 0
say are stable and which not?
Otherwise equilibrium called unstable.
7.14
Asymptotic stability
•  Stability says that if we start close we stay close
•  Do we get closer and closer?
Definition: An equilibrium x̂ is called locally asymptotically stable
if it is stable and there exists M > 0 such that
x0 − x̂ < M ⇒ lim x(t) = x̂
t→∞
It is called globally asymptotically stable if this holds for any M >0.
The set of x0 such that lim x(t) = x̂ is called the domain of attraction
t→∞
of x̂
Exercise: What is the Exercise: Is there a
domain of aeraction of a difference between local
globally asymptotically and global asymptotic
stable equilibrium? stability for linear systems?
7.15
Example: Pendulum with d>0
Exercise: Which of the

equilibria would you
say are locally
asymptotically stable?
Which globally?
7.16
Linearization
•  Simple way to study stability of equilibrium of
nonlinear system is to approximate by linear system
 = f (x(t)), f ( x̂) = 0
x(t)
x̂ equilibrium
•  Take Taylor expansion about x̂
f (x) = f ( x̂) + A(x − x̂) + higher order terms in (x − x̂)
= A(x − x̂) + higher order terms in (x − x̂)
⎡ ∂f1 ∂f1 ⎤
⎡ x ⎤ ⎡ ⎤ ⎢ ( x̂)  ( x̂) ⎥
f1 (x1 ,…, xn ) ⎢ ∂x1 ∂xn ⎥
⎢ 1 ⎥ ⎢ ⎥ ⎢ ⎥
x = ⎢  ⎥ , f (x) = ⎢  ⎥, A = ⎢    ⎥ ∈R n×n
⎢ x ⎥ ⎢ f n (x1 ,…, xn ) ⎥ ⎢ ∂f n ∂f n ⎥
⎢⎣ n ⎥⎦ ⎢⎣ ⎥⎦ ⎢ ( x̂)  ( x̂) ⎥
⎢⎣ ∂x1 ∂xn ⎥⎦
7.17
Linearization
δ x(t) = x(t) − x̂ ∈R n
•  Consider distance of x to equilibrium
•  When x close to equilibrium, δx is small and
dδ x(t)
≈ Aδ x(t)
dt
•  So close to equilibrium nonlinear system expected to
behave like a linear system
•  In particular, stability of the linearization should tell
us something about stability of nonlinear system
•  Stability of linearization can be determined just by
looking at the eigenvalues of A
7.18
Stability by linearization
Theorem 7.1: The equilibrium x̂ is

1.  Locally asymptotically stable if the eigenvalues of
the linearization have negative real part
2.  Unstable if the linearization has at least one
eigenvalue with positive real part
•  Called Lyapunov first or Lyapunov indirect method

•  Advantage: Very easy to use
•  Disadvantages:
–  No information about the domain of aeraction
–  Inconclusive if linearization has imaginary/zero eigenvalues
7.19
Pendulum example, d>0
•  Linearization about x̂ = (0,0)
⎡ 0 1 ⎤
dδ x(t) ⎢ ⎥ d g
=⎢ g d ⎥ δ x(t) ⇒ λ + λ + = 0
2
dt − − m l
⎢⎣ l m ⎥⎦
•  Eigenvalues have negative real part, hence
equilibrium locally asymptotically stable
•  Linearization about x̂ = (π ,0)
⎡ 0 1 ⎤
dδ x(t) ⎢ ⎥ d g
=⎢ g d ⎥ δ x(t) ⇒ λ + λ − = 0
2
dt − m l
⎢⎣ l m ⎥⎦
•  At least one eigenvalue has positive real part, hence
equilibrium unstable
7.20
Linearization can be inconclusive
•  Notice that if d=0
–  x̂ = (π ,0)
Linearization about has positive eigenvalue
–  x̂ = (π ,0)
Hence is unstable for nonlinear system
–  x̂ = (0,0)
Linearization about has imaginary eigenvalues
–  x̂ = (0,0)
Stability of not determined from Theorem 7.1
•  It turns out that equilibrium is stable (see fig. on p.7.6)
•  This is not always the case
•  For example, the linearization of both
x(t) = x(t)3 and x(t) = −x(t)3

x̂ = 0
about has one eigenvalue at zero
•  But 0 stable for one system and unstable for the other
7.21
Lyapunov functions
•  In linear systems stability characterized in two ways
–  Eigenvalues of matrix A (Theorems 3.1, 3.2), or poles of the
transfer function (p.5.19)
–  Existence of decreasing energy-‐‑like function (Theorem 4.1)
•  First applies to nonlinear systems, how about second?
•  Properties of energy-‐‑like function for linear systems
1 T
1.  Quadratic function of the state
V (x) = x Qx
2
2.  Q positive definite à V(x)>0 for all x ≠ 0,V (0) = 0
d 1 T
3.  Power also quadratic of the state V (x) = − x Rx
dt 2
4.  R = −( A Q + QA)
T
x≠0
positive definite à V(x) decreases for all
•  For nonlinear systems keep 2 and 4, but allow more

general (non-‐‑quadratic) V(x)
7.22
Lyapunov functions: Stability
Theorem 7.2: Assume there exists an open set S ⊆ R n
with x̂ ∈ S and a differentiable function V (i) : R n → R
1.  V ( x̂) = 0
2.  V (x) > 0, ∀x ∈S with x ≠ x̂
d
3.  V (x(t)) ≤ 0, ∀x ∈S
dt
Then the equilibrium x̂ is stable
•  Called Lyapunov second or Lyapunov direct method
•  Function V(x) known as Lyapunov function
•  Derivative along trajectories known as Lie derivative
d n
∂V d n
∂V
V (x(t)) = ∑ (x(t)) xi (t) = ∑ (x(t)) f i (x(t)) = ∇V (x(t)) f (x(t))
dt i=1 ∂xi dt i=1 ∂xi
7.23
“Proof”: By picture!
{
Sc = x ∈S |V (x) ≤ c }
x̂
S δ
7.24
Example: Pendulum for d=0
•  Recall that linearization could not determine the
xˆ = (0, 0)
stability of when d=0
•  Consider the energy
1
( ) ( )
2

V (x) = m lθ + mgl 1− cos(θ )
2
1 θ l
(
= ml 2 x22 + mgl 1− cos(x1 )
2
)
m
mg
7.25
Example: Pendulum for d=0
V (x)
3
2.5
1.5
0.5
Take check
S = (−π , π ) × R 0
4
theorem conditions
2 1
0.5
0
−2
x1 0
x2
1.  V (0) = 0
−0.5
−4 −1
2.  V (x) > 0 ∀x ≠ 0

d
3.  V (x(t)) = ml 2 x2 (t) x2 (t) + mgl sin(x1 (t)) x1 (t) = 0
dt
Hence the equilibrium is stable
7.26
Lyapunov functions: Asymptotic stability
Theorem 7.3: Assume there exists an open set S ⊆ R n
with x̂ ∈S and a differentiable function V (i) : R n → R
1.  V ( x̂) = 0
2.  V (x) > 0, ∀x ∈S with x ≠ x̂
d
3.  V (x(t)) < 0, ∀x ∈S with x ≠ x̂
dt
Then the equilibrium x̂ is locally asymptotically stable.
If S = R n then it is globally asymptotically stable.
•  Lyapunov functions can help estimate domain of
aeraction. If we can find c > 0 such that
{
x ∈R n |V (x) ≤ c ⊆ S}
then trajectories that start in this set stay in it and
converge to
x̂
7.27
Examples
•  Consider first
 = f (x(t)) = −x(t)3 where x̂ = 0
x(t)
•  Let S = R, V (x) = x 2
∂
•  Clearly V (0) = 0,V (x) > 0 ∀x ≠ 0, V (x) f (x) = −2x 4 < 0 ∀x ≠ 0
∂x
•  Therefore 0 is globally asymptotically stable
•  How about pendulum with d > 0
•  As before consider and V(x) the energy
S = (−π , π ) × R
d
V (x(t)) = ml 2 x2 (t) x2 (t) + mgl sin(x1 (t)) x1 (t) = −dl 2 x2 (t) 2 ≤ 0
dt
x̂ = (0,0)
•  But =0 whenever x2(t)=0 (not only at ),
therefore cannot conclude local asymptotic stability
7.28
La Salle’s Theorem
Theorem 7.4: Assume there exists a compact invariant
set S ⊆ R n and a differentiable function V (i) : R n → R
such that
∇V (x) f (x) ≤ 0 ∀x ∈S
Let M be the largest invariant set contained in the set
{
S = x ∈S ∇V (x) f (x) = 0 ⊆ R n }
Then all trajectories starting in S tend to M as t → ∞
•  “Compact” means bounded and closed

•  If only invariant set in
x̂

{
x ∈S ∇V (x) f (x) = 0 }
then all trajectories starting in S tend to it
7.29
Energy when pendulum
Pendulum with d > 0 stopped upside down
{
•  Take V(x) the energy and S = x ∈R 2 |V (x) ≤ 2mgl − ε }
for any ε > 0 3
Exercise: Show
2
that S is invariant 1
x2 0
−1
−2
−3
•  Recall that
−1 −0.8 −0.6 −0.4 −0.2 0 0.2 0.4 0.6 0.8 1
x1
⎧⎪ ≤ 0 ∀x ∈S
∇V (x) f (x) = −dl x ⎨
2 2
⎪⎩ = 0 when x2 = 0
2
7.30
Pendulum with d > 0
•  Therefore
{
S = x ∈S | x2 = 0 }
•  is the only invariant set contained in
x̂ = (0,0) S,
since x2 ≠ 0 if x2 = 0 but x1 ≠ 0
xˆ = (0, 0)
•  Therefore all trajectories that start in S tend to
xˆ = (0, 0)
•  By Theorem 7.2, is stable
•  Hence, by Theorem 7.4, locally asymptotically stable
•  Moreover, since ε is arbitrary, the domain of
aeraction of (0,0) contains everything except the
other equilibrium (π , 0)
7.31
General comments
•  Theorem 7.4 applies to more general invariant sets
(e.g. limit cycles)
•  Theorems 7.2 and 7.3 also generalize easily
•  Theorem 7.1 slightly harder to generalize
(linearization about trajectories, Poincare maps)
•  Conditions of Theorems 7.2-‐‑7.4 sufficient and not
necessary
•  Finding Lyapunov functions for nonlinear systems an
art not a science. Common choices
–  Energy for mechanical and electrical systems
–  Quadratics (always work for linear systems)
–  Intuition!
7.32

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Signal-­‐‑ und Systemtheorie II

Automatic Control Laboratory, ETH Zürich

• Available sources of online content, diﬀerent purposes

• If it all gets too much, play the SygSys game!

System 1 RS1: What happens when

z-­‐‑transform Laplace Impulse

s = s1 + js2 ∈C | s |= s12 + s22 Im[ s ]

• Deﬁnition of sets {x ∈R 2 | x12 + x22 ≤ 1} -1 1 x1

[a,b] = {x ∈R | a ≤ x ≤ b} (a,b) = {x ∈R | a < x < b}

• Lower case leLers: Vectors/numbers x, u, t, k

Discrete Input at Shorthand

f (a1 x1 + a2 x2 ) = a1 f (x1 ) + a2 f (x2 )

• Convolution of u with ﬁxed function

Exercise: Show that the Laplace transform and

Automatic Control Laboratory, ETH Zürich

2. RLC circuit: Continuous time, continuous state

4. Population dynamics: Discrete time, continuous

• Need to solve Newton’s diﬀerential equation

function [xprime] = pendulum(t,x) θ(t) θ (t)

>> x=[0.75 0];

• For the pendulum, let Exercise: A diﬀerent f(x(t))

Low pass filter

Exercise: Modify the

• Based on our experience with the pendulum

dt R0C0 R1C0 R1C0

1 vin ≈ 0 ⇒ v0 (t) = −vC (t)

• f and h are linear functions of the state and inputs

Exercise: Modify the matlab

Exercise: Why does

Exercise: Derive the energy

Exercise: Repeat for the RLC circuit and pendulum

xk +1 = rxk (1− xk ) = f (xk ) Exercise: Is the function

Exercise: Show that if r ∈[0,4]

While OFF x(t)

Automatic Control Laboratory, ETH Zürich

2 Exercise: Prove 1 and 2. Is the

returns the real number 2. a x, y + b z, y = ax + bz, y

Otherwise they are called linearly dependent.

• Note that the set S is generally an inﬁnite set

• Not subspaces for n=2. Prove that they

basis for a subspace S ⊆ R n if

Fact 2.5: range(A) = span {a1 ,a2 ,…,am }.

Fact 2.7: null(A)=set of vectors

Fact 2.8: rank(A)=number of linearly

Fact 2.9: If an inverse of A exists

Definition: A matrix is called

Fact 2.11: A is invertible if and only if the system of linear

Fact 2.12: A is invertible if and Fact 2.13: A is invertible if and

Exercise: Prove Facts 2.11-2.12

Exercise: Prove Fact 2.16

Aw = λ w. The number λ is then called an eigenvalue of A

• Eigenvalues and eigenvectors are in general complex even

Exercise: Show that this implies that all

Fact 2.17: A is invertible if and

Fact 2.18: If the eigenvalues of A are

Fact 2.19: Symmetric matrices x T Ax > 0 for all x ≠ 0. It is called

where U ∈R n×n and V ∈R m×m are

The elements of Σ are called

 ⎥ ⎢  ⎥ ⎢  ⎥ described by real vectors?

• Number of states, n, is called dimension (or order) of the system

hi (i) : R n × R m × R + → R, yi (t) = hi (x(t),u(t),t), i = 1,, p

• Equations usually come from “laws of nature”

Definition: A system in state

Exercise: Convert the following diﬀerential equation of order r into

Signal-‐‑ und Systemtheorie II

•  Available sources of online content, diﬀerent purposes

•  If it all gets too much, play the SygSys game!

z-‐‑transform Laplace Impulse

•  Deﬁnition of sets {x ∈R 2 | x12 + x22 ≤ 1} -1 1 x1

•  Lower case leLers: Vectors/numbers x, u, t, k

•  Convolution of u with ﬁxed function

2.  RLC circuit: Continuous time, continuous state

4.  Population dynamics: Discrete time, continuous

•  Need to solve Newton’s diﬀerential equation

•  For the pendulum, let Exercise: A diﬀerent f(x(t))

•  Based on our experience with the pendulum

•  f and h are linear functions of the state and inputs

returns the real number 2. a x, y + b z, y = ax + bz, y

•  Note that the set S is generally an inﬁnite set

•  Not subspaces for n=2. Prove that they

•  Eigenvalues and eigenvectors are in general complex even

•  Number of states, n, is called dimension (or order) of the system

•  Equations usually come from “laws of nature”

•  The solution is x(t ) = tan(t ) Exercise: Prove this.

•  So many things can go wrong!

•  Continuous dependence on initial condition

•  LTI systems are linear and time invariant, i.e.

–  The input values u(•) : [0,T ] → 

•  Compute the system solution x(•) : [0,T ] →  n

•  If we can do this, then output y(•) : [0,T ] →  p

•  For simplicity assume input continuous function of time

•  To show that use the

•  Linear function of input

•  Linear function of input

•  Proof: By inspection!

•  General ZST convolution of impulse transition with input

•  So small inputs lead to small states. If in addition

•  Complete response = ZIR + ZSR

•  Input Variable: none

•  Any quadratic with Q that satisﬁes these properties

•  Again time of observation, t, will turn out to play no role

•  Then Ce Aτ (x0 − x̂0 ) = 0, for all τ ∈[0,t]

•  If Q is full rank then the only unobservable state is 0

•  In this case error system is asymptotically stable

B.  Step function L {1} = 1

•  For R=3, C=0.5, L=1

•  Summarizes system input-‐‑output behavior