ECE 550

LINEAR SYSTEM THEORY

LECTURE NOTES

Prof. Mario Edgardo Magaña

EECS
Oregon State University
System Description:
A system N is a device that maps a set of admissible inputs U to a set of
admissible output responses Y.
Mathematically, N: U ⇒ Y or y(•) = N [u(•)].
Alternatively, a system can be described either by differential or difference
equations in the time domain, or by algebraic equations in the complex
frequency domain.
Example: Let us describe the relationship between the input and the output of
the following active filter system:

where vi(t) is the input voltage and v0(t) is the output voltage. 2
Consider the first amplifier. Using nodal analysis,

v1 − vi v1 v1 − v0
+ + + ic1 + ic2 = 0
R1 R2 R6

e1 − v 2
− ic1 + =0
R3
The second amplifier yields
 e 2 − v 2 e2 − v 0
+ =0
R4 R5
Assuming infinite input impedance, we get e1 = e2 = 0 . Hence,

R5
v2 = − R3ic1 and v0 = − v2
R4
Furthermore, the two currents are described by

3
 dvc d dv1
ic = c1 1
= c1 ( v1 − e1 ) = c1
1
dt dt dt

dvc d dv1 dv2

ic = c2 2
= c2 ( v1 − v2 ) = c2 − c2
2
dt dt dt dt
Thus,
dv1 1
v2 = − R3c1
dt
⇒ v1 = −
R3 c1 ∫ v 2 dτ

R5 ⎛ dv1 ⎞ R3 R5 dv1
v0 = −
⎜ 31R c ⎟ = − c1
R4 ⎝ dt ⎠ R4 dt

dv2 R dv
=− 4 0
dt R5 dt

dv1 R4 R4
dt
=−
R3 R5 c1
v0 ⇒ v1 =
R3 R5 c1 ∫ v0 dτ
4
 ⎛ 1 1 1 ⎞ vi v0 d v1 ⎛ d v1 dv2 ⎞
v1 ⎜ + + ⎟ − − + c 1 + c 2 ⎜ − ⎟ = 0
⎝ R1 R2 R 6 ⎠ R1 R6 dt ⎝ dt dt ⎠
In terms of the input and output voltages,

R4 ⎡1 1 1 ⎤ vi v0 R4 R4 c2 ⎡ R4 dv0 ⎤
R3 R5 c1 ∫ v0 dτ ⎢ + + ⎥ − − +
⎣ R1 R2 R6 ⎦ R1 R6 R3 R5
v0 +
R3 R5c1
v0 − c2 ⎢−
⎣ R5 dt ⎦
⎥=0

⎪⎧ R4 ⎡ 1 1 1⎤ 1 dvi ⎡⎛ c2 ⎞ R4 1 ⎤ dv0 R4 c2 d 2 v0 ⎫⎪ R5
⎨ ⎢ + + ⎥ v0 − + ⎢⎜ 1 + ⎟ − ⎥ + 2
= 0⎬
R R c R
⎪⎩ 3 5 1 ⎣ 1 R2 R6⎦ R1 dt ⎣⎝ c R R
1 ⎠ 3 5 R6⎦ dt R 5 dt ⎭⎪ R4

⎡ 1 ⎡1 1 1⎤ R5 dvi ⎡⎛ c2 ⎞ 1 R5 ⎤ dv0 d 2 v0 ⎤1
⎢ ⎢ + + ⎥ v0 − + ⎢⎜ 1 + ⎟ − ⎥ + c2 2 = 0 ⎥
R c R
⎣⎢ 3 1 ⎣ 1 R2 R 6⎦ R R
1 4 dt ⎣⎝ c R
1 ⎠ 3 R R
4 6⎦ dt dt ⎦⎥ c2
or
d 2 v0 ⎡⎛ 1 1 ⎞ 1 R5 ⎤ dv0 1 ⎡1 1 1⎤ R5 dvi
+ ⎢⎜ + ⎟ − ⎥ + ⎢ + + ⎥ v0 =
dt 2 ⎣⎝ c2 c1 ⎠ R3 R4 R6 c2 ⎦ dt R3c1c2 ⎣ R1 R2 R6 ⎦ R1 R4 c2 dt

5
The last differential equation represents the time domain model of the active filter.
In the complex frequency domain, assuming zero initial conditions, the algebraic
relationship between input and output is

R5
s
R1 R4 c2
V0 ( s ) = Vi ( s )
⎡⎛ 1 1 ⎞ 1 R5 ⎤ 1 ⎡1 1 1⎤
s + ⎢⎜ + ⎟ −
2
⎥ s + +
⎢R R R ⎥ +
c
⎣⎝ 2 c R
1 ⎠ 3 R R c
4 6 2⎦ R3c1c2 ⎣ 1 2 6⎦

Since both models assume linear behavior of the active amplifier circuits, we
could also obtain an input-output model in terms of the convolution relationship in
the time domain.

6
Input-Output Linearity:

A system N is said to be linear if whenever the input u1 yields the output N[u1],
the input u2 yields the output N[u2], and

N [c1u1 + c 2 u 2 ] = c1 N [u1 ] + c 2 N [u 2 ]

for arbitrary real or complex constants c1 and c2

Example:
x
fk ( x )

fa (t )

Let the spring force be described by fk(x) = Kx, then

M&x& + Bx& + Kx = f a (t )
f a (t ) is an external force
7
Let fa(t) = fa1(t) + fa2(t) .
Let x1(t) be the solution when fa(t) is replaced by fa1(t) and x2(t) be the solution
when fa(t) is replaced be fa2(t) .
Then,
x(t) =x1(t) + x2(t) .
Let the spring force be now described by fk(x) = Kx2, then

M&x& + Bx& + Kx 2 = f a (t )
This time, however, x(t) ≠ x1(t) + x2(t) , i.e., the linearity property does not hold
because the system is now nonlinear.

Time Invariance and Causality

Let N represent a system and y(•) be the response of such system to the input
stimulus u(•), i.e., y(•) = N[u(•)]. If for any real T, y(• - T) = N[u(• - T)], then the
system is said to be time invariant . In other words, a system is time invariant if
delaying the input by T seconds merely delays the response by T seconds.
8
Let the system be linear and time invariant with impulse response h(t), then
t t
y (t ) = ∫ u(τ )h(t − τ )dτ = ∫ h(τ )u(t − τ )dτ
−∞ −∞
If the same system is also causal, then for t ≥ τ ≥ 0,
t t

∫ ∫
y (t ) = u (τ )h(t − τ )dτ = h(τ )u (t − τ )dτ
0 0

Example: Let a system be described by the ordinary, constant coefficients

differential equation

y ( n ) (t ) + a1 y ( n −1) (t ) + ... + a n −1 y ' (t ) + a n y (t ) = u (t )

then the system is said to be a lumped-parameter system.

Systems that are described by either partial differential equations or linear

differential equations that contain time delays are said to be distributed-
parameter systems.
9
Example: Consider the dynamic system described by

y& (t ) + ay (t − 1) = b0 u (t ) + b1u (t + 1)

According to the previous definition, this is a distributed-parameter system.

Definition: The state of a system at time t0 is the minimum (set of internal

variables) information needed to uniquely specify the system response given
the input variables over the time interval [t0, ∞).

Example:

vi(t): Input voltage

i(t): Current flowing through circuit
y(t): Output variable (current flowing through inductor)
10
For t ≥ t0, i(t0) = i0, y(t) = i(t),

di di R 1
−vi + Ri + L =0⇒ = − i + vi
dt dt L L
And the solution is given by
t −R
1 (t −τ )
i (t ) =
L∫e
t0
L vi (τ )dτ + e−(t −t0 ) i (t0 ) , t ≥ t0

Hence, regardless of what vi(t) is for t < t0, all we need to know to predict the
future of the output y(t) is the initial state i(t0) and the input voltage vi(t), t ≥ t0.

State Models
They are elegant, though practical, mathematical representations of the
behavior of dynamical systems. Moreover,
• A rich theory has already been developed
• Real physical systems can be cast into such a representation
11
Example:

By KVL, for t ≥ t0,

ν R +ν L +ν C = 0
t
di 1
Ri + L +
dt C ∫
i (τ )dτ + ν C (t0 ) = 0
t0
After taking the time derivative of the last equation, we get
d 2 i R di 1
2
+ + i=0
dt L dt LC
12
To solve this homogeneous differential equation, we may proceed as follows:
Let λ1 and λ2 (λ1 ≠ λ2) be the roots of the auxiliary equation

R 1
λ2 + λ+ =0
L LC
then, for t ≥ t0,
i (t ) = C1e λ1 (t −t0 ) + C 2 e λ2 ( t −t0 )

C1 and C2 can be uniquely obtained as follows:

i (t 0 ) = C1 + C 2
di (t )
t =t0 = C1λ1 + C 2 λ 2
dt
di (t )
From the knowledge of i(t0) and vc(t0) we can compute t =t 0
dt
and therefore C1 and C2.

13
Using a state variable approach, let x1(t) = vc(t) and x2(t) = i(t), then for t ≥ t0

dx1 (t ) dvc (t ) 1 1
= = i (t ) = x 2 (t )
dt dt C C

1 ⎛⎜ 1 ⎞
t
dx 2 (t ) di (t ) R ⎟ = − 1 x (t ) − R x (t )
L ⎜⎝ C t∫0
= = − i (t ) − i (τ ) dτ + v (t )
dt dt L
C 0
⎟ L
1
L
2

144424443⎠
or vC ( t )

⎡ 1 ⎤
d ⎡ x1 (t ) ⎤ ⎢ 0 C ⎥ ⎡ x1 (t ) ⎤ , ⎡ x1 (t 0 ) ⎤ ⎡vc (t 0 )⎤
=⎢ ⎢ x (t )⎥ = ⎢ i (t ) ⎥
⎢ ⎥
dt ⎣ x 2 (t )⎦ ⎢− 1 R ⎥ ⎢⎣ x 2 (t )⎥⎦
− ⎥ ⎣ 2 0 ⎦ ⎣ 0 ⎦
⎣ L L⎦

or x& (t ) = Ax (t ) , x (t0 ).
This is a first-order linear, constant coefficient vector differential equation! In
principle, its solution should be easy to find.
14
Specifically, for t ≥ t0 x (t ) = e A(t −t0 ) x (t0 )
The solution to the vector state equation is more elegant, easier to obtain
(provided there is an algorithm to compute eAt) and it specially makes the role
of the initial conditions (state) clear.

Linear State Models for Lumped-Parameter Systems

Consider the system described by the following block diagram

D(t)

x′(t) x(t)
B(t) ∫ C(t)
u(t) y(t)
A(t)

x& (t ) = A(t ) x (t ) + B (t )u(t ) , x (t0 )

Mathematically, for t ≥ 0,
y (t ) = C (t ) x (t ) + D (t ) u(t )
15
where x(t) ∈ Rn is the state vector, u(t) ∈ Rm is the input vector, y(t) ∈ Rr is the
output vector, A(t) ∈ Rnxn is the feedback (system) matrix, B(t) ∈ Rnxm is the
input distribution matrix, C(t) ∈ Rrxn is the output matrix and D(t) ∈ Rrxm is the
feed-forward matrix. Also, A(•), B(•), C(•) and D(•) are piecewise continuous
functions of time.

Definitions:
The zero-input state response is the response x(•) given x(t0) and u(•) ≡ 0.
The zero-input system response is the response y(•) given x(t0) and u(•) ≡ 0.
The zero-state state response is the response x(•) to an input u(•) whenever
x(t0)=0.
The zero-state system response is the response y(•) to an input u(•) whenever
x(t0)=0.
Let yzi(•) be the zero-input system response and yzs(•) be the zero-state system
response, then the total system response is given by y(•) = yzi(•) + yzs(•).

16
Example: input force u ( t )
output position y ( t )

friction force − 3v ( t ) m = 0.5 Kg

velocity v ( t )

Now, − u (t ) + 3v (t ) + 0.5v&(t ) = 0
or v&(t ) = −6v (t ) + 2u (t )
or &y&(t ) = −6 y& (t ) + 2u (t ) , y (t 0 ) , y& (t 0 ) .
Let x1 (t ) = y (t ) and x 2 (t ) = y& (t ) = v(t ) , then for t ≥ t0, the state model is

⎡ x&1 (t ) ⎤ ⎡0 1 ⎤ ⎡ x1 (t ) ⎤ ⎡0⎤ ⎡ x1 (t 0 ) ⎤
x& (t ) = ⎢ ⎥ =⎢ ⎥ ⎢ ⎥ + ⎢ ⎥u (t ) , x(t 0 ) = ⎢ ⎥
⎣ x& 2 (t )⎦ ⎣0 − 6⎦ ⎣ x 2 (t )⎦ ⎣2⎦ ⎣ x 2 (t 0 )⎦
⎡ x1 (t ) ⎤
y (t ) = [1 0] ⎢ ⎥
⎣ x 2 (t )⎦
17
Now, the state solution is given by
t
x(t ) = e A ( t −t 0 )
x(t 0 ) + ∫ e A(t −τ ) Bu (τ )dτ
t0

where for t ≥ t0 = 0, the matrix exponential eAt is described by

⎡ 1 1 −6t ⎤
1 − e ⎥
e At =⎢ 6 6
⎢0 e −6t ⎥
⎣ ⎦

1. Zero-input state response: u(t) = 0, t ≥ 0 and x(0) ≠0.

⎡ 1 1 −6t ⎤ x ⎡ ⎛ 1 1 −6t ⎞ ⎤
1 − e ⎥ 10 ⎡ ⎤ ⎢ 10 ⎜ 6 − 6 e ⎟ x 20 ⎥
x +
x(t )= e x(0) = ⎢
At
6 6 ⎢x ⎥ ⎢ = ⎝ ⎠ ⎥
⎢0 e −6t ⎥ ⎣ ⎦ −6t
⎣ ⎦ 20
⎢⎣ e x 20 ⎥⎦

18
2. Zero-input system response: u(t) = 0, t ≥ 0 and x(0) ≠0.
⎡ ⎛ 1 1 −6t ⎞ ⎤
⎢ 10 ⎜ − e ⎟ x20 ⎥
x + ⎛ 1 1 −6t ⎞
y (t ) = Cx(t ) = Ce At x(0) = [1 0] ⎢ ⎝ 6 6 ⎠ ⎥ 10 ⎜ − e ⎟ x20
= x +
⎢ −6t ⎥ ⎝6 6 ⎠
⎣ e x 20 ⎦
3. Zero-state state response: x(0) = 0.

t t t ⎡ 1 1 −6 ( t −τ ) ⎤ 0
⎡ ⎤
1 − e
x(t ) = ∫ e A( t −τ ) Bu s (τ )dτ = ∫ e A(t −τ ) Bdτ = ∫ ⎢ 6 6 ⎥ ⎢ ⎥ dτ
⎢
0 0 e − 6 ( t −τ ) ⎥ ⎣ 2⎦
0 0
⎣ ⎦

⎡ t ⎛ 1 1 −6(t −τ ) ⎞ ⎤ ⎡ 1
t ⎡1 1 −6(t −τ ) ⎤
− e
⎢∫ ⎜ − e
0⎝
3 3
⎟dτ ⎥ t
⎠ ⎥ ⎢ 3 18
−
1
1 − (
e −6t
)⎤⎥
⎢
=∫ 3 3 ⎥dτ = ⎢ =⎢ ⎥
⎢ ⎥ 1
( )
t
⎢ − 6 ( t −τ ) ⎥ ⎢ − −6t
⎥
⎢ ∫ 2e 1 e
τ
0
⎣ 2e ⎦
− 6 ( t − )
dτ ⎥ ⎣ 3
⎣ 0 ⎦ ⎦

19
4. Zero-state system response: x(0) = 0.

⎡1
t −
⎢ 3 18
1
1 −( e −6t
)⎤⎥
y (t ) = Cx(t ) = [1 0] ⎢ ⎥ =
1
t −
1
(
1 − e −6t
)
⎢
1
(
1 − e −6t ) ⎥ 3 18
⎣ 3 ⎦

For t ≥ 0, the complete state response is then given by

t ⎡ ⎛ 1 1 −6t ⎞ ⎤ ⎡⎢ t −
x + ⎜ − e ⎟ x 20 ⎥ 3 18
1 1
1 − e −6t
( )⎤⎥
x(t ) = e At x(0) + ∫ e A(t −τ ) Bu (τ )dτ = ⎢ 10 ⎝ 6 6 ⎠ ⎥+⎢ 1 ⎥
0
⎢
⎢⎣ e −6t x 20 ⎥⎦ ⎢ (
1 − e −6t ) ⎥
⎣ 3 ⎦
and the complete system response by

⎡ x1 (t ) ⎤
y (t ) = Cx(t ) = [1 0]⎢ ⎥ = x1 (t ) = x10 +
⎛ 1 1 −6t ⎞
⎜ − e ⎟ x 20 +
1
t −
1
(
1 − e −6t )
⎣ x 2 (t )⎦ ⎝6 6 ⎠ 3 18

20
State Models from Ordinary Differential Equations

Let a dynamic system be described by the nth order scalar differential equation
with constant coefficients, i.e.,

y ( n ) + a1 y ( n −1) + ... + a n −1 y& + a n y = bm +1u + bm u& + ... + b1u ( m )

where m ≤ n.
Let the initial energy of the system be zero, then with n = 3 and m = 2,

d 3 y (t ) d 2 y (t ) dy (t ) du (t ) d 2 u (t )
3
+ a1 2
+ a2 + a3 y (t ) = b3 u (t ) + b2 + b1
dt dt dt dt dt 2

Let us implicitly solve this equation, namely,

d 3 y (t ) d 2 y (t ) dy (t ) du (t ) d 2 u (t )
3
= −a1 2
− a2 − a3 y (t ) + b3u (t ) + b2 + b1
dt dt dt dt dt 2
d2 d
= 2 (b1u (t ) − a 1 y (t )) + (b2 u (t ) − a 2 y (t )) + (b3 u (t ) − a3 y (t ))
dt dt 21
Integrating this last equation on step at a time, we get

d 2 y (t ) d
2
= (b1u (t ) − a 1 y (t )) + (b2 u (t ) − a 2 y (t )) + ∫ (b3 u (τ ) − a3 y (τ ))dτ
dt dt t

dy (t ) ⎡ ⎤
= (b1u (t ) − a 1 y (t )) + ∫ ⎢(b2 u (α ) − a 2 y (α )) + ∫ (b3 u (τ ) − a3 y (τ ))dτ ⎥ dα
dt t ⎣ α ⎦
⎧⎪ ⎡ ⎤ ⎫⎪
y (t ) = ∫ ⎨(b1u (σ ) − a 1 y (σ )) + ∫ ⎢(b2 u (α ) − a 2 y (α )) + ∫ (b3 u (τ ) − a3 y (τ ))dτ ⎥ dα ⎬dσ
t ⎪⎩ σ ⎣ α ⎦ ⎪⎭

This is the implicit solution of the original differential equation. This solution is
obtained via nested integration.

To obtain a state variable representation, we need to represent this implicit

solution in block diagram form (traditional analog simulation diagram).

22
Block diagram representation:

x& 1 x& 2 x& 3

If we select the output of the integrators as the state variables. Then

x&1 = −a3 x3 + b3u

x& 2 = x1 − a 2 x3 + b2 u
x& 3 = x 2 − a1 x3 + b1u
y = x3
23
In matrix form,

⎡0 0 − a 3 ⎤ ⎡b3 ⎤
x& = ⎢⎢1 0 − a 2 ⎥⎥ x + ⎢⎢b2 ⎥⎥u = A0 x + B0 u
⎢⎣0 1 − a1 ⎥⎦ ⎢⎣ b1 ⎥⎦

y = [0 0 1]x = C 0 x

This is the so-called observable canonical form representation.

Alternative state variable representation:
Let us apply the Laplace transform to the original scalar ordinary differential
equation, assuming zero initial conditions, i.e.,

⎧ d 3 y (t ) d 2 y (t ) dy (t ) du (t ) d 2 u (t ) ⎫
L⎨ 3
+ a1 2
+ a2 + a3 y (t ) = b3 u (t ) + b2 + b1 2 ⎬
⎩ dt dt dt dt dt ⎭

or (s 3
) ( )
+ a1 s 2 + a 2 s + a 3 Y ( s ) = b3 + b2 s + b1 s 2 U ( s )
24
In transfer function form,

Y (s)
= 3
(
b3 + b2 s + b1 s 2
=
)
b1 s −1 + b2 s −2 + b3 s −3
U ( s) ( )
s + a1 s + a 2 s + a3 1 + a1 s −1 + a 2 s − 2 + a3 s −3
2

Let us rewrite the last equation as follows:

Y ( s) Y ( s) Yˆ ( s ) ⎛ 1 ⎞
= = ( b1s −1 + b2 s −2 + b3 s −3 ) ⎜ −3 ⎟
U ( s ) Yˆ ( s ) U ( s ) ⎝ 1 + a1 s −1
+ a2 s −2
+ a3 s ⎠

Yˆ ( s ) 1
where =
U ( s ) 1 + a1 s −1 + a 2 s − 2 + a3 s −3
Y (s)
and = b1 s −1 + b2 s − 2 + b3 s −3
Yˆ ( s )

Observation:
The overall transfer function is a cascade of two transfer functions.

25
Each of the transfer functions can be expressed in block diagram form, i.e.,
U (s) + Yˆ ( s ) s −1Yˆ ( s ) s −2Yˆ ( s ) s −3Yˆ ( s )
1 1 1
_ _Σ _ s s s

a1

a 2

a 3

+ Σ Y ( s)

+ +

b1 b2 b3

Yˆ ( s )
1 1 1
s s s
s −1Yˆ ( s ) s −2Yˆ ( s ) s −3Yˆ ( s )

Observation: the term s-1 in the complex frequency domain corresponds to an

integrator in the time domain. 26
Putting the two diagrams together yields, y (t )
+ Σ
+ +

b1 b2 b3

u (t ) + x&3 x3 x& 2 x2 x&1 x1

1 1 1
Σ
___ s s s

a1

a 2

a 3

Again, choosing the outputs of the integrators as the state variables, we get
x&1 = x 2
x& 2 = x3
x& 3 = −a3 x1 − a 2 x 2 − a1 x3 + u
27
y = b3 x1 + b2 x 2 + b1 x3
In matrix form,

⎡ 0 1 0 ⎤ ⎡0 ⎤
x& = ⎢⎢ 0 0 1 ⎥⎥ x + ⎢⎢0 ⎥⎥ u = Ac x + Bc u
⎣⎢ −a3 −a2 −a1 ⎦⎥ ⎣⎢1 ⎦⎥

y = [b3 b2 b1 ] x = Cc x

This form of the state equation is the so-called controllable canonical form.
Observation:
Both canonical forms are the dual of each other.
Consider the controllable canonical form of some linear time invariant dynamic
system, i.e.,
x& c = Ac xc + Bc u
y = C c xc

28
Then the observable canonical form is given by

x& 0 = AcT x0 + C cT u ⎫
⎬ ⇒ A0 = Ac
T
, B 0 = C T
c and C 0 = BcT
y = BcT x0 ⎭

Controllability and Observability (a conceptual introduction):

Suppose now that the initial conditions of an nth order scalar ordinary differential
equation are not equal to zero. How do we build the state models such that their
responses will be the same as that of the original scalar model?

Method 1: Given the nth order scalar differential equation

y ( n ) + a1 y ( n −1) + ... + a n −1 y& + a n y = bn +1u + bn u& + ... + b2 u ( n −1) + b1u ( n )

with state model

x& (t ) = Ax(t ) + Bu (t )
y (t ) = Cx (t ) + Du (t )
29
where x(t) ∈ Rn, u(t), y(t) ∈ R, A,B,C and D are constant matrices of appropriate
dimensions.

Objective: Determine the initial state vector x(0)=[x1(0) … xn(0)]T from the initial
conditions y (0), y& (0),..., y ( n −1) (0) and the input initial values u (0), u& (0),..., u ( n −1) (0)

In the derivation of both observable and controllable canonical forms from an

ordinary linear differential equation with scalar constant coefficients we found that
D = 0, hence,

y (0) = Cx (0)
y& (0) = Cx& (0) = CAx (0) + CBu (0)
&y&(0) = C&x&(0) = CAx& (0) + CBu& (0) = CA 2 x(0) + CABu (0) + CBu& (0)
M
y ( n −1) (0) = CA n −1 x(0) + CA n − 2 Bu (0) + CA n −3 Bu& (0) + L + CABu ( n −3) (0) + CBu ( n − 2 ) (0)

30
In matrix form,

⎡ y (0) ⎤ ⎡ C ⎤ ⎡ 0 0 L L 0 ⎤ ⎡ u ( 0) ⎤
⎢ y& (0) ⎥ ⎢ CA ⎥ ⎢ CB 0 L L 0⎥⎥ ⎢⎢ u& (0) ⎥⎥
⎢ ⎥ ⎢ ⎥ ⎢
Y (0) = ⎢ &y&(0) ⎥ = ⎢ CA 2 ⎥ x(0) + ⎢ CAB CB O O M ⎥ ⎢ u&&(0) ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥⎢ ⎥
⎢ M ⎥ ⎢ M ⎥ ⎢ M M O O M ⎥⎢ M ⎥
⎢⎣ y ( n −1) (0)⎥⎦ ⎢⎣CA n −1 ⎥⎦ ⎢⎣CA n − 2 B CA n −3 B L CB 0⎥⎦ ⎢⎣u ( n −1) (0)⎥⎦
= Θx(0) + TU (0)
where Θ ∈ Rnxn, T ∈ Rnxn.
To get a unique solution x(0) for the last algebraic equation, it will be necessary
that the matrix Θ be non-singular, i.e.,
x(0) = Θ-1[y(0) – TU(0)].

The existence of Θ-1 is directly related to the property of observability of a system.

Hence, to uniquely reconstruct the initial state x(0) from input and output
measurements, the system must be observable, i.e., Θ-1 must exist. In fact, Θ is
31
called the observability matrix.
Method 2: Suppose now that instead of using the input-output measurements to
reconstruct the state at time t = 0 we use impulsive inputs to change the value of
the state instantaneously,
Let
x& (t ) = Ax (t ) + Bu (t ), t ≥ 0 −
with x(0-) = x0, A ∈ Rnxn, B ∈ Rn, describe an nth order scalar differential
equation and
u (t ) = ξ 0δ (t ) + ξ1δ& (t ) + L + ξ n −1δ ( n −1) (t )

Clearly, u(t) is described by a linear combination of impulsive inputs.

We know that for t ≥ 0--
t
x(t ) = e x(0 ) + ∫ e A(t −τ ) Bu (τ )dτ
At −

0−
t
= e At x(0− ) + ∫ e A(t −τ ) B ⎡⎣ξ0δ (τ ) + ξ1δ&(τ ) + L + ξ n −1δ ( n −1) (τ ) ⎤⎦ dτ
0−

32
But, the ith term in the integral can be rewritten as
t t
t
∫ −
e A(t −τ ) Bδ (i ) (τ )dτ = e A(t −τ ) Bδ (i −1) (τ )
0−
+ e At ∫ e− Aτ ABδ (i −1) (τ )dτ
0 0− t
t
= e A(t −τ ) ABδ (i − 2) (τ ) ∫ e− Aτ A2 Bδ (i − 2) (τ )dτ
At
+e
0−
0−
M
t
t
= e A(t −τ ) Ai −1 Bδ (τ )
0−
+ e At ∫ e − Aτ Ai Bδ (τ )dτ = e At Ai B
0−
Therefore, x(t) is given by

x (t ) = e At x (0 − ) + e At Bξ 0 + e At ABξ 1 + L + e At A n −1 Bξ n −1

{
= e At x (0− ) + ⎡ B AB L An −1 B ⎤ ξ%
⎣ ⎦ }
~
where ξ = [ξ 0 ξ1 L ξ n −1 ]T

33
At time t = 0+, we get

x (0 + ) = x (0 − ) + ⎡ B AB L An −1 B ⎤ ξ% = x (0 − ) + Qξ%
⎣ ⎦
where Q is the so-called controllability matrix.
Clearly, an impulsive input that will take the state from x(0-) to x(0+) will exist if
and only if the inverse of Q exists, namely,

ξ = Q −1 [x(0 + ) − x(0 − )]
~

Digital Simulation of State Models

Dynamic systems are nonlinear in general, therefore, let us begin with the
following nonlinear time-varying dynamic system which is described by

x& (t ) = f (t , x(t ), u (t )), x(t 0 ) = x0

y (t ) = g (t , x(t ), u (t ))
34
Objective: We would like to know the behavior of the system over the time
interval t ∈ [t0, tn] for a given initial state x(t0) and input u(t), t ∈ [t0, tn].

In principle, for t ∈ [t0, tn],

t
x(t ) = x(t 0 ) + ∫ f (τ , x(τ ), u (τ ))dτ
t0

However, to compute the integral analytically is very difficult in most cases.

Let’s examine the following numerical approximations to the integral. Let n = 10.

Case 1 (forward Euler formula):

35
In this case,
t10

∫ f (τ , x(τ ), u(τ ))dτ ≈ (t

t0
1 − t 0 ) f 0 + (t 2 − t1 ) f1 + L + (t10 − t 9 ) f 9

Over one time interval,

tk

∫ f (τ , x(τ ), u(τ ))dτ ≈ (t

t k −1
k − t k −1 ) f k −1

At time tk,
x(t k ) ≅ x(t k −1 ) + (t k − t k −1 ) f (t k −1 , x(t k −1 ), u (t k −1 ))

Case 2 (backward Euler formula):

36
For the kth time interval,
tk

∫ f (τ , x(τ ), u (τ ))dτ ≈ (t
t k −1
k − t k −1 ) f k

t10

Therefore, ∫ f (τ , x(τ ), u (τ ))dτ ≈ (t

t0
1 − t 0 ) f 1 + (t 2 − t1 ) f 2 + L + (t10 − t 9 ) f 10
and the approximate solution is given by

x(t k ) ≅ x(t k −1 ) + (t k − t k −1 ) f (t k , x(t k ), u (t k ))

Case 3 (trapezoidal rule):

37
 In this case the integral is approximately equal to
t10
( f 0 + f1 ) ( f + f2 ) ( f + f10 )
∫
t0
f (τ , x(τ ), u (τ ))dτ ≈ (t1 − t 0 )
2
+ (t 2 − t1 ) 1
2
+ L + (t10 − t 9 ) 9
2

Therefore, the solution at time tk is approximately equal to

1
x(t k ) ≈ x(t k −1 ) + (t k − t k −1 )[ f (t k −1 , x(t k −1 ), u (t k −1 )) + f (t k , x(t k ), u (t k ))]
2
Example: Obtain an approximate solution of the following linearized pendulum
state model at equally spaced time instants, tk – tk-1 = 0.5.

⎡ x&1( t ) ⎤ ⎡ x2 ( t ) ⎤
⎢ x& ( t )⎥ = ⎢− 4 x ( t )⎥
⎣ 2 ⎦ ⎣ 1 ⎦
⎡ π⎤
with initial conditions ⎡ 1 ⎤ ⎢− ⎥
x (0)
⎢ x (0) ⎥ = ⎢ 40 ⎥
⎣ 2 ⎦
⎣ 0 ⎦
38
Forward Euler Method:

⎡ x1( t k ) ⎤ ⎡ x1( t k −1 ) ⎤ ⎡ x2 ( t k −1 ) ⎤ ⎡ x1( t k −1 ) + 0.5 x2 ( t k −1 )⎤

⎢ x ( t )⎥ ≅ ⎢ x ( t )⎥ + 0.5⎢− 4 x ( t )⎥ = ⎢ x ( t ) − 2 x ( t ) ⎥
⎣ 2 k ⎦ ⎣ 2 k −1 ⎦ ⎣ 1 k −1 ⎦ ⎣ 2 k −1 1 k −1 ⎦

Backward Euler Method:

⎡ x1( t k ) ⎤ ⎡ x1( t k −1 ) ⎤ ⎡ x2 ( t k ) ⎤ ⎡ x1( t k −1 ) + 0.5 x2 ( t k )⎤

≅
⎢ x ( t )⎥ ⎢ x ( t )⎥ + 0.5 ⎢− 4 x ( t )⎥ = ⎢ x ( t ) − 2 x ( t ) ⎥
⎣ 2 k ⎦ ⎣ 2 k −1 ⎦ ⎣ 1 k ⎦ ⎣ 2 k −1 1 k ⎦

Trapezoidal Rule Method:

⎡ x1( t k ) ⎤ ⎡ x1( t k −1 )⎤ ⎡ x2 ( t k ) + x2 ( t k −1 ) ⎤
≅
⎢ x ( t )⎥ ⎢ x ( t )⎥ + 0 .5 ( t k − t )
k −1 ⎢ ⎥
⎣ 2 k ⎦ ⎣ 2 k −1 ⎦ ⎣− 4 x1( t k ) − 4 x1( t k −1 )⎦
⎡ x1( t k −1 ) + 0.25( x2 ( t k ) + x2 ( t k −1 ))⎤
=⎢ ⎥
x
⎣ 2 k −1 ( t ) − ( x (
1 k t ) + x ( t
1 k −1 )) ⎦

39
Linear Discrete-Time Systems
Implementation of dynamic systems is actually done using digital devices like
computers and/or DSPs. Moreover, there are some naturally occurring processes
which are discrete-time. Hence, it is convenient to model such systems as
discrete-time systems.

In most cases, the system is discretized at time t = tk. This is illustrated in the
figure below (a sampled-data system).

u(t) u(tk) y(t) y(tk)

h(t)
t=tk t=tk

40
Consider a linear, discrete-time system described by

u(tk) h(tk) y(tk)

Since the system is linear, its behavior is described by the convolution relation.
Let tk = kT, then ∞
y (kT ) = ∑ h(kT − nT )u (nT )
n = −∞

Let u(kT) = δ(kT), the unit sample, i.e.,

⎧1, k = 0
δ (kT ) = ⎨
⎩0, otherwise
then, ∞
y (kT ) = ∑ h(kT − nT )δ (nT ) = h(kT )
n = −∞

is called the unit sample response.

41
Let the system be causal, i.e., h(kT) = 0, k < 0 then
k
y (kT ) = ∑ h(kT − nT )u (nT )
n = −∞

In addition, if u(kT) = 0 for k < 0, then

k
y (kT ) = ∑ h( kT − nT )u (nT )
n =0

State representation of discrete-time dynamic systems:

Consider a linear discrete-time dynamic system described by the difference
equation

y (k + n) + a1 y (k + n − 1) + a 2 y (k + n − 2) + L + a n −1 y (k + 1) + a n y (k )

= bm +1u (k ) + bm u (k + 1) + L + b1u (k + m)

where the sampling interval has been normalized, i.e., T = 1 sec.

42
 If we now replace differentiations with forward shift operators and integrators with
backward shift operators then we can construct the same type of canonical
realizations that we built for continuous-time systems.

Example: Let n = 3, m = 2 and y(0) = y(1) = y(2) = u(0) = u(1) = u(2) = 0, then

y (k + 3) = b1u (k + 2) − a1 y (k + 2) + b2 u (k + 1) − a 2 y (k + 1) + b3 u (k ) − a 3 y (k )

Let us apply the backwards shift operator to this equation one at a time:

q −1 y (k + 3) = y (k + 2) = b1u (k + 1) − a1 y (k + 1) + b2 u (k ) − a 2 y (k ) + q −1 [b3 u ( k ) − a3 y (k )]

{
q −1 y (k + 2) = y ( k + 1) = b1u ( k ) − a1 y ( k ) + q −1 [b2 u ( k ) − a 2 y ( k )] + q −1 [b3 u ( k ) − a 3 y ( k )] }
{ {
q −1 y (k + 1) = y ( k ) = q −1 [b1u ( k ) − a1 y ( k )] + q −1 [b2 u (k ) − a 2 y ( k )] + q −1 [b3 u ( k ) − a 3 y (k )] }}
The solution y(k) can now be computed implicitly using a simulation block
diagram.
43
Simulation diagram implementation:

Using the outputs of the shift operators as the state variables, we get

x1 (k + 1) = −a3 x3 (k ) + b3 u (k )
x 2 (k + 1) = x1 (k ) − a 2 x3 (k ) + b2 u (k )
x3 (k + 1) = x 2 (k ) − a1 x3 (k ) + b1u (k )
y ( k ) = x3 ( k )
44
In matrix form,

⎡0 0 − a 3 ⎤ ⎡b3 ⎤
x(k + 1) = ⎢⎢1 0 − a 2 ⎥⎥ x(k ) + ⎢⎢b2 ⎥⎥u (k )
⎢⎣0 1 − a1 ⎥⎦ ⎢⎣ b1 ⎥⎦

y (k ) = [0 0 1]x(k )

In general, a discrete-time system can be represented by (assuming T = 1)

x( k + 1) = Ax ( k ) + Bu ( k )
y (k ) = Cx (k ) + Du (k )
where x(k) ∈ Rn, u(k) ∈ Rm, y(k) ∈ Rr, A, B, C and D are constants matrices of
appropriate dimensions.

As in the continuous-time case, we can reconstruct the state from input-output

measurements.

45
Iteratively,
y (k ) = Cx(k ) + Du (k )
y (k + 1) = Cx(k + 1) + Du (k + 1) = CAx(k ) + CBu (k ) + Du (k + 1)
y (k + 2) = Cx( k + 2) + Du (k + 2) = CA 2 x(k ) + CABu (k ) + CBu (k + 1) + Du (k + 2)
M
y (k + n − 1) = CA n −1 x(k ) + CA n − 2 Bu (k ) + CA n −3 Bu (k + 1) + L + CBu (k + n − 2) + Du (k + n − 1)

In matrix form,

⎡ y (k ) ⎤ ⎡ C ⎤ ⎡ D 0 0 L 0 ⎤ ⎡ u (k ) ⎤
⎢ y (k + 1) ⎥ ⎢ CA ⎥ ⎢ CB D 0 L 0 ⎥⎥ ⎢⎢ u (k + 1) ⎥⎥
⎢ ⎥ ⎢ ⎥ ⎢
y (k ) = ⎢ y (k + 2) ⎥ = ⎢ CA 2 ⎥ x(k ) + ⎢ CAB CB D M ⎥ ⎢ u ( k + 2) ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥⎢ ⎥
⎢ M ⎥ ⎢ M ⎥ ⎢ M M O O 0 ⎥⎢ M ⎥
⎢⎣ y (k + n − 1)⎥⎦ ⎢⎣CA n −1 ⎥⎦ ⎢⎣CA n − 2 B CA n −3 B L CB D ⎥⎦ ⎢⎣u (k + n − 1)⎥⎦
= ϕx(k ) + Tu (k )
46
If ϕ has full rank, then x(k) = ϕ-# [y(k)-Tu(k)], i.e., if the system is observable then
we can reconstruct the state at time k using input, output measurements up to time
k+n-1, where ϕ-# is the pseudoinverse of ϕ.

Solution of the discrete-time state equation

Iteratively,
x(1) = Ax(0) + Bu (0)
x(2) = Ax(1) + Bu (1) = A 2 x(0) + ABu (0) + Bu (1)
x(3) = Ax(2) + Bu (2) = A 3 x(0) + A 2 Bu (0) + ABu (1) + Bu (2)
x(4) = Ax(3) + Bu (3) = A 4 x(0) + A 3 Bu (0) + A 2 Bu (1) + ABu (2) + Bu (3)
M
k −1
x(k ) = A x(0) + ∑ A k −l −1 Bu (l )
k

l =0
and
⎡ k −1 k −l −1 ⎤
y (k ) = CA x(0) + C ⎢∑ A
k
Bu (l )⎥ + Du (k )
⎣ l =0 ⎦
47
From the last equation,

x(k + n) − A n x(k ) = QU (k )
where Q is the controllability matrix

Q = [B AB L A n−1 B ]
and
⎡ u (k + n − 1) ⎤
⎢u (k + n − 2)⎥
U (k ) = ⎢ ⎥
⎢ M ⎥
⎢ ⎥
⎣ u ( k ) ⎦
To assure the existence of an input such that the state of the system can reach a
desired state at time k+n given the value of the sate at time k, the following
relationship must be satisfied

U (k ) = Q − # ⎡⎣ x(k + n) − An x(k ) ⎤⎦ where Q − # is the pseudo inverse of Q

In other words, the system must be controllable. 48

Linearization of Nonlinear Systems
Consider the following scalar nonlinear system

x(t) g(·) y(t)

where g(·):ℜ⇒ℜ.
Let the nominal operating point be x0 and let N be a neighborhood of it,
i.e., N = {x ∈ ℜ: a < x < b} and a < x0 < b. If the function g(·) is analytic
on N, i.e., it is infinitely differentiable on N, then for Δx∈ℜ such that
x0+Δx∈N, we get the following Taylor series expansion
dg 1 d2g
g ( x0 + Δx) = g ( x0 ) + x = x0 ⋅ Δx + x = x0 ⋅ Δx 2 +L
dx 2! dx 2
For small Δx,
dg dg
y = g ( x0 + Δx) ≅ g ( x0 ) + x = x0 ⋅ Δx = y0 + x = x0 ⋅ Δx
dx dx

49
Therefore, the linear approximation of a nonlinear system y = g(x) near
the operating point x0 has the form
dg
y − y0 = x = x0 ⋅ Δx
dx
or Δy = y − y0 ≅ m Δx

dg
where m= x = x0
dx

Example: Consider a semiconductor diode described by

⎛i ⎞
v = v0 ln ⎜ + 1⎟ = g (i )
⎝ is ⎠
where vo=ηvt.
In this case, ⎛ ⎞
dg ⎜ 1 ⎟ ⎛1⎞ v0
m= i =i0 = vo ⎜ ⎟ ⋅⎜ ⎟ i0 = = rd
di ⎜ i + 1 ⎟ ⎝ is ⎠ i0 + is
⎜i ⎟
⎝ s ⎠
50
 v0
The linearized model is then given by Δv = mΔi = Δi = rd Δi
i0 + is
Using the parameters η = 2, vt = 0.026 V, is = 1 nA, i0 = 0.05 A, v0 = 0.92 V,
rd = 18.44 Ω, we get the following linear approximation:

0.9

0.8

0.7

0.6
v in Volts

0.5

0.4

0.3

0.2

0.1

0
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
i in Amps 51
If, on the other hand, y=g(x1,x2,…,xn), then if g(·) is analytic on the set
N={x∈ℜn:a<||x||<b}, x0∈N and x0+Δx∈N, x0=[x10,…,xn0]T,

∂g ( x ) ∂g ( x )
y = g ( x10 ,L , xn 0 ) + x = x0 ⋅ Δx1 + L + x = x0 ⋅ Δxn + higher order terms
∂x1 ∂xn
= g ( x0 ) + ∇ g ( x ) x = x0 ⋅ Δx + higher order terms

⎡ ∂g ( x ) ∂g ( x ) ∂g ( x ) ⎤
where ∇g ( x ) ≡ ⎢ L ⎥
⎣ ∂x1 ∂x2 ∂xn ⎦

Systems with memory:

I. Scalar Case. Consider a system described by
x& (t ) = f ( x(t ), u (t ), t ) , x(t0 ) = x0 , x(t ), u (t ) ∈ ℜ for t ≥ t0

Suppose xn(t) is the system response resulting from a nominal

operating point un(t) with initial state xn(t0) = x0 ∈ℜ

52
In other words, x&n (t ) = f ( xn (t ), un (t ), t ) , xn (t0 ) = x0 , for t ≥ t0

Assume that we know xn(t). Perturb the state and the input by taking x(t0)
= x0 + Δx0 and u(t) = un(t0) + Δu(t).
We want to find the solution to

x& (t ) = f ( xn (t ) + Δx(t ), un (t ) + Δu (t ), t ) , x(t0 ) = xn (t0 ) + Δx0 , for t ≥ t0

For fixed values of t, and f(·) an analytic function on some neighborhood
of xn(t) and un(t), we get

f ( xn (t ) + Δx(t ), un (t ) + Δu (t ), t ) = f ( xn (t ), un (t ), t )
⎡ Δx(t ) ⎤
+∇f ( x, u , t ) x = xn ⋅⎢ ⎥ + higher order terms
u = un ⎣ Δu (t ) ⎦
⎡ ∂f ∂f ⎤
where ∇f ( x , u , t ) = ⎢
⎣ ∂x ∂u ⎥⎦

53
 ∂f ( x(t ), u (t ), t ) ∂f ( x(t ), u (t ), t )
Let a (t ) ≡ x = xn and b(t ) ≡ x = xn
∂x u = un ∂u u = un

Then
dx(t ) dxn (t ) d Δx(t )
= + ≅ f ( xn (t ), un (t ), t ) + a (t )Δx(t ) + b(t )Δu (t )
dt dt dt
d Δx(t )
Therefore, ≅ a (t )Δx(t ) + b(t )Δu (t ) , Δx(t0 ) = Δx0
dt
Example: Let x& (t ) = − x 2 (t ) + u (t ) , x(t0 ) = x0

2
Clearly, f ( x (t ), u (t ), t ) = − x (t ) + u (t )
Now,
∂f ( x(t ), u (t ), t )
a (t ) ≡ x = xn = −2 xn (t )
∂x u = un

54
 ∂f ( x(t ), u (t ), t )
and b(t ) ≡ x = xn =1
∂u u = un

d Δx(t )
So, ≅ − 2 xn (t )Δx(t ) + Δu (t ) , Δx(t0 ) = Δx0
dt
Let un (t ) = 0, t ≥ 1 and xn (t0 ) = xn (1) = 1, then

dxn (t )
= − xn2 (t ) , xn (1) = 1
dt
dxn (t ) 1 1
− 2 = dt ⇒ + c1 = t + c2 ⇒ c1 = c2 and xn (t ) = , t ≥ 1
xn (t ) xn (t ) t
Finally,

d Δx(t ) 2
≅ − Δx(t ) + Δu (t ) , Δx(1) = Δx0 , t ≥ 1
dt t
55
II. Vector Case. Consider now the case of a system described by the following
nonlinear vector differential equation:

x& (t ) = f ( x (t ), u(t ), t ) , x (t0 ) = x0 , x (t ) ∈ ℜn , u(t ) ∈ ℜm for t ≥ t0

The ith element of the vector differential equation is described by

x& i (t ) = fi ( x (t ), u(t ), t ) , x (t0 ) = x0 , x (t ) ∈ ℜn , u(t ) ∈ ℜm for t ≥ t0

Moreover,

fi ( xn (t ) + Δx (t ), un (t ) + Δu(t ), t ) = fi ( xn (t ), un (t ), t )
⎡ Δx (t ) ⎤
+∇fi ( x, u, t ) x = xn ⋅⎢ ⎥ + higher order terms
u = un ⎣ Δu(t ) ⎦

where ∇fi ( x, u, t ) = ⎡⎣∇ x fi ( x , u, t ) ∇ u fi ( x, u, t ) ⎤⎦

56
 ⎡ ∂fi ∂fi ∂fi ⎤
and ∇ x fi ( x , u, t ) = ⎢ L ⎥
⎣ ∂x1 ∂x2 ∂xn ⎦

⎡ ∂fi ∂fi ∂fi ⎤

∇ u fi ( x, u, t ) = ⎢ L ⎥
⎣ ∂u1 ∂u2 ∂um ⎦
or

⎡ ⎤ ⎡ ⎤
⎢∇ x f1 ( x , u, t ) x = xn ⎥ ⎢∇ u f1 ( x, u, t ) x = xn ⎥
⎢ u = un ⎥ ⎢ u = un ⎥
⎡ Δx1 ⎤ ⎢ ⎥ ⎡ Δx1 ⎤ ⎢ ⎥ ⎡ Δu1 ⎤
⎢ Δx ⎥ ⎢∇ f ( x, u, t ) ⎥⎢ ⎥ ⎢ ⎥⎢ ⎥
d ⎢ 2⎥ ⎢ x 2 x = xn ⎥ ⎢ Δx2 ⎥ ⎢∇ u f 2 ( x , u, t ) x = xn ⎥ ⎢ Δ u 2⎥
=⎢ u = un ⎥ +
⎢
dt M ⎥ ⎢ M ⎥ ⎢ u = un ⎥
⎢ M ⎥
⎢ ⎥ ⎢ M ⎥⎢ ⎥ ⎢ M ⎥⎢ ⎥
Δ
⎣ n⎦x ⎢ ⎥ ⎣ Δxn ⎦ ⎢ Δ
⎥⎣ m⎦u
⎢ ⎥ ⎢ ⎥
⎢∇ x f n ( x , u, t ) x = xn ⎥ ⎢∇ u f n ( x, u, t ) x = xn ⎥
⎢⎣ u = un ⎥
⎦ ⎣⎢ ⎥
u = un ⎦

57
Finally, if the outputs of the nonlinear system are of the form
y (t ) = g ( x (t ), u(t ), t ) , y (t ) ∈ ℜ p

Then
⎡ ⎤ ⎡ ⎤
⎢ ∇ x g1 ( x , u, t ) x = xn ⎥ ⎢ ∇ u g1 ( x, u, t ) x = xn ⎥
⎢ u = un ⎥ ⎢ u = un ⎥
⎡ Δy1 ⎤ ⎢ ⎥ ⎡ Δx1 ⎤ ⎢ ⎥ ⎡ Δu1 ⎤
⎢ Δy ⎥ ⎢ ⎥⎢ ⎥ ⎢ ∇ g ( x, u, t ) ⎥⎢ ⎥
∇
⎥=⎢ x 2 g ( x , u, t ) x = xn ⎥ ⎢ Δ x2⎥ ⎢ u 2 x = xn ⎥ ⎢ Δ u
Δy (t ) = ⎢ 2⎥
2
+
⎢ M ⎥ ⎢ u = un ⎥
⎢ M ⎥ ⎢ u = un ⎥
⎢ M ⎥
⎢ ⎥ ⎢ M ⎥⎢ ⎥ ⎢ M ⎥⎢ ⎥
Δy
⎢⎣ p ⎥⎦ ⎢ Δ
⎥⎣ n⎦ ⎢
x Δ
⎥⎣ m⎦u
⎢ ⎥ ⎢ ⎥
⎢∇ x g p ( x, u, t ) x = xn ⎥ ⎢∇ u g p ( x, u, t ) x = xn ⎥
⎢⎣ u = un ⎥
⎦ ⎢⎣ ⎥
u = un ⎦

58
Example: Suppose we have a point mass in an inverse square law force field,
e.g., a gravity field as shown below

orbit

θ(t)
r(t)
m
u1(t)
u2(t)

where r(t) is the radius of the orbit at time t

θ(t) is the angle relative to the horizontal axis
u1(t) is the thrust in the radial direction
u2(t) is the thrust in the tangential direction
m is the mass of the orbiting body 59
From the laws of mechanics and assuming m = 1kg, the total force in the radial
direction is described by
2
d 2 r (t ) ⎡ dθ (t ) ⎤ K
= r (t ) ⎢ ⎥ − + u1 (t )
dt 2 ⎣ dt ⎦ 2
r (t )

and the total force in the tangential direction is

d 2θ (t ) 2 ⎡ dθ (t ) ⎤ ⎡ dr (t ) ⎤ 1
=− ⎢ ⎥ ⎢ ⎥ + u2 (t )
dt 2 r (t ) ⎣ dt ⎦ ⎣ dt ⎦ r (t )
Select the states as follows:
dr (t ) dθ (t )
x1 (t ) = r (t ) , x2 (t ) = , x3 (t ) = θ (t ) , and x4 (t ) =
dt dt
Then, x&1 (t ) = x2 (t )
K
x&2 (t ) = x1 (t ) x42 (t ) − + u1 (t )
x12 (t )

60
 x&3 (t ) = x4 (t )
x2 (t ) x4 (t ) 1
x&4 (t ) = −2 + u2 (t )
x1 (t ) x1 (t )
Which implies that
⎡ x2 ⎤
⎢ K ⎥
⎢ x1 x4 −
2
+ u1 ⎥
⎢ x12 ⎥
f ( x (t ), u(t ), t ) = ⎢ ⎥.
⎢ x4 ⎥
⎢ x2 x4 u2 ⎥
⎢ −2 + ⎥
⎣⎢ x1 x1 ⎦⎥

For a circular orbit and u1n(t) = u2n(t) = 0 and t0 = 0, we have

xn (t ) = ⎡⎣R 0 ω0 t ω0 ⎤⎦ T , t ≥ 0

61
 dθ n (t ) K
where rn(t) = R and = ω0 = 3
.
dt R
Linearizing about xn(t) and un(t), yields

∇ x f1 ( x, u, t ) x = xn = [ 0 1 0 0]
u = un

⎡ 2 2K ⎤ x = xn
∇ x f 2 ( x , u, t ) = ⎢ x4 + 3 0 0 2 x1 x4 ⎥ = ⎡3ω02 0 0 2 Rω0 ⎤
x = xn ⎣ ⎦
u = un ⎣⎢ x1 ⎦⎥ u = un

∇ x f3 ( x, u, t ) x = xn = [ 0 0 0 1]
u = un

⎡ 2 x2 x4 − u2 x x2 ⎤ x = xn ⎡ ω ⎤
∇ x f 4 ( x , u, t ) x = xn =⎢ −2 4 0 −2 ⎥ = ⎢ 0 −2 0 0 0⎥
u = un ⎣⎢ x12 x1 x1 ⎦⎥ u = un ⎣ R ⎦

62
Likewise, ∇ u f1 ( x , u, t ) x = xn = [ 0 0]
u = un

∇ u f 2 ( x , u, t ) x = xn = [1 0]
u = un

∇ u f3 ( x, u, t ) x = xn = [ 0 0]
u = un

⎡ 1⎤ ⎡ 1⎤
∇ u f 4 ( x, u, t ) = ⎢0 ⎥ = ⎢0
R ⎥⎦
x = xn x = xn
u = un ⎣ x1 ⎦ u = un ⎣
In state form,

⎡ 0 1 0 0 ⎤ ⎡0 0⎤
⎢ 2 ⎥ ⎢1
⎢3ω0 0 0 2 Rω0 ⎥ ⎢ 0 ⎥⎥
Δx = ⎢ 0 0 0 1 ⎥ Δx + ⎢ 0 0 ⎥ Δu
⎢ ⎥ ⎢ ⎥
⎢ ω0 ⎥ ⎢0 1⎥
⎢⎣ 0 −2 0 0 ⎥ ⎢⎣
R ⎦ R ⎥⎦
63
Existence of solution of differential equations
Consider the following unforced, possibly nonlinear dynamic system described by
x& (t ) = f (t , x (t )) ⊗
where x(t0) = x0, x(t) ∈ Rn and f(•,•):RxRn → Rn.
Then the state trajectory φ(• ; t0, x0) is a solution to ⊗ over the time interval [a,b] if
and only if φ(t0; t0, x0) = x0 and φ&(t ; t0 , x0 ) = f (t , φ (t ; t0 , x0 )) for all t ∈ [a,b].

Def. Let D ⊂ RxRn be a connected, closed, bounded set. Then the function f(t,x)
satisfies a local Lipschitz condition at t0 on D with respect to (t0, x) ∈ D if there
exists a finite constant k ∋ f (t0 , x1 ) − f (t0 , x2 ) 2
≤ k x1 − x2 2 ∀ (t0,x1), (t0,x2) ∈ D,
where k is the Lipschitz constant.

64
Global Existence and Uniqueness:

Assumptions:
1. S ⊂ R+ ≡ [0, ∞) contains at most a finite number of points per unit interval.
2. For each x ∈ Rn, f(t, x) is continuous at t ∉ S.
3. For each ti ∈ S, f(t, x) has finite left and right hand limits at t = ti.
4. f(•,•) : R+xRn → Rn satisfies the global Lipschitz condition, i.e., there exists a
piecewise continuous function k(•):R+→R+ such that

f (t , x1 ) − f (t , x2 ) 2 ≤ k (t ) x1 − x2 2

for all t ∈ R+ and all x1, x2 ∈ Rn.

Theorem: Suppose that assumptions (1) – (4) hold. Then for each t0 ∈ R+ and x0
∈ Rn there exists a unique continuous function φ(•; t0, x0) : R+ → Rn such that
(a) φ&(t ; t0 , x0 ) = f (t ,φ (t ; t0 , x0 )) and (b) φ( t0; t0, x0) = x0, ∀ t ∈ R+ and t ∉ S.
By uniqueness we mean that if φ1 and φ2 satisfy conditions (a) and (b) then
φ1(t; t0, x0) = φ2(t; t0, x0) ∀ t ∈ R+.
65
Consider now the unforced, linear, time-varying system

x& (t ) = A(t ) x (t ) , x(0) = x0

where A(t) ∈ Rnxn and its components aij(t) are piecewise continuous.

Theorem: If A(•) is piecewise continuous, then for each initial condition x(0), a
solution φ(•; 0, x0) to the equation exists and is unique.

Proof: Define the sets Dj = [j – 1, j) for j = 1, 2, ….

∞
Then, + ,
U j
D = R
j =1

Since A(•) is piecewise continuous on R+, it must be piecewise continuous for

each t ∈ Dj, j = 1, 2, …. Therefore, for arbitrary x1, x2 ∈ Rn ,

A(t ) x1 − A(t ) x 2 2
= A(t )( x1 − x 2 ) 2 ≤ A(t ) ∞,D j
x1 − x 2 2

66
for all Dj, j = 1, 2, …
Let k (t ) = A(t ) ∞ , D , ∀ t ∈ R+, then A(t ) x1 − A(t ) x2 2 ≤ k (t ) x1 − x2 2, where k(t) is a
j
piecewise continuous function for t ∈ R+. Therefore, for each x(0) ∈ Rn, a unique
solution φ(•; 0, x0) to exists.

Example: Verify that the differential equation

⎡− 2t 1⎤
&x(t ) = ⎢ ⎥ x(t )
⎣ −1 − t⎦

with initial condition x(0) = [1 0]T has a unique solution.

First of all, all the entries of A(t) are continuous functions of time.

But, A(t ) ∞
= 1 + 2t = k (t ) ⇒ A(t ) x1 − A(t ) x 2 2
≤ (1 + 2t ) x1 − x2 2

which implies that there exists a unique solution since k(t) = 1 + 2t is continuous ∀ t
∈ R +.
Consider now the linear time-varying unforced dynamic system described by

⊗ 67
Theorem: Let A(t) ∈ Rnxn be piecewise continuous. Then the set of all solutions of

forms an n-dimensional vector space over the field of the real

numbers.

Proof: Let { η1, η2, …, ηn} be a set of linearly independent vectors in Rn, i.e.,
~
α 1η1 + α 2η 2 + L + α nη n = 0 , if and only if αi = 0, i = 1, 2, …, n; and φi(•) be the
solutions of ⊗ with initial conditions φi(t0) = ηi, i = 1, 2, …, n.

Suppose that the φi’s, i = 1, 2, …, n are linearly dependent, then ∃ αi ∈ R, i = 1, 2, …,

n, such that ∀ t ∈ R+.
~
α 1φ1 (t ) + α 2φ 2 (t ) + L + α nφ n (t ) = 0
At t = t0 ∈ R+,

⇒ the ηi’s are linearly dependent, which is an outright contradiction of the

hypothesis that the ηi’s are linearly independent. Therefore, the φi’s are linearly
independent for all t ∈ R+.
68
Let φ be any solution of ⊗ and φ(t0) = η. Since the ηi’s are linearly independent
vectors in Rn, η can be uniquely represented by
n
η = ∑ α iη i
n

∑ α φ (t
i =1
But, is a solution of ⊗ with initial condition i i 0 ) =η
i =1
This is because

d ⎛ n ⎞ n n n
⎜ ∑ α i φ i (t ) ⎟ = ∑ α i φ&i (t ) = ∑ α i A(t )φ i (t ) = A(t )∑ α i φ i (t )
dt ⎝ i =1 ⎠ i =1 i =1 i =1

In other words, the linear combination

satisfies the differential equation ⊗.

Therefore, φ(•) = implies that every solution of ⊗ is a linear

combination of the basis of solutions φi(•), i = 1, 2, …, n, i.e., the set of all solutions
of ⊗ forms an n-dimensional vector space.
69
Example: Consider the dynamical system described by

⎡0 0 ⎤
&x(t ) = ⎢ ⎥ x(t )
⎣ t 0 ⎦
⎡1⎤ ⎡0 ⎤
Let the vectors η1 and η2 be described by η1 = ⎢ ⎥ and η 2 = ⎢ ⎥ .
⎣0 ⎦ ⎣1 ⎦

⎡ 1 ⎤ ⎡0 ⎤
Then, φ1 (t ) = ⎢ t 2 ⎥ and φ 2 (t ) = ⎢ ⎥ are two independent solutions to the system
1
⎢⎣ 2 ⎥⎦ ⎣1⎦
with initial conditions φ1(0) = η1 and φ2(0) = η2.

Therefore, any solution φ(t) will be given by

∀ αi ∈ R, i = 1, 2.

70
Def. The state transition matrix of the differential eq. is given by

where the φi’s, i = 1, 2, …, n are the basis solutions, ηi = [0 … 0 1 0 … 0]T.

Properties of the state transition matrix:
1. Φ(t0, t0) = I

Proof: Recall that

φi (t0 ; t0 ,ηi ) = ηi = [ 0 L 0 1 0 L 0]
T

Thus Φ(t0, t0) = I.

2. Φ(t, t0) satisfies the differential eq. M& (t ) = A(t ) M (t ) , M(t0) = I, M(t) ∈ Rnxn.

Proof: The time derivative of the state transition matrix is given by

d
dt
[
Φ (t , t 0 ) = φ&1 (t ; t 0 , η1 ) φ&2 (t ; t 0 , η 2 ) L φ&n (t ; t 0 , η n ) ]
However,
φ&i (t ; t 0 , η i ) = A(t )φ i (t ; t 0 , η i )
71
Therefore,
& (t , t 0 ) = [ A(t ) φ1 (t ; t 0 ,η1 )
Φ A(t )φ 2 (t ; t 0 ,η 2 ) L A(t )φ n (t ; t 0 ,η n )]

= A(t )[φ1 (t ; t 0 , η1 ) φ 2 (t ; t 0 , η 2 ) L φ n (t ; t 0 , η n )] = A(t )Φ (t , t 0 )

Also, from part (1), Φ(t0, t0) = I.

3. Φ(t, t0) is uniquely defined.

Proof: Since each φi is uniquely determined by A(t) for each initial condition ηi
then Φ(t, t0) is also uniquely determined by A(t).

Proposition: The solution to , x(t0) = x0 is x(t) = Φ(t, t0)x0 ∀ t.

Proof: At t = t0, Φ(t0, t0)x0 = Ix0 = x0.
& (t , t 0 ) = A(t )Φ (t , t 0 ).
We already know that Φ
& (t , t 0 ) x 0 = A(t )Φ (t , t 0 ) x 0
Therefore, Φ

In other words, Φ (t , t 0 ) x0 , satisfies the differential equation.

72
If ∀ t and t0, A(t) has the following commutative property:

⎛t ⎞ ⎛t ⎞
⎜ ⎟ ⎜
A(t ) ∫ A(τ )dτ = ∫ A(τ )dτ ⎟ A(t )
⎜t ⎟ ⎜t ⎟
⎝0 ⎠ ⎝0 ⎠
Then, t

∫ A(τ ) dτ
Φ (t , t0 ) = et0

Example: Compute the state transition matrix Φ(t, t0) for the differential equation,

⎡− 1 e 2t ⎤
x& (t ) = ⎢ ⎥ x(t )
⎣ 0 − 1⎦
We can show that

t t ⎡
t −t
A(t ) ∫ A(τ )dτ = ∫ A(τ )dτ A(t ) = ⎢ 0
⎛1
( ) ⎞⎤
− ⎜ e 2t − e 2t0 + (t − t0 )e 2t ⎟⎥
⎢ ⎝2 ⎠⎥
t0 t0
⎣ 0 t − t0 ⎦

73
Hence,
t
2 3
∫ A(τ ) dτ t
1⎛
t ⎞ 1⎛t ⎞
Φ (t , t0 ) = et0 = I + ∫ A(τ )dτ + ⎜ ∫ A(τ )dτ ⎟ + ⎜ ∫ A(τ )dτ ⎟ + L
t0
2! ⎜⎝ t0 ⎟ 3! ⎜ t
⎠ ⎝0
⎟
⎠
⎡ (t − t0 )2 ⎤
⎡1 0⎤ ⎡− (t − t0 ) 1 e 2t − e 2t0 ( )
⎤ ⎢
1
(
− (t − t0 ) e 2t − e 2t0 )
⎥
=⎢ ⎥ +⎢ 2 ⎥ + ⎢ 2! 2! ⎥+
⎣0 1⎦ ⎢⎣ 0 − (t − t0 ) ⎥ ⎢
⎦ 0
(t − t0 )2 ⎥
⎢⎣ 2! ⎥⎦

⎡ − (t − t0 )3 3 (t − t0 ) 2t 2t0
2
⎤
⎢
3! 2 3!
e −e ( ) ⎥
⎢ ⎥ +L
− (t − t0 )
3
⎢ 0 ⎥
⎢⎣ 3! ⎥⎦
and
1 1
Φ11 (t , t0 ) = 1 − (t − t0 ) + ( t − t 0 ) 2 − ( t − t 0 ) 3 + L = e − ( t −t 0 )
2! 3!

74
Φ12 (t , t0 ) = (
1 2t
2
1
) ( )
e − e 2t0 − e 2t − e 2t0 (t − t0 ) +
2!
3 1 2t
2 3!
( )
e − e 2t0 (t − t0 ) 2 − L

Finally,

Φ 22 (t , t0 ) = Φ11 (t , t0 ) = e − (t −t0 )

Hence, the state transition matrix is given by

⎡ −(t −t0 )
Φ (t , t0 ) = ⎢
e
2
(
1 t + t0
e − e −t +3t0 )⎤⎥
⎢ 0 e −(t −t0 ) ⎥
⎣ ⎦

We can see that the norm of the state transition matrix blows up as time t goes to
infinity, therefore, the system is unstable. 75
 t

Theorem: A(t) and ∫ A(τ )dτ

t0
commute if

1. A(•) is constant

2. A(t) = α(t)M, α(•) : R → R and M is a constant matrix

k
3. A(t ) = ∑ α i (t ) M i , αi(•) : R → R and the Mi’s are constant matrices such that
i =1
MiMj = MjMi ∀ i, j.

Proof:

(1) If A(•) is a constant matrix, i.e., A(•) = A, then

t t
A∫ Adτ = A2 ∫ Idτ = A2 (t − t0 ) = (t − t0 ) A2
t0 t0

t t

∫ τ = ∫ τ = −
2 2
Ad A Id A (t t 0 ) A
t0 t0

(2) If A(t) = α(t)M, then

76
But,
t t t t

∫ τ τ = ∫ α τ τα = ∫ α τ τ α = α ∫ α τ τ 2
A( ) d A(t ) ( ) Md (t ) M I ( ) d M (t ) M (t ) ( ) d M
t0 t0 t0 t0
k
(3) If A(t ) = ∑α (t ) M
i =1
i i then

k k t k k t
= ∑ ∑ α i (t ) M i ∫ α j (τ )dτM j =∑ ∑ α i (t ) ∫ α j (τ )dτ M i M j
i =1 j =1 i =1 j =1
But, t0 t0

t ⎛t k ⎞⎛ k ⎞ ⎛ k t ⎞⎛ k ⎞
⎜ t∫ ∑ ∑ ∑ ∑
⎜ ⎟ ⎜ ⎟
∫t A(τ ) dτ A(t ) = α j (τ ) M j dτ
⎟
⎜ α i (τ ) M i ⎟ =
⎜ ∫ α j (τ ) d τ M j
⎟
⎜ α i (τ ) M i ⎟
0 ⎝ 0 j =1 ⎠⎝ i =1 ⎠ ⎝ j =1 t0 ⎠⎝ i =1 ⎠
k k t k k t
= ∑∑ ∫ α j (τ )dτ M jα i (t ) M i = ∑∑ α i (t ) ∫ α j (τ )dτ M j M i
j =1 i =1 t0 j =1 i =1 t0

77
and, if MiMj = MjMi ∀ i, j (i ≠ j), then
t t
A(t ) ∫ A(τ )dτ = ∫ A(τ ) dτ A(t )
t0 t0

Corollary: If A(t) satisfies condition (3) of the previous theorem, then

t

k ∫
M i α i (τ ) dτ

Φ (t , t0 ) = ∏ e t0

i =1
t t

∫
Proof: Since A(t ) A(τ )dτ =
t0
∫ A(τ )dτ A(t ) when A(t) satisfies condition (3), then
t0

∫ A(τ ) dτ
Φ (t , t0 ) = e t0

But, t t
⎛ k ⎞ k

k ∫ ∑⎜
⎜
α i (τ ) M i ⎟ dτ
⎟ ∑ ∫ αi (τ ) dτM i
A(t ) = ∑α i (t ) M i ⇒ Φ(t , t0 ) = e t0 ⎝ ⎠
=e
i =1 i =1 t0

i =1

78
or, t t t t

∫ α1 (τ ) dτM1 ∫ α 2 (τ ) dτM 2 ∫ α k (τ ) dτM k k ∫

M i α i (τ ) dτ

Φ(t , t 0 ) = e t0
⋅e t0
Le t0
= ∏e t0

i =1

Def. Any nxn matrix M(t) satisfying the matrix differential equation M& (t ) = A(t ) M (t ) ,
M(t0) = M0, where det(M0) ≠0 is a fundamental matrix of solutions.

Theorem: If det(M0) ≠0 then det(M(t)) ≠ 0 ∀ t ∈ R+

Proof: (By contradiction) Suppose there exists t1 ∈ R+ such that det(M(t1)) = 0.
Let v = [v1 v2 … vn]T ≠ 0 such that M(t1)v = 0 and x(t) = M(t)v be the solution to the
vector differential equation , x(t1) = 0. Notice also that z(•) ≡ 0 is a
solution to z& (t ) = A(t ) z (t ) , z(t1) = 0. By the uniqueness theorem we conclude that
x(t) = z(t) everywhere A(t) is piecewise continuous.
But, z(t0) = x(t0) = M(t0)v = 0 ⇒ det(M0) = 0, which is a contradiction. Hence,
det(M(t)) ≠ 0 ∀ t, i.e., M(t) is nonsingular ∀ t.

79
Def. Let M(t) be any fundamental matrix of . Then, ∀ t ∈ R+, the state
transition matrix of is given by, Φ(t,t0) = M(t)M-1(t0).

Theorem (Semigroup Property): For all t1, t0 and t, we have Φ(t,t0) = Φ(t,t1) Φ(t1,t0).

Proof: We know from the existence and uniqueness theorem that

x(t) = Φ(t,t0)x(t0) for any t,t0 (a)
x(t1) = Φ(t1,t0)x(t0) for any t1,t0 (b)
and x(t) = Φ(t,t1)x(t1) for any t,t1 (c)
are solutions to the differential equation with initial conditions x(t0)
and x(t1). But, from (c) and (b)
x(t) = Φ(t,t1)x(t1) = Φ(t,t1) Φ(t1,t0)x(t0) (d)

Comparing (a) and (d) leads us to conclude that

Φ(t,t0) = Φ(t,t1) Φ(t1,t0) for any t, t1 and t0.

Theorem (The Inverse Property): Φ(t,t0) is nonsingular ∀ t, t0 ∈ R+ and Φ-1(t,t0) =

Φ(t0,t). 80
Proof: Since Φ(t,t0) is a fundamental matrix of , then it is nonsingular
for all t, t0 ∈ R+.
Now, from the semigroup property we know that for arbitrary t0, t1, t ∈ R+ ,
Φ(t,t0) = Φ(t,t1) Φ(t1,t0).
For t0 = t, we get,
Φ(t,t) = I = Φ(t,t1) Φ(t1,t) ⇒ Φ-1(t,t1) = Φ(t1,t) and since t1 is arbitrary we have that
Φ-1(t,t0) = Φ(t0,t).
t

∫ tr ( A(τ ) )dτ
Theorem (Liouville formula): det[Φ (t , t 0 )] = e t0

Consider now the linear, time-varying dynamic system modeled by

x& (t ) = A(t ) x (t ) + B (t )u (t ) ⊗
y (t ) = C ( t ) x ( t ) + D ( t ) u ( t )
with x(t0) = x0 .
Theorem: The solution to the state equation ⊗ is given by
t
x(t ) = Φ (t , t0 ) x0 + ∫ Φ (t ,τ ) B(τ )u (τ )dτ
81
t0
where
1. Φ(t,t0)x0 is the zero-input state response, and
t
2. ∫ Φ(t ,τ ) B(τ )u (τ )dτ is the zero-state state response.
t0

Proof: At t = t0, the solution to the differential equation is given by

t0

x(t0 ) = Φ (t0 , t0 ) x0 + ∫ Φ (t0 ,τ ) B(τ )u (τ )dτ = x0

t0

d ⎡ ⎤
t t
∂
Now, ⎢Φ (t , t0 ) x0 + ∫ Φ (t ,τ ) B(τ )u (τ )dτ ⎥ = Φ
& (t , t ) x +
0 0 ∫ Φ (t ,τ ) B(τ )u (τ )dτ
dt ⎢⎣ t0 ⎥⎦ ∂t t0
t
∂
= A(t )Φ (t , t0 ) x0 + Φ (t , t ) B (t )u (t ) + ∫ Φ (t ,τ ) B (τ )u (τ )dτ
t0
∂t
t t
since ∂ f (t ,τ )dτ = f (t ,τ ) + ∂ f (t ,τ )dτ
∂t t∫0 τ =t ∫t ∂t
0

82
Hence,
t
d
[•] = A(t )Φ(t , t0 ) x0 + B(t )u (t ) + ∫ A(t )Φ(t ,τ ) B(τ )u (τ )dτ
dt t0

⎡ t ⎤
= A(t ) ⎢Φ(t , t0 ) x0 + ∫ Φ(t ,τ ) B(τ )u (τ )dτ ⎥ + B(t )u (t ) = A(t ) x(t ) + B(t )u (t )
⎢⎣ t0 ⎥⎦
The complete response should be given by
t
y (t ) = C (t )Φ(t , t0 ) x0 + C (t ) ∫ Φ(t ,τ ) B (τ )u (τ )dτ + D(t )u (t )
t0

Let us now consider the time-invariant case, i.e., A(t) = A, B(t) = B, C(t) = C and
D(t) = D, where A, B, C and D are constant matrices.

Theorem: The state transition matrix of the time-invariant state model is

Φ (t , t 0 ) = Φ (t − t 0 ,0) = e A( t −t0 )

83
 t
Proof: Since A and ∫ Adτ
t0
commute, we have that

∫ Adτ
Φ (t , t 0 ) = e t0 = exp[ A(t − t 0 )] = Φ (t − t 0 ,0) = Φ (t − t 0 )

The complete state and system responses are now given by

t t
x (t ) = e A ( t −t0 )
x0 + ∫ e A ( t −τ )
Bu (τ )dτ = e A ( t −t0 )
x0 + e At
∫ Bu(τ )dτ
e − Aτ

t0 t0
t
y (t ) = Ce A(t −t0 ) x0 + Ce At ∫ e − Aτ Bu (τ )dτ + Du (t )
t0

This follows from the fact that Φ(t,t0) = M(t)M-1(t0) since we can always let

M(t) = eAt, i.e.,

M (t ) M −1 (t0 ) = e At (e At0 ) −1 = e At ⋅ e − At0 = e A( t −t0 )

84
Def. If A is an nxn matrix, λ ∈ C, e ∈ Cn and the equation
Ae = λe, e ≠0
is satisfied, then λ is called an eigenvalue of A and e is called an eigenvector of A
associated with λ. Also, the eigenvalues of A are the roots of its characteristics
polynomial, i.e.,

π A (λ ) = det(λI − A) = λn + a1λn−1 + L + an−1λ + an = (λ − λ1 )(λ − λ2 ) L (λ − λn )

The set σ(A) = {λ1, λ2,…, λn} is called the spectrum of A. The spectral radius of A is
the non negative real number

ρ ( A) = max{λi : λi ∈ A}
The right eigenvector ei of A associated with the eigenvalue λi satisfies the
equation Aei = λiei, whereas the left eigenvector wi ∈ Cn of A associated with λi
satisfies the equation wi*A = λiwi*, where (•)* designates the complex conjugate
transpose of a vector. If λ ∈ σ(A) and λ is complex then λ*∈ σ(A). The eigenvectors
associated with λ and λ* will be e and e*, respectively.

85
Example: Find the right eigenvectors of the matrix

⎡− 2 − 5 − 5⎤
A = ⎢⎢ 1 − 1 0 ⎥⎥
⎢⎣ 0 1 0 ⎥⎦
The characteristic polynomial of A is given by
π A (λ ) = det(λI − A) = λ3 + 3λ2 + 7λ + 5 = (λ + 1)(λ2 + 2λ + 5)
Therefore, its spectrum is described by σ(A) = {-1, -1 - j2, -1 + j2}
Now,
~
Ae~i = λi e~i ⇒ (λi I − A)e~i = 0
or
⎡λi + 2 5 5⎤
⎢ − 1 λ + 1 0 ⎥ e~ = ~
⎢ i ⎥ i 0
⎢⎣ 0 − 1 λi ⎥⎦

For λ1 = -1, we get

86
 ⎡1 5 5⎤
⎢− 1 0 0 ⎥ e~ = ~
⎢ ⎥ 1 0
⎢⎣ 0 − 1 − 1⎥⎦
or
e11 + 5e12 + 5e13 = 0
− e11 = 0 ⇒ e11 = 0
− e12 − e13 = 0 ⇒ e12 = −e13

let e13 = 1, then e12 = -1, then e1 = [0 − 1 1]

~ T

For λ2 = -1 – j2,

⎡1 − j 2 5 5 ⎤
⎢ − 1 − j2 0 ⎥ e~ = ~
⎢ ⎥ 2 0
⎢⎣ 0 − 1 − 1 − j 2⎥⎦

87
or
(1 − j 2)e21 + 5e22 + 5e23 = 0
− e21 − j 2e22 = 0 ⇒ e21 = − j 2e22
− e22 − (1 + j 2)e23 = 0 ⇒ e22 = −(1 + j 2)e23

let e23 = 1, then e22 = -1 – j2, e21 = -j2(-1 – j2) = -4 + j2

and e~2 = [− 4 + j 2 − 1 − j 2 1]
T

Finally, e~3 = (e~ *2 ) = [− 4 − j 2 − 1 + j 2 1]

T

Theorem: Let A be an nxn constant matrix. Then A is diagonalizable if and only if

there is a set of n linearly independent vectors, each of which is an eigenvector of
A.

Proof: If A has n linearly independent eigenvectors e1, e2, … , en, form the
nonsingular matrix T = [e1 e2 … en].

88
Now, T-1AT = T-1[Ae1 Ae2 … Aen] = T-1[λ1e1 λ2e2 … λnen]
= T-1[e1 e2 … en]D = T-1TD = D
where D = diag [λ1, λ2, … , λn], and λi, i = 1, 2, … , n are the eigenvalues of A.
Conversely, suppose there exists a matrix T such that T-1AT = D is diagonal. Then
AT = TD.
Let T = [t1 t2 … tn], then
AT = [At1 At2 … Atn] = [t1d11 t2d22 … tndnn] = TD ⇒ Ati = diiti, which implies
that the ith column of T is an eigenvector of A associated with the eigenvalue dii.
Since T is nonsingular, there are n linearly independent eigenvectors.
Now, if A is diagonalizable, then eAt = TeDtT-1 because

e At = eTDT
−1
t
= I + TDT −1t +
1
(
2!
)2 1
(
3!
3
)
TDT −1 t 2 + TDT −1 t 3 + L

= I + TDT −1t +
1
2!
( )( )
TDT −1 TDT −1 t 2 +
1
3!
( )( )( )
TDT −1 TDT −1 TDT −1 t 3 +L
1 1
= I + TDT −1t + TD 2T −1t 2 + TD 3T −1t 3 + L
2! 3!
⎡ 1 1 ⎤
= T ⎢ I + Dt + D 2 t 2 + D 3t 3 + L⎥ T −1 = Te Dt T −1
⎣ 2! 3! ⎦ 89
 ⎡− 2 − 5 − 5⎤
Example: For the given A = ⎢ 1 − 1 0 ⎥ matrix, compute eAt.
⎢ ⎥
⎢⎣ 0 1 0 ⎥⎦
We already know that σ(A) = {-1, -1 - j2, -1 + j2}. Now,

⎡ 0 − 4 + j 2 − 4 − j 2⎤
T = ⎢⎢− 1 − 1 − j 2 − 1 + j 2 ⎥⎥
⎢⎣ 1 1 1 ⎥⎦

The inverse of T is

⎡2 2 10 ⎤
1⎢
T −1 = ⎢− 1 − 1 + j 2 − 1 − j 2⎥⎥
8
⎢⎣− 1 1 + j 2 − 1 − j 2⎥⎦

90
Therefore,
⎡− 1 0 0 ⎤
D = ⎢⎢ 0 − 1 − j 2 0 ⎥⎥
⎢⎣ 0 0 − 1 + j 2⎥⎦

which implies that

⎡e − t 0 0 ⎤
⎢ ⎥
e Dt =⎢0 e −(1+ j 2 )t 0 ⎥
⎢0 0 e −(1− j 2) t ⎥⎦
⎣

Finally, eAt = TeDtT-1.

91
Proposition: Suppose D is a block diagonal matrix with square blocks Di, i = 1, 2, …, n, i.e.,

⎡ D1 0 L 0⎤
⎢0 D2 M ⎥⎥
D=⎢
⎢M O M ⎥
⎢ ⎥
⎣0 0 L Dn ⎦
Then,
⎡e D1t 0 L 0 ⎤
⎢ ⎥
⎢ 0 e D2t M ⎥
e Dt
=
⎢ M O M ⎥
⎢ Dn t ⎥
⎢⎣ 0 0 L e ⎥⎦

Example: For the same A matrix of the previous example, compute eAt.
Let ⎡ 0 −4 2 ⎤
T = [e1 Re{e2 } Im{e2 }] = ⎢⎢− 1 − 1 − 2⎥⎥
⎢⎣ 1 1 0 ⎥⎦

92
then,
⎡1 1 5⎤
1
T −1 = ⎢⎢− 1 − 1 − 1⎥⎥
4
⎢⎣ 0 − 2 − 2⎥⎦

⎡− 1 0 0⎤
and ⎡D 0⎤
D = T −1 AT = ⎢⎢ 0 − 1 − 2⎥⎥ = ⎢ 1
⎣ 0 D2 ⎥⎦
⎢⎣ 0 2 − 1⎦ ⎥

which implies that

⎡e D1t 0 ⎤
e Dt
=⎢ ⎥
⎣ 0 e D2t ⎦

But,
⎡cos 2t − sin 2t ⎤
e D1t = e −t and e D2t = e −t ⎢ ⎥
⎣ sin 2t cos 2t ⎦
⎡1 0 0 ⎤
e At = T (e Dt ) T −1 = e −t T ⎢⎢0 cos 2t sin 2t ⎥⎥ T −1
Finally,

⎢⎣0 − sin 2t cos 2t ⎥⎦ 93

Def. The impulse response matrix of a linear, lumped, time-varying system is a matrix map
H(•,•) : RxR → Rrxm given by H(t, τ) = [h1(t, τ), … , hm(t, τ)], where each column hi(t, τ)
represents the response of the system to the impulsive input u(t) = δ(t - τ)ηi, ηi ∈ Rm,
ηi = [0 … 0 1 0 … 0]T (1 occurs as the ith component), τ is the time of application of the
input and t is the observation time.
Recall that if H(t, τ) ≠ 0 for any given t, τ and t < τ, then the system is noncausal. On the
other hand, if H(t, τ) = 0 for t < τ, then the system is causal.
In block diagram form,

Hence,
∞
y (t ) = ∫ H (t ,τ )u(τ )dτ
−∞

Consider the linear, time-varying system with state model

x& (t ) = A(t ) x (t ) + B (t ) u(t ) , x ( −∞ ) = 0

y (t ) = C (t ) x (t ) + D (t )u(t ) 94
 Theorem: The impulse response matrix for the above system is given by

⎧C (t )Φ(t ,τ ) B(τ ) + D(t )δ (t − τ ) t ≥ τ

H (t ,τ ) = ⎨
⎩ 0 t <τ
Proof: The response of the above time-varying system to an input u is given by
t
y (t ) = C (t )Φ (t ,−∞) x ( −∞) + C (t ) ∫ Φ (t , q ) B ( q )u(q ) dq + D(t )u(t )
−∞

But, x(-∞) = 0, implies that

t
y (t ) = C (t ) ∫ Φ (t , q ) B (q )u( q ) dq + D(t )u(t )
−∞

Let u(t) = δ(t - τ)ηi, ηi =[0 … 0 1 0 … 0], where the 1 appears at the ith location, then for t ≥ τ
t
y (t ) = C (t ) ∫ Φ (t , q ) B ( q )δ ( q − τ )ηi dq + D(t )δ (t − τ )ηi = C (t )Φ (t ,τ ) Bi (τ ) + Di (t )δ (t − τ )
−∞

Now, ∞
y (t ) = ∫ H (t , q)u(q)dq
−∞
95
If the system is causal, then H(t, τ) = 0 for τ > t. Thus, for t ≥τ
t
y (t ) = ∫ H (t , q)u(q)dq
−∞

and y(t) = 0, for t < τ .

If u(t) = δ(t - τ)ηi, then

⎧hi (t ,τ ) t ≥ τ
y (t ) = ⎨
⎩ 0 t <τ
Hence, H(t, τ) = C(t)Φ(t, τ)B(τ) + D(t)δ(t - τ), t≥τ
=0 t<τ
If A(•), B(•), C(•) and D(•) are constant matrices, then

⎧Ce A(t −τ ) B + Dδ (t − τ ) t ≥ τ
H (t ,τ ) = H (t − τ ,0) ≡ H (t − τ ) = ⎨
⎩ 0 t <τ
Consider again the time-invariant system state model

x& (t ) = Ax (t ) + Bu(t ) , x ( 0) = x 0
y (t ) = Cx (t ) + Du(t ) 96
In the s-domain,
X ( s ) = ( sI − A) −1 x 0 + ( sI − A) −1 BU ( s )
[ ]
Y ( s) = C ( sI − A) −1 x 0 + C ( sI − A) −1 B + D U ( s )
If the system is initially at rest, i.e., x0 = 0,
[ ]
Y ( s ) = C ( sI − A) −1 B + D U ( s )
Def. The transfer function matrix of the time-invariant state model is given by

H ( s ) = C ( sI − A) −1 B + D
Def. (The Leverrier Algorithm) Let the polynomial

π A (λ ) ≡ det(λI − A) = λn + a1λn−1 + L + an−1λ + an

be the characteristic polynomial of the matrix A ∈ Rnxn, then the coefficients ai, i = 1,2, …,
n can be computed as follows:

N1 = I, a1 = - tr(A)
N2 = N1A+a1I, a2 = (-1/2) tr(N2A),

97
 N3 = N2A+a2I, a3 = (-1/3) tr(N3A),
.
.
.
Ni = Ni-1A+ai-1I, ai = (-1/i) tr(NiA),
and 0 = NnA + anI, where tr(M) is the trace of the matrix M.

Example: Let a dynamic system have the feedback matrix A be given by

⎡− 2 0 1⎤
A = ⎢⎢ 1 − 2 0 ⎥⎥
⎢⎣ 1 1 − 1⎥⎦
⎡3 0 1 ⎤
Then, N1 = I, a1 = -tr(A) = -(-5) = 5, N2 = A + a1I = ⎢1 3 0⎥
⎢ ⎥
⎢⎣1 1 4⎥⎦

⎧⎡− 5 1 2 ⎤⎫ ⎡ 2 1 2⎤
1 1 ⎪ ⎪ ⎢ ⎥
a 2 = − tr ( N 2 A) = − tr ⎨⎢⎢ 1 − 6 1 ⎥⎥ ⎬ = 7, ⇒ N 3 = N 2 A + a2 I = ⎢1 1 1⎥
2 2 ⎪
⎩⎢⎣ 3 2 − 3⎥⎦ ⎪⎭ ⎢⎣3 2 4⎥⎦

98
and ⎧⎡− 1 0 0 ⎤ ⎫
1 1 ⎪ ⎪
a3 = − tr ( N 3 A) = − tr ⎨⎢⎢ 0 − 1 0 ⎥⎥ ⎬ = 1
3 3 ⎪ ⎪
⎩⎢⎣ 0 0 − 1⎥⎦ ⎭
We can show that N 3 A + a3 I = 0
Finally, the characteristic polynomial of A is πA(λ) = λ3 + 5λ2 + 7λ + 1.

Faddeev-Leverrier Algorithm for Computing (sI - A)-1

n −1 n−2
Let ( sI − A) ≡−1R ( s ) N s + N s + L + N n−1s + N n
= 1 2
π A ( s) s n + a1s n−1 + L + an−1s + an

where πA(s) is the characteristic polynomial of A, R(s) is the adjoint matrix of sI – A.

Proposition: L{Φ(t)} = (sI – A)-1, where L{⋅} is the Laplace transform operator.
Proof: For the time-invariant case and u(t) = 0,

& (t ) = AΦ(t )
Φ
99
 sL{Φ(t)} - Φ(0) = AL{Φ(t)}. But, Φ(0) = I, thus L{Φ(t)} = (sI – A)-1.
Clearly, Φ(t) = L-1{(sI – A)-1}.

Cayley-Hamilton Theorem:

Let π A (λ ) ≡ det(λI − A) = λ + a1λ + L + an−1λ + an

n n −1

be the characteristic polynomial of A. Then

π A ( A) = An + a1 An−1 + L + an−1 A + an I = 0
This implies that
n
A = −∑ ai An−i
n

i =1
n
Likewise, Aπ A ( A) = 0 ⇒ A n +1
= −∑ ai An−i +1
i =1
n

or A n+1
= −a1 A − ∑ ai An−i +1
n

i =2

⎡ n n −i ⎤
n n
= − a1 ⎢− ∑ ai A ⎥ − ∑ ai A n −i +1
= a1 A + ∑ [a1 I − A]ai A n −i
2 n −1

⎣ i =1 ⎦ i=2 i=2
100
Observation 1: An+1 is also a linear combination of I, A, A2, … , An-1.

Observation 2: Every polynomial of A ∈ Rnxn can be expressed as a linear combination of

I, A, A2, …, An-1, i.e.,

f(A) = β0I + β1A + … + βn-1An-1.
Furthermore, if deg(f(λ)) > deg(πA(λ)),
f(λ) = q(λ)πA(λ) + h(λ), deg (h(λ)) < n ⊗
⇒ f(A) = q(A)πA(A) + h(A) = q(A). 0 + h(A) = h(A)
⇒ if deg(f(λ)) > deg(πA(λ)), we can solve for h(λ) directly from ⊗, i.e.,
Let h(λ) ≡ β0 + β1λ + … + βn-1λn-1, then if the eigenvalues of A are distinct, the
βj’s can be computed from the n linear equations
f(λi) = q(λi) πA(λi) + h(λi) = h(λi), i = 1, …, n.

⎡0 1⎤
Example: Calculate f(A) = A10 + 3A with A = ⎢ ⎥
⎣ − 1 − 2 ⎦
101
The characteristic polynomial of A is πA(λ) = λ2 + 2λ + 1 = (λ+1)2 ⇒ λ1 = λ2 = -1.
Let h(λ) = β0 + β1λ. Then with f(λ) = λ10 + 3λ, we get
f(λ1) = f(-1) = (-1)10 + 3(-1) = -2 = β0 - β1.
But, f(λ2) = f(λ1) ! For the repeated eigenvalue case, the solution procedure is modified as
follows:
m m
Let π A (λ ) = ∏ (λ − λi ) ∋ n = ∑ ni
ni

i =1 i =1

Since deg(h(λ)) ≤ n – 1, the coefficients βj, j = 0, 1, … , n – 1, can now be obtained from

the following set of n equations:
f (l)(λi) = h(l)(λi), i = 0,1, … , ni - 1; i = 1, 2, … , m.
Going back to the previous example, n1 = 2 and

f (1)
(λ ) = 10λ9 + 3 = 10( −1) 9 + 3 = −7 = h (1) (λ ) = β1
λ = λ1 λ = −1 λ =λ1

102
We must solve the equations β0 - β1 = -2 and β1 = -7. This implies that β0 = -9.
Moreover,
⎡− 9 − 7 ⎤
f(A) = A10 +3A = h(A) = β0I + β1A = -9I – 7A = ⎢
⎣7 5 ⎥⎦
Suppose again the eigenvalues of A are distinct, then
R( s) R1 R2 Rn
( sI − A) −1 = = + +L+
π A ( s) s − λ1 s − λ2 s − λn
where
n
π A ( s ) = s + a1s
n n −1
+ L + an−1s + an = ∏ ( s − λi )
i =1

and
⎡ ( s − λi ) R( s) ⎤
Ri = lim ⎢ ⎥
s→λi ⎣ π A ( s ) ⎦
Consequently, for t ≥ 0
⎧ Ri ⎫ n
{ }
n
−1
Φ (t ) = L ( sI − A) −1
= ∑L ⎨ −1
⎬ = ∑ Ri e i = e
λt At

i =1 ⎩ s − λi ⎭ i =1
103
Example: Consider the system x& (t ) = Ax (t ). Obtain Φ(t) using the partial fraction
expansion method with the system matrix A given by
⎡0 1⎤
A=⎢ ⎥
⎣ − 2 − 3⎦

Now, ⎡s −1 ⎤ ⎡ s + 3 1⎤
sI − A = ⎢ ⎥ ⇒ R( s) = ⎢ ⎥
⎣ 2 s + 3⎦ ⎣ − 2 s ⎦

and the characteristic polynomial of A is

π A ( s) = det( sI − A) = s 2 + 3s + 2 = ( s + 1)( s + 2) = ( s − λ1 )( s − λ2 )
The residue matrices are found as follow:

⎡ R( s) ⎤ ⎡ 1 ⎛ s + 3 1 ⎞⎤ ⎡ 2 1⎤
R1 = lim ⎢( s + 1)
π ( s ) ⎥ = lim ⎢ s + 2 ⎜⎜ − 2 s ⎟⎟⎥ = ⎢− 2 − 1⎥
s → −1 ⎣ A ⎦ s→ −1 ⎣ ⎝ ⎠⎦ ⎣ ⎦

⎡ R(s) ⎤ ⎡ 1 ⎛ s + 3 1 ⎞⎤ ⎡− 1 − 1⎤
R2 = lim ⎢( s + 2) ⎥ = lim ⎢ ⎜⎜ ⎟⎟⎥ = ⎢
s→ −2 ⎣ π A ( s ) ⎦ s→ −2 ⎣ s + 1 ⎝ − 2 s ⎠⎦ ⎣ 2 2 ⎥⎦
104
The inverse of sI-A is equal to

⎡2 1 ⎤ ⎡− 1 − 1⎤
⎢− 2 − 1⎥ ⎢ 2 2 ⎥
( sI − A) −1 =⎣ ⎦+⎣ ⎦
s +1 s+2

and the state transition matrix of the system is

⎡2 1 ⎤ −t ⎡− 1 − 1⎤ − 2t
Φ (t ) = ⎢ ⎥ e +⎢ ⎥ e
⎣− 2 − 1⎦ ⎣2 2⎦
or ⎡ 2e −t − e −2t e −t − e −2t ⎤
Φ(t ) = ⎢ −t −2t ⎥
⎣− 2e + 2e − e −t + 2e −2t ⎦
Suppose now that the matrix A contains repeated eigenvalues, then the adjoint
matrix R(s) and πA(s) have common factors. Consider, for example, the matrix

⎡λ1 1 0 ⎤
A = ⎢⎢ 0 λ1 0 ⎥⎥
⎢⎣ 0 0 λ1 ⎥⎦ 105
Then, ⎡( s − λ1 ) 2 s − λ1 0 ⎤ ⎡ s − λ1 1 0 ⎤
⎢ ⎥
⎢ 0 ( s − λ1 ) 2 0 ⎥
⎢ 0
⎢ s − λ1 0 ⎥⎥
R( s) ⎢ 0 0 ( s − λ1 ) 2 ⎥⎦ ⎢⎣ 0 0 s − λ1 ⎥⎦
( sI − A) −1 = = ⎣ =
π A ( s) ( s − λ1 ) 3 ( s − λ1 ) 2
We know from the Cayley-Hamilton theorem that if πA(λ) is the characteristic
polynomial of the nxn matrix A, then πA(A) = 0.

Def. A polynomial p(λ) such that p(A) = 0 is called an annihilating polynomial of

the matrix A.

Def. The monic polynomial of least degree which annihilates the matrix A is called
the minimal polynomial of A and is denoted by ψA(λ).

Suppose g(λ) is a polynomial of arbitrary degree, then p(λ) = g(λ)πA(λ) is also an

annihilating polynomial of A.

Theorem: For every nxn matrix A, the minimal polynomial ψA(λ) divides the
characteristic polynomial πA(λ). Moreover, ψA(λ) = 0 if and only if λ is an
106
eigenvalue of A, so that every root of πA(λ) = 0 is a root of ψA(λ) = 0.
Proof: If πA(λ) annihilates A and if ψA(λ) is a monic polynomial of minimum
degree that annihilates A, then deg (ψA(λ)) ≤ deg(πA(λ)).
By the Euclidean algorithm there exists polynomials h(λ) and r(λ) such that
πA(λ) = ψA(λ)h(λ)+ r(λ) and deg(r(λ)) < deg(ψA(λ))
But, 0 = πA(A) = ψA(A)h(A) + r(A) = 0·h(A) + r(A) ⇒ r(A) = 0.
However, deg(r(λ)) < deg(ψA(λ)), and by definition ψA(λ) is the polynomial of
minimum degree such that ψA(A) = 0 ⇒ r(λ) ≡ 0 ⇒ ψA(λ) divides πA(λ).
This result implies that every root of ψA(λ) = 0 is a root of πA(λ) = 0 and hence
every root of ψA(λ) = 0 is an eigenvalue of A.
If λ ∈ σ (A) and if x ≠ 0 is its corresponding eigenvector, then Ax = λ x and
0 = ψA(A) x = ψA(λ) x ⇒ ψA(λ) = 0.

If A has repeated eigenvalues λ1, λ2, …, λσ, λi ≠λj, i≠j, i, j = 1, 2, …, σ, then for
m1+m2+…+mσ ≤ n the minimal polynomial ψA(λ) has the structure

ψ A (λ ) = (λ − λ1 ) m (λ − λ2 ) m L (λ − λσ ) mσ
1 2

107
Theorem: Let A ∈Rnxn, then
R( s) Rˆ ( s ) σ mi
Ri j
−1
( sI − A) = = = ∑∑
π A ( s ) ψ A ( s ) i=1 j =1 ( s − λi ) j

where 1 ⎡ d mi − j −1 ⎤
⎢ mi − j ( s − λi ) ( sI − A) ⎥
(mi − j )! lim
Ri =
j mi

s→λi ⎣ ds ⎦
In this particular case, for t ≥ 0 the state transition matrix is given by
σ mi
t j −1 λit
Φ (t ) = ∑∑ Ri j
e
i =1 j =1 ( j − 1)!

This is true because

Φ (t ) = L−1{( sI − A) −1 }
σ mi
⎧ 1 ⎫ σ mi j t j −1 λit
= ∑∑ Ri L ⎨ j −1
j ⎬
= ∑∑ Ri e
i =1 j =1 ⎩ ( s − λi ) ⎭ i =1 j =1 ( j − 1)!

108
Example: Consider a dynamic system with the A matrix
⎡0 1 0⎤
A = ⎢⎢ 0 0 1 ⎥⎥
⎢⎣− 2 − 5 − 4⎥⎦

Then π A ( s ) = det( sI − A) = ( s + 1) 2 ( s + 2) = s 3 + 4 s 2 + 5s + 2
⇒ a1 = 4, a 2 = 5, a3 = 2

Using the Faddeev-Leverrier algorithm, we get

N1 = I
⎡4 1 0⎤
N2 = N1A + a1I = ⎢ 0 4 1 ⎥
⎢ ⎥
⎢⎣− 2 − 5 0⎥⎦

⎡5 4 1⎤
⎢ ⎥
N3 = N2A + a2I = ⎢− 2 0 0⎥
⎢⎣ 0 − 2 0⎥⎦
109
So, R(s) = N1s2 + N2s + N3 and
R( s)
( sI − A) −1 =
( s + 1) 2 ( s + 2)
In this case, the minimal polynomial is the same as the characteristic polynomial,
i.e., ψA(s) = πA(s) = s3 + 4s2 +5s + 2.
The inverse of sI – A is
−1 R11 R12 R21
( sI − A) = + +
s + 1 ( s + 1) 2 s + 2
where the residue matrices are
1 ⎧d −1 ⎫
⎧ d ⎛ Is 2 + N 2 s + N 3 ⎞⎫
R = lim ⎨ ( s + 1) ( sI − A) ⎬ = lim ⎨ ⎜⎜
1
1
2
⎟⎟⎬ = −3I + 2 N 2 − N 3
1! s→ −1 ⎩ ds ⎭ s→ −1 ⎩ ds ⎝ s+2 ⎠⎭

⎡ 0 − 2 − 1⎤
= ⎢⎢ 2 5 2 ⎥⎥
⎢⎣− 4 − 8 − 3⎥⎦

110
 ⎡2 3 1⎤
⎧ Is + N 2 s + N 3 ⎫
2
⎢ ⎥
R1 = lim ⎨
2
⎬ = I − N 2 + N 3 = ⎢− 2 − 3 − 1⎥
s→ −1 ⎩ s+2 ⎭ ⎢⎣ 2 3 1 ⎥⎦
⎡1 2 1⎤
⎧ Is + N 2 s + N 3 ⎫
2
⎢ ⎥
R2 = lim ⎨
1
⎬ = 4 I − 2 N 2 + N 3 = ⎢ − 2 − 4 − 2⎥
s→ −2 ⎩ ( s + 1) 2
⎭ ⎢⎣ 4 8 4 ⎥⎦
Therefore, for t ≥ 0, the state transition matrix is given by

e At = Φ(t ) = R11e − t + R12 te − t + R21 e −2t

Consider now the following block diagonal A matrix

⎡− 1 1 0⎤
 = ⎢⎢ 0 − 1 0 ⎥⎥
⎢⎣ 0 0 − 2⎥⎦

Then, its characteristic polynomial is the same as that of the last example, i.e.,
π Aˆ ( s) = π A ( s) = ( s + 1) 2 ( s + 2) 111
In this case,
⎡e − t te − t 0 ⎤
ˆ ⎢ ⎥
e At =⎢ 0 e −t 0 ⎥
⎢0
⎣ 0 e − 2t ⎥⎦
But,
A = TAˆ T −1 ⇒ e At = Te AtT −1
ˆ

provided that a nonsingular T can be constructed

Suppose that ⎡ J1 0 0⎤ 0
⎢0 J2 M ⎥⎥
J =⎢ ⊗
⎢M O M ⎥
⎢ ⎥
⎣0 L L JP ⎦

⎡λ i 1 0⎤ 0 L
where ⎢0
⎢ λi M ⎥⎥ 1
Ji = ⎢ M O O M ⎥ , J i ∈ ℜ ni xni
⎢ ⎥
⎢M O 1⎥
⎢⎣ 0 L L L λi ⎥⎦ 112
then
⎡e J1t 0 0 0 ⎤
⎢ ⎥
⎢ 0 e J 2t M ⎥
e =
Jt
⎢ M O M ⎥
⎢ J Pt ⎥
⎢⎣ 0 L L e ⎥⎦

where
⎡ λit λit t ni −1 λit ⎤
⎢e te L e ⎥
⎢ (ni − 1)! ⎥
e J it =⎢ 0 e λit M ⎥
⎢ M O M ⎥
⎢ ⎥
λit
⎢⎣ 0 L 0 e ⎥⎦

In this case, matrix ⊗ is said to be in the Jordan canonical form.

Let A have eigenvalues λ1, λ2, …, λp each with multiplicity ni, i = 1, … , p,
n1 + n2+…+ np = n. Suppose A has p independent eigenvectors e11 , e 12 , ..., e 1p
associated with the eigenvalues λ1, λ2, …, λp.
113
 {
Then the set of eigenvectors e11 ,..., e1n1 ,..., e1p ,..., e npp } generated by
( A − λi I )e i1 = 0
( A − λi I )e i2 = e i1
( A − λi I )e i3 = e i2
M
( A − λi I )e ini = e ini −1
i = 1, 2, … , p forms a basis.

{
Theorem: The generalized eigenvectors e11 ,..., e1n1 ,..., e1p ,..., e pp
n
} of A associated
with the eigenvalues {λ1,…, λp} each with multiplicity ni, i = 1, 2, … , p, are
linearly independent.

⎡0 1 0⎤
⎢
Example: Let A = ⎢ 0 0 1 ⎥⎥ . We already know that σ(A) = {-1, -1, -2}.
⎢⎣− 2 − 5 − 4⎥⎦
114
Clearly, n1= 2 and n2 = 1. Moreover,

⎡1 1 0 ⎤ ⎡e111
⎤ ⎡1⎤
⎢ 1⎥ ⎢− 1⎥
( A − λ1 I )e11 = ⎢⎢ 0 1 1 ⎥⎥ ⎢e12 ⎥ = 0 ⇒ e1
1
= ⎢ ⎥
⎢⎣− 2 − 5 − 3⎥⎦ ⎢⎣e13 ⎥⎦
1
⎢⎣ 1 ⎥⎦

⎡ 2 1 0 ⎤ ⎡ e121 ⎤ ⎡1 ⎤
⎢ ⎥
( A − λ 2 I )e 12 = ⎢⎢ 0 2 1 ⎥⎥ ⎢e122 ⎥ = 0 ⇒ e 12 = ⎢⎢− 2⎥⎥
⎢⎣− 2 − 5 − 2⎥⎦ ⎢⎣e123 ⎥⎦ ⎢⎣ 4 ⎥⎦

Clearly, e11 and e12 are two linearly independent eigenvectors.

Furthermore,
⎡1⎤
( A − λ2 I )e12 = e11 ⇒ e12 = ⎢⎢ 0 ⎥⎥
⎢⎣− 1⎥⎦
[
and det e11 e12 ]
e 12 = 1 implies that the three eigenvectors are linearly independent
Let us construct the similarity transformation T as follows: T = e 12 [ e11 e12 ]
115
In other words, ⎡1 1 1⎤
T = ⎢⎢− 2 − 1 0 ⎥⎥
⎢⎣ 4 1 − 1⎥⎦

The new system matrix, in Jordan canonical form is given by

⎡− 2 0 0 ⎤
Aˆ = T −1 AT = ⎢⎢ 0 − 1 1 ⎥⎥ = J
⎢⎣ 0 0 − 1⎥⎦

The matrix exponential of the equivalent system is

⎡e −2t 0 0 ⎤
ˆ ⎢ ⎥
e At = e JT =⎢ 0 e −t te −t ⎥
⎢ 0 0 e −t ⎥⎦
⎣

116
The matrix exponential of the original system is therefore given by

⎡ 1 1 1 ⎤ ⎡e 0 ⎤⎡ 1 2 1 ⎤
−2 t
0
⎢ ⎥
e At = Te J tT −1 = ⎢⎢ −2 −1 0 ⎥⎥ ⎢ 0 e−t te−t ⎥ ⎢⎢ −2 −5 −2 ⎥⎥
⎢⎣ 4 1 −1⎥⎦ ⎢⎣ 0 0 e− t ⎥⎦ ⎢⎣ 2 3 1 ⎥⎦
Discrete-Time Systems:
Consider the linear time-invariant discrete-time system
x (k + 1) = Ax ( k ) + Bu( k ), x 0 = x ( 0)
y ( k ) = C x ( k ) + Du ( k )
Taking the one-sided Z transform, yields

X ( z ) = z ( zI − A) −1 x0 + ( zI − A) −1 BU ( z )
y ( z ) = zC ( zI − A) −1 x0 + ⎡⎣ C ( zI − A) −1 B + D ⎤⎦ U ( z )
The state transition matrix is given by Φ(k) = Ak = Z-1{z(zI-A)-1}.
The transfer function matrix of a discrete-time linear dynamic system is defined by

H ( z ) = C ( zI − A) −1 B + D 117
On the other hand, the unit sample response matrix is then given by
h(k) = Z-1{H(z)}.
Def. M ∈ Rnxn is symmetric if MT = M.
Theorem: The eigenvalues of M = MT ∈ Rnxn are real.
Proof: Let λ be an eigenvalue of M and v its eigenvector. Then Mv = λ v. Now, if
v* is the complex conjugate transpose of v,
v*Mv = v*(λv) = λ(v*v)
But, v*(Mv) and v*v are real ⇒ λ must be real, ⇒ all eigenvalues of M must be
real. This can be verified from the fact that
(v*Mv)* = (Mv)*v = v*M*v = v*MTv = v*Mv.

Theorem: Let M = MT ∈ Rnxn. Then there exists an orthogonal matrix

Q = [q1 q2 ...qn ] such that M = QDQT or D = QTMQ, where D is a diagonal matrix

constructed from the eigenvalues of M, qi , i = 1, 2 …, n is the normalized version
of eigenvector vi associated with the eigenvalue λi of M, i = 1, 2 …, n.
118
Theorem: A matrix M = MT ∈ Rnxn is positive definite (positive semi-definite) if and
only if
a) Every eigenvalue of M is positive (zero or positive).
b) All leading principal minors of M are positive (all principal minors of M are zero
or positive).
c) There exists an nxn nonsingular matrix N (an nxn singular matrix N or an mxn,
m < n matrix N) such that M = NTN.
We denote positive definiteness (semi-definiteness) by M > 0 if xTMx > 0 (M ≥ 0 if
xTMx ≥0 ) ∀ x ≠ 0.

Example: Consider the following 2x2 matrix M:

⎡3 1⎤
M =⎢ ⎥
⎣1 3⎦
then MT = M, {λ1, λ2} = {4, 2}. The corresponding eigenvectors are:
⎧⎡1⎤ ⎡− 1⎤ ⎫
{v1 , v 2 } = ⎨⎢ ⎥, ⎢ ⎥ ⎬
⎩⎣1⎦ ⎣ 1 ⎦ ⎭
119
The normalized eigenvectors are given by
⎧⎪⎡ 1 2 ⎤ ⎡− 1 2 ⎤ ⎫⎪
{q1 , q 2 } = ⎨⎢ 1 ⎥, ⎢ 1 ⎥ ⎬
⎪⎩⎣ 2 ⎦ ⎣ 2 ⎦ ⎪⎭
Therefore, the Q and D matrices are given by

⎡ 1 2 − 1 2⎤ ⎡4 0⎤
Q=⎢1 ⎥ D=⎢ ⎥
⎣ 2
1
2 ⎦ ⎣0 2⎦
Singular value decomposition (SVD)
Let H ∈ Rmxn and define M ≡ HTH ∈ Rnxn. Then M = MT ≥ 0. Let r be the total
number of positive eigenvalues of M, then we may arrange them such that
λ1 ≥ λ2 ≥ L ≥ λr > 0 = λr +1 = L = λn
Let p = min{m, n}, then the set {σ1 ≥ σ2 ≥ … ≥σr > 0 = σr+1 = … = σp} is called
the singular values of H, where σ i = λi and r = rank(H).
⎡ 2 1⎤
Example: Let a rectangular matrix H be given by H = ⎢− 1 2⎥
⎢ ⎥
⎢⎣ 2 4⎥⎦ 120
Then
⎡9 8 ⎤
M = HTH = ⎢ ⎥
⎣8 21⎦
Now, det(λI – M) = λ2 - 30λ + 125 ⇒ eigenvalues (M) = {25, 5} and the singular
values of H are the square root of the eigenvalues of M, i.e., {5, √5}.
Example: Let H now be described by
⎡ 4 0 0⎤
H =⎢ ⎥
⎣ 0 2 1 ⎦
Then ⎡16 0 0⎤
M = H T H = ⎢⎢ 0 4 2⎥⎥
⎢⎣ 0 2 1 ⎥⎦

and
⎡λ − 16 0 0 ⎤
det(λI − M ) = det ⎢⎢ 0 λ − 4 − 2 ⎥⎥ = (λ − 16)(λ − 5)λ
⎢⎣ 0 − 2 λ − 1⎥⎦
121
which implies that the set of eigenvalues of M is {16, 5, 0} ⇒ singular values of H
are {4,√5}, since min{m, n} = min{2, 3} = 2. Also, rank(H) = 2.

Theorem: Let H ∈ Rmxn, then H = RSQT with RTR = RRT = Im, QTQ = QQT = In,
and S ∈Rmxn with the singular values of H on its main diagonal and such that
QTHTHQ = D = STS with D a diagonal matrix with the squared singular values of
H on its main diagonal.
Example: Let H be given by H = ⎡⎢
4 0 0⎤
⎥
⎣0 2 1 ⎦

then the eigenvalues of M = HTH {16, 5, 0} give rise to the normalized

eigenvectors
q~ = [1 0 0]
T
1

[
q~2 = 0 2
5
1
5
]
T

[
q~3 = 0 1
5
− 2
5
]
T

122
Thus, ⎡1 0 0 ⎤
⎢ ⎥
Q = [q~1 q~2 q~3 ] = ⎢0 2
5
1
5 ⎥
⎢0 1 − 2 5 ⎥⎦
⎣ 5

⎡1 0 0 ⎤
⎡4 0 0⎤ ⎢ ⎥ ⎡4 0 0⎤ ⎡λ1 0 0⎤
S = HQ = ⎢ 0 2 1 =⎢ =⎢
⎥ ⎢
⎣ 0 2 1 ⎦ ⎢0
5 5 ⎥
0 ⎥
5 0 ⎦ ⎣ 0 λ2 0⎥⎦
⎣
1
5
− 2 5 ⎥⎦ ⎣

⎡4 0 ⎤ ⎡16 0 0 ⎤ ⎡ λ1
2
0 0⎤
⎢ ⎥ ⎡4 0 0⎤ ⎢ ⎥=⎢0 ⎥
S T S = ⎢0 5⎥ ⎢ ⎥ = 0 5 0 ⎥ ⎢ λ22 0⎥
0 5 0⎦ ⎢
⎢0
⎣ 0 ⎥⎦ ⎣ ⎢⎣ 0 0 0 ⎥⎦ ⎢⎣ 0 0 λ32 ⎥⎦

Stability of Dynamic Systems

Dynamic system stability is a very important property. It enables the tracking of
desired signals or the suppression of undesired signals. System stability is
described either in terms of input-output stability or in terms of internal stability.
123
Input-output Stability:
A single input, single output (SISO) linear, time-invariant (LTI), continuous time
dynamic system is bounded-input, bounded-output (BIBO) stable if and only if its
impulse response h(t) is absolutely integrable, i.e.,
∞

∫ h(t ) dt ≤ M < ∞
0

where M is a real constant.

Proof: Let the input u(t) be bounded, i.e., |u(t)| ≤ k1 < ∞, ∀ t ≥ 0. Then

∞ ∞ ∞ ∞
y (t ) = ∫ h(τ )u (t − τ )dτ ≤ ∫ h(τ ) u (t − τ ) dτ ≤ ∫ h(τ ) k1dτ = k1 ∫ h(τ ) dτ ≤ k1M < ∞
0 0 0 0

⇒y(t) is bounded.
Suppose h(t) is not absolutely integrable. Then for a causal, linear time-invariant
system, with u(t) = k1 > 0 and h(t) > 0, t ≥ 0, with nondecreasing envelope. 124
 t
the output is given by y (t ) = ∫ h(τ )u (t − τ )dτ
0
For t ≥ 0 , this implies that
t
y (t ) = k1 ∫ h(τ ) dτ
0
t

as t → ∞, ∫ h(τ ) dτ → ∞
0

⇒y(t) is not bounded even when u(t) is bounded. Thus, h(t) must be absolutely
integrable.

Theorem: A SISO LTI, continuous-time dynamic system is BIBO stable if and

only if every pole of its transfer function H(s) lies on the left-half of the s-plane.
Proof: Let H(s) be a proper rational function of s, then if every pole located at
s = - p i, pi > 0, has multiplicity ni, such that
m

∑n
i =1
i =n

125
we get m ni
kij
H ( s )= ∑∑
i =1 j =1 ( s + pi ) j
and the impulse response is given by,

⎧ m
1ni
⎫ m ni kij
h(t ) = L {H ( s)} = ∑∑ kij L ⎨
−1 −1
⎬ = ∑∑ t j −1 − pit
e
i =1 j =1 ⎩ ( s + pi ) j
⎭ i=1 j =1 ( j − 1)!
t ≥ 0, which is absolutely integrable.

Consider a multiple-input, multiple-output (MIMO), LTI, continuous-time dynamic

system described by the impulse response matrix H(t) = [hij(t)]. Such a system is
BIBO stable if and only if ∀ i, j,
∞

∫ h (t ) dt = K
0
ij ij <∞

Alternatively, a MIMO, LTI, continuous-time dynamic system described by the

proper rational transfer function matrix H(s) = L{H(t)} = [Hij(s)] is BIBO stable if
and only if every pole of Hij(s) is located on the left half of the s-plane.
126
As we already know, the solution of the state equation is given by
t
~
x (t ) = e At ~
x (0) + ∫ e A( t −τ ) Bu~ (τ )dτ
0

Moreover, in the s-domain we get

~ ~
X ( s ) = ( sI − A) −1 ~
x (0) + ( sI − A) −1 BU ( s )
Suppose that the input is identically zero and the initial state is nonzero, i.e.,
~ ~ ~
u~ (t ) = 0 or U ( s ) = 0
and ~ ~
x ( 0) ≠ 0
~
then X ( s ) = ( sI − A) −1 ~
x ( 0)
and ~
x (t ) = e At ~
x (0)

Let Hin(s) ≡ (sI - A)-1 be the internal transfer function matrix of some continuous
time LTI dynamic system. Then, with u(t) = 0 and for some
~
x (0) 2 = k < ∞ 127
we get ~
x (t ) 2 = e At ~
x (0) < ∞
2

and
1. The unforced system is marginally stable if and only if the poles of Hin(s) (or the
eigenvalues of A) have either zero or negative real parts, and those with zero real
parts are simple roots of the minimal polynomial of A
2. The unforced system is asymptotically stable if and only if all the poles of Hin(s)
(all eigenvalues of A) lie strictly on the left half of the s-plane.

Asymptotic stability also implies that

~
lim ~x (t ) = 0
t →∞

Observation: These two concepts deal with internal stability only.

Example: Let an unforced dynamic system be described by

&x (t ) = ⎡− 2 2 ⎤~
1
~
⎢ 2 − 1 ⎥ x (t )
⎣ 2⎦

128
then ⎡ s + 12 1
2 ⎤
⎢ s( s + 5 ) s( s + 5 ) ⎥
H in ( s ) = ⎢ 4 4
⎥
⎢ 2 s + 2 ⎥
⎢⎣ s( s + 5 4 ) s ( s + 5 4 ) ⎥⎦
⇒ the poles of Hin(s) are located at s = 0 and s = -5/4 ⇒ system is marginally
stable.
Suppose now that the input stimulus is nonzero and that the initial condition is
zero, i.e., ~x (0) = ~0 and u~ (t ) ≠ ~0 .
~ ~
Then X ( s ) = ( sI − A) −1 BU ( s )
t
and ~
x (t ) = ∫ e A(t −τ ) Bu~(τ )dτ
0

Furthermore,
~
[ ~
] ~
Y ( s ) = C ( sI − A) −1 B + D U ( s ) = H ( s )U ( s )

129
Clearly, every pole of H(s) is an eigenvalue of A ⇒ if every eigenvalue of A has a
negative real part, then all poles of H(s) lie on the left-half of the s-plane ⇒ the
system described by
~ ~
x& (t ) = A~
x (t ) + Bu~ (t ) , ~
x ( 0) = 0 ⊗
~
y (t ) = C~
x (t ) + Du~ (t )

is BIBO stable. However, because of possible pole cancellation, not every

eigenvalue of A is a pole of H(s).

Hence, while the unforced system ~

x& (t ) = A~
x (t ) is unstable, ⊗ may not!

Example: Consider a LTI dynamic system described by the equations

x&1 (t ) = x2 (t ) − 2u (t )

x&2 (t ) = x1 (t ) + 2u (t )

y(t ) = x2 (t ) 130
In block diagram form,

x& 1 x& 2

x (t ) = [x1 (t ) x2 (t )]
Let ~
T

&x (t ) = ⎡0 1⎤ ~
~ ⎡ − 2⎤
⎢1 0⎥ x (t ) + ⎢ 2 ⎥ u (t )
⎣ ⎦ ⎣ ⎦

y (t ) = [0 1]~
x (t )
131
Thus,
⎡ λ − 1⎤
π A (λ ) = det(λI − A) = det ⎢ ⎥ = λ2
− 1 = (λ + 1)(λ − 1)
⎣− 1 λ ⎦
and the transfer function of the system is given by
1 ⎡ s 1⎤ ⎡− 2⎤
H ( s) = C ( sI − A) −1 B = [0 1]⎢1 s ⎥ ⎢ 2 ⎥
s2 −1 ⎣ ⎦⎣ ⎦
− 2 + 2s 2( s − 1) 2
= = =
s2 −1 ( s + 1)( s − 1) s + 1

Hence, the impulse response is

h(t ) = 2e − t u s (t )
where
⎧1 t > 0
u s (t ) = ⎨
⎩0 t < 0

Therefore, the system is BIBO stable. However, the system is internally unstable
because of the eigenvalue at λ = 1! 132
In fact, ⎧⎡ s 1 ⎤⎫ ⎧⎡ 12 1 1
⎤⎫
1

⎪ 2 ⎪ ⎪ + 2 2
− 2

{
Φ (t ) = L−1 ( sI − A) −1 } −1 ⎪ ⎢ s − 1
= L ⎨⎢ s − 1⎥ ⎪ = L−1 ⎪⎢ s + 1 s − 1
2
s − 1 s + 1⎥ ⎪⎪
1 s ⎥⎬ ⎨⎢ 1 1 1 1 ⎥⎬
⎪⎢ 2 ⎥ ⎪ ⎪ ⎢ 2
− 2 2
+ 2
⎥⎪
⎪⎩⎣ s − 1 s 2 − 1⎦ ⎪⎭ ⎪⎩⎣ s − 1 s + 1 s + 1 s − 1⎦ ⎪⎭

⎡ 1 −t 1 t ⎤
⎢2 ( e + e t
) (e − e −t ) ⎥
=⎢ 2
1 1 −t ⎥
⎢ (e t − e − t ) (e + e ) ⎥
t

⎣2 2 ⎦

Lyapunov stability
Consider the following LTI, continuous time, unforced dynamic system,
~
x& (t ) = A~
x (t )
A ∈ Rnxn. Then the system (A) is asymptotically stable if every eigenvalue of A
has a negative real part.

133
Thoerem: Let σ(A) = {λ1, … , λn} be the spectrum of A. Then Re{λi} < 0, i =
1, … , n, if and only if for any given N = NT > 0, the Lyapunov equation
ATM + MA = - N
has a unique solution M = MT > 0.
Example: Let the system matrix be described by
⎡0 1 0⎤
A = ⎢⎢ 0 0 1 ⎥⎥
⎢⎣− 6 − 11 − 6⎥⎦
then σ(A) = {-1, -2, -3}.

⎡1 0 0⎤
Let N = ⎢0 2 0⎥ then N = NT > 0, since σ(N) = {1, 2, 3}.
⎢ ⎥
⎢⎣0 0 3⎥⎦
⎡ 1.858 − 0.5 − 1.108⎤
Solving the Lyapunov equation, yields M = ⎢ − 0.5 1.108 − 1 ⎥ = MT > 0
⎢ ⎥
⎢⎣− 1.108 − 1 3.192 ⎥⎦ 134
The above matrix M is positive definite since σ(M) = {0.182, 2.005, 3.971}.

Discrete-Time System Stability

Consider a SISO discrete-time, causal, LTI system, then if h(n) is the unit sample
response and u(n) the input applied to it,
n n
y (n) = ∑ h(n − k )u ( k ) = ∑ h(k )u ( n − k )
k =0 k =0

Theorem: Suppose , |u(n)| ≤ K < ∞, n = 0, 1, … . Then a SISO discrete time, causal,

LTI system is BIBO stable if and only if h(n) is absolutely summable, i.e.,
∞

∑ h( n) ≤ M < ∞
n =0

Theorem: Let a SISO, discrete-time, causal LTI system be described by a proper

rational transfer function H(z) = Z {h(n)}, where Z is the z-transform operator.
Then the system is BIBO stable if and only if every pole of H(z) has magnitude
strictly less than1 (it lies inside the unit circle on the z-plane).
135
Theorem (Internal Stability): An unforced discrete time, LTI dynamic system
described by
~
x ( k + 1) = A~
x ( k ), ~
x0 = ~
x (0).
1) Is marginally stable if and only if the eigenvalues of A have magnitude less than
or equal to 1, and those equal to 1 are simple roots of the minimal polynomial of A.
2) Is asymptotically stable if and only if all eigenvalues of A have magnitude less
than 1.

Lyapunov Stability Theorem: All eigenvalues of A ∈ Rnxn have magnitude less

than 1 if and only if for any given N = NT > 0 the discrete Lyapunov equation
M – ATMA = N
has a unique solution M = MT > 0.
Example: Consider a discrete-time, LTI dynamic system described by
⎡ 0 1 0⎤
x (k + 1) = ⎢⎢ 0
~ 0 1 ⎥⎥ ~
x (k ) = A~
x (k )
⎢⎣− 0.005 0.01 0.5⎥⎦ 136
Then σ(A) = {-0.1, 0.1, 0.5}. Furthermore, if Q = diag (1, 2, 3), then the discrete
Lyapunov equation with N = Q has the solution

⎡ 7.021 2.025 1.063 ⎤

M = ⎢⎢2.025 6.021 2.025⎥⎥ = M T
⎢⎣1.063 2.025 4.021⎥⎦

But, σ(M) = {2.753, 4.872, 9.437} ⇒ M > 0 ⇒ all eigenvalues of A must lie inside
the unit circle.

Def. A state x0 = x(t0) ∈ Rn is controllable over [t0, t1] if there exists an input u(•)
defined over [t0, t1] such that
t1

x (t1 ) = 0 = Φ (t1 − t 0 ) x 0 + ∫ Φ (t1 − τ ) Bu(τ )dτ

t0

Def. The state model dx/dt = Ax + Bu is said to be controllable (completely

controllable) if and only if every state x0 ∈ Rn is controllable.
137
Def. The set of all controllable states is the controllable subspace.

Proposition: The controllable subspace is a linear subspace, i.e., let V ⊂ Rn be the

controllable subspace, then if x1 and x2 ∈ V, the vector x = α1x1 + α2x2 ∈ V for
any α1, α2 ∈ R.
Lemma: For any integer p > n, rank [B AB … Ap-1B] = rank [B AB … An-1B].

Corollary: Let Q = [B AB … An-1B]. Then for any x ∈ Col-sp [Q], Ax ∈ Col-sp [Q],
i.e., the column space of Q is A-invariant.

Let rank[Q] = p < n, U1 be an nxp matrix whose columns form a basis for the
column space of Q and let U2 be an nx(n-p) matrix whose columns together with
those of U1 form a basis for Rn, i.e., Col-sp [U1 U2] = Rn.
Proposition: Given dx/dt = Ax + Bu, the state transformation [U1 U2]z = x, yields
~ ~
⎡ z&1 ⎤ ⎡ A11 A12 ⎤ ⎡ z1 ⎤ ⎡ B1 ⎤
⎢ z& ⎥ = ⎢ ~ ⎥⎢ ⎥ + ⎢ ⎥u ⊗
⎣ 2 ⎦ ⎣ 0 A22 ⎦ ⎣ z 2 ⎦ ⎣ 0 ⎦ 138
 ~ ~
where rank [ B1 A11 B1 L A11p −1 B1 ] = p , and eq. ⊗ is known as the Kalman
controllable form.
Proof: [U 1 U 2 ]z& = x& = Ax + Bu = A[U 1 U 2 ]z + Bu = [ AU 1 AU 2 ]z + Bu
Now, AU1 ∈ Col-sp [Q] and AU 1 = [ Au~1 Au~2 L Au~p ]
~
⇒ each column of AU1 is a linear combination of the columns of U1 or, AU 1 = U 1 A11
for an appropriate A ~ ∈ Rpxp. Each column in AU is in Rn since the columns of
11 2
~ and ~ such that
[U1 U2] are a basis in Rn, therefore, there must exists matrices A12 A22
~
⎡ A12 ⎤ ~ ~
AU 2 = [U1 U 2 ] ⎢ ~ ⎥ = U1 A12 + U 2 A22
⎣ A22 ⎦
~ ~
Thus, ⎡ A11 A12 ⎤
[U 1 U 2 ]z& = [U 1 U 2 ] ⎢ ~ ⎥ z + Bu
⎣ 0 A22 ⎦
~ ~
or ⎡ A11 A12 ⎤
z& = ⎢ ~ ⎥ z + [U 1 U 2 ]−1
Bu
⎣ 0 A22 ⎦
139
By construction, Col-sp [Q] = Col-sp [B AB … An-1B] ⊃ Col-sp [B], thus, there
exists a pxm matrix B1 such that B = U1B1 or

⎡B ⎤ ⎡B ⎤
B = [U1 U 2 ] ⎢ 1 ⎥ ⇒ [U1 U 2 ] B = ⎢ 1 ⎥
−1

⎣0⎦ ⎣0⎦
~ ~
⎡ A11 A12 ⎤ ⎡ B1 ⎤
or z& = ⎢ ~ ⎥ z + ⎢ ⎥u
⎣ 0 A22 ⎦ ⎣0⎦

Lemma: The controllability Grammian matrix

t1
~ ~T
K = ∫e − A11τ T
BB e
1 1
− A11τ
dτ
0
~ ] = p,
is nonsingular whenever rank [Q

where ~ ~ ~
Q = [ B1 A11 B1 L A11p−1 B1 ]

140
 ~
Proof: Suppose that rank [ Q ] = p and that there exists v ≠ 0, v ∈ Rp such that

vTK = 0T, then

t1
~ ~T
v Kv = 0 = ∫ v e
T T − A11τ T
B1 B e
1
− A11τ
vdτ
0

[ ]
~T
Let c (τ ) ≡ B1T e − A11τ v ≡ c1 (τ ) L c p (τ ) T , then
t1 t1

[
v Kv = ∫ c (τ )c (τ )dτ = ∫ c12 (τ ) + L + c 2p (τ ) dτ = 0
T T
]
0 0

if and only if ci(τ) ≡ 0 for τ ∈ [0, t1].

Now, if ci(τ) = 0 for τ ∈ [0, t1] then d c (τ )

j T
= 0, ∀j
dτ j

Clearly, for j = 0 and τ = 0, cT(0) = vTB1 = 0T.

For j = 1 and τ = 0,
dc T (τ ) ~
T − A11τ ~ ~
=v e (− A11 ) B1 = −v T A11 B1 = 0T
dτ τ =0 τ =0 141
For j ≥ 1
d j c T (τ ) j T ~j
= ( −1) v A B
11 1 = 0 T

dτ j τ =0
Thus, ~ ~ ~
v T Q = v T [ B1 A11 B1 L A11p −1 B1 ] = 0 T
~ ~
This implies that rank [ Q ] ≠ p, which contradicts the hypothesis that rank [Q ] = p,
hence, K is nonsingular.
Example: Consider the dynamic system described by

⎡1 0 ⎤ ⎡0⎤
x& = ⎢ ⎥ x + ⎢ ⎥u
⎣0 − 1⎦ ⎣1⎦
Clearly, the system is not controllable, as the input u does not affect x1. Now,
⎡0 0 ⎤
Q = [A AB ] = ⎢ ⎥
⎣1 − 1⎦
rank [Q] = 1 ≠ 2 ⇒ system is not controllable.

Let U1 = [0 1]T. Since [0 1]T spans Col-sp [Q], then, if U2 = [1 1]T, the columns
142
of [U1 U2] span R2.
Now, ~ ~
⎡− 1 − 2⎤ ⎡ A11 A12 ⎤
[U1 U 2 ]−1 A[U1 U2] = ⎢ ⎥=⎢ ~ ⎥
⎣ 0 1 ⎦ ⎣0 A22 ⎦
⎡1⎤
and [U1 U2]-1B =⎢ ⎥
⎣0 ⎦
Therefore, the equivalent system in the Kalman controllable canonical form is
described by
⎡− 1 − 2⎤ ⎡1⎤
&z = ⎢ ⎥ z + ⎢ ⎥u
⎣0 1 ⎦ ⎣0 ⎦

Theorem: The following statements about controllability are equivalent:

1. The pair (A, B) is controllable
2. Rank [λiI-A | B] = n for each eigenvalue λi of A
3. Rank [Q] = n
4. Rank [e-AtB] = n, i.e., there are n linearly independent row functions of e -AtB
for t ∈ [0, ∞)
143
 t1
5. The matrix Kˆ = ∫ e A( t1 −τ ) BB T e A ( t1 −τ ) dτ is positive definite. Furthermore,
T

t0

the input u(t ) = − B e T AT ( t1 − t )

[ ]
Kˆ −1 e A( t1 −t0 ) x (t 0 ) − x (t1 ) transfers x(t0) to x(t1).

Proof: 1 ⇒ 3, since (A, B) is controllable ⇒ rank [Q] = rank [B AB … An-1B] = n.

Suppose there exists λi such that rank [(λiI – A) | B] < n, then there exists a v ∈ Rn,
v ≠ 0, such that, vT[(λiI – A) | B] = [vT(λiI – A) | vTB] = 0T ⇒ vT(λiI – A) = 0T and

vTB = 0T.

Therefore, vT(λiI – A) = 0T ⇒ vT = wi*, a left eigenvector of A associated with λi.

Now,
v T A k = w i* A k = ( w i* A) A k −1 = λi w i* A k −1 = λi ( w i* A) A k − 2 = λi2 w i* A k − 2 = L = λik w i*

∴vTQ = [vTB vTAB … vTAn-1B] = [vTB λvTB…λn-1vTB]= [ 0T 0T… 0T] = 0T

Hence, rank [Q] < n, which contradicts the hypothesis that rank [Q] = n, hence, 3
⇒ 2. The proof that 2 ⇒ 3 basically uses the same type of arguments. 144
Assume that rank [e-AtB] ≠ n, i.e., there exists v ≠ 0 such that vTe-AtB = 0T.

k
But, d T − At ~ T, ∀ k ≥ 0 ⇒ vTQ = 0T, which contradicts
(v e B) t =0 = (−1) v A B = 0
k T k

dt k
the assumption that rank [Q] = n. Thus, rank [Q] = n ⇒ rank [e-AtB] = n, i.e., e-AtB
has n linearly independent rows.

Suppose K̂ is not positive definite. From the previous lemma, K̂ is also not
negative definite, thus, K̂ can only be singular (positive semi-definite). Therefore,
there exists v ≠ 0 such that vT K̂ = 0T ⇒ vT K̂ v = 0 or
t1
ˆ
0 = v Kv = ∫ v e
T T A ( t1 −τ ) T AT ( t1 −τ )
BB e vdτ
t0
t 0 −t1
let α = τ - t1, then ˆ
v Kv = − ∫ v e BB e
T T − Aα T − AT α
vdα = 0
0

This implies that the integrand ≡ 0. ⇒ vTe-AαB = 0T ⇒ rows of e-AtB are linearly
dependent which contradicts that rank[e-AtB] = n. Therefore, rank [e-AtB] = n ⇒ K̂ is
positive definite. 145
Finally, t1

x(t1 ) = e A( t1 −t0 ) x(t 0 ) + ∫ e A( t1 −τ ) Bu (τ )dτ

t0
t1

=e A ( t1 −t 0 )
x(t 0 ) − ∫ e A ( t1 −τ ) T
BB e AT ( t1 −τ )
[ ]
Kˆ −1 e A(t1 −t0 ) x(t 0 ) − x(t1 ) dτ
t0
t1

=e A ( t1 −t 0 )
x(t 0 ) − ∫ e A ( t1 −τ ) T
BB e AT ( t1 −τ )
[
dτKˆ −1 e A(t1 −t0 ) x(t 0 ) − x(t1 ) ]
t0

[
= e A(t1 −t0 ) x(t 0 ) − Kˆ Kˆ −1 e A(t1 −t0 ) x(t 0 ) − x(t1 ) = x(t1 ) ]
Example: Consider the following linear time-invariant dynamical system
⎡− 1 0 − 1⎤ ⎡1 1⎤
x& = ⎢⎢ 0 0 1 ⎥⎥ x + ⎢⎢0 0⎥⎥u
⎢⎣ 1 − 1 − 1⎥⎦ ⎢⎣0 0⎥⎦

then, ⎡1 1 − 1 − 1 0 0⎤
Q = ⎢⎢0 0 0 0 1 1 ⎥⎥
⎢⎣0 0 1 1 − 2 − 2⎥⎦ 146
Hence, rank [Q] = 3 = n. Moreover, the spectrum of A is σ(A) = {-0.4302, -0.7849
± j 1.3071} = {λ1, λ2, λ3}, which means that

⎡0.5698 0 1 1 1⎤
rank [(λ1I – A) | B] = rank ⎢ 0 − 0.4302 − 1 0 0 ⎥=3
⎢ ⎥
⎢⎣ − 1 1 0.5698 0 0⎥⎦
since the third column is a linear combination of the first and second columns.
Likewise, rank [(λiI – A) | B] = 3, i = 2, 3.

Discrete-Time Systems

Let x(k+1) = Ax(k) + Bu(k), A ∈ Rnxn and B ∈ Rnxm.

Def. A state xc ∈ Rn is controllable (reachable) if and only if there exists a finite
N ∈ Ν and an input sequence {u(0), u(1), … , u(N-1)} such that if x(0) = 0, then
x(N) = xc.

147
Example: Consider the following linear shift-invariant discrete-time dynamic
system
⎡ − 1 0⎤ ⎡0 ⎤
x(k + 1) = ⎢ ⎥ x ( k ) + ⎢ ⎥ u (k )
⎣ 1 0⎦ ⎣1⎦
then if x(0) = [0 0]T and u(0) = α, x(1) = [0 α]T, a controllable state.
Now,
⎡0 0 ⎤
Q = [B AB ] = ⎢ ⎥
⎣1 0 ⎦

⇒ rank [Q] = 1!

Theorem: The following statements about discrete-time controllability are

equivalent:
1. There exists a finite index N ≤ n such that x(k) = 0 can be driven to xc = x(k+N)
by some input sequence {u(k), u(k+1), … , u(k+N-1)}.
2. xc ∈ Col-sp [Q] , Q = [B AB … An-1B]
148
3. If xc1 and xc2 ∈ Col-sp [Q], then there exists N such that xc1(k) can be driven to
xc2(k+N) by some input sequence {u(k), u(k+1), … , u(k+N-1)}.

Pole Placement By State Feedback

Consider the linear time-invariant continuous time dynamic system described by
x& = Ax + Bu
Let u = uc + ur, where uc is the control signal and ur is the external reference
signal.
Let uc = Fx, then x& = ( A + BF ) x + Bur is the new closed-loop system. Given a pre-
specified symmetric spectrum (set of complex numbers) Λ, construct the feedback
matrix F such that σ(A + BF) = Λ. If the system under consideration is in the
controllable canonical form, i.e.,
⎡ 0 1 0 L0 ⎤
⎢ 0 ⎥ ⎡0 ⎤
⎢ 0 1 M ⎥ ⎢0 ⎥
x& = ⎢ M O ⎥ x + ⎢ ⎥u
⎢ ⎥ ⎢M⎥
⎢ O 1 ⎥ ⎢ ⎥
⎣1⎦ 149
⎢⎣− a n L ⎥
− a1 ⎦
Then the characteristic polynomial is given by
π A (λ ) = λn + a1λn−1 + L + an−1λ + an
Now, if uc = Fx = [fn … f1]x, then

⎡ 0 1 0 L 0 ⎤
⎢ ⎥ ⎡0 ⎤
⎢ 0 0 1 M ⎥ ⎢0 ⎥
x& = ( A + BF ) x + Bu r = ⎢ M O ⎥ x + ⎢ ⎥u r
⎢ ⎥ ⎢M⎥
⎢ O ⎥ ⎢ ⎥
⎣1⎦
⎢⎣− ( a n − f n ) L ⎥
− (a1 − f1 )⎦

and the closed-loop characteristic polynomial is given by

πA+BF(λ) = λn + (a1 - f1)λn-1+ … + (an-1 – fn-1)λ + an – fn.
Let the desired spectrum be given by σ(A + BF) = Λ = {λ1, λ2, … , λn}, then
choose F such that
n
πA+BF(λ) = ∏ (λ − λ )
i
i =1 150
General Single Input Case

(A, B) controllable ⇒ rank [Q] = n, Q ∈ Rnxn ⇒ Q-1 exists. Let v be the last row of
Q-1 and z = Vx, where

⎡ v ⎤
⎢ vA ⎥
V =⎢ ⎥
⎢ M ⎥
⎢ n −1 ⎥
⎣vA ⎦
The new system is given by
z& = VAV −1 z + VBu
Claim 1: VB = Bc = [0 0 … 0 1]T.

Proof: ⎡ v ⎤ ⎡ vB ⎤
⎢ vA ⎥ ⎢ vAB ⎥
VB = ⎢ ⎥B = ⎢ ⎥
⎢ M ⎥ ⎢ M ⎥
⎢ n −1 ⎥ ⎢ n −1 ⎥
⎣ vA ⎦ ⎣vA B ⎦ 151
But,
Q −1Q = I ⇒ vQ = v[ B AB L A n −1 B] = [vB vAB L vA n −1 B] = [0 L 0 1]
since v is the last row of Q-1. Therefore, VB = [0 … 0 1]T.

⎡ 0 1 0 L0 ⎤
⎢ 0 0 1 M ⎥⎥
⎢
Claim 2: VAV-1 = Ac = ⎢ M O ⎥
⎢ ⎥
⎢ O 1 ⎥
⎢⎣− an L − a1 ⎥⎦

Proof: VAV-1 = Ac ⇒ VA = AcV. Now,

⎡ 0 1 0 0 ⎤
L
⎡ vA ⎤ ⎢
⎢vA 2 ⎥ ⎢ 0 0 1 M ⎥⎥
VA = ⎢ ⎥=⎢ M O ⎥V
⎢ M ⎥ ⎢ ⎥
⎢ n⎥ ⎢ O 1 ⎥
⎣vA ⎦ ⎢− a L − a1 ⎥⎦ 152
⎣ n
From Cayley-Hamilton,
πA(A) = An + a1An-1 + … + an-1A + anI = 0.

⇒ An = -anI – an-1A - … - a1An-1 ⇒ vAn = -anv – an-1vA - … - a1vAn-1

But,
⎡ 0 1 0 L0 ⎤
⎢ 0 ⎥ ⎡ v ⎤ ⎡ vA ⎤
0 1 M ⎥⎢ ⎥ ⎢ ⎥
⎢ vA vA 2

AcV = ⎢ M O ⎥⎢ ⎥=⎢ ⎥
⎢ ⎥⎢ M ⎥ ⎢ M ⎥
⎢ O 1 ⎥ ⎢ n −1 ⎥ ⎢ n −1 ⎥
⎣ vA −
⎦ ⎣ n a v − a vA − L − a vA ⎦
⎢⎣− a n − a1 ⎥⎦
n −1 1
− a n −1 L

is the same as the left-hand side.

Clearly, the above state transformation z = Vx changes A and B into Ac and Bc,
where Ac and Bc are in the controllable canonical form.

153
Design Procedure:

Transform (A, B) into (Ac, Bc)

Assign Λ = {λ1, λ2, … , λn} by Fc, i.e., σ(Ac + BcFc) = Λ
Find F so that σ(A+BF) = Λ, i.e., A+BF = V-1(Ac+BcFc)V = A+BFcV
⇒ F = FcV.
Example: Consider the system described by

⎡− 1 1 0 ⎤ ⎡1⎤
x& = ⎢⎢ 0 − 4 2 ⎥⎥ x + ⎢⎢ 0 ⎥⎥ u
⎢⎣ 0 0 − 10⎥⎦ ⎢⎣− 1⎥⎦

Let the desired spectrum be Λ = {-5, -20, -25}.

Now,
⎡ 1 −1 −1 ⎤
⎢ ⎥
Q = [B AB A2B] = ⎢ 0 − 2 28 ⎥
⎢⎣− 1 10 − 100⎥⎦
154
Since Q is of full rank,
⎡1.60 2.20 0.60⎤
Q −1 = ⎢⎢0.56 2.02 0.56⎥⎥
⎢⎣0.04 0.18 0.04⎥⎦

Moreover,
⎡ v ⎤ ⎡ 0.04 0.18 0.04 ⎤
V = ⎢⎢ vA ⎥⎥ = ⎢⎢− 0.04 − 0.68 − 0.04⎥⎥
⎢⎣vA 2 ⎥⎦ ⎢⎣ 0.04 2.68 − 0.96⎥⎦
Hence,
⎡ 0 1 0 ⎤
Ac = VAV −1 = ⎢⎢ 0 0 1 ⎥⎥
⎢⎣− 40 − 54 − 15⎥⎦
⇒ π Ac (λ ) = π A (λ ) = λ3 + 15λ2 + 54λ + 40
and the spectrum of A is given by σ(A) = {-1, -4, -10}.
Let Fc = [ f c 3 f c2 f c1 ] .
155
Then the closed-loop system characteristic polynomial is given by

π A + B F (λ ) = λ3 + (15 − f c1 )λ2 + (54 − f c 2 )λ + (40 − f c 3 ) = (λ + 5)(λ + 20)(λ + 25)

c c c

= λ3 + 50λ2 + 725λ + 2500

or 15 – fc1 = 50 ⇒ fc1 = -35; 54 – fc2 = 725 ⇒ fc2 = -671; 40 – fc3 = 2500

⇒fc3 = -2460.

Thus, Fc = [-2460 -671 -35] and F = FcV = [-72.96 -80.32 -37.96].

Finally, the closed-loop system is given by,

⎡− 73.96 − 79.32 − 37.96⎤ ⎡1⎤

x& = ( A + BF ) x + Bur = ⎢⎢ 0 −4 2 ⎥⎥ x + ⎢⎢ 0 ⎥⎥ ur
⎢⎣ 72.96 80.32 27.96 ⎥⎦ ⎢⎣− 1⎥⎦

and its spectrum is σ(A+BF) = {-5, -20, -25}.

156
Observability Revisited:
Consider the dynamic system described by
x& = Ax + Bu
⊗
y = C x + Du

Def. x(t0) ∈ Rn is observable if and only if there exists t1 > t0 such that the
knowledge of y(t) and u(t) over [t0, t1] and of the system matrices A, B, C and D is
sufficient to determine x(t0).

Def. The pair (C, A) in eq. ⊗ is (completely) observable if and only if every x ∈ Rn
is observable.

Theorem: For the system described by ⊗, the following are equivalent:

1. The pair (C, A) is observable

⎡ C ⎤
2. Rank ⎢
λ I − A⎥ = n, for each eigenvalue λi of A
⎣ i ⎦ 157
 ⎡ C ⎤
⎢ CA ⎥
3. Rank [ϕ] = n, where ϕ is the observability matrix ϕ = ⎢ ⎥
⎢ M ⎥
⎢ n−1 ⎥
⎣CA ⎦
4. Rank [CeAt] = n, i.e., CeAt has n linearly independent columns each of which is a
vector-valued function of time defined over [0, ∞)
t
5. The observability Grammian matrix W0 (t0 , t1 ) = ∫ e ATτ
C T Ce Aτ dτ
t0
is nonsingular ∀ t1 > t0.
Example: Consider the linearized model of an orbital satellite described by

⎡ 0 1 0 0⎤ ⎡0 0⎤
⎢0.75 0 0 1⎥⎥ ⎢1 0⎥⎥
x& = ⎢ x+⎢ u
⎢ 0 0 0 1⎥ ⎢0 0 ⎥
⎢ ⎥ ⎢ ⎥
⎣ 0 −1 0 0⎦ ⎣0 1⎦
158
 ⎡1 0 0 0⎤
y=⎢ ⎥ x
⎣0 0 1 0 ⎦

The observability matrix for this system is given by

⎡ 1 0 0 0⎤
⎢ 0 0 1 0 ⎥⎥
⎢
⎢ 0 1 0 0⎥
⎢ ⎥
⎢ 0 0 0 1⎥
ϕ=
⎢ 0.75 0 0 1⎥
⎢ ⎥
⎢ 0 −1 0 0⎥
⎢ 0 − 0.25 0 0⎥
⎢ ⎥
⎢⎣− 0.75 0 0 − 1⎥⎦

Clearly, rank [ϕ] = 4. Moreover, σ(A) = {0, 0, j0.5, -j0.5}.

⎡ C ⎤
For λ1 = λ2 = 0, rank ⎢ ⎥ = 4,
⎣λi I − A⎦ 159
Since
⎡ 1 0 0 0⎤
⎢ 0
⎢ 0 1 0 ⎥⎥
⎡ C ⎤ ⎡C ⎤ ⎢ 0 −1 0 0⎥
⎢λ I − A⎥ = ⎢− A⎥ = ⎢− 0.75 0 ⎥
0 − 1⎥
⎣ i ⎦ ⎣ ⎦ ⎢
⎢ 0 0 0 − 1⎥
⎢ ⎥
⎣⎢ 0 1 0 0 ⎦⎥

Def. Suppose rank [ϕ] < n, then N[ϕ] is the unobservable subspace of the state
space. Therefore, if x0 ∈ N[ϕ] then we cannot reconstruct x0 from input-output
measurements.
Proposition: Let x0 ∈ N[ϕ], then Ax0 ∈ N[ϕ]. (The unobservable subspace is A
invariant).

160
 ⎡ C ⎤
⎢ CA ⎥
Proof: If x0 ∈ N[ϕ], then ϕ x0 = ⎢ ⎥ x = 0 ⇒ Cx = CAx = … = CAn-1x = 0
⎢ M ⎥ 0 0 0 0

⎢ n−1 ⎥
⎣CA ⎦
Now,
⎡ CA ⎤ ⎡ CAx 0 ⎤ ⎡ 0 ⎤
⎢CA 2 ⎥ ⎢CA 2 x ⎥ ⎢ 0 ⎥
ϕAx0 = ⎢ ⎥x = ⎢
0
0⎥
=⎢ ⎥
⎢ M ⎥ ⎢ M ⎥ ⎢ M ⎥
⎢ n⎥ ⎢ n ⎥ ⎢ n ⎥
⎣CA ⎦ ⎣CA x 0 ⎦ ⎣CA x 0 ⎦

But, An = -a1An-1 - … - anI ⇒ CAnx0 = -a1CAn-1x0 - … - anCx0 = 0 ⇒ Ax0 ∈ N[ϕ].

Proposition: Let x0 ∈ Im[ϕT], then x0 can be reconstructed with certainty from

input-output measurements and Im[ϕT] is called the observable subspace of the
state space.

Proposition: Each x ∈ Rn has the decomposition x = xob + xunob,

161
where xob ∈ Im[ϕT] and xunob ∈ N[ϕ].
Corollary: x ∈ Rn is observable if and only if xunob = 0.
Let the matrix T1 form a basis for the observable subspace and T2 be a matrix
whose columns together with those of T1 form a basis for Rn. Then z = Tx,
⎡ T1T ⎤
⎢ ⎥
T = ⎢− − −⎥
⎢ T2T ⎥
⎣ ⎦
results in the Kalman observable form

⎡ z&o ⎤ ⎡ Ao M 0 ⎤ ⎡ zo ⎤ ⎡ Bo ⎤
⎢− − ⎥ = ⎢− − − − − ⎥ ⎢− − ⎥ + ⎢ − − ⎥ u
⎢ ⎥ ⎢ ⎥⎢ ⎥ ⎢ ⎥
⎢⎣ z&uo ⎥⎦ ⎢⎣ A21 M Auo ⎥⎦ ⎢⎣ zuo ⎥⎦ ⎢⎣ Buo ⎥⎦

⎡ zo ⎤
[
y = Co 0 ⎢ ⎥]
⎣ zuo ⎦
where zo is observable and zuo is unobservable, i.e., the pair ( Co , Ao ) is
observable.
162
Example: Consider the dynamic system described by

⎡2 0 1 ⎤ ⎡0 ⎤
x& = ⎢⎢0 − 2 0⎥⎥ x + ⎢⎢1⎥⎥ u
⎢⎣1 0 2⎥⎦ ⎢⎣1⎥⎦
⎡1 0 1⎤
y=⎢ ⎥ x
⎣1 0 - 1⎦
The observability matrix is given by

⎡1 0 1⎤
⎢1 0 − 1⎥⎥
⎢
⎢3 0 3⎥
ϕ=⎢ .
1 0 − 1⎥
⎢ ⎥
⎢9 0 9⎥
⎢1 0 − 1⎥⎦
⎣
Clearly, the rank of the observability matrix is 2 → system is not observable.
163
Let the observable subspace be described by T1 = CT and T2 = [1 1 1]T. Then,
the similarity transformation T is given by:

⎡1 0 1 ⎤
T = ⎢⎢1 0 − 1⎥⎥.
⎢⎣1 1 1 ⎥⎦

Application of this similarity transformation results in the equivalent system

⎡3 0 ⎤M 0 ⎡ 0.5 ⎤
⎡ zo ⎤ ⎢
& ⎥ ⎡ zo ⎤ ⎢ 1 ⎥
⎢− − ⎥ = ⎢ 0 M 1 0
⎥ ⎢− − ⎥ + ⎢ ⎥u
⎢ ⎥ ⎢− − − −⎥ ⎢ ⎥ ⎢ −− ⎥
⎢⎣ z&uo ⎥⎦ ⎢ ⎥ ⎢⎣ zuo ⎥⎦ ⎢ ⎥
0 M − 2⎦
⎣5 ⎣ − 0 . 5 ⎦
⎡ zo ⎤
⎡1 0 0 ⎤⎢ ⎥
y=⎢ ⎥ ⎢ − −⎥.
⎣0 1 0 ⎦ ⎢ z ⎥
⎣ uo ⎦
164
Theorem: The model (A, B, C) is completely controllable (observable) if and
only if (AT, CT, BT) is completely observable (controllable).

Proof: If (A, B, C) is completely controllable, then rank [Q] = rank [B AB …

An-1B] = n.

But,

⎡ BT ⎤
⎢ T T ⎥
B A
rank ⎢ ⎥ = rank [QT] = n ⇒ (AT, CT, BT) is completely observable.
⎢ M ⎥
⎢ T T n−1 ⎥
⎢⎣ B ( A ) ⎥⎦

165
 ⎡ C ⎤
⎢ CA ⎥
If (A, B, C) is completely observable, then rank [ϕ] = rank ⎢ ⎥ = n.
⎢ M ⎥
⎢ n−1 ⎥
⎣CA ⎦
Now, rank [CT ATCT … (AT)n-1CT] = rank [ϕT] = n ⇒ (AT, CT, BT) is completely
controllable.
Suppose now that (AT, CT, BT) is completely observable, then rank [ϕ1] is equal to
⎡ BT ⎤
⎢ T T ⎥
B A ⎥ = n. Now, rank [B AB … An-1B] = rank [ϕ1T] = n ⇒ (A, B, C)
rank ⎢
⎢ M ⎥
⎢ T T n−1 ⎥
⎢⎣ B ( A ) ⎥⎦

is completely controllable.

Suppose now that (AT, CT, BT) is completely controllable, then

rank [Q1] = rank [CT ATCT … (AT)n-1CT] = n.

166
 ⎡ C ⎤
⎢ CA ⎥
But, rank[Q1T] = rank ⎢ ⎥ = n ⇒ (A, B, C) is completely observable.
⎢ M ⎥
⎢ n−1 ⎥
⎣CA ⎦

Dynamic Observer Design (Deterministic Case)

Consider the scalar state model
x& = α x + β u
y =ξ x
Suppose also that the scalars α, β, ξ, u and y are known and that ξ = 1. We would
like to construct an estimate xe such that xe(t) → x(t) as t increases.

Let x& e ≡ α xe + β u and ε ≡ x - xe, then ε& = αε ⇒ ε (t ) = e α t ε (0)

If ε(0) = 0, i.e., xe(0) = x(0), then xe(t) = x(t) ∀ t regardless of α. If, on the other
hand, ε(0) ≠ 0, then depending on α, |ε(t)| may or may not go to zero, i.e., xe(t)
may or may not converge asymptotically to x(t). 167
More realistically, however, ξ ≠ 1 or y ∝ x (the measurement is proportional to the
state).
Let x& e = α xe + k ( y − ξ xe ) + β u
then, if ε = x - xe we get
ε& = x& − x& e = α ε − k ( y − ξ x e ) = α ε − kξ ( x − x e )
= (α − kξ )ε ⇒ ε (t ) = e (α − k ξ ) t ε (0)
⇒ε(t) → 0 as t → ∞ if k is chosen properly.

Suppose now that x ∈ Rn, u ∈ Rm and y ∈ Rp, i.e.,

x& = Ax + Bu
y = Cx
then if the pair (C, A) is observable, we can asymptotically reconstruct x with the
observer
x& e = Ax e + K ( y − Cx e ) + Bu ,
168
where K ∈ Rnxp.
Schematically, this is depicted as follows:

with this choice of observer structure, [x(t) - xe(t)] = e(A – KC)t [x(0) - xe(0)] and in
order for xe → x as t gets large, K must be chosen in such a way that the
eigenvalues of A – KC lie strictly on the left half of the s-plane.
169
Theorem: The pair (C, A) is completely observable ⇒ σ (A – KC) can be arbitrarily
assigned by the proper choice of K.

Proof: (C, A) observable ⇒ (AT, CT) controllable (by duality) ⇒ σ(AT + CTK1) can
be arbitrarily chosen by properly choosing K1. Let K = -K1T, then σ(A – KC) can be
arbitrarily assigned because σ(AT + CTK1) = σ(A – KC).

Example: Obtain a full-order state estimator for the 2nd order system
⎡0 1 ⎤ ⎡0 ⎤
&x = ⎢ ⎥ x + ⎢ ⎥u
⎣1 0⎦ ⎣1 ⎦
y = [0 1]x
such that σ(A – KC) = {-5, -5}.

⎡ C ⎤ ⎡0 1 ⎤
ϕ= ⎢ ⎥ = ⎢ ⎥ , ⇒ rank [ϕ] = 2 ⇒ system is observable.
⎣CA⎦ ⎣1 0⎦
Now, σ(A) = {-1, 1} ⇒ system is unstable. 170
Let
⎡0 1 ⎤ ⎡ k1 ⎤ ⎡0 ⎤
x& e = ⎢ ⎥ x e + ⎢ ⎥[ y − (0 1) x e ] + ⎢ ⎥u
⎣1 0⎦ ⎣k 2 ⎦ ⎣1⎦
then,
⎡⎛ 0 1 ⎞ ⎛ k1 ⎞ ⎤ ⎡ 0 1 − k1 ⎤ ⎡0 − (k1 − 1)⎤
ε& = ⎢⎜⎜ ⎟⎟ − ⎜⎜ ⎟⎟(0 1)⎥ ε = ⎢ ⎥ ε=⎢ ⎥ ε
⎣⎝ 1 0 ⎠ ⎝ k 2 ⎠ ⎦ ⎣1 − k 2 ⎦ ⎣1 − k2 ⎦

and πA – KC(λ) = λ2 + k2λ + (k1 – 1) = (λ +5)2 = λ2 + 10λ + 25

⇒k1 – 1 = 25, or k1 = 26 and k2 = 10.

⎡26⎤
Hence, K = ⎢ ⎥.
⎣10 ⎦

Let the initial condition of the state estimator be

⎡0.1⎤
x e (0) = ⎢ ⎥.
⎣0⎦
Then, the performance of the state estimator is shown in the following figures:
171
 Full State Estimator
0.7

0.6
x1
x 1e
0.5

0.4
state x 1

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
time (sec)
 Full State Estimator
1.4

1.2

0.8
state x 2

0.6

x2
0.4 x 2e

0.2

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
time (sec)

173
Feedback From State Estimates:
Let a linear time-invariant dynamic system be described by
x& = Ax + Bu
y = C x + Du ⊗

Let the system described by ⊗ be controllable and observable, then, if the

state variables are not available for feedback, we can design a state estimator
and feedback the estimates in lieu of the actual state variables.

Let the control signal be given by u(t) = −F xe (t) + ur (t).

Then the closed-loop system is given by
x& (t ) = Ax(t ) − BFx e (t ) + Bur (t )
and the state estimator is now described by

x& e (t ) = Ax e (t ) + K ( y (t ) − Cx e (t )) + B(− Fx e (t ) + ur (t ))

174
In block diagram form, the complete system is shown below

This is called the controller-estimator configuration.

175
It can be shown that the above system has the same eigenvalues and the same
transfer function as the system with control signal
u(t ) = − F x (t ) + ur (t )
In augmented form,

⎡ x& ⎤ ⎡ A − BF ⎤ ⎡ x ⎤ ⎡ B⎤
⎢ x& ⎥ = ⎢ KC A − KC − BF ⎥ ⎢ x ⎥ + ⎢ B ⎥ ur
⎣ e⎦ ⎣ ⎦⎣ e ⎦ ⎣ ⎦
⎡x⎤
y = [C 0] ⎢ ⎥
⎣ xe ⎦
Consider the following nonsingular similarity transformation

⎡ x⎤ ⎡ x ⎤ ⎡I 0 ⎤⎡ x ⎤ ⎡x⎤
⎢ ε ⎥ = ⎢ x − x ⎥ = ⎢I ⎥ ⎢ ⎥ =T⎢ ⎥
⎣ ⎦ ⎣ e⎦ ⎣ − I ⎦⎣ xe ⎦ ⎣ xe ⎦

176
Then, the new equivalent system is given by

⎡ x& ⎤ ⎡ A − BF BF ⎤ ⎡ x ⎤ ⎡ B ⎤
⎢ ε& ⎥ = ⎢ 0 ⎥ ⎢ ⎥ + ⎢ ⎥ ur (t )
A − KC ⎦ ⎣ ε ⎦ ⎣ 0 ⎦
⎣ ⎦ ⎣
⎡ x⎤
y = [C 0]⎢ ⎥
⎣ε ⎦
To show that the estimator does not affect the location of the eigenvalues of the
original state feedback system, we calculate the augmented system’s transfer
function.

⎡ A − BF BF ⎤ ⎡B⎤
A ≡
Let overall ⎢ ⎥ , Boverall ≡ ⎢ ⎥ and Coverall ≡ [C 0].
⎣ 0 A − KC ⎦ ⎣0⎦

Then, Y ( s ) = Coverall (sI − Aoverall ) BoverallU ( s ) ,

−1

177
where

(sI − Aoverall )
−1 ⎛ (sI1 − ( A − BF ) )−1
= ⎜⎜
(sI1 − ( A − BF ) )−1 BF (sI1 − ( A − KC ) )−1 ⎞⎟
0 (sI1 − ( A − KC ) )−1 ⎟
⎝ ⎠
So,
Y ( s ) = C (sI1 − ( A − BF ) ) BU ( s ) = H ( s)U ( s ) .
−1

Which establishes that the transfer function of the original closed-loop system
does not change with the introduction of the state estimator in the loop.
Example: Consider the same system of the last example. This system is unstable
with eigenvalues at -1 and 1. Let the desired closed-loop system have eigenvalues
at -2 ± j2, i.e., the desired characteristic polynomial is given by
π A− BF (λ ) = (λ + 2 + j 2)(λ + 2 − j 2) = λ2 + 4λ + 8
⎛ λ −1 ⎞
= det(λI − ( A − BF )) = det⎜⎜ ⎟⎟
⎝ f1 − 1 λ + f 2 ⎠
= λ2 + f 2 λ + f1 − 1
178
This implies that f1 = 9 and f2 = 4.
Let us now apply the feedback control based on the estimates rather than on the
actual values of the states, i.e.,
⎡ xe1 (t ) ⎤
u (t ) = −[9 4] ⎢ ⎥ + ur (t ) .
x
⎣ e2 ⎦(t )
Then, the performance of the estimator-based closed-loop system is shown in the
following figure when the reference input is a unit step and the initial values of
the system state and that of the estimator are

⎡0 ⎤ ⎡ .5 ⎤
x (0) = ⎢ ⎥ and xe (0) = ⎢ ⎥ ,
⎣0 ⎦ ⎣− .2⎦
respectively.

179
System with estimated state feedback control

Estimator state feedback controlled system with unit step reference input
0.6

0.4

0.2

0
states x 1 and x 2

-0.2

-0.4

-0.6

-0.8 x1
x2
-1
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
time (sec)
180
System with actual state feedback control

State feedback controlled system with unit step reference input

0.16

0.14

0.12

0.1
states x 1 and x 2

0.08 x1
x2
0.06

0.04

0.02

-0.02
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
time (sec)
181