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03 Lyapunov PDF
03 Lyapunov PDF
1 Introduction
In this lecture we consider the stability of equilibrium points of autonomous
nonlinear systems, both in continuous and discrete time. Lyapunov stability
theory is a standard tool and one of the most important tools in the analysis
of nonlinear systems. It may be extended relatively easily to cover non-
autonomous systems and to provide a strategy for constructing stabilizing
feedback controllers. In the sequel we present the results for time-invariant
systems. They may be derived for time varying systems as well, but the
essential idea is more accessible for the time invariant case. For further
reading you can consult [1].
Bδ
x0
B
Figure 2: Lyapunov function in two states V = x21 + 1.5x22 . The level sets are
shown in the x1 x2 -plane.
−x1 + 2x21 x2
f1 (x)
ẋ = f (x) = =
f2 (x) −x2
with λ1 , λ2 > 0. If we plot the function V (x) for some choice of λ’s we
obtain the result in Figure 2. This function has a unique minimum over all
the state space at the origin. Moreover, V (x) → ∞ as kxk → ∞.
Calculate the derivative of V along the trajectories of the system
V̇ (x) = 2λ1 x1 (−x1 + 2x21 x2 ) + 2λ2 x2 (−x2 ) = −2λ1 x21 − 2λ2 x22 + 4λ1 x31 x2
Ωβ
Bδ
Br
Further ∃δ > 0 such that kxk < δ ⇒ V (x) < β. Therefore, we have that
Bδ ⊂ Ωβ ⊂ Br
and furthermore
F (x)
M
Ff (ẋ) = −δ ẋ
0 x
M ẍ = −F (x) − δ ẋ (7)
Therefore,
the system
is stable but we can’t prove asymptotically stability
x1
because V̇ = 0, ∀x1 . However, we shall see that using LaSalle’s
0
invariance principle we can conclude that the system is asymptotically stable.
where the function h is locally Lipschitz with h(0) = 0 and x1 h(x1 ) >
0, ∀x1 6= 0. Take the Lyapunov function candidate
Zx1
1 T k k
V (x) = x x + h(s)ds
2 k 1
0
Hence the derivative of V is negative definite for all x ∈ R2 , since 0 < k < 1
(otherwise V is not positive definite! - convince yourself). Therefore, the
origin is globally asymptotically stable.
V (x) = xT P x
where P = P T > 0. Then
AT P + P A = −Q,
1. A is Hurwitz
That P = P T > 0 follows from the properties of Q. Note that the integral
will converge if and only if A is a Hurwitz matrix. We now show that P
satisfies the matrix Lyapunov equation:
R∞h T T
i
AT P + P A = 0 AT eA t QeAt + eA t QeAt A dt
R ∞ d h AT t At i
= 0 dt
e Qe dt
∞
T
= eA t QeAt = −Q
0
AT (P − P̄ ) + (P − P̄ )A = 0
Where the last limit follows from the fact that A is Hurwitz. Therefore,
P = P̄ .
The fact that 2. ⇒ 1. follows from taking V (x) = xT P x.
then
1. The origin is asymptotically stable if Re (λi ) < 0 for all eigenvalues of
A
2. The origin is unstable if Re (λi ) > 0 for one or more of the eigenvalues
of A
Proof: If A is Hurwitz, then there exists P = P T > 0 so that V (x) = xT P x
is a Lyapunov function of the linearized system. Let us use V as a candidate
Lyapunov function for the nonlinear system
ẋ = f (x) = Ax + (f (x) − Ax) , Ax + g(x)
The derivative of V is given by
V̇ (x) = xT P f (x) + f (x)T P x = xT P Ax + xT AT P x + 2xT P g(x) (13)
= −xT Qx + 2xT P g(x) (14)
The function g(x) satisfies
kg(x)k2
→ 0 as kxk2 → 0
kxk2
Therefore, for any γ > 0, there exists r > 0 such that
kg(x)k2 < γ kxk2 , ∀ kxk2 < r
As such,
V̇ (x) < −xT Qx + 2γ kP k2 kxk22 , ∀ kxk2 < r
But we have the following fact x Qx ≥ λmin (Q) kxk22 , where λmin indicates
T
Theorem 4 does not say anything when Re (λi ) ≤ 0 ∀i with Re (λi ) = 0
for some i. In this case linearization fails to determine the stability of the
equilibrium point, and further analysis is necessary. The multi-dimensional
result which is relevant here is the Center Manifold Theorem. This theorem
is beyond the scope of this course.
Example 5 The system ẋ = ax3 , a > 0 has an unstable equilibrium point at
x = 0. The same system is asymptotically stable at the origin for a < 0. In
both cases the linearized system is given by ẋ = 0, and we cannot conclude
anything from the linearization or Lyapunov’s indirect method. However, if
we use Lyapunov’s direct method with V (x) = 41 x4 , then V̇ (x) = ax6 and if
a < 0 then the system is globally asymptotically stable.
V̇ (x) = 0 ⇔ x2 = 0
6 Instability Theorem
Theorem 6 Let x = 0 be an equilibrium point of the system ẋ = f (x). Let
V : D → R be a continuously differentiable function such that
U = {x ∈ Br | V (x) > 0}
Note that the requirements on V (x) are not as strict on the requirements on
a Lyapunov function.
Example 7 The set U for V (x) = 12 (x21 − x22 ) is shown in Figure 5. Consider
the system
ẋ1 x1
=
ẋ2 −x2
then V̇ (x) = x21 + x22 > 0 for x ∈ U , proving that the system is unstable.
x2
x2 = x1
Br
U U
x1
x2 = −x1
along the trajectories. For discrete-time systems, we require that the differ-
ence in the Lyapunov function is negative along the trajectories. Also, quite
importantly we do not require that V is continuously differentiable, but to
be only continuous.
If we now consider a linear discrete-time system given by
x(k + 1) = F x(k) (17)
where F ∈ Rn×n . The asymptotic stability of such a system is characterized
by the eigenvalues being strictly inside the unit circle in the complex plane.
Definition 4 The matrix F is called Schur or asymptotically stable, if and
only if
|λi | < 1, ∀i = 1, · · · , n
where λi ’s are the eigenvalues of the matrix F .
Theorem 8 Consider the linear discrete-time system (17), the following
conditions are equivalent:
1. The matrix F is Schur stable
2. Given any matrix Q = QT > 0 there exists a positive definite matrix
P = P T satisfying the discrete-time matrix Lyapunov equation
F T P F − P = −Q (18)
Proof: Let’s first show that 1. ⇒ 2. Let F be P∞SchurT stable and take any
T i i
matrix Q = Q > 0. Take the matrix P = i=0 (F ) QF , which is well
defined by the asymptotic stability of F , and P = P T > 0 by definition.
Now, substitute P into (18)
∞
! ∞
X X
FTPF − P = FT (F T )i QF i F − (F T )i QF i
i=0 i=0
∞
X ∞
X
T i i
= (F ) QF − (F T )i QF i = −Q
i=1 i=0
References
[1] H. K. Khalil. Nonlinear systems. Prentice hall, 3rd edition, 2002.