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Nonlinear Systems: Lyapunov Stability Theory - Part 2
Nonlinear Systems: Lyapunov Stability Theory - Part 2
G. Ferrari Trecate
Review
A set G ⊆ Rn is (positively) invariant for ẋ = f (x) if
Examples
G = {x̄}, x̄ equilibrium state
G = {p1 , p2 , p3 } if pi ∈ Rn , i = 1, 2, 3 are equilibrium states
Periodic orbits and limit cycles
G = Rn
Ferrari Trecate (DIS) Nonlinear systems Advanced autom. and control 2 / 36
Local LaSalle theorem
Theorem
Let V (x) ∈ C 1 be a scalar function with the following properties:
∃l > 0 such that the level set Ωl = {x : V (x) < l} is bounded
V̇ (x) ≤ 0 ∀x ∈ Ωl
n o
Let R = x : V̇ (x) = 0 ∩ Ωl and let M the largest invariant set in R.
Then, ∀x(0) ∈ Ωl one has φ(t, x(t)) → M for t → +∞a
a
In the sense that limt→+∞ inf z∈M kφ(t, x(0)) − zk = 0
Model
ẋ1 = x2
b k0 k1
ẋ2 = − x2 |x2 | − x1 − x13
m m m
m, b, k0 , k1 > 0
We have already shown that
x̄ = 0 is an equilibrium state 2
11
2 2 11
3 2
1.5
1 1 1 2 1 3
1
3 1
2 2 4 0.5 2
1 0.5
1
3
in R2
0.5
x2
0
2 1
2
−0.5 3
−1 3 0.5 2
1
1 3
1
−1.5 2
3 3
1 1 1 1 1
V (x) = mx22 + k0 x12 + k1 x14 ≥ mx22 + k0 x12 ≥ ckxk2
2 2 4 2 2
( )
1 1
for c = min m, k0 . Then since {x : ckxk < l} is bounded
2 2
∀l > 0, also Ωl is bounded.
n T o
R = x : x22 |x2 | = 0 ∩ Ωl = x1 0 , x1 ∈ R ∩ Ωl
System
ẋ1 = x1 x12 + x22 − 2 − 4x1 x22
... therefore x̄ = 0 is AS
M=R
From LaSalle theorem, Ω1 is a region of attraction of x̄ = 0
Remarl
Also Ωl , l ∈ [1, 2] is a region of attraction of x̄ = 0. However, Ωl , l > 2 is
not a regione of attraction of x̄ = 0 (check it at home !)
Theorem
Let V (x) ∈ C 1 be a scalar function such that
V (x) is radially unbounded
V̇ (x) ≤ 0, ∀x ∈ Rn
n o
Define R = x : V̇ (x) = 0 and let M be the largest invariant set in R.
Then, ∀x(0) ∈ Rn one has φ(t, x(t)) → M for t → +∞
Remark
V radially unbounded ⇒ sets Ωl are bounded, ∀l > 0
System
ẋ1 = − (x2 − a) x1 a∈R
ẋ2 = γx12 γ>0
Problem
Show that all state trajectories converge to X
System
ẋ1 = − (x2 − a) x1 a∈R
ẋ2 = γx12 γ>0
Candidate function V
1 1
V (x) = x12 + (x2 − b)2 for b > a.
2 2γ
It is radially unbounded
It is not psd since V (0) 6= 0
x2 − b 2
V̇ (x) = x1 (− (x2 − a)x1 )) + γx1 =
γ
= −x12 (x2 − a) + x12 (x2 − b) = −x12 (b − a) ≤ 0, ∀x ∈ R2
Model
ẋ1 = x2
ẋ2 = −b(x2 ) −x13
| {z } |{z}
damping elastic force
Conclusions:
V is pd and V̇ is nsd in all Bδ (0). From Lyapunov stability theorem, x̄ = 0
is stable
V is radially unbounded and V̇ ≤ 0, ∀x ∈ R2 . From LaSalle theorem (global
version) the region of attraction of x̄ = 0 is R2
We conclude that x̄ = 0 is GAS
Review
Stability of x̄ = 0 does not depend upon inputs and one can study the
stability of the origin of
ẋ = Ax (3)
If x̄ = 0 of (3) is stable/AS/unstable, all equilibrium states of (2) due
to a constant input have the same property
For LTI systems one says that “the system is stable”.
Next
Study how Lyapunov theory looks like when applied to linear systems
Since
M + MT M − MT
x T Mx = x T x + xT x
2 2
one can assume without loss of generality that M is symmetric.
Problem
Is it also true that if x̄ = 0 is AS then there is P such that
AT P + PA < 0 ?
Ferrari Trecate (DIS) Nonlinear systems Advanced autom. and control 20 / 36
Lyapunov theorem for LTI systems
Theorem
A necessary and sufficient condition for the asymptotic stability of an LTI
system is that for all symmetric matrices Q > 0 the only matrix P that
solves the Lyapunov equation is symmetric and P > 0. In this case
V (x) = x T Px is a Lyapunov function and V̇ (x) = −x T Qx.
Remarks
For LTI systems it is enough to consider quadratic Lyapunov
functions !
Example of “converse Lyapunov theorem”: if x̄ = 0 is AS, then there
is a Lyapunov function
I converse Lyapunov theorems exisit just for special classes of NL systems
Algorithm:
I choose Q > 0 (e.g. Q = I )
I solve AT P + PA = −Q (linear systems in the entries of the symmetric
matrix P)
I the LTI system is AS if and only if P > 0
Ferrari Trecate (DIS) Nonlinear systems Advanced autom. and control 21 / 36
Lyapunov theorem for LTI systems
Proof
We have already seen that for a given P, if there is Q such that
AT P + PA = −Q the system is AS.
We now show that if the system is AS then, given a symmetric matrix
Q > 0, the equation AT P + PA = −Q has only one solution P and P > 0.
Define Z +∞
T
P= e A t Qe At dt
0
Since det(e At )
6= 0, for all A ∈ Rn×n , one has that P is pd. Moreover P is
T T
symmetric (since e A t = e At and Q = Q T ). One has
Z +∞
T T T
A P + PA = AT e A t Qe At + e A t Qe At A dt =
0
Z +∞ d AT t At h T i+∞
= e Qe dt = e A t Qe At
0 dt 0
(
ẋ1 = 4x2 + u 0 4
⇒A=
ẋ2 = −8x1 − 12x2 −8 −12
1 5 1
P= ⇒ eigenvalues: 0.0477, 0.3273
16 1 1
(
ẋ1 = 4x2 + u 0 4
⇒A=
ẋ2 = −8x1 − 12x2 −8 −12
1 5 1
P=
16 1 1
λmin (Q)
Eigenvalues of P are 0.0477 and 0.3273. Then γ = = 1.5276
2λmax (P)
This implies, ∀x(0) ∈ R2 , kx(t)k ≤ ckx(0)ke −1.5276t , where c > 0 is a
suitable constant.
Theorem
The equilibrium state x̄ of Σ
is AS if all eigenvalues of Σl have real part < 0
is unstable if at least an eigenvalue of Σl has real part > 0
hHen the origin is AS, the proof of the theorem provides an estimate of
the region of attraction
AT P + PA = −Q
Write f as
f (x) = Ax + g (x)
where A = Dx f (x) and g (x) is the remainder of the Taylor series of f
x=0
around the origin.
= x T AT P + PA x + 2x T Pg (x) = −x T Qx + 2x T Pg (x)
From (6) one has
For a sufficiently small γ, one has λmin (Q) − 2γλmax (P) > 0. We have
then shown that in Br (0) (where r is such that (7) holds) V is pd and V̇
is nd. Form LaSalle thereom, we can show that any level set
Ωl = {x : V (x) < l} included in Br (0) is a region of attraction for x̄ = 0.
Algorithm
decompose f as f (x) = Ax + g (x), A = Dx f (x)
x=0
pick Q > 0 and solve AT P + PA = −Q
λmin (Q)
compute γ such that >γ
2λmax (P)
Let Br(0) such that x ∈ Br (0) ⇒ kg (x)k < γkxk. Any level set
Ωl = x : x T Px < l included in Br (0) is a region of attraction.
Remark: the estimation of the maximal region of attraction is conservative
1
In particular, from Hartman-Grobman theorem, the origin is a stable node.
Ferrari Trecate (DIS) Nonlinear systems Advanced autom. and control 33 / 36
Example
Estimate of the region of attraction
0 1 x1 0 0
f (x) = + ⇒ g (x) =
−1 −2 x2 −x13 −x13
and therefore
√
1 3 1 2
P= ⇒ eigenvalues: 1 ±
2 1 1 2
λmin (Q)
Choose γ such that >γ
√ 2λmax (P)
2
λmax (P) = 1 + , λmin (Q) = 1
2
λmin (Q) 1 1
= √ > γ ⇒ set (arbitrarily) γ =
2λmax (P) 2 + 2 4
Conclusion
Let r be such that x ∈ Br (0) ⇒ kg (x)k < γkxk.
0
1 1q 2
kg (x)k < γkxk ⇒
< kxk ⇒ |x13 | < x1 + x22
x3
4 4
1
Any ellipsoid
( )
1 3 1 x1
x1
Ωl = : x1 x2 <l
x2 2 1 1 x2