University of Pennsylvania

ESE 500: Linear Systems Theory

Homework III
Due: on Monday 11/08 at 23:59 on Gradescope

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Errata (Last update 10/30)

1. Problem 4: In part d), replace “asymptotically stable” by “Lyapunov stable.”

2. Problem 5:

• The second ẋ1 should have been ẋ2 .

• In part d), replace “asymptotically stable” by “Lyapunov stable.”
• In part e), you only need to construct (i.e., explicitly state) a valid Lyapunov
function for the linearized system, based on P and in accordance to the theory seen
in class, but you do not need to prove that it is indeed a valid Lyapunov function that
certifies asymptotic stability (for both the linearized and original nonlinear system,
actually).

3. Problem 6: The hint should have been P = ∞ k > k

P
k=0 (A ) QA .

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Problem 1 (8 points). Given an n × n matrix A, show that if there exist symmetric, positive-
definite matrices M, Q ∈ Rn×n satisfying
AT QA − ρ2 Q = −ρ2 M (1)
with ρ > 0, then the eigenvalues of A satisfy |λ| < ρ. Conversely, show that if the eigenvalues
of A satisfy |λ| < ρ, then given any symmetric, positive definite matrix M ∈ Rn×n , there exists
a unique symmetric, positive definite matrix Q ∈ Rn×n that satisfies equation (1).
Problem 2 (12 points). Consider the nonlinear system
ẋ = Ax + g(x) (2)
where g(x) is a nonlinear function of the state x such that g(0) = 0. Prove that there exists an
 > 0 such that if kg(x)k2 <  kxk2 and the system
ẋ = Ax (3)
is asymptotically stable then system (2) is asymptotically stable.
Problem 3 (BIBO stability, 12 points). Consider the system:
   
−1 0 0 1
ẋ = 0 −1 2 x + 2  u,
   y = [1 0 1]x + u
0 1 0 −1

a) (4 points) Without using MATLAB at all compute eAt .

b) (4 points) Is this system asymptotically stable, marginally stable, or unstable?(Internal
stability of zero-input response)
c) (4 points) Is this system BIBO stable? (External stability of zero-state response)
Problem 4 (14 points). The Lienard equation
ÿ + f (y)ẏ + g(y) = 0
describes a broad class of systems, such as the Van der Pol oscillator and the unforced mass
spring system seen in recitation 2. Suppose that f, g : R → R are continuously differentiable
functions, with f (y) > 0 for all y 6= 0 and g strictly increasing and such that g(0) = 0.
 
y
a) (2 point) Find a state-space representation of the system, using state x = .
ẏ
b) (2 points) Prove that the origin is the only equilibrium of the system.
c) (4 points) Linearize the system around the equilibrium from part b) and investigate the
stability of the linearized system. Can you use linearization to say anything about the
stability of the original nonlinear system?
d) (6 points) Prove that
R x the system is Lyapunov stable by constructing a suitable Lyapunov
function. Hint: dxd1 0 1 g(y)dy = g(x1 ).
Remark : The Lienard equation is most commonly studied when f and g are, respectively, even
R y if we drop the assumption that f (y) > 0 for all y 6= 0 and
and odd functions. In particular,
instead assume that F (y) := 0 f (ξ)dξ → +∞ as y → +∞ and that F has exactly one positive
root p, which is such that F (y) < 0 for 0 < y < p and F (y) monotonic for y > p, then it can
be proved that the system has a unique stable limit cycle, meaning that all trajectories spiral
into a closed path in R2 , oscillating therein forever without converging to the equilibrium or
diverging from it. The prototypical example is the Van der Pol oscillator ÿ − µ(1 − y 2 )ẏ + y = 0
with µ > 0 (called the damping parameter).

2
Problem 5. (15 points) Consider the following nonlinear system
x2
ẋ1 = − − 2x1
1 + x21
x1
ẋ2 = .
1 + x21
a) (1 points) Determine the only equilibrium point of the system and prove that it is unique.
b) (3 points) Linearize the system around its only equilibrium.
c) (3 points) Use the linearization from part b) to prove that the system is asymptotically
stable.
d) (4 points) Use the Lyapunov candidate function V (x) = x21 + x22 to prove that the system is
Lyapunov stable.
e) (4 points) Let A be the matrix determined in the linearization done earlier, in part b), and
2 0
let Q = . Solve the Lyapunov equation A> P + P A = −Q and use the solution to
0 2
obtain a new Lyapunov function.
Problem 6 (12 points). Prove Theorem 5 in Lecture 11, i.e. prove that the following statements
are equivalent, where A ∈ Rn×n :
a. The discrete-time LTI system xk+1 = Axk is asymptotically stable.
b. For all Q = Q>  0, there exists a unique solution P = P >  0 to the discrete Lyapunov
equation A> P A − P = −Q.
c. ρ(A) < 1, where ρ(A) = max{|λ| : λ is an eigenvalue of A} denotes the spectral radius of A.
Hint: Consider P = ∞ k > k
P
k=0 (A ) QA .

Problem 7 (12 points). Consider the linear time varying system

ẋ(t) = A(t)x(t), x(t0 ) = x0 (4)

Suppose P (t) is a Lyapunov transformation, i.e. a continuously differentiable n × n matrix-

valued function, invertible at every t, and such that there exist constants ρ > 0 such that
kP (t)k2 ≤ ρ for all t. This is also equivalent to existence of η > 0 such that |det(P (t))| ≤ η
for all t. The properties of required of a Lyapunov transformation subsume those required of a
variable change.

kF k2n−1
a) (2 points) For an n × n invertible matrix F , prove that kF −1 k2 ≤
| det(F )|
b) (2 points) Prove that system (4) is uniformly stable if and only if the system

ż(t) = [P −1 (t)A(t)P (t) − P −1 (t)Ṗ (t)]z(t)

is uniformly stable. The same is true same for uniformly exponential stability.
 
−1 0
c) (8 points) Consider the system (4) with A(t) = . Without using MATLAB,
− cos(t) 0
find the state transition matrix Φ(t, 0) and an appropriate Lyapunov transformation P (t).
Is the system (4) uniformly stable? Is the system (4) uniformly assymptotically stable? Is
the system (4) uniformly exponentially stable?
Hint 1: Take a look at pages 89-95 of the Lecture Notes (uploaded on Canvas).
Hint 2: Problem 6 of homework 2 might be useful...

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Problem 8 (15 points). Suppose that the linear state equation

ẋ(t) = A(t)x(t) + Bu(t), x(t0 ) = x0 ∈ Rn

is uniformly stable. Prove that the linear state equation

ż(t) = [A(t) + F (t)]z(t)

is uniformly stable if there exists a finite constant β such that for all τ
Z ∞
kF (σ)k dσ ≤ β
τ

Hint: Given continuous functions φ(t) and ν(t) defined for t ≥ t0 with ν(t) ≥ 0 for t ≥ t0 , and
some constant Ψ, then the inequality
Z t
φ(t) ≤ Ψ + ν(σ)φ(σ)dσ, t ≥ t0
t0

implies the inequality Rt

ν(σ)dσ
φ(t) ≤ Ψe t0 , t ≥ t0
This is known as the Grönwall-Bellman inequality.