Dynamical systems and

stochastic processes
John Lataire
Dynamical Systems
 Discrete time dynamical systems
u y
G

• u(t), y(t) : ℤ → ℝ,
• t ∈ ℤ is the discrete time
• u(t): input signal
• y(t): output signal
• u, y ∈ discrete time signals

• G: → : u → y = G(u)

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 System properties
u y
G
• Linearity
• A system G is linear if ∀α, β ∈ ℝ and u, w ∈ we have that
G(αu + βw) = αG(u) + βG(w)

• Time invariance
• A system G is time invariant if for any u, y ∈ and T ∈ ℤ we have that
y(t) = G(u(t)) ⇔ y(t − T ) = G(u(t − T ))
That is, the response remains the same, whether the input is applied now,
earlier, or later.

• Causality
• A system G is causal if for any t, s ∈ , y = G(u), y′ = G(u′)
u′(s) = u(s) for s ⩽ t ⇒ y′(t) = y(t)
That is, the response of the system does not depend on future input.

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 LTI, impulse response

• Impulse response: completely de nes the LTI system

{0 otherwise
1 for t = 0
Impulse: δt =
•
• Response to impulse G(δt) = g(t)

• Response to arbitrary excitation u(t): convolution

∞

∑
y(t) = g(k)u(t − k) = (g * u)(t), or short: y = g * u
• k=−∞
∞

∑
if causal: y(t) = g(k)u(t − k)
• k=0

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 Stability LTI systems

• Bounded Input Bounded Output stability:

∞

∑
| g(t) | < ∞
• t=0

• Strict stability
∞

∑
t | g(t) | < ∞
• t=0

• Class of systems g ∈ is uniformly stable if

• ∀g ∈ : | g(t) | ⩽ h(t) with h BIBO stable

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 Examples discrete time LTI

• Ordinary difference equations

1
A. y(t) − y(t − 1) = u(t) + 0.3u(t − 1)
2
B. y(t) − 1.8 cos(π/4)y(t − 1) + 0.92y(t − 2) = 0.9u(t − 1)

1
1
0.8
0.5
0.6
A B
y(t)

y(t)
0.4 0

0.2 -0.5

0 5 10 15 20 0 10 20 30 40 50
time time

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Example UNSTABLE LTI system

• Ordinary difference equations

y(t) − 2.2 cos(π/4)y(t − 1) + 1.12y(t − 2) = 1.1u(t − 1)
10 4
1.5

0.5
y(t)

-0.5

-1
0 20 40 60 80 100
time

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 -transform
𝒵
 transform

∞
u(t)z −t, z ∈ ℂ
∑
Z transform of u ∈ is: Z(u) : U(z) =
• t=−∞

• Inverse Z transform:
1
2π ∫ω∈[0,2π)
−1
Z (U) = u(t) = U(e jω)e jωtdω
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 -transform: properties

• Convolution: Z(g * f ) = Z(g)Z( f )

• Symmetry. For u real: U(z) = U(z)

• Time shift:
• Z(u(t + 1)) = zZ(u(t)), Z(u(t − 1)) = z −1Z(u(t))
𝒵
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 -transform pairs
• u(t) = 0 for t < 0. For t ⩾ 0 we have:
1
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t
u(t) = a , Z(u) = U (z) =
1 az 1
az 1
u(t) = tat , U (z) =
(1 az 1 )2
1 z 1 cos(!0 )
u(t) = cos(!0 t) , U (z) =
1 2z 1 cos(!0 ) + z 2

z 1 sin(!0 )
u(t) = sin(!0 t) , U (z) =
1 2z 1 cos(!0 ) + z 2
⇣z ⌘
Z(at u(t)) = U
a
1 az 1 cos(!0 )
u(t) = at cos(!0 t) , U (z) =
1 2az 1 cos(!0 ) + a2 z 2

az 1 sin(!0 )
u(t) = at sin(!0 t) , U (z) =
1 2az 1 cos(!0 ) + a2 z 2
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 -transform of difference equation

• Consider the difference equation

na nb

∑ ∑
an y(t − n) = bnu(t − n)
n=0 n=0

• Taking the Z transform of both sides gives

na nb
anz −nY(z) = bnz −nU(z)
∑ ∑
n=0 n=0

or
n
Y(z) B(z) ∑n=0
b
bnz −n
= G(z) = = na
U(z) A(s) ∑n=0 anz −n

• Use the pair of Z-transform to determine the impulse response function of the rational
form
• Note that the stability of the system is guaranteed
if the poles of G(z) are inside the unit circle (gives an exponentially decaying IRF).
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 Poles of 2nd order LTI

−1
ℑ
1 − az cos(ω0) unstable
G(z) =
1 − 2az −1 cos(ω0) + a 2z −2
a
stable ω0 ℜ
p1,2 = a cos(ω0) ± 2 2
a cos (ω0) − a 2

= a (cos(ω0) ± j sin(ω0))

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Parametric LTI model classes
 Parametric LTI model classes
Denote time-shift operator q, s.t.
qu(t) = u(t + 1), q −1u(t) = u(t − 1)
Time domain q → -domain z.

General model structure

y(t) = G(q)u(t) + H(q)e(t)
with e white noise and
∞ ∞
g(k)q −k h(k)q −k
∑ ∑
G(q) = H(q) = 1 +
k=0 k=1

Then, G(q) and H(q) are considered as rational forms.

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 Models with rational transfer functions

Common cases
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y(t) = B(q)u(t) + e(t) FIR

B(q)
y(t) = u(t) + e(t) output error
F (q)
A(q)y(t) = B(q)u(t) + e(t) Auto-Regressive Exogenous (ARX)
A(q)y(t) = C(q)e(t) ARMA
A(q)y(t) = B(q)u(t) + C(q)e(t) ARMAX
C(q)
A(q)y(t) = B(q)u(t) + e(t) ARARMAX
D(q)
B(q) C(q)
y(t) = u(t) + e(t) Box-Jenkins
F (q) D(q)

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Models with rational transfer functions

General form, with A, C, D, F monic ( rst coef cient = 1)

B(q) C(q) white noise
A(q)y(t) = u(t) + e(t)
F(q) D(q) e

C
AD

u B
+ y
AF

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