Stability

EE-601
Linear System Theory

Prof. Bidyadhar Subudhi

School of Electrical Sciences
Indian Institute of Technology Goa
 Contents
• Introduction
• Input-output stability of LTI systems
• Internal stability
• Lyapunov theorem
• Stability of LTV systems

1
Asymptotically Stability
• Consider
 
• The system is said to be asymptotically stable if all the states
approach to zero with time i.e.

• Diagonalize the system(simplifies task to look all components

of system one at a time)

 𝑥 ( 𝑡 )=𝑃𝑧 (𝑡 ) → 𝑧˙ = 𝑧 ( 𝑡 )

2
 Asymptotically Stability
•  is the diagonal matrix of eigenvalues of A

Individual subsystems are  𝑧

˙ =𝑖 𝑧 𝑖 (𝑡 )
𝑖

Solution:   =

 If eigenvalues
of the system have negative real parts (i.e. they are in
LHP), individual states go to zero asymptotically with time
Because  𝑥 ( 𝑡 ) =𝑃𝑧 ( 𝑡 ) → 𝑥 (𝑡)→0

Thus, System is AS if its eigenvalues are in LHP

3
 BIBO Stability
•A
  SISO system is BIBO stable if and only if g(t) is absolutely
integrable in [0, ), or
for some constant M

Condition that guarantees BIBO stability: All the transfer

function poles be in LHP.

4
 AS and BIBO Stability
• What
  is the difference between AS & BIBO Def??
• Does one implies other?
• Consider

• Eigenvalues of system
• appears in denominator of TF
Remarks:
• In absence of P-Z cancellations, TF poles are identical to system
eigenvalues
• Hence, BIBO stability and AS are equivalent
5
 Stable and unstable equilibrium positions
A ball resting in equilibrium on a sheet of metal
bent into various shapes with cross sections
Neglect frictional forces, a small perturbation from
the equilibrium leads to:
1. Oscillatory motion about equilibrium irrespective of
the magnitude of the initial perturbation.
equilibrium position is globally stable.
2. The new position is also an equilibrium, and the ball
will remain in it. equilibrium position is stable.
3. The ball moving away without returning to the
equilibrium. equilibrium position is unstable.
4. Oscillatory motion about the equilibrium, unless the
initial perturbation is so large that the ball is forced to
oscillate about the new equilibrium position.
equilibrium position is locally stable.
With Friction:
• Oscillatory motion steadily decreases until the ball returns to the equilibrium positions as in items 1
and 4
• Such equilibrium positions: asymptotically stable.
• Assume (as in item #4), there is some “small” region for allowed initial perturbations for which
subsequent motions converge to the equilibrium position.
• However (item 1), any initial perturbation yields a motion that converges to the equilibrium position,
then we have global asymptotic stability(asymptotic stability in the large)
6
 Basic Definitions of Stability

Consider a class of dynamical systems x(t )  f  t , x(t )  , x(t0 )  x0

x(t )  R n is the state vector and f : R x Rn →R is a vector-valued function

f i (t , x1 , x2 ,....xn ) : R  R n  R, i = 1,2,….,n.

If the fi’s do not depend explicitly on t,


x(t )  f  t , x(t )   f ( x(t )) is called autonomous

An equilibrium point or state is a constant vector, say xe, such that

f(t, xe) =0 for all t

7
 Stability of Linear Systems
  is a positive semidefinite (p.s.d)

1. is continuously differentiable, that is

2.
3.

is positive definite (p.d.)

1.
2.
3.

8
 Stability of Linear System
• Consider the quadratic form  𝑉 ( 𝑥)= 𝑥 𝑇 𝑃𝑥
P is a real symmetric n x n matrix
  𝑑𝑉 ( 𝑥 (𝑡 ) ) •
= 𝑉 (𝑡 )
•
𝑑𝑡 •
  𝑇 𝑇
¿ 𝑥 (𝑡 ) 𝑃𝑥 (𝑡 )+ 𝑥 (𝑡 )+ 𝑃 𝑥 (𝑡 )
•
•   𝑇 𝑇 𝑇
 
𝑥 = 𝐴𝑥 𝑉 =𝑥 𝐴 𝑃𝑥 + 𝑥 𝑃𝐴𝑥
Substituting and into the above equation
yields •
 
𝑥𝑇 = 𝑥 𝑇 𝐴 𝑇

 ¿ 𝑥𝑇 ( 𝐴𝑇 𝑃 + 𝑥 𝑇 𝑃𝐴 ) 𝑥

𝑇   •
  𝑄=− ( 𝐴 𝑃+
Let then
𝑉𝑃𝐴) 𝑇
=− 𝑥 𝑄𝑥

9
 A. M. Lyapunov, 1892

The system x  Ax, x(t0 )  x0
is asymptotically stable if and only if for any given real symmetric positive
definite (r.s.p.d.) matrix Q the solution P to the continuous Lyapunov matrix
equation, A P  PA  Q is also (real symmetric) positive definite.
T

Proof (⇒) We prove necessity, for asymptotic stability, by contradiction

We have  x Qx  0for all
T
x0

Assume that A is an asymptotically stable matrix. For some nonzero x 0

x T0 Px 0  0


d T


From V   x Qx x (t ) Px(t)   x T Qx(t)  0
T

dt
⇒
V  x (t )   x T (t ) Px(t) decreases on the trajectories of the system

x (t )  Ax (t ) as t→∞

A is asymptotically stable lim x(t)  0.

t 
Hence lim x (t ) Px(t)  lim x (t ) Px(t)  0.
T T
t  x(t) 0 10
 This completes the proof of the first part of the theorem that states that
asymptotic stability of A implies that for any r.s.p.d matrix Q the solution P
to the equation
AT P  PA '  Q
is r.s.p.d.
sufficiency by contradiction
assume
x T Px  0 and - x T Qx  0 for all x  0,
A is not asymptotically stable

This means that the solution to x (t )  Ax(t), x  0, x(t)  e A  t -t 0  x 0

is bounded away from the origin x = 0. Thus, there is a constant b > 0 such that

x T (t )Qx(t)  b  0 for all t>t0

11
 Integrating d T
dt
 
x Px(t)   x T Qx(t) yields

x (t ) Px(t)  x (t 0 )Px(t 0 )     x T ( s )Qx(s) ds.

t
T T
t0

 x T (t )Qx(t)  b  0 for all t > t0

We obtain for t > t0 T T

t

t0
 
x (t ) Px(t)  x (t 0 )Px(t 0 )    x T ( s )Qx(s) ds.

 x T (t0 ) Px(t 0 )  b(t  t0 ).

above implies that for a sufficiently large t x (t ) Px(t)  0,

T

which contradicts the assumption that x T (t ) Px(t)  0

This means that A must be asymptotically stable (proof is complete)

12
 Example
0 1
A  ,
  1  2
and Q = I2. We solve the Lyapunov equation AT P + P A = - Q for P. Assume
P to have the form  p1 p2 
P   PT
 p2 p3 

0  1  p1 p2   p1 p2   0 1
AT P  PA     
1  2  p2 p3   p2 p3   1  2

  2 p2  p3  p1  2 p2 

 p3  p1  2 p2  2 p2  4 p3 

1 0 
 Q   
0  1 3 1 
Solving the corresponding linear equations yields P 2 2
 1 2 1 
2
The solution matrix P is positive definite. Hence, the matrix A must have its eigenvalues in
the open left-half plane. Indeed, the eigenvalues of A are both
located at −1.
13
 Definition (Lyapunov function)
•  pdf V(x) whose time derivative evaluated on the solutions of the is negative
A
definite (or negative semidefinite) is called a Lyapunov function for this
system.
Lyapunov’s theorem gives us a necessary and sufficient condition for asymptotic
stability of LTI dynamical systems.
To check if a given matrix A is AS or not, it is enough to take an arbitrary r.s.p.d.
matrix Q, solve for real symmetric P, and check if the obtained P is pd, or not.
If P > 0, then A is AS.
If P is not pd, then A cannot be AS.
Because Q can be an arbitrary r.s.p.d. matrix, Q = In (n × n identity matrix) is a
good choice.

14
 Example
• 
Let

Which is asymptotically stable. Let

Then

Which is indefinite. Thus, unless Q turns out to be definite, nothing

can be inferred about asymptotic stability from the Lyapunov
theorem if we start with P and then calculate Q

15
 Lyapunov Theorem
• It
  is a different method to check asymptotic stability of

• All eigenvalues of A have negative real parts if and only if for

given positive definite symmetric matrix N,
• The Lyapunov equation has a unique symmetric solution P and
Q is positive definite.

Theorem:
 • If all eigenvalues of A have negative real parts, then the Lyapunov
equation
• has a unique solution for every Q, and the solution can be
expressed as

16
 Discrete-Time Case
••  Consider the Lyapunov equation
sizes of matrices: A: B: and
The above equation can be expressed as
• Let be an eigenvalue of Y.
• Then we have
and :eigenvalues of A and B
 • Let .
• Let and v = v .
A(uv) = uv - AuvB = (uv.
• eigenvalues of the above equation are
for all i and j.
• If there are no i and j such that = 1,
then
is nonsigular and, for any C, a unique
solution M exists.
• If = 1 for some i and j, then
is singular and, for a given C, solutions
may or may not exist.
17
 Theorem
•   All eigenvalues of an matrix A have magnitudes less than 1 if
and only if the discrete Lyapunov equation.

• Above equation has a unique symmetric solution P and Q is

positive definite.
• The solution can be expressed as

18
Stability of LTV Systems
• Consider
  a SISO LTV system described by

The system is said to be BIBO if every bounded input excites a

bounded output
for all t and t0 with t t0
• For the multivariable case,

The system is said to be BIBO if

for all t0 with t t0

19
Contd.,
• The
  impulse response of the matrix of

• Impulse response matrix:

• Zero state response:

• The system is BIBO stable if and only if there exist constants M1
and M2 such that

• The zero-input response is marginally stable if and only if

• The equation is asymptotically stable if the response excited by

every finite initial state is bounded and approaches zero as t
20
 Discrete-Time Lyapunov
Equation
Lyapunov approach to the stability analysis of the discrete-
time linear time-invariant systems
x(k  1)  Ax(k ), x(k0 )  x0

By analogy with the continuous-time case, consider a

quadratic positive definite form
V ( x(k ))  xT (k ) Px(k )

first difference of V; V  V ( x(k  1))  V ( X (k ))

V ( x(k ))  V ( x( k  1))  V ( X (k ))
 xT (k  1) Px(k  1)  xT (k ) Px(k )
 xT (k )AT Px(k )  xT (k ) Px (k )
 xT (k )( AT PA  P ) x (k )
21
•Where
  we replaced in the above with
For the solutions of to decrease the “energy function” V, at
each
, it is necessary and sufficient that
V ( x(k ))   xT (k )Qx(k )
Combine

x(k  1)  Ax(k ), x(k0 )  x0 V ( x(k ))   xT (k )Qx(k )

AT PA  P  Q

22
 Linear Systems Stability
•Consider
  the Continuous-Time (CT) Linear Time-Invariant (LTI)
system 
x(t )  Ax(t ), x(0)  x0 , A  R nn , x0  R n

The origin x = 0 is a globally asymptotically stable equilibrium

point of system (1) if
Lyapunov’s second method. Consider a differentiable function
a)
b)
If for all satisfying (14) with then is a globally asymptotically
stable equilibrium point of system (1).
Any such V is a Lyapunov function.
23
 Theorem [Lyapunov]
•   following statements regarding system
The

x(t )  Ax(t ), x(0)  x0 , A  R nn , x0  R n
are equivalent:
a) is a globally asymptotically stable equilibrium;
b) there exists a quadratic Lyapunov function
Lyapunov Stability Test
Problem: Given system (1), find if there exists a matrix such
that
Remarks: only the “symmetric part” of P matters:
  ( 𝑥)=𝑥 𝑇 𝑃𝑥= 1 𝑥 𝑇 (𝑃 + 𝑃𝑇 ) 𝑥 >0 , 𝑓𝑜𝑟𝑎𝑙𝑙𝑥 ≠0 ⇔ 𝑃+ 𝑃𝑇 > 0
First 𝑉
2

24
  

• 
Second V ( x )  V ( x), x

In order to compute we use (Gateaux differential)

𝑓 (𝑥 +∈h)− 𝑓 (𝑥)
⟨  ∇ 𝑓 , h ⟩ =lim ❑
∈→ 0 ∈
For

𝑉 (𝑥+∈h)=¿
 

Hence V ( x   h)  V ( x )
lim  ( P  P T ) x , h  V ( x )  ( P  P T ) x
 0 

so one can assume P ∈ Sn without loss of generality.

25
• 
Problem: Given system (1), find if there exists a matrix such
that
a)
b)
Solution:
Condition a) for all
 
Condition b) for all 0  V ( x)  V ( x), x

 2 Px, Ax
 2 xT PAx
Which is equivalent Tto  xT ( AT P  PA) x
A P  PA  0
26
•Lyapunov
  Stability Test: Given system (1), find if there exists a
matrix such that the LMI is feasible.
Relation with Lyapunov Equations Lyapunov’s First Method.
Consider the general nonlinear system

27
 Theorem [Lyapunov]
•   origin is a locally asymptotically stable equilibrium point of system
The
(2) if and only if the matrix that solves the Lyapunov equation

Is positive definite, i.e. for some matrix

Remarks:
a) For linear system, local becomes global.
b) with what we know about Lyapunov equations if then is
observable and if and only if A is Hurwitz.
c) Furthermore, if A is Hurwitz then for any matrix
From Lyapunov Equation to Lyapunov Inequality
Since the Lyapunov equation (2) provides and

28
• From Lyapunov Inequality to Lyapunov Equation
• If there exists P>0 such that
AT P + P A< 0
Then there exists also Q > 0 such that AT P + P A + Q= 0

29
 Discrete-Time Systems

 Consider the Discrete-Time (DT) Linear Time-Invariant (LTI) system

x(k+1)=Ax(k), x(0)=x0, A Rn×n, x0 ϵ Rn

The origin x = 0 is a globally asymptotically stable equilibrium point of

system
ẋ(t)=Ax(t), x(0)=x0, A Rn×n, x0 ϵ Rn

if

If, Lyapunov’s second method. Consider a differentiable function

V:

30
Cont.,
•If, 
a) V(x) Ɍn ;
b) V(x) = 0 iff x = 0
If

ẋ(t)=Ax(t), x(0)=x0, A Rn×n, x0 ϵ Rn with

then x = 0 is a globally asymptotically stable equilibrium point

of the system
ẋ(t)=Ax(t), x(0)=x0, A Ɍn×n, x0 ϵ Rn
Any such V is a Lyapunov function 31
 Theorem [Lyapunov]
 The following statements regarding system

are equivalent:

a) x = 0 is a globally asymptotically stable equilibrium

b) There exists a quadratic Lyapunov function V

 The origin x = 0 is a globally asymptotically stable equilibrium point of

system

If

32
•• Problem:
  Given system (17), find if there exists a matrix P ∈ Sn such
that
a) V(x) = XT Px > 0 , for all x
b) V(x(k+1)) – V(x(k)) <0, for all x(k+1)=Ax(k), x(k)

Solution:
Condition a) P>0
Condition b) V(x(k+1)) = x(k+1)T Px(k+1) = x(k)T AT P A x(k) so that
for all x(k)

0> V(x(k+1)) - V(x(k) = x(k)T AT P A x(k) - x(k)T P x(k)

= x(k)T (AT P A – P)x(k)
Which is equivalent to
AT P A – P <0

33
• 
Lyapunov Stability Test: Given system (17), find there exists a matrix P Sn
such that the LMI

Is feasible

Schur complement provides the equivalent alternative form

Lyapunov Stability Test: Given system (17), find there exists a matrix P Sn
such that the LMI
>0
Is feasible

34
• 
Lyapunov second method. Consider a differentiable function V :Rn
a) V(x) Rn
b) V(x) = 0 iff x = 0
If
V(x(k+1)) – V(x(k)) < 0 , for all x(k) satisfying

x(k+1)=Ax(k), x(0)=x0, A Rn×n, x0 Rn

with x0 0, then x = 0 is a asymptotically stable equilibrium

point of the system x(k+1)=Ax(k), x(0)=x0, A Rn×n, x0 Rn

Any such V is a Lyapunov function

35
 Summary for linear discrete-time systems
•   following statements are equivalent:
The
a) x = 0 is a globally asymptotically stable equilibrium of system (17);
b) There exists a quadratic Lyapunov function:

c) There exists a matrix P Sn such that

d) There exists a matrix P Sn such that

>0
e) Matrix Pthat solves the Stein equation

is positive definite, i.e.,

f) Matrix A is Schur 36