Introduction to Laplace Transform Analysis

Julius O. Smith III (jos@ccrma.stanford.edu) Center for Computer Research in Music and Acoustics (CCRMA) Department of Music, Stanford University Stanford, California 94305 August 11, 2002

Abstract

Contents
1 Introduction to Laplace Transform Analysis 2 Existence of the Laplace Transform 3 Analytic Continuation 4 Relation to the z Transform 2 2 3 5

2 EXISTENCE OF THE LAPLACE TRANSFORM

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Introduction to Laplace Transform Analysis

0

The one-sided Laplace transform of the function x(t) is dened by X (s) =

x(t)est dt

where t is real and s = + j is complex. There is also a two-sided Laplace transform obtained by setting the lower integration limit from 0 to . Since we will be analyzing only causal 1 linear systems using the Laplace transform, we can use either. However, it is customary in engineering treatments to use the one-sided denition. The one- and twosided Laplace transforms are also called the unilateral and bilateral Laplace transforms, respectively. When evaluated along the s = j axis (i.e., = 0), the Laplace transform reduces to the Fourier transform :

X (j ) =

x(t)ejt dt

The Laplace transform can therefore be viewed as a generalization of the Fourier transform from the real line (a simple frequency axis) to the complex plane. One benet of the more general Laplace transform is the ability to transform signals which have no Fourier transform. To see this, we can write the Laplace transform as

X (s) =

x(t)e

( +j )t

dt =

x(t)et ejt dt.

We can thus interpret the Laplace transform as the Fourier transform of an exponentially enveloped input signal. For > 0 (the so-called right-half plane (RHP)), this exponential weighting forces the Fourier-transformed signal toward zero as t . As long as the signal x(t) does not increase faster than eBt for some B , its Laplace transform will exist for all > B . We make this more precise in the next section.

Existence of the Laplace Transform

A function x(t) has a Laplace transform whenever it is of exponential order . That is, there must be a real number B such that
t

lim x(t)eBt = 0

As an example, every exponential function Aet has a Laplace transform for all nite values of A and . Lets look at this case more closely.
1

A system is said to be causal if its response to an input never occurs before the input is received.

Introduction to Laplace Transform Analysis, J.O. Smith

3 ANALYTIC CONTINUATION The Laplace transform of a causal, growing exponential function x(t) = is given by

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Aet , t 0 , 0, t<0
0

X (s) = =

x(t)e

st

dt =

Ae e

t st

dt = A

( s) t

A ( s) t dt = e s

A (j) A e s s A , > s = (indeterminate), = , <

Thus, the Laplace transform of an exponential Aet is A/(s ), but this is only dened for re {s} > .

Analytic Continuation

It turns out that the domain of denition of the Laplace transform can be extended by means of analytic continuation . Analytic continuation is carried out by expanding a function of s C about all points in its domain of denition, and extending the domain of denition to all points for which the series expansion converges. In the case of our exponential example X (s) = A , s (re {s} > ) (1)

the Taylor series expansion of X (s) about the point s = s0 in the s plane is given by X (s) = X (s0 ) + (s s0 )X (s0 ) + (s s0 )2 =
n=0

X (s0 ) X (s0 ) + (s s0 )3 + 2 3!

(s s0 )n

X (n) (s0 ) n!

where, writing X (s) as ( s)1 and using the chain rule for dierentiation, X (s0 ) = X (1) (s0 ) = X (s0 ) = X (2) (s0 ) =

dX (s) ds d X (s) ds2

2

= (1)( s)2 (1)

s= s0

s= s0

1 ( s)2 2 ( s)3 = 3! ( s)4

= (2)( s)3 (1)

s= s0

s= s0

3 d X (s) X (s0 ) = X (3) (s0 ) = ds3

= (3)(2)( s)4 (1)

s= s0

s= s0

Introduction to Laplace Transform Analysis, J.O. Smith

3 ANALYTIC CONTINUATION

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and so on. We also used the factorial notation n! = n(n 1)(n 2) 3 2 1, and we dened the special cases 0! = 1 and X (0) (s0 ) = X (s0 ), as is normally done. The series expansion of X (s) can thus be written X (s) = =
n=0

s s0 (s s0 )2 1 + + + s0 ( s0 )2 ( s0 )3

(s s0 )n ( s0 )n+1

(2)

We now ask for what values of s does the series Eq. (2) converge. The value s = is particularly easy to check, since

X () =
n=0

( s0 )n = ( s0 )n+1

n=0

1 1 = s0 s0

Thus, the series clearly does not converge for s = , no matter what our choice of s0 might be. We must therefore accept the point at innity for H (). This is eminently reasonable since the closed form Laplace transform we derived, H (s) = 1/( s) does blow up at s = . The point s = is called a pole of H (s) = 1/( s). More generally, lets apply the ratio test for the convergence of a geometric series. Since the nth term of the series is (s s0 )n ( s0 )n+1 the ratio test demands that the ratio of term n + 1 over term n have absolute value less than 1. That is, we require 1> or, |s s0 | < | s0 | We see that the region of convergence is a circle about the point s = s0 having radius approaching but not equal to | s0 |. Thus, the circular disk of convergence is centered at s = s0 and extends to, but does not touch, the pole at s = . The analytic continuation of the domain of Eq. (1) is now dened as the union of the disks of convergence for all points s0 = . It is easy to see that a sequence of such disks can be chosen so as to dene all points in the s plane except at the pole s = . In summary, the Laplace transform of an exponential x(t) = Aet is X (s) = A s (s s0 )n+1 ( s0 )n+2 s s0 (s s0 )n = n +1 ( s0 ) s0

and the value is well dened and nite for all s = .

Introduction to Laplace Transform Analysis, J.O. Smith

REFERENCES

Page 5

Analytic continuation works for any nite number of poles of nite order,2 and for an innite number of distinct poles of nite order. It breaks down only in pathological situations such as when the Laplace transform is singular everywhere on some closed contour in the complex plane. Such pathologies do not arise in practice, so we need not be concerned about them.

Relation to the z Transform

The Laplace transform is used to analyze continuous-time systems. Its discrete-time counterpart is the z transform: Xd (z ) =
n=0

xd (nT )z n

If we dene z = esT , the z transform becomes proportional to the Laplace transform of a sampled continuous-time signal:

Xd (esT ) =
n=0

xd (nT )esnT

As the sampling interval T goes to zero, we have

T 0

lim Xd (e )T = lim

sT

t0

xd (tn )estn t =

xd (t)est dt = X (s)

n=0

where tn = nT and t = tn+1 tn = T .

References
[1] P. Denbigh, System Analysis and Signal Processing, Addison-Wesley, 1998, A fair amount of MATLAB code... isnt cheap: $81.95 (as of 4/01), but it might be a good book for those rusty with Laplace transform analysis. [2] Boyce and Deprima, Elementary Dierential Equations and Boundary Value Problems, John Wiley and Sons, Inc., 1986, Includes a nice mathematical discussion of the Laplace transform.
2

The order of a pole is its multiplicity. For example, the function H (s) = 1 (s p)3

has a pole at s = p of order 3.

Introduction to Laplace Transform Analysis, J.O. Smith

REFERENCES

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[3] W. R. LePage, Complex Variables and the Laplace Transform for Engineers, Dover, New York, 1961. [4] D. K. Frederick and A. B. Carlson, Linear Systems in Communication and Control, John Wiley and Sons, Inc., 1971.

Introduction to Laplace Transform Analysis, J.O. Smith