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Lecture notes
Pavankumar Tallapragada
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Chapter 1
In this chapter, we will cover some preliminary concepts about linear systems. In this course, although we
will mostly work with continuous time systems (differential equations), we will also look at discrete time
systems (difference equations) from time to time. In fact, we will start with some simple difference equations
that all of us have already encountered.
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Then
F (k + 1) 0 1 F (k)
x(k + 1) = = := Ax(k),
F (k + 2) 1 1 F (k + 1)
and the k th element in the sequence is the output of the system
F (k) = 1 0 x(k),
0
if the initial condition is appropriately chosen. The point (vector) is again an equilibrium point.
0
In future, we will refer the zero vector simply by 0 irrespective of the dimension of the state
space.
Closed-form expression for the state
x(k) = Ak x(0).
We will postpone the justification for this but notice the generalization compared to the scalar case. And
the k th element of the Fibonacci sequence is given by
0
F (k) = 1 0 x(k) = 1 0 Ak
.
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Question: What kind of an equilibrium is 0 for this system? Does there exist an x(0) R2 ,
with x(0) 6= 0, such that limk x(k) = 0?
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For a given input signal u, the system (1.1) generates a whole collection of solutions or state and output
signals or trajectories. Given an input signal u and the initial condition x(0), the trajectories x and y
are uniquely determined.
The state x(t) at time t is a completely captures the effect of the initial conditions and the input signal
u up to time t.
y(t) depends on x(t) and u(t) only algebraically.
If m = 1 then the system is single input (SI) otherwise it is multi input (MI).
If p = 1 then the system is single output (SO) otherwise it is multi output (MO).
SISO, MIMO
If the matrices A(t), B(t), C(t) and D(t) are constant in time then it is a linear time-invariant system
(LTI) otherwise it is a linear time-varying (LTV) system.
For conciseness, we will drop time arguments of the signals when there is no ambiguity. For
system parameters and matrices we will always use the time argument if they are time-varying.
1.4.2 Causality
The state and the output of the system at any time t depend only on the past inputs.
Consider the initialized system
x = A(t)x + B(t)u, x(0) = x0 ,
and lets make a copy of it
z = A(t)z + B(t)r, z(0) = x0 .
Let us suppose the signals u and r are identical up to time t, that is, u(s) = r(s) for all s [0, t]. Then, for
s [0, t],
e := x z = A(t)x + B(t)u A(t)z B(t)r, e(0) = 0
= A(t)e, e(0) = 0.
So, e(s) = 0 or x(t) = z(t) for all s [0, t]. Thus, the outputs are also the same on the interval [0, t] in the
two cases.
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1.4.3 Time invariance
We say a system is time-invariant if time-shifted inputs cause a time-shift in the evolution of the state and
the output, when the initial conditions of the state are appropriately changed.
Earlier, we said
x = Ax + Bu
y = Cx + Du
is a time-invariant system. We need to verify this claim given the above definition. Let T be time-shift under
consideration and let
r(t) = u(t + T ), t [0, )
be the time-shifted version of the signal u. As in the proof of causality, lets make a copy of the system
where we have used the definitions of r(t) and e(t). By definition, e(0) = 0 and since 0 is an equilibrium
point for a homogeneous system, we see that e(t) = 0 for all t [0, ). In other words, z(t) = x(t + T ) for
all t [0, ). Similarly,
Cz + Dr = Cx(t + T ) + Du(t + T ) = y(t + T ).
So, the claim follows.
1.4.4 Linearity
A linear combination of the inputs generates the exact same linear combination of the corresponding state
trajectories and outputs under appropriate initial conditions.
Consider
Suppose yh is an output corresponding to the zero input (unforced or homogeneous system). Since
u = u + 0, y = yf + yh is another output corresponding to u.
These two observations mean that the set of all outputs corresponding to the input u can be found by finding
one solution yf corresponding to u and the set of all solutions yh to the unforced system.