LINEAR SYSTEMS A State Variable Approach With Numerical Implementation UNI - pe Meee gsc Raymond A. DeCarlo School of Electrical Engineering Purdue University PRENTICE HALL, Englewood Cliffs, New Jersey 07632Lirary of Congress Cataloging Puen Data DrCano. Rarnionb A. nearsystens iiographyp Incades index TMifnewrsneme 2 Sttespucemetboss 1. Tie aaa bie 1989 OOS BBSROS ISN O-13.5368146 Editril/ production supervision and interior desig: John Fleming CCover design: Ben Santora “Manufacturing buyer: Mary Noonan 3 © 1959.by Prentice-Hall, Ine [A Division of Simon & Schuster Englewood Cliffs, New Jersey 07632 All rights reserved. No part ofthis book may be reproduced, in any foe oF by any means, , trithout permission in writing from the publishet. Printed in the United States of America wos76 543 ISBN 0-13-53b814-b resi: Hau IereRNatiosaL (UK) Liste, London resi HALL oF AUSTRALIA Pry. LimteD, Sydney PRENTiCr-HALL CanaDa INC. Toronto Prewtic-HALL HISPANOAMERICANA.S.A,, Mexico Prewmice- HALL oF Inbta PRIvaTe Liste. New Delhi PReNtice-HALL OF JAPAN. INC. Tokyo Simon & ScauSTER ASTA PTE LTD. Singapore EDITORA PRENTICE-HALL DO BRASIL. L1DA. Rio de JanciroThis text is dedicated to all those who pass the doors of Covenant House.CONTENTS PREFACE xii ACKNOWLEDGMENTS av 1 BASIC CONCEPTS, VOCABULARY, AND NOTATION 1 Notion of a System and System Model 1 Continuous Signals and Mathematical Models 3 Input-Output Linearity 5 Time Invariance 7 Causality 8 Lumped and Distributed Systems 9 Continuous Systems 12 Some Examples 12 Discrete-Time Systems 13, The Notion of State 16 Concluding Remarks 19 Problems 19 References 21 2 STATE MODELS—MOTIVATION AND OVERVIEW 23 Introduction 23 Basic Differential Equations—A Review 25 The Series RLC Circuit 26 ‘A Second Order Scalar Differential Equation Model 27 ‘The First-Order Matrix Equation Model 28 Discussion and Summary 31 Problems 31 References 333 4 7 LINEAR STATE MODELS FOR LUMPED SYSTEMS ‘The Linear Time-Varying State Model 34 Classification of Responses 35 Circuit Related Examples 36 Mechanical Examples 41 Concluding Remarks 44 Problems 45 References 49 ‘STATE MODELS FROM ORDINARY DIFFERENTIAL EQUATIONS Introduction 50 Canonical Forms 52 Concluding Remarks $7 Problems 60 References 63 ‘STATE MODELS FROM ORDINARY DIFFERENTIAL EQUATIONS Il: THE PROBLEM OF INITIAL CONDITIONS Introduction 64 Problem 1: Determining Initial Conditions 65 Problem 2: Setting Up Initial Conditions 68 Generalization of Problem 1 70 Generalization of Problem 2 76 Concluding Remarks 80 Problems 81 References 84 INTRODUCTION TO NUMERICAL COMPUTATION AND GAUSSIAN ELIMINATION Introduction 86 Basic Gaussian Elimination 90 Advantages, Cautions, Pointers 95 ‘Advanced Gaussian Elimination 98 Iterative Improvement and Ill-Conditioned Problems 101 Problems 102 References 105 NEWTON-RAPHSON TECHNIQUES Introduction 106 Derivation of the Newton-Raphson Iteration Algorithm 107 A Modified Newton-Raphson Algorithm 111 Problems 114 References 116 contents 34 86 106Contents 8 DIGITAL SIMULATION OF STATE MODELS Introduction 117 Problem Setting 118 Integral Approximation: Euler and Trapezoidal Schemes 120 Integral Approximation: Theoretical Development 126 Integral Approximation: Application 129 The Derivative Approximation 133 Concluding Remarks 136 Problems 137 References 139 9 LINEAR DISCRETE-TIME STATE MODELS: BASICS AND PARALLELS WITH THE CONTINUOUS TIME CASE Introduction 141 Basic Vocabulary and Examples 142 Analogies with Continuous-Time Systems 145 Comments on the Solution of the Time-Invariant Discrete-Time State Model 148 Problems 151 References 156 10 EXISTENCE AND UNIQUENESS OF STATE TRAJECTORIES Introduction 157 Mathematical Preliminaries 159 Local Existence and Uniqueness 162 Global Existence and Uniqueness 165 Existence and Uniqueness of the Linear State Dynamics 168 Problems 170 References 172 11 THE SOLUTION OF x(t) TRANSITION MATRIX. Introduction 173 Notation and Mathematical Preliminaries 174 Solution Space of X(t) = A(t)x(t) 175 The State Transition Matrix 177 ‘An Example, The Hard Way 178 Exponential Form of the State Transition Matrix 179 ‘An Example: The Easy Way 180 ‘The State Transition Matrix for Periodic A(t) 181 Problems 184 References 187 A()x(1) AND THE STATE 197 44 157 173vi 12 13 4 15 16 THE FUNDAMENTAL MATRIX AND PROPERTIES OF THE STATE TRANSITION MATRIX Introduction 188 Mathematical Preliminaries 188 ‘The Fundamental Matrix 190 Properties of the State Transition Matrix 191 Examples 193, Problems 194 References 196 ‘CLOSED-FORM SOLUTION OF THE TIME-VARYING STATE EQUATIONS Introduction 197 Heuristic Derivation of Solution 197 Theorems and Proofs 199 ‘Numerical Considerations 201 Problems 203 References 205 SOME TECHNIQUES FOR COMPUTING THE MATRIX EXPONENTIAL AND ITS INTEGRAL Introduction 206 The Taylor Series Method 207 The Pade Method 210 Scaling and Squaring in Conjunction with the Diagonal Padé ‘Approximation 212 Matrix Decomposition Methods 214 Integrals Involving the Matrix Exponential 215 Problems 216 References 218 AN EIGENVALUE-EIGENVECTOR METHOD FOR COMPUTING (1) = exp(at) Introduction 219 Mathematical Preliminaries 220 An Eigenvalue-Eigenvector Factorization of Exp(At) 221 ‘Numerical Considerations 226 Problems 227 References 230 THE STATE TRANSITION MATRIX AND THE SOLUTION OF THE DISCRETE-TIME STATE MODEL Introduction 232 The State Transition Matrix and its Properties 232 Fundamental Matrix 234 Complete Solution of the Discrete-Time State Model 236 Contents 188 197 206 219 232‘The Time-Invariant Discrete-Time State Model _ 238 The Impulse Response of the Time-Invarient DTSM 240 The DTSM in the Z-Domain 242 Problems 244 References 248 47 DECOMPOSITION OF THE TIME-INVARIANT STATE MATRIX. 249 Introduction 249 Decomposition of the Zero-Input State Response 250 Decomposition of the State Transition Matrix 254 Analogies with Discrete-Time Systems 258 Concluding Remarks 259 Problems 259 References 261 18 IMPULSE RESPONSE MATRICES, TRANSFER FUNCTION MATRICIES, AND THE JORDAN FORM 262 Introduction 262 Impulse Response Matrices 263 ‘The Transfer Function Matrix 265 Faddeev-Leverrier Algorithm for Computing (s!—A)"' 266 Expansion by Partial Fractions: Distinct Eigenvalues 270 Expansion by Partial Fractions: Multiple Eigenvalues 272 The Jordan Form 282 Discrete-Time System Counterparts 288 Concluding Remarks 290 Problems 290 References 295 19. THE SINGULAR VALUE DECOMPOSITION AND STATE SPACE APPLICATIONS a7 Introduction 297 ‘The Singular Value Decomposition of a Matrix 297 Determination of Rank 301 ‘The Moore-Penrose Right, Left, and Pseudo Inverses 303 ‘An Application Yet to Come 305 Concluding Remarks 307 Problems 307 References 310 20 CONTROLLABILITY OF THE TIME-INVARIANT STATE MODEL ant Introduction 311 Basic Definitions and Equivalences 312 Characterization of the Controllable Subspace 313 Equivalences to System Controllability 323x Contents Controllability and Directed Modes 327 Controllability of Discrete-Time Systems 330 Pole Placement by State Feedback 335 Numerical Considerations 345 Concluding Remarks 348 Problems 348 References 353 24 OBSERVABILITY AND THE BASICS OF OBSERVER DESIGN 355 Introduction 355 Basic Definitions and Equivalences 356 Equivalences for System Observability 360 Observability and Directed Modes 364 Basic Design of Dynamic Observers 368 ‘The Kalman Canonical Form 375 Observability and Discrete-Time Systems 381 Realization Theory 386 Problems 395 References 403, 22 STABILITY OF LUMPED TIME-INVARIANT SYSTEMS 404 Introduction 404 Mathematical Preliminaries 406 Stability via the Impulse Response Matrix 408 Stability via the Transfer Function Matrix 412 BIBS and BIBO Stability via the State Model 414 Asymptotic Stability of the State Trajectory 422 Discrete-Time System Analogs 422 Introduction to Lyapunov Stability for Linear Systems 423, Concluding Remarks 429 Problems 429 References 434 23 CONTROLLABILITY AND OBSERVABILITY: THE TIME-VARYING CASE 436 Introduction 436 Mathematical Preliminaries 437 Basics of Time-Varying Observability 438 Reconstruction of the Initial State 445 Controllability Definitions and Duality 4477 Characterizations of Controllability 449 Issues of Realization 451 Concluding Remarks 453 Problems 453 References 455Contents x 24 STABILITY OF THE TIME-VARYING LINEAR STATE MODEL 456 Introduction 456 BIBO Stability via the Impulse Response Matrix 458 Lyapunov Stability: Basic Definitions, Examples, and Results 460 Asymptotic Stability is. 464 BIBS Stability 466 BIBO Stability 467 ‘The Zero Solution: Sufficient Conditions for Stability and Instability 470 Concluding Remarks 471 Problems 471 References 473 25 THE DISTURBANCE DECOUPLING PROBLEM 474 Introduction 474 ‘Notation and Basic Algebra 474 Structure of the Disturbance Decoupling Problem (DDP) 475 (A,B)-invariant Subspaces 477 ‘Supremal (4,B)-invariant Subspaces 479 ‘Computation of V* 480 Solution to the DP. 485 Concluding Remarks 486 Problems 487 References 489PREFACE This text is an outgrowth of lectures given in a one-semester graduate level course on linear systems taught at Purdue for the past 15 years or so. The course syllabus includes both continuous and discrete time concepts with asides on numerical implementations such as simulation of the state model. Students taking the course hhave diverse backgrounds ranging from solid state to computers to systems. Thus certain philosophical structure emerges to better meet the uneven background skills present in a class. Loosely speaking, the text has three levels. The first third of the text (Chapters 1 through 9) covers vocabulary, basic definitions, and heuristic introductions to some of the more advanced notions, like controllability and observability. The presence of abundant examples, few theorems, and number crunching mark this asa senior-level exposition. ‘Chapters 10 through 19, the middle third, represent the basic meat and potatoes of the course. The level here is advanced senior and beginning graduate. Theorems and proofs take on an essential part of the treatment, demanding a certain rapidity in the intellectual maturation process of the students. Students often ask at this juncture if understanding the proofs rather than knowing the proofs is sufficient. My response overflows with assurances that ‘understanding is paramount, but that an inability to reproduce a proof on a test will lead me to conclude a definitive lack of comprehension. The motivation here comes about because theorems and their proofs reflect the viewpoint of the pioneering researchers who have contributed to the elegant structure of state variable theory. Just as musical students must learn to play classics, so too must our students learn to ‘understand the thinking of the contributors to system theory.4 BASIC CONCEPTS, VOCABULARY, AND NOTATION aa NOTION OF A SYSTEM AND SYSTEM MODEL Daily life contains innumerable action-reaction types of situations, from popping bbread into a toaster to the complexities of car manufacturing. In all cases some stimulus or set of stimuli activate the operation of some process (toasting or car ‘manufacturing, for example) to produce some result or response (toasted bread or an assembled car.) Typically, some person or electronic device monitors the result- ing response and makes adjustments in the process to improve, say, quality or appearance or yield. Figure 1.1 provides a pictorial description. The term system generically categorizes such processes. Generally speaking, a system has provision for input stimuli and some mechanism for modifying or reacting to these input stimuli to produce a finished product or generate some desired behavior. A manufacturing process clearly fits this description: raw materi- als, parts, and human labor stimulate an assembly line to produce a finished prod- uct (output) such as a car, stereo, or VCR. A business such as a furniture store illustrates an economic system: orders serve as input and goods shipped as output. ‘A space shuttle launch, loosely speaking, is a system in which a stable orbit could be a desired response. The idle speed control on a car engine provides an example of an electromechanical system: temperature and the difference between the desired2 Basic Concepts, Vocabulary, and Notation Chap. 1 oe a ou —y meet sora voto row (~ destion ) eguion [* Ago Figure 1.1 stration ofa controlled processor system. idle speed and the actual rpm are inputs to a device controlling the airflow into the carburetor. The consumer electronics industry produces a supermarket of elect- ronic systems, most of which use energy (a battery or household current) and some information signal as inputs to produce visual images, sound, and/or music as out- puts. Finally, the ubiquitous rectifier circuit serves as an example of a system where an AC signal is rectified and filtered to generate a DC signal. In sum, @ system refers to some physical process which generates outputs, finished products, desired behaviors, etc., in response to input stimuli. The input stimuli cause or initiate @ set of events within the system, The system might be thought of as an “artificial intelligence” which reshapes, amplifies, or filters the input stimuli to obtain a desired result. The input stimuli and related responses are typically represented by signals or functions. These functions will either depend on time in a continuous manner or be defined only at discrete-time instants. The former are continuous signals, the latter discrete signals. The physical process under study (analysis) or under design will be called the physical system and is represented by a mathematical model relating inputs to outputs. The construction of a mathematical model often requires some strong assump- tions about the nature of the physical process. The resulting model often reflects only the dominant behavior of the associated process. This is because, on the whole, most real world processes are sufficiently complex to evade understanding without the tools of a mathematical formalism. ‘The inconsistencies of the standard weather prediction model serve as an example. ‘The importance of the mathematical model stems from its utility eg,, in the analysis and design of information transmission systems and systems for the control and regulation of such things as oil refineries, electric power generation, commuter trains, airplanes, and the like. Once the physical process has a mathematical repre- sentation, computer simulations of the model can be used to predict the future behavior of the process, as, for example, in earthquake prediction. Differential equations are common models. Several good texts are available on constructing mathematical models of real systems (1,2,3] For convenience, we shall use the term system to refer to the mathematical model of the physical system.Continuous Signals and Mathematical Models 3 ‘CONTINUOUS SIGNALS AND MATHEMATICAL MODELS Figure 1.2 depicts a generic physical system. The figure contains three central a of a system: an input space U containing the set of all admissible input stimuli or signals; an output space Y con taining the set of all admissible output signals; and the system model, which defines a mathematical relationship between any admissible input signal and the resulting output signal. Typical mathematical relationships include differential equations, integral equations, and matrix equations, all relating inputs to outputs. These ideas suggest the block diagram representation of a system as depicted in Figure 1.3, where the notation N (usually called an operator ) embodies the system in that it maps the admissible input w(+) to the admissible response y(+). Thus NU + ¥ is defined as y(+)=Nu()—ic., the signal u(+) defined over the infinite time interval, (— 2,90) maps into another signal y(+). For example the operator N could represent the convolution-like relationship between inputs w(+) and outputs y() given by v= f expl-(-g)u2Q@dq an That is, each point y(t) of the signal y(~) is computed by this convolution-integral relationship. — Sera [ —T}- . Figure 1.3 Block diagram of system mapping Fee eee | eae cy) As a simple illustration of a circuit model consider the parallel RL circuit of Figure 1.4. Some simple calculations produce the differential equation model diz R aOott where i:(t) is the circuit output and i,(0) the circuit input. Equivalent to this differential equation is the convolution-integral model ao = Fi an i = Ef expl-Bo-@linl@ag a3) which, as expected, defines a kinship between the input i,(1) and the resulting out- put iL.4 Basic Concepts, Vcabulary, and Notation Chap. 1 ue wo A 3 ‘ Figure 14. Parallel RL circuit. A third type of model called a frequency domain model results by taking the two sided, Laplace transform of the differential equation to obtain R i) = +i) aa +8 where the s-dependence of i:(s) and i,(s) indicates the Laplace transform of the corresponding time functions. Each of these three models looks at the RL circuit differently. For example, the frequency-dependent circuit aspects displayed in equation 1.4 differ radically from the time-dependent characteristics of equations 1.2 and 1.3. The type of ‘mode! that is best suited for analysis or design depends, of course, on the intended application. This text focuses on the so-elled state model and its frequency domain equivalent, The widespread use of Laplace transforms and frequency domain models in circuits and systems suggests that the input and output classes contain only those signals having well-defined two-sided Laplace transforms. Thus, it is natural as well as convenient to have the input and output spaces coincide. Definition 1.1. A continuous time signal is admissible if (i) it is piecewise continuous, (i) there is @ point fo such that for all ¢ < to, the signal is zero, (ii) it is exponentially bounded, and (iv) it conforms to the appropriate dimensions imposed by the system model. Condition (i) means that the signal is continuous except possibly at a finite number of points per finite interval of time. Condition (i) implies that there exists “turn-on” time before which the signal is identically zero. Also, it implies that at 1 = —s, the system is relaxed and that initial conditions at some ¢ must result from the stimulus of an input. Loosely speaking, condition (ii) means that the sig nal will not approach infinity faster than an exponential signal. If the function is continuous and scalar-valued, this means that there exist constants ¢) and c> such “that |u| < er explex) Basically, these conditions guarantee the existence of a two-sided Laplace transform of an admissible signal [4,5,6]. As a consequence, many types of system models have frequency domain equivalents which prove useful in analysis and design.Input-Output Linesiy 5 Certain general kinships exist among the set of admissible signals. ‘These kin- ships make certain system properties well posed. The first of these, arising from the definition of an admissible signal, is that a linear combination of admissible sig- nals is admissible. The input space U and the output space ¥ are therefore said to be closed under addition, allowing us in turn to describe the system-theoretie notions of superposition and linearity. A second general kinship comes. about because translations of signals in time produce admissible signals. This permits a discussion of the concept of time invariance to be well posed. Thirdly, under typical mathematical restrictions, limits of sequences of well behaved admissible signals are admissible. And finaly, we note that when appropriate, derivatives and integrals of admissible signals are admissible. As a consequence of these properties, the set of admissible signals is sufficiently rich to permit the usual kinds of engineering analysis and design. INPUT-OUTPUT LINEARITY The first great division among the class of systems (system models) is the linear versus nonlinear distinction. Figure 1.5 provides a picture. Figure 15 Linear and nonincar systems ss special subelsses of sptems. Definition 1.2. A system described by the operator IV (as in Figure 1.3) is linear if, for arbitrary complex (real) scalars cy and c; and admissible signals wy and ua, N(ciuy + c2u2) = eyNuy + c2Nur as) In other words, the response to a scaled sum of admissible inputs is the scaled sum of the responses. The principle of superposition then falls immediately out of the definition: N(uy + u2) = Nu, + Nua. Proper interpretation of definition 1.2 critically depends on the fact that sig- nals are defined over the infinite time interval (0,00) and that only an input sig- nal can set up any internal or external initial conditions. Hence, at 1 = — 2», the system is relaxed, with no initial conditions. Later, we shall modify the definition to take care of semisinfinite intervals, [¢o,9°), and the presence of initial conditions at to. Some examples will help clarify these notions. Consider the low-pass filtering circuit of Figure 1.6. At t = —=, no initial conditions are present on the capaci- tors and inductor. Hence, the response of the circuit to a scaled sum of admissible ‘nput signals is the scaled sum of the individual responses. On the other hand, the6 Basic Concepts, Vocabulary, and Notation Chap. 1 A ‘ in. -¢ : a az AS vn Figure 1.6 Linear low pass Site A Diode ‘ a ~ we 6 az AS von Figure 1.7. Nonlinear rete circuit. simple insertion of a diode into the circuit (Figure 1.7) produces a half-wave rectifier with filter. The nonlinearity of the diode makes the circuit behavior nonlinear— ic. the response to two arbitrary sinusoids fails to equal the sum of the responses except in very rare cases. The class of linear systems also includes systems whose output is the deriva- tive or exact integral of the input. Recall that the derivative of a scalar times a function is simply the scalar times the derivative of the function and that the derivative of the sum of any finite number of functions is the sum of the derivatives. Similar arguments hold for exact integration of signals. Hence, it follows that ordi- nary differential equations as the following are linear. FO + ay HO + arlt) yO) = bo ult) + 50H) ao By contrast, some simple modifications to equation 1.6 produce the following non- linear differential equation: FO + yO HO ul) + axl) yO WO) = bo WO) + 5 ul) (1.7) Finally, the small-displacement dashpot-spring combinations typical of elementary ‘mechanical engineering also illustrate linear systems, since such systems can be characterized by linear ordinary differential equation models. ‘Although the real world is predominately nonlinear, a number of compelling reasons motivate a serious investigation of linear systems. First, linear models can often be used to approximate nonlinear systems with reasonable accuracy. Indeed,