M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory.

November 15, 2009 1

1 Lyapunov theory of stability

Introduction. Lyapunov’s second (or direct) method provides tools for studying (asymp-
totic) stability properties of an equilibrium point of a dynamical system (or systems of dif-
ferential equations). The intuitive picture is that of a scalar output-function, often thought
of as a generalized energy that is bounded below, and decreasing along solutions. If this
function has only a single local minimum, and it is strictly decreasing along all nonequilib-
rium solutions, then one expects that all solutions tend to that equilibrium where the output
function has a minimum.
This is indeed correct. In the sequel we state and prove theorems, including some that relax
the requirement of strictly or globally decreasing, and also discuss converse theorems that
guarantee the existence of such functions.

Figure 1: Output decreasing along trajectories, V not proper

Much of the power of the method comes from its simplicity – one does not need to know
any solutions: Knowing only the differential (or difference) equation one can easily establish
whether such an output function is decreasing along solutions. However, while it is easy
to see that for every asymptotically stable system there exists many, even smooth, such
Lyapunov functions, in many cases it is almost impossible to get one’s hands onto one such
Lyapunov function. They are easy to construct for e.g. linear systems, and many strategies
are available for special classes – in general it is a true art to come up with explicit formulas
for good candidate Lyapunov functions.
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 2

We begin with one example and some preliminary definitions.

For a function V : Rn 7→ R and a locally Lipschitz continuous vector field f : Rn 7→ Rn define
the derivative V̇ (p) of V along the flow Φ of f at the point p ∈ Rn by the following limit
provided it exists
V̇ (p) = lim 1t (V (Φ(t, p)) − V (p)) .
t→0
In the case that V is continuously differentiable, this agrees with the directional derivative
of V in the direction of f (p) at p. This is defined for any vector field f : Rn 7→ Rn , and if
V is continuously differentiable, one has the formula V̇ = (DV ) · f which is convenient for
practical applications.
In particular, for any times t1 ≤ t2 and any point p for which the flow is defined, the
fundamental theorem of calculus yields that V is decreasing if V̇ is nonpositive along a
trajectory. Z t2 Z t2
V (Φ(t2 , p)) − V (Φ(t1 , p)) = V̇ (Φ(t, p) dt ≤ 0 dt = 0.
t1 t1

Example 1 For a damped pendulum, write the equation of motion m`φ̈+mk φ̇+mg sin φ = 0
as a first order system:
ẋ = y
ẏ = − g` sin x − ky

Figure 2: Generalized Lyapunov function for pendulum

A natural candidate Lyapunov function is obtained from the total energy E = Epot + Ekin =
mg`(1 − cos φ) + 12 m`2 φ̇2 . In the (x, y) coordinates this yields, after division by m, the
candidate Lyapunov function
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 3

1
V (x, y) = g`(1 − cos x) + `2 y 2
2
Near the origin, the graph of this function looks very similar to a paraboloid – but globally
it has other features which will motivate more detailed studies later. It is easily seen (and
discussed in detail below) that the rate of change of V along solutions of the system for
positive friction k > 0, as long as y 6= 0, (with common abuse of notation)
V̇ (x, y) = (DV )(x, y) · (ẋ, ẏ) = g`y sin x + `2 y(− g` sin x − ky) = −k · `2 y 2 ≤ 0
clearly is negative. It makes sense that at the instances when the angular velocity y = φ̇
is zero (i.e. when the pendulum changes directions), there is no loss of energy. But since
the pendulum cannot stay in any of these states, it will continue to lose energy, and settle
into an equilibrium corresponding to V = 0. The detailed analysis of situations in which
the Lyapunov function is not strictly decreasing along trajectories culminates in Lasalle’s
Invariance Principle.

Definition 1

• A function V : Rn 7→ [0, ∞) is called positive definite if V (x) = 0 if and only if x = 0.

• A function V : X 7→ Y between topological spaces X and Y is called proper if for every
compact set K ⊆ Y its preimage V −1 (K) ⊆ X is compact.
• A function V : Rn 7→ [0, ∞) is called radially unbounded if for every M ∈ R there exists
R ∈ R such that for all x ∈ Rn , if kxk > R then V (x) > M .

Proposition 1
A continuous function V : Rn 7→ [0, ∞) is radially unbounded if and only if it is proper.

Proof.

• Suppose V : Rn 7→ [0, ∞) is continuous and proper, and M ∈ [0, ∞).

• The interval [0, M ] is compact, and since f is proper, the preimage K = V −1 ([0, M ])
is compact.

• In particular, K ⊆ Rn is bounded, i.e., there exists R ∈ R such that K ⊆ B n (0, R).

• If x ∈ Rn such that kxk > R, then x 6∈ K = V −1 ([0, M ]), and thus V (x) > M .

• Conversely suppose V is continuous and radially unbounded and let K ⊆ R be compact.

• Thus K is closed, and by continuity of V , the preimage V −1 (K) ⊆ Rn is also closed.

• Since K is bounded, there exists M ∈ R such that K ⊆ [−M, M ].

• Since V is radially unbounded, there exists R ∈ R so that V (Rn \ B n (0, R)) ⊆ (M, ∞).

• Therefore, V −1 (K) ⊆ B n (0, R) and V −1 (K) is compact.

M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 4

Note: Even if a continuous function V goes to infinity along along every ray r 7→ (r cos θ, r sin θ)
as r goes to infinity, it need not be radially unbounded as the following simple example shows.
r2 r2
V (−r, 0) = 1+r2
+ r2 and V (r cos θ, r sin θ) = 1+r2
+ r2 (1 − 1
1+(r−tan( θ2 ))2
) if θ 6= π.

There are many versions of Lyapunov stability theorems that make different regularity as-
sumptions, that are local or global in nature, that concern continuous or discrete dynamical
systems (differential or difference equations), deterministic or stochastic, finite or infinite
(PDE) dimensional. They all have in common the picture sketched above, but the technical
details may offer many challenges.

Theorem 1 Suppose f : Rn 7→ Rn is locally Lipschitz continuous, f (0) = 0, and V : Rn 7→ R

is continuously differentiable, proper, positive definite such that V̇ is negative definite. Then
the origin is a globally asymptotically stable equilibrium of x0 = f (x).

A function V satisfying the hypotheses of this theorem is called a Lyapunov function for the
(flow of the) system x0 = f (x).

Proof.

• Since f is locally Lipschitz continuous, solutions to initial value problems of x0 = f (x)

exist locally and are unique.
• The only way that they can fail to exist for all positive times is if they escape to infinity
in finite time.
• But since for every q ∈ Rn , and every t ≥ 0, V (Φ(t, q)) ≤ V (q), and the sublevelset
V −1 ([0, V (q)]) is compact, every solution curve stays bounded in forward time.

• To show Lyapunov stability suppose ε > 0 is given.

• Choose ε1 ∈ (0, ε).
• Since V is continuous and the closed ball B n (0, ε1 ) ⊆ B n (0, ε) is compact, there exists
M ∈ R such that V is bounded above by M on B n (0, ε1 ).
• Since V is continuous, there exists δ > 0 such that for all x ∈ B n (0, δ), V (x) < M .
• Hence for every p ∈ B n (0, δ) and every t ≥ 0, since V̇ is nonpositive,
Z t
V (Φ(t, p)) = V (p) + V̇ (Φ(s, p)) ds ≤ V (p) ≤ M.
0

• Hence for every p ∈ B n (0, δ) and all t ≥ 0, Φ(t, p) ∈ B n (0, ε1 ) ⊆ B n (0, ε).
• To show that the origin is attractive, fix any p ∈ Rn and define
c = lim inf V (Φ(t, p)) = lim V (Φ(t, p))
t≥0 t→∞

• If c = 0 then we are done since V is positive definite.

• Otherwise, choose δ > 0 such that 0 < c − δ < c + δ < V (p),
and consider the annular region A = V −1 ([c − δ < c + δ]) ⊆ Rn .
• Since V is proper, A is compact.
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 5

Figure 3: No positive limit for V (Φ(t, p))

• Since V is continuously differentiable and f is continuous, V̇ is continuous.

• Since V̇ is negative definite, there exists µ > 0 such that for all x ∈ A, V̇ (x) ≤ −µ.
• By choice of c there exists T ∈ R such that V (Φ(T, p)) < c + δ, i.e., Φ(T, p) ∈ A.
• Calculate:
Z 2δ Z 2δ
µ µ
2δ
V (Φ(T + µ
, p)) = V (Φ(T, p)) + V̇ (Φ(T + s, p)) ds ≤ (c + δ) + −µ ds ≤ (c − δ)
0 0
which contradicts the choice of c.
• Thus c = 0 and the origin is globally asymptotically stable.

Theorem 2 Suppose Ω ⊆ Rn is open, 0 ∈ Ω, f : Ω 7→ Rn is locally Lipschitz continuous,

f (0) = 0, and V : Ω 7→ R is continuously differentiable, positive definite (on Ω) and such
that V̇ is negative definite. Then the origin is a locally asymptotically stable equilibrium of
x0 = f (x), i.e. there exists an open neighborhood U ⊆ Rn of the origin such that every
solution starting at any p ∈ U is defined for all positive times, will converge to the origin as
t goes to infinity, and the equilibrium is Lyapunov stable.

For time-varying systems x0 = f (t, x) there exists a parallel rich theory which utilizes time
varying Lyapunov functions V (t, x). The main additional technical feature that one needs
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 6

to be attentive of is that definiteness properties be uniform in time, e.g. functions like

V (t, x, y) = x2 + e−t y 2 are not sufficient.

Theorem 3 (Lasalle’s Invariance Principle) Suppose Ω ⊆ Rn is open, f : Ω 7→ Rn is

locally Lipschitz continuous, and V : Ω 7→ R is continuously differentiable. Suppose K ⊆ Ω
is compact, invariant, and for all x ∈ K, V̇ (x) ≤ 0. Let E = V̇ −1 (0) and let M ⊆ E be the
largest invariant set contained in E. Then every solution starting in K approaches M as
t → ∞.

Comments: In many common applications of Lasalle’s Invariance Principle V is a positive

definite function which fails to guarantee that V̇ is negative definite only because there
are some points, like in the example of the damped pendulum, where V̇ vanishes. One
usually proceeds by demonstrating that f is nontangent to the set E = V̇ −1 (0) except at
the equilibrium point to conclude asymptotic stability
However, Lasalle’s theorem has much broader applications – e.g., in the statement above
there is no requirement that V be positive definite. Thus it also applies to the example of
the energy function for the damped pendulum which has infinite numbers of local minima
and saddle points, compare figure 1 – there is no need to first restrict one’s attention to a
small neighborhood of one equilibrium point on which V is positive definite.

Proof.

• Suppose K, f, V, E and M are as in the statement of the theorem.

• Suppose p ∈ K and consider the curve t 7→ Φ(t, p).
• Since V is continuous it is bounded from below on the compact set K.
• Since K is invariant by hypothesis, for all t ≥ 0, Φ(t, p) ∈ K.
• Moreover, using that K is compact, and hence bounded, the ω-limit set ω(p) is
nonempty.
• Since K is closed, ω(p) ⊆ K.
• Using lemma 4, for all q ∈ ω(p), V̇ (q) = 0 and therefore ω(p) ⊆ {y : V̇ (y) = 0} =
V̇ −1 (0) = E ⊆ M.
• Since ω-limit sets are invariant, ω(p) ⊆ M .
• Since ω-limit sets are attracting, for every  > 0 there exists T ∈ R such that for every
t > T there exists q ∈ ω(p) such that kΦ(t, p) − qk < ε.
• Since ω(p) ⊆ M , it follows that q ∈ M . This proves that the solution curve starting
at an arbitrary p ∈ K approaches M as t → ∞.

Lemma 4 Suppose Ω ⊆ Rn is open, f : Ω 7→ Rn is locally Lipschitz continuous, and V : Ω 7→

R is continuously differentiable and bounded from below. Suppose that p ∈ Ω and for all
t ≥ 0, Φ(t, p) is defined and is contained in Ω. Then for all q ∈ ω(p), V̇ (q) = 0.

Proof.
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 7

• Suppose Ω, f, V and p are as in the statement of the lemma.

• If ω(p) = ∅ then there is nothing to prove.
• Suppose q1 = q3 ∈ ω(p), q2 ∈ ω(p) and fix any ε > 0.
• Since V is continuous at q1 and at q2 , there exists δ > 0 such that for all x ∈ Ω, for
i = 1, 2, if kx − qi k < δ then |V (x) − V (qi )| < ε4 .
• Since q1 , q2 ∈ ω(p), there exist 0 ≤ t1 ≤ t2 ≤ t3 such that for i = 1, 2, 3, |Φ(ti , p)−qi k <
δ, and hence for i = 1, 2, 3, |V (Φ(ti , p)) − V (qi )| < ε4 .
• This implies that
|V (Φ(t3 , p)) − V (Φ(t1 , p))| ≤ |V (Φ(t3 , p)) − V (q1 )| + |V (q1 ) − V (Φ(t1 , p))| < ε2 .

• Since V̇ does not change sign this implies

Z t2
|V (Φ(t2 , p)) − V (Φ(t1 , p))| = | V̇ (Φ(s, p) ds|
t
Z 1t3
≤ | V̇ (Φ(s, p) ds|
t1
≤ |V (Φ(t3 , p)) − V (Φ(t1 , p))| < ε2 .

• Therefore
|V (q2 ) − V (q1 )| ≤ |V (q2 ) − V (Φ(t2 , p))| + |V (Φ(t2 , p)) − V (Φ(t1 , p))| + |V (Φ(t1 , p)) − V (q1 )|
< ε4 + ε2 + ε4 = ε.

• Since ε > 0 was arbitrary, this establishes that V is constant on ω(p).

• Now use that ω(p) is invariant, i.e., for every q ∈ ω(p) and all t ∈ R, Φ(t, q) ∈ ω(p).
By the foregoing, for every q ∈ ω(p) and all t ∈ R, V (Φ(t, q)) = V (q) and therefore

V̇ (q) = d  1 (V (Φ(t, q)) − V (q)) = 0,
dt t=0 t

proving that V̇ vanishes identically on ω(p).

There are many theorems that guarantee for every asymptotically stable system the existence
of Lyapunov functions, even with various additional properties such as being C ∞ , or being
homogeneous. But these theorems are mainly useful for theoretical purposes, since, even
though their proofs are generally very constructive, they rely on knowing the solutions of
the system!
In practical applications, where one tries to find a candidate Lyapunov function to establish
asymptotic stability, it generally is considered an art to come up with good candidates. Even
if one has found a Lyapunov function, it may be very difficult to rigorously prove that its
derivative along solution curves is negative definite.
A few general suggestions:

• For asymptotically stable linear systems one always can find a quadratic Lyapunov
function. There is a rich literature in engineering about effectively computing suitable
Lyapunov functions. One of their main uses is to establish robustness properties,
i.e. showing that suitable perturbations of an asymptotically stable system are still
asymptotically stable.
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 8

• In systems arising from modeling physical models, the total energy of the system, and
various similarly inspired output functions often serve as good starting points.

• Taking Taylor approximations of smooth systems yields systems with polynomial right
hand sides. These suggest that one try polynomial functions as candidate Lyapunov
functions. These are finitely parameterized, and one obtains inequalities for definite-
ness of V and V̇ that have a finite number of parameters, and thus may be amenable to
plain calculus methods for establishing that some minimum is nonnegative for suitable
choices of parameters.

• In general it may be easier to start with a desired negative definite V̇ , use this to
compute the corresponding V , and then show that V is positive definite!
This is demonstrated in the following simple theorem for linear systems.

Theorem 5 Suppose A ∈ Rn×n . The origin is an asymptotically stable equilibrium point of

the system x0 = Ax if and only for every positive definite Q = QT ∈ Rn×n there exists a
positive definite P = P T ∈ Rn×n such that P A + AT P = −Q. Moreover, such P is unique.

Proof.

• Sufficiency is immediate.

• Conversely suppose that all eigenvalues of A have strictly negative real parts and
Q = QT is positive definite.
R∞ T
• Define P = 0 etA QetA dt.
This integral converges absolutely because the norm of the integrand is bounded by a
function of the form CtN e−αt for some positive constants C, N, α.

• It is clear that P = P R is symmetric since the integrand is symmetric at every t ≥ 0

• To show that P is positive definite, suppose x ∈ Rn is such that xT P x = 0. Then

Z ∞

T
etA x Q etA x dt


0=
0

• Since Q is positive definite this implies that for all t ≥ 0 etA x = 0.

• Since for every t, etA is invertible, this implies x = 0 proving that P is positive definite.

• To show that the function V (x) = xT P x has the desired derivative along solutions,
first note that formally V̇ (x) = ẋT P x + xT P dotx = xT (P A + AT P )x. Now calculate
Z ∞ 
T T T
PA + A P = etA QetA A + AT etA QetA dt
Z0 ∞  
d tAT tA
= dt
e Qe dt
0
∞
T
= etA QetA  = −Q.

0
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 9

• To show uniqueness, suppose P, P̃ ∈ Rn×n are both positive definite, symmetric and
satisfy P A + AT P = P̃ A + AT P̃ = −Q.
• Then (P − P̃ )A + AT (P − P̃ ) = 0, and hence for every t ≥ 0
T
 
etA (P − P̃ )A + AT (P − P̃ ) etA = 0
d tAT
• But the expression on the left hand side is the time derivative dt
e (P − P̃ ))etA .
T
• Since the derivative vanishes identically, the product etA (P − P̃ )etA must be a constant
function of t, and in particular, must at every time be equal to its value at t = 0.
Therefore for all t ≥ 0,
T T
etA (P − P̃ ))etA = e0·A (P − P̃ )e0·A = P − P̃ .
• On the other hand, since the origin was assumed to be asymptotically stable, as t goes
to infinity, etA goes to zero, and therefore
T
(P − P̃ ) = lim etA (P − P̃ ))etA = 0 · (P − P̃ )) · 0 = 0.
t−→∞

Proofs of converse theorem for nonlinear systems use a similar constructions. One technical
difficulty is that the solution Rmight not converge exponentially fast to the equilibrium, and
∞
hence integrals like V (x) = 0 kΦ(t, x)k2 dt need not converge. Moreover, one needs to
establish that even if this defines a function value V (x) at every point, that the so-defined
function is indeed continuously differentiable. It turns out that one can always achieve that
V is even C ∞ , compare classic theorems by Massera and Kurzweil.
As a hands-on example to illustrate the construction, consider the system x0 = Ax where
   
0 −1 −1 0
A= , and define − Q = −I = .
1 −1 0 −1
Make the Ansatz V (x) = xT P x = p11 x21 + 2p12 x1 x2 + p22 x22 with pij ∈ R.
Calculate the derivative along solutions of x0 = Ax.
V̇ (x) = (Ax)T P x + xT P (Ax)
= 2p11 x1 x2 − 2p12 x22 + 2p12 x21 − 2p12 x1 x2 + p22 x1 x2 − p22 x22
= 2p12 x21 + 2(−p11 − p12 + p22 )x1 x2 + 2(−p12 − p22 )x22
!
= −x21 − x22 .
This defines a linear system for the entries of P
     
0 2 0 p11 −1
 −2 −2 2  ·  p12  =  0 
0 −2 −2 p22 −1
which has the unique solution  3
− 12

P = 2 .
− 12 1

When trying to adapt Lyapunov methods for stability to an instability theorem, a first
thought might be to keep V positive definite and argue with indefinite V̇ . But unlike in
stability theorems, one does need to consider all trajectories. Hence it suffices to identify a
suitable region in which both V and V̇ have the same sign. The following statement and
arguments use the delicate intersection of a closed set F with the open set V −1 (0, ∞).
M.Kawski, APM 581 Diff Equns Intro to Lyapunov theory. November 15, 2009 10

Theorem 6 (adapted from Chetaev 1934) . Suppose E ⊆ Rn is open, 0 ∈ E, f : E 7→

Rn and V : E 7→ R are continuously differentiable, f (0) = 0, V (0) = 0. Suppose U an open
neighborhood of 0 with compact closure F = U ⊆ E such that the restriction of V̇ = (DV )f
to F ∩ V −1 (0, ∞) is strictly positive. If for every open neighborhood W ⊆ Rn of 0 the set
W ∩ V −1 (0, ∞) is nonempty, then the origin is an unstable equilibrium of ẋ = f (x).

Proof.

• Assume above hypotheses.

• Let W be an open neighborhood of 0 ∈ Rn .

• There exists z ∈ W ∩ V −1 (0, ∞). Define a = V (z) > 0.

• The set K = F ∩ V −1 [a, ∞) is compact, and it is nonempty since z ∈ K.

• Using the continuity of V and V̇ there exist m = min V̇ (x) and M = max V (x).
x∈K x∈K

• Since K = F ∩ V −1 [a, ∞) ⊆ F ∩ V −1 (0, ∞) it follows that m > 0.

• Let I ⊆ [0, ∞) be the maximal interval of existence for φ: I 7→ E such that φ(0) = z,
and φ0 = f ◦ φ.

• Define the set T = {t ∈ I: for all s ∈ [0, t], φ(s) ∈ K}.

d
• For all t ∈ T , dt
(V ◦ φ)(t) = (V̇ ◦ φ)(t) ≥ m.

• Hence for all t ∈ T ,

Z t
V (φ(t)) = V (φ(0) + V̇ (φ(s)) ds ≥ a + mt.
0

• Since V is bounded above by M , T is also bounded above. Let t0 the the least upper
bound of T .

• Since K ⊆ E, I ⊇ [0, t0 ] and φ(t0 ) is well-defined. Moreover t0 lies in the interior of I.

• Since for all t ∈ [0, t0 ), φ(t) ∈ K, and for every δ > 0 there exist t ∈ I, t0 < t < t0 + δ
such that φ(t) 6∈ K it follows that φ(t0 ) lies on the boundary of the set K.

• The boundary of K is contained in the union ∂K ⊆ V −1 (a) ∪ (F \ U ).

• Since V (φ(t0 )) ≥ a + mt0 > a it follows that φ(t0 ) 6∈ V −1 (a).

• Therefore φ(t0 ) ∈ (F \ U ), and, in particular, φ(t0 ) 6∈ U .

• Since W was arbitrary, this shows that the origin is an unstable equilibrium of f .

This is a very first draft, likely with many many type-ohs. Comments are appreciated.