Module 4F2: Nonlinear Systems and Control: Lectures 3 - 4: Invariant Sets and Stability

Module 4F2: Nonlinear
Systems and Control

Lectures 3 – 4: Invariant sets and Stability
Jan Maciejowski
jmm@eng.cam.ac.uk
Department of Engineering
University of Cambridge
Lent 2012 4F2: Nonlinear systems and Control, Lectures 3–4 – p. 1/32
Invariant sets
n
ẋ = f (x), x(0) = x0 , x ∈ R
Assume: f is Lipschitz continuous.
Unique trajectory: x(·).
Definition 1 (Invariant set) A set of states S ⊆ Rn of

ẋ = f (x) is an invariant set of ẋ = f (x) if ∀x0 ∈ S
and ∀t ≥ 0: x(t) ∈ S.
Equilibria: important special class of invariant sets:

Definition 2 (Equilibrium) A state x̂ is an
equilibrium of ẋ = f (x) if f (x̂) = 0.
Shift equilibrium to 0
w = x − x̂
In the w coordinates the dynamics of the system are
ẇ = ẋ = f (x) = f (w + x̂) = fˆ(w)
where fˆ(w) = f (w + x̂).

Since
fˆ(0) = f (0 + x̂) = f (x̂) = 0
the system in the new coordinates has an equilibrium
at ŵ = 0.
Useful trick!
Limit cycles
Another important class of invariant sets (n ≥ 2).
Limit cycle: A closed, non-trivial periodic trajectory.
Limit cycles
Example: Van der Pol oscillator
θ̈ − ǫ(1 − θ2 )θ̇ + θ = 0
Limit cycles
Example: Van der Pol oscillator
θ̈ − ǫ(1 − θ2 )θ̇ + θ = 0
Exercise: Write this in state-space form. Find any
equilibria.
Van der Pol (ǫ = 1)
5
x2
0
−1
−2
−3
−4
−3 −2 −1 0 1 2 3 4
x1
Exotic invariant sets
Invariant torus — like surface of a ring doughnut.
Chaotic attractor — eg Lorenz equations
ẋ1 = a(x2 − x1 )
ẋ2 = (1 + b)x1 − x2 − x1 x3
ẋ3 = x1 x2 − cx3
Lorenz attractor
25
20
15
10
x2 0
−5
−10
−15
−20
−25
−20 −15 −10 −5 0 5 10 15 20
x1
Don’t the crossings violate uniqueness of solution?

a = 10, b = 24, c = 2, x0 = [−5, −6, 20]T
Lorenz attractor
50
40
30
x3
20
30
10
20
10
0
−20 0
−15
−10
−5 −10
0
5 −20
10
15
20 −30 x2
x1
a = 10, b = 24, c = 2, x0 = [−5, −6, 20]T
Poincaré-Bendixson theorem
Theorem 1 Consider a two dimensional dynamical
system and let S ⊆ R2 be a compact (i.e. bounded
and closed) invariant set. If S contains no equilibrium
points then all trajectories starting in S are either
limit cycles themselves, or tend towards a limit cycle
as t → ∞.
Exotic things cannot happen in R2
2
Corollary in R
Corollary 1 Consider a two dimensional dynamical
system.
1. A compact region S ⊆ R2 that contains no
equilibria and on whose boundary the vector field
points towards the interior of S must contain a
stable limit cycle.
2. The region encircled by a limit cycle (in R2 )
contains either another limit cycle or an
equilibrium.
Stability
Definition 3 (Stable equilibrium) An equilibrium x̂
is stable if, ∀ǫ > 0, ∃δ > 0 such that
kx0 − x̂k < δ ⇒ kx(t) − x̂k < ǫ
Otherwise the equilibrium is said to be unstable.
Stability
Definition 4 (Stable equilibrium) An equilibrium x̂
is stable if, ∀ǫ > 0, ∃δ > 0 such that
kx0 − x̂k < δ ⇒ kx(t) − x̂k < ǫ
Otherwise the equilibrium is said to be unstable.
8
2
x2
−2
−4
−6
−8
−10 −8 −6 −4
x1 −2 0 2 4
Asymptotic stability
Definition 5 (Asymptotically stable equilibrium)
An equilibrium x̂ is locally asymptotically stable if
1. It is stable, and
2. There exists M > 0 such that
kx0 − x̂k < M ⇒ limt→∞ x(t) = x̂.
kx0 − x̂k < M ⇒ limt→∞ x(t) = x̂.
The equilibrium is called globally asymptotically

stable if this holds for all M > 0.
kx0 − x̂k < M ⇒ limt→∞ x(t) = x̂.
The equilibrium is called globally asymptotically

stable if this holds for all M > 0.
The domain of attraction of an asymptotically stable
equilibrium is the set of all x0 for which x(t) → x̂.
Linearisation
Taylor series expansion:
f (x) = f (x̂) + A(x − x̂) + higher order terms in (x − x̂)
= A(x − x̂) + higher order terms in (x − x̂)
where  
∂f1 ∂f1
∂x1 (x̂) ... ∂xn (x̂)

A= .. .. .. 
. . . 
∂fn ∂fn
∂x1 (x̂) . . . ∂xn (x̂)
Letting δx = x − x̂ gives:
˙ = Aδx + higher order terms in δx ≈ Aδx
δx
Lyapunov’s indirect method
Theorem 2 (Lyapunov’s indirect method) The
equilibrium x̂ is
1. Locally asymptotically stable if the linearisation is
asymptotically stable;
2. Unstable if the linearisation is unstable.
Lyapunov’s indirect method
Theorem 4 (Lyapunov’s indirect method) The
equilibrium x̂ is
1. Locally asymptotically stable if the linearisation is
asymptotically stable;
2. Unstable if the linearisation is unstable.
Theorem 5 (Stability of δx ˙ = Aδx)
1. Asymptotically stable if and only if all eigenvalues
of A have −ve real parts;
2. Stable if all eigenvalues of A have non-positive
real parts, and any eigenvalues on the imaginary
axis are distinct;
3. Unstable if ∃ an eigenvalue with +ve real part.
Behaviour near equilibrium
Stable Node Saddle point
Centre Stable Focus
Pendulum again
Linearisation about [θ, θ̇] = [0, 0]:

˙ 0 1
δx = g d δx
− ℓ −m
Eigenvalues: Solutions of

λ −1 2 d g
det(λI − A) = g d
=λ + λ+ =0
ℓ λ + m
m ℓ
Both have negative real parts ⇒ asymptotically stable.
Pendulum again
Linearisation about [θ, θ̇] = [π, 0]:

˙ 0 1
δx = g d δx
+ ℓ −m
Eigenvalues: Solutions of
d 2 g
λ + λ− =0
m ℓ
One +ve real, one −ve real ⇒ unstable.
Sometimes inconclusive
Linearised system stable but not asymptotically stable
⇒ Inconclusive for nonlinear system.
Example:
3 3
ẋ = x
| {z } and ẋ = −x
| {z }
unstable stable
Equilibrium: x̂ = 0
˙ =0
Linearisation: δx stable — only
Lyapunov’s direct method
Suppose ẋ = f (x) and f (0) = 0.
Theorem 6 (Lyapunov Stability) Assume there
exists a differentiable function V : S → R defined on
some open region S ⊂ Rn containing 0, such that
1. V (0) = 0.
2. V (x) > 0 for all x ∈ S with x 6= 0.
3. V̇ (x) ≤ 0 for all x ∈ S.
Then x̂ = 0 is a stable equilibrium of ẋ = f (x).
Such a function V (.) is called a Lyapunov function.
It generalises idea of energy function.
Proof by picture
n n
X ∂V X ∂V
V̇ (x) = ẋi = fi (x) = ∇V · f (x)
i=1
∂xi i=1
∂xi
Proof by picture
n n
X ∂V X ∂V
V̇ (x) = ẋi = fi (x) = ∇V · f (x)
i=1
∂xi i=1
∂xi
ǫ {x ∈ Rn | V (x) ≤ c}
Asymptotic Stability
Theorem 7 (Lyapunov Asymptotic Stability)
Assume there exists a differentiable function
V : S → R defined on some open region S ⊂ Rn
containing the origin, such that
1. V (0) = 0.
2. V (x) > 0 for all x ∈ S with x 6= 0.
3. V̇ (x) < 0 for all x ∈ S with x 6= 0.
Then x̂ = 0 is a locally asymptotically stable
equilibrium of ẋ = f (x).
Easier condition to meet
Theorem 8 (LaSalle’s Theorem) Let S ⊆ Rn be a
compact invariant set. Assume there exists a
differentiable function V : S → R such that
V̇ (x) ≤ 0 ∀x ∈ S
Let M be the largest invariant set contained in
{x ∈ S | V̇ (x) = 0}. Then all trajectories starting in
S approach M as t → ∞.
Easier condition to meet
Corollary 2 (LaSalle for Equilibria) Let S ⊆ ℜn be
a compact invariant set. Assume there exists a
V̇ (x) ≤ 0 ∀x ∈ S
If the set {x ∈ S | V̇ (x) = 0} contains no trajectories
other than x(t) = 0, then 0 is locally asymptotically
stable. Moreover, all trajectories starting in S
converge to 0.
Notes about Lyapunov
Lyapunov’s Asymptotic Stability Theorem and
LaSalle’s Theorem for equilibria can be used to
estimate domains of attraction. System can never
leave a set {x ∈ Rn | V (x) ≤ c}, so any such set in S
must be in the domain of attraction.
Notes about Lyapunov
Lyapunov’s Asymptotic Stability Theorem and
LaSalle’s Theorem for equilibria can be used to
estimate domains of attraction. System can never
leave a set {x ∈ Rn | V (x) ≤ c}, so any such set in S
must be in the domain of attraction.
The conditions of the theorems are sufficient but not
necessary. If we can not find a Lyapunov function we
can not draw any immediate conclusion.
How to find suitable V ?
Use intuition about particular system.
Try simplest quadratic function kxk2 .
Try xT P x where P is symmetric, positive-definite
matrix.
matrix.
Positive-definite matrix: xT P x > 0 for any x 6= 0.
P = P T is positive-definite if and only if every
eigenvalue > 0. Write P > 0.
matrix.
Positive-definite matrix: xT P x > 0 for any x 6= 0.
P = P T is positive-definite if and only if every
eigenvalue > 0. Write P > 0.
Positive-semidefinite matrix:
xT P x ≥ 0 for any x 6= 0.
P = P T is positive-semidefinite if and only if every
eigenvalue ≥ 0. Write P ≥ 0.
Quadratic V for linear systems
Consider
ẋ = Ax and V (x) = xT P x, (P = P T > 0)
Consider
Then
V̇ (x) = ẋT P x + xT P ẋ
T T
= (Ax) P x + x P (Ax)
T T
= x (A P + P A)x
We want V̇ (x) < 0. So we want −(AT P + P A) > 0.
Consider
Then
V̇ (x) = ẋT P x + xT P ẋ
T T
= (Ax) P x + x P (Ax)
T T
= x (A P + P A)x
We want V̇ (x) < 0. So we want −(AT P + P A) > 0.

Matrix Lyapunov Equation
AT P + P A = −Q for some Q > 0.
Stability of Linear System
T
A P + P A = −Q
Theorem 9 (Linear Lyapunov Stability) For any
matrix A the following statements are equivalent
1. All eigenvalues of A have negative real parts.
2. We can find P = P T > 0 that solves Matrix
Lyapunov Equation for some Q = QT > 0.
3. We can find P = P T > 0 that solves Matrix
Lyapunov Equation for any Q = QT > 0.
Memoryless nonlinearities
h(0) = 0 and zh(z) > 0 for z 6= 0
h(0) = 0 and zh(z) > 0 for z 6= 0
Example:
1
0.8
0.6
0.4
0.2
h(z)
0
−0.2
−0.4
−0.6
−0.8
−1
−4 −3 −2 −1
z
0 1 2 3 4
h(0) = 0 and zh(z) > 0 for z 6= 0
Then Z xi
V (x) = h(z)dz > 0
0
and
∂V
(x) = h(xi )
∂xi
So try
n Z
X xi
V (x) = xT P x + hi (z)dz
i=1 0
Hopfield Neural Network
ui1 wi1
ui2 wi2
R zi xi
σ(·)
−
1
τ
ui(N +1) wi(N +1)
Model of one neuron
Sigmoid function
σ(·) : R → R : R 7→ (−1, 1)
eλz − e−λz
σ(z) = λz −λz
= tanh(λz)
e +e
Sigmoid function
σ(·) : R → R : R 7→ (−1, 1)
eλz − e−λz
σ(z) = λz −λz
= tanh(λz)
e +e
1
0.8
0.6
0.4
σ(zi )
0.2
−0.2
−0.4
−0.6
−0.8
−1
−4 −3 −2 −1
zi
0 1 2 3 4
Sigmoid function
σ(·) : R → R : R 7→ (−1, 1)
eλz − e−λz
σ(z) = λz −λz
= tanh(λz)
e +e
1
0.8
0.6
0.4
dσ
σ(zi )
0.2
0 >0
−0.2 dz
σ(·) invertible
−0.4
−0.6
−0.8
−1
−4 −3 −2 −1
zi
0 1 2 3 4
Dynamics of one neuron
Since xi = σ(zi ),
N +1
!
dσ dσ 1 X
ẋi = (zi )żi = (zi ) − zi + wik uik
dz dz τ
k=1
N +1
!
1 −1 X
= h(xi ) − σ (xi ) + wik uik
τ
k=1
where
dσ −1
h(xi ) = (σ (xi )) > 0
dz
Network of N neurons
Interconnection of neurons:
uik = xk , 1 ≤ k ≤ N
uik = xk , 1 ≤ k ≤ N
Constant external inputs:
ui(N +1) = ui
uik = xk , 1 ≤ k ≤ N
ui(N +1) = ui
Symmetry of connection gains:
wik = wki , 1 ≤ i, k ≤ N
uik = xk , 1 ≤ k ≤ N
ui(N +1) = ui
wik = wki , 1 ≤ i, k ≤ N
Gain on external inputs:
wi(N +1) = 1
uik = xk , 1 ≤ k ≤ N
ui(N +1) = ui
wik = wki , 1 ≤ i, k ≤ N
Gain on external inputs:
wi(N +1) = 1
Will trajectories converge to (an) equilibrium?
N
!
1 −1 X
ẋi = h(xi ) − σ (xi ) + wik xk + ui
τ
k=1
N
!
1 −1 X
τ
k=1
Let
N Z xi N
1 T 1 X X
V (x) = − x W x + σ −1 (s)ds − xi ui
2 τ i=1 0 i=1
Note wik = wki ⇒ W = W T .
N
!
1 −1 X
τ
k=1
Let
N Z xi N
1 T 1 X X
V (x) = − x W x + σ −1 (s)ds − xi ui
2 τ i=1 0 i=1
Note wik = wki ⇒ W = W T .

Then
∂V
ẋi = −h(xi ) (x)
∂xi
N N 2
X ∂V X ∂V
V̇ (x) = (x)ẋi = − h(xi ) (x) ≤ 0
i=1
∂xi i=1
∂xi
since h(xi ) > 0.
N N 2
X ∂V X ∂V
V̇ (x) = (x)ẋi = − h(xi ) (x) ≤ 0
i=1
∂xi i=1
∂xi
since h(xi ) > 0.

∂V
V̇ (x) = 0 ⇒ (x) = 0 ⇒ ẋi = 0
∂xi
So: V̇ (x̂) = 0 ⇒ x̂ is an equilibrium.
Now apply LaSalle
But recall:
V̇ (x) ≤ 0 ∀x ∈ S
converge to 0.
Now apply LaSalle
But recall:
V̇ (x) ≤ 0 ∀x ∈ S
converge to 0.
Hence deduce convergence to equilibrium.

Module 4F2: Nonlinear Systems and Control: Lectures 3 - 4: Invariant Sets and Stability

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Module 4F2: Nonlinear Systems and Control: Lectures 3 - 4: Invariant Sets and Stability

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Module 4F2: Nonlinear

Systems and Control

Definition 1 (Invariant set) A set of states S ⊆ Rn of

Equilibria: important special class of invariant sets:

where fˆ(w) = f (w + x̂).

Don’t the crossings violate uniqueness of solution?

a = 10, b = 24, c = 2, x0 = [−5, −6, 20]T

Exotic things cannot happen in R2

The equilibrium is called globally asymptotically

The equilibrium is called globally asymptotically

Stable Node Saddle point

Centre Stable Focus

We want V̇ (x) < 0. So we want −(AT P + P A) > 0.

We want V̇ (x) < 0. So we want −(AT P + P A) > 0.

Model of one neuron

Note wik = wki ⇒ W = W T .

Note wik = wki ⇒ W = W T .

since h(xi ) > 0.

since h(xi ) > 0.

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