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A simple proof of the Initial and Final Value Theorems

Torbjörn Nordling October 15, 2007


E-mail: tn@kth.se

Theorems and definitions


Initial value theorem
If and only if the linear time invariant system producing x(t) is stable then

lim x(t) = lim sX(s)


t→0 s→∞

Final value theorem


If and only if the linear time invariant system producing x(t) is stable then

lim x(t) = lim sX(s)


t→∞ s→0

Stable
Consider a system ẋ(t) = f (x, t) as t ≥ 0 and suppose that x0 is an equilibrium and that the system
has a unique solution for each initial condition in the domain of interest. The equilibrium x0 is stable
if and only if

∃δ(, t0 ) such that ∀ > 0, t ≥ t0 ≥ 0 kx0 − x0 k < δ(, t0 ) ⇒ kx(x0 , t, t0 ) − x0 k < .

Proof
Consider a system ẋ(t) = f (x) as t ≥ 0. Assume that x(t) is piece-wise continuous and that all left and
right side limits are well defined. Let limγ→0 denote the limit along the positive real axis from above
and limγ→∞ along the positive real axis from below. (The proof is valid for generalized functions too,
even though I am avoiding the 0+ , 0− issue of [1] by indicating the direction of the limit with signs in
front of the variables). The Laplace transform of the time derivative of x(t) is
  Z υ  Z b Z b 
d d −st 0 b 0
L− x(t) ≡ lim lim x(t)e dt = partial integration: f g = [f g]a − fg
dt υ→∞ →0 − dt a a
Z υ
−st υ
x(t)(−s)e−st dt
 
= lim lim x(t)e −
− lim lim
υ→∞ →0 υ→∞ →0 −
Z υ
= 0 − lim x(−) + s lim lim x(t)e−st dt = − lim x(−) + sX(s).
→0 υ→∞ →0 − →0
| {z }
L− (x(t))

Here lim→0 x(−) denotes the pre-initial value (see [1]). If we now take the limit when s → ∞ of the
two underlined terms then we get
Z υ "Z #
 Z υ
d −st d 0 d −st
lim lim lim x(t)e dt = lim lim lim x(t) |{z}
e dt + x(t)e dt
s→∞ υ→∞ →0 − dt υ→∞ →0 s→∞ − dt  dt
=1
= lim [x(t)]− + 0 = lim x() − lim x(−)
→0 →0 →0

1
and
h i
lim − lim x(−) + sX(s) = − lim x(−) + lim sX(s)
s→∞ →0 →0 s→∞

hence

− lim x(−) + lim sX(s) = lim x() − lim x(−)


→0 s→∞ →0 →0

lim x(t) = lim sX(s)
t→0 s→∞

gives the initial value theorem.


If we instead take the limit when s → 0 of the two underlined terms then we get
Z υ Z υ
d
lim lim lim −st
x(t)e dt = lim lim dx(t) = lim lim [x(t)]υ−
s→0 υ→∞ →0 − dt υ→∞ →0 − υ→∞ →0

= lim x(υ) − lim x(−)


υ→∞ →0

and
h i
lim − lim x(−) + sX(s) = − lim x(−) + lim sX(s)
s→0 →0 →0 s→0

hence

− lim x(−) + lim sX(s) = lim x(υ) − lim x(−)


→0 s→0 υ→∞ →0

lim x(t) = lim sX(s)
t→∞ s→0

gives the final value theorem.


In order for the relationships to hold the Laplace transform L− (x(t)) must exist, i.e. the integral
must converge or similarly both the upper and lower limits of
Z υ
L− (x(t)) = lim lim x(t)e−st dt
υ→∞ →0 −

must be finite. That is x(t) must be of exponential type, i.e. |x(t)| < eM t for all large t. Then the
integral converges for all <(s) > M . Let us take two examples where we get convergence problems
and thus derive the demand that the system must be stable.
If we assume x(t) = Aeαt , where A and α are real-valued constants, i.e. a single real pole, and
insert it then
1 (α−s)t υ
Z υ Z υ  
αt αt −st (α−s)t

L− Ae = lim lim Ae e dt = A lim lim e dt = A lim lim e
υ→∞ →0 − υ→∞ →0 − υ→∞ →0 α − s
−
 
A   lim e(α−s)υ − lim e−(α−s)  = A .

=
α − s  |υ→∞ {z } →0
| {z }
 s−α
=0 iff <(s)≥α =1

In the final value theorem we take the limit when s → 0, and the Laplace transform above must exist
even in that case, so a necessary condition is α ≤ 0, i.e. that the poles of the system is in the left
hand halfplane and it is stable.
If we instead assume x(t) = eαt (A cos βt + B sin βt), where A,B, α and β are real-valued constants,

2
i.e. a pair of complex conjugated poles p = α ± iβ, then we get
Z υ
L− eαt (A cos βt + B sin βt) = lim lim (A cos βt + B sin βt)eαt e−st dt

υ→∞ →0 −
 Z υ Z υ 
(α−s)t (α−s)t
= lim lim A e cos βt dt + B e sin βt dt
υ→∞ →0 − −

1
= {Beta p.175} = lim lim e(α−s)t
υ→∞ →0 (α − s)2 + β 2
 υ

A(α − s) cos βt + Aβ sin βt + B(α − s) sin βt − Bβ cos βt


 
| {z }
(Bα+Aβ−Bs) sin βt+(Aα−Bβ−As) cos βt
 −
(Bα + Aβ − Bs)  lim e(α−s)υ sin βυ − lim e−(α−s) sin(−β)

=
(α − s)2 + β 2  υ→∞
| {z } →0
| {z }

=0 iff <(s)>α =0
 
(Aα − Bβ − As) 
 lim e(α−s)υ cos βυ − lim e−(α−s) cos(−β)

+ 2 2
(α − s) + β υ→∞
| {z } →0
| {z }

=0 iff <(s)>α =1
A(α − s) − Bβ A(s − α) + Bβ
= − = .
(α − s)2 + β 2 (s − α)2 + β 2

In the final value theorem we take the limit when s → 0, and the Laplace transform above must exist
even in that case, so a necessary condition is α < 0, i.e. that the poles of the system is strictly in the
left hand halfplane and it is asymptotically stable. In general the solution to a linear time invariant
homogeneous ODE can be expressed as

x(t) = P1 (t)eλ1 t + . . . + Pk (t)eλk t , (1)

where Pn (t) are polynomials of t and λn ∈ C. Since


Z Z
λt 1 λt 1 dP (t) λt
P (t)e dt = P (t)e − e dt (2)
λ λ dt

the critical condition will also in the general case be <(λ) ≤ 0 or <(λ) < 0, i.e. all poles except one,
which may be in the origin, should be in the open left halfplane. We have thus shown that a sufficient
and necessary condition for the final value theorem is that the system is stable.

References
[1] Kent H. Lundberg, Haynes R. Miller, and David L. Trumper. Initial conditions, generalized
functions, and the laplace transform troubles at the origin. Control Systems Magazine, IEEE,
27:22–35, 2007.