MIT EECS 6.241 (FALL 2009) LECTURE NOTES BY A.

MEGRETSKI

8 KYP Lemma
The dissipation inequality associated with a continuous time state space model
ẋ(t) = f (x(t), u(t)) (8.1)
defined by a function f : Rn × Rm 7→ Rn , and a supply rate σ (a function σ : Rn × Rm 7→
R), the associated dissipation inequality is the condition
V̇ (x)f (x, u) ≤ σ(x, u) ∀ x ∈ Rn , u ∈ Rm , (8.2)
where V : Rn → R (the associated storage function) is a continuously differentiable
function, and V̇ (x) means the gradient of V at the point x ∈ Rn . In a typical application,
f (·, ·) and σ(·, ·) are given, and (8.2) is to be solved with respect to V (·). While having
a dissipation inequality established for a given state space model is always beneficial
(unless (8.2) is trivial, as in the case when V ≡ 0 and σ ≥ 0 is non-negative), dissipation
inequalities with non-negative storage functions are especially useful, as they establish
that the integrals
Z T Z T
σ(x(t), u(t))dt ≥ dV (x(t)) = V (x(T )) − V (x(0)) ≥ −V (x(0))
0 0

are bounded from below as T → ∞.

When f : X × U 7→ X defines a discrete time state space model
x(t + 1) = f (x(t), u(t)), (8.3)
the similar dissipation inequality with supply rate σ : X × U 7→ R and storage function
V : X 7→ R has the form
V (f (x, u)) − V (x) ≤ σ(x, u) ∀ x ∈ X, u ∈ U. (8.4)
The notion of ”KYP Lemma” refers to a loosely defined set of frequently used theorems
related to dissipation inequalities in which the function is linear and the supply rate σ is
a quadratic form, i.e.
 0  
x x
f (x, u) = Ax + Bu, σ(x, u) = Q ∀ x ∈ X = Rn , u ∈ U = Rm , (8.5)
u u
where Q = Q0 , A, B are fixed real matrices. (For example, the case
σ(x, u) = γ 2 |u|2 − |Cx + Du|2
is relevant to establishing upper bounds for the L2 gain from u to y = Cx + Du subject
(8.1) or (8.3).) This section presents some of these theorems.

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8.1 Storage Functions: Quadratic vs. Non-Quadratic
The simplest part of the KYP Lemma states that dissipation inequalities (8.2) or (8.4)
with linear f and quadratic σ are satisfied for some continuous V if and only if they are
satisfied for some quadratic storage function V (x) = x0 P x (where P = P 0 ), in which case
(8.2) takes the form of the quadratic form inequality

2x0 P (Ax + Bu) ≤ σ(x, u) ∀ x, u, (8.6)

or, equivalently, the matrix inequality

P A + A0 P P B
 
≤ Q, (8.7)
B0P 0

and (8.4) takes the form of the quadratic form inequality

(Ax + Bu)0 P (Ax + Bu) − x0 P x ≤ σ(x, u) ∀ x, u, (8.8)

or, equivalently, the matrix inequality

 0
A P A − P A0 P B

≤ Q. (8.9)
B0P A B0P B

Theorem 8.1 is the statement for the continuous time case, without a positive defi-
niteness restriction on V .

Theorem 8.1 If functions f : Rn × Rm 7→ Rn and σ : Rn × Rm 7→ R defined by

(8.5) satisfy (8.2) for some continuously differentiable function V : Rn →
7 R then (8.6) is
satisfied for some n-by-n real symmetric matrix P = P 0 .

Theorem 8.2 is the similar statement for the continuous time case, with a positive
definiteness restriction on V .

Theorem 8.2 If functions f : Rn × Rm 7→ Rn and σ : Rn × Rm 7→ R defined by (8.5)

satisfy (8.2) for some continuously differentiable function V : Rn 7→ [0, ∞) then (8.6) is
satisfied for some n-by-n real symmetric positive semidefinite matrix P = P 0 ≥ 0.

Theorem 8.3 is the statement for the discrete time case, without a positive definiteness
restriction on V .

Theorem 8.3 If functions f : Rn × Rm 7→ Rn and σ : Rn × Rm 7→ R defined by (8.5)

satisfy (8.4) for some continuous function V : Rn 7→ R then (8.8) is satisfied for some
n-by-n real symmetric matrix P = P 0 .

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 Theorem 8.4 is the similar statement for the discrete time case, with a positive defi-
niteness restriction on V .
Theorem 8.4 If functions f : Rn × Rm 7→ Rn and σ : Rn × Rm 7→ R defined by (8.5)
satisfy (8.4) for some continuous function V : Rn 7→ [0, ∞) then (8.8) is satisfied for some
n-by-n real symmetric positive semidefinite matrix P = P 0 ≥ 0.
Example 8.1 For example, according to Theorem 8.1, the dissipation inequality
V̇ (y)(ay + u) ≤ yu ∀ y, u ∈ R (8.10)
(where a ∈ R is a parameter) has a continuously differentiable solution V : R 7→ R if and only
if it has a solution V (y) = P y 2 , in which case (8.10) has the form
2P y(ay + u) ≤ yu ∀ y, u ∈ R,
which is equivalent to P = 0.5, P a ≤ 0, i.e. allows one to conclude that (8.10) is feasible iff
a ≤ 0.

8.2 Frequency Domain Inequalities

While originally given for real vector arguments x, u, the quadratic form definition from
(8.5) can be naturally extended to a Hermitian form definition
 0  
x x
σ(x, u) = Q ∀ x ∈ X = Cn , u ∈ U = Cm . (8.11)
u u
Substituting a pair x, u of complex vectors satisfying the equality
jωx = Ax + Bu (ω ∈ R), or x = 0 (ω = ∞) (8.12)
into (8.6) yields σ(x, u) ≥ 0. Similarly, substituting a pair x, u of complex vectors satis-
fying the equality
zx = Ax + Bu (z ∈ C, |z| = 1) (8.13)
into (8.8) yields σ(x, u) ≥ 0 as well.
The ”frequency domain inequality” versions of the KYP Lemma establish the inverse
implications, stating that positive definiteness of σ subject to (8.12) implies the existence
of P = P 0 satisfying (8.6), while positive definiteness of σ subject to (8.13) implies the
existence of P = P 0 satisfying (8.6).
Theorem 8.5 is the continuous time version with strict inequalities.
Theorem 8.5 If real matrices Q = Q0 , A, B are such that the Hermitian form (8.11) is
positive definite on the subspaces defined by (8.12) for all ω ∈ R ∪ {∞} then there exists
real matrix P = P 0 such that the quadratic form
σ(x, u) − 2x0 P (Ax + Bu)
is positive definite.

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 Theorem 8.6 is the discrete time version with strict inequalities.

Theorem 8.6 If real matrices Q = Q0 , A, B are such that the Hermitian form (8.11) is
positive definite on the subspaces defined by (8.13) for all z ∈ C such that |z| = 1 then
there exists real matrix P = P 0 such that the quadratic form

σ(x, u) + x0 P x − (Ax + Bu)0 P (Ax + Bu)

is positive definite.

The standard non-strict frequency domain inequality versions of the KYP Lemma
require an additional assumption of reachability (or controllability) of the pair (A, B),
which means that the matrix

Mc (A, B) = [B AB A2 B . . . An−1 B]

must be right invertible. Otherwise, the implication is not valid, as shown by the following
example.

Example 8.2 For n = m = 1, A = −1, B = 0, σ(x, u) = Re(x0 u) we have σ(x, u) = 0 ≥ 0

whenever jωx = Ax + Bu or x = 0, but the quadratic form

σ(x, u) − 2x0 P (Ax + Bu) = xu + 2P x2

is not positive semidefinite for all P .

Theorem 8.7 is the continuous time version with non-strict inequalities.

Theorem 8.7 If real matrices Q = Q0 , A, B are such that the pair (A, B) is reachable,
and the Hermitian form (8.11) is positive semidefinite on the subspaces defined by (8.12)
for all ω ∈ R then there exists real matrix P = P 0 satifying (8.6).

Theorem 8.6 is the discrete time version with strict inequalities.

Theorem 8.8 If real matrices Q = Q0 , A, B are such that the pair (A, B) is reachable,
and the Hermitian form (8.11) is positive semidefinite on the subspaces defined by (8.13)
for all z ∈ C such that |z| = 1 then there exists real matrix P = P 0 satisfying (8.8).

Example 8.3 According to Theorem 8.7, the dissipation inequality from Example 8.1 has a
quadratic form solution V (y) = P y 2 if and only if the Hermitian form σ(y, u) = Re(y 0 u) is
positive semidefinite subject to jωy = ay + u for all ω ∈ R. Since, for jωy = ay + u,

Re(y 0 u) = Re(jω − a)|y|2 ) = −a|y|2 ,

the condition holds iff a ≤ 0.

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