Introduction Homogeneous systems Forced systems

Analysis of Dynamic Systems

Linear Systems

CENG 382, 2020

Introduction Homogeneous systems Forced systems

Summary

• Systems of First Order Equations

• Conversion to State Form
• x(k + 1) = Ax(k) + Bg (k)

Is • ẋ = Ax(t) + Bg (t)
a
Introduction Homogeneous systems Forced systems

Today....

• Linear state equations - discrete time systems

• Solution to homogeneous linear systems (free)
• General solution to linear systems
Introduction Homogeneous systems Forced systems

Homogeneous discrete-time linear systems

A discrete-time linear dynamical system is said to be homogeneous
or free if there is no forcing term.
x(k + 1) = A(k)x(k), x(k) 2 Rn Backed
Introduction Homogeneous systems Forced systems

Homogeneous discrete-time linear systems

A discrete-time linear dynamical system is said to be homogeneous
or free if there is no forcing term.
x(k + 1) = A(k)x(k), x(k) 2 Rn

x(1) = A(0)x(0)

I. . . = . . .
x(2) = A(1)x(1) = A(1)A(0)x(0)
a'IYk tacos xd
0
x(k) = A(k 1)x(k 1) = A(k 1)A(k 2) . . . A(0)x(0)

Ock O
Introduction Homogeneous systems Forced systems

Homogeneous discrete-time linear systems

A discrete-time linear dynamical system is said to be homogeneous
or free if there is no forcing term.
x(k + 1) = A(k)x(k), x(k) 2 Rn

x(1) = A(0)x(0)
x(2) = A(1)x(1) = A(1)A(0)x(0)
... = ...
x(k) = A(k 1)x(k 1) = A(k 1)A(k 2) . . . A(0)x(0)

State transition matrix (k, 0) = A(k 1)A(k 2) . . . A(0)

0 kill ACKIIACK 21 tt
Xcel
Introduction Homogeneous systems Forced systems

Homogeneous discrete-time linear systems

A discrete-time linear dynamical system is said to be homogeneous
or free if there is no forcing term.
x(k + 1) = A(k)x(k), x(k) 2 Rn

x(1) = A(0)x(0)
x(2) = A(1)x(1) = A(1)A(0)x(0)
... = ...
x(k) = A(k 1)x(k 1) = A(k 1)A(k 2) . . . A(0)x(0)

State transition matrix (k, 0) = A(k 1)A(k 2) . . . A(0)

(k, l) = A(k 1)A(k 2) . . . A(l), k>l
(k, k) = I
identity
x(k) = (k, l)x(l)
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

XCKH A k x K

Goal: Derive state transition matrix. (Assume A(k) is

nonsingular).
• Consider a collection of n solutions (homogeneous equation,
no initial condition).
• x1 (k), . . . , xn (k)
w
• Each is a function xi : N ! Rn .
• Find a solution by starting from an initial condition, and
iterating through k.
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

  
x1 (k + 1)
x2 (k + 1)
=
1 k +1
0 1 0 x1 (k)
x2 (k)
Consider two initial conditions to write x1 (k) and x2 (k).
I 1 , x4

0 g I
x'CH Aco x o 0 1 x e ACO x40
1617111161 Fb 9 It
x 2 Acl X'll
f L
x 2
f
fo 67ft
HofEEi
x'caste i 9 33
to IEoI
g oJk7O
tiy ci fsi j
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

A set of n vector sequences x1 (k), . . . , xn (k) is said to be linearly

independent if the relation ↵1 x1 (k) + . . . + ↵n xn (k) = 0 for all k
implies that all ↵i ’s are zero.
d K
d X lo t Ln x O O
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

A set of n vector sequences x1 (k), . . . , xn (k) is said to be linearly

independent if the relation ↵1 x1 (k) + . . . + ↵n xn (k) = 0 for all k
implies that all ↵i ’s are zero.

A set n linearly independent solutions, x1 (k), . . . , xn (k) to

x(k) = A(k)x(k) is called a fundamental set of solutions.
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

A set of n vector sequences x1 (k), . . . , xn (k) is said to be linearly

independent if the relation ↵1 x1 (k) + . . . + ↵n xn (k) = 0 for all k
implies that all ↵i ’s are zero.

A set n linearly independent solutions, x1 (k), . . . , xn (k) to

x(k) = A(k)x(k) is called a fundamental set of solutions.

Define X(k) = [x1 (k), . . . , xn (k)], an n by n matrix.

Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

A set of n vector sequences x1 (k), . . . , xn (k) is said to be linearly

independent if the relation ↵1 x1 (k) + . . . + ↵n xn (k) = 0 for all k
implies that all ↵i ’s are zero.

A set n linearly independent solutions, x1 (k), . . . , xn (k) to

x(k) = A(k)x(k) is called a fundamental set of solutions.
colonP
fig girth
Define X(k) = [x1 (k), . . . , xn (k)], an n by n matrix.

ick
X(k + 1) = A(k)X(k)
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

lock e
X(k) = [x1 (k), . . . , xn (k)], X(k + 1) = A(k)X(k)
Lemma A fundamental sets of solutions X(k) is non-singular for
every k.
Proof: Follows from the non-singularity assumption of A(k) and
linearly independence of solutions xi (k).
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

X(k) = [x1 (k), . . . , xn (k)], X(k + 1) = A(k)X(k)

Lemma A fundamental sets of solutions X(k) is non-singular for
every k.
Proof: Follows from the non-singularity assumption of A(k) and
linearly independence of solutions xi (k).

h X k 14274
For the example d dz D
    
x1 (k + 1) 1 k + 1 x1 (k) 1 k(k + 1)/2
= , x1 (k) = , x2 (k) =
x2 (k + 1) 0 1 x2 (k) 0 1

1 k(k + 1)/2
X(k) =
0 1
Introduction Homogeneous systems Forced systems

Nkt 1 Alk Kc
Fundamental Sets of Solutions
Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)

Suppose that x(k) with initial condition x(0) is a solution of

x(k + 1) = A(k)x(k) (the initial homogeneous equation). Define
1
x̄(k) = X(k)X (0)x(0)
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)

Suppose that x(k) with initial condition x(0) is a solution of

x(k + 1) = A(k)x(k) (the initial homogeneous equation). Define
1
x̄(k) = X(k)X (0)x(0)

We have x̄(0) = x(0), why? T ICO XCo X taxed

EEE
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)

Suppose that x(k) with initial condition x(0) is a solution of

x(k + 1) = A(k)x(k) (the initial homogeneous equation). Define
1
x̄(k) = X(k)X (0)x(0)

We have x̄(0) = x(0), why? T

O
Define ↵ = X 1 (0)x(0), then x̄(k) = X(k)↵.
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)

Suppose that x(k) with initial condition x(0) is a solution of

x(k + 1) = A(k)x(k) (the initial homogeneous equation). Define
1
x̄(k) = X(k)X (0)x(0)

We have x̄(0) = x(0), why?

Define ↵ = X 1 (0)x(0), then x̄(k) = X(k)↵.
5 0
• x̄(k) is a linear combination of solutions
• By linearity, x̄(k) is itself a solution.
• Since x̄(0) = x(0), x̄(k) = x(k) for any k.
• (k, 0) = X(k)X 1 (0)
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)

Proposition: Let X(k) be a fundamental matrix of solutions,

corresponding to the system x(k + 1) = A(k)x(k). Then the state

e
transition matrix is given by the expression (k, l) = X(k)X 1 (l).
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix. X(k) = [x1 (k), . . . , xn (k)],
X(k + 1) = A(k)X(k)

0 0
x
9 ok
Yo xd
Proposition: Let X(k) be a fundamental matrix of solutions,
corresponding to the system x(k + 1) = A(k)x(k). Then the state
transition matrix is given by the expression (k, l) = X(k)X 1 (l).
For the example

x1 (k + 1)
 
1 k + 1 x1 (k)
 g 
y 1 , x2(k) = k(k + 1)/2
= , x1 (k) =
x2 (k + 1) 0 1 x2 (k) 0 1


Ei
1 k(k + 1)/2
X(k) =
0 1
The general solution
    
x1 (k) 1 k(k + 1)/2 1 0 x1 (0) x (0) + (k(k + 1)/2)x2 (0)
= = 1
x2 (k) 0 1 0 1 x2 (0) x2 (0)
Introduction Homogeneous systems Forced systems

General Solution
Consider the forced system
x(k + 1) = A(k)x(k) + B(k)u(k), x(k) 2 Rn , u(k) 2 Rm
e
where x(k) is the n-dimensional state vector, A(k) is nxn system
matrix, B(k) is nxm distribution matrix, and u(k) is an
m-dimensional input vector.
X O Xo
X l A 10 xo BLOW
X 2 I AlDX l t BC1 U l l
All ACO Xo
tAC.BCoIuCoftBCDuCHXC37s_AC2x
tBC2JUC2J
AC21 A i ACO Xo A 2 All 12 01 t A 2 13 Duct
1 BC2 UCD
Introduction Homogeneous systems Forced systems

General Solution
Consider the forced system
x(k + 1) = A(k)x(k) + B(k)u(k), x(k) 2 Rn , u(k) 2 Rm
where x(k) is the n-dimensional state vector, A(k) is nxn system
matrix, B(k) is nxm distribution matrix, and u(k) is an
m-dimensional input vector.
A general solution for the forced system in terms of x(0) and the
input sequence u(k):
k 1
X
x(k) = (k, 0)x(0) + (k, l + 1)B(l)u(l)
l=0
Introduction Homogeneous systems Forced systems

General Solution

ng x(k + 1) = A(k)x(k) + B(k)u(k), x(k) 2 Rn , u(k) 2 Rm

f y x(k) = (k, 0)x(0) +

k 1
X
(k, l + 1)B(l)u(l)
l=0

use (k + 1, l + 1) = A(k + 1) (k, l + 1), write for k + 1

x KD 042 1,0 X O t
001Ck11 I 11 B l cell

A KH t.o.EE x o teIfdlktbett BCe uCe tOLfkkfIBCk1uC

I
AL lock en
ACK11 lock O x o Ack lock et 1 Baule 1 Badal
tie
ACK 11 Ock o x o 1 lock et 1 BCDuce t Badulk
Kk
Introduction Homogeneous systems Forced systems

General Solution: Superposition

x(k + 1) = A(k)x(k) + B(k)u(k)

k 1
X
x(k) = (k, 0)x(0) + (k, l + 1)B(l)u(l)
l=0

Superposition via linearity, i.e., several responses due to the inputs.

Introduction Homogeneous systems Forced systems

General Solution: Superposition

x(k + 1) = A(k)x(k) + B(k)u(k)

k 1
X
x(k) = (k, 0)x(0) + (k, l + 1)B(l)u(l)
l=0

Superposition via linearity, i.e., several responses due to the inputs.

Simple case x(0) = 0, x(1) = B(0)u(0).

x(k) = (k, 1)x(1) i.e the system will continue to respond the
control input u(0).
Introduction Homogeneous systems Forced systems

General Solution: Superposition

x(k + 1) = A(k)x(k) + B(k)u(k)

k 1
X
x(k) = (k, 0)x(0) + (k, l + 1)B(l)u(l)
l=0

Superposition via linearity, i.e., several responses due to the inputs.

Simple case x(0) = 0, x(1) = B(0)u(0).

x(k) = (k, 1)x(1) i.e the system will continue to respond the
control input u(0).

The total response of the system is the superposition of the

separate responses considered above.
Introduction Homogeneous systems Forced systems

General Solution: Superposition , Impulse response for

Time Invariant Systems

x(k + 1) = Ax(k) + bu(k), u(k) 2 R (k, l) = Ak l 1

,
k 1
X
k
x(k) = A x(0) + Ak l 1
bu(l)
l=0

Impulse response: The response of the system at time k due to a

unit input at time 0: x(k) = Ak 1 b b nxl
Introduction Homogeneous systems Forced systems

General Solution: Superposition , Impulse response for

Time Invariant Systems

x(k + 1) = Ax(k) + bu(k), u(k) 2 R (k, l) = Ak l 1

,

III
k 1
X
k
x(k) = A x(0) + Ak l 1
bu(l)
l=0 at

Impulse response: The response of the system at time k due to a

unit input at time 0: x(k) = Ak 1 b

Impulse response: The response of the system at time k due to a

unit input at time l: x(k) = Ak l 1 b
Introduction Homogeneous systems Forced systems

Summary b n xl

• Solution to homogeneous system

• General solution
kill
• Read Chapter 4.4 and 4.5 from “Introduction to Dynamic
Systems” Luenberger (today’s lecture is based on these
sections).