Introduction Homogeneous systems Forced systems

Analysis of Dynamic Systems

Linear Systems

CENG 382, 2020

Introduction Homogeneous systems Forced systems

Summary

• For discrete-time systems

• Solution to homogeneous system
• General solution
Introduction Homogeneous systems Forced systems

Today....

• For continuous-time systems

• Solution to homogeneous system
• General solution
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

A continuous-time linear dynamical system is said to be
homogeneous or free if there is no forcing term.

ẋ(t) = A(t)x(t), x(t) 2 Rn Bct act

Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

A continuous-time linear dynamical system is said to be
homogeneous or free if there is no forcing term.

ẋ(t) = A(t)x(t), x(t) 2 Rn

• If elements of A(t) are continuous functions of t, the system

has a unique solution for a given initial condition.
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

A continuous-time linear dynamical system is said to be
homogeneous or free if there is no forcing term.

ẋ(t) = A(t)x(t), x(t) 2 Rn

• If elements of A(t) are continuous functions of t, the system

has a unique solution for a given initial condition.
• An explicit expression for the solution (in general) does not
exists.
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

A continuous-time linear dynamical system is said to be
homogeneous or free if there is no forcing term.

ẋ(t) = A(t)x(t), x(t) 2 Rn

• If elements of A(t) are continuous functions of t, the system

has a unique solution for a given initial condition.
• An explicit expression for the solution (in general) does not
exists.
• Nevertheless, in parallel to the discrete-time case, we define
state transition matrix and fundamental sets of solutions,
which are used for analysis.
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

A continuous-time linear dynamical system is said to be
homogeneous or free if there is no forcing term.

ẋ(t) = A(t)x(t), x(t) 2 Rn

x.cm
• If elements of A(t) are continuous functions of t, the system
has a unique solution for a given initial condition.
• An explicit expression for the solution (in general) does not
exists.
• Nevertheless, in parallel to the discrete-time case, we define
state transition matrix and fundamental sets of solutions,
which are used for analysis.
• For a time ⌧ , if x(⌧ ) is defined, it posses a unique solution.
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

ẋ(t) = A(t)x(t), x(t) 2 Rn

State transition matrix

˙ (t, ⌧ ) = A(t) (t, ⌧ )
(⌧, ⌧ ) = I
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

ẋ(t) = A(t)x(t), x(t) 2 Rn

State transition matrix

H ˙ (t, ⌧ ) = A(t) (t, ⌧ )

(⌧, ⌧ ) = I

• Fix ⌧ . Each column of (t, ⌧ ) is a solution for the system.

Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

ẋ(t) = A(t)x(t), x(t) 2 Rn

State transition matrix

˙ (t, ⌧ ) = A(t) (t, ⌧ )
(⌧, ⌧ ) = I
identity matrix

• Fix ⌧ . Each column of (t, ⌧ ) is a solution for the system.

• The special condition on (⌧, ⌧ ) implies that, at time ⌧ , each
solution must be equal to one of the standard unit basis
vectors.
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

ẋ(t) = A(t)x(t), x(t) 2 Rn

State transition matrix

˙ (t, ⌧ ) = A(t) (t, ⌧ )
or
(⌧, ⌧ ) = I

• Fix ⌧ . Each column of (t, ⌧ ) is a solution for the system.

• The special condition on (⌧, ⌧ ) implies that, at time ⌧ , each
solution must be equal to one of the standard unit basis
vectors.
• By finding these n solutions, the matrix (t, ⌧ ) can be
constructed for a fixed ⌧ .
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

ẋ(t) = A(t)x(t), x(t) 2 Rn

State transition matrix

˙ (t, ⌧ ) = A(t) (t, ⌧ )
(⌧, ⌧ ) = I

• Suppose that x(t) is a solution, ⌧ be fixed. Then

II
x(t) = (t, ⌧ )x(⌧ )
C I
as
Introduction Homogeneous systems Forced systems

Homogeneous continuous-time linear systems

ẋ(t) = A(t)x(t), x(t) 2 Rn

State transition matrix

˙ (t, ⌧ ) = A(t) (t, ⌧ )
(⌧, ⌧ ) = I

• Suppose that x(t) is a solution, ⌧ be fixed. Then I

x(t) = (t, ⌧ )x(⌧ )

• RHS is a linear combination of columns of (t, ⌧ ), and hence

by linearity of the system itself is a solution.
• It is equal to x(⌧ ) when t = ⌧ since (⌧, ⌧ ) = I .
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix (t, ⌧ ). As in the

discrete-time case, express it as a fundamental set of solutions.
• We will consider a collection of n solutions.
• x1 (t), . . . , xn (t) independent
• Each is a function xi : R+ ! Rn .
• Define X from these solutions. XEHLX.CH Htt
• Prove that (t, ⌧ ) = X(t)X(⌧ ) 1
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

Goal: Derive state transition matrix (t, ⌧ ). As in the

discrete-time case, express it as a fundamental set of solutions.
• We will consider a collection of n solutions.
• x1 (t), . . . , xn (t)
• Each is a function xi : R+ ! Rn .
• Define X from these solutions.
• Prove that (t, ⌧ ) = X(t)X(⌧ ) 1

• No general method to find these solutions.

Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

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

independent if the relation ↵1 x1 (t) + . . . + ↵n xn (t) = 0 for all t
implies that all ↵i ’s are zero. I
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

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

independent if the relation ↵1 x1 (t) + . . . + ↵n xn (t) = 0 for all t
implies that all ↵i ’s are zero.

A set n linearly independent solutions, x1 (t), . . . , xn (t) is called a

fundamental set of solutions.
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

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

independent if the relation ↵1 x1 (t) + . . . + ↵n xn (t) = 0 for all t
implies that all ↵i ’s are zero.

A set n linearly independent solutions, x1 (t), . . . , xn (t) is called a

fundamental set of solutions.

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

Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

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

independent if the relation ↵1 x1 (t) + . . . + ↵n xn (t) = 0 for all t
implies that all ↵i ’s are zero.

A set n linearly independent solutions, x1 (t), . . . , xn (t) is called a

fundamental set of solutions.

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

Ẋ(t) = A(t)X(t)
ji t ACH Xilt
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

X(t) = [x1 (t), . . . , xn (t)], Ẋ(t) = A(t)X(t)

Lemma A fundamental sets of solutions X(t) is non-singular for
all t.
Proof: If it was singular X(⌧ )↵ = 0 for some ⌧ and non-zero
vector ↵. X(t)↵ is a solution that is always 0, which contradicts
the linear independence assumption of the fundamental set.
o.O
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions

X(t) = [x1 (t), . . . , xn (t)], Ẋ(t) = A(t)X(t)

Lemma A fundamental sets of solutions X(t) is non-singular for
all t.
Proof: If it was singular X(⌧ )↵ = 0 for some ⌧ and non-zero
vector ↵. X(t)↵ is a solution that is always 0, which contradicts
the linear independence assumption of the fundamental set.
Proposition: Let X(t) be a fundamental matrix of solutions of
system ẋ(t) = A(t)x(t). Then the state transition matrix is

(t, ⌧ ) = X(t)X(⌧ ) 1 X KI X OT

if
Proof: For fixed ⌧ , rhs is a fundamental matrix of solutions, thus
satisfies ˙ (t, ⌧ ) = A(t) (t, ⌧ ). For t = ⌧ , it trivially satisfies
(⌧, ⌧ ) = I .
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions: Example

Consider the system defined for t > 1.

0 0
C
x
f ẋ(t) =
t 1/t
x(t)
Oct e XCHXc

I Exact t
exact 2 Ct It
c
t L t
t Ct
i x Ct 2 Ct t
t.CH
is G tr C t 2 Ct x act Ect tt 2 t
Y tr Ct Itt 2 t t t 2
t c t't d t
z d atta

III a s
D
xc
one
E IT
Ee
nice EE o
Introduction Homogeneous systems Forced systems

Fundamental Sets of Solutions: Example

Consider the system defined for t > 1.

us ẋ(t) =

0 0
x(t)
Oct 4 XCHXk5
t 1/t
c'a
x(2) = [1, a]0 , what is x(t)?
F y
X t X e xtc

Htt
CELIE oil'a
Introduction Homogeneous systems Forced systems

General Solution
Consider the forced system
ẋ(t) = A(t)x(t) + B(t)u(t), x(t) 2 Rn , u(t) 2 Rm
where x(t) is the n-dimensional state vector, A(t) is nxn system
matrix, B(t) is nxm distribution matrix, and u(t) is an
m-dimensional input vector.
Introduction Homogeneous systems Forced systems

General Solution
Consider the forced system
ẋ(t) = A(t)x(t) + B(t)u(t), x(t) 2 Rn , u(t) 2 Rm
where x(t) is the n-dimensional state vector, A(t) is nxn system
matrix, B(t) is nxm distribution matrix, and u(t) is an
m-dimensional input vector.
A general solution for the forced system in terms of x(0) and the
input sequence u(t):
Z t

A
x(t) = (t, 0)x(0) + (t, ⌧ )B(⌧ )u(⌧ )d⌧
0
Proof: Take the derivative, use properties of (t, ⌧ ).
a
Olt
df adz o x o t
ft da loCt e BOctE 4
Ufc de

Act 0CEO OH E B Ctl ult

I
Introduction Homogeneous systems Forced systems

Summary
• Solution to homogeneous system
• General solution
• Read Chapter 4.6 “Introduction to Dynamic Systems”
Luenberger (today’s lecture is based on these sections).