Linear Systems Stability

Discrete-Time (DT) Linear Time-Invariant (LTI) System

x(k + 1) = Ax(k), x(0) = x0 , x(k) ∈ Rn . (1)

Asymptotic Stability The DTLTI system (1) is said to be asymptotically stable if

lim x(k) = Θ, ∀ x0 6= Θ.
k→∞

Lyapunov Stability The DTLTI system (1) is said to be stable in the sense of Lyapunov if
there exists a Lyapunov function V (x) such that

V (x(k + 1)) − V (x(k)) < 0, ∀x(k) satisfying (1) with x0 6= Θ.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 1

 Linear Systems Stability

Stability The following statements are equivalent:

a) The DTLTI system (1) is asymptotically stable.
b) There exists a quadratic Lyapunov function V (x) := xT P x > 0, P ∈ Sn , ∀x 6= Θ such
that the DTLTI system (1) is stable in the sense of Lyapunov.
c) maxi |λi (A)| < 1.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 2

 Lyapunov Stability

Lyapunov Stability Test Given the DTLTI system (1) find if there exists a matrix P ∈ S n
such that
a) V (x) := xT P x > 0, ∀x 6= Θ
b) V (x(k + 1)) − V (x(k)) < 0, ∀x(k + 1) = Ax(k), x(k) 6= Θ.

Remarks
a) ⇒ V (x) := xT P x > 0, ∀x 6= Θ ⇒ P Â Θ.
b) ⇒ V (x(k + 1)) = x(k + 1)T P x(k + 1) = x(k)T AT P Ax(k).
V (x(k + 1)) − V (x(k)) = x(k)T AT P Ax(k) − x(k)T P x(k),
= x(k)T AT P A − P x(k) < 0, ∀x(k) 6= Θ
¡ ¢

⇒ AT P A − P ≺ Θ.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 3

 Lyapunov Stability

Lyapunov Stability Test Given the DTLTI system (1) find if there exists a matrix P ∈ S n
such that the LMI

P Â Θ, AT P A − P ≺ Θ,

is feasible.

Schur complement provides the equivalent alternative form.

Lyapunov Stability Test Given the DTLTI system (1) find if there exists a matrix P ∈ S n
such that the LMI
 
P AT P
  Â Θ,
PA P

is feasible.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 4

 Robust Stability
DTLTI Uncertain System
x(k + 1) = Ax(k), x(0) = x0 , x(k) ∈ Rn , A ∈ A, (2)

where A is an arbitrary closed convex set.

Robust Stability The DTLTI uncertain system (2) is said to be robustly stable if (2) is
asymptotically stable for all A ∈ A.

Problem The set of all (discrete-time) stable matrices is not a convex set.
Proof By counter-example:
 
1/2 2
A1 =  , A 2 = AT
1, λi (A1 ) = λi (A2 ) = 1/2 < 1, i = 1, 2,
0 1/2

so that A1 and A2 are stable. However, for

 
1 1 1/2 1
A = A1 + A2 =  , λ1 (A) = −1/2, λ2 (X) = 3/2 > 1,
2 2 1 1/2

so that A is not stable.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 5
 Robust Stability

Quadratic Stability The following statements are equivalent:

a) The DTLTI uncertain system (2) where A = co [A1 , . . . , AN ] is Quadratically Stable.
b) There exists P ∈ Sn such that the LMI

P Â Θ, AT
i P Ai − P ≺ Θ, ∀i = 1, . . . , N,

is feasible.
c) There exists P ∈ Sn such that the LMI
 
T
P Ai P
  Â Θ, ∀i = 1, . . . , N,
P Ai P

is feasible.

Proposition If the DTLTI uncertain system (2) where A = co [A1 , . . . , AN ] is quadratically

stable then it is also robustly stable.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 6

 Robust Stability

PN
Proof For any Ā ∈ A there exists a ξ̄ ∈ Ξ such that Ā = ξ̄i Ai . Since
i=1
ξ̄ ∈ Ξ ⇒ ξ̄i ≥ 0, multiply each inequality in the QS condition c) by ξ̄i to obtain
 
ξ̄i AT
¡ ¢
ξ̄i P i P
 ¡ ¢ Â Θ, ∀i = 1, . . . , N.
P ξ̄i Ai ξ̄i P

The sum of all the above inequalities provides

   
PN PN ¡
ξ̄i AT ĀT P
¢
i=1 ξ̄i P i=1 i P P
 P =  Â Θ,
N ¡ ¢ PN
P i=1 ξ̄i Ai i=1 ξ̄i P P Ā P

which implies that Ā is stable. The proof is completed by noticing that the above holds for all
A ∈ A.

Remarks
• Quadratic stability ⇒ robust stability ⇒ vertex stability.
• Quadratic stability : robust stability : vertex stability.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 7

 Life With Symmetry

If my system was symmetric... Notice that for A ∈ Sn ,

q p
f (A) := max |λi (A)| = max λ2i (A) = λmax (AA)
i i

so that A ∈ Sn is stable iff f (A) < 1. But as seen before (Background Material - part III),
 
I A
λmax (AA) < 1 ⇔ AA ≺ 1 ⇔   Â Θ ⇔ stability!
A I

System Interpretation
The (robust) stability of a symmetric system can be always proven with P = I.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 8

 Life With Symmetry

Robust Stability Assuming A = co [A1 , . . . , AN ], Ai ∈ Sn , ∀i = 1, . . . , N then

   
I Ai I A(ξ)
  Â Θ, ∀i = 1, . . . , N, ⇔   Â Θ, ∀ξ ∈ Ξ
Ai I A(ξ) I

due to convexity.

What about symmetric continuous-time systems?

If A ∈ Sn then

max Rλi (A) < 0 ⇔ λmax (A) < 0 ⇔ A≺Θ ⇔ stability!

i

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 9

 Robust Stability

Norm Bounded Uncertainty (case I) The set of uncertain systems is characterized by

A := {A(∆) = A + B∆C : ∆ ∈ D},
n p o
m×q T
where D := ∆ ∈ R : k∆k := λmax (∆ ∆) ≤ γ .

System Interpretation Consider the feedback system

∆
δx = Ax + Bw, w = ∆z,
PSfrag replacements
z = Cx.

The operator δ stands for time-derivative (d/dt) for continuous-time w z

systems and forward-shift (δx(k) = x(k + 1)) for discrete-time G(s)
systems.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 10

 Robust Stability

Consider the CTLTI uncertain system

ẋ(t) = Ax(t), x(0) = x0 , x(t) ∈ Rn , A ∈ A, (3)

where A is the norm bounded uncertainty domain defined above.

Robust Stability If there exists P ∈ Sn such that

P Â Θ, AT P + P A + γC T C + γP BB T P ≺ Θ,

then the CTLTI uncertain system (3) is robustly stable.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 11

 Robust Stability

Lemma (completion-of-squares) The following inequality

H T ∆T F + F T ∆H ¹ γH T H + γF T F

holds true for all ∆ ∈ D, γ > 0.

Proof It is always true that (γ 1/2 F − γ −1/2 ∆H)T (γ 1/2 F − γ −1/2 ∆H) º Θ hence
γ −1 H T ∆T ∆H + γF T F º H T ∆T F + F T ∆H.

But for all ∆ ∈ D

k∆k ≤ γ ⇔ λmax (∆T ∆) ≤ γ 2 ⇔ ∆T ∆ ¹ γ 2 I,

which provides

H T ∆T F + F T ∆H ¹ γ −1 H T ∆T ∆H + γF T F ¹ γH T H + γF T F.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 12

 Robust Stability

Proof (robust stability) Using the previous lemma with H = C and F = (P B) T we get
Θ Â AT P + P A + γC T C + γP BB T P,
 AT P + P A + C T ∆T B T P + P B∆C,
= A(∆)T P + P A(∆)

which holds for all ∆ ∈ D. In addition, the fact that P Â Θ guarantees robust stability.

280B Maurı́cio de Oliveira Linear Systems Stability II – p. 13