University of Pennsylvania

ESE 500: Linear Systems Theory

Homework III
Due: on Monday 11/2 at 23:59 on Gradescope

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Problem 1 (10 points). Consider a continuous LTI system

ẋ = Ax + Bu (1)
Assume that the states of the discrete LTI system xk+1 = Ãxk + B̃uk is obtained by sampling
from the states of continuous time system with sampling time T , i.e., xk = x(kT ) for all k.
Suppose T = 1. Prove that the continuous time system is asymptotically stable if and only if
the discrete time system is asymptotically stable.
Solution 1. For any given T > 0 we can argue as the following. It is known that à = eAT .
Note that λ ∈ eig(A) ⇔ eλT ∈ eig(eAT ). Also note that

eλT = eT Re(λ)+jT Im(λ) = eT Re(λ) ejT Im(λ) = eT Re(λ)

Now, we can write

System (1) is asymptotically stable ⇔ ∀λ ∈ eig(A) : Re(λ) < 0
⇔ ∀λ ∈ eig(A) : eT Re(λ) < 1
⇔ ∀λ ∈ eig(A) : eλT < 1
⇔ ∀λ0 ∈ eig(eAT ) : λ0 < 1
⇔ System (2) is asymptotically stable

1
Problem 2 (Lyapunov stability, 15 points). Consider the non linear system

ẋ = Ax + g(x) (2)

where g(x) is a non linear function of the state x. Prove that there exists an  > 0 such that if
kg(x)k2 <  kxk2 and the system

ẋ = Ax (3)

is asymptotically stable then system (2) is asymptotically stable.

Solution 2. Define a Lyapunov function V (x) = xT P x, where P is a positive definite matrix

for system (2). Then

V̇ (x) = ẋT P x + xT P ẋ = (Ax + g(x))T P x + xT P (Ax + g(x))

= (xT AT + g(x)T )P x + xT P (Ax + g(x))
= xT (AT P + P A)x + 2xT P g(x)

But we know that system (3) is asymptotically stable so by Lyapunov theorem we have AT P +
P A = −Q, where Q is a positive definite matrix. Furthermore by Cauchy-Schwartz inequality
we have

xT P g(x) ≤ kP g(x)k2 kxk2 ≤ kP k2 kg(x)k2 kxk2 <  kP k2 kxk22

Then we can bound V̇ (x) as

V̇ (x) < xT (−Q + 2 kP k2 I)x

By Rayleigh-Ritz inequality we know that −λmax xT x ≤ −xT Qx ≤ −λmin xT x < 0 because

λmin
matrix Q is positive definite. So by choosing  < 2kP k2 we have that V̇ (x) < 0 and system (2)
is asymptotically stable.

Problem 3 (Lyapunov Stability, 15 points). Given an n × n matrix A, show that if there exist
symmetric, positive-definite matrices M, Q ∈ Rn×n satisfying

AT QA − ρ2 Q = −ρ2 M (4)

with ρ > 0, then the eigenvalues of A satisfy |λ| < ρ. Conversely, show that if the eigenvalues
of A satisfy |λ| < ρ, then given any symmetric, positive definite matrix M ∈ Rn×n , there exists
a unique symmetric, positive definite matrix Q ∈ Rn×n that satisfies equation 4.

Solution 3. Note that

AT QA − ρ2 Q = −ρ2 M
A A
⇐⇒ ( )T Q − Q = −M
ρ ρ
So the system:
A
xk+1 = xk
ρ

is asymptotically stable. So the eigenvalues of Aρ all have magnitude less than 1. So the eigen-
values of A all have magnitude less than ρ.
To prove the converse, note that every step in the above argument is and if and only if
statement. So the converse holds.

2
Problem 4 (Lyapunov function, 5 points). Consider the nonlinear system

ẋ1 = −x1 x22

ẋ2 = 3x21 x2

a) (2 points) Confirm that x1 = x2 = 0 is an equilibrium.

b) (3 points) Prove that the origin is Lyapunov stable.

Solution 4. a) x∗ is an equilibrium of ẋ = f (x) if f (x∗ ) = 0. Let’s substitute x∗ = (0, 0) in

the given system: −x1 x22 |(0,0) = 3x21 x2 |(0,0) = 0.

b) Guess Lyapunov function V (x) = x> P x = ax21 +bx22 , where a, b > 0. Then trivially V (0, 0) =
0 and V (x1 , x2 ) is strictly positive for all x1 , x2 except origin (we defined P to be P > 0).
Now
−x1 x22
 
∂V
V̇ = f (x) = [2ax1 , 2bx2 ] = −2(a − 3b)x21 x22 ≤ 0
∂x 3x21 x2
if a = 3b we prove stability in s.L (V̇ ≤ 0). If we choose a > 3b, for example, b = 1,
a = 4 then we prove asymptotic stability (even a stronger statement than is required in the
problem).

Problem 5 (BIBO stability, 10 points). Consider the system:

   
−1 0 0 1
ẋ =  0 −1 2 x +  2  u, y = [1 0 1]x + u
0 1 0 −1

a) (3 points) Without using MATLAB at all compute eAt .

b) (3 points) Is this system asymptotically stable, marginally stable, or unstable?(Internal sta-

bility of zero-input response)

c) (4 points) Is this system BIBO stable? (External stability of zero-state response)

Solution 5. a) λi = {−2, −1, 1}, corresponding eigenvectors are [0, −2, 1]> , [1, 0, 0]> and [0, 1, 1]>
so
   −1    
0 1 0 0 1 0 0 1 0 −2 0 0 0 −1 1
At 1
e = −2 0 1 eΛt −2 0 1 = −2 0 1  0 −1 0 3 0 0
3
1 0 1 1 0 1 1 0 1 0 0 1 0 1 2

b) No, goes to inf

c) Yes, BeAt C goes to 0.

Problem 6 (15 points). Find all the values of θ, that the following system is uniformly stable.
Justify your answer (without using MATLAB).
 
sin(t − θ) cos(t + θ)
ẋ(t) = x(t), x(t0 ) = x0
− cos(t + θ) sin(t − θ)

Solution 6. First, we know that

T A)|0.5 +2|λ T B)|0.5
keA+B k22 ≤ keA k22 keB k22 ≤ e2kAk e2kBk ≤ e2|λmax (A max (B
(5)

β1 (t) = sin(t)and

3
  
cos(θ) − sin(θ)
A1 =
sin(θ) cos(θ)
and β2 (t) = − cos(t)
 
sin(θ) − cos(θ)
A2 =
cos(θ) sin(θ)
and
then A(t) = β1 (t)A1 + β2 (t)A2 and in this case Ai s commute with each other(Ai ’s are
rotation
R t matrices in 2 dimension) and A(t) commute with it’s integral; therefore, Φ(t, t0 ) =
exp( t0 A(s)ds) and we can write the following
Z t Z t Z t
Φ(t, t0 ) = exp( A(s)ds) = exp(A1 β1 (s)ds + A2 β2 (s)ds)
t0 t0 t0

using equation 5 we can write:

Z t
kΦ(t, t0 )k2 =kexp( A(s)ds)k2 (6)
t0
Z t Z t
≤exp(2|λmax (AT1 A1 ( β1 (s)ds) )|2 0.5
+ 2|λmax (AT2 A2 ( β2 (s)ds)2 )|0.5 ) (7)
t0 t0

Rotation matrices are orthogonal matrices ATi Ai = I; therefore, |λmax (ATi Ai )| = 1 and
Rt Rt
|λmax (ATi Ai ( t0 βi (s)ds)2 )| ≤ |( t0 βi (s)ds)2 | ≤ 4; therefore,

kΦ(t, t0 )k2 ≤ e8

and it is uniformly stable for every θ.

Solution 2:
and in this case Ai s commute with each other(Ai ’s are rotationRt matrices in 3 dimension)
and A(t) commute with it’s integral; therefore, Φ(t, t0 ) = exp( t0 A(s)ds) and we can write the
following Z t Z Z t t
Φ(t, t0 ) = exp( A(s)ds) = exp(A1 β1 (s)ds + A2 β2 (s)ds)
t0 t0 t0
using equation 10 we can write:
Z t
kΦ(t, t0 )k2 =kexp( A(s)ds)k2 (8)
t0
Z t Z t
≤exp(|λmax (AT1 A1 ( 2
β1 (s)ds) )| + |λmax (AT2 A2 ( β2 (s)ds)2 )|) (9)
t0 t0

Rotation matrices are orthogonal matrices ATi Ai = I; therefore, |λmax (ATi Ai )| = 1 and
Rt Rt
|λmax (ATi Ai ( t0 βi (s)ds)2 )| ≤ |( t0 βi (s)ds)2 | ≤ 4; therefore,

kΦ(t, t0 )k2 ≤ e8

and it is uniformly stable for every θ.

If kAk ≥ 2 then 2kAk ≤ kAk2 therefore 2kAk ≤ max{kAk2 , 4}. For our problem we assume
kAk ≥ 2 and kBk ≥ 2 then we get:
T A)|+|λ T B)|
keA+B k22 ≤ keA k22 keB k22 ≤ e2kAk e2kBk ≤ e|λmax (A max (B
(10)

4
if in our problem kAk ≤ 2 then obviously

keA k22 ≤ e2kAk ≤ e4 (11)

which make the state transition matrix bounded immediately. Also for this problem we need to
prove :

keA k2 ≤ ekAk (12)

this holds because

∞ ∞ ∞
X An X kAn k X kAkn
keA k2 = k k≤ ≤ = ekAk2 (13)
n! n! n!
i=1 i=1 i=1

Problem 7 (15 points). Consider system (14) and let t0 = 0. Suppose the system is uniformly
exponentially stable and ∀t ≥ 0 : kA(t)k2 ≤ a where a > 0.

ẋ(t) = A(t)x(t) + B(t)u(t), x(t0 ) = x0 ∈ Rn (14)

Define Z ∞
P (t) = φTA (σ, t)φA (σ, t)dσ, ∀t ≥ 0
t
Prove that there exist real numbers δm , δM > 0 such that

∀z ∈ Rn : δm z T z ≤ z T P (t)z ≤ δM z T z

Solution 7. Note that

Z ∞  Z ∞ Z ∞
T
z P (t)z = z T T
φA (σ, t)φA (σ, t)dσ z = z T
φTA (σ, t)φA (σ, t)zdσ = kφA (σ, t)zk22 dσ
t t t

Upper bound.
Z ∞
T
z P (t)z = kφA (σ, t)zk22 dσ
t
Z ∞
≤ kφA (σ, t)k22 kzk22 dσ
Zt ∞
≤ γ 2 e−2α(σ−t) kzk22 dσ because system is exponentially stable
t
∞
γ 2 −2α(σ−t)
= e kzk22
−2α t
γ2
= kzk22
2α
Lower bound.
Z ∞
T
z P (t)z = kφA (σ, t)zk22 dσ
Zt ∞
= ky(σ, t)k22 dσ define y(σ, t) = φA (σ, t)z
t
1 ∞
Z
≥ kA(σ)k2 ky(σ, t)k22 dσ because kA(σ)k2 ≤ a
a t
1 ∞ T
Z
≥ y (σ, t)A(σ)y(σ, t) dσ from HW 2, Problem 3, part a
a t
Z ∞
1
≥ y T (σ, t)A(σ)y(σ, t)dσ
a t

5
Note that
∂ ∂
y(σ, t) = φA (σ, t)z = A(σ)φA (σ, t)z = A(σ)y(σ, t)
∂σ ∂σ
Therefore, we continue as
Z ∞
1
z T P (t)z ≥ y T (σ, t)A(σ)y(σ, t)dσ
a t
Z ∞
1 ∂
= y T (σ, t) y(σ, t)dσ
a t ∂σ
Z ∞
1 1 ∂
y T (σ, t)y(σ, t) dσ


=
a t 2 ∂σ
Z ∞
1 ∂
= ky(σ, t)k22 dσ
2a t ∂σ
∞
1
= ky(σ, t)k22
2a t
1
= lim ky(σ, t)k22 − ky(t, t)k22
2a σ→∞
First, note that
ky(t, t)k22 = kφA (t, t)zk22 = kzk22
Also, note that

ky(σ, t)k22 = kφA (σ, t)zk22 ≤ kφA (σ, t)k22 kzk22 ≤ γ 2 e−2α(σ−t) kzk22

Hence,
lim ky(σ, t)k22 ≤ lim γ 2 e−2α(σ−t) kzk22 = 0
σ→∞ σ→∞

Putting these together, we have

1
z T P (t)z ≥ lim ky(σ, t)k22 − ky(t, t)k22
2a σ→∞
1
= 0 − kzk22
2a
1
= kzk22
2a
Problem 8 (15 points). Suppose that the linear state equation 14 is uniformly stable. Prove
that the linear state equation
ż(t) = [A(t) + F (t)]z(t)
is uniformly stable if there exists a finite constant β such that for all τ
Z ∞
kF (σ)k dσ ≤ β
τ

Hint: Given continuous functions φ(t) and ν(t) defined for t ≥ t0 with ν(t) ≥ 0 for t ≥ t0 , and
some constant Ψ, then the inequality
Z t
φ(t) ≤ Ψ + ν(σ)φ(σ)dσ, t ≥ t0
t0

implies the inequality Rt

ν(σ)dσ
φ(t) ≤ Ψe t0 , t ≥ t0
This is known as the Grönwall-Bellman inequality.

6
Solution 8. First, note that we can model the system as

ż(t) = A(t)z(t) + F (t)z(t)

and consider B(t) = I(t) and u(t) = F (t)z(t) to get the solution of the system as
Z t
z(t) = ΦA (t, t0 )z0 + ΦA (t, σ)F (σ)z(σ)dσ
t0

Where ΦA is the state transition matrix for A(t). Take the norm of both sides to get
Z t
kz(t)k = ΦA (t, t0 )z0 + ΦA (t, σ)F (σ)z(σ)dσ
t0

Using triangle inequality,

Z t
kz(t)k ≤ kΦA (t, t0 )z0 k + kΦA (t, σ)F (σ)z(σ)k dσ
t0

Since the system is uniformly stable, there exists some constant γ such that kΦA (t, τ )k ≤ γ
for all t, τ . Combining this with the definition of operator norms, we can write
Z t
kz(t)k ≤ γ kz0 k + γ kF (σ)k kz(σ)k dσ
t0

Now, we can use the hint to say

Rt
γkF (σ)kdσ
kz(t)k ≤ γ kz0 k e t0

R∞
And use the given fact that τ kF (σ)k dσ ≤ β to bound

kz(t)k ≤ γ kz0 k eγβ