ECE504: Lecture 4

Zero-Input Response
Recall that linear systems have the nice property that we can
separately analyze the zero-input response and the zero-state
response.

Zero-input response: Given u[k] = 0 for all k ≥ k0 , we can write

x[k] = Φ[k, k0 ]x[k0 ]
The state transition matrix Φ[k, k0 ] describes how the state at time
k0 evolves to the state at time k ≥ k0 (in the absence of an input).

x[k0 ]
Φ[k, k0 ]
x[k]

If the STM Φ[k, k0 ] is invertible, then Φ−1 [k, k0 ] = Φ[k0 , k]. But
there is no guarantee that it is invertible. This operation is one-way.
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 5 / 33
 ECE504: Lecture 4

Zero-State Response

Zero-state response: Given x[k0 ] = 0, we can write

k−1
X
x[k] = Φ[k, ℓ + 1]B[ℓ]u[ℓ]
ℓ=k0

In this case, we have to compute several state transition matrices:

Φ[k, k0 + 1], Φ[k, k0 + 2], . . . , Φ[k, k].

This looks like it might require a lot of computation as k gets larger.

Fortunately, there are some nice properties of the state transition
matrix that can ease the computational burden...

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 6 / 33

 ECE504: Lecture 4

Some Basic Properties of the State Transition Matrix

1. Φ[j, j] = I n for all j ∈ Z.

2. Φ[k + 1, j] = A[k]Φ[k, j] for all k ≥ j.
3. If ℓ ≤ j ≤ k, then Φ[k, ℓ] = Φ[k, j]Φ[j, ℓ].
This last property is called the “semigroup” property. It intuitively
says that the transition from x[ℓ] to x[k] is the same as the transition
from x[ℓ] to x[j] followed by the transition from x[j] to x[k].

x[k]
x[ℓ] Φ[j, ℓ]
x[j]
Φ[k, j]

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 7 / 33

 ECE504: Lecture 4

Special Case: A[k] ≡ A for all k ≥ k0

When A[k] ≡ A for all k ≥ k0 , the product
A[k − 1]A[k − 2] · · · A[j] = AA · · · A
How many A’s are involved in this product?

Hence, when A[k] ≡ A for all k ≥ k0 , the state transition matrix can be
written as

undefined k < j

Φ[k, j] = In k=j

 k−j
A k > j.
In this case, the solution to the DT state-update difference equation is
k−1
X
x[k] = Ak−k0 x[k0 ] + Ak−ℓ−1 B[ℓ]u[ℓ]
ℓ=k0

for all k ≥ k0 .
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 8 / 33
 ECE504: Lecture 4

Discrete-Time Output Solution

For all k ≥ k0 , we can just plug our solution to the state equation into our
state-space output equation to get
k−1
X
y[k] = C[k]Φ[k, k0 ]x[k0 ] + C[k] Φ[k, ℓ + 1]B[ℓ]u[ℓ] + D[k]u[k]
| {z }
zero-input response ℓ=k 0
| {z }
zero-state response

If the system is LTI, then we can write

k−1
X
y[k] = CAk−k0 x[k0 ] + C Ak−ℓ−1 Bu[ℓ] + Du[k]
| {z }
zero-input response ℓ=k0
| {z }
zero-state response

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 9 / 33

 ECE504: Lecture 4

Remarks on Discrete-Time State-Space Solutions

For causal, linear, lumped discrete-time systems with p input terminals, q
output terminals, and n states, we have shown that, given x[k0 ] and u[k]
for all k ≥ k0 , there exists a unique solution to the discrete-time
state-update difference equation

x[k + 1] = A[k]x[k] + B[k]u[k].

That solution is
k−1
X
x[k] = Φ[k, k0 ]x[k0 ] + Φ[k, ℓ + 1]B[ℓ]u[ℓ]
ℓ=k0

for all k ≥ k0 with Φ[k, j] as defined earlier.

This also implies that, given x[k0 ] and u[k] for all k ≥ k0 , there exists a
unique solution to the discrete-time output equation.
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 10 / 33
 ECE504: Lecture 4

Discrete-Time State-Space Example

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 11 / 33

 ECE504: Lecture 4

Continuous-Time Linear Systems

ẋ(t) = A(t)x(t) + B(t)u(t) (1)

y(t) = C(t)x(t) + D(t)u(t) (2)

Theorem
For any t0 ∈ R, any x(t0 ) ∈ Rn , and any u(t) ∈ Rp for all t ≥ t0 , there
exists a unique solution x(t) for all t ∈ R to the state-update differential
equation (1). It is given as
Z t
x(t) = Φ(t, t0 )x(t0 ) + Φ(t, τ )B(τ )u(τ ) dτ t ∈ R
t0

where Φ(t, s) : R2 7→ Rn×n is the unique function satisfying

d
Φ(t, s) = A(t)Φ(t, s) with Φ(s, s) = I n .
dt

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 12 / 33

 ECE504: Lecture 4

Theorem Remarks
◮ Note that this theorem claims two things:
1. A solution to the state-update equation always exists.
2. The solution is unique.
◮ Does every differential equation have a unique solution?
◮ What about
1
ẋ(t) = with x(0) = 5
t
◮ What about
ẋ(t) = 3(x(t))2/3 with x(0) = 0
◮ Proof sketch:
1. Establish existence constructively by giving a solution and showing that
it satisfies the state-update equation.
2. Establish uniqueness by showing that, given two solutions to the
state-update equation, they must be identical.
◮ We will only do the first part of the proof. Please refer to Chen
or any other good textbook for a proof of the second part.
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 13 / 33
 ECE504: Lecture 4

Theorem: Existence Proof Warmup #1

An important skill in research is to develop intuition by looking at the

simplest possible case. What is the simplest possible case for the
continuous-time state dynamics equation? Let’s first assume that
everything is scalar, i.e. p = q = n = 1. Our state update equation
becomes

ẋ(t) = a(t)x(t) + b(t)u(t)

Let
Z t 
φ(t, s) := exp a(τ ) dτ
s

What is φ(s, s)?

d
What is dt φ(t, s)?
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 14 / 33
 ECE504: Lecture 4

Theorem: Existence Proof Warmup #1

nR o
t
Note that φ(t, s) = exp s a(τ ) dτ always exists and satisfies its own
differential equation:
d
φ(t, s) = a(t)φ(t, s) with φ(s, s) = 1.
dt
Now let’s try the following solution to the scalar state-update differential
equation with initial state condition x(t0 ):
Z t
x(t) = φ(t, t0 )x(t0 ) + φ(t, τ )b(τ )u(τ ) dτ ∀t ∈ R
t0

To see that this is indeed a solution, we need to confirm two things:

1. Does our solution satisfy the initial condition requirement of the
scalar state-update DE?
2. Does our solution really solve the scalar state-update DE?
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 15 / 33
 ECE504: Lecture 4

Theorem: Existence Proof Warmup #2

To develop additional intuition, let’s now assume that everything is

time-invariant, i.e. A(t) ≡ A and B(t) ≡ B. Our state update equation
becomes

ẋ(t) = Ax(t) + Bu(t)

Let
∞
X 1
Φ(t, s) := Ak (t − s)k
k!
k=0

What is Φ(s, s)?

d
What is dt Φ(t, s)?

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 16 / 33

 ECE504: Lecture 4

Theorem: Existence Proof Warmup #2

P k 1 k n×n , t ∈ R,
Note that Φ(t, s) = ∞k=0 A k! (t − s) exists for any A ∈ R
and s ∈ R. Moreover, Φ(t, s) satisfies its own differential equation:

d
Φ(t, s) = AΦ(t, s) with Φ(s, s) = I n .
dt
Now let’s try the following solution to the time-invariant matrix
state-update differential equation with initial state condition x(t0 ):
Z t
x(t) = Φ(t, t0 )x(t0 ) + Φ(t, τ )Bu(τ ) dτ ∀t ∈ R
t0

To see that this is indeed a solution, we need to confirm two things:

1. Does our solution satisfy the initial condition requirement of the
time-invariant matrix state-update DE?
2. Does our solution really solve the time-inv. matrix state-update DE?
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 17 / 33
 ECE504: Lecture 4

Theorem: Existence Proof for General Case

For the general (non-scalar, time-varying) case, we propose the solution

Z t
x(t) = Φ(t, t0 )x(t0 ) + Φ(t, τ )B(τ )u(τ ) dτ (3)
t0

where the state transition matrix satisfies the matrix differential equation
d
Φ(t, s) = A(t)Φ(t, s) with Φ(s, s) = I n . (4)
dt
Note that (4) is consistent with our two warmup cases.

To complete the existence proof, we need to:

1. Show that (3) with Φ(t, s) defined according to (4) satisfies the
initial condition requirement of the state-update DE.
2. Show that (3) with Φ(t, s) defined according to (4) is indeed a
solution to the state-update DE.
3. Show that there always exists a solution to the matrix DE (4).
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 18 / 33
 ECE504: Lecture 4

Theorem: Existence Proof for General Case: Part 1

Show that (3) with Φ(t, s) defined according to (4) satisfies the initial
condition requirement of the state-update DE.

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 19 / 33

 ECE504: Lecture 4

Theorem: Existence Proof for General Case: Part 2

Show that (3) with Φ(t, s) defined according to (4) is indeed a solution to
the state-update DE.

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 20 / 33

 ECE504: Lecture 4

Theorem: Existence Proof for General Case: Part 3

Show that there always exists a solution to the matrix DE (4).

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 21 / 33

 ECE504: Lecture 4

Peano-Baker Series Example

 
0 0
A(t) =
t 0

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 22 / 33

 ECE504: Lecture 4

Fundamental Matrix Method

While the Peano-Baker series establishes existence (and thus concludes the
proof of the existence and uniqueness theorem), it is sometimes easier to
find Φ(t, s) via the “fundamental matrix method” (Chen section 4.5).

Basic idea:
1. Consider the the continuous time DE with x(t) ∈ Rn

ẋ(t) = A(t)x(t) (5)

2. Choose n different initial conditions x1 (t0 ), . . . , xn (t0 ). These n

initial condition vectors must be linearly independent.
3. These n different initial conditions lead to n different solutions to (5).
Call these solutions x1 (t), . . . , xn (t) and put them into a matrix
X(t) = [x1 (t), . . . , xn (t)] ∈ Rn×n .
4. Note that Ẋ(t) = A(t)X(t). The quantity X(t) is called a
fundamental matrix of (5). Is the fundamental matrix unique?
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 23 / 33
 ECE504: Lecture 4

Fundamental Matrix Method

Let X(t) be any fundamental matrix of (5). Note that X(t) is invertible
for all t (see Chen p. 107). The state transition matrix Φ(t, s) can then be
computed as

Φ(t, s) = X(t)X −1 (s).

Check:

Φ(s, s) =

d
Φ(t, s) =
dt

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 24 / 33

 ECE504: Lecture 4

Fundamental Matrix Example

 
0 0
A(t) =
t 0

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 25 / 33

 ECE504: Lecture 4

Remarks on the CT State-Transition Matrix Φ(t, s)

1. There are many ways to compute Φ(t, s). Some are easier than
others, but computing Φ(t, s) is almost always difficult.
2. Do different methods for computing Φ(t, s) lead to different
solutions?
3. Unlike the DT-STM Φ[k, j], the CT-STM Φ(t, s) is defined for any
(t, s) ∈ R2 . This means that we can specify an initial state x(t0 ) and
compute the system response at times prior to t0 .
4. It is easy to show that Φ(t, s) possesses the semi-group property, i.e.

Φ(t, τ ) = Φ(t, s)Φ(s, τ )

for any (t, τ, s) ∈ R3 from the fundamental matrix formulation:

Φ(t, τ ) = Φ(t, s)Φ(s, τ ) = X(t)X −1 (s)X(s)X −1 (τ ) = X(t)X −1 (τ )

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 26 / 33

 ECE504: Lecture 4

Important Special Case: A(t) ≡ A

When A(t) ≡ A, the state-transition matrix Peano-Baker series becomes

∞
X
Φ(t, s) = M k (t, s)
k=0
∞ Z tZ
X τ1 Z τk−1
= ··· AA · · · A} dτk · · · dτ1
| {z
k=0 s s s
k−fold product
∞
X Z tZ τ1 Z τk−1
= Ak ··· dτk · · · dτ1
k=0 s s s

To compute M k (t, s), let’s look at k = 0, 1, 2, . . . to see the pattern...

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 27 / 33

 ECE504: Lecture 4

Important Special Case: A(t) ≡ A

By induction, we can show that

1
M k (t, s) = Ak (t − s)k
k!
hence
∞
X 1
Φ(t, s) = Ak (t − s)k
k!
k=0

which is consistent with our earlier result (warmup #2).

Suppose, for x ∈ C, we have

∞
X xk
f (x) =
k!
k=0

What is f (x)?
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 28 / 33
 ECE504: Lecture 4

Matrix Exponential

Definition (Matrix Exponential)

Given W ∈ Cn×n , the matrix exponential is defined as
∞
X Wk
exp(W ) =
k!
k=0

Note that the matrix exponential is not performed element-by-element, i.e.

   w 
w11 w12 e 11 ew12
exp 6= w21 w22
w21 w22 e e

Matlab has a special function (expm) that computes matrix exponentials.

Calling exp(W) will not give the same results as expm(W).

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 29 / 33

 ECE504: Lecture 4

Important Special Case: A(t) ≡ A

Putting it all together, when A(t) ≡ A, we can say that

∞
X 1
Φ(t, s) = Ak (t − s)k = exp {(t − s)A}
k!
k=0

Then the solution to the LTI continuous-time state-update DE is

Z t
x(t) = exp {(t − t0 )A} x(t0 ) + exp {(t − τ )A} B(τ )u(τ ) dτ
t0

and the output equation is

Z t
y(t) = C(t) exp {(t − t0 )A} x(t0 ) + C(t) exp {(t − τ )A} B(τ )u(τ ) dτ + D(t)u(t)
t0

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 30 / 33

 ECE504: Lecture 4

Contrast/Comparison Between CT and DT Solutions

Similarities
◮ CT and DT solutions have same “look”.
◮ CT and DT solutions have state transition matrices with same
intuitive properties, e.g. semigroup.

Differences
◮ In DT systems, x[k] is only defined for k ≥ k0 because the DT-STM
Φ[k, k0 ] is only defined for k ≥ k0 .
◮ In CT systems, x(t) is only defined for all t ∈ R because the CT-STM
Φ(t, t0 ) is defined for all (t, t0 ) ∈ R2 .
◮ We didn’t prove this, but the CT-STM Φ(t, t0 ) is always invertible.
This is not true of the DT-STM Φ[k, k0 ].

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 31 / 33

 ECE504: Lecture 4

Conclusions: What We Now Know

◮ We know how to solve discrete-time LTV and LTI systems.
“Solve” means “write an analytical expression for x[k] and y[k]
given A[k], B[k], C[k], D[k], and x[k0 ]”.
◮ We know that solutions must exist and must be unique.

◮ We know how to solve continuous-time LTV and LTI systems.

“Solve” means “write an analytical expression for x(t) and y(t)
given A(t), B(t), C(t), D(t), and x(t0 )”.
◮ We know that solutions must exist and must be unique.
◮ We also know two ways to compute the state transition matrix.

◮ We know some of the properties of state transition matrices.

◮ We know differences between the DT-STM and the CT-STM.
Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 32 / 33
 ECE504: Lecture 4

Next Time
1. Linear algebra tools to lay foundation for analysis of Ak and exp (A):
◮ Subspaces
◮ Nullspace and range
◮ Rank
◮ Matrix invertibility equivalences
2. Efficient ways to analyze and compute Ak and exp (A).
3. More DT-LTI and CT-LTI examples.

Worcester Polytechnic Institute D. Richard Brown III 29-Sep-2009 33 / 33