Linear System Theory

and Design
Taesam Kang
Introduction to Course
 Textbooks
 Chi-Tsong Chen, Linear System Theory and
Design
 Thomas Kailath, Linear Systems
 A. Naylor and G. Sell, Linear Operator Theory
in Engineering and Science
 G. Strang, Linear algebra and its application
Contents of textbook
1. Introduction
2. Mathematical description of systems
3. Linear algebra
4. State space solution and realizations
5. Stability
6. Controllability and observability
7. Minimal realizations and coprime fractions
8. State feedback and state estimators
9. Pole placement and model matching
Contents of textbook
2. Mathematical description of systems
1. Definitions and system concept
2. Linear and LTI systems
3. Linearization
4. Discrete-time systems
3. Linear algebra
1. Basis, representation
2. Linear algebraic equations
3. Similarity transformation
4. Diagonal and Jordan form
5. Lyapunov equation
6. Quadratic and positive definiteness
7. SVD and norms
Contents of textbook
4. State space solution and realizations
1. Solution of LTI equations
2. Equivalent state equations
3. Realizations(equivalency)
4. Solution of LTV equations
5. Time varying realizations
5. Stability
1. I/O stability
2. Internal stability
3. Lyapunov theorem
4. Stability of LTV systems
Contents of textbook
6. Controllability and observability
1. Controllability and observability
2. Canonical decomposition
3. Conditions in Jordan form
7. Minimal realizations and coprime fractions
1. Coprimeness and coprime fractions
8. State feedback and state estimators
1. State feedback and estimators
9. Pole placement and model matching
1. Unity feedback pole-placement
Overview
 Linear system theory/design introduces and illustrates
system concepts, various linear system representation,
analysis and design methods, and mutual relationship.
 System: a mathematical model or abstraction of a
physical process that relates inputs or external forces to
the unique output or response of it.
Overview
0
t
t
y(t)= G(t, ) ( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
solution
system characteristics(stability, controllability/observability,...)
various realizations(canonical form, minimal form, cop
u d
x t A t x t B t u t
y t C t x t D t u t
t t t ·
= +
= +
·
·
·
}
rime fraction, balanced realization...)
application to control and filtering system design ·
0
t
t
c.f.,
y(t)= G(t- ) ( )
Y(s)=G(s)U(s)
( ) ( ) ( )
( ) ( ) ( )
u d
x t Ax t Bu t
y t Cx t Du t
t t t ·
·
= +
= +
}
Chapter 2. Mathematical
Description of Systems
Week 1, 2
Description of Linear Systems
1
1
-Solution with zero initial condition
( ) ( ) ( )
( ) [ ( ) ] ( ) ( ) ( )
x s sI A Bu s
y s C sI A B D u s G s u s
÷
÷
= ÷
= ÷ + =
0
t
t
-Input/Output(External) Description
y(t)= G(t- ) ( )
-State Space (Internal) Description
( ) ( ) ( )
( ) ( ) ( )
u d
x t Ax t Bu t
y t Cx t Du t
t t t
= +
= +
}
-Transfer matrix: ( ) G s
Mathematical Descriptions of Linear
Systems
 MIMO: Multi Input Multi Output Systems
 SISO: Single Input Single Output Systems
 SIMO/MISO

 Continuous –time Systems:
 Input/Output are continuous-time signals
 Discrete-time systems:
 Input/Output are discrete-time signals
[ ]: ( ), [ ]: ( ) u k u kT y k y kT = =
Causality and Lumpedness
 Memoryless system
 Output depends on only input at the moment
 Causal (or nonanticipatory) system
 current output depends on past and current inputs
but not on future input.
 Definition 2.1 (related with Kalman’s state def.)
 The state x(t0) of a system at time t0 is the information at
t0 that, together with the input u(t), for t>=t0, determines
uniquely the output y(t) for all t>=t0.
 With the def. 2.1, no need to require past input
information!!
 Lumped vs. distributed system
 Lumped system
 systems with finite state variables
 Distributed system
 systems with infinite state variables
Example of a Distributed System
 Ex. 2.1) unit time delay system
 y(t)=u(t-1)

 To determine y(t) with t >= t0, we need the
information {u(t), t0-1 <= t < t0} as well as
{u(t), t >= t0} which are states of the system.
(Infinitely many states Distributed system)
2.2 Linear Systems
1 0
1 0
1 0
2 0
2 0
2 0
1 1 0 1
1 1 2 2 0
2 2 0 2 0
( )
( ),
( ),
( )
( ),
( ),
( ( ) ( ))
( ) ( ),
( ( ) ( )),
x t
y t t t
u t t t
x t
y t t t
u t t t
x t u t
y t y t t t
x t u t t t
o
o o
o
¹
÷ >
`
>
)
¹
÷ >
`
>
)
+ ¹
÷ + >
`
+ >
)
2
ex) linearity check!!
( ) 10 ( ) ( )
( ) ( ) 1
'( ) ( ) ( )
'( ) ( ) ( ) 1
'( ) ( ) ( )
y t u t O
y t u t
y t y t u t
y t y t u t
y t y t u t
=
= +
+ =
+ = +
+ =
• additivity
• homogeneity
A system is called a linear system if
Combined form
Additivity Property
 Zero Input Response
0
0
0
( )
( ), .
( ) 0,
zi
x t
y t t t
u t t t
¹
÷ >
`
÷ >
)
 Zero State Response
0
0
0
( ) 0
( ), .
( ),
zs
x t
y t t t
u t t t
=
¹
÷ >
`
>
)
 Using additivity property:
Response of linear system = zero-input response + zero-state
response
( ) ( ) ( )
zi zs
y t y t y t = +
0 1 0 2 0 0
1 2 0
1 2 0
( ) ( )( 0) ( )( ( ))
( ) ( )( ( )) ( )( 0),
( ) ( ) ( ), .
x t x t x t x t
u t u t u t u t t t
y t y t y t t t
= = + = ¹
`
= = + = >
)
¬ = + >
Input-output description(1)
1
( ) t t o
A
÷
( ) ( ) ( )
i i
i
u t u t t t o
A
~ ÷ A
¿
• develop zero-state response of SISO linear system
Input-output description(2)
Δ i
Let g (t,t ) be the output at time t excited by the pulse u(t)= ( ). Then we have
i
t t o
A
÷
( ) ( , )
( ) ( ) ( , ) ( ) (homogeneity)
( ) ( ) ( , ) ( ) (additivity)
y(t) ( , ) ( )
i i
i i i i
i i i i
i i
i i
i
t t g t t
t t u t g t t u t
t t u t g t t u t
g t t u t
o
o
o
A A
A A
A A
A
÷ ÷
÷ A ÷ A
÷ A ÷ A
~ A
¿ ¿
¿
i
i
lim( 0) ( ): ( ) : Impulse at time t
lim( 0) ( , ): ( , ) : Impulse response to input applied at time t
( ) ( , ) ( ) : Output reponse to applied input u(t).
Causal System g(t, )=0
i i
i i
t t t t
g t t g t t
y t g t u d
o o
t t t
t
A
A
·
÷·
A ÷ ÷ = ÷
A ÷ =
=
·
}
0
for t< .
Zero-state(relaxed) response:
( ) ( , ) ( )
t
t
y t g t u d
t
t t t =
}
output by pulse sequence
Denotes time at which impulse is applied

Denotes time at which output is observed
State-space description
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
x t A t x t B t u t
y t C t x t D t u t
= +
= +
• Every linear lumped system can be described
by





n-dimensional state space equation
with n first order differential eqs. and q
algebraic eqs.
Linear Time-Invariant (LTI) Systems
0
0
0
0
0
0
A system is said to be - var , if for every state-input-output pair,
( )
( ), .
( ),
with any T, we have
( )
( ), . (time shifting)
( ),
time in iant
x t
y t t t
u t t t
x t T
y t T t t T
u t T t t T
-
¹
÷ >
`
>
)
+
¹
÷ ÷ > +
`
÷ > +
)
• If the initial state and input are the same, no matter at what
time they are applied, the output will always be the same!
• LTI is defined for systems, not for signal.
Input-output description of LTI system
0
0
0 0
For LTI systems,
( , ) ( , ) ( , 0) ( ) for any T.
Then, (2.4) ( ) ( , ) ( ) reduces to
( ) ( - ) ( ) ( ) ( - ) in which is normally replaced with 0.
By definition, ( )
t
t
t t
g t g t T T g t g t
y t g t u d
y t g t u d g u t d t
g t
t t t t
t t t
t t t t t t
= + + = ÷ = ÷
=
= =
}
} }
( - 0) is the output at time t due to the impulse input
applied at time 0.
The condition for LTI to be causal is ( ) 0 for t 0.
g t
g t
=
= <
Example 2.2

Example 2.3
Transfer-function matrix
-
0
-
0 0
* Laplace transform:
ˆ y(s)= ( )
( - ) ( )
ˆ ˆ ( ) ( )
ˆ ( ) : transfer-function
Lasplace transform of the impulse response
st
st
y t e dt
g t u d e dt
g s u s
g s
t t t
·
· ·
(
=
(
¸ ¸
=
÷
}
} }
* Transfer function matrix
derive
j i
ˆ ( ) : transfer-function component from jth input, u to ith output, y
ij
g s
Transfer matrix
Example 2.4


Example 2.5
Classification of transfer function
If a LTI system is lumped, transfer function is always a rational function of s, i.e., g(s);
( )
( )
( )
( ) proper deg D(s) deg N(s) ( ) 0 or nonzero constant .
( ) strictly proper deg D(
N s
g s
D s
g s g
g s
=
· > · · =
· s) deg N(s) ( ) 0.
( ) biproper deg D(s) deg N(s) ( ) nonzero constant .
( ) improper deg D(s) deg N(s) ( ) .
g
g s g
g s g
> · · =
· = · · =
· < · · = ·
Pole/Zero
- is the pole of g(s) if g( ) .
- is the zero of g(s) if g( ) 0.
- Coprime: N(s) and D(s) are coprime if they have
no common factors of degree 1 or higher.
If N(s) and D(s) are cop
ì ì
ì ì
= ·
=
i j
rime, then
all roots of N(s) are zeros, and all roots of D(s) are poles.
In terms of poles/zeros, t.f. is represented by
ˆ
g(s)=k (s-z ) / (s-p ).
- -
i j
zero pole gain form
×[ [
÷
Properness of transfer matrix G(s)
( )
( )
( )
( ) proper Every entry is proper ( ) 0 or nonzero constant matrix .
( ) strictly proper Every entry is strictly proper ( ) 0.
( ) biproper G(s) is square and both G(s) and
N s
G s
D s
G s G
G s G
G s
=
· · · =
· · · =
·
-1
G ( ) are proper.
- is a ploe of G(s) if it is a pole of some entry of G(s),
thus every pole of every entry of G(s) is a pole of G(s).
-λ is a blocking zero of G(s) if it is a zero of every nonz
s
ì
ero entry of G(s).
Transmission zero?
State-space equation of LTI system
 LTI state space representation
 Every linear time invariant lumped system can be
described by





 Note respective dimensions of vectors and
corresponding matrices

 Using Laplace transformation,
 Linear D.E.s are described by algebraic equations.
1 1 1
( ) ( ) ( )
( ) ( ) ( )
, ,
n p q
x t Ax t Bu t
y t Cx t Du t
x R u R y R
× × ×
= +
= +
e e e
Solution Using Laplace Transform
 s-domain (freq. domain) representation
) (
ˆ
)] (
ˆ
) 0 ( [ ) ( ) (
ˆ
)] ( ˆ ) 0 ( [ ) ( ) ( ˆ
1
1
s u D s u B x A sI C s y
s u B x A sI s x
+ + ÷ =
+ ÷ =
÷
÷
1
1
1
ˆ ˆ ( ) ( ) ( )
ˆ ˆ ( ) [ ( ) ] ( )
ˆ
( ) ( )
x s sI A Bu s
y s C sI A B D u s
G s C sI A B D
÷
÷
÷
= ÷
= ÷ +
¬ = ÷ +
Under the condition of zero initial state
Solution of LTI State Equations
( ) ( ) ( )
( ) ( ) ( )
t 0
x t Ax t Bu t
y t Cx t Du t
with
= +
= +
>
t t
t
d Bu e x e t x
t
t A At
) ( ) 0 ( ) (
0
) (
}
÷
+ =
Solution of x(t)
Proof)
Op-amp Circuit Implementation
 Every LTI state space equation can be
implemented using op-amp circuit.
 Principle of analog computer
 Integrator circuit realizes differential equations
algebraic eq. differential eq.
 Example in p.16
| |
1 1 1
2 2 2
( ) ( ) ( ) 2 0.3 2
( ), ( ) 2 3 5 ( )
( ) ( ) ( ) 1 8 0
x t x t x t
u t y t u t
x t x t x t
÷ ÷
( ( ( ( (
= + = ÷ +
( ( ( ( (
÷
¸ ¸ ¸ ¸ ¸ ¸ ¸ ¸ ¸ ¸
Linearization
 Most physical systems are inherently nonlinear and time-
varying. Thus represented by nonlinear d.e. form


 Approximation for linearized model
 Suppose an we have initial solution with, x0(t) and u0(t),


 and a slight perturbation from initial state and input;

( ) ( ( ), ( ), )
( ) ( ( ), ( ), )
x t h x t u t t
y t f x t u t t
=
=
0 0 0
( ) h( ( ), ( ), ) x t x t u t t =
0
0
( ) ( ) ( )
( ) ( ) ( )
x t x t x t
u t u t u t
= +
= +
Linearization
 By substituting x(t) and u(t) with a perturbed signal, and
applying Taylor’s series expansion,
2 1
( ) ( ( ), ( ), ) can be similary linearized.
, ( ) ( )?
y t f x t u t t
if f R C t and D t
×
=
e
0
0
( ) ( ) ( )
( ) ( ) ( )
x t x t x t
u t u t u t
= +
= +
Example2.6
 Spring-mass system with viscous friction
 Only viscous friction is considered
Example2.7
 Dual spring-mass system
 Derive dynamic equations
 In (2.24), k1  k3

Example2.9
 Satellite system
 Consider an equatorial orbit
0 0 0 0
0 0 0 0
, ,
, ,
( ) ( ) ( )
( ) ( ) ( )
x x u u x x u u
x x u u x x u u
h h
x t x t u t
x u
f f
y t x t u t
x u
= = = =
= = = =
c c
= · + ·
c c
c c
= · + ·
c c
Example 2.11
 RLC networks
 KCL
 KVL
2.6 Discrete-Time Systems
 Discrete-time system
 Obtained by sampling a continuous-time
system with sampling time, T.
 Denoted by u[k]:=u(kT), y[k]:=y(kT) where k
is an integer ranging from –infinity to +infinity
 Kalman’s state definition holds in the same
way.
 Discrete time delay system is a lumped
system, if delay is integer multiple of T. (as
opposed to cont. system)
2.6 Discrete-Time Systems
 Input-output description
1 if k=m
Impulse sequence, [ ] :
0 if k m
: [ ] [ ] [ ] ... [0] [ ] [1] [ 1] [2] [ 2] ...
Let [ , ] be the output at time instant k excited by the impulse applied at instant m,
m
k m
Input u k u m k m u k u k u k
g k m
o
o o o o
·
=÷·
¦
÷ =
´
=
¹
= ÷ = + + ÷ + ÷ +
¿
0
i.e.,
[ ] [ , ].
[ ] [ ] [ , ] [ ] (homogeniety)
[ ] [ ] [ , ] [ ] (additivity)
: [ ] [ , ] [ ]
[ , ] 0, for k<m.
If a system is relaxed at ,
[ ] [ ,
m m
m
k m g k m
k m u m g k m u m
k m u m g k m u m
Output y k g k m u m
Causal g k m
k then
y k g k m
o
o
o
·
=÷·
·
=÷·
¬ ÷ ÷
÷ ÷
÷ ÷
=
· =
=
¿ ¿
¿
0
] [ ]
k
m k
u m
=
¿
Z-transform








0
0 0
0
0
In case of time-invariant system with initial time instant 0,
[ ] [ ] [ ] [ ] [ ] : discrete convolution.
By applying z-transform,
ˆ( ) : [ [ ]] : [ ]
ˆ( ) [ ] ...

k k
m m
k
k
k
k
k
y k g k m u m g m u k m
y z Z y k y k z
y z y k z
= =
·
÷
=
·
÷
=
=
= ÷ = ÷
= =
= =
¿ ¿
¿
¿
ˆ ˆ ( ) ( ) g z u z =
Example 2.14, 2.15
ˆ where ( ) is the z-transform of impulse response sequence, [ ] and
called as the discrete transfer function.
g z g k
Discrete-Time Systems
 State space equations
0 1
1 1
1
[ 1] [ ] [ ]
[ ] [ ] [ ]
[ [ 1]] [ 1] [ ] [0] [0] ( ( ) [0])
( ) [0] [ ] ( )
( ) ( ) ( )
( ) ( ) [0] ( ) ( )
( ) ( ) [0] (
k l
k l
x k Ax k Bu k
y k Cx k Du k
Z x k x k z z x l z x x z x z x
zx z zx Ax z Bu z
y z Cx z Du z
x z zI A zx zI A Bu z
y z C zI A zx C zI A
· ·
÷ ÷
= =
÷ ÷
÷
+ = +
= +
(
+ = + = + ÷ = ÷
(
¸ ¸
÷ = +
= +
¬
= ÷ + ÷
= ÷ + ÷
¿ ¿
1
1
) ( ) ( )
[ ( ) ] ( ) ( [0] 0)
( ) ( )
Bu z Du z
C zI A B D u z If x
G z u z
÷
÷
+
= ÷ + =
=
1
( ) : [ ( ) ] G z C zI A B D
÷
= ÷ +
Concluding remarks
System type Internal
description
External description
Distributed, linear
Lumped, linear
Distributed, linear,
time-invariant
lumped, linear,
time-invariant

0
( ) ( , ) ( )
t
t
y t G t u d t t t =
}
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
x t A t x t B t u t
y t C t x t D t u t
= +
= +
0
( ) ( , ) ( )
t
t
y t G t u d t t t =
}
0
( ) ( ) ( )
ˆ ˆ
ˆ ˆ ( ) ( ) ( ), ( ) irrational
t
y t G t u d
y s G s u s G s
t t t = ÷
=
}
( ) ( ) ( )
( ) ( ) ( )
x t Ax t Bu t
y t Cx t Du t
= +
= +
0
( ) ( ) ( )
ˆ ˆ
ˆ ˆ ( ) ( ) ( ), ( ) rational
t
y t G t u d
y s G s u s G s
t t t = ÷
=
}
HW #1
 Chap. 2
Problems: 2.7-2.10, 2.15,2.16