Linear Systems

Prof. Dr. Joo Edgar Chaves Filho

Mestrado em Eng. Eltrica

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 Today:
Introduction
Motivation Course Overview
Math. Descriptions of Systems ~ Review
Classification
of Systems
Linear Systems

LTI Systems

2
 1. INTRODUCTION
1.1 Motivation
What is a "system"?
A physical process or a mathematical model of a
physical process that relates one set of signals to
another set of signals
y(t)
input/ output/
excitation/ response/
System t
cause result
Examples: Air conditioner, cars, circuits, bank accounts
Two general categories of signals/systems:
Continuous-time (CT) signals/systems
Examples: Speed/car, current/circuit, temperature/room
Described by differential eqs., e.g., dy/dt = ay(t) + bu(t)
Signals themselves could be discontinuous
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 y(k)

Discrete-time (DT) signals/systems k

Examples: Money in a bank account, quarterly profit

Sequence of numbers
Input/output related by difference equations, e.g.,
y[k+1] = ay[k] + bu[k]
DT and CT are quite similar, and will be treated in parallel
The goal of "System Theory"?
Establish input/output relationship through models,
Predict output from input, know how to produce desired output
Alter input automatically (via controller) to produce
desired output
Controller input System
requirement output
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 Example: A simple electric circuit
i(t) ~ Output

R L
u(t) ~ C
~ Input

Use physical laws to model/describe the behavior

of the system:
What are the components? What properties do they
have?
di L dv C
v R Ri R , v L L , iC C
dt dt
Relationship among the variables by physical law:
KCL: Sum of currents to a node = 0, iR= iC= iL= i.
KVL: Sum of voltages across a loop = 0. 5
 i(t) ~ Output

R L
u(t) ~ C
~ Input

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di 1 t d
KVL : Ri L i ( )d v0 u (t ) L i(2t ) R di(t ) 1 i(t ) du (t )
dt C 0 dt dt C dt

An integral-differential or differential equation

Input-output description or external description

How to analyze the input-output

relationship?
For example, find the output i(t) given u(t) and
IC.
We can use Laplace transform
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Note: only effective for LTI systems
 Laplace Transform, A Quick
Review

f (t ) F (s) f (t )est dt
0

Converting linear constant coefficient differential

equations into algebraic equations
Other properties
in the frequency domain: tf (t) (1)F '(s)
Differentiation
Convolution: h(t)f (t) H(s)F(s)
Time and frequency shifting: f (t-t0) u(t-t0) e-st0 F(s);
es0t f (t) F(s - s0)

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 Time and frequency scaling: f (at) 1/a F(s/a)
for a > 0
Initial Value Theorem: f (0+) = lims sF(s)
Final Value Theorem: f () = lims0 sF(s) if all
the poles of sF(s) have strictly negative real
parts i(t) ~ Output

Example (Continued) R L
u(t) ~ C
~ Input

t
di 1
KVL : Ri L i( )d v0 u(t )
dt C 0

Ri ( s) L si ( s) i0
i( s) v0
Cs
u ( s)
s
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 An algebraic equation vs integral-differential
equation. Solution:
1 v
Ls R i( s ) u ( s ) Li0 0
cs s
cs LCsi0 cv0
i( s )
u ( s )
LCs 2 RCs 1 LCs 2 RCs 1

Is there any pattern with the equation?

It has two components, one caused by
input, and the other by IC
How about the voltage across the capacitor?
i( s) v0 1 Li0 LCs RC v0
v( s) u ( s)
Cs s LCs RCs 1
2
LCs 2 RCs 1

What is the system's transfer function?

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 Assume that the ICs are zero, then

^u(s) ^ ^i(s) = g(s)

^ u(s)
^
g(s)

Cs Cs
i (s) u(s) g(s)
2
LCs RCs 1 LCs 2 RCs 1

Frequency domain analysis

How to obtain the response in time domain?

i (t ) L1 i( s)

Suppose that L = C = 1, R = 2, v0 = i0 = 0, and u(t) =

U(t) (unit step function). Then

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 1 Cs u(s) 1 1
u(s) i (s)
s LCs 2 RCs 1 s 2 2s 1 s 12

i( t ) te t 0.4
0.35
0.3
0.25

i(t)
0.2
0.15
0.1
Does this make sense 0.05
0

for the circuit? 0 5

t
10 15

+
R L
u(t) C v(t)
-

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 Limitation of Laplace transform: not effective for
time varying/nonlinear systems such as

y(t ) a1 ( y, t ) y (t ) a0 ( y, t ) y(t ) b( y, t )u(t )

The state space description to be studied in this class

will be able to handle more general systems
How can we do it?
Properties can be characterized without solving for
the output
To get some general idea about state space description,
we consider the same circuit system.

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 i(t) ~ Output

R L
u(t) ~ C v(t)
~ Input

State-Space Description
State variables: Voltage across C and current through L
state equation:

dv
(1 / C ) i
dt v 0 1 / C v 0
di i 1 / L
R / L i 1 / L
u
( R / L)i (1 / L)v (1 / L)u
dt
A set of first-order differential
equations
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 It describes the behaviors inside the system by using the
state variables v(t) and i(t)
i(t) ~ Output
How to describe the output?
v R
y i 0 1
L
u(t) ~ C v(t)
i ~ Input
The output equation
Combined with the state equation, we have the state-
space description or internal description
A B
v 0 1/ C v 0 x Ax Bu
i 1 / L R / L i 1 / L u,
y Cx
v
y 0 1 x
C i
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 A general form:
x1 u1 y1
x u y

x f ( x , u , t ) 2
2
y
2
, x , u

,

y h ( x, u , t )

xn u p yq

Main features of the state-space approach

It describes the behaviors inside the system
Characterizes stability and performances without solving
the differential equations
Applicable to more general systems, nonlinear,
time-varying, uncertain, hybrid
Most recent advancements in control theory are developed
via a state-space approach
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 1.2 Course Overview
Textbook:
Chi-Tsong Chen, Linear System Theory and
Design, 3rd Edition, Oxford University Press,
1999 (Required)
Reference:
William L. Brogan, Modern Control Theory,
3rd edition, Prentice Hall, 1990 (Optional)
Carlo Tomasi, Mathematical Methods for
Robotics and Vision - Stanford University
G. Strang, Linear Algebra with Applications

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 Goals: To achieve a thorough understanding
about systems theory and multivariable system
design
Tentative Outline (15 lectures):
Introduction
Modeling: How to model a physical system
The fundamentals of linear algebra
Analysis:
Quantitative: How to derive response for a
given input
Qualitative: How to analyze controllability,
observability, stability and robustness
without knowing the exact solution?
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 Design:
How to realize a system given its
mathematical description
How to design a control law so that desired
output response is produced
How to design an observer to estimate the
state of the system
Function optimization
- Newton and Gauss-Newton methods
- Levenberg-Marquardt method
- Constraints and Lagrange multipliers
Will
treat continuous-time and discrete-
time systems in parallel
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 Prerequisites:
LinearFeedback Systems
Background on
Laplace transform
z-transform

Ordinary differential equations

Linear algebra, and

Modeling of electrical and mechanical

systems

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 Grading:
Homework Assignments 60%
Partial Examination 20%
Final Examination 20%
Total 100%

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 General Rules:
Homework should be clear, concise, and
complete
Discussion is allowed but no copying;
declare your partner each time
Not all the problems will be graded. Grading
will be based on some randomly selected
problems
Homework due next class; Late assignments
will be discounted 10% a day, up to 5 days

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2. Mathematical Descriptions of Systems
(Review)
y (t )
System
u (t )
u (k ) y (k )
u1 (t ) y1 (t )
u (t ) y (t )
u (t ) , y (t )
2 2

p
u (t ) q
y (t )
Classificationof systems
Linear systems
Linear time invariant (LTI) systems
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 2.1 Classification of Systems
Basic assumption: When an input signal is applied to the
system, a unique output is obtained
Q. How do we classify systems?
Number of inputs/outputs; with/without memory;
causality; dimensionality; linearity; time invariance
The number of inputs and outputs
When p = q = 1, it is called a single-input single-
output (SISO) system
When p > 1 and q > 1, it is called a multi-input multi-
output (MIMO) system
MISO, SIMO defined similarly

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 Memoryless vs. with Memory
If y(t) depends on u(t) only, the system is said to be
memoryless, otherwise, it has memory
An example of a memoryless system?

+ A purely resistive circuit

+ R1 y(t)
u(t) R2 R2
- - y( t ) u( t ) ~ Memoryless
R1 R 2

An example of a system with memory?

R i di di R 1
Ri L u or i u
+ dt dt L L
u(t) L t
-
R
t t 0 1 RL t
i(t ) e L
i(t0 ) e u ( )d
L t0
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 i(t) depends on i(t0) and u() for t0 t, not just u(t)
A system with memory
Causality: No output before an input is applied
Input Output
System

A system is causal or non-anticipatory if y(t0) depends

only on u(t) for t t0 and is independent of u(t) for t > t0
Is the circuit discussed last time causal?
u(t)
1
i t
R
+ y(t)
u(t) L
- 1
t

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 An example of a non-causal system?
y(t) = u(t + 2) u(t)
1
t
y(t)
1 t

Can you truly build a physical system like this?

All physical systems are causal!

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The concept of state
The output depends on the input. Is it completely
determined by the input?
Take the circuit system for example.
i(t) ~ Output

R L
u(t) ~ C
~ Input

The output i(t) also depends on the ICs

State at t0: The information at t0 needed to determine the
behavior of the system for t > t0 apart from the input
For the circuit, the state is the ICs, vc(t0) and iL(t0)
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 State and state variables
State is a set of variables, e.g., x x1 , x2 ,, xn
The number of state variables = the number of
ICs needed to solve the problem
For an LRC circuit, the number of state
variables = the number of C + the number of L
(except for degenerated cases)
A natural way to choose state variables as what
we have done earlier: {vc} and {iL}
Is this the unique way to choose state
variables?
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 Any invertible transformation of the
above can serve as a state, e.g.,
x1 (t ) 1 1 v(t ) v(t ) i(t )
x (t ) 1 1 i(t ) v(t ) i(t )
2
Although the number of state variables = 2, there
are infinite numbers of representations
Order of dimension of a system: The number of
state variables
If the dimension is a finite number Finite
dimensional (or lumped) system
Otherwise, an infinite dimensional (or
distributed) system
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 An example of an infinite dimensional system
u(t) y(t) = u(t-1)
System
A delay line

Given u(t) for t 0, what information is needed to

know y(t) for t 0?
u(t)
t
? y(t)
t
1
?
We need an infinite amount of information An
infinite dimensional system

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 Today:
Introduction
Motivation

Course Overview
Mathematical Descriptions of Systems ~
Review
Classification
of Systems
Linear Systems

LTI Systems

31
 2.2 Linear Systems
Linearity
Double the efforts double the outcome?
Suppose we have the following (state,input)-output pairs:

x1 (t0 )
y1 (t ), t t0
u1 (t ), t t0

x2 (t0 )
y2 (t ), t t0
u2 (t ), t t0

What would be the output of

x1 (t0 ) x2 (t0 )
y1 (t ) y2 (t ), t t0
u1 (t ) u2 (t ), t t0

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 If
this is true ~ Additivity
How about
x1 (t0 )
y1 (t ), t t0
u1 (t ), t t0

If this is true ~ Homogeneity

Combined together to have:
1 x1 (t0 ) 2 x2 (t0 )
1 y1 (t ) 2 y2 (t )
1u1 (t ) 2u2 (t ), t t0

If this is true ~ Superposition or linearity property

A system with such a property: a Linear System

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 Are R, L, and C linear elements?
di dv
v R Ri R , v L L L , iC C C
dt dt
Yes (differentiation is a linear operation)

v Affine v Nonlinear
v = Ri
Linear
i i

Also, KVL and KCL are linear

constraints. When put together, we have
a linear system

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 The additivity property implies that
x1 (t0 ) x (t ) x (t ) 0
y(t ) due to y(t ) due to 1 0 y(t ) due to 1 0
u1 (t ), t t0 u1 (t ) 0 u1 (t ), t t0

Response = zero-input response + zero-state response

Response of a Linear System

u(t) Linear y(t)
System

How can we determine the output y(t)?

Can be derived from u(t) + the unit impulse response
based on linearity
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The Input-Output Description

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The Input-Output Description

h(t) = g(t)

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continue

When 0 (t-ti) (t-ti) impulse

and the output g(t-ti) impulse response

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The Input-Output Description

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 Let (t-) be a square pulse at time with width
and height 1/
t-
1/ Area = 1
t

As 0, we obtain a shifted unit impulse
t
f t t dt f

Let the unit impulse response be g ( t, . Based on
linearity,
y (t ) g (t , )u ( )d
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 If the system is causal,
t

g (t , ) 0 for t y (t ) g (t , )u ( )d

A system is said to be relaxed at t0 if the initial

state x (t0) at t0 is 0
In this case, y(t) for t t0 is caused exclusively by
u(t) for t t0

t
y (t ) g (t , )u ( )d
t0

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 How about a system with p inputs and q outputs?
Have to analyze the relationship for input/output pairs
t
y (t ) G(t , )u ( )d
t0
g11 (t , ) g12 (t , ) g1 p (t , )
g (t , ) g (t , ) gij(t,): The impulse
g 2 p (t , )
G(t , ) response between the
21 22

jth input and ith output

g q1 (t , ) g q 2 (t , ) g qp (t , )

State-Space Description
A linear system can be described by
x (t ) A(t ) x(t ) B(t )u (t )
y (t ) C (t ) x(t ) D(t )u (t )
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 2.3 Linear Time-Invariant (LTI) Systems
Time Invariance: The characteristics of a system do not
change over time
What are some of the LTI examples? Time-varying
examples?
What happens for an LTI system if u(t) is delayed by
T?
u(t) y(t)
t t

u(t-T) y(t-T)

If the same IC is also shifted by T, then

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 This property can be stated as:
x(t0 ) x0
y(t ), t t0
u (t ), t t0

x(t0 T ) x0
y(t T ), t t0 T
u(t T ), t t0 T

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 What happens to the unit impulse
response when the system is LTI?
g (t , ) g (t T , T ) for any T
g (t , ) g (t , ) g (t ,0) g (t )
Only the difference between t and matters
What happens to y(t)?
t
y (t ) g (t , )u ( )d
t0
t
g (t )u ( )d
t0
t

t0
g ( )u (t ) d
g (t ) * u (t ) ~ Convolution integral
y ( s ) g ( s ) u ( s ) 45
 ( s ) g ( s ) u ( s )
Proof of y

y ( s) y(t )e st dt
0

st
g (t )u ( )d e dt
t 0 0

s ( t ) s
g (t )u ( )d e e dt
t 0 0


g (t ) e s ( t )
dt
u ( ) e s
d ,
0 t 0
( Let t )

46


y ( s) g ( )e d u ( )e s d ,
s

0
( Note g ( ) 0 for 0)


g ( )e d u ( )e s d
s

0 0


g ( )e d u ( )e d
s s

0 0

y ( s ) g ( s ) u ( s )

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Transfer-Function Matrix
For SISO system,
g (s) ~ Transfer function, the Laplace transform of the unit
impulse response y ( s ) g ( s ) u ( s )

For MIMO system,

y ( s ) G ( s) u ( s)

g11 ( s) g12 ( s) g1 p ( s) ~ Transfer-function

g ( s) g ( s) g 2 p ( s) matrix, or transfer
G ( s)
21 22

matrix

g q1 ( s) g q 2 ( s) g qp ( s)

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 Today:
Introduction
Motivation
Course Overview

Mathematical Descriptions of Systems ~ Review

Classification of Systems

Linear Systems

LTI Systems

Next Time:
Linearization;Examples; Discrete-time systems
Linear Algebra
Basis, representation, and orthonormalization

Problem Set 1: Ch. 2: 1, 3, 5, 9, 10,14,19, 20, due

next class. 49