NONLINEAR

SYSTEMS ANALYSIS
SECOND EDITION
M. VIDYASAGAR
Centre for AI and Robotics. India
91 PRENTICE HALL, Englewood OHTs. New Jersey 07632
LIbrary of Congress Catalog1ng-ln-Publ1catlon Data
V1dyasagar. M. (Mathukuaal11l
NonlInear systeas analysIs / M. V1dyasagar. -- 2/e.
p. ca.
Includes biblIographIcal references and lnde.
ISBN 0-13-623463-1
1. Syste8 analysIs. 2. DIfferentIal equatIons, NonlInear.
1. Title.
QA402.V53 1993
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To Charlie Desoer

Wl:<.et{

lJtfu
As all water falling from the sky
Eventually reaches the sea
So do salutations to various deities
Reach the same almighty
From Sandhyavandanam (A salute to the twilight)

t
Beyond the worlds
Their rulers and their denizens
Beyond the unwordly void
The one Who shines alone
Him I worship
FromAndhra Maha Bhagavatam by Bammera Potana
(c. 1400A.D.)
CONTENTS
PREFACE ix
NOTE TOTHE READER xi
I. INTRODUCTION 1
2. NONLINEARDIFFERENTIALEQUATIONS 6
2.1 Mathematical Preliminaries 6
2.2 Induced Norms and Matrix Measures 19
2.3 Contraction Mapping Theorem 27
2.4 Nonlinear Differential Equations 33
2.5 Solution Estimates 46
3. SECOND-ORDERSYSTEMS S3
3.1 Preliminaries 53
3.2 Linearization Method 57
3.3 Periodic Solutions 67
3.4 Twd Analytical Approximation Methods 79
4. APPROXIMATE ANALYSIS METHODS 88
4.1 Describing Functions 88
4.2 Periodic Solutions: Rigorous Arguments 109
4.3 Singular Perturbations 127
5. LYAPUNOVSTABILITY 13S
5.1 Stability Definitions 135
5.2 Some Preliminaries 147
5.3 Lyapunov'sDirectMethod 157
5.4 Stability of Linear Systems 193
5.5 Lyapunov's Linearization Method 209
5.6 TheLur'eProblem 219
5.7 Converse Theorems 235
vii
5.8 Applications of Converse Theorems 246
5.9 Discrete-Time Systems 264
6. INPUT-OUTPUTSTABILITY 270
6.1 Lp-Spaces and their Extensions 271
6.2 Definitions of Input-Output Stability 277
6.3 Relationships Between YOand Lyapunov Stability 284
6.4 Open-Loop Stability of Linear Systems 292
6.5 Linear Time-Invariant Feedback Systems 309
6.6 Time-Varying and/or Nonlinear Systems 337
6.7 Discrete-Time Systems 365
7. DIFFERENTIALGEOMETRICMETHODS 376
7.1 Basics of Differential Geometry 377
7.2 Distributions. Frobenius 1beorem 392
7.3 Reachability and Observability 399
7.4 Feedback Linearization: Single-Input Case 427
7.5 Feedback Linearization: Multi-Input Case 438
7.6 Input-Output Linearization 456
7.7 Stabilization of Linearizable Systems 464
A. PREVALENCE OF DIFFERENTIAL EQUATIONS WITH UNIQUE SOLU-
TIONS 469
B. PROOF OFTHEKALMAN-YACUBOVITCHLEMMA 474
C. PROOFOFTHEFROBENIUS THEOREM 476
REFERENCES 486
INDEX 493
viii
PREFACE
It is now more than a decade since I wrote the book Nonlinear Systems Analysis. Since that
time, several developments have taken place in this area which have made it desirable to
update the contents of the book. Accordingly, virtually the entire book has been rewritten.
The most notable changes are the following:
I) During the past decade, there have been some significant advances in the area of
nonlinear control system design based on the use ofdifferential geometric methods. Thus it
is imperative that anyone interested in nonlinear system theory should have at least a passing
acquaintance with these methods. In this second edition, I have included a new chapter
which discusses the differential geometric approach (Chapter 7). For ease ofexposition, alI
systems are considered to evolve over an open subset of R"; thus the analysis is only local.
Topics covered include reachability, observability, and feedback linearization (in both the
input-state and input-output settings), zero dynamics, and the stabilization of linearizable
systems. In addition to presenting the theory, I have also included some applications of the
theory to problems in robotics. Motivated by this chapter, an interested and diligent student
could pursue a more rigorous course ofstudy with an advanced text.
2) Several significant results have been obtained in the "traditional" areas of Lyapunov
stability and input-output stability since the writing of the first edition. Some of these results
are included in the present edition, such as: observer-controller stabilization of nonlinear
systems, and the stability of hierarchical systems (Section 5.8); relationships between
Lyapunov stability and input-output stability (Section 6.3); and a useful class of transfer
functions,ofdistributed systems (Section 6.5). In addition to the above, Section 4.2, contain-
ing a rigorous analysis of the describing function method, is also new.
3) Various standard texts in stability theory have gone out of print, making their con-
tents all but inaccessible to the student. Two examples ofsuch books are: Stability ofMotion
by W. Hahn and Feedback Systems: Input-Output Properties by C. A. Desoer and myself.
At the same time some ofthe techniques presented in these books are finding new and previ-
ously unsuspected applications. With this in mind, in the present edition I have included
some relevant material from these and other classic books, such as the o ~ v r s Lyapunov
theory (Section 5.7), and the feedback stability of time-varying and/or nonlinear systems
(Section 6.6).
4) In view of the increasing importance of digital computers, I have included a discus-
sion of discrete-time systems in the chapters dealing with Lyapunov stability and input-
output stability.
5) Three new appendices have been added. Appendix A describes a sixty year-old
theorem due to Witold Orlicz, on the prevalence of differential equations with unique solu-
tions. This paper is quite inaccessible, but its contents deserve wide dissemination. Appen-
dix B gives a proof of the Kalman- Yacubovitch lemma, while Appendix C contains a proof
of the Frobenius theorem. The contents of the last two appendices are of course readily
available elsewhere, but their inclusion inthe present text makes it more self-contained.
ix
6) The original edition of this book contained examples which were mostly drill prob-
lems or exercises. During the recent years I have come to feel that nonlinear system theory
is most useful in studying the behavior of an entire class of systems rather than a given
specific system. Accordingly, several applications of nonlinear system theory have been
included throughout the book. Most of them have to do with robotics in some form or other.
With these changes, the book is somewhat bigger than the first edition. It would be
difficult to cover the entire book during a single semester. However, I hope its value as a
reference has been enhanced by the changes. Chapter 2 contains basic material which
should be covered in order to appreciate the remainder of the text. But a sincere attempt has
been made to ensure that Chapters 3 through 7 are independent, so that an instructor can pick
and choose material to suit his/her needs. Even within a chapter, it is possible to cover cer-
tain sections and omit others. A perusal of the Contents reveals the amount of flexibility
available in putting together a suitable course from the contents ofthe text.
In spite of the enlargement in the size of the book, some topics which deserve the atten-
tion of system theorists are not included. Examples of such topics are chaotic motions,
averaging analysis, Volterra series, bifurcation theory, and catastrophe theory. I have made
a conscious decision to omit these topics, mainly to keep the length of the book within rea-
sonable limits. But no study of nonlinear systems is complete without at least an introduc-
tion to these topics. Moreover, there are several excellent texts available addressing each of
the above topics.
In the preface to the first edition, I wrote fancifully that the book could be used by
"engineers, mathematicians, biologists er cetera." Judging by the Science Citation Index,
no biologists appear to have read the book (though two social scientists have, amazingly
enough). More realistically, I would expect the present edition to be of interest primarily to
engineers interested in a rigorous treatment of nonlinear systems, and to mathematicians
interested in system theory. Though some aspects of control are covered in the book (espe-
cially in Chapter 7), the focus is still on analysis rather than synthesis. Hence I have retained
the original title. I do expect that the book can be used not just in Electrical Engineering
departments, but also in Mechanical Engineering departments, and perhaps in some depart-
ments of Applied Mathematics. Above all, I hope it will continue to serve as a reference
source for standard results in nonlinear systemanalysis.
I would like to thank Toshiharu Sugie for his careful reading of early versions of
Chapters 5 and 6. I would also like to thank those who reviewed the text, particularly Brian
Anderson, Aristotle Araposthasis, Ragu Balakrishnan, Joseph Bentsman, Alan Desrochers,
Brad Dickinson, Ashok Iyer, Bob Newcomb, Charles L. Phillips, and Irwin Sandberg.
It is my pleasure and honor to dedicate to this book to Professor Charles A. Desoer of
the University of California at Berkeley. Though I was not privileged to be one of his Ph.D.
students, I was fortunate enough to have come under his influence while still at a formative
stage in my career. Any instances of originality, creativity and clarity in my research and
exposition are but pale imitations of his s n n ~ example.
x
NOTETOTHEREADER
All items within each section are numbered consecutively, be they equations, theorems,
definitions, or something else. A reference such as "(17)" refers to the 17-th item within the
same section. When it is necessary to refer to an item from another section, the full citation
is given, e.g., "Theorem (5.1.16)." All theorems, lemmas, and definitions are stated in ital-
ics. In a definition, the concept being defined is displayed in bold face. The same conven-
tion is used in the running text as well. The use of italics in the running text is reserved for
emphasis. The box symbol. is used to denote the end of a proof. In cases where there
might be some ambiguity, the same symbol is also used to denote the end of an example.
Lower-case bold letters such as x denote vectors, upper-case bold letters such as A denote
matrices, and italic letters denote scalars; however, there are a few exceptions to this con-
vention. For example, the identity matrix is denoted by [.
Finally, the reader is urged to attempt all the problems, since they are an integral part of
the text. Happy reading!
xi
1. INTRODUCTION
The topic of this book is the analysis of nonlinear systems. The adjective "nonlinear" can be
interpreted in one of two ways, namely: "not linear" or "not necessarily linear." The latter
meaning is intended here.
Why should one study nonlinear systems? The fact is that virtually all physical sys-
tems are nonlinear in nature. Sometimes it is possible to describe the operation of a physical
system by a linear model, such as a set of ordinary linear differential equations. This is the
case, for example-if the mode of operation of the physical system does not deviate too much
from the "nominal" set of operating conditions. Thus the analysis of linear systems occupies
an important place in system theory. But in analyzing the behaviour of any physical system,
one often encounters situations where the linearized model is inadequate or inaccurate; that
is the time when the contents of this book may prove useful.
There are several important differences between linear systems and nonlinear systems:
I) In the case of linear systems described by a set of linear ordinary differential equations, it
is often possible to derive closed-form expressions for the solutions of the system equations.
In general, this is not possible in the case of nonlinear systems described by a set of non-
linear ordinary differential equations. As a consequence, it is desirable to be able to make
some predictions about the behaviour of a nonlinear system even in the absence of closed-
form expressions for the solutions of the system equations. This type of analysis, called
qualitative analysis or approximate analysis, is much less relevant to linear systems. 2)
The analysis of nonlinear systems makes use of a wider variety of approaches and
mathematical tools than does the analysis of linear systems. The main reason for this variety
is that no tool or methodology in nonlinear systems analysis is universally applicable (in a
fruitful manner). Hence the nonlinear systems analyst needs a wide variety of tools in his or
her arsenal. 3) In general, the level of mathematics needed to master the basic ideas of non-
linear systems analysis is higher than that for the linear case. Whereas matrix algebra usu-
ally occupies center stage in a first course in linear systems analysis, here we use ideas from
more advanced topics such as functional analysis and differential geometry.
Acommonly used model for a nonlinear system is
1 x(t) =f[t, x(t), u(t)], 'v't 0,
where t denotes time; x(t) denotes the value of the function x(-) at time t and is an n-
dimensional vector; u(t) is similarly defined and is an m-dimensional vector; and the func-
tion f associates, with each value of t, x(t), and utr), a corresponding n-dimensional vector.
Following common convention, this is denoted as: tE R+, X(t)E R", U(t)E R", and
f: R+xRnxR
m
R", Note that (I) is a first-order vector differential equation. The quantity
x(t) is generally referred to as the state of the system at time t, while u(t) is called the input
2 Introduction
or the control function. It is clear that (1) represents a continuous-time system. Its
discrete-time counterpart is
which is a first-order vector difference equation. There is no loss of generality in assuming
that the system at hand is described by a first-order (differential or difference) equation. To
see this, suppose the system is described by the n-th order scalar differential equation
3
dny (t) . d
n- 1
y (t)
--=h[t,y(t),y(t),"', I ,u(t)], V t ~
dt
n
dt
n-
This equation can be recast in the form (1) by defining the n-dimensional state vector x(t) in
the familiar way, namely
4
Then (3) is equivalent to
X\(t)=X2(t),
X2(t) =X3(t),
5
Xn-I (t) =xn(t)
xn(t) =h [t, XI (t), X2(t), "', xn(t), u (t)]
Now (5) is of the form (I) with
More generally, even coupled nonlinear differential equations can be put into the form (1).
Analogous remarks apply also to difference equations. In fact, much of the power of
"modem" control theory derives from the generality and versatility of the state-space
descriptions (1) and (2).
Instudying the system (I), one can make a distinction between two aspects, I generally
referred to as analysis and synthesis, respectively. Suppose the input function 0(-) in (1) is
I Henceforth attention is focused on the continuous-time system (I), with the understanding that all
remarks apply, mutatis mutandis. to the discrete-time system (2).
Introduction 3
specified (i.e., fixed), and one would like to study the behaviour of the corresponding func-
tion x('); this is usually referred to as analysis. Now suppose the problem is turned around:
the system description (I) is given, as well as the desired behaviour of the function x('), and
the problem is to find a suitable input function uO that would cause x(). to behave in this'
desired fashion; this is usually referred to as syntbesis. Most of this book is devoted to the
analysis of nonlinear systems.
The rest of this chapter is devoted to introducing several commonly used terms. The
system (I) is said to be forced, or to have an input; in contrast, a system described by an
equation of the form
8 x(t)=f[t, x(t)],
is said to be unforced. Note that the distinction is not too precise. In the system(I), if u() is
specified, then it is possible to define a function C
u
: R
n
by
9 Cu(t, x) = f[t, x, u(t)].
In this case ( I) becomes
10 x(t)=Cu(t, x(t)],
Moreover, ifuO is clear from the context, the subscript u on C
u
is often omitted. In this case
there is no distinction between (10) and (8). Thus it is safer to think of (8) as describing one
of two possible cases: (i) there is no external input to the system, or (ii) there is an external
input, which is kept fixed throughout the study.
11 Definition The system (1) or (8) is said to be autonomous if the function Cdoes not
explicitly depend on itsfirst argument t; it is said to be nonautonomous otherwise.
Note that some authors use "time-invariant" instead of "autonomous" and "time-
varying" instead of "nonautonomous."
Consider the system (I), and suppose it is autonomous, i.e., Cis independent of t. Now
suppose a non-constant input function u() is applied. Then the corresponding function C
u
defined in (10) may in fact depend on t [since u(t) depends on t]. The point to note is that a
system may be either autonomous or nonautonomous depending on the context.
The next concept is central to nonlinear systemtheory.
12 Definition Avector "oE R
n
is said to be an equilibriumofthe unforced system (8) if
13 C(t, '(0)=0,
If"0 is an equilibriumof the system (8), then the differential equation
4 Introduction
14 x(t)=f[t, x(t)],
has the unique solution
15 x(t)=Xo,
In other words, if a system starts in an equilibrium, it remains in that state thereafter.
Many features that are taken for granted in the case of linear systems do not hold for
nonlinear systems. This is one of the major challenges of nonlinear systems analysis. To
illustrate a few of these features, consider the systemdescription (8). In order to represent a
physical system, the model (8) should satisfy one of the following statements:
l. Equation (8) has at least one solution (existence ofa solution).
2. Equation (8) has exactly one solution for all sufficiently small values of t (local
existence and uniqueness ofsolution).
3. Equation (8) has exactly one solution for all t in the interval [0,00) (global
existence and uniqueness of solution).
4. Equation (8) has exactly one solution for all t in the interval [0, 00), and this solu-
tion depends continuously on the initial condition x(O) (well-posedness).
Statements I to 4 are progressively stronger. Ideally one would wish that the system
description (8) exhibits the behaviour described in Statement 4. Unfortunately, without
some restrictions on the nature of the function r, none of these statements may be true, as
illustrated by the following examples.
,
16 Example Consider the scalar differential equation
17 x(t)=-signx(t),
where the "sign" function is defined by
{
I,
signx = -I. if x < O
It is easy to verify that no continuously differentiable function x() exists such that (17) is
satisfied. Thus even Statement I does not hold for this example.
18 Example Consider the scalar differential equation
. I
x(t) = --,
2x(t)
This equation admits two solutions, namely
Introduction
x(t)=tl/l.
Thus Statement I is true, but Statement 2 is false.
19 Example Consider the scalar differential equation
20 x(l)= I +x
2(t),

Then, over the interval [0, I), this equation has the unique solution
x(t)=tant.
5
But there is no continuously differentiable function x() defined over the entire interval
[0,(0) such that (20) holds. This is because, as the solution a
phenomenon lrnown as "finite escape time." Thus Statements I and 2 are true for this sys-
tem, but Statement 3 is false.
It is therefore clear that the questions of existence and uniqueness of solutions of (8),
and their continuous dependence on the initial conditions, are very important. These ques-
tions are studied in Chapter 2.
The subject of Chapter 3 is second-order systems. Before attempting a study of n-th
order systems in all of their generality, it is fruitful to begin with the special case of second-
order systems, since many of the arguments are simplified in this special case.
In Examples (18) and (19), it was possible to derive closed-form expressions for the
solutions of the differential equations under study, because the equations were ofa very sim-
ple nature, However, this is not possible in general, and one must be content with approxi-
mate analysis methods. These are the subject ofChapter 4.
An important issue in nonlinear systems analysis is that of the well-behavedness, in a
suitably defined sense, of the solutions to the unforced system (8) or the forced system (I).
This is usually called the question of "stability." Ideally one would like to draw conclusions
about the well-behavedness or otherwise of these solutions without actually solving the sys-
tem equations. Chapter 5 is concerned with the stability of unforced systems of the form (8),
while Chapter 6 is concerned with the stability offorced systems-so-called "input-output"
stability. An added bonus in Chapter 6 is that the systems studied are more general than (I);
in fact, the theory developed there applies equally well to delay systems, and systems
described by partial (not ordinary) differential equations.
Chapter 7 focuses on a recent development in the study of nonlinear control systems,
namely the use of differential-geometric methods. The general theme of this chapter is that
many results from the theory of linear control systems can be extended to a broad class of
autonomous nonlinear control systems.
2. NONLINEARDIFFERENTIAL
EQUATIONS
In this chapter, we undertake a systematic study of nonlinear ordinary differential equations
(o.d.e.' s). As one can see from the examples gi ven in Chapter 1, a nonlinear equation can in
general exhibit very wild and unusual behavior. However, it is shown in this chapter that,
for a practically significant class of nonlinear o.d.e.' s, it is possible to ascertain the existence
and uniqueness of the solutions corresponding to each initial condition, as well as continu-
ous dependence of the solution on the initial condition.
Except for very special cases which are usually "cooked" in advance, it is not possible
to obtain a closed-form expression for the solution of a nonlinear o.d.e. Hence it is neces-
sary to devise methods for analyzing the behavior of the solution of a given nonlinear o.d.e.
without relying on being able to find a closed-formsolution for it. The numerical solution of
o.d.e. 's is a well-developed subject in its own right, and it is not covered in the present book;
the interested reader is referred to any of the several excellent books on the topic, e.g., Gear
(1971). In this chapter, we content ourselves with a method for obtaining bounds on the
solution of a given equation without actually solving the equation. Using this method, it is
possible to determine, at each instant of time, a region in R
n
in which the solution of the
given equation must lie. Such a method is useful for two reasons: (i) By obtaining bounds on
the solution, one can draw conclusions about the qualitative behavior of the solution, and the
labor involved is considerably less than that needed to find an exact solution. (ii) The
bounds obtained by this method can serve as a check on approximate solutions obtained by
other means, e.g., numerical solution using a computer.
The study of nonlinear o.d.e.' s in general terms requires rather advanced mathematical
tools. The first two sections of this chapter are devoted to developing these tools.
2.1 MATHEMATICALPRELIMINARIES
This section contains an introduction to several concepts that are used subsequently,
such as linear vector spaces, normed linear spaces, Banach and Hilbert spaces, conver-
gence, and continuity.
2.1.1 LinearVectorSpaces
This subsection is devoted to an axiomatic development of linear vector spaces, both
real and complex. In most practical situations, it is enough to deal with real vector spaces.
However, it is sometimes necessary to deal with complex vector spaces in order to make the
theory complete. For example, a polynomial of degree n has n zeros only if one counts com-
plexzeros.
6
Sec. 2.1 Mathematical Preliminaries 7
Note that it is also possible to define a linear vector space over an arbitrary field (e.g.,
the binary field, the field of rational functions, etc.). However, such generality is not needed
in this book.
1 Definition A real linear vector space ( respectively, a complex linear vector space)
is a set V together with two operations: the addition operation +: VxV V and the multipli-
cation operation -: RxV V (respectively': CxV V), such that the following axioms
hold:
(VI) x +Y =Y +x, "ix, yE V (commutativity ofaddition).
(V2) x +(y +z) = (x +y) +Z, "ix, y, ZE V(associativity ofaddition).
(V3) There is an element Ov in V such that x +Ov=Ov+x =x, "ixE V (existence of
additive identity).
(V4) For each xe V, there exists an element denoted by -XE V such thatx +(-x) =Ov
(existence ofadditive inverse).
(V5) For each rl,rzER (respectively, CIoCzEC), and each XEV, we have that
r !'(rz'x) =(r 1rz)'x [respectively c ,'(czx) =(c I cz)'x],
(V6) For each rE R (respectively CEC) and each x, yE V, we have
r-(x +y) = r:x +roy[respectively c-(x +y) =C'X +C'yJ,
(V7) For each rio rzER (respectively,foreach Clo CzEC) and each xe V, we have
(r( +rz)-x=rl'x+rz'x.
(V8) For each XE V, we have lx =x.
I
This axiomatic definition of a linear vector space is illustrated by several examples.
2 Example The set R", consisting of all ordered n-tuples of real numbers, becomes a
real linear vector space if addition and scalar multiplication are defined as follows: If
X=(XIo'" ,x
n
) , Y=(Y 10"" Yn)ER
n
and risareal number, then
r'x =(rx I' "', rx
n
)
In other words, the sum of two n-tuples is obtained by component-wise addition, while the
product of a real number and an n-tuple is obtained by multiplying each component of the
n-tuple by the real number.
As a limiting case, it is interesting to note that R ( =R, the set of real numbers, is itself a
real linear vector space.
Now let C" denote the set of all ordered n-tuples of complex numbers, By defining
addition and scalar multiplication as above, one can make C" into either a real linear vector
space or a complex linear vector space, depending on the set of values to which the "scalar" r
8 Nonlinear Differential Equations Ch.2
is restricted to belong. This shows that whether a linear vector space is real or complex is
determined, not by the nature of the elements of the space, but by whether the associated set
ofscalars is the field ofreal numbers or the field of complex numbers.
3 Example Let F [a, b] denote the set of all real-valued functions defined over an inter-
val [a, b] in R. Thus a typical element of F [a, b] is a function 10 mapping [a, b] into R.
The set F [a, b] becomes a real linear vector space if addition and scalar multiplication are
defined as follows: Let xO and YO be two functions in F [a, b] and let rE R. Then x +y is
the function defined by
(x+y)(t)=x(t)+y(t), 'VtE[a, b],
(r'x)(t) = rx (t), 'VtE[a, b].
Thus the sum oftwo functions is obtained by point-wise addition and the multiple of a scalar
and a function is obtained by point-wise multiplication.
If one thinks of an n-tuple as a function mapping the finite set {I, ... , n} into R, then
one can see that the definition of addition and multiplication in F [a, b] are entirely analo-
gous to those in R".
4 Example The set F" [a, b) consisting of all functions mapping the interval [a, b) into
the set R" defined in Example (2) is a linear vector space if addition and scalar multiplica-
tion are defined as follows: Suppose xO and YO are functions in F" [a, b] and that rE R.
Then
(x+y)(t)=x(t)+y(t), 'VtE[a, b],
(r-x)(t) =r'x(t), 'Vte [a, b].
Note that the addition and the scalar multiplication on the right side are in accordance with
Example (2).
5 Example Let S denote the set of all complex-valued sequences {Xi} 1=0' Then Scan
be made into either a real or a complex linear vector space, by appropriate choice of the
associated set of scalars, if addition and scalar multiplication are defined as follows: Let
x ={Xi} and y ={Yi } be elements of the set Sand suppose rE R. Then
(X+Y)j=Xi+Yi, 'Vi,
I{ one thinks of a sequence as a function from the set of nonnegative integers into the set C,
then one can see that the linear vector space in the present example is entirely analogous to
bothC"andtoF[a, b].
Sec.2.1 Mathematical Preliminaries 9
6 Definition A subset M of a linear vector space V is called a subspace of V if M
satisfies two conditions:
I. lfx, ye M, then x +ye M.
2. IfxeM, reRorC, then r-xe M.
Roughly speaking, M is a subspace of Vif it is a linear vector space in its own right.
7 Example Let F [a, b] be as in Example (3). Let toe [a, b], and let Flo [a, b] denote
the subset of F [a, b] consisting of all functions xO in F [a, b] such that x (t 0) = O. In other
words, Flo [a, b] consists of all functions in F [a, b] that vanish at to. Then Fro [a, b] is a
subspaceofF[a, b].
2.1.2 Normed Linear Spaces
The concept of a linear vector space is a very useful one, because in that setting it is
possible to define many ofthe standard concepts that are useful in engineering such as linear
operators, and linear dependence. It is also possible to study the existence and uniqueness of
solutions to linear (algebraic) equations. However, the limitation is that there is no notion of
distance or proximity in a linear vector space. Hence it is not possible to discuss concepts
such as convergence or continuity. This limitation is the motivation for introducing the
notion of a normed linear space, which is basically a linear vector space with a measure of
the "length" ofa vector.
S Definition A normed linear space is an ordered pair (X, II II) where X is a linear
vector space and II II: X ~ R is a real-valuedfunction defined on X such that the following
axioms hold:
(Nl ) IIx II ~ O , VxeX; Ilx II =oif andonly ifx =Ox
(N2) IIOX II = lallIx II, VxeX, VaeRorC.
(N3) Ilx+y II s IIx II + lIy II, Vx,yeX.
The norm on a normed linear space is a natural generalization of the length of a vector
on R
2
or R
3
. Thus, given a vector x in a normed linear space (X, 11'11), the nonnegative
number Ilx II can be thought of as the length of the vector x. Axiom (Nl ) states that only the
zero vector has zero length, and that every other vector has positive length. Axiom (N2)
states that if a vector is "scaled" by multiplying it by a scalar, then the length of the vector
gets "scaled" by multiplying it by the magnitude of the scalar. The condition in (N3) is
known as the triangle inequality, and states that the length of the sum of two vectors is no
larger than the sum of their lengths.
9 Example Consider the linear vector space R", together with the function
I I I I ~ : R" ~ R defined by
10
10
l$i$"
Nonlinear Differential Equations Ch.2
(The reason for the subscript 00 will become clear later.) The function II II ee satisfies axioms
(NI) through (N3), as can be easily verified. In fact, (NI) and (N2) can be verified by
inspection. To verify (N3), suppose x = (x 1, "', x") and y = (y I' .. " y")E R". We know, by
the triangle inequality for real numbers, that
Therefore
1Xi+Yil
i
+maxly;1 =
; i
so that (N3) is satisfied. Thus the pair (R", is a normed linear space. The norm 1111 ee
is called the R".
11 Example Consider once again the linear vector space R", but this time with the func-
tion II II, : R" R+ defined by
"
12 IIxll,=Llxj l.
i=1
Clearly II III also satisfies (N I) and (N2). To verify (N3), supposex, yER". Then
" "
IIx+ylll = L1xi+Yil + IYil)
i=1 i=1
" "
= L1xil + LIYi 1= IIxH I + lIy ll l '
;=1 i=1
Hence the pair (R", 11'11
1)
is also a normed linear space. The norm II III is called the II -
norm on R".
It is important to note that, even though the underlying linear vector space is the same
in Examples (9) and (II), the normed linear space (R", II II, ) is a different entity from the
normed linear space (R", 1111
13 Example Consider once again the linear vector space R" , together with the function
1I'lI
p
: R" R defined by
"
14 llx ll , =[L Ix; IP]I/p,
i=1
where p is any number in the interval [I, 00]. Ifp = I, then 1111 p becomes the norm function
Sec. 2.1 Mathematical Preliminaries II
of Example (II), whereas if p 00, then 1111 p approaches the norm function of Example
(9). [This is the reason for the subscripts in Examples (9) and (11).] The function 1Ill
p
clearly satisfies the conditions (NI) and (N2), and can be shown to satisfy (N3) whenever
l<.:;,p <':;'00. Thus the pair (R", II lip) is a nonned linear space for each value ofp in the inter-
val [1,00]; of course, for distinct values of p we have distinct nonned linear spaces. The
norm II II p is called the lp -nonn on R
n

In particular, if p = 2, then
n
15
i=\
which is generally called the Euclidean norm on R". It is also called the 12-nonn on R".
The Euclidean norm is a particular example of a so-called inner product norm, which is
defined in Section 2.1.3. .
The norm II-II p can also be defined on the set C" in an entirely analogous fashion, sim-
ply by interpreting the quantity IXi I in (14) as the magnitude of the complex number I Xi I.
Thus the pair fC", II-lip) is also anonned linear space foreachpE [I, 00].
Both R n and C" are examples offinite-dimensional linear vector spaces. As a conse-
quence, it can be shown that, given any two norms 1111 a and 1111 b on R", there exist con-
stants k \ and k 2such that
For instance,
IIxlI_ <.:;, llx ll, <.:;,n IIxll_, 'v'xER
n
,
and
A similar relationship exists between any two norrns on R" and C" .
Suppose (X, 1111) is a nonned linear space, and that X, yE X. Then one can think of the
quantity IIx- y II as the distance between X and y. With the aid of this notion of distance (or
proximity), it is possible to define the notion of convergence in a nonned linear space set-
ting.
16 Definition A sequence {Xi}1=0 in a normed linear space (X, II II) is said to converge
tOXoEX if,for every E >0, there exists an integer N =N(E) such that
17 IIXi-XOIl <E, 'v'i'?N.
12 Nonlinear Differential Equations Ch.2
Tbe basic definition ofconvergence can be interpreted in many ways. The sequence of
"vectors" {Xi} converges toxo if and only ifthe sequence of real numbers {IIXi -Xo II}con-
verges to O. Alternatively, let B (x o,E) denote the ball in Xdefined by
18 B(xo, E)= {XEX: Ilx-xo" <E}.
1ben the sequence {x;} converges toxo if and only if, for each positive E, the ball B(xo, E)
contains aU but a finite nwnber ofelements ofthe sequence {Xi}'
1/1
Definition (16) gives a means for testing whether or not a given sequence {x;} con-
verges to a given element XOEX. In other words, to test for convergence using Definition
(16), it is necessary to have at hand a candidate for the limit of the sequence. However, in
many cases we generate a sequence {Xi} without knowing to what, ifanything, it might con-
verge. Thus it is desirable to have a criterion for convergence that does not involve a candi-
date for the limit in an explicit fashion. This is provided by the concept of a Cauchy
sequence.
19 Definition A sequence {Xi} ina normed linear space (X, IIII) is said to be a Cauchy
sequence if,for every E> 0, there exists an integer N =N(E) such that
20 lIx
i
- Xj II < E, whenever i, j N.
Thus a sequence is convergent if its terms approach arbitrarily closely afixed element,
whereas a sequence is Cauchy if its terms approach each other arbitrarily closely. The rela-
tionship between convergent sequences and Cauchy sequences is brought out next.
21 Lemma Every convergent sequence in a normedlinearspace is a Cauchy sequence.
,
Proof Suppose {Xi} is a convergent sequence in a nonned linear space (X, II II), and
denote its limit by Xo. To prove that the sequence is also a Cauchy sequence, suppose E > 0
is given; then pick an integer N such that
Such an integer Nexists, by Definition (16). Then, whenever i, j N, it follows from the tri-
angle inequality that
23
E E
IIx-x1I <-+-=E.
I J 2 2
Thus {Xi} is a Cauchy sequence.
Lemma (21) shows that if the elements of a sequence are getting closer and closer to a
fixed element, then in the process they must also be getting closer and closer to each other.
One can ask. whether the converse is true: If the elements of a sequence are getting closer
and closer to each othec, are they in fact getting closer and closer to a fixed element? In gen-
eral, the answer is DO. But some nonned linear spaces have the special property that every
Cauchy sequence in them is alsoconvergenL This property is so important that such spaces
Sec. 2.1 Mathematical Preliminaries 13
are given a special name.
24 Definition A nonned linear space (X, II II) is said to be a complete normed linear
space, or a Banach spac:e ifevery Cauchy sequence in (X, 11'11) converges to an element of
X.
Banach spaces are important for two reasons: (i) If (X, 1111) is a Banach space, then
every Cauchy sequence is convergent This property provides a means of testing whether a
sequence is convergent without having at hand a candidate for the limit of the sequence. (ii)
Even if a particular nonned linear space (X, 1111) is not complete, it can be made into a
Banach space by adding some elements; for obvious reasons, this processis known as "c0m-
pleting" the space. Thus, in most situations, it can be assumed without loss ofgenerality that
the nonned space at hand is complete.
25 Example Let [a, bJ be a bounded interval in R, and let C [a, bJ denote the set of all
continuous functions mapping the interval [a, bJ into R. Define a function
1I'lI
e:C[a,
Ifx(')EC[a, b),then
26 IIx()lI
e
= max Ix(t)1.
lEla. bl
Since the interval [a, b ] is assumed to be bounded. the maximum on the rigbt side is weIl-
defined and is finite for each X(')E C [a, b J. Now it is easy to verify that the function 1I'lI
e
verifies axioms (NI) and (N2). To verify axiom(N3). supposex(). y(.)E C[a, b). Then
IIx(')+y(') lie =max Ix(t)+y(t)1 :5;max(lx(/)1 + ly(/)1)
I I
:5;max Ix(t)1 + max ly(/)1 =IIx(')lI
e+
lIy(') lie,
I I
where all maxima are taken over [a, bJ Thus the pair (C[a. b J. II lie) is a normed linear
space. The norm 11'11 e is called the "sup" norm(for "supremum").
Note that a sequence of functions (x;(-)} in C[a, b} converges to a function
XOE C [a, bJ if and only if the sequence of real numbers (Xj(t)} converges to x (I) uni-
fonnly for all tE [a, b}. Now we know from advanced calculus that if each of the original
functions x;(-) is continuous and the convergence is uniform, then the limit function is also
continuous. Thus the space C [a, b J, II \Ic> is a Banach space.
The notion ofdistance in a normed linear space enables us to define continuity of func-
tions.
27 Definition LeI (X, II II x) and (Y, II II y) be two normed linear spaces, and suppose
f-: X Y. Then the function f is said to be continuous at x OE X if, for every E >0, there
exists a = x 0) such that
14 Nonlinear Differential Equations Ch.2
28 "f(x)- f(xo) II y < , whenever IIx-xo II
x
< O.
f is said to be continuous ifit is continuous at all xEX. Finally, fis said to be unifonnly
continuous if,for every e > 0, there exists a 0 = 0()such that
29 IIf(x)- fry) II y < e, whenever IIx-y II
x
< O.
The concept of a continuous function from one normed linear space to another is a
natural extension of the concept of a continuous real-valued function of a real variable. In a
general normed linear space setting, the norm plays the same role as the absolute value does
in the set of real numbers. The important difference between continuity and uniform con-
tinuity is that in the latter case 0 depends only on e and not on x.
It is fairly easy to show that iff: X Yiscontinuous atxOEX, and if {Xi} is a sequence
inXconverging tox0, then the sequence {f (Xi)} in Yconverges to f (x 0); see Problem 2.9.
The next example combines several of the concepts presented thus far.
30 Example Suppose 1111 is a given norm on R", and let en[a, b] denote the set of all
continuous functions mapping the interval [a, b] into R", where [a, b] is a bounded interval
inR. Define the function 1I'lI
e:
C[a, b] as follows: IfX(')E en[a, b], then
31 IIx(')lI
e
= max IIx(t)II.
lela, bl
To show that 1I'lI
e
is a norm on en[a, b], one proceeds exactly as in Example (25). Axioms
(NI) and (N2) are readily verified. To verify (N3), suppose x() and y(') belong to C[a, b].
Then
IIx(')+ y(.) lie = max IIx(t)+ y(t) II
I
:5max{ IIx(t) II + lIy(t) II} from the triangle inequality on R
n
I
:5max IIx(t) II + max lIy(t) II
I I
= IIx(')lI
e+
lIy(') lie,
where all maxima are taken as t varies over the interval [a, b]. Thus (N3) is satisfied and
11'11 e is a norm on en[a, b]. By the same reasoning as in Example (25), one can see that the
pair (en [a, b], II1Ic)is a Banach space.
In this example, it is essential to note the difference between 1111 and 1111 e; 1111 is a
norm on R", while 1111 e is a norm on the space en[a, b]. The former has an n-vector as its
argument, while the latter has a vector-valued function as its argument. When we study
nonlinear differential equations in Section 2.4, this difference becomes crucial.
Sec. 2.1 Mathematical Preliminaries 15
2.1.3 Inner Product Spaces
An inner product space is a special type of normed linear space in which it is possible to
define geometrically appealing concepts such as orthogonality and Fourier series. An inner
product space can be defined axiomatically as follows:
32 Definition An inner product space is a linear vector space Xwith associatedfield F,
together withafunction <.,. >: XxX ~ F such that thefollowing axioms are satisfied:
(II) <x, y > =<y, x> ifF=R <x, y > =<y, x> i!F=C, 'ilx, yex,
(12) <x, y +z> = <x, y> + <x, z>. 'ilx, y, ZEX.
(13) <x, ay> =a<x, y >, 'ilae F, 'ilx, yeX.
(14) <x, x> ~ 'ilxeX; <x, x> =Oifandonlyifx=Ox.
The quantity <x, y > is an abstraction of the familiar scalar product or dot product on
R
20rR3
.
An inner product space can bemade into a normed linear space in a natural way.
33 Theorem Given an inner product space (X, <.,. , define thefunction II II: X ~ R
by
112
34 II x II = <x, x>
Then II II is,a normon X. so that the pair (X, II II)is a normed linear space.
The proof of Theorem (33) depends on the following extremely useful inequality,
known as Schwarz' inequality.
35 Lemma (Schwarz' Inequality) Let x, y belong to the inner product space
(X, <','. Then
36 i<x,y>I:5llxll-llyll,
and
37 l<x,y>I=lIxll'lIyll
ifand only if the elements x, yare linearly dependent. i.e., there exist scalars a, ~ e F, not
both zero, such that ox +~ y = Ox
Proofof Lemma (35) The proof is only given for the case of a real linear vector space;
the case where F = Cis quite similar and is left as an exercise.
16
Consider the function
Nonlinear Differential Equations Ch.2
By Axiom (14), we have that f (a, p) 0 for all scalars a, p. Since f is a quadratic form in
these two scalars, it follows that f (a, p) 0 Va, pif and only if the discriminant of the qua-
dratic form is nonpositive, i.e.,
2
39 <x,y>
Taking square roots of both proves (36). Now suppose the vectors x and y are linearly
independent, i.e., that ax + 0 'whenever not both a and pare zero. Then f (a, P) > 0
whenever either a or pis nonzero. This is true if and only if the discriminant of the quadratic
form in (38) is negative, i.e., if
Taking square roots of both sides proves (37).
Proof of Theorem (33) One can verify by inspection that 1111 satisfies Axioms (N1)
and (N2). To verify (N3), suppose x, yE X. Then
IIx11
2
+ lIy 11
2
+211x '1I'lIy II (by Schwarz' inequality)
=(lix II + lIy II )2.
Taking square roots of both sides establishes the triangle inequality.
Theorem (33) shows that every inner product space can be made into a normed linear
space in a natural way. Hence it makes sense to ask whether an inner product space is com-
plete (in the norm defined by the inner product).
41 Definition An inner product space which is complete in the norm defined by the inner
product is called a Hilbert space.
43 Example Consider the linear vector space R", together with the function
<','>:R"xR" -s Rdeftnedby
"
44 <x, r> = L XiYi'
i=\
It is routine to verify that the function in (44) satisfies all four axioms of an inner product.
The norm on R" defined by the inner product is
Sec. 2.1
n
I/xl/ =[L IXi I
Z
] II2 ,
;=1
Mathematical Preliminaries 17
which is recognized as the Iz-norm defined in Example (13). Note that R
n
together with the
inner product defined in (44) is in fact a Hilbert space.
45 Example Let en[a, b] be the linear space of Example (30), and define the inner pro-
duct <',' >c on this space as follows: If xi-), y(-)E en [a, b], then let
b
46 <x(-), y('c =f<x(t),y(t dt,
a
where the inner product inside the integral is that on R
n
defined in Example (43). Once
again the function defined in (46) satisfies all the axioms of the inner product. However,
with this inner product, en [a, b] is not a Hilbert space; contrast this with the fact that
en [a, b] is a Banach space with the norm 1/'11 c defined in Example (30). To see that
en [a, b] is not a Hilbert space with the inner product in (46), pick a time T such that
a < T < b, and consider the function y(.) defined on [a, b Jby
{
O, ifa$t$T,
y;(t)= 1, ifT<t$b.
Define the Fourier series expansion ofy(t) in the familiar fashion, namely
y(t) = LPI sin 100t +ql cos 100t,
1=0
where 0>= 21r1(b - a). Then the Fourier series above converges to the discontinuous func-
tion y(.) in the mean-squared sense, i.e., in the sense of the normdefined by the inner product
of (46). Thus the partial sums ofthe Fourier series constitute a Cauchy sequence in the space
en [a, b] which does not converge (to an element ofthe space in question). Hence en [a, b]
is not a Hilbert space, even though it is an inner product space.
The completion of en [a, b] under the norm corresponding to the inner product (46) is
the space of Lebesgue-measurable, square-integrable functions mapping [a, b] into R",
and is denoted by [a, b]. The inner product on L
2
[a, b] is also defined by (46), except
that the integral must now be interpreted as a Lebesgue integral.
This section is concluded with two useful examples of continuous functions.
47 Lemma Let (X, 1/. 1/ ) be a normed linear space. Then the normfunction 1/. 1/ : X R
is uniformly continuous.
Proof Use Definition (27) of uniform continuity. Given any e >0, let 0() =e. To
show that the definition is satisfied with this choice, suppose x, yE Xand that
18
48
Then
I I
IlIx-yll,<O=E.
Nonlinear Differential Equations Ch.2
49 : IIxll-lIyll:< IIx-yll <E.
This completes the proof.
50 Corollary Suppose that (X, II II) is a normed linear space, and that {Xi} is a
sequence in X converging to XOEX. Then the sequence of real numbers { II Xi II} converges
to IIx
oll.
51 Lemma Suppose (X, <',' is an inner product space. Then. for each yE X. the
function mapping Xinto <x,y >: X R is uniformly continuous.
Proof If y =0, then <x, 0> ="tx E X, which is clearly a uniformly continuous func-
tion, so it is only necessary to study the case where y #0. Use Definition (27) of uniform
continuity, and given E> 0, define O(E) = filly II. Now suppose
52
Then
E
x, ZEX, andllx -z II < 0= IIYII'
53 I <x, y > - <z, y > I = I <x - z. y > I
$; II x - z II II y II, by Schwarz' inequality
E
<--'lIyll=E
lIy II .
This completes the proof.
Problem 2.1 Show that the zero element of a linear vector space is unique. [Hint:
Assume that the linear vector space V has two zero elements 0
1
and 02, and use Axiom
(V3).]
Problem 2.2 Show that, in a linear vector space, the additive inverse of an element is
unique.
Problem 2.3 Give an example of a set which is not a linear vector space.
Problem 2.4 Let S bethe sequence space of Example (5), and define a subset S, of S as
the set of all sequences converging to r. For what values of r is S; a subspace of S?
Problem 2.5 Consider the normed linear space R
2
, with the norm II II p defined in
Example (13). Sketch the unit spheres, i.e., the sets
Sec. 2.2 Induced Norms and Matrix Measures 19
for the valuesp = I, 2, 5, 00.
Problem 2.6 (a) Let 1111 be any norm on R", and let Xl' .. , X
m
be any collection of
vectors in R". Using the triangle inequality, show that
m m
IILXi II ~ l l x i l l
i=1 i=l
(b) Let e"[a, b) be as in Example (30). Using the Riemannian approximation to the
integral, show that
b b
IIf x( t) dt II ~ f IIx(t) II dt.
a a
Problem 2.7 Prove Schwarz' inequality for complex inner product spaces.
Problem 2.8 Suppose (X, <',.>)is an inner product space. Show that the inner pro-
duct function is jointly continuous in its two arguments; i.e., show that if {Xi}, {Yi} are two
sequences in X converging respectively to Xo and Yo, then the sequence of real numbers
{<Xi, Yi>} converges to <Xo, Yo>. [Hint: Write
and use Schwarz' inequality.]
Problem 2.9 Suppose Xand Yare normed linear spaces and that f :X ~ Yis continu-
ous at XOEX. Suppose {xd is a sequence in X converging to Xo. Show that the sequence
{f (Xi)} in Yconverges tof(xo)
2.2 INDUCED NORMS AND MATRIXMEASURES
In this section the concepts of the induced norm of a matrix and the measure of a matrix
are introduced. These concepts are used in Section 2.5 to derive estimates for the solutions
of nonlinear differential equations, without actually solving them.
2.2.1 Induced Norms
Let C"?" (respectively, R"Xn) denote the set of all nxnmatrices with complex (respec-
tively, real) elements. Then e
n Xn
can be made into a complex linear vector space if addition
and scalar multiplication are done componentwise. Moreover, for each matrix AEC'?"
there is a corresponding linear mapping afrom en into itself, defined by
1 a(x) = Ax, V'XE en.
Conversely, for every linear mapping a from en into itself, there is a corresponding matrix
20 Nonlinear Differential Equations Ch.2
AE e
nxn
such that (I) holds. Thus there is a one-to-one correspondence between matrices in
C'?" and linear mappings mapping en into itself. (Actually, this correspondence is one-to-
one only after the basis on en has been chosen. However, in this book such subtleties of
linear algebra are not explored.) We do not in general distinguish between a matrix in C'?"
and the corresponding linear mapping on en. However, this correspondence is the motiva--
tion behind the concept of the induced norm ofa matrix.
2 Definition Let II' II be a given norm on en. Then/or each matrix AE C"?", the quan-
tity IIAII;. defined by
3
II Ax II
IIAII;= sup -1-= sup II Ax II = sup II Ax II,
ll"O.llEC" I xII 1I111l=1 1I11IlSI
is called the induced (matrix) nonn ofA corresponding to the vectornorm II II.
It should be noted that there are two distinct functions involved in Definition (2); one is
the norm function 11'11 mapping en into R, and the other is the induced norm function II ~
mapping C"?" into R.
The induced norm of a matrix can be given a simple geometric interpretation. Equation
(3) shows that IIAII; is the least upper bound of the ratio II Ax II/II x II asx varies over en. In
this sense, IIAII; can be thought of as the "gain" of the linear mapping corresponding to A.
Alternatively,let B denote the closed unit ball in en; i.e., let
4 B= {XEC: IIxll:S; I}.
Now suppose ~ distort B by replacing each x in B by Ax, i.e., its image under the mapping
A. Then what results is the image of the set B under the mapping A. In this setting, the
induced norm II A II;of A can be thought of as the radius of the smallest ball in en that com-
pletely covers the image of B under A.
Lemma (5) shows that the function 11'11; is a valid norm on C'?",
5 Lemma For each norm 1111 on en, the induced normfunction 11'11; maps C'?" into
[0, 00), satisfies Axioms (N1) through (N3), and is there/ore a norm on C'?",
Proof It is clear that II A II;~ 0 'r;jAE C'?", and Axioms (NI) and (N2) can be verified
by inspection. To verify (N3), suppose A, BE cr. Then
6 IIA+BII;= sup II (A+ B)xII = sup IIAx+Bxll
1I111l=1 1I111l=1
s sup [IIAx II + II Bx II ] by the triangle inequality on en
1I111l=1
s sup II Ax II + sup IIBxll = IIAIl;+ IIBII;.
1I11IlSI 1I11IlSI
Hence (N3) is also satisfied, and thus 11'11; is a norm on e
nxn
.
Sec. 2.2 Induced Norms and Matrix Measures 21
In view of Lemma (5), is clear that, for each norm on en, there is a corresponding
induced norm on C'?", However, the converse is not true. Consider the function
1IlI
s
: e
nxn
-e Rdetined by
7 IIA lis= max I aij I .
'.J
Then one can verify that II IIs is a norm on C"?", Indeed, IIA IIs is simply the I co norm of the
n 2X I vector consisting of all the components of the matrix A. However, there is no norm on
en such that II IIs is the corresponding induced matrix nonn. This is a consequence of the
next result.
8 Lemma Let II IIj be an induced norm on e
nxn.
Then
Proof Bydefinition,
10 IIAB IIi = sup IIABx II.
IIxll = I
However, it follows from (3) that
11 IIAyll s IIAII(lIyll, '\fYEC.
So in particular,
12 IIABxlI s IIAII(IIBxlI, '\fXEC.
Similarly,
13 IIBxlI s IIBII(lIxlI, '\fXEC.
Combining (12) and (13) gives
14 IIABxlI s IIAII(IIBII(lIxll, '\fXEC.
Now (9) follows immediately from (14).
Thus induced norms have the special feature that they are submultiplicative; i.e., the
induced norm of the product of two matrices A and B is less than or equal to the product of
the induced norms of A and B. It can be readily verified by example that the norm 1111 s of
(7) does not have this property (and hence cannot be an induced norm),
In general, given a specific norm on en [say, for instance, the lp-nonn defined in Exam-
ple (2.1.13)], it is not always easy to find an explicit expression for the corresponding
induced norm on enxn_the equations in (3) serve more as definitions than as computable
expressions. However, the induced matrix nonns corresponding to the vector norms ~
11111> and 11.11
2
[as defined in Examples (2.1.9), (2.1.11) and (2.1.13) respectively] are
22 Nonlinear Differential Equations Ch.2
known and are displayed in Table 2.1. Note that A*denotes the conjugate transpose of the
matrix A. and Amax (M) denotes the largest eigenvalue of the Hermitian matrix M.
Table 2.1
Normon C"
II x II co = max IXi I
i
n

i=1
n
IIxll2 IXi 1
2
) 112
i=1
2.2.2 Matrix Measures
Induced Norm on C'?"
n
IIA laij I
I j=1
n
II A II il = max I aij I
J i=1
Let II II i be an induced matrix norm on C
nxn
. Then the corresponding matrix meas-
ure is the function C'?" R defined by
15
III+EAll
i
- 1
lim ----'----
E
Note that some authors use the term logarithmic derivative instead.
The measure of a matrix can be thought of as the directional derivative of the
induced norm function 1111 i. as evaluated at the identity matrix I in the direction A. The
measure function has several useful properties. as shown next.
16 Theorem Let II II i be an induced matrix norm on C
nxn
and let be the
corresponding matrix measure. Then has the following properties:
(Ml ) For each AE C'?", the limit indicated in (15) exists and is well-defined.
(M2) IIAll
i
TfAEcn
xn

(M3) TfAEC
nxn
.
(M4) + B) + TfA. BE cn
xn
.
(MS) is a convexfunction; i.e.,
TfaE [0. I], TfA. BE cn
xn
.
(M6) If').. is an eigenvalue ofAE C
nxn
, then
Sec. 2.2 Induced Norms and Matrix Measures 23
Proof Since II II j is a convex function on C'?", it can be shown to have a directional
derivative at every point in C"?" in every direction; see Eggleston (1966). However, a direct
constructive proof is given below. Fix AE C'?" and define
17
1I/+EAll j-I 1 1
I(E)= = II-/+AII;--, "iE>O.
E E E
Clearly 10 is continuous. It is shown that 1(E) is nonincreasing as E'"'"t 0+, and is bounded
below. This shows that
18 lim 1(E)=: Il(A)
-+0+
is well-defined. Towards this end, it is first shown that
19
Suppose 0 < 0 < E,and note that
20
Now, using the triangle inequality and the fact that II/II; = I, one obtains
21
1 1 1
= II-/+AII+---
E I 0 E
Rearranging (21) and using (20) shows that 1(0) (E). Hence 1(E) is nonincreasing as
E'"'"t 0+. Again, the triangle inequality shows that
22 I-EllA II; s 11/ +EA II; s I +EIIA II;, "iE> 0,
23 IIAII;, "iE>O.
Hence 1(E) is bounded below. By previous discussion, this shows that 1(E) has a well-
defined limit as E'"'"tO+. Therefore Il(A) is well-defined [Property (MI)] and satisfies Pro-
perty (M2). To prove (M3), observe that
24
24
Nonlinear Differential Equations
II 1+ wA II i-I II 1+ wA II i-I
Jl(aA) = lim = lim n -----
e ..... 0 a ..... O n
To prove (M4), we begin by showing that
Ch.2
25 Jl(A+ B) Jl(A) + Jl(B).
A slight rearrangement of (15) gives
26 Jl(A+B)= lim 1I1.1+A+BII;-1..
..... 0
But, for each e>0, we have
/'
27
I I I I I I
II-I+A+BII--= II-I+A+-I+BII----
e ' 2 2 ' 2 2
I+AII--
I]
+[11-
1
I+BII--
I]
2 '2 2 '2
Letting e 0+ in (27) proves (25). Now replace A by A + Band B by -B in the right side of
(25). Then in the left side of (25) A + B is replaced by A + B - B = A, which gives
28
or
By symmetry,
This establishes (M4). Now (M5) is a ready consequence of (M3) and (25). Finally, to
prove (M6), let Abe an eigenvalue of A, and let v be a corresponding eigenvector. Assume
without loss of generality that II v II = I, where II II is the norm on en which induces the
matrix norm IIII; on C"?": For each e >0, we have
31 1I/+All
i=
sup II(/+A)xll
11:<11 = I
11(/ +A)vll
= II +AI'lIvll = II +AI.
Similarly it follows that
Sec. 2.2 Induced Norms and Matrix Measures 25
32 Il-A.I s 11/ -AII;, ve > O.
Now, it is easy to verify that
II +A.I - I d
33 Re A. = lim , an
e ....0+
34 Re A. = _ lim I I - A.I - I .
.... 0+ E
Combining (31) to (34) establishes (M6).
Comparing the properties of the matrix measure and the induced matrix norm, we see
that, although both functions are convex, the similarity-almost ends there. The measure can
have positive as well as negative values, whereas a norm can assume only nonnegative
values. The measure is "sign-sensitive" in that Il(-A):;to Il(A) in general, whereas
II-A II i = IIA II i : Because of these special properties, the measure function, is useful in
obtaining tight upper bounds on the norms of solutions of vector differential equations.
Theorem (16) lists only some of the many interesting properties of the measure func-
tion. A more complete discussion can be found in Desoer and Vidyasagar (1975) and
Desoer and Haneda (1972).
In defining the measure of a matrix in C"?", we have assumed that the norm used in
(15) is an induced norm. It is possible, given any norm on C"?", to define a corresponding
measure function 11() mapping cr: into R. In this case, Properties (MI) through (M5) still
hold, but (M6) does not. Such a measure function is of no use in estimating the norm of a
solution to a vector differential equation; for such a purpose, only measures corresponding
to induced matrix norms are useful.
In most applications, such as those involving differential equations, the linear vector
space in question is R", and the matrices of interest belong to R
nxn
. Suppose 1111 is a norm
on R", and let II IIi denote the corresponding induced matrix norm defined on R
nxn
; sup-
pose we define the corresponding matrix measure 11() as in (15), except that now Ae R
nxn
and II II; is only defined on R
nxn
. What properties does such a measure function have? An
examination of the proofs of Properties (Ml) through (M5) of Theorem (16) reveals that
they carry over without modification to the case of real matrices. However, in proving Pro-
perty (M6), essential use was made of the fact that the space in question is en and not R",
since in general the both the eigenvalue A. and eigenvector v could be complex. To get
around this difficulty, one can "extend" the given norm on R" to a norm on en. The details
are not given here, but it can be shown that even Property (M6) is true for such a measure
(see Problem 2.12). This can be summarized as follows:
35 Theorem Let 1111 be a norm defined on R", and let and
110: R
nxn
R be defined in a manner analogous to (2) and (/5), respectively. Then 110
satisfies Properties (M/ ) through (M6) ofTheorem (/6).
26 Nonlinear Differential Equations Ch.2
Given a particular vector norm 1111 on C" (or R"), it is in general a difficult task to
obtain an explicit expression for the corresponding induced matrix norm (as mentioned ear-
lier), and it is therefore still more difficult to obtain an explicit expression for the
corresponding matrix measure. Nevertheless, the measure. functions corresponding to the
norms II11" II liz, and 1111 can be calculated, and are displayed in Table 2.2 below.
Table 2.2
Norm on C"
II x II co = max IXi I
i
n
IIxlll = Llxi I
i=1
n
IIxllz=(LlxiIZll2
i=1
36 Example Let
[
-62 I]
A= 0 -I 2 .
I 3 0
Matrix Measure on c
nxn
= max [au + L Iaij I]
I j#
Ilt(A)=max [ajj + L1aij I]
J i"l'j
Ilz(A) = A.max(A*+ A)12
Using the formulas given in Table 2.2, one obtains by inspection that
11, (A) =4, III (-A) = 7;
=4, = 9;
Using Property (M6) of Theorem (35) to estimate the real parts of the eigenvalues of A, one
obtains
using the measure Ill, and
using the measure The actual eigenvalues of A are
{-6.0426, -3.1271, 2.1698}.
Hence the smallest interval which contains the real parts of all eigenvalues of A is
[-6.0426,2.1698]. So the estimate obtained above, namely [-7, 4] is not too bad. Tocom-
plete the picture, let us compute the measure Ilz. This gives
Sec. 2.2 Induced Norms and Matrix Measures 27
l.ldA)=2.289,I-ld-A)=6.245.
This implies that
-6.245 $ReA.;$2.289.
This estimate is almost exactly accurate. But of course it requires more work than comput-
ing either of the two measures III or I l ~ Moreover, in another example some other measure
might give a better bound.
Problem2.10Calculate the matrix norm II A II; and the measure Il(A) corresponding to
each of the vector norms 1/. Ill' II 11
2
, and IIII ~ for each of the matrices below:
[
-4 I I] [4 -2 I]
A= 2 0 -2 , 2 -5 -3 .
I -3 -6 -2 0 0
Compute an interval in the real line containing the real parts of all the eigenvalues of A using
Property (M6) ofTheorem (16). Compare with the exact answer.
Problem 2.11 Suppose Me R
n xn
is a nonsingular matrix, and define a norm 11'11 M2 on
R
n
as follows:
Show that the corresponding matrix measure on R
nxn
is given by
where P =M'M. Suppose we define the vector norms
Obtain explicit expressions for the corresponding the matrix measures.
Problem2.12Prove Theorem (35).
2.3 CONTRACTIONMAPPINGTHEOREM
In this section, we state and prove a very important theorem, which is used in Section
2.4 to derive the existence and uniqueness of solutions to a class of nonlinear vector dif-
ferential equations.
The theorem proved here is generally known as the contraction mapping theorem (or
sometimes the Banach fixed point theorem), and is usually given in two forms: the global
version and the local version. The local version assumes weaker hypotheses than the global
version, and obtains correspondingly weaker conclusions. The global version is given first.
28 Nonlinear Differential Equations Ch.2
Note that, hereafter, the terms mapping, function, and operator are used interchange-
ably. Also, if T is a (possibly nonlinear) mapping, we write Tx instead of T(x) in the
interests of clarity.
2.3.1 Global Contractions
1 Theorem (Global Contraction Mapping) Let (X, II II) be a Banach space, and let
T: X~ Suppose there exists afixed constant p < I such that
2 IITx- Ty II ~ p IIx-y II, '<::Ix, yEX.
Under these conditions, there exists exactly one X*EX such that Tx* =x*. For each XOEx'
the sequence {x
n
} inXdefined by
converges tox*. Moreover,
4
Remarks An operator T satisfying the condition (2) is known as a contraction,
because the images of any two elements x and y are closer together than x and yare. More-
over, Tis a global contraction, since (2) holds for all x, y in the entire space X. An element
XEX such that Tx* =x* is called a fixed point of the mapping T, sincex* remains fixed when
the mapping T is applied to it. Theorem (l) asserts that every contraction has exactly one
fixed point inX. Moreover, this fixedpoint can be determined simply by taking any arbitrary
starting point XOEX and repeatedly applying the mapping T to it. Finally, (4) provides an
estimate of the rate of convergence of this sequence to the fixed point. Note that the bound in
(4) decreases by a fixed ratio (namely p) at each iteration; such convergence is known as
"linear convergence."
Proof Let xuEXbe arbitrary and define the sequence {x
n
} as in (3). It is first shown
that the sequence is a Cauchy sequence. For each n ~ 0, it follows from (2) that
Suppose m = n +r, r ~ 0, is given. Then it follows from (5) that
,-1
s ~ IIXn+i+1 -Xn+i II
i=O
Sec. 2.3 Contraction Mapping Theorem
r-l
s Lpn+i IITxo -Xo II
i=O
s I:pn+iIIt; -Xo II = ~ IIts; -Xo II.
i=O 1-P
29
Now; as n ~ 00, the quantity p" approaches zero. Hence it is clear from (6) that IIx
m
-X
n
II
can be made arbitrarily small by choosing n sufficiently large. Hence {x
n
} is a Cauchy
sequence, and since X is assumed to be a Banach space, the sequence converges to an ele-
ment of X. Let x* denote this limit. Now, using Definition (2.1.27) of uniform continuity,'
one can show that Tis a uniformly continuous mapping. Therefore, by Problem 2.9,
7 Tx* = T( lim x
n)
= lim TX
n
= lim Xn+1 =x*.
~ o o ~ o o ~ o o
Hence x* is a fixed point of T. To show that it is the only fixed point of T, suppose xe X is
another fixed point of T, i.e., that Tx =x. Then, by (2),
8 IIx*-xll=IITx*-Txll::::;pllx*-xll.
Since p < I, this inequality can be satisfied only if IIx* -x II =0, i.e., if x* =x. Finally, to
prove the estimate (4), consider the inequality (6), and let m ~ 00. Since the norm function
is continuous, it follows that
9 IIx* -X
n
II = II lim X
m
-X
n
II
~ ~
pn
= lim IIX
m
- X
n
\I ~ -- IITx 0 - x 0 II,
~ ~ I-p
where we have used the fact the right side of (6) is independent ofm.
Note that in general it is not possible to replace (2) by the weaker condition
10 IITx-Ty II < IIx-y II, '\Ix, yeX, wirh.r e y.
It is easy to show that any mapping satisfying (10) can have at most one fixed point, but quite
possibly it may not have any at all. As a simple example, letX = R, and define f: R ~ R by
11 f (x) =x + ~ -tan-
1
(x),
and define Tx =f (x). Then
12
I
!(x)= 1- --2< I, '\IxeR
I+x
By the mean-value theorem,
30 Nonlinear Differential Equations Ch.2
13 f (x)-f (y) =f(z) (x - y) for some ZE (x.y),
Hence T satisfies (10). However, it follows from (11) that f (x) =x if and only if
tan-
1(x)=7tI2.
Clearly no such x exists. Hence Thas no fixed point in R.
14 Example Letf: R R be a continuously differentiable function, and suppose
sup If(x) I :=p < 1.
xelk
Then, by the mean-value theorem, it follows as in (13) thatfis a contraction on R. Thus, by
Theorem (1), there is a unique number X*E R such thatf (x*) =x*. Moreover, this number
can be determined as the limit of the sequence {x"} obtained by choosing any arbitrary
XOE R and repeatedly applying the function f The sequence of points so obtained is dep-
icted-in Figure 2.1.
y
I X2 =!(xi )
"""'--__--...... -- X 3 =l(x2)
Fig. 2.1
2.3.2 Local Contractions
The applicability of Theorem (1) is limited by the fact that the operator Tis required to
satisfy (2) for all xe X. In other words, Thas to be a global contraction. In Theorem (15), we
examine the case where T satisfies (2) only over some region M in X, i.e., the case where Tis
a local contraction, and derive correspondingly weaker results.
15 Theorem Let (X, II II) be a Banach space, let M be a subset ofX, and let T: M X.
Suppose there exists a constant p < 1such that
16
and suppose there exists an element XOE M such that the ball
17
IITxo-xoll
B={xEX: )
1-p
is contained in M. Under these conditions, T has exactly one fixed point in M. Ifx* denotes
Sec. 2.3 Contraction Mapping Theorem 31
thefixed point ofTinM, then the sequence {x
n
} definedby
converges tox*. Moreover,
19 IIx
n
-x* 1I:5;.L IITxo-xo II, "In ~
I-p
Remarks
I. The significance of Theorem (15) lies in the fact that Tis only required to be a con-
traction over the set M, not all of X. The price paid for this weaker hypothesis is
that the conclusions ofTheorem (15) are also 'weaker than those of Theorem (I).
2. Everything is contingent on finding a suitable element x OE M such that the ball B
defined in (17) is contained in M. In effect, this means that we must be able to find
an element x 0 in M such that repeated applications of T to x 0 result in a sequence
that is entirely contained in M. Even if T satisfies (16), it may not be possible to
find such an element x o- For example, let X = R, and let T: R ~ R be the function
defined by
{
2, if Ix I :5; I
20 Tx = 0, if Ix I > I'
If Mis chosen as the interval [-I, I], then Tis a contractiorrover M. However, it is
not possible to find an x OE M such that the ball B defined in (17) is contained in M.
Accordingly, Thas no fixed point inM.
3. Suppose we do succeed in finding an x OE M such that the hypotheses of Theorem
(15) hold. Then the particular sequence defined in (18) converges to the unique
fixed point x* of Tin M. However, if we choose another starting point for the
iteration, there is no guarantee that the resulting sequence will converge to x*. In
contrast, if Tis a global contraction, then the sequence defined in (3) converges to
x* converges for every starting point. There is one small consolation: If the
sequence of iterations remains in M, then it must in fact converge to x*; see
Theorem (22) below.
Proof First, it is clear from (16) that T has at most one fixed point in M. If x OE Mis
chosen in such a way that the ball B defined in (17) is contained in M, then it follows that the
sequence {x
n
} defined in (18) stays in B for all n; to see this, apply the inequality (6) with
n =0. Because the contraction condition holds in B, one can show, just as in the proof of
Theorem (I), that {x
n
} is a Cauchy sequence in Xand therefore converges to an element of
X. Denote this limit by x*; then a routine application of the continuity of the norm function
shows that the limit must also belong to B and hence to M. The rest of the proof exactly fol-
lows that of Theorem(I).
32 Nonlinear Differential Equations Ch.2
21 Example Consider once again the case where X =R, and let f :R ~ R be continu-
ously differentiable. Suppose
sUf 1!(x)1 :=p< 1,
XE[- ,I]
and thatthere exists an xOE [-I, I] such that
[
f(xo)-xo f(xo)-xo]
B= xo- ,xo+ !::[-I,I].
I-p l-p
Then Theorem (15) tells us thatthere is a uniquex*E [-I, I] such thatf (x*) =x*, and thatx*
is the limit of the sequence {xo./ (x 0)'/ [f (xo)], ... }. The situation is depicted in Figure
2.2.
This section is concluded with another theorem whose hypotheses and conclusions lie
between those of Theorems (1) and (15). This theorem is convenient for later applications.
,
Fig. 2.2
y=x
x
22 Theorem Let (X, II II) be a Banach space, and let B be a closed ball in X, i.e., a set of
thefonn
23 B= {x: IIx-z II $r}
for some ZEXandr ~ Let T: X~ X bean operator satisfying thefollowing conditions: (i)
Tmaps B into itself, i.e., TXEB whenever XE B. (ii) There exists a constant p < I such that
24 IITx-Tyll$pllx-yll,"'iIx,yEB.
Under these conditions, T has exactly one fixed point in B. Ifx* denotes the fixed point ofT
Sec. 2.4 Nonlinear Differential Equations 33
inB, thenfor each xse B, the sequence {x
n
}defined by
converges tox*. Moreover
26
The proof is obvious from Theorem (15).
The difference between Theorems (15) and (22) is that in the latter case Tis assumed to
map the entire ball B into itself, whereas in the former case it is only assumed that for a par-
ticular point xoEB the sequence of iterations is contained in B. As a consequence, in the
latter case one can start from an arbitrary starting point in B to compute x *.
Preblem2.13 Give a detailed proof of Theorem (22).
2.4 NONLINEAR DIFFERENTIALEQUATIONS
In this section, we derive some general and very useful conditions which guarantee the
existence and uniqueness of solutions to the nonlinear differential equation
1 x(t)=t1t, x(t)], t20;X(0)=Xo,
where X(t)E R" and f: ~ x n ~ R". As shown in Chapter I, the existence and uniqueness
! of solutions to (I) is not guaranteed unless some restrictions are placed on the nature off. By
a solution of (1) over an interval [0, T], we mean an element x() of C[O, T] such that (i)
x() is differentiable everywhere, and (ii) Equation (I) holds at all t.
We first establish some conditions under which (I) has exactly one solution over every
finite interval [0, 43] for sufficiently small 43, i.e., conditions for local existence and unique-
ness. Then we present stronger results which guarantee global existence and uniqueness,
i.e., conditions under which (I) has exactly one solution over [0, 00).
One small point is to be cleared up before we proceed to the theorems. First, ifxO is a
solution of (I) over (0, T] and fis continuous, then x() also satisfies the integral equation
I
2 x(t) = Xo +Jt1't, x('t)] dt, tE [0. T].
o
On the other hand, if X(')E Cn[O, T] satisfies (2), then clearly x(') is actually differentiable
everywhere and satisfies (I). Thus (1) and (2) are equivalent in the sense that every solution
of (I) is also a solution of (2) and vice versa.
34 Nonlinear Differential Equations Ch.2
2.4.1 Local Existence and Uniqueness
3 Theorem (Local Existence and Uniqueness) Suppose the function fin (1) is fEn-
t and x and satisfies the following conditions: There exist finite constants T, r, h,
and k such that
4 IIf(t, x)-f(t, y)II:S:kllx-yll,'Vx,yEB, 'VtE[O,T],
5 IIf(t, '(0)11 :S:h, 'VtE[O, T],
where B isa ball in R
n
oftheform
Then (1) has exactly one solution over [0, whenever the number is sufficiently small to
satisfy the inequalities
7 hOexp s r,
and
8 {T, .., -h r
k
}
k + r
for some constant p < 1.
9 Remarks
1. While following the proof of Theorem (3), it is important to keep in mind the dis-
tinction between 1111 (which is a norm on R"), and II IIc- (which is a nonn on
en[0, Also, it should be noted that B is a ball in R", while S defined in (10)
below is a ball in en[0, S].
2. The condition (4) is known as a Lipschitz condition, and the constant k is known
as a Lipschitz constant. Notice that we say a Lipschitz constant, because if k is a
Lipschitz constant for the function f, then so is any constant larger than k. Some
authors reserve the termLipschitz constant for the smallest number k such that (4)
is satisfied. A function that satisfies a Lipschitz condition is said to be Lipschitz-
continuous. Note that a Lipschitz-continuous function is also absolutely continu-
ous [see Royden (1963)] and is therefore differentiable almost everywhere.
3. Equation (4) is known as a local Lipschitz condition, because it holds only for all
x, y in some ball around "0, for tE [0, T]. Accordingly, Theorem (3) is a local
existence and uniqueness theorem, because it guarantees existence and unique-
ness of solutions over a sufficiently small interval Note that, given any
finite constants k, r, T and h, (7) and (8) can always be satisfied by choosing
sufficiently small.
Sec. 2.4 Nonlinear Differential Equations 35
Proof By a slight abuse of notation, we use "0(-) to denote the function in en[O, 0]
whose value is "0 for all tE [0,0]. Suppose 0 satisfies (7) and (8), and let S be the ball in
en[O, 0] defined by
10 S= {X(-)Een[O, 0]:
Let P denote the mapping of en[0, 0] into itself defined by
11 (Px)(t) = "0 +f ITt, x('t)] dt; 'VtE [0, 0].
o
Clearly x(-) is a solution of (2) over the interval [0, 0] if and only if (Px)(') = x('), i.e., x() is a
fixed point of the map P.
It is first shown that P is a contraction on S. Let x() and y(.) be arbitrary elements of S;
then x(t) and y(t) lie in the ball B, for all tE [0,0]. Thus
12 (Px)(t) - (Py)(t) = f{f['t, x('t)] - f['t, y('t)]} dt;
o
13 II(Px)(t) - (Py)(t) II sf IIf['t, x('t)] - f['t, y('t)] II d't
o
I
sf k IIx( t) - y( t) II d't
o
IIx(') -y(.) IIc
s PIIx(-) -y(.) IIc-
where in the last line we have used the fact that kt k 0 p by (8). Because the last term on
the right-hand side of(13) is independent oft, it follows that
14 II(Px)(-)-(PY)Ollc= sup II(Px)(t)-(Py)(t) II
IE [0.1)]
This shows that P is a contraction on S.
Next it is shown that P maps Sinto itself. Suppose 'I:(')E S. Then
36 Nonlinear Differential Equations
?(l{,A) U<A-6
y;
15 II(Px)(t) - "0 II = IIJf['t, x('t)] d't II
o
= "J{f['t, x('t)-f('t, "o)+f('t, "o)} d'tll
o
1If['t,x('t)]-f('t,"o)1I + IIf('t,"o)II}d't
o

hb t PM [Olr; J
by (8). Hence

16 II(Px)(')-"oOllc= sup II(Px)(t)-"o II

lelO,O]
Ch.2
This shows that PXES, so that Pmaps S into itself.
Now, since P maps S into itself and is a contraction on S, it has exactly one fixed point
in S, by Theorem (2.3.22). Our objective, however, is to show that P has exactly one fixed
point in en[0, 0], not just S (the point being that S is a proper subset of en[0, 0)). Thus the
proof is completed if it can be shown that any fixed point ofP in en[0, 0] must in fact lie in S.
Accordingly, suppose X(')E en[0,0] satisfies (2). Then x(O) = "oE B. Also, since x() is con-
tinuous, it follows that X(t)EB for all sufficiently small t. Now it is shown that X(t)E B for all
te [0, 0]. To show this, assume the contrary, namely that there exists a time toE (0,0) such
that x(to) does not belong to B, i.e., II'x(to)-"o II> r. Since IIx(t)-"o II is a continuous
function of t and since IIx(O)- "0 II =0, there is a unique first time a. < to < 0 with the pro-
pertythat
17 IIx(t)-"o II < r, 'ttE [0, n), and IIx(o.)-"o II =r.
Now, since x(-) satisfies (2), we have
I
18 IIx(t)-"o II = J f['t, x('t)] dt
o
= J {f[r, x('t)] - f('t, '(0) + f('t, "o)} dt; 'ttE [0, a.],
o
I
19 IIx(t)-"o II J k IIx(t)-"o II dtw ht
o
Sec. 2.4 Nonlinear Differential Equations
I
S; n+f k IIx(t) - Xo II dt, '\ItE[0, a].
o
37
Equation (19) gives an implicit bound for the quantity IIx(t) - Xo II. This implicit bound can
be replaced by an explicit bound, using a result known as the Gronwall inequality [see
Lemma (5.7.1)]. Applying this inequality to (19) gives
20 IIx(t)-XoIIS;haexp(ka), '\ItE[O,a].
In particular, then,
21 IIx(a) -Xo II S;haexp (ka) < hoexp (kO)S; r, by (7).
But (21) contradicts (17). This shows that, if any function X(')E en[0, 0] satisfies (2), and 0
is sufficiently small that (7) holds, then xO must necessarily belong to S. Thus we have
shown that any fixed point of Pin C" [0, 0] must in fact be in S. Since P has exactly one fixed
point in S, it follows that Phas exactly one fixed point in Cn[O, 0]. By the manner in which P
is defined, we conclude that (2) has exactly one solution over [0, 0].
The following result is actually a corollary to Theorem (3), but is in a form that can be
readily applied.
22 Corollary Consider the differential equation (1). Suppose that in some neighbor-
hood of (0, Xo) the function f(t, x) is continuously differentiable. Then (1) has exactly one
solution over [0, 0] provided0is sufficiently small.
Proof The differentiability properties assumed on f ensure that f satisfies (4) and (5)
for some set of finite constants r, T, k and h.
Thus far we have studied the existence and uniqueness of solutions to (I) over closed
intervals of the form [0,0]. The reasons for this are primarily technical. For example,
C" [0, 0] is a Banach space, but C" [0, 0) is a much more tricky object. But now consider the
following question: Suppose f(t, x) is continuously differentiable everywhere. What is the
largest interval over which (I) has a unique solution? Looking back over the proof of
Theorem (3), one can see that the proof is equally valid ifthe initial time is changed from 0 to
an arbitrary time to, and all hypotheses are adjusted accordingly. Thus, if (I) has a unique
solution over some interval [0, 0] [which it will, by Corollary (22)], then one can again apply
Corollary (22) with 0 as the initial time and x(O)as the initial state, and conclude that there is
a unique solution to (I) over some interval [0,0']. Thissolution can be concatenated with
the earlier solution over [0, 0] to construct a unique solution to (I) over the larger interval
[0,0']. But the process can be repeated yet again with 0' as the initial time and x(O') as the
initial state. Since this process can be repeated indefinitely, we see that there is no largest
closed interval over which (I) has a unique solution. Instead, there is a number Omax (which
may equal infinity) such that (I) has a unique solution over every closed interval [0, 0] in the
half-open interval [0, Omw,); this solution is called the maximal solution. Now, what can
happen as t ---? Omax? If Omax is finite and if x(t) remains well-behaved as t ---? Omax and
38 Nonlinear Differential Equations Ch.2
approaches some finite vector x
max
' then one can again apply Corollary (22) with 8
max
as the
initial time and X
max
as the initial state, and thereby extend the solution still further in time,
'Whichcontradicts the definition of 8
max
Thus, if 8
max
is finite, then II x(t) II must approach
infinity as t 8
max
This discussion can be summarized as follows:
23 Corollary Consider the differential equation (1), and suppose that (t, x) is continu-
ously differentiable everywhere. Then there exists a unique number 8
max
=8
max
("0), which
could equal infinity, such that (1) has a unique solution over [0, 8
max
) and over no larger
interval. If'Omax isfinite, then II x(t) II 00 as t 8
max
.
24 Example Consider the scalar differential equation
x(t)= I +x
2,x(0)=0.
Then 'Omax =1rI2, and the maximal solution is
x(t)=tant.
Predictably, x (t) 00 as t 1rI2.
A solution x(t) with the property that II x(t) II 00 as t approaches some finite time is
said to exhibit finite escape time.
Another question one can ask about the differential equation (1) is this: Is it possible to
solve (I) for negative values of t? The answer, underthe hypotheses of Theorem (3), is yes.
In fact, if one is interested in solutions of (1) for both negative as well as positive values of t,
then Corollary (23) should be modified to speak of a maximal interval (-8
min
, 8
max
) ' rather
than a half-open interval. Generally speaking, in control theory one is usually not interested
in solving for the past behavior of a system, only its future. Thus the topic is not pursued
further in this book. However, in the theory of dynamical systems, one is often interested in
both the past as well as the future of a system. The interested reader is referred to Hirsch and
Smale (1974) for further details.
2.4.2 Global and Uniqueness
In this subsection, we show that (loosely speaking) iff satisfies a global Lipschitz con-
dition, then (1) has a unique solution over all time.
25 Theorem (Global Existence and Uniqueness) Suppose thatfor each TE [0, 00)there
exist finite constants k
T
andh
T
such that
26 1I(t, x)-(t, y)1I V'x,YER
n
, V'tE[O, T],
27 II (t, '(0)11 V'tE[O, T].
Then (1) has exactly one solution over [0, 00).
Sec. 2.4 Nonlinear Differential Equations 39
Remark Recall that by a solution over [0,00) we mean a solution over [0, T] for each
finite T.
Proof We give two alternate proofs.
Proof No.1 Let T < 00 be specified, and let k
T
and h
T
be finite constants such that (26)
and (27) hold. Then the hypotheses of Theorem (3) are satisfied with r =00. In this case (7)
holds for all O. Thus, by Theorem (3), it follows that (I) has a unique solution over [0, 0]
whenever 0 satisfies
28
for some constant p < I. Suppose a positive number 0 satisfying (28) is chosen. If T:50,
then by Theorem (3) there is a unique solution over [0, T], so suppose T> O. Now (I) has a
unique solution over [0,0]. Denote this solution by Xl (-), and consider the "shifted" dif-
ferential equation
29 x(t) = fdt, x(t)], x(O) = XI (0),
where
30 f
1
(t, x) = f(t +0, x).
Then f
1
also satisfies (26) and (27); therefore once again by Theorem (3), (29) has unique
solution over [0,0], where 0 is the same as before. Denote this solution by Y2 ('). It is easy to
verify that ~ function X2 (.) defined by
{
XI (t ), 0:5t:50
31 X2(t)= Y2(t-0),0:5t:520
is the unique solution of (1) over the interval [0,20]. Proceeding by induction, let x",(-)
denote the unique solution of (l) over the interval [0, mol, and consider the differential
equation
32 x(t)=f",[t, x(t)], x(O)=x",(mO),
where
33 f",(t, x)=f(t+mo, x).
Let Y",+I denote the unique solution of (32) over the interval [0,0] (the same 0 as before).
Then the function Xm+1 (-) defined by
40
34
Nonlinear Differential Equations
{
Xm(t ), OS:tS:mO
Xm+l(t)= Ym+l(t-mO), mOS:tS:(m+l)o
Ch.2
is the unique solution of (I) over the interval [0, (m+I )0]. In this manner, the unique solu-
tion can be extended to all of [0, T].
Proof No. 2 Let T < 00 be given, let P: Cn[O, T] ~ Cn[O, T] be given by (II), and let
Xo(-) denote (as before) the element of Cn[O, T] whose value is Xo for all tE [0, T]. It is
shown first that the sequence (pmXo(-)};;;=l is a Cauchy sequence in Cm[O, T] and that it
converges to a solution of(2).
Let x
m
( ) = (pm
Xo)().
Then we have, first,
I
35 Xl(t)-Xo(t)=Jf('t, Xo)d't,
o
I
36 IIxl (t ) - Xo (t )II sJIIf('t, Xo)1I d'tS:hTt.
o
In general, for m ~ I, we have
I
37 IIx
m+l(t)-Xm(t)II
sJ1If['t, Xm('t)]-f['t, Xm-l('t)] II d't
o
I
S:k
T
JIIX
m('t)-Xm_l('t)
II di.
o '
Substituting (36) into (37) and proceeding by induction gives
38 IIx
m(t)-xm_l(t)
II S:k';-lh
T
4.
m.
Thus for any integerp ~ 0 it follows that
p-I
39 IIx
m+p(t)-Xm(t)
II s L IIX
m+i+l(t)-Xm+i(t)
II
i=()
p-I . tm+i+1
~ km H _
- ~ T T (m+i+l)!
m+p i
= ~ h k
i
-
1
.!..-
4.J T To,'
i=m+1 I.
Sec. 2.4 Nonlinear Differential Equations 41
m+p r' T'
< "" h k
i
- ( - < "" h k,-I-
-,L., TT .,-,L., TT .,.
i=m+1 I. i=m+l I.
Now consider the sequence of sums
41

,L.,TT .,
i=O I.
As m 00, this sequence converges to (hTIk
T)
exp (kTT). Moreover, the last term in (40) is
the difference between this limit and the partial sum in (41) and therefore converges to zero.
Thus by choosing m sufficiently large this sum can be made arbitrarily small. This shows
that {x
m
(-) } is a Cauchy sequence in en[O, T]. Since en[O, T] is a Banach space, the
sequence converges to a limit in en[O, T]. Denote this limit by x*().
Whenever z( (-) and Z2(-) are two elements in en [0, T], we have
r
42 (Pz
1)(t)-(Pz2)(t)=
f{f['t, z('t)]-f['t, z2('t)]} di;
o
43 IIir, )(t) - (Pz
2
)(t ) II s f IIf['t, Zl (r) - f['t, z2('t)] II d't
o
Since kTTis a finite constant, it follows that P is uniformly continuous on en [0, T]. Hence if
{x
m
(.) } converges to x*, it follows that
45 (Px*)(-)= lim (Px
m)(-)=
lim xm+,(-)=x*().

This shows that x*(.) is a solution of (2).
Next, to show that x*is the only solution to (2), suppose y(.) also satisfies (2). Then
46 y(t) -x*(t) =f{f['t, y('t)]-f['t, x*('t)]} ds, 'itE [0, T],
o
42 Nonlinear Differential Equations Ch.2
I
47 lIy(t) -x*(t) II s k
T
f IIy('t) - x*('t) II ds, \itE [0, T].
o
Applying Gronwall's inequality (Lemma (5.7. l)] to (47) gives
48 lIy(t)-x*(t) II =0, \itE[O, n.
Thus y(.) =x*O, i.e., x*O is the unique solution ,of(2).
49 Remarks
1. The sequence {pm"oO} that converges to the solution x*() of(2) is known as the
sequence of Picard's iterations, and this method of generating a solution to (2) is
known as Picard's method. Actually, it is easy to show that Picard's iterations
converge starting from any arbitrary starting function in en[0, n and not just
"00.
2. Note that some authors assume that f(t, 0) = 0 \it ~ O. This assumption, together
with (4), implies (5), because then IIf(t,"o)II ~ k T I I o I l However, in "forced"
nonlinear systems, it is not necessarily true that f(t, 0) = 0 \it. The present
development does not require this assumption.
We next prove two theorems regarding the solution of (2). In effect, Theorem (25)
states that (2) has a unique solution corresponding to each initial condition. Theorem (50)
below shows that, at any given time, there is exactly one solution trajectory of (2) passing
through each point in R", Theorem (57) shows that the solution of (2) depends continuously
on the initial condition.
50 Theorem Letf satisfy the hypotheses ofTheorem (25). Thenforeach ZE R" andeach
TE [0, 00)there exists exactly one element ZOE R" such that the unique solution over [0, n of
the differential equation
51 x(t)=f[t, x(t)], x(O)=zo
satisfies
52 x(T)=z.
Proof Consider the equation
53 x(t)=f,[t, x(t)], x(O)=z,
where
54 fs(t, x)=-f(T-t, x), \itE[O, T].
Then f
s
also satisfies the hypotheses of Theorem (25), so that (53) has a unique solution over
[0, T]. Denote this solution by YO and define Zo =y(T). Then one can easily verify that the
Sec. 2.4
function YsOdefined by
Nonlinear Differential Equations 43
55 Ys(t)=y(T-t), VtE[O, T]
satisfies (51) and also satisfies (52). To prove the uniqueness of the element Zo correspond-
ing to a particular z, assume by way of contradiction that there exist two functions Y1(.) and
Y20 in cn[O, T] that satisfy (51) and (52). Let Y1(0) =z" Y2(0) = z2' Then the functions
Ya(') and Yb(') defined by
must both satisfy (53). However, because the solution to (53) is unique, it follows that
YaO=Yb() Hence z, =Z2'
57 Theorem Let f satisfy the hypotheses ofTheorem (25), and let TE [0, 00)be specified.
Thenfor each E> 0, there exists a O(E, T) >0 such that the following is true: Suppose Xo and
Yo are vectors in R" that satisfy
Suppose x(') andy(.) are the corresponding solutions to the differential equations
59 x(t)=f[t, x(t)], x(O)=Xo,
60 y(t)=f[t, y(t)], y(O)=Yo.
Then
61
Proof The functions x() and y(.) also satisfy
r
62 x(t) =Xo +f f['t, xrr)] dt;
o
r
63 y(t)=yo +f f['t, y('t)]d't.
o
Subtracting, we get
64 x(t) - y(t) = Xo - Yo +f(f['t, x('t)] - f['t, Y('t)]} dx,
o
44 Nonlinear Differential Equations Ch.2
r
65 IIx(t)-y(t)II IlXo-Y
o
ll +k
T
f IIx('t)-Y('t)II dt.
o
Applying Gronwall's inequality [Lemma (5.7.1)] to (65) gives
Hence
67 IIxo-Yo II exp(kTT).
Thus, given e > 0, (61) is satisfied if we choose 0(, T) =flexp (kTT).
Remarks
I. The results contained in Theorems (50) and (57) can be given a simple interpreta-
tion in terms of certain mappings being continuous. Let <1>: R
n
en[O, T] be the
mapping that associates, with each initial condition XoE R", the corresponding
unique solution of (2). Then Theorem (57) states that <1> is uniformly continuous
on R". In the same vein, let 'liT: R
n
R" be the mapping that associates, with
each initial condition XoE R", the value at time T of the corresponding unique
solution of (2). Then Theorem (50) states that 'liT is one-to-one [i.e., given 'IIT(X),
one can uniquely determine x], and onto (i.e., the range of 'liT is all of R"), Furth-
ermore, Theorem (57) shows that both 'liT and its inverse map 'liT' are continuous.
2. It is important to note that Theorem (57) is strictly limited to the case where the
interval [0, T] is finite. Theorem (57) does not say that the solution over the
infinite interval [0, 00) depends continuously on the initial condition Xo. In fact,
we shall see in Chapter 5 that one possible interpretation of so-called Lyapunov
stability is precisely that the solution over the infinite interval depends continu-
ously on the initial condition.
68 Example Consider the scalar differential equation
69 x(t)=tanh[x(t)]=:!fx(t)], x(O)=xo.
Since the function tanh(x) is everywhere continuously differentiable, and since this deriva-
tive is everywhere bounded (in magnitude) by I, it is easy to verify thatj'(-) satisfies a global
Lipschitz condition of the form (26) with k
T
= I for all T (see also Problem 2.15 below).
Also, for every x 0, there exists a finite constant h
T
such that (27) holds. Hence, by Theorem
(25), it follows that (69) has a unique solution over [0, 00)corresponding to each Xo; more-
over, for every finite number T, the map taking x 0 into the corresponding solution function
in e [0, T] is continuous, by Theorem (57). .
70 Example Consider the linear vector differential equation
Sec. 2.4 Nonlinear Differential Equations 45
71 x(t)=A(t)x(t), x(O)=Xo,
where A(-) is continuous. Let 11'11 be a given norm on R". Since A(') is continuous. for
every finite Tthere exists a finite constant k
T
such that
II A) II i $: k
T
, V'tE [0, T].
Hence it follows that
IIA(t)x-A(t)yll $:kTllx-yll, V'x,yER
n
, V'tE[O, T],
IIA(t)xo II $:k
T
II Xo II, V'tE[0, T j.
So (26) is satisfied with k
T
as above, and (27) is satisfied with h
T
= k
T
Therefore, by
Theorem (25), (71) has a unique solution over [0, 00) corresponding to each initial condition
xo. Moreover, over each finite interval [0, T j, this solution depends continuously on Xo .
In conclusion, in this section we have presented some conditions that are sufficient to
ensure that a given nonlinear vector differential equation has a unique solution over some
interval, or over all intervals. It is easy to construct counterexamples to show that the condi-
tions presented here are by no means necessary for the existence and uniqueness of solu-
tions. For instance, consider the scalar differential equation
72 x(t)=-x
2,x(0)=1.
This equation has a unique solution over [0, 00), namely x (t) = l/(t +I), even though the
function! (x) =x
2
is not globally Lipschitz-continuous.
At a first glance the condition of Lipschitz-continuity appears to be extremely restric-
tive, since it is known that "almost all" continuous functions are not differentiable and thus
not Lipschitz-continuous. Nevertheless, it can be shown that differential equations with
unique solutions are prevalent in the sense that "almost all" differential equations with con-
tinuous functions f have unique solutions. The arguments used to make this statement pre-
cise and to prove it are quite advanced; therefore, they are presented separately in Appendix
A. The contents of this appendix show that it is quite reasonable to assume that a given dif-
ferential equation has a unique solution. This is a useful fact to know, especially when we
study the stability of differential equations in Chapter 5.
Problem 2.14 Show that Lipschitz-continuity is independent of which nonn on R" is
used. Precisely, let 1111 a and II' II b be two given norms on R". Show that for each finite T
there exists a finite constant kaT such that
if and only if, for each finite Tthere exists a finite constant k
bT
such that
46 Nonlinear Differential Equations Ch.2
Problem2.15 (a) Letf: R+xR R be continuously differentiable in the second argu-
ment. Showthat f satisfies (26) if and only if, for each finite Tthere exists a finite constant k
T
such that
laf(t x)1
I a' 1$k
T
, 'V"xE R, VtE [0, T],
I x I
i.e., Iaf (r, x )fc)x I is bounded independently of x over each finite interval [0, T]. (Hint: Use
the mean-value theorem.)
(b) Let f: R+xR
n
R" be continuously differentiable in the second argument. Show
that f satisfies (26) if and only if, for each finite Tthere exists a finite constant k
T
such that
I ali(t, x) I
I la l$k
T
, Vi,}, VXER
n
, VtE[O, T].
I Xj I
(Hint: Use the results of Problem2.14 above.)
Problem 2.16 Determine whether or not the following functions satisfy a global
Lipschitz condition:
(b) x2exP(-xT)]'.
2.5 SOLUTIONESTIMATES
In this section, we give a method for obtaining both upper and lower bounds on the
norm of a solution of a given differential equation. The Gronwall inequality [Lemma
(5.7.1)] does give an easily applicable upper bound on the norm of the solution of a linear
differential equation, and a similar inequality known as Langenhop's inequality provides a
lower bound. However, both of these bounds suffer from the deficiency of being sign-
insensitive; i.e., they give exactly the same estimates for
1 x(t)=Ax(t)
as for
2 x(t) =-A(t) x(t).
This is because both Gronwall's inequality and Langenhop's inequality (not presented in
this book) utilize II A(t) II, which is of course sign-insensitive. In contrast, the method given
here is based on the concept of the matrix measure, which is sign-sensitive. As a result, the
bounds derived in this section are always "tighter" than (or the same as) those given by the
Sec. 2.5 Solution Estimates 47
Gronwall and Langenhop inequalities.
3 Theorem Consider the differential equation
4 x(t)=A(t)x(t),
where X(t)E R" and A(t) is a continuous nxn matrix-valued/unction. Let 11'11 be a norm on
R", and let II IIi and Il(') denote respectively the corresponding induced matrix norm and
the corresponding matrixmeasure on R"?'. Then. whenever t t 0 O. we have that
Proof From Example (2.4.70), we know that the differential equation (4) has a unique
solution over [0, 00). To prove the inequalities (5), observe first that, from the integral form
of (4), it follows that
6 x(t +O)=x(t)+oA(t)x(t) +0(0), '10>0,
where 0(0) denotes an error term with the property that
7 I
110(0)11_
0 tm I: -.
0..... 0 u
Rearranging (6) gives, successively,
I
8
9
10
11
x(t +0) = [I +oA(t)] x(t) +0(0),
IIx(t+o)II s 1I[l+oA(t)]II(lIx(t)1I +0(0),
IIx(t+o)II-lIx(t)1I :$;(III+oA(t)lI
j-I)'lIx(t)1I
+0(0),
lim :$;1l[A(t)] IIx(t) II,
dt 0 ..... 0+
where a:/dt denotes the right-hand derivative. Multiplying both sides of (II) by the
integrating factor
(or, equivalently, applying the Gronwall inequality) gives the right-hand inequality in (5).
The proof ofthe left-hand inequality in (5) is entirely similar, starting with
48 Nonlinear Differential Equations Ch.2
13 x(t = x(t) - x(t) +
The completion of the proof is left as an exercise.
Theorem (3) provides both upper and lower bounds for the norm of the solution of the
unforced linear equation (4). Inapplying the bounds (5), it is important to remember that the
norm being used and the measure must correspond to one another. Also, using different
norms in Theorem (3) will give rise to distinct bounds. This is illustrated by the following
examples.
14 Example Consider the equation (4) with n = 2 and
[
- 2t I] [I]
A(t) = -I -t ' x(O) = 0 .
First, letus calculate the measures III, Ilz, of the matrix A(t). This gives
III [A(t)] = = - t+I,
III[-A(t)] = =2t + I,
Ilz[A(t)] =-t, Ilz[-A(t)] =2t.
Thus, applying the inequalities (5) with each of the above measures gives
exp(-t-tZ)$lxl(t)1 + IXz(t)1 $exp(-t-t
z/2),
exp(-t-tz)$lxt(t)I, IXz(t)1
exp (- t
Z)
$ [Ix 1(t) I
Z
+ IXz(t) I
Z
] 112 $exp (- t
Z/2).
Thus the same two inequalities (5), when applied with different vector norms and
corresponding matrix measures, yield different estimates for the vector x(t). By way of
illustrating the bounds obtained above, the regions of RZ to which the vector x( I) is confined
by each ofthe above bounds are shown in Figures 2.3, 2.4, and 2.5, respectively.
15 Example Consider the equation (4) with n =2 and
[
-3t t] [I]
A(t)= 2t -4t ' x(O)= 2 .
Then the actual solution for x(t) is
x(t) = [(413)exp (_t
z)
- (113) exp (-5t
z/2)
(413)exp (_t
z)
+ (213)exp 9-5t
z/2)]'.
However, if we calculate the various measures of A(t), we get
Sec. 2.5
Fig. 2.3
2
-3
Solution Estimates 49
Fig. 2.4
Ilt [A(t)] =-t, 1l,[-A(t)]=5t,
Ilz[A(t)] =-2.97t, Ilz[-A(t)] =5.03t,
Iloo[A(t)] =- 2t, =6t.
Thus the corresponding estimates for x(t) are as follows:
IXI(t)1 + IXz(t)1
'-/5 ,(t) I
Z
+ IXz(t) I
Z
] 112 exp(-1.48t
z),
Ix/(t)l, 1X2(t)1
The bounds are depicted for the case t =0.5 in Figures 2.6, 2.7 and 2.8, respectively.
50 Nonlinear Differential Equations Ch.2
Fig. 2.5
Fig. 2.6
-I
-I
Sec. 2.5
Fig. 2.7
Fig. 2.8
Solution Estimates 51
To extend the above estimation technique to nonlinear differential equations of the
form
16 x(t)=f[t, x(t)], x(O)=Xo,
a preliminary result is needed.
17 Lemma Suppose f: R+xR
n
~ R" is continuously differentiable. Then there exists a
continuous function A: R+xR
n
~ R
n Xn
such that
18 f(t, x)=fU, 0) +A(t, xjx, \ t ~ O \1xER".
Proof Fix t and .r, and consider fU, A.x) as a function of the scalar parameter A.. Then
19 f(t, x) =f(t, 0) +[ :l. f(t, l.x) o:=f(t, 0) +[ [ V,f(t, Ax) dl.] -x,
Hence (18) holds with
52 Nonlinear Differential Equations Ch.2
I
20 A(t, x) =Jv.ro, h) d'A..
o
Note that there is nothing special about the origin in the above formula. Indeed, given
any fixed XoE R", we can write
21 f(t, x)=f(t, Xo)+B(t, x, Xo)(x-Xo)
for a suitably chosen matrix-valued function B(t, x, Xo).
22 Theorem Consider the differential equation (16), and suppose (i) f is continuously
differentiable. and (ii)f(t, 0) =0\it Define A(t, x) as in (18). Let II II be a norm on R",
and let II IIi and Jl(.) denote the corresponding induced norm and matrix measure on R'?".
Suppose there exist continuousfunctions a() and 13<-) such that
23 Jl[A(t, x)], \ixER
n

Then
The proof is virtually the same as that ofTheorem (I) and is left as an exercise.
Notes and References
The material in this chapter is quite standard, and can be found in most textbooks on
differential equations, e.g., Hartman (1964). The matrix measure was introduced by
Dahlquist (1959), while the solution estimates given in Section 2.5, based on the matrix
measure are due to Coppel (1965). Appendix Acontains a result due to Orlicz (1932), to the
effect that"almost all" differential equations have a unique solution.
3. SECOND-ORDERSYSTEMS
3.1 PRELIMINARIES
In this chapter, we study several techniques for the analysis of autonomous second-order
systems. In subsequent chapters, this restriction on the order of the system is removed and
some techniques are presented for analyzing systems of any order, autonomous or other-
wise. Obviously the latter techniques are also applicable to second-order systems. How-
ever, second-order systems occupy a special place in the study of nonlinear systems. The
most important reason is that the solution trajectories of a second-order system can be
represented by curves in the plane. As a result, nonlinear systems concepts such as oscilla-
tions, vector fields, etc. have simple geometric interpretations in the case of second-order
systems. (All the technical terms used above will be defined shortly.) For these and other
reasons, second-order systems, by themselves, have been the subject of much research, and
inthis chapter we present some of the simpler results that are available.
Consider a general second-order system described by the scalar differential equations
A basic concept in the analysis of second-order systems is the so-called state-plane plot.
The state-plane is the usual two-dimensional plane with the horizontal axis labeled x 1 and
the vertical axis labeled x 2. Suppose [x 1(.), X 2 (.)] denotes a solution of (I). Then a plot of
x I (t) versus X2(t) as t varies over R+ is called a state-plane plot or a state-plane trajectory
of the system (1). In such a plot, the time t is a parameter that can either be explicitly
displayed or omitted. In the special case where the first equation in (I) is of the form
it is customary to refer to the state plane as the phase plane. Correspondingly, in this case
one also refers to phase-plane plots or phase-plane trajectories. This special case arises
quite commonly in practice. In particular, if the system under study is governed by a
second-order scalar differential equation of the form
3 y(t) = s [t, y(t), y(t)],
then a natural choice for the state variables is
In this case, the system equation (3) is equivalent to the following two first-order equations:
53
54 Second-Order Systems Ch.3
6
In the case of autonomous systems, i.e., where the function g in (5) does not explicitly
depend on the time t, phase-plane plots have another useful feature, namely: it is possible to
reconstruct the implicit parameter t from the phase-plane plot. Suppose we are given a
phase-plane plot denoted by C, and suppose it is known that a particular point (x 10, X20)
corresponds to a time to. Typically to is the initial time and (x 10, X20) is the initial state of
the system. If (x If' x2f) is another point on C, the value of t (say tf) which corresponds to
(x If' X2f) can be determined as follows: If x 2 does not change sign along C between
(xlO,x20)and(x 1f, X2f),then (rJ.!J. .: di
Xlz ) :;C.)- ,
X2.:. )(1 -=:) j t;..l()
of -x.z.
where the integral in (6) is taken along the curve C (see Figure 3.1). Ifx 2 changes sign along
C, then the integral in (6) has to be evaluated as the sum of several integrals, one correspond-
ing to each segment of C along which x 2 does not change sign (see Figure 3.2). Note that, as
x 2f -+0, the integral in (6) becomes an improper integral. The proof of the relationship (6) is
easily obtained starting from (5) and is left as an exercise (see Problem 3.1).
t = to
Fig.3.1
t = t
f
Fig. 3.2
Sec. 3.1 Preliminaries 55
Another very important concept is a vector field. A couple of preliminary notions are
needed to introduce this concept.
A function f:R
2
~ R is said to be smooth iff (x I , x 2) has continuous partial deriva-
tives of all orders with respect to all combinations of x I and x 2, i.e., if the partial derivative
anf x ~ axi-
i
is well-defined and continuous for all integers n ~ i ~ l.
Suppose a, b are real numbers, not both zero. Then the two-argument arc tangent func-
tion Atan(a, b) is defined as the unique number eE [0, 21t)such that
7 e
a . e b
cos = 2 2 ,Sill = 2 2 .
a +b a +b
Note that Atan(a, b) = Atan(ra, rb) provided r > 0 (but not if r <0). Atan(O, 0) is
undefined.
8 Definition Afunction f: R
2
~ R
2
is called a vector field ifboth ofits components are
smooth functions. A vector XE R
2
is called an equilibrium of a vector field f iff(x) =0. If
XE R
2
is not an equilibrium of f, then the direction of the vector field f at the point x is
denoted by er(x) and is defined as
Figure 3.3 depicts the quantity er(x).
X2 ftx)
~
X (I, 0)
Fig. 3.3
To see the utility of these concepts, suppose f: R
2
~ R
2
is a vector field, and consider
the associated differential equation
Note that here and in the remainder of the chapter we follow the standard practice of not
explicitly displaying the time variable t.
Suppose x = (x I , x 2) is a point in R
2
; then it is easy to see from (10) that if C is a solu-
tion trajectory of (10) passing through x, then the vector f(x) is tangent to C at x, Hence, in
principle at least, it is possible to construct graphically the solution trajectories of (10) by
plotting the vector field f(x). Actually, the concept is very deep and has many applications,
56 Second-Order Systems Ch.3
only a few of which are touched upon in this book. Furthermore, the concept of a vector
field is applicable to (autonomous) systems of any order. The reader interested in a deeper
knowledge of the application of the vector field concept to differential equations may con-
sult Arnold (1973). Vector fields are encountered again in this book in Chapter 7.
Note that it is quite common to refer to f(x) as the velocity vector field associated with
the system of equations (10).
The objective of the present chapter is to present some ways of analyzing the system
(10) by either finding the state-plane trajectory of the system to a reasonably high degree of
accuracy or determining some qualitative features of the state-plane trajectory without
doing too much work. Throughout the chapter, the study is confined to autonomous sys-
tems, because even though the concept of a state-plane trajectory is valid for nonauto-
nomous systems, most of the significant results are applicable only to autonomous systems.
For example, the autonomous system (10) has a periodic solution x(t) if the corresponding
solution trajectory is a closed curve in Rz. An analogous statement for nonautonomous sys-
tems is false in general.
Finally, a word about the existence and uniqueness of solutions to the system of equa-
tions (10). Since f is smooth, it follows from Corollary (2.4.22) that (10) has a unique solu-
tion at least locally; that is, given the system (10) together with an initial condition
there exists a number 0 such that (10-11) has exactly one solution over [0, 0). Additional
conditions on f ensure that (10-11) has a unique solution over all of [0, 00 ); see Theorem
(2.4.25).
Problem3.1 Prove the relationship (6). Hint: Use (5) to write
XI (r +M) =X 1(r) +M Xz(t) +0 (M).
Problem 3.2 Show that if C is a solution trajectory of (10) passing through x, then the
vector field f(x) is tangent to C at x. Hint: Express (10) in difference form as
X I (t +M) =x 1(r) + t!.t it [X I (r), xz(t)] +0 (M),
Xz(t +M) =xz(t) +M fz[x 1(t), xz(t)] + 0 (M),
and eliminate t!.t as t!.t 4 O.
Problem3.3 Does the function f:R
z
4 R
Z
defined by
il (x 10 Xz) =Xz + [1- (xI
fz(x 10 Xz) =-X1+ [1- (xI )112]
constitute a vector field? Justify your answer. Hint: Consider the behavior of f near the
Sec. 3.2
origin.
Linearization Method 57
3.2 LINEARIZATIONMETHOD
We begin by studying linear systems, which are simpler to analyze than nonlinear sys-
tems and yet provide much insight into the behavior of nonlinear systems. The general form
of a second-order autonomous linear system is
together with the initial conditions
In matrix notation (I) and (2) can be expressed as
3 x(t) = Ax(t), x(O)= xo.
To understand better the behavior of solutions to (3), it is helpful to make a transforma-
tion of variables. Accordingly, let
4 z=Mx,
where M is a constant nonsingular 2x2 matrix with real coefficients. In terms of the
transformed variable z, (3) becomes
5 z(t) = MAM-
1
z(t), z(O)= Mxo.
I
It is known [see, for example, Bellman (1970)] that by appropriately choosing the matrix M,
the matrix MAM-
I
can be made to have one of the following forms:
1. Diagonalform: In this case,
where 1..
1
and ~ are the real (and not necessarily distinct) eigenvalues of the matrix A.
2. lordanform: In this case,
7 MAM-
I
= ~ ~ ,
where A. is the real repeated eigenvalue of the matrix A.
58
8
Second-Order Systems
3. Complex conjugate form: In this case,
MAM-
1
= [a -P]
p a '
Ch.3
where ajp are the complex conjugate eigenvalues of A, and we choose p> 0 to be
definite.
Each of these cases is studied in detail.
Case 1 Diagonal Form: In this case (5) assumes the form
The solution of (9) is
( )
1..,1 ( ) 1..21
10 Z] t =ZlOe ,Z2 t =Z20e .
At this point it can be assumed that not both A] and 1..
2
are zero, because if both Al , are
zero then A=0 and z(t) =zofor all t; consequently the state-plane plot consists of just a sin-
gle point. Thus suppose A) *O. Then the parameter t can be eliminated from (10) to give
11 Z2 1..
2
/1.. ,
ZIO
Equation (II) describes the state-plane trajectory of (9) in the Z t-Z 2 plane. If A] and are
of the same sign, then the trajectories have the characteristic shape shown in Figure 3.4, but
if AI and have opposite signs then the trajectories have the characteristic shape shown in
Figure 3.5. The arrowheads in Figure 3.4 correspond to the case where < A) <0; if Al and
are both positive then the direction of the arrowheads is reversed, and the trajectories go
away from the origin as t increases instead of going towards the origin as in Figure 3.4.
Similarly the arrowheads in Figure 3.5 correspond to the case where A) <0 It should
beemphasized that the trajectories depicted in Figures 3.4 and 3.5 are in the Z ]-Z 2 coordi-
nate system; the corresponding trajectories in the x I-X 2 coordinate system, although they
will have the same general appearance as those in the ZI-Z2 coordinate system, will bea lit-
tle distorted. This can be seen in Figures 3.6 and 3.7, where the trajectories in the x I-X 2
coordinate system are illustrated for the cases where A] and are of the same sign, and
where A] and are of opposite signs, respectively. If A] and are of the same sign, then
the equilibrium at the origin is referred to as a node. It is called a stable node if both A) and
are negative, and an unstable node if A] and are positive. In the case where Al and
are of opposite sign, the equilibrium at the origin is called a saddle. The rationale for this
nomenclature is that if one were to make a three-dimensional plot of [x](t), X2(t), t], then
the resulting surface would resemble a saddle.
Sec. 3.2 Linearization Method 59
Fig. 3.4
.\("
FIg. 3.5
Fig. 3.6
", Zz
/
/
/
/
/
/
60 Second-Order Systems Ch.3
Fig. 3.7
Case 2 JordanForm: In this case (5) assumes the form
The solution of (12) is
Once again, t can be eliminated from (13); the resulting expression describing the trajectory
is somewhat messy and its derivation is left as a problem (see Problem 3.4). The trajectories
in the z,-Z2 coordinate system, which can be obtained from (13), are shown in Figure 3.8
for the case A. < 0; if A. > 0, then the direction of the arrows is reversed. The corresponding
trajectories in the x I-X2 coordinate system are shown in Figure 3.9. In this case also, the
equilibrium (0, 0) is called a stable node if A. < 0 and an unstable node if A. > o. -
Fig. 3.8
Sec. 3.2
/
/
/
/
/
/
/
/
/
Fig. 3.9
Linearization Method
;f =,
/
/
/
/
/
/
/
61
Case 3 CompLex Conjugate Form: In this case (5) becomes
To simplify the equation further, introduce the polar coordinates
Then (l4),is transformed into
16 r(t)=ar(t), ~ t = \3,
which has the solution
17 r(t)=r(O)e<Il,cjl(t)=cjl(O)+\3t.
In the Z I -z 2 coordinate system, (17) represents an exponential spiral. If a > 0, then the
spiral expands as t increases, whereas if a < 0, then the spiral shrinks as t increases; and if
a =0 the trajectory is a circle. The equilibrium (0, 0) is referred to as an unstable focus if
a > 0, a stable focus if a <0, and a center if a = O. The trajectories in the z (-z 2 coordinate
systemcorresponding to each ofthese cases are depicted in Figures 3.10. 3.11 and 3.12.
Table 3.1 summarizes the various kinds of equilibria for second-order linear systems.
Note that AI' A.z are the eigenvalues of the matrix A.
Now consider an autonomous nonlinear systemdescribed by
62
Fig. 3.10
Second-Order Systems Ch.3
Fig. 3.11
a<O
f
g

3
.
12
Sec. 3.2 Linearization Method
Table 3.1
63
Eigenvalues of A
Al , real, both negative
Al , real, both positive
x, , real, x, <0
AI , complex, Re Ai <0
AI , complex, Re Ai > 0
AI , imaginary
Type of Equilibrium
Stable node
Unstable node
Saddle
Stable focus
Unstable focus
Center
19
The linearization method, as the name implies, consists of linearizing the given system in
the neighborhood of an equilibrium and determining the behavior of the nonlinear system
by studying the resulting linear system. The power of the method lies in the fact that, except
for special cases to be specified later, the method yields definitive results that are valid in
some neighborhood of the equilibrium.
The method can be summarized as follows: Suppose (0, 0) is an equilibriumof the sys-
tem (I) and that both II and fz are continuously differentiable in some neighborhood of
(0, 0). Define
[
a/; ] .. I 2
aij = ax- ' I, } = , ,
} x=o
20
Then, by Taylor's theorem, itis possible to expand II andfz in the form
where r I and r z are the remainder terms, and we have 'used the fact that /;(0,0) =0 since
(0, 0) is an equilibrium. If the equilibrium is not at (0, 0) but at some other point in R
Z
, then
one can always translate the coordinates in such a way that the equilibrium is at the origin of
the new coordinate system. Now, associated with the nonlinear system (18), define the
linear system
64 Second-Order Systems Ch.3
The linearization method is based on the fact (proved in Section 5.5) that if the matrix A
does not have any eigenvalues with zero real parts, then the trajectories of the nonlinear sys-
tem (18) in the vicinity of the equilibrium x 1 =0, X Z =have the same characteristic shape
as the trajectories of the linear system (22) in the vicinity of the equilibrium ~ =0, ~ =0.
Table 3.2 summarizes the situation.
Table 3.2
Equilibriumof the
Linear System (22)
Equilibriumof the
Nonlinear System(18)
Stable node
Unstable node
Saddle
Stable focus
Unstable focus
Stable node
Unstable node
Saddle
Stable focus
Unstable focus
Center
C
The last entry in the table can be explained as follows: If the equilibrium (0, 0) of the system
(22) is a center, then the linearized system exhibits perfect oscillations which neither grow
nor decay with time. In such a case, the behavior of the trajectories of the original nonlinear
system is determined by the remainder terms rl and r i- which are neglected in the lineariza-
tion. Studying the linearized system alone does not provide a definitive answer about the
behavior of the nonlinear system.
23 Example Consider the following second-order equation, commonly known as Van
der Pol's equation:
where 11 >is a constant. By defining the natural state variables
XI =Y, Xz =y,
(24) is transformed into the pair of first-order equations
The linearization of (25) around the equilibrium(0, 0) is
The eigenvalues of the associated matrix A satisfy the characteristic equation
Sec. 3.2
27 A? -/lAo + 1= O.
Linearization Method 65
For all positive values of /l, the roots of (27) are complex with positive real parts, so that the
equilibrium ~ =0, ~ =0 of (26) is an unstable focus. Referring to Table 3.2, we see that the
equilibriumx I =0, X 2 =0 ofthe original system (8) is also an unstable focus.
Fig. 3.13
Figure 3.13 shows the phase-plane trajectories of the Van der Pol oscillator. A notable
feature of this system is that all solution trajectories starting from an initial state other than
(0, 0) approach a limit cycle. This system is further analyzed in Section 3.4.
Problem 3.4 Eliminate t from (13) and obtain an expression for the state-plane trajec-
tory involving only z I, Z2' Z 10, and Z20
~ n In
CF3
j
X,
Fig. 3.14
Problem3.5 Consider the electrical circuit shown in Figure 3.14.
(a) Select the capacitor voltage x I and the inductor current x 2 as the state variables, and
show that the network is described by the equations
66 Second-Order Systems Ch.3
(b) Suppose v(t):=O. Determine the nature of the equilibrium at (0,0) and find the
matrix M that transforms the above equations into the appropriate canonical form.
Problem 3.6 Suppose the 1/2Ohm resistor in Figure 3.14 is replaced by a general resis-
torR.
(a) Write the state equations for the network with v (t):= O.
(b) For what values of Ris the equilibrium (0, O)(i) a node, (ii) a focus, (iii) a saddle?
Problem3.7 For each ofthe matrices Agiven below:
(a) Determine the matrix M that transforms A into the appropriate canonical form.
(b) Sketch the state-plane trajectories in both the Z ,-z 2 coordinates and the xI-X2
coordinate system.
(c) Classify the equilibrium at (0, 0) as to its type.
[
0I] [0 -I] [I I] [ I 5] [2 -I] [0 -I]
A= -2 -3 ' I 2' 0-I ' -I -I ' 20' 2-2 .
Problem 3.8 Find all equilibria ofthe Volterra predator-prey equations
Linearize the system around each of the equilibria and determine, if possible, the nature of
the equilibrium. (Answer: One center, one saddle).
+
v
Fig.3.15
In
IF
+
v,=j(i,)
Problem 3.9 Consider the nonlinear circuit shown in Figure 3.15. Suppose the
voltage-current relationship of the nonlinear resistor is given by
3 3.
2
3 f( )
vr = I r - I r + ' r =: I r
Sec. 3.3 Periodic Solutions 67
(a) Select the capacitor voltage x 1 and the inductor X2 as the state variables, and show
that the system equations are
(b) With v =0, calculate the equilibria of the system.
(c) Linearize the system around each of the equilibria and determine the nature of each
equilibrium.
3.3 PERIODICSOLUTIONS
3.3.1 Introduction
Some autonomous systems exhibit periodic solutions. For example, consider a simple
harmonic oscillator, which is described by the linear equations
1
. .
Xl =X2,X2=-XI'
The solution of (I) subject to the initial conditions
is given by
where
Thus the solution of (1) is periodic irrespective of the initial conditions. Furthermore, the
entire phase-plane is covered with periodic solutions of (I): Given any point (x 10' x 20), one
can always find a periodic solution passing through it.
In contrast, consider the system of nonlinear equations
5 Xl =x2 +UXI (p2 -xi -xh X2 =-XI +UX2 (lr-xi -xh
These equations can be expressed as
6 x=f(x)+g(x),
where
68 Second-Order Systems Ch.3
Note that f is exactly the velocity vector field of the system (I), while g is a so-called radial
vector field, i.e., g(x) is always aligned with the vector x, Now introduce the polar coordi-
nates
Then the equations (5) are transformed to
It can be easily verified that the solution of (9) is
10 r(t)= 2 1/2 ,<!>(t)=<!>(O)-t,
[I a.r)]
where
11
Thus the system (5) has only one nontrivial periodic solution, namely r i.e.,
xTo + = (Note that the equilibrium solution x I =0, X 2 =0 can also be considered a
trivial periodic solution.) Furthermore, if a. > 0, any solution of (5) with r(O):;tO approaches
this periodic solution as t 00. This example differs from the earlier example of a simple
harmonic oscillator in that there is only one nontrivial periodic solution, and moreover, this
periodic solution is isolated, i.e., there exists a neighborhood of it that does not contain any
other periodic solution.
It is common to refer to a nontrivial periodic solution as a limit cycle. Note that some
authors reserve this phrase only for an isolated periodic solution. By convention, an equili-
brium is not regarded as a periodic solution.
In the remainder of this section, some results are presented pertaining to the existence
or absence of periodic solutions in nonlinear systems.
3.3.2 Bendixson's Theorem
Bendixson's theorem presents a simple sufficient condition to guarantee that a given
simply connected domain in the plane does not contain a periodic solution. Before stating
the theorem, the terms "domain" and "simply connected" are defined. A domain in R
2
is
just an open set. A subset S R
2
is simply connected if it can be continuously shrunk to a
single point in S, i.e., if there exists a point XoE S and a continuous function h :[0, 1] x S S
such that
Sec. 3.3 Periodic Solutions 69
12 h(O,x)=x,h(I,x)=Xo, 'ilxES.
For example, a closed disk is simply connected, whereas an annular region is not.
13 Theorem Consider the second-order system
Suppose D is a simply connected domain in R
2
such that the quantity Vf(x) defined by
15
is not identically zero over any subdomain of D and does not change sign over D. Under
these conditions. D does not contain any nontrivial periodic solutions off14).
Proof Suppose J is a'closed trajectory of (14). Then at each point x e (x 10x2)EJ, the
velocity vector field f(x) is tangent to J. Let n(x) denote the outward normal to J at x. Then
f(x)n(x) = 0 for all xEJ. Therefore
16 f f(x)n(x) dl = O.
J
But by the divergence theorem,
17 f f(x)n(x) dl =If vroo dx = 0,
J S
where S'is the area enclosed by J. Therefore, in order for (17) to hold, either Vf(x) must be
identically zero over S, or else Vf(x) must change sign over S. But if S is a subset of D, then
the hypotheses of the theorem rule out both possibilities. Hence D contains no nontrivial
periodic solutions of (14).
18 Example Consider the application of Theorem (13) to the linear system ofequations
From Section 3.2 we know that a necessary and sufficient condition for the system to have
periodic solutions is that the matrix
have two nonzero imaginary eigenvalues. Since the eigenvalues of A are the roots of the
characteristic equation
70 Second-Order Systems Ch.3
it is clear that the system has periodic solutions if and only if
Equivalently, a necessary and sufficient condition for the absence of periodic solutions is
that either of the above conditions beviolated.
Applying Theorem (13) to the present case gives
VC(x)=all +a22, V'xeR
2

Hence Bendixson's theorem states that if a II + a 22 *' 0, then the system has no periodic solu-
tions, which is consistent with the previous discussion.
19 Example Consider the systemof nonlinear equations
The linearization ofthis equation around the equilibrium at the origin is
. .
XI =X2,X2=-XI>
which exhibits a continuum of periodic solutions. However, for the nonlinear system we
have
Vf(x)=XT x ~ >OV'x*,O.
Thus VCneverchanges sign, and is zero only at the origin (which is not a subdomain since it
is not an open set). Hence Bendixson's theorem leads to the conclusion that the system
under study has no nontrivial periodic solutions.
20 Example In applying Theorem (13), the assumption that D is a simply connected
domain is crucial- it is not enough for D to be just connected. (A subset D of R
2
is said to
beconnected if every two points in D are connected by a path lying entirely in D. Thus an
annular region is connected but not simply connected.) To see this, consider the system (5),
and let D bethe annular region
For this example, we have
Vf(x) =2 a ~ 2 - 4a(xi +x ~ ,
which is everywhere nonnegative on D. Yet D contains a periodic solution. Though the
region D is connected, it is not simply connected. Hence Theorem (13) does not apply in the
present situation.
Sec. 3.3 Periodic Solutions 71
3.3.3 Poincare-Bendixson Theorem
The Poincare-Bendixson theoremcan be used to prove the existence of a periodic solu-
tion, provided a domain M satisfying certain conditions can be found. The strength of the
theorem is its generality and simple geometric interpretation. The weakness of the theorem
is the necessity of having to find the region M. A definition is introduced first.
21 Definition Letx() be a solution trajectory of (14). A point ZE R
2
is called a limit
point of this trajectory if there exists a sequence (t j}in R+ such that tj 00 and x(t j) z.
The set ofall limit points ofa trajectory is called the iimit set ofthe trajectory and is denoted
byL.
Remarks Basically, a limit point of a trajectory is a point to which the trajectory passes
arbitrarily close infinitely many times as time progresses. We shall encounter limit points
and limit sets again in Section 5.2.
22 Theorem (Poincare-Bendixson) Let
23
denote a trajectory in R
2
ofthe system (14), andlet L denote its limit set. IfL is contained in
a closed bounded regionMin R
2
and ifMcontains no equilibria off14), then either
(i) S is a periodic solution of(l4), or
(ji) Lis a periodic solution of(l4}.
The proof is omitted as it is beyond the scope of the book.
Remarks Roughly speaking, Theorem (22) states the following: Suppose we can find
a closed bounded region M in R
2
such that M does not contain any equilibria of (14) and
such that all limit points of some trajectory S are contained in M. Then M contains at least
one periodic solution of ( 14). In practice, an easy way to verify that M contains all the limit
points of a trajectory S is to verify that S eventually lies entirely in M, i.e., to show that there
exists a time T such that X(t)E M "iIt T. Thus the theorem reduces to this: If we can find a
closed bounded region M containing no equilibria such that some trajectory is eventually
confined to M, then M contains at least one periodic solution. Now, a sufficient condition for
a trajectory to be eventually confined to M is that, at every point along the boundary of M, the
velocity vector field always points into M. If this is true, then any trajectory originating from
within M must remain in M, and hence M contains at least one periodic solution of the sys-
tem at hand. (This is depicted in Figure 3.16.)
24 Example Consider once again the system (5), and let M be the annular region defined
by
Then M contains no equilibria of the system. Moreover, a sketch of the velocity vector field
reveals that, all along the boundary of M, the vector field always points into M, as depicted in
72
Fig.3.16
~
I >0
. 2
Second-Order Systems Ch.3
Figure 3.16. Hence we can apply Theorem (22) and conclude that M contains a periodic
solution.
-I
-I
Fig. 3.17
25 Example Inapplying Theorem (22), the condition that M does not contain any equili-
bria is indispensable. To see this, consider the system
The velocity vector field for this system is sketched in Figure 3.17. If M is chosen to be the
closed unit disk centered at the origin, then all along the boundary of M the velocity vector
fieldpoints into M. Hence all trajectories originating in M remain within M. The same con-
clusion can be reached by analytical reasoning because, in polar coordinates, the system
equations become
r=-r, $=-1,
which has the solution
Sec. 3.3 Periodic Solutions 73
r(t)=r(O)exp(-t), (j>(t)=(j>(O)-t.
However, even though all trajectories starting within M remain within M, M does not con-
tain any nontrivial periodic solutions. Theorem (22) does not apply in this case because M
contains the equilibriumO.
3.3.4 Index Theorems
The concept of index is a very powerful one, and the results given below only scratch
the surface of the many results that are available. Unfortunately, the arguments involved in
index theory are well beyond the scope of this book. Hence almost all of the results
presented in this subsection are stated without proof. For further discussion, see Nemytskii
and Stepanov (1960).
The definition below introduces the concept of index. Recall that a point XE R
2
is
called an equilibrium of a vector field f if f(x) = 0, and recall also Definition (3.1.8) of the
direction of a vector field at a point (other than an equilibrium).
26 Definition Suppose D is an open, simply connected subset of R
2
, and suppose
f: R
2
R
2
is a vector field on R
2
Suppose D contains only isolatedequilibria ofthe vector
field f. Let J be a simple, closed, positively oriented Jordan curve in D that does not pass
through any equilibria off, and let 8
r
(x) denote the direction ofthe vector field at x, Then
the index of the curve J with respect to the vector field f is denoted by l r(J) and is defined
as
27 l r(J) = -2
1
f d8
r
( x ).
, 1t)
Remarks A positively oriented curve is one which is traversed in the counter-
clockwise direction, i.e., a curve with the property that the area enclosed by it always lies to
the left of it. Since it is assumed that J does not pass through any equilibria of f, the direction
vector 8
r(x)
is well-defined at all XE J. The index of J with respect to f is just the net change
in the direction of f(x) as x traverses around J, divided by 21t. Clearly l r(J) is always an
integer.
28 Definition Letpbean isolated equilibriumofthe vectorfieldf. Then the index ofp is
denoted by l r(P) and is defined as l r(J) where J is any suitable Jordan curve such that (i) p is
enclosed by J, and (ii) J does not enclose any other equilibria off.
Note that the same symbollrO is used for both the index of a closed curve and of an
equilibrium.
Now some facts are stated without proof.
29 Fact Suppose J does not enclose any equilibria off. Then l r(J) =O.
74 Second-Order Systems Ch.3
30 Fact The indices ofa center.focus, and node are each equal to I, while the index ofa
saddle is -1.
This fact can be verified by sketching the vector field near each of the above types of
equilibria.
31 Fact Suppose J encloses afinite number ofequilibria off, say PI' "', Pn' Then
n
32 h(J)= "f/r(p;).
;=1
33 Fact Let f and g be two vector fields on R
l
. Let J be a simple, closed, positively
oriented Jordan curve, and suppose that f and g are never in opposition along the boundary
ofJ; i.e., suppose that I 8
r
(x) - 8
g
(x) I < 1t at all x along the boundary ofJ. Suppose in addi-
tion that J does not pass through any equilibria ofeither f org. Under these conditions,
This fact follows from Definition (28) and the fact that both I r(J) and I g(J) are
integers.
35 Fact Let J be a simple, closed, positively orientedtrajectory ofthe system
36 x(t) =f[x(t)].
Then
37 Ir(J) = J.
This can be seen from the fact that the vector field fis always tangent toJ.
On the basis of these facts, we can state the following general theorem.
38 Theorem Suppose the system (36) has only isolated equilibria. Then every closed
trajectory of(36) (ifany) encloses at least one equilibrium. Moreover, the sumofthe indices
ofthe equilibria enclosed by the closed trajectory is equal to I.
39 Example As an illustration of Theorem (38), consider the Volterra predator-prey
equations (introduced earlier in Problem 3.8)
Let us digress briefly to discuss the rationale behind the above model. Let x I denote the
number of predators (foxes, let us say), and let Xl denote the number of prey (rabbits). If
Xl =0, then the first equation in (40) reduces to i I =- X I, which states that in the absence of
prey the number of predators will dwindle exponentially to zero. If Xl ~ then the same
equation shows that i I contains an exponential growth term proportional to Xl' The situa-
tion in the case of x 1 is just the opposite. Ifx I =O. then x 1 will grow exponentially, while if
Sec. 3.3 Periodic Solutions 75
Xl -:t 0, then x2 contains an exponential decay termproportional tox I
r
ut
\ t I
I -,
I
1-"
t I t
t
t f
l
I
t \ '-' -,
I
ost -,
/},
-,
--
-,.0/-
- . -
- o.s I I.S 'I
-
--
t
Fig.3.18
The velocity vector fieldfor the predator-prey system is shown in Figure 3.18. Clearly
there are two equilibria, namely (0,0) and (I, I). By linearizing the system (40) around
each of these equilibria one can readily determine that (0, 0) is a saddle while (I, I) is a
center. Hence the index of (0, 0) is -I while the index of (I, I) is l. Now, by Theorem (38),
any closed trajectory of the system (40) must enclose (I, I), and it must not enclose (0, 0).
Thus, by examining the index alone, one can derive a great deal of qualitative information
about the,Possibleclosed trajectories of a system.
3.3.5 An Analytical Method
In this subsection, a technique is presented for obtaining analytical expressions for the
closed trajectories of some nonlinear systems that exhibit a continuum of periodic trajec-
tories. Rather than presenting a general theorem, which would have to be rather weak
because of all the possible pathological cases, we illustrate the method by means of a few
examples.
The basic idea of the method is as follows: Given the system (14) and a continuously
differentiable function V: R
2
R, define the function V: R
2
R by
41
The function V is known as the derivative of V along the trajectories of the system (14),
because if[x I (.), X2(.) is a trajectory of the.system (14), then the derivative with respect to t
of the function V[x 1(t), X2(t) is precisely V[x I (r), X2(t). We shall encounter this concept
again in Section 5.2. Now suppose we are able to find a domain D in R
2
such that
V(x I, X2) =0 for all XE D. Let (x 10, X20)E D, and let C denote the solution trajectory of (14)
76 Second-Order Systems Ch.3
originating from (x 10, X20)' The hypothesis that Vis identically zero implies that V(x 1, X2)
is constant along C. Inother words,
Let us nowconsider the set
Then C is a subset of S. Inparticular, if S is itself a closed curve, then we can conclude
(under reasonably mild additional assumptions) that C is itself a closed trajectory and is
equal toS.
Of course a great deal depends on the choice of the function V. If we choose
V (x I, x 2) = 1 for all (x l' x 2), then naturally it =0; but the set S in (43) is all of R
2
, and as a
result no insight has been gained into the nature of the trajectories. However, in some cases,
by properly choosing V, we can show that the family of sets
as c varies over an appropriate subset of real numbers, defines a continuum of closed trajec-
tories of the system(14).
4S Example A very simple application which illustrates this procedure is the harmonic
oscillator
. .
XI =X2,X2=-XI'
Let us choose
Then
Since the equation V (x 1, x 2) = c defines a closed curve for each c > 0, we conclude that the
system above exhibits a continuum of closed trajectories, described by
xi x ~ =xio x ~
46 Example Consider again the predator-prey equations (40), and try a function Vof the
form
where h I and hz are to be selected so that Vis identically zero. Now
Sec. 3.3 Periodic Solutions 77
In order that Vbe identically zero, it is necessary that
which can be rearranged as
The left side of this equation is independent of x 2, while the right side is independent of x I .
Hence, in fact both must equal a constant, say c. In other words,
48
The solution of (48) is
Hence an appropriate choice in this example is
where the arbitrary constant c has been dropped without loss of generality. For the above
choice of \(, any set of the form (43) is actually a closed curve. Hence the family of curves
defined by
constitutes a set of closed trajectories for the predator-prey system. Note that V is defined
only in the first quadrant, i.e., if x I >0, X 2 >o.
49 Example Consider the pendulumequation
e+
K
sin8=0
l '
where 8 denotes the angle of the pendulum from the vertical axis, g is the acceleration due to
gravity, and l is the length of the pendulum. With the natural choice of state variables
XI =8,X2 =8,
the pendulumequation can be rewritten as
78 Second-Order Systems Ch.3
Let us once again choose V to be of the form (47). Then, in order for V to be identically zero,
we must have
which implies, as in Example (46), that
h;(x\) gh;(X2)
---- =const. =c.
sinx 1 I X2
The solution of these equations is
Hence the family of curves
x
2
+- cos Xl = const.
constitute a set of closed trajectories of the pendulumequation.
Remarks Examples (46) and (49) illustrate how the method presented here can some-
times yield good results. However, it should be clear that (i) a function V of the form (47)
does not always work, and (ii) even if it does, there is no guarantee that all closed trajectories
are ofthe form (44). Despite these limitations, however, the method nevertheless has some
value, as indicated by these two examples.
Problem 3.10 Consider a mechanical system consisting of a unit mass, a nonlinear
spring, and a nonlinear damper. Such a systemcan be modelled by the set of equations
where x I is the position of the mass, g (.) is the restoring force of the spring, and h(.) is the
damping force exerted by the damper. Assume that both gO and hO are continuously dif-
ferentiable. Using Bendixson's theorem, show that this system has no periodic solutions if
h' ~ ; f . 0 for all ~ ; f . 0, i.e., there is always some amount of damping when the mass is in
motion.
Problem 3.11 Sketch a vector field with exactly one node and one saddle. Show that it
is not possible to deform this vector field continuously in such a way that there is a periodic
solution enclosing both the node and the saddle.
Sec. 3.4 Analytical Approximation 79
Problem 3.12 Using the method of Section 3.3.5, show that the undamped unit mass-
nonlinear spring systemdescribed by
always has a continuum of periodic solutions if
Derive an expression for these closed trajectories.
3.4 TWO ANALYTICAL APPROXIMATION METHODS
In this section, we describe two techniques for obtaining analytical expressions that
approximate the periodic solution of second-order nonlinear differential equations. In con-
trast with the method presented in Section 3.3.5, which gives exact expressions if it works,
the two methods presented here are only approximate. However, they have the advantage of
having a wide range of applicability and of enabling one to study the so-called "slowly vary-
ing" oscillations. It should be emphasized that, depending on the particular problem to
which they are applied, one technique might work better than the other. Moreover, the two
methods presented here are only a small part of the numerous techniques that are available
for analyzing slowly varying oscillations.
3.4.1 Krylov-Boguliubov Method
The Krylov-Boguliubov method is an example of a so-called "averaging" method. It is
applicable to differential equations of the form
1 Y+Y = Ilf (y, y),
where 11 is a "small" parameter. The class of equations of the form (I) include several com-
monly encountered ones, such as the Van der Pol equation and the pendulumequation. Note
that, in (I), the angular velocity of the oscillations corresponding to 11 = 0 has been normal-
ized to I. This presents no loss of generality, and can always be achieved by scaling the time
variable t.
If11 = 0, the solution of (1) is of the form
2 y(t)=a sin (t +cp),
where a and cp are constants determined by the initial conditions. With this in mind, let us
assume that the solution of (I) when Il:t:- 0 is of the form
3 Y (t) =a (z) sin [t +cp(t)],
80 Second-Order Systems Ch.3
4 y(1)=a(t)cos[1+cj>(1)],
where a(-) and cj>(-) are "slowly varying," i.e., a(1) and are "small." Actually, if y(-) is
given by (3), then
5 y(1) = a(1) sin [1+ cj>(1)] + a (t) cos [1+ cj>(1)][ I +
Hence, in order for (4) to be valid, we must have
6 a
where the dependence of a and cj> on 1has been suppressed in the interests of clarity. Substi-
tuting for y and yfrom (3) and (4) into (I) gives
7 a cos (1+ cj -acj> sin (1+ cj = Ilf[a sin (1+ cj, a cos (1+ cj].
Equations (6) and (7) represent two linear equations in the two unknowns a Solving
for these quantities gives
8 a = u cos (1+cjf[a sin (1+ cj, a cos (1+ cj],
9 sin (1+cjf[a sin (1+cj, a cos (1+cj].
a
To find solutions to (I) of the form (3) where a(') is periodic, an extra condition is imposed,
namely
10
a (T)-a (0)
T
0,
or, equivalently,
11
T
If'
- a(1)d1=0,
To
where T is the period of the function a(). Unfortunately, (11) cannot be applied directly,
since the period T is in general dependent on Il and hence unknown. To get around this
difficulty, we observe that a(.) goes through one complete period as the phase a= 1+ cj>( 1)
goes from 0 to 21t. Thus the variable of integration in (II) can be changed from 1to a. Then
the limits ofthe integration become 0 and ,1t, and the integrand a(1) becomes, in view of (8),
12 IlcOSaf (a sin a, a cos a).
Finally, we make the approximation
Sec. 3.4 Analytical Approximation 81
13
d8 dt
21t =r
Equation (13) expresses the fact that as t varies over one period, 8 varies over 21t. Thus (11)
becomes 'd' i : ','f" r I
14
21t
_1_ J/l cos 8f (a sin 8, a cos 8) d8 = O.
21t 0
Similarly, if <1> is also required to be periodic with period T, this leads to the relationship
15
21t
_1_ Jl:!- sin 8f (a sin 8, a cos 8) d8 = O.
21t 0 a
Equations (14) and (15) can be used in the following way: Suppose we are interested in
approximating the periodic solutions of (1) by functions of the form
16 y(t)=a sin [(1 +8)t],
where a and 8 are now unknown constants. In this case, (14) and (15) simplify to
21t
17 Jcos8f(a sin O, a cos8)d8:;:O,
o
21t
18 Jsin8f(a sin8,acos8)d8=O.
o '
Since a is a constant, the function f (a sin 8, a cos 8) is periodic in 8 with period 21t and
hence can be expanded in a Fourier series. Now (17) and (18) state that in order for (16) to
approximate (to the first order in /l) a periodic solution of (1), it is necessary for the first har-
monic of the periodic functionf (a sin 8, a cos 8) to be zero. This requirement is sometimes
called the "principle of harmonic balance." We shall encounter the same reasoning in
Chapter 4 in connection with the so-called describing function method.
Note that the parameter /l does not appear in (17) and (18), because when we study the
periodic solutions of (1), we are in effect examining the steady-state oscillations of (1), and
/l does not affect the steady-state solutions. However, )l. is prominently present when the
so-called "slowly varying" or transient solutions of (1) are studied. For this purpose, we
make the approximations
19 ti(t)=::a(T);a(O),
82 Second-Order Systems Ch.3
where T is the period of the steady-state oscillations. However, as in studying the steady-
state oscillations, we have
21
22
21t
_a--,-(T--,-)c--_a_(,-O.:--) = _1_ f Il cos e f (a sin e, a cos e) de,
T 21t 0
21t
<\>(T) - <\>(0) = __1_f ~ sin e f (a sin B, a cos e) de.
T 21t 0 a
Hence the approximate equations describing the slowly varying oscillations of (I) are
23
24
21t
a= _1_ f Ilcosef(a sine, a cos e) de,
21t 0
21t
~ _1_ f ~ sinef(a sine, a cose)de.
21t 0 a
25 Example Let us apply the Krylov-Boguliubov method to the Van der Pol equation,
which can be rewritten in the form
This is of the form (l) with
Hence
f (a sin e, a cos e) =a cos e (l-a
2
sin
2
e)
[
a
3
] a
3
= a-
4
cose+
4cos3e.
The integrals in (23) and (24) are just the Fourier coefficients of this function, multiplied by
some constants. Thus the approximate equations (23) and (24) governing the slowly vary-
ing oscillations of (I) are given by
Sec. 3.4
27 $=0.
Analytical Approximation 83
To find a steady-state periodic solution of Van der Pol's equation, we set a= 0 and = 0,
which gives a = 2. Hence, to first order in u, the limit cycle of the Van der Pol oscillator is
described by
y (t) =2 sin (t + $0).
To get the slowly varying solution, we solve (26) and (27) which results in
a(t)=2 [ 1 1 ( )] 1/2, $(t)=$o,
+c exp -Ilt
where c is a constant determined by the initial conditions. Hence the slowly varying solu-
tion of Van der Pol's equation is
y(t)=2 [ 1 ] 1/2 sin(t+$o).
I +c exp(-Ilt)
Thus we see that, even though the parameter Il does not affect the steady-state solution, it
does affect the rate at which the transient solution approaches the steady-state solution.
3.4.2 Power Series Method
The power series method is applicable to autonomous second-order differential equa-
tions containing a "small" parameter Il and consists of attempting to expand the solution of
the given equation as a power series in u, Mathematically the method is full of pitfalls, but it
sometimes works reasonably well. The method is illustrated by an example.
Consider the differential equation
together with the special initial condition
29 y(O)=a, y(O)=O.
This equation can represent, for example, the motion of a unit mass constrained by a non-
linear spring. IfIl > 0, the spring is said to be"hard," whereas if Il < 0, the spring is said to be
"soft. "
Clearly, if Il = 0, the solution of (28) satisfying the initial condition (29) is
30 Yo(t)=acost.
If Il::l: 0 but is "small," then we can attempt to express the solution of (28) - (29) as a power
series in u, in the form
84 Second-Order Systems Ch.3
The idea is to substitute (31) into (28) and equate the coefficients of all powers of Il to zero.
However, if this is done blindly, some of the Yi(') may contain secular terms, i.e., functions
which are unbounded. To see this phenomenon, let us substitute (31) into (28) and set the
coefficients of all powers of u equal to zero. This gives
32 Yo+Yo=O;Yo(O)=a, Yo(O)=O.
33 Yt +Y, +Yb =O;Yt(O)=O,Yt(O)=O.
Solving first for Yo(') gives
34 Yo(t)=acost.
This is as expected, since Yo(') is the solution of(28) corresponding to Il =0. Now the equa-
tion for Y I 0 becomes
35
The solution of this equation is
36
3a
3
. a
3
a
3
Y I (t) =- -8- t sin t - 32cos t + 32cos 3t.
The t sin t term on the right side is the secular term, which arises because the forcing func-
tion of the nonhomogeneous equation' (35) for Y t contains a component of angular fre-
quency I, which is also the resonance frequency of the unforced system corresponding to
(35). Combining the above expressions for Yo and Y t gives an approximate solution to (28)
which is good to the first order in Il:
3 3 3
=(l-f.1ll
3132)cost-
tsint+ cos3t.
It is clear that the above approximation is unacceptable because it is an unbounded function
oft.
The presence of the secular terms can be rationalized as follows: If Il =0, the solution
of (28) is periodic with period 2x. However, if Il:;tO, the period of the resulting solution
need not necessarily equal Zn, though it will be close. On the other hand, since YoO, the so-
called"generating solution" of the sequence offunctions Y1('), Y20, ... , has period 2x, so
will all functions Yi()' This attempt to express a function whose period is not 2x as a series
using functions whose period is 2x leads to secular terms. As an example, suppose 0 is
"small," and let us expand cos [(1 + o)t] as a power series in O. This leads to
Sec. 3.4 Analytical Approximation 85
38
rit
2
cos [(I +o)t] =cos t - Ot sin t - -2- cos t ..
This power series converges uniformly in t over any finite interval, and can therefore be con-
sidered as a valid expression. However, if the series is truncated after a finite number of
terms, the resulting finite summation contains secular terms. Moreover, the periodicity and
boundedness properties of the function cos [( I + o)t] are not at all apparent from the above
power series expansion.
To alleviate this difficulty, suppose that the solution y(.) of (28) - (29) is periodic with
angular frequency ro, which is itself expressed as a power series in 11. In other words, sup-
pose
This can be rewritten as
Note that in (39) and (40) the dependence of the frequency on the initial condition a is expli-
citly identified. This is a purely nonlinear phenomenon which has no analog in linear sys-
tems. Substituting (40) and (31) into (28) and displaying only the constant and the first order
terms in 11 yields
Collecting/terms gives
42 Yo+ro
2Yo=0;Yo(0)=a,
Yo(O)=O,
43 YI +ro
2Yl
=-Yb
and so on. Solving these equations gives
44 Yo(t) = a cos rot,
45 Yl (t) + royI(t) =_a
3
cos' rot + cos rot
Now, in order that the solution for YI(-) does not contain any secular term, it is necessary
(and sufficient) that the coefficient of cos roton the right side of (45) be equal to zero. Thus
86 Second-Order Systems Ch.3
With this condition, the solution for YI (.) is obtained as
47
a
3
a
3
YI (t) =- --2cos oot + --2 cos 300t,
3200 3200
where
Hence the overall solution of (28)-(29), accurate to first order in Il, is given by
49
50
51
a
3
a
3
Y(r) = a cos oot - --2cos oot + --2cos 300t.
3200 3200
Example Consider the simple pendulumequation.
Y+siny =0.
Equation (51) can be approximated by
3
y+y- Y6 =0.
This equation is ofthe form (28) within Il =-116. Using the foregoing analysis, we conclude
that the frequency ofoscillation of the simple pendulum is related to the initial amplitude by
52
This is a refinement of the analysis based on the linearization of (51), which states that the
frequency of oscillation is independent of the initial amplitude. That conclusion is indeed
valid to first order in a, as can be seen from (52).
Problem 3.13 Apply the Krylov-Boguliubov method to Rayleigh's equation
Y+Y=Il[Y- y:].
Solve the same equation using the perturbation method, and show that both methods give the
same solution to the first order in u.
Problem 3.14 Apply the perturbation method to the Vander Pol equation
Sec. 3.4 Analytical Approximation 87
Problem3.15Apply the Krylov-Boguliubov method to the pendulumequation
3
y+y- Y
6
=0.
Show that the expression derived for the frequency of oscillation is the same as (52).
Problem3.16Consider the second-order equation
Y+Y = ~ f Y y), y(O) =0, y(O) =b.
Assuming that the function fis continuously differentiable with respect to both of its argu-
ments, show that both the Krylov-Boguliubov method and the perturbation method give the
same results.
NotesandReferences
Most of the material in this section is historic, and much of it can be generalized to
higher-order systems. Discussions of nonlinear oscillations can be found in many classical
texts, including Nemytskii and Stepanov (1960). The method of averaging, briefly intro-
duced in Section 3.5, can be made rigorous; see Boguliuboff and Mitropolsky (1961) or
Sanders and Verhulst (1985).
4. APPROXIMATEANALYSIS
METHODS
In this chapter, we present two methods for approximately analyzing a given nonlinear sys-
tem. Since a closed-form analytical solution of a nonlinear differential equation is usuaBy
impossible to obtain (except in some special examples, which are often contrived), it is use-
ful in practice to have some methods for carrying out an approximate analysis. Two
methods are presented here. The Describing Function Method consists of replacing a non-
linear element within a system by an "equivalent" linear time-invariant system which is in
some sense the best possible linear approximation of the given nonlinear system. This
method is often used to predict the existence of periodic solutions in feedback systems.
Singular Perturbation Methods,just touched upon here, are well-suited for the analysis of
systems where the inclusion or exclusion of a particular component changes the order of the
differential equation describing the system. It should be emphasized that these are just two
of the many methods that are available for approximate analysis. Moreover, even with
regard to these methods, the presentation here is merely an introduction, especially in the
case of singular perturbations.
4.1 DESCRIBING FUNCTIONS
In this section, the concept of describing functions is introduced, and it is demonstrated
that they can be used to predict the existence of periodic solutions in feedback systems.
4.1.1 Optimal Quasi-Linearization
The problem studied in this subsection is that of approximating a given nonlinear sys-
tem by a linear time-invariant system. Let C [0, 00) denote the set of continuous real-valued
functions over [0, 00), and suppose N is a given operator mapping C[0, 00) into itself. In
other words, given any continuous function XE C [0, 00), the operator N associates with it
another function NXE C [0,00). One can think of Nx as the output of a nonlinear system in
response to the inI?ut x. a slight abuse of notation, the nonlinear system is also denoted by
the symbol N.
The problem at hand is to approximate the given nonlinear system N by a linear time-
invariant system H in an optimal fashion. More precisely, suppose a function rE C [0, 00),
caBed the reference input, is specified. If H is a linear time-invariant system with the
impulse response h('),
1
then the output of H in response to the input ris given by
1 The concept of the impulse response is formalized in Section 6.4.
88
Sec.4. I
r
1 (Hr)(t) =Jh(t-'t)r('t)d't.
o
Describing Functions 89
A measure of how well the linear systemH approximates the nonlinear systemN is provided
by the error criterion
T
2 E (H) = lim 1-J[(Nr)(t) - (Hr)(t)f dt,
To
assuming of course that the indicated limit exists.I Thus the objective is to choose the linear
system H in such a way that the error criterion E(H) is minimized. A linear time-invariant
system H that minimizes the criterion E(H) is called an optimal quasi-linearization of the
nonlinear system N, and the problem of finding such an H is called the optimal quasi-
linearization problem.
The solution to this problem is provided in Theorem (12) below. But first a couple of
technical questions are laid to rest.
Afunction XE C[0, 00)is said to have finite average power if
3
T
lim 1-J x
2(t)dt=:P(x)
<00.
To
Note that" < 00" means that the indicated quantity exists and is finite. In such a case the
quantity P (x) is called the average power of the functionx. Thus the quantity E(H) in (2) is
just the average power of the errorfunction e =Nr - Hr, i.e., the difference between the true
system output Nr and the output of the approximate system Hr. It is natural to ask when
E (H) is well-defined.
4 Lemma Suppose x, yE C[0, 00)havefinite power. Then so does x +y.
Proof The proof is analogous to that of Theorem (2.1.33). Let F denote the subset of
C[0, 00)consisting of all functions with finite average power, that is,
5 F={XEC[O,oo):P(x)<oo}.
The claim is that F is a linear vector space. To show this, suppose Tis any finite number, that
I, gEC[O, T],anddefine
T
6 <I, g >TP = 1-J1(t)g (t) dt.
To
It is straight-forward to verify that <',. >TP satisfies all the axioms of an inner product space
2 This issue is cleared up later; see Lemma (4).
90. Approximate Analysis Methods Ch.4
(see Section 2.1.3). Thus, if we define
7
[ ]
1/2
T
1
2
m
IIfIlTP= T[f(t)dt = <I.T> ,
then it follows from Schwarz' inequality [Lemma (2.1.38)] that
Next, observe that a functionj'e C[O, 00)also belongs to F ifand only if
9 lim IIfll TP < 00.
T-->-
Now suppose x, YEF. Then
10
,
- 2 2
IIx+y II
TP
= IIxII TP + lIy II TP +2<x, Y>TP' from (4) and (7)
Letting T ~ 00shows that x +yE F.
Theorem (12) below characterizes solutions to the problem of optimal quasi-
linearization in terms of the so-called cross-correlation function. Suppose x, yE F. Then
their cross-correlation function +x,y(') is defined by
T
11 <Pxj't)= lim -.Lf x(t)y(t+'t)dt.
T-->-T
o
Note that <Px,y is well-defined since x and y both have finite average power.
12 Theorem Suppose the reference input rand the corresponding output Nrofthe non-
linear system both havefinite average power. Suppose H is a linear time-invariant operator
oftheform(1) such that HrE F. ThenHminimizes the error criterion E of(2) ifandonly if
13 <Pr,Hr('t) = <Pr,Nr('t), V t ~ O
Proof First, since both Nr and Hr belong to F by assumption, it follows from Lemma
(4) that the quantity E (H) is well-defined and finite. Now suppose G is another linear time-
invariant systemof the form
t
14 (Gx)(t)=f g(t-'t)x('t)d't
o
such that GrE F, and define
Sec. 4.1
15 d(t)=g(t)-h(t),
Describing Functions 91
16 (Dx)(t) =(Gx)(t)-(Hx)(t) =5d(t-T)X(T)dT=5d(T)X(t-T)dT.
o 0
Since GrE F, the quantity E(G) is also well-defined. Now from (2) we get
T
17 E(G) - E (H) = lim 1-5 ([(Nr)(t) - (Gr)(t)f - [(Nr)(t)- (Hr)(t)f} dt
To.
T
= lim 51- ([(Dr)(t)f + 2(Dr)(t)(Hr - Nr)(t)} dt.
T
Clearly, H minimizes the error criterion E if and only if for all suitable G.
Now the right side of (17) is nonnegative for all suitable operators Dif and only if the linear
term in Dr is identically zero, i.e.,
T
18 lim 1-5 (Dr)(t)(Hr-Nr)(t)dt =0, VD.
To
For brevity let e denote the function Hr <Nr. Substituting for Dr from (16) and interchang-
ing the order ofintegration gives
19
T t T [T ]
0= lim 1- 55 d(T)r(t-T)e(t)dTdt= lim 1-5 5r(t-T)e(t)dt d(T)dT.
t
However, since dO is an arbitrary impulse response, subject only to the condition that
GrE F, the coefficient ofd(') must be identically zero. Thus, after interchanging the order of
integration with respect to T and taking the limit with respect to T, the optimality condition
becomes
T T
20 0= lim 1-5 r(t-T)e(t)dt= lim 1-5 r(t)e(t+T)dt=4>r.e(T),

Finally, note that the cross-correlation function is bilinear; hence (20) becomes
21 O=4>r.Hr-Nr(T)=4>r,Hr(T)-4>r,Nr(T),
Equation (21) is the same as (13).
Theorem (12) represents an important principle, namely: H is a best possible linear
approximation to the nonlinear system N if and only if the linear system faithfully repro-
duces the input-output cross-correlation function of the nonlinear system. But it must be
emphasized that the approximation is best for the given reference input. If the reference
92 Approximate Analysis Methods Ch.4
input is altered, the corresponding "best" approximation is also altered in general. More-
over, even for a given reference input, there is in general more than one optimal quasi-
linearization.
22 Example Suppose N: C[0, 00) C[0, 00)is a memoryless time-invariant nonlinear-
ity of the form
(Nx)(t)=n[x(t)],
where n: R R is continuous, and suppose the reference input ris a nonzero constant, i.e.,
r(t)=k, V't
Thus r(') is a d.c. signal. It is easy to see that both rand Nr have finite average power. Now
an easy calculation shows that
'1>,.N,('t) =kn (k), V''! O.
Hence the optimality condition (13) is satisfied if
h(t)= ni
k)
O(t), (Hx)(t) = ni
k)
x(t),
where 0(') denotes the unit impulse distribution. Thus an optimal quasi-linearization of N
with respect to the chosen reference input is a constant gain of n (k)lk, sometimes called the
"d.c. gain" of N.
The above quasi-linearization is not unique. In fact can show that if H is a stable
linear time-invariant system the transfer function h(s), then H is an optimal quasi-
linearization of Nifandonly if h(O) =n (k)/k. (See Problem4.1.)
In the preceding discussion it is assumed that the reference input r is deterministic.
However, it is possible to define the notion of an optimal quasi-linearization of a nonlinear
operator with respect to a random input. Also, the development can be extended with no
essential changes to multi-input, multi-output systems. For a more detailed discussion, see
Gelb and Vander Velde (1968).
4.1.2 Describing Functions
By far the most commonly used reference input in optimal quasi-linearization is the
sinusoidal function
23 r (t) =a sin cot.
It is easily verified that rE F, i.e., r has finite average power. If the operator N is bounded-
input, bounded-output (BIBO) stable in the sense defined in Chapter 6, the output Nr is the
sum of two functions: (i) the steady-state response Zss which is periodic, and the (ii) the
transient response ZI, which decays to zero after some time. The same situation prevails if
Sec.4.1 Describing Functions 93
r is applied to a BIBO stable linear time-invariant system of the form (I). The determination
ofan optimal linear approximation to Nis greatly facilitated by the next two results.
24 Lemma Suppose rE F, andfE C [0, 00)satisfies
25 f l(t) dt < 00.
o
Then
26 epr,j=O.
27
Proof Note that (25) implies that
I T
lim -f l(t)dt=O.
T ~ To
28
By definition [cf. (II)],
I T
epr,.I't)= lim -f r(t)f(t+'t)dt.
T ~ To
By analogy with the inequality (8), we have
For each fixed r, as T ~ 00the first term on the right side remains bounded while the second
term approaches zero.
Lemma (24) does not depend on r being a pure sinusoid of the form (23). The next
result is more specialized.
30 Lemma Let r be as in (23). Suppose fE C [0, 00) is periodic with period 27t1ro, and
expandfin a Fourier series oftheform
31 f(t)=fo+ L[frksinkrot+.!itcoskrot].
k=1
Define
32 fl (r) =fr I sin rot +.Ii1 cos rot.
Then
94 Approximate Analysis Methods Ch.4
Remarks The lemma asserts that the cross-correlation between a periodic function f
and the pure sinusoid r depends only on the first harmonic of the functionf
Proof Let T =21Cl!m where l is an integer. In view of the well-known orthogonality
property of trigonometric functions, it follows that
34
27tl/oo 27tl/oo
Jr(t) sinkro(t +r) dt =0, Jr(t)coskro(t +'t)dt =0, I, Vbd.
o 0
Hence
27tI/oo 27t/loo
3S Jr(t)f(t+'t)dt= Jr(t)fl(t+'t)dt,
o 0
The 'desired conclusion follows upon dividing both sides of (35) by T = 21Cl!m and letting
.
Now we come to the main result.
36 Theorem Let r be as in (23). Suppose Nr =: z is ofthe form z =Zss +Z,n where Zss is
continuous andperiodic with period 27t1m, and
37 Jz;r(t) dt < 00.
o
A
Finally, suppose H is an operator ofthe form (J), and suppose h(s), the Laplace transform
ofh('), is a proper rationalfunction whose poles all have negative real parts. Under these
conditions, H is an optimal quasi-linearization ofN with respect to the input r ifandonly if
38 hUm) = gre+jgim ,
a
where
is the first harmonic ofZss'
Remarks Theorem (36) presents a condition sometimes called the principle of har-
monic balance. Suppose H is a linear time-invariant operator of the form (I). Then, as is
the case with the nonlinear output Nr, the function Hr =: y is a sum of the steady-state
response Yss which is periodic with the same period as r, and the transient response Y,r which
eventually decays to zero in view of the assumption about pole locations of the transfer
function h(s). Moreover, Yss is a pure sinusoid unlike Zss' IfhUm) = h
re
+jh
im,
then
Sec.4.1 Describing Functions 95
40 Yss(t) =h
re
a sin rot+h
im
a coscor,
Thus Theorem (36) states that the optimal quasi-linearizations of N with respect to the
sinusoidal reference input r are precisely those whose steady-state outputs (in response to r)
precisely match the first harmonic of the steady-state part of Nr. Since the condition (38)
specifies the value of h at only one frequency, it is clear that there are infinitely many optimal
quasi-linearizations of N.
Proof Condition (37) and Lemmas (24) and (30) together imply that
Theorem (12) states that H is an optimal quasi-linearization of N if and only if 4>r.Nr = 4>r.Hr'
But, as discussed in the remarks above, Y :=Hr is qte sum of the steady-state response Yss
and the transient response Yrr' The assumptions on h ensure that the transient response Ylr is
a finite sum of decaying (and possibly oscillating) exponentials; hence Ylr satisfies a condi-
tion analogous to (37). Thus
42 4>r,Hr = 4>r.y",
and H is an optimal quasi-linearization if and only if
43 4>r.z I = 4>r.y,,
It is left as an exercise to show that (43) holds if and only if z1 =Yss- From (40), it follows
that z , =Yssif and only if(38) holds .
44 Definition Let r be as in (23), and suppose z = Nr satisfies (37). Define ZI as in (39).
Then the describing function 1'1<',') of the operator N is the complex-valued function
defined by
45 ( )
gre+ jgim
11 a, ro = .
a
As has been observed above, for a given reference input r of the form (23) there can be
infinitely many optimal quasi-linearizations of N. However, once a and ro are fixed, the
describing function defined in (45) is unique.
46 Lemma Suppose N is a memoryless time-invariant nonlinearoperatoroftheform
47 (Nx)(t)=n[x(t)], V t ~ O
where n: R ~ R is continuous. Then 11(a, ro)is independent ofro.
Proof Since ris given by (23), it follows that
96 Approximate Analysis Methods Ch.4
48 z(t)=(Nr)(t)=n(a sin rot)
is also periodic with period 27t1ro, i.e., Zlr == O. Let Z I be the first harmonic of z. Then TJ(a, co)
is given by (45). Now let the reference input be
49 x (t) =a sin rot.
Thus r and x have the same amplitude, but different frequencies. Then
50 x(t)=r(rot/ro),
i.e., x can beobtained from r by time-scaling. Now, since N is memoryless, it follows from
(47) that
51 (Nx)(t) =(Nr)(rot/ro).
Hence the first of Nx and Nr are the same, allowing for the time scaling. There-
fore TJ(a, eo) =TJ(a, co).
52 Lemma Suppose N is oftheform (47), and in addition, n(') is an oddfunction. Then
TJ(a) is real for all a.
Proof Observe first that one can write TJ(a) instead ofTJ(a, co) since TJ is independent
of co by Lemma (46). If nO is odd, then (Nr)(t) is an odd function of t, and there are no
cosine terms in the Fourier series expansion of nr. Hence gim in (45) is zero and TJ(a) is real.

53 Lemma Suppose N is a memoryless time-invariant operator of the form (47), and

suppose in addition that nO is odd. Finally, suppose there exist constants k I and k
2
such
that
Then the describingfunction TJ ofNsatisfies
Remarks A nonlinearity nO satisfying the bounds (59) is said to tie in the sector
[k I' k
2
], since the graph of the function nO lies between two straight lines of slope k I and
k2 passing through the origin (see Figure 4.1). Note that k I ::;; k2, but one or both of the con-
stants could be negative.
Proof By Lemma (52), TJ(a) is real for all a. Moreover,
Sec.4.1 Describing Functions 97
Fig.4.1
2lt1lO
56 Tl(a) = f n (a sin oot)sin oot dt
1tlI
o
a
21t
= _1_ f n(a sinB)sinBdB, lettingB=<Ot
1tlI
o
21t
f k I (a sin B)2 dB, by (54)
1tlIo
The proof that Tl(a):5:k 2 is similar.
", (0)
o
_____...J-I
Fig. 4.2
57 Example Consider the nonlinearity shown in Figure 4.2, usually referred to as the
"sign" nonlinearity. If an input r of the form (23) is applied to this system, the resulting out-
put is a square wave of amplitude I, irrespective of what a is (so long as a :t:. 0). The first har-
monic of a square wave has amplitude 411t, so the describing function of this nonlinearity is
4
Tl(a)=-.
1tlI
98
Fig. 4.3
Slope zn,
Approximate Analysis Methods
o
Ch.4
58 Example Consider an element n() which is piecewise linear, as shown in Figure 4.3.
For I(J I :50, the nonlinear element acts like a gain of value m1, but the gain reduces to m2 if
the input value exceeds 0 in magnitude. If a sinusoidal input r of the form (23) is applied to
this element and if Ia I :50, the output is another sinusoid of amplitude aOand is in phase
with the input. Therefore
T}(a)=O ifO<a:50.
However, if Ia I > 0, the output of the nonlinearity is a "clipped" sine wave as shown in Fig-
ure 4.4. In this case, itcan beverified through laborious but routine calculations that
Fig. 4.4
sin-I . 7T
Q 2"
wI
This can beexpressed more compactly. Define the function
59
A sketch of the graph ofthe functionj'is shown in Figure 4.5. It is easy to verify that
Sec. 4.1
Fig. 4.5
j{x)
Describing Functions
x
99
Though Figure 4.3 depicts the case where m I > m2' the above expression is valid for
any choice of m I and m2' By choosing various values for these two constants, one can
obtain the describing functions of several common nonlinear characteristics. For example,
if m I =0, then the nonlinearity becomes the "dead zone" characteristic shown in Figure 4.6.
If m I >0 but m 2 =0, then we get the "limiter" characteristic of Figure 4.7.
(J
Fig. 4.6
Slope ml
(J
Fig.4.7
100 Approximate Analysis Methods Ch.4
Fig. 4.8
Thus far all the examples have involved only memoryless nonlinearities. The next two
examples discuss nonlinearities with memory.
60 Example Consider the hysteresis nonlinear operator N shown in Figure 4.8. In the
steady-state, the output (Nx)(t) follows the upper straight line when the input is increasing
[i.e., xU) >0] and the lower straight line when the input is decreasing. The number a in Fig-
ure 4.8 depends on the amplitude of the input and is nota characteristic of Nitself. Thus
{
mx(t ) + b if x(t) >0
(Nx)(t) = .
mx(t) - b ifx(t) < 0
and "jumps" when x(t) goes through zero.
Suppose a sinusoidal input r of the form (23) is applied to N. The resulting steady-state
output is shown in Figure 4.9. One can express Nr(') as the sum of two signals as shown in
Figure4.10. From this it is clear that the first harmonic of the steady-state part ofNr is
. 4b
z 1(t) =ma sin rot + - cos rot.
1t
Hence
()
.4b
1'\ a, co =m +J-.
1ta
Note that 1'\ is once again independent of eo, because time scaling does not affect the output
of N. Hence, even though N is not memoryless, the arguments in the proof of Lemma (46)
apply.
61 Example Consider the hysteresis nonlinear operator N shown in Figure 4.11. In this
case, if the input amplitude is less than 15, the output is simply equal to zero.
Sec.4.1 Describing Functions WI
a
------F---...L----"Ir----'----;--__. wt = 8
2".
-a
Nr
rna+b
rna-b
b
____-+-__...L-_+"--_--'-__ wt = 8
-b
-rna+h
-rna - b
Fig.4.9
rna
b j,II'-......,
__ wt
2".
-b
-rna
Fig.4.10
Tl(a)=Oifa
Ifthe input amplitude a exceeds 0, then, in the steady-state, the output signal Zss is as shown
in Figure 4.12. Let (0, 7f!2)be the unique number such that
A I 20
smp e --.
a
For convenience let edenote O>t. Then the steady-state output is described by
102
Nx
Approximate Analysis Methods Ch.4
__ X
Fig.4.11
zss(t) =
rna sin9-mB,
m (a -B),
rna sin9+mB,
-m (a -B),
rna sin9-mB,
for Os;
for 7tI2 9 1t - f3
for 1t - f3 9 37t12
for 37t12 f3 21t- f3
for 21t- f3 9 21t
After some character-building computations, one finds that if a B,then
TJ(a)=TJre +iTJim,
where
rna 4mB B
TJre(a) = -2[1-j(l-2&'a)], TJim(a)= -(--1),
1t a
andjO is thefunctiondefined in (59). Of course, if I a I <B,then TJ(a)=0.
4.1.3 Periodic Solutions: Informal Arguments
In this section, we discuss the application of the describing function method to the
problem of predicting the existence of periodic solutions. The arguments given here are
informal, and can only beused to predict the likelihood of periodic solutions. The next sec-
tion presents some precise results under which one can guarantee that periodic solutions
exist, or that they do not exist.
Consider the nonlinear feedback system shown in Figure 4.13, where G is linear and
time-invariant, and N is nonlinear. Specifically, it is assumed that the operator'G is of the
form
Sec. 4.1
r(t)
Describing Functions 103
a
a - 21l
o f--_......._.-I.--t---....._-"--.....---wt
--a+ 21l
--a
z.. (t)
m(a - 6)
mil
-mil
Fig.4.12
1-1--_.....- ........_"--+-_....._-"--......._-_wt
o
+
+ 0
Fig.4.13
62 (Gr)(t) = f g(t-t)r(t)dt,
o
where g (.) satisfies the condition
104
63 flg(t) I dt < 00.
o
Approximate Analysis Methods Ch.4
As shown in Section 6.4. this hypothesis implies that the operator G is BIBO stable. More-
over, by minor variations of the arguments used therein, one can show that G maps F into F;
in other words, Gr has finite average power whenever r does. The nonlinear element N is
also assumed to map F into itself. Moreover, it is assumed that if r is a pure sinusoid of the
form (23), then Nr =: Z = Zss + ZIn where Zss is continuous and periodic with period 2woo, and
Z'r satisfies (37). In effect, the assumption is that N has a describing function T](a, (0) for all
a, oo;?:O. Now. in the absence of an input, the system ofFigure4.13 is described by
64 x=-GNx.
The problem is to determine whether there exists a nonzero periodic function x() satisfying
(64).
The common approach to solve this problem is to assume that (64) has a periodic solu-
tion of the form
65 x (r) =a sin OOot,
where a and 000 are to be determined. Now, by assumption, the steady-state part Zss of Nx is
also periodic with a period of 2woo. Moreover, by definition, the first harmonic z"l of Nx is
given by
where
67 ~ e x p j :=T](a, 000)
is the describing function of the nonlinearity N. Now define the transfer function g(s) of the
linear time-invariant operator in the familiar way, namely
68 g(s)=Jg(t)exp(-st)dt.
o
If the input Z =Nx is applied to G, then Gz =: Y also consists of a sum Yss +Yin where Y,r
satisfies a condition analogous to (37), and Yss is periodic with period 2wOOo. Moreover, if
69 gUOOo) = yexp US),
then the first harmonic ofYss equals
Sec.4.1 Describing Functions 105
70 Yl(t)=-ylUl sin(COot+<l>+9).
Now the essence of the method is to equate Y I to x. Strictly speaking, this is not correct,
because (64) is the equation we want to solve, not
71 x = first harmonic of- GNx.
But the rationale is that if G is a low-pass filter, then gUO) very rapidly as 0) increases,
so that the higher harmonics of Nx are attenuated by G, and GNx is virtually a pure sinusoid.
Thus (71) is a good approximation to (64).
By substituting from (70) into (71), one observes that (71) is equivalent to
72 .s: I +gUCOo) 11(a, COo) =0.
Some authors refer to (72) as the principle ofharmonic balance. Note that (72) is quite unre-
lated to Theorem (36). If (72) is satisfied for some choice of a and COo, then informally one
believes that there is a periodic solution of (64) which is "close" to (65).
In the special case where 11 is independent of 0), (72) is particularly easy to solve. As
the preceding examples show, 11 is indeed independent of 0) for a wide class of nonlineari-
ties, so this is a very useful and important special case. In this case (72) can be rewritten as
73
"U) I
g COo =- 11(a)'
This equation can be solved graphically by plotting gUO) as a function of0) and -1!rl(a) as a
function of a on the same plane. Every intersection of these curves corresponds to a solution
of (72) and thus represents a potential periodic solution.
74 Example Consider the feedback systemof Figure 4.13, where
"( ) 50
g s = ,
(s + l)(s + 2)(s + 3)
and N is the hysteresis nonlinearity of Example (60) with
m=0.3, b =0.01.
Then, as derived in Example (60), we have
11(a)=0.3+jO.04.
1ta
Figure 4.14 shows the plots of gUO) and of -1!rl(a). One can see that the two plots intersect
at -1.23 +j 1.61, which corresponds roughly to
106 Approximate Analysis Methods
Im'g(jw)
Ch.4
_-L. ---"'-- . . . ~ - - - Re g(jw)
g(jw)
Fig.4.14
00=0.62, a =0.0325.
Hence one predicts a limit cycle with an amplitude of 0.0325 and an angular frequency of
0.62 rad/sec, i.e., a period of roughly ten seconds .
An even simpler special case occurs when N is an odd mernoryless operator of the form
studied in Lemma (53). Suppose to be specific that the function nO lies in the sector
[k I, k
2
] where k I ~ O. Then 1'\(a ) is always real and the plot of -I!rl(a) is contained within
the interval [-Ilk i - -llk
2
]. If k I = 0, then the plot of -I!rl(a) is contained within the half-
line (- 00, -Ilk2]' Hence the frequencies of potential periodic solutions are precisely those
frequencies at which the plot of g(joo) intersects the negative real axis.
75 Example Consider the feedback system of Figure 4.13, where
~ ) (s +20)2
g S =
(s + I)(s + 2)(s + 3)
Suppose N is the limiter nonlinearity of Figure 4.7, with
The Nyquist plot of g(joo) is shown in Figure 4.15. The plot intersects the negative real axis
twice; roughly
g(j 5.4197) =- 2.1771, g(j 11.9007) =-0.3062.
The corresponding values of 1'\ satisfying (73) are given by
I I
1'\1 = 2.1771 =0.4593,1'\2 = 0.3062 =3.2657.
Since the slopem 1equals 4, using the results of Example (58) shows that we must have
Sec. 4.1 Describing Functions
Img(jw)
107
WI = 5.4197
--...... ~ ~ .....-_Re g(jw)
(Not to scale)
Fig. 4.15
"
TI I Tl2
[(110 I) = 4 =0.1148./( 1102) = 4 =0.8164.
Now one can compute that
01 = 11.0742, 02 = 1.4184.
Hence for this system we predict two limit cycles: one at an angular frequency of 5.4197
rad/sec and an amplitude of 11.0742, and another at an angular frequency of 11.9007 rad/sec
and an amplitude of 1.4184.
Problem 4.1 Suppose N is defined as in Example (22), and let the reference input pe the
constant signal k. Show that a linear time-invariant system with the transfer function h(s) is
an optimal quasi-linearization of N if and only if h(O) = n (k )/k.
Problem 4.2 Given two operators N I and N2 of the type studied in Section 4.1.1,
define their sumN I +N2 to be the operator defined by
Let rE F be a given reference input. Show that if Hi is an optimal quasi-linearization of N,
for i = I, 2, then H 1 +H 2 is an optimal quasi-linearization of N I +N2.
Problem 4.3 Using the results of Problem 4.2, show that the describing function of the
operatorNI +N
2
is given by n.rc, (0)+1'12(0, (0).
Problem 4.4 Verify that the nonlinearity of Figure 4.3 is the sum of the nonlinearities
of Figures 4.6 and 4.7 respectively. Verify that the describing function of the sum function
is the sum ofthe describing functions of the individual nonlinearities.
Problem 4.5 Using the results of Problem4.3, show that the describing function of the
dead-zone limiter shown in Figure 4.16 is
108
1/(X)
Approximate Analysis Methods
Slope = m
Ch.4
----..L...--7-_-+_....,Ilt....._L..- I ~ X
Fig.4.16
Problem 4.6 Using the results of Problem4.3, show that the describing function of the
piecewise-linear nonlinear element shown in Figure 4.17 is
-----""'-........--#-......... I ~ X
Fig.4.17
Problem4.7 Let n(.), n I (.), and n2(.) beodd functions such that
Let TI(-), TI I (.), and Tl2 (-) denote respectively the describing functions of these nonlinearities.
Show that
Problem 4.8 Consider the feedback systemof Figure 4.13 with
A() (5 + 20)(5 + 30)
g 5 =
(5 + 1)(5 +2)(5 +4)
Analyze the possible existence of periodic solutions when
Sec. 4.2 Periodic Solutions 109
(a) Nis the sign nonlinearity of Figure 4.2;
(b) Nis the limiter nonlinearity of Figure 4.7 with slope = 4 and ~ = 2;
(c) Nis the dead-zone nonlinearity of Figure 4.6 with slope = 2 and ~ O l
4.2 PERIODICSOLUTIONS: RIGOROUS ARGUMENTS
In this section, we study the existence of periodic solutions in the system of Figure
4.13. But in contrast to Section 4.1.3, the arguments presented here are mathematically
rigorous.
Though the contents of the present section logically belong just after Section 4.1 for
pedogogical reasons, they make use of several concepts that are only introduced in Chapter
6. Thus the reader is advised to read Chapter 6, at least through Section 6.5, before tackling
the present section.
Throughout the section, the object of attention is the single-input, single-output feed-
back system shown in Figure 4.13, where G is linear and time-invariant, and N is a memory-
less nonlinear element. Specifically, it is assumed that the operator G is of the form
I
1 (Gx)(t) =f g(t-'t)x('t)d't,
o
where
2 fig(t) I dt < 00.
o
The operator Nis of the form
3 (Nx)(t)=n[x(t)],
where n(-) is an odd continuous function. The describing function of Nis denoted by nr-). In
the absence of an input, the system of Figure 4.13 is described by
4 x=-GNx.
Note that since n (0) = 0, x == 0 is always a solution of (4). Thus the objective is to determine
whether the equation (4) has any nontrivial periodic solution.
Two types of results are presented here. The first type of result gives conditions under
which one can conclude that there does not exist a nontrivial periodic solution to (4), while
the second type of result gives conditions under which one can conclude that there does exist
a nontrivial periodic solution to (4).
lID Approximate Analysis Methods Ch.4
The hypotheses on gand N are stated next. As stated above, G is of the form (I )-(2),
while N is assumed to be of the form (3) where n(-) is an odd continuous function. More-
over, it is assumed that the function n(.) is continuously differentiable, and that its derivative
n' satisfies
A function satisfying (5) is said to belong to the incremental sector [kI, k
2
]. Note that (5) is
a more restrictive condition than (4.1.54).
It is now shown that, using a technique known as loop transformation, one can assume
that k 1 = - k 2 without loss of generality. Suppose c*,O is a real number, and suppose the
plot of gUro) neither intersects nor encircles the point -lie. Then, by the Nyquist criterion
[see e.g., Theorem (6.5.35)], it follows that the operator (I +cG)-1 G is also of the form (1)-
(2). Now a periodic function x satisfies (4) if and only if
6 x +cGx =-GNx +cGx =- G(N -cI)x, or, equivalently, x =(1 +cG)-1 G(N-cI)x,
where I denotes the identity operator. Now the operator N - cI is also memoryless, and
n - cI is also odd. Moreover, it is easy to see that it belongs to the incremental sector
[k,-c, k
2-c].
Inparticular,ifonechooses
7
then N - cI belongs to the incremental sector [-r, r]. Hence, without loss of generality, one
can assume that in (4) the nonlinear element N belongs to the symmetric incremental sector
[-r, r].
There is another notational change to be introduced. We are seeking periodic functions
x(-) satisfying (4), of whatever period. Now, the set of all periodic functions is quite an
unwieldy object. In fact, it is not even a linear vector space. So, in order to impart some
structure to the problem, let us normalize the period to 21tby scaling the time variable. Thus,
if x(t) is periodic with a period of 27f1ro and angular frequency ro, then x(t/ro) is also
periodic, but with a period of 21t. By scaling time in this manner, it can be assumed thatthe
unknown quantity x in (4) belongs to the set L
2[O,
21t] of real-valued, measurable, square-
integrable functions over [0, 21t]. (See Section 6.1 for more details about the set L
2
. ) But
this time-scaling has an important side effect: Let x lJ) denote the function mapping t into
x (t lro). Since N is memoryless, it is easy to see that N is not affected by time-scaling; i.e.,
Nx lJ) = (Nx )lJ)' However, the operator G is affected. In fact; it is necessary to replace G by a
family of operators Geo- Though it is intuitively clear how this is done, the procedure is
explained below so as to leave no misunderstanding.
Suppose SE L
2[O,
21t]. Then s has a Fourier series in the familiar form
Sec. 4.2 Periodic Solutions III
8 'EIm[YmexpUmt+Sm)],
m=1 1,[1
where
Now suppose x is periodic with period 27t1ro. Then s (t) =x (tiro) is periodic with period 21t.
In the steady state (Gx)(t) is periodic with period 27t1ro, while (Gx)(tlro) is periodic with
period 21t and hence belongs to L
2[0,
21t]. To compute its Fourier series, define the
sequence of complex numbers
10 =gUrom),
and suppose s(.) is of the form (8). Then it is easy to see that
co
11 (Gx)(tlro)= LIm[gUrom)YmexpUmt+Sm)].
m=O
Let us now define the operator Gil}: L
2[0,
21t] L
2[0,
21t] by (II). With this definition, it is
true that (Gx)w =Grox
w;
that is, if x wE L
2
[0, 21t] is the time-scaled version of x, then GroX
w
is the time-scaled version of (the steady-state part of) Gx.
With this notation as well as the loop transformation described earlier, the problem
under study can be restated as follows: Suppose G is an operator of the form (I )-(2), and let
{Gw} denote the corresponding family of operators defined by (II). Suppose N is a
memoryless, time-invariant, odd nonlinearity of the form (3), belonging to the incremental
sector [-r, r]. Iris desired to know whether there exist (i) a function XE L
2[0,
21t], and (ii) a
number ro >0, such that
12 x =-GwNx.
If (1,2) is satisfied for some xEL
2
[0, 21t] and some ro>O, then ro gives the frequency of
oscillation while x gives the waveform.
To simplify the problem further, we restrict attention only to those functions in
L
2[0,
21t] that possess no d.c. bias, i.e., those functionsxt-) with the property that
21t
13 Jx(t)dt=O.
o
Let L
20[0,
21t] denote the set of all such functions. One can see that L
20[0,
21t] is precisely
the subspace of those functions in L
2[0,
21t] whose Fourier series do not contain a constant
term. Ifwe define the norm of a function x inL 20 [0, 21t] by
112
14
Approximate Analysis Methods
IIx II = [_1Tx2(t) dt] 112,
21t 0
Ch.4
then L
20[0,
21t] is a closed subspace of L
2[0,
21t] and is therefore a Banach space in its own
right.
Theorem (19) below gives conditions under which (12) does not have a solution. To
make the theorem statement concise, some notation is first introduced. Given g, N, define
the sets no c Q c R as follows:
For each roeR, define
17 A(oo)=suplgUook)I,
k ~
and for each roeQ define
18
cr(oo) = A(00)r
2
.
l-A(oo)r
Finally, for each roeQ-Q
o,
define D(oo) to be the disk in the complex plane centered at
-l18Uoo) and of radius ouo).
19 Theorem (Nonexistence of Periodic Solutions) (i) For all roeQo, (12) has no non-
trivial solution in L
20[0,
21t]. (ii) Suppose roeQ-Q
o
and that the disk D (00) does not inter-
sect theplotof nia) as a varies over R; then (12) has no nontrivial solution inL
20[0,
21t].
Proof For each XEL
20
[0, 21t], let Px :=x I denote the first harmonic of x. Then P is a
projection operator on L
20
[0, 21t] in the sense that p
2
= P. Let Q= I - P where I is the iden-
tityoperator, and denote Qx by Xh' Thusx, denotes the higher harmonics of x. Clearly
20 IIPx II S; IIxII, IIQx II S; IIxII, 'txEL
20[0,
21t].
It is easy to see from (11) that GroP =PG ro' and that GroQ = QG roo Now it is clear from (11)
that
21 II GroPx II = IgUoo) 1IIPx II, 'too> 0, 'tXE L
20[0,
21t],
22 II GroQx II S; sup IgUrok) 111 Qx II = I..{oo) II Qx II, 'too> 0, 'tXE L
20[0,
21t],
k ~
Sec. 4.2 Periodic Solutions II3
23 II GroX II s sup Ig(jrok) Illx II, Vro> 0, VXE Lzo[O, 21t].

Finally, observe that since n(') belongs to the incremental sector [-r, r], we have
24 IINx -Ny II r IIx- y II, Vx, yELzo[O, 21t].
To prove (i), suppose roE no. Then (23) and (24) show that the operator - GroN is a
contraction on L zo[0, 21t]. Hence, by the contraction mapping theorem [Theorem (2.3.1)], it
follows that (12) has a unique solution for x. Since x =is already a solution, we conclude
that it is the only solution.
To prove (ii), suppose roEn-no, which means that A(ro) < r-
I
. Let H denote the
range of the projection Q. Thus H consists of those functions in Lzo[O, 21t] whose first har-
monic is identically zero. It is a closed subspace of Lzo[O, 21t] and is thus a Banach space in
its own right. Similarly, let F!:: Lzo[O, 21t] denote the range of the projection P. (Note that
the present usage of F is different from what it is in Section 4.1.) Thus F is a two-
dimensional subspace spanned by the two functions sin t and cos t. Now, by successively
applying the operators P and Qto (12), we see that (12) is equivalent to the following two
equations:
Let us first study (26), treating x I as a given quantity and Xh as the unknown. Since
A(ro)r < 1, it follows from (22) and (24) that the map Xh M - QGroN(x 1 + Xh) is a contrac-
tion. Hence, once again by the contraction mapping theorem, it follows that (26) has a
unique solution for Xh corresponding to each x I' Let us denote this solution by a(x 1)' Next,
one can obtain an estimate for II a(x d II using (2.3.1) with P=A(ro)r and the initial guess
xh =0. Then (2.3.1) implies that
27
II QGroN(x 1) II
lIa(xd II
1-I\.(ro)r
SinceN(O) =0, (24) shows that
=
II GroQN(x I) II
l-A(ro)r
29
Also, it follows from (17) that IIGroQ II Combining (27) and (28) shows that
A(ro)r
lIa(xl) II s A IIx1 II.
1- (ro)r
Now, since (26) has a unique solution for Xh corresponding to each Xl EF, it follows
that (25) and (26) together are satisfied if and only ifthere exists anx I EF such that
114 Approximate Analysis Methods Ch.4
35
or equivalently,
At this stage, it is convenient to identify the set F with the complex plane, as follows:
Suppose
32 xl(t)=asint+bcosteF.
Then we define ep(x I) as the complex number a +jb; note that ep(x I) is sometimes called the
"phasor" representing x I' One advantage of this representation is that
a fact well-known to undergraduates. Now let ep be the phasor representing th.e function
Then from (24) and (20), it follows that
A.(or
2
lIyll $r 1I a.(x l ) II $ 'l.f IIx
lli
=o(olIx
llI,
l-"",or
where the second step follows from (29). Now look at the phasorrepresentation of(31). By
the definition of the describing function, we have
In other words, the (phasor representing the) first harmonic of Nx I is just the describing
function ofNtimes the (phasor representing the) signal x I' Hence (31) becomes
If gUo ~ this is equivalentto
38 [_1_+T\(lIx 1\0] ep(XI) =-ep(y).
gUo
One advantage of the phasor representation is that it is norm-preserving, i.e.,
Hence, in order for (38) to hold, we must have
Sec. 4.2 Periodic Solutions 115
40
41
where the last inequality follows from (35). If lj>(x ))"#0, then it is possible to divide both
sides of (40) by lj>(x 1) to yield
I I I
I --+Tl(lIx)II) 1$0(00).
I gUoo) I
From the definition of the disk D(oo), (41) implies that T)(lIx
1
1l )e D (00). However, by
hypothesis, the plot ofT)(a) as a varies over R does not intersect the disk D (00). Hence (41)
cannot be satisfied. Therefore (40) can be satisfied only if x I =0, which implies that (12) has
no nontrivial solution.
The next result gives conditions under which (12) does have a nontrivial solution. Sup-
pose there exist a real number a 0 and a frequency 000 such that the harmonic balance condi-
tion
42
is satisfied. Then, under certain relatively mild conditions, one can guarantee that (12) has a
nontrivial solution with a frequency "near" 000 and a first harmonic amplitude "near" ao.
Again, some preliminary definitions and notation make the theorem statement more con-
cise.
Let us plot T)(a)as a varies over (0, 00), and denote the resulting plot by E. If(42) holds,
then clearly the disk D (000) intersects the plotE, since -IJgUOOo) belongs to D (000). Now, if
00 is either increased or decreased from 000, the disk D (000) might eventually not intersect the
plot E. Let [00/, OOu1be the interval containing 000 such that D (00)intersects the plot E for all
roe [00/, ooul, but not if 00 is increased beyond either limit. Of course, if (42) is satisfied for
several values of 000, then there is one such interval corresponding to each 000. The
definition of 00/ and OOu makes it clear that the disks D (00/)and D (oou) are tangent to the plot
E, and hence to the real axis. The situation can be depicted as in Figure 4.18. Now define
43 S= U D(oo).
OlE[Ill/.Ill.]
Then it is easy to show that S is a connected set. Moreover, every point on the boundary as
of S is a boundary point of D(oo) for some roe [00/, ooul. Let Tl(a/), T)(a
u
) denote the two
points on the real axis where the boundary of S intersects the real axis. (Again, refer to Fig-
ure 4.18.) Now we make a couple of assumptions.
116
1m - I/g(jw)
Approximate Analysis Methods Ch.4
'1(a), Re - I/g(jw)
-IliUm)
Fig.4.18
A1. The map n: [ai, au1 [Tl(a/),Tl(a
u)]
is continuous, one-to-one, and has a continu-
ous inverse.
A2. On the interval [00/, oou1, the map taking 00 into Img(joo) is continuous, one-to-
one, and has a continuous inverse.
Now the main result can bestated.
44 Theorem Suppose Assumptions (Al) and (A2) are satisfied. and that [00/, oou1
Then there exist an ae [ai, au1 andan roe [00/, oou1 such that (12) has a nontrivial solutionfor
x, and moreoverx I (r) = a sin oot.
The proof of Theorem (44) is based on the following result, known as the Leray-
Schauder fixed point theorem. Actually, what is given here is a simplified version suitable
for the present situation. The general result can befound in Lloyd (1978).
4S Theorem Suppose M R
2
is closed, bounded, simply connected, and contains O.
Suppose H: M --+ R
2
is continuous. Finally, suppose thatforevery pointpE aM,
46 H(P)#Ap, \;fA.> 1.
Then H has afixedpoint in M; i.e., there exists ape M such that H (P) =p.
Remarks Comparing the Leray-Schauder fixed point theorem with the contraction
mapping theorem of Section 2.3, one can see several important differences. Unlike the con-
traction mapping theorem, the Leray-Schauder theorem does not state that there is only one
fixed point; moreover, it does not give any systematic procedure for finding a fixed point.
Thus the Leray-Schauder theorem is purely an existence theorem. On the other hand, its
hypotheses are quite different from those of the contraction mapping theorem.
Sec. 4.2 Periodic Solutions 117
Proof ofTheorem (45) Define the rectangle
and define a map z: R ~ Cby
48
I
z(a, ro)=T\(a)+--.
gUro)
(0,0)

'- ~ 11 (au ) + .. ~
g(/wu)
Fig.4.19
Then the image of R under the map zis-the set M shown inFigure 4.19. By identifying the
complex plane C with R
2
in the obvious fashion, one can also think of M as a subset ofR
2

Clearly OE M, because of(42). Hence Msatisfies all the hypotheses ofTheorem (45).
I
Im--=Imz.
gUro)
49
The map z:R ~ M is continuous and onto. Now it is claimed that zis one-to-one and
that z" is continuous. To establish this claim, suppose zis given. Since T\(a) is real, it fol-
lows that I
puo e cd1.
By Assumption (A2), this determines co uniquely. Once rois known, we have
50
I
TJ{a)=Rez -Re --.
gUro)
By Assumption (AI), this determines a uniquely. Thus z is one-to-one. It is clear that Z-I is
also continuous in view of Assumptions (AI) and (A2).
NowdefineamapH:M ~ R
2
as follows: ForeachpEM, let (a, eo) =Z-l(p). Let
51 xJ = a sin rot.
Let a(x 1) denote the corresponding unique solution of (26), and let y beas in (34). Finally,
define
118
S2 H(P)=- cI>(y) ,
a
Approximate Analysis Methods Ch 4
where cI>(y) is the phasor representation of y. Here again we identify the complex number
<j>(y) with an ordered pair of real numbers in the obvious fashion. Note that His the composi-
tion ofcontinuous maps and is therefore itself continuous.
Now it is claimed thatHsatisfies the condition (46). To show this, supposepE aM. It is
clear from Figure 4.19 that if pE aM and (a, (0) =Z-I (P), then either a =ai or au, or else
00=w[ or w
u
' or both. Now, since WE [00[, w
u
] n, all the arguments used in the proof of
Theorem (19) apply. In particular, (35) holds; i.e.,
S3 lIy II :5cr(w) IIxl II =cr(w)a.
Hence
S4 IH(P)I :S;cr(w).
However, it is claimed that, whenever pE aM,
SS Ip I
To establish (55), we consider four cases, namely: (i) a =a[, (ii) a =a
u
, (iii) 00=00[, and (iv)
00= w
u
' At least one of these must be true whenever pE aM. Suppose first that a =a[. Then,
from Figure 4.20, one sees that
-llg(jw)
I
f/(a,) + g(jw)
Fig. 4.20
S6
Similar reasoning applies if a =au. Now suppose 00=00[. Since the disk D (o) is tangent to
the real axis and 11(a ) is always real, it follows that
Sec. 4.2 Periodic Solutions 119
57
This can also be seen from Figure 4.18. Similar reasoning applies if 00= oou' This estab-
lishes (55). Finally, (54) and (55) together prove (46).
Since all the hypotheses of Theorem (45) are satisfied, we conclude that there exists a
pE M such that H (P) =p. Equivalently, there exist an aE [ai, au] and an O>E [00/, oou] such
that
58 l1(a) + -A_1_ =- cjl(y) ,
gUoo) a
where y is given by (34). Multiplying both sides of (58) by gUoo)a leads to
59 a + gUoo) l1(a) a =- gUoo) cjl(y).
If we define x I by (51), then the left side of (59) is precisely the phasor representation of
x I + GwPNxI, while the right side of (59) is the phasor representation of
Hence x 1 satisfies (31). By the discussion preceding (31), we conclude that
is a nontrivial solution of (12).
Theorems (19) and (44) apply to the case where the nonlinear element n(.) belongs to
the incremental sector [-r, r]. As mentioned above, this represents no loss of generality, as
one can always carry out a loop transformation; see the paragraph containing Equations (6)
and (7). Nevertheless, it is desirable to recast Theorems (19) and (44) to cover the case of a
general nonlinearity. This is done next.
62 Corollary Consider(12), where the operator Nsatisfies (3) and (5). Definecandras
in (7), and define the sets no ~ n ~ R asfollows:
63
64
I gUrok)
n = {O>E R: sup I
~ ~ l+cgUrok)
For each O>E n, define
120
65
66
Approximate Analysis Methods
A,(oo) =SUP: gUook) :
~ ~ I 1+cgUook) I'
'1(00)= A,(oo)r
z
.
1- A,(oo)r
Ch.4
For each roe 0-0
0
, define D(oo) to be the disk in the complex plane centered at -1IiUoo)
and ofradius '1(00). Under these conditions, we have the following: (i) For all roe 0
0
, (12)
has no nontrivial solution inLzo[O, 2nl. (ii) Suppose roe 0 -0
0
, and the disk D (00) does not
intersect the plot of 11(a) as a varies over R; then (12) has no nontrivial solution in
L
zo
[0, 2n ]. (iii) Suppose there exist an 000 andanaoE Rsuch that
67
I
11(ao)+ ~ =0.
g(OOo)
Define ai, au,oo/,andoo
u
as in Figure 4.18. Then there exist an aE[a"aul and an
roe [00,. ooul such that (12) has a nontrivial solutionforx, andmoreover x I =a sin OOt.
Proof As shown in (6) and (7), one can apply Theorems (19) and (44) after replacing
Nby N, = N - cl and gUoo) by
68
gUoo)
gt U(0) = ----'''--'''---'--
I +cgUoo)
Clearly the describing function 11t ofthe operator N, is given by
69 11t(a)=11(a)- c,
while
70
-1 -t
--=---c.
gtUoo) gUoo)
Hence, by loop transformation, all that happens is that the plots of 11(a) and -1IgU(0) get
shifted by c.
One rather disadvantageous feature of Corollary (62) is the need to plot -1IgUoo) and
11(a), contrary to the usual practice of plotting -l!rl(a) and gU (0). One way to surmount this
difficulty is to plot T\(a) as a varies over R and to plot the reciprocal disk
71 B(oo) = {ZEC:-Z-1ED(00)}.
The only potential difficulty with doing so is that if OE D (00), then R(00.) becomes the com-
plement of a closed disk instead of being itself a closed disk, making for a rather awkward
situation. Similarly, the plot of -l!rl(a) becomes disconnected if 11(a ) changes sign as a
varies. One can of course add an assumption to the effect that OfiD(oo) and that 11(a) always
Sec. 4.2 Periodic Solutions 121
has the same sign; but this leads to a result which is slightly less general than Corollary (62).
It is stated next.
72 Corollary Consider (12), where the operator N satisfies (3) and (5), and k , ~ O .
Define the sets il, ilo and the constants A((0) and 0(00) by (63) to (66). Define the set il' s;;; il
by
73 il' = (OOE il: 0(00) 1g(oo)I < I}.
For each OOE rr. define B(oo) to be the disk in the complex plane centered at
74 ~ O O = g(joo) ,
1-0
2
(00) I g(joo) 1
2
and with radius
"Under these conditions, we have the following: (i) For all OOE ilo, (12) has no nontrivial
-solution in L
20[O,
21t]. (ii) Suppose WEil' and disk B(oo) does not intersect the plot oj
-llr](a); then (12) has no nontrivial solution in L
20[O,
21t]. (iii) Suppose there exist an
a OER andan COoE R such that
76
A.) 1 0
g(jooo +--= .
ll(ao)
Choose OOt, OOu such that (i) COoE [OOt, oou], (ii) the disk B (00) intersects the plot of-llr](a)for
all OOE [00/, oou], and (iii) the disks B (00/), B (oou) are tangent to the plot of-llr](a). Define a
subset T c Cby
77 T= U B(oo).
WE[W"Wu )
Define -llr](a/), -llr](a
u)
to be the two points at which the boundary ofTintersects the plot
of -llr](a). (See Figure 4.21.) Suppose Assumptions (AJ) and (A2) [stated just before
Theorem (44)] are satisfied. Under these conditions, there exist an aE [ai, au] and an
WE [00/, oou] such that (12) hasa nontrivial solution, andmoreover x I = a sin oot.
The proof follows directly from Corollary (62) upon noting that the disks B(oo) and
D (00) are related by (71).
Actually, Corollary (72) is only slightly less general than Corollary (62). By the
Riemann-Lebesgue lemma, (2) implies that g(joo) -+ 0 as 00-+ 00. Thus 0(00) -+ 0 as 00-+ 00.
and as a consequence all sufficiently large 00belong to rr. Note also that the point g(joo) lies
in the diskB (00) for all OOE il', but it is not the center of the disk. Hence the locus of the disks
B(00) contains the Nyquist plot of g(joo), and can be thought of as a "broadening" of the
122 Approximate Analysis Methods

Ch.4
---+-....::::... Re g(jw), -1/1/(a)
aT
aT
Fig. 4.21
Nyquist plot to reflect the high frequency behavior of g, i.e., the effects of neglecting the
higher harmonics of GwNx.
78 Example Considerthe feedback systemof Figure 4.13, where
A 100
g(s)= ,
(s +2)(s +5)(s + 10)
and Nis the odd piecewise-linear characteristic shown in Figure 4.22. This nonlinearity is of
the form studied in Example (4.1.58) with
Hence its describing function is given by
Tl(a) =10+ 5f(lIa),
where f() is the function defined in (4.1.59).
Let us first use the heuristic arguments of Section 4.1.3. The Nyquist plot of gUm) is
shown in Figure 4.23. The plot intersects the negative real axis when roo ="';80 =8.9443
rad/sec, and
gUroo) = - 0.0794.
Thus
I
Tl(ao) =- --= 12.6,
gUroo)
which corresponds to
Sec. 4.2 Periodic Solutions 123
Fig.4.22
Img(jw)
(J) = 9.61
",......----+------......-_Re1(fw)
Fig. 4.23
ao =2.3742.
Hence we "predict" a periodic solution with an angular frequency of 8.9443 rad/sec and an
amplitude of2.3742.
Now let us apply Corollary (72). It is easy to see that Nbelongs to the incremental sec-
tor [10, 15], so one can choose
c = 12.5, r =2.5.
First let us determine the sets n and no of (63) and (64) respectively. The shaded region
shown in Figure 4.23 is called the critical disk, and passes through the points
124 Approximate Analysis Methods
I I
- - =-0.0667, - - =-0.01.
m\ m2
Ch.4
The critical disk is denoted by e. It is an easy exercise in algebra to show that, if z is any
complex number, then
I z I
I -- 1< r-
I
iff zlte.
I I +cz I
In any case, a derivation of the above relationship is found in the proof of Theorem (6.6.40).
Now one can see from Figure 4.23 that the Nyquist plot enters the critical disk when
0)= 8.14 and leaves it when 0)= 9.61. Thus
0.
0
= (O): 9.61] \fk I},
0.= (O): 9.61] \fk
Hence, for simplicity, one can take
0.
0
=(9.61,00),0.=(4.805,00).
So by (i) ofCorollary (72), we can state our first precise conclusion:
The system has no periodic solution with afrequency > 9.61 rad/sec.
Next, let us determine the frequencies 0)/ and O)u' These are the frequencies at which
the disk B(O) is tangent to the plot of -11rt(a), which in this case is just the interval
(-0.1, -0.667]. Now it is easy to see that B (0) is tangentto the real axis if and only if
1m =p( 0),
where and p(O) are given by (74) and (75) respectively. This allows one to determine
that
0)/= 8.873, o)u = 9.011.
If 0)< 0)/ or 0)> O)U' then B (0) does not intersect the real axis. Based on (ii) of Corollary
(72), we can now state our second precise conclusion:
The system has no periodic solution withfrequency in the intervals (4.805,8.873) and
(9.011, 9.61].
Finally, the disk B (0)/) is tangent to real axis at
So
Sec. 4.2 Periodic Solutions 125
1
T\(a
u)
= - r = 12.3841, or au = 2.6028.
Re ,,(mt)
Similarly,
So by (iii) of Corollary (72) we have our third precise conclusion:
There is a periodic solution with angularfrequency in the interval [8.873, 9.011} and
first harmonic amplitude in the interval [2.1821, 2.6028}.
79 Example Consider again the feedback system of Figure 4.13, with
A(S)= 1000-s) ,
g (s +2)(s +3)(s +5)
and N is the limiter nonlinearity shown in Figure 4.24. From Example (4.1.58), it follows
that the describing function of N is
T\(a) = 2f (lOla),
where fis defined in (4.1.59).
n(x)
-------'-..,'--'--------_x
Fig. 4.24
Since the arguments here closely parallel those in Example (78), most of the details are
omitted, and only the final conclusions are given.
The Nyquist plot of gUm) is shown in Figure 4.25. It crosses the negative real axis at
-111.4 ::::0.71283,corresponding toffio=..JU::::4.1231 rad/sec. Now
1
T\(ao)=- = 1.4, orao = 17.0911.
gUffio)
Thus the classical describing function analysis predicts a periodic solution of amplitude
17.0911 and an angular frequency of 4.1231 rad/sec.
126
w = 4.9026
Approximate Analysis Methods
Img(jw)
Ch.4
Reg(jw)
3.333
(Not to scale)
Fig. 4.25
Now let us apply Corollary (72). The nonlinear element N belongs to the incremental
sector [0, 21,so we can take
c=I,r=1.
Now, if z is any complex number, then
I z I
I -- I< I iffRe z >-0.5.
I 1+z I
From the Nyquist plot, one can see that
RegUoo) > -D.5 '<too> 4.9026.
Hence we can choose
no = (4.9026, 00), n= (2.4513,00).
Next, the tangency conditions are satisfied when
00/ = 3.41, oou =4.42.
Now
=-1.0260- jO.5296, = -0.6366+jO.0783,
1
Tl(a/) =-. r = 1.5707, ora/ = 14.894,
Re .,,(00/)
Sec. 4.3 Singular Perturbations. 127
So we can draw the following conclusions, based on Corollary (72):
(i) There is no periodic solution with afrequency > 4.9026.
(ii) There is no periodic solution with afrequency in (2.4513,3.41) or (4.42, 4.9026].
(iii) There is a periodic solution with a frequency WE [3.41,4.42] and a first harmonic
amplitude ae [14.894, 25.439].
Compared to Example (78), we see that the "spread" in both roand a is considerably
larger in the present instance. This is because the describing function of the nonlinearity in
the present example varies over a much larger range than in Example (78). That nonlinear-
ity is much "closer" to being linear. One would naturally expect that there is much less
uncertainty in the results obtained using quasi-linearization methods when the nonlinearity
is close to being linear. This is reflected in the results of Examples (78) and (79).
Problem 4.9 Consider again the transfer function i(s) of Example (78), and suppose
the nonlinear element N is the form shown in Figure 4.3 (or 4.22), where the initial slope m I
for small values of the input equals 13,the final slope m2 equals 12, and the width 8 equals I.
Using Corollary (72), find upper and lower bounds on the amplitude and frequency of the
periodic solution. Show that, in this case, the "spreads" between the upper and lower bounds
for both the amplitude and the frequency of the periodic solution are less than they are in
Example (78). How do you explain this?
Problem 4.10 Consider again the transfer function i(s) of Example (79), and suppose
the nonlinear element N is a dead-zone limiter of the form shown in Figure 4.7, with slope
m2 =20 and a dead-zone width 0 =0.01. Using Corollary (72), find upper and lower bounds
on the amplitude and frequency of the periodic solution, if any. Compare with the results of
Example (79).
4.3 SINGULARPERTURBAnONS
In this section, a brief introduction is given to the method of singular perturbations.
This method is valuable in analyzing systems whose dynamic order changes as a result of
neglecting some elements, or making some simplifying assumptions [see Example (40)
below].
Consider a system of nonlinear differential equations
1 x=f(x,y),
Ey=g(X,y),
where XER", yER", f: RnxR
m
R", and g: RnxR
m
R", Note that for any value of E
other than zero, the system (1) consists of n + m,differential equations. However, if E= 0, the
128 Approximate Analysis Methods Ch.4
system (I) becomes a set of n differential equations, and m algebraic equations, namely
2 x=f(x,y),
O=g(x,y).
Suppose it is possible to solve the malgebraic equations above to obtain an explicit expres-
sion for y in terms of x, of the form
3" y=h(x),
where h: R" ~ R". Then one can substitute (3) into the first equation of (2) to obtain the set
of differential equations
4 x=f[x, h(x)].
Setting E=0 in (I) is called a singular perturbation since it changes the order of the
system. This is to be contrasted with a so-called "regular" perturbation, described next.
Suppose we are given a system of n differential equations
5 x(t) =f[x(t), p],
where X(t)E R", pE R", and f: RnxR
m
~ R" is continuous. One can think of p as a vector
of physical parameters appearing in the system description. If the vector p is perturbed
slightly, then the order of the system is not affected. In contrast, suppose (I) is rewritten as
6 ~ = [ I f(X,y)].
y -g(x,y)
E
Then obviously the right side of (6) is not continuous with respect to E at E= O. This is why
setting E=0 is a "singular" perturbation.
The system (I) is called the full-order, unsimplified, or original system, while (4) is
called the reduced-order or simplified system. In broad terms, the basic objective of singu-
lar perturbation theory is to draw conclusions about the behavior of the original system (I)
based upon a study of the simplified system (4).
At the moment we do not have the tools to study the stability of nonlinear systems of the
form (1) or (4); these are presented in Chapter 5. So in the present section the scope of the
study is limited to linear singularly perturbed systems, of the form
7
[
x] [All A
1z
] [x]
Ey = A
Z1
An y'
where XER" , yE R'", and the matrices Ai) have compatible dimensions. If E is set equal to
Sec.4.3 Singular Perturbations 129
zero in (7), the second equation becomes
If All is nonsingular, (8) can be solved to yield
Substituting from (9) into (7) gives the simplified system
10 x=(A
ll
-A
12A2"iA2 1
)x=: Aux.
Theorem (12) below presents the main result of this section. To make the theorem
statement concise, a little notation is introduced first. Define
Let A = P"I' ... , An} denote the spectrum of the matrix Au, i.e., the set of eigenvalues of
Au, where repeated eigenvalues are listed as many times as their multiplicity. Similarly, let
I' = {Y, , ... , Ym }denote the spectrum of A
22

12 Theorem Consider the system (7). Suppose All is nonsingular, and define AD as in
(11). Then given any <> >0, there exists an Eo >0 such that. whenever 0 < IE I < Eo. the n + m
eigenvalues {ai' ... , a
n
+
m
} ofthe matrix
13
satisfy the bounds
14 IAi-ail <<>,fori=I,"',n,
15 IYi-n-Eail <<>,fori=n+l,,n+m.
Remarks Clearly the eigenvalues of the matrix A
E
are the natural modes of the
unsimplified system (7). The inequalities (14) and (15) imply that, as E 0, exactly n of the
eigenvalues of A
E
converge to the eigenvalues of AD, while the remaining m eigenvalues
"approach" infinity, asymptotically like y;lE. Moreover, if Ai is an ri-times repeated eigen-
value of AD, then exactly ri eigenvalues of A
E
converge to Ai; similarly for Yi' If all eigen-
values of A
E
have negative real parts, then the solution of (7) approaches 0 as t 00 for each
initial condition; in this case, the system (7) is said to be asymptotically stable. On the other
hand, if some eigenvalue of A
E
has a positive real part, then the norm of the solution of (7)
approaches infinity as t 00 for almost all initial conditions; in this case the system (7) is
said to be unstable. See Chapter 5 for precise definitions of these concepts.
130 Approximate Analysis Methods Ch.4
Proof To compute the eigenvalues of A
E
, let us carry out a similarity transformation of
A
E
such that the resulting matrix is in a block-triangular form. More precisely, let us find a
matrix MEE R
nxm
such that
16
17
22
Expanding the triple matrix product on the left side of (16) shows that, in order for the 1,2
bleck of the product to equal zero, the matrix ME must satisfy the following equation:
A
21
A
22
AIIME+AI2-ME--ME-M --=0.
E
As e 0, some matrices in (17) approach infinity. To get around this difficulty, suppose ME
has the form
Substituting for ME in (17) and clearing fractions gives the following equation for P
E
:
This equation is quite well-behaved as e O. In fact, substituting =0 in (19) gives
which has the unique solution
If #0, then (19) is a quadratic equation in P
E
Nevertheless, since the coefficients in (19)
are continuous in e, one can conclude that for sufficiently small e there exists a solution PE of
(19) which is close to Po; but this need not bethe unique solution of (19). Choose such a
solution P
E
and define ME as in (18). Now expanding (16) gives
[
F E Onxm] [All -M
EA2
/ Onxm ]
G HE = A
21k
A2IMEk+A22/
Now we know that
Hence, from (22),
Sec. 4.3 Singular Perturbations 131
24
25
Since the matrix in (22) is.block-triangular, it follows that the spectrumof A
r
is the union of
the spectrum of Fr and the spectrum of Hr. As 0, it is clear from (24) that Fe A
o
;
hence the spectrum of F, approaches that of A
o
, i.e., (14) is satisfied. Finally, as e 0, the
A
22/
term on the right side of (25) swamps the other terms (recall that A
22
is nonsingular),
and (15) is satisfied.
To state the next result concisely, a couple of terms are first introduced. A square
matrix is said to be hyperbolic if it has no eigenvalues with zero real part, and it is said to be
Hurwitz if all of its eigenvalues have negative real parts.
26 Corollary Consider the matrix A
r
oft 12), and suppose A
22
is hyperbolic. Then the
following two statements are equivalent:
I. There exists an 0 >0 such that A
r
is Hurwitz whenever 0 < <0.
2. The matrices A
o
and A
22
are both Hurwitz.
In the parlance of singular perturbation theory, the matrix A
22
is said to represent the
fast dynamics, while A
o
is said to represent the slowdynamics. Without getting too deeply
into the technicalities of the subject (and there are plenty of them), the reasoning behind this
terminology can be briefly explained as follows: Suppose both A
o
and A
22
are Hurwitz. For
each e sufficiently small and positive, define Me as the solution of (17) such that
EM
r
O. Now define anew state variable vector by
[
zr ] [I -M
r]
[x]
27 y = 0 1 y' i.e., z, =x-Mey
Now (l6) makes it clear that the dynamics of the new state vector are governed by
or, in expanded form,
Now define the "fast" time variable
132
30 't =t/E,
Approximate Analysis Methods Ch.4
and define the functions y, ZE by
Thus y(') is just the function y(') with the time scaled by the factor 10; similarly for ZE' It is
easy to see that
...
32
dy('t) =E[ dy(t) ]
d't dt
1=t!E
With this change of independent variable, the systemequations (29) can be rewritten as
33
34
These equations enable us to understand more clearly the time behavior of the func-
tions ZE and y. First, (33) shows that the time response of ZE is independent of the initial con-
dition y(O) and depends only on the initial condition ZE(O), Since ME~ 0 as 10 ~ 0, we see
thatzE(O) becomes closer and c1oserto x(O) aSE ~ 0 [cf. (27)]. Second, (34) shows thatzEO
acts like a forcing function to y(.). IfzE(O) = 0, then ZE =0, and (34) reduces to
Now note from (25) that lOME ~ A
22
as 10 ~ O. Hence, as 10 ~ 0, YO looks approximately
like
If ZE(0)"*0, then from (33),
37 ZE(t)= exp (FEt) ZE(O) =exp (Aot) ZE(O),
since FE~ A
o
as 10 ~ Now, if 10 is very small, then for the purposes of analyzing (34) one
can treat ZE('t) as a constant vector ZE(O), and replace lOGE by A
22
[cf. (20)]. Then the
approximate solution of (34) is
or
Sec.4.3 Singular Perturbations 133
Equation (39) shows why Yis often referred to as the fast state variable, and also why the
fast dynamics are determined by the matrix A
22
Now, as E 0, the matrix ME 0, and the
vector ZE [ef. (27)J. Thus the vector x is referred to as the slow state variable, and its
time evolution is governed by the matrix A
o
as demonstrated by (37).
40 Example In practice, singularly perturbed differential equations arise when some
dynamical elements (often called "parasitics") are neglected during the modelling process.
This is illustrated in this example.
Consider the circuit shown in Figure 4.26. and suppose the operating point of the tunnel
diode is so selected that its small-signal resistance is negative. If the stray capacitance of the
diode is included in the network, then one obtains the linearized model shown in Figure
4.27. Following the common practice in network theory, let us choose the capacitor vol-
tages and the inductor current as the state variables. Let us suppose also that the diode capa-
citance E is very small. Then the dynamics of the network are described by the third-order
equation
Fig. 4.26
+
=
f
-Rd C
t
== X2
Xl
-
If
+
y
Fig. 4.27
134 Approximate Analysis Methods Ch.4
R[
1
0 -- -
X,
L] L,
[x,
1 1 1
X2 =
----- --
X2
C
1
RIC, R
2CI
Ey
R
2-Rd
Y
1
0 -
R
2
R
2Rd
Setting E= 0 leads to
R
d
y =- R R X2,
2- d
and to the simplified model
R
1 1
[::] =
-- -
L
1
L,
[:; ] 1 1
---
C, (R
2
-Rd)C,
The coefficient matrix above is A
o
. In this instance the matrix A
22
isjust a scalar and equals
If R2 > R
d
, then A
22
> 0, which means that An is not Hurwitz. On the other hand, one can
easily verify that A
o
is Hurwitz if R2> Rd' Using Corollary (26), we conclude that if
0< R
d
<R2, then the simplified system is asymptotically stable, but the original system is in
fact unstable whenever E is sufficiently small and positive. Thus neglecting the stray capaci-
tance in this instance gives a highly misleading conclusion.
It is possible to generalize the preceding development to systems of the form
41 X=A(lIE)X,
where each entry of the matrix A is a polynomial in liE. But the analysis of such systems
requires much more advanced methods.
Notes and References
A good reference for the standard material on describing functions is Gelb and Vander
Velde (1968). The rigorous treatment of periodic solutions in Section 4.2 is adapted from
Mees and Bergen (1975).
5. LYAPUNOVSTABILITY
In this chapter we study the concept of Lyapunov stability, which plays an important role in
control and system theory. We have seen in Chapter I that if a system is initially in an equili-
brium, it remains in the same state thereafter. Lyapunov stability is concerned with the
behavior of the trajectories of a system when its initial state is near an equilibrium. From a
practical viewpoint, this issue is very important because external disturbances such as noise,
wind, and component errors are always present in a real system to knock it out of equili-
brium.
Stability theory is a very old subject, dating back almost to the advent of the theory of
differential equations. The object of stability theory is to draw conclusions about the
behavior of a system without actually computing its solution trajectories. Perhaps the first
person to study stability in the "modem" sense was Lagrange (1788), who analyzed
mechanical systems using what we now refer to (naturally enough) as Lagrangian mechan-
ics. One of his conclusions was that, in the absence of external forces, an equilibrium of a
conservative mechanical system is stable (in a sense to be defined shortly) provided it
corresponds to a minimum of the potential energy. Several researchers followed up
Lagrange's methods, but for the most part their work was restricted to conservative mechan-
ical systems described by Lagrangian equations of motion. The quantum advance in stabil-
ity theory that allowed one to analyze arbitrary differential equations is due to the Russian
mathematician A. M. Lyapunov (1892). He not only introduced the basic definitions of sta-
bility that 'are in use today, but also proved many of the fundamental theorems. Lyapunov's
work was largely unknown in the West until about 1960, and almost all the advances in
Lyapunov stability theory until that time are due to Russian mathematicians. Today 'the
foundations of the theory are well-established, and the theory is an indispensable tool in the
analysis and synthesis of nonlinear systems.
Lyapunov theory abounds in a variety of notions of stability, and one can easily list
nearly two dozen definitions of stability. In this book, however, we focus on only a few of
these, namely: stability (and its absence, instability), asymptotic stability, and exponential
stability.
5.1 STABILITYDEFINITIONS
In this section various types of stability are defined, and the definitions are illustrated
by examples.
Throughout the chapter, the object of study is the vector differential equation
135
136
1
Lyapunov Stability Ch.5
where X(t)E R", and f: R+xR" R" is continuous. It is further assumed that the equation
(1) has a unique solution corresponding to each initial condition. This is the case, for exam-
ple, iff satisfies a global Lipschitz condition [see Theorem (2.4.25)]. It is shown in Appen-
dix A that, roughly speaking, the preceding assumption is true for almost all continuous
functions f. Let s(t, to, "0) denote the solution of (1) corresponding to the initial condition
x(to) ="0, evaluated at time t. In other words, s satisfies the equation
2
The solution map s maps R+ x R" into R" , and satisfies the following properties:
Recall that a vector "0E R" is an equilibrium of the system (1) if
5
Clearly, if (5) is true, then
In other words, if the system starts at an equilibrium, it stays there. The converse is also true,
as is easily shown. Throughout this chapter it is assumed that 0 is an equilibrium of the sys-
tem (1). If the equilibrium under study is not the origin, one can always redefine the coordi-
nates on R" in such a way that the equilibrium of interest becomes the new origin. Thus,
without loss of generality, it is assumed that
7 f(t, 0)=0,
This is equivalent to the statement
8
Lyapunov theory is concerned with the behavior of the function s(t,to,"o) when "o;tO
but is "close" to it. Occasionally, however, the case where "0 is "far" from 0 is also of
interest.
9 Definition The equilibrium 0 is stable if, for each > 0 and each toE R+, there exists
a 0 = 0(, to) such that
Sec.5.1 Stability Definitions 137
10 II"0 II < o(E, to):::> IIs(t. to, '(0) II < E, Vt 7? to.
It is uniformly stable if,for each E> 0, there exists a 0= O(E) such that
11 IIxoli <O(E),to7?O:::> IIs(t, to, '(0)11 <E. Vt?to.
The equilibrium is unstable if it is not stable.
According to Definition (9), the equilibrium0 is stable if. given that we do not want the
norm IIx(t) II of the solution of (I) to exceed a prespecified positive number E, we are able to
determine an a priori bound o(t 0' E) on the norm of the initial condition IIx(to) II in such a
way that any solution trajectory of (I) starting at time to from an initial state inside the ball of
radius O(to,E) always stays inside the ball of radius E at all future times t7?to. In other
words: arbitrarily small perturbations of the initial state x(t 0) about the initial state 0 result in
arbitrarily small perturbations in the corresponding solution trajectories of (I).
It is also possible to interpret stability as a form of continuity of the solution trajectories
with respect to the initial conditions. We have seen [Theorem (2.4.57)] that. under reason-
able hypotheses such as Lipschitz continuity of f, the solution of (I) is a continuous function
of the initial condition. This means that. given any to 7? 0 and any finite T, the map s(', to, '(0)
which takes the initial condition "0 into the corresponding solution trajectory in Cn[to, T] is
continuous. This property is true whether or not the equilibrium 0 is stable. However, sta-
bility requires something more. To state what it is, let Cn[to. 00) denote the linear space of
continuous n-vector valued functions on [to, 00). and let BCn[to. 00) denote the subset of
C" [t0,00) consisting of bounded continuous functions. If we define the norm
12 IIx(')ll
s
= sup IIx(t) II,
r E 1 0 ~ )
then BC
n
[to, 00)is a Banach space. Now stability is equivalent to the following statements:
I) For each to 7? 0, there is a number d (to) such that s(', to. XO)E BC
n
[to, 00) whenever
XOE Bd(rv)' where B
d
is the ball
2) The map s(', to, '(0) which maps an initial condition "oE Bd(rv) into the correspond-
ing solution trajectory in BCn[to, ~ ) is continuous at "0 = 0 for each to 7? O.
In other words, stability is approximatelythe same as continuous dependence of the solution
on the initial condition over an infinite interval.
Another small point needs ro becleared up. In (10), "." is any norm on R", Because
all norms on R" are topologically equivalent [see Example (2.1.13)], it follows that the sta-
bility status of an equilibriumdoes not depend on the particular norm used to verify (10).
138 Lyapunov Stability Ch.5
Once the notion of stability is understood, it is easy to understand what uniform stabil-
ity means. According to Definition (9), the equilibrium 0 is stable if, for each E 0 and each
f a 0, a corresponding 0 can be found such that (10) holds. In general, this 0 depends on
both E and fa. However, if a 0 can be found that depends only on E and not on fa, then the
equilibrium 0 is uniformly stable. If the system (I) is autonomous (f does not depend expli-
citly on f), then there is no distinction between stability and uniform stability, since changing
the initial time merely translates the resulting solution trajectories in time by a like amount.
In terms of the map s, uniform stability is roughly equivalent to uniform continuity with
respect to fa. More precisely, uniform stability is equivalent to the following two state-
ments:
I') There is a number d>O such that S(', fa, Xo)EBCn[ta, 00) whenever XaEBd,
fa
ER
+.
2') The map S(', fa, Xo): 00) is uniformly continuous in Xo at 0 with
respectto fa.
14 Example Consider the motion of a simple pendulum. If I is the length of the pendu-
lum, eis the angle of the pendulum measured from a vertical line, and g is the acceleration
due to gravity, then the motion of the pendulum is governed by
15 e+(g/l)sine=O.
By introducing the standard state variables x 1= e, X2 = e, (15) becomes
16
As shown in Example (3.4.49), the trajectories of this system are described by
17
2 2
X2 g x2a g
---COSXl = ---cosxlO='aa
2 I 2 I ..
One can now show that 0 is a stable equilibrium by verifying the condition of
Definition (9) directly. Suppose E > 0 is given; then it is possible to choose a number aa > 0
such that the curve described by (17) lies entirely within the ball Be- Now choose a 0> 0
such that the ball BI) lies entirely within this curve (see Figure 5.1 for the construction).
Then (10) is satisfied. Since this procedure can be carried out for any E > 0,0 is a stable
equilibrium.
As mentioned above, there is no distinction between stability and uniform stability for
autonomous systems. The next example illustrates that for nonautonomous systems the two
concepts are indeed distinct.
18 Example (Massera 1949) Consider the scalar differential equation
Sec.5.1 Stability Definitions 139
- .......-4f---t-+-+---.... - - - - - ~ x I
Fig.5.1
19 x(t)=(6tsint-2t)x(t).
The solution to (19) is given by
20 x(t) =x (to) exp {6 sint - 6t cos t - t
2
- 6sin to + 6to cos to +t6 }.
To show that the origin is a stable equilibrium.let to;?: 0 be any fixed initial time. Then
21
I x (t) I
I--1=exp {6 sin t - 6t cos t - t
2
- 6 sin to + 6 tacos to + t6 }.
I x(to) I
Now, if t - to> 6, then the function on the right side of (21) is bounded above by
exp[12+T(6-T)], where T=t-to. Since this function is continuous in t, it is bounded
over [t 0, T] as well. Hence if we define
22 e (to) = sup exp {6sin t -6t cos t - t
2
-6sin to +6 to cos to + t6 },
I ~ I o
then e (to) is finite for each fixed to. Thus, given any > 0, the condition (10) is satisfied if
we choose 0= fie (t 0)' This shows that 0 is a stable equilibrium. On the other hand, if
to = 2n 1t,then it follows from (20) that
23 x[(2n + 1)1t] = x(2n1t)exp [(4n + 1)(6-1t)1t].
This shows that
24 e(2n1t);?:exp[(4n+l)(6-1t)1t].
Hence e (to) is unbounded as a function of to. Thus, given > 0, it is not possible to find a
single 0(), independent of to, such that (11) holds. Therefore the equilibrium 0 is not uni-
formly stable.
140 Lyapunov Stability Ch.5
There is nothing particularly special about the preceding example. Problem 5.1 shows
how one may go about constructing a class of systems for which 0 is a stable but not uni-
formly stable equilibrium.
Finally, let us turn to a discussion of instability. According to Definition (9), instability
is merely the absence of stability. It is unfortunate that the term "instability" leads some to
visualize a situation where some trajectory of the system "blows up" in the sense that
IIx( t) II 00 as t 00. While this is one way in which instability can occur, it is by no means
the only way. Stability of the equilibrium 0 means that, given any E > 0, one can find a
corresponding cS> 0 such that (10) holds. Therefore, 0 is an unstable equilibrium if, for
some E >0, no cS >0 can be found such that (10) holds; equivalently, there is a ball BE such
that for every cS > 0, no matter how small, there is a nonzero initial state x(to) in BI) such that
the corresponding trajectory eventually leaves BE' This, and only this, is the definition of
instability. It may happen that some trajectories starting in BI) actually "blow up," but this is
not necessary for instability. This is distinction illustrated next.
25 Example Considerthe Van der Pol oscillator, described by
The origin is an equilibrium of this system. However, solution trajectories starting from
every nonzero initial state, no matter how close to the origin, will eventually approach the
limit cycle as shown in Figure 5.2. Now let us study the stability of the equilibrium 0 using
Definition (9). By choosing E> 0 sufficiently small, we can ensure that the ball BE is con-
tained entirely within the limit cycle (see Figure 5.2). Therefore all trajectories starting
from a nonzero initial state within BE will eventually leave BE' and so no cS > 0 can be found
such that (10) is satisfied. Accordingly, the origin is an unstable equilibrium. Note that all
trajectories of the system are bounded, and none blows up. So the systemis well-behaved in
this sense.
27 Definition The equilibrium 0 is attractive if, for each toE R+, there is an T)(t 0) > 0
such that
The equilibrium0 is uniformly attractive if there is a number T) > 0 such that
29 IlXo II <T), to +t, to, uniformly in Xo, ta.
Thus attractivity simply means that, at each initial time toE R+, every solution trajec-
tory starting sufficiently close to 0 actually approaches 0 as to +t 00. Note that there is no
requirement of uniformity at all, in two ways: First, the size of the "ball of attraction" T)(to)
can depend on to. Second, even for a fixed to, the solution trajectories starting inside the ball
BTl(to) but at different initial states can approach 0 at different rates. In contrast, uniform
attractivity requires first that there be a ball of attraction BTl whose size is independent of to,
and second that the solution trajectories starting inside BTl all approach 0 at a uniform rate.
Sec. 5.1
X2
Stability Definitions 141
----+--+-.....lIf""""---#---- XI
Fig. 5.2
Note that (29) is equivalent to the following statement: For each E> 0 there exists a T = T(E)
such that
30 "Xo II < 11, to IIs(to+t, to, Xo) II < E, Vt
Note that, in order for an equilibrium to be attractive, a necessary (though not
sufficient) condition is that it be isolated, i.e., that there exist a neighborhood of the equili-
brium that does not contain any other equilibria. This is in contrast to the property of stabil-
ity, which can apply even to equilibria that are not isolated.
It is possible to define a property called equi-attractivity which is intermediate between
attractivity and uniform attractivity. This corresponds to 11 in (30) being allowed to depend
on to; in other words, the size of the ball of attraction l1(to) may depend on to, but all trajec-
tories starting inside BTWo) must approach 0 at a uniform rate. This concept is not discussed
further in this book; the interested reader is referred to Rouche, Habets and Laloy (1977),
Section 1.2, or to Hahn (1967), Section 36.
31 Definition The equilibrium 0 is asymptotically stable ifit is stable and attractive. It
is uniformly asymptotically stable (u.a.s.) if it is uniformly stable and uniformly attractive.
At this stage one can ask whether attractivity and stability are really independent pro-
perties, i.e., whether an equilibrium can be attractive without being stable. The answer is
yes as shown by the following example, due originally to Vinograd (1957) and reproduced
in Hahn (1967), Section 40.
32
33
Example Consider the second order system
. XI(X2
Xl=
(XI +(xI ,
. (x 2 - Ix I )
X2 =
(XI .
The right sides of both equations are defined to be 0 at x I =X 2 =O. If we introduce polar
142
coordinates by defining
Lyapunov Stability Ch.5
and denote tan cjl by u, then the system is described by
35
The reader is referred to Hahn (1967), pp. 191 - 194 for a detailed analysis of this system.
But the situation can be summarized as shown in Figure 5.3. First, note that the trajectories,
of the system are symmetric about the origin. Next, in the first quadrant (and of course the
third quadrant, by symmetry), there is a curve S such that if the initial state is inside the curve
S, then so is the resulting trajectory; ifthe initial state is outside S, then so is the resulting tra-
jectory. Thus the origin is attractive, since all trajectories approach the origin as t --+ 00.
However, this does not mean that the origin is uniformly attractive, since the closer the initial
state is to 0, the more slowly the resulting trajectory converges to O. Now the origin is an
unstable equilibrium. This can be established, as in Example (25), by choosing E so small
that S does not lie inside BE' This shows that it is possible for an equilibrium to be attractive
yet unstable.
Fig. 5.3
It can be shown [see Theorem (49)] that if the origin of an autonomous system is stable
and attractive, then it is also uniformly attractive. To the best of the author's knowledge, it
has not been settled whether it is possible for an equilibrium to be uniformly attractive yet
unstable.
36 Definition The equilibrium 0 is exponentially stable if there exist constants
r, a, b > 0 such that
37 IIs(to+t, to, Xo) II $;a IlXo II exp(-bt), Vt, to ~ VXoEB
r

Clearly exponential stability is a stronger property than uniformasymptotic stability.
All of the concepts of stability introduced thus far are local in nature, in the sense that
they pertain only to the behavior of solution trajectories starting from initial states near the
equilibrium. The final definition pertains, in contrast, to the global behavior of solution tra-
jectories.
Sec.5.1 Stability Definitions 143
38 Definition The equilibrium 0 is globally uniformly asymptotically stable (g.u.a.s.)
if(i) it is uniformly stable, and (ii)foreach pair ofpositive numbers M, E with M arbitrarily
large ande arbitrarily small, there exists afinite number T = T(M, E) such that
39 IIxo II <M, to IIs(to +t, to, Xo) II < E, "dt
The equilibrium 0 is globally exponentially stable (g.e.s.) if there exist constants a, b > 0
such that
40 Ils(to +t, to, Xo)ll $;a exp(-bt), "dt, to "dXoER
n

Note that in order for an equilibrium to be either globally uniformly asymptotically

stable or globally exponentially stable, a necessary condition is that it be the only equili-
brium.
Next we discuss the special case of autonomous and periodic systems. The system (1)
is periodic with period Tif
41 f(t +T, x) = f(t, x), "dt 0, "dxE R".
For a periodic system it is clear that
If the system (I) is autonomous, i.e., iffdoes not depend explicitly on t, then we can think of
it as a periodic system with an arbitrary period. Hence all the results presented below for
periodic apply equally well to autonomous systems.
43 Theorem Suppose the system (1) is periodic. Then the equilibrium 0 is uniformly
stable ifand only ifit is stable.
Remarks If the system (I) is autonomous, the theorem is obvious. since (42) holds for
every T> O. But the proof for periodic systems requires a bit of work.
Proof Clearly uniform stability implies stability, and only the reverse implication
needs to be proved. Suppose toE [0, T] where Tis the period, and define
44
Since 0 is a stable equilibrium, there is a number d(to) such that Il(Xo, to) is finite for all
XoEBd(lo) [cf. the remark preceding (13)]. In general, it may happen that as to varies over
[0,00), the number d(to), though nonzero for each fixed to, cannot be bounded away from O.
However, due to the periodicity of the system, one can safely assume thatd (to +T) =d(to),
and it is only necessary to consider the number d (t 0) as to varies over [0, T]. Thus we can
find a number d > 0, independent of to. such that
144 Lyapunov Stability Ch.5
Since 11("0, to) is clearly a continuous function of t 0, the function
46
is finite for all "oE R
d
, and is continuous at Xo = O.
To show that 0 is a uniformly stable equilibrium, suppose > 0 is given; we must find
0> 0 such that (II) holds. Due to periodicity, it is only necessary to show that the same 0
works for all toE [0, T] instead of for all t 0 O. Since 11(')is continuous, we can find a p> 0
such that
But by the definition of n, (47) is equivalent to
48 Ilxoll <0, toE [0, T]=:> IIs(to+t, to,xo)11 :5:,
This completes the proof.
49 Theorem Suppose the system (J) is periodic. Then the equilibrium 0 is uniformly
asymptotically stable ifand only ifit is asymptotically stable.
The proof of this theorem is quite involved, even for autonomous systems, in contrast
to Theorem (43), whichis quite obvious for autonomous systems. The source of difficulty
can be explained as follows: Suppose 0 is asymptotically stable, and that the system is auto-
nomous. Then, by Definitions (31) and (27), there is a number r = r(O) such that
50 11"0 II < r =:>s(t, 0,
By autonomy, it follows that
51 11"0 II < r, t 0 0 =:> s(t 0 + t, to, "0) 0 as t 00, uniformly in to.
But uniform attractivity requires something more, namely that the convergence in (51) be
uniform with respect to "0 as well. Proving this properly requires some work. As can be
imagined, the periodic case is still more complex. For this reason, the proof is omitted, and
the reader is referred to Hahn (1967); the relevant theorems are 38.3 and 38.5.
Finally, let us recast the various stability definitions in terms of so-called functions of
class K and class L, so as to simplify considerably the proofs of subsequent stability
theorems.
52 Definition Afunction <I>:R+ R+ is ofclass K if it is continuous, strictly increasing,
and <1>(0) =0; it is of class L if it is continuous on [0, 00), strictly decreasing, <1>(0) < 00, and
<I>(r) Oas r
Sec.5.1 Stability Definitions 145
53 Theorem The equilibrium 0 ofthe system (1) is stable ifand only if, for each toE R+.
there exist a numberdtt s) > 0and afunction Gll
o
ofclass Ksuch that
The equilibrium is uniformly stable ifand only ifthere exist a number d > 0 and afunction Gl
ofclass K such that
Remarks We can thus use (54) and (55) as the definitions of stability and uniform sta-
bility, if we wish.
Proof First, if (54) holds, then 0 is a stable equilibrium. To see this, given any E> 0
and any toE R+, choose
To prove the converse, fix to, and suppose E > 0 is given. Then by definition there exists a
number 0> 0 such that (10) holds. Define Om(E, to) to be the supremum of all possible
choices of 0 such that (10) holds. The function 'V'o: E to) is nondecreasing, satisfies
'V,0 (0) = 0, and 'V,0 (E) > 0 '\IE> 0; of course, it need not becontinuous nor strictly increasing.
However it is possible to find a function 8'0 of class K such that 8
ro
(E) 'V,0(E) '\IE O. [See
Lemma (5.2.1).] Now let Gl,o = .
The proof of the second assertion regarding uniform stability is entirely similar and is
left as an exercise (see Problem 5.3).
57 Lemma The equilibrium 0 ofthe system (1) is attractive ifand only if, for each to
there exist a number ret 0) > 0, andforeach "oE Br(to) afunction (J,o."o ofclass L such that
The equilibrium0 is uniformly attractive ifand only ifthere exist a number r > 0 and afunc-
tion (J ofclass L such that
Proof If (58) holds then 0 is attractive, since (J,o."o (t) 0 as t 00. Conversely. sup-
pose 0 is attractive. For each E > 0, define T(E) to be the smallest number Twith the property
that
60 Ils(to +t, to, '(0) II <E, '\It T.
Such a number exists, in view of (28). Define a function 'V= 'V'o."o:E and note that
'V(E)=0 for Esufficiently large, say 'V(E)=0 for E m. Now 'Vis nonincreasing as a function
146 Lyapunov Stability Ch.5
of E since T(E) gets larger as Egets smaller, and ",(E) 00 as E O. Hence it is possible to
find a function o of class L such that ",(E)::;;cr-I (E). Define this function as cr
l o

Xo
' and repeat
the procedure for each to, Xo.
The proof of the second assertion is entirely parallel and is left as an exercise (see Prob-
lem5.4).
61 Theorem The equilibrium0 ofthe system (1) is uniformly asymptotically stable ifand
only if there exist a number r > 0, afunction l\> ofclass K, and afunction o ofclass L, such
that
The proof can be found in Hahn (1967), Chap. V. But notice the similarity between
(62) and Equation (37) defining exponential stability.
Problem 5.1 The purpose of this problem is to generalize Example (18) by developing
an entire class oflinear systems with an equilibrium at t = 0 which is stable but not uniformly
stable. Consider the linear scalar differential equation
x(t)=a(t)x(t),
where a(') is a continuous function.
(a) Verify that the general solution of this equation is
(b) Show, using Definition (9), that the equilibrium0 is stable if and only if
=:m(to) <00.
1_10 10
[Hint: In this case, (10) is satisfied with o(t 0, E) = e/m(t 0).]
(c) Show, using Definition (9), that the equilibrium 0 is uniformly stable if and only if
m (to) is bounded as a function of to.
(d) Construct several functions a (') with the property that m (to) is finite for each finite
to, but is unbounded as a function ofto.
Problem 5.2 Construct other systems similar to (33) which have the property that the
origin is attractive but not stable.
Sec. 5.2 Some Preliminaries 147
Problem5.3 Complete the proof of Theorem (53).
Problem5.4 Complete the proof of Lemma (57).
5.2 SOME PRELIMINARIES
In this section we present several concepts that are used in the next section to prove the
fundamental results of Lyapunov stability theory. These include various types of
definiteness, invariance, and the domain of attraction.
Let us begin with a simple but useful result.
1 Lemma Suppose 4>: R+ ~ R+ is continuous, that 4>(0) =0, 4> is nondecreasing, and
that 4>(rOV'r>O. Then there exists a function a of class K such that a(r)S4>(r)V'r.
Moreover, if4>(r) ~ 00 as r ~ 00, then a can be chosen to have the same property.
Proof Pick a strictly increasing sequence {q;} of positive numbers approaching
infinity, and a strictly increasing sequence {k; }of positive numbers approaching 1. Define
2 a(r)=
A pictorial interpretation of a is shown in Figure 5.4.
,OI
--------
01
_=-_....... 1-- ...... r
Fig. 5.4
3 Definition A function V: R+ x R n ~ R is said to be a locally positive definite fune-
tion.(lpdf) if(i) it is continuous, (ii) V(t, O = O V t ~ O , and (iii) there exist a constant r >0
and a/unction a 0/class Ksuch that
4 a(lIxll)SV(t, x), V t ~ O , V'xEB
r
.
Visdeereseent ifthere exist a constant r > Oandafunction ~ ofclass K such that
148 Lyapunov Stability Ch.5
5 V(t, V'xEB
r

V is a positive definite function (pdf) if(4) holds for all XE R
n
(i.e.. ifr =00). V is radially
unbounded if(4) is satisfiedfor all XE R" andfor some continuous function ex (not neces-
sarily ofclass K) with the additional property that ex(r) 00 as r 00. V is a locally nega-
tive definite function if-Vis an lpdf, and is a negative definite function if-Vis a pdf
Given a continuous function V: R+ x R" R, it is rather difficult to detennine
whether or not V is a pdf or an Ipdf using Definition (3). The main source of difficulty is the
need to exhibit the function ex(). Lemmas (6) and (9) give equivalent characterizations of
lpdf's and pdf's, and have the advantage that the conditions given therein are more readily
verifiable than those in Definition (3).
6 Lemma Acontinuous function W: R
n
R is an Ipdf if and only if it satisfies the fol-
lowing two conditions:
(i) W(O) =0,
I
(ii) there exists a constant r > 0 such that
W(X) >0, V'xEB
r
- {OJ.
Wis a pdf only if it satisfies the following three conditions:
(iii) W(0) =0,
(iv) W(x) > 0, V'XE R" - {OJ.
(v) There exists a constant r > 0 such that
inf W(x) >0.
IIxll2:r
Wis radially unbounded if and only if
IIxll
Proof Consider first the case of lpdf' s. Suppose Wis an Ipdf in the sense of Definition
(3); then clearly (i) and (ii) above hold. To prove the converse, suppose (i) and (ii) above are
true, and define
7 q>(p)= inf W(x).
p$lIxll <r
Then q>(0) =0, q> is continuous, and q> is nondecreasing because as p increases, the infimumis
taken over a smaller region. Further, q>(P) > 0 whenever p > 0; to see this, note that the annu-
lar region over which the infimum in (7) is taken is compact. Hence, if q>(P) = 0 for some
positive p, then there would exist a nonzero x such that W(x) =0, which contradicts (ii).
Now by Lemma (I), there exists an ex of class K such that ex(p) q>(P) V'pE [0, r]. By the
definition of q>, it now follows that
Sec. 5.2 Some Preliminaries 149
8 "dxEB
r

Hence W is an lpdf in the sense of Definition (3).
In the case of pdf s, the necessity of conditions (iii) to (v) is immediate from Definition
(3). The remainder of the proof is left as an exercise.
. Remark Note that conditions (iii) and (iv) alone, without condition (v), are not
sufficient for Wto be a pdf; consider the function W: Rdefined by W(x) =x
2/(1
+x
4
) .
9 Lemma A continuous function V: R+ x R" R is an lpdf if and only if (i)
V(t, 0) =0 "dt, and (ii) there exists an IpdfW: R" R anda constant r > Osuch that
10 V(t, x) W(x), "dt 0, "dxEB;
Visapdfifand only if(i) V(t, 0) =0 "dt, and (ii) there existsapdfW: R" Rsuch that
11 v, vxs R".
V is radially unbounded ifandonly ifthere exists a radially unboundedfunction W: R" R
such that (11) is satisfied.
Proof The proof is given only for lpdf's, since the other proofs are entirely similar.
Suppose W is an lpdf and that (10) holds; then it is easy to verify that V is an lpdf in the sense
of Definition (3). Conversely, suppose Vis an lpdf in the sense of Definition (3), and let a()
be the function of class K such that (4) holds; then W(x) = a( II x II) is an lpdf such that (10)
holds.
The completion of the proof is left as an exercise (see Problem5.8).
Remarks
1. The conditions given in Lemma (6) are easier to verify than those in Definition
(3).
2. If W(x) = x'Mx, where M is a real symmetric nxn matrix, then it is easy to show
that W is a positive definite function if and only if M is a positive definite matrix
(see Problem 5.6). Thus the two common usages of the term "positive definite"
are consistent.
3. If W(x) is a polynomial in the components of x, then one can systematically
check, in a finite number of operations, whether or not W is positive definite; see
Bose (1982) for details.
4. Lemma (9) shows that a continuous function of t and x is an lpdf if and only if it
dominates, at each instant of time and over some ball in R", an lpdf of x alone.
Similarly, a continuous function of t and x is a pdf if and only if it dominates, for
all t and x, a pdf ofx alone.
150 Lyapunov Stability Ch.5
12
13
14
5. A function V: R+ x R" ~ R is decrescent if and only if, for each p in some inter-
val (0, r), we have
sup sup V (r, x) < 00.
IIxll $p t20tl
Examples The function
is a simple example of a radially unbounded pdf. Clearly WI (0) =0 and WI (x) > 0 'Vx '1'0.
Also WI (x) = IIX 11
2
if we take II II to be the Euclidean norm on R"; hence W I is radially
unbounded.
The function
is a pdf because it dominates the time-invariant pdf WI. For the same reason, V I is radially
unbounded. However, it is not decrescent, because for each x '1'0, the function V I (r, x) is
unbounded as a function of t.
The function
is not a pdf because no pdf W: R" ~ R exists such that (11) holds. This can be seen from the
fact that, for each x, V2(t, x) ~ 0 as t ~ 00. This example shows that it is not possible to
weaken the condition (11) to the statement
17 V(t, xO, V t ~ O 'Vx'1'0.
The present function V2 is decrescent.
The function
is an lpdf but is not a pdf. Note that W(0) = 0, and that W(x) > 0 whenever x '1'and
I x 2 I < 1t. This is enough to ensure that W2 is an lpdf. However, W2 is not a pdf, since it
vanishes at points other than 0, for example, at (0, n),
The function
19 W
3
(X \> X 2 ) = x I +tanh
2
X2
is alpdf since W(0) =0 and W(x) > 0 'Vx '1'0. However, it is not radially unbounded, since
tanh? X2 ~ 1as I x21 ~ o o . .
Sec. 5.2 Some Preliminaries 151
Next we introduce the concept of the derivative of a function along the trajectories of a
differential equation. Suppose V: R+ x R" ~ R has continuous partial derivatives, and sup-
pose x() satisfies the differential equation
20 x(t) = f[t, x(t)], "it ~ O.
Then the function V [r, x(t)] is differentiable with respect to t, and
21
d av
- V[t, x(t)] = ~ t x(t)] +VV[t, x(t)] f[t, x(t)].
dt ot
We use the symbol V[t, x(t)] to denote the right-hand side of (21). This choice of symbols is
motivated by the fact that
1
22 V[t, x(t)] = V[to, x(to)] +f V['t, x('t)] d't
10
whenever x() is a solution of (20). This leads to the following definition.
23 Definition Let V: R+ x R" ~ R be continuously differentiable with respect to all of
its arguments, and. let VVdenote the gradient ofVwith respect to x (written as a row vector).
Then thefunction V: R+ x R" ~ R is defined by
24
. av
V(t, x) = --ar(t, x) +VV(t, x) f(t, x),
and is called the derivative of Valong the trajectories of (20).
Remarks
1. Note that V depends not only on the function V but also on.the system (20). If we
keep the same V but change the system (20), the resulting V will in general be dif-
ferent.
2. The quantity V(t, x) can be interpreted as follows: Suppose a solution trajectory
of (20) passes through "Q at time to. Then, at the instant to, the rate of change of
the quantity V[t, x(t)] is V(to, "0).
3. Note that if Vis independent of t and the system (20) is autonomous, then V is also
independent of t.
This section concludes with a discussion of invariance and of domains of attraction.
25 Definition A set M!:: R" is called an invariant set ofthe differential equation (20) if
for each "oE M there exists a toE R+ such that
152 Lyapunov Stability Ch.5
In other words, a set is invariant if, for every initial state in the set, a suitable initial time
can be found such that resulting trajectory stays in the set at all future times. Note that, in
the dynamical systems literature, one often views a differential equation as being defined for
all real t, rather than just all nonnegative t; in such a case, a set M satisfying (26) would be
called positively invariant.
Afew simple examples of invariant sets can be given. First, let "oE R", toE R+ be arbi-
trary, and define S(to, "0) to be the resulting trajectory viewed as a subset of R"; in other
words, let S(to, "0) = Us(t, to, "0). Then S(to, "0) is invariant (Problem 5.9). An equili-
t
brium is an invariant set; more generally, so is any periodic solution.
27 Definition Suppose "oE R", toE R+. Then a point pe R" is calleda limit point ofthe
trajectory s(t, to, "0) if there exists a sequence {t;} of real numbers in [to, 00) such that
t
j

28 lim IIp-s(t
i
, to, "0)11 =0.
;-+oa
The set ofall limit points ofs{', to, "0) is called the limit set ofs(', to, "0), and is denoted by
Q(to, "0).
An equivalent definition is as follows: p is a limit point of the trajectory s(, to. "0) if,
given any E > 0 and T < 00, there exists a t Tsuch that
29 IIp-s(t,to,''o)II<E.
Again, if one thinks of a trajectory as being defined for all tE R, then the above set
Q(t 0, would be called the positive limit set; the negative limit set is obtained by requir-
ing that t, - 00 as i 00. Sometimes the negative limit set is called the a-limit set and the
positive limit set is called the eo-limit set, on the basis that a and (J) are respectively the first
and last letters of the Greek alphabet. Considering the ethnicity of the present author,
perhaps the negative limit set should be referred to as the ji"-limit set. Fortunately, this con-
cept is not used in the book.
30 Lemma Let "oE R", toE R+. and suppose s(', to, "0) is bounded. Then Q(to, "0) is
nonempty, closed, and bounded.
Proof Clearly Q(to, "0) is nonempty and bounded if s(, to, "0) is bounded. To show
that it is closed, let {Pi} be a sequence in Q(to, "0) converging to pe R"; it must be shown
that pe Q(t 0, "0). Let E > 0 and T < 00 be arbitrary; we must then find a t T such that (29)
holds. First, choose i such that
31 IIp-p; II <f.!2.
Such an i exists because Pi p. Next, choose t Tsuch that
Sec. 5.2 Some Preliminaries 153
Such a t exists because PjEQU0, '(0). Combining (31) and (32) gives (29).
Let L!s define the distance d (x, Q) between a point x and a nonempty closed set Q as
33 d(x, Q)=min IIx-yli.
yEn
Then we have a further result.
34 Lemma Let "oE R", toE R+. and suppose s(', to, '(0) is bounded. Then
35 d[s(t, to, '(0), QUo, xo)] -s Oas z~ o o
Proof If (35) is false, then there exists an e > 0 and a sequence of times {tj }approach-
ing 00 such that
However, the sequence {set;, to, "o)} is bounded. Hence it contains a convergent subse-
quence. By the definition of Q(t 0, '(0), the limit of this convergent subsequence must belong
to Q(t 0, xo), which contradicts (36). Hence (35) is true.
The results stated thus far apply to arbitrary systems. The next lemma states a property
that is special to periodic (and hence also to autonomous) systems.
37 Lemma Suppose the system (20) is periodic, and let "oE R", toE R+. Ifs(-, to, '(0) is
bounded. then QUo, xo) isan invariant setof(20).
Proof Let Tbe the period of(20), so that
38 set, to, '(0) = set +kT, to +kT, '(0), for all integers k> O.
Let pe QU0, '(0); it must be shown that there exists an initial time 'tE R+ such that
39 set, r, p)e QUo, '(0), 'V"t ?'t.
Since pe QUo, '(0), there exists a sequence {tj} approaching infinity such that (28) holds.
Now, for each i, find an integer k, such that t, -kjTE [0, T). Then the sequence {tj -kjT} is
bounded, and therefore contains a convergent subsequence. Choose such a subsequence,
renumber it once again as {tj }, let 'tE [0, T] denote its limit, and note that (28) continues to
hold. Now, since solutions depend in a continuous fashion on the initial conditions and on
the time, we have
40 set, r, p)= lim s[t, r, s(tj, to, '(0)]
~ o o
154 Lyapunov Stability
= lim s[t +k;T, 't+k;T, s(tj, to, Xo)], by (38)
i ~ O
= lim s[t +k;T, tj, s(tj, to, Xo)]
i ~ o c
= lim s(t+kjT, to, Xo),
i ~ o o
Ch.5
where we have used the fact that r = lim (t, - k,T). This shows that (39) holds .
i ~ o o
Now let us restrict attention to autonomous systems ofthe form
41 x(t) = fIx(t)].
Note that, for such systems,
Suppose 0 is an attractive equilibrium of the system (41). By Definition (5.1.27), this
implies that there exists a ball B, such that every trajectory starting inside B, approaches 0 as
t -?oo.
43 Definition Suppose 0 is an attractive equilibrium of the system (41). The domain of
attraction D (0) is defined as
Definition (5.1.27) implies that 0 is an interior point of D (0). Note that the terms
"region of attraction" and "basin" are also used by some authors instead of "domain of
attraction." Also, we identify the region D (0) with the equilibrium 0, since (41) may have
more than one attractive equilibrium, in which case each equilibrium will have its own
domain of attraction.
Lemma (45) below states, among other things, that D (0) is a connected set. As a
prelude to this lemma, the notion of connectedness is defined. Let S ~ R" be a given set.
Two points x and y are said to be connected in S if there is a path between x and y lying
entirely in S; more precisely, x and y are connected in S if there is a continuous function
h: [0, 1] -? S such thath (0) =X, h (1) = y. Obviously, the property of being connected in S is
symmetric and transitive; thus, ifx, y are connected in Sand y, z are connected in S, then so
are x and z. The entire set Sis said to be connected if every pair of points in S is connected in
S. In R", a set S is connected if and only if it cannot be contained in the union of two disjoint
open sets.
45 Lemma Suppose 0 is an attractive equilibriumofthe system (41). Then D (0) is open,
connected, and invariant.
Sec. 5.2 Some Preliminaries 155
Proof To show that D (0) is invariant, suppose "oE D (0); it is enough to show that
46 s('t, 0, "o)ED(O), V t ~ 0
By definition, "oE D (0) implies that
47 s(t,O,"o)-+Oast-+
oo

Now fix t ~ 0 and note that

48 s[t, 0, s('t, 0, '(0)) =s(t+'t, 0, '(0) -+Oast -+00, by (47).
Hence (46) follows.
To show that D (0) is open, observe first that 0 is an interior point of D (0), and choose
r > 0 such that B, is contained in D (0). Now let "oE b (0) be arbitrary; it must be shown that
there exists a ball
which is contained in D (0). For this purpose, first select a number T <00 such that
50 IIs(T, 0, '(0) II <-a.
Such a Texists since s(t, 0, '(0).-+0. Next, select ad > 0 such that
51 II s(t, 0, '(0) - s(t, 0, Yo) II < r/l; V'tE[0, T], V'YoE B Xo,d'
Such a d exists since solutions of (41) depend continuously on the initial conditions. Now
(50) and (51) together imply that
or, equivalently,
But since B, is contained inD(0), (53) implies that
54 lim s(t, 0, Yo)= lim s[t-T, 0, s(T, 0, Yo)) =0, V'YoEBXo,d'
t---+oo t---+oo
This shows that B Xo.d is contained in D (0). Hence D (0) is open.
Finally, to show that D (0) is connected, again choose r > 0 as in the preceding para-
graph, i.e., such that B, r;;D (0). Let "0, YOE D (0) be arbitrary, and select times TXo' T
yo
such that
156 Lyapunov Stability Ch.5
By the invariance of D (0), which has already been established, we know that
56 s(t, 0, Xo)E D(0), vie [0, Tx"l, and s(t, 0, Yo)E D(0), \itE [0, TYol.
Hence, Xo is connected to s(Tx,,'O,Xo)=:Po in D(O), and Yo is connected to
s(TYo' 0, Yo) =: qo in D (0). Also, since Br is convex and contained in D (0), Po and qo are
connected in D (0) (see Figure 5.5). Using the transitivity of connectedness, we can finally
conclude that Xo and Yo are connected in D (0).
Yo
s(Ty, , 0, yo)
Fig. 5.5
For an extension of Lemma (45) to nonautonomous systems, see Problem5.1O.
Problem 5.5 Determine whether or not each of the following functions is (i) locally
positive definite, (ii) positive definite, (iii) decrescent, and (iv) radially unbonded:
(a)
xi +xi.
(b)
xI +xi.
(c) (x I
(d) t(xI
(e) (xI I).
(f) sin
2
(x , +x2)+sin
2(x,-x2)'
Problem 5.6 Suppose V: R+ x R
n
R is defined by
V(t, x)=x'M(t)x,
where M is a continuous function of t, and M(t) is real and synunetric for each t. Determine
necessary and sufficient conditions for Vto be (i) positive definite, and (ii) decrescent.
Problem5.7 Complete the proof of Lemma (6).
Problem5.8 Completethe proof of Lemma (9).
Sec. 5.3 Lyapunov's Direct Method 157
Problem 5.9 Suppose XoE R", toER+, and let SUo, Xo)denote the resulting trajectory
viewed as a subset of R" [see the paragraph after Definition (25)]. Show that S(t 0, Xo)is an
invariant set.
Problem5.10 Consider the nonautonomous system (20), and suppose the origin is uni-
formly attractive in the sense of Definition (5.1.27). Define the domain of attraction D (0) as
Is Lemma (45) still true? Justify your answer.
5.3 LYAPUNOV'S DIRECTMETHOD
The idea behind the various Lyapunov theorems on stability, asymptotic stability, and
instability is as follows: Consider a system which is "isolated" in the sense that there are no
external forces acting on the system. Equation (5.1.1) is a suitable model for such a system
because no input is explicitly identified on the right side of this equation. Suppose that one
can identify the various equilibrium states of the system, and thatn is one of the equilibria
(possibly the only equilibrium). Now suppose it is possible to define, in some sense, the
total energy of the system, which is a function having the property that it is zero at the origin
and positive everywhere else. (In other words, the energy function has either a global or a
local minimum at 0.) If the system, which was originally in the equilibrium state 0, is per-
turbed to a new nonzero initial state (where the energy level is positive, by assumption), then
there are several possibilities. If the system dynamics are such that the energy of the system
is nonincreasing with time, then the energy level of the system never increases beyond the
initial positive value. Depending on the nature of the energy function, this may be sufficient
to conclude that the equilibrium 0 is stable. If the dynamics are such that the energy of the
system is monotonically decreasing with time and the energy eventually reduces to zero,
this may be sufficient to conclude that the equilibrium 0 is asymptotically stable. Finally, if
the energy function continues to increase beyond its initial value, then one may be able to
conclude that the equilibrium 0 is unstable. Such an approach to analyzing the qualitative
behavior of mechanical systems was pioneered by Lagrange, who showed that an equili-
briumof a conservative mechanical system is stable if it corresponds to a local minimum of
the potential energy function, and that it is unstable if it corresponds to a local maximum of
the potential energy function. The genius of Lyapunov lay in his ability to extract from this
type of reasoning a general theory that is applicable to any differential equation. This theory
requires one to search for a function which satisfies some prespecified properties. This
function is now commonly known as a Lyapunov function, and is a generalization of the
energy of a mechanical system. Subsequent researchers have of course refined the theory
considerably.
This section deals with the so-called direct method of Lyapunov, sometimes also called
the second method. The first, or indirect, method is based on power series expansions and
does not find much favor today. Three basic types of theorems are presented in this section,
namely: stability theorems, asymptotic stability theorems, and instability theorems. The
various theorems are illustrated by several examples.
158 Lyapunov Stability Ch.5
Throughout this section, the following three abbreviations are employed to make the
theorem statements more compact:
C I : continuously differentiable
Ipdf: locally positive definite function
pdf: positive definite function
5.3.1 Theorems on Stability
Theorem(l) is the basic stability theoremofLyapunov' s direct method.
1 Theorem The equilibrium 0 of the system (5.1.1) is stable if there exist a C\ lpdf
V: R+ x R
n
R anda constant r > 0such that
2 V(t, xj s O, "IxeB"
where V is evaluatedalong the trajectories of(5.1.1).
Proof Since V is an lpdf, there exist a function a of class K and a constant s > 0 such
that
3 x), "IxeB
s
'
To show that 0 is a stable equilibrium, we must show that given any e > 0 and any t 0 0, we
can find a 0 = 0(, to) such that (5.l.l 0) is satisfied. Accordingly, given e and to, let
( = min{e, r, s}, and pick 0> 0 such that
Such a Scan always be found because a(\) > 0 and 0) To show that the
above choice of 0 satisfies (5.1.10), suppose IlXo II <0. Then V(to, 0) < a(\).
But since V(t, IIxll
Now, since
6 V[t, s(t, to, Xo)] a[ /Is(t, to, Xo) II],
(5) and (6) together imply that
7 a[ IIs(t, to, Xo) II] < a(\), "It to.
Since a() is strictly increasing, (7) in tum implies that
Sec. 5.3 Lyapunov's Direct Method 159
Hence (5.1.10) is satisfied, and 0 is a stable equilibrium.
Remarks Strictly speaking, the preceding proof is circular and therefore incorrect.
The circularity in the argument in (5), where it is blandly asserted that
V[t, s(t, because V(t, and \ixE B,. But this reasoning
presupposes that the trajectory s(', to, '(0) stays inside B, for all t to, which is one of the
things that we are trying to prove! To get around this circular argument, it is possible to rea-
son as follows: Define 0 by (4), and suppose by way of contradiction that (8) is violated. Let
T be the smallest time t at which II s(t, to, '(0) II J. This quantity is well-defined, since
s(, to, xo) is a continuous function. Now, by definition, we have
9 IIs(t, to, '(0) II < 1' \itE [to, T),
10 Ils(t:'(o, '(0) II =,.
Butnow, since e, r, it follows from (2) and (9) that
11 s(t, to, '(0)] = V[t,"S(t, to, '(0)] \itE [to, T).
dt
Hence, from (4),
But, from ( 10) and (3), and again noting that 1 we have
Clearly (12) and (13) are in contradiction. This shows that the original assumption is false;
no such Tcan exist, and (8) is true.
Note that the rigorous argument given here is in some ways much less intuitive than the
circular "proof' given earlier. For this reason, we shall give the same type of circular
"proofs" for all the other theorems in this section, since they generally bring out the logic
behind the theorem better than a more rigorous proof would. The reader is assured, how-
ever, that all the proofs given in this section can be fixed up in the above manner, and is
invited to do so.
Asimple modification of the hypotheses of Theorem(1) leads to a criterion for uniform
stability. .
14 Theorem The equilibrium 0 ofthe system (5.1.1) is uniformly stable if there exist a
C1, decrescent, IpdfV: R x R" R and a constant r > 0 such that
160
15 vo, x):S; 0, \it ~ 0, \ixE s;
Lyapunov Stability Ch.5
Proof Since Vis decrescent, the function
16 ~ o : = sup sup V(t, x)
IIxliso/2tl
is finite for all sufficiently small 0, and is nondecreasing in O. Now let 1 =min (e, r, s} and
pick 0 > 0 such that
Now proceed exactly as in the proof of Theorem ( I) to show that (5.1.11) holds with this
choice of O. The details are left as an exercise.
Remarks
I. Theorem (1) states that if we can find a CI Ipdf V such that its derivative along the
trajectories of (5.1.1) is always nonpositive, then the equilibrium 0 is stable.
Theorem (14) shows that in order to conclude the uniform stability of the equili-
brium 0, it is enough to add the assumption that V is also decrescent. It should be
noted that Theorems (I) and (14) provide only sufficient conditions for stability
and uniform stability respectively. [But the converses of these theorems are also
true; see Hahn (1967).]
2. The definitions of stability given in Section 5.1 are qualitative, in the sense that
given an e > 0, one is only required to find some 0 > 0 satisfying (5.1.10); to put it
another way, one is only required to demonstrate the existence of a suitable O. In
the same way, Theorems (I) and (14) are also qualitative in the sense that they
provide conditions under which the existence of a suitable 0 can be concluded.
However, in principle at least, the conditions (4) if Theorem (I) is being applied,
or (17) if Theorem(14) is being applied, can be used to determine a suitable O. But
in practice this procedure is rather messy, and often gives too conservative an esti-
mate foro.
3. The function V is commonly known as a Lyapunov function or a Lyapunov func-
tion candidate. The term Lyapunovfunction is a source of great confusion. In an
attempt to avoid confusion, the following convention is adopted: Suppose, for
example, that we are attempting to show that 0 is a stable equilibrium by applying
Theorem (1). Then a function V is referred to as a Lyapunov function candidate
if it satisfies the requirements imposed on V in the hypotheses of Theorem (1), i.e.,
if V ~ s CI and is an Ipdf. If, for a particular system (5.1.1), the conditions imposed
on V are also satisfied, then V is referred to as a Lyapunov function. The
rationale behind this convention is as follows: Theorems (I) and (14) are
sufficient conditions for certain stability properties. To apply them to a particular
system, it is a fairly simple matter to find a function V satisfying the requirements
on V. At this stage, V is a Lyapunov function candidate. Now, for the particular
Sec.5.3 Lyapunov's Direct Method 161
system under study and for the particular. choice of V, the conditions on V mayor
may not be met. If the requirements on V are also met, then definite conclusions
can be drawn, andythen becomes a Lyapunov function. On the other hand, if the
requirements on V are not met, since these theorems are only sufficient condi-
tions, no definite conclusions can be drawn, and one has to start again with another
Lyapunov function candidate. The examples that follow illustrate this usage.
18 Example Consider again the simple pendulum, which is described by
8+sin8=0
after suitable normalization. The state variable representation of this system is
. . .
Xl =X2,X2 =-smxl
Now the total energy of the pendulum is the sum of the potential and kinetic energies, which
is
where the first term represents the potential energy and the second term represents the
kinetic energy. One can readily verify that V is C
1
and an lpdf, that V is a suitable
Lyapunov function candidate for applying Theorem (I). Computing Vgives
Vex I' x2) = sinx I xI +x2 X2 = sinx I (X2) +X2(- sinx I) = o.
Therefore Valso satisfies the requirements of Theorem (I). Hence V is actually a Lyapunov
function, and the equilibrium 0 is stable by Theorem (1). Further, because the system is
autonomous, 0 is a uniformly stable equilibrium; see Theorem (5.1.43).
19 Example Consider the rotational motion of a rigid body in three-dimensional space.
If co denotes the angular velocity of the body and I the 3x3 inertia matrix of the body (both
measured in a coordinate frame rigidly attached to the body), then in the absence of external
torques the motion is described by
20 lco+coxlco=O,
where x denotes the vector cross product. Equation (20) can be simplified considerably if
the coordinate axes are chosen to be the principal axes of the body, i.e., a set of axes with
respect to which I is a diagonal matrix. Accordingly, let
Then (20) reduces to
162 Lyapunov Stability Ch.5
Again, suppose without loss of generality that I, ;::: I
y
;::: I, > O. For notational simplicity, let
us replace <Ox, roy, <Oz by x, y, z, respectively, and define
Iy-I
Z
Ix-I
z
Ix-Iv
a=-- b=-- e=--"
Ix' I
y
' I
z'
Note that a, b, e ;:::0. Then (21) finally assumes the form
22 x=ayz, y= - bxz, Z= eX)'.
At this stage, assume for simplicity that the principal axes are unique; this is equivalent to
assuming that L; I
y
> l., or that a, b, e > O. This assumption excludes bodies with some
symmetry, such as a spinning top for example. Then the system (22) is in equilibrium if and
only if at least two of the quantities x, y, z are equal to zero. Hence the set of equilibria con-
sists of the union of the x, y, and the z axes. Physically this corresponds to rotation around
one of the principal axes at a constant angular velocity. Note that none of the equilibria is
isolated.
Consider first the equilibrium at the origin, and try the obvious Lyapunov function can-
didate
where p, q, r > O. Then Vis an lpdf, (Actually, Vis a pdf and is radially unbounded, but this
fact is not needed.) Computing V gives
V = 2tpxx + qyy + rzz)= 2xyz (ap - bq +cr).
Clearly it is possible to choosep, q, r > 0 such that
ap -bq +cr=O.
For such a choice, V == 0, which satisfies the hypotheses of Theorem (1). Hence 0 is a (uni-
formly) stable equilibrium.
Next, consider an equilibrium of the form (xo,O,O) where Xo::/:.0. At this stage we can
do one of two things: (i) We can translate the coordinates such that (xo, 0, 0) becomes the
origin of the new coordinate system. This would enable us to apply Theorem (1) directly,
but would have the effect of making the systemequations (22) more complicated. (ii) Alter-
natively, we can Construct a Lyapunov function candidate V such that V is C
l
,
V(xo, 0, 0) =0, and V(x, y, z) > 0 for all (x, y, z)::/:. (xo, 0, 0) and sufficiently near (xo, 0, 0).
Sec. 5.3 Lyapunov's Direct Method 163
For the sake of variety, the second approach is followed here; the first approach is discussed
further in Problem 5.11. For the new equilibrium, let us try the Lyapunov function candi-
date
Then W(x 0, 0, 0) = 0, and
W(x, Y, z) >0 if(x, y, z)'* (xo, 0, 0).
Hence W is an Ipdf with respect to the equilibrium (x 0, 0, 0), but is not a pdf since it vanishes
at another point as well. Now routine computations show that W=O. Hence (xo, 0, 0) is a
stable equilibrium.
By entirely analogous reasoning, one can show that every equilibrium of the form
(0,0, zo) is also stable (Problem 5.11). However, it turns out that every equilibrium of the
form (0, Yo, 0) with Yo,*0 is unstable. This is shown later in this section [see Example
(lOS)]. Physically, this means that an object can be made to spin about its major axis and its
minor axis, but not about its "intermediate" axis.
23 Example Consider the systemdescribed by
y(t) +y(t) +(2 +sin t) y (t) = 0,
or, in state variable form,
Note that the system is linear and periodic. This is an example of a so-called damped
Mathieu equation. (If the yterm were not there it would be an undamped Mathieu equation.)
In this case there is no physical intuition readily available to guide us in the choice of V.
Thus (after possibly a great deal of trial and error), we might be led to try the Lyapunov func-
tion candidate
Note that V is periodic with the same period as the system. Now V is C I, it dominates the
time-invariant pdf
WI (x" x2) =xr x ~ l 3
and is dominated by the time-invariant function
W2(Xl> x2) =xr x ~ .
Hence, by Lemma (5.2.9), V is a pdf and decrescent, and is thus a suitable Lyapunov
164 Lyapunov Stability Ch.5
function candidate for applying Theorem (14). Now
. 2 cos t . 2x2 .
V(t, XI,X2)=-X2 . 2 +2x
1
X t + . X2
(2+smt) . 2+smt
2 cos t 2x2
=-X2 +2xIX2+. [-x2- 2(2+sint)xd
(2 + sin t)2 2 + sin t
cost+2(2+sint) 2
=- X2
(2 + sin t)2
4 + 2sin t + cos t 2
=- X2
(2 +sint)2
Thus the requirements on Yin Theorem (14) are also met. Hence Vis a Lyapunov function
for this system, and 0 is a uniformly stable equilibrium.
24 Example One of the main applications of Lyapunov theory is in obtaining stability
conditions involving the parameters of the system under study. As an illustration, consider
the system
which can be represented in state variable form as
The objective is to find some conditions on the function p(') that ensure the stability of the
equilibriumO. For this purpose, let us choose
Since Vis CI and dominates the pdf
V is a suitable Lyapunov function candidate for applying Theorem (1). However, since V is
not decrescent, it is not a suitable Lyapunov function candidate for applying Theorem (14).
Hence, using this particular V-function, we cannot hope to establish uniform stability by
applying Theorem (14). .
Differentiation of Vgives
Sec. 5.3 Lyapunov's Direct Method 165
Hence we see that Vis always nonpositive provided
1
P(t)'?2' "dt'?O.
Thus the equilibrium0 is stable provided the above condition holds.
It should beemphasized that by employing a different Lyapunov function candidate,
we might be able to obtain entirely different stability conditions involving p(').
5.3.2 Theorems on Asymptotic Stability
In this section we present some theorems that give sufficient conditions for uniform
asymptotic stability, exponential stability, and global versions of the same.
25 Theorem The equilibrium 0 of (5.1.1) is uniformly asymptotically stable if there
exists a C I deerescent lpdfVsuch that - it is an lpdf.
. .
Proof If-Vis an Ipdf, then clearly V satisfies the hypothesis ofTheorem (14), so that 0
is a uniformly stable equilibrium. Thus, according to Definition (5.1.31), it is only necessary
to prove that 0 is uniformly attractive. Precisely, it is necessary to show the existence of a
01 > 0 such that, for each e > othere exists a T(e) < 00 such that
The hypotheses on Vand Vimply that there are functions aO, y(') of class Kand a
constant r > 0 such that
27 a(IIxlI)::;V(t, "dt'?to, "dxEB
r
,
28 V(t, x)::;-y( IIxII), "dt '?to, "dxEB
r

Now, given e > 0, define positive constants OJ,02, and Tby
29
30
31
01 < WI [a(r)],
O
2
< min{W
I
[a(e)], Ol},
T=
y(02) .
We now show that these are the required constants. First, one can show, following the rea-
soning of Equations (9) - (13), that every trajectory that starts inside the ball Bs stays inside
the ball B
r
; hence the inequalities (27) and (28) apply over the course of the trajectory. Next,
166
it is shown that
Lyapunov Stability Ch.5
To prove (32), suppose by way of contradiction that (32) is false. so that
Then
34 s(to+T. to. "0)] by(27)
10+T
= V(to. "0) + f V[t. s(t. to. "0)] dt
10
- TY)2) by (27). (28). and (33)
=Oby(31).
This contradiction shows that (32) is true.
To complete the proof. suppose t to + T. Then. with t I defined in (32). we have
by the nonpositivity of V. Finally.
Now (35) and (36) together imply that
The inequality (37) establishes (26).
. Inthe above theorem. it is worth noting that only Vis required to be deere scent. and that
- V need not be decrescent.
Theorem (25) not only gives a sufficient condition for asymptotic stability. but also
provides a way of estimating the domain of attraction. Suppose the system under study is
autonomous, and that the Lyapunov function candidate V is independent of time; then V is
also independent of time. Now suppose we have succeeded in finding a domain (i.e. an
open connected set) S in R" containing 0 with the property that
Sec. 5.3 Lyapunov's Direct Method 167
38 V(X) >0, V(X) <0, 'v'X*O in S.
Then Theorem (25) applies and 0 is an asymptotically stable equilibrium. Now one can ask:
Does (38) imply that S is contained in the domain of attraction D (0) defined in (5.2.43)? In
other words, does (38) imply that s(t, 0, '(0) 0 as t 00 whenever "oES? One might be
tempted to think that the answer is yes because (38) implies that V[s(t, 0, x)] gradually
decays toOas t 00, but this reasoning is false. If"oE Sand ijs(t, 0, "o)ES 'v't then (38)
would imply that V [s(t, 0, '(0)) 0, and hence that s(t, 0, '(0) O. However, (38) alone
does not guarantee that every-solution that starts in S stays in S. The valid conclusion is this:
If (38) holds, then every invariant set of (5.1.1) contained in S is also contained in D (0), but
S itself need not be contained in D (0). But how does one go about finding such invariant
sets? As easy way is to use so-called level sets of the Lyapunov function V. Let and
consider the set
39 Mv(c) = {xER
n
:
Note that, depending on the nature of the function V, the set Mv( c) need not be connected
(see Figure 5.6). However, 0 always belongs to Mv(c). Now the level set Lv(c) is defined as
the connected component of Mv(c) containing O. Another equivalent definition is the fol-
lowing: Lv(c) is the set of all XE R" with the property that there exists a continuous function
h: [0, 1] R" such that h(O)=X, h(1) =0, and V[h(r)] 'v'rE[0, 1]. This definition is
illustrated in Figure 5.6.
v
x
Fig. 5.6
The usefulness of level sets is brought out next.
40 Lemma Consider the autonomous system
41 x(t) =fIx(t)].
Suppose there exist a CI function V :R
n
R and a domain S containing 0 such that
V(O) =0 and (38) is satisfied. Let c be any positive constant such that the level set Lv(c) is
contained in Sand is bounded. Then Lv(c) is a subset ofD (0).
Proof First it is shown that the level set L
v
(c) is invariant for the system (41). Suppose
"oELv(c). Then
168 Lyapunov Stability Ch.5
42 V [set, 0, Xo)] ~ V(Xo)since Vex) ~ 'v'XE Lv(cicS,
~ c
which implies that set, 0, Xo)ELv(c) 'v't ~ o Since Lv(c) is bounded, the solution trajectory
does not escape to infinity. Next, since -Vis an Ipdfin Lv(c), one can now proceed as in the
proof of Theorem (25) to show that set, 0, Xo)~ 0 as t ~ 00
Fig. 5.7
43 Example As an illustration of Theorem (25) and Lemma (40), consider the nonlinear
RC network shown in Figure 5.7, where R is a nonlinear resistive network, terminated in a
bank of n linear capacitors. Denote these capacitances by CI, ... , Cn' and assume that all
capacitances are positive. Let r, denote the voltage across the i-th capacitor, and let x denote
the vector [x I ... xnJ'. Then the current vector through the capacitors isjust Cx, where
Let i(x) denote the current vector that results when a voltage vector x is applied across the
terminals of the resistive network. Suppose the network is unbiased, in the sense that
i(O) = O. Ifi is a C I function of x, then there exists a continuous function G: R" ~ R
nxn
such
that [see Lemma (2.5.17)]
i(x) = G(x) x.
One can think of G(') as the nonlinear version of the conductance matrix. Hence the overall
system is described by
Cx+G(x)x=o,or x=-C-1G(x)x.
Now 0 is an equilibriumof this network, by assumption.
To study the stability of this equilibrium, let us try the obvious Lyapunov function can-
didate, namely the total energy stored in the capacitors. This equals
1 'c
V(x) = 2"x x.
Therefore
Sec. 5.3 Lyapunov's Direct Method 169
. I 'C 'C' I"
V(x) = "2(x x-i x x)=-"2x [G (x)+G(x)]x,
where G' (x) is a shorthand for [G(x)]'. Define
M(x) = G' (x) + G(x).
If there is a constant r > 0 such that M(x) is a positive definite matrix for all XE B
n
then -Vis
an Ipdf, and the equilibrium 0 is asymptotically stable. Actually, the condition can be
simplified further: Since M(-) is continuous, the equilibrium 0 is asymptotically stable if
M(O) is positive definite.
Next, we focus attention on the particular network shown in Figure 5.8, and show how
Lemma (40) can be used to estimate the domain of attraction D (0). The element cl>l in Fig-
ure 5.8 is a conventional diode with the i -v characteristic shown in Figure 5.9, while the ele-
ment cl>2 is a tunnel diode with the i -v characteristic shown in Figure 5.10; the element
denoted by g 3 is a linear resistor with positive conductance g 3. It is easy to see that
[
cl> I(X1) +g 3(X I -X2)]
i(x)= cl>2(X2)+g3(X2- XI) .
Fig. 5.8
~ __ XI
Fig. 5.9
170
If we define
Lyapunov Stability Ch.5
then the nonlinear conductance matri x G(x) can be written as
where the arguments of g I and gz have been omitted for clarity. Clearly G is positive
definite if and only if
Since g 1(x 1) > 0 VX 1 and g3 > 0, the first condition is always satisfied, and only the second
condition needs to be verified. Rewrite this as
44
glg3
sz >- <rs.;
gl +g3
The right side of (44), without the minus sign, is the equivalent conductance of g I and g3
connected in series. At x I =X Z =0, (44) is satisfied since gz > O. Hence G(0) is positive
definite, and by earlier reasoning, this is enough to show that 0 is an asymptotically stable
equilibrium.
Next, let us determine a region Sin the x I-Xz plane such that (44).is satisfied. Note that
wherever (44) is satisfied, G(x) is a positive definite matrix and thus V(x) < 0 (except at the
origin of course). However, even if G(x) fails to be a positive definite matrix at a particular
point x, it is nevertheless possible that V(x) is negative. The reason is that the positive
definiteness of G(x) implies that y' G(x)y > 0 Vy:F- 0, whereas all we really need is that
x' G(x)x > O. IfXz <0, then gz(xz) > 0, so that (44) is automatically satisfied. Now suppose
x z ~ O. Ifx 1 is large and positive, then g 1 ~ 00 and geq ~ g 3' Hence gz(x z) > -g3 provided
Xz does not belong to [b, c], where band c are identified in Figure 5.10. If Xl is large and
negative, then g I ~ 0, and geq ~ O. In this case gz(xz) > -geq provided x, does not belong
to [a, d], where a and d are identified in Figure 5.10. In summary, the region where G(x) is
not positive definite is the shaded region shown in Figure 5.11. Hence, if we define S to be
the complement of the shaded region, then (38) holds. Now we know that every bounded
invariant set contained in S is also contained in the domain of attraction D (0). Lemma (40)
tells us that every bounded level set of V contained in S is invariant, and is thus a subset of
D (0).:In the present example, the level sets
Lv(d) = x (, xz): C tXT + z x ~ ~ }
are ellipses centered at the origin. Hence an estimate for D (0) based on Lemma (40) is
given by the ellipse shown in Figure 5.11.
Sec. 5.3 Lyapunov's Direct Method 171
X2
Fig. 5.10
Further anal ysis of this network is suggested in Problem5.12.
The next theorem gives a sufficient condition for exponential stability.
45 Theorem Suppose there exist constants a, b, c, r > 0, P I, and a CI function
V: xR
n
-+Rsuch that
46 allxIlPS:V(t, x)S:bllxII
P
, 'v'xEB"
47
Then the equilibrium 0 is exponentially stable.
d
c
s
XI
Fig. 5.1 I
Proof Define
48 " = r [ : ] lip s r,
and suppose "oEB11' t 0 O. Then, letting x(1)denote the solution s(t, to, '(0), we have
172
49
Lyapunov Stability
d . c
-dV[t, x(t)] IIx(t) liP s- - V[t, x(t)].
t b
Ch.5
Hence
50 V[to+t,
But, since
52
it follows that
53
Finally,
S4 IIX(/o+/)II<[:] Vp lI"ollexp[-(clbp)/J.\I/>O.
Hence (5.1.37) is satisfied with (bfa) lip playing the role of a and c /bp playing the role of b.
Thus 0 is an exponentially stable equilibrium.
55 Example Consider again the nonlinear circuit of Example (43). Let
C
m
=minC
i
, C
M
= max Cj
i i
Then
If the matrix M(O) is positive definite, then by continuity M(x) is also positive definite for
each x belonging to some ball B
r
Let
d = inf Amin[M(x)],
XEB,
where "-rrun(.) denotes the smallest eigenvalue of a symmetric matrix, and choose r > 0
sufficiently small that d > O. Then
V(x) =-x'M(x)x -d IIx11
2
, V'XE B;
Thus all hypotheses of Theorem (45) are satisfied, and we conclude that the equilibrium0 is
in fact exponentially stable.
Sec. 5.3 Lyapunov's Direct Method 173
The theorems for global uniform asymptotic stability and global exponential stability
are straight-forward generalizations of Theorems (25) and (45) respectively.
56 Theorem The equilibrium 0 of(5.1.1) is globally uniformly asymptotically stable if
there exists a CI V: R+ x R" R such that (i) V is a pdf, decrescent and radially
unbounded, and (ii) - Vis a pdf
Proof The hypotheses include those of Theorem (25); hence 0 is uniformly asymptoti-
cally stable. Thus, to prove the theorem, it only remains to prove that 0 is globally uniformly
attractive, i.e. that, given any M < 00 and any E > 0, there exists a T = T(M, E) such that
57 "Xo" IIs(to+t, to,Xo)1I <E,
For this purpose, select functions a, and y of class K, with a radially unbounded, such that
58 a(lIxlI):5V(t, V(t, x):5-y(lIxlI), vxe R".
These conditions are the same as (27) and (28) with B, replaced by R". Now select a con-
stant r > 0 such that
59 <a(r).
This is possible since a(r) 00 as r 00. Then, following the reasoning of Equations (9)-
(13), it can be shown that every trajectory that starts in the ball B
M
stays inside the ball B"
i.e. all trajectories of the system are bounded. Now choose
60 02 c:; [a(E)],
and define
61
Fromthis point onwards the proof is the same as that of Theorem (25) .
62 Theorem The equilibrium 0 is globally exponentially stable if there exist constants
a, b, c > O;p I, anda C
I
function V: R+ x R" Rsuch that
Proof Entirely analogeus to that ofTheorem (45).
Remarks Note that, in Theorem (56), Vis required. to be radially unbounded, but -Vis
not. The hypothesis on Vin Theorem (62) implies that - Vis also radially unbounded.
64 Example Consider again the nonlinear circuit of Example (43). If
174
then
0< inf A.min [M (x)] =: A.,
XEIR"
Lyapunov Stability Ch.5
and the equilibrium0 is globally exponentially stable by Theorem (62).
65 Example The purpose of this example is to illustrate that in Theorem (56), the
assumption that V is radially unbounded is indispensable. Without this assumption, the
theorem is not valid. In fact, even if one can find a function V that satisfies all the hypotheses
of Theorem (56) except for radial unboundedness, it is still possible that the solution trajec-
tories of the systemexhibit finite escape time.
Consider the second-order system
. x1 X2
X2-- ---
- (l+xT)2 I ~
Let
Note that Vis a pdf, but is not radially unbounded. In fact, the level set
is bounded if c < I, butis unbounded if c ~ I (see Figure 5. 12). Now
Hence -Vis also a pdf. Thus Vsatisfies all the hypotheses of Theorem (56) except for radial
unboundedness. In spite of this, the origin 0 is not a globally attracti ve equilibrium. In fact,
solution trajectories starting from initial conditions sufficiently far from the origin exhibit
finite escape time.
It takes a bit of work to establish this fact. First, consider the scalar differential equa-
tion
where a > 0 is a constant. The solution of this equation is
Sec. 5.3
X2
Lyapunov's Direct Method 175
Finite
escape
time
-i:::"...-----+----+----+----.....;;:==---- XI
L,(c)
Fig.5.12
r(t)= reO) .
[1 - 2ur (O)t ] 1/2
Hence, if r (0) > 0, it follows that
1
---
2ur(0)
In other words, the trajectory exhibits finite escape time. Now consider the analogous equa-
tion
where
0, "dt.
If r (0) > 0, then the solution of this equation increases at least as rapidly as the solution of
the previous equation, since the present r(t) is at least as large as it is in the previous equa-
tion. Therefore the solution of this equation also exhibits finite escape time, and the escape
time is no larger than
T= 1
2ur(0)
Returning now to the system at hand, observe that
176 Lyapunov Stability Ch.5
Hence, from (66).
X2~ -1.5. Orx2(t) ~ x 2 O - 1.5t. 'Vt ~ O.
Now let r=xT. Then from (66).
Now it is claimed that. whenever the initial condition Xo = (x 10. X20) of (66) lies in the
first or second quadrant and satisfies
the resulting solution trajectory exhibits finite escape time. (Note: It is not claimed that these
are the only initial conditions that lead to finite escape time.) Suppose (68) holds. Then
Define
Then
In view of the earlier discussion. the differential equation (67) exhibits finite escape time
which is no larger than
This "closes the loop" on the circular reasoning and establishes the claim. Figure 5.12
shows the initial conditions which are guaranteed to lead to trajectories having finite escape
time.
The final two theorems on asymptotic stability are applicable only to autonomous or
periodic systems. This is in contrast to all of the preceding theorems in this section. which
can be applied to arbitrary nonautonomous systems. The main feature of these theorems is
that they enable one to claim(uniform) asymptotic stability if there exists a C I Ipdf V whose
derivative V is nonpositive along trajectories. even if V is not locally negative definite.
Sec. 5.3 Lyapunov's Direct Method 177
However, it should be noted that these theorems do not allow one to conclude exponential
stability.
These theorems were first proved in the Soviet Union by Barbashin and Krasovskii
(1952) in a special case, and by Krasovskii (1959) in the general case. Later they were
independently rediscovered in the West by LaSalle (1960). In Western literature these
theorems are often referred to as LaSalle's theorems, but it is more accurate to call them
Krasovskii-LaSalle theorems.
As a prelude to stating these theorems, let us extend the notion of level sets to functions
of both t and x. Suppose V: R+ x R" R is continuous, and suppose V(t, 0) = 0 "It O.
Define
69 Mv(c) = {XE Rn:::It such that V(t. x)
Note that if V is independent of t, then (69) reduces to the earlier definition (39). Now
OEMv(c) whenever c The level set Lv(c) is now defined as before, namely, the con-
nected component of Mv(c) containing O. Next we define another set, namely
70
Note the difference between the quantifiers in (69) and (70); also note that if V is indepen-
dent of t, thenAvtc) is the same as Ly(c).
The following lemma is of independent interest, even if 0 is not asymptotically stable.
71 Lemma Suppose the system (5.1.1) is periodic. Suppose there exists a CI junction
V: R+ x R such that (i) V is periodic with the same period as the system, (ii) V is an
lpdf, (iii) there exists an open neighborhood N ojO such that
72 V(t, VXEN.
Choose a constant c > 0 such that the level set Lv(c) is bounded and contained in N. Finally.
let
73 S = {XE Lv(c):::It such that VU, x) = OJ,
and let M denote the largest invariant set oj(5.1.1) contained in S. Then
74 "oEAv(c), to to, '(0), M] -e Oasr
whered(y, M) denotes thedistancejrom the pointy to the set M lcf (5.2.33)].
Proof Since V is periodic, it is decrescent, so that 0 is an interior point of Av( c). Using
the methods of Equations (9) - (13), it is easy to show that if "oEAv(c) then
s(t, to, Since Lv(c) is bounded, the limit set QUo, '(0) [see Definition
(5.2.27)] isnonempty. Further, by Lemma (5.2.34),
178 Lyapunov Stability Ch.5
75 d[x(t), Q(to, Xo)]
where x(t) is a shorthand for s(t, to, Xo). Further, by Lemma (5.2.37), Q(to, Xo) is an invari-
ant set. .
Consider now whathappens to the function V[t, x(t)] .. Since V[t,
V[t, x(t)] is monotonic and-has a definite limit as t 00; also V[t, x(t)] 0 as t 00. Sup-
pose yE Q(t 0, Xo). Then, by definition, there exists a sequence {t
i
} approaching 00 such that
x(t
i
) y. Select integers k, such that t, - k, TE [0, T) where T is the period. Then the
sequence {t; -kiT} is bounded and therefore contains a convergent subsequence.
Renumber the subsequences again as {t;} and {k j }, and let r denote the limit of the sequence
{tj -kjT}. Then
. .
>;"6 V(t, y) = lim V(t; - k, T, y)
i ---+00
. .
= lim V(tj, y) since Visperiodic
;---+00
= lim V[t
i
, x(t
i
) ]
i -;. 00
=0.
In other words, yE S. Since this is true of every yE S, it follows that Q(t0, xo) k: S, and since
Q(t0, Xo) is an invariant set, it follows that Q(t0, Xo) k: M. The desired conclusion (74) now
follows from (75) .
77 Theorem (Krasovskii-LaSalle) Suppose the system (5.1.1) is periodic. Suppose
there exists a CI lpdf V: R, x R" R having the same period as the system, and an open
neighborhood N of0 such that (72) holds. Choose a constant c > 0 such that the level set
Ly(c) is bounded and contained in N, and define S as in (73). Under these conditions, ifS
contains no trajectories ofthe system other than the trivial trajectory x(t) =0V'to then
the equilibrium 0 is uniformly asymptotically stable.
Proof This theorem is essentially a corollary of Lemma (71). Let M be the largest
invariant set contained in S. It is claimed that M = {OJ. To see this, let YEM. Then, by the
definition of invariance, there exists a t 0 0 such that the corresponding trajectory
s(t, to, y)EM V't to. However, by assumption, S does not contain any trajectories other
than the trivial trajectory, and Mis a subset of S. Hence y =0, i.e., M ={O}.
Next, note that since M = {O} ,the distance d (z, M) is just II z II. Hence, by Lemma
(71), and in particular (74),
78 XoEAy(c)::::> IIs(t, to,Xo)1I
Hence the origin is attractive. It is also stable, by Theorem (1), and is thus asymptotically
stable. Finally, by Theorem (5.1.49), 0 is a uniformly asymptotically stable equilibrium.
Sec. 5.3 Lyapunov's Direct Method 179
Remark The proof of Theorem (77) makes it clear that the set Ay(c) defined in (70) is
contained in the domain of attraction, in the sense that every trajectory starting in Ay(c), at
whatever initial time, approaches 0 as t ~ 00.
79 Theorem (Krasovskh-Laxalle) Suppose the system (5.1.1) is periodic. Suppose
there exists a C 1function V: R+ x R" ~ R having the same period as the system such that
(i) Vis a pdfandis radially unbounded. and iii)
80 V(t, xj s O, v t ~ O 'v'xER
n

Define
81 R = (XE Rn:::It ~ Osuch that V(t, x) =O},
and suppose R does not contain any trajectories ofthe system other than the trivial trajec-
tory. Then the equilibrium0 is globally uniformly asymptotically stable.
Proof Since V is radially unbounded, each set My(c) defined in (69) is bounded,
whence Ly ( c) is also bounded for each c > O. Thus, proceeding as in the proof of Theorem
(77), one can show that (78) holds for every c > O. Thus the equilibrium 0 is globally attrac-
tive; it is also uniformly stable, by Theorem (1). Thus it only remains to show that the attrac-
tion to 0 is uniform with respect to and II Xo II ~ This part of the proof is omitted, and the
reader is referred to Hahn (1967), Theorems 38.3 and 38.5, or Krasovskii (1959), Theorem
14.1.
The application of Theorems (77) and (79) is illustrated through several examples.
82 Example Consider a unit mass constrained by a nonlinear spring and nonlinear fric-
tion. Such a systemcan be represented in state variable form by
where gO is the restoring force of the spring and fO is the force due to friction. Suppose
that f(), g (.) are continuous, and that f (0) = g (0) = 0; then 0 is an equilibrium. In addition,
suppose there exists a constant /..l > 0 such that
if (r) > 0, 'v'r #0, re [- /..l, /..l],
rg(rO, 'v'r#O,rE[-/..l,/..l],
Finally, define the function
et>(r) = f g (a) de,
o ,
and suppose there is a constant c > 0 such that the level set L(I)(c) is bounded. Under these
conditions, it is claimed that 0 is an asymptotically stable equilibrium.
180 Lyapunov Stability Ch.5
Before establishing the claim, let us reflect on what it means. The claim, simply, is that
if the restoring spring force and the friction force are first and third quadrant functions in
some neighborhood of the origin, then the origin is asymptotically stable.
To prove the claim, select the total energy of the system as an obvious Lyapunov func-
tion candidate. This is the sum of the potential energy stored in the spring and the kinetic
energy of the mass. Thus
Then
Now various properties of Vand Vare demonstrated, and finally asymptotic stability is con-
cluded on the basis ofTheorem (77).
I) Vis an lpdf. To show this, suppose that x;t 0 and that Ix I I, Ix 2 I $ /l. Then V(x) > 0
by virtue of the conditions onf(-) and g('),
(2) V$0 whenever I bx I I, I bX2 I $ /l. This too follows from the condition onf(-).
(3) The level set Lv(c) is bounded. To see this, note that
V(x)$c :::;.cI>(xdS:c and 1X21 $'hc =:d.
Hence Lv(c) is contained in the bounded setL<!>(c) x [-d, d] .
.To apply Theorem (77), it is necessary to determine the set S of (73). Suppose XE Lv(c)
and V(x) =0. Thenxyj" (X2) =0, which implies that r , =0. Hence
To apply Theorem (77), it only remains to verify that S contains no nontrivial system trajec-
tories. Suppose x(t), t ~ 0 is a trajectory that lies entirely in S. Then
But this in tum implies thatf [X2(t)] =0"dt ~ Also, since X2 =- g (x I) - f (X2), it follows
that
In other words, x(t) is the trivial trajectory. Thus, by Theorem (77), the origin is asymptoti-
cally stable.
Sec. 5.3 Lyapunov's Direct Method 181
If the conditions onf and g are strengthened to
if (r) > 0, rg (r) > 0, Vr 1:-0,
Ir I
then Theorem (79) would apply and we can conclude that the origin is globally uniformly
asymptotically stable.
83 Example A phase-locked loop in communication networks can be described by the
equation
y(t) +[a +b (t) cosy (t)] y(t) +c (t) siny (t) =0,
where b('), c() are periodic functions with the same period. In this example. the stability of
this system is analyzed. One of the objectives of this example is to illustrate the difference
between the sets Lv and A
v
in (70).
We begin by rewriting the system equation in the form
Suppose a >and that the following conditions hold.
b(') is continuous and c() is CI,
0< C
m
:= min C (t), max c(t) =: CM < 00.
t t
Then it is claimed that the origin is uniformly asymptotically stable.
It is worthwhile to reflect on what the above conditions mean. One can think of the sys-
tem as a standard second order system with nonlinear damping and restorative force. The
damping is always in the interval [a - b
M
a +b
M
], and is bounded away from zero by
assumption. The restoring force is always positive. The last condition takes into account the
time-varying nature of the system, and basically means that the function cO varies
sufficiently slowly.
One might be tempted to try the "natural" Lyapunov function candidate
but this function does not work nearly so well as
182 Lyapunov Stability
My(d),d> 2
Ch.5
Fig.5.13
1 2
V(t, Xl, X2)= l-COS X l + --x2'
2e (t)
Note that V is periodic with the same period as the system. Now suppose d is a real
number. If d then the set My(d) defined in (69) is connected and unbounded (see Figure
5.13). If d < 2, the set M y(d) splits into an infinite number of components. The level set
Ly(d) consists of the component containing the origin, and is described by
Every point x in Lofd) has the property that Vct, x) $dfor some t [e.g. the time t at which cO
attains its maximum value eM]' Incontrast, the set Ay(d) consists of those x in Ly(d) such
thatV(t, x) $ dforall t. Clearly
Ay(d)= {xELy(d): l-cosx) $d).
This set is also shown in Figure 5.13.
Now the equilibrium0 is shown to be asymptotically stable using Theorem (77). Since
Vis an lpdf and is decrescent. Next,
. '. X2X2
V=Xl smr , +----2-
e (t) 2e (t)
.
=- -2- (2e(t) [a +b(t)cosx d -e(t).
2e (t)
Now consider the function inside the braces. Clearly
Sec. 5.3 Lyapunov's Direct Method 183
2c (t) [a (t) +b (t) cosx I] -e(t) ~ 2c
m
(a - b
M
) -e(t) =: d(t) > 0, '<:/t,
by assumption. Hence Vet, x):S; '<:/ t, X. To apply Theorem (77), the only remaining condi-
tion is that the set S defined in (73) does not contain any nontrivial trajectories. Since the
function d(') defined above is continuous, periodic, and positive-valued, it follows that d (t)
is bounded away from zero. Hence
:It ~ s u c h that Vet, x)=Oiff X2=0,
In other words,
Suppose now that x() is a trajectory of the system lying entirely in S. Then
X2(t) =0:::;. X2(t) = 0:::;. c (1) sinx I (t) =0:::;. XI (t) =0.
Hence x(-) is the trivial trajectory. Therefore, by Theorem (77), 0 is a uniformly asymptoti-
cally stable equilibrium. Moreover, by the remark following the proof of Theorem (77), the
setAv(d) for each d < 2 is in the domain of attraction; but the same is not necessarily true of
Lv(d).
84 Example (Stabilization of a Rigid Robot) As an application of the Krasovskii-
LaSalle theorem, consider the problem of stabilizing a rigid robot which is operating in a
gravity-free environment. The absence of gravity can come about because the robot is
operating in outer space. Even in more "down to earth" applications, this assumption is
valid if the robot is constrained to operate in a plane which is perpendicular to gravity, for
example, a table-top robot operating on an air cushion. The assumption of rigidity ensures
that the number of degrees of freedom equals the number of control actuators.
Let q = [q I ... qnr denote the vector of generalized coordinates of the robot, and let
u = [u I ... Un r denote the vector of generalized forces. The assumption of rigidity means, in
effect, that the vector u can be chosen arbitrarily and is thus a suitable control input. Now
the dynamics of the robot are described by the Euler-Lagrange equations
85 :, [ ~ ~ ] ~ ~ =u,
where L is the Lagrangian of the system. Since it is assumed that there is no gravity, the
potential energy of the robot is a constant, which can be taken to be zero. Hence the Lagran-
gian equals the kinetic energy K. As is customary, assume that
where the matrix D(q) is called the inertia matrix. This matrix is configuration dependent
184 Lyapunov Stability Ch.5
but always positive definite. It is reasonable to assume that there exist positive constants a
and such that
Substituting for L = Kin (85) gives the dynamical equations in the standard form
n n n
qj + ilAk =u., i =I ..... n,
j=l j=l k=l
where
are called the Christoffel symbols. [For further details see Spong and Vidyasagar (1989),
Sec. 6.3.] These equations can be written compactly as
Dtq) ij +C(q, q) q= u,
where C(q, q) is an nxn matrix whose ij-th element is
n
Ci/q, q) = q) ilk'
k=l
Of course, by introducing the state variables x = q, y = q, these equations can be put in the
familiar form (5.1.1), namely
x=y, y=[D(x)r
l
[u - C(x, y)y].
Suppose one is given a vector qd representing the desired value of the generalized
coordinate vector q. If q is the vector of joint angles of the robot, then qdwould be the vector
of desired joint angles. To make q(t) approach the desired vector qd' let us try the control
law
where K, and are arbitrary positive definite matrices. This control law is known as a PD
(proportional plus derivative) control law. With this control law, then the system equations
become
These equations can bemade to look more familiar by reverting briefly to the original vari-
ables q and q, and writing them as
Sec. 5.3 Lyapunov's Direct Method 185
which look like the dynamical equations of a mass-spring-dashpot system.
Now Theorem (79) is used to show that the equilibrium x =qd' Y=0 of the system (86)
is globally uniformly asymptotically stable. For this purpose, select the Lyapunov function
candidate
1.'. ,
V="2[q D(q)q+(q-qd) Kp(q-qd)]
1 , D ' K
="2[Y (x)y+(X-qd) p(X-qd)]
The first term in V is the kinetic energy while the second term is the potential energy due to
the proportional feedback, which acts like a spring. Clearly V is positive definite and radi-
ally unbounded. Now let us differentiate V along the system trajectories. For this purpose,
note that
87
Let us define an nxn matrix D(x, y) whose ij-th element is the right side of (87). Then, along
the trajectories of (86), we have
. , . 1,' .'
V=y D(x)Y+"2
Y
D(x,y)y+x Kp(X-qd)
=- y' [K, (X-qd) + Kdy+ C(x, y) y] + y' D(x, Y)Y+ y'K, (X-qd)
= -y'Kdy + y' [D(x, y) - 2C(x, y)] y.
Next it is shown that the matrix D - is skew-symmetric, which implies that the last
term on the right side is zero. Define M :=D - 2C, and note that
n n [adik adij adjk ]
2cij= r,
2 C
ij k Yk = r, -a. +-a---a. Yk
k=l k=1 x
J
xk X,
Hence, from (87),
.. _ n [ ad
ik
_ ad
jk
]
m'J- r, a a Yk.
k=\ Xj Xi
Interchanging i and j gives
186 Lyapunov Stability Ch.5
Hence M is skew-symmetric and y'My == 0, so that
To complete the example, note that V:5: 0 V'(x, y)E R
n
x R". Moreover, the set R of
(81) is given by
R= (x, y): y = O} = R" x (O}.
Suppose [x(t), y(t)] is a trajectory that lies entirely in R. Then
Hence Rcontains no trajectories of the system other than the equilibrium (qd' 0). It now fol-
lows from Theorem (79) that this equilibrium is globally asymptotically stable.
5.3.3 Theorems on Instability
In the two preceding subsections, we presented sufficient conditions for stability and
for asymptotic stability. This subsection contains several sufficient conditions for instabil-
ity.
88 Theorem The equilibrium 0of(5.1.1) is unstable if there exist a CI decrescentfunc-
tion V: R+ x R" and a time to sucb that (i) Visan lpdf, (ii) V(t, O)=OV't and
(iii) there exist points Xo '1:- 0 arbitrarily close to 0 such that V (t 0, Xo)
Proof To demonstrate that 0 is an unstable equilibrium, it must be shown that, for
some E >0, no 0 >0 exists such that (5.1.10) holds. Since V is an lpdf and V is decrescent,
there exist a constant r >0, and functions p, y of class K such that
89 V(t, x):5:P(llxll), V(t, V'xEB
r

It is now shown that, if we let E= r, then no matter how small we choose 0> 0, there always
exists a corresponding Xo in B& such that IIs(t, to, Xo)1I eventually equals or exceeds E.
Given any 0> 0, pick an Xo;t 0 in Bs such that V(t, Xo) 0; such an Xo exists by condition
(iii). In the interests of brevity, let x(t) denote s(t, to, Xo). Then initially V(t 0, Xo) >0, so
there exists a t I to such that V [t I' x(t I )] =: c >O. To show that eventually IIxU) II E, sup-
pose by way of contradiction that B, V't t I' Then (89) implies that
V[t, Also, since V(t, V'xEB" it follows that
This in tum implies, from (89), that
IIx(t) II p-I (c) V't t 10 and that V[t, x(t)] (c)] =: d > O. Now combining all of these
inequalities shows that '
Sec. 5.3 Lyapunov's Direct Method 187
90 x(t)]=V[tl,X(tI)]+ SV[t,
I,
However, the inequality (90) is absurd, since the right side is an unbounded function of t
while the left side is a fixed constant. This contradiction shows that the assumption is false,
i.e. it is not true that Ilx(t)II In other words, there is a time at which
IIx(t) II This shows that the equilibriumOis unstable.
Note that, in contrast with previous theorems, the Lyapunov function V in the present
theorem can assume both positive as well as negative values. Also, the inequality (89)
requiring that V be a decrescent function places no restrictions on the behavior of V(t, x)
when it assumes negative values.
91 Example Consider the system of equations
and choose the Lyapunov function candidate
Even though Vassumes both positive and negative values, it has the requisite property that it
assumes nonnegative values arbitrarily close to the origin. Hence it is a suitable Lyapunov
function candidate for applying Theorem (88). Differentiating Vgives
V(x I, X2) = 2(2x I -x2)(2X 1 -X2)- 2x
2
X2 = [(2x I -X2)2 +X2)'
Thus Vis an Ipdf over the ball B I-d for each de (0, I), and all conditions of Theorem (88) are
satisfied. It follows that 0 is an unstable equilibrium.
Remarks Some authors prove a less efficient version of Theorem (88) by showing that
ois an unstable equilibrium if one can find a C1 function V such that both Vand Vare lpdf' s.
Actually, it can be shown that if one can find such a function V, then the origin is a com-
pletely unstable equilibrium; in other words, there exist an E> 0 and an r > 0 such that
every trajectory starting in B; other than the trivial trajectory eventually leaves the ball BE'
While such instability occurs sometimes (e.g., the Vander Pol oscillator), this particular ins-
tability theorem is much less useful than Theorem (88).
Alternate sufficient conditions for instability are given by Theorem (92) below and
Theorem (99) following.
92 Theorem The equilibrium 0 of (5.1.1) is unstable if there exist a C
I
function
V: R, x R
n
R and a constant r > 0 such that (i) V is decrescent, (ii) V(0, 0) = 0 and
V(0, .) assumes positive values arbitrarily close to the origin, (iii) there exist a positive con-
stant t.. andafunction W: a, xR
n

188 Lyapunov Stability Ch.5
93 V(t, X)= AV(t, x)+ W(t, x), and
94 W(t, xj z O, \fxEB
r

Proof It is shown that if we choose E= r, then (5.1.10) cannot be satisfied for any
choice of S>O. Given S> 0, choose Xo:t: 0 in B 0 such that V(O, Xo) > 0, and let x(t) denote
the resulting solution trajectory s(t, 0, Xo). Then, whenever X(t)E B" we have
95
d
-V[t, x(t)] =AV[t, x(t)] + W[t, x(t)] x(t)],
dt
and therefore
96
d
-{exp(-AJ) V[t, x(t)]}
dt
Hence
97 V[t,
Since the function on the right side is unbounded, x(t) must eventually leave B
r
Therefore 0
is an unstable equilibrium.
98 Example Consider the systemofequations
Let
Then Vis a suitable Lyapunov function candidate for applying Theorem (92). Now
V(t, x) =2x LX l - 2x2X2 =2xi - =2V(x L, X2)
Since all conditions of Theorem (92) are satisfied, and 0 is an
unstable equilibrium.
In Theorems (88) and (92), the function V is required to satisfy certain conditions at all
points belonging to some neighborhood of the origin. In contrast, the various conditions in
Theorem (99) below are only required to hold in a region for which the origin is a boundary
point. This theorem is generally known as Chetaev's theorem.
99 Theorem (Chetaev) The equilibrium 0 is unstable if there exist a C' function
V: R+ x R" R, a ball B" an open set nk B, andafunction yofclass K such that
Sec. 5.3 Lyapunov's Direct Method 189
Fig. 5.14
100 0< Vet, x), 'v'XEn,
101 V(t, x) <00,
102 OEdn(theboundaryofn),
103 Vet, x)=O, 'v'XEdnnB"
104 Vet, 'v'XEn.
Proof The situation can be depicted as shown in Figure 5.14. The assumptions on V
and V imply that, along any nontrivial trajectory starting inside n, V[t, x(t)] increases
indefinitely so long as the trajectory stays inside n. Since V= 0 on dnnB" the trajectory
cannot escape n by moving across dnnB
r
Hence the trajectory must eventually reach the
boundary of B, itself, irrespective of its starting point. This shows that 0 is an unstable
equilibrium.
105 Example This is a continuation of Example (19), regarding the spinning of a rigid
body. The motion is described by
x=zzyz, y=- bxz, Z=eX)'.
Consider an equilibrium of the form (0, Yo, 0), where Yo :;to; say Yo> 0 to be specific. First
let us translate the coordinates so that the equilibrium under study becomes the origin. This
is achieved by rewriting the system equations as
Ify - Yo is denoted byYS' then the equations become
190 Lyapunov Stability
x=ay.: +ayoZ, Ys = - bxz; i:= cXYs +cxy o-
Ch.5
Now apply Theorem (99) with
Vex, y, z)=xz,
Q= {(x, Ys, Z)EB
rn
: x> 0 and z > O).
Then Q is open, and
where B
rn
denotes the closed ball of radius rl2. Hence conditions (100) to (103) are
satisfied. Finally,
V=xi: +xz =2(ys +yo)(cx
2
+az
2
).
If (x, Ys' Z)E Q, then Ys +Yo > 0, so that (104) is also satisfied. Hence, by Theorem (99), the
origin (in the new coordinate system) is an unstable equilibrium.
5.3.4 ConcludingRemarks
In this section, several theorems in Lyapunov stability theory have been presented.
The favorable aspects ofthese theorems are:
I. They enable one to draw conclusions about the stability status of an equilibrium
without solving the system equations.
2. Especially in the theorems on stability and asymptotic stability, the Lyapunov
function Vhas an intuitive appeal as the total energy of the system.
The unfavorable aspects of these theorems are:
3. They represent only sufficient conditions for the various forms of stability. Thus,
if a particular Lyapunov function candidate V fails to satisfy the hypotheses on V,
then no conclusions can be drawn, and one has to begin anew with another
Lyapunov function candidate.
4. In a general system of nonlinear equations, which do not have the structure of
Hamiltonian equations of motion or some other such structure, there is no sys-
tematic procedure for generating Lyapunov function candidates.
Thus the reader is justified in asking what the role of Lyapunov theory is today. Two
remarks may be made in response.
Sec. 5.3 Lyapunov's Direct Method 191
(1) Originally Lyapunov stability theory was advanced as a means of testing the stabil-
ity status of a given system. Nowadays, however, it is increasingly being used to guarantee
stability. For example, in adapti ve control or PO stabilization of robots [see Example (84),
onefirst chooses a Lyapunov function candidate, and then chooses the adaptation law or the
control law to ensure that the hypotheses of a particular stability theorem are satisfied. In
this way, the problem of searching for a Lyapunov function is alleviated. (2) Though the
various theorems given here are only sufficient conditions, it is possible to prove so-called
converse theorems, which state that if the equilibrium has a particular property, then there
exists a suitable Lyapunov function that would enable us to deduce this property. Usually
this Lyapunov function is specified in terms of the solution trajectories of the system, and
can be used in perturbational analysis. Roughly speaking, the line of reasoning goes like
this: Begin with a system which is easy to analyze (such as a linear system; cf. the next sec-
tion). Construct a Lyapunov function for the same. Now see under what conditions the
same Lyapunov function candidate continues to work for a modified system. We shall see
several examples of such an approach in this chapter and the next.
Problem 5.11 For the system of Example (19), suppose it is desired to analyze the sta-
bility of an equilibrium of the form (x 0, 0, 0) where x 0 *0. Set up a new set of coordinates
such that the equilibrium under study is the origin of the new set. Define a suitable
Lyapunov function such that the stability of the equilibrium can be established by applying
Theorem (14). Repeat for an equilibriumof the form (0, 0, zo) where Zo*0.
Problem 5.12 Analyze the circuit of Example (48) (Figure 5.7) when the capacitances
are also nonlinear. Let qj denote the charge across the i-th capacitor, and suppose qj is a
(possibly nonlinear) function of the voltage x.. Assume that qj(Xj) = 0, and define
Cj(Xj) = aqj(Xj )!i)xj. Suppose there exists constants o; and 13j such that
Using the total energy stored in the capacitors as a Lyapunov function candidate, analyze
the stability ofthe equilibriumx = O.
Problem 5.13 Suppose a particle of mass m is moving in a smooth potential field. To
simplify the problem, suppose the motion is one-dimensional. Let x denote the position
coordinate of the particle, and let <\>(x) denote the potential energy at x. If the only force act-
ing on the particle is due to the potential, then the motion of the particle is described by
mx =-<\>' (x) <T(x),
where the prime denotes differentiation with respect to x. Show that every local minimum
of the function <\> is a stable equilibrium.
Problem 5.14 Consider the autonomous differential equation
x=f[x(t)],
and suppose f is a CI function such that (0) = O. Then there exists a CI matrix-valued
192 Lyapunov Stability Ch.5
function Asuch that [cf. Lemma (2.5.17)]
f(x) = A(x) X, 'dXE R".
(a) Show that if the matrix A' (0) + A(O) is negative definite. then the origin is an
exponentially stable equilibrium. More generally, show that if there exists a positive
definite matrix P such that A' (0) P + P A(O) "is negative definite, then the origin is an
exponentially stable equilibrium. (Hint: Consider the Lyapunov function candidate
V(x)= IIxII
2
. )
(b) Extend the results in (a) to global stability.
Problem5.15Consider the differential equation
y(t) +j [y (t)] y(t) + g [y (t) =O.
Transformthis equation into state variable form by choosing xI =y, X2 =y.
(a) Suppose the functions j and g are continuous and satisfy the following conditions
for some positive number 0:
og (0) > 0, 'dOE (- 0,0),
'dOE (-0, 0).
Show that the equilibrium0 is stable.
(b) Suppose that the condition onjis strengthened to
j(oO, 'dOE (-0, 0).
Show that the equilibrium0 is asymptotically stable.
(c) Show that if. in addition to the conditions in (b), bothjand g are continuously dif-
ferentiable, then the equilibrium0 is exponentially stable.
(d) Find suitable conditions onjand g to ensure global asymptotic stability and global
exponential stability.
Problem5.16Consider the system
Using the Lyapunov function candidate
V(x)=xT
show that 0 is an unstable equilibrium.
Sec. 5.4 Stability of Linear Systems 193
Problem5.17 Consider the system
Using the Lyapunov function candidate
and Theorem (92), show that 0 is an unstable equilibrium.
5.4 STABILITYOF LINEARSYSTEMS
In this section we study the Lyapunov stability of systems described by linear vector
differential equations. The results presented here not only enable us to obtain necessary and
sufficient conditions for the stability of linear systems, but also pave the way to deriving
Lyapunov's linearization method, which is presented in the next section.
5.4.1 Stability and the State Transition Matrix
Consider a systemdescribed by the linear vector differential equation
1 x(t)=A(t)x(t), t ~ O .
The system (I) is autonomous if A() is constant as a function of time; otherwise it is nonau-
tonomous. It is clear that 0 is always an equilibrium of the system (1). Further, 0 is an iso-
lated equilibrium if A(t) is nonsingular for some t ~ O . The general solution of (1) is given
by
2 x(t)=cI>(t, to)x(to),
where cI>(., .) is the state transition matrix associated with A(-) and is the unique solution of
the equation
3
4
d
-cI>(t, to)=A(t)cI>(t, to), i i t ~ t o ~ O
dt
cI>(to, (0) =I, 'ii/
o
?O.
With the aid of this explicit characterization of the solutions of (1), it is possible to derive
some useful conditions for the stability of the equilibrium O. Since these conditions involve
the state transition matrix cI>, they are not of much computational value, because in general it
is impossible to derive an analytical expression for cI>. Nevertheless, they are of conceptual
value, enabling one to understand the mechanisms of stability and instability in linear sys-
tems.
194 Lyapunov Stability Ch.5
5 Theorem Theequilibrium 0is stabLe ifand onLy iffor each t 0 ~ 0 it is true that
6 sup 1II>(t, to)II;=:m(to)<oo,
/?/o
where II IIj denotes the induced norm ofa matrix.
Proof "If' Suppose (6) is.true, and let e > 0, to ~ 0 be specified. If we define 0(, to) as
e/m(t 0), then
7 IIx(to) II < ~ Ilx(t) II = 1II>(t, to)x(to) II $; 1II>(t, to) II; IIx(to) II
so that (5.1.10) is satisfied. This shows that the equilibrium 0 is stable.
"Only if' Suppose (6) is false, so that III>(t, to) IIj is an unbounded function of t for
some t 0 ~ O. To show that 0 is an unstable equilibrium, let e > 0 be any positive number, and
let 0 be an arbitrary positive number. It is shown that one can choose an x(to) in the ball B1\
such that the resulting solution x(t) satisfies Ilx(t)II ~ for some t ~ t o Select a 0, in the
open interval (0, 0). Since III>(t, to) II; is unbounded as a function of t, there exists a t ~ to
such that
8
Next, select a vector v of norm one such that
9 1II>(t, to) vII = 1II>(t, to) II;.
This is possible in view of the definition of the induced matrix norm. Finally, let x(t 0) = 01 v.
Then XE B1\-. Moreover,
Hence the equilibrium 0 is unstable .
Remark: Note that, in the case of linear systems, the instability of the equilibrium 0
does indeed imply that some solution trajectories actually "blow up." This is in contrast to
the case of nonlinear systems, where the instability of 0 can be accompanied by the bound-
edness of all solutions, as in the Van der Pol oscillator [see Example (5.1.25)].
Necessary and sufficient conditions for uniform stability are given next.
11 Theorem Theequilibrium 0 is uniformLystabLe ifand onLy if
Sec. 5.4 Stability of Linear Systems 195
12 mo := sup m(t 0) = sup sup II I(t, to) II i < 00.

Proof "If' Suppose mo is finite; then, for any E> 0 and any t 0 0, (5.1.11) is satisfied
witho=flmo
"Only if' Supposem(t
o)
is unbounded as a function of to. Then at least one component
of 1(', -), say the ij-th component, has the property that
13 sup 1<1>i/t, to)1 is unbounded as a function of to.
I
Let xo = ej, the elementary vector with a I in the j-th row and zeros elsewhere. Then (13)
implies that the quantity II x(t) II/II Xo II = II I(t, to) Xo II/II Xo II cannot be bounded indepen-
dently of t o- Hence 0 is not a uniformly stable equilibrium.
The next theoremcharacterizes uniform asymptotic stability.
14 Theorem The equilibrium 0 is (globally) uniformly asymptotically stable ifand only
if
15 sUR sup 1I1(t, to)lI; <00,

16 II I(t 0 + t, to) II i 0 as t 00, uniformly in to.
Remark: The condition (16) can be expressed equivalently as follows: For each E > 0,
there exists a T = T (E) such that
17 IIc1>(to+t, to)lli <E,
Proof "If' By Theorem (II), if (IS) holds then the equilibrium 0 is uniformly stable.
Similarly, if (16) holds, then the ratio l14J(t, to)x(t 0) II/II x(to) II approaches zero uniformly
in to, so that 0 is uniformly attractive. Hence, by definition, 0 is uniformly asymptotically
stable.
"Only if' This part of the proof is left as an exercise (see Problem5.18)
Theorem (I8) below shows that, for linear systems, uniform asymptotic stability is
equivalent to exponential stability.
18 Theorem The equilibrium 0 is uniformly asymptotically stable if and only if there
exist constants m, A. > 0 such that
19 1I1(t,
Proof "If' Suppose (19) is satisfied. Then clearly (15) and (16) are also true, whence 0
is uniformly asymptotically stable by Theorem (14).
196 Lyapunov Stability Ch.5
"Only if' Suppose (15) and (16) are true. Then there exist finite constants 1.1. and Tsuch
that
20 II<I(t,
In particular, (21) implies that
Now, given any to and any t to, pick an integer k such that to +kT t < to +(k +1)T. Then
23 <I(t, to) = <I(t, to +kT)<I(to +kT, to+kT-T) .,. <I(to+T, to)'
Hence
k
24 1I<1(t, to) IIi II<I(t, to +kT) II;,TI 11<1(10 +jT, to +jT - T) IIj,

where the empty product is taken as one. Now repeated application of (20) and (22) gives
25 1I<1(t, to)ll;
Hence (19) is satisfied if we define
26
27
m=21.l.,
A= log 2 .
T
This completes the proof.
In conclusion, this subsection contains several results that relate the stability properties
of a linear system to its state transition matrix. Since these results require an explicit expres-
sion for the state transition matrix, they are not of much use for testing purposes. Neverthe-
less, they do provide some insight. For example, Theorem (18), which shows that uniform
asymptotic stability is equivalent to exponential stability, is not very obvious on the surface.
5.4.2 Autonomous Systems
Throughout this subsection, attention is restricted to linear autonomous systems of the
form
28 x(1)=Ax(t).
In this special case, Lyapunov theory is very complete, as we shall see.
Sec. 5.4 Stability of Linear Systems 197
29 Theorem The equilibrium 0 of(28) is (globally) exponentially stable ifand only ifall
eigenvalues ofA have negative real parts. The equilibrium 0 0/(28) is stable ifand only if
all eigenvalues ofAhave nonpositive real parts, and in addition, every eigenvalue ofAhav-
ing a zero real part is a simple zero ofthe minimal polynomial ofA.
Proof The state transition matrix <1l(t, to) of the system (28) is given by
30 <1l(t, to)=exp[A(t-t
o)],
where exp() is the matrix exponential. Furthermore, exp (At) can beexpressed as
r mj
31 exp(At)= 1:1:Pi/A)tj-1 expO"it),
i=1 j=1
where r is the number of distinct eigenvalues of A; A) , ... , A, are the distinct eigenvalues;
m, is the multiplicity of the eigenvalue Ai; and p., are interpolating polynomials. Thestated
conditions for stability and for asymptotic stability now follow readily from Theorems (5)
and (14) respectively.
Thus, in the case of linear time-invariant systems of the form (28), the stability status of
the equilibrium 0 can be ascertained by studying the eigenvalues of A. However, it is possi-
ble to formulate an entirely different approach to the problem, based on the use of quadratic
Lyapunov functions. This theory is of interest in itself, and is also useful in studying non-
linear systems using linearization methods (see Section 5.5).
Given the system (28), the idea is to choose a Lyapunov function candidate ofthe form
32 V(x)=x'Px,
where P is a real symmetric matrix. Then V is given by
33 V(x)=i'Px+x'PX=-x'Qx,
where
34 A'P+PA=-Q.
Equation (34) is commonly known as the Lyapunov Matrix Equation. By means of this
equation, it is possible to study the stability properties of the equilibrium 0 of the system
(28). For example, if a pair of matrices (P, Q). satisfying (34) can be found such that both P
and Q are positive definite, then both Vand -Vare positive definite functions, and Vis radi-
ally unbounded. Hence, by Theorem (5.3.45), the equilibrium 0 is globally exponentially
stable. On the other hand, if a pair (P, Q) can be found such that Q is positive definite and P
has at least one nonpositive eigenvalue, then - Vis positive definite, and V assumes nonposi-
tive values arbitrarily close to the origin. Hence, by Theorem (5.3.88), the origin is an
unstable equilibrium.
198 Lyapunov Stability Ch.5
This, then, is the rationale behind studying Equation (34). There are two possible ways
in which (34) can be tackled: (1) Given a particular matrix A, one can pick a particular
matrix P and study the properties of the matrix Q resulting from (34). (2) Given A, one can
pick Q and study the matrix P resulting from (34). The latter approach is adopted here, for
two reasons - one pragmatic and the other philosophical. The pragmatic reason is that the
second approach is the one for which the theory is better developed. On a more philosophi-
cal level, one can reason as follows: Given a matrix A, we presumably do not know ahead of
time whether or not 0 is a stable equilibrium. If we pick P and study the resulting Q, we
would be obliged (because of the available stability theorems) to make an a priori guess as
to the stability status ofO. If we believe that 0 is asymptotically stable, then we should pick P
to be positive definite, whereas if we believe that 0 is unstable, we should pick P to be
indefinite or even negative definite. On the other hand, if we were to pick Q, there is no need
to make such an a priori guess as to the stability status ofO. The matrix Q should be always
chosen to be positive definite. If the resulting matrix P is positive definite, then 0 is
exponentially stable, by Theorem (5.3.45). If, on the other hand, P turns out to have at least
one nonpositive eigenvalue, then 0 is an unstable equilibrium, by Theorem (5.3.88).
One difficulty with selecting Q and trying to find the corresponding P is that. depend-
ing on the matrix A, (34) may not have a unique solution for P. The next result gives neces-
sary and sufficient conditions under which (34) has a unique solution corresponding to each
Q.
3S Lemma Let AER", and let {AI... , An }denote the (not necessarily distinct) eigen-
values of A. Then (34) has a unique solution for P corresponding to each QE R
nxn
if and
only if
The proof of this lemma is not difficult. but requires some concepts from linear algebra
not heretofore covered. The interested reader is referred to Chen (1984), Appendix F, or to
any other standard book on matrix theory which discusses the "Sylvester Equation," which
is a generalization ofthe Lyapunov matrix equation.
On the basis ofLemma (35). one can state the following corollary.
37 Corollary Iffor some choice ofQE R
nxn
Equation (34) does not have a unique solu-
tionforP, then the origin is not an asymptotically stable equilibrium.
Proof Ifall eigenvalues of Ahave negative real parts, then (36) is satisfied..
Thefollowing lemma provides an alternate characterization of the solutions 0[(34).
Note that a matrix A is called Hurwitz if all of its eigenvalues have negative real parts. The
terminology arises from the fact that, if all eigenvalues of A have negative real parts, then
the characteristic polynomial of A is a Hurwitz polynomial.
Sec. 5.4 Stability of Linear Systems 199
38 Lemma Let A be a Hurwitz matrix. Then, for each QeR
nxn
, the corresponding
unique solution oft34) is given by
39 P= f eA'IQe
A1
dt.
o
Proof If A is Hurwitz, then the condition (36) is satisfied, and (34) has a unique solu-
tion for P corresponding to each Qe R
nxn
. Moreover, if A is Hurwitz, then the integral on
the right side of (39) is well-defined. Let M denote this integral. It is now shown that
40 A'M+MA=-Q.
By the uniqueness of solutions to (34), it then follows that P =M.
To prove (40), observe that
41 A'M+ MA = f [A' eA'IQe
A1
+ eA'IQe
A1
A] dt
o
=-Q.
This completes the proof.
Note that the above lemma also provides a convenient way to compute infinite integrals
of the form (39).
We can now state one ofthe main results for the Lyapunov matrix equation.
42 Theorem Given a matrix Ae R
nxn
thefollowing three statements are equivalent:
(1) A is a Hurwitz matrix.
(2) There exists some positive definite matrix QeR
nxn
such that (34) has a
corresponding unique solutionforP, and this P ispositive definite.
(3) For every positive definite matrix Qe R
nxn
, (34) has a unique solution for P, and
this solution ispositive definite.
Proof "(3):::>(2)" Obvious.
"(2):::>(1)" Suppose (2) is true for some particular matrix Q. Then we can apply
Theorem (5.3.25) with the Lyapunov function candidate V(x)=x'Px. Then V(x)=-x'Qx,
and one can conclude that 0 is asymptotically stable equilibrium. By Theorem (29), this
implies that A is Hurwitz.
200 Lyapunov Stability Ch.5
"( l) (3)" Suppose A is Hurwitz and let QE R"?' be positive definite but otherwise
arbitrary. By Lemma (38), Equation (34) has a corresponding unique solution P given by
(39). It only remains to show that P is positive definite. For this purpose, factor Q in the
form M'Mwhere M is nonsingular. Now it is claimed that P is positive definite because
43 x'Px > 0, V'X:;1!:O.
With Q = M' M, P becomes
44 P= f eA"M'Me
A1
dt.
o
Thus, for any XE R",
45 x'Px= f x'eA'IM'MeA1xdt= f
o 0
where II 11
2
denotes the Euclidean norm. Next, if'x'Px = 0, then
Substituting t = 0 in (46) gives Mx =0, which in tum implies that x =0 since M is nonsingu-
lar. Hence P is positive definite and (I) implies (3).
Remarks
I. Theorem (42) is very important in that it enables one to determine the stability
status of the equilibrium 0 unambiguously, in the following manner: Given
AE R
nxn
, pick QE R
nxn
to be any positive definite matrix. (A logical choice is the
identity matrix or some other diagonal matrix.) Attempt to solve (34) for P. If
(34) has no solution or has a nonunique solution, then 0 is not asymptotically
stable. If P is unique but not positive definite, then once again 0 is not asymptoti-
cally stable. On the other hand, if P is uniquely determined and positive definite,
then 0 is an asymptotically stable equilibrium.
2. Theorem (42) states that if A is a Hurwitz matrix, then whenever Q is positive
definite, the corresponding P given by (34) is also positive definite. It does not
say that, whenever P is positive definite, the corresponding Q is positive definite.
This statement is false in general (see Problem5.19).
Theorem (42) shows that, if A is Hurwitz and Q is positive definite, then the solution P
of (34) is positive definite. The next result shows that, under certain conditions, P is positive
definite even when Q is only positive semidefinite.
47 Lemma Suppose AE R
nxn
and satisfies (36). Suppose CER
mxn
, and that
Sec. 5.4
48 rank
C
CA
=n.
Stability of Linear Systems 201
Under these conditions, the equation
49 A'P+PA=-c'C
has a unique solution/or P; moreover, P is positive definite.
Proof The uniqueness of P follows from Lemma (35). To show that P is positive
definite, observe that (49) is of the form (34) with Q=- c' C. Now suppose x'Px =O. Then
one can repeat the reasoning of (44) to (46) with M replaced by C. This shows that
50 x P x O ~ CeA1x=0, Vt C:O.
Let f(t) = CeA1x. Then f(') as well as all of its derivatives are identically zero. In particular,
f(O)
C
f(O) CA
51 0=, =
x,
d
n
-
I
I
f(O)
CA,,-I
dt
n
-
But from (48), this shows that x = O. Hence P is positive definite .
Theorem (42) shows that ifthe equilibrium0 of the system (28) is exponentially stable,
then this fact can be ascertained. by choosing a quadratic Lyapunov function and applying
Theorem (5.3.45). The following result, stated without proof, allows one to prove that, if the
equilibrium 0 is unstable because some-eigenvalue of A has a positive real part, I then this
fact can also be ascertained by choosing a quadratic Lyapunov function and applying
Theorem (5.3.88).
I Note that the equilibrium 0 can be unstable in another way as well, namely that the minimal
polynomial of A has a multiple zero on the imaginary axis.
202 Lyapunov Stability Ch.5
52 Lemma Consider (34), and suppose the condition (36) is satisfied, so that (34) has a
unique solution for P corresponding to each QE R
nxn
Under these conditions, ifQ is posi-
tive definite, then P has as many negative eigenvalues as there are eigenvalues of A with
positive real part.
A proof of this lemma can be found in Taussky (1961). Note that, since (36) is assumed
to hold, it follows that A does not have any eigenvalues with zero real part; consequently, all
eigenvalues of A have either a positive real part or a negative real part.
To see how Lemma (52) can be applied, suppose A satisfies the hypotheses of this
lemma, and choose the Lyapunov function candidate (32). Then Vis given by (33). Now, if
Ais Hurwitz, then Vis positive definite and Vis negative definite, and the exponential stabil-
ity of 0 follows by Theorem.(5.3.45). On the other hand, if A has one or more eigenvalues
with positive real part, then V is negative definite and V assumes negative values arbitrarily
close to the origin; thus the instability of the origin can bededuced using Theorem (5.3.88).
5.4.3 Nonautonomous Systems
In the case of linear time-varying systems described by (I), the stability status of the
equilibrium 0 can be ascertained, in principle at least, by studying the state transition matrix.
This is detailed in Section 5.4.1. The purpose of the present subsection is three-fold: (1) to
prove the existence of quadratic Lyapunov functions for uniformly asymptotically stable
linear systems; (2) to present some simple sufficient conditions for stability, asymptotic sta-
bility, and instability, based on the matrix measure; (3) to present necessary and sufficient
conditions for the stability of periodic systems.
The Existence of Quadratic Lyapunov Functions
Theorem (42) shows that if the equilibrium0 of the system(28) is exponentially stable,
then a quadratic Lyapunov function exists for this system. A similar result is now proved for
nonautonomous systems, under the assumption that 0 is exponentially stable [or
equivalently, uniformly asymptotically stable; see Theorem (18)]. The relevant result is
Theorem (64) below. This theorem is based on two preliminary lemmas.
53 Lemma Suppose Q: R+ R
nxn
is continuous and bounded, and that the equilibrium
oof(1) is uniformly asymptotically stable. Then,for each t 0, the matrix
54 P(t)= JcIl'('t, r) Q('t) cIl('t, t)d't
t
is well-defined; moreover, P(t) is bounded as afunction oft.
Proof The hypothesis of uniformasymptotic stability implies that 0 is in fact exponen-
tially stable, by Theorem (18). Thus there exist constants m, A> 0 such that
Sec. 5.4 Stability of Linear Systems 203
SS II <I>('t,
The bound (55), together with the boundedness of Q(.), proves the lemma.
S6 Lemma Suppose that, in addition to the hypotheses of Lemma (53), the following
conditions also hold:
(1) Q(t) is symmetric and positive definite for each t 0; moreover, there exists a constant
a > 0 such that
S7 \ixER
n

(2) The matrix A() is bounded; i.e.,

S8 mo :=sup IIA(t)lI
i2
<00.

Under these conditions, the matrix P(t) defined in (54) is positive definite for each t 0;
moreover, there exists a constant > 0 such that
Proof Let XE R", and consider the triple product x'P(t)x. Then, from (54),
x'P(t)x= f x'<I>'('t, t)Q(t)<I>('t, t)xd't= f s'('t, r; x) Q(t) s('t, t, x)d't,
I ' I
:,.
. ) .J ,
where s('t, t, x) denotes (as before) the solution of (1) evaluated at time r, corresponding to
the initial condition x at time t. Now (57) and (60) together imply that
60
61 x'P(t)x af IJs('t, t, x) II de.
I
Next, by Theorem (2.5.1), we have
62 IIS(',I,.l II, >11.11, exp { - f d9}
>11.11, ex
p{
- f1IA(
9lll"
d9}
204 Lyapunov Stability
IIxllzexp[-mo('t-t), by (58).
Ch.5
Substituting from (62) into (61) gives
63 Jx'x exp [-2mo('t-t) d't= ax'x.
I 2mo
The inequality (59) now follows by taking = al2mo.
64 Theorem Suppose QO and AO satisfy the hypotheses of Lemmas (53) and (56).
Then,for eachfunction Q(. ) satisfying the hypotheses, thefunction
65 V(t, x) = x'P(t)x
is a Lyapunovfunction in the sense ofTheorem (5.3.45) for establishing the exponential sta-
bility ofthe equilibrium O.
Proof With V(t, x) defined as above, we have
66 v, x) = x' [P(t} + A' (t)P(t) + P(t)A(t) x.
It is easy to verify by differentiating (54) that
67 P(t) = - A' (t)P(t) - P(t)A(t) - Q(t),
Hence
68 V(t, x)=-x'Q(t)x.
Thus the functions Vand V satisfy all the conditions of Theorem (5.3.45).
Conditions Based on the Matrix Measure
Next we present some conditions for stability and instability based on the matrix meas-
ure. The following result proves useful for this purpose.
69 Lemma With regard to the system (1), thefollowing inequalities hold:
70 exp {J. dt} s 11<1>(1, (0) II, s exp {J. dt},
where II II is any norm on R" and is the corresponding matrix measure on R"?'.
Sec. 5.4 Stability of Linear Systems 205
The proof is immediate from Theorem (2.5.1).
Many simple sufficient conditions for various forms of stability are ready conse-
quences of Lemma (69). The proofs are straight-forward applications of results in Section
5.4.1 and are left as exercises.
71 Lemma The equilibrium 0 of(1) is stable if, for each to. there exists afinite constant
m (t 0) such that
r
72 f \it
10
The equilibrium0 is uniformly stable ifthere exists afinite constant m0 such that
73 fJ.1[A('t)] d't 5 mo, \it
10
74 Lemma The equilibrium0 of(1) is asymptotically stable if
10+1
75 f J.1[A('t)] d't - 00 as t 00, \it 0 O.
10
The equilibrium is uniformly asymptotically stable if the convergence in (75) is uniform in
to. i.e., if,for every m > 0 there exists a Tsuch that
10+1
76 f J.1[A('t)] d't <-m,
10
77 Lemma The equilibrium0is unstable ifthere exists a time t 0 0 such that
I
78 f
10
Remarks
I. As shown in Section 2.2, the measure of a matrix is strongly dependent on the vec-
tor norm on R" that is used to define it. In Lemmas (71), (74), and (77), the con-
clusions follow if the indicated conditions are satisfied for some norm on R",
Thus there is a great deal of flexibility in applying these lemmas.
2. The three lemmas provide only sufficient conditions and are by no means neces-
sary. [But in this connection, see Vidyasagar (l978a).] However, they do have
the advantage that one does not have to compute the state transition matrix.
206 Lyapunov Stability Ch.5
3. Lemma (77) is of rather dubious value, since its hypothesis actually assures com-
plete instability of the system (I); in other words, every nontrivial trajectory of (I)
"blows up."
Periodic Systems
This subsection concludes with a discussion of periodic systems.
Suppose that the matrix A(t) in (I) is periodic. In this case, we know by Theorems
(5.1.43) and (5.1.49) that the stability of the equilibrium 0 is equivalent to its uniform stabil-
ity, and that the asymptotic stability of the equilibrium 0 is equivalent to its uniform asymp-
totic stability. Theorem (89) below shows that in the case of linear periodic systems, further
simplifications are possible.
79 Lemma Suppose the matrix A(-) in (1) is periodic, and select a constant T > 0 such
that
80 A(t+T)=A(t), i t ~ O
Then the corresponding state transition matrix <1>( t, to) has the form
81 <I>(t, to)='I'(t, to)exp [M(t-to),
where M is a constant matrix, and'll is periodic in the sense that
82 'I'(t + T, to) = 'I'(t, to), "it ~ O
Proof Define
83 R=<I>(to+T, to),
and choose a matrix M such that
84 R=exp(MT).
This is possible since R is nonsingular. Now it is claimed that the matrix'll defined by
85 'I'(t, to) =<I>(t, to)exp[-M(t-to))
satisfies (82). To see this, proceed as follows:
86 'I'(t+T, to)=<I>(t+T, to)exp[-M(t+T-to))
=<I>(t+T, to+T)<I>(to+T, to)exp(-MT)exp[-M(t-to)].
However, by the periodicity of A(), we have
Sec. 5.4 Stability of Linear Systems 207
87 <I>(t + T, to + T) = <I>(t, to).
Thus (86) simplifies to
88 'P(t+T, to)=<I>(t, to)exp[-M(t-to)]='P(t, to)
This establishes (82) .
Once the representation (81) for the state transition matrix is obtained, the results of
Section 5.4.1 can be used to obtain necessary and sufficient conditions for stability. For this
purpose, note that Ais an eigenvalue ofM if and only if exp (AT) is an eigenvalue of <I>(T, 0).
89 Theorem Consider the system ( I ), and suppose the matrix A(-) is periodic. Then the
equilibrium 0 of (1) is uniformly asymptotically stable if and only if all eigenvalues of
<I>(T, 0) have magnitude less than one. The equilibrium 0 is uniformly stable ifand only ifall
eigenvalues of<l>(T, 0) have magnitude no larger than one, and all eigenvalues of<l>(T, 0)
with a magnitude ofone are simple zeros ofthe minimal polynomial of<l>(T, 0).
The proof is elementary and is left as an exercise.
90 Example The purpose of this example is to show that the stability of a nonauto-
nomous system cannot be deduced by studying only the eigenvalues of the matrix A(t) for
each fixed t. Consider'the periodic system (I) with
[
-1 +a cos ' t 1- a sin t cos t]
A(t) = . I' 2
-I - a sm t cos t - + a sin t
Then it can be verified that
[
e(a-l)t cost e-
t
sint]
<I>(t, 0) = (a-I)t e-t cos t .
-e smt
Now, the eigenvalues of A(t) are independent of t and satisfy the characteristic equation
A
2
+ (2 - a)A + (2 - a) = O.
Hence, if a < 2, then the eigenvalues of A(t) have negative real parts for each fixed t ~ 0, and
in fact the eigenvalues are bounded away from the imaginary axis. Nevertheless, if a > 1,
the systemis unstable. To see this, note that the period e q u l ~ in this case, and that
[
e
2
(a - l )1l 0 ]
<I>(21t, 0) = 0 e-21l .
The eigenvalues of this matrix are obviously e
2
(a - I )1l and e-
21l
If a> I, the first eigenvalue
has a magnitude greater-than one, and the equilibrium0 is unstable by Theorem (89).
208 Lyapunov Stability Ch.5
In Section 5.8.2 it is shown that, for so-called slowly varying systems. it is possible to
deduce the stability ofthe nonautonomous system by studying only the "frozen" systems.
Problem5.18 Complete the proof of Theorem (14).
Problem 5.19 Construct an example of a Hurwitz matrix A and a positive definite
matrix Psuch thatA'p+ PA is not negative definite.
Problem 5.20 Consider an RLC network that does not contain any capacitive loops or
inductive cutsets. Such a network can be described in state variable form by choosing the
capacitor voltages and the inductor currents as the states. Specifically, let Xc denote the vec-
tor of capacitor voltages, and let xL denote the vector of inductor cutsets. Then the system
equations are of the form
where C is the diagonal positive definite matrix of capacitor values; L is the positive definite
matrix of inductor values, including mutual inductances; Rij are the matrices arising from
the resistive subnetwork, with R
I 1
and R
22
symmetric, and R
21
= - if the resistive net-
work is reciprocal. Using the total energy stored in the capacitors and the inductors as a
Lyapunov function candidate, show that the equilibrium 0 is stable if both RII and R
22
are
nonnegative definite, and is asymptotically stable ifboth R
l t
and R
22
are positive definite.
Problem 5.21 Using the results of Section 5.4.3, determine whether 0 is a uniformly
stable or uniformly asymptotically stable equilibrium for the system x(t) = A(t) x(t), for
each of the situations below:
Problem5.22 The equilibrium0 of the system (5.1.1) is said to be bounded if, for every
o>0 and every t 0 0, there exists an E= E(0, to) such that
It is said to beuniformly boundedif for every 0 > 0 there exists an E= E(0) such that
IlXo II <0, IIs(t, to, Xo)11 <E,
Sec. 5.4 Stability of Linear Systems 209
(a) Show that a linear system is bounded if and only if it is stable, and that it is uni-
formly bounded if and only if it is uniformly stable.
(b) Constructexamples of nonlinear systems where the equilibrium 0 is stable but not
bounded, and where the equilibrium0 is bounded but not stable.
Problem 5.23 Generalize Theorem (18) to a class of nonlinear systems. Specifically,
suppose there exists a number d > 0 such that the solution trajectories of the system (5.1.1)
satisfy the bound
where Jl is some finite constant and ot-) is a function of class L. Show that the equilibrium 0
is exponentially stable. """
Problem 5.24 Given a finite collection ofnxn matrices AI, ... , A
b
define their convex
hullS as
k k
S== {A== ~ A i A i Ai ~ O V i ~ A i == I}.
i=l i=1
(a) Suppose there exists a positive definite matrix P such that A;P+PA
i
is negative
definite for each i between I and k. Show that every matrix in the set S is Hurwitz.
(b) Consider the differential equation
x(t) == A(t) x(t), where A(t)E S Vt ~ O.
Show that 0 is an exponentially stable equilibrium of this system.
5.5 LYAPUNOV'S LINEARIZATIONMETHOD
In this section, the results of the preceding two sections are combined to obtain one of
the most useful results in Lyapunov stability theory, namely the linearization method. The
great value of this method lies in -Ute fact that, under certain conditions, it enables one to
draw conclusions about a nonlinear systemby studying the behavior of a Linearsystem.
We begin by defining precisely the concept of linearizing a nonlinear systemaround an
equilibrium. Consider first the autonomous system
1 x(t) == f{x(t)].
Suppose f(O)== 0, so that 0 is an equilibrium of the system (1), and suppose also that f is con-
tinuously differentiable. Define
210 Lyapunov Stability Ch.5
i.e., let A denote the Jacobian matrix of f evaluated at x =0. By the definition of the Jaco-
bian, it follows that if we define
3 f,(x) :=f(x)-Ax,
then
4
IIf, (x) II
l im ----0
Ilxll
-,
IIxll --+0
..
where, to bespecific, all norms are taken as Euclidean norms. Alternatively, one can think
of
as the Taylor's series expansion of f(') around the point x =0 [recall that f(O) =0]. With this
notation, the system
6 z(t)=Az(t)
is referred to as the linearization or the linearized systemof ( I) around the equilibriumO.
The development for nonautonomous systems is similar but for an additional technical
requirement. Given the nonautonomous system
7 x(t) =f[t, x(t)],
suppose that
8 f(t, 0)=0, \ f t ~
and that f is a C1 function. Define
10 r,, x)=f(t, x)-A(t)x.
Then, by the definition of the Jacobian, it follows thatfor each fixed t ~ 0, it is true that
Sec. 5.5 Lyapunov's Linearization Method 211
11
IIf, (t, x) II
lim --II-x-II- =O.
II" II --;0
However, it mayor may not be true that
12
IIf, (t, x) II
lim sup =0.
IIxll
In other words, the convergence in (11) mayor may not be uniform in t. Provided (12)
holds, the system
13 z(t) = A(t) z(t)
is called the linearization or linearized system of (7) around the equilibrium O.
14 Example Consider the system
XI (t) =-x, (t) X2(t) =x, (r) -X2(t).
In this case, f(') is C ' , and
[
-10]
A(t)= 1 -1 ' 'v't ;;:::0.
However, the remainder term f, (t, x) is given by
Hence the uniformity condition (12) does not hold. Accordingly, the system
is not a linearization ofthe original system.
Theorem (15) is the main stability theorem of the linearization method. Since there is
nothing to be gained by assuming that the system under study is autonomous, the result is
stated for a general nonautonomous system.
15 Theorem Considerthe system (7). Suppose that (8) holds and that f(-) is continu-
ouslydifferentiable. Define A(t), f
1
(t, x) as in (9), (10), respectively, and assume that (i)
(12) holds, and (ii) A(') is bounded. Under these conditions, if 0 is an exponentially stable
equilibriumofthe linear system
16 z(t)= A(t)z(t),
then it is also an exponentially stable equilibriumofthe system (7).
212 Lyapunov Stability Ch.5
Proof Since A() is bounded and the equilibrium 0 is uniformly asymptotically stable,
it follows from Lemma (5.4.56) that the matrix
17 P(t)= f <I>'('t, t)<I>('t, t)d't
t
is well-defined for all t 0; moreover, there exist constants a, > 0 such that
Hence the function
19 V(t, x)=x'P(t)x
is a decrescent pdf, and is thus a suitable Lyapunov function candidate for applying
Theorem (5.3.45). Calculating V for the system (7) gives
20 V(t, x)=x'P(t)x+t, x)P(t)x+x'P(t)f(t, x)
= x' [P(t) + A' (t) P(t) + P(t) A(t) x + 2x' P(t) f
1
(t, x),
However, from (17) it can be easily shown that
21 P(t)+A'(t)P(t)+P(t)A(t)=-I.
Hence
22 V(t, x)=-x'x+2x'P(t)ft(t, x),
In view of(12), one can pick a number r > 0 anda p < 0.5 such that
. 2-
23 ur,, x) II s IIxll, VXEB
r
.
Then (23) and (18) together imply that
24 12x' P(t) f
1
(t, x) I s 2; x' x, Vt 0, VXEs;
Therefore
25 vo, VXEB
r

This shows that -Vis an lpdf. Thus all the hypotheses of Theorem (5.3.45) are satisfied, and
we conclude that 0 is an exponentially stable equilibrium.
Sec. 5.5 Lyapunov's Linearization Method 213
26 Corollary Consider the autonomous system (1). Suppose that f(O) = O. that f is con-
tinuously differentiable, and define A as in (2). Under these conditions, 0 is an exponen-
tially stable equilibriumof(1) ifall eigenvalues ofA have negative real parts.
In the instability counterpart to Theorem (15), it is assumed that the linearized system
is autonomous, even if the original nonlinear system is not.
27 Theorem Consider the system (7). Suppose that (8) holds. that f is C I, and suppose
in addition that
28 AU) =[ ~ ~ x) ] =A, (a constant matrix), vi >0,
and that (12) holds. Under these conditions. the equilibrium 0 is unstable if A
o
has at least
one eigenvalue with a positive real part.
Proof The proof is given only for the case where A
o
satisfies the condition (5.4.36).
The proof of the general case can be obtained from the one given below by using continuity
arguments.
Since A
o
is assumed to satisfy (5.4.36) and has at least one eigenvalue with positive
real part, it follows from Lemma (5.4.52) that the equation
29 AoP+PA
o
=1
has a unique solution for P and that this matrix P has at least one positive eigenvalue. Now,
by arguments entirely analogous to those used in the proof of Theorem (15), it can be shown
that if we choose
30 V(x)=x'Px,
then V assumes positive values arbitrarily close to 0, and V is an Ipdf. Hence, by Theorem
(5.3.88), it follows that 0 is an unstable equilibrium of the system (7). The details are left as
an exercise.
Remarks: Theorems (15) and (27) are very useful because they enable one to draw
conclusions about the stability status of the equilibrium 0 of a given nonlinear system by
examining a linear system. The advantages of these results are self-evident. Some of the
limitations of these results are the following: (i) The conclusions based on linearization are
purely local in nature; to study global asymptotic stability, it is still necessary to resort to
Lyapunov's direct method. (ii) In the case where the linearized system is autonomous, if
some eigenvalues of A have zero real parts and the remainder have negative real parts, then
linearization techniques are inconclusive, because this case falls outside the scope of both
Corollary (26) and Theorem (27). In such a case, the stability of the equilibrium is deter-
mined by the higher order terms that are neglected in the linearization process. [In this con-
nection, see Theorem (5.8.1).] (iii) In the case where the linearized system is nonauto-
nomous, if the equilibrium 0 is asymptotically stable but not uniformly asymptotically
214 Lyapunov Stability Ch.5
stable, then linearization is once again inconclusive. It can be shown by means of examples
that the assumption of uniform asymptotic stability in Theorem (15) is indispensable.
Let us now return to the autonomous system (1). Suppose f(O)= 0, and define A, f
l
as
in (2) and (3) respectively. Finally, suppose A is a Hurwitz matrix. Then Corollary (26) tells
us that 0 is an asymptotically stable equilibrium. Now let Q be an arbitrary positive definite
matrix, and solve the corresponding Lyapunov matrix equation
31 A'P+PA=-Q.
Then P is also positive definite. Moreover, it can be seen from the proof of Theorem (15)
that, for each Q, the corresponding quadratic form
32 V(x)=x'Px
is a suitable Lyapunov function for applying Theorem (5.3.45). However, different
Lyapunov functions will give rise to different estimates for the domain of attraction of O.
The question can thus be asked: What is the "best" choice for Q?
Let us restate the question in another form. Define V by (32). Then, along the trajec-
tories of the system(1), we have
33 V(x) =x' (A'P+ PA)x +2x'Pf, (x). =- x'Qx + 2x'Pf
l
(x).
Now
34
35 I x'Pf.tx) I
Hence
36 'V(x) s- A..nin(Q) IIx 11
2
+ 2 A..nax (P) IIx u-ur, (x) II
Nowlet us choose r > 0 such that
37
IIf, (x) II
IIxll
A..nin(Q) V B
< 2 A..nax (P)' XE ,.
Then V(x) <0 whenever XE B, and X::l- O. By Lemma (5.3.40) and the discussion preceding
it, every bounded level set of Vcontained in B, is also contained in the domain of attraction
D (0). Now (37) makes it clear that the larger the ratio A..nin (QYAmax (P), the larger the possi-
ble choice of r. Hence the "best" choice of Qis one that maximizes the ratio
Sec. 5.5 Lyapunov's Linearization Method 215
38 (Q)
= Awin(Q)
~ Awax(P) ,
where P of course satisfies (31). Clearly ~ - is not affected by scaling Q, i.e.,
~ a Q = ~ Q Va> O. Hence one can pose the question at hand as follows: Among all posi-
tive definite matrices Q with Awin(Q)= 1, which one results in the smallest value for
Awax (P)? The answer turns out to be: the identity matrix.
39 Lemma Suppose A is Hurwitz, and let M be the solution of
40 A'M+MA=-!.
Suppose Q is positive definite, Awin(Q)= I, and let P satisfy (31). Then
Proof Since A.min (Q) = 1, the matrix Q - I has all nonnegative eigenvalues, and is
therefore nonnegative definite. Subtracting (40) from (31) gives
42 A'(P- M)+ (P- M)A=-(Q-/).
From Lemma (5.4.38), the solution of (42) is given by
43 P-M=f exp (A't)(Q-/)exp (At)dt.
o
Hence P -; M is nonnegative definite, which implies (41).
The preceding discussion shows that, in some sense, the "best" choice for Qis the iden-
tity matrix.
44 Example Consider the system
The linearization of this systemaround 0 is
45 [::] =[=: ~ ] [::] .
Let A denote the matrix in (45). Then the eigenvalues of A are (-1 j--J3)12. Hence, by
Corollary (26), 0 is an asymptotically stable equilibrium.
To obtain an estimate ofthe domain of attraction, we first solve the equation
216
A'P+PA=-!
for P. It can be easily verified that
[
I -Ill]
P= -1/2 3/2 .
Lyapunov Stability Ch.5
Hence Pin (18) can be chosen as the largest singular value of P, which is (5 +;JS)/4,or
approximately 1.81. To satisfy (23), we must choose r >0in such a way that
where p < 0.5 is some number. Now
11f
t
(x) II
IIxll
Hence, to satisfy (46), we can choose r as close as possible to 1113, or approximately 0.54.
Hence every level set in the ball of radius 0.54 is in the domain of attraction.
47 Example Consider the Van der Pol oscillator described by
The linearization of this system around the equilibrium0 is

~ l =[ 01] [Zt] .
Z2 -Ill Z2
Ifji 0, then both eigenvalues of Ahave positive real parts. Hence, by Theorem(27), 0 is an
unstable equilibrium. In fact, since all eigenvalues of A have positive real parts, one can
show, by applying Corollary (26) and reversing the direction of time, that 0 is a completely
unstable equilibrium.
48 Example Consider again the spinning object of Example (5.3.105), and focus atten-
tion on an equilibrium of the form (0, Yo, 0) where Yo "#O. If we define ys =Y - Yo, then the
equations of motion can be written as
X=aysZ+ayoZ, Ys=-bxz, z=CXYs +cXYo
The linearization of this system around the origin (in the new coordinates!) is obtained by
neglecting all the higher order terms, and is
Sec. 5.5 Lyapunov's Linearization Method 217
x _ 0 0 ayo [x]
Ys - 0 0 0 Ys'
z CYo 0 0 z
The eigenvalues of the A matrix above are 0, ..Jac I Yo I. If I Yo I ;eO, then A has a positive
real eigenvalue. Hence, by Theorem (27), the equilibrium 0, or (0, Yo, 0) in the original
coordinates, is unstable.
49 Application (Feedback Stabilization of Nonlinear Control Systems) Given an
autonomous system described by
50 x(t)=f[x(t), u(t)],
where f: R" x R'" ~ R", the objective is to find a feedback control law of the form
51 u(t) = g[x(t)],
in such a way that the equilibrium0 of the resulting closed-loop system
52 x(t)=f{x(t), g[x(t)]}
is asymptotically stable. A solution to this problem is given by the next result, which is a
direct consequence ofCorollary (26).
53 Theorem Consider the autonomous system (50) where f: R" x R
m
~ R". Suppose f
is C 1 and that f(O, 0) = 0, and define
54
[
Of ] [Of] A= - ,B= - .
a ~ x o u=o au x=o. u:"o
Suppose there exists a matrix KE R
mxn
such that all eigenvalues of A - BK have negative
real parts. Under these conditions, ifwe apply the control law
55 u(t)=-Kx(t)
in (50), then 0 is an asymptotically stable equilibriumofthe resulting system
56 x(t)=f[x(t),-Kx(t)].
Proof Define the function h: R" ~ R" by
57 h(x)=f(x,-Kx).
Then the closed-loop system(56) can berepresented as
218
58 x(t) = h[x(t).
Next, observe that
59 [:L=A-BK,
Lyapunov Stability Ch.5
which is Hurwitz by assumption. The desired conclusion now follows from Corollary (26).
60 Application (Singularly Perturbed Systems) In Section 4.3 some results are
derived concerning the stability of singularly perturbed linear systems. In this application,
Lyapunov's indirect method is combined with these earlier results of Section 4.3 to derive
some results for singularly perturbed nonlinear systems. The proof of Theorem (61) is
omitted, because it follows readily from earlier results.
61 Theorem Consider the system
62 x(t) =f[x(t), y(t),
Ey(t) = g[x(t), y(t),
where f: R" xR" R", g: R" x R" R" are continuousLy differentiabLe and satisfy
63 f(O, 0) =0, g(O, 0) =o.
Define
and suppose A
22
is nonsinguLar. Under these conditions. there exists a C' function
h: R" R" such that, in some neighborhood of(O, 0),
65 v=h(x) -\-
is the unique soLutionof
66 g(x, y) =O.
Moreover,
1. Ifboth A
22
and A
l1
- A12A2:1A21 are Hurwitz, then there is an Eo such that (0,0)
is an asymptotically stabLeequilibriumofthe system (62) whenever 0 < E < Eo.
Sec. 5.5 Lyapunov's Linearization Method 219
2. If at least one eigenvalue of either A
22
or All - A
12A2iAz l
has a positive real
part, then there is an Eo such that (0,0) is an unstable equilibrium ofthe system
(62) whenever < E < Eo.
Problem 5.25 Check the stability status of all the systems in Problems 5.11 to 5.16
using the linearization method. .
Problem 5.26 Consider a feedback system described by
x(t) =Ax(t) +bu(r), u (r) =- <II[c' x(t),
where <II: R R is continuously differentiable. Such systems are studied further in Section
5.6. Suppose that the equilibrium 0 of this system is asymptotically stable whenever <II is set
equal to a linear function of the form
<11(0) = ko, ke [0, Il).
(a) Using Corollary (26), show that the equilibrium0 continues to be an asymptotically
stable equilibrium if $(') is any C I function whose derivative lies in the interval [0, Il) in
some neighborhood of the origin.
(b) Generalize the results of part (a) to time-varying systems, using Theorem (15).
5.6 THELUR'EPROBLEM
Inthis section, we study the stability of an important class of control systems, namely
feedback systems whose forward path contains a linear time-invariant subsystem and whose
feedback path contains a memoryless (possibly time-varying) nonlinearity. The type of sys-
tem is shown in Figure 5.15. The forward-path subsystem is described by
o
+
y
Fig.5.l5
"-----I <1>(.,.) 1-----
1 x(t) =A.x(t) +Bu(t),
y(t) = Cxu) +Du(t),
while the feedback subsystemis described by
220
2 z(t) = <I>[t, y(t)].
Lyapunov Stability Ch.5
Of course, the feedback interconnection is described by
3 u(t)=-z(t).
In the above, it is assumed that X(t)E R", while u(t), y(t), Z(t)ER'" with m < n. Thus it is
assumed that both the forward and feedback subsystems are "square" in the sense that they
have an equal number of inputs and outputs. It is possible to dispense with this assumption,
but at the cost of making the derivations more opaque.
A study of systems of the form (I) - (3) is important for at least two reasons: (i) Many
physical systems can be naturally decomposed into a linear part and a nonlinear part. Thus
the system description (I) - (3) is widely applicable. (ii) Several comprehensive results are
available concerning the stability of such systems (of which only a few are covered in this
book).
5.6.1 ProblemStatement
In this section, the problem under study is stated precisely, and some preliminary dis-
cussion of the problem is given. We begin by reviewing a few elementary concepts from the
theory of linear control systems.
4 Definition Suppose n, m, I are given integers, AE R
nxn.
BER"?", CE R'xn, and
DE R'XIn. Then the pair(A, B) is said to be controllable if
5 rank[BABAn-'B]=n.
Thepair(C, A) is said to be observable if
C
CA
6 rank =n.
It is easy to see that the pair (A, B) is controllable if and only if the pair (B', A') is
observable.
7 Definition Suppose H(-) is a proper rational matrix. Then a quadruplet (A, B, C, D)
is said to be a realization o/H(' ) if
8 H(s)=C(s[-ArIB+D.
The realization is said to be minimal if, in addition, the pair (A, B) is controllable and the
Sec. 5.6 The Lur' e Problem 221
pair(C, A) is observable.
Now the concept of a sector-bound nonlinearity is introduced.
9 Definition Suppose <IJ: R+ x R" ~ R", and a, be R with a < b. Then <IJ is said to
belong to the sector [a, b] if(i) <IJ(t, O)=O"dtER+. and(ii)
10 [<IJ(t, y)-ay]' [by-<lJ(t, y)] ~ O "dtER+, "dyER
m

Itis possible to give a graphical interpretation of (10) in the scalar case (m = I). Inthis
case (10) says that, for each fixed te R+, the graph of $(t, y) lies between two straight lines
of slopes a and b respectively, passing through the origin in R
2
The situation is depicted in
Figure 5.16.
q,(I, y)
ay
~ F y
Fig.5.16
Now the problem under study is stated.
Absolute Stability Problem We are given (i) matrices AE R
nxn
, BE R
nxm
, CE R
mxm
,
and DER
mxm
, such that the pair (A, B) is controllable and the pair (C, A) is observable; and
(ii) two real numbers a, b with a < b. The problem is to derive conditions involving only the
transfer matrix DO of (8) and the numbers a, b, such that x = 0 is a globally uniformly
asymptotically stable equilibrium of the system (I) - (3) for every function
<IJ: R+ x R" ~ R" belonging to the sector [a, b].
In contrast with the systems studied thus far in this chapter, we are concerned at present
not with a particular system but an entire family of systems, since <IJ can be any nonlinearity
in the sector [a, b]. The idea is that no detailed information about the nonlinearity is
assumed - all that is known is that <IJ satisfies (10). For this reason, the problem under
222 Lyapunov Stability Ch.5
study is referred to as an absolute stability problem. It is also known as the Lur' e problem,
after the Russian scientist A. I. Lur' e.
The Aizerman and Kalman Conjectures
Suppose it were possible to deduce the stability of a family of nonlinear time-varying
systems by examining only all the linear time-invariant systems within that family. Then
the absolute stability problem would be very easy to solve. With this in mind, in 1949 the
Russian mathematician M. A. Aizerman made a conjecture regarding the absolute stability
problem in the case of strictly proper, single-input, single-output systems (i.e., D = 0 and
m = I). In this-case, the only linear time-invariant maps <I> satisfying (the scalar version of)
(10) are
11 <I>(t, y) =ky, vt. y, k [a, b].
Aizerman's conjecture was that if the system (1) - (3) (with D =0 and m = I) is globally
asymptotically stable for all linear time-invariant maps <I> of the form (II) as the constant k
varies over the interval [a, b ], then the same is true for all time-invariant nonlinear elements
<I> in the sector [a. b]. Unfortunately, while it is a tempting conjecture, it is false in general.
[But a modified version of it is true; see Theorem (6.6.126).]
In 1957. R. E. Kalman made another conjecture. Suppose <1>: R R is a memoryless
time-invariant nonlinearity, and is continuously differentiable. Then <I> is said to belong to
the incremental sector [a, b] if <1>(0) = O. and in addition,
12 a$;<I>'(y)$;b, VyER.
Kalman's conjecture was that if the system (I) - (3) (with D=O and m=l) is globally
asymptotically stable for all <I> of the form (II), then the same is true for all time-invariant
nonlinear elements <I> belonging to the incremental sector [a, b ].
It is easy to see that if <1>: R R belongs to the incremental sector [a, b ], then it also
belongs to the sector [a, b]; this is a ready consequence of the mean-value theorem. But the
converse is not true in general. Thus the family of nonlinearities <I> covered by Kalman's
conjecture is strictly smaller than that covered by Aizerman's conjecture. So Kalman's con-
jecture "had a better chance" of being true than Aizerman's conjecture. Moreover. using
Lyapunov's linearization method [Corollary (5.5.26)]. it can be shown that the following
statement is true (see Problem5.26): If the system (1) - (3) is globally asymptotically stable
for all <I> of the form (II), or equivalently, if A-BkC is a Hurwitz matrix for all ke [a, b],
then x=O is an asymptotically stable equilibrium of the system (I) - (3) for all time-
invariant <I> belonging to the incremental sector [a, b]. Thus the essence of Kalman's con-
jecture lies in replacing "asymptotically stable" by "globally asymptotically stable."
Nevertheless, Kalman' s conjecture is also false in general.
./
Sec. 5.6
5.6.2 The Circle Criterion
The Lur' e Problem . 223
In this subsection, we present a sufficient condition for absolute stability, known as the
circle criterion. The contents of this subsection as well as the next depend in an essential
way on the following result of independent interest, known as the Kalman-Yacubovitch
lemma.
13 Theorem (Kalman-Yacubovitch) Consider the system (1), where X(t)E R", and
y(t), U(t)E R" with m < n. Define HOas in (8). Suppose (i) the matrix A is Hurwitz, (ii) the
pair(A, B) is controllable, (iii) the pair(C, A) is observable, and (iv)
14 inf Amin [HUro) + H*Uro)] > 0,
WEIR
where *denotes the conjugate transpose, and Amin denotes the smallest eigenvalue ofa Her-
mitian matrix. Under these conditions, there exist a symmetric positive definite matrix
PE R
nxn
, matricesQE R
mXn
, WE R
mxm
, and ant: > Osuch that
15 A'P+PA=-EP-Q'Q,
16 B'P+W'Q=C,
17 W'W=D+D'.
The proof of Theorem (13) is given in Appendix B. Note that a transfer matrix HO
satisfying (14) is said to be strictly positive real.
Now the simplest version of the circle criterion, called the passivity theorem, is
presented. It will be seen later that more general versions of the criterion can be derived
using a technique known as loop transformation.
18 Theorem (Passivity) Consider the system (J) - (3), and suppose (i) the matrix A is
Hurwitz, (ii) the pair (A, B) is controllable, (iii) the pair (C. A) is observable, (iv) H(-)
satisfies (14), and (v) 4> belongs to the sector [0,00), i.e., 4>(t, 0) = 0'itt ~ and
Under these conditions, the system (J) - (3) is globally exponentially stable.
Proof Conditions (i) to (iv) of the hypotheses imply that Theorem (13) can be applied.
ChooseP, Q, and W such that(15) - (17) hold. Define the Lyapunov function candidate
20 V(x)=x'Px.
Then
224 Lyapunov Stability Ch.5
= [Ax- B<I]' Px +x'P [Ax- B<I]
=x' (A'P+PA) x-cf)'B'Px -x'PB<I,
after substitutingfor 0, and lettingcf)denote<I[t, y(t)]. Now, from(16) it follows that
22 B'P=C-W'Q.
Hence
23 <I'B'Px =<1' Cx - <I'W' Qx
=<1' (y - 00) - <I'W' Qx
=<1' (y +Dcf) - <1' W' Qx.
Next, substitutingfrom(23) into(21) gives
24 V= x' (A'P +PA) x- <1' (0+0') <I -cf)'W' Qx - x'Q'W<I - <1' Y-y' <1.
Nowsubstitutefrom(15) and (17) into (24), and observe that cf)' y 2:0. This leads to
25 V$-EX'Px - x' Q' Qx - <I'W'Wcf)-<I'W' Qx - x'Q'Wcf)
=- EX'Px - [Qx + wer [Qx + W<I]
$-EX'Px.
The globalexponential stabilityof the systemnowfollows fromTheorem (5.3.62) .
Ji i111c)
<11 =(<I-al){l + [l/(b -a + 0](<1- al) }-I 26
Theorem(18) only applies to the case where cf) belongs to the sector [0, 00). However,
usinga technique known as "loop transformation," the theoremcan be modifiedtocover the
case where <I belongs to a general sector [a, b]. The idea is that, if <I belongs to the sector
[a, b ], then <I - al belongs to the sector [0, b - a]. Consequently, for each 0> 0, the non-
linearity
belongs tothe sector [0, 00). See Figure 5.17 for an interpretation of the nonlinearity <11. In
the process of modifying the feedback element from<I to cf)1' the forward path element gets
transformedfromH(') to
27 H1(s) = H(s)[l +aH(sW
I
+[l/(b -a +0)] 1.
This can be statedformallyas follows:
Sec. 5.6 The Lur' e Problem' 225
+
+
+
H,
r------------------------I
I I
I I
, o
+
a/
------t [l/(b - a t 6)) / .....---.....
r- ------------ -------------,
I
_-----I [1/(b-a{6)]/ I
I
I
I
aJ I
I
I
+ I
+1
I
I
L J
1>,
Fig.5.17
28 Corollary Consider the system (1) - (3). Suppose (i) the pair (A, B) is controllable.
and the pair(C, A) is observable. (ii) cJ)belongs to the sector [a, b). Define
Suppose
30 inf A..nin {Ha(jro) +n, *(jro)]I2} + _1_ >0,
roeJR b-a
and all poles ofH
a
( ) have negative real parts. Under these conditions, the system (1) - (3)
is exponentially stable.
Proof The idea is to show that the transformed system satisfies the hypotheses of
Theorem (18). Since (30) holds, it follows that
31 inf A..nin[Ha(jro) +H, *(jro)) + b 2 0 > 0,
roeJR -a+
for sufficiently small 0> O. Now define H, by (27). Then (31) is equivalent to
226 Lyapunov Stability Ch.5
32 inf Amin[HIUc.o)+HI*Uc.o)] >0.
roeIR
Thus HIO satisfies hypothesis (iv) of Theorem (18). As mentioned above, 1>1 satisfies
hypothesis (v) of Theorem (18). As for the remaining conditions, a routine calculation
shows that a realization for H
I(')
is given by
33 AI=A-aB(/+aD)-1 C,
B
I
=B (/ +aD)-I,
c, =(/ +aD)-1 C,
DI=D(/+aD)-1 +[I/(b-a+O)]I.
Moreover, it is easy to show that the pair (AI' B
I)
is controllable, and that the pair (Cp AI) is
observable, which are respectively hypotheses (ii) and (iii) of Theorem (18). Thus, if all
poles of HIO have negative real parts, then AI is Hurwitz, which is the last remaining
hypothesis needed to apply Theorem (18). The desired conclusion now follows from
Theorem (18).
Corollary (28) applies equally well to multi-input, multi-output systems (m > 1) and to
single-input, single-output systems (m = I). However, in the latter case, it is possible to give
an elegant graphical interpretation of the condition (30). This leads to a result commonly
known as the circle criterion. To establish the result, it is useful to make the following obser-
vation. Suppose z = x +jy is a complex number, and a, be R with a < b and a "#0 and b "#O.
Then
34
z 1
Re--+-->O
l+az b-a
35
if and only if
1 b+a
l
I b- a'
Ib-al
I z + --I> I --I if ba > 0, < I --I if ba < O.
1 2bal12bal 1
2bal
This can be established by high school algebra. In fact, both statements are equivalent to
Let D (a, b) denote the closed disk in the complex plane centered at (b +a )l2ba and with
radius (b -a)l21 ba I. Then the observation is that (34) holds if and only if the complex
number z lies outside the disk D (a, b) in case ba > 0, and lies in the interior of the disk
D(a, b)incaseba <0.
Sec. 5.6 The Lur' e Problem 227
In Theorem (37) below, reference is made to the (Nyquist) plot of hUm). This is the
plot of hUm) as co increases from - 00 to 00. If h(') has a pole on the jro-axis, the plot is
obtained by "indenting" the jro-axis in such a way that the pole lies to the left of the indented
jro-axis; see Figure 5.18.
Ims
)
/
_ ~ Re s
Fig. 5.18
37 Theorem (Circle Criterion) Consider the system (1) - (3). and suppose- m = 1, (ii)
the quadruplet (A,h,c,d) is a minimal realization of hO. and (iii) <ll belongs to the sector
[a, b]. Define the disk D (a, b) as above. Underthese conditions. the system (1) - (3) is glo-
bally exponentially stable ifone ofthefollowing conditions, as appropriate, holds.
Case (i) 0 < a < b: The plot of hUm) lies outside and is bounded away from the disk
D (a, b); moreover, the plot encircles D (a, b) exactly v times in the counter-clockwise
direction, where v is the number of eigenvalues of A with positive real part.
Case (ii) 0 =a < b: Ais a Hurwitz matrix, and
38 inf Rehum)+! >0.
(J)EIR b
Case (iii) a < 0 < b: A is Hurwitz; the plot of hUm) lies in the interior of the disk
D (a, b) and is bounded away from the circumference of D (a, b).
Case (iv): a < b $0 Replace hO by - hO, a by - b, b by -a, and apply (i) or (ii) as
appropdate,
Proof Case (i): In this case ba > O. The hypotheses on hO imply that (34) holds with z
replaced by hUm). Moreover, since hUm) is bounded away from the disk D(a, b), it fol-
lows that
2 Since the single-input, single-output case is being considered, matrices are replaced by row or
column vectors, or scalars, as appropriate.
228
39
Lyapunov Stability
inf Re h(jw) + _1_ > 0
0lE1R l+ah(jw) b-a
Ch.5
which is (30) specialized to the scalar case. Next. the encirclement condition implies that
the plot of h (jw) encircles the point -1/a exactly v times in the counter-clockwise direction.
Hence by the well-known Nyquist stability criterion [see e.g. Theorem (6.5.35) for a very
general version]. it follows that all poles of haO have negative real parts. Since all
hypotheses of Corollary (28) hold. the desired conclusion follows.
Case (ii): In this case h
a
= h. and (38) is the scalar version of (30). Since A is Hurwitz.
the desired conclusion follows from Corollary (28).
Case (iii): In this case ba < O. Hence the fact that h (jw) lies in the interior of the disk
D'ta, b) implies that (34) holds with z replaced by h(jw). Moreover. since h(jw) is
bounded away from the circumference of D(a. b). it follows that (39) holds. Finally. since
A is Hurwitz. the desired conclusion follows from Corollary (28).
Case (iv): Obvious .
An appealing aspect of the circle criterion is its geometric nature. which is reminiscent
of the Nyquist criterion. Indeed, if b - a -t O. then the "critical disk" D (a. b) in Case (i)
shrinks to the "critical point" -1/a of the Nyquist criterion; in this case the circle criterion
reduces to the sufficiency part of the Nyquist criterion. On the other hand. the circle cri-
terion is applicable to time-varying and/or nonlinear systems. whereas the Nyquist criterion
is only applicable to linear time-invariant systems.
Another appealing feature of the circle criterion is that it depends only on the transfer
function h(') of the forward path. and not on the particular realization of h(). This means
that if we think ofthe forward path element as a "black box." then in order to apply the circle
criterion it is only necessary to determine the transfer function of this black box. which can
be achieved through relatively straight-forward experiments; it is not necessary to construct
a realization ofh().
40 Example As an illustration of the circle criterion. suppose the transfer function of the
forward-path subsystem in Figure 5.15 is
,
h(s)= (s+25)2
(s + l)(s +2)(s +3)(s + 2(0)
The plot of h (jw) is shown in Figure 5.19. with a portion of it shown in enlargement in Fig-
ure5.20.
Suppose first that the feedback nonlinear element <l> belongs to the sector [-513.5].
The corresponding disk D (a. b) passes through the points - 0.2 and 0.6. as shown in Figure
5.19. Moreover. the plot of h (jw) lies inside D (a. b). Hence. by Case (iii) of the circle cri-
Sec. 5.6 The Lur'e Problem 229
02 r ~ . r r
01
o
-0,1
-02
-03
\-_ ..
\
\
\
\
... ,.
\
\ :
,
:,
, ,
. _. - _ .. ~ _ . -,.... -
',...:
",
I
I
I
I
............ --1
I
I
/
/
/
."..c
/
;//
-0.4
--,.._-'------
-0,5
0.6 0.4 02 o
-06 ~ __'__ _'__ ___J... ____'
-02
Fig.5.19
terion, we conclude that the feedback system is globally exponentially stable for all 4>
belonging to the sector [- 513,5].
Now suppose 4> belongs to the sector [0, 10]. In this case, (38) is satisfied with b = 10.
Hence, by Case (ii) of the circle criterion, we can conclude that the feedback system is glo-
bally exponentially stable for all 4> belonging to the sector [0, 10].
At this stage, one might be tempted to combine the above two conclusions, and state
that the feedback system is globally exponentially stable for all 4> belonging to the sector
[- 513, 10], on the basis that

[-513,5]U[0, 10]=[-513, 10].

But the statement does not follow. LetN(a, b) denote the set of nonlinear elements belong-
ing to the sector (a, b). Then one can see that
N(-513, 5)UN(0, 1O):;1!:N(-513, 10).
As a final application, suppose 4> belongs to the sector [4000, 7000]. The correspond-
ing disk D (a, b) is shown in Figure 5.20. Now it follows from Case (i) of the circle criterion
that the feedback system is globally exponentially stable for all 4> belonging to the sector
[4000,7000].
230 Lyapunov Stability Ch.5
xl0-
4
-1 .
-2 .
-3 ,.
-4 ..
-5 ......
o -1 -2 -3 -4 -5 -6
-6 '--_-J...__-'--__'---_-J...__-'--__'--_-J
-7
x10-
4
Fig. 5.20
5.6.3 ThePopovCriterion
In this section, we derive another criterion for absolute stability, known as the Popov
criterion, after the Roumanian scientist V. M. Popov. Unlike the circle criterion, the Popov
criterion is applicable only to autonomous systems.
The class of systems studied by Popov is described by
41 x=Ax+bu,
~ = u
y = c x d ~
42 u =-cjl(y),
where XE R", ~ U, Y are scalars; and A, b, c, d have commensurate dimensions. The non-
linear element cjl: R ~ R is a time-invariant nonlinearity belonging to the open sector (0,00).
This means that
43 cjl(O)=O,y cjl(y)>0. 'v'y:#O.
Sec. 5.6 The Lur' e Problem 231
Notice the differences between the system descriptions (I) - (3) and (41) - (42). In the latter
system, there is a pole at the origin, and there is no throughput from the input to the output.
Moreover, the nonlinearity belongs to an open sector, and not a closed sector as in the
former system. The system description (41) can be rewritten as
Hence its transfer function is
45 h(s)=!!. +c(sl-Ar' b.
s
46 Theorem (Popov Criterion) Consider the system (41) - (42) and suppose (i) the
matrix A is Hurwitz, (ii] the pair (A, b) is controllable, (iii) the pair(c, A) is observable, (iv)
d > 0, and (v) the nonlinear element <l> belongs to the sector (0,00). Under these conditions,
the system (41) - (42) is globally asymptotically stable ifthere exists a number r > 0 such
that
47 inf Re [(I +jror)h(jro)] > O.
lOElR
Remarks The quantity 1+ jror is called a "multiplier." Note that if r=O, then (47)
reduces to (38) with b = 00. In this sense, and only in this sense, the Popov criterion is a gen-
eralization of the circle criterion. One should not carry the comparison too far, since the two
criteria apply to distinct classes of systems. Case (ii) of the circle criterion applies to open-
loop stable systems, while the Popov criterion applies to systems whose forward-path
transfer function ~ a simple pole at s =0 but are otherwise stable. Moreover, the circle cri-
terion guarantees global exponential stability, whereas the Popov criterion only guarantees
global asymptotic stability.
Proof Note that
48 s(sl-Ar' =(sl-A+A)(s1-A)-1 =1+A(sl-Ar
l

Hence
49 (I +rs)h(s)=(1 +rs) [!!. +c(sl-A)-l b]
s
=!!.+rd+c(sl-A)-I b+rcb+rcA(sl-Ar
1
b.
s
Ifs =jro, then the termd/jrois purely imaginary, so that
232 Lyapunov Stability Ch.5
50 Re [(1 +jOJr) h VOl) = Re [r (d +cb) +c (I + rA) (jOJI- A)-I b).
Define the transfer function
51 g(s)=r(d+cb)+c(/+rA)(sl-A)-1 b,
and observe that the quadruple lA, b, c(/ + rA), r (d +cb)} is a minimal realization of g.
Moreover, in view of (50), (47) is equivalent to
52 inf Reg(jOJ) >0.
WEIR
Hence, by Theorem (13), there exist a symmetric positive definite matrix PE R
nxn
, a (row)
vector qE R lxn, WE R, and E> 0, such that
53 A'P+PA=-EP-q'q,
54 b'P+wq=c(/+rA),
55 w
2=r(d+cb).
To establish the global asymptotic stability of the system (41) - (42), choose the
Lyapunov function candidate
56 V(x, +2r",(y),
where
y
57 ",(y) =f Ij>(0) do.
o
Since Ij> belongs to the sector (0, 00), it follows that ",(y) Vy. Hence V is positive definite
and radially unbounded, and is thus a suitable Lyapunov function candidate for applying
Theorem (5.3.56). Now
58
= (Ax- blj' Px +x'P(Ax- blj - + 2rlj> [c(Ax - blj -dlj.
Now note =y - ex, Substituting this relationship in (58) and rearranging gives
59 V =x' (A
Jp+PA)x-2Ij>bJPx+2Ij>c(/
+ rA) x- 2r (d +Cb)1j>2 - 2ylj>.
Now substitute from (53) - (55) into (59). This gives, by familiar arguments,
Sec. 5.6 The Lur' e Problem 233
Next, since g Uro) -H(d +cb) as ro-t 00, [cf. (51)], (52) implies that r(d +cb) > O. Hence
from (60), it follows that
61 VS;- EX'Px - 2ycj> S;0, \;;Ix,
It is now shown that
62 V(x, < 0 if (x, (0,0).
Ifx:/:.O, then V< 0 since P > O. Ifx=O but then y and ycj> > 0 since cj> belongs
to the open sector (0,00) [cf. (43)]. Hence once again V < O. Now the global asymptotic sta-
bility of the systemfollows from Theorem (5.3.56).
63 Corollary Consider the system (41) - (42). Let all hypotheses be as in Theorem (46),
except that cj> belongs to the sector (0, k) where k > 0 is some finite number. Under these
conditions, the system (41) - (42) is globally asymptotically stable if there exists a number
r > 0 such that
64 inf Re [( 1+ jror) hUro)] + .l. > O.
OJEIR k
I
I
I
I I
L J
I I
L --.J
I
Fig. 5.21
234 Lyapunov Stability Ch.5
Proof Perform a loop transformation as shown in Figure 5.21, by placing a negative
feedback of -11karound lj> and a positive feedforward of 11k around h. This leads to
which belongs to the sector (0, 00), and
66
I
h,(s)=h(s)+T
Now suppose (64) holds. Then, since
67 Re [(I +jror) h,Uro)] =Re [(1+jror) hUro)] + +,
it follows that
68 inf Re [(I +jror) h,Uro)] > 0.
lJ)EIR
The global asymptotic stability of the system now follows from Theorem (46).
Like the circle criterion, the Popov criterion can also be given a graphical interpreta-
tion. Suppose we plot Re h Uro) vs. co 1mh Uro) as ro varies from to 00. Note that, since
both Re h Uro) and to lm h Uro) are even functions of co, it is not necessary to plot negative
values of ro. The resulting plot is known as the Popov plot, in contrast with the Nyquist plot,
which is a plot of Re atjro) vs. ImhUro). The inequality (64) states that there exists a non-
negative number r such that the Popov plot of h lies to the right of a straight line of slope l/r
passing through the point -Ilk. Ifr = 0, the straight line is vertical.
69 Example Consider a systemof the fonn (41) - (42), with
1
h (s) = .
s (s + 1)2
The Popov plotof h is shown in Figure 5.22. It is clear from this figure that, if k < 2, then it is
always possible to draw a straight line through the point -Ilk such that the plot lies to the
right of the straight line. Hence, by Corollary (63), we conclude that the feedback system is
globally asymptotically stable for all time-invariant nchlinearities in the sector (0, 2).
Problem5.27 Consider a feedback systemof the form (1) - (3) with
I
h(s)=------
(s + 1)(s +2)(s +3)
Using the circle criterion, determine several intervals [a, b] such that the feedback system is
globally exponentially stable for all cj> belonging to the sector [a, b].
Sec. 5.7
Fig. 5.22
Converse Theorems
w ImgUw)
RegUw)
235
Problem5.28Consider a feedback system of the form (I) - (3) with
h(s)= 1 _
(s - l)(s + 3)2
Using the circle criterion, determine numbers 0 < a < b such that the feedback system is glo-
bally exponentially stable for all nonlinearities in the sector [a, b].
Problem5.29Consider a system of the form (41) - (42) with
I
h(s) = .
s(s + 1)

Using the Popov criterion, show that the feedback system is globally asymptotically stable
for all time-invariant nonlinearities <1> belonging to the sector (0, k) where k is any finite
number.
5.7 CONVERSE THEOREMS
In this section, the so-called converse theorems of Lyapunov stability theory are stated
and proved. In the next section these theorems are applied to four problems in control
theory, and it is shown that converse theorems lead to elegant solutions to each of these
problems.
Though there are several converse theorems [see e.g., Hahn (1967), Sections 48 to 51],
only three are stated here, namely those for uniform asymptotic stability, exponential stabil-
ity, and global exponential stability. In essence, these theorems state that the conditions of
Theorems (5.3.25), (5.3.45) and (5.3.62) are necessary as well as sufficient. If the equili-
brium 0 has the stability property mentioned in each of these theorems, then there exists a
Lyapunov function V satisfying the conditions of the theorem. Since the function V is
236 Lyapunov Stability Ch.5
constructed in terms of the solution trajectories of the system, the converse theorems cannot
really be used to construct an explicit formula for the Lyapunov function, except in special
cases (e.g., linear systems; see Section 5.4). However, they can be used in the same way as
the Lyapunov functions for stable linear systems are used in Section 5.5: Knowing some-
thing about the stability status of System A allows us to conclude something about the stabil-
ity status of a related SystemB.
We begin by presenting two preliminary results.
1 Lemma (Gronwall 1919) Suppose a :R+ R+ is a continuous function, and
b, c 0are given constants. Under these conditions, if
t
2 a(t):5 b +Jc a (T:)dT:, 'it 0,
o
then
3 a(t):5 bexp(ct), 'it O.
Remarks The point of the lemma is to convert the implicit bound in (2) to the explicit
bound in (3). If band c are not constants but are themselves functions of t, then the bound (3)
needs to be replaced by a more complicated expression. This is known as Bellman's ine-
quality; see Bellman (1953).
Proof Define
t
4 d(t)=b+Jca(T:)dT:.
o
Then (2) states that
5 a(t):5 d(t), 'it? O.
Further, from (4) and (5),
6
Now using the integrating factor exp (- ct) in (6), one can show that (6) implies
7 d(t) :5d(O)exp(ct)=b exp(ct).
The conclusion (3) follows from (7) and (8).
8 Lemma (Massera 1949) Suppose 0(') is a given function of class L, and A> 0 is a
given constant. Then there exists a C- function y: R, R+ such that (i) y andy' are both
functions ofclass K, and (ii)
Sec. 5.7 Converse Theorems 237
9 fy[o('t)] dx < 00, ft' [o('t)] exp (A't) dx < 00,
o 0
Remark Note that, throughout this section, the prime is used to denote the derivative
of a function. This is in contrast with the usage in the remainder of the book, where the
prime denotes the transpose of a matrix. Since all primed quantities in this section are
scalar-valued functions, no confusion should result from this altered convention.
The proof of this lemma is long and technical, and the reader will miss very little by
accepting it on faith and moving ahead to Theorem (24).
Proof Observe first that it is enough to prove the lemma under the additional assump-
tion that 0(0) = I. To see this, suppose the lemma is true for all functions 0(') of class L with
the additional property that 0(0) = I, and let 8(') be an arbitrary function of class L. Now
define o(t) = 8(t )11)(0), and note that 0(0)::: I. Select a function y(.) such that the conditions
of the lemma are true, and define by <\I(r)=y[rl1)(O)]. Then clearly
<\I[8('t)] =y[o('t)], and
10 f<\I[8('t)] d't < 00, f<\I' [8( 't)] exp (A't) d't < 00.
o 0
So suppose 0(0) = I. Since 0(') is strictly decreasing and o(t) 0 as t 00, for each
integer n 0 there exists a unique time t, suchthat o(tn) == lI(n +I). [Of to =0 since
0(0) =I.] Now define a continuous TJ: (0,00) (0,00) as follows: (i) 11(tn) =lin for
all n I. (ii) In the interval (tn' ),11(t) is an affine (i.e., linear plus a constant) function
t. (iii) In the interval (0, t I)' = lIt
P
, where 0 <p < I. A pictorial representation of
'11(') is shown in Figure 5.23. Now 11 has the following properties: (i) 11 is strictly decreasing,
and is thus a one-to-one map of (0,00) onto itself; (ii) 11(t) > o(t) \;;It> 0; (iii) for each
number T, we have
T
11 J < 00,
o
- -
This is because, as t 00, the function 11(t) "blows up" quite slowly since p < I. Now 11 is
continuously differentiable up to all orders_except at a countable number of values of t. By
rounding out the corners, one can replace 11 by another function 11 which is and which
continues to have the same three properties. Now define u, y: R+ R+ by
12 Il(r) = exp [- (A+ 1)11-
1
(r)] if r > 0, 1l(0) =0,
13 y(r)=fll(s)ds.
o
is claimed that this yO is the desired function. To see this, note first that
11-
1
: (0, 00) (0,00) is well-defined, that 11-
1
(r) 0 as r and 11-
1
(r) as r
238 Lyapunov Stability Ch.5
\
\
\
"
..._--
o(t) ..........
' .... _----
Fig. 5.23
Hence is continuous and is in class K, = 0, and I as r 00. Since t' (r) =
the second integral in (9) becomes
14 f
a
To showthat 1
2
is finite, note that
15 since p belongs to class K,
= exp [- (A. + I) Tl-
t
(Tl('t))]= exp [- (A. + I )'t].
Now it is clear that 1
2
is finite.
Showing that the first integral in (9) is finite requires a bit of work. Since
cr('t) Tl('t)V't, it is enough to show that
16 1:=fY[Tl('t)] d't < 00.
a
Now .
T](t) T](t)
17 Y[Tl('t)]= f f exp[-(A.+ 1)Tl-
I(s)]ds.
a a
Make the change of variables
Sec. 5.7
18 s =TJ(v), ds =TJ'(v)dv.
Converse Theorems 239
Then s = TJ(r) if and only if v = t, and s = 0 if and only if v = 00. Thus
19 Y[TJ(v)] =- f exp [-0.. + I)v ]TJ'(v)dv,
1
20 1=- f fexp[-(A.+ l)v]TJ'(v)dvdt,
o 1
=- f f exp[-(A.+ l)v]TJ'(v)dtdv,
o 0
upon interchanging the order of integration. Since the integrand in (20) is independent of t,
21 1=- f vexp[-(A.+ l)v]TJ'(v)dv
o
t I
=- f vexp[-(A.+ l)v]TJ'(v)dv- fv exp [-(A.+ l)v]TJ'(v)dv,
o t,
where t I is the first element of the sequence (t
n
] defined after (10). Over the interval (0, t I),
the quantity exp [- (A. + I)v ] is bounded, and
22 - v TJ' (v) = v --.l!...- = L.
v
p
+
l
v
P
Since p < I, the integral from 0 to t I is finite. Over the interval (t 1,00), the quantity TJ' (v) is
bounded, and the function v exp [- (A. + l )v ] is absolutely integrable. Hence I is finite.
Before presenting the converse theorems, a little bit of notation is introduced. If fis a
function of several arguments, then D, denotes the partial derivative of fwith respect to the
i-th argument. Thus, for example, iff=f (x, y, z), then
23
af af af
Dd= ax,Dz/= ay,D3/= az
At last we come to the converse theorems themselves. The first theorem is a converse
ofTheorem (5.3.25) on uniform asymptotic stability.
24 Theorem Consider the system
25 x(t) =f[t, x(t)], 'it 0,
and suppose that f(t, 0) == 0'it 0 and that f is c' for some integer k 1. Suppose that
there exist a constant r > 0, afunction <l> ofclass K, and afunction o ofclass L, such that the
240
solution trajectories of(25) satisfy
Lyapunov Stability Ch.5
Finally, suppose in addition that.for somefinite A.,
27 IID
zf(t,
X) II :5 A, '<:It 0, '<:IxEBc(l(r)G(O).
Under these conditions, there exist a c' function V: R, x R" R and C" functions a, p, y
ofclass K such that
28 a(lIxlI):5 V(t, x):5 p(lIxlI), '<:It 0, '<:IxEB
r
,
29 V(t, x):5 -y(lIxlI), '<:It 0, '<:IxEB"
30 sup IID
z
V(t, x) II < 00.
xetJ,
Remarks
I. Condition (26) is equivalent to the requirement that 0 be a uniformly asymptoti-
cally stable equilibrium; cf. Theorem (5.1.61).
2. Iff does not depend explicitly on t, then (27) is automatically satisfied since fis C I
and the closure of B; is compact. Hence this condition only comes into the picture
for nonautonomous systems.
3. Conditions (28) and (29) are the same as (5.3.27) and (5.3.28), respectively. Con-
dition (30) is an added bonus, so to speak.
4. The Lyapunov function V is differentiable as many times as is the funotion f.
Thus, if f is , then so is V.
Proof For convenience, let 1111 denote both the Euclidean norm on R" as well as the
corresponding induced matrix norm on R
nxn

The solution trajectories of (25) satisfy

I
31 s(t, to, Xo)=Xo +Jf[-r, s(-r, to, Xo)d-r, '<:It to
1
0
Differentiating with respect to Xo gives
I
32 D
3s(t,
to, Xo) = I +fDzf[-r,s(-r, to, Xo) D
3s(-r,
to, Xo) dt;
10
and as a consequence,
Sec. 5.7 Converse Theorems 241
I
33 IID
3s(t,to,Xo)1I
I +JAIID
3S('t,
to, Xo)1I dt,
to
where we have used (27). Thus, by Gronwall's inequality [Lemma (I)],
Similarly, differentiating (31) with respect to to and using Leibniz' rule gives
I
35 D
2s(t,
to. xo)=-f(to, Xo)+ J D
2f[T,
S(T, to, Xo)] D
2s(T,
to, Xo)dT.
10
Note that, by (27),
36 IIf(to, xo) II AIlXo II Ar.
Hence, from (35),
I
37 II D
2s(t,
to, Xo) II Ar + J A II D
2s(T,
to. Xo) II dT.
10
Applying Gronwall's inequality again results in
38

11D
2
s(t, to, Xo) II Ar exp [A(t -to)], "dt to o.
Next, select a function 1 such that both 1 and l' are of class K, and
39 J1 [0'\ (T)] dT <00, J l' [0'\ (T)] exp (AT)dT <00,
o 0
where
40 CJI (T) = <j>(r) O'(T).
Such a function y(o) exists by Massera's lemma. Now define
ee
41 V(t, x)= J 1[lIs(T, t. x) II]di.
I
It is claimed that this function V satisfies (28) to (30). First, whenever XE B
r
, (26) implies
that 0
42 IIs(T, t, x) II <j>(r) CJ(T-t) =0'1 (T-t),
so that V(t, x) is well-defined. Next, it is shown that V is cr. From (31) and the fact that f is
c', it follows that the function- II s(T, t, x) 11
2
= STSis c'. so V is c: if the integrand in (41)
) In this proof we use (. f to denote the transpose. since the prime is used to denote the derivative.
242 Lyapunov Stability Ch.5
can beexpressed as a c' function of II s liz and the integral converges uniformly. For this
purpose, define
43 O(r) =y('./-;),
44 y(r) = o(r
z).
Then 0 is whenever r '* O. Now
45
\::'( 1,_,-
u r)= _,_ y ('1r).
2'1 r
If we use the construction in the proof of Lemma (8), then
46 y'(r) =Il(r) =exp [-0.. + 1)11-
I
(r )].
Since 11-
1
(r) 00 as r 0, we see that 0 is at r = 0 also. Hence the integrand in (41) is a
c' function. To show that V is itself a c' function, the uniform convergence of the integral
must be demonstrated. For this purpose, note that
47 D 1V(t, x) =-y( IIxll)+ f Dzy[ IIs('t, t, x) II]d't.
t
48
49
y'[ IIs('t, t, x) II] [s('t, t, x)f Dzs('t, t, x)
D
zy[lIs('t,t,x)/I]=
,
, IIs('t, t, x) II
IID
zy[lIs('t,t,x)II]1I
IID
zs(t,t,
x) II.
Substituting this inequality in (47) gives
50 I D 1V(t, x) I s y(llxll)+ f y'[ IIs(t, t, x) II] II Dzs(t, t, x) II dt:
t
But, from (26),
51 IIs(t,t, x) II 4>(r)O'(t-t)=O'I(t-t).
Using (51) and (38) in (50) gives
52 I D I V(t, x) I y( IIxII)+ fy'[O'I (t- t)] A.r exp [A.(t-t)] dt < 00.
t
Similarly,
Sec. 5.7 Converse Theorems 243
53 11D
2
V(t, x) II :::;; f y'[ IIs(t, t, x) II] 11D
3s(t,
t, x) II dt
t
:::;; f y'[O',(t-t)] exp[A(t-t)]dt< 00,
t
where we have used (34). Thus Vis c', and in fact V satisfies (30).
To prove that Vis decrescent, observe that, for each xe B"
54 V(t, x) s f Y[O'\ (t- t)] dt < 00.
t
Hence the function R+ R+ defined by
55 = sup sup V (t, x)

is well-defined for d < r and can be extended to all of R+. If is not C-, it can bebounded
above by a C- function.
To prove that Vis an Ipdf, note that (27) implies that
56 IIf(t, x) II :::;; Allxll :::;; Ar, VxeB
r

Hence, from (31),

57 IIxll-Ar(t-t).
In particular,
58 IIs(t, t, x) II IIx 1112 forte [t, t + IIx I1I2Ar].
Hence, from (41),
59
IIxll
V(t, x) -"I-y(lIxlll2)=:a(lIxll).
u
Clearly a(d) = dy(dl2)I2Aris C-.
Finally, to prove that Vis locally negative definite, observe from (41) that
60 V[t,s(t,t, x)]= f y{ IIs[S,t,s(t,t, x)]II}dS= f y[lIs(S,t, x)lI]dS.
t t
Hence
244
61
Lyapunov Stability
d
-V[t, s(t, t, x)] =-y[ IIs(t, t, x) II].
dt
Ch.5
Inother words,
62 V(t, x)=-y(lIxll),
and y is This completes the proof.
The next result provides the converse of Theorem (5.3.45) for exponential stability.
63 Theorem Consider the system (25), and suppose f is c', and that f(t, 0) =0 Vt O.
Suppose there exist constants u, 0, r > 0 such that
64 IIs(t, t, x) II s u ll xll exp [-o(t-t)], Vt t 0, VXEB,.
Finally, suppose that,for somefinite constant A.,
Under these conditions, there exist a c' function V: R+ xR
n
R and constants
a, b, c, m > 0, P > 1, such that
66 a llx ll" $; V(t, x) $; b IIxIl
P
, V(t, x) $; -c llx ll", Vt 0, VXEB,.
67 IID
2
V (t, x) II
Proof Choose the constant p > 1such that
68 (p - 1)0 > A.,
and let
69 y(r)=r
P
, (Jl(t)=Wexp(-Ot).
Then, as can be verified readily, the condition (39) is satisfied. Hence, by Theorem (24), the
function
70 V(t, x)= Jy[lIs(t,t, x)lI]dt=JIIs(t,t, x)II
Pdt
I I
is a Lyapunov function. Showing that V satisfies (66) is quite straight-forward. First,
71 V(t, x) s j Il
P
llx ll" exp [-po(t-t)] dt= Il: IIxIi
P

I pU
Next, from (64) and (65),
Sec. 3.7 Converse Theorems 245
72 1If['t,s('t,t, x)]11 AlIs('t,t, x) II Allllxll, V't t O.

Hence, from (31),

73
> IIxll
Jls('t, t, x) II - -2-' V'tE [t, t + IIlAIl]
Therefore (70) implies that
74
As shown in (62),
75 V(t, x)=-y(lIxll)=-lIxli
p
.
Finally, using (53), and noting that y' (r) =pr
P
-
1
, gives
76 IIDzV(t, x) II s f PIlP-11Ixll
p
-
1
exp[-(p-I)b't]exp(A't)d't
o
= constant IIx liP-I.
This completes the proof.
The next corollary shows that, for an exponentially stable equilibrium, it is possible to
construct a "quadratic type" Lyapunov function.
77 Corollary Suppose all hypotheses of Theorem (63) are satisfied. Then there exist a
c' function W: R+ x R" R and constants n, y, Il > 0 such that
79 IID
zW(t,
x) II s u Ilx ll , "It 0, VXEB
r

Proof Construct Vas in Theorem (63), and let
80 wo, x)=[V(t, x)]21
P

The details are left as an exercise.

Theorem (63) and Corollary (77) can be extended in a totally straight-forward manner
to global exponential stability.
246 Lyapunov Stability Ch.5
81 Theorem Consider the system (25). Suppose f is c', and thatf(t, 0) =0'itt O. Sup-
pose there exist constants fJ., &, A> 0 such that
82 IIs(t, t, x) II fJ.11 x II exp [-&(t- t)], 'itt t 0, 'itXER
n
,
83 IID
2f(t,
x)11 A, 'itt 0, 'itxER
n

Under these conditions, there exist a c' function Wand constants a, y, fJ. > 0 such that
Proof Simply follow the proof of Theorem (63) and replace B, and BIi' by R"
throughout. In this way, it follows that the function V defined in (70) satisfies (66) and (67)
for all XE R". Now define Wby (80).
Note that the condition (83) requires the function fto be globally Lipschitz continuous;
, .
this is a much more restrictive condition than (65), especially for autonomous systems.
. \
If we attempt to extend Theorem (24) to global uniform asymptotic stability, then we
run into the difficulty that the function Vdefined in (41) may not be decrescent. The problem
arises in (58), where the upper bound on r approaches t as r 00. In the case of exponential
stability, the difficulty does not arise, because the function <1>( IIx II) is linear in IIx II; see (72)
to (74). Hence Theorem(24) can be extended to cover global stability provided the function
<1>: R+ R+ defined by
86 <I>(r) = sup sup sup IIs(t,t, x)11
xEh, t 0 t
can be bounded by a linear function of r.
5.8 APPLICATIONS OF CONVERSETHEOREMS
In this section, the converse theorems derived in the preceding section are used to solve
four problems in control theory.
5.8.1 Exponential Stability of Nonlinear Systems
1 Theorem Consider the system.
2 x(t) = f{X(t)],
where i is Cl, andf(O) =0. Define
Sec:5.8 Applications of Converse Theorems 247
Then 0 is an exponentially stable equilibrium of(2) ifand only ifthe linearized system
4 z(t) = Az(t)
is (globally) exponentially stable.
Theorem (1) resolves one of the issues left hanging in Corollary (5.5.26). If A is
defined as above and if all eigenvalues of A have negative real parts, then 0 is an exponen-
tially stable equilibrium. If some eigenvalues of A have a positive real part, then 0 is an
unstable equilibrium. But what if all eigenvalues of Ahave nonpositive real parts, but some
have a zero real part? In such a case, depending on the nature of the neglected higher order
terms, it is possible for the origin to be asymptotically stable. But Theorem (I) shows that,
even if the origin is asymptotically stable, it cannot be exponentially stable.
Proof "If' This isjust Corollary (5.5.26).
"Only if' Suppose 0 is an exponentially stable equilibrium of (25). Then, by Corollary
(5.7.77), there exists a C
2
function V: R" ~ R and constants a., ~ u, and r > 0 such that
6 IIVV(t, x)11 :5llllxll, 't/xEB
r

[Compare (5.?78) and (5.7.79).] Expand V and V in a Taylor series around x=O. Now
V (0) =0 and V(O) = O. Also, since both Vand V are sign-definite, there cannot be a linear
term in the Taylor series expansion. In other words, Vand V are of the form
7 V(x)=x'Px+ V,(x),
8 V(x)=-x'Qx+ W.(x),
where both P and Q are symmetric and positive definite. Expand f in the form
9 f(x) = Ax + f
1
(x),
where
10
/lf
1
(x) II
lim -1-1x-I-I- = o.
nxu -+0
Now using (10) and (7) gives
248 Lyapunov Stability Ch.5
19
11 V(x) = VV(x) f(x) = x' [A'P+PA]x+h(x),
where h(x) denotes a term which decays more rapidly than a quadratic. Comparing (8) and
( II) shows that
12 A'P+PA=-Q.
Finally, (12) and (5) show that S(x)=x'Px is a suitable Lyapunov function for applying
Theorem (5.3.45) to establish the global exponential stability of the linearized system (4).
5.8.2 Slowly Varying Systems
Consider a general nonautonomous systemdescribed by
13 x{t) = f[t, x(t)], "it O.
If rE R+ is any fixed number, then we can think of the autonomous system
14 x(t) = f[r, x(t)], "it 0,
as a particular case of the system (13), with its time dependence "frozen" at time r, Example
(5.4.90) shows that, even if each of the frozen systems is exponentially stable, the overall
system can be unstable. But it is now shown that if each frozen system is exponentially
stable and the system is slowly varying, then (13) is indeed exponentially stable. For this
purpose, a little notation is needed. As usual, let s('t, t, x) denote the solution of (13) starting
at time t and state x, and evaluated at time 'to Let s,{'t, t, x) denote the solution of the frozen
system (14), starting at time t and state x.and evaluated at time 'to
15 Theorem Consider the system (13). Suppose (i) f is CI and (ii)
16 sup sup IID
2
f (t, x) II =:A<oo,
XE JR" t 2: 0
(iii) there exist constants Jl, 0> 0such that
Finally, suppose there is a constant E >0 such that
Then the nonautonomous system (13) is globally exponentially stable provided
O[(p-ns- A]
E< ,
PJlP
where p > 1is any number such that (p -1)B > A..
Sec. 5.8 Applications ofConverse Theorems 249
Remarks To put the conditions ofthe theorem in better perspective, consider the linear
time-varying system
20 x(t) = A(t) x(t),
and suppose A(t) is a Hurwitz matrix for each fixed t. Then A. is the maximum of II A(t) II
with respect to t; - 0 is the largest (i.e., the least negative) of the real parts of the eigenvalues
of A(t), as tvaries; and Il is the maximumof the condition number of A(t) as tvaries.
Proof We begin by estimating the rate of variation of the function sr('t, 0, x) with
respect to r. From (14), it follows that
t
21 sr('t, 0, x) = x +f f[r, sr(a, 0, x)] do.
o
Differentiating with respect to r gives
22
For conciseness, defil1e
23 g (t) = II dsr('t, 0, x)/dr II ,
and note from (18) that
24 liD[f[r, sr(a, 0, x)] II s e IIsr(a, 0, x) II s eu llx II exp (-00).
Using (24) and (16) in (22) gives
t t
25 g(t):S; f euIIxII exp(-oo)da+f A.g (a) do
o 0
t
< Il
ll x ll
f"l ()d
- 0 + II.g a a.
o
Applying Gronwall's lemma to (25) gives
26
Il IIxII
IIdsr(t, 0, x)/drll =g(t):S; 0 exp(A.t), '<;it o.
Next, for each rE R+, define a Lyapunov function V
r
: R
n
R for the system (14) as in
Theorem (5.7.63). Selectp> 1+ M) [Le., (p -1)0> A.], and define
250
27 Vr(x) = f IIsr('t, 0, x) liP dt.
o
Lyapunov Stability Ch.5
This is the same function as in (5.7.70), since the system (14) is autonomous. At this stage,
replace r by t, and define V: R+ x R" R by
28 V(t, x) = f IIs,('t, 0, x) liP dt.
o
Then, as shown in the proof of Theorem (5.7.63), it follows in analogy with (5.7.71),
(5.7.74), and (5.7.75) that
29
30
ll x ll" s V(t, x) s /l: IIxIl
P
,
2
P
+ A./l po
D
2V(t,
x)f(t, x)=-llxll
p
.
Let us compute the derivative V(t, x) along the trajectories of (13). By definition,
31 V(t, x)=D, V(t, x)+D
2
V (t, x)f(t, x)=D
1
V(t, x)-lIxIi
P

It only remains to estimate D , V(t, x). Lety :=pl2. Then, from (28),
32 D
1
v, x)= j aa [s;('t, 0, x)s,('t, 0, x)]Y d't
o t
= j 2'( [s;('t, 0, x)s,('t, 0, X)]y-l s;('t, 0, x) aa s,('t, 0, x)d't,
o t
33 I D
1
V(t, x) I s j 2'( IIs,('t, 0, x) 11
2y
-
1
II aa s,('t, 0, x) II dt.
o t
Now use the bounds (17) for Ils,('t,O,x)1I and (26) for lIas,('t, 0, x)latll, and note that
2'( =p. This gives
J -I 1 /lllxll
34 I D 1V(r, x) I P/lP IIx II
P
- 0 exp [-(P-I)O't +A.'t] dt
o
Let m denote the constant multiplying IIx liP on the right side, and note that m < I by (19).
Finally, from (31),
Sec. 5.8 Applications ofConverse Theorems 251
35
Now (29) and (35) show that V is a suitable Lyapunov function for applying Theorem
(5.3.62) to conclude global exponential stability.
5.8.3 Observer-Controller Stabilization
In this subsection, it is shown that a well-known strategy for stabilizing linear time-
invariant systems also works for nonlinear systems.
As a motivation for studying the problem, consider a linear time-invariant system
described by
36 x(t) =Ax(t) +Bu(t), y(t) =Cx(t).
Suppose the system is stabilizable and detectable [see Chen (1986) or Kailath (1980) for
definitions ofthese terms]. By the assumption of stabilizability, there exists a matrix K such
that A- BKis Hurwitz. Hence, if we could apply the feedback control
37 u(t) =- Kx(t),
then the resulting closed-loop system would be stable. However, x(t) cannot be measured
directly, and only y( t) is available for control purposes. To overcome this difficulty, one can
set up a detector, which is a systemof the form
38 z(t) = Az(t) +Bu(t) +F[y(t) - Cz(t)],
where F iscalled theft/ter gain. By the assumption of detectability, there exists a matrix F
such that A - FC is Hurwitz. For such a choice ofF, it follows that z(t) -x(t) 0 as t 00;
in other words, asymptotically z(t) becomes an accurate estimate ofx(t). With this in mind,
suppose one implements the control law
39 u(t) = - Kz(t).
Then the closed-loop system is described by
Let M denote the square matrix in (40), and define
41 T= .
Then
252 Lyapunov Stability Ch.5
[
A - BK -BK ]
42 rIMT= 0 A-Fe'
This shows that the spectrum of M (i.e., the set of eigenvalues of M) is just the union of the
spectra of A - BK and A - Fe. Since both matrices are Hurwitz, it follows that M is also
Hurwitz. The conclusion is that the stabilizing control law (39) continues to do the job even
if the true state x(t) is replaced by the estimated state z(t). For this reason, the strategy is
known as observer-controller stabilization. This is sometimes called the (deterministic)
separation theorem.
The preceding proof is very much a "linear time-invariant" proof, being based on
eigenvalue arguments. Thus it is perhaps surprising that a similar result also holds for non-
linear nonautonomous systems. Suppose the system to be stabilized is described by
43 x(t)=f{t, x(t), u(t)], y(t)=g[t, x(t)],
where x(t)ER
n,
u(t)ER
m,
y(t)ER
I,
and It is
assumed that f is C I and that f(t, 0,0) =0, "dt 0, Now suppose h: R+ x R" R" is con-
tinuous, and define the control law
44 u(t)=h[t, x(t)]
This control law is said to stabilize the system (43) ifh(t, 0) = 0 "dt 0, and 0 is a uniformly
asymptotically stable equilibriumof the closed-loop system
45 x(t) = f{t, x(t), h[t, x(t)]}.
Now a nonlinear analog of detectability is defined. The system (43) is said to be weakly
detectable if one can find a function r: R+ x R" x R" x R
l
R" such that
46 z(t) = r[t, z(t), u(t), y(t)] = r{t, z(t), u(t), g[t, x(t)]}
acts as a "weak detector" for the system (43). This means that (i) r(t, 0,0,0)=0, and (ii)
there exist a C I function W; R+ x R" x R" R, class K functions a, y and a number
p > 0 such that
47 a(lIx-zll)::; W(t, x,z)::; "dt 0, "d(x,z)EBpxB
p,
48 D 1W(t, X, z) + D
z
W(t, x, z) f(t, x, u) + D
3
W(t, X, z) r[t, x, u, g(t, x)]
These assumptions mean that if initially II x(t 0) II < p, II z(t 0) II < p, and if
II u(t) II < P "dt to, and if the resulting trajectory [x(t), z(t)] does not leave Bp x Bp, then
actually x(t)-z(t) as t As the name implies, weak detectability is a weaker pro-
perty than detectability, though for linear systems the two concepts are equivalent. This is
Sec. 5.8 Applications of Converse Theorems 253
discussed further in Vidyasagar (1980b).
Now it is possible to state the main result:
49 Theorem Suppose the system (43) is weakly detectable, and that with the control law
(44), the equilibrium x=O of the system (45) is uniformly asymptotically stable. Suppose
there existfinite constants r, A, Il such that
50
51
sup sup max{ IID
2f(t,
x, u)ll, IID
3f(t,
x,u) II } ~ A,
I ~ 0 (x, u)e tJ, xB,
sup sup 11D
2h(t,
x) II :5Il.
I ~ 0 xe lJ,
Then the origin in R" x R" is a uniformly asymptotically stable equilibriumofthe system
52 x(t) = r{ t, x(t), h[t, z(t)]},
53 z(t) = r{t, x(t), h[t, z(t)], g[t, x(t)]}.
Proof It is first shown that (0, O)E R" x R" is uniformly stable; then it is shown that it is
uniformly attractive.
To prove that the origin is uniformly stable, suppose an E > 0 is specified; the objective
is to construct a 0 > 0 such that
54 IlXoII <0, IIz
oll
<0::;. Ilx(t) II <E, IIz(t) II <E, '\It ~ to,
where x(t) =x(t, to, Xo, zo), z(t) =z(t, to, Xo, zo) denote the solution of (52) - (53)
corresponding to the initial condition
By assumption, x = 0 is a uniformly asymptotically stable equilibrium of the system
(45). Now (50) and (51) ensure that the function (t, x ~ f [ t x,h(t, x)] satisfies all the
hypotheses of Theorem (5.7.24). Hence there exists a C
l
function V: R+ x R" ~ R+, C ~
functions e, ljl, \jf of class K, and a finite constant L > 0, such that
56 e(lIxll):5 V(t, x):5 ljl(lIxll), '\It ~ 0, '\IxEB"
57 D 1V(t, x) + D
2
V(t, x) f[t, x, h(t, x)] :5- \jf( IIx II), '\It ~ 0, '\IxE B"
58 IID
2
V(t, x) II :5L, '\It ~ 0, '\IxEB
r

Note that the same B, appears in (51) as well as (56) - (58). This cuts down on the prolifera-
tion of symbols, without any loss of generality. By the same token, it can be assumed that
p =r, where p appears in (47) - (48), and that E :5 r. The construction of the quantity 0 is
achieved in several stages. First, select
254 Lyapunov Stability Ch.5
where u appears in (51). Next, select EI such that 8(0112), and select 02such that
where L, A, Il are defined in (58), (50), and (51) respectively. Next, choose 03> 0 such that
< a(02)' and define
61 O=min {p, 0312}.
To show that theabove choice of 0 satisfies (54), it is first shown that
62
63
64
IIx(t)-z(t) II <Oz, 'rIt to,
!W[t, x(t), z(t)] s 0, 'rIt to,
dt
d .
-V[t, x(t)] <0, whenever e, Ilx(t)II <EI2, 'rIt to.
dt
65
To follow the proof, it is helpful to observe that
03 01 E
o -, 03 < 02< EI < - -.
222
In order to prove (62) - (64), observe first that all three statements are true at t = to. Since
IIx(to) II = IlXoIi <0 and IIz(to) II = IlZoIi <0, it follows that
which is (62) att = to. Next, IIh(t 0, Xo) II 1111 Xo II < 110 < 1l0t < p. Hence (48) is applica-
ble [with u=h(to, Xo)], and (63) holds at t=to. Finally, (64) holds vacuously since
IlXoII < 1. Now suppose (62) - (64) hold for all tE [to, T]; itis shown thatthey also hold for
all te [T, T + 't] for some sufficiently small positive 'to By assumption (62) - (64) hold for all
te [to, T]. Hence, in particular,
66
67
IIx(t) - z(t) II < Oz, 'ritE [t 0, T],
d
-V[t, x(t)] <0, whenever s, IIx(t) E, 'ritE [to, T].
dt
Hence
and therefore
Since the solution trajectories of the system (52) - (53) are continuous, it follows that for
Sec. 5.8 Applications ofConverse Theorems 255
sufficiently small positive t, the analogs of (66) and (69) also hold for tE [T, T + 't]. This
establishes the "extensibility" of (62). To do the same for (63), observe that, for
tE [T, T+'t], we have Ilx(t) II < 0
112
and IIx(t)-z(t) II < O
2
< 112, from which it follows
that II z(t) II < 0
1
, Hence (50) and (59) imply that II h[t, z(t)] II < p. Thus, by applying (48)
with u = h[t, z(t)], we get
70
d
- W [r, x(t), z(t)] $ 0, "itE [T, T + 't],
dt
establishing the extensibility of (63). Finally, to extend (64), observe that if
1 $ II x(t) II < fI2, we have
71
d
- V [t, x(t) =D I V [t, x(t)] + D
2
V [t, x(t)]f{t, x(t), h[t, z(t)]}
dt
= D I V [t, x(t)] + D
2
V [t, x(t)]f{ t, x(t), h[t, x(t)]}
+D
2
V [t, x(t)] (f{t, x(t), h[t, z(t)]} - fIt, x(t), h[t, x(t)]})
$ -",[ IIx(t) II] +0.. II h[t, z(t)] -h[t, x(t)] II, by (58) and (50)
This extends (64). This reasoning shows that there is no "first time" T at which (62) - (64)
fail to hold; i.e., these equations hold for all t ~ to, as claimed.
With the aid of (62) - (64), it is easy to establish (54), which is uniform stability. Using
(62) - (64), one can prove (66) and (69) as before, with the interval [to, T] replaced by
[to, 00). Finally, since IIz(t)1I $ IIx(t) II + IIz(t)-x(t) II 0
112+02)$01
s e, (54) fol-
lows, and the origin in R" x R" is a uniformly stable equilibrium.
To conclude the proof, it is shown that the origin in R" x R" is uniformly attractive.
Pick any e > 0, and construct a corresponding 0 > 0 as above. It is shown that Box Bois a
region of uniform attraction. Suppose Xo, zoEBo' Then, since II z(t) ll < 0\ "it ~ to, it fol-
lows from (50) and (59) that II h[t, z(t)] II < p. It has already been established that
II x(t) - z(t) II < 0
1
< p, "i t ~ to. Hence (48) holds all along the trajectory, from which it fol-
lows that II x(t 0 + t) ~ < t 0 + t) II ~ 0 as t ~ 00, uniformly with respect to to. Equivalently,
there exists a function a of class L such that
72 Ilx(t)-z(t)1I $ a(t-to), "it ~ to.
Now, by a slight modification of (71), it follows that
256
73
Lyapunov Stability
x(t)] _",($-1 {V[t, x(t)]})+LA.J.t IIx(t ) - z(t ) II, 'Vt to.
dt
Ch.5
To cut down on the number of parentheses, let TJ denote ""$-1 , and note that TJ is also a class
Kfunction. Next, fix to, and define
74 v(t)= V[to +t, x(to +t)],
75
Then it follows from (72) and (73) that
76 v(t) s TJ[v(t)] +a(t).
The proof is complete if it can be shown that v (t) 0 as t 00. Unfortunately, this step
requires rather advanced concepts; hence only a sketch of the proof is given here. First, a
so-called "comparison equation" is set up, namely
77 e(t)=TJ[e(t)]+a(t).
It can be shown that
78 e (0) v (0):::> e(t) v (t), 'Vt O.
This is called the comparison principle; see e.g., Walter (1970). Then, since a(t) it
can be shown, using a generalization of the invariance arguments of Lemma (5.3.71), that
e (t) 0 t 00; see Levin (1960). Now (78) implies that v(t) O. Hence there exists a
function TJ of class L such that
79 IIx(to+t)1I s TJ(t), 'Vt O.
Finally, (72) and (79) together show that the origin is uniformly attractive.
80 Example Consider the system
The linearization of this system around x =0, u =0 is
Note that the linearized system is not stabilizable, but is detectable. Hence the feasibility of
the observer-controller strategy cannot be established by linearization arguments.
Sec. 5.8 Applications of Converse Theorems 257
Suppose we could apply the control law
The resulting closed-loop system is described by
To test the stability of this system, choose the Lyapunov function candidate
Then
Thus x =0 is an asymptotically stable equilibrium(but not exponentially stable).
However, the afore-mentioned control law cannot be implemented because x I cannot
be measured directly. To get around this difficulty, let us set up the system
. . 2 3
Z I =- Z I +uy, Z2 =ZI - Z2 +Y - Y .
To test whether this system is a weak detector, choose the function
Then
The coefficient matrix
M_[2 ZI +X
2
1]
- Zl +XI
is positive definite if "x", llz l! are sufficiently small. Therefore it follows that (48) is
satisfied, and that the systemabove is a weak detector.
Now, by Theorem (49), it follows that the implementable control law
258 Lyapunov Stability Ch.5
stabilizes the system.
Before leaving the example, two comments are in order. First, it is worth noting that
the coefficient matrix M(x,z) is positive definite only when both II x II and II z II are small-
it is not enough that the quantity II x - z II be small. Thus the system above is only a weak
detector, and not a true detector. Second, since x 2 is available directly, it is somewhat extra-
vagant to set up a detector for it. Instead one might think of setting up a "reduced-order"
detector for x I alone. The theory to cover this situation is not available at present.
5.8.4 Stability of Hierarchical Systems
In this section, we study the stability of systems of the form
XI (t) = f, [t, XI (t)],
X2(t) = f
2
[r, XI (t), x2(t)],
81
Such a system is said to be in hierarchical or triangular form, since the differential equa-
tion governing Xj(t) depends only on Xl (r), . ", Xj(t), but not on x/t) for j > i. Given an
arbitrary differential equation of the form (13), there exist systematic procedures for
renumbering and regrouping the variables x I , ... , X
n
in such a way that the system equa-
tions assume the hierarchical form (8 I); see Vidyasagar (I 980c). The objective is to deduce
the stability properties of the system(8 I) by studying only the simplified systems
82 Xj=fj[t, 0,,0, Xj(t)],
for i = I, ... , I. Comparing (82) with the i-th equation in (8 I), one sees that the 1equations in
(81) have been decoupled by setting Xj = 0 for j = I, ... , i-I in the i-th equation. For this
reason, (82) is referred to as the i-th isolated subsystem.
Now the main result of this subsection is stated. To streamline the presentation, two
notational conventions are employed, namely:
Sec.5.8
,x=x,=
Applications of Converse Theorems 259
In other words, Xi is the state vector of the first i equations in (81), whereas x =X, is the state
vector ofthe overall system.
84 Theorem Consider the system (81). Suppose each function f
i
is C I , and that the fol-
lowing conditions are satisfiedforeach ie: {I, ... , I}:
85 fj(t, 0,"',0)=0, Vt 0,
and in addition, there exist constants A. < 00 and r > 0 such that
86 sup sup IID
2f
j(t, xj)1I :5; A..
t 0 ijEB
r
Under these conditions, x =0 is a uniformly asymptotically stable equilibrium ofthe system
(81) ifand only if Xi = 0 is a uniformly asymptotically stable equilibrium of the system (82)
for each iE {l,' .. ,I}.
Remarks Note that, if the system (81) is autonomous and each function f
i
is auto-
nomous, then (86) is automatically satisfied. Hence the theorem requires only very mild
conditions in order to be applicable.
Proof It is helpful to distinguish between the solution trajectories of (81) and of (82)
through appropriate notation. Let denote the solutions of (82), where the superscript
(1) is supposed to suggest "isolated." Xi(t), without the superscript, denotes the correspond-
ing component of the solution of (81). Also, while the concept of uniform asymptotic stabil-
ity is independent of the particular norm used, it is convenient to take II' II to be the norm
1111 eo defined in Example (2.1.9). With this choice of norm, it follows that
87 IIxll= max {llxlll,"', IIx,II}.
I s t <;,
"Only if' Suppose x = 0 is a uniformly asymptotically stable equilibriumof (81). Then,
by Theorem (5.1.61), there exist functions TJ ofclass Kand o of class L, and a constant p > 0
such that
88 IIx(t)1I
In particular, suppose
260 Lyapunov Stability Ch.5
where x;o occurs in the i-th block. Then, in view of (85), it follows that the first i-I blocks
of the solution x(-) equal zero, while the i-th block equals xlI) ('). Now (88) implies that
This shows that Xi= 0 is a uniformly asymptotically stable equilibrium of (82). The argu-
ment can be repeated for each i.
",
"If' The proof is given for the case I = 2; the general case follows by induction.
By assumption, there exist functions 111 of class K, (J1 of class L, and a constant r > 0,
such that
where x\l)(-) denotes the solution of (82) with i = 1, and with the initial condition
XI (to) =xlQ. Similarly, the hypothesis on the second isolated subsystem, combined with
Theorem (5.7.24), allow one to conclude the existence ofa C\ function V, class K functions
a, y, and constants r > 0 and L < 00, such that
92
93
94
a(lIx211) s V(t, X2) s '\It 0, '\IX2EB"
(I)
V (t, X2) :=D 1V(t, X2)+ D
2
V(t, x2)f2(t, 0, x2) -y( IIX2 II), '\It 0, '\IX2EB"
Now consider the system
Itis to be shown that X =0 is a uniformly asymptotically stable equilibrium of this system.
The proof is divided into two parts, namely establishing (i) uniform stability, and (ii) uni-
form attractivity. To establish uniform stability, suppose > 0 is given; it is necessary to
determine 0 > 0 such that
where Xi(-)denotes the solution of (81) corresponding to the initial condition Xi(tO)= X
iO.
It
is easy to see that XI (.) = xll)(), so the real challenge is to analyze the behavior of X2('). For
this purpose, it can be assumed without loss of generality that the constants r appearing in
(86) and (91) - (94) are all the same. Given e > 0, first choose 1 > 0 such that < a(),
and then choose 0
1
> 0 such that
Sec. 5.8 Applications of Converse Theorems 261
Finally, choose 0> 0 such that
Suppose II xlQ II < 0, IIX20 II < O. Since XI (-) = x\I)(-), (91) and (98) together imply that
IIxl(t) II <EVt to. To get an estimate for IIx2(-)IJ,itisclaimedthat
99
To see this, observe that
Hence, by arguments which parallel those in the proof of Theorem (49), it follows that
whence it follows that. IJX2(t) II <EVt to. Thusx=Oisauniformlystableequilibrium.
To show that X= 0 is uniformly attractive. select an E> 0, and select 0> 0 in accor-
dance with (98). Suppose IIx(to) II < O. Modify (100) to .
102 X2(t)] S; (V[t, x2(t)]})+LA1'\I(0)<JI(t-tO)'
dt
This inequality is very similar to (73). Mimicking those arguments shows that
V[t + to, X2(t+ to)] 0 as t 00, uniformly in to. The details are left as an exercise. This
shows that B1) is a region of uniform attractivity, and completes the proof.
Using appropriate converse theorems, it is possible to establish theorems regarding
other forms of stability.
103 Theorem Consider the system (81). Suppose eachfunction f; is C
I
, and satisfies (85)
and (86). Under these conditions. x=O is an exponentially stable equilibrium ofthe system
(81) if and only ifx; =0 is an exponentially stable equilibrium of(82)foreach ie {I,'" ,l}.
262 Lyapunov Stability Ch.5
Proof "Only if' This part of the proof closely follows the corresponding part of the
proof of Theorem (84), and is left as an exercise.
"If' Since exponential stability implies uniform asymptotic stability, Theorem (84)
implies that x =0 is a uniformly asymptotically stable equilibrium. It only remains to show
that solution trajectories converge to x =0 exponentially fast. Now XI (.) =x\/)(). Hence, by
the hypothesis of ex.ponential stability, there exist constants a, b, r > 0 such that [cf.
(5.1.37)]
Next, since Xz =0 is assumed to be an exponentially stable equilibrium of the system (82)
with i =2, it follows from Corollary (5.7.77) that there exist a CI function Vand constants a,
r > OandL < 00 such that
105 allxll
z:5
V(t, xz):5 V't 0, V'xzEB"
106 V(l)(t, xz):5 -y IIxll
z,
V't 0, V'xzEB"
107 IlD
z
V(t, xz) 1I
Without loss of generality, it is assumed that the same constant r appears in (104) as well as
in (105) - (107). Now (102) becomes
d
108 dt V [t, xz(t)] :5 - (Y/13) V [t, xz(t)] + LAn IIXIQ 1111 xz(t) II exp [- b (t - to)],
:5 -(Y/13)V[t, xz(t)]
Define W(t) = V [t +to, xz(t +to)] 1/2. Then it readily follows from (108) that
109 2W(t):5 -(Y!l3)W(t) + (LAn;Va) IIxlQII exp [-b(t -to)], V't to.
Note that
From (109) and (110), it follows that there exist constants l'\, Il such that
III W(t) :5 l'\ [ IIx10 II + IIxzo II] exp (- ur), V' t O.
In turn, (Ill) implies that
Sec. 5.8 Applications of Converse Theorems 263
Now (104) and (112) together establish that the equilibriumx = 0 is exponentially stable.
113 Theorem Consider the system (81). Suppose each function f; is C
I
,
f;(t, 0) =0, '<It ~ 0, and
114 sup sup 110
2f;(t,
i) II < 00,
~ i
for iE {I, ,I}. Under these conditions, x=O is a globally exponentially stable equili-
brium ofthe system (81) ifand only ifx; = 0 is a globally exponentially stable equilibrium of
the system (82)foreach ie [L, ... ,/}.
Proof "Only if' This part of the proof is left as an exercise.
"If' Let r = 00 in (104) to (107) and proceed as in the proof of Theorem(103).
Problem5,30 Consider the system
x(t) = f[x(t), u(t)], '<It ~ 0,
where X(t)E R", U(t)E R". Suppose fis C
2
, and that f(t, 0,0) = 0, '<It ~ O. Define
[
de ] [af]
A= a ,B= a .
x (X,u)=(O.O) U (x.u)=(O.O)
Recall that the pair (A, B) is said to bestabiJizable if there exists a matrix KER
mx n
such that
A- BK is a Hurwitz matrix.
(a) Prove the following statement: There exists II C
2
function r: R" ~ R m such that
x = 0 is an exponentiall y stable equilibriumof the system
x(t)=f{x(t), r[t,x(t)]},
if and only if the pair (A, B) is stabilizable. [Hint: Use Theorem (1).]
(b) Construct an example to show that (a) is false if "exponentially stable" is replaced
by "asymptotically stable." [Hint: See Example (80).]
Problem 5.31 Using Corollary (5.7.77) and Lemma (5.4.53), state and prove an exten-
sion of Theorem (I) to time-varying systems.
Problem 5.32 Using the results of Problem 5.31, extend the results of Problem 5.30 to
time-varying systems.
Problem 5.33 Consider a modification of the linear system studied in Example
(5.4.90), namely
264
x(t) =A(t) x(t),
where
Lyapunov Stability Ch.5
[
-I +a cos? At I - a sin At cos At]
A(t)= -1-asinAtcosAt -1+asin
2At
.
(a) Find the state transition matrix. (Hint: see the form given in <the Example and
modify it suitably.)
(b) Using Lemma (5.4.79) and Theorem (5.4.89), find a range of values of the pair
(a, A) for which the above system is asymptotically stable.
(c) Use the result ofTheorem (113) regarding slowly varying systems to construct suit-
able bounds on a and Awhich assure that the system is asymptotically stable. Compare with
the results obtained in part (b).
Problem5.34 Prove the "only if' parts ofTheorems (103) and (113).
Problem5.35 Give a proof of Theorem (103) based on Problem 5.31 in the case where
each function f
j
is C
2
.
5.9 DISCRETE-TIMESYSTEMS
Until now the emphasis in this chapter has been on continuous-time systems described
by differential equations. In the present section the focus is on discrete-time systems,
described by a recursive relationship ofthe form
where XkE R", and f
k
: R" R" for all k O. Note that (I) always has exactly one solution
corresponding to an initial condition of the form x(k0) = "0; this solution, evaluated at the k-
th instant oftime (k k
o),
is denoted by s(k, k
o,
'(0). If, in addition, it is assumed that f
k
is a
continuous function for all k, then s(k, k
o,
.) is also continuous for each pair (k, k
o)
with
k k
o
. Thus existence, uniqueness, and continuous dependence of solutions of recursion
relations is really not an issue, in contrast with the case ofdifferential equations.
The objective of the present section is to define various concepts of stability for the
equilibria of the system (I), and to present various stability theorems. Since the details of
the definitions, theorems, and proofs very closely parallel those of their continuous-time
counterparts, very few details are given, and all proofs are left as exercises.
Apoint xje R" is called an equilibriumof the system(l) if
i.e., ifx
o
is afixedpointofthe map f
k
for each k O. Clearly, if(2) holds, then
Sec. 5.9 Discrete-Time Systems 265
3 s(k, k
o,
'(0) = "0, Vk k
o
o.
One can assume, without loss of generality, that the equilibriumof interest is the origin, i.e.,
that
Suppose V: Z+ X R" R, where Z+ denotes the set of nonnegative integers. Then,
along the solution trajectories of (I), define
5 V*k= V[k, s(k, k
o,
'(0)].
The forward difference ofthe sequence {V*k} is
With this in mind, we define the forward difference function V: Z+ X R
n
R as fol-
lows:
7 dV(k, x)=V[k+l,s(k+l,k, x)]-V(k, x).
Obviously, d V depends on both the function V and the system (1). Note that, along the tra-
jectories of ( 1), we have
---
k-I
8 v-,= V*j + LdV(i, Xi).
i=j
8 Definitions The equilibrium 0 of the system (I) is stable if, for each E > 0 and each
k
o
0, there exists a 0= O(E, k
o
)such that
9 11"011 IIs(k, k
o,
'(0)11 <E, Vk k
o.
The equilibrium 0 is uniformly stable if,for each E> 0 there exists a 0 = O(E) such that
10 k
o
0, II "0 II < O(E) IIs(k, k
o,
'(0) II < E, Vk k
o.
11 Definitions The equilibrium 0 is attractive if, for each k
o
0, there exists an 11k
o
such that
It is uniformly attractive ifthere exists an 11 > 0 such that
13 11"0 II <11, k
o
s(k
o
+k, k
o,
'(0) Oas k 00, uniformly ink
o,
"0.
Equivalently, 0 is uniformly attractive ifthere exists an 11 > 0, such that for each E > 0 there
exists an m = m (E) such that
266 Lyapunov Stability Ch.5
14 IlXoIi <T],k
o
0::::> Ils(ko+k, k
o
, Xo)1I <E, "dk m(E).
The equilibrium 0 is asymptotically stable if it is stable and attractive; it is uniformly
asymptotically stable ifit is uniformly stable and uniformly attractive.
15 Definition The equilibrium 0 of (1) is exponentially stable if there exist constants
T], a> Oandp < I such that
17 Definition The equilibrium 0 of(1) is globally uniformly asymptotically stable if(i)
it is uniformly stable, and (ii)foreach T], E > 0, there exists an m == meT], E) such that
18 IIXo II < T], k
o
0::::> IIs(k
o
+k, k
o
, xo)ll < E, "dk m.
It is globally exponentially stable ifthere exist constants a > 0 and p < I such that
So much for the definitions of various forms of stability. The stability theorems for
discrete-time systems are also reminiscent of their continuous-time counterparts. To state
these one needs the concepts of positive definiteness, etc.
20 Definitions Afunction V: Z+ X R" R is a locally positive definite function (Ipdf)
if(i) V(k, 0) == 0"dk O. and (ii) there exists a constant r > Oand afunction a ofclass Ksuch
that
21 a(lIxll) s V(k, x), "dk 0, "dxEB
r

Visdecrescent ifthere isafunction Kand a constant r > Osuch that
22 VCk, x) s "dk 0, "dxEB
r

Vis a positive definite function (pdf) if(i) V(k, 0) ==0 "dk 0, and (ii) there is afunction a
ofclass Ksuch that
23 a(lIxlI) V(k, x), "dk 0, "dxER
n

V is radially unbounded if V(k, x) 00 as II x II 00, uniformly in k. V is radially

unboundedifV(k, IIxll uniformly ink.
24 Tbeorem (Stability) The equilibrium 0 of (1) is stable if there exist a function
V: Z+ X R" Randa constant r > Osuch that (i) Visan lpdf, and(ii)
25 LlV(k, x) 0, "dk 0, "dxEB
r
.
If, in addition, Vis decrescent, then 0 is uniformly stable.
Sec. 5.9 Discrete-Time Systems 267
26 Theorem (Asymptotic Stability) The equilibrium 0 of (1) is uniformly asymptoti-
cally stable ifthere is a decrescent IpdfV: Z+ x R" Rsuch that-.1Visan lpdf
27 Theorem (Global Asymptotic Stability) The equilibrium 0 of (1) is globally uni-
formly asymptotically stable if there is afunction V: Z+ x R" R such that (i) Vis a pdf,
decrescent, and radially unbounded. and (ii) -.1Vis apdf
28 Theorem (Exponential Stability) Suppose there exist a function V: Z+ x R" R.
and constants a, b, c, r > 0 and p > 1such that
29 a IIx liP:::; V(k, x) :::; b IIxIl
P
, .1V(k, x) :::; -c ll x ll", 'ilk 0, 'ilxEB,.
Then 0 is an exponentially stable equilibrium. If it is possible to replace B, by R" in (29),
then 0 is globally exponentially stable.
Now consider a linear shift-invariant systemdescribed by
If we try the obviOUs Lyapunov function candidate
31 V(x)=x/Px,
then
Hence the discrete-time Lyapunov matrix equation is
33 A/PA-P=-Q.
34 Theorem The equilibrium 0 of(30) is (globally) asymptotically stable ifand only if
all eigenvalues ofAhave magnitude less than one.
A matrix A whose eigenvalues all lie inside the open unit disk is called a contractive
matrix.
35 Theorem With respect to Equation (33), the following three statements are
equivalent:
1. All eigenvalues ofAhave magnitude less than one.
2. There exists a positive definite matrixQ such that (33) has a unique solutionforP,
and this P is positive definite.
3. For each positive definite matrix Q. (33) has a unique solution for P, and this solu-
tion is positive definite.
268 Lyapunov Stability Ch.5
The proof ofTheorem (35) is facilitated by the following lemma.
36 Lemma Suppose A is contractive and Q is a given matrix. Then (33) has a unique
solution, given by
37 P= (A')i QA
i
.
;=0
Now consider the notion of linearizing a nonlinear system of the form (1) around the
equilibrium 0 [assuming of course that (4) is true]. Suppose f
k
is C' for each k 0, and
define
Suppose it is true that
39
IIf1k(X)II
lim sup =0.
IIxll
Then the system
is called the linearization of (1) around O.
41 Theorem /f0 is a uniformly asymptotically stable equilibrium of the linear system
(40), then it is also a uniformly asymptotically stable equilibriumof( 1).
42 Theorem Consider the autonomous system
where i is C' andf(O) =0. Define
44 A= .
x=o
If A is contractive, then 0 is an asymptotically stable equilibrium of(43). If A has at least
one eigenvalue with magnitude greater than one, then 0 is an unstable equilibriumof!43).
Problem 5.36 State and prove the discrete-time analogs of the converse theorems of
Section5.?
Sec. 5.9 Discrete-Time Systems
Notes and References
269
The concept of Lyapunov stability was first formulated by the Russian mathematician
A. M. Lyapunov in a famous memoir published in Russian in 1892. This memoir was
translated into French in 1907 and is available in the Western world from Princeton Univer-
sity Press; see Lyapunov (1892). Lyapunov stated and proved the basic stability theorem,
and also proved the linearization method (Section 5.5), the results concerning the Lyapunov
matrix equation for analyzing linear systems (Section 5.4), as well as several other results
which are no longer popular. The symbol V for the function which today we call the
Lyapunov function was introduced by Lyapunov himself. It is a good guess that he was
thinking of potential energy when he used this symbol, since in problems of particles mov-
ing in potential fields, the potential energy is a logical Lyapunov function candidate (see
Problem 5.13, Section 5.3). Whatever his motivation, the symbol V is now so firmly
entrenched that no one would seriously think of using anything else, though some intrepid
souls have been known to use v.
Originally Lyapunov did not distinguish between stability and uniform stability, etc.
The awareness that themstinction was important came gradually through the efforts of
several researchers, the most notable of whom were Malkin and Massera. The asymptotic
stability theorems that are based on the idea of invariant sets are due to Barbashin and
Krasovskii (1952) in the Soviet Union and LaSalle (1960) in the United States.
The contents of Section 5.6 on the Lur' e problem again represent the collective efforts
of many individuals. The Popov criterion was originally proved by Popov (1961) using a
method quite different from what is given here. This method is nowcalled the hyperstability
method; see Popov (1973). The proof given here, which demonstrates the existence of a
Lyapunov function if certain frequency-domain conditions are satisfied, requires the so-
called Kalman-Yacubovitch lemma, discovered independently by Kalman (1962) and
Yacubovitch (1964). The circle criterion, based on the Kalman-Yacubovitch lemma, was
proved by Narendra and Goldwyn (1964). See Narendra and Taylor (1973) for a book-
length treatment of this topic.
Malkin and Massera were again instrumental in proving that some of the Lyapunov
theorems were "reversible" and proved most of the contents of Section 5.7. The applica-
tions of the converse theorems found in Section 5.8 are due to various authors. The analysis
of slowly-varying systems is found in the thesis of Barman (1973), with earlier efforts for
linear systems due to Desoer (1969) and (1970). The proof that the observer-controller stra-
tegy works for nonlinear systems is due to Vidyasagar (1980b). The result on the stability of
hierarchical systems is found in Vidyasagar (l980c), and is a generalization of an earlier
result due to Michel et at. (1978).
6. INPUT-OUTPUT STABILITY
Inthis chapter, we present the basic results of input-output stability theory. This theory is
much more recent in origin than Lyapunov theory, having been pioneered by Sandberg and
Zames in the 1960's [see Sandberg (1964, 1965a, 1965b), Zames (l966a, 1966b)]. While
this chapter contains most of the principal results of the subject, the treatment is by no means
encyclopaedic. The reader is referred to Desoer and Vidyasagar (1975) for a thorough dis-
cussion of the subject.
Before proceeding to the study of input-output stability, it is necessary to reconcile the
input-output approach to system analysis and the state variable methods employed in the
preceding chapters. The methods of the preceding four chapters are predicated on the sys-
tem under study being governed by a set of differential equations which describe the time
evolution of the system state variables. Incontrast, the systems encountered in this chapter
are assumed to be described by an input-output mapping that assigns, to each input, a
corresponding output. Inview of this seeming dichotomy, it is important to realize that an
input-output representation and a state variable representation are two different ways of
looking at the same system-the two types of representation are used because they each give
a different kind of insight into how the system works. It is now known that, not only does
there exist a close relationship between the input-output representation and the state
representation of a given system, but that there also exists a very close relationship between
the kinds of stability results that one can obtain using the two approaches.
At this stage one may well ask: Why not simply use one of the two approaches-why
use both? The answer is that while the two approaches are related, they are not equivalent.
Since, in analyzing a system, we would like to have as many answers as we can, it is desir-
able to have both the approaches at our disposal, each yielding its own set of insights and
information.
Finally, it should be mentioned that many of the arguments and proofs in input-output
theory are conceptually clearer than their Lyapunov stability counterparts. Compare the
proofs of the circle criterion and the Popov criterion in the two approaches, for example.
Also, analyzing distributed systems ~ . g . systems containing delays) in an input-output set-
ting is no more complicated than analyzing lumped systems. In contrast, in the case of
Lyapunov stability, analyzing time-delay systems, for example, is substantially more com-
plicated than analyzing ordinary differential equations [see e.g., Hale (1977)]. On the other
hand, at a first glance at least, understanding input-output theory would appear to require a
greater background in mathematics than understanding Lyapunov theory, since input-
output theory makes reference to advanced concepts such as Lebesgue spaces and so on. In
many ways, this impression is misleading. As shown subsequently, there are only a few
places where the full power of Lebesgue theory is needed, and almost everywhere one can
270
Sec.6.1
Lp-Spaces and Their Extensions 271
get by with the more familiar notion of Riemann integration. Part of the objective of this
chapter is to make input-output theory as accessible to the student as Lyapunov theory.
6.1 Lp.SPACES AND THEIREXTENSIONS
In this section, a brief introduction is given to the Lebesgue spaces L
p
and their exten-
sions, and to the concepts of truncations and causality. Much of input-output stability
theory, including the problem statements and the stability theorems, is couched in these
terms, so that a certain degree of familiarity with these concepts is necessary to appreciate
input-output theory. On the other hand, most of the input-output results given here do not
require any deep results from Lebesgue theory other than the completeness of the L
p
spaces,
so that the pedestrian treatment given below is sufficient for the present purposes.
6.1.1 Lp.Spaces
The reader is undoubtedly familiar with the idea of Riemann integration, as taught in
undergraduate calculus. While this is a fine idea, there are many "reasonable" functions that
are not Riemann integrable. For example, supposef :R+ ~ R+ is defined byf (x) = I if x is
rational, and f (x) =if x is irrational. Then every interval contains an x such that f (x) =
and a y such that f lv) = I. Hence f is not Riemann integrable. This shows the need for a
more general concept of integration.
There is another argument as well: Consider the set C[0, I] of continuous real-valued
functions defined on the interval [0, I], together with the norm
1 \ I I f l l ~ max If(t)1.
IE [0.1]
(The reason for the subscript 00 becomes apparent later.) Then convergence in the norm
I I I I ~ is just uniform convergence over [0, I]. Now it is well-known that if a sequence of
continuous functions converges uniformly to a function f('), thenf() is also continuous; see
e.g., Royden (1963). Hence the normed space {C[O, I], I I I I ~ } is a Banach space in the
sense of Definition (2.1.24): In contrast, suppose we define the norm
Then convergence in the norm II 11
2
is just mean-squared convergence. Now there exist
discontinuous functions j(.) which are the limit, in the norm II 11
2
, of a sequence of continu-
ous functions. For example, let
3
{
O, tE [0, 0.5),
f(t) =
I, tE [0.5, I].
Then the Fourier series expansion of f(') converges to f(') in the norm II 11
2
, Thus the
272 Input-Output Stability Ch.6
nonned space {C [0, 1], II 11
2
} is not complete. This leads us to ask how one may enlarge the
set C [0, 1] such that the resulting set is in fact complete under the norm II 11
2
, This too is
another motivation for studying Lp-spaces. Unfortunately even a modest discussion of the
Lebesgue theory of measure and integration would either be very lengthy, or if it is too short,
potentially misleading. We mention that a functionf: R+ R is measurable if and only if
f (r) is the limit of a sequence of staircase (or piecewise-constant) functions at all t except
those belonging to a set of measure zero. A reader who has no prior acquaintance with the
Lebesgue theory of measure and integration can simply think of all functions encountered
below as piecewise-continuous functions, and of all integrals as Riemann integrals. This
would lead to no conceptual difficulties and no loss of insight, except that occasionally some
results from Lebesgue theory would have to be accepted on faith.
4 Definition For each real pE [1, 00), the set Lp[O, 00)=L
p
consists of all measurable
functions /('): R+ R such that
5 f If(t)IPdt<oo.
o
The set [0, 00)= consists ofall measurablefunctions f(): R+ R that are essentially
bounded! on [0, 00).
Thus, for pE [1, 00), L
p
[0, 00)= L
p
denotes the set of all measurable functions whose p-
th powers are absolutely integrable over [0,00), while 00) denotes the set of
essentially bounded measurable functions.
6 Example The function f (t) = e -w, a > 0, belongs to L
p
for all p E [1, 00]. The func-
tion g (t) = 1/(t +1) belongs to L
p
for each p > 1but notto L I' The function
j;(t)=[ I ]2I
P
p tl!2(l +Iogt)
where pe [1, 00), belongs to the setL
p,
but does not belong toL
q
for any q ::t-p.
7 Definition Forp e [1,00), thefunction II lip:L
p
R+ is defined by
8
[ ]
lip
IIfOllp= [If(t)IPdt .
Thefunction R+ is definedby/:
I "Essentially bounded" means "bounded except on a set of measure zero." The reader need not
worry unduly about the distinction between "bounded" and "essentially bounded."
2 The notation "ess. sup." stands for "essential supremum," i.e., supremum except on a set of
measure zero.
Sec.6.1
Lp-Spaces and Their Extensions 273
9 lifO II ~ =ess. sup. If (t) I.
IE [ O ~
Definition (7) introduces the functions II II p for pe [I, 00], which map the set L
p
into
the half-line R+. Note that, by virtue of Definition (4), the right sides of (8) and (9) are well-
defined and finite for eachj'(-je L
p

10 Fact (Minkowski's Inequality) Let pE [I, 00], and suppose fO, g()EL
p.
Then
f<') + g(')E L
p,
and
11 IlfO+ g(') II
p
:5: lifO lip + IIg0 lip.
For a detailed proof, see Royden (1963).
12 Fact For each pE [1,00], the pair (L
p,
II II p) is a normed linear space in the sense of
Definition (2.1.8).
This fact follows readily from Minkowski's inequality.
13 Fact ForeachpE [1,00], the normed linear space (L
p,
II lip) is complete and is hence
a Banach space. For p = 2, the norm II lizcorresponds to the inner product
14 <ti gO> = Jf(t)g(t)dt.
o
Thus L
z
is a Hilbert space under the innerproductof(14).
I Fact (13) brings out one of the main reasons for dealing with Lp-spaces in studying
input-output stability. We could instead work in the spaces Cp[O, 00) of all continuous func-
tionsfO in L
p,
and of course the pair (C
p'
II lip) is also a normed space. However, it is not
complete except for the special case of p = 00. Now some results in input-output theory, such
as those on the well-posedness of feedback systems, require that the problem be set up in a
Banach space so that one can apply results such as the contraction mapping principle. In
such a case, it is preferrable to work with the Lp-spaces. Note that, for each pE [1,00), the
space L
p
is precisely the completion of the space C
p;
in other words, each function in L
p
can
be approximated arbitrarily closely by a continuous function, provided p < 00. Each func-
tion in L
p
, p < 00, can be arbitrarily closely approximated by a piecewise-constant, or stair-
case function. However, neither statement is true of L;.
15
16
Fact (Holder's Inequality) Let p, qe [1, 00], and suppose
1 1
-+-=1.
P q
(Note that we take p = 00 if q = 1 and vice versa.) Suppose f(')E L
p
and g(')E L
q
. Then the
function h : R+ ~ R defined by
274
17 h(t):=f(t)g(t)
belongs to L I' Moreover,
Input -Output Stability Ch.6
The inequality (18) can be expressed more concisely as
6.1.2 Extended Lj-Spaces
20 Definition Suppose f : R+ ~ R. Then for each Te R+, the function fT: R+ ~ R is
defined by
{
f (t) , ~ t ~
21 fT(t) = 0, T < t
and is called the truncation offto the interval [0, T].
22 Definition The set L
pe
consists ofall measurable functions f : R+ ~ R with the pro-
perty thatfTe Lpfor allfinite T, and is called the extension ofL
p
or the extended Lp-space.
Thus the set L
pe
consists of all measurable functions f which have the property that
every truncation of jbelongs to L
p
, althoughfitself mayor may not belong to L
p
. It is easy to
see that L
p
is a subset of L
pe.
23 Example Let f() be defined by
f(t)=t.
Then, for each finite value of T, the function fT belongs to all the spaces L
p,
for each
pe [1. 00]. Hence the original functionfbelongs to L
pe
for eachpe [1,00]. However.j'itself
does not belong to any of the unextended spaces L
p
.
The relationship between extended and unextended spaces is brought out in the next
lemma.
24 Lemma For each pe [1,00], the set L
pe
isa linear vector space over the real numbers.
For each fixed p andfe L
pe,
(i) lifT lip is a nondecreasingfunction ofT, and (ii) fe L
p
ifand
only ifthere exists afinite constant m such that
In this case,
Sec. 6.1
L -Spaces and Their Extensions
p
275
The proof is almost obvious and is left as an exercise.
Thus, in summary, the extended space L
pe
is a linear space that contains the unextended
space L
p
as a subset. Notice however that L
p
is a normed space while L
pe
is not.
In order to deal with multi-input multi-output systems, we introduce the set L; which
consists of all n-tuplesf= [ft ... fS where.j.s L
p
for each i. The norm on L; is defined by
27
In other words, the norm of a vector-valued function is the square root of the sum of the
norms ofthe components of the vector. This definition is to some extent arbitrary but has the
advantage that L'2 is a Hilbert space with this definition. The symbol L;e is defined analo-
gously. Note that hereafter the symbols lifTlip and IIfll Tp are used interchangeably. Also,
the same symbol II II p is used to denote the norm on L; for all integers n.
6.1.3 Causality
This section is concluded with an introduction to the concept of causality. If we think
of a mapping A as representing a system and of Afas the output of the systemcorresponding
to the inputj, then a causal system is one where the value of the output at time t depends only
on the values of the input up to time t. This is made precise next.
3
28 I Definition A mapping A : L;e ---7 L;e is said to be causal if
29 (Afh=(AfTh, i T ~ O 'ifEL;e'
An alternative formulation of causality is provided by the following.
30 Lemma Let A: L;e ---7 L;e' Then A is causal in the sense ofDefinition (28) if and only
if
Proof "If' Suppose A satisfies (31). Then it must be shown that A satisfies (29).
Accordingly, letfEL;e and T ~ O be arbitrary. Then clearly fT=(fTh, so that by (31) we
have
3 Throughout this chapter, for the most part bold-faced symbols are not used, since the various
quantities can be either scalars or vectors.
276 Input-Output Stability Ch.6
ift =0,
if 0 < t < 1,
if 1$ t.
Since the above holds for alljE L ~ e and all T ~ O A is causal.
"Only if' Suppose A is causal in the sense of Definition (28). Suppose j, gE L ~ e and
thatfT=gT for some T ~ O it must be shown that (Af)T = (Ag)T. For this purpose, note that,
by (29), we have
33 (Af)T =(AfT)T, (Ag)T =(Ag
T
)T
Moreover, since [r =Sr- (33) implies that
which was the thing to be proved.
Definition (28) and Lemma (30) provide two alternative but entirely equivalent
interpretations of causality. Definition (28) states that a mapping A is causal if any trunca-
tion of Ajto an interval [0, T] depends only on the corresponding truncation [r- To put it
another way, the values of (Af)(t) over [0, T] depend only on the values of j (r) over [0, T].
Lemma (30) states that A is causal if, whenever two inputs are equal over an interval [0, T],
the corresponding outputs are also equal over the same interval.
Problem 6.1 Determine whether each of the following functions below belongs to any
of the unextended spaces L
p
and to any of the extended spaces L
pe
:
(a) j(t)=texp(-t)
(b) j(t)=tant.
(c) j(t)=exp(t2).
f
o'
(d) j (t) = lit
2
,
lit,
Problem 6.2 Prove Lemma (24).
Problem6.3 Suppose H: L
pe
~ Lpe has the form
(Hf)(t) = fh(t, 't)j('t)d't.
o
Show that the operator H is causal if and only if
Sec. 6.2 Definitions ofInput-Output Stability 277
h (t, r) = 0 whenever t < 'to
6.2 DEFINITIONS OF INPUT-OUTPUT STABILITY
In this section, the basic definitions of input-output stability are introduced and illus-
trated.
It is traditional to define input-output stability as a property of relations rather than
operators. Suppose X is a set. A binary relation on X is a subset of X
2
. Suppose R is a
binary relation on X. Then we say that XE X is related to yE X if the ordered pair (x, Y)E R.
Suppose A : X ~ s a mapping. Then A defines a binary relation R, onX, namely
1 RA={(x,Ax):XEXj.
The converse need not be true: Not all binary relations are of the form (I). Suppose R is a
binary relation on X. Then, for a particular XE X, there might not exist any yE X such that
(x, y)E R; or else there might exist many (possibly infinitely many) yE Xsuch that (x, y)E R.
Thus relations make it easy to think about and to work with "multi-valued" mappings which
might assign more than one value to an argument, and with "partial" mappings whose
domain need not equal all of X.
2 Definition Suppose R is a binary relation on L
pe.
Then R is said to be Lp-stable if
R is Lp-stable with finite gain (wfg) if it is Lp-stable, and in addition there exist finite con-
stants YP and b
p
such that
R is Lp-stable with finite gain and zero bias (wb) if it is Lp-stable, and in addition there
exists afinite constant Yp such that
Since the abbreviation "wfgazb" is unpronounceable, let us agree to use "wb" as a short
form for "with finite gain and zero bias." One might interpret "wb" as "without bias."
Remarks
1. Clearly Lp-stability wb implies implies Lp-stability wfg, which in turn implies
Lp-stability. Example (7) below shows that these three concepts are indeed
independent.
2. Suppose that, for a particular XE L
p
, no yE L
pe
exists such that (x, Y)E R. Then the
conditions (3), (4) and (5) are deemed to be satisfied vacuously.
278 Input-Output Stability Ch.6
6 Definition Suppose A: L;e L;e' Then the map A is said to be Lp-stable (wfg, wb) if
and only if the corresponding binary relation R
A
on L;e defined by (1) is Lp-stable (wjg, wb).
7 Example Consider the functionsj, g, h:R Rdefined by
j (r) = r
2
, g (r) = r+l, h(r) =log (l + r
2
) .
Define an operator F: by
(Fx)(t)=f[x(t)],
and define G, H: analogously. Then Fis but not with finite
gain. Note that XE implies that FXE but no constants b: can be found such that
(4) holds. This is because the function j (r) cannot be bounded by any straight line of the
form yr +b; see Figure 6.1. G is wfg, but not wb, since G (0) "#0. His
wb.
b
-yx + b
!""'"o::::;... x
Fig.6.l
8 Example Consider the mapping A defined by
(Af)(t) = f exp [- a(t - t)]f (r) dt; "it 0,
D
where a > 0 is a given constant, and suppose it is desired to study the -stability of this sys-
tem. First it is established that A maps the extended space into itself, so that A is in the
class of mappings covered by Definition (6). Accordingly, supposejE Then IIfr is
finite for all finite T. Hence, for each finite T, there exists a finite constant mT such that
If(t) I "itE [0, T].
Here the term "a.e." stands for "almost everywhere," i.e., except on a set of measure zero;
hereafter this phrase is omitted, it being implicitly understood. To show that g
suppose Tis some finite number. Then
Sec. 6.2 Definitions of Input-Output Stability 279
Ig(t)1 s Jexp[-a(t-'t) If('t) 1ds:
o
sJmTexp[-a(t-'t)d't
o
Hence gO is bounded over [0, T). Since the argument can be repeated for each T, it follows
thatgELooe,i.e.,A
Next, it is shown that A is wb in the sense of Definition (6). Supposej'e Lc.
Then there exists a finite constant m such that
If(t)1 <m,
Using exactly the same reasoning as before, it can be shown that
m
IAf(t)1 $;-,
a
Hence (5) is satisfied with = lIa, which shows that A is wb.
9 Example Consider the systemwhose input -output relationship is
(Af)(t) =Jexp(t-'t)f('t)d't.
o
This mapping A also maps into itself. To see this, let fE L
ooe
Then, for each finite T,
there exists a finite constant mT such that
If(t)1 $;mT, '1tE[O, T).
Thus, whenever tE [0, T), we have
10 I(Af)(t) 1$;mT Jlexp(t-'t)1 d't$;mT(e
T
-1).
o
Now, for each finite T, the right sideof(10) is a finite number.
On the other hand, A is not as can be seen by setting f (t) =. 1, '1t. Then
fOE but
280 Input-Output Stability
I
(Af)(t) =f exp(t-t)dt=e
l
-1,
o
Ch.6
which clearly does not belong to L_ (even though it does belong to L_
e
) . Hence there is at
least one input in L_ for which the corresponding output does not belong to L_. This shows
that A is not L_-stable .
Remarks Example (9) illustrates the advantages of setting up the input-output stabil-
ity problem in extended Lp-spaces. If we deal exclusively with Lp-stable systems, then such
a system can be represented as a mapping from L
p
(the unextended space) into itself, rather
than as a mapping from Lpe into itself. However, if we are interested in studying unstable
systems (for example, the feedback stability of systems containing unstable subsystems),
then we must have a way of mathematically describing such a system. This is accomplished
by treating such a system as a mapping from L
pe
into itself.
The next result shows that, for causal operators, stability in its various forms has some
useful consequences.
11 Lemma Suppose A: L ~ ~ L is causal and Lp-stable wfg, and choose constants 'Y
p
andb
p
such that
Then
However, since A is causal, (AxT)T = (Ax )T' Hence
15 IIAx II
Tp
=II(Ax)T lip=IIAx
TII Tp
:O:; IIAx
T
li
p'
Now (13) follows from (14) and (15).
The analog of Lemma (11) for L
p
-stable operators wb follows simply by setting b
p
= O.
Note that one can also define a notion of causality for relations, and prove a result similar to
Lemma (11); the details are left to the reader.
16 Lemma Suppose A : L ~ e ~ L;e is linear. Then A is Lp-stable wfg if and only if it is
Lp-stable wb.
Proof "If' Obvious.
Sec. 6.2 Definitions ofInput-Output Stability 281
"Only if' Suppose A is Lp-stable wfg, and select constants 'Y
p
b
p
such that (12) holds.
Let k be any number. Then. by (12) and linearity.
17 IIA(kx) lip-;;''Y
p
IIkx lip+b
p
18 IIAxllp-;;''Ypllxllp+(b/k).
Letting k ~ 00 shows that A is Lp-stable wb.
Next. the notion of Lp-gain is made precise. Up to now. if a relation R is Lp-stable. then
'Y
p
can be any constant such that (4) holds. Now this arbitrariness is removed.
19 Definition Suppose R is a binary relation on ~ e If R is Lp-stable wfg, then the Lp'
gain of R is defined as
20 'Yp(R):=inf{'Y
p:
3 b
p
~ O such that (4) holds).
IfR is Lpstable, then the Lp-gain with zero bias of R is defined as
21 'Yp(R) :=inf{'Y
p:
(5) holds).
Note that both quantities are denoted by 'Yp(R). the context making clear which is
meant. IfA : ~ e ~ ~ e then the quantity 'Yp(A) is defined to be 'YP(R
A
) .
Thus far we have discussed what might be called "open-loop" stability. But one of the
main applications of input-output theory is the stability analysis of feedback systems. of the
form shown in Figure 6.2. In this system. it is assumed that u I. e 1. Y2 are vector-valued
functions.with n 1 components each. and that U2. e2. Y 1 are vector-valued functions with n2
components each. To be specific. supposepE [I. 00] is given. and that
+
YI
Y2
Fig. 6.2
23 L
nz
u2. e2.y,E pe :
Then the overall feedback system is described by the equations
282 Input-Output Stability Ch.6
These equations can be written in a more compact form. Let n = n I + n 2, and define
u, e, yE L;e by
2S u=[::].e=[::].Y=[::]
and note that F is a constant matrix, known as the interconnection matrix. Then the equa-
tions of the feedback systemcan be expressed as
27 e =u -Fy, y =Ge.
On the basis of (27), we can define two binary relations Rue and R
uy
on L;e' To define
Rue' eliminate y from (27) to obtain
28 e =u -FGe, or (I +FG)e =u.
To define R
uy,
eliminate e from (27) to obtain
29 y =G(u -Fy).
Note that we cannot in general expand G (u - Fy) as Gu - GFy, since G need not be linear.
Now the binary relations Rueand R
uy
are defined as follows:
30 Rue={(u,
31 R
uy
= {(u, =G(u -Fy)}.
32 Definition The feedback system (27) is Lp.stable (u-e) ifthe relation Rue is L
p
-stable;
it is Lp-stable (u-y) ifthe relation R
uy
is Lp-stable. Finally, it is Lp-stable (u-e-y) ifboth Rue
and R
uy
are i;-stable.
The next lemma shows that we do not need quite so many concepts of stability.
33 Lemma The following three statements are equivalent:
(i) Rueis Lp-stable.
Sec. 6.2 Definitions of Input-Output Stability 283
(ii) R
uy
is Lp-stable.
(iii) Both Rue and R
uy
are L
p
-stable.
Proof Clearly it is enough to show that (i) and (ii) are equivalent.
(ij e- (ii): Suppose (i) is true, i.e., that Rue is Lp-stable. Let (u, Y)E R
uy
be arbitrary.
Then, from (27), the ordered pair
34 (u, u - FY)ERue.
Now suppose UE (not It is desired to show that yE For this purpose, note that
uE and the L
p
-stability of Rue together imply that
35 e =u
But since F is just a constant nonsingular matrix, (35) implies that
Since the same argument can be repeated for every it follows that
37 (u,
In other words, R
uy
is t., -stable.
(ii) :::;> (i): The proof is quite similar to the above. Suppose R
uy
is Lp-stable, and suppose
(u, e)ER
ue'
Then (u, Ge)ER
uy'
If then the Lp-stability of R
uy
implies that
Since F is just a constant matrix, this in tum implies that FGeE Finallye = u - FGeE
Hence Rue is Lp-stable.
Lemma (33) allows us to say simply "the feedback system is Lp-stable" without speci-
fying whether we mean u-e, u-y, or u-e-y. It is left to the reader to modify Definition (32) to
define Lp-stability wfg and wb, and to prove the analogs of Lemma (33).
In Lemma (33), the proof of the implication (ii):::;> (i) depends only on the fact that F is
a constant matrix, whereas the proof of the implication (i) :::;> (ii) depends on the fact that F is
a constant nonsingular matrix. The nonsingularity of F is a special feature of the feedback
configuration, and is not true in general. For instance, consider the system shown in Figure
6.3, known as a multi-controller configuration. In this case,
38 F= ,
-100
which is singular. Hence, in an arbitrary interconnected system, u-y stability implies u-e
stability, but the converse need not be true.
284 Input-Output Stability Ch.6
Y2
+
+
YI
+
Fig. 6.3
Y3 + u3
Now that the stability definitions are out of the way, we can at last discuss the reason for
introducing relations, and speaking of the stability of relations (rather than operators). The
reason simply is to divorce the notion of stability from that of well-posedness. Stability is
defined above. Roughly speaking, well-posedness corresponds to the existence and unique-
ness of solutions for e and y for each choice of u, though one may wish to add requirements
of causality, continuous dependence, etc. Thus a possible definition of well-posedness is
that (I +FGr
l
is a well-defined causal map from L ~ e into itself. This would allow one to
solve (28) for e and write
But well-posedness places no restrictions on stability. Conversely, u-e stability of (27)
means that, for each UE L ~ if any eE L ~ e satisfy (28), then such e must in fact belong to L ~
If, for a particular UE L ~ no eE L ~ satisfies (28), then this condition is deemed to be satisfied
vacuously. In this way, stability and well-posedness become independent concepts. This is
desirable since well-posedness can be ensured under quite mild conditions, whereas stabil-
ity is more difficult to analyze. Roughly speaking, the feedback system is well-posed if
either G I or G
2
contains some element of smoothing; see Vidyasagar (1980a) or Saeki and
Araki (1982).
6.3 RELATIONSHIPSBETWEENI/OAND LYAPUNOV STABILITY
In Chapter 5 we studied Lyapunov stability, which is defined for unforced ordinary dif-
ferential equations; there is no input, and the system evolves under the influence of a
nonzero initial state. In contrast, in the present chapter, the word "state" is not mentioned at
all, and attention is focused on the influence of inputs upon outputs. It is therefore
worthwhile to relate the two types of stability, and to underline the point that both
approaches tackle different facets of the same underlying issue. This is the objective of the
present section.
We begin with a discussion of open-loop stability, and then study feedback systems.
Let us begin with a discussion of linear systems of the form
Sec. 6.3
1 x(t)=Ax(t)+Bu(t),
2 y(t) = Cx(t) + Du(t),
I/O and Lyapunov Stability 285
where A, B, C, D are all constant matrices. The transfer matrix of this system is
The system (1-2) is said to be stabilizable if there exists a matrix K such that A- BK is
Hurwitz, and is !,etectable if there exists a matrix F such that A - FC is Hurwitz. As for the
transfer matrix H, it will be seen in the next section that it represents an (i.e.,
BIBO stable) system if and only if all poles of H have negative real parts. Now the follow-
ing result is well-known [Kailath (1980), Chen (1986)]:
4 Theorem Suppose the system (I -2) is stabilizable and detectable. Under these con-
ditions. the system is ifand only ifthe associated unforced system
5 x(t) = Ax(t)
is (globally) asymptotically stable.
For an extension of Theorem (4) to linear time-varying systems, see Silverman and
Anderson (1966) for the continuous-time case and Anderson (1982) for the discrete-time
case.
The converse of Theorem (4) is even simpler.
6 Theorem Suppose the system (5) is asymptotically stable. Then the system (I -2) is
L
p
-stablefor each p E [l, 00]'
Now let us consider nonlinear systems of the form
7 x(t) = f[t, x(t), u(t)], y(t) = g[t, x(t), u(t)], \it O.
8 C(t, 0,0) =0, g(t, 0,0) = 0, \it O.
This ensures that 0 is an equilibrium of the unforced system
9 x(t)=f[t, x(t),O],
To make the theorem statements more compact, some notation and definitions are now
introduced. The first one is a "local" version of Definition (6.2.2).
10 Definition The system (7) is small signal Lp-stable wb ifthere exist constants r
p
> 0
and Yp < 00 such that
286 Input-Output Stability Ch.6
Note that, even if IIu(t) II r
p
'Vt (which is equivalent to saying that IIu r
p
) ,
the norm IIu IIp can be arbitrarily large if p < 00. Hence small signal Lp-stability does not
necessarily mean that the inputs have to be small in the sense of the Lp-nonn; rather, only
their instantaneous values need to be small.
The next two concepts involve the state as well, but are restricted to autonomous sys-
tems. It is possible to extend these notions to nonautonomous systems, but at the price of a
considerable increase in complexity. To define these concepts, let s(t, T, X, u) denote the
solution of (7) evaluated at time t, starting at time T in the initial state x, and with the input u.
12 Definition The system (7) is reachable if there exist afunction ofclass K and a con-
stant r >0 such that, for each XE B" there exist a time t* and an input u * such that
IIu* x II) and s(t *, 0,0, u*) =x. It is globally reachable if the preceding statement
holdsforall xe R
n

The conditions of the definition mean simply that every state.x in B, can be reached
within a finite time by applying an input whose -nonn is bounded by IIx II).
13 Definition The system (7) is uniformly observable if there exists a function a of
class Ksuch that, with u(t) == 0, we have
14 Ilg[, s(, 0, x, 0)] 11
2

The inequality (14) can be stated more concisely (but less precisely) as
IIy 11
2
a( IIx II). If then (14) is deemed to be satisfied since, loosely speaking,
IIy 11
2
=00. For a linear time-invariant system, uniform observability is equivalent to the
standard notion of observability. This is because, with zero input, the output depends only
on the initial state. If the system is unobservable, then there exists a nonzero initial state
which (with zero input) will produce an identically zero output, so that (14) is violated. On
the other hand, if the system is observable, then it is not difficult to show that (14) is satisfied.
Now the main theorems relating input-output stability and Lyapunov stability of the
system (7) are presented. Theorem (15) is a nonlinear analog of Theorem (6).
15 Theorem Suppose 0 is an exponentially stable equilibrium of (9), that f is C1, and
that f, g are locally Lipschitz continuous at (0, 0), i.e., suppose there exist finite constants
k
j
, kg, r such that
16 IIf(t, x, u)-f(t, Z, V)II + lIu-vll], 'V(x, u),(Z, V)EB
n
17 IIg(t, x, u) -g(t, Z, v) II rIIx- ZII + IIu -vII], 'Vt 'V(x, U),(Z, V)EB
n
Then the system (7) is small signal L
p
-stable wb for each pE [I, 00]. If 0 is a globally
exponentially stable equilibrium, and (16) and (17) hold with B, replaced by R(n+m), then
the system (7) is L
p
-stable wbfor all pE [1, 00].
Sec. 6.3 I/O and Lyapunov Stability 287
Proof The condition (16) implies that
where Dzf denotes the partial derivative of f with respect to its second argument. Thus all
the hypotheses of Corollary (5.7.77) are satisfied, and there exist a C
1
function
V: R+xR
n
R and constants 1I, y, s > 0 such that
19 Vu(t, 'VxEB
s
'
20 IID
z
V(t , x)11 'VxEB
s
'
where
21 Vu(t, x) = D 1V(t, x) + D
z
V(t, x) f(t, x, 0)
denotes the derivative of Valong the trajectories of the unforced system (9).
Let 0=min {r, s }, and suppose U is a fixed input with the property that
22 I () I < . {1I0 } -'
U t - nun .r -. u,
and suppose x(O) = O.
Evaluate the derivative of V[t, x(t)] along the trajectories of the forced system (7), and
denote it by Vf' Then
23 VIt, x) =DI V(t, x) +D
z
V(t, x) f(t, x, u)
=D I V(t, x) + D
z
V(t, x) f(t, x, 0) + D
z
V(t, x)[f(t, x, u) -f(t, x, 0)]
= Vu(t, x) + D
z
V (r, x) [f(t, x, u) - f(t, x, 0)]
+yk
fllxll'lIull,
if(x, u)EB
o,
where in the last step we use (16), (19) and (20). Now, since x(O) =0, there exists a time
T> 0 such that X(t)E B, for all tE [0, Ty. Moreover, the right side of (23) is negative when-
ever II x II > Yk
f
II U II. Hence one can easily show that
From (24) and (19) it follows that
288
2S
.
IIxll s}.
a
Input-Output Stability Ch.6
26
This last observation removes the circularity in the argument, and shows that
IIx(t) II s mint, s} Now,from(l9) and (23), it follows that
d 1 yk
f
-d{V[t, V[t, x(t)]+-{V[t, X(t)]}ll2 lIu(t)II.
t a
Let W(t) =V[t, x(t)] 112. Then W (t) is differentiable except when x(t) =0, and is direction-
ally differentiable even there. Hence the one-sided derivative
27
W+(t)= lim
h
exists for all t For notational convenience the subscript "+" is dropped hereafter. Now
V = 2WW; hence it follows from (26) that
28
or
29
. 1 yk
f
W
2+-W
lIull,
a
. 1 yk
f
W(t)+-lIu(t)lI,
2a
Let h (r) denote the solution of
30
. 1 yk
f
h(t) +-2h (t) = -2 lIu(t) II, h(O) = W(O).
a
31
Then (29) implies that W (t) (t) \it But note that hO isjust the output of an Lp-stable
first-order systemwith the transfer function
A yk/la
g(s) = s +
driven by the input IIu(t) II. Now lIu(') IIEL
p
since uEL;. By Theorem (6.4.30), it follows
thath(')E L
p
, which in turn implies that W(')EL
p
' Since
32 IIx(t) II s {V[t, x(t)]} 112la=W(t)/a,
it follows that X(')E L;. Finally (17) and (8) imply that
33 lIy(t) II = IIg[t, x(t), u(t)] II k
g
[ IIx(t) II + IIu(t) II],
whence y(')E Lb.
Sec. 6.3 I/O and Lyapunov Stability 289
To complete the proof of small signal Lp-stability, it only remains to demonstrate the
existence of a constant Yp such that (II) holds. For this purpose, note that the inverse
Laplace transform of gof (31) is
34
Yk
f
g(t)= 2a
37
Therefore,
Hence, by (6.4.31), it follows from (30) that
36
Since W(r) <h (t) 'v't, (36) and (32)together imply that
Yk
f
lIulip'
4a
Finally, we can conclude from (37) and (33) that
The proof of the "global" result is entirely parallel.
The ,nexttheorem is a nonlinear analog ofTheorem(4).
39 Theorem Suppose the system (7) is autonomous, reachable. and uniformly observ-
able. Under these conditions, ifthe system is small signal Lrstable, then 0 is an attractive
equilibriumof(9).
Proof Since the system (9) is assumed to be small signal Lp-stable, there exist con-
stants r z and Y2 > 0 such that
Now, since (7) is reachable, there exist a constant r > 0 and a function of class K satisfying
the conditions of Definition (12). Choose 0> 0 such that < r i. and let "oE Bs be arbi-
trary. Then, by definition, there is an input u() with II u II cc II "0 II)< r z and a finite time
t* such that s(t*, 0,0, u) ="0. Since s(t*, 0,0, u) depends only on the values of u(t) for
tE [0, t*), we can assume that u(t) = 0 for t t*, which, together with II u II cc < "0 II),
means that UE LT. Now consider the solution trajectory s(t, 0, "0, 0) of the unforced system
(9). Since (7) is an autonomous system, we see that s(t, 0, "0, 0) =s(t* +t, 0,0, u). By
small signal Lrstability, we know that the corresponding output y belongs to since
UE LT, which implies that
290
41 f
I
Input-Output Stability Ch.6
Now, by the definition (13) of uniform observability,
42 f IIY('t)1I
2d't:2:a(IIXoII),
o
provided u(t) =0 for all t:2: O. Again, by using the time-invariance of the system and noting
thatu(t) = 0 for all t:2: t*, it follows that
43 f lIy('t) 11
2
d't:2:a( IIx(t) II), Vt :2:t*.
I
Now (41) and (43) show that c( IIx(t) II) 0 as t 00, which in tum shows that x(t) 0 as
.
44 Corollary Suppose the system (7) is autonomous. globally reachable, and uniformly
observable. Under these conditions, ifthe system is L
2
-stable, then 0 is a globally attractive
equilibrium of(9).
The proof is analogous to that of Theorem (39) and is thus omitted.
Thus far, attention has been restricted to "open-loop" systems. Next, Theorem (15) and
Corollary (44) are used to relate the external and internal stability of the feedback system
shown in Figure 6.4, which is the same as Figure 5.15. This system is described by
45 x(t) =Ax(t) +Be(t), y(t) =Cx(t), e(t) =u(t) -cD[t. y(t)],
where X(t)ER", U(t)ER", y(t)E R
I
, and A, B, C are matrices of compatible dimensions;
and cD: R+xR
I
R" satisfies cD(t, 0) =0 Vt :2: o.
46 Theorem Consider the system (45), and suppose cD is globally Lipschitz continuous;
i.e., suppose there exists afinite constant /..l such that
Under these conditions, if the unforced system is globally exponentially stable, then the
Sec. 6.3 I/O and Lyapunov Stability 291
forced system is Lp-stable wbforall pE [1, 00]. Suppose the pair (A, B) is controllable, and
the pair (C, A) is observable. Under these conditions, iftheforced system is Lz-stable, then
x = 0 is a globally attractive equilibriumofthe unforced system.
Proof The system (45) can be written as
48 x(t)=Ax(t)-B<I>[t, Cx(t)]+Bu(t).
First, suppose (47) is satisfied. Then the right side of (4&) is globally Lipschitz continuous in
x and u. Hence, by Theorem (15), if x =0 is a globally exponentially stable equilibrium of
the unforced system, then the forced system is L
p
-stable wb for all p E 1, 00].
Next, suppose the forced system (48) is Lz-stable. If it can be shown that the system is
reachable and uniformly observable, then the global attractivity of x = 0 would follow from
Corollary (44). To show that (48) is reachable, letXoER" be arbitrary. Then, since (A, B) is
a controllable pair, there exists a finite time t* and a continuous function e(t), tE [0, t* ] such
that the resulting solution of x = Ax + Be starting at x(O) = 0 satisfies x(t*) = Xo. Now apply
the control signal
49 u(t) =e(t)-<I>[t, Cx(t)]
to the system (48). Then it is clear that once again we will have x(t*) = Xo. Showing that
IIu IIoe is bounded by a function of the form IIXo II) is easy and is left as an exercise. To
prove that the system (48) is uniformly observable, suppose u(t)=O. Then, since (C, A) is
an observable pair, there exist a time Tandconstants a, b > 0 such that
T
50 IIx(O) II2:::;; f [a lIe(t) 11
2
+b IIy(t) 11
2]
dt.
o
\The proof of this statement is not difficult and is left as an exercise. Hence
51
Now note thatifu =0, then e(t) =-<I>[t, y(t)]. Since
52 1llI>[t, y(t)]:::;;Jl"y(t) 11
2,

it follows that
Combining (50) and (53) shows that
54
This shows that (48) is uniformly observable. Now Corollary (44) enables one to conclude
that the equilibrium x =0 is globally attractive.
292 Input-Output Stability Ch.6
Problem 6.4 Prove Theorem (15) in the special case where f and g are autonomous,
and f is C
2
.as follows: Define
A:= .
x=o
Using Theorem (5.8.l), show that A IS a Hurwitz matrix. Define the higher order
"remainder term"
f, (x) =f(x) - Ax.
Then rewrite (7) in the form
x(t) = Ax(t) + fdx(t)] + (f[x(t), u(t)]- f(x(t), O)}.
Interpret this equation as the exponentially stable system x = Ax driven by an input which
itself depends on x. Construct an implicit inequality bounding x(t) and then use Gronwall's
inequality [Lemma (5.7.1)] to get an explicit bound on x(t).
Problem 6.5 Repeat Problem 6.4 for the case where f and g might be time-varying by
using Bellman's inequality instead of the Gronwall inequality. Bellman's inequality (which
is an extension of Gronwall's inequality) is as follows: Suppose a('), bO, cO are continu-
ous functions defined on the interval [0,00), and that b(t), c(t) are nonnegative for all t 0.
Suppose that the function u() satisfies the implicit inequality
t
u(t)$;a(t)+b(t)f c('t)u('t)d't,
o
Then
Problem6.6 Extend Theorem (6.3.46) to time-varying systems.
6.4 OPEN-LOOPSTABILITYOF LINEARSYSTEMS
Before attempting to study the stability of interconnected systems such as in Figure 6.2,
it is helpful first to obtain conditions under which the operators G I and G
2
represent L
p
-
stable subsystems. In this section, we concentrate on linear systems and obtain necessary
and sufficient conditions for a linear system to be L
p-stable.
The term open-loop stability
refers to the fact that we study the subsystems G I and G
2
individually, rather than the
overall closed-loop system, which is described by (6.2.24).
Sec. 6.4 Open-Loop Stability 293
6.4.1 Time-InvariantSystems
Throughout most of this subsection, attention is restricted to single-input, single-
output (SISO) systems. Once the SISO case is thoroughly analyzed, the results for the
MIMO (multi-input, multi-output) case follow easily. Considera SISO time-invariant sys-
tem, which is characterized by a scalar transfer function h(s). Ifh(s) is a rational function of
s (i.e., a ratio of two polynomials in s), then it is well-known that such a system is L_-stable
(BIBO stable) if and only if
A
I. is a proper rational function (i.e., the degree of the numerator polynomial of
h is less than or equal to that of the denominator polynomial), and
A
2. All poles ofh have negati ve real parts.
A
However, situation is more complicated if h(s) is not rational. Such a situation arises
whenever hO is the transfer function of a distributed system, suchas an RC transmission
line (integrated circuit), an LC transmission line (power line), or if h(-) a simple
delay, etc. Inwhat follows, precise conditions are given under which a scalar h(s) (rational
or irrational) represents an Lp-stable system. These conditions illustrate one of the chief
advantages ofthe input-output approach to stability, namely, that it places lumped systems
[rational h(s)] and distributed systems [irrational h(s)] in a unified framework; this is much
harder to achieve using Lyapunov theory.
To do this, the sets A and A are introduced. Basically (as shown later), A is the set of
BIBO stable impulse responses, while A is the set of BIBO stable transfer functions. The
precise definitions are given next.
1 Definition The symbol Adenotes the set of generalizedfunctions (distributions) f(-)
such thatf (r) =0 when t < 0, andhave theform
2 f(t)=I:,f;O(t-ti)+fa(t),ift'?O.
i=O
where 00 denotes the unit delta distribution, < t) < ... are constants. faO is a
measurablefunction. and in addition,
ee
3 I:, If; 1< 00, f Ifa(t) I dt < 00.
i=O 0
The norm IIf IIA ofa distribution in A is defined by
4 Ilf() IIA = i If; 1+ f Ifa(t) I dt.
i=O 0
The convolution oftwo distributionsf andg in A. denotedby f *g. is defined by
294 Input-Output Stability Ch.6
5 (j*g)(t)=[I(t-t)g(t)dt=[I(t)g(t-t)dt.
Thus Aconsists of all distributions that vanish for t < 0, and for t ~ 0 consist of a sum of
delayed impulses and a measurable function, with the additional property that the weights of
the impulses form an absolutely summable sequence and the measurable function is abso-
lutely integrable. One can think of A as the space L I [0, 00)augmented by delayed impulses.
Note that, in computing the convolution of two distributions, one should take
6 0(t-t)*0(t-8)=0(t-t-8),
7 o(t-t) *la(t)=la(t-t).
In other words, the convolution of two delayed unit impulses with delays of t and 8 respec-
tively is another delayed unit impulse with delay t + 8, while the convolution of a delayed
unit impulse o(t -t) and a measurable function la(t) is the delayed measurable function
la (t - r). Thus, given two elements I, g in A of the form
- -
8 I (t) ='Lii O(t- rI! +la(t), g (t) ='Le. o(t - tjg +8a(t),
~ i-=O
their convolution is given by
9 (j *g )(t) = 'L 'Liigj so - tV) - t ~
~ j ~
+ iii ga(t - tV + i gj/a(t -tjR) +fla(t -t) g (t) dt:
~ j-=O 0
10 Example The function
Il(t)=exp(-aJ)
belongs to L I and hence to A, whenever <X>O. The distribution
!2(t) = 'L I 2 o(t - iT), T> 0 given,
i-=o(i+l)
which is a sequence of evenly spaced delayed impulses, belongs to A because the sequence
weights {l/(i +1)2}is absolutely summable. However, the distribution
!3(t) = i -._1_ o(t - iT), T> 0 given,
~ 1+1
does not belong to A because the sequence (l/(i +I) I is not absolutely summable. The
Sec. 6.4
distribution
f4(t) = o(t) +exp (- r)
belongs to A and IIf4 II A =2.
Remarks
Open-Loop Stability 295
I. Note that L I is a subset of A; further, if fe L I , then
2. Iff, gE A and at least one of them is in L I (i.e., does not contain any impulses),
then f *g does not contain any impulses. This is clear from (9). It is shown subse-
quently that ii fe L I, gE A, thenf *gE L J' i.e., L I is an ideal in A.
As mentioned previously, the set A can be interpreted as the set of BIBOstable impulse
responses; in other words, a system with an impulse response h(') is BIBOstable if and only
if h(')E A. To prove this important result, we first derive some useful properties of A. These
properties imply that A is a Banach algebra with identity, and that it has no zero divisors.
[However, a reader who does not know what these terms mean need not worry about it; the
terms say nothing more than Lemma (12)].
12 Lemma The set A, together with the function II II A and the convolution *. has the
following properties:
(i) II II A is a normon A, and A is complete under this norm.
(ii) Theconvolution operation is commutative; i.e.,
13 f*g=g*f,';;ff,gEA.
(iii) The convolution operation is bilinear; i.e.,
14 f*(a.g)=a.(f*g), ';;fa.ER, ';;ff, gEA,
15 f*(g+h)=f*g+f*h, ';;ff, g, hEA.
(iv) Whenever f, ge A, we have thatf *ge A, and in fact
(v) 0(-) is the unit element of A; i.e.,
296 Input-Output Stability Ch.6
(vi) A has no divisors of the zero element; i.e.,
18 1* g =0 =!;> 1=0 or g =O.
Proof (outline) (i) It is easy to verify that /I' /I A is indeed a norm on A. The complete-
ness of Aunder this norm is more difficult to show, and the fact is stated here without proof.
(ii) and (iii) are obvious.
(iv) Supposej', ge Aare of the form (8). Then
19 (f*g)(t)=L LJigjO(t-l!)-tj8
;=0 j=O
+ i gda(t-tY +Jla(t-t)g(t)dt.
;=0 j=O 0
The first term on the right side represents the distributional part of 1* g, while the last three
terms represent the measurable part of 1* g. To compute /11* g /I A, we take each of the
terms separately. First,
Next,
I ee I ee ee
21 J I Lfiga(t-ty" IfilJ Iga(t-ty"ldt
o 1;=0 1;=0 0
1/'1].[IIg.(I)1 dl].
Similarly,
22 f: igda(t - tYJ) : dt s [i Ie, I] '[f I/a(t) I dt] .
olj=O I j=O 0
Finally,
Sec. 6.4 Open-Loop Stability 297
II I ee I
23 f:f Ifa(t-t)g(t)dt :dt$I I Ifa(t-t)ga(t) I dtdt
o 10 I 00
=I I Ifa(t-t)ga(t) I dtdt
o t
=!180) I d<-[ JIf,,(t -r) I dt] d<
= [!I 80) I d<] -[!1M) I dt] .
Note that the order of integration was interchanged after the first step. Putting together the
four bounds (20)-(23) proves (16).
(v) is obvious.
The proof of (vi) is beyond the scope of this book. The reader is instead referred to
Hille and Phillips (1957), Theorem 4.18.4.
Supposefe. A. Then, whenever Re s 0, the integral
ee
24 !(s)=ff (t) e-
s l
dt = 1: fie -Sli +!a(s)
o i;Q
converges and is well-defined. Therefore, all elements of A are Laplace-transformable, and
the region ofconvergence of the Laplace transformincludes the closed right half-plane
A
Now the set A can be introduced.
A A
26 Definition The symbol A denotes the set ofall functions f: C+ Cthat are Laplace
transforms ofelements ofA.
Thus, according tp Definition (26), "f A" is just another way of saying that the inverse
Laplace transform offbelongs to A. When we deal with feedback systems, the symbol A
comes in handy to keep the notation from proliferating.
27 Lemma Suppose f(s) is a rationalfunction ofs. Thenfe Aifand only if
298 Input-Output Stability Ch.6

(i) fisproper, and

(ii) all poles offhave negative real parts.
Proof If (i) and (ii) hold, then it is clear thatf(-), the inverse Laplace transform of f,
consists of two parts: a measurable function which is by a decaying exponential,
and possibly an impulse at time t = O. Hencefe A, i.e.,jE A. To prove the necessity of these
conditions, suppose (i) does not hold. Then f(') contains higher order impulses and there-
fore does not belong to A; if (ii) does not hold, then the measurable part of f(-) is not abso-
lutely integrable.
Having defined A, we can define its extension A
e
, in exactly the same way that one
defines L
pe
from L
p

28 Definition The set A
e
consists of all generalized functions f() which have the pro-
perty that all truncationsiToffbelong to A,for all T 0, andis calledthe extension ofA.
The set A
e
has some very useful properties. Most physical systems, even those that are
"unstable," have impulse responses that belong to A
e
[for example, consider h(t)=e
t
] .
Moreover, it can be shown that if h (t) is any regular measure that vanishes for t < 0 and has
no singular part, then the corresponding operator H defined by
29 (Hf)(t) =f h(t-t)f(t)dt
o
maps L
pe
into itself for all pe [I, 00] if and only if hs: A
e
Thus systems whose impulse
responses lie in A
e
are the most general (linear time-invariant) systems that one needs to
consider in the present context.
Now the main results of this subsection are stated and proved.
30 Theorem Consider the operator H defined by (29), where he: A
e
Then the following
four statements are equivalent:
(i) His L I -stable wb.
(ii) H is wb.
(iii) His Lp-stablewbforalipE [1, 00].
(iv) hEA.
Moreover, ifh A, then
Remarks Theorem (30) brings out fully the importance of the set A. According to this
theorem, a necessary and sufficient condition for a system of the form (29) to have anyone
of various forms of stability is that the impulse response belong to A. This justifies the
description of A as the set of stable impulse responses.
Sec. 6.4 Open-Loop Stability 299
Proof It is first proven that (iv) implies each of (i), (ii) and (iii). Accordingly, suppose
hEA.
(iv) =:> (i): li fe L" thenj'e A, and in fact
Hence, by (iv) of Lemma (12), h *fE A, and
Next, becausefcontains no impulses, neither does h *f, which means thath *fE L" and
34 IIh *flIA = IIh *fll,.
Now (33) and (34) together imply that
which shows that H is L I -stable wb.
(iv) =:> (ii): Suppose je ~ and write he:A in the form
36 h(t)=r,hjo(t-ti)+ha(t).
i=O
Then
37 (h *f)(t) = r,h;/(t-t
i)+
f ha('t)f(t-'t)d't,
i=O 0
38 I (h *f)(t) I s r, Ih
i
1lf(t -ti) 1+f Iha('t) 1 If(t-'t)1 d't
i=O 0
Since (37) holds for (almost) all t. we see that h *fE ~ and that
300 Input-Output Stability Ch.6
This shows that H is -stable wb.
(iv) (iii): This part of the proof is omitted as it is a special case of a more general
result for linear time-varying systems; see Theorem (75).
Now the reverse implications are proved.
(i) (iv): Suppose (i) is true. Since H is linear, (i) implies that H is continuous. Now,
since every element in Acan beapproximated arbitrarily closely in the sense of distributions
by an element of L I' this in tum implies that H maps A into itself. Now let! (r) =O(t); then
h *!=h * 0= h, which by assumption belongs to A. This shows that (iv) is true.
(ii) (iv): This is a special case ofTheorem(53).
(iii) (iv): Suppose (iii) is true, i.e., that H is Lp-stable for all pE [I, 00]. Then, in par-
ticular, His L I-stable. As shown above, this implies (iv).
40 Theorem Consider the operator H defined by (29), where he A. Then His L z-stable,
and
A
41 yz(H)=suplhUw)1.
0)
Remarks The main purpose of Theorem (40) is to prove the bound (41). For an arbi-
trary pE [I, 00],we have the inequality (31), which shows that
However, if p = 2, then the tighter bound (41) applies.
Proof Letg=h *1 Then gUw) = huw)!UW). Using Parseval's equality gives
43
Taking the square root of both sides of (43) shows that yz(H) can be no larger than the right
side of (41). Proving that yz(H) actually equals this quantity is messy but not difficult; the
reader is referred to Vidyasagar (1981), Lemma (3.1.69), for the details .
The results of this subsection up to now are summarized below:
I. The sets Aand A have been introduced.
Sec. 6.4 Open-Loop Stability 301
2. It has been shown that, in a very precise sense, A is the set of stable impulse
responses and Ais the set of stable transfer functions.
3. The useful bounds (41) and (42) have been obtained. Actually, it can be shown
that the bound (42) is exact when p =I and 00, i.e., YI (H) = =II h II A' How-
ever, the proofs are a bit involved and are not given here. The interested reader is
referred to Vidyasagar (1981), Chapter 3.
This subsection is concluded with a brief discussion of MIMO linear time-invariant
systems. The results in this case follow very easily from Theorem (30).
Consider a system with m inputs and I outputs, with the input-output relationship
-
44 (Hj)(t) =f H(t-'t)f('t)d't,
o
where the impulse response matrix H (')E In analogy with the SISO case, such opera-
tors are the most general linear time-invariant operators that one needs to consider in the
present context.
The criteria for the Lp-stability of systems of the form (44) are given next.
45 Theorem Consider an operator H of the form (44), where HE Under these
conditions, thefollowingfour statements are equivalent:
(i) His L I -stable wb.
(ii) H is wb.
(iii) His Lp-stablewbforallpE [I, 00].
(iv) HEA
1xm

The proof is left as an exercise, since it is entirely parallel to that of Theorem (30).
Basically, Theorem (45) states that the set of matrices whose elements all belong to A
is precisely the set of stable l\1IMO impulse response matrices, whereas the set of matrices
whose elements all belong to A is precisely the set of stable MIMO transfer matrices.
Theorem (30) leads to the useful bound (42). A similar bound can be obtained for
MIMO systems and is given below without proof. In this connection, it is worthwhile to
recall the definition (6.1.27) of the normon L;.
46 Lemma Consider an operatoroftheform (44), whereH(-)EA
1Xm
Then
where II II i2 denotes the matrix norm induced by the Euclidean vector norm, and M I is an
Ixm matrix whose ij-th element is IIhij II
A
lfp = 2, then
302 Input-Output Stability Ch.6
where M2 is the lxmmatrix whose ij-th element is given by
49 (M 2)ij = sup I hi/joo) I.
w
It is easy to verify that (47) reduces to (42), and (48) reduces to (41) in the case of scalar
systems.
6.4.2 Time-Varying Systems
In the previous subsection, the focus was on time-invariant systems. In the present sub-
section, we study a class of operators that represents a natural generalization of those of the
form (29). Specifically, we consider operators G of the form
50 (Gf)(t) = r,gi(t)j(t-ti)+f ga(t, 't)j('t)d't.
i=O a
Actually, sincej (t) =Owhenever t <0, one can rewrite (50) as
51 (Gf)(t)= gi(t)j(t-t
i)+
f ga(t, 't)j('t)d't,
iel(1) a
where
52
In other words, (51) is obtained from (50) by taking the summation only over those indices i
such that t, t.
Theorem (53) gives necessary and sufficient conditions for an operator G of the form
(50) to be
53 Theorem Consider an operatorGoftheform (50), where
54 t
iel(t)
t
56 t f Iga(t, r) I du: L_.
a
Then G maps L_
e
into itself. Further, G is L.z-stable wbifandonly if
Sec. 6.4 Open-Loop Stability 303
57 sup { L Igi(t) 1 +IIga(t, t) I d't} =: c: <00.
r i e l tt) 0
Remarks Note that conditions (54) to (56) are quite easy to satisfy. For instance, if the
set of indices I (t) is finite for each finite t, and if each function gi() is continuous, then (54)
is satisfied. Further, the index set I (t) will indeed be finite for each finite t, provided the
delay ti as i Similarly, if the function ga is continuous, then (55) and (56) are
satisfied.
Proof It is left as a problem to show that if (54) to (56) hold, then G does indeed map
into itself.
To show that (57) is a necessary and sufficient condition for G to be wb, we
tackle first the sufficiency, since that is much easier.
"If' Suppose (57) holds and thatjE L w Then
I r I
58 I(Gf)(t)/ =: L gi(t)j(t-ti) +f ga(t, 't)j('t)d't:
liEl(t) 0 I
:5[ L Igi(t) I + IIga(t, 't)1 d't]
iE 1(J) 0
Since the right side of (58) is independent of t, it follows that GjE and that
Hence G is -stable wb.
"Only if' We show the contrapositive, namely that if (57) does not hold, then the ratio
II Gf II Jllj II co can be made arbitrarily large. To simplify the details, it is assumed that all the
delay terms in (50) are zero, i.e., that
60 (Gf)(t) =f g(t, 't)j('t)d't,
o
where the subscript "a" on ga is dropped. The proof in the general case is left as an exercise
(see Problem 6.13). By assumption, the function
304
,
61 r(t)=flg(t,'t)ld't
o
Input-Output Stability Ch.6
is unbounded. Let k < 00 be an arbitrary constant; it is shown that there exists a function
fkE L_ of unit norm such that II Gfk 11_ k. Since r(') is unbounded, there exists a time t > 0
such that r (t) k. Fix this t, and define
62 fk('t) =sign 1g (r, t) I, 'V''tE [0, r l.
where the sign of 0 is taken as O. Then
63 g(t, 't)fk('t) = Ig(t, 't)I, 'V''tE[O, t], and
64 (Gfk)(t) = f g(t,
o
Therefore
65 II Gfk = sup I (Gfk)(t) 1
,
Since this argument can be repeated for any k, it follows that Gcannot beL_-stable wb.
The proof of the "only if' part leaves open the possibility that, if r(') of (61) is
unbounded, then G is though not L_-stable wb. However, it can be shown, using
the principle of uniform boundedness, that for operators of the form (50), and
wb are equivalent properties; see Desoer and Thomasian (1963) or Desoer and
Vidyasagar (1975), Theorem (4.7.5).
The next theorem gives necessary and sufficient conditions for G to be L I -stable.
66 Theorem Consideranoperatoroftheform(50), where
67 t H
ie/(I)
69 't H f Iga(t, 't)1
t
Under these conditions, Gmaps L Ie into itself. Further, Gis L (-stable wb if andonly if
Sec. 6.4 Open-Loop Stability 305
70 sup[i I g;('t + t;) I +j Iga(t, 't)1 d't] =:Cl <00.
t ;=0 t
Proof It is left as an exercise to show that if (67) to (69) hold, then G maps L le into
itself.
"If' Suppose (70) holds and thatfE L I. Then
t
71 JI(Gf)(t) 1 J L Ig;(t) 1lf(t-t;)1 dt + JJIga(t, 't)f('t) 1 dt dt
o 0 iel(r) 0 0
=i JIg;(t+t;)Ilf(t)ldt+JJIga(t, 't)Ilf('t)1 dt dx
;=0 0 0 t
Ig;('t+t;)1 +j Iga(t, 't)1 dt] .[f If('t)1 d't]
t ;=0 t 0
This shows that G is L I -stable wb.
"Only if' Suppose G is L I -stable wb. Since G is linear, this implies that G is continu-
ous on L I .' Sinnce every distribution in Acan be expressed as a limit, in the sense of distribu-
tions, of a sequence of functions in L I ' it follows that G maps A into A with finite gain. Let
f (r) = O(t - 't), where 'tER+ is a given number. Then
72 (Gf)(t)= L g;(t)O(t-'t-t;)+ga(t, 't)= Lg;('t+t;)O(t-'t-t;)+ga(t, r).
i=O
Since G maps A into itself, it follows [upon using the fact that ga(t, t) = 0 if t < 't] that
73 II GO(t - t) II A = i Ig;('t + t;) 1+ JIga(t, t) I dt < 00.
;=0 t
Now, since II O(t - t) II A = 1V''t and G maps A into itself with finite gain, it finally follows
that
74 sup IIGO(t-'t)II
A
<00.
t
But (74) is the same as (70) .
306 Input-Output Stability Ch.6
Finally, it is shown that if G of (50) is both L I-stable and then it is Lp-stable
for all pe [I, 00]. The theorem is stated in full generality, but is only proved in a slightly
simplified case; the general case is proved in Willems (1969b).
75 Theorem Suppose an operator Gof the form (50) satisfies both (57) and (70). Then
Gis Lp.stabLeforalipe [I, 00]. Moreover,
76 'Yp(G) c!fq,
where q =p /(p - I) is the conjugate index ofp.
Proof The theorem is proved under the additional assumption that g.Ir) =0'<It, and the
subscript "a" on the function ga is dropped for convenience. The proof in the general case is
similar [see Problem6.14 or Willems (1969b)].
If it is assumed thatgj(t) =0 '<It, then (57) and (70) reduce respectively to
t
77
t 0
78 sup fig (t, 't) I dt =: c I < 00.
t t
Supposefe L
p
. It can beassumed that I p < 00, since (76) is clearly true ifp = I or 00. Now
79 1(Gf)(t) 1s] Ig(t, 't)Ilf('t)1 d:
o
t
=f Ig(t, 't)ll/q Ig(t, 't)ll/p If('t)1 d't
o
[ ]
llq [ ] IIp
s [lg(t,'t)ld't . Ilg(t,'t)llf('t)\Pd't
by Holder's inequality. Next,
80 [I Ig(I, t)! dt1"'-[I Ig(I, t) 1 If roI' dt]
Sec. 6.4 Open-Loop Stability
I
f Ig(t, t)1 If(t)IPdt,
o
I
307
81 f f Ig(t, t)1 If(t)IPdtdt
o 0 0
=cr:,:'qf f Ig(t, t)1 If(t)IPdtdt
o t
Raising both sides of (81) to the power lip gives
82 IIGfllp IIflip'
This proves that G is Lp-stable wb for allp, and establishes the bound (76).
This subsection is concluded by showing that if G is a time-invariant operator, then
Theorems (53), (66) and (75) together reduce to Theorem (30). Accordingly, suppose
83 gi(t)=.h
i,

84 ga(t, t)=ha(t-t), '<it, r z O,
so that Gcorresponds to a time-invariant systemwith the impulse response
85 h(t)='LhiO(t-ti)+ha(t).
i=O
Then the condition (57) for becomes
86 sup [ 'L I hi I +f I ha(t - r) I dt] < 00.
I iE{(t) 0
However, as t 00, the index set I (t) eventually includes all i. Thus (86) is equivalent to
requiring that hEA. Similarly, the condition (70) for L I-stability becomes
308 Input-Output Stability Ch.6
87 sup [:i I hi I +j I ha(t - r) I dt] < 00,
t i={J r
which is also equivalent to requiring that he A. Finally, since in the time-invariant case
88
the bound (76) reduces to (31).
Problem 6.7 Determine whether or not each of the following distributions belongs to
A:
ee
(a)f(t)=!: (l/i
2
) 0(t - l + I/i).
;=0
In this case the times at which the distributions occur cluster at the point t = I.
ee
(b)f (r) =!: exp (- i
2
t ).

(c) f (r) = o(t - I) +exp (-2t) sin 4t.
Problem 6.8 Suppose f(')E A. Show that
Problem6.9 Determine whether each ofthe functions below belongs to A.
(a)!(s)=e-
s
s2+5s+5.
s2+ s+1O
A 1
(b) f(s) = _1'
cosh "Is
A
[Hint: Do a partial fraction expansion of f(s ).]
A A
Problem6.10 Show that if fE A, then the function s H exp (-sT) f(S)E A for all T O.
Problem 6.11 Suppose f is a rational function, and define the operator F: x H f *x.
Show that the following four stateme!1tsAare equivalent: (i) F is L I-stable wb; (ii) F is L
r
stable wb; (iii) Fis wb; (iV)fE A.
Problem 6.12 Determine whether or not each of the operators below is (i) L I-stable,
and (ii) using Theorems (66) and (53) respectively.
Sec. 6.5 LTI Feedback Systems 309
r
(a) (Hu)(t)=u(t-2)+f sinte-z(r-'t) u('t)d't.
o
r
(b) (Hu)(t) = f eH+Z't) u('t)d't.
o
Problem 6.13 Complete the proof of Theorems (53) and (66) without assuming that all
delay terms are zero.
Problem 6.14 Prove Theorem (75) without assuming that all delays are zero.
6.5 LINEAR TIME-INVARIANT FEEDBACKSYSTEMS
In this section, we study conditions under which a feedback interconnection of linear
time-invariant subsystems results in a stable system. These results are important and useful
in their own right. Moreover, they are a point of departure for the stability analysis of non-
linear and/or time-varying systems.
Ul
+
Yl
Fig. 6.5
Y2
This section is divided into three parts. Inthe first subsection, the focus is on SISO sys-
tems with a constant scalar feedback of the form shown in Figure 6.5. Necessary and
sufficient conditions for feedback stability are derived, and a graphical test for verifying
these conditions is presented; this graphical test is a generalization of the familiar Nyquist
criterion. Inthe second and third subsections, the attention is on MIMO systems of the form
shown in Figure 6.2, where both GI and G
z
can represent systems with dynamics (in con-
trast with the system in Figure 6.5, where the feedback element is non-dynamic).
Throughout the section, the emphasis is on the challenge posed by the fact that various sub-
systems can be distributed. The study of feedback stability in the case where the constituent
subsystems are linear, time-invariant, and also lumped, belongs more properly in a book
devoted to linear system theory; see, for example, Kailath (1980), Chen (1986), or
Vidyasagar (1985).
The following lemma, popularly known as a Paley-Wiener theorem, is the central tool
used in this section.
A A
1 Lemma Suppose fE A. Then thefunction I1f belongs to Aifand only if
310
2 inf If(s) I > O.
Res
Input-Output Stability Ch.6
The proof of this important result is well beyond the scope of this book, and can be
found in Hille and Phillips (1957), p. ISO. But the necessity of the condition (2) is quite easy
to see. If I1fbelongs to A, then the function I1f(s) is bounded over the closed right half-
plane C+ [defined in (6.4.25)]. But this is the same as If(s) I being bounded away from 0
over C+, which is what (2) says. The sufficiency of (2) is, of course, considerably more
difficult to establish, but if f(s) is rational, then the sufficiency is easily seen (Problem6.15).
An elementje A is called a unit of A if there exists agE A such *g = o(t\i.e., iff
has a multiplicative inverse in A. In such a case we also say that f is a unit of A. Now
Lemma (I) gives a simple necessary and sufficient condition for a givenfto be a unit of A,
namely that (2) must hold.
A "nxn A A
3 Lemma Suppose FE A . Then the function [FOrI: s I-HF(s)r
l
also belongs to
"nxn
A ifand only if .
4 inf IdetF(s) I > O.
Res
Remark Note that Lemma (3) allows us to determine whether the matrix-valued func-
A A nxn A
tion [FOr' belongs to A by examining the scalar-valued function det [F(' )].
A
Proof Since the determinant of F is obtained by forming and products of the
various components of F (all of whichbelong to A), and since A is closed under both of
these operations, it follows that d:=det FE A.
A A
"If' Suppose (4) holds. Then, by Lemma (I), the function lid belongs to A. Now write
5
A I A
[F(s)r
1
= -A- Adj [F(s)],
des)
A A A
where Ad) F(s) denotes the adjoint matrix of F, i.e., the matrix of cofactors of F. Now
Adj FE Axn, since the components of Adj F are determinants of various submatrices of F.
Hence, if A, then [FOriEA
nxn
"Only if' Suppose [FOr' EA
nxn
. Then det[FO] = A. Since A, Lemma (I)
now implies thai (4) holds.
6.5.1 SISOSystems with Constant Feedback
Consider the system shown in Figure 6.5, where g(s) is the transfer function of a linear
time-invariant SISO system, and k "I:- 0 is a constant. There is no loss of generality in assum-
ing that k "I:- 0, since if k =0 then there is no feedback, and the overall system is stable if and
only if gEA. Suppose I +kg (s) is not identically zero (which essentially says that the feed-
back system is well-posed); then one can explicitly write down the transfer matrix relating y
to u. Indeed, we have
Sec. 6.5 LTI Feedback Systems 311
Let H denote the 2x2 transfer matrix in (6). Then the feedback system is (for example)
BIBO stable if and only if the output yE L: whenever the input UE L:. Since the system is
linear and time-invariant, a great many stability notions are equivalent to the requirement
A A 2x2
that HE A [see Theorem (6.4.45)]. Hence, throughout this subsection, feedback stability
A A 2x2
is taken to mean that HE A
7
A A 2x2
Lemma HE A if and only if
8 -1-=:iEA.
1+kg
A A 2x2 A A
Proof "Only if" Suppose HEA . Then h
22
=krEA. But since k ;to, this in turn
implies that rE A.
"If' Suppose rEA. It is shown in turn that each of the four elements of if belongs to A.
First, /'22 = krE A. Next,
A A A
9 h
21=-h I 2
= I - r EA.
Finally,
A A A
10 h
l l=h 21
/k EA.
This completes the proof.
The quantity 1+kg is often referred to as the return difference. Thus Lemma (7) states
that the feedback system is stable if and only if the reciprocal of the return difference is a
stable transfer function. Now the challenge is to find some easily verifiable conditions for
ensuring that (8}holds. Suppose gE A, i.e., that the system is open-loop stable. Then I +kg
also belongs to A. Hence, by Lemma (1), it follows that 1I(1+kg)E A (and the feedback sys-
tem is stable) if and only if
11 inf 11 +kg(s)1 >0,
Res;:'O
i.e., the return difference is bounded away from zero over C+. However, the condition gE A
is very restrictive, and one would like to have a criterion that also applies to systems that are
open-loop unstable. Such a result is given next.
12 Theorem Suppose gis oftheform
312
13 i(s)=ia(s)+i,(s),
Input-Output Stability Ch.6
A A A A2x2
where gaEAand i, is rational and strictly proper. Then H of(6) belongs to A ifand only
iff11) holds.
Remarks Before proving the theorem, some remarks are in order to explain the
hypothesis and value of the theorem.
I. The hypothesis on gis that it consists of a stable part which could be distributed
plus an unstable part which is lumped. In particular, this implies that gis mero-
morphic on the open RHP, and that it has only a finite number of singularities in
the open RHP, each of which is a pole of finite order.
2. The theorem is useful because it shows that (II) is a necessary and sufficient con-
dition for the feedback stability of a broad class of systems, not just those that are
open-loop stable. With this as the starting point, it is possible to derive a Nyquist-
like graphical stability test.
~ A 2x2
Proof "Only if' Suppose HEA . Then, as shown in Lemma (7), it follows that
r= 1/( I + kg)E A, which in tum implies that ris bounded over the closed RHP, i.e., that
14 sup I r(s) I < 00.
Res2:0
But since I + kg = 1(" (14) is equivalentto (11).
A ~ 2x2
"If' Suppose (II) holds. To show that HEA , it is enough by Lemma (7) to show that
r= 1/( I + kg)E A. For this purpose, express the rational function g,(s) as a(s )J13(s) where a
and ~ are polynomials with no common zeros. Let 0denote the degree of the polynomial ~
Since j, is assumed to be strictly proper, the degree of n is atmostO-I. Now define
15
n(s)= a(s) ,d(s)= p(s) ,
(s+l)1l (s+I)1l
and note that
16
Now
17
~ ~ A A n(s)
n, dE A, andg,(s)= ~
d(s)
Sec. 6.5 LTI Feedback Systems 313
q
A
d
18
A
A I d
r=--=A A -A'
I+kg d+k(n+dg
a
)
where
A A
19 q:=d+k(n+dg
a
) .
Suppose we could establish, starting from (II), that
20 inf Iq(s) I > O.
ReJ ?O
Then Lemma (11would imply that IIqEA, which in tum implies, due to (18), that rE A, and
the stability of H would be proved. Accordingly, the proof is completed by showing that
(20) is true. Note that
By (II), the quantity II +kg(s) I is bounded away from zero over the closed RHP C+. On
the other hand, dcould have some zeros in C+, namely the the poles of gr' Let AI, "', A
r
denote the poles of gr in C+' and select some open disks B I' "', B" with B, centered at Aj ,
such that none of the disks B, contains a zero ofn. Since nand dhave no common zeros, this
can be achieved by making the disks B, sufficiently small. One other technicality is that if
some Aj is on the jo>-axis, then B, is chosen to be a half-disk, so that B, k C+. Now define B
to be the union ofthe sets B I through B" and note that, by assumption,
22 innn(s)1 >0,
SEB
since B does not contain any zeros of n. Similarly it follows that
A
23 inf Id(s) I > O.
SEC.-B
So, if (II) holds, then (21) and (23) show that
24 inf Iq(s) I > O.
SEC.-B
What if SE B? At the zeros of d, we have, from (19), that
25 q(s)=kn(s)::t:O.
Hence, by selecting the disks B; small enough and making use of (22), one can ensure that
314
26 inf I q(s) I > O.
sED
Input-Output Stability Ch.6
Finally, combining (24) and (26) establishes (20). As shown earlier, this completes the
proof.
Now let us consider the issue of how one might go about verifying whether the condi-
tion (11) holds. If gis rational, then the familiar Nyquist criterion of undergraduate control
theory allows one to test whether (11) holds by examining only the behavior of the function
gUro) as ro varies over the real numbers. In attempting to extend the test to distributed sys-
tems, the main difficulty one faces is the irrationality of the function g(s). Specifically, write
ga(s)[where g = ga +gr; see (13)] in the form
co
27 ga(s)=Lg;e-SI'+gm(s),
~
where gm is the Laplace transform of a function g I E L J' Now, by the Riemann-Lebesgue
lemma, IgmUro) I ~ 0 as I ro I ~ 00. On the other hand, the firstterm
28 gapUro) = L g,e -jQJt,
~
is an "almost periodic" function of to. In the practically important case where the delays t,
are all commensurate, i.e.,
29 Ii = iT, T given,
the function gapUro) has the form
30 gapUro) = L g;(e-jWT)i,
j ~
and is a periodic function of co with period 2rr./f. In either case, it is quite possible that
gaVro) has no specific limit as I co I ~ 00. This difficulty does not arise if gis a proper
rational function. In spite of this, however, it is nevertheless possible to state a Nyquist-like
graphical stability test. The proof in the case of commensurate delays is given by Willems
(1969a) and in the noncommensurate case by Callier and Desoer (1972). To avoid techni-
calities, only the case of commensurate delays is discussed here, and the proof is omitted.
Before proceeding to the graphical stability criterion, it is necessary to introduce two
preliminary concepts, namely (i) the indented jro-axis, and (ii) the argument of the return
difference function 1+kgVro). If g has a pole at some point j')"i on the jro-axis, then
1+kgVA;) is undefined. To circumvent this difficulty, the jro-axis is "indented" around the
pole, as shown in Figure 6.6, by going around the pole. Let H; denote the half-disk shown in
Figure 6.6; i.e., let
Sec. 6.5
jw
--.......------_ 0
Fig. 6.6
LTI Feedback Systems 315
Then, by choosing the radius ; sufficiently small, one can ensure that
32 inf II +kg(s)1 >0.
se B,
Hence deleting the half-disk Hi from the closed RHP does not alter whether (II) holds or
not. Similar indentation can be performed around all j eo-axispoles of g.
After the jro-axis is indented, it is clear that, corresponding to each roe R, there is
exactly one point on the indented jro-axis whose imaginary part is 00, but whose real part
mayor may not be zero. By a slight abuse of notation, let gUoo) denote the value of gat the
point on the indentedjro-axis whose imaginary part is 00; this is illustrated in Figure 6.7.
jw
jw
---+-+-------_0
Fig. 6.7
316 Input-Output Stability Ch.6
Once the jro-axis is indented as indicated above and gUro) is suitably defined, the
quantity gUro) is a uniformly continuous function of roo It can also be assumed that
I +kgUro):F- 0 Vro, since otherwise the condition (II) is immediately violated and no further
analysis is needed. Thus it is possible to define a continuous function c1>Uro) such that
33 1+kgUro) = II +kgUro) I expUc1>Uro)], and
34 c1>UO) =0 if I +kgUO) > 0, 1t if I +kgUO) < O.
One can also think of c1>Uro) as the argument of the complex number I +kgUro); hence we
could denote it by the more suggestive notation Arg [I + kgUro)].
Now the result can be stated.
35 Theorem (Graphical Stability Test) Suppose i has the form (13), and in addition,
suppose that the delays in the distributional part ofia are uniformly spaced, as in (29
1
Let
A 12x2
u, denote the number ofpoles ofi with positive real part. Then H of(6) belongs to A if
and only if
36 (i) inf II +kiuro) I > 0, and
0lE1R
37 (ii) lim [c1>U21tnff) - c1>( -j21tnlT)] =21t1l+.
n .....
As mentioned earlier, the proof can be found in Willems (1969a).
Theorem (35) has an interpretation quite similar to that of the standard Nyquist cri-
terion. Condition (i) or (36) is equivalent to the following statement: The plot of gUro) is
boundedaway from the "critical point" -Ilk. Note that this is a stronger statement than "The
plot of gUro) does not pass through the critical point-Ilk." The latter statement suffices if g
is a strictly proper rational function, or even if ga does not contain any delayed impulses,
since in this case gUro) has a well-defined limit as IroI 00. But in general it is necessary to
use the more precise condition (36). Condition (ii) or (37) is a generalization of the familiar
requirement that the plot of gUro) encircle the critical point -Ilk exactly Il+ times in the
counterclockwise direction. If ghas the general form (13), then the phrase "encircle" has no
meaning since c1>Uro) need not have a specific limit as IroI 00. This is why, in (37), the
phase c1> is evaluated at specially chosen, evenly spaced, frequencies 21tnlT. Of course, if ga
does not contain any delayed impulses, then one can make do with the simpler statement
(40) below. The discussioncan be summarized as follows:
38 Corollary Suppose i has the form (13), and suppose in addition that ga(') does not
contain any delayed impulses. Let u, denote the number ofpoles ofi with positive real pan.
A A2x2
Then Hoff6) belongs to A ifand only if
Sec. 6.5 LTI Feedback Systems 317
39 (i) 1+kgUro):F-O, V'roERU{oo}, and
40 (ii) lim [<j>Uro)-<j>(-jro)] = 21t1l+
r o 4 ~
41 Example Consider a systemof the form shown in Figure 6.5, where
A s2 +4s +2
g(s)=exp(-s) -s--:2---I-
Inthis case grepresents a system with the rational transfer function (s
2
+4s +2)/(s2 - 1) fol-
lowed (or preceded) by a delay of 1 second. The objective is to determine the range of
values of the gain k for which the feedback system is stable.
The first step is to demonstrate that gis of the form (13). This turns out to be surpris-
ingly difficult and serves as a motivation for introducing the set Bin the next subsection. By
partial fraction expansion, we have
s2+4s+2 = I ~ ~
s2-1 s+I s-I
Hence
A
Clearly the first term belongs to A, since it is the product of two functions, each of which
belongs to A; in fact, the first term is the Laplace transform of OCt-I) +
0.5 exp (-t-I) U (t-I), where U (t-I) is the delayed unit step function. Now consider the
last term, and expand it as
3.5e-" 3.5e-
1
3.5(e-" _e-
1
)
---=---+ .
s-I s-I s-I
The first termis rational and unstable, but what is the nature of the second term? Let
-A -5-1
I(s) = e -e
s-I
Then
A
Hence IEL]. and IE A, though I is of course not rational. So finally it follows that
g= ga +g" where
318 Input-Output Stability Ch.6
A () -s [I 0.5] 3.5(e-
S
_e-
1
) A () 3.5e-
1
go s =e +-- + .gr S =---.
s+1 s-I s-I
Thus gis of the form (13). so that Theorem (12) is applicable.
Im,Uw)
-2
- - 7 ~ - - t - - - - - - - t I - - - _ .... Re,Uw)
Fig. 6.8
The Nyquist plot of gUro) is shown in Figure 6.8. Note that. as ro-+ 00, gUro)
approaches the periodic function exp (-j2ro). Also, ~ the number of open RHP poles ofg,
equals I. FromTheorem (12) and Figure 6.8, we conclude that the feedback system is stable
if and only if
-2 < -Ilk < -1.76. orO.5< k < 0.568.
Fig. 6.9
42 Example Consider a uniform RC transmission line with an operational amplifier in
the feedback. as shown in Figure 6.9. Suppose the transmission line is driven by a voltage
input and has a voltage output. Then the forward transfer function g(s) equals the so-called
A-parameter of the transmission, which is one of the four chain parameters. For a uniform
transmission line of infinite length. it is known (Protonotarios and Wing, 1970) that
Sec. 6.5
~ I
g(s)= _I'
cosh "As
LTI Feedback Systems 319
where A. is a physical constant. Let us take A. = I for simplici ty. Then, as shown by Protono-
tarios and Wing, g(')E L I' Hence Corollary (38) applies, and one can determine the range of
values of the gain k for which the system of Figure 6.9 is stable by examining the Nyquist
plot of gUoo). Now
~ U ) I
goo= h r s-si inhr '
cosx cos x + SIn X SIn X
where x =;j oY2. Hence the Nyquist plot more or less spirals into the origin, as shown in Fig-
ure 6.10. The range of values of k for which the feedback system is stable is
-1<k<23.16.
1mg(jw)
----+----I""'I--t-------7--- Re ~ j w
-0.04317
Fig.6.10
A
6.5.2 The Set B
The next two subsections introduce some tools that are useful in analyzing the stability
of general feedback systems of the form shown in Figure 6.2, when both G I and G
z
are
linear and time-invariant but could bemulti-input, multi-output (MIMO). The set B is intro-
duced in the present subsection, while coprime factorizations are introduced in the next.
Let (J > 0 be a given number; then the set A
o
consists of all distributions f(') such that
f (t) =0 for t < 0, and have the form
43 f(t)=r.iiO(t-ti)+fa(t)ift?O,
i;()
which satisfy the conditions
44 r. Iii I e ali < 00, f Ifa(t) I eat dt < 00,
i;() 0
Note that if (J = 0, then (44) reduces to (6.4.3). Hence the condition (44) is more restrictive
than (6.4.3), and as a result, A
o
is a subset of A for all (J> O. Also, if (J > e, then A
o
is a
320 Input-Output Stability Ch.6
subset of A
a.
Thus, iff, gE A
cr,
then their convolutionf *g can be defined as before, and it
is routine to show thatf *gEA
cr.
More'generally, iffEA
cr
and gEA
a,
then their convolu-
tionf *g belongs to the set A
min
!a, al' As before, l<;.t A
cr
denote the set of Laplace transforms
of distributions in A
cr.
Now define the sets A_ and A_ as follows:
A A
45 A_= UAcr,A_= UA
cr.
cr>o cr>o
In other words, A_ consists of all distributions fwhich belong to A
cr
for some o > 0, and A_
is the set of Laplace transforms of distributions in A_. Note that A_ is a proper subset of A,
but is closed under convol ution.
Suppose fE A_. Then, by definition, there exists a cr> 0 such that (44) holds. This
means that the Laplace transform f is over the shifted open half-plane
{s : Re s > -cr}. As a consequence, all zeros of f in the open half-plane {s: Re s > -cr} are
isolated and of finite multiplicity. In particular, al] zeros offin the closedRHP {s : Re s 0 }
are isolated and of finite multiplicity. Thus if fE A_, then f cannot have a sequence of zeros
clustering at some point on the jro-axis. This is not true in general for an arbitrary function
in A, and this is one of the main motivations for introducing the set A_; see Vidyasagar et al.
(1982) for an example of a function in A which has a sequence of zeros clustering at a point
on the jro-axis.
A
ANow we introduce one last concept needed to define B. Suppose fE A_. Then we say
thatfis boundedawayfrom zero at infinity ifthere exists a constant r < 00 such that
A
46 inf If(s) I >0.
JEC.
In effect, (46) just states that all zeros offin C+ lie in some compact subset thereof. Since
each of these zeros is isolated, fhas only finitely many zeros in C+. It is easy to see that if
J. gEA_ are each bounded away from zero at infinity, then so is theirproductfg.
Definition The set Bconsists ofall functions j = alb, where a, i A_, and in addition
b is boundedawayfrom zero at infinity,
48 Lemma Suppose fE B. Then (i) a!l singularities off in C+ are poles offinite order\..
and they are all isolated; (ii) all poles off in C+ lie {nsome compact subset thereof, so thatf
has onlyfinitely many poles in C+; (iii) all zeros offin C+ are isolated and offinite multipli-
city.
The proof is a ready consequence ofearlier observations.
49 Examples Consider again the transfer function of Example (41), namely
A() -J s2 + 4s + 2
g s =e
s2 -1
Recall that we had to work a bit to show that gis of the form (13). On the other hand,
Sec. 6.5 LTI Feedback Systems 321
showing that gE Bis quite simple: g=alb, where
A () -s S 2 +4s +2 b() S - 1
as =e , s =--.
(s + 1)2 S + 1
As another example, consider a uniform RC transmission line whose input is the voltage
applied at one end and whose output is the current at the other end. In this case the transfer
function is the so-called C parameter among the chain parameters, and equals
A I
j(s) = .
>is sinh>is
This transfer function has ayole at the origin, but otherwise all of its poles are on the nega-
tive real axis. To show thatj'belongs to B, write it as ii/d, where
A >i-; A S
n(s)= , d(s)= --.
(s+l)sinh>is s+1
Then iiE A_ (though this is perhaps not obvious), while dbelongs to A_ and is bounded away
from zero at infinity.
An example of a transfer function which does not belong to B is provided by
A I
h(s)=--,
coshs
which is the voltage transfer function of a uniform LC transmission line of unit (normalized}
length. Since h has infinitely many poles on the j(O-axis, it follows from Lemma (48) that h
does not belong to B.
A A A A
50 Lemma Suppose f.ge Bithenf x g.fge B.
Proof Write f=alb, g=c/d, where a, b, c, dEA_, and in addition b, d are bounded
away from zero at infinity. Then
51
A A adbc A ac
jg= AA ,Ii ==--;;;-;;;-.
bd bd
_ A A
In each case, both the numerator and the denominator belong to A_; in addition, since both b
!nddare bounded away from zero at infinity, so is bd.
The set of all ratios alb where a, bE Aand b:;tOis called the field of fractions of A.
Lemma (50) states that B is a subring ofthis field of fractions.
A
Next, several useful properties of the set B are proved. As the proofs are somewhat
technical, they may be skipped in the first reading, and the reader can jump ahead to
Theorem (67), which is the main result.
322 Input-Output Stability Ch.6
52 Lemma Suppose fE A and that f(0) =0 for some 0> 0; then A thi!. function
f(s )/(s - 0) is the Laplace transform of a function in L t- Suppose je A and that
f(o+ jOO)=Oforsome a >0 and some then the function s _0)2 +00
2]
is
the Laplace transform ofafunction in L I.
Proof Express f (r) in the form
53 f (t) = "I. I; O(t- tj ) +fa(t) =:fd(t) +fa(t),
i;(J
A
where!d is the distributional part of f and fa is the measurable part off. Suppose f( 0) = O.
Then
54
I(s) I(s)-1(0) Id(S)- Id(O) la(s)-la(o)
--= = + .
s-o s-o s-o s-o
It is shown that each of the two functions on the right side of (54) is the Laplace transform of
a function in L I. For convenience, let L 1 denote the set of Laplace transforms of functions
in L I, and observe that L I!;;;; A. First, using the same reasoning as in Example (41), one can
show that
55
e -Sf; _ e -<l/,
I; ELI, 'rti.
s-o
Note that the inverse Laplace transform ofthe function in (55) is just
56 I;[-e-
at;
eat +e
OU
-
I
, ) U(t-tj)]=O;
where U(-) denotes the unit step function. Hence the function in (56) has compact support
and therefore belongs to L 1, which shows that (55) is true. Moreover, the norm of this func-
tion is given by
57
-51; -ali
IIf. e -e
s-o
I;
IIA=II; I f e 0(1-1;) dt =II; I (I - e -a1;VO:5; II; \/0, 'rtt
j

o
Now consider the function
58
From (57) it follows that the right side of (58) is absolutely convergent, i.e.,
Sec. 6.5 LTI Feedback Systems 323
59
00 -SI; -<Jt;
L IIjj e -e
;=0 s-a
11.-\ L Ijj I/a < 00.
i=O
A
Since A is a Banach this shows that the summation on the right side of (57) is well-
defined and belongs to A.
A
Now consider the second term on the right side of (54). Suppose first thatfa(s) is a
rational function of s. Then so is the in question; moreover, it is strictly proper and has
no pole at s =a. Hence it belongs to L r- Now, every element in L I can be expressed a
limit of a sumof decaying exponentials (Kammler 1976); equivalently, every function in L \
can be expressed as a limit in A of a sequence of stable rational functions. This shows that
60
A A
fa(s)-fa(a) A
-'-----'''-----EL "
s-a
and the proof is complete. The case ofcomplex zeros follows similarly.
A
61 Corollary Suppose fE A and that f.has a zero o[multiplicity '!! at a real a> 0; then
thefunction s f(s)/(s - or" belongs to L I' Suppose[e Aand thatfhas a zero ofmultipli-
city m at a point a + j 0) where a > 0 and O):;t O. Then the function s j(s)II(s - a)2 + 0)2]m
belongs to L l-
Proof Apply Lemma (52) repeatedly.
62 Corollary Let fE A, and suppose that [(a) =0 for some a> O. Then the function
s (s + I)f(s)/(s -a) belongs to A. Suppose f(a+ jO)) = Ofor some a > 0 and some 0):;t0.
Then the function s (s + 1)2j(s)II(s - a)2 + 0)2] belongs to A.
Remarks Note the contrast between Lemma (52) Corollary (62). In the f9nner, it is
shown that j(s )/(s - a) belongs to L \' whereas here it is claimed that (s + 1) f(s )/(s - a)
belongs to A'AThe difference arises because l/(s - a) is strictly proper, as a result of which
the function f(s Y(s - a) does not have an impulsive part; in contrast, (s + 1Y(s - a) is not
strictly proper, and as a result (s + I) f(s )/(s - a) could contain an impulsive part.
Proof Suppose f( a) = O. Then
63
s + 1 A A 1+a A A
--f(s)=f(s)+--f(S)EA.
s-a s-a
The case of complex zeros follows similarly.
Of course there is nothing special about the term s + 1, and one can replace it by any
other first order polynomial as +
64 Corollary Let fE A, and suppose f has a zero of'multiplicity mat a> 0; then the func-
tions (s + l )" f(sY(s _a)m belongs to A. Suppose fhas a zero ofmultiplicitymatapoint
a+jO) where a > oanduret). Then the function s (s + l)2mj(s)II(s _a)2 +0)2]m belongs
324
A
toA.
Input-Output Stability
Proof Apply Corollaries (61) and (62) repeatedly.
Ch.6
65 Lemma Suppose fE A_and is boundedawayfrom zerq at infinity. Then there exists a
unit uofA_andaproper stable rationalfunction vsuch thatf= uv.
Proof A_, there is some c > 0 such thatfE A
cr
Let z I, "', Zk denote the dis-
tinct C+-zeros off, with multiplicities m I, "', mk respectively. Define
66
k [ S -z ] m,
v(s)=ll --'
1=1 s + 1
Then, from Lemma (52) and Corollary (64), it follows that u(s):=!(s)IV(s) belongs to A
e
for all a< cr. (To prove this, one uses the fact that Re Zi > - c even if possibly some of the Zj
A -1
have zero real parts.) Now 14 is bounded away from zero at infinity, since bothfand v have
this property. Moreover, u(s) has no finite zeros in the half-plane Is: Re s a}. Hence, by
a slight modification of Lemma (1),14 is a unit of A
a
and hence of A_.
67 Theorem Suppose a, bE A_, and suppose that bis bounded away from zero at
infinity. The']. the ratio i =alb is ofthe form (13). Specifically, ifPI, "', Pk are the distinct
C+-zeros ofb, ofmultiplicities m J' , mk respectively, then
68
A a(s) A A
g(s) = -A- =ga(s) +gr(s),
b(s)
where
69
andthe constants rij are evaluatedas
70
1 d
j
m, A
ri m-} = - -.[(s -Pi) g(S)]s -p.' J =0, "', m, -1 .
. , j! ds! - ,
Remarks Theorem (67) states two things: (i) If bE A_ and is bounded away from zero
at infinity, then for all practical purposes b is like a proper stable rational function. To see
why, suppose g=alb and express bas uv where v a proper stable rational function and 14 is
a unit of A_. Then the function c= alU belongs to A_, and moreover
71
A A A
A a a c
g------
- b- uv - v'
where the denominator vnow has a very simple form. (ii) Suppose we start with (71) and
carry out a partial fraction expansion as in (69). Then the part ga which is "left over" belongs
Sec. 6.5 LTI Feedback Systems 325
to A_. This was the calculation we had to do in Example (41), and Theorem (67) makes it
precise. Note that the formula (70) is the familiar expression for the coefficients in a partial
fraction expansion.
Proof With all the preliminary work, the proof of the theorem is actually quite easy.
First, write gin the form (71), where
72 V(S)=n[s-p;lm
i
,
i=l s + I
and expand IIv(s) as a partial fraction sum
73
k
[ ]
m, k m
I s+1 '%
-A=TI- =1:1: .
v(s) i=l S-Pi i=lj=1 (S-Pi'Y
To prove that g= Clv is of the form (13), it is enough to show that each term c(sY(s - Pi'Y is
of the fOI1l1 (13), since a finite sum of functions of the form (13) is again of this form. (Note
that both A and the set of strictly proper rational functions are closed under addition.)
Accordingly, consider the ratio c(s)/(s - PiY' Since CE A_, there exists a 0> 0 such that
cEA
cp
and of course Rep; > -0. Now write
74
75
The second term on the right side is a strictly proper rational function. As for the first term,
its numerator has a zero of multiplicity j at s =Pi' Hence, by Corollary (61), the first term
belongs to A
cr
and hence to A_. This shows that the overall function c(s )Iv(s) is of the form
(13). Now the formula (70) for the constants rij follows in the usual fashion.
This subsection is concluded with an obvious result.
A r Txm A
Lemma Suppose FEB . Then F can be decomposed as
76
A A A
F(s) = Fa(s) + Fr(s),
A <txm
where FaEA_ and Fr(s) is an IXm matrix whose elements are strictly proper rational
functions ofs.
A A
In summary, the set B is very useful for at least two reasons: First, every element of B
has the form (13); aS
A
a consequence, the stability of feedback systems whose forward-path
element belongs to B and which have a constant gain in the feedback path, can be easily
determined using a comprehensive and physically meaningful graphical stability test
[Theorem (35)]. Second, determining whether or not a given function belongs to Bis easier
than determining whether or not a given function has the form (13); compare Examples (41)
326 Input-Output Stability Ch.6
and (49). At this point, it is natural to ask: Is every function of the form (13) a member of the
s t ~ The answer is no, as is easily shown. Recall that in (13) the function,Sa belongs to the
set A, whereas, as shown in Theorem (67), the function ga belongs to A_. Thus, if one
chooses a function ga which belongs to Abut not to A_ [for example, a function which has a
sequence of zeros clustering on the jro-axis; see the example in Vidyasagar et al. (1982)],
then this function is of the form (13) but does not belong to B.
6.5.3 Coprime Factorizations
In the final subsection of this section, the notion of coprime factorizations is intro-
duced, and it is shown how one may analyze the feedback stability of distributed systems
using this notion.
77 Definition Two elements a, bE A are said to be coprime if there exist elements
x, yEA such that
or equivalently
79 x(s)a(s)+y(s)b(s)= 1, 'r/SEC+.
In this case we also say that a, bE Aare coprime.
80 Example Let
a(s)=2e-
s
, b(s)= I +e-
2s
.
Then a, b are coprime, since (79) is satisfied with
x(s) =-0.5 e-
s
, y(s) = 1.
In order to show that two elements a, be A are coprime using Definition (77), it is
necessary to display explicitly a solution pair (x, y) satisfying the relation (78), which is
often referred to as the Bezout identity. The next result gives a criterion for coprimeness that
is much easier to verify.
81 Lemma Two elements a, be Aare coprime if andonly if
82 inf max! la(s)l, Ib(s)l} >0.
Res2!:O
Proof (Partial) "Only if' Suppose a, b are coprime, and seIectx, yE A such that (78) is
satisfied. Then, since x, yE A. the quantities x(s), y(s) are bounded as s varies over the
closed right half-plane C+, Define
Sec. 6.5 LTI Feedback Systems 327
83 Jl= SUD [lx(s)1 + IY(s)I].

Now it is easy to show that, for each fixed SEC+, we have
A A
84 1=Ix(s)a(s)+y(s)b(s) I :S[lx(s)/ + ly(s)l] max{ la(s)I, Ib(s)I}.
Hence (83) and (84) imply that
85 inf
Jl
"If' This part of the proof is given in Callier and Desoer (1978); see also Vidyasagar
(1985), p. 342.
The coprimeness condition given in Lemma (81) can berestated in another equivalent
form,
86 Lemma Two elements a, bEA are coprime if and only if there does not exist a
sequence {s;} in C+ such thata(si) 0, b(si) Oas i 00.
Proof It is shown that the "no common zeroing sequence" condition given above is
equivalent to (82). First, suppose that (82) is true; then obviously no sequence {Si}in C+ can
be found such that 1a(si) I, 1b(Si) I both approach zero. Conversely, suppose (82) is false,
and select a sequence {s;} in C+ such that
87 maxi la(si)l, Ib(si)11
Then it is immediate that la(si)l, Ib(Si)1
The condition for coprimeness given in Lemma (86) says, in effect, that aand bhave
no common zeros in C+. However, since the region C+ is unbounded, a little care is needed.
It is possible thata(s) and b(s) never both vanish at a common point se C+, but nevertheless
approach zero along some common (unbounded) sequence {Si} in C+. Lemma (86) says
that, in order for a and b to be coprime, this cannot happen either.
88 Definition Suppose p(s) =a(s vb(s), where a, bE A. Then the ordered pair (a, b) is
said to be a fractional representation ofp. A We also say that the pair (a, b) is a fractional
representation of p. If, in addition, a and b are coprime, then the ordered pair (a, b) is
called a coprime factorization ofp. We also say that the ordered pair (a, b) is a coprime
factorization ofp.
81 Example Consider the transfer function
A 1
h(s)=--
coshs
which was first introduced in Example (49), representing the transfer function of an LC
transmission line. As was shown in Example (49), this transfer function does not belong to
328 Input-Output Stability Ch.6
91
A
the set B, so as of now we have no means of analyzing the stability of a system obtained by
placing a constant feedback gain around h (as in Figure 6.5). Now it is possible to
rewrite h(s) as
h(s)= 2e-
s
=:
l+e-
2s
b(s)
As shown in Example (80), qand bare coprime; therefore the ordered pair (2e -s, I +e-2s) is
a coprime factorization of h. As we shall see, this will enable us to analyze feedback sys-
tems involving h.
90 Lemma Every rationalfunction has a coprimefactorization.
Proof Suppose p(s) is a rational function, and express p(s) as a(s )!P(s) where a and
are polynomials with no common zeros in C+. Let kequal the larger of the degrees of a and
and define
A a(s) A
a(s)= k' b(s)= :
(s+l) (s+l)
Then a,bEA, and clearly p(s)=a(s)lb(s). Moreover, a and bare coprime, since they
satisfy the criterion of Lemma (86). Hence (a, b) is a coprime factorization of p.
IfPis irrational, it need not have a coprime factorization. An example of such a func-
tion is constructed in Vidyasagar et al. (1982). The idea is to choose two irrational functions
a, bE Asuch that each function has an infinite sequence of zeros in C+, and such that the two
zero have a common accumulation point on the jw-axis. In this case, the ratio
p=albdoes not have a coprime factorization. But the next result shows that a large number
of irrational functions do have coprime factorizations, and brings out the importance of the
setB.
A
92 Lemma Suppose qhas a coprime factorizationpnd that rE A; then p:=q+rhas a
coprime factorization. In particular, every function in B has acoprimefactorization.
Remark In effect, this lemma shows that a function has a coprime factorization if its
"unstable part" has a coprime factorization.
Proof Suppose (a, b) is a coprime factorization of q, and choose X, YE Asuch that (79)
holds. Then, since q= alb, elementary algebra shows that
93
A a A a+br
p=-;;::+r=-A-'
b b
Now c +rb and bbelong to A; they are also coprime, since
Sec. 6.5 LTI Feedback Systems 329
A A
94 x(a+rb)+cY-xr)b=I,V'sEC+.
Hence the ordered pair (a + rb, b) is a coprime factorization of p:.. The last sentence of the
lemma follows because, from Theorem (67), every function in B is the sum pf a rational
function [which has a coprime factorization by Lemma (90)], and a function in A.
The extension of these ideas to MIMO systems is straight-forward. For this purpose, a
little notation is introduced. Let the symbol Fdenote the set of all ratios alb where a, bE A
and b::F- 0, and in addition two ratios alb, e/;(are deemed to beequal if ad = be. Then Fis
called the field of fractions associated with A. One can think of F as the set of all transfer
functions that have a fractional representation over A. Next, the symbol M (S) is denotes the
set of all matrices, of whatever order, whose components all belong to the set S. Typically,
the set S will be one of A, A, F, B, and so on. The reason for introducing the generic symbol
M, which denotes "matrix," is that often the precise dimensions of the various matrices
encountered below are immaterial to the main argument.
95 Definition Suppose A, BE M(A) have the same number ofcolumns; then A and Bare
saidto be right-coprime ifthere exist X, YE M(A) such that the identity
96 X *A + Y *B = 18(t)
holds, or equivalently,
.... .... " ....
97 X(s)A(s)+Y(s)B(s)=I, V'SEC+.
In this case we also say thatA, BEM(A) are right-coprime.
98 Definition Suppose A, BEM(A) have the same number of rows; then A and Bare
said to be left-coprime ifthere exist X, YE M(A) such that
99 A*X+B*Y=/8(t),
or equivalently,
'" A .... A
100 A(s)X(s)+B(s) Y(s) =1, V'SEC+.
A
In this case we also say thatA, BE M(A) are left-coprime.
Thus the notion of coprimeness for scalar-valued functions introduced in Definition
(77) has two distinct generalizations to the matrix case, namely left-coprimeness and right-
coprimeness. This is not altogether surprising, since matrix multiplication is not commuta-
tive. Note that A and B are right-coprime if and only if A' and B' are left-coprime. With the
aid of this observation, all of the results given below for right-coprimeness can be readily
translated into results for left-coprimeness.
330 Input-Output Stability Ch.6
A necessary and sufficient condition for two scalar functions to be coprime is given in
Lemma (81). Again, there are two generalizations of this result to the matrix case, one for
right-coprimeness and another for left-coprimeness. Only the right-coprimeness result is
stated here, and the reader can easily infer the corresponding result for left-coprimeness.
101 Lemma Suppose A, BE M(A) have the same number of columns. Then A and Bare
right-coprime ifandonly if
A, A
102 inf Idet[M (s)M(s)] I> 0,

where
A [A(S)]
103 M(s)= A
B(s)
Note that the condition (102) is a little stronger than: M (s) has full column rank for all
A A , A
SEC+. If M(s) has full column rank for all SE C+, then certainly det [M (s)M(s)] > 0 for all
SEC+. But this is not all (102) says: it says something more, namely that the quantity is
boundedaway from zero.
104 Definition Suppose PE M(F). Then an ordered pair (N, D) is a right-coprime fac-
A A A A _I A A
torization (ref) ofP if(i) P = ND ,and(ii) Nand D are right-coprime. In this case we also
say that (N, D) is a right-coprimefactorization ofP.
The concept of a left-coprime factorization (lef) is defined analogously.
The next result is a matrix analog of Lemma (90).
A A
105 Lemma IfP(s) is a matrix ofrationalfunctions ofs, then P has an refandan lcf.
The proof ofthis result may be found in Vidyasagar (1978b).
The next result is a matrix analog of Lemma (92). Its proof is left as an exercise to the
reader.
A A A .... A
106 Lemma If P has an rcf trespectively, an lcf], and ifQEM(A), then P +Q has an ref
(respectively, an lcf]. Every matrix inM(B) has both an rcfandan lcf.
Up to now we have had a barrage of definitions and lemmas. Finally we come to the
piece de resistance of this section, which is a set of necessary and sufficient conditions for
the feedback stability of systems of the formshown in Figure 6.2, in the case where G I and
G
2
are linear tirne-invariant systellls. Let G;, i = 1,2 denote the transfer matrices of these
tJ'o systems, and note that G I G2 have complementary dimensions. In other words, if
qI dimensions lxm, then G2 has dimensions mxl. As a consequence, both GIG2 and
G2G I are square matrices, though possibly of different dimensions. A standard identity in
matrix !heoryA can now be used show that, for each fixed s, we have that
det [l +G I (s) G2(s)] =det [l +G2(s) G I (s )]. If this determinant is not identically zero as a
Sec. 6.5 LTl Feedback Systems 331
function of s, then we say that the feedback system is well-posed. In this case it is possible to
solve the system equations (6.2.27) in the form
where
A A
We ~ y thatthe feedback system is stable if HEM(A). From Theorem (6.4.45), it follows
that HE M(A) is a necessary and sufficient condition for various forms of stability. The next
theorem can therefore be thought of as providing necessary and sufficient conditions for
several types of stability at once.
A A A A
109 Theorem Suppose tN], D
i
) is an ref ofG
i
and (N
i
, D
i
) is an lef of Gc for i = I, 2.
Then the following statements are equivalent.
A A
(i)HEM(A).
A
110 (ii) inf Idet A(s) I > 0,
Res ~
where
A _ A
111 A=N
1N2
+D
1D2

-
112 (iii) inf IdetA(s)I >0,
Res ~
where
_ _ A
113 A=N
2N 1
+D
2D 1
.
Remark Note that conditions (lID) and (112) can beverified using graphical criteria
analogous to Theorem (35) and Corollary (38). More on this later.
Proof Using the matrix identities
114 A (/ +BA)-I =(/ +AB)-IA,
115 (/+BA)-l =1-B(/+AB)-lA,
one can obtain two equivalent expressions for H from (108), one of which involves only
(/ +G1(
2)-1
and the other of which involves only (/ +G
2G
I r
l
. They are
332 Input-Output Stability Ch.6
A A
It is now shown, using the expression (116), that HE M(A) if and only if (110) holds. The
proof that HEM(A) if and only if (112) holds is entirely analogous, and proceeds from the
expression (117) for H.
Substitute
A --I - A A A_I
118 GI=D(Nl,G2=N2D2
in (116) and clear fractions. This gives
[
AAI_ AA(_j
A I-N
2
/1 N
I
-N
2
/1 D
I
119 H = A A_I - A A_I - .
D
2
/1 N, D
2
/1 D,
A_I A
First, suppose (110) holds. Then, by Lemma (3),1 it follows that /1A EM Since all the
matrices on the right side of (119) belong to M{A), it follows that HE M(A). To prove the
converse, supposeHEM(A). Then since IE M(A), it follows from (119) that
[
A A_I _ A A_I _] [A] ,
N2/1 N 1 N2/1 DIN2 A I _ _ A A
120 A A_I - A A_I - = A /1 [N( Dd=:MEM(A).
D
2
/1 N, D
2
/1 D
I
D
2
_ _ A A A
Nowselect matrices X" Y" X2, Y2E M(A) such that
_ _ A A
Such matrices exist because N I, D I are left-coprime, and N
2
, D
2
are right-coprime. Now
from (120) it follows that
122 = [X, Y,JM
A A
Since Ae M(A), Lemma (3) now shows that (I 10) holds.
123 Example As an illustration of Theorem (109), consider a feedback system of the
form shown in Figure 6.5, where
Sec. 6.5
A I
g(s)=--
coshs
LTI Feedback Systems 333
and k is a constant. As shown in Example (89), a coprime factorization of gis given by the
ordered pair (n(s), d(s :=(2e -', I + e-2,). Since k is just a constant, it has the obvious
coprime factorization (k, I). Since the system is S!SO, we need not bother about lefs and
ref's, as both notions coincide. Hence the function ~ of (III) is in this instance given by
It is now shown that, for every kE R, there is an SOE C+ such t h a t ~ s o =0. This means
that (110) is violated, and hence the feedback system is unstable. Consider the equation
I +e-
2s
ke" =0.
This is a quadratic equation inx :=e<. Let a, ~ denote the two roots of the equation
I +x
2
+kx =0.
Then clearly a ~ = I, which shows that both roots are nonzero and that at least one root has
magnitude less than or equal to I. Let a denote a root such that 0 < I a I ~ I, and select
SOE C+ such that e -"0 = a. Then ,&(so) =0, which means that (lID) does not hold. Thus we
can conclude that the feedback system is unstable for all real k.
+
+
Fig.6.11
Now suppose the feedback operator is changed from a constant k to a pure delay of I
second and a gain of - 0.5, ~ s shown in Figure 6.11. In this case, since the feedback operator
-0.5 expi-s) belongs to A, it has the coprime factorization (-0.5 exp (-s), I). Now the
function ~ becomes
Hence (110) is satisfied, and we conclude that the system of Figure 6.11 is (BIBO) stable.
-
124 Example As another illustration of Theorem (109), consider again the system of Fig-
ure 6.5, with
334 Input-Output Stability Ch.6
A 1
g(s)= --, k = 1.
tanhs
Now g(s) has the coprime factorization (n, d) with
n(s)= 1+e-
2
s, d(s)= l_e-
2s.
It is easy to see that g=nld. Also, nand d are coprime since (79) is satisfied with x=y=1.
Hence
A A A
I1(S) =d(s)+kn(s)=d(s)+n(s)= 1.
Hence ( 110) holds, and the feedback system is stable.
+
Fig.6.12
125 Example In this example, we analyze whether the stable feedback systems of Exam-
ples (123) and (124) remain stable when a small delay is inserted into the loop. Consider
first the system of Figure 6.12, which is the same as that in Figure 6.11 except for an addi-
tional delay in the feedback. It is now shown that, for every E > 0, there is a t < E such that
the system of Figure 6.12 is unstable. In other words, though the system of Figure 6.11 is
stable, it can be destabilized by the insertion of an arbitrarily small delay in the loop.
The feedbackoperator of the system of Figure 6.12 is - 0.5 exp [-(t + l)s], which still
belongs to A. Hence
~ s = 1+e-
2s
+(2e-
s)-(-0.5e-(H
I)s)= 1+e-
2s
_e-(2H)S.
Choose t e 21m where mis an integer, and define x =exp (-2slm). Then
Now consider the polynomial equation
The product of all the roots of this equation is 1. This implies that all roots are nonzero, and
that at least one root (call it a) has magnitude no larger than 1. Choose SOE C+ such that
exp (-2s oIm) = a. Then l1(s0) =0, which shows that OW) is violated and that the feedback
system is unstable whenever t =21m, man integer. By choosing msufficiently large, we can
Sec. 6.5 LTI Feedback Systems 335
make 't as small as we wish. This shows that the system in Figure 6.12 is unstable for arbi-
trarily small choices ofr.
+
+
Fig.6.l3
Similarly, consider the feedback systemof Figure 6.13. In this case
As before, let 't =21m, x =exp (-'ts), and consider the polynomial equation
Earlier reasoning applies here, and one can conclude that there is at least one root a such that
0< I a I :5: 1. If SoEC+ is chosen such that exp (-2s aim) = a, then ~ s 0) =0, which implies
that (110) is violated and that the feedback system is unstable.
As a final remark, note that both l/cosh sand l/tanh s have infinitely many poles in C+.
It is difficult, if not impossible, to find stabilizing controllers for such systems which con-
tinue to maintain closed-loop stability even when a small delay is inserted into the loop.
This section is concluded with a graphical stability criterion for MIMO systems which
is a generalization, to distributed systems, of a result in Rosenbrock (1970).
126 Theorem Consider the system of Figure" 6.2. Suppose GI and G
2
are lineor and
time-invariant, with transfer matrices G I and G
2
respectively. Suppose that each G; is oj
theform
A A A
127 Gi(S)=Gia(S)+Gir(S),i=1,2,
A A A
where G
ia
E M(A) and 9ir is a matrix of strictly proper rational functions. Suppose the
delays ofboth G la andG
2a
are rationally related, i.e., suppose there exists aT>Osuch that
128 Gia(t) =~ i j oCt -iT)+Gim(t), G;mE M(L I)'
j=O
_ A
Finally, let Ili denote the McMillqn degree of the unstable part of Gi: Then the transfer
function Hoff108) belongs to M(A) if and only if thefollowing two conditions hold:
336 Input-Output Stability Ch.6
A A
129 (i)inf Idet[I+G,Uw)G
2Uw)1
>0, and
WEIR
130 (ii) lim $U 21tnfI) - $(- j 21tnfI) = 21t(11I + 112),
n ~
where
A A
131 $Uw) =Arg det [I + G I Uw) G
2Uw).
Remarks
I. Suppose Gis a matrix of rational functions and that p is a pole of g. Then the
McMilIaoAdegree of p as a pole of G is the highest order it ~ a s as a pole of any
minor of G. The McMillan degree of the rational matrix G is the sum of the
McMillan degrees of all of i t ~ poles. Thus 111 is the sum of the McMillan degrees
of all the unstable poles of G I' Since the jw-axis is indented to go around the
purely imaginary poles, only those poles with positive real parts should be
counted in computing 11I' Similar remarks apply to 112'
2. Note that the hypothesis of Theorem (126) requires that the all delays in both G la
and G2a must be rationally related.
3. If the system is SISO and G
2
is just a constant k (so that 112 =0), then Theorem
(126) reduces to Theorem (35).
Problem6.15 Prove Lemma (I) for rational functions f
Problem 6.16 Using Theorem (35), determine the range of constant feedback gains k
which can be placed around the following transfer function in order to produce a stable
closed-loop system:
A ( ) _ [-5 20] [-5 20] 2
g S - e +-- e ---
s-1O s+50
Problem 6.17 Using Theorem (109), determine whether or not each of the following
feedback systems is stable.
(a)
(b)
A 1 A :
gl(S)= --h-' g2(S)= -10'
cos s s+
A I A s+1
gl(s)=-t h ,g2(s)=-2'
an s s+
Sec. 6.6 Time- Varying and/or Nonlinear Systems 337
6.6 TIME-VARYING AND/OR NONLINEAR SYSTEMS
The previous section was addressed to the stability of linear time-invariant feedback
systems. In the present section we study time-varying and/or nonlinear systems. Two gen-
eral methods are presented for the analysis of such systems. The first, known as the small
gain approach, can be used to study Lp-stability for all values of pE [1,00], whereas the
second method, known as the passivity approach, can be used to study Lrstability. Using
the relationships between input-output and Lyapunov stability derived in Section 6.3, both
approaches can also be used to analyze the Lyapunov stability of nonlinear feedback sys-
tems. In particular, the small gain approach leads to the circle criterion while the passivity
approach leads to the Popov criterion.
6.6.1 The Small Gain Approach
The starting point of the small gain approach is the following result:
1 Theorem Consider the system in Figure 6.2, and suppose ps: [1,00] is specified. Sup-
pose in addition that both G I and G
2
are causaL and Lp-stabLe wb, and Let Yip = Yp(GI),
Y2p = Y
p(G 2)
Under these conditions, the systemofFigure 6.2 is Lp-stabLe if
Remarks
I. The inequality (2) is often called the small gain condition, and the name of the
approach derives from this.
2. Theorem (I) can be interpreted as a perturbational result. Suppose we begin with
two subsystems G I and G2 which are stable in themselves, and then we intercon-
nect them in the fashion shown in Figure 6.2. Then the resulting system is also
stable provided the "loop gain" is less than one.
3. Theorem (1) is also valid with "wb" replaced throughout by "wfg." The proof of
the amended version is left as an exercise (Problem6.18).
Proof To streamline the proof, let us introduce some notation. If a, be R", then the
statement "a s b" is equivalent to "ai$;b
i
Vi," and to "b-vae R"." Note that if a, bs R",
a$; b, and AE ~ x , then Aa $;Ab. This is the matrix generalization of the fact that multiply-
ing both sides of a scalar inequality by a nonnegative number preserves the inequality.
Suppose the system equations (6.2.24) are satisfied, so that
338
4
Input-Output Stability Ch.6
It is shown that if UjE L;; for i = I, 2, then e" Y2E L; I, and e2' Y I E L;2. Since Gj is causal
and L
p
-stable wb, it follows from (4) that
5 [IIY1II
TP
] <[YIP 0] [lIeIIl
T
P]
>
IIY2 IITp - 0 Y2p IIe 2 IITp ,"IT- O.
Taking norms in (3) gives
6
Substituting from (5) into (6) gives
7 [ IIe I IITP] < [ IIUI IITP] +[ 0 Y2
P]
lIe211Tp - lIu211Tp Yip 0
or
8
Now examine the matrix
IfYipY2p < I, then M is nonsingular, and
I
[
I Y2
P]
10 M-
1
- R
2x2
- I - YipY2p Yip I E + .
Hence we can multiply both sides of (8) by M-
I
and the inequality still holds. This results in
[
li e I IITP] I [ I Y2
P]
[II UI IITP] >
11 II II < 'V I II II ' "IT- O.
e2 Tp - I-Yl
pY2p
lip U2 Tp
Ifu;Eq fori = I, 2, then
Sec. 6.6 Time- Varying and/or Nonlinear Systems 339
12
Now (11) and (12) imply that
13
[
li e 1 IITp ] 1 [ I YZp] [ IIUI IIp] >
II II
< Y I II II ,\;;IT - O.
ez Tp - l-YlpYZ
p
Ip Uz p
However, since the right side of (13) is independent of T, it follows from Lemma (6.1.24)
that e;E L;' for i = I, 2. Finally, combining (13) and (5) gives the bound
14 [lIy,IIPl I [YIP YIPYZP] [IIU
l
ll
p]
Ilyzll pJ s I-YlpYz
p
YlpYZ
p
Yzp Iluzll
p'
\;;IT?O.
This shows that YI E L;' ,yZE L;I The inequalities (13) and (14) show that the system is L
p
-
stablewb.
+
Y2
Fig. 6.14
As an application ofTheorem (I), consider the SISO feedback system shown in Figure
6.14, where the forward path element is linear, time-invariant, and has the transfer function
g(s); and the feedback element is a memoryless, possibly time-varying nonlinearity.
Specifically, suppose <1>: R+xR R is a given continuous function, and define a
corresponding operator <I> on L Ie by
15 (<I>x)(t) =<I>[t, x (t)], \;;It?O.
We say that <I> (or <1 belongs to the sector [a, b 1if it is true that
16 <I>(t, 0) =0, anda s <I>(t, a) :::;b, \;;Ia:;eO, \;;It ?O,
a
or equi valently
Note that (17) is the scalar version of Definition (5.6.9). Now a direct application of
Theorem (1) leads to a simple sufficient condition for the system of Figure 6.14.
340 Input-Output Stability Ch.6
18 Lemma Consider the system ofFigure 6.14, where gE A. and e belongs to the sector
[-r, r]. Then the system is L 2-stable wb provided
Proof Apply Theorem (I) with G, =g (or, more precisely, let G1:x *x), let
G
2
= <1>, and letp = 2. Then both G I and G
2
are causal and Ly-stable: in addition,
20 Y2(G
1
) = sup
10
where the first inequality follows from Theorem (6.4.40). Now the condition (2) for L
2-
stability becomes
21 suplgUw)I'r<l,
10
which is the same as (19) .
Remarks Inthe proof of Lemma (18), the fact that <I> is a memoryless nonlinearity is
not used; the only relevant property of <I> is that Y2(<I r-
I

YI
+
K
Fig. 6.15
ez
+
+
Uz
By making a suitable transformation of the system in Figure 6.2, one can significantly
expand the range of applicability of Theorem (I). The idea is to introduce an additional L
p
-
stable linear operator K which is first subtracted and then added to G2, as shown in Figure
6.15. Then, through block diagram manipulations, the system is redrawn as shown in Figure
6.16, where Know acts as a feedback around G I and a feed-forward around G2' Note that
the first external input is changed from u2 to u I - Ku 2 as a result of these manipulations.
Now the systemof Figure 6.16 can be interpreted as that in Figure 6.17. If this system is L
p
-
stable, then so is the original one in Figure 6.2 (and conversely; see Problem 6.19). These
ideas are formalized in the next result.
Sec. 6.6 Time-Varying and/or Nonlinear Systems 341
+
y,
Fig.6.16
K
K
22 Theorem (Loop Transformation) Consider the system shown in Figure 6.2. and
suppose p e [1,001is specified. Suppose G
z
is causal and Lp-stable wb. Under these condi-
tions, the system is Lp-stable wb if there exists a causal linear operator K which is Lp-stable
wbsuch that (i) GI (/ +KG J r ' is causal and Lp-stable wb, and (ii)
Proof The systemof Figure 6.2 is described by the familiar equations
Now define a new output
25 zz=yz-Kez=(Gz-K)ez,
and eliminate y z from (24). This gives
Using the fact that K is linear, (26) can berewritten as
The other equations in (24) now become
Clearly (27) and (28) describe the system of Figure 6.16. Now this systemcan be rearranged
as in Figure 6.17, with
342
Ul
+
Fig.6.17
Input-Output Stability Ch.6
By applying Theorem (I) to the system of Figure 6.17, one can conclude that this system is
Lp-stable wb if (i) G I (/ + KG I r' and G
2
- K are causal and Lp-stable wb, and (ii) (23)
holds. To complete the proof, it only remains to show that the original system (24) is also
Lp-stable wb.
For this purpose, introduce the notation
and note that Ya Yb < I from (23). Now, from (29), we have
Hence, whenever (u I, u2)E L;, it follows that (v I' v2)E L;, and moreover,
32
where k
p
is the induced norm of the linear operator K viewed as a map from L;' into L;2.
Now the fact that Ya Yb < 1 implies that the system of Figure 6.17 is L
p
-stable wb. Hence,
whenever (u r- U2)EL;, [which in tum implies that (v j, v2)E L;J. it follows that
(dr- d
2)E
L;. (zI, Z2)EL;. Moreover, in analogy with (13) and (14) one obtains the bounds
33 [ IId \ IIp] I [ I Yb] [ IIv \ II p]
IId
2
11 p I-YaYb Ya I IIv2l1p'
[
li z I IIp] I [Ya t; Yb] [ IIv I IIp]
IIz211 p s I-YaYb YaYb Ya Ilv21lp
Substituting from (32) into (33) gives
Sec. 6.6 Time- Varying and/or Nonlinear Systems 343
34
To obtain bounds on the Lp-nonns of e I, e2, Y I, Y2, notice that the system equations (3) and
(29) imply that
Hence
IIY2I1p:S; IIz
211p
+k
p
lIe2l1p, lie I IIp:S; lid I lip +k
p
lIy I lip.
Substituting from (32), (33) and (34) into (36), and performing a certain amount of routine
algebra, yields
37
38
[ lie I IIp] 1
[Yakp+l (Yakp+l)(Yb+kp)]
[ Ilu I lip]
lIe211p
:s;
Ya Yakp + 1
lIu211p ,
l-YaYb
[II
Y11Ip]
<
1 [Ya Ya(Yb+
kp)]
["., II,]
IIY2 11p -
l-YaYb
Ya(Yb+kp) (Yakp+1)(Yb+kp) lIu211p .
Hence the system of (3) is Lp-stable wb.
In the original version of the small gain theorem, the two subsystems G I and G2 are not
distinguished, in the sense that both the stability condition (2) and the bounds (13), (14)
remain the same if the indices 1 and 2 are interchanged throughout. However, this sym-
metry is no longer present in Theorem (22), for the obvious reason that now the two subsys-
tems are treated differently: One has a feedback placed around it while the other has a feed-
forward placed around it.
Combining Theorem (22) with the Nyquist stability criterion [Theorem (6.5.35)] leads
to a very widely applicable result known as the circle criterion. One bit of notation is intro-
duced to facilitate the statement of the theorem. Suppose a and b are nonzero real numbers
with a < b. Then the symbol D (a, b) denotes the disk in the complex plane which is cen-
tered on the real axis and whose circumference passes through the two points -lla and -lib
(see Figure 6.18). Equivalently,
344 Input-Output Stability Ch.6
Imz 1mz
a
1
b
1 1 r 0 1 ~ Re z
a
--+---+---+--..-. Re z
(a) D(a, b) when
O<a<b.
(b) D(a, b) when a <0 <b.
1mz
1
b a
----il---f----+-..-. Re z
(c) Dta, b) when a <b <O.
Fig. 6.18
39
{
I b+a' Ib-al}
D(a, b):= ZEC: Iz+ --I:$; 1--1 .
1 2ba I I 2ba I
40 Theorem (Circle Criterion) Consider the system of Figure 6.14, where the non-
linearity <I> is memoryless and belongs to the sector [a, b ], and the transferfunction i has
theform
whereir is rational and strictly proper, iaE A, and there exists a T'>0 such that
42 ga(t) = r,gl'(t-iD+gm(t), gmELj.
i=O
Under these conditions, the feedback system is Lz-stable wb if one ofthe following condi-
tions, as appropriate, holds:
Case (1). ab >0: (i) With the jus-axis indented around the purely imaginary poles ofi
as in Section 6.5.1, theplotofiuro) is boundedawayfrom thediskD(a, b), i.e.,
Sec. 6.6 Time- Varying and/or Nonlinear Systems 345
43 inf IgUO))-z I>O.
WE IR, ZE D (a, b)
(ii) Let u, denote the number ofpoles ofg with positive real part; then
44 lim "dzED(a, b).

45
Case (2).0 = a < b: (i) gEA, and (ii)
inf RegUO)) > - 1..
WEIR b
Case (3). a < 0 < b: (i) gE A, and (ii) the plot ofgUO)) is contained in the disk D (a, b),
and is boundedawayfrom the circumference ofthe disk.
Remarks
I. Note that, in (42), all the delays in the impulsive part of ga are commensurate,
2. If ga in (42) has no delayed impulses, then (44) is equivalent to the simpler condi-
tion: The plot of gUO)) encircles the disk D (a, b) in the counterclockwise direc-
tion exactly u, times as 0) increases from -00 to 00.
3. Recall that Theorem (6.3.46) relates the Lrstability of a system to the global
attractivity of the unforced equilibrium; now Theorem (40) gives a sufficient con-
dition for Lrstability. By combining the two theorems, one can recover the circle
criterion of Lyapunov stability [Theorem (5.6.37)]. However, the input-output
. version of the circle criterion is more general than the Lyapunov stability version,
since the former applies even to distributed systems, delay systems, etc,
4. Ifb - a 0 and a, b both approach a constant k 7= 0, then Theorem (40) reduces to
the sufficiency part of the graphical Nyquist criterion [Theorem (6.5.35)]. It is
shown in Theorem (126) later in this section that, in a certain sense, the circle cri-
terion also gives a necessary condition.
5. As stated, Theorem (40) requires the feedback element <t> to be a memoryless non-
linearity. However, this fact is not used in the proof. It is shown in Theorem (126)
that the circle criterion guarantees Lz-stability even if <t> is a dynamic nonlinear
map belonging to the sector [a, b].
Proof Define
46
r=b-a k=b+a
2' 2
Then b =k + r, a =k - r, and the map 0 H <ll(t, 0) - ko belongs to the sector [-r, r]. Now
apply Theorem (22) (the loop transformation theorem) with K =kl, p =2, and combine with
Lemma (18). Since the map <t>-Kbelongs to the sector [-r, r], its Lrgain is at most r.
Hence the system is L rstable wb provided (i)g/(I +kg)E A, and (ii)
346
47
I AU) I
sup I g ro I . r < 1.
OJ I 1+kgUro) I
Input-Output Stability Ch.6
Now it is shown that the hypotheses of the theorem enable us to deduce that the above two
conditions hold.
Consider first case (1). Since the point -11k belongs to the disk D (a, b), (43) and (44)
show that the hypotheses of the Nyquist criterion [Theorem (6.5.35)] are satisfied. Hence
g/(1 +kg)E A. To establish (47), we again make use of (43). From (39), only elementary
algebra is needed to show that
48
I z I 1
1--1< - iffzliD(a, b).
I 1+kz I r
Since the plot of gUro) is bounded away from the disk D (a, b), (47) follows, and the system
is Lz-stable wb.
Next, consider Case (2). In this case k =bl2, and -11k =-2Ib. The bound (45) states
that the Nyquist plot of gUro) is confined to the half-plane Iz: Re z >-lib }, and of course
-11k < -lib. Hence
49 RegUro)+ 11k >0, \tro,
and as a consequence,
50 Arg [gUro) + llk]E (-1rI2, 1rI2), \tro.
Inparticular,
51 Arg [gU 21tnlT) + 11k]- Arg [g(-j 21tnlT) + llk]E (-1t, n), \tro.
Consider the limit of the quantity in (51) as n 00. This limit must be an integer multiple of
21t. Now (51) implies that the limit must therefore be zero. Since gE A, it has no poles with
positive real parts. Hence by Theorem (6.5.35) it follows that g/(1 +kg)EA. Finally, it is
routine to show that
52
z 1
2 1
I I < - iff Re z >- -.
I 1+(bl2)z I b b
Therefore (45) implies (47), and L
2
-stability wb now follows fromTheorem (22).
Finally consider Case (3). Ifk =0, then a =-r, b = r, and the Ly-stability wb of the sys-
tem follows from Lemma (18), so it can be assumed that k *0. The new feature is that
ab < 0, so that some inequalities get reversed when both sides are multiplied by abo As a
consequence we get
Sec. 6.6 Time-Varying and/or Nonlinear Systems 347
53
I z I I
I-I k 1$;-iffzED(a, b).
I + Z I r
Compare (53) and (48). Now (53) shows that the point -Ilk lies outside D (a, b). Indeed, if
k > 0 then -Ilk < -lib, or else if k < 0 then -Ilk> -l/a. In other words, the disk D(a, b)
lies entirely to one side of the point -Ilk. If k > 0, then the fact that gUro)E D(a, b) \;;fro
implies that
54 RegUro) + Ilk >0, \;;fro.
As in the proof for Case (2), (54) implies thatg/(I +kg)E A. Similarly, if k < 0, then
55 Re gUro) + Ilk < 0, \;;fro,
and once again g/(I +kg)EA. Now the hypotheses in Case (3) show that (47) is also
satisfied. Hence the L
2
-stability ofthe system now follows from Theorem (22).
56 Example Consider the systemof Figure 6.14, with
g(s)= [e-
O
.
1S
+ _2_] .[I +e--{).Is __2_] .
s-I s+4
Then gis a product of two functions, each of which belongs to B; hence gE B. By Theorem
(6.5.67), it follows that gis of the form (41), and it is evident that the delays in the impulsive
part of gO are commensurate. Hence Theorem (40) applies to g.
Now gis unstable, and Il+ = I. So Cases (2) and (3) of Theorem (40) are inapplicable,
and only Case (I) may possibly apply. The Nyquist plot of gUro) is shown in Figure 6.19.
From the figure one can see that if
-1.5 < - 1- < - 1- < -1.05, i.e., 0.667 < a < b < 0.95,
a b
then the hypotheses of Case (I) are satisfied. Hence the system of Figure 6.14 is L
2-stable
whenever <I> belongs to the sector [a, b) with [a, b) a subset of (0.667,0.95). Another way
of saying the same thing is that the feedback system is L
2
-stable whenever <I> belongs to the
sector [0.667 +E, 0.95 - E) for some E > O.
57 Example Consider the systemof Figure 6.14, with
A () -O.ls [ S +2 -o.z, S +4 ]
g s =e --+e --.
s+1 s+2
Then gE Aand thus falls within the scope of Theorem (40).
348 Input-Output Stability Ch.6
1mg(jw)

1.5 0.5 o -0.5 -1
-1
o r---'tJfIIC'-----+-------------+_- Reg(jw)
1.5
0.5
- 1.5 _ _.L__J
2
-1.5
--0.5
(a)
Img(jw)
0.5
o
-0.5
-1
-1.5
7C--------..----------+-- Reg(jw)
0.5 o -0.5 -I
-2 L_..i-_---l_-=::t::::=:::::::r:::::::...--L.-l
-1.5
(b)
Fig.6.19
The Nyquist plot ofgis shown in Figure 6.20, from which one can see that
Y2(G)=SUp Ig(jm) I =4.
OJ
Suppose we apply the small gain theorem directly without bothering with loop transforma-
tions. Then Theorem (I) tells us that the system under study is L 2-stable whenever
Sec. 6.6 Time- Varying and/or Nonlinear Systems 349
1mg(jw)
4 3 2
t ~ ....iE_-----__it_------+-- Reg(jw)
2
1.5
0.5
0
-0.5
-I
-1.5
-2
-2 -I 0
Fig. 6.20
In particular, whenever <1> is a memory less nonlinear element in the sector
[-0.25 +f, 0.25 -f], the system is L
2-stable.
Now let us apply Case (3) of Theorem (40). From Figure 6.20 one can see that the
Nyquist plot of gUm) is always in the interior of the disk D (a, b) provided
- J... < -2,4 < - J..., i.e., -0.25 < a < b < 0.5.
b a
Thus the feedback system is L
2
-stable for all memory less nonlinearities in the sector
[-0.25 +f, 0.5 -f] for some e >O. By using Theorem (40) instead of Theorem (I), we are
able to extend the upper limit from 0.25 - eto 0.5 - f.
Next, let us apply Case (1) of Theorem (40). Since 11+ =0 in this case, it is desired that
the Nyquist plot of gUm) neither intersect nor encircle the disk D (a, b). From Figure 6.20
one can see that these conditions are satisfied provided the Nyquist plot lies entirely to one
side of the disk D (a, b). This happens provided either
- J... <- J... < -2, i.e., 0 < a < b < 0.5,
a b
or
4 < - J... < - J..., i.e., - 0.25 <a < b < O.
a b
Combined with the fact that gE A, this once again shows that the feedback system is L
r
350 Input-Output Stability Ch.6
stable whenever <I> belongs to the sector [-0.25 +E, 0.5 -E]. Hence there is no advantage to
applying Case (1) in this instance.
6.6.2 The Passivity Approach
In this subsection, an alternative approach to L
2-stability
is presented, known as the
passivity approach. The Popov criterion is among the useful stability criteria that can be
obtained using this approach. In contrast with the small gain approach which can be used to
analyze Lp-stability for all values of pE [l, 00], the passivity approach is naturally geared to
analyzing L
2-stability;
it is, however, possible to analyze L_-stability using passivity
methods, but this is not discussed in this book.
The next result, though not the most general of its kind, is adequate for the present pur-
poses; it is taken from Vidyasagar (1977). A still more general result, based on the so-called
dissipativity approach, can be found in Moylan and Hill (1978).
58 Theorem Consider the feedback system of Figure 6.2. Suppose there exist constants
Ei' 0i' i = I, 2, such that
Then the system is L2-stable wb if
Proof The systemunder study is described by the equations
As a consequence, it readily follows that
Now, from (59), it follows that
Hence
Now note that lIei 1I}2 = <ei' ei>T, and substitute for e I> e2 from (61). This gives, after
routine computations,
Sec. 6.6 Time-Varying and/or Nonlinear Systems 351
Combining (62), (64), and (65), and rearranging gives an implicit inequality, namely
Using Schwarz' inequality and the triangle inequality on the right side of (66) gives
67 [lIy, lin lIy,lI "f' a,:,] [::;; ::::]
[
1 212I] [II U I II T2 ]
$[lly 11lT2 IIY2
11
n ] 21)1 1 lIu211T2
[
/11 0 ] [IIU
1
1I
T2
]
+ [ II U I II rz II U2 II T2] 0 I2 I II U 2 II T2 .
This vector inequality is of the form
68 x' Ax $ x'Bz +z' Cz,
where
69
_["Yl"
n
] _["Ullln]
x- IIY2
11
n ,z- lIu211T2 '
and the definitions the matrices A, B, C are obvious. Now A is positive definite, and hence
has a symmetric square root S. By "completing the square," (68) can berewritten as
and therefore
71 IISx- S-IBzlI $IIMzlI,
where M is the symmetric square root of the matrix C + (B' AB)/4 and 1111 denotes the
Euclidean norm. Finally,
72 IISxll $[IIMll
i+(ll2)IIS-IBII;]lIzll,
where II II i denotes the matrix norm induced by the Euclidean norm. Since S is nonsingular,
one can deduce from (72) that
352 Input-Output Stability Ch.6
73 IIxll $(l/IlS-llI
i)[IIMll i+(II2)IIS-
1Blldllzll.
This shows that the relation between u and y is Lrstable wb. By Lemma (6.2.33), this
shows that the systemas a whole is Lz-stable wb.
Remark Theorem (58) is stated for SISO systems, but it is easy to see that this fact is
not really used in the proof. Thus the theorem is applicable to MIMO systems as well, but an
essential restriction is that both G I and G
z
are "square," i.e., have an equal number of inputs
and outputs; otherwise quantities such as <y I, e I >T do not make sense. On the other hand,
the so-called dissipativity approach does not have any such restrictions.
Several useful results can now be obtained as corollaries of Theorem (58). To state
them in their original historical form, two terms are introduced.
74 Definition An operator G : L
ze
~ L
Ze
is saidto be passive if
75 <x, G X T ~ O V T ~ O VXEL
ze
,
and is strictly passive ifthere exists a constant e > 0 such that
77 Corollary Thefeedback system of Figure 6.2 is Ls-stable wb ifboth G I and G
z
are
strictly passive.
Proof In this case (59) holds with 1 > 0, z > 0, and 0, =Oz =O. Hence (60) is
satisfied and the result follows from Theorem (58).
78 Corollary Thefeedback systemofFigure 6.2 is L
z
-stable wb if either (i) G I is strictly
passive and hasfinite gain, and G
z
is passive, or (ii) G
z
is strictly passive and has finite
gain, and G I is passive.
Proof Suppose (i) is true. Select constants e > 0 and y< 00 such that
and observe that
Thus G
z
satisfies (59) with z =Oz =O. Now (80) implies that
82
Pick any <XE (0, e), and note from (79) and (82) that
Sec. 6.6 Time-Varying and/or Nonlinear Systems 353
90
Hence G I satisfies (59) with
84 1 =-a, (), =a.I'(.
Since both , and (), are positive, (60) is satisfied and the result follows from Theorem (60).
If (ii) holds, simply interchange the indices I and 2 throughout.
85 Corollary Consider the feedback system of Figure 6.2, and suppose there exist real
constants and()anda positivefinite constant ysuch that
Under these conditions, the system is L z-stable wb if
89 +0>0.
Proof As in the proof of Corollary (78), (86) and (87) together imply (83). Hence G I
satisfies (59) with , and 0\ defined in (84). Now (88) states that G
z
satisfies (59) with
z =0, ()z =o. Hence, for sufficiently small ex, we have
a
0, +z = 7 >0, Oz +\ =+o-a> O.
Hence (60) is satisfied and the result follows from Theorem (58).
The well-known Popov criterion can now be obtained as an application of Corollary
(85). A preliminaryresult, which is of independent interest, is stated first.
91 Lemma Suppose gE A, anddefine G: L
Ze
L
Ze
by Gx = g *x. Define
92 = inf RegUoo).
WEIR
Then (79) holds (with G I replaced by G).
Proof Since G is causal, it follows that (GX)T= (GXT)T, for all T 2:0 and for all xELzeo
Also,
354 Input-Output Stability Ch.6
T
93 <x, GX>T=fx (t)(Gx)(t)dt = fXT(t) (Gxh(t)dt= fXT(t) (Gxr)(t)dt.
o 0 0
Now xrE L
2
whenever xe L
2e
and therefore XThas a Fourier transform; denote itby xTUoo).
Also. since geA, the function GXTbelongs to L
2
and its Fourier transform is gUoo) XTUoo).
By Parseval' s theorem,
94
ee
<x, Gx>r= _1_ Re f [xrUOO)] *gUoo)xrUoo) dt
21t _
~
= _1_ f RegUoo) IxTUoo) 1
2
dt
21t_
X T ~ =lIx Ilh
Since (94) is true for every T ~ Oandevery xeL
2e
, the lemma is proved.
95 Theorem (Popov Criterion) Consider the feedback system shown in Figure 6.14,
and suppose the following conditions hold: (i) gO has a distributional derivative, and
g. geA. (ii) cI> is a memoryless time-invariant nonlinearity oftheform
96 (cI>x)(t) = <I>[x (t)].
where <1>: R ~ R is continuous and belongs to the sector [0, b] where b could be infinite.
Finally, suppose there exists a constant q ~ 0 such that
Underthese conditions, the functions e I, e2, Y10Y2 belong to L
2
whenever u \. U2 and U2
belong to L
2;
moreover, there exists a constant y < 00 such that
Remarks
1. Popov's criterion applies only to time-invariant systems, since <1>0 in (96) does
not depend explicitly on t.
Sec. 6.6 Time-Varying and/or Nonlinear Systems 355
2. The conclusions of the theorem do not quite say that the system under study is
Lrstable. Rather, the second input u 2 and its derivative u2 must both belong to
L
2
in order for the signals e I, e 2, Y I' Y2 to belong to L
2

3. If q = 0, then (97) reduces to (45), and the Popov criterion reduces to Case (2) of
the circle criterion. But in this case we already know from Theorem (40) that (i)
the nonlinearity <!> could be time-varying, and (ii) true Lrstability can be con-
cluded in that there is no restriction on U2' Hence the full power of the Popov cri-
terion comes into play only when (97) is satisfied for some q > 0, since in this case
the inequality (97) is weaker than (45).
r----- ---------,
I I G]
I I
I ..... _ .
I I
I I
I I
L J
Fig. 6.21
r---- - -- ------,
I I
I I
, I I Z
I
I
I I
G L ...! 2
Proof Rearrange the system of Figure 6.14 as shown in Figure 6.21 by introducing the
"multiplier" I + qs. In the process the input u 2 is modified to v 2 = U 2 + qu 2, which belongs
to L
2
by assumption. Now define G I and G
2
as shown in Figure 6.21 and apply Corollary
(85). The assumption that g, gE A imply that (1 + qs) g(S)E A. Hence GI has finite L
2
-gain
wb and satisfies (87). Next, from Lemma (91), G I satisfies (86) with
99 := inf Re[(1 +jwq)gUro)].
WEIR
It is now claimed that G2 satisfies (88) with 0 = lib. If this can be shown, then the theorem
follows, because e + 0 > 0 by virtue of (97).
Thus, to complete the proof of the theorem, it only remains to show that
Now from Figure 6.21, we see that
101 r(t)=<!>[w(t)], z(t)=w(t)+qw(t).
From Remark (3) above, it can be supposed that q > 0, since if q = 0 the theorem follows
356 Input-Output Stability Ch.6
from the circle criterion. If q > 0, then w is the convolution of z and the function
(lIq) exp (-t /q), which shows that w (0) = O. Now
T T
102 <z. r>T=f cj>[w(t)] w(t)dt+q f cj>[w(t)] w(t)dt.
o 0
However,
T w(T) w(T)
103 f cj>[w(t)] w(t)dt = f cj>(o)do= f
o w(O) 0
since the graph of cj>0 always lies in the first or third quadrant. Hence (02) and (03)
together imply that
T
104 <z, f cj>[w(t)] w(t)dt.
o
Now, since cj> belongs to the sector [0, b ], it follows that
Hence
and as a result,
Combining (104) and (107) gives
1 2
108
thus establishing (100) and completing the proof.
The inequality (97) can begiven a graphical interpretation, which makes it useful in
practice. Suppose we plot RegUo versus o>lmgUo as 0>varies from 0 to 00. This graph is
called the Popov plot, in contrast to the Nyquist plot in which one plots RegUo versus
1mgUo. Since both Re gUo and 0>1mgUo are even functions of 0>, it is only necessary
to draw the plot for 0> O. The inequality (97) means that one can draw a straight line
through the point -lib +j 0 with a slope lIq 0 such that the Popov plot lies to the right of
the line and does not touch it; such a line is called a Popov line.
Sec. 6.6
109 Example Let
A 1
g(s)= 2 .
s +4s +4
1mg(jw)
Time-Varying and/or Nonlinear Systems 357
- - - : _ ~ - - - - - - - - r - - - Re g(jw)
1
32
1
4
Fig. 6.22
w ImgUw)
--......---------,..... ~ Re gUw)
Fig. 6.23
1
4
The Nyquist plot and the Popov plot of gare shown in Figures 6.22 and 6.23, respectively.
From Figure 6.23, one can see that no matter how small lib is (i.e., no matter how large b is).
it is always possible to draw a suitable Popov line. as indicated. Hence the systemof Figure
6.14 is L
2-stable
for all time-invariant nonlinearities 4>0 in the sector [0, b] for all finite b.
On the other hand.
inf Reg(jro)=- _1_.
WEIR 32
So (45) is satisfied whenever b < 32. Thus. by applying Case (2) of the circle criterion. one
sees that the systemof Figure 6.14 is L
2
-stable for all possibly time-varying nonlinearities in
the sector [0, b] for b < 32. Hence, by restricting the memoryless element to be time-
varying, we are able to infer stability for a larger class of nonlinearities.
Application: Aizerman's Conjecture
358 Input-Output Stability Ch.6
Aizennan's conjecture was stated in Section 5.6. Now consider the input-output ver-
sion of Aizennan's conjecture, stated next:
+
Fig. 6.24
no Conjecture Consider the system of Figure 6.24, and suppose that g, gE A. Suppose
in addition that gl( 1+kg)E Afor all kE [0, b]. Then the system in L
2-stable
for all non-
linearities <II in the sector [0, b ].
Essentially Aizerman's conjecture (input-output version) states that if the system of
Figure 6.24 is L
2-stable
whenever <11(-) is a constant gain of value kE [0, b], then it is also
L
2-stable
for all (memoryless time-invariant) nonlinearities in the sector [0, b]. In general,
Aizennan's conjecture is false; see Willems (1971) for a class of counterexamples. How-
ever, Popov's criterion provides a means of identifying a large class of transfer functions
g(.) for which Aizennan' s conjecture is true.
Suppose g, gE A. If g(-) contains any impulses, then gwould contain higher order
impulses and thus would not belong to A. Thus the assumptions gE A, gE A imply that g
does not contain any impulses, i.e., that gEL
t
Because gEL
h
it follows from the
Riemann-Lebesgue lemma that gUO) has a definite limit (namely 0) as 0) 00. Since
gl( I +kg)EAVks:[0, b] by assumption, the graphical stability criterion of Theorem
(6.5.35) implies that the Nyquist plot of gUO) neither intersects nor encircles the half-line
segment (-00, -lib]. Because the only difference between the Nyquist plot and the Popov
plot is in the vertical axis, the same is true of the Popov plot as well. Now, suppose the
Popov plot of ghas the shape shown shown in Figure 6.25. Then the L
2-stability
wb of the
nonlinear feedback system is assured for all time-invariant nonlinearities in the sector
[0, b], because of the Popov criterion. By Theorem (6.3.46), the state-space version of
Aizennan's conjecture is satisfied by such systems. On the other hand, suppose the Popov
plot of ghas the appearance shown in Figure 6.26. In this case, Popov's criterion is not
satisfied. However, since the Popov criterion is only a sufficient condition for stability, it
still does not follow that Aizennan's conjecture is false for such a g. Thus, in summary, the
Popov criterion provides a readily verifiable sufficient condition for determining whether
Aizennan's conjecture is valid for a particular transfer function g(').
6.6.3 Necessity of the Circle Criterion
This section is concluded by showing that, in a sense to be made precise below, the cir-
cle criterion provides a necessary as well as sufficient condition for absolute stability.
Hence in a sense the circle criterion is not overly conservative. To minimize the technical
Sec. 6.6 Time- Varying and/or Nonlinear Systems
wlmg(jw)
359
Reg(jw)
Fig. 6.25
w 1mg(jw)
---+-+------,...-_ Reg(jw)
Fig. 6.26
details, attention is restricted to systems of the form shown in Figure 6.27, where the for-
ward path consists of a lumped linear time-invariant system, and the feedback path consists
of a causal, but not necessarily memoryless, nonlinear element 1>: L
ze
L
ze
. Let a, b be
given real numbers with a <b. Then we say that I> belongs to the sector [a, b) if it is true
that
+
g(s) = c(sJ - A)-l b + d 1--...,
+
+
Fig. 6.27
111 'VxEL
ze
.
Note that the above definition of the sector [a, b) is consistent with the earlier one if I> hap-
pens to be a memoryless nonlinearity of the form (15). However, the present definition is
broader since it is not restricted to memoryless operators. We say that I> belongs to the
360 Input-Output Stability Ch.6
sector (a, b) if it belongs to the sector [a +E, b -E] for some E> O. Before presenting the
main result of this subsection, which is Theorem (126), an important special case is treated.
112 Lemma Consider the system of Figure 6.27. and let r >0 be a given real number.
Then thefollowing two statements are equivalent:
(I) The system is L
2-stable
wbforevery <I> belonging to the sector (-r, r).
(II)gEAand
113 suplg(jW)I:s;l.
OJ r
Proof "(II):::> (I)" Suppose (II) is true. Then the operator G: x g *X is Lrstable,
and by Theorem (6.4.40),
A I
114 'Y2(G)=suplg(jw) I :S;-.
OJ r
Now suppose <1>: L
2e
L
2e
belongs to the sector (-r, r). Then there exists an E > 0 such that
<I> belongs to the sector [- r +E, r - E]. Hence <I> is L
2
-stable wb, and
Hence
and the L
2
-stability wb of the system follows from Theorem (1).
"(1):::> (II)" Suppose (1) is true. Then, in particular, the system is L
2-stable
with <I> = 0,
since the zero operator belongs to the sector (-r,r). Since gis rational, Lrstability is
equivalent and gE A. To prove (113), it is shown that if (113) is false then (I)
is false. Accordingly, suppose (113) is false, i.e., that
A I
117 suplg(jw)1 >-,
OJ r
and select an COo such that
A 1
118 Ig(jCOo) I >-.
r
To be precise, suppose
119 g(jCOo) = _1_ exp (jS),
r-E
where Elies in the interval (0, r) and SE[0, 21t). Now let
Sec. 6.6
120 t = 8/000,
Time-Varying and/or Nonlinear Systems 361
and define <1>: L 2e ---7L 2e by
121 (<I>x)(t)=-(r-E)x(t-'t).
In other words, <I> is a gain of - (r - E) cascaded with a delay of r: note that <I> is not memory-
less. Now <I> is also linear and time-invariant, and its transfer function is
122 <I>(s)=-(r-E)exp(-'ts).
From the construction it is clear that
123 I +80000) <1>0000) =o.
Hence the function s Iz[] +8(s) is unbounded over C+; as a result, the transfer
function 1/(1 + cannot represent an Lrstable system. Thus the system under study is
L runstable for the particular choice of <I> in (21). Since this <I> belongs to the sector
[-r +E, r - E] and hence to the sector (-r, r), it follows that (I) is false .
Suppose we try to modify Lemma (112) by restricting <I> to the "closed" sector [-r, r]
and changing (113) to
124 sup 180(0) I < ..i.
ll) r
Then a subtle difficulty arises in the proof. If (124) is violated, i.e., if
1
. I
25
ll) r
then there need not exist any finite 000 such that 180000) I I/r. This is the reason for stating
Lemma ( 112) in that particular form, with <I> restricted to the"open" sector (-r, r) and stat-
ing (113) with a non-strict inequality.
Lemma (12) is an example of a result for so-called absolute stability. This term
refers to the study of the stability of an entire family of systems, instead of just specific sys-
tems. The main idea in absolute stability theory is to deduce the stability of an entire family
of systems by studying only some of its members. By examining the proof of Lemma (112),
the reader can easily prove the following result: If the feedback system of Figure 6.28 is
L
2
-stable wb for all real constants ke (-r, r) and all delays t 0, then the system of Figure
6.27 is Lrstable wb for all nonlinearities <I> in the sector (-r, r).
Now for the main result.
126 Theorem Consider the system of Figure 6.27, and suppose a, b are two given real
numbers witha < b. Then thefollowing two statements are equivalent:
362
+
Input-Output Stability
g(s) = c(sl - A)-l b + d 1--_
Ch.6
Fig. 6.28
+
(I) Thefeedback system is L
z
-stable wbfor every <I> belonging to the sector (a, b).
(11) The transferfunction i satisfies one ofthe following conditions as appropriate: (1)
if ab > 0, then the Nyquist plot ofi Uw) does not intersect the interior of the disk D (a, b)
defined in (39), and encircles the interior ofthe disk D (a, b) exactly 11+ times in the counter-
clockwise direction, where 11+ is the number ofpoles ofi with positive real part. (2) lfa =0,
then i has no poles with positive real part, and
. I
127 RegUw) - b' 'ltw.
(3)lfab < O. then gE A. and the Nyquist plot ofgUw) lies inside thediskD (a, bvfor all (J).
Remarks There are some slight differences between Statement (II) above and the
conditions in Theorem (40). These differences arise because here the nonlinear element <I>
is assumed to lie in the "open" sector (a, b), while in Theorem (40) the nonlinearity is res-
tricted to lie in the "closed" sector [a, b]. As a consequence, the region in the complex plane
in which the Nyquist plot of gUw) is required to lie is a closed set here, while it is an open set
in Theorem (40). The most notable difference arises in Case (2), Le.,a =0. If<l> is permitted
to lie in the sector [0, b], then obviously gitself must be stable, because <I> = 0 is a permissi-
ble choice. But if <I> can only belong to the open sector (0, b), then <I> =0 is not a permissible
choice, and gitself need not be stable. The differences in the other two cases are quite
minor. Note that it is quite routine to modify Theorem (40) to provide for the case where <I>
belongs to the open sector (a, b). Thus Theorem (126) shows that the circle criterion [suit-
ably modified for the fact that the sector (a, b) is open] is in fact a necessary as well as
sufficient condition for absolute stability, provided the forward path element is lumped. Of
course, the power of Theorem (40) lies in that it is applicable to distributed systems as well.
Proof "(II) (I)" This follows from Theorem (40), after adjusting for the fact that <I>
belongs to the sector (a, b) rather than the sector [a, b]. The details are left as an exercise.
(See Problem6.22.)
"(I) (II)" Each of the three cases is handled separately.
Case (3). ab < 0: In this case <I> =0 belongs to the sector (a, b). Since the system is L
2
-
stable wb when <I> = 0, it follows that gitself is L z-stable wb, and since gis rational, that
gE A. Now define, as before,
Sec. 6.6 Time-Varying and/or Nonlinear Systems 363
128 k= b+a r= b-a
2' 2
Again, <I> = kl is a permissible choice, and the L
2-stability
wb ofthe system with this particu-
lar choice of <I> shows that

129 g,:= -g-EA.
I +kg
+
Fig. 6.29
Now redraw the system of Figure 6.27 as in Figure 6.29, where g, is defined above, and
130 <l>t=<I>-klEsector(-r, r).
Of course the inputs in Figure 6.29 are not the same as those in Figure 6.27, but as shown in
the proof of Theorem (22), the system of Figure 6.27 is L
2-stable
wb if the system of Figure
6.29 is L
2-stable
wb, and the converse follows easily (see Problem 6.19). Hence the
hypothesis that (I) is true implies that the system of Figure 6.29 is L 2-stable wb for every <I>
in the sector (-r, r). Now apply Lemma (112). This shows that
I
131 suplg,Uro)I:5:-,
OJ r
or, equivalently,
I AU ) 1 2
132 sup I g 00 1:5: --.
OJ I 1+ [(b+a)l2]gUro) 1 b-a
As shown in the proof of Theorem (40), this implies [after allowing for the non-strict ine-
quality in (132)] that gUro)E D (a, b) VOl.
Case (2). a = 0: The reasoning is much the same as in Case (3). In this case k = r = b12,
and (131) becomes
I AU) I 2
133 sup 1 g 00 1:5:-,
OJ 1 1+ (bl2)gUro) 1 b
which can be easily shown to beequivalent to (127). Also, since -2Ib < -lib, (127) implies
364
that
Input-Output Stability Ch.6
134 Arg [gUo +(2Ib)]E (- rr/2, rr/2), 'rio>.
As a consequence,
135 lim Arg [gUo+(2Ib)]-Arg [g(-jo +(2Ib)] =0,
~ ~
since this quantity must be an integer multiple of 21t. Now, by assumption, the feedback sys-
tem is Lz-stable if cI>=k/=(bl2)/. Comparing (135) with the argument condition in
Theorem(6.5.35), one sees that gcannot have any poles with positive real part.
Case (1). ab >0: Define k and r as in (128), and redraw the system as in Figure 6.29.
Then (129) and (131) follow as before, and (131) implies, as in the proof of Theorem (40),
that gUo does not intersect the interior of the disk D (a, b). Since the feedback system is
stable with cI> =k/, the Nyquist plot must encircle the point -11k exactly 11+ times in the coun-
terclockwise direction. Since the plot of gUo does not intersect the interior of the disk
D (a, b), the same encirclement condition applies to every point in the interior of D (a, b).

Problem 6.18 Modify the statement of Theorem ( 1) to the case where the operators G I
and G
z
are Lp-stable wfg but not necessarily Lp-stable wb, and prove the resulting state-
ment. Obtain estimates corresponding to (13) and (14).
Problem 6.19 Consider the feedback system of Figure 6.2 and its transformed version
in Figure 6.16. Suppose Kis a linear operator and that Kis Lp-stable wb. Show that the sys-
tem of Figure 6.2 is L
p
-stable wb if and only if the systemof Figure 6.16 is L
p
-stable wb.
Problem 6.20 Prove (48).
Problem6.21 Obtain explicit bounds on the norms II ell TZ and lIy II T2 from (73).
Problem6.22 In Theorem(126), show that (II) implies (I).
Problem 6.23 Show that, in Case (2) of Theorem (126), not only is gnot permitted to
have any poles in the open right half-plane, but it is also not permitted to have any repeated
poles on the jro-axis.
Problem 6.24 Using Theorem (40), find some possible choices of the sector [a, b]
such the feedback systemof Figure 6.14 is Lz-stable when g(s) is as in Problem6.16.
Problem 6.25 Using Theorem (95), find the possible values of the constant b >0 such
that the feedback systemof Figure 6.14 is stable with
A(S)= s-1
g (s +1)(s +2)(s +5)(s +10) ,
and cI> a time-invariant and memoryless nonlinearity belonging to the sector [0, b].
Sec. 6.7 Discrete-Time Systems 365
6.7 DISCRETE-TIMECONTROLSYSTEMS
In this brief section, the discrete-time analogs of the contents of the first six sections are
presented, mostly without proof. Since in most cases the details of the discrete-time results
are virtually identical to those in the continuous-time case, only the differences are
highlighted.
6.7.1 Stability Definitions
Let S denote the linear space of all sequences {Xi} i ~ O For pE [1,00) define
1 Ip={xES:r, 1XiIP<00},
i=O
and define
2 l ; = {XE S: X is a bounded sequence }.
Then lpis a subspace of Sfor eachpE [1,00]. Ifwe define the norms
~
3 IIxll
p=[r,
1XiIP]I/p, VXEl
p,
i=O
4 Ilxlli=sup l r.}, V X E I ~
i
then the pair Up, II: IIp) is a Banach space for eachpE [1,00]. Note that I, r;;, lqif p < q.
A sequence XES is said to have finite support if there is an integer N such that
Xi = 0 Vi > N. Clearly, if x has finite support then XElpVpE [I, 00]. Hence the set S acts as
the "extension" oi l; foreachpE [1,00], and there is no need for a symbol such as lpe-
A binary relation on S is definedjust as in Section 6.2, namely as a subset of S2.
5 Definition Suppose R is a binary relation on S. Then R is lp-stable if
6 (x, Y)ER, XElp =:> yE lpo
R is lp-stable with finite gain (wfg) if it is lp-stable, and in addition there exist finite con-
stants 'Y
p
andb
p
such that
R is lp-stable with finite gain and zero bias (wb) if it is lp-stable, and in addition there
exists afinite constantyp such that
366 Input-Output Stability Ch.6
The definitions offeedback stability are now entirely analogous to Definition (6.2.32),
with L, replaced by I
p

It is left to the reader to state and prove discrete-time analogs of the contents of Section
6.3.
6.7.2 LinearTime-Invariant Systems
Suppose x, yE S. Then their convolution x * yE S is defined by
i
9 (x *y)j = :r,Xi -j v, = :r,Xj v, -j'
j=O j=O
The set I, plays the same role in discrete-time systems that the set A does in
continuous-time systems.
10 Lemma Suppose x, yE II' Thenx * yE I). and
11 I I x y l l l ~ l I x l I l l l y l l l
Every linear time-invariant operator A : S ~ S has the representation Ax = a *x, where
the sequence aE S is called the unit pulse response ofA.
12 Theorem Suppose A : S ~ S is linear and time-invariant. and let a denote the unit
pulse response ofA. Then thefollowingfour statements are equivalent:
(i) A is I)-stable wb.
(ii) A isl c-stable wb.
(iii) A is I
p
-stable wbfor all p E [I, 00].
(iv) aE/I'
Moreover. ifaE I,. then
Every sequence fE I) has a z-transform defined by
14 f(z) = :r,/;Zi,
i=O
which converges whenever I{ I ~ l. Note that z is raised to positive powers in (14[. '!ot
negative powers. The symbol I J denotes the set of z-transforms of sequences in II' If fE 1\,
then f is_analytic on the open unit disk, continuous on the closed unit disk; moreover, any
zeros offin the open unit disk are isolated.
Sec. 6.7 Discrete-Time Systems 367
Theorem (12) is the discrete-time analog of Theorem (6.4.30). The next result is the
analog ofTheorem(6.4.40).
15 Theorem Suppose A: S S is linear and time-invariant, and that its unit pulse
response a belongs to It. Then
Note that a(e
j 8
) a continuous function of e, and that the interval [0, 21t] is compact;
hence in (16) wecan say "max" instead of "sup".
The stability results for linear time-varying systems can be obtained from Theorems
(6.4.53), (6.4.66), and (6.4.75) simply by replacing all integrals by summations. Infact, it is
possible to place all of these results into a unified framework by replacing R (which plays
the role of the "time set" in continuous-time systems) by an arbitrary locally compact
Abelian group; see Vidyasagar and Bose (1975) for details.
Acausal linear discrete-time system G has an input-output representation of the form
17

18 Theorem The operator G : S Sdefined by (17) is Iee -stable wb ifand only if
19 sup Igij I =: coe < 00.
I
G is II -stable wb ifand only if
20 sup Igij I =: c) < 00.
J i=j
JfG satisfies both (19) and (20), then G is Ip-stableforall pe [1,00], and
21 c!:q,
whereq =p/(P-l).
Now we come to feedback stability. The analog of Lemma (6.5.1) is the following.
22 Lemma Suppose fE I,. Then lifE I) ifand only if
-
23
In many ways the discrete-time theory is much simpler than the continuous-time
theory, since there are fewer technicalities. For instance, since the closed unit disk is a com-
pact set and sincef() is continuous on the closed unit disk, (23) is equivalent to
368
-
24 inf If(z) I >O.
lz I S I
Input-Output Stability Ch.6
Getting a graphical criterion to test (23) is also easy. Suppose fe I, , and suppose one
plots j(e
j 9)
as eincreases from 0 to 21t. If j(e
j 9)
= 0 for some e, then (23) fails at once, and
no further testing is necessary. Ifj(e
j 9)
0 VeE[O!..21t], then it follows from the fact that all
zeros of fO in the open unit disk are isolated that fhas only a finite number of zeros !n the
closed (and open) unit disk. By the principle of the argument, the number of zeros of f(') in
the closed unit disk is precisely the number of times that the plot of j(e
j 9)
encircles the ori-
gin in the counterclockwise direction as eincreases from 0 to 21t. The discussion can be
summarized as follows:
25 Lemma Supposefe II. Then lifE I) ifand only ifthefollowing two conditions hold:
26 VeE[0, 21t], and
27 (ii) Argj(e
j 21t)
- Argj(e
jo)
=O.
Consider now the linear time-invariant feedback system of Figure 6.5 [with g(s)
changed tog(z), of course]. Assume thatg(z) has the form
where gsE I), and g, is rational but analytic at Z= O. (The analyticity assumption is to ensure
that gcorresponds to a causal system.) If g, has some poles on the unit circle, then the unit
circle should be "indented" so that these poles do not lie inside the region enclosed by the
indented circle (see Figure 6.30). By a slight abuse of notation, let g(e
j 9
) denote the value of
g(z) at the unique point z on the indented unit circle whose argument is e. Then we have the
following result, which is an analog of Theorem (6.5.35).
1mz
-+----+-------lflf--- Re z
Fig. 6.30
Sec. 6.7 Discrete-Time Systems 369
30
29 Theorem Consider the system ofFigure 6.5, with i(s) replaced by g(z), and suppose
g(z) has theform (28). Then thefeedback system is stable ifand only if(i)
-"S 1
g(e
J
):;t:- k' VeE [0, 21t],
and (ii) the plot ofg(e
js)
encircles the point -11k exactly u, times in the clockwise direction
as eincreasesfrom 0 to 21t, where u, is the number ofpoles ofg, in the open unit disk.
Notice an important difference between Theorem (29) and Theorem (6.5.35) [or
Corollary (6.5.38)]. In the latter case, the encirclements are required to be in the counter-
clockwise direction, whereas in the present case they are required to be in the clockwise
direction. The difference arises because of the orientation of the contour in the two cases. In
the discrete-time case, the "unstable" region, i.e., the region where the poles are forbidden to
lie in order to have a stable system, lies to the left of the unit circle. Hence, as shown in Fig-
ure 6.30, the unit circle is a positively oriented curve. In contrast, in the continuous-time
case, the unstable region lies to the right of the j<o-axis as (0 increases from - 00 to 00.

The discrete-time analog of the set B is straight-forward. Given a p > 1, define

31 lip = {XES: L IXi lp' <oo},
;=0
and define
32 11+ = U lip.
,p> I
-
Then t.;: II. Let 11+ denote the set of z-transforms of sequences in 11+.
33 Definition The set B
d
consists ofall ratios ii(z)ld(z) where ii, dE B
d
, and in addition
d(O):;t:O.

It is left to the reader to state and prove of the set Bd analogous to those of B
as stated in Section 6.5.2. In particular, every fE B
d
has the form (28).
The extension of the contents of Section 6.5.3 to discrete-time systems is totally
straight-forward. For a unified treatment of the coprime factorization approach, see
Vidyasagar (1985).
6.7.3 Nonlinear Feedback Systems
Now let us turn our attention to nonlinear feedback systems. The small gain theorem
[Theorem (6.6.1)], the passivity theorem [Theorem (6.6.58)] and its various corollaries all
apply, with the obvious modifications, to discrete-time systems.
370 Input-Output Stability Ch.6
38
Consider now the feedback system of Figure 6.14, where the forward path is linear and
time-invariant with transfer function g(z) [instead of g(s ), and the feedback element II is
memoryless and of the form
for some continuous function ell: Z+xR R, where
3S Z+ = to, 1,2, ... }
denotes the set of nonnegative integers. In analogy with (6.6.17), we say that "ell or II
belongs to the sector [a, b) if
It is easy to see what is meant by "ell or II belongs to the sector [a, b)" by making the obvious
changes in (6.6.17).
As in the continuous-time case, the circle criterion is obtained by combining the small
gain theorem and the graphical stability criterion for linear time-invariant systems. Note
that the diskD(a, b) is defined as in (6.6.39).
37 Theorem Consider the system ofFigure 6.14. Suppose g has thefonn (28), and that
II is memoryless and belongs to the sector [a, b]. Then the feedback system is 1
2
-stable wb
if one ofthefollowing conditions, as appropriate, holds:
Case (1). ab > 0: The plot ofg(e
J9
) as eincreases from 0 to 27t does not intersect the
disk D(a, b), and encircles it exactly 11+ times in the clockwise direction. where 11+ is the
number ofpoles ofg in the open unit disk.
Case (2). a =0: gEL I, and
-9 1
Re g(e
J
) > - b' \feE [0, 27t).
Case (3). ab <0: gE I,. and g(e
j 9
) lies in the interior of the disk D (a, b) for all
eE[0, 27t).
The "Popov criterion" for discrete-time systems is, however, noticeably different from
its continuous-time counterpart, and is given next. In proving this theorem, it is helpful to
notice that if x(z) is the z-transfonn of the sequence {xo, x I> X2, . }, then z x(z) is the z-
transform of the delayed sequence {O,XO,Xl' "'}.
39 Theorem Consider the feedback system of Figure 6.14 with g(s) replaced by g(z).
Suppose gE II and that II is a memoryless nonlinearity belonging to the sector [0, b). Then
the feedback system is 1
2
-stable ifthere exists a q 0 such that
Sec. 6.7 Discrete-Time Systems 371
40
'e -e 1 qb (l +2q )2i
Re{[I-q(e
J
-1)]g(e
J
)}>-b+ 4 ,V8E[O,21t],
where
41 't> max Ig(e
Je)
I.
eE [D. 211]
Remarks
1. If q ,;,0, then (40) reduces to (38). So Theorem (39) gives a less restrictive stabil-
ity condition than the circle condition. However, it is not clear how one would test
systematically whether there exists a q satisfying the hypotheses of the theorem.
2. Comparing Theorem (39) with the Popov criterion [Theorem (6.6.95)], one can
see several significant differences. First and foremost, the continuous-time cri-
terion is only applicable to time-invariant systems, whereas no such restriction
applies to the present case,.: Next, in the continuous-time case, both g(s) and s g(s)
are assumed to belong to A. Such an assumption is not needed in the discrete-time
case, since if g(z) belongs to I" then so does the function z g(z). [Note that the
inverse transform of the function z g(z) is the delayed sequence {O, go, g" ... }
which belongs to I, if gE I,.] Similarly, in the continuous-time case, it is assumed
that U2 and its derivative U2 both belong to L
2
. Again, such an assumption is not
needed in the discrete-time case, since if u2 E 1
2
, then so does the delayed
sequence {O, U20, U210 ... }, which is the inverse transform of z U2(Z). Hence in
the discrete-time case one has "true" 1
2
-stability if (40) holds. In view of these
.differences, perhaps one should not even refer to Theorem (39) as a discrete-time
version ofthe Popov criterion.
Proof Given sequences x, yE S, define their truncated inner product <x, y >Nas
N
42 <x, y >N= ~ i Y;.
i=O
Now the discrete-time analog of Theorem (6.6.58) is as follows: The system of Figure 6.2 is
1
2
-stable if there exist constants ]0 0, , 2, O
2
such that
where
44
[
N ]112
'12 2
IIxIlN2=<x'X>N = i ~ i '
and such that
372 Input-Output Stability Ch.6
+
Fig. 6.31
r-----------------,
I I G,
I I
I
I
I I
I I
L J
r----------------,
I I
I I
, I II
I I
I I
I I G
L ...J 2
Redraw the system under study as shown in Figure 6.31, and note that v2E1
2
whenever
u2E 1
2
, Also, the transfer function Iltl - q (Z-l)]E I) for all q 0, and
46
I I I
max I . 1=1.
8e[0.21t]II-q(e
J8
- 1) I
49
51
Let us first analyze the operator G I' Define
47 min Re([l-q(e
j 8-1)]g(ej 8
) } ,
8e[0,2It)
Then (40) implies that
R > _1. + qb (l +2q)2 i .
... b 4 .
Next, observe that
50 max II-q(e
j8-l)I'
max Ig(e
j 8)1=(l+2q)y.
ge [0. 21t) 8e[0, 21t)
Thus (49) and (50) together imply that
I nbll
2
R> __ +.:z.::....c....
... b 4'
Now, by analogy with Lemma (6.6.91), it follows that
Sec. 6.7 Discrete-Time Systems 373
Also, it follows from Theorem (15) that
Combining (52) and (53) shows [cf. (6.6.83)] that, for all
Now let us study the operator G2. With the various quantities defined as in Figure 6.31,
we have
55 r, = <!>;(Wj), Vi, and
56 t(z) = [1 - q (z -1)] w(z), i.e.,
57 tj=wi-q(Wi_I-Wi), Vi,
where W -I is taken as zero. Thus
N N N
58 <t, G
2
t > N= t j = -q -Wi).
i=O i=O i=O
Let us examine the second summation on the right side, keeping in mind that
Vi. Now
59
< <!>;(Wj) 2 < b 2
---Wi-I --Wi-I
4wi 4
Hence
60
61
N b N b
1 -w)< - 1 < -lIw IIN
2
2
/ 1- 1 - 4 /- - 4 '
i=O i=O
N qb
-q
i=O
Applying Theorem (15) and Equation (46) to
374
62
w(z) = f(Z)
I-q(z - I)
Input-Output Stability Ch.6
64
shows that
Substituting (63) into (61) gives
N qb
-q
i=O
Let us return to the first summation on the right side of (58). Since C1> belongs to the sector
[0, b), it follows that
65
66
Finally, substituting from (64) and (65) into (58) gives
I 2 qb 2
b IIG2t IIN2 - 4
11 t
II N2
Now we are in a position to complete the proof. Equations (54) and (66) show that (43)
holds with
67
Note that the constant a is not yet specified. Thus the system under study is 1
2
-stable if it is
possible to choose a 0 such that
68
a ab I
--..2::....>0 A_a+_>O
11
2
4 ' I-' b .
69
The first inequality in (68) leads to
qbll
2
a>-4-'
while the second inequality in (68) leads to
79
Hence, if(51) holds, then one can choose a >0 such that both (69) and (70) hold, thusestab-
lishing the 1
2-stability
of the system.
Sec. 6.7 Discrete-Time Systems 375
Note that actually (51) is a sufficient condition for 1
2
-stability, and (40) is just a more
conversative version of this condition with /l replaced by the bound (50).
Notes and References
The foundations of feedback stability theory were laid in the early 1960' s by Sandberg
and Zames. Three papers by Sandberg (1964a, I964b, 1965) and two papers by Zames
(1966a, 1966b) are cited here, but many more could have been cited. A more complete list
of the early references can be found in the book by Desoer and Vidyasagar (1975). The
material in Section 6.3 on the relationship between input-output and Lyapunov stability is
based on Vidyasagar and Vannelli (1982); see Hill and Moylan (1980) for related results.
The analysis in Section 6.4 on open-loop stability is due to several authors, but Theorem
(6.4.75) is due to Willems (1969b). The graphical stability test of Theorem (6.5.35) is due t2
Willems (1969a); see Callier and Desoer (1972) for a more general version. The algebra B
of Section 6 ~ was introduced by Callier and Desoer (1978). The idea of coprime factori-
zations over A is due to Vidyasagar (1972, 1975, 1978). See the book by Vidyasagar (1985)
for a discussion of the stability of linear distributed feedback systems in an abstract setting.
The material in Section 6.6 owes its genesis to the early work of Sandberg and Zames
referred to earlier. The form of the Popov criterion given in Theorem (6.6.95) is due to
Desoer (1965). The form of the passivity theorem given in Theorem (6.6.58) is due to
Vidyasagar (1977); see Moylan and Hill (1978) for a more general version.
7. DIFFERENTIAL GEOMETRIC
METHODS
In this chapter, we give a brief introduction to some results in nonlinear system theory
obtained using methods from differential geometry. In the preceding chapters, the attention
has been on the stability issue, which can broadly be described as a concern as to whether or
not a given system is well-behaved in some sense. The emphasis was on avoiding detailed
calculations of solutions to system equations, and on obtaining broad and nonspecific con-
clusions. In contrast, in the present chapter the emphasis is much more on the detailed
behavior of a system: Is it reachable, in the sense that, starting from a given initial state, one
is able to steer the system to all nearby states? Is it observable, in the sense that, for each
state, there exists at least one corresponding input which permits us to discriminate between
this state and all nearby states, by measuring only the corresponding output? Is the system
feedback linearizable, in the sense that, by making an appropriate change of coordinates and
applying a nonlinear state feedback, the equations describing the system can be made to
look linear? Differential geometric methods provide a powerful means to address these and
other questions. Chronologically, differential geometric methods are of even more recent
vintage than input-output methods, and most of the results presented in this chapter date
back no more than ten years. As such, these methods are still the subject of current research.
Most of the results presented in this chapter pertain to nonlinear systems described by a
set of equations of the form
m
x(t) =t1x(t)] + LUi(t) gi[X(t)],
i=O
where X(t)E R", and f, g" ... ,gm are vector fields on R". (This term is defined in Section
7.1 below.) Two features of this system can be observed at once. First, the system is time-
invariant, in that there is no explicit dependence on time. The class of systems studied in
Chapter 6 can either be time-invariant or time-varying, and the relative efficacy of the
analysis methods presented therein remains pretty much the same. In contrast, differential
geometric methods are much more efficient when applied to time-invariant systems than to
time-varying systems. Second, the system above is linear in the control, in contrast to a gen-
eral nonlinear (time-invariant) system with n states and m inputs, which is described by
x(t)=t1x(t), u(t)].
Again, the analysis methods of Chapter 6 apply quite well to the more general nonlinear sys-
tem, whereas the methods presented in this chapter apply only to the less general class of
systems. This is not a fundamental restriction of differential geometric methods. In fact, it
376
Sec.?l Basics of Differential Geometry 377
is possible to use differential geometric methods to study the more general class of nonlinear
systems as well. However, the increase in complexity is enormous, Hence the attention in
this chapter is focused on the less general, "linear in the control" class of systems, so as to
keep the technicalities to a minimum.
While the class of systems studied in this chapter is more restrictive than that in
Chapter 6, the analysis is more thorough. The questions of reachability, observability, and
feedback linearizability are all answered. As a prelude to this, some background material in
differential geometry is presented.
It should be emphasized that the contents of the present chapter represent only a small
part of the results that can be found in differential geometric control theory. Also, to keep
the treatment at an elementary level, a great many simplifications are made. First, it is
assumed that the differential equations describing the system under study are defined on
some open subset of R", rather than on an abstract n-dimensional manifold. Second, all
definitions and computations are carried out using so-called "local coordinates." There is a
price to be paid for doing things in this way. The assumption that all the action takes place
on some open subset of R" rules out many interesting situations, such as systems defined on
the circle or a torus. Using local coordinates to compute everything obscures one of the
major motivations of modern differential geometry, which is to obtain a "coordinate-free"
description of various entities. A student desirous of a more general treatment of the dif-
ferential geometric approach to nonlinear control systems should consult an advanced text,
such as Isidori (1989) or Nijmeijer and van der Schaft (1990).
7.1 BASICS OF DIFFERENTIAL GEOMETRY
In this section, we begin by recalling a well-known theorem from advanced calculus,
namely the inverse function theorem. Then the notions of a vector field, a form, and various
types of Lie derivatives are introduced.
Suppose f: R" R'", and suppose each component of f is continuously differentiable
with respect to each of its arguments. (In other words, suppose that f is CI.) Then the mxn
matrix whose ij-th entry is iJ/;!aXj is called the Jacobian matrix of f and is denoted by iJWx.
We say that f is smooth if every component of f has continuous derivatives of all orders with
respect to all combinations of its arguments. Suppose U, V are open subsets of R" and that
f: U V is CI. Then we say that f is a diffeomorphism of U onto V if (i) f( U) = V, (ii) f is
one-to-one, and (iii) the inverse function [1: V U is also CI. f is called a smooth dif-
feomorphism if both f and [1 are smooth functions.
Theorem (1) can be found in most standard texts on advanced calculus, e.g., Roy-
den(1963)
1 Theorem (Inverse Function Theorem) Suppose f: R" R" is C1 at XoE R", and
let Y14= f(Xo) Suppose [iJWX]X:lIo is nonsingular. Then there exist open sets U R" con-
taining Xo and V R" containing Yo such that f is a diffeomorphism ofU onto V. If, in addi-
tion, f is smooth, then [1 is also smooth, i.e., f is a smooth diffeomorphism.
378 Differential Geometric Methods Ch.7
Since smooth diffeomorphisms are the only kind of diffeomorphisms used in this book,
the adjective "smooth" is often omitted.
Throughout the remainder of the chapter, Xdenotes an open subset of R", where n is a
fixed integer (known as the order of the system under study).
2 Definition A vector field on Xis a smoothfunction mapping Xinto R", The set ofall
vector fields on Xis denoted by V(X). The set ofall smooth real-valuedfunctions mapping X
into R is denoted by S(X).
Note that if a, be S(X), then the functions a b and the product function ab defined by
ab: x H a (x) b(x) are also smooth functions and belong to S(X). Hence S(X) is a ring
under the usual definitions of addition and multiplication. As for the set V (X), obviously it
is a linear vector space over the real field. But much more is true. Suppose aE S (X) and that
fE VeX) (i.e., suppose a is a smooth real-valued function and that f is a vector field on X).
Then the function mapping x into a (x) f(x) is also a vector field on X. Moreover, one can
easily verify the following properties: For each a, be S(X), f, gE V(X), we have
3 a(f+g)=af+ag,
(a+b)f=af+bf,
(ab)f=a(bf).
These show that V (X) is a module over the ring S(X), but this terminology is not used
further in this book.
4 Definition Aform onXis a smoothfunction mapping Xinto (R")", which is the set of
l xn row vectors. The set ofallforms onXis denoted by F(X).
Note that it is customary to write vector fields as column vectors, and forms as row vec-
tors.
5 Examples Let X = Rz. Then the following are vector fields on X:
[
xi - 2xz] [ cosh r , ]
Xl + , exp (x I + ) .
The following is not a (smooth) vector field, since it does not have continuous derivatives of
all orders. (Note that the first component has continuous derivatives of order two or less, but
the third derivative with respect toxz is not continuous atxz = 0.)
[
XI [XI
Xz Xz ifxz<O.
The following are examples of forms: Note that a form is written as a row vector whereas a
vector field is written as a column vector.
Sec.7.1 Basics of Differential Geometry 379
Next we define various operations involving vector fields, forms, and smooth real-
valued functions.
Suppose XOE X is given. A curve in X passing through Xo is a smooth function c map-
ping some open interval (- o, p) containing 0 into X, such that c(O) = Xo. Suppose f is a vec-
tor field on Xand that XoE Xis given. Then by the contents of Chapter 2, especially Corollary
(2.4.22), we know that there exists a unique solution of the differential equation
6
d
-x(t) = f[x(t)] , x(O)=Xo
dt
for sufficiently small values of t. Viewed as a function of t, the solution x(') defines a curve
passing through Xo; it is called the integral curve of f passing through Xo, and is denoted by
sr.t(Xo). (Note that this is a minor variation of the notation employed in Chapter 5.) Note
that, for each fixed t, sr.t maps Xinto itself. Moreover, by Theorem (2.4.57), Sc.t is locally a
(smooth) diffeomorphism.
For later purposes, it is useful to define the transformation of a vector field under a
change of coordinates. Suppose fE V (X), that XoE Xis given, and T is a (smooth) diffeomor-
phism in some neighbourhood of Xo. Now suppose we make a change of coordinates
y = T (x). What do the integral curves of f through Xo look like in the new coordinates? Sup-
pose x(t) satisfies (6). Then, letting J denote the Jacobian matrix of T, y(t) = T[x(t)] satisfies
7 \ y(t) =J[x(t)] f[x(t)] = [Jf][r' y(t)].
Thus in the new coordinates the vector field flooks like
8 fr(y) =J[r' (y)] f[r' (y)].
This can be compactly expressed as
9 fr=(Jf)r'.
This notation means: Given an argument y, first find its preimage T-1y, and then evaluate
the function Jf at T-
1
y. Thus changing coordinates from x to y = T(x) does not merely result
in f(x) getting replaced by f[r' (y)]; it is also necessary to premultiply by J[r
l
(y)] so as to
ensure that the integral curve of f
r
in the y coordinates corresponds exactly to the integral
curve offin the x coordinates. An equivalent way of expressing this is as follows:
,
This equation means: Choose an XoEX; first apply T (thus changing to the y coordinates);
then follow the integral curve of the transformed vector field f
r
passing through T(Xo);
finally apply r' (thus changing back to the x coordinates). The answer is the same as fol-
lowing the integral curve off through Xo. Finally, note that since Tis a diffeomorphism, one
380
can also write (10) as
Differential Geometric Methods Ch.7
12 Example A scalar example is enough to make this point clear. Suppose X = R and let
fbe the vector field
Supposer., =I. Then the integral curve offpassing through r , is given by
13 x(t) = tan (t +7tl4).
Of course, x(t) is well-defined only for sufficiently small t. Now suppose we make the
change ofcoordinates
Y=x
2
+ I =: T(x),
which is a local diffeomorphism around Xo (but not a global diffeomorphism). Then, in
terms ofy we have
Also, T(xo) =2. Now, if we solve the equation
yet) =yet), yeO) = 2,
we get y (t) = 2 exp (z), which does not match with (13). On the other hand, let us define the
transformed vector field!TCY) in accordance with (9). This gives
Ifwe solve the equation
yet) =2y(t) [1- yet)] 1/2, yeO) =2,
we get
y (t) = sec
2
(t +7tl4),
which is just the solution (13) transformed into the y coordinate.
14 Example As a more familiar illustration of the vector field transformation (9), sup-
pose both f and Tare linear, i.e., suppose
Sec.7.1
f(x)=Ax, T(x)=Mx,
Basics of Differential Geometry 381
where A,M are both nxn matrices, and M is nonsingular. Then (9) becomes
which is just the usual similarity transformation.
In this book we have made a deliberate choice to avoid the "modern" coordinate-free
approach to differential geometry, and to compute everything explicitly. But this is a good
place to point out one of the advantages of the modern approach. In it, both f and f
T
represent the same vector field, but expressed with respect to different coordinate system;
thus one would make a distinction between an abstract vector field, and its concrete
representation with respect to a specific coordinate system. This is similar to the distinction
made in linear algebra between an abstract linear map and its concrete (matrix) representa-
tion with respectto a specific basis [cf. Example (14)]. In the long run, the modern approach
is cleaner conceptually, though it does require a higher level of abstraction.
Suppose aE S(X), i.e., a is a smooth real-valued function on X. Then its gradient,
denoted by Va or da, is defined as the row vector [daldx I '" daldx
n
]. Note that da is a form
on X. Now suppose fE V (X). Then the map
15 x H da(x)'f(x): X -7 R
,is smooth; it is called the Lie derivative of the function a with respect to the vector field f,
and is denoted by Lea. Note that LeaES(X). Now suppose he F (X), i.e., h is a form on X.
Then the map
16 x H h(x)'f(x)
is smooth and real-valued. It is denoted by <h, r>and belongs toS (X).
The Lie derivative Lea can be interpreted as the derivative of a along integral curves of
the vector field f. Notice that
17 (Lea)(x) = lim l-{a [Sr,(Xo)]-a(Xo)}.
'-40 t .
We have already encountered this concept in Chapter 5 inconnection with taking the deriva-
tive of a Lyapunov function candidate along the solution trajectories of a particular differen-
tial equation. Note that, given the differential equation (6) and a Lyapunov function candi-
date a, the derivative adefined according to Definition (5.2.23) is precisely Lea. Hence
Ihere is no need to give examples of the computation of the Lie derivative of a smooth func-
tion. As for the quantity <h, r>,this is called the inner product of the form h and the vec-
tor field f. It is nothing more than the scalar product of the row vector h and the column vee-
torf.
382 Differential Geometric Methods Ch.7
A form h is called exact if there exists a smooth function aE S(X) such that h = da. In
an abstract setting, it is not always easy to determine whether a given form is exact or not.
This is true even if Xis restricted to bean open subset ofR", as is done here. However, if Xis
an open ball in R", i.e., a set of the form {x: II x - Xo II < E} for some Xo and E, then it is easy
to determine whether a given form he F (X) is exact: Form the n xn matrix Jh whose ij-th
element is dh/dXi; then h is exact if and only if Jh is a symmetric matrix for all XE X.
Next we define a very important concept.
18 Definition Suppose f, gEV(X). Then the Lie Bracket off and g is denoted by [f, g],
and is the vectorfield defined by
19
20 Example Let X =R
2
as before, and suppose f, gEV(X) are given by

[Sin(XI +X2)]
f(x) = g(x) =
XIX2' COS(xl -X2) .
Then routine computations show that
df [I -2x
2
] dg [COS(XI +X2) cos (x I +X2)]
dx = X2 Xl 'dx = -sin(x] -X2) sin(xi -X2) ,
and
dg df
[f,g]=-'f--'g
dX dx
[
(x I +x IX2 cos (x I +X2) - sin (x I +X2) + 2x
2
cos (x I -X2) ]
= (-Xl +XtX2 -X2)-X2 sin(xi +X2)-XI COS(XI -X2) .
The next several lemmas bring out several useful geometric interpretations of the Lie
bracket.
21 Lemma Suppose f, g are vectorfields on X, and let XoE X. Then
Remarks Unfortunately Lemma (21) makes less sense in the "local coordinates" that
we are using than it does in a global or coordinate-free setting. In essence, Lemma (21)
states that the Lie bracket [f, g] can be thought of as a directional derivative of the vector
field g along integral curves of f, in much the same way that Lfa is the directional derivative
of the real-valued function a along the integral curves off [see (17)]. However, in the case
Sec.?l Basics of Differential Geometry 383
of an abstract manifold, one cannot just subtract thevectors g[sr.,("o)) and g("o), since they
"live" in distinct tangent spaces. The extra factor ;x [s,,-t(x)]st.l("") "pulls back" the vector
g[s"t("o)] into the tangent space of X at "0; the need for this factor can only be appreciated in
a more abstract setting.
Proof Since we are taking limits as t ~ 0, it is only necessary to compute the various
quantities inside the braces up to a first order term in t. For small t, we have
Hence
24 g[s,.,(",,)] = g["" + If(",,)] +0(1) = g(""l + I [ ~ ] ..,'f(""l +0(1).
Again, from (23),
25 Sr,-t(x) =x-tf(x) +o(t),
so that
26
dSr_t(x) ar
ax = /- t ax +O(t).
Hence
27
[
dS, -t(X) ] [df] [df]
ax =/-t dx +O(t)=/-t dX +O(t),
st.,("") st.,(x,,) ""
28
since s,,-,("o) = "0 to zeroth order in t. Substituting all this in (22) and gathering terms shows
that the right side of (22) equals
.I{ de dg } dg df
} ~ [l-tdX]'[g+tdXf]-g = dX f- dX g=[f,g],
where the argument "0 has been suppressed for clarity .
29 Lemma Suppose f, gE V(X), and let "oEX. Then
30 [f, g]("o) = ~ ~ {[Sg,-t's,,-tSg.ts,,1]("o)-"o}
Remarks Lemma (29) gives yet another interpretation of the Lie bracket. Suppose we
start at a point "0, and follow the integral curve of the vector field f for a very short time t:
then, from that point, follow the integral curve of g for a duration t; then, from that point,
384 Differential Geometric Methods Ch.7
follow the integral curve of f backwards in time for a duration t; and finally, from that point,
follow the integral curve of g backwards in time for a duration t. Where do we end up?
Well, to first order in t, we get back to the point "0. However, to second order in t, we end up
at Xo +t
2
[f , g)("o). This is just what Lemma (29) states. Note that the map Sr.-r is the inverse
of the map Sr,I' and similarly Sg,_1 is the inverse of the map Sg,l' Hence, if the maps Sr,1 and Sg,1
commute (i.e., Sr,ISg,1 =Sg,ISr.1 for all sufficiently small t), then the limit in (30) is zero. Thus
one can think of the Lie bracket [f, g] as a measure of the extent to which the "solution" maps
sr.1and Sg.1 fail to commute. This point is developed further in Lemma (40) below.
Fig. 7.1
x
Proof The proof is quite routine, though tedious. To follow it, refer to Figure 7.1. To
compute the limit in (30), it is necessary to compute the various quantities up to second order
in t. By definition,
31
Hence
32
33
Next, (31) implies that
d
2
af
dt2 [Sr.I("o)]1 =0 = ax f("o)
Now, by Taylor series,
34
Next, in analogy with (34),
Sec.7.l Basics of Differential Geometry 385
35
Let us now substitute for x" from (34) and simplify by neglecting all terms which are of
order higher than t
2
Thus it is only necessary to estimate g(x
a
) to first order in t since it is
multiplied by t, and it is safe to replace [ag/dx](xa)'g(x
a)
by [ag/dx]("o)'g("o), since this
term is multiplied by t
2
12. Since
(35) and (36) imply that
37 Xb =xo+t[f(xo)+g("o)] +0(t
2)
+t
2
[1- ~ f ("0)-("0) + ~ g (xo)-("o) + 1- ~ g ("o)g("o)].
2 oX oX 2 oX
The process is now repeated, and the results are shown below; the argument is "0 unless
indicated otherwise.
38
39
t
2
a
Xd =x, - tg(x
c
) + 2 a; (XC>'g(x
c
) +0(12)
=xo+t
2[
~ f ~ ~ g ] +0(1
2).
This completes the proof.
In the remarks prior to the proof of Lemma (29), it was stated that [f, g] is a measure of
the extent to which the solution or "flow" maps Sr,t and Sg,t fail to commute. The next result
sheds more light on the relationship.
40 Lemma Suppose f, ge V(X). Then
41 (f, g] =0 iff sf,t Sg. r =Sg. r sC,t, vi, r sufficiently small.
, Lemma (40) states that the Lie bracket of two vector fields f and g is identically zero if
and only if the solution maps SC,t and Sg,r commute for all sufficiently small t, 'to Actually, it
is easy to see that if the commutativity relationship (41) holds for all sufficiently small t, r,
then in fact the same relationship holds for all t, 't for which the solution maps are defined.
386 Differential Geometric Methods Ch.7
Proof "If' Follows directly from Lemma (29).
"Only if' Let XoE Xbe arbitrary, and define
42 c(t) = [ :x Sr,-t(x)g(X)] .
s",(Xo)
Then c is also a vector field. Infact, comparing with (9), we see that it is the transformed ver-
sion of g under the diffeomorphism Sr.-t. Let us compute the time derivative of c(t). By
definition,
43 c(t) = lim l[c(t + r) - c(t)]
,-.ot
Now let us observe that
44 Sr.-t-, = Sr,-t Sr,-"
Inother words, Sr,-t-, is the composition of Sr.-, followed by Sr.-t. Hence, by the chain rule.
45
Now define
46 z =Sr,t(Xo),
and apply (45) in (43). Using the fact that
47 Sr,t+'t(Xo) = Sr,,(z)
in (45) gives
48 S,-.-,(Xl] = [ .
s",+,(Xo) z s",(Z)
Similarly
Substituting from (48) and (49) into (43) gives
Sec.7.1 Basics of Differential Geometry 387
50
. [a ]. d(t)
c(t) = -Sr,-t(x) . lim --,
ax t
z
where
51 d(t) = [ :X Sr,-t(X)] g[Sr,t(z)] - g(z),
Sr.,(z)
But by Lemma (21),
52 lim d( t) = [C, g](z) =O.
t
Hence c=O, which means thatc(t) =c(O) for all t(when it is defined).
To complete the proof, note that Sr,o(x)= x. Hence
53
a
-:::;-Sr o(x) = I, 'Vx.
oX '
As a consequence, from (42), c(O)= g(Xo). Coupled with the fact that i: == 0, this implies that
c(t) =g(Xo) 'Vt. Fromthe definition (42) of c(t), this means that
54 ,[ g(X)] \f,.
Sr,,(XQ)
Now we make use of the vector field transformation formula (9). Fix tE R, and note that Sr,-t
is a local diffeomorphism around Xo. Apply the formula (9), with f replaced by g, and T
replaced by Sr,-t [and note that (Sr.-t )-1 = Sr,t]. Then (9) shows that
55 gT(X) = [Sr.-t(X) g(X)] =g(x),
Sr.,(x)
where the last step follows from (54). (Recall that Xo is arbitrary.) This means that the vec-
tor field g remains invariant under the diffeomorphism Sr,t. To put it another way, if
[C, g] =0, then the vector field g remains invariant under the flow of the vector field f. Now
apply (11) with fand C
T
replaced by g, Treplaced by Sr.-t, and the time variable treplaced by
t. This gives
56
Pre- and post-multiplying both sides by Sr.t gives
57 Sg,t Sr,t =Sr,t Sg,t
This completes the proof of the "if' part.
388 Differential Geometric Methods Ch.7
One last question before we move on to other topics. What happens to Lie brackets
when we change coordinates? Suppose f(x), g(x) are two given vector fields, and we make a
coordinate change Y= T (x). Then, as discussed above, f(x) and g(x) get transformed into
fT(y) and gT(Y) respectively. Now one can compute the Lie bracket of the vector fields
either before or after the coordinate change. Do both procedures give the same answer? In
other words, is it true that
58
The reader should not be surprised to learn that the answer is yes. One can of course verify
(58) directly by substituting for the various quantities. But a more "modern" reason for
believing (58) is to note that the Lie bracket of two vector fields is defined in terms of the
behavior of certain integral curves [see Lemma (29)], and the transformations of the vector
fields, from f and g to f
T
and gTrespectively, are intended precisely to ensure that the integral
curves match in the two coordinate systems.
Recall that iff is a vector field on Xand a is a smooth real-valued function, then Lra is
also a smooth real-valued function defined by (15). The next lemma relates repeated Lie
derivatives to the Lie bracket.
59 Lemma Suppose a ES(X) andf, gE V(X). Then
Proof The result is established VIa routine though lengthy computations. By
definition,
Hence, it is useful to compute V(Lga). Now
62
n da
(Lga)(x) = Va(x) g(x) = It --::;-'gj'
j=IOXj
Therefore
This can be concisely expressed. Define V2a to be the nxn matrix whose ij-th element is
d
2aldx;dXj.
This matrix V
2a
is called the Hessian matrix ofa. Note that V
2a
is symmetric.
Now (63) can be expressed as
Sec. 7.1 Basics of Differential Geometry 389
Therefore
65
66
L
rLga:V(Lga)f:g'V
2af+Va
f,and
, n2 r n2 n dg df
LrLga-LgLra:g vaf- v ag+va(dx f- dx
g).
However, since V
2
a is a symmetric matrix, we have
and so
68
This completes the proof.
It is possible to prove a more general result than Lemma (59), using the concept of the
Lie derivative of a form with respect to a vector field.
69 \ Definition Suppose fE V(X) and that hE F(X). Then the Lie derivative of h with
respect to f is also aform, and isdefined by
, [ dh' ] , df
70 Lrh:r dX +h
dx'
Note that h' is a column vector, and that dh' Idx is just the usual Jacobian matrix of h'.
So far we have defined three types of Lie derivatives: Suppose f, ge V(X), aE S(X), and
hEF (X). Then the Lie derivative of the vector field g with respect to f is just the Lie bracket
[f, g]. The Lie derivative of the smooth function a with respect to f is defined in (15) as Vaf.
The Lie derivative of the form h with respect to f is given by (70). Note that the Lie deriva-
tives of a vector field, a real-valued function and a form are again respectively a vector field,
a real-valued function and a form. These derivatives can be related via a Leibniz type of
product formula.
71 Lemma Suppose f, ge V(X) and he F(X). Then
..
72 Lr<h, e>: <Lrh, g> + <n. Lrg >.
Proof As usual the proof follows just by substituting for the various expressions and
clearing terms. Note that <h, g>(x) isjust h(x) g(x). Thus
390 Differential Geometric Methods Ch.7
or, in other words, [cf. Definition (69),
74 V<h, s> =g'[ ] +hf.
Hence
[
ah' ] a
7S Le<h. e>=V<h. e>C=g' ax C+h a: C,
while
76 <Leh, s> + <h, Leg> = <Leh, s> + <h, [C, sr>
[
ah' ] , ac [ ag ac]
=r ax g+h ax g+h ax C- ax g
=r[ ah' ] , g+h ag C.
ax ax
The equality of the two quantities in (75) and (76) follows upon noting that r (ah'Idx)' g is
just a scalar and therefore equals its transpose.
Some other properties of the Lie bracket are ready consequences of the definition.
77 Lemma SupposeC, g. hs V (X), aES(X), and a., PER Then'
78 [C, a.g+ph] =ex [C, g] +P[C, h],
79 [C, g] =- [g, fl,
80 [C, [g, hJ] +[g, [h, rn + [h, [C, gJ]=0,
81 [C, ag] = a [C, g] +(Lea) g.
Remarks Equation (79) displays the anti-symmetry of the Lie bracket. Together (78)
and (79) show the the bilinearity of the Lie bracket. Equation (80) is known as the Jacobi
identity. Equation (81) is a type of product rule. In fact, if we replace the Lie bracket [C, g]
by the Lie derivative symbol Leg, then (81) can be rewritten as
Sec. 7.1 Basics of Differential Geometry 391
82 Lr(ag) =a Lrg +(Lra) g,
which looks just like a product rule.
Proof Both (78) and (79) are ready consequences of Definition (18). The formulas
(80) and (81) can be established through routine computations; the details are left as an exer-
cise.
Suppose f
1
, "', fkEV(X), and XE X. Then we say that the vector fields f
1
, "', f
k
are
linearly independent at x if the column vectors f
l
(x), "', fk(x) are linearly independent
(over the field of real numbers). Linear independence offorms is defined analogously. It is
clear, by virtue of continuity, that if f), "', f
k
are linearly independent at x, then they are in
fact linearly independent at all points in some neighborhood of x, Le., in open set containing
x.
This section is concluded with one last bit of notation. To denote repeated Lie brackets
of vector fields, itis convenient to introduce the "ad" symbol. Given f, gE VeX), we define
Thus
84 adig= [f, g], adfg= [f, [f, g]],
and soon.
Problem 7.1 Compute the Lie brackets of the various vector fields defined in Examples
(5) and (20).
Problem 7.2 Prove the following alternate version of Lemma (29): Iff, gE V (X), then
[f,g](Xo) = t ~ ~ ~ { [s_g.t s-r.t Sg.t Sr.rl(Xo) - Xo }.
Problem7.3 Supposef, gE VeX) are constant vector fields. Show that [f,g] =0.
Problem 7.4 Let Affdenote the set of affine vector fields on R", i.e., the set of vector
fields of the form
stlowthat the set Affis closed under the Lie bracket, i.e., that [f,g]EAffwhenever f, gEAff.
Problem 7.5 Suppose fE V(X), and a, be S (X); i.e., suppose f is a vector field and a, b
are smooth functions. Prove the Leibniz-type product formula
392
Lr(ab):=a Lrb + b Lra.
Differential Geometric Methods Ch.7
Problem 7.6 Suppose aE S (X), he F (X), and fE V (X). Using Definition (47), prove
the product-type formula
Lr(ah):=(Lra)h + aLrh.
Problem7.7 Using the Jacobi identity (60), prove that iff, g, he VeX), then
Lr[g,h]:= [Lrg,h] + [g,Lrh].
7.2 DISTRIBUTIONS, FROBENIUS THEOREM
In this section, we present a useful tool in differential geometry, namely the Frobenius
theorem. Along the way we introduce important concepts such as submanifolds, distribu-
tions, and involutivity.
1 Definition A subset M ~ X is a k-dimensional submanifold (k < n) of X if it
possesses the following property: For each XoE M, there exists an open set U ~ Xcontain-
ing Xo and smooth functions $k+I' ... , $n ES (X) such that (i) (d$i(x), i =k + I, ... , n} is a
linearly independent set ofrow vectors for all XE U, and (ii)
2 UnM:= {XE U:$j(x):=Ofori =k+l, ... , n}.
This definition states that locally M looks like a k-dimensional surface in Xdefined by
the n - k independent equations $i(X) := 0 for i := k + I, ... , n. Note that some authors use the
term embedded submanifold for what is called just a submanifold here; they reserve the
term "submanifold" for something more general. However, we shall not require this more
general concept.
3 Example LetX:= R
2
, and letMbe the circle of radius I centered at the origin, i.e., let
Then, by defining
one can see that M is a one-dimensional submanifold of R
2
; it is usually denoted by S] .
More generally, let X := R
n
+
1
, and define
n+1
sn:= [xe R":": ~ X f = I}.
i ~
Then, by defining
Sec. 7.2
n+l
<1>n+l(X) = 1:(xT)-I,
i=1
Distributions, Frobenius Theorem 393
we see that S" is an n-dimensional submanifold of R" +1;it is called the n-sphere.
Suppose M is a k-dimensional submanifold of X. Then, by Definition (I), there exist
functions <1>k+" "', <1>nE S (X) satisfying (2). However, in general, these functions are not
unique. As a simple illustration, let X = R
3
, and define
Then <1>2(0)=<1>3(0)=0, and it is easy to see that d<1>2(0)=[0 I 0] and d<1>3(0)=[0 0 I] are
linearly independent. Hence there exists a neighborhood Uof 0 such that d<1>2 (x) and d<1>3 (x)
are linearly independent for all XE U. It follows that the set
is a one-dimensional submanifold of R
3
. But if we define
then the set
I
7 (XEU:"'2(X)="'3(X)=0}
is also equal to M. However, though the functions defining M are not unique, the following
statement is eas y to establish:
8 Lemma Suppose M is a k-dimensional submanifold ofX. Suppose XoE M, and that
there exist open sets U, V ~ each containing Xo, and smooth functions
<1>k+l' ... , <1>n ES(X), "'k+l' , "'nE S(X), such that (i) the set (d<1>k+1 (x), "', d<1>n(x)} is
linearly independent for all XE U, (ii) the set (d"'k+l (x), ... , d"'n(x)} is linearly indepen-
dentfor all XE V, (iii) (2) holds, and (iv)
9 VnM=(xEV:"'i(x)=Ofori=k+l, ,n}.
Under these conditions, the following statement is true for each XEUnV: The (n -k)-
dimensional subspace of (R") * spanned by the row vectors {d<1>k+1 (x), ... , d<1>n(x)} is the
same as the (n - k )-dimensional subspace of (R") * spanned by the row vectors
(d"'k+1(x), "', d"'n(x)},
The proof is left as an exercise.
10 Definition Suppose M is a k-dimensional submanifold ofX, and choose smoothfunc-
tions <1>k+ J' ... , <1>n such that the conditions ofDefinition (1) are satisfied. Then the tangent
space ofM at xe M is the k-dimensional subspace ofR
n
defined by
394 Differential Geometric Methods Ch.7
11 TM
x
= {VE R": <dIMx), v> =0, for i =k+l, "', n}.
A vectorfie/dfE V(X) is said to be tangent to Mat x ijf(X)E TMx-
It follows readily from Lemma (8) that the above definition of TMx is intrinsic, i.e.,
does not depend on the particular choice of functions l1>; used to represent M in the vicinity of
x. In other words TMx is just the k-dimensional subspace of column vectors that are annihi-
lated by each of the n -krow vectors dl1>k+1 (x), "', dl1>n(x) (or, to be more precise, the sub-
space spanned by these n - k row vectors).
There is another way oflooking at submanifolds with which it is relatively easy to com-
pute. Suppose M is a k-dimensional submanifold of X, and that "oE M. Then, according to
Definition (I), there exist an open neighborhood Uk X of "0 and smooth functions
l1>k+I' "', l1>n such that dl1>k+1 (x), "', dl1>n(x) are linearly independent at all XE U, and such
that (2) holds. Now pick smooth functions l1>1, "', l1>k such that ljl;(xo) = 0 for i = I, "', k
and such that {dl1>;("o), i = I, "', n} is a (row) basis for R", This is actually quite easy to
do. Onecouldevenjustchoosel1>i(x)=vi(x-"o), where VI' "', Vk isasetof(constant) row
vectors chosen such that {VI> "', Vb dl1>k+1 ("0), ''', dl1>n("o)} is a row basis for R". Now
define a map T: R" R" by
12 Yi = (TX)i = l1>i(X), lSi S n.
By construction, the Jacobian aT;ax evaluated at "0 is nonsingular. Thus, by the inverse
function theorem [Theorem (7.1.1)], Tis locally a diffeomorphism, say on U0 k U. One can
think of YI, ... , Yn as a new set of coordinates on Uo- What does the submanifold M look
like in terms of these new coordinates? Comparing (2), we see that

where N is some neighborhood of 0 in R

k.
In other words, a k-dimensional submanifold'ofX
is a set which, after a suitable smooth change of coordinates, looks like a k-dimensional
"slice" of X.
The tangent space of M also has a simple form in the new coordinates. If we perform
the coordinate transformation (12), then in terms of the y coordinates, l1>i is just the i-th coor-
dinate of y. Hence dl1>; is just the i-th elementary row vector, with a I in the i-th position and
zeros elsewhere. To compute the tangent space at Yo we can apply the formula j II) and
observe that a column vector Vis annihilated by each of the elementary row vectors with a I
in positions k+l, "', n respectively if and only if the last n -k components of Vare zero.
Thus, if Yo = T("o), then
Sec. 7.2 Distributions, Frobenius Theorem
= [ve R": Vj =Ofori =k+l, "', n}.
395
A vector field f is tangent to M at a point "0 if and only if the coordinate-transformed vector
field fT [defined in (7.1.9)] has the form
15 fT(y) =
The next definition introduces a very important concept.
16 Definition A k-dimensional distribution on Xis a map which assigns, to each XE X,
a k-dimensional subspace ofR
n
such that the following smoothness condition is satisfied:
For each XOEX there exist an open set U s;;;;X containing "0 and k vector fields f" ... , f
k
such that (i) {f
l
(x), ... , fk(x)} is a linearly independent setforeach XE U, and (ii)
It is often convenient to describe a distribution in terms of the vector fields that generate
it. Thus, given k vector fields f
1
, "', f
b
we often define by the formula (17). But it is
important to remember that is a subspace, and that {f, (x), "', fk(x)} is a, not the, basis
for it. To amplify this point further, suppose f
l
and f
2
are two vector fields on Xwith the pro-
perty that f, (x) and f
2(x)
are linearly independent at all XE X. Then span {f
l
, f
2
} and
spah {f, + f
2
, f, - f
2
J describe exactly the same distribution. Indeed, in order to define a k-
dimensional distribution, it is often convenient to define it as the span of k or more vector
fields, of which some k are linearly independent at each point.
In attempting to describe a distribution by means of a set of vector fields that generate
it, one can get into the following difficulty: Suppose f
J
, "', fkE V (X) are given, and we
define by (17). Then it can happen that the rank of the matrix [f, (x) .. fk(x)] is not con-
stant as x varies. To get around this difficulty, it is possible to define a k-dimensional distri-
bution as a map which assigns to each XE X a subspace of dimension no more than k, and
then require that each open set U contain at least one point y such that the dim exactly
equals k. If this definition is accepted, a great deal of verbal awkwardness is avoided
because, in subsequent sections, distributions are invariably defined in terms of some gen-
erating set of vector fields. In such a case, if is actually a k-dimensional subspace of R" ,
then we say that x is a regular point of z, Alternatively, x is a regular point of the distribu-
tion if there is a neighborhood U of x such that the dimension of is the same for all
yE U. Finally, if is a given distribution and fE V(X), then we say that f belongs to L\ if
f(X)EL\(x) 'lixEX, and denote it by
Suppose is a k-dimensional distribution, that U s;;;;X is an open set, and that
f" "', frnE V (X), m k, are vector fields that span on U. Now suppose Then, using
Definition (16), one can show that there exist smooth functions a" "', arnES(X) such that
396 Differential Geometric Methods Ch.7
m
18 f(x) = r,ai(x) fi(x), V'XE U.
i=l
It is essential to note that the "coefficients" in (18) are not constants, but are smooth func-
tions.
An interesting question in differential geometry is the following: (Unfortunately the
brevity of the present treatment does not permit us to explore fully just why this question is
interesting.) Suppose is a given k-dimensional, everywhere regular, distribution on X; for
each XE X, does there exist a k-dimensional submanifold Mx of X containing x such that
every vector field fE is tangent to Mx at x [i.e., TMx If such a submanifold Mx
exists for each XE X, then the distribution is said to be completely integrable, and Mx is
said to be the integral manifold of passing though x. But the question is: When is a distri-
bution completely integrable?
An elegant answer to this question is provided by the next result, commonly known as
the Frobenius theorem.
19 Definition A distribution is involutive if[f, g]E wheneverf,
In other words, a distribution is involutive if it is closed under the Lie bracket.
20 Theorem (Frobenius) A distribution is completely integrable ifand only ifit is invo-
lutive.
It turns out that the "only if' part is quite easy to prove, and the "if' part is really the sub-
stantive part of the theorem.
Proof "Only if' Suppose is a completely integrable k-dimensional distribution.
Then, for each XE X, there corresponds an integral manifold Mx of dimension k. By
Definition (I), this means that, for each XoEX, there exist a neighborhood U of Xo and
smooth functions c1>k+l' , c1>nE S(X) such that the differentials of the lIIi are linearly
independent row vectors at Xo, and such that each function c1>i has constant value at all points
in M
Xo
Now, if we select smooth functions c1>1' ,c1>kES(X) such that
{dc1>i(Xo), i = 1, ... , n} is a row basis, then the map T: U R" defined by (12) is a dif-
feomorphism over some neighborhood U0 <;;;; U of Xo. Moreover, since each fE is tangent
to M x at each XE U0, it follows that in the newcoordinate system each f TE has the form
The key point is to note here is that the tangency relationship holds at all points in some
neighborhood. Moreover, since the tangent space TMx is precisely for all XE U0, itfol-
lows that is precisely the set of vector fields of the form (21). Now suppose f
T
, gTE
i.e., that
Sec. 7.2 Distributions, Frobenius Theorem 397
Then it readily follows from the formula (7.1.19) that the bottom n -k elements of [fT, gT]
are also identically zero. Thus [fT, gT]E d
T
and hence d
T
(i.e., d) is an involutive distribu-
tion.
"If' See Appendix C.
The "if' part ofthe proof is by induction on the integer k (the dimension of the distribu-
tion d). If k = I, then d is just span {f} where f is a nonzero vector field. Now a one-
dimensional distribution is automatically involutive, since [af, bfjE span f =d whenever
a, bE S(X). In this case, the integral manifold M x of d passing through x is just the integral
curve of the vector field f passing through x. For k 2, the proof is more complicated, and is
given in Appendix C.
Every distribution contains an infinite number of vector fields; for example, if fE d,
then afE d for all aE S (X). However, in order to check whether a distribution is involutive
or not, it is only necessary to compute a finite number of Lie brackets. Suppose
f" "', fmE V (X) span the k( m)-dimensional distribution d over some open set u s:X.
Then every fE d has an expansion of the form (18). Hence, using the bilinearity of the Lie
bracket and the various product formulas in Lemma (7.1.77), one can easily establish the
following statement: dis involutive if and only if [f;, fJ]E d for each i, i: or, in other words,
there exist smooth functions aij/E S (U), I i, j, I m, such that
m
23 [fi, fjj(x) = Laij/(x) f/(x), V'XE U.
/=1
This leads to an alternate form of the Frobenius theorem, which is the form actually used in
later sections.
24 Theorem (Alternate Frobenius) Suppose f j , "', fmE V(X), N s;;; X is an open set,
XoEN, and that the set {f
l
(x), "', fm(x)} contains k linearly independent vectors at each
XEN. Then there exist functions epk+" "', epnES(X) such that (i) depk+I(Xo), "', depn(Xo)
are linearly independent, and (ii) there exists a neighborhood V s;;; N ofxo such that
if"?Jnd only if the distribution spanned by f], ... , f
m
is involutive, i.e., there exist smooth
functions a/j/ and a neighborhood U s;;; N ofXo such that (23) holds.
Remark Suppose the vector fields f], ... ,f
k
are given by
398 Differential Geometric Methods Ch.7
0
I
0
0
26 f
1
(x)= , "', fk(x) =
I
' V'XE X.
0
0
In other words, f
i
is a constant vector field with a " I " in the i-th position and zeros elsewhere.
Define .1= span {f
l
, "', f
k
}. Then Ais a k-dimensional distribution consisting of all vector
fields of the form
It is clear that .1 is completely integrable. Indeed, given "oE X, the corresponding integral
manifold MXo is just the set
and functions G>k+l, "', G>nE S (X) satisfying (25) are given by
The point of the Frobenius theorem is that all completely integrable distributions can be
made to look like this after a suitable change of coordinates. Of course, the theorem is non-
constructive in the sense that it tells us that a suitable coordinate transformation exists - it
does not tell us how to find it. Nevertheless the Frobenius theorem is a very useful result.
30 Example Suppose X is an open neighborhood of the point "0 = [1 1 1]' in R
3
, and
consider the vector fields
Then it is routine to verify that
Sec. 7.3 Reachability and Observability 399
o
[f, g](x) = x ~ -(X2 +X3)X3 = a(x)g(x),
o
where
is a smooth function ofx in any neighborhood ofXo that does not intersect the surface x , =0.
Hence the two-dimensional distribution ~ spanned by f and g is involutive if we define Xto
be the open ball of radius I in R
3
centered at xo. Now the Frobenius theorem assures us that
there is a smooth function he S(X) such that
<dh, f>(x)=O, <dh, g>(x)=O, 'IIxEX.
These are two simultaneous partial differential equations that the function h needs to satisfy.
In general, it is not easy to solve these equations and find such a function, though the Fro-
benius theorem guarantees that such a function exists. In the present instance,
is a possible solution. This means that, if we look at the surface in Xdefined by
2X,1 + x:3
2
= constant,
then at each point x on the surface, the tangent plane to the surface at x is the span of the two
vectors f(x) and g(x).
7.3 REACHABILITY AND OBSERVABILITY
This section has two parts. In the first part of the section, we study the reachability of
nonlinear control systems of the form
m
1 X= f(x) + LUi gi(X),
i=1
w ~ f, gl, "', gm are given vector fields in V(X) and X~ R" is a given open set. The
questions studied are the following: Are there simple necessary and sufficient conditions
for the system (I) to be reachable? If the system (1) is not reachable, can one carry out a
change of state variables in such a way that the "maximally unreachable" part is explicitly
displayed? Finally, do these conditions reduce to the familiar conditions for the linear sys-
tem
400
2 x=Ax+Bu
Differential Geometric Methods Ch.7
to be reachable, so that the nonlinear results are true generalizations of the corresponding
results for linear systems?
In the second part ofthe section, we add an output or measurement equation ofthe form
3 y=h(x)
to the system description (I), and ask when such a system is observable. Equation (3) is the
nonlinear analog ofthe output equation
4 y=Cx
for linear systems. The questions studied are the following: Are there simple necessary and
sufficient conditions for the system (I) - (3) to be locally observable? If the system is not
locally observable, can one carry out a change of state variables such that the system is
decomposed into an observable part and an unobservable part? Finally, is it possible to
decompose a nonlinear system of the form (I) - (3) intofour subsystems, which are respec-
tively reachable and observable, reachable and unobservable, unreachable and observable,
and last, unreachable and unobservable?
7.3.1 Reachability
We begin with a definition of reachability.
5 Definition The system (1) is said to be (locally) reachable around a state XoE X if
there exists a neighborhood UofXo such that.for each xjE U, there exist a time T> 0 and a
set ofcontrol inputs (Ui(t), te {O, T], I :::; i:::; m} such that, ifthe system starts in the state Xo
at time O. then it reaches the state xfat time T.
Note that the above definition is purely local: The system ( I) is reachable around Xo if
every state sufficiently close to Xo can be reached from Xo. It is very difficult to analyze the
"global" reachability of (I) since nonlinear systems do not satisfy superposition in general.
Actually, one can argue that local reachability is all that one can prove, and that the
equivalence of local and global reachability is a property peculiar to linear systems alone.
Also, for linear systems, there is complete equivalence between reachability (the ability to
reach any desired final state from a given initial state) and controllability (the ability to reach
a fixed final state from any given initial state). This is no longer the case for nonlinear sys-
tems. Accordingly, the discussion here is restricted to reachability alone. For a thorough
discussion of various nuances of this topic, see Isidori (1989) or Nijmeijer and van der
Schaft (1990).
The discussion on reachability encompasses several topics. First, the notion of invari-
ant distributions is introduced, and it is shown that the notion is a natural generalization, to
nonlinear systems, of the notion of (A, B)-invariant subspaces for linear systems [see e.g.,
Wonham (979)]. Then it is shown that every system can be transformed locally to a
Sec. 7.3 Reachability and Observability 401
reachable part plus a "totally unreachable" part. This extends the canonical decomposition
of linear time-invariant systems into a controllable part plus a completely uncontrollable
part, introduced by Kalman (1963), to nonlinear systems. Finally, the familiar rank test for
the reachability of linear systems is extended to nonlinear systems. All in all, the message is
that, with appropriate tools, most of the familiar results for linear time-invariant systems can
be extended in a natural way to nonlinear systems.
To motivate the various ideas, we begin with a brief discussion of linear (time-
invariant) systems. Consider the linear differential equation
6 x(t) = Ax(t) + Bu(t).
where X(t)ER", U(t)ER", AER"
xn
and BER
nxm
. Then a subspaceMof R" is said to be A-
invariant if
7 AMr;;;;;,M.
If, in addition,
then M is said to be (A, Bj-lnvarlant, Such subspaces help us to analyze the system (6) in an
abstract way. For instance, suppose xoEM; then it is clear from (6) that
Hence, if we express R" as a direct sum M -+- N, then the system equation (6) must have the
form
where Xl + x2 is the decomposition of the vector x. Hence, it is worthwhile to make M as
small (i.e., as low-dimensional) as possible. Also, a necessary and sufficient condition for
the system (6) to be reachable is that there is no nontrivial (A, B)-invariant subspace of R",
i.e., the only (A, B)-invariant subspace of R" is R" itself.
To extend these ideas to nonlinear systems of the form (1), a few preliminary
definitions and results are needed.
10 -Definition Suppose is a distribution on X, and fEV(X). Then is said to be invari-
ant underf, orf-invariant, if[f, hje 'VhE A
This definition generalizes the notion of an A-invariant subspace for linear vector
fields. Let X= R", M a k-dimensional subspace of R", and let AER
n XII
Let f(x) be the
linear vector field Ax, and let be the distribution generated by the constant vector fields
vI, ... , Vk where {vI, .. , Vk} is a basis for M. It is now shown that the distribution is f-
invariant if and only if AM r;;;;;, M, i.e., M is an A-invariant subspace. Note that every he has
the form
402 Differential Geometric Methods Ch.7
15
k
11 h(x) = 1:hi(X) Vi' hiES (X).
i=l
To show that .1is an f-invariant distribution if and only if AM ~ M consider first the "only
if' part of the statement. Suppose .1is f-invariant. Then certainly [f, vilE .1for each i. But
12 [f, v;] =[Ax, v;] =AVi =constant, Vx.
Hence [f, VilE.1implies that AViE M for all i. Since the v;'s form a basis for M, it follows
that AM~ M Conversely, suppose that AM ~ M and that his of the form (II); it must be
shown that [f, hle .1. Since the Lie bracket is bilinear, it is enough to show that
13 [Ax, hi(x)V;]E .1, Vi.
It will then follow that
k
14 [f, h] = 1: [Ax, hi(x) VilE.1.
i=1
To establish (13), apply the definition ofthe Lie bracket. This gives
CJhi(x)
[Ax, hi(x) v;] =Vi ----a;- Ax - A hi(x) Vi =Ci(X) Vi -hi(x) AViE.1,
where
16
CJhi(x)
Ci(X) = ----a;-AXE S(X).
Hence .1is f-invariant.
17 Lemma Suppose XoE X, f is a vectorfield on X, and .1is a k-dimensional distribution
on X. Suppose there is a neighborhood U ofXo such that, when restricted to U, .1is involu-
tive and I-invariant. Then there exist a neighborhood U0 ofXo and a diffeomorphism Ton
U0 such that, in terms ofthe new coordinates Y= T(x), f
T
has theform
where fa' YaE R
k
andf
b
, Yb ER
n
-
k

Remarks The point of the lemma is that, after a suitable change of coordinates, f has
the "triangular" form shown in (18).
Proof Since .1 is involutive when restricted to U, it follows from the Frobenius
theorem that there exist a neighborhood U0 ~ U of Xo and a diffeomorphism Ton U0 such
that, in terms of the new coordinates,
Sec. 7.3 Reachability and Observability 403
19 dT = {hE V(X): hi(y) = 0, k+I ~ i ~ 'dyE T(Uo)}
= {hE V(X): hb(y) =0 'dyE T(Uo)}.
Now by assumption d is f-invariant, or equivalently, dT is fT-invariant. Let hTEdT be arbi-
trary. Then by (7.1.58),
20
23
Now, since dT is frinvariant. it follows that [f
T,
hT]EdT, which means that the bottom n--k
elements of [f
T,
h
T]
must be identically zero. Partition fT. h
T
yas
where all vectors with the subscript a have k rows, and all vectors with the subscript b have
n - k rows. Similarly, partition afTldy and ahTldy as
af
a
af
a
aha aha
-- -- ----
aYa aYb ah
T
aYa aYb
afb afb ' ay =
aYa aYb
Now the fact that [f
T,
hT]Ed
T
implies that [f
T,
hT]b::0. or, from (20). that
afb
a-
ha
::
O
.
Ya
But since (23) holds for all h
a
, it follows that
24
i.e., f
b
is independent ofYa. This is exactly what (18) states.
2S ... Theorem Consider the system (1J, and suppose an initial state XoE X is specified.
Suppose there exist a neighborhood U ofXo and a k-dimensional distribution d on U such
that
(i) dis involutive, and Xo is a regularpoint ofIi
(ii) gi(X)E d 'dXE U,for i = I... , m.
404 Differential Geometric Methods Ch.7
(iii) !:1 is invariant underf.
Then there exist a neighborhood U0 <;;;; U01"0 anda diffeomorphism Ton U0 such that
where
27 =y=T(x)
is a partition olY, all vectors with the subscript a have k rows, and all vectors with the sub-
script b have n - k rows.
Proof The form of f follows from Lemma (17). The form of gi follows from the fact
that gjE!:1 for all i.
Theorem (25) is an important result because it gives a nonlinear analog of the well-
known canonical decomposition of unreachable linear systems as given in (9). As one
might expect, the result is only local, in the sense that it applies only in some neighborhood
of "0. To apply this theorem effectively, it is desirable to make the integer k as small as pos-
sible, so as to make the distribution !:1 as small as possible. For this purpose, the following
procedure is proposed.
28 Procedure Step 0: Define i = 0 and set
Step 1: Let {h\jJ, "', }be a set of vector fields that generate a, . Check if !:1
i
is invo-
lutive in some neighborhood of "0 by checking whether each Lie bracket [hP, belongs
to A, for I I k
j
Check if !:1j is invariant under fby checking whether [f, h]iJ]E!:1
i
for all
j. If!:1j is both involutive and invariant under f, STOP.
Step 2: If !:1j is either not involutive or not invariant under f, then set i = i + I, and define
!:1
i
+
1
as
30 !:1
i
+
1
=span {hp, I I <], I k,.}
U{[f, hpJ, I k,.}.
Return to Step 1. Note: In(30), it is only necessary to add those Lie brackets [h}i), and
[f, h}iJ]which do not already belong to!:1j.
This procedure generates a sequence of distributions {!:1
i
} such that !:1
i(x)
<;;;;!:1
i
+1 (x) for
all XE X. If "0 is a regular point of each !:1j , which it need not be in general, then dim A,+I is
strictly larger than dim !:1j. Since dim A, n for all i, in such a case the process cannot con-
tinue more than n times. When the procedure terminates we will have found a distribution
Sec. 7.3 Reachability and Observability 405
which is both involutive as well as invariant under Cand all g,. Because of the manner in
which is generated, it is clear that is the smallest distribution with these two properties.
Lemma (31) below makes this precise.
31 Lemma Let be the distribution generated by Procedure (28), and suppose is
another distribution which contains all gj, is involutive, and invariant under Cover some
neighborhood01"0. Then c A
The proof is easy and is left as an exercise.
32 Remark Actually, it can beshown that the above algorithmcan be simplified. In Step
I it is only necessary to check if is invariant under Cand all g, - it is not necessary to
check that is involutive, because that follows automatically; see Isidori (1989), Lemma
8.7, p. 62. Thus, in Step 2, it is not necessary to add Lie brackets of the form [hYl, to the
base of it is only necessary to add Lie brackets of the form [C, hP] and [g" hYl] that do
not already belong to In other words, (30) can be replaced by
The intermediate distributions might be affected by this change, but not the final answer
There is yet another way of simplifying the implementation of Procedure (28). As
mentioned in the discussion after Procedure (28), if "0 is a regular point of each then the
algorithm will stop after at most n -I repetitions of Step 2. Now suppose the procedure gen-
erates, after i < n -I steps, a distribution which contains all the vector fields g" ... , gm; is
invariant under C; and is involutive. Suppose that, instead of stopping the procedure, we
compute using the expression (33). Then it is clear that in view of the
assumptions on In fact, more is true, namely
Thus, in principle, one could simply keep applying the expression (33) n -I times, without
verifying whether is invariant or involutive, verifying only that "0 is a regular point of
each In such a case will automatically equal
35 Example As an illustration of Theorem (25), consider the third-order, single-input,
bilinear systemdescribed by
... x=Ax+uBx,
in a neighborhood of the point "0 = [I I IJ' ,where
[
00-14] [I 24]
A= 00 0, B= 020 .
00-19 003
This system is of the form (I) with
406
f(x)=Ax, g(x)=Bx.
Differential Geometric Methods Ch.7
Now let us apply Procedure (28) as amended by Remark (32) to this system to determine the
smallest distribution that is (i) involutive, and (ii) invariant under both f and g. In computing
this distribution, the simplification suggested by Remark (32) can be used. The procedure
generates the following sequence:
i =O. We begin by setting ~ =span [Bx}. Then it is necessary to form the Lie brackets
[Ax, Bx] and [Bx, Bx] to see if ~ is invariant under both Ax and Bx. Of course
[Bx, Bx] = 0, while
[Ax, Bx] = (BA - AB)x =: Cx,
where
[
0 0 - 48]
C=BA-AB= 00 o.
00 0
Hence set ~ I = span [Bx, Cx},
i = I. To check if ~ l is invariant under both Ax and Bx, it is necessary to form the Lie
brackets [Ax, Bx], [Ax, Cx], [Bx, Bx], and [Bx, Cx]. Now [Bx, Bx] is of course zero, while
[Ax, Bx] = CXE ~ Next, it is routine to verify that
[Ax, Cx] =(CA-AC)x=-19Cx, [Bx, Cx] =(CB-BC)x=3Cx.
Hence ~ I is invariant under both Ax and Bx. The second equation above also shows that ~ I
is involutive.
At this stage the reader may ask: Why restrict the analysis to a neighborhood of "0?
Why not consider all of R
3?
The difficulty is that, if we consider a neighborhood of the ori-
gin for example, then at x =both Cx and Bx equal the zero vector; hence, at x =0, ~ I spans
a zero-dimensional subspace ofR
3
(i.e., a single point). On the other hand, every neighbor-
hood ofOcontains a vector x at which Bx and Cx are linearly independent vectors; for exam-
ple, take x =E [0 0 I]' for sufficiently small E. Hence, over any neighborhood of 0, both ~
and ~ l are singular distributions, i.e., they do not have a constant dimension. But this prob-
lem does not arise if the analysis is restricted to a sufficiently small neighborhood of "0,
because Bx and Cx are linearly independent.
Now back to the example. Since ~ is involutive, the Frobenius theorem guarantees
that there exist a smooth function h (x) and a neighborhood V of "0 such that
<dh, Bx> =0, <dh, Cx> =0, 'VXE U.
Thus h satisfies the two partial differential equations
Sec. 7.3 Reachability and Observability 407
where hi =dhldxi' and in the second equation the extraneous factor -48 has been omitted.
Asolution of the above pair of partial differential equations is given by
To put the system in the form (26), it is necessary to find a new set of variables y such
that Y3 = h (X), and such that the transformation from Xto y is a local diffeomorphism. An
easy way to do this is the following: Compute
dh (Xu) = [0 -3 2].
Choose two other row vectors a and b such that the set {a, b, dh (Xu)} is a row basis for R
3
,
and define
Y I =ax, Y2 = bx, Y3 =h(x).
Then, since the Jacobian matrix of this transformation is nonsingular at Xu, it follows from
the inverse function theorem [Theorem (7.1.1)] that the above map is a local diffeomor-
phism in some neighborhood of Xu. In the present case, a simple choice is
a=[1 0 O]',b=[O 1 OLand
Y, XI
Y2 =:T(x)= X2
Y3 X2
3
xj
Then the inverse transformation is
Yt
X2 = r' (y) = Y2
X3 y ~ l y
The system description in terms of the new variables can be computed directly, or by
using the definition (7.1.9) for transforming vector fields. Let us adopt the latter procedure.
The Jacobian matrix of the transformation T is given by
1
J(x) = 0
o
1
o
o
So the vector field Ax =:: f(x) gets transformed into
408 Differential Geometric Methods Ch.7
-14x)
= 0
-2x
2)x)'19x)
=

o
-38y)
Similarly the vector field Bx =: g(x) gets transformed into
XI +2x z+4x) [YI
gT(Y) = 2x
z
= 2yz
(-3xz4xj)2x
z
+(2x
2)x)'3x)
0
x=r-'(y)
Hence, in terms of the new variables, the systemequations are
yz =2uyz,
So the variable y) is uncoupled from the other variables y I and y z as well as from the input
u.
Next, we explore the relationship between the distribution de produced by Procedure
(28) and the familiar matrix
associated with the linear control system (6). In particular, it is shown that, if one views each
column vector of W as defining a constant vector field on R", then the distribution de pro-
duced by Procedure (28) is precisely the span of the column vectors of W. Now the system
(6) is of the form (1) with
37 f(x)=Ax,gi=b
i
, i = l , "',m,
where b, is the i-th column of the matrix B. Applying Procedure (28) gives
38 L\o = span {bI, "', b
m
} = span B.
Since each of the vector fields generating L\o is constant, L\o has the same rank at all XoE R",
i.e., every XoE R" is a regular point ofL\l. Now it is claimed that
Sec. 7.3 Reachability and Observability 409
39
The proof of (39) follows quite easily by induction on i. Obviously (39) is true when i = O.
Now suppose (39) is true for a particular value of i, and that .1
i+1
is computed according to
(33). Since the Lie bracket to two constant vector fields is zero, and since
[Ax, A'b
j]
=-A'+I b., it follows that
40 .1
i+l=span{A'bj,

In particular, we see that A, =.1
n
-
1
= span W. In other words.A, is spanned by the constant
vector fields comprising the columns ofthe matrix W.
Thus far we have introduced the distribution .1
c
via Procedure (28), and have shown
that if .1
c
has dimension less than n, then the system (I) can be put into the "triangular" form
(26). Clearly, the system(26) is not locally reachable, because the time evolution ofthe vec-
tor Yb is completely unaffected by the input u. Hence, if dim A, < n, then the system (I) is
not reachable. But is the converse true: If.1
c
has dimension n, does this mean that the system
(I) is locally reachable in the sense of Definition (5)? The answer is yes, though the proof is
beyond the scope of the book. The interested reader is referred to Isidori (1989), Theorem
p. 69. The next theorem states the result formally.
41 Theorem For the system (J), thefollowing statements are equivalent:
(i) The system is locally reachable around xse:R" in the sense ofDefinition (5).
(ii) There is a neighborhood U of Xo such that the distribution .1
c
constructed in
accordance with Procedure (28) has dimension n at all XE U.
Note that, when specialized to the linear system (6), Theorem (41) reduces to the fami-
liar statement that the system (6) is reachable if and only if the matrix W of (36) has rank n.
But a naive generalization ofthis rank test to nonlinear systems is not valid, as brought out in
Corollary (42) and Example (45) below, which incidentally illustrate an important differ-
ence between linear systems and nonlinear systems.
42 Corollary Given the system (J), consider the distribution
-
If .1
n
-
1
(Xo) has dimension n, then the system is locally reachable around Xo in the sense oj
Definition (5).
- -
Proof Clearly .1
n
-
1
is a subset of A, as constructed by (34). Hence, if .1
n
-
I
(Xo ) has
dimension n, then so does .1
c
' whence the system is locally reachable by virtue of Theorem
(41).
_ Note that A, _I can be formed iteratively according to the following procedure: Define
.10=.10 as in (29), and define
410 Differential Geometric Methods Ch.7
where l, is the dimension of and ... , is a set of generating vector fields for
Comparing (44) and (33) shows the difference between and In constructing the
former, at each stage we do not take Lie brackets of the form [g/, rJil], as we do when con-
structing In the case of a linear system of the form (I) this makes no difference, because
in this case each is the span of a set constant vector and the Lie bracket of two
constant vector fields is zero. Hence = for all i, and = So the converse of
Corollary (42) is true for the linear system (6).:.... But the next example shows that the converse
of Corollary (42) is false in general - dim = n is not a necessary condition for local
reachability.
45 Example Consider once again the bilinear system
x=Ax+uBx,
where
[
0 0 3] [I 24]
A= 00 6 ,B= 220 .
00-2 003
Suppose "0 =[I I I]'. Let U be a ball centered at "0, with a radius small enough that the
origin does not belong to U. Then
-
.1.0 =.1.0 = span {g}= span [Bx},
= span {Bx, [Ax, Bx], [Bx, Bx]} = span {Bx, [Ax, Bx]}
-
= span [Bx, Cx},
where
[
0 0 - 2]
C=BA-AB= 00 0 .
00 0
Next,
- -
= span [Ax, Bx], [Ax, Cx]}.
But [Ax, Bx] while [Ax, Cx] =Dx, where
Sec. 7.3 Reachability and Observability 411
[
0 0 4]
D=CA-AC= 000 =-2C.
000
- - - -
Hence [Ax, CX]E and as a result = Of course dim = 2. However,
= span [Ax, Bx], [Ax, Cx], [Bx, Bx], [Bx, Cx]).
Now [Bx, Bx] = 0, and we have already seen that
span [Ax, Bx], [Ax, Cx])
But [Bx, Cx] = Ex, where
[
0 0 - 4]
E=CB-BC= 00 4 .
00 0
Hence'
= span [Bx, Cx, Ex}.
Atx="o, we have
It is easy to verify that = 3. It now follows from Theorem (41) that the system is
locally reachable .
The next theorem gives a simple sufficient condition for the system (l) to be locally
reachable aroundan equilibrium, i.e., a vector "oEXsuch that ("0) = O.
46 Theorem Consider the system (1), and suppose "oE Xsatisfies ("0) = O. Define the
matrixAoE R
nxn
and the vectors biOER
n
, i = I, ... , m, by
47 Ao= [ ,biO=gi("o).
X="o
Consider the linearizedsystem
412
m
48 i=Aoz+ I;biovi'
i=1
Differential Geometric Methods Ch.7
Then the system (1) is locally reachable if the system (48) is reachable, i.e., if the nxnm
matrix
has rank n, where
50 8
0
= [bID' .. b
mo
]
Proof In fact we prove something more, namely: For every sufficiently small T >0,
the set of states reachable from Xo at time T contains a neighborhood of Xo. Accordingly,
suppose T> 0 is specified. Let e., "', e, denote the elementary unit vectors in R"; that is,
e, contains a "I " in the i-th row and zeros elsewhere. Now by the assumption that the linear-
ized system (48) is reachable, there exists a control input yiO (which is an m-vector valued
function) that steers the system (48) from the state z =0 at time 0 to the state z =e, at time T.
Indeed there are n such input functions y I ('), "', y" ('). Now, for any r = [r I .. r"]' E R" ,
define the control input
"
51 Or = I;rjyj.
j=l
Let x(t, r) denote the solution of (I) starting at the initial condition x(O)= Xo, and with the
input Or' Then x(T, r) is well-defined whenever \Ir \I is sufficiently small, say II r II < E. Let
BEdenote the ball in R" of radius Eand centered at 0, and define h: BE R" by
52 h(r) = x(T, r).
Note that h(O) =Xo;this follows from the fact that f(Xo) =0. It is now shown that [ohldr)(Xo)
is nonsingular. It then follows from the inverse function theorem [Theorem (7.1.1)] that
locally h is a diffeomorphism around Xo. Thus, given any xf sufficiently close to Xo, there
exists an re R
n
such that
53 xf=h(r)= x(T, r).
Hence the input Or defined by (51) steers the systemfrom Xo to xf' This shows that the proof
is complete once it is established that [ohldr)(Xo)is nonsingular.
For this purpose, note that x(', r) satisfies the differential equation
m m m
54 x(t, r)=f[x(t, r)] + I; (u
r
) ; gi[X(t, rj] =f[x(t, r) + I; I;rj (yj);(t)g;x(t, rj].
;=1 i=l j=1
Interchanging the order of summation and differentiating with respect to rj gives
Sec. 7.3 Reachability and Observability 413
55
s. ()x(t. r) = [ de ] ax(t. r)
dt a'j ax a'j
x(t. r)
m. m lag;] ax
+ r)] + ax r).
I-I I-I x(t. r)
Define
56
.( ) = [ ax(t, r) ]
m
J
t :I .
0"
J r=O
A differential equation governing m/) can be obtained from (55) by substituting r = O. In
this case x(t. 0) ="0.
57
58
l
ac ] lac] - = - =Ao.and
ax xu. 0) ax x=x"
Also, ifr =0, then the lasttermon the right side of (55) drops out, since (ur)r=O =0. Hence
m
59 mj(t) = A
o
m/t) + b;o =A
o
m/t) +B
o
vj(t).
;=1
By the manner in which the functions vA) were chosen. we know that
Hence
61
ah(r) = ax(T, r) = I
ar ar '
which is obviously nonsingular.
62 Example Consider a mass constrained by a nonlinear spring and a nonlinear viscous
damper, and driven by an external force. Such a system is described by
where the various quantities are defined as follows:
m Mass of the object
414 Differential Geometric Methods Ch.7
r Position of the object
d Frictional damping force
k Restoring force of the spring
Using the natural state vector
x=[:] .
one can represent the systemdynamics in the form (I), with
Now let "0 =0, and note thatf(O) =0. The matrices defined in (48) become
A
o
= -d\O)] .1>0=
where k", d' denote the derivatives of k and d respectively. It is easy to see that the linear-
ized system is reachable, whatever be the constants k' (0) and d' (0). Hence, by Theorem
(46), the original nonlinear systemis also locally reachable around O.
7.3.2 Observability
Now let us study the observability of systems described by the state equation (I) and
the output equation (3). First, a few concepts are introduced.
63 Definition Consider a system described by (1) and (3). Two states "0 and X, are said
to be distinguishable ifthere exists an inputfunction ut-) such that
where y(', Xi, u), i = I, 2 is the output function of the system (1) - (3) corresponding to the
input function u() and the initial condition = Xi' The system is said to be (locally)
observable at "oEX if there exists a neighborhood N of"0 such that every XE N other than
"0 is distinguishable from "0. Finally, the system is said be (locally) observable if it is
locally observable at each "oEX.
As is the case with reachability, there are several subtleties in the observability of non-
linear systems that have no analog in the case of linear systems. These are illustrated
through several examples.
Sec. 7.3 Reachability and Observability 415
65 Example According to Definition (63), two states Xo and XI are distinguishable if
(64) holds for some choice of input function u(-); there is no requirement that (64) hold for
all inputs ut-). Now for a linear system described by (2) and (4), it is easy to show that the
following three statements are all equivalent: (i) (64) holds for some input ut); (ii) (64)
holds for all inputs ut-): (iii) (64) holds with u == O. This is because, in the case of a linear sys-
tem described by (2) and (4), the outputy is the sum of the zero-input response and the zero-
state response. Since such a decomposition is not possible in general for a nonlinear system,
the above three statements are not equivalent in the case of a general nonlinear system.
To illustrate this point, consider the bilinear system
x =Ax+uBx, y =ex,
where
[
0 1 0] [000]
A= 0 0 1 , B= 1 0 0 ,e = [0 1 0].
\ 000 000
Let Xo == O. Suppose we set u == O. Then a routine calculation shows that the pair (c, A) is not
observable. In particular, if we let XI = [I 0 0]', then
By familiar arguments in linear system theory, this implies that the states 0 and XI cannot be
distinguished with zero input, i.e.,
y(o, 0, 0) =y(o, XI' 0).
However, suppose we choose a constant input u(t) == 1Vt. Then the system equations
become
x=(A+B)x, y=ex.
Now, as can be easily verified, the pair(e, A +B) is not observable either, but
[
e(A:B)] XI ;t:0.
e(A+B)2
This means that
416
y(',O, l):t:y(', xj, 1).
Differential Geometric Methods Ch.7
Hence the states 0 and XI are distinguishable [by the constant input u(t) == 1Vt].
Let us carry on the argument. Suppose we apply a constant input u (r) == k Vt. Then the
state equation becomes
x=(A +kB)x.
Now
[
c(A:kB)] = ~ ~ ~ =: M, say.
c(A+kB)2 0 k 0
Clearly M is singular. Thus the pair (c, A+kB) is unobservable for each fixed k. This
means that there is no constant input that would permit us to distinguish all nonzero states
from O. However, let us fixk, and ask: What are the states that cannot be distinguished from
O? These are precisely the (nonzero) states that produce an identically zero output, i.e., the
states X such that Mx= O. An easy calculation shows that the states that cannot be dis-
tinguished from 0 with u(t) == k are
{a [ I 0 -kr,a:t: 0 }.
Now comes the important point. Given any x:t: 0, there exists a choice ofk such that
x:t:a [1 0 -er VaE R.
Hence, with this particular choice ofinput. the states 0 and xcan be distinguished. So we see
that the system under study is (locally) observable.
66 Example It is possible to define a system to be globally observable if every pair of
states ("0, x.) with "o:t: Xl is distinguishable. However, this concept is much stronger than
localobservability. Consider the system
. _ [Y I] _[cos x]
x-u -. .
'Y2 smx
Given y I and y 2, one can uniquely determine x to within a multiple of 2n. Hence each x is
distinguishable from all other nearby states, and the system is (locally) observable. How-
ever, since x and x +2n cannot be distinguished, the system is not globally observable.
Now let us derive necessary and sufficient conditions for the system (l) - (3) to be
locally observable. For this purpose, it is useful to recall how the standard observability
rank test for linear systems is derived. Consider a linear system described by (2) and (4).
Suppose we know u and can measure y; assume for the sake of convenience that u(t) is a
smooth function of t, i.e., has derivatives of all order. Then successive differentiation of the
Sec. 7.3
output equation (4) gives
Reachability and Observability 417
67 y(t)=Cx(t),
yet) = C x(t) = CA x(t) +CB u(t),
y(t) =CA
2
x(t) +CAB u(t) +CB o(t), '"
Hence, by successively differentiating y, we can infer the quantities
68 C x(t), CA x(t), CA
2
xtr), .. ,
after subtracting the known quantities CB u(t), CAB u(t), CB o(t), etc. Now (68) shows
that if the matrix
C
CA
CA
2
69 W
o
=
has rank n, then it is possible to determine X(/) uniquely. (Of course, there is no need to go
beyond An-I because of the Cayley-Hamilton theorem.)
For nonlinear systems the idea is pretty much the same. Let I denote the number of out-
puts, and let Yj' h/ x) denote respectively the j-th components of y and h( x). Then
m m
71 Yj = dh>. = dh
j
f(x) + .!:Ui dh
j
gi(X) = (Lrhj)(x) + .!:Ui (Lgh)(x),
;=1 ;=1
where the Lie derivatives l-th, and Lgih
j
are defined in accordance with (7.1.15), and the
explicit dependence on t is not displayed in the interests of clarity. Differentiating one more
time gives
m m
72 Yj = (Ljhj)(x) + .!:u; (LgiLrhj)(x) + .!:Ui (Lg,hj)(x)
;=1 ;=1
m m m
+.!:u; (LrLgihj )(x) +.!: .!:UiU, (Lg,Lgihj)(x).
;=1 ;=1 s=1
Expressions for higher derivatives of Yj get progressively nastier, but the pattern is clear
418 Differential Geometric Methods Ch.7
enough. The quantity y ~ is a "linear" combination of terms of the form
(Lz,Lz,_, ... L
Z 1
hj)(x), where 1:5s :5k, and each ofthe vector fields z" "', z, is from the set
{f,g" ,gm}.
In view of the foregoing observation, Theorem (73) below seems quite plausible.
However, a little effort is needed to prove the theorem.
73 Theorem (Sufficient Condition for Local Observability) Consider the system
described by (1Jand (3J, and suppose "oE X is given. Consider the forms
evaluated at "0. Suppose there are n linearly independent row vectors in this set. Then the
system is locally observable around"0.
Remarks The proof of Theorem (73) is based on several preliminary lemmas and is
given by and by. But first it is shown that, when specialized to the linear systemdescribed by
(2) and (4), the condition of Theorem (73) reduces to the familiar condition that the matrix
W
o
of(69) have rank n. Now (2) - (4) is of the form (1) - (3) with
where b, denotes the i-th column of the matrix Band Cj denotes the j-th row of the matrix C.
Hence, with s =0 in (74), we have
Next,
Therefore, the only nonconstant functions are Lrh
j
. Since da = 0 if a is a constant function,
the only nonzero vectors of the form (74) with s = 1are
When we take repeated Lie derivatives as in (74), the constant functions do not contribute
anything. In fact, the only nonzero vectors of the form (74) are
Theorem (73) states that if this set contains n linearly independent row vectors, then the sys-
tem is (locally) observable. Finally, the Cayley-Hamilton theorem permits one to conclude
that the span of the vectors in (79) is exactly the same as the span ofthe set
Sec. 7.3 Reachability and Observability 419
So the sufficient condition for observability becomes
C
CA
81 rank =n,
which is of course the familiar condition.
To prove Theorem (73), a preliminary concept is introduced.
82 Definition Given the system described by (1) and (3), the observation space 0 ofthe
systfm is the linear space offunctions over thefield R spanned by all functions oftheform
It is important to note that the observation space consists of all linear combinations of
functions of the form (83) with constant real coefficients - not functions of x. Also, if s =0
in (82), then the "zeroth-order" Lie derivative of h, is to be interpreted as h
j
itself.
The next lemma gives an alternative and useful interpretation of the observation space.
84 Lemma For the systemdescribed by (1) and (3), let Jdenote the linear space offunc-
tions over thefieldR spanned by allfunctions oftheform
where VI, . " , v.l are vector fields oftheform
m
86 v=f+ ~ gi
i=1
for some choice ofreal numbers u I, "', UmE R ThenJ =0.
Proof Note that ifv, ware vector fields, we have
Now note that (i) each vector field of the form (86) is a linear combination over R of the vec-
tor fields {f, g\, ... , gm }, and (ii) conversely, each vector field in the set {f, gl, ... , ~ } is a
linear combination over R of vector fields of the form (86). It is obvious that (i) is true. To
see (ii), observe first thatfis of the form (86)-just set a, =0 Vi. Next, we have
420 Differential Geometric Methods Ch.7
Hence gi is also a linear combination of vector fields of the form (86). It follows that the
span of the vector fields {f, g" "', g", } with coefficients in R is the same as the span of all
vector fields of the form (86) with coefficients in R. That 0 =J now follows from repeated
applications of (87) .
Lemma (89) presents another technical result needed in the proof of Theorem (73).
89 Lemma Let u, ... , UsE R", andconsider the piecewise-constant input
UI, < t
l
U2,
90 u(t)=
s-I s
Us, s t s 1:
t
k
k;\ k;1
Let Y/Xo) = Yj(Xo, t I, "',1.,) denote the j-th component ofthe system (1) - (3) correspond-
ing to the control input u(-) and the initial state Xo. Then
91
[
--.L ... =(dL ... L h)(Xo),
dt I dt
s
v., v, J
1.=O\fk
where vk is the vectorfield
m
92 vk=f+ 1:Ukig;, k = 1, "', s.
;;1
Remarks The lemma says that if we apply a piecewise-constant control of the form
(90) and then let the duration of the "pulses" shrink to 0, then the quantity in (91) is equal to a
particular repeated Lie derivative.
Lemma (89) can be proved quite easily by induction on k; the proof is left as an exer-
cise.
Proof of Theorem (73) Let 0 denote the observation space of the system, and con-
sider the set of row vectors da(Xo) as a varies over O. This is a subspace of (R") *, the set of
lxn row vectors. Moreover, this subspace is precisely the span ofthe various row vectors in
(74), and hence has dimension n by hypothesis. Now let J be as in Lemma (84). Since J = 0
by Lemma (84), the hypothesis implies that there exist n linearly independent row vectors of
the form d!31 (Xo), "', d!3n(xo), where each B, is a function of the form (85). Hence, by the
inverse function theorem [Theorem (7.1.1)], it follows that the map
Sec. 7.3
93 T(x)=
Reachability and Observability 421
is locally a diffeomorphism around "0.
Choose a neighborhood N of "0 such that T: N T(N) is a diffeomorphism. Suppose
xlEN is indistinguishable from "0; it is shown that XI = "0. In tum. this implies that every
XE Nother than "0 is distinguishable from "0, i.e., that the system is observable at "0. which
is the desired conclusion.
Accordingly. suppose Xl E N is indistinguishable from "0. This means that
y(', "0. u) =y(', XI, u) for all inputs u(). In particular, let u bea piecewise-constant input of
the form (90). Theny/"o) =Y/Xl)' Letting all t
s
oand applying (91) shows that
I
This relationship holds for all vector fields v of the form (86). and for all integers s O. Now
comes the main point. Each function in (93) is of the form (85) for a suitable choice of
vector fields VI, "', V
S
' Hence
i.e., T("o) = T(xl)' But since Tis locally a diffeomorphism. this implies that "0 =X.
96 Example Consider once again the system of Example (65). This system is of the
form (l) - (3) with
f(x)=Ax, g(x)=Bx, h(x) = ex.
Hence. to apply Theorem (73), it is necessary to examine the row vectors
Routine calculations show that these vectors are independent of "0. and are respectively
equal to
c. cA. cB. cBA. cAB, ...
However,
422
[
c:]= ~ ~ ~ ,
cD 100
Differential Geometric Methods Ch.7
whichhas rank 3. Hence the system is observable.
Theorem (73) gives only a sufficient condition for observability. Is it also necessary?
Theorem (97) below gives a decomposition result which shows that the condition of
Theorem(73) is "almost" necessary; see Corollary (112).
97 Theorem (Decomposition of Unobservable Systems) Consider the system
described by (1) and (3), and let XoEX be given. Let 0 be as in Definition (82). For each
XEX, let dO(x) denote the subspace of (R")> consisting of all row vectors da(x), aE O.
Suppose there exists a neighborhoodN ofXo such that
98 dimdO(x) =k < n, 'VXE N.
Then there exists a diffeomorphism Ton N such that, if we make the state variable transfor-
mation z= T(x) andpartition zas
'19 z=[::].Z"eR. z,eR"-"
then the transformed vectorfields frand gir have theform
where all vectors with the subscript a belong to R
k
, all vectors with the subscript b belong to
R
n
-
k
, and thefunction hrdefined by
depends only on Za'
Remarks Equations (100) and (101) imply that, after the change of coordinates, the
system equations assume the form
102
These equations make clear the fact that the vector zb is "unobservable," since it does not
influence za in any way, nor is it reflected in the output measurement. Actually, the
Sec. 7.3 Reachability and Observability 423
statement of the theorem can be strengthened by pointing out that the vector Zo is observ-
able. The precise mathematical statement is as follows: Define M =T(N); then M is the
state space in the z coordinates. For a given ZoE M, define J(zo) to be the set of states in M
that are indistinguishable from zoo Then the claim is that
103 J(zo)= {zEM: Zo =zOa}.
In other words, the first k components of z are completely distinguishable, while the last
n - k components of z are completely indistinguishable. This stronger form of Theorem
(97) is not difficult to prove, once Theorem (97) itself is established. The proof of this exten-
sion is left as an exercise.
Proof Choose smooth functions ai' "', akE S(X) such that
and choose a sufficiently small neighborhood Nof Xo such that
105 dO(x) = span (dal (x), "', dak(X)}, VXE N.
Now choose some other n - k functions ~ k l "', ~ n E S(X) such that
a.(x)
is a diffeomorphism on N, and define z = T(x). The question is: What do f
T
, giT and h
T
look
like?
Suppose a is a function belonging to the observation space O. Then of course
da(x)E dO(x) VXEN. Hence (105) implies that, after the coordinate transformation, every
function in 0 depends only on zo' In other words, the gradient of every transformed func-
tion aT has the form
Now, note first that each component h, of the output function belongs to the observation
424 Differential Geometric Methods Ch.7
space O. Hence h
T
has the form (102), i.e., h
T
depends only on za' Next, let v be anyone of
the vector fieldsf
T
, giT, i = I, "', m. Partition v as
where, as usual, va E R
k
, and VbE R" -k. Then, for UTE 0, we have from ( 107) that
The observation space is closed under Lie differentiation with respect to each of the vector
fields f, g\> "', gm; in other words, if UE 0, then LrUE 0 and Lg,UE 0 Vi. This is clear from
Definition (82). So it follows that, in (109), ~ U is also independent of Zb' Now let us
choose u=Ui' the i-th "basis" function as in (105). Then it follows from (106) that
In other words, with the change of coordinates, a, isjust the i-th component ofz. Therefore,
111 dUiT = [0 o .. I ... 0 0),
where the" I" occurs in the i-th position. Substituting this into (109) shows that the i-th com-
ponent of va(z) is actually independent of Zb' Since v is anyone of the vector fields f,
g\> "', gm' this isjust putting (100) into words .
112 Corollary Suppose the system described by (J) - (3) is observable. Then dO(x) has
dimension nforal/ x belonging to an open dense subset ofX.
The proof is based on the fact that if dim dO(x) < n over some set which contains an
interior point, then it is possible to decompose the system as in Theorem (97), and as a result
the system is not locally observable. There are however some technicalities, so the reader is
referred to Nijmeijer and van der schaft (1990), p. 97.
Thus far we have seen a decomposition of a nonlinear system into its reachable and its
unreachable parts [cf. Lemma (17), and another decomposition into its observable and its
unobservable parts [cf. Theorem (97)]. Is it possible to combine the two decompositions?
Recall that a similar decomposition is possible in the case of the linear system (2) - (4).
Specifically, given the system (2) - (4), it is possible to find a nonsingular matrix T such that
All 0 A
l3
0 B
I
A
21
A
22
A
23
A
24
B
2
113 TAr
1=
0 0 A
33
0
' TB=
0
0 0 A
43
A
44
0
Sec. 7.3 Reachability and Observability 425
Hence, if we define a new state vector z = Tx and partition z as
Z2
then the various components of z can be identified as follows: (The state components
comprising) Zl (are): controllable and observable; Z2: controllable but unobservable; z3:
observable but uncontrollable; z4: both uncontrollable and unobservable. Further, the
input-output behavior of the system is determined solely by the matrices C
1
, All' B
I
. Is
there an analogous result for nonlinear systems?
/ The answer is yes. To state the result precisely, two preliminary definitions are intro-
duced.
115 Definition Let O(x) be the observation space introduced in Definition (82). For each
XE X, define ker dO(x) to be the subspace ofR
n
given by
116 kerdO(x)= (fE V(X): <do.(x), f(x) >=0, Vo.EO}.
Define ker dOto be the distribution which assigns the subspace ker dO(x) to each XE X.
Thus ker dO consists of all vector fields that are annihilated by each of the forms do. as
0. varies over the observation space O. Suppose XoE X is given, and that dim dO(x) is con-
stant for all x in some neighborhood N of Xo. To be specific, suppose
dim dO(x) = k < n VXE N. Then ker dO is a distribution of dimension n - k; moreover,
ker dO is automatically involutive, since the condition (7.2.25) is satisfied.
117 Definition Suppose 11, and11
2
are distributions on X. Then 11
1
+11
2
is the distribution
defined by
Recall that, for each XE X, 11, (x) and 11
2
(x) are subspaces of R". Moreover, if M, and
M 2 are subspaces of R" , then
Now we come to the main decomposition result; the proof can be found in Nijmeijer
and van der Schaft (1990), pp. 110-111.
426 Differential Geometric Methods Ch.7
120 Theorem Consider the system (1) - (2). Let be defined as the outcome ofapplying
Procedure (28), and define kerdO by (116). Suppose XoEX is given, and suppose there
exists a neighborhood N of Xo such that ker dO(x), and -+ ker dO(x) all have
constant dimension as x varies over N. Then there exists a local diffeomorphism Ton Nsuch
that the transformed vector fields fT. giTand the transformedfunction h
T
have the following
specialforms: Partition z= T(x) as in (114). Then
121 fT(x) =
f
l
( ZIo Z3)
f
2
(z)
f
3
( Z3)
f4( Z3' Z4)
gl(ZI, z3)
g2(z)
o
o
Moreover.
122 ([x X 0 O]},
123 (kerdO)T=span ([0 X 0 x]).
In (122) and (123), the symbol x is used as a shorthand for an arbitrary vector belong-
ing to the appropriate subspace of (R")>, Thus (122) means: consists of all vectors
having that particular form; (123) should be interpreted similarly.
Equation (122) states that the state components Z\ and Z2 are controllable, while (123)
states that the state components Z2 and z4 are unobservable.
Problem 7.8 Consider the problem of controlling a satellite in space using gas jet
actuators. The angular velocity of such a satellite is governed by
leo=eox(leo)+ r,
where I is the 3x3 inertia matrix of the satellite in a body-attached coordinate frame, eois the
angular velocity vector, and t is the vector of externally applied torque. Suppose the coordi-
nate frame is chosen to correspond to the principal axes of the satellite. Then [ef. Example
(5.3.19)]
and the equations governing the motion become
x=ayz+ul,
y=-bxz +u2,
Sec. 7.4
where
Feedback Linearization: Single-Input Case 427
't'r 't'2 't'3
u -- U -- U --
I - t,: 2 - t,: 3 - I
z
'
and x, y, z are respectively short-forms of (Ox, (0" (Oz.
(a) Show that the system is not reachable if only one actuator is used. Show that, for
example, if only u 1 is used, then the quantity III I = cy 2 +b:
2
is constant, whatever be u I (').
Derive similar results for the case where only u 2 is used, and where only u 3 is used.
/ (b) Suppose I, > I
y
> I, > O. Show that the system is reachable if any two out of the
three actuators are used.
(c) Suppose l, =Iv> I
z
' so that c =O. Show that the system is reachable if u I and u3 are
used, and if u 2 and u 3 are used. Show that the system is not reachable if only u I and u 2 are
used.
(d) Suppose the satellite is prefectly spherical, so that I, =I
y
= I
z
Show that the system
is not reachable unless all three actuators are used.
Note: In the above simplified version of the problem, we are considering the reachabil-
ity of the angular velocity vector alone. For a more thorough treatment which considers the
reachability of both the angular position as well as the angular velocity, see Crouch (1984).
Problem 7.9 A simplified model for steering an automobile in a plane is given by [see
Nijmeijer and van der Schaft (1990), p. 52]
where (x, y) is the position of the centroid of the automobile, and eis its orientation. Show
that the system is reachable.
7.4 FEEDBACKLINEARIZATION: SINGLEINPUT CASE
In this section and the next, we study an important application of differential-geometric
methods, namely the possibility of transforming a given nonlinear system to a linear system
via feedback control and a transformation of the state vector. In this section the case of
single-input systems is considered, while multi-input systems are studied in the next section.
428 Differential Geometric Methods Ch.7
The problem studied in this section can be described as follows: Consider a system
described by
1 x=f(x)+u g(x),
where f and g are smooth vector fields on some open set X R" containing 0, and f(O) = O. It
is desired to know when there exist smooth functions q, SES(X) with s(x):tO for all x in
some neighborhood of the origin, and a local diffeomorphism Ton R" with T(O) = 0, such
that if we define
2 v=q(x)+s(x)u,
3 z=T(x),
then the resulting variables zand v satisfy a linear differential equation of the form
4 z=Az+bv,
where the pair (A, b) is controllable. If this is the case, then the system (I) is said to be feed-
backIinearizable. Note that since s(x):t 0 in some neighborhood of 0, (2) can be rewritten
as
5
q(x) I
u=---+--v,
s(x) s(x)
where -q(x)ls(x) and IIs(x) are also smooth functions. Hence, if we thinkofv as the exter-
nal input applied to the system, then (2) [or equivalently (5)] represents nonlinear state feed-
back, and a nonlinear state-dependent pre-filter, applied to the system (I). Similarly, (3)
represents a nonlinear state-variable transformation. Hence the overall effect of (2) and (3)
can be depicted as shown in Figure 7.2.
v
+
Fig. 7.2
x
..... x= ((x) + Ul!(X) .....-...,.----i T
z
The problem statement can be simplified further. Suppose suitable functions q, s, T
can be found such that the resulting state vector z and input v satisfy (4), and the pair (A, b) is
controllable. Then it is possible to apply a further state transformation
such that the resulting system is in controlIable canonical form[see Chen (1984)]. Thus
Sec. 7.4 Feedback Linearization: Single-Input Case 429
7 z =M-
1
AMi +M-
1
bv,
where
0 I 0 0 0
0 0 I 0 0
8
M-1AM= ,M-1b=
0 0 0 0
-ao -al -a2 -an-l I
and the ai's are the coefficients of the characteristic polynomial
/
9
n-I
lsI-AI =sn + I:ajsi.
i=O
Now a further state feedback of the form
results in the closed-loop system
11 z=Az+bv,
where
0100 0
001 0 0
12 A=
000
000
1
o
,b=
o
I
It is easy to see that
13 z=M-1T(x), v=v-ai=q(x)-a'M-1T(x)+s(x)u,
where
430
14 a' = [ao a I ... an-I]'
Differential Geometric Methods Ch.7
Note that the transformation (13) is of the same form as (2) - (3). Hence if the system (1) is
feedback linearizable at all, then it can be transformed to the simpler system (11).
With these observations, the problem under study in this section can be precisely stated
as follows:
Feedback Linearization Problem (Single-Input Case) Given the system (1), do
there exist (i) a smooth function qE S(X), (ii) a smooth function SE S(X) such that s(x)"#O
for all x in some neighborhood of0, and (iii) a local diffeomorphism T: R" R" such that
T(O) = 0, satisfying the following conditions: Ifnew variables v and z are defined in accor-
dance with (2) and (3) respectively, then
Note that (15) isjust (11) written differently.
Now the main result of this section is presented.
16 Theorem Thefeedback linearization problemfor the single-input case has a solution
ifand only ifthefollowing two conditions are satisfied in some neighborhood ofthe origin:
(i) The set ofvector fields [adjg, 0:5 i:5 n -I} is linearly independent.
(ii) The set ofvector fields {ad}g, 0:5 i:5 n -2} is involutive.
Proof "Only if' Suppose the problem has a solution; i.e., suppose there exist a neigh-
borhood U of the origin, a diffeomorphism T: U R", and suitable smooth functions
q, SE S(X). It is to be shown that (i) and (ii) above are satisfied.
By assumption, the transformed variables z and v satisfy (15). Let T, denote the i-th
component of the vector-valued function T(x). Thus
17 z, = Ti(x).
Now
=Zz = Tz(x) by (15).
Hence (18) implies that
Repeating the reasoning for zz, ... , Zn-I shows that
Sec. 7.4 Feedback Linearization: Single-Input Case 431
Finally, for i = n we have
= v = q +us by (15) and (2).
Hence
22 LrT
n
=q, LgT
n
=s.
All of these equations hold for all XE U.
Next, it is claimed that
Inother words, it is claimed that
The claim (23) is proved by induction on j, starting with the largest value of j, namely
j =n -1. The first line in (24) follows from (20), so (23) is true whenj = n -1. Suppose (23)
is true for j +I, "', n -I, and let us establish (23) for j. For this fixed value of j, the proof of
(23) is again by induction, this time on i, starting with i =O. Clearly L
g
T
j
=0 by (20), so the
statement is true when i = O. Suppose it is true for 0, "', i-I. Then
By Lemma (7.1.59),
Now the first term is zero by the inductive hypothesis on i-I. So
by the inductive hypothesis onj +1. This establishes (23).
To complete the picture, let us compute a d ~ j g T
j
. We have
432 Differential Geometric Methods Ch.7
where (23) is used to eliminate the first term in the second line, and (20) is used to replace
LrTj by Tj+
1
in the last line. Now it is claimed that
29 a d ~ j g T j = (_1)n-
j
S, 1:5j:5 n-1.
The proof is by (what else?) induction on j, starting with the highest value. When j = n -1,
(29) follows from (28) and (22). Now suppose (29) is true for j +1, "', n-1. Then
where (23) is used to eliminate the first term in the second line, and (20) is used to replace
LrTj by Tj+
1
in the last line. Now by the inductive hypothesis, the last line equals
31 _(_l)n-j-I S = (-It-js.
This establishes (29).
Now we are ready to complete the proof. Applying (23) and (29) withj = 1gives
First it is established that Condition (i) is true, i.e., that the set {adjg, 0:5 i:5 n-I} is linearly
independent. For this purpose, suppose Co' .'., Cn_I are real numbers, and "0 E U is a point
such that
n-l
34 I.Ci [ad}g]("o) = O.
i=O
Take the inner product ofthis vector with dT1("0), and use (32) and (33). This gives
But sinces("o);t:O, we conclude thatcn_1 =0. So we can drop the last term from the summa-
tion in (34) and take the inner product of the resulting vector with dT
n
-
2
("o ). Again using
Sec. 7.4 Feedback Linearization: Single-Input Case 433
(23) and (29) gives
36 (-I)n-2
cn_2s
(xo) = 0,
which in tum implies that C
n-2
=0. Repeating this procedure shows that all Cj'S equal zero.
This shows that Condition (i) of the theorem is true. To prove Condition (ii), observe that
the set {adjg, O:S; i :s; n -2} contains n -I linearly independent vector fields, since it is a sub-
set of the linearly independent set {ad}g, O:s; i :s; n -I }. Let Abe the distribution spanned by
these n -I vector fields. Then (32) shows that the exact differential form dTI annihilates A.
Moreover, since T I is the first component of a local diffeomorphism, dTI (x)::I:- 0 for all
XE U. By the Frobenius theorem [Theorem (7.2.24)], it follows that Ais involutive, which is
precisely Condition (ii).
"If' This part of the proof consists essentially of reversing the above steps. Suppose
Conditions (i) and (ii) of the theorem hold over some neighborhood U of O. Then from the
involutivity of the set {adjg, O:S; i :s; n -2} and the Frobenius theorem, it follows that there
exists a nonconstant smooth function T I such that
Without loss of generality, it can be assumed that T 1(0) = 0; if T I (0)::1:- 0, then the constant
T I (0) can be subtracted from T I without affecting dTI and the validity of (37). Now define
T
2
, ... , T; recursively by
Then Tj(O) =Ofor all i, since C(O) = O. Finally, define
40 v =q +su,
Let us see what equations these new variables satisfy. For this purpose, let us first show
that
42 <dT
j
, ad}g> =0, forO:S;i :S;n-j-I, l:S;j :S;n-l.
This, it can be observed, is the same as (23); however, the above statement needs to be
proved starting from (37) and (38), whereas (23) was proved starting from (20). Neverthe-
less, the proof of (42) by double induction on i and j is only a minor variation of the proof of
(23), and is left as an exercise to the reader. Similarly, it can be shown that
434 Differential Geometric Methods Ch.7
which is the same as (29).
Using (42) and (43), it is a simple matter to find a set of equations for the new variables
zand v. First, for I :5; i :5;n-l, we have
Finally,
These are precisely the equations (15).
Hence, to complete the proof, it only remains to show that S(X) "I:- 0 for all XE U, and that
T is a diffeomorphism on U. To prove the first statement, suppose there exists a point "oE U
such that s("o) =O. Then, combining (37) with (43) evaluated with} =I gives
This contradicts the hypothesis that the set [adjg, i = 0, "', n-I ) is linearly independent at
all XE U. Hence S(X) "I:- 0 for all XE U.
Finally, the proof is completed by showing that T is a local diffeomorphism on some
neighborhood ofO. Suppose a J' "', anare real numbers such that the rowvector
n
47 I,aj dTj(O)= O.
j=J
First take the inner product of this row vector with the column vector g(O). Using (42) with
i = I gives
But since S(O) "1:-0, this implies that an=0. Let us therefore drop the term andT
n
from the
summation in (47), and take the inner product of the resulting sum with the column vector
adfg(O). Using (42) with i =I and (43) with} =n -I gives
which in tum implies that an-I =0. The process can be continued to show that a, =0 for all i.
Hence the differentials dTj(O), i = I, ... , n are linearly independent. By the inverse func-
tion, this shows that Tis a local diffeomorphismon some neighborhood ofO.
Sec. 7.4 Feedback Linearization: Single-Input Case 435
Application: Robot with Flexible Joint
Consider the problem of positioning a link using a motor, where the coupling between
the motor and the link has some flexibility. The development below is taken from Marino
and Spong (1986). The system under study can be modeled as shown in Figure 7.3, where
the motor shaft is coupled to the link by a linear spring. This system can be modeled by the
two equations
I,m
Fig. 7.3
where the various physical constants are defined as follows:
J Moment of inertia of the motor about its axis of rotation.
I Moment of inertia of the link about the axis of rotation of the motor shaft.
Distance from the motor shaft to the center of mass of the link.
m Mass of the link.
g Acceleration due to gravity.
k Torsional spring constant.
q I Angle of the link.
q2 Angle of the motor shaft.
u Torque applied to the motor shaft.
If we choose the natural set of state variables
436
x=
Differential Geometric Methods Ch.7
then the system equations assume the form (I) with
f=
X2
mgl. k
---SmXI--(XI- X3)
/ /
o
o
,g= 0
l/J
From Theorem (16), this system can be transformed to the form (15) if and only if the
following two conditions hold over some neighborhood of 0: (i) The set
{g, adrg, adfg, adig} is linearly independent, and (ii) the set {g, adrg, adjg] is involutive.
In the present case all of these vector fields are constant, and
o 0 0 kllJ
o 0 klIJ 0
o 1IJ 0 -k1J
2
l/J 0 "":'k1J
2
0
The determinant of this matrix is k 2//
2
J4 which is obviously nonzero. Hence Condition (i)
holds. As for Condition (ii), any set of constant vector fields is involutive, since the Lie
bracket of two constant vector fields is zero. Hence, by Theorem (16), this system is feed-
back linearizable.
To construct a linearizing transformation, one can proceed, as in the proof of Theorem
(16), to finda nonconstant function T I such that T! (0) =0 and
In the present instance, since each of the three vector fields is constant, the conditions reduce
simply to
er, ar, aT
I
-=0, -=0, -=0.
aX2 aX3 aX4
So a logical (and simple) choice is
Sec. 7.4 Feedback Linearization: Single-Input Case 437
Of course this choice is not unique. Now, from (38),
This gives the nonlinear state transformation. To obtain the feedback control law (2), we
use (39). This gives
k k k mgl
+ / (XI -X)(/ +J + J cosx.),
In the new variables, the system equations are
. . . .
z, =Z2' Z2 =z), Z) =Z4' Z4 = v.
Two comments are worth making at this point. First, since z, =X, and Z2' z), Z4 are its
higher derivatives, the new state variables are physically meaningful: They are respectively
the link angle, angular velocity, angular acceleration, and jerk. Second, though Theorem
(16) only considers local feedback linearization, in the present example the linearization is
actually global. This can be seen by noting that the transformation T mapping x into z is
actually globally invertible, with the inverse mapping
438 Differential Geometric Methods Ch.7
7.5 FEEDBACKLINEARIZATION: MULTI-INPUT CASE
In this section, the results of the preceding section, and in particular Theorem (7.4.16),
are extended to multi-input systems of the form
m
1 X= f(x) + LUi g;(x),
i=1
where f, gl, ... , gm are smooth vector fields on some neighborhood Xof0, and f(O) = O. It is
reasonable to assume that the vector fields {gl, ... , gm} are linearly independent in some
neighborhood of the origin. Otherwise, some of the inputs are redundant, and by redefining
the inputs and reducing their number, the linear independence assumption can be satisfied.
The objective is to determine whether it is possible to transform the system (1) to a linear
system via nonlinear feedback and a state transformation.
The major difference between the single-input case and the multi-input case is that,
while there is a single canonical form to which all controllable single-input linear systems
can be transformed, there is more than one canonical form for multi-input systems. This
necessitates the introduction of some extra concepts, namely controllability indices and the
Brunovsky canonical form.
Consider the linear time-invariant system
2 x=Ax+Bu,
where AER
nxn
, BE R
nxm
, and Bhas rank m. If the system is controllable, then
Define,0 =rank B =m, and for i ~ I define
Then clearly 0 ~ j ~ m for all i. It can also be shown that 'i ~ r,+1' The proof is quite easy,
and in any case the statement follows from the more general version for nonlinear systems
given below; see Lemma (16). Thus
5
n-l
m e r >, >".>, ~ - n
- 0 - 1 - - n-I' "'" i - .
i=O
Now define the Kronecker indices K], ... , K
m
of the system (2) as follows: K
j
is the number
of the integers 'i that are greater than or equal to i. Clearly
m
6 KI ~ K2 ~ .. ~ K
m
~ 0, and L Ki = n.
i=l
For convenience, introduce the integers
Sec. 7.5 Feedback Linearization: Multi-Input Case 439
i
7 o, = !: Kj' i = I, ... , m.
j;1
Now the Brunovsky canonical form of the system (2) is another linear time-invariant sys-
tem of the form
8 z=Az+Bv,
where Aand B have the following special structures:
A A A
9 A = Block Diag{A" ... , Am},
where Ai has dimensions KiXK
i
and is the companion matrix corresponding to the polyno-
mial s Ie,. In other words,
010 0
00 I 0
A
RIe,XIe,
10 A
i=
E .
000 I
000 0
The j-th column of the matrix B has all zeros except for a "I" in the (Jrth row. It can be
shown that the system (2) can be put into its Brunovsky canonical form by state feedback
and a state-space transformation.
It is easy to see that if the number of inputs m equals I, then 'i = 1 for all i, K1 = m, and
the Brunovsky canonical form is just (7.4.12). For multi-input systems, however, several
canonical forms are possible. But if two multi-input systems have the same number of states
and inputs, then theyare "feedback equivalent," in the sense that one system can be
transformed into the other via state feedback and a state-space transformation, if and only if
they have the same Brunovsky canonical form.
To define a Brunovsky canonical form for nonlinear systems of the form (I), we
proceed in a manner entirely analogous to the above, except for a few additional regularity
assumptions which are not needed in the linear case. Given the system (I), define
11 C
- {d
k
I < .< 0 <k < '} 0 < . < I
i-argj, -J_m, - _I, _I_n-,
12 = span C;
Thus
440 Differential Geometric Methods Ch.7
13 L\J = span {gl' "', g",},
14 = span {gl' ... , g"" [f, gIl, ... , [f, gm]},
and so on. Nowdefine
15 ro =dimL\J =m, r, =dim - for i 1.
It is routine to verify that the above definition reduces to (4) for linear systems of the form
(2). But there is a potential complication in the case of nonlinear systems. In the linear case,
each distribution is generated by a set of constant vector fields, and thus has the same
dimension at all x. But in the nonlinear case, dim can vary as x varies. One way to
forestall this difficulty is to assume that 0 is a regular point of each of the distributions
i =0, ... , n-1. If such an assumption is made, then is constant for all x in
some neighborhood of 0, and as a result the integer r, is well-defined by (15) for all i. Once
the integers rj are defined, the Kronecker indices lCl, ... , lC
m
and the Brunovsky canonical
form are defined exactly as in the linear case.
16 Lemma Wehave
Proof Clearly ri+1 0 since is a subset of +1' To show that ri+1 sri' note that, by
definition,
or, in other words,
19 dim span {C
i
-
I
U{ad}glt ... , ad}g",}}=dimspanC
i_1
+ri'
Thus there are exactly m - ri vector fields among {ad}gl, ... , ad}gm }that are linear combi-
nations of those in C,-I and the remaining r, vector fields among {ad}gI' ... , ad}g", }. For
notational convenience only, suppose these are the last m - r, vector fields, i.e., suppose
Now the linear dependence is maintained when we take the Lie bracket of the two sides with
f; thus
Hence
22 dim span C,+1 s dim span C, +r.,
which is the same as saying that ri+1 sri'
Sec. 7.5 Feedback Linearization: Multi-Input Case 441
To state the necessary and sufficient conditions for feedback linearizability in the
multi-input case, we introduce one last set of integers. Let denote the largest value of i
such that ri -:t- O. Thus rIi > 0 but ri =0 'ifi Now define
23 mli=rli,mj=ri-ri+1 fori =0.
By Lemma (16), each of the mi's is nonnegative. Note that, for a multi-input system, both r,
and m, could be zero for sufficiently large i. However, for a single input system, 0=n - I,
mn-l = I, and m, =0 forO -2. Now it follows readily from (23) that
Ii
24 r. = Lmj'
i-!
Since, from 05),
25 dim A, = Lrj'
j=O
we get from (24) and (25) that
Ii i Ii
26 dimA, =Lrj - Lrj = L rj
j=O j=O j=i+l
Ii s Ii
= L Lmk= L (k-i)mk
j=j+1 k=j k=i+1
after interchanging the order of summation in the last step.
In order to follow the proof below, one should be able to interpret and understand the
integers m, and Ki in a variety of ways. The Kronecker indices Kj, ... , K
m
are just the sizes
of the various blocks in (9); there is no loss of generality in assuming that the blocks are
arranged in nonincreasing size, which is implied by the first part of (6). The integer 0 is
equal to the size of the largest block minus 1, i.e., 0 = K, - 1. Now the integer m, is just the
number of blocks of size i + l. Hence
Ii Ii
27 Lmj =m, LO + I) m, =n.
i=O i=O
Now we can state precisely the problem under study.
Feedback Linearization Problem (Multi-Input Case) Given the system (1) together
with a set ofintegers KJ, . " K
m
satisfying (6), do there exist (i) a neighborhood Uof0, (ii) a
smoothfunction e: U R'", (iii) a smoothfunction S: U R
m Xln
such thatdetS(O)-:t-O, and
442 Differential Geometric Methods Ch.7
(iv) a local diffeomorphism T:U R
n
such that T(O) =0, satisfying the following condi-
tions: Ifnew variables zand v are defined according to
28 z=T(x),
29 v =q(x) +S(x)u,
where
then the new variables z and v satisfy the linear differential equation
31 z=Az+Bv,
with AandB in Brunovsky canonicalform corresponding to the indices KI, ... , K
m
?
Now we state the main result of this section.
32 Theorem Consider the system (J), and assume that the following are true: (a) The
vector fields g" ... , gm are linearly independent at 0, so that dimdo=r0 =m as in (J5); and
(b) 0 isa regular point ofthe distribution .1.
j
f or each i Under these conditions, the feed-
back linearization problem in the multi -input case has a solution if and only if the following
two conditions are satisfied:
(i) dim.1.
o
= n, and
(ii) The distribution S, _I is involutive whenever m, -:1= O.
Remarks Comparing Theorem (32) with Theorem (7.4.16) for the single-input case,
one can spot an extra hypothesis in the present instance, namely the assumption that 0 is a
regular point of each of the distributions .1.;. But in the single-input case, this regularity
assumption is a consequence of Condition (i), To see this, note that in the single-input case,
the distribution .1.
n
-
1
is the span of exactly n -I vector fields, namely g, adrg, "',
Hence, if dim .1.
n
-
1
=n, which is Condition (i) in the single-input case, then this set of vector
fields is linearly independent. This implies that .1.; is the span of the i + I vector fields
g, adrg, "', which in turn implies that 0 is automatically a regular point of each distri-
bution .1.j if Condition (i) holds. Thus, in the single-input case, Theorem (32) reduces pre-
cisely to Theorem (7.4.16). It should be noted however that Isidori (1989), Theorem 2.2, p.
250, states that even the regularity of 0 can be incorporated as part of the necessary and
sufficient conditions for feedback linearizability.
Proof "If' Suppose Conditions (i) and (ii) hold. Let 0 be, as before, the largest integer
i such that m, -:1=0. By (23) this implies that r, =0 for all i > 0, and hence that dim Ag =n. Now
33 dim.1.&--1 =dim.1.o - rs =n -m
o;
that is, the codimension of 41 is mo. Now Condition (ii) states that .1.&--1 is involutive.
Sec. 7.5 Feedback Linearization: Multi-Input Case 443
Hence, by the Frobenius theorem, there exist a neighborhood U0 of 0 and smooth functions
{h i5,i' I :s; i:S; mi5}, such that their differentials are linearly independent at x = 0, and
These functions will form part of the transformation T, as we shall see shortly.
It is claimed that the m i5xm matrix M
i5
defined by
has rank mg, i.e., full row rank, at all XE UO. To see this, assume that there is a point XOE U0
and constants c I' "', cmf> such that
36 <dh
i5
.i,adf g
J
>](Xo) =0, for j = I, "', m.

This means, together with (34), that the row vector
mf>
37 r= LC; dh
i5
.
i
(Xo )

annihilates each of the column vectors for O:S; 1:S; 0, I :S;j:S; m. But these vectors
are precisely the ones that generate and hence span R", Thus r must be the zero
(row) vector. Since the row vectors dh
i5
.
i
(Xo ), I :s; i:S; mi5 are linearly independent, it follows
that c, = OVi, i.e., that M
i5
has full row rank.
Next, consider the distribution By (26),
Now there are two cases to consider, namely mi5-1 =0 and mi5-1 :;to. Suppose first that
mi5-1 =0. Then it is claimed that the differentials of the 2m 15 functions
{hi5,i' Lrh15,;, I :s; i :s; mi5} are linearly independent and annihilate each of the vector fields in
Note that if mi5-1 = 0, then by (38) the codimension of is exactly 2mi5, so what is
being claimed is that if mi5-1 =0, then the distribution is automatically involutive.
Since 42 k , it follows from (34) that {dh i5.i' I :s; i :s; m i5} annihilate all vector fields in
42' Now, by Lemma (7. 1.59), it follows that
since both terms on the right side of (39) are zero by (34). Now it is shown that the 2m
o
dif-
ferentials {dh 15.;, dLrh i5,i' I :s; i :s; m i5} are linearly independent. To show this, suppose there
444 Differential Geometric Methods Ch.7
exist constants COi, CIi' I i m/i and a point "oE U0 such that

40 dh/i.
i
+ CIi dL,h/i,;]("o) =0.
j:\
Then

41 <dh/i.
i,
+c Ii <dL,h/i.
i
, I
i:O
By(34), all terms multiplying the COi 's are zero. Also, by (39), all coefficients of CIi are zero
if I ()- 2. So we are left with

42 rc Ii <dL,h/i.
i,
adrlgj>("o)=O, forI
i:1
Again by Lemma (7.1.59),
since the first term is zero by (34). Hence (42) reduces to
where M/i is defined in (35). Since it has already been established that M/i has full row rank,
(44) implies thatc Ii = ofor I With this (40) reduces to

45 rcOi dh /i,i("o)= O.
i:l
But since the differentials {dh /i.i' I i m/i} have been chosen so as to be linearly indepen-
dent, it follows that COi = 0 for all i as well. This establishes the desired linear independence.
Now suppose m&-I :;to. Then by Condition (ii), the distribution 42 is involutive. It is
already known from (38) that the codimension of is 2mj)+m&-I' By the Frobenius
theorem, there exist a neighborhood U I of 0 and 2m/i+ m&-1 linearly independent, exact
differential forms which annihilate 42(x) at all XE U I' Without loss ofgenerality, it can be
assumed that U I b U0, which is the neighborhood over which the distribution 41 is invo-
Iutive, Now, of the 2m/i+m&-1 exact differential forms which annihilate 42, we have
already found 2m/i of them, namely the set {dh/i,i' dL,h/i.
i
}. So let us select another m&-I
smooth functions {h&-l.i,1 such that the set {dh/i,i' dL,h/i.
i
, I
U{dh&-I,i' I Si is linearly independent, and each vector in the set annihilates
42(X) at all XE U). Define them&-Ixm matrix Mg. , by
Sec. 7.5 Feedback Linearization: Multi-Input Case 445
and consider the (mli +mli-I )xm matrix
47 [::,]
It is claimed that this matrix has full row rank at all XE U I' To show this, suppose there exist
a point "oE U I and a lx(mli + mli-I) row vector that annihilates the above matrix at "0. In
other words, suppose there exist constants CO;, I i ms-CIi, I i ms-: such that
m&-I
48 LCOi <dh
li. i,
adrgj>("o) + L CIi <dhli-l,i, adr
l
gj >("0) =0, fori
i;1 ;;1
Again by Lemma (7.1.59), it follows that
since the first term is zero by (34). Hence (48) becomes
m6 m&-I
50 <-{LCoidLrhli.i+ LClidhli-l,;},adrlgj>("o)=O,forj=l, "',m.
j;1 j;Q
Let us define the vector
We know that this vector v already annihilates at "0. Now (50) implies that v also
annihilates adr
1
g/"o) for I m. Hence v annihilates ("0). whence it must belong to
the span of the exact differentials that annihilate namely {dh Ii,i("o), I i mli}' But
since the set of differentials {dhli,i'
U{dh li-I,i. 1 i mli-I }is linearly independent, this implies that v must the zero vector and
that all constants COi. CIi must be zero. This shows that the matrix in (47) has full row rank.
This process can be repeated at each stage. When it is finished, we will have functions
Of course. if m, =0 for some i, then the corresponding set of functions will be absent. Now
the total numberoffunctions is
446 Differential Geometric Methods Ch.7
53 OmIi +(o-l)m&-I + ... +2m2 +m I =n -m =n
from (26). The differentials of these functions are linearly independent in some neighbor-
hood of 0, and they all annihilate every vector field To complete the process, it is
necessary to consider two cases, namely ma =0, and ma :;to. In either case we have from
(24) that
s
54 1:m; = ra =m.
i:O
If ma = 0, then the set
55 (L}h
k

i,

contains exactly n functions. [Observe that there is one more Lie derivative of each hk,j in
the set (55) than there is in the set (52).] This is because, if ma = 0, then from (54),
s
56 1:mi=m,
;=)
so from (53) and (56),
57 (0+ l)mli +om&-I + .. , +3m2 +2m) =n.
Also, by arguments that are now (I hope!) familiar, it follows that the differentials of these
functions are linearly independent over some neighborhood U of O. Now suppose ma > 0.
(This cannot happen in the single-input case.) Then there are just n - ma functions in the set
(55). In this case we must choose ma other functions, call them (ha,i, I i ma}, such that
the differentials of the n functions in the set
are linearly independent over some neighborhood of the origin. The selection of these addi-
tional ma functions is not difficult. Even if m a > 0, the differentials of the n - m a functions
in (55) are linearly independent. So one can just choose some constant row vectors
(XI, "', (Xmo to complete a row basis, andjust let ha.;(x) = (XiX. In any case, one now has the
n functions of (58). The linear independence property means that the map taking the vector
X into the n-vector whose components are the n functions in (58) is a local diffeomorphism,
Next, in analogy with (47), form the matrix
Sec. 7.5
59 M=
where
Feedback Linearization: Multi-Input Case 447
The number of rows of this matrix is
s
61 1:mj=m.
i=O
In other words, the matrix M is square. At each stage, it has been ensured that the matrix
continues to have full row rank even as one more block is added at the bottom. So the final
matrix Mis nonsingular for all x in some neighborhood of O.
We are now in the home stretch. Let us first make a couple of observations. 1)
Amongst the integers m., no more than m can be positive; this is clear from (54). 2) Suppose
we define Kj = i + I for those values of i for which m, > 0; then these are precisely the
Kronecker indices. Also, mk > 0 only when k = Kj for some i, so that only the corresponding
functions hk,i appear in the list (58). Now define
62 4>t=ho,t, "',4>m
o
=h
o
.
mo'
Note that, in computing the subscripts of the 4>'s, we have made use of the relationship (24).
There are exactly m of these functions 4>i' For each index i, note that Kj is the number of
times the function 4>j is Lie-differentiated in the list (58). Define a map Zj: U --t R 1(, by
448 Differential Geometric Methods Ch.7
and define a map T:U R" by
z,(x)
64 T(x)=
Then T is a local diffeomorphism, as discussed earlier. If each $i is chosen such that
$i(O) =0, which is easy to achieve since a suitable constant can be added to each h
k
.; , then
T(O) =O. We shall see very shortly that this is the desired state transformation.
What are the differential equations governing these new variables Ti(x)? By definition,
65 :t Z;,1 = <d$;(x), x>
m
= <d$i(X), [f(x) + LUj gj(x)]>
j=l
m
=L c$;+ LUjL
gj$;
j=l
=L C$i=Zi,2'
since <d$;, s.> = 0 for all i, j. Similarly
66
All this should look familiar, because this is the same set of manipulations as in the single-
input case. Now
Sec. 7.5 Feedback Linearization: Multi-Input Case 449
67
At this stage, observe that, by using Lemma (7.1.59) repeatedly, we can write
where the matrix M is defined in (59). Thus, collecting the equations (67) as i varies from 1
to mgives
21,1(,
69
d
dt
=q(x)+Su,
where qj(x) L ~ q,j, sij = (_1)1(,-1M
jj
, and M is the matrix of (59). Let us define
70 v=q(x)+S(x)u.
Then (69) shows that
71
Finally, (66) and (71) show that, in terms of the new variables z and v, the system is in
Brunovsky canonical form.
"Only if' Suppose the feedback linearization problem has a solution, It must be shown
that Conditions (i) and (ii) of the theorem are satisfied.
It is notationally convenient to renumber the m inputs as follows: To begin with, the m
vector fields g" "', gm are linearly independent. Now consider the set spanning ~ I
namely
Suppose mo *O. This implies [see (23)] that exactly mo vector fields among
{[f, gj, "', [f, gm]} are linearly dependent on the rest and on g(, "', gm' Renumber the
inputs so that these linearly dependent vector fields are the last mo vector fields; therefore,
Note that the above linear dependence is preserved when we take higher order Lie brackets
as well. Thus
450 Differential Geometric Methods Ch.7
But if mI *0, this means that there is an additional linear dependence above and beyond
(74). Exactly mI vector fields from the left side of (74) are linearly dependent on the rest,
plus all the vector fields on the right side of (74). Renumber the inputs again such that these
linearly dependent ones are the last ones, namely adfg; for i =m -mo -mI + I, "', m. In
other words,
for i = m - m0 - m I + I, "', m.
Observe the simplification incorporated in (75): In the term adrg
j
, the subscript j only
ranges from I tom - mo; this is made possible by the linear dependence (73).
The process can be repeated for each l from I to O. If m, = 0, no renumbering of inputs
I-I
is needed. Ifm, *0, the inputs from 1to m- I.mj are renumbered such that
jzO
I k-I
76 span I - I.m
s
},
kzO s=O
where the empty sum is taken as zero. Note that (73) and (75) are special cases of (76),
corresponding to the values I = I and l = 2, respectively.
By assumption, the feedback linearization problem has a solution. Accordingly,
choose T, q and S as in (28) and (29). By expanding (31), the Brunovsky canonical form can
be written as follows:
This isjust what (66) and(7l) say. Define them functions 11>" "', I1>m by
78 l1>i(X) =Zi, b i = 1, "', m.
Now the Brunovsky canonical form consists essentially of m decoupled single-input sys-
tems, with the number of states of the i-th systemequaling K;. Hence, proceeding exactly as
in the proof ofTheorem (7.4.16), one can show [ef. (7.4.32)] that
and that [cf. (7.4.33)]
where sij is the ij-th element of the matrix S of (29).
Sec. 7.5 Feedback Linearization: Multi-Input Case 451
By assumption, the m xm matrix S of (29) is nonsingular for all x sufficiently near O.
For each k = 1, ''', 0, define
I)
81 '11k =
s=k
Now it is shown that, for each k = 0, "', 1, the 'I1kX'l1k submatrix of S consisting of the first
'11k rows and the first '11k columns is nonsingular. The significance of this claim is as follows:
Fix k, and consider the 'I1kxmsubmatrix S, of S consisting of the first '11k rows of S. Since S
itself is nonsingular and hence of full row rank, this submatrix S, has rank '11k and thus con-
tains '11k linearly independent columns. The point of the claim is that actually the first '11k
columns of'S, are linearly independent.
To prove the claim, suppose first that k = 0, so that '11k = '111) = m I). Note that 0 + 1 is the
size of the largest block in the Brunovsky canonical form, and that m I) is the number of such
blocks. Thus lCl = lC2 = ... = lC
ms
= 0 + 1. Now consider the m I)xm matrix SI) consisting of
the first mI) rows of'S, Letting i in (80) range over 1, "', m I) gives
82 <d<l>i' =(-lhij, 1<i 1 <m.
But (76) states that, if j > m I), the vector field adFg
j
is a linear combination [with coefficients
from SeX)] of "', adFgms' and some other vector fields adjg, where l < O. Now
using (79) shows that, if j > ml), the function <d<l>i, adfgj > is a linear combination of
s, I' "', Sims' Repeating this argument as i varies over 1, "', m I) shows that the last n - m I)
columns ofSI) are linear combinations ofthe first ml) columns. Since SI)has rank ml), itmust
be that the first m I) columns of'S, are linearly independent.
Next, let k = 0- 1, so that 'I1&-1 = ml) + m &-1. If m&-I = 0, then 'I1&-1 = ml) and no further
argument is needed, so suppose m&-I ;CO. Then lCms+1 = '" = lCms+mli-l =0. In this case, in
addition to (82), we have the relationships [cf. (7.4.29)]
Now consider the (ml) + m&-I )xm submatrix S&-I' In this case (76) shows that if
j > ml) +m&-I> then adt--' gj is a linear combination of adt--' gk for k = 1, "', ml) + m&-J, as
well as of for l < 0-1. Now by (79) and (7.4.23), each of the forms dLr<l>i for
1 i m I) and d<l>i for m I) + 1 i mI) + m &-1 annihilate each vector field whenever
l < 0-1. This, together with (83) and (84), shows that the last m <ms -m&-l columns of
S&-I are linear combinations of the first ml) +m&-I columns. Since the rank of S&-I is
ml) + m&-I> this implies that these first columns of S&-I must be linearly independent. The
same reasoning can be repeated for each k from ()- 1down to 1, thus establishing the claim.
452 Differential Geometric Methods Ch.7
Now it is shown that Condition (i) of the theorem is satisfied. i.e. that dim do = n. This
is the same as showing that the set {ad}gj. 0 $ i $ O. 1$j $ m} contains n linearly indepen-
dent vector fields. For this purpose. suppose there exist constants Cjj' 0 $ i $ O. 1$j $ m,
such that
1j m
8S w(O):= 1: 1:cij (ad}g)(O) = 0,
i ~ j
and define WE V (X) as the summation above. In view of the linear dependencies in (76). it
can beassumed without loss of generality that
i-I
86 cij=Oifj>m-1:ms=1'\j,
s ~
where 1'\i is defined in (81) and 1'\0 is taken as O. Thus (85) can be rewritten as
s 11,
87 W(O) = 1: 1:cij (ad}gj)(O) =0.
i ~ j
First apply the forms d<!>I' ... d<!>m5 to w. Using (79) and (82). this gives
m5
88 0= <d<!>i. w>(O)= 1:sij(O)C1jj. for 1$i$m1j.
j=1
or
89
o
o
= (0)
C1j,1
But the coefficient matrix on the right side of (89) is already known to be nonsingu1ar.
Hence it can be concluded that
90 c1jj=Oforj=l ... .m1j.
As a result. the expression for wcan be simplified to
&-1 111
91 w= 1: 1:cij ad}gj'
i ~ j l
Now apply the m1j forms dL
r
<!>j . j = l . ... m1j. and if m&-I:;tO the m&-I forms
d<!>j. j =m1j + 1. ''', m1j +m&-I toq. This gives the equation
Sec. 7.5 Feedback Linearization: Multi-Input Case 453

S II S l,m6+ mb-1 Cs-i.i

92 = (0)

sm6+ mb-I,1 sm6+ mb-hm6+ mb-1 cll-I,m6+mb-1

Again, since the coefficient matrix in (92) is known to be nonsingular, it follows that
Cll-I,j =0 for all j. The process can be repeated and shows that all cij are zero. This shows
that the set of vector fields (ad}gj' 0$ i $ 0, 1$j $ m l contains n linearly independent vec-
tor fields, and establishes Condition (i) of the theorem.
Finally, it is shown that Condition (ii) of the theorem holds. Since dim = n, (26)
shows that
93 = n -m/).
But (79) shows that the m/) exact differentials (d<pj, 1$ i $ m/) l annihilate Moreover,
these differentials are linearly independent, since they are rows of the Jacobian of the local
diffeomorphism T. By the Frobenius theorem, this implies that is involutive.
Now let us go to 42' There are two cases to consider, namely: mll-I =0, and mll-I *0.
Suppose first that mll-I =0. In this case [cf. (7.4.23)], in addition to (79), we also have
94 l$j$m, l$i$m/).
Since m = 0, it follows from (26) that
95 dim = n - 2m /).
But (79) and (94) show that the 2m/) exact and linearly independent differentials
{d<pj,dLr<pj, l$i$m/)l annihilate 42' Hence 42 is involutive, by the Frobenius
theorem. Now suppose mx., *0. Then (79) and (94) are still true. But now, from (26),
96 =n -2m/) -mll-I'
Since mll-I *0, the Brunovsky canonical form contains mll-I blocks of size oxo; i.e.,
lC
m6
+
1
= ... = IC
m6
+mb-I = 0, So from (79) it follows that
97 <d<Pi, =0, for O's ! $0- 2, 1$j $m, m/) + 1$i $m/) +mll-J'
Thus (79), (94), and (97) demonstrate 2m/) + mll-I exact, linearly independent differentials
which annihilate Hence 42 is involutive by the Frobenius theorem. By repeating the
process, one can conclude that is involutive for all i from 1 to 0 - 1. This shows that Con-
dition (ii) ofthe theorem is also necessary.
454 Differential Geometric Methods Ch.7
Application: RobotwithFlexibleJoints
As an illustration of the feedback linearization of multi-input systems, we study an m-
link robot where each joint is modelled as a torsional spring. The system under study is a
generalization of the single-link system of Section 7.4.
The development below follows Spong (1987). In this paper, it is shown that, subject
to a few simplifying assumptions, the dynamics of the robot can be modelled by the follow-
ingEuler-Lagrange equations:
D(q,) q, +c(ql> ql) + K(q, -q2) =0,
J(q2) q2- K(q, -q2) = D,
where the various symbols are defined as follows:
q, m-vector oflink angles.
q2 m-vector of motor angles.
D mxmmechanical inertia matrix.
J mxmelectrical inertia matrix.
c m-vector of Corio lis, centripetal, and gravity terms.
K mxmdiagonal matrix of spring constants.
D m-vector ofexternally applied torques.
If each component of K approaches infinity, the joint springs become infinitely stiff, i.e.,
rigid. In this case, there is no "play" in the spring, and as a consequence, qI = q2' Hence the
system equations simplify to
[D(q) +J(q)] q +c(q, q) = D,
where q =q, =q2' This is a system of msecond-order equations. But if each spring constant
is finite, then the system is represented by 2msecond-order equations.
By selecting the state variables
the systemequations are of the form ( I) with n =4m,
Sec. 7.5
f=
Feedback Linearization: Multi-Input Case 455
and the following shorthand notation is used:
The feedback linearizability of the above system can be tested using Theorem (32), but
this is quite messy. Instead, we draw inspiration from the scalar case studied in Section 7.4,
and select the new coordinates
The first step is to verify that the above transformation is indeed a diffeomorphism. For
this purpose, observe that
z/ =x/, Zz =xz,
where h denotes some (rather messy) function. In deriving the expression for Z4, we have
used the fact that appears only in the time derivative ofD-' (XI) KX3' Thus the map Ttak-
ing Xinto z is obviously smooth. The map Talso has a smooth inverse given by
X3=Z, +K-
1
[D(Z,)Z3+C(Z"zz),
X4 = K-' D(zl) [Z4 - h(x" Xz, X3)
= K-' D(z,) [Z4 - h(ZI' Zz, Z3),
after substituting for x" XZ, X3 in terms of z" zz, z3' Thus T is actually a global diffeomor-
phism.
In terms of the new coordinates, the system equations become
. . .
Zl =Zz, Zz =Z3, Z3 =Z4,
456 Differential Geometric Methods
= q(x) + S(x) U,
Ch.7
where a is a smooth m-vector-valued function denoting the sum of the first two terms on the
right side of the first equation,
is a smooth m-vector-valued function, and
is everywhere nonsingular. (Note that the usage of the symbol q differs from earlier usage to
denote various angles.) Thus, if the new input vector v is defined in accordance with (29),
then
Z4 =v.
Thus the system equations look like
ZI
0/00
Z\
0
z2 00/0 Z2 0
=
000/
+
0
v,
z3
z3
0000
Z4
/
Z4
where all identity matrices have dimensions mxm. Hence the system is in Brunovsky
canonical form, with 1(; = 4 for all i.
7.6 INPUT-OUTPUT LINEARIZATION
The problem studied in this section is the following: Consider a system with m inputs,
moutputs, and n states, described by
m
1 x=f(x)+ !,Uj g/x),
j;J
2 Yi =hi (x), i =I, ... , m,
where f, g" ... , gm are vector fields on some open subset X k R", and hiE S (X) for all i. It
is desired to apply a state feedback control law of the form
Sec. 7.6 Input-Output Linearization 457
3 v= q(x) +S(x) u,
where q(X)E R" and S(X)E R
nxn
are smooth functions of x, and in addition S(O) is nonsingu-
lar, such that the following is true: There exist integers r, 1for i =1, ... , m, such that, with
the control law (3), the input-output relationship of the system is described by
dr,
4
Yi . 1
--. =Vj, I = , ,m.
dt'
In other words, the feedback law (2) is expected to achieve two things: First, the input-
output relationship is decoupled, in that Yj depends only on V;. Second, in the i-th "channel"
this input-output relationship is that ofan integrator of order rio The scheme can be depicted
as shown in Figure 7.4.
b
+
x
,
1--.....--1 (x) IIIn ! + (x)] =!' 11'--1 .L
z
Fig. 7.4
Input-output linearization is in some sense a much less ambitious goal than input-state
linearization, which is the subject of Sections 7.4 and 7.5. To illustrate the basic idea, con-
sider a single-input, single-output systemdescribed by
5 x=r(x) +u g(x), Y =h (x).
Then
6 Y=V'h x= <dh, r> +u <dh, s>.
Suppose <dh, g>(O);>tO. Then continuity implies that <dh, g>(x);>tO for all x
sufficiently close to O. So if we define
7 q(x) = <dh, r>, s(x)= <dh, a>,
8 v=q(x)+s(x)u,
then (6) reduces to
9 y=v.
Suppose <dh, g>(O) =0. Then the above scheme does not work. But suppose
458 Differential Geometric Methods Ch.7
<dh, g>(x)=O for all x in some neighborhood of O. [This is not always true, even if
<dh, g>(O) =0.] Then (6) becomes
10 Y= <dh, r>=Lrh.
Hence
11 Y=<eu, r>+u <su. s>=L;h +u LgLrh,
where L; is a shorthand for LrLr. Again, if (LgLrh )(0) 0, then we can define
12 q =L;h, S =LgLrh,
and v by (8). Then (11) implies that
13 y =v.
In general, suppose there is a neighborhood Uof 0 and an integer r 2 such that
14 "',r-2,
15 (LgLr-
1

Then we can define
and v by (8). This results in
In such a case the system (5) is said to have relative degree r, This terminology is quite
consistent with the linear case. Consider a single-input, single-output systemof the form
18 i =Ax +bu, y = ex.
Then the relative degree of this system is the smallest integer r such that
19 cAkb=Ofork =0, ... , r-2,
For a linear system of the form (18), we know that the relative degree r is less than or
equal to the system order n. This follows readily from (19). If
20 cAkb =0 for k =0, ... , n - 1,
then the Cayley-Hamilton theorem implies that
Sec. 7.6 Input-Output Linearization 459
25
or in other words, the transfer matrix is identically zero, which contradicts the fact that
cAr-I b::t:- 0. But for nonlinear systems there is no analog of the Cayley-Hamilton theorem.
So one is forced to adopt a different strategy.
22 Lemma Consider the system (5), and suppose there exists an integer r satisfying (14)
- (15). Then r '5. n.
This follows immediately from another result, which is useful in its own right.
23 Lemma Consider the system (5), and suppose (14) - (15) holdfor some integer r.
Then the row vectors {dh, dLrh, "', dL;:-1 h) are linearly independent in some neighbor-
hoodofO.
Proof Choose real constants 0<>, "', <Xr-I such that
r-I
24 I,<XjdL}h(O)=O.
;=0
It is shown that <Xi =for all i. For this purpose, it is claimed that
{
a, ifi+k'5.r-l,
(-I)'L
gL;:-lh,
ifi+k=r-I
The proof of (25) is by induction on i for fixed k. If i = 0, then (25) reduces to (14). Now sup-
pose (25) is true for 0, "', i-I. Note that ad}g= [f, adr-' g]. Hence, by Lemma (7.1.59),
we have
since the first term is zero by the inductive assumption. Now, if i +k '5. r - 1, so of course is
(i - I) +(k + I). Hence, once again by the inductive assumption, it follows that
27
On the other hand, if i +k = r - I, then the inducti ve assumption implies that
To prove that o;=Vi if(24) holds, define
r-I
29 a=I,<XjL}hES(X).
i=O
Suppose (24) is true, i.e., da(O) =0. Then
460 Differential Geometric Methods Ch.7
30 0= <da, g>(O)=(Lga)(O).
However,
r-l
31 Lga == '1:,o.i L g L ~ h = o.r-1LgLf-1 h,
i='l
where the last step follows from (14). Combining (30) and (31) shows that
32 O=o.r_1 (LgLr'h)(O).
Now (15) implies that o.r_1 =0, i.e., that
r-2
33 a = '1:, o; L ~ h
i='l
Next, we have
since da (0) =0 by assumption. Substituting for a from (33) and using (25) leads to
In tum, this combined with (15) shows that o.r-2 =0. The argument can be repeated all the
way down to show that o; == 0 \ii.
Proof of Lemma (22) Since the set of row vectors { d L ~ h 0::;; i ::;; r -I} is linearly
independent, it is obvious that r ::;; n.
In the case of multi-input, multi-output systems, the idea is essentially the same, except
that the relative degree is now a vector and not a scalar. The system (I) - (2) is said to have
the relative degree vector r= [r, rmJ' if(i) there exists a neighborhood Uof0 such that
and (ii) the mxm matrix S defined by
37
is nonsingular at x =O. In this case, if we define the smooth m-vector valued function q by
define the smooth mxm matrix S as in (36), and the new control vector v by (3). then the
resulting input-output relationship is of the form (4).
Sec. 7.6 Input -Output Linearization 461
The next result is the MIMO analog of Lemma (22).
39 Lemma Suppose the system (J) - (2) has the relative degree vector r = [r 1 rm]'.
Then
m
40 Lri
i=1
As in the scalar case, the proof of this lemma is based on another result which is of
independent interest.
41 Lemma Consider the system (J) - (2), and suppose it has the relative degree vector
m
r =[r 1 r
n
]' . Then the r =Lri row vectors
i=1
are linearly independent in some neighborhoodofO.
Proof Select real constants o.ik, 0 k ri - I, 1 i m, such that
m rj-I
43 L L =0.
i=1 k=1
Define
m r;-I
44 a = L L S(X).
i=1 k=1
Then, using (36), it follows that
m m
45 Lgja = Lo.i.r, _I LgjL;' - I hi = Lo.i.r,- 1 sij'
i=1 i=l
where sij is defined in (37). Now (43) shows that
Equivalently,
47 0= [o.l,r,-1 ... o.m,r",- i.l 8(0).
But since 8(0) is nonsingular, this shows that
48 o.i.r,-l =0, fori = I. ",m.
Hence
462 Differential Geometric Methods Ch.7
m r;-2
49 a = L L Uik L ~ h S(X).
i=1 k=1
Now the Lie derivative Ladrgp is computed for each j. The details follow along the same
lines as (47), and lead to
which in tum shows that
51 Uj,ri-
2
=0, fori = 1,'" .m.
The argument can be repeated all the way down to show that Uj,k =0 Vi, k.
Proof of Lemma (39) Since the set of row vectors { d L ~ h., 05 k 5 ri - I, I 5 i 5 m} is
linearly independent, the number of vectors cannot exceed n. It follows that (40) is true.
Thus far the process of input-output linearization has been purely mechanical with
very little geometric insight. The next result shows that input-output decoupling is
achieved, in effect, by making some system states unobservable via state feedback.
52 Theorem Consider the system (1) - (2), and suppose it has the relative degree vector
m
r =[rl ., . rml'. Define r =Lrj. Then there exists a local diffeomorphism T around 0 such
i=1
that, in terms ofthe transformed state vector z = T(x), the system equations assume the fol-
lowingform: Partition ZE R" as
53 z=
where
54 ZiE R
ri
, for 15i 5m, ZjE R
n
-
r
.
Then, with the control law v of(3) with q andSgiven by (38) and (37) respectively, we have
55 Zi,I=Zi,2' "',Zi,ri- 2=Zi,ri- I,Zi,ri=Vi,
15i5m,
Sec. 7.6
m
56 Zu = fu(z) + Lgu/z) Vj'
j=l
57 Yi = Zi. I, 1 i m.
Input-Output Linearization 463
Remarks Let Ai be an r.xr, matrix in companion form, with characteristic polynomial
S'i; let b, be an r :1column vector with a "1" in the last row and zeros elsewhere. Finally, let
c, be a 1xr, row vector with a" 1" in the first column and zeros elsewhere. Then (55) and (57)
can be expressed as
while (56) remains as is. Thus, after applying the feedback control law (3), (37) - (38) and
changing coordinates, the system looks like mdecoupled systems, plus (56). Alternatively,
define
59 Zo = ER',
and let (A
o
' 8
0
) be a Brunovsky canonical form corresponding to the block sizes r I, "', rm
[cf. (7.5.10) et seq.]. Then (55) and (57) can be expressed as
where the definition of C is self-evident. Note that Zu does not affect any of the Zi or Yi' and
is thus "unobservable."
Proof By Lemma (41), the r vectors of (42) are linearly independent. Accordingly,
we can define
as the first r components of a local diffeomorphism T around O. The last n - r components of
T can be chosen arbitrarily, so long as the row vectors dT'+1 (0), "', dTn(O), together with
the r row vectors of (41), form a row basis. Then
m
62 Zi.k+ I =L;+l hi + LUj LgjL;h
i

j=l
If k ri - 2, then from (36) and (55), we have
464
63 Zi,k+1 =Z;.k+2
Differential Geometric Methods Ch.7
Ifk = ri - I, then from (37) and (38), we get
This proves (55). If z, denotes the vector consistingof the last n - rcomponents ofz, then Zu
has no special form, and just looks like (56). Finally, the relation (57) follows from (61) by
setting k =O.
7.7 STABILIZATIONOFLINEARIZABLESYSTEMS
Inthis brief section, the various results presented thus far are combined into procedures
for stabilizing nonlinear systems that are linearizable, either in the input -state sense or in the
input-output sense.
Throughout the section, attention is focused on the familiar system model
m
1 X=C(x) + 1:Ui gi(X),
i=1
2 y=h(x),
where C, giE V (X), and h: X R" is smooth. Notice the assumption that the system is
square, i.e., has the same number of inputs and outputs. Inaddition, it is also assumed that
3 C(O) = 0, h(O)= O.
Hence the state Xo = 0 is an equilibriumof the system in the sense that if the system is started
in this initial state and no input is applied, then the system remains in that state thereafter.
This does not mean, however, that the equilibrium 0 is asymptotically stable in the sense of
Lyapunov (cf. Chapter 5).
The problem studied in this section is the stabilization of the system(I) - (2) via a feed-
back control law of the form
4 v=q(x)+S(x)u,
where q: X R" and S:X R
mxm
are smooth functions, and in addition, q(O)= 0 and S(O)
is nonsingular. Two distinct cases are considered, namely: (i) the system (I) - (2) is input-
state linearizable in the sense of Section 7.5, and (ii) the system (I) - (2) is input-output
linearizable in the sense of Section 7.6.
Accordingly, suppose first that the system (I) - (2) satisfies the conditions of Theorem
(7.5.32). Choose the feedback functions q and S in (4) as well as a local diffeomorphism T
around 0, such that the transformed state vector z = T (x) is related to v by
Sec. 7.7 Stabilization of Linearizable Systems 465
5 z=Az+Bv,
where (A, B) is in Brunovsky canonical form. Next, note from the line below (7.5.69) that
qi = ~ <Pi for some integer Ki and smooth function <Pi, for each i. Since f(O) =0, it follows
that q(O)=O. Also, it can be assumed without loss of generality that T(0) =O. Now the
eigenvalues of the matrix A are all at the origin; hence the system (5) is not asymptotically
stable. However, since the pair (A, B) is controllable, it is possible to choose an mxn matrix
K such that the matrix A- BK is Hurwitz, i.e., such that all eigenvalues of A- BK have
negative real parts. Hence, if we apply the further feedback control
6 v=-Kz,
then z = 0 (or equivalently, x = 0) is an exponentially stable equilibrium of the resulting sys-
tem. The scheme can be depicted as in Figure 7.5. For obvious reasons, the control law (4)
is referred to as the inner-loop control, while (6) is referred to as the outer-loop control.
z
T
x
I _ ~ x= f(x) + 1; Uj8j(X) I--......--i
j
+
o
q
K
Fig. 7.5
7 Example A well-studied application of the above strategy is from the world of robot-
ics. Consider a rigid m-link robot operating in a gravity-free environment. Thus the robot
can be operating in a "horizontal" plane, perpendicular to gravity, or else it can be operating
in outer space. Ineither case, it is known [see Spong and Vidyasagar (1989), Chapters 6 and
7] that the dynamics of such a robot are described by the Euler-Lagrange equations
M(y) Y+h(y, y) = u,
where y is the m-vector oflink angles, and u is the m-vector of the torques applied at the vari-
ous joints. The matrix M, known as the inertia matrix, is symmetric and positive definite
for each y. The vector h incorporates all the Coriolis and centripetal terms. In the absence of
gravity, h satisfies
h(O, 0)=0.
466 Differential Geometric Methods
For the system above, let us choose the natural state vector
x ~ ] .
Ch.7
and choose the inner-loop control
u=M(y)v+h(y, y),
which is clearly of the form (4). Then the resulting closed-loop systemis described by
M(y)y=M(y)v.
Since M is nonsingular (by virtue of being positive definite), both sides of the above equa-
tion can be multiplied by M-
1
, giving
y=v.
Hence the system looks like a set of m double integrators. This shows that all the Kronecker
indices lCl' "', lC
m
are all equal to 2 [ef. (7.5.6)]. Now a standard proportional plus deriva-
tive feedback of the form
chosen as the outer-loop control, stabilizes the system, provided of course that K
p
and K
d
are chosen suitably. Acommon choice is
in which case any k
p
> 0, k
d
> 0 will stabilize the system.
The above strategy is often referred to in the robotics community as the computed
torque method.
Now suppose the system (l) - (2) fails to be input -state linearizable, but does satisfy
the conditions (7.6.36-37). Define S and q in (4) in accordance with (7.6.37) and (7.6.38)
respectively, and assume that S(O) is nonsingular. This means that the system at hand is
input-output linearizable. Let r = [r 1 r ml' denote the relative degree vector of the system.
By Theorem (7.6.52) and the remarks thereafter, it follows that after applying the control
(4), the closed-loop system is described by [ef. (7.6.56) and (7.6.60)]
m
9 Zu=fu(Z)+I:gui(Zo, zu)Vj,
;=1
Sec. 7.7 Stabilization of Linearizable Systems 467
Hence, by applying the outer-loop control law
and choosing K, suitably, one can ensure that the resulting closed-loop system
is exponentially stable. But what happens to the "unobservable" part zu?
12 Definition The system
evolving on R
n
-
r
is called the zero dynamics ofthe system (1) - (2).
The zero dynamics represent the dynamics of the unobservable part Zu when (i) the
input is set equal to zero, and (ii) the output is constrained to be identically zero (which in
turn implies that Zo =0). It is possible to define the zero dynamics directly, without going
through the state feedback control law and the state variable transformation; the interested
reader is referred to Nijmeijer and van der Schaft ( 1990), Chapter 12.
The next two results show that, if the zero dynamics are stable, then the outer-loop con-
trol (II) does indeed stabilize the system.
14 Theorem Suppose z, =0 is an asymptotically stable equilibrium off13), and that the
matrix A
o
- BoK
o
is Hurwitz. Then (zo' zu) = (0,0) is an asymptotically stable equilibrium
ofthe system
m
16 Zu =fu(zo' zu) + Lgu;(zo, zu) Vi'
i=l
Proof The result follows readily from Theorem (5.8.84). First, the system (15) - (17)
has the "triangular" form needed to apply the theorem. Second, if we substitute Zo =0 (and
hence v = 0) in (16), then Zu is given by (13).
18 Theorem Suppose z, =0 is an exponentially stable equilibrium of(15), and that the
matrix A
o
- BoK
o
is Hurwitz. Then (zo, zu) = (0, 0) it; an exponentially stable equilibriumof
the system (15) - (17).
Proof The result follows readily from Theorem (5.8.103) .
468 Differential Geometric Methods
Notes and References
Ch.7
What follows is a very brief description of the evolution of differential-geometric con-
trol theory. Thorough treatments of the theory as well as detailed attributions of individual
contributions can be found in the recent excellent texts by Isidori (1985) and Nijmeijer and
van der Schaft (1990).
While the treatment of the theory in the present text is heavily slanted towards explicit
computation in a given coordinate system, the reader would find it useful to have at least an
introduction to the modem "coordinate-free" approach to differential geometry. The book
by Guillemin and Pollack (1974) is recommended. In addition, the afore-mentioned books
by Isidori and by Nijmeijer and van der Schaft contain a lot of background material. The
treatment of distributions is standard, and the proof of the Frobenius theorem (given in
Appendix C) follows Warner (1971).
To many people, the influential paper by Brockett (1972) provided the first glimpse of
the potential of differential-geometric methods in solving nonlinear control problems. The
reachability problem was treated by Lobry (1970) and Krener (1974). The paper by Krener
contains Theorem (7.3.41). Theorem (7.3.46) regarding reachability around an equilibrium
can be found in Lee and Markus (1967). The idea of observation space was introduced in
the papers by Hermann and Krener (1977) and Isidori et al. (1981).
The feedback linearization problem, of the input-state relationship but without a state-
space transformation, was posed by Brockett (1978). The problem was solved, after the
class of control laws was enlarged to include a state-space transformation, in the single-
input case by Su (1982), and in the multi-input case by Hunt and Su (1981) and Hunt et al.
(1983a, 1983b); see also Isidori and Ruberti (1984). The proof of Theorem (7.5.32) given
here follows Isidori (1989).
The input-output linearization problem can be traced to the work of Singh and Rugh
(1972); the decoupling problem was also solved in Isidori et al. (1981). The importance of
zero dynamics is brought out in Byrnes and Isidori (1984, 1988).
Finally, the theory has been enriched by several examples and applications. While it is
not always possible to assign proper credit for examples, it can be mentioned that the study
in Problem 7.8 is a simplified version of Crouch (1984). The application in Section 7.4 to a
single link with a flexible joint is due to Marino and Spong (1986), while its extension to
multiple flexible joints is due to Spong (1987). In Wang (1989), the theory developed in
Sections 7.5 and 7.6 is applied to the problem of controlling a multi-link robot with a single
flexible link. It is shown that the system is not input-state feedback linearizable, but is
input-output feedback linearizable; see also Wang and Vidyasagar (1991).
A. PREVALENCEOF
DIFFERENTIAL EQUATIONS
WITHUNIQUE SOLUTIONS
In Section 2.4, it has been shown that the differential equation
1 x(t) = f[t, x(t)]
has a unique solution trajectory corresponding to each initial condition
provided the function r satisfies a local Lipschitz condition. On the surface, this condition
would appear to be hopelessly restrictive, since the set of all Lipschitz-continuous functions
is a "meager" subset of the set of all continuous functions. (This term is defined shortly.)
This might lead one to conjecture that the set of functions r for which (I) has a unique solu-
tion trajectory passing through each pair (to, Xo) is itself meager. But in 1932, the Polish
mathematician Witold Orlicz proved that the set of all such ris in fact the complement of a
meager set. This leads to a paradoxical situation: Orlicz' theorem states that "practically
all" differential equations have unique solutions. On the other hand, the only such differen-
tial equations that can be characterized explicitly are "practically nothing" within this set.
This suggests that there is a huge set of differential equations with unique solutions, waiting
for an explicit description.
The purpose of this appendix is to make these ideas precise. In the interests of concise-
ness, it is assumed that the reader knows something about topological spaces and about
Cantor's classical theorem on the meagerness of the set of differentiable functions within
the set of continuous functions. Though the relevant results are summarized below, a reader
who is being exposed to these ideas for the first time is advised first to read the appropriate
background material from a standard text on topology, e.g., Kelley (1955).
First some concepts from topology. Suppose Xis a topological space. This means that
a collection Tof subsets of Xhas been identified with the following properties:
I. Both Xand the empty set 0 belong to T.
2. Arbitrary unions and finite intersections of sets belonging to T once again belong
toT.
The sets belonging to T are said to be open. A set is closed if and only if its complement is
open. From Conditions I and 2 above, it follows that both X and 0 are closed, and finite
unions and arbitrary intersections of closed sets are again closed. Let A X. Then the
469
470 Prevalence ofD.E.'s App.A
- -
closure of A, denoted byA, is the intersection of all closed sets which contain A; clearly A is
itself closed. The interior of A, denoted by A 0, i ~ the union of all open sets o n ~ i n e d in A;
clearly A 0 is itself open. A set A ~ ~ is dense if A == X. It is nowhere dense if (A)O == 0, or
equivalently, if the complement of A is dense. It is fairly easy to show that a finite intersec-
tion of dense sets is itself dense, and that a finite union of nowhere dense sets is itself
nowhere dense. A set A ~ X is meager or of first category if it is a countable union of
nowhere dense sets; it is nonmeager or of second category otherwise, i.e., if it is not
meager. Thus every A ~ is either meager or nonmeager. Contrast this with the fact that a
set may be neither open nor closed. If X is a Banach space and T is the topology derived
from the norm on X, then the well-known Baire category theorem states that the comple-
ment of a meager set is dense.
Now back to differential equations. Let D be a given subset ofR
n
+
1
which is open and
bounded, where n is the order of the differential equations we wish to study. Let C(D)
denote the set of all continuous, bounded functions mapping D into R", If we define
3 IIfIl
D
== sup IIf(t, x)ll,
(t, xjED
then II liD is a norm on C(D), and C(D) is a Banach space with this norm. Let us equip
C(D) with the topology derived from this norm. Now there are two interesting properties of
C(D).
4 Fact Let CI (D) denote the set of functions in C(D) that are everywhere right-
differentiable as well as left-differentiable. Then C )(D) is a meager subset ofC(D).
This fact was discovered by Georg Cantor. A popular way to express it is: Almost all
continuous functions are nondifferentiable.
5 Fact C)(D) is a dense subset ofC(D). In fact, the set C(I)(D) offunctions that are
continuously differentiable everywhere is dense in C(D).
Facts (4) and (5) taken together mean that, even though almost all continuous functions
are nondifferentiable, there are enough differentiable functions in the sense that every con-
tinuous function can be approximated arbitrarily closely by a differentiable function.
Now consider the differential equation (1). The only known sufficient condition to
guarantee that (1) has a unique solution passing through every point is that the function f be
Lipschitz continuous. (See Section 2.4.) Since Lipschitz continuity implies both right- and
left-differentiability, it follows from Fact (4) that the set of all Lipschitz continuous func-
tions is a meager set, or a set of first category. Hence Theorem (2.4.3) is applicable only to a
meager set of functions f. This leads naturally to the question: Is the set of functions f for
which (I) has a unique solution passing through each point (t 0, Xo)ED a meager set?
Theorem (10) below shows that the answer is an emphatic "No." In fact, almost
exactly the opposite is true. The set of functions f for which (1) has a unique solution
through each point (t 0, Xo)ED is the complement of a meager set, and by the Baire category
theorem, is therefore a dense subset of C(D). In order to prove this theorem, a preliminary
App.A Prevalence of Differential Equations 471
result is presented. This preliminary result is not proved, since the proof involves concepts
such as equicontinuity, the discussion of which would take us too far afield.
6 Fact Consider the differential equation (1). and suppose fE C(D). Then. through
each (t 0' Xo)E D, there exists a (not necessarily unique) solution trajectory oft I). In partic-
ular, through each (r0, Xo)E D, there exist an interval (t I , t 2) containing to. a maximal solu-
tion x
max
O. and a minimal solution xmin O. such that (i) both X
max
and xmin satisfy (I ), and
(ii)
whenever xi) satisfies (1). Select numbers a, b > Osuch that
8 (t, x): It-tol <a, IIx-XoII
Then X
max
and Xmin are defined at least over the interval [t0 - a, to + rr], where
9 a=min(a,
Let x
max
(f; t, to, Xo) denote the maximal solution of (l) passing through (to, Xo)
evaluated attime t, and define xmin(f;t, to, xo) analogously.
10 Theorem The set Uofallfunctions ie C(D)forwhich (I) hasa unique solution pass-
ing through each (to, Xo)E D is the complementofa meager set.
Proof Let aD denote the boundary ofD, and for each integer s I, let Ds denote the set
of all points (t, X)ED which are at a distance of at least lis from eo. Then D
s
D, and D
s
is
closed for each s, but
11 D=UD
s
'
I
Let m, p, r, s range over the natural numbers. For each s, r, let J 'tJ, 't2, ... } denote the
rational numbers in the interval (-lIsr, lIsr). Suppose (to, Xo)ED
s
' Then (8) is satisfied
with a = b = lis. Hence, if IIfll
o
then by Fact (6), the maximal and minimal solutions of
(l) - (2) are defined at least over the interval [to- lIsr, to + lIsr l- Now define the set Fmprs
as the set of aBfE C(D) satisfying two conditions: (i)
12
and (ii) there exists a point (t, X)ED, such that
13 x
max
(f; t + 't
m
, t, x) - Xmin (f; t + 't
m
, t, x) lip.
Define
472
14 F= U F
mprs
'
m.p.r,s
Prevalence of D.E.' s App.A
It is claimed that V is the complement of Fin C(D). It is easy to see that V and F are disjoint:
UfE V, then by the uniqueness of solutions,
15 xmax(f;t+'t, t, x)=xmin(f;t+'t, t, x), "It, 't, x.
So (13) can never be satisfied, and so f does not belong to F. To show that every f not in V
belongs to F, we show that if fV, then fE Fmprs for sufficiently large m, p, r, s. Since fV,
there is a point (r, X)E D and a 't > 0 such that
16 X
max
(f; t +r, t, x) > Xmin (f; t + t, t, x).
Since both x
max
and xmin are continuous, (16) holds if t is replaced by a rational number 't
m
to 'to Now (16) implies (13) for sufficiently large p. Since (r, X)E D, it also
belongs to D, for sufficiently large s. Finally, (12) is satisfied for sufficiently large r. Hence
fEF. This shows that V is the complement of F.
Thus F is the set of those fE C(D) for which (I) - (2) does not always have a unique
solution. Since V is the complement of F, the theorem statement is that F is meager. Note
that F is a countable union of the sets Fmprs : The proof of the theorem consists of showing
that each Fmprs is closed and nowhere dense. Assume for a moment that Fmprs is closed (this
is shown next). Since C(I)(D) is dense in C(D), every open ball in C(D) contains an ele-
ment of C(I)(D). Note that C(I)(D) c;;;, V by Corollary (2.4.23). Hence every open ball in
C(D) contains an element of V, and as a result, no open ball can be a subset of Fmprs : In
other words, if Fmprs is closed, it is nowhere dense.
Thus the proof is completed by showing that Fmprs is closed for each m, p, r, s. To
show this, suppose {f
i}
is a sequence in F
mp rs
converging tolE C(D); it is desired to show
that fEFmprs- Since fiEFmprso for each i there exists a (r., Xi)E D, such that
Since D, is compact, the sequence {(ti, Xi)} contains a subsequence. Renumber
this subsequence once again as {(ti' Xi)}, and let (to, Xo)ED
s
denote its limit. Now X
max
satisfies the following integral equation which is equivalent to (I) - (2):
t
18 X
max
(fj ; t, + 't, t.. Xi) = Xi +Jf;[t
i
+ A., X
max
(f
i;
t, + A., t., x.)] dA.
o
Xmin satisfies an analogous equation. Now, for each fixed 'tE(-lIsr, lIsr), the sequence
{x
max
(f
i;
t, +t, t., Xi)} is bounded, and therefore contains a convergent subsequence.
Renumber this subsequence again with the same index i, and define
App.A Prevalence of Differential Equations 473
19 y(to+'t)= lim Xmax(fi;tj+'t,tj,Xj).
i --. 00
Taking limits in ( 18) shows that
t
20 y(to + t) = Xo + Jf[to + A, y(to + A)]dA..
o
In other words, y(.) is a solution of( I) - (2). Similarly, define
21 z(to +'t) = lim xmin(fj; t, +'t, t., Xi),
;--'00
after finding a convergent subsequence if necessary. Then z(') is also a solution of (I) - (2).
Moreover, taking limits in (17) shows that
Since y(') and z() are both solutions of (I) - (2), it follows from (7) that
Combining (22) and (23) gives
Hence (13) is satisfied with (t, x) = (to, Xo). This shows that fe Fmprs : Thus Fmprs is closed.

Finally, note that throughout Chapter 5, it is assumed that the differential equation
under study has a unique solution corresponding to each initial condition. Theorem (10)
shows that this is quite a reasonable assumption, since it is "almost always" satisfied.
B. PROOFOFTHEKALMAN-
YACUBOVITCHLEMMA
The objective of this appendix is to provide a proof of the Kalman-Yacubovitch lemma
[Theorem (5.6.13)] in full generality.
1 Theorem Consider the system
2 x(t) =Ax(t) + Bu(t),
y(t) = Cx(t) + Du(t),
where X(t)E R", andy(t), U(t)ER" with m < n. Suppose (i) the matrix A is Hurwitz; (ii) the
pair (A, B) is controllable; and (ii) the pair(C. A) is observable. Define
3 H(s)=C(s!-A)-'B +D.
Then thefollowing two statements are equivalent:
(A) There exist matrices PER"?'. QER"?', and WE R"?", such that
4 A'P+PA=-Q'Q.
5 B'P+ W'Q=C,
6 W'W=D+D'.
and in addition, the following conditions are satisfied: (i) P is symmetric and positive
definite; (ii) the pair(Q. A) is observable; and (iii) ifwe define
7 T(s)=Q(s!-A)-IB+W.
then
8 rankT(jro)=m, '<Iro.
(B) The transfer matrix H() satisfies
9 H(jro) + H*(jro) >0, '<Iro,
where * denotes the conjugate transpose, and" >0" means that the matrix is positive
definite.
474
App.B Kalman-Yacubovitch Lemma 475
Remarks Actually, the theorem is almost always used in the direction "B implies A."
The statement"A implies B" is more of academic interest, to show that the hypotheses in (B)
are in some sense the minimumrequired.
The proof of the theorem requires a couple of standard results from linear system
theory. Recall that a quadruplet (A, B, C, D) is said to be a realization of a proper rational
matrix H(') if (3) holds; the realization is said to be minimal if, in addition, the pair (A, B) is
controllable and the pair (C, A) is observable.
10 Lemma Suppose (A, B, C, D) and (A, B, C, D) are both minimal realizations of a
proper rational matrix H(). Then there exists a nonsingular matrix ME R
nxn
such that
11 A=M-1AM, B=M-1n, C=CM.
For a proof, see Kailath (1980), p. 364.
12 Lemma Suppose V(-) is a proper rational matrix ofdimensions mxm, satisfying two
additional conditions:
13 V(s)=V'(-s), and
14 V(joo) > 0 '100.
Then there exists a proper stable rational matrix T(-) ofdimensions mxmsuch that
15 V(s)=T'(-s)T(s),
and in addition,
16 rank T(joo) = m, '100.
For a proof, see Anderson and Moore (1979), p. 240.
ProofofTheorem (1) "(B) => (A)" Define
17 V(s) =H(s) +H'(-s).
Then VO satisfies (13). Moreover, since HO satisfies (9), it follows that VO satisfies (14).
Thus, by Lemma (12), there exists a proper stable rational matrix T(') such that (15) and (16)
hold. Let(F, G, K, L) be a minimal realization ofT(). Thus
18 T(s)=K(s[-FrIG+L,
and in addition, the pairs (F, G) and (K, L) are respectively controllable and observable.
Now
476 Kalman- Yacubovitch Lemma App.B
19 T' (-s)T(s) = [L' -G'(sf + F')-l K'] [L+ K(sf - F)-lG]
=L'L-G'(sf +F')-l K'L+L'K(sf -F)-IG
- G' (sf + F')-l K'K(sf - F)-I G.
The last term can be simplified further. Since the pair (K, F) is observable, there exists a
symmetric nxn matrix R > 0 such that
20 F'R+RF=-K'K.
Nowobserve that
21 - K'K=F'R+RF = (sf +F')R- R(sf - F).
Substitutingfrom (21) into (19) shows that the last term equals
22 G'(sf +F'r
l
[(sf +F')R-R(sf -F)] (sf -F)-IG
=G'R(sf -Fr'G-G'(sf + F')-I RG.
Substituting from (22) into (19) gives
23 T' (-s) T(s) =L'L+(G'R+L'K) (sf - F)-l G- G' (sf + F')-I (RG +K'L).
By (I5), we have
24 T'(-s)T(s)=H(s)+H'(-s)
=D+D' +C(sf -A)-IB-B'(sf +A')-IC.
Since A and F are both Hurwitz matrices, it is possible to equate the stable and the com-
pletely unstable parts in Equations (23) and (24). This gives
By the minimality of the two realizations and Lemma (10), it follows that there exists a non-
singular matrix MER
nxn
such that
Define
27 P=M'RM, W=L, Q=KM.
It is claimed that (4) to (6) are satisfied. To prove (4), pre-multiply both sides of (20) by M'
and post-multiply by M. This gives, after a little manipulation,
App.B Kalman-Yacubovitch Lemma 477
28 M'F' (M-
I
)'M'RM+M'RMM-
I
FM=- M'K'KM,
which is (4). Next, from (26) we get
29 C=(G'R+L'K)M=B'M'RM+L'KM=B'P+W'Q,
which is (5). Finally, equating the constant terms in (23) and (24) shows that
30 L'L=D+D',
which is (6) since W=L.
"(A) ::;. (B)" The idea is to show that if(4) to (6) hold and TOis defined by (7), then
31 H(s) +H'(-s) =T'(-s) T(s).
If (31) is true, then (8) implies (9). Thus the proof is complete once (31) is established.
From(3), we have
32 H(s) +H'(-s) =D+D' +C(sl -A)-IB-B'(sl +A')-Ic'
=W'W+(B'P+W'Q)(sl -A)-IB-B'(sl +A'r
l
(PB+Q'W),
after using (5) and (6). On the other hand, from (7),
33 T'(-s)T(s) =W'W+W'Q(sl - A)-IB-B'(sl +A'r'Q'W-B'(sl +A'rIQQ'(sl -A)-'B.
Comparing (32) and (33) shows that (31) is proved if it can beestablished that
For this purpose, rewrite the right side of (34) as
35 B'(sl +A')-I [(sl +A')P-P(sl -A)] (sl -A)-IB
=B'(sl +A')-I (A'P+PA)(sl -A)-lB.
Finally, (4) implies (34) .
36 Corollary Let A, B, C, D, H(') be as in Theorem (I). Suppose
37 inf Amin[H(jro)+H*(jro) > O.
0lE1R
Under these conditions, there exist a symmetric positive definite matrix PE R
nxn
, matrices
Qe R
mxn
, We R", and an e > 0 such that
478
38 A'P+PA=-eP-Q'Q,
39 B'P+ W'Q=C,
40 W'W=D+D'.
Kalman- Yacubovitch Lemma App.B
41
Remarks The hypothesis (37) is stronger than (9). For example, the function
I
h(s)=--
s + I
satisfies (9) but not (37). Correspondingly, the conclusion of Corollary (36) is also stronger,
as can be seen by comparing (38) and (4). The right side of(38) is positive definite, whereas
the right side of (4) is only positive semidefinite, since m < n. Also, whereas Theorem (I)
provides a necessary as well as sufficient condition, the converse of Corollary (36) is false in
general.
Proof Define
42 f(cr)= inf Amin[H(cr+ jro)+H*(cr+ jro).
lJlElR
Since Ais a Hurwitz matrix, f( o) is well-defined for all o 0, and all sufficiently small o < O.
Moreover f() is continuous, and (37) states that f (0) > O. Hence for all sufficiently small
>0, we have
43 inf Amin[H(-f12 +jro)H*(-f12 + jro)] > O.
lJlElR
Define
44 H
E(s)=H(s-fI2),
and note that the quadruple {A+(fI2)/, B, C, D} is a minimal realization of HE' Moreover,
e> 0 can be chosen sufficiently small that A+ (fI2)/ is also a Hurwitz matrix. Now apply
Theorem (1) to the transfer matrix H
E
( ' ) , replacing A by A+(f/l.)/throughout. Then (5) and
(6) remain unaffected since they do not involve A, and lead to (39) and (40) respectively.
Equation (4) is replaced by
45 [A+(fI2)/]' P+ P [A+ (fI2)I) =-Q'Q,
or equivalently,
46 A'P+PA=-P-Q'Q,
which is (38).
c. PROOF OF THEFROBENIUS
THEOREM
In this appendix, a proof is given of the Frobenius theorem, which is restated here for con-
venience. All symbols are as in Chapter 7.
1 Theorem Suppose X is an open connected subset ofR
n
containing 0, and suppose
f
1
, , fmE V(X), where m < n, are linearly independent at all XE X. Suppose there exist
smoothfunctions a;jkES(X), 1 i, i. k m, such that
m
2 [fi' fj](x)= r.aijk(X)fk(X), 'VXEX.
k=1
Then,foreach "oEX, there exist an open connected neighborhood U of "0 and smooth
functions <Pm+I' ... , <PnE S(X) such that d<Pm+1 (x), ... , d<Pn(x) are linearly independent for
each XE X, and
3 <d<p;, fj>(X)=O'VXE U, for} = 1, ... , m;i =m+l, ... , n.
The proof makes use of the following lemma, which is of independent interest.
4 Lemma Suppose fE VeX), "oEX, and f("o) it'0. Then there exist a neighborhood
U XofXu and a diffeomorphism T: U4Xsuch that
5 fT(y)=[IO 0]', 'VyET(U).
Remarks The lemma states that it is always possible to make a local change of coordi-
nates such that anyone given nonvanishing vector field looks like [1 00]' in the new
coordinates. See (7.1.8) for the definition ofthe transformed vector field fT.
Proof of the Lemma For notational convenience only, suppose "0 = 0; the case where
"0 it'0 requires only more elaborate notation, and the required changes are easy to make.
Let Sr.t denote the integral curve of the vector field f, as defined in (7.1.6) et seq. Thus
Sr.t(xo) denotes the solution of the differential equation
6 x(t)=f[x(t)),x(O)=xo
evaluated at time t.
479
480 Frobenius Theorem App.C
Select a nonsingular nxn matrix M such that its first column equals C(O); this is possible
sinceC(O)i:O. Given xe X, define xe R'"" by
Next, given a vector xe X, define the n-vector q(x) by
Equation (8) says the following: Given xe X, form the vector [0 x']' e R
n
-
l
. Evaluate the
I
integral curve of the vector field C, passing through the n-vector M[O x]' and at "time" x I .
Call the resulting vector q(x). It is easy to see that q(x) is well-defined whenever II x II is
sufficiently small, since M[O x']' eX, and (6) has a unique solution up to "time" x I' More-
over, q(x)e X.
Next, it is shown that q is a local diffeomorphism at 0. Towards this end, let us compute
the Jacobian matrix of qat 0. For this purpose, two observations are made:
9
10
[
;t Sr,I(X)] =C(O),
(I, x) =(0. 0)
[
a ]
-aSrI(x) =/.
x' (I.X)=(O.O)
The relationship (9) follows readily from the fact that Sr.1 satisfies the integral curve relation-
ship
11
a
-:\SrI(X) =f[Sr r<x), Sro(x)=x.
ot ' , ,
To establish (10), note that
12 [;x Sr,I(X)] = [ ;x Sr,O(X)] =I.
(t, x) = (0, 0) x = 0
Now it is possible to evaluate the Jacobian of the map q. First, by (9).
13
[
a
q
] =C(MO)= C(O),
aXI
x=o
Next, combining (10) with the chain rule gives
App.C Frobenius Theorem 481
where M
2
is the nxin -1) matrix consisting ofthe last (n -1) columns ofM. Thus
15
[
a
q]
= [a
q
a
q]
= [f(O) M
2
] = M,
ax aXl ax
x=o x=o
which is nonsingular by construction. Hence it is established that q is a local diffeomor-
phism at O. This means that, given any yEXsufficiently close to O. there exists a unique vee-
torzE R
n
-
I
and a "time" 't such that
16 y=sr,t(M[O in.
Next, define T = q-l ; then T(O)= 0, and T is also a local diffeomorphism at O. Now
define gE V (X) to be the transformed vector field f
T
, i.e., the vector field ftransformed by the
coordinate change T. There is an easy way to compute g. From (7.1.10), the integral curves
of the vector fields g and f satisfy the relationship
17 S =T... T-
1

g,1 "'l,1
Suppose XE Xis sufficiently close to O. Then
18
19
r1(x)=q(x)=Sr,x,(M[O x/n.
~ r r l (x)] = Sr,rSr..r , (M[O x' rn = Sr,I+X, (M[O
I
Xn=y. say.
Now T(y) =q-I (y) consists of the unique "time" 't and vector ZER
n
-
I
such that (16) holds.
Comparing (19) and (16) shows that
20
[
X 1 +t]
T(y)= x '
In other words,
21
[
X 1+ t]
Sg,l(x) = x .
Now simple differentiation shows that
22 g(x)=[lO"O]'.
Hence Tis the required diffeomorphism.
482 Frobenius Theorem App.C
Proof of the Theorem The proof is by induction on the integer m. If m = 1, then there
is a solitary vector field f, and "linear independence" means that f(X);tOV'XEX. Now
Lemma (4) shows that there exists a diffeomorphism T such that (5) holds. Thus one can
choose the functions
23 '!li(X) =Ti(x), i =2, "', n.
In the transformed coordinates Y= T(x), we have
24 f
T
(y) = [ 1 0 " ' 0]' V'y,
2S '!liT(Y) =Yi' i =2, "', n.
It is clear that (3) holds. Hence the theorem is true if m = 1.
Now suppose by way of induction that the theorem is true up to m-I vector fields.
Once again, for notational simplicity only, suppose Xo =0. Given the m vector fields
f
l
, "', f
m
satisfying the hypotheses, as a first step select a local diffeomorphism T such that
fiT has the form
26 f1T(y)=[1 0 Or. Vy,
where" Vy" really means "for all Ysufficiently close to 0." For simplicity, define
27 gi(Y) = fiT(y), i = I, "', m,
and note that
28 gt(y)=[1 0"'0]', Vy.
Since Lie brackets are preserved under coordinate transformations [see (7.1.58)], it follows
that the set of vector fields {g" "', gm} is also involutive. Thus there exist smooth func-
tions S(X) such that
m
29 [gi' gj](Y) = Vy.
k=l
Next, define the vector fields
30 hi(y) = gi(Y) - gil (y) gl (y), for i = 2, "', m,
where gil (y) is the first component of gi(Y)' Then hi t (y) = 0 for all y. Since the set
{gb "', gm} is linearly independent, an easy calculation shows that so is the set
{gl. h
2
, "', h
m
}. Now let hi(y) denote the vector consisting of the last (n -I) components
of the vector hi(y), for i =2, "', m. Since hi I (y) =0 for all i, the linear independence of the
set {h
2
, "', h
m
} implies the linear independence ofthe set {h
b
"', h
m
} (over R
n
-
1
) .
App.C Frobenius Theorem 483
- -
The next step is to show that the set {hz, "', h
m}
is involutive over some neighbor-
hood of (in R
n- 1
) . For this purpose, observe first that, since hz, "', h., are just "linear"
combinations of g" "', gm' it follows from (29) that there exist smooth functions
aijkE S(X) such that
m
31 [hi' hj](y) =aij' (Y) g, (Y) + Lajjk(Y) hk(y), Vy.
k=Z
Since h, I (Y) == 0 for all i, a simple calculation shows that the first component of [hj, h, ](Y)is
also identically zero, for all i, j. Now g, (Y) has the form (28), while h
k
I(Y) = 0 for all k.
Hence it follows that e., I (Y) == 0, i.e.,
m
32 [hj, hj](y) = Laijk(Y) hk(y), Vy.
k=Z
Now look at the "slice" of Xdefined byYI = 0, and denote it by X. This is an open connected
subset ofR
n- 1
,and it contains On_I> the origin in R
n- I
Define
33 Y=[YZ"'Yn]'ER
n- l
,
and substituteYI = 0 in (32). Define
as an element of S(X). {Note that the symbol (0, Y) is used instead of the more correct
[0 y']' in the interests of simplicity.} Observe (after easy computation) that the last
(n -I) rows of [hi' h
j],
evaluated at Y = (0, y), equal [hj, h
j
](0, Y). Thus (32) leads one to
concludethat
m _
35 [hi' hj](O, y) = LQjjk(Y) hk(O, y), VY.
k=Z
- -
Equation (35) shows that the set {hz, v:>, h
m}
is involutive over some neighborhood
of On_I' Hence, by the inductive hypothesis, there exist smooth functions l!>m+' (y), "',
S(X) and a neighborhood N of On_I such that (y), "', are
linearly independent at each yEN, and
36
dMy) - _ -
--hj(O,y)=o, VyEN,forj=2, ''',m;i=m+l, ",n.
dY
Now define functions l!>m+l' "', l!>n ES(X) by
37 l!>j(Y) =l!>j(y), for i = m+I, "', n.
In other words, l!>j(Y) is actually independentofy I' DefineN
484
38 N = {yEX: YEN}.
It is claimed that
Frobenius Theorem App.C
39 <dcl>i,gj>(y)=OV'yEN,forj=l, "',m;i=m+l, ,n.
To prove (39), it is enough to establish that
40 <dcl>i,gt>(y)=OV'yEN, fori=m+l, "',n,
<dcl>i,hj>(y)=OV'yEN, forj=2, "',m;i=m+l, ,n.
The equivalence of(39) and (40) is a ready consequence of the fact that, for each fixed y, the
sets of vectors (gl (y), "', gm(y)} and (gt (y), h
2(y),
"', hm(y)} span exactly the same
subspace ofR
n

Thus the theorem is proved once (40) is established. The first equation in (40) is
immediate. Since MY) is independent of Yt, dcl>i(y) has the form
41 dMy) = [0 dcl>/ay],
while gJ(y) has the form (28). So the inner product of these vectors is zero. To prove the
second equation in (40), recall from Lemma (7.1.59) that
where we use the fact that L
gj
cl>i = <dcl>i, gJ > =0. However, by involutivity, there exist
smooth functions bijkE S(X) such that
m
43 [gt> h
j
] = b
j
I gj + Lb
jk
h
b
k=2
where the dependence on y is suppressed in the interests of clarity. Substituting from (43)
into (42), using the distributivity ofthe Lie derivative, and using the fact that L
gj
cl>i =0, gives
m
44 LgjLhjcl>i=L[gj,hjlcl>i = LbjkLh.cl>i'
k=2
Define
Observe that, since gt has the form (28),
App.C Frobenius Theorem 485
46
Thus (44) becomes
Now fix the index i and the vector YeX. Then (47) represents a linear vector differential
equation in the (n -I )-dimensional unknown vector ["'i2'" "'iml'. and with Y I as the
independent variable. The "initial condition" is provided by evaluating "'ij(Y I. y) at Y I =O.
But. from (36) and (41). it follows that
48
Since the vector differential equation (47) is homogeneous (i.e.there is no forcing function)
and has zero initial condition. it follows that
49 "'u(Y l' y) =0, V(y I , Y)eN, Vi. j.
This completes the proof.
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A
INDEX
c
A,293
unit of, 310
field offractions, 321, 329
A
e
, 298
A
o
, 319
1--, 320
1-, 297
1-0' 320
A_, 320
(A, B)-invariance, 401
ad, 391
Absolute stability
input-output, 358
state-space, 221
Aizennan's conjecture
in state-space setting, 222
in input-output setting, 357
Attractivity, 140
uniform, 140
Averaging method, 76
B
A
B,320
partial fraction expansion in, 324
Banach space, 13
Bellman's inequality, 292
Bendixson's theorem, 69
Bezout identity, 326
Brunovsky canonical form
of linear systems, 439
of nonlinear systems, 440
Canonical decomposition
of linear systems, 424
of nonlinear systems, 426
Cauchy sequence, 12
Causality, 275
Center, 61
Chetaev's theorem, 188
Christoffel symbols, 184
Circle criterion
input-output, 344
necessity of, 361
state-space, 227
Closed set, 469
Closure, 470
Comparison principle, 256
Computed torque method, 466
Continuity, 13
uniform, 14
Continuous dependence, 43
Continuous function, 13
Contraction
global, 28
local, 30, 32
Contraction mapping theorem
global, 28
local, 30,32
Controllability
linear systems, 220
nonlinear systems (see reachability)
Convergence, 11
Converse theorem
applications, 246
exponential stability, 244, 245
global exponential stability, 246
493
494
uniform asymptotic stability, 239
Convolution, 293
Coprime factorization, 327
existence of, 328
left-, 330
right-, 330
Coprimeness, 326
condition for, 327,330
left-, 329
right-, 329
Critical disk, 123,226,343
D
Describing function, 95
bounds on, 96
independence of frequency, 95
of hysteresis, 100
of odd nonlinearity, 96
Detector, 251
weak, 252
Diffeomorphism, 377
smooth, 377
Distribution, 395
completely integrable, 396
invariant, 401
involutive, 396
regular point of, 395
Domain, 68
connected, 70
simply connected, 68
Domain of attraction, 154
properties of, 154
E
Equilibrium, 3,55, 136
Existence and uniqueness of solutions
local, 34, 37
global, 38
Exponential stability
converse theorems, 244, 245
Index
definition, 142
theorems, 171,246,290
Extended Lp-spaces, 274
F
Fast
dynamics, 133
state variable, 133
Feedback linearization
input-output, 456
of multi-input systems, 442
of single input systems, 430
Feedback stability
definition, 282
ofLTI systems, 309,326
relation to Lyapunov stability, 286,289,290
Finite escape time, 5, 38
Finite gain, 277
First category, 470
Fixed point, 28
Focus, 61
Form, 378
exact, 382
Fractional representation, 327
Frobenius theorem, 396, 397
proof of, 479
Function
class K, 144
class L, 144
continuous, 13
decrescent, 147
locally negative definite, 148
locally positive definite, 147
negative definite, 148
positive definite, 148
radially unbounded, 148
uniformly continuous, 14
G
Global exponential stability
converse theorem, 246
definition, 143
theorems, 173
Global uniform asymptotic stability
converse theorem, 246
definition, 143
theorems, 173, 179,290
Graphical stability test
for LTl systems, 316,335
Gronwall's inequality, 236
H
Holder's inequality, 273
Harmonic balance, 81, 94, 105
Hierarchical systems, 258
stability of, 259
Hilbert space, 16
I
Index, 73
Inertia matrix, 183, 465
Inner product space, 15
Input-output stability, 277,282
Instability (Lyapunov)
definition, 137
theorems, 186,187,188
Integral curve, 379
Integral manifold, 396
Interior, 470
Invariant set, 151
Inverse function theorem, 377
Involutivity, 396
Isolated subsystem, 259
J
Jacobi identity, 390
Jacobian matrix, 377
Index 495
K
Kalman's conjecture, 222
Kalman-Yacubovitch lemma, 223
proof of, 474
Krasovskii-LaSalle theorem, 178, 179
Kronecker indices
of linear systems, 438
of nonlinear systems, 440
Krylov-Boguliubov method, 76
L
L
p
, 272
extension of, 274
Lp-gain, 277
with zero bias, 277
Lpnorm, 272
Lp-stability
definition, 277,282
ofLTI systems, 298,301
of LTV systems, 306
small signal, 285
L I -stability
ofLTI systems, 298,301
of LTV systems, 304
t., gain ofLTI systems, 300
~ 272
~ -stability
ofLTI systems, 298,301
of LTV systems, 302
LaSalle's theorem, 178,179
Lebesgue spaces (see L
p
)
Leray-Schauder theorem, 116
Level set, 167
Lie bracket
anti-symmetry of, 390
bilinearity of, 390
definition, 382
interpretation, 382, 383, 385
Lie derivative
of a form, 389
of a smooth function, 381
496
of a vector field, 382
Limit cycle, 68
Limit point, 71, 152
Limit set, 71, 152
Linear convergence, 28
Linear systems
asymptotic stability, 195
autonomous, 196
discrete-time, 267
exponential stability, 195,196
Lp-stability, 298,301,306
L I -stability, 298, 301, 304
298,301,302
periodic, 206
singularly perturbed, 128
stability, 194,196
uniformasymptotic stability, 196
Linear vector space, 6
finite-dimensional, 11
Linearization, 210,211
Linearization method, 209
Lipschitz constant, 34
Lipschitz continuity, 34
conditions for, 46
Loop transformation, 110, 224, 234, 341
Lur'e problem, 219
Lyapunov function, 160
candidate, 161
Popov type, 232
quadratic, 199,202
Lyapunov matrix equation, 197
discrete-time, 267
"optimal," 214
M
Massera's lemma, 236
Matrix
Hurwitz, 131,199
hyperbolic, 131
Matrix measure, 22
conditions for stability, 204
solution estimates, 47, 52
Index
Maximal solution, 471
McMillan degree, 336
Meager set, 470
Minimal solution, 471
Minkowski's inequality, 273
Multiplier, 231
N
Node, 58
Norm, 9
Euclidean, 11
induced, 20
I
p
, 10
I), 10
1
2
, JJ
9
submultiplicative, 21
Normed linear space, 9
Complete, 13
Nowhere dense set, 470
Nyquist criterion, 316,335
o
Observability
linear systems, 220
nonlinear systems, 414,418
Observer-controller stabilization
linear systems, 251
nonlinear systems, 253
Open set, 469
p
Paley-Wiener theorem, 309
Passivity, 352
strict, 352
Passivity theorem
input-output, 350,352,353
state-space, 2223
Index
Pendulumequation, 76,86,138,161
Periodic solutions, 68
using describing functions, 104, 109
Phase-locked loop, 181
Phase-plane, 53
Picard's iterations, 42
Picard's method, 42
Poincare-Bendixson theorem, 71
Popov criterion
input-output, 354
state-space, 231,233
Popov plot, 234, 356
Positively oriented curve, 73
Predator-prey equation, 74, 76
Q
Quasi-linearization method, 88
R
Rayleigh's equation, 86
Reachability, 286,400
conditions for, 409
Realization, 220
minimal, 220
Regular point, 395
Relation, 277
Relative degree, 458
vector, 461
Return difference, 311
Robot
rigid, 183,465
with flexible joints, 435,454
s
incremental, 110,222
Set
connected, 70, 154
invariant, 151
limit, 71,152
negative limit, 152
positive limit, 152
simply connected, 68
Singularly perturbed systems
linear, 128
nonlinear, 218
Slow
dynamics, 133
state variable, 133
Slowly varying systems, 248
Small gain theorem, 337, 340
Solution estimates
linear equations, 47
nonlinear equations, 52
Solutions
continuous dependence, 43
global, 38
local, 34, 37
maximal, 37,471
minimal, 471
prevalence of, 469
Spinning body
stability of, 161,189,216
control of, 426
Stability (Lyapunov)
definition, 136
theorem, 158
Stabilizability, 251, 263
State-plane, 53
Submanifold, 382
Subspace, 9
System
autonomous, 3
forced, 3
497
Saddle, 58
Schwarz'inequality, 13
Second category, 470
Sector, 96,221,339,360
T
Tangent space, 393
498
Topological space, 469
Triangle inequality, 7
Triangular form
for unobservable systems, 422
for unreachable systems, 403
Truncation, 274
u
Uniform asymptotic stability
converse theorem, 239
definition, 141
theorems, 165,.178
Uniform stability
definition, 136
theorem, 159
v
Van der Pol's equation, 64,82,140,216
Vector field, 55,378
direction of, 55
equilibriumof, 55
radial, 68
transformation of, 379
Velocity vector field (see vector field)
w
Well-posedness, 284,331
z
Zero bias, 277
Zero dynamics, 467
Index