1 Solution to Linear Time-Invariant Systems

1.1 Scalar equation

Homogeneous equation
dx
= ax, x(0) = x0
dt
Separation of variables
1
dx = a dt
x
Integrating both sides
¯x(t) Z x(t) Z t
¯t
¯ 1 ¯
ln x¯¯ = dx = adτ = aτ ¯¯
x(0) x(0) x 0 0

Solution
x(t)
ln x(t) − ln x(0) = ln = at ⇒ x(t) = eat x(0) = eat x0
x(0)

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1.2 Scalar system
LTI scalar system

ẋ(t) = ax(t) + bu(t), (1)

y(t) = cx(t) + du(t).

Useful properties
d at d £ −at ¤
e = aeat , e x(t) = e−at ẋ(t) − ae−at x(t).
dt dt
Multiply (1) by e−at on both sides
d £ −at ¤
e−at ẋ(t) − ae−at x(t) = e−at bu(t) ⇒ e x(t) = e−at bu(t)
dt
Integrate on both sides
¯t Z t Z t
−at
¯ d £ −aτ ¤
e x(t)¯¯ = e x(τ ) dτ = e−aτ bu(τ )dτ
0 0 dτ 0

Solution
Z t
−at
e x(t) − x(0) = e−aτ bu(τ )dτ
0
Z t
⇒ at
x(t) = e x(0) + ea(t−τ ) bu(τ )dτ
0

Substitute into the output equation

Z t
at
y(t) = ce x(0) + cea(t−τ ) bu(τ )dτ + du(t)
0

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1.3 The matrix exponential
Taylor series (convergent for all x finite!)
∞
X 1 i 1 1
e =x
x = 1 + x + x2 + · · · + xn + · · ·
i=0
i! 2! n!
Generalization for matrices ∞
X
X 1 i
e = X.
i=0
i!
Properties:
1) e0 = I,
2) eA+B = eA eB , when AB = BA,
3) [eX ]−1 = e−X .

Proof:
1) By definition.
2) Use the definition to compute
µ ¶µ ¶
A B 1 2 1 3 1 2 1 3
e e = I + A + A + A + ··· I + B + B + B + ···
2! 3! 2! 3!
1¡ 2 ¢
= I + (A + B) + A + 2AB + B 2
2!
1¡ 3 ¢
+ A + 3A2 B + 3AB 2 + B 3 + · · ·
3!
and compare with
1 1
eA+B = I + (A + B) + (A + B)2 + (A + B)3 + · · ·
2! 3!
1¡ 2 ¢
= I + (A + B) + A + AB + BA + B 2
2!
1¡ 3 ¢
+ A + BA2 + ABA + B 2 A + A2 B + BAB + AB 2 + B 3 + · · ·
3!
3) X commutes with X. Then from 1) and 2)
I = eX−X = eX e−X ⇒ [eX ]−1 = e−X .

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1.4 Time dependent matrix exponential
We are interested in ∞
At
X 1 ii
e = At.
i=0
i!
Properties:
4) eA(t1 +t2 ) = eAt1 eAt2 ,
d At
5) dt e= AeAt = eAt A.
£ ¤
6) dtd e−At x(t) = e−At ẋ(t) − e−At Ax(t).

Proof:
4) At1 and At2 commute.
5) Use definition
à ∞
!
d At d X 1 ii
e = At ,
dt dt i=0
i!
∞
X 1
= Ai ti−1 ,
i=0
(i − 1)!
à ∞
!
X 1
=A ti−1 Ai−1 = AeAt ,
(i − 1)!
à ∞i=0 !
X 1
= ti−1 Ai−1 A = eAt A.
i=0
(i − 1)!

6) Chain rule
d £ −At ¤ d d £ −At ¤
e x(t) = e−At x(t) + e x(t),
dt dt dt
= e−At ẋ(t) − e−At Ax(t).

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1.5 Complete solution
LTI System

ẋ(t) = Ax(t) + Bu(t),

y(t) = Cx(t) + Du(t),

Multiply by e−At on both sides

d £ −At ¤
e−At ẋ(t) − e−At Ax(t) = e−At Bu(t) ⇒ e x(t) = e−At Bu(t)
dt
Integrate on both sides
¯t Z t Z t
¯ d £ −Aτ ¤
e−At x(t)¯¯ = e x(τ ) dτ = e−Aτ Bu(τ )dτ
0 0 dτ 0

Solution
Z t
−At
e x(t) − x(0) = e−Aτ Bu(τ )dτ
0
Z t
⇒ At
x(t) = e x(0) + eA(t−τ ) Bu(τ )dτ
0

Substitute on the output equation

Z t
y(t) = Ce x(0) + At
CeA(t−τ ) Bu(τ )dτ + Du(t)
0

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1.6 Impulse response (SIMO)
Recall that
δ(t − τ ) = δ(τ − t)
Therefore
Z t Z t Z t
A(t−τ ) A(t−τ )
Ce Bu(τ )dτ + Du(t) = Ce Bu(τ )dτ + Dδ(τ − t)u(τ )dτ,
0 0 0
Z t
£ A(t−τ ) ¤
= Ce B + Dδ(t − τ ) u(τ )dτ,
0 | {z }
h(t − τ )

where
h(t) = CeAt B + Dδ(t)
is the impulse response of the system.

System response:
Z t
At
y(t) = Ce x(0) + h(t − τ )u(τ )dτ .
| {z }
|0 {z }
Initial conditions response Input response
Repeat the above for each input for MIMO systems.

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1.7 Application: discretization
LTI continuous-time system

ẋ(t) = Ax(t) + Bu(t),

y(t) = Cx(t) + Du(t),

If u(t) comes from a computer

u(t) = u(k) := u(kh), ∀ kh ≤ t < (k + 1)h

h : update period

The solution x(t) of the LTI continuous-time system at t = kh is

Z kh
x(k) := x(kh) = eAkh x(0) + eA(kh−τ ) Bu(τ )dτ
0

and at t = (k + 1)h
Z (k+1)h
x(k + 1) := x[(k + 1)h] = e A(k+1)h
x(0) + eA[(k+1)h−τ ] Bu(τ )dτ,
0
· Z kh ¸
= eAh eAkh x(0) + eA(kh−τ ) Bu(τ )dτ
0
Z (k+1)h
+ eA[(k+1)h−τ ] Bu(τ )dτ,
kh
Z (k+1)h
= eAh x(k) + eA[(k+1)h−τ ] Bu(τ )dτ.
kh

Since u(t) = u(k), ∀ kh ≤ t < (k + 1)h

Z (k+1)h
x(k + 1) = eAh x(k) + eA[(k+1)h−τ ] dτ B u(k).
|{z} | kh {z }
F G

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Note that
Z (k+1)h
G= eA[(k+1)h−τ ] dτ B
kh

and for σ := (k + 1)h − τ

Z 0 Z h
Aσ
G=− e dσB = eAσ dσB
h 0

Discretized LTI system

x(k + 1) = F x(k) + Gu(k),

y(k) = Cx(k) + Du(k).

where

F = eAh ,
Z h
G= eAσ dσB.
0

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2 How to compute the matrix exponential?
2.1 Eigenvalues and Eigenvectors
Definition: λ ∈ C is an eigenvalue of A ∈ Rn×n (or ∈ Cn×n ) if there exists
v ∈ Cn such that

Av = λv, v 6= 0.

If so, v is an eigenvector associated with λ.

From linear algebra

Av = λv ⇔ (λI − A)v = 0.

and v 6= 0 if and only if

d(λ) = det(λI − A) = 0.

Conclusion:
Eigenvalues of A are the roots of the characteristic polynomial of A.
⇒ A has n eigenvalues.

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2.2 Diagonalizable matrix
Definition: Matrix A ∈ Rn×n (or ∈ Cn×n ) is said to be diagonalizable if it is
similar to a diagonal matrix, i.e., if there exists a nonsingular matrix T such
that T −1 AT is diagonal.

Theorem: Matrix A ∈ Rn×n (or ∈ Cn×n ) is diagonalizable if and only if it

has n linearly independent eigenvectors.

From linear algebra

? The vectors v1 , . . . , vn ∈ Cn are linearly dependent if there exists
α1 , . . . , αn ∈ C not all null such that
Xn
αi vi = 0.
i=1
Otherwise, they are linearly independent.
? If v1 , . . . , vn ∈ Cn are linearly independent then the matrix
£ ¤
T = v1 · · · v n (2)
is nonsingular. Proof: there exists no
 
α1
x =  ...  6= 0
αn
such that T x = 0.

Proof of the Theorem:

Let v1 , . . . , vn be n linearly independent eigenvectors of A and build T as
in (2). Therefore
£ ¤ £ ¤
Av1 · · · Avn = AT = T Λ = λ1 v1 · · · λn vn ,
where  
λ1 0
Λ= ... .
0 λn
As T is nonsingular
T −1 AT = Λ.

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2.3 Matrix function
Let f (x) : C → C be a continuous scalar-valued function.

Definition: If X is a diagonalizable matrix, i.e., X = T ΛT −1 , then

 
f (λ1 ) 0
f (X) = T  ...  T −1 .
0 f (λn )

If f has a power series expansion

∞
X
f (x) = α i xi
i=0

then
 
f (λ1 ) 0
f (X) = T  ...  T −1 ,
0 f (λn )
à ∞
!
X
=T αi Λi T −1 ,
i=0
∞
X ¡ ¢
= αi T Λi T −1 ,
i=0
X∞
= αi X i .
i=0

Compare the above with the formula previously used for eX !

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