EE511 Linear System Analysis

Representation of Continuous-Time Linear

System and Solution of State Equation
Instructor: F. Hamano
EE Dept, CSULB
EE511 Lecture Notes
2014 Fumio Hamano

System Representation
(Finite dimensional) time-invariant linear dynamical (or control)
system :

x(t ) Ax(t ) Bu(t )

y (t ) Cx(t ) Du(t )
where

x(t0 ) x0 , t t0 ( 0)

x (t ), xo X :

, u(t )

, y (t )

nn

(i.e., n n real matrix)

nm

, C

pn

, D

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pm

x(t ) : the state at time t

y (t ) : the output(s) at time t
u(t ) : the input(s) at time t

X : n : the state space

u(t ), y (t ) are vectors in the input
and output spaces, respectively.
n : the dimension of the system
(=the dimention of X )

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Fact. For the system , the solution of the differential equation (state
equation) exists and is unique if u(t ) is a piece-wise continuous function.

Example.

y ay by cy du
Here, all the quantities are scalars.

Consider

y : output
u : input

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Let

x1 : y
x2 : y
x3 : y

Then,

x1 x2

x2 x3
x ax bx cx du
3
3
2
1
y x1

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i.e.,

0 x1 0
x1 0 1
x 0 0 1 x 0 u
2
2
x3 c b a x3 d
x1
y 1 0 0 x2

x3

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Example.

di1

u R1i1 L1 dt v 0

di2

v 0
R2i2 L2
dt

dv

i1 i2 C dt
y R2i2
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Let

Then,

x1 : i1, x2 : i2 , x3 : v .
u R1 x1 L1 x1 x3 0

R2 x2 L2 x2 x3 0
x x Cx
1 2
3
y R2 x2

Solving the 3 state equations for

following.

x1 , x2 , x3

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, we obtain the

R1
1
1

x1 L x1 L x3 L u
1
1
1

R2
1

x2 x2 x3
L2
L2

1
1
x3 x1 x2
C
C

y R2 x2

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R1
L
x1 1
x 0
2
x3
1
C

R2

L2

y 0 R2

x1
0 x2

x3

1
C

1

1
L1
x1 L1
1
x2 0 u
L2
x3
0

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Example.

J Tm D
Raia Laia ve u
Tm KT ia
ve K e
y
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Let

x1 : , x2 : , x3 : ia

And solve for

x1 , x2 , x3

Then,

1
x1 0
x 0 D / J
2
x3 0 K e / La
x1
y 1 0 0 x2

x3

0 x1 0
K T / J x2 0 u

Ra / La x3 1 / La

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Example.
Consider a nonlinear system described by

x (t ) f ( x (t ), u(t ))

y (t ) h( x (t ), u(t ))
where

x(t0 ) x0 , t t0 ( 0)

x(t ), xo

, u(t )

, y (t )

h1
f1
h
f
2
f : 2 , h :




f
n
hp
where f i and hi are (scalar-valued) functions of x and u (or n m variables).
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Suppose

f (0,0) 0, h(0,0) 0

Then,

f ( x, u )
f ( x, u )
f ( x, u ) f (0,0)
x
u
x x 0
u x 0
u 0

u 0

(higher order terms with respect to x and u )

h( x, u )
h( x, u )
h( x, u ) h(0,0)
x
u
x x 0
u x 0
u 0

u 0

(higher order terms with respect to x and u )

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Linear system approximation (for small x , u ):

f ( x, u )
f ( x, u )

x (t ) x x 0 x (t ) u x 0 u(t ) Ax (t ) Bu(t )
u 0
u 0

y (t ) h( x, u ) x (t ) h( x, u ) u(t ) Cx (t ) Du(t )

x x 0
u x 0
u

0
u 0

where

f ( x, u )
f ( x, u )
A
, B
x x 0
u x 0
u 0

u 0

h( x, u )
h( x, u )
C
, D
x x 0
u x 0
u 0

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u 0

15

State Transition Matrix

Example.

x11 a11
x a
21 21
x12 a11
x a
22 21

x11
x
21

a12 x11 x11 (t0 ) x110

,

a22 x21 x21 (t0 ) x210

a12 x12 x12 (t0 ) x120
,

a22 x22 x22 (t0 ) x220

x12 a11 a12 x11 a11 a12 x12

x22 a21 a22 x21 a21 a22 x22

a11 a12 x11 x12

a
a
x
21 22 21 22
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Here,

x11 (to ) x12 (to ) x110

x (t ) x (t ) x
22 o
21 o
210

x120
x220

Consider

X (t ) AX (t ), X (to ) X o
for all

(*)

Here,

A : n n real matrix
X (t ) : n n matrix of real-valued functions of t
Note: (*) has a unique solution for each initial condition.
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Definition. A unique solution

X (to ) X o I

(t, to )

of (*) subject to

is called the state transition matrix of the system

Fact. The solution of

x(t ) Ax(t ), x(to ) xo

is given by

x(t ) (t, to ) xo

Proof: (Homework) By substitution.

Definition. (Matrix exponential)
2
3
t
t
t
e At : I A A2 A3
1!
2!
3!
1
1
1
2
I At ( At ) ( At )3
1!
2!
3!
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(infinite series)

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Fact.

(t, to ) e A( t to )

Proof:
Recall

(to , to ) I

d
(t , to ) A (t , to )
dt
A( t to )
If suffices to show that e
satisfies the same differential
equation with the same initial condition.
In fact,

e A( to to ) e A0

2
3
0
0
0
I A A2 A3
1!
2!
3!

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Also,
2
3

d A( t to ) d
t to
(
t

t
)
(
t

t
)
2
3
o
o
e
I A
A
A

dt
dt
1!
2!
3!

2
2(
t

t
)
3(
t

t
)
o
o
A A2
A3

2!
3!
2
3

t to
(
t

t
)
(
t

t
)
2
3
o
o
A I A
A
A

1!
2!
3!

Ae A( t to ) .

Then, by the uniqueness of the solution of the differential equation,

(t, to ) e A( t to )

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QED

20

With a slight abuse of notation we may use

(t ) (t,0) e At

Example.

1 0
A
; 1 , 2 or

0 2
2
3
t
t
t
At
e I A A2 A3
1!
2!
3!
2

t
2t
1
0 1
0

1 0
1!
2!

2
0 1 0 t
2 t
0

2
2

1!
2!
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t
t
2
1

1
1

1!
2!
e At

e1t

0
2
t
t
1 2 2 2
1!
2!

0
2t
e

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Example. For the matrix

1
A
; 1 , 2

or

we have
t

e
e At
0

tet
t
e

Homework. Show the above.

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Properties of
Fact.
Fact.
Proof:
At1 At2

e e

e At

(t ) e At
is nonsingular for any

e A( t1 t2 ) e At1 e At2 , t1, t2

2

t1
t
I A A2 1
1!
2!

t2
t
2 2
I

1!
2!

2
2

t
t
t
t
t
t
1 2
2
1
1 2
2
I A A

1! 1!
2! 1! 1! 2!
2
t1 t2
(
t

t
)
IA
A2 1 2
1!
2!
e A( t1 t2 )
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QED
24

But,
Note:
where

e( A A)t e At e At , t
A, A nn or nn .

in general

Fact.

e( A A)t e At e At AA AA
Homework. Prove

above.

Homework. Give an example of

does not hold.
Fact.

for which the above formula

e0 e A0 I
0

where the first

Fact.

A, A

At 1

is an n n null matrix and the 2nd

is (scalar) zero .

e A( t ) e At

Proof: Homework.
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Finding
Recall
Denote

(t ) e At

(t ) A(t ), (0) I
( s) : [(t )]

(*)

Take the Laplace transform of (*). Then,

( s ) (0) A
( s ) where (0) I
s
( s) I
(sI A)
( s ) (sI A) 1

Fact.

( s) [e At ] (sI A) 1

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Example.

1 0
,
A

0 2

For

find

e At

0
s 0 1 0 s 1
sI A

0
s
0

2
0
s

1
s 1
0
s 1
1
( sI A)

s 2
0
0

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0
.
1
s 2

27

e
e At 1 ( sI A)1
0

0
2 t
e

The above result is true for all t

(even though we used the onesided inverse Laplace transform for our calculation).
Example. (Homework)
For

1
A

, find

e At

by using Laplace transform.

Example. (Homework)

For

0 1 0
A 0 0 1

4 8 5

, find

e At

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Denote the characteristic polynomial of

by

( s )

( s) det( sI A) s n d1s n1
where

di

for a real matrix

, i.e.,

d n1s d n

Example.

0 1
A

s 1
( s ) det( sI A) det

2
s

s 2 3s 2

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s 3 1
1
s 2 3s 2 2 s
1 0 3 1
1
2
s

s 3s 2 0 1 2 0

( s ) ( sI A) 1

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Fact.

( s ) ( sI A) 1

( s n 1B0 s n 2 B1
( s )

Bn 1 )

(*)

Here,

B0 I
B1 B0 A d1 I
B2 B1 A d 2 I
Bn 1 Bn 2 A d n 1 I
0 Bn 1 A d n I
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Proof: By Cramers rule,

given in (*).

( sI A)1

can be expanded into the form

Then, note

1
( sI A)
( s n 1B0 s n 2 B1
( s )
1

( s n 1B0 s n 2 B1
( s n d1s n 1

Bn 1 )

Bn 1 )( sI A)
dn )I

s n B0 s n 1 ( B1 B0 A) s n 2 ( B2 B1 A)
...... s ( Bn 1 Bn 2 A) Bn 1 A
s n I s n 1d1 I ....... sd n 1 I d n I .
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By comparing the coefficients of the last equality, we obtain

B0 I
B1 B0 A d1 I
B2 B1 A d 2 I
Bn 1 Bn 2 A d n 1 I
Bn 1 A d n I ,
from which the equations satisfied by

Bk ' s

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follow.

QED

33

Cayley-Hamilton Theorem.
Let

be an n n matrix with real or complex elements. Then,

( A) : An d1 An1

d n1 A d n I 0

where

( s) : s n d1s n1
is the characteristic polynomial of
Proof: By successive elimination of

B1 A d1 I

d n1s d n
A.

Bo , B1 ,

in the previous fact.

B2 ( A d1 I ) A d 2 I A2 d1 A d 2 I
0 An d1 An 1 ....... d n I
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QED
34

Example. Let

0 1 0
A 0 0 1

1 2 3

A5

can be written in terms of I , A, and A2 by

repeated application of Cayley-Hamilton Theorem.

A5 16 A2 11A 7 I
In fact,

( A) A3 3 A2 2 A I 0, so, A3 3 A2 2 A I
A5 A2 A3 3 A4 2 A3 A2 3 AA3 2 A3 A2 7 A3 5 A2 3 A
16 A2 11A 7 I
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Solution of State Equation (State Transition Function) and Response

Function
Consider, as before, the system

x(t ) Ax(t ) Bu(t )

y (t ) Cx(t ) Du(t )
where
and

x (t )

A, B, C, D

Initial condition:

, u( t )

, y (t )

, t t0 ( 0)

are real matrices with appropriate dimensions.

x(t0 ) x0

Typically (and without loss of generality)

t0 0

As discussed before, the state equation can be solved uniquely given the
above initial condition and a piece-wise continuous u(t ), t t0 ( 0) .
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Fact.

x (t ) e

A( t to )

x(to ) e A( t ) Bu( )d
to

(variation of constants formula)

y (t ) Ce
For

t0 0

A( t to )

x(to ) C e A( t ) Bu( )d Du(t )

to

,
t

x(t ) e x (0) e A( t ) Bu( )d

At

y (t ) Ce x (0) C e A( t ) Bu( )d Du(t )

At

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Derivation: Recall that the solution of

x(t ) Ax(t ), x(to ) xo

is given by

x(t ) (t, to ) xo e. A( t to ) xo
We will modify the solution by varying
Let
Then,

xo

x(t ) e A( t to ) (t )
d A( t to )
A( t to )
x (t ) e

(
t
)

e
(t )

dt

Ae A( t to ) (t ) e A( t to ) (t )
Ax (t ) e A( t to ) (t )
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Since

x(t ) Ax(t ) Bu(t )

e A( t to ) (t ) Bu(t )

, we must have

Thus,

(t ) e A( t t ) Bu(t )
o

By integrating both sides of the equation,

t

(t ) (to ) e A( t ) Bu( )d
o

to

(t ) (to ) e A( to ) Bu( )d

to

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Thus,

x (t ) e A( t to ) (t )
e

A( t to )

A( t to )

A( t to )

(to ) e A( t ) Bu( )d
o

to

(to ) e A( t t )e A( t ) Bu ( )d
o

to
t

x (to ) e A( t ) Bu( )d
to

Here, we have used

x(to ) e A( to to ) (to ) (to )

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QED

40

Example.

0 1
0
A
, B , C 1 0 , D 0

2 3
1
1, 1 t 2
u (t )
0, otherwise
x (0) xo 0
Find

x (t )

for

t0

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First we will find

e At

.
1

s 1
s 3 1
1
( sI A)
2

2 s
2
s

3
s

3
s

s 3 1
1

( s 1)( s 2) 2 s
1

s3

( s 1)( s 2)

( s 1)( s 2)

( s 1)( s 2)

( s 1)( s 2)

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(1,1)-element=?

s3

( s 1)( s 2) s 1 s 2
Here,

s3
s3

( s 1)

2
( s 1)( s 2)
s 2 s 1
s 1

similarly

So, the (1,1)-element of

e At

is given by

2et e2t
Similarly for other elements.

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Thus,
t
2 t

2
e

e
e At
t
2 t

2
e

2
e

for all t
.

e t e 2t
t
2 t
e 2e

Recall: (variation of constants formula)

x (t ) e

A( t to )

x(to ) e A( t ) Bu( )d
to

We will use this formula to find x(t ) for all t 0 .

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Case 1:

For

0 t 1

x (t ) e

A( t 0)

x (0) e A( t ) Bu( )d
0

e 0 e A( t ) B0d
At

0
Note:

x(1) lim x(t ) 0

t 1

by continuity of

x (t )

(This will be used in

the next step.)

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Case 2:

For

x (t ) e

A( t 1)

1 t 2
t

x (1) e A( t ) Bu( )d
1

( t )
2( t )

2
e

e
e A( t 1) 0
1 2e ( t ) 2e 2( t )

e ( t ) e 2( t ) 0
1d
( t )
2( t )
e
2e
1

e ( t ) e 2( t )
( t )
d

2(
t

)
1 e
2e

t e ( t ) e 2( t ) d

t1

( t )
2( t )
2e
d
1 e
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But,
t

( t )

d 1 e

( t 1)

2( t )

1
d (1 e2( t 1) )
2

( t 1)
2( t 1)
1 e
(1 e
)

x (t )
2

( t 1)
2( t 1)
) (1 e
)
(1 e
1 ( t 1) 1 2( t 1)
e
e

2
2

( t 1)
2( t 1)
e
e

Therefore,

Note:

1 1 1 2
e e

x(2) lim x(t ) 2

2
t 2

1
2
e e

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Case 3:

For

x (t ) e

A( t 2)

2t
t

x (2) e
2

2e
e

( t 2)
2( t 2)

2
e

2
e

( t 2)

2( t 2)

A( t )

B u( ) d

1 1 1 2
e e
e
e
2
2
( t 2)
2( t 2)
e
2e
e 1 e 2

( t 2)

2( t 2)

t 2
2 t 1
4
2
e ( e e) e
(e e )

2
t 2
2 t
4
2
e ( e e) e ( e e )

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Note: If we are only interested in

calculate it directly as follows.

x(t ), t 2

(i.e., Case 3), we may

x (t ) e x (0) e A( t ) Bu( )d
At

e A( t ) Bu( )d
0

e A( t ) B 0d e A( t ) B 1d e A( t ) B 0d
1

e A( t ) B 1d
1

t 2
2 t 1
4
2
e
(
e

e
)

e
(
e

e
)

, t2
2
t 2
2 t
4
2
e ( e e) e ( e e )
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Solution by Laplace Transform and Transfer Matrix

Consider, as before, the system

x(t ) Ax(t ) Bu(t )

:
y (t ) Cx(t ) Du(t )
where

x(0) x0 , t 0

Take the Laplace transform of the above differential equation.

sX ( s ) xo AX ( s ) BU ( s ), X ( s ) :

x (t )

( sI A) X ( s ) xo BU ( s )
X ( s ) ( sI A) 1 xo ( sI A) 1 BU ( s )
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By taking inverse Laplace transform, we obtain

t

x(t ) e x(0) e A( t ) Bu( )d

At

where

x(0) x0 .

(Note:

to 0

The output is described by

Y ( s ) CX ( s ) DU ( s )
C ( sI A) 1 xo ( sI A) 1 BU ( s ) DU ( s )
C ( sI A) 1 xo C ( sI A) 1 BU ( s ) DU ( s )

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Set

x0 0.

Then,

Y ( s ) C ( sI A) 1 BU ( s ) DU ( s )
C ( sI A) 1 B DU ( s )

H ( s)
Thus,

Y ( s) H ( s)U ( s)
where

H ( s) : C( sI A)1 B D
is called the transfer matrix (or transfer function matrix) of system

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Remark.
Find

( A, B, C , D)

H ( s)

Easy

Find

H ( s)

( A, B, C , D )

Not so easy

(The latter process, as well as the result of the process, is called

realization.)

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