Beruflich Dokumente
Kultur Dokumente
Elliott
Bilinear Control Systems
Matrices in Action
June 18, 2009
Springer
Preface
The mathematical theory of control became a eld of study half a century
ago in attempts to clarify and organize some challenging practical problems
and the methods used to solve them. It is known for the breadth of the
mathematics it uses and its cross-disciplinary vigor. Its literature, which can
be foundin Section 93 of Mathematical Reviews, was at one time dominatedby
the theory of linear control systems, which mathematically are described by
linear dierential equations forced by additive control inputs. That theory
led to well-regarded numerical and symbolic computational packages for
control analysis and design.
Nonlinear control problems are also important; in these either the un-
derlying dynamical system is nonlinear or the controls are applied in a non-
additive way. The last four decades have seen the development of theoretical
work on nonlinear control problems based on dierential manifold theory,
nonlinear analysis, and several other mathematical disciplines. Many of the
problems that had been solved in linear control theory, plus others that are
new and distinctly nonlinear, have been addressed; some resulting general
denitions and theorems are adapted in this book to the bilinear case.
A nonlinear control system is called bilinear if it is described by linear dif-
ferential equations in which the control inputs appear as coecients. Such
multiplicative controls (valves, interest rates, switches, catalysts, etc.) are
common in engineering design and also are used as models of natural phe-
nomena with variable growth rates. Their study began in the late 1960s and
has continued from its need in applications, as a source of understandable
examples in nonlinear control, and for its mathematical beauty. Recent work
connects bilinear systems to such diverse disciplines as switching systems,
spin control in quantum physics, and Lie semigroup theory; the eld needs
an expository introduction and a guide, even if incomplete, to its literature.
The control of continuous-time bilinear systems is based on properties
of matrix Lie groups and Lie semigroups. For that reason much of the rst
half of the book is based on matrix analysis including the Campbell-Baker-
Hausdor Theorem. (The usual approach would be to specialize geometric
v
vi Preface
methods of nonlinear control basedon Frobeniuss Theoremin manifoldthe-
ory.) Other topics such as discrete-time systems, observability and realiza-
tion, applications, linearization of nonlinear systems with nite-dimensional
Lie algebras, and input-output analysis have chapters of their own.
The intended audience for this book includes graduate mathematicians
and engineers preparing for research or application work. If short and help-
ful, proofs are given; otherwise they are sketched or cited from the mathe-
matical literature. The discussions are amplied by examples, exercises and
also a few Mathematica scripts to show how easily software can be written
for bilinear control problems.
Before you begin to read, please turn to the very end of the book to see
that the Index lists in bold type the pages where symbols and concepts are
rst dened; next, that the entries in the References list the pages where
the works are cited. Then please glance at the Appendices; they are referred
to often for standard facts about matrices, Lie algebras and Lie groups.
Throughout the book, sections whose titles have an asterisk (*) invoke less
familiar mathematics come back to them later. The mark indicates the
end of a proof, while . indicates the end of a denition, remark, exercise or
example.
My thanks go to A. V. Balakrishnan, my thesis director, who introduced
me to bilinear systems; my Washington University collaborators in bilinear
control theory William M. Boothby, James G-S. Cheng, Tsuyoshi Goka,
Ellen S. Livingston, Jackson L. Sedwick, Tzyh-Jong Tarn, Edward N. Wilson,
and the late John Zaborsky; the National Science Foundation, for support of
our research; Michiel Hazewinkel, who asked for this book; Linus Kramer;
Ron Mohler; Luiz A. B. San Martin; Michael Margaliot, for many helpful
comments; and to the Institute for Systems Research of the University of
Maryland for its hospitality since 1992. This book could not have existed
without the help of Pauline W. Tang, my wife.
College Park, Maryland, David L. Elliott
October, 2008
Contents
Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Matrices in Action . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Stability: Linear Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.3 Linear Control Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.4 What is a Bilinear Control System? . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.5 Transition Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.6 Controllability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
1.7 Stability: Nonlinear Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
1.8 From Continuous to Discrete . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2 Symmetric Systems: Lie Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.2 Lie Algebras . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
2.3 Lie Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
2.4 Orbits, Transitivity, and Lie Rank. . . . . . . . . . . . . . . . . . . . . . . . . . . 54
2.5 Algebraic Geometry Computations . . . . . . . . . . . . . . . . . . . . . . . . . 60
2.6 Low-dimensional Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
2.7 Groups and Coset Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
2.8 Canonical Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
2.9 Constructing Transition Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
2.10 Complex Bilinear Systems* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
2.11 Generic Generation* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
2.12 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
3 Systems with Drift . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
3.2 Stabilization with Constant Control . . . . . . . . . . . . . . . . . . . . . . . . 87
3.3 Controllability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
vii
viii Contents
3.4 Accessibility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
3.5 Small Controls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
3.6 Stabilization by State-Dependent Inputs . . . . . . . . . . . . . . . . . . . . 109
3.7 Lie Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
3.8 Biane Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
3.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
4 Discrete Time Bilinear Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
4.1 Dynamical Systems: Discrete Time . . . . . . . . . . . . . . . . . . . . . . . . . 130
4.2 Discrete Time Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
4.3 Stabilization by Constant Inputs . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
4.4 Controllability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
4.5 A Cautionary Tale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
5 Systems with Outputs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
5.1 Compositions of Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
5.2 Observability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
5.3 State Observers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
5.4 Identication by Parameter Estimation . . . . . . . . . . . . . . . . . . . . . 155
5.5 Realization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156
5.6 Volterra Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
5.7 Approximation with Bilinear Systems . . . . . . . . . . . . . . . . . . . . . . 165
6 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
6.1 Positive Bilinear Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
6.2 Compartmental Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172
6.3 Switching . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174
6.4 Path Construction and Optimization . . . . . . . . . . . . . . . . . . . . . . . 181
6.5 Quantum Systems* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186
7 Linearization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
7.1 Equivalent Dynamical Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
7.2 Linearization: Semisimplicity, Transitivity . . . . . . . . . . . . . . . . . . 194
7.3 Related work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
8 Input Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
8.1 Concatenation and Matrix Semigroups . . . . . . . . . . . . . . . . . . . . . 203
8.2 Formal Power Series for Bilinear Systems . . . . . . . . . . . . . . . . . . . 206
8.3 Stochastic Bilinear Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
A Matrix Algebra. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
A.1 Denitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
A.2 Associative Matrix Algebras . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
A.3 Kronecker Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222
A.4 Invariants of Matrix Pairs. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Contents ix
B Lie Algebras and Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
B.1 Lie Algebras . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
B.2 Structure of Lie Algebras . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231
B.3 Mappings and Manifolds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
B.4 Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
B.5 Lie Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
C Algebraic Geometry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
C.1 Polynomials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
C.2 Ane Varieties and Ideals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250
D Transitive Lie Algebras . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253
D.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253
D.2 The Transitive Lie Algebras . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275
Chapter 1
Introduction
Most engineers and many mathematicians are familiar with linear time-
invariant control systems; a simple example can be written as a set of rst-
order dierential equations
x = Ax + u(t)b
where x 1
n
, A is a square matrix, u is a locally integrable function and
b 1
n
is a constant vector. The idea is that we have a dynamical system
that left to itself would evolve on 1
n
as dx/dt = Ax, and a control term
u(t)b can be added to inuence the evolution. Linear control system theory is
well established, based mostly on linear algebra and the geometry of linear
spaces.
For many years, these systems and their kin dominated control and com-
municationanalysis. Problems of science andtechnology, as well as advances
in nonlinear analysis and dierential geometry, led to the development of
nonlinear control system theory. In an important class of nonlinear control
systems the control u is used as a multiplicative coecient,
x = f (x) + u(t)g(x)
where f and g are dierentiable vector functions. The theory of such systems
canbe foundinseveral textbooks suchas Sontag[248] or Jurdjevic [149]. They
include a class of control systems in which f (x) := Ax and g(x) := Bx, linear
functions, so
x = Ax + u(t)Bx
which is called a bilinear control system. (The word bilinear means that
the velocity contains a ux term but is otherwise linear in x and u.) This
specialization leads to a simpler and satisfying, if still incomplete, theory
with many applications in science and engineering.
1
2 1 Introduction
Contents of This Chapter
We begin with an important special case that does not involve control: linear
dynamical systems. Sections 1.11.2 discuss them, especially their stability
properties, as well as some topics in matrix analysis. The concept of control
system will be introduced in Section 1.3 through linear control systems
with which you may be familiar. Bilinear control systems themselves are rst
encountered in Sections 1.41.6. Section 1.7 returns to the subject of stability
with introductions to Lyapunovs direct method and Lyapunov exponents.
Section 1.8 has comments on time-discretization issues. The exercises in
Section 1.9 and scattered through the chapter are intended to illustrate and
extend the main results. Note that newly-dened terms are printed in a
sans-serif typeface.
1.1 Matrices in Action
This sectiondenes linear dynamical systems, thendiscusses their properties
and some relevant matrix functions. The matrix algebra notation, terminol-
ogy and basic facts needed here are summarized in Section A.1 of Appendix
A. For instance, a statement in which the symbol 1 appears is supposed to
be true whether 1 is the real eld 1 or the complex eld C.
1.1.1 Linear Dynamical systems
Denition 1.1. A dynamical system on 1
n
is a triple (1
n
, T, ). Here 1
n
is the
state space of the dynamical system; elements (column vectors) x 1
n
are
called states. T is the systems time-set (either 1
+
or Z
+
). Its transition mapping
t
(also called its evolution function) gives the state at time t as a mapping
continuous in the initial state x(0) := 1
n
,
x(t) =
t
(),
0
() = ; and
s
(
t
()) =
s+t
() (1.1)
for all s, t T and 1
n
. The dynamical system is called linear if for all
x, z 1
n
, t T and scalars , 1
t
(x + z) =
t
(x) +
t
(z). (1.2)
.
In this denition, if T := Z
+
= 0, 1, 2, . . . we call the triple a discrete-
time dynamical system; its mappings
t
can be obtained from the mapping
1.1 Matrices in Action 3
1
: 1
n
1
n
by using (1.1). Discrete-time linear dynamical systems on 1
n
have
a transition mapping
t
that satises (1.2); then there exists a square matrix
A such that
1
(x) = Ax;
x(t + 1) = Ax(t), or succinctly
+
x = Ax;
t
() = A
t
. (1.3)
Here
+
x is called the successor of x.
If T = 1
+
and
t
is dierentiable in x and t the triple is called a continuous-
time dynamical system. Its transition mapping can be assumed to be (as in
Section B.3.2) a semi-ow : 1
+
1
n
1
n
. That is, x(t) =
t
() is the
unique solution, dened and continuous on 1
+
, of some rst-order dieren-
tial equation x = f (x) with x(0) = . This dierential equation will be called
the dynamics
1
and in context species the dynamical system.
If instead of the semi-ow assumption we postulate that the transition
mapping satises (1.2) (linearity) then the triple is called a continuous-time
linear dynamical system and
lim
t0
1
t
(
t
(x) x) = Ax
for some matrix A 1
nn
. From that and (1.1) it follows that the mapping
x(t) =
t
(x) is a semi-ow generated by the dynamics
x = Ax. (1.4)
Given an initial state x(0) := set x(t) := X(t); then (1.4) reduces to a single
initial value problemfor matrices: ndannnmatrix functionX : 1
+
1
nn
such that
i=k+1
T
i
[A[
i
i!
k
0,
1
Section B.3.2 includes a discussion of nonlinear dynamical systems with nite escape
time; for them (1.1) makes sense only for suciently small s + t.
4 1 Introduction
so (1.6) converges uniformly on [0, T]. The series for the derivative
X(t)
converges in the same way, so X(t) is a solution of (1.5); the series for higher
derivatives also converge uniformly on [0, T], so X(t) has derivatives of all
orders.
The uniqueness of X(t) can be seen by comparison with any other solution
Y(t). Let
Z(t) := X(t) Y(t); then Z(t) =
_
t
0
AZ(s) ds.
Let (t) := [Z(t)[, := [A[; then (t)
_
t
0
(s) ds
which implies (t) = 0. ||
As a corollary, given 1
n
the unique solutionof the initial value problem
for (1.4) given is the transition mapping
t
x = X(t)x.
Denition 1.2. Dene the matrix exponential function by e
tA
= X(t) where X(t)
is the solution of (1.5). .
With this denition the transition mapping for (1.4) is given by
t
(x) =
exp(tA)x, and (1.1) implies that the matrix exponential function has the prop-
erty
e
tA
e
sA
= e
(t+s)A
, (1.7)
which can also be derived from the series (1.6); that is left as an exercise
in series manipulation. Many ways of calculating the matrix exponential
function exp(A) are described in Moler & Van Loan [211].
Exercise 1.1. For any A 1
nn
and integer k n, A
k
is a polynomial in A of
degree n 1 or less (see Appendix A). .
1.1.2 Matrix Functions
Functions of matrices like expA can be dened in several ways. Solving a
matrix dierential equation like (1.5) is one way; the following power series
method is another. (See Remark A.1 for the mapping from formal power
series to polynomials in A.) Denote the set of eigenvalues of A 1
nn
by
spec(A) =
1
, . . . ,
n
, as in Section A.1.4. Suppose a function (z) has a
Taylor series convergent in a disc U := z | z < R,
(z) =
i=0
c
i
z
i
, then dene (A) :=
i=0
c
i
A
i
(1.8)
for any A such that spec(A) U. Such a function will be called good at A
because the series for (A) converges absolutely. If , like polynomials and
1.1 Matrices in Action 5
the exponential function, is an entire function (analytic everywhere in C) then
is good at any A.
2
Choose T C
nn
such that
A = T
1
AT is upper triangular;
3
then so is
(
A), whose eigenvalues (
i
) are on its diagonal. Since spec(
A) = spec(A),
if is good at A then
spec((A)) = (
1
), . . . , (
n
) and det((A)) =
n
i=1
(
i
).
If = exp then
det(e
A
) = e
tr(A)
(1.9)
which is called Abels relation. If is good at A, (A) is an element of the
associative algebra I, A
A
generated by I and A (see Section A.2). Like any
other element of the algebra, by Theorem A.1 (Cayley-Hamilton) (A) can
be written as a polynomial in A. To nd this polynomial make use of the
recursion given by the minimum polynomial m
A
(s) := s
+ c
1
s
1
+ + c
0
,
which is the polynomial of least degree such that m
A
(A) = 0.
Proposition 1.2. If m
A
(s) = (s
1
) (s
) then
e
tA
= f
0
(t)I + f
1
(t)A + + f
1
(t)A
1
(1.10)
where the f
i
are linearly independent and of exponential polynomial form
f
i
(t) =
k=1
e
k
t
p
ik
(t), (1.11)
that is, the functions p
ik
are polynomials in t. If A is real then the f
i
are real.
Proof.
4
Since A satises m
A
(A) = 0, e
tA
has the form (1.10). Now operate on
(1.10) with m
A
_
d
dt
_
; the result is
_
c
0
I + c
1
A + + A
_
e
tA
= m
A
_
d
dt
_
_
f
0
(t)I + + f
1
(t)A
1
_
.
Since m
A
(A) = 0 the left hand side is zero. The matrices I, . . . , A
1
are lin-
early independent, so each of the f
i
satises the same linear time-invariant
dierential equation
2
Matrix functions good at A including the matrix logarithm of Theorem A.3 are
discussed carefully in Horn & Johnson [132, Ch. 6].
3
See Section A.2.3. Even if A is real, if its eigenvalues are complex its triangular form
A
is complex.
4
Compare Horn & Johnson [132, Th. 6.2.9].
6 1 Introduction
m
A
_
d
dt
_
f
i
= 0, and at t = 0, for 1 i, j
d
j
dt
j
f
i
(0) =
i, j
(1.12)
where
i, j
is the Kronecker delta. Linear constant-coecient dierential equa-
tions like (1.12) have solutions f
i
(t) that are of the form (1.11) (exponential
polynomials) and are therefore entire functions of t. Since the solution of
(1.5) is unique, (1.10) has been proved. That the f
i
are linearly independent
functions of t follows from (1.12). ||
Denition 1.3. Dene the matrix logarithm of Z 1
nn
by the series
log(Z) := (Z I)
1
2
(Z I)
2
+
1
3
(Z I)
3
(1.13)
which converges for [Z I[ < 1. .
1.1.3 The Functions
For any real t the integral
_
t
0
exp(s) d is entire. There is no established name
for this function, but let us call it
(s; t) := s
1
(exp(ts) 1).
(A; t) is good at all A, whether or not A has an inverse, and satises the
initial-value problem
d
dt
= A + I, (A; 0) = 0.
The continuous-time afne dynamical system x = Ax +b, x(0) = has solution
trajectories x(t) = e
tA
+ (A; t)b. Note:
If e
TA
= I then (A; T) = 0. (1.14)
The discrete-time analog of is the polynomial
d
(s; k) := s
k1
+ + 1 = (s 1)
1
(s
k
1),
good at any matrix A. For the discrete-time afne dynamical system
+
x = Ax+b
with x(0) = and any A the solution sequence is x(t) = A
t
+
d
(A; t)b, t N.
If A
T
= I then
d
(A; T) = 0. (1.15)
1.2 Stability: Linear Dynamics 7
1.2 Stability: Linear Dynamics
Qualitatively the most important property of x = Ax is the stability or in-
stability of the equilibrium solution x(t) = 0, which is easy to decide in this
case. (Stability questions for nonlinear dynamical systems will be examined
in Section 1.7.)
Matrix A 1
nn
is said to be a Hurwitz matrix if there exists > 0 such that
T(
i
) <, i 1 . . n. For that A there exists a positive constant k such that
[x(t)[ < k[[ exp(t) for all , and the origin is called exponentially stable.
If the origin is not exponentially stable but [ exp(tA)[ is boundedas t ,
the equilibriumsolutionx(t) = 0 is calledstable. If also[ exp(tA)[ is bounded
as t , the equilibrium is neutrally stable which implies that all of the
eigenvalues are imaginary (
k
= i
k
). The solutions are oscillatory; they
are periodic if and only if the
k
are all integer multiples of some
0
. The
remaining possibility for linear dynamics (1.4) is that T() > 0 for some
spec(A); then almost all solutions are unbounded as t and the
equilibrium at 0 is said to be unstable.
Remark 1.1. Even if all n eigenvalues are imaginary, neutral stability is not
guaranteed: if the Jordan canonical form of A has o-diagonal entries in the
Jordan block for eigenvalue = i, x(t) has terms of the form t
m
cos(t)
(resonance terms) that are unbounded on 1
+
. The proof is left to Exercise 1.4,
Section 1.9. .
Rather than calculate eigenvalues to check stability, we will use Lya-
punovs direct (second) method, which is described in the monograph of
Hahn [113] and recent textbooks on nonlinear systems such as Khalil [156].
Some properties of symmetric matrices must be described before stating
Proposition 1.4.
If Q is symmetric or Hermitian (Section A.1.2) its eigenvalues are real
and the number of eigenvalues of Q that are positive, zero, and negative are
respectively denoted by p
Q
, z
Q
, n
Q
; this list of non-negative integers can be
called the sign pattern of Q. (There are (n +1)(n +2)/2 possible sign patterns.)
Such a matrix Q is called positive denite (one writes Q > 0) if p
Q
= n; in that
case x
q
1,1
q
1,k
q
1,k
q
k,k
, . . . , D
n
= det(Q). (1.16)
Proposition 1.3 (J. J. Sylvester). Suppose Q
Q+ QA,
called the Lyapunov operator, has the n
2
eigenvalues
i
+
j
, 1 i, j n, so
Ly
A
(Q) is invertible if and only if all the sums
i
+
j
are non-zero.
Proposition 1.4 (A. M. Lyapunov). The real matrix A is a Hurwitz matrix if
and only if there exist matrices P, Q Symm(n) such that Q > 0, P > 0 and
Ly
A
(Q) = P. (1.17)
For proofs of this proposition see Gantmacher [101, Ch. XV], Hahn [113, Ch.
4], or Horn & Johnson [132, 2.2].
The test in Proposition 1.4 fails if any eigenvalue is purely imaginary; but
even then, if P belongs to the range of Ly
A
then (1.17) has solutions Q with
z
Q
> 0.
The Lyapunov equation (1.17) is a special case of AX+XB = C, the Sylvester
equation; the operator X AX + XB, where A, B, X 1
nn
, is called the
Sylvester operator
5
and is discussed in Section A.3.3.
Remark 1.2. If A 1
nn
its complex eigenvalues occur in conjugate pairs.
For any similar matrix C := S
1
AS C
n
, such as a triangular (Section A.2.3)
or Jordan-canonical form, both C and A are Hurwitz matrices if for any
Hermitian P > 0 the Lyapunov equation C
Q + QC = P has a Hermitian
solution Q > 0. .
1.3 Linear Control Systems
Linear control systems
6
of a special type provide a motivating example,
permit making some preliminary denitions that can be easily extended,
and are a context for facts we will use later. The dierence between a control
system and a dynamical system is freedom of choice. Given an initial state
, instead of a single solution one has a family of them. For example, most
vehicles can be regarded as control systems steered by humans or computers
to desired orientations and positions in 1
2
or 1
3
.
5
The Sylvester equation is studied in Bellman [25], Gantmacher [101, Ch. VIII], and
Horn & Johnson [132, 2.2]. It can be solved numerically in MatLab, Mathematica , etc.; the
best-known algorithm is due to Bartels & Stewart [24].
6
A general concept of control system is treated by Sontag [248, Ch. 2]. There are many
books on linear control systems suitable for engineering students, including Kailath [152]
and Corless & Frazho [65].
1.3 Linear Control Systems 9
A (continuous-time) linear control system can be dened as a quadruple
(1
n
, 1
+
, 1, ) where 1
n
is the state space,
7
the time-set is 1
+
and 1is a class
of input functions u : 1
+
1
m
(also called controls). The transition mapping
is parametrized by u 1: it is generated by the controlled dynamics
x(t) = Ax(t) + Bu(t), u 1, (1.18)
which in context is enough to specify the control system. There may option-
ally be an output y(t) = Cx(t) 1
p
as part of the control systems description;
see Chapter 5. We will assume time-invariance, meaning that the coecient
matrices A 1
nn
, B 1
n
1
m
, C 1
p
1
n
are constant.
The largest class 1 we will need is [J, the class of 1
m
-valued locally
integrable functions those u for which the Lebesgue integral
_
t
s
[u()[ d
exists whenever 0 s t < . To get an explicit transition mapping use
the fact that on any time interval [0, T] a control u [J and an initial state
x(0) = determine the unique solution of (1.18) given by
x(t) = e
tA
+
_
t
0
e
(t)A
Bu() d, 0 t T. (1.19)
The specication of the control system commonly includes a control
constraint u() where is a closed set. Examples are := 1
m
or
:= u| u
i
(t) 1, 1 i m.
8
The input function space 1 [J must be
invariant under time-shifts.
Denition 1.4 (Shifts). The function v obtained by shifting a function u to
the right along the time axis by a nite time 0 is written v = S
u where
S
()
is the time-shift operator dened as follows. If the domain of u is [0, T]
then
S
u(t) =
_
_
0, t [0, )
u(t ), t [, T + ].
.
Often U will be /J, the space of piecewise constant functions, which is a
shift-invariant subspace of [J. The dening property of /J is that given
some interval [0, T], u is dened and takes on constant values in 1
m
on all
the open intervals of a partition of [0, T]. (At the endpoints of the intervals u
need not be dened.) Another shift-invariant subspace of [J (again dened
with respect to partitions) is /([0, T], the 1
m
-valued piecewise continuous
functions on [0, T]; it is assumed that the limits at the endpoints of the pieces
are nite.
With an output y = Cx and = 0 in (1.19) the relation between input and
output becomes a linear mapping
7
State spaces linear over Care needed for computations with triangularizations through-
out, and in Section 6.5 for quantum mechanical systems.
8
Less usually, may be a nite set, for instance = 1, 1, as in Section 6.3.
10 1 Introduction
y = Lu where Lu(t) := C
_
t
0
e
(t)A
Bu() ds, 0 t . (1.20)
Since the coecients A, B, C are constant it is easily checked that S
L(u) =
LS
1
u
i
(t)g
i
(x) (1.21)
where f, g
1
, . . . , g
m
are continuously dierentiable mappings 1
n
1
n
(bet-
ter, call them vector elds as in Section B.3.1).
10
The other usual way would
be to discuss time-variant linear control systems.
11
In this book we are inter-
ested in a third way: what happens if in the linear time-variant equation
x = F(t)x we let F(t) be a nite linear combination of constant matrices with
arbitrary time-varying coecients?
That way leads to the following denition. Given constant matrices
A, B
1
, . . . , B
m
in 1
nn
, and controls u 1 with u(t) 1
m
,
x = Ax +
m
1
u
i
(t)B
i
x (1.22)
will be called a bilinear control system on 1
n
.
9
In many control systems u is obtained from electrical circuits that implement causal
functionals y(), t u(t).
10
Read Sontag [248] to explore that way, although we will touch on it in Chapters 3 and
7.
11
See Antsaklis & Michel [7].
1.4 What is a Bilinear Control System? 11
Again the abbreviation u := col(u
1
, . . . , u
m
) will be convenient, and as
will the list B
m
:= B
1
, . . . B
m
of control matrices. The term Ax is called the
drift term. Given any of our choices of 1, the dierential equation (1.22)
becomes linear time-variant and has a unique solution that satises (1.22)
almost everywhere. Ageneralization of (1.22) useful beginning with Chapter
3 is to give control u as a function : 1
n
1
m
; u = (x) is then called a
feedback control.
12
In that case the existence and uniqueness of solutions to
(1.22) require some technical conditions on that will be addressed when
the subject arises.
Time-variant bilinear control systems x = A(t)x + u(t)B(t)x have been
discussed in Isidori & Ruberti [139] and in works on system identication,
but are not covered here.
Bilinear systems without drift terms and with symmetric constraints
13
x =
_
m
1
u
i
(t)B
i
_
x, = , (1.23)
are calledsymmetric bilinear control systems. Amongbilinear control systems
they have the most complete theory, introduced in Section 1.5.3 and Chapter
2. A drift term Ax is just a control term u
0
B
0
x with B
0
= A and the constant
control u
0
= 1. The control theory of systems with drift terms is more dicult
and incomplete; it is the topic of Chapter 3.
Bilinear systems were introduced in the U.S. by Mohler; see his papers
with Rink [208, 224]. In the Russian control literature Buyakas[46], Barbain
[22, 21] and others wrote about them. Mathematical work on (1.22) began
with Ku cera [167, 168, 169] and gained impetus from the eorts of Brockett
[34, 36, 35]. Among surveys of the earlier literature on bilinear control are
Bruni & Di Pillo & Koch [43], Mohler [206],[207, Vol. II], and Elliott [83]
as well as the proceedings of seminars organized by Mohler and Ruberti
[204, 227, 209].
Example 1.1. Bilinear control systems are in many instances intentionally de-
signed by engineers. For instance, an engineer designing an industrial pro-
cess might begin with the simple mathematical model x = Ax + bu with one
input and one observed output y = c
and
:= [0, 1]. The valve setting v(t) might be adjusted by a technician or by
automatic computation. For more about bilinear systems with B = bc
see
Exercise 1.12 and Section 6.4. .
Mathematical models arise in hierarchies of approximation. One common
nonlinear model that will be seen again in later chapters is (1.21), which
12
Feedback control is also called closed-loop control.
13
Here := u| u .
12 1 Introduction
often can be understood only qualitatively and by computer simulation, so
simple approximations are needed for design and analysis. Near a state
with f () = a the control system (1.21) can be linearized in the following way.
Let
A =
f
x
(), b
i
= g
i
(), B
i
=
g
i
x
(). Then (1.24)
x = Ax + a +
m
i
u
i
(t)(B
i
x + b
i
) (1.25)
to rst order in x. A control system described by (1.25) can be called an
inhomogeneous
14
bilinear system; (1.25) has afne vector elds (Bx + b), so I
prefer to call it a biafne control system.
15
Biane control systems will be the
topic of Section 3.8 in Chapter 3; in this chapter see Exercise 1.15. In this book
bilinear control systems (1.22) have a = 0 and b
i
= 0 and are called homogeneous
when the distinction must be made.
Bilinear and biane systems as intentional design elements (Example 1.1)
or as approximations via (1.24) are found in many areas of engineering and
science:
chemical engineering valves, heaters, catalysts;
mechanical engineering automobile controls and transmissions;
electrical engineering frequency modulation, switches, voltage convert-
ers;
physics controlled Schrdinger equations, spin dynamics;
biology neuron dendrites, enzyme kinetics, compartmental models.
For descriptions and literature citations for several such applications see
Chapter 6. Some of themuse discrete-time bilinear control systems
16
described
by difference equations on 1
n
x(t + 1) = Ax(t) +
m
1
u
i
(t)B
i
x(t), u() , t Z
+
. (1.26)
Again a feedback control u = (x) may be considered by the designer. If is
continuous, a nonlinear dierence equation of this type will have a unique
solution, but for a bad choice of the solution may grow exponentially or
faster; look at
+
x = x(x) with (x) := x and x(0) = 2.
14
Rink & Mohler [224] (1968) used the terms bilinear system and bilinear control
process for systems like (1.25). The adjective biane was used by Sontag, Tarn and
others, reserving bilinear for (1.22).
15
Biane systems can be called variable structure systems [204], an inclusive term for
control systems ane in x (see Exercise 1.17) that includes switching systems with sliding
modes; see Example 6.8 and Utkin [281].
16
For early papers on discrete-time bilinear systems see Mohler & Ruberti [204].
1.5 Transition Matrices 13
Section 1.8 is a sidebar about some discrete time systems that arise as
methods of approximately computing the trajectories of (1.22). Only one
of them (Eulers) is bilinear. Controllability and stabilizability theories for
discrete-time bilinear systems are suciently dierent from the continuous
case to warrant Chapter 4; their observability theory is discussed in parallel
with the continuous-time version in Chapter 5.
Given an indexed family of matrices J = B
j
| j 1 . . m (where m is in
most applications a small integer) we dene a switching system on 1
n
as
x = B
j(t)
x, t 1
+
, j(t) 1 . . m. (1.27)
The control input j(t) for a switching system is the assignment of one of the
indices at each t.
17
The switching system described in (1.27) is a special case
of (1.26) with no drift term and can be written
x =
m
i=1
u
i
B
i
where u
i
(t) =
i, j(t)
, j(t) 1 . . m;
so (1.27) is a bilinear control system. It is also a linear dynamical polysystem
as dened in Section B.3.4.
Examples of switching systems appear not only in electrical engineering
but also in many less obvious contexts. For instance the B
i
can be matrix
representations of a group of rotations or permutations.
Remark 1.3. To avoid confusion it is important to mention the discrete-time
control systems that are described not by (1.26) but instead by input-to-
output mappings of the form y = f (u
1
, u
2
) where u
1
, u
2
, y are sequences and
f is a bilinear function. In the 1970s these were called bilinear systems
by Kalman and others. The literature of this topic, for instance Fornasini &
Marchesini [94, 95] and subsequent papers by those authors, became part of
the extensive and mathematically interesting theories of dynamical systems
whose time-set is Z
2
(called2-Dsystems); suchsystems are discussed, treating
the time-set as a discrete free semigroup, in Ball & Groenewald & Malakorn
[18]. .
1.5 Transition Matrices
Consider the controlled dynamics on 1
n
x = (A +
m
i=1
u
i
(t)B
i
)x, x(0) = ; u /J, u() . (1.28)
17
In the continuous time case of (1.27) there must be some restriction on how often j can
change, which leads to some technical issues if j(t) is a random process as in Section 8.3.
14 1 Introduction
As a control system, (1.28) is time-invariant. However, once given an input
history U
T
:= u(t)| 0 t T, (1.28) can be treated as a linear time-variant
(but piecewise constant) vector dierential equation. To obtain transition
mappings x(t) =
t
(; u) for any and u, we will show in Section 1.5.1 that
on the linear space L = 1
nn
the matrix control system
X = AX +
m
i=1
u
i
(t)B
i
X, X(0) = I, u() (1.29)
with piecewise constant (/J) controls has a unique solution X(t; u), called
the transition matrix for (1.28);
t
(; u) = X(t; u).
1.5.1 Construction Methods
The most obvious way to construct transition matrices for (1.29) is to repre-
sent X(t; u) as a product of exponential matrices.
A u /J dened on a nite interval [0, T] has a nite number N of
intervals of constancy that partition [0, T]. What value u has at the endpoints
of the N intervals is immaterial. Given u, and any time t [0, T] there is an
integer k N depending on t such that
u(s) =
_
_
u(0), 0 =
0
s <
1
, . . .
u(
i1
),
i1
s <
i
,
u(
k
),
k
= t;
let
i
=
i
i1
. The descending-order product
X(t; u) := exp
_
(t
k
)(A+
m
j=1
u
j
(
k
)B
j
)
_
1
i=k
exp
_
i
(A+
m
j=1
u
j
(
i1
)B
j
)
_
(1.30)
is the desired transition matrix. It is piecewise dierentiable of all orders,
and estimates like those used in Proposition 1.1 show it is unique.
The product in (1.30) leads to a way of constructing solutions of (1.29)
with piecewise continuous controls. Given a bounded control u /([0, T]
approximate u with a sequence u
(1)
, u
(2)
, . . . in /J[0, T] such that
lim
i
_
T
0
[u
(i)
(t) u(t)[ dt = 0.
Let a sequence of matrix functions X(u
(i)
; t) be dened by (1.30). It converges
uniformly on [0, T] to a limit called a multiplicative integral or product integral
1.5 Transition Matrices 15
X(u
(N)
; t)
N
X(t; u)
that is a continuously dierentiable solution of (1.29). See Dollard & Fried-
man [75] for the construction of product-integral solutions to
X = A(t)X for
A(t) piecewise constant (a step function) or locally integrable.
Another useful way to construct transition matrices is to pose the initial
value problem as an integral equation, then solve it iteratively. Here is an
example; assume that u is integrable and essentially bounded on [0, T]. If
i=0
t
i
F
i
satises
X = (A + u(t)B)X, X(0) = I; then
X(t) =
i=0
t
i
(i + 1)F
i+1
=
_
_
A + B
k
i=0
p
i
t
i
_
_
_
i=0
t
i
F
i
_
_
;
16 1 Introduction
evaluating the product on the right and equating the coecients of t
i
(i + 1)F
i+1
= AF
i
+ B
ik
j=0
F
j
p
ij
, F
0
= I, (1.34)
where i k := min(i, k); all the F
i
are determined.
To show that the series X(t) has a positive radius of convergence we need
only show that [F
i
[ is uniformly bounded. Let p
i
:= [F
i
[, := [A[, := [B[,
and
i
:= p
i
; then p
i
, i Z
+
satises the system of linear time-variant
inequalities
(i + 1)p
i+1
p
i
+
ik
j=0
p
j
ij
, with p
0
= 1. (1.35)
Since eventually i +1 is larger than (k +1) max,
1
, . . . ,
k
, there exists
a uniform bound for the p
i
. To better see how the F
i
behave as i , as an
exercise consider the commutative case AB = BA and nd the coecients F
i
of the power series for exp(
_
t
0
(A + u(s)B) ds). .
Problem 1.1. (a) In Example 1.3 the sequence of inequalities (1.35) suggests
that there exists a number C such that p
i
C/(i/k), where () is the usual
gamma-function, and that the series X(t) converges on 1.
(b) If u is given by a convergent power series show that X(t) converges for
suciently small t. .
1.5.2 Semigroups
A semigroup is a set S equipped with an associative binary operation (called
composition or multiplication) S S S : (a, b) ab dened for all elements
a, b, S. If S has an element (the identity) such that a = a it should be
called a semigroup with identity or a monoid; it will be called a semigroup here.
If ba = = ab then a
1
:= b is the inverse of a. If every element of S has an
inverse in S, then S is a group; see Section B.4 for more about groups.
A semigroup homomorphism is a mapping h : S
1
S
2
such that h(
1
) =
2
and for a, b S
1
, h(ab) = h(a)h(b). An example:
h
A
: 1
+
exp(A1
+
); h
A
(t) = exp(tA),
1
= 0, h
A
(0) = I.
Dene SS := XY| X S, Y S. A subsemigroup of a group G is a subset
S G that satises S and SS = S.
1.5 Transition Matrices 17
Denition 1.5. A matrix semigroup S is a subset of 1
nn
that is closed under
matrix multiplication and contains the identity matrix I
n
. The elements of S
whose inverses belong to S are called units. .
Example 1.4. There are many more or less obvious examples of semigroups
of matrices, for instance:
(a) 1
nn
, the set of all real matrices;
(b) the upper triangular matrices A 1
nn
| a
i, j
= 0, i < j;
(c) the non-negative matrices A 1
nn
| a
i, j
0; these are the matrices
that map the (closed) positive orthant 1
n
+
into itself.
(d) The doubly stochastic matrices, which are the subset of (e) for which
all row-sums and column-sums equal one.
The reader should take a few minutes to verify that these are semigroups.
For foundational research on subsemigroups of Lie groups see Hilgert &
Hofmann & Lawson [127, Ch. V]. .
A concatenation semigroup S
is given by
( u, v) u
v = (u v, [0, T
u
+ T
v
])
where is denedas follows. Given two scalar or vector inputs, say (u, [0, ])
and (v, [0, ]) , their concatenation u v is dened on [0, + ] by
u v(t) =
_
_
v(t), t [0, ],
u(t ), t [, + ],
(1.36)
since its value at the point t = can be assigned arbitrarily. The identity
element in S
is u| u (0, 0).
Given u = (u, [0, T]) and a time < T, the control u can be split into the
concatenation of u
, the restriction of Su
to [0, T ]:
u = u
where
u
(t) = u(t), 0 t ; u
)Y. One
obtains, this way, the transition matrix trajectory
18 1 Introduction
X(t; u) =
_
_
X(t; u
), 0 t ,
X(t; u
) = X(t ; u
)X(; u
), < t T.
(1.38)
With the above setup, the relation X(t; u) = X(t ; u
)X(; u
) is called the
semigroup property (or the composition property) of transition matrices.
Denition 1.6. S
i=1
u
i
B
i
)| 0, u .
If = 1
m
the subscript on S is omitted. .
Arepresentation of S
on 1
n
is a semigrouphomomorphism : S
1
nn
such that () = I
n
. By its denition and (1.30) the matrix semigroup S
contains all the transition matrices X(t; u) satisfying (1.29) with u /J,
and each element of S
is a representation of S
on 1
n
. For topologies and
continuity properties of these semigroup representations see Section 8.1.
Proposition 1.5. Any transition matrix X(t; u) for (1.28) satises
det(X(t; u)) = exp
_
_
_
t
0
_
_
tr(A) +
m
j=1
u
j
(s) tr(B
j
)
_
_
ds
_
_
> 0. (1.39)
Proof. Using (1.9) and det(X
k
) = (det(X))
k
, this generalization (1.39) of Abels
relation holds for u in /J, [J and /(. ||
As a corollary, every transition matrix Y has an inverse Y
1
; but Y is not
necessarily a unit in S
) = I and
X = (u
1
B
1
+ . . . + u
k
B
k
)X, then
X(; u
)X(; u) = I; similarly
X(2u u
) = I = X(2; u
u).
1.5 Transition Matrices 19
||
1.5.3 Matrix Groups
Denition 1.7. A matrix group
18
is a set of matrices G 1
nn
with the prop-
erties that (a) I G; and (b) if X G and Y G then XY
1
G. For matrix
multiplication X(YZ) = (XY)Z, so G is a group. .
There are many dierent kinds of matrix groups; here are some well-
known examples.
1. The group GL(n, 1) of all invertible real n n matrices is called the real
general linear group. GL(n, 1) has two connected components, separated
by the hypersurface
n
0
:= X| det(X) = 0. The component containing I
(identity component) is
GL
+
(n, 1) := X GL(n, 1)| det(X) > 0.
From (1.9) we see that for (1.29), X(t; u) GL
+
(n, 1) and the transition
matrix semigroup S
is a subsemigroup of GL
+
(n, 1).
2. G GL(n, 1) is called nite if its cardinality #(G) is nite, and #(G) is
called its order. For any A GL(n, 1) for which there exists k > 0 such
that A
k
= I, I, A, . . . , A
k1
is called a cyclic group of order k.
3. The discrete group SL(n, Z) := A GL(n, 1)| a
i, j
Z, det(A) = 1 is
innite if n > 1, since it contains the innite subset
_
_
j + 1 j + 2
j j + 1
_
j Z
_
.
4. For any A 1
nn
e
rA
e
tA
= e
(r+t)A
and (e
tA
)
1
= e
tA
, so 1 GL
+
(n, 1) : t e
tA
is a group homomorphism (Section B.8); the image is called a one-
parameter subgroup of GL
+
(n, 1).
Rather than using the semigroup notation S, the set of transition matrices
for symmetric systems will be given its own symbol.
Proposition 1.7. For a given symmetric system (1.23) with piecewise constant
controls as in (1.30) the set of all transition matrices is given by the set of nite
products
18
See Section B.4.
20 1 Introduction
:=
_ 1
j=k
exp
_
j
m
i=1
u
i
(
j
)B
i
_
j
0, u() , k I
_
. (1.41)
is a connected matrix subgroup of GL
+
(n, 1).
Proof. Connected in this context means path-connected, as that term is used
in general topology. By denition I ; by (1.9), GL
+
(n, 1). Any two
points in can be connected to I by a nite number of arcs in of the form
exp(tB
i
), i 1 . . m, 0 t T. That is a group follows fromthe composition
property (1.38) and Proposition 1.6; from that it follows that any two points
in are path-connected. ||
Example 1.5. Consider, for = 1, the semigroup S of transition matrices for
the system x = (J + uI)x on 1
2
where J =
_
0 1
1 0
_
. If for t > 0 and given u
X(t; u) = e
_
t
0
u(s) ds
_
cos t sint
sint cos t
_
, then
if k Iand 2k > t, (X(t; u))
1
= X(u; 2k t).
Therefore S is a group, isomorphic to the group C
of nonzero complex
numbers.
19
.
1.6 Controllability
A control system is to a dynamical system as a play is to a monolog: instead
of a single trajectory through one has a family of them. One may look for
the subset of state space that they cover or for trajectories that are optimal
in some way. Such ideas led to the concept of state-to-state controllability,
which rst arose when the calculus of variations
20
was applied to optimal
control. Many of the topics of this book invoke controllability as a hypothesis
or as a conclusion; its general denition (Denition 1.9) will be prefaced by
a well-understood special case: controllable linear systems.
1.6.1 Controllability of Linear Systems
The linear control system (1.18) is said to be controllable on 1
n
if for each
pair of states , there exists a time > 0 and a locally integrable control
19
See Example 2.4 in the next chapter for the representation of C.
20
The book of Hermann [122] on calculus of variations stimulated much early work on
the geometry of controllability.
1.6 Controllability 21
u() 1
m
for which
= e
A
+
_
0
e
(s)A
Bu(s) ds. (1.42)
If the control values are unconstrained ( = 1
m
) the necessary and su-
cient Kalman controllability criterion for controllability of (1.18) is
rankR = n, where R(A; B) :=
_
B AB . . . A
n1
B
_
R
nmn
. (1.43)
R(A; B) is called the controllability matrix. If (1.43) holds, then A, B is called a
controllable pair. If there exists some vector b for which A, b is a controllable
pair, A is called cyclic. For more about linear systems see Exercises 1.111.14.
The criterion (1.43) has a dual, the observability criterion (5.2) for linear
dynamical systems at the beginning of Chapter 5; for a treatment of the
duality of controllability and observability for linear control systems see
Sontag [248, Ch. 5].
Denition 1.8. A subset K of any linear space is said to be a convex set if for
all points x K, y K and for all [0, 1] we have x + (1 )y K.
.
Often the control is constrained to lie in a closed convex set 1
m
. For
linear systems (1.18), if is convex then
__
0
e
(s)A
Bu(s) ds, u()
_
is convex. (1.44)
1.6.2 Controllability in General
It is convenient to dene controllability concepts for control systems more
general than we need just now. Without worrying at all about the technical
details, consider a nonlinear control system on a connected region U 1
n
,
x = f (x, u), u [J, t 1
+
, u() . (1.45)
Make technical assumptions on f and U such that there exists for each u and
for each U a controlled trajectory f
t;u
() in U with x(0) = f
0;u
() = that
satises (1.45) almost everywhere.
Denition 1.9 (Controllability). The system (1.45) is said to be controllable
on U if given any two states , U there exists T 0 and control u for
which f
t;u
() U for t (0, T), and f
T;u
() = . We say that with this control
system the target is reachable from using u. .
22 1 Introduction
Denition 1.10 (Attainable sets).
21
For a given instance of (1.45), for initial
state U:
i) The t-attainable set is
t
() := f
t;u
()| u() .
ii) The set of all states attainable by time T is
T
() :=
_
0<tT
t
().
iii) The attainable set is () :=
_
t0
t
(). .
We will occasionally need the following notations. Given a set U 1
k
its
complement is denoted by 1
k
U; its closure by U, its interior by
U, and its
boundary by U = U
U. For instance, it can happen that () includes part
of (), so may be neither open nor closed in 1
n
.
Denition 1.11. i) If
() one says the accessibility condition is satised
at . If the accessibility condition is satised for all initial states U we say
that (1.45) has the accessibility property on U.
ii) If, for each t > 0,
t
() the control system has the property of
strong accessibility from ; if that is true for all 0, then (1.28) is said to
satisfy the strong accessibility condition on U. .
The following lemma, from control-theory folklore, will be useful later. Be-
sides (1.45), introduce its discrete-time version
+
x = F(x, u), t Z
+
, u() , (1.46)
a corresponding notion of controlled trajectory F
t;u
() and the same deni-
tion of controllability.
Lemma 1.1 (Continuation). The system (1.45) [or (1.46)] is controllable on a
connected submanifold U 1
n
if for every initial state there exists u such that a
neighborhood N() U is attainable by a controlled trajectory lying in U.
Proof. Given any two states , U we need to construct on U a nite set of
points p
0
= , . . . , p
k
= suchthat a neighborhoodinUof p
j
is attainable from
p
j1
, j 1 . . k. First construct a continuous curve : [0, 1] U of nite length
such that (0) = , (1) = . For each point p = () there exists an attainable
neighborhood N(p) U. The collection of neighborhoods
_
x
N(x) covers the
compact set (t), t [0, 1], so we can nd a nite subcover N
1
, . . . , N
k
where
p
1
N() and the k neighborhoods are ordered along . From choose a
control that reaches p
1
N
1
N
2
, and so forth; N
k
can be reached from
p
k1
. ||
21
Jurdjevic [149] and others call them reachable sets.
1.6 Controllability 23
1.6.3 Controllability: Bilinear Systems
For homogeneous bilinear systems (1.22), the origin in 1
n
is an equilibrium
state for all inputs; for that reason in Denition 1.10 it is customary to use as
the region U the punctured space 1
n
:= 1
n
0. The controlled trajectories
are x(t) = X(t; u); the attainable set from is
() := X(t; u)| t 1
+
, u(t) ;
if () = 1
n
for all 1
n
.
In one dimension, 1
1
; so our default
assumption about 1
n
is connected but
not simply connected. For n 3, 1
n
is simply connected.
Example 1.6. Here is a symmetric bilinear system that is uncontrollable on
1
2
.
_
x
1
x
2
_
=
_
u
1
x
1
u
2
x
2
_
, x(0) = ; x(t) =
_
_
exp(
_
t
0
u
1
(s) ds)
1
exp(
_
t
0
u
2
(s) ds)
2
_
_
.
Two states , x can be connected by a trajectory of this system if and only if
(i) and x lie in the same open quadrant of the plane, or (ii) and x lie in the
same component of the set x| x
1
x
2
= 0. .
Example 1.7. For the two-dimensional system
x = (I + u(t)J)x, I =
_
1 0
0 1
_
, J =
_
0 1
1 0
_
(1.47)
for t > 0 the t-attainable set is
t
() = x| [x[ = [[e
t
, a circle, so (1.47) does
not have the strong accessibility property anywhere. The attainable set is
() = x| [x[ > [[
_
, so (1.47) is not controllable on 1
2
. However, (x)
has open interior, although it is neither open nor closed, so the accessibility
property is satised. In the 1
2
1
+
space-time, (
t
(), t)| t > 0 is a truncated
circular cone. .
Example 1.8. Now reverse the roles of I, J in the last example, giving x =
(J + uI)x as in Example 1.5; in polar coordinates this system becomes =
u,
= 1. At any time T > 0 the radius can have any positive value,
but (T) = 2T +
0
. This system has the accessibility property (not strong
accessibility) and it is controllable, although any desired nal angle can be
reached only once per second. In space-time the trajectories of this system
are (
_
t
u,
0
+ 2t, t)| t 0 and thus live on the positive half of a helicoid
surface.
23
.
22
The discrete-time system x(t + 1) = u(t)x(t) is controllable on 1
1
.
23
In Example 1.8 the helicoid surface (r, 2t, t)| t 1, r > 0 covers 1
2
is transitive on 1
n
. For sys-
tems with drift, often the way to prove controllability is to show that S
is
actually a transitive group.
Example 1.9. An example of a semigroup (without identity) of matrices tran-
sitive on 1
n
let A = yx
/(x
,
including the biggest, which is S
n
n
= GL(n, 1). .
Example 1.10. Transitivity has many contexts. For A, B GL(n, 1) there exists
X GL(n, 1) such that XA = B. The columns of A = (a
1
, . . . , a
n
) are a linearly
independent n-tuple of vectors. Such an n-tuple A is called an n-frame on
1
n
; so GL(n, 1) is transitive on n-frames. For n-frames on dierentiable n-
manifolds see Conlon [64, Sec. 5.5]. .
1.7 Stability: Nonlinear Dynamics
In succeeding chapters stability questions for nonlinear dynamical systems
will arise, especially in the context of state-dependent controls u = (x). The
best known tool for attacking such questions is Lyapunovs direct method.
In this section our dynamical system has state space 1
n
with transition
mapping generated by a dierential equation x = f (x), assuming that f
satises conditions guaranteeing that for every 1
n
there exists a unique
trajectory in 1
n
x(t) = f
t
(), 0 t .
First locate the equilibrium states x
e
that satisfy f (x
e
) = 0; the trajectory
f
t
(x
e
) = x
e
is a constant point. To investigate an isolated
24
equilibrium state
x
e
, it is helpful to change coordinates so that x
e
= 0, the origin; that will now
be our assumption. .
24
Lyapunovs direct method can be used to investigate the stability of more general
invariant sets of dynamical systems.
1.7 Stability: Nonlinear Dynamics 25
The state 0 is called stable if there exists a neighborhood U of 0 on which
f
t
() is continuous uniformly for t 1
+
. If also f
t
() 0 as t for all U,
the equilibriumis asymptotically stable
25
onU. To showstability [alternatively,
asymptotic stability] one can try to construct a family of hypersurfaces
disjoint, compact and connectedthat all contain 0 and such that all of
the trajectories f
t
(x) do not leave [are directed into] each hypersurface. The
easiest, but not the only, way to construct such a family is to use the level
sets x| V(x) = of a continuous function V : 1
n
1 such that V(0) = 0
and V(x) > 0 for x x
e
. Such a V is a generalization of the important
example x
Qx, Q > 0 and will be called positive denite, written V > 0. There
are similar denitions for positive semidenite (V(x) 0,x 0) and negative
semidenite (V(x) 0, x 0). If (V) > 0, write V < 0 (negative denite).
1.7.1 Lyapunov Functions
A function V dened, C
1
and positive denite on some neighborhood U of
the origin is called a gauge function. Nothing is lost by assuming that each
level set is a compact hypersurface. Then for > 0 one can construct the
regions and boundaries
V
:= x| x 0, V(x) , V
= x| V(x) = .
A gauge function is said to be a Lyapunov function for the stability of
f
t
(0) = 0 if there exists a > 0 such that if V
and t > 0,
V( f
t
()) V(), that is, f
t
(V
) V
.
One way to prove asymptotic stability uses stronger inequalities:
if for t > 0 V( f
t
()) < V() then f
t
(V
) _ V
.
Under our assumption that gauge function V is C
1
, V
has tangents
everywhere.
26
Along an integral curve f
t
(x)
V(x) :=
dV( f
t
(x))
dt
t=0
= fV(x) where f :=
n
i=1
f
i
(x)
x
i
.
25
The linear dynamical system x = Ax is asymptotically stable at 0 if and only if it is
exponentially stable; it is stable if and only if A is a Hurwitz matrix.
26
One can use piecewise smooth V; Hahn [113] describes Lyapunov theory using a one-
sided time-derivative along trajectories. For an interesting exposition see Logemann &
Ryan [191].
26 1 Introduction
Remark 1.4. The quantityfV(x) 1is calledthe Lie derivative of Vwithrespect
to f at x. The rst-order partial dierential operator f is called a vector eld
corresponding to the dynamical system x = f (x); see Section B.3.1.
27
.
Denition 1.12. A real function V : 1
n
1 is called radially unbounded if
V(x) as [x[ . .
Proposition 1.8. Suppose V > 0 is C
1
and radially unbounded; if for some > 0,
on V
_ V
;
(ii) for t > 0, V( f
t
()) < V(); and
(iii) V( f
t
()) 0 as t .
It can then be concluded that V is a Lyapunov function for asymptotic stability
of f at 0, the trajectories f
t
(x) will never leave the region V
Qx. Let
V := x
(A
Q+ QA)x; if
V < 0
then V decreases along trajectories. The level hypersurfaces of V are ellip-
soids and V qualies as a Lyapunov function for global asymptotic stability.
27
For dynamical system x = f (x) the mapping f : 1
n
T1
n
= 1
n
is also called a vector
eld. Another notation for fV(x) is V f (x).
1.7 Stability: Nonlinear Dynamics 27
In this case we have in Proposition 1.4 what amounts to a converse stability
theorem establishing the existence of a Lyapunov function; see Hahn [113]
for such converses. .
Example 1.12. If V(x) = x
/x with A
= A (a rotation) then aV = 0.
That dynamical system then evolves on the sphere x
x =
, to which
this vector eld is tangent. More generally, one can dene dynamical sys-
tems on manifolds (see Section B.3.3) such as invariant hypersurfaces. The
continuous-time dynamical systems x = f (x) that evolve on a hypersurface
V(x) = c in 1
n
are those that satisfy fV = 0. .
Example 1.13. The matrix A :=
_
0 1
1 2
_
has eigenvalues 1, 1, so 0 is glob-
ally asymptotically stable for the dynamical system x = Ax. A reasonable
choice of gauge function is V(x) = x
x for which
V(x) = 4x
2
2
which is neg-
ative semidenite, so we cannot immediately conclude that V decreases.
However, V is radially unbounded; apply Proposition 1.9: on the set where
V vanishes, x
2
0 except at the origin, which is the only invariant set. .
1.7.2 Lyapunov Exponents*
When the values of the input u of a bilinear system (3.1) satisfy a uniform
bound [u(t)[ on 1
+
it is possible to study stability properties by obtain-
ing growth estimates for the trajectories. One such estimate is the Lyapunov
exponent (also called Lyapunov number) for a trajectory
(, u) := limsup
t
1
t
ln([X(t; u)[) and (1.49)
(u) := sup
[[=1
limsup
t
1
t
ln([X(t; u)[), (1.50)
the maximal Lyapunov exponent. It is convenient to dene, for any square
matrix Y, the number
max
(Y) as the maximum of the real part of spec(Y).
Thus if u = 0 then (, 0) =
max
(A), which is negative if A is a Hurwitz
matrix. For any small the Lyapunov spectrum for (3.1) is dened as the set
(, u)| [u(t)[ , [[ = 1.
Example 1.14. Let
X = AX + cos(t)BX, X(0) = I. By Floquets Theorem (see
Hartman [117] and Josi c & Rosenbaum [146]) the transition matrix can be
factored as X(t) = F(t) exp(tG) where F has period 2 and G is constant. Here
28 1 Introduction
the Lyapunov exponent is
max
(G), whose computation takes some work. In
the special case AB = BA with u(t) = cos(t) it is easy:
X(t) = exp
__
t
0
(A + cos(s)B) ds
_
= e
tA
e
sin(t)B
; (u) =
max
(A). .
Remark 1.5 (Linear ows*). For some purposes bilinear systems can be treated
as dynamical systems (so-called linear ows) on vector bundles; a few ex-
amples must suce here. If for (1.22) the controls u satisfy some autonomous
dierential equation u = f (u) on , the combined (nowautonomous) system
becomes a dynamical systemon the vector bundle 1
n
(see Colonius
& Kliemann [63, Ch. 6]). Another vector bundle approach was used in [63]
and by Wirth [289]: the bundle is 1 1
n
1 where the base (the input
space 1) is a shift-invariant compact metric space, with transition mapping
given by the time shift operator S acting on 1 and (1.22) acting on the
ber 1
n
. Such a setup is used in Wirth [289] to study stability of a switching
system (1.27) with a compact family of matrices J and some restrictions on
switching times; control-dependent Lyapunov functions are constructedand
used to obtain the systems Lyapunov exponents fromthe Floquet exponents
obtained from periodic inputs.
.
1.8 From Continuous to Discrete
Manyof the well-knownnumerical methods for time-variant ordinarydier-
ential equations canbe usedtostudybilinear control systems experimentally.
These methods provide discrete-time control systems (not necessarily bilin-
ear) that approximate the trajectories of (1.28) and are called discretizations of
(1.28). Those enumerated in this section are implementable in many software
packages and are among the few that yield discrete-time control systems of
theoretical interest. Method 2 will provide examples of discrete-time bilinear
systems for Chapter 4; it and Method 3 will appear in a stochastic context in
Section 8.3. For these examples let x = Ax + uBx with a bounded control u
that (to avoid technicalities) is continuous on [0, T]; suppose that its actual
trajectory from initial state is X(t; u), t 0. Choose a large integer N and
let := T/N. Dene a discrete-time input history by v
N
(k) := u(k), 1 k N.
The state values are to be computed only at the times k, 1 k N.
1. Sampled-data control systems are used in computer control of industrial
processes. Asampled-data control systemthat approximates x = Ax+uBx
is in its simplest form
1.8 From Continuous to Discrete 29
x(k; v) =
1
j=k
exp
_
_
A + v( j)B
_
_
x. (1.51)
It is exact for the piecewise constant control, and its error for the original
continuous control is easily estimated. As a discrete time control system
(1.51) is linear in the state but exponential in v. For more about (1.51) see
Proposition 5.3 on page 152 and Proposition 3.15 on page 120.
2. The simplest numerical method to implement for ordinary dierential
equations is Eulers discretization
x
N
(k + 1) = (I + (A + v
N
(k)B)x
N
(k). (1.52)
For > 0 u N : max
kN
[x
N
(k) X(k; u)[ < (1.53)
is a theorem, essentially the product integral method of Section 1.5.1.
Note that (1.52) is bilinear with drift term I + A. The spectrum of this
matrix need not lie in the unit disk even if A is a Hurwitz matrix. Better
approximations to (1.28) can be obtained by implicit methods.
3. With the same setup the midpoint method employs a midpoint state x de-
ned by x :=
1
2
(x +
+
x) and is given by an implicit relation
+
x = x +
2
A(v(k)) x; that is, x = x +
2
A(v(k)) x,
+
x = x +
2
A(v(k)) x.
Explicitly, x(k + 1) =
_
I +
2
A(v(k))
_ _
I
2
A(v(k))
_
1
x(k). (1.54)
The matrix inversion is often implemented by an iterative procedure; for
eciency use its value at time k as a starting value for the iteration at k+1.
The transition matrix in (1.54) is a Pad approximant to the exponential
matrix used in (1.51) and again is rational in u. If A is a Hurwitz matrix
then the spectrum of (I +
2
A)(I
2
A)
1
is contained in the unit disc. See
Example 1.15 for another virtue of this method. .
Example 1.15. Given that V(x) := x
_
a 1 0
0 a 1
0 0 a
_
_
then e
tA
=e
ta
(1 at +
a
2
t
2
2
)I + e
ta
(t at
2
)A + e
ta
t
2
2
A
2
; if
B =
_
a b
b a
_
, then e
tB
=e
ta
b cos(tb) a sin(tb)
b
I + e
ta
sin(tb)
b
B. .
Exercise 1.3. The product of exponentials of real matrices is not necessarily
the exponential of any real matrix. Show that there is no real solution Y to
the equation e
Y
= X for
X := e
_
0
0
_
e
_
1 0
0 1
_
=
_
e 0
0 e
1
_
.
Exercise 1.4. Prove the statements made in Remark 1.1. Reduce the problem
to the use of the series (1.6) for a single k k Jordan block for the imaginary
root :=
3
2
0
_
.
Its solution for initial value is X(t; u) where
X(t; u) =
_
e
t/2
cos(t) e
t
sin(t)
e
t/2
sin(t) e
t
cos(t)
_
. (1.55)
Show that the eigenvalues of the matrix A + u
1
B
1
+ u
2
B
2
are constant with
negative real parts, for all t, but the solutions X(t; u) grow without bound
for almost all . For similar examples and illuminating discussion see Josi c
& Rosenbaum [146]. .
1.9 Exercises 31
Exercise 1.6 (Kronecker products). First read Section A.3.2. Let = n
2
and
atten the nn matrix X (that means, list the := n
2
entries of X as a column
vector X
= col(x
1,1
, x
2,1
, . . . , x
n,n1
, x
n,n
) 1
= (I A)X
, X
(0) = I
A := I A
+ A
I.
The Lyapunov equation Ly
A
(Q) = I is now (A
A)Q
= I
; compare
(A.11). If the matrix A
A is nonsingular, Q
= (A
A)
1
I
. Show
that if A is upper [lower] triangular with spec(A) =
1
, . . . ,
n
, then A
A
is upper [lower] triangular (see Theorem A.2). Show that A
A is invertible
if and only if
i
+
j
0 for all i, j. When is
X = AX stable at X(t) = 0? .
Exercise 1.8. Discuss, using Appendix A.3, the stability properties on 1
nn
of
X = AX + XB, X(0) = Z supposing spec(A) and spec(B) are known.
(Obviously X(t) = exp(tA)Zexp(tB).) By TheoremA.2 there exist two unitary
matrices S, T such that A
1
:= S
BT is lower
triangular . Then
X = AX+XB can be premultiplied by S and postmultiplied
by T; letting Y = SXT, show that
Y = A
1
Y + YB
1
. The attened form of this
equation (on C
= (A
1
I + I B
1
)Y
. Show that z =
(A I
n
+ I
n
A)z, using (A.6). .
Exercise 1.10. If Ax = x and By = y then the n
2
1 vector x y is an eigen-
vector of A B with eigenvalue . However, if A and B share eigenvectors
then A B may have eigenvectors that are not such products. If A is a 2 2
matrix in Jordan canonical form, nd all the eigenvectors products and
otherwise of A A. .
Exercise 1.11. Given x = Ax +bu with A, b a controllable pair, let (z
1
, . . . , z
n
)
be new coordinates with respect to the basis A
n1
b, . . . , Ab, b. Show that in
these coordinates the system is z = Fz + gu with
F =
_
_
0 1 0 0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
0 0 0 1
a
0
a
1
a
3
a
n1
_
_
, g =
_
_
0
0
.
.
.
1
_
_
. .
32 1 Introduction
Exercise 1.12. Derive the Kalman condition (1.43) for controllability from
(1.42) with m = 1, B = b using the input u(t) = b
exp(tA
)c and = 0. Show
that a unique vector c exists for any if and only if (1.43) holds. .
Exercise 1.13. For the discrete-time linear control system on 1
n
+
x = Ax + ub, = 1, x(0) = ,
nd the formula for x(t) and show that the system is controllable if and only
if rank
_
b Ab . . . A
n1
b
_
= n. .
Exercise 1.14 (Stabilizationby feedback). If x = Ax+bu is controllable show
using (1.43) andExercise 1.11 that by an appropriate choice of c
in a feedback
control u = c
). .
Exercise 1.15. Show that the biane control system x
1
= 1 + ux
2
, x
2
= ux
1
is controllable on 1
2
with unbounded u /J. Hint: look at trajectories
consisting of a line segment and an arc of a circle. .
Exercise 1.16. There are many simple examples of uncontrollability in the
presence of constraints, such as x = x+u with = [ 1, 1]; nd the set (0)
attainable from 0. .
Exercise 1.17. Variable structure systems of the form x = F(u)x where F
is a polynomial in u are good models for some process control problems.
Example: Find the attainable set for
x
1
= ux
1
, x
2
= u
2
x
2
, x(0) =
_
1
0
_
, u() 1.
This can be regarded as a bilinear system with control (u, v) 1
2
where
:= (u, v)| v = u
2
. .
Chapter 2
Symmetric Systems: Lie Theory
2.1 Introduction
Among bilinear control systems, unconstrained symmetric systems have the
most complete theory. By default, controls are piecewise constant:
x =
m
i=1
u
i
B
i
x, x 1
n
, u /J, = 1
m
. (2.1)
Symmetric bilinear systems are invariant under time-reversal and scaling: if
on [0, T] we replace t with t and u(t) with u(T t) then as a control system
(2.1) is not changed; and for any c > 0 the replacement of t with t/c and u
with cu leaves (2.1) unchanged.
Assume always that the matrices in the set B
m
:= B
1
, . . . , B
m
are linearly
independent. The matrix control system in 1
nn
corresponding to (2.1) is
X =
m
i=1
u
i
B
i
X, u /J, X(0) = I. (2.2)
The set of of transition matrices for (2.2) was shown to be a group in
Proposition 1.7. It will be shown to be a Lie group
1
G in Section 2.3. First it
will be necessary (Section 2.2) to introduce Lie algebras and dene the matrix
Lie algebra g associated with (2.2); their relationship, briey, is that exp(g)
generates G.
Matrix Lie groups make possible a geometric treatment of bilinear sys-
tems, which will be developed along the following lines. Instead of looking
at the individual trajectories of (2.1) one may look holistically at the action
1
Lie groups and Lie algebras are named for their progenitor, Sophus Lie (Norwegian,
18421899; pronounced Lee). The graduate text of Varadarajan [282] is recommended.
An often-cited proof that is a Lie group was given by Jurdjevic & Sussmann [151, Th.
5.1].
33
34 2 Symmetric Systems: Lie Theory
(Denition B.10) of G on 1
n
is the usual
object on which we consider controllability.
A benet of using group theory and some elementary algebraic geometry
in Section 2.5 is that the attainable sets for (2.1) can be found by algebraic
computations. This eort alsoprovides necessaryalgebraic conditions for the
controllability of bilinear systems with drift, discussed in the next chapter.
Contents of This Chapter
Please refer to the basic denitions and theorems concerning Lie algebras
given in Appendix B. Section 2.2 introduces matrix Lie algebras and the
way the set B
m
of control matrices generates g. In particular, Section 2.2.3
contains Theorem 2.1 (CampbellBakerHausdor). Section 2.2.4 provides
an algorithm LieTree that produces a basis for g.
After the introduction to matrix Lie groups
2
in Section 2.3, in Section 2.4
their orbits on 1
n
are studied. The Lie algebra rank condition dened in Section
2.4.2 is necessary and sucient for transitivity; examples are explored. Sec-
tion 2.5 introduces computational algebraic geometry methods (see Sections
C.2C.2.1) that lead in Section 2.5.2 to a payonew algebraic tests that can
be used to nd orbits of G on 1
n
_
0
1
_
, 0 t < ;
1
_
1
0
_
, t < 2;
1
_
0
1
_
, 2 t < 3;
1
_
0
1
_
, 3 t 4.
Using this input u we obtain the transition-matrix
X(4; u) = e
A
e
B
e
A
e
B
.
Using the rst few terms of the Taylor series for the matrix exponential in
each of these four factors,
X(4; u) = I + [A, B] +
3/2
2
([A, [A, B]] + [B, [A, B]]) +
2
R; (2.3)
[A, B] = lim
0
1
(e
A
e
B
e
A
e
B
I) =
X(0; u).
For more about the remainder R in (2.3) see Exercise (2.1). .
Equipped with the Lie bracket [A, B] := AB BA as its multiplication the
linear space 1
nn
is a non-associative algebra denoted by gl(n, 1). It is easily
checked that it satises Jacobis axioms: for all A, B, C in gl(n, 1) and , in 1
linearity: [A, B + C] = [A, B] + [A, C], , 1; (Jac.1)
antisymmetry: [A, B] + [B, A] = 0; (Jac.2)
Jacobi identity: [A, [B, C]] + [B, [C, A]] + [C, [A, B]] = 0. (Jac.3)
Therefore gl(n, 1) is a Lie algebra as dened in Section B.1; please see that
Section at this point. Lie algebras are denoted by letters c, d, e, f, g, . . . fromthe
fraktur font, often chosen to reect their denitions. Thus gl(n, 1) is a general
linear Lie algebra. Lie algebra theory is a mathematically deep subject see
Jacobson[143] or Varadarajan[282] for evidence towardthat statement but
the parts needed for an introduction to bilinear systems are easy to follow.
Denition 2.1. A matrix Lie algebra is a Lie subalgebra g gl(n, 1). .
Example 2.2. The standard basis for gl(n, 1) is the set of elementary matri-
ces: an elementary matrix 1
(i, j)
has 1 in the (i, j) position and 0 elsewhere.
36 2 Symmetric Systems: Lie Theory
Since 1
(i, j)
1
(k,l)
=
( j,k)
1
(i,l)
, the Lie bracket multiplication table for gl(n, 1) is
[1
(i, j)
, 1
(k,l)
] =
j,k
1
(i,l)
l,i
1
(k, j)
. .
2.2.1 Conjugacy and Isomorphism
Given a a nonsingular matrix P 1
nn
a linear coordinate transformation is a
one-to-one linear mapping x = Py on 1
n
; it takes x = Ax into y = P
1
APy. It
satises
[P
1
AP, P
1
BP] = P
1
[A, B]P
so it takes a matrix Lie algebra g to an isomorphic
3
matrix Lie algebra h
related by Pg = hP; g, h are called conjugate Lie algebras. Given real g there
are oftenreasons (the use of canonical forms) toemploya complex coordinate
transformation P. The resulting space of complex matrices h is still a real Lie
algebra; it is closed under 1-linear operations but not C-linear.
Another example of a Lie algebra isomorphismrelates a matrix Lie algebra
g gl(n, 1) witha Lie algebra of linear vector elds g (1
n
) (SectionB.3.1).
With A, B 1
nn
let
a := (Ax)
x
, b := (Bx)
x
, then
A = a, B = b, [A, B] = ba ab = [a, b] (2.4)
using the Lie bracket for vector elds dened in Section B.3.5 The matrix
Lie algebra g and vector eld Lie algebra g are isomorphic; in particular,
A, B
[
= a, b
[
.
2.2.2 Some Useful Lie subalgebras
If a set of matrices L has the property that the Lie bracket of any two of its
elements belongs to span
1
(L), then L will be called real-involutive.
4
If real-
involutive L is a linear space it is, of course, a Lie algebra.
The linear space of all those real matrices whose trace is zero is real-
involutive, so it is a matrix Lie algebra: sl(n, 1), the special linear algebra. For
this example andmore see Table 2.1. It gives six linear properties that a matrix
may have, each preserved under Lie bracketing and linear combination, and
the maximal Lie subalgebra of gl(n, 1) with each property.
3
See Section B.1.3 on page 228.
4
A caveat about involutive: a family J of smooth vector elds is called involutive if given
any f, g J, [f, g] belongs to the span of J over the ring of smooth functions.
2.2 Lie Algebras 37
(a) x
i, j
= 0, i j, d(n, 1), = n;
(b) X
Q+ QY = 0 where Q = PP
> 0.
However, suppose Q = Q
Q+ QX = 0, Q
= Q
_
; so(p, q) = so(q, p). (2.5)
An example (used in relativistic physics) is the Lorentz algebra so(3, 1)
gl(4, 1), for which Q = diag(1, 1, 1, 1).
Remark 2.1. Any real abstract Lie algebra has at least one faithful represen-
tation as a matrix Lie algebra on some 1
n
. (See Section B.1.5 and Ados
Theorem B.2.) Sometimes dierent (nonconjugate) faithful representations
can be found on the same 1
n
; for some examples of this see Section 2.6.1. .
Exercise 2.1. The remainder R in (2.3) need not belong to A, B
[
. For a coun-
terexample, use the elementary matrices A = 1
(1,2)
and B = 1
(2,1)
, which
generate sl(2, 1), in (2.3); show tr R = t
4
. .
2.2.3 The Adjoint Operator
For any matrix A g the operation ad
A
(X) := [A, X] on X g is called the
adjoint action of A. Its powers are dened by
ad
0
A
(X) = X, ad
1
A
(X) = [A, X]; ad
k
A
(X) = [A, ad
k1
A
(X)], k > 0.
Note the linearity in both arguments: for all , 1
38 2 Symmetric Systems: Lie Theory
ad
A
(X + Y) = ad
A
(X) + ad
A
(Y) = ad
A+B
(X). (2.6)
Here are some applications of ad
X
:
(i) The set of matrices that commute with matrix B is a Lie algebra,
ker(ad
B
) := X gl(n, 1)| ad
B
(X) = 0;
(ii) for the adjoint representation ad
g
of a Lie algebra g on itself see Section
B.1.8.
(iii) the Lie algebra c := X gl(n, 1)| ad
g
(X) = 0, the kernel of ad
g
in g, is
called the center of g.
As well as its uses in Lie algebra, ad
A
has uses in matrix analysis. Given
any A 1
nn
, the mapping ad
A
(X) = [A, X] is dened for all X 1
nn
. If as
in Sections A.3 and 1.9 we map a matrix X 1
nn
to a vector X
, where
:= n
2
, the mapping induces a representation of the operator ad
A
on 1
A
:= I
n
A A
I
n
; ad
A
X
= [A, X]
.
The dimension of the nullspace of ad
A
on 1
nn
is called the nullity of ad
A
and
is written null(ad
A
); it equals the dimension of the nullspace of ad
A
acting on
1
.
Proposition 2.1. Given that spec(A) =
1
, . . . ,
n
,
(i) spec(ad
A
) =
i
j
: i, j 1 . . n.
(ii) n null(ad
A
) .
Proof. Over C, to each eigenvalue
i
corresponds a unit vector x
i
such that
Ax
i
=
i
x
i
. Then ad
A
x
i
x
j
= (
i
j
)x
i
x
j
X = AX XA, X(0) = B, t 0
is known to have a unique solution of the form
X(t) = e
tA
Be
tA
; as a formal power series
X(t) = e
t ad
A
(B) := B + t[A, B] +
t
2
2
[A, [A, B]] + . . . (2.9)
in which every term belongs to the Lie algebra A, B
[
g. The series (2.9) is
majorized by the Taylor series for exp(2t[A[) [B[; therefore it is convergent
in 1
nn
, hence in g. Since all this is true for all B g, exp(t ad
A
)g = g.
5
||
Example 2.3. The following way of using the pullback formula
6
is typical. For
i 1 . . Let
Q
i
:= exp(B
i
); Ad
Q
i
(Y) := exp(B
i
)Yexp(B
i
). Let
F(v) = e
v
1
B
1
e
v
2
B
2
e
v
; then at v = 0
F
v
1
= B
1
F,
F
v
2
= Ad
Q
1
(B
2
)F,
F
v
3
= Ad
Q
1
(Ad
Q
2
(B
3
))F, . . .
F
v
= Ad
Q
1
(Ad
Q
2
(Ad
Q
3
(Ad
Q
1
(B
)) ))F. .
Theorem 2.1 (Campbell-Baker-Hausdor). If [X[ and [Y[ are suciently
small then e
X
e
Y
= e
(X,Y)
where the matrix (X, Y) is an element of the Lie algebra
g = X, Y
[
given by the power series
(X, Y) := X + Y +
[X, Y]
2
+
[[X, Y], Y] + [[Y, X], X]
12
+ . . . , (2.10)
which converges if [X[ + [Y[ <
log(2)
, where
= inf
A,Bg
> 0| [ [A, B] [ [A[ [B[. (2.11)
There exists a ball B
K
of radius K > 0 such that if X, Y N
K
then
[(X, Y) X Y[ [X[[Y[ and [(X, Y)[ 2K + K
2
. (2.12)
5
By the Cayley-Hamilton Theorem exp(t ad
A
) is a polynomial in ad
A
of degree at most
n
2
; for more see Altani [6].
6
The pullback formula (2.8) is often, mistakenly, called the Campbell-Baker-Hausdor
formula (2.10).
40 2 Symmetric Systems: Lie Theory
Discussion*
The Campbell-Baker-Hausdor Theorem, which expresses log(XY) as a Lie
series in log(X) and log(Y) when both X and Y are near I, is proved in Jacob-
son [143, V.5], Hochschild [129], and Varadarajan [282, Sec. 2.15]. A typical
proof of (2.10) starts with the existence of log(e
X
e
Y
) as a formal power series
in noncommuting variables, establishes that the terms are Lie monomials
(Sections B.1.6, 2.2.4) and obtains the estimates necessary to establish con-
vergence for a large class of Lie algebras (Dynkin algebras) that includes all
nite dimensional Lie algebras. For (2.11) see [282, Problem 45] or [129, Sec.
X.3]; can be found from the structure tensor
i
j,k
(Section B.1.7) and there
are bases for g for which = 1. The bound on in (2.12) is quoted from
Hilgert & Hofmann & Lawson [127, A.1.4].
If the CBH function dened on g by (2.10), e
X
e
Y
= e
(X,Y)
, is restricted
to neighborhoods U of 0 in g (U suciently small, symmetric, and star-
shaped) locally denes a product X Y = (X, Y) g. With respect to U
the multiplication , with = 0, is real-analytic and denes a local Lie group
of matrices. This construction is in Duistermaat & Kolk [77] and is used in
Hilgert & Hofmann & Lawson [127] to build a local Lie semigroup theory.
2.2.4 Generating a Lie Algebra
To each real m-input bilinear system corresponds a generated matrix Lie
algebra. The matrices in the list B
m
, assumed to be linearly independent,
will be called the generators of this Lie algebra g := B
m
[
, the smallest real-
involutive linear subspace of gl(n, 1) containing B
m
. It has dimension .
The purpose of this section is to motivate and provide an eective algorithm
(LieTree) that will generate a basis B
= B
1
, . . . , B
m
, . . . , B
.
If P
1
B
m
P =
B
m
then B
m
[
and
B
m
[
are conjugate Lie algebras; also, two
conjugate Lie algebras can be given conjugate bases. The important qual-
itative properties of bilinear systems are independent of linear coordinate
changes but depend heavily on which brackets are of lowest degree. Obtain-
ing control directions corresponding to brackets of high order is costly, as
(2.3) suggests.
Specializing to the case m = 2 (the case m > 2 requires few changes)
and paraphrasing some material from Section B.1.6 will help to understand
LieTree. Dene L
2
as the Lie ring over Z generated by two indeterminates
, equipped with the Lie bracket; if p, q L
2
then [p, q] := pq qp L
2
. L
2
is called the free Lie algebra on two generators. A Lie monomial p is a formal
expression obtained from, by repeated bracketing only; the degree deg(p)
is the number of factors in p, for example
2.2 Lie Algebras 41
, , [, ], [, [, ]], [[, ], [, [, [, ]]]],
with respective degrees 1, 1, 2, 3, 6, are Lie monomials.
A Lie monomial p is called left normalized if either (i) p , or (ii)
p = [, q] where , and Lie monomial q is left normalized.
7
Thus if
deg(p) = N, there exist , and non-negative indices j
i
such that
p = ad
j
1
ad
j
2
. . . ad
j
k
(),
k
i=1
j
i
= N.
It is convenient to organize the left normalized Lie monomials into a list
of lists T = T
1
, T
2
, . . . in which T
d
contains monomials of degree d. It is
illuminatingto dene Tinductivelyas a dyadic tree: level T
d
is obtainedfrom
T
d1
by ad
and ad
:= T
1
T
2
= , , [, ], [, [, ]], [, [, ]], . . . .
As a consequence of Jac.3 there are even more dependencies, for instance
[, [, [, ]]] + [, [, [, ]]] = 0. The Lie bracket of two elements of T
is
not necessarily left normalized, so it may not be in T
) :=
_ k
j=1
i
j
p
j
i
j
Z, k I, p
j
T
_
.
Proposition 2.3. If p, q Z(T
). Furthermore, Z(T
) = L
2
.
Proof. The rst statement follows easily from the special case p T
. The
proof of that case is by induction on deg(p), for arbitrary q Z(T
).
I If deg(p) = 1 then p = , ; so [, q] [, Z(T
)] = Z(T
).
II Induction hypothesis: if deg(p) = k then [p
k
, q] Z(T
).
Induce: let deg(p) = k+1, then p T
k+1
. By (2.13) (the denition of T
k+1
) there
exists some , and some monomial c
k
T
k
such that p = [, c
k
]. By
Jac.3 [q, p] = [q, [, c
k
]] = [, [c
k
, q]] [c
k
, [, q]]. Here [c
k
, q] Z(T
) by (II),
7
Left normalized Lie monomials appear in the linearization theorem of Krener [164, Th.
1].
42 2 Symmetric Systems: Lie Theory
so [, [c
k
, q]] Z(T
), by (II) [c
k
, [, q]] Z(T
).
Therefore [p, q] Z(T
).
From the denition of Z(T
), showing equality. ||
We are given two matrices A, B 1
nn
; they generate a real Lie algebra
A, B
[
. There exists a well denedmappingh : L
2
1
nn
suchthat h() = A,
h() = B and Lie brackets are preserved (h is a Lie ring homomorphism). The
image of h in 1
nn
is h(L
2
) A, B
[
. We can dene the tree of matrices
h(T) := h(T
1
), h(T
2
), . . . and the corresponding list of matrices h(T
) =
A, B, [B, A], . . . . The serial order of the matrices in h(T
) = X
1
, X
2
, . . . lifts
to a total order on h(T).
Call a matrix X
k
in h(T) past-dependent if it is linearly dependent on
X
1
, . . . , X
k1
. In the tree h(T) the descendants of past-dependent matri-
ces are past-dependent. Construct from h(T) a second tree of matrices
h(
T) = h(
T
1
), . . . that preserves degree (as an image of a monomial) but
has been pruned by removing all the past-dependent matrices.
Proposition 2.4. h(T) can have no more than levels. As a set, h(
T) is linearly
independent and is a basis for A, B
[
= span
1
h(
T).
Proof. The real span of h(
T) is span
1
h(Z(T
)) = span
1
h(L
2
); by Proposi-
tion 2.3 this space is real-involutive. Recall that A, B
[
is the smallest real-
involutive 1-linear space that contains A and B. ||
Algorithms that givenB
m
will compute a basis for B
m
[
have beensuggested
in Boothby & Wilson [32] and Isidori [141, Lemma 2.4.1]; here Proposition
2.4 provides a proof for the LieTree algorithm implemented in Table 2.2.
That algorithm can now be explained.
LieTree accepts m generators as input and outputs the list of matrices
Basis, which is also available as a tree T. These matrices correspond to left
normalized Lie monomials from the m-adic tree T.
8
Initially tree[1], . . . ,
tree[n
2
] and Basis itself are empty.
If the input list gen of LieTree is linearly dependent the algorithm stops
with an error statement; otherwise gen is appended to Basis and also as-
signed to tree[1]. At level i the innermost (j, k) loop computes com, the Lie
bracket of the jth generator with the kth matrix in level i; trial is the concate-
nation of Basis and com. If com is past-dependent (Dim[trial]=Dim[Basis])
it is rejected; otherwise com is appended to Basis. If level i is empty the
algorithm terminates. That it produces a basis for g follows from the general
case of Proposition 2.4.
8
Unlike general Lie algebras (nonlinear vector elds, etc.) the bases for matrix Lie algebras
are smaller than Philip Hall bases.
2.2 Lie Algebras 43
Rank::Usage="Rank[M]; matrix M(x); output is generic rank."
Rank[M_]:= Length[M[[1]]]-Dimensions[NullSpace[M]][[1]];
Dim::Usage="Dim[L]; L is a list of n by n matrices. n
Result: dimension of span(L). "
Dim[L_]:=Rank[Table[Flatten[L[[i]]],{i,Length[L]}]];
LieTree::Usage="LieTree[gen,n]; n
gen=list of n x n matrices; output=basis of n
the Lie algebra generated by gen."
LieTree[gen_, n_]:= Module[{db,G, i,j,k, newLevel,newdb,lt,
L={},nu=n
2,tree,T,m=Length[gen],r=Dim[gen]},
Basis=gen; If[r<m,Return["Dependent list"]];
LieWord=""; T=Array[tree, nu]; tree[1]=gen;
For[i=2, i<nu-1, i++,{L=tree[i-1];Lm=Length[L];
db=Dim[Basis]; newLevel={};
For[j=1,j<m+1,j++,{For[k=1,k<Lm+1,k++,
{G=gen[[k]];com=G.L[[j]]-L[[j]].G;
trial= Append[Basis, com]; newdb= Dim[trial];
If[newdb >db, {newLevel=Append[newLevel,com];
Basis=Append[Basis, com];
LieWord=StringJoin[LieWord,ToString[{i,j,k}]];
db= newdb;};];};];};];
tree[i]=newLevel; lt=Length[newLevel];
If[lt <1, Break[], r =lt]};]; Basis];
Table 2.2 Script TreeComp. LieTree produces a Basis for B
m
[
from gen:= B
m
.
The function Dim nds the dimensions of (the span of) a list of matrices
B
1
, . . . , B
l
by attening the matrices to vectors of dimension (see Section
A.3) and nding the rank of the l matrix
_
B
1
B
l
_
.
The global variable LieWord encodes in a recursive way the left nor-
malized Lie monomials represented in the output list. The triple i, j, k
indicates that an accepted item in level T
i
of Basis is the bracket of
the kth generator with the jth element of level T
i1
. Thus if T
1
= A, B
the LieWord {2,1,2}{3,1,1}{3,1,2} means T
2
= [B, A] and T
3
=
[A, [B, A]], [B, [B, A]]. This encoding is used in Section 2.11.
Remark 2.2 (Mathematica usage). The LieTree algorithm is provided by the
script in Table 2.2. Copy it into a text le TreeComp in your working
directory; to use it begin your own Mathematica notebook with the line
TreeComp;
For any symbolic (as distinguished from numerical or graphical) compu-
tation the entries of a real matrix must be in the eld Q(ratios of integers, not
decimal fractions!) or an algebraic extension of it by algebraic numbers. For
instance, if the eld is Q(
1
nn
: b b
is B := Transpose[Partition[b,n]]. .
2.3 Lie Groups
A Lie group is a group and at the same time a manifold on which the group
operation and inverse are real-analytic, as described in Appendix B, Sections
B.4B.5.3. After the basic information in Section 2.3.1 and some preparation
in Section 2.3.2, Section 2.3.3 attempts to make it plausible that the transition
group G = (B
1
, . . . , B
m
) of (2.1) can be given a real-analytic atlas and is
indeeda Lie group. The main result of Section 2.3.4 shows that every element
of Gis the product of exponentials of the mgenerators. Section 2.3.5 concerns
conditions under which a subgroup of a matrix Lie group is a Lie subgroup.
Example 2.4 (Some Lie groups).
1. The linear space 1
n
with composition (x, y) x + y (obviously real-
analytic) and identity element = 0 is an Abelian Lie group. The constant
vector elds x = a are both right-invariant and left-invariant on 1
n
(see page
242).
2. The torus groups T
n
= 1
n
/Z
n
look like 1
n
locally but require sev-
eral overlapping coordinate
9
charts; for instance T
1
= U
1
_
U
2
where
U
1
= | < 2/3, U
2
= | 1 < 2/3.
3. The non-zero complex numbers C
) :=
_
_
a
1
a
2
a
2
a
1
_
, a 1
2
_
; (C) :=
_
_
a
1
a
2
a
2
a
1
_
, a 1
2
_
. (2.14)
2.3.1 Matrix Lie Groups
The set GL(n, 1) of invertible real matrices X = x
i, j
is an open subset of
the linear space 1
nn
; it inherits the topology and metric of 1
nn
, and is a
groupunder matrix multiplication with identity = I. The entries x
i, j
are real-
analytic functions on GL(n, 1); the group operation, matrix multiplication, is
polynomial in the entries and matrix inversion is rational, so both operations
are real-analytic. We conclude that GL(n, 1) meets the denition of a Lie
group. It has two components separated by the set of singular matrices
(n)
.
9
See Denition B.2 on page 234.
2.3 Lie Groups 45
The connected component of GL(n, 1) containing I is a normal subgroup,
denoted by GL
+
(n, 1) because the determinants of its elements are positive.
Remark 2.3. The vector eld a on GL
+
(n, 1) corresponding to
X = AXis right-
invariant on GL
+
(n, 1) (see page 242). That follows from the fact that any
S GL
+
(n, 1) denes for each t a right translation Y(t) = R
S
(X(t)) := X(t)S; it
satises
Y(t) = AY(t).
There are other useful types of vector eld on GL(n, 1), still linear, such
as those given by
X = A
X+XA or
X = AXXA; these are neither right- nor
left-invariant. .
Denition 2.2 (Matrix Lie group). If a matrix group G is a Lie subgroup of
GL
+
(n, 1) (simultaneously a submanifold and a subgroup, see Section B.5.3)
then G will be called a matrix Lie group (A matrix Lie group is connected;
being a manifold, it can be covered by coordinate charts; see Section B.3.1).
.
As an alternative to Denition B.13 (page 242) the Lie algebra of G
GL
+
(n, 1) can be dened
10
as
g := X 1
nn
| exptX G for all t 1.
For example, Z| exp(tZ) GL
+
(n, 1) = gl(n, 1). As Lie algebras, [(G) and
g are isomorphic: a = x
with an input u
i
to obtain the completed systems
X =
i=1
u
i
B
i
X, X(0) = I, (2.15)
x =
i=1
u
i
B
i
x, x(0) = . (2.16)
Now our set of control matrices B
is real-involutive, so span(B
) is a Lie
algebra.
10
If G is a complex Lie group then (Varadarajan [282, Th. 2.10.3(2)]) its Lie algebra is
g := X| exp(sX) G, s C.
46 2 Symmetric Systems: Lie Theory
If spanB
1
=
1
, . . . ,
k
=
k
are dense in T
k
= 1
k
/Z
k
.
Example 2.5. A dynamical system of two uncoupled simple harmonic oscil-
lators (think of two clocks with dierent rates) has the dynamics
x = Fx, where F =
_
J 0
2,2
0
2,2
J
_
1
44
;
whose solutions for t 1 are actions on 1
4
of the Lie group
G := e
1F
T
2
GL
+
(4, 1);
G =
_
_
_
_
cos(t) sin(t) 0 0
sin(t) cos(t) 0 0
0 0 cos(t) sin(t)
0 0 sin(t) cos(t)
_
_
, t 1
_
_
.
If Q, then G is a closed subgroup whose orbit is a closed curve on the
2-torus T
2
. If is irrational, G winds around the torus innitely many times;
in that case, giving it the intrinsic topology of 1, Gis a real-analytic manifold
immersed in the torus. Note that it is the limit of the compact submanifolds
e
tF
| t T. However, the closure of G is T
2
; G is dense and the integral
11
Hall [115] (for closed Lie subgroups) and Hilgert & HomanLawson [127] (for Lie
semigroups) have used the CBH formula as the starting point to establish manifold struc-
ture. For a good exposition of this approach to matrix Lie groups (not necessarily closed)
see Rossmans book [225].
2.3 Lie Groups 47
curve e
tF
comes as close as you like to each p T
2
. (Our two clocks, both
started at midnight on Day 0, will never again exactly agree.) .
Inthe next sectionit will be useful to assume that the basis for g = span(B
)
is orthonormal with respect to the inner product and Frobenius norm on
gl(n, 1) given respectively by
(X, Y) = tr(X
Y), [X[
2
2
= (X, X).
Using the Gram-Schmidt method we can choose real linear combinations of
the original B
i
to obtainsucha basis andrelabel it as B
1
, . . . , B
with(B
i
, B
j
) =
i, j
. Complete this basis, again with Gram-Schmidt, to an orthonormal basis
for gl(n, 1), B
1
, . . . , B
, B
+1
, . . . , B
k=1
X
k
Y
k
. .
2.3.3 To Make a Manifold
To show that G := (B
).
Proof (Sketch).
The attainable sets
T
(I), T > 0 for (2.2) will serve as a neighborhood
base for as a topological group; see Section B.4.1. Using our orthonormal
basis, the matrices Z(u) =
1
u
i
B
i
will satisfy
u
i
= (Z(u), B
i
), 1 i .
The map Z exp(Z) := I + Z + is real-analytic; therefore so is u
exp(Z(u)) G. Let
12
See Varadarajan [282, Th. 2.5.2].
48 2 Symmetric Systems: Lie Theory
J
i
(u) :=
e
Z(u)
u
i
; since (J
i
(0), B
j
) =
i, j
, 1 i, j ,
the exponential map on g has rank near u = 0. For any > 0 let
U
:=
_
u|
1
u
2
i
<
2
_
, Z(U
) := Z(u)| u U
g;
If u U
, by orthonormality [Z(u)[
2
< . Let V
:= exp(Z(U
by
u
i
= (B
i
, log(Q)) (2.17)
using the series (1.13) for log(Q), convergent in the ball Q| [QI[ < 1. The
coordinate functions u : V
(u
1
, . . . , u
)
and thus X(t) V
i
. Letting T , one
sees that the same is true of the topological group G. Dene the coordinates
in each of the translated neighborhoods V
j
by translating the basic chart:
each point Q V
j
has local coordinates
u(Q) =
_
(B
i
, log(Q
1
j
)), i 1 . .
_
.
To obtain the required C
:= V
1
, V
:= V
2
in G
with intersection V
coordinate change on V
.
To build the chart on V
such that
2
= e
Y
1
and right-translate V
with
2
. Since the charts overlap, there
13
See Helgason [120] and an often-cited work of Magnus [195], which made extensive
use of canonical coordinates of the rst kind in computational physics.
2.3 Lie Groups 49
V"
G
I
.
0
.
. .
.
R
u(R)
u
u
V
V
Fig. 2.1 Coordinate charts on G.
exists R V
as in Figure 2.1.
There exist in U
matrices W
:= log(R
1
1
) and W
:= log(R
1
2
). In V
,
V
i
(R) = (W
, B
i
) and u
i
(R) = (W
, B
i
).
That is, with respect to the given basis, W
and W
= log(R
1
2
) = log(e
W
1
2
)
= log(e
W
e
Y
) = (W
, Y), so
u
i
(R) = (B
i
, (W
, Y)). (2.18)
W
= log(R
1
1
) = log(e
W
1
1
)
= log(e
W
e
Y
) = (W
, Y), so
u
i
= (B
i
, (W
, Y)). (2.19)
These relations, as the compositions of real-analytic mappings, are real-
analytic. In (2.18)(2.19) remember that u 1
corresponds to W g.
Since matrix multiplication is real-analytic, this local chart extends to a
real-analytic immersion G GL
+
(n, 1). Suppose that G intersects itself at
some point S. By the denition of G, there are some matrices Y
1
, . . . , Y
j
g,
Z
1
, . . . , Z
k
g such that the two transition matrices
F := exp(Y
k
) exp(Y
2
) exp(Y
1
), F
:= exp(Z
k
) exp(Z
2
) exp(Z
1
)
50 2 Symmetric Systems: Lie Theory
satisfy F = S and F
= S. F and F
U are neighborhoods of
Q in G, and each takes g to itself, preserving orientation. By the uniqueness
of the trajectories on GL
+
(n, 1) of
X = AX, A g, X(0) = S, we see that
there is a neighborhood of I in FU F
u 1
;
provided that is suciently small the set
S
, [E[ <
constructed at I GL
+
(n, 1) can be assigned the coordinates obtained
by
u
j
= (Z(u), B
i
), < i .
S
is transverse to V
, and S
is C
-dieomorphic to a box in 1
.
(It would be nice to say something like this for any right translation of S
by an element Q G, S
Q V
G it must be of
the form
X = BX for some B g, which shows the desired correspondence
[(G) = g. ||
Remark 2.4. The method used here shows that the class of piecewise constant
controls /J is suciently large to give as transition matrices all the matrices
in G. Nothing new would be obtained by using [J (locally integrable)
controls. .
Another way of charting G uses the fact that the map
(u
1
, u
2
, . . . , u
) e
u
e
u
2
B
2
e
u
1
B
1
G (2.20)
has rank at u = 0 and is real-analytic. Its inverse provides canonical co-
ordinates of the second kind in V
. As before, let (B
m
) denote the
2.3 Lie Groups 51
group of transition matrices of (2.2). Proposition 2.6 says that G := (B
) is
the Lie subgroup of GL
+
(n, 1) corresponding to our Lie algebra g. Here we
show in detail how (2.2) gives rise to the same Lie group G as its completion
(2.15); B
m
generates the -dimensional Lie algebra g and the exponentials
exp(tB
i
) generate the Lie group G.
Proposition 2.7. (B
m
) = (B
) = G.
Proof. The relation (B
m
) (B
X the value B
i
for t
1
seconds, then B
j
for s seconds, then B
i
for t
1
seconds. If
H
1
is real-involutive we are nished. Otherwise continue; there are several
possibilities of pairs in H
1
whose bracket might be new, but one will suce.
Suppose B
k
, C
1
H
1
with [B
k
, C
1
] H
1
. Then there exist values of t
2
such that
C
2
:=e
t
2
B
k
C
1
e
t
2
B
k
H
1
;
e
sC
2
=e
t
2
B
k
e
sC
1
e
t
2
B
k
= e
t
2
B
k
e
t
1
B
i
e
sB
j
e
t
1
B
i
e
t
2
B
k
(2.21)
=e
t
2
ad
B
k
(e
t
1
ad
B
j
(e
sB
j
)).
Repeat the above process using exp(tB
i
) operations until we exhaust all the
possibilities for new Lie brackets C
i
in at most m steps. (Along the way
we obtain a basis B
1
, . . . , B
m
, C
1
, . . . for g that depends on our choices; but
any two such bases are conjugate.)
From (2.20) each Q G is the product of a nite number of exponentials
exp(tB
i
) of matrices in B
j
u
i
j
(
j
)B
i
j
_
, i
j
1, . . . m,
j
> 0, u
i
j
(
j
) 1, 1.
||
52 2 Symmetric Systems: Lie Theory
Corollary 2.1. Using unrestricted controls in the function space [J, (2.1) gener-
ates the same Lie group (B
m
) = G that has been obtained in Proposition 2.7 (in
which u /J and u
i
(t) = 1, i 1 . . m).
Proposition 2.7 is a bilinear version, rst given in an unpublished report
Elliott & Tarn [85], of a theorem of W. L. Chow [59] (also Sussmann [259])
fundamental to control theory. Also see Corollary 2.2 below. It should be em-
phasized (a) that Proposition 2.7 makes the controllability of (2.1) equivalent
to the controllability of (2.16); and (b) that although (B
m
) and G = (B
)
are the same as groups, they are generated dierently and the control sys-
tems that give rise to them are dierent in important ways. That will be
relevant in Section 6.4.
Let Y(t; u) be a solution of the m-input matrix control system
Y =
m
i=1
u
i
B
i
Y, Y(0) = I, := 1
m
. (2.22)
Consider a completion (orthonormal) of this system but with constrained
controls
X =
i=1
u
i
B
i
X, X(0) = I, u [J, [u(t)[ 1. (2.23)
We have seen that the system (2.22) with m unconstrained controls can ap-
proximate the missing Lie brackets B
m+1
, . . . , B
QX = Q.
14
For Theorem 2.2 see the statement and proof in Hochschild [129, XVI, Proposition 2.4]
instead.
15
In the language of Appendix C, an algebraic group is an ane variety in 1
nn
.
54 2 Symmetric Systems: Lie Theory
Property p : G
p
GL
+
(n, 1) :
(a) x
i, j
= 0, i j, D
+
(n, 1)
(b) X
X = I SO(n)
(c) x
i, j
=
i, j
for i j N(n, 1)
(d) x
i, j
= 0 for i < j T
u
(n, 1)
(e) det(X) = 1 SL(n, 1)
( f ) XH = H Fix(H)
Table 2.3 Some well-known closed subgroups of GL
+
(n, 1); compare Table 2.1. H is a
given matrix, rankH n.
2.4 Orbits, Transitivity, and Lie Rank
Proposition 2.7 implies that the attainable set through a given 1
n
for
either (2.1) or (2.16) is the orbit G. (See Example 2.12.) Once the Lie algebra
g generated by B
m
has been identied, the group G of transition matrices is
known in principle as a Lie subgroup, not necessarily closed, of GL
+
(n, 1).
The theory of controllability of symmetric bilinear systems is thus the study
of the orbits of Gon 1
n
, which will be the chief topic of the rest of this chapter
and lead to algebraic criteria for transitivity on 1
n
?
Question 2.2. If G is not transitive on 1
n
, what information can be obtained about
its orbits?
Question 2.2 will be examined beginning with Section 2.7. In textbook
treatments of Lie theory one is customarily presented with some named and
well-studied Lie algebra (such as those in Table 2.1) but in control problems
we must work with whatever generating matrices are given.
Question 2.1 was answered in part by Boothby [29] and Boothby &Wilson
[32], and completed recently by Kramer [162]. Appendix D lists all the Lie
algebras whose corresponding subgroups of GL
+
(n, 1) act transitively on1
n
.
The Lie algebra g corresponding to such a transitive group is called a transitive
Lie algebra; it is itself a transitive set, because gx = 1
n
for all non-zero x, so
the word transitive has additional force. We will supply some algorithms
in Section 2.5.2 that, for low dimensions, nd the orbits of a given symmetric
system and check it for transitivity.
2.4 Orbits, Transitivity, and Lie Rank 55
Example 2.6. For k = 1, 2 and 4, among the Lie groups transitive on 1
k
is the
group of invertible elements of a normed division algebra.
16
A normed division algebra D is a linear space over the reals such that there
exists
(i) a multiplication D D D: (a, b) ab, bilinear over 1;
(ii) a unit 1 such that for each a D 1a = a1 = a;
(iii) a norm[ [ such that [1[ = 1 and [ab[ = [a[ [b[,
(iv) and, for each non-zero element a, elements r, l D such that la = 1 and
ar = 1. Multiplication need not necessarily be commutative or associative.
It is known that the only normed division algebras D
d
(where d is the
dimension over 1) are D
1
= 1; D
2
= C; D
4
= 1, the quaternions (noncom-
mutative); and D
8
= O, the octonions (noncommutative and nonassociative
multiplication). If ab 0 the equation xa = b can be solved for x 0, so the
subset D
k
:= D
k
0 acts transitively on itself; the identications D
k
= 1
k
on 1
k
. D
k
is a mani-
fold with C
is a topological group; it
therefore is a Lie group and transitive on 1
k
and 1
are isomorphic to C and 1; they are isomorphic to the Lie algebras given in
Section D.2 as, respectively, I.1 and I.2 (with a one-dimensional center).
Since its multiplication is not associative, D
8
. .
2.4.1 Invariant Functions
Denition 2.3. A function is said to be G-invariant, or invariant under G,
if for all P G, (Px) = (x). If there is a function : G 1 such that
(Px) = (P)(x) on 1
n
we will say is relatively G-invariant with weight . .
Example 2.7 (Waterhouse [283]). Let G be the group described by the matrix
dynamical system on 1
nn
j=0
p
nj
j
;
16
See Baez [16] for a recent andentertaining account of normeddivision algebras, spinors,
and octonions.
56 2 Symmetric Systems: Lie Theory
is constant with respect to t, so the coecient p
nj
of
j
in det(I
n
X(t))
is constant. That is, p
0
, . . . , p
n
, where p
0
= 1 and p
n
= det(C), are invariants
under the adjoint action of e
tA
on C.
This idea suggests a way to construct examples of invariant polynomials
on 1
. Lift
X = [A, X] from1
nn
to a dynamical system on 1
by the one-to-
one mapping
X z = X
with inverse X = z
; (2.24)
z =
Az; z(0) = C
, where
A := I
n
A A
I
n
.
Let q
j
(z) := p
j
(z
) = p
j
(C); then q
j
(z), which is a jth degree polynomial in
the entries of z, is invariant for the one-parameter subgroup exp(1
A)
GL
+
(, 1); that is, q
j
(exp(t
A)z) = q
j
(z).
This construction easily generalizes from dynamical systems to control
systems, because the same polynomials p
j
(C) and corresponding q
j
(z) q
j
(z)
are invariant for the matrix control system
given by (2.24). .
To construct more examples, it is convenient to use vector elds and Lie
algebras. Given a (linear or nonlinear) vector eld f a function (x) on 1
n
is
called an invariant function for f if f(x) = 0. There may also be functions x
that are relatively invariant for f; that means there exists a real 0 depending
only on f for which f(x) = (x). Then
= along any trajectory of f.
If f = , g = and the Lie algebra they generate is g := f, g
[
, then
is invariant for the vector elds in the derived Lie subalgebra g
:= [g, g].
Note in what follows the correspondence between matrices A, B and linear
vector elds a, b given by (2.4).
Proposition 2.11.
17
Let g := b
1
, . . . , b
m
[
on 1
n
. If there exists a real-analytic
function such that (x(t)) = (x(0)) along the trajectories of (2.1) then
(i) must satisfy this eigenvalue problem using the generating vector elds:
b
1
=
1
, . . . , b
m
=
m
. (If b
i
g
, then
i
= 0.) (2.25)
(ii) The set of functions F := | c = 0 for all c g C
(1
n
) is closed under
addition, multiplication by reals, multiplication of functions and composition of
functions.
Proof. Use
= u
1
b
1
+ + u
m
b
m
for all u and [a, b] = b(a) a(b) to
show (i). For (ii) use the fact that a is a derivation on C
f = 0. ||
17
Proposition 2.11 and its proof hold for nonlinear real-analytic vector elds; it comes
from the work of George Haynes[118] and Robert Hermann [123] in the 1960s.
2.4 Orbits, Transitivity, and Lie Rank 57
Denition 2.4. A function : 1
n
1 is called homogeneous of degree k if
(x) =
k
(x) for all 1. .
Example 2.8. Homogeneous dierentiable functions are relatively invariant
for the Euler vector eld e := x
.
(c) If B
1
, . . . , B
m
[
= g then is invariant along the trajectories of (2.1).
Proof. (c) (b) by Proposition 2.7. The statement (a) is equivalent to
(exp(tC)x) = (x) for all C g, which is (b). ||
Givenany matrix Lie group, what are its invariant functions? Propositions
2.14 and 2.15 will address that question. We begin with some functions of
low degree.
All invariant linear functions (x) = c
x of g := b
1
, . . . , b
m
[
are obtained
using (2.25) by nding a common left nullspace
N := c| c
B
1
= 0, . . . , c
B
m
= 0;
then NG = N.
The polynomial x
Qx is G-invariant if B
i
Q + QB
i
= 0, i 1 . . m. Linear
functions c
x or quadratic functions x
B
i
=
i
c
, B
i
Q + QB
i
=
i
Q, i 1 . . m.
If B
i
belongs to the derived subalgebra g
then
i
= 0 and
i
= 0.
Example 2.9 (Quadric orbits). The best-known quadric orbits are the spheres in
1
3
= B
1
, . . . , B
m
, . . . , B
, at each
state x the linear subspace gx 1
n
is spanned by the columns of the matrix
M(x) :=
_
B
1
x B
2
x . . . B
m
x B
x
_
. (2.26)
Let
x
(g) := rankM(x). (2.27)
The integer-valued function , dened for any matrix Lie algebra g and state
x, is called the Lie rank of g at x. The Lie algebra rank condition (abbreviated as
LARC) is
x
(g) = n for all x 1
n
. (2.28)
The useful matrix M(x) can be called the LARC matrix. If rank(M(x)) n on
1
n
and C
(1
n
) is G-invariant then is constant, because
M(x) = 0
x
= 0.
Proposition 2.13.
18
The Lie algebra rank condition is necessary and sucient for
the controllability of (2.1) on 1
n
.
Proof. Controllability of (2.1) controllability of (2.16) transitivity of G
for each x the dimension of gx is n the Lie algebra rank condition. ||
Corollary 2.2. If g = B
1
, B
2
[
is transitive on 1
n
x
(d(2, 1)) =
_
_
2, x
1
x
2
0
1, x
1
x
2
= 0 and (x
1
0 or x
2
0)
0, x
1
= 0 and x
2
= 0
.
The four open orbits are disjoint, so D
+
(2, 1) is weakly transitive on 1
n
but
not transitive on 1
n
;
g = I + J| , 1 C; M(x)(g) = Ix, Jx =
_
x
1
x
2
x
2
x
1
_
,
det(M(x)) = x
2
1
+ x
2
2
> 0; so
x
(g) = 2 on 1
n
.
(ii) The orbits of SO(n) on 1
n
are spheres S
n1
;
x
(so(n)) = n 1. .
19
This context is algebraic geometry; see Section C.2.3.
20
NullSpace uses Gaussian elimination, over the ring Q(x
1
, . . . , x
n
) in Rank.
60 2 Symmetric Systems: Lie Theory
2.5 Algebraic Geometry Computations
The task of this section is to apply symbolic algebraic computations to nd
the orbits and the invariant polynomials of those matrix Lie groups whose
generic rank on 1
n
1
x, . . . , c
k
x. There are many other sets of polynomial func-
tions that vanish on L and nowhere else, such as (c
1
x)
2
, . . . , (c
k
x)
2
and all
these can be regarded as equivalent; the equivalence class is a polynomial
ideal in 1
n
. The zero-set of the single quadratic polynomial (c
1
x)
2
+ +(c
k
x)
2
also denes L, and if k = n L = 0; this would not be true if we were working
on C
n
.
The product (c
1
x) (c
k
x) corresponds to another ane variety, the union
of k hyperplanes. .
The orbits in 1
n
of a Lie group G GL
+
(n, 1) are of dimension at most r,
the generic rank. In the important case r(g) = n there are two possibilities: if
G has Lie rank n on 1
n
. The ideal x
1
, . . . , x
n
corresponds
to 0, but also to x
there is a
21
See Appendix C for the notation.
22
Euclids algorithm for the GCD of two natural numbers p > d uses the sequence of
remainders r
i
dened by p = dq
1
+ r
1
, d = r
1
q
2
+ r
2
, . . . ; the last non-vanishing remainder
is the GCD. This algorithm works for polynomials in one variable.
23
For group representations and characters see Section B.5.1.
62 2 Symmetric Systems: Lie Theory
matrix C = c
i, j
1
j=1
c
i, j
B
j
. (2.29)
The following two propositions show how to nd relatively invariant
polynomials for a G that is weakly transitive on 1
n
.
Proposition 2.14. If G GL
+
(n, 1) has dimension = n and is weakly transitive
on 1
n
then there exists a real group character : G 1 for which /(Qx) =
(Q)/(x) on 1
n
for all Q G.
Proof. The following argument is modied from one in Kimura [159, Cor.
2.20]. If G is weakly transitive on 1
n
, / does not vanish identically. The
adjoint representation of G on the basis matrices is given by the adjoint
action (dened in (2.7)) Ad
Q
(B
i
) := QB
i
Q
1
for all Q G. Let C(Q) = c
i, j
; (2.30)
/(Q
1
x) =Q
1
det
__
B
1
x B
n
x
_
C(Q)
_
=Q
1
/(x) det(C(Q)). (2.31)
Thus / is relatively invariant; (Q) := Q
1
det(C(Q)) is obviously a one-
dimensional representation of G. ||
Suppose now that > n; C is and (2.30) becomes
M(Q
1
x) = Q
1
_
B
1
x B
x
_
C(Q)
;
the rank of M(Q
1
x) equals the rank of M(x), so the rank is an integer-valued
G-invariant function.
Proposition 2.15. Suppose G is weakly transitive on 1
n
. Then
(i) The ideal J
g
generated by the
_
n
_
n-minors D
i
of M(x) is G-invariant.
(ii) /(x) = GCD(J
g
) is relatively G-invariant.
(iii) The ane variety V := V(J
g
) is the union of orbits of G.
Proof. Choose any one of the k :=
_
n
_
submatrices of size n n, for example
M
1
(x) :=
_
B
1
x dotsb B
n
x
_
. For a given Q G let C(Q) = c
i, j
, the matrix
from (2.29). Generalizing (2.30),
2.5 Algebraic Geometry Computations 63
M
1
(Q
1
x) =Q
1
_
QB
1
Q
1
x QB
n
Q
1
_
=Q
1
_
j=1
c
1, j
B
j
x
j=1
c
n, j
B
j
x
_
;
=Q
1
_
B
1
x B
x
_
_
_
c
1,1
c
n,1
c
1,
c
n,
_
_
.
The determinant is multilinear, so the minor
D
1
(x) := det(M
1
(Q
1
x)) is a
linear combination of n-minors of M(x) whose coecients are n-minors of
C(Q)
. That is,
D
1
(x) J
g
, as do all the other n-minors of M(Q
1
x), proving
(i) and (ii). To see (iii), note that the variety V is G-invariant. ||
For example, if n = 2, = 3 one of the 2minors of M(x) is
B
2
Q
1
x B
3
Q
1
x
=
1
Q
_
c
2,1
c
2,2
c
3,1
c
3,2
B
1
x B
2
x
c
2,2
c
3,2
c
2,3
c
33
B
2
x B
3
x
c
2,1
c
3,1
c
2,3
c
3,3
B
1
x B
3
x
_
The results of Propositions 2.14, 2.15 and2.11 cannowbe collectedas follows.
(i) If G given by g := a
1
, . . . , a
m
[
is weakly transitive on 1
n
then the
polynomial solutions of (2.25) belong to the ideal J
g
generated by the n-
minors D
i
(x).
(ii) For any element Q G and any x 1
n
, let y = Qx; if
x
(g) =
k then
y
(g) = k. This, at last, shows that O
k
is partitioned into orbits of
dimension k. Note that V
0
=
_
0k<n
O
k
.
(iii) The zero-sets of every solution of the set of equations
a
1
(x) = 0, . . . , a
m
= 0
are subsets of the ane variety V dened by the polynomial invariants of g
of degree no more than n.
Example 2.14. FromTheoremD.1 of Appendix D, for each Lie algebra of Type
I in its canonical representation /(x) = x
2
1
+ +x
2
n
, so the singular set is 0 as
one should expect. Each of the Type I Lie algebras is of the form g c where
/ is invariant for g and relatively invariant for the center c. .
2.5.2 Tests and Criteria
Given a symmetric bilinear control system, this section is a guide to methods
of ascertaining its orbits, using what has been established previously. As-
sume that the matrices B
1
, . . . , B
m
have entries in Q; the algorithms described
here all preserve that property for matrices and polynomials. The following
tests can be applied using built-in functions and those in Tables 2.2 and 2.4.
64 2 Symmetric Systems: Lie Theory
Given (2.1) use LieTree to generate a basis B
1
, . . . , B
m
, . . . , B
for g = B
m
[
.
Construct the matrix
24
M(x) :=
_
B
1
x B
2
x B
m
x B
x
_
.
1. If = then g = gl(n, 1); if tr B
i
= 0, i 1 . . mand = 1 then g = sl(n, 1)
by its maximality; in either case g is transitive. If (n, ) does not belong
to any Lie algebra listed in Section D.2, g is not transitive. See Table D.2
for the pairs (n, ), n 9 and n = 16. It must be reiterated here that for
n odd, n 7, the only transitive Lie algebras are GL
+
(n, 1), SL(n, 1) and
SO(n) c(n, 1).
2. Compute the generic rank r(g)(g) by applying the Rank function of Table
2.2 to M(x); the maximal dimension of the orbits of Gis r(g), so a necessary
condition for transitivity is r(g) = n.
3. Let := n
2
as usual. Fromthe r-minors of M(x), which are homogeneous of
degree r, a Grbner basis p
1
, . . . , p
s
is written to the screen by GetIdeal.
25
If r > 3 it may be helpful to use SquareFree to nd an ideal Red of lower
degree. The ane variety corresponding to Red is the singular variety V
0
.
The substitution rule (C.2) can be used for additional simplication, as
our examples will hint at. If Red is x
1
, . . . , x
n
it corresponds to the variety
0 1
n
and g is transitive.
4. If n then the GCDof J
g
, the singular polynomial /, is dened. If / = 0
then G cannot be transitive.
5. In the case r = n1 the method shown in Example 2.9 is applicable to look
for G-invariant polynomials p(x). For Eulers operator e, ep(x) = rp(x); so if
ap = 0 then (e+a)p(x) = rp(x). For that reason, if I g dene the augmented
Lie algebra g
+
:= g 1I, the augmented matrix M(x)
+
=
_
x B
1
x B
2
x . . . B
x
_
and /
+
, the GCD of the n-minors of M(x)
+
. If /
+
does not vanish, its level
sets are orbits of G.
6. If deg(/) > 0, the ane variety V
0
:= x 1
n
| /(x) = 0 has codimension
at least one; it is nonempty since it contains 0.
7. If the homogeneous polynomial / is positive denite, V
0
= 0, and tran-
sitivity can be concluded. In real algebraic geometry replacements like
p
2
1
+ p
2
2
p
1
, p
2
, p
2
1
+ p
2
2
can be used to simplify the computations.
8. /(x) = 1 then dimV
0
< n1, which means that V
c
0
:= 1
n
V
0
is connected
and there is a single open orbit, so the system is controllable on V
c
0
. The
Grbner basis p
1
, . . . , p
k
must be examined to nd V
0
. If V
0
= 0 then G
is transitive on 1
n
.
24
Boothby & Wilson [32] pointed out the possibility of looking for common zeros of the
n-minors of M(x).
25
There are
_
n
_
n-minors of M(x), so if is large it is worthwhile to begin by evaluating
only a few of them to see if they have only 0 as a common zero.
2.5 Algebraic Geometry Computations 65
9. Evaluating the GCD of the k :=
_
n
_
minors of M(x) with large is time-
consuming, and a better algorithm would evaluate it in a sequential way
after listing the minors:
q
1
:= GCD(D
1
, D
2
), q
2
:= GCD(q
1
, D
3
), . . . ;
if GCD(q
i
, D
i+1
) = 1 then stop, because / = 1;
else the nal q
k
has degree larger than 0.
10. The task of nding the singular variety
0
is sometimes made easier
by nding a square-free ideal that will dene it; that can be done in
Mathematica by GetSqFree of Table 2.4. (However, the canonical ideal
that should be used to represent V
0
is the real radical
R
_
J
g
discussed in
Section C.2.2.) Calculating radicals is most eciently accomplished with
Singular [110]. .
Mathematica s built-in function PolynomialGCD takes the greatest com-
mon divisor (GCD) of any list of multivariable polynomials. For those using
Mathematica the operator MinorGCD given in Table 2.4 can be used to nd
/(x) for a given bilinear system.
The computation of / or /
+
, the ideal J
g
, and the squarefree ideal J
g
are shown in Table 2.4 with a Mathematica script. The square-free ideal
Rad corresponds to the singular variety V
0
. To check that Rad is actually
the radical ideal
I, which is canonical, requires a real algebraic geometry
algorithm that seems not to be available.
For n = 2, 3, 4 the computation of /and the Grbner basis takes only a few
minutes for randomly generated matrices and for the transitive Lie algebras
of Appendix D.
Example 2.15. Let us nd the orbits for x = uAx + vBx with
Ax =
_
_
x
3
0
x
1
_
_
, Bx =
_
_
x
2
x
1
0
_
_
. [A, B]x =
_
_
0
x
3
x
2
_
_
; /(x) =
x
3
x
2
0
0 x
1
x
3
x
1
0 x
2
0.
Its Lie algebra g = so(1, 2) has dimension three. Its augmented Lie algebra
(see page 64) g
+
= A, B, I
[
is four-dimensional and we have
M
+
(x) =
_
_
x
3
x
2
0 x
1
0 x
1
x
3
x
2
x
1
0 x
2
x
3
_
_
; /
+
(x) = x
2
3
x
2
2
x
2
1
;
the varieties V
c
:= x| x
2
3
x
2
2
x
2
1
= c, c 1 contain orbits of G = SO(2, 1).
Figure 2.2(a) shows three distinct orbits (one of them is 0); 2.2(b) shows
one; 2.2(c) shows two. .
Example 2.16 will illustrate an important point: saying that the closure
of the set of orbits of G is 1
n
is not the same as saying that G has an open
orbit whose closure is 1
n
(weak transitivity). It also illustrates the fact that
66 2 Symmetric Systems: Lie Theory
"TreeComp";
Examples::Usage="Examples[n]: generate a random Lie n
subalgebra of sl(n.R); global variables: n, X, A, B, LT.
X = Array[x, n];
Examples[N_]:= Module[{nu=N
_
0 1 0 0
1 0 0 0
0 0 0 1
0 0 k 0
_
_
, B
2
=
_
_
1 0 0 0
0 1 0 0
0 0 0 0
0 0 0 0
_
_
, B
3
=
_
_
0 0 0 0
0 0 0 0
0 0 1 0
0 0 0 1
_
_
.
If
k is not an integer then as in Example 2.5 the closure of the one-
parameter group G = exp(1B
1
) is a torus subgroup T
2
GL
+
(4, 1). Each
orbit of G (given by x = B
1
x, x(0) 1
4
) is dense in a torus in 1
4
, x| p
1
(x) =
p
1
(), p
2
(x) = p
2
(), where p
1
(x) := x
2
1
+ x
2
2
, p
2
(x) := kx
2
3
+ x
2
4
. Now construct
M(x)
=
_
_
x
2
x
1
x
4
2x
3
x
1
x
2
0 0
0 0 x
3
x
4
_
_
.
The ideal generated by the 3 3 minors of M(x) has a Grbner basis
J
g
:= x
2
p
2
(x), x
1
p
2
(x), x
4
p
1
(x), x
3
p
1
(x). The corresponding ane variety
is V(J
g
) = p
1
_
p
2
, the union of two 2-planes.
Let G denote the matrix Lie group generated by (2.32), which is three
dimensional and Abelian. The generic rank of M(x) is r(g) = 3, so a three-
dimensional orbit G of (2.32) passes through each that is not in P
1
or P
2
.
If
k is an integer, G = 1
+
1
+
T
1
. If
k is not an integer then the closure
of G in GL(4, 1) is (see (2.14) for )
1
+
1
+
T
2
= (C
) (C
);
it has dimension 4 and is weakly transitive. .
Example 2.17. The symmetric matrix control systems
X = u
1
B
1
X + u
2
B
2
X on 1
nn
(2.33)
have a Kronecker product representation on 1
( := n
2
; see Section A.3.2
and (A.12)). For the case n = 2 write z = col(z
1
, z
3
, z
2
, z
4
),
X :=
_
z
1
z
3
z
2
z
4
_
, that is, z = X
; z = u
1
(I B
1
)z + u
2
(I B
2
)z. (2.34)
Suppose for example that the group G of transition matrices for (2.34) is
GL(2, 1), whose action is transitive on GL
+
(2, 1). Let q(z) := det(X) = z
1
z
4
z
2
z
3
. The lifted system (2.34) is transitive on the open subset of 1
4
dened
68 2 Symmetric Systems: Lie Theory
by z| q(z) > 0 and z| q(z) = 0 is the single invariant variety. The polynomial
/(z) := q(z)
2
for (2.34).
Many invariant varieties are unions of quadric hypersurfaces, so it is
interesting to nd counterexamples. One such is the instance n = 3 of (2.33)
when the transition group is GL(3, 1). Its representation by z = X
as a
bilinear systemon 1
9
is an action of GL(3, 1) on 1
9
for which the polynomial
det(X) is an invariant cubic in z with no real factors. .
Exercise 2.3. Choose some nonlinear functions h and vector elds f, g and
experiment with this script.
n=Input["n=?"]; X=Array[x,n];
LieDerivative::usage="LieDerivative[f,h,X]: Lie derivative
of h[x] for vector field f(x).";
LieDerivative[f_,h_,X_]:=Sum[f[[i]]*D[h,X[[i]]],{i,1,n}];
LieBracket::usage="LieBracket[f,g,X]: Lie bracket [f,g]n
at x of the vector fields f and g.";
LieBracket[f_,g_,X_]:=
Sum[D[f,X[[j]]]*g[[j]]-D[g,X[[j]]]*f[[j]],{j,1,n}]
2.6 Low-dimensional Examples
Vector eld (rather than matrix) representations of Jacobsons list [143, I.4] of
the Lie algebras whose dimension is two or or three are given in Sections
2.6.1 and 2.6.2. The Lie bracket of two vector elds is (B.6) on page 239; it can
be calculated with the Mathematica function LieBracket in Exercise 2.3.
These Lie algebras are dened by their bases, respectively a, b or a, b, c,
the brackets that relate them, and the axioms Jac.1Jac.3. The lists in Sections
2.6.12.6.2 give the relations; the basis of a faithful vector eldrepresentation;
the generic rank r(g); and if r(g) = n, the singular polynomial /. If r(g) = n1
the polynomial /
+
is given; it is the GCD of the n n minors of M(x)
+
, is
relatively invariant and corresponds to an invariant variety of dimension
n 1.
2.6.1 Two-dimensional Lie Algebras
The two-dimensional AbelianLie algebra a
2
has one dening relation, [a, b] =
0, so Jac.1-Jac.3 are satised. A representation of a
2
on 1
2
is of the form
1I 1A where A 1
22
is arbitrary, so examples of a
2
include
2.6 Low-dimensional Examples 69
d
2
: a=
_
x
1
0
_
, b=
_
0
x
2
_
, /(x) = x
1
x
2
;
(C) : a=
_
x
1
x
2
_
, b=
_
x
2
x
1
_
, /(x) = x
2
1
+ x
2
2
;
and so(1, 1) : a =
_
x
1
x
2
_
, b =
_
x
2
x
1
_
; /(x) = x
2
1
x
2
2
.
The two-dimensional non-Abelian Lie algebra n
2
has one relation [e, f ] = e
(for any 0); it can by the linear mapping a = e, b = f / be put into a
standard formwith relation [a, b] = a. This standard n
2
can be represented on
1
2
by any member of the one parameter family n
2
(), 1 of isomorphic
(but not conjugate) Lie algebras:
n
2
() : a =
_
x
2
0
_
, b
s
=
_
( 1)x
1
sx
2
_
; /(x) = x
2
2
.
Each representation on 1
2
of its Lie group N(2, 1) with 0 is weakly
transitive. If s = 0 its orbits in 1
2
_
,
_
1
+
0
_
,
_
1
0
_
.
2.6.2 Three-dimensional Lie Algebras
Jacobson[143, I.4] (IIIaIIIe) is the standardlist of relations for eachconjugacy
class of real three-dimensional Lie algebras. From this list the vector eld
representations below have been calculated as an example. The structure
matrices A in class 4 are the real canonical matrices for GL(2, 1)/1
. The
representations here are three dimensional except for g
7
= sl(2, 1) gl(2, 1).
(g
1
) [a, b] = 0, [b, c] = 0, [a, c] = 0; a =
_
_
x
1
0
0
_
_
, b =
_
_
0
x
2
0
_
_
, c =
_
_
0
0
x
3
_
_
;
r = 3; /(x) = x
1
x
2
x
3
.
(g
2
) [a, b] = 0, [b, c] = a, [a, c] = 0; a =
_
_
0
0
x
1
_
_
, b =
_
_
0
x
1
0
_
_
, c =
_
_
0
0
x
2
_
_
;
g
2
= aff(2, 1), r = 2; /
+
(x) = x
1
.
70 2 Symmetric Systems: Lie Theory
Fig. 2.3 The singular variety V
0
for g
3
: union of a cone and a plane tangent to it.
(g
3
) [a, b] = a, [a, c] = 0, [b, c] = 0; g
3
= n
2
+ 1c; See Figure 2.3.
a =
_
_
0
2x
3
x
1
_
_
, b =
_
_
0
2x
2
x
3
_
_
, c =
_
_
x
1
x
2
x
3
_
_
; r = 3; /(x) = x
1
(x
1
x
2
+ x
2
3
).
(g
4
) [a, b] = 0, [a, c] = e + b, [b, c] = e + f ; r = 2; three canonical
representations of g
4
correspond to canonical forms of P :=
_
_
:
(g
4a
) P =
_
1 0
0
_
, 0; a =
_
_
0
0
x
1
_
_
b =
_
_
0
0
x
2
_
_
c =
_
_
x
1
x
2
0
_
_
; /
+
(x) = x
1
x
2
.
(g
4b
) P =
_
1
0 1
_
, 0; a =
_
_
0
0
x
1
_
_
, b =
_
_
0
0
x
2
_
_
, c =
_
_
x
1
+ x
2
x
2
0
_
_
; /
+
(x) =x
2
.
(g
4c
) P =
_
_
,
2
+
2
= 1; a =
_
_
0
0
x
2
_
_
, b =
_
_
0
0
x
1
_
_
, c =
_
_
x
1
+ x
2
x
1
+ x
2
0
_
_
;
/
+
(x) = x
2
1
+ x
2
2
;
0
is the x
3
-axis.
There are three simple (Section B.2) simple Lie algebras of dimension three:
(g
5
) [a, b] = c, [b, c] = a, [c, a] = b; a =
_
_
x
2
x
1
0
_
_
, b =
_
_
x
3
0
x
1
_
_
, c =
_
_
0
x
3
x
2
_
_
;
g
5
= so(3), r = 2; /
+
(x) = x
2
1
+ x
2
2
+ x
2
3
.
2.7 Groups and Coset Spaces 71
(g
6
) [a, b] = c, [b, c] = a, [c, a] = b; a =
_
_
x
2
x
1
0
_
_
, b =
_
_
x
3
0
x
1
_
_
, c =
_
_
0
x
3
x
2
_
_
;
g
6
= so(2, 1), r = 2; /
+
(x) = x
2
1
+ x
2
2
x
2
3
.
(g
7
) [a, b] = c, [b, c] = 2b, [c, a] = 2a; a =
_
x
2
0
_
, b =
_
0
x
1
_
, c =
_
x
1
x
2
_
;
g
7
= sl(2, 1); r = 2, /(x) = 1.
The representations of g
7
on 1
3
(IIIe in [143, I.4]) are left as an exercise.
2.7 Groups and Coset Spaces
We begin with a question. What sort of manifold can be acted on transitively by
a given Lie group G?
Reconsider matrix bilinear systems (2.2): each of the B
i
corresponds to a
right-invariant vector eld
X = B
i
X on GL
+
(n, 1) 1
nn
. It is also right-
invariant on G. Thus system (2.2) is controllable (transitive) acting on its
own group G.
Suppose we are now given a nontrivial normal subgroup H G (that is,
HG = GH); then the quotient space G/H is a Lie group (see Section B.5.3)
which is actedon transitively by G. Normality can be testedat the Lie algebra
level: H is a normal subgroup if and only if its Lie algebra h is an ideal in g.
An example is SO(3)/SO(2) = T
1
, the circle group; it is easy to see that so(2)
is an ideal in so(3).
If a closed subgroup (such as a nite group) H G is not normal, then
(see Section B.5.7) the quotient space G/H, although not a group, can be
given a Hausdor topology compatible with the action of G and is called a
homogeneous space or coset space. A familiar example is to use a subgroup
of translations 1
k
1
n
to partition Euclidean space: 1
nk
= 1
n
/1
k
.
For more about homogeneous spaces see Section 6.4 and Helgason [120];
they were introduced to control theory in Brockett [36] and Jurdjevic &
Sussmann [151]. The book of Jurdjevic [149, Ch. 6] is a good source for
the control theory of such systems with examples from classical mechanics.
Some examples are given in Chapter 6.
The examples of homogeneous spaces of primary interest in this chapter
are of the form1
n
and any 1
n
= Th
T
1
.
Example 2.18. Some isotropy algebras for transitive Lie algebras are given in
Appendix D. For =
k
(see (A.1)) the isotropy subalgebra of a transitive
matrix Lie algebra g is the set of matrices in g whose kth column is 0
n
. Thus
for g = sl(3, 1) and =
3
h
=
_
_
_
_
u
1
u
2
0
u
3
u
1
0
u
4
u
5
0
_
_
u
1
, . . . , u
5
1
_
_
. .
Example 2.19 (Rotation Group, I). Other homogeneous spaces, suchas spheres,
are encounteredinbilinear systemtheory. The rotationgroupSO(3) is a simple
group (see Section B.2.2 for simple). Ausual basis of its matrix Lie algebra so(3)
is
B
1
=
_
_
0 1 0
1 0 0
0 0 0
_
_
, B
2
=
_
_
0 0 1
0 0 0
1 0 0
_
_
, B
3
= [B
1
, B
2
] =
_
_
0 0 0
0 0 1
0 1 0
_
_
.
Then so(3) = B
1
, B
2
[
= span(B
1
, B
2
, B
3
);
X =
3
i=1
u
i
B
i
X
is a matrix control system on G = SO(3). The isotropy subgroup at
1
is
SO(2), represented as the rotations around the x
1
axis; the corresponding
homogeneous space is the sphere S
2
= SO(3)/SO(1). The above control sys-
tem is used in physics and engineering to describe controlled motions like
aiming a telescope. It also describes the rotations of a coordinate frame (rigid
body) in 1
3
, since an oriented frame can be represented by a matrix in SO(3).
.
Problem 2.1. The Lie groups transitive on spheres S
n
are listedin (D.2). Some
are simple groups like SO(3) (Example 2.19). Others are not; for n > 3 some of
these non-simple groups must have Lie subgroups that are weakly transitive
on S
n
. Their orbits on S
n
might, as an exercise in real algebraic geometry, be
studied using #4 in Section 2.5.2. .
2.8 Canonical Coordinates
Coordinate charts for Lie groups are useful in control theory and in physics.
Coordinate charts usually are local, as in the discussion of Proposition 2.6, al-
though the group property implies that all coordinate charts are translations
of a chart containing the identity. A global chart of a manifold ^
n
is a single
2.8 Canonical Coordinates 73
chart that covers all of the manifold; the coordinate mapping x : ^
n
1
n
is a dieomorphism. That is impossible if G is compact or is not simply
connected; for instance the torus group
T
n
= diag
_
e
x
1
J
, . . . , e
x
n
J
_
GL(2n, 1)
has local, but not global, coordinate charts T
n
x. See Example 2.4.
Note: to show that a coordinate chart x : G 1
n
on the underlying
manifold of a Lie group G is global for the group, it must also be shown that
on the chart the group multiplication and group inverse are C
.
2.8.1 Coordinates of the First Kind
It is easy to see that canonical coordinates of the rst kind (CCK1)
e
t
1
B
1
++t
(t
1
, . . . , t
)
are global if and only if the exponential map G G is one-to-one and onto.
For instance, the mapping of diagonal elements of X D
+
(n, 1) to their
logarithms maps that group one-to-one onto 1
n
. Commutativity of G is not
enough for the existence of global CCK1; an example is the torus group
T
k
GL
+
(2k, 1).
However, those nilpotent matrix groups that are conjugate to N(m, 1)
have CCK1. If Q N(n, 1) then Q I is (in every coordinate system) a
nilpotent matrix;
log(Q) = (Q I)
1
2
(Q I)
2
+ (1)
n1
1
n 1
(Q I)
n1
n(n, 1)
identically. Thus the mappingX = log(Q) provides a CCK1 chart, polynomial
in q
i, j
and global. For most other groups the exponential map is not onto,
as the following example and Exercises 2.4 and 2.5 demonstrate.
Example 2.20 (Rotation group, II). Local CCK1 for SO(3) are given by Eulers
theorem: for any Q SO(3) there is a real solution of Q = with [[
such that Q = exp(
1
B
3
+
2
B
2
3
B
1
). .
Exercise 2.4. Show that the image of exp : sl(2, 1) SL(2, 1) consists of
precisely those matrices A SL(2, 1) such that tr A > 2, together with the
matrix I (which has trace 2). .
Exercise 2.5 (Varadarajan [282]). Let G = GL(2, 1); the corresponding Lie
algebra is g = gl(2, 1). Let X =
_
1 1
0 1
_
G; show X exp(g). .
Remark 2.7. Markus [200] showed that if matrix A G, an algebraic group G
with Lie algebra g, then there exists an integer N and t 1 and B g such
74 2 Symmetric Systems: Lie Theory
that A
N
= exp(tB). The minimal power N needed here is bounded in terms
of the eigenvalues of A. .
2.8.2 The Second Kind
Suppose that g := B
1
, . . . , B
m
[
has basis B
1
, . . . , B
m
, B
m+1
, . . . , B
and is the
Lie algebra of a matrix Lie group G. If X G is near the identity, its canonical
coordinates of the second kind (CCK2) are given by
e
t
e
t
2
B
2
e
t
1
B
1
(t
1
, t
2
, . . . , t
) (2.35)
The question then arises, when are the CCK2 coordinates t
1
, . . . , t
global?
The answer is known in some cases.
We have already seen that the diagonal group D
+
(n, 1) GL
+
(n, 1) has
CCK1; to get the second kind, trivially one can use factors exp(t
k
J
k
) where
J
k
:=
i, j
i,k
to get
exp(t
1
J
1
) exp(t
n
J
n
) (t
1
, t
2
, . . . , t
n
) 1
n
.
AsolvablematrixLie groupGis a subgroupof GL
+
(n, 1) whose Lie algebra
g is solvable; see Section B.2.1. Some familiar matrix Lie groups are solvable:
the positive-diagonal group D
+
(n, 1), tori T
n
= 1
n
/Z
n
, upper triangular
groups T
u
(n, 1) andthe unipotent groups N(n, 1) (whose Lie algebras n(n, 1)
are nilpotent).
A solvable Lie group G may contain as a normal subgroup a torus group
T
k
, in which case it cannot have global coordinates of any kind. Even if
solvable G is simply connected, Hochschild [129, p. 140] has an example for
which the exponential map g G is not surjective, defeating any possibility
of global rst-kind coordinates. However, there exist global CCK2 for simply
connected solvable matrix Lie groups; see Corollary B.1 on page 232; they
correspond to an ordered basis of g that is compatible with its derived series
g g
,
spanB
1
, B
2
= g
of t
u
(n, 1) such
that (2.35) provides a global coordinate system for T(n, 1). The mapping
T
u
(n, 1) 1
k
(where k = n(n + 1)/2) can be best seen by an example for
n = 3, k = 6 in which the matrices B
1
, . . . , B
6
are given by
B
i
:=
_
i,4
i,2
i,1
0
i,5
i,3
0 0
i,6
_
_
; then e
t
6
B
6
e
t
2
B
2
e
t
1
B
1
=
_
_
e
t
4
t
2
e
t
4
t
1
e
t
4
0 e
t
5
t
3
e
t
5
0 0 e
t
6
_
_
.
2.9 Constructing Transition Matrices 75
The mapping T
u
(3, 1) 1
6
is a C
dieomorphism. .
Example 2.22 (Rotation group, III). Given Q SO(3), a local set of CCK2 is
given by Q = exp(
1
B
1
) exp(
2
B
2
) exp(
3
B
3
); the coordinates
i
are called
Euler angles
27
and are valid in the region
1
< , /2 <
2
<
/2,
3
< . The singularities at
2
= /2 are familiar in mechanics
as gimbal lock for gyroscopes mounted in three-axis gimbals. .
2.9 Constructing Transition Matrices
If the Lie algebra g generated by system
X =
m
i=1
u
i
B
i
X, X(0) = I has basis B
1
, . . . , B
, set (2.36)
X(t; u) = e
1
(t)B
1
. . . e
(t)B
. (2.37)
If g gl(n, 1) then for a short time and bounded [u()[ any matrix trajectory
in Gstarting at I can be represented by (2.37), as if the
i
are second canonical
coordinates for G.
28
Proposition 2.16 (Wei & Norman [285]). For small t the solutions of system
(2.36) can be written in the form (2.37). The functions
1
, . . . ,
satisfy
(
1
, . . . ,
)
_
1
.
.
.
_
=
_
_
u
1
.
.
.
u
_
(2.38)
where u
i
(t) = 0 for m < i ; the matrix is C
in the
i
and in the structure
constants
i
j,k
of g. .
Examples 2.212.26 and Exercise 2.6 show the technique, which uses Propo-
sition 2.2 and Example 2.3. For a computational treatment, expressing e
t ad
A
as a polynomial in ad
A
, see Altani [6].
29
To provide a relatively simple way to calculate the
i
a product repre-
sentation (2.37) with respect to Philip Hall bases on m generators /1(m)
(see page 229 for formal Philip Hall bases) can be obtained as a bilinear
27
The ordering of the Euler angle rotations varies in the literature of physics and engi-
neering.
28
Wei & Norman [285], on the usefulness of Lie algebras in quantum physics, was very
inuential in bilinear control theory; for related operator calculus see [195, 286, 273] and
the CBH Theorem 2.1.
29
Formulas for the
i
in (2.37) were given also by Huillet & Monin & Salut [134]. (The
title refers to a minimal product formula, not input-output realization).
76 2 Symmetric Systems: Lie Theory
specialization of Sussmann [267]. If the system Lie algebra is nilpotent the
Hall-Sussmann product (like the bilinear Example 2.24) gives a global repre-
sentation with a nite number of factors; it is used for trajectory construction
(motion planning) in Laerriere & Sussmann [172], and in Margaliot [199]
to obtain conditions for controllability when is a nite set (bang-bang
control). The relative simplicity of product representations and CCK2 for a
nilpotent Lie algebra g comes from the fact that there exists k such that for
any X, Y g, ad
k
X
(Y) = 0. Then exp(tX)Yexp(tX) is a polynomial in t of
degree k 1.
Example 2.23 (Wei & Norman [284]). Let
X = (uA + vB)X, X(0) = I with
[A, B] = B. The Lie algebra g := A, B
[
is the non-Abelian Lie algebra n
2
. It is
solvable: its derived subalgebra (Section B.2.1) is g
= 1B and g
= 0. Global
coordinates of the second kind
30
must have the form
X(t) = e
f (t)A
e
g(t)B
with f (0) = 0 = g(0).
X =
f AX + ge
f A
Be
f A
X; exp( f ad
A
)(B) = B, so uA + vB =
f A + ge
f
B;
f (t) =
_
t
0
u(s) ds, g(t) =
_
t
0
v(s)e
f (s)
ds. .
Example 2.24. When the Lie algebra B
1
, . . . , B
m
[
is nilpotent one can get a
nite and easily evaluated product representation for transition matrices of
(2.2). Let
X = (u
1
B
1
+ u
2
B
2
)X with [B
1
, B
2
] = B
3
0, [B
1
, B
3
] = 0 = [B
2
, B
3
].
Set X(t; u) := e
1
(t)B
1
e
2
(t)B
2
e
3
(t)B
3
;
X =
1
B
1
X +
2
(B
2
+ tB
3
)X +
3
B
3
X;
1
= u
1
,
2
= u
2
,
3
= tu
2
;
1
(t) =
_
t
0
u
1
(s) ds,
2
(t) =
_
t
0
u
2
(s) ds,
3
(t) =
_
t
0
_
s
0
u
2
(r) dr ds
(using integration by parts). .
Example 2.25 (Wei &Norman[285]). Let
X = (u
1
H+u
2
E+u
3
F)Xwith[E, F] = H,
[E, F] = 2E and [F, H] = 2F, so = 3. Using (2.37) and Proposition 2.2 one
obtains dierential equations that have solutions for small t 0:
30
The ansatz for U(t) in [284] was misprinted.
2.10 Complex Bilinear Systems* 77
X =
1
HX +
2
e
1
ad
H
(E)X +
3
e
1
ad
H
(e
2
ad
E
(F))X;
e
1
ad
H
(E) = e
2
1
E, e
1
ad
H
(e
2
ad
E
(F)) = e
2
1
F +
2
H +
2
2
e
2
1
E; so
_
3
_
_
=
_
_
1 0
2
0 e
2
1
2
2
e
2
1
0 0 e
2
1
_
_
1 _
_
u
1
u
2
u
3
_
_
_
_
1 0
2
e
2
1
0 e
2
1
2
2
e
2
1
0 0 e
2
1
_
_
_
_
u
1
u
2
u
3
_
_
. .
Example 2.26 (Rotation group, IV). Using only the linear independence of the
B
i
and the relations [B
1
, B
2
] = B
3
, [B
2
, B
3
] = B
1
and [B
3
, B
1
] = B
2
a product-
form transition matrix for
X = u
1
B
1
X + u
2
B
2
X, X(0) = I is X(t; u) := e
1
B
1
e
2
B
2
e
3
B
3
;
u
1
B
1
+ u
2
B
2
=
1
B
1
+
2
_
cos(
1
)B
2
+ sin(
1
)B
3
_
+
3
_
cos(
1
) cos(
2
)B
3
+ cos(
1
) sin(
2
)B
1
sin(
1
)B
2
_
.
_
_
1 0 cos(
1
) sin(
2
)
0 cos(
1
) sin(
1
)
0 sin(
1
) cos(
1
) cos(
2
)
_
_
_
3
_
_
=
_
_
u
1
u
2
0
_
_
. .
Exercise 2.6. Use the basis B
i
6
1
given in Example 2.21 to solve (globally)
X =
6
i=1
u
i
B
i
X, X(0) = I as a product X(t; u) = exp(
1
(t)) exp(
6
(t)) by
obtaining expressions for
i
in terms of the u
i
and the
i
. .
2.10 Complex Bilinear Systems*
Bilinear systems with complex state were not studied until recent years; see
Section 6.5 for their applications in quantum physics and chemistry. Their
algebraic geometry is easier to deal with than in the real case, although one
loses the ability to draw insightful pictures.
2.10.1 The Special Unitary Group
In the quantum system literature there are several mathematical models
current. In the model to be discussed here and Section 6.5 the state is an
operator (matrix) evolving on the special unitary group
SU(n) := X C
nn
| X
= 0, tr B = 0.
78 2 Symmetric Systems: Lie Theory
There is an extensive literature on unitary representations of semisimple Lie
groups that can be brought to bear on control problems; see DAlessandro
[71].
Example 2.27. A basis over 1for the Lie algebra su(2) is given by
31
the skew-
Hermitian matrices
P
x
:=
1
_
0 1
1 0
_
, P
y
:=
_
0 1
1 0
_
, P
z
:=
1
_
1 0
0 1
_
;
[P
y
, P
x
] = 2P
z
, [P
x
, P
z
] = 2P
y
, [P
z
, P
y
] = 2P
x
;
if U SU(2), U = exp(P
z
) exp(P
y
) exp(P
z
), , , 1.
Using the representation, SU(2) has a real form that acts on 1
4
; its orbits
are 3-spheres. A basis over 1 of (su(2)) gl(4, 1) is
_
_
_
_
0 0 1 0
0 0 0 1
1 0 0 0
0 1 0 0
_
_
,
_
_
0 0 0 1
0 0 1 0
0 1 0 0
1 0 0 0
_
_
,
_
_
0 1 0 0
1 0 0 0
0 0 0 1
0 0 1 0
_
_
_
_
. .
2.10.2 Prehomogeneous Vector Spaces
A notion closely related to weak transitivity arose when analysts studied
actions of complex groups on complex linear spaces. A prehomogeneous
vector space
32
over Cis a triple G, , L where L is a nite-dimensional vector
space over C or some other algebraically closed eld; typically L = C
n
. The
group G is a connected reductive algebraic group with a realization (see page
243 in Section B.5.1) : G GL(n, C); and there is an orbit S of the group
action such that the Zariski closure of S (see Section C.2.3) is L; L is almost
a homogeneous space for G, so is called a prehomogeneous space. Further, G
has at least one relatively invariant polynomial P on L, and a corresponding
invariant ane variety V. A simple example of a prehomogeneous space is
C
, , C with : (
1
, z
1
)
1
z
1
and invariant variety V = 0. These triples
G, , L had their origin in the observation that the Fourier transform of a
complex power of P(z) is proportional to a complex power of a polynomial
P(s) on the Fourier-dual space; that fact leads to functional equations for
multivariable zeta-functions (analogous to Riemanns zeta)
31
Physics textbooks such as Schi [235] often use as basis for su(2) the Pauli matrices
x
:=
_
0 1
1 0
_
,
y
:=
_
0 i
i 0
_
,
z
:=
_
1 0
0 1
_
.
32
Prehomogeneous vector spaces were introduced by Mikio Sato; see Sato & Shintani
[234] and Kimura [159], on which I draw.
2.11 Generic Generation* 79
(P, s) =
xZ
n
0
1
P(x)
s
.
For details see Kimuras book [159].
Corresponding to , let
g
be the realization of g, the Lie algebra of G; if
there is a point L at which the rank condition
g
() = dimL is satised,
then there exists an open orbit of G and G, , L is a prehomogeneous vector
space.
Typical examples use two-sided group actions on 1
n
. Kimuras rst ex-
ample has the action X AXB
where X C
nn
, G = H GL(n, 1), A is in
an arbitrary semisimple algebraic group H, and B GL(n, 1). The singular
set is given by the vanishing of the nth-degree polynomial det(X), which is
a relative invariant. Kimura states that the isotropy subgroup at I
n
C
nn
is
isomorphic to H; that is because for (Q, Q
) in the diagonal of H H
, one
has QI
n
Q
1
= I
n
.
Such examples can be represented as linear actions by our usual method,
X X
:
gl(3, 1) : = 9, /(x) = 1; sl(3, 1) : = 8, /(x) = 1; and
so(3) 1 : = 4, /(x) = x
2
1
+ x
2
2
+ x
2
3
.
There are many weakly transitive but nontransitive Lie subalgebras of
gl(3, 1), for instance so(2, 1) 1, whose singular locus V
0
is a quadric cone,
and d(3, 1).
.
2.11 Generic Generation*
It is well known that the set of pairs of real matrices whose Lie algebra A, B
[
is transitive on 1
n
i
j
k
l
if (i, j) (k, l), (2.39)
tr P 0. (2.40)
The set of real nn matrices with zero elements on the main diagonal will be
called /
0
(n, 1). Let Q be any matrix in /
0
(n, 1) such that all its o-diagonal
elements are nonzero. In particular, we can take all the o-diagonal elements
equal to 1. Suitable examples for n = 3 are
P =
_
_
1 0 0
0 4 0
0 0 9
_
_
, Q =
_
_
0 1 1
1 0 1
1 1 0
_
_
.
It is easy to check that if i j, then [P, 1
i, j
] = (
i
j
)1
i, j
; so, using (2.39),
Q does not belong to any ad
P
-invariant proper subspace of /
0
(n, 1). If we
construct the set
G := Q, ad
P
(Q), . . . , ad
n(n1)1
P
(Q) we see spanG = /
0
(n, 1);
that is, each of the elementary matrices 1
i, j
, i j can be written as a lin-
ear combination of the n(n 1) matrices in G. From brackets of the form
[1
i, j
, 1
j,i
], i < j, we can generate a basis E
1
, . . . , E
n1
for the subspace of the
diagonal matrices whose trace is zero. Since P has a nonzero trace by (2.40),
we conclude that
P, Q, ad
P
(Q), . . . , ad
n(n1)1
P
(Q), E
1
, . . . , E
n1
can be
generated from two matrices.
All of these transitive Lie algebras are listedinAppendix D; the best knownis
sl(n, 1). The proof of Theorem2.5 fromthe lemma uses the fact (see Appendix
D) that the dimension k of the center of a transitive Lie algebra is no more
than 2.
Corollary 2.3. Let g be a Lie algebra transitive on 1
n
let A = I and B = J; I, J
[
= C
is solvable, but transitive. Find out what can be said about the transitivity
of higher-dimensional bilinear systems with solvable Lie algebras. Compare
the open problem in Liberzon [183]. .
Exercise 2.11 (Coset space). Verify that SL(2, 1)/T(2, 1) = 1
2
, where T(2, 1)
is the upper triangular subgroup of GL
+
(2, 1). .
Exercise 2.12 (W. M. Goldman [106]).
Show that the three dimensional complex Abelian Lie group G acting on
C
3
corresponding to the Lie algebra
g =
_
_
_
_
p + q 0 r
0 p q
0 0 p
_
_
| (p, q, r) C
3
_
_
, namely G =
_
_
_
_
e
p+q
0 e
p
r
0 e
p
e
p
q
0 0 e
p
_
_
_
_
is transitive on z C
3
| z
3
0; G is closed and connected, but not an
algebraic group: look at the semisimple subgroup
35
H dened by p = r = 0.
The Zariski closure of G contains the semisimple part of H. .
Exercise 2.13. Suppose that 1, a, b are not rationally related (take a =
2, b =
3, for instance). Verify by symbolic computation that the matrix Lie algebra
g := span
_
_
u
1
+ u
3
u
2
u
4
0 0 u
5
u
6
u
2
+ u
4
u
1
+ u
3
0 0 u
6
u
5
0 0 u
1
au
2
u
3
+ (a b)u
8
u
4
+ (a b)u
7
0 0 au
2
u
1
u
4
+ (b a)u
7
u
3
+ (a b)u
8
0 0 0 0 u
1
bu
2
0 0 0 0 bu
2
u
1
_
_
35
For anyelement g inanalgebraic subgroupH, boththe semisimple part g
s
andunipotent
part g
u
must lie in H. See Humphreys [135, Theorem 1.15].
2.12 Exercises 83
has /(x) = x
2
5
+ x
2
6
and therefore is weakly transitive on 1
6
(Appendix D)
the isotropy subalgebras h
x
g are not known; for low dimensions they can
readily be calculated at p = (1, 0, . . . , 0). .
Problem 2.4. Implement the algorithms inBoothby &Wilson[32] that decide
whether a generated matrix Lie algebra B
m
[
is in the list of transitive Lie
algebras in Section D.2. .
36
Hint: The group G
c
that is the closure of G must contain exp(u
9
B) where B is the 6 6
matrix whose elements are zero except for B
34
= 1, B
43
= 1. Is G
c
transitive on 1
6
?
Chapter 3
Systems with Drift
3.1 Introduction
This chapter is concerned with the stabilization
1
and control of bilinear
control systems with drift term A 0 and constraint set 1
m
:
x = Ax +
m
i=1
u
i
(t)B
i
x, x 1
n
, u() , t 0; (3.1)
as in Section 1.5 this systems transition matrices X(t; u) satisfy
X = AX +
m
1
u
i
(t)B
i
X, X(0) = I
n
, u() , t 0. (3.2)
The control system (3.1) is stabilizable if there exists a feedback control law
: 1
n
and an open basin of stability U such that the origin is an
asymptotically stable equilibrium for the dynamical system
x = Ax +
m
i=1
i
(x)B
i
x, U. (3.3)
It is not always possible to fully describe the basin of stability, but if U = 1
n
,
(3.1) is said to be globally stabilizable; if U is bounded, system (3.1) is called
locally stabilizable.
2
1
For the stabilization of a nonlinear system x = f (x) + ug(x) with output y = h(x) by by
output feedback u = h(x) see Isidori [141, Ch. 7]. Most works on such problems have
the essential hypothesis g(0) 0, which cannot be applied to (3.1) but is applicable to the
biane systems in Section 3.8.3.
2
Sometimes there is a stronger stability requirement to be met, that [x(t)[ 0 faster than
e
t
; one can satisfy this goal is to replace A in (3.3)with A+I and nd that will stabilize
the resulting system.
85
86 3 Systems with Drift
As in Chapter 1, S
, S
= 1
n
. (3.4)
The controllability problem is to nd properties of (3.1) that are necessary or
sucient for (3.4) to hold. The case n = 2 of (3.1) provides the best results for
this problem because algebraic computations are simpler in low dimension
and we can take advantage of the topology of the plane, where curves are
also hypersurfaces.
Although both stabilization and control of (3.1) are easier when m > 1,
much of this chapter simplies the statements and results by specializing to
x = Ax + uBx, x(0) = 1
n
, u(t) . (3.5)
Denition 3.1. For A, B 1
nn
dene the relation on matrix pairs by
(A, B) (P
1
(A + B)P, P
1
BP) for some 1 and P GL(n, 1). .
Lemma 3.1.
(I) is an equivalence relation;
(II) if = 1, preserves both stabilizability and controllability for (3.5).
Proof. (I): The relation is the composition of two equivalence relations: the
shift (A, B)
1
(A + B, B) and the similarity (A, B)
2
(P
1
AP, P
1
BP).
(II): Asymptotic stability of the origin for x = Ax + (x)Bx is not changed
by linear changes of coordinates x = Py; x = (A + B)x + uBx is stabilizable
by u = (x) . Controllability is evidently unaected by u u + . Let
S
be the transition semigroup for y = P
1
APy + uP
1
BPy. Using the identity
exp(P
1
XP) = P
1
exp(X)P and remembering that the elements of S are prod-
ucts of factors exp(t(A+uB), the statement S = 1
n
implies
SP = P1
n
= 1
n
,
so
2
preserves controllability. ||
Contents of This Chapter
As a gentle introduction to stabilizability for bilinear systems Section 3.2
introduces stabilization by constant feedback. Only Chapter 1 is needed to
read that section. It contains necessary and sucient conditions of Chabour
& Sallet & Vivalda [52] for stabilization of planar systems with constant
controls.
Section 3.3 gives some simple facts about controllability and noncontrol-
lability, the geometry of attainable sets, and some easy theorems. To ob-
tain accessibility conditions for (3.1) one needs the ad-condition, which is
3.2 Stabilization with Constant Control 87
stronger than the Lie algebra rank condition; it is developed in Section 3.4, to
which Chapter 2 is prerequisite. With this condition Section 3.5 can deal with
controllability criteria given indenitely small bounds on control amplitude;
other applications of the ad-condition leadin to the stabilizing feedback laws
of Jurdjevic & Quinn [148] and Chabour & Sallet & Vivalda [52]. Sometimes
linear feedback laws lead to quadratic dynamical systems that although not
asymptotically stable, nevertheless have global attractors that live in small
neighborhoods of the origin and may be chaotic; see Section 3.6.5.
One approach to controllability of (3.1) is to study the semigroup S
generated by (3.2). If S
i=1
(s
i
())
where the
i
are algebraic functions of . Let
i
() := T(
i
()). One can plot
the
i
to nd the set (possibly empty) | max
i
i
() < 0 which answers
our question. The Mathematica script in Figure 3.1 calculates the
i
() and
generates some entertaining plots of this kind; an example with n = 2 is part
(a) of the gure. The polynomial p
A+B
(s) is a Hurwitz
3
polynomial (in s)
when all the
i
values lie below the axis.
3.2.1 Planar Systems
In the special case n = 2, the characteristic polynomial of A + B is
3
A polynomial p(s) over 1 is called a Hurwitz polynomial if all of its roots have negative
real parts.
88 3 Systems with Drift
-4 -2 2 4
-3
-2
-1
1
2
3
T(s)
(a)
-4 -2 2 4
-5
-2.5
2.5
5
7.5
10
y
2
y
1
(b)
n=2; r=4.5; A={{-1,0},{1/3,1}}; B={{-2/3,1/3},{-1/3,-2/3}};
For[i=1,i<=n,i++,eigr[i][u_]:=Re[Eigenvalues[A+u*B][[i]]]]; Y[u_] :=
Table[{u, eigr[i][u]}, {i, n}]; ParametricPlot[Evaluate[Y[u]],{u, -r, r}];
P[s_,u_]:=Det[s*Id-(A+u*B)]; y1[u_]:=Coefficient[P[s,u],s]; y2[u_]:=P[0,u];
Plot[{y1[u], y2[u]},{u,-r,r}]}]
Fig. 3.1 Mathematica script with plots (a) T
_
spec(A + B)
_
vs. and (b) the coecients
y
1
(), y
2
() of p(s), which is a Hurwitz polynomial for > 1.45.
p
A+B
(s) = s
2
+ sy
1
() + y
2
() where y
1
() := tr(A) tr(B),
y
2
() := det(A) +
_
tr(A) tr(B) tr(AB)
_
+
2
det(B).
The coecients y
1
, y
2
are easily evaluated and plotted as in Figure 3.1(b)
which was produced by the Mathematica commands shown in the gure.
Proposition 3.1. On 1
2
the necessary and sucient condition for the dynamical
system x = Ax + Bx to be globally asymptotically stable for a constant is
| y
1
() > 0 | y
2
() > 0 .
Proof. The positivity of both y
1
and y
2
is necessary and sucient for s
2
+
sy
1
() + y
2
() to be a Hurwitz polynomial. ||
Finding the two positivity sets on the axis given the coecients a
i
, b
i
is easy with the guidance of a graph like that of Figure 3.1(b) to establish
the relative positions of the two curves and the abscissa; this method is
recommended if is bounded and feasible values of are needed. Plots of
the real parts of eigenvalues can be usedfor systems of higher dimension and
m > 1. I do not know of any publications about stabilization with constant
feedback for multiple inputs.
If the controls are unrestricted, we see that if tr(B) 0 and det(B) > 0 there
exists a constant feedback for which y
1
() and y
2
() are both positive; then
A + B is a Hurwitz matrix. Other criteria are more subtle. For instance,
Proposition 3.1 can (if = 1) be replaced by the necessary and sucient
conditions given in Bacciotti & Boieri [14] for constant feedback.
A systematic and self-contained discussion of stabilization by feedback is
found in Chabour &Sallet &Vivalda [52]; our brief account of this work uses
3.2 Stabilization with Constant Control 89
the equivalence relations
1
,
2
and of Lemma 3.1. The intent in [52] is to
nd those systems (3.5) on 1
2
2
are both positive.
Theorem 3.1 ([52]). The system x = Ax + Bx on 1
n
is globally asymptotically
stable for some constant if and only if one of the following conditions is met:
a. B is similar to a real diagonal matrix and one of these is true:
a.1 det(B) > 0,
a.2 p
1
> 0 and p
2
> 0,
a.3 p
1
> 0 and p
3
> 0,
a.4 det(B) = 0, p
1
= 0 and p
3
> 0;
b. B is similar to
_
1
0
_
and one of these is true:
4
As a curiosity, [52] remarks that for gl(2, 1) the Cartan-Killing form is tr(ad
X
ad
Y
) =
2(X, Y); that can be seen from (A.12).
90 3 Systems with Drift
b.1 tr(B) 0,
b.2 tr(B) = 0 and tr(AB) 0 and tr(A) < 0,
b.3 tr(B) = 0 and tr(AB) = 0 and tr(A) < 0 and det(A) > 0.
c. B has no real eigenvalues and one of these is true:
c.1 tr(B) 0,
c.2 tr(B) = 0 and tr(A) < 0.
Exercise 3.1. The invariance under
1
of tr(B) and det(B) is obvious; they are
the same when evaluated for the corresponding coecients of det(sI A
(t + )B). Verify the invariance of p
1
, . . . , p
4
. .
3.2.2 Larger Dimensions
For n > 2 there are a few interesting special cases; one was examined in
Luesink & Nijmeijer [194]. Suppose that A, B
[
is solvable (Section B.2.1).
By a theorem of Lie (Varadarajan [282, Th. 3.7.3]) any solvable Lie algebra
g has an upper triangular representation in C
n
. It follows that there exists a
matrix S C
n
for which
A = S
1
AS and
B = S
1
BS are simultaneously upper
triangular.
5
The diagonal elements of
A and
B are their eigenvalues,
i
and
i
respectively. Similar matrices have the same spectra, so
spec(
A +
B) =
i
+
i
n
i=1
= spec(A + B).
If for some the inequalities
T(
i
+
i
) < 0, i 1 . . n
are satised, then A+B is a Hurwitz matrix and solutions of x = (A+B)x
decay faster than e
t
. There are explicit algorithms in [194] that test for
solvability and nd the triangularizations, and an extension of this method
to the case that the A, B are simultaneously conjugate to matrices in a special
block-triangular form.
Proposition 3.2 (Kalouptsidis & Tsinias [155, Th. 4.1]).
If B or B is a Hurwitz matrix there exists a constant control u such that the
origin is globally asymptotically stable for (3.5).
5
There exists a hyperplane L in C
n
invariant for solvable A, B
[
; if the eigenvalues of
A, B are all real, their triangularizations are real and L is real. Also note that g is solvable
if and only if its Cartan-Killing form (X, Y) vanishes identically (Theorem B.4).
3.3 Controllability 91
Proof. The idea of the proof is to look at B +
1
u
A as a perturbation of B. If
B is a Hurwitz matrix, there exists P > 0 such that B
P + PB = I. Use the
gauge function V(x) = x
Px and let Q := A
P+PA.
6
Then
V(x) = x
Qx ux
x.
There exists > 0 such that x
x x
Px on 1
n
. For any < 0 choose any
u > [Q[ 2(/k). Then by standard inequalities
V 2V. If B is a Hurwitz
matrix make the obvious changes. ||
Example 3.1. Bilinear systems of second and third order, with an application
to thermal uid convection models, were studied in
Celikovsk [49]. The
systems studied there are called rotated semistable bilinear systems, dened
by the requirements that in x = Ax + uBx
C
1
: B
Celikovsk [49, Th. 2] gives conditions sucient for the existence of constant
stabilizers. Suppose that on 1
3
_
0 c
3
c
2
c
3
0 c
1
c
1
c
1
0
_
_
, :=
1
c
2
1
+
2
c
2
2
+
3
c
2
3
c
2
1
+ c
2
2
+ c
2
3
.
The real parts of the roots are negative, giving a stabilizer, for any such that
the three Routh-Hurwitz conditions for n = 3 are satisedbydet(sI(A+B)):
they are equivalent to
tr(A) < 0, det(A) +
2
< 0,
(
1
+
2
)(
2
+
3
)(
1
+
3
) < ( tr(A))
2
.
Theorem 3.9 below deals with planar rotated semistable systems. .
3.3 Controllability
This section is about controllability, the transitivity on 1
n
of the matrix
semigroup S
generated by (3.2). In 1
nn
all of the orbits of (3.2) belong to
GL
+
(n, 1) or to one of its proper Lie subgroups. S
is a subsemigroup of any
closed matrix group G whose Lie algebra includes A, B
1
, . . . , B
m
.
A long term area of research, still incomplete, has been to nd conditions
sucient for the transitivity of S
on 1
n
Qx in [155].
92 3 Systems with Drift
problem is Jurdjevic & Sussmann [151]; a recommended book is Jurdjevic
[149]. Beginning with Jurdjevic & Kupka [147] the study of system (3.2)s
action on G has concentrated on the case that G is either of the transitive
groups GL
+
(n, 1) or SL(n, 1); the goal is to nd sucient conditions for S
are
t,
() := X(t; u)| u() ;
() :=
_
0tT
t,
();
() = S
.
If S
= 1
n
acts transitively on 1
n
0
u
i
(t)B
i
)x ()
where (usually) u
0
= 1 and A may or may not be linearly independent of
the B
i
. Using Chapter 2, there exists a Lie group of transition matrices of this
system (closed or not) denoted by G
GL
+
(n, 1).
The LieTree algorithm can be used to compute a basis for the Lie algebra
g
:= A, B
1
, . . . , B
m
[
.
This Lie algebra corresponds to a matrix Lie subgroup G
GL
+
(n, 1); that
G
is a subsemigroup of G
.
7
Attainable sets in 1
nn
can be dened in a similar way for the matrix system (3.2) but
no special notation will be set up for them.
3.3 Controllability 93
Proposition 3.3. If the system (3.1) is controllable on 1
n
then g
satises the
LARC.
Proof. Imposing the constraint u
0
= 1 in () cannot increase the content of
any attainable set for (3.1), nor destroy invariance of any set; so a set U 1
n
invariant for the action of G
is transitive, so g
is transitive. ||
Proposition 3.4. If S
= G
.
Proof. By its denition, S
, so S
can be
identied with G
. ||
Following Jurdjevic & Sussmann [151], we will dene two important Lie
subalgebras
9
of g
and i
0
.
Omitting the drift term A from system (3.2) we obtain
X =
m
1
u
i
(t)B
i
X, X(0) = I, ()
which generates a connected Lie subgroup G
:= B
1
, . . . , B
m
[
.
If A spanB
1
, . . . , B
m
and = 1
m
then the attainable sets in 1
nn
are
identical for systems (3.2) and ().
Proposition 3.5. With = 1
m
the closure G
of G
generated by B
i
m
1
is
10
i
0
:= B
1
, . . . , B
m
, [A, B
1
], . . . , [A, B
m
]
[
; (3.6)
8
Jurdjevic & Sussmann [151, Th. 4.6] uses Yamabes Theorem this way.
9
Such Lie algebras were rst dened for general real-analytic systems x = f (x) +ug(x) on
manifolds M; [80, 251] and independently [269] showed that if the rst homotopy group
1
(M) contains no element of innite order then controllability implies full Lie rank of i
0
The motivation of [80] came from Example 1.8 where
1
(1
2
) = Z.
10
This denition of the zero-time ideal i
0
diers only supercially from the denition in
Jurdjevic [149, p. 59].
94 3 Systems with Drift
it is sometimes called the zero-time Lie algebra. Denote the codimension of i
0
in g
by ; it is either 0, if A i
0
, or is 1 otherwise. Let H be the connected
Lie subgroup of G
corresponding to i
0
. If = 0 then H = G
. If = 1, the
quotient of g
by i
0
is g
/i
0
= spanA. Because H =
1
H for all G
, H is
a normal subgroup of G
and G
t,
() He
tA
. (3.7)
The group orbit H is called the zero-time orbit for (3.1).
Let = dimg
and nd a basis F
1
, . . . , F
for i
0
by applying the LieTree
algorithm to the list B
1
, . . . , [A, B
m
] in (3.6). The augmented rank matrix for
i
0
is
M
+
0
(x) :=
_
x F
1
x F
x
_
; (3.8)
its singular polynomial /
+
0
(x) is the GCD of its n n minors (or of their
Grbner basis). Note that one can test subsets of the minors to speed the
computation of the GCD or the Grbner basis.
3.3.2 Traps
It is useful to have examples of uncontrollability for (3.5). If the Lie algebra
g := A, B
[
is not transitive, fromProposition3.3 invariant ane varieties for
(3.1) of positive codimension can be found by the methods of Section 2.5.2, so
assume the system has full Lie rank. In known examples of uncontrollability
the attainable sets are partially ordered in the sense that if T > then
()
T
1
n
; so it is an invariant
set for S
V(x) := x
(A + uB)
V
x
0 for all u , x 1
n
, (3.9)
then the set x| V(x) V() is a trap at .
It is convenient to use the vector elds
b := x
x
,
3.3 Controllability 95
where B g. Let i
0
:= b| B i
0
where i
0
is dened in (3.6). The criterion
(3.9) becomes bV = 0 for all b i
0
and aV > 0. The level sets of such a V
are the zero-time orbits H, and are trap boundaries if the trajectory from
never returns to H. With this in mind, if /
+
0
(x) is nontrivial then it may be
a candidate gauge polynomial.
Example 3.2. The control system of Example 1.7 is isomorphic to the scalar
system z = (1 + ui)z on C
= C
is transitive on C
2
Q+ QX =
X
Q is satised, and
/
+
0
(x) = x
Qx. In case (a) Q > 0; then g is transitive (case I.1 in Section D.2).
For case (b), g = so(p, q) 1 is weakly transitive.
Now suppose in either case that A and B are in g,
A
> 0 and
B
= 0. Let
V(x) := (x
Qx)
2
; then V > 0, aV > 0 and bV = 0, so there exists a trap for
(3.5). In case (a) i
0
= so(n); in case (b) i
0
= so(p, q). .
Exercise 3.2. This systemhas Lie rank 2 but has a trap; ndit witha quadratic
gauge function V(x).
x =
_
0 1
1 0
_
x + u
_
1 0
0 1
_
x .
Example 3.4. The positive orthant 1
n
+
:= x| x
i
> 0, i 1 . . n is a trap for
x = Ax + uBx corresponding to the Lyapunov function V(x) = x
1
x
n
if for
all (a + b)V(x) > 0 whenever V(x) 0; that is, the entries of A and B
satisfy (see Chapter 6 for the details) a
i, j
> 0 and b
i, j
= 0 whenever i j. For a
generalization to the invariance of the other orthants, using a graph-theoretic
criterion on A, see Sachkov [229]. .
Other positivity properties of matrix semigroups can be usedto ndtraps;
the rest of this subsection leads in an elementary way to Example 3.5, which
do Rocio & San Martin & Santana [74] described using some nontrivial
semigroup theory.
Denition 3.3. For C 1
nn
and d Ilet P
d
(C) denote the property that all
of the dminors of matrix C are positive. .
Lemma 3.2. Given any two n n matrices M, N each dminor of MN is the sum
of
_
n
d
_
products of dminors of M and N;
P
d
(M) and P
d
(N) = P
d
(MN). (3.10)
96 3 Systems with Drift
Proof. The rst conclusion is a consequence of the Cauchy-Binet formula,
and can be found in more precise form in Gantmacher [101, V. I 2]; or see
Exercise 3.10. (The case d = 1 is just the rule for multiplying two matrices,
row-into-column.) From that (3.10) follows. ||
A semigroup whose matrices satisfy P
d
is called here a P
d
semigroup. Two
examples are well-known: GL
+
(n, 1) is a P
n
semigroup, and is transitive on
1
n
; and the P
1
semigroup 1
nn
+
described in Example 3.4. Let S[d, n] denote
the largest semigroup in 1
nn
with property P
d
. For d < n S[d, n] does not
have an identity, nor does it contain any units, but I belongs to its closure;
S[d, n]
_
I is a monoid.
Proposition 3.6. If n > 2 then S[2, n]
_
I is not transitive on 1
n
.
Proof. It suces to prove that S[2, 3]
_
I is not transitive on 1
3
.
The proof is indirect. Assume that the semigroup S := S[d, 3]
_
I is
transitive on 1
3
_
p
1
g
1,2
g
1,3
p
2
g
2,2
g
2,3
p
3
g
3,2
g
3,3
_
_
;
p
3
m
1,2
= p
1
p
3
g
2,2
+ p
2
p
3
g
1,2
> 0,
p
2
m
1,3
= p
1
p
2
g
2,3
p
2
p
3
g
1,2
> 0,
p
1
m
2,3
= (p
1
p
2
g
3,2
+ p
1
p
3
g
1,2
) > 0.
Adding the rst two inequalities we obtain a contradiction of the third one.
That shows that no element of the semigroup takes
1
to the open octants
x| x
1
> 0, x
2
< 0, x
3
> 0 and x| x
1
< 0, x
2
> 0, x
3
< 0 that have respectively
the sign orders +, , + and , +, .
That is enough to see what happens for larger n. The sign orders of
inaccessible targets G
1
have more than one sign change. That is, in the
ordered set g
1,1
, g
2,1
, g
3,1
, g
4,1
, . . . only one sign change can occur in G
1
;
otherwise there is a sequence of coordinates with one of the patterns +, , +
or , +, that leads to a contradiction.
11
||
Remark 3.1. i. For n = 3 the sign orders with at most one sign change are:
+, +, +, +, +, , +, , , , , , , , +, , +, +. These are consistent
withP
2
(G). That canbe seenfromthese matrices inS[2, 3] andtheir negatives:
11
Thanks to Luiz San Martin for pointing out the sign-change rule for the matrices in a
P
2
semigroup.
3.3 Controllability 97
_
_
1 1 1
1 2 3
1 3 5
_
_
,
_
_
1 1 1
1 2 1
1 1 2
_
_
,
_
_
1 2 1
1 1 1
1 1 1
_
_
,
The marginal cases 0, +, 0, +, 0, 0, 0, 0, +, +, 0, +, 0, +, +, +, +, 0 and
their negatives are easily seen to give contradictions to the positivity of the
minors.
ii. S[2, n] contains singular matrices. This matrix A dened by a
i, j
= j i
satises P
2
because for positive i, j, p, q the 2-minor a
i, j
a
i+p, j+q
a
i, j+q
a
i+p, j
= pq
and pq > 0; but since the ith row is drawn from an arithmetic sequence
j +(i) the matrix A kills any vector like col(1, 2, 1) or col(1, 1, 0, 1, 1) that
contains the constant dierence and its negative. (For P
2
it suces that be
an increasing function.) The semigroup P
2
matrices with determinant 1 is
S[2, n] SL(n, 1).
The matrices that are P
d
for all d n are called totally positive. An enter-
taining family of totally positive matrices with unit determinant has antidi-
agonals that are partial rows of the Pascal triangle:
a
i, j
=
( j + i 2)!
( j 1)!(i 1)!
, i, j 1 . . n; for example
_
_
1 1 1
1 2 3
1 3 6
_
_
. .
Proposition 3.7. Let S be the matrix semigroup generated by
with
A =
_
_
0 1 0 2
1 0 1 0
0 1 0 1
2 0 1 0
_
_
, B =
_
_
1 0 0 0
0 4 0 0
0 0 2 0
0 0 0 3
_
_
, A, B
[
= sl(4, 1),
so the interior of S is not empty. For any , for suciently small t the 2
minors of I + t(A + B) are all positive. From Proposition 3.7, P
2
holds for
each matrix in S. Thus S is a proper semigroup of SL(4, 1). It has no invariant
cones in 1
4
= G
(Appendix D).
then S for (3.2) is transitive on 1
n
.
Theorem 3.2. If the identity is in
S
then S
= G
.
Proof. By its denition as a set of transition matrices, G
is a connected set;
if we show that S
, then S
= G
will follow.
Suppose I
. Any X S
has
a neighborhood XU S
; therefore S
is open.
Let Y S
and let Y
i
S
so S
is closed in G
. ||
The following result is classical in control theory; see Lobry [189] or Jur-
djevic [149, Ch. 6]. The essential step in its proof is to show that I
n
is in the
closure of S
.
Proposition 3.9. If the matrix Lie group K is compact with Lie algebra k and the
matrices in (3.2) satisfy A, u
1
B
1
, . . . , u
m
B
m
| u
[
= k then S
= K.
Example 3.6. The system z = (i + 1)z + uz on C
= C
and i
0
= 1. If = 1 the system is controllable. If := [ , ] for
3.3 Controllability 99
0 < 1 then controllability fails. The semigroup S
is 1
_
z| z > 1, so 1
is not in its interior. If = 1 the unit circle in C
is the boundary of S
. .
Denition 3.5. A non-zero matrix C 1
nn
will be called neutral
12
if C
Q +
QC = 0 for some Q > 0.
Cheng [57] pointed out the importance of neutral matrices in the study of
controllability of bilinear systems; their properties are listed in the following
lemma, whose proof is an easy exercise in matrix theory.
Lemma 3.3 (Neutral matrices). Neutrality of C is equivalent to each of the fol-
lowing properties:
1. C is similar over 1 to a skew-symmetric matrix.
2. spec(C) lies in the imaginary axis and C is diagonalizable over C.
3. The closure of e
1C
is compact.
4. There exists > 0 and a sequence of times t
k
1
with t
k
such that
lim
k
[e
t
k
C
I[ = 0.
5. tr(C) = 0 and [e
tC
[ is bounded on 1.
Theorem 3.3. Let = 1
m
.
(i) If there are constants
i
such that A
:= A+
m
1
i
B
i
is neutral then S = G
;
(ii) If, also, the Lie rank of g
X = u
0
A
X + u
1
B
1
X;
the generalization for m > 1 is straightforward.
To return to (3.2) impose the constraint u
0
= 1, and a problem arises. We
need rst to obtain an approximation C g
to [A
, B
1
] that satises, for
some in an interval [0,
1
] depending on A
and B
1
,
C = e
A
B
1
e
A
.
If e
A
has commensurable eigenvalues it has some periodT; for any > 0 and
k Isuch that kT > , e
A
= e
(kT)A
; but for 0,
S() is not a group.
Proof. Choose a control value
1
such that
0
+
1
1
< 0; then the eigenvalues
of A +
1
B are real and of opposite sign. Choose
2
such that
2
> /2; the
eigenvalues are complex. The corresponding orbits of x = (A + B)x are
hyperbolas and (growing or shrinking) spirals. A trip from any to any
state x is always possible in three steps. From x(0) = choose u(0) =
2
and
keep that control until the spirals intersection at t = t
1
with one of the four
eigenvector rays for
1
; for t > t
1
use u(t) =
1
, increasing or decreasing
[x(t)[ according to which ray is chosen; and choose t
2
= t
1
+ such that
exp((A +
1
B)x(t
1
) = exp((A +
2
) x. See Example 3.7, where x = , and
Figure 3.2.
Since tr(A + uB) = 0, det(X(t; u)) = e
t
has only one sign. Therefore
S() is not a group for 0; I is on its boundary. ||
Remark 3.2. Thanks to L. San Martin (private communication) for the fol-
lowing observation. In the system of Proposition 3.10, if = 0 then
S(0) = SL(2, 1) (which follows from Braga Barros et al. [23] plus these obser-
vations:
S(0) is nonempty and transitive on 1
2
); also
GL
+
(2, 1) = SL(2, 1)
_
S(), < 0
_
S(), > 0. .
Example 3.7. Let
x =
_
1 1
u 0
_
x; p(s) = s
2
+ s u. (3.12)
This system is controllable on 1
2
2
= 3. The trajectories when u =
2
are stable spirals. For u =
1
, they
are hyperbolas; the stable eigenvalue 2 has eigenvector col(1, 1) and the
unstable eigenvalue 2 has eigenvector col(1, 2)). Sample orbits are shown
in Figure 3.2. As an exercise, using the gure nd at least two trajectories
leading from to .
Notes for this example: (i) any negative constant control is a stabilizer for
(3.12); (ii) the construction given here is possible if and only if 1/4
; (iii)
do Exercise 3.4. .
Remark 3.3. The time reversal of system (3.1) is
x = Ax +
m
i=1
v
i
(t)B
i
x, v(t) . (3.13)
14
Proposition 3.10 has not previously appeared.
3.3 Controllability 101
`
x
2
x
1
Fig. 3.2 Example 3.7: trajectories along the unstable and stable eigenvectors for
1
, and
two of the stable spiral trajectories for
2
. (Vertical scale = 1/2 horizontal scale.)
If using (3.1) one has = X(T; u) for T > 0 then can be reached from
by the system (3.13) with v
i
(t) = u
i
(T t), 0 t T; so the time-reversed
system is controllable on 1
n
and has
three controls, one of which is constrained:
x = F(u, v, w)x, F :=
_
_
u 1 v
1 u w
v w 3
_
_
x, u < 1, (v, w) 1
2
.
Since tr F(u, v, w) = 2u 3 < 0, for t > 0 the transition matrices satisfy
det(X(t; u)) < 1. Therefore S is not a group. Verify that the Lie algebra
F(u, v, w)
[
is transitive and show geometrically
15
that this system is con-
trollable. .
Hypersurface Systems
If m = n 1 and A, B
1
, . . . , B
n1
are linearly independent then (3.1) is called
a hypersurface system
16
and its attainable sets are easily studied. The most
understandable results use unbounded controls; informally, as Hunt [137]
points out, one canuse impulsive controls (Schwartz distributions) toachieve
transitivity on each n1-dimensional orbit G
to be compact so that
H is an ellipsoid.
Example 3.8. Suppose n = 2 and = 1. If A has real eigenvalues
1
> 0,
2
<
0 and B has eigenvalues i then (3.5) is controllable on 1
2
.
Since det(sI A uB) = s
2
+ (
2
1
)s +
2
u
2
. For u = 0 there are real
distinct eigenvectors , such that A =
1
and A =
2
. These two
directions permit arbitrary increase or decrease in x
x. .
Problem 3.1. To generalize Example 3.8 to n > 2 show that system (3.1) is
controllable on 1
n
if = 1
m
, A = diag(
1
, . . .
n
) has both positive and
negative eigenvalues, and G
.
3.4.1 Openness Conditions
For real-analytic control systems it has been known since [80, 251] and inde-
pendently [269] that controllability on a simply connected manifold implies
strong accessibility. (Example 1.8 shows what happens on 1
2
.) Thus, given
a controllable bilinear system (3.5) with n > 2, for each state x and each t > 0
the attainable set
t,
(x) contains a neighborhood of exp(tA)x. A way to
algebraically verify strong accessibility will be useful.
We begin with Theorem 3.4; it shows the eect of a specially designed
control perturbation u
i
(t)B
i
in (3.1) on the endpoint of a trajectory of x = Ax
while all the other inputs u
j
, j i are zero. It suces to do this for B
1
= B in
the single input system (3.5).
Suppose that the minimum polynomial of ad
A
(Section A.2.2) is
17
See Example 1.7 and Denition 1.10.
3.4 Accessibility 103
P() :=
r
+ a
r1
r1
+ + a
0
;
its degree r is less than n
2
.
Lemma 3.4. There exist r real linearly independent exponential polynomials f
i
such
that
e
t ad
A
=
r1
i=0
f
i
(t) ad
i
A
; (3.14)
P(d/dt) f
i
= 0 and
d
j
f
i
(0)
dt
j
=
i, j
, i 0 . . r1, j 0 . . r1.
Proof. The lemma is a consequence of Proposition 1.2 and the existence
theorem for linear dierential equations, because f
(r)
(t) + a
r1
f
(r1)
(t) + +
a
0
f (t) = 0 can be written as a linear dynamical system x = Cx on 1
r
where
x
i
:= f
(ri)
and C is a companion matrix. ||
Let F denote the kernel in C
of the operator P(
d
dt
); the dimension of F is r
and f
1
, . . . , f
r
is a basis for it. Choose for F a second basis g
0
, . . . , g
r1
that
is dual over [0, T]; that is,
_
T
0
f
i
(t)g
j
(t) dt =
i, j
. For any 1
r
dene
u(t; ) :=
r1
j=0
j
g
j
(t) and
k
(t; ) :=
_
t
0
u(s; ) f
k
(s) ds; (3.15)
note that
k
(T; )
i
=
i,k
. (3.16)
Lemma 3.5. For , u, as in (3.15) let X(t; u) denote the solution of
k=0
k
(t; ) ad
k
A
(B). (3.17)
Proof. First notice that the limit lim
0
X(u; t) = e
tA
is uniform in t on
[0, T]. To obtain the desired derivative with respect to one uses the fun-
damental theorem of calculus and the pullback formula exp(t ad
A
)(B) =
exp(tA)Bexp(tA) of Proposition 2.2 to evaluate the limit
104 3 Systems with Drift
1
(X(t; u) e
tA
) =
1
_
t
0
d
ds
_
e
(ts)A
X(s; u)
_
ds
=
1
_
t
0
e
(ts)A
_
(A + u(s)B)X(u; s) AX(u; s)
_
ds
=e
tA
_
t
0
u(s)e
sA
BX(u; s) ds
0
e
tA
_
t
0
e
s ad
A
(B)u(s) ds.
From (3.14)
lim
0
1
(X(t; u) e
tA
) = e
tA
r
i=1
_
ad
i
A
(B)
_
t
0
u(s) f
i
(s) ds
_
,
and using (3.15) the proof of (3.17) is complete. ||
Denition 3.6.
(i) System (3.5) satises the ad-condition
18
if for all x 1
n
rankM
a
(x) = n where M
a
(x) :=
_
Bx ad
A
(B)x ad
r
A
(B)x
_
. (3.18)
(ii) System (3.5) satises the weak ad-condition if for all x 1
n
rankM
w
a
(x) = n; M
w
a
(x) :=
_
Ax Bx ad
A
(B)x ad
r
A
(B)x
_
. (3.19)
.
The lists B, ad
A
(B), . . . , ad
r
A
(B), A, B, ad
A
(B), . . . , ad
r
A
(B) used in the two
ad-conditions are the matrix images of the Lie monomials in (2.13) that are
of degree one in B; their spans usually are not Lie algebras. Either of the
ad-conditions (3.18),(3.19) implies that the Lie algebra A, B
[
satises the
LARC, but the converses fail. The next theorem shows the use of the two
ad-conditions; see Denition 1.10 for the two kinds of accessibility.
Theorem 3.4. (I) The ad-condition (3.18) for (3.5) implies strong accessibility: for
all 0 and all t > 0, the set
t,
() contains an open neighborhood of e
tA
.
(II) The weak ad-condition (3.19) is sucient for accessibility: indeed, for all 0
and T > 0 the set
T
=0
= ad
i
A
(B), i 0 . . r1, (3.20)
18
The matrices M
a
(x), M
w
a
(x) are analogous to the Lie rank matrix M(x) of Section 2.4.2.
The ad-condition had its origin in work on Pontryagins Maximum Principle and the
bang-bang control problem by various authors. The denition in (3.18) is from Cheng
[56, 57], which acknowledges a similar idea of Krener [165]. The best-known statement of
the ad-condition is in Jurdjevic & Quinn [148].
3.4 Accessibility 105
so at = 0 the mapping 1
r
X(t; u) has rank n for each and each t > 0.
By the Implicit Function Theorem a suciently small open ball in 1
r
maps
to a neighborhood e
tA
, so
t,
() contains an open ball 1(e
tA
). Please note
that (3.20) is linear in B, and that 1(e
tA
) = 1(e
tA
).
To prove (II) use the control perturbations of part (I) and also use a
perturbation of the time along the trajectory; for T > 0
lim
0
1
_ [or
R
_
+
].
Proposition 3.11.
(i) If
R
_ = x
1
, . . . , x
n
, then M(x) has full rank on 1
n
( ad-condition ).
(ii) If
R
_
+
= x
1
, . . . , x
n
, then M
w
a
(X) has full rank on 1
n
(weak ad-condition).
.
For reference, here are the two ad-conditions for multi-input control sys-
tems (3.1). Table 3.1 provides an algorithm to obtain the needed matrices.
The ad-condition: for all x 0
rankad
i
A
(B
j
)x| 0 i r, 1 j m = n. (3.21)
The weak ad-condition: add Ax to the list in (3.21):
rankAx, B
1
x, . . . , B
m
x, ad
A
(B
1
)x, . . . , ad
r
A
(B
m
)x = n. (3.22)
106 3 Systems with Drift
LieTree.m
AdCon::Usage="AdCon[A,L]: A, a matrix;
L, a list of matrices; outlist: {L, [A,L],...}."
AdCon[A_, L_]:= Module[
{len= Length[L], mlist={},temp, outlist=L,dp,dd,i,j,r,s},
{dp = Dimensions[A][[1]];
dd = dp*dp; temp = Array[te, dd];
For[i = 1, i < len + 1, i++,
{mlist = outlist; te[1] = L[[i]];
For[j = 1, j < dd, j++,
{r = Dim[mlist]; te[j + 1] = A.te[j] - te[j].A;
mlist = Append[mlist, te[j + 1]]; s = Dim[mlist];
If[s > r, outlist = Append[outlist, te[j + 1]], Break[]];
Print[j] } ] } ]; outlist}]
Table 3.1 Generating the ad-condition matrices for m inputs.
Theorem 3.4 does not take full advantage of multiple controls (3.1). Only
rst-order terms in the perturbations are used in (3.21), so brackets of degree
higher than one in the B
i
do not appear. There may be a constant control
u = such that the ad-condition is satised by the set
A, B
1
, . . . , B
m
where
A = A +
1
B
1
+ +
m
B
m
; this is one way of introducing higher-
order brackets in the B
i
. For more about higher-order variations and their
applications to optimal control see Krener [165] and Hermes [125].
Exercise 3.4. Show that the ad-condition is satised by the system (3.12) of
Example 3.7. .
3.5 Small Controls
Conditions that are sucient for system(3.5) to be controllable for arbitrarily
small control bounds are close to being necessary; this was shown in Cheng
[56, 57] fromwhichthis sectionis adapted. That preciselythe same conditions
permit the construction of stabilizing controls was independently shown in
Jurdjevic & Quinn [148].
Denition 3.7. If for every > 0 the system x = Ax + uBx with u(t) is
controllable on 1
n
Qx is a non-
empty set x| V(x) < 0; a positive domain is likewise a set x| V(x) > 0. By the
continuity and homogeneity of V, such a domain is an open cone.
3.5 Small Controls 107
Lemma 3.6. If there exists a nonzero vector z C
n
such that Az =
1
z with
T(
1
) > 0 then there exists > 0 and a symmetric matrix R such that A
R+RA =
R I and V(x) := x
R + RA 2R + I = 0. Let z = +
1, then
0 = z
(A
R + RA)z 2z
Rz + z
z = (
1
+
1
2)z
Rz + z
z;
1
+
1
> 2, so z
Rz =
z
1
+
1
2
< 0. That is,
R +
R =
1
+
1
2
< 0
so at least one of the quantities V(), V() is negative, establishing that V has
a negative domain. ||
Proposition 3.12. If (3.5) is small-controllable then spec(A) is imaginary.
Proof.
19
First suppose A has at least one eigenvalue with positive real part,
that R and are as in the proof of Lemma 3.6, and that V(x) := x
Rx. Along
trajectories of (3.5)
x + 2ux
Bx.
Impose the constraint u() ; then W(x) < x
x + 2[B[x
x, and if is
suciently small, W is negative denite. Then
V V(x) for all controls
such that u < ; so V(x(t)) V(x(0)) exp(t). Choose an initial condition
such that V() < 0. All trajectories x(t) starting at satisfy V(x(t)) < 0, so
states x suchthat V(x) V() cannot be reached, contradictingthe hypothesis
of small-controllability. Therefore no eigenvalue of Acan have a positive real
part.
Second, suppose A has at least one eigenvalue with negative real part. If
for a controllable system (3.5) we are given any , and a control u such that
X(T; u) = then the reversed-time system (compare (1.40))
Z = AZ + u
R + RA = R I and
V(x) := x
Q(z x) <
2
.
If A
Q + QA = 0 then exp(tA)
.
Proof. Dene := [[. From neutrality and Lemma 3.3 Part 4, there exists a
sequence of times T := t
i
1
such that
X(t
k
; 0) = e
t
k
A
1
Q,/k
().
Take := [ , ] for any > 0. By Theorem 3.4, for some > 0 depending
on and any > 0 there is a Q-ball of size such that
1
Q,
(e
A
)
,
().
From (3.23) that relation remains true for any = t
k
T such that 1/k < /2.
Therefore
1
Q,/k
()
,
().
Controllability follows from the Continuation Lemma (page 22). ||
Corollary 3.1. If (3.5) satises the ad-condition and for some constant control
the matrix A
x, there
are two corresponding nonzero equilibria , given by the linear algebraic
equations
(A +
1
B) = 0, c
=
1
,
(A +
2
B) = 0, c
=
1
.
Stabilization methods for bilinear systems often have used quadratic Lya-
punov functions. Some work has used the bilinear case of the following
well-known theorem of Jurdjevic & Quinn [148, Th. 2].
20
Since it uses the hy-
potheses of Proposition 3.13, it will later be improved to a small-controllable
version, Theorem 3.8.
Theorem 3.5. If x = Ax + uBx satises the ad-condition (3.18) and A is neutral,
then there exists a feedback control u = (x) such that the origin is the unique global
attractor of the dynamical system x = Ax + (x)Bx.
Proof. There exists Q > 0 such that QA + A
Q = 0. A linear change of
coordinates makes Q = I, A + A
Bx)
2
0 for all x 0. If B > 0, the origin is the unique global
attractor for f; if not, fV(x) = 0 on a nontrivial set U = x| x
Bx = 0. The
trajectories of x = f (x) will approach (or remain in) an f-invariant set U
0
U.
On U, however, x = Ax so U
0
must be a-invariant; that fact can be expressed,
using A
= A, as
0 = x(t)
Bx(t) =
e
tA
Be
tA
=
e
t ad
A
(B).
Nowuse the ad-condition: U
0
= 0. ByLaSalles invariance principle (Propo-
sition 1.9) the origin is globally asymptotically stable. ||
Denition 3.8. The system (3.1) will be called a JQ system if A is neutral and
the ad-condition is satised. .
The ad-condition and the neutrality of A are invariant under linear coor-
dinate transformations, so the JQ property is invariant too. Other similarity
invariants of (3.5) are the real canonical form of B and the coecients of the
characteristic polynomial p
A+B
(s).
Remark 3.5. Using the quadratic feedback in the above theorem, [x(t)[
2
ap-
proaches 0 slowly. For example, with A
x. Using
the feedback (x) = V(x),
V = V
2
; if V() = then V(x(t)) = /(1 + 2t).
This slowness can be avoided by a change in the method of Theorem 3.5,
as well as a weaker hypothesis; see Theorem 3.8. .
3.6.1 A Question
If a bilinear system is controllable on 1
n
?
Since this question has a positive answer in case (a) for linear control
systems it is worth asking for bilinear systems. Example 3.11 will answer
part (a) of our question negatively, using the following well-known lemma.
Lemma 3.7. If for each real at least one eigenvalue of A + B lies in the right
half-plane then there is no C
1
mapping : 1
n
1for which the closed-loop system
x = Ax + (x)Bx is asymptotically stable at 0.
Proof. The conclusion follows from the fact that any smooth feedback must
satisfy (x) = (0) +
=
_
1
1 0
_
, B =
_
0 0
1 0
_
for small and positive. As in Example 3.7, x = A
x + uBx is controllable:
the trajectories for u = 1 are expanding spirals and for u = 2 the origin is a
saddle point. The polynomial det(sI A
B) = s
2
s ++1 always has at
least one root with positive real part; by Lemma 3.7 no stabilizer smooth
on 1
n
exists. .
Part (b) of the question remains as an open problem; there may be a
stabilizer smooth on 1
n
Bx)/(x
x) is a stabilizer for
<
0
:= 0.2532; the dynamical system x = A
1
0
0
1
_
. Let
A = A
a
1
B =
_
0 c
b 0
_
.
The hypothesis on p
1
implies here that det(
A) det(B) < 0; then bc < 0 so
det(Bx, [
A, B]x) = 2
1
(bx
2
1
t
2
2
) is denite (the ad-condition). The JQ property
is thus true for x =
Ax + uBx with
V(x) =
1
2
(bx
2
1
+ cx
2
2
);
(x) :=
1
(bx
2
1
cx
2
2
)
is its stabilizing control, so (x) :=
(x) a/
1
stabilizes x = Ax + uBx.
(b ) The calculations for this double-root case are omitted; the ad-condition
is satised because
rank(Bx, ad
A
(B)x, ad
2
A
(B)x) = 2;
(x) =
1
b
(a
2
+ bc + 1) b
2
x
1
x
2
+ abx
2
2
.
(c ) Let
A = A + (2b/)B, then V(x) := (3x
2
1
+ x
2
2
)/2 > 0 is constant on
trajectories of x =
Ax. to verify the ad-condition show that two of the three
2 2 minors of (Bx, ad
A
(B)x, ad
2
A
(B)x) have the origin as their only common
21
The weak ad-condition (3.19), which includes Ax in the list, was called the Jurdjevic
& Quinn condition by Chabour & Sallet & Vivalda [52, Def. 1.1] and was called the ad-
condition by [102] and others; but like Jurdjevic & Quinn [148], the proofs in these papers
need the strong version.
3.6 Stabilization by State-Dependent Inputs 113
zero. Since x 2x
1
x
2
stabilizes x =
Ax + uBx, use (x) := 2b/ + 2x
1
x
2
to
stabilize the given system. ||
Theorem 2.1.3 in [52], which is a marginal case, provides a quadratic
stabilizer when B is similar to a real diagonal matrix, p
1
> 0, p
2
< 0, p
3
= 0
anddet(B) 0, citing Bacciotti &Boieri [14], but the stabilization is not global
and better results can be obtained using the stabilizers in the next section.
3.6.3 Stabilizers, Homogeneous of Degree Zero
Recalling Denition 2.4, a function : 1
n
1 is called homogeneous of
degree zero if it satises (x) = (x) for all real . To be useful as a stabilizer
it also must be bounded on 1
n
x/
Rx)/(x
x/[x[ [c[;
min
(R) x
Rx/(x
x)
max
(R).
If they stabilize at all, the stabilization is global, since the dynamical system
is invariant under the mapping x x.
One virtue of 1
k
0
in two dimensions is that such a function can be ex-
pressed in terms of sin
k
() and cos
k
() where x = r cos(), y = r sin(). Polar
coordinates are useful in looking for 1
1
0
stabilizers for non-JQ systems; see
Bacciotti & Boieri [15] and the following example.
Example 3.13. If tr(B) = 0 = tr(A), no pair (A + B, B) is JQ. Let
x =
_
1 0
0 1
_
x + u
_
0 1
1 0
_
x. In polar coordinates
r = r cos(2),
= 2 cos() sin() u.
For c > 2 let u = c cos() = c
x
1
[x[
1
1
0
.
Then
= (2 sin() + c) cos() has only two equilibria in [, ] located
at = /2 (where r = 1) and one of them is -stable. The origin is
globally asymptotically stable but for trajectories starting near the -unstable
direction r(t) initially increases. Edit the rst fewlines of the script in Exercise
3.11 to plot the trajectories. .
The following theorem is paraphrased from Chabour & Sallet & Vivalda [52,
Th. 2.1.4, 2.2.3, 2.3.2]. See page 89 for the p
i
invariants.
114 3 Systems with Drift
Theorem 3.7. Systems (3.5) on 1
2
1
0
0
2
__
,
1
> 0,
2
0,
() = sin(2) + sin(2).
(b) (A, B)
__
a b
b a
_
, B =
_
0 1
0 0
__
, a > 0,
() = b sin(2), < 0.
(c) (A, B)
__
a b
b a
_
,
_
0
0
__
,
() =
1
_
b cos(2) + cos( +
3
4
)
_
.
3.6.4 Homogeneous JQ Systems
In the n-dimensional case of x = Ax + uBx, we can now improve Theorem
3.5. Its hypothesis (ii) is just the ad-condition stated in a formulation using
some quadratic forms that arise naturally from our choice of feedback.
Theorem 3.8. If (i) A
Bx, x
[A, B]x, . . . , x
(ad
A
)
k
(B)x) is the origin, then the origin is globally
asymptotically stabilizable for x = Ax + uBX with an 1
2
0
feedback whose bounds
can be prescribed.
Proof. Note that A
Bx
x
x
. Then fV(x) =
(x
Bx)
2
x
x
0.
Let W(x) := x
Bx, aW(x) = x
(ad
A
)
k
(B)x.
The only a-invariant subset U
0
U is the intersection of the zero-sets of the
quadratic forms (a)
k
W(x), 0 k < n
2
; from hypothesis (ii), U
0
= 0. The
global asymptotic stability is nowa consequence of Proposition 1.9, LaSalles
Invariance Principle. To complete the conclusion we observe that the control
is bounded by minspec(B) and max spec(B). ||
The denominator x
P = Q.
Problem 3.3.
22
If a homogeneous bilinear system is locally stabilizable, is it
possible to nd a feedback (perhaps undened at the origin) which stabilizes
it globally?
3.6.5 Practical Stability and Quadratic Dynamics
Given a bilinear system (3.1) with m linear feedbacks u
i
:= c
(i)
x, the closed
loop dynamical system is
x = Ax +
m
i=1
x
c
(i)
B
i
x.
We have seen that stabilization of the origin is dicult to achieve or prove
using such linear feedbacks; the most obvious diculty is that the closed-
loop dynamics may have multiple equilibria, limit cycles or other attractors.
However, a cruder kind of stability has been dened for such circumstances.
A feedback control (x) is said to provide practical stabilization at 0 if there
exists a Q-ball 1
Q,
(0) such that all trajectories of (3.3) eventually enter and
remain in the Q-ball. If we use a scaled feedback (x), by the homogeneity
of (3.5) the newQ-ball will be 1
Q,/
(0). That fact (Lemma 3 in [49]) has the in-
teresting corollary that practical stability for a feedback that is homogeneous
of degree zero implies global asymptotic stability.
22
J.C. Vivalda, private communication, January 2006.
116 3 Systems with Drift
x such
that with u := + c
A := P(A +
0
B)P
1
=
_
1
0
0
2
_
,
1
> 0,
2
< 0; B =
_
0 1
1 0
_
.
For x = (
A + uB)x let u := (, 0)
V(x) =
1
x
2
1
+
2
_
(x
2
1
/)
2
(
1
/)
2
_
.
||
Theorem 3.10 (
Celikovsk & Van e cek [51] points out that the famous Lorenz [193] dy-
namical system can be represented as a bilinear control system
x = Ax + uBx, A =
_
_
0
1 0
0 0
_
_
, B =
_
_
0 0 0
0 0 1
0 1 0
_
_
(3.24)
with positive parameters , , and linear feedback u = x
1
. For parameter
values near the nominal = 10, b = 8/3, = 28 the Lorenz system has
a bounded limit-set of unstable periodic trajectories with indenitely long
periods (a strange attractor); for pictures see [51], which shows that such
chaotic behavior is common if, as in (3.24) x = Bx is a rotation and A has real
eigenvalues of which two are negative and one positive. In (3.24) that occurs
if > 1.
For the Lorenz system (3.24) det(A + sB) = b( 1) s
2
, whose roots
_
b( 1) are real for 1. The two corresponding equilibrium points are
col
_ _
b( 1),
_
b( 1), 1
_
, col
_
_
b( 1),
_
b( 1), 1
_
.
Next, a computationwiththe script of Table 2.4 reveals that = 9, so A, B
[
=
gl(3, 1), and (supposing > 0) has radical ideal J = x
3
, x
2
, x
1
.
Example 3.14. The rotated semistable systems are not suciently general to
deal with several other well known quadratic systems that show bounded
chaos. There are biane systems with feedback u = x
1
that have chaotic
behavior including the Rssler attractor
x =
_
_
0 1 1
1 3/20 0
0 0 10
_
_
x +
_
_
0
0
1/5
_
_
+ x
1
_
_
0 0 0
0 0 0
0 0 1
_
_
x
and self-excited dynamo models of the Earths magnetic elds (Hide &
Skelton & Acheson [126]) and other homopolar electric generators
x =
_
_
1 0
0
1 0
_
_
x +
_
_
0
0
_
_
+ x
1
_
_
0 1 0
0 0
0 0 1
_
_
x. .
That any polynomial dynamical system x = Ax+p(x) with p(x) =
2
q(x) can
be obtained by using linear feedback in some bilinear system (3.1) was men-
tionedinBruni &Di Pillo&Koch[43] andanexplicit constructionwas shown
by Frayman [96, 97]. Others including Markus [201] and Kinyon & Sagle
[160] have studied homogeneous quadratic dynamical systems x = q(x). Let
(x, y) := q(x + y) q(x) q(y); A nonassociative commutative algebra Q
is dened using the multiplication x y = (x, y). Homogeneous quadratic
dynamical systems may have multiple equilibria, nite escape time (see Sec-
tion B.3.2) limit cycles, and invariant cones; many qualitative properties are
118 3 Systems with Drift
the dynamical consequences of various algebraic properties (semisimplicity,
nilpotency, . . . ) of Q.
3.7 Lie Semigroups
The controllability of (3.1) on 1
n
[
, the attainable
set is S
G GL
+
(n, 1). If G is closed it is an embedded submanifold of
GL
+
(n, 1); in that case we can regard (3.2) as a right-invariant control system
on G.
For (3.1) tobe controllable on1
n
. If
S = G then (3.1) is controllable. In older works G was either SL(n, 1) or
GL
+
(n, 1), whose Lie algebras are easily identied by the dimension of their
bases ( = n 1 or = n) obtained by the LieTree algorithm in Chapter
2. Recently do Rocio & San Martin & Santana [74] carried out this program
for subsemigroups of each of the transitive Lie groups listed in Boothby &
Wilson [32].
The important work of Jurdjevic &Kupka [147, Parts IIIII] (also Jurdjevic
[149]) on matrix control systems (3.2) denes the accessibility set to be S, the
topological closure of S in G. The issue they considered is: when is S = G?
Sucient conditions for this equality were given in [147] for connected
simple or semisimple Lie groups G. Two control systems on G are called
equivalent in [147] if their accessibility sets are equal. LS called the Lie saturate
of (3.2) in Jurdjevic & Kupka [147].
23
For right-invariant control systems (3.2) on closed Lie groups see the basic papers
of Brockett [36] and Jurdjevic & Sussmann [151], and many subsequent studies such as
[37, 147, 180, 127, 128, 149, 254]. Sachkov [230, 232] are introductions to Lie semigroups
for control theorists.
24
Control systems like
X = [A, X] + uBX on closed Lie groups have a resemblance to
linear control systems and have been given that name in Ayala & Tirao [12] and Cardetti
& Mittenhuber [48], which discuss their controllability properties.
3.7 Lie Semigroups 119
LS := A, B
1
, . . . , B
m
[
_
X [(G)| exp(tX) S for all t > 0 (3.25)
is called the Lie saturate of (3.2). Example 2.5 illustrates the possibility that
S S.
Proposition 3.14 (Jurdjevic & Kupka [147, Prop. 6]). If LS = [(G), then (3.2)
is controllable. .
Theorem 3.11 (Jurdjevic & Kupka [147]). Assume that tr(A) = 0 = tr(B) and
B is strongly regular. Choose coordinates so that B = diag(
1
, . . . ,
n
). If A satises
a
i, j
0 for all i, j such that i j = 1 and (3.26)
a
1,n
a
n,1
< 0 (3.27)
then with = 1, x = (A + uB)x is controllable on 1
n
.
Denition 3.9. A matrix P 1
nn
is called a permutation matrix if it can be
obtainedby permuting the rows of I
n
. Asquare matrix Ais calledpermutation-
reducible if there exists a permutation matrix P such that
P
1
AP =
_
A
1
A
2
0 A
3
_
where A
3
1
kk
, 0 < k < n.
If there exists no such P then
25
P is called permutation-irreducible. .
Gauthier & Bornard [103, Th.3] shows that in Theorem 3.11 the hypothe-
sis (3.26) on A can be replaced by the assumption that A is permutation-
irreducible.
Hypothesis (3.26) can also be replaced by the condition that A, B
[
=
sl(n, 1), which was used in a new proof of Theorem 3.11 in San Martin [233];
that condition is obviously necessary.
For two-dimensional bilinear systems the semigroup approach has pro-
duced an interesting account of controllability in Braga Barros et al. [23]. This
paper rst gives a proof that there are only three connected Lie groups tran-
sitive on 1
2
; they are GL
+
(2, 1), SL(2, 1), C
= SO(2) 1
1
+
, as in Appendix D.
These are discussed separately, but the concluding section gives necessary
and sucient conditions
26
for the controllability of (3.5) on R
2
, paraphrased
here for reference.
Controllability det([A, B]) < 0 in each of these cases:
1. det(B) 0 and B 0.
2. det(B) > 0 and tr(B)
2
4 det(B) > 0.
25
There are graph-theoretical tests for permutation-reducibility, see [103].
26
Some of these conditions, it is mentioned in [23], had been obtained in other ways by
Lepe [181] and by Jo & Tuan [145].
120 3 Systems with Drift
3. tr(A) = 0 = tr(B).
If B =
_
1
0
_
then controllability det([A, B]) 0.
If B = kI then controllability tr(A)
2
4 det(A) < 0.
If det(B) > 0 and tr(B) 0 then controllability A and B are linearly
independent.
If B is neutral, controllability det([A, B]) + det(B) tr(A)
2
< 0.
If B is neutral and tr(A) = 0 then controllability [A, B] 0.
Ayala & San Martin [11] also contributed to this problem in the case that A
and B are in sl(2, 1).
3.7.1 Sampled Accessibility and Controllability*
Section 1.81) described the sampled-data control system
x
+
= e
(A+uB)
x, u() ; (3.28)
S := e
(A+u(k)B)
. . . e
(A+u(1)B)
| k I
is its transition semigroup. Since it is linear in x it provides easily computed
solutions of x = Ax + uBx every seconds.
System (3.28) is said to have the sampled accessibility property if for all
there exists T Isuch that
e
(A+u(T)B)
. . . e
(A+u(1)B)
| u()
has open interior. For the corresponding statement about sampled observ-
ability see Proposition 5.3 on page 152.
Proposition 3.15 (Sontag [247]). If x = (A+uB)x has the accessibility property on
1
n
of eigenvalues of A satises (+
)
2k, k 0 then (3.28)will have the sampled accessibility property. .
If A, B
[
= sl(n, 1), and the pair (A, B) satises an additional regularity
hypothesis (stronger than that of Theorem 3.11) then (San Martin [233, Th..
3.4, 4.1]) S = SL(n, 1), which is transitive on 1
n
? There is a
3.8 Biane Systems 121
sizable literature on this question, for more general semigroups. The chapter
by J. Lawson [174] in [89] is the main source for this Section.
A subset W of a matrix Lie algebra g over 1 is called a closed wedge if
W is closed under addition and by multiplication by scalars in 1
+
, and is
topologically closed in g. (A wedge is just a closed convex cone, but in Lie
semigrouptheory the newtermis useful.) The set WWis largest subspace
contained in W and is called the edge of W. If the edge is a subalgebra of g it
is called a Lie wedge.
Denition 3.10. The subtangent set of S is
L(S) := X g| exp1
+
X S.
The inclusion L(S) g is proper unless A spanB
1
, . . . , B
m
. .
Theorem 3.12 (Lawson [174, Th. 4.4]). If S G is a closed subsemigroup con-
taining I then L(S) is a Lie wedge.
However, given a wedge W there is, according to [174], no easy route to
a corresponding Lie semigroup. For introductions to Lie wedges and Lie
semigroups Hilgert & Hofmann & Lawson [127] and Hilgert & Neeb [128]
are notable. Their application to control on solvable Lie groups was studied
by Lawson & Mittenhuber [173]. For the relationship between Lie wedge
theory and the Lie saturates of Jurdjevic and Kupka see Lawson [174].
3.8 Biane Systems
Many of the applications mentioned in Chapter 6 lead to the biafne (inho-
mogeneous bilinear) control systems introduced in Section 1.4.
27
This section is primarily about some aspects of the system
x = Ax + a +
m
i=1
u
i
(t)(B
i
x + b
i
), x, a, b
i
1
n
(3.29)
and its discrete-time analogs that can be studied by embedding them as
homogeneous bilinear systems in 1
n+1
as described below in Sections 3.8.1,
4.4.6 respectively. Section 3.8.3 contains some remarks on stabilization.
The controllability theory of (3.29) began with the 1968 work of Rink
& Mohler [224], [206, Ch. 2], where the term bilinear systems was rst
introduced. Their method was strengthened in Khapalov & Mohler [158];
27
Mohlers books [205, 206, 207] contain much about biane systems controllability,
optimal control, and applications, using control engineering methods. The general meth-
ods of stabilization given in Isidori [141, Ch. 7] can be used for biane systems for which
the origin is not a xed point, and are beyond the scope of this book.
122 3 Systems with Drift
the idea is to nd controls that provide 2m + 1 equilibria of (3.29) at which
the local uncontrolled linear dynamical systems have hyperbolic trajectories
that can enter and leave neighborhoods of these equilibria (approximate
control) and to nd one equilibrium at which the Kalman rank condition
holds.
Biane control systems canbe studiedby a Lie groupmethodexemplied
in the 1982 paper Bonnard et al. [28], whose main result is given below as
Theorem 3.13, and in subsequent work of Jurdjevic and Sallet quoted as
Theorem 3.14. These are prefaced by some denitions and examples.
3.8.1 Semidirect Products and Ane Groups
Note that 1
n
, with addition as its group operation, is an Abelian Lie group.
If G GL(n, 1) then the semidirect product of G and 1
n
is a Lie group
G := 1
n
~G whose underlying set is (v, X)| v 1
n
, X G and whose group
operation is (v, X) (w, Y) := (v +Xw, XY) (see Denition B.16 for semi-direct
products). Its standard representation on 1
n+1
is
G =
_
A :=
_
A a
0
1,n
1
_
A G, a 1
n
_
GL(n + 1, 1).
The Lie group of all afne transformations x Ax +a is 1
n
~GL(n, 1), whose
standard representation is called A(n, 1). The Lie algebra of A(n, 1) is the
representation of 1
n
gl(n, 1) (see Denition B.16) and is explicitly
aff(n, 1) :=
_
X :=
_
X x
0
1,n
0
_
X gl(n, 1), x 1
n
_
gl(n, 1
n+1
); (3.30)
[
X,
Y] =
__
X x
0
1,n
0
_
,
_
Y y
0
1,n
0
__
=
_
[X, Y] Xy Yx
0
1,n
0
_
.
With the help of this representation one can easily use the two canonical
projections
1
:
G 1
n
,
2
:
G G,
1
_
A a
0
1,n
1
_
= a,
2
_
A a
0
1,n
1
_
= A.
For example, 1
n
~ SO(n) A(n, 1) is the group of translations and proper
rotations of Euclidean n-space. For more examples of this kind see Jurdjevic
[149, Ch. 6].
Using the ane group permits us to represent (3.29) as a bilinear system
whose state vector is z := col(x
1
, . . . , x
n
, x
n+1
) and for which the hyperplane
3.8 Biane Systems 123
L := z| x
n+1
= 1 is invariant. This system is
z =
Az +
m
i=1
u
i
B
i
z, for
A =
_
A a
0
1,n
0
_
,
B
i
=
_
B
i
b
i
0
1,n
0
_
. (3.31)
The Lie algebra of the biane system (3.31) can be obtained from its Lie tree,
which for m = 1 is T(
A,
A,
B] =
_
[A, B] AbBa
0
1,n
0
_
,
[
A, [
A,
B]] =
_
[A, [A, B]] A
2
bABa[A, B]a
0
1,n
0
_
,
[
B, [
B,
A]] =
_
[B, [B, A]] B
2
aBAb[B, A]b
0
1,n
0
_
, . . . .
A single-input linear control system
28
x = Ax+ub corresponds is a special
case of (3.29). For its representation in A(n, 1) let
z := col(x
1
, . . . , x
n
, x
n+1
); z =
Az + u(t)
Bz, z(0) =
_
1
_
, where
A =
_
A 0
n,1
0
1,n
0
_
,
B
i
=
_
0
n,n
b
0
1,n
0
_
; ad
k
A
(
B) =
_
0
n,n
A
k
b
0
1,n
0
_
.
Corresponding to the projection
1
of groups, there is a projection dp
1
of the
Lie algebra
A,
B
[
aff(n, 1):
d
1
_
Az,
Bz, ad
1
A
(
B)z, . . . , ad
n
A
(
B)z
_
= Ax, b, Ab, . . . , A
n1
b, (3.32)
rank
_
Ax b Ab . . . A
n1
b
_
= n for all x 1
n
rank
_
b Ab . . . A
n1
b
_
= n
which is the ad-condition for x = Ax + ub.
3.8.2 Controllability of Biane Systems
Bonnard et al. [28] dealt with semidirect products
G := V ~ K where K is a
compact Lie group with Lie algebra k and we can take V = 1
n
; the Lie algebra
of
G is 1
n
k and its matrix representation is a subalgebra of aff(n, 1). The
28
This way of looking at linear control systems as bilinear systems was pointed out
in Brockett [36]. The same approach to multiple-input linear control systems is an easy
generalization, working on 1
n+m
.
124 3 Systems with Drift
system(3.31) acts on (the matrix representation of)
G. Letg =
A,
B
1
, . . . ,
B
m
[
and let S be the semigroup of transition matrices of (3.31). The rst problem
attacked in [28] is to nd conditions for the transitivity of S on G; we will
discuss the matrix version of this problem. One says that x is a xed point of
the action of K if Kx = x for some x 1
n
.
Theorem 3.13 (BJKS [28, Th. 1]). Suppose that 0 is the only xed point of the
compact Lie group K on 1
n
. Then for (3.31), S is transitive on
G if and only if
g = 1
n
k.
The LARC on
G projects to the LARC on K, so transitivity of S on K follows
from Proposition 3.9.
To apply the above theorem to (3.29), following [28], suppose that the
bilinear system on K induced by
2
is transitive on K, the LARC holds on
1
n
i=1
u
i
(t)B
i
x, = 1
m
; and (3.33)
(II) for each x 1
n
there exists some constant control u 1
m
for which
X 0
for (3.29) (the no-xed-point condition);
then the inhomogeneous system (3.29) is controllable on 1
n
; and for suciently
small perturbations of its coecients, the perturbed system remains controllable.
Example 3.15. A simple application of Theorem 3.13 is the biane system on
1
2
described by x = uJx + a, = 1, a 0. The semidirect product here is
1
2
~T
1
. Since T
1
is compact; 0 1
2
is its only xed point; and the Lie algebra
_
_
_
_
0 u a
1
u 0 a
2
0 0 0
_
_
_
_
[
= span
_
_
_
_
0 u
1
u
2
a
1
+ u
3
a
2
u
1
0 u
3
a
2
u
2
a
1
0 0 0
_
_
_
_
is the Lie algebra of 1
2
~ T
1
, controllability follows from the Theorem.
Note: the trajectories are given by x(t) = exp(Jv(t)) + (J; v(t))a where
v(t) =
_
t
0
u(s) ds and is dened in Section 1.1.3; using (1.14), x(T) =
for any T and u such that v(T) = 2, .
Example 3.16. Suppose that the bilinear system x = Ax+uBx satises A
+A =
0 and the ad-condition on 1
n
such that
A + c
x results in the
asymptotic stability of the origin for x = (A + bc
)x + (c
Bz, z =
_
x
z
n+1
_
, z
n+1
(0) = 1. (3.35)
If the matrices
B, ad
1
A
(
B), . . . , ad
n1
A
(
A,
_
n1
k=0
y
k+1
ad
k
A
(B)
_
_
z(0).
Example 3.17 (
Celikovsk [50]). For (3.34) with n = 3 let := 0,
A :=
_
_
3 0 0
0 2 0
0 0 1
_
_
, B :=
_
_
0 0 0
0 0 1
0 1 0
_
_
, b =
_
_
1
1
1
_
_
; rank(b, Ab, A
2
b) = 3.
(y) =
2
k=0
_
_
3
k
2
k
1
_
_
y
k+1
+
1
2
(y
1
+ y
2
+ y
3
)
2
_
_
0
1
0
_
_
is the required dieomorphism. Exercise: showthat
1
is quadratic and that
y satises y = Fy + ug, where (F, g) is a controllable pair. .
3.9 Exercises
Exercise 3.7. For Section 3.6.3, with arbitrary Q > 0 nd the minima and
maxima over 1
n
of
c
Qx
and
x
Rx
x
Qx
. .
Exercise 3.8. If n = 2, show that A is neutral if and only if tr(A) = 0 and
det(A) > 0. .
Exercise 3.9. For the Examples 1.7 and 1.8 in Chapter 1, nd the rank of M(x),
of M
a
(x), and of M
w
a
(x). .
Exercise 3.10. This Mathematica script lets you verify Lemma 3.2 for any
1 d < n, 1 k, m n. The case d = n, where Minors fails, is just det(PQ) =
det(P) det(Q).
n = 4; P = Table[p[i, j], i, n, j, n];
Q = Table[q[i, j], i, n, j, n]; R = P . Q;
d = 2; c = n!/(d!*(n - d)!); k = 4; m = 4;
Rminor = Expand[Minors[R, d][[k,m]]];
sumPQminors =
Expand[Sum[Minors[P,d][[k,i]]*Minors[Q,d][[i,m]],i,c]];
Rminor - sumPQminors .
3.9 Exercises 127
Exercise 3.11. The Mathematica script below is set up for Example 3.12. To
choose a denominator den for u, enter 1 or 2 when the programasks for denq.
The init initial states lie equispaced on a circle of radius amp. With a few
changes (use a new copy) this script can be used for Example 3.13 and its
choices of .
A={{0,-1},{1,0}};B={{1,0},{0,-1}}; X={x,y};
u=(-x/5-y)/den; denq=Input["denq"];
den=Switch[denq, 1,1, 2,Sqrt[X.X]];
F=(A+u*B).X/.{x->x[t],y->y[t]};
Print[A//MatrixForm,B//MatrixForm]; Print["F= ",F]
time=200; inits=5; amp=0.44;
For[i=1,i<=inits,i++,tau=2*Pi/inits;
S[tau_]:=amp*{Cos[i*tau],Sin[i*tau]};
eqs[i]={x[t]==F[[1]],y[t]==F[[2]],
x[0]==S[tau][[1]],y[0]==S[tau][[2]]};
sol[i]=NDSolve[eqs[i],x,y,t,0,time,MaxSteps->20000]];
res=Table[x[t],y[t]/.sol[i],{i,inits}];
Off[ParametricPlot::"ppcom"];
ParametricPlot[Evaluate[res],{t,0,time},PlotRange->All,
PlotPoints->500,AspectRatio->Automatic,Axes->True];
Plot[Evaluate[(Abs[x[t]]+Abs[y[t]])/.sol[inits]],t,0,time];
(* The invariants under similarity of the pair (A,B): *)
i0=Det[B];
i1=(Tr[A]*Tr[B]-Tr[A.B])
2-4*Det[A]*Det[B];
i2=Tr[A]*Tr[B]-Tr[A.B]*Tr[B.B];
i3=2Tr[A]*Tr[B]*Tr[A.B]-Tr[A.A]*Tr[B]
2-Tr[A]
2*Tr[B.B];
CK[A1_,B1_]:=4*Tr[A1.B1]-2*Tr[A1]*Tr[B1];
i4=CK[A,B]
2-CK[A,A]*CK[B,B];
Simplify[{i0,i1,i2,i3,i4}] .
Chapter 4
Discrete Time Bilinear Systems
This chapter considers the discrete-time versions of some of the questions
raised in Chapters 2 and 3, but the tools used are dierent and unsophis-
ticated. Similar questions lead to serious problems in algebraic geometry
that were considered for general polynomial discrete-time control systems
in Sontag [244] but are beyond the scope of this book. Discrete-time bilinear
systems were mentioned in Section 1.8 as a method of approximating the
trajectories of continuous-time bilinear systems. Their applications are sur-
veyed in Chapter 6; observability and realization problems for them will be
discussed in Chapter 5 along with the continuous-time case.
Contents of This Chapter
Some facts about discrete time linear dynamical systems and control systems
are sketched in Section 4.1, including some basic facts about stability. The
stabilization problem introduced in Chapter 3 has had less attention for
discrete-time systems; the constant control version has a brief treatment in
Section 4.3.
Discrete time control systems are rst encountered in Section 4.2; Section
4.4 is about their controllability. To show noncontrollability one can seek
invariant polynomials or invariant sets; some simple examples are shown
in Section 4.4.1. If the rank of B is one it can be factored, B = bc
, yielding a
class of multiplicative control systems that can be studied with the help of a
related linear control system as in Section 4.4.2.
Small-controllability was introduced in Section 3.5; the discrete time ver-
sion is given in Section 4.4.3. The local rank condition discussed here is
similar to the ad-condition, so in Section 4.4.5 non-constant stabilizing feed-
backs are derived. Section 4.5 is an example comparing a noncontrollable
continuous time control system with its controllable Euler discretization.
129
130 4 Discrete Time Bilinear Systems
4.1 Dynamical Systems: Discrete Time
A real discrete-time linear dynamical system
+
x = Ax can be described as the
action on 1
n
of the semigroup S
A
:= A
t
| t Z
+
.
If the Jordan canonical form of a real matrix A meets the hypotheses of
Theorem A.3 a real logarithm F = log(A) exists.
Proposition 4.1. If F = log(A) exists,
+
x = Ax becomes x(t) = exp(tF) and the
trajectories of
+
x = Ax are discrete subsets of the trajectories of x = Ax:
S
A
exp(1
+
F). .
If for some k Z
+
A
k
= I then S
A
is a nite group. If A is singular there exists
C 0 such that CA = 0, and for any initial state x(0) the trajectory satises
Cx(t) = 0. If A is nilpotent (that is, A is similar to a strictly upper-triangular
matrix) there is some k < n such that trajectories arrive at the origin in at
most k steps.
For each eigenvalue spec(A) there exists for which [x(t)[ =
t
. If
spec(A) lies inside the unit disc D C, all trajectories of
+
x = Ax approach
the origin and the system is strictly stable. If even one eigenvalue lies
outside D, there exist trajectories that go to innity and the system is said to
be unstable. Eigenvalues on the unit circle (neutral stability) correspond in
general to trajectories that lie on an ellipsoid (sphere for the canonical form)
with the critical or resonant case of growth polynomial in k occurring when
any of the Jordan blocks is one of the types
_
1 1
0 1
_
,
_
_
1 1 0
0 1 1
0 0 1
_
_
, .
To discuss stability criteria for the dynamical system
+
x = Ax in 1
n
we need
a discrete-time Lyapunov method. Take as a gauge function V(x) := x
Qx,
where we seek Q > 0 such that
W(x) := V(
+
x) V(x) = x
(A
QA Q)x < 0
to show that trajectories all approach the origin. The discrete-time stability
criterion is that there exist a positive denite solution Q of
A
QA Q = I. (4.1)
To facilitate calculations (4.1) can be rewritten in vector form. As in Exercises
1.61.8 we use the Kronecker product of Section A.3; : 1
nn
1
is
the attening operator that takes a square matrix to a column of its ordered
columns. Using (A.9),
4.2 Discrete Time Control 131
A
XA X = P (A
I I)X
= P
(4.2)
in 1
, the eigenvalues of A
I I) are
i
j
1; from that the following proposition follows.
Proposition 4.2. Let S
1
1
denote the unit circle in C. If A 1
nn
these statements
are equivalent:
(i) For all Y Symm(n) X : A
XA X = Y
(ii)
i
j
1 for all
i
,
j
e
c(A)
(iii) spec(A) spec(A
1
) =
(iv) spec(A) S = . .
A matrix whose spectrum lies inside the unit disc in C is called a Schur-Cohn
matrix; its characteristic polynomial can be called a Schur-Cohn polynomial
(analogous to Hurwitz). The criterion for a polynomial to have the Schur-
Cohn property is given as an algorithm in Henrici [121, pp. 491494]. For
monic quadratic polynomials p(s) = s
2
+y
1
s +y
2
the criterion (necessary and
sucient) is
y
2
< 1 and y
1
< 1 + y
2
. (4.3)
Another derivation of (4.3) is to use the mapping f : z (1 + z)/(1 z),
which maps the unit disc in the s plane to the left half of the z plane. Let
q(z) = p( f (z)). The numerator of q(z) is a quadratic polynomial; condition
(4.3) is sucient and necessary for it to be a Hurwitz polynomial.
The following stability test is over a century old; for some interesting
generalizations see Dirr & Wimmer [73] and its references.
Theorem 4.1 (EnestrmKakeya). Let h(z) := a
n
z
n
+ + a
1
z + a
0
be a real
polynomial with
a
n
a
1
a
0
0 and a
n
> 0.
Then all the zeros of h are in the closed unit disk, and all the zeros lying on the unit
circle are simple.
4.2 Discrete Time Control
Discrete-time bilinear control systems on 1
n
are given by dierence equa-
tions
x(t + 1) = Ax(t) +
m
i=1
u
i
(t)B
i
x(t), t Z
+
, or briey
+
x = F(u)x, (4.4)
where F(u(t)) := A +
m
i=1
u
i
(t)B
i
;
132 4 Discrete Time Bilinear Systems
the values u(t) are constrained to some closed set ; the default is = 1
m
,
and another common case is = [ , ]
m
. The appropriate state space here
is still 1
n
:= P(t; u)| t Z
+
, u() (4.6)
is the semigroup of transition matrices of (4.4). When = 1
m
the subscript
on S is suppressed. The transition matrix can be expressed as a series of
multilinear terms; if
+
X = AX + uBX, X(0) = I we have (since A
0
= I)
P(t; u) = A
t
+
t
i=1
A
ti
BA
i1
u(i) + + B
t
t
i=1
u(i). (4.7)
The set of states S is calledthe orbit of Sthrough . The following properties
are easy to check.
1. Conjugacy: if x = Ty then
+
y = TF(u)T
1
y.
2. If for some value of the control det(F()) = 0 then there exist states
and nite control histories u
T
1
such that P(T; u) = 0. If F() is nilpotent,
trajectories from all states terminate at 0.
3. The location and density of the orbit through may depend discontinu-
ously on A and B (Example 4.1) and its cardinality may be nite (Example
4.2).
Example 4.1 (Sparse orbits). Take
+
x = uBx where
B :=
_
cos() sin()
sin() cos()
_
.
For = p/q, p and q integers, S consists of q rays; for irrational, S is a
dense set of rays. .
Example 4.2 (Finite group actions). A discrete time switched system acting on
1
n
has a control rule u which at t Z
+
selects a matrix from a list J :=
A(1), . . . , A(m) of n n matrices, and obeys
x(t + 1) = A(u
t
)x(t), x(0) = 1
n
, u
t
1 . . m.
x(t) = P(t; u) where P(t; u) =
t
k=1
A(u
k
)
4.3 Stabilization by Constant Inputs 133
is the transition matrix. The set of all such matrices is a matrix semigroup.
If A(u) J then A
1
(u) J and this semigroup is the group G generated by
J; G has cardinality no greater than that of G. If the entries of each A
i
are
integers and det(A
i
= 1 then G is a nite group. .
4.3 Stabilization by Constant Inputs
Echoing Chapter 3 in the discrete time context one may pose the problem
of stabilization with constant control, which here is a matter of nding
such that A + B is Schur-Cohn. The n = 2, m = 1 case again merits some
discussion. Here, as in Section 3.2.1, the characteristic polynomial p
A+B
(s) :=
s
2
+sy
1
()+y
2
() canbe checkedby nding any interval onwhichit satises
the n = 2 Schur-Cohn criterion
y
2
() < 1, y
1
() < 1 + y
2
().
Graphical methods as in Figure 3.1 can be used to check the inequalities.
Example 4.3. For n = 2 suppose tr(A) = 0 = tr(B). We see in this case that
p
A+B
= s
2
+det(A+B) is a Schur-Cohn polynomial for all values of such
that
det(A) tr(AB) +
2
det(B)
< 1. .
Problem 4.1. For discrete time bilinear systems on 1
2
QF
Q = P, (4.8)
or (F
)Q
= P
. .
Although some stabilization methods in Chapter 3, such as Proposition
3.2, have no analog for discrete time systems there are a few such as the
triangularization method for which the results are parallel. Let
1
, . . . ,
n
and
1
. . .
n
again be the eigenvalues of A and B respectively. If A and B
are simultaneously similar to (possibly complex) upper triangular matrices
A
1
, B
1
then the diagonal elements of A
1
+B
1
are
i
+
i
; nd all such that
i
+
i
< 1, i 1 . . n.
134 4 Discrete Time Bilinear Systems
The simultaneous triangularizability of A, B, we have already observed, is
equivalent to the solvability of the Lie algebra g = A, B
[
; one might check
it with the Cartan-Killing form dened on (g, g) as in Section B.2.1.
4.4 Controllability
The denitions inSection1.6.2 canbe translatedinto the language of discrete-
time control systems
+
x = f (x, u), where f : 1
n
1
m
takes nite values; the
most important change is to replace t 1
+
with k Z
+
. Without further
assumptions on f , trajectories exist and are unique. In computation one
must beware of systems whose trajectories grow superexponentially, like
+
x = x
2
.
Denitions 1.9 and 1.10 and the Continuation Lemma (Lemma 1.1,
page 22) all remain valid for discrete time systems.
Corresponding to the symmetric systems (2.2) of Chapter 2 in the discrete-
time case are their Euler discretizations with step-size , which are of the
form
+
x =
_
I +
m
i=1
u
i
(k)B
i
_
x, x(0) = . (4.9)
For any matrix B and for both positive and negative
lim
k>
[(I +
k
B)
k
e
B
[ = 0,
so matrices of the form exp(B) can be approximated in norm by matrices in
S, the semigroup of transition matrices of (4.9). Therefore Sis dense in the Lie
group G that (2.2) provides. The inverse of a matrix X S is not guaranteed
to lie in S. The only case at hand where it does so is nearly trivial.
Example 4.4. If A
2
= 0 = AB = B
2
then (I + uA + vB)
1
= I uA vB. .
4.4.1 Invariant Sets
A polynomial p for which p(Ax) = p(x) is called an invariant polynomial of
the semigroup A
j
j Z
+
. If 1 spec(A) there exists a linear invariant
polynomial c
QA = Q then x
x that
are invariant for any u and thus satisfy both c
A = c
and c
B = c
. Another
invariance test, given in Cheng [57], follows.
Proposition 4.4. If there exists a non-zero matrix C that commutes with A and B
and has a real eigenvalue , then the eigenspace L
. ||
If for some xed k there is a matrix C 0 that, although it does not
commute with A and B, does commute for some t > 1 with the transition
matrix P(t; u) of (4.4) for all u(0), . . . , u(t 1), the union of its eigenvectors L
and L
, neither of
which is itself invariant. However, if
1
2
0 and u is unconstrained then
for any 1
2
, x(2) = is satised if u(0) = 1
1
/
1
, u(1) = 1
2
/
2
. For
L, () = 1
2
but for certain controls there is a terminal time k
0
such that
P(t; u) L for k k
0
. .
Traps
Finding traps for (4.4) with unrestricted controls is far dierent from the
situation in Section 3.3.2. With = 1
m
, given any cone K other than a
subspace or half-space, K cannot be invariant: for x K part of the set
Ax +
u
i
B
i
x| u 1
m
lies outside K. With compact , the positive orthant
is invariant if and only if every component of F(u) is non-negative for all
u .
1
Real algebraic geometry is applied to the accessibility properties of
+
x = (A + uB)x and
its polynomial generalizations by Sontag [244, 246].
136 4 Discrete Time Bilinear Systems
4.4.2 Rank-one Controllers
Some early work on bilinear control made use of a property of rank-one
matrices to transformsome special bilinear systems to linear control systems.
If an n n matrix B has rank 1 it can be factored in a family of ways B =
bc
= bSS
1
c
x; x 1
n
, v(t) 1; (4.10)
with multiplicative feedback control v(t) = u(t)c
x > 0 and U
:= x| c
x < 0. It was
suggested in Goka & Tarn & Zaborszky [105]
2
that the bilinear system
+
x = Ax + ubc
_
v(t)/(c
x(t)), c
x(t) 0,
undened, c
x = 0
(4.12)
has the same trajectories as (4.10) on the submanifold U
_
U
+
1
n
. This
idea, under such names as division controller has had an appeal to control
engineers because of the ease of constructing useful trajectories for (4.10)
and using (4.12) to convert them to controls for (4.11).
However, this trajectory equivalence fails if x(t) L := x| c
x = 0 because
+
x = Ax on L and u(t) has no eect. The nullspace of
O(c
; A) := col(c
, c
A, . . . , c
A
n1
)
is a subset of L and is invariant for
+
x = Ax. For this reason, let us also assume
that the rank of O(c
; A) is full.
Given a target state and full rank of R(A; b), there exists an n-step control
v for (4.10) whose trajectory, the primary trajectory, satises x(0) = and
x(n) = . For generic choices of and the feedback control u(t) := v(t)/(c
x(t))
will provide a control for (4.11) that provides the same trajectory connecting
to . However, for other choices some state x(t) on the primary trajectory
2
Comparing [105, 87] our B = ch
is their B = bc
.
4.4 Controllability 137
is in the hyperplane L; the next control u(t) has no eect and the trajectory
fails to reach the target. A new control for (4.11) is needed; to show one
exists, two more generic
3
hypotheses are employed in [105, Theorem 3] and
its corollary, whose proofs take advantage of the exibility obtained by using
control sequences of length 2n. It uses the existence of A
1
, but that is not
important; one may replace A with A + B, whose nonsingularity for many
values of follows from the full rank of R(A; b) and O(c
; A).
Theorem 4.2. Under the hypotheses rankR(A; b) = n, rankO(c
; A) = n,
det(A) 0, c
b 0 and c
A
1
b 0, the bilinear system (4.11) is controllable.
Proof. It can be assumed that L because using repeated steps with v = 0,
under our assumptions we can reach a new initial state
A
j
0, and replace with
:= A
k
.
From
A
1
b 0 means that at each step k the value of v(t) can
be adjusted slightly to make sure that c
even if c
1
= c
,
2
= c
A;
1
= c
b,
2
= c
1
b.
If
1
= 0,
_
u(1)
u(0)
_
=
_
2
b
1
Ab
_
1
( A
2
).
The full rank of O(c
; A) guarantees that
1
,
2
are non-zero, so can be
reached at t = 2. A particularly simple example is the system
+
x
1
= (u
1)x
2
,
+
x
2
= x
1
. .
For (4.11) with B = c
A
i1
b 0, 0 < i < n
2
_
and let K be the greatest common divisor of the integers in I. Then (4.11) is
controllable if and only if
(1) rankR(A; b) = n = rankO(c
; A) and
(2) K = 1.
Hypothesis (2) is interesting: if K 2 then the subspace spanned by R(A
k
; b)
is invariant and, as in Example 4.5, may be part of a cycle of subspaces. The
proof in [87] is similar to that of Theorem 4.2; after using the transformation
x(t) = A
k
z(t), the resulting time-variant bilinear system in z and its time-
reversal (which is rational in u) are used to nd a ball in 1
n
that is attainable
from and from which a target can be reached. Extending the (perhaps
more intuitive) method of proof of Theorem 4.2 to obtain Theorem 4.3 seems
feasible. Whether either approach can be generalized to permit multiple
inputs (with each B
i
of rank one) seems to be an open question. .
4.4.3 Small Controls: Necessity
Controllability of the single-input constrained system
+
x = Ax + Bxu, u(t) (4.13)
using indenitely small was investigated in the dissertations of Goka [274]
and Cheng [57]; compare Section 3.5. As in Chapter 3, (4.13) will be called
small-controllable if for every bound > 0 it is controllable on 1
n
.
The following two lemmas are much like Lemma 3.6, and are basic to the
stability theory of dierence equations, so worth proving; their proofs are
almost the same.
5
5
Cheng [56] has a longer chain of lemmas.
4.4 Controllability 139
Lemma 4.1. If A has any eigenvalue
p
such that
p
> 1 then there exists > 1
and real R = R
such that A
RA =
2
RI and V(x) := x
1 0, A =
p
. Choose any for which
1 < <
p
and
i
for all the eigenvalues
i
spec(A). Let C :=
1
A,
then spec(C) S
1
1
= by Proposition 4.2. Consequently C
RC R =
2
I
has a unique symmetric solution R.
A
RA
2
R = I
2
RA and
RA =
R. Since
2
<
p
2
,
R =
2
2
p
2
< 0. (4.14)
Since
R = x
Rx + y
Rx + y
Ry = V(x) + V(y),
so V has negative domain, to which at least one of x, y belongs. ||
Lemma 4.2. If A has any eigenvalue
q
such that
q
< 1 then there exists real
and matrix Q = Q
such that A
QA
2
Q = I and V(x) := x
Qx has a negative
domain.
Proof. Let = x+y
1 0 satisfy A =
q
. Choose a that satises
i
QA =
2
Q I. Again evaluating
QA,
and using
q
>
2
,
Q;
Q =
2
2
q
2
< 0.
Again either the real part x or imaginary part y of must belong to the
negative domain of V. ||
The following is stated in [56, 57] and proved in [56]; the proof here,
inclusive of the lemmas, is shorter and maybe clearer. The scheme of the
indirect proof is that if there are eigenvalues o the unit circle there are
gauge functions that provide traps, for suciently small control bounds.
Proposition 4.5. If (4.13) is small-controllable then the eigenvalues of A are all on
the unit circle.
Proof. If not all the eigenvalues of A lie on S
1
1
, there are two possibilities.
First suppose Ahas A =
p
with
p
> 1. With the matrix RfromLemma
4.1 take V
1
(x) := x
(A + uB)
R(A + uB)x = x
RAx + W
1
(x, u) where
W
1
(x, u) := ux
(B
RA + A
RB + u
2
B
RB)x.
Using Lemma 4.1, for all x
V
1
(
+
x) =
2
x
Rx x
x + W
1
(x, u);
V
1
(
+
x) V
1
(x) = (
2
1)x
Rx x
x + W
1
(x, u)
= (
2
1)V
1
(x) x
x + W
1
(x, u)
There exists an initial condition such that V
1
() < 0, from the lemma.
Then
V
1
(
+
) V
1
() = (
2
1)V
1
()
+ W
1
(, u) and since
(
2
1)V
1
() < (
2
1)[[
2
,
V
1
(
+
) V
1
() < [[
2
+ W
1
(, u).
W
1
(, u)) <
1
[[
2
where
1
depends on A, B and through (4.4.3). Choose
u < suciently small that < 1; then V
1
remains negative along all
trajectories from , so the system cannot be controllable, a contradiction.
Second, suppose A has A =
q
with
q
< 1. From Lemma 4.2, we can
nd > 0 such that 1 >
q
> and A
QA
2
Q = I has a unique solution;
set V
2
(x) := x
(B
QA + A
QB + u
2
B
QB)x : W
2
(, u)) <
2
[[
2
.
s.t. V
2
() < 0 by Lemma 4.2;
V
2
(
+
) V
2
() = (
2
1)x
Qx x
x + W
2
(x, u)
= (
2
1)V
2
()
+ W
2
(, u)
= (
2
1)V
2
() [[
2
+ W
2
(, u) < 0
if the bound on u is suciently small, providing the contradiction. ||
4.4.4 Small Controls: Suciency
To obtain sucient conditions for small-controllability note rst that (as one
would expect after reading Chapter 3) the orthogonality condition on A
can be weakened to the existence of Q > 0, real and integer r such that
C
QC = Q where C := (A + B)
r
.
Secondly, a rank condition on (A, B) is needed. This parallels the ad-
condition on A, B and neutrality condition in Section 3.4.1 (see Lemma 3.3).
Referring to (4.5), the Jacobian matrix of P(k; u)x with respect to the history
4.4 Controllability 141
U
k
= (u(0), . . . , u(k 1)) 1
k
is
J
k
(x) :=
U
k
((A + u(t 1)B) (A + u(0)B)x)
U
k
=0
=
_
A
k
Bx A
ki
BA
i
x BA
k
x
_
. (4.15)
If : rank J
(x) = n on 1
n
(4.16)
then (4.5) is said to satisfy the local rank condition. To verify this condition it
suces to show that the origin is the only common zero of the n-minors of
J
k
(x) for k = n
2
1 (at most). Calling(4.16) anad-conditionwouldbe somewhat
misleading, although its uses are similar. The example in Section 4.5 will
show that full local rank is not a necessary condition for controllability on
1
2
.
Proposition 4.6. If there exists Q > 0 and I s.t. (A
QA
= Q and if the
local rank condition is met, then (4.13) is small-controllable.
Proof. For any history U
: U P(; u)x is
a local dieomorphism. That A
_
1
2
1
2
1
2
1
2
_
_
, B :=
_
0 1
1 0
_
, J
1
(x) =
1
2
_
x
2
x
1
x
1
+ x
2
x
1
+ x
2
x
1
x
2
_
,
A
A = I and det(J
1
(x)) = (x
2
1
+ x
2
2
), it is small-controllable. .
4.4.5 Stabilizing Feedbacks
The local rankconditionandLyapunovfunctions canbe usedtoget quadratic
stabilizers in a way comparable to Theorem 3.5 or better, with feedbacks
of class 1
2
0
(compare Theorem 3.8) for small-controllable systems.
Theorem 4.4. Suppose that the system
+
x = Ax + uBx on 1
n
with unrestricted
controls satises
(a) there exists Q > 0 for which A
QA = Q;
(b) B is nonsingular; and
(c) the local rank condition (4.16) is satised. Then there exists a stabilizing
feedback 1
2
0
.
142 4 Discrete Time Bilinear Systems
Proof. Use the positive denite gauge function
V(x) := x
QAx
_
+ u
2
x
QBx;
W
0
(x) := min
u
W(x, u) =
(x
QAx)
2
x
QBx
0 is attained for
(x) = arg min
u
(W(x, u)) =
x
QAx
x
QBx
.
The trajectories of x = Ax + (x)Bx will approach the quadric hypersurface
c where W
0
(x) vanishes; from the local rank condition c has no invariant set
other than 0. ||
4.4.6 Discrete-time Biane Systems
Discrete-time biane systems, important in applications,
+
x = Ax + a +
m
i=1
u
i
(B
i
x + b
i
), a, b 1
n
, y = Cx 1
p
(4.17)
can be represented as a homogeneous bilinear systems on 1
n+1
by the
method of Section 3.8.1:
z :=
_
x
x
n+1
_
;
+
z =
_
A a
0
1,n
0
_
z +
m
i=1
u
i
_
B
i
b
i
0
1,n
0
_
z; y = (C, 0)z.
Problem 4.2. In the small-controllable Example 4.7, A
8
= I so by (1.15)
d
(A; 8) = 0. Consider the biane system
+
x = Ax + uBx + a, where [a[ 0.
With u = 0 as control x(8) = . Find additional hypotheses under which
the biane system is controllable on 1
n
. Are there discrete-time analogs to
Theorems 3.13 and 3.14?
4.5 A Cautionary Tale 143
4.5 A Cautionary Tale
This Section has appeared in dierent form as [84].
6
One might think that if the Euler discretization (4.9) of a bilinear system
is controllable, so is the original system. The best-known counterexample to
such a hope is trivial:
+
x
1
= x
1
+ ux
1
, the Euler discretization of x
1
= ux
1
.
For single-input systems there are more interesting counterexamples that
come from continuous time uncontrollable single-input symmetric systems
on 1
2
. Let
x = u(t)Bx, where B :=
_
_
, x(0) = (4.18)
with trajectory
:=
_
e
B
_
t
0
u(s) ds
, t 0
_
whose attainable set from each is a logarithmic spiral curve. The discrete
control system obtained from (4.18) by Eulers method is
+
x = (I + v(t)B)x; x(0) = ; v(t) 1. (4.19)
Assume that is negative. For control values v(t) = in the interval
U :=
2
2
+
2
< < 0, [I + B[
2
= 1 + 2 +
2
(
2
+
2
) < 1.
With v(t) U the trajectory of (4.19) approaches the origin, and for a constant
control v(t) = Uthat trajectoryis a discrete subset of the continuous spiral
:= (1 + B)
t
| t 1,
exemplifying Proposition 4.1.
A conjecture, If 0 then (4.19) is controllable, was suggested by the
observation that for any 1
2
covers 1
2
3
2
. For v := 1, (I + vB)
6
= I. (4.20)
The two-step transition matrix for (4.19) is f (s, t) := (I + tB)(I + sB). For
x 1
2
the Jacobian determinant of the mapping (s, t) f (s, t)x is, for
matrices B = I + J,
( f (s, t)x)
(s, t)
= (
2
+
2
)(t s)[x[
2
=
3
2
(t s)[x[
2
for our chosen B.
Let s = v(5) = v andaddthe newstep using the nominal value v(6) = t = 0,
to make sure that is a point where this determinant is non-zero. Then
(invoking the implicit function theorem) we will construct controls that start
from and reach any point in an open neighborhood U() of that will be
constructed explicitly as follows.
Let v( j) := v for the ve values j 0 . . 4. For target states + x in U(), a
changed value v(5) := s and a new value v(6) := t are needed; nding them
is simplied, by the use of (4.20), to the solution of two quadratic equations
in (s, t)
(I + tB)(I + sB) = (I + vB)( + x). If =
_
1
0
_
then in either order (s, t) =
1
6
_
3 + 2
3x
2
3
_
3 + 12x
1
+ 4x
2
2
_
,
which are real in the region U() = +x| (3 +12x
1
+4x
2
2
) > 0 that was to be
constructed. If P (C
) then
PB = BP so Pf (x, t) = f (s, t)P = Px
generalizes our constructionto any because (C
) is transitive on1
2
. Apply
the Continuation Lemma 1.1 to conclude controllability. ||
If the spiral degenerates (B = J) to a circle through , the region exterior
to that circle (but not the circle itself) is easily seen to be attainable using
the lines (I + tJ)x| t 1}, so strong accessibility can be concluded, but not
controllability.
Finally, since A = I the local rank is rank[Bx] = 1 but the multilinear
mapping P
6
is invertible. So full local rank is not necessary for controllability
of (4.13) on 1
2
for some
k is a much more dicult algebraic problem than the analogous task in
Chapter 2.
Chapter 5
Systems with Outputs
To begin, recall that a time-invariant linear dynamical system on 1
n
with a
linear output mapping
x = Ax, y = Cx 1
p
(5.1)
is called observable if the mapping from initial state to output history
Y
T
:= y(t), t [0, T] is one-to-one.
1
The Kalman observability criterion (see
Proposition 5.1) is that (5.1) is observable if and only if
rankO(C; A) = n where O(C; A) := col(C, CA, . . . , CA
n1
) (5.2)
is called the observability matrix. If rankO(A; ) = n then C, A
is called an
observable pair; see Section 5.2.1.
Observability theory for control systems has new denitions, new prob-
lems, and especially the possibility of recovering a state space description
from the input-output mapping; that is called the realization problem.
Contents of This Chapter
After a discussion in Section 5.1 of some operations that compose new con-
trol systems from old, in Section 5.2 state observability is studied for both
continuous anddiscrete-time systems. State observers (Section 5.3) provide a
method of asymptotically approximating the systems state frominput and
output data. The estimation of in the presence of noise is not discussed..
Parameter identication is briey surveyed in Section 5.4. The realization
of a discrete-time input-output mapping as a biane or bilinear control sys-
tem, the subject of much research, is sketched in Section 5.5. As an example,
the linear case is given in Section 5.5.1; bilinear and biane system realiza-
1
The discussion of observability in Sontag [248] is helpful.
145
146 5 Systems with Outputs
A Sum System
u(t)
`
`
1
(t; u)q(0)
b
2
(t; u)p(0)
y
1
y
2
i
+
y(t)
A Product System
u(t)
`
`
1
(t; u)q(0)
b
2
(t; u)p(0)
y
1
y
2
i
y(t)
Fig. 5.1 The input-output relations u y
1
+y
2
andu y
1
y
2
have bilinear representations
tion methods are developed in Section 5.5.2. Section 5.5.3 surveys related
work on discrete-time biane and bilinear systems.
In Section 5.6 continuous time Volterra expansions for the input-output
mappings of bilinear systems are introduced. In continuous time the realiza-
tion problem is analytical; it has been addressed using either Volterra series
as in Rugh citeRu81 or, as in Isidori [141, Ch. 3], with the Chen-Fliess for-
mal power series for input-output mappings briey described in Section 8.2.
Finally, Section 5.7 is a survey of methods of approximation with bilinear
systems.
5.1 Compositions of Systems
To control theorists it is natural to look for ways to compose new systems
from old ones given by input-output relations with known initial states. The
question here is, for what types of composition and on what state space is
the resulting system bilinear? Here only the single-input single-output case
will be considered.
We are given two bilinear control systems on 1
n
with the same input u;
their state vectors are p, q andtheir outputs are y
1
= a
p, y
2
= b
q, respectively.
For simplicity of exposition the dimensions of the state spaces for (5.3) and
(5.4) are both n. Working out the case where they dier is left as an exercise.
p = (A
1
+ uB
1
)p, y
1
(t) = a
1
(t; u)p(0), (5.3)
q = (A
2
+ uB
2
)q, y
2
(t) = b
2
(t; u)q(0). (5.4)
Figure 5.1 has symbolic diagrams for two types of system composition.
The input-output relationof the rst is u y
1
+y
2
so it is calleda sumcompo-
sition or parallel composition. Let p = col(x
1
, . . . , x
n
) and q = col(x
n+1
, . . . , x
2n
).
The system transition matrices are given by the bilinear system on 1
2n
x =
_
A
1
+ uB
1
0
0 A
2
+ uB
2
_
x, y =
_
a
_
x. (5.5)
5.1 Compositions of Systems 147
To obtain the second, a product system u y
1
y
2
, let y := y
1
y
2
= a
pq
b and
let Z := pq
pq
b + a
p q
b
= a
_
(A
1
+ uB
1
)pq
+ pq
(A
2
+ uB
2
)
_
b;
Z =(A
1
+ uB
1
)Z + Z(A
2
+ uB
2
)
, y = a
Zb. (5.6)
To see that (5.6) describes the inputoutput relation of an ordinary bilinear
system
2
on 1
= col(Z
1,1
, Z
2,1
, . . . , Z
n,n
) 1
, with x(0) = (
;
then we get a bilinear system
x = (I A
1
+ A
2
I)x + u(I B
1
+ B
2
I)x, y = (ab
x. (5.7)
A special product system is u y
2
1
given the system p = Ap + uBp, y
1
= c
p.
Let y = y
2
1
= c
pp
c, Z = pp
, and x := Z
x.
See Section 5.7 for more about Kronecker products.
A cascade composition of a rst bilinear system u v to a second v y,
also called a series connection, yields a quadratic system, not bilinear; the
relations are
v(t) = a
1
(t; u), y(t) = b
2
(t; v), i.e.
p = (A
1
+ uB
1
)p, v = a
p,
q = (A
2
+ a
pB)q, y = b
q,
Given two discrete-time bilinear systems
+
p = (A
1
+ uB
1
)p, y
1
= a
p;
+
q =
(A
2
+ uB
2
)q, y
2
= b
q on 1
n
, that their parallel composition u y
1
+ y
2
is a
bilinear system on 1
2n
can be seen by a construction like (5.5). For a discrete-
time product system the mapping u y
1
y
2
can be written as a product
of two polynomials and is quadratic in u; the product systems transition
mapping is given using the matrix Z := pq
S
1
:
2
For a dierent treatment of the product bilinear system see Remark 8.1 on page 209
about shue products.
148 5 Systems with Outputs
+
Z = (A
1
+ uB
1
)Z(A
2
+ uB
2
)
, y = (ab
.
5.2 Observability
In practice the state of a bilinear control system is not directly observable; it
must be deducedfromp output measurements, usually assumedto be linear:
y = Cx, C 1
pn
. There are reasons to try to nd x(t) from the histories of
the inputs and the outputs, respectively
U
t
:= u(), t, Y
t
:= y(), t.
One such reason is to construct a state-dependent feedback control as in
Chapter 3; another is to predict, given future controls, future output values
y(T), T > t. The initial state is assumed here to be unknown.
For continuous- and discrete-time bilinear control systems on 1
n
we use
the transition matrices X(t; u) dened in Chapter 1 for u /J and P(k; u)
dened in Chapter 4 for discrete time inputs. Let
A
u
:= A +
m
i=1
u
i
B
i
;
x = A
u
x, u [J, y(t) := CX(t; u), t 1
+
; (5.8)
+
x = A
u
x, y(t) := CP(t; u), t Z
+
. (5.9)
Assume that A, B
i
, C are known and that u can be freely chosen on a time-
interval [0, T]. The following question will be addressed, beginning with its
simplest formulations: For what controls u is the mapping y(t)| 0 t T
one-to-one?
5.2.1 Constant-input Problems
We begin with the simplest case, where u(t) 1
m
is a constant (
1
, . . . ,
m
);
then either (5.8) or (5.9) becomes a linear time-invariant dynamical system
with p outputs. (To compare statements about the continuous and discrete
cases in parallel the or symbol is used.)
x = A
x, y = Cx 1
p
;
+
x = A
x, y = Cx; (5.10)
y(t) = Ce
tA
, t 1; y(t) = CA
t
, t Z
+
5.2 Observability 149
Here is a preliminary denition for both continuous and discrete-time cases:
an autonomous dynamical system is said to be observable if an output history
Y
c
:= y(t), t 1 Y
d
:= y(t), t Z
+
.
uniquely determines . For both cases let
O(A; ) := col
_
C, CA
, . . . , CA
n1
_
1
npp
.
Proposition 5.1. O(A; ) has rank n if and only if (1.18) is observable.
Proof. Assume rst that rankO(A; ) = n. In the continuous time case is
determined uniquely by equating corresponding coecients of t in
y(0) + t y(0) +
t
n1
y
(n1)
(0)
(n 1)!
= C + tCA
+ +
t
n1
CA
n1
(n 1)!
. (5.11)
In the discrete time case just write the rst n output values Y
d
n1
as an element
of 1
np
; then
_
_
y(0)
.
.
.
y(n 1)
_
_
=
_
_
C
.
.
.
CA
n1
_
= O(A; ). (5.12)
For the converse, the uniqueness of implies the rank of O(A; ) is full.
In (5.11) and (5.12) one needs at least (n 1)/p terms and (by the Cayley-
Hamilton Theorem) no more than n. ||
Proposition 5.2. Let p() = det(O(A; )). If p() 0 then equation (5.11) [or
(5.12)] can be solved for , and C, A
j=0
Z
d
u; j
, where
Z
c
s;u
:=X
(s; u)C
CX(s; u), Z
d
t;u
:=P(t; u)
CP(t; u), so
W
c
t;u
=
_
t
0
X
(s; u)C
y(s) dt; W
d
t;u
=
t
j=0
P( j; u)
y( j). (5.13)
The integrand Z
c
s;u
and summand Z
d
t;u
are solutions respectively of
Z
c
= A
u
ZA
u
, Z
c
(0) = C
C,
+
Z
d
= A
u
Z
d
A
u
, Z
d
(0) = C
C.
The Gram matrices are positive semidenite and
W
c
t;u
> 0 = = (W
c
t;u
)
1
_
t
0
X
j=0
P( j; u)
Ce
sA
ds; W
d
t;
:=
t
t=0
(A
)
t
C
C(A
)
t
.
The assumption that for some the origin is stable is quite reasonable in
the design of control systems. In the continuous-time case suppose A
is a
Hurwitz matrix; then by a standard argument (see Corless & Frazho [65])
the limit
W
c
:= lim
t
W
c
t;
exists and A
W
c
+ W
c
= C
C.
In the discrete-time case if the Schur stability test spec(A
) < 1 is satised
then there exists
W
d
:= lim
t
W
d
t;
; A
W
d
W
d
= C
C.
5.2 Observability 151
Example 5.1. This example is unobservable for every constant control , but
becomes observable if the control has at least two constant pieces. Let x =
A
u
x, x(0) = , y = Cx with C = (1, 0, 0) and let
A
u
:=
_
_
0 1 u
1 0 0
u 0 0
_
_
; if u(t) then O(A; ) =
_
_
1 0 0
0 1
2
1 0 0
_
_
has rank 2 for all (unobservable). Now use a /J control with u(t) = 1;
on each piece A
3
u
= 0 so exp(tA
u
) = I +tA
u
+A
2
u
t
2
/2. The system can be made
observable by using only two segments:
u(t) = 1, t [0, 1), u(t) = 1, t (1, 2].
The transition matrices and output are
e
tA
1
=
_
_
1 t t
t 1 t
2
/2 t
2
/2
t t
2
/2 1 + t
2
/2
_
_
, e
tA
1
=
_
_
1 t t
t 1 t
2
/2 t
2
/2
t t
2
/2 1 + t
2
/2
_
_
;
y(0) =
1
, y(1) =
1
+
2
+
3
, y(2) =
1
+
2
3
. (5.16)
The observations (5.16) easily determine . .
5.2.3 Geometry of Observability
Given an input u 1 on the interval [0, T], call two initial states
,
1
n
u-indistinguishable on [0, T] and write
u
provided CX(t; u)
= CX(t; u)
, 0 t T.
This relation
u
is transitive, reexive, and symmetric (an equivalence re-
lation) and linear in the state variables. From linearity one can write this
relation as
u
0, so the only reference state needed is 0. The observabil-
ity Grammatrix is non-decreasing in the sense that if T > t then W
T;u
W
t,u
is
positive semidenite. Therefore rankW
t;u
is non-decreasing. The set of states
u-indistinguishable from the origin on [0, T] is dened as
A(T; u) :=x| x
u
0 = x| W
T;u
x = 0,
which is a linear subspace and can be called the u-unobservable subspace;
the u-observable subspace is the quotient space
G(T; u) = 1
n
/A(T; u); 1
n
= A(T; u) G(T; u).
152 5 Systems with Outputs
If A(T; u) = 0 we say that the given system is u-observable.
3
If two states x, are u-indistinguishable for all admissible u 1, we say
they are 1-indistinguishable and write x . The set of 1-unobservable states
is evidently a linear space
A
1
:=x| W
t;u
x = 0, u 1
Its quotient subspace (complement) in 1
n
is G
1
:=1
n
/A and is called the
1-observable subspace; the system (5.8) is called 1-observable if G
1
= 1
n
.
The 1-unobservable subspace A
1
is an invariant space for the system (5.8):
trajectories that begininA
1
remainthere for all u 1. If the largest invariant
linear subspace of C is 0, (5.8) is 1-observable; this property is also called
observability under multiple experiment in [108] since to test it one would need
many duplicate systems, each initialized at x(0) but using its own control u.
Theorem 5.1 (Grasselli-Isidori [108]). If /J 1, (5.8) is 1-observable if and
only if there exists a single input u for which it is u-observable.
Proof. The proof is by constructionof a universal input u whichdistinguishes
all states from 0; it is obtained by the concatenation of at most n +1 inputs u
i
of duration 1: u = u
0
u
n
. Here is an inductive construction. Let u
0
= 0,
then A
0
is the kernel of W
u
0
,1
.
At the kth stage in the construction the set of states indistinguishable from
0 is W
v,k
where v = u
0
u
1
u
k
. ||
The test for observability that results from this analysis is that
O(A, B) := col(C, CA, CB, CA
2
, CAB, CBA, CB
2
, . . . ) (5.17)
has rank n. Since there are only n
2
linearly independent matrices in 1
nn
, at
most n
2
rows of O(A, B) are needed.
Theorem 5.1 was the rst on the existence of universal inputs, and was
subsequently generalized to C
0
) = 0 0 is unobservable; this gives (ii): CB = 0. Continuing this way,
y
0
= C(A
2
+
0
(AB + BA +
0
B
2
) +
1
B) and using (a) y
0
= C(A
2
+
0
AB)
because the terms beginning with c
(t; u)C
y(t) dt.
The present state x(T) can be obtained as X(T; u) or by more ecient means.
Even though observability may fail for any constant control, it still may be
possible, using some piecewise constant control u, to achieve u-observability.
Even then, the Gram matrix is likely to be badly conditioned. Its condition
number (however dened) can be optimized in various ways by suitable
inputs; see Example 5.1.
One recursive estimator of the present state is anasymptotic state observer,
generalizing a method familiar in linear control system theory. For a given
bilinear or biane control system with state x, the asymptotic observer is a
model of the plant tobe observed; the models state vector is denotedbyz and
it is provided with an input proportional to the output error e := z x.
5
The
total system, plant plus observer, is given by the following plant, observer,
and error equations; K is an n p gain matrix at our disposal.
5
There is nothing to be gained by more general ways of introducing the output error
term; see Grasselli & Isidori [109].
154 5 Systems with Outputs
x = Ax + u(Bx + b), y = Cx;
z = Az + u(Bz + b) + uK(y Cz); e = z x; (5.19)
e = (A + u(B KC))e.
Such an observer is designed by nding K for which the observer is conver-
gent, meaning that [e(t)[ 0, under some assumptions about u. Observabil-
ity is more than what is needed for the error to die out; a weaker concept,
detectability, will do. Roughly put, a system is detectable if what cannot
be observed is asymptotically stable. At least three design problems can be
posed for (5.19); the parameter identication problem for linear systems has
many similarities.
1. Design an observer which will converge for all choices of u. This requires
the satisfaction of the Williamson conditions (5.18), replacing B with B
KC. The rate of convergence depends only on spec(A).
2. Assume that u is known and xed, in which case well-known methods
of designing observers of time-variant linear systems can employed (K
shouldsatisfya suitable matrix Riccati equation). If also we want to choose
K to get best convergence of the observer, its design becomes a nonlinear
programming problem; Sen [239] shows that a randomsequence of values
of u /J should suce as a universal input (see Theorem 5.1).
For observer design and stabilizing control (by output feedback) of observ-
able inhomogeneous bilinear systems x = Ax+u(Bx+b), y = Cx see Gauthier
& Kupka [102], which uses the observability criteria (5.18) and the weak
ad-condition; a discrete-time extension of this work is given in Lin & Byrnes
[185].
Example 5.2 (Frelek & Elliott [99]). The observability Gram matrix W
T;u
of a
bilinear system (in continuous or discrete time) can be optimized in various
ways by a suitable choice of input. To illustrate, return to Example 5.1 with
the piecewise constant control
u(t) =
_
_
1, t [0, 1)
1, t (1, 2].
Here are the integrands Z
1;t
, 0 t 1 and Z
1;t
, 1 < t 2, and the values of
W
t;u
at t = 1 and t = 2, using
e
tA
1
=
_
_
1 t t
t 1
t
2
2
t
2
2
t
t
2
2
1 +
t
2
2
_
_
. Z
1;t
:= e
tA
1
C
Ce
tA
1
=
_
_
1 t t
t t
2
t
2
t t
2
t
2
_
_
,
5.4 Identication by Parameter Estimation 155
Z
1;t
:= e
tA
1
e
A
1
C
Ce
A
1
e
tA
1
=
_
_
t 2t
2
+
4t
3
3
t
t
2
2
t
3
+
t
4
2
t
3t
2
2
+ t
3
t
4
2
t
t
2
2
t
3
+
t
4
2
t + t
2
t
3
3
t
4
2
+
t
5
5
t
t
3
3
+
t
4
2
t
5
5
t
3t
2
2
+ t
3
t
4
2
t
t
3
3
+
t
4
2
t
5
5
t t
2
+ t
3
t
4
2
+
t
5
5
_
_
;
W
1;1
=
_
_
1
1
2
1
2
1
2
1
3
1
3
1
2
1
3
1
3
_
_
; W
u;2
= W
1;1
+
_
2
1
Z
1;t
dt =
_
_
16
3
1
2
7
2
1
2
7
10
3
10
7
2
3
20
121
30
_
_
whose leading principal minors are positive; therefore W
u;2
> 0. The con-
dition number (maximum eigenvalue)/(minimum eigenvalue) of W
u;2
can
be minimized by searching for good piecewise inputs; that was suggested
by Frelek [99] as a way to assure that the unknown can be recovered as
uniformly as possible. .
5.4 Identication by Parameter Estimation
By a black box I will mean a control system with m inputs, p outputs and un-
known transition mappings. Here it will be assumed that m = 1 = p. Given
a black box (either discrete or continuous time) the system identication prob-
lem is to nd an adequate mathematical model for it. In many engineering
and scientic investigations one looks rst for a linear control system that
will t the observations; but when there is sucient evidence to dispose of
that possibility a bilinear or biane model may be adequate.
The rst possibility to be considered is that we also know n. Then for
biane systems (b 0) the standard assumption in the literature is that = 0
and that the set of parameters A, B, c
, b is to be estimated by experiments
with well-chosen inputs. In the purely bilinear case, b = 0 and the parameter
set is A, B, c
, b, generic
in the sense of Remark 2.5, which can be distinguished by the set of variable-
length pulsed inputs (with 0)
u
(,)
(t) =
_
_
, 0 t <
0, t
.
Inthe worldof applications, parameter estimationof biane systems from
noisy input-output data is a statistical problem of considerable diculty,
156 5 Systems with Outputs
even in the discrete-time case, as Brunner & Hess [44] points out. For several
parameter identication methods for such systems using m 1 mutually
independent white noise inputs see Favoreel & De Moor & Van Overschee
[88]. Gibson & Wills & Ninness [104] explores with numerical examples a
maximum likelihood method for identifying the parameters using an EM
(expectation-maximization) algorithm.
5.5 Realization
An alternative possibility to be pursued in this Section is to make no assump-
tions about nbut suppose that we knowaninput-output mappingaccurately.
The following realization problem has had much research over many years,
and a literature that deserves a fuller account than I can give. For either
T = 1
+
or T = Z
+
one is given a mapping 1 : U Y on [0, ), assumed to
be strictly causal: Y
T
:= y(t)| 0 t T is independent of U
T
:= u(t)| T < t.
The goal is to nd a representation of 1 as a mapping U Y dened by
system (5.8) or system (5.9). Note that the relation between input and output
for bilinear systems is not a mapping unless an initial state x(0) = is given.
Denition 5.2. A homogeneous bilinear system on 1
n
is called span-
reachable fromif the linear spanof the set attainable fromis 1
n
. However, a
biane systemis called span-reachable
6
if the linear span of the set attainable
from the origin is 1
n
. .
Denition 5.3. The realization of 1 is called canonical if it is span-reachable
and observable. There may be more than one canonical realization. .
5.5.1 Linear Discrete Time Systems
For a simple introduction to realization and identication we use linear
time-invariant discrete-time systems
7
on 1
n
with m = 1 = p, always with
x(0) = 0 = y(0). It is possible (by linearity, using multiple experiments) to
obtain this so-called zero-state response; for t > 0 the relation between input
and output becomes a mapping y = 1u. Let z be the unit time-delay operator,
zf (t) := f (t 1). If
6
Span-reachable is called reachable in Brockett [35], dAllessandro & Isidori & Ruberti
[217], Sussmann [263], and Rugh [228].
7
The realization method for continuous-time time-invariant linear systems is almost the
same: the Laplace transform of (1.20) on page 10 is y(s) = c
(sI A)
1
u(s)b; its Laurent
expansion h
1
s
1
+ h
2
s
2
+ . . . has the same Markov parameters c
A
k
b and Hankel matrix
as (5.20).
5.5 Realization 157
+
x = Ax + ub, y = c
x, then
y(t + 1) = c
i=0
A
i
u(t i)b, t Z
+
; so (5.20)
y = c
(I zA)
1
bu. (5.21)
Call (A, b, c
) an 1
n
-triple if A 1
nn
, b 1
n
, c 1
n
. The numbers h
i
:= c
A
i
b
are called the Markov parameters of the system. The input-output mapping is
completely described by the rational function
h(z) := c
(I zA)
1
b; y(t + 1) =
t
i=1
h
i
u(t i).
The series h(z) = h
0
+ h
1
z + h
2
z
2
+ . . . is called the impulse response of (5.20)
because it is the output corresponding to u(t) = (t, 0). The given response
is a rational function and (by the Cayley-Hamilton Theorem) is proper in the
sense that
h = p/q where deg(p) < deg(q) = n; q(z) = z
n
+ q
1
z
n1
+ q
2
z
n2
+ q
n
.
If we are given a proper rational function h(z) = p(z)/q(z) with q of degree
n then there exists an 1
n
-triple for which (5.20) has impulse response h;
system (5.20) is called a realization of h. For linear systems controllability
and span-reachability are synonymous. A realization that is controllable and
observable on 1
n
realization is minimal (or canonical). For linear systems
a minimal realization is unique up to a nonsingular change of coordinates.
There are other realizations for larger values of n; if we are given (5.20) to
begin with, it may have a minimal realization of smaller dimension.
In the realization problem we are given a sequence h
i
1
without further
information, but there is a classical test for the rationality of h(z) using the
truncated Hankel matrices
H
k
:= h
i+j1
| 1 i, j k, k I. (5.22)
Suppose a nite number n is the least integer such that rankH
n
=
rankH
n+1
= n. Then the series h(z) represents a rational function. There
exist factorizations H
n+1
= LR where R 1
n,n+1
and L 1
n+1,n
are of rank
n. Given one such factorization (LT
1
)(TR) is another, corresponding to a
change of coordinates. We will identify R and L with, respectively, control-
lability (see (1.43)) and observability matrices by seeking an integer n and a
triple A, b, c
for which
L = O(c
.
8
Denote the rows of H
3
by h
1
, h
2
, h
3
; compute the coecients
1
,
0
such that
h
3
+
1
h
2
+
0
h
1
= 0, which must exist since rank H
2
= 2. (A
2
+
1
A+
0
I = 0.)
Solve LR = H
3
for 3 2 matrix L and 2 3 matrix R, each of rank 2. Let
c
= l
1
, the rst row of L, and b = r
1
, the rst column of R. To nd A (with an
algorithm we can generalize for the next section) we need a matrix M such
that M = LAR; if
M :=
_
h
2,1
h
2,2
h
3,1
h
3,2
_
, then A = (L
L)
1
L
MR(RR
)
1
.
5.5.2 Discrete Biane and Bilinear systems
The input-output mapping for the biane system
+
x = Ax + a +
m
i=1
u
i
(t)(B
i
x + b
i
), y = c
x, = 0; t Z
+
(5.23)
is linear in b
1
, . . . , b
m
. Accordingly, realization methods for such systems were
developed in 19721980 by generalizing the ideas in Section 5.5.1.
9
A biane realization (5.23) of an input-output mapping may have a state
space of indenitely large dimension; it is called minimal if its state space
has the least dimension of any such realization. Such a realization is minimal
if and only if it is span-reachable and observable. This result and diering
algorithms for minimal realizations of biane systems are given in Isidori
[140], Tarn & Nonoyama [275, 276], Sontag [245] and Frazho [98].
For the homogeneous bilinear case treated in the examples below the
initial state may not be known, but appears as a parameter in a linear way.
The following examples may help to explain the method used in Tarn &
Nonoyama [275, 215], omitting the underlying minimal realization theory
and arrow diagrams. Note that the times and indices of the outputs and
Hankel matrices start at t = 0 in these examples.
Example 5.3. Suppose that (B, ) is a controllable pair. Let
x(t + 1) = (I + u(t)B)x, y = c
x, x(0) = , and h( j) := c
B
j
, j = 0, 1, . . . .
8
The usual realization algorithms in textbooks on linear systems do not use this M =
LR factorization. The realization is sought in some canonical form such as c =
1
, b =
col(h
1,1
, . . . , h
n,1
) (the rst column of H) and Athe companion matrix for t
n
+
1
t
n1
+ +
0
.
9
The multi-output version requires a block Hankel matrix, given in the cited literature.
5.5 Realization 159
We can get a formula for y using the coecients v
j
(t) dened by
t
j=0
v
j
(t)()
j
=
t
i=0
( u(i)) : y(t) =
t1
j=0
h( j)v
j
(t); here
v
0
(t) = 1, v
1
(t) =
0it1
u(i), v
2
(t) =
0it2
ijt1
u(i)u( j), . . . , v
t1
(t) =
t1
i=0
u(i).
To compare this with (5.20), substitute for b, B for A and the monomials v
i
for u(i) we obtain the linear system (5.20) and use a shifted Hankel matrix
H := c
B
i+j
| i, j Z
+
. .
Example 5.4. As usual, homogeneous and symmetric bilinear systems have
the simplest theory. This example has m = 2 and no drift term. The under-
lying realization theory and arrow diagrams can be found in [140, 275, 215].
Let s := 1, 2, k := 0, 1, . . . , k. If
+
x = (u
1
B
1
+ u
2
B
2
)x, y = c
k=0
i
j
s
jk
_
c
B
i
k
. . . B
i
1
B
i
0
__
u
i
1
(0)u
i
2
(1) . . . u
i
k
(k)
_
(5.26)
=
t
k=0
i
j
s
jk
f
i
1
,...,i
k
_
u
i
1
(0)u
i
2
(1) . . . u
i
k
(k)
_
(5.27)
where
f
i
1
,...,i
k
:= c
B
i
k
. . . B
i
1
B
i
0
. We now need a (new) observability matrix
O := O(B
1
, B
2
) 1
n
and a reachability matrix R 1
n
, shorthand for
R(B
1
, B
2
). We also need the rst k rows O
k
from O and the rst k columns
R
k
of R. It was shown earlier that if rank O
t
= n for some t then (5.24) is
observable. The given system is span-reachable if and only if rankR
s
= n
for some s. The construction of the two matrices O and R is recursive, by
respectively stacking columns of row vectors and adjoining rows of column
vectors in the following way
10
for t Z
+
and (t) := 2
t+1
1.
10
For systems with m inputs the matrices O
(t)
, R
(t)
on page 159 have (t) := m
t+1
1.
160 5 Systems with Outputs
o
0
:= c
, o
1
:=
_
o
0
B
1
o
0
B
2
_
, . . . , o
t
:=
_
o
t1
B
1
o
t1
B
2
_
;
O
(t)
:= col(o
0
, . . . , o
t
). Thus
O
1
= o
0
= c
, next O
3
:=
_
o
0
o
1
_
=
_
_
c
B
1
c
B
2
_
_
, and O
7
=
_
_
o
0
o
1
o
2
_
_
= col(c
, c
B
1
, c
B
2
, c
B
2
1
, c
B
1
B
2
, c
B
2
B
1
, c
B
2
2
).
r
0
:= , r
1
:= (B
1
r
0
, B
2
r
0
), . . . , r
t
:= (B
1
r
t1
, B
2
r
t1
);
R
(t)
:= (r
0
, . . . , r
t
); so R
1
= r
0
= , R
3
=
_
r
0
, r
1
_
=
_
, B
1
, B
2
_
,
R
7
=
_
r
0
, r
1
, r
3
_
=
_
, B
1
, B
2
, B
2
1
, B
1
B
2
, B
2
B
1
, B
2
2
_
. Let
v
t
:=col
_
1, u
1
(0), u
2
(0), u
1
(0)u
1
(1), u
1
(0)u
2
(1), u
2
(0)u
2
(1), . . . ,
t
k=0
u
2
(k)
_
then y(t + 1) = c
R
(t)
v
t
. (5.28)
In analogy to (5.22), this systems Hankel matrix is dened as the in-
nite matrix
H := OR; its nite sections are given by the sequence
H
(t)
:=
O
(t)
R
(t)
, t I;
H
(t)
is of size (t) (t). Its upper left k k submatrices
are denoted by
H
k
; they satisfy
H
k
= O
k
R
k
. Further, if for some r and s in
I rankO
r
= n and rank R
s
= n, then for k = maxr, s rank
H
k
= n and
rank
H
k+1
= n.
For instance, here is the result of 49 experiments (31 unique ones).
H
7
=
_
_
c
B
1
c
B
2
c
B
2
1
c
B
1
B
2
c
B
2
B
1
c
B
2
2
B
1
c
B
2
1
c
B
1
B
2
c
B
3
1
c
B
2
1
B
2
c
B
1
B
2
B
1
c
B
1
B
2
2
c
B
2
c
B
2
B
1
c
B
2
2
c
B
2
B
2
1
c
B
2
B
1
B
2
c
B
2
2
B
1
c
B
3
2
B
2
1
c
B
3
1
c
B
2
1
B
2
c
B
3
1
c
B
2
1
B
2
c
B
2
1
B
2
B
1
c
B
2
1
B
2
2
B
1
B
2
c
B
1
B
2
B
1
c
B
1
B
2
2
c
B
1
B
2
B
2
1
c
B
1
B
2
B
1
B
2
c
B
1
B
2
2
B
!
c
B
1
B
3
2
B
2
B
1
c
B
2
B
2
1
c
B
2
B
1
B
2
c
B
2
B
3
1
c
B
2
B
2
1
B
2
c
B
2
B
1
B
2
B
1
c
B
2
B
1
B
2
2
B
2
2
c
B
2
2
B
1
c
B
3
2
c
B
2
2
B
2
1
c
B
2
2
B
1
B
2
c
B
3
2
B
!
c
B
4
2
_
Nowsuppose we are givena priori aninput-output mapping a sequence
of outputs expressed as multilinear polynomials in the controls, where the
indices i
1
, . . . , i
k
on coecient correspond to the controls used:
y(0) =
0
;
y(1) =
1
u
1
(0) +
2
u
2
(0);
y(2) =
1,1
u
1
(1)u
1
(0) +
1,2
u
1
(1)u
2
(0) +
2,1
u
2
(1)u
1
(0) +
2,2
u
2
(1)u
2
(0);
5.5 Realization 161
y(3) =
1,1,1
u
1
(0)u
1
(1)u
1
(2) +
1,1,2
u
1
(0)u
1
(1)u
2
(2) + . . .
+
2,2,2
u
2
(0)u
2
(1)u
2
(2);
y(t + 1) =
t
k=0
i
j
s
jk
i
1
,...,i
k
_
u
i
1
(0)u
i
2
(1) . . . u
i
k
(k)
_
; (5.29)
These coecients
i
1
,...,i
k
are the entries in the numerical matrices H
T
; an entry
i
1
,...,i
k
corresponds to the entry
f
i
1
,...,i
k
in
H. For example
H
1
:=
_
0
_
, H
2
:=
_
0
1
1
2
_
, H
3
:=
_
0
1
2
1
1,1
2,1
2
1,2
2,2
_
_
, . . .
H
7
:=
_
0
1
2
1,1
2,1
1,2
2,2
1
1,1
2,1
1,1,1
2,1,1
1,2,1
2,2,1
2
1,2
2,2
1,1,2
2,1,2
1,2,2
2,2,2
1,1
1,1,1
2,1,1
1,1,1
2,1,1
1,2,1,1
2,2,1,1
2,1
1,2,1
2,2,1
1,1,2,1
2,1,2,1
1,2,2,1
2,2,2,1
1,2
1,1,2
2,1,2
1,1,1,2
2,1,2,2
1,2,1,2
2,2,1,2
2,2
1,2,2
2,2,2
1,1,2,2
2,1,2,2
1,2,2,2
2,2,2,2
_
_
As an exercise one can begin with the simplest interesting case of (5.24)
with n = 2, and generate y(0), y(1), y(2) as multilinear polynomials in the
controls; their coecients are used to form the matrices H
0
, H
1
, H
2
. In our
example suppose now that rankH
3
= 2 and rankH
4
= 2. Then any of the
factorizations H
3
=
L
R with
L 1
32
, and
R 1
23
, can be used to obtain a
realization c
,
B
1
,
B
2
,
on 1
2
, as follows.
The 3 2 and 2 3 matrices
L = col(l
1
, l
2
, l
3
),
R =
_
r
1
r
2
r
3
_
can be found with Mathematica by
Sol=Solve[L.R==H, Z][[1]]
where the list of unknowns is Z := l
1,1
, . . . l
3,2
, r
1,1
, . . . , r
3,2
. The list of sub-
stitution rules Sol has two arbitrary parameters that can be used to specify
L,
R. Note that the characteristic polynomials of B
1
and B
2
are preserved in
any realization.
Having found
L and
R, take
:= l
1
, c
:= r
1
. The desired matrices
B
1
,
B
2
can be calculated with the help of two matrices M
1
, M
2
that require data
from y(3) (only the three leftmost columns of H
7
are needed):
M
1
=
_
1
1,1
2,1
1,1
1,1,1
2,1,1
1,2
1,1,2
2,1,2
_
_
, M
2
=
_
2
1,2
2,2
2,1
1,2,1
2,2,1
2,2
1,2,2
2,2,2
_
_
;
162 5 Systems with Outputs
they correspond respectively to O
1
B
1
R
1
and O
1
B
2
R
1
. The matrices
B
1
,
B
2
are
determined uniquely from
B
1
= (
L)
1
M
1
R
(RR
)
1
,
B
2
= (
L)
1
M
2
R
(RR
)
1
.
Because the input-output mapping is multilinear in U, as pointed out in
[275] the only needed values of the controls u
1
(t), u
2
(t) are zero and one in
examples like (5.24). .
Example 5.5. The input-output mapping for the single-input system
+
x = B
1
x + u
2
B
2
x, y = c
x, x(0) = (5.30)
can be obtained by setting u
1
(t) 1 in Example 5.4; with that substitution the
mapping (5.27), the Hankel matrix sections H
T
and the realization algorithm
are the same. The coecients correspond by the evaluation u
1
= 1, for
instance the constant term in the polynomial y(t + 1) for the system (5.30)
corresponds to the coecient of u
1
(0) . . . u
1
(t) inthe output (5.29) for Example
5.4. .
Exercise 5.1. Find a realization on 1
2
of the two-input mapping
11
y(0) = 1, y(1) = u
1
(0) + u
2
(0),
y(2) = u
1
(0)u
1
(1) 2u
1
(1)u
2
(0) + u
1
(0)u
2
(1) + u
2
(0)u
2
(1),
y(3) = u
1
(0)u
1
(1)u
1
(2) + u
1
(1)u
1
(2)u
2
(0) 2u
1
(0)u
1
(2)u
2
(1)+
4u
1
(2)u
2
(0)u
2
(1) + u
1
(0)u
1
(1)u
2
(2) 2u
1
(1)u
2
(0)u
2
(2)+
u
1
(0)u
2
(1)u
2
(2) + u
2
(0)u
2
(1)u
2
(2). .
5.5.3 Remarks on Discrete-time Systems*
See Fliess [92] to see how the construction sketched in Example 5.4 yields
a system observable and span-reachable on 1
n
where n is the rank of the
Hankel matrix, and how to classify such systems. It is pointed out in [92]
that the same input-output mapping can correspond to an initialized homo-
geneous system or to the response of a biane system initialized at 0, using
the homogeneous representation of a biane system given in Section 3.8.
Power series in non-commuting variables, which are familiar in the theory
of formal languages, were introduced into control theory in [92]. For their
application in the continuous-time theory, see Chapter 8.
Discrete time bilinear systems with m inputs, p outputs and xed were
investigated by Tarn & Nonoyama [275, 215] using the method of Example
11
Hint: the characteristic polynomials of B
1
, B
2
should be
2
1,
2
+2 in either order.
5.6 Volterra Series 163
5.4. They obtained span-reachable and observable biane realizations of
input-output mappings in the way used in Sections 3.8 and 5.5.2: embed
the state space as a hyperplane in 1
n+1
. Tarn & Nonoyama [275, 215, 276]
uses ane tensor products in abstract realization theory and a realization
algorithm.
The input-output mappingof a discrete-time biane system(5.23) at = 0
is an example of the polynomial response maps of Sontag [244]; the account of
realization theory in Chapter V of that book covers biane systems among
others. Sontag [246] gave an exposition and a mathematical application to
Yang-Mills theory of the input-output mapping for (4.17).
The Hankel operator and its nite sections have been used in functional
analysis for over a century to relate rational functions to power series. They
were applied to linear system theory by Kalman, [154, Ch. 10] and are ex-
plained in current textbooks such as Corless & Frazho [65, Ch. 7]. They have
important generalizations to discrete time systems that can be represented
as machines (adjoint systems) in a category; see Arbib & Manes [8] and the
works cited there.
A category is a collection of objects and mappings (arrows) between them.
The objects for a machine are an input semigroup U
i=1
_
t
0
_
i1
0
K
i
(t,
1
, . . . ,
i
)u(
1
) u(
i
) d
i
d
1
. (5.31)
The support of kernel K
k
is the set 0 t
1
t
k
t which makes this a Volterra
expansion of triangular type; there are others. A kernel K
j
is called separable
12
The functional F(t; u) is causal if depends only on u(s)| 0 s t.
164 5 Systems with Outputs
if it can be written as a nite sum of products of functions of one variable.
and called stationary if K
j
(t,
1
, . . . ,
j
) = K
j
(0,
1
t, . . . ,
j
t).
By the Weierstrass theorem a real function on a compact interval can be
approximated by polynomials and represented by a Taylor series; in precise
analogy a continuous function on a compact function space 1 can, by the
Stone-Weierstrass Theorem, be approximatedbypolynomial expansions and
represented by a Volterra series.
13
The Volterra expansions (5.31) for bilinear systems are easily derived
14
for any m; the case m = 1 will suce, and 1 = /([0, T]. The input-output
relation F for the system
x = Ax + u(t)Bx, x(0) = , y = Cx
can be obtained from the Peano-Baker series solution ((1.33) on page 15) for
its transition matrix:
y(t) = Ce
tA
+
_
t
0
u(t
1
)Ce
(tt
1
)A
Be
t
1
A
dt
1
+
_
t
0
_
t
1
0
u(t
1
)u(t
2
)Ce
(tt
1
)A
Be
(t
1
t
2
)A
Be
t
2
A
dt
2
dt
1
+ . (5.32)
This is formally a stationary Volterra series whose kernels are exponential
polynomials in t. For any nite T and such that sup
0tT
u(t) the
series (5.32) converges on [0, T] (to see why, consider the Taylor series in t
for exp(B
_
t
0
u(s)ds). Using the relation exp(tA)Bexp(tA) = exp(ad
A
)(B) the
kernels K
i
for the series (5.32) can be written
K
0
(t) = Ce
At
,
K
1
(t,
1
) = Ce
tA
e
1
ad
A
(B),
K
2
(t,
1
,
2
) = Ce
tA
e
1
ad
A
(B)e
2
ad
A
(B), .
Theorem 5.2 (Brockett [38]). Anite Volterra series has a time-invariant bilinear
realization if and only if its kernels are stationary and separable.
Corollary 5.1. The series (5.32) has a nite number of terms if and only if the
associative algebra generated by ad
k
A
(B), 0 k 1 is nilpotent.
The realizability of a stationary separable Volterra series as a bilinear
system depends on the factorizability of certain behavior matrices; early
treatments by Isidori & Ruberti & dAlessandro [142, 68] are useful, as well
13
See Rugh [228] or Isidori [141, Ch. 3]. In application areas like Mathematical Biology
Volterra expansions are usedto represent input-output mappings experimentallyobtained
by orthogonal-functional (Wiener & Schetzen) methods.
14
The Volterra kernels of the input-output mapping for bilinear and biane systems
were given by Bruni & Di Pillo & Koch [42, 43].
5.7 Approximation with Bilinear Systems 165
as the books of Isidori [141] and Rugh [228]. For time invariant bilinear
systems each Volterra kernel has a proper rational multivariable Laplace
transform; see Rugh [228], where it is shown that compositions of systems
such as those illustrated in Section 5.1 can be studied in both continuous and
discrete time cases by using their Volterra series representations.
For discrete time bilinear systems expansions as polynomials in the input
values (discrete Volterra series) can be obtained from (4.7). For
+
x = Ax +uBx
with x(0) = and an output y = Cx, for each t Z
+
y(t) = CA
t
+
t
i=1
_
CA
ti
BA
i1
_
u(i) + +
_
CB
t
_
t
i=1
u(i), (5.33)
a multilinear polynomial in u of degree t. For a two-input example see (4.7).
The sum of two such outputs is again multilinear in u. It has, of course,
a representation like (5.5) as a bilinear system on 1
2n
, but there may be
realizations of lower dimension.
Frazho [98] used Fock spaces, shift operators, a transform from Volterra
expansions to formal power series, and operator factorizations to obtain a
realization theory for discrete-time biane systems on Banach spaces.
5.7 Approximation with Bilinear Systems
A motive for the study of bilinear and biane systems has been the pos-
sibility of approximating more general nonlinear control systems. The ap-
proximations (1.21)(1.25) on page 12, are obtained by neglecting higher
degree terms. Theorem 8.1 in Section 8.1 is the approach to approximation
of input-output mappings of Sussmann [262]. This section describes some
approximation methods that make use of Section 5.7.
Proposition 5.4.
15
Abilinear system x = Ax+uBx on 1
n
with a single polynomial
output y = p(x) such that p(0) = 0 can be represented as a bilinear system of larger
dimension with linear output.
Proof. Use Proposition A.2 on page 224 with the notation of Section A.3.4.
Any polynomial p of degree d in x R
n
can be written, using subscript j for
a coecient of x
j
,
p(x) =
d
i=1
c
i
x
i
, c
i
: 1
n
i
1; let z
(d)
:= col(x, x
2
, . . . , x
d
), then
15
For Proposition 5.4 see Brockett [35, Th. 2]; see Rugh [228]. Instead of the Kronecker
powers, state vectors that are pruned of repetitions of monomials can be used, with loss
of notational clarity.
166 5 Systems with Outputs
z
(d)
=
_
A + uB (A + uB, 1) . . . (A + uB, d 1)z
(d)
_
; y =
_
c
1
. . . c
d
_
z
(d)
.
Since (A + uB, k) = (A, k) + u(B, k), we have the desired bilinear system
(although of excessively high dimension) with linear output. ||
Example 5.6. A result of Krener [166, Th. 2 and Cor. 2] provides nilpotent
bilinear approximations to order t
k
of smooth systems x = f (x) + ug(x),
y = h(x) on 1
n
with compact . The method is, roughly, to map its Lie
algebra g := f, g
[
to a free Lie algebra on two generators, and by setting
all brackets of degree more than k to zero, obtain a nilpotent Lie algebra n
which has (by Ados Theorem) a matrix representation of some dimension
h. The corresponding nilpotent bilinear system on GL(h, 1) has, from [164],
a smooth mapping to trajectories on 1
n
that approximate the trajectories of
the nonlinear system to order t
k
. A polynomial approximation to h permits
the use of Proposition 5.4 to arrive at a bilinear system of larger dimension
with linear output and (for the same control) the desired property. .
Example 5.7 (Carleman approximation). See Rugh [228, Sec. 3.3] for the Carle-
man approximation of a real-analytic control system by a bilinear system.
Using the subscript j for a matrix that maps x
j
to 1
n
,
A
j
1
n
j
n
. Use the identity (A.6): (A
j
x
j
)(B
m
x
m
) = (A
j
B
m
)x
j+m
A simple example of the Carleman method is the dynamical system
x = F
1
x + F
2
x
2
, y = x
1
. (5.34)
The desired linearization is obtained by the induced dynamics on z
(k)
:=
col(x, x
2
, . . . , x
k
) and y = z
1
z
(k)
=
_
_
F
1
F
2
0 0 . . .
0 (F
1
, 1) (F
2
, 2) 0 . . .
. . . . . . . . . . . . . . .
0 0 . . . 0 (F
1
, k 1)
_
_
z
(k)
+
_
_
0
0
.
.
.
(F
2
, k)x
k+1
_
_
which depends on the exogenous term in z
(k+1)
k
= x
k+1
that would have to
come from the dynamics of z
(k+1)
. To obtain a linear autonomous approxi-
mation, the kth Carleman approximation, that exogenous term is omitted. The
unavoidable presence of such terms is called the closure problem for the Car-
leman method. The resulting error in y(t) is of order t
k+1
if F
1
is Hurwitz
and [[ is suciently small. If the system (5.34) has a polynomial output
y = p(x) an approximating linear dynamical system with linear output is
easily obtained as in Proposition 5.4. To make (5.34) a controlled example let
F
i
:= A
i
+ uB
i
with bounded u. .
Chapter 6
Examples
Most of the literature of bilinear control has dealt with special problems and
applications; they come from many areas of science and engineering and
could prot from a deeper understanding of the underlying mathematics.
A few of them, chosen for ease of exposition and for mathematical interest,
will be reported in this chapter. More applications can be found in Bruni
& Di Pillo & Koch [43], Mohler & Kolodziej [210], the collections edited by
Mohler and Ruberti [204, 227, 209] and Mohlers books [206], [207, Vol. II].
Many bilinear control systems familiar in science and engineering have
non-negative state variables; their theory and applications such as com-
partmental models in biology are described in Sections 6.16.2. We again
encounter switched systems in Section 6.3; trajectory tracking and optimal
control are discussed in Section 6.4. Quantummechanical systems and quan-
tum computation involve spin systems that are modeled as bilinear systems
on groups; this is particularly interesting because we meet complex bilinear
systems for the rst time, in Section 6.5.
6.1 Positive Bilinear Systems
The concentrations of chemical compounds, densities of living populations,
and many other variables in science can take on only non-negative values
and controls occur multiplicatively, so positive bilinear systems are often
appropriate. They appear as discrete-time models of the microeconomics of
personal investment strategies (semiannual decisions about ones interest-
bearing assets anddebts); andless trivially, in those parts of macroeconomics
involving taxes, taris and controlled interest rates. For an introduction to
bilinear systems in economics see dAlessandro [72]. The work on economics
reported in Brunner & Hess [44] is of interest because it points out pitfalls in
estimating the parameters of bilinear models. The book Dufrnot & Mignon
167
168 6 Examples
[76] studies discrete-time noise-driven bilinear systems as macroeconomic
models.
6.1.1 Denitions and Properties
There is a considerable theory of dynamical systems on convex cones in a
linear space L of any dimension.
Denition 6.1. A closed convex set K (see page 21) in a linear space is called
a convex cone if it is closed under nonnegative linear combinations:
K + K = K and K = K for all 0;
its interior
K is an open convex cone;
K +
K =
K and
K =
1
2
+
. Controllability of planar systems in the positive quadrant was shown in
Boothby [30] for a class of pairs (A, B) (with properties including /) that is
open in the space of matrix pairs. The hypotheses and proof involve a case-
by-case geometric analysis using the eigenstructure of A+ uB as u varies on
1. This work attracted the attention of several mathematicians, and it was
completed as follows.
Theorem 6.1 (Bacciotti [13]). Consider (6.4) on
1
2
+
with = 1. Assume that
(A, B) has property / and
2
> 0 (otherwise, replace u with u). Let
= (
2
a
11
1
a
22
)
2
+ 4
1
2
a
12
a
21
.
Then the system x = Ax + uBx is completely controllable on 1
n
+
if either
(i)
1
> 0, or
(ii)
1
< 0 but > 0 and
1
a
22
2
a
11
> 0.
In any other case, the system is not controllable.
Remark 6.1. The insightful proof given in [13] can only be sketched here.
From Proposition 6.3 the LARC is satised on
1
2
+
. Let
V(x) := x
1
2
x
2
1
; bV(x) = 0;
6.1 Positive Bilinear Systems 171
The level sets x| V(x) = c are both orbits of b and hypersurfaces that dis-
connect
1
2
+
. System (6.4) is controllable on
1
2
+
if and only if aV(x) changes
sign somewhere on each of these level curves. This change of sign occurs in
cases (i) and (ii) only. .
6.1.3 Systems on n-Orthants
It is easy to give noncontrollability conditions that use the existence of a trap,
in the terminology of Section 3.3.2, for an open set of pairs (A, B).
Proposition 6.4 (Boothby [30, Th. 6.1]). Suppose the real matrices A, B satisfy
A 0 and B = diag(
1
, . . . ,
n
). If there exists a vector p 0 such that
(i)
n
i=1
p
i
i
= 0 and (ii)
n
i=1
p
i
a
i,i
0
then (6.4) is not controllable on
1
n
+
.
Proof. Dene a gauge function V, positive on
1
n
+
by
V(x) :=
n
i=1
x
p
i
i
; if x 1
n
+
,
V(x) := aV + ubV =
_
n
i=1
p
i
a
i,i
+
i, j1..n,
ij
(p
i
x
1
1
)a
i, j
x
j
_
V(x) > 0
by hypotheses (i,ii) and x > 0. Thus V increases on every trajectory. ||
Sachkov [231] considered (6.4) and the associated symmetric system
x =
m
i=1
u
i
B
i
x, = 1
m
(6.5)
on
1
n
+
, with m = n 1 or m = n 2. The method is one that we saw above in
two dimensions: if (6.5) is controllable onnestedlevel hypersurfaces V(x) =
on the (simply connected) state space
1
n
+
and if the zero-control trajectories
of (6.4) can cross all these hypersurfaces in both directions, then system (6.4)
is globally controllable on 1
n
+
.
172 6 Examples
N
1
a
1
2(1u)a
2
a
1
N
2
a
2
N =
_
a
1
2a
2
a
1
a
2
_
N + u
_
0 2a
2
0 0
_
N, J = c
N(T) +
_
T
0
u(t) dt. .
6.2 Compartmental Models 173
Example 6.3. In mathematical models for biological chemistry the state vari-
ables are molar concentrations x
i
of chemical species C
i
, so are non-negative.
Some of the best-studied reactions involve the kinetics of the catalytic eects
of enzymes, which are proteins, on other proteins. For an introduction see
Banks & Miech & Zinberg [20]. There are a few important principles used in
these studies. One is that almost all such reactions occur without evolving
enough heat to aect the rate of reaction appreciably. Second, the mass action
law states that the rate of a reaction involving two species C
i
, C
j
is propor-
tional to the rate at which their molecules encounter eachother, which inturn
is proportional to the product x
i
x
j
of their concentrations measured in moles.
Third, it is assumed that the molecules interact only in pairs, not trios; the
resulting dierential equations are inhomogeneous quadratic. These princi-
ples suce to write down equations for x involving positive rate constants
k
i
that express the eects of molecular shape, energies and energy barriers
underlying the reactions.
1
One commonmodel describes the reactionof anenzyme Ewitha substrate
S, forming a complex C which then decomposes to free enzyme and either
a product P or the original S. Take the concentrations of S, C and P as non-
negative state variables x
1
, x
2
, x
3
respectively. It is possible in a laboratory
experiment to make the available concentration of E a control variable u. The
resulting control system is:
x
1
= k
1
ux
1
+ k
2
x
2
, x
2
= k
1
ux
1
(k
2
+ k
3
)x
2
, x
3
= k
3
x
2
. (6.6)
It can be seen by inspection of the equations (6.6) that a conservation-of-
mass law is satised: noting that in the usual experiment x
2
(0) = 0 = x
3
(0),
it is x
1
(t) + x
2
(t) + x
3
(t) = x
1
(0). We conclude that the system evolves on a
triangle in
1
3
+
and that its state approaches the unique asymptotically stable
equilibrium at x
1
= 0, x
2
= 0, x
3
= x
1
(0). .
Example 6.4. A dendrite is a short (and usually branched) extension of a neu-
ron provided with synapses at which inputs from other cells are received. It
can be modeled, as in Winslow [288] by a partial dierential equation (tele-
graphers equation, cable equation) which can be simplied by a lumped
parameter approximation. One of these, the well-known Wilfred Rall model,
is described in detail in Winslow [288, Sec. 2.4]. It uses a decomposition of
the dendrite into n interconnected cylindrical compartments with potentials
v := (v
1
, . . . , v
n
) with respect to the extracellular uid compartment and with
excitatory and inhibitory synaptic inputs u := (u
1
, . . . , u
n
). The input u
i
is
the variation in membrane conductance between the ith compartment and
potentials of 50 millivolts (excitatory) or -70 millivolts (inhibitory). The con-
ductance between compartments i, j is A = a
i, j
, which for an unbranched
1
In enzyme kinetics the rates k
i
often dier by many orders of magnitude corresponding
to reaction times ranging from picoseconds to hours. Singular perturbation methods are
often used to take account of the disparity of time-scales (stiness).
174 6 Examples
dendrite is tridiagonal. The simplest bilinear control system model for the
dendrites behavior is
v = Av +
n
1
u
j
(t)N
j
v + Bu(t).
Each n n diagonal matrix N
j
has a 1 in the ( j, j) entry and 0 elsewhere,
and B is constant, selecting the excitatory and inhibitory inputs for the ith
compartment. The components of u can be normalized to have the values 0
and 1 only, in the simplest model. Measurements of neuronal response have
been taken using Volterra series models for the neuron; for their connection
with bilinear systems see Section 5.6. .
Example 6.5. This is a model of the VerhulstPearl model for the growth of
two competing plant species, modied from Mohler [206, Ch. 5]. The state
variables are populations; call them x
1
, x
2
. Their rates of natural growth
0 u
i
1 for i = 1, 2 are under control by the experimenter, and their
maximum attainable populations are 1/b
1
, 1/b
2
. Here I will assume they
have similar rates of inhibition, to obtain
_
x
1
x
2
_
= u
1
_
x
1
b
1
x
2
1
b
1
x
1
x
2
_
+ u
2
_
b
2
x
1
x
2
x
2
b
2
x
2
2
_
.
When the state is close to the origin, neglecting the quadratic terms pro-
duces a bilinear control model; in Chapter 7 a nonlinear coordinate change
is produced in which the controlled dynamics becomes bilinear. .
6.3 Switching
We will say that a continuous time bilinear control system is a switching sys-
tem if the control u(t) selects one matrix from a given list B
m
:= B
1
, . . . , B
m
.
(Some works on switched systems use matrices B chosen from a compact set
B that need not be nite.) Books on this subject include Liberzon [182] and
Johansson [144]. Two important types of switching will be distinguished:
autonomous and controlled.
In controlled switching the controls can be chosen as planned or random
/J functions of time. For instance, for the controlled systems discussed by
Altani [5]
2
x =
m
i=1
u
i
(t)B
i
x, u
i
(t) 0, 1,
m
i=1
u
i
(t) = 1. (6.7)
2
In [5] Altani calls (6.7) a positive scalar polysystem because u is a positive scalar; this
would conict with our terminology.
6.3 Switching 175
The discrete time version posits a rule for choosing one matrix factor at each
time,
+
x =
m
i=1
u
i
B
i
x, u
i
(t) 0, 1,
m
i=1
u
i
(t) = 1. (6.8)
The literature of these systems is largely concerned with stability questions,
although the very early paper Ku cera [167] was concerned with optimal
control of the m = 2 version of (6.7). For the random input case see Section
8.3.
Autonomous switching controls are piecewise linear functions of the state.
The ideal autonomous switch is the sign function, partially dened as
sgn() :=
_
_
1, < 0
undened, = 0
1, 0
.
6.3.1 Power Conversion
Sometimes the nominal control is a combination of autonomous and con-
trolled switching, with u a periodic /J function sgn(sin(t)) whose on-o
duty cycle is modulated by a slowly varying function (pulse-width mod-
ulation):
u(t) = sgn(sin( + (t))t) .
Such controls are used for DC-to-DC electric power conversion systems
ranging in size from electric power utilities to the power supply for your
laptop computer. Often the switch is used to interrupt the current through
an inductor, as in these examples. The control regulates the output voltage.
Example 6.6. For an experimental comparison of ve control methods for a
bilinear model of a DCDC boost converter see Escobar et al. [86]:
x
1
=
u 1
L
x
2
+
E +
L
, x
2
=
1 u
C
x
1
1
(R + )C
x
2
(6.9)
where the DC supply is E + volts, the load resistance R + ohms and
, represent parametric disturbances. The state variables are current x
1
through an inductor (L henrys) and output voltage x
2
on a C-farad capacitor;
u(t) 0, 1. .
Example 6.7. A simple biane example is a conventional ignition sparking
system for an (old) automobile with a 12-volt battery, in which the primary
circuit can be modeled by assigning x
1
to voltage across capacitor of value C,
x
2
to current inthe primary coil of inductance L. The control is a distributor or
176 6 Examples
electronic switch, either open (innite resistance) or closed (small resistance
R) in a way depending on the crankshaft angular speed , timing phase
and a periodic function f :
x
1
=
x
2
C
u(x
1
12)
C
, x
2
=
x
1
L
, u =
_
_
1/R, f (t + ) > 0,
0, otherwise.
.
Other automotive applications of bilinear control systems include mechani-
cal brakes and controlled suspension systems, and see Mohler [207].
6.3.2 Autonomous Switching*
This subsection reects some implementation issues for switched systems.
Control engineers have often proposed feedback laws for
x = Ax + uBx, x 1
n
, = [ , ]. (6.10)
of the form u = sgn((x)), where is linear or quadratic, because of their
seeming simplicity. There exist (if ever changes sign) a switching hypersur-
face S := x 1
n
| (x) = 0 and open regions S
+
, S
where is respectively
positive and negative. On each open set one has a linear dynamical system,
for instance on S
+
we have x = (A + B)x.
However, the denition and existence theorems for solutions of dieren-
tial equations are inapplicable in the presence of state dependent discontinu-
ities, and after trajectories reach S they may or may not have continuations
that satisfy (6.10). One can broaden the notion of control system to permit
generalized solutions. The generalized solutions commonly used to study
autonomous switched systems have been Filippov solutions [90] and Krasovskii
solutions [163]. They cannot be briey described, but are as if u were rapidly
chattering back and forth among its allowed values without taking either
one on an open interval. The recent article Corts [66] surveys the solutions
of discontinuous systems and their stability.
If the vector eld on both sides of a hypersurface S points toward S
and the resulting trajectories reach S in nite time the subsequent trajectory
either terminates as in the one dimensional example x = sgn(x) or can
be continued in a generalized sense and is called a sliding mode. Sliding
modes are intentionally used to achieve better control; see Example 6.8 for
the rationale for using such variable structure systems. There are several books
on this subject, such as Utkin [281]; the survey paper Utkin [280] is a good
starting point for understanding sliding modes use in control engineering.
The technique in [280] that leads to useful sliding modes is simplest when
the control system is given by an nth order linear dierential equation. The
6.3 Switching 177
designer chooses a switching hypersurface S := x 1
n
| (x) = 0. In most
applications is linear and S is a hyperplane as in the following example.
Example 6.8. The second-order control system
1
= sgn( +
), S
1
,
whose state space is a cylinder, arose in work in the 1960s on vehicle roll
control problems; it was at rst analyzed as a planar system that is given
here as a simple sliding mode example. With x
1
:= , x
2
:=
,
x
1
= x
2
, x
2
= sgn(x
1
+ x
2
), S = x| x
1
+ x
2
= 0.
The portions of the trajectories that lie entirely in S
+
or S
(x
6
1
1
u
x
Fig. 6.2 Hysteretic switching.
sat
() :=
_
_
sgn(/) >
/, <
. (6.11)
A one dimensional example of switching with hysteresis is illustrated in
Figure 6.2, where x = u. The arrows indicate the sign of x and the jumps in
u prescribed when x leaves the sets (, ) and (, ) as shown.
The denition of hybrid systems is still evolving, but in an old version the
state space is 1, . . . , m R
n
; the hybrid state is ( j(t), x(t)). There is given a list
of matrices B
1
, . . . , B
m
and a covering of 1
n
by open sets U
1
, . . . , U
m
with
x = B
j
x when x U
j
. The discrete component j(t) changes when x leaves U
j
(as in Figure 6.2); to make the switching rule well dened one needs a small
delay between successive changes.
6.3.3 Stability Under Arbitrary Switching
The systems to be considered here are (6.7) and its discrete-time analog (6.8).
Controllability problems for these systems cannot be distinguished from
the general bilinear control problems. The stability problems are rst the
possibility of nding a stabilizing control, which is covered by Chapters 3
and 4; second, guaranteeing stability or asymptotic stability of the system
no matter what the sequence of switches may be, as well as the construction
of Lyapunov functions common to all the dynamical systems x = B
j
x. There
are probabilistic approaches that will be described in Section 8.3. A recent
survey of stability criteria for switched linear systems is Shorten et al. [241],
which deals with many aspects of the problem, including its computational
complexity.
Denition 6.4. By uniform exponential stability (UES
3
) of (6.7) we mean that
uniformly for arbitrary switching functions u there exists > 0 such that all
trajectories satisfy [x(t)[ [x(0)[ exp(t). .
3
UES is also called global uniform exponential stability, GUES.
6.3 Switching 179
A necessary condition for UES of (6.7) is that each of the B
i
is Hurwitz. It is
notable that this condition is far from sucient.
Example 6.9. The two matrices A, B given below are both Hurwitz if > 0;
but if they are usedinalternationfor unit times with0 < < 1/2 the resulting
transition matrices are not Schur-Cohn; let
A =
_
1
4
_
, B =
_
4
1
_
; (6.12)
if =
1
2
, spec(e
A
e
B
) 1.03448, 0.130824. .
Lemma 6.1. If matrix A 1
nn
is nonsingular, a, b 1
n
, 1 then
det
__
A a
b
__
= det(A)( b
A
1
a). (6.13)
Proposition 6.5 (Liberzon & Hespanha & Morse [184]). In switched system
(6.7) suppose that each matrix in B
m
:= B
1
, . . . , B
m
is Hurwitz and that the
Lie algebra g := B
m
[
is solvable; then system (6.7) is UES and there is a common
quadratic positive denite Lyapunov function V that decreases on every possible
trajectory.
Proof. By the theorem of Lie given in Varadarajan [282, Th. 3.7.3] (see Section
3.2.2), by the hypothesis on g there exists a matrix S 1
nn
such that the
matrices C
i
:= S
1
B
i
S are upper triangular for i 1 . . m. Changing our
usual habit, let the entries of C
i
be denoted by c
k,l
i
. Since all of the matrices in
B
m
are Hurwitz there is a > 0 such that T(c
k,k
i
) > for k 1 . . m. We need to
ndby induction on n a diagonal positive denite matrix Q = diag(q
1
, . . . , q
n
)
such that C
i
Q+ QC
i
> 0. Remark 1.2 can be used to simplify the argument
in [184] and it suces to treat the case n = 3, from which the pattern of
the general proof can be seen. Let D
i
, E
i
, F
i
denote the leading principal
submatrices of orders 1, 2, 3 (respectively) of C
i
Q+ QC
i
and use Lemma 6.1
to nd the leading principal minors:
D
i
:= 2q
1
T(c
1,1
i
), E
i
:=
_
2q
1
T(c
1,1
i
) q
1
c
1,2
i
q
1
c
1,2
i
2q
2
T(c
2,2
i
)
_
,
F
i
:=
_
_
2q
1
T(c
1,1
i
) q
1
c
1,2
i
q
1
c
1,3
i
q
1
c
1,2
i
2q
2
T(c
2,2
i
) q
2
c
2,3
i
q
1
c
1,3
i
q
2
c
2,3
i
2q
3
T(c
3,3
i
)
_
_
;
det(D
i
) = D
i
= 2q
1
T(c
1,1
i
) > 0;
det(E
i
) = D
i
_
2q
2
T(c
2,2
i
) q
2
1
c
1,2
i
2
_
det(F
i
) = det(E
i
)
_
2q
3
T(c
3,3
i
) (q
2
1
c
1,3
i
2
+ q
2
2
c
2,3
i
2
)
_
.
Choose q
1
:= 1; then all D
i
> 0. Choose
180 6 Examples
q
2
> max
i
_
_
c
1,2
i
2
2T(c
2,2
i
)
_
_
, then det(E
i
) > 0, i 1 . . m;
q
3
> max
i
_
_
c
1,3
i
2
+ q
2
2
c
2,3
i
2
2T(c
3,3
i
)
_
_
, then det(F
i
) > 0, i 1 . . m.
Sylvesters criterion is now satised, and there exists a single Q such
that C
i
Q + QC
i
> 0 for all i 1 . . m. Returning to real coordinates, let
V(x) := x
SQS
1
x; it is a Lyapunov function that decreases along all trajec-
tories for arbitrary switching choices, establishing UES of the system (6.7).
(The theorem in [184] is obtained for a compact set of matrices B.) ||
For other methods of constructing polynomial Lyapunov functions for
UES systems as approximations to smooth Lyapunov functions see Mason
& Boscain & Chitour [202]; the degrees of such polynomials may be very
large.
Denition 6.5. The system (6.7) is called uniformly stable (US) if there is a
quadratic positive denite Lyapunov function V that is non-increasing on
each trajectory with arbitrary switching. .
Proposition 6.6 (Agrachev & Liberzon [1]). For the switched system (6.7) sup-
pose that each matrix in B
m
is Hurwitz and that B
m
generates a Lie algebra
g = g
1
g
2
, where g
1
is a solvable ideal in g and g
2
is compact (corresponds to
a compact Lie group). Then (6.7) is US. .
Remark 6.2. InProposition6.6, [1] obtainedthe uniformstabilityproperty, but
not the UES property, by replacing the hypothesis of solvability in Propo-
sition 6.5 with a weaker condition on the Lie algebra; it is equivalent to
nonnegative deniteness of the Cartan-Killing form, (X, Y) := tr(ad
X
ad
Y
),
on (g, g). For a treatment of stability problems for switched linear systems
using Lyapunov exponents see Wirth [289]. .
For discrete-time systems (6.8) the denitionof UES is essentially the same
as for continuous time systems. If each B
i
is Schur-Cohn and the Lie algebra
g := B
1
, . . . , B
m
[
is solvable then we know that the matrices of system (6.8)
can be simultaneously triangularized. According to Agrachev & Liberzon
[1] one can show UES for such a switched system using a method analogous
to Proposition 6.5.
There exist pairs of matrices that are both Schur-Cohn, cannot be simul-
taneously triangularized over C, and the order u(t) of whose products can
be chosen in (6.8) so that [x(t)[ .
4
The matrices exp(A) and exp(B) of
Example 6.9 is one such pair; here is another.
4
Finding these examples is a problem of nding the worst case, which might be called
pessimization, if one were so inclined.
6.4 Path Construction and Optimization 181
Example 6.10. This is from Blondel-Megretski [26] Problem 10.2.
A
0
=
_
1 1
0 1
_
, A
1
=
_
1 0
1 1
_
, spec(A
0
) = , = spec(A
1
);
A
1
and A
2
are Schur-Cohn if < 1. A
0
A
1
=
2
_
1 1
1 1
_
;
spec(A
0
A
1
) =
2
3
5
2
; A
0
A
1
is unstable if
2
>
2
3 +
5
0.618. .
The survey in Margaliot [198] of stability of switched systems emphasises
a method that involves searching for the most unstable trajectories (a
version of the old and famous absolute stability problem of control theory) by
the methods of optimal control theory.
6.4 Path Construction and Optimization
Assume that x = Ax+
m
i=1
u
i
B
i
x is controllable on 1
n
. There is then a straight-
forward problem of trajectory construction:
Given and , nd T > 0 and u(t) on [0, T] such that that X(T; u) = .
This is awkward, because there are too many choices of u that will provide
such a trajectory. Explicit formulas are available for Abelian and nilpotent
systems. Consider Example 1.8 as z = iz + uz on C. The time T = arg()
arg() + 2k, k Z
+
. Use any u such that
= e
r(T)
e
iT
where r(T) :=
_
T
0
u(t) dt.
The trajectory construction problem can (sometimes) be solved when x =
Ax + ubc
x
(also see its discrete-time analog (4.10)). As in Exercise 1.12, if A, b satisfy the
Kalman rank criterion (1.43), given states , use a control v of the formv(t) =
b
exp(tA
exp(tA
)d
provides a trajectory from to . If this trajectory nears L, u(t) = v(t)/c
x
grows without bound. That diculty is not insuperable; if (c
, A) satises
the Kalman rank condition (5.2) better results have been obtained by Hajek
[114]. Brockett [39] had already shown that if c
i
0, i 1 . . m, for small
T the attainable set
m
i=1
u
i
b
i
c
i
x with
several rank-one controls.
182 6 Examples
6.4.1 Optimal Control
Another way to make the set of trajectories smaller is by providing a cost and
constraints; then one can nd necessary conditions for a trajectory to have
minimal cost while satisfying the constraints; these conditions may make the
search for a trajectory from to nite dimensional.
This line of thought, the optimal control approach, has engineering appli-
cations (often with more general goals than reaching a point target ) and
is a subspecies of the calculus of variations; it became an important area
of mathematical research after Pontryagins Maximum Principle [220] was
announced. R. R. Mohler began and promoted the application of optimal
control methods to bilinear systems, beginning with his study of nuclear
power plants in the 1960s. His work is reported in his books [205, 206] and
[207, Vol. 2], which cite case studies by Mohler and many others in physi-
ology, ecology, and engineering. Optimal control of bilinear models of pest
population control was surveyed by Lee [179]. For a classic exposition of
Pontryagins Maximum Principal see Lee & Markus [177, 178]; for a survey
including recent improvements see Sussmann [256]. For a history of calculus
of variations and optimal control see Sussmann & Willems [272].
For linear control systems ( x = Ax + bu) it is known that the set of states
attainable from is the same for locally integrable controls with values in a
nite set, say 1, 1, as in its convex hull, [1, 1]. This is an example of the
so-called bang-bang principle. It holds true for bilinear systems in which the
matrices A, B commute, and some others. For such systems the computation
of the optimal u(t) reduces to the search for optimal switching times for a
sequence of 1 values.
In engineering reports on the computation of time-optimal controls, as
well as in Jan Ku ceras pioneering studies of controllability of bilinear sys-
tems [167, 168, 169], it was assumed that one could simplify the optimization
of time-to-target to this search for optimal switching times (open-loop) or nd-
ing hypersurfaces h(x) = c on which a state feedback control u = h(x) would
switch values. However, Sussmann [257] showed that the bang-bang prin-
ciple does not apply to bilinear systems in general; a value between the
extremes may be required.
5
Example 6.11. Optimal control of the angular attitude of a rigid body (a vehi-
cle in space or under water) is an important and mathematically interesting
problem; the conguration space is the rotation group SO(3). Baillieul [17]
used a quadratic control cost for this problem; using Pontryagins Maximum
Principle on Lie groups it was shown that control torques around two axes
suce for controllability. .
Example 6.12. Here is a simple optimal control problem for x = Ax + uBx,
u [J[0, T] with u(t) , a compact set. To assure that the accessible set is
5
See Sussmann [258] for a counterexample to a bang-bang principle proposed in [167].
6.4 Path Construction and Optimization 183
open assume the ad-condition (Denition 3.6). Given an initial state and
a target , suppose there exists at least one control u such that X(t; u) = .
The goal is to minimize, subject to the constraints, the cost
J
u
:=
_
T
0
u(t)
2
dt. For > 0 the set u| X(t; u) = , J
u
J
u
+
is weakly compact, so it contains an optimal control u
o
that achieves the
minimumof J
u
. The MaximumPrinciple [220] provides a necessarycondition
on the minimizing trajectory that employs a Hamiltonian H(x, p; u) where
p 1
n
is called a costate vector.
6
H(x, p; u) :=
u
2
2
+ p
(A + uB)x.
From the Maximum Principal, necessarily
H
o
(x, p) := min
u
H(x, p; u) is constant;
using; u
o
= p
Bx, H
o
(x, p) = p
(A
1
2
Bxp
B)x;
to nd u
o
(t) and x(t) solve
x = Ax (p
Bx)Bx, p = A
p + (p
Bx)B
p, x(0) = , x(T) =
as a two-point boundary problem to nd the optimal trajectory and control.
.
Example 6.13. Medical dosage problems can be seen as optimal control prob-
lems for bilinear systems An interesting example of optimal feedback control
synthesis is the pair of papers Ledzewicz & Schttler [176, 175] mentioned in
Example 6.2. They are based on two and three dimensional compartmental
models of cancer chemotherapy. The cost J is the remaining number of cancer
cells at the end of the dosage period [0, T]. .
Exercise 6.1 (Lie & Markus [177], p. 257). Given x = (u
1
J +u
2
I)x with u [J
constrained by u
1
1, u
2
1, let = col(1, 0); consider the attainable
set for 0 t and the target state := . Verify the following facts.
The attainable set
().
7
.
6
In the classical calculus of variations p is a Lagrange parameter and the Maximum
Principal is analogous to Eulers necessary condition.
7
In polar coordinates the system in Exercise 6.1 is = u
2
,
= u
1
and the attainable set
from is x| e
T
e
T
, T T.
184 6 Examples
6.4.2 Tracking
There is a long history of path planning and state tracking
8
problems. One
is to obtain the uniform approximation of a desired curve on a manifold,
: 1 ^
n
by a trajectory of a symmetric bilinear system on ^
n
.
9
In a
simple version the system is
X =
m
1
u
i
(t)B
i
X, u /J, X(0) = I (6.14)
and its corresponding Lie group G acts transitively on one of its coset spaces
^ := G/H where H is a closed subgroup of G (see Sections B.5.7, 2.7).
For recent work on path planning see Sussmann [268], Sussmann & Liu
[270, 271], Liu [186] and Struemper [254].
Applications to vehicle control may require the construction of con-
strained trajectories in SO(3), its coset space S
2
= SO(3)/SO(2) or the semidi-
rect product 1
3
~ SO(3) (see Denition B.16) that describes rigid body mo-
tions. The following medical example amused me.
Example 6.14 (Head angle control). For a common inner ear problem of elderly
people (stray calcium carbonate particles, called otoliths, in the semicircu-
lar canals) that results in vertigo there are diagnostic and curative medical
procedures
10
that prescribe rotations of the human head, using the fact that
the otoliths can be moved to harmless locations by the force of gravity. The
patients head is given a prescribed sequence of four rotations, each followed
by a pause of about thirty seconds. This treatment can be interpreted as a
trajectory in ^ := 1
3
~ SO(3) to be approximated, one or more times as
needed, by actions of the patient or by the therapist. Mathematical details,
including the numerical rotation matrices and time histories, can be found
in Rajguru & Ifediba & Rabbitt [222]. .
Example 6.15. Here is an almost trivial state tracking problem. Suppose the
m-input symmetric system (2.1) on 1
n
((t))v(t), then
v = (M((t)M
((t)))
1
(t); solving for u,
x = M(x)M
((t))(M((t)M
((t)))
1
(t) (6.16)
which has the desired output. .
Example 6.16. The work of Sussmann and Liu [270, 186] claried previous
work on the approximation of Lie brackets of vector elds. In this chapter
their idea can be illustrated by an example they give in [270]. Assume that
x = u
1
B
1
x + u
2
B
2
x
is controllable on an open subset U 1
3
. Let B
3
:= B
2
B
1
B
1
B
2
, M(x) :=
_
B
1
x B
2
x B
3
x
_
and assume that rankM(x) = 3 on U.
Given points , U choose a smooth curve : [0, 1] U with (0) =
and (1) = . By our Example 6.15 there exists an input w such that
(t) =
_
w
1
(t)B
1
+ w
2
(t)B
2
+ w
1
(t)B
3
_
(t).
So is a solution to the initial value problem
x =
_
w
1
(t)B
1
+ w
2
(t)B
2
+ w
1
(t)B
3
_
x, x(0) = .
Dening a sequence of oscillatory controls, the kth being
u
k
1
(t) := w
1
(t) + k
1
2
w
3
(t) sin(kt), u
k
2
(t) := w
2
(t) 2k
1
2
cos(kt),
let x =
_
u
k
1
(t)B
1
+ u
k
2
(t)B
2
_
x, x(0) = ,
whose solutions x(t; u
k
) converge uniformly to (t) as k . .
Exercise 6.2. To try the preceding example let
B
1
x :=
_
_
x
1
x
2
x
1
+ x
2
x
3
_
_
, B
2
x :=
_
_
x
3
0
x
1
_
_
, B
3
x :=
_
_
0
x
3
x
2
_
_
;
det M(x) = x
3
(x
2
1
+ x
2
2
+ x
2
3
). Choose U = x| x
3
> 0.
Choose a parametrized plane curve in U and implement (6.16) in Mathema-
tica with NDSolve (see the examples); and plot the results for large k with
ParametricPlot3D. .
186 6 Examples
6.5 Quantum Systems*
The controllability and optimal control problems for quantum mechanical
systems have ledto work of interest to mathematicians versedin Lie algebras
and Lie groups.
Work on quantum systems in the 19601980 era was mostly about
quantum-limited optical communication links and quantum measurements.
The controllability problem was discussed by Huang & Tarn & Clark [133]
and a good survey of it for physicists was given by Clark [61]. The recent col-
laborations of DAlessandro, Albertini, and Dahleh [69, 70, 3, 2] and Khaneja
&Glaser &Brockett [157] are an introduction to applications in nuclear mag-
netic resonance, quantum computation, and experimental quantum physics.
There are now books (see DAlessandro [71]) on quantum control.
A single input controlled quantum mechanical system is described by the
Schrdinger equation
1|
(t) = (H
0
+ uH
1
)(t), (6.17)
where | = h/(2) is the reduced Plancks constant. It is customary to use the
atomic units of physics in which | = 1. In general the state (which is a
function of generalized coordinates q, p and time) is an element of a complex
Hilbert space 1. The systems Hamiltonian operator is the sum of a term H
0
describing the unperturbed systemand an external control Hamiltonian uH
1
(due, for example, to electromagnetic elds produced by the carefully con-
structed laser pulses discussed by Clark [61]). The operators H
0
, H
1
on H are
Hermitian and unbounded. They can be represented as innite dimensional
matrices, whose theory is much dierent from those of nite dimension.
An example: for matrix Lie algebras the trace of a Lie bracket is zero, but
two operators familiar to undergraduate physics students are position q and
momentum p =
q
, which in atomic units satisfy [p, q] = I, whose trace is
innite.
For the applications to spin systems to be discussed here, one is interested
in the transitions among energy levels corresponding to eigenstates of H
0
;
these have well established nite dimensional low-energy approximations:
1 C
n
and the Hamiltonians have zero trace.
The observations in quantum systems are described by
i
2
=
i
, i
1 . . n, interpreted as probabilities:
n
1
2
= 1.
11
That is, (t) evolves on the
unit sphere in C
n
. Let the matrices A, B be the section in C
nn
of
1H
0
and
1H
1
respectively; these matrices are skew Hermitian (A
+ A = 0,
B
+ B = 0) with trace zero. The transition matrix X(t; u) for this bilinear
system satises (see Section 2.10.1)
11
In quantum mechanics literature the state is written with Diracs notation as a ket
); a costate vector ( (a bra) can be written
2
) instead of our
2
.
6.5 Quantum Systems* 187
X = AX + uBX, X(0) = I; X
X = I
n
, det(X) = 1; so X SU(n). (6.18)
Since SU(n) is compact and any two generic matrices A, B in its Lie algebra
su(n) will satisfy the LARC, it would seem that controllability would be
almost inevitable; however, some energy transitions are not allowed by the
rules of quantum mechanics. The construction of the graphs of the possible
transitions (see Altani [4] and Schirmer & Solomon [236]) employs the
structure theory of su(n) and the subgroups of SU(n).
In DAlessandro & Dahleh [69] the physical system has two energy levels
(representing the eects of coupling to spins 1/2) as in nuclear magnetic
resonance experiments; the control terms u
1
H
1
, u
2
H
2
are two orthogonal
components of anappliedelectromagnetic eld. The operator equation(6.18)
evolves on SU(2); see Example 2.27. One of the optimal control problems
studied in [69] is to use two orthogonal elds to reach one of the two energy
levels at time T while minimizing
_
T
0
u
2
1
(t) +u
2
2
(t) dt (to maintain the validity
of the low-eld approximation). Pontryagins Maximum Principle on Lie
groups (for which see Baillieul [17]) is used to show in the case considered
that the optimal controls are the radio-frequency sinusoids that in practice
are used in changing most of a population of particles from spin down to
spin up; there is also a single-input problem in [69] whose optimal signals
are Jacobi elliptic functions.
Second canonical coordinates have been used to obtain solutions to quan-
tum physics problems as described in Section 2.8, especially if g is solvable;
see Wei & Norman [284, 285] and Altani [6]. The groups SU(n) are compact,
so Proposition 3.9 applies.
For other quantum control studies see Albertini & DAlessandro [3, 2],
DAlessandro[70, 71], DAlessandro & Dahleh [69], and Clark [61]. In study-
ing chemical reactions controlled by laser action Turinici & Rabitz [279]
shows how a nite-dimensional representation of the dynamics like (6.18)
can make useful predictions.
Chapter 7
Linearization
Often the phrase linearization of a dynamical system x = f (x) merely means
the replacement of f by an approximating linear vector eld. However,
in this chapter it has a dierent meaning that began with the following
question, important in the theory of dynamical systems, that was asked by
Henri Poincar[219]: Given analytic dynamics x = f (x) on 1
n
with f (0) = 0 and
F := f
i=1
u
i
b
i
(x) with
b
i
(0)
x
= B
i
,
when is there a dieomorphism x = (z) such that z =
m
i=1
u
i
B
i
z?
Question 7.2. Given a Lie algebra g and its real-analytic vector eld represen-
tation g on 1
n
, when are there C
(x) f (x)
f
(x)g(x).
189
190 7 Linearization
7.1 Equivalent Dynamical Systems
Two dynamical systems dened on neighborhoods of 0 in 1
n
x = f (x), on U 1
n
and z =
f (z), on V 1
n
are called C
(z)
f (z) = f (z) where
(x) :=
(x)
x
. (7.1)
The equation (7.1) is called an intertwining equation for f and g. Suppose g
also satises
-equivalence. Let g be a
C
vector eld on 1
n
, and 1
n
. The rst one is the focus of an enjoyable
undergraduate textbook, Arnold [10].
Theorem 7.1 (Rectication). If the real-analytic vector eld g(x) satises g() =
c 0 then there exists a neighborhood U
()c.
Theorem 7.2 (Poincar).
1
If g(0) = 0 and the conditions
(P
0
) g
(0) = G = P
1
DP where D = diag(
1
, . . . ,
n
),
(P
1
)
i
_
_
n
j=1
k
i
j
| k
j
Z
+
,
n
j=1
k
i
> 1
_
_
,
(P
2
) 0 K :=
_
_
n
i=1
c
i
i
| c
i
1
+
,
n
i=1
c
i
= 1
_
_
,
are satised, then on a neighborhood U of the origin the image under of g(x) is a
linear vector eld: there exists a C
mapping : 1
n
U such that
(z)
1
g (z) = Gz. (7.2)
1
See [219, Th. III, p. cii]. In condition (P
2
) the set K is the closed convex hull of spec(G).
For the Poincar linearization problem for holomorphic mappings (
+
z = f (z), f (0) = 0,
f
j
k
j
j
1
j
k
j
> .
Poincars theorem has inspired many subsequent papers on linearization;
see the citations in Chen [54], an important paper whose Corollary 2 shows
that the diagonalization condition (P
0
) is superuous.
3
Condition (P
0
) will not be needed subsequently. Condition (P
1
) is called
the non-resonance condition. Following Livingston[187], a real-analytic vector
eld satisfying (P
1
) and (P
2
) is called a Poincar vector eld. Our rst example
hints at what can go wrong if the eigenvalues are pure imaginaries.
Example 7.1.
4
It can be seen immediately that the normalized pendulum
equation and its classical linearization
x =
_
x
2
sin(x
1
)
_
, z =
_
z
2
z
1
_
are not related by a dieomorphism, because the linear oscillator is
isochronous (the periods of all the orbits are 2). The pendulum orbits that
start with zero velocity have initial conditions (, 0), energy (1 cos()) < 2
and period = 4K() that approach innity as , since K() is the
complete elliptic integral:
K() =
_
1
0
_
(1 t
2
)(1 (sin
2
(
2
)t
2
)
_
1/2
dt. .
Example 7.2. If n = 1, f
j=0
p
j
(x) with
real coecients there exists a function of class C
.
4
From Sedwicks thesis [238].
5
Usually DSolve[y[x] f(x)= cy[x], y, x] will give a solution that can be adjusted
to be analytic at x = 0.
192 7 Linearization
7.1.1 Control System Equivalence
The above notion of equivalence of dynamical systems generalizes to non-
linear control systems; this is most easily understood if the systems have
piecewise constant inputs (polysystems: Section B.3.4) because their trajec-
tories are concatenations of trajectory arcs of vector elds.
Formally, two C
control systems on 1
n
with identical inputs
x = u
1
f (x) + u
2
g(x), x(0) = x
0
with trajectory x(t), t [0, T], (7.3)
z = u
1
f (z) + u
2
g(z), z(0) = z
0
with trajectory z(t), t [0, T], (7.4)
are said to be C
dieomorphism : 1
n
1
n
that takes trajectories into trajectories by x(t) = (z(t)).
Note that for each of (7.3), (7.4) one can generate as in Section B.1.6 a
list of vector eld Lie brackets in one-to-one correspondence to /1(m), the
Philip Hall basis for the free Lie algebra on mgenerators. Let H : /1(m) g,
dieomorphism : U(x
0
) V(z
0
)
taking trajectories of (7.3) with x(0) = x
0
to trajectories of (7.4) with z(0) = z
0
is that there exist a constant nonsingular matrix L =
(x
0
) that establishes the
following local isomorphism between g and g:
for every p /1(m), if h := H(p),
h :=
H(p) then Lh(x
0
) =
h(z
0
). (7.5)
The mapping of Theorem 7.3 is constructed as a correspondence of
trajectories of the two systems with identical controls; the trajectories ll up
(respective) submanifolds whose dimension is the Lie rank of the Lie algebra
h := f, g
[
. In Kreners theorem h can be innite-dimensional over 1 but
for (7.5) to be useful the dimension must be nite, as in the example in [164]
of systems equivalent to linear control systems x = Ax + ub. Ados Theorem
and Theorem 7.3 imply Krener [166, Th. 1] which implies that a system (7.3)
whose accessible set has open interior and for which h is nite dimensional
is locally a representation of a matrix bilinear system whose Lie algebra is
isomorphic to h.
6
For further results from [166] see Example 5.6.
Even for nite-dimensional Lie algebras the construction of equivalent
systems in Theorem 7.3 may not succeed in a full neighborhood of an equi-
librium point x
e
because the partial mappings it provides are not unique
and it may not be possible to patch them together to get a single linearizing
dieomorphism around x
e
. Examples in 1
2
found by Livingston [187] show
that when h is not transitive a linearizing mapping may, although piecewise
real analytic, have singularities.
6
For this isomorphism see page 36).
7.1 Equivalent Dynamical Systems 193
Example 7.3. Dieomorphisms for which both and
1
are polynomial
are called birational or Cremona transformations; under composition of map-
pings they constitute the Cremona group C(n, 1) .
7
acting on 1
n
. It has two
known subgroups: the ane transformations A(n, 1) like x Ax+b and the
triangular (Jonquire) subgroup J(n, 1).
The mappings C(n, 1) provide easy ways to put a disguise on a real
or complex linear dynamical system. Start with x = Ax and let x = (z); then
z =
1
dieomorphism : 1
n
1
n
, z = (x),
with (0) = 0, to a nonlinear system x = u
1
a(x) + u
2
b(x) where
a(x) :=
1
(x)A(x), b(x) :=
1
(x)B(x). (7.7)
Reversing this process, given a C
(0) = I, A = a
(0) and B = b
(0).
Referring to Section B.3.5 and especially Section B.7 in Appendix B, the
relation (7.7) can be written as intertwining equations like
A(x) =
(x)a(x), B(x) =
(x)b(x); (B.7)
corresponding nodes in the matrix bracket tree T(A, B) and the vector eld
bracket tree T(a, b) (analogously dened) are -related in the same way:
7
The Cremona group is the subject of the Jacobian Conjecture (see Kraft [161]): if :
C
n
C
n
is a polynomial mapping such that det(
n
j=1
k
j
. A natural basis over C for W
k
is given by the d
k
column vectors
9
Most of this section is from Livingston & Elliott [187]. The denition of ad
A
there diers
in sign from the ad
a
used here.
7.2 Linearization: Semisimplicity, Transitivity 195
w
j
(x) := x
k
1
1
x
k
2
2
x
k
n
n
j
for j 1 . . n, with = k and as usual
1
:= col(1, 0, . . . , 0), . . . ,
n
:= col(0, 0, . . . , 1).
We can use a lexicographic order on the w
j
to obtain an ordered basis E
k
for W
k
.
Example 7.4. For W
2
on C
2
the elements of E
2
are, in lexicographic order,
w
2,0
1
=
_
x
2
1
0
_
, w
1,1
1
=
_
x
1
x
2
0
_
, w
0,2
1
=
_
x
2
2
0
_
,
w
2,0
2
=
_
0
x
2
1
_
, w
1,1
2
=
_
0
x
1
x
2
_
, w
0,2
2
=
_
0
x
2
2
_
. .
The Jacobian matrix of an element a(x) W
k
is a
(x)b(x) b
(x)a(x) W
k+j1
.
Bracketing by a rst-order vector eld a(x) := Ax W
1
, gives rise to its
adjoint action, the linear transformation denoted by
ad
a
: W
k
W
k
; for all v(x) W
k
ad
a
(v)(x) := [Ax, v(x)] = Av(x) v
(x)Ax W
k
. (7.9)
Lemma 7.1. If a diagonalizable matrix C C
nn
has spectrum
1
, . . . ,
n
then for
all k I, the operator ad
d
dened by ad
d
(v)(x) := Cv(x)v
(x)Cx is diagonalizable
on W
k
(using E
k
) with eigenvalues
r
:=
r
j=1
k
j
j
, r 1 . . n, for = (k
1
, . . . , k
n
), = k (7.10)
and corresponding eigenvectors w
r
.
Proof. Let D := TCT
1
be a diagonal matrix; then D
r
=
r
r
, r . . n, so
ad
d
(w
r
)(x) = [Dx, w
r
(x)]
=
r
x
k
1
1
x
k
2
2
x
k
n
n
r
_
k
1
x
k
1
1
1
x
k
n
n
r
k
n
x
k
1
1
x
k
n
1
n
r
_
_
1
x
1
n
x
n
_
_
=
_
j=1
k
j
j
_
w
r
(x) =
r
w
r
(x).
196 7 Linearization
For each w W
k
we can dene, again in W
k
, w(x) := T
1
w(Tx). Then
ad
c
(w)(x) = T
1
ad
d
( w)(Tx). So ad
d
( w) = w if and only if ad
c
(w) = w. ||
Because the eld C is algebraically closed, any A C
nn
is unitarily similar
to a matrix in upper triangular form, so we may as well write this Jordan
decomposition as A = D+Nwhere Dis diagonal, Nis nilpotent and[D, N] = 0.
Then the eigenvalues of A are the eigenvalues of D.
The set of complex matrices A| a
i, j
= 0, i < j is the upper triangular Lie
algebra t(n, C); if the condition is changed to a
i, j
= 0, i j, we get the strictly
upper triangular Lie algebra n(n, C). Using (7.9) we see using the basis E
k
that the map
k
: t(n, C) g
k
gl(W
k
), (7.11)
k
(A)(v) = ad
a
(v) for all v W
k
(7.12)
provides a matrix representation g
k
of the solvable Lie algebra t(n, C) on the
k
-dimensional linear space W
k
.
Theorem 7.4. Suppose the eigenvalues of A are
1
, . . . ,
n
. Then the eigenvalues
of ad
a
on V
k
are
_
r
= k, r 1 . . n
_
as in (7.10), and under the non-resonance condition (P
1
) none of them is zero.
Proof. In the representation g
k
:=
k
(t(n, C)) on W
k
, by Lies theorem on
solvable Lie algebras (Theorem B.3) there exists some basis for W
k
in which
the matrix
k
(A) is upper triangular:
(a) ad
d
=
k
(ad
D
) is a
k
k
complex matrix, diagonal by 7.1;
(b)
k
(A) =
k
(D) +
k
(N) where [
k
(N),
k
(D)] = 0 by the Jacobi identity;
(c) N [t(n, C), t(n, C)], so ad
N
=
k
(N) [g
k
, g
k
] must be strictly upper
triangular, hence nilpotent; therefore
(d) the Jordan decomposition of ad
A
on W
k
is ad
A
= ad
D
+ad
N
;
and the eigenvalues of (D) are those of (A). That is, spec(ad
a
) = spec(ad
d
),
so the eigenvalues of ad
a
acting on W
d
are given by (7.10).
When A is real, ad
A
: V
d
V
d
is linear and has the same (possibly
complex) eigenvalues as does ad
A
: W
d
W
d
. By condition (P
1
), for d > 1
none of the eigenvalues is zero. ||
Exercise 7.1. The Jordan decomposition A = D + N for A t
u
(n, 1) and the
linearity of ad
A
(X) imply ad
A
= ad
D
+ad
N
in the adjoint representation
10
of
t
u
(n, 1) on itself. Under what circumstances is this a Jordan decomposition?
Is it true that spec(A) = spec(D)? .
10
See Section B.1.8 for the adjoint representation.
7.2 Linearization: Semisimplicity, Transitivity 197
7.2.2 Linearization: Single Vector Fields
The following is a formal-power-series version of Poincars theorem on the
linearization of vector elds. The notations
(d)
, p
(d)
, etc., indicate polynomi-
als of degree d. This approach provides a way to symbolically compute a
linearizing coordinate transformation of the form
: 1
n
1
n
; (0) = 0,
(0) = I.
The formal power series at 0 for such a mapping is of the form
(x) = Ix +
(2)
(x) +
(3)
(x) . . . , where
(k)
V
k
. (7.13)
Theorem 7.5. Let p(x) := Px +p
(2)
(x) +p
(3)
(x) + C
(R
n
) where P satises the
condition (P
1
) and p
(k)
V
k
. Then there exists a formal power series for a linearizing
map for p(x) about 0.
Proof (Livingston [187]). We seek a real-analytic mapping : 1
n
1
n
with
(0) = 0,
(x)p(x) = P(x), so
(I +
(2)
(x) + )(Px + p
(2)
(x) + ) = P(Ix +
(2)
(x) + ).
The terms of degree k 2 satisfy
Px P
(k)
(x) +
(k1)
p
(2)
+ + p
(k)
(x) = 0.
From condition (P
1
), ad
P
is invertible on V
k
if k < 1, so for k 2
(k)
= (ad
P
)
1
(p
(k)
+
(2)
p
(k1)
+ +
(k1)
p
(2)
(x)).
||
7.2.3 Linearization of Lie Algebras
The formal power series version of Theorem 7.6 was given by Hermann
[124] using some interesting Lie algebra cohomology methods (the White-
head lemmas, Jacobson [143]) applicable to semisimple Lie algebras; they are
echoed in the calculations with ad
A
in this section. The relevant cohomology
groups are all zero.
Convergence of the series was shown by Guillemin & Sternberg [112].
Independently, Kunirenko [171] stated and proved Theorem 7.6 in 1967.
198 7 Linearization
Theorem 7.6 (GuilleminSternbergKunirenko). Let g be a representation of
a nite-dimensional Lie algebra g by C
manifold ^
n
. If g is semisimple then g is equivalent via a C
mapping
: 1
n
^
n
to a linear representation g
1
of g.
Remark 7.1. The truth of this statement for compact groups was long-known;
the proof in [112] uses a compact representation of the semisimple group G
corresponding to g. On this compact group an averaging with Haar measure
provides a vector eld g whose representation on ^
n
commutes with those
in g and whose Jacobian matrix at 0 is the identity. In the coordinates in
which g is linear, so are all the other vector elds in g.
Flato & Pinczon & Simon [91] extended Theorem 7.6 to nonlinear repre-
sentations of semisimple Lie groups (and some others) on Banach spaces.
.
Theorem 7.7 (Livingston). A Lie algebra of real-analytic vector elds on 1
n
with
common equilibrium point 0 and nonvanishing linear terms can be linearized if and
only if it commutes with a Poincar vector eld p(x).
Proof. By Poincars theorem 7.2 there exist coordinates in which p(x) = Px.
For each a g, [Px, Ax + a
(2)
(x) + ] = 0. That means ad
p
(a
(k)
) = 0 for every
k 2; from Theorem 7.4 ad
p
is one-to-one on V
k
, so a
k
= 0. ||
Lemma 7.2 will be used for special cases in Theorem 7.8. The proof,
paraphrased from [237], is an entertaining application of transitivity.
Lemma 7.2. If a real-analytic vector eld f on 1
n
with f (0) = 0 commutes with
every g g
1
, a transitive Lie algebra of linear vector elds, then f itself is linear.
Proof. Fix 1
n
; we will show that the terms of degree k > 1 vanish. Since g
is transitive, given > 0 and 1
n
. Since
the Lie group G corresponding to g is transitive, there exists Q G such that
Qz = . Let T = QCQ
1
, then Tx g
1
; therefore [Tx, f (x)] = 0. Also T =
and is the largest real eigenvalue of T. For all j Z
+
and all x
0 = [Tx, f
( j)
(x)] = f
( j)
(x)Tx Tf
( j)
(x). At x = ,
0 = f
( j)
() Tf
( j)
() = ef
j
() Tf
( j)
()
= jf
( j)
() Tf
j
().
Thus if f
( j)
() 0 then jis a real eigenvalue of T with eigenvector f
( j)
(); but
if j > 1 that contradicts the maximality of . Therefore f
( j)
0 for j 2. ||
Theorem 7.8 (Sedwick [238, 237]). Let f
1
, . . . , f
m
be C
manifold ^
n
all of which vanish at some p U; denote
the linear terms in the power series for f
i
at p by F
i
:= f
i
(p). Suppose the vec-
tor eld Lie algebra g = f
1
, . . . , f
m
[
is isomorphic to the matrix Lie algebra
7.2 Linearization: Semisimplicity, Transitivity 199
g := F
1
, . . . , F
m
[
. If g is transitive on 1
n
(z)F
i
z has a C
solution : 1
n
U with
(0) = p,
(0) = I, giving C
i=1
u
i
f
i
(x), z =
m
i=1
u
i
F
i
z (7.14)
Proof. This proof combines the methods of [187] and [237]. Refer to Section
D.2 in Appendix D; each of the transitive Lie algebras has the decomposition
g = g
0
c where g
0
is semisimple [29, 32, 162] and c is the center. If the center
is 0 choose coordinates such that (by Theorem 7.6) g = g
0
is linear. If the
center of g is c(n, 1), c(k, C), or c(k, (u+iv)1), then g contains a Poincar vector
eld with which everything in g commutes; in the coordinates that linearize
the center, g is linear.
11
Finally consider the case c = c(k, i1), which does not
satisfy P
2
, corresponding to II(2), II(4), and II(5); for these the (noncompact)
semisimple parts g
0
are transitive and in the coordinates in which these are
linear, by Lemma 7.2 the center is linear too. ||
Finally, one may ask whether a Lie algebra g containing a Poincar vector
eld p will be linear in the coordinates in which p(x) = Px. That is true if p is
in the center, but in this example it is not.
Example 7.5 (Livingston).
p(x) :=
_
_
x
1
2x
2
(3
2 1)x
1
_
_
, a(x) :=
_
_
0
x
1
x
2
2
_
_
;
[p, a] = (1
2)a, p, a
[
= span(p, a).
The Poincar vector eld p is already linear; the power series in Theorem 7.5
is unique, so a cannot be linearized. .
Theorem 7.9. Let g be a Lie algebra of real-analytic vector elds on1
n
with common
equilibrium point 0 and nonvanishing linear terms. If g contains a vector eld
p(x) = Px + p
2
(x) + satisfying
(P
1
) The eigenvalues
i
of P satisfy no relations of the form
r
+
q
=
n
j=1
k
j
j
, k
j
Z
+
,
n
j=1
k
j
> 2;
(P
2
) The convex hull of
1
, . . . ,
n
does not contain the origin,
then g is linear in the coordinates in which p is linear.
11
Note that spin(9, 1) has center either 0 or c(16, 1), so the proof is valid for this new
addition to the Boothby list.
200 7 Linearization
For the proof see Livingston [188, 187]. By Levis Theorem B.5, g = s + r
where s is semisimple and r is the radical of g. Matrices in s will have trace
0 and cannot satisfy (P
1
), so this theorem is of interest if the Poincar vector
eld lies in the radical but not in the center.
Example 7.6 (Livingston [188]). The Lie subalgebras of gl(2, 1) are described
in Chapter 2. Nonlinear Lie algebras isomorphic to some of them can be
globally linearized on 1
2
_
x
1
(1+x
2
)
2
+
1
x
2
2
(1+x
2
)
2
x
2
1+x
2
_
_
, for x
2
<
1
.
If = 1 then there is a linearizing map that fails to be analytic at the origin:
(x) =
_
_
x
1
(1+x
2
)
2
x
2
2
(1+x
2
)
2
ln
_
x
2
(1+x
2
)
2
_
x
2
1+x
2
_
_
, for x
2
<
1
.
Problem 7.1. It was mentioned in Section 7.1 that any bilinear system (7.6)
can be disguised with any dieomorphism : 1
n
1
n
, (0) = 0, to cook
up a nonlinear system (7.8) for which the necessary conditions (H
1
, H
2
) will
be satised; but suppose g is neither transitive nor semisimple. In that case
there is no general recipe to construct and it would not be unique. .
7.3 Related work
Sussmann [260] has a theorem that can be interpreted roughly as follows.
Let M, N be n dimensional simply connected C
manifolds, g on M
n
, g on N
n
be isomorphic Lie algebras of vector elds that each has full Lie rank on its
manifold. Suppose there can be found points p M
n
, q N
n
for which the
7.3 Related work 201
isotropy subalgebras g
p
, g
q
are isomorphic; then there exists a real-analytic
mapping : M
n
N
n
such that g =
.
(b) There is a C
1
-action of SL(3, Z) on 1
8
-action of SL(2, Z) on 1
2
-action of SL(n, Z) on 1
m
is C
-linearizable.
Chapter 8
Input Structures
Inputoutput relations for bilinear systems can be represented in several
interesting ways, depending on what mathematical structure is imposed
on the space of inputs 1. In Section 8.1 we return to the topics and nota-
tion of Section 1.5.2; locally integrable inputs are given the structure of a
topological concatenation semigroup, following Sussmann [262]. In Section
8.2 piecewise continuous (Stieltjes integrable) inputs are used to dene iter-
ated integrals for Chen-Fliess series; for bilinear systems these series have
a special property called rationality. In Section 8.3 the inputs are stochastic
processes with various topologies.
8.1 Concatenation and Matrix Semigroups
In Section 1.5.2 the concatenation semigroup for inputs was introduced.
This Section looks at a way of giving this semigroup a topology in order
to sketch the work of Sussmann [262], especially Theorem 8.1, Sussmanns
approximation principal for bilinear systems.
A topological semigroup S
,
is a Hausdor topological space with a semi-
group structure in which the mapping S
,
S
,
S
,
: (a, b) ab is
jointly continuous in a, b. For example, the set 1
nn
equipped with its usual
topology and matrix multiplication is a topological semigroup.
The underlying set 1 from which we construct the input semigroup
S
,
is the space [J
is supp(u) := [0, T
u
] then u := (u, [0, T
u
]). The
semigroup operation
is dened by
( u, v) u
v = u v, [0, T
u
+ T
v
]
203
204 8 Input Structures
where the concatenation (u, v) u v is dened in (1.36).
We choose for S
,
a topology
w
of weak convergence, under which it
is compact on nite time intervals. Let supp(u
(k)
) = [0, T
k
], supp(u) = [0, T],
then we say
u
k
w
u in if lim
k
T
k
= T and u
(k)
converges weakly to u, i.e.
lim
k
_
u
(k)
(t) dt =
_
i=1
u
i
(s)B
i
,
X(t; u) = I +
_
t
0
F(u(s))X(s; u) ds, u [J
. (8.1)
The set of solutions X(; ) restricted to [0, T] can be denoted here by A. The
following is a specialization of Sussmann [257, Lemma 2] and its proof; it is
cited in [262].
Lemma 8.1. Suppose 1
m
is compact and that u
( j)
[J
converges in
w
to u [J
is a continuous semigroup
representation.
For continuity of this representation in
w
the assumption that is
bounded is essential; otherwise limits of inputs in
w
may have to be inter-
preted as generalized inputs; they are recognizable as Schwarz distributions
when m = 1 but not for m 2. Sussmann [262, 5] gives two examples for
:= 1
m
. In the case m = 1 let
X = X + uJX, X(0) = I. For for k I let
u
(k)
(t) = k, 0 t /k, u
(k)
(t) = 0 otherwise. then X(1; u
(k)
(t) exp()I = I
as u
(k)
(t) (t) (the delta-function Schwarz distribution). The second ex-
ample has two inputs.
Example 8.1. ] On [0, 1] dene the sequence
1
of pairs of /J functions w
(k)
:=
(u
(k)
, v
(k)
), k I dened with 0 j k by
u
(k)
(t) =
_
k,
4j
4k
t
4j+1
4k
k,
4j+2
4k
t
4j+3
4k
0, otherwise
, v
(k)
(t) =
_
k,
4j+1
4k
t
4j+2
4k
k,
4j+3
4k
t
4j+4
4k
0, otherwise
.
It is easily seen that
_
1
0
w
(k)
(t)(t) dt 0 for all C
1
[0, 1], so w
(k)
0 in
w
;
that is, inthe space of Schwarz distributions w
(k)
is a null sequence. If we use
the pairs (u
(k)
, v
(k)
) as inputs in a bilinear system
X = u
(k)
AX+v
(k)
BX, X(0) = I
and assume [A, B] 0 then as k we have X(1; w
(k)
) exp([A, B]/4) I,
so this representation cannot be continuous with respect to
w
. .
The following approximation theorem, converse to Lemma 8.1, refers to
input-output mappings for observed bilinear systems with u := (u
1
, . . . , u
m
)
is bounded by :
x = Ax +
m
i=1
u
i
B
i
x,
u
(t) = c
x(t),
supu
i
(t), 0 t T, i 1 . . m .
Theorem 8.1 (Sussmann [262], Th. 3). Suppose is an arbitrary function which
to every input u dened on [0, T] and bounded by assigns a curve
u
: [0, T] 1;
that is causal and that it is continuous in the sense of Lemma 8.1. Then for every
> 0 there is a bilinear system whose corresponding input-output mapping
satises
u
(t)
u
(t) < for all t [0, T] and all u : [0, T] 1
m
which are
measurable and bounded by .
Sussmann [261] constructed an interesting topology on [J
m
1
: this topology
s
is the weakest for which the representation S
,
S
is continuous. In
s
the sequence w
(k)
in Example 8.1 is convergent to a non-zero generalized
1
Compare the control (u
1
, u
2
) used in Example 2.1; here it is repeated k times.
206 8 Input Structures
input w
()
. Sussmann [262, 264] shows how to construct a Wiener process as
such a generalized input; see Section 8.3.3.
8.2 Formal Power Series for Bilinear Systems
For the theory of formal power series (f.p.s.) in commuting variables see
Henrici [121]. F.p.s in non-commuting variables are studied in the theory of
formal languages; their connection to nonlinear system theory was rst seen
by Fliess [92]; for an extensive account see Fliess [93]. Our notation diers,
since his work used nonlinear vector elds.
8.2.1 Background
We are given a free concatenation semigroup A generated by a nite
set of non-commutative indeterminates A (an alphabet). An element w =
a
1
a
2
. . . a
k
A is called a word; the length w of this example is k. The identity
(empty word) in A is called : w = w = w, = 0. For repeated words we
write w
0
:= , a
2
:= aa, w
2
:= ww, and so on. For example use the alphabet
A = a, b; the words of A (ordered by length and lexicographic order) are
, a, b, a
2
, ab, ba, b
2
, . . . . Given a commutative ring R one can talk about a non-
commutative polynomial p R<A> (the free R-algebra generated by A) and
an f.p.s. S R<<A>> with coecients S
w
R,
S =
S
w
w| w .
Given two f.p.s. S, S
.
S + S
:=
(S
w
+ S
w
)w| w A,
SS
:=
__
vv
=w
S
v
S
_
w| w A
_
.
Example: Let S
1
:= 1 +
1
a +
2
b,
i
1; then
S
1
1
= 1
1
a
2
b +
2
1
a
2
+
1
2
(ab + ba) +
2
2
b
2
+
The smallest subring R<(A) > R<< A >> that contains the polynomials
(elements of nite length) and is closed under rational operations is called
2
The Cauchy, Hadamard and shue products of f.p.s. are discussed and applied by Fliess
[92, 93].
8.2 Formal Power Series for Bilinear Systems 207
the ring of rational f.p.s.. Fliess [93] showed that as a consequence of the
Kleene-Schtzenberger Theorem, a series S R<< A >> is rational if and
only if there exist an integer n 1, a representation : A R
nn
and
vectors c, b R
n
such that
S =
wA
c
(w)b.
An application of these ideas in [93] is to problems in which the alphabet is
a set of C
vector elds A := a, b
1
, . . . , b
m
. If the vector elds are linear the
representation is dened by (A) = A, B
1
, . . . , B
m
, our usual set of matrices;
thus
k=0
t
k
k!
a
k
_
_
= exp(tA).
8.2.2 Iterated Integrals
Let A := a
0
, a
1
, . . . , a
m
and let 1 := /([0, T], the piecewise continuous real
functions on [0, T]; integrals will be Stieltjes integrals. To every non-empty
word w = a
j
n
. . . a
j
0
of length n = w will be attached an iterated integral
3
_
t
0
dv
j
1
. . . dv
j
k
dened by recursion on k; for i 1 . . m, t [0, T], u 1
v
0
(t) := t, v
i
(t) :=
_
t
0
u
i
() d;
_
t
0
dv
i
:= v
i
(t);
_
t
0
dv
j
k
. . . dv
j
0
:=
_
t
0
dv
j
k
_
0
dv
j
k1
. . . dv
j
0
.
Here is a simple example:
w = a
n
0
a
1
, S
w
(t; u)w =
_
t
0
(t )
n
n!
u
1
() d a
n
0
a
1
.
Fliess [93, II.4]) gives a bilinear example obtained by iterative solution of an
integral equation (compare (1.33))
3
See Fliess [92, 93], applying the iterated integrals of Chen [55, 53].
208 8 Input Structures
x = B
0
x +
m
i=1
u
i
(t)B
i
x, x(0) = , y(t) = c
x;
y(t) = c
_
I +
k0
k
j
0
,..., j
k
=0
B
j
k
. . . B
j
0
_
t
0
dv
j
k
. . . dv
j
0
_
_
. (8.2)
The Chen-Fliess series (8.2) converges on [0, T] for all u 1. Fliess [93,
Th. II.5] provides an approximation theorem that can be restated for our
purposes (compare Sussmann [262]). Its proof is an application of the Stone-
Weierstrass Theorem.
Theorem 8.2. Let ( C
0
([0, T])
m
1be compact in the topology
u
of uniform
convergence, : ( 1 a causal continuous functional [0, T] ( 1; in
u
can be arbitrarily approximated by a causal rational or polynomial functional (8.2).
Approximation of causal functional series by rational formal power series
permits the approximation of the input-output mapping of a nonlinear con-
trol system by a bilinear control system with linear output. The dimension n
of such an approximation may be very large.
Sussmann [267] considered a formal system
X = X
m
i=1
u
i
B
i
, X(0) = I
where the B
i
are noncommuting indeterminates and I is the formal identity.
It has a Chen series solution like (8.2), but instead, the Theorem of [267]
presents a formal solution for (8.2.2) as an innite product
4
0
exp(V
i
(t)A
i
)
where A
i
, i I is (see Section B.1.6) a Philip Hall basis for the free Lie
algebra generated by the indeterminates B
1
, . . . , B
m
, exp is the formal series
for the exponential and the V
i
(t) are iterated integrals of the controls. This
representation, mentioned also on page 75, then can be applied by replac-
ing the B
i
with matrices, in which case [267] shows that the innite product
converges for bounded controls and small t. The techniques of this paper
are illuminating. If B
1
, . . . , B
m
[
is nilpotent it can be given a nite Philip
Hall basis so that the representation is a nite product. This product repre-
sentation has been applied by Laerriere & Sussmann [172] and Margaliot
[199].
4
The left action in (8.2.2) makes possible the left-to-right order in the innite product;
compare (1.30).
8.3 Stochastic Bilinear Systems 209
Remark 8.1 (Shue product). Fliess [93] andmanyother works onformal series
make use of the shufe
5
binary operator in R < A > or R << A >>; it is
characterized by R-linearity and three identities:
For all a, b A, w, w
A, a = a, a = a,
(aw) (bw
) = a(w (bw
)) + b((aw) w
);
thus a b = ab +ba and (ab) (cd) = abcd +acbd +acdb +cdab +cadb +cabd.
It is pointed out in [93] that given two inputoutput mappings u y(t)
and u z(t) given as rational (8.2), their shue product y z is a rational
series that represents the product u y(t)z(t) of the two input-output maps.
See Section 5.1 for a bilinear system (5.7) that realizes this mapping. .
8.3 Stochastic Bilinear Systems
A few denitions and facts from probability theory are summarized at the
beginning of Section 8.3.1. Section 8.3.2 introduces randomly switched sys-
tems, which are the subject of much current writing. Probability theory is
more important for Section 8.3.3s account of diusions; bilinear diusions
and stochastic systems on Lie groups need their own book.
8.3.1 Probability and Random Processes
A probability space is a triple P := (, , Pr). Here is (w.l.o.g.) the unit
interval [0, 1]; is a collection of measurable subsets E (such a set
E is called an event) that is closed under intersection and countable union;
is called a sigma-algebra.
6
A probability measure Pr on must satisfy
Kolmogorovs three axioms: for any event E and countable set of disjoint
events E
1
, E
2
,
Pr(E) 0, Pr() = 1, Pr(
_
i
E
i
) =
i
Pr(E
i
).
Two events E
1
, E
2
such that Pr(E
1
E
2
) = Pr(E
1
) Pr(E
2
) are called stochastically
independent events. If Pr(E) = 1 one writes E w.p. 1.
5
The product is also called the Hurwitz product; in French it is le produit melange.
6
The symbol is in boldface to distinguish it from the used for a constraint set. The
sigma-algebra may as well be assumed to be the set of Lebesgue measurable sets in
[0, 1].
210 8 Input Structures
A real random variable f () is a real function on such that for each
| f ( ; we say that f is -measurable. The expectation of f is the
linear functional Ef :=
_
f () Pr(d); if is discrete, Ef :=
i
f (
i
) Pr(
i
).
Analogouslywe have randomvectors f = ( f
1
, . . . , f
n
), anda vector stochas-
tic process on P is an -measurable function v : 1 1
m
(assume for
now its sample functions v(t; ) are locally integrable w.p. 1). Often v(t; ) is
written v(t) when no confusion should result.
Given a sigma-algebra 1 with Pr(1) > 0 dene the conditional proba-
bility
Pr[E1] := Pr(A 1)/ Pr(1) and E[ f 1] :=
_
f () Pr(d1),
the conditional expectation of f given 1. The theory of stochastic processes is
concerned with information, typically represented by some given family of
nested sigma-algebras
7
t
, t 0|
t
t+
for all > 0.
If each value v(t) of a stochastic process is stochastically independent of
T
for all T > t (the future) then the process is called non-anticipative. Nested
sigma-algebras are also called classical information structures;
t
contains the
events one might know at time t if she has neither memory loss nor a time
machine. We shall avoid as much as possible the technical conditions that
this theory requires.
Denition 8.1. By a stochastic bilinear system is meant
x = Ax +
m
i=1
v
i
(t; )B
i
x, x 1
n
, t 1
+
, x(0) = () (8.3)
where on probability space P the initial condition is
0
-measurable and
the m-component process v induces the nested sigma-algebras:
t
contains
0
and the events dened by v(s), 0 < s t. .
The usual existence theory for linear dierential equations, done for each
, provides random trajectories for (8.3). The appropriate notions of stability
of the origin are straightforward in this case; one of them is certain global
asymptotic stability. Suppose we know that A, B are Hurwitz and A, B
[
is
solvable; the methodof Section6.3.3 provides a quadratic Lyapunovfunction
V > 0 such that PrV(x
t
) 0 = 1 for (8.3), from which global asymptotic
stability holds w.p.1.
7
Nested sigma-algebras have been called classical information patterns; knowledge of
Pr is irrelevant. The Chinese Remainder Theorem is a good source of examples. Consider
the roll of a die, fair or unfair: := 1, 2, . . . , 6. Suppose the observations at times 1, 2 are
y
1
= mod 2, y
2
= mod 3. Then
0
:= ;
1
:= 1, 3, 5, 2, 4, 6;
2
:= .
8.3 Stochastic Bilinear Systems 211
8.3.2 Randomly Switched Systems
This section is related to Section 6.3.3 on arbitrarily switched systems; see
Denitions 6.4, 6.5 and Propositions 6.5, 6.6. Bilinear systems with random
inputs are treated in Pinskys monograph [218].
Denition 8.2 (Markov chain). Let the set A
1
g
i, j
= 0 and g
i,i
=
ji
g
i, j
. The state v(t) is constant on time intervals
(t
k
, t
k+1
) whose lengths
k
:= t
k+1
t
k
are stochastically independent random
variables each with the exponential distribution Pr
i
> t = exp(t). The
transitions between states v(t) are given by a transition matrix P(t) whose
entries are
p
i, j
(t) = Prv
t
= j| v(0) = i
that satises the Chapman-Kolmogorov equation
P = GPwith P(0) = I. Since
we can always restrict to an invariant subset of A
if necessary, there is no
loss in assuming that G is irreducible; then the Markov chain has a unique
stationary distribution := (
1
, . . . ,
i=1
(i)
i
= 0, as in the following exam-
ple. If is bounded, the rate of growth of the trajectories is estimated by the
Lyapunov spectrum dened in Section 1.7.2.
Example 8.2. Consider a Markov chain v
t
A
2
:= 1, 2 such that for
1
> 0
and
2
> 0
G =
_
1
1
2
2
_
; lim
t
P(t) =
_
2
1
2
1
_
, =
_
1/2
1/2
_
;
and a bilinear system on 1
n
driven by (v
t
),
x = A + (v
t
)B, (1) = 1, (2) = 1, (8.4)
whose trajectories are x(t) = X(t; v) where X is the transition matrix. In
the special case [A, B] = 0 we can use Example 1.14 to nd the largest
Lyapunovexponent. Otherwise, Pinsky[218] suggests the followingmethod.
Let V : 1
n
1
2
be continuously dierentiable in x, and as usual take
a = x
/x, b = x
is described
by this Kolmogorov backward equation
_
_
V
1
t
= aV
1
(x) bV
1
(x)
1
V
1
(x) +
1
V
2
(x)
V
2
t
= aV
2
(x) + bV
2
(x) +
2
V
1
(x)
2
V
2
(x)
(8.5)
212 8 Input Structures
whichis a second-order partial dierential equationof hyperbolic type. Com-
pare the generalized telegraphers equation in Pinsky [218]; there estimates
for the Lyapunovexponents of (8.4) are obtainedfromaneigenvalue problem
for (8.5). .
8.3.3 Diusions: Single Input
Our denitionof a diffusion process is a stochastic process x(t) withcontinuous
trajectories that satises the strong Markov property conditioned on a
stopping time t(), future values are stochastically independent of the past.
The book by Ikeda & Watanabe [138] is recommended, particularly because
of its treatment of stochastic integrals and dierential equations of both It o
and FiskStratonovich types. There are other types of diusions, involving
discontinuous (jump) processes, but they will not be dealt with here.
The class of processes we will discuss is exemplied by the standard
Wiener process (also called a Brownian motion): w(t; ), t 1
+
,
(often the argument is omitted) is a diusion process with w(0) = 0 and
E[w(t)] = 0 such that dierences w(t + ) w(t) are Gaussian with E(w(t +
) w(t))
2
= and dierences over non-overlapping time intervals are
stochastically independent. The Wiener process induces a nested family of
sigma-algebras
t
, t 0;
0
contains any events having to do with initial
conditions, and for larger times
t
contains
0
and the events dened on
by w(s, ), 0 < s t.
Following [138, p. 48], if f : (1
+
, ) 1 is a random step function
constant on intervals (t
i
, t
i+1
) of length bounded by > 0 on 1
+
and f (t; ) is
t
-measurable, then dene its indenite It o stochastic integral with respect to
w as
I( f, t; ) =
_
t
0
f (s, ) dw(s; ) given on t
n
t t
n+1
by
f (t
n
; )(w(t; ) w(t
n
; )) +
n1
i=0
f (t
i
; )(w(t
i+1
; ) w(t
i
; )),
or succinctly, I( f, t) :=
i=0
f (t
i
)(w(t t
i+1
) w((t t
i
)). (8.6)
It is is straightforward to extend this denition to any general non-
anticipative square-integrable f by taking limits in L
2
as 0; see Clark
[60] or [138, Ch. 1]. The It o integral has the martingale property
E[I( f, t)
s
] = I( f, s) w.p.1, s t.
8.3 Stochastic Bilinear Systems 213
By the solution of an It o stochastic dierential equation such as dx = Ax dw(t)
is meant the solution of the corresponding It o integral equation x(t) = x(0) +
I(Ax, t). The It o calculus has two basic rules: Edw(t) = 0 and Edw
2
(t) = dt.
They suce for the following example.
Example 8.3. On 1
2
J = I and x(0) = ;
then if a sample path w(t; ) is of bounded variation (which has probability
zero) x
(t)x(t) =
(t)x(t))
t
] =
_
E[x
(t)x(t)
t
]
_
dt > 0, so the expected norm of
this solution grows with time; this is closely related to a construction of the
It o solution using the Euler discretization (1.52) of Section 1.8. As in Section
4.5 the transition matrices fail to lie in the Lie group one might hope for. .
For FiskStratonovich (FS) integrals and stochastic dierential equations
from the viewpoint of applications see Stratonovich [253], and especially
Kallianpur & Striebel [153]. They are more closely related to control systems,
especially bilinear systems, but do not have the martingale property. Again,
suppose f is a step function constant on intervals (t
i
, t
i+1
) of length bounded
by and f (t; ) is non-anticipative then following [138, Ch. III] an indenite
FS stochastic integral of f with respect to w on 1
+
is
FS( f, t) =
_
t
0
f (s) dw(s) :=
n
i=0
f
_
t
i
+ t
i+1
2
_
(w(t
i+1
) w(t
i
)) (8.7)
and taking limits in probability as 0 it can be extended to more general
non-anticipative integrands without trouble. The symbol is traditionally
used here to signify that this is a balanced integral (not composition). The
FS integral as dened in [138] permits integrals FS( f, t; v) =
_
t
0
f (s) dv(s)
where v(t; ) is a quasimartingale;
8
the quasimartingale property is inherited
by FS( f, t; v). For FS calculus the chain rule for dierentiation is given in
Ikeda & Watanabe [138, Ch. 3, Th. 1.3] as follows.
Theorem 8.3. If f
1
, . . . , f
m
are quasimartingales and g : 1
m
1 is a C
3
function
then
dg( f
1
, . . . , f
m
) =
m
1
g
f
i
df
i
.
Clark [60] showed howFS stochastic dierential equations on dierentiable
manifolds can be dened. For their relationship with nonlinear control sys-
tems see Elliott [81, 82], Sussmann [265], and Arnold & Kliemann [9].
To the single input system x = Ax + uBx with random corresponds the
noise driven bilinear stochastic dierential equation of FS type
8
Aquasimartingale (It os termfor a continuous semimartingale) is the sumof a martingale
and a
t
-adapted process of bounded variation; see Ikeda & Watanabe [138].
214 8 Input Structures
dx(t) = Ax dt + Bx dw(t), x(0) = or (8.8)
x(t) = +
_
t
0
Ax(s) ds +
_
Bx(s) dw(s)
where in each dw(t) is an increment of a Wiener process W
1
. The way these
dier from It o equations is best shown by their solutions as limits of dis-
cretizations. Assume that x(0) = 1
n
J = I):
dx = Jxdw(t) on [0, T]. Suppose that for k = 0, 1, . . . , t
N
= T our th midpoint
discretization with max(t
k+1
t
k
) / and w
k
:= w(t
k+1
w(t
k
) is
x
(t
k+1
) = x
(t
k
) + J
x
(t
k
) + x
(t
k+1
)
2
w
k
, so
x
(t
k+1
) = F
k
(t
k
) where
F
k
:= (I +
1
2
w
k
J)(I
1
2
w
k
J)
1
.
The matrix F
k
is orthogonal and the sequence x
. The
9
The discussion of Hrmanders theorem on second-order dierential operators in
Oleinik & Radkevic [216] is useful.
8.3 Stochastic Bilinear Systems 215
transition densities with initial p(x, 0, ) = (t)(x ) have support on the
closure of the attainable set () for the control system x = Ax + uBx with
unconstrained controls. If there exists a Lyapunov function V > 0 such that
KV < 0 then there exists an invariant probability density (x) on 1
n
. .
Sussmann in a succession of articles has examined stochastic dierential
equations froma topological standpoint. Referring to [265, Th. 2], Ax satises
its linear growth condition and D(Bx) = B satises its uniform boundedness
condition; so there exists a solutionx(t) = X(t; w) of (8.8) for eachcontinuous
sample path w(t) W
1
, depending continuously on w. The x(t), t 0, is a
stochastic process on the probability space P equipped with a nested family
of sigma-algebras
t
| t 0 generated by W
1
.
For systems whose inputs are in W
m
, m > 1, one cannot conclude con-
tinuity of the solution with respect to w under its product topology; this
peculiarity is the topic of Section 8.3.4.
Exercise 8.1. Use Example 8.4 and Example 1.15 on page 29 to show that if
M
k
1
n
is the intersection of quadric hypersurfaces that are invariant for
the linear vector elds a and b then M
k
will be invariant for sample paths of
dx = Ax dt + Bx dw.
8.3.4 Multi-input Diusions
Let W
1
denote the space C[0, T] (real continuous functions w on [0, T]) with
the uniform norm [ f w[ = sup
[0,T]
w(t), w(0) = 0, and a stochastic structure
such that dierences w(t + ) w(t) are Gaussian with mean 0 and variance
and dierences over non-overlapping time intervals are stochastically
independent. The product topology on the space W
m
of continuous curves
w : [0, T] 1
m
is induced by the norm[w[ := [w
1
[ + + [w
m
[. Sussmann
[265]used Example 8.1 to show that for m > 1 the FS solution of
dx(t) = Ax(t)dt +
m
i=
B
i
x(t) dw
i
(t) (8.9)
is not continuous with respect to this topology on W
m
.
The dierential generator K for the Markov process (8.9) is dened for
smooth by
K := (a +
1
2
m
i=1
b
2
i
) = x
x
+
1
2
m
i=1
_
x
x
_
2
.
If a, b
1
, . . . , b
m
[
is transitive on 1
n
if
216 8 Input Structures
n
i=1
B
i
B
i
> 0.
Appendix A
Matrix Algebra
A.1 Denitions
In this book the set of integers is denoted by Z; the non-negative integers
by Z
+
; the real rationals by Q and the natural numbers 1, 2, . . . by I. As
usual, 1 and C denote the real line and the complex plane, respectively, but
also the real and complex number elds. The symbol 1
+
means the half-line
[0, ). If z C then z = T(z) + 0(z)
1).
The Kronecker delta symbol
i, j
is dened by
i, j
:= 1 if i = j,
i, j
:= 0 if i j.
a standard basis for 1
n
is
p
:= col(
1,p
, . . . ,
n,p
)| p 1 . . n, or explicitly
1
:= col(1, 0, . . . , 0), . . . ,
n
:= col(0, 0, . . . , 1). (A.1)
Roman capital letters A, B, . . . , Z are used for linear mappings 1
n
1
n
and their representations as square matrices in the linear space 1
nn
; linear
means A(x + y) = Ax + Ay for all , 1, x, y 1
n
, A 1
nn
. The set
x 1
n
| Ax = 0 is called the nullspace of A; the range of A is Ax| x 1
n
. The
entries of A are by convention a
i, j
| i, j 1 . . n, so one may write A as a
i, j
n
i=1
a
i,i
; its determinant is denoted by
det(A) or A and the inverse of A by A
1
; of course A
0
= I. The symbol ,
which generally is used for equivalence relations, will indicate similarity for
matrices:
A A if
A = P
1
AP for some invertible matrix P.
A dth-order minor, or dminor, of a matrix A is the determinant of a square
submatrix of A obtained by choosing the elements in the intersection of d
rows and d columns; a principal minor of whatever order has its top left and
bottom right entries on the diagonal of A.
The transpose of A = a
i, j
is A
= a
j,i
; in consistency with that, x
is a row
vector. If Q 1
nn
is real and Q
:= z
. The usual
identication of C
n
with 1
2n
is given by
_
_
x
1
+ iy
1
.
.
.
x
n
+ iy
n
_
_
col(x
1
, . . . , x
n
, y
1
, . . . , y
n
). (A.2)
The complex-conjugate transpose of A is A
:=
A
, so if A is real A
= A
.
We say Q C
nn
is a Hermitian matrix, and write Q Herm(n), if Q
= Q. If
Q
A = I; orthogonal if A
A = I.
2
For the usual total orders, including lexicographic order, and where to use them see Cox
& Little & OShea [67].
A.2 Associative Matrix Algebras 219
A.1.3 Norms
The Euclidean vector norm for x 1
n
and its induced operator norm on 1
nn
are
[x[ = (
n
i
x
i
2
)
1/2
, [A[ = sup
[x[=1
[Ax[.
A sphere of radius > 0 is denoted by S
= x| [x[ = . It is straightforward
to verify these inequalities ( 1)
[A + B[ [A[ + [B[, [AB[ [A[ [B[, [A[ [A[. (A.3)
The Frobenius norm is [A[
2
= (tr AA
)
1/2
; over 1, [A[
2
= (tr AA
)
1/2
. It satises
the same inequalities, and induces the same topology on matrices as [ [
because [A[ [A[
2
n[A[. The relatedinner product for complexmatrices
is (A, B) = tr AA
.
A.1.4 Eigenvalues
Given a polynomial p(z) =
N
1
c
i
z
i
, one can dene the corresponding matrix
polynomial on1
nn
byp(A) =
N
1
c
i
A
i
. The characteristic polynomial of a square
matrix A is denoted by
p
A
() :=det(I A) =
n
+ + det A
=(
1
)(
2
) (
n
);
the set of its n roots is called the spectrum of A and is denoted by spec(A) :=
1
, . . . ,
n
. The
i
are called eigenvalues of A.
A.2 Associative Matrix Algebras
A linear subspace A
n
1
nn
that is also closed under the matrix product is
called an associative matrix algebra. One example is 1
nn
itself. Two associa-
tive matrix algebras A
n
, B
n
are called conjugate if there exists a one-to-one
correspondence A
n
B
n
and a nonsingular T 1
nn
such that for a xed
T corresponding matrices A, B are similar, TAT
1
= B. Given a matrix ba-
sis B
1
, . . . , B
d
for A
n
, the algebra has a multiplication table, preserved under
conjugacy,
B
i
B
j
=
d
k=1
k
i, j
B
k
, i, j, k 1 . . d.
220 A Matrix Algebra
A matrix A 1
nn
is called nilpotent if A
n
= 0 for some n I. A is called
unipotent if AI is nilpotent. A unipotent matrix is invertible and its inverse
is unipotent. An associative algebra A is called nilpotent [unipotent] if all of
its elements are nilpotent [unipotent].
Given a list of matrices A
1
, . . . , A
k
, linearly independent over 1, dene
A
1
, . . . , A
k
i, j
, . . . , B
n
=
i,n
i, j
;
D(n, 1) is an Abelian algebra whose multiplication table is B
i
B
j
=
i, j
B
i
.
Upper triangular matrices are those whose subdiagonal entries are zero. The
linear space of strictly upper-triangular matrices
n(n, 1) := A 1
nn
| a
i, j
= 0, i j
under matrix multiplication is an associative algebra with no identity
element; all elements are nilpotent.
A.2.1 Cayley-Hamilton
The Cayley-Hamilton Theorem over 1 is proved in most linear algebra text-
books. The following general version is also well-knownsee Brown [41].
Theorem A.1 (Cayley-Hamilton). If R is a commutative ring with identity 1,
A R
nn
, and p
A
(t) := det(tI
n
A) then p
A
(A) = 0.
Discussion Postulate the theorem for R = C. The entries p
i, j
of the matrix
P := p
A
(A) are formal polynomials in the indeterminates a
i, j
, with integer
coecients. Substituting arbitrary complex numbers for the a
i, j
in p
A
(A), for
every choice p
i, j
0; so p
i, j
is the zero polynomial, therefore P = 0.
3
As an
example, let 1, , , , be the generators of R;
A :=
_
_
; p
A
(A) = A
2
( + )A + ( )I
_
0 0
0 0
_
. .
3
This proof by substitution seems to be folklore of algebraists.
A.2 Associative Matrix Algebras 221
A.2.2 Minimum Polynomial
For a given A 1
nn
, the associative subalgebra I, A
= .
Remark A.1. The associative algebra 1, s
A
generated by one indeterminate s
can be identied with the algebra of formal power series in one variable; if it
is mappedinto 1
nn
with a mapping that assigns 1 I, s Aandpreserves
additionandmultiplication(analgebra homomorphism) the image is I, A
.
.
A.2.3 Triangularization
Theorem A.2 (Schurs Theorem). For any A 1
nn
there exists T C
nn
such
that
A := T
1
AT is in upper triangular form with its eigenvalues
i
along the
diagonal. Matrix T can be chosen to be unitary: TT
= I.
4
If A and its eigenvalues are real, so are T and
A;
A can be chosen to be the
block-diagonal Jordan canonical form, with s blocks of size k
i
k
i
(
s
1
k
i
= n)
with superdiagonal 1s. Having Jordan blocks of size k
i
> 1 is called the
resonance case.
A =
_
_
J
1
0
.
.
.
0 J
s
_
_
, J
k
=
_
i
1 0
.
.
.
.
.
.
0
i
1
0 0
i
_
_
.
One of the uses of the Jordan canonical form is in obtaining the widest
possible denition of a function of a matrix, especially the logarithm.
Theorem A.3 (Horn & Johnson [132], Th. 6.4.15). Given a real matrix A, there
exists real F such that exp(F) = A if and only if A is nonsingular and has an even
number of Jordan blocks of each size for every negative eigenvalue in spec(A). .
The most common real canonical formA
R
of a matrix Ahas its real eigenvalues
along the diagonal, while a complex eigenvalue = +
1 is represented
by a real block
_
a b
b a
_
on the diagonal as in this example where complex
and
are double roots of A:
4
See Horn & Johnson [131, Th. 2.3.11] for the proof.
222 A Matrix Algebra
A =
_
_
0 1 0
0
0 1
0 0 0
0 0 0
_
, A
R
=
_
_
1 0
0 1
0 0
0 0
_
_
.
A.2.4 Irreducible Families
A family of matrices J 1
nn
is called irreducible if there exists no nontrivial
linear subspace of 1
n
invariant under all of the mappings in J. Such a family
may be, for instance, a matrix algebra or group. The centralizer in 1
nn
of a
family of matrices J is the set z of matrices X such that AX = XA for every
A J; it contains, naturally, the identity.
Lemma A.1 (Schurs Lemma).
5
Suppose J is a family of operators irreducible
on C
n
and z is its centralizer. Then z = CI
n
.
Proof. For any matrix Z z and for every A J, [Z, A] = 0. The matrix Z has
an eigenvalue Cand corresponding eigenspace V
, which is Z-invariant.
For x V
for all A J.
That is, V
= C
n
and z = CI
n
. ||
A.3 Kronecker Products
The facts about Kronecker products, sums and powers given here may be
found in Horn and Johnson [132, Ch. 4] and Rugh [228, Ch. 3]; also see
Bellman [25, Ch. 12]. The easy but notationally expansive proofs are omitted.
Given mn matrix A = a
i, j
and pq matrix B = b
i, j
, then their Kronecker
product is the matrix A B := a
i, j
B 1
mpnq
; in detail, with := n
2
,
A B =
_
_
a
1,1
B a
1,2
B . . . a
1,n
B
. . . . . . . . . . . .
a
m,1
B a
m,2
B . . . a
m,n
B
_
_
. (A.4)
If x 1
n
, y 1
p
, x y := col(x
1
y, x
2
y, . . . , x
n
y) 1
np
. (A.5)
5
The statement and proof of Lemma A.1 are true for 1
n
if n is odd because in that case
any Z must have a real eigenvalue.
A.3 Kronecker Products 223
A.3.1 Properties
Using partitionedmultiplication Horn &Johnson [132, Lemma 4.2.10] shows
that for compatible pairs A, C and B, D
(AC) (BD) = (A B)(C D). (A.6)
Generally AB BA, but from (A.6) (I A)(BI) = BA = (BI)(I A).
Now specialize to A, B in 1
nn
. The Kronecker product A B 1
has n
4
elements and is bilinear, associative, distributive over addition, and
noncommutative. As a consequence of (A.6) if A
1
and B
1
exist then (A
B)
1
= A
1
B
1
. If A and B are upper [lower] triangular, so is A B. Given
A, B 1
nn
, spec(A) =
1
, . . . ,
n
, and spec(B) =
1
, . . . ,
n
, then
spec(A B) = spec(A) spec(B) =
1
1
,
1
2
, . . . ,
n1
n
,
n
n
. (A.7)
A.3.2 Matrices as Vectors
Let := n
2
. Any matrix A = a
i, j
1
nn
can be 1-linearly mapped one-to-one
to a vector A
by stacking
6
its columns in numerical order:
A
:= col(a
1,1
, a
2,1
, . . . , a
n,1
, a
1,2
, a
2,2
, . . . , a
n,n
). (A.8)
Pronounce A
is () : 1
1
nn
( is pronounced sharp, of course). which partitions a -vector into an n n
matrix; (A
.
The key fact about attened matrices A
= (B
A)Y
. (A.9)
A.3.3 Sylvester Operators
Chapters 1 and 2 make use of special cases of the Sylvester operator 1
nn
1
nn
: X AX + XB such as the Lyapunov operator Ly
A
(X) := A
X + XA and
6
Horn and Johnson [132] use the notation vec(A) for A
use
a= Flatten[Transpose[A]].
224 A Matrix Algebra
the adjoint operator ad
A
(X) := AX XA. From (A.9)
(AX + XB)
= (I A + B
I)X
, (A.10)
(Ly
A
(X))
= (I A
+ A
I)X
, (A.11)
(ad
A
(X))
= (I A A
I)X
. (A.12)
The operator in (A.10) is called the Kronecker sum of A and B, and will be
denoted
7
here as A B := I A + B
Ax x
ki
using (A.6) and identities already obtained. ||
A.4 Invariants of Matrix Pairs
The conjugacy
(B
1
, . . . , B
m
) (P
1
B
1
P, . . . , P
1
B
m
P)
is an action of GL(n, 1) on (1
nn
)
m
. The general problem of classifying m-
tuples of matrices up to conjugacy under GL(n, 1) has been studied for many
years and from many standpoints; see Chapter 3. Procesi [221] found that
the invariants of B
1
, . . . , B
m
under conjugacy are all polynomials in traces of
matrix products; these can be listed as
tr(B
i
1
. . . B
i
k
)| k 2
n
1. (A.15)
The strongest results are for m = 2; Friedland [100] provided a complete clas-
sication for matrix pairs A, B. The product-traces in (A.15) appear because
they are elementary symmetric polynomials, sometimes called power-sums,
of the roots of the characteristic polynomial p
A,B
(s, t) := det(sI (A + tB));
using Newtons identities
8
its coecients can be expressed as polynomials
in the product-traces.
A.4.1 The Second Order Case
As an example, in Friedland [100] the case n = 2 is worked out in detail. The
identity 2 det(X) = tr(X)
2
tr(X
2
) is useful in simplifying the characteristic
polynomial in this case:
p
A,B
(s, t) := s
2
s(tr(A) + t tr(B)) + det(A + tB)
= s
2
s tr(A) +
1
2
(tr(A)
2
tr(A
2
)) st tr(B) (A.16)
+ t(tr(A) tr(B) tr(AB)) +
t
2
2
(tr(B)
2
tr(B
2
))
= s
2
+ a
1
s + a
2
st + b
0
+ b
1
t + b
2
t
2
. (A.17)
Paraphrasing [100], the coecients of (A.16) (or (A.17)) are a complete set of
invariants for the orbits of matrix pairs unless A, B satisfy this hypothesis:
8
For symmetric polynomials and Newton identities see Cox & Little & OShea [67, Ch.
7].
226 A Matrix Algebra
(H) p
A,B
can be factored over C[s, t] into two linear terms.
If (H) then additional classifying functions, rational in the product-traces, are
necessary (but will not be listed here); and A, B are simultaneously similar
to upper triangular matrices (A, B
[
is solvable).
Friedland [100] shows that (H) holds on an ane variety U in C
22
C
22
given by = 0 where using product traces and (A.17)
:= (2 tr(A
2
) tr(A)
2
)(2 tr(B
2
) tr(B)
2
) (2 tr(AB) tr(A) tr(B))
2
(A.18)
= 16(b
0
a
2
2
a
1
a
2
b
1
+ b
2
1
4b
0
b
2
+ a
2
1
b
2
) (A.19)
Exercise A.1. Verify = Discriminant(Discriminant(p
A,B
, s), t) where in
Mathematica , for any n
Discriminant[p_,x_]:=Module[{m,dg,den,temp},
m=Exponent[p,x]; dg=(-1)
(m*(m-1)/2);
den=Coefficient[p,x,m];
Cancel[dg*Resultant[p, D[p,x],x]/den] ] .
Appendix B
Lie Algebras and Groups
This Appendix, a supplement to Chapter 2. is a collection of standard deni-
tions and basic facts drawn from Boothby [31], Conlon [64], Jacobson [143],
Jurdjevic [149] and especially Varadarajan [282].
B.1 Lie Algebras
The eld 1 is either 1 or C. If an 1-linear space g of any nite or innite
dimension is equipped with a binary operation g g g : (e, f ) [e, f ]
(called the Lie bracket) satisfying Jacobis axioms
[e, f + g] = [e, f ] + [e, g] for all , 1, (Jac.1)
[e, f ] + [ f, e] = 0, (Jac.2)
[e, [ f, g]] + [ f, [g, e]] + [g, [e, f ]] = 0, (Jac.3)
then g will be called a Lie algebra over 1. In this book, the dimension of g is
assumed to be nite unless an exception is noted.
B.1.1 Examples
Any -dimensional linear space L can trivially be given the structure of an
Abelian Lie algebra by dening [e, f ] = 0 for all e, f L.
The space of square matrices 1
nn
becomes a Lie algebra if the usual
matrix multiplication is used to dene [A, B] := AB BA.
Partial dierential operators and multiplier functions that act on dieren-
tiable functions are important in quantum physics. They sometimes gen-
erate low-dimensional Lie algebras; see Wei & Norman [284]. One such is
the Heisenberg algebra g
Q
= span1, p, q with the relations [1, p] = 0 = [1, q],
227
228 B Lie Algebras and Groups
[p, q] = 1. One of its many representations uses the position multiplier x and
momentum operator p = /x, with (x)/x x/x = .
B.1.2 Subalgebras and Generators
Given a Lie algebra g, a subalgebra h g is a linear subspace of g that
contains the Lie bracket of every pair of elements, that is, [h, h] h. If also
[g, h] h, the subalgebra h is called an ideal of g. Given a list of elements
(generators) e, f, . . . in a Lie algebra g dene e, f, . . .
[
g to be the smallest
Lie subalgebra that contains the generators and is closed under the bracket
and linear combination. Such generated Lie subalgebras are basic to bilinear
control system theory.
B.1.3 Isomorphisms
An isomorphism of Lie algebras g, h over 1 is a one-to-one map
: g h such that for all e, f g
(e + f ) = (e) + ( f ), , 1 (i)
([e, f ]
1
) = [(e), ( f )]
2
(ii)
where [, ]
1
, [, ]
2
are the Lie bracket operations in g
1
, g
2
, respectively. If
is not one-to-one but is onto and satises (i) and (ii), it is called a Lie
algebra homomorphism. One type of isomorphism for matrix Lie algebras is
conjugacy: P
1
g
1
P = g
2
.
B.1.4 Direct Sums
Let the Lie algebras g, h be complementary as vector subspaces of gl(n, 1)
with the property that if X g, Y h then [X, Y] = 0. Then
g h := X + Y| X g, Y h; , 1
is a Lie algebra called the (internal) direct sum of g h. See Appendix D for
examples; see Denition B.15 for the corresponding notion for Lie groups,
the direct product.
B.1 Lie Algebras 229
B.1.5 Representations and Matrix Lie Algebras
A representation [faithful representation] (, 1
n
) of a Lie algebra g on 1
n
is
a Lie algebra homomorphism [isomorphism] into [onto] a Lie subalgebra
(g) gl(n, 1); such a subalgebra is called a matrix Lie algebra. See Theorem
B.2 (Ados Theorem) on page 232.
B.1.6 Free Lie Algebras*
The so-called free Lie algebra L
r
on r 2 generators is a Lie ring (not a Lie al-
gebra)
1
over Zdened by a list
1
,
2
, . . . ,
r
of indeterminates (generators)
and two operations. These are addition (yielding multiplication by integers)
and a formal Lie bracket satisfying Jac.1Jac.3. Note that L
r
contains all the
repeated Lie products of its generators, such as
[
1
,
2
], [
3
, [
1
,
2
]], [[
1
,
2
], [
3
,
1
]], . . . ,
which are called Lie monomials, and their formal Z-linear combinations
Lie polynomials. There are only a nite number of monomials of each degree
(deg(
i
) = 1, deg([
i
,
j
]) = 2, . . . ). The set G
r
of standard monomials q on r
generators can be dened recursively. First we dene a linear order:
q
1
q
2
if deg(q
1
) < deg(q
2
);
if deg(q
1
) = deg(q
2
) then q
1
and q
2
are ordered lexicographically.
For example,
1
2
,
2
[
1
,
2
] [
2
,
1
]. We dene G
r
by (i)
i
G
r
and (ii) If q
1
, q
2
G
r
and q
1
q
2
, append [q
1
, q
2
] to G
r
; if q
2
q
1
, append
[q
2
, q
1
].
Theorem B.1 (M. Hall). For each d the standard monomials of degree d are a
basis B
(d)
for the linear space L
d
r
of homogeneous Lie polynomials of degree d in r
generators. The union over all d 1 of the B
(d)
is a countably innite basis /1(r),
called a Philip Hall basis of L
r
.
This (with a fewdierences in the denitions) is statedandprovedin a paper
of Marshall Hall, Jr. [116, Th. 3.1] (cf. Dynkin [78] or Jacobson [143, V.4]).
The dimension d(n, r) of L
n
r
is given by the Witt dimension formula
1
There is no linear space structure for the generators; there are no relations among the
generators, so L
r
is free. See Serre [240] and for computational purposes see Reutenauer
[223].
230 B Lie Algebras and Groups
d(n, r) =
1
n
dn
(d)r
n/d
where is the Mbius function
(d) :=
_
_
1, d = 1
0 if d has a square factor
(1)
k
if d = p
1
. . . p
k
where the p
i
are prime numbers.
For r = 2 n : 1 2 3 4 5 6
d(n, 2) : 2 1 2 3 6 9
The standard monomials can be arranged in a tree as in Table B.1 (its con-
structiontakes into account identities that arise fromthe Jacobi axioms). Note
that after the rst few levels of the tree, many of the standard monomials are
not left normalized (dened in Section 2.2.4).
B
(1)
[, ] B
(2)
[, [, ]] [, [, ]] B
(3)
[, [, [, ]]] [, [, [, ]]] [, [, [, ]]] B
(4)
[, [, [, [, ]]]] [, [, [, [, ]]]] [, [, [, [, ]]]] [, [, [, [, ]]]]
[[, ], [, [, ]]] [[, ], [, [, ]]] B
(5)
Table B.1 Levels B
(1)
B
(5)
of a Philip Hall basis of L
2
with generators , .
Torres-Torriti & Michalska [278] provides algorithms that generate L
m
.
Given any Lie algebra g with m generators (for instance, nonlinear vector
elds) and a Lie homomorphism h : L
m
g that takes the generators of L
m
to the generators of g, the image of h is a set of Lie monomials whose real
span is g.
Caveat: given matrices B
1
, . . . , B
m
, the free Lie algebra L
m
and each level
B
(
k) of the Hall basis /1(m) can be mapped homomorphically by h into
B
1
, . . . , B
m
[
, but for k > 2 the image h(B
(
k)) will likely contain linearly
dependent matrices. Free Lie algebras and Philip Hall bases are interesting
and are encountered often enough to warrant including this section. There is
a general impression abroad that the generation of Lie algebra bases should
take advantage of them. The ecient matrix algorithm of Isidori [141] that
is implemented in Table 2.2 on page 43 makes no use of Philip Hall bases.
B.2 Structure of Lie Algebras 231
B.1.7 Structure constants
If a basis e
1
, e
2
, . . . , e
i=1
i
j,k
e
i
; (B.1)
i
j,k
=
i
k, j
and
k=1
_
h
i,k
k
j,l
+
h
j,k
k
l,i
+
h
l,k
k
i, j
_
= 0 (B.2)
from the identities (Jac.1Jac.3). It is invariant under Lie algebra isomor-
phisms. One way to specify a Lie algebra is to give a linear space L with a
basis e
1
, . . . , e
= [X, Y] | X, Y g
is called the derived subalgebra of g. A Lie algebra g with the property that
the nested sequence of derived subalgebras (called the derived series)
g, g
= [g, g], g
(2)
= [g
, g
], . . .
ends with 0 is called solvable. The standard example of a solvable Lie
algebra is t(n, 1), the upper triangular n n matrices. A complex Lie algebra
g has a maximal solvable subalgebra, called a Borel subalgebra; any two Borel
subalgebras of g are conjugate.
The Cartan-Killing form for a given Lie algebra g is the bilinear form
(X, Y) := tr(ad
X
ad
Y
). Use the adjoint representation on 1
with respect to
any basis B := B
1
, . . . , B
p=1
k=1
k
p,i
p
k, j
.
It is easy to check that for all X, Y, Z g, ([X, Y], Z]) +(X, [Y, Z]) = 0. One of
the many applications of the Cartan-Killing form is Theorem B.4 below.
The following theorem of Lie can be found, for instance, as Varadarajan
[282, Th. 3.7.3]. The corollary is [282, Cor. 3.18.11].
Theorem B.3 (S. Lie). If g gl(n, C) is solvable then there exists a basis for C
n
with respect to which all the matrices in g are upper [lower] triangular.
Corollary B.1. Let g be a solvable Lie algebra over 1. Then we can nd subalgebras
g
1
= g, g
2
, . . . , g
k+1
= 0 such that (i) g
i+1
g
i
as an ideal, i 1 . . k, and (ii)
dim(g
i
/g
i+1
) = 1.
(For Lie algebras over C the g
i
can be chosen to be ideals in g itself.)
B.3 Mappings and Manifolds 233
B.2.2 Semisimple Lie Algebras
Any Lie algebra g over 1 has a well-dened radical
g g (see [282, p.
204]);
g = g,
equivalent to g being solvable; and that
g = 0, in which case g is called
semisimple. These two extremes are characterized by the following criteria;
the proof is in most Lie algebra textbooks, such as [143, III.4] or [282, 3.9].
Theorem B.4 (Cartans Criterion). Let g be a Lie subalgebra of gl(n, 1) with basis
B
1
, . . . , B
.
(i) g is solvable (B
i
, B
j
) = 0 for all B
i
, B
j
B.
(ii) g is semisimple (B
i
, B
j
) is nonsingular for all B
i
, B
j
B.
Theorem B.5 (Levi
2
). If g is a nite-dimensional Lie algebra over 1 with radical r
then there exists a semisimple Lie subalgebra s g such that g = r s.
Any two such semisimple subalgebras are conjugate, using transformations
from exp(r) [143, p. 92].
If dimg > 1 and its only ideals are 0 and g then g is called simple; a
semisimple Lie algebra with no proper ideals is simple. For example, so(n)
and so(p, q) are simple.
Given a Lie subalgebra h g, its centralizer in g is
z := X g| [X, Y] = 0 for all Y h;
Since it satises Jac.1Jac.3, z is a Lie algebra. The center of g is the Lie
subalgebra
c := X g| [X, Y] = 0 for all Y g.
A Lie algebra is called reductive if its radical coincides with its center; in that
case g = c g
is
semisimple. Reductive Lie algebras are used in Appendix D.
B.3 Mappings and Manifolds
Let U 1
n
, V 1
m
, W 1
k
be neighborhoods on which mappings f : U
V and g : V W are respectively dened. A mapping h : U W is called
the composition of f and g, written h = g f , if h(x) = g( f (x)) on U.
If the mapping f : 1
n
1
m
has a continuous differential mapping, linear
in y,
2
For Levis theorem see Jacobson [143, p. 91].
234 B Lie Algebras and Groups
Df (x; y) := lim
h0
f (x + hy) f (x)
h
=
f (x)
x
y
it is said to be dierentiable of class C
1
; f
(x) =
f (x)
x
is known as the Jacobian
matrix of f at x.
A mapping f : U V is called C
r
if it is r-times dierentiable; f is smooth
(C
) if r = ; it is real-analytic (C
, x
)
I
and ^
n
=
_
I
U
; (B.3)
on the charts U
1
n
: p x
(p) are
continuous, and on each intersection U
the map
3
See Theorem B.8.
4
See Boothby, [29, II,Th. 7.1] or Conlon [64, Th. 2.4.4].
B.3 Mappings and Manifolds 235
x
()
= x
()
x
1
()
: x
()
(U
) x
()
(U
)
is real-analytic.
5
.
Afunction f : ^
n
1is calledC
in U
A
, it is real-analytic in the coordinates x
()
. A mapping between
manifolds : ^
m
N
n
will be called C
(N
n
) the
composition mapping p (p) ((p)) is a C
function on ^
m
. In the
local coordinates x(p), the rank of at p is dened as the rank of the matrix
(p) :=
(x)
x
x(p)
,
and is independent of the coordinate system. If rank
we say ^
n
and N
n
are diffeomorphic as
manifolds and that is a C
diffeomorphism.
Denition B.3. A dierentiable map : ^
m
A
n
between manifolds,
m n, is called an immersion if its rank is m everywhere on ^
m
. Such a map
is one-to-one locally, but not necessarily globally. An immersion is called an
embedding if it is a homeomorphism onto (A
n
) in the relative topology.
6
If
F : ^ N is a one-to-one immersion and ^ is compact, then F is an
embedding and F(^) is an embedded manifold (as in Boothby [29].) .
Denition B.4. A subset S
k
^
n
is called a submanifold if it is a manifold
and its inclusion mapping i : S
k
^
n
is an immersion. It is called regularly
embedded if the immersion is an embedding; its topology is the subspace
topology inherited from^
n
. .
If the submanifold S
k
is regularly embedded then at each p S
k
the intersec-
tion of each of its suciently small neighborhoods in ^
n
with S
k
is a single
neighborhood in S
k
. An open neighborhood in ^
n
is a regularly embedded
submanifold (k = n) of ^
n
. A dense orbit on a torus (see Proposition 2.5) is
a submanifold of the torus (k = 1) but is not regularly embedded.
Theorem B.7 (Whitney
7
). Given a polynomial map f : 1
n
1
m
, where m n,
let V = x 1
n
| f (x) = 0; if the maximal rank of f on V is m, the set V
0
V on
which the rank equals m is a closed regularly embedded C
submanifold of 1
n
of
dimension n m.
5
There were many ways of dening coordinates, so ^
n
as dened abstractly in Denition
B.2 is unique up to a dieomorphism of manifolds.
6
Sternberg, [252, II.2] and Boothby [31, Ch. III] have good discussions of dierentiable
maps and manifolds.
7
For Whitneys Theoremsee Varadarajan [282, Th. 1.2.1]; it is usedin the proof of Theorem
B.7 (Malcev).
236 B Lie Algebras and Groups
The following theorem is a corollary of the Rank Theorem B.6.
Theorem B.8 (Inverse Function Theorem). If for 1 < r the mapping
: A
n
^
n
is C
r
and rank = n at p, then there exist neighborhoods U of p
and V of (p) such that V = (U) and the restriction of to the set U,
U
, is a C
r
dieomorphism of U onto V; also rank
U
= n = rank
1
V
.
Remark B.1. For 1 r , Whitneys Embedding Theorem (Sternberg [252,
Th. 4.4]) states that a compact C
r
manifold has a C
r
embedding in 1
2n+1
; for
r = see Morreys Theorem [214]: a compact real-analytic manifold has a C
embedding in 1
2n+1
. A familiar example is the one-sided Klein bottle, which
has dimension two, can be immersed in 1
3
but can embedded in 1
k
only if
k 5. .
Denition B.5. An arc in a manifold ^ is for some nite T the image of a
continuous mapping : [0, T] ^. We say ^ is arc-wise connected if for
any two points p, q ^there exists an arc such that (0) = p and (T) = q.
.
Example B.1. The map x x
3
of 1 onto itself is a real-analytic homeomor-
phism but not a dieomorphism. Such examples show that there are many
real-analytic structures on 1. .
Vector Fields
The set of C
functions on ^
n
, equipped with the usual point-by-point ad-
dition and multiplication of functions, constitutes a ring, denoted by C
(^).
A derivation on this ring is a linear operator
f : C
(^) C
1
f
i
(x)
(x)
x
. (B.4)
The tangent vector f
p
is assigned at p ^in a C
way by
f
p
:= fx(p) = col( f
1
(x(p)), . . . , f
n
(x(p))) T
p
(^), (B.5)
where T
p
(^) := f
p
| f (^),
B.3 Mappings and Manifolds 237
called the tangent space at p, is isomorphic to 1
n
. In each coordinate chart
U
, x
) where T :=
_
p^
T
p
(^
n
)
(the disjoint union of the tangent spaces); is the projection onto the base
space (T
p
(^
n
)) = p; and T(^
n
), as a 2n-dimensional manifold, is given a
topology and C
atlas (U
, x
then (f(x
vector
eld on a C
manifold ^
n
. For each ^
n
there exists a > 0 such that
a unique trajectory x(t) = f
t
()| t (, ) satises the initial value problem
8
Full treatments of tangent bundles can be found in [29, 64].
9
See Sontag [248, C.3.12] for one version of the existence theorem.
238 B Lie Algebras and Groups
x = f (x), x(0) = .
10
On (, ) the mapping f is C
in t and . It can be
extended by composition (concatenation of arcs) f
t+s
() = f
t
f
s
to some
maximal time interval (T, T), perhaps innite. If T = for all ^
n
the
vector eld is said to be complete and the ow f : 1 ^
n
^
n
is well
dened. If ^
n
is compact, all its vector elds are complete. If T < the
vector eld is said to have nite escape time. The trajectory through of the
vector eld f (x) := x
2
on ^
n
= 1 is /(t 1), which leaves 1 at t = 1/.
In such a case the ow mapping is only partially dened. As the example
suggests, for completeness of f it suces that there exist positive constants
c, k such that
[ f (x) f ()[ < c + k[x [ for all x, .
Such a growth (Lipschitz) condition is not necessary, however; the vector
eld
x
1
= (x
2
1
+ x
2
2
)x
2
, x
2
= (x
2
1
+ x
2
2
)x
1
is complete; its trajectories are periodic. The composition of C
mappings is
C
manifolds such as 1
n
, hypersurfaces, spheres S
n
, or
tori T
n
.
10
The Rectication Theorem (page 190) shows that if f () = b 0, there exist coordinates
in which for small t the trajectory is f
t
(0) = tb.
11
What is called an orbit here and in such works as Haynes & Hermes [119] is called a
path by those who work on path planning.
B.3 Mappings and Manifolds 239
B.3.4 Control Systems as Polysystems
At this point we can dene what is meant by a dynamical polysystem on a
manifold. Loosely, in the denition of a dynamical system we redene J as
a family of vector elds, provided with a method of choosing one of them
at a time in a piecewise-constant way to generate transition mappings. This
concept was introduced in Lobrys thesis; see his paper [189].
In detail: Given a dierentiable manifold ^
n
, let F T(^
n
) be a family
of dierentiable vector elds on ^
n
, for instance F := f
, each of which is
supposed to be complete (see Section B.3.2), with the prescription that at any
time t one may choose an and a time interval [t, ) on which x = f
(x). To
obtain trajectories for the polysystem, trajectory arcs of the vector elds f
t
() =
_
_
f
t
(), t [0, ),
g
t
f
(), t [, T].
Jurdjevic [149] has an introduction to dynamical polysystems; for the
earliest work see Hermann [122], Lobry [190], and Sussmann [269, 259, 260,
261, 263].
B.3.5 Vector eld Lie Brackets
A Lie bracket is dened for vector elds (as in Jurdjevic [149, Ch.2]) by
[f, g] := g(f ) f(g) for all C
(^
n
);
[f, g] is again a vector eld because the second-order partial derivatives of
cancel out.
12
Using the relation (B.5) between a vector eld f and the
corresponding f (x) 1
n
, we can dene [ f, g] := g
(x) f (x) f
j=1
_
f
i
(x)
x
j
g
j
(x)
g
i
(x)
x
j
f
j
(x)
_
, i = 1 . . n. (B.6)
Equipped with this Lie bracket the linear space (^
n
) of all C
vector elds
on ^
n
is a Lie algebra over 1. The properties Jac.1Jac.3 of Section B.1 are
12
If the vector elds are only C
1
(once dierentiable) the approximation [f, g] f
t
g f
t
can be used, analogous to (2.3); see Chow [59] and Sussmann [259].
240 B Lie Algebras and Groups
easily veried. (^
n
) is innite-dimensional; for instance, for n = 1 let
f := x
2
x
, g := x
3
x
; then [f, g] = x
4
x
and so forth.
For a linear dynamical system x = Ax on 1
n
, the corresponding vector
eld and Lie bracket (dened as in (B.6)) are
a :=
n
i=1, j=1
A
i, j
x
j
x
i
= x
x
and [a, b] = x
(AB BA)
x
.
With that in mind, x = [a, b]x corresponds to x = (AB BA)x. This corre-
spondence is an isomorphism of the matrix Lie algebra A, B
[
with the Lie
algebra of vector elds a, b
[
:
g := x
x
| A g.
Afne vector elds: the Lie bracket of the ane vector elds
f (x) := Ax + a, g(x) := Bx + b, is [ f, g](x) = [A, B]x + Ab Ba
which is again ane (not linear).
Denition B.7. Given a C
map : M
m
N
n
, let f and f
be vector elds
on M
m
and N
n
respectively; f and f
) = f( ). (B.7)
for all C
(N
n
). .
That is, the time derivatives of on A
n
and its pullback on M
m
are the
same along the trajectories of the corresponding vector elds f and f
. Again,
at each p ^
m
, f
(p)
= D
p
f
p
. This relation is
13
inherited by Lie brackets:
[f
, g
1
= .
A subset H G is called a subgroup of G if H is closed under the group
operation and contains . If H = H for all G, then H is called a normal
13
See Conlon, [64, Prop. 4.2.10]
B.4 Groups 241
subgroup of G and G/H is a subgroup of G. If G has no normal subgroups
other than and G itself, it is called simple.
Denition B.8. A group homomorphism is a mapping : G
1
G
2
such
that
1
2
and the group operations are preserved. If one-to-one, is a
group isomorphism. .
B.4.1 Topological Groups
A topological group G is a topological space which is also a group for which
composition () and inverse (
1
) are continuous maps in the given topol-
ogy. For example, the group GL(n, 1) of all invertible n n matrices inherits
a topology as an open subset of the Euclidean space 1
nn
; matrix multi-
plication and inversion are continuous, so GL(n, 1) is a topological group.
Following Chevalley [58, II.II], top(G) can be dened axiomatically by using
a neighborhood base +of sets V containing and satisfying six conditions:
1. V
1
, V
2
+ V
1
V
2
+;
2.
_
V + = ;
3. if V U G and V + then U +;
4. if V +, then V
1
+ s.t. V
1
V +;
5. V| V
1
+ = +;
6. if + then V
1
| V + = +.
Then neighborhood bases of all other points in G can be obtained by right
or left actions of elements of G.
Denition B.9. If G, H are groups and H is a subgroup of G then the equiv-
alence relation on G dened by if and only if
1
H partitions
G into classes (left cosets); is a representative of the coset H. The cosets
compose by the rule (H)(H) = H, and the set of classes G/H := G/
R
is called a (left) coset space. .
Denition B.10. Let G be a group and S a set. Then G is said to act on S if
there is a mapping F : G S S satisfying, for all x S,
(i) F(, x) = x and
(ii) if , G then F(, F(, x)) = F(, x).
Usually one writes F(, x) as x. If G is a topological group and S has a
topology, the action is called continuous if F is continuous. One says G acts
transitively on S if for any two elements x, y S there exists G such that
x = y. A group, by denition, acts transitively on itself. .
242 B Lie Algebras and Groups
B.5 Lie Groups
Denition B.11. A real Lie group is a topological group G (the identity el-
ement is denoted by ) that is also a nite-dimensional C
manifold;
14
the
groups composition , and inverse : = are both real-
analytic. .
A connected Lie group is called an analytic group. Complex Lie groups
are dened analogously. Like any other C
:
and the left translation L
: . If G then R
and L
are
real-analytic dieomorphisms. Furthermore, G R
G and G L
G are
group isomorphisms. .
A vector eld f (G) is called right-invariant if DR
f = f for each G,
left-invariant if DL
if 1 = 1) isomorphism
: G Hwhere for some n, His a subgroup of GL(n, 1). Aone-dimensional
representation : G 1 is called a character of the group. One representa-
tion of the translation group 1
2
, for example, is
(1
2
) =
_
_
1 x
1
x
2
0 1 0
0 0 1
_
_
GL(3, 1).
In this standard denition of representation, the action of the group is linear
(matrix multiplication).
A group realization, sometimes called a representation, is an isomorphism
through an action (not necessarily linear) of a group on a linear space, for
14
In the denition of Lie group C
can be replaced by C
r
where r can be as small as 0; if
so, it is then a theorem (see Montgomery & Zippin [213]) that the topological group is a
C
manifold.
B.5 Lie Groups 243
instance a matrix T GL(n, 1) can act on the matrices X 1
nn
by (T, X)
T
1
XT.
B.5.2 The Lie Algebra of a Lie Group
The tangent space at the identity T
i, j,k=1
a
i,k
x
k, j
x
i, j
.
Left translation and left-invariant vector elds are more usual in the cited
textbooks
15
but translating between the two approaches is easy and right-
invariance is recognized to be a convenient choice in studying dynamical
systems on groups and homogeneous spaces.
B.5.3 Lie Subgroups
If the subgroup H G has a manifold structure for which the inclusion map
i : H G is both a one-to-one immersion and a group homomorphism,
then we will call H a Lie subgroup of G. The relative topology of H in G may
not coincide with its topology as a Lie group; the dense line on the torus T
2
(Example 2.5) is homeomorphic and isomorphic, as a group, to 1 but any
15
Cf. Jurdjevic [149].
244 B Lie Algebras and Groups
neighborhood of it on the torus has an innity of preimages so i is not a
regular embedding.
Denition B.14. A matrix Lie group is a Lie subgroup of GL
+
(n, 1). .
Example B.2. The right- and left- invariant vector elds on matrix Lie
groups
16
are relatedbythe dierentiable mapX X
1
: if
X = AXlet Z = X
1
,
then
Z = ZA. .
Lemma B.1. If G is a Lie group and H G is a closed (in the topology of G)
subset that is also an abstract subgroup, then His a properly embedded Lie subgroup
[64, Th. 5.3.2].
Theorem B.9. If H G is a normal subgroup of G then the cosets of H constitute
a Lie group K := G/H.
An element of K (a coset of H) is an equivalence class H| G. The
quotient map takes H to K; by normality it takes a product
1
2
to
H(
1
2
), so G K is a group homomorphism and K can be identied with
a closed subgroup of G which by the preceding lemma is a Lie subgroup.
Note that a Lie group is simple (page 241) if and only if its Lie algebra is
simple (page 233).
B.5.4 Real Algebraic Groups
By a real algebraic group G is meant a subgroup of GL(n, 1) that is the zero-
set of a nite set of real polynomial functions. If G is a real algebraic group
then it is a closed Lie subgroup of GL(n, 1) [282, Th. 2.1.2]. (The rank of the
map is preserved under right translations by elements of the subgroup, so is
constant on G. Use the Whitney Theorem B.7.)
B.5.5 Lie Group Actions and Orbits
Corresponding to the general notion of action (Denition B.10), a Lie group
G may have an action F : G ^
n
^
n
on a real-analytic manifold ^
n
,
and we usually are interested in real-analytic actions. In that case F(, ) is a
C
dieomorphism on ^
n
; the usual notation is (, x) x.
Given x ^
n
, the set
Gx := y| y = x, G ^
n
16
See Jurdjevic [149, Ch.2]
B.5 Lie Groups 245
is called the orbit of G through x. (This denition is consistent with that given
for orbit of a vector elds trajectory in Section B.3.2.) Note that an orbit Gx
is an equivalence class in ^
n
for the relation dened by the action of G. For
a full treatment of Lie group actions and orbits see Boothby [29].
B.5.6 Products of Lie Groups
Denition B.15 (Direct product). Given two Lie groups G
1
, G
2
their direct
product G
1
G
2
is the set of pairs (
1
,
2
)|
i
G
i
equipped with the product
topology, the group operation (
1
,
2
)(Y
1
, Y
2
) = (
1
Y
1
,
2
, Y
2
) and identity
:= (
1
,
2
). Showing that G
1
G
2
is again a Lie group is a simple exercise.
A simple example is the torus T
2
= T
1
T
2
. Given
i
G
i
and their matrix
representations
1
(
1
) = A
1
,
2
(
2
) = A
2
on respective linear spaces 1
m
, 1
n
,
the product representation of (
1
,
2
) on 1
m+n
is diag(A
1
, A
2
).
The Lie algebra for G
1
G
2
is g
1
g
2
:= (v
1
, v
2
)| v
i
g
i
with the Lie bracket
[(v
1
, v
2
), (w
1
, w
2
)] := ([v
1
, w
1
], [v
2
, w
2
]). .
Denition B.16 (Semidirect product). Given a Lie group Gwith Lie algebra
g and a linear space V on which G acts, the semidirect product V~G is the set
of pairs (v, )| v V, G with group operation (v, ) (w, ) := (v+w, )
andidentity(0, ). The Lie algebra of V~Gis the semidirect sumVg denedas
the set of pairs (v, X) with the Lie bracket [(v, X), (w, Y)] := (XwYv, [X, Y]).
For the matrix representation of the Lie algebra V g see Section 3.8. .
B.5.7 Coset Spaces
Suppose G, H are Lie groups such that H is a closed subgroup of G; let g
and h be the corresponding Lie algebras. Then (see Helgason [120, Ch. II]) or
Boothby [31, Ch. IV]) on G the relation dened by
: H| =
is an equivalence relation and partitions G; the components of the partition
are H orbits on G. The quotient space ^
n
= G/H (with the natural topology
in which the projection G G/H is continuous and open) is a Hausdor
submanifold of G. It is sometimes called a coset space or orbit space; like Hel-
gason [120], Varadarajan [282] and Jurdjevic [149], I call ^
n
a homogeneous
space. G acts transitively on ^
n
: given a pair of points p, q in ^
n
, there exists
G such that p = q.
Another viewpoint of the same facts: given a locally compact Hausdor
space ^
n
on which G acts transitively, and any point p ^
n
, then the sub-
group H
p
G such that p = p for all H
p
is (obviously) closed; it is called
246 B Lie Algebras and Groups
the isotropy subgroup
17
at p. The mapping H Xp is a dieomorphism of
G/H to ^
n
. The Lie algebra corresponding to H
p
is the isotropy subalgebra
h
p
= X g| Xp = 0.
B.5.8 Exponential Maps
In the theory of dierentiable manifolds the notion of exponential map
has several denitions. When the manifold is a Lie group G and a dynamical
system is induced on G by a right-invariant vector eld p = fp, p(0) = , then
the exponential map Exp is dened by the endpoint of the trajectory from
at time t, that is, Exp(tf) := p(t). For a matrix Lie group, Exp coincides with
the matrix exponential of Section 1.1.2; if F gl(n, 1) and
X = FX, X(0) = I,
then Exp(tF) = X(t) = e
tF
. For our exemplary a 1
2
, x = a, x(0) = 0, and
Exp(at) = ta. For an exercise, use the the matrix representation of 1
2
in
GL(3, 1) above to see the relation of exp to Exp.
Theorem B.10 (Correspondence). Let G be a Lie group, g its Lie algebra, and h
a subalgebra of g. Then there is a connected Lie subgroup H of G whose Lie algebra
is h. The correspondence is established near the identity by Exp : h H, and
elsewhere by the right action of G on itself.
Discussion. See Boothby [29, Ch. IV,Th. 8.7]; a similar theorem[282, Th. 2.5.2]
in Varadarajans book explains, in terms of vector eld distributions and
maximal integral manifolds, the bijective correspondence between Lie sub-
algebras and connected subgroups (called analytic subgroups in [282]), that
are not necessarily closed. .
B.5.9 Yamabes Theorem
Lemma B.2 (Lie Product Formula). For any A, B 1
nn
and uniformly for
t [0, T]
e
t(A+B)
= lim
n
_
exp(
tA
n
) exp(
tB
n
)
_
n
. (B.8)
Discussion. For xed t this is a consequence of (1.6) and the power series in
Denition 1.3; see Varadarajan [282, Cor. 2.12.5]) for the details, which show
the claimed uniformity. In the context of linear operators on Banach spaces,
it is known as the Trotter formula and can be interpreted as a method for
solving
X = (A + B)X. .
17
An isotropy subgroup H
p
is also called a stabilizer subgroup.
B.5 Lie Groups 247
Theorem B.11 (Yamabe). Let Gbe a Lie group, and let Hbe an arc-wise connected
subgroup of G. Then H is a Lie subgroup of G.
Discussion. For arc-wise connectedness see Denition B.5. Part of the proof
of Theorem B.11 given by M. Goto [107] can be sketched here for the case
G = GL
+
(n, 1) (matrix Lie groups).
Let H be an arc-wise connected subgroup of GL
+
(n, 1). Let h be the set
of n n matrices L with the property that for any neighborhood U of the
identity matrix in GL
+
(n, 1), there exists an arc
: [0, 1] H such that (0) = I, (t) exp(tL)U, 0 t 1.
First show that if X h then so does X, 1. Use Lemma B.2 to show
that for suciently small X and Y, X + Y h. The limit (2.3) shows that
X, Y h [X, Y] h. Therefore h is a matrix Lie algebra. Use the Brouwer
xed point theorem to show that H is the connected matrix Lie subgroup of
GL
+
(n, 1) that corresponds to h. .
Appendix C
Algebraic Geometry
The brief excursion here into algebraic geometry on ane spaces 1
n
, where
1 is C or 1, is guided by the book of Cox & Little & OShea [67], which is
a good source for basic facts about polynomial ideals, ane varieties, and
symbolic algebraic computation.
C.1 Polynomials
Choose a ring of polynomials in n indeterminates R := 1[x
1
, . . . , x
n
] over a
eld 1 which that contains Q, such as 1 or C. A subset J R is called an
ideal if it contains 0 and is closed under multiplication by polynomials in R.
A multi-index is a list = (d
1
, d
2
, . . . , d
n
) of non-negative integers; its cardi-
nality is := d
1
+ +d
n
. Amonomial of degree d in R, such as x
:= x
d
1
1
. . . x
d
n
n
,
is a product of indeterminates x
i
such that = d.
In Ra homogeneous polynomial p of degree d is a sumof monomials, each
of degree d. For such symbolic computations as nding greatest common
divisors or Grbner bases, one needs a total order >on monomials x
; it must
satisfy the product rule x
> x
, x
. Since the d
i
are integers, to each monomial x
>
lex
x
if >
lex
.
Let q
1
, . . . , q
r
be a nite set of linearly independent polynomials in R; the
ideal that this set generates in R is
q
1
, . . . , q
s
:=
_
_
s
i=1
h
i
(x)q
i
(x)| h
i
R
_
_
,
249
250 C Algebraic Geometry
where the bold angle brackets are used to avoid conict with the inner
product (, ) notation. By Hilberts Basis Theorem [67, Ch. 2, Th. 4], for any 1
every ideal J R has a nite generating set p
1
, . . . , p
k
, called a basis. (If
J is dened by some linearly independent set of generators then that set
is a basis.) Dierent bases for J are related in a way, called the method of
Grbner bases, analogous to gaussian elimination for linear equations. The
bases of J are an equivalence class; they correspond to a single geometric
object, an ane variety, to be dened in the next Section.
C.2 Ane Varieties and Ideals
The afne variety V dened by a list of polynomials q
1
, . . . , q
r
in R is the set
in 1
n
where they all vanish; this sets up a mapping V dened by
Vq
1
, . . . , q
r
:=
_
x 1
n
| q
i
(x) = 0, 1 i r
_
.
The more polynomials in the list, the smaller the ane variety. The ane
varieties we will deal with in this chapter are dened by homogeneous
polynomials, so they are cones. (A real cone is a set S 1
n
such that 1S = S.)
Given an ane variety V 1
n
then J := I(V) is the ideal generated by all
the polynomials that vanish on V. Unless 1 = Cthe correspondence between
ideals and varieties is not one-to-one.
C.2.1 Radical ideals
Given a single polynomial q R, possibly with repeated factors, the product
q of its prime factors is called the reduced form or square-free form of q; clearly
q has the same zero-set as q. The algorithm (C.1) we can use to obtain q is
given in [67, Ch4,2 Prop. 12]:
q
r
=
q
GCD
_
q,
q
x
1
, . . . ,
q
x
n
_. (C.1)
it is used in an algorithm in Figure 2.4.
An ideal is called radical if for any integer m 1
f
m
J f J.
The radical of the ideal J := q
1
, . . . , q
s
is dened as
C.2 Ane Varieties and Ideals 251
J :=
_
f | f
m
J for some integer m 1
_
.
and [67, p. 174] is a radical ideal. The motive for introducing radical ideals is
that over any algebraically closed eld k (such as C) they characterize ane
varieties; that is the strong version of Hilberts Nullensatz:
I(V(J)) =
J.
Over k the mappings I() from ane varieties to radical ideals and V() from
radical ideals to varieties are inverses of each other.
C.2.2 Real Algebraic Geometry
Some authors prefer to reserve the term radical ideal for use with polynomial
rings over analgebraicallyclosedeld, but [67] makes clear that it canbe used
with 1[x
1
, . . . , x
n
]. Note that in this book, like [67], in symbolic computation
for algebraic geometry the matrices and polynomials have coecients in Q
(or extensions, e.g. Q[
are,
loosely speaking, canonical forms for the symmetric bilinear control sys-
tems of Chapter 2 and are important in Chapter 7. Most of their classi-
cation was achieved by Boothby [32] at the beginning of our long collab-
oration. The corresponding Lie algebras g (also called transitive because
gx = 1
n
for all x 1
n
_
P Q R S
Q P S R
R S P Q
S R Q P
_
_
.
253
254 D Transitive Lie Algebras
The argument of is a complex matrix; see Example 2.27. (1, i, j, k) are unit
quaternions; the argument of is a right quaternion matrix.
Remark D.1. (x
1
1+x
2
i+x
3
j+x
4
k), x 1
4
, is a representationof the quaternion
algebra 1; Hamiltons equations i
2
= j
2
= k
2
= ijk = 1 are satised. The
pure quaternions are those withx
1
= 0. 1is a four-dimensional Lie subalgebra
of gl(4, 1) (with the usual bracket [a, b] = ab ba). The corresponding Lie
group is 1
; see Example 2.6 and in Section D.2 see item I.2. For this Lie
algebra the singular polynomial is /(x) = (x
2
1
+ x
2
2
+ x
2
3
+ x
2
4
)
2
. .
For a representationof spin(9) it is convenient touse the Kronecker product
(see Section A.3) and the 2 2 matrices
I =
_
1 0
0 1
_
, L =
_
1 0
0 1
_
, J =
_
0 1
1 0
_
, K =
_
0 1
1 0
_
. (D.1)
To handle spin(9, 1) the octonions O are useful; quoting Bryant [45]
O is the unique 1-algebra of dimension 8 with unit 1 O endowed
with a positive denite inner product () satisfying
(xy, xy) = (x, x)(y, y) for all xy O.
As usual, the normof an element x Ois denoted x and dened as the
square root of (x, x). Left and right multiplication by x O are dened
by maps L
x
, R
x
: O O that are isometries when x = 1.
The symbol indicates the octonion conjugate: x
:= 2(x, 1)1 x.
D.1.2 Finding the Transitive Groups*
The algorithmic treatment in [32] is valuable in reading [29], which will be
sketched here. Boothby constructed his list using two
1
basic theorems, of
independent interest:
Theorem D.1 (BoothbyA). Suppose that Gis transitive on1
n
we obtain a dier-
entiable action of X on the standard sphere S
n1
as follows. For x S
n1
let
Xx :=
Xx
[Xx[
, a unit vector. The existence of implies that Ghas a maximal com-
pact subgroup K whose action by is transitive on S
n1
; and that means K is
1
Theorem C of Boothby [29] states that for each of the transitive Lie algebras there exists
a pair of generating matrices; see Theorem 2.5.
D.1 Introduction 255
transitive on rays 1
+
x. All such maximal compact subgroups are conjugate
in GL(n, 1). Any groups K
, G
= 1.
Without loss of generality assume K SO(n). ||
The Lie groups K transitive on spheres, needed by Theorem D.1, were
found by Montgomery & Samelson [212] and Borel [33]:
(i) SO(n); (D.2)
(ii) SU(k) O(n) and U(k) O(n) (n = 2k);
(iii)(a) Sp(k) O(n) (n = 4k);
(iii)(b) Sp(k) Sp(1) O(n) (n = 4k);
(iv) the exceptional groups
(a) G
2(14)
(n = 7),
(b) Spin(7) (n = 8),
(c) Spin(9) (n = 16).
Theorem D.2 (Boothby B). If G is unbounded and has a maximal compact
subgroup K whose action as a subgroup of Gl(n, 1) is transitive on
S
n1
, then G is
transitive on 1
n
.
Proof (Sketch). The orbits of K are spheres, so the orbits of G are connected
subsets of 1
n
that are unions of spheres. If there were such spheres with
minimal or maximal radii, G would be bounded. ||
A real Lie algebra k is called compact if its Cartan-Killing form (Section
B.2.1) is negative denite; the corresponding connected Lie group K is then
compact. To use TheoremD.2 we will needthis fact: if the Lie algebra of a real
simple group is not a compact Lie algebra then no nontrivial representation
of the group is bounded.
The goal is to nd connected Lie groups
G that have a representation
on 1
n
such that G = (
G) is transitive on 1
n
of the noncompact Lie group Spin(9, 1) whose Lie algebra spin(9, 1) is listed
here as II.6. An early proof of the transitivity of spin(9, 1) was given by Bryant
[45]. It may have been known even earlier.
Denition D.1. A Lie algebra g on 1
n
, n even, is compatible with a complex
structure on 1
n
if there exists a matrix J such that J
2
= I
n
and [J, X] = 0 for
each X g; then [JX, JY] = [X, Y]. .
Example D.1. To nda complex structure for A, B
[
with n even (Lie algebras
II.2 and II.5 in Section D.2) use this Mathematica script:
Id=IdentityMatrix[n]; J=Array[i,{n,n}]; v=Flatten[J];
Reduce[{J.A-A.J==0,J.B-B.J==0,J.J+Id==0},v];
J=Transpose[Partition[v,n]]
The matrices in sl(k, C) have zero complex trace: the generators satisfy
tr(A) = tr(JA) = 0 and tr(B) = tr(JB) = 0.
.
2
In the fth type of center, the xed complex number u
0
+iv
0
should have a non-vanishing
real part u
0
so that Texp((u
0
+ iv
0
)1) = 1
+
.
D.2 The Transitive Lie Algebras 257
D.2 The Transitive Lie Algebras
Here, upto conjugacy, are the Lie algebras g transitive on1
n
, n 2, following
the lists of Boothby & Wilson [32] and Kramer [162].
Each transitive Lie algebra is listed in the form g = g
0
c where g
0
is
semisimple or 0 and c is the center of g. The list includes some minimal
faithful matrix representations; their sources are as noted. The parameter k is
any integer greater than 1; representations are n n; and is the dimension
of g. The numbering of the Lie algebras in cases IIII is that given in [32],
except for the addition of II.6.
I. Semisimple ideal is simple and compact
3
(1) g = so(k) c gl(k, 1), n = k; c = c(k, 1); = 1 + k(k 1)/2;
so(k) = X gl(k, 1)| X
+ X = 0.
(2) g = su(k) c gl(2k, 1), n = 2k;
c = c(k, C) or c(k, (u
0
+ iv
0
)1), = k
2
1 + (c);
su(k) = (A + iB)| A
= A, B
= B, tr(B) = 0 .
(3) g = sp(k) c gl(4k, 1), n = 4k,
c = c(2k, C) or c(2k, (u
0
+ iv
0
)1), = 2k
2
+ k + (c).
sp(k) =
_
(A + iB + jC + kD)
= A, B
= B,
C
= C, D
= D
_
.
(4) g = sp(k) 1, sp(k) as in (I.3), n = 4k, = 2k
2
+ k + 4.
(5) g = spin(7) c gl(8, 1), c = c(8, 1), n = 8, = 22.
Kimura [159, Sec. 2.4] has spin(7) =
_
_
_
_
U
1
u
16
u
17
u
18
0 u
21
u
20
u
19
u
10
U
2
u
8
u
14
u
21
0 u
12
u
7
u
11
u
6
U
3
u
15
u
20
u
12
0 u
4
u
12
u
20
u
21
U
4
u
19
u
7
u
4
0
0 u
15
u
14
u
13
U
1
u
10
u
11
u
12
u
15
0 u
18
u
3
u
16
U
2
u
6
u
20
u
14
u
18
0 u
2
u
17
u
8
U
3
u
21
u
13
u
3
u
2
0 u
18
u
14
u
15
U
4
_
_
_
_
,
where U
1
=
u
1
u
5
u
9
2
, U
2
=
u
1
+ u
5
u
9
2
,
U
3
=
u
1
u
5
+ u
9
2
, U
4
=
u
1
u
5
u
9
2
.
Using (D.1) a basis for spin(7) can be generated by the six 8 8 matrices
I J L, L J K, I K J, J L I, J K I, and J K K.
3
In part I, g is simple with the exceptions I.1 for n = 3 and I.4.
258 D Transitive Lie Algebras
(6) g = spin(9) c gl(16, 1), c = c(16, 1), n = 16, = 37.
A 36-matrix basis for spin(9) is generated (my computation)
by the six 16 16 matrices
J J J I, I L J L, J L L L,
I L L J, J L I I, J K I I;
or see Kimura [159, Example 2.19].
(7) g = g
2(14)
c gl(7, 1), c = c(7, 1); n = 7, = 15; g
2(14)
=
_
_
_
_
0 u
1
u
2
u
3
u
4
u
5
u
6
u
1
0 u
7
u
8
u
9
u
10
u
11
u
2
u
7
0 u
5
u
9
u
6
u
8
u
11
+u
3
u
4
+u
10
u
3
u
8
u
5
u
9
0 u
12
u
13
u
14
u
4
u
9
u
6
+u
8
u
12
0 u
1
u
14
u
2
+u
13
u
5
u
10
u
11
u
3
u
13
u
1
+u
14
0 u
7
u
12
u
6
u
11
u
4
u
10
u
14
u
2
u
13
u
7
+u
12
0
_
_
_
_
.
G
2
is an exceptional Lie group; for its Lie algebra see Gross [111], Baez
[16]; g
2(14)
is so calledbecause 14 is the signature of its Killing form(X, Y).
II. Semisimple ideal is simple and noncompact
(1) g = sl(k, 1) c glk, 1), n = k;
c = c
0
or c(k, 1); = k
2
1 + (c);
sl(k, 1) = X gl(k, 1)| tr(X) = 0;
(2) g = sl(k, C) c gl(2k, 1), n = 2k,
c = c
0
, c(n, 1), c(k, i1), c(m, C), or c(k, (u
0
+ iv
0
)1);
= 2(k
2
1) + (c);
sl(k, C) = (A + iB)| A, B 1
kk
, tr(A) = 0 = tr(B).
(3) g = sl(k, 1) c gl(4k, 1), n = 4k,
c = c
0
, c(4k, 1), c(2k, i1), c(2k, C), or c(2k, (u
0
+ iv
0
)1),
= 4k
2
1 + (c); sl(k, 1) = (su
(2k)), where
su
(2k) =
_
_
A B
B
A
_
A, B C
kk
tr A + tr
A = 0
_
.
(4) g = sp(k, 1) c gl(2k, 1), n = 2k, c = c
0
or c(n, 1);
= 2k
2
+ k + (c); sp(k, 1) =
_
_
A B
CA
A, B, C 1
kk
B and C symmetric
_
is a real symplectic algebra.
(5) g = sp(k, C) c gl(4k, 1), n = 4k,
c = c
0
, c(4k, 1), c(2k, i1), c(2k, C), or c(2k, (u
0
+ iv
0
)1);
= 4k
2
+ 2k + (c);
D.2 The Transitive Lie Algebras 259
sp(k, C) =
_
__
A B
C A
_
+ i
_
D E
F D
__
A, B, C, D, E, F 1
kk
B, C, E, F, symmetric
_
.
(6) g = spin(9, 1) c gl(16, 1); n = 16,
c = c
0
or c(16, 1), = 45 + (c); see Kramer [162].
spin(9, 1) =
__
1
(a) + I
8
R
w
L
3
(a) I
8
_
1, a spin(8),
x, w O
_
in the representation explained by Bryant [45], who also points out its
transitivity on 1
16
x
, [R
w
] are used in the spin(9, 1)
representation. To see that = 45, note that dimspin(8) = 28, dimO = 8,
and dim1 = 1. The Lie algebra isomorphisms
i
: spin(8) so(8) are
dened in [45]. The maximal compact subgroup in spin(9, 1) is spin(9), see
I.6 above. Baez [16] gives the isomorphism spin(9, 1) sl(O, 2); here 1
16
0
_
| A gl(n 1, 1), b 1
n1
_
.
The matrices in aff(n1, 1)
R
are the transposes of the matrices in aff(n1, 1);
their nullspace is the span of
n
:= )0, 0, . . . , 1).
260 D Transitive Lie Algebras
n : 2 3 4 5 6 7 8 9 16
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I.1 2 4 7 11 16 22 29 37 121
I.2 4, 5 9, 10 16, 17 65
I.3 11, 12 37, 38
I.4 14 40
I.5 22
I.6 37
I.7 15
II.1 3, 4 8, 9 15, 16 24, 25 35, 36 48, 49 63, 64 80, 81 255, 256
II.2 6, 7, 8 16, 17, 18 30, 31, 32 126, 127, 128
II.3 15, 16, 17 63, 64, 65
II.4 10, 11 21, 22 36, 37 136, 137
II.5 20, 21, 22 72, 73, 74
II.6 45
III 18, 19 66, 67
Table D.1 Dimension of each Lie algebra transitive on 1
n
| X aff(n 1, 1)
R
, tr(A) = 0.
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258. , The control problem x
, see smooth
C
, see real-analytic
1, 1
n
, 1
nn
, 217
G, see group
GL(n, 1), 19, 4453
GL
+
(n, 1), 19, 4554
1, see quaternions
, see semigroup
S
, see time-shift
SL(n, Z), 19, 201
SU(n), see group, special unitary
S
1
1
, unit circle, 131
S
, sphere, 219
Symm(n), 7
S
d
(A; t), 6
Ly
A
, see operator, Lyapunov
, constraint set, 9
, transition-matrix group, 19
, Kronecker sum, 31, 224
p
A
, characteristic polynomial, 4
(A, j), special sum, 165, 224
, composition of mappings, 233
det, determinant, 218
| , such that, 4
, n
2
, 31, 38, 223
+
x, see successor
-related, 190
x
, see generic rank
/, principal polynomial, 6171
, see shue
spec(A), eigenvalues of A, 5
, concatenation, 17
Symm(n), 134, 218
~, see semidirect product
, see Kronecker product
tr, trace, 218
a, vector eld, 36, 240
empty set, 22
(u + iv), see representation
max
(A), real spectrum bound, 27
ad
A
, see adjoint
ad
g
, adjoint representation, 231
aff(n, 1), see Lie algebra, ane, 123
275
276 Index
U, boundary, 22
U, closure of U, 22
(X, Y), see Cartan-Killing form
dminor, 218
i, j
, Kronecker delta, 217
, transition-matrix group, 3351
f
t
, see trajectory
f
i
j,k
, see structure tensor
g, Lie algebra, 3583, 227240
1
0
, see homogeneous rational functions
U, interior of U, 22
_
, set intersection, 241
null(X), nullity of X, see nullity
n
2
, 69
U
, restricted to U, 236
, see similarity
sl(2, 1), 37, 69, 71
sl(k, C), 256
sl(k, 1), 259
sl(n, 1), special linear, 64, 81, 259
so(n), see Lie algebra, orthogonal
spec(A), spectrum of A, 4, 7, 31, 219
_
, disjoint union, 237
_
, union, 234
Abels relation, 5, 18
absolute stability, 181
accessibility, 22, 102118, 120
strong, 22, 23, 102, 104, 105
action of a group, 34, 124, 225, 241, 242,
244, 246, 255, 259
adjoint, Ad, 38, 39, 62
transitive, 92, 246, 254, 255
ad-condition, 102, 104123
multi-input, 105
weak, 104, 105, 108, 112, 154
adjoint, 37, 39, 103110, 123, 194, 195, 231
adjoint representation, see representation
ane variety, 53, 60, 67, 226, 250252
invariant, 62, 63, 68, 78
singular, 61, 64, 65
algebra
associative, see associative algebra
Lie, see Lie algebra
algebraic geometry, real, 64, 65, 251
algorithm
AlgTree, 82
LieTree, 43, 64, 83, 92, 94, 98
Buchberger, 61
Euclid, GCD, 61
alpha representation, see representation
arc, 236, 238, 239, 247
arc-wise connected, 236
associative algebra, 5, 82, 218
Abelian, 220
conjugate, 219
generators, 220
atlas, 44, 46, 47, 234
attainable set, 22, 23, 32, 47, 67, 92102,
118, 138, 141, 143, 181183, 215
biane systems, 12, 142, 146, 153, 155, 163,
164, 172, 177
controllability, 121126
discrete-time, 142, 158
stabilization, 121
bilinear (2-D) systems, 13
bilinear system
approximation property, 164
inhomogeneous, see control system,
biane
rotated semistable, 91
boost converter, DCDC, 175
Borel subalgebra, 232
Brownian motion, see Wiener process
Campbell-Baker-Hausdor, see Theorem
canonical form
Jordan, 5, 7, 38, 221
real, 222
Carleman approximation, 166
Cartan-Killing form, 89, 180, 232
category, 163
causal, 163, 205, 208
CCK1, see coordinates, rst canonical
CCK2, see coordinates, second canonical
centralizer, z, 222, 233, 255
character, 62, 242
charts, coordinate, 44, 4850, 234, 236, 240
charts, global, 73
chemical reactions, 187
Chen-Fliess series, 203, 206207
compartmental analysis, 172
competition, Verhulst-Pearl model, 174
completed system, 45
complex structure, 256
composition, 233
composition property, 20
composition of maps, 235
concatenation, 17, 152
cone, 250
invariant, 98
Index 277
conjugacy, see similarity
conjugate transpose, 179, 218, 219, 221
Continuation Lemma, 22, 108, 134, 141, 144
control, 9, 10
feedback, 10, 32
open-loop, 10, 11
switching, 9, 201
control set, invariant, see trap
control system
biane, see biane systems
bilinear, 10
linear, 810, 118
linearized, 12
matrix, 55, 56, 181
nonlinear, 21
positive, 168
stabilizable, 85
switching, 13, 174181
time-invariant, 10
variable structure, 12, 32, 176
control system:causal, 10
controllability, 21, 87, 91124
discrete-time, 131141
of bilinear system, 2324
of linear system, 20
of symmetric systems, 34
on positive orthant, 169
controllability matrix, 21, 32, 136138, 157
controllable, see controllability
controllable pair, 21, 125
controlled switching, 174
convex cone, 168
open, 168
convex set, 21
coordinate transformation, 48
linear, 36
coordinates
manifold, 234
rst canonical, 48, 7375
second canonical, 50, 74, 75, 187
coset space, 241
Cremona group, 193
delay operator z, 157
dendrite, Rall model, 173
dense subgroup, 46
derivation, 236, 239
derived series, 74, 232
dieomorphism, 50, 73, 141, 189, 190, 192,
194, 234
of manifolds, 235
dierence equation, 3
dierence equations, 12, 22, 29, see
discrete-time systems, 148, 149, 152
dierential, 233
dierential generator, 214
diusions, 212216
direct product, 245
discrete-time systems, 12, 129144
ane, 6
linear, 32, 156158
discretization, 28
Euler, 29, 143
midpoint, 29
sampled-data, 28, 120
domain
negative, 106
positive, 106
drift term, 11, 93
dynamical polysystem, 13, 14, 192, 239
dynamical system, 2, 238
ane, 6
discrete-time, 3
linear, 24
positive, 168
dynamics, 3
linear, 3
economics, 168
eigenvalues, 219
embedding, regular, 235
endpoint map, 238
enzyme kinetics, 172, 173
equilibrium, 24
stable, 7
unstable, 7
equivalence, C
, 190
euclidean motions, 184
Euler angles, 75
Euler operator, 57
events, probabilistic, 209
exponent
Floquet, 28
Lyapunov, 27, 28, 180, 212
exponential polynomial, 5
feedback control, 11, 85
eld
complex, C, 217
quaternion, 1, 253
rationals, Q, 217
real, 1, 217
nite escape time, 3, 117, 238
Flatten, 223
ow, 28, 237, 238
formal power series
rational, 207, 208
frames on 1
n
, 24, 72
278 Index
gauge function, 25, 26, 91, 95, 114, 130, 141,
171
GCD, greatest common divisor, 61
generators, 220
generic, 59, 155
rank, 58, 60, 64, 68
good at, 56
Grbner basis, see ideal, polynomial
group, 16, 240
Abelian, 243
algebraic, 53
analytic, 242
complex Lie, 45
diagonal, 54
fundamental,
1
, 93
general linear, 19
Lie, 3666, 242
matrix, 1920, 24
matrix Lie, 45, 244
simple, see simple
solvable, 121
special linear, 54
special orthogonal, 54
special unitary, 77
topological, 241
transition matrices, 33
transitive, 34
unipotent, 74
upper triangular, 54
Hausdor space, 234, 245
Heisenberg algebra, 227
helicoid surface, 23
homogeneous function, 57, 113
homogeneous space, 71, 79, 245
homomorphism, 19
group, 241
semigroup, 16
Hurwitz property, see matrix
hybrid systems, 178
hypersurface system, 101
ideal
Lie algebra, 71, 228
zero-time, 94, 95
ideal, polynomial, 60, 249
basis, 61
Grbner basis, 61, 64, 66, 94
radical, 61, 251
real radical, 105, 251
identication of system parameters, 156
independence, stochastic, 209, 211, 212,
215
index
polynomial, 15
indistinguishable, 152
inner product, 254
input, 9
concatenated, 17
generalized, 205, 206
history, 10, 14, 28
locally integrable, [J, 18, 203
piecewise constant, 9, 33, 35, 50, 150
piecewise continuous, 9
piecewise continuous, /(, 14, 18, 164
stochastic, 213
switching, 13
universal, 152, 154
input history, 140
input-output
mapping, 156, 158, 160, 162, 164
relation, 146, 156
intertwining equation, 190, 240
invariant
function, 56
linear function, 57
polynomial, 5557, 62
relative, 56
set, 26
subset, 24, 34
subspace, 9, 57
variety, 63
involutive, see real-involutive
irreducible, 222, 255
isomorphism
group, 241
Lie algebra, 228, 240, 259
Lie group, 242
isotropy
subalgebra, 72, 83
subgroup, 71, 79
Jacobi axioms, 35, 227
Jacobian Conjecture, 193
Jordan canonical, see canonical form
Jordan decomposition, 196
JQ system, 110, 111113
Jurdjevic-Quinn systems, see JQ system
Kalman criterion
controllability, 21, 122, 181
observability, 145, 181
Killing form (X, Y), see Cartan-Killing
form
Kolmogorov
axioms for probability, 209
backward equation, 202, 211
Index 279
backward operator, see dierential
generator
Kronecker delta, 6, 217
Kronecker power, 224
Kronecker product, 130, 133, 222225, 254
Kronecker sum, 31
LARC matrix, 58, 59, 60, 62, 64
LARC, Lie algebra rank condition, 34, 58,
104, 123, 170
LaSalles invariance principle, 26, 110, 115
left-invariant, see vector eld
lexicographic (lex) order, 249
Lie algebra, 33, 227233
orthonormal basis, 47
Abelian, 227
ane, 122
center of, 38, 233, 256
compact, 255
derived, 56, 232
direct sum, 228
exceptional, 258
free, 40, 229
generated, 4043, 194, 228
generators, 40
homomorphism, 228
isomorphic, 36
nilpotent, 74, 76, 232
of a Lie group, 242, 243
orthogonal, 37, 57, 59
rank condition, see LARC
reductive, 81, 233, 255
semisimple, see semisimple
solvable, 74, 75, 82, 90, 187, 232
special linear, 36
transitive, 253260
Lie bracket, 3435, 227
vector eld, 239
Lie derivative, 26
Lie group, see group, Lie
Lie monomials, 40, 229
left normalized, 41, 42
standard, 229
Lie saturate, 118
Lie subgroup, 244
Lie wedge, 121
Lie, S., 33
LieWord, 43, 81
local rank condition, 141
locally integrable, [J, 9, 21, 148, 203205
Lyapunov equation, 8, 26, 107
discrete-time, 130
Lyapunov function, 25, 27, 177
quadratic, 109, 180
Lyapunov spectrum, 27
Lyapunovs direct method, 7, 106, 133
machine (in a category), 163
manifold, 26, 36, 4447, 55, 71, 72, 168, 184,
213, 234236
mass action, 173
Mathematica, 65
scripts, 43, 66, 68, 106, 126, 127
matrix, 217219
analytic function, 46
augmented, 64
cyclic, 21
elementary, 36
exponential, 430
Hankel, 157163
Hermitian, 218
Hurwitz, 7, 8, 29, 87
Metzler, 169
neutral, 99109
nilpotent, 130, 196, 220
non-negative, 17
orthogonal, 218
Pauli, 78
pencil, 86
permutation-reducible, 119
positive, 169
Schur-Cohn, 131
skew-Hermitian, 78, 218
skew-symmetric, 99, 218
strongly regular, 170
strongly regular, 97, 98, 119
symmetric, 218
totally positive, 97
transition, 1424
transition (discrete), 132135
triangular, 5, 17, 31, 90, 220, 223, 232
unipotent, 220
unitary, 218, 221
matrix control system, 14, 33, 35, 50, 67
matrix Lie algebra, 229
conjugacy, 36, 228
matrix logarithm, 6, 48
minor, 60, 62, 63, 94, 218
positive, 95, 97
principal, 7, 218
module, (^
n
), 236
monoid, 16, 96
multi-index, 194, 249
negative denite, 7, 26, 107
negative denite , 25
neutral, see matrix
nil radical, 232
280 Index
nilpotent Lie algebra, see Lie algebra
non-resonance, 191
norm
Frobenius, 47, 219, 223
operator, 3, 219
uniform, 215
vector, 219
nullity of ad
A
, 38
nullspace, 38, 57, 136, 217
numerical methods, see discretizations
observability, 149
of bilinear systems, 148, 150, 158
observability Gram matrix, 153
observability matrix, O(C; A), 145
observable dynamical system, 145, 149
observable pair, 145, 149
octonions, 259
operator
adjoint, see adjoint
Euler, 27
Lyapunov, 8, 223
Sylvester, 8, 223
optimal control, 182183
orbit, 238
of group, 3457, 245
of semigroup, 86
zero-time, 94, 95
order, lexicographic, 195, 206, 218
output feedback, 10
output history, 149
output mapping, 9
output tracking, 184
parameter estimation, 168
Partition, 44
path planning, 184, 238
Peano-Baker series, 15, 164
Philip Hall basis /1(r), 229
polynomial
characteristic, 87, 89, 219
Hurwitz, 87
minimum, 5, 221
polysystem, see dynamical polysystem
positive denite, 7, 25, 61, 64, 116, 130, 179
positive systems, 167174
discrete, 135
prehomogeneous vector space, 78
probability space, 209
problems, 16, 32, 67, 72, 79, 82, 83, 101, 102,
109, 111, 115, 138, 180, 200, 259
product integral, 14
proper rational function, 157
pullback formula, 38, 51, 103
punctured space, 23
transitivity on, 24
Q-ball, 108
quantum mechanics, 186187
quasicommutativity, 125
quaternions, 55, 253
pure, 254, 259
radially unbounded, 26
range, 8, 144, 217
rank
Lie, 5868
of a matrix, 37, 43, 58
of mapping, 235
rank-one controls, 136
continuous-time, 181
reachability matrix, R, 159162
reachable, 21, see span-reachable
reachable set, see attainable set
real-analytic, 40, 44, 48, 49, 55, 56, 234242
real-involutive, 36, 40, 42, 51
realization
minimal, 158
of input-output relation, 145, 155, 156,
164
realization, group, 78, 243
representation, group, 78, 242, 245, 255
adjoint, 38, 55, 62
representation, Lie algebra, 6871, 229,
245, 253259
(alpha), 44, 67, 78, 253
(beta), 253
adjoint, 38, 231
faithful, 37, 229, 233, 255, 257
representation, semigroup, 18
resonance, 7, 130, 221
right-invariant, see vector eld
sans-serif type, 2
Schurs Lemma, 222, 255
Schur-Cohn, 180
semi-ow, 3, 237, 238
semidenite, 25, 26, 27, 150, 151
semidirect product, 122, 184, 245
semidirect sum, 245
semigroup, 16, 18, 40
concatenation, 17, 18, 203206
discrete parameter, 130, 132
discrete-time, 134
Lie, 118
matrix S, 16
topological, 203
transition matrices, S
, 18, 86
Index 281
with P
d
property, 96
semiorbit, 238
semisimple, 78, 81, 82, 233, 256
shue, 147, 209
sigma-algebra, 209
sign pattern, 7
signature, 37, 57, 134
similarity, 218, 219, 225, 231
invariants, 89
simple, 255258
algebra of Lie group, 244
group, 241
Lie algebra, 233
Singular, 65
sliding mode, 176177
small-controllable, 106
smooth, 234
solvable, see Lie algebra
span-reachable, 156, 158, 159, 162
spectrum, 195, 219
in unit disc, 131
Lyapunov, 211
stability
asymptotic, 25, 26, 27
basin of, 26, 85, 109, 125
by feedback, 32
exponential, 7
globally asymptotic, 26
neutral, 7
UES, uniform exponential stability, 178,
180
uniform under switching, 178
stability subgroup, 71
stabilization, 85
by constant feedback, 8791
by state feedback, 109115
practical, 115117
stabilizer, see isotropy
state space, 2
step function, 15
stochastic bilinear systems, 168, 210216
strong accessibility, see accessibility
structure tensor, 231
subalgebra
associative, 219, 221
isotropy, 246, 259
Lie, 36, 228246
subgroup
arc-wise connected, 247
closed, 46, 52, 71
connected, 20
dense, 46
isotropy, 246
Lie, 244
normal, 94, 241
one-parameter, 19
submanifold, 235
subsemigroup, 16
subspace
u-observable, 152
unobservable, 152
successor, 3, 131, 139
switching
autonomous, 176
controlled, 178
hybrid, 178
Sylvester criterion, 7
Sylvester equation, 8, 224
symmetric bilinear systems, 11, 58
symmetric bilinear systems, 33
system composition
cascade, 147
parallel, 146
product, 147
tangent bundle, 237
tangent space, 237
Theorem
Ado, 232
Ascoli-Arzela, 204
BJKS, 124, 142
Boothby A, 63
Boothby B, 255
CairnsGhys, 201
Campbell-Baker-Hausdor, 3948
Cartan solvability, 233
Cayley-Hamilton, 220
Correspondence, 246
EnestrmKakeya, 131
existence of log, 221
Generic Transitivity, 80
Grasselli-Isidori, 152
Hrmander, 214
Hilberts Basis, 250
Inverse Function, 236
JurdjevicSallet, 124, 142
Kuranishi, 81
Lie, solvable algebras, 90, 232
M. Hall, 229
Malcev, 53
Morrey, 236
Poincar, 190
Rank, 234
Rectication, 190
Schur, 196, 221
Stone-Weierstrass, 208
Whitney, 235
Whitney Embedding, 236
282 Index
Yamabe, 247
time-set, 2, 9, 238
time-shift, 9
time-variant bilinear system, 11
topology
group, 241
matrix norm, 219
of subgroup, 243
of tangent bundle, 237
product, 215
uniform convergence, 204, 208
weak, 204, 205
Zariski, 252
trajectory, 56, 237
concatenation, 239
controlled, 21
transition mapping, 4
real-analytic, 189201
transition mapping, 2, 3, 14, 24
on a manifold, 238
transition matrix, see matrix, transition
transitivity, 92, 241, 257260
Lie algebra, 54, 65
Lie group, 5483
on 1
n
, 24
weak, 58, 69, 79
translation, 45, 48, 52, 242, 243
trap, 94, 135, 139, 171
triangular, see matrix
triangularization, simultaneous, 90
Trotter product formula, 246
UES, uniform exponential stability, 180
unit, of semigroup, 17, 18
variety, see ane variety
vector bundle, 28
vector eld, 26
C