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In this section, we discuss linear time-varying systems represented by the block diagram shown below.
u (t )
B (t )
x (t )
()d
A(t )
x(t )
C (t )
+ +
y (t )
D(t )
That is,
(4.14)
where x(t ) R , u (t ) R , y (t ) R , and A, B, C , D have piecewise continuous entries. 4.3.1 Homogeneous Differential Equation
(4.15)
The set of all solutions of x(t ) = A(t ) x(t ), x(t0 ) = x0 forms an n -dimensional vector space over
R.
Proof: First, we show that the set of solutions forms a linear space over R . Let x1 (), x2 () be two distinct solutions of (4.15) (with distinct initial states.) Then,
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d d d [1 x1 (t ) + 2 x2 (t )] = 1 x1 (t ) + 2 x2 (t ) dt dt dt = 1 A(t ) x1 (t ) + 2 A(t ) x2 (t )
= A(t ) [1 x1 (t ) + 2 x2 (t ) ] , 1 , 2 R
Next, we show that the solution space has dimension n . Let xi () be solutions of (4.15) with
xi (t0 ) = ei , i = 1, , n (the canonical unit vectors in R n .) We shall show that these solutions are
linearly independent and that every solution can be expressed as a linear combination of { xi ()}i =1 .
n
At t = t0 :
i xi (t0 ) = = i ei
i =1 i =1
which implies that {ei }i =1 are linearly dependent, clearly a contradiction. Hence { xi ()}i =1 are linearly
n n
independent. Let x() be a solution to the homogeneous differential equation (4.15), with x(t0 ) = e . Then, e R can be written as a linear combination of the basis vectors {ei }i =1 :
n n
e = i ei , i R
i =1
x () .
i =1 i i
Definition: Fundamental Matrix A fundamental set of solutions of x(t ) = A(t ) x(t ), x(t0 ) = x0 is any set { xi ()}i =1 such that for some
n
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An n n matrix function of t , () is said to be a fundamental matrix for x (t ) = A(t ) x(t ) if the n columns of () consist of n linearly independent solutions of x (t ) = A(t ) x(t ) , i.e.,
1 (t ) = A(t ) 1 (t ) n (t ) = A(t ) n (t )
where
n { i (t0 )}i =1 forms a basis for ( R n , R ) , and (t ) = [ 1 (t ) n (t )]
0 0 x(t ) = x(t ) t 0
That is, x1 (t ) = 0 , x2 (t ) = tx1 (t ) . The solution is:
x1 (t ) = x1 (t0 ) , and x2 (t ) =
Let t0 = 0 and
1 (0) = = 1 . x (0) 1
2
x (0)
Then
1 (t ) = . 1
Let
2 (0) = = 1 . x (0) 0
2
x (0)
Then
0 2 (t ) = 2 1 t
Proposition: An n n matrix () is a fundamental matrix for x (t ) = A(t ) x(t ) iff it satisfies
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Proposition:
N { (t )} is invariant t T .
Proof: Suppose u N { (t1 )} , for some t1 T . We show that u N { (t )} , t T . Let
x(t ) = (t )u . Since x() is a trajectory, x(t1 ) = . But the null trajectory x(t ) = , t T passes through the point x(t1 ) = , and by uniqueness, x(t ) = , t T is the only possible trajectory.
Therefore,
x(t ) = (t )u = , t T
u N { (t )} , t T
Note that for every initial condition, there exists one state trajectory. Consider the fundamental matrix (t ) = Theorem: The vectors
[ 1 (t )
n
n (t ) ] .
t T .
Proof:
{ i (t )}i =1
n
{ i (t )}i =1
n
{ i (t )}i =1 forms a basis at some t0 T N { (t )} = { } at t0 T n all t T (by above proposition) { i (t )}i =1 forms a basis for all t T .
n
N { (t )} = { } for
1 (t ) exists t T ,
N { (t )} = { } , t T 1 (t ) exists, t T
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Definition: State Transition Matrix The state transition matrix (t , t0 ) associated with the system x (t ) = A(t ) x(t ) is that matrix-valued function of t , t0 which: (1) Solves the matrix differential equation: (t , t0 ) = A(t ) (t , t0 ), t T , t0 T , (2) Satisfies (t0 , t0 ) = I , t0 T . Proposition: Let () be a fundamental matrix satisfying (t0 ) = I . Then (t , t0 ) = (t ) . Proof: Follows directly from the above definition.
Proposition: Let () be any fundamental matrix of x (t ) = A(t ) x(t ) . Then (t , t0 ) = (t ) (t0 ), t , t0 T . Proof: We have (t0 , t0 ) = (t0 ) (t0 ) = I , t0 T . Moreover,
1 1
Proposition: The solution of x(t ) = A(t ) x(t ), x(t0 ) = x0 is given by x(t ) = (t , t0 ) x0 , t T . Proof: The initial state is x(t0 ) = (t0 , t0 ) x0 = x0 . Next, we need to check that x(t ) satisfies the differential equation: x(t ) = (t , t0 ) x0 = A(t ) (t , t0 ) x0 = A(t ) x (t ), t T .
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x1
(t1 , t0 ) x0 (t0 , t0 ) x0
t0
t1
(t , t1 ) x0
t t
x2
(3) (t , t0 )
1 1 1 = (t ) (t0 ) = (t0 ) (t ) = (t0 , t ) , 1
(4)
(5) If (t , t0 ) is the state transition matrix of x (t ) = A(t ) x(t ) , then (t0 , t ) is the state transition matrix of the system z (t ) = A (t ) z (t ) .
T
(6) det (t , t0 ) = e
t Tr{ A( )}d
0
Tr{A( )}d
t0
is finite.
(t , t0 ) = I + A( 1 )d 1 + A( 1 ) A( 2 )d 2 d 1 + A( 1 ) A( 2 ) A( 3 )d 3 d 2 d 1 +
t0 t0 t0 t0 t0 t0
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t0
(t , t0 ) = I + A( 1 )d 1 + A( 1 ) A( 2 )d 2 d 1 + A( 1 ) A( 2 ) A( 3 )d 3 d 2 d 1 +
t0 t0 t0 t0 t0 t0 t t 1 t 1 2 = I + A( 1 )d 1 + A( 2 )d 2 A( 1 ) d 1 + A( 3 )d 3 A( 2 ) d 2 A( 1 ) d 1 + t0 t0 t0 t0 t0 t0
= I + A( 1 )d 1 +
t0
2 2 1 t d 1 d + 1 t 1 d 2 A( )d d A( ) d + A ( ) d 2 2 1 3 3 2 1 1 t0 t0 2 t0 d 1 2 t0 t0 d 2
2 2 t 1 t 1 t 1 = I + A( )d + A( )d + A( 2 )d 2 A( 1 )d 1 + t0 2 t0 t0 t0 2 3 2 t 1 t 1 1 t d 1 = I + A( )d + A( )d + A( 2 )d 2 d 1 + t t t0 t 2 3 0 d 1 0 2 0 2 3 t 1 t 1 1 t = I + A( )d + A( )d + A( )d + t0 2 3 t0 t0 2 k 1 t A ( ) d = A( )d = e t0 t 0 k =0 k ! +
t
k 1 t A( )d + t0 k!
and
we
t
0
can
check
t
0
that
this
transition
t
0
matrix
satisfies
the
differential
equation
d t e dt
A ( ) d
=e t
A ( ) d
A(t ) = A(t )e t
A( ) d
The commutative property holds if A(t ) is a diagonal, or constant matrix. Note that in general,
e Ae B e A+ B , A, B R n unless the matrices commute, i.e., AB = BA . (this can be shown by multiplying the series expansions A B of e , e .)
4.3.1.2 Time-Invariant Case
Consider the time-invariant differential equation:
(4.16)
(t , t0 ) = (t t0 , 0) =: (t t0 )
and
(t ) = A (t ), (0) = I , t T .
Using the unilateral Laplace transform, we obtain:
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Thus, one can obtain the state transition matrix of an LTI space-space system by taking the inverse Laplace transform (entry-by-entry) of ( sI A) .
1
1 k A (t t0 ) k + k! A ( t t0 ) and the series converges uniformly and absolutely to (t , t0 ) = e on every finite interval.
(t , t0 ) = I + A(t t0 ) +
1 2 A (t t0 ) 2 + 2
(2)
d At e = e At A = Ae At , dt
A ( t t0 )
x0 . We have
(t , t0 ) = (t ) 1 (t0 ) = e At e At0 = e A( t t0 ) .
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