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Consider the homogeneous system of first-order differential equations

show that (8) has a unique solution through x(t0 ) = a on every bounded

interval containing t0 and for all a ∈ Rn .

Let Φk (t, t0 ), k = 1, 2, . . . , n, be the unique solutions of (8) with initial

conditions

1 0 0

0 1 0

x(t0 ) = 0 , x(t0 ) = 0 , · · · , x(t0 ) = 0

.. .. ..

. . .

0 0 1

Then we have

(

∂Φ

∂t

(t, s)

= A(t)Φ(t, s)

.

Φ(s, s) = I

Since

1 0 0

0 1 0

a = a1 0 + a2 0 + · · · + an 0 ,

.. .. ..

. . .

0 0 1

9

10 2. LINEAR STATE EQUATIONS

by the superposition principle, the system (8) with x(t0 ) = a has the

solution

x(t) = a1 Φ1 (t, t0 ) + a2 Φ2 (t, t0 ) + · · · + an Φn (t, t0 )

that is

x(t) = Φ(t, t0 )a.

(1) Φ(t, s) = Φ(t, τ )Φ(τ, s) for all (t, s, τ ) as illustrated by the com-

mutative diagram

Φ(τ,s)

X −→ X

Φ(t, s) ց ↓ Φ(t, τ )

X

Proof. Consider the unique solution of

( x2

x (τ)

ẋ(σ) = A(σ)x(σ) a x(t)

x(s) = a s τ t t

x1

Then, as illustrated in the figure x(t) = Φ(t, s)a, x(t) = Φ(t, τ )x(τ )

and x(τ ) = Φ(τ, s)a, and hence

Φ(t, τ )Φ(τ, s)a = Φ(t, s)a.

that is

[Φ(t, τ )Φ(τ, s) − Φ(t, s)]a = 0

Since this must hold for all a ∈ Rn property (1) follows.

(2) Φ(t, s) is nonsingular, and Φ(t, s)−1 = Φ(s, t).

Proof. This follows immediately from

(9) Φ(t, s)Φ(s, t) = I

which is a consequence of property (1).

∂Φ

(3) ∂s

(t, s) = −Φ(t, s)A(s).

Proof. Differentiating (9) with respect to s yields that

∂Φ

(t, s)Φ(s, t) + Φ(t, s)A(s)Φ(s, t) = 0

∂s

Since Φ(s, t) is nonsingular, property (3) follows.

2.1. SYSTEMS OF LINEAR DIFFERENTIAL EQUATIONS 11

(

ẋ(t) = A(t)x(t) + B(t)u(t)

.

x(t0 ) = a

(

ż = Φ(t0 , t)B(t)u(t)

so that

z(t0 ) = a

and therefore,

Z t

z(t) = a + Φ(t0 , s)B(s)u(s)ds,

t0

Z t

x(t) = Φ(t, t0 )a + Φ(t, s)B(s)u(s)ds.

t0

Φ(t, s).

X(t) is nonsingular for all t and

Φ(t, s) = X(t)X(s)−1 .

Proof. Since C and Φ(t, s) are nonsingular (Property 2), then so is X(t) =

Φ(t, t0 )C and hence

12 2. LINEAR STATE EQUATIONS

becomes much simpler in that it can be expressed in terms of the matrix

exponential.

P∞ 1

Definition 2.1.2. eA = k

k=0 k! A .

PN

Note that, since k=0 k!1 kAkk ≤ ekAk < ∞, the sum converges.

We collect some properties of matrix exponentials. The proofs are left

for readers as exercises.

(1) If D = diag (λ1 , λ2 , . . . , λn ), eD = diag (eλ1 , eλ2 , . . . , eλn );

(2) eP AP = P −1 eA P ;

−1

eA+B .

(4) (eA )−1 = e−A ;

d At

(5) dt

e = AeAt = eAt A;

X(t) = eAt

ẋ = Ax

that is

ẋ = Ax + Bu

becomes

Z t

A(t−t0 )

x(t) = e x(t0 ) + eA(t−s) Bu(s)ds.

t0

2.2. SYSTEMS OF LINEAR DIFFERENCE EQUATIONS 13

Remark 2.1.3. One might ask whether (10) can be generalized to the

time-varying case, i.e. is it true that

Z t

(11) Φ(t, s) = exp{ A(τ )dτ }

s

when A(t) is time varying? The answer is that a sufficient condition for

Rt

(11) to hold is that A(t) and s A(τ )dτ commute.

The corresponding analysis for discrete-time system is quite analogous.

In fact, considering the following discrete-time system

x(t + 1) = A(t)x(t),

Φ(t + 1, s) = A(t)Φ(t, s)

Φ(t, t) = I.

and Φ(t, s) is defined for t < s only if Φ(s, t) is invertible, i.e. A(k)−1 for

k = s, s + 1, . . . , t − 1. In this case, Φ(t, s) = Φ(s, t)−1 . In addition Φ(t, s)

has the following properties.

(1) Φ(t, s) = Φ(t, τ )Φ(τ, s);

(2) Φ(t, s − 1) = Φ(t, s)A(s − 1)

becomes

t−1

X

x(t) = Φ(t, s)x(s) + Φ(t, σ + 1)B(σ)u(σ).

σ=s

Φ(t, s) = At−s

is invertible if and only if A−1 exists. Note that eAt in continuous time

corresponds to At in discrete time. Here lies one of the fundamental

differences between the continuous-time and discrete-time setting. Indeed

eAt is never singular, whereas At might be.

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