EE263 Autumn 2010-11

Stephen Boyd

Lecture 1 Overview
course mechanics outline & topics what is a linear dynamical system? why study linear systems? some examples

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Course mechanics

all class info, lectures, homeworks, announcements on class web page: www.stanford.edu/class/ee263

course requirements: weekly homework takehome midterm exam (date TBD) takehome nal exam (date TBD)

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Prerequisites

exposure to linear algebra (e.g., Math 103) exposure to Laplace transform, dierential equations

not needed, but might increase appreciation: control systems circuits & systems dynamics

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Major topics & outline

linear algebra & applications autonomous linear dynamical systems linear dynamical systems with inputs & outputs basic quadratic control & estimation

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Linear dynamical system

continuous-time linear dynamical system (CT LDS) has the form dx = A(t)x(t) + B(t)u(t), dt where: t R denotes time x(t) Rn is the state (vector) u(t) Rm is the input or control y(t) Rp is the output
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y(t) = C(t)x(t) + D(t)u(t)

 A(t) Rnn is the dynamics matrix B(t) Rnm is the input matrix C(t) Rpn is the output or sensor matrix D(t) Rpm is the feedthrough matrix for lighter appearance, equations are often written x = Ax + Bu, y = Cx + Du

CT LDS is a rst order vector dierential equation also called state equations, or m-input, n-state, p-output LDS

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Some LDS terminology

most linear systems encountered are time-invariant: A, B, C, D are constant, i.e., dont depend on t when there is no input u (hence, no B or D) system is called autonomous very often there is no feedthrough, i.e., D = 0 when u(t) and y(t) are scalar, system is called single-input, single-output (SISO); when input & output signal dimensions are more than one, MIMO

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Discrete-time linear dynamical system

discrete-time linear dynamical system (DT LDS) has the form x(t + 1) = A(t)x(t) + B(t)u(t), where t Z = {0, 1, 2, . . .} (vector) signals x, u, y are sequences y(t) = C(t)x(t) + D(t)u(t)

DT LDS is a rst order vector recursion

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Why study linear systems?

applications arise in many areas, e.g. automatic control systems signal processing communications economics, nance circuit analysis, simulation, design mechanical and civil engineering aeronautics navigation, guidance

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Usefulness of LDS

depends on availability of computing power, which is large & increasing exponentially used for analysis & design implementation, embedded in real-time systems like DSP, was a specialized topic & technology 30 years ago

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Origins and history

parts of LDS theory can be traced to 19th century builds on classical circuits & systems (1920s on) (transfer functions . . . ) but with more emphasis on linear algebra rst engineering application: aerospace, 1960s transitioned from specialized topic to ubiquitous in 1980s (just like digital signal processing, information theory, . . . )

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Nonlinear dynamical systems

many dynamical systems are nonlinear (a fascinating topic) so why study linear systems? most techniques for nonlinear systems are based on linear methods methods for linear systems often work unreasonably well, in practice, for nonlinear systems if you dont understand linear dynamical systems you certainly cant understand nonlinear dynamical systems

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Examples (ideas only, no details)

lets consider a specic system x = Ax, y = Cx

with x(t) R16, y(t) R (a 16-state single-output system) model of a lightly damped mechanical system, but it doesnt matter

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typical output:
3 2 1

0 1 2 3 0 50 100 150 200 250 300 350

3 2 1

0 1 2 3 0 100 200 300 400 500 600 700 800 900 1000

t output waveform is very complicated; looks almost random and unpredictable well see that such a solution can be decomposed into much simpler (modal) components
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0.2 0 0.2 0 1 0 1 0 0.5 0 0.5 0 2 0 2 0 1 0 1 0 2 0 2 0 5 0 5 0 0.2 0 0.2 0 50 100 150 50 100 150 50 100 150 50 100 150 50 100 150 50 100 150 50 100 150

t
200 250 300 350

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(idea probably familiar from poles)

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Input design
add two inputs, two outputs to system: x = Ax + Bu, y = Cx, x(0) = 0

where B R162, C R216 (same A as before) problem: nd appropriate u : R+ R2 so that y(t) ydes = (1, 2) simple approach: consider static conditions (u, x, y constant): x = 0 = Ax + Bustatic, solve for u to get: ustatic = CA1B
1

y = ydes = Cx

ydes =

0.63 0.36

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lets apply u = ustatic and just wait for things to settle:

0

u1

0.2 0.4 0.6 0.8 1 200 0 200 400 600 800

1000

1200

1400

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0.4

u2

0.3 0.2 0.1 0 0.1 200 2 1.5 0 200 400 600 800

1000

1200

1400

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y1

1 0.5 0 200 0 200 400 600 800

1000

1200

1400

1600

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y2

1 2 3 4 200 0 200 400 600 800 1000 1200 1400 1600 1800

. . . takes about 1500 sec for y(t) to converge to ydes

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using very clever input waveforms (EE263) we can do much better, e.g.
0.2 0

u1

0.2 0.4 0.6 0 10 20

30

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50

60

0.4

u2

0.2 0 0.2

10

20

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60

y1

0.5 0 0.5

10

20

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50

60

y2

0.5 1 1.5 2 2.5 0 10 20

30

40

50

60

. . . here y converges exactly in 50 sec

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in fact by using larger inputs we do still better, e.g.

5

u1

5 5

10

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25

1 0.5

u2

0 0.5 1 1.5 5 2 1 0 5 10

15

20

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y1

0 1 5 0 5 10 15 20 25

0 0.5

y2

1 1.5 2 5 0 5 10

15

20

25

. . . here we have (exact) convergence in 20 sec

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in this course well study how to synthesize or design such inputs the tradeo between size of u and convergence time

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Estimation / ltering

H(s)

A/D

signal u is piecewise constant (period 1 sec) ltered by 2nd-order system H(s), step response s(t) A/D runs at 10Hz, with 3-bit quantizer

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u(t)

0 1 1.5

10

s(t)

1 0.5 0 1 0 1 2 3 4 5 6 7 8 9 10

w(t)

0 1 1

10

y(t)

0 1

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t problem: estimate original signal u, given quantized, ltered signal y

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simple approach: ignore quantization design equalizer G(s) for H(s) (i.e., GH 1) approximate u as G(s)y . . . yields terrible results

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formulate as estimation problem (EE263) . . .

1

u(t) (solid) and u(t) (dotted)

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

10

t RMS error 0.03, well below quantization error (!)

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