Lyapunov

EE363
Winter 2008-09
Lecture 12 Basic Lyapunov theory

stability positive denite functions global Lyapunov stability theorems Lasalles theorem converse Lyapunov theorems nding Lyapunov functions
121
Some stability denitions

we consider nonlinear time-invariant system x = f (x), where f : Rn Rn a point xe Rn is an equilibrium point of the system if f (xe) = 0 xe is an equilibrium point x(t) = xe is a trajectory suppose xe is an equilibrium point system is globally asymptotically stable (G.A.S.) if for every trajectory x(t), we have x(t) xe as t (implies xe is the unique equilibrium point) system is locally asymptotically stable (L.A.S.) near or at xe if there is an R > 0 s.t. x(0) xe R = x(t) xe as t
Basic Lyapunov theory
122
often we change coordinates so that xe = 0 (i.e., we use x = x xe) a linear system x = Ax is G.A.S. (with xe = 0) i(A) < 0, i = 1, . . . , n a linear system x = Ax is L.A.S. (near xe = 0) i(A) < 0, i = 1, . . . , n (so for linear systems, L.A.S. G.A.S.) there are many other variants on stability (e.g., stability, uniform stability, exponential stability, . . . ) when f is nonlinear, establishing any kind of stability is usually very dicult
123
Energy and dissipation functions

consider nonlinear system x = f (x), and function V : Rn R : Rn R as V (z ) = V (z )T f (z ) we dene V (z ) gives d V (x(t)) when z = x(t), x = f (x) V dt as the we can think of V as generalized energy function, and V associated generalized dissipation function
124
Positive denite functions

a function V : Rn R is positive denite (PD) if V (z ) 0 for all z V (z ) = 0 if and only if z = 0 all sublevel sets of V are bounded last condition equivalent to V (z ) as z
example: V (z ) = z T P z , with P = P T , is PD if and only if P > 0
125
Lyapunov theory
Lyapunov theory is used to make conclusions about trajectories of a system x = f (x) (e.g., G.A.S.) without nding the trajectories (i.e., solving the dierential equation) a typical Lyapunov theorem has the form: if there exists a function V : Rn R that satises some conditions on V and V then, trajectories of system satisfy some property if such a function V exists we call it a Lyapunov function (that proves the property holds for the trajectories) Lyapunov function V can be thought of as generalized energy function for system
126
A Lyapunov boundedness theorem

suppose there is a function V that satises all sublevel sets of V are bounded (z ) 0 for all z V then, all trajectories are bounded, i.e., for each trajectory x there is an R such that x(t) R for all t 0
in this case, V is called a Lyapunov function (for the system) that proves the trajectories are bounded
127
to prove it, we note that for any trajectory x

t
V (x(t)) = V (x(0)) +
0
(x( )) d V (x(0)) V
so the whole trajectory lies in {z | V (z ) V (x(0))}, which is bounded also shows: every sublevel set {z | V (z ) a} is invariant
128
A Lyapunov global asymptotic stability theorem

suppose there is a function V such that V is positive denite (z ) < 0 for all z = 0, V (0) = 0 V then, every trajectory of x = f (x) converges to zero as t (i.e., the system is globally asymptotically stable)
intepretation: V is positive denite generalized energy function energy is always dissipated, except at 0
129
Proof
suppose trajectory x(t) does not converge to zero.
V (x(t)) is decreasing and nonnegative, so it converges to, say, as t .

Since x(t) doesnt converge to 0, we must have > 0, so for all t, V (x(t)) V (x(0)).
C = {z | V (z ) V (x(0))} is closed and bounded, hence compact. So V = a < 0. Since (assumed continuous) attains its supremum on C , i.e., supzC V (x(t)) a for all t, we have V V (x(T )) = V (x(0)) + Z
T 0
(x(t)) dt V (x(0)) aT V
which for T > V (x(0))/a implies V (x(0)) < 0, a contradiction. So every trajectory x(t) converges to 0, i.e., x = f (x) is G.A.S.
1210
A Lyapunov exponential stability theorem

suppose there is a function V and constant > 0 such that V is positive denite (z ) V (z ) for all z V then, there is an M such that every trajectory of x = f (x) satises x(t) M et/2 x(0) (this is called global exponential stability (G.E.S.))
V gives guaranteed minimum dissipation rate, proportional idea: V to energy
1211
Example
consider system x 1 = x1 + g (x2), where |g (u)| |u|/2, |h(u)| |u|/2 two rst order systems with nonlinear cross-coupling 1 s+1 g () x2 1 s+1 x1 h() x 2 = x2 + h(x1)
1212
lets use Lyapunov theorem to show its globally asymptotically stable

2 we use V = (x2 + x 1 2 )/2
required properties of V are clear (V 0, etc.) : lets bound V V = x1x 1 + x2x 2

2 = x2 1 x2 + x1 g (x2 ) + x2 h(x1 ) 2 x2 1 x2 + |x1 x2 | 2 + x (1/2)(x2 2) 1
= V
2 2 where we use |x1x2| (1/2)(x2 1 + x2 ) (derived from (|x1 | |x2 |) 0)
we conclude system is G.A.S. (in fact, G.E.S.) without knowing the trajectories
Basic Lyapunov theory 1213
Lasalles theorem
Lasalles theorem (1960) allows us to conclude G.A.S. of a system with 0, along with an observability type condition only V we consider x = f (x) suppose there is a function V : Rn R such that V is positive denite (z ) 0 V (w) = 0 is w(t) = 0 for all t the only solution of w = f (w), V then, the system x = f (x) is G.A.S.
1214
last condition means no nonzero trajectory can hide in the zero dissipation set unlike most other Lyapunov theorems, which extend to time-varying systems, Lasalles theorem requires time-invariance
1215
A Lyapunov instability theorem

suppose there is a function V : Rn R such that (z ) 0 for all z (or just whenever V (z ) 0) V there is w such that V (w) < V (0) then, the trajectory of x = f (x) with x(0) = w does not converge to zero (and therefore, the system is not G.A.S.)
to show it, we note that V (x(t)) V (x(0)) = V (w) < V (0) for all t 0 but if x(t) 0, then V (x(t)) V (0); so we cannot have x(t) 0
1216
A Lyapunov divergence theorem

suppose there is a function V : Rn R such that (z ) < 0 whenever V (z ) < 0 V there is w such that V (w) < 0 then, the trajectory of x = f (x) with x(0) = w is unbounded, i.e., sup x(t) =
t0
(this is not quite the same as limt x(t) = )
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Proof of Lyapunov divergence theorem

let x = f (x), x(0) = w. lets rst show that V (x(t)) V (w) for all t 0. if not, let T denote the smallest positive time for which V (x(T )) = V (w). then over (x(t)) < 0, and so [0, T ], we have V (x(t)) V (w) < 0, so V
Z
the lefthand side is also equal to
T 0
(x(t)) dt < 0 V
(x(t)) dt = V (x(T )) V (x(0)) = 0 V
so we have a contradiction.
(x(t)) < 0 for all t. it follows that V (x(t)) V (x(0)) for all t, and therefore V
now suppose that x(t) R, i.e., the trajectory is bounded.
{z | V (z ) V (x(0)), z R} is compact, so there is a > 0 such that (z ) whenever V (z ) V (x(0)) and z R. V

we conclude V (x(t)) V (x(0)) t for all t 0, so V (x(t)) , a contradiction.
1219
Converse Lyapunov theorems

a typical converse Lyapunov theorem has the form if the trajectories of system satisfy some property then there exists a Lyapunov function that proves it a sharper converse Lyapunov theorem is more specic about the form of the Lyapunov function example: if the linear system x = Ax is G.A.S., then there is a quadratic Lyapunov function that proves it (well prove this later)
1220
A converse Lyapunov G.E.S. theorem

suppose there is > 0 and M such that each trajectory of x = f (x) satises x(t) M et x(0) for all t 0 (called global exponential stability, and is stronger than G.A.S.) then, there is a Lyapunov function that proves the system is exponentially stable, i.e., there is a function V : Rn R and constant > 0 s.t. V is positive denite (z ) V (z ) for all z V
1221
Proof of converse G.E.S. Lyapunov theorem

suppose the hypotheses hold, and dene
V (z ) =
0
x(t)
dt
where x(0) = z , x = f (x) since x(t) M et z , we have

V (z ) =
0
x(t)
dt
0
M e
2 2t
M2 z dt = 2
(which shows integral is nite)
1222
d lets nd V (z ) = dt
V (x(t)), where x(t) is trajectory with x(0) = z

t=0
(z ) = V = =
t0
lim (1/t) (V (x(t)) V (x(0)))

t0
lim (1/t)
t t
x( ) x( )
0 2
d
0
x( )
t0
lim (1/t)
2
= z
now lets verify properties of V V (z ) 0 and V (z ) = 0 z = 0 are clear (z ) = z T z V (z ), with = 2/M 2 nally, we have V
Finding Lyapunov functions

there are many dierent types of Lyapunov theorems the key in all cases is to nd a Lyapunov function and verify that it has the required properties there are several approaches to nding Lyapunov functions and verifying the properties one common approach: decide form of Lyapunov function (e.g., quadratic), parametrized by some parameters (called a Lyapunov function candidate ) try to nd values of parameters so that the required hypotheses hold
1224
Other sources of Lyapunov functions

value function of a related optimal control problem linear-quadratic Lyapunov theory (next lecture) computational methods converse Lyapunov theorems graphical methods (really!) (as you might guess, these are all somewhat related)
1225

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What are some stability definitions discussed in the document?

What are some stability definitions discussed in the document?

What is a Lyapunov function and what properties must it satisfy?

What is a Lyapunov function and what properties must it satisfy?

EE363

Lecture 12 Basic Lyapunov theory

Some stability denitions

Basic Lyapunov theory

Basic Lyapunov theory

Energy and dissipation functions

Basic Lyapunov theory

Positive denite functions

example: V (z ) = z T P z , with P = P T , is PD if and only if P > 0

Basic Lyapunov theory

Basic Lyapunov theory

A Lyapunov boundedness theorem

Basic Lyapunov theory

to prove it, we note that for any trajectory x

Basic Lyapunov theory

A Lyapunov global asymptotic stability theorem

Basic Lyapunov theory

V (x(t)) is decreasing and nonnegative, so it converges to, say, as t .

Basic Lyapunov theory

A Lyapunov exponential stability theorem

V gives guaranteed minimum dissipation rate, proportional idea: V to energy

Basic Lyapunov theory

Basic Lyapunov theory

lets use Lyapunov theorem to show its globally asymptotically stable

required properties of V are clear (V 0, etc.) : lets bound V V = x1x 1 + x2x 2

Basic Lyapunov theory

Basic Lyapunov theory

A Lyapunov instability theorem

Basic Lyapunov theory

A Lyapunov divergence theorem

(this is not quite the same as limt x(t) = )

Basic Lyapunov theory

Proof of Lyapunov divergence theorem

(x(t)) dt = V (x(T )) V (x(0)) = 0 V

{z | V (z ) V (x(0)), z R} is compact, so there is a > 0 such that (z ) whenever V (z ) V (x(0)) and z R. V

we conclude V (x(t)) V (x(0)) t for all t 0, so V (x(t)) , a contradiction.

Basic Lyapunov theory

Converse Lyapunov theorems

Basic Lyapunov theory

A converse Lyapunov G.E.S. theorem

Basic Lyapunov theory

Proof of converse G.E.S. Lyapunov theorem

where x(0) = z , x = f (x) since x(t) M et z , we have

(which shows integral is nite)

Basic Lyapunov theory

V (x(t)), where x(t) is trajectory with x(0) = z

lim (1/t) (V (x(t)) V (x(0)))

Finding Lyapunov functions

Basic Lyapunov theory

Other sources of Lyapunov functions

Basic Lyapunov theory

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