Dynamical Systems and Control
Dynamical Systems and Control
Dynamical Systems and Control
and Control
Stability and Control: Theory, Methods and Applications
A series of books and monographs on the theory of stability and control
Edited by A.A. Martynyuk
Institute of Mechanics, Kiev, Ukraine
and V. Lakshmikantham
Florida Institute of Technology, USA
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Theory of Integro-Differential Equations Advances in Stability Theory at the End of the
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Stability and Control: Theory, Methods and Applications
Volume 22
Dynamical Systems
and Control
EDITED BY
Firdaus E. Udwadia
University of Southern California
USA
H. I. Weber
Pontifical Catholic University of Rio de Janeiro
Brazil
George Leitmann
University of California, Berkeley
USA
Dynamical systems and control / edited by F.E. Udwadia, G. Leitmann, and H.I. Weber
p. cm. (Stability and control ; v.22)
Includes bibliographical references and index.
ISBN 0-415-30997-2 (alk. paper)
1. Dynamics. 2. Differentiable dynamical systems. 3. Control theory. I. Udwadia, F.E. II.
Leitmann, George. III. Weber, H. (Hans) IV. International Workshop on Dynamics and Control
(11th : 2000 : Rio de Janeiro, Brazil) V. Title. VI. Series.
QA845.D93 2004
003‘.85—dc22 2004043591
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Contents
Preface xi
Part I
A geometric approach to the mechanics of densely folded media
Luiz Bevilacqua 3
On a general principle of mechanics and its application to general
non-ideal nonholonomic constraints
Firdaus E. Udwadia 21
Mathematical analysis of vibrations of nonhomogeneous filament
with one end load
Marianna A. Shubov 33
Expanded point mapping analysis of periodic systems
Henryk Flashner and Michael Golat 53
A preliminary analysis of the phase portrait’s structure of
a nonlinear pendulum-mechanical system using the perturbed
Hamiltonian formulation
Débora Belato, Hans Ingo Weber and José Manoel Balthazar 77
A review of rigid-body collision models in the plane
Edson Cataldo and Rubens Sampaio 91
Part II
Optimal round-trip Earth–Mars trajectories for robotic flight
and manned flight
A. Miele, T. Wang and S. Mancuso 109
Aircraft take-off in windshear: a viability approach
N. Seube, R. Moitie and G. Leitmann 127
Stability of torsional and vertical motion of suspension bridges
subject to stochastic wind forces
N.U. Ahmed 145
“DynamicalSystems” — 2004/3/7 — page #vi
vi Contents
Part III
Estimation of the attractor for an uncertain epidemic model
E. Crück, N. Seube and G. Leitmann 337
Liar paradox viewed by the fuzzy logic theory
Ye-Hwa Chen 351
Pareto-improving cheating in an economic policy game
Christophe Deissenberg and Francisco Alvarez Gonzalez 363
Dynamic investment behavior taking into account ageing of
the capital goods
Gustav Feichtinger, Richard F. Hartl, Peter Kort
and Vladimir Veliov 379
A mathematical approach towards the issue of synchronization
in neocortical neural networks
R. Stoop and D. Blank 393
Optimal control of human posture using algorithms based on
consistent approximations theory
Luciano Luporini Menegaldo, Agenor de Toledo Fleury
and Hans Ingo Weber 407
Contributors
viii Contributors
Contributors ix
Preface
This book contains some of the papers that were presented at the 11th International
Workshop on Dynamics and Control in Rio de Janeiro, October 9–11, 2000. The
workshop brought together scientists and engineers in various diverse fields of dy-
namics and control and offered a venue for the understanding of this core discipline
to numerous areas of engineering and science, as well as economics and biology. It
offered researchers the opportunity to gain advantage of specialized techniques and
ideas that are well developed in areas different from their own fields of expertise.
This cross-pollination among seemingly disparate fields was a major outcome of this
workshop.
The remarkable reach of the discipline of dynamics and control is clearly substan-
tiated by the range and diversity of papers in this volume. And yet, all the papers
share a strong central core and shed understanding on the multiplicity of physical,
biological and economic phenomena through lines of reasoning that originate and
grow from this discipline.
I have separated the papers, for convenience, into three main groups, and the
book is divided into three parts. The first group deals with fundamental advances
in dynamics, dynamical systems, and control. These papers represent new ideas
that could be applied to several areas of interest. The second deals with new and
innovative techniques and their applications to a variety of interesting problems that
range across a broad horizon: from the control of cars and robots, to the dynamics of
ships and suspension bridges, to the determination of optimal spacecraft trajectories
to Mars. The last group of papers relates to social, economic, and biological issues.
These papers show the wealth of understanding that can be obtained through a
dynamics and control approach when dealing with drug consumption, economic
games, epidemics, neo-cortical synchronization, and human posture control.
This workshop was funded in part by the US National Science Foundation and
CPNq. The organizers are grateful for the support of these agencies.
Firdaus E. Udwadia
“DynamicalSystems” — 2004/3/7 — page #xii
“DynamicalSystems” — 2004/3/4 — page #1
PART I
“DynamicalSystems” — 2004/3/4 — page #2
“DynamicalSystems” — 2004/3/4 — page #3
To date, the analysis of densely folded media has received little attention. The
stress and strain analysis of these types of structures involves considerable dif-
ficulties because of strong nonlinear effects. This paper presents a theory that
could be classified as a geometric theory of folded media, in the sense that it
ultimately leads to a kind of geometric constitutive law. In other words, a law
that establishes the relationship between the geometry and other variables
such as the stored energy, the apparent density and the mechanical properties
of the material. More specifically, the theory presented here leads to funda-
mental governing equations for the geometry of densely folded media, namely,
wires, plates and shells, as functions of the respective slenderness ratios. With
the help of these fundamental equations other relationships involving the ap-
parent density and the energy are obtained. The structure of folded media
according to the theory has a fractal representation and the fractal dimension
is a function of the material ductility. Although at present we have no experi-
ments to test the conjectures that arise from our analytical developments, the
theory developed here is internally consistent and therefore provides a good
basis for designing meaningful experiments.
1 Introduction
Crush a sheet of paper till it becomes a small ball. This is an example of what we
will call a folded medium. That is, we have in mind strongly folded media. The
mechanical behavior of these kinds of structures could be analyzed as a very dense
set of interconnected structural pieces in such a way as to form a continuum. The
“DynamicalSystems” — 2004/3/4 — page #4
4 L. Bevilacqua
initial difficulty of using the classical solid mechanics approach, in this case, lies
in the definition of the proper geometry. A strongly folded medium, except when
folded following very strict rules, doesn’t present a regular pattern. When we crush
a piece of paper the simple elements that compose the final complex configuration
are distributed at random and in different sizes. So, a preliminary problem to be
solved is gaining an understanding of both the local and the global geometry.
Let us think, for instance, of a paper or metal sheet densely folded to take the
shape of a ball. Classical structural analysis presents serious difficulties in deter-
mining the final configuration, for this involves a complex combination of buckling,
post-buckling, nonlinearities – both geometric and material – large displacements,
just to mention a few. If we are basically interested only in the geometry, is it
possible to establish a simple “global law” that would correlate some appropriate
variables leading to the characterization of the final shape? The aim of this paper
is to answer this question. A simple law is proposed as a kind of geometric consti-
tutive equation that is different in nature from the classical concept of constitutive
laws in mechanics. Some consequences are drawn from this basic law concerning
mass distribution, work and energy used in the packing process.
We believe that the results are plausible, that is, there are no violations of basic
principles, and there are no contradictions concerning the expected behavior of a
real material. But, to be recognized as scientifically valid, the theory need to be
tested against experimental results. Despite the fact that rigorous experiments are
missing, the development of a coherent theory is important, both from the viewpoint
of obtaining comments and suggestions on it, and from the viewpoint of developing
experimental methodologies.
In the next sections we will examine densely folded wires and densely folded
plates and shells. To the best of our knowledge, the current technical literature
does not include references on this subject. We have exposed the basic ideas of
this theory in [1] and [2]. This paper, however, is self-contained, it is a kind of
closure where the concepts are presented more clearly and precisely. Except for the
dynamic behavior, which is not included here, the other references are not necessary
to understand this paper. The dynamics of folded media still need further analysis.
The ideas advanced in [2] are at an exploratory stage and need several corrections.
accumulate plastic deformation, while keeping all the other variables constant, it is
intuitively acceptable that the wire length in the box will increase. Other interpre-
tations are not so straightforward and will be discussed in the proper section.
Consider a thin box [L0 × h] and assume that a wire with diameter φ is pushed
into the box. In order to simplify the problem, it is assumed in the sequel that
plastic hinges will appear in the process, such that, after reaching the final stable
configuration, the wire geometry can be reduced to a sequence of straight segments
linked together, through plastic hinges, in the shape of a broken random line. It
will be assumed throughout this paper that we are dealing with a perfectly plastic
material.
Let us start with an ideal case, consisting of the configuration sequence following
the pattern shown in Figure 1.
It can be easily shown that for the n-th term in the sequence:
µ ¶1/2
1 2
l n = L0 +β (1a)
(2n − 1)2
and
M
X ¡ ¢1/2
Ln = ln(m) = L0 1 + (2n − 1)2 β 2 , (2a)
m=1
where β = h/L0 .
Clearly Ln is the total length of the wire inside the box corresponding to the
n-th term. For very thin wires relative to the box dimensions, i.e., φ ¿ L0 and
φ ¿ h, the number of folds is large, n À 1. The segment ln and the total length
Ln can then be approximated by:
lnL ∼
= L0 β = h , (1b)
LnL ∼
= 2nL βL0 = 2nL h . (2b)
“DynamicalSystems” — 2004/3/4 — page #6
6 L. Bevilacqua
For this limit case, where n is very large we set n = nL . It follows from (1b) and
(2b) that, in this limit case, the wire occupies the total area of the box. Assuming
that the material is incompressible, the mass conservation principle requires:
Ln φ ≤ L0 h , (3)
where the inequality sign holds when the confined wire fills up the box. Therefore
for n → nL we may write:
µ ¶−1
Ln ∼ h ∼ φ
= = . (4)
L0 φ h
Combining (4) and (2b) the limit value nL can be estimated by:
1 L0
nL ∼
= . (5)
2 φ
This is a limit value and clearly corresponds to the case where the wire fills up the
box. In general we might expect the wire geometry inside the box to be similar to
the line depicted in Figure 2, only partially covering the box in a random way.
It is not likely that the wire will be so densely packed as to fill up the box. For
the general case the expression (4) can then be written in the following form:
µ ¶p µ ¶−p
Ln ∼ h ∼ φ
= e0 = e0 , (6)
L0 φ h
where the exponent p is less than or equal to 1 (p ≤ 1). If p = 1 the line representing
the wire will cover the entire region [L0 × h], if it is less than 1 it will only partially
cover this same region. The constant e0 may be adjusted to fit experimental results.
Expression (6) can be put into a more convenient form for the current notation of
the fractionary geometry:
Γ = e0 ρ1−D (7a)
or
log Γ = log e0 + (1 − D) log ρ , (7b)
where Γ = L/L0 , ρ = φ/h, and D is the fractal dimension. We have dropped the
subscript n in Ln for the sake of simplicity.
“DynamicalSystems” — 2004/3/4 — page #7
If the fractal dimension of the line representing the wire equals two (D = 2),
that is, the line fills up the plane, expression (7a) reduces to (4), as it should be.
For the other limit, D = 1, the one-dimensional Euclidean geometry is preserved,
Γ = e0 . In particular, for e0 = 1 we get Ln = L, that is, there is no folding at all.
The extreme cases have no practical interest, but they provide a good assessment of
the theory, showing that there is no contradiction, and the conjecture is plausible.
The lower bound D = 1, corresponding to folding-free configurations, arises from
two distinct origins. The first appears as a consequence of geometric constraints.
Indeed, if h = φ, the wire fits the box perfectly. There is no room for bending, the
stress distribution on the wire cross-section is uniform. We are in the presence of
a pure axial force and the wire collapses under simple compression. The material
properties do not play any particular role in this limit case. The second possibility
has to do with the material properties and is independent of the geometry. Indeed, if
the material is perfectly stiff, that is, does not admit any plastic strain, the collapse
occurs without any permanent deformation. In other words, there is no stable
folding configuration, which is contrary to one of the fundamental requirements of
this theory.
In real cases, however, we have an intermediate situation. Taking into account
the discussion above, we may use the following criteria to establish the range of
validity of the theory:
The above conditions may be very strict, but only properly conducted experiments
can give a conclusive answer.
Figure 3 depicts the expected variation of log Γ against log ρ for different values
of D. We have assumed that e0 is constant for all values of D, which could not be
strictly true. More generally, put e0 = e0 (D), in which case the lines corresponding
to D1 , D2 and D3 would not converge to the same point on the vertical axis.
From Figure 3 it is clear that the packing capacity for a given value of ρ depends
on the fractal dimension. Increasing values of D correspond to increasing packing
capacities Γ. This means that D measures the propensity to incorporate plastic
deformation. An experiment leading to points on the line with slope (1 − D1 )
in Figure 3 indicates geometric and material conditions much more favorable to
incorporating permanent plastic deformation than an experiment that follows the
line with slope (1 − D3 ).
In order to define more precisely this behavior we will introduce the notion of
apparent ductility. This notion will be better understood along with the determi-
nation of the dissipated plastic work.
As mentioned before, only perfect plastic materials are considered here and
the final configuration is stable. This means that if the box is removed after the
packing process, the final geometry will be preserved. The energy considered here
is therefore the net energy necessary to introduce permanent plastic deformation.
Let us start again with the ideal case. According to the fundamental assumptions
plastic hinges will form in the vertices of the line representing the folded wire. The
“DynamicalSystems” — 2004/3/4 — page #8
8 L. Bevilacqua
Figure 3 Expected variations of the packing capacity with the wire rigidity. Increasing
fractal dimensions D1 > D2 > D3 correspond to decreasing rigidity.
τn = k̂σY φ3 θn ,
where k̂ is a constant, and σY is the yield stress of the perfect plastic material.
Now using the notation shown in Figure 2, the rotation can be written as:
θn = π − δn .
L0
But δn is of the order of and for very large n, δn is very small. Therefore
nh
we may write:
θn ∼
= g(U )π ,
where g(U ) is a correction factor to take into account the material hardening, that
is, the maximum rotation capacity of a typical hinge. The function g(U ) expresses
the material capacity to accumulate plastic deformation. If g(U ) = 1 the material
is extremely ductile and if g(U ) = 0 there is no possible bending without failure; it
is an extreme case of a brittle material. We are defining g(U ) as a function of the
material ductility U that will be discussed below.
The total dissipated plastic work is given therefore by:
Wn = nτn ∼
= nk̂σY g(U )πφ3 . (8)
π LnL
Wn = k̂σY g(U )φ3 .
2 h
Or with equation (7a):
π
Wn = k̂e0 σY L0 h2 g(U )ρ4−D . (9)
2
“DynamicalSystems” — 2004/3/4 — page #9
W
τ= = ρ4−D . (11)
WR
We will call τ the dissipated plastic work density.
To illustrate the variation of dissipated plastic work with ratio ρ and packing
capacity Γ consider the three points M, N and P shown in Figure 4. The points
P and N correspond to the same value of ρ, and also to the same wire diameter,
provided that h is fixed. We assume that the material properties are constant for
all wires. Now clearly Γa < Γb and D2 < D1 . Now from (11):
WN
= ρ−D1 +D2 . (12)
WP
But since D2 < D1 and ρ < 1 the right hand term in (12) is greater than one.
Then from (12) we may write:
WN
> 1.
WP
1 For materials displaying a stress-strain curve that can be approximated by a bi-linear law,
10 L. Bevilacqua
Figure 4 Packing capacities for different combinations of the wire diameter, packing
capacity and apparent ductility.
But since ρb < ρa the right hand term in (13) is less than one, therefore
WM
< 1.
WN
Then WM < WN .
Finally consider the points P and M, on the line corresponding to the same
fractal dimension. From (11), given that ρa > ρb and since the two points belong
to a line with the same fractal dimension, that is, the same apparent ductility we
have immediately:
WM < W P .
From equations (7b) and (11) it is possible to find an explicit expression for
the fractal dimension as a function of the folding capacity Γ and the plastic work
density τ : µ ¶
Γ
log
e0
D =1−3 µ ¶. (14)
Γ
log τ − log
e0
Define now the packing density Ω, as the ratio between the apparent specific
mass µ, per unit box length, and the specific mass of the wire µ0 , per unit wire
length. The apparent specific mass is defined as the total weight of the wire packed
“DynamicalSystems” — 2004/3/4 — page #11
inside the box divided by the box length L0 . This definition implies the homog-
enization of the specific mass, making it uniformly distributed along the box in
what, in general, is a good approximation. After some simple calculations it is then
possible to write:
PM
(m)
µ0 ln
m=1
µ= n → nL , (15a)
L
Ω = e0 ρ1−D ,
or
log Ω = log e0 + (1 − D) log ρ , (15b)
where Ω = µ/µ0 .
Therefore the same law governing the packing capacity Γ also applies to the
packing density ρ. The representation in Figure 3 is equally valid for this case.
Analytically the parameter e0 in (15a,b) is the same as in (7a,b). Only experi-
mental evidence can confirm this result.
The limit cases have the same interpretation as for the packing capacity. Putting
e0 = 1, the limit case D = 1 is satisfied, for the virtual specific mass will coincide
with the wire specific mass. But there is no strong reason to abandon from the very
beginning the hypothesis of having e0 = e0 (D). This might well be the case, and
at the present stage only experimental data can provide answers on this subject.
Now, consider the region MNPQ shown in Figure 2. It is plausible to assume
that the plastic energy stored in the wire inside the box is uniformly distributed
along the length L0 . Therefore the energy stored in MNPQ Wj , is Lj /L0 times
the total energy necessary to pack the wire inside the box [L0 × h]. But also
the reference energy WR is proportional to L0 by definition, therefore the reference
energy corresponding to the box [Lj ×h] WRj is also Lj /L0 times WR corresponding
to the box [L0 × h]. Since the plastic work density τ is the ratio Wj /WRj it is easily
seen that τ is invariant for any sub-region [Lj × h] of [L0 × h]. Combining (7a)
and (11) we get:
Γj = e0 Ej1−D = e0 E 1−D = Γ .
That is the packing capacity is the same for the box [L0 × h] and for any of its
sub-regions [Lj × h]. This result is coherent with the hypothesis of the uniform
distribution of the specific mass introduced before. It is also a confirmation of the
intrinsic self-similarity property required by the structure of the fractal geometry.
The above discussions lead to some conclusions that can be summarized as
follows:
12 L. Bevilacqua
2. The packing capacity Γ = L/L0 , and the packing density Ω = µ/µ0 , vary with
the slenderness ratio according to the power law:
Γ = e0 ρ1−D ,
and
Ω = e0 ρ1−D ,
where L is the wire length packed in the box; L0 is the box length; µ is the
apparent specific mass; µ0 is the wire specific mass per unit length. The pa-
rameter e0 is to be determined experimentally.
Figure 5 Collapse of a spherical thin shell under the action of an external pressure p. The
shell is made of a perfect plastic material.
Figure 6 Elements of the ideal geometry of a folded surface. (a) The basic generator. (b)
Composition of two basic elements.
nSL t ≤ 3πR2 t ,
where SL is the lateral surface of the generator, n is the number of elements in the
polyhedron, and t is the shell thickness. The lateral surface can be easily calculated:
"µ ¶ #1/2
2
3 h 1
SL = a 2 + . (16a)
2 a 12
R2
n∼
= k∗ .
ah
“DynamicalSystems” — 2004/3/4 — page #14
14 L. Bevilacqua
In the limit, a → t, the packing capacity for the given geometric characteristics,
R, R0 , t and h reaches the upper limit. The 2-D original medium – the shell with
radius R has been compacted to a 3-D medium – a solid inside the “crust.” In the
limit, the number of elements is:
2
R
n → nL ∼
= k∗ . (17)
th
On the other hand, if the shell is reduced to a 3-D solid packed inside the “crust”
and since h ¿ R0 we may also write:
4πR2 t ∼
= k̂ ∗ 4πR02 h ,
or
log Γ∗ = log e∗0 + (2 − D∗ ) log ρ∗ . (19b)
This is the generalized expression for packed thin shells under external pres-
sure crushed against a rigid sphere. The extension of this expression to the case of
packing thin plates under the action of in-plane compression forces in a
box [L0 × L0 × h] is not difficult. The confinement scheme is shown in Figure 7.
The variable Γ∗ for this case reads:
L2
Γ∗ = .
L20
Clearly the power law governing the variation of the packing capacity Γ∗ with the
ratio t/h is coherent with the two limiting cases. For D∗ = 3 the final configuration
has the Euclidean dimension of a solid. This hypothesis representing an ideal case
“DynamicalSystems” — 2004/3/4 — page #15
was used to obtain equation (18). Clearly for D∗ = 3 the generalized expressions
(19a,b) reproduce the expected result. The second limit case occurs for D∗ = 2.
This means that the folded shell does not change its basic geometric characteristic,
remaining with the same Euclidean dimension D∗ = 2 proper to the original shell
before the collapse. Introducing this value in the generalized equation it is easily
seen that Γ∗ → e∗0 . The conservation of the Euclidean dimension prevails in this
case, and there is no distinction between the original and the final geometry. The
parameter e∗0 can be a function of D∗ ; we leave this hypothesis open depending on
experimental confirmation.
There are two distinct explanations for a folding-free configuration. One of them
is of a geometric nature, and the other is related to the material properties.
Suppose first that R → R0 , that is, the thin shell is adherent to the rigid sphere
from the very beginning. As a matter of fact there is no possible packing for this
initial geometry; it follows immediately from (19a) that Γ∗ → 1 consequently h → t.
The shell thickness is equal to the crust thickness, and the basic assumptions of the
theory are violated in this case.
The second possibility arises from the material properties. If the material is
perfectly stiff, that is, does not admit plastic deformation, there will be no dissipated
plastic work and the theory fails. As mentioned for the case of thin wires, in practice
we face intermediate situations. Similarly, the following criteria can be useful to
establish the limits of applicability of the theory:
τn∗ = k̂ ∗ σY t2 ln θn .
The total dissipated plastic work can be written as:
16 L. Bevilacqua
θn = πg ∗ (U )
to take into account the material ductility as explained before.
Now, let n be the number of generators. The set of triangles corresponding to
the basis of the generators are the faces of a convex polyhedron circumscribing the
sphere R0 , in the ideal case. The Euler theorem states that:
F + V − E = 2,
where F is the number of faces, V is the number of vertices and E the number of
edges. For a polyhedron composed of a very large number of triangular faces, the
number of edges is approximately triple the number of vertices. So from Euler’s
formula and with A ∼
= 3V we get:
F
V = − 1,
2
from which follows:
3F
A∼
= − 3.
2
Now, with F = n and for very large n, the total number of edges of the polyhe-
dron circumscribed to the sphere R0 can be estimated by:
3n
A∼
= .
2
The total length of the edges connecting the basis of the fundamental elements or
generators is therefore 3/2 na. Now adding the edges at the lateral surfaces of each
pyramid – see Figure 6 – with length approximately equal to h each edge, we get:
µ ¶
3
Ln ∼
= n 3h + a .
2
In the limit as a → t and since h À t the second term within brackets in the above
expression can be disregarded in the presence of h. Therefore in the limit for very
large n, n → nL , we get:
R2
Ln L ∼
= . (21)
t
The plastic work dissipated in the packing process is therefore:
Wn∗L ∼
= k̂ ∗ πσp g ∗ (U )tR2 .
WR∗ ∼
= k̂ ∗ e∗0 πσY h3 G∗ (U ) ,
“DynamicalSystems” — 2004/3/4 — page #17
where G(U, β ∗ ) = g(U )/(β ∗ )2 and β ∗ = h/R0 . Finally, calling τ ∗ the plastic work
density we obtain:
W∗ ∗
τ ∗ = ∗ = ρ3−D , (23)
WR
where we have dropped the subscript nL for the sake of simplicity.
Now from (19a) and (23) we arrive at an expression that gives the fractal di-
mension as a function of the packing capacity and the plastic work density:
µ ∗¶
Γ
log
e∗0
D =2− µ ∗¶ . (24)
∗
Γ
log τ − log
e∗0
Just as in the previous case and following a similar reasoning, the equation
governing the packing density is readily obtained:
∗
Ω∗ = e∗0 (ρ∗ )2−D , (25a)
or
log Ω∗ = log e∗0 + (2 − D∗ ) log ρ∗ , (25b)
∗ ∗
where Ω is the ratio between the apparent specific mass of the shell µ and the
specific mass of the µ∗0 . As in the previous comments concerning the packed wires,
the theoretical development leads to the same parameter e∗0 for both the packing
capacity and the packing density. We would like to point out once more that
experimental confirmation is essential to verify this analytical result. It is not
impossible to have the parameter e∗0 a function of D∗ , that is, e∗0 = e∗0 (D∗ ).
Examining the equations (19a,b) it is possible to conclude that the self-similarity
requirement of a fractal structure is satisfied. Given the ratio t/h, any portion of
the confined shell comprised by a solid angle Ψ will have the same packing capacity.
Indeed, the packing capacity is the ratio defined by the area of the original shell
“DynamicalSystems” — 2004/3/4 — page #18
18 L. Bevilacqua
over the area of the “crust” containing the packed shell. Now if we take the portion
encompassed by the solid angle Ψ, the ratio between the areas SΨ and S0Ψ will
obey the same relation valid for the complete shell R2 /R02 given that the ratio t/h,
and the mechanical properties of the material are preserved. Therefore the portion
of the shell confined inside the volume [h × S0Ψ ] is self-similar to the entire shell
packed inside the “crust.”
The main results of the above discussion can be formalized as follows:
2. The packing capacity Γ∗ = S/S0 and the packing density Ω∗ = µ∗ /µ∗0 vary
with the slenderness ratio according to the power law:
∗
Γ∗ = e∗0 (ρ∗ )2−D ,
and
∗
Ω∗ = e∗0 (ρ∗ )2−D ,
where S is the total area of the plate or shell packed inside the container; S0
is the reference area S0 = V /h; µ∗ is the apparent specific mass; µ∗0 is the
specific mass of the plate or shell per unit area. The value of e∗0 has to be
determined experimentally.
3. The fractal dimension D∗ depends on the apparent ductility. Plates and shells
folding in a configuration with a high fractal dimension D∗ will have a corre-
sponding high apparent ductility. For a given value of the packing capacity Γ∗ ,
the fractal dimension is a function of the dissipated plastic work density τ ∗ :
µ ¶
Γ∗
log
e∗0
D =2− µ ¶.
Γ∗
log τ∗ − log
e∗0
4 Conclusions
The fundamental ideas of this paper are formalized in propositions 1 and 2. We can
summarize the key conjectures as follows:
1. The geometry of perfect plastic, densely packed thin wires, thin plates and
shells has a fractal structure. The packing capacity varies with the slenderness
ratio φ/h for wires or t/h for plates and shells, according to a power law.
3. Moreover, the packing density varies with the slenderness ratio according to
the same fractal dimension as the packing capacity.
4. If the previous statements are true, the ratio between the packing capacity
and the plastic work density is independent of the fractal packing dimension.
The ratio between these two variables is a function of ρ only.
5. The geometry of the confined solid is self-similar. Any part is similar to the
whole.
6. The governing equations for the packing capacity or packing density as func-
tions of the slenderness ratio or the reduced plastic work density involve con-
stants that must be determined from experimental data.
20 L. Bevilacqua
Acknowledgements
This research has been partially supported by the Carlos Chagas Filho Foundation
– FAPERJ – through the program “Cientista do nosso Estado” and by the National
Council for Scientific and Technological Research – CNPq.
References
1. Bevilacqua, L. (2000) Constitutive laws for strong geometric non-linearity.
Journal of the Brazilian Society for Mechanical Sciences, XIII (2), 217–229.
2. Bevilacqua, L. (1999) Dynamic Characterization of Fractal Surfaces. In Pro-
ceedings EURODINAME-99, Dynamic Problems in Mechanics and Mecha-
tronics, Universität Ulm, pp. 285–292.
3. Turcotte, D.L. (1997) Fractal and Chaos in Geology and Geophysics. Cam-
bridge University Press.
4. Barabasi, A.-L. and Stanley, H.E. (1997) Fractal Concepts in Surface Growth.
Cambridge University Press.
5. Feder, J. (1988) Fractals. Plenum Press, New York and London.
6. Khoo, M.C.K. (ed.) (1996) Bioengineering Approaches to Pulmonary Physi-
ology and Medicine. Plenum Press, New York.
7. Falconer K. (1990) Fractal Geometry: Mathematical Foundations and Appli-
cations. John Wiley & Sons, Chichester and New York.
8. Tricot, C. (1995) Curves and Fractal Dimensions. Springer Verlag, New York.
“DynamicalSystems” — 2004/3/4 — page #21
On a General Principle
of Mechanics and Its Application
to General Non-Ideal
Nonholonomic Constraints
F.E. Udwadia
Department of Aerospace and Mechanical Engineering, Civil Engineering,
Mathematics, and Operations and Information Management
430K Olin Hall, University of Southern California, Los Angeles, CA 90089-1453
E-mail: [email protected]
1 Introduction
The motion of complex mechanical systems is often mathematically modeled by
what we call their equations of motion. The current formalisms (Lagrange’s equa-
tions [1], Gibbs–Appell equations [2, 3], generalized inverse equations [4]) have as
their foundation D’Alembert’s Principle which states that, at each instant of time
during the motion of the mechanical system, the sum total of the work done by the
forces of constraint under virtual displacements is zero. Such constraint forces are
often referred to as being ideal. D’Alembert’s Principle is equivalent to a principle
that was first stated by Gauss [5] and is referred to nowadays as Gauss’s Principle.
Recently, Gauss’s Principle was used by Udwadia and Kalaba [4, 6], in conjunction
with the concept of the Penrose inverse of a matrix, to obtain a simple and general
set of equations for holonomically and nonholonomically constrained mechanical
systems.
“DynamicalSystems” — 2004/3/4 — page #22
22 F.E. Udwadia
Though these two fundamental principles of mechanics are often useful to ade-
quately model mechanical systems, there are, however, numerous situations where
they are not valid. Such systems have, to date, been left outside the preview of
the Lagrangian framework. As stated by Goldstein (1981, page 14), “This [total
work done by forces of constraint equal to zero] is no longer true if sliding friction
is present, and we must exclude such systems from our [Lagrangian] formulation.”
[7] And Pars (1979) in his treatise [8] on analytical dynamics writes, “There are in
fact systems for which the principle enunciated [D’Alembert’s Principle] ... does not
hold. But such systems will not be considered in this book.” Newtonian approaches
are usually used to deal with the problem of sliding friction. [7] For general systems
with nonholonomic constraints, [7] the inclusion into the framework of Lagrangian
dynamics of constraint forces that do work has remained to date an open problem
in analytical dynamics, for neither D’Alembert’s Principle nor Gauss’s Principle is
then applicable.
In this paper we obtain a general principle of analytical dynamics that encom-
passes nonideal constraints. It generalizes Gauss’s Principle to situations where
the forces of constraint do work under virtual displacements. It therefore brings
nonideal constraints within the scope of Lagrangian mechanics. The power of the
principle is exhibited by the simple and straightforward manner in which it yields
the general, explicit equation of motion for constrained mechanical systems where
the constraints may not be ideal. We provide an illustrative example in which we
obtain the explicit equations of motion for a nonholonomic mechanical system first
proposed by Appell.
Since the principle obtained in this paper is a generalization of Gauss’s Principle,
and since most texts today do not have an adequate description of it, we start with
a short description of Gauss’s work. In 1829, Gauss [5] published a landmark paper
entitled, “On a New Universal Principle of Mechanics,” in what is today the Jour-
nal fur reine und angewandte Mathematik. In it, he presented a universal principle
of mechanics under the assumption that the constraints acting on the mechanical
system under consideration are ideal. Several features of this paper are worth not-
ing: (1) The paper is only 3 pages long; (2) Gauss shows us a totally new line
of thinking by considering the deviations of the motion of the constrained system
from what they might have been were there no constraints acting on it; (3) The
mathematics involved is trivial, essentially the use of the cosine rule for a triangle,
and the use of D’Alembert’s Principle; the result is proved in a single paragraph;
(4) Gauss, though well aware of the usefulness of Lagrangian coordinates, purpo-
sively uses Cartesian inertial coordinates to state and derive his results; he does
not bother with generalized coordinates, or Lagrange’s equations; and (5) Gauss
develops the only general global minimum principle in analytical dynamics.
The reason for the detailed exposition above is because in this paper we shall
follow the spirit of Gauss’s line of reasoning. In Section 2 we present a statement of
the problem, and in Section 3 we present our new minimum principle applicable to
nonideal constraints. Section 4 applies this new minimum principle to obtain the
general, explicit equations of motion where the constraints may be nonideal, and in
Section 5 we present an illustrative example showing the simplicity with which this
general equation yields results for nonholonomic, nonideal constraints. Section 6
gives the conclusions.
“DynamicalSystems” — 2004/3/4 — page #23
24 F.E. Udwadia
whose kinematic description is given by equations (3) and (4) causes the accelera-
tion, ẍ(t), of the constrained system to differ from its unconstrained acceleration,
a(t), so that the acceleration of the constrained system can be written as
where ẍc is the deviation of the acceleration of the constrained system from what
it would have been had there been no constraints imposed on it at the instant of
time t. Alternatively, upon premultiplication of equation (6) by M , we see that at
the instant of time t,
and so a force of constraint, F c , is brought into play that causes the deviation in
the acceleration of the constrained system from what it might have been (i.e., a) in
the absence of the constraints.
Thus the constrained mechanical system is described so far by the matrices M
and A, and the vectors F and b. The determination from equations (7) and (5) of
the acceleration 3n-vector, ẍ, of the constrained system, and of the constraint force
3n-vector, F c , constitutes an under-determined problem and cannot, in general,
be solved. Additional information related to the nature of the force of constraint
F c is required and is situation-specific. Thus, to obtain an equation of motion for
a given mechanical system under consideration, additional information – beyond
that contained in the four quantities M , A, F and b – needs to be provided by the
mechanician who is modeling the motion of the specific system.
Let us assume that we have this additional information (for some specific me-
chanical system) regarding the constraint force 3n-vector, F c , at each instant of
time t in the form of the work done by this force under virtual displacements of
the mechanical system at time t. A virtual displacement of the system at time t is
defined as any 3n-vector, ν(t), that satisfies the relation
The mechanician modeling the motion of the system then provides the work done,
W c (t), under virtual displacements by F c through knowledge of a vector at each
instant of time t, so that
ν T F c ≡ W c (t) = 0 , (11)
which is, of course, D’Alembert’s Principle, and the constraints are now referred
to as being ideal. Though this approximation is a useful one in many practical
situations, it is most often, still only an approximation, at best. More generally,
the mechanician would be required to provide the 3n-vector C(x, ẋ, t), and when
C 6= 0, the constraints are called nonideal.
Hence the specification of constrained motion of a mechanical system where the
constraints are nonideal requires in addition to the knowledge of the four quantities,
M , A, F and b, also knowledge of the vector C. By “knowledge” we mean, as before,
knowledge of these quantities as known functions of their respective arguments.
ˆ − ẍ) = Ad = 0
A(ẍ (13)
dT (M ẍ − F − C) = 0 . (14)
Lemma 1 For any symmetric k by k matrix Y , and any set of k-vectors e, f and g,
For short, in what follows, we shall call aT Y a the Y -norm of the vector a (actually
it is the square of the Y -norm).
“DynamicalSystems” — 2004/3/4 — page #26
26 F.E. Udwadia
We are now ready to state the general minimum principle of analytical dynamics.
ˆ = (M ẍ
Gni (ẍ) ˆ − (F + C), M ẍ
ˆ − (F + C))M −1 (17)
ˆ at that instant of time.
over all ‘possible’ acceleration 3n-vectors, ẍ,
Proof: For the constrained mechanical system described by equations (1)–(3) and
(10), the 3n-vector d satisfies relation (14); hence the last member on the right-hand
side of equation (16) becomes zero. Since M is positive definite, the scalar (d, d)M
on the right-hand side of (16) is always positive for d 6= 0. By virtue of (16), the
minimum of (17) must therefore occur when ẍ ˆ = ẍ. ¤
Remark 1: We note that the units of C are those of force; furthermore C needs to
be prescribed (at each instant of time) by the mechanician, based upon examination
of the given specific mechanical system whose equations of motion (s)he wants to
write. From equation (7), we have F c = M ẍ − F where ẍ is the acceleration of the
constrained system. Were we to replace ẍ on the right-hand side of this relation by
ˆ we would obtain the corresponding possible
any particular possible acceleration ẍ,
ˆ − F . The
force of constraint relevant to this possible acceleration as F c = M ẍ
quadratic form (17) can be rewritten as
ˆ = (F̂ c − C, F̂ c − C)M −1
Gni (ẍ) (18)
ˆ over all possible vectors ẍ,
and hence the minimization of Gni (ẍ) ˆ leads to the fol-
lowing alternative statement.
Remark 4: We note from the proof that at each instant of time t the minima in
(17)–(19) are global, since we do not restrict the possible accelerations in magnitude,
ˆ = b.
as long as they satisfy the relation Aẍ
Remark 6: The general principle stated above reduces to Gauss’s Principle [5]
when C ≡ 0, and all the constraints are ideal.
We next show how this new principle can be used to obtain the equation of
motion of constrained systems when the forces of constraint are not ideal.
ẍ = M −1/2 + a + c (21)
where B = AM −1/2 . Then the general principle (20) reduces to minimizing krk2 ,
subject to the condition Br = b − Aa − Ac. But the solution of this problem is
simply [9] 1
1 Actually, instead of the Moore–Penrose inverse we could use any so-called 1–4 generalized
28 F.E. Udwadia
r = B + (b − Aa − Ac) , (23)
where B + stands for the Moore–Penrose inverse [9] of the matrix B. Substituting
for r in equation (21) yields the explicit equation of motion for the system as
ẍ = M −1/2 B + (b − Aa − Ac) + a + c =
When C ≡ 0, all the constraints are ideal, and we obtain the results obtain
in Refs. [4, 8].
From the right-hand side of equation (25) we notice that the total force acting
on the constrained system is made up of 3 members: (1) the impressed force F ; (2)
the force Fic = M 1/2 B + (b − Aa) which would exist were all the constraints ideal,
c
C ≡ 0; and (3) the force Fni = M 1/2 (I − B + B)M −1/2 C that is brought into play
only when the constraints are nonideal so that the mechanician needs to provide
the vector C(x, ẋ, t) that describes the nonideal nature of the constraints at each
instant of time t.
One last point, what does the general principle of mechanics look like in gen-
eralized Lagrangian coordinates, q? As will be seen from its proof, to obtain the
general minimum principle of mechanics and the equation of motion for constrained
systems with nonideal constraints in Lagrangian coordinates all one has to do is
make the substitutions: x → q, ẋ → q̇, ẍ → q̈, M → M (q, t), F → Q, and ẍ ˆ → ˆq̈
in equations (1)–(25).2 Equation (1) now becomes Lagrange’s equation of motion
for the unconstrained system. Note that, in general, q , would now be a vector of
dimension k, so that the positive definite matrix M (q, t) will be k by k, and the
matrix A(q, q̇, t) will be accordingly m by k.
The general principle of analytical dynamics in Lagrangian coordinates then
becomes:
Gni (ˆq̈) = (M (q, t)ˆq̈ −Q(q, q̇, t)−C(q, q̇, t), M (q, t)ˆq̈ −Q(q, q̇, t)−C(q, q̇, t))M −1 (26)
over all ‘possible’ accelerations, ˆq̈, that satisfy the equation A(q, q̇, t)ˆq̈ = b(q, q̇, t),
at that instant of time. For clarity, we have shown the arguments of the various
quantities explicitly.
2 We assume that the constraints do not alter the rank of the matrix M (q, t). This is usually
And the general equation of constrained motion with nonideal constraints becomes:
where, for clarity, we have suppressed the arguments of the various quantities. The
vector Q is the impressed or given force. The force Qci is caused by the presence
of the constraints and as though they are ideal; the force Qcni is brought into play
because of the nonideal nature of the constraints. This nonideal character of the
constraints is prescribed by the mechanician through the work done under virtual
displacements by the constraint forces as W (t) = ν T (t)C(q, q̇, t). Equation (27),
which we obtained here by a very different approach, is identical to that obtained
in Refs. [13] and [14].
Though not in any detail, our approach has been inspired by the central idea
used by Gauss [5] in developing his results. One now sees why Gauss, in his original
paper, did not bother to use Lagrangian coordinates, despite the fact that he used
angle coordinates all the time for his astronomical measurements of comet motions.
5 Illustrative Example
To illustrate the simplicity with which we can write out the equations of motion for
nonholonomic systems with nonideal constraints we consider here a generalization
of a well-known problem that was first introduced by Appell [10].
Consider a particle of unit mass moving in a Cartesian inertial frame subjected
to the known impressed (given) forces Fx (x, y, z, t), Fy (x, y, z, t) and Fz (x, y, z, t)
acting in the X-, Y- and Z-directions. Let the particle be subjected to the non-
holonomic constraint ẋ2 + ẏ 2 − ż 2 = 2αg(t), where α is a given scalar constant and
the g is a given, known function of its arguments. Appell [10] takes α = 0, and he
describes a physical mechanism that would yield his constraint.
Furthermore, Appell [10] assumed that the constraint is ideal. Let us gener-
alize his example and say that the mechanician (who has supposedly examined
the physical mechanism which is being modeled here) ascertains that this nonholo-
nomic constraint subjects the particle to a force that is proportional to the square
of its velocity and opposes its motion, so that the virtual work done by the force
of constraint (under a virtual displacement ν) on the particle is prescribed (by the
mechanician) as
ẋ 2
ẋ
u
W c (t) = −a0 ν T (t) ẏ = −a0 ν T (t) ẏ |u| , (28)
|u|
ż ż
where u(t) is the speed of the particle, and a0 is a given constant. It should be
pointed out that this force arises because of the presence of the constraint, ẋ2 +
ẏ 2 − ż 2 = 2αg(t). Were this constraint to be removed, this force (whose nature is
described by relation (28)) would disappear. Thus the constraint is nonholonomic
and nonideal. We shall obtain the explicit equations of motion of this system.
“DynamicalSystems” — 2004/3/4 — page #30
30 F.E. Udwadia
dg
where ġ = . Thus we have A = [ẋ ẏ −ż], and the scalar b = αġ. Since
dt
1 a0 u2
M = I3 , B = A. Hence B + = 2 [ẋ ẏ −ż], and the vector C = − [ẋ ẏ ż].
u |u|
The unconstrained acceleration a = [Fx Fy Fz ]. The equation of motion for this
constrained system can now be written down directly by using equation (25). It is
given by
ẍ Fx ẋ
αġ − ẋFx − ẏFy + żFz
ÿ = Fy + ẏ −
u2
z̈ Fz −ż
ẏ 2 + ż 2 −ẋẏ ẋż ẋ
a0
− −ẏ ẋ ẋ + ż 2
2
ẏ ż ẏ , (30)
|u|
ẋż −ẏ ż ẋ2 + ẏ 2 ż
which simplifies to
ẍ Fx ẋ 2ẋż 2
αġ − ẋFx − ẏFy + żFz a0
ÿ = Fy + 2 ẏ − 2ẏ ż 2 . (31)
u |u|
z̈ Fz −ż 2
2ż(ẋ + ẏ )2
The first term on the right-hand side is the impressed force. The second term
on the right-hand side is the constraint force Fic that would prevail were all the
constraints ideal so that they did no work under virtual displacements. The third
c
term on the right-hand side of equation (31) is the contribution, Fni to the total
constraint force generated by virtue of the fact that the constraint force is not ideal,
and its nature in the given physical situation is specified by the vector C, which
gives the work done by this constraint force under virtual displacements. Note
c
that Fni 6= C.
We observe that it is because we do not eliminate any of the x’s or the ẋ’s (as
is customarily done in the development of the equations of motion for constrained
systems) that we can explicitly assess the effect of the ‘given’ force, and of the
components Fic and Fni c
on the motion of the constrained system.
Equations (25) and (27) can also be used to directly obtain the equations of
motion for holonomic nonideal constraints, like when sliding friction may be present.
Examples of such systems and others may be found in Refs. [11] and [12] which
obtain the same general equation (27), but by very different routes.
“DynamicalSystems” — 2004/3/4 — page #31
6 Conclusions
This paper develops new fundamental insights into the evolution of constrained
motion where the forces of constraint are general and may do work under virtual
displacements.
References
1. Lagrange, J.L. (1787) Mecanique Analytique. Mme Ve Courcier, Paris.
2. Gibbs, J.W. (1879) On the Fundamental Formulae of Dynamics. Am. J.
Math., 2, 49–64.
3. Appell, P. (1899) Sur une Forme Generale des Equations de la Dynamique.
C. R. Acad. Sci., Paris, 129, 459–460.
4. Udwadia, F.E. and Kalaba, R.E. (1992) A New Perspective on Constrained
Motion. Proc. Roy. Soc. Lon., 439, 407–410.
5. Gauss, C.F. (1829) Über ein neues allgemeines Grundgesetz der Mechanik.
Journ. für reine und angewandte Mathematik , 4, 232–235.
6. Kalaba, R.E. and Udwadia, F.E. (1993) Equations of Motion for Nonholo-
nomic, Constrained Dynamical Systems via Gauss’s Principle. Journal of
Applied Mechanics, 60, 662–668.
7. Goldstein, H. (1981) Classical Mechanics. Addison-Wesley, Reading, MA.
8. Pars, L.A. (1979) A Treatise on Analytical Dynamics. Oxbow Press, Wood-
bridge, Connecticut.
9. Udwadia, F.E. and Kalaba, R.E. (1996) Analytical Dynamics: A New Ap-
proach. Cambridge University Press, England.
10. Appell, P. (1911) Example de Mouvement d’un Point Assujeti a une Liason
Exprimee par une Relation Non Lineaire entre les Composantes de la Vitesse.
Comptes Rendus, 48–50.
“DynamicalSystems” — 2004/3/4 — page #32
32 F.E. Udwadia
11. Udwadia, F.E. and Kalaba, R.E. (2000) Lagrangian Dynamics and Non-Ideal
Constraints. Journal of Aerospace Engineering, 13, 17–24.
12. Udwadia, F.E. and Kalaba, R.E. (2001) Explicit Equations of Motion for Con-
strained Systems with Non-Ideal Constraints. Journal of Applied Mechanics,
68, 462–467.
13. Udwadia, F.E. and Kalaba, R.E. (2002) On the Foundations of Analytical
Dynamics. Journal of Nonlinear Mechanics, 37, 1079–1090.
14. Udwadia, F.E. and Kalaba, R.E. (2002) What is the General Form of the
Explicit Equation for Constrained Mechanical Systems? Journal of Applied
Mechanics, 69, 335–339.
“DynamicalSystems” — 2004/3/4 — page #33
Mathematical Analysis of
Vibrations of Nonhomogeneous
Filament with One End Load
Marianna A. Shubov
Department of Mathematics and Statistics, Texas Tech University
Lubbock, TX, 79409, USA
Tel: (806) 742-2336, E-mail: [email protected]
34 M.A. Shubov
the results discussed in the monograph [13]. The author of [13], D.R. Merkin, has
started from the general ideas of mechanics and then has derived static and dynamic
equations of filaments, has formulated numerous boundary-value problems, and has
presented solutions for some of them. Many technological applications have been
given in [13] and several computer algorithms have been discussed. In our work, we
consider a more general case of a filament with spatially nonhomogeneous parame-
ters and a distributed viscous damping, and we answer several questions that have
not been raised in [13] or other sources. For example, we present here a precise
asymptotics of the spectrum for a loaded filament and give a rigorous description of
such properties of the eigenstates as completeness, minimality, and in the forthcom-
ing paper, we will prove the Riesz basis property of eigenstates in an appropriate
state space of the system. The latter results will be instrumental for the solutions of
different problems on boundary and distributed controllability of a filament. Such
questions are beyond the scope of monograph [13]. In connection with our future
applications of the spectral results to controllability problems, we would like to
mention paper [6]. An important engineering model of an “overhead crane,” i.e., a
motorized platform moving along a horizontal bench with a flexible cable attached
to the platform is considered in [6]. The cable is supposed to be homogeneous and
to have no damping. A boundary control is proposed that guarantees uniform ex-
ponential stability. In their proofs, the authors of [6] have introduced the Lyapunov
function (the generalized energy) and have derived the estimate from above in the
exponential form. Our goal is different; namely, we would like not only to prove an
exact controllability result for the system, but also to give an explicit expression for
the control law in the terms of the spectral characteristics of the problem. Finally,
we would like to mention two interesting papers [16, 17] by V. Pivovarchik, in which
the author has addressed the question of the reconstruction of the string parameters
based on the spectral characteristics of the appropriate Sturm–Liouville problem.
The model considered in the present work is well known in mechanics and before
we formulate the problem, we recall some notions from mechanics. A filament is
known as a one-dimensional system that under the action of external forces can make
up a form of any geometrical curve. A filament that does not show any resistance to
bending and torsion will be called an ideal or absolutely flexible filament. In what
follows, under the term “filament,” we will understand an ideal inextensible one-
dimensional system. “One-dimensional” means that the sizes of the cross-section
are negligibly small in comparison with the length of the system. In spite of the fact
that an ideal filament is an abstraction, in many cases threads, ropes, cables, and
chains clamped in appropriate ways correspond to this model quite well. That is why
mathematical theory of an ideal filament might be of great practical importance.
We consider a nonhomogeneous inextensible filament of the length l which has
been hung up at one end with a load of the weight M at the other end. In the
state of equilibrium, the filament is hanging along a certain vertical line which
we will consider as the x-axis. Disregarding the sizes of the load, we will study
small vibrations of a filament near equilibrium assuming that these vibrations take
place in one plane. The fact that the filament is nonhomogeneous means that the
linear density ρ depends on the chosen point, i.e., ρ = ρ(x), x ∈ [0, l]. Note that
the inhomogeneity may be caused either by inhomogeneity of the material or by
the differences in the areas of the cross-sections. In what follows, we will use the
“DynamicalSystems” — 2004/3/4 — page #35
following notations: S(x) – the area of the cross-section of the filament at the point
x; ρ(x) – the density of the filament (mass per unit length) at the point x; M – the
mass of the point load at the end x = l; g – the gravitational constant; T (x) – the
tension of the filament at the point x. The equation of small transversal vibrations
of a filament can be given in the following form:
As is known (see [13] and references therein), the tension of the filament T (x) at the
point x is the sum of the gravity force of the part of the filament which is located
below x, the gravity force of the point mass M , and the vertical component of the
exterior force applied to this mass.
We will consider small oscillations of the filament. By small oscillations we
mean that the angle between the x-axis and the tangent line to the filament is
sufficiently small (see Fig. 1). The latter assumption will allow us to develop a linear
theory of vibrations of the damped nonhomogeneous filament which is subject to
nonconservative boundary conditions.
HH
H
j
B
B
B
B
B
B
B M
B
B~ - f
?
x
Figure 1
Zl
T (x) = M g + ρ(τ )S(τ )dτ . (1.2)
x
Combining Eqs. (1.1) and (1.2), we arrive at the equation describing small transver-
sal vibrations of the filament
Zl
ρ(x)S(x)utt (x, t) = M g + g ρ(τ )S(τ )dτ ux (x, t) . (1.3)
x x
Assume that there exists a viscous damping with the damping coefficient 2d. This
“DynamicalSystems” — 2004/3/4 — page #36
36 M.A. Shubov
u(0, t) = 0 . (1.5)
The boundary condition at the end x = l can be derived if one takes into account
the equation of motion of the end mass. The following forces are acting on the point
mass M : a) the gravity force M g is acting downward in vertical direction; b) the
tension force T at the point x = l is acting upward along the tangent line; c) the
exterior force f (t) which is assumed to act in the horizontal direction (see Fig. 1).
Thus, we obtain the following equation which describes the transversal motion of
the point mass M :
M utt (l, t) = −T (l)ux (l, t) + f (t) . (1.6)
Substituting T from Eq. (1.2) into Eq. (1.6), we obtain
We will study even more general boundary conditions at x = l than (1.7). Namely,
assume that we have the following one-parameter family of boundary conditions:
u(0, t) = 0 , (1.10)
Remark 1.1: We do not impose on d the restriction d ≥ 0 since all our results
are valid without this assumption. However, we will call this coefficient “viscous
damping.” Certainly, this phrase is some abuse of terminology because, rigorously
speaking, only a nonnegative coefficient d can be called a viscous damping.
From now on, the problem given by (1.9)–(1.12) is our main object of interest.
In the conclusion of this section, we briefly outline the content of the paper. In
Section 2, we give an operator setting of the problem in the so-called energy space
(the state space of the system). We introduce the main matrix differential operator;
asymptotic and spectral properties of this operator are our interest. In this section,
we also reproduce the main result from our paper [20] (see Theorem 2.1 below), in
which we present the precise asymptotics of the spectrum of the problem. In Sec-
tion 3, we formulate one of the main results of the present paper – Theorem 3.1. To
make the exposition self-contained, we recall all necessary definitions. In Section 4,
we prove that the set of eigenmodes is complete in the state space of the system.
Using the properties of the functions ρ and S from (1.13), we can easily see that
the functions p and r enjoy the following properties:
Zl
1 ¡ ¢
E(t) = r(x)|ux (x, t)|2 + p(x)|ut (x, t)|2 dx + M |ut (l, t)|2 , (2.4)
2
0
Zl
D(t) = −2 d(x)|ut (x, t)|2 dx + Re h |ut (l, t)|2 , (2.5)
0
“DynamicalSystems” — 2004/3/4 — page #38
38 M.A. Shubov
Lemma 2.1 If u satisfies Eq. (1.9) and the boundary conditions given by (1.10)
and (1.11), then
dE
=D+W. (2.7)
dt
Proof: Let us multiply Eq. (2.3) by ut (x, t) and integrate over the interval [0, l].
We have
Zl Zl Zl
p(x)utt (x, t)ut (x)dx = (r(x)ux (x, t))x ut (x, t)dx − 2 d(x)|ut (x, t)|2 dx . (2.8)
0 0 0
Zl Zl
p(x)utt (x, t)ut (x)dx = − r(x)ux (x, t)uxt (x, t)dx −
0 0
Zl ¯l
¯
−2 d(x)|ut (x, t)| dx + r(x)ux (x, t)ut (x, t) ¯¯ .
2
(2.9)
0
0
Consider the out of integral term in (2.9). Due to boundary condition (1.10) and
definitions (2.1), we obtain
¯l
r(x)ux (x, t)ut (x, t)¯0 = r(l)ux (l, t)ut (l, t) − r(0)ux (0, t)ut (0, t) = M gux (l, t)ut (l, t) .
(2.10)
From boundary condition (1.11), we have
M gux (l, t)ut (l, t) = f (t)ut (l, t) + h|ut (l, t)|2 − M utt (l, t)ut (l, t) . (2.11)
Zl Zl
p(x)utt (x, t)ut (x)dx = − r(x)ux (x, t)ux,t (x, t)dx −
0 0
Zl
−2 d(x)|ut (x, t)|2 dx − M utt (l, t)ut (l, t) + h|ut (l, t)|2 + f (t)ut (l, t) . (2.12)
0
“DynamicalSystems” — 2004/3/4 — page #39
In the next step, let us take the equation which is complex conjugated to Eq. (2.3),
multiply it by ut (x, t), and integrate over the interval [0, l]. If we add together the
latter equation and Eq. (2.12), we arrive at the following result:
Zl Zl Zl
d d
p(x) |ut |2 dx = − r(x) |ux (x, t)|2 dx − 4 d(x)|ut (x, t)|2 dx −
dt dt
0 0 0
d
−M |ut (l, t)|2 + 2 Re h |ut (l, t)|2 + 2f (t) Re ut (l, t) . (2.13)
dt
It is obvious that Eq. (2.13) implies (2.7). The lemma is completely shown. ¤
Zl
1 £ ¤
kU k2H = r(x)|u00 (x)|2 + p(x)|u1 (x)|2 dx + M |u2 |2 . (2.14)
2
0
As follows from (2.14), the energy space H can be represented in the form
1
H = W2,r (0, l) ⊕ L2p (0, l) ⊕ C , (2.15)
1
where W2,r (0, l) is a weighted Sobolev space, and L2p (0, l) is a weighted L2 space.
1
Namely, if f ∈ W2,r (0, l) and g ∈ L2p (0, l), then
Zl Zl
2 0 2 2 2
kf k = r(x)[|f (x)| + |f (x)| ]dx < ∞ and kgk = p(x)|g(x)|2 dx < ∞ .
0 0
(2.16)
Since both r and p are positive continuous functions which stay away from zero,
1
the spaces W2,r (0, l) and L2p (0, l) are metrically equivalent to the standard W21 (0, l)
2
and L (0, l) spaces. If h = ∞, then the function u0 has to satisfy an additional
condition u0 (l) = 0. In H we consider a matrix differential operator given by the
differential expression
0 1 0
µ ¶
1 d d 2d(x)
r(x) − 0
Lh = −i p(x) dx dx p(x) , (2.17)
¯
d ¯ h
−g ·¯¯ 0
dx x=l M
“DynamicalSystems” — 2004/3/4 — page #40
40 M.A. Shubov
Remark 2.1: In what follows, we are looking for a solution u(x, t) with finite energy
(2.14). It means that the vector U = (u(x, t), ut (x, t), ut (l, t))T has to belong to the
energy space H in the sense that for fixed t, the function U (. , t) is an element
from H.
By a direct computation, one can show that the initial-boundary value problem
given by (1.9)–(1.12) without a forcing term (f = 0) is equivalent to the following
evolution equation in H
¯
Ut (x, t) = i (Lh U ) (x, t) , U (x, t)¯t=0 = G(x) ,
(2.19)
T
G(x) = (g1 (x), g2 (x), g3 ) , x ∈ (0, l) .
The dynamics generator Lh of the evolution problem defined by (2.19) is our main
object of interest. In a series of forthcoming papers [20–22], we will show that Lh
is a nonselfadjoint operator which belongs to a class of Riesz spectral operators in
the sense of N. Dunford [2]. The latter statement means that this nonselfadjoint
operator admits the spectral decomposition which is similar to the spectral decom-
position of a selfadjoint operator. In fact, in the aforementioned series of our works,
we do not need the most general definition of a spectral operator. The operators we
consider here are Riesz spectral operators with discrete spectra. To formulate the
definition that will be adopted for a Riesz spectral operator, we recall an important
notion of a Riesz basis.
Definition 2.1 Let R(H) be the class of bounded linear operators in H. A se-
quence of vectors {ψn }∞ n=1 ⊂ H is called a Riesz basis if there exists an operator
A ∈ R(H) such that A−1 ∈ R(H), and the system of vectors {Aψn }∞ n=1 forms
an orthonormal basis in H. A is called an orthogonalizer of {ψn }∞ n=1 If A is an
.
orthogonalizer, then all other orthogonalizers have the form U A, where U is an ar-
bitrary unitary operator. The norm kAk is uniquely defined by the basis. For any
Riesz basis {ψn }∞ ∗ ∞
n=1 ⊂ H, there is a unique biorthogonal basis {ψn }n=1 defined by
∗
the relations: (ψn , ψm ) = δnm .
(iii) only a finite number of the eigenvectors have finite chains of associate vectors;
(iv) the system of root vectors (eigenvectors and associate vectors together) forms
a Riesz basis (a linear isomorphic image of an orthonormal basis) in H.
42 M.A. Shubov
definitions and provide some background from harmonic analysis. To obtain the
aforementioned results about the root vectors, we need very detailed information
on the spectrum and eigenfunctions of the operator Lh . We point out here that the
problem of the Riesz basis property of root vectors has been addressed in a number
of our works [23, 25–27, 29, 30] devoted to the mathematical analysis of the problems
arising in the study of vibrations of different flexible structures. In our paper [22], we
will prove the exact boundary and distributed controllability results for the filament
model using the spectral decomposition method introduced by D.L. Russell [18, 19]
in the late sixties. The method used in [22] is the generalization of the method which
has been utilized in our control-theoretical papers [24, 28, 31]. In the conclusion of
this section, we reproduce our results on the spectral asymptotics from our work [20].
Theorem 2.1 The operator Lh has a countable set of eigenvalues {λhn }n∈Z . This
set is located in a strip parallel to the real axis and has only two points of accumula-
tion: +∞ and − ∞ in the sense that Re λhn → ±∞ as n → ±∞ and Im λhn → const
as n → ±∞ (see (2.23) below).
1. There exists n0 > 0 such that for |n| ≥ n0 , the following asymptotic formula
is valid:
µ ¶ ³ ´
h −1 1 −1
λn = M n + sgn n π + iM−1 + O |n| , |n| −→ ∞ . (2.23)
2
Zl s Zl
p(η) d(η)
M= dη , N = p dη . (2.24)
r(η) p(η)r(η)
0 0
e) L−1
h exists and is a compact operator in H, i.e., the operator Lh has a purely
discrete spectrum consisting of normal eigenvalues.
Proof: a) We start with the formula for the adjoint operator L∗h . To derive this
formula, we use the standard definition of an adjoint operator according to which
where (·, ·)H is the inner product generated by the energy norm (2.14). After
straightforward calculations, we obtain that the adjoint operator L∗h is given by the
“DynamicalSystems” — 2004/3/4 — page #44
44 M.A. Shubov
differential expression
0 1 0
µ ¶
1 d d 2d(x)
r(x) 0
L∗h = −i
p(x) dx dx p(x) ,
(3.2)
¯
d ¯¯ h̄
−g ·¯ 0 −
dx x=l M
Note that formulas (3.2) and (3.3), describing the adjoint operator L∗h , can be
obtained from formulas (2.17) and (2.18) in which d and h have been replaced
with (−d) and (−h̄) respectively. The fact that Lh is closed will be shown at the
end of the proof of statement e).
b) To prove that Lh is dissipative, let us consider the inner product (Lh Φ, Φ)H
with Φ = (ϕ0 , ϕ1 , ϕ2 )T ∈ D(Lh ). We have
l
Z £
2(Lh Φ, Φ)H = −i r(x)ϕ01 (x)ϕ̄00 (x) + (r(x)ϕ00 (x))0 ϕ̄1 (x) −
0
¤
2
− 2d(x)|ϕ1 (x)| dx − M gϕ00 (l)ϕ̄2 + h|ϕ2 |2 =
l
Z
= −i [r(x)ϕ01 (x)ϕ̄00 (x) + r(x)ϕ00 (x)ϕ01 (x)] dx −
0
Zl ¯l
¯
−2 d(x)|ϕ1 (x)|2 dx − M gϕ00 (l)ϕ̄2 + h|ϕ2 |2 + r(x)ϕ00 (x)ϕ̄1 (x) ¯ . (3.4)
0
0
Taking into account the boundary conditions ϕ1 (0) = 0, ϕ1 (l) = ϕ2 , and the relation
r(l) = M g, we obtain from (3.4)
Zl
2 Im (Lh Φ, Φ)H = 2 d(x)|ϕ1 (x)|2 dx − Re h |ϕ2 |2 . (3.5)
0
Lh F = L∗h F . (3.6)
“DynamicalSystems” — 2004/3/4 — page #45
Taking into account formulae (2.17), (2.18), (3.2), and (3.3), we rewrite Eq. (3.6)
component-wise and have
d(x)
f1 (x) = 0 , hf2 + h̄f2 = 0 . (3.7)
p(x)
Since d > 0 and p > 0, we immediately get f1 = 0. Due to the fact that f2 = f10 (l),
we obtain that f2 = 0. Thus, to satisfy Eq. (3.7), the vector F must have the form
(f0 , 0, 0)T , f0 ∈ W22 (0, l). It can be easily verified that such a vector belongs to an
invariant subspace of Lh if and only if F = (f0 , 0, 0)T ∈ Ker(Lh ). Indeed, the fact
that F belongs to the invariant subspace of Lh means that the image Lh F = G
must be of the form G = (g0 , 0, 0)T . Taking into account formula (2.17) for the
operator Lh , we conclude that F ∈ Ker(Lh ). The inverse implication is obvious.
As is known, for a dissipative operator, the following relation is valid:
where by ⊕, we have denoted the orthogonal sum of the subspaces, and by R(Lh )
we have denoted the range of the operator Lh . We also know, that for any linear
operator
H = N (L∗h ) ⊕ R(Lh ) , (3.9)
where N (L∗h ) is the null-space of the operator L∗h . Comparing (3.8) and (3.9), we
obtain that
Ker(Lh ) = Ker(L∗h ) . (3.10)
Let us show that Ker(Lh ) = {0}. Indeed, using formula for Lh , we can see that
Ker(Lh ) is a subspace of H spanned by the vector F = (f0 , 0, 0)T , where f0 satisfies
the following boundary-value problem:
µ ¶
d df0
r(x) = 0, f0 (0) = f00 (l) = 0 . (3.11)
dx dx
Integrating (3.11), we obtain that
df0 (x) C
= . (3.12)
dx r(x)
Taking into account that f00 (l) = 0 and r(l) > 0, we obtain from (3.12) that f00 (x) =
0, x ∈ [0, l]. Combining the latter equation for f0 with the condition f0 (0) = 0, we
obtain that f0 = 0. Statement c) is also shown.
d) To prove that Lh is a maximal operator, it suffices to show that [3]
Since zero belongs to the resolvent set of the operator Lh , we have that Lh D(Lh ) =
H. Note that the operator (I + iL−1h ) is a linear isomorphism of H onto H. Indeed,
“DynamicalSystems” — 2004/3/4 — page #46
46 M.A. Shubov
if the previous statement is not valid, then we would have that (−i) is an eigenvalue
of Lh , which contradicts statement c). This completes the proof of statement d).
e) Finally, we prove that L−1
h exists and is a compact operator. Let us consider
the equation
Lh Ψ = Y , Ψ ∈ D(Lh ) , Y ∈ H. (3.15)
We will show that Eq. (3.15) has a unique solution for any Y ∈ H and give a precise
formula for this solution, i.e., we will give a formula for the resolvent operator.
Rewriting Eq. (3.15) component-wise and assuming that Ψ = (ψ0 , ψ1 , ψ2 )T and
Y = (y0 , y1 , y2 )T , we obtain the following system:
ψ1 = iy0 , (3.16)
µ ¶
1 d dψ0 (x) 2d(x)
r(x) − ψ1 = iy1 , (3.17)
p(x) dx dx p(x)
h
−gψ00 (l) +
ψ2 = iy2 . (3.18)
M
Substituting (3.16) into (3.17), we obtain
µ ¶
d dψ0 (x)
r(x) = 2id(x)y0 (x) + iy1 (x) . (3.19)
dx dx
Denoting
y3 (x) = 2id(x)y0 (x) + iy1 (x) , (3.20)
and then integrating Eq. (3.19), we obtain
Zl
dψ0 (x) 1 C1
= y3 (τ )dτ + . (3.21)
dx r(x) r(x)
x
Zx Zl Zx
dt dt
ψ0 (x) = y3 (τ )dτ + C1 + C2 . (3.22)
r(t) r(t)
0 t 0
Recalling that M g = r(l) and taking into account (3.16), we obtain the equation
for C1
C1 iM
+ y2 = iy0 (l) ,
h h
which gives us
C1 = ih (y0 (l) − M y2 ) . (3.24)
“DynamicalSystems” — 2004/3/4 — page #47
Now we have to check that Ψ given by (3.25) belongs to D(Lh ), which can be done
in a straightforward manner.
At last, we can easily show that L−1 h is compact. Note that D(Lh ), defined
by (2.18), is a closed subspace of the space H1 = W22 (0, l) × W21 (0, l) × C, while
the energy space H is linearly isomorphic to a closed subspace of the space H2 =
W21 (0, l) × L2 (0, l) × C. It follows from the above proof that Lh −1 is a bounded
operator from H onto D(Lh ) if D(Lh ) is equipped with the norm of H1 . Therefore,
L−1
h is a compact operator since the embedding H1 ,→ H2 is compact [1].
To complete the proof, it remains to be seen that Lh is a closed operator because
this operator is inverse to a compact operator L−1 h defined on the entire energy
space H. The theorem is completely shown. ¤
48 M.A. Shubov
Formula (4.2) means that the operator Th1 h2 maps any vector Y ∈ H into the
multiple of one and the same standard vector
x T
Z
V = (r(t))−1 dt, 0, 0 .
0
Corollary 4.1 We mention that the relation similar to (4.1) is valid for the adjoint
operator as well. Namely, for any h1 , h2 ∈ C ∪ {∞}, (Re h1 , Re h2 ≥ 0), there exists
a rank-one operator T̂h1 h2 such that
¡ ∗ ¢−1 ¡ ∗ ¢−1
Lh2 = Lh1 + T̂h1 h2 . (4.3)
We will use the result of this theorem to prove that the set of root vectors of the
operator Lh is complete in the energy space H. This proof is based on the following
Keldysh theorem [4].
Theorem 4.2 (M. Keldysh). Let A = B(I + S), where B = B ∗ ∈ Σp , p < ∞, and
S ∈ Σ∞ . (Recall that a compact operator K in a Hilbert space H belongs to the class
Σp , p < ∞, if the sequence of the eigenvalues of the operator (K ∗ K)1/2 belongs to
lp ; Σ∞ is the class of all compact operators.) If the operator A is injective, (i.e.,
KerA = {0}), then the system of its root vectors is complete in H.
Now we are in a position to formulate the following statement.
Theorem 4.3 The set of root vectors of the operator Lh is complete in the energy
space H.
Proof: First of all, we note that for the operator L∗0 the following relation is valid:
L∗0 = L + D , L = L∗ , D ∈ R(H) , (4.4)
where L is a selfadjoint operator in H defined by the formula
0 1 0
1 d d
(r(x) ) 0 0
L = −i
p(x) dx dx ,
(4.5)
¯
d ¯
−g ·¯¯ 0 0
dx x=l
on the domain (2.18); D is a bounded operator in H defined by the formula
0 0 0
2d(x)
D = −i
0 0 ,
(4.6)
p(x)
0 0 0
“DynamicalSystems” — 2004/3/4 — page #49
and R(H) is a class of all bounded operators on H. Let us rewrite (4.3) assuming
that h1 = 0, h2 is replaced with h and T̂h is a rank-one operator, i.e., T̂h = T̂0h2 .
We have
(L∗h )−1 = (L∗0 )−1 + T̂h . (4.7)
Using representation (4.4), we can write
(L∗0 )−1 = (L + D)−1 + T̂h = [(I + DL−1 )−1 + T̂h L]L−1 . (4.8)
As we know, (L∗h )−1 ∈ Σ∞ . The proof that L−1 ∈ Σ∞ can be obtained from
the proof of Theorem 3.1 by repeating all steps and assuming that h = d = 0.
As follows from the asymptotics of the spectrum of the selfadjoint operator L
(see Theorem 2.1), the set of its eigenvalues {λ◦n }n∈Z has the following property:
{(λ◦n )−1 }n∈Z ∈ lp , p > 1. Since for any selfadjoint compact operator K, its s-
numbers (the eigenvalues of the operator (K ∗ K)1/2 ) coincide with the moduli of
the eigenvalues, we obtain that L ∈ Σp . It is also clear that in formula (4.8), we
have that DL−1 ∈ Σp , T̂h L is a rank-one operator in H, and also the operator
(I + DL−1 )−1 exists and can be represented in the form
Indeed, the existence of the operator (I + DL−1 )−1 follows from the fact that
the operator (L∗0 )−1 exists. To find the expression for the operator V from (4.9),
let us apply the operator (I + DL−1 ) to the equation from (4.9). We have
L−1
h =L
−1
(I + V̂ ∗ ) . (4.13)
If we identify L−1
h , L
−1
, and V̂ ∗ from (4.13) with the operators A, B, and S from
Theorem 4.2, we immediately obtain the fact of completeness of the root vectors of
the operator L−1
h (and, therefore, Lh ).
The theorem is shown. ¤
Acknowledgment
Partial support by the National Science Foundation Grants DMS-0072247 and ECS-
0080441 and Advanced Research Program of Texas-01 Grant 0036-44-045 is highly
appreciated.
“DynamicalSystems” — 2004/3/4 — page #50
50 M.A. Shubov
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“DynamicalSystems” — 2004/3/4 — page #52
“DynamicalSystems” — 2004/3/4 — page #53
1 Introduction
Many important problems of practical interest are modeled by periodic differential
equations that are both highly nonlinear and contain periodically varying parame-
ters. These problems are of great mathematical challenge and have attracted a great
deal of theoretical research (see Cesari [1], Hale [2], Urabe [3], and Yakubovich and
Starzhinskii [4]). Moreover, they have many applications in various fields of science
and engineering (see Bolotin [5], Kauderer [6], Lichtenberg and Lieberman [7], and
Hayashi [8]).
† Professor, Corresponding Author
‡ Graduate Student
“DynamicalSystems” — 2004/3/4 — page #54
The majority of analytical methods for this class of problems can be divided
into two categories: perturbation analysis using asymptotic expansion in terms
of small parameters and numerical simulation (see Bogoliubov and Mitropolsky
[9], Nayfeh and Mook [10], Nayfeh [11], Moon [12], and Thompson and Stewart
[13]). Perturbation methods allow for an analytical treatment of the problem but,
being local in nature, are valid only for small parameter variations and in a small
neighborhood of an equilibrium or periodic solution. Consequently, global domains
of attraction can only be qualitatively extrapolated from the localized behavior
around fixed points and periodic solutions. Moreover, perturbation methods are
in general difficult to implement for systems of order greater than two. Numerical
simulation studies are well suited for investigating a system’s behavior in the entire
state space. It is straightforward to perform digital simulations on a nonlinear
problem. However, as is the case with all numerical solutions, qualitative behavior
of the system is often difficult to deduce, especially for high-order systems. In
the case of systems with more than one degree-of-freedom, or with possibly more
than one independent parameter, the amount of computational effort required is
prohibitive.
It is from these aforementioned deficiencies of direct numerical techniques that a
number of combined numerical-analytical methods have been developed. An attrac-
tive way to analyze periodic systems is to formulate their discrete-time dynamics
by defining a point mapping (see Bernussou [14]). By doing this, the dynamics
of the original system is given in terms of difference (algebraic) equations, rather
than in terms of time varying differential equations. Point mapping techniques are
widely used today not only to study theoretical aspects of discrete-time systems but
also to provide a computational basis for understanding their global dynamics (see
Guckenheimer and Holmes [15] and Poincaré [16]). Similarly, the method of cell
to cell mapping has been extensively employed for studying the global behavior of
nonlinear systems. A significant amount of research involving cell to cell mapping
techniques has been performed by Hsu and his coworkers [17–19] and Guttalu et al.
[20]. For a detailed treatment of cell to cell mapping, the reader is referred to the
research monograph by Hsu [21].
In this paper, a new numerical-analytical method referred to as an Expanded
Point Mapping (EPM) is introduced. The Expanded Point Mapping approach com-
bines key elements of the cell to cell mapping and point mapping methods to form
a comprehensive methodology to study the global behavior of nonlinear periodic
systems in conjunction with analytical investigations of stability characteristics of
equilibrium points and periodic solutions. The proposed method is applicable to
multi-degree of freedom systems, and the analytical procedure is formulated for any
order of approximation. Consequently, the approach allows convenient analysis of
multi-dimensional and multi-parameter systems. The global analysis performed by
the EPM formulation consists of obtaining all possible equilibrium and periodic so-
lutions and determining their domains of attraction. Moreover, the EPM technique
generates an analytical expression representing each periodic solution allowing local
stability analysis of the equilibrium and periodic solutions computed in the global
analysis part of the approach. In addition, the EPM approach provides the tools to
express the solutions as a function of system parameters which allows the study of
stability characteristics as function of these parameters and subsequently obtaining
bifurcation conditions.
“DynamicalSystems” — 2004/3/4 — page #55
The paper is organized as follows. In Section 2 the point mapping method and
an algorithm to obtain its approximation are summarized. Section 3 briefly reviews
the cell to cell mapping method. In Section 4 the Expanded Point Mapping method
is formulated, and a procedure for its application to analysis of nonlinear periodic
systems is described. In Section 5 the proposed approach is demonstrated in a study
of an inverted pendulum with a support periodically excited in the plane. Finally,
concluding remarks are provided in Section 6.
x∗ (m + 1) = Gm (x∗ (1), s∗ ) , m = 1, 2, . . . , K − 1 ,
(3)
x (1) = G (x (1), s∗ ) ,
∗ K ∗
where Gm is the point mapping G applied m times. From this definition, an equi-
librium state of (2) can be viewed as a P-1 solution. Also, an equilibrium point x∗
of (1) which satisfies f (t, x∗ , s∗ ) = 0 ∀t is clearly a solution of the corresponding
point mapping (2). Finding a P -K solution of the point mapping G is equivalent
to finding a periodic solution of the original continuous time system. Having found
a P -K solution by solving the algebraic system of equations (2), its local stabil-
ity properties (in the sense of Liapunov) are determined by the eigenvalues of the
matrix H given by
K
Y ¯
∗ ∗∂G ¯¯
H= H (j) , where H (j) = . (4)
j=1
∂x ¯x=x∗ (j), s=s∗
“DynamicalSystems” — 2004/3/4 — page #56
1. A P -K solution of (2) is locally asymptotically stable if and only if |λi (H)| < 1
∀i = 1, 2, . . . , N .
3. If |λi (H)| = 1 for some i = j and |λi (H)| < 1 ∀i = 1, 2, . . . , N i 6= j, then the
linearization process is inconclusive. Moreover, if this condition occurs while
s is varied, bifurcation conditions are established.
Note that in our definition of the multinomial p(t, x, s), we assume no terms of
order zero in the components of x. There is no hard forcing in the system (1). For
the case of P → ∞ in equation (6), f (t, x, s) is approximated by a k-jet denoted
by j k f , i.e., by a Taylor series expansion. Let p(t, x, s) and q(t, x, s) be two vector
“DynamicalSystems” — 2004/3/4 — page #57
homogeneous multinomials. It can be shown (see Poston and Stewart [27]) that the
k-jets obey the rules in equations (8–10). Namely
j k (p + q) = j k p + j k q , (8)
j k (p · q) = j k p · j k q , (9)
j k (p ◦ q) = j k p ◦ j k q , (10)
The computational algorithm for evaluating a point mapping is based on the
fact that the operations of multinomial addition, multiplication, and telescoping
(composition) can be interchanged with the truncation operation. Moreover, the
Runge–Kutta method of integration can be expressed as a sequence of multinomial
telescoping and truncation operations which finally results in a truncated multino-
mial expression for the point mapping G(x(n), s) of (2). Using the Runge–Kutta
method, the state of the system at time t = tp + h can be formulated as follows (see
Henrici [28]):
M
X
x(tp + h) = x(tp ) + h dm km (t, x, s) , (11)
m=1
where M is the order of the Runge–Kutta method, h is a fixed time step, and dm
are certain constants determined by the Runge–Kutta method. The vectors km are
given by
where the constants am and cm are defined by the particular Runge–Kutta method
implemented, with a1 = 0 and c1 = 0.
To derive the algorithm, the period T is divided into Nt subintervals of length
h = T /Nt . We are interested in computing a k-jet of the point mapping G in (2).
The point mapping algorithm takes advantage of the structure of the dynamic
equation for the system in (11). It can be shown that each function km can be
expressed by telescoping (composition) and addition of truncated multinomials,
resulting in j k km (i; x, s) = pm
(k) (i; x, s), m = 1, 2, . . . , M . Similarly, equation (11)
consists of additions of truncated multinomials yielding
M
X
j k x(tp + ih) = x + h dm pm
(k) (i; x, s) = Q(k) (i; x, s) .
m=1
While obtaining the mapping in (13), a truncation of the parameter vector s can
be performed simultaneously by a scheme similar to the one used for the truncation
of the state vector x. The algorithm devised here separately keeps track of the
powers of the components of the parameter vector s in addition to the state vector x.
Assume that the coefficients of the elements of the parameter vector s of f given
in equation (6) are analytic, i.e., they consist of powers of the components of s.
Therefore, we can take the p-jet of the coefficients with respect to the powers of sj ,
(i)f Pp (i) k k Pp
j = 1, 2, . . . , L and obtain bEr (t, s) = q σEr ,Eq (t) s11 · · · sLL . The symbol q
PL
denotes summation over all sequences k1 , . . . , kq such that m=1 km = q and q =
(i)
1, 2, . . . , p. Defining the coefficients of f (t, ·, ·) as σEr ,Eq (t) yields
p
k X
X (i) j j k k
jxk jsp f (t, x, s) = σEr ,Eq (t) x11 · · · xNN s11 · · · sLL .
r q
Assume that the truncation on the elements of s was done up to the power p. Then,
the corresponding truncated point mapping is denoted by
kp
x((n + 1)T ) = G(x(nT ), s) = G(k,p) (x(nT ), s) . (14)
of a cell dynamical system in N -dimensional cell state space S. The dynamics of the
cell mapping system (16) is characterized by singular cells consisting of equilibrium
cells and periodic cells. A periodic cell of period K ∈ Z+ (or a P -K cell) is a set of
K distinct cells {z∗ (k) | k = 1, 2, . . . , K} such that
z∗ (m + 1) = Cm (z∗ (1)) , m = 1, 2, . . . , K − 1 ,
∗ K ∗
(17)
z (1) = C (z (1)) ,
where Cm means the mapping C applied m-times. This set is said to constitute a
periodic motion of period K or simply a P -K motion.
To obtain a cell mapping associated with the periodic dynamical system (1), the
following procedure is usually implemented. First, construct a cell space structure
in the state space region with cell size hi in the xi -direction. Let x(d) (tp ) denote the
(d)
center point of the cell z(tp ) so that xi (tp ) = hi zi (tp ) i = 1, 2, . . . , N . Integrate
the state equations (1) over one period of time from time t = tp to time t = tp + T .
Suppose that the trajectory starting from x(d) (tp ) terminates at x(d) (tp + T ). The
cell in which x(d) (tp + T ) lies is taken to be z(tp + T ), the image cell of z(tp ).
Specifically,
" #
(d)
xi (tp + T ) 1
zi (tp + T ) = Ci (z(tp )) = Int + , i = 1, 2, . . . , N , (18)
hi 2
where Int(y), for any real number y, represents the largest integer which is less
than or equal to y, i.e., Int(y) ≤ y. This process of finding image cells is repeated
for every cell in the cell state space S. The mapping C so determined is a cell
mapping associated with the dynamical system (1). Figure 1 depicts a two-dimen-
sional simple cell mapping given by C(z1 ) → z2 , C(z2 ) → z2 , C(z3 ) → z4 , etc.
A trajectory of the cell-to-cell dynamical system (16) starting from an initial
cell state z(0) is referred to as a cell sequence of (16) which is the set of integers
given by {z(k), k = 1, 2, . . .}. In practical applications, one is usually interested in
a bounded region of the state space which contains a finite number of cells. Once
the state variable goes beyond a certain positive or negative magnitude, we are no
longer interested in further evolution of the system (1). Taking advantage of this,
all the cells outside this finite region can be lumped together into a single cell, a
sink cell, which will be assumed to map into itself in the mapping scheme, i.e.,
zSink (n + 1) = C(zSink (n)). Due to the finite number of cells in state space, all
cell sequences must terminate with a finite number of cell mappings into one of the
steady cell states, namely an equilibrium cell, group of periodic cells, or the sink
cell. This property is of crucial importance in developing the global cell mapping
algorithm by Hsu and Guttalu [19]. This algorithm that unravels the global behavior
of the system (1), provides the following characteristics of the system:
X2
Z2
Z3
Z7
Z1
Z5
Z4
Z6
X1
Figure 1 Example of a simple cell mapping with periodic (shaded) and transient cells. z2
is a P -K solution of period 1. z3 , z4 , and z5 constitute a P -K solution of period 3.
3. Step-by-step evolution of the global behavior of the system starting from any
initial state within the cell state space.
X2
ξ(3)
Z3
ξ(2)
Z2
Z4
Z1
ξ(4)
X1
yields
∗(i) (i)
φ̇ (t) + ξ̇ (t) = f (t, φ∗(i) (t) + ξ(i) (t), s) . (19)
∗(i)
Assuming that f is analytic, we apply a Taylor series expansion about φ (t) to
the right-hand side of (19). Recalling that φ∗(i) (t) is a solution of equation (1), the
perturbed trajectory satisfies
(i) (i) (i)
ξ̇ (t) = p(m) (t, ξ(i) (t), s) + R(m+1) (t, ξ(i) (t), s) , (20)
(i)
where p(m) (t, ξ(i) (t), s) is a vector homogeneous multinomial of degree m in ξ (i) (t).
Notice that (20) is written as a perturbation about a trajectory. Consequently,
it does not possess terms of order zero, and satisfies the hard forcing criteria of
(i)
Section 2.1. The remainder term R(m+1) (t, ξ(i) (t), s) is a higher order multinomial
of O(kξ(i) (t)km+1 ). In some neighborhood of φ∗(i) (t) for which kξ(i) (t)k < ρ, the
truncated system
(i) (i)
ξ̇ (t) = p(m) (t, ξ(i) (t), s) , i = 1, 2, . . . , NC , (21)
Hence, the analytical m-th order approximation of the trajectory is given by:
(i)
x(T ) = φ∗(i) (T ) + G(m) (ξ(i) (0), s) , i = 1, 2, . . . , NC . (23)
Note that equation (22) defines the mapping of all points within the cell zi and
is accurate to degree m. This is the fundamental tenet of the Expanded Point
Mapping approach. Defining the norm k · k to be the infinity norm, i.e., kξ (i) (t)k =
(i)
maxj |ξj (t)| j = 1, 2, . . . , N , with an appropriate scaling, then kξ(i) (0)k∞ < σi
defines a rectangular region. This rectangular region is considered by Hsu [21] as a
definition of a cell occupying a region of state space in the same spirit as previously
developed in Section 3. Therefore, ξ (i) (T ) defines a map of any point within the
entire cell zi . It is critical to reiterate the fact the map ξ(i) (T ) can be evaluated
to any order of multinomial approximation m and can be developed for systems of
arbitrary dimension N . By definition, a periodic solution (x(0), x(T ), . . . , x(kT ))
of period KT satisfies:
x(0) → x(T ) ,
x(T ) → x(2T ) ,
.. (24)
.
x((K − 1)T ) → x(KT ) ,
x(KT ) → x(0) .
“DynamicalSystems” — 2004/3/4 — page #63
Applying Liapunov’s indirect method and its extension (see Jury [29] and
Vidyasagar [30]) to the P -K solution x(j), j = 1, 2, . . . , K yields
K
Y
H(s) = H(j) (ξ (j) (k), s) .
j=1
4. Set tp = 0 → k = 0.
6. Apply the perturbation ξ (i) (k) to the truncated point mapping (22) and obtain
(i)
ξ (i) (k + 1) = G(m) (ξ(i) (k), s).
10. Local stability analysis is performed by evaluating H(s) along the trajectory
for s = s0 .
d2 θ dθ g 1 d2 X 1 d2 Y
+ c + sin θ + cos θ + sin θ = 0 , (25)
dt2 dt L L dt2 L dt2
“DynamicalSystems” — 2004/3/4 — page #65
X 2
E P M M a p p i n g : C e l l Z 1
( ( 0 ) )
1 ) 1 )
( (
ξ
)
( m
, s
Z 8 Z 9
Z 5 Z 6 Z 7
S
C M
1 ) ( T )
* (
φ
Z 2 Z 3 Z 4
Z 1
X 1
X(t)
Y(t)
g
cmLθ
m
ξ˙1 (τ ) =
(i) (i)
ξ2 ,
½ h i h i¾
˙ξ (i) (τ ) = ∗(i) 1 ∗(i) (i) µ (i)
2 −X0 sin φ1 (τ ) + τ − 2 cos φ1 (τ ) ξ1 − ξ˙2 +
x3 x3
½ h i h i¾ ³ ´2
1 ∗(i) 1 ∗(i) (i)
+ −X0 cos φ1 (τ ) + τ + 2 sin φ1 (τ ) ξ1 + (29)
2! x3
½ h i h ¾
i ³ ´3
1 ∗(i) 1 ∗(i) (i)
+ X0 sin φ1 (τ ) + τ + 2 cos φ1 (τ ) ξ1 +
3! x3
½ h i h ¾
i ³ ´4
1 ∗(i) 1 ∗(i) (i)
+ X0 cos φ1 (τ ) + τ − 2 sin φ1 (τ ) ξ1 .
4! x3
The truncated point mapping algorithm is applied directly to (29) in order to
calculate each mapping of points within the cell, i.e., the cell’s truncated point
mapping. This completes the preliminary EPM problem definition, computational
parameter specifications, etc.
5.2 Results
To demonstrate the EPM procedure the global behavior of (28) will be presented.
For the EPM analysis the region of state space studied in R2 was −π ≤ x1 < π and
−π ≤ x2 < π. This system was previously analyzed using simple cell mapping (see
Guttalu and Flashner [31]).
“DynamicalSystems” — 2004/3/4 — page #67
Expanded Point Mapping Method Cell TPM order is 4. Cell resolution is 51 by 51.
Cell TPM integration stepsize is 2 π / 100. Trajectory initial condition resolution is 451 by 451.
0.8
0.6
Group B
Outer Stable →
0.4
Group C
0.2
Group A
X /π
0
2
← Inner Stable
-0.2
-0.4
-0.6
← Outer Unstable
-0.8
-1
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1
X1 / π
Expanded Point Mapping Method Cell TPM order is 4. Cell resolution is 51 by 51.
Cell TPM integration stepsize is 2 π / 100. Trajectory initial condition resolution is 451 by 451.
0.8
0.6
0.4
0.2
X /π
0
2
-0.2
-0.4
-0.6
-0.8
-1
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1
X /π
1
0.8
0.6
Group B
Outer Stable →
0.4
Group C
0.2
Group A
X /π
0
2
← Inner Stable
-0.2
-0.4
-0.6
← Outer Unstable
-0.8
-1
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1
X1 / π
0.8
0.6
0.4
0.2
X /π
0
2
-0.2
-0.4
-0.6
-0.8
-1
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1
X /π
1
0.8
0.6
Group B
Outer Stable →
0.4
Group C
0.2
Group A
X /π
0
2
← Inner Stable
-0.2
-0.4
-0.6
← Outer Unstable
-0.8
-1
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1
X1 / π
0.8
0.6
0.4
0.2
X /π
0
2
-0.2
-0.4
-0.6
-0.8
-1
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1
X /π
1
Table 2 CPU time requirements for basins of attraction and periodic solutions.
shown in Figures 11–12. In this instance, the SCM trajectory diverged rapidly
from the “exact” integration and ultimately went to the incorrect periodic response
as shown in Figure 11. This illustrates the potential pitfalls of a coarse SCM
cellular resolution and the numerical error introduced due to cell discretization
effects. In contrast, the EPM response closely matches the “exact” response as
depicted in Figure 12. Within the limits of the plot resolution the EPM method
has reproduced a trajectory virtually identical to continuous integration.
The computational time requirements for the EPM, SCM, and Direct Integration
methods were also compared. All computations were performed on a Motorola
StarMax 3000. In Section 5.2.1 we examined 451 × 451 initial conditions in the
region of interest and determined both an “exact” basin of attraction and EPM
basin of attraction. To make a meaningful comparison a SCM basin of attraction
plot was constructed with a cellular resolution of 451 × 451 and each cell center
point matching the 451 × 451 initial conditions used for both the “exact” and EPM
basins of attraction. The cpu times are listed in Table 2. The cost for Direct
Integration was approximately 78 times as high as needed by the EPM technique.
Similarly, the SCM cpu cost was approximately 4 times greater than the EPM cpu
cost. Clearly, the EPM method possesses a significant computational advantage
over both the “exact” and SCM methods. Furthermore, it was interesting to note
the SCM P -K cell locations were still not as accurate as the EPM P -K points.
Again, this points out SCM cell discretization error, albeit small, exists even at fine
cellular resolutions.
Finally, an additional EPM study was performed whereby the cellular resolution
of the example problem was systematically lowered and the effects on both basins
of attraction and P -K solution accuracy were examined. It was found for a fourth-
order Expanded Point Mapping the cellular resolution could be reduced to 17 × 17
and still accurately locate the two stable and one unstable P -K solutions. The
only inaccuracies introduced were in the boundaries separating the various basins
of attraction. Thus, the EPM approach was extremely robust with respect to large
cell sizes.
6 Concluding Remarks
A new numerical-analytical method called Expanded Point Mapping (EPM) was
formulated. This methodology combines the cell to cell mapping and point mapping
methods to investigate the global behavior and stability characteristics of equilib-
“DynamicalSystems” — 2004/3/4 — page #74
Trajectory Comparison
Simple Cell Mapping versus Exact Integration
3
Exact
SCM
1.5
X1
-1.5
-3
0 10 20 30 40 50 60 70 80 90 100 110
Time τ
Trajectory Comparison
Expanded Point Mapping versus Exact Integration
3
Exact
EPM
1.5
X1
-1.5
-3
0 10 20 30 40 50 60 70 80 90 100 110
Time τ
rium points and periodic solutions of nonlinear time-varying systems. The proposed
method has the following features:
• The EPM method has a well defined theoretical basis stemming from cell
mapping and point mapping theories. The analytic expression for the mapping
of points within a cell is exact up to any desired degree of approximation m.
• The EPM method is formulated for multi-dimensional systems. This feature
is an important advantage over other analytic approaches for which analysis
of systems of order greater than two is very cumbersome, and sometimes even
impossible.
• Local stability studies of periodic solutions can be performed analytically on
the m-th order analytic approximation of the point mapping within a given
cell.
• The trajectory evolution for EPM is based upon a continuum in state space.
Hence, the EPM approach has the ability to generate any number of trajec-
tories. This feature allows an accurate global analysis of the system and is an
advantage over cell mapping-based global analysis.
Acknowledgment
The research reported here was partially supported by the National Science Foun-
dation grant CMS-9700467.
References
1. Cesari, L. (1971) Asymptotic Behavior and Stability Problems in Ordinary
Differential Equations. Academic Press, New York, 3rd edition.
2. Hale, J.K. (1963) Oscillations in Non-linear Systems. McGraw-Hill, New
York.
3. Urabe, M. (1967) Non-linear Autonomous Oscillations. Academic Press, New
York.
4. Yakubovich, V.A. and Starzhinskii, V.M. (1975) Linear Differential Equations
with Periodic Coefficients. Vols 1 and 2, John Wiley and Sons, New York.
5. Bolotin, V.V. (1964) The Dynamic Stability of Elastic Systems. Holden-Day,
San Francisco.
6. Kauderer, H. (1958) Nichtlineare Mechanik . Springer-Verlag, Berlin.
7. Lichtenberg, A.J. and Lieberman, M.A. (1083) Regular and Stochastic Mo-
tions. Springer-Verlag, New York.
8. Hayashi, C. (1964) Nonlinear Oscillations in Physical Systems. McGraw-Hill,
New York.
9. Bogoliubov, N.N. and Mitropolsky, Y.A. (1961) Asymptotic Methods in the
Theory of Nonlinear Oscillations. Hindustan Publishing Company, Delhi.
10. Nayfeh, A.H. and Mook, D.T. (1979) Nonlinear Oscillations. John Wiley and
Sons, New York.
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11. Ali Hasan Nayfeh (1973) Perturbation Methods. John Wiley and Sons, New
York.
12. Moon, F.C. (1987) Chaotic Vibrations. John Wiley and Sons, New York.
13. Thompson, J.M.T. and Stewart, H.B. (1986) Nonlinear Dynamics and Chaos.
John Wiley and Sons, Chichester.
14. Bernussou, J. (1977) Point Mapping Stability. Oxford, Pergamon.
15. Guckenheimer, J. and Holmes, P. (1983) Nonlinear Oscillations, Dynamical
Systems, and Bifurcations of Vector Fields. Springer-Verlag, New York.
16. Poincaré, H. (1899) Les Methodes Nouvelles de la Mecanique Celeste. 3 Vol-
umes, Gauthier-Villar, Paris.
17. Hsu, C.S. (1980) A Theory of Cell-to-Cell Mapping Dynamical Systems. ASME
Journal of Applied Mechanics, 47, 931–939.
18. Hsu, C.S. and Chiu, H.M. (1986) A Cell Mapping Method for Nonlinear De-
terministic and Stochastic Systems, Part I. The method of analysis. ASME
Journal of Applied Mechanics, 53, 695–701.
19. Hsu, C.S. and Guttalu, R.S. (1986) An Unravelling Algorithm for Global
Analysis of Dynamical Systems: An Application of Cell-to-Cell Mappings.
ASME Journal of Applied Mechanics, 47, 940–948.
20. Guttalu, R.S. (1981) On Point Mapping Methods for Studying Nonlinear Dy-
namical Systems. Ph.D. dissertation, University of California, Berkeley.
21. Hsu, C.S. (1987) Cell-to-Cell Mapping: A method of global analysis for non-
linear systems. Springer-Verlag, New York.
22. Miller, K.S. (1968) Linear Difference Equations. Benjamin, New York.
23. Flashner, H. (1979) A Point Mapping Study of Dynamical Systems. Ph.D.
dissertation, University of California, Berkeley.
24. Flashner, H. and Hsu, C.S. (1983) A Study of Nonlinear Periodic Systems via
the Point Mapping Method. International Journal for Numerical Methods in
Engineering, 19, 185–215.
25. Guttalu, R.S. and Flashner, H. (1989) Periodic Solutions of Nonlinear Au-
tonomous Systems by Approximate Point Mappings. Journal of Sound and
Vibration, 129, 291–311.
26. Guttalu, R.S. and Flashner, H. (1955) Analysis of Bifurcation and Stability of
Periodic Systems using Truncated Point Mappings. In Nonlinear Dynamics:
New Theoretical and Applied Results, pp. 230–255, Akademie Verlag, Berlin.
27. Poston, T. and Stewart, I. (1978) Catastrophe Theory and its Applications.
Pitman Publishing, London.
28. Henrici, P. (1962) Discrete Variable Methods in Ordinary Differential Equa-
tions. John Wiley and Sons, New York.
29. Jury, E.I. (1974) Inners and Stability of Dynamic Systems. John Wiley and
Sons, New York.
30. Vidyasagar, M. (1978) Nonlinear Systems Analysis. Prentice-Hall, Englewood
Cliffs, New Jersey.
31. Guttalu, R.S. and Flashner, H. (1994) A Numerical Study of the Dynamics of
a Pendulum with a Moving Support. ASME Journal of Applied Mechanics,
192, 293–311.
“DynamicalSystems” — 2004/3/4 — page #77
78 D. Belato et al.
1 Introduction
A nonlinear dynamic system can be investigated through the evolution of its phase
portrait when a chosen control parameter is varied, because it indicates the way that
a system loses its stability providing a picture of the behavior of their solutions.
However, when this analysis is done considering just the calculation of the basins
of attraction of their respective attractors, some initial geometric characteristics of
the phase portrait can be lost since the transient trajectories are totally neglected.
As a matter of fact, in a nonlinear system the transient solution reveals the geomet-
ric structure of its solution surface in an n-dimensional space, where this surface
represents the total solution of a differential equations’ set and the phase portrait
represents only the projection of the former on the plane. Depending on the type
of intersection among the transient functions we can detect both the minimum and
maximum points of the solution surface (stable and unstable solutions), and the
narrow geometrical structure existing among them which is given by the existence
of fractals, drawing, in this way, the shape of the solution surface which is projected
on the plane [2]. Thus, a preliminary study of a nonlinear system must contain
a detailed investigation of its solution’s set, including the behavior of its transient
solutions, in order to find out the topologic structure of its phase portrait when the
variation of a chosen control parameter is considered.
In this work, we will investigate the evolution of the phase portrait of a particular
nonlinear system slightly similar to that of [1] which consists in a simple pendulum
whose point of support is vibrated by a two-bar linkage along a horizontal guide
(Figure 1). This paper is a continuation of the work reported in [5], where the
Hamiltonian formulation was used to detect and identify the nonlinear phenomena
that this particular system presents with the variation of a chosen control parameter.
Here, the analysis will be done adding a small damping force in the differential
equations of the system in order to identify the main characteristics of the obtained
solutions. A complete study of the electromotor-pendulum’s behavior near the
fundamental resonance region can be found in [3].
This work is organized as follows. In Section 2 we describe the perturbed Hamil-
tonian differential equations. The numerical results and some comments are pre-
sented in Section 3, and in Section 4, we present our conclusions.
2 Mathematical Model
A scheme of the mechanical system to be investigated here is given in Figure 1. It
is composed of a simple pendulum whose point of support is horizontally vibrated
by a crank mechanism. The complete mathematical formulation of this problem is
described in [5], where the obtained Hamilton equations are:
α0 = P + σ2 F cos α , (1)
γ = g/lω 2 , and the primes denote derivatives concerning τ = ωt. The Hamilto-
nian function is defined as
∗ P2 F2
H (α, P ; t) = + σ2 P F cos α − σ22 sin2 α − γ cos α . (3)
2 2
In this work, we consider a small perturbation in equations (1) and (2) which
is given by a viscous damping at the pendulum’s point of support equal to cP α0 ,
obtaining the system equations:
α0 = P + σ2 F cos α , (4)
3 Numerical Results
The numerical simulations were done using the Simulink toolbox in MatlabT M ,
through the integration of the equations (4) and (5), using the parameters:
a = 0.07 m, b = l = 0.3 m, g = 9.81 m/s2 , i.e., σ1 = 0.233, σ2 = 0.233, and
γ is the chosen control parameter. The graphs below are Poincaré maps calcu-
lated every time that the trajectory of the system crosses the plane τ = (n + 1)π,
n = 1, 2, . . . , defining the phase portrait of the system for a given value of the
control parameter.
In Figures 3 and 5, for each value of the control parameter there are two cor-
responding graphs: the first contains only the transient solution reaching the re-
spective attractor for determined initial conditions; the second also contains some
functions (in black) calculated using just the initial points of the transient tra-
jectory which draws the phase portrait’s structure. In reality, this last picture is
“DynamicalSystems” — 2004/3/4 — page #80
80 D. Belato et al.
Figure 2 Bifurcation diagram of the perturbed Hamiltonian equations obtained with the
variation of the control parameter (γ) and using the initial condition (α(0), P (0)) = (0, 0).
We identify four bifurcations’ values given by: γ ≈ 1.4; 0.3; 0.16; 0.025.
obtained using each of the first six points of the transient solution varying the
initial condition in the following way: −π ≤ α(0) ≤ π and P (0) = 0, which gener-
ates six independent functions inside the phase portrait. These lines indicate the
borders of motion, where the solution travels before tending towards its attrac-
tor for a given initial condition, representing thus the “skeleton” of the system’s
general motion.
There are intersections among these six independent functions (represented by
different colors and identified as “transient functions”), but not at the same point,
creating a limited region which contains the attractors (for one, Figure 8c), whereas
the juxtaposition of these lines means the existence of a saddle (for one, Figure 4a
and 9e). As a matter of fact, the non-intersection of the transient functions at the
same point, i.e., the non-existence of a fixed point for the transient functions, is
due to the inclusion of the damping force in the Hamiltonian equations breaking
the symmetry of the phase portrait in relation to the axis P = 0. Thus, the evo-
lution of the transient functions with variation of the control parameter indicates
the geometrical structure of the phase portrait (Figures 4 and 6), and their fitting
by using known mathematical functions may lead to an analytical description of
their behavior that will be investigated in a future work. Here, we are only inter-
ested in showing the geometrical form of the phase portrait in order to identify its
irregularities and changes during variation of a control parameter.
To begin our analysis, it is important to observe that there are three main types
of solutions that appear inside the phase portrait, when existence and evolution is
made possible by the change in the system’s stability: the first is a non-resonant sta-
ble solution, located on the bottom of the potential well, and represents the global
minimum of the solution surface for the non-perturbed Hamiltonian system (its
evolution in relation to the variation of the control parameter is given in Figure 2);
the second is a resonant stable solution, located on the left of the phase portrait
and the third is a resonant unstable solution (saddle) located on the right of the
phase portrait and cannot be easily detected by numerical integration, Figure 3a.
We can observe that the two resonant solutions (stable and unstable) remain in
an intermediate position inside the phase portrait whereas the non-resonant solu-
tion moves towards the resonant unstable solution, and the distance between both
“DynamicalSystems” — 2004/3/4 — page #81
a b
? ? ?
P P
c d
P P
e f
P P
α α
Figure 3 Phase portrait characteristics when (a,b) γ = 2; (c,d) γ = 1.5; (e,f) γ = 1.25,
with the respective behavior of the transient functions in (b,d,f).
“DynamicalSystems” — 2004/3/4 — page #82
82 D. Belato et al.
?
a b
?
α P
?
c d
α P
e f
α P
αi (0) αi (0)
Figure 4 Transient functions characteristics for (a,b) γ = 1.5; (c,d) γ = 1.25; (e,f) γ = 1.0.
(a,c,e) describe the behavior of α × αi (0) and (b,d,f) describe the behavior of P × αi (0).
“DynamicalSystems” — 2004/3/4 — page #83
a b
P P
c d
P P
α α
Figure 5 Phase portrait characteristics when (a,b) γ = 0.8; (c,d) γ = 0.6.
determines the loss of stability of the system at a critical value, where the saddle
collides with the periodic attractor, [2]. Thus, with variation in the value of the
control parameter, the basin of attraction of the resonant attractor increases its size
whereas the non-resonant one diminishes, disappearing totally in this last critical
value. The system undergoes a saddle-node bifurcation, resulting in the appear-
ance of an irregular transient which leads to a new basin of a 7-period attractor,
Figure 3e,f. Note, the system enters a domain where a sub-harmonic solution of
several orders can be seen, culminating in a 3-period sub-harmonic, Figure 5c,d.
For γ ≈ 0.3, the solution duplicates its period, where the only attractor bi-
furcates into two. However, there is not a complete cascade in this domain but
only a discontinuous increase in the solutions amplitude, [6]. Afterwards, the only
basin of attraction in the center of the phase portrait tends to diminish again, dis-
appearing totally when γ ≈ 0.16 where the system undergoes a global bifurcation
and characteristics of the non-hyperbolicity of the minimum point of the solution
surface appears. As a matter of fact, in this domain there occurs a complete domi-
nation of the irregular solutions in the interior of the phase portrait, which strongly
diminishes the basin with a limited attractor in the center of the phase portrait,
Figure 7c. At this moment, the solution undergoes a discontinuous jump to new
remote attractors given by the rotations of the pendulum, [2]. We also can observe
that the 1-period rotational attractors bifurcate into 3-period ones, but a detailed
study of these solutions will be done in a future work.
“DynamicalSystems” — 2004/3/4 — page #84
84 D. Belato et al.
a b
α P
c d
α P
e f
α P
αi (0) αi (0)
Figure 6 Transient functions for (a,b) γ = 0.8; (c,d) γ = 0.6; (e,f) γ = 0.3, with (a,c,e)
reflecting α × αi (0) and (b,d,f) reflecting P × αi (0).
Again, with variation of the control parameter, the basin of attraction in the
center of the phase portrait (limited attractors) appears, with its motion direction
inverted, and the basin gradually increases its size. Also, new small basins around
the principal one are created, Figure 7d,e. In this condition, three prolongations of
the transient functions occur towards the saddles α = ±π, connecting them till the
region near to the boundary of the basin of attraction in the center of the phase
portrait, leading all their unstable characteristics to appear near the attractor.
This last event constitutes the phenomenon of multistability reported in [7] and a
complete study of these observations is provided by [4].
“DynamicalSystems” — 2004/3/4 — page #85
a b
P P
c d
P P
e f
P P
α α
Figure 7 Phase portrait characteristics with the respective transient functions for
(a) γ = 0.3; (b) γ = 0.2; (c) γ = 0.144; (d) γ = 0.13; (e) γ = 0.122; (f) γ = 0.1.
When γ ≈ 0.025, the system creates another basin of attraction in the center of
the phase portrait which appears under the action of an inverse saddle-node bifur-
cation, where the saddle and the periodic attractor reappear with their positions
inverted inside the phase portrait (Figure 8). This time the saddle solution separates
the two periodic attractors, and this separation process goes on until the attractors
reach the basin of the two unstable solutions located near the point α = ±π/2
with P tending to zero, Figure 8d. This occurs because the system works at a high
excitation frequency where the stabilization of the pendulum oscillation around an
“DynamicalSystems” — 2004/3/4 — page #86
86 D. Belato et al.
a b
P P
c d
P P
α α
Figure 8 Phase portrait characteristics with the respective transient functions for
(a) γ = 0.03; (b) γ = 0.025; (c) γ = 0.025; (d) γ = 0.01.
unstable point can be done. We observe that in this domain of the control parame-
ter the features of the solutions in the phase portrait have a “more stable behavior”
than the ones verified at a low excitation frequency, since in the former case the cal-
culated transient functions are totally continuous, and they can be expressed using
Euclidian geometry, which did not happen before due to the presence of a fractal
structure surrounding the basin of the limited attractors. Thus, in this stage the
geometrical complexity of the phase portrait’s structure diminishes, and the tran-
sient functions are clearly defined as a continuous line without any discontinuity
near the center of the phase portrait, Figure 9d,e,f.
A summary of all the motions of this system is presented in Figure 10, and it
reflects the behavior of the phase portrait with the variation of the chosen control
parameter. We can observe that the transient trajectory draws the structure of the
phase portrait, providing a good tool for the study of a nonlinear system, but the
comprehension of the arrangement of these lines inside the phase portrait is a topic
that must be better explored.
4 Conclusion
In this work, a particular perturbed Hamiltonian system is analyzed through evo-
lution of its phase portrait in order to obtain all the bifurcational changes of the
system. Thus we can identify the three different bifurcational behaviors responsible
“DynamicalSystems” — 2004/3/4 — page #87
a b
α α
c d
α α
e f
α α
αi (0) αi (0)
Figure 9 Graphs α × αi (0) representing the transient functions for (a) γ = 0.2; (b)
γ = 0.144; (c) γ = 0.1, (d) γ = 0.03; (e) γ = 0.025; (f) γ = 0.01.
88 D. Belato et al.
Figure 10 Summary of the bifurcational behavior of the phase portrait’s evolution of the
crank-pendulum mechanism.
high complexity level in the lower excitation frequencies. Therefore, only a deeper
study of the geometry of these functions can reveal whether there is some standard
among the solutions of this class of nonlinear equations.
Acknowledgment
The authors would like to thank FAPESP (Fundação de Amparo à Pesquisa do
Estado de São Paulo), for its financial support.
References
1. Weibel, S., Kaper, T.J. and Baillieul, J. (1997) Global Dynamics of a Rapidly
Forced Cart and Pendulum. Nonlinear Dynamics, 13, 131–170.
2. Belato, D. (2002) Nonlinear Analysis of Non Ideal Holonomic Dynamic Sys-
tems. Ph.D. Thesis, Fac. Mech. Engineering, UNICAMP, Brazil, 186 p. (in
Portuguese).
3. Belato, D., Weber, H.I., Balthazar, J.M. and Mook, D.T. (2001) Chaotic
Vibrations of a Nonideal Electro-Mechanical System. International Journal
of Solids and Structures, 38, 1699–1706.
4. Belato, D., Balthazar, J.M. and Weber, H.I. (2003) A Note about the Ap-
pearance of Non Hyperbolic Solutions in a Mechanical Pendulum System.
Nonlinear Dynamics, to appear.
5. Belato, D., Weber, H.I., Balthazar, J.M., Mook, D.T. and Rosário, J.M.
(2000) Hamiltonian Dynamic of a Nonlinear Mechanical System. In Nonlinear
Dynamics, Chaos, Control and Their Applications to Engineering Sciences,
vol. 4: Recent Developments in Nonlinear Phenomena, J.M. Balthazar, P.B.
Gonçalves, R.M.F.L.R.F. Brasil, I.L. Caldas, F.B. Rizatto (eds), pp. 359-368.
“DynamicalSystems” — 2004/3/4 — page #89
1 Introduction
From the simplest observation, we can say that the dynamics of a body, or of a
system with more than one particle, can be modeled properly only if collisions are
taken into account. In the works of Galileo and Descartes there are references to the
collision between particles, but the first published works on this problem seem to
“DynamicalSystems” — 2004/3/7 — page #92
be due to John Wallis and Christopher Wren, independently, in 1668. Some great
scientists such as Newton, Huygens, Coriolis, Darboux, Routh, Apple, Carnot and
Poisson have also treated the problem. At the beginning of the twentieth century
the problem generated some discussion, as we can see in the works of Painlevé [1]
and Klein [2]. But, up to 1984, all of these works used the theory developed by
Newton or by Poisson and the difficulty was to include friction in the modeling, as
was pointed out by Painlevé in his paper “Sur les lois de frottement de glissement.”
In 1984, Kane [3] published a work, in a journal with limited circulation, where
he pointed out an apparent paradox: the application of Newton’s theory with
Coulomb’s friction, universally accepted, in a problem of collisions of a double
pendulum, conducted to generation of energy. What could be wrong?
In 1986, Keller [4] presented a solution to Kane’s paradox, but the solution
was not easy to generalize. Keller’s work was published in a journal with a large
circulation and aroused widespread interest. Since then, interest has increased and
there are some books totally dedicated to this topic, such as those of Glocker and
Pfeiffer [5], Brach [6], Brogliato [7] and Monteiro-Marques [8].
Brach [6] presented a model with linear equations containing some nondimen-
sional parameters that characterize the collision and he defined “ratio between im-
pulses” instead of coefficient of friction. However, he did not give clear solutions
to the problem when one considers reverse sliding during the collision. Stronge [9]
suggested a coefficient of restitutions relating the energy during the compression
phase to the energy during the expansion phase. Smith [10] presented a model
with nonlinear equations. Wang and Mason [11] applied Routh’s technique and
compared the coefficients of restitutions given by Newton and by Poisson. Sabine
Durand [12] studied the dynamics of systems with unilateral restrictions and in-
cluded some systems related to collisions. Chatterjee [13] presented new laws based
on simple algorithms. He did not use many parameters and obtained good results.
Soianovici and Hermuzlu [14] have shown the limits of validity of some rigid bodies
collision models. As their main interest was in robotics, they focused on collisions
of slender bodies at low velocities. Cathérine Cholet [15] presented a new theory
of rigid bodies collisions in the context of continuum mechanics following the ideas
of Michel Frémond: a system formed by a set of rigid bodies is deformable because
the relative positions between each pair of bodies vary. They discussed the the-
ory and showed that it is coherent from the mathematical point of view and also
experimentally validated.
2 Motion Equations
The collision is modeled as instantaneous. The generalized position of the system in
the instant t is defined by q = (q1 , q2 , . . . , qn )T . Let C1 and C2 be two bodies, and let
R be the force of reaction exerted by C1 on C2 . Then we write R = ( RN RT )T .
The dynamics of the system is given by the Lagrangean equations:
µ ¶
d ∂T ∂T
− = Qi + ri (1)
dt ∂ q̇i ∂q i
with Qi the contribution of the external generalized forces, ri the generalized force
“DynamicalSystems” — 2004/3/7 — page #93
due to the reaction at the contact and T the kinetic energy of the system. We
should note that ri is only present when there is contact, otherwise it is null.
Considering only a planar situation, we have n parameters of position and two
reactions in the contact (RN and RT ) also unknown. Then, we need not only the n
equations obtained from Lagrange’s equations but also two more equations, given
by the collision laws that will be discussed later.
We consider collisions of only two bodies and at only one point (this is the case
if one of the bodies is strictly convex).
Let P1 and P2 be the points of the bodies C1 and C2 , respectively, that will
be in contact in the collision. We denote by D the vector that represents the
relative displacement between the two bodies and by Ḋ the vector that represents
the relative velocity between the bodies, as shown in Fig. 1.
In the point of contact we represent the impulses in the normal and tangential
directions by IN and IT . We use uN and uτ , the unitary vectors of the normal
direction (given by N ) and tangential direction (given by τ ), in a frame which we
will call the collision frame, shown in Fig. 1.
Evaluating the relative velocity between the contact points we have:
Xn n n µ ¶
∂P2 ∂P2 X ∂P1 ∂P1 X ∂P2 ∂P1 ∂P2 ∂P1
Ḋ = q̇i + − q̇i − = − q̇i + − .
i=1
∂qi ∂t i=1
∂q i ∂t i=1
∂q i ∂qi ∂t ∂t
Or we can write
Ḋ = [W ]T q̇ + w̃
à ! à T
! Ã !
ḊN T
WN w̃N
with Ḋ = , [W ] = a matrix (2, n) and w̃ = .
ḊT WTT w̃T
The generalized force r can be written in terms of [W ] and R as
à !
¡ ¢ RN
r = WN WT or r = [W ]R .
RT
µ ¶ Zt+² µ ¶ µ ¶¯ µ ¶¯
∂T ∂T ∂T ¯¯ ∂T ¯¯
∆ = lim ri dτ with ∆ = − .
∂ q̇i ²→0 ∂ q̇i ∂ q̇i ¯E ∂ q̇i ¯A
t−²
We use the index E to represent the right limit and A to represent the left limit.
We know that r = [W ]R. Then
µ ¶ Zt+² Zt+² Ã !
∂T ¡ ¢ RN
∆ = lim ri dτ = lim WNi WTi dτ .
∂ q̇i ²→0 ²→0 RT
t−² t−²
Zt+² Ã !
IN
I = lim Rdτ = .
²→0 IT
t−²
Then µ ¶
∂T ¡ ¢
∆ = WNi WTi I.
∂ q̇i
∂T ∂T
We denote as the vector in which the components are , so that we can
∂ q̇ ∂ q̇i
write µ ¶
∂T
∆ = [W ]I .
∂ q̇
But,
à !
1 ¡ ¢ IN
T = q̇ [M ] q̇T ⇒ [M ](q̇E − q̇A ) = [W ]I = WN WT . (2)
2 IT
“DynamicalSystems” — 2004/3/7 — page #95
.
qA
Virtual
process
.
qE
Dynamics Dynamics
before collision after collision
Collision frame
Impulse
Our problem is to find q̇E and I given [M ], [W ] and q̇A . Then, there are n
equations, and we want to find n + 2 unknowns. Therefore, we need two more
equations. These two equations are given by the restitution laws discussed later.
If we consider an impulse of moment denoted by Iθ , and not only the normal
and the tangential impulses, the equation will be given by
IN
¡ ¢
[M ] (q̇E − q̇A ) = WN WT Wθ IT . (3)
Iθ
Then,
ḊE − ḊA = [W ]T (q̇E − q̇A ) .
But,
[M ](q̇E − q̇A ) = [W ]I ⇒ (q̇E − q̇A ) = [M ]−1 [W ]I .
“DynamicalSystems” — 2004/3/7 — page #96
End of the
End of the expansion phase
Pre-collision compression phase (post-collision)
Then,
ḊE − ḊA = [W ]T [M ]−1 [W ]I = [M̃L ]I .
So,
I = [ML ](ḊE − ḊA ) , (5)
when [M̃L ] is invertible and [M̃ ]−1
L = [ML ]. We call [ML ] the local matrix mass.
[M ] – Mass matrix
[W ] – Vector that relates the coordinates at the contact point to the general-
ized coordinates
“DynamicalSystems” — 2004/3/7 — page #97
Ḋ – Vector representing the relative velocity among the contact points. Its
components in the normal direction, the tangential direction and the angular
direction are respectively ḊN , ḊT and Ḋθ
I – Vector representing the impulse at the contact point. Its components in
the normal direction and the tangential direction and the moment of impulse
are respectively IN , IT and Iθ
µ – Coefficient of friction used in restitution’s law
J – Moment of inertia
IT S – Parameter used to consider the reversible portions of the tangential
impulse
enp – Poisson’s normal coefficient of restitutions
et – Tangential coefficient of restitutions
à ! à T
! Ã !
ḊN C WN w̃N
= q̇C + ,
ḊT C WTT w̃T
à ! à T
! Ã !
ḊN E WN w̃N
= q̇E +
ḊT E WTT w̃T
and à !
¡ ¢ IN C
[M ](q̇C − q̇A ) − WN WT = 0,
IT C
à !
¡ ¢ IN E
[M ](q̇E − q̇C ) − WN WT = 0.
IT E
6 Restitution Laws
To solve the problem, that is, to find q̇E and I given q̇A , [M ] and [W ], we need the
n equations given by the jump conditions from Lagrange’s equations plus two equa-
tions (or three equations if we consider the impulse of moment). These equations
are given by the restitution laws, which we will divide into restitution laws in the
normal direction and restitution laws in the tangential direction. These equations
model the constitutive behavior of the materials.
and
ḊT
IT = −sµIN sendo s = , se ḊT 6= 0 .
| ḊT |
µ is the coefficient of friction.
There are other coefficients of friction in the normal and tangential directions.
But we are only talking about those given here.
IN E
enp = .
IN C
IN C is the normal impulse at the end of the compression phase, and IN E is the
normal impulse at the end of the expansion phase.
As we have said, the C-S model generalizes some of the models from the literature.
We will describe briefly three of these models and show what should be done, in
the C-S model, to particularize the respective model.
This model uses the coefficient of restitutions in the normal direction given by Pois-
son. It considers friction and also the possible reversible portions of the tangential
impulse. It does not consider the impulse of moment. If in the C-S model we
consider emC = emE = −1 then we will obtain Glocker–Pfeiffer’s model.
“DynamicalSystems” — 2004/3/7 — page #103
We consider the following values for the parameters and initial conditions: mass
of the ball = 1 kg, θ0 = 0, θ̇ = 0, x0 = 0, ẋ0 = 1, y0 = 0.9, ẏ0 = −1, enp = 1,
distance between the barriers = 1.01, µ = 1 and r = 0.1.
If we consider emC = −1, emE = −1, et = 0 and ν = 0 we obtain the same
prediction obtained from Wang–Mason’s model or Glocker–Pfeiffer’s model. It is
the behavior of a ball used, for example, in a table tennis game. We show the
trajectory of the center of the mass in Fig. 5.
Vertical displacement of the center of mass
10 Conclusions
We studied rigid body collisions, considering that these collisions are instantaneous.
After making a systematic study of some rigid body collision models we could
formulate a new model: the C-S model. Using this model we could show some
comparisons between models, and we could present some behaviors that could not
be obtained using other models. We showed simulations and animations using
the C-S model in a way that would make us understand what was happening.
Other discussions about comparisons between models are in [17]–[19].
References
1. Painlevé, P. (1905) Sur les Lois de Frottement de Glissement. C. R. Acad.
Sci. Paris, 121, 112–115; 141, 401–405.
“DynamicalSystems” — 2004/3/7 — page #105
PART II
“DynamicalSystems” — 2004/3/4 — page #108
“DynamicalSystems” — 2004/3/4 — page #109
At this time, the best that can be done is to continue the exploration of
Mars via robotic spacecraft. The exploration of Mars via manned spacecraft
must be subordinated to advances yet to be achieved in the areas of spacecraft
structural factors, engine specific impulses, and life support systems.
1 Introduction
Various studies on trajectory feasibility and optimization relevant to Mars missions
have appeared in recent years (Refs. [1–10]), the major objective being to contain
the characteristic velocity and the mission time.
This paper continues the studies of Refs. [6–10] by the same authors; it consid-
ers trajectories leading from a low Earth orbit (LEO) to a low Mars orbit (LMO)
and back after a stay in LMO. Four types of optimal trajectories are studied:
(T1) minimum energy trajectory with free mission time and free stay time in LMO;
(T2) compromise trajectory, namely, minimum energy trajectory with free mission
time and 30-day stay time in LMO; (T3) fast transfer trajectory with free mis-
sion time and 30-day stay time in LMO; (T4) fast transfer trajectory with 440-day
mission time and 30-day stay time in LMO.
The assumed physical model is the restricted four-body model: the spacecraft
is considered subject to the gravitational fields of Earth, Mars, and Sun along the
entire trajectory; this is done in order to achieve increased accuracy with respect
to the method of patched conics (Refs. [11, 12]). The optimal trajectory problem
is formulated as a mathematical programming problem, which is solved via the
sequential gradient-restoration algorithm (Refs. [13–16]).
The trajectories investigated can be grouped into two classes depending on
whether the round-trip phase angle travels of Earth and spacecraft differ by 360
deg (Class C1) or are the same (Class C2). Trajectories T1 and T2 are slow trans-
fer trajectories of Class C1; trajectories T3 and T4 are fast transfer trajectories of
Class C2.
For the slow transfer trajectories of Class C1, the velocity impulses are applied
only at LEO and LMO. For the fast transfer trajectories of Class C2, the average
angular velocity of the spacecraft with respect to Sun must be increased; this re-
quires the application of a supplementary midcourse velocity impulse in either the
outgoing trip (trajectory T4) or return trip (trajectory T3). Vis-à-vis Class C1,
Class C2 leads to shorter flight times, higher values of the characteristic velocity
(sum of the velocity impulses), and even higher values of the mass ratio (ratio of
departing mass to returning mass).
2 System Equations
Let LEO denote a low Earth orbit, and let LMO denote a low Mars orbit. The
missions considered in this paper involve the spacecraft transfer from LEO to LMO
for the outgoing trip and from LMO to LEO for the return trip. To study these
missions, we employ the restricted four-body model (Sun, Earth, Mars, spacecraft)
and the following assumptions:
(A1) the trajectories of Earth, Mars, and spacecraft belong to the same plane;
“DynamicalSystems” — 2004/3/4 — page #111
(A2) the orbits of Earth and Mars around the Sun are circular;
(A3) LEO and LMO are circles centered in their respective planets; circularization
of the spacecraft motion is assumed prior to departure and after arrival;
(A4) for a round trip executed via a slow transfer trajectory of Class C1, four
velocity impulses are assumed at the departure from LEO, arrival to LMO,
departure from LMO, and arrival to LEO;
(A5) for a round trip executed via a fast transfer trajectory of Class C2, an addi-
tional midcourse impulse might be needed in either the outgoing trip or return
trip.
ẋP = uP , (1a)
ẏP = wP , (1b)
µS µE µM
u̇P = − 3 xP − r 3 (xP − xE ) − r 3 (xP − xM ) , (1c)
rP PE PM
µS µE µM
ẇP = − 3 yP − 3 (yP − yE ) − 3 (yP − yM ) , (1d)
rP rPE rPM
with
q
rP = x2P + yP
2 , (1e)
p
rPE = (xP − xE )2 + (yP − yE )2 , (1f)
“DynamicalSystems” — 2004/3/4 — page #112
p
rPM = (xP − xM )2 + (yP − yM )2 , (1g)
where µS , µE , and µM are the gravitational constants of the Sun, Earth, and Mars,
and where rP , rPE , and rPM denote the radial distances of the spacecraft from the
Sun, Earth, and Mars. In light of Assumption (A2), the Earth coordinates xE , yE
and Mars coordinates xM , yM are known trigonometric functions of the time; see
Ref. [6].
The functions xP (t), yP (t), uP (t), wP (t) obtained by integrating Eqs. (1) can be
converted into the corresponding functions in polar coordinates via the relations
q
rP = x2P + yP 2 , (2a)
µ ¶
yP
θP = tan−1 , (2b)
xP
q
VP = u2P + wP
2 , (2c)
µ ¶
−1 wP
ηP = tan . (2d)
uP
3 Boundary Conditions
3.1 Outgoing trip
In the Earth-centered system and using polar coordinates, the spacecraft conditions
at the departure from LEO (time t = t0 ) are given by
with rP (t1 ), θP (t1 ), ηP (t1 ) continuous. In Eq. (6), ∆VMID (t1 ) is the accelerating
velocity impulse at t1 ; the subscript − denotes a quantity evaluated before applica-
tion of the velocity impulse, and the subscript + denotes a quantity evaluated after
application of the velocity impulse.
In the Mars-centered system and using polar coordinates, the spacecraft condi-
tions at the arrival to LMO (time t = t2 ) are given by
π
ηPM (t3 ) = θPM (t3 ) + , (8c)
2
with θPM (t3 ) free. Formally, Eqs. (8) can be obtained from Eq. (7) by simply re-
placing the time t = t2 with the time t = t3 . However, there is a difference of
interpretation: VLMO is now the spacecraft velocity in the low Mars orbit before
application of the tangential, accelerating velocity impulse; ∆VLMO (t3 ) is the accel-
erating velocity impulse at LMO; VPM (t3 ) is the spacecraft velocity after application
of the accelerating velocity impulse.
If a decelerating velocity impulse is needed at midcourse of the return trip,
in the Sun-centered system and using polar coordinates, the spacecraft midcourse
condition (time t = t4 ) is given by
with rP (t4 ), θP (t4 ), ηP (t4 ) continuous. In Eq. (9), ∆VMID (t4 ) is the decelerating
velocity impulse at t4 ; the subscript − denotes a quantity evaluated before applica-
tion of the velocity impulse, and the subscript + denotes a quantity evaluated after
application of the velocity impulse.
In the Earth-centered system and using polar coordinates, the spacecraft condi-
tions at the arrival to LEO (time t = t5 ) are given by
4 Supplementary Relations
The boundary conditions and midcourse conditions (5)–(10) must be completed by
a number of supplementary relations.
so that
τ = τOUT + τSTAY + τRET . (12)
“DynamicalSystems” — 2004/3/4 — page #115
If there are midcourse impulses during the outgoing trip (time t1 ) or return trip
(time t4 ), the following supplementary time intervals can be introduced:
5.1 Approach
The optimization problems of this paper can be solved in either optimal control
format (Refs. [13–15]) or mathematical programming format (Ref. [16]). Because
there are no controls in the differential system (1), while there are parameters in
the boundary conditions and midcourse conditions (5)–(10), it is natural to prefer
the mathematical programming format. In this view, the main function of the
differential system (1) is the generation of the gradients of the final conditions
with respect to the parameters appearing in the initial conditions and midcourse
conditions.
“DynamicalSystems” — 2004/3/4 — page #116
∆V = ∆VLEO (t0 )+∆VMID (t1 )+∆VLMO (t2 )+∆VLMO (t3 )+∆VMID (t4 )+∆VLEO (t5 ) ,
(16)
which is the sum of the magnitudes of the velocity impulses.
5.4 Parameters
In the most general case, there are n = 16 parameters in the problem, more precisely:
basic velocity impulses
we see that the number of free parameters reduces to n = 12; hence, the
number of degrees of freedom reduces to n − q = 4, to be saturated so that
the total characteristic velocity (16) is minimized.
we see that the number of free parameters reduces to n = 11; hence, the
number of degrees of freedom reduces to n − q = 3, to be saturated so that
the total characteristic velocity (16) is minimized.
we see that the number of free parameters reduces to n = 13; hence, the
number of degrees of freedom reduces to n − q = 5, to be saturated so that
the total characteristic velocity (16) is minimized.
“DynamicalSystems” — 2004/3/4 — page #118
6 Mission Data
6.1 Planetary data
The gravitational constants for Sun, Earth, Mars are given by
The associated average translational velocities and angular velocities are given by
7 Numerical Results
For trajectories T1–T4, the numerical results obtained via the sequential gradient-
restoration algorithm for mathematical programming problems are shown in
Figs. 1–4 and Tables 1–4.
Figures 1–4 show the geometry of the optimal trajectories for the outgoing trip
(top) and return trip (bottom).
Table 1 shows the major parameters for a round-trip LEO–LMO–LEO, namely,
total time, stay time in LMO, characteristic velocity (sum of the velocity impulses),
and mass ratio (ratio of departing mass to returning mass). While the character-
istic velocity can be computed without specifying the spacecraft configuration, the
computation of the mass ratio requires the specification of the spacecraft structural
factor (ε = 0.1) and engine specific impulse (ISP = 450 s).
Table 2 shows the outgoing trip time, stay time in LMO, return trip time, and
total time for a round trip LEO–LMO–LEO. Table 3 compares the phase angle
travels of spacecraft, Earth, Mars (loops around the Sun). Table 4 shows the dis-
tribution of characteristic velocities for the outgoing trip, return trip, and round
trip.
(T1) This is the minimum energy trajectory with free total time and free stay
time in LMO. There is no midcourse impulse in either the outgoing trip or return
trip. The total flight time of 970 days includes 258 days for the outgoing trip, 454
days for the stay in LMO, and 258 days for the return trip. The total characteristic
velocity is 11.30 km/s and the corresponding mass ratio is 20.1.
Trajectory T1 belongs to Class C1. For a round trip, vis-à-vis Earth, the space-
craft performs one loop less around the Sun; hence, the phase angle travel of the
spacecraft is 360 deg less than that of Earth. Geometrically, trajectory T1 is nearly
a Hohmann transfer trajectory, which is the elliptical trajectory bitangent to the
Earth and Mars orbits around the Sun. Trajectory T1 would be exactly a Hohmann
transfer trajectory, should one neglect the gravitational constants of Earth and Mars
vis-à-vis the gravitational constant of the Sun.
Trajectory T1 is flown in the region of space between the orbits of Earth and
Mars. Because of angular momentum conservation, the average angular velocity of
the spacecraft is smaller than that of Earth, but larger than that of Mars.
(T2) This is the minimum energy trajectory with free total time and fixed stay
time in LMO of 30 days. There is no midcourse velocity impulse in either the
outgoing trip or return trip. The total flight time of 841 days includes 412 days for
the outgoing trip, 30 days for the stay in LMO, and 399 days for the return trip.
The total characteristic velocity is 15.61 km/s and the corresponding mass ratio is
68.8, about 3.4 times that of trajectory T1.
“DynamicalSystems” — 2004/3/4 — page #120
Figure 1 Minimum energy trajectory in interplanetary space, Sun coordinates, total time
= 970.0 days, stay time in LMO = 454.3 days, total velocity impulse = 11.30 km/s, no
midcourse impulse.
Trajectory T2 also belongs to Class C1. For the round trip, the spacecraft per-
forms one loop less around the Sun; hence, the phase angle travel of the spacecraft
is 360 deg less than that of Earth. Geometrically, trajectory T2 deviates consider-
ably from a Hohmann transfer trajectory. Indeed, it overshoots the Mars orbit in
both the outgoing trip and return trip, with consequent reduction of the average
angular velocity with respect to that of trajectory T1. However, the total flight
time is less than that of trajectory T1 due to the considerable shortening of the
stay time in LMO.
(T3) This is a fast transfer trajectory with free total time and fixed stay time
in LMO of 30 days. A braking midcourse impulse takes place in the return trip at
a point preceding the perihelion of the spacecraft trajectory by about 45 deg. The
total time of 546 days includes 208 days for the outgoing trip, 30 days for the stay
in LMO, and 308 days for the return trip. The total characteristic velocity is 18.52
km/s and the corresponding mass ratio is 150, about 7.5 times that of trajectory T1.
“DynamicalSystems” — 2004/3/4 — page #121
Trajectory T3 belongs to Class C2. For the round trip, the spacecraft performs
the same angular travel as Earth, and hence the same number of loops around the
Sun. For the outgoing trip, the average angular velocity of the spacecraft is slower
than that of Earth; the opposite occurs in the return trip, where the spacecraft
trajectory undershoots the Earth orbit for a considerable portion of the return trip.
As a result, for the round trip, the average angular velocities of the spacecraft and
Earth are the same.
(T4) This is a fast transfer trajectory with fixed total time of 440 days and
fixed stay time in LMO of 30 days. An accelerating velocity impulse takes place in
the outgoing trip at a point near the perihelion of the spacecraft trajectory. The
total flight time of 440 days includes 261 days for the outgoing trip, 30 days for
the stay in LMO, and 149 days for the return trip. The total characteristic velocity
is 20.79 km/s and the corresponding mass ratio is 304, about 15 times that of
trajectory T1.
“DynamicalSystems” — 2004/3/4 — page #122
Figure 3 Fast trajectory in interplanetary space, Sun coordinates, total time = 545.9 days,
stay time in LMO = 30.0 days, total velocity impulse = 18.52 km/s, return trip midcourse
impulse.
Trajectory T4 belongs also to Class C2. For the round trip, the spacecraft
performs the same angular travel as Earth, and hence the same number of loops
around the Sun. For the return trip, the average angular velocity of the spacecraft
is slower than that of Earth; the opposite occurs in the outgoing trip where the
spacecraft trajectory undershoots the Earth orbit for a considerable portion of the
outgoing trip. As a result, for the round trip, the average angular velocities of the
spacecraft and Earth are the same.
Figure 4 Fast trajectory in interplanetary space, Sun coordinates, total time = 440.0 days,
stay time in LMO = 30.0 days, total velocity impulse = 20.79 km/s, outgoing trip mid-
course impulse.
significant differences between these trajectories. T1 and T2 are slow transfer tra-
jectories such that the spacecraft phase angle travel is a cycle behind that of Earth
and no midcourse impulse is applied. T3 and T4 are fast transfer trajectories such
that the spacecraft phase angle travel is the same as that of Earth and a midcourse
impulse is applied. As a result, the fast transfer trajectories can reduce considerably
the mission time at the expense of a considerable increase in characteristic velocity
and an even larger increase in mass ratio.
For robotic missions, T1 is the best trajectory. For manned missions, a substan-
tial shortening of the flight time is needed, but this translates into stiff penalties in
the characteristic velocity and mass ratio. Comparing the slowest trajectory T1 and
the fastest trajectory T4, we see that the flight time has been reduced by 55 % from
970 days to 440 days, while the mass ratio has been increased by a multiplicative
factor of 15 from 20 to 304.
“DynamicalSystems” — 2004/3/4 — page #124
Quantity T1 T2 T3 T4
Quantity T1 T2 T3 T4
Table 3 Phase angle travel of spacecraft, Earth, and Mars (loops around the Sun) for
round trip LEO–LMO–LEO.
Quantity T1 T2 T3 T4
The above mass ratios refer to the interplanetary portion of the voyage. They do
not include the effects of the planetary portions of the voyage (ascent from/descent
to the Earth surface and descent to/ascent from the Mars surface). When the
planetary components of the mass ratio are considered, one obtains overall mass
ratios of order 1000 for Earth–Mars–Earth transfer via a minimum energy trajectory
and of order 10,000 for Earth–Mars–Earth transfer via a fast transfer trajectory.
At this time, the best that can be done is to continue the exploration of Mars via
robotic spacecraft. We are simply not ready for the exploration of Mars via manned
spacecraft. This requires advances yet to be achieved in the areas of spacecraft
structural factors, engine specific impulses, and life support systems. Also, for the
interplanetary portion of the voyage, consideration should be given to either the
use of electrical engines instead of chemical engines or the combined use of chemical
engines and electrical engines.
“DynamicalSystems” — 2004/3/4 — page #125
∆V T1 T2 T3 T4
References
1. Niehoff, J.C. (1988) Pathways to Mars: New Trajectory Opportunities. In
NASA Mars Conference, D.B. Reiber (ed.), Univelt, San Diego, California,
pp. 381–401.
2. Hoffman, S.J., McAdams, J.V. and Niehoff, J.C. (1989) Round-Trip Trajec-
tory Options for Human Exploration of Mars. In Advances in the Astronau-
tical Sciences, J. Teles (ed.), Univelt, San Diego, California, vol. 69, pp.
663–679.
3. Walberg, G. (1993) How Shall We Go to Mars? A Review of Mission Scenarios.
Journal of Spacecraft and Rockets, 30 (2), 129–139.
4. Braun, R.D., Powell, R.W., Engelund, W.C., Gnoffo, P.A., Weilmuenster,
K.J. and Mitcheltree, R.A. (1995) Mars Pathfinder Six-Degree-of-Freedom
Entry Analysis. Journal of Spacecraft and Rockets, 32 (6), 993–1000.
5. Crain, T., Bishop, R.H., Fowler, W. and Rock, K. (2000) Interplanetary Flyby
Mission Optimization using a Hybrid Global–Local Search Method. Journal
of Spacecraft and Rockets, 37 (4), 468–474.
6. Miele, A. and Wang, T. (1999) Optimal Transfers from an Earth Orbit to a
Mars Orbit. Acta Astronautica, 45 (3), 119–133.
7. Miele, A. and Wang, T. (1999) Optimal Trajectories and Mirror Properties
for Round-Trip Mars Missions. Acta Astronautica, 45 (11), 655–668.
8. Miele, A. and Wang, T. (1999) Optimal Trajectories and Asymptotic Par-
allelism Property for Round-Trip Mars Mission. In Proceedings of the 2nd
International Conference on Nonlinear Problems in Aviation and Aerospace,
Daytona Beach, Florida, 1998, S. Sivasundaram (ed.), European Conference
Publications, Cambridge, England, vol. 2, pp. 507–539.
9. Miele, A., Wang, T. and Mancuso, S. (2000) Optimal Free-Return Trajectories
for Moon Missions and Mars Missions. Journal of the Astronautical Sciences,
48 (2–3), 183–206.
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10. Miele, A., Wang, T. and Mancuso, S. (2001) Assessment of Launch Vehicle
Advances to Enable Human Mars Excursions. Acta Astronautica, 49 (11),
563–580.
11. Wercinski, P.F. (1996) Mars Sample Return: A Direct and Minimum-Risk
Design. Journal of Spacecraft and Rockets, 33 (3), 381–385.
12. Casalino, L., Colasurdo, G. and Pastrone, D. (1998) Optimization Procedure
for Preliminary Design of Opposition-Class Mars Missions. Journal of Guid-
ance, Control, and Dynamics, 21 (1), 134–140.
13. Miele, A., Pritchard, R.E. and Damoulakis, I.N. (1970) Sequential Gradient-
Restoration Algorithm for Optimal Control Problems. Journal of Optimiza-
tion Theory and Applications, 5 (4), 235–282.
14. Miele, A., Wang, T. and Basapur, V.K. (1986) Primal and Dual Formulations
of Sequential Gradient-Restoration Algorithms for Trajectory Optimization
Problems. Acta Astronautica, 13 (8), 491–505.
15. Rishikof, B.H., McCormick, B.R., Pritchard, R.E. and Sponaugle, S.J. (1992)
SEGRAM: A Practical and Versatile Tool for Spacecraft Trajectory Optimiza-
tion. Acta Astronautica, 26 (8–10), 599–609.
16. Miele, A., Huang, H.Y. and Heideman, J.C. (1969) Sequential Gradient-
Restoration Algorithm for the Minimization of Constrained Functions: Or-
dinary and Conjugate Gradient Versions. Journal of Optimization Theory
and Applications, 4 (4), 213–243.
17. Miele, A. (1962) Flight Mechanics, Vol. 1: Theory of Flight Paths. Addison-
Wesley Publishing Company, Reading, Massachusetts.
“DynamicalSystems” — 2004/3/5 — page #127
1 Introduction
In view of the potentially severe consequences of atmospheric conditions such as
windshear during take-off and landing of aircraft, there has been and continues to
be considerable interest in designing aircraft guidance schemes (possibly for use with
an autopilot) to enhance the chances for survival when encountering windshear.
Some aircraft control schemes, among many others, may be found in the
following references and references therein. In [11] and many other related pa-
pers, Miele et al. consider an optimal control approach whereas Bryson et al. in [3]
“DynamicalSystems” — 2004/3/5 — page #128
employ an inverse scheme to obtain control laws assuring survival for a range of
windshear intensities. In both of these studies, knowledge of the structure of the
windshear, that is, a model, is assumed. In [9] and [10], Leitmann et al. employ
robust control theory to derive guidance schemes for crash avoidance. No windshear
model is assumed in [9] and [10]; however, in [9] some of the windshear properties
are assumed to have known bounds, whereas in [10] these properties are assumed to
be bounded but the bounds need not be known. The aircraft dynamics employed
in what follows here is the same as in [3], [9], [10] and [11].
In some of the references mentioned above, thrust and relative angle of attack
or its time derivative are taken as control variables. In all, the thrust during take-
off is assumed to be set at its maximum value. Both the angle of attack and its
derivative are subject to prescribed bounds, the latter to account for unmodelled
dynamics. In [9] and [10], the bounds on the angle of attack and its rate are
not taken into account in the controller design; however, they are employed in all
numerical simulation studies. Here we shall use angle of attack rate as control, and
bound both it and the angle of attack itself.
While the earlier work quoted above deals with obtaining control strategies for
survival enhancing, here we do not derive such control schemes, but rather address
the question of the existence of such controls. In particular, we impose constraints
on the state variables of the system to define an acceptable flight domain. We then
employ tools from viability theory [1] to obtain numerically the region of initial
states, or an approximation thereof, from which viable trajectories emanate. In
other words, we obtain the initial states for which there exists at least one control,
subject to the given bounds, which generates a trajectory which remains within
the prescribed flight domain in the presence of all possible windshear conditions
considered. We consider windshear conditions in which only bounding information
on windshear properties is assumed.
We express the dynamics of the aircraft, travelling in a vertical plane, by a state
equation of an uncertain system
y = f (y, u, d) ,
where y is the state, u is the control, and d is a disturbance. The state is subject
to a given constraint
y ∈K,
defining the flight domain, while the control and disturbance are subject to
u∈U and d ∈ D ,
expressing the control constraint and the disturbance constraint alluded to above.
In particular, we shall take control and disturbance to be measurable and, of course,
bounded functions of time t.
The paper is organized into sections as follows: Section 2 deals with the dynam-
ics of the aircraft, including the state and control constraints. The three situations
to be treated are outlined and, in particular, depending on the situation consid-
ered, the disturbances together with the assumed information concerning them are
introduced. In Sections 3 and 4, we present the details of the three situations men-
tioned above together with numerical simulation results. The Appendix presents
“DynamicalSystems” — 2004/3/5 — page #129
relevant results from viability theory as well as a discussion of a scheme for obtain-
ing approximations of the “winning” region of initial states, that is, for which there
exist controls resulting in viable trajectories. For an earlier discussion of “winning”
regions, albeit in a somewhat different context, see [8].
State variables:
Windshear disturbances
Constant parameters
Here it should be noted that, as in [11], the relative angle of attack is introduced
as a state variable and its derivative α is taken as the control variable u. This is
done in order to account for the constraint imposed on α . The control u will be
therefore supposed to range within
U := [−C, +C] , (2)
where C is the maximum time derivative of α.
We shall say that a viable trajectory is one which is generated by an admissible
control (measurable and satisfying the control constraint) and remains in the flight
domain for all time, no matter what the admissible disturbances (considered wind-
shears) are. The admissible flight domain is defined by the state constraints in (1),
and will be denoted by
FD := [x, +∞) × [h, +∞) × [V , V ] × [γ, γ] × [α, α] .
The components of wind velocity and its time derivative Wx , Wh , Wx , and Wh
will be considered as measurable functions of time, playing the role of disturbances.
They will be deemed admissible if they satisfy the assumed bounds.
The aerodynamic forces and the thrust are taken as
T (V ) = A0 + A1 V + A2 V 2 , (3)
1
D(V, α) = CD (α)ρSV 2 , CD (α) = B0 + B1 α + B2 α2 , (4)
2
1 C0 + C1 α if α ≤ α∗∗ ,
L(V, α) = CL (α)ρSV 2 , CL (α) = 2
2 C0 + C1 α + C2 (α − α∗∗ ) if α∗∗ ≤ α ,
(5)
where (Ai , Bi , Ci )i=0,1,2 and α∗∗ depend on the aircraft under consideration, S is a
reference surface, and ρ is the air density at the surface (for take-off).
In this paper, we address the problem of determining the subsets of the flight do-
main FD which are the sets of initial states for which there exists at least one viable
trajectory (and hence at least one control resulting in survival, i.e., no crash). We
do not address the determination of such control functions, but only their existence.
For the dynamical system described above, we shall consider the following three
problems:
x = 0, h = 50 ft ,
V = 184 ft/s , V = 350 ft/s ,
◦
γ = −10 , γ = +10◦ ,
α = 0◦ , α = +16◦ ,
T (V ) D(α, V )
h = (cos(α + γ) sin(γ) + sin(α + γ) cos(γ)) − sin(γ) +
m m
L(α, V )
+ cos(γ) − g := φ(V, γ, α) . (6)
m
“DynamicalSystems” — 2004/3/5 — page #132
for a specified ε > 0. Since this no longer assures a non-negative altitude rate, we
add another constraint to assure this; namely,
V sin(γ) + Wh ≥ 0 , (10)
where ΠV,γ,α (FD ) denotes the projection of the desired flight domain on the (V ,γ,α)-
space.
controls such that the state (V (t),γ(t),α(t)) remains within the given flight domain
defined by D1 in the presence of all admissible disturbances. If this subset of D1 is
not empty, then there exists an admissible control u which assures both “closeness”
of h to hR and non-negativity of h regardless of windshear derivative components
satisfying (8). In the Appendix it is shown that the subset of D1 which we are
seeking is the so-called leadership kernel of D1 , denoted by Lead(D1 ).
Figures 1 and 2 contain two plots. The first plot represents the projection of
Lead(D1 ) onto the (V ,α)-space, i.e., the defined by ΠV,α (Lead(D1 )).
The second plot shows the projection of Lead(D1 ) onto the (V ,α)-space, i.e.,
the defined by ΠV,γ (Lead(D1 )).
In Figure 2 we observe that at maximum relative aircraft speed (V = 350 ft/sec),
the leardership kernel is reduced to α = 6.2◦ and γ ∈ [9.5◦ , 10◦ ]. For the situation
of lower windshear rate bounds, one can see from Figure 1 that α = 6.2◦ and
γ ∈ [7.8◦ , 10◦ ].
It appears that the resulting leadership kernel is very small. This is due to the
fact that the state constraints we imposed on the system are very restrictive in
that we require the climb rate to be “near” a given value (h ≈ 0) and h ≥ 0.
However, we know that there exist viable trajectories, in terms of minimal aircraft
altitude, that do not satisfy the constraint (10) (see [9] for simulation results of such
trajectories). In the next section, we shall relax these constraints in order to assure
a minimum altitude. The price for this relaxation is the addition of a state variable
by adding the altitude h to the state vector.
“DynamicalSystems” — 2004/3/5 — page #134
Alpha
14
12
10
V/10
0
20 22 24 26 28 30 32 34
10
Gamma
8
2
V/10
0
-2
-4
-6
-8
-10
20 22 24 26 28 30 32 34
Figure 1 Projection onto the (V, α) and (V, γ)-spaces of the leadership kernel of D1 for
Problem 1 with wind acceleration bounds 2.61 and 0.78 ft/s2 .
16
Alpha
14
12
10
V/10
0
20 22 24 26 28 30 32 34
10
Gamma
8
2
V/10
0
-2
-4
-6
-8
-10
20 22 24 26 28 30 32 34
Figure 2 Projection onto the (V, α) and (V, γ)-spaces of the leadership kernel of D1 for
Problem 1 with wind acceleration bounds 5.63 and 1.57 ft/s2 .
As in Section 3.1 the wind acceleration components are subject to given bounds (8).
Now, we introduce a climb rate constraint
h ∈ [hR − η, hR + η]
for given constants hR > 0 and η < hR , thereby removing the need for con-
straint (10). Thus, the state is constrained to the set
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
Figure 3 Projection onto the (V, γ, α)-space of the viability kernel of D2 (leadership kernel
in the absence of wind disturbance) for Problem 2. Minimum value of γ in the first figure,
and maximum value of γ in the second figure.
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
Figure 4 Projection onto the (V, γ, α)-space of the leadership kernel of D2 for Problem 2
with wind acceleration bounds 2.61 and 0.78 ft/s2 . Minimum value of γ in the first figure,
and maximum value of γ in the second figure.
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
Figure 5 Projection onto the (V, γ, α)-space of the leadership kernel of D2 for Problem 2
with wind acceleration bounds 5.63 and 1.57 ft/s2 . Minimum value of γ in the first figure,
and maximum value of γ in the second figure.
where, of course, h is the minimum allowable altitude. Here, we assume that the
vertical wind speed component is bounded
|Wh (t)| ≤ Wh (15)
and the windshear derivative is subject to constraint (8). Thus, windshear distur-
bance is said to be admissible if Wh , Wh , and Wx are measurable functions of time,
and subject to constraints (8) and (15). For the problem considered here, the state
constraint set is
D3 := Πh,V,γ,α (FD ) . (16)
Problem 3 — The problem is now to determine the largest subset of D3 containing
the states (h0 ,V0 ,γ0 ,α0 ) from which emanates trajectories generated by admissible
controles such that the state (h(t),V (t),γ(t),α(t)) remains within the flight domain
defined by D3 in the presence of all admissible windshear disturbances. As before,
we seek the leadership kernel, here Lead (D3 ).
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
gamma
10
-10
8
35.0
alpha
26.7
V/10
16
18.4
Figure 6 Projection of the leadership kernel for Problem 3 minimal value of γ (above),
maximal value of γ (below).
Again, initial relative speed V0 = 285 ft/s is of interest since the corresponding
section of Lead(D3 ) appears to be maximal with respect to the range of α and γ.
5 Conclusion
We presented a new methodology for obtaining safe flight domains for an aircraft
during take-off in presence of windshear. Our approach checks the consistency
among windshear intensity, state constraints, and bounds on the time derivative of
the relative angle of attack.
In particular, using viability theory we utilize a numerical procedure to calculate
the set of initial flight conditions for which there exist viable trajectories generated
by an angle of attack with a constrained time derivative, no matter what the con-
sidered windshear intensity are, and without information about the structure of the
windshear.
In this sense, our methodology can be used for predicting the safety of aircraft
take-off guidance schemes during windshear conditions, in checking that the closed
loop system state lies within the “safe” flight domain.
“DynamicalSystems” — 2004/3/5 — page #140
Let us consider a closed set K of . We shall say that a solution y(·) to (17) is
n
viable in K if y(t) ∈ K for all time t ≥ 0, and that K is a viability domain, if from
each y(0) in K there originates a viable trajectory of (17).
for some ρ ≥ 0 (B denotes the unit ball of n ). The subset ViabN Gρ (K) of initial
states y0 ∈ K such that at least one solution of (18) starting at y0 is viable in K
for all n ∈ [0, N ] is called the N-viability kernel of K and
−→
ViabGρ (K) := ViabN
Gρ (K)
N >0
In practice, we have to choose the time step ρ such that h/ρ → 0+ , which expresses
a compatibility condition with the space step discretization h. Approximations of
the viability kernel of any closed set K can therefore be computed by the viability
kernel algorithm.
The sets D and U are supposed to be compact and convex. We also suppose that
system (20) meets the Isaacs’ condition:
∀p ∈ n , ∀y ∈ n , inf sup f (y, u, d), p = sup inf f (y, u, d), p ,
u∈U d∈D d∈D u∈U
“DynamicalSystems” — 2004/3/5 — page #142
According to [5], we shall say that a closed set K is a discriminating domain for
(20) if for any y0 ∈ K and for any u ∈ U , there exists a solution of y (t) ∈ F (y(t), u)
originating from y0 , which remains in K.
We consider the largest closed discriminating domain of K, contained in K: this
subset is called the discriminating kernel 2 of K under f and will be denoted by
Discf (K). This discriminating kernel can be characterized in terms of trajectories:
The discriminating kernel of K for the system (20) is the closed set of
initial conditions y(0) such that for any time t, there exists a function
Su|[0,t] : d(·) → u(·) (which depends only on the values of d over the
time interval [0, t]), satisfying the following property: for any d(·), every
solution of y (t) = f (y(t), Su (d)(t), d(t)) is viable in K.
Here, Viabd (Ki ) stands for the viability kernel of Ki for the dynamics
y (t) = f (y(t), u(t), d) with a constant d ∈ D.
In order to characterize the existence of a control such that for all admissible
disturbances d(·), system (20) admits viable trajectories in a set closed set K, we
use the concept of leadership kernels:
As stated in [4], when f enjoys the Isaacs’ property, the discriminating and
leadership kernels for f coincide. As a consequence, we can use the numerical
schemes devoted to discriminating kernel approximation for computing leadership
kernel approximations.
2 Existence of the discriminating kernel is proved in [4].
“DynamicalSystems” — 2004/3/5 — page #143
for some ρ ≥ 0. A closed set D is a discrete discriminating domain for the dynamics
(21) if
∀y ∈ D , ∀u ∈ U , Gρ (y, u) ∩ D = ∅ .
Under the above assumption on f , we know that, for any K ∈ n , there exists a
largest closed discrete discriminating domain contained in K. This set is called the
−→
discrete discriminating kernel of K under Gρ , and will be denoted by DiscGρ (K).
Let us consider the following sequence of closed subsets of K:
0
K = K,
(22)
K n+1
= {y ∈ K n , ∀u ∈ U , Gρ (y, u) ∩ K n = ∅} .
Then,
∞
−→
K n =DiscGρ (K) .
n=0
Again, we consider Yh a grid of the state space, and Uh a grid of the space U of
admissible controls.
Let us consider the following set valued-map:
Ghρ (yh , uh ) := yh + ρF (yh , uh ) + (2h + lhρ + M lρ2 )B ∩ Yh .
This result leads to an algorithm that allows one to approximate the discrimi-
nating kernel of a set K over a finite number of steps. When the Isaacs’ condition is
fulfilled (it is the case for the dynamics studied in Sections 3.1, 3.3, 4) this algorithm
provide a tool for approximating leadership kernels.
References
1. Aubin, J.-P. (1991) Viability Theory. Birkhauser, Boston.
2. Aubin, J.-P. (1998) Dynamic Economy Theory. Springer Verlag, Heidelberg.
3. Bryson, A.E. and Zhao, Y. (1987) Feedback Control for Penetrating a Down-
burst. AIAA Paper , No. 87-2343.
4. Cardaliaguet, P. (1993) Domaines Discriminants en jeux Différentiels. Thèse,
Université de Paris-Dauphine.
“DynamicalSystems” — 2004/3/5 — page #144
The objective of this paper is to discuss numerical results based on the recent
theoretical work [1,2] on the stability analysis of suspension bridges subject to
random aerodynamic forces. This opens up the prospect of accurate analysis
and design of suspension bridges which may be subject to frequent stochastic
wind or seismic forces.
1 Introduction
In this paper we consider the question of stability of suspension bridges subject to
random wind forces. We use the model proposed in Ahmed and Harbi [4] which
constitutes an extension of the deterministic models of Roseau [9] and Jacover and
McKenna [8] to stochastic models. We present interesting simulation results with
physical interpretation.
where the first equation describes the vibration of the road bed in the vertical
plane, and the second equation describes that of the main cable from which the
road bed is suspended by tie cables (stays). Here mb , mc are the masses per unit
length; α, β are the flexural rigidity of the road bed and coefficient of elasticity
of the cable respectively, and Dk denotes the spatial derivative of order k. The
function F0 represents the restraining force experienced both by the road bed and
the suspension cable as transmitted through the tie lines (stays), thereby producing
the coupling between the two. The functions f1 and f2 represent external as well as
nonconservative forces generally time dependent. Considering displacement around
the static equilibrium {zs , ys }, we obtain the following system of equations:
(
mb z̃tt + αD4 z̃ − F (ỹ − z̃) = mb g + f1 , x ∈ Σ ≡ (0, L) , t ≥ 0 ,
(2)
mc ỹtt − βD2 ỹ + F (ỹ − z̃) = mc g + f2 , x ∈ Σ ≡ (0, L) , t ≥ 0 ,
F (ζ) ≡ F0 (ζ + zs − ys ) − F0 (zs − ys ) .
Note that F (0) = 0. Throughout the rest of the paper we assume that the
displacements, again denoted by z, y instead of z̃, ỹ, are measured relative to the
static positions. We use equation (2) as the general model. Assuming that the
structure (beam) is clamped at both ends the boundary conditions are given by
(
z(t, 0) = z(t, L) = 0 , Dz(t, 0) = Dz(t, L) = 0 ,
(3)
y(t, 0) = y(t, L) = 0 .
In case the beam is hinged at both ends the boundary conditions are
(
z(t, 0) = z(t, L) = 0 , D2 z(t, 0) = D2 z(t, L) = 0 ,
(4)
y(t, 0) = y(t, L) = 0 .
Other combinations, such as hinged on one side and clamped on the other, are also
used. The initial conditions are given by
z(0, x) = z1 (x) , zt (0, x) = z2 (x) , x ∈ (0, L) ,
(5)
y(0, x) = y1 (x) , yt (0, x) = y2 (x) , x ∈ (0, L)
narrow or equivalently the deck is sufficiently rigid across. Let L denote the span
of the bridge and 2l the width of the decks. Then we have the following model:
(
mztt + β1 D4 z − γ1 D2 z + KF1 (z, θ) = f1 , x ∈ Σ ≡ (0, L) , t ≥ 0 ,
(6)
mθtt + β2 D2 θ − γ2 D2 θ + KlF2 (z, θ) = f2 , x ∈ Σ ≡ (0, L) , t ≥ 0 .
Model (A) : First we consider the model (A) given by equation (2). The abstract
formulation has many advantages, as we shall see later in the sequel. First of all we
write equation (2) in a slightly more general form as follows:
(
ztt + aD4 z = F1 (t, x; z, Dz, D2 z, zt ; y, Dy, yt ) , x ∈ Σ , t ≥ 0 ,
(9)
ytt − bD2 y = F2 (t, x; z, Dz, D2 z, zt ; y, Dy, yt ) , x ∈ Σ , t ≥ 0 ,
where
α β
a≡ > 0, b≡ > 0,
mb mc
1
F1 (t, x; z, Dz, D2 z, zt ; y, Dy, yt ) ≡ (F (y − z) + f1 (t, x; z, Dz, D2 z, zt ; y, Dy, yt )) ,
mb
1
F2 (t, x; z, Dz, D2 z, zt ; y, Dy, yt ) ≡ (−F (y−z)+f2 (t, x; z, Dz, D2 z, zt ; y, Dy, yt )) .
mc
“DynamicalSystems” — 2004/3/4 — page #148
We have written equation (1) in a fairly general form to include viscous and
aerodynamic damping and other forms of nonconservative forces. In fact later in
the paper we have also included structural damping. For the purpose of analysis it
is often convenient to formulate the system as an ordinary differential equation on
an appropriate Banach space.
Let Σ ⊂ Rn be a bounded open connected set with smooth boundary ∂Σ,
and let L2 (Σ) denote the space of equivalence classes of Lebesgue measurable and
square integrable functions with the standard norm topology. For m ∈ N , let
H m (Σ) = H m denote the standard Sobolev space with the usual norm topology
and H0m (Σ) = H0m ⊂ H m denote the completion in the topology of H m of C ∞
functions on Σ with compact supports. From classical results on Sobolev spaces
it is well known that the elements of H0m are those of H m which along with their
conormal derivatives up to order m − 1 vanish on the boundary ∂Σ. We introduce
the Hilbert spaces H and V as follows:
H ≡ L2 (Σ) × L2 (Σ) ,
(10)
V ≡ H02 × H01 ,
with the first space equipped with the standard scalar product and the second space
equipped with the scalar product and norms as follows:
are equivalent, and hence the space V endowed with the scalar product and norm as
defined by (11) is also a Hilbert space. We wish to present a semigroup formulation
of the system which is equivalent to the formulation given in [1, 2]. We introduce
the Hilbert space
E ≡V ×H
with the scalar product and the associated norms given by
and
kφk2E ≡ αkD2 φ1 k2L2 (Σ) + βkDφ2 k2L2 (Σ) + mb kφ3 k2L2 (Σ) + mc kφ4 k2L2 (Σ) , (14)
respectively.
“DynamicalSystems” — 2004/3/4 — page #149
Note that E is actually the physical energy space and (14) denotes the sum of
elastic potential energies and the kinetic energies. We consider E for the state space
and
0 0
φ ≡ {φ1 , φ2 , φ3 , φ4 } ≡ {z, y, zt , yt } (15)
for the state. Define the operator A as the realization of the formal differential
operator
© ª0
A(D)φ ≡ φ3 , φ4 , −aD4 φ1 , bD2 φ2 (16)
with either one of the boundary conditions, say (3). Note that the domain of the
operator A is given by
with
Aφ = A(D)φ , for φ ∈ D(A) . (18)
Clearly both the domain and the range of the operator A are in E.
Define the operator
where
Fi (t, φ) ≡ Fi (t; φ1 , Dφ1 , D2 φ1 , φ3 ; Dφ2 , φ4 ) , i = 1, 2 .
Occasionally we have to distinguish the coupling term provided by the stay cables
which support the roadbed from the main suspension cables. For this we write
F = Fc + Fe , where
½ ¾0
1 1
Fc (t, φ) ≡ 0, 0, F (φ2 − φ1 ), − F (φ2 − φ1 ) , (20)
mb mc
½ ¾0
1 1
Fe (t, φ) ≡ 0, 0, f1 , f2 . (21)
mb mc
The first component represents the (elastic) coupling operator, and the second com-
ponent represents all other nonconservative and external forces. Thus we can for-
mulate the system (9) as an abstract first order differential equation on the Hilbert
space E, given by
dφ = Aφ + F(t, φ) = Aφ + Fc (t, φ) + Fe (t, φ) ,
dt (22)
φ(0) = φ0 ,
where φ(0) = {φ1 (0), φ2 (0), φ3 (0), φ4 (0)}0 ≡ φ0 denotes the initial state given by (5).
Model (B) : Here we point out only the significant modifications necessary to
construct a similar abstract model for the system (B). For this model we choose H
same as in (10) and
V ≡ H02 × H02 .
“DynamicalSystems” — 2004/3/4 — page #150
kφk2E ≡ β1 kD2 φ1 k2L2 (Σ) + γ1 kDφ1 k2L2 (Σ) + β2 kD2 φ2 k2L2 (Σ) + γ2 kDφ2 k2L2 (Σ) +
with
Aφ = A(D)φ , for φ ∈ D(A) . (28)
The nonlinear operator F is again given by the sum of a coupling operator and the
operator associated with all the external and nonconservative forces is as follows:
F = Fc + Fe ,
where ½ ¾0
K Kl
Fc (t, φ) ≡ 0, 0, − F1 (φ), − F2 (φ) , (29)
m I
½ ¾0
1 1
Fe (t, φ) ≡ 0, 0, f1 , f2 , (30)
m I
and F1 and F2 are given by the expressions (7). The functions {fi , i = 1, 2} ab-
sorb all external and nonconservative forces which include viscous and aerodynamic
forces and structural elastic resistances. For example fi may be given by
In any case the torsional dynamics coupled with vertical motion given by equation
(6) can be represented again by the same abstract form (22) by redefining the
“DynamicalSystems” — 2004/3/4 — page #151
where the operators A and F are given by the expressions (27)–(30). Using this
result and the variation of constants formula [3] we can rewrite both the evolution
equations (22) and (31) as an integral equation on E,
Zt
φ(t) = S(t)φ0 + S(t − s)F(s, φ(s)) ds , t ≥ 0, (32)
0
where {ui , vi } ∈ H ≡ L2 (Σ)×L2 (Σ) denote the modes of either of the linear systems.
Using the state as defined by (15) or (23), the abstract stochastic counterpart of
system (22) or (31) is given by
dφ = Aφ + F(t, φ) + σ dW ,
dt dt (36)
φ(0) = φ0 ,
d
where W denotes the generalized derivative of W and
dt
0 0
0 0
σ≡ σ
,
1 0
0 σ2
with σ1 = σ̃1 /mb , σ2 = σ̃2 /mc and σ1 = σ̃1 /m, σ2 = σ̃2 /I for systems (22) and
(31) respectively. One can bypass the generalized derivatives by using the so-called
Ito calculus and write equation (36) as a stochastic integral equation
Zt Zt
φ(t) = S(t)φ0 + S(t − s)F(s, φ(s)) ds + S(t − s)σ(s) dW (s) , (37)
0 0
From now on we consider these abstract stochastic models without referring to the
specific model (A) or (B) unless it is essential.
For further analysis of the system we must now formally introduce the prob-
ability space (Ω, B, Bt ↑⊂ B, P ). Let {W (t), t ≥ 0} be an H valued Wiener
process adapted (or measurable with respect) to the sigma algebra Bt satisfying
“DynamicalSystems” — 2004/3/4 — page #153
1 K
V≡ kφk2E + kφ2 − φ1 k2L2 (Σ) , (40)
2 2
where, by definition of the norm topology of the space E (see equation (14)), the
first term represents the sum of kinetic and (elastic) potential energies of the road
bed and the suspension (main) cable. The second term represents the elastic en-
ergy stored in the stay cables. The assumption of linear coupling holds only for
model (A).
“DynamicalSystems” — 2004/3/4 — page #154
Using Ito differential rules one can justify (see [2, Theorem 5.1]) that the ex-
pected value of the energy functional V along the solution of (38) is given by
Zt
1
EV(φ(t)) = EV(φ0 ) + E{tr(σ(s)Qσ(s)∗ )} ds , for t ≥ 0 , (41)
2
0
where K stands for the stiffness coefficient of the (stay) vertical cables. In fact
physically one can admit any real valued nondecreasing function F with its graph
lying in the first and third quadrant of the plane. Define
Zζ
G(ζ) ≡ F (ξ) dξ ,
0
Z (43)
Vv (η) ≡ G(η(x)) dx .
Σ
For the Lyapunov function V we choose again the total energy functional given by
1
V(φ) ≡ kφk2E + Vv (φ2 − φ1 ) , (44)
2
where Vv denotes the component of elastic energy contributed by the vertical cables.
For model (B), F = Fc , and it is given by the expression (29) where F1 and F2 are
given by equation (7). For the Lyapunov function we choose the energy functional
given by
1
V(φ) ≡ kφk2E + Vv (φ) , (45)
2
where the square of the E-norm in this case is given by (26), and the elastic energy
of the vertical cables denoted by Vv is given by
ZL
Vv (φ) ≡ K {G0 (φ1 + l sin φ2 ) + G0 (φ1 − l sin φ2 )} dx , (46)
0
where
Zη
G0 (η) ≡ − F0 (−ξ) dξ .
0
“DynamicalSystems” — 2004/3/4 — page #155
For the nonlinear coupling the following result holds for both the models (A) and (B)
(see [2, Theorem 5.2]):
Zt
1
EV(φ(t)) = EV(φ0 ) + E{tr(σ(s)Qσ(s)∗ )} ds , for t ≥ 0 , (47)
2
0
Remark: Note that even though the two results (41) and (47), for linear and non-
linear coupling respectively, look alike, their V functions are different, and hence
the numerical results are expected to differ.
Remark: Another interesting point related to wind actions is that if the operator
valued function σ vanishes after a period of time say, [0, t], for example a wind
gust persists over this period and then ceases completely, both the systems are left
behind with the expected energy
Zτ
1
EV(φ(t)) = EV(φ0 ) + E{tr(σ(s)Qσ(s)∗ )} ds , for t ≥ τ , (48)
2
0
Hence we observe that even if the bridge were calm at time zero implying φ0 = 0
and hence EV(φ0 ) = 0, the wind gust delivers into the bridge structure an amount
of energy equal to the second component of the expressions (41) and (47). Thus
in the absence of sufficient damping this can eventually damage the bridge due to
sustained oscillation and the associated mechanical fatigue.
Further if
Z∞
1
EV(φ0 ) + E{tr(σ(s)Qσ(s)∗ )} ds ≡ Ew < ∞ ,
2
0
then the total kinetic energy of the system decays asymptotically to zero.
“DynamicalSystems” — 2004/3/4 — page #156
Further for each given (mean) wind velocity v, the domain of stability
½ ¾
1
S v ≡ e ∈ E : he, Fe (e)i + tr(σ(s)Qσ(s)∗ ) ≤ 0 (55)
2
is nonempty.
This holds for both models. For the model (A), σ is generally independent of
the state while for the model (B) it is dependent. Indeed for the model (B)
µ ¶ Z Z
1 ∗ 16 4l2 2
tr(σ(s)Qσ(s) ) = + 2 (lρvκ) (sin e2 ) dx ≡ c3 (sin e2 )4 dx ,
4
2 m2 I
Σ Σ
where µ ¶
16 4l2
c3 ≡ + (lρvκ)2 .
m2 I2
Thus, for any mean wind velocity v, the domain of stability is given by
1
S v ≡ e ∈ E : he, Fe (e)i + tr(σ(s)Qσ(s)∗ ) = (c1 e3 + c2 e4 , e2 )L2 −
2
Z
c2 c1 c2 l
− (e4 , e3 )L2 − ke3 k2L2 − ke4 k2L2 + c3 (sin e2 )4 dx ≤ 0 . (56)
|v| |v| |v|
Σ
Note that the parameters {c1 , c2 , c3 } are all positive and quadratic in v, and hence
the first and the last components of the expression in (56) are quadratic and the
remaining terms linear in v. Clearly for v = 0, S0 = E. Note that the third and
fourth components have stabilizing effects (aerodynamic damping), and they are
linear in |v| while the fifth component has a destabilizing influence. The combined
effect of the first, second and fifth components may supersede the stabilizing in-
fluence of the third and fourth components and hence may induce instability at
sufficiently large wind velocities. Thus there exists a critical wind velocity vc such
that for all v ∈ {v : |v| < |vc |} the set S v 6= ∅. These results are illustrated by
numerical examples given in the following section.
Remark: The constants {c1 , c2 , c3 } are functions of the basic bridge parameters
{m, I, l} and the wind velocity v, air density ρ and the parameter κ determining the
intensity of wind fluctuation energy. Clearly the size of the domain of stability as
discussed above is determined by these parameters. It follows from the expression
for the domain that, for a given mean wind velocity, the more massive the structure
is (large m, I), the larger is the domain of stability. Similarly the narrower the
structure is (small l) the larger is the domain of stability. Further, as mentioned
earlier, appropriate choice of the so-called smart materials for decks and girders
may enlarge the stability boundary. In any case given the survey data such as the
mean wind velocity, air density and the gusty factor κ of the construction site, one
can choose the design materials so as to achieve a domain of stability which may
be considered safe from an engineering point of view. This result may be used as a
guideline to avoid over- and under-design as contemplated by Doole and Hogan in
their paper [6].
“DynamicalSystems” — 2004/3/4 — page #158
remains stable. Beyond this critical value the system becomes unstable. One may
recall that the critical value depends on the system parameters as discussed in the
remark following Section 5. These results correspond to angle of attack ν = 0.
The results shown in Fig. 4 correspond to v = 50 and ν = 0, 10◦ , 20◦ . In this
case θ appearing in equations (50) is replaced by θ − ν. It is clear from these results
that, with increasing angle of attack (relative to the horizontal plane), the structure
becomes increasingly unstable, which is expected.
7 Concluding Remarks
In this paper we have presented simulation results for two models of suspension
bridges subject to stochastic wind load. The numerical results coincide with the
conclusions based on purely theoretical studies [1, 2].
References
1. Ahmed, N.U. and Harbi, H. (1998) Mathematical Analysis of Dynamic Models
of Suspension Bridge. SIAM Journal of Applied Mathematics, 58 (3), 853–
874.
2. Ahmed, N.U. (2000) A General Mathematical Framework for Stochastic Anal-
ysis of Suspension Bridges. Nonlinear Analysis, Series B, 1, 451–483.
3. Ahmed, N.U. (1991) Semigroup Theory with Applications to Systems and Con-
trol . Pitman Research Notes in Mathematics Series No. 246. Longman Sci-
entific and Technical, UK, John Wiley & Sons, Inc., New York.
4. Ahmed, N.U. and Harbi, H. (1998) Torsional and Longitudinal Vibration of
Suspension Bridges Subject to Aerodynamic Forces. Journal of Mathematical
Problems in Engineering, 3 (4), 1–29.
5. Ahmed, N.U. and Harbi, H. (1998) Stability of Suspension Bridge II: Aero-
dynamic vs Structural Damping. In Proc. of SPIE, Smart Structures and
Materials 1998, Smart Systems for Bridges, Structures, and Highways, San
Diego, California, pp. 276–289.
6. Doole, S.H. and Hogan, S.J. (1996) A Piecewise Linear Suspension Bridge
Model: Nonlinear Dynamics and Orbit Continuation. Dynamics and Stability
of Systems, 11 (1), 19–47.
7. Glover, J., Lazer, A.C. and McKenna, P.J. (1989) Existence and Stability of
Large Scale Nonlinear Oscillations in Suspension Bridges. Journal of Applied
Mathematics and Physics (ZAMP), 40, 172–200.
8. Jacover, D. and McKenna, P.J. (1994) Nonlinear Torsional Flexings in a Pe-
riodically Forced Suspended Beam. Journal of Computational and Applied
Mathematics, 52, 241–265.
9. Roseau, M. (1984) Vibration in Mechanical Systems. Springer-Verlag, Berlin,
Heidelberg, New York, London, Paris, Tokyo.
“DynamicalSystems” — 2004/3/7 — page #163
Time delays are ubiquitous in control systems. They usually enter because of
the sensors and actuators used in them. Traditionally, time delays have been
thought to have a deleterious effect on both the stability and the performance
of controlled systems, and much research has been done in attempting to
eliminate them, compensate for them, or nullify their presence. In this paper
we take a different view. We investigate whether purposefully injected time
delays can be used to improve both the system’s stability and performance.
Our analytical, numerical, and experimental investigation shows that this can
indeed be done. Analytical results of the effects of time delays on collocated
and non-collocated control of classically damped and non-classically damped
systems are given. Experimental and numerical results confirm the theoretical
expectations. Issues of system uncertainties and robustness of time delayed
control are addressed. The results are of practical value in improving the
performance and stability of controllers because these characteristics (perfor-
mance and stability) improve dramatically with the intentional injection of
small time delays in the control system. The introduction of such time delays
constitutes a ‘minimal change’ to a controller already installed in a structural
system for active control. Hence, from a practical standpoint, time delays can
be implemented in a nearly costless and highly reliable manner to improve
control performance and stability, an aspect that cannot be ignored when
dealing with the economics and safety of large structural systems subjected
to strong earthquake ground shaking.
“DynamicalSystems” — 2004/3/7 — page #164
1 Introduction
The active control of large-scale structural systems usually requires the generation
of large control forces which often need to be provided at high frequencies. Actuator
and sensor dynamics do not permit the instantaneous generation of such forces, and
hence the effective control gets delayed in time. Thus the presence of time delays in
the control are inevitable when controlling building structures subjected to dynamic
loads, such as those caused by strong earthquake ground shaking. In order to
accommodate for the time delays, the mathematical formulations of the problem of
controlling building structures are usually more complicated than the formulations
without time delays. The fact that the models are more complicated when time
delays are included and that in some cases the presence of time delays destabilize the
control has fueled the predominant view that time delays are an undesirable element
in the active control of structures. With this view in mind, methods to cancel out,
reduce, or change the effect of time delays have been developed. This paper proposes
a different viewpoint: its central theme is that instead of considering time delays as
always being injurious, one could aim to exploit their presence, especially since they
are ubiquitous. We show that the proper intentional introduction of time delays
can: (1) stabilize even a non-collocated control system (which may be unstable in
the absence of time delays), and (2) improve control performance.
Extensive work has been done on the control of structural systems where no
consideration to time delays is given. The fact that the results do not include time
delays does not undermine their importance when controlling large building struc-
tures, since several of the concepts can be used as a starting point when dealing
with time-delayed problems. Feedback control of structural systems yields different
stability characteristics depending on whether collocated or non-collocated control
is used. Direct velocity feedback (no time delay) control of a discrete dynamical
system with collocation of actuators and sensors is known to be stable for all values
of the control gain (Auburn 1980, Balas 1979a). Balas (1979b) has investigated the
potential of direct output feedback control for systems where sensors and actua-
tors need not be collocated. When actuators’ dynamics are considered, Goh and
Caughey (1985) and Fanson and Caughey (1990) have shown that position feedback
is preferable to velocity feedback under collocated control. Cannon and Rosenthal
(1984) deal with experimental studies of collocated and non-collocated control of
flexible structures. Based on these studies, it has been concluded that it is very
difficult to achieve robust non-collocated control of flexible structures.
In practical feedback control systems, small time delays in the control action
are inevitable because of the involved dynamics of the actuators and sensors. As
stated before, these time delays become particularly significant when the control
effort demands large control forces and/or high frequencies. It is therefore crucial
to understand the effect of time delays on the control of structural systems. Sev-
eral papers in the literature treat the presence of time delays as a negative factor.
Yang et al. (1990) show that time delays worsen performance for their proposed
controllers. Agrawal et al. (1993) indicated methods of compensation for time de-
lay in the active control of structural systems. On the other hand, some previous
studies suggest that time delays can be used to good advantage. Kwon et al. (1989)
show that the intentional use of time delays may improve the performance of the
“DynamicalSystems” — 2004/3/7 — page #165
control system. Udwadia and Kumar (1994) show that dislocated velocity control,
which leads to instability in the absence of time delays, can even be used to stabi-
lize an MDOF system (for small gains) by an appropriate choice of time delays. In
the present paper (Section 3) we show that the intentional injection of time delays
can increase the maximum gain for stability of a non-classically damped system
(when compared with the system with no time delays). Experimental results on a
two-degree-of-freedom torsional system (Section 4) confirm our analytical findings
and show that it is possible to choose time delays which improve the controller’s
performance when compared to the controlled system with no time delays.
This paper is organized as follows. Section 2 deals with the time-delayed control
of classically damped systems. Results for collocated as well as for non-collocated
control of undamped and underdamped systems are given. The theoretical expecta-
tions are confirmed numerically when applied to a building structure model which
is subjected to an earthquake. Numerical results on the sensitivity of the control
methodology to perturbations (a) of the parameters of a building structure, and
(b) of the time delays used are also presented. Section 3 deals with more general,
non-classically damped, linear systems. Section 4 presents experimental data on a
two-degree-of-freedom non-classically damped torsional system. Numerical results
which corroborate the theoretical findings obtained in the previous sections are also
presented for comparison. Here we also show that it is possible for a non-system
pole (a pole whose root locus does not start at an open loop pole of the structural
system) to dictate the maximum gain for stability of the time-delayed, controlled
system. Section deals 5 with robustness issues. It deals with the control of uncertain
systems with uncertain time varying delays in the control input. Our conclusions
are presented in Section 6.
where Ξ = diag(2ξ1 , 2ξ2 , . . . , 2ξn ), Λ = diag(λ21 , λ22 , . . . , λ2n ), and the matrix T =
[tij ] is the orthogonal matrix of eigenvectors of M −1/2 KM −1/2 . Taking the Laplace
transform of (2.2) and solving, we get
Ξ = diag((s2 + 2ξ1 s + λ21 )−1 , (s2 + 2ξ2 s + λ22 )−1 , . . . , (s2 + 2ξn s + λ2n )−1 ) .
The open loop poles are given by the zeros of the equations
The poles have been denoted by γ±q , the sign indicating the sign in front of
the radical of the quadratic equations given in (2.4). In this paper we assume the
system to be generic and all poles to have multiplicity one (no repeated poles).
The feedback control uses a linear combination of p responses xsk (t), k =
1, 2, . . . , p, which are fed to a controller. In general, the responses are time-delayed
by Tsk (t). The actuator will apply a force to the system, affecting the j-th equa-
tion of (2.1). When j ∈ {sk : k = 1, 2, . . . , p} the sensors and the actuator are
collocated, and if j ∈ / {sk : k = 1, 2, . . . , p} the sensors and the actuator are non-
collocated (dislocated). The control methodology applied to a shear frame building
structure is shown in Figure 2.1.
Denoting the non-negative control gain by µ and the controller transfer function
by µτc (s), the closed loop system poles are given by
p
X
Ã(s)x̃(s) = [M s2 +Cs+K]x̃(s) = g̃(s)−µτc (s) ask x̃sk (s) exp[−sTsk ]ej ,
k=1
(2.5)
where ej is the unit vector with unity in the j−th element and zeros elsewhere. The
numbers ask are the coefficients of the linear combination of the responses fed to
the controller. Moving the last term on the right of (2.5) to the left gives
where Ã1 (s) is obtained by adding µτc (s)ask exp[−sTsk ] to the (j,sk )-th
element of Ã(s), for k = 1, 2, . . . , p.
“DynamicalSystems” — 2004/3/7 — page #167
(δ)
where x̃s ,j (s) is the Laplace transform of the open loop response to an impulsive
k
force applied at node j at time t = 0. The open loop response to the impulsive force
n (M ) (M ) n
(δ)
X ts ,j ti,j (M )
X −1/2
is given by x̃s ,j (s) = k
2 + 2ξ s + λ2
, where t s k ,r = m−1/2
sk ,u tu,r , with mi,j
k
i=1
s i i u=1
(M )
being the (i, j)-th element of M −1/2 and T (M ) = M −1/2 T = [ti,j ].
The following set of conditions will be referred to as condition set C1. Given
that the open loop poles of the system are γ±q , we have
The first condition means that the open loop poles of the system are not also zeros
of the controller transfer function. The second condition is a generalized observabil-
ity condition which requires that all mode shapes are observable from the summed,
“DynamicalSystems” — 2004/3/7 — page #168
Result 2.1: When the open loop system has distinct poles and condition set C1 is
satisfied, the open loop and the closed loop systems have no poles in common.
If condition set C1 is satisfied, then by Result 2.1 and (2.7), the closed loop
poles of the system are given by the values of s that satisfy the equation
p Xn (M ) (M )
X ts ,j ti,j
1 + µτc (s) ask exp[−sTsk ] 2 k = 0. (2.8)
i=1
s + 2ξi s + λ2i
k=1
In general, equation (2.8) may have an infinite number of zeros due to the time
delay term. As the parameter µ is varied, we obtain the root locus of the closed
loop poles. The poles that are on a root locus that starts at an open loop pole of the
structural system will be called system poles. The poles that do not originate at an
open loop pole of the system will be called non-system poles. To simplify matters,
some of the following results deal with the system poles only. The simplification
of dealing with the system poles only, allows us to obtain bounds on the gain and
the time delay to guarantee stability. These results should be viewed with caution
since in general there are an infinite number of poles, and as is shown in Section 4,
a non-system pole may determine what is the maximum gain for stability for some
systems. It will be made clear when our results apply to all the poles considered,
and when only to the system poles.
The following result and all of its consequences apply to the case when only
system poles are considered. Multiplying (2.8) by s2 +2ξr s+λ2r , then differentiating
with respect to µ and letting s → γ±r = −ξr ± i(λ2r − ξr2 )1/2 and ν → 0, we obtain
¯ " p #
ds ¯¯ τc (γ±r ) X (M )
(M )
=− as exp[−γ±r Tsk ]tsk ,r tj,r . (2.9)
dµ ¯ µ→0 2 ± i(λ2r − ξr2 )1/2 k=1 k
s→γ±r
Result 2.2: A sufficient condition for the closed loop system to remain stable for
infinitesimal gains is that
ds ¯¯
Re ¯ < 0, r = 1, 2, . . . , n . (2.10)
¯
dµ µ→0
s→γ±r
Again, Result 2.2 applies only when system poles are considered, and in general the
result may not be true when non-system poles are also considered.
We now particularize the controller to be of the proportional, integral and deriva-
tive (PID) form. The transfer function of the controller is then given by
K2
τc (s) = K0 + K1 s + , with K0 , K1 , K2 ≥ 0 .
s
“DynamicalSystems” — 2004/3/7 — page #169
Result 2.3: For undamped systems (C = 0), condition (2.10) is a necessary and
sufficient condition for stability for small gains.
For an undamped system, the open loop poles are of the form γ±r = ±iγr .
Using (2.9 and 2.10) we can derive the following requirement for stability for small
gains (this result applies to system poles only).
½µ ¶ ´¾
K0 K2 ³ X ) (M )
Re + K1 − 2 +k = 1p ask exp[∓λr Tsk ]t(M t
sk ,r j,r > 0 , (2.11)
±iλr λr
for r = 1, 2, . . . , n.
Using the relation (2.11), we can derive the following result.
Result 2.4: When using one sensor collocated with the actuator for an undamped
system, the PID feedback control is stable (for small gains) if and only if
½ µ ¶ ¾
K0 K2
aj − sin(λr Tj ) + K1 − 2 cos(λr Tj ) > 0 for r = 1, 2, . . . , n .
λr λr
(2.12)
Result 2.5: For undamped systems with one sensor collocated with the actuator,
we have the following conditions for stability for small gains.
(a) Velocity feedback (K0 = K2 = 0) is stable as long as the time delay is such
π
that Tj < , where λmax is the highest undamped natural frequency of
2λmax
the system.
(b) Integral control (K0 = K1 = 0) is stable as long as the delay is such
π
that Tj < .
2λmax
(c) Proportional control (K1 = K2 = 0) is stable as long as the time delay is such
π
that 0 < Tj < .
2λmax
π
(d) When K0 = 0 and the time delay is such that Tj < , the undamped
2λmax
K2 K2
system will be stabilized when K1 > 2 and aj > 0, or K1 < 2 and
λmin λmax
aj < 0.
“DynamicalSystems” — 2004/3/7 — page #170
then the PID control, if stable for µ → 0+ , is stable for all µ > 0 provided
· µ ¶¸ · µ ¶¸
K2 K2
det à − + µaj det Ã2 − 6= 0 , (2.13)
K1 K1
for any positive µ, where Ã2 is obtained by deleting the j−th row and the j−th
column of the matrix Ã.
When velocity (or integral) feedback control is used, condition (2.13) is always
satisfied, hence we get the well-known result that stability is guaranteed for µ > 0.
The upper bound for the stability of the system described in result 2.6 can be
obtained to be · µ ¶¸
K2
− det à −
K
µ< · µ 1 ¶¸ ,
K2
aj K0 det Ã2 −
K1
provided the right-hand side in the inequality is positive. If not, the system is stable
for all µ > 0, provided it is stable for small gains. Result 2.6 and the above bound
on the gain for stability apply to the case when all the poles are considered. The
next result, however, only applies when system poles are considered.
The previous results have focused on collocated control. In the following results
we will consider the control of non-collocated (dislocated) systems. Results dealing
with no time delay are presented first and are followed by results for time-delayed
systems.
a necessary condition for the undamped system to be stabilized for small gains is
p
X K2
(a) ask m−1
s ,j > 0 , when K1 > ,
k λ2min
k=1
and
p
X K2
(b) ask m−1
s ,j < 0 , when K1 < .
k λ2min
k=1
Result 2.11: When using an ID controller, for a system as defined in Result 2.10,
where
(2) one sensor is used and it is not collocated with the actuator,
n on
(M ) (M )
(3) the sign change in the sequence ts1 ,i tj,1 occurs when i = m,
i=1
π
(4) time delay Ts1 = − ε, where ² is a small positive quantity and,
2λm−1
π
Ts1 λm > ,
2
“DynamicalSystems” — 2004/3/7 — page #172
λmax
(5) ≤ 3, and
λmin
K2 K2
(6) K1 > 2 or K1 < 2 ,
λmin λmax
Result 2.12: For the undamped system described in Result 2.11, velocity feedback
control will be stable as long as µ < G, where G is the minimum of all positive Bl ,
for l = 0, 1, 2, . . ., where
−1
n (M ) (M )
X ts ,i tj,1 (2l + 1)π
bl = − as1 K1 ηl sin(ηl Ts1 ) 1 and ηl = .
i=1
λ2i − ηl2 2Ts1
Result 2.13: When using PID control for underdamped systems, ξi < λi , i =
1, 2, . . . , n a sufficient condition for the closed loop system to be stable for small
gains is · µ ¶ ¸
1 K2
− 1/2
K0 − K1 + 2 ξr ×
(λ2r − ξr2 ) λr
à n !
X ³¡ ¢ 1/2
´
(M )
× ask exp[ξr Tsk ] sin λ2r − ξr2 Tsk t(M )
sk ,r tj,r +
k=1
· ¸ ÃX
n ³¡ ´
!
K2 ¢1/2 ) (M )
+ K1 − 2 ask exp[ξr Tsk ] cos λ2r − ξr2 Tsk t(M
sk ,r tj,r >0
λr
k=1
for r = 1, 2, . . . , n.
Result 2.14: When the sensor and actuator are collocated and only one sensor
K2
is used, for PID control, if K1 − 2 6= 0, for all r, a sufficient condition for small
λr
gains stability is
· ¸ ³ ´
K2
aj K1 − 2 cos (λ2r − ξr2 )1/2 Tsk + φ > 0 , for r = 1, 2, . . . , n ,
λr
where µ ¶
K2
K1 + 2 ξ r
λ
φ = tan−1
µ ¶ r .
K2 2 2 1/2
K1 − 2 (λr − ξr )
λr
“DynamicalSystems” — 2004/3/7 — page #173
Result 2.15: When using one sensor, collocation of the sensor with an actuator of
the given feedback control type will cause the closed loop system poles to move to
the left in the s-plane, as long as the given condition on the time delay is satisfied.
π
+φ
(a) For velocity feedback, the time delay needs to satisfy Tj < min 2 ,
∀r (λ2r − ξr2 )1/2
" #
ξ r
where φ = tan−1 1/2
.
(λ2r − ξr2 ) π
−φ
(b) For integral feedback, the time delay needs to satisfy Tj < min 2 ,
∀r (λ2r − ξr2 )1/2
where φ is as in part (a).
(c) For "proportional #feedback, the time delay needs to satisfy 0 < Tj <
π
min .
∀r (λr − ξr2 )1/2
2
π
−φ
(d) For a PID controller, the time delay needs to satisfy Tj < min 2 ,
∀r (λ2r − ξr2 )1/2
K2
where φ is as defined in Result 2.14, when K1 > 2 and aj > 0, or
λmin
K2
K1 < 2 and aj < 0.
λmax
a)
b)
Figure 2.2 Root loci of closed loop system poles for collocated velocity feedback control
with j = 4, s1 = 4, a4 = 1, and time delay (a) T4 = 0 sec, (b) T4 = 0.025 sec.
vanishingly small gains, the third, fourth and fifth closed loop system poles are in
the right-half s-plane, hence causing instability. However, the introduction of an
appropriate time delay, such as T5 = 0.04 sec, makes the closed loop system poles
remain in the left-half plane until a certain value of the controller gain. This is
illustrated in Figure 2.3b, where the closed loop system poles are shown for j = 4,
s1 = 5, a5 = 1, and a time delay of T5 = 0.04 sec. The upper bound on the gain
for stability obtained by tracing the root loci is the same as the one predicted by
Result 2.12. This example shows that by appropriately injecting time delay into a
system, it is possible to stabilize a system which is unstable for zero time delay.
Figure 2.4 shows the displacement time history of mass 5 relative to the base,
when the structure is subjected to the ground motion of the S00E component of
the Imperial Valley Earthquake of 1940. The structural responses are numerically
computed using a fourth-order Runge-Kutta scheme. The response time histories
are shown only for the first 10 sec. The response is shown for no control (µ = 0), and
for µ = 10 units, using non-collocated velocity control with j = 1, s1 = 5, a5 = 1,
“DynamicalSystems” — 2004/3/7 — page #175
a)
b)
Figure 2.3 Root loci of closed loop system poles for non-collocated velocity feedback
control with j = 4, s1 = 5, a4 = 1, and time delay (a) T5 = 0 sec, (b) T5 = 0.04 sec.
and T5 = 0.04 sec. The results on Figure 2.4 show that by using intentional time-
delayed velocity feedback, the displacement of the 5-th mass is significantly smaller
than the displacement of the mass when no control is used. Figure 2.5 shows the
time histories of the incoming force per storey (i.e., negative of storey mass times
ground acceleration), and the control force required when the controller’s gain is
µ = 10 units.
To explore the robustness of this control methodology, numerical results of the
sensitivity of the closed loop system poles to changes in the mass, stiffness and
time delay parameters (for the nominal system presented in the last example) are
presented in the next section.
Figure 2.5 Incoming force per storey and control force time histories (j = 1, s1 = 5,
a5 = 1, and T5 = 0.04 sec) for non-collocated velocity control.
parameters accurately. It may also come from variations of the system parameters
caused by fatigue, structural degradation, etc. Changes in the parameter values will
lead to changes in the closed loop poles, and thus changes in the performance of
the system. This stresses the importance of knowing how sensitive the time-delayed
control is to parameter variations. Furthermore, we have shown that the purposeful
injection of time delays in non-collocated systems brings about stability. As the
injection of such time delays in actual systems can at best be chosen only approxi-
mately (because of the uncertainties in actuator dynamics, etc.), it is important to
“DynamicalSystems” — 2004/3/7 — page #177
Figure 2.6 Sensitivity of the maximum gain for stability to changes in stiffness and time
delay for j = 1, s1 = 5, a5 = 1, and mass = 1.
Figure 2.7 Sensitivity of the maximum gain for stability to changes in mass and time
delay for j = 1, s1 = 5, a5 = 1, and stiffness = 1, 600.
Level curves of maximum gain for stability for the above-described system are
presented in Figures 2.6 and 2.7. In Fig. 2.6 the stiffness and the time delay are
varied, keeping the mass constant at 1 (SI units). Sensitivity to variations of the
mass and the time delay are presented on Fig. 2.7, when the stiffness is kept constant
at 1,600 (SI units).
Both graphs show a continuous dependence of the maximum gain for stability
on the chosen parameters. The contour plots can help us in the design process
by allowing us to select the system parameters that yield a desired performance.
The figures show that stable dislocated control brought about by the purposeful
injection of time delays could be made effective even in the presence of considerable
uncertainties in the parameters that model the structural system. Further results
on the stability of controlled systems with uncertainties in the system parameters
and time delay are presented in Section 5. The next section deals with the control
of more general linear systems which include both non-classically and classically
damped structures.
Moving the term µ(f (s), x̃(s))ej to the left-hand side of (3.3), we get the equation
The open loop poles of (3.4) are given by equation (3.5a), and the closed loop
poles are given by equation (3.5b) as follows:
h i
det Ã(s) = 0 , (3.5a)
h i
det Ã1 (s) = 0 . (3.5b)
Result 3.1: Suppose the open loop poles are given by λ with k = 1, 2, . . . , 2n and
the condition
n
X
q(λk ) = fi (λk )Ãij (λk ) 6= 0 for k = 1, 2, . . . , 2n
i=1
is satisfied. Then the closed loop system and the open loop system have no poles
in common.
For the stability of the closed loop system, we need the real part of the closed
loop poles to be negative. The next result gives bounds on the gain so that the
closed loop system remains stable.
Result 3.2: For any given set of time delays, suppose the open loop poles λ1 , λ2 ,
. . . , λ2n all have negative real parts, and the following two conditions are satisfied:
n
X
(a) q(s) = fi (s)Ãij (s) 6= 0, and
i=1
for all s in the right-half complex plane and along the imaginary axis. Then there
exists an interval Iµ∗ = [−µ∗ , µ∗ ], with µ∗ > 0, such that for any gain µ ∈ Iµ∗ , the
closed loop poles are in the left-half complex plane (i.e., the system is stable).
h i
Proof: p(s) = det Ã(s) .
We will use the argument principle (see pages 152–154 in Ahlfors, 1979). Equation
(3.6) can be visualized as
h i
det Ã1 (s) = h(s) = p(s) + µq(s) ,
h i
where p(s) = det Ã(s) , and q(s) is as above. Consider the contour given by the
half-circle of radius R in the right-half plane with boundary ΓR and enclosing the
region ΩR , see Figure 3.1.
For any fixed R we have
∞ µ ¶k ¯ ¯
1 X µq(s) ¯ µq(s) ¯
Now = − for all s ∈ ΩR , provided ¯ ¯ ¯ < 1, or
µq(s) p(s) p(s) ¯
1+ k=0
¯ p(s)
¯
¯ p(s) ¯
|µ| < ¯¯ ¯. By conditions (a) and (b), and the fact that p(s) is a polynomial,
q(s) ¯
p(s)
we have that , is analytic on ΩR ; also, p(s) 6= 0 in ΩR . Thus by the minimum
q(s) ¯ ¯
¯ p(s) ¯
modulus principle, ¯¯ ¯ has a nonzero minimum on the boundary ΓR of ΩR . Let
q(s) ¯ ¯ ¯ ¯ ¯
¯ p(s) ¯ ¯ p(s) ¯
∗ ∗
µ be such that µ < min ¯ ¯ ¯ = min ¯ ¯ ¯. Therefore, for any µ ∈ [−µ∗ , µ∗ ],
s∈ΩR q(s) ¯ s∈ΓR q(s) ¯
the infinite series converges. Let µ ∈ [−µ∗ , µ∗ ], we then have
Z 0 Z 0 Ã∞ µ ¶k !
h (s) p (s) + µq 0 (s) X µq(s)
ds = − ds =
h(s) p(s) p(s)
ΓR ΓR k=0
∞
X Z µ ¶k
p0 (s) + µq 0 (s) µq(s)
= − ds = 0 .
p(s) p(s)
k=0 ΓR
Note that for each k, the integral is an integral of an analytic function over a closed
curve, and thus equal to zero. R is arbitrary, so by the argument principle (see
pages 152-154 in Ahlfors, 1979) there exists a range [−µ∗ , µ∗ ] in µ for which all the
closed loop poles are in the left-half plane. ¤
Result 3.2 can be strengthened so that condition (a) is not needed. That is, the
function q(s) is allowed to have zeros in the right-half plane.
Result 3.3: For a given set of time delays, suppose the open loop poles λ1 , λ2 ,
. . . , λ2n all have negative real parts, the function q(s) is analytic for all s in the right-
half complex plane and along the imaginary axis, and q(s) has zeros at s1 , s2 , . . . , sm
“DynamicalSystems” — 2004/3/7 — page #182
in the right-half complex plane (including perhaps zeros on the imaginary axis).
Then there exists an interval Iµ∗ = [−µ∗ , µ∗ ], with µ∗ > 0, such that for
any gain m ∈ Iµ∗ the closed loop poles are in the left-half complex plane
(i.e., the system is stable).
Proof: The proof is similar to the one given for Result 3.2. First suppose that q(s)
has only one zero s1 in the right-half complex plane.
Let ΓR,ε be the contour given by ΓR,ε = ΓR ∪ Cε , where ΓR is the contour given
by the half circle of radius R in the right-half plane, and Cε is the circle of radius
ε centered about s1 . Let ΩR,ε be the region bounded by the circle Cε and the half
circle ΓR , see Figure 3.2.
As in the proof of Result 3.2, det[Ã1 (s)] = h(s) = p(s) + µq(s). We need to show
X∞ µ ¶k
1 µq(s)
that = − converges for µ ∈ [−µ∗ , µ∗ ], where µ∗ needs to
µq(s) p(s)
1+ k=0
p(s) ¯ ¯
p(s) ¯ p(s) ¯
be determined. In the region ΩR,ε , the function is analytic, and thus ¯¯ ¯
q(s) q(s) ¯
has a minimum on the boundary ΓR,ε of ΩR,ε (recall that p has no zeros in the
left-half plane, nor on the imaginary axis). The question is, what will occur when
ε → 0? Since the minimum occurs on the boundary ΓR,ε , it must either occur on
ΓR or on Cε . It will be shown that it must occur on ΓR .
p(s)
The function q(s) can be expressed as q(s) = (s − s1 )g(s). The function
q(s)
is analytic ¯inside¯ the closed disk bounded by Cε , so it has a nonzero minimum
¯ p(s) ¯
Mε = min ¯¯ ¯. Using the last observations we get
s∈Cε q(s) ¯
¯ ¯ ¯ ¯ ¯ ¯
¯ p(s) ¯ ¯ p(s) ¯ ¯ p(s) ¯
Mε = min ¯ ¯ ¯ = min ¯ ¯ ¯ ≥ min ¯¯ ¯ min p(s) = Mε 1 .
s∈Cε q(s) ¯ s∈Cε (s − s1 )g(s) ¯ s∈Cε g(s) ¯ s∈Cε |s − s1 | ε
¯ ¯ ¯ ¯
¯ p(s) ¯ ¯ ¯
Thus, if ε → 0, then min ¯¯ ¯ → ∞. Therefore, the minimum of ¯ p(s) ¯ over the
s∈Cε q(s) ¯ ¯ q(s) ¯
“DynamicalSystems” — 2004/3/7 — page #183
region ΩR,ε must occur on the boundary ΓR . Using the fact the minimum occurs
X∞ µ ¶k
1 µq(s)
on ΓR , we see that the series = − converges. We can apply
µq(s) p(s)
1+ k=0
p(s)
exactly the same argument given in the proof of Result 3.2, establishing the result.
When q(s) has more than one zero (even repeated zeros), a similar argument as
the one presented can be used to show that the minimum will occur on the bound-
X∞ µ ¶k
1 µq(s)
ary ΓR , and hence the series = − converges, and again the
µq(s) p(s)
1+ k=0
p(s)
result follows. ¤
Note that Results 3.2 and 3.3 apply for systems with time delay, and the function
q(s) would contain all the expressions containing time delay.
it occurs on IR∗ . The above observations are used in the proof of the following result.
Result 3.4: When using one sensor and one actuator, there exists an interval
[−µ∗ , µ∗ ] in the gain µ, with µ∗ > 0, which is independent of time delay, such that
the closed loop poles have ¯ negative
¯ real parts, provided all the open loop poles have
¯ p(s) ¯
negative real parts, and ¯¯ ¯ → ∞ as |s| → ∞.
q(s) ¯
¯ ¯
¯ p(s) ¯
Proof: By the previous argument, for large enough R, the minimum min ¯¯ ¯
s∈ΓR q(s) ¯
√
will occur on IR . Say it occurs at s = iw∗∗ (i = −1) then for large enough R,
¯ ¯ ¯ ¯ ¯ ¯ ¯ ¯
¯ p(s) ¯ ¯ p(iw) ¯ ¯ ¯ ¯ ∗∗ ¯
µ∗ < µ∗∗ = min ¯¯ ¯ = min ¯ ¯ = min ¯ p(iw) ¯ = ¯ p(iw ¯ .
s∈ΩR q(s) ¯ w∈IR ¯ g(iw) exp[−iwTi ] ¯ w∈IR ¯ g(iw) ¯ ¯ g(iw∗∗ ) ¯
(3.8)
This establishes the result. ¤
Result 3.5: For systems with one sensor and one actuator, as described in Re-
sult 3.4, suppose µ∗∗ occurs at s = iw∗∗ , then there exists a time delay T such
that
p(iw∗∗ ) + µ∗∗ g(iw∗∗ ) exp(−iw∗∗ T ) = 0 .
That is, the bound of the maximum gain for stability independent of time delay
given in Result 3.4 is achieved at some time delay T . The value of T will be given
in the proof, and it is derived from the system properties without time delay.
Proof: Let the real and imaginary parts of p(iw∗∗ ) and q(iw∗∗ ) from Result 3.4 be
given by
p(iw∗∗ ) = pR + ipI , and g(iw∗∗ ) = gR + igI . (3.9)
Consider
pR + ipI + µ∗∗ (gR + igI )(x − iy) = 0 .
“DynamicalSystems” — 2004/3/7 — page #185
Then
pR gR + pI gI pI gR − pR gI
x − iy = − 2 + g 2 ) − µ∗∗ (g 2 + g 2 ) . (3.10)
µ∗∗ (gR I R I
s
∗∗ p2R + p2I 2 2 ∗∗
Note that µ = 2 + g 2 . and x + y = 1. Therefore we can take cos(w T ) = x
gR I
and sin(w∗∗ T ) = y, establishing the result. ¤
Result 3.5 indicates that there is a time delay at which the system will achieve
the bound on the maximum gain for stability given in Result 3.4. The result also
indicates if the bound of the maximum gain for stability that is independent of
time delay is actually achieved or not for zero time delay. If x = 1, then for the
system with zero time delay the maximum gain for stability will be reached with
gain µ = µ∗∗ . Similarly, if x = −1, then for the system with zero time delay the
maximum gain for stability will be reached with gain µ = −µ∗∗ . If |x| 6= 1, then
the maximum gain for stability of the system with zero time delay is larger than
the maximum gain for stability that is independent of time delay. The question of
the uniqueness of the occurrence of poles at a gain of µ∗∗ (for positive and negative
feedback) is dealt with in the next result.
Result 3.6: For the case of a single actuator and a single sensor, suppose that
a closed loop pole given by (3.7) is at s = iw∗ , µ = µ∗ and with a time delay of
T = T ∗ . Then there exist closed loop poles at s = iw∗ , µ = −µ∗ , with time delays
(2n + 1)π
T = T∗ + , for n = 0, 1, 2, . . ., and at s = iw∗ , µ = µ∗ , with time delays
w∗
2nπ
T = T ∗ + ∗ , for n = 1, 2, . . . ,.
w
Proof: For a pole on the imaginary axis, we have
¡ ¢
p(iw) + µg(iw) exp[−iwT ] = p(iw) + µg(iw) cos(wT ) − i sin(wT ) . (3.11)
In the next example, the bound on the maximum gain for stability that is inde-
pendent of time delay (given in Results 3.4) coincides with the maximum gain for
stability of the system with zero time delay.
Example 1: As a simple illustration of Results 3.4, 3.5 and 3.6, consider a single
degree of freedom oscillator with response x(t), and with mass m, damping c > 0
and stiffness k > 0. The oscillator is controlled by using a time-delayed negative
velocity feedback −µx0 (t − T ), with time delay T and using a control gain µ. The
motion of the oscillator is described by the scalar differential equation
The closed loop poles of the system described by (3.12) are the zeros of the equation
From Result 3.4, we have that the maximum gain for stability which is inde-
pendent of time delay occurs on the imaginary axis at some s = iw. Evaluation of
(3.14) at s = iw gives
¡ ¢
−mw2 + icw + k + iµw cos(wT ) + i sin(wT ) = 0 . (3.15)
Example 2: Consider again a single degree of freedom oscillator with response x(t),
and with mass m, damping c > 0 and stiffness k > 0. This time the oscilla-
tor is controlled by using the negative feedback time-delayed proportional control
−µx(t − T ), with time delay T and a control gain µ. The motion of the oscillator
is described by the scalar differential equation
After taking the Laplace transform of (3.17), the poles of the system are the zeros
of the equation
ms2 + cs + k + µ exp[−sT ] = 0 . (3.18)
The bound on the maximum gain for stability that is independent of time delay
can be obtained using (3.8). When 2mk − c2 > 0, we have
¯ ¯ r
¯ p(iw) ¯ ¯ ¯ c2 (4mk − c2 )
∗∗
µ = min ¯ ¯ ¯ = min ¯ −mw 2
+ icw + k ¯ = . (3.19)
w∈IR g(iw) ¯ w∈IR 4m2
r
∗∗ 2mk − c2
Where the minimum in (3.19) occurs at w = .
2m2
For zero time delay the closed loop poles are the zeros of the equation
ms2 +cs+(k +µ) = 0. Based on the Routh stability criterion, the negative feedback
system will be stable for all gains. In the case of positive feedback, the system will
have a unique cross-over at w = 0 and a gain of µ = −k. When 2mk − c2 > 0we
have that µ∗∗ < k. This indicates that the magnitude of the maximum gain for
stability of the system with zero time delay for positive feedback is larger than the
bound of the gain that is independent of time delay.
“DynamicalSystems” — 2004/3/7 — page #188
From Result 3.5 one can compute the time delay at which the bound on the gain
for stability that is independent of time delay is reached by the system. The smallest
time delay at which the system reaches the bound on the gain for stability that is
independent of time delay is the smallest value of T that satisfies the equations
system, which does not originate from an open loop pole, dictates the maximum
gain for stability for some time delays. In this section we first provide a description
of the apparatus, including a mathematical model. Following this, the experimen-
tal procedure is summarized. Finally, the experimental and numerical results are
presented. Additional experimental and numerical results on collocated and non-
collocated proportional, derivative and integral control of the torsional bar can be
found in von Bremen et al. (2001).
In the absence of any time delays, the system has 2–DOF (with two sets of system
poles). However, in the presence of time delays in the control loop, this seemingly
simple system has a complex behavior for it is no longer finite dimensional. It has
an infinite number of poles, and as the control gain increases from zero these poles
‘stream in’ from −∞ in the left half complex plane towards the imaginary axis. As
we will show, their root loci can ‘collide’ with those of the system poles, thereby
leading to interesting behavior and bifurcations.
The actuator control torque for non-collocated derivative and for collocated
integral control is respectively of the form
Zt
Tc (t) = −µ θ20 (t − T) and Tc (t) = −µ θ1 (τ − T ) dτ . (4.2)
0
In both cases, µ is the control gain, and T is the time delay in the control.
The system parameters are estimated by clamping each disk, in turn, and mea-
suring the vibratory responses. These results are found in Table 4.1. Here, ωi ,
i = 1, 2, are the natural frequencies of the disks; ζi , i = 1, 2, are the damping ratios
of disks 1 and 2.
Here h = Ts (with Ts = 0.00442 sec), and T is the time delay. Using the above
expression for the derivative, the control effort with control gain µ for non-collocated
derivative control using a time delay of T becomes
µ © ª
Tc (t) = − θ2 (t) − (2Ts + T )) − 4θ2 (t − (Ts + T )) + 3θ2 (t − T ) . (4.3)
2Ts
Integral control requires the estimation of the integral. The trapezoidal rule is
used to approximate the integral as
Znh n−1
X
h
θ1 (τ − T ) dτ = θ1 (−T ) + θ1 (jh − T ) + θ1 (nh − T ) + O(h2 ) .
2 j=1
0
Again, h = Ts and T is the time delay. Recall that the system is initially at rest, so
for t < 0, θ1 (t) ≡ 0. Using the expression for the integral and the last observation,
“DynamicalSystems” — 2004/3/7 — page #192
the control effort for collocated integral control with a time delay of T is
µTs n−1
X
Tc (t) = − θ1 (jTs − T ) + θ1 (nTs − T ) . (4.4)
2 j=1
In order to implement a time delay in the control, the control algorithm stores
disk positions for previous sampling periods. Then, when defining the control law
as in equations 4.3 and 4.4, this past data is utilized. This means, however, that
one is limited to time delays that are multiples of the sampling period.
The system described above is equipped with a safety feature which aborts
control if the flexible shaft is over deflected or if the speed of the motor is too high.
This was taken into account when the stability of the system was to be determined.
A stable system was one where the amplitudes of motion would decrease with time.
An unstable system was one where the amplitudes of motion increased with time,
often leading to the safety limits being exceeded.
there is no systematic way of selecting an initial location for all the poles1 and
tracing them by varying the gain (as for system poles). The non-system poles that
originate at the poles of the controller or end at the zeros of the controller can,
however, be traced in the usual way.
magnitude of the non-system poles at given gains and time delays for special systems.
“DynamicalSystems” — 2004/3/7 — page #194
a)
b)
c)
Figure 4.3 (a) Experimental maximum gain for stability versus time delay for integral
collocated control. (b) Maximum gain for stability versus time delay for collocated integral
control using system poles only. (c) Cross-over frequency versus time delay for collocated
integral control system poles only data.
“DynamicalSystems” — 2004/3/7 — page #195
d)
e)
Figure 4.3 (continued) (d) Maximum gain for stability versus time delay for collocated in-
tegral control, including all poles. (e) Cross-over frequency versus time delay for collocated
integral control, including all poles.
where the initial gain is larger than 0 in order to avoid problems of scaling. For
the time delay of 0.11 sec, two system poles cross the imaginary axis first, that
is, the dominant poles are two conjugate system poles (see Fig 4.3f), while for
a time delay of 0.13 sec, two conjugate non-system poles have become dominant
(see Fig. 4.3g).
The fact that there is an exchange of dominant pole status between a system
pole and a non-system pole suggests the existence of a bifurcation. This bifurcation
is presented on Figure 4.3h which shows the root loci for a system pole (thick line)
and a non-system pole (thin line) at different time delays. The system pole root
locus starts at a gain of zero, while the portion of the non-system pole displayed
starts from the horizontal axis with a gain larger than zero. The maximum gain
is 50 for both poles. A bifurcation occurs at a time delay of about 0.112 sec.
The poles selected are such that the system pole is the dominant pole for time
delays less than 0.112 sec, and the non-system pole is the dominant pole for time
delays greater than 0.113 sec. Initially (for small time delays), the system pole is
“DynamicalSystems” — 2004/3/7 — page #196
f)
g)
Figure 4.3 (continued) (f) Root locus of the system poles and two non-system poles for
time a delay of 0.11 sec, using collocated integral control. (g) Root locus of the system
poles and two non-system poles for time a delay of 0.13 sec, using collocated integral
control.
the dominant pole, as the time delay is increased the root loci of the two poles
move closer until they touch (approximately at a time delay of 0.11265 sec). This
is the point where the bifurcation occurs. At the bifurcation, one “arm” of the
root loci is exchanged among the two poles. The system pole gives the “arm”
that dictates the maximum gain for stability to the non-system pole, and the non-
system poles gives the slow-moving “arm” to the system pole. After the exchange
of “arms” at the bifurcation, the root loci of the two poles move apart as the time
delay is increased.
To confirm that a non-system pole is actually the dominant pole, two experi-
ments are conducted on the 2–DOF torsional bar. The system is fed a sine wave
with a given frequency, and the steady state amplitude of the response of disk 1
is recorded for different gains, while the control effort is active. The experiments
are conducted using three different frequencies. These chosen frequencies are the
“DynamicalSystems” — 2004/3/7 — page #197
h)
Figure 4.3 (continued) (h) Root loci for different time delays showing bifurcation for
collocated integral control.
cross-over frequencies for two of the system poles (originating from s1 and s2 ) and
a non-system pole at a given time delay. Recall that the cross-over frequency is
defined as the purely imaginary value of a pole (moving along a root locus and
starting in the left-half complex plane) when it first crosses the imaginary axis, as
“DynamicalSystems” — 2004/3/7 — page #198
i)
j)
Figure 4.3 (continued) (i) Amplitude of the steady state response of disk 1 versus gain
for different frequencies of the sine wave using collocated integral control and a time delay
of 0.11 sec. (j) Amplitude of the steady state response of disk 1 versus gain for different
frequencies of the sine wave using collocated integral control and a time delay of 0.13 sec.
the gain is gradually increased from zero. The time delays are taken to be 0.11 sec in
the first experiment and 0.13 sec in the second. The objective is to experimentally
confirm the location of points on the root locus.
The results for a time delay of 0.11 sec are shown in Figure 4.3i. The frequencies
of 13.2 and 59.7 rad/sec correspond to the cross-over frequencies of the system poles,
while the frequency of 43.6 rad/sec is the cross-over frequency for the non-system
pole. As expected, when the system is excited near the frequency of the dominant
pole, and at a gain close to the maximum gain for stability, the amplitude of the
response increases drastically. However, when the system is excited at a frequency
which is “far” from the cross-over frequency, the amplitude of the response does
not increase greatly, even in the vicinity of the maximum gain for stability (as seen
for the frequencies of 59.7 and 43.6 rad/sec). This experiment confirms that for a
time delay of 0.11 sec, the dominant pole is a system pole which crossed-over at a
frequency of about 13.2 rad/sec.
“DynamicalSystems” — 2004/3/7 — page #199
The results for a time delay of 0.13 sec are shown in Figure 4.3j. The frequencies
of 57.5 and 37 rad/sec are the cross-over frequencies for the system poles, and
the frequency of 11.5 rad/sec is the cross-over frequency of a non-system pole.
The plot shows that the amplitude of the oscillations of disk 1 increases when the
system is excited at the expected cross-over frequency of the non-system pole near
the maximum gain for stability. On the other hand, when the system is excited
at the cross-over frequencies of the system poles (which are not dominant), the
amplitude of the response remains small and almost unchanged near the maximum
gain for stability corresponding to the dominant pole. This behavior confirms the
expectation that at a time delay of 0.13 sec, a non-system pole is the dominant
pole.
The experimental results show that we that a non-system pole can be the dom-
inant pole for collocated integral control, and that our analysis can predict this
behavior. Also, the maximum gain for stability with time delays is much higher
than in the absence of a time delay. The behavior of the system can be theoreti-
cally explained in terms of bifurcation diagrams.
Figure 4.4a represents a plot of time delay versus the maximum gain for stability
for non-collocated derivative control. As before, the solid line depicts a numerically
generated estimate of the maximum gain for stability as a function of time delay.
The data points represent experimentally determined values for the maximum gains
for stability at various time delays.
The numerical results show a trend of increasing maximum gain for increasing
time delay until about 0.04 sec where the gain decreases. Thus a proper choice of
time delay can give the system a much larger maximum gain for stability than if
there were no time delay.
Figure 4.4b shows the numerically determined maximum gain for stability versus
time delay for the torsional bar using non-collocated derivative control. For the time
delays shown, the dominant pole is always a system pole. Again, points denoted
by “o” correspond to system poles originating at s1 , and the points denoted by “*”
correspond to the system pole originating at s3 . In the range of time delays shown,
there are three instances in which the dominant pole changes from one system pole
to another. The changes occur at time delays of about 0.04, 0.08 and 0.125 sec.
Figure 4.4c shows the expected cross-over frequency (frequency of the dominant pole
at the maximum gain for stability) versus time delay. The fact that the dominant
pole changes from one system pole to another suggests the presence of bifurcations
at the locations where the changes occur.
The maximum gain for stability for non-collocated derivative control which is
independent of time delay, given by Result 3.4 is 0.007988. When the time delay
is zero, the above time-delay-independent maximum gain for stability is achieved
(see Figures 4.4a and 4.4b). There is close agreement between the computational
results from this section, and the results from the method of Section 3, with regard
to the maximum gain for stability independent of time delay.
A bifurcation occurs at a time delay of about 0.0396 sec. This bifurcation is
shown on Figure 4.4d, which shows the root loci of two of the system poles for
“DynamicalSystems” — 2004/3/7 — page #200
a)
b)
c)
Figure 4.4 (a) Experimental maximum gain for stability versus time delay for non-
collocated derivative control. (b) Expected maximum gain for stability versus time delay
for non-collocated derivative control. (c) Expected cross-over frequency versus time delay
for non-collocated derivative control.
“DynamicalSystems” — 2004/3/7 — page #201
d)
Figure 4.4 (continued) (d) Root loci for different time delays showing bifurcation for
non-collocated integral control.
different time delays. At the bifurcation, one “arm” of the root loci is exchanged
among the two system poles. The thick line represents the root locus for the pole
originating at the open loop pole s1 , while the thin line is the root locus for the
pole originating at s3 . The root loci correspond to gains between 0 and 0.12. The
“DynamicalSystems” — 2004/3/7 — page #202
general behavior of the root loci of the poles at the bifurcation is similar to the
one for collocated integral control (see Fig. 4.3h). The main difference between the
two cases is that for collocated integral control, a system pole and a non-system
pole are involved, while for the present case, only system poles are involved. At a
time delay of about 0.08 sec we also have a bifurcation. However this bifurcation
is less dramatic; there is no intersection of the root loci of the poles. The change
of dominant pole occurs simply because there is a change in the rate at which the
poles move across the complex plane.
The experimental and numerical results presented in this section show that for
collocated integral control, there are time delays for which the dominant pole is
a non-system pole. On the other hand, in the experiments with non-collocated
derivative control, the dominant pole is a system pole (for the range in time delay
considered). Good agreement between the experimental and the numerically ex-
pected maximum gain for stability is observed. For both collocated integral control
and non-collocated derivative control (see Figures 4.3a and 4.4a), the introduction
of a suitable time delay will yield a higher maximum gain for stability than the one
for the system with no time delay. The next section deals with the control of time
invariant systems with system uncertainties that include uncertainties in the time
delay that is used. We model this uncertainty as a time-varying time delay.
where the m-vector u(t) is the control function, the matrices ∆A, ∆B, δB have
uncertain entries, and h(t) is the time-varying time delay. The matrices A and ∆A
are n by n, B, ∆B and δB are n by m, and x(t) is an n-vector.
The elements of the uncertain matrices could either have deterministic or stochas-
tic forms. Thus the stochastic uncertainties which are usually present in the stiffness
and damping matrices can be included in the matrices ∆A.
“DynamicalSystems” — 2004/3/7 — page #203
Assume that
∆A = BD , with kDk = k1 , k1 ∈ [0, ∞) ,
∆B = BE , with kEk = k2 , k2 ∈ [0, 1) , (5.2)
δB = BF , with kEk = k̃2 , k̃2 ∈ [0, ∞) .
The above assumptions on the norms of the matrices can be interpreted as, the
uncertainties in the system are bounded by known constants k1 , k2 and k̃2 . The
restriction that k2 ∈ [0, 1) is interpreted as follows: the uncertainty in the control
cannot be so severe as to reverse the direction of the control action, for then one is
not able to tell if the control is in the desired direction.
If the state feedback control u(t) is chosen as
1
u(t) = − σB T P x(t) , (5.3)
2
where P is the solution of the Lyapunov equation,
then the response of system (5.1) is stable, provided that the following conditions
are satisfied.
where
k̃22 kB T P k2 (1 − k2 )2 λmin (Q)
η2 = and ρ= .
4(1 − a)λmin (H) k12
The control gain is chosen as
1 − k2
σ≤ , θ > 0, , (5.5b)
η2 + θ
where θ is a positive constant which has to satisfy the condition,
ρ − 2η 2 n p o ρ − 2η 2 n p o
1 − 1 − Ω2 < θ < 1 + 1 − Ω2 ,
2 2
2η 2
here Ω = .
ρ − 2η 2
The result presented shows that systems with uncertainties in the parameters
and in the time-delayed controller can be stabilized under special conditions. For a
proof of the result and numerical simulations which validate it, see Udwadia et al.
(1997) and Udwadia and Hosseini (1996).
6 Conclusions
In this paper we have studied time delayed control of structural systems from sev-
eral viewpoints. We show that the purposeful injection of time delays can indeed
“DynamicalSystems” — 2004/3/7 — page #204
we have bifurcations. (3) For collocated integral control, we numerically find that
the dominant pole can be a non-system pole. This result is corroborated by actual
experiments. As with the non-collocated case, the dominant pole changes as the
time delay is varied, and now bifurcations involving system and non-system poles
occur. We illustrate such a bifurcation experimentally and computationally.
Finally, Section 5 deals with the robust state feedback control of time invariant
dynamic systems with time-varying time delays and system uncertainties. A state
feedback control is suggested that guarantees the stability of the system, provided,
principally, the so-called matching conditions are met.
Even though we have taken different approaches when dealing with the time
delayed control of structural systems, throughout this paper there is the recurring
theme that under an appropriate choice of time delay, the maximum gain for sta-
bility could be greater than the maximum gain for stability obtained when no time
delay is used. Since time delays are ubiquitous in the control of large-scale structural
systems, this strongly suggests the idea that instead of trying to eliminate/nullify
time delays, we may actually want to introduce them appropriately in order to pro-
vide stable non-collocated control. We also show that this increase in the maximum
gain for stability in the presence of delays can improve the control performance for
collocated and non-collocated control.
Our results, both experimental and analytical, indicate that the research pre-
sented in this paper will be of practical value in improving the performance and
stability of controllers. Through the proper purposive injection of small time delays,
it is possible to dramatically improve the performance and stability of the control
system. Furthermore, the injection of small time delays can be easily implemented
in a reliable and nearly costless way on an already installed controller. Thus the
performance and stability of active control systems that are already installed in
building structures can be enhanced in a nearly costless way by including appropri-
ate and intentional time delays in the feedback loop. This makes the method very
attractive from an economic and safety retro-fit standpoint when dealing with the
active control of structural systems subjected to strong earthquake ground shaking.
References
1. Agrawal, A.K., Fujino, Y. and Bhartia, B.K. (1993) Instability Due to Time
Delay and its Compensation in Active Control of Structures. Earthquake
Engineering and Structural Dynamics, 22, 211–224.
2. Ahlfors, L.V. (1979) Complex Analysis. McGraw-Hill, Inc., New York.
3. Auburn, J.N. (1980) Theory of the Control of Structures by Low-Authority
Controllers. Journal of Guidance and Control , 3, 444–451.
4. Balas, M.J. (1979a) Direct Velocity Feedback Control of Large Space Struc-
tures. Journal of Guidance and Control , 2, 252–253.
5. Balas, M.J. (1979b) Direct Output Feedback Control of Large Space Struc-
tures. The Journal of Astronomical Sciences, XXVII (2), 157–180.
6. Cannon, R.H. and Rosenthal, D.E. (1984) Experiments in Control of Flexible
Structures with Noncolocated Sensors and Actuators. Journal of Guidance
and Control , 7, 546–553.
“DynamicalSystems” — 2004/3/7 — page #206
7. Chen, Y.H. and Chen, J.S. (1992) Adaptive Robust Control of Uncertain
Systems. Control and Dynamic Systems, 50, 175–222.
8. Corless, M.J. and Leitmann, G. (1981) Continuous State Feedback Guaran-
teeing Uniform Ultimate Boundedness for Uncertain Dynamic Systems. IEEE
Transactions on Automatic Control , AC-26 (5), 1139–1144.
9. Fanson, J.L. and Caughey, T.K. (1990) Positive Position Feedback Control
for Large Space Structures. AIAA Journal , 28 (4), 717–724.
10. Goh, C.J. and Caughey, T.K. (1985) On the Stability Problem Caused by Fi-
nite Actuator Dynamics in the Collocated Control of Large Space Structures.
International Journal of Control , 41 (3), 787–802.
11. Gutman, S. and Leitmann, G. (1976) Stabilizing Control for Linear Systems
with Bounded Parameter and Input Uncertainty. In Proceedings of the 7th
IFIP Conference on Optimization Techniques. Springer Verlag, Berlin.
12. Kwon, W.H., Lee, G.W. and Kim, S.W. (1989) Delayed State Feedback Con-
troller for the Stabilization of Ordinary Systems. In Proceedings of the Amer-
ican Control Conference, Pittsburgh, Pennsylvania, Vol. 1, 292–297.
13. Rudin, W. (1987) Real and Complex Analysis. McGraw-Hill Inc., New York.
14. Udwadia, F.E. and Hosseini, M.A.M. (1996) Robust Stabilization of Systems
with Time Delays. In ASCE Proceedings of the seventh specialty conference,
Probabilistic Mechanics and Structural Reliability, Worchester, Massachusetts,
August 7–9, pp. 438–441.
15. Udwadia, F.E., Hosseini, M.A.M. and Chen, Y.H. (1997) Robust Control of
Uncertain Systems with Time Varying Delays in Control Input. Proceedings
of the 1997 American Control Conference, Albuquerque, New Mexico, June
4–6.
16. Udwadia, F.E. and Kumar, R. (1994) Time Delayed Control of Classically
Damped Structural Systems. International Journal of Control , 60 (5), 687–
713.
17. Udwadia, F.E. and Kumar, R. (1996) Time Delayed Control of Classically
Damped Structures. Proceedings of the 11th World Conference of Earthquake
Engineering. Acapulco, Mexico, June 23–28.
18. von Bremen, H.F. and Udwadia, F.E. (2000) Can Time Delays be Useful in
the Control of Structural Systems? In Proceedings of the 41st AIAA/ASME/
ASCE/AHS/ASC Structures, Structural Dynamics, and Materials Confer-
ence, Atlanta, Georgia, April 3–6.
19. von Bremen, H.F., Udwadia, F.E. and Silverman, M.C. (2001) Effect of
Time Delay on the Control of a Torsional Bar. In Proceedings of the 42nd
AIAA/ASME/ASCE/AHS/ASC Structures, Structural Dynamics, and Ma-
terials Conference, Seattle, Washington, April 16–19.
20. Yang, J.N., Akbarpour, A. and Askar, G. (1990) Effect of Time Delay on
Control of Seismic-Excited Buildings. Journal of Structural Engineering, 116
(10), 2801–2814.
“DynamicalSystems” — 2004/3/4 — page #207
208 E. Reithmeier
1 Introduction
X-by-wire systems (such as brake-by-wire, shift-by-wire or even steer-by-wire) are
becoming more and more important to car manufacturers. The main reasons are
the advantages and particular properties (see below) which car makers have to
take into consideration for prospective intelligent transportation systems in the
future. Also, continuously falling costs for general electronic equipment as well as for
computational hardware and software products are pushing this general tendency.
Figure 1 shows the wheel suspension and steering system of an average car. In
a steer-by-wire system the steering shaft is cut into two independent parts. After
separation, each interface will be equipped with an electric or electro hydraulic ac-
tuator. This results in a Turning Wheel Actuator System generating the torque mT
and a Steering Wheel Actuator System (torque mS ). Both systems communicate
via the so-called CAN-Bus. Due to the loss of the mechanical coupling there is
also a loss of basically two items of information related to two physical constraints,
namely on the one hand
• the kinematic condition that there is exactly one turning wheel angle ψ for
each steering wheel angle ϕ and, on the other hand,
• the kinetic condition that the two interface torques are the same in magnitude.
The actuator torque mT necessary to turn the wheels depends on the dynamics
of the whole suspension system and on the contact torque mC . The torque mC
again depends on parameters and variables like the turning angle ψ, speed v of the
car or the rolling resistance µR (cf. Figure 1). The driver employs an appropriate
torque mD which finally constitutes the dynamical equilibrium of the whole system
drawn in Figure 1. The main objective in designing the control of the steering
wheel simulator is to establish a desired feedback characteristic to the driver. This
feedback depends of course on the torque coming from the turning wheel actuator
system. However, since the two systems are independent there might be more and
different information processed therein.
A steer-by-wire system has some significant advantages in terms of security,
comfort and manufacturing, and it is a necessary device for future transportation
aspects. A traffic guided system, for instance, needs autonomous steering in or-
der to apply appropriate control without being disturbed by the driver. It may be
combined with automatic stability control (ASC) in order to support or to assist
the driver in certain critical situations. And it can be easily used as a car locking
device. Being able to adjust arbitrary torque feedback characteristics is consid-
ered to be a significant comfort aspect. The manufacturer is interested in more
cost-effective assembly and exchange of spare parts. And, a separate steering sys-
tem offers the possibility of redesigning the engine compartment in a completely
new way.
210 E. Reithmeier
Starting from some current road situation and some current location the driver
will hopefully sense everything and will perform an analysis. The result will be
some desired position of the car with respect to the road. After this, the driver
will continue by giving a certain command to the actuators in order to steer the
car into the desired position. In other words, the steering angle plays the role of
the controlled variable, and the steering torque acts as input variable. Now, if the
driver employs, say, a fictitious unit torque command to the steering wheel (cf.
Figure 5), the system will respond similarly to a second order system (due to the
damping d0 and elasticity ν0 of the body parts). The strength of the muscles plays
the role of the unknown amplification factor KD . The magnitude and variation of
the uncertain parameters involved can be estimated via experimental studies.
Employing the driver model in the plant leads to the flow chart given in Figure 6.
It also shows the transfer function between the power supply input voltage uA and
the torque gauge output voltage uD . Of course, this transfer function contains all
model uncertainties. The objective is to follow a desired reference torque uD,Des (ϕ)
by properly commanding uA .
In practice the control algorithm will be carried out by some micro controller,
which requires digitized measurement values and which supplies digital input values.
Within one sampling period there needs to be carried out a series of redundancy
checks, AD and DA conversions as well as control algorithms with variable structure.
This process takes a couple of milliseconds. That again makes it necessary to
“DynamicalSystems” — 2004/3/4 — page #211
In this case we used the fact that the time delay Tt of the power supply is much
smaller than the sampling time T .
“DynamicalSystems” — 2004/3/4 — page #212
212 E. Reithmeier
3 Controller Design
Finally, the plant may be properly implemented into the closed loop system for
the steering wheel simulator system according to Figure 7. The internal loop feeds
back the torque directly. Micro controller board 2 contains the control algorithm
and different administrative tasks such as communication with the power supply.
The desired torque comes via the CAN bus from micro controller board 1 which
is related to the turning wheel actuator system. In case there is a given arbitrary
reference torque, we need also the actual angular position and its derivative which,
in that case, will be also fed back via the CAN bus.
In this presentation we will concentrate on the design of a feedback controller
which assures certain torque characteristics. The basic problem is that due to the
structure of the given dynamical system it is not possible to follow any changes in the
desired torque fast enough. A unit step response, for instance, looks qualitatively
like the one in Figure 8.
We call tof f the practical settling time once the unit step response enters a
certain tolerance interval and stays therein. The closed loop control objective is
to reduce the settling time and lead the system to a dead beat behavior according
to Figure 9.
Hence, our arrangement for reaching this goal is to design a reference trans-
fer function GR which behaves like a second order discrete time system with an
additional damping term of the order integer q:
½ µ ¶q ¾
1 K0 ω02 δ
GR (z) = (1 − z −1 ) · Z · 2 · . (3)
s s + 2Dω0 s + ω02 s+δ
The dead beat behavior is forced by the parameter D > 1. And the damping
coefficient δ is chosen in such a way that the poles of the second order system stay
“DynamicalSystems” — 2004/3/4 — page #213
z −1 [β1 + β2 z −1 + β3 z −2 ]
GC (z) = (5)
α0 + α1 z −1 + α2 z −2 + α3 z −3 + α4 z −4
with coefficients αi and βi . These coefficients depend, in general, on a whole ensem-
ble of parameters of the system. That is, uncertain parameters of the model and
measured parameters as well as design parameters of the reference transfer function.
Of course, if the uncertain parameters vary in time or vary due to different
drivers, the dominant poles will change their location and therefore the performance
of the controller. To counter this situation we define a reference set of uncertain
parameters and use, in addition, robustification procedures in order to improve the
designed control scheme (see Section 4). Using the controller based on the reference
set yields to a torque tracking behavior according to Figure 11 with respect to a
feedback characteristic composed of two straight lines.
Figure 12a shows the actually measured torque feedback behavior of a real car.
In that case, the driver turns the steering wheel at a speed of 50 km/h around 90
degrees and takes his/her hands off immediately after. At 90 degrees, the magnitude
of the required torque is approximately 4 [Nm]. Figure 12b shows the same situation
but produced by the steering wheel simulator.
“DynamicalSystems” — 2004/3/4 — page #214
214 E. Reithmeier
4 Robustification
Despite the satisfying results stated in Figure 12, it turns out, in general, that
it is better not to rely only on a nominal set of the uncertain parameters. To
encounter this fact, it is necessary to improve the robustness of the closed loop with
respect to these uncertainties. Since the controller was derived from the continuous
time plant and a continuous time arrangement of the reference transfer function,
the discrete time controller will also relate to some corresponding continuous time
transfer element. That again makes it possible to analyze the system dynamics
with respect to the corresponding continuous time elements of the discrete time
open loop system.
A variation of the uncertain plant parameters results in a modified frequency
response of the plant (see also Figure 13). The controller stays unchanged since
it is based on the nominal set of plant parameters. The phase response of the
“DynamicalSystems” — 2004/3/4 — page #215
216 E. Reithmeier
Figure 13 Frequency response of the plant, the nominal controller and the open loop.
plant is influenced only within a certain frequency range from ωmin to ωmax if the
parameters are varied. Hence, it makes sense to lift the phase only inside that range
in order to obtain a more robust phase margin. Using a transfer function
s n
1+
ωL
Gn (s) := k0 ·
(6)
s
1+
ωH
composed of 0 < n < 1 lead elements with cutoff frequencies ωL < 0.1 ωmin and
ωH < 10 ωmax as well as some appropriate amplification k0 in serial connection to
the controller will lift the phase of the open loop by n · π/2 (see Figure 14a). Since
n is usually smaller than 1 we are forced to apply an approximation procedure by
employing simple P, I or D elements. Using an approximation which consists of N
of these basic elements with cutoff frequencies ω1 , . . . , ωN and ω10 , . . . , ωN
0
yields a
transfer function GN given by
s
1 +
YN
ωj0
GN (s) := k0 · . (7)
s
j=1 1 +
ωj
The corresponding frequency response is shown in Figure 15. This, again, results
in a robust P IDN Tq+1 controller
G∗C (s) := GC (s) · GN (s) . (8)
“DynamicalSystems” — 2004/3/4 — page #217
a)
b)
Figure 14 (a) Lift of the open loop phase margin. (b) Approximation GN (i ω) of Gn (i ω).
where q, in our case, is chosen to be 1. The integer number N relates to the ap-
proximation mentioned above (see also [1] for more details). The modified controller
leads to the frequency response shown in Figure 15. The controller obviously lifts
the phase inside the concerned frequency range and therefore leads to the desired
result. Of course, the robust controller does not account for a better performance.
On the contrary, the performance usually will deteriorate. This, however, is a gen-
eral phenomenon which is encountered in the design of any robust concept. The
right-hand side of Figure 16 shows the unit step response for different parameter
settings. The robust controller leads to an extended settling time. On the other
hand, overshooting will be significantly suppressed.
“DynamicalSystems” — 2004/3/4 — page #218
218 E. Reithmeier
Figure 15 Frequency response of the plant, the robust controller and the open loop.
The left-hand side of Figure 16 shows the Nichols Diagram of the frequency
response. Again, the results are shown for different parameter settings. The robust
scheme leads obviously to a significant right shift of the characteristic curve and
therefore to a more robust closed loop behavior.
In order to implement the control algorithm on some micro controller board,
a time domain representation of the discrete time controller GC is needed. Fortu-
nately the nominal controller GC as well as the robust controller G∗C are given by
“DynamicalSystems” — 2004/3/4 — page #219
polynomial fractions in z −1 .
P
M
bm z −m
UA (z −1 )
GC (z) = = m=0 , N ≥M. (9)
∆UD (z −1 ) P
M
an z −n
n=0
220 E. Reithmeier
See [2] for an optimization and real-time implementation of this algorithm. Com-
pared to real-time programming, conventional programming does not allow for a fast
response to external events, like a sensor or actuator failure. But this is exactly
what is needed in security-related systems such as a steer-by-wire simulator. In ad-
dition, an interrupt-guided program eases the synchronization with respect to the
sampling time T .
As shown in Figure 17, the implemented real-time structure is split into a series
of independent parts. These parts are triggered via interrupts by external events.
After setting the initial values a cycle timer will be loaded in time intervals T , where
T denotes the sampling time. After each cycle an output routine is started by the
first interrupt. It shifts the actual control input to the DAC register. The corre-
sponding voltage will be kept at the torque motor until the next interrupt starts.
Immediately after, a second interrupt starts the acquisition of the measurement
values. The digitized values will be transferred to the micro controller where the
control algorithm resides. The new control input value stays in the register until
the timer starts the next cycle. In case an external failure is going to happen, the
appropriate failure routine will be able to interfere at certain interrupt locations,
depending on their interrupt priority. Finally, the triggered failure routine will carry
out appropriate emergency procedures.
References
1. Thielking, O. (1999) Entwurf und Realisierung einer diskreten Drehmomen-
tregelung für das Lenkrad eines Steer-by-Wire Fahrzeuges. Diplomarbeit am
Institut für Meß- und Regelungstechnik, Universität Hannover.
2. Budde, T. (2000) Komplettierung der Software und der mechanischen Kompo-
nenten eines mikrokontrollergeregelten Steer-by-Wire Systems. Diplomarbeit
am Institut für Meß- und Regelungstechnik, Universität Hannover.
3. Krautstrunk, A., Uhler, R., Zimmer, M. and Mutschler, P. (2000) Elektrisch
lenken: Handkraftaktor für Steer-by-Wire. Thema FORSCHUNG 1/2000,
Seite 104–113.
“DynamicalSystems” — 2004/3/7 — page #221
Smart material technology has become an area of increasing interest for the
development of lighter and stronger structures that are able to incorporate
actuator and sensor capabilities for collocated control. In the design of ac-
tively controlled structures, the determination of the actuator locations and
the controller gains is a very important issue. For that purpose, smart ma-
terial modeling, modal analysis methods, and control and optimization tech-
niques are the most important ingredients to be taken into account. The
optimization problem to be solved in this context presents two interdepen-
dent aspects. The first is related to the discrete optimal actuator location
selection problem, which is solved in this paper using genetic algorithms. The
second is represented by a continuous variable optimization problem, through
which the control gains are determined using classical techniques. A cantilever
Euler–Bernoulli beam is used to illustrate the presented methodology.
“DynamicalSystems” — 2004/3/7 — page #222
1 Introduction
Vibration reduction is an important engineering goal in a variety of engineering
applications. Today, static and dynamic analysis are not enough for design purposes
and numerical simulation programs have to be coupled with optimization codes to
perform automated optimal design. This procedure leads to competitive design
configurations and guarantees that technological and economical constraints are
respected. When mechatronic systems are taken into account, the problem becomes
more complex because sensors, actuators and controls have to be considered together
with the structure in all design steps.
A single piezoelectric element called a self-sensing actuator combines actuator
and sensor capabilities for collocated control (Dosh et al. 1992). Models of the in-
teraction between induced strain actuators and structures to which they are bonded
have been presented by Crawley and De Luis (1987) and by Crawley and Anderson
(1990).
Steffen and Inman (1999) used classical optimization techniques to determine
the parameters related to the geometry and position of the piezoelectric element
bonded to continuous Euler–Bernoulli beams, in such a way that the system poles
are placed as far left as possible into the left half of the complex plane. Schiehlen and
Schonerstedt (1998) used the finite element method to obtain a mathematical model
of slender beams with piezoelectric actuators and sensors for vibration suppression.
Rao and Pan (1991) studied the discrete optimal actuator location problem in
actively controlled structures. The zero-one optimization problem was solved using
genetic algorithms. Kirby et al. (1994) has also used genetic algorithms to solve the
optimal actuator size and location for multivariable control. Gabbert et al. (1997)
presented a technique based on classical methods to determine actuator placement
in smart structures by discrete-continuous optimization.
The design process of an adaptive structural system encompasses three principal
phases: the structural design, the controller design and the placement of the actua-
tors and sensors. The structure design is related to the static and dynamic behavior
of the system. The finite element method together with modal analysis techniques
is used in this first phase. The controller design involves the choice of the control
law as well as the estimation of the control parameters. Different control laws can
be used; however, in this research work we have chosen a proportional derivative
control. The third phase leads to the placement of sensors and actuators and affects
the signals available for the controller and the resulting influence on the structure
through the actuators. Consequently, for optimal design purposes, the structure,
the controller and the placement of actuators and sensors have to be considered
simultaneously and constraint functions are taken into account to avoid undesired
or unaffordable configurations (Lopes et al., 2000a).
This paper presents the optimal design of smart structures using bonded piezo-
electrics. The actuator placement is characterized by a discrete–continuous opti-
mization problem that is solved using genetic algorithms. The continuous parame-
ters of the control law are determined using classical optimization techniques. In the
following, a brief review of the piezoelectricity phenomenon is presented, and the
basic equations for the finite element model are shown. A proportional-derivative
control is used, and the optimization strategy is discussed for the discrete and con-
“DynamicalSystems” — 2004/3/7 — page #223
tinuous cases. Finally, a numerical application using a cantilever beam with bonded
PZTs is presented for illustration purposes.
2 Piezoelectricity Review
For a piezoceramic, the 3 direction (z-axis) is usually associated with the direction
of poling, and the material is approximately isotropic in the other two directions.
Materials that become electrically polarized when they are deformed present the
direct piezoelectric effect, producing an electrical charge at the surface of the ma-
terial. The converse piezoelectric effect results in a strain in the material when
placed within an electric field. The direct and converse effects result in electrome-
chanical coupling. While piezoelectric elements exhibit nonlinear hysteresis at high
excitation levels, the response required in the current linear structural applications
is approximately linear. In this work we will use the linear constitutive relations for
piezoelectric materials as given, for instance, by Clark et al. (1998).
£ E¤
{T } = c {S} − [e] {E} , (1)
T £ S¤
{D} = [e] {S} + ε {E} , (2)
where the superscript ( )S means that the values are measured at constant strain
and the superscript ( )E means that the values are measured at constant electric
field, {T } is the stress tensor [N/m2 ], {D} is the electric displacement vector
£ [C/m
¤
2
],
{S} is the strain tensor [m/m], {E} is the electric field [V/m = N/C], cE is the
2
elasticity tensor at constant electric
£ ¤ field [N/m ], [e] is the dielectric permitivity
tensor [N m/V m2 = C/m2 ] and εS is the dielectric tensor at constant mechanical
strain (permitivity matrix) [N m/V2 m]. The letters in brackets indicate the units
of the variables (in the SI system of units) with N, m, V and C denoting Newton,
meter, Volts and Coulomb, respectively.
T
{T } = [T11 T22 T33 T23 T13 T12 ] ,
T
{S} = [S11 S22 S33 2S23 2S13 2S12 ] ,
T T
D = [D1 D2 D3 ] , E = [E1 E2 E3 ] ,
0 0 e31
0 0 e31
εS1 0 0
£ S¤ 0 0 e33
ε = 0 εS1 0 , [e] =
,
0 0 0
0 0 εS3
0 e15 0
0 e15 0
“DynamicalSystems” — 2004/3/7 — page #224
T £ T¤
{D} = [d] {T } + ε {E} , (4)
T
where ε is the dielectric tensor at constant stress. The relative dielectric constant,
KT , is the ratio of the permitivity of the material, εT , to the permitivity of the free
space, ε0 . (ε0 = 8.9 · 10−12 Farads/m or Amp sec/V m). Then,
£ E¤ £ ¤ −1 £ E¤
c = sE , [e] = c [d] ,
£ S¤ £ ¤ T £ ¤ εT
ε = ε T − [d] c E [d] , KT = ,
ε0
0 0 d31
0 0 d31
0 0 d33
[d] =
.
0 0 0
0 d15 0
0 0 d15
Hagood et al. (1990) and Allik and Hughes (1970) applied the generalized form
of Hamilton’s Principle for a coupled electromechanical system:
Zt2
[ δ ( T − U + We − Wm ) + δ W ] dt = 0 , (5)
t1
where t1 and t2 are two arbitrary instants, T is the kinetic energy, U is the potential
energy, We is the work done by electrical energy and Wm is the work done by
magnetic energy, which is negligible for piezoceramic material. These values are:
Z Z
1 1
T = ρS u̇T u̇ dV + ρP u̇T u̇ dV , (6)
2 2
VS VP
Z Z
1 T 1 T
U = S T dV + S T dV , (7)
2 2
VS VP
Z
1 T
We = E D dV , (8)
2
VP
where ρ is the mass density and the subscripts s and p refer to the structure and
piezoelectric material, respectively. The virtual work, δ W , done by external forces
and the prescribed surface charge, Q, is,
Z Z Z
δW = δ uT Pb dV + δ uT PS dss + δ uT PC − δ φ Q dsP , (9)
VS SS SP
where Pb is the body force, PS is the surface force, PC is the concentrated load
and Q is the surface charge. To formulate an electroelastic matrix of a finite ele-
ment method, the displacement vector, {u}, and the electric potential, φ, must be
expressed in terms of nodal value, i, via the interpolation function
Since the constitutive relations for both the structure and the piezoelectric ma-
terial have been defined, the strain can be linked to the nodal displacement through
the derivative of {u}. Likewise, a gradient operator can link the electrical field with
the electrical potential. These relationships are:
Z Z
e T T T
{F } = [Nu ] {PB } dV + [Nu ] {PS } dsS + [Nu ] {PC } , (19)
VS SS
Z T
e
{Q } = − [Nφ ] Q dsP . (20)
SP
For the entire structure, using the standard assembly technique for the finite
element method, we obtain the complete equation for a coupled electromechanical
system as
" # " #( ) ( )
[Muu ] 0 {ü} [Kuu ] [Kuφ ] {u} {F }
n o + = , (21)
0 0 φ̈ [Kφu ] [Kφφ ] {φ} {Q}
where
ne
X np
X
[Muu ] = [MSe ] i + [MPe ] j , (22a)
i=1 j =1
ne
X np
X
[Kuu ] = [KSe ] i + e
[Kuu ]j , (22b)
i=1 j =1
np
X np
X
£ e ¤ £ e ¤
[Ku φ ] = Ku φ j , [Kφ φ ] = Kφ φ j , (22c)
j=1 j=1
where {uS } is the vector of sensor positions and [GP ] and [GD ] are the matrices of
gains of the proportional and derivative controllers, respectively.
“DynamicalSystems” — 2004/3/7 — page #228
The sensor (and actuator) degrees of freedom are a subset of the generalized
coordinates and can be related to them by a distribution matrix [TS ] as
Matrix [TS ] describes the PZT sensor-actuator position using zero-one entries. Zero
indicates that no sensor-actuator exists at the corresponding position.
Considering proportional damping, the general equation of motion can be ob-
tained by substituting equation (23) in the first part of equation (21) and taking
into account equation (24):
where
[D∗ ] = ([D] + [Ku φ ] [GD ] [TS ]) ,
[K ∗ ] = ([Ku u ] + [Ku φ ] [GP ] [TS ]) ,
[D] is the proportional damping matrix. Equation (25) can be integrated us-
ing any available numerical procedure. In this paper the numerical integration
was conducted using the Newmark scheme corresponding to the constant-average-
acceleration method (Bathe and Wilson, 1976).
As {φ} is known from the control law, we consider that the system is voltage
controlled, and the second part of equation (21) can be used to determine the surface
charge Q.
Equation (25) can be written in state space form as follows:
where {z} = [{u} {u̇}]T is the state vector, [A] is the state matrix, B is the input
matrix and {uf } is the applied force.
Taking into account simple linear transformations we have
" #
[0] [I]
[A] = ,
−[Muu ]−1 [K ∗ ] −[Muu ]−1 [D∗ ]
" # (27)
[0]
[B] = , {uf } = {F } .
[Muu ]−1
Natural frequencies and mode shapes can be obtained from the dynamic matrix
(matrix [A]).
It is possible to measure the system performance for a particular choice of con-
troller, placement and PZT characteristics by the rate of decay of system states.
This is obtained by placing the poles of the system far into the left half of the
complex plane. However, in doing so the control effort may exceed the maximum
excitation voltage, and the second equation (21) for {φ} can be used as a constraint
equation for design purposes.
Another common optimal control problem is called the linear regulator problem,
which has application in vibration control suppression (see, e.g., Inman, 1989).
“DynamicalSystems” — 2004/3/7 — page #229
The optimal solution is obtained from the minimization of the performance index
given by
Zt1
J = (uT Q1 u + φT Q2 φ)dt , (28)
t0
5 Optimization
The determination of optimal positions of actuators and control gains in adaptive
mechanical structures requires the formulation of a discrete–continuous optimization
problem. In this case, the nonlinear optimization problem is defined as:
and
fobj (x) = max [ Re λk ([A])] , (34)
k
where λk ([A]) is the k-th eigenvalue of [A] and Re stands for the real part of the
eigenvalue.
The surface charge is given by the second equation (21) as
Initialization of
Design Variables
Structural Design
(PZT Locations)
Time Response
+
Electrical Work
Optimum Design
where {φ} is given by equation (23). As the electric charge is limited to a given
value depending on the actuator characteristics, from equation (35) it is possible to
write a set of np inequality constraints given by
Equation (36) guarantees that the maximum value for electric charge is not violated
while maximizing damping in the structure.
The optimization is performed in a sequence of two interdependent steps:
These steps are repeated until convergence is reached. The minimization over
the discrete variables is performed using genetic algorithms and the maximization
over the continuous variables is performed using classical optimization techniques,
taking into account the constraints given by equation (36). Figure 2 shows the
flowchart corresponding to the optimization procedure.
Genetic algorithms are random search techniques based on Darwin’s “survival of
the fittest” theories, as presented by Goldberg (1989). A basic feature of the method
is that an initial population evolves over generations to produce new and hopefully
better designs. The elements (or designs) of the initial population are randomly
or heuristically generated. A basic genetic algorithm uses four main operators,
namely evaluation, selection, crossover and mutation (Michalewicz, 1996), which
are briefly described in the following. Evaluation – the genetic algorithms require
“DynamicalSystems” — 2004/3/7 — page #231
information about the fitness of each population member (fitness corresponds to the
objective function in the classical optimization techniques). The fitness measures
the adaptation grade of the individual. An individual is understood as a set of design
variables. No gradient or auxiliary information is required, only the fitness function
is needed. Selection – the operation of choosing members of the current generation
to produce the prodigy of the next generation. Better designs, viewed from the
fitness function, are more likely to be chosen as parents. Crossover – the process in
which the design information is transferred from the parents to the prodigy. The
results are new individuals created from existing ones, enabling new parts of the
solution space to be explored. This way, two new individuals are produced from
two existing ones. Mutation – a low probability random operation used to perturb
the design represented by the prodigy. It alters one individual to produce a single
new solution that is copied to the next generation of the population to maintain
population diversity. Crossover and mutation are called genetic operators. Genetic
algorithms were originated with a binary representation of the parameters and have
been used to solve a variety of discrete optimization problems. In this paper, the
program GAOT – The Genetic Algorithm Optimization Toolbox for Matlab 5 was
used (Hook et al., 1995).
The continuous optimization problem is solved using classical sequential uncon-
strained techniques. For this purpose the Augmented Lagrange-function Method is
used to define a pseudo-objective function which takes into account the constraints.
The unconstrained minimization is performed using the BFGS (Broyden–Fletcher–
Goldfarb–Shanno) method through which an estimate of the Hessian matrix is up-
dated each iteration. The one-dimensional search is performed using polynomial
interpolation techniques. In this paper, The Optimization Toolbox for Matlab was
used (Grace, 1993).
6 Numerical Application
To verify the design methodology presented above, an aluminum cantilever beam
with 500x30x5 mm of length, width and thickness, respectively was considered. The
properties of aluminum are: ES = 70 GPa, ρS = 2710 kg/m3 . The total number
of structural degrees of freedom used was 42 (20 elements, 2 DOF by node). The
number of electrical degrees of freedom changes as a function of the number of PZTs
considered in each example (2 DOF by PZT ). The piezoelectric material properties
based on material designation PSI-5A-S4 (Piezo Systems, Inc.) are given in Table 1.
Figure 3 (a) FRF at DOF 39; (b) zoom at the first natural frequency.
Two different cases were considered to find the optimum number of actuators,
their position and the corresponding optimum control gains:
Case a) Maximization of the vibration suppression for any number of actuators.
The PZT size is equal to the discrete finite element size; hence there are 220 possible
discrete solutions for this case. Usually, some dynamic properties of the system are
known, and some constraints can be imposed in order to reduce the computational
time. In this specific example, we limited the possible placement of actuators to the
10 first elements based on the physics of a cantilevered beam. The optimal locations
for the PZTs were found to be at the element numbers 1, 2, 3, 4, 6, 7, 8, 9 and 10.
Case b) Maximization of the vibration suppression for a fixed number of actu-
ators. In practical situations, it is desired to have a small number of actuators. In
this case, the total number of actuators is five. The optimal locations for the PZTs
were found to be at element numbers 1, 2, 3, 4 and 7. Figure 3 shows the frequency
response function (FRF) at the free end of the beam (DOF 39) and a zoom at the
first natural frequency for the original and the optimal system configurations for
the cases a and b, respectively. Figure 4 shows the displacement time response at
DOF 39 for cases a and b.
In all examples analyzed, the capacitance for each PZT was equal to 200 nF.
During the control optimization step, 100 volts was considered as the maximum
voltage value, and the surface charge was limited to 2.10−5 Coulomb. Figure 5
shows the maximum surface charge corresponding to the PZT actuator moment
applied at DOF 22 (element 10) for case a, and DOF 16 (element 7) for case b,
respectively.
“DynamicalSystems” — 2004/3/7 — page #233
7 Conclusions
This paper presented a general methodology for mechatronic structures design using
bonded piezoelectrics for vibration control. The actuator placement and control
gain determination were characterized as a discrete–continuous problem. A hybrid
approach using genetic algorithms and classical techniques was used to obtain the
optimal design.
The hybrid technique involving genetic algorithms and classical optimization
methods proved to be very effective in solving the discrete–continuous problem.
Two interdependent criteria were used for optimization purposes: the minimal
electric work to obtain the optimal actuator placement and the maximum vibration
damping to obtain the controller gains.
To avoid heavy calculation and high computation time, it is interesting to re-
strain the number of actuator candidate positions. In the application presented in
this paper, the second half of the cantilever beam was not considered for actua-
tor placement, since the first half of the beam corresponds to higher strain energy
locations.
The authors are encouraged by the preliminary results obtained, and it seems
that the methodology developed can be extended to practical applications of mecha-
tronic systems.
Acknowledgments
Dr. Lopes acknowledges the support of the Research Foundation of the State of
Sao Paulo (FAPESP – Brazil). Dr. Steffen is thankful to Capes Foundation (Brazil)
and to Fulbright Program (USA) for the scholarship awarded during his visit at
“DynamicalSystems” — 2004/3/7 — page #234
Virginia Polytechnic Institute and State University in 1999. Dr. Inman gratefully
acknowledges the support of National Science Foundation, grant no. CMS-9713453-
001.
References
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Vibration. Int. J. for Numerical Methods in Eng., 2, 151–157.
2. Bathe, K.-J. and Wilson, E.L. (1976) Numerical Methods in Finite Element
Analysis. Prentice-Hall, Inc., New Jersey.
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namics and Control . John Wiley & Sons, Inc., Chichester.
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tice Hall, New Jersey.
13. Kirby III, G.C., Matic, P. and Lindner, D.K. (1994) Optimal Actuator Size
and Location using Genetic Algorithms for Multivariable Control. In AD-Vol.
45/MD-Vol. 54, Adaptive Structures and Composite Materials: Analysis and
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14. Lopes Jr., V., Steffen Jr., V. and Inman, D.J. (2000a) Optimal Design of
Smart Structures using Bonded Piezoelectrics for Vibration Control. In Proc.
of the International Conference on Noise and Vibration Engineering – ISMA
25 , Leuven, Belgium, September 13–15, Vol. 1, pp. 95–102.
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sition via Electric Impedance Measurement Applied to Damage Detection. In
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Programs. Springer Verlag AI Series, New York.
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“DynamicalSystems” — 2004/3/7 — page #237
1 Introduction
The study of non-ideal vibrating systems, that is, when the excitation is influenced
by the response of the system, has been considered a major challenge in theoretical
and practical engineering research. When the excitation is not influenced by the
response, it is said to be an ideal excitation or an ideal source of energy. On the
other hand, when the excitation is influenced by the response of the system, it is
said to be non-ideal. Then, depending on the excitation, one refers to vibrating
systems as ideal or non-ideal.
The behavior of ideal vibrating systems is well known in the current literature,
but there are few results on non-ideal ones. Generally, non-ideal vibrating systems
“DynamicalSystems” — 2004/3/7 — page #238
are those for which the power supply is limited. The behavior of the vibrating
systems departs from the ideal case, as power supply becomes more limited. For
non-ideal dynamical systems, one must add an equation that describes how the en-
ergy source “supplies the energy to the equations” that governs the corresponding
ideal dynamical systems and the response is unknown. Thus, as a first character-
istic, the non-ideal vibrating system has one more degree of freedom than its ideal
counterpart.
The first kind of non-ideal problem to arise in the current literature is the so-
called Sommerfeld effect, discovered in 1902 (see [1]), commented on in a book by
Prof. Kononenko [2], entirely devoted to the subject. An experiment was described
which detected interactions between a motor and its elastic foundation (a cantilever
beam supporting a non-ideal energy source at its free end). In this case, the system
exhibited unstable motions in the regions of resonance. Furthermore, the form of
the resonance curve depended on which direction the frequency of excitation was be-
ing altered. The form of vibrations was changed, and the character of the transition
through resonance was also altered when the frequency of excitation was changed.
Further investigation of this behavior led to what is commonly called jump phe-
nomena. As the driving frequency approaches the natural frequency, the vibrating
system can suddenly jump from one side of the resonance peak to another. That
is, the system operating in a steady state cannot realize certain frequencies near
resonance. The jump appears on the frequency response curve as a discontinuity
that indicates a region where steady-state conditions do not exist. Thus we see
that modeling vibrating systems by ideal sources may be inadequate if the driving
frequency lies near a natural frequency of the system, as may be the case. If we
consider the region before resonance on a typically frequency–response curve, we
note that as the power supplied to the source increases, the speed of rotation of the
motor increases accordingly. However, this behavior does not continue indefinitely.
The closer the motor speed moves toward the resonant frequency, the more power
the source requires to increase the motor speed, as part of the energy is consumed
in moving the supporting structure. A large change in the power supplied to the
motor results in a small change in its frequency and a large increase in the ampli-
tude of the resulting oscillations. Thus, near resonance, it appears that additional
power supplied to the motor only increases the amplitude of the response of the
structure while having little effect on the RPM of the motor. Jump phenomena
and the increase in power required by a source operating near resonance are mani-
festations of a non-ideal energy source and are often referred to as the Sommerfeld
effect, in honor of the first man who observed it [1]. Sommerfeld suggested the that
structural response provided a sort of energy sink. Thus, we pay to vibrate our
structure rather than operate the machinery. One of the problems often faced by
designers is how to drive a system through resonance and avoid the “energy sink”
described by Sommerfeld.
In this paper we will illustrate this problem as a motivation before passing to
several other related problems. In order to understand better what happened in the
experiment performed in the past [1], some authors investigated the dynamics of an
unbalanced direct current motor mounted on an elastically supported table through
experimental and numerical simulations. Recently, [3], [4], [5] and [6] analyzed,
with interesting details, the governing equations of a cantilever beam supporting
“DynamicalSystems” — 2004/3/7 — page #239
a non-ideal energy source at its free end. They presented some experimental results
on this problem. Numerical simulations of a simplified model of the same problem,
using an unbalanced rotor attached to an elastic nonlinear support with internal
and external damping driven by a non-ideal energy source, were analyzed by [4].
In [3], [5] and [6] the response of the beam was monitored by a non-contacting
inductance gage or by an accelerometer near the end of the beam. To control
the speed of the motor, a power supply was used and the applied voltage was
controlled by the operator. The current was left free according to the demand of
the motor, but the available power was limited. The response of the beam was
monitored by a chain-driven encoder, 560 pulses per revolution. They conclude
that: (i) the interactions between the motor and its support induce non-constant
rotation speed of a mean value frequency; (ii) gravity can induce even harmonics
in the frequency response of the system; (iii) cubic terms in the nonlinear stiffness
is responsible for odd harmonics in the frequency response of the system; (iv) the
current demanded by the motor varies with the same frequencies of the vibration of
the support structure; (v) the quadratic and cubic nonlinearities in the problem are
of same order of magnitude; and (vi) in the experiments, sub- and super-harmonic
as well as parametric resonances were not detected.
Further contributions to non-ideal problems were presented in books [7], [8] and
[9] and papers by Prof. Dimentberg and coworkers [10] and [11]. Profs. Nayfeh and
Mook [12] give a comprehensive and complete review of different approaches to the
problem up to 1979. Recently, a complete review of different theories on non-ideal
vibrating systems was discussed and presented in [13] and [14]. We present, in a
further section of this paper, comments on a number of scientific papers published
in the period from 1969 to 2000 concerning a number of different non-ideal problem
applications.
The goal of this paper is to present an overview of various aspects of non-ideal
vibrating systems, such as discussion of the physical phenomena involved and the
study of an adequate methodology to deal with them, and give a report of selected
papers published recently and in the past. We remark that the present work does
not claim literature completeness, since the available literature is dispersed over
many distinct sources. It is restricted to the main references on non-ideal vibrating
systems and some related papers on this subject. This paper is organized as follows:
in Section 2 we discuss the ability to deal with non-ideal vibrating problems; in
Section 3 we discuss the modeling of non-ideal vibrating systems; in Section 4
we present the main properties of DC machines; in Section 5 we review current
literature; in Section 6 we make some comments on some recent work; in Section 7
we make some concluding remarks on the subject; in Section 8 we acknowledge
financial support by research funding agencies; finally we list the references.
the kinetic energy T , the potential energy V (including the work of the conservative
forces, WC ) and the work of the nonconservative forces, WN C . It is invariant under
generalized coordinate transformation. It is a variational principle that states that
among all possible paths, non-ideal (or ideal) dynamical systems will take the path
that makes
Zt2
δ Γdt = 0 , (2.1)
t1
Zt2
where Γ = T − (V + WN C ) and Γdt will be an extreme for instants time tj
t1
(j = 1, 2) such as δ(t1 ) = δ(t2 ) = 0. We will obtain from (2.1) the governing
equations of motion of non-ideal dynamical systems and the associated possible
boundary. After obtaining these equations of motion, they can be analyzed via a
number of different procedures such as, for example, asymptotic methods (in the
case of moderately large amplitudes) such as the Multiple Scales Method [16] or
Method of Normal Forms [17]. In some other cases, of higher dimension, we can
also use the Finite Element Method or other numerical methods.
dynamic support oscillation with a constant rotation speed of the rotor. Therefore,
for ε 6= 0, it is natural to expect that the oscillations are approximately the simplest
dynamic support oscillations and the rotation speed of the rotor is approximately
constant, i.e., it varies slowly.
The non-ideal vibrating system may be studied by determining the effect of
changing the physical parameters in the system, that is, the unbalanced masses,
mass of the motor, moment of inertia of the motor and other rotating masses, eccen-
tricity of the motor, damping, characteristic of the motor, etc. Supposing that the
non-ideal vibrating system is started from some initial conditions, one could increase
its speed until it reaches resonance conditions. Then, depending upon these initial
conditions imposed on the motion and the range of physical parameters, the angu-
dϕ
lar velocity will continue to increase beyond the resonance condition (passage
dt
through resonance) or it will remain close to the natural frequency of the vibrating
system (capture in resonance). Obviously, the time of passage through resonance
also depends on the initial conditions. We remark that we may be unable to operate
a rotating vibrational system beyond the critical speed due to a limited power sup-
ply. If it is possible to pass through the critical speed, it often yields a comparatively
large transient dynamic response. To solve these problems, optimum design meth-
ods can be applied to the operating curve of a limited power supply. In this way, the
operating curve is so optimized as to reduce the transient dynamic responses around
the critical speed. We mention the application of two optimization methods in two
different non-ideal problems: [18] considered variations of the acceleration rate using
a gradient-based optimization method in order to minimize the motion during pas-
sage through resonance and [19] analyzed a synthesis of an optimal control through
the first resonance peak by use of Tikhonov’s method of regularization. We also
mention that the topologic properties of parametric and non-parametric non-ideal
vibrations, as defined in Kononenko’s book [1], were analyzed by [20] and [21]. The
use of geometric approaches, such as Poincaré Maps, can be the best way to analyze
this kind of phenomenon.
kb L2 2 kb Ch2 L 2
V = M gLq2 + (kc − mgC)h2 q12 + q + q1 q2 + m0 rg sin(q3 ) . (6.1)
2 2 2
1
T = {(2m + M − m0 )h2 q̇12 + (M − m0 )L2 q̇22 + I q̇32 →
2 (6.2)
→ m0 [(hq̇1 − rq̇3 sin(q3 ))2 + (Lq̇2 + rq̇3 cos(q3 ))2 ]} .
In (6.3) c1 and c2 are modal linear viscous damping, Θ(q̇3 ) is the characteristic
driving torque of the motor, and Ψ(q̇3 ) is the resisting torque. Thus, we obtain the
“DynamicalSystems” — 2004/3/7 — page #245
where:
m0 r m0 r m0 hr m0 Lr
εα1 = , εα2 = , εα3 = , εα4 = ,
(2m + M )h ML I + r2 m0 I + r 2 m0
kb CL kb Ch2 m0 rg
εα5 = , εα6 = , εα7 = ,
2m + M 2mL I + m0 r2
c1 c2 Θ(q̇3 ) − Ψ(q̇3 )
εµ1 = , εµ2 = , εF (q̇3 ) = ,
(2m + M )h ML I + r2 m0
2(kc − mgC) kb
ω12 = , ω22 = .
2m + M M
(6.5)
We now consider real, limited power supply, motors. For simplicity, their char-
acteristic curves of the energy source (DC motor) are assumed to be straight lines
of form
Θ(q̇3 ) − Ψ(q̇3 ) = â − b̂q̇3 . (6.6)
“DynamicalSystems” — 2004/3/7 — page #246
Note that the â is related to the voltage, and b̂ is a constant for each model of
motor considered. The voltage will be the parameter control of the problem. The
numerical values adopted by the authors, in [34], [35] and [36], are EI = 128 N m2 ,
h = 0.36 m, L = 0.5 m, M = 2.0 kg, m = 0.5 kg, m 0 = 0.1 kg, I = 0.000017 kg m2 ,
r = 0.01 m, c1 = 2.55 N s/m and c2 = 3.14 N s/m. A standard RK-4 algorithm is
used. Passage through resonance with the second natural frequency, corresponding
to the mid-span vertical displacement of the beam in the first symmetrical mode,
with frequency ω2 = 157 rad/s, is presented. These values were also chosen to allow
for a 1:2 internal resonance condition for the structure, as the frequency of the first
mode is ω1 = 78 rad/s. They obtained the following results: (i) with slow increase of
power levels we have the possibility of occurrence of the Sommerfeld effect (getting
stuck in resonance), that is, not enough power to reach higher speed regimes with
lower energy consumption; (ii) we have the possibility of occurrence of saturation
of high frequency low amplitude mode and transference of energy to low frequency
high amplitude mode; and (iii) we show the possibility of occurrence of regular
(periodic) motion and irregular (chaotic) behavior, depending on the value of the
control parameter (voltage of the DC motor). We also have compared numerical
results of the modulation equations, obtained by use of an averaging method [37],
and the original governing equation, using the same physical parameters and initial
conditions. In [38], we obtained excellent agreement between the two solutions.
indicative of the degree that actuators and flexible structures interact with one
another dynamically. In [42] and [43], a Finite Element algorithm was used to
consider the dynamic interaction between a DC motor and a slewing beam. They
found that systems with an appropriate amount of DC-motor/beam interaction
tended to be easy to control and required only a modest amount of actuator effort.
Systems with less DC-motor/beam interaction were prone to beam vibrations and
required feedback of beam motions for good closed-loop performance. Systems with
excessive interaction required stabilization efforts for good transient performance
and tended to consume high levels of actuation energy. We remark that little effort
has been focused on DC motor–structure interaction, which obviously affects the
dynamic properties of the slewing system. The main objective of this section is
to deal with this kind of interaction. We adopted the physical and mathematical
model defined in [44]. In Fig. 3 we show the physical model.
We remark that we want to change θ from zero to some desired angle, say, θf .
Naturally we specify θ as a pure function of time t in order to produce this change.
Note that when θ changes, the beam deflects (and its deflection can be calculated by
the governing equations). A typical function θ(t) may look like the curve exhibited
in Fig. 4 [46]. It’s necessary to apply a forcing moment to produce this θ(t).
Note that using the equation for the DC motor it is possible to find the voltage
V (t) that has to be applied to the DC motor to make it move according to θ(t).
This will render the vibrating system non-ideal [2]. Fig. 5 [45] shows the schematic
of forces and moments actuating in this non-ideal vibrating system.
In [45] we discuss a derivation of the governing equations and perform a nonlinear
analysis of the motion of a flexible rotating cantilever beam, without assuming that
the beam is inextensive. We also present the derivation of the equations that govern
the weak electric motor used to rotate the base of the beam and their coupling to
those that govern the motions of the beam.
We remark that in [47] and [48] the authors obtained that in the study of slew-
ing flexible structures it is important to consider small values of the gear ratio or
“DynamicalSystems” — 2004/3/7 — page #248
great velocities of slewing. The simulations have also shown that by increasing the
gear ratio considerably, the differences between the ideal system approach and the
non-ideal system approach tend to vanish. A damping effect in the amplitudes of
vibration (in the absence of the beam structural damping) due to the actuator–
structure interaction in the non-ideal case was also observed. In an application
of the Center Manifold Theory [49] to a non-ideal slewing flexible structure, the
authors obtained, in [50], the conditions for the occurrence of a Hopf bifurcation
in this kind of problem. The analysis of these problems by use of center manifold
theory was realized around these conditions. It is known in the current literature
that a Hopf bifurcation is one possible route to chaos. Next, we present the govern-
ing equations of motion for a slewing flexible structure under large deflections and
coupled to a DC motor, written in matrix form [50]:
x3
ẋ1
x4
ẋ2
= D £ ¤
ẋ3
−a6 x3 + a8 U − a7 x2 + σ 2 (−aN 2 N
3 x4 x2 − a5 x2 x3 x4 ) −
AD − BC
ẋ4
−C £ ¤
−a6 x3 + a8 U − a7 x2 + σ 2 (−aN 2 N
3 x4 x2 − a5 x2 x3 x4 ) +
AD − BC
B £
− −b1 x2 + σ 2 (−µ1 x4 − bN 2 N N 3 N 3
3 x3 x2 + b4 x2 x3 x4 + b6 x2 − b7 x2 +
AD − BC
¤
+bN 2
8 x4 x2 )
A £
+ −b1 x2 + σ 2 (−µ1 x4 − bN 2 N N 3 N 3
3 x3 x2 + b4 x2 x3 x4 + b6 x2 − b7 x2 +
AD − BC ¤
+bN 2
8 x4 x2 )
(6.7)
where A = 1+σ 2 (aN 2 2x2
); B = a 1 −σ 2 N 2
(a x
4 2 ); C = b2 +σ 2 N 2
(b x
5 2 ); D = 1−σ 2 N 2
(b8 x2 ),
the parameters ai , aN i and b i , b N
i are functions of the geometric and material
properties of the system, and µ1 represents the structural damping. The point
(x1 , x2 , x3 , x4 ) = (0, 0, 0, 0) is a fixed point (or a point of equilibrium) for the vi-
brating system (6.7). The following analysis will be performed in the neighborhood
of this particular point. Expanding (6.7) in Taylor series around (0, 0, 0, 0) and
keeping terms to order three, one finds:
0 0 1 0
ẋ1 0 x1
0 0 1
ẋ2
x2
= −a7 + a1 b1 −a6 σ 2 µ1 a1 +
ẋ3
0
x3
1 − a1 b2 1 − a1 b2 1 − a1 b2
ẋ4 −b1 + a7 b2 a6 b2 −σ 2 µ1 x4
0
1 − a1 b2 1 − a1 b2 1 − a1 b2
“DynamicalSystems” — 2004/3/7 — page #250
(a7 bN N N
8 − a1 b67 − b1 a4 )(1 − a1 b2 ) − 3(−a7 + a1 b1 )K1
aN
500 = ,
6(1 − a1 b2 )2
a6 bN
8 a1 bN
3 −aN
5 − a1 b4
N
aN
600 = , aN
700 = , aN
800 = ,
2(1 − a1 b2 ) 2(1 − a1 b2 ) 2(1 − a1 b2 )
−aN
3 − a1 b8
N
−a8 bN
5 (1 + a1 b2 ) − a8 b2 K1
aN
900 = , aN
450 = , (6.9)
2(1 − a1 b2 ) 2(1 − a1 b2 )2
(a7 bN N N
5 + b67 − b1 a2 )(1 − a1 b2 ) − 3(a7 b2 − b1 )K1
aN
550 = ,
6(1 − a1 b2 )2
a6 bN
5 −bN3
aN
650 = , aN
750 = ,
2(1 − a1 b2 ) 2(1 − a1 b2 )
b2 aN
5 + b4
N
b2 aN
3 + b8
N
aN
850 = , aN
950 = .
2(1 − a1 b2 ) 2(1 − a1 b2 )
Excluding the first equation in (6.8), which is responsible for the rigid body mo-
tion of the structure and has no influence on the behavior of the structural motion of
the system, the Jacobian matrix associated to this system can be
given by:
0 0 1
−a7 + a1 b1 −a6 σ 2 µ1 a1
J = 1 − a1 b2 1 − a1 b2 1 − a1 b2 . (6.10)
−b1 + a7 b2 a6 b2 −σ 2 µ1
1 − a1 b2 1 − a1 b2 1 − a1 b2
“DynamicalSystems” — 2004/3/7 — page #251
λ3 + α1 λ2 + α2 λ + α3 = 0 (6.11)
where
σ 2 µ1 a6
α1 = + ,
1 − a1 b2 1 − a1 b2
(6.12)
σ 2 µ1 a6 σ 2 µ1 a6 a1 b2 a7 − a1 b1 a6 b1
α2 = 2
− − , α3 = .
(1 − a1 b2 ) (1 − a1 b2 )2 1 − a1 b2 1 − a1 b2
The Hurwitz criterion for which the Jacobian matrix (6.10) will have a pair of
purely imaginary eigenvalues, the condition for the existence of a Hopf bifurcation,
is stated as:
α1 ≥ 0 , α2 ≥ 0 , α3 ≥ 0 , α1 α2 = α3 , α1 > α2 . (6.13)
attractor has the aspect of a Cantor set. In fact, the chaotic attractor is a single
potential well, and it is located near the unstable point on the resonance curve.
Mathematically, the explosion that generates the chaotic attractor is defined as
an interior crisis, and it is a route to chaos. This phenomenon occurs due to the
presence of an unstable orbit (saddle) in the potential well. With the variation of the
control parameter the amplitude of the periodic attractor collides with the saddle,
and the pendulum motion begins to vary between a periodic behavior (laminar
phase), observed inside the attraction basin, and an aperiodic behavior (bursts),
observed among the saddle and the hetereoclinic orbit (calculated with the unforced
pendulum equation). This change in the pendulum behavior reveals the existence
of the intermittence phenomenon.
7 Concluding Remarks
Recent and older studies of the main properties of non-ideal vibrating systems have
been reviewed. In ideal systems, we assume that a motor operating on a structure
requires a certain input (power) to produce a certain output (RPM), regardless of
the motion of the structure. For non-ideal systems this may not be the case. Hence,
we are interested in what happens to the motor (input-output) as the response of
the system changes. The excitation of the vibrating system is always limited in
two senses: by the characteristic curves of the particular energy source and by the
dependence of the motion of the system on the motion of the energy source, that
is, the coupling between the governing equations of motion of the system and of the
energy source.
Several interesting phenomena were presented, and studies of the corresponding
vibrating systems are leading to advances in their comprehension. Jump phenom-
ena and the increase in power required by a source operating near resonance are
manifestations of a non-ideal energy source, and they are often referred to as the
Sommerfeld effect. These phenomena suggest that the vibrational response provides
an energy sink, and thus we pay to vibrate the structure rather than to operate the
machinery. One of the problems often faced by designers is how to drive a system
through resonance and avoid this kind of energy sink. The appearance of chaos in
various vibrating systems with a limited power supply is a new result that has to
be taken into account in the design of machinery. Control based on the Tikhonov
regularization algorithm in the passage through resonance seems to be adequate for
this kind of problem. Two kinds of bifurcations were observed: Hopf bifurcation
in the case of slewing structures and saddle node in the case of an electro-motor
pendulum.
The results discussed here are the first stage in the study of realistic machinery.
The research in progress will involve other engineering aspects of the problem, to
be studied in the near future.
Acknowledgments
The authors thank Fundação de Amparo à Pesquisa do Estado de São Paulo
(FAPESP), Brazil, and Conselho Nacional de Pesquisas (CNPq), Brazil, for their
“DynamicalSystems” — 2004/3/7 — page #254
financial support, in several grants, in order to develop scientific research into non-
ideal problems and their applications to Engineering Sciences.
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“DynamicalSystems” — 2004/3/7 — page #258
A three degree of freedom model of the dynamic mass at the middle of a test
sample, resembling a Stockbridge neutralizer, is introduced. This model is
used to identify the hereby called equivalent complex cross-section flexural
stiffness (ECFS) of the beam element which is part of the whole test sample.
This ECFS, once identified, gives the effective cross-section flexural stiffness
of the beam as well as its effective damping, measured as the loss factor of an
equivalent viscoelastic beam. The beam element of the test sample may be of
any complexity, such as a segment of stranded cable of the ACSR type. These
data are important parameters for the design of overhead power transmission
lines and other cable structures. A cost function is defined and used in the
identification of the ECFS. An experiment, designed to measure the dynamic
masses of two test samples, is described. Experimental and identified results
are presented and discussed.
1 Introduction
The cross-section stiffness of beams of complex constructions, such as sandwich
beams and stranded cables of the ACSR type, are difficult to evaluate by analytical
and/or numerical means.
Also difficult to assess is the inherent damping of such constructions. In many
instances the damping of ACSR cables, for example, is measured by the logarithmic
decrement of a segment of the cable, fixed at both ends, under a certain mechanical
tension. This practice is conceptually wrong, for the logarithmic decrement is not a
measure of the inherent damping of the “material,” that is, of the inherent damping
of the cable (Lazan, 1968). Rather, it is a measure of the “system” formed by the
“DynamicalSystems” — 2004/3/7 — page #260
piece of cable fixed at both ends. For a different span, a different logarithmic decre-
ment is bound to be measured. Logarithmic decrement is a structural parameter,
not a material one.
In this paper the beam, no matter if a piece of ACSR cable or a multi-layered
sandwich beam, is modelled as an equivalent continuous viscoelastic beam of com-
plex cross-section flexural stiffness (ECFS) equal to EI = (EI)r (1 + iη) = (EI)r +
i(EI)i , where (EI)r is the effective cross-section flexural stiffness and η is the equiv-
alent loss factor, i.e., the loss factor of the viscoelastic material from which the beam
model is made. The purpose of this paper is to introduce the concept of equiva-
lent complex cross-section flexural stiffness (ECFS) for beams and to produce an
approach to measure, or identify it. To achieve this objective a builtup structure,
or test sample, is constructed and tested experimentally. The beam from which the
ECFS is desired is part of this builtup structure, or test sample (see Fig. 1). This
builtup structure closely resembles a symmetric Stockbridge neutralizer (Teixeira,
1997). It is stressed here, though, that this paper is not at all concerned with,
nor about, Stockbridge neutralizers. As a matter of fact, it is not about neutral-
izers of any sort. The above resemblance is noted “en passant,” and is supposed
to clarify, not to confound. Note: In this, as well as in all the previous papers of
the first author, the name “dynamic vibration neutralizer,” or DVN, is used in-
stead of “dynamic vibration absorber,” or DVA, simply because this device is not
an absorber, or damper at all. The words “absorber” and “damper” are inaccurate
(Crede, 1965).
Once the ECFS is known, both the real flexural stiffness (EI)r and the effective
loss factor η of the “material” (for instance, a stranded cable) are also known. These
data may be precious for many practical applications, such as the design of overhead
power transmission lines and other cable structures.
In beams made up of alternate layers of metal and viscoelastic material, both
(EI)r and η may be heavily dependent on frequency (Snowdon, 1968). Although
this dependence is currently being investigated by the authors, it is not taken into
account in this paper. Hereby, both (EI)r and η are not supposed to vary with
frequency.
The parameters (EI)r and η (or (EI)r and (EI)i ) are measured, or identified,
by fitting a theoretical model of the built-up beam structure (test sample) to a
frequency response function (FRF) measured at the root of it (Silva Neto, 1999).
The stiffness matrix in the co-ordinates q1 (t) and q2 (t) can easily be shown to
be (Espı́ndola, 1987):
12 6
L3 −
L2
K = EI
. (1)
6 4
− 2
L L
This is a complex stiffness matrix, since EI = (EI)r (1 + iη) = (EI)r + i(EI)i (the
ECFS) is a complex number. η is the loss factor of the viscoelastic material of the
beam model.
The quantities shown in Fig. 1 are:
The kinetic and potential energies for half the test sample model are:
1 1 1
T = mc (ẏ(t) + q̇1 (t) + eq̇2 (t))2 + Jc q̇22 (t) + mb ẏ 2 (t) (2)
2 2 2
“DynamicalSystems” — 2004/3/7 — page #262
and
1 T
V = q K q − f (t)y(t) , (3)
2
where the dot over quantities means derivative in relation to time.
Substitution of (2) and (3) into the Lagrange equations (Meirovitch, 1970, 1990)
results in:
mc e mc mc q̈1 K11 K12 0 q1 0
e mc e2 mc + Jc e m q̈ + K K 0 q = 0 .
c 2 21 22 2
mc e mc (mb + mc ) ÿ 0 0 0 y f (t)
(4)
This result may be written in the following form:
" #( ) " # " #( ) ( )
mc e mc q̈1 mc K11 K12 q1 0
+ ÿ + =
e mc e2 mc + Jc q̈2 e mc K21 K22 q2 0
( )
q̈1
T
[mc e mc ] + (mb + mc ) ÿ = f (t) .
q̈2
(5)
Fourier transforming both sides of (5) and after a few algebraic manipulations, one
gets:
F (Ω) £ ¤−1
M (Ω) = = (mb + mc ) + Ω2 mTL −Ω2 M + K mL . (6)
−Ω2 Y (Ω)
" #
mc e mc
In the above expression, one has M = as the mass matrix in
e mc e2 mc + Jc
T
the co-ordinates q1 (t) and q2 (t) and mL = [mc e mc ] . M (Ω) is the dynamic mass
at the root of the test sample.
An alternative expression that has proved to be more convenient to work with
is given below, easily derived from (6):
£ ¤−1
M (Ω) = (mb + mc ) + Ω2 mTL Φ −Ω2 I + Λ ΦT mL , (7)
where Φ is modal matrix (real) and Λ, the spectral matrix (complex) of the eigen-
value problem Kφ = λM φ. The modal matrix is constructed in such a way that its
columns are the eigenvectors of Kφ = λM φ. Note that K is also complex.
The spectral matrix is a diagonal one containing the eigenvalues of the above
eigenvalue problem. Expression (7) assumes that the eigenvectors are orthonormal
in relation to the mass matrix, that is, that they obey the relation
ΦT M Φ = I . (8)
where the asterisk * stands for complex conjugate, and x is a design vector given
by:
T
x = [(EI)r (EI)i e Jc Rr Ri ] . (13)
In the above expression, (EI)r is the real part and (EI)i is the imaginary part
of EI, so that η = (EI)r /(EI)i . Rr and Ri are the real and imaginary parts of
a residual term to be added to the mathematical model (7) to take into account
effectively existing modes above the measurement base-band (Ewins, 1984; Natke
and Cottin, 1988; Maia and Silva, 1997).
In vector (13), e and Jc are taken as design variables to allow them to account
for some inertial effects due to actual mass of the beam. Also, in the case of a
Stockbridge neutralizer, e and Jc are difficult to measure accurately due to the
shape of the end masses.
Finally, a complementary equation is necessary so that M (Ω), in equation (7),
can be effectively computed. This equation is precisely the eigenvalue problem
Kφ = λM φ.
4 Measurement Setup
Figure 2 shows a Stockbridge neutralizer (made by Wetzel, SC, Brazil, model AS-
2008) which was effectively taken as one particular test sample. This neutralizer
was taken as a test sample only because it was readily available. The purpose of
this particular experiment was then to find the ECFS of the stranded cable, part
of this Stockbridge neutralizer. In the end both (EI)r and η for this cable would
be available. The value of this η is an important parameter to assess the efficiency
“DynamicalSystems” — 2004/3/7 — page #264
(or lack of) of this sort of neutralizer in reducing overhead transmission line vi-
brations over a wide frequency band (Espı́ndola and Bavastri, 1997 and Espı́ndola
et al., 1998).
The Stockbridge test sample was suspended by thin flexible cables at the central
mass and excited horizontally with an electrical shaker. The acceleration response
was measured at the same mass. Both signals were fed into a Dynamic Signal Anal-
yser (DSA) and the FRF computed (see Figure 3). The force signal was a swept-sine
function. Frequency resolution was 0.3Hz. The measurement band ranged from zero
up to three hundred Hertz (base-band). Mathematical model (7) was then fitted
to the measured FRF and the cost function minimized by the DFP (Davidon–
Fletcher–Powell) algorithm (Rao, 1996). After the minimization is accomplished,
the parameters in (13) are available.
5 Experimental Results
Table 1 gives the results of such an identification. In Table 1, f1 = Ω1 /2π and
f2 = Ω2 /2π.
Figure 4 shows a comparison between the measured FRF and the regenerated
one. The agreement seems to be excellent. This is best shown by zooming both
curves around the resonant picks as shown in Figure 5a,b.
To further boost the confidence in the above approach, another test sample was
designed and constructed, with a cylindrical beam element of diameter d made out
of hot rolled carbon steel, with (EI)r known in advance. Figure 6 is a photo of that
test sample. Figure 7 shows details of the end masses.
The data for this particular test sample are shown in Table 2. The beam was
fixed at the end masses by shrink fit.
Table 3 shows the numerical results after identification.
If a comparison is made of the value of (EI)r in Table 3 with EI in Table 2 a
conclusion is drawn that they differ by only 1.7 per cent. The loss factor of the
“DynamicalSystems” — 2004/3/7 — page #265
Figure 3 Measured frequency response function for the Stockbridge test sample.
a) b)
Figure 5 Zoomed FRF around the picks. Dimensions in millimetres. Material: Carbon
steel.
“DynamicalSystems” — 2004/3/7 — page #266
Parameter Value
(EI)r (N m2 ) 3.75
(EI)i (10−2 N m2 ) 4.15
e (10−3 m) −11.49
Jc (10−3 kg m2 ) 0.29
η (10−3 ) 11.07
f1 (Hz) 19.41
f2 (Hz) 89.40
η1 (10−3 ) 6.16
η2 (10−3 ) 12.66
Rr (10−3 N s2 /m) 1.38
Ri (10−3 N s2 /m) 1.97
material (low carbon steel) is computed from (EI)r and (EI)i , giving 2.97 × 10−4 ,
which is within the expected range of 2 × 10−4 to 6 × 10−4 for steels (Rao, 1995).
One can see that the three degree of freedom model of the test sample presented
here is well adequate for the purpose of identifying the ECFS of beams and, as a
consequence, its effective flexural stiffness and inherent damping.
A comment, “en passant,” on the inherent damping of Stockbridge neutralizers
is in order, in spite of the fact that this paper is not at all about those devices.
The loss factor of 0.011, Table 1, is very low indeed. This explains why such a
neutralizer is so efficient in reducing vibrations in a very narrow band of frequencies
around a natural frequency, but so poor in mitigating vibrations outside that band.
Since the band of frequencies exciting overhead lines is actually much wider, far
more damping is needed in a neutralizer than that provided by the Stockbridge
one. The first author has designed a neutralizer with a great amount of viscoelastic
damping and excellent performance over a wide band of frequencies and patented
it (Espı́ndola et al., 1998).
“DynamicalSystems” — 2004/3/7 — page #267
mb (Kg) 0.142
mc (Kg) 0.686
beam element diameter (mm) 10
beam element length (mm) 170
I = πd4 /64 (m4 ) 4.91 × 10−10
modulus of Young (GPa) 203
EI (N m2 ) 99.65
e (m) 19.8 × 10−3
Jc (Kg m2 ) 0.77 × 10−3
Parameter Value
(EI)r (N m2 ) 97.94
(EI)i (10−2 N m2 ) 29.16 × 10−3
e (10−3 m) −22.08
Jc (10−3 kg m2 ) 0.61
η (10−4 ) 2.97
f1 (Hz) 44.31
f2 (Hz) 202.60
η1 (10−3 ) 7.96
η2 (10−3 ) 9.35
Rr (10−3 N s2 /m) 4.64
Ri (10−3 N s2 /m) 19.30
“DynamicalSystems” — 2004/3/7 — page #268
References
1. Crede, C.E. (1965) Shock and Vibration Concepts in Engineering Design.
Prentice-Hall, Inc., Englewood Cliffs, N.J.
2. Espı́ndola, J.J. (1987) Notes on Vibration Control. Graduate Program in
Vibration and Acoustics, UFSC, Federal University of Santa Catarina (in
Portuguese).
3. Espı́ndola, J.J. and Bavastri, C.A. (1997) Reduction of Vibration in Com-
plex Structures with Viscoelastic Neutralizers: A Generalised Approach and
a Physical Realization. In Proceedings ASME Design Engineering Technical
Conferences, Sacramento, Paper DETC97/VIB-4187.
4. Espı́ndola, J.J., et al. (1998) A Hybrid Algorithm to Compute the Optimal
Parameters of a System of Viscoelastic Vibration Neutralizers in a Frequency
Band. In Proceedings MOVIC’98 , Vol. 2, Zurich, Switzerland, pp. 577–582.
5. Ewins, D.J. (1984) Modal Testing: Theory and Practice. Research Studies
Press LTD.
6. Lazan, B.J. (1968) Damping of Materials and Members in Structural Mechan-
ics. Pergamon Press, Oxford.
7. Natke, H.G. and Cottin, N. (1988) Introduction to System Identification: Fun-
damentals and Survey. In CISM Courses and Lectures, No. 296: Application
of System Identification in Engineering, edited by H.G.Natke, Springer-Verlag,
Udine, Italy.
8. Maia, N.M.M. and Silva, J.M.M. (eds) (1997) Theoretical and Experimental
Modal Analysis. John Wiley & Sons, Inc., New York, USA.
9. Meirovitch, L. (1990) Dynamics and Control of Structures. John Wiley &
Sons, Inc., New York, USA.
10. Meirovitch, L. (1970), Methods of Analytical Dynamics. John Wiley & Sons,
Inc., New York, USA.
“DynamicalSystems” — 2004/3/7 — page #269
11. Rao, S.S. (1995) Mechanical Vibrations, Third Edition. Addison-Wesley Pub-
lishing Company, New York, USA.
12. Rao, S.S. (1996) Engineering Optimization: Theory and Practice, Third Edi-
tion. John Wiley & Sons, Inc., New York, USA.
13. Silva Neto, J.M. (1999) Identification of Material and Structures Parameters
in the Frequency Domain. M.Sc. Thesis, Federal University of Santa Catarina
– UFSC (in Portuguese).
14. Snowdon, J.C. (1968) Vibration and Shock in Damped Mechanical Systems.
John Wiley & Sons, New York, USA.
15. Teixeira, P.H. (1997) Control of Vibration in Single Cables of Overhead Elec-
tric Transmission Line by Means of Viscoelastic Neutralizers. M.Sc. Thesis,
Federal University of Santa Catarina – UFSC (in Portuguese).
“DynamicalSystems” — 2004/3/7 — page #270
“DynamicalSystems” — 2004/3/4 — page #271
Controlling the noise coming from outside is a very important factor in bring-
ing about a healthy indoor environment. If an individual is exposed to a noise
level beyond a certain limit, serious damage can be done to his hearing sys-
tem, which is irreversible in most cases. In this paper the possible conditions
of cancellation of a noise generated by a single frequency source in a duct
with variable rectangular section are verified. The attenuation of the noise
level is done on resonance frequency of the duct using piezoelectric sheet as an
actuator. This study brings the possibility of using active control principles
for noise control to reduce the noise level generated from a specific source and
carried by airflow. A finite element model adjusted with experimental results
serves as a basis for further research.
1 Introduction
Among the various problems that afflict human society, noise stands out as a fun-
damental factor. Noise is mainly generated by equipment and machines, either
industrial or domestic.
After the industrial revolution, a great many machines and equipment that facil-
itate work and increase productivity were introduced; however, they cause humans
“DynamicalSystems” — 2004/3/4 — page #272
to be exposed to very high noise levels that could provoke partial or total deafness.
Therefore it is necessary to control the noise generated by equipment, and this can
be accomplished by several techniques of acoustic engineering.
The noise cancellation technique is being extensively researched today because it
offers operational advantages in relation to other acoustic control techniques. Noise
cancellation was developed in the 1930s by Lueg, although its practical use has been
developing from the 1980s to the present day with the coming of microcomputers
and the development of new material.
Also, the cancellation technique has been tried using well-designed speakers.
However, the volume and space required for their installation pose rather a problem
for implementation of the cancellation technique in compact areas. The high cost
of speakers also makes it infeasible for equipment in daily use.
The objective of this work is to attenuate the treatment of the noise generated
inside a metallic duct with a single frequency content, using a feedforward control
by introducing a secondary source at an appropriate place in the duct. The source
frequency at this point is 347 Hz, which has a wavelength of approximately 1 meter.
If one may use passive noise control techniques with specific acoustic materials,
it will be necessary to use a material for its isolation of the order of 1/4 of the
wavelength, a very high thickness which may be impracticable from the design
point of view.
2 Approximation Method
The original idea for noise cancellation is a very simple and ingenuous one. However,
its implementation needs instrumental adjustment for synchronizing the secondary
source with the primary source, generating a noise at a known frequency. Here,
contrary to most of the research methods, a rather complex experimental setup is
developed and constructed to verify the decisive factors which lead in tuning the
secondary source with the generated noise, which may allow attenuation of noise
at a considerable level. After discovering the critical factors in a physical setup
with a certain complexity and the most practical configuration, a well-concepted
finite element model adjusted with suitable parameters approaches the experimental
results. With a numerical well fitted model, the simplest and most efficient duct
configuration is determined theoretically, for implementation of feedback control as
the continuation of the research.
3 Experimental Setup
A piezoelectric patch pasted to the surface of the metallic duct is used as a secondary
source to control the noise. As the primary source, a simple speaker generates a
known frequency noise, as shown in Figure 1.
The secondary source will excite the metallic duct through vibration, at the
same time it is transforming the electric signal in mechanical displacement. The
vibration field then generates an acoustic field in the interior of the duct whose
sound wave undertakes an 180◦ phase change in relation to the primary source.
“DynamicalSystems” — 2004/3/4 — page #273
Figure 2 The phase change system and amplitude adjustment electronic outline.
The signal phase change takes place through an electronic device shown in
Figure 2, which is capable of adjusting the phase change and the width of the
excitation source signals.
In this work only one function generator is used to generate two excitation
sources of sinus form. The use of two independent excitation generators does not
produce successful results, because of difficulties in synchronizing the two sources.
A microphone is used for measuring the global noise level generated in the duct
and an oscilloscope for monitoring the electric signals.
The control system is purely of feedforward previous adjustment, as can be seen
in Figure 3, without the use of any data acquisition system for later use in the
computer.
“DynamicalSystems” — 2004/3/4 — page #274
Figure 3 The equipment connections configuration and the devices used in the experiment.
Figure 4 The microphone placement in relation to the piezoelectric sheet – frontal view.
Keeping the same calibration and device adjustments of the experiment, the
sound level is measured while the duct is excited at a frequency of 347 Hz, and the
microphone and the speaker position are changed as shown in Figure 4.
The equipment employed is:
• A metallic zinc duct with a total length (68 cm), width (larger section = 24 cm,
smaller section = 10 cm), height (10 cm)
• Speaker (8 Ω, 1.5 W)
• Piezoelectric ceramic patch (PZT G1 195, dimensions: 19 × 19 mm)
• Electronics components
• Potentiometer 10 kΩ, 100 Ω
• Resistance 47 Ω
• Operational amplifier LM741
• Capacitor 22 nF
“DynamicalSystems” — 2004/3/4 — page #275
Table 1 Noise level values measured with and without the control system.
1 84.346 246.25
2 366.20 285.51
3 544.53 303.74
4 749.79 307.29
5 798.08 316.62
336.77
347.92
358.73
363.62
376.76
407.65
• Multi-variable transformer
The results identified for attenuation of the noise are shown in Table 1. The
resonance frequencies of the metallic duct, and also the interior volume of the air,
are of fundamental importance, because the acoustic energy generated at these
frequencies is very strong. The frequencies are listed in Tables 2 and 3.
“DynamicalSystems” — 2004/3/4 — page #276
Figure 5 The Finite Element Model showing the regions of the primary and secondary
excitation.
4 Theoretical Model
Simulating the effect of various parameters for noise cancellation is done by the finite
element method which is a rather powerful tool for mathematical discretization
of continuous systems. The advantages of using a finite element model are quite
obvious, therefore it is not necessary to describe them.
In this paper the finite element model represents the full physical dimensions
and the properties of the experimental system. Here the three-dimensional shell
element “SHELL43” is used for modeling the metallic duct. The volume element
“FLUID30” is applied to model the air volume in the interior of the duct. More-
over, the mesh is done automatically as offered by the software using a solid model
method. For studying the acoustic element the mechanical module option is em-
ployed as required. For further use, the commands for materials properties are
shown in Appendix 1.
The results for modal and harmonic analysis are carried through a frequency
band of zero to 1 kHz. In harmonic analysis, where the acoustic behavior verifies
the sound pressure level and its distribution through the model, the primary source
is exciting the continuum medium with a single frequency. A secondary source used
as feedforward control has the same frequency of excitation with a phase change of
180 degrees. The system configuration is shown in Figure 5.
The required phase delay for excitation signal of the secondary source is done
by attributing appropriate values for the real and imaginary parts of pressure. The
coupling of the behavior of air fluid with solid structures is performed by the FSI
(fluid structure iteration) command.
“DynamicalSystems” — 2004/3/4 — page #277
Figure 6 The Finite Element Model without the presence of the control source.
Figure 7 The Finite Element Model with the presence of the control source (amplitude
of 1 Pa).
Figure 8 The Finite Element Model with the presence of the control source (amplitude
of 0.98 Pa).
Figure 9 The Finite Element Model with the presence of the control source (amplitude
of 0.086 Pa).
The frequencies are listed in Tables 2 and 3. The results obtained for attenuation
of the noise are shown in Table 1. The highest reduction of noise level, 12.6 dB,
at the frequency 347 Hz is observed, which is also one of the natural frequencies
of the duct.
“DynamicalSystems” — 2004/3/4 — page #279
Figure 10 The Finite Element Model with the presence of the control source (amplitude
of 0.51 Pa).
Figure 11 The Finite Element Model showing the regions of the primary and secondary
excitation in the rectangular constant area duct.
6 Conclusion
Obtaining good experimental results demands having equipment capable of very
fine adjustment. It is verified in this work that a minimum variation in terms of
“DynamicalSystems” — 2004/3/4 — page #280
Figure 12 The Finite Element Model without the presence of the control source.
Figure 13 The Finite Element Model with the presence of two control sources (amplitude
of each is 0.5 Pa).
possible high level can mask measurements. Using the appropriate equipment, at-
tenuation of the order of 12.6 dB(A) is obtained, which is a satisfactory level for
the technique used, opening the way for new studies.
The primary source position is also inverted in relation to the duct, changing
the direction of primary wave propagation, as can be seen in Figure 4; however, the
result of −4.5 dB(A) of attenuation is not satisfactory when compared to the best
result obtained at a frequency of 347 Hz.
The theoretical model reproduces the experimental measurement with a certain
coherency, and this study shows that the noise attenuation occurs in special regions.
Also, it becomes clear that different amplitudes at the secondary source will bring
different attenuation levels in the acoustic field. The amplitude excitation of the
secondary source should be of a specific value so that it does not mask or is not
masked by the primary source. These results can be seen in Figures 6–10.
It is important to mention that as a result of this research it is possible to design
a simple duct with two piezoelectric actuators to attenuate the noise generated by
air conditioners.
References
1. Bai, M.R. and Lin, Z. (1998) Active Noise Cancellation for Three Dimensional
Enclosure by using Multiple-Channel Adaptive Control and Hω control. In
Transactions of the ASME , vol. 120, Department of Mechanical Engineering,
National Chiao-Tung University, Republic of China.
2. da Silva, S.A. (1998) Controle Ativo de Vibração e Ruido em Estruturas
Flexı́veis Utilizando Atuadores Piezoéletricos. Tese Work, Federal University
of Paraiba.
3. Howard, C. (2000) Coupled Structural-Acoustic Analysis using ANSYS. Inter-
nal Report, Department of Mechanical Engineering, University of Adelaide.
Appendices
Appendix 1. The list of commands used to define the materials
properties
ET,1,SHELL43
ET,2,FLUID30
ET,3,FLUID30,,1
! Zinc
MP,EX,l,8.2e10, → Elasticity Module of Zinc
MP.DENS, 1,7100, → Density of Zinc
MP,NUXY,1,.25, → Coefficient of Poisson
“DynamicalSystems” — 2004/3/4 — page #282
! Air Volume
MP,DENS,2,1.21, → Air Density
MP,SONC,2,343, → Sound Velocity
MP,MU,2,1
FLST,2,4,1,ORDE,4
FITEM,2,120
FITEM,2,135
FITEM,2,142
FITEM,2,157
D,P51X, ,0,, , ,UY → Constraint Points from the Duct
Dynamical Features of
an Autonomous Two-Body
Floating System
Helio Mitio Morishita and Jessé Rebello de Souza Junior
University of São Paulo
Department of Naval Architecture and Ocean Engineering
Av. Prof. Mello Moraes, 2231, Cidade Universitária 05508-900
São Paulo, SP, Brazil
Tel: +55 11 3818-5184, Fax: +55 11 3818-5717, E-mail: [email protected]
1 Introduction
One of the most frequently adopted solutions for the exploitation of oil fields in
Brazilian offshore basins is the Floating Production Storage and Offloading system
(FPSO). This is a conventional tanker converted to operate as a platform to receive
the risers (ducts bringing hydrocarbons from the reservoir) and store the production
“DynamicalSystems” — 2004/3/4 — page #284
temporarily. Environmental forces tend to displace the vessel from the desired po-
sition, and therefore station-keeping devices are required. A common solution is an
anchoring system called the Differentiated Compliant Anchoring System (DICAS),
in which mooring lines connect the vessel to anchors on the seabed. Pre-tensions of
the lines are arranged in such way that the vessel has some freedom to adjust itself
to the predominant direction of the incoming weather.
The main vessel has to transfer its cargo periodically to a shuttle vessel that
takes the oil to onshore installations. During such offloading operations the distance
between the two vessels has to be kept within certain limits. The vessels are then
connected to each other through a polyester cable (a hawser) so that a flexible pipe
(hose) can be used to transfer the products.
One of the main concerns in the design and operation of these large systems
is clearly their dynamical behavior under the action of wind, currents and waves.
The dynamics of these and other anchoring systems – taking the FPSO unit alone
– have been investigated elsewhere, revealing a variety of regimes of response that,
depending on the mathematical model employed, may include bifurcations of static
equilibria, limit cycles, and chaotic motions, [1], [2]. Building upon recent studies
on the modeling and dynamics both of single-body and two-body FPSO systems
under wind and current, [3], [4], [5] this work further investigates a two-body prob-
lem where the main ship, whilst moored in a DICAS arrangement, is attached to a
shuttle vessel for the offloading operation. This six-degree-of-freedom coupled sys-
tem is shown to exhibit complex behavior that starts with a multiplicity of static
equilibrium solutions whose number and stability properties vary according to wind
and current relative speeds and angles.
A preliminary investigation of the dynamical features of a real FPSO–Shuttle
vessel system in a tandem configuration under the action of wind and current is
presented here. Realistic mathematical models are used throughout this study to
represent as accurately as possible the dynamics of the vessels in the horizontal
plane. The Newtonian six-degrees-of-freedom model (two linear, one angular dis-
placement for each vessel) results in a complex system of twelve first-order nonlin-
early coupled autonomous differential equations. As a first step in characterizing
the most relevant aspects of the problem, equilibria are calculated along with their
stability properties for a range of values of the main parameters defining each con-
figuration: wind and current speeds, relative angles of incidence, and hawser length.
The influence of the draught of the shuttle vessel is also assessed.
Due to the great complexity of the mathematical models involved, solutions are
obtained numerically, and their stability is studied mainly through time-domain
simulations. The system displays a variety of different regimes of solutions in which
both their number and their stability may change as one or more parameters are
varied. These results are summarized in a series of bifurcation diagrams in which
stability properties as well as physical feasibility are identified.
2 Mathematical Model
The dynamical system under investigation here represents the rigid-body motions
of two sea vessels in the horizontal plane. The complex motions of ships at sea are
usually split into high frequency and low frequency motions. The former motions
“DynamicalSystems” — 2004/3/4 — page #285
result mainly from the action of the so-called first-order wave forces, whereas the
latter motions are due to a combination of current, wind, and second-order wave
forces [6]. In this paper, only low frequency motions due to current and wind forces
are taken into account. In addition to those environmental forces, other terms are
included related to hydrodynamic added inertia, yaw damping, and the restoring
forces due to the action of hawser and mooring lines.
The motions of the vessels are traditionally expressed in two separate co-ordinate
systems (see Fig. 1): one is the inertial system fixed to the Earth, OXYZ, and the
other is a vessel-fixed non-inertial reference frame. The origin for this system is
in the intersection of the mid-ship section with the ship’s longitudinal plane of
symmetry; its vertical position plays no role in the problem. The axes for this
system coincide with the principal axes of inertia of the vessel with respect to the
origin. In fact, there are two of these non-inertial systems, one for each vessel:
o1 x1 y1 z1 , and o2 x2 y2 z2 fixed to the FPSO and shuttle vessel, respectively.
The resulting equations of motions for each vessel can be given by:
1 £ ¤
u̇ = (m − m22 ) vr − (mxg − m26 ) r2 − (m11 − m12 ) vc r + X , (1)
Dx
(" #
2
1 (mxg − m26 )
v̇ = (m11 − m) + ru − (m11 − m12 ) uc r + Y −
Dy Iz − m66
¾
mxg − m26
− N , (2)
Iz − m66
“DynamicalSystems” — 2004/3/4 — page #286
Ẋ = f (X, µ) , (9)
h iT £ ¤T
where X = X T1 X T2 , X i = ui vi ri x0ßi y0ßi ψi , i = 1, 2,
£ ¤
µ = ψc Vc ψw Vw ∆ is the control parameter vector, ψw is the angle of in-
cidence of the wind, Vw is the wind speed, and ∆ is the ship displacement.
Xc,1 (ψc , Vc , ψ1 ) + Xw,1 (ψw , Vw , ψ1 ) + Xh,1 (x0,1 , y0,1 , x0,2 , y0,2 , ψ1 ) + Xm (ψ1 ) = 0 ,
(10)
Yc,1 (ψc , Vc , ψ1 )+Yw,1 (ψw , Vw , ψ1 )+Yh,1 (x0,1 , y0,1 , x0,2 , y0,2 , ψ1 )+Ym (ψ1 ) = 0 , (11)
Nc,1 (ψc , Vc , ψ1 )+Nw,1 (ψw , Vw , ψ1 )−Yh,1 (x0,1 , y0,1 , x0,2 , y0,2 , ψ1 )eh,1 +Nm (ψ1 ) = 0 ,
(12)
Xc,2 (ψc , Vc , ψ2 ) + Xw,2 (ψw , Vw , ψ2 ) + Xh,2 (x0,1 , y0,1 , x0,2 , y0,2 , ψ2 ) = 0 , (13)
Yc,2 (ψc , Vc , ψ2 ) + Yw,2 (ψw , Vw , ψ2 ) + Yh,2 (x0,1 , y0,1 , x0,2 , y0,2 , ψ2 ) = 0 , (14)
Nc,2 (ψc , Vc , ψ2 ) + Nw,2 (ψw , Vw , ψ2 ) + Yh,2 (x0,1 , y0,1 , x0,2 , y0,2 , ψ2 )eh,2 = 0 , (15)
where the subscripts c, w, h, and m refer to current, wind, hawser, and mooring
lines, respectively, and eh is the distance between the origin of the ship-fixed co-
ordinate system and the hawser connection point, and it is typically half the length
of the ship.
The solutions of Eqs. (10) to (15) are of the form:
£ ¤T
X ∗ = 0 0 0 x∗0,1 y0,1
∗ ∗
ψ1∗ 0 0 0 x∗0,2 y0,2 ψ2∗ .
However, these values cannot be obtained straightforwardly since the set of equa-
tions involves nonlinear terms and empirical coefficients such as those of the wind
that are based on OCIMF data [7]. Therefore a numerical procedure was employed,
and a brief description of the algorithm is given since it is useful to understand the
influence of some of the parameters on the solution of the problem. The overall
procedure involves determining the components of X ∗ in a three-step sequence, as
follows:
The heading of the shuttle vessel is determined considering Eqs. (14), (15) and
those related to calculation of the current and wind force and moment shown in
Appendix A, which give:
· ¸
ρa AL 2 1 1
σ C6w (ψw − ψ2 ) − C2w (ψw − ψ2 ) + C6c (ψc − ψ2 ) − C2c (ψc − ψ2 ) = 0 ,
ρT L 2 2
(16)
“DynamicalSystems” — 2004/3/4 — page #288
Vw
where σ = is the ratio of wind to current speed, ρa and ρ are the densities of
Vc
the air and seawater respectively, AL is the projected lateral area, and T and L are
the shuttle vessel draft and length, respectively.
Equation (16) shows that, for a given shuttle vessel, once ψc and ψw are chosen
the equilibrium heading ψ2∗ depends only on the ratio of wind to current speed σ.
With ψ2∗ obtained above, the forces Xh,2 and Yh,2 of the hawser on the shuttle
vessel are then calculated through Eqs. (13) and (14). These values allow the
determination of the total hawser force H, and also its direction θ referred to the
Earth-based co-ordinate system.
q µ ¶
−1 Yh,2
H = Xh,2 2 +Y2
h,2 and θ = tan + ψ2∗ ,
Xh,2
where H is the total force of the hawser, and θ is the direction of the hawser.
∗
c) Shuttle vessel linear position (x∗0,2 y0,2 ).
The linear position of the shuttle vessel in the horizontal plane is determined
from the position of the FPSO obtained in (b) together with the hawser equation
and ψ2∗ as determined in (a).
The complexity of the nonlinear equations governing the motions of the vessels
precludes any a priori conclusion concerning the number of equilibrium solutions.
Thus, step (a) of the procedure above can and does indeed find more than one
equilibrium solution ψ2∗ . For each value of ψ2∗ , step (b) could in principle produce
any number of corresponding equilibrium values for the remaining phase variables.
The numerical investigation carried out here showed, however, that for any given
value of the control parameters in µ, step (b) always generates a unique solution
for the position of the main vessel. Such a result is consistent with the physical
characteristics of the DICAS mooring system. For a different mooring system (for
instance, the ‘turret’) other results could be expected, [8]. Therefore, for the system
under study here, the value of ψ2∗ uniquely determines any fixed point, and can be
justifiably used to characterize the whole solution.
ratio σ. Secondly, if ψw and ψc are rotated by a same angle, say ∆ψ, a solution ψ2∗
will obviously be rotated by a corresponding value −∆ψ. Therefore, it is reason-
able to choose a value for one of the angles ψw or ψc and vary the other. Current
speed and incidence vary more slowly than the wind’s, making it interesting to keep
them constant in the analysis. Moreover, the DICAS system is designed to oper-
ate in conditions of near-head current, so that keeping ψc = π is perhaps a more
meaningful choice for the study.
A typical portrait for this system can therefore be obtained by fixing current
speed and angle of incidence and varying wind speed and incidence so that the whole
range of relative angles and speeds is covered. For the present work the speed of
current was fixed at Vc = 1 m/s. Representative values for other parameters such as
the hawser nominal length were chosen and kept constant throughout the present
analysis (see Appendix C for a more complete list of parameters). The FPSO and
the shuttle vessel are 330,000 ton dwt and 130,000 ton dwt vessels, respectively.
The influence of the displacement of the shuttle vessel was assessed by considering
two drafts: full draft, and 40% of full draft. The FPSO was taken at her full
displacement. Hawser nominal length was 170m (around half the FPSO’s length or
64% of the shuttle vessel’s length).
Seven wind incidences were chosen here: ψw = 0◦ , 10◦ , 20◦ , 30◦ , 40◦ , 50◦ , and
◦
60 . Figures 2 and 3 display the main results for the equilibria of these equations
using the ratio of wind to current speed σ = Vw /Vc as an independent parameter.
Figure 2 is for the full draft condition, whereas Fig. 3 is for partial draft. Each of
these figures shows two different representations of the same data: Figs. 2a and 3a
are 3D plots while Figs. 2b and 3b are 2D plots where curves for the various values
of ψw have been superimposed on one another.
Before the stability and bifurcations of equilibria are considered, a few general
comments can be made regarding the existence and number of fixed points.
• There are always two or more fixed points for any given condition.
• In broad terms, it can be noticed that the full draft scenario tends to be less
complex than that obtained for the partial draft.
Once the static solutions are determined, the next natural step is the analysis of their
stability properties. That can be performed by various means: dynamic simulation,
eigenvalues (Jacobian matrix), or pseudo potential wells as shown in [5]. For this
paper the first procedure was adopted and two angles of incidence of the wind were
selected for this more detailed investigation.
“DynamicalSystems” — 2004/3/4 — page #290
a)
b)
Figure 2 Bifurcation diagrams: overview for full draft condition. (a) 3D plot; (b) Consol-
idated 2D plot.
a)
b)
Figure 3 Bifurcation diagrams: overview for partial draft condition. (a) 3D plot; (b)
Consolidated 2D plot.
The first result to be observed is that the system always displays either one or
more attracting equilibria or one or more attracting limit cycles. In either case the
system will also display at least one unstable static equilibrium with no limit cycle
around it.
Regions I and III in both diagrams exhibit a similar pattern of behavior where
only two solutions are found, one of them unstable and the other being either
statically stable (attracting) or a stable (attracting) limit cycle. The attracting
periodic solution is found in all of these regions except for region III in Fig. 5.
In region I of Fig. 5 a limit cycle is the only attracting solution for values of σ
“DynamicalSystems” — 2004/3/4 — page #292
6 Conclusions
The dynamics of a complex two-body floating system in tandem configuration under
the action of wind and current was investigated with the use of concepts and tools
of nonlinear dynamics. The system studied consisted of sophisticated simulation-
type equations of motion that include detailed modeling of the hydrodynamic and
aerodynamic forces.
Studies assessed the influence of several parameters such as wind and current
speeds and angles of incidence. Equilibrium solutions for the system were inves-
tigated numerically, revealing a complex pattern of behavior, which include folds
(saddle-node bifurcations), and Hopf bifurcations to stable limit cycles. Solutions
were summarized in bifurcation diagrams where stable, unstable, feasible and un-
feasible solutions were depicted. An interesting feature uncovered by this analysis is
the existence of sizable regions of parameters where multiple attracting equilibrium
solutions coexist.
“DynamicalSystems” — 2004/3/4 — page #294
Appendix A
This Appendix contains the main formulae detailing the mathematical models em-
ployed throughout this study.
Current
The forces and moment due to current are given by the following equations, [1]:
1 2
Fc (β, V ) = ρT Lp Cic (β)|Vc | , i = 1, 2, 6 ,
2 (A1)
p=1 for i = 1, 2 , p=2 for i = 6 ,
Wind
The wind forces are determined by the following equations:
1
Fw = Ciw (ψrw )ρw Vw2 ALpBP , i = 1, 2, 6
2 (A13)
p = 0 for i = 1, 2 , p=1 for i = 6 ,
ψrw = ψw − ψ , (A14)
where the Civ are coefficients determined experimentally, [7]; Vw is the wind speed;
A is the corresponding projected area of the vessel; and ψw is the direction of
the wind.
Dx, Dy , Dz
These are defined as:
Dx = m − m11 , (A15)
2
(mxg − m26 )
Dy = (m − m22 ) + , (A16)
Iz − m66
2
(mxg − m22 )
Dz = (Iz − m66 ) − . (A17)
m − m22
Appendix B
The condition Ẋ = 0 implies r = 0 (see Eq. (6)), and taking into account this result
Eqs. (1) to (3) give the following matrix identity:
1
0 0
Dx
X 0
1 1 mxg − m26
0
Dy Dy Iz − m66 Y = 0 . (B1)
N 0
−1 mxg − m26 1
0
Dz m − m22 Dz
“DynamicalSystems” — 2004/3/4 — page #296
Appendix C
This Appendix contains the main parameters defining the vessels employed in this
study.
VESSELS
FPSO Shuttle Vessel
Length (m) 327.0 260.0
Beam (m) 54.5 44.5
Draft 21.6 6.5
Block coefficient 0.83 0.77
Wetted surface (m2 ) 27500.0 11745.0
Mass (kg) 312.8E6 57.3E6
Moment of inertia (kg m2 ) 4.12E12 5.22E11
Wind transversal area (m2 ) 1304.0 1339.0
Wind lateral area (m2 ) 3893.0 4819.0
HAWSER
References
1. Leite, A.J.P., Aranha, J.A.P., Umeda, C. and de Conti, M.B. (1998) Current
Forces in Tankers and Bifurcation of Equilibrium of Turret System: Hydro-
dynamic Model and Experiments. Applied Ocean Research, 20 (3), 145–156.
2. Bernitsas, M.M., Garza-Rios, L.O. and Kim, B. (1999) Mooring Design Base
on Catastrophes of Slow Dynamics. Transactions of the SNAME .
3. Morishita, H.M. and Cornet, B.J.J. (1998) Dynamics of a Turret-FPSO and
Shuttle Vessel due to Current. In IFAC Conference, Fukuoka. CAMS’98:
Control Applications in Marine Systems, Kyushu, Japan, pp. 101–106.
4. Souza Jr., J.R., Morishita, H.M., Fernandes, C.G. and Cornet, B.J.J. (2000)
Nonlinear Dynamics and Control of a Shuttle Tanker. In Nonlinear Dynam-
ics, Chaos, Control and Their Applications, Vol. 5, J.M. Balthazar, P.B.
Gonçalves, R.M.F.L.R.F Brasil, I.L. Caldas, F.B. Rizatto (eds), Chapter 2,
pp. 137–146.
“DynamicalSystems” — 2004/3/4 — page #297
5. Morishita, H.M., Souza Jr., J.R. and Fernandes, C.G. (2001) Nonlinear Dy-
namics of a FPSO and Shuttle Vessel in Tandem Configuration. In 11 th Int.
Offshore and Polar Engineering Conf. (ISOPE’2001), Stavanger, Norway,
June 17–22, 2001, vol. 1, pp. 336–342.
6. Faltinsen, O.M. (1990) Sea Loads on Ships and Offshore Structures. Cam-
bridge University Press.
7. OCIMF (1994) Predictions of Wind and Current Loads on VLCCs. Oil Com-
panies International Marine Forum.
8. Morishita, H.M., Souza Jr., J.R. and Cornet, B.J.J. (2001) Systematic In-
vestigation of the Dynamics of a Turret FPSO Unit in Single and Tandem
Configuration. In 20 th Int. Conf. on Offshore Mechanics and Arctic Engi-
neering (OMAE’2001 ), Rio de Janeiro, Brasil, June 3–8, 2001 (published on
CD-ROM).
“DynamicalSystems” — 2004/3/4 — page #298
“DynamicalSystems” — 2004/3/5 — page #299
Several mechanical devices in the real world utilize multiple elements and their
corresponding movements to accomplish a series of given tasks. Cranes and
robots are just a few examples of such devices. Generally speaking, composi-
tion of element movements is not explored to any advantage. If one intends
to improve the design of multiple body devices, reducing weights and getting
faster dynamic responses, one has to deal with flexibility and as a result with
vibration problems. Active control of structural vibrations is addressed in
this work where, motivated by the above reasoning, the problem of a flexible
slewing arm carrying a sliding mass with independent motion is discussed. A
dynamical model is deduced using the Extended Hamilton’s Principle. The
resulting model is a coupled integro-differential system of nonlinear equations,
time and space variant due to changes in the inertia terms. In order to cir-
cumvent mathematical difficulties, substructuring techniques are employed,
thus allowing us to consider separately the flexible arm and slider motions.
Assuming synchronous motions, the response of the system can be expanded
in products of spatial and time functions, resulting in a simpler model, suit-
able for control design. This model is generic in the sense that one can include
any number of eigenfunctions. Two approaches are then considered for the
mass movement when the rotating flexible arm performs a typical maneuver.
The first assumes that the mass positioning over the arm is prescribed or re-
strained to a given length interval and the external torque on the arm is used
both to generate the maneuver and to control the elastic motion. Simulation
“DynamicalSystems” — 2004/3/5 — page #300
results are presented for some cases. Although they are very helpful in un-
derstanding how the composed torque-mass position control can contribute to
the vibration control of the rotating arm, the second approach, where an ex-
ternal force actuating over the mass is a second control variable, allows more
significant results. An optimal control problem, where mass initial position
and velocity are design parameters, is then proposed and numerical solutions
are investigated.
List of Symbols
e(x, t), e(x): local elastic transverse displacement of the arm;
τ (t), τ : torque applied to the rotating hub;
l(t), l: slider position regarding a moving referential M(Oxyz);
F (l, t), F (l): external force applied to the slider, tangent to the arm at
point l;
FN (l, t): normal component of the force applied to the mass by the
arm;
FT (l, t): tangent component of the force applied to the mass by the
arm;
ηr (t), ηr : r-th generalized coordinate;
φr (x), φr : r-th admissible function;
ωr : r-th natural frequency;
θ(t), θ: angle of rotation of the arm regarding a inertial referential
I(OXYZ);
M: mass of the slider;
JC : mass moment of inertia of the hub;
JB : mass moment of inertia of the arm;
IB : area moment of inertia of the arm around an axis normal to
the plane of rotation;
ρ: mass per unity length of the arm;
E: Young’s modulus of elasticity;
h: thickness of the arm;
b: height of the arm;
L: total length of the arm.
1 Introduction
The dynamics and control of flexible structures have merited increasing attention
in recent years, because of the large potential to generate solutions to problems in
important areas such as aeronautical and space engineering, precision mechanics and
robotics. State-of-the-art in this field can be found in papers such as Book (1990,
1993), and books as Meirovitch (1990). A quite interesting question is related to the
attenuation and control of vibrations induced in flexible devices during structure
large maneuvers, which are the target of several papers such as Warren et al. (1995),
Juang et al. (1986), Gildin (1998) and Lozano and Brogliato (1992), to give a few
examples. Up to now, research has not tackled most of the theoretical difficulties
concerning this field, especially in robotics, where the flexible motions are avoided
“DynamicalSystems” — 2004/3/5 — page #301
Motivated by this reasoning, this work addresses the active control of structural
vibrations of a flexible slewing arm carrying a sliding mass with independent motion,
as shown in Figure 1. The objectives are the achievement of a good system model
and the synthesis of an optimal controller using two control variables: the torque
applied to the rotating hub in which the arm is fixed; and the motions of a slider
that moves over the arm.
The dynamic model of this distributed system can be deduced by means of the
Extended Hamilton’s Principle, resulting in a coupled integro-differential system of
nonlinear equations, as typical for this kind of system (Meirovitch, 1997). Besides
this, in the particular case of the flexible arm with a slider, the system matrices
are time and space variants due to changes in the inertia terms. The resulting
system is too complicated for practical use. Substructuring techniques were then
used to separate flexible arm and slider movements, and the system response was
expanded in products of spatial and time variables. The control model is still a
time variant one, although linear. Friedland et al. (1987) present the “adiabatic
approximation” for the design of linear quadratic (LQ) control laws for linear, time
varying systems. The authors prove that the Lyapunov Second Method assures
system response stability and that the control strategy, although not optimal, also
assures good performance in many cases.
Based on this approach, several cases where the slider moves on prescribed tra-
jectories while the flexible arm rotates have been simulated and analyzed (Oliveira
and Fleury, 1999 and Oliveira, 2000). Although these cases have been very helpful in
understanding how the composed torque-mass position control contributes to con-
trol the elastic arm vibrations, many questions about adequate design parameters
remained inconclusive. A second approach, where the slider movement is a control
variable, led to an optimal control problem. The control model is now a nonlinear
one, and the optimal arm and slider trajectories have to be investigated through
the use of a good numerical technique (Citron, 1969). The technique of Schwartz
and Polak (1996), which is based on the consistent approximations method for the
numerical solution of optimal control problems (Polak, 1993), has been chosen and
implemented. RIOTS 95 (Schwartz, 1997), a computational package for use with
MATLAB, has assumed a special importance to this research.
ZL µ ¶2
1 ∂2e
U (t) = E · IB · dx , (1)
2 ∂x2
0
“DynamicalSystems” — 2004/3/5 — page #303
ZL "µ ¶2 µ ¶2 #
1 ∂e ∂e dθ dθ
TB (t) = ρ· +2· ·x· + (x2 + e2 ) · dx , (2)
2 ∂t ∂t dt dt
0
where L and ρ denote the total length and the linear mass density of the flexible
beam. θ(t) is the arm angle of rotation, with respect to the inertial reference system
Oxyz, as shown in Figure 2.
µ ¶2 #
dl dl dθ
+ −2· · e(l) · , (3)
dt dt dt
M is the slider mass and l its position in the moving reference system Oxyz, which
is rotating with the arm, as in Figure 2.
“DynamicalSystems” — 2004/3/5 — page #304
L = T − U = TV + TM + TC − U . (6)
δ W = τ · δθ + F · δ l , (7)
where τ is the torque applied to the hub by a motor (not included in the modeling);
and F , a force actuating over the slider, tangent to the arm in its position.
Thus, the Hamilton’s Principle reduces to
ZL ( " µ ¶2 #
∂4e ∂2e d2 θ dθ
E · IB · +ρ· +x· 2 −e· +
∂x4 ∂t2 dt dt
0
" µ ¶2 # )
∂2e dl dθ d2 θ dθ
+M · + 2 · · + l · −e· · ∆l dx = 0 , (8)
∂t2 dt dt dt2 dt
ZL · µ ¶
d2 θ ∂e dθ ∂2e d2 θ
ρ · e2 · 2 + 2 · e · · + x · 2 + x2 · 2 +
dt ∂t dt ∂t dt
0
µ ¶ ¸
∂2e d2 l 2
2 d θ ∂e dθ
+M · · l − e · + e · + 2 · e · · · ∆ l dx+
∂t2 dt2 dt2 ∂t dt
µ 2
¶
2 d θ ∂l dθ d2 θ
+M · l · 2 + 2 · l · · + JC · 2 = τ , (9)
dt ∂t dt dt
" µ ¶2 # ZL µ ¶
d2 l dθ d2 θ ∂e dθ
M· −l· − M · e· 2 +2· · · ∆l dx = F . (10)
dt2 dt dt ∂t dt
0
“DynamicalSystems” — 2004/3/5 — page #305
Here ∆l is the Dirac delta function, introduced to simplify the notation. Equations
(8) to (10) represent the dynamic model of the system, with boundary conditions
given by
µ ¶ µ 2 ¶ µ 3 ¶
∂e ∂ e ∂ e
e(0, t) = 0, , = 0, 2
= 0, = 0.
∂x x=0, t ∂x x=L, t ∂x3 x=L, t
(11)
One can observe in Equation (11) that displacement and rotation are zero at the
clamped end, and that, when the slider is not at the beam tip, the bending moment
and the shearing force are zero at this point.
3 Substructure Synthesis
The model deduced in the last section consists of a boundary value problem, com-
posed by a coupled integro-differential set of partial differential equations. The
mathematical difficulty inherent in the direct solution of this kind of problem leads
one to look for approximate methods of solution, like Rayleigh–Ritz techniques.
Meirovitch (1997) presents a set of information concerning the vibration of dis-
tributed parameter systems, like flexible rotating arms. Component mode synthesis
has been employed in the modeling of flexible systems since the 1960s, after the
works published by Hurty (1965) and Craig and Bampton (1968). Meirovitch and
Kwak (1991) discuss substructure synthesis as an extension of the Rayleigh–Ritz
method to flexible multibody systems, in which the full structure is treated as an
assemblage of distinct substructures. The structure dynamic behavior is based on
an expansion of response of the individual substructures, described in terms of
admissible functions (and not proper modes of vibrations).
Since a direct solution to the present problem does not seem feasible, substruc-
turation – as substructure synthesis is also called – represents an alternative way to
model the structure. Interaction between the flexible arm and the slider, analyzed
as two distinct substructures, can be resumed to a force FE (l), external with respect
to the beam and punctual, applied to it in the mass position l.
act on this subsystem: the torque τ employed to generate the rotation maneuver;
and the force FE (l), in the normal direction to the arm at the mass position l.
The virtual work of non-conservative forces in the second subsystem can be
written as
δ W = τ · δθ + FE (l) · δ e . (14)
Use of the Extended Hamilton’s Principle results in
ZL " µ ¶2 #
∂4e ∂2e d2 θ dθ
E · IB · +ρ· +x· 2 −e· dx = FE (l) , (15)
∂x4 ∂t2 dt dt
0
ZL µ ¶
d2 θ ∂e dθ ∂2e d2 θ d2 θ
ρ · e2 · 2 + 2 · e · · + x · 2 + x2 · 2 dx + JC · 2 = τ , (16)
dt ∂t dt ∂t dt dt
0
with the same boundary conditions given by Equation (11). In Equation (16),
JB denotes the moment of inertia of the flexible arm. Equations (15) and (16)
compose the model obtained via substructure synthesis, where the quadratic terms
are ignored.
It is convenient to define a new variable z(x, t) through
∂4z ∂2z
E · IB · + ρ · = FE (l) , (18)
∂x4 ∂t2
ZL
∂2z d2 θ
ρ·x· 2
dx + JC · 2 = τ . (19)
∂t dt
0
where φr (x) are admissible functions and ηr (t), generalized coordinates. Therefore,
for free vibration,
d4 φr
E · IB · − ωr2 · ρ · φr = 0 . (21)
dx4
By inspection, one can verify that the general form φr (x)
Thus, for normalized modes, the displacements due to system flexibility are
simply expressed by
ZL ¯
d2 ηr dφr ¯¯
+ ωr2 · ηr = FE (l) · φr dx + τ · . (23)
dt2 dx ¯x=0
0
Equation (23) describes the dynamic behavior of the system in terms of generalized
coordinates.
Using the same steps, the dynamics of the arm angular movement, Equation (16),
may be transformed to
( p X p
d2 θ 1 X £ ¤
2
= · l · φ r (l) · Srs · ωs · ηs +
dt2 (JB + JC + M · l2 ) r=1 s=1
ZL
dl dθ X X
p p
+2 · M · l · · · φr (l) · Srs · φs dx − 1 +
dt dt r=1 s=1
0
p X p ¯
X dφ s ¯
+ 1−l· φr (l) · Srs · ¯ ·τ . (26)
¯
dx x=0
r=1 s=1
“DynamicalSystems” — 2004/3/5 — page #308
Equations (13), (24), and (26) compose the system model by means of substruc-
ture synthesis. Those terms describe, respectively, the translational dynamics of
the slider, the transverse oscillations due to flexibility and rotational dynamics of
the arm.
dη3 dηp
x(5) = η3 , x(6) = , ··· x(2p−1) = ηp , x(2p) = , (28)
dt dt
dθ
x(2p+1) = θ , x(2p+2) = , u=τ.
dt
“DynamicalSystems” — 2004/3/5 — page #309
One can observe that the slider position l arises implicitly on the state model of
the system. Only one control variable is present, the torque τ applied to the hub.
Friedland et al. (1987) show, through the Lyapunov Theory, that a sub-optimal
LQ solution to the control problem of a time varying system can be obtained by solv-
ing the algebraic Riccati equation for the optimum control law at discrete instants
of time. In this way, a time discretization of the control problem is performed, with
the advantage of resulting asymptotically stable controlled systems with good per-
formance. Since the state model given by Equation (27) is linear and time varying,
such a method can be used.
dη3 dηp
x(5) = η3 , x(6) = , ··· x(2p−1) = ηp , x(2p) = , (30)
dt dt
dθ dl
x(2p+1) = θ , x(2p+2) = , x(2p+3) = l , x(2p+4) = ,
dt dt
u1 = τ , u2 = F .
An optimal control problem (OCP) to the system can now be established, aiming
at the minimization of an index of performance in the form of
Ztf 2p+4
X 2
X
J= Qii · x2i + Rjj · u2j dt (31)
0 i=1 j=1
and subject to the dynamic constraints given by Equation (29) and to the state
variable inequality constraints
0 ≤ l ≤ L. (32)
6 Numerical Simulation
Numerical simulation was implemented using MATLAB and RIOTS 95, a computer
program for numerical solution of optimal control problems, developed by Schwartz
and Polak (1996). Cases considering the two approaches described in preceding
sections have been analyzed, taking arm rotation from −45◦ to 0◦ , simulation time
of 4 seconds and 514 time discretization points. Values of the physical parameters
assumed for simulation are given in Table 1.
point of maximum displacement of the first mode between the hub and the node)
and frequency of oscillation equal to the first natural frequency of the arm. This
trajectory is chosen aiming for the Coriolis forces to be in opposite phase to η1 .
“DynamicalSystems” — 2004/3/5 — page #312
dηr
The Qrr weights of ηr and states in the Q matrix of the index of performance
dt
defined for the LQ control are about a thousand times greater than those associated
dθ
to θ, and to the Rrr weight of the control variable τ . All these weights are time
dt
invariable.
One can observe an attenuation of the first peak of the arm tip oscillation, and,
from then on, an increased motion amplitude.
Figure 4 shows a different case where the slider performs an attenuated periodic
trajectory, also with central point at x = 0.2552 m. Again, the slider trajectory is
chosen so that the Coriolis forces will be in opposite phase to η1 . In this particular
case, one can observe a good attenuation of the vibration motions. Despite this,
some maneuvers, like the sinusoidal oscillation of the slider shown in Figure 3,
led to a worse response, with the growth of oscillation amplitudes. This fact and
many others concerning the system parameters to be defined, such as slider/beam
mass ratio, initial slider position, type of slider maneuver and so on, cannot be
easily analyzed with this approach, since only a trial-and-error setup and simulation
scheme can be used. An optimal control approach may give more direct answers to
these questions.
“DynamicalSystems” — 2004/3/5 — page #313
Figure 5 shows the resulting optimal slider trajectory for the case where no state
variable inequality constraints (or trajectory constraints) were considered. Position
and velocity of the slider and applied force F , the second control variable, are
illustrated. The sliding mass trajectory is smooth, nevertheless the hub position,
indicated by x = 0, is exceeded. The initial control guess is also indicated for
comparison purposes. Figure 6 shows that the oscillations induced at the free end
of the arm are almost totally attenuated by the slider movement. A zoom view
is provided in order to show the final result. Figure 7 shows the slider trajectory
in case of state-variable inequality constraints, given by Equation (32). Figure 8
indicates the arm free end displacement and the torque applied to the hub. Once
more, one can verify very good vibration attenuation. The slider trajectory is also
smooth and satisfying the inequality constraints, given by the physical limits of the
arm, x = 0 and x = L.
Tables 2 and 3 show the peak, mean values and standard deviation of amplitude
oscillations at the arm tip, in the absence and presence of trajectory constraints.
The resulting values of the objective function for initial and optimal control actions
are also given, and one can verify a great reduction in these values.
7 Concluding remarks
The results allow one to conclude that the coupling of movements of different ele-
ments of a multibody system can be used for attenuation of the induced vibrations
in a mechanical device. Even in the case of simple flexible maneuvers, the dynami-
cal effects generated by a slider motion can constitute an effective vibration control
method.
Both approaches to the vibration control problem treated in this work have led
to good performance systems. The first strategy has shown that good results can be
obtained even when the slider trajectory is simple, like a damped periodic motion.
The large number of parameters that could be modified (such as the slider/arm
mass ratio, slider initial position, types of trajectory, etc.) makes it difficult to
propose a more general solution, and just a trial-and-error scheme, based on heavy
numerical simulations, should be used. Other concluding remarks, therefore, would
demand a deeper and more systematic analysis of the system dynamic behavior,
“DynamicalSystems” — 2004/3/5 — page #314
Table 2 Peak and mean values, standard deviation and objective function for the initial
and optimal control case in the absence of trajectory constraints.
Table 3 Peak and mean values, standard deviation and objective function for the initial
and optimal control case in the presence of trajectory constraints.
but these preliminary results are fundamental to understanding the very nature of
arm-slider interaction.
In the general approach corresponding to the optimal control problem employing
the slider motion as a second control variable, besides the torque applied to the
hub, just the slider optimal trajectories have been analyzed. On the other hand, the
theoretical and numerical base for the optimization of any other physical parameters
and for the study of different system configurations is ready. The preliminary results
shown above for the case of the absence of state-variables inequality constraints are
original and point to the need for careful compensation weight design when one is
dealing with flexible rotating structures.
Acknowledgments
The authors gratefully acknowledge CNPq – Conselho Nacional de Desenvolvimento
Cientı́fico e Tecnológico – for scholarships granted to the author.
References
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Arms: a Tutorial Review. In Proceedings of the 29 th Conference on Decision
and Control , Honolulu, pp. 500–506.
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Dynamic Systems, Measurement and Control , 115 (2B), June, 252–261.
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Inc., New York, USA.
4. Craig, R.R., Jr. and Bampton, M.C.C. (1968) Coupling of Substructures for
Dynamic Analyses. AIAA Journal , 6 (7), April, 1313–1319.
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proximation” for Design of Control Laws for Linear, Time-Varying Systems.
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nica, Universidade de Sao Paulo, Brasil.
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periment for Flexible Structures. AIAA Journal of Guidance and Control ,
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“DynamicalSystems” — 2004/3/5 — page #317
Measuring Chaos
in Gravitational Waves
Humberto Piccoli 1 and Fernando Kokubun 2
1
Department of Materials Science, Federal University of Rio Grande
Rio Grande, RS, Brazil
2
Department of Physics, Federal University of Rio Grande
Rio Grande, RS, Brazil
1 Introduction
Cosmic gravitational waves were first reported in the literature by Einstein, a few
months after his formulation of general relativity. The theoretical basis of the theory
was linear but restricted to weak waves emitted by bodies with very low self-gravity.
A few years later a nonlinear approach was developed to include sources with signif-
icant self-gravity. Emissions of gravitational waves can be originated by collapsing
stellar cores or black holes (coherent bulk motions of matter or coherent vibrations
of spacetime curvature) in regions of spacetime where gravity is relativistic and the
motions of matter are near the speed of light. Knowledge about the characteristics
of the emissions of gravitational waves is very important in physics because they can
provide new information about the universe, and they could be helpful in yielding
“DynamicalSystems” — 2004/3/4 — page #320
2 Theoretical Backgrounds
2.1 The Hénon–Heiles system
The Hénon–Heiles system is described by the potential
· µ ¶¸
x2 + y 2 1 y3
V (x, y) = mω 2 + x2 y − , (1)
2 a 3
“DynamicalSystems” — 2004/3/4 — page #321
where the superscript T denotes the transpose of the matrix, τ and d are the
embedding parameters.
The time delay τ is taken as an integer multiple of the sampling time and was
computed using the average mutual information [5], given by
N
X ¯ ¯
¯ P (s(n), s(n + τ )) ¯
I(τ ) = ¯
P (s(n), s(n + τ )) log2 ¯ ¯, (5)
n=1
P (s(n))P (s(n + τ )) ¯
where P (x)is the probability of a measurement x, and P (x, y) is the joint probability
of measurements x and y. The average mutual information is plotted versus the
time delay and the chosen value is the corresponding first local minimum. In general,
first local minimum is well established. When the first local minimum is not well
determined we observe the topology for values near the first local minimum and
choose the time delay, which produces a Poincaré diagram with a better-defined
attractor.
The embedding dimension was obtained by the method of false neighbors, based
on searching for a d-dimensional state space in which points are neighbors due only
to their proximity and not due to an attractor observation by a “window” with
a non-sufficient dimension. In other words: there are no false crossings of the
trajectory in the reconstructed state space. This search for false neighbors was
performed with an algorithm developed by Kennel et al. [6].
After the state space reconstruction a topological analysis is performed. Poincaré
diagrams are observed to search for evidence of chaotic behavior.
The chaotic behavior can be quantified by computing Lyapunov exponents and
correlation dimensions of attractors in the reconstructed state space. A system with
“DynamicalSystems” — 2004/3/4 — page #322
chaotic behavior has at least one positive Lyapunov exponent and a non-integer
correlation dimension.
The correlation dimension was presented by Grassberger and Procaccia [7], as
log C(ε)
dcor = lim , (6)
ε→0 log ε
NP
where C(ε) = lim , N is the number of points in the time series, and NP is
N →∞ N2
the number of pairs (si , sj ) with |si − sj | < ε.
The usual procedure to estimate the correlation dimension is to plot C(ε) ver-
sus ε in log-log scales. In the limit, the slope of this curve is an estimate of the
correlation dimension.
Lyapunov exponents are the characteristic exponents associated to an invariant
measure. They can be computed directly from experimental data, and they are
of easy interpretation. The origin of Lyapunov exponents is on the multiplicative
ergodic theorem of Oseledec [8,9]. This theorem establishes that if an evolution in
state space given by the map y(n+1) = F (y(n)) is known, and if some mathematical
requirements are fulfilled, it is possible to construct a matrix
³ ¡ ¢ ¡ ¢T ´1/2n
Λ = lim DF n y(0) DF n y(0) (7)
n→0
3 Analysis
There were generated five long-term series by numerical simulation of the Hénon–
Heiles system (s1 , s2 , s3 , s4 , s5 ). Four time series were generated with an energy
level in the limit state between regular and irregular behavior, with different initial
conditions, and the fifth lies in a chaotic regime, and with an energy level near the
escape value. The trajectories in the potential field can be observed in Figure 1. The
series s1 , s2 , s3 , and s4 , showed a behavior strongly influenced by initial conditions,
as can be seen in Figure 1, and series s5 is representative of a chaotic system. The
computations were performed with the package TISEAN [10], from Universities of
Dresden and Wuppertal.
There are some beautiful pictures built with the trajectory plots for regular be-
haviors. When chaoticity begins, the trajectories frequent all regions in the potential
field with the same proportion.
experienced and skilled analyst, it is impossible to draw any conjecture about that.
Figure 2d shows a more complex behavior, and we can suspect chaotic behavior but
the evidence is not conclusive yet. The spectrum presented in Figure 2e is more
representative of a chaotic behavior, and this possibility must be investigated. One
remarkable observation in these plots is the spreading of the frequency contents
when the series becomes more chaotic. There is also a growing of the low frequency
components, especially in Figure 2e.
“DynamicalSystems” — 2004/3/4 — page #324
Figure 2 Fourier transforms: (a) series s1 , quasi-periodic behavior; (b) series s2 , predom-
inantly periodic behavior; (c) series s3 , predominantly quasi-periodic behavior; (d) series
s4 , periodic behavior with irregularities growing; (e) series s5 , irregular behavior.
the first minimum in the average mutual information, the first zero crossing of the
autocorrelation function and the worst linear predictor error. The plots of average
mutual information are presented in Figure 3.
In Figure 3 it is observed that the first minimum of the average mutual infor-
mation is well defined for the quasi-periodic series (s1 , s2 , s3 , s4 ) and the chaotic
series presents a broad range of minimum values. It was decided to take the first
numerical minimum of each curve in spite of its definition difficulty. These values
are shown in the first row of Table 1 (the units are number of time steps).
Table 1
Time series s1 s2 s3 s4 s5
Time delay 10 10 14 14 17
Embedding dimension 3 3 3 4 4
Next the embedding dimension can be selected using the false nearest neighbors
method. A good embedding is obtained with dimension 3 for the first three time
series and 4 for the other two, as observed from Figure 4. These results are shown
in the second row of Table 1.
biperiodic behavior. In Figures 5b-6b and 5c-6c a finite number of periodic com-
ponents can be observed. In Figures 5d-6d there is a clear formation of a strange
attractor, and in Figures 5e-6e a chaotic behavior can be identified.
Figure 5 Theoretical Poincaré diagrams: (a) series s1 , regular attractor; (b) series s2 ,
regular attractor; (c) series s3 , regular attractor; (d) series s4 , strange attractor with
multiperiodic behavior; (e) series s5 , strange attractor with chaotic behavior.
in a deterministic process. If ergodicity exists the points cover the plane uniformly.
Recently a method of quantifying regularity in recurrence plots has been proposed,
combining it with principal component analysis [12]. Figure 10 shows recurrence
plots for the time series under investigation. We can see lines parallel to main
diagonal in plots for series s1 , s2 , and s3 . Series s4 shows some regions of the plane
“DynamicalSystems” — 2004/3/4 — page #328
Figure 6 Poincaré diagrams obtained from state space reconstruction by time delay co-
ordinates: (a) series s1 , regular attractor; (b) series s2 , regular attractor; (c) series s3 ,
regular attractor; (d) series s4 , strange attractor with multiperiodic behavior; (e) series
s5 , strange attractor with chaotic behavior.
with more density of points than others with some characteristics of regularity. For
series s5 there is an almost uniform filling of the plane with a conclusion of irregular
behavior.
“DynamicalSystems” — 2004/3/4 — page #329
Figure 7 Lyapunov exponents computation by Kantz algorithm: (a) series s1 , flat curve,
null dominant exponent; (b) series s2 , slightly growing curve, positive dominant exponent
but very close to zero; (c) series s3 , slightly growing curve, positive dominant exponent
but very close to zero; (d) series s4 , slightly growing curve, positive dominant exponent
close to zero yet; (e) series s5 , clearly growing curve, positive dominant exponent.
space distance versus time distance can be helpful in identifying when the time dis-
tance is sufficiently big that points are independent. Figure 11 presents space time
separation plots for the present time series. We choose curves constructed for a
short space distance sufficiently small to preserve the neighborhood characteristics.
There are well-defined relative times in series s1 , and s2 . Besides the separation
times observed in the previous series, s3 shows another larger time, indicating an
increasing in low frequency content, a characteristic of chaotic behavior. Series s4
still shows some regularity yet but with an increase of the large separation time.
For series s5 there is much more irregularity in the separation times, with another
conclusion of irregular behavior.
These two visualization tools have a special ability to deal with relatively short
time series. This is an important characteristic in the present investigation because
of an intrinsic difficulty in obtaining large time series in observing emissions of
gravitational waves.
4 Conclusions
This investigation of chaotic behavior in power emissions from gravitational waves
was performed to make possible the identification of this kind of behavior in mea-
surements of this variable. This identification would be useful in leading to a better
understanding of cosmic events and consequently a better understanding of the
universe itself. The possibility of chaos identification from measured variables with
reconstruction of state space with delay coordinates by computation of Poincaré dia-
grams, Lyapunov exponents, correlation dimensions, and visualization tools showed
different features. Lyapunov exponents and correlation dimension computations
seem to be very sensitive to shortness of time series. Besides, correlation dimension
“DynamicalSystems” — 2004/3/4 — page #331
Figure 10 Recurrence plots: (a) series s1 , straight lines parallel to main diagonal; (b)
series s2 , slight straight lines parallel to main diagonal, with few recurrence points; (c)
series s3 , straight lines parallel to main diagonal with some spreading of recurrence points;
(d) series s4 , some dominant regions of recurrence but a scarce number of points; (e) series
s5 , a scarce number of spreading recurrence points.
“DynamicalSystems” — 2004/3/4 — page #332
Figure 11 Space time separation plots: (a) series s1 , regular return time separations; (b)
series s2 , regular return time separation; (c) series s3 , two orders of return time separations;
(d) series s4 , irregular return time separation; (e) series s5 , irregular return time separation.
has a reasonable computation cost. In spite of these, all tools were able to give
a safe conclusion about chaotic (or, at least, irregular) behavior. More investiga-
tion has been undertaken to improve the ability to forecast chaotic situations from
measurement of power emissions of gravitational waves in Hénon–Heiles systems,
particularly trying to deal with short time series.
References
1. Thorne, K.S. (1987) Gravitational Radiation. In 300 Years of Gravitation,
S.W. Hawking, W. Israel (eds), Cambridge University Press, 330–458.
2. Kokubun, F. (1998) Gravitational Waves from the Hénon–Heiles System.
Physical Review D, 57, 2610–2612.
3. Takens, F. (1981) Detecting Strange Attractors in Turbulence. Lecture Notes
in Mathematics, 898, 366–381.
4. Packard, N.H., Crutchfield, J.P., Farmer, J.D. and Shaw, R.S. (1980) Geom-
etry from a Time Series. Physical Review Letters, 45, 712–716.
5. Fraser, A.M. (1989) Reconstructing Attractors from Scalar Time Series: a
Comparison of Singular System and Redundancy Criteria. Physica D, 34,
391–404.
6. Kennel, M.B., Brown, R. and Abarbanel, H.D.I. (1992) Determining Embed-
ding Dimension for Phase-Space Reconstruction using a Geometrical Con-
struction. Physical Review A, 45, 3403–3411.
7. Grassberger, P. and Procaccia, I. (1983) Measuring the Strangeness of Strange
Attractors. Physica D, 9, 189–208.
8. Oseledec, V.I. (1968) A Multiplicative Ergodic Theorem. Lyapunov Charac-
teristic Numbers for Dynamical Systems. Transactions of Moscow Mathemat-
ical Society, 19, 197–231.
“DynamicalSystems” — 2004/3/4 — page #333
9. Eckmann, J.-P. and Ruelle, D. (1985) Ergodic Theory of Chaos and Strange
Attractors. Review of Modern Physics I , 57, 617–656.
10. Hegger, R., Kantz, H. and Schreiber, T. (1999) Practical Implementation of
Nonlinear Time Series Methods: The TISEAN Package. Chaos, 9, 413–435.
11. Eckmann, J.-P., Oliffson Kamphorst, S. and Ruelle, D. (1987) Recurrence
Plots on Dynamical Systems. Europhysics Letters, 4, 973.
12. Zbilut, J.P., Giuliani, A. and Webber, C.L., Jr. (1998) Recurrence Quantifi-
cation Analysis and Principal Components in the Detection of Short Complex
Signals. Phys. Lett. A, 237, 131–135.
13. Provenzale, A., Smith, L.A., Vio, R. and Murante, G. (1992) Distinguish-
ing Between Low-Dimensional Dynamics and Randomness in Measured Time
Series. Physica D, 58, 31.
“DynamicalSystems” — 2004/3/4 — page #334
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PART III
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1 Introduction
Many diseases, such as gonorrhea, syphilis, and tuberculosis, cannot be totally
eradicated, due to several limitations of public health policies. The aim of this
paper is to study an uncertain model of communicable disease, with the assumption
of constant screening rate. For a given screening rate, we characterize the residual
ratio of infected population. We use two population models of dynamic evolution of
the disease under parameter uncertainty, similar to the one used in [1]. In particular,
it takes into account temporal variation of disease communication.
We shall estimate the attractor of the uncertain dynamics modelling gonorrhea
evolution by using tools from viability theory. We shall prove that the endemic
stage of gonorrhea can be characterized by the universal attractor of an uncertain
dynamical system. Furthermore, we shall provide upper and lower estimates of
“DynamicalSystems” — 2004/3/5 — page #338
this set, which we can compute by using numerical tools devoted to viability kernel
approximation.
2 Problem Statement
2.1 Modeling gonorrhea transmission
The model used in this paper is similar to the one used in [1]. We consider the
spread of gonorrhea among the sexually mature male and female populations.
A model without intervention is:
I1 = a1 I2 (1 − I1 ) − d1 I1 ,
(1)
I2 = a2 I1 (1 − I2 ) − d2 I2 ,
where a1 > 0, a2 > 0, 0 < d1 < d1 , and 0 < d2 < d2 are known constants, and
D ([α, β]) is the set of measurable functions ranging the interval [α, β].
With intervention, the model becomes
I1 (t) = a1 (t)I2 (t) (1 − I1 (t)) − d1 (t)I1 (t) − s1 (t)b1 (t)I1 (t) ,
(3)
I2 (t) = a2 (t)I1 (t) (1 − I2 (t)) − d2 (t)I2 (t) − s2 (t)b2 (t)I2 (t) ,
where s1 (t) and s2 (t) are controls representing screening rates for population 1
and 2. Denoting by N1 (t) and N2 (t) the sizes of the populations, N1 (t)s1 (t) and
N2 (t)s2 (t) are the numbers of, respectively, individuals of each sex to be screened
at time t. Limitations in facilities and medical staff induce a control constraint;
that is
0 ≤ s1 (t) ≤ s1 and 0 ≤ s2 (t) ≤ s2 , (4)
where s1 and s2 are known bounds. The screening efficiency coefficients b1 (t) and
b2 (t) are also allowed to be uncertain, that is:
b1 (·) ∈ D b1 , b1 and b2 (·) ∈ D b2 , b2 , (5)
Set s1 (t) = s1 and s2 (t) = s2 satisfying (4). Then the controlled system can be
written as 1
I1 = a1 I2 (1 − I1 ) − c1 I1 := f1 (I1 , I2 , a1 , c1 ) ,
(6)
I2 = a2 I1 (1 − I2 ) − c2 I2 := f2 (I1 , I2 , a2 , c2 ) ,
with
c1 = d1 + s1 b1 and c2 = d2 + s2 b2 ,
(8)
c =d +s b and c2 = d2 + s2 b2 ,
1 1 1 1
and, as before,
where I = (I1 , I2 )T is the state vector, and the set-valued dynamics are given by
F1 (I1 , I2 ) = f1 (I1 , I2 , a1 , c1 ) ,
a1 ∈[0,a1 ]
c1 ∈[c1 ,c1 ]
F2 (I1 , I2 ) = f2 (I1 , I2 , a2 , c2 ) .
a2 ∈[0,a2 ]
c2 ∈[c2 ,c2 ]
We shall denote by SF (I0 ) the set of all the absolutely continuous solutions to
differential inclusion (10) starting at I0 . Notice that I(·) ∈ SF (I0 ) means that there
exists a set of admissible measurable functions a1 (·), a2 (·), c1 (·), and c2 (·) such that
I(·) is the solution to (6) starting at I0 .
It is well known that absolutely continuous solutions of (1) coincide with abso-
lutely continuous solutions of (10).
As the sets of admissible parameters are closed and convex, we know that the dy-
namics F is Marchaud.2 Therefore the differential inclusion (10) admits absolutely
continuous solutions.
In the following, we shall assume that the control rates s1 and s2 are fixed.
Let T be the region of admissible states, that is
T = {(I1 , I2 ) : 0 ≤ I1 ≤ 1 and 0 ≤ I2 ≤ 1} .
Proof: The set of uncertain parameters a1 (t), a2 (t), c1 (t), and c2 (t) may take on
the constant values
a1 (t) ≡ a01 , c1 (t) ≡ c01 ,
a2 (t) ≡ a02 , c2 (t) ≡ c02 .
Since the parameters are constant, I 0 is a GAS equilibrium point for this realization
of the uncertain system (6).
Let us denote by E the closed set of equilibrium points of system (6); that is
a1 a2 − c1 c2 a1 a2 − c1 c2
E := , , (14)
a2 (a1 + c1 ) a1 (a2 + c2 )
(a1 ,a2 ,c1 ,c2 )∈P
where P denotes the subset of [0, a1 ]×[0, a2 ]×[c1 , a1 ]×[c2 , a2 ] such that c1 c2 ≤ a1 a2 .
It is possible to find an analytical characterization of the boundary of E. Indeed,
E = {I : 0 ∈ F (I)}, and we observe that
min F1 (I1 , I2 ) = −c1 I1 and max F1 (I1 , I2 ) = a1 I2 (1 − I1 ) − c1 I1
a1 ,c1 ∈P a1 ,c1 ∈P
0.8
0.6
I2
0.4
0.2
0
0 0.2 0.4 0.6 0.8 1
I1
c2 1
sup {ν.(y1 , y2 )T } = sup {−y1 } + sup y2 =
(y1 ,y2 )∈F (I1 ,I2 ) y1 ∈F1 (I1 ,I2 ) a2 (1 − I2 )2 y2 ∈F2 (I1 ,I2 )
“DynamicalSystems” — 2004/3/5 — page #343
= c1 I1 > 0 . (18)
Therefore, there exists at least one trajectory leaving E from (I1 , I2 ). We deduce
the following:
Proposition 3 The invariance kernel of the set of equilibria of system (10) is
empty.
We now state a finite time convergence result, that will be very useful for charac-
terizing the attractor of system (10). For the sake of concision, its proof is postponed
to the Appendix.
Proposition 4 Let ε > 0, and define B(E, ε) := {I ∈ T | d(I, E) ≤ ε}. Then,
there exists a finite time T such that for all solutions I(·) of (10), originating
from T , I(T ) ∈ B(E, ε).
For a given ε > 0, B(E, ε) does not enjoy the invariance property, but any
invariant set containing B(E, ε) entraps all solutions to (10) in the sense that every
trajectory reaches this set in finite time and remains inside hereafter. Furthermore,
if we can find a “small” invariant set containing B(E, ε) for some sufficiently small
ε, it will be a good estimate of the attractor.
of its cluster points when t → +∞ is the limit set of x(·). We denote by ωF (K) the
set of cluster points of all solutions of (10) starting from K.
The universal attractor of T under F is the closed subset AF (T ) := ωF (T ).
Let C ∈ T be a closed set. Then C attracts the point I0 ∈ T if and only if
∀I(·) ∈ SF (I0 ), lim d(I(t), C) = 0 .
t→+∞
The set of all points attracted by C is called the basin of attraction of C. It will be
denoted by AttrF (C).
Proposition 5 AF (T ) is the smallest closed set K verifying AttrF (K) = T .
Proof: Clearly, AttrF (AF (T )) = T . Let us show that any closed subset K such
that AttrF (K) = T is a superset of AF (T ).
Let I0 ∈ AF (T ). Then I0 is a cluster point of at least one trajectory, say I(·).
Hence, there exists a sequence (tn )n∈IN , such that lim I(tn ) = I0 . As K at-
n→+∞
tracts T , lim dK (I(tn )) = 0.
n→+∞
Theorem 1 “DynamicalSystems” — 2004/3/5 — page #344
Using the results proved in [5], we know that, if F is Lipschitz with non-empty
closed values and if K ⊂ IR2 is a closed subset such that K = Int (K), then
EnvF (K) = IR2 \ Inv−F K̂ where K̂ := IR2 \ K , (20)
0.8
0.6
I2
}
0.4 En vF ( E)
0.2
0
0 0.2 0.4 0.6 0.8 1
I1
Figure 2 The set of equilibria E and its invariance envelope (a1 = 0.04, c1 = 0.025,
a2 = 0.08, c2 = 0.0125).
points reachable from B(E, ε). Therefore, EnvF (B(E, ε)) is a superset of the at-
tractor. Actually, we can derive an upper estimate and a lower estimate of the
universal attractor of system (10).
(ii) For any ε > 0, for any initial condition x0 ∈ T and for all solutions x(·) ∈
SF (x0 ), there exists a finite time T such that x(T ) ∈ B (E, ε), where E denotes
the set of equilibrium points, E := {x | {0} ∈ F (x)}.
0 ≤ t ≤ T1 x(t) = x1 (t)
T1 ≤ t ≤ T1 + T x(t) = y1 (t − T1 )
T1 + T ≤ t ≤ T1 + T2 + T x(t) = x2 (t − (T1 + T ))
T1 + T 2 + T ≤ t ≤ T1 + T2 + 2T x(t) = y2 (t − (T1 + T2 + T ))
.. ..
. .
n−1
n
Ti + (n − 1)T ≤ t ≤ Ti + (n − 1)T
i=1 i=1
n−1
x(t) = xn (t − ( Ti + (n − 1)T ))
i=1
n
n
Ti + (n − 1)T ≤ t ≤ Ti + nT
i=1 i=1 n
x(t) = yn (t − ( Ti + (n − 1)T ))
i=1
n
For integer n set tn = Ti + nT . Then ∀n ∈ IN , x(tn ) = xn+1 ∈ B (x0 , 1/(n + 1)).
i=1
Hence, lim x(tn ) = x0 . Which means that x0 is a cluster point of x(·).
n→∞
“DynamicalSystems” — 2004/3/5 — page #347
0.8
0.2
0
0 0.2 0.4 0.6 0.8 1
I1
5 Conclusion
We have proved that the attractor of the uncertain system modeling a disease evo-
lution law can be estimated by using the invariance envelope of the set of equilibria.
Our approach does not require knowledge of a Lyapunov function. By using numer-
ical algorithms from viability theory we can approximate estimates of the attractor
for a given screening rate. One could therefore determine what screening policy is
desirable, in examining the attractor graph versus screening rate.
C2
z D2
0.8
D1 I
C1
0.6
I2
D4 D3
0.4
0.2 I
B (E 0:1)
0
0 0.2 0.4 0.6 0.8 1
I1
Assume that α1 > 0 and α2 > 0 are such that D4 ⊂ B(E, ε). We observe that
∀(I1 , I2 ) ∈ D1 ∪ D2 , I2 ≤ −α2 and that ∀(I1 , I2 ) ∈ D2 ∪ D3 , I1 ≤ −α2 .
Let I 0 ∈ D1 ∪ D2 and I(·) ∈ SF (I0 ), a solution to (10). Assume that there
exists T > 0 such that ∀t ≤ T, I(t) ∈ D1 ∪ D2 . Now, ∀t ≤ T, I2 (t) ≤ −α2 , and then
∀t ≤ T, I2 (t) ≤ I0 − α2 t. As I is bounded and T is invariant under F , I(t) has to
reach C2 in a finite time τ . Either I(τ ) ∈ D4 and then I(τ ) ∈ B(E, ε), or I(τ ) ∈ D3 .
Similarly, we can prove that every trajectory originating in D2 ∪ D3 reaches C1
in finite time. We deduce that if a solution I(·) to (10) never reaches D4 , then it
has to cross C1 and C2 an infinite number of times. That is, there exists a time
sequence (ti )i=1,N such that,
I(t2p ) ∈ C1 ∩ D3 ∀t ∈ [t2p , t2p+1 ] , I(t) ∈ D2 ∪ D3 ,
∀p ∈ IN , and
I(t2p+1 ) ∈ C2 ∩ D1 ∀t ∈ [t2p+1 , t2p+2 ] , I(t) ∈ D2 ∪ D1 .
Now we prove that this trajectory cannot lie outside of B(E, ε) forever.
Let p ∈ IN . Let t∗p := sup {t : I(t) ∈ D3 }. Because I(·) is continuous, we know
t∈[t2p ,t2p+1 ]
that I(t∗ ) ∈ C2 , and ∀ ∈ [t∗p , t2p+2 ], I(t) ∈ D2 ∪ D1 . Notice that I2 (t∗ ) < I2 (t2p ).
“DynamicalSystems” — 2004/3/5 — page #349
References
1. Corless, M. and Leitmann, G. (2000) Analysis and Control of a Communicable
Disease. Nonlinear Analysis, 40 (1), 145–172.
2. Aubin, J.-P. (1991) Viability Theory. Birkhauser, Boston.
3. Lajmanovich, A. and Yorke, J.A. (1976) A Deterministic Model for Gonorrhea
in a Nonhomogeneous Population. Mathematical Biosciences, 28, 221–236.
4. Aubin, J.-P. (1998) Dynamic Economy Theory – A Viability Approach.
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des Sciences I , vol. 318, pp. 343–347, Paris.
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and Control. Lecture Notes in Biomathematiques, No. 56, Springer-Verlag,
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“DynamicalSystems” — 2004/3/5 — page #350
“DynamicalSystems” — 2004/3/4 — page #351
The liar paradox problem is studied within the fuzzy context. By tracing the
argument which really explains why the liar paradox is a paradox, we suggest
a framework to analyze it. This involves the analysis of the truth values of
fuzzy implications. The result is compared with Zadeh’s proposal, which is
the only past work on the same subject.
1 Introduction
The modern version of the classic liar paradox centers around the following (self-
referential) sentence: This sentence is false. If the sentence is true, then it is false. If
the sentence is false, then this sentence is false is false. This must mean the sentence
is true. The effort of invoking the classical two-valued logic and later three-valued
logic in resolving this paradox is well summarized in [1] and [2, Chap. 9] and their
bibliographies.
Zadeh [3] is the first in casting the liar paradox into the fuzzy framework.
With his unique translation that the liar paradox is a proposition p such that
p := p is f alse, Zadeh proposed the truth-qualification principle. The principle
in turn provides a mechanism for the computation of the possibility distribution of
the truth of p.
It is interesting to note that, despite significant progress in the fuzzy community
on many other subjects in latest years, Zadeh’s proposal in resolving the liar paradox
via fuzzy logic still remains the only work.
The paper endeavors to retrace the origin of the paradox. By examining the
argument which really explains why the liar paradox is a paradox, a new framework
“DynamicalSystems” — 2004/3/4 — page #352
which invokes the truth values of fuzzy implications is suggested. Within the frame-
work, we reevaluate the status of the liar paradox and its legitimacy. A comparison
with Zadeh’s result is made. The framework is applicable to both self-referential
and non-self-referential forms of the liar paradox.
2 Preliminaries
Let X be a variable taking values in a universe of discourse U ⊆ R. Let F be a
normal fuzzy set in U which is characterized by the membership function µF : U →
[0, 1]. If u is a point in U , µF (u) is the grade of membership of u. The possibility
that X may take the value u is a number in [0, 1], denoted by πX (u), which is
assigned numerically equal to µF (u). That is,
P ossibility (X = u) = πX (u) = µF (u) ∀u ∈ U . (2.1)
The mapping πX : U → [0, 1] is called the possibility distribution function.
Let p be a proposition of the form
X is F. (2.2)
We write
πX (u) = µF (u) (2.3)
as a translation of (2.2).
The simplest form of the liar paradox can be represented by
p is (p is τ ) (2.4)
where τ is a truth qualifier (such as true, false, very true, not quite true, more or
less true, etc., each of which corresponds to a fuzzy set on [0, 1]). This is called the
liar paradox in the self-referential form.
Let π : U → [0, 1] denote a possibility distribution function. Let also
πτ : [0, 1] → [0, 1] denote the possibility distribution function of a truth qualifier τ
on [0, 1]. The possibility distribution of p is τ is given by πτ (πp (u)), u ∈ U .
We say that the proposition p is τ is truth-qualified. The truth value (or the
degree of truth) of the proposition for each u ∈ U is given by πτ (πp (u)).
As an example, X may stand for Susan’s age, F may stand for young, and τ
may stand for very true. Thus p is τ may stand for Susan’s age is young is very
true or in short, Susan is young is very true.
A fuzzy complement is a mapping c(·) : [0, 1] → [0, 1] such that c(0) = 1 and
c(1) = 0. This is often used to negate a fuzzy set. A fuzzy implication is a mapping
I : [0, 1] × [0, 1] → [0, 1] such that I(1, 1) = I(0, 1) = I(0, 0) = 1, I(1, 0) = 0.
This is often used to assign the truth value to a fuzzy conditional proposition. A
summary of various forms of fuzzy complement and fuzzy implication can be found
in, e.g., [4, p. 309]. We note that a number of axioms are often used to legitimize the
implications (and different implications are based on different axioms). However,
they are not needed in the following work. Therefore as far as the analysis of the
current paper is concerned, none of the axioms is addressed. They are, however,
important in understanding the basis of fuzzy implications.
Consider a mapping f : D → D where D ⊂ Rn . A point x ∈ D is called a fixed
point if f (x) = x.
“DynamicalSystems” — 2004/3/4 — page #353
p := p is τ, (3.1)
where := stands for “is defined to be.” This interpretation is the basis for any further
development. Based on this, Zadeh proposed the truth-qualification principle which
asserts that for (3.1)
πp (u) = πτ (πp (u)), u∈U. (3.2)
This in turn implies that πp (u), which denotes the value of the mapping πp (·) at a
given u ∈ U , is a fixed point of the mapping πτ (·). For example, suppose πτ (v) = v
(and hence τ denotes true), then (3.2) is
which holds for all u ∈ U . This means that the proposition p is true holds for any
u such that the proposition p holds.
For another example, suppose that τ denotes f alse with πτ (v) = 1 − v ∀v ∈ U
(and hence a special case of the fuzzy complement c(·)), then (3.2) is
This, of course, only holds for the u ∈ U (if it exists) such that πp (u) = 1/2 .
4 An Alternative Interpretation
Zadeh’s interpretation is based on the direct translation of (2.4) to (3.1). In this
section, we shall endeavor to explore an alternative interpretation.
Our starting point is the root of the paradox. Consider the special case that τ
denotes f alse. Eq. (2.4) is
p is (p is f alse) . (4.1)
The paradox occurs when one tries to decide if p is true or f alse by the “IF...THEN”
proposition (i.e., the conditional proposition).
If p is true, then by (4.1), p is false is true. This in turn means p is false. If p
is false, then by (4.1), p is false is false. This in turn means p is true. In summary,
we have the following two conditional propositions:
We now propose a new aspect to interpret (4.2) and (4.3). The possibility
distribution of the proposition p is true is πp (u), u ∈ U . Also, by adopting the
fuzzy complement: πτ (v) = c(v), v ∈ U , we propose the possibility distribution of
the proposition p is false to be πτ (πp (u)) = c(πp (u)), u ∈ U .
Next, for a fuzzy implication I : [0, 1] × [0, 1] → [0, 1], the truth value of the
conditional proposition (4.2) is given by I(πp (u), c(πp (u))) [4]. Similarly, the truth
value of the conditional proposition (4.3) is given by I(c(πp (u)), πp (u)). We now
claim that (4.2) and (4.3), which are interpretations of (4.1), must be equally true
in the sense that their truth values are identical. That is,
This is justified by the fact that both (4.2) and (4.3) are derived from (4.1). Their
status is symmetrical in the sense that one provides as much truth as the other.
Our problem is to solve (4.4) for πp (u). The solution πp (u) then serves as the truth
value of p that justifies the paradox (4.1).
I(πp (u), c(πp (u)) = I(πp (u), πp (u)) = I(c(πp (u)), πp (u)) . ¤
Remark: This result is independent of the use of any particular form of the fuzzy
implication I(·).
1−a
c(a) = , λ ∈ (−1, ∞) . (4.6)
1 + λa
We can express (4.5) as
1 − πp (u)
πp (u) = . (4.7)
1 + λπp (u)
To solve for πp (u), suppose first that λ 6= 0, then
or
λπp2 (u) + 2πp (u) − 1 = 0 . (4.9)
This leads to
1 √
πp (u) = (−1 ± 1 + λ) . (4.10)
λ
“DynamicalSystems” — 2004/3/4 — page #355
Since πp (u) ≥ 0, we neglect the minus sign in front of the square root and hence
1 √
πp (u) = (−1 + 1 + λ) . (4.11)
λ
The value
√ of πp (u) is dependent on λ. For example, as λ = 1, then πp (u) =
−1 + 2 ≈ 0.41.
If λ = 0, then (4.7) leads to
1
πp (u) = . (4.12)
2
This is the same as [3].
Suppose, instead, we adopt the Yager class of fuzzy complement [4]:
p is (p is τ ) . (5.1)
One intends to decide if p is α or β.
This setting subsumes the previous section as a special case. For example, if
τ and α both denote f alse and β denotes true, then this setting returns to the
previous section. Notice that the paradox has a strong connection with what one
wants to decide (i.e., if p is α or β).
We proceed with the analysis of (5.1) by a similar procedure. If p is α, then p is
τ is α. This in turn means the truth value of this fuzzy conditional proposition is
given by I(πα (πp (u)), πα (πτ (πp (u)))). If p is β, then p is τ is β. This in turn means
the truth value of this fuzzy proposition is given by I(πβ (πp (u)), πβ (πτ (πp (u)))).
Upon arguing that the truth values of both conditional propositions are equal, we
have
I(πα (πp (u)), πα (πτ (πp (u)))) = I(πβ (πp (u)), πβ (πτ (πp (u)))) . (5.2)
“DynamicalSystems” — 2004/3/4 — page #356
Definition 1 (i) The liar paradox (5.1) is α–β–τ legitimate if there is at least
one solution πp (u), where u ∈ U , to (5.2).
(ii) Suppose that the liar paradox (5.1) is α–β–τ legitimate. The value(s) of I in
(5.2) is the I-truth value(s) of the liar paradox.
(ii) If the liar paradox (5.1) is α–β–τ legitimate, then it is also β–α–τ legitimate.
To be more specific about the existence of the solution, we now turn to a few
special choices of α, β, and τ . Let us first consider that α denotes true (and hence
πα (v) = v) and β denotes τ (and hence πβ (v) = πτ (v)). Equation (5.2) is reduced
to
I(πp (u), πτ (πp (u))) = I(πτ (πp (u)), πτ (πτ (πp (u)))) . (5.3)
The liar paradox problem considered in the previous section is in fact a special case
of the current consideration by specializing τ to be f alse. For the solution of (5.3),
the following theorem (see, e.g., [5]) is instrumental.
Theorem 2 Any continuous mapping πτ : [0, 1] → [0, 1] has at least one fixed point.
Remark: This is in fact a special case of the well-known Brouwer fixed-point the-
orem (see, e.g., [5]). Although the theorem does not provide any explicit expression
for the fixed point, it is a standard numerical task to solve for it. Methods such as
bisection and Newton–Raphson can be used.
I(πτ (πp (u)), πτ (πτ (πp (u)))) = I(πτ (²), πτ (πτ (²))) = I(², πτ (²)) = I(², ²) . (5.6)
“DynamicalSystems” — 2004/3/4 — page #357
Remark: In Zadeh’s work in [3], the fixed point(s) of the mapping πτ (·), which
is the sufficient condition for (5.3), was suggested to be the solution (to the truth-
qualification principle). The current result coincides with Zadeh’s in this sense. We
note, however, that Zadeh’s reasoning started with (3.1) (instead of (5.2)), which
was in fact his rather unique interpretation of the liar paradox. One cannot be more
amazed by Zadeh’s insight!
The fixed point, which is a sufficient condition for the legitimacy, does not need
to be necessary. This is illustrated as follows.
The fixed point is πp (u) = 0 (note that πτ (0) = 0), which is a solution to (5.3) since
In addition, the point πp (u) = 0.2 (and hence πτ (0.2) = 0.1, πτ (πτ (0.2)) = 0.01)
also solves (5.3). This is easily shown, since at this point, (5.3) is
We next turn to another special choice of α–β–τ : let α be τ and β be c(τ ). Here
c(τ ) stands for the fuzzy complement [4] of τ . For example, if τ denotes more or
less true, then c(τ ) denotes not more or less true. In the special case that τ denotes
true and c(v) = 1 − v (which is, of course, a way to denote f alse), the interpretation
of if p in (5.1) is τ or c(τ ) is the same as if p in (4.1) is true or f alse.
Equation (5.2) is reduced to
I(πτ (πp (u)), πτ (πτ (πp (u)))) = I(c(πτ (πp (u))), c(πτ (πτ (πp (u))))) . (5.11)
then the equation (5.11) has at least one solution, which is the fixed point of πτ (·).
This in turn means that (5.1) is τ –c(τ )–τ legitimate.
“DynamicalSystems” — 2004/3/4 — page #358
Proof: Let the fixed point of πτ (·) be denoted by ². Under this fixed point,
Eq. (5.11) is given as (note that πτ (²) = ², πτ (πτ (²)) = πτ (²) = ²)
Example. Suppose that πτ (v) = v 2 , v ∈ [0, 1] (and hence τ is very true), πp (u) =
sin u, u ∈ U = [0, π]. The mapping πτ (·) is continuous, and the mapping πp (·) is
surjective. There is a fixed point of the mapping πτ (·), which is v = 1. This occurs
as u = π/2. Consider the Gödel implication [4, p. 305]
(
1 if a ≤ b ,
I(a, b) = (5.14)
b if a > b .
It is obvious that 1 = I(l1 , l1 ) = I(l2 , l2 ) = · · · for all l1 , l2 · · · ∈ [0, 1]. Hence the
liar paradox is τ –c(τ )–τ legitimate and its I-truth value is 1. Note that the result
is independent of any specific form of c(·).
X is (Y is f alse) ,
(6.1)
Y is (X is true) .
As was mentioned in the last section, the paradox is closely related to what one
wants to decide about X and Y . Let us say we wish to consider if X and Y are true
or false. First, consider that X is true. This means that Y is false is true. That is,
Y is false. However, what Y says is that X is true. Therefore, we conclude that,
since Y is false, X is true is false. That is, X is false.
Second, consider that X is false. This means that Y is false is false. That is, Y
is true. However, what Y says is that X is true. Therefore, we conclude that, since
Y is true, X is true is true. That is, X is true. In summary, we have the following:
The reasoning of the true or false of Y can be carried out in a similar way. We can
also conclude that
If X is true , then Y is f alse ;
(6.4)
If Y is f alse , then X is true ,
and hence
I(πY (u), c(πY (u))) = I(c(πY (u)), πY (u)) . (6.5)
Here πY (u) denotes the possibility distribution of Y (and hence X is false is
c(πX (u))).
Theorem 5 Suppose that there is a u ∈ U such that
c(πX (u)) = πX (u), c(πY (u)) = πY (u) . (6.6)
Then πX (u) and πY (u) solve (6.3) and (6.5).
Proof: Similar to Theorem 1 and is omitted. ¤
In the most general setting, the non-self-referential form of the liar paradox can
be represented by
X is (X is γ) ,
(6.7)
Y is (Y is δ) .
Here both γ and δ are truth values. One intends to decide if X and Y are α or
β. If X is α, i.e., Y is γ is α, then X is δ is γ is α. The truth value of this fuzzy
conditional proposition is given by I(πα (πX (u)), πα (πγ (πδ (πX (u))))). If X is β,
i.e., Y is γ is β, then X is δ is γ is β. The truth value of this fuzzy conditional
proposition is given by I(πβ (πX (u)), πβ (πγ (πδ (πX (u))))). Again, the truth values
of both fuzzy conditional propositions are argued to be identical:
I(πα (πX (u)), πα (πγ (πδ (πX (u))))) = I(πβ (πX (u)), πβ (πγ (πδ (πX (u))))) . (6.8)
Similarly, by deciding on whether Y is α or β, we also arrive at the following:
I(πα (πY (u)), πα (πδ (πγ (πY (u))))) = I(πβ (πY (u)), πβ (πδ (πγ (πY (u))))) . (6.9)
Remark: Note that the order of πγ and πδ is reversed from (6.8) to (6.9).
Definition 2 The liar paradox (6.7) is α–β–γ–δ legitimate if there is at least one
solution pair (πX (u), πY (u)), where u ∈ U , to (6.8) and (6.9).
Remark: The liar paradox (6.1) addressed in Theorem 5 is true–f alse–f alse–true
legitimate.
To explore further on the existence of solutions, we consider the special case that
both α and δ denote true and both β and γ denote τ . This consideration renders
(6.1) a special case since the latter is nothing but τ denotes f alse. Equations (6.8)
and (6.9) are reduced to
I(πX (u), πτ (πX (u))) = I(πτ (πX (u)), πτ (πτ (πX (u))))) , (6.10)
I(πY (u), πτ (πY (u))) = I(πτ (πY (u)), πτ (πτ (πY (u))))) . (6.11)
“DynamicalSystems” — 2004/3/4 — page #360
Theorem 6 Suppose that πX (u) = πY (u) ∀u ∈ U and the mapping πX (·) is sur-
jective. Suppose also that πτ (·) is continuous. The fixed point of πτ (·) is a solution
to (6.10) and (6.11). This in turn shows that (6.7) is true–τ –τ –true legitimate.
Proof: Similar to that of Theorem 3 and is omitted. ¤
Next we consider another special case, that both α and γ denote τ , β de-
notes c(τ ), and δ denotes true. Equations (6.8) and (6.9) are reduced to
I(πτ (πX (u)), πτ (πτ (πX (u)))) = I(c(πτ (πX (u))), c(πτ (πτ (πX (u))))) , (6.12)
I(πτ (πY (u)), πτ (πτ (πY (u)))) = I(c(πτ (πY (u))), c(πτ (πτ (πY (u))))) . (6.13)
Theorem 7 Suppose that πX (u) = πY (u) ∀u ∈ U and the mapping πX (·) is sur-
jective. Suppose also that πτ (·) is continuous. If I(·) is such that
I(l1 , l1 ) = I(l2 , l2 ) = · · · , ∀l1 , l2 · · · ∈ [0, 1] , (6.14)
then the fixed point of πτ (·) is a solution to (6.12) and (6.13). This in turn shows
that (6.7) is τ –c(τ )–τ –true legitimate.
Proof: Similar to that of Theorem 4 and is omitted. ¤
Remark: The fixed point(s) in Theorem 7 and 8 only provides a sufficient (but
not necessary) condition for the solution. There may be other solutions to the liar
paradox.
Theorem 8 (i) If the liar paradox (6.7) is α–β–γ–δ legitimate, then it is also
β–α–γ–δ legitimate.
(ii) The liar paradox (6.7) is always α–α–γ–δ legitimate.
(iii) Suppose that πγ (πδ (v)) = v and πδ (πγ (v)) = v. This means that πγ (·) and
πδ (·) are the inverse of each other. If I(·) meets (6.14), then the liar paradox
(6.7) is α–β–γ–δ legitimate.
Proof: (i): Only reverse α and β in (6.8) and (6.9). (ii): Equations (6.8) and (6.9)
are reduced to
I(πα (πX (u)), πα (πγ (πδ (πX (u))))) = I(πα (πX (u)), πα (πγ (πδ (πX (u))))) , (6.15)
I(πα (πY (u)), πα (πδ (πγ (πY (u))))) = I(πα (πY (u)), πα (πδ (πγ (πY (u))))) . (6.16)
(iii): Equations (6.8) and (6.9) are reduced to
I(πα (πX (u)), πα (πX (u))) = I(πβ (πX (u)), πβ (πX (u))) , (6.17)
I(πα (πY (u)), πα (πY (u))) = I(πβ (πY (u)), πβ (πY (u))) . (6.18)
¤
Remark: The analysis in this paper is generic. It does not depend on any specific
choice of fuzzy implications I(·). One might wonder what is then the “best” choice
of I(·). The issue, however, is not defined until the associated “cost,” which is to
be minimized, is given. In the current framework, all fuzzy implications are valid
for analysis.
“DynamicalSystems” — 2004/3/4 — page #361
7 Conclusion
By tracing the argument which really explains why the liar paradox is a paradox,
we suggest a new framework for its analysis. The framework is formulated by
invoking the truth values of a fuzzy implication. The problem is to decide the
α–β–τ legitimacy (for the self-referential form) or the α–β–γ–δ legitimacy (for the
non-self-referential form). In the analysis of the self-referential form, Zadeh’s result
coincides with the sufficient condition of the true–τ –τ legitimacy. This reaffirms
Zadeh’s accuracy (and of course insight) in his interpretation of the liar paradox.
The framework is general enough that it is also applicable to the non-self-referential
form. The main contribution of the paper is, judging from this, a proposal for a
new framework. Some other logic issues, such as Russell’s Paradox, Santa Sentences,
Antistrephon, Size Paradoxes, Game Paradoxes, and Cantor’s Paradox (see., e.g.,
[6]), can be further studied in this framework. This may help to provide new
perspectives on some long-lasting debates in this area.
References
1. Martin, R.L. (1970) The Paradox of the Liar . Yale University Press, New
Haven and London.
2. Kirkham, R.L. (1995) Theories of Truth. The MIT Press, Cambridge and
London.
3. Zadeh, L.A. (1979) Liar’s Paradox and Truth-Qualification Principle. Elec-
tronics Research Laboratory Memorandum M79/34, University of California,
Berkeley; also in G.J. Klir, B. Yuan (1996, eds) Fuzzy Sets, Fuzzy Logic, and
Fuzzy Systems: Selected Papers by Lotfi A. Zadeh. World Scientific Publish-
ing, Singapore, pp. 449–463.
4. Klir, G.J. and Yuan, B. (1995) Fuzzy Sets and Fuzzy Logic: Theory and Ap-
plications. Prentice-Hall, Upper Saddle River, New Jersey.
5. Marsden, J.E. and Hoffman, M.J. (1993) Elementary Classical Analysis, Sec-
ond Edition. W.H. Freeman and Company, New York.
6. Falletta, N. (1983) The Paradoxicon. Doubleday and Company Inc., Garden
City, New York.
“DynamicalSystems” — 2004/3/4 — page #362
“DynamicalSystems” — 2004/3/4 — page #363
Pareto-Improving Cheating
in an Economic Policy Game
Christophe Deissenberg 1†
and Francisco Alvarez Gonzalez 2
1
CEFI, UMR CNRS 6126, Université de la Méditerranée (Aix-Marseille II)
Château La Farge, Route des Milles, 13290 Les Milles, France
Tel: +(33) 4 42 93 59 93, Fax: +(33) 4 42 38 95 85
E-mail: [email protected]
2
Dpto. Economia Cuantitativa, Universidad Complutense, Madrid, Spain
1 Introduction
One of the most ubiquitous and stable characteristics of policy-making appears to be
that decision-makers repeatedly make announcements and promises that they later
do not respect. Based on previous experience, private agents are fully aware that the
promises they hear are unlikely to be kept. Yet, the governmental announcements
are not neutral. They have an impact on the private agents’ decisions.
† Corresponding author.
“DynamicalSystems” — 2004/3/4 — page #364
One may wonder why announcements that are suspected from the onset not
to be respected are not totally disregarded. In this paper, we analyze a situation
where these announcements are taken into account because, although it is known
that they will be violated, they contain useful information that may allow the agents
to increase their welfare. Specifically, they may help as a device to coordinate a
superior outcome that would not otherwise result from the interplay between gov-
ernment and private sector. Clearly, there are presumably many other mechanisms
that may explain the real impact of deceitful announcements. These additional or
alternative explanations will not be reviewed here.
The approach we suggest – introducing reinforcement learning in a repeated
reversed Stackelberg game – can be and has been applied to many other socio-
economic problems. We present it here in the context of a modified version of
the so-called Kydland–Prescott model – a model that is famed in the economic
literature for having popularized a diametrically opposed point of view, namely,
that the inability of a government to commit to its announcements necessarily
implies a very poor economic outcome.
The paper is organized as follows. We first present the version of the Kydland-
Prescott model used in this paper and the main conclusions usually drawn thereof
in the related literature. Based on perceived ambiguities in the standard analysis,
we then reinterpret the underlying static game between the government and the
private sector, and present the concepts of optimal and pareto-improving cheating
strategies, that are central to the further analysis. In the next section, the static
game is used to define a repeated game between a government that makes opti-
mally false announcements, and a single private agent that learns whether or not
to disregard these announcements. The last section concludes.
private sector F , whereby the private sector uses x as instrument and has the payoff
function:
1h 2
i
J F = − (y − x) + y 2 . (3)
2
Thus, the goal of the private sector F is to minimize the sum of (squared) inflation
y and of the prediction error |y − x| on inflation.
The unemployment is supposed to depend upon inflation through an expecta-
tions augmented Phillips curve:
U = U ∗ − θ (y − x) , (4)
where U ∗ > 0 is the natural rate of unemployment, and θ > 0 is a parameter. This
last equation asserts that unemployment U deviates from its natural rate only when
the private sector anticipates incorrectly the inflation rate, x 6= y. Following [4] and
with inconsequential loss of generality, we assume in this paper that θ = 1. Thus,
taking into account (4), J L can be rewritten as:
1h ∗ 2
i
JL = − (U + x − y) + y 2 . (5)
2
1 ∗
T L , arg max J L = (U + x) , (6)
y 2
That is, the best the government can do if the private sector chooses x is to choose
y = 1/2 (U ∗ + x). Likewise, the best the private sector can do is to predict y if the
government chooses y, that is, to make a perfect prediction.
There are several standard solution concepts associated with the so-defined
game. Two of them have been traditionally studied in the context of the Kydland–
Prescott model, namely, the Nash equilibrium (N ) and the Stackelberg equilibrium
with L as a leader (SL).
The Nash equilibrium N is given when each player chooses a best response to the
action of his opponent, that is, by a pair of mutual best responses. In other words,
the Nash equilibrium is defined by the intersection of the best response functions
T L and T F . It is given by:
¡ ¢
xN = y N = U ∗ , J L,N , J L y N , xN = −U ∗ 2 ,
(8)
¡ ¢ U ∗2
J F,N , J F y N , xN = − .
2
The Stackelberg equilibrium with L as a leader SL, or Ramsey equilibrium, de-
scribes the outcome of a hierarchical situation where L chooses his action y know-
ing that F will react to this choice with his best response T F (y), that is, where
“DynamicalSystems” — 2004/3/4 — page #366
U ∗2
xSL = y SL = 0 , J L,SL = − , J F,SL = 0 . (9)
2
The Ramsey equilibrium can be interpreted as a solution where the government
manipulates the private sector’s expectations on inflation, knowing that this sector
will choose x = y if it chooses an inflation level of y. Clearly, this equilibrium
strictly pareto-dominates the Nash equilibrium: both players are better off under
Ramsey than under Nash. Assume, however, that the government had initially
played Ramsey, and that the private sector accordingly expects x = xSL = 0. The
best answer of the government to x = 0 is y = 1/2 U ∗ . That is, the government has
ex post an incentive to deviate from Ramsey – a property known in the economic
literature under the generic heading of “time inconsistency.”1 If the government
does deviate, the private sector will revise its expectations, leading to a new best
answer by the government, and so on. It is easy matter to show that this iterative
process converges towards the Nash equilibrium.
This simple observation led to the pessimistic conclusion that, in the absence
of binding commitments that force it to play Ramsey, a government would tend
to renege on its previous engagements and act in a way that leads to the inferior
Nash solution. An important and influential trend of research used this finding as a
justification for advocating strict restrictions on government discretion in economic
policy-making.
The story, however, is less clear-cut than the above presentation may have led
the reader to believe. In particular, note that in the course of our presentation
we departed from the original static, one-shot game description of the problem to
argue within a dynamic framework. However, in a dynamic game, the curse of time
inconsistency is by no means inevitable, see e.g., [5]. In particular, the Ramsey
outcome can be supported by the need for the government to maintain a favorable
reputation, see e.g., [6]. Similarly, it can be supported if the private sector has the
ability to punish the government whenever the latter deviates, see among others [7].
The time inconsistency problem can also be mitigated by incentive contracts or by
delegation, [8, 9], for example. More fundamentally, in a dynamic framework, almost
any outcome can be supported as an equilibrium. This includes many outcomes that
pareto-dominate both the Nash and the Ramsey equilibria – a point that has not
been previously studied in the literature.
Furthermore, note that it is not conceptually straightforward to interpret y as an
actual economic policy decision if one defines x as an expectation on this decision.
Consider for example the game sequence supporting the Ramsey outcome: L plays
first by choosing y; F , who knows y, plays second by making an expectation x on y.
The expectation is made after the action is realized, clearly a rather contrived sce-
nario. This last observation (and more elaborate versions of it) led diverse authors
to argue very early that the original Kydland–Prescott problem is not well-defined,
see among others [10–12]. To avoid possible logical contradictions, it is necessary
1 This property is generic for Stackelberg equilibria and reflects the fact that, contrary to a
Nash equilibrium, a Stackelberg equilibrium does not correspond to a fixed point in the space of
strategies.
“DynamicalSystems” — 2004/3/4 — page #367
1. The government announces that it will choose some inflation rate y a . The
announcement is cheap talk, in the sense that it is not binding and does not
enter as an argument of the payoff functions J L and J F .
2. After hearing this announcement, the private sector forms an anticipation x
on the inflation rate y that will be effectively implemented.
3. Given this anticipation, the government chooses y.
In this so-called reversed Stackelberg game, L has not one, but two instruments
at his disposal, y a and y. The outcome of the game will depend on the way in
which y a influences F 0 s anticipation x. We single out two important benchmarks:
“DynamicalSystems” — 2004/3/4 — page #368
U∗ U ∗2
xSF = 0 , y SF = , J L,SF = J F,SF = − . (10)
2 4
• F believes (or: acts as if he believed) that L will realize y as announced, that
is, that y = y a holds. In that case, x = T F (y a ). The best L can do in the
context of a single-shot game is to maximize, with respect to y a and y, (5)
with x replaced by T F (y a ). The resulting optimal cheating solution (OC) is
given by:
y a,OC = −U ∗ , xOC = −U ∗ , y OC = 0 ,
(11)
U ∗2
J L,OC = 0 , J F,OC = − .
2
The OC solution was first introduced in the literature by [13]. It was derived
and analyzed in the case of linear-quadratic dynamic games in [14, 15], and other
papers by the same authors. The term “cheating” refers to the fact that under this
solution generically one has y 6= y a , that is, the announcement will not be respected.
The optimal cheating solution OC is extremely attractive for L: there is no
feasible pair (x, y) under which L fares better than under OC. However, OC is not
a reasonable candidate for the coordination in a repeated interaction between L
and F , since playing xSF guarantees F the payoff J F,SF > J F,OC . Natural choices
are strategies where both L and F have higher payoffs than under SF .2 We are
going to show that there are other cheating strategies with this property. Before
characterizing these pareto-improving cheating strategies, however, a look at the
geometry of the one-shot game may be useful.
In Figure 1, thick lines refer to L and thin ones to F . The straight lines represent
the optimal reaction functions, the curved lines indifference curves (that is, level
curves of their respective payoff function). The maximum possible payoffs of the two
players are represented by large dots – moving away from these dots in any direction
implies decreasing payoffs. The Nash equilibrium N lies at the intersection of the
reaction functions. The Stackelberg equilibrium SL (SF ) is situated at the tangency
point of T F (T L ) with an indifference curve of F (L). That is, the Stackelberg
solution allows the leader (L or F ) to attain his best point on the reaction curve of
his opponent. By contrast, the optimal cheating solution OC allows L to attain his
best point on his own reaction function – that is, for the class of problems we are
considering here, his unconstrained optimum. The cheating mechanism allowing
this outcome is apparent on the figure. An announcement y a by L incites F to
reply with x = T F (y a ) – see point A on F ’s reaction curve. Given x, L replies with
y = T L (x) – see point B on L’s own reaction curve. Since L’s reaction curve goes
2 Notice that, since y is now always realized after x, SL no longer plays any role in the argu-
mentation.
“DynamicalSystems” — 2004/3/4 — page #369
by construction through L’s unconstrained maximum, L can insure that the final
outcome B coincides with this maximum trough, a proper choice of y a .
Now, neither one of the two equilibria N and SF is pareto-efficient. In particular,
there exist feasible points (x, y) that pareto-dominate SF . Those are the points
situated within the convex lens Ω delimited by L’s and F ’s indifference curves
through SF . Any point in Ω is a candidate for the outcome of coordination over
time. Ideally, one might want to restrict the set of candidates to those points within
Ω that are pareto-efficient, that is, to points where indifference curves of L and F
are tangent. Without apologies, let us investigate coordination on a simpler set of
points Γ. To characterize Γ, define:
That is, O is the set of the optimal cheating solutions OC α that would be gener-
ated if L based his decisions not on his original payoff function J L , but on a convex
combination J α of J L and of his opponent’s payoff function J F . As α decreases,
this injects an increasing dose of altruism into L’s actions. For α = 1, OC α co-
incides with the optimal cheating solution (11). For α = 0, it coincides with the
unconstrained optimum for F , that is here, with the origin.
It is straightforward to prove the following:
1. OCA : He can believe (or act as if he believed) the announcement, and thus
choose x = xOCA = T F (y a ).
2. P AL : He can choose any other value of x. In particular, he can choose his
best action in the one-shot game, xF S . We assume in the following that this
is the case.
subject to (14).
For h = 0, that is, in the case of a myopic government, the problem is trivial.
The perfectly myopic government is exclusively interested in maximizing its payoff
in the current repetition. Since the payoff under P AL is a constant, and since the
probability that F plays OCA does not depend on L’s choice of α, L’s best choice is
the value of α that maximizes the OCA payoff, that is, α = 1. A myopic government
is not benevolent. As a consequence, π decreases each time it is updated. In the
long run, the private sector tends to systematically disregard the government’s
announcements.
For h = 1, L’s problem is to find an optimal compromise between (a) obtaining
a good (expected) payoff at the current repetition t, which implies a high value
of αt ; and (b) obtaining a good payoff at the next repetition t + 1, assuming that
αt+1 will be set equal to one. To obtain a good payoff under (b), πt+1 must be
high, which implies a low value of αt . The optimal αt is given by:
³ ´
F∗ F∗
1 Jt−1 − K (α) U ∗2 πt if Jt−1 − K (α) ≥ 0
∗ ¯ ∗ ¯ ×
α = arg max H (α) − (16)
α∈(0,1] 4 1 + ¯Jt−1 − K (α)¯
F
1 − πt otherwise
∗ 2
F
where Jt−1 , max JτF , H (α) = − 1/2 (1 − α) U ∗ 2 , and K (α) = − 1/2 α2 U ∗ 2 . The
τ <t
corresponding expression for h = 2 is very messy and will not be reproduced here.
For h > 2, the expressions for α∗ are no longer practically amendable, analytically
and numerically.
F∗
The dependency of α∗ upon U ∗ , π, and Jt−1 in the cases h = 1 and h = 2
is not monotonic, as one may recognize from Figures 2 and 3. In these figures,
∗
we plot α∗ on the vertical axis against π (Figure 2) and J F (Figure 3) on the
∗
horizontal axis when h = 1 (circles) and h = 2 (squares). In Figure 2, J F is given
the value −7.5625, in Figure 3 we set π = 0.5. Due to computational constraints,
the indicated values of α∗ are somewhat coarse approximations of the true values.
They are restricted to multiples of 0.05, which explains the flat sections and the
occasional exact coincidence of the value of α∗ for h = 1 and h = 2.
∗
Two features of the results are worth emphasizing. First, with increasing J F , α∗
∗
first decreases, and then increases until it takes the value α = 1. When the private
∗
sector has very high expectations (when J F is close to 0), it will be disappointed
under OCA (that is, ρ will be a relatively large positive number) independently of
the value of α chosen by the government. It turns out that under these conditions
the government is better off by shortsightedly maximizing its payoff under OCA
than by trying to build up a reputation, that is, to increase π by choosing a low α.
“DynamicalSystems” — 2004/3/4 — page #373
∗
Figure 2 α∗ as a function of π, J F = −7.5625, h = 1 and h = 2.
Since we assumed in the paper that F has infinite memory and uses the best payoff
∗
he obtained in the past as benchmark J F , independently of how far in the past it
was realized, one cannot exclude a lock-in where F will play α = 1 in any future
repetition. This problem disappears if one more realistically assumes that F has
∗
a finite memory, and/or revise downwards the benchmark J F if it is not attained
or surpassed over several repetitions. Second, contrary to what one might had
expected, a government that has a longer planning horizon (h = 2 instead of h = 1)
will not necessarily choose a lower value of α. The complexity of the trade-offs
involved precludes giving a clear-cut explanation of this last result.
5 Simulation Results
In this section, we present some illustrative simulation results when h = 1. The
graphs pertain to the instantaneous averages for t = 1, . . . , 100 over 50 Monte Carlo
runs. The thick lines correspond to the averages themselves, the dotted ones to the
averages ± two standard deviations. The natural rate of unemployment U ∗ was
set equal to 5.5. Thus, J L,N = −30.25 and J F,N = −15.125, J L,SF = J F,SF =
∗
−7.5625, and J F ∈ [−15.125, 0].
The runs were initialized by conducting two repetitions assuming a constant
value for π, π−2 = π−1 = 0.5. The best payoff for F obtained over these two
∗
repetitions was used as initial best past payoff, J0F .
Figure 2 shows the evolution of the value of α chosen by L at each repetition.
This value is slowly decreasing from about 0.64 to an almost constant value of
about 0.587. It is worth noting that this value is considerably lower than the value
that makes F indifferent between playing OCA and P AL, α = 0.88. This reflects
the fact that the fear that F might turn to playing OCA, which is associated with
a very poor payoff for F , forces the latter to very much take into account the
former’s interest.
Figure 3 shows the frequency with which F plays OCA. This frequency increases
very rapidly, until stabilizing around a value only slightly lower than 1. That is,
the private agents quickly learn to play almost always OCA.
“DynamicalSystems” — 2004/3/4 — page #374
∗
Figure 3 α∗ as a function of J F , π = 0.5, h = 1 and h = 2.
Figures 4 and 5 show the evolution over time of J L and J F . Both payoffs
increase over time, until practically stabilizing about some almost constant value.
The payoff improvement over time is significantly more important for F than for L.
From the onset, both players fare much better than under either N or SF . The
payoff volatility decreases over time for both players. Statistical tests, not presented
here, show that the volatility is similar for both players, contrary to what the graphs
may suggest due to the use of different scales. The volatility of all the variables
presented in the figures is fairly small, so that the mean appears a good indicator
of what might happen in a given historical situation.
6 Conclusions
The model presented here does not pretend to be a more realistic description of
a real economy than the original Kydland–Prescott model. Nonetheless, it brings
some strong messages. Compared to Kydland–Prescott, much less sophisticated
economic agents arrive at a much better result. Being cheated upon is no longer
“DynamicalSystems” — 2004/3/4 — page #376
Acknowledgments
The authors would like to thank many friends and colleagues for kind and construc-
tive comments, and most particularly, Willi Semmler and the participants of the
January 2000 Bielefeld workshop in honor of Edmond Malinvaud.
References
1. Barro, R.J. and Gordon, D.B. (1983) Rules, Discretion, and Reputation in a
Model of Monetary Policy. Journal of Monetary Economics, 12 (1), 101–121.
2. Stokey, N.L. (1989) Reputation and Time Inconsistency. American Economic
Review, Papers and Proceedings, 79 (2), 134–139.
3. Stokey, N.L. (1990) Credible Public Policy. Journal of Economic Dynamics
and Control , 15 (5), 627–656.
4. Sargent, T.J. (1999) The Conquest of American Inflation. Princeton Univer-
sity Press, Princeton, N.J.
5. McCallum, B. (1997) Crucial Issues Concerning Central Bank Independence.
Journal of Monetary Economics, 39, 99–112.
6. Backus, D. and Driffill, J. (1985) Inflation and Reputation. American Eco-
nomic Review , 75, 530–538.
7. Rogoff, K. (1987) Reputational Constraints on Monetary Policy. Carnegie-
Rochester Conference Series on Public Policy, 26, 141–182.
8. Personn, T. and Tabelinni, G. (1993) Designing Institutions for Monetary
Stability, Carnegie-Rochester Conference Series on Public Policy, 39, 53–84.
9. Rogoff, K. (1985) The Optimal Degree of Commitment to an Intermediate
Monetary Target, Quarterly Journal of Economics, 100, 1169–1189.
“DynamicalSystems” — 2004/3/4 — page #377
In standard capital accumulation models all capital goods are equally produc-
tive and produce goods of the same quality. However, due to ageing, in reality
it holds most of the time that newer capital goods are more productive. Im-
plications of this feature for the firm’s investment policies are investigated in
an optimal control problem with distributed parameters. It turns out that in-
vesting in capital goods of different age is done such that the net present value
of marginal investment equals zero. Comparing the returns of investment in
capital goods of different age, the higher productivity of younger capital goods
has to be weighed against the lower costs of depreciation, discounting and ac-
quisition of older capital goods. In the steady state it holds that, in the most
reasonable scenario, the firm should invest at the highest rate in new capital
goods, and disinvestment can only be optimal when costs of acquisition are
large and machines are old.
1 Introduction
One of the driving forces in a market economy is the growth of firms and industries.
In the literature the analysis of firm growth started out in the sixties with Eisner and
Strotz [1]. In the framework they considered the firm owns a stock of capital goods
† Corresponding author.
“DynamicalSystems” — 2004/3/4 — page #380
that is needed to produce goods, which are sold on the market to obtain revenue.
The firm is able to increase capital stock by investing. This profit maximization
problem thus involves the choice of investments to expand the stock of capital goods.
After this first contribution by Eisner and Strotz [1], many others have followed
(e.g., Lucas [2], Davidson and Harris [3], Barucci [4]), and they mostly differ in the
specifications of revenue and investment cost functions. All these contributions have
in common that capital stock is homogeneous. Hence, its features do not change
over the years, so that it can be concluded that matters like ageing and technological
progress are not taken into account.
The aim of this paper is to analyze a model where capital goods with different
ages are distinguished. To do so a vintage capital stock model is developed. We
use Haurie, Sethi and Hartl [5] as basic departure point (see also Appendix 5 of
Feichtinger and Hartl [6]).
In order to show what influence ageing has on the age distribution of the capital
stock we consider a situation where there is no technological progress and there is
constant returns to scale. Productivity only depends on its age. This means that
capital stocks of the same age have the same productivity independent of the year
in which they are operating. Thus each capital good of the same age produces a
fixed amount.
The vintage capital model has become increasingly popular among economists,
especially because it provides an appealing framework for the analysis of investment
volatility. However, Barucci and Gozzi [7] state that, apart from their paper, in the
literature the vintage differentiation of the capital goods has not been analyzed in
a complete dynamic optimization framework; often capital goods are not durable,
they cannot be accumulated and therefore the capital accumulation problem either
becomes a simple intertemporal budget allocation problem (e.g., Grossman and
Helpman [8]) or capital is completely absent as an explicit input factor (e.g., Chari
and Hopenhayn [9]). Xepapadeas and De Zeeuw [10] limit their analysis to the
OSSP (Optimal Steady State Problem). Jovanovic [11] argues that full dynamics
are notoriously difficult in such models. Our paper offers a complete dynamic op-
timization framework, but contrary to Barucci and Gozzi [7] who concentrate on
technological progress, we focus on the effects of ageing on the dynamic investment
rates and on the age distribution of capital goods in the steady state. Like Xepa-
padeas and De Zeeuw [10], our analysis thus mainly considers the steady state, but
additionally we show that it is in fact optimal for the firm to reach this steady state
as soon as possible. The steady state does not exist in Barucci and Gozzi’s model
due to the technological progress considered there.
By analyzing this model we are able to determine the firm’s optimal investment
decisions in capital goods of different ages. It turns out that the firm always invests
in such a way that the net present value of marginal investment equals zero, so that
the discounted extra revenue stream caused by the addition of a capital good exactly
balances the marginal investment costs. Investments in younger machines have the
advantage that due to ageing they are more productive than older ones, but the
disadvantage is that older machines are cheaper and the costs of depreciation and
discounting are less. The presence of the latter effects may explain why, according to
Chari and Hopenhayn [9], it is undeniable that new technologies are often adopted
on a large scale only after a prolonged period of time (see Mansfield [12] for empirical
“DynamicalSystems” — 2004/3/4 — page #381
evidence). For the steady state it turns out that, provided that the discount rate is
sufficiently low, the firm should invest mostly in new capital goods. Disinvestment
only occurs if acquisition costs are high and machines are sufficiently old.
The paper is organized as follows. The model is formulated in Section 2. In
Section 3 the optimality conditions are formulated and expressions for the invest-
ment rate in capital stocks of different age are derived and economically analyzed.
Moreover, Section 3.3 considers the firm in steady state in order to see what the
age distribution of capital goods then looks like.
2 The Model
In a recent paper Xepapadeas and De Zeeuw [10] studied the ideal age composition
of the capital stock subject to environmental regulation. Here we consider a related
version of the model of Xepapadeas and De Zeeuw [10]: where they concentrate on
environmental regulation by specifying pollution output, we leave this out. Instead,
we extend their framework by adding discounting and depreciation, so that this
paper is a natural extension to the capital accumulation literature mentioned in the
first paragraph of the Introduction. As in their paper, here it also holds that the
age of the machine is denoted by τ ∈ [0, h], so that the maximum age of machines
is h.
v(τ ) is the output produced by a machine of age τ , with v 0 (τ ) ≤ 0. That is, a
newer machine cannot produce less output than an older one. Since v is independent
of time t no technological progress is included.1
The stock of capital goods of age τ at time t is denoted by K(t, τ ). Then total
output produced in year t is defined as
Zh
Q(t) = v(τ )K(t, τ )dτ .
0
It is assumed that markets exist for machines of any age from 0 to h. Let b(τ ) be
the cost of buying a machine of age τ , with b0 (τ ) ≤ 0 (older machines cannot be
more expensive than newer machines) and b(h) = 0 (a machine at the maximum
age is not worth anything).
Let I(t, τ ) be the number of machines of age τ bought (if I(t, τ ) > 0) or sold
(if I(t, τ ) < 0) in year t. The total cost or revenue to the firm from transactions
2
in the machine market is defined as b(τ )I(t, τ ) + 1/2 c [I(t, τ )] , with the second
term reflecting the adjustment costs in buying or selling machines. These costs
are, for example, adaptation costs or search costs. The quadratic form of this cost
1 This model feature is taken from Xepapadeas and De Zeeuw [10] (see also Barucci and Gozzi
[13]) who argue that this implies that new machines are more productive because they embody
superior technology. However, this argument seems to be wrong. To see this, note that v(τ ) is
the same for different t. Now consider two points of time: t1 and t2 so that t2 > t1 . Then a
machine constructed at time t2 , say m2 , has the same productivity at the same age as a machine
constructed at time t1 (m1 ), i.e., m2 produces at t2 + τ : v(τ ), which is also the amount that m1
produces at t1 + τ . Hence there is no superior technology embedded in m2 . Therefore, in order
to include technological progress, output should be modelled by v(t, τ ) with, at least, vt > 0.
“DynamicalSystems” — 2004/3/4 — page #382
term leads to a simple expression for optimal purchases. It is further imposed that
machines of age τ depreciate with rate δ (τ ), which is the same for every vintage.
The firm chooses to buy or sell machines of different ages in order to maximize
profits, with p the price of output. That is, the firm chooses at each point in time
an age distribution of machines to maximize profits. In addition to Xepapadeas and
De Zeeuw [10], our model also includes discounting, where r is the discount rate.
The dynamic model of the firm is now given by
Z∞ Zh h i
c
e−rt
2
max pv(τ )K(t, τ ) − b(τ )I(t, τ ) − [I(t, τ )] dτ dt−
I(t,τ ),I0 (t) 2
0 0
Z∞ h i
c0
e−rt b0 I0 (t) +
2
− [I0 (t)] dt , (1)
2
0
subject to
∂K(t, τ ) ∂K(t, τ )
+ = I(t, τ ) − δ (τ ) K(t, τ ) , (2)
∂t ∂τ
∂H
= 0, or cI(t, τ ) = λ(t, τ ) − b(τ ) , (5)
∂I
∂H0
= 0, or c0 I0 (t) = λ(t, 0) − b0 , (6)
∂I0
∂λ(t, τ ) ∂λ(t, τ ) ∂H
+ = rλ − = (r + δ (τ )) λ(t, τ ) − pv(τ ) , (7)
∂t ∂τ ∂K
λ(t, h) = 0 . (8)
Solving the partial differential equation (7), while taking into account the bound-
ary condition (8) yields:
Zh Zs
λ(t, τ ) = exp − (r + δ (ρ)) dρ pv(s)ds . (9)
τ τ
By (6) and (9) it can be concluded that a similar expression holds for the investment
in new capital goods:
h s
Z Z
1
I0 (t) = exp − (r + δ (ρ)) dρ pv(s)ds − b0 . (11)
c0
0 0
An expression for the stock of capital goods can be derived from (2), assuming for
the moment that τ ≤ t:
τ σ τ
Z Z Z
K(t, τ ) = exp δ (ρ) dρ I (t + σ − τ, σ) dσ + A2 exp − δ (ρ) dρ .
0 0 0
(12)
Note that the initial stock is A2 = K (t − τ, 0) = I0 (t − τ ) (see (3)). Combining
the last three expressions, we obtain
τ σ h s
Z Z
1
Z Z
K(t, τ ) = exp δ(ρ)dρ exp − (r + δ(ρ))dρpv(s)ds − b(σ)dσ +
c
0 0 σ σ
“DynamicalSystems” — 2004/3/4 — page #384
Note that this formula is only valid for τ ≤ t. In case τ > t, i.e., the vintage already
exists at the initial time, it is easily obtained via the second boundary condition
in (3) that
Zτ
K(t, τ ) = K0 (τ − t) exp − δ (ρ) dρ +
τ −t
h s
Zτ Zτ Z Z
1
+ exp − δ (ρ) dρ exp − (r + δ (ρ)) dρ pv(s)ds − b(σ) dσ .
c
τ −t σ σ σ
(14)
An important observation is that (9), (10) and (11) are time invariant. Moreover,
K (t, τ ) depends on t only in case t < τ . This means that after h years everything
becomes time invariant, that is, the steady state with respect to calendar time is
reached.
for new machines. It follows that the net present value of marginal investment
equals zero: the term with the integral equals the revenue stream (corrected for
discounting and depreciation) generated by an extra unit of capital stock of age τ
(or 0) bought at time t, and this extra revenue equals total marginal investment
costs b + cI.
It is clear that no investment will take place in a machine of age h, so that
I(t, h) = 0 .
At a given point of time t the investment rate is influenced by its age as follows:
h s
Z Z
∂I (t, τ )
c = (r + δ (τ )) exp − (r + δ (ρ)) dρ pv(s)ds − pv(τ ) − b0 (τ ) .
∂τ
τ τ
(16)
“DynamicalSystems” — 2004/3/4 — page #385
Expression (16) shows how investment is affected when the firm compares investing
in a machine of age τ with investing in a machine of a marginally older age. Accord-
ing to the RHS of (16), three effects arise. The first effect is positive and consists of
a discounting and a depreciation effect. The depreciation effect results from the fact
that by buying a machine of older age the machine is depreciated less at the moment
that its age is s, thus when its productivity equals v(s). The discounting effect is
also positive, because the revenue obtained at the moment that the machine is of
age s is obtained earlier so that the discounted revenue is higher. The second effect
is negative and arises from the fact that when buying the machine of a marginally
older age than τ , it will not collect the revenue when the machine operates at age τ .
The last effect is positive which is due to the fact that the acquisition costs of older
machines are cheaper.
These effects may help to explain why firms often invest in older technologies
even when apparently superior technologies may be available (Chari and Hopen-
hayn [9]). According to (16) reasons may be that (i) effects of discounting and
depreciation are substantial, and (ii) an older machine has a lower acquisition price.
Expression (16) also helps to explain the observation that new technologies are
often adopted so slowly, as recognized by, e.g., Chari and Hopenhayn [9]. Reasons
for such behavior can thus be that effects of discounting and depreciation (especially
during the first years that a new capital good operates) are large and/or that the
reduction of the acquisition price when the capital good gets older is substantial.
In case v 0 ≤ 0 and δ 0 ≥ 0 it can be easily shown that the first effect is always
dominated by the second effect, i.e., the discounting and depreciation effects are
more than outweighed by the effect that revenues are earned during a shorter time.
We illustrate this by taking δ and v constant, after which expression (16) becomes
·µ ³ ´¶ ¸
∂I (t, τ ) 1
= pv 1 − e−(h − τ )(r + δ) − pv − b0 (τ ) =
∂τ c
· ¸
1 −(h − τ )(r + δ) 0
= − pv e − b (τ ) .
c
Now there are only two contrary effects of age on the investment rate. The ad-
vantage of investing in a machine of older age is that investments are cheaper as
reflected by the term −b0 (τ ). However, the disadvantage is that the planning period
during which the firm enjoys revenue from this investment becomes shorter, which
is presented by the first term.
Consider now the evolution of the capital stock, where we concentrate on those
capital goods for which τ < t, thus at the initial point of time this stock was not
present yet. From (12) and A2 = I0 (t − τ ), it can be obtained that
∂K (t, τ )
= I (t, τ ) − δ(τ )K (t, τ ) . (17)
∂τ
Hence, to find out how capital stocks of different age relate to each other at a
given point of time, would require substitution of (13) and (10) into (17), and this
becomes too messy for drawing clear economic conclusions.
“DynamicalSystems” — 2004/3/4 — page #386
The value of λ as given by (18) reflects the benefits from installing one machine of
age τ and keeping it until it becomes of maximum age. From (5) the optimal sales
or acquisitions of machines of age τ is given by
s
Zh Z
cI(τ ) = λ(τ ) − b(τ ) = exp − (r + δ(ρ)) dρ pv(s)ds − b(τ ) . (19)
τ τ
Note that
> >
I(τ ) = 0, as λ(τ ) = b(τ ) ,
< <
which is intuitively clear because λ denotes the benefits, and b denotes the price of
new machines.
The stock of machines of age τ is partly determined by sales and acquisitions of
machines of that age and partly inherited from sales and acquisitions in the past.
The set of stocks of all ages is the optimal age distribution of machines and from
(13) it is obtained that
τ σ h s
1 Z Z Z Z
K(τ ) = exp δ(ρ)dρ exp − (r + δ(ρ))dρ pv(s)ds − b(σ) dσ +
c
0 0 σ σ
τ
Zh Zs Z
1
+ exp − (r + δ (ρ)) dρ pv(s)ds − b0 exp − δ (ρ) dρ .
c0
0 0 0
3.3.2 Example
In case there is no depreciation δ (τ ) = 0 and no initial investment I0 = 0, as in
Xepapadeas–De Zeeuw the solution simplifies to:
Zh
λ(τ ) = e−r(s − τ ) pv(s)ds . (20)
τ
“DynamicalSystems” — 2004/3/4 — page #387
To see what (21) and (22) look like, consider the following example:
v(τ ) = a0 + a1 (h − τ ) , (23)
Zh
cI(τ ) = e−r(ρ − τ ) p (a0 + a1 (h − ρ)) dρ − b(h − τ ) =
τ
Zh Zh
= p (a0 + a1 h) e−rρ erτ dρ − pa1 ρ e−rρ erτ dρ − b (h − τ ) =
τ τ
· ¸h · µ ¶¸h
p pa1 −r(ρ − τ ) 1
= − (a0 + a1 h) e−r(ρ − τ ) + e ρ+ − b (h − τ ) =
r τ r r τ
p −r(h − τ ) h a1 i p h a1 i
= e −a0 + + a0 − + a1 (h − τ ) − b (h − τ ) =
r r r r
h a1 i p h i h pa i
1 − e−r(h − τ ) +
1
= a0 − − b (h − τ ) . (25)
r r r
from which it is obtained that
∂I(τ ) ³ a1 ´ −r(h − τ ) a1 p
c = p −a0 + e − + b, (26)
∂τ r r
so that
∂ 2 I(τ )
= (−ra0 + a1 ) p e−r(h − τ ) .
c (27)
∂τ 2
This yields the following result:
Proposition 1 Under the specifications given by (23) and (24) it holds that
I (h) = 0 .
∂I(τ )
<0 ∀τ , I (τ ) > 0 for τ ∈ [0, h) ,
∂τ
And
a1
2. High discount rate: r > :
a0
∂2I
< 0,
∂τ 2
2.1. High acquisition cost: b > pa0 :
∂I(τ )
>0 ∀τ , I (τ ) < 0 for τ ∈ [0, h) ,
∂τ
We note that the most reasonable cases are probably 1.1 and 1.2. In case 2.1
the solution makes no sense, since I0 being equal to zero and investments being
negative for each age imply that K will become negative too.
Next, let us concentrate on the capital stock rather than investment. To do so,
we combine (22) and (25) to obtain:
Zτ Zτ h ³
p³ a1 ´ p a1 ´ i
cK(τ ) = −a0 + e−r (h − z) dz + a0 − + a1 h − bh dz +
r r r r
0 0
Zτ h i
pa1 p ³ a1 ´ ³ −r (h − τ ) ´
+ − + b z dz = 2 −a0 + e − e−rh +
r r r
0
µ ¶
p h a1 i 1 −pa1
+ τ a0 − + a1 h − bhτ + + τ 2 +b ,
r r 2 r
“DynamicalSystems” — 2004/3/4 — page #389
= cI(τ ) .
Due to the last two equations and Proposition 1 we can conclude the following
proposition:
∂ 2 K(τ ) ∂K
<0 ∀τ , >0 for τ ∈ [0, h) ,
∂τ 2 ∂τ
a1
1.2. Low discount rate: (r < ) and high acquisition cost: (b ≥ pa0 ):
a0
< < µ ¶
2
∂ K(τ ) 1 a1 p − ra0 p
= 0 iff τ = h − ln ,
∂τ 2 r a1 p − rb
> >
µ ¶
a1
2.1. High discount rate: r> and high acquisition cost: (b > pa0 ):
a0
∂ 2 K(τ ) ∂K
>0 ∀τ , <0 for τ ∈ [0, h) ,
∂τ 2 ∂τ
µ ¶
a1
2.2. High discount rate: r> and low acquisition cost: (b ≤ pa0 ):
a0
> < µ ¶
∂ 2 K(τ ) 1 ra0 p − a1 p
= 0 iff τ = h− ln .
∂τ 2 r rb − a1 p
< >
“DynamicalSystems” — 2004/3/4 — page #390
The first term of the right-hand side of (28) reflects that investing in an older
machine is advantageous from the point of view that fewer investment costs are
incurred. The second term indicates that investing in an older machine implies that
the lifetime of this machine is shorter which reduces the revenue stream. The third
term of the right-hand side of (28) resembles the fact that production with an older
machine leads to a lower revenue flow per time unit.
Explaining Proposition 1 is now an easy job. (28) (cf. (27)) implies that, in case
∂I(τ )
of a low discount rate, increases with τ (according to the third term of the
∂τ
right-hand side of (28) the revenue flow reduction takes place during a shorter time
∂I(τ )
interval when τ increases), implying that reaches its maximum for τ = h.
∂τ
∂I(τ )
If pa0 > b, is negative for τ = h, which implies that it will be negative for
∂τ
all possible ages. Since I(h) = 0, this in turn implies that the investment rate
is positive for all ages of the capital stock, except of course for τ = h. In case
∂I
acquisition costs are high (b > pa0 ), it holds that > 0 for τ sufficiently large,
∂τ
which together with I(h) = 0 implies that the firm sells machines (only sufficiently
young machines may be bought, because for these machines a large lifetime with
positive revenues may counterbalance the high acquisition costs).
The fact that machines are sold in the case of large acquisition costs also holds
when the discount rate is large. When acquisition costs are low, the firm again
makes use of this by keeping the investment rate positive for all ages (except the
∂I
maximal age). For high discount rate it further holds that decreases with τ .
∂τ
This is due to the fact that future revenues are heavily discounted, so that the effect
of the shorter lifetime of the machine (given by the second term on the right-hand
side of (28)) is less.
The results concerning the levels of the capital stocks presented in Proposition 2
follow directly from the investment levels, but additionally it must be taken into
account that older machines have a longer investment history. It holds that capital
stock increases in a concave way with age if investment is positive but decreasing,
capital stock decreases in a concave way with age if investment is negative (machines
are sold) and decreasing, while capital stock decreases in a convex way if investment
is negative but increasing.
Acknowledgment
The authors would like to thank Christian Almeder, who provided us with valuable
comments.
“DynamicalSystems” — 2004/3/4 — page #391
References
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Political Economy, 75, 321–334.
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vestment Theory. Review of Economic Studies, 48, 235–253.
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Age-Structured Population Model with Applications to Social Services Plan-
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Prozesse: Anwendungen des Maximumprinzips in den Wirtschaftswissenschaften.
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itiveness: the Porter Hypothesis and the Composition of Capital, Journal of
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11. Jovanovic, B. (1998) Vintage Capital and Inequality. Review of Economic
Dynamics, 1, 497–530.
12. Mansfield, E. (1968) Industrial Research and Technological Innovation: An
Econometric Analysis. Longmans, London.
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Research in Economics, 52, 159–188.
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Control , Springer-Verlag, Berlin.
“DynamicalSystems” — 2004/3/4 — page #392
“DynamicalSystems” — 2004/3/4 — page #393
1 Introduction
In mankind’s struggle to understand its own intellectual capacity, one question has
attracted particular attention. It is the puzzle of how the human cortex can be
so variable and efficient, in cognitive tasks and in storage, although the cycle time
of cortical computation – if a spike is taken as the basic unit of clock time – is
“DynamicalSystems” — 2004/3/4 — page #394
of the order of ten milliseconds, a time that is far slower than what is currently
(easily) achieved by computers. This observation leads to the expectation that
there may be hidden, still undiscovered, computational principles within the cortex
that, if combined with the speed of modern computers, could lead to a jump in
the computational power of artificial computation, from the hardware and software
point of view. In the explanation of the computational properties of the human
brain, an important issue of current interest is the feature-binding problem, which
relates to the cortical task of associating one single object with its different features
[1–2]. As a solution to this problem – in opposition to the concept of so-called
grandmother cells – synchronization among neuron firing has been proposed.
In order to address what ingredients are needed to obtain synchronized en-
sembles of firing neurons, we proceed as follows: first, we investigate networks of
neocortical circuits of pyramidal neurons, that are endowed with excitatory and
inhibitory connections, where we restrict ourselves to quasistatic dynamical condi-
tions. Under these conditions, we obtain a picture of insulated sites that mostly
are engaged in locked states, which may be expressing computational results [3].
It has been shown that recurrent connections on these computational circuits can
be interpreted as controllers of the periodicity of the locking. In other words, they
modify the computational results returned by the circuit [4]. The natural step then
is to add second order perturbations among these sites. For this refined case, we
find strong indications that self-organized synchronization, needed to support the
binding by synchronization hypothesis, is virtually impossible. However, when we
turn our attention to layer IV, the picture changes. As is known, this layer’s task
is more centered on amplification and coordination, than on computation. When
we perform biophysically detailed simulations of this layer (measurements compa-
rable to those made for the previous layers are difficult to obtain), we find a strong
tendency to generate synchronized activity among the participating neurons. As
a conclusion, we find that synchronization in neocortical networks – if present at
all – will have its origin in layer IV, since synchronization cannot emerge in a self-
organized way from the pyramidal neuron circuits alone.
k2 X
φi,j (tn+1 ) := (1 − k2 ki,j )fKΩ (φi,j (tn )) + ki,j φk,l (tn ) , (3)
nn nn
where φ is the phase of the phase-return map, at the indexed site, and nn again
denotes the cardinality of the set of all next-neighbors of site i, j. k2 describes
the overall coupling among the site maps. This global coupling strength is locally
modified by realizations ki,j , taken from some distribution, which may or may not
have a first moment (in the first case, k2 can be normalized to be the global average
over the local coupling strengths). In Eq. 3, the first term reflects the degree of
self-determination of the phase at site {i, j}, the second term reflects the influence
by next-neighbor centers, which are again understood in the sense of strongest
interaction.
The corresponding statement of synchronized behavior, as we understand it,
would be observable emergence of non-local structures within the firing behavior
of the neurons in the network. In the case of initially independent behavior, we
may expect that due to the coupling, a simpler macroscopic behavior will be at-
tained, which could be taken as the expression of corresponding perceptional state.
“DynamicalSystems” — 2004/3/4 — page #396
Extended simulations, however, yield the result that, for biologically reasonable pa-
rameters, the response of the network is, based on this understanding, essentially un-
synchronized, despite the coupling. Extrapolations from simpler models, for which
exact results are available [7], provide us with the explanation why. Generically,
from weakly coupled regular systems, regular behavior can be expected. If only two
systems are coupled, generally a simpler period than the maximum of the involved
periodicities emerges. If, however, more partners are involved, a competition sets
in, and high periodicities most often are the result. Typically, synchronized chaotic
behavior, results from coupling chaotic and regular systems, if the chaotic contri-
bution is strong enough. Otherwise, the response will be regular. When chaotic
systems are coupled, however, synchronized chaotic behavior as well as macroscop-
ically synchronized regular behavior, may be the result (e.g., [7]). For obtaining
fully synchronized networks, the last option is the one to focus on. The evolution
of cyclic eigenstates deserves particular attention, as it shows how novel collective
behavior may emerge.
We performed simulations using 2-d networks, diffusive coupling between 20×20
to 100 × 100 local maps of excitatory/inhibitory interaction. In agreement with
the above expectations, we found no signs of macroscopic, self-organized synchro-
nization, using physiologically motivated variability on the parameters (type of
site maps, excitability expressed by means of K, locally varying diffusive coupling
strength, etc.). To understand this in more detail, we compared it with an ideal-
ized model that should be a better candidate for collective synchronization. This
model is a diffusively coupled model with tent maps as sites. It corresponds to a
situation where all site maps are identical (a situation that also can be implemented
in our numerical simulations). In this comparison, it first may be objected that in
distinction from the maps derived from the experiments, the model is hyperbolic,
which is a non-generic situation. Through simulations, however, it can be shown
that the corresponding model with nonhyperbolic site maps (parabola, e.g.), share
the primary properties of the tent-map model, i.e., the phenomenology is due to the
coupled map model. The advantage of the model of coupled tent maps is that it
can be solved analytically. In our case we want to derive the largest network Lya-
punov exponent [8]. This can be achieved by using the approach of thermodynamic
formalism as follows. First, it must be realized that the coupled map lattice can be
mapped onto a matrix representation of the form:
M (a, k2 ) =
k2 k2 k2 k2
|(1 − k2 )a| a 0 ... a 0 a 0 a
4 4 4 4
k2 k2 k2 k2
a |(1 − k2 )a| a 0 a ... 0 a 0
4 4 4 4
=
.. ..
,
..
. . .
k2 k2 k2 k2
a 0 a 0 a ... 0 a |(1 − k2 )a|
4 4 4 4
(4)
where a is the slope of the local tent maps, and k is the diffusive coupling strength.
The thermodynamic formalism formally proceeds by raising the (matrix) entries to
the (inverse) temperature β, and focusing, as the dominating effect, on the largest
“DynamicalSystems” — 2004/3/4 — page #397
a) b)
a
0.4
λn 0
1.5
-0.4
k2 1
c)
k2
0.2
0.5 0
λmax
-0.2
-0.4
0
0 1 2 3 4 0 0.5 1.0 1.5 2.0
k2
eigenvalue as a function of the inverse temperature. For large network sizes, the
latter converges towards
40
Vm [mV]
0
-40
-80
40
Vm [mV]
0
-40
-80
200
finst [Hz]
100
0
0 100 200 300 400 500
Time [ms]
Detailed numerical simulations yield the result that, in the major part of the accessi-
ble parameter space, collective bursting emerges. That is, all individual neurons are
collectivized, in the sense that, in spite of their individual characteristics, they all
give rise to dynamics of very similar, synchronized on a coarse-grained scale, char-
acteristics (see Fig. 2). In fact, using methods of noise cleaning (noise, in this sense,
is small variations due to the individual neuron characteristics), we find that the
collective behavior can be represented in a four-dimensional model, having a strong
positive, a small positive, a zero and a very strong negative Lyapunov exponent.
This is tantamount saying that the basic behavior of the neuron types involved are
identical and hyperchaotic [11]. The validity of the latter characterization has been
checked by comparing the Lyapunov dimension (dKY ∼ 3.5) with the correlation
dimension (d ∼ 3.5). Moreover, different statistical tests have been performed to
assess that noise-cleaning did not modify the statistical behavior of the system in an
inappropriate way. As a function of the feed-forward input current, we observed an
astonishing ability of the layer IV network to generate well-separated characteristic
interspike interval lengths.
“DynamicalSystems” — 2004/3/4 — page #400
a)
2050 2150
2080 2083
0
log C(ε)
10
20
20 10 0
log(ε)
Figure 3 Step-like behavior indicating firing in patterns is observed in vivo (picture) and
can be reproduced in biologically detailed simulations of layer IV by the interaction of sev-
eral feed-forward currents to layer IV: (a),(b) from experiments, (c),(d) from corresponding
simulations.
b)
1000 1080
1017.4 1019.2
0
log C(ε)
10
20
20 10 0
log(ε)
Figure 3 (continued).
c)
50000 53000
52300 52900
0
log C(ε)
10
20
10 0
log(ε)
Figure 3 (continued).
systems running at Giga-Hertz frequencies. It recently has been shown [18] that
optimal hard limiter control leads to convergence onto periodic orbits in less than
exponential time.
In spite of these insights into the nature of chaos control, which kind of control
measures should be associated with cortical chaos, however, is unclear. In the
collective bursting case of layer IV, one possible biophysical mechanism would be
a small excitatory post-synaptic current. When the membrane of an excitatory
neuron is perturbed at the end of a collective burst with an excitatory pulse, the cell
may fire additional spikes. Alternatively, at this stage inhibitory input may prevent
the appearance of spikes and terminate bursts abruptly. In a similar way, the
spiking of inhibitory neurons also can be controlled. Another possibility is the use
of local recurrent loops to establish delay-feedback control [4]. In fact, such control
loops could be one explanation for the abundantly occurring recurrent connections
among neurons. The relevant parameters in this approach are the time delay of the
“DynamicalSystems” — 2004/3/4 — page #404
d)
47000 49000
47950 48500
0
log C(ε)
10
20
10 0
log(ε)
Figure 3 (continued).
re-fed signal, and the synaptic efficacy, where especially the latter seems biologically
well accessible.
In addition to the encoding of information, one also needs read-out mech-
anisms able to decode the signal at the receiver’s side. Thinking in terms of
encoding strategies, as outlined above, this would amount to the implementa-
tion of spike-pattern detection mechanisms. Besides simple straightforward im-
plementations based on decay times, more sophisticated approaches, such as the
recently discovered activity-dependent synapses [19–21] seem natural candidates
for this task. Also the interactions of synapses, with varying degrees of short-
term depression and facilitation, could provide the selectivity for certain spike pat-
terns. Yet another possible mechanism is small populations of neurons, where
varying axonal delays, and delays in the propagation time of the synaptic po-
tentials, lead to supra-threshold summation, only for some sequences of input
spike intervals.
“DynamicalSystems” — 2004/3/4 — page #405
References
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Models of Neural Networks II , E. Domany, J. van Hemmen, K. Schulten (eds),
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2. Singer, W. (1994) Putative Functions of Temporal Correlations in Neocortical
Processing. In Large-Scale Neuronal Theories of the Brain, C. Koch, J. Davis
(eds), Bradford Books, Cambridge, MA, pp. 201–237.
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4. Stoop, R. (2000) Efficient Coding and Control in Canonical Neocortical Micro-
circuits. In Nonlinear Dynamics of Electronic Systems, G. Setti, R. Rovatti,
G. Mazzini (eds), World Scientific, Singapore, pp. 278-282.
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Networks. Springer, New York.
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Scaling Functions from Time Series. Journ. Opt. Soc. Am. B , 5, 1037–1045;
Peinke, J., Parisi, J., Roessler, O.E. and Stoop, R. (1992) Encounter with
Chaos. Springer-Verlag, Berlin.
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9. Hebb, D. (1949) The Organization of Behavior . Wiley & Sons, New York.
10. Blank, D. (2001) PhD thesis. Swiss Federal Institute of Technology ETHZ.
11. Roessler, O.E. (1979) A Hyperchaotic Attractor. Phys. Lett. A, 71, 155–159.
12. Celletti, A. and Villa, A. (1996) Low-Dimensional Chaotic Attractors in the
Rat Brain. Biol. Cybern., 74, 387–393.
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Evaluation of Invariants from Finite Symbolic Substrings. Z. Naturforsch. A,
46, 642–646.
14. Beck, C. and Schloegel, F. (1993) Thermodynamics of Chaotics Systems: an
Introduction. Cambridge University Press.
15. Hayes, S., Grebogi, C., Ott, E. and Mark, A. (1994) Experimental Control of
Chaos for Communication. Phys. Rev. Lett., 73 (13), 1781–1784.
16. Corron, N., Pethel, S. and Hopper, B. (2000) Control by Hard Limiters. Phys.
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17. Wagner, C. and Stoop, R. (2001) Optimized Chaos Control with Simple Lim-
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iter Control. J. Stat. Phys., 10, 97–107.
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“DynamicalSystems” — 2004/3/7 — page #407
This work deals with some analytical and numerical problems for the open-
loop optimal control of a dynamical non-linear model of human posture [1].
The dynamical model analyzed is a three-link inverted pendulum represent-
ing the human body segments of the shank, thigh and HAT (head, arms and
trunk). This model is driven by 10 muscles, expressed by adimensional, 2-nd
order, non-linear equations of activation and contraction dynamics. Musculo-
tendon geometry was found with the aid of a musculoskeletal modeling soft-
ware [2]. The optimal control algorithms were developed and implemented on
Polak’s consistent approximation theory [3] framework by Schwartz [3, 5]. Due
to the highly non-linear and unstable nature of the problem, several numerical
difficulties were found and the numerical experiments performed suggests the
need for a careful estimation of the initial control guess, the gradual imposition
of constraints and the appropriate choice of optimization tolerances.
“DynamicalSystems” — 2004/3/7 — page #408
1 Introduction
One of the most fascinating problems in the field of motor control theory is the
understanding of how the brain controls voluntary movements. The physiological
structures and strategies involved in the emergence and execution of such tasks
have been intensively studied in recent decades. The nervous impulse paths inside
the central nervous system (CNS), as well as the force modulation mechanisms,
are well known [6, 7]. However, reliable computational models able to reproduce
quantitatively complex motor tasks are still a challenge.
Some authors believe that the brain computation results, in the planning and
execution of motor tasks, are similar to the solution of an optimization [8–10] or an
optimal control problem [11–16]; nevertheless, such computation does not involve
variational calculus or line searches. By this reasoning, when the CNS plans a
limb movement, it tries to reach a certain target in the environment space, i.e., a
terminal constraint, at the same time that qualitative measure of the “goodness”
of the movement is maximized, or an undesirable cost is minimized are along the
path. In addition, it could be supposed that the different natures of motor tasks
require different measures: maximize smoothness, accuracy, power or swiftness.
The minimization of this performance index is carried over a specific hypersur-
face that respects the dynamics of the problem, the so-called dynamical constraints.
In the physiological version of the problem, this is the very biomechanics of the body
interacting with the environment, but in the computational representation, a me-
chanical description expressed through as ordinary differential equations (ODEs) is
required. It means that accuracy of the control depends directly on the hypotheses
and the accuracy of the biomechanical modeling.
This work addresses the problem of reproducing human postural movements
through a biomechanical representation of body and muscular dynamics, using iter-
ative integration optimal control algorithms based on the consistent approximations
theory. Simulation studies were carried out with increasing complexity of biome-
chanical models of posture developed by the authors [1, 18, 19]. Due to the high
nonlinearity and dynamical instability of the problems, several numerical problems
were found. Some strategies to overcome them were addressed and some suggestions
about the algorithm parameter specifications were carried out.
and respect the dynamical constraints ẋ = h(t, x, u) with x(a) = ξ (known) initial
conditions, t ∈ [a, b], the control bounds ujmin (t) ≤ uj (t) ≤ ujmax (t), j = 1, . . . , m
“DynamicalSystems” — 2004/3/7 — page #409
structure for expressing the control samples at the integration knots was intro-
duced. A subspace of the control discretized space was used to express the control
samples as spline coefficients, at the same time that specific formulas were intro-
duced by the authors to certify the mathematical equivalence of the internal product
and norm operations between the defined functional and the Euclidean spaces. By
these transformations, the available optimization algorithms can be used in a safe
and efficient way to solve the associated non-linear optimal control problem.
The algorithms briefly described above were implemented by the authors in the
Matlab Toolbox RIOTS [23] (Recursive Integration Optimal Trajectory Solver).
This software solves the OCP as stated above, allowing the use of 1-st, 2-nd,
3-rd and 4-th order fixed step-size Runge–Kutta integrator and 1-st to 4-th or-
der splines. The LSODA [24] variable step-size integrator can also be used. The
optimization problem is solved with a class of conjugate-gradients [25] or with SQP
solver NPSOL [26, 27]. User-defined cost and constraint functions, as well as their
symbolic derivatives, are written in ANSI C code and dynamically linked to RIOTS.
3 Biomechanical Model
The dynamical system equations h of the optimal control problem defined above
were formulated as a mathematical representation of human postural mechanics.
This biomechanical model has been studied by the authors in recent years [1, 18, 19].
Human rigid-body system behavior is described as a three-link inverted pendulum
in the saggital plane [18, 19] (Figure 1). The six resulting equations of motion form
the non-linear dynamical system
[M (x)] ẍ + [C(x)] ẋ2 + {g(x)} = [D] {τ } , (3)
where [D] is a matrix relating joint to rigid-body torques, [M (x)], [C(x)] are mass
and centripetal terms matrices, {g(x)} represents gravity terms and {τ } the external
torques at the joints. Muscle forces and joint torques are related by a moment-
arm matrix [r], where [r]{F } = {τ }. Inertial parameters were estimated for an
adult male from regression equations. Muscle mechanics is modeled trough a visco-
elastic representation of human skeletal muscle [31], (see Figure 2) based on Zajac’s
adimentional formulation of contraction dynamics [32, 33].
Each muscle is represented mathematically by two 1-st order non-linear differen-
tial equations. The first is a bilinear equation that models the activation dynamics,
with different activation and deactivation times, depending on whether the muscle
is contracting or relaxing.
ȧ = (u − a)(k1 u + k2 ) , (5)
1 1
where Tact = and Tdeac = · a(t) is the muscle activation and u(t)
k1 + k2 k2
represents the neuromuscular excitation [32], and is used as the control variable of
the model. The values assumed by these functions are restricted to [0,1], where 0
represents complete inactivity and 1 maximum contraction.
The second equation expresses the contraction dynamics:
T ¡ ¢
F̃˙ = k̃ T ṽ M T − ṽ M cos α (6)
“DynamicalSystems” — 2004/3/7 — page #411
Figure 1 Three-link inverted pendulum representing human postural dynamics. The joints
O, AB and BC are the ankle, knee and hip and the limbs A, B and C the shank, thigh
and HAT (Head, arms and trunk). m is the mass of the limb, L is the length and I the
moment of inertia. QA , QB and QC are the generalized coordinates, i.e., the joint angles.
LXCM is the distance from the joint to the center of mass.
In order to decrease the number of equations in the model and save computa-
tional effort, 10 muscular groups were selected, according to the following criterion.
An estimator for the mechanical relevance of each muscle was created, by mul-
tiplying the moment arm by the maximum force (Table 2). Some muscles were
eliminated, when this product was too small. Muscles with the same biomechanical
function were grouped, and the parameters assumed as a weighted mean according
to the value of r F0M for each generalized coordinate.
“DynamicalSystems” — 2004/3/7 — page #412
(7)
Table 1 Muscular parameters at anatomical positions. HF, KA and AA are the three
gerneralized coordinates active in the saggital plane: Hip Flexion, Knee Angle and Ankle
Angle. r1 , r2 and r3 are the moment arms, with relation to each axis, for the muscles. In
the last column the selected groups are shown, according to functional similarity of the
composing muscles. r1 , r2 and r3 are the moment arms with relation to ankle, hip and
knee, respectively. F0M is the maximum force and LM T is the musculotendon length.
Other simplified models tested were the triple pendulum with non-dynamic
(torque and muscular) actuators and with linear dynamic (torque and muscular)
actuators. When non-dynamic torque-actuators were used, the system converged
using a few minutes of CPU time in a Pentium 600 MHz and LQR-like cost func-
tion. However, when the final time was greater than 0.6 seconds, there was a fatal
“DynamicalSystems” — 2004/3/7 — page #414
Table 2 Muscular groups (gm) selected and their parameters. Optimal length, pennation
angles and tendon slack length were calculated as a weighted mean of the product r F0M
in each generalized coordinate.
Muscle groups LM
0 α LST F0M r1 F0M r2 F0M r3 F0M LM T
memory crash and the simulation stopped. This problem will be discussed later.
With a linear dynamic torque actuator, tests performed with the LQR-like cost
function did not converge, but promising results were achieved with the following
cost minimized, similar to the function suggested by Pandy [12]:
Ztf
¡ 2 ¢
f (u, ξ) = τ̇1 + τ̇22 + τ̇32 dt . (8)
0
This index represents the sum of the torques derivatives over all movement. Min-
imizing this quantity is equivalent to maximizing the smoothness of the driving
torque (for one isolated muscle attached to a mass, Pandy [12] shows that minimiz-
ing this cost function is the equivalent of minimizing jerk).
“DynamicalSystems” — 2004/3/7 — page #415
Figure 2 Muscle model elements: K pe is the parallel elastic element, B is the damping
element and C represents the contractile one. kT is the tendon stiffness, where LST is the
tendon slack length. α represents the pennation angle.
Figure 3 One degree-of-freedom pendulum representing the entire body rotating about
the ankle joint.
A model comprising eight linear muscular actuators was developed [1], to test
the ability of the methodology to solve the actuator redundancy problem [8], which
arises due to the existence of a greater number of actuators than degrees of freedom.
The actuators here were able to respond for positive or negative values of excitation,
and the maximum force was chosen to be about 9000 N for all actuators, strong
enough to avoid control saturation. Two of the actuators were bi-articular, and the
other six mono-articular, i.e., one flexor and one extensor for each joint. The cost
function used was:
8 µ 2
Z2 X ¶
f (u, x(t0 )) = F̃˙ i + ku2i dt (9)
0 i=1
with k = 0.2.
Several tests were performed using all the options of spline interpolation and
Runge–Kutta integrators and discretization was refined until the machine memory
limit was reached, and no convergence was achieved. The reason for this failure
may be due to the numerical degradation of the LQR estimated initial guess of
the controls. Runge–Kutta methods of order greater than two makes evaluations
of the function h at intermediary points in the mesh, at tk + ∆/2. When the gain
“DynamicalSystems” — 2004/3/7 — page #416
matrix is incorporated in the system, the value of the controls ({u} = −[K]{x}) is
evaluated correctly at the integration step. In the numerical experiments carried
out, the control vector was estimated off-line, by multiplying the values of x in
the mesh knots by the gain matrix. When the simulation of the first iteration
is done, the value of the control out of the knot is approximated by the limit
at the left [5]:
if τk = tk , u[τk,i ] = u(τk,i ) ,
else if τk = tk + ∆/2 , u[τk,i ] = lim u(t) .
t→τk,i
This approximation leads to an error that is accumulated over the integration, and
corrupts the stability properties of the initial guess obtained with the LQR. To
avoid this effect, 1-st order Runge–Kutta may be used, but only with linear muscle
models, as this low-order integrator is not able to handle the numerical difficulties
introduced by muscle non-linear behavior.
Another strategy used was to replace terminal equality constraints by inequality
constraints with a wide value of π/5, imposing the lower control bound of 0, as the
linear LQR does not deal with this constraint. Convergent results were obtained
using the last result as initial control guess, terminal equality constraints, 1-st order
Runge–Kutta.
where the derivatives of the muscle forces were the same analytical expressions as
used in the dynamical system.
One series of tests used 300 points and an LSODA integrator. The simulations
obeyed the following sequence, where the control results of one simulation were the
initial guess of the next:
• Initial guess found by trial and error and terminal constraints for displace-
ments and velocities set as π/5.
• Last simulation as initial guess and terminal constraints of π/15.
• Idem, terminal constraints of π/30.
“DynamicalSystems” — 2004/3/7 — page #417
Figure 4 Trajectory and initial guess of control vector. 4-th order Runge–Kutta, 150
points.
“DynamicalSystems” — 2004/3/7 — page #419
Figure 5 Trajectory and optimal control for π/5 terminal constraints. 4-th order Runge–
Kutta, 150 points, control bounds [0,10]. CPU time Pentium III 600 MHz: 96 min. Cost
function f = 3.4314.
“DynamicalSystems” — 2004/3/7 — page #420
Figure 6 Trajectory and optimal control for π/15 terminal constraints. 4-th order Runge–
Kutta, 150 points, control bounds [0,10]. CPU time Pentium III 600 MHz: 43 min. Cost
function f = 9.2629.
“DynamicalSystems” — 2004/3/7 — page #421
Figure 7 Trajectory and optimal control for π/30 terminal constraints. 4-th order Runge–
Kutta, 150 points, control bounds [0,10]. CPU time Pentium III 600 MHz: 28 min. Cost
function f = 9.3786.
“DynamicalSystems” — 2004/3/7 — page #422
in the calculus of the first point after the initial condition in the mesh of the 2-
nd interval that is not evaluated with the information of the i − 1 knot. The
control functions obtained showed a sharp discontinuity in the interface between
the intervals. In the sequence, these results were used as an initial control guess for
the OCP, and smooth controls were obtained.
For the biomechanical model containing 10 non-linear muscles the strategies
described above are not adequate, due to the low order of the integrator, and
other methods were tested to increase the simulation time. The first considered
a complete solution for 0.4 seconds and added a new set of points with constant
control values, using this augmented control vector as an initial guess. After a large
number of numerical tests, convergent results were found for, in the maximum, 50
added points, as shown in Figure 8.
The other strategy, tested for 1-second final time, was decreasing the value of
gravity, finding an optimal solution with some initial guess and applying the solu-
tion to another simulation with a greater value of gravity, until the real 9.81 m/s2
acceleration was reached. Initially, g = 2 m/s2 was tested for an initial control
guess of constant values of control corresponding to the vector [0.04 0.04 0.04 0.04
0.10 0.08 0.04 0.04 0.08 0.04], where the sequence of muscles is the same shown in
the legend of the figures. The results for terminal inequality constraints of π/5 are
shown in Figure 9. Subsequent tests were performed with 5, 7.5 and finally 9.81
m/s2 (see details in [1]). After six subsequent simulations, spending a total of 58.5
hours of CPU time, the results indicated in Figure 10 were achieved.
7 Discussion
The results obtained allow us to point out some of numerical problems that arise
when the optimal trajectories for a musculoskeletal model are determined by an
iterative integration method, like the ones based on the consistent approximation
theory. The strong dependency of the initial guess of the control vector on the
convergence of the results, for every degree of complexity of the musculoskeletal
model, should be noted. This effect may be assigned to the intrinsically unstable
nature of the problem, which in the real biological system is changed by the feedback
circuits related to the spinal cord and brain stem. As in this work such feedback
mechanisms are not considered, any initial guess for the iterative optimal control
procedure must lie in some region of the phase-space where a feasible solution can be
reached when the augmented Lagrangean is minimized. This equivalent to saying
that the initial control guess does not fall out of the optimization solution attraction
basin.
Analysis of the strategies used to generate initial control vectors indicates that
the most appropriate, for every specified final time, is varying gravity. This proce-
dure is able to find a stable first solution from the “not too bad” guess derived from
some heuristics consisting of activating the main extensors, for example. Multiple
bonded simulations are restricted to an Euler integrator, and the LQR controller
leads to negative values of the control variable, besides the numerical corruption
addressed in item 4. Augmenting a solution with more points can lead to at most
30% of increase in the final time.
“DynamicalSystems” — 2004/3/7 — page #423
Figure 8 Trajectory and optimal control for π/30 terminal constraints. LSODA integrator,
150+50 points, control bounds [0,10]. CPU time Pentium III 600 MHz (4 simulation
sequence, using 0.4 seconds result): 3.7 hours. f = 6.8569.
“DynamicalSystems” — 2004/3/7 — page #424
Figure 9 Trajectory and optimal control for π/5 terminal constraints. g = 2 m/s2 . Runge–
Kutta 4-th order integrator, 400 points, control bounds [0.04,10], optim. and constr. tol.
of 0.05 and 0.02. CPU time Pentium III 600 MHz: 22.6 hours. f = 0.2201.
“DynamicalSystems” — 2004/3/7 — page #425
Figure 10 Trajectory and optimal control for π/30 terminal constraints. g = 9.81 m/s2 .
Runge–Kutta 4-th order integrator, 400 points, control bounds [0,10], optim. and constr.
tol. of 0.1 and 0.12. Total CPU time Pentium III 600 MHz (6 simulations): 58.5 hours.
f = 4.0576.
“DynamicalSystems” — 2004/3/7 — page #426
It should be noted that no convergence was reached for Runge–Kutta and spline
interpolation order lower than 4-th, although LSODA can be used. This last choice
provided very noisy responses (see Figure 8), and was slower than Runge–Kutta.
Terminal inequality constraints should be used, instead of equality, for the sys-
tem proposed here. This choice allows a greater flexibility in imposing the con-
straints progressively, and the results are almost equivalent to imposing equality
constraints. In this case, the final error of the states obtained at the end of the
simulation is around the value of the prescribed violation tolerance, when in other
cases it is equal to the value of the inequality plus the tolerance. These constraints
should be imposed progressively, and convergence could not be obtained if a very
narrow value was used in the first iteration. The same can be said about control
constraints. In the postural task proposed here, maximum values of muscle exci-
tation exceeded only slightly the upper control bounds. However, in the results
presented in Figure 8, the previous simulation was done with the same conditions,
but the upper bound was set to a very high value. In these results, two muscles
only in the first point of the mesh presented values of excitation close to 1.5. The
cutting-off from 1.5 to 1.0 took 2.4 hours of CPU time, and the cost increased
from 6.0173 to 6.8569.
Care must be taken in the choice of optimization and constraint violation tol-
erances of the NPSOL routine. Optimization tolerance around 0.1 was used in the
most of the convergent results, and the minimum value with convergence was 0.01.
Constraint violation was set to the same value in most cases. Reduced values should
be used, and terminal constraints would be reached more closely, but must be set
smaller than the lower control bound, or a division-by-zero error occurs.
The methodology proposed here for the model with fixed moment-arm and mus-
culotendon length should be extended to variable values of these parameters, using
the regression equations obtained in [1]. Other initial conditions and postural tasks
should be simulated, such as rising from a chair or gait. The optimal cost function
used seems to produce physiologically plausible responses, but the muscular exci-
tation patterns obtained should be compared with filtered EMG in experimental
studies; this may suggest the use of other optimal cost functions.
The results obtained could be used for finding feedback matrices, simulating
some of the spinal cord and brain stem control mechanisms. As the open-loop
optimal trajectory is known, extended linearization might be applied for finding
such variable control gains.
More reliable models of the human musculoskeletal complex should consider in-
dividual specific parameters. When the methodologies for finding these parameters
non-invasively is available, the optimal control technique may become a functional
tool for simulating the neuro-mechanical effect of orthopedic simulations and the
planning of rehabilitation therapies.
Acknowledgments
The authors gratefully acknowledge Fundação de Amparo à Pesquisa do Esatdo de
São Paulo (FAPESP) for funding the research project and CNPq, for the Ph.D.
scholarship to one of the authors, L.L. Menegaldo. The authors are also grateful to
Dr. Raul Gonzales and José Jaime Cruz for critical discussion of the results.
“DynamicalSystems” — 2004/3/7 — page #427
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Subject Index
205, 221, 222 damped system, 35, 156, 158, 159, 204,
completeness, 33, 34, 37, 47–49 268
compression phase, 92, 96–102 damping matrix, 166, 169, 178, 202,
consistent approximation, 302, 407– 228
409, 422 Darwin theory, 230
constrained system, 21–28, 30, 31 degree of freedom, 53, 54, 116–118,
constraint, 7, 116, 127, 128, 130–135, 165, 173, 178, 186–189, 196,
137–140, 208, 222, 228–230, 204, 227, 228, 231, 238, 243,
232, 338, 364, 372, 407, 409, 244, 251, 259, 260, 266, 268,
410, 417, 426 284, 415
constraint delay coordinates, 319–321, 324, 325,
acatastatic, 23 328, 330
catastatic, 23 depreciation, 381, 382, 384–386
dynamical, 408 depreciation cost, 379, 380
ideal – see ideal constraint DFP: Davidon–Fletcher–Powell algo-
holonomic – see holonomic con- rithm, 264
straint differential game, 127
non-ideal – see non-ideal constraint differential inclusion, 339–342, 345
nonholonomic – see nonholonomic discount rate, 381, 382, 388–390
constraint discounting, 381, 382, 384, 385
rheonomic, 23 discounting cost, 379, 380
scleronomic, 23 discrete time control, controller, 207,
control system, 140, 163–165, 178, 184, 214, 218
189, 194, 202, 204, 205, 207, discriminating domain, 142, 143
227, 273, 275 discriminating kernel, 133, 142, 143
controller, 163–166, 168, 171, 173–175, domain of attraction, 54, 56, 59, 60,
179, 189, 192, 193, 204, 205, 67, 72
210, 212–214, 216–218, 220– domain of stability, 157
222, 228, 233, 302, 309, 394, dominant pole, 192, 193, 195, 196, 198,
417 199, 202, 204, 205, 213
controller design, 128, 207, 212, 222, DSA: Dynamic Signal Analyser, 264
301 ductility, 3, 4, 7–10, 12, 15, 16, 18, 19
controller transfer function, 166–168, Duffing oscillator, 243
178, 179, 183, 188, 204 dynamics generator, 40, 41, 43
convergence in the sense of Painlevé–
Kuratowski, 141 Earth, 109–113, 115, 116, 118–125
Coriolis force, 310–312 Earth-centered system, 111, 113, 114,
correlation dimension, 319–322, 326, 285, 286, 288
330, 399, 400 earthquake, 163–165, 205
cortical, 393–395, 398, 400, 403 ECFS: equivalent complex cross-section
cost function, 259, 263, 264 flexural stiffness, 259, 260, 266
Coulomb friction, 92, 242 eigenfunction, 33, 42, 299, 306, 308
crossover, 186, 187, 193–195, 197–200, eigenstate, 34, 396
230, 231 eigenvalue, 41–43, 46, 48, 49, 55, 56,
63, 64, 72, 229, 251, 262, 263,
D’Alembert Principle, 21, 22, 25 289, 322, 397
damped motion, 312, 313 eigenvector, 41, 42, 166, 262
“DynamicalSystems” — 2004/3/4 — page #433