Linear Systems

Prof. Dr. Joo Edgar Chaves Filho

Mestrado em Eng. Eltrica
1

Today:
Introduction
Motivation

Math.

Course Overview

Descriptions of Systems ~ Review

Classification

of Systems
Linear Systems
LTI Systems

1. INTRODUCTION

1.1 Motivation
What is a "system"?
A physical process or a mathematical model of a
physical process that relates one set of signals to
another set of signals
input/
excitation/
cause

System

output/
response/
result

y(t)
t

Examples: Air conditioner, cars, circuits, bank accounts

Two general categories of signals/systems:

Continuous-time (CT) signals/systems
Examples: Speed/car, current/circuit, temperature/room
Described by differential eqs., e.g., dy/dt = ay(t) + bu(t)
Signals themselves could be discontinuous
3

y(k)

Discrete-time (DT) signals/systems

Examples: Money in a bank account, quarterly profit

Sequence of numbers
Input/output related by difference equations, e.g.,
y[k+1] = ay[k] + bu[k]

DT and CT are quite similar, and will be treated in parallel

The goal of "System Theory"?

Establish input/output relationship through models,
Predict output from input, know how to produce desired output
Alter input automatically (via controller) to produce
desired output
requirement

Controller

input

System

output
4

Example: A simple electric circuit

i(t) ~ Output
u(t) ~

~ Input

Use physical laws to model/describe the behavior of the system:

What

are the components? What properties do they have?

di L
dv C
v R Ri R , v L L
, iC C
dt
dt

Relationship among the variables by physical law:

KCL: Sum of currents to a node = 0, iR= iC= iL= i.
KVL: Sum of voltages across a loop = 0.

i(t) ~ Output
u(t) ~

~ Input
2
di 1 t
d
KVL : Ri L i ( )d v0 u (t ) L i (2t ) R di (t ) 1 i (t ) du (t )
dt C 0
dt
dt
C
dt

An

integral-differential or differential equation

Input-output description or external description

How to analyze the input-output relationship?

For

example, find the output i(t) given u(t) and IC.

We can use Laplace transform

Note: only effective for LTI systems

6

Laplace Transform, A Quick

Review

f (t ) F ( s ) f (t )e st dt
0

Converting linear constant coefficient differential

equations into algebraic equations
Other properties
in the frequency domain: tf (t) ()F '(s)
Convolution: h(t)f (t) H(s)F(s)
Time and frequency shifting: f (t-t0) u(t-t0) e-st0 F(s);
Differentiation

es0t f (t) F(s - s0)

7

and frequency scaling: f (at) 1/a F(s/a) for a > 0

Initial Value Theorem: f (0+) = lims sF(s)
Time
Final

Value Theorem: f () = lims0 sF(s) if all the poles of

sF(s) have strictly negative real parts
i(t) ~ Output

Example (Continued)

u(t) ~

~ Input
t

di 1
KVL : Ri L i ( )d v0 u (t )
dt C 0

i( s ) v0

Ri ( s ) L si ( s ) i0
u ( s )
Cs
s
8

 An algebraic equation vs integral-differential

equation. Solution:

Ls R

i( s )

v0
1

i
(
s
)

u
(
s
)

Li

0 s
cs

LCsi0 cv0
cs

u (s)
2
LCs RCs 1
LCs 2 RCs 1

Is there any pattern with the equation?

It has two components, one caused by
input, and the other by IC
How about the voltage across the capacitor?
i( s ) v0
1
Li0 LCs RC v0
v( s )

u ( s )
2
Cs
s LCs RCs 1
LCs 2 RCs 1

What is the system's transfer function?

 Assume that the ICs are zero, then

^
g(s)

^u(s)

i (s)

Cs
2

LCs RCs 1

^i(s) = g(s)
^ u(s)
^

u(s)

g(s)

Cs
LCs2 RCs 1

Frequency

domain analysis
How to obtain the response in time domain?

i (t ) L1 i( s )

Suppose that L = C = 1, R = 2, v0 = i0 = 0, and u(t) =

U(t) (unit step function). Then
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u(s)

1
s

i (s)

Cs u(s)

1
1

LCs2 RCs 1 s 2 2s 1 s 1 2

i(t)

i( t ) te t

Does this make sense

for the circuit?
R

u(t)

0.4
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0
0

10

15

+
v(t)
-

11

Limitation of Laplace transform: not effective for

time varying/nonlinear systems such as
y (t ) a1 ( y, t ) y (t ) a0 ( y, t ) y (t ) b( y, t )u (t )

The state space description to be studied in this class

will be able to handle more general systems

How can we do it?
Properties can be characterized without solving for
To the
get output
some general idea about state space description,
we consider the same circuit system.
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i(t) ~ Output
u(t) ~

v(t)

~ Input

State-Space Description
State variables: Voltage across C and current through L
state equation:
dv
(1 / C ) i
v 0
dt
i 1 / L
di

( R / L)i (1 / L)v (1 / L)u

dt

1 / C v 0

R / L i 1 / L

A set of first-order differential equations

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 It describes the behaviors inside the system by using

the state variables v(t) and i(t)
i(t) ~ Output
How to describe the output?
v
y i 0 1
i

u(t) ~

v(t)

~ Input

The output equation

Combined with the state equation, we have the statespace description or internal description
A

1 / C v
v 0
i 1 / L R / L i


v
y 0 1
i

B
0

u,

1 / L

x Ax Bu
y Cx

14

 A general form:

x1
x
2

u1
u
2

x f ( x, u , t )
, x
, u
,

y h ( x, u , t )


u p
xn

y1
y
2

yq

Main features of the state-space approach

It describes the behaviors inside the system
Characterizes stability and performances without solving
the differential equations
Applicable to more general systems, nonlinear,
time-varying, uncertain, hybrid
Most recent advancements in control theory are developed
via a state-space approach
15

1.2
Course
Overview

Textbook:

Chi-Tsong

Chen, Linear System Theory and

Design, 3rd Edition, Oxford University Press,
1999 (Required)

Reference:
William

L. Brogan, Modern Control Theory,

3rd edition, Prentice Hall, 1990 (Optional)
Carlo Tomasi, Mathematical Methods for
Robotics and Vision - Stanford University
G. Strang, Linear Algebra with Applications
16

Goals: To achieve a thorough understanding

about systems theory and multivariable system
design
Tentative Outline (15 lectures):
Introduction
Modeling: How to model a physical system
The fundamentals of linear algebra
Analysis:
Quantitative: How to derive response for a
given input
Qualitative: How to analyze controllability,
observability, stability and robustness
without knowing the exact solution?
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 Design:
How

to realize a system given its

mathematical description
How to design a control law so that desired
output response is produced
How to design an observer to estimate the
state of the system
Function optimization
- Newton and Gauss-Newton methods
- Levenberg-Marquardt method
- Constraints and Lagrange multipliers
Will

treat continuous-time and discretetime systems in parallel

18

Prerequisites:
Linear

Feedback Systems
Background on
Laplace

transform
z-transform
Ordinary differential equations
Linear algebra, and
Modeling of electrical and mechanical
systems

19

Grading:
Homework Assignments 60%
Partial Examination
20%
Final Examination
20%
Total
100%

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General Rules:

Homework should be clear, concise, and

complete
Discussion is allowed but no copying;
declare your partner each time
Not all the problems will be graded. Grading
will be based on some randomly selected
problems
Homework due next class; Late assignments
will be discounted 10% a day, up to 5 days

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2.

Mathematical Descriptions of Systems

(Review)
y (t )
u (t )

u (k )

u1 (t )
u (t )
2
,
u (t )

u
(
t
)
p

System
y (k )

y1 (t )
y (t )
2

y (t )

y
(
t
)
q

Classification

of systems
Linear systems
Linear time invariant (LTI) systems
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2.1 Classification of Systems

Basic assumption: When an input signal is applied to the
system, a unique output is obtained
Q. How do we classify systems?
Number of inputs/outputs; with/without memory;
causality; dimensionality; linearity; time invariance
The number of inputs and outputs
When p = q = 1, it is called a single-input singleoutput (SISO) system
When p > 1 and q > 1, it is called a multi-input multioutput (MIMO) system
MISO, SIMO defined similarly

23

 Memoryless vs. with Memory

If y(t) depends on u(t) only, the system is said to be
memoryless, otherwise, it has memory
An example of a memoryless system?

+
u(t)
-

R1

An

example of a system with memory?

R
+
u(t)
-

R2

A purely resistive circuit

+
y(t)
R2
y( t )
u( t ) ~ Memoryless
R1 R 2

i
L

di
Ri L u
dt
i (t ) e

R
t t 0
L

or

di R
1
i u
dt L
L
t

1 RL t
i (t0 ) e
u ( )d
L t0
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 i(t) depends on i(t0) and u() for t0 t, not just u(t)

A system with memory

Causality: No output before an input is applied

Input

System

Output

A system is causal or non-anticipatory if y(t0) depends

only on u(t) for t t0 and is independent of u(t) for t > t0
Is the circuit discussed last time causal?

R
+
u(t)
-

i
L

u(t)
t
y(t)
t
25

 An

example of a non-causal system?

y(t) = u(t + 2)
u(t)
1

t
y(t)

Can you truly build a physical system like this?

All physical systems are causal!

26

The concept of state

The output depends on the input. Is it completely
determined by the input?
Take the circuit system for example.
i(t) ~ Output
u(t) ~

~ Input

The output i(t) also depends on the ICs

State at t0: The information at t0 needed to determine the
behavior of the system for t t0 apart from the input
For the circuit, the state is the ICs, vc(t0) and iL(t0)
27

 State and state variables

State is a set of variables, e.g., x x1 , x2 , , xn
The

number of state variables = the number of

ICs needed to solve the problem

For

an LRC circuit, the number of state

variables = the number of C + the number of L
(except for degenerated cases)
A natural way to choose state variables as what
we have done earlier: {vc} and {iL}
Is this the unique way to choose state
variables?
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 Any

invertible transformation of the above

can serve as a state, e.g.,
x1 (t ) 1 1 v(t ) v(t ) i (t )
x (t ) 1 1 i (t ) v(t ) i (t )

Although the number of state variables = 2, there

are infinite numbers of representations
Order of dimension of a system: The number of
state variables
If the dimension is a finite number Finite
dimensional (or lumped) system
Otherwise, an infinite dimensional (or
distributed) system
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An example of an infinite dimensional system

u(t)

System

y(t) = u(t-1)

A delay line

Given u(t) for t 0, what information is needed to

know y(t) for t 0?

u(t)
t

? y(t)
t

We need an infinite amount of information An

infinite dimensional system
30

Today:
Introduction
Motivation
Course

Overview

Mathematical

Descriptions of Systems ~ Review

Classification

of Systems
Linear Systems
LTI Systems

31

2.2 Linear Systems

Linearity

Double the efforts double the outcome?

Suppose we have the following (state,input)-output pairs:

x1 (t0 )

y1 (t ), t t0

u1 (t ), t t0

x2 (t0 )
y2 (t ), t t0
u2 (t ), t t0

What would be the output of

x1 (t0 ) x2 (t0 )

u1 (t ) u2 (t ), t t0

y1 (t ) y2 (t ), t t0
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 If

this is true ~ Additivity

How about
x1 (t0 )

u1 (t ), t t0

y1 (t ), t t0

If this is true ~ Homogeneity

Combined together to have:
1 x1 (t0 ) 2 x2 (t0 )
1 y1 (t ) 2 y2 (t )
1u1 (t ) 2u 2 (t ), t t0

If this is true ~ Superposition or linearity property

A system with such a property: a Linear System
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 Are R, L, and C linear elements?

di
dv
v R Ri R , v L L L , iC C C
dt
dt

Yes (differentiation is a linear operation)

v = Ri

Affine
Linear
i

Nonlinear
i

Also, KVL and KCL are linear constraints.

When put together, we have a linear system

34

The additivity property implies that

x1 (t0 )
x1 (t0 ) 0
x1 (t0 )
y (t ) due to
y (t ) due to
y (t ) due to
u
(
t
),
t

t
u
(
t
)

0
0
1
1
u1 (t ), t t0

Response = zero-input response + zero-state response

Response of a Linear System

u(t)

Linear
System

y(t)

How can we determine the output y(t)?

Can be derived from u(t) + the unit impulse response

based on linearity
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The Input-Output Description

36

The Input-Output Description

h(t) = g(t)
37

continue

When 0

(t-ti) (t-ti) impulse

and the output g(t-ti) impulse response

38

The Input-Output Description

39

 Let (t-) be a square pulse at time with width

and height 1/
t-

1/

Area = 1
t

As 0, we obtain a shifted unit impulse

t

f t t dt f

Let the unit impulse response be g ( t,Based on

linearity,

y (t )

g (t , )u ( )d

40

 If the system is causal,

t

g (t , ) 0 for t

y (t )

g (t , )u ( )d

A system is said to be relaxed at t0 if the initial

state x (t0) at t0 is 0
In this case, y(t) for t t0 is caused exclusively by
u(t) for t t0
t

y (t ) g (t , )u ( )d
t0

41

 How about a system with p inputs and q outputs?

Have to analyze the relationship for input/output pairs
t

y (t ) G (t , )u ( )d
t0

G (t , )

g11 (t , ) g12 (t , )
g (t , ) g (t , )
22
21

g q1 (t , ) g q 2 (t , )

g1 p (t , )

g 2 p (t , )

g qp (t , )

gij(t,): The impulse

response between the
jth input and ith output

State-Space Description

A linear system can be described by

x (t ) A(t ) x(t ) B(t )u (t )
y (t ) C (t ) x(t ) D(t )u (t )
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2.3 Linear Time-Invariant (LTI) Systems

Time Invariance: The characteristics of a system do not

change over time
What are some of the LTI examples? Time-varying
examples?
What happens for an LTI system if u(t) is delayed by
T?

u(t)

u(t-T)

y(t)

y(t-T)

If the same IC is also shifted by T, then

43

 This

property can be stated as:

x(t0 ) x0

y (t ), t t0

u (t ), t t0

x(t0 T ) x0
y (t T ), t t0 T
u (t T ), t t0 T

44

What happens to the unit impulse response when

the system is LTI?

g (t , ) g (t T , T ) for any T
g (t , ) g (t , ) g (t ,0) g (t )

Only the difference between t and matters

What happens to y(t)?
t

y (t ) g (t , )u ( )d
t0

g (t )u ( )d
t0

t0

g ( )u (t ) d

g (t ) * u (t )

~ Convolution integral

y ( s ) g ( s ) u ( s )

45

 ( s ) g ( s ) u ( s )
Proof of y

y ( s ) y (t )e st dt
0

st

g
(
t

)
u
(

)
d

e
dt
t 0 0

s (t ) s
g (t )u ( )d e
e dt
t 0 0

t 0

g (t )e

s ( t )

dt u ( )e s d ,

( Let t )
46

y ( s )

u
(

)
e
d ,
0

( Note g ( ) 0 for 0)

g ( )e

g ( )e

0 0

g ( )e

d u ( )e s d

u ( )e

y ( s ) g ( s ) u ( s )
47

Transfer-Function Matrix
For SISO system,

g (s) ~ Transfer function, the Laplace transform of the unit

impulse response

y ( s ) g ( s ) u ( s )

For MIMO system,

y ( s ) G ( s ) u ( s )
G ( s )

g11 ( s )
g ( s )
21

g12 ( s )
g 22 ( s )

g1 p ( s )
g 2 p ( s )

g q1 ( s ) g q 2 ( s )

~ Transfer-function
matrix, or transfer
matrix

g qp ( s )
48

Today:
Introduction

Motivation
Course Overview
Mathematical Descriptions of Systems ~ Review
Classification of Systems
Linear Systems
LTI Systems

Next Time:
Linearization;

Examples; Discrete-time systems

Linear Algebra
Basis, representation, and orthonormalization

Problem Set 1: Ch. 2: 1, 3, 5, 9, 10,14,19, 20, due

next class.
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