Lyapunov stability

Lyapunov stability
Various types of stability may be discussed for the solutions of differential equations describing dynamical systems. The most important type is that concerning the stability of solutions near to a point of equilibrium. This may be discussed by the theory of Lyapunov. In simple terms, if all solutions of the dynamical system that start out near an equilibrium point stay near forever, then is Lyapunov stable. More strongly, if is Lyapunov stable and all solutions that start out near converge to , then is asymptotically stable. The notion of exponential stability guarantees a minimal rate of decay, i.e., an estimate of how quickly the solutions converge. The idea of Lyapunov stability can be extended to infinite-dimensional manifolds, where it is known as structural stability, which concerns the behavior of different but "nearby" solutions to differential equations. Input-to-state stability (ISS) applies Lyapunov notions to systems with inputs.

History
Lyapunov stability is named after Aleksandr Lyapunov, a Russian mathematician who published his book "The General Problem of Stability of Motion" in 1892.[1] Lyapunov was the first to consider the modifications necessary in nonlinear systems to the linear theory of stability based on linearizing near a point of equilibrium. His work, initially published in Russian and then translated to French, received little attention for many years. Interest in it started suddenly during the Cold War (1953-1962) period when the so-called "Second Method of Lyapunov" was found to be applicable to the stability of aerospace guidance systems which typically contain strong nonlinearities not treatable by other methods. A large number of publications appeared then and since in the control and systems literature.[2][3][4][5][6] More recently the concept of the Lyapunov exponent (related to Lyapunov's First Method of discussing stability) has received wide interest in connection with chaos theory. Lyapunov stability methods have also been applied to finding equilibrium solutions in traffic assignment problems.[7]

Definition for continuous-time systems

Consider an autonomous nonlinear dynamical system , where denotes the system state vector, an open set containing the origin, and , there exists a

continuous on . Suppose has an equilibrium . 1. The equilibrium of the above system is said to be Lyapunov stable, if, for every

such that, if , then , for every . 2. The equilibrium of the above system is said to be asymptotically stable if it is Lyapunov stable and if there exists such that if , then . 3. The equilibrium of the above system is said to be exponentially stable if it is asymptotically stable and if there exist such that if , then , for . Conceptually, the meanings of the above terms are the following: 1. Lyapunov stability of an equilibrium means that solutions starting "close enough" to the equilibrium (within a distance from it) remain "close enough" forever (within a distance from it). Note that this must be true for any that one may want to choose. 2. Asymptotic stability means that solutions that start close enough not only remain close enough but also eventually converge to the equilibrium. 3. Exponential stability means that solutions not only converge, but in fact converge faster than or at least as fast as a particular known rate . The trajectory x is (locally) attractive if

Lyapunov stability

for for all trajectories that start close enough, and globally attractive if this property holds for all trajectories. That is, if x belongs to the interior of its stable manifold. It is asymptotically stable if it is both attractive and stable. (There are counterexamples showing that attractivity does not imply asymptotic stability. Such examples are easy to create using homoclinic connections.)

Lyapunov's second method for stability

Lyapunov, in his original 1892 work, proposed two methods for demonstrating stability.[1] The first method developed the solution in a series which was then proved convergent within limits. The second method, which is almost universally used nowadays, makes use of a Lyapunov function V(x) which has an analogy to the potential function of classical dynamics. It is introduced as follows for a system having a point of equilibrium at x=0. Consider a function such that with equality if and only if (positive definite) (negative definite).

with equality if and only if

Then V(x) is called a Lyapunov function candidate and the system is asymptotically stable in the sense of Lyapunov. (Note that is required; otherwise for example would "prove" that is locally stable. An additional condition called "properness" or "radial unboundedness" is required in order to conclude global asymptotic stability.) It is easier to visualize this method of analysis by thinking of a physical system (e.g. vibrating spring and mass) and considering the energy of such a system. If the system loses energy over time and the energy is never restored then eventually the system must grind to a stop and reach some final resting state. This final state is called the attractor. However, finding a function that gives the precise energy of a physical system can be difficult, and for abstract mathematical systems, economic systems or biological systems, the concept of energy may not be applicable. Lyapunov's realization was that stability can be proven without requiring knowledge of the true physical energy, provided a Lyapunov function can be found to satisfy the above constraints.

Definition for discrete-time systems

The definition for discrete-time systems is almost identical to that for continuous-time systems. The definition below provides this, using an alternate language commonly used in more mathematical texts. Let be a metric space and , there is a a continuous function. A point such that for all , if is said to be Lyapunov

stable, if, for each then

for all We say that

. is asymptotically stable if it belongs to the interior of its stable set, i.e. if there is a such that

whenever

Lyapunov stability

Stability for linear state space models

A linear state space model

is asymptotically stable (in fact, exponentially stable) if all real parts of the eigenvalues of condition is equivalent to the following one:

are negative. This

has a solution where function is .)

and

(positive definite matrices). (The relevant Lyapunov

Correspondingly, a time-discrete linear state space model

is asymptotically stable (in fact, exponentially stable) if all the eigenvalues of

have a modulus smaller than one.

This latter condition has been generalized to switched systems: a linear switched discrete time system (ruled by a set of matrices )

is asymptotically stable (in fact, exponentially stable) if the joint spectral radius of the set smaller than one.

is

Stability for systems with inputs

A system with inputs (or controls) has the form

where the (generally time-dependent) input u(t) may be viewed as a control, external input, stimulus, disturbance, or forcing function. The study of such systems is the subject of control theory and applied in control engineering. For systems with inputs, one must quantify the effect of inputs on the stability of the system. The main two approaches to this analysis are BIBO stability (for linear systems) and input-to-state (ISS) stability (for nonlinear systems)

Example
Consider an equation, where compared to the Van der Pol oscillator equation the friction term is changed:

The equilibrium is at : Here is a good example of an unsuccessful try to find a Lyapunov function that proves stability: Let

so that the corresponding system is

Let us choose as a Lyapunov function

which is clearly positive definite. Its derivative is

Lyapunov stability

It seems that if the parameter depend on

is positive, stability is asymptotic for axis.

But this is wrong, since

does not

, and will be 0 everywhere on the

Barbalat's lemma and stability of time-varying systems

Assume that f is function of time only. Having Having Having does not imply that . approaching a limit as . lower bounded and decreasing ( as . and if is uniformly continuous (or is bounded), then ) implies it converges to a limit. But it does not say whether or not Barbalat's Lemma says: If does not imply that . For example, has a limit at . For example,

has a finite limit as

as . Usually, it is difficult to analyze the asymptotic stability of time-varying systems because it is very difficult to find Lyapunov functions with a negative definite derivative. We know that in case of autonomous (time-invariant) systems, if is negative semi-definite (NSD), then also, it is

possible to know the asymptotic behaviour by invoking invariant-set theorems. However, this flexibility is not available for time-varying systems. This is where "Barbalat's lemma" comes into picture. It says: IF 1. 2. 3. then satisfies following conditions: is lower bounded is negative semi-definite (NSD) is uniformly continuous in time (satisfied if as . is finite)

The following example is taken from page 125 of Slotine and Li's book Applied Nonlinear Control. Consider a non-autonomous system

This is non-autonomous because the input Taking This says that gives

is a function of time. Assume that the input

is bounded.

by first two conditions and hence

and

are bounded. But it does not say

anything about the convergence of dynamics is non-autonomous. Using Barbalat's lemma: .

to zero. Moreover, the invariant set theorem cannot be applied, because the

Lyapunov stability This is bounded because , and are bounded. This implies as and hence . This

proves that the error converges.

References
[1] Lyapunov A.M. The General Problem of the Stability of Motion (In Russian), Doctoral dissertation, Univ. Kharkov 1892 English translations: (1) Stability of Motion, Academic Press, New-York & London, 1966 (2) The General Problem of the Stability of Motion, (A.T. Fuller trans.) Taylor & Francis, London 1992. Included is a biography by Smirnov and an extensive bibliography of Lyapunov's work. [2] Letov A.M. Stability of Nonlinear Control Systems (Russian) Moscow 1955 (Gostekhizdat); English tr. Princeton 1961 [3] Kalman R.E. & Bertram J.F: Control System Analysis and Design via the Second Method of Lyapunov, J. Basic Engrg vol.88 1960 pp.371; 394 [4] LaSalle J.P. & Lefschetz S: Stability by Lyapunov's Second Method with Applications, New York 1961 (Academic) [5] Parks P.C: Liapunov's method in automatic control theory, Control I Nov 1962 II Dec 1962 [6] Kalman R.E. Lyapunov functions for the problem of Lurie in automatic control, Proc Nat Acad.Sci USA, Feb 1963, 49, no.2,201-. [7] Smith M.J. and Wisten M.B., A continuous day-to-day traffic assignment model and the existence of a continuous dynamic user equilibrium , Annals of Operations Research, Volume 60, 1995

Further reading
Jean-Jacques E. Slotine and Weiping Li, Applied Nonlinear Control, Prentice Hall, NJ, 1991 Parks P.C: A.M. Lyapunov's stability theory - 100 years on, IMA Journal of Mathematical Control & Information 1992 9 275-303

External links
http://www.mne.ksu.edu/research/laboratories/non-linear-controls-lab This article incorporates material from asymptotically stable on PlanetMath, which is licensed under the Creative Commons Attribution/Share-Alike License.

Article Sources and Contributors

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