Slides Chap3

ELEC2400 Signals & Systems
Chapter 3. Modelling, Differential Equations and System Properties

Brett Ninnes brett@newcastle.edu.au. School of Electrical Engineering and Computer Science The University of Newcastle
Slides by Juan I. Yuz (jiyuze@ee.newcastle.edu.au) - July 24, 2003 p.1/100
3. Modelling, Differential Equations and System Properties
In most engineering scenarios, signals are related by the laws of physics. The equations involved can be very complicated, although the essential characteristics can be captured by a simplied analysis. Physical models can be very often expressed as differential equations. This provide insight into the general principles to derive, describe and analyse these models.
Chapter 3. Modelling, Differential Equations and System Properties p.2/100
Electrical Circuits Modelling

Kirchoff Current and Voltage conservation laws: (KCL)
k
ik (t) = 0 vn (t) = 0
n
(KVL)
Fundamental passive components: Resistor (Ohms Law) Inductor Capacitor

vn (t) = R ik (t) vn (t) = L d ik (t) dt d ik (t) = C vn (t) dt
We have that
i(t)
+
v (t)
vR (t)
by Kirchoffs Voltage Law: v (t) = vR (t) + vC (t)

+
vC (t)
by Ohms Law: vR (t) = R i(t) by the capacitive action: d i(t) = C vC (t). dt
Replacing in KVL, this yields:

v (t) = RC
d 1 1 d vC (t) + vC (t) vC (t) + vC (t) = v (t) dt dt RC RC
Mechanical System Modelling

For a given a body, we have: position
u(t)
d dt u(t) d dt v (t) d2 dt2 u(t)
velocity v (t) = acceleration a(t) =
The sum of forces on a body of mass m, moving only in one axis, makes it accelerate: (Newtons 2nd Law)
k
Fk (t) = m a(t)
Mechanical System Modelling

As well, many physical mechanical components obey laws expressible via differential equation. For a spring:
Fk (t) = ks xk (t)
where ks is the spring constant, and positive xk (t) corresponds to spring stretching. For a damper (or dash-pot):
Fk (t) = kd d xk (t) dt
where kd is the damper viscosity, and positive xk (t) corresponds to extension (of the damper).
CAR CHASSIS
F1 (t) = mg
Spring
Damper d dt
F2 (t) = ks [y (t) u(t)]
F3 (t) = kd
[y (t) u(t)]
y (t)
Road
u(t)
Three forces:
(gravity) F1 (t) = mg (the spring) F2 (t) = ks [y (t) u(t)]
d (the damper) F3 (t) = kd d t [y (t) u(t)]

Example 1: Car Shock Absorber By the Newton 2nd Law: F1 (t) + F2 (t) + F3 (t) = m a(t) mg ks [y (t) u(t)] kd Which (rearranging) yields: d2 kd d ks kd d ks y (t) + y (t) + y (t) = g + u(t) + u(t) 2 dt m dt m m dt m And, making y (t) = y (t) mg/ks : d2 kd d ks kd d ks y (t) + y (t) + y (t) = u(t) + u(t) 2 dt m dt m m dt m
d d2 [y (t) u(t)] = m 2 y (t) dt dt
Example 2: Car Velocity

F1 (t) F2 (t)
x(t)
Consider a car subject to the engine force F1 (t), and the wind resistance F2 (t) proportional to velocity: d x(t) dt And the acceleration a(t) is the time rate of change of velocity v (t): d a(t) = v (t) dt F2 (t) = kv (t) , v (t)
F1 (t)
F2 (t)
x(t)
Using Newtons 2nd law, we get a relationship between the motor induced force F1 (t) = f (t) and the car velocity v (t): d F1 (t) F2 (t) = f (t) kv (t) = m v (t) dt Which may be re-written as: k 1 d v (t) + v (t) = f (t) dt m m
Example 3: Water Tank

u(t) Suface Area = A m2
h(t)
y (t)
Consider a circular water tank of surface area A [m2 ], subject to an inow u(t) [m3 /s] and a resulting outow y (t) [m3 /s]. The total volume V (t) of water in the tank at any time is: V (t) = Ah(t) Thus: d d V (t) = A h(t) = u(t) y (t) dt dt
Example 3: Water Tank

u(t) Suface Area = A m2
h(t)
y (t)
The output ow rate y (t) is proportional to the pressure at the bottom of the tank, and in turn this pressure is proportional to the height h(t): y (t) = Kh(t) for some K R+ Thus, the nal differential equation model is: A d y (t) + y (t) = u(t) K dt
u(t) Suface Area = A1 m2 Suface Area = A2 m2
h2 (t) x(t) h1 (t) y (t)
Consider now that the outow x(t) of one tank of surface area A1 becomes the inow of a second tank of surface area A2 . As per the previous example, we have that: d h1 (t) = u(t) x(t) dt d A2 h2 (t) = x(t) y (t) dt A1
Example 4: Coupled Water Tanks

h2 (t) x(t) h1 (t) y (t)
The ow rate x(t) is proportional to the pressure difference, which is proportional to h1 (t) h2 (t). That is: x(t) = K1 [h1 (t) h2 (t)] for some K1 R+ (Note that x(t) can be negative) Finally, as in the previous example: y (t) = K2 h2 (t) for some K2 R+
Example 4: Coupled Water Tanks

Substituting the expressions for x(t) and h2 (t), we have: A1 d 1 h1 (t) = u(t) K1 h1 (t) y (t) dt K2 A2 d 1 y (t) = K1 h1 (t) y (t) y (t) K2 dt K2
()
Which can be rewritten as: d K1 1 1 h1 (t) = h1 (t) + u(t) + y (t) dt A1 A1 K2 K1 + K2 A2 d h1 (t) = y (t) + y (t) K1 K2 dt K1 K2 Differentiating () and replacing h1 (t), we obtain the nal differential equation model relating input ow rate u(t) to output ow rate y (t): A1 A2 K1 K2 d2 y (t) + dt2 A1 + A 2 A1 + K2 K1 d y (t) + y (t) = u(t) dt
For a wide class of physical phenomena, two signals y (t) and u(t) are related by a differential equation:
dn1 d dn y ( t ) + a y (t) + + a1 y (t) + a0 y (t) = n 1 n n 1 dt dt dt dm d bm m u(t) + + b1 u(t) + b0 u(t) dt dt
which is linear, time-invariant and nite dimensional. In the previous examples:

1 d dt vC (t) + RC vC (t) d2 s d d (t) + k (t) (t) + k m dt y my dt2 y
= =
1 RC v (t) kd d ks m dt u(t) + m u(t)
First Order Differential Equations

Given a differential equation which describes the relationship between y (t) and u(t), can an explicit formula for y (t) be given? We consider a simple case, where n = 1 and m = 0:
d y (t) + a0 y (t) = b0 u(t). dt
It is called a rst order differential equation (only rst derivatives present). We are interested in obtaining a solution y (t) in terms of u(t) and the initial condition y (t0 ) = y0 .
Solution of First Order Differential Equations
To solve the equation we use an integrating factor, ea0 t :

e a0 t d y (t) + ea0 t a0 y (t) = ea0 t b0 u(t) dt d a0 t e y (t) = ea0 t b0 u(t) dt
And, using the fact that:

t t0
d f ( ) d = f (t) f (t0 ) d
t
we can integrate both sides to give:

y (t) ea0 t = y (t0 ) ea0 t0 +
ea0 b0 u( ) d
t0
In summary, the rst order differential equation:

d y (t) + a0 y (t) = b0 u(t) dt
has solution y (t) which is given by:

t
y (t) = y0 ea0 (t0 t) +

t0
ea0 (t) b0 u( ) d
; t t0
This solution, at time t = t0 passes through the point:

y (t0 ) = y0
Example: First Order System with Step Input
Consider u(t) = 1(t) and y (0) = y0 , for the equation: d y (t) + a0 y (t) = b0 u(t). dt The solution is given by y (t) = y0 ea0 t +
b0 a0
b0 1 ea0 t . a0
y (t) = y0 ea0 t +
b0 [1 ea0 t ] a0
y0 0
Time (seconds)
5/a0
State Space Descriptions

More generally, n, m > 1 in:
dn dn1 d y ( t ) + a y (t) + + a1 y (t) + a0 y (t) = n 1 dtn dtn1 dt dm d bm m u(t) + + b1 u(t) + b0 u(t) dt dt
State-space descriptions reduce high order scalar differential equations to vector rst order ones. The associated vector quantity is known as the state-vector, and its dimension is equal to n. The advantage of reduction to rst-order vector differential equation is ability to provide solutions.
Consider a second order differential equation (n = 2):

d d d2 y (t) + a1 y (t) + a0 y (t) = b1 u(t) + b0 u(t) 2 dt dt dt
It may be re-written as:

d d y (t) + a1 y (t) b1 u(t) + a0 y (t) = b0 u(t) dt dt
Introduce the new signals:

x1 (t) x2 (t) y (t) d y (t) + a1 y (t) b1 u(t) dt
State Space Descriptions: The Second Order Case
Replacing, we have:
d x1 (t) + a1 x1 (t) b1 = x2 (t) (denition of x2 (t)) dt d x2 (t) + a0 x1 (t) = b0 u(t) (original 2nd order eq.) dt
These two coupled rst-order differential equations may be compactly expressed in matrix-vector form as:
d x1 (t) dt x2 (t) = a1 1 a0 0 1 0 x1 (t) b1 + u(t) x2 (t) b0
y (t) =
x1 (t) x2 (t)
State Space Descriptions: The Second Order Case
We then have a state-space description for the 2nd order differential equation:
d x(t) = Ax(t) + Bu(t) dt y (t) = Cx(t).
where:
x(t) x1 (t) , x2 (t) A a1 1 , a0 0 B b1 , b0 C 1 0
For a car shock absorber, with y (t) = y (t) mg/ks , we obtained a 2nd order model of the form:
d2 ks k d ks k d (t) + y (t) = d u(t) + u(t) y (t) + d y dt2 m dt m m dt m
The corresponding state-space description is given by: kd kd 1 d x(t) = m x(t) + m u(t) ks dt ks 0

m m
y (t) = 1 0 x(t)
State Space Descriptions: The General Case
Consider the general differential equation, with m n 1:

n
k =1
dk ak k y (t) + a0 y (t) = dt
n1
b
=1
d u(t) + b0 u(t) dt
It may be re-written as:

d dt
n
ak
k =1
dk1 y (t) dtk1
n1
b
=1
d 1 u(t) = a0 y (t) +b0 u(t). dt 1

x1 (t)
xn (t)
Which implies a rst-order relationship:

d xn (t) = a0 x1 (t) + b0 u(t). dt
This re-parameterisation can be repeated:

n
xn (t)
k =1
dk1 ak k1 y (t) dt
n
n1
b
=1
d 1 u(t) dt 1 b
=2
d dt
ak
k =2
dk2 y (t) dtk2
n1
d 2 u(t) +a1 y (t) b1 u(t) dt 2

x1 (t)
xn1 (t)
so that:
d xn1 (t) = xn (t) a1 x1 (t) + b1 u(t) dt
Repeating this process n 1 times yields n coupled rst order differential equations:
d xn (t) = a0 x1 (t) + b0 u(t) dt d xn1 (t) = xn (t) a1 x1 (t) + b1 u(t) dt d xn2 (t) = xn1 (t) a2 x1 (t) + b2 u(t) dt . . . . . . d x1 (t) = x2 (t) an1 x1 (t) + bn1 u(t) dt and where y (t) = x1 (t)
Putting in matrix-vector form: bn1 x1 (t) an1 1 0 0 x1 (t) x2 (t) an2 0 1 0 x2 (t) bn2 d . . ... ... . + . . u(t) . . . . = . . . . . . dt 0 1 xn1 (t) b1 xn1 (t) a1 0 xn (t) a0 0 0 0 b0 xn (t) x1 (t) x2 (t) . . y (t) = 1 0 0 0 . xn1 (t) xn (t)
In summary, the nth order differential equation:

dn1 d dn y ( t ) + a y (t) + + a1 y (t) + a0 y (t) = n 1 dtn dtn1 dt dn1 bn1 n1 u(t) + + b0 u(t). dt
may be re-expressed as a state-space representation, in terms of the n dimensional state vector x(t):
d x(t) = Ax(t) + Bu(t) dt y (t) = Cx(t)
Where:
an1 an2 . . . a1 a0 0 0 1 0 ... ... . . . , 0 0 1 0 0 0 1 0 0 0 bn1 bn2 . . . , b1 b0
1 0
This formulation is known as the observer canonical form.
State Transformations and Canonical Forms
The state space representation of a differential equation is not unique. Specically, for any invertible matrix M Rnn , the state vector x(t) Rn1 can be transformed to a new state vector z(t), such that:
z(t) = Mx(t) x(t) = M1 z(t)
In this case:
d d z(t) = Mx(t) = MAx(t) + MBu(t) dt dt = MAM1 z(t) + MBu(t) y (t) = Cx(t) = CM1 z(t)
and
State Transformations and Canonical Forms
That is, the state space representation:

d z(t) = A z(t) + B u(t) dt y (t) = C z(t)
where:
A MAM1 , B MB, C CM1
describes exactly the same relationship between the signals y (t) and u(t)
For example, controller canonical form:

A an1 an2 0 1 0 1 . . . . . . 0 0 a1 a0 0 0 0 0 . . ... . . . . 1 0 b 1 b0 1 0 . . . 0 0
bn1 bn2
There are also observability and controllability canonical forms, similar to the preceding.
State Space Descriptions: The Feed-through Term
We have considered the general differential equation:

dn d2 d y ( t ) + + a y (t) + a1 y (t) + a0 y (t) = 2 n 2 dt dt dt dm bm m u(t) + + b0 u(t) dt
where we restricted m < n. We now consider the case m = n, and hence there is a dn term d tn u(t) on the right hand side:
n
ak
k =0
dk dn u(t) + y ( t ) = b n dtn dtk
n1
bk
k =0
dk u(t). dtk
We can rewrite the equation, remembering an = 1:

n
ak
k=0 n k
dk dn y ( t ) b u(t) = n dtk dtn d ak bn k u(t) = dt k=0

n k
n1
bk
k=0 n1
dk u(t) dtk
n1
d ak k y (t) dt k=0
n k
dk bk k u(t) dt k=0 (bk ak bn )
ak b n
k=0
dk u(t) dtk
ak
k=0
d (y (t) bn u(t)) = dtk

z (t)
n1
k=0
dk u(t) dtk
bn
Considering z (t) as output variable, this can now be written in state-space form.
Then we have:
d x(t) = Ax(t) + Bu(t) dt z (t) = Cx(t)
and using z (t) = y (t) bn u(t), it is equivalent to:

d x(t) = Ax(t) + B u(t) dt y (t) = Cx(t) + D u(t)
where D = bn , and it is called the feed-through term: it is the proportion of u(t) directly fed-through to y (t).
In summary, the differential equation relationship:

dn1 dn dn y (t) + an1 n1 y (t) + + a0 y (t) = bn n u(t) + + b0 u(t) dtn dt dt
may be expressed as a state-space representation:

d x(t) = Ax(t) + Bu(t) dt y (t) = Cx(t) + Du(t)
In observer canonical form A, B, C, D are given as:

an1

1 0 . . . 0 0 0
0 1
.. .
bn1 bn an1

an2 . . .

0 . . .

bn2 bn an2 . . .

a1 a0
1 0
b 1 b n a1
b 0 b n a0
bn
While, in controller canonical form the matrices A, B, C, D are given as:

an1

an2 0 1 . . . 0
T
.. .
a1 0 0 . . . 1
a0

0 0 . . .

0 . . . 0
0 . . .

bn1 bn an1

bn2 bn an2 . . .

bn
b 1 b n a1 b 0 b n a0

Sometimes, in physical modelling, it may be natural to progress directly to a state space form: Kirchoffs laws:
iC (t) = C
vL (t)
+
i(t) C
+
vR (t)
d vC (t) = i(t) iL (t) dt d vL (t) = L iL (t) = vC (t) RiL (t) dt
+
vC (t) R
Which are expressible as:

d 1 1 vC (t) = iL (t) + i(t) dt C C 1 R d iL (t) = vC (t) iL (t) dt L L
Direct State-Space Modelling
Writing these two differential equations in matrix-vector form gives: State-space model:
vL (t)
+
i(t) C
+
vR (t)
+
vC (t) R
vC (t) 1/C d vC (t) 0 = dt iL (t) iL (t) 1/L R/L

x(t) A x(t)
1/C 0
B
i(t)
Direct State-Space Modelling
h2 (t) x(t) h1 (t) y (t)
Recall the coupled tank system, where:

A1 d h1 (t) = u(t) x(t) dt d A2 h2 (t) = x(t) y (t) dt
The ow between the tanks is x(t) = K1 [h1 (t) h2 (t)]. The output ow is y(t) = K2 h2 (t).
h2 (t) x(t) h1 (t) y (t)
This yields the state-space model:

K1 /A1 h1 (t) 1/A1 d h1 (t) K1 /A1 + u(t) = dt h2 (t) h2 (t) K1 /A2 (K1 + K2 )/A2 0 h1 (t) y (t) = 0 K2 h2 (t)
Differential equation solution via state-space
Recall that the 1st order scalar differential equation:

d y (t) = a0 y (t) + b0 u(t), dt y (t0 ) = y0
is solved, for a given signal u(t), by:

t
y (t) = ea0 (tt0 ) y0 +

t0
ea0 (t) b0 u( ) d.
What is solution the 1st order vector state-space differential equation:

d x(t) = Ax(t) + Bu(t), dt x(t0 ) = x0
Using the previous methods, the solution of:

d x(t) = Ax(t) + Bu(t), dt
t
x(t0 ) = x0 eA(t) Bu( ) d
is:
x(t) = eA(tt0 ) x0 +
t0
where the Matrix-Exponential eAt is dened as:

exp(At) = eAt = I + At + A 2 t2 + ... = 2!
k =0
A k tk k!
which satises
d At e = AeAt = eAt A dt
Matrix Exponential: Example 1 2 . Consider the matrix A = 3 4
Then according to the denition: 2 3 1 0 1 2 1 2 1 2 1 1 + + + + eA = 2 3 4 6 3 4 0 1 3 4 51.9690 74.7366 = 112.1048 164.0738
Note that this is quite different to the matrix: e1 e2 2.7183 7.3891 = e3 e4 20.0855 54.5982
In summary, the solution y (t) of the equation:

dn dn1 dn y (t) + an1 n1 y (t) + . . . + a0 y (t) = bn n u(t) + . . . + b0 u(t) n dt dt dt
is given by:
y (t) = CeA(tt0 ) x0 +
t t0
CeA(t) Bu( ) d + Du(t)
where:
The solution y (t) satises y (t0 ) = Cx0 + Du(t0 ).

Differential Equation Solution via State-Space: Example
Consider the 2nd order equation (, R):

d d d2 y (t) + ( + ) y (t) + y (t) = b1 u(t) + b0 u(t). 2 dt dt dt
In state-space form:
d x(t) = Ax(t) + Bu(t) dt y (t) = Cx(t)
where:
A ( + ) 1 , 0 B b1 , b0 C 1 0
The solution is:

t
y (t) = Cx(t) = CeA(tt0 ) x0 +

t0
g (t )u( ) d
where g (t)
CeAt B. To obtain eAt , we diagonalize A:
A = S1 S Ak = S1 SS1 S S1 S = S1 k S
At
=
k =0
A k tk = S1 k!
k =0
k tk k!
Differential Equation Solution via State-Space: Example
Therefore:
g (t) = CeAt B et et 1 [1, 0] = ( ) et et = 1 et + 2 et b 1 t t b0 e e et et
And, if we consider u(t) = 1(t), x0 = 0, and t0 = 0:

t t
y (t) =
t0
g (t )1( ) d =
0
1 e(t) + 2 e (t) d
1 2 = (1 et ) + (1 et )
In the example, the assumptions

a1 = + a0 =
for some , R, are not completely general. We didnt consider the cases = or , C. The difculty with which the matrix exponential eAt was obtained, is an indication that state-space formulations may not be the best method. This will motivate our study of Laplace-Transform methods (Chapter 4).
An important point is that the solution:

t
y (t) = CeA(tt0 ) x0 +
t0
CeA(t) Bu( ) d + Du(t)
is unique only up to the choice of x(t0 ) = x0 . The uniqueness of the solution depends upon the initial conditions at time t = t0 for y (t), dy (t)/dt, . . . , dn1 y (t)/dtn1 and u(t), du(t)/dt, . . . , dn1 u(t)/dtn1 .
Initial Conditions
Rewriting the solution y (t) as:
y (t) = CeA(tt0 ) x0 + CeAt
t t0
eA Bu( ) d + Du(t)
then, differentiating with respect to t, yields:

d y (t) = CAeA(tt0 ) x0 + dt CAeAt
t t0
eA Bu( ) d + CBu(t) + D
d u(t) dt
Therefore, at time t = t0 :
d d y (t0 ) = CAx0 + CBu(t0 ) + D u(t0 ) dt dt
Initial Conditions
Repeating this process, differentiating up to the n 1st derivative and setting t = t0 , a pattern clearly emerges:
y (t0 ) C D 0 0 u(t0 )
d dt u(t0 ) d2 dt2 u(t0 )
CB CA D 0 2 = CA x0 + CAB CB D . . . .. . . . . . . . dn1 n1 n2 y ( t ) CA 0 CA B dtn1

d dt y (t0 ) d2 dt2 y (t0 ) y0 O
..
CB D
0 . . . . . .
. . .
dn1 dtn1 u(t0 ) u0
which is expressible as y0 = Ox0 + u0 .
A natural question is: given the initial conditions for u(t) and its derivatives (in u0 ), how should x0 be chosen to satisfy the initial condition on the solution y (t) and its derivatives (in y0 ) ? The answer is simple:
, O C
x0 = O1 [y0 u0 ]
The matrix O is called the observability matrix.

CA CA2 . . . CAn1
Initial Conditions: Example Consider 2nd order system:

d2 d d y (t) + 3 y (t) + 2y (t) = 3 u(t) + 2u(t). dt2 dt dt
The state space description (observer canonical form) is:

3 1 3 d x(t) + u(t) x(t) = dt 2 0 2 y (t) = 1 0 x(t)
Then where
y (t) = CeAt x0 +
0
g (t )u( ) d
g (t) = CeAt B = 4e2t et

Initial Conditions: Example The observability matrix is given by:

O= 1 0 C CA = 1 0 3 1
Now, suppose y0 = [0.5, 1]T and u0 = [0, 0]T , then:

= y0 = 3 1 1 2.5 2e2t et et e2t 0.5 At = 1.5e2t 2et Ce x 0 = 1 0 2.5 2 e2t et 2et e2t x0 = O
1
0.5
0.5
so the complete solution is:

t
y (t) = 1.5e2t 2et +

0
4e2(t) e(t) u( ) d.
For some state space realizations, the observability matrix O, could be non invertible. For example:
d2 d d y (t) + 3 y (t) + 2y (t) = u(t) + u(t) dt2 dt dt
has observer canonical form matrices:

A= 3 1 2 0 ,C = 1 0 O= C CA = 1 0
3 1
But, the controller canonical form matrices are:

A= 3 2 1 0 ,C = 1 1 O= C CA = 1 1
2 2
Initial Conditions: Observability
This means that the state space model:

d x(t) = Ax(t), dt y (t) = Cx(t) x(t0 ) = x0
describes a richer class of systems than:

dn dn1 d y ( t ) + a y (t) + + a1 y (t) + a0 y (t) = 0 n 1 dtn dtn1 dt
which only describes one input-output relationship. If for a pair {A, C}, the observability matrix O is non-singular, then the realisation is called observable.
Initial Conditions: Controllability
The concept of controllability involves the question of whether the state can be driven to an arbitrary value x(t) from an arbitrary initial point x0 . To address this issue, we can assume D = 0 and x0 = 0. The state trajectory then is:
t
x(t) =
t0
eA(t) Bu( ) d
where, the matrix exponential term is:

exp(At) = eAt = I + At + A 3 t3 A 2 t2 + + = 2! 3!
k=0
A k tk k!
The CayleyHamilton theorem establishes that if A is n n, then for some constant 0 , , n1 :

An = 0 I + 1 A + 2 A2 + + n1 An1
As a consequence, every power of A can be expressed in terms of {I, A, . . . , An1 }. Applying the theorem above, we have that:
eAt = I + At + A 3 t3 A 2 t2 + + = 2! 3!
k=0
A k tk k!
n1
= 0 (t)I + 1 (t)A + 2 (t)A2 + + n1 (t)An1 =

k=0
k (t)Ak
Substituting into the state trajectory:

t n1 n1 t
x(t) =
t0 k=0
k (t )Ak Bu( ) d =
k=0
Ak B
t0
k (t )u( ) d
where zk (t)
z (t) 0 z1 (t) = C z(t) = B, AB, , An1 B . . . C zn1 (t)

t
k (t )u( ) d
t0
The matrix C is known as the controllability matrix: Any x(t) that are achievable by manipulation of u(t) must be a linear combination of the columns of C .
In summary, given an n-dimensional linear time invariant system with state space description:
the n n controllability matrix C is dened as:

C B, AB, A2 B, , An1 B
The system is termed controllable if and only if C is an invertible matrix (full rank or det C = 0). Otherwise the system is termed uncontrollable.
The solution of any differential equation:

dn1 dn dn y (t) + an1 n1 y (t) + + a0 y (t) = bn n u(t) + + b0 u(t). n dt dt dt
is expressible as:
y (t) = CeA(tt0 ) x0 Natural Response
t
+
t0
CeA(t) Bu( ) d + Du(t) . Forced Response
The Natural Response dependes on the coefcients {an1 , . . . , a0 , bn , . . . , b0 } and the initial conditions x0 . The Forced Response dependes on the coefcients {an1 , . . . , a0 , bn , . . . , b0 } and the input signal u(t).
Forced and Natural Response: Example
Recall the shock absorber model,

d2 kd d ks kd d ks y (t) + y (t) + y (t) = u(t) + u(t) 2 dt m dt m m dt m
with m = 1000 kg, ks = 2000 N/m, kd = 3000 Ns/m, and initial conditions y (0) = 0.5 and dy (0)/dt = 1. The response of the shock absorber is:
t
y (t) =
1.5e2t 2et
+
0
4e2(t) e(t) u( ) d .
Natural Response
Forced Response
Forced and Natural Response: Example
Suppose that u(t) = 1(t 1), then for t > 1:

t
4e2(t) e(t) 1( 1) d = 12e2(t1) +e(t1)

0 Forced Response 1 Total Response
0 2 0.5 4 Natural Response 6 8 t
Suppose that: Initial time t0 , i.e., a long time ago, The initial conditions, given by the vector quantities y0 , u0 and, hence x0 , are all zero at t0 = . This yields only the forced response part:
t
y (t) =
g (t )u( ) d + Du(t)
where g (t)
CeAt B.
Clearly, given u(t), the response y (t) depends on the function g (t) and the feed-through term D.
Impulse Response
In particular, if u(t) = (t) (Dirac delta), for t > 0:
t
y (t) =
g (t ) ( ) d + D (t) = g (t) + D (t)
Thus, the system impulse response is dened as:

h(t) g (t) + D (t) 0 ;t 0 ;t < 0
For t < 0, h(t) is zero because of the zero initial conditions. From physical modelling, commonly D = bn = 0, so h(t) = g (t).
Impulse Response: Example 1
For an RC-circuit, we have seen that:

d 1 1 vC (t) = vC (t) + v (t) dt RC RC
x(t) A x(t) B
Therefore:
1 t/RC g (t) = CeAt B = e RC
1 RC
1 et/RC h(t) = RC 0
;t 0 ;t < 0
1 RC
et/RC
t Chapter 3. Modelling, Differential Equations and System Properties p.69/100
For a car shock absorver, we obtained:

kd d ks kd d ks d2 y (t) + y (t) + y (t) = u(t) + u(t) dt2 m dt m m dt m
If m = 1000 kg, ks = 1000 N/m, kd = 500 Ns/m, then:

h(t) = CeAt B = 1.0328e0.25t cos(0.9682t 1.0654), t>0
1.0328e0.25t cos(0.9682t 1.0654)
Convolution
A key result we have is that for any input u(t), and zero initial conditions:
t
y (t) =
t
g (t )u( ) d + Du(t),
g (t)
CeAt B
(g (t ) + D (t )) u( ) d h(t )u( ) d
Noting: = [t, ) (t ) (, 0] h(t ) = 0. We say that y (t) is the convolution of h(t) with u(t). The new limits give a more general expression, often necessary (for example, for lter design).
Convolution
y (t) =
h(t )u( ) d = [h
u] (t)
Intuitively, it means that y (t) is the sum of the effects of u(t), weighted by h(t). Graphically, h(t) characterizes the system:
u(t) y (t)
u(t)
Linear System h(t) y (t) =
h(t )u( ) d
Commutative Property:

[h
u](t) =

h(t )u( ) d =
h(x)u(t x) dx h](t).
u(t x)h(x) dx = [u
Linearity:
[h
(u + w)] (t) = =
h(t ) (u( ) + w( )) d

h(t )u( ) d +

h(t )w( ) d
= [h
u](t) + [h
w](t).
Properties of Convolution
Graphically, linearity means that linear combination of signals can be done before or after a convolution operation, leading to the same nal result.
Gain u(t)
+
Gain y (t) u(t) Linear System h(t)

+
y (t)
w(t)
+
Linear System h(t)
y (t)
w(t)
+
w(t)
Gain
w(t)
Linear System h(t)
Gain
[h
(u + w)](t) = [h
u](t) + [h
w](t)
Convolution and Dirac functions:
[h
](t) =
h(t ) ( ) d = h(t)
Convolution and Time Shifted Signals:
[h
g ](t) =

h(t )g ( ) d h(t )u( T ) d
and changing variable x = T :
[h
g ](t) =
h((t T ) x)u(x) dx = [h
u](t T )
Associative property:
[h
(u
f )](t) =

h(t )[u h(t )

f ]( ) d
= =
u( x)f (x) dx d
h(t )u( x) d f (x) dx
changing variable = x:

[h
(u
f )](t) =

h(t x )u( ) d f (x) dx [h
= = [(h
u](t x)f (x) dx f ](t).

u)
Combining commutativity and associativity, we have, for example:
[h (u f )](t) = [h (f u)](t) = [(h f ) u](t) = [(f h) u](t)
u(t) y (t)
Same Input u(t)
u(t)
Linear System h(t)
Linear System f (t)
Same Output y (t)
Order Reversed
u(t)
Linear System f (t)
Linear System h(t)
Convolution: Example
To apply the convolution:
y (t) =
h(t )u( ) d
in practice, we have to consider: the effect of changing h( ) to h(t ) involves the ipping and sliding of that signal, the integral is then the area obtained for different intervals, and conmutativity ensures that we can also ip and slide u(t), obtaining the same nal result.
For an RC Circuit we already obtained:

1 et/RC h(t) = RC 0 ;t 0 ;t < 0
0
1 RC
h( ) =
1 /RC e RC
Assume that the voltage is:

v (t) = 1(t) 1(t 1)
1 v ( )
Note that,ipping and shifting, we obtain h(t ):
h(t ) 0
Convolution Example: RC Circuit Note that:

y (t) = 0, t0
0 1 h(t ), t = 0 v ( )
y (t) =
0
1 (t)/RC e d RC
t/RC
h(t ), t = 0.5

v ( )
=1e
h(t )u( ) d
0<t1
0.5
y (t) =
0
1 (t)/RC e d RC
h(t ), t > 1

v ( )
= et/RC e1/RC 1
h(t )u( ) d
t>1
Convolution Example: RC Circuit
Combining the 3 previous results: 0 vC (t) = 1 et/RC 1/RC e 1 et/RC

1 et/RC 1 e1/RC vC (t) =
;t 0 ; t (0, 1] ;t > 1
h( )v (t ) d
t [e1/RC 1]et/RC
The previous example can be repeated, but using the commutative property:

h(t )v ( ) d =

v (t )h( ) d
In this case, the impulse response remains static for all t as:
1 RC
h( ) =
1 /RC e RC
However, now v is ipped and shifted.
Convolution Example: RC Circuit (again) Then we have:

y (t) = 0, t0
1
t
v (t ), t = 0 h( )
y (t) =
0
1 /RC e d RC
v (t ), t = 0.5 h( )

= 1 et/RC 0<t1

t 1 = 0.5 0

y (t) =
t1
1 /RC e d RC
h( )
v (t ), t > 1
= et/RC e1/RC 1

t>1
0 t1
Convolution Example: RC Circuit (again)
Combining the 3 results, we obtain the same previous solution:

0 vC (t) = 1 et/RC e1/RC 1 et/RC 1 et/RC

;t 0
; t (0, 1]
;t > 1
1e
1/RC

vC (t) =
h( )v (t ) d
1 [e
1/RC
t 1]e
t/RC
This veries that it does not matter which of the two function in a convolution is ipped and shifted.
As a nal more abstract example of convolution, suppose that u( ) and h( ) are rectangular signals:
1 u( )
0 1
1 h( )
0.5
In this case, if we elect to ip and slide h as h(t ):

h(t ) 0
t 0.5 t
Convolution Example: Rectangular Signals Then we have:

y (t) = 0, t 1.5
0
t0.5
u( )
h(t ), t = 1.5
1.5 h(t ), t = 1.25
y ( t) = =
d
1 =t0.5 =1
u( )
h(t )u( ) d

= 1.5 t

1 t < 1.5
t
0.75

1.25
y (t) = =
t0.5 =t0.5 =t
h(t ), t = 0.75
u( )
h(t )u( ) d
= 0.5

0.5 t < 1
0 0.25 0.75 1

Convolution Example: Rectangular Signals
Using similar arguments, if 0 t < 0.5:

t
y (t) =
0
d =
=t =0
=t
And nally, if t 0, the product h(t )u( ) is zero for all and hence:
y (t) = 0 ; t < 0.
Combining all the results, we have the full solution:

0 1.5 t 0.5
; t 1.5 ; t [1, 1.5) ; t [0.5, 1) ; t [0, 0.5) ;t < 0 0 0.5 0.5
y (t) =
h( )u(t ) d
y (t) =

1.5
Via electrical, mechanical and differential equation modelling examples we have gradually introduced the idea of a system. In a more abstract and general sense we have: A system S is a governing inuence which regulates the relative behaviour of signals. The notation used to denote this regulation is that the nature of a signal y (t) relative to another signal u(t) is given as
y (t) = S [u](t).
System Properties
Linearity/Non-linearity: A system S is linear if, for any signals u(t), x(t) and any constant numbers , :
S [u + x](t) = S [u](t) + S [x](t)
The systems expressible as convolution with an impulse response, S [u](t) = [h u](t), are linear:
S [u + x](t) = [h (u + x)](t) = [h u](t) + [h x](t) = S [u](t) + S [x](t)
The system S [u](t) = u2 (t) is non-linear since:

S [u+x](t) = (u(t) + x(t)) = 2 u2 (t)+ 2 x2 (t)+2u(t)x(t) = u2 (t) + x2 (t) = S [u](t) + S [x](t)
System Properties
Causality: A system is causal or non-anticipative if y(t ) = S [u](t ) does not depend on future values of u(t) (i.e. t > t ). All physical systems are causal (except in certain quantum phenomena). The linear system:
y (t) = [h u](t) is causal h(t) = 0 for t < 0.
To see this, in
y (t ) = [h
u](t ) =
h( )u(t ) d.
note that if h( ) = 0 for < 0, then y (t) depends on future values of u(t), because t > t .
Memory: A causal system S is memory-less if y(t ) = S [u](t ) depends only on u(t) at t = t (otherwise it has memory, since y(t ) is affected by prior values of u). The simple amplier system y(t) = S [u](t) = Ku(t) for some K R is a memory-less system. The linear system
y (t) = [h u](t) is memory-less h(t) = K (t), K R.
To see this, in
y (t ) = [h
u](t ) =
h( )u(t ) d
note that, if h( ) = 0 h( )u(t ).
for > 0 then y(t ) depends on

System Properties
Time Invariance: A system S is time-invariant if, a time time shifting in the input generates a time shifting in the output:
x(t) = u(t T ) z (t) = S [x](t) = S [u](t T ) = y (t T )
The simple amplier system:

y (t) = S [u](t) = Ku(t)
for some K R is time invariant. But, if the gain is time-varying:

y (t) = S [u](t) = | sin t|u(t)
would be time-varying.
System Properties
System Dimension: A system described by an n-th order differential equations can be represented as:
where x(t) is a state vector of dimension n. In this case, the system is said to have dimension n. When n < , the system is nite dimensional. For the non-linear case:
d x(t) = f (x(t), u(t)) dt y (t) = g (x(t), u(t))
Again, the dimension is that of the vector x(t).

Stability: Intuitively, a system is stable if small perturbations to it are only capable of producing small responses.
t
y (t) =
CeA(tt0 ) x0 Natural Response
+
t0
g (t )u( ) d + Du(t) ; g (t) Forced Response
CeAt B.
Asymptotic Stability: It concerns on the natural response only. If we diagonalize the matrix A = S1 S, then:
y (t) = CeA(tt0 ) x0 = CS1 e(tt0 ) Sx0
where contains the eigenvalues of A.

System Properties
Asymptotic Stability. If all the eigenvalues 1 , . . . , n have negative real part:
= e1 (tt0 ) 0 . . . 0 0 e2 (tt0 ) .. . 0 0 0 . . . en (tt0 ) 0 t
(tt0 )
Hence y (t) 0, for any x0 . Then we say that a linear, nite dimensional and time invariant system:
is asymptotically stable Re{k } < 0 ; k = 1, . . . , n.

System Properties
Bounded-Input Bounded-Output (BIBO) Stability: This involves the idea that the system response y (t) is bounded, for any bounded input u(t), regardless of the initial conditions.
|u(t)| M <
|y (t)| = M
h(t )u( ) d

|h(t )|d
And
|h( )|d =
0
CeAt B + D (t) dt CS1 et SB dt + D

0 n
=
k=1
|k |
0
ek t dt + D
Bounded-Input Bounded-Output (BIBO) Stability: Then, we have that a linear, nite dimensional and time invariant system:
is bounded-input bounded-output stable if all the eigenvalues 1 , , n of A, satisfy: Re{k } < 0;

k = 1, 2, , n.
However, the converse is not true.
System Properties
Stability: Example
Again, we consider the general 2nd order linear time invariant system: d d d2 y (t) + a1 y (t) + a0 y (t) = b1 u(t) + b0 u(t) dt2 dt dt In state-space representation: 1 + 2 1 , B A 1 2 0 The eigenvalues of A are 1,2 = 1 2
b1 b0
1 0
a1
a2 1 4a0
Thus, the nature of the response y (t) is completely captured by the terms e1 t and e2 t .
System Properties
Stability: Example
With x0 = 0, the response to u(t) = 1(t) for t > 0 is: 1 b1 + b0 b0 + 2 b1 y (t) = (e1 t 1) + (1 e2 t ) 1 1 2 2 1 2
2 T If u(t) = 0 and the initial condition is x0 = [x1 0 , x0 ] , then:
y (t) =
1 1 x2 0 + x0 2 1
e 1 t +
2 x1 0 + 2 x0 1 2
e 2 t ,
t>0
If 1,2 = j , then e1,2 t = et [cos t j sin t]. If = Re{1,2 } < 0, then e1,2 t will tend to zero as t grows. If > 0, then e1,2 t will explode towards as t grows. Therefore, the system is bounded-input bounded-output and asymptotically stable if Re{1,2 } < 0.
Note that a system can be BIBO stable even if an eigenvalue violates the condition Re{k } < 0.
Example. Consider the case of: d2 d d y (t) + y (t) 2 y (t) = b1 u(t) + b0 u(t) dt2 dt dt
1 1 The eigenvalues of the matrix A = are 1 , 2 = 2, 1, and 2 0 hence Re{2 } = 1 > 0. However, the response to u(t) = 1(t) (with x0 = 0) is: 1 b1 + b0 b0 + 2 b1 (e1 t 1)+ (1 e2 t ) ; t > 0 y (t) = 1 1 2 2 1 2
But if we choose b1 = 1 and b0 = 1, then 1 + 1 2 + (1) (e2t 1)+ y (t) = 2 2 1 1 2 1 and thus the system is BIBO stable.
(1et ) =
(1e2t )

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ELEC2400 Signals & Systems

Chapter 3. Modelling, Differential Equations and System Properties

Slides by Juan I. Yuz (jiyuze@ee.newcastle.edu.au) - July 24, 2003 p.1/100

3. Modelling, Differential Equations and System Properties

Chapter 3. Modelling, Differential Equations and System Properties p.2/100

Electrical Circuits Modelling

Fundamental passive components: Resistor (Ohms Law) Inductor Capacitor

Chapter 3. Modelling, Differential Equations and System Properties p.3/100

by Kirchoffs Voltage Law: v (t) = vR (t) + vC (t)

by Ohms Law: vR (t) = R i(t) by the capacitive action: d i(t) = C vC (t). dt

Replacing in KVL, this yields:

d 1 1 d vC (t) + vC (t) vC (t) + vC (t) = v (t) dt dt RC RC

Chapter 3. Modelling, Differential Equations and System Properties p.4/100

Mechanical System Modelling

velocity v (t) = acceleration a(t) =

Chapter 3. Modelling, Differential Equations and System Properties p.5/100

Mechanical System Modelling

F2 (t) = ks [y (t) u(t)]

(gravity) F1 (t) = mg (the spring) F2 (t) = ks [y (t) u(t)]

d (the damper) F3 (t) = kd d t [y (t) u(t)]

d d2 [y (t) u(t)] = m 2 y (t) dt dt

Example 2: Car Velocity

Example 3: Water Tank

Example 3: Water Tank

u(t) Suface Area = A1 m2 Suface Area = A2 m2

h2 (t) x(t) h1 (t) y (t)

Chapter 3. Modelling, Differential Equations and System Properties p.13/100

Example 4: Coupled Water Tanks

h2 (t) x(t) h1 (t) y (t)

Chapter 3. Modelling, Differential Equations and System Properties p.14/100

Example 4: Coupled Water Tanks

Chapter 3. Modelling, Differential Equations and System Properties p.15/100

which is linear, time-invariant and nite dimensional. In the previous examples:

1 RC v (t) kd d ks m dt u(t) + m u(t)

Chapter 3. Modelling, Differential Equations and System Properties p.16/100

First Order Differential Equations

Chapter 3. Modelling, Differential Equations and System Properties p.17/100

Solution of First Order Differential Equations

To solve the equation we use an integrating factor, ea0 t :

And, using the fact that:

we can integrate both sides to give:

In summary, the rst order differential equation:

has solution y (t) which is given by:

y (t) = y0 ea0 (t0 t) +

This solution, at time t = t0 passes through the point:

Chapter 3. Modelling, Differential Equations and System Properties p.19/100

Example: First Order System with Step Input

Chapter 3. Modelling, Differential Equations and System Properties p.20/100

State Space Descriptions

Chapter 3. Modelling, Differential Equations and System Properties p.21/100

Consider a second order differential equation (n = 2):

It may be re-written as:

Introduce the new signals:

State Space Descriptions: The Second Order Case

State Space Descriptions: The Second Order Case

Chapter 3. Modelling, Differential Equations and System Properties p.24/100

The corresponding state-space description is given by: kd kd 1 d x(t) = m x(t) + m u(t) ks dt ks 0

Chapter 3. Modelling, Differential Equations and System Properties p.25/100

State Space Descriptions: The General Case

Consider the general differential equation, with m n 1:

It may be re-written as:

dk1 y (t) dtk1

d 1 u(t) = a0 y (t) +b0 u(t). dt 1