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8 Stability of linear systems

The stability notions of a linear system are those of definition 275 and the definitions after it, applied to the unforced system (definition 74): there is no separate notion of stability for linear systems. What linearity adds is that each notion becomes a condition on the state transition matrix, and for constant \(A\) a condition on its eigenvalues.

8.1 Linear time-varying systems

Hespanha states Lyapunov stability for the continuous-time linear time-varying system \(\dot x = A(t)x\) as four conditions on its homogeneous state response \(x(t) = \Phi (t, t_0)x_0\). None of them is taken as a definition here: each is proved equivalent to the corresponding stability predicate of the unforced system, so the linear track and the nonlinear track share one notion of stability rather than two.

Two things stand between the textbook conditions and the predicates, and both are settled in this section. The predicates quantify over trajectories where the textbook quantifies over initial conditions, which the trajectory characterization below closes in both directions; and the predicates bound the response from a ball where the textbook bounds it from every initial state, which homogeneity closes. The second is why a linear system has no nontrivial region of attraction, recorded as lemma 362.

8.1.1 Hespanha’s Definition 8.1

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is a stable equilibrium (definition 275) of this system if and only if for every \(t_{0} \ge 0\) there is \(C\) with

\[ \| \Phi (t, t_{0})\, x\| \le C\, \| x\| , \qquad \forall \, t \ge t_{0},\ \forall \, x. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(1).

Proof ▶

(\(\Rightarrow \)) Apply stability at \(\varepsilon = 1\) to get \(\delta (1, t_{0})\). Every response from the ball of radius \(\delta \) stays inside the unit ball, and scaling turns that into the bound with \(C = 2/\delta \).

(\(\Leftarrow \)) Given \(\varepsilon \), take \(\delta = \varepsilon /(C+1)\). A trajectory is its own response (theorem 180), so \(\| \varphi (t)\| \le C\| \varphi (t_{0})\| {\lt} \varepsilon \).

Theorem 357 Lyapunov stability of a linear time-varying system
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Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is a stable equilibrium (definition 275) of this system if and only if, for every \(t_{0} \ge 0\) and every initial condition \(x_{0}\), the homogeneous state response \(x(t) = \Phi (t, t_{0})\, x_{0}\) is bounded on \([t_{0}, \infty )\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(1).

Proof ▶

The state-transition form is lemma 356. A bound on \(\Phi \) gives the response bound \(C\| x_{0}\| \); conversely a family of operators bounded at every point of a Banach space is norm-bounded, by the uniform boundedness principle.

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is a uniformly stable equilibrium (definition 277) of this system if and only if there is a single \(C\) with

\[ \| \Phi (t, t_{0})\, x\| \le C\, \| x\| , \qquad \forall \, t \ge t_{0} \ge 0,\ \forall \, x. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(1), with the margin independent of \(t_{0}\).

Proof ▶

Identical to lemma 356, with the margin \(\delta \) and the bound \(C\) both carried outside the quantifier on \(t_{0}\).

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is an asymptotically stable equilibrium (definition 279) of this system if and only if, for every \(t_{0} \ge 0\) and every \(x_{0}\), the homogeneous response \(t \mapsto \Phi (t, t_{0}) x_{0}\) is bounded on \([t_{0}, \infty )\) and tends to \(0\) as \(t \to \infty \).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(2).

Proof ▶

The stability conjunct is theorem 357. For attractivity: an arbitrary \(x_{0}\) is rescaled into the attractivity ball, and the limit scales back, since the response is linear in the initial state; conversely every trajectory is a response (theorem 180), so convergence of the responses is convergence of the trajectories, from any radius.

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is a globally exponentially stable equilibrium (definition 285) of this system if and only if there are \(k, \gamma {\gt} 0\) with

\[ \| \Phi (t, t_{0})\, x\| \le k\, e^{-\gamma (t - t_{0})}\, \| x\| , \qquad \forall \, t \ge t_{0} \ge 0,\ \forall \, x. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(3).

Proof ▶

Both directions are the trajectory characterization plus homogeneity: the exponential estimate along every trajectory is the estimate applied to the initial state, and conversely the estimate on any ball scales to the estimate everywhere.

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is an exponentially stable equilibrium (definition 284) of this system if and only if there are \(k, \gamma {\gt} 0\) with

\[ \| \Phi (t, t_{0})\, x\| \le k\, e^{-\gamma (t - t_{0})}\, \| x\| , \qquad \forall \, t \ge t_{0} \ge 0,\ \forall \, x. \]

The condition is the one in theorem 360: the radius in the local definition carries no information here.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(3).

Proof ▶

As in the global case; the radius \(c\) of the local definition is absorbed by the scaling argument, and \(c = 1\) serves in the converse.

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is an exponentially stable equilibrium (definition 284) of this system if and only if it is globally exponentially stable (definition 285).

Proof ▶

Both are equivalent to the same estimate, theorem 361 and theorem 360.

Consider the linear time-varying system

\[ \dot x = A(t)\, x, \]

with \(A\) continuous, and write \(\Phi (t,t_{0})\) for its state transition matrix (definition 148).

The origin is unstable (definition 276) for this system if and only if there are \(t_{0} \ge 0\) and \(x_{0}\) whose homogeneous response \(t \mapsto \Phi (t, t_{0}) x_{0}\) is unbounded on \([t_{0}, \infty )\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.1(4).

Proof ▶

The negation of theorem 357.

8.2 Linear time-invariant systems

For constant \(A\) the state transition matrix is \(e^{A(t-t_0)}\) (theorem 186), and the stability conditions of the previous section collapse to a condition on the eigenvalues of \(A\) alone. This is Hespanha’s Theorem 8.1.

Clauses (1) and (4) of that theorem — marginal stability and instability — ask that the Jordan blocks at imaginary-axis eigenvalues be \(1 \times 1\). They are not recorded here: they need a Jordan normal form, which is a project rather than a lemma.

8.2.1 The Hurwitz condition and its rate-indexed refinement

For a real square matrix \(A\), Hurwitz stability is expressed through the complex eigenpairs of its entrywise complexification, over an abstract index type. The rate-indexed predicate records a strict spectral margin. Ordinary Hurwitz stability is the zero-rate case, but is stated separately rather than derived, so that it unfolds directly to \(\operatorname {Re}(\mu ) {\lt} 0\).

Definition 364 Hurwitz matrix
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A real square matrix \(A\) is Hurwitz when every eigenpair \((\mu , v)\) of its complexification, with \(v \ne 0\), satisfies \(\operatorname {Re}(\mu ) {\lt} 0\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.1.

Definition 365 Hurwitz with a prescribed decay rate
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A real square matrix \(A\) is Hurwitz with decay rate \(\alpha \) when every eigenpair \((\mu , v)\) of its complexification, with \(v \ne 0\), satisfies \(\operatorname {Re}(\mu ) {\lt} -\alpha \).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.1.

Theorem 366 Rate-Hurwitz via a spectral shift
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A real matrix \(A\) is Hurwitz with decay rate \(\alpha \) if and only if the spectrally shifted matrix \(A + \alpha I\) is Hurwitz.

Reference: João P. Hespanha, Linear Systems Theory (2nd ed.), continuous-time stability criterion. This spectral-shift corollary is proved directly from eigenpairs.

Proof ▶

A complex eigenvalue \(\mu \) of \(A\) becomes \(\mu + \alpha \) after the shift, and \(\operatorname {Re}(\mu ) {\lt} -\alpha \) is equivalent to \(\operatorname {Re}(\mu + \alpha ) {\lt} 0\).

Theorem 367 A Hurwitz matrix has a positive spectral margin
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If \(A\) is Hurwitz then there is \(c {\gt} 0\) such that every eigenvalue \(\mu \) of \(A\) satisfies \(\operatorname {Re}(\mu ) {\lt} -c\).

Proof ▶

The spectrum is compact and nonempty, so \(\operatorname {Re}\) attains a maximum on it at some \(\mu _0\), which is an eigenvalue and hence has \(\operatorname {Re}(\mu _0) {\lt} 0\). Take \(c = -\operatorname {Re}(\mu _0)/2\).

The exponential decay estimates rest on a general Banach-algebra fact, stated with no matrices in it: an element of spectral radius below one has a contractive power.

Lemma 368 A contractive power from a spectral radius below one
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Let \(\mathbb {A}\) be a nontrivial complete normed algebra over \(\mathbb {C}\) and let \(a \in \mathbb {A}\) have spectral radius \(r(a) {\lt} 1\). Then there is an \(m {\gt} 0\) with \(\| a^m\| {\lt} 1\).

Reference: Rudin, Functional Analysis (Gelfand’s spectral-radius formula).

Proof ▶

Gelfand’s formula gives \(\| a^m\| ^{1/m} \to r(a)\), so \(\| a^m\| ^{1/m} {\lt} 1\) for all large \(m\); pick any such \(m\) with \(m \neq 0\). Were \(\| a^m\| \ge 1\), raising to the positive power \(1/m\) would give \(\| a^m\| ^{1/m} \ge 1\), a contradiction.

The two predicates are related by a spectral shift (theorem 366), and they agree at rate zero.

Lemma 369 Hurwitz is rate zero
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A real square matrix \(A\) is Hurwitz (definition 364) if and only if it is Hurwitz with decay rate \(0\) (definition 365).

Proof ▶

Both unfold to a condition on \(\operatorname {Re}\mu \), the first to \(\operatorname {Re}\mu {\lt} 0\) and the second to \(\operatorname {Re}\mu {\lt} -0\).

Lemma 370 A certified decay rate may be weakened
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If \(A\) is Hurwitz with decay rate \(\alpha \) (definition 365) and \(\beta \le \alpha \), then \(A\) is Hurwitz with decay rate \(\beta \).

Proof ▶

Each eigenvalue satisfies \(\operatorname {Re}\mu {\lt} -\alpha \le -\beta \).

Lemma 371 Zero-dimensional matrices are vacuously Hurwitz
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If the index type is empty then every \(A\) is Hurwitz with every decay rate \(\alpha \) (definition 365).

This records the convention chosen for the degenerate case: the predicate quantifies over nonzero eigenvectors, and in dimension zero there are none.

Proof ▶

There is no nonzero vector, so the hypothesis of the predicate is never met.

Lemma 372 The scalar example
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For \(\alpha {\lt} \gamma \), the \(1 \times 1\) matrix \((-\gamma )\) is Hurwitz with decay rate \(\alpha \) (definition 365).

Included as a concrete check on the sign convention of the definition.

Proof ▶

The only eigenvalue is \(-\gamma \), and \(\operatorname {Re}(-\gamma ) = -\gamma {\lt} -\alpha \).

The Hurwitz condition bounds each eigenvalue away from the imaginary axis one at a time; because the spectrum is compact, that upgrades to a uniform margin (theorem 367). This is what turns a qualitative hypothesis into a quantitative rate, and it is used twice below.

8.2.2 Equivalent analytic conditions

Nothing in this subsection mentions a system: the Hurwitz condition, decay of \(e^{At}\), and an explicit exponential envelope for \(\| e^{At}\| \) are shown to be the same condition on the matrix. Two generic facts about exponential envelopes are recorded first.

Lemma 373 The decay envelope vanishes
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For \(\gamma {\gt} 0\) and any constants \(K, t_{0}\),

\[ \lim _{t \to \infty } K\, e^{-\gamma (t - t_{0})} = 0. \]
Proof ▶

The affine map \(t \mapsto -\gamma (t - t_{0})\) tends to \(-\infty \) because \(-\gamma {\lt} 0\); compose with \(\exp \) and scale by \(K\).

Lemma 374 Squeeze against an exponentially decaying envelope
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Let \(E\) be a normed space, \(f : \mathbb {R} \to E\), and \(\gamma {\gt} 0\). If eventually

\[ \| f(t)\| \le k\, e^{-\gamma (t - t_{0})}\, c, \]

then \(f(t) \to 0\) as \(t \to \infty \).

Stated over an arbitrary normed space because it is applied to both matrix- and vector-valued quantities.

Proof ▶

The squeeze theorem: \(\| f\| \) is bounded below by \(0\) and above by an envelope that tends to \(0\) (lemma 373, after reassociating \(k \cdot E \cdot c = (kc) \cdot E\)).

Theorem 375 A Hurwitz matrix has an exponentially decaying exponential
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If \(A\) is Hurwitz (definition 364) then there are \(k {\gt} 0\) and \(\gamma {\gt} 0\) with

\[ \| e^{At}\| \le k\, e^{-\gamma t}, \qquad \forall \, t \ge 0. \]
Proof ▶

A contracting block. The spectral radius of \(e^{A_{\mathbb C}}\) is below \(1\) (lemma 201), so by Gelfand’s formula (lemma 368) some integer time \(p {\gt} 0\) has \(\| e^{Ap}\| {\lt} 1\). Fix \(c\) with \(\| e^{Ap}\| \le c {\lt} 1\), kept away from \(0\) so that \(\log c\) exists.

One block. \(\| e^{Ar}\| \) is continuous, hence bounded by some \(M \ge 1\) on the compact interval \([0, p]\).

Spreading. Write \(t = qp + r\) with \(q \in \mathbb {N}\) and \(r \in [0, p)\). The exponents commute, so \(e^{At} = e^{Ar}(e^{Ap})^{q}\), and submultiplicativity gives \(\| e^{At}\| \le M c^{q}\) by induction on \(q\). Setting \(\gamma = -\log c / p\) turns \(c^{q}\) into \(e^{-\gamma q p}\), and \(qp \ge t - p\) costs one further factor \(c^{-1}\). The bound is \(\| e^{At}\| \le (M/c)\, e^{-\gamma t}\).

The contraction is taken in the \(L^{\infty }\) operator norm, which is what makes it usable against \(\| Ax\| _{\infty } \le \| A\| _{\infty }\| x\| _{\infty }\) in theorem 376.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.1.

Theorem 376 Exponential decay of the state under a Hurwitz matrix
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If \(A\) is Hurwitz (definition 364) then there are \(k {\gt} 0\) and \(\gamma {\gt} 0\) with

\[ \| e^{At}x\| \le k\, e^{-\gamma t}\, \| x\| , \qquad \forall \, t \ge 0,\ \forall \, x. \]

This is the form the Lyapunov stability predicates consume.

Proof ▶

theorem 375 bounds the matrix; one application of \(\| Ax\| _{\infty } \le \| A\| _{\infty }\| x\| _{\infty }\) transfers it to the state. This is the step at which the choice of the \(L^{\infty }\) operator norm earns its keep.

Theorem 377 Decay of the matrix exponential forces the Hurwitz condition
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If \(e^{At} \to 0\) as \(t \to \infty \) then \(A\) is Hurwitz (definition 364).

Stated from mere convergence rather than from an exponential bound, so that it serves clause (2) and clause (3) of Theorem 8.1 alike.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.1.

Proof ▶

Suppose \(\operatorname {Re}\mu \ge 0\) for some eigenpair \((\mu , v)\) with \(v \ne 0\). Complexification is continuous, so \(e^{At}_{\mathbb C}v \to 0\) as well. But \(v\) is an eigenvector of \(tA_{\mathbb C}\) with eigenvalue \(t\mu \), hence of its exponential (lemma 196), so

\[ \| e^{At}_{\mathbb C}v\| = |e^{t\mu }|\, \| v\| = e^{t\operatorname {Re}\mu }\| v\| \ge \| v\| {\gt} 0 \]

for every \(t \ge 0\), contradicting convergence to \(0\).

Theorem 378 Pointwise decay of the state forces the Hurwitz condition
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If \(e^{At}x \to 0\) as \(t \to \infty \) for every real state \(x\), then \(A\) is Hurwitz (definition 364).

This is the composite that both clauses of Theorem 8.1 reach for: the stability predicates speak about states, not about the matrix.

Proof ▶

Feeding the hypothesis the standard basis vectors returns the columns of \(e^{At}\), and convergence in the matrix space is entrywise, so \(e^{At} \to 0\); apply theorem 377.

Theorem 379 Hurwitz is decay of the matrix exponential
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A real square matrix \(A\) is Hurwitz (definition 364) if and only if \(e^{At} \to 0\) as \(t \to \infty \).

Proof ▶

Forwards, theorem 375 supplies an exponentially decaying envelope and lemma 374 squeezes; backwards is theorem 377.

Theorem 380 Hurwitz is an exponential envelope for the matrix exponential
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A real square matrix \(A\) is Hurwitz (definition 364) if and only if there are \(k {\gt} 0\) and \(\gamma {\gt} 0\) with \(\| e^{At}\| \le k\, e^{-\gamma t}\) for all \(t \ge 0\).

Recorded separately from theorem 379 because the two are what clauses (2) and (3) of Theorem 8.1 respectively need: bare convergence for asymptotic stability, an explicit rate for exponential stability.

Proof ▶

Forwards is theorem 375. Backwards, the envelope forces \(e^{At} \to 0\) (lemma 374), so theorem 379 applies.

8.2.3 Hespanha’s Theorem 8.1

Consider the time-invariant system \(\dot x = Ax\) with \(A\) a real square matrix.

The origin is an asymptotically stable equilibrium (definition 279) if and only if \(A\) is Hurwitz (definition 364), that is, every eigenvalue of \(A\) has strictly negative real part.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.1(2).

Proof ▶

For constant \(A\) the state transition matrix is \(e^{A(t-t_0)}\) (theorem 186), so theorem 359 turns the statement into one about \(e^{At}x_0\).

If the response converges then \(A\) is Hurwitz (theorem 378). Conversely a Hurwitz \(A\) gives an exponentially decaying envelope for \(\| e^{At}x_0\| \) (theorem 376); the envelope is bounded by \(k\| x_0\| \), which supplies the stability half, and tends to zero (lemma 373), which supplies the attractivity half.

Consider the time-invariant system \(\dot x = Ax\) with \(A\) a real square matrix.

The origin is an exponentially stable equilibrium (definition 284) if and only if \(A\) is Hurwitz (definition 364).

Together with theorem 381 this says the two notions coincide for a time-invariant system — a genuine feature of constant \(A\), not of linearity: for time-varying \(A(t)\) they differ, as \(\dot x = -x/(1+t)\) shows.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.1(3).

Proof ▶

As for theorem 381, but against theorem 361, which already asks for an exponential envelope. The forward direction squeezes \(\| e^{At}x\| \) to zero under that envelope and applies theorem 378; the converse is theorem 376 re-anchored from \(0\) to \(t_0\).

8.2.4 The Lyapunov equation

Definition 383 Continuous Lyapunov equation
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For real square matrices \(A\), \(P\) and \(Q\), the matrix \(P\) satisfies the continuous Lyapunov equation for \(A\) with forcing \(Q\) when

\[ PA + A^{\mathsf T}P = -Q. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Definition 384 Matrix quadratic form
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A real matrix \(P\) represents the quadratic form \(x \mapsto x^{\mathsf T}Px\) on Euclidean state space.

Reference: standard quadratic Lyapunov-function construction.

Hespanha’s Theorem 8.2 ties the spectral condition to solvability of \(PA + A^{\mathsf T}P = -Q\). The direction a Lyapunov certificate is used in comes first: exhibiting a single positive-definite \(P\) proves the spectrum lies in the open left half-plane.

Theorem 385 A Lyapunov certificate proves the spectrum lies in the open left half-plane
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If \(P\) and \(Q\) are positive definite and \(PM + M^{\mathsf T}P = -Q\), then every eigenvalue of \(M\) has strictly negative real part.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Proof ▶

Complexify the equation and pair it against an eigenvector \(v\) of \(M\) with eigenvalue \(\mu \). The two terms contribute \(\mu \, v^{*}Pv\) and \(\bar\mu \, v^{*}Pv\), so the left-hand side is \(2\operatorname {Re}(\mu )\, v^{*}Pv\) while the right-hand side is \(-v^{*}Qv\). Both \(v^{*}Pv\) and \(v^{*}Qv\) are strictly positive (lemma 193), so \(\operatorname {Re}(\mu ) {\lt} 0\).

Theorem 386 The Lyapunov inequality certifies the Hurwitz condition
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If \(P\) is positive definite and \(-(PM + M^{\mathsf T}P)\) is positive definite, then \(M\) is Hurwitz (definition 364).

This is Hespanha’s Theorem 8.2, \((5) \Rightarrow (3)\). It is stated through positive definiteness of the negated residual rather than through a matrix order relation, so that it needs no Loewner order.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Proof ▶

Take the forcing to be minus the residual and apply theorem 385.

The converse is a construction. One finite block of the integral \(\int _{0}^{m} e^{tA^{\mathsf T}}Qe^{tA}\, \mathrm{d}t\) is summed into a convergent discrete Lyapunov series, with convergence and uniqueness both coming from the contraction \(\| e^{Am}\| {\lt} 1\). A Hurwitz matrix supplies that contraction, which is theorem 389.

Lemma 387 A convergent sum of positive semidefinite matrices is positive semidefinite
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If \((M_i)\) is a summable family of real positive semidefinite matrices, then \(\sum _i M_i\) is positive semidefinite.

Proof ▶

Transposition and the quadratic form \(P \mapsto x^{\mathsf T}Px\) are continuous and linear, so they commute with the sum: the sum is symmetric, and its quadratic form is a sum of nonnegative terms.

Theorem 388 The Lyapunov equation from a contracting exponential
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Suppose \(\| e^{Am}\| {\lt} 1\) for some integer \(m {\gt} 0\). Then for every positive definite \(Q\) there is a positive definite \(P\) with \(PA + A^{\mathsf T}P = -Q\) (definition 383), and \(P\) is the unique matrix solution.

Reference: Khalil, Nonlinear Systems.

Proof ▶

Write \(L(P) = PA + A^{\mathsf T}P\) for the Lyapunov operator, \(C = e^{Am}\), and \(T(W) = C^{\mathsf T}WC\) for the congruence (Stein) operator.

One block. Let \(R = \int _{0}^{m} e^{tA^{\mathsf T}}Qe^{tA}\, \mathrm{d}t\). Differentiating the integrand two ways and equating the derivatives by uniqueness gives the key identity \(L(R) = T(Q) - Q\). \(R\) is positive definite because the integrand is, pointwise, and positive definiteness survives the integral.

Summing the blocks. \(\| C\| {\lt} 1\) makes \(\| T\| {\lt} 1\), so \(\sum _{k} T^{k}R\) converges; call it \(P\). It is positive definite, being a convergent sum of positive definite terms. Since \(A\) and \(C\) commute, \(L\) commutes with \(T\), so \(L(T^{k}R) = T^{k+1}Q - T^{k}Q\) and the series for \(L(P)\) telescopes to \(-Q\).

Uniqueness. A contraction has only the trivial fixed point, so \(L\) is injective; two solutions with the same forcing therefore coincide.

The contraction is taken in the Frobenius norm, the only place in the construction where \(\| C^{\mathsf T}\| = \| C\| \) is needed.

If a real matrix \(A\) is Hurwitz, then for every positive-definite \(Q\) there is a positive-definite matrix \(P\) satisfying \(PA+A^{\mathsf T}P=-Q\), and this \(P\) is the unique matrix solution.

omit [DecidableEq X] in Reference: Khalil, Nonlinear Systems.

Proof ▶

A contracting integer-time matrix exponential is obtained from the Hurwitz spectrum. Integrating over one time block and summing the resulting discrete Lyapunov series constructs \(P\); contraction proves convergence and uniqueness.

Lemma 390 From every forcing to one certificate
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If every positive definite \(Q\) admits a positive definite solution of \(PM + M^{\mathsf T}P = -Q\) (definition 383), then some positive definite \(P\) makes \(-(PM + M^{\mathsf T}P)\) positive definite.

This is Hespanha’s Theorem 8.2, \((4) \Rightarrow (5)\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Proof ▶

Instantiate the forcing at \(Q = I\); the residual is then \(-I\), whose negation is the identity. The edge carries no mathematics beyond the instantiation.

8.2.5 The rate form

The Lyapunov inequality \(PA + A^{\mathsf T}P \preceq -2cP\) carries an explicit decay rate: along a trajectory it gives \(\dot V \le -2cV\) for \(V = x^{\mathsf T}Px\). It is not one of Hespanha’s clauses, but it is the shape every contraction and guaranteed-decay-rate condition is written in, so it is recorded as a sixth equivalent.

Theorem 391 The rate form certifies the Hurwitz condition
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If \(P\) is positive definite, \(c {\gt} 0\), and \(PA + A^{\mathsf T}P \preceq -2cP\) — that is, \(-(PA + A^{\mathsf T}P) - 2cP\) is positive semidefinite — then \(A\) is Hurwitz (definition 364).

Along a trajectory this inequality gives \(\dot V \le -2cV\) for \(V = x^{\mathsf T}Px\), so it certifies not merely stability but a decay rate.

Proof ▶

Split \(-(PA + A^{\mathsf T}P)\) as \(\bigl(-(PA + A^{\mathsf T}P) - 2cP\bigr) + 2cP\): positive semidefinite plus positive definite is positive definite, so theorem 386 applies.

Theorem 392 A Hurwitz matrix admits a rate certificate
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If \(A\) is Hurwitz (definition 364) then there are a positive definite \(P\) and a rate \(c {\gt} 0\) with \(PA + A^{\mathsf T}P \preceq -2cP\).

Proof ▶

Solve the Lyapunov equation for the shifted matrix. A Hurwitz \(A\) has a positive spectral margin \(c\) (theorem 367), so \(A + cI\) is still Hurwitz (theorem 366). Solving \(P(A + cI) + (A + cI)^{\mathsf T}P = -I\) (theorem 389) and expanding gives \(PA + A^{\mathsf T}P = -I - 2cP\), so the residual \(-(PA + A^{\mathsf T}P) - 2cP\) is exactly the identity.

No domination bound between two positive definite matrices is needed: the residual is not merely bounded below, it is \(I\).

8.2.6 Theorem 8.2

Theorem 393 Hurwitz is solvability of the Lyapunov equation for every forcing
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A real square matrix \(A\) is Hurwitz (definition 364) if and only if for every positive definite \(Q\) there is a positive definite \(P\) with \(PA + A^{\mathsf T}P = -Q\) (definition 383), unique among all matrix solutions.

This is Hespanha’s Theorem 8.2, \((3) \Leftrightarrow (4)\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Proof ▶

Forwards is theorem 389. Backwards, instantiate the forcing at \(Q = I\) and apply theorem 385.

Theorem 394 Hurwitz is the existence of one Lyapunov certificate
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A real square matrix \(A\) is Hurwitz (definition 364) if and only if some positive definite \(P\) makes \(-(PA + A^{\mathsf T}P)\) positive definite.

This is Hespanha’s Theorem 8.2, \((3) \Leftrightarrow (5)\), and the form in which a Lyapunov certificate is actually supplied: one matrix, not a family.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Proof ▶

Forwards, theorem 389 produces a solution for each forcing and lemma 390 extracts one certificate from them; backwards is theorem 386.

Theorem 395 Hurwitz is the existence of a rate certificate
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A real square matrix \(A\) is Hurwitz (definition 364) if and only if there are a positive definite \(P\) and a rate \(c {\gt} 0\) with \(PA + A^{\mathsf T}P \preceq -2cP\).

This is clause 6 of theorem 396, which is not in Hespanha’s list. It is the rate-carrying refinement of theorem 394, and the shape every contraction and guaranteed-decay-rate condition is written in.

Proof ▶

For the time-invariant system \(\dot x = Ax\) the following are equivalent.

  1. The origin is asymptotically stable (definition 279).

  2. The origin is exponentially stable (definition 284).

  3. \(A\) is Hurwitz (definition 364).

  4. For every positive definite \(Q\) there is a positive definite \(P\) with \(PA + A^{\mathsf T}P = -Q\) (definition 383), and this \(P\) is the unique matrix solution.

  5. There is a positive definite \(P\) with \(-(PA + A^{\mathsf T}P)\) positive definite.

  6. There are a positive definite \(P\) and a rate \(c {\gt} 0\) with \(PA + A^{\mathsf T}P \preceq -2cP\).

Clause 6 is not in Hespanha’s list. It is the rate-carrying form of clause 5: along a trajectory it gives \(\dot V \le -2cV\) for \(V = x^{\mathsf T}Px\), hence \(V(t) \le V(0)e^{-2ct}\), and it is the shape every contraction and guaranteed-decay-rate condition is written in.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.2.

Proof ▶

Every clause is tied to clause 3 and the cycle is closed by transitivity: \(1 \Leftrightarrow 3\) is theorem 381, \(2 \Leftrightarrow 3\) is theorem 382, \(3 \Leftrightarrow 4\) is theorem 393, \(3 \Leftrightarrow 5\) is theorem 394, and \(3 \Leftrightarrow 6\) is theorem 395.

8.2.7 Quadratic forms along a linear vector field

What makes a solution of the Lyapunov equation a Lyapunov function: the forcing matrix is exactly the dissipation rate of the associated quadratic form.

Theorem 397 A Lyapunov solution makes its quadratic form decrease
✓

Let \(P\) solve \(PA + A^{\mathsf T}P = -Q\) (definition 383). Then the derivative of the centered quadratic form \(x \mapsto (x - x_{\mathrm{eq}})^{\mathsf T}P(x - x_{\mathrm{eq}})\) (definition 384) along the linear vector field \(y \mapsto Ay\) is

\[ -\, (x - x_{\mathrm{eq}})^{\mathsf T}Q\, (x - x_{\mathrm{eq}}). \]

This is what makes a Lyapunov solution a Lyapunov function: the forcing \(Q\) is exactly the dissipation rate.

Proof ▶

The derivative of the quadratic form in the direction \(Ay\) is \(\langle y, Py'\rangle + \langle y', Py\rangle \) with \(y' = Ay\), which is the form represented by \(PA + A^{\mathsf T}P\). Transporting the equation through \(\mathtt{toEuclideanCLM}\) — under which transpose becomes adjoint — rewrites that as \(-Q\).

Lemma 398 Identity forcing gives decrease at the squared norm
✓

For \(P\) solving \(PA + A^{\mathsf T}P = -I\) (definition 383), the derivative of the centered quadratic form (definition 384) along \(y \mapsto Ay\) is \(-\| x - x_{\mathrm{eq}}\| ^{2}\).

Proof ▶

theorem 397 at \(Q = I\), where the quadratic form is the squared Euclidean norm.

8.2.8 A quadratic certificate for an unstable eigenmode

The instability counterpart (theorem 405): an eigenvalue with positive real part yields a real quadratic Chetaev certificate. The construction solves a shifted Lyapunov–Sylvester equation, whose injectivity rests on a nonresonance condition on the spectrum — which is what the lemmas below supply.

Lemma 399 A nonresonant bilinear form vanishes on a pair of generalized eigenspaces
✓

Let \(T\) be an endomorphism of a complex vector space and \(B\) a bilinear form satisfying the Sylvester-type identity

\[ B(x, Ty) + B(Tx, y) = c\, B(x,y) \qquad \forall \, x, y. \]

If \(\xi + \nu \ne c\), then \(B\) vanishes on \(\ker (T - \xi )^{k} \times \ker (T - \nu )^{l}\) for all \(k, l\).

Proof ▶

Strong induction on \(k + l\). The base cases are the zero generalized eigenspaces, where the vector is \(0\). Otherwise write \(Tx = N_{x} + \xi x\) and \(Ty = N_{y} + \nu y\) with \(N_{x}, N_{y}\) one order lower; the induction hypothesis kills \(B(N_{x}, y)\) and \(B(x, N_{y})\), leaving \((\xi + \nu - c)B(x,y) = 0\), and the coefficient is nonzero by nonresonance.

Lemma 400 A nonzero generalized eigenvector witnesses its eigenvalue
✓

If \(x \ne 0\) lies in the maximal generalized eigenspace of \(T\) at \(\xi \), then \(\xi \) is an eigenvalue of \(T\).

Proof ▶

Membership gives \(x \in \ker (T - \xi )^{k}\) for some \(k\), necessarily \(k \ne 0\) since \(x \ne 0\); so that generalized eigenspace is nontrivial, and a nontrivial generalized eigenspace forces an eigenvalue.

Lemma 401 A nonresonant bilinear form vanishes identically
✓

Let \(V\) be a finite-dimensional complex vector space, \(T\) an endomorphism, and \(B\) a bilinear form with \(B(x,Ty) + B(Tx,y) = c\, B(x,y)\). If no pair of eigenvalues of \(T\) sums to \(c\), then \(B = 0\).

This is the uniqueness half of solvability for the Sylvester-type equation: the associated operator has trivial kernel exactly when the spectrum is nonresonant.

Proof ▶

Over \(\mathbb {C}\) the generalized eigenspaces of \(T\) span \(V\), so it suffices to check \(B(x,y) = 0\) for \(x, y\) in generalized eigenspaces. A nonzero such vector witnesses its eigenvalue (lemma 400), so nonresonance applies and lemma 399 gives \(B(x,y) = 0\).

Lemma 402 Right multiplication acts on the right argument
✓
#

For square matrices \(H, A\) over a commutative semiring, \((HA)(x,y) = H(x, Ay)\) as bilinear forms.

Proof ▶

Both sides unfold to \(x \cdot (HAy)\) by associativity of matrix-vector multiplication.

Lemma 403 Left multiplication by the transpose acts on the left argument
✓
#

For square matrices \(H, A\) over a commutative semiring, \((A^{\mathsf T}H)(x,y) = H(Ax, y)\) as bilinear forms.

Together with lemma 402 this is what turns the matrix equation \(HA + A^{\mathsf T}H = cH\) into the Sylvester-type identity on bilinear forms that lemma 401 consumes.

Proof ▶

Move the transpose across the dot product: \(x \cdot (A^{\mathsf T}Hy) = (Ax) \cdot (Hy)\).

Lemma 404 A symmetric matrix represents a symmetric form
✓
#

If \(H\) is a symmetric real matrix then \(H(x,y) = H(y,x)\) as a bilinear form.

Proof ▶

Move the transpose across the dot product and apply \(H^{\mathsf T} = H\).

Theorem 405 Quadratic instability certificate from an unstable eigenpair
✓

A complex eigenpair of a real matrix \(A\) with \(\operatorname {Re}\mu {\gt}0\) yields a Hermitian real matrix \(H\), a shift \(\alpha {\gt}0\), and a direction \(w\) such that \(w^{\mathsf T}Hw{\gt}0\) and

\[ HA+A^{\mathsf T}H-2\alpha H \]

is positive definite.

Reference: Hahn, Stability of Motion; Khalil, Nonlinear Systems.

Proof ▶

Choose a shift avoiding the finitely many pairwise spectral resonances, solve the resulting Lyapunov–Sylvester equation by finite-dimensional injectivity, and extract \(w\) from the real or imaginary part of the supplied eigenvector.

8.3 Discrete-time linear systems

For \(x(t+1) = A(t)x(t)\) Hespanha’s conditions are again theorems about the stability predicates of the unforced system, now those of definition 328 and the definitions after it. The state transition matrix is a finite product, so no regularity of \(A\) is needed, and trajectories always exist, so no forward completeness enters. For constant \(A\) the spectral condition is the Schur condition: every eigenvalue in the open unit disc.

8.3.1 Hespanha’s Definition 8.2

For the discrete-time linear system \(x(t+1) = A(t)x(t)\) with state transition matrix \(\Phi \) (definition 204), the origin is stable (definition 328) if and only if for every \(t_0\) there is \(C \ge 0\) with

\[ \| \Phi (t, t_0)\, x\| \le C\, \| x\| , \qquad \forall \, t \ge t_0,\ \forall \, x. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(1).

Proof ▶

(\(\Rightarrow \)) Stability at \(\varepsilon = 1\) gives a margin \(\delta \); every response from the \(\delta \)-ball stays in the unit ball, and homogeneity scales that to the bound with \(C = 2/\delta \). (\(\Leftarrow \)) Given \(\varepsilon \), take \(\delta = \varepsilon /(C+1)\): a trajectory is its own homogeneous response (theorem 224).

Theorem 407 Lyapunov stability of a discrete-time linear time-varying system
✓

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is stable (definition 328) if and only if, for every \(t_0\) and every initial condition \(x_0\), the homogeneous response \(x(t) = \Phi (t, t_0)\, x_0\) (definition 215) is bounded on \(t \ge t_0\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(1).

Proof ▶

The state-transition form is lemma 406. A bound on \(\Phi \) bounds each response by \(C\| x_0\| \); conversely a family of operators bounded at every point of a Banach space is norm-bounded, by the uniform boundedness principle.

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is uniformly stable (definition 330) if and only if there is a single \(C\) with \(\| \Phi (t, t_0)\, x\| \le C\, \| x\| \) for all \(t \ge t_0\) and all \(x\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(1), with the margin independent of \(t_0\).

Proof ▶

As lemma 406, with the margin and the bound both carried outside the quantifier on \(t_0\).

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is locally asymptotically stable (definition 332) if and only if, for every \(t_0\) and every \(x_0\), the homogeneous response \(t \mapsto \Phi (t, t_0)x_0\) is bounded on \(t \ge t_0\) and tends to \(0\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(2).

Proof ▶

The stability conjunct is theorem 407. For attractivity an arbitrary \(x_0\) is rescaled into the attractivity ball and the limit scales back; conversely every trajectory is a response (theorem 224).

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is globally exponentially stable (definition 338) if and only if there are \(c {\gt} 0\) and \(0 \le \rho {\lt} 1\) with

\[ \| \Phi (t, t_0)\, x\| \le c\, \rho ^{t - t_0}\, \| x\| , \qquad \forall \, t \ge t_0,\ \forall \, x. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(3).

Proof ▶

The estimate along every trajectory is the estimate applied to its initial state, since a trajectory is its own homogeneous response; conversely the response from \(x\) is a trajectory.

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is locally exponentially stable (definition 337) if and only if there are \(c {\gt} 0\) and \(0 \le \rho {\lt} 1\) with \(\| \Phi (t, t_0)\, x\| \le c\, \rho ^{t - t_0}\, \| x\| \) for all \(t \ge t_0\) and all \(x\): the condition of theorem 410.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(3).

Proof ▶

As in the global case; the radius of the local definition is absorbed by the scaling argument, and radius \(1\) serves in the converse.

Lemma 412 Local exponential stability is global, for a discrete-time linear system
✓

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is locally exponentially stable (definition 337) if and only if it is globally exponentially stable (definition 338).

Proof ▶

Both are equivalent to the same estimate: theorem 411 and theorem 410.

For the discrete-time linear system \(x(t+1) = A(t)x(t)\), the origin is unstable (definition 329) if and only if there are \(t_0\) and \(x_0\) whose homogeneous response \(t \mapsto \Phi (t, t_0)x_0\) is unbounded on \(t \ge t_0\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Definition 8.2(4).

Proof ▶

The negation of theorem 407.

8.3.2 The Schur condition

Nothing in this subsection mentions a system: the Schur condition, decay of \(A^{k}\), and a geometric envelope for \(\| A^{k}\| \) are the same condition on the matrix. The proof runs through Gelfand’s formula, as for the Hurwitz condition, with powers in place of the exponential.

Definition 414 Schur matrix
✓
#

A real square matrix \(A\) is Schur when every eigenpair \((\mu , v)\) of its complexification, with \(v \ne 0\), satisfies \(|\mu | {\lt} 1\). The discrete-time counterpart of definition 364.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.3.

Theorem 415 A Schur matrix has geometrically decaying powers
✓

If \(A\) is Schur (definition 414) then there are \(C {\gt} 0\) and \(0 \le \rho {\lt} 1\) with

\[ \| A^{k}\| \le C\, \rho ^{k}, \qquad \forall \, k \in \mathbb {N}. \]

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.3.

Proof ▶

The spectral radius of \(A_{\mathbb C}\) is below \(1\), so by Gelfand’s formula (lemma 368) some power has \(\| A^{m}\| {\lt} 1\); fix \(\| A^{m}\| \le c {\lt} 1\) with \(c {\gt} 0\), and let \(M\) bound \(\| A^{r}\| \) for \(r {\lt} m\). Writing \(k = r + mq\) with \(r {\lt} m\), submultiplicativity gives \(\| A^{k}\| \le M c^{q}\), and with \(\rho = c^{1/m}\), \(c^{q} = \rho ^{mq} \le \rho ^{k}/c\).

Theorem 416 Geometric decay of the state under a Schur matrix
✓

If \(A\) is Schur (definition 414) then there are \(C {\gt} 0\) and \(0 \le \rho {\lt} 1\) with \(\| A^{k}x\| \le C\, \rho ^{k}\, \| x\| \) for every \(k\) and \(x\).

Proof ▶

theorem 415 and \(\| Ax\| _{\infty } \le \| A\| _{\infty }\| x\| _{\infty }\).

Theorem 417 Decay of the matrix powers forces the Schur condition
✓

If \(A^{k} \to 0\) as \(k \to \infty \) then \(A\) is Schur (definition 414).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.3.

Proof ▶

Suppose \(|\mu | \ge 1\) for an eigenpair \((\mu , v)\) of \(A_{\mathbb C}\) with \(v \ne 0\). Complexification is continuous, so \(A^{k}_{\mathbb C}v \to 0\); but \(A^{k}_{\mathbb C}v = \mu ^{k}v\) (lemma 198) has norm \(|\mu |^{k}\| v\| \ge \| v\| {\gt} 0\).

Theorem 418 Pointwise decay of the state forces the Schur condition
✓

If \(A^{k}x \to 0\) as \(k \to \infty \) for every real state \(x\), then \(A\) is Schur (definition 414).

Proof ▶

The standard basis vectors return the columns of \(A^{k}\), so \(A^{k} \to 0\); apply theorem 417.

Theorem 419 Schur is decay of the matrix powers
✓

A real square matrix \(A\) is Schur (definition 414) if and only if \(A^{k} \to 0\) as \(k \to \infty \).

Proof ▶

Forwards, theorem 415 supplies a geometric envelope; backwards is theorem 417.

Theorem 420 Schur is a geometric envelope for the matrix powers
✓

A real square matrix \(A\) is Schur (definition 414) if and only if there are \(C {\gt} 0\) and \(0 \le \rho {\lt} 1\) with \(\| A^{k}\| \le C\rho ^{k}\) for all \(k\).

Proof ▶

Forwards is theorem 415; backwards, the envelope forces \(A^{k} \to 0\) and theorem 419 applies.

8.3.3 Hespanha’s Theorem 8.3

Clauses (1) and (3) of the theorem, marginal stability and instability, ask that the Jordan blocks at eigenvalues of magnitude one be \(1 \times 1\); as in continuous time they need a Jordan normal form and are not recorded here.

For the time-invariant system \(x^{+} = Ax\), the origin is locally asymptotically stable (definition 332) if and only if \(A\) is Schur (definition 414): every eigenvalue of \(A\) has magnitude strictly smaller than \(1\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.3(2).

Proof ▶

For constant \(A\) the state transition matrix is \(A^{t - t_0}\) (theorem 220), so theorem 409 turns the statement into one about \(A^{k}x_0\). If the responses converge then \(A\) is Schur (theorem 418); conversely a Schur \(A\) has a geometric envelope \(\| A^{k}x\| \le C\rho ^{k}\| x\| \) (theorem 416), which bounds the responses and makes them vanish.

For the time-invariant system \(x^{+} = Ax\), the origin is locally exponentially stable (definition 337) if and only if \(A\) is Schur (definition 414).

Together with theorem 421 this says the two notions coincide for a time-invariant system.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.3(2).

Proof ▶

Against theorem 411, which already asks for a geometric envelope \(\| A^{t - t_0}x\| \le c\rho ^{t - t_0}\| x\| \). Forwards, at \(t_0 = 0\) the envelope makes \(A^{k}x \to 0\), so \(A\) is Schur (theorem 418); backwards is theorem 416.

8.3.4 The discrete Lyapunov equation

The discrete-time counterpart of \(PA + A^{\mathsf T}P = -Q\) is \(A^{\mathsf T}PA - P = -Q\). Unlike continuous time, the solution needs no integral: it is the convergent series \(\sum _{k} (A^{\mathsf T})^{k}QA^{k}\).

Definition 423 Discrete Lyapunov equation
✓
#

For real square matrices \(A\), \(P\) and \(Q\), the matrix \(P\) satisfies the discrete-time Lyapunov equation for \(A\) with forcing \(Q\) when

\[ A^{\mathsf T} P A - P = -Q. \]

Along \(x(t+1) = Ax(t)\) the quadratic form \(V(x) = x^{\mathsf T}Px\) then changes by \(V(Ax) - V(x) = -x^{\mathsf T}Qx\).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Lemma 424 Decrease of the quadratic form along a discrete LTI system
✓

If \(A^{\mathsf T}PA - P = -Q\) (definition 423), then for every \(x\),

\[ (Ax)^{\mathsf T} P (Ax) - x^{\mathsf T} P x = -x^{\mathsf T} Q x. \]
Proof ▶

\((Ax)^{\mathsf T}P(Ax) = x^{\mathsf T}(A^{\mathsf T}PA)x\), and \(A^{\mathsf T}PA = P - Q\).

Lemma 425 The transpose of a Schur matrix is Schur
✓

If \(A\) is Schur (definition 414) then so is \(A^{\mathsf T}\).

Proof ▶

\(A\) and \(A^{\mathsf T}\) have the same characteristic polynomial, hence the same spectrum over \(\mathbb {C}\), and the spectrum is the set of eigenvalues (lemma 194).

Theorem 426 Discrete Lyapunov equation for a Schur matrix
✓

If \(A\) is Schur (definition 414), then for every positive definite \(Q\) there is a positive definite \(P\) with \(A^{\mathsf T}PA - P = -Q\) (definition 423), and \(P\) is the unique matrix solution.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Proof ▶

Take \(P = \sum _{k} (A^{\mathsf T})^{k} Q A^{k}\). It converges because both \(A\) and \(A^{\mathsf T}\) are Schur (lemma 425), so their powers decay geometrically (theorem 415). Shifting the index, \(A^{\mathsf T}PA = P - Q\). The first term is \(Q\) and the others are positive semidefinite, so \(P\) is positive definite (lemma 387). For uniqueness, a difference \(W\) of two solutions satisfies \(W = A^{\mathsf T}WA\), hence \(W = (A^{\mathsf T})^{k}WA^{k} \to 0\).

Theorem 427 A discrete Lyapunov certificate proves the spectrum lies in the unit disc
✓

If \(P\) and \(Q\) are positive definite and \(A^{\mathsf T}PA - P = -Q\), then \(A\) is Schur (definition 414).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Proof ▶

Complexify the equation and pair it against an eigenvector \(v\) with eigenvalue \(\mu \): the left-hand side is \((|\mu |^{2} - 1)\, v^{*}Pv\) and the right-hand side is \(-v^{*}Qv\). Both quadratic forms are strictly positive (lemma 193), so \(|\mu |^{2} {\lt} 1\).

Theorem 428 The discrete Lyapunov inequality certifies the Schur condition
✓

If \(P\) is positive definite and \(-(A^{\mathsf T}PA - P)\) is positive definite, then \(A\) is Schur (definition 414).

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Proof ▶

Take the forcing to be minus the residual and apply theorem 427.

Theorem 429 Schur is solvability of the discrete Lyapunov equation for every forcing
✓

A real square matrix \(A\) is Schur (definition 414) if and only if for every positive definite \(Q\) there is a positive definite \(P\) with \(A^{\mathsf T}PA - P = -Q\) (definition 423), unique among all matrix solutions.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Proof ▶

Forwards is theorem 426. Backwards, instantiate the forcing at \(Q = I\) and apply theorem 427.

Theorem 430 Schur is the existence of one discrete Lyapunov certificate
✓

A real square matrix \(A\) is Schur (definition 414) if and only if some positive definite \(P\) makes \(-(A^{\mathsf T}PA - P)\) positive definite.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Proof ▶

Forwards, solve the equation with \(Q = I\) (theorem 426); the residual is then \(-I\). Backwards is theorem 428.

8.3.5 Hespanha’s Theorem 8.4

For the time-invariant system \(x^{+} = Ax\) the following are equivalent.

  1. The origin is asymptotically stable (definition 332).

  2. The origin is exponentially stable (definition 337).

  3. \(A\) is Schur (definition 414).

  4. For every positive definite \(Q\) there is a positive definite \(P\) with \(A^{\mathsf T}PA - P = -Q\) (definition 423), and this \(P\) is the unique matrix solution.

  5. There is a positive definite \(P\) with \(-(A^{\mathsf T}PA - P)\) positive definite.

Reference: Hespanha, Linear Systems Theory (2nd ed.), Chapter 8, Theorem 8.4.

Proof ▶

Every clause is tied to clause 3: \(1 \Leftrightarrow 3\) is theorem 421, \(2 \Leftrightarrow 3\) is theorem 422, \(3 \Leftrightarrow 4\) is theorem 429, and \(3 \Leftrightarrow 5\) is theorem 430.