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Dynamical Systems – 2010

Part I

Class 1 Organization of the course


Department of Electrical Engineering
Eindhoven University of Technology

Siep Weiland

Class 1 (TUE) Dynamical Systems – 2010 Siep Weiland 1 / 42 Class 1 (TUE) Dynamical Systems – 2010 Siep Weiland 2 / 42

Organization Material

Outline of Part I website and course material


Website:

http://w3.ele.tue.nl/en/cs/education/courses/dynamical systems/

Material:
1 Organization of the course
• Book
Material
Schedule “Nonlinear Dynamics and Chaos:
Exams and gradings with applications to Physics, Biology, Chemistry and
Purpose Engineering”
Steven H. Strogatz,
about EURO 50.–

• Slides and handouts


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Organization Schedule Organization Exams and gradings

schedule course 2010 exams and gradings

1 August 30: Organization; phase flows; stability


2 September 3: Existence and uniqueness; potential functions; Matlab • Exercises
3 September 6: Bifurcations We will make exercises in and outside class hours
4 September 13: Applications of bifurcations May need to bring your notebook (will be announced)
5 September 17: Two dimensional flows Solutions posted on website.
6 September 20: Stability, dissipativity and Lyapunov • Exams
Your choice of two projects (take home style)
7 September 27: Hamiltonian systems
Details follow
8 October 1: Limit cycles
• Grading
9 October 4: Poincaré-Bendixson and oscillators Determined by grade of take home exam, possibly averaged with
10 October 11: Discrete time evolutions some exercises that need to be handed in.
11 October 15: Chaos: strange attractors, sensitivity
12 October 18: Chaos: demonstrations and applications

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Organization Purpose

purpose of this course


After this course you can
• distinguish among particular classes of NL systems
• analyze stability, periodicity, chaotic behavior, bifurcations, hysteresis,
attractors, repellers, limit cycles Part II
• efficiently simulate NL evolution laws
• appreciate this research area Today’s lecture
Topics:
• existence and uniqueness of solutions of (nonlinear) differential
equations.
• periodic, quasi-periodic and chaotic systems.
• fixed points, limit sets, periodic orbits, Lyapunov functions and
stability, Bendixson theorem, Poincaré maps, bifurcations.
• Chaotic attractors, Lyapunov exponents, iteration of functions and
periodic points.
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Motivating examples

Outline of Part II Outline

2 Motivating examples 2 Motivating examples

3 Linear systems 3 Linear systems


Linearization Linearization

4 Nonlinear systems 4 Nonlinear systems


General structure General structure
Fixed points Fixed points

5 Stability of fixed points 5 Stability of fixed points


Stable fixed points Stable fixed points
Unstable fixed points Unstable fixed points
Verifying stability of fixed points Verifying stability of fixed points

6 Summary 6 Summary

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Motivating examples Motivating examples

Example 1: computational fluid dynamics Example 2: phase-lock loops (PLL’s)

Control variables: Classical PLL control loop configuration


• temperature
• velocity vi - v-
o
PD - LF - VCO
Constraints
• maximum temp.
6

• fuel constraints 1/N 


• emission constraints
• temp. gradients • PD: phase detector Used in many, many applications for
• LF: loop filter • carrier synchronization

• VCO: voltage controlled • carrier recovery


oscillator • frequency division and multiplication
• 1/N: Divider • demodulation schemes.
Aim: lock frequency of output voltage vo to frequency of input voltage vi
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Motivating examples Motivating examples

Example 3: Laser beams Example 4: Meteorology

Monochromatic, coherent and Atmospheric turbulence Tropical cyclone path prediction


directional light produced via
stimulated photon emission
(1958)
Application of lasers in
• CD/DVD players
• eye surgery
• optical communication
• welding, cutting, blasting
• concerts Tropical storm Gustav path forecast, Thursday August 28, 2008

• dental drills
Turbulence and cyclone path predictions are difficult for good reasons
• ...

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Motivating examples Motivating examples

Example 5: Unpredictable circuit behavior Example 6: Electrical power networks

Main trends
A very simple electronic circuit Its voltage behavior • Liberalization of power market
0.4
• From monopolistic to competitive
0.3
market
0.2
• Increase of complexity
0.1

0
• Increase of distributed and renewable
−0.1
power generation
−0.2 • wind turbines, photovoltaic cells,. . .
−0.3 • contribute to power generation but
−0.4 not to stabilization
1 nonlinear diode characteristic −0.5
−2.5 −2 −1.5 −1 −0.5 0 0.5 1 1.5 2 2.5
• changes of transmission structures
Aim:
Stable operation of power net

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Linear systems Linear systems Linearization

Outline linear systems

So far in your E curriculum:


2 Motivating examples
• All systems, physical components, models were assumed to have
3 Linear systems idealized linear dynamics
Linearization • You have seen different formats:
• State space models
4 Nonlinear systems
General structure ẋ = Ax + Bu, y = Cx + Du
Fixed points
• Transfer function models
5 Stability of fixed points
Y (s) = H(s)U(s)
Stable fixed points
Unstable fixed points • Models of differential equations
Verifying stability of fixed points
mÿ + b ẏ + ky = u
6 Summary
• What means linearity precisely and how realistic is this property

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Linear systems Linearization Linear systems Linearization

linear vs. nonlinear systems linear vs. nonlinear systems

Example: Pendulum Definition


d
A By a dynamical system we mean any collection B of functions w : T → W
A defined on a time set T ⊆ R and producing values in a signal space W.
A
θ AAh A dynamical system is linear (over R) if this collection is a linear space:
if w1 , w2 ∈ B then also λ1 w1 + λ2 w2 ∈ B for any λ1 , λ2 ∈ R.
Fgravity
?
Example: Pendulum model
Model of pendulum of length L Let (θ1 , u1 ) and (θ2 , u2 ) be two solutions and set θ = θ1 + θ2 . Then
g
θ̈1 + gL sin(θ1 ) = u1

θ̈ + sin(θ) = u g
L g 6⇒ θ̈ + sin(θ) = u1 + u2
θ̈2 + L sin(θ2 ) = u2 L
Linear ?? Nonlinear ?? So the pendulum model is not linear for this reason.

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Linear systems Linearization Linear systems Linearization

linearization and state representations linearization -definitions from earlier courses


With x1 = θ and x2 = θ̇ this gives: • Linear systems often obtained from linearization of nonlinear system
• nonlinear model in state space form:
      ẋ = f (x, u), y = g (x, u)
ẋ1 x2 f1 (x1 , x2 , u)
= = • Set
ẋ2 − gL sin(x1 ) + u f2 (x1 , x2 , u)

• linearized model in differential form: x(t) = x0 + ξ(t), u(t) = u0 + µ(t), y (t) = y0 + ω(t)
Around θ = 0 gives sin(θ) ≈ θ so that with (x0 , u0 , y0 ) a linearization point and (ξ, µ, ω) a perturbation of
g state, input and output.
θ̈ + θ=u
L • Taylor expansion of f and g around (x0 , u0 , y0 ) yields:

• linearized model in state space form: ∂f ∂f


f (x, u) = f (x0 , u0 ) + (x0 , u0 )[x − x0 ] + (x0 , u0 )[u − u0 ] + . . .
       ∂x ∂u
ẋ1 0 1 x1 0 ∂g ∂g
= g + u g (x, u) = g (x0 , u0 ) + (x0 , u0 )[x − x0 ] + (x0 , u0 )[u − u0 ] + . . .
ẋ2 0 −L x2 1 ∂x ∂u
| {z } |{z}
A B
where . . . stands for higher order terms [x − x0 ]2 , [u − u0 ]2 etc.
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Linear systems Linearization Linear systems Linearization

linearization -definitions linearization -definitions


• Assume that (x0 , u0 , y0 ) is a fixed point, that is
Definition
f (x0 , u0 ) = 0 and y0 = g (x0 , u0 ) The model ξ˙ = Aξ + Bµ, ω = C ξ + Dµ defined on the previous frame is
˙ ξ = x − x0 , µ = u − u0 and ω = y − y0 , we have
• Since ẋ = ξ,
the linearization of the nonlinear model ẋ = f (x, u), y = g (x, u) around
the fixed point (x0 , u0 , y0 ).
∂f ∂f
ξ˙ = (x0 , u0 )ξ + (x0 , u0 )µ + . . .
∂x ∂u • It represents an approximation of the dynamic behavior of the
∂g ∂g
ω= (x0 , u0 )ξ + (x0 , u0 )µ + . . . nonlinear model for small perturbations around the linearization point
∂x ∂u (x0 , u0 , y0 ). So, it has local validity.
• Ignoring the higher order terms yields a model of the form • Equivalently represented by its transfer function
ξ˙ = Aξ + Bµ, ω = C ξ + Dµ
H(s) = C (Is − A)−1 B + D
where
its frequency response H(iω), or its impulse response
∂f ∂f ∂g ∂g h(t) = C exp(At)B + Dδ(t), etc.
A= (x0 , u0 ), B = (x0 , u0 ), C = (x0 , u0 ), D = (x0 , u0 )
∂x ∂u ∂x ∂u
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Linear systems Linearization Linear systems Linearization

linearization -example linearization -example


• Evaluate these at fixed point (x0 , u0 , y0 ) = (1, 0, −1):
Example
Linearize the nonlinear model ∂f ∂f
(1, 0) = 2; (1, 0) = sin(1);
∂x ∂u
ẋ = f (x, u) = x 2 + u sin(x) + u 2 x 2 − 1 ∂g ∂g
(1, 0) = −2; (1, 0) = exp(1).
y = g (x, u) = −x 2 + sin(u) exp(x) ∂x ∂u
• Hence,
around point (x0 , u0 , y0 ) = (1, 0, −1).
A = 2, B = sin(1), C = −2, D = exp(1)
Solution:
yields the linearized model
• Compute partial derivatives of f and g :
ξ˙ = 2ξ + sin(1)µ, ω = −2ξ + exp(1)µ
∂f ∂f
= 2x + u cos(x) + 2xu 2 ; = sin(x) + 2ux 2 • Equivalently, the transfer function
∂x ∂u
∂g ∂g H(s) = −2(s − 2)−1 sin(1) + exp(1)
= −2x + sin(u) exp(x); = cos(u) exp(x)
∂x ∂u
with pole in 2 and zero in 2 + 2 sin(1)/ exp(1).
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Linear systems Linearization Nonlinear systems

linearization -pros and cons Outline


Why are linearizations so important?
2 Motivating examples
• Linear models have local validity
(only valid for small perturbations) 3 Linear systems
• We can easily analyse linear models Linearization
(freq. responses, stability, interconnections, robustness)
4 Nonlinear systems
• Allow many equivalent representations
General structure
(state space, transfer functions, differential equations, convolutions)
Fixed points
• Extremely suitable for control system design
But: 5 Stability of fixed points
Stable fixed points
• We ignore global dynamics
Unstable fixed points
• We ignore phenomena beyond ‘small perturbations’ Verifying stability of fixed points
(periodicity, attractors, chaos, bifurcations)
• Qualitatitive properties of nonlinear dynamics not (always) captured 6 Summary
in linearized models
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Nonlinear systems General structure Nonlinear systems General structure

general structure of nonlinear systems some questions

We consider the general form

ẋ = f (x, u), y = g (x, u)


ẋ = f (x, u), y = g (x, u)

where What do we mean by a solution ??


x(t) ∈ Rn , u(t) ∈ Rm , y (t) ∈ Rp
Important special cases:
Do solutions x(t) exist for any input, init. condition and time ??
• homogeneous or autonomous system: no input u.
• one-dimensional flows: case n = 1.
Hence, state is one dimensional ‘vector’. Can we compute them ??
• linear system: both f and g linear in x and u.

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Nonlinear systems General structure Nonlinear systems General structure

example example (ctd)


Determine solutions of the autonomous system

With x0 = π/3 we can determine x(t) for t = 12 by solving


ẋ = sin(x)
[1 + cos(π/3)] sin(x)
Solution by separation of variables: 12 = log | |
sin(π/3)[1 + cos(x)]
dx for x.
dt =
sin x This is no easy task!!
Integrate:
1 + cos x Questions:
t + C = − log | |
sin x • is it solvable at all?
Hence, if x(0) = x0 then C = − log | 1+cos x0
sin x0 | so that
• if it is, is solution unique?
• what happens with x(t) as t → ∞?
[1 + cos(x0 )] sin(x)
t = log | |
sin(x0 )[1 + cos(x)]

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Nonlinear systems Fixed points Stability of fixed points

fixed points -definition Outline

2 Motivating examples
Definition
A point x ∗ is a fixed point of the homogeneous flow ẋ = f (x) if f (x ∗ ) = 0. 3 Linear systems
Linearization
• x ∗ is fixed point means that constant x(t) = x ∗ , t ∈ R is solution of 4 Nonlinear systems
ẋ = f (x) with initial condition x(0) = x ∗ . General structure
• Fixed points are also called equilibrium points, constant solutions, Fixed points
working points, steady solutions, stagnation points.
5 Stability of fixed points
Stable fixed points
Unstable fixed points
Example Verifying stability of fixed points
ẋ = sin(x) has x ∗ = kπ with k ∈ Z as its fixed points.
6 Summary

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Stability of fixed points Stable fixed points Stability of fixed points Stable fixed points

stability of fixed points stability of fixed points

Homogeneous flow ẋ = sin(x) flows


• to the right if sin(x) > 0 (velocity is positive) Definition
• to the left if sin(x) < 0 (velocity is negative) A fixed point x ∗ is stable if any solution x(t) stays near x ∗ for all t ≥ 0 if
1.5 the initial condition x0 starts near enough to x ∗ . Precisely, if for all ε > 0
1
there exist δ > 0 such that for all initial condition x0 with |x0 − x ∗ | < δ we
0.5
have that |x(t) − x ∗ | ≤ ε for all t ≥ 0.
0
Important to note that
−0.5
• stability is a local property of a fixed point.
−1
• δ may depend on ε, that is some initial conditions should be chosen
−1.5
−6 −4 −2 0 2 4 6 closer to x ∗ than others.
Fixed points at x ∗ = kπ, • The definition does not say that x(t) → x ∗ as t → ∞ .
• k odd: x ∗ is stable fixed point. • x ∗ is also called Lyapunov stable
• k even: x ∗ is unstable fixed point.

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Stability of fixed points Unstable fixed points Stability of fixed points Unstable fixed points

instability of fixed points solutions of ẋ = sin(x)

Definition Flow patterns x(t) for 0 ≤ t ≤ 10 of ẋ = sin(x) for various initial


A fixed point x ∗ is unstable if it is not stable. conditions:
solutions of xdot=sin(x)
10

Example 6

x2
Consider ẋ = − 1. Fixed points are = 1 and x∗ = −1. Phase x∗ 4

diagram tells us that x ∗ = 1 is unstable, x ∗ = −1 is stable. 2

solution x
0

−2

−4

−6

−8

−10
0 1 2 3 4 5 6 7 8 9 10
t

Note stable and unstable fixed points on vertical axis!


Stable or unstable??
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Stability of fixed points Unstable fixed points Stability of fixed points Verifying stability

some refinements on stability definitions how to verify stability?

Definition Theorem
A fixed point x ∗ is said to be If f is differentiable at a fixed point x ∗ of the flow ẋ = f (x), then x ∗ is
• attractive if there exist δ > 0 such that limt→∞ |x(t) − x ∗ | = 0 • stable if f 0 (x ∗ ) < 0.
whenever the initial condition x0 satisfies |x0 − x ∗| ≤ δ. • unstable if f 0 (x ∗ ) > 0.
• asymptotically stable if it is both stable and attractive.

So stability can be inferred from sign of f 0 (x ∗ ). No statement on case


Remark: there exist examples of stable fixed points that are not attractive, where f 0 (x ∗ ) = 0.
and examples of attractive fixed points that are not stable. For example, verify stability of fixed points of ẋ = x 3 or ẋ = −x 3 .

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Summary Summary

Outline summary

2 Motivating examples • Linear systems admit representations in state space, transfer function,
3 Linear systems differential equation and convolution format.
Linearization • Nonlinear systems only allow representations in differential and state
space format. No transfer functions!!
4 Nonlinear systems • Focused on autonomous (no inputs) and one-dimensional (state has
General structure dimension 1) nonlinear systems.
Fixed points
• We defined fixed points of nonlinear dynamical systems
5 Stability of fixed points • Phase diagrams are helpful to decide about stability of fixed points
Stable fixed points • Introduced precise definitions of stability
Unstable fixed points
• Can verify stability of fixed points through sign of f 0 (x ∗ ).
Verifying stability of fixed points

6 Summary to next class

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