Lyapunov stability


Various types of stability may be discussed for the solutions of differential equations or difference equations describing dynamical systems. The most important type is that concerning the stability of solutions near to a point of equilibrium. This may be discussed by the theory of Aleksandr Lyapunov. In simple terms, if the solutions that start out near an equilibrium point stay near forever, then is Lyapunov stable. More strongly, if is Lyapunov stable and all solutions that start out near converge to, then is asymptotically stable. The notion of exponential stability guarantees a minimal rate of decay, i.e., an estimate of how quickly the solutions converge. The idea of Lyapunov stability can be extended to infinite-dimensional manifolds, where it is known as structural stability, which concerns the behavior of different but "nearby" solutions to differential equations. Input-to-state stability applies Lyapunov notions to systems with inputs.
In the restricted three-body problem, Lyapunov orbits are curved paths around a Lagrangian point that lie entirely in the plane of the two primary bodies, in contrast with halo orbits and Lissajous orbits, which move above and below the plane also.

History

Lyapunov stability is named after Aleksandr Mikhailovich Lyapunov, a Russian mathematician who defended the thesis The General Problem of Stability of Motion at Kharkov University in 1892. A. M. Lyapunov was a pioneer in successful endeavoring to develop the global approach to the analysis of the stability of nonlinear dynamical systems by comparison with the widely spread local method of linearizing them about points of equilibrium. His work, initially published in Russian and then translated to French, received little attention for many years. The mathematical theory of stability of motion, founded by A. M. Lyapunov, considerably anticipated the time for its implementation in science and technology. Moreover Lyapunov did not himself make application in this field, his own interest being in the stability of rotating fluid masses with astronomical application. He did not have doctoral students who followed the research in the field of stability and his own destiny was terribly tragic because of the Russian revolution of 1917. For several decades the theory of stability sank into complete oblivion. The Russian-Soviet mathematician and mechanician Nikolay Gur'yevich Chetaev working at the Kazan Aviation Institute in the 1930s was the first who realized the incredible magnitude of the discovery made by A. M. Lyapunov. Actually, his figure as a great scientist is comparable to the one of A. M. Lyapunov. The contribution to the theory made by N. G. Chetaev was so significant that many mathematicians, physicists and engineers consider him Lyapunov’s direct successor and the next-in-line scientific descendant in the creation and development of the mathematical theory of stability.
The interest in it suddenly skyrocketed during the Cold War period when the so-called "Second Method of Lyapunov" was found to be applicable to the stability of aerospace guidance systems which typically contain strong nonlinearities not treatable by other methods. A large number of publications appeared then and since in the control and systems literature.
More recently the concept of the Lyapunov exponent has received wide interest in connection with chaos theory. Lyapunov stability methods have also been applied to finding equilibrium solutions in traffic assignment problems.

Definition for continuous-time systems

Consider an autonomous nonlinear dynamical system
where denotes the system state vector, an open set containing the origin, and continuous on. Suppose has an equilibrium at so that then
  1. This equilibrium is said to be Lyapunov stable, if, for every, there exists a such that, if, then for every we have.
  2. The equilibrium of the above system is said to be asymptotically stable if it is Lyapunov stable and there exists such that if, then.
  3. The equilibrium of the above system is said to be exponentially stable if it is asymptotically stable and there exist such that if, then, for all.
Conceptually, the meanings of the above terms are the following:
  1. Lyapunov stability of an equilibrium means that solutions starting "close enough" to the equilibrium remain "close enough" forever. Note that this must be true for any that one may want to choose.
  2. Asymptotic stability means that solutions that start close enough not only remain close enough but also eventually converge to the equilibrium.
  3. Exponential stability means that solutions not only converge, but in fact converge faster than or at least as fast as a particular known rate.
The trajectory x is attractive if
for for all trajectories that start close enough, and globally attractive if this property holds for all trajectories.
That is, if x belongs to the interior of its stable manifold, it is asymptotically stable if it is both attractive and stable.
If the Jacobian of the dynamical system at an equilibrium happens to be a stability matrix, then the equilibrium is asymptotically stable.

Lyapunov's second method for stability

Lyapunov, in his original 1892 work, proposed two methods for demonstrating stability. The first method developed the solution in a series which was then proved convergent within limits. The second method, which is now referred to as the Lyapunov stability criterion or the Direct Method, makes use of a Lyapunov function V which has an analogy to the potential function of classical dynamics. It is introduced as follows for a system having a point of equilibrium at. Consider a function such that
Then V is called a Lyapunov function and the system is stable in the sense of Lyapunov. An additional condition called "properness" or "radial unboundedness" is required in order to conclude global stability. Global asymptotic stability follows similarly.
It is easier to visualize this method of analysis by thinking of a physical system and considering the energy of such a system. If the system loses energy over time and the energy is never restored then eventually the system must grind to a stop and reach some final resting state. This final state is called the attractor. However, finding a function that gives the precise energy of a physical system can be difficult, and for abstract mathematical systems, economic systems or biological systems, the concept of energy may not be applicable.
Lyapunov's realization was that stability can be proven without requiring knowledge of the true physical energy, provided a Lyapunov function can be found to satisfy the above constraints.

Definition for discrete-time systems

The definition for discrete-time systems is almost identical to that for continuous-time systems. The definition below provides this, using an alternate language commonly used in more mathematical texts.
Let be a metric space and f : X → X a continuous function. A point x in X is said to be Lyapunov stable, if,
We say that x is asymptotically stable if it belongs to the interior of its stable set, i.e. if,

Stability for linear state space models

A linear state space model
where is a finite matrix, is asymptotically stable if all real parts of the eigenvalues of are negative. This condition is equivalent to the following one :
is negative definite for some positive definite matrix.
Correspondingly, a time-discrete linear state space model
is asymptotically stable if all the eigenvalues of have a modulus smaller than one.
This latter condition has been generalized to switched systems: a linear switched discrete time system if the joint spectral radius of the set is smaller than one.

Stability for systems with inputs

A system with inputs has the form
where the input u may be viewed as a control, external input,
stimulus, disturbance, or forcing function. It has been shown that near to a point of equilibrium which is Lyapunov stable the system remains stable under small disturbances. For larger input disturbances the study of such systems is the subject of control theory and applied in control engineering. For systems with inputs, one must quantify the effect of inputs on the stability of the system. The main two approaches to this analysis are BIBO stability and input-to-state stability

Example

Consider an equation, where compared to the Van der Pol oscillator equation the friction term is changed:
Here is a good example of an unsuccessful try to find a Lyapunov function that proves stability.
Let
so that the corresponding system is
Let us choose as a Lyapunov function
which is clearly positive definite. Its derivative is
It seems that if the parameter is positive, stability is asymptotic for But this is wrong, since does not depend on, and will be 0 everywhere on the axis. The equilibrium is Lyapunov stable.

Barbalat's lemma and stability of time-varying systems

Assume that f is a function of time only.
Barbalat's Lemma says:
The following example is taken from page 125 of Slotine and Li's book Applied Nonlinear Control.
Consider a non-autonomous system
This is non-autonomous because the input is a function of time. Assume that the input is bounded.
Taking gives
This says that by first two conditions and hence and are bounded. But it does not say anything about the convergence of to zero. Moreover, the invariant set theorem cannot be applied, because the dynamics is non-autonomous.
Using Barbalat's lemma:
This is bounded because, and are bounded. This implies as and hence. This proves that the error converges.