Lyapunov Stability Theory

Aleksandr Mikhailovich Lyapunov

Born: 6 June 1857 in Yaroslavl, Russia
Died: 3 Nov 1918 in Odessa, Russia

His doctoral thesis

The general problem of the stability of motion
at the University of Moscow (he was awarded his doctorate on 12
October, 1892) established the Lyapunov Stability Theory
On 31 October 1918 Lyapunov's wife died and later that day
Lyapunov shot himself. He died three days later in hospital.
 Autonomous Systems
Consider a nonlinear autonomous system with state space
representation
x  f ( x)
where x is an n-dimensional state vector.
Suppose x0 is an equilibrium point of the system.
Want: Analyze the behavior of the system around x0

Defining e  x  x0
The perturbation system
e  x  f ( x )  f (e  x0 )  f1 (e)
e = 0 is an equilibrium point of the perturbation system.
We will always assume that 0 is the equilibrium point of study.
 Norms
The Euclidean norm of an n-dimensional vector x, is defined as
1/ 2
 n
2
L2 norm: x 2    xi 
 i 1 
A norm is a measure of the size of x.
A norm must satisfy the following properties:

(1) For any constant c, cx | c| x

(2) For any n-dimensional vectors x and y,
xy  x  y
(triangular inequality)
(3) x 0 and if x 0 then x = 0.
 Other Examples of Norms
n
x 1   | xi |
L1 norm:
i 1

L∞ norm:
x 
 max | xi |
i 1, , n

x 2 1

x 1 1 x 
1

Balls of radius 1 in different norms

 Equivalence of Norms

x 
 x2 n x 
x 
 x1n x 

x2 2
x 2
x 2 1
1

1 1

x 1
1
x 1 x 
1


Implications: If x 
0 then x 1 0 and x 2 0

x  then x 1  n and x2 n



Hence, conclusions of convergence, closeness, and continuity

established in one norm will be valid for other norms also.
 Stability in the Lyapunov Sense
of an Isolated Equilibrium Point
Definition:
The equilibrium point x = 0 of the system (1) is said to be
stable in the Lyapunov sense if
for any R > 0, there exists r > 0 such that whenever

x(0)  r we have x(t )  R for all t0

Otherwise, the equilibrium point is unstable.

Notation: Ballr   x : x  r
 x x

x x

x   x3 x  x3
x x

x x

x   sin x x   x4
 Lyapunov stability means that the maximum deviation of the whole
trajectory from 0 depends continuously on the deviation of the
initial state.
R  0, r  0 such that x(0)  Ballr  x(t )  BallR , t

x(t)

Answer: R
Start in Challenge: reduced R
smaller r
t
r
 Examples
For linear systems, all stable and marginally stable systems are
stable in the Lyapunov sense.
A Mechanical System: No friction x x 0
State Variables: x1  x, x2  x
State Space Model:

x1  x2 , x2   x1 x2

Note: For any R (challenge),

just start at any point x1
inside the disk of radius r < R
(answer)
Observe that the Lyapunov stability requires for all (not some)
initial states in the ball of radius r, the trajectories stay in a ball of
radius R.
Example: Saddle Point in a Second-Order System

x(t)
Example: x

t
x  x 2 x
 Lyapunov stability is different from the condition
“bounded initial condition implies bounded state trajectories”

Bounded Initial Condition Implies Bounded State Trajectories:

r  0, R  0 such that x(0)  Ballr  x(t )  BallR , t

That is, it goes “given any r > 0, there exists R > 0”
Compare to Lyapunov: “given any R > 0, there exists r > 0”

This is called Lagrange Stability.

This requires basically that state trajectories stay bounded.
Nonlinear Mechanical System: Nonlinear Friction

mx  2c( x  1) x  kx  0
2
Van del Pol Equation

x 2  1: positive friction  stable system

x 2  1: negative friction  unstable system

Limit Cycle:

Unstable Equilibrium Point

In Lyapunov
Stable Equilibrium Point
In Lagrange
Definition:
The equilibrium point x = 0 of the system (1) is said to be
asymptotically stable in the Lyapunov sense if
1. it is Lyapunov stable;
2. there exists  > 0, such that
x(0)   implies x(t )  0, t  
x2
Remarks:
A system may be Lyapunov stable
but not asymptotically stable,
e.g., marginally stable linear systems. x1
State convergence = attraction of the equilibrium point

Asymptotic stability: Stability + Attraction

 x 2 ( y  x)  y 5 
x  2 x  0 if x  0; y  0
( x  y 2 )(1  ( x 2  y 2 ) 2 )
y 2 ( y  2 x) 
y  2 y  0 if x  0; y  0
( x  y 2 )(1  ( x 2  y 2 ) 2 )
Denominator always positive y Switches on y  2 x
 Pendulum Equation

ml  mg sin   kl

x1   , x2  
 x1  x2

 g k
 x2   sin x1  x2
l m
Equilibrium points: (n ,0), n  0, 1, 2,
Definition:

The equilibrium point x = 0 of the system (1) is said to be

exponentially stable in the Lyapunov sense if
(1) it is Lyapunov stable;
(2) there exists  > 0, such that
x(0)   implies x(t )  c x(0) e  t t  0
where c and  are some positive constants.
A system may be asymptotically stable but not exponentially
stable. Exponential stability requires that the rate of convergence
to 0 be exponential.
2t x(0)
xx 2  x(t )  2
t 1 t 1
Equilibrium point: x = 0
It is Lyapunov stable.
It is asymptotically stable.
It is not exponentially stable.
For linear systems, however, stable systems are always
exponentially stable, with the rate of convergence determined by
eigenvalues: Stable modes:

e t , te t , t 2e t ,

e  t
sin(t   ), te  t
sin(t   ),
 Definition:
If asymptotic stability holds for all initial states, then
the equilibrium point x = 0 of the system (1) is said to be
globally asymptotically stable in the Lyapunov sense.

Local asymptotic stability does not imply global asymptotic stability.

x

x   sin x
A system with multiple equilibrium points cannot be globally
asymptotically stable.
Local instability does not imply that trajectories will go to infinity.
They may go to other stable equilibrium points or limit cycles.
 Lyapunov Linearization Methods

x  f ( x) (1)
with f(0) = 0.
Assume that the nonlinear function f(x) is continuously differentiable
(so that partial derivatives which we are going to use are well
defined).
Jacobian Linearization
x  Ax (2)
where A is the Jacobian matrix of f(x) at 0

f ( x )
A
x x  0
 Lyapunov Stability: Local Linearization
Theorem (Lyapunov Linearization Method for Isolated
Equilibrium Points)

If the linear system (2) is exponentially stable, then the equilibrium

point x = 0 of the nonlinear system (1) is asymptotically stable.

If the linear system (2) is unstable, then the equilibrium point x = 0

of the nonlinear system (1) is unstable.

If the linear system (2) has poles on the imaginary axis and has no
poles in the right half plane, then no conclusion can be reached
about the equilibrium point.
 Advantages of this theorem:
1. It is convenient to apply.
2. It is general, regardless the structure of the nonlinear
function f(x).
3. It implies a local design method: Locally linearize the
plant; design a linear controller that stabilizes the
linearized plant; this will lead to a locally stable
closed-loop system.

Limitations of this theorem:

1. It is inconclusive when the linear system (2) is
marginally stable.
2. It cannot deal with some hard nonlinearities since f(x)
is not differentiable.
3. It is valid for local stability only.
 The nonlinear system: x  ax  bx5

The linearized system at 0: x  ax

a < 0: the equilibrium point x = 0 is asymptotically stable

a > 0: the equilibrium point x = 0 is unstable

a = 0: no conclusion from local linearization.

We need to look at further details beyond the linear part:

x  bx 5

b < 0, it is actually globally asymptotically stable.

b > 0, it is unstable.
Linearization: Keep the linear terms only:

Unstable Node
Lyapunov Direct Methods
 Lyapunov Direct Methods
Main Ideas:
1. It is usually difficult to solve a nonlinear differential
equation.

2. Lyapunov's linearization method may be invalid (e.g., for

hard nonlinearities), or inconclusive (e.g., marginally stable
linearized systems), and can only reach local conclusions.

3. For the analysis of stability we don't need to obtain exact

system trajectories.

4. Stability properties of system trajectories can sometimes be

related to the properties of some other functions which can
be studied without solving the differential equations.
 Example:Energy of a Mechanical System

mx  bx | x | k0 x  k1 x3  0
x1  x, x2  x
 x1  x2

 b k0 k1 3
 x2   x2 | x2 |  x1  x1
 m m m

Linearized System at 0:

 x1  x2  0 1
 Poles on the imaginary axis:
 k0  A   k0 
 x2   x1  0 Inconclusive!
 m  m 
Total Mechanical Energy of the System:
V ( x, x)  mx    k0 x  k1 x 3 dx
1 2 x

2 0

1 2 1 1 4
 mx  k0 x  k1 x
2

2 2 4
Some properties of the energy:
V ( x, x) is continuously differentiable
V (0,0)  0 no energy at the equilibrium point
V ( x, x)  0 if ( x, x)  0 non-zero energy nearby

dV ( x1 , x2 )  V V   x1 
   x   b x2  0
3
,
dt  x1 x2   2 
total energy is not increasing along the system trajectories
 Positive and Negative Definite Functions
Definition: Positive Definite Functions
A scalar continuous function V(x) of n-dimensional vector x is
said to be locally positive definite if

V(0)= 0
There exists R  0 such that
0

x  R0 , x  0  V ( x )  0

If this holds only for V ( x )  0 , instead of V ( x )  0 ,

then V(x) is called positive semi-definite.
V(x) is said to be negative definite (or negative semi-definite) if
-V(x) is positive definite (or positive semi-definite).

If the above properties hold for all x, then V(x) is said to be

globally positive definite (positive semi-definite, negative
definite, negative semi-definite).
 Examples
x is a scalar
V ( x)  x 2 globally positive definite
V ( x)  x sin x locally positive definite
V ( x)  1  cos x locally positive definite
V ( x)  x cos x not a definite function
x is a vector:
x  [ x1 , x2 , x3 ]
V ( x)  x12 globally positive semi-definite
V ( x)  x12  x24  | x3 | globally positive definite
 Lyapunov Functions
Consider a system x  f ( x )
where x is an n-dimensional state vector, and f(0) = 0.
Definition: Lyapunov Functions
A scalar continuously differentiable function V(x) is said
to be a Lyapunov function for the equilibrium point x
= 0 of the system if there is a constant R0  0 such
that
(a) V(x) is locally positive definite for x  R0 ;
dV ( x )
(b) dt
0along any trajectories x of the system in x  R0
(it is locally negative semi-definite)

A locally positive definite function V(x) is only a Lyapunov Candidate

The total Mechanical Energy of the Previous System:
1 1 1
V ( x1 , x2 )  mx22  k0 x12  k1 x14
2 2 4
is a Lyapunov function for the system at (0,0):
 x1  x2

 b k0 k1 3
 x2   x2 | x2 |  x1  x1
 m m m

V ( x, x) is continuously differentiable
V (0,0)  0
V ( x, x)  0 if ( x, x)  0

dV ( x1 , x2 )  V V   x1 
   2 0
3
,  x  b x
dt  x1 x2   2 
Theorem: Lyapunov Stability

If for a constant R0  0 , there exists a Lyapunov

function V(x) for the system, then the equilibrium
point x = 0 is Lyapunov stable.

Hence, the equilibrium point (0,0) of the mechanical system

is Lyapunov stable.
 A Simple Pendulum System:     sin   0
 x1  x2
x1   , x2   
 x2   sin x1  x2

Consider the equilibrium point (0,0)

Define 1 2
V ( x)  (1  cos x1 )  x2
2
It is locally positive definite
dV ( x)
 x2 sin x1  x2 x2   x22  0
dt
So, the equilibrium point is Lyapunov stable.
 Main Ideas of the Proof

V(x)
For trajectories to
go beyond [-R,R], V(x)
must increase to pass this line

Smallest v(x)
on the boundary
dV ( x) x
0
dt will [-r,r]
make sure that
answer
this will not happen
[-R,R]
challenge
 Illustration on the Phase Plane
x2
level sets of v(x)
V(x)=v1 ball of radius R
V(x)=v2 < v1

x1

start inside a ball of

radius r
Definition: Strict Lyapunov Functions

A scalar continuous function V(x) is said to be a strict

Lyapunov function for the equilibrium point x = 0 of
the system if there is a constant R0  0
such that

(a) V(x) is positive definite for x  R0 ;

dV ( x )
(b) dt
0 along any trajectories x of the system
in x  R0 and x  0
Theorem: Asymptotic Lyapunov Stability
If for a constant R0  0, there exists a strict Lyapunov
function V(x) for the system at 0, then the
equilibrium point x = 0 is asymptotically Lyapunov
stable.
 Basic Ideas of the Proof on Attraction (State Convergence)
x2
level sets of V(x)
V(x)=v1

V(x)=v2 < v1

x1
V(x)=v3 < v2

local region
of attraction:
ball of radius R0
dV ( x)
 0 and V ( x)  0
dt x(t )  0, t  
implies V ( x(t ))  C  0
C  0, since V ( x) is negative definite
 Examples
x   g ( x),
g (0)  0, xg ( x)  0 for x  0 and | x | r
Equilibrium point: x = 0
x
Define: V ( x)  0
g ( s) ds
0
V (0)   g ( s) ds  0
0 Lyapunov Candidate
V ( x)  0, for x  0 and | x | r
dV ( x)
 g ( x) x  ( g ( x)) 2  0, for x  0 and | x | r
dt
This is a strict Lyapunov function at x = 0.
So, x = 0 is asymptotically stable.
Examples of such g(x)
x  x
x   x n , n is an odd integer
x
x   sin x
x   x cos x x
x   x3e 2 x

x   g ( x)
xg ( x)  0 simply implies:
x  0  g ( x)  0  x   g ( x)  0  x decreases
x  0  g ( x)  0  x   g ( x)  0  x increases
 Example

Lyapunov candidate

For x12  x22  1 and x  0, V  0

This is a (locally) strict Lyapunov function for (0,0).

(0,0) is asymptotically stable

1. The theorem gives a region of local stability, or a region
of contraction.
2. Lyapunov functions are not unique. Some may give a
larger region of contraction than others.
3. There is no standard method for finding or constructing a
Lyapunov function. Hence, Lyapunov theorems are not
constructive.
4. For practical systems, a good understanding of physical
systems is of great importance in selecting Lyapunov
candidates. For mechanical systems, total energy and
norms are usually tried first as potential Lyapunov
candidates.
5. Lyapunov functions are sufficient conditions only. Failure
of finding a Lyapunov function does not imply that the
equilibrium point x = 0 is unstable.
Definition: Strict Radially Unbounded Lyapunov Functions

A scalar continuously differentiable function V(x) is

said to be a strict radially unbounded Lyapunov
function for the equilibrium point x = 0 of the system
if
(a) V(x) is globally positive definite;
dV ( x )
(b) 0 along any trajectories x of the
dt
system for all x  0

(c) V ( x)   as x 
Theorem: Global Asymptotic Lyapunov Stability

If there exists a strict radially unbounded

Lyapunov function V(x) for the system, then the
equilibrium point x = 0 is globally asymptotically
Lyapunov stable.
Motivations for the Radial Unboundedness Condition

V(x)

V(x) decreases

but x goes to infinity

This V(x) is not radially unbounded

Illustration on the Phase Plane
 Examples
x   x, V ( x)  x 2
x   x n , n is an odd integer, V ( x)  x 2
x   sin x, multiple EP, not global
x   x cos x, multiple EP, not global
3 x
x  x e , V ( x)  x 2
 x   x  sin x
5 6

Define V ( x)  x2 , this is a Lyapunov candidate

dV ( x)
 2 x( x5  sin 6 x)  0, x  0
dt
V ( x)  x 2  , x  

This is a strict radially unbounded Lyapunov function.

x = 0 is globally asymptotically stable.

Linear System Analysis Using Lyapunov Methods

Consider a linear system x  Ax

We know that the system is exponentially stable if and only all
eigenvalues of A lie in the open left half plane. In this case,
the (unique) equilibrium point x = 0 is globally asymptotically
stable in the Lyapunov sense.

Can we reach the same conclusion by constructing a Lyapunov

function for the system?

Yes!!
Fact 1: If for a given positive definite matrix Q > 0 the
following matrix linear equation, called Lyapunov Equation, has
a positive definite solution P > 0, then x = 0 of the linear system
is globally asymptotically stable in the Lyapunov sense.
A P  PA  Q
T

Proof:
Define V ( x)  xT Px  0, x  0, this is a Lyapunov candidate

V  xT Px  xT Px  xT AT Px  xT PAx
  xT Qx  0, x  0
V ( x)  , x  

This is a strict radially unbounded Lyapunov function.

x = 0 is globally asymptotically stable.

Fact 2: The Lyapunov Equation has a unique positive
definite solution P > 0 for any positive definite matrix Q
>0 if and only if all eigenvalues of A have negative real
parts.

Hence, we can obtain the same stability results by solving

the Lyapunov Equation and test for positive definiteness of
P, instead of calculating eigenvalues.
 0 4  1 0 
A  Choose Q  I   
 8 12  0 1 

AT P  PA  Q
 Robustness Analysis
x  Ax   ( x),  ( x) is a small nonlinear perturbation and  (0)  0
Suppose that A is stable. Then, there is P > 0 such that
AT P  PA   I
Define V ( x)  xT Px  0
V  xT Px  xT Px
 ( xT AT   T ( x)) Px  xT P( Ax   ( x))
  xT x  2 xT P ( x)
If the second term is sufficiently small:
 ( x)   x  2 xT P ( x)  2 k x , where k   max ( P)
2

dV ( x)
2 k  1   0, x  0
dt
x = 0 is asymptotically stable,
robustly for any small perturbations.
 Recall: Local Linearization Method

x  f ( x), f (0)  0
Local linearization:
x  Ax  ( x),
A  the Jacobian matrix
( x)  higher order terms
( x)
f ( x) is continuously differentable   0,x  0
x

x  Ax   ( x),
 ( x) is a small nonlinear perturbation and  (0)  0
 Construction of Lyapunov Functions

Try something as potential Lyapunov candidates and hope that

they are working.

Try Energy Functions for Mechanical Systems

 x1  x2

 b k0 k
 x2   x2 | x2 |  x1  1 x13
 m m m

1 2 1 1 4
V ( x1 , x2 )  mx2  k0 x1  k1 x1
2

2 2 4
Try Some Functions of Norms of the State:

x   x5  sin 6 x,  V ( x)  x 2

Lyapunov candidate
Krasovski's Methods
 3 1   6 2 
 1 1  3x 2   2 2  6x 2 
 2  2
Invariant Set Theorem
 Motivations
Issue:
Lyapunov functions we construct often can only conclude
Lyapunov stability, rather than asymptotic stability. Typical
examples are energy functions. Searching for strict
Lyapunov functions can be very difficult.
Question:
Can we use the Lyapunov functions to study asymptotic
stability also?
 Example:Energy of a Mechanical System

mx  bx | x | k0 x  k1 x3  0
x1  x, x2  x
 x1  x2

 b k0 k1 3
 x2   x2 | x2 |  x1  x1
 m m m

Linearized System at 0:

 x1  x2  0 1
 Poles on the imaginary axis:
 k0  A   k0 
 x2   x1  0 Inconclusive!
 m  m 
Total Mechanical Energy of the System:
V ( x, x)  mx    k0 x  k1 x 3 dx
1 2 x

2 0

1 2 1 1 4
 mx  k0 x  k1 x
2

2 2 4
Some properties of the energy:
V ( x, x) is continuous
V (0,0)  0 no energy at the equilibrium point
V ( x, x)  0 if ( x, x)  0 non-zero energy nearby

dV ( x1 , x2 )  V V   x1 
   x   b x2  0
3
,
dt  x1 x2   2 
total energy is not increasing along the system trajectories
Issue:
Lyapunov functions work for isolated equilibrium points.

Question:
How can we study stability of limit cycles and continuous
equilibrium points?
Issue:
For practical purposes, it is important to obtain regions of
contraction (how close is close enough for the system to
maintain local stability?). Lyapunov functions may not be the
best functions to obtain such regions.
 Invariant Sets

Definition: Invariant Sets

A set G in the state space is a positively invariant set of the

system if every system trajectory which starts from a point
in G remains in G for all future time.

x(t0 )  G  x(t )  G, t  t0
 Typical Invariant Sets
Equilibrium points.
x2
0 0
x  x
0 1  x1

Limit cycles.
If V(x) is a Lyapunov function of the system x  f ( x ) , then
the level set
l  {x : V ( x)  l} note: V ( x)  0 in l
is an invariant set of the system.
 x1  x2

 b k k
 x2   x2 | x2 |  0 x1  1 x13
m m m

V ( x, x)  mx    k0 x  k1 x 3 dx
1 2 x

2 0

1 1 1
 mx 2  k0 x 2  k1 x 4
2 2 4

100  ( x, x) : V ( x, x)  100
(the set of the states that carry energy no more than 100)
 Invariant Set Theorems

Theorem: Local Invariant Set Theorem

For the system x  f ( x ) , suppose V(x) is a continuously
differentiable function of x satisfying
(a) for some l > 0, the region  l
l  {x: V ( x )  l}
is bounded;
dV ( x )
(b) dt  0 for all x in l along the trajectories of the
system.
dV ( x )
Let R be the set of all points within  l at which dt
0
, and
M be the largest invariant set in R. Then, every trajectory
x(t) of the system starting in  l tends to M as t   .
  x1  x2
 1 1 1
 b k k V ( x, x)  mx 2  k0 x 2  k1 x 4
 x2   x2 | x2 |  0 x1  1 x13 2 2 4
m m m

dV ( x1 , x2 )  V V   x1 
   x   b x2  0  x2  0
3
,
dt  x1 x2   2 

100  ( x, x) : V ( x, x)  100

R  ( x,0) : V ( x,0)  100

M  (0, 0)
By the Invariant Set Theorem:

Starting at any x(0)  100 , (0,0) is asymptotically stable!

x(t )  (0, 0), t  
 x2


x1

R
At a point in R other than (0,0):
M  x1  0

 k0 k1 3  it will leave R
 x2   x1  x1
m m

M is the only invariant set in R

 A Generalization
x  b( x)  c( x)  0

xb( x )  0, for x  0
xc( x )  0, for x  0

 x1  x2
x1  x, x2  x 
 x2  b( x2 )  c( x1 )
 1 2 x
V ( x, x)  x   c( y)dy
2 0

V ( x, x) is continuous
V (0,0)  0
V ( x, x)  0 if ( x, x)  0

V  xx  c( x) x   xb( x)  xc( x)  c( x) x   xb( x)  0

V is a Lyapunov function of the system at (0,0).
So the equilibrium point is Lyapunov stable.
 L  ( x, x) : V ( x, x)  L

R  ( x,0) : V ( x,0)  L

M  (0, 0)

By the Invariant Set Theorem:

Starting at any x(0)   L ,

x(t )  (0, 0), t  

(0,0) is asymptotically stable!

 Stability of a Limit Cycle
 x1  x2  x1 ( x  2 x  10)
4 2


1 2

 x2   x13  3x25 ( x14  2 x22  10)

x2
x14  2 x22  10 is a limit cycle

Verify: d ( x14  2 x22  10)

0 x1
dt
and it satisfies the equations.
To test stability of the limit cycle, define

V  ( x  2 x  10)
4
1
2
2
2

dV
 8( x14  3x26 )( x14  2 x22  10) 2  0
dt

dV
 8( x14  3x26 )( x14  2 x22  10) 2  0
dt
 (0, 0) (the equilibrium point)
 x14  2 x22  10 (the limit cycle)
 20  ( x1 , x2 ) : V ( x1 , x2 )  ( x14  2 x22  10)2  20

R  ( x1 , x2 ) : x14  2 x22  10

M  ( x1 , x2 ) : x14  2 x22  10

x2

By the Invariant Set Theorem:

Starting at any x(0)  20 ,
x(t )  M , t   x1

The limit cycle is asymptotically stable!

 20
 A Simple Adaptive Control System

Plant: y  ay  u, a is unknown
Controller: u  ky
Adaptation Law: k   y 2
k

Overall System
 y  ay  ky

 k   y 2
y

set of equilibrium points

 Define:

1 2 1
V y  ( k  b) 2
2 2
dV 1
 yy  (k  b)k  (b  a) y 2  0, if b  a
dt 

For any a (unknown), there is a value b (I don’t need to know its

actual value) such that

V 0
  1 2 1 
 L  ( y , k ) : y  ( k  b)  L 
2

 2 2 
 
R  ( y, k ) : V  0   L  (0, k ) : (k  b)  L 
1 2

 2 
M R
k L
By the Invariant Set Theorem:
Starting at any x(0)   L ,
x(t )  M , t  
M R
 y0
y
The output will go to zero;
The gain k will approach some constant