LMIs in Control/pages/Generalized Lyapunov Theorem

WIP, Description in progress

The theorem can be viewed as a true essential generalization of the well-known continuous- and discrete-time Lyapunov theorems.

Kronecker Product

The Kronecker Product of a pair of matrices $A\in \mathbb {R} ^{m\times n}$ and $B\in \mathbb {R} ^{p\times q}$ is defined as follows:

$A\otimes B={\begin{bmatrix}a_{11}B&a_{12}B&\cdots &a_{1n}B\\a_{21}B&a_{22}B&\cdots &a_{2n}B\\\vdots &\vdots &\ddots &\vdots \\a_{m1}B&a_{m2}B&\cdots &a_{mn}B\end{bmatrix}}\in \mathbb {R} ^{mp\times nq}$.

Lemma 1: Manipulation Rules of Kronecker Product

Let $A,B,C$ be matrices with appropriate dimensions. Then, the Kronecker product has the following properties:

• $1\otimes A=A$;
• $(A+B)\otimes C=A\otimes C+B\otimes C$
• $(A\otimes B)(C\otimes D)=(AC)\otimes (BD)$
• $(A\otimes B)^{T}=A^{T}\otimes B^{T}$
• $(A\otimes B)^{-1}=A^{-1}\otimes B^{-1}$
• $\lambda (A\otimes B)={\lambda _{i}(A)\lambda _{j}{B}}$

Theorem

In terms of Kronecker products, the following theorem gives the $\mathbb {D}$-stability condition for the general LMI region case: Let $\mathbb {D} =\mathbb {D} _{L,M}$ be an LMI region, whose characteristic function is

$F_{\mathbb {D} }=L+sM+{\overline {s}}M^{T}$

Then, a matrix $A\in \mathbb {R} ^{n\times n}$ is $\mathbb{D}_{L,M}$-stable if and only if there exists symmetric positive definite matrix $P$ such that

$R_{\mathbb {D} }(A,P)=L\otimes P+M\otimes (AP)+M^{T}\otimes (AP)^{T}<0$,

where $\otimes$ represents the Kronecker product.

Lemma 2

Given two LMI regions $\mathbb {D} _{1}$ and $\mathbb {D} _{2}$, a matrix $A$ is both $\mathbb {D} _{1}$-stable and $\mathbb {D} _{2}$-stable if there exists a positive definite matrix $P$ , such that $R_{\mathbb {D} _{1}}(A,P)<0$ and $R_{\mathbb {D} _{2}}(A,P)<0$.

${\displaystyle }$ WIP, additional references to be added

External Links

A list of references documenting and validating the LMI.