# Linear Dynamical Systems (LDS)

  • Continuous-time ODE: x˙=f(x,u)\dot{x} = f(x, u)
  • Discrete-time difference eq: xk+1=f(xk,uk)x_{k+1} = f(x_k, u_k)

# Stability of x˙=Ax\dot{x} = Ax

A linear system x˙=Ax\dot{x} = Ax is stable if Re[eig(A)]0Re[eig(A)] \leq 0.

# Integration and the Matrix Exponential

For a simple linear system x˙=ax\dot{x} = ax:

  1. dxdt=ax\frac{dx}{dt} = ax
  2. 1xdx=adt\int \frac{1}{x} dx = \int a dt
  3. lnx=at+C\ln x = at + C
  4. x=eat+C=eateCx = e^{at+C} = e^{at} \cdot e^C
  5. x=eatCorx(t)=eatx0x = e^{at} \cdot C \quad \text{or} \quad x(t) = e^{at} x_0

# Matrix Exponential and Discrete Dynamics

For a linear continuous-time system x˙=Ax\dot{x} = Ax:

  • Solution: x(t)=(eAt)x0x(t) = (e^{At})x_0, where eAte^{At} is the Matrix Exponential.
  • Discrete Step: xk+1=(eAΔt)xk=Adxkx_{k+1} = (e^{A\Delta t})x_k = A_d x_k
    • AdA_d is the State Transition Matrix.
  • Stability Condition: The system is stable if eig(Ad)<1|eig(A_d)| < 1 (all eigenvalues lie inside the unit circle in the complex plane).

# Linear Systems with Input (ZOH)

Given x˙=Ax+Bu\dot{x} = Ax + Bu and assuming a Zero-Order Hold (ZOH) where u˙=0\dot{u} = 0:
We can augment the state:

[x˙u˙]=[AB00][xu]\begin{bmatrix} \dot{x} \\ \dot{u} \end{bmatrix} = \begin{bmatrix} A & B \\ 0 & 0 \end{bmatrix} \begin{bmatrix} x \\ u \end{bmatrix}

The discrete-time matrices are found via:

[AdBd0I]=e[AB00]Δt\begin{bmatrix} A_d & B_d \\ 0 & I \end{bmatrix} = e^{\begin{bmatrix} A & B \\ 0 & 0 \end{bmatrix}\Delta t}

  • Linear Discrete Dynamics: xk+1=Adxk+Bdukx_{k+1} = A_d x_k + B_d u_k
  • Matrix Exponential Series: eX=I+X+X22!+X33!+=k=0Xkk!e^X = I + X + \frac{X^2}{2!} + \frac{X^3}{3!} + \dots = \sum_{k=0}^{\infty} \frac{X^k}{k!}

# Derivative Formalisms

When dealing with multivariate functions f:RnRmf: \mathbb{R}^n \rightarrow \mathbb{R}^m:

  • Jacobian Matrix: fxRm×n\frac{\partial f}{\partial x} \in \mathbb{R}^{m \times n}

    fx=[y1x1y1xnymx1ymxn]\frac{\partial f}{\partial x} = \begin{bmatrix} \frac{\partial y_1}{\partial x_1} & \dots & \frac{\partial y_1}{\partial x_n} \\ \vdots & \ddots & \vdots \\ \frac{\partial y_m}{\partial x_1} & \dots & \frac{\partial y_m}{\partial x_n} \end{bmatrix}

  • Gradient: For a scalar function y=f(x)y = f(x) where f:RnRf: \mathbb{R}^n \rightarrow \mathbb{R}:
    • fx\frac{\partial f}{\partial x} is a row vector (1×n1 \times n).
    • f(x)=(fx)T\nabla f(x) = (\frac{\partial f}{\partial x})^T is a column vector (n×1n \times 1).
  • Hessian Matrix: Dx2f=2fx2Rn×nD_x^2 f = \frac{\partial^2 f}{\partial x^2} \in \mathbb{R}^{n \times n} (Symmetric).

# Taylor Series for Dynamics

To linearize nonlinear dynamics x˙=f(x,u)\dot{x} = f(x, u) about a nominal point (xˉ,uˉ)(\bar{x}, \bar{u}):

  1. Define Jacobians: A=fxxˉ,uˉ,B=fuxˉ,uˉA = \frac{\partial f}{\partial x} \big|_{\bar{x}, \bar{u}}, \quad B = \frac{\partial f}{\partial u} \big|_{\bar{x}, \bar{u}}
  2. Approximation: f(x,u)f(xˉ,uˉ)+A(xxˉ)+B(uuˉ)f(x, u) \approx f(\bar{x}, \bar{u}) + A(x - \bar{x}) + B(u - \bar{u})
  3. Delta Coordinates: Let x=xˉ+Δxx = \bar{x} + \Delta x and u=uˉ+Δuu = \bar{u} + \Delta u

    f(x,u)f(xˉ,uˉ)+AΔx+BΔuf(x, u) \approx f(\bar{x}, \bar{u}) + A\Delta x + B\Delta u


# Root Finding and Fixed Points

Goal: Given f(x)f(x), find xx^* such that f(x)=0f(x^*) = 0.

  • Continuous-time: Root finding finds the equilibrium.
  • Discrete-time: Closely related to finding a fixed point where f(x)=xf(x^*) = x^*.

# 1. Fixed Point Iteration

  • Method: xf(x)x \leftarrow f(x)
  • Constraint: Only works for stable fixed points and typically has slow convergence.

# 2. Newton's Method

  • Intuition: Fit a linear approximation to f(x)f(x) and solve for the root of the approximation.
  • Linearization: f(x+Δx)f(x)+fxΔxf(x + \Delta x) \approx f(x) + \frac{\partial f}{\partial x} \Delta x
  • Step: Set approximation to zero and solve for Δx\Delta x:

    f(x)+fxΔx=0Δx=(fx)1f(x)f(x) + \frac{\partial f}{\partial x} \Delta x = 0 \Rightarrow \Delta x = -\left(\frac{\partial f}{\partial x}\right)^{-1} f(x)


# Optimization and Minimization

# Root Finding with Newton’s Method (Continued)

  • Algorithm:
    1. Apply correction: xx+Δxx \leftarrow x + \Delta x
    2. Repeat until convergence.
  • Example: Backward Euler
    • Newton’s method provides very fast convergence for implicit integration.
  • Take-Away Messages:
    • Quadratic Convergence: Errors decrease quadratically near the solution.
    • Can reach machine precision very quickly.
    • Cost: The most expensive part is solving the linear system O(n3)O(n^3). This can be improved by taking advantage of problem structure (sparsity).

# Minimization

Goal: minxf(x)\min_x f(x), where f:RnRf: \mathbb{R}^n \rightarrow \mathbb{R}

  • First-Order Condition: If ff is smooth, fxx=0\frac{\partial f}{\partial x} \big|_{x^*} = 0 at a local minimum.
  • This transforms minimization into a root-finding problem for Df(x)=0Df(x) = 0.
  • Newton's Step for Minimization:
    Linearize the gradient: f(x+Δx)f(x)+x(f(x))2f(x)Δx=0\nabla f(x + \Delta x) \approx \nabla f(x) + \underbrace{\frac{\partial}{\partial x}(\nabla f(x))}_{\nabla^2 f(x)} \Delta x = 0

    Δx=(2f(x))1f(x)\Delta x = -(\nabla^2 f(x))^{-1} \nabla f(x)

  • Intuition: Fit a quadratic approximation to f(x)f(x) and exactly minimize that approximation.
  • Sufficiency: f(x)=0\nabla f(x) = 0 is a necessary condition, but not sufficient.
    • In the scalar case: Δx=(2f)1f\Delta x = -(\nabla^2 f)^{-1} \nabla f \Rightarrow "descent direction" ×\times "learning rate/step size."

# Regularization and Robustness

  • Definiteness:
    • 2f>0\nabla^2 f > 0 \Rightarrow descent (minimizing).
    • 2f<0\nabla^2 f < 0 \Rightarrow ascent (maximizing).
    • In Rn\mathbb{R}^n, we require 2fS++n\nabla^2 f \in S^n_{++} (strictly positive definite matrix).
  • Strong Convexity: If 2f>0\nabla^2 f > 0 everywhere, the problem is strongly convex and easily solved with Newton.
  • Regularization: A practical solution when 2f\nabla^2 f is not positive definite:
    • While H2fH \neq \nabla^2 f not pos. def:
    • HH+βI(β>0 is a scalar hyperparameter)H \leftarrow H + \beta I \quad (\beta > 0 \text{ is a scalar hyperparameter})
    • This is called "Damped Newton." It guarantees a descent direction and shrinks the step size.

# Newton Optimization Variants

  • Least Squares: minxAxb22(Axb)T(Axb)\min_x \|Ax - b\|^2_2 \approx (Ax - b)^T(Ax - b)
    • Solution via pseudo-inverse: x=(ATA)1ATbx = (A^T A)^{-1} A^T b.
  • Gauss-Newton Step: Often used in robotics/least squares where the full Hessian is approximated by JTJJ^T J to save computation.

# Line Search (Globalization)

Often, a full Newton step Δx\Delta x overshoots the minimum. To fix this, we use a Line Search strategy:

  • Strategy: Check f(x+αΔx)f(x + \alpha \Delta x) and "backtrack" by reducing α\alpha until a "good" reduction is found.
  • Armijo Rule:
    • α=1\alpha = 1 (initial step length).
    • While f(x+αΔx)>f(x)+βαf(x)TΔxf(x + \alpha \Delta x) > f(x) + \beta \alpha \nabla f(x)^T \Delta x:
    • αcα(c0.5,β[104,0.1])\alpha \leftarrow c\alpha \quad (c \approx 0.5, \beta \in [10^{-4}, 0.1]).
  • Intuition: Ensure the step agrees with the linearization within some tolerance β\beta.

Takeaway: Newton’s method with simple modifications (regularization and line search) is extremely effective at finding local optima.


# Equality Constraints

Goal: minxf(x)\min_x f(x) s.t. c(x)=0c(x) = 0

  • f:RnRf: \mathbb{R}^n \rightarrow \mathbb{R}
  • c:RnRmc: \mathbb{R}^n \rightarrow \mathbb{R}^m

First-Order Necessary Conditions (KKT):

  1. Need f(x)=0\nabla f(x) = 0 in "free" directions (directions tangent to the constraint).
  2. Need c(x)=0c(x) = 0.
  • Geometric Intuition: At the optimum, any non-zero component of the gradient f\nabla f must be normal to the constraint surface c(x)=0c(x) = 0. This means f\nabla f must be a linear combination of the constraint gradients ci\nabla c_i.