Stability Theory
Stability Theory
Stability Theory
Contents
Overview in dynamical systems
Stability of fixed points
Maps
Linear autonomous systems
Non-linear autonomous systems
Lyapunov function for general dynamical systems
See also
References
External links
An equilibrium solution to an autonomous system of first order ordinary differential equations is called:
stable if for every (small) , there exists a such that every solution having initial conditions within distance i.e.
of the equilibrium remains within distance i.e. for all .
asymptotically stable if it is stable and, in addition, there exists such that whenever then as
.
Stability means that the trajectories do not change too much under small perturbations. The opposite situation, where a nearby orbit is getting repelled from
the given orbit, is also of interest. In general, perturbing the initial state in some directions results in the trajectory asymptotically approaching the given one
and in other directions to the trajectory getting away from it. There may also be directions for which the behavior of the perturbed orbit is more
complicated (neither converging nor escaping completely), and then stability theory does not give sufficient information about the dynamics.
One of the key ideas in stability theory is that the qualitative behavior of an orbit under perturbations can be analyzed using the linearization of the system
near the orbit. In particular, at each equilibrium of a smooth dynamical system with an n-dimensional phase space, there is a certain n×n matrix A whose
eigenvalues characterize the behavior of the nearby points (Hartman–Grobman theorem). More precisely, if all eigenvalues are negative real numbers or
complex numbers with negative real parts then the point is a stable attracting fixed point, and the nearby points converge to it at an exponential rate, cf
Lyapunov stability and exponential stability. If none of the eigenvalues are purely imaginary (or zero) then the attracting and repelling directions are
related to the eigenspaces of the matrix A with eigenvalues whose real part is negative and, respectively, positive. Analogous statements are known for
perturbations of more complicated orbits.
There are useful tests of stability for the case of a linear system. Stability of a nonlinear system can often be inferred from the stability of its linearization.
Maps
Let f: R → R be a continuously differentiable function with a fixed point a , f(a) = a . Consider the dynamical system obtained by iterating the function
f:
The fixed point a is stable if the absolute value of the derivative of f at a is strictly less than 1, and unstable if it is strictly greater than 1. This is because
near the point a , the function f has a linear approximation with slope f'(a):
Thus
which means that the derivative measures the rate at which the successive iterates approach the fixed point a or diverge from it. If the derivative at a is
exactly 1 or −1, then more information is needed in order to decide stability.
There is an analogous criterion for a continuously differentiable map f: Rn → Rn with a fixed point a , expressed in terms of its Jacobian matrix at a ,
Ja(f). If all eigenvalues of J are real or complex numbers with absolute value strictly less than 1 then a is a stable fixed point; if at least one of them has
absolute value strictly greater than 1 then a is unstable. Just as for n =1, the case of the largest absolute value being 1 needs to be investigated further —
the Jacobian matrix test is inconclusive. The same criterion holds more generally for diffeomorphisms of a smooth manifold.
The stability of fixed points of a system of constant coefficient linear differential equations of first order can be analyzed using the eigenvalues of the
corresponding matrix.
An autonomous system
where x(t) ∈ Rn and A is an n×n matrix with real entries, has a constant solution
(In a different language, the origin 0 ∈ Rn is an equilibrium point of the corresponding dynamical system.) This solution is asymptotically stable as
t → ∞ ("in the future") if and only if for all eigenvalues λ of A, Re(λ) < 0. Similarly, it is asymptotically stable as t → −∞ ("in the past") if and only if
for all eigenvalues λ of A, Re(λ) > 0 . If there exists an eigenvalue λ of A with Re(λ) > 0 then the solution is unstable for t → ∞ .
Application of this result in practice, in order to decide the stability of the origin for a linear system, is facilitated by the Routh–Hurwitz stability criterion.
The eigenvalues of a matrix are the roots of its characteristic polynomial. A polynomial in one variable with real coefficients is called a Hurwitz
polynomial if the real parts of all roots are strictly negative. The Routh–Hurwitz theorem implies a characterization of Hurwitz polynomials by means of
an algorithm that avoids computing the roots.
Asymptotic stability of fixed points of a non-linear system can often be established using the Hartman–Grobman theorem.
Suppose that v is a C1-vector field in Rn which vanishes at a point p , v(p) = 0 . Then the corresponding autonomous system
Let Jp(v) be the n×n Jacobian matrix of the vector field v at the point p . If all eigenvalues of J have strictly negative real part then the solution is
asymptotically stable. This condition can be tested using the Routh–Hurwitz criterion.
References
1. Egwald Mathematics - Linear Algebra: Systems of Linear Differential Equations: Linear Stability Analysis (http://www.egwald.ca/linear
algebra/lineardifferentialequationsstabilityanalysis.php) Accessed 10 October 2019.
External links
Stable Equilibria (http://demonstrations.wolfram.com/StableEquilibria/) by Michael Schreiber, The Wolfram Demonstrations Project.