State-transition matrix

In control theory, the state-transition matrix is a matrix whose product with the state vector ${\displaystyle x}$ at an initial time ${\displaystyle t_{0}}$ gives ${\displaystyle x}$ at a later time ${\displaystyle t}$. The state-transition matrix can be used to obtain the general solution of linear dynamical systems.

Overview

Consider the general linear state space model

${\displaystyle {\dot {\mathbf {x} }}(t)=\mathbf {A} (t)\mathbf {x} (t)+\mathbf {B} (t)\mathbf {u} (t)}$ 

${\displaystyle \mathbf {y} (t)=\mathbf {C} (t)\mathbf {x} (t)+\mathbf {D} (t)\mathbf {u} (t)}$ 

The general solution is given by

${\displaystyle \mathbf {x} (t)=\mathbf {\Phi } (t,t_{0})+\int _{t_{0}}^{t}\mathbf {\Phi } (t,\tau )\mathbf {B} (\tau )\mathbf {u} (\tau )d\tau }$ 

While the state transtion matrix φ is not completely unknown, it must always satisfy the following relationships:

${\displaystyle {\frac {\partial \phi (t,t_{0})}{\partial t}}=A(t)\phi (t,t_{0})}$ 

${\displaystyle \phi (\tau ,\tau )=I}$ 

And φ also must have the following properties:

1.	${\displaystyle \phi (t_{2},t_{1})\phi (t_{1},t_{0})=\phi (t_{2},t_{0})}$
2.	${\displaystyle \phi ^{-1}(t,\tau )=\phi (\tau ,t)}$
3.	${\displaystyle \phi ^{-1}(t,\tau )\phi (t,\tau )=I}$
4.	${\displaystyle {\frac {d\phi (t,t_{0})}{dt}}=A(t)}$

If the system is time-invariant, we can define φ as:

${\displaystyle \phi (t,t_{0})=e^{A(t-t_{0})}}$ 

The reader can verify that this solution for a time-invariant system satisfies all the properties listed above. However, in the time-variant case, there are many different functions that may satisfy these requirements, and the solution is dependant on the structure of the system. The state-transition matrix must be determined before analysis on the time-varying solution can continue.

References

• Brogan, W.L. (1991). Modern Control Theory. Prentice Hall. ISBN 0135897637.