Inverse Lyapunov Procedure

Description

The Inverse Lyapunov Procedure (ilp) is a synthetic random linear system generator. It is based on reversing the Balanced Truncation procedure and was developed in , where a description of the algorithm is given. In aggregate form, for randomly generated controllability and observability gramians, a balancing transformation is computed. The balanced gramian is the basis for an associated state-space system, which is determined by solving a Lyapunov equation and then unbalanced. A central point is the solution of the Lyapunov equations for the system matrix instead of the gramian matrix. This is feasable due to the symmetric (semi-)positive definiteness of the gramians and the requirement for a stable system, yet with a non-unique solution.

Implementation

An efficient approach to solving the Lyapunov equation is provided by empirical gramians.

Usage

Use the following matlab code to generate a random system as described above:

function [A B C] = ilp(J,N,O,s,r)
% ilp (inverse lyapunov procedure)
% by Christian Himpe, 2013 ( http://gramian.de )
% released under BSD 2-Clause License ( http://gramian.de/#license )
%*

if(exist('emgr')~=2) disp('emgr framework is required. Download at http://gramian.de/emgr.m'); return; end

if(nargin==5) rand('seed',r); randn('seed',r); end;

%% Gramian Eigenvalues
 WC = exp(-N + N*rand(N,1));
 WO = exp(-N + N*rand(N,1));

%% Gramian Eigenvectors
 X = randn(N,N);
 [U E V] = svd(X);

%% Balancing Trafo
 [P D Q] = svd(diag(WC.*WO));
 W = -D;

%% Input and Output
 B = randn(N,J);

 if(nargin<4 || s==0)
        C = randn(O,N);
 else
        C = B';
 end

%% Scale Output Matrix
 BB = sum(B.*B,2);  % = diag(B*B')
 CC = sum(C.*C,1)'; % = diag(C'*C)
 C = bsxfun(@times,C,sqrt(BB./CC)');

%% Solve System Matrix
 f = @(x,u,p) W*x+B*u;
 g = @(x,u,p) C*x;
 A = -emgr(f,g,[J N O],0,[0 0.01 1],'c');

%% Unbalance System
 T = U'*P';
 A = T*A*T';
 B = T*B;
 C = C*T';

The function call requires three parameters; the number of inputs $J$, of states $N$ and outputs $O$. Optionally, a symmetric system can be enforced with the parameter $s \neq 0$. For reproducibility, the random number generator seed can be controlled by the parameter $r \in \mathbb{N}$. The return value consists of three matrices; the system matrix $A$, the input matrix $B$ and the output matrix $C$.

[A,B,C] = ilp(J,N,O,s,r);

ilp is compatible with MATLAB and OCTAVE. The matlab code can be downloaded: ilp.m. The required Empirical Gramian Framework can be obtained from http://gramian.de.

Contact

Christian Himpe