Proof of the Lyapunov Matrix Equation

adaptive controlcontrol theorylyapunov-functionsnonlinear system

Assuming that $A^TP+PA = -Q$ holds, I want to prove that $P = e^{A^Tt} P e^{A^Tt} + \int_{0}^{t} e^{A^T\tau} Q e^{A^T\tau}$ is a solution. After doing the substitutions, I end up with:
$A^TP+PA = A^T (e^{A^Tt} P e^{A^Tt}) A – Q$. What is the reason why the term $A^T (e^{A^Tt} P e^{A^Tt}) A$ becomes zero?

Thank you so much!

Best Answer

Let us start with the expression $L(P):=A^TP+PA$ where $A$ is Hurwitz stable and define $P^*=\int_0^\infty e^{A^Ts}Qe^{As}ds$, which is well-defined since $A$ is Hurwitz stable; i.e. $e^{As}\to0$ as $s\to \infty$. So, we are interested in solving for $P$ in $L(P)=-Q$. We will show that $P^*$ is the unique solution. Indeed,

$$ \begin{array}{rcl} L(P^*)&=&A^TP^*+P^*A\\ &=& A^T\int_0^\infty e^{A^Ts}Qe^{As}ds+\int_0^\infty e^{A^Ts}Qe^{As}dsA\\ &=& \int_0^\infty \left(\dfrac{d}{ds}e^{A^Ts}Qe^{As}\right)ds\\ &=& 0-Q\\ &=&-Q \end{array} $$ where we have used the fact that $\dfrac{d}{ds}e^{As}=Ae^{As}$. Moreover, if $Q$ is positive (semi)definite, then so is $P$.

The expression $L(P)=-Q$ can be solved for all matrices $Q$ provided that $A$ has no eigenvalues on the imaginary axis. This can be seen from the vectorized expression given by $(A^T\oplus A^T)p=-q$ where $p=\mathrm{vec}(P)$, $q=\mathrm{vec}(Q)$, $\mathrm{vec}$ is the vectorization operator and $\oplus$ is the Kronecker sum. The eigenvalues of $A^T\oplus A^T$ are the same as those of $A\oplus A$ and are given by $\lambda_i(A)+\lambda_j(A)$ for all $i,j=1,\ldots$, where $\lambda_i$ denotes the $i$-th eigenvalue. So, $A^T\oplus A^T$ is invertible if and only if $A$ has no eigenvalues on the imaginary axis.