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Some examples of time-delay

systems
I. Fluid flow model for a congested router in
TCP/AQM controlled network
p
T
C
t Q
t R
Q C
t R
t W
t N
Q C
t R
t W
t N
t Q
t R t p
t R t R
t R t W t W
t R
t W
+ =

=
|
|

\
|

>
=

=
) (
) (
0 , 0 ,
) (
) (
) ( max
0
) (
) (
) (
) (
)) ( (
)) ( (
)) ( ( ) (
2
1
) (
1
) (

Hollot et al., IEEE TAC 2002 Model of collision-avoidance type:


W: window-size
Q: queue length
N: number of TCP sessions
R: round-trip-time
C: link capacity
p: probability of packet mark
Tp: propagation delay
Interpretation of AQM as a feedback control problem:
) (Q f p=
Sender Receiver
Bottleneck
router
link c
rtt R
queue Q
acknowledgement
packet marking
We assume: - N constant, R is constant, p=K Q
Normalization of state and time

=
|

\
|

>
=

=
0 , 0 ,
) (
max
0
) (
) (
) (
) ( ) (
2
1 1
) (
Q C
R
t W
N
Q C
R
t W
N
t Q
R t Q K
R
R t W t W
R
t W

( )

=
>
=
=
0 , 0 , ) ( max
0 ) (
) (
) 1 ( ) 1 ( ) (
2
1
1 ) (
q c t w
q c t w
t q
t q k t w t w t w

R
t
t
N
Q
q W w
old
new
) (
) (
, , = = =
KN k
N
RC
c = = ,
4 parameters
2 parameters
C R N K , , ,
( )

=
>
=
=
0 , 0 , ) ( max
0 ) (
) (
) 1 ( ) 1 ( ) (
2
1
1 ) (
q c t w
q c t w
t q
t q k t w t w t w

)
2
, ( ) , (
2
* *
kc
c q w =
0 ) 1 (
~
2
) 1 (
~
1
) (
~
1
) (
~
2
= + + + t q
kc
t q
c
t q
c
t q

Unique steady state solution
Linearization:
Linearized model
0
2
1
) (
1
) (
2
2
= + + +

e
kc
e
c
t
c
t
II. A car following system
Car following model in a ring configuration
speed v
k-1
speed v
k
Simplest model:
Refinements:
- taking multiple cars into account
- distribution of the delay
0 2 4 6 8 10
0
0.05
0.1

f
(

)
gap
Possible choice for f: a gamma distribution with a gap
( , , ) T n three parameters:
k-1
k
T
e

System consisting of p agents, each described by an integrator:


Directed, time-invariant communication graph:
Node set {1,,p}
Set of vertices E:
Weighted adjacency matrix
Strongly connected
,
( , ) 0
k l
k l E
,
: diagonal entries zero, non-diagonal entries
k l
A
Interpretation as a consensus protocol
( ) ( ),
( ) ( ), 1, ,
k k
k k
v t u t
y t v t k p
=
= =

Consensus protocol:
( )
,
( , )
0
( ) ( ) ( ) ( ) , 1, ,
k k l l k
k l E
u t f y t y t d k p

= =



Successive passage of teeth
delay
Rotation of each tooth
periodic coefficients
Cutting process
Successive passage of the same point
of the piece
delay
Orientation of tooth w.r.t.
workpiece is fixed
constant coefficients
workpiece
(fixed / translates)
tool (rotates)
Milling process
0
( ) ( ) ( ) ( ) ( ( ))
( ) ( )
x t A t x t B t x t t
t f t
= +

= +

unstable steady state chatter or oscillations of workpiece/tool irregular surface


Both cases: speed determines
delay
III. Rotating cutting and milling machines
tool
(fixed)
Workpiece
(rotates)
speed
time
Fast modulation of rotational machine speed, N, around the nominal value
A measure to improve stability and prevent chatter:
Variable speed machines
) (
1
~ ) (
t N
t
since
Modulating the machine speed
= modulating the delay in the model
(see work of Jayaram,Sexton,Stone, etc.)
! Stabilizing effect of delay variation !
IV. Heating system
Linear system of dimension 6,
5 delays,,
Goal of feedback: achieving asymptotic stability, and maximizing response
time
temperature to be controlled setpoint
(PhD Thesis Vyhlidal, CTU Prague, 2003)
,
,
( ) ( ) ( ) ( )
1 1
( ) ( ) ( ) ( ) ( ) ( )
2 2
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
h h h h b a b u h set u
a a a c e a h a c e
d d d d a d
c c c c c d c
e c set c
T x t x t K x t K x t
q q
T x t x t x t K x t x t x t
T x t x t K x t
T x t x t K x t
x t x t x t


= + +

+
| |

= + +
|

= +

= +

,
T
h set h a d c e
x K x x x x x ( =

System
Control law (PI+ state feedback)
Computation of characteristic roots
and stability regions
Operators associated to a delay equation
0 max
1
( ) ( ) ( ), ( ) , max
m
n
i i i
i
i
x t A x t Ax t x t
=
= + =


0
, ( )
t t
x x x = A D A
0
( ) , 0
t
x t x t = T
[ ]
max
( ,0 , ),
n
C
Reformulation of the DDE over
mapping abstract ODE
Initial condition is a function segment
[ ]
max
( ,0 , ),
n
C
[ ]
max
, ( )( ) t x t Let be the forward solution with initial condition and let
[ ]
max
( ) ( ), ,0
t
x x t = +
T(t) : solution (time-integration)
operator over interval t
A : infinitesimal generator of T(t)
( ) {
max max
1
( ) ([ ,0]) : continuous on ,0 and
(0) (0) ( ) ,
, ( ).
m
i i i
i
A A



=
=

= +
`
)
=

D A C
A D A

0
1
0
( ) ( )
( ), 0,
(0) ( ( ) )(0) ( ( ) )( ) , 0
t
m
i i
i
t
t t
A s A s ds t




+
=
=
+ +

+ + + >

T
T T
0
max


Spectral properties
is a characteristic root if and only if it satisfies the characteristic equation
( ) ( ( )),
t
e P t

A T
( )
( ( )) exp ( ) t t = T A
{ }
0
1
\ 0 :
) 0
i
n n
m
i
i
v
I A Ae v

=

| |
=
|
\

( ) 0 ( ) H = A
[ ]
max
, ,0 ve


eigenfunction
finite-dimensional nonlinear
eigenvalue problem
infinite-dimensional
linear eigenvalue problems
for A and T(t)
((.): spectrum, P(.): point-spectrum)
0
1
( ) 0, ( ) : det ,
i
m
i
i
H H I A Ae



=
| |
= =
|
\

or equivalently
Properties
( ) ( ), P A = A
eigenfunction
[ ]
max
, ,0 ve


Characteristic roots,
eigenvalues of A
Eigenvalues of T(1)
exp(.)
1 0 1 1.5
1
0
1
Real axis
I
m
a
g
i
n
a
r
y

a
x
i
s
3 2 1 0 1
100
50
0
50
100
Real axis
I
m
a
g
i
n
a
r
y

a
x
i
s
Mapping is not one-to-one
But: characteristic roots can be obtained from (T(t)) by
computing also the corresponding eigenfunction
Two-stage approach to compute
characteristic roots
1a. Discretize A or T(t) , with t fixed, into a matrix
2. Correct the approximate characteristic roots with Newton
iterations on the characteristic equation, up to the desired accuracy
Discretizing T(t)
- linear multi-step methods (Engelborghs et al.)
- subspace iteration (Engelborghs at al)
- spectral collocation (Verheyden et al.)
- Chebychev expansion (Butcher, Bhler et al.)
- semi-discretization (Stepan et al.)
Discretizing A (Breda et al)
1b. Compute the (rightmost or dominant) eigenvalues
of this matrix
Routine in the Matlab package DDE-BIFTOOL
- Linear multi-step method to discretize T(h), combined with Lagrange
interpolation to evaluate delayed terms
- Newton correction
- Automatic choice of discretization steplength h, to capture all the
characteristic roots in a given half plane, possible
+ uncorrected roots
o corrected roots
Pseudospectra and stability radii of
nonlinear eigenvalue problems,
with application to time-delay systems
Overview
Pseudospectra
Approaches to exploit structure of nonlinear
eigenvalue problems
via structured matrix perturbations
by redefining pseudospectra
Emphasis on computable expressions
Numerical examples
Concluding remarks
Pseudospectra
1
( ) ( ) : ( , ) ,


= >
`
)
A A R A C
1
( , ) ( ) : A I

= R A
resolvent
-pseudospectrum of an operator A
d
x x
dt
|
=
|

A (or system
computable as level sets of resolvent norm
{ }
( ) ( ) 0, for some with

= + = < A A A A A
( ) :
spectrum
6 4 2 0 2 4 6
50
0
50
()

)
(a)
()

)
6 4 2 0 2 4 6
50
0
50
(b)
spectrum pseudospectra
Stability radius
- partitionate the complex plane into disjunct sets,
d u
= C C C
- Assume that
( )
d
A C
under mild conditions:
u
C
x
x
x
x
x
x
x
d
C
x
d

C infinity
general formula:
{
}
2
1
1
1
1
inf inf 0 : ( ) for some satisfying ,
sup ( )
sup ( )
d
u
u
C
d
r
I
I

= + <
| |
=
|
\
| |
=
|
\
A A A A
A
A
C
C
C
desired region
cf. stability
: sufficient to scan boundary
vibrating system
time-delay system

Application of above definition to systems goverened by linear
differential equations requires a formulation in a first order form:
( ) 0 det
0 ) ( ) ( ) (
2
= + +
= + +
K C M
t x K t x C t x M


1 1
1 1
2 2
( ) ( ) 0
( ) ( )
x t x t I
x t x t M K M C

( ( (
=
( ( (

invertible M
: ( ), [ , 0]
t t
t
d
x x
dt
x x t
=
= +
A
Relation with perturbations of coefficient matrices ???
A: infinitesimal generator of
solution operator
( ) 0 det
) ( ) ( ) (
=
+ =

Be A I
t Bx t Ax t x

Approaches for exploiting structure


2. Redefine -pseudospectra of nonlinear eigenvalue problems (Michiels et al,
inspired by Tisseur et al.)
:
0
( ) ( ),
m
n n
i i i
i
F A p A

=
=

C
entire functions
1. Structured perturbations (Hinrichsen & Kelb,)
1 1
1 1
2 2
( ) ( ) 0
( ) ( )
A
x t x t I
x t x t M K M C

( ( (
=
( ( (

[ ]

1 1
1
2 2
( ) ( ) 0
( ) ( )
E
A
D
x t x t
A K C I
x t x t M

| |
|
( ( (
= +
|
( ( (


|
|
\

{ }
( ; , ) : ( ) 0,for some with D E D

= + = < A A A A A C
1
( ; , ) ( ) : ( , ) , D E E D


= >
`
)
A A R A C
0 M =
{ }
( ) : det( ( ) 0 F F = C
0 ) ( ) ( det
0
= |

\
|
+

=
m
i
i i i
p A A
- perturbation class
) , , ( :
0 m
A A =
- measure on the combined perturbation
, 0, ,
n n
i
A i m

= C
[ ]
p
m m
A w A w
0 0
glob
=
p
m m
A w
A w
(
(
(

0 0
glob
2
1
1
0 0
glob
p
p
m m
p
A w
A w
(
(
(

(1)
(2)
(3)
{ }
{ }
1 2
, ,
: weights
i
p p p
w
+
+
+
+
R
R

|
|

\
|
= < <
=
m i A w
p
p
i i
, , 0 ,
:
1
glob
2

}
0
( ) ( 1)
glob
:det ( ) ( ) 0,for some
with
m
i i i
i
n n m
A A p

=
+

| |
= + =

|
\

<

C
C
1
0
1
( ) : ( ) ( )
m
i i
i
F A p w

=

| |
= >
`
|
\

)

C
(
(
(

=
m m
w p
w p
w
/ ) (
/ ) (
) (
0 0


, 1
1 1
, ,
, 1
1 1
, ,
, ,
2 2
2 1
= + = =
= + = =
= =
q p
q p
q p
q p
p p


(1) measure on perturbati
(2) measure on perturbati
(3) measure on perturbati
where
Computable expressions
- computation of pseudospectra contours as level sets of
function f
- structure is fully exploited !!

=
m
i
i i
p A
0
) (
has dimension n x n !
( ) ( )
1
2 2
2
1
: 1 M C K


= + + + + >
`
)
C
( ) ( ) ( ) ( ) ( ) 0 M M x t C C x t K K x + + + + + =

n-by-n matrix
( )
1
0
1
2
1
: 1
i
m
i
i
I A A e e


=

| |
= + >
`
|
\

)

C
( ) ( ) ( ) ( ) ( ) x t A A x t B B x t = + + +

Based on combining the above approaches


0
det ( ) 0
m
i i
i
A p
=
| |
=
|
\

- exploiting the structure of the nonlinear eigenvalue problem,


- imposing structure on perturbations of the coefficient matrices
Examples
(in both cases: ):
glob 2
max
i
i
A =
3. Structered pseudospectra of nonlinear eigenvalue problems
What type of structure do we need?
1.) Structural dynamics application (mass-spring system)
1 1 4 6 4 6
2 4 2 4 5 5
3 6 5 3 5 6
0 0
0 0 ( ) ( ) 0;
0 0
M K
m k k k k k
m x t k k k k k x t
m k k k k k
+ +
( (
( (
+ + + =
( (
( ( + +


2.) Laser physics application:
1
0
0 0
( ) ( ) 0 0 ( ) 0;
0 0 0
A
g
x t A x g x t
(
(
= + =
(
(

[ ] [ ] [ ]
2
2
1 1 4
( )
1 1
( ) 0 1 0 0 0 1 0 0 1 1 1 0
0 0 0
F M K
F m k k


= +
(
( (
(
( (
= + + +
(
( (
(
( (



det( ( )) 0 ) F =
( nominal char. eqn.:
0 1
0
( )
1 0
0 0
( ) 0 1
0
0
0 0
F I A A e
e
F A g
e

=
(
(
(
=
(
(


(

rank 2
scalar
, uncertain
i i
m k
0
, uncertain
i
A g
3.) Systems with multiplicative uncertainty:
principle: ( ) ( ) ( ) ( )( ) ( ) x t A A x t B B C C x t = + + + +
( ) ( ) ( ) ( ) ( )
0 ( ) ( ) ( )
x t A A x t B B y t
C C x t y t


= + + +

= +

[ ] [ ]
( )
0
( ) 0 0 0
0 0
I A B
F
Ce I
I I
F A I B I C e I
I


(
=
(


( ( (
( =
( ( (


det( ( )) 0 F =
full block
uncertainy
1
1
( ) ( ) ( ) ( ) ( ) (1)
s
f
j j j j j j
j
j
F D E d G H
=
=
= +

scalar
uncertainty
{
}
2
( ) : det( ( ) ( )) 0 for some ( ) of the form (1)
with , 1, , and , 1, ,
s
j j
F F F F
j f d j s



= + =
< = < =
C

Definition of structured -pseudospectrum:
In many cases (including the above):
Nominal system:
pseudospectra boundaries computable as level sets of the
function
to some extent reformulation of problem: efficiency depends on
computation / approximation of structured singular value associated
with the uncertainty structure.
Computational expressions
1
1
det( ( )) 0,
( ) ( ) ( ) ( ) ( ), ,
j
s
f
l
j j j j j j j j
j
j
F
F D E d G H d



=
=
=
= +


k
C C
1
( ) : ( ( )) , where
s
F C T


= >
`
)
1
1
1 1
1
( )
( )
( ) ( ) [ ( ) ( ) ( ) ( )],
( )
( )
f
f s
s
E
E
T F D D G G
H
H

(
(
(
(
=
(
(
(
(
(

{
}
1 1 s i
diag( , , ,d I, ,d I): , ,
1 , 1 .
i i
l
f j
d
i f j f

=

k
C C
General formula:
( ( )) T

T()

Proof:
Special cases:
1
( ) ( ) ( ) ( ), , 1, , : entire functions
f
j j j
j
F D E q q j f
=
= =


( )
( )
1
1
2
1
( ) : ( ) ( ) ( ) ( )
f
s
j
j
F E F D q

=

= >
`
)

C
structured singular value reduces to 2-norm
small dimension of
1
( ) ( ) ( ) E F D

This illustrates the typical trade-off between realism of chosen


perturbation structure and computational efficiency
1 1
,real
2
1 1 1
0
`
( ( ) ( ) ( )) ( ( ) ( ) ( ))
( ) : inf
( ( ) ( ) ( )) ( ( ) ( ) ( ))
1
( )
s
f
j
j
E F D E F D
j j
E F D E F D
q



>
=

| |
(

=
|

(
|


\

| |

>
| `

\
)

R R
In addition: q
j
even, j=1,,f:
Example:
0 0
( ) ( ), ( ) ( )
m m
i i i i
i i
F A p F A p
= =
= =

0.4 0 0.4
3.5
0
3.5
0.4 0 0.4
3.5
0
3.5
()
()
()
()
(a) (b)
Examples
Mass spring system
1 1 4 6 4 6
2
2 4 2 4 5 5
3 6 5 3 5 6
0 0
( ) 0 0
0 0
M K
m k k k k k
F m k k k k k
m k k k k k

+ +
( (
( (
= + + +
( (
( ( + +


unstructured pseudospectra
0.4 0 0.4
3.5
0
3.5
()
()
structured pseudospectra
eigenvalues of 2000 simulations of associated
random eigenvalue problem
structure of F exploited
structure of M and K not exploited
20 5 10
0
50
100
()
()
20 5 10
0
50
100
20 5 10
0
50
100
()
()
()
()
(a) (b)
Laser problem
eigenvalues of unperturbed system
structured pseudospectra unstructured pseudospectra
1
0
0 0
( ) 0 0
0 0 0
A
g
F I A g e



(
(
=
(
(

decay due
to rank increase of A
1
f=s=1:
ssv computable via
convex optimization
Extension to time-varying perturbations
Underlying ideas: L
2
gain analysis and Parcevals theorem
( )
1
1
2
0
( ) ( )( ( )
( )
( )
max ( )
x t A A x t
F I A
F A
r j I A

= +
=
=
=
C

2
0
( ) ( ( )) ( ( ), sup ( )
t
x t A A t x t A t M

= + =

frequency domain
1
1
( ) ( ) ( )
( ) ( )
x t Ax t u t
y t x t
= +
=

2 2
( ) ( ) ( ) y t A t u t =
1
u
2
u
1
y
2
y
feedback system interconnection is stable if
( ) ( )
( )
1 2
1 2
2 2
1
1 1
2 2
0 0
1
1
2
0
0
1
max ( ) 1 max ( )
sup ( ) max ( )
y y
u u
i
t
j I A M M j I A
A t j I A

<
< <
<
L L
G G
feedback interconnection interpretation:
time domain
Extension to systems with time-varying delays
0 0
( ) ( ( )) ( ( )) ( ( ))
i i i i
x t A A t A A t x t = + + + +

+ weighted combined measure of perturbations,


glob
i
Lower bounds on stability radii can be derived using the following principles:
- exploiting structure of nonlinear eigenvalue problem
- linearizing the uncertainty (transformation to a descriptor system / feedback
interconnection interpretation)
- embedding the uncertainty due to delay perturbations in a larger class
time domain frequency domain
(time-invariant perturbations)
( ) ( ( ( ))) ( ) z t x t t x t = +
( ( ))
( ) , ( ) ( )
t t
t
y s ds y t x t

= =


7
( ) ( )
4
z t y t
2 2
L L
| ( ) | t
( 1)
( ) ( )
e e
Z Y

=
( 1)
( ) ( ) ( )
j j
e e
z t y t y t
j


2 2 2
L L L
H