Introduction to Linear Dynamical Systems

Course Description

Introduction to applied linear algebra and linear dynamical systems, with applications to circuits, signal processing, communications, and control systems.

Topics include: Least-squares aproximations of over-determined equations and least-norm solutions of underdetermined equations. Symmetric matrices, matrix norm and singular value decomposition. Eigenvalues, left and right eigenvectors, and dynamical interpretation. Matrix exponential, stability, and asymptotic behavior. Multi-input multi-output systems, impulse and step matrices; convolution and transfer matrix descriptions. Control, reachability, state transfer, and least-norm inputs. Observability and least-squares state estimation.

Prerequisites: Exposure to linear algebra and matrices. You should have seen the following topics: matrices and vectors, (introductory) linear algebra; differential equations, Laplace transform, transfer functions. Exposure to topics such as control systems, circuits, signals and systems, or dynamics is not required, but can increase your appreciation.

Lectures

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   Lecture 1 - Overview Of Linear Dynamical Systems

   Overview Of Linear Dynamical Systems, Why Study Linear Dynamical Systems?, Examples Of Linear Dynamical Systems, Estimation/Filtering Example, Linear Functions And Examples
   

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   Lecture 2 - Linear Functions (Continued)

   Linear Functions (Continued), Interpretations Of Y=Ax, Linear Elastic Structure, Example, Total Force/Torque On Rigid Body Example, Linear Static Circuit Example, Illumination With Multiple Lamps Example, Cost Of Production Example, Network Traffic And Flow Example, Linearization And First Order Approximation Of Functions

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   Lecture 3 - Linearization (Continued)

   Linearization (Continued), Navigation By Range Measurement, Broad Categories Of Applications, Matrix Multiplication As Mixture Of Columns, Block Diagram Representation, Linear Algebra Review, Basis And Dimension, Nullspace Of A Matrix

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   Lecture 4 - Nullspace Of A Matrix (Continued)

   Nullspace Of A Matrix(Continued), Range Of A Matrix, Inverse, Rank Of A Matrix, Conservation Of Dimension, 'Coding' Interpretation Of Rank, Application: Fast Matrix-Vector Multiplication, Change Of Coordinates, (Euclidian) Norm, Inner Product, Orthonormal Set Of Vectors

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   Lecture 5 - Orthonormal Set Of Vectors

   Orthonormal Set Of Vectors, Geometric Interpretation, Gram-Schmidt Procedure, General Gram-Schmidt Procedure, Applications Of Gram-Schmidt Procedure, 'Full' QR Factorization, Orthogonal Decomposition Induced By A, Least-Squares

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   Lecture 6 - Least-Squares

   Least-Squares, Geometric Interpretation, Least-Squares (Approximate) Solution, Projection On R(A), Least-Squares Via QR Factorization, Least-Squares Estimation, Blue Property, Navigation From Range Measurements, Least-Squares Data Fitting

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   Lecture 7 - Least-Squares Polynomial Fitting

   Least-Squares Polynomial Fitting, Norm Of Optimal Residual Versus P, Least-Squares System Identification, Model Order Selection, Cross-Validation, Recursive Least-Squares, Multi-Objective Least-Squares

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   Lecture 8 - Multi-Objective Least-Squares

   Multi-Objective Least-Squares, Weighted-Sum Objective, Minimizing Weighted-Sum Objective, Regularized Least-Squares, Laplacian Regularization, Nonlinear Least-Squares (NLLS), Gauss-Newton Method, Gauss-Newton Example, Least-Norm Solutions Of Undetermined Equations

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   Lecture 9 - Least-Norm Solution

   Least-Norm Solution, Least-Norm Solution Via QR Factorization, Derivation Via Langrange Multipliers, Example: Transferring Mass Unit Distance, Relation To Regularized Least-Squares, General Norm Minimization With Equality Constraints, Autonomous Linear Dynamical Systems, Block Diagram

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    Lecture 10 - Examples Of Autonomous Linear Dynamical Systems

    Examples Of Autonomous Linear Dynamical Systems, Finite-State Discrete-Time Markov Chain, Numerical Integration Of Continuous System, High Order Linear Dynamical Systems, Mechanical Systems, Linearization Near Equilibrium Point, Linearization Along Trajectory

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    Lecture 11 - Solution Via Laplace Transform And Matrix Exponential

    Solution Via Laplace Transform And Matrix Exponential, Laplace Transform Solution Of X_^ = Ax, Harmonic Oscillator Example, Double Integrator Example, Characteristic Polynomial, Eigenvalues Of A And Poles Of Resolvent, Matrix Exponential, Time Transfer Property

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    Lecture 12 - Time Transfer Property

    Time Transfer Property, Piecewise Constant System, Qualitative Behavior Of X(T), Stability, Eigenvectors And Diagonalization, Scaling Interpretation, Dynamic Interpretation, Invariant Sets, Summary, Markov Chain (Example)

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    Lecture 13 - Markov Chain (Example)

    Markov Chain (Example), Diagonalization, Distinct Eigenvalues, Digaonalization And Left Eigenvectors, Modal Form, Diagonalization Examples, Stability Of Discrete-Time Systems, Jordan Canonical Form, Generalized Eigenvectors

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    Lecture 14 - Jordan Canonical Form

    Jordan Canonical Form, Generalized Modes, Cayley-Hamilton Theorem, Proof Of C-H Theorem, Linear Dynamical Systems With Inputs & Outputs, Block Diagram, Transfer Matrix, Impulse Matrix, Step Matrix

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    Lecture 15 - DC Or Static Gain Matrix

    DC Or Static Gain Matrix, Discretization With Piecewise Constant Inputs, Causality, Idea Of State, Change Of Coordinates, Z-Transform, Symmetric Matrices, Quadratic Forms, Matrix Nom, And SVD, Eigenvalues Of Symmetric Matrices, Interpretations Of Eigenvalues Of Symmetric Matrices, Example: RC Circuit

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    Lecture 16 - RC Circuit (Example)

    RC Circuit (Example), Quadratic Forms, Examples Of Quadratic Form, Inequalities For Quadratic Forms, Positive Semidefinite And Positive Definite Matrices, Matrix Inequalities, Ellipsoids, Gain Of A Matrix In A Direction, Matrix Norm, Properties Of Matrix Norm

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    Lecture 17 - Gain Of A Matrix In A Direction

    Gain Of A Matrix In A Direction, Singular Value Decomposition, Interpretations, Singular Value Decomposition (SVD) Applications, General Pseudo-Inverse, Pseudo-Inverse Via Regularization, Full SVD, Image Of Unit Ball Under Linear Transformation, SVD In Estimation/Inversion, Sensitivity Of Linear Equations To Data Error

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    Lecture 18 - Sensitivity Of Linear Equations To Data Error

    Sensitivity Of Linear Equations To Data Error, Low Rank Approximations, Distance To Singularity, Application: Model Simplification, Controllability And State Transfer, State Transfer, Reachability, Reachability For Discrete-Time LDS

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    Lecture 19 - Reachability

    Reachability, Controllable System, Lest-Norm Input For Reachability, Minimum Energy Over Infinite Horizon, Continuous-Time Reachability, Impulsive Inputs, Least-Norm Input For Reachability

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    Lecture 20 - Continuous-Time Reachability

    Continuous-Time Reachability, General State Transfer, Observability And State Estimation, State Estimation Set Up, State Estimation Problem, Observability Matrix, Least-Squares Observers, Some Parting Thoughts..., Linear Algebra, Levels Of Understanding, What's Next