On initial conditions, generalized
functions and the Laplace transform
Rolf Brigola, Peter Singer
Abstract
This note exposes the mathematical setting of
initial value problems for causal time-invariant linear systems,
given by ordinary differential equations within the framework of generalized
functions. We show the structure of the
unique solutions for such equations, and apply it to problems with
causal or persistent inputs using time-domain methods and
generalized Laplace and Fourier transforms. In particular, we
correct a widespread inconsistency in the use of the Laplace
transform.
1 Introduction
Initial value problems for linear transfer systems
in control and systems theory are often given by linear
differential equations with constant coefficients and terms that
contain derivatives of the input. A generalized functions approach
is widely used and mathematically adequate. Recent publications
(cf. [
1]-[
2] and references therein) show
that a key issue is the mathematical modelling of the system in
question and the treatment of the initial point. The purpose of
this contribution is - referring to the work of L. Schwartz
(1957) and A.H. Zemanian (1965) - to point out how linear
initial value problems with constant coefficients for causal
systems can be formulated and solved within the framework of
generalized functions in the time-domain and correspondingly in
the frequency domain. We discuss system models with causal inputs
, i.e. inputs supported on
, and with persistent
inputs related to a question raised in [
1] for suitable
transform methods in that case.
An immediate consequence is the solution with Laplace or Fourier
transforms. We observe that for generalized functions
in a
series of standard textbooks (see for example [
3] -
[
7]), in numerous course lectures on control and
linear systems theory as well as in [
2] a modified
right-sided Laplace transform, denoted by
and formally
defined by
|
is
used, so that the generalized derivative
of a transformable
function
with a jump discontinuity at
has the
transform
|
|
Differently from the usual right-sided Laplace transform
(cf. Section
4), which operates on generalized functions
with support in the nonnegative half-line, this
transform and equation
are used for functions
with
possibly nonzero left-sided limits
. Logically the support
of such functions must intersect the negative half-line. As a
consequence, the
transform does not fulfill the
convolution theorem, a given transform
does not
yield a unique primitive
for
as
does, and
is not even invertible on generalized functions with a
support intersecting the negatives. There are "significant
confusions present in many of the standard textbook presentations
of this subject" (cf. [
2]). In the article of
Lundberg et al. [
2] with the subtitle "Troubles at
the origin" the reader can find an extensive discussion of that
confusion in otherwise excellent literature.
We propose to use only the Laplace transform
as
introduced by A.H. Zemanian [
8] and L. Schwartz
[
9], which operates on generalized functions with
support in the nonnegative half-line and provides the convolution
theorem and well-known correspondence tables. We emphasize that
the adequate time-domain model of the initial value problem yields
consistent Laplace or Fourier transforms (see Section
4).
For a sufficiently general treatment of usual signals as
generalized functions we point the reader to [
2] or
[
10]. The necessary mathematical background is exposed
there briefly and elementary enough to be presented in standard
courses on engineering mathematics.
2 Causal initial value problems with generalized input in
the time-domain
In the sequel we will study the following linear differential
equation with constant coefficients
for
,
polynomials
(
) and
. It is considered to be an equation in the space
of generalized functions on
.
When we model by equation
a transfer system with given input
and
as output solution to the equation, we have to impose
further conditions on the nature of the system and the type of the
input, and conditions that determine a unique solution
of
as corresponding system output. First, we assume that the
system is causal, i.e. an input
to the initially-at-rest
system with support in
generates a system output
with support in
. For convenience, an input
is assumed similar to [
1] and [
2] to be a
superposition
of a function
and a generalized function
Here
denotes the space of
-times continuously
differentiable functions on
,
the space
of generalized functions with support in
. We set the
initial point
, prescribe initial conditions of the form
and extend the classical setting of the initial value problem as
follows.
Definition. A causal initial value problem for the differential
equation in with , , , is to find a
generalized function , which satisfies the following
conditions:
- The generalized function solves
the inhomogeneous equation in
- For the generalized function coincides with
the solution of the equation , which has given
values of the -th derivatives
().
The following extension of the classical result is probably
well-known to the workers in the field. Since we could not trace
either a proof nor the statement in the literature, we add a proof
that shows the structure of the solution for the initial value
problem. As usual
denotes the Dirac distribution.
Theorem 1. The solution of the causal initial
value problem for equation and an input with
, is unique and has
the form
Here is the causal fundamental solution of ,
is the convolution of with the generalized
function , and is the classical solution of the
equation , which satisfies the conditions
The solution then fulfills .
Proof. Since the difference of two solutions solves the
homogeneous equation for zero initial conditions, a solution is
unique and independent of the representation of the superposition
. The causal fundamental solution
is given by
with the unit step function
and that solution
of
, which satisfies
,
(cf. [
8] or [
9]).
Its convolution with
represents the unique causal
solution corresponding to the input
for the
initially-at-rest system. By linearity and the regularity
condition on
, the function
adds the unique classical
solution of
establishing the required initial
conditions.
Remark 1. Theorem 1 shows that the unique causal
solution as defined in Definition 1 has its support in
, when the system is initially at rest and the input
has its support in
.
Example 1. For initially-at-rest
conditions the equation
has the unique causal
solution
with the unit step function
.
It also has a non-causal solution
fulfilling
, but
. Thus, condition (ii)
in Definition 1 determines the causal solution as system output
with an initial state established by the signal history for
.
Example 2.
(cf. [
1]) Consider the differential equation
|
|
with
,
the unit step function. Its causal
fundamental solution is
. For the initial value
the solution on
according to
is
|
|
3 Problems on half-lines
In application problems we are often interested in
predicting the system evolution for
, when the system
has given initial values at the time
. Assuming for
simplicity that all input starts at
and considering only
the half-line
, we do not concern ourselves with exactly
how the initial conditions are established in a real world system.
Mathematically we can assume that the initial values are
established by a suitable solution
of the corresponding
homogeneous equation. To extend the classical results we ask for a
generalized function
with support in
, which
coincides for
-times continuously differentiable input
functions
with the classical solution of the initial value
problem on the half-line
.
Theorem 2.
- For the generalized function
is the unique causal solution of the distributional equation
|
|
Here denotes the causal fundamental solution of
, the classical solution of the homogeneous
equation satisfying the initial conditions
, , and is the unit step
function. The solution can also be represented by the convolution
of with the right hand side of equation
|
|
- For every -times continuously
differentiable function with the
generalized function is regular and coincides for
with the classical solution of the causal initial value
problem for equation with the initial values
, .
Proof. Equation
has a unique solution in
. Substituting
into the equation shows the
assertion, since for
the following relation holds
for the generalized derivatives of
|
|
For
-times continuously differentiable functions
with support
in
the classical solution of the given initial value
problem on
is the convolution
. It
coincides on the positive half-line with the regular generalized
function
.
Theorem
shows that equation
is the right time domain
equation for a causal initial value problem in the framework of
generalized functions in
. It extends the classical
setting and has already been emphasized by [
8] and
[
11]. This equation contains the initial values
explicitly. The influence of these values in an inhomogeneous part
of the equation causes the effect of the system initial state to
the solution for
. When we want to analyse the system
evolution only for
, advantages of that equation model are
the following:
1) Considering the right-hand side of
as
input
for the causal initially-at-rest system given in
by
we have a linear
input-output-relation.
2) The initial value problem is now given
in the convolution algebra
of causal distributions.
The unilateral Laplace transform
operates in
and therefore is a tool for solving the problem. For
asymptotically stable systems and tempered inputs the Fourier
transform can be used for solving the initial value problem
as well.
3) Moreover, completely analogous to equation
initial value problems for partial differential equations in a
half-space have also been introduced and studied within the
framework of generalized functions in [
11],
Section V.6, and [
12], Section 15.
4) Given a
persistent input with the assumed regularity properties for
(cf. Section
2) when approaching zero from the left, we
can also represent the solution
for
by the parameter
transform
and by the solution of the corresponding
reflected initial value problem in
. This allows to
find the solution for
also by the right-sided Laplace
transform in the following section. For the equation
with
as before we have
Theorem 3. For the solution of with given
values () is the reflection
, where is the
solution of
|
|
Proof.
With
as in the proof of Theorem 1 and
its
reflection, we observe that
is the fundamental
solution of the reflected equation
in
. Its convolution with the right-hand side of
yields the reflection
of the solution
for
. Due to the regularity of
and
the convolutions
disappear for
when
. The convolution of
with the
singular term in
coincides with
,
as in
Theorem 2. Therefore the
-th derivative of that convolution
tends to
for
. Thus, the reflection of
gives the requested initial values
Remark 2. The proof shows that only
sufficient regularity properties of
near the origin from the
left are necessary to obtain the solution in the given form.
Now, we can also solve the initial value problem for suitably
transformable inputs by the right-sided Laplace transform or by
the Fourier transform in the case of asymptotically stable
systems.
4 Transform methods for solving linear causal initial value
problems
The right-sided Laplace transform
of a generalized
function
is defined at
by
applying the functional
to the function
,
usually denoted by
|
|
provided that
is a tempered
distribution for large enough
and the real part
(cf. [
8], [
9]).
The most important properties for applications are the
invertibility of the Laplace transform and the convolution theorem
. This implies immediately
the Laplace transform of generalized derivatives
for
transformable
|
|
It does not contain a nonzero
pre-initial value
. The essential point, why the Laplace
transform works as a tool in solving differential equations in the
convolution algebra
, is the property that we can find
a unique primitive
by
for a given transform
.
This property as well as the convolution theorem for
are
lost, if nonzero pre-initial values, not intrinsic to the
transform, are introduced as in [
2] -
[
7].
Linear initial value problems in
with constant
coefficients are adequately described by equation
in Theorem
2. A linear combination of the Dirac distribution
and its
derivatives has the Laplace transform
|
|
Therefore, the
Laplace transform of equation
yields for transformable
generalized functions in
|
|
This is the same equation in the image domain of the Laplace
transform, which is obtained with nonzero initial values in the
differentiation rule
for the
transform of
generalized derivatives (cf. [
2] - [
7]).
Here the equation
is obtained by the usual Laplace
transform
invertible on
. Of course the
inverse Laplace transform of
gives back the generalized
functions equation
in the time-domain. In the case of
asymptotically stable systems and tempered inputs we can as well
use the Fourier transform to solve the initial value problem
, when we replace the variable
by
(
) in
Example 3. (Input with support in the half-line
) Consider the equation
with initial conditions
,
. It describes a simple critically damped
circuit
(
), whose input is the step function
and the
output is the voltage across the inductor. Its causal fundamental
solution is
; its causal impulse
response is the generalized second derivative
The solution
of the initial value
problem on
according to
is
|
|
It fulfills
and
For large negative
the
solution
is certainly not a physically realistic voltage of
the circuit and in general the true system evolution in the past
remains unknown. Cutting off the past instead and considering the
problem only on the half-line
for the given initial
conditions, we obtain the solution
of the
generalized equation
|
|
according to
by
|
|
The Laplace transform of
yields
which has the inverse Laplace transform
in
.
Since the system is asymptotically stable, it has the frequency
characteristic
, which is a multiplier in
the space of tempered distributions and has the causal inverse
Fourier transform
. Thus, the initial value problem can
also be solved by the Fourier transform of equation
.
Example 4. (Example
continued, cf. [
1])
For stable systems with persistent inputs as found in
[
1] and [
2], the initial values were
reasonably chosen as if the systems were in a steady state due to
their "infinitely long lasting history". Therefore the
corresponding solution of the equation
on
for a tempered input
can be found by the Fourier
transform
of that equation without any reference to the
given initial conditions. Thus, for equation
in example
the solution
on
can be represented as
|
|
Example 5. (Persistent input to an unstable system)
We consider the differential equation
|
|
with initial conditions
,
,
,
. According to equation (6) its solution for
can be obtained by the Laplace transform of
. The inverse of
yields for
|
|
By Theorem 3 the solution for
is the reflection of
, which can be obtained by the right-sided Laplace
transform of
.
The inverse of
yields for
|
|
5 Conclusion
We exposed time-domain equations and solutions for causal linear
initial value problems given by differential equations with
constant coefficients and generalized inputs. The results can
easily be adopted for linear first order systems and for input
types having weaker regularity properties than we have used for
convenience of the presentation. Transform methods have been shown
to be useful for causal and persistent inputs as well. Especially,
we hope that our discussion convinces educators of linear systems
and control theory and helps in consistently teaching time-domain,
Laplace and Fourier transform methods in the framework of
generalized functions.
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