{ "metadata": { "name": "", "signature": "sha256:385494a6313050f0a37ca2c522b9e84fa557603dcca52e564adf1275148095c7" }, "nbformat": 3, "nbformat_minor": 0, "worksheets": [ { "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "## Realiza\u00e7\u00e3o da fun\u00e7\u00e3o resposta ao impulso.\n", "\n", "Seja $\\Psi : \\mathbb{R} \\to \\mathbb{M}_{p\\times m}$ de classe $\\mathcal{C}^1$ uma fun\u00e7\u00e3o e suponha que existe $n\\in \\mathbb{N}$ e fun\u00e7\u00f5es $G:\\mathbb{R} \\to \\mathbb{M}_{p\\times n}$ e $H:\\mathbb{R} \\to \\mathbb{M}_{n\\times m}$ tal que\n", "$$ \\Psi(t-s)=G(t)H(s) \\text{ para todo } t>s.$$ Ent\u00e3o $\\Psi(t)$ admite uma realiza\u00e7\u00e3o $(A,B,C)$." ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "#### Prova:\n", "Definimos\n", "$$ W = \\int_0^T H(s)H^\\prime(s)ds $$\n", "onde $H^\\prime$ denota a transposta de $H$. Suponha, em primeiro lugar que $W$ seja invers\u00edvel.\n", "$$ \\begin{gather}\n", "\\phi(t,s) = \\Psi(t-s) \\implies 0= \\frac{\\partial \\phi}{\\partial t} + \\frac{\\partial \\phi}{\\partial s} = \\dot{G}(t)H(s) + G(t)\\dot{H}(s) \\\\\n", "\\implies \\dot{G}(t)W = -G(t)\\int_0^T\\dot{H}(s)H^\\prime(s)ds \\implies \\dot{G}(t) = G(t)A\n", "\\end{gather}$$\n", "onde \n", "$$A= -\\int_0^T\\dot{H}(s)H^\\prime(s)dsW^{-1}$$\n", "A solu\u00e7\u00e3o desta equa\u00e7\u00e3o diferencial \u00e9\n", "$$G(t) = G(T)\\text{e}^{(t-T)A}$$\n", "Escrevendo\n", "$$\\Psi(t) = \\Psi((t+T) - T)=G(t+H)H(T)= G(T)\\text{e}^{tA}H(T) $$\n", "A realiza\u00e7\u00e3o \u00e9 ent\u00e3o \n", "$$\\begin{gather} A = -\\int_0^T\\dot{H}(s)H^\\prime(s)dsW^{-1} \\\\\n", " B= H(T) \\\\\n", " C= G(T) \\end{gather}$$" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Para terminar a prova do teorema precisamos do seguinte Lema:\n", "### Lema \n", "\n", "Nas hip\u00f3teses do teorema acima, se a matriz $W$ n\u00e3o \u00e9 invers\u00edvel ent\u00e3o existem fun\u00e7\u00f5es, $\\tilde{G}:\\mathbb{R} \\to \\mathbb{M}_{p\\times l}$ e $\\tilde{H}:\\mathbb{R} \\to \\mathbb{M}_{l\\times m}$ tal que\n", "$ \\Psi(t-s)=\\tilde{G}(t)\\tilde{H}(s) \\text{ para todo } t>s,$ e $\\int_0^T \\tilde{H}(s)\\tilde{H}^\\prime(s)ds$ \u00e9 invers\u00edvel.\n", "\n", "**Prova**\n", "Suponha que $\\text{posto}W = l$. Como $W$ \u00e9 semi-definida positiva ent\u00e3o existe uma matriz ortogonal $P$ tal que \n", "$$ PWP^\\prime = \\begin{bmatrix}\\lambda_1 & 0 & \\cdots & 0 \\\\\n", "0 & \\lambda_2 & \\cdots & 0 \\\\\n", "\\cdots & \\cdots & \\ddots & 0 \\\\\n", "0 & 0& \\cdots & 0\n", "\\end{bmatrix}$$ onde $\\lambda_1, \\dots , \\lambda_l$ s\u00e3o os autovalores reais positivos de $W$.\n", "Definimos agora a matriz $L=(l_{ij}) \\in \\mathbb{M}_{n\\times n}$ com a defini\u00e7\u00e3o\n", "$l_{ii} = 1/\\sqrt{\\lambda_i}$ se $i\\leq l,$ $l_{ii}=1$ se $i>l$ e $l_{ij}=0$ nos outros casos.\n", "Ent\u00e3o teremos\n", "$$(LP)W(LP)^\\prime = \\begin{bmatrix}\\mathbf{I}_l & 0 \\\\ 0 & 0 \\end{bmatrix}=V = \\begin{bmatrix}\\mathbf{I}_l \\\\ 0\\end{bmatrix} \\begin{bmatrix} \\mathbf{I}_l & 0 \\end{bmatrix} = L_1 L_1^\\prime\n", "$$\n", "Observe que $V^k =V$ pois precisaremos disso. Denotando tamb\u00e9m $(PL)^{-1} = Q$ temos\n", "$$ W = QVQ^\\prime $$\n", "Usando estas identidades podemos mostrar que\n", "$$\\int_0^T (QVQ^{-1}H(s) - H(s))(QVQ^{-1}H(s) - H(s))^\\prime =0 $$ e portanto\n", "$$ QVQ^{-1}H(s) - H(s) =0 \\text{ } \\forall t \\in [0,T]$$\n", "\n", "Da\u00ed \n", "$$ G(t)H(s) = G(t)QVQ^{-1}H(s) = (G(t)QL_1)(L_1^\\prime Q^{-1}H(s) $$\n", "e\n", "$$\\tilde{G}(t) = G(t)QL_1 \\text{ e } \\tilde{H}(s) = L_1^\\prime Q^{-1}H(s)$$\n", "\n" ] }, { "cell_type": "code", "collapsed": true, "input": [], "language": "python", "metadata": {}, "outputs": [] } ], "metadata": {} } ] }