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Consider a linear ODE: $\dot{x} = A x$ where $A$ is Hurwitz, i.e. all its eigenvalues have negative real parts. Thus the system is exponentially stable. We know that there exists positive numbers $\beta$ and $\alpha$ such that $\| e^{A t} \| \leq \beta e^{-\alpha t}$ for all $t$. I see this result being used in many analysis.

My question is how to (practically) compute these values? In particular, if I pick $\alpha$ so that $ -\alpha > \max_i \Re(\lambda_i)$, where $\lambda_i$ are the eigenvalues of $A$, then how to compute a tight value for $\beta$?

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1 Answer 1

Put $A$ in Jordan canonical form: $A = U J U^{-1}$. Then $e^{At} = U e^{Jt} U^{-1}$ so $\|e^{At}\| \le \|U\| \|U^{-1}\| \|e^{Jt}\|$. Of the eigenvalues with greatest real part (say $r = \max_i \Re(\lambda_i)$), take one with the largest Jordan block (say of size $m$). Then for $t \ge 0$, $\|e^{Jt}\| \le e^{rt} \sum_{k=0}^m t^k/k!$.

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But then we will have $p(t) e^{r t}$, where $p(t)$ is a polynomial in $t$ instead of a constant $\beta$. –  Truong Nov 9 '11 at 22:12
If there is a Jordan block of size greater than 1, yes. For example, $A = \pmatrix{-1 & 1\cr 0 & -1\cr}$ has $e^{At} = e^{-t} \pmatrix{1 & t\cr 0 & 1\cr}$ and $\|e^{At}\| \approx t e^{-t}$. Note that $p(t) e^{rt} \le \beta e^{-\alpha t}$ for all $t \ge 0$ if $r < -\alpha$, where $\beta$ is the maximum of $p(t) e^{(\alpha+r)t}$. –  Robert Israel Nov 9 '11 at 22:36

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