In control theory, we may need to find out whether or not a system such as
x ˙ ( t ) = A x ( t ) + B u ( t ) y ( t ) = C x ( t ) + D u ( t ) {\displaystyle {\begin{array}{c}{\dot {\boldsymbol {x}}}(t){\boldsymbol {=Ax}}(t)+{\boldsymbol {Bu}}(t)\\{\boldsymbol {y}}(t)={\boldsymbol {Cx}}(t)+{\boldsymbol {Du}}(t)\end{array}}}
is observable, where A {\displaystyle {\boldsymbol {A}}} , B {\displaystyle {\boldsymbol {B}}} , C {\displaystyle {\boldsymbol {C}}} and D {\displaystyle {\boldsymbol {D}}} are, respectively, n × n {\displaystyle n\times n} , n × p {\displaystyle n\times p} , q × n {\displaystyle q\times n} and q × p {\displaystyle q\times p} matrices. One of the many ways one can achieve such goal is by the use of the Observability Gramian.
Observability in LTI Systems Linear Time Invariant (LTI) Systems are those systems in which the parameters A {\displaystyle {\boldsymbol {A}}} , B {\displaystyle {\boldsymbol {B}}} , C {\displaystyle {\boldsymbol {C}}} and D {\displaystyle {\boldsymbol {D}}} are invariant with respect to time. One can determine if the LTI system is or is not observable simply by looking at the pair ( A , C ) {\displaystyle ({\boldsymbol {A}},{\boldsymbol {C}})} . Then, we can say that the following statements are equivalent: 1. The pair ( A , C ) {\displaystyle ({\boldsymbol {A}},{\boldsymbol {C}})} is observable. 2. The n × n {\displaystyle n\times n} matrix
W o ( t ) = ∫ 0 t e A T τ C T C e A τ d τ {\displaystyle {\boldsymbol {W_{o}}}(t)=\int _{0}^{t}e^{{\boldsymbol {A}}^{T}\tau }{\boldsymbol {C}}^{T}{\boldsymbol {C}}e^{{\boldsymbol {A}}\tau }d\tau }
is nonsingular for any t > 0 {\displaystyle t>0} . 3. The n q × n {\displaystyle nq\times n} observability matrix
[ C C A C A 2 ⋮ C A n − 1 ] {\displaystyle \left[{\begin{array}{c}{\boldsymbol {C}}\\{\boldsymbol {CA}}\\{\boldsymbol {CA}}^{2}\\\vdots \\{\boldsymbol {CA}}^{n-1}\end{array}}\right]}
has rank n. 4. The ( n + q ) × n {\displaystyle (n+q)\times n} matrix
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