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Mathematical Methods

Laplace transform in depth: convergence, properties, final value and inverse transform in every case

Existence and region of convergence, properties proved, initial and final value theorems with the cases where they fail, repeated and complex poles, periodic signals, link with Fourier, tables.

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This page goes deeper into the lessons on the Laplace transform and its applications. It proves when the transform exists, derives all the properties in the table, proves the initial and final value theorems together with the cases where they fail, works out the inverse transform with repeated and complex conjugate poles, deals with periodic signals and explains the precise link with the Fourier transform. At the end are the tables to remember.

When the transform exists

A signal f, zero for t \lt  0, is of exponential order if there exist M and \sigma_0 with |f(t)| \le Me^{\sigma_0 t} for every t \ge 0. Almost all engineering signals are: polynomials, exponentials, sines, steps. e^{t^2} is not.

Theorem. If f is piecewise continuous and of exponential order \sigma_0, the integral F(s) = \int_0^\infty f(t)e^{-st}dt converges absolutely for \text{Re}\,s \gt  \sigma_0, and F(s) \to 0 as \text{Re}\,s \to +\infty.

Proof. With s = \sigma + i\omega, |f(t)e^{-st}| = |f(t)|e^{-\sigma t} \le Me^{-(\sigma - \sigma_0)t}, and \int_0^\infty Me^{-(\sigma - \sigma_0)t}dt = \frac{M}{\sigma - \sigma_0} is finite for \sigma \gt  \sigma_0. This estimate also gives |F(s)| \le \frac{M}{\sigma - \sigma_0} \to 0. ∎

The half-plane \text{Re}\,s \gt  \sigma_0 is the region of convergence. For a rational function the boundary passes through the rightmost pole: the transform is analytic (lesson on complex functions) in the whole half-plane, and all the poles lie to the left.

The region of convergence in the s plane
The transform converges in the half-plane to the right of the vertical line sigma zero, shaded in green, which passes through the rightmost pole. All the poles, marked with a cross, lie to the left of that line.

The properties, proved

  • Shift in s. \int e^{-at}f(t)e^{-st}dt = \int f(t)e^{-(s + a)t}dt = F(s + a).
  • Delay. With u = t - T: \int_T^\infty f(t - T)e^{-st}dt = e^{-sT}\int_0^\infty f(u)e^{-su}du = e^{-sT}F(s).
  • Second derivative. Applying the derivative rule twice: \mathcal L\{f''\} = s\mathcal L\{f'\} - f'(0) = s^2F - sf(0) - f'(0).
  • Integral. If g(t) = \int_0^t f, then g' = f and g(0) = 0: F = sG, i.e. G = F/s.
  • Multiplication by t. Differentiating the definition with respect to s under the integral sign: F'(s) = \int(-t)f(t)e^{-st}dt, so \mathcal L\{tf(t)\} = -F'(s). Repeating, \mathcal L\{t^nf\} = (-1)^nF^{(n)}(s).
  • Convolution. \mathcal L\{f * g\} = \int_0^\infty\int_0^t f(\tau)g(t - \tau)d\tau\,e^{-st}dt. Swapping the integrals (integrating over the region 0 \le \tau \le t) and setting u = t - \tau: \int_0^\infty f(\tau)e^{-s\tau}d\tau\int_0^\infty g(u)e^{-su}du = F(s)G(s).

The rule \mathcal L\{tf\} = -F' explains where the rows of the table with t^n come from: from \mathcal L\{e^{-at}\} = \frac{1}{s + a} one gets \mathcal L\{te^{-at}\} = \frac{1}{(s + a)^2}, \mathcal L\{t^2e^{-at}\} = \frac{2}{(s + a)^3}, and so on. They are the terms produced by repeated poles.

The responses of repeated poles
A simple pole at minus 1 produces e to the minus t; a double pole produces t times e to the minus t, which starts from zero and has a maximum; a triple pole produces t squared times e to the minus t over 2, even slower to start.

The initial and final value theorems

Theorem. If f and f' are transformable, f(0^+) = \lim_{s\to\infty}sF(s). If moreover all the poles of sF(s) have negative real part, \lim_{t\to\infty}f(t) = \lim_{s\to 0}sF(s).

Proof. Start from \int_0^\infty f'(t)e^{-st}dt = sF(s) - f(0^+).

*Initial value:* as s \to +\infty the left-hand side tends to 0 (existence theorem applied to f'), so sF(s) \to f(0^+).

*Final value:* as s \to 0 the left-hand side tends to \int_0^\infty f'(t)dt = \lim_{t\to\infty}f(t) - f(0^+), provided this limit exists. So \lim_{s\to 0}sF(s) = \lim_{t\to\infty}f(t). ∎

When it fails. The final value theorem always gives a number, even when the limit in time does not exist. With F = \frac{1}{s(s - 1)}, \lim_{s\to 0}sF = -1, but f(t) = e^t - 1 diverges (the pole at s = 1 is on the right). With F = \frac{1}{s^2 + 1} (the sine), \lim sF = 0, but the sine oscillates forever (poles on the imaginary axis). Before using it one must always check the poles.

A case where the final value theorem is wrong
The function e to the t minus 1 diverges, while the formula, applied without checking the poles, would give the value minus 1, dashed.

The inverse transform in every case

For a rational F = N(s)/D(s) with the degree of N less than that of D, the inverse transform is the sum of the residues of F(s)e^{st} at the poles of F (residue theorem applied to the Bromwich integral). In practice:

Simple pole p: contribution A\,e^{pt}, with A = \lim_{s\to p}(s - p)F(s) (Heaviside’s rule: “cover up” the factor s - p and substitute s = p).

Pole of multiplicity m at p: with G(s) = (s - p)^mF(s), the contribution is

    \[ e^{pt}\sum_{k=0}^{m-1}\frac{G^{(m-1-k)}(p)}{(m - 1 - k)!}\cdot\frac{t^k}{k!} \]

which follows from the fractions \frac{A_k}{(s - p)^{k+1}} \leftrightarrow A_k\frac{t^k}{k!}e^{pt}.

Complex pair -a \pm ib: instead of working with complex numbers, complete the square. A term \frac{Bs + C}{(s + a)^2 + b^2} is rewritten as

    \[ B\,\frac{s + a}{(s + a)^2 + b^2} + \frac{C - Ba}{b}\cdot\frac{b}{(s + a)^2 + b^2} \;\leftrightarrow\; e^{-at}\left(B\cos bt + \frac{C - Ba}{b}\sin bt\right) \]

The pair produces an oscillation of angular frequency b inside an envelope e^{-at}: the signature of underdamped second-order systems.

The response of a pair of complex poles
The function e to the minus t times cosine of 2 t oscillates with angular frequency 2 inside the envelope plus and minus e to the minus t, dashed.

Periodic signals

Theorem. If f has period T and F_1(s) = \int_0^T f(t)e^{-st}dt is the transform of the first period, then

    \[ F(s) = \frac{F_1(s)}{1 - e^{-sT}} \]

Proof. Split the integral into periods and use the delay: F = F_1 + e^{-sT}F_1 + e^{-2sT}F_1 + \cdots = F_1\sum_k e^{-ksT}, a geometric series with ratio e^{-sT}, with |e^{-sT}| \lt  1 for \text{Re}\,s \gt  0. ∎

Example. The square wave that is 1 in the first half of the period and 0 in the second: F_1 = \frac{1 - e^{-sT/2}}{s}, and F = \frac{1 - e^{-sT/2}}{s(1 - e^{-sT})} = \frac{1}{s(1 + e^{-sT/2})}, because 1 - e^{-sT} = (1 - e^{-sT/2})(1 + e^{-sT/2}). There are infinitely many poles, on the imaginary axis, corresponding to the harmonics of the Fourier series.

Periodic square wave
The wave is 1 in the first half of each period and 0 in the second; its transform is obtained from that of the first period.

The link with Fourier

If the region of convergence contains the imaginary axis (i.e. \sigma_0 \lt  0: all poles on the left), then the Fourier transform of the causal signal exists and equals F(i\omega). For a stable system, therefore, the frequency response is obtained by substituting s = i\omega in the transfer function. If instead there are poles on the axis (step, sine) the Fourier transform exists only as a distribution and contains deltas; if there are poles on the right it does not exist at all, while Laplace does: this is why control theory uses Laplace, which also handles unstable systems that need to be stabilised.

Tables to remember

Transforms (for t \ge 0)

f(t)F(s)
\delta(t)1
u(t)\dfrac{1}{s}
t^n\dfrac{n!}{s^{n+1}}
e^{-at}\dfrac{1}{s + a}
t^ne^{-at}\dfrac{n!}{(s + a)^{n+1}}
\sin bt, \cos bt\dfrac{b}{s^2 + b^2}, \dfrac{s}{s^2 + b^2}
e^{-at}\sin bt, e^{-at}\cos bt\dfrac{b}{(s + a)^2 + b^2}, \dfrac{s + a}{(s + a)^2 + b^2}
\sinh bt, \cosh bt\dfrac{b}{s^2 - b^2}, \dfrac{s}{s^2 - b^2}
t\sin bt\dfrac{2bs}{(s^2 + b^2)^2}
\dfrac{\sin bt - bt\cos bt}{2b^3}\dfrac{1}{(s^2 + b^2)^2}
1 - e^{-at}\dfrac{a}{s(s + a)}

Properties

TimeLaplace
e^{-at}f(t)F(s + a)
f(t - T)u(t - T)e^{-sT}F(s)
f(at), a \gt  0\frac{1}{a}F(s/a)
f'(t)sF(s) - f(0)
f''(t)s^2F(s) - sf(0) - f'(0)
\int_0^t fF(s)/s
tf(t)-F'(s)
f(t)/t\int_s^\infty F(\sigma)\,d\sigma
f * gF(s)G(s)
periodic with period TF_1(s)/(1 - e^{-sT})

Second-order system G(s) = \frac{\omega_n^2}{s^2 + 2\zeta\omega_ns + \omega_n^2}, with 0 \lt  \zeta \lt  1: overshoot M_p = e^{-\pi\zeta/\sqrt{1 - \zeta^2}}; peak time t_p = \frac{\pi}{\omega_n\sqrt{1 - \zeta^2}}; 2 % settling time t_s \approx \frac{4}{\zeta\omega_n}; damped angular frequency \omega_d = \omega_n\sqrt{1 - \zeta^2}.

Exercises from basic to exam level, with differential equations, circuits and systems, are on the exercise page linked at the top.

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