H2 Optimization Problem For General Discrete-Time Systems

Politehnica University of Bucharest
Faculty of Automatic Control and Computer Science

Department of Automatic Control and Systems Engineering
DIPLOMA DISSERTATION
]
2
Optimization Problem for General
Discrete-Time Systems
Student
Florin Sebastian Tudor
Adviser
Professor Cristian Oar a
Bucharest, 2013
Contents
Glossary iii
1 Introduction 1
2 Preliminaries 3
2.1 Matrix pencils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.1.1 The regular pencil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.1.2 The singular pencil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Rational Matrix Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.1 Zeros, poles and structural indices . . . . . . . . . . . . . . . . . . . . . . 7
2.2.2 Realization Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Constructing centered realizations . . . . . . . . . . . . . . . . . . . . . . 12
2.2.3 Structural elements in terms of realizations . . . . . . . . . . . . . . . . . 13
2.3 Discrete-Time Descriptor Systems . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.3.1 An evaluation of the ]
2
norm . . . . . . . . . . . . . . . . . . . . . . . . 17
2.3.2 Connections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3 Optimality and Descriptor Riccati Equations 20
3.1 Popov Quadruples and associated objects . . . . . . . . . . . . . . . . . . . . . . 20
3.2 The stabilizing solution of the Descriptor Riccati Equation . . . . . . . . . . . . 22
3.3 Descriptor Linear Quadratic Problem . . . . . . . . . . . . . . . . . . . . . . . . 24
4 ]
2
Optimization Problem 28
4.1 Problem formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
4.2 Main result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
4.3 Special Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.3.1 The Full Information problem . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.3.2 The Two-Block problem and its dual . . . . . . . . . . . . . . . . . . . . . 33
4.3.3 The case D
11
,= 0 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
4.4 A second proof . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
5 Numerical Examples 43
Bibliography 48
ii
Glossary
DDTARE() Descriptor Discrete-Time Algebraic Riccati Equation associated with the Popov
Quadruple . ii, 2123, 43
DDTARS() Descriptor Discrete-Time Algebraic Riccati System associated with the Popov
Quadruple . ii, 21
DLQP() Descriptor Linear Quadratic Problem. ii, 24, 25
DSP() Descriptor Pymplectic Pencil associated with the Popov Quadruple . ii, 22, 23, 43
FI Full Information. ii, 31, 3335, 37
KSPYS(, J) Kalman-Szego-Popov-Yackubovich system associated with the Popov Quadruple
and the sign matrix J . ii, 21, 22
LFT Linear Fractional Transformation. ii, 18, 19
LLFT Lower Linear Fractional Transformation. ii, 19
LMIDP Left Minimal Indices Displacement Problem. ii
RMF Rational Matrix Function. ii, 3, 6, 7, 914, 1719, 25, 30, 40, 43, 44
TFM Transfer Function Matrix. ii, 22
iii
1 Introduction
Abstract. In this thesis we solve the ]
2
optimization problem for discrete-time descriptor
systems. A state-space characterization is provided for the optimal controller in terms of the
solutions of two generalized descriptor algebraic Riccati equations. The main result is expressed
using centered state-space realizations, that exhibit the same attractive features and allows for
formulas that bear the same elegant simplicity of the standard (proper) case. It turns out that
the optimal controller is proper and has the well-known observer-based structure. Therefore,
our results are natural extensions of the ]
2
optimization problem for general rational matrix
functions, even improper or polynomial. Three numerical examples of growing complexity are
also included in order to show the applicability of our results.
A descriptor system provides a great tool for modeling general physical systems, since they
can include non-dynamic constraints, impulsive elements, and algebraic dynamical systems. The
associated transfer matrix is an arbitrary rational matrix function, even improper or polynomial.
Descriptor systems have received large attention since the middle of the 1970s, see, e.g., Brenan,
Campbell, and Petzold 1989; Dai 1989; Kunkel and Mehrmann 2006 and references therein. In
the literature they appear under various dierent names such as singular systems, generalized
state-space systems, dierential-algebraic equations, semi-state systems, constrained systems,
degenerate systems, etc. The range of applications of descriptor systems varies from engineering
including power systems, electrical networks, aerospace engineering, mechanical systems, chem-
ical processes (Dai 1989; Kunkel and Mehrmann 2006; Gunther and Feldmann 1999; Rabier and
Rheinboldt 2000), to economics (Luenberger 1977).
As a consequence, the control system design of the descriptor systems has received much
attention in the past few decades. In fact, the linear quadratic (LQ) linear regulator problem has
been extensively studied in the literature (Bender and Laub 1987; Mehrmann 1991; Katayama
and Minamino 1992; Geerts 1994). There are also papers on the output feedback control problem.
Kucera was the rst to consider the LQG (Kucera 1986) and ]
2
(Kucera 1992) control problems
for a singular (descriptor) system, using the Diophantine equation approach. The main drawback
here is that there has been given no clear relationship between the Diophantine equation and
the state-space descriptor realization of the plant.
The model matching technique has been extensively used in the literature as an alternative
for solving ]
2
optimization problem, in both state-space and transfer function setting (Doyle
1984; Francis 1982; Vidyasagar 1985). An explicit solution to the ]
2
optimization problem for
a multivariable continuous-time descriptor system (based on the model matching technique) is
available in the article (Takaba and Katayama 1998).
In this thesis, we provide a solution to the ]
2
optimization problem for a multivariable
discrete-time descriptor system using a novel approach, based on Popovs positivity theory
(Popov 1973) and the original results in (Ionescu, Oara, and Weiss 1999). The generalized
eigenvalue problem also plays a key role in this thesis. The recent results, e.g. numerically sound
algorithms, realization theory, centered realizations, factorization of rational matrices, developed
in the book (Oara, Van Dooren, and Varga 2000), have been extensively used in this thesis. The
main tool for the problem at hand is a special type of algebraic Riccati equation, namely the
descriptor discrete-time algebraic Riccati equation, investigated in the article (Oara and Andrei
2013). A slightly more general form of the descriptor discrete-time algebraic Riccati equation
1
Chapter 1. Introduction
also emerged in (Oara and Sabau 2009). Furthermore, we shall use as main technical tools in
our proofs several mathematical objects (typically, associated with the optimality requirement)
well-known in the literature, e.g. Ionescu, Oara, and Weiss 1999; Zhou, Doyle, and Glover 1996,
namely the Kalman-Szego-Popov-Yackubovich system and the Hamiltonian system.
Throughout the thesis, we use the standard notations. By C, D, and D we denote the
complex plane, the open unit disk, and the unit circle, respectively, and let C := C be the
closed complex plane. is a complex variable, and z C will be used to explicitly specify the
discrete-time case. For a constant matrix A with elements in C we denote by A
its conjugate
transpose. If A is invertible A
is its conjugate transpose inverse. A hermitian matrix satises

A = A
, and we denote by A > 0 (A < 0) if it is in addition positive denite (negative denite).

A matrix has full column (row) rank if its rank equals the number of columns (rows). The
identity matrix is denoted by I. The set of p m rational matrices with coecients in C is
denoted by C
pm
().
Acknowledgements
First of all, I would like to express my gratitude to Professor Cristian Oara, my adviser, for
his guidance, productive comments and strong inspiration. His interesting ideas, good advices
and careful checking of the proofs made this dissertation possible. I would also like to thank
Professor Dumitru Popescu and Professor Dan Stefanoiu, for the opportunity of working on
many interesting research topics and novel ideas in the eld of renewable energetical systems.
2
2 Preliminaries
I
n this chapter we shall present briey some results on the generalized eigenvalue and eigen-
tructure problem, respectively. Further, we introduce Rational Matrix Functions, on which
our theory relies. We shall dene and describe the set of invariants induced by the generalized
Smith-MicMillan form, their structural indices, and left (right) minimal indices. Realization
Theory of RMF also plays a central role in our developments. We will introduce a new type of
realizations, namely centered realizations, having many useful properties, as it will be discussed
in the sequel. Finally, we will analyze in the time-domain setting the discrete-time descriptor
systems.
2.1 Matrix pencils
In this section we study rst order polynomial matrices in the complex variable ,
AE,
called matrix pencils, where A, E C
mn
are two rectangular matrices. For m n matrix
pencils we present canonical forms and corresponding canonical invariants (Gantmacher 1960)
induced by the following relation of equivalence. Two pencils A E and

A
E are strictly
equivalent if there exists two invertible matrices Q C
mm
, Z C
nn
, called transformation
matrices, such that
Q(AE)Z =

A
E. (2.1)
We discuss successively two problems of growing complexity:
(i) the regular pencil case, with AE square and det(AE) , 0, leading to the Weierstrass
canonical form and to generalized eigenvalue problems;
(ii) the singular pencil case, with A E arbitrary, leading to the Kronecker canonical form
and to generalized eigenstructure problems.
We pay special attention to the particular case of unitary equivalence, where transfor-
mation matrices Q, Z in (2.1) are restricted to be unitary, i.e., Q
Q = I, Z
Z = I. Unitary
transformations are primarily important for numerical computations as they may yield numerical
stability of many computational algorithms.
With the help of unitary transformations, we can deduce quasi-canonical forms, e.g. the
Weierstrass-like and Kronecker-like forms, that exhibit the complete set of canonical invariants
induced by general strict equivalence. With invertible transformations performed on quasi-
canonical forms, one can obtain the corresponding canonical forms. Although the canonical
forms are important, their accurate numerical computation is usually dicult because the trans-
formation matrices are often ill-conditioned.
For more details on matrix pencils and their canonical forms, see the excellent books
(Gantmacher 1960; Horn and Johnson 1991) and the paper (Van Doreen 1981b).
3
Chapter 2. Preliminaries
2.1.1 The regular pencil
Here, A and E are square matrices of dimension n and and the pencil AE has non-vanishing
determinant. The problem of solving for C the polynomial equation
() := det(AE) = 0 (2.2)
is called the generalized eigenvalue problem and () is called the characteristic polynomial.
Since E may be singular, () has generally degree n
f
n. The n
f
roots of () are the nite
eigenvalues of AE. We say that = is a generalized eigenvalue of AE if = 0 is an
eigenvalue of the reciprocal pencil EA, or equivalently, if E is singular. The multiplicity n
of the innite generalized eigenvalue of A E is by denition the multiplicity of = 0 as the

eigenvalue of E A. Let () = a
0
+a
1
+ +a
n
f
n
f
, with a
n
f
,= 0. Thus, we can write
det(E A) = (1)
n
nn
f
(a
0
+a
1
+ +a
n
f
n
f
).
It follows that n
= n n
f
. Therefore, an n n matrix pencil has always n generalized
eigenvalues (nite and innite) which form the spectrum of AE, denoted (AE).
For a generalized eigenvalue
0
of A E there always exists a nonzero vector x C
n
,
called the generalized eigenvector, such that
Ax =
0
Ex, if
0
is nite,
Ex = 0, if
0
is innite.
(2.3)
In the regular case, the equivalence relation (2.1) with Q, Z invertible induces the Weier-
strass canonical form
A
W
E
W
:=
_
I
n
0
0 A
f
I
n
f
_
, (2.4)
where A
f
and E
are in the Jordan canonical form, with E
nilpotent. Recall that a matrix

A
f
is in the Jordan canonical form if
A
f
=
_
_
A
11
(
1
)
.
.
.
A
kk
(
k
)
_
_, with A
ii
(
i
) :=
_
_
J
s
(i)
1
(
i
)
.
.
.
J
s
(i)
h
i
(
i
)
_
_
.
Here,
1
, . . . ,
k
is the set of k distinct eigenvalues of the matrix A
f
and J
s
(
i
) is an s s
matrix of the form
J
s
(
i
) :=
_
i
1
i
.
.
.
.
.
.
1
i
_
_
,
called an elementary Jordan block. For an eigenvalue
i
, the sizes s
(i)
j
, j = 1, . . . h
i
are called
the partial multiplicities of
i
, the positive integer h
i
is the geometric multiplicity and the sum
n
i
:= s
(i)
1
+ s
(i)
2
+ . . . s
(i)
h
i
is called the algebraic multiplicity. Note that n
f
=

k
i=1
n
i
. E
is a
nilpotent matrix in Jordan canonical form
E
=
_
_
J
s
1
(0)
.
.
.
J
s
(0)
_
_
,
4
and J
s
(0) is an s s elementary nilpotent Jordan block. We dene the partial, geometrical
and algebraic multiplicities of the innite generalized eigenvalue of AE as the corresponding
multiplicity of the zero eigenvalue of E
. Thus, for = the partial multiplicities are s
i
, i =
1, . . . , h
, the geometric multiplicity is h
and the algebraic multiplicity is n
:=

h
i=1
s
i
.
If we restrict ourselves to unitary equivalence transformations, we can derive a quasi-
canonical form, called the complex Weierstrass-like form, which reveals the generalized eigenval-
ues of a regular pencil and its partial multiplicities. Therefore, the complete set of Weierstrass
canonical invariants can be computed with a numerically reliable algorithm, namely the QZ
algorithm. For a complete discussion, see (Oara, Van Dooren, and Varga 2000).
The following concepts will be useful in the sequel. We give rst the denition of a deating
subspace.
Denition 2.1. The linear space 1 C
n
is called a deating subspace of the regular n n
matrix pencil zM N if dim(M1 +N1) = dim(1).
For a deating subspace 1 of zM N denote by (zM N)[
V
and by (zM N)[
V
the
map and the spectrum of the pencil restricted to 1, respectively. The next result, taken from
(Oara and Andrei 2013), gives a useful characterization of deating subspaces in terms of basis
matrices.
Lemma 2.2. Let zM N be a regular n n matrix pencil.
1. If 1 = Im(V ) is an dimensional deating subspace of zM N , where V is a basis
matrix for 1, then there exists a regular pencil zT S which is strictly equivalent to
(zM N)[
V
such that MV S = NV T.
2. Conversely, if MV S = NV T holds for a certain n basis matrix V and a regular
pencil zT S, then 1 = Im(V ) is a deating subspace of zM N and zT S is strictly
equivalent to (zM N)[
V
.
2.1.2 The singular pencil
We discuss briey the case of an arbitrary mn singular pencils. A singular pencil A E is
either non-square, i.e. m ,= n or has a vanishing determinant det(AE) 0.
The normal rank r of the pencil, denoted rank
n
(AE), is the rank of AE for almost
all C (but a nite number of points). If
l
:= m r > 0 then we say that the pencil has
a (nontrivial) left singular structure. If
d
:= n r > 0 then the pencil has a (nontrivial) right
singular structure.
Strict equivalence leads, for an appropriate choice of the invertible transformation matrices
Q and Z in (2.1), to the Kronecker canonical form of an arbitrary pencil,
Q(AE)Z = A
KR
E
KR
,
A
KR
E
KR
:=
_
_
L
1
.
.
.
L
r
I
n
A
f
I
n
f
L
T
1
.
.
.
L
T
l
_
_
. (2.5)
5
Here L
k
, k 0 denotes the bidiagonal k (k + 1) pencil
L
k
:=
_
_
1
.
.
.
.
.
.
1
_
_,
A
f
and E
are in the Jordan canonical form, with E
nilpotent. The regular part of A E

is dened by the regular pencil diag (I
n
, A
f
) diag (E
, I
n
f
). The partial multiplicities, the
geometric multiplicity and the algebraic multiplicity of the nite and innite eigenvalues have
the same denitions as for the regular pencil. Note that the nite generalized eigenvalues of the
singular pencil AE are the eigenvalues of the matrix A
f
.
The singular part of the pencil is dened by the right and left singular Kronecker structure
as follows. The
i
(
i
+1) blocks L
i
, i = 1, . . . ,
r
are the right elementary Kronecker blocks,
and
i
0 are called the right Kronecker indices. The (
j
+1)
j
blocks L
T
j
, j = 1, . . . ,
l
are
the left elementary Kronecker blocks, and
j
0 are called the left Kronecker indices. Notice
that
i
and
j
can be zero.
From the Kronecker canonical form (2.5), the normal rank of the pencil A E can be
expressed as
r = n
r
+n
+n
f
+n
l
, (2.6)
where n
r
:=

r
i=1
i
and n
l
:=

l
j=1
j
. If the pencil A E is regular, there are no Kronecker
indices, i.e., the pencils L
i
and L
T
j
are void and the Kronecker canonical form reduces to the
Weierstrass canonical form.
Starting from a singular pencil, we can always achieve the Kronecker-like form, that can
be obtained using only unitary transformations gaining therefore benets in terms of the numer-
ical reliability. The Kronecker-like form displays the same information as the canonical form.
Precisely, any matrix pencil A E with A, E C
mn
can be reduced by unitary transforma-
tions Q C
mm
, Z C
nn
to the block upper triangular form (Van Doreen 1979; Oara and
Van Doreen 1997)
A
KR
E
KR
:=
_
_
A

0 A

0 0 A
f
E
f

0 0 0 A
_
, (2.7)
where the regular part is determined by the regular pencil A
and A
f
E
f
(nite
and innite generalized eigenvalues). The singular part is determined by the pencil A
containing the right Kronecker indices and having full row rank C, and by A
, which
contains the left Kronecker indices and has full column rank C.
A more detailed discussion on this topic (staircase condensed form, computation of the
Kronecker-like form) can be found in (Oara, Van Dooren, and Varga 2000). We do not elaborate
further in this direction.
2.2 Rational Matrix Functions
In this section we study rational matrix functions RMF in the variable C, i.e. matrices
T() C
pm
() whose elements are rational functions, i.e.,
T() :=
_
p
ij
()
q
ij
()
_
i=1,p j=1,m
,
6
where p
ij
() and q
ij
() are scalar polynomials with coecients in C, with q
ij
() , 0, i, j.
The values for which T() is undened or losses rank play a central role in the theory
of RMF, and are associated with the poles and zeros of T(). We also need to dene their
structural indices and minimal indices for the left and right null spaces.
We shall also discuss the realization theory, which is a topic of interest for this thesis. The
minimality requirement will be further analyzed.
2.2.1 Zeros, poles and structural indices
For the denition of poles and zeros and the associated indices of a rational matrix we need
rst Smith-McMillans theory. The key idea of Smith-McMillan theory is to perform certain
equivalence transformations dened next in order to reduce a rational matrix T() to a diagonal
form, called the Smith-McMillan form, from which poles and zeros can be further dened. We
start with several denitions.
A square rational matrix T() is called regular at
0
C if the constant matrix T(
0
) is
well dened (with nite entries) and invertible, and is called regular at if the limit T() :=
lim
T() exists and is invertible. A rational matrix which is regular C (but innity)
is called unimodular (or unimodular). Extending the denition of unimodular matrices, we
say that a rational matrix is
0
unimodular if it is regular C but
0
. It is easy to see that
a square rational matrix is
0
unimodular if and only if it is square, each of its elements has
no poles in C
0
, and has an inverse with the same property.
Denition 2.3. Let T
1
() and T
2
() be p m rational matrices. Then T
1
() and T
2
()
are called equivalent under
0
unimodular transformations if there exist two
0
unimodular
matrices U() and V () such that
U()T
1
()V () = T
2
(). (2.8)
Furthermore, two RMF are strongly equivalent (denoted ~) if they are equivalent under
0
unimodular
transformations, C (including innity).
The central result on equivalence under unimodular transformations is the generalized
Smith-McMillan form, which describes the simplest rational matrix in each equivalence class, as
follows, see (Oara, Van Dooren, and Varga 2000).
Theorem 2.4. Generalized Smith-McMillan Form. Let T() be a p m rational matrix
with coecients in C and having normal rank r, and let
0
C be xed. Let two constants ,
be as follows:
_
= 1, = 0, for
0
= ,
=
0
, = 1, for
0
C.
(2.9)
Then there exist two
0
unimodular matrices U() and V (), both with coecients in C, that
bring T() to the Smith-McMillan form (with respect to
0
)
S() = U()T()V (), (2.10)
S() :=
_
D() 0
0 0
_
=
_
1
()
1
()
( )
k
1
.
.
.
0
r(mr)
r
()
r
()
( )
k
r
0
(pr)r
0
(pr)(mr)
_
_
.
7
The polynomials
i
(),
i
() with coecients in C are monic, are pairwise coprime for i =
1, . . . , r, have no root at
0
, satisfy the divisibility properties
i
() [
i+1
()
i+1
() [
i
()
, i = 1, . . . , r 1,
and the indices k
i
, i = 1, . . . , r are such that
i

i
k
i
, i = 1, . . . , r
form a nondecreasing sequence. Moreover, the rational factors

i
()
i
()
, called the invariant factors
of T() (with respect to
0
), and the indices k
i
are uniquely dened by T() and
0
and together
they form a set of invariants under
0
unimodular transformations, called the Smith-McMillan
invariants.
From the theorem, it follows that two rational matrices are equivalent in the sense of Def-
inition 2.3 if and only if they have the same sets of Smith-McMillan invariants (or, equivalently,
the same Smith-McMillan form with respect to
0
) at all C.
The following theorem taken from (Oara, Van Dooren, and Varga 2000) gives an important
result, namely that one does not have to compute the Smith-McMillan form at each point
0
C
in order to conclude that two rational matrices are equivalent.
Theorem 2.5. Let T() C
pm
() of normal rank r, and let
0
C be xed. Then the
Smith-McMillan canonical invariants are independent of the particular choice of
0
satisfying
the conditions
T(
0
) is well-dened and rank
n
T() = rank T(
0
). (2.11)
We are now ready to dene another set of invariants for a rational matrix: poles and zeros,
and their structural indices. Note that not every
0
C is suitable, and thus we shall use the
Smith-McMillan form with respect to
0
given in (2.9), satisfying the condition (2.11).
Denition 2.6. Zeros. The point C is called a (Smith) zero of T() if it is a zero of an
invariant factor

i
i
. We say that = is a (Smith) zero of T() if
i
i
k
i
> 0 for some
index i = 1, . . . , r. The set of all zeros of T() is denoted by Z (T).
Denition 2.7. Poles. The point C is called a pole of T() if it is a pole of an invariant
factor

i
i
. We say that = is a pole of T() if
i
i
k
i
< 0 for some index i = 1, . . . , r.
The set of all poles of T() is denoted by T (T).
With these denition we can equivalently express condition (2.11) as
0
is neither a pole
nor a zero of T(). Notice also that if T() is regular at
0
C then it has neither poles nor
zeros at
0
. This follows immediately from the generalized Smith-McMillan form (2.10). In
principle, a pole is a point in C where an entry of the rational matrix becomes innite, while a
zero is a point where the rank of the matrix drops below the normal rank.
Further, we dene the structural indices, the degree and the order of a certain zero/pole
of T(). Let
j
, j = 1, . . . , N be N distinct nite poles/zeros of T() and consider the Smith-
McMillan form (2.10) where
0
is neither a pole nor a zero of T(). Then D() an be uniquely
factorized as
D() = D
0
N
j=1
D
j
, (2.12)
where D
j
() := diag
_
(
j
)
1
(
j
)
, (
j
)
2
(
j
)
, . . . , (
j
)
r
(
j
)
_
C
rr
(), with j =
1, . . . , N and D
0
() := diag
_
( )
k
1
, ( )
k
2
, . . . , ( )
k
r
_
C
rr
() and , are
8
chosen according to (2.9). We can now associate with the RMF T() the index set dened
C as
J(T, ) :=
_
1
(
j
), . . . ,
r
(
j
), for
j
Z(T) T(T), j = 1, . . . , N;
1
(), . . . ,
r
(), for = ;
0, 0, . . . , 0
. .
r
, for C Z(T) T(T).
(2.13)
where
i
() :=
i

i
k
i
, called the zero-pole excess.
We call the elements of the set J(T, ) the structural indices of T() at . The set of
all structural indices (considered for all C) completely determine and are determined by
the Smith-McMillan invariants and thus they form a complete set for the equivalence relation
introduces by Dention 2.3. We now state an interesting result, taken from (Oara, Van Dooren,
and Varga 2000).
Theorem 2.8. Two rational matrices T
1
() and T
2
() with coecients in C are strongly
equivalent if and only if they have the same dimensions, T(T
1
) = T(T
2
), Z(T
1
) = Z(T
2
) and
J(T
1
, ) = J(T
2
, ), C.
We introduce further the notions of order and degree of a zero and pole, and the McMillan
degree of a rational matrix.
The order
z
(T,
k
) of the nite zero
k
is the largest positive power of
k
occurring
in D
k
() - see the factorization (2.12) -, i.e.
z
(T,
k
) :=
r
(
k
). The degree is simply the
sum
z
(T,
k
) :=

i,
i
>0
i
(). Note that if
r
(
k
) 0, then both the order and the degree
of the zero
k
are null. Analogously, the order
p
(T,
k
) of the nite pole
k
is the largest
negative power of
k
occurring in D
k
(), i.e.
p
(T,
k
) :=
1
(
k
) and the degree is
p
(T,
k
) :=
i,
i
<0
i
(). If
1
(
k
) 0, then both the order and the degree of the pole
k
are null.
The order of the zero (pole) at innity is thus the largest positive (negative) zero-pole
excess considered for all scalar rationals

i
()
i
()
( )
k
i
, i = 1, . . . , r.
By denition, the McMillan (polar) degree of T is the sum of the degrees of all its poles
(nite and innite), i.e.,
(T) :=

C
p
(T, ).
Thus the McMillan degree of a rational matrix equals its number of poles (counting degrees and
including innity). Finally, notice that when applying the above denitions to a scalar rational
function, the classical notion of order (in this case degree equals also order) of poles and zeros,
and McMillan degree are retrieved. The present denitions thus give a generalization of these
concepts to the matrix case.
We dene further the right and left minimal indices of a RMF, see for details (Forney
1975). Let C() be the eld of rational functions in with coecients in C and C
n
() be the
vectorspace of ntuples over C(). For any rational vectorspace one can always nd polynomial
bases that feature some properties as explained further. The degree of a polynomial vector is
the largest power of occurring in its components. The order of a polynomial basis is the sum
of the degrees of its elements. The next result is taken from (Oara and Sabau 2009).
Theorem 2.9. Each vectorspace over C
n
() has a minimal polynomial basis, i.e., a basis whose
order is minimal. The degrees (arranged in a non decreasing order) of two minimal polyno-
mial bases of the same vectorspace are equal and are called the minimal indices of . The
corresponding order is called the minimal order of .
9
Further, let ^
r
(^
l
) be the right (left) null space of T(), i.e., the rational vectorspace
of all column vectors v() C
m
() (v() C
p
()) satisfying T()v() = 0 (v
T
()T() = 0).
The dimension of ^
r
(^
l
) is m r (p r), where r = rank
n
T(). The minimal indices of ^
r
(^
l
) are called the right (left) minimal indices of the rational matrix function T(). Denote by
n
r
(T) (n
l
(T)) the sum of the right (left) minimal indices of T() and by (T) the sum of the
total multiplicities of all zeros (nite and innite) of T().
Clearly, the minimal McMillan degree of a rational basis matrix (see Oara, Van Dooren,
and Varga 2000) for the right (left) null space of T equals n
r
(T) (n
l
(T)). Then, for a RMF
T() the following relation among its structural elements holds true, see e.g. (Theorem 3 in
Verghese, Van Dooren, and Kailath 1979):
(T) = (T) +n
r
(T) +n
l
(T). (2.14)
2.2.2 Realization Theory
In this subsection we develop the theory of realizations for rational matrices. We introduce
rst the notion of centered realization and further we discuss briey realizations for polynomial
matrices. We also indicate how to construct a centered realization for a given RMF and how to
convert between realizations. Throughout the section T() denotes an arbitrary p m rational
matrix function.
Any p m RMF T() (even improper or polynomial) has a descriptor realization of the
form (see for example Rosenbrock 1970):
T() = D +C(E A)
1
B =:
_
AE B
C D
_
, (2.15)
where A E is a regular pencil, A, E C
nn
, B C
nm
, C C
pn
,and D C
pm
. We
call the positive integer n the order (or the dimension) of the realization (2.15). Note that the
right-hand side of (2.15) is a rational matrix, not to be confused with a block matrix.
Although (2.15) can represent any rational matrix it has a couple of drawbacks for the
problems under investigation. For example, if is a pole of T() than the minimum order of
a realization is strictly greater than the McMillan degree of T() while D does not represent
the value of T() at any particular point. To circumvent this, we will work with a slightly more
general type of realizations called centered.
Centered Realizations
In order to introduce the notion of centered realization we have to x a certain point
0
C in
which we actually "center" the realization. In this thesis we shall discuss the theory of realizations
centered at
0
with the assumption that T() has no poles at
0
, which we call the proper case.
Let
0
C be xed and choose two constants , as follows:
_
= 1, = 0, for
0
= ,
=
0
, = 1, for
0
C.
(2.16)
A realization centered at
0
of the RMF T C
pm
() is a representation of the form
T() = D +C(E A)
1
B( ) =:
_
AE B
C D
_
0
, (2.17)
10
where the matrix pencil AE is regular, and the parameter matrices have appropriate dimen-
sion as in (2.15). Whenever we use realizations centered at
0
we assume the implicit choice of
and according to (2.16). The positive integer n is called the order (or the dimension) of the
realization (2.17). A realization is called minimal if its order is as small as possible.
Two realizations of the same RMF
T() =
_
AE B
C D
_
0
=
_

A
E

B
C

D
_
0
are called equivalent if they have the same order n and there are two invertible matrices Q
C
nn
, Z C
nn
, such that
E = Q(AE)Z,

B = QB,

C = CZ,

D = D. (2.18)
We say that the realization (2.17) is proper if the constant matrix E A is invertible.
Notice that T() has a proper realization centered at
0
only if it has no poles at
0
. We call
the realization (2.17) normalized if we have E A = I. Clearly, a normalized realization is
automatically proper.
If the realization (2.17) is proper then D = lim
0
T(). Furthermore, for a proper
realization we have that
rank D = rank
n
T().
In particular, for proper realizations T() is invertible if and only if D is invertible, and the
realization for the inverse is proper as well. Observe that these properties of proper realizations
are key for solving several control problems.
A realization centered at
0
(proper or not) can be converted into a realization centered
at a dierent

0
. However, these conversions are highly unreliable from a numerical viewpoint
and should be avoided (Oara, Van Dooren, and Varga 2000).
Polynomial Matrices
Consider a polynomial matrix function P() C
pm
() having the form
P() := P
0
+P
1
+P
2
2
+ +P
d
d
.
Then an (improper) realization centered at innity of P() is given by
P() =
_
A
0
_
=
_
_
I P
d
I
.
.
.
P
d1
.
.
.
.
.
.
.
.
.
I I P
0
0 0 I 0
_
_
. (2.19)
Further, notice that a polynomial matrix has all poles at innity. The change of variable

1
is appropriate. Thus, another way to obtain a realization centered at innity for P() is
to consider instead the rational matrix
R() :=
1
P
_
1
_
, (2.20)
which satises R() = 0, i.e. is strictly proper, and has all poles at 0. Thus R() has a
11
realization of the form
R() = C(I N)
1
B =
_
N B
C 0
_
, (2.21)
with N nilpotent. Note that a minimal realization for R() can be obtained (i.e., the matrices
N, B, C) in a standard manner. Further, from (2.20) and (2.21), P() can be written as
P() =
1
R
_
1
_
=
1
C
_
1
I N
_
1
B = C(I N)
1
B
= C(N I)
1
B.
(2.22)
In conclusion, P() has a realization centered at innity which can be obtained with standard
algorithms, given by
P() =
_
I N B
C 0
_
. (2.23)
Remark 2.10. Let h be the nilpotent index of N, i.e. N
h
= 0. Expanding the transfer matrix
of P() in a Taylor series we get that
P() = C(N I)
1
B = CB CNB CN
h1
B
h1
.
Therefore, the transfer matrix of the system P() is a polynomial matrix with the degree h1.
Constructing centered realizations
We present here a method to obtain from a given RMF a proper realization centered at
0
,
(A E). Let T C
pm
() be a known rational matrix having McMillan degree n. Then
there always exist a decomposition (see, e.g. Theorem 2-6.2 in Dai 1989)
T() = G() +P(), (2.24)
where G() = 0 and P() is a matrix polynomial. Thus, the problem of constructing a
realization for T() may be decomposed in two problems of constructing realizations for G(),
which has no poles at innity and is strictly proper, and P(), which is a polynomial and has
all poles at innity. The realizations are given by
G() =
_
A
1
I B
1
C
1
0
_
, P() =
_
I N B
2
C
2
D
2
_
. (2.25)
Let
0
C (nite) not a pole of G(). Therefore, the matrices
0
I A
1
and I
0
N are
invertible. Note that a minimal realization for G() can be obtained in a standard manner,
while a simply procedure for obtaining realization for P() was already detailed, see (2.23). We
have successively
G() = C
1
(I A
1
)
1
B
1
= C
1
(I A
1
)
1
(
0
I A
1
)(
0
I A
1
)
1
B
1
= C
1
(I A
1
)
1
(
0
I A
1
+I I)(
0
I A
1
)
1
B
1
= C
1
(
0
I A
1
)
1
B
1
+C
1
(I A
1
)
1
(
0
I A
1
)
1
B
1
(
0
).
. (2.26)
In a similar manner, we obtain that
P() =
0
C
2
(I
0
N)
1
B
2
+C
2
(N I)
1
(I
0
N)
1
B
2
(
0
) +D
2
. (2.27)
12
Note that the new realizations for G() and P() are centered at
0
, i.e.,
G() =
_
A
1
I (
0
I A
1
)
1
B
1
C
1
C
1
(
0
I A
1
)
1
B
1
_
0
,
P() =
_
I N (I
0
N)
1
B
2
C
2

0
C
2
(I
0
N)
1
B
2
+D
2
_
0
.
(2.28)
Furthermore,
T() =
_
_
A
1
I 0 (
0
I A
1
)
1
B
1
0 I N (I
0
N)
1
B
2
C
1
C
2
C
1
(
0
I A
1
)
1
B
1
+
0
C
2
(I
0
N)
1
B
2
+D
2
_
0
. (2.29)
If the realizations (2.25) to start with are minimal, then the realization (2.29) is minimal as well.
Moreover, the dimension of the minimal realization is exactly n, the McMillan degree of T().
Further, we will normalize the centered minimal realization. Consider that T() is given
by (2.29) and denote
T() =
_
AE B
C D
_
0
= D +C(E A)
1
B(
0
).
Note that if
0
is not a pole of G(), then
0
E A is invertible. Thus we can write
T() = D +C(E A)
1
(
0
E A)
1
(
0
E A)B(
0
)
:= D +C(
E

A)
1
B(
0
),
where

E and

A are such that
0

E

A = I. With this, we obtain
T() = D +C
_

E
1
A
_
1
B
= D +C
_

E
1
(
0

E I)
_
1
B
= D +C
_
1
I

E
_
1
B.
Notice that this expression exhibits the same features as the proper case, having a single pole
matrix

A :=

E, i.e.,
T() = D +C
_
1
0

I

A
_
1
B.
and furthermore
lim
0
C
_
1
0

I

A
_
1
B = 0, T(
0
) = D.
2.2.3 Structural elements in terms of realizations
In this subsection we dene the structural elements of a RMF, i.e., poles, zeros and their struc-
tural indices, as well as left and right minimal indices in terms of a particular realization. It
turns out that if the realization exhibits certain properties, like minimality or irreducibility, then
all the structural elements of T() can be read from the singular structure of two polynomial
matrices associated with any realization. We shall discuss this topic for centered realizations.
We will also characterize the structural properties of a linear descriptor system, namely
controllability, observability, minimality, irreducibility, etc.
13
Let T() be an arbitrary RMF and let
T() =
_
AE B
C D
_
0
(2.30)
be a realization centered at
0
C. Assume that the realization is proper, i.e.
0
is not a pole
of T. For this realization we dene the pole pencil T() := AE, and the system pencil
o() :=
_
AE B( )
C D
_
=
_
A B
C D
_
_
E B
0 0
_
, (2.31)
where and are chosen according to (2.16). We give now an important theorem which
characterizes all the structural indices of a rational matrix function.
Theorem 2.11. Let T() be given by a proper minimal realization of the form (2.30) and
associate with it the pole pencil A E and the system pencil o() given in (2.31). Then we
have:
(i) Poles. The poles of T() are the generalized eigenvalues of the pole pencil. Moreover, the
modulus of the strictly negative structural indices of T() at a pole C are pairwise
equal to the multiplicities of as a generalized eigenvalue of the pole pencil.
(ii) Finite zeros. The nite zeros of T() are the nite generalized eigenvalues of the system
pencil. Moreover, the strictly positive structural indices of T() at a zero C are
pairwise equal to the partial multiplicities of as a generalized eigenvalue of the system
pencil.
(iii) Innite zeros. T() has innite zeros if and only if the system pencil has an innite gen-
eralized eigenvalue with a partial multiplicity strictly greater than 1. Moreover, the strictly
positive structural indices of T() at are pairwise equal to the partial multiplicities of
the innite generalized eigenvalues of the system pencil minus 1.
(iv) Minimal indices. The minimal indices to the left (right) of T() are pairwise equal to
the elementary left (right) Kronecker indices of the system pencil.
The previous theorem shows that, provided we have a minimal realization for T(), the
problem of computing the Smith-McMillan invariants and the left and right minimal indices of
T() is reducible to the simpler problem of computing the eigenstructure of two matrix pencils,
for which there are available numerically sound algorithms, see for example Van Doreen 1979;
Oara and Van Doreen 1997; Oara, Van Dooren, and Varga 2000.
Controllability and observability (and the less restrictive properties stabilizability and de-
tectability) are important structural properties in systems theory. In the case of linear systems
they admit purely algebraic characterizations in terms of the system matrices. The characteri-
zations of controllability and observability given in the following denition are an extension of
the Popov-Belevitch-Hautus tests.
Denition 2.12. Let
0
C and C. Consider that the order of the realization (2.30) to
start with is n.
Controllability & Stabilizability. The pair (AE, B) is called controllable if
rank
_
AE B
_
= n, C ,
rank
_
E B
_
= n, = ,
(2.32)
and simply controllable if = . Furthermore, if = D the pair is called stabilizable.
14
Observability & Detectability. The pair (C, AE) is called observable if
rank
_
AE
C
_
= n, C ,
rank
_
E
C
_
= n, = ,
(2.33)
and simply observable if = . Furthermore, if = D the pair is called detectable.
Controllability and observability are dual properties in the following sense. The pair
(A E, B) is controllable if and only if the pair (B
, A
) is observable, and the pair

(C, AE) is observable if and only if the pair (A
, C
) is controllable.
A realization that is both controllable and observable is called irreducible. The realization
is called minimal if its order is as small as possible. Notice that an irreducible proper realization
is automatically minimal.
However, the most important property of proper realizations (2.30) is that their minimal
order coincides with the McMillan degree of T() as shown in Theorem 4 in (Oara and Sabau
2009) which is a straightforward extension of the Kalman canonical decomposition in the stan-
dard case (in which the realization is centered at
0
= , see for example Verghese, Van Dooren,
and Kailath 1979).
2.3 Discrete-Time Descriptor Systems
In this section we will discuss discrete-time descriptor systems ( = z) from the dynamical
point of view. A linear, time-invariant, discrete-time descriptor system may be described by the
following equations:
_
Ex
k+1
+Bu
k+1
= Ax
k
+Bu
k
y
k
= Cx
k
+Du
k
, k = 0, 1, . . . (2.34)
where x
k
x(t
k
) C
n
is the state vector, u
k
C
m
is the control input, and y
k
C
p
is the
measured output. Here, A, E C
nn
, B C
nm
and C C
pn
are constant matrices. Without
loss of generality, assume that the matrix E is singular having rank E < n.
Apply the Z Transform to the system (2.34) to obtain
(zE A)x(z) = B( z)u(z) x(z) = (zE A)
1
B( z)u(z)
y(z) = Cx(z) +Du(z) y(z) =
_
D +C(zE A)
1
B( z)
_
u(z)
,
where z C is a complex variable and by abuse of notation x(z) is the unilateral Z Transform of
x. Further, notice that the transfer function for the input u to the output y, i.e., y(z) = Tu(z),
is given by the expression
T(z) = D +C(zE A)
1
B( z).
But this is exactly a centered realization of a general rational matrix function, also given in
(2.17). Here, and are chosen such that
0
:=

is not an generalized eigenvalue of the pole

pencil AzE.
As pointed out in the previous section, there are two invertible matrices Q and Z that
15
bring the pole pencil to the Weierstrass canonical form
Q(AzE)Z =
_
A
1
zI
n
1
0
0 I
n
2
zN
_
, (2.35)
with N nilpotent having the nilpotent index h, A
1
C
n
1
n
1
, N C
n
2
n
2
, n
1
+ n
2
= n. With
the change of variables
x = Z
_
x
1
x
2
_
,
with x
1
C
n
1
, x
2
C
n
2
, the system (2.34) can be written as
_
_
EZ
_
x
1
x
2
_
+Bu = AZ
_
x
1
x
2
_
+Bu
y = CZ
_
x
1
x
2
_
+Du
, (2.36)
where by we denote the sht-operator, dened on the space of vector valued sequences w =
(w
k
)
kZ
as (w)
k
:= w
k+1
, with k Z. Pre-multiply by Q the rst equation of (2.36) to obtain
_
I 0
0 N
_ _
x
1
x
2
_
+QBu =
_
A
1
0
0 I
_ _
x
1
x
2
_
+QBu. (2.37)
Finally, the system (2.34) can be written equivalently as
_
_
x
1
+B
1
u = A
1
x
1
+B
1
u
Nx
2
+B
2
u = x
2
+B
2
u
y = C
1
x
1
+C
2
x
2
+Du
, (2.38)
with QB =:
_
B
1
B
2
_
, CZ =:
_
C
1
C
2
_
. Note that for an improper realization (centered at
0
= ) we have that = 1, = 0 and the equations can be written as
_
x
1
= A
1
x
1
+B
1
u
y
1
= C
1
x
1
+Du
,
_
Nx
2
= x
2
+B
2
u
y
2
= C
2
x
2
. (2.39)
Further, observe that the form (2.39) exhibits two subsystems, a standard one, which we will
call the forward subsystem and a subsystem with all poles at , the backward subsystem.
The forward subsystem is a discrete-time standard system whose state is
x
1
(k) = A
k
1
x
1
(0) +
k1
i=0
A
ki1
1
B
1
u(i), (2.40)
in which there exists a causal relationship between state and inputs. The backward system
is a backward recurrence of state. By repeatedly left multiplying the rst equation with
I, N, N
2
, . . . , N
h1
, and sum all up (see Dai 1989) we have
x
2
(k) =
h1
i=0
N
i
B
2
u(k +i), (2.41)
for which we see that to determine x
2
(k) future inputs are needed, and thus the system is
anti-causal. Combining (2.40) and (2.41) we can easily obtain the general state for the system.
An excellent discussion on various topics of interest for this thesis, e.g. stability in Lya-
16
punovs sense, stabilizability, (R-, impulse) controllability, detectability, (R-, Y-) observability,
pole-placement etc. can be found in the book of Dai 1989. We will further state a result of
interest for this study.
Theorem 2.13. The discrete-time system (2.34) is stable i its pole set (A zE) is inside
the open unit disk on the complex plane, which is denoted D. The closure of this set, i.e., the
unit circle, will be denoted D.
Remark 2.14. According to the theorem, a stable system has the matrix E invertible, since
there are no poles at innity (the realization is assumed minimal). Thus the descriptor system
is a standard system, being causal as well.
Let u = Fx + v, where F C
mn
is an arbitrary matrix. With this change of variable,
the descriptor system (2.34) becomes
_
(E +BF)x +Bv = (A+BF)x +Bv
y = (C +DF)x +Dv
. (2.42)
The pole pencil for this system is (A+BF) z(E +BF) AzE +BF(z). But this
is the generalized eigenvalue assignment problem. The solution is available in the literature, see
for example (Dai 1989; Oara and Varga 1999). We state now a result of interest.
Lemma 2.15. Let (AzE, B) be a controllable pair, and let C be a set of n elements (not
necessarily distinct, and possibly containing innity), and let , C, not both zero, such that
, (AzE) and

, . Then there exists a matrix F such that

(AzE +BF( z)) = .
The next result is given in (Theorem 2, Oara and Sabau 2011) and it provides existence
conditions in order to stabilize a given matrix pencil.
Lemma 2.16. Let (AzE, B) be a stabilizable pair and
0
:=

C(AzE). Then there

exists a matrix F such that
_
AzE +BF( z)
_
D. (2.43)
2.3.1 An evaluation of the ]
2
norm
We shall assume that the control energy is nite, i.e., u
+
2
. Here,
2
is an innite dimensional
Hilbert space, consisting in the set of all complex square summable sequences u u
k
kZ
, i.e.,
k=
[u
k
[
2
< , u, w) :=
k=
u
k
w
k
.
Naturally,
+
2
is the closed subspace of
2
of sequences with positive support k 0. Let /
2
(D)
be the Hilbert space of matrix-valued complex functions T(z) for which the /
2
(D)norm,
|T|
2
2
:=
1
2
_
2
0
Trace
_
T
(e
j
)T(e
j
)
_
d (2.44)
is nite. If T(z) is a RMF, then its /
2
(D)norm is nite if and only if it has no poles on the
unit circle. The ]
2
norm is dened for stable rational matrices and has the same expression
(2.44).
We give now a useful evaluation of the ]
2
norm of a stable system in terms of the
output y
i
in the case in which its input is a unit impulse, u
i
= e
i
i = 1, . . . , m, where is the
discrete-time unit impulse and e
i
, i = 1, . . . , m is the canonical basis for R
m
.
17
Lemma 2.17. Let
T(z) =
_
AzE B
C 0
_
0
(2.45)
be a minimal realization of an arbitrary discrete-time descriptor system with no poles on the
unit circle, AzE stable, and
0
D. Then
|T|
2
2
=
m
i=1
|y
i
|
2
2
. (2.46)
Proof. Since the system has no poles on the unit circle and AzE is stable, the ]
2
norm is
well-dened and nite. Note that the matrix E is invertible and the system T(z) is causal, see
Remark 2.14. Let T
k
, k = 0, 1, . . . be the causal impulse matrix
y
i
k
= T
k
e
i
, i = 1, . . . m, k = 0, 1, . . .
We obtain successively
m
i=1
|y
i
|
2
2
=
m
i=1
kZ
(y
i
k
)
T
y
i
k
=

kZ
m
i=1
e
T
i
T
T
k
T
k
e
i
=

kZ
Trace
_
T
T
k
T
k
_
. (2.47)
Using the discrete-time version of the Parsevals formula
kZ
Trace
_
T
T
k
T
k
_
=
1
2
_
2
0
Trace
_
T
(e
j
)T(e
j
)
_
d
we obtain (2.46). This completes the proof.
2.3.2 Connections
We will discuss here some useful connections in the sequel, namely the Linear Fractional Trans-
formation LFT and the Redheer product.
The LFT can be viewed as an extension to RMF of the well-known conformal mapping
called Moebius transformation, namely
f(z) =
a +bz
c +dz
, a, b, c, d C.
Consider two discrete-time descriptor systems given by
_
_
Ex +B
1
w +B
2
u = Ax +B
1
w +B
2
u
z = C
1
x +D
11
w +D
12
u
y = C
2
x +D
21
w
, (2.48)
and
_
E
K
x
K
+B
K
u
K
= A
K
x
K
+B
K
u
K
y
K
= C
K
x
K
+D
K
u
K
(2.49)
having the RMF
T(z) =
_
T
11
T
12
T
21
T
22
_
=
_
_
AzE B
1
B
2
C
1
D
11
D
12
C
2
D
21
0
_
0
(2.50)
18
and
K(z) =
_
A
K
B
K
C
K
D
K
_
0
, (2.51)
respectively. A partitioned system of type (2.50) will be called a generalized system. If T
22(z)
has the number of inputs and outputs equal to the numbers of outputs and inputs of K(z),
respectively, then we dene the lower linear fractional transformation (LLFT) of T(z) with
K(z) (in this order) as the system with input w and output z obtained by setting u = y
K
and
u
K
= y. Note that the connection is automatically well-posed, since the matrix
_
I 0
D
K
I
_
is invertible. Thus the RMF of the resulting system is dened as
T
R
(z) = LLFT(T, K) := T
11
+T
12
K(I T
22
K)
1
T
21
(2.52)
and has a realization given by
T
R
(z) =
_
_
AzE +B
2
D
K
C
2
( z) B
2
C
K
( z) B
1
+B
2
D
K
D
21
B
K
C
2
( z) A
K
zE
K
B
K
D
21
C
1
+D
12
D
K
C
2
D
12
C
K
D
11
+D
12
D
K
D
21
_
0
. (2.53)
We shall dene now the Redheer Product. This connection is an extension of the LFT.
Consider two generalized systems (2.48) and
_
_
E
K
x
K
+B
K1
w
K
+B
K2
u
K
= A
K
x
K
+B
K1
w +B
K2
u
K
z
K
= C
K1
x
K
+D
K11
w
K
+D
K12
u
K
y
K
= C
K2
x
K
+D
K21
w
K
, (2.54)
having the transfer function matrices given by (2.50) and
K(z) =
_
K
11
K
12
K
21
K
22
_
=
_
_
A
K
zE
K
B
K1
B
K2
C
K1
D
K11
D
K12
C
K2
D
K21
0
_
0
, (2.55)
respectively. If the number of inputs and outputs of T
22
(z) is equal to the number of outputs
and inputs of K
11
(z), then we dene the Redheer product of T(z) with K(z) (in this order)
as the system with input
_
w
u
K
_
and output
_
z
y
K
_
obtained by setting w
K
= y and u = z
K
.
The connection is automatically well-posed, since the matrix
_
I 0
D
K11
I
_
is invertible. Thus the RMF of the resulting system is dened as T
R
(z) = T K and has a
realization given by
T
R
(z) =
_
_
AzE +B
2
D
K11
C
2
( z) B
2
C
K1
( z) B
1
+B
2
D
K11
D
21
B
2
D
K12
B
K1
C
2
( z) A
K
zE
K
B
K1
D
21
B
K2
C
1
+D
12
D
K11
C
2
D
12
C
K1
D
11
+D
12
D
K11
D
21
D
12
D
K12
D
K21
C
2
C
K2
D
K21
D21 0
_
0
.
(2.56)
Note that the formulas are a generalization of the standard case with E = I, = 1, = 0, see
(Ionescu, Oara, and Weiss 1999; Zhou, Doyle, and Glover 1996).
19
3 Optimality and Descriptor Riccati Equations
W
e introduce in this chapter the notion of a Popov Quadruple and various associated ob-
jects, which provides a general and elegant framework for the theoretical developments
in this thesis. Further, we will present a special type of Riccati equation, namely the descriptor
discrete-time Riccati equation (DDTARE). We will also give computable formulas and solv-
ability conditions for the DDTARE. The linear quadratic problem for descriptor discrete-time
systems will be stated and solved. We shall denote throughout the thesis z := C the complex
variable for discrete-time systems.
3.1 Popov Quadruples and associated objects
Denition 3.1. Popov Quadruples. A quadruple of matrices
:= (AzE, B; P), P :=
_
Q L
L
R
_
= P
, (3.1)
where A, E C
nn
, B C
nm
, Q = Q
C
nn
, L C
nm
, R = R
C
mm
and P
C
(n+m)(n+m)
is called a Popov quadruple. The more detailed form, i.e., = (AzE, B; Q, L, R)
will be also frequently used.
A Popov quadruple can be seen as a synthetic representation of a discrete-time descriptor
system and an associated quadratic performance (cost) index:
Ex +Bu = Ax +Bu, x
0
=: , (3.2)
J
(, u) :=
k=0
_
x
k
u
k
_
P
_
x
k
u
k
_
, (3.3)
where
0
:=

is not a generalized eigenvalue of the pole pencil A zE. Further, we associate

with = (AzE, B; Q, L, R) and the criterion (3.3) several mathematical objects. The discrete-
time descriptor system
Ex + Bu = Ax + Bu
Qx A
+ Lu = Qx E
+ Lu
v = L
x B
+ Ru
, (3.4)
is called the descriptor discrete-time Hamiltonian system associated with , denoted DDTHS().
We shall be interested in those triplets (x, , u) that annihilate the output v of the Hamiltonian
system.
Consider a hermitian matrix X = X
C
nn
. The dissipation matrix associated with
is dened as
D
(X) :=
_
E
XE A
XA+Q (E A)
XB +L
B
X(E A) +L
R
_
. (3.5)
20
Chapter 3. Optimality and Descriptor Riccati Equations
We call the system of equations
D
(X)
_
I
F
_
= 0 (3.6)
in the unknowns F C
nm
, X C
nn
, the descriptor discrete-time algebraic Riccati system
associated with , and we denote it as DDTARS(). A pair (X, F) with X hermitian is called
a stabilizing solution if it satises (3.6), and the matrix pencil z(E + BF) (A + BF) is
stable, i.e., (z(E +BF) (A+BF)) D. It is well-known that the stabilizing solution is
unique. The proof of this claim is very similar to the standard case, see e.g. (Ionescu, Oara,
and Weiss 1999), and therefore is omitted.
Consider now that the matrix R is nonsingular, i.e., invertible. Writing down the two
equations from (3.6) we get that
F := R
1
(B
X(E A) +L
), (3.7)
E
XE A
XA+Q+ ((E A)
XB +L) F = 0. (3.8)
Substituting (3.7) in (3.8) we obtain
E
XE A
XA+Q((E A)
XB +L) R
1
(B
X(E A) +L
) = 0, (3.9)
known as the descriptor discrete-time algebraic Riccati equation associated with , and denoted
DDTARE(). The hermitian matrix X = X
is called the stabilizing solution to DDTARE()

if the matrix pencil z(E +BF) (A+BF) is stable. It is proved in (Oara and Andrei 2013,
Theorem 3) that the stabilizing solution is unique. Moreover, the equation (3.9) is associated
with a state-space system of the form
T(z) = D +C(zE A)
1
B( z).
and the quadratic criterion (3.3). We will further analyze this remark in the sequel.
A slightly more general form of the Riccati objects can be found in (Oara and Sabau
2009), namely DDTARS and DDTARE in Jform, respectively, where J is a sign matrix,
J =
_
I
m
1
I
m
2
_
, m = m
1
+m
2
.
For any sign matrix J introduce the Kalman-Szego-Popov-Yakubovich system in J-form KSPYS(, J):
R = V
JV
(E A)
XB +L = W
JV
E
XE A
XA+Q = W
JW
, (3.10)
where R C
mm
is nonsingular. Here X = X
C
nn
, V C
mm
and W C
mn
. Since
R is assumed invertible, it follows from the rst equation of (3.10) that a necessary solvability
condition for the KSPYS(, J) is the invertibility of J. Moreover, R should satisfy sgn (R) = J.
A triplet of matrices (X = X
, V, W) satisfying (3.10) such that z(E + BF) (A + BF) is

stable, for
F := V
1
W (3.11)
is called a stabilizing solution to the KSPYS(, J) and F is called the stabilizing feedback.
The following result is a slightly modied version of Lemma 2.1 in (Ionescu 1999) and
gives a relation between D
(X) and the KSPYS(, J).

Lemma 3.2. The following statements are equivalent.
21
(i) There exists X = X
for which D
(X) admits a J-factorization

D
(X) =
_
W
_
J
_
W V
_
.
(ii) The KSPYS(, J) has a solution (X = X
, V, W).
The proof follows mutatis mutandis from the standard case. We are now ready to give an
important denition, on which Popovs positivity theory is based, see (Popov 1973).
Denition 3.3. For J = I
m
, the KSPYS (3.10) is known as the KSPYS(, I) in positivity
form and it reads
R = V
V,
(E A)
XB +L = W
V,
E
XE A
XA+Q = W
W.
(3.12)
Moreover, the Popov Quadruple = (AzE, B; Q, L, R) will be called positive if there exists a
triplet of matrices (X = X
, V, W) such that (3.12) holds for J = I

m
.
The following particular matrix pencil will be used to characterize and compute the so-
lutions to the DDTARE(). It is the corresponding extension, for the problem at hand, of the
symplectic pencils introduced in (Van Doreen 1981a).
Denition 3.4. The (2n +m) (2n +m) matrix pencil zM
, with
M
=
_
_
E 0 B
Q A
L
0 0 0
_
_, N
=
_
_
A 0 B
Q E
L
L
R
_
_ (3.13)
is called the descriptor symplectic pencil associated with , denoted DSP().
Notice that the DSP() can be regarded as the transmission pencil of the Hamiltonian
system (3.4). If we take the output v 0 and denote
p :=
_
_
x
u
_
_,
we can write the DDTHS() in (3.4) in the descriptor form M
p = N
p. Apply the Z
transform to obtain the DSP() zM
. The transfer function matrix (TFM) from u to v

of the Hamiltonian system (3.4) is called the Popov function associated with (Popov 1973),
and it is given by
(z) :=
_
_
zE A 0 B
Q( z) zA
L
L
R
_
0
, (3.14)
where
0
:=

/ (zE A) (zA
). It can be easily checked that
(z) =
_
B
(E
zA
)
1
( z)
I
_
_
Q L
L
R
_ _
(zE A)
1
B( z)
I
_
. (3.15)
3.2 The stabilizing solution of the Descriptor Riccati Equation
In this section we investigate the numerical solution of the DDTARE() in (3.9). We will give
numerically checkable conditions and computable formulas for the unique stabilizing solution.
The discussion is based on (Oara and Andrei 2013).
22
We claim that if
0
:=

is not among the generalized eigenvalues of the matrix pencil

zE A, with , chosen according to (2.16), then the matrix (E A) is invertible. Indeed,
if
0
/ (zE A) then det(
0
E A) ,= 0. But this is equivalent to det(E A) ,= 0 and the
claim is proved.
A useful characterization of the spectrum of the DSP() is given in (Proposition 7 in Oara
and Andrei 2013). Also, Lemma 2.2 and Proposition 7 from the same reference implies that the
DSP() has an n dimensional deating subspace with stable spectrum (included in D) if and
only if there the DSP() has no nite generalized eigenvalues with modulus equal to 1. We give
now an important result for this exposition.
Theorem 3.5. Assume that E A is invertible. The following statements are equivalent.
(i) R is invertible and DDTARE() (3.9) has a stabilizing solution.
(ii) The DSP() is regular and has a maximal ndimensional stable deating subspace having
a basis matrix
V =
_
_
V
1
V
2
V
3
_
_
n
n
m
, (3.16)
with invertible V
1
. Moreover, the stabilizing solution can be computed from
X = V
2
V
1
1
(E A)
1
(3.17)
and the stabilizing Riccati feedback can be computed from
F = V
3
V
1
1
. (3.18)
Proof. (i) (ii) Since E A and R are both invertible, (Proposition 7 in Oara and Andrei
2013) shows that the DSP() is regular. Let X be the stabilizing solution of the DDTARE and
F the stabilizing Riccati feedback. Then, from Lemma 2.2 there is a regular pencil zT S with
(zT S) D such that
(E +BF)S = (A+BF)T (3.19)
Further, the DDTARE (3.9) can be written as E
XEA
XA+Q+((E A)
XB +L) F = 0.
Post-multiply this expression with S T, pre-multiply (3.19) with (A E)
X and sum
the two expressions to obtain
(A
X(E A) +LF +Q) S = (E
X(E A) +LF +Q) T. (3.20)

From the DDTARE we can also write B
X(E A) + L
+ RF = 0 which, together with

(3.19) and (3.20), leads to
_
_
E 0 B
Q A
L
0 0 0
_
_
_
_
I
X(AE)
F
_
_S =
_
_
A 0 B
Q E
L
L
R
_
_
_
_
I
X(AE)
F
_
_T. (3.21)
But this is equivalent to M
V S = N
V T, where zM
is the DSP(), and Im(V ) =: 1 is

its stable ndimensional deating subspace. This ends the rst part of the proof.
The second part of the proof, i.e., (ii) (i) follows the same line as the proof of Theorem
10 in Oara and Andrei 2013.
The following lemma gives a useful relation between the solutions of the DDTARE() and
the solutions of the KSPYS(, I) in positivity form.
23
Lemma 3.6. The DDTARE (3.9) has a hermitian stabilizing solution X if and only if the
KSPYS (3.12) has a stabilizing solution (X = X
, V, W).
Proof. First, consider that (X = X
, V, W) satises the KSPYS (3.12). From the rst and the

last equation in (3.12) we get
V = V
= R
1/2
,
W = W
= (E
XE A
XA+Q)
1/2
.
(3.22)
Subtitute this in the unused equation of (3.12) to obtain
L + (E A)
XB = (E
XE A
XA+Q)
1/2
R
1/2
,
(L + (E A)
XB) R
1/2
= (E
XE A
XA+Q)
1/2
.
(3.23)
Multiply the last expression with R
1/2
(L
+B
X(E A)) to arrive at the DDTARE (3.9).

This completes the rst part of the proof.
Conversely, if X is a hermitian solution to (3.12), then we can choose a V such that the
rst equation of (3.12) is satised. Further, dene W such that it satises the second equation
and it follows that it satises also the third equation in (3.12). Also, it is easy to see that the
stabilizing Riccati feedbacks are equal:
F = R
1
(L
+B
X(E A))
= V
1
W
. (3.24)
This completes the proof.
3.3 Descriptor Linear Quadratic Problem
In this section we deal with the optimal control of discrete time descriptor systems with a
quadratic performance criterion. Consider the system given in (3.2) with the initial condition
arbitrary xed x(0) := . The objective is to nd a control sequence u
k
dened on Z
+
such that
the state x
k
is driven to the origin at k while the performance index (3.3) is minimized,
that is
min
u
J
(, u) min
u
k=0
_
x
k
u
k
_
_
Q L
L
R
_ _
x
k
u
k
_
, (3.25)
for some Q = Q
, R = R
> 0. This is a generalization of the standard Linear Quadratic

Problem originated in (Kalman 1964), which we call the Descriptor Linear Quadratic Problem
associated with the Popov quadruple , DLQP(). Here we have assumed that R > 0 to
emphasis that the control energy has to be nite, i.e., u
+
2
. So this is the space over which
the sum is minimized. It is also generally assumed that P 0, and therefore can be factored as
P :=
_
Q L
L
R
_
=
_
C
1
D
12
_
_
C
1
D
12
_
=
_
C
1
C
1
C
1
D
12
D
12
C
1
D
12
D
12
_
. (3.26)
for some C
1
C
pn
, D
12
C
pm
having appropriate dimensions. Note that with the factoriza-
tion (3.26) the Popov Quadruple can be written as
12
:= (A zE, B; C
1
C
1
, C
1
D
12
, D
12
D
12
)
and the KSPYS(
12
, I) (3.12) in the positivity form becomes
D
12
D
12
= V
V
(E A)
XB +C
1
D
12
= W
V
E
XE A
XA+C
1
C
1
= W
W
(3.27)
24
As we will see in the sequel, it is useful to consider realizations centered on the unit circle
D, i.e.
0
D. For this purpose, consider = e
j
0
,
0
R and let := = e
j
0
. Thus
0
=

=

2
[[
=
2
= e
2j
0
D,
where
0
=
2
is not among the generalized eigenvalues of the matrix pencil AzE. It implies
that
2
is not a pole of the rational matrix function T
12
(z) := D
12
+ C
1
(zE A)
1
B( z)
and thus the centered realization on the unit circle of T
12
(z) is proper.
We are now ready to state the DLQP(). Consider the discrete time descriptor system
_
Ex +Bu = Ax +Bu , x(0) =: ,
z = C
1
x +D
12
u ,
(3.28)
where D (the unit circle) and assume that the parameter matrices satisfy the following
hypotheses:
(H
1
) The pair (AzE, B) is stabilizable;
(H
2
) rank
_
Ae
j
E B( e
j
)
C
1
D
12
_
= n +m, [0, 2).
Find an optimal control sequence u
+
2
such that the feedback system is internally stable and
the performance criterion J
(, u) |z|
2
2
is minimized, that is,
min
u
+
2
|C
1
x +D
12
u|
2
2
.
Remark 3.7. The hypothesis (H
1
) is clearly necessary for the existence of a stabilizing control
sequence u.
Remark 3.8. If the hypothesis (H
2
) holds true, then for = 2
0
where
0
is such that = e
j
0
we get
rank
_
Ae
2j
0
E 0
C
1
D
12
_
= n +m rank D
12
= m, (3.29)
or D
12
C
pm
has full column rank. Thus R D
12
D
12
is invertible.
Remark 3.9. The hypothesis (H
2
) ensure that the RMF T
12
(z) has no zeros on the unit circle
and therefore the associated DSP(
12
)
z
_
_
E 0 B
C
1
C
1
A
1
D
12
0 0 0
_
_
_
_
A 0 B
C
1
C
1
E
1
D
12
D
12
C
1
B
12
D
12
_
_ (3.30)
has no generalized eigenvalues on the unit circle. With Lemma 2.2 and (Proposition 7 in Oara
and Andrei 2013), it follows that the DSP(
12
) has an n dimensional stable deating subspace,
with a basis matrix partitioned as in (3.16). It was shown in (Oara and Andrei 2013) that V
1
in (3.16) is invertible, and thus the stabilizing hermitian solution X exists.
Therefore, provided that the hypotheses (H
1
) and (H
2
) hold true, and D
12
has full column
rank, we can conclude that the DDTARE(
12
)
E
XEA
XA((E A)
XB +C
1
D
12
) (D
12
D
12
)
1
(D
12
C
1
+B
X(E A))+C
1
C
1
= 0
has a stabilizing hermitian solution X = X
. We are now ready to state the main result of this

section.
25
Theorem 3.10. There exists a unique optimal control sequence for the DLQP(
12
) problem,
namely u
k
= Fx
k
, with
F = (D
12
D
12
)
1
(D
12
C
1
+B
X(E A)) . (3.31)

Moreover,
min
u
+
2
|z|
2
2
=
X . (3.32)
Proof. Consider the KSPYS(
12
, I) in (3.27) associated with the DDTARE(
12
). Then with
(H
1
), (H
2
), Remark 3.9, and Lemma 3.6 it follows that the KSPYS(
12
, I) has a stabilizing
solution (X = X
, V, W), with the stabilizing Riccati feedback F = V

1
W. Note that the
matrix pencil z(E +BF) (A+BF) is stable, i.e.,
(z(E +BF) (A+BF)) D. (3.33)
With the change of variable v
k
:= u
k
Fx
k
, the system (3.28) can be written as
_
(E +BF)x
k+1
+Bv
k
= (A+BF)x
k
+Bv
k
, x(0) =
z
k
= (C
1
+D
12
F)x
k
.
(3.34)
Denote A
F
:= A + BF, E
F
:= E + BF and C
F
:= C
1
+ D
12
F. The closed-loop system is
thus stable. Further, insert the initial condition in the closed-loop dynamics to get a descriptor
system with x(0) = 0:
_
E
F
x
k+1
+Bv
k
+
k+1
= A
F
x
k
+Bv
k
+
k
,
z
k
= C
F
x
k
,
k = 0, 1, . . . (3.35)
where
k
kZ
is the unit discrete impulse. It is obvious that the optimality of the 2-norm
is reached, as in the standard case, for v
k
= 0, k Z, see (Chapter 14 in Zhou, Doyle,
and Glover 1996). Furthermore, note that in order to recover the DSP(
12
) from the Descriptor
Hamiltonian System DDTHS (3.4), we are interested in the triplets (x, , u) for which the output
v 0. Moreover, it is easy to see that elimination of x and in DDTHS (3.4) leads to u = Fx.
We will further evaluate the 2-norm for the sequence z
k
kZ
+
and obtain successively
using the KSPYS (3.27):
|z
k
|
2
= |C
1
x
k
+D
12
u
k
|
2
= (C
1
x
k
+D
12
u
k
)
(C
1
x
k
+D
12
u
k
)
= x
k
C
1
C
1
x
k
+x
k
C
1
D
12
u
k
+u
k
D
12
C
1
x
k
+u
k
D
12
D
12
u
k
(3.27)
= |Wx
k
+V u
k
|
2
+x
k
A
XAx
k
x
k
E
XEx
k
2 Re [x
k
(E A)
XBu
k
] .
Let u
k
= Fx
k
= V
1
Wx
k
for which the minimum is attained. The above expression trivially
becomes
min |z
k
|
2
= x
k
A
XAx
k
x
k
E
XEx
k
2 Re [x
k
(E A)
XBFx
k
]
= [x
k
A
XAx
k
+ 2 Re (x
k
A
XBFx
k
)] [x
k
E
XEx
k
+ 2 Re (x
k
E
XBFx
k
)] .
Note that
x
k
(A+BF)
X(A+BF)x
k
= x
k
A
XAx
k
+ 2 Re (x
k
A
XBFx
k
) +x
k
F
XBFx
k
,
x
k
(E +BF)
X(E +BF)x
k
= x
k
E
XEx
k
+ 2 Re (x
k
E
XBFx
k
) +x
k
F
XBFx
k
.
With this, obtain that min |z
k
|
2
= x
k
A
F
XA
F
x
k
x
k
E
F
XE
F
x
k
. But from the dynamics of the
system (3.35) with v
k
= 0, k we know that
E
F
x
k+1
= A
F
x
k

k
, x(0) = 0,
k
:=
k+1

k
.
26
Thus A
F
x
k
= E
F
x
k+1
+
k
. We evaluate the expression further to get
min |z
k
|
2
= (E
F
x
k+1
+
k
)
X(E
F
x
k+1
+
k
) x
k
E
F
XE
F
x
k
= x
k+1
E
F
XE
F
x
k+1
x
k
E
F
XE
F
x
k
+ 2 Re(
XE
F
x
k+1
) +
X[
k
[
2
.
(3.36)
Sum the both sides of the equality (3.36) from k = 0 to , i.e., in the
+
2
space:
min |z|
2
2
= 2 Re(
XE
F
x
1
) +[[
2
X. (3.37)
Here, we have considered that

k=0
_
x
k+1
E
F
XE
F
x
k+1
x
k
E
F
XE
F
x
k
_
= 0, since the system
(3.35) is stable and therefore lim
k
x
k
= 0. Further, observe that for k = 0 we get from (3.35)
E
F
x
1
= x
1
= E
1
F
.
With the expression of x
1
, (3.37) and [[
2
= 1 (because = e
j
0
D) we obtain the main
result min |z|
2
2
=
X. This ends the whole proof.

27
4 ]
2
Optimization Problem
I
n this chapter we consider the ]
2
Optimization Problem which consists in nding a controller,
for a given descriptor system, that stabilizes the resulting closed-loop system and minimizes
its input-output ]
2
norm. First of all, we formulate the problem. The main result is given in
Section 4.2 and its proof is based on some special problems, each solved in the following section.
We will also give a second proof of our main result, which is based on a successive reduction to
simpler problems.
4.1 Problem formulation
Consider a discrete-time descriptor system with input
_
w
u
_
and output
_
z
y
_
having the
rational matrix function (RMF) T(z) C
pm
(z) partitioned as
_
z
y
_
= T
_
w
u
_
=
_
T
11
T
12
T
21
T
22
_ _
w
u
_
, (4.1)
where T
ij
C
p
i
m
j
(z) with i, j 1, 2 and m := m
1
+m
2
, p := p
1
+p
2
. Associate with T(z)
a centered minimal realization given by
T(z) =
_
_
AzE B
1
B
2
C
1
0 D
12
C
2
D
21
0
_
0
=
_
0 D
12
D
21
0
_
+
_
C
1
C
2
_
(zE A)
1
_
B
1
B
2
_
( z),
(4.2)
where A, E C
nn
, B
i
C
nm
i
, C
j
C
p
j
n
and D
ij
C
p
i
m
j
, with i, j 1, 2. The minimal
realization is centered at
0
:=
2
D, having [[
2
= 1. We will assume in the sequel that the
matrix pencil AzE is regular, i.e., det(zEA) ,= 0, and that
0
is not among the generalized
eigenvalues of AzE.
In the time domain setting, the generalized plant is given by
_
_
Ex +B
1
w +B
2
u = Ax +B
1
w +B
2
u
z = C
1
x +D
12
u
y = C
2
x +D
21
w
, (4.3)
where by is the sht-operator. Further, dene a controller for the plant (4.3) as the linear
discrete-time descriptor system
_
E
K
x
K
+B
K
u
K
= A
K
x
K
+B
K
u
K
y
K
= C
K
x +D
K
u
K
, (4.4)
28
Chapter 4. ]
2
having the RMF
K(z) =
_
A
K
zE
K
B
K
C
K
D
K
_
0
=
2
. (4.5)
The closed-loop system is obtained by connecting the controller (4.4) to the plant (4.3) such
that u y
K
and u
K
y. After some algebra we nd that the closed-loop system with input w
and output z, i.e. z = T
CL
w is given by
T
CL
= LLFT(T, K) = T
11
+T
12
K(I T
22
K)
1
T
21
, (4.6)
T
CL
(z) =
_
_
AzE +B
2
D
K
C
2
( z) B
2
C
K
( z) B
1
+B
2
D
K
D
21
B
K
C
2
( z) A
K
zE
K
B
K
D
21
C
1
+D
12
D
K
C
2
D
12
C
K
D
12
D
K
D
21
_
0
=
2
. (4.7)
We can now formulate the optimal ]
2
Control Problem: given a plant T(z), nd an
appropriate controller K(z) such that the closed-loop system is internally stable, i.e.
(A
CL
zE
CL
) D
and has minimum ]
2
norm, i.e. |T
CL
|
2
attains its minimum over the class of stabilizing
controllers. In this formulation we have implicitly assumed that T
11
(
2
) = D
11
= 0 and
T
22
(
2
) = D
22
= 0. The assumptions are made for simplifying the formulas, with no loss of
generality. Indeed, if K is a solution to the problem with D
22
= 0, then K(I + D
22
K)
1
is a
solution for the original problem. The case D
11
,= 0 will be discussed in the sequel.
4.2 Main result
We give directly the main result and divide its proof into several steps.
Theorem 4.1. Consider the system T(z) be given by (4.2) and let
0
=
2
D not a pole of
AzE. Assume the following hypotheses hold:
(H1) The pair (AzE, B
2
) is stabilizable and
rank
_
Ae
j
E B
2
( e
j
)
C
1
D
12
_
= n +m
2
, [0, 2) . (4.8)
(H2) The pair (C
2
, AzE) is detectable and
rank
_
Ae
j
E B
1
( e
j
)
C
2
D
21
_
= n +p
2
, [0, 2) . (4.9)
Then the DDTARE (
12
) and the DDTARE (
21
)
E
XEA
XA((E A)
XB
2
+C
1
D
12
) (D
12
D
12
)
1
(D
12
C
1
+B
2
X(E A))+C
1
C
1
= 0
(4.10)
EY E
AY A
((E A)Y C
2
+B
1
D
21
) (D
21
D
21
)
1
(D
21
B
1
+C
2
Y (E A)
)+B
1
B
1
= 0
(4.11)
have stabilizing hermitian solutions X = X
and Y = Y
, i.e.,
((A+B
2
F) z(E +B
2
F)) ((A+K
C
2
) z(E +K
C
2
)) D,
29
Chapter 4. ]
2
where
F := (D
12
D
12
)
1
(D
12
C
1
+B
2
X(E A)) , (4.12)
K := (D
21
D
21
)
1
(D
21
B
1
+C
2
Y (E A)
) (4.13)
are the stabilizing Riccati feedbacks. Moreover, there exists a proper controller given by
K(z) =
_
AzE + (B
2
F +K
C
2
)( z) K
F 0
_
0
=
2
(4.14)
that solves the optimal ]
2
control problem. Moreover, the optimal value of the ]
2
norm is
min
K stabilizing
|T
CL
|
2
2
= 2 Trace
_
Re(
2
WE
1
K
A
K
Y W
) WY W
_
+, (4.15)
where (X = X
, V, W) is the stabilizing solution of KSPYS(

12
), and C is given by
= 2 Trace
_
Re
_
2
B
1
X(AE
1
F
+I)B
2
FE
1
K
(B
1
+K
D
21
) +AE
1
F
B
1
_
B
1
XB
1
_
, (4.16)
with A
F
= A+B
2
F, E
F
= E +B
2
F, A
K
= A+K
C
2
, and E
K
= E +K
C
2
.
Remark 4.2. The hypotheses (AzE, B
2
) stabilizable and (C
2
, AzE) detectable are neces-
sary conditions for the existence of a stabilizing controller. Indeed, it is well-known that K(z)
internally stabilizes T(z) if and only if it internally stabilizes
T
22
(z) =
_
AzE B
2
C
2
0
_
0
=
2
.
The proof of this claim is similar with the proof in (Chapter 6, Zhou, Doyle, and Glover 1996).
Remark 4.3. If the hypothesis (4.8) holds true, then for = 2
0
where
0
is such that = e
j
0
we get
rank
_
Ae
2j
0
E 0
C
1
D
12
_
= n +m
2
rank D
12
= m
2
, (4.17)
or D
12
has full column rank. Thus D
12
D
12
is invertible. Further, if (4.9) holds true we get that
D
21
has full row rank, thus D
21
D
21
is invertible.
Remark 4.4. The positiveness Popov quadruples associated with T
12
(z) and T
21
(z) are
12
:= (AzE, B
2
; C
1
C
1
, C
1
D
12
, D
12
D
12
),
21
:= (AzE, C
2
; B
1
B
1
, B
1
D
21
, D
21
D
21
)
Remark 4.5. If the pencil A zE has no poles in 1 or 1 we can chose 1, 1, thus
= . In this case, the constant matrices to start with can be chosen with real elements.
Remark 4.6. The hypotheses (H
1
) and (H
2
) ensure that the RMFs T
12
(z) and T
21
(z) has
no zeros on the unit circle. Therefore, the DSP(
12
) and the DSP(
21
) have no generalized
eigenvalues on the unit circle. Thus, the DDTARE(
12
) and DDTARE(
21
), i.e., (4.10) and
(4.11), have stabilizing hermitian solutions X = X
and Y = Y
, see also Remark 3.9.

Remark 4.7. Since F and K are the stabilizing Riccati feedbacks, the matrix pencil AzE +
(B
2
F +K
C
2
)(z) is stable, and thus the controller is proper, i.e., K() is nite. Therefore,
the controller can be easily implemented on a hardware device.
Remark 4.8. The well-known separation property of the ]
2
optimal solution is reected in
our main result. Indeed, the controller (4.14) dynamics can be written in the observer form
_
E x +B
2
u +K
(C
2
x y) = A x +B
2
u +K
(C
2
x y)
u = F x
, (4.18)
30
Chapter 4. ]
2
where x is the optimal estimate of the state x. It remains to investigate if there are no guaranteed
stability margins for the ]
2
optimization problem, as in the standard case.
We proceed now with the proof which is based on the solution of some special problems,
each stated as a separate proposition. First of all, we solve a simpler problem, namely the Full
Information (FI) problem. Further, we solve two particular ]
2
optimization problems, namely
the two-block problem and its dual. Finally, we reduce the general ]
2
optimization problem
to the dual two-block problem, using the KSPYS as the main technical tool. The optimization
problems are developed under the simplifying assumption D
11
= 0. The case when D
11
,= 0 will
be discussed in detail.
4.3 Special Problems
4.3.1 The Full Information problem
The corresponding plant is given by
T
FI
(z) =
_
_
AzE B
1
B
2
C
1
0 D
12
_
I
0
_ _
0
I
_ _
0
0
_
_
0
=
2
. (4.19)
We shall assume that T
12
(z) has no zeros on the unit circle D and that
2
is not a generalized
eigenvalue of the pencil A zE. Note that for the FI problem the state and the disturbances
are available:
y =
_
I
0
_
x +
_
0
I
_
w =
_
x
w
_
.
Proposition 4.9. Consider the descriptor system T
FI
(z) given in (4.19) and let
0
=
2
D
not a pole of T. Assume that the pair (AzE, B
2
rank
_
Ae
j
E B
2
( e
j
)
C
1
D
12
_
= n +m
2
, [0, 2). (4.20)
Then the DDTARE (4.10) has a stabilizing hermitian solution X = X
. Moreover, there exists

a static controller given by
K
FI
=
_
F 0
_
(4.21)
that solves the FI ]
2
optimization problem, where F := (D
12
D
12
)
1
(D
12
C
1
+B
2
X(E A))
is the corresponding stabilizing Riccati feedback. Furthermore, the optimal value of the ]
2
norm
is
min
K stabilizing
|T
CL
|
2
2
= 2 Trace
_
Re(
2
B
1
E
F
A
F
XB
1
) B
1
XB
1
_
, (4.22)
where A
F
= A+B
2
F, E
F
= E +B
2
F.
Proof. Notice that
12
:= (A zE, B
2
; C
1
C
1
, C
1
D
12
, D
12
D
12
) is the positiveness Popov
Quadruple associated with T
12
(z). Then with the assumptions (A zE, B
2
) stabilizable and
(4.20) it follows that the DDTARE(
12
) has a stabilizing hermitian solution X, see Remark 3.9.
The control signal u is simply
u =
_
F 0
_
_
x
w
_
= Fx.
31
Chapter 4. ]
2
Therefore, the closed-loop dynamics is given by
_
(E +B
2
F)x +B
1
w = (A+B
2
F)x +B
1
w
z = (C
1
+D
12
F)x
. (4.23)
Denote A
F
:= A+B
2
F, E
F
:= E +B
2
F and C
F
:= C
1
+D
12
F. Thus
T
CL
(z) =
_
AzE +B
2
F( z) B
1
C
1
+D
12
F 0
_
2
=
_
A
F
zE
F
B
1
C
F
0
_
2
. (4.24)
But F is the Riccati stabilizing feedback having
((A+B
2
F) z(E +B
2
F)) (A
F
zE
F
) D,
and therefore the closed-loop system is internally stable.
It remains to prove that the optimality requirement is satised as well. Note from Theorem
3.10 that the minimality of the ]
2
norm is attained for u = Fx. Furthermore, the Hamiltonian
System associated with
12
Ex + B
2
u = Ax + B
2
u
C
1
C
1
x A
+ C
1
D
12
u = C
1
C
1
x E
+ C
1
D
12
u
v = D
12
C
1
x B
2
+ D
12
D
12
u
(4.25)
has the output v 0 for u = Fx. The optimality is therefore reached. Recall that the DDTARE
(4.10) has a stabilizing solution i the KSPYS in the positivity form,
D
12
D
12
= V
V,
(E A)
XB
2
+C
1
D
12
= W
V,
E
XE A
XA+C
1
C
1
= W
W,
(4.26)
has a solution (X = X
, V, W), see Lemma 3.6. The Riccati stabilizing feedback is given

equivalently by F = V
1
W. We evaluate successively the optimal value for the ]
2
norm.
|z
k
|
2
= |C
1
x
k
+D
12
u
k
|
2
= (C
1
x
k
+D
12
u
k
)
(C
1
x
k
+D
12
u
k
)
= x
k
C
1
C
1
x
k
+x
k
C
1
D
12
u
k
+u
k
D
12
C
1
x
k
+u
k
D
12
D
12
u
k
(4.26)
= |Wx
k
+V u
k
|
2
+x
k
A
XAx
k
x
k
E
XEx
k
2 Re [x
k
(E A)
XB
2
u
k
] .
(4.27)
Let z
k
:= Wx
k
+V u
k
and note that
_
_
x
k
A
XAx
k
+ 2 Re (u
k
B
2
XAx
k
) +u
k
B
2
XB
2
u
k
= (Ax
k
+B
2
u
k
)
X(Ax
k
+B
2
u
k
),
x
k
E
XEx
k
2 Re (u
k
B
2
XEx
k
) u
k
B
2
XB
2
u
k
= (Ex
k
+B
2
u
k
)
X(Ex
k
+B
2
u
k
).
Add the two equations given above to obtain with (4.27):
|z
k
|
2
= | z
k
|
2
(Ex
k
+B
2
u
k
)
X(Ex
k
+B
2
u
k
) + (Ax
k
+B
2
u
k
)
X(Ax
k
+B
2
u
k
). (4.28)
Let now u
k
= Fx
k
= V
1
Wx
k
for which the optimality is reached. With this, z
k
= 0,
and (4.28) becomes
min |z
k
|
2
= x
k
A
F
XA
F
x
k
x
k
E
F
XE
F
x
k
. (4.29)
From the dynamics of the closed-loop system (4.23) we have
E
F
x
k
= A
F
x
k1
+B
1
(w
k1
w
k
) (4.30)
Consider now the impulsive input w
k
= w
i
k
:=
k
e
i
, where is the discrete unit impulse, with
32
Chapter 4. ]
2
0
= 1 and
k
= 0, k ,= 0, and e
i
, i = 1, . . . m is the canonical basis for R
m
. Dene
k
:=
k1

k
and note that
0
= ,
1
= , and 0, otherwise. Thus, the dynamics of the system (4.30)
becomes
E
F
x
k
= A
F
x
k1
+B
1
e
i
k
, i = 1, . . . , m, k = 0, 1, . . . (4.31)
With this, (4.29) can be rewritten as
min |z
i
k
|
2
= x
k
A
F
XA
F
x
k
(A
F
x
k1
+B
1
e
i
k
)
X(A
F
x
k1
+B
1
e
i
k
)
= x
k
A
F
XA
F
x
k
x
k1
A
F
XA
F
x
k1
2 Re(x
k1
A
F
XB
1
e
i
k
)
e
i
B
1
XB
1
e
1
[
k
[
2
,
(4.32)
where z
i
k
is the response to the impulsive input w
i
k
. Sum both sides of (4.32) from k = 0 to
to obtain
min |z
i
|
2
2
= 2 Re(x
0
A
F
XB
1
e
i
) 2e
i
B
1
XB
1
e
i
. (4.33)
Here, we have considered that

k=0
_
x
k
A
F
XA
F
x
k
x
k1
A
F
XA
F
x
k1
_
= 0, since the system is
stable and therefore lim
k
x
k
= 0. Further, notice that for k = 0, (4.31) becomes
E
F
x
0
= B
1
e
i
x
0
= E
1
F
B
1
e
i
.
Recall that a stable system has all poles inside the unit circle (thus no poles at innity) and
therefore the system is standard, having E
F
invertible. We further obtain that
min |z
i
|
2
2
= 2e
i
_
Re(
2
B
1
E
F
A
F
XB
1
) B
1
XB
1
_
e
i
. (4.34)
Summ both sides of the equality (4.34) from i = 1 to m and recall Lemma 2.17 to obtain
min |T
CL
|
2
2
= 2 Trace
_
Re(
2
B
1
E
F
A
F
XB
1
) B
1
XB
1
_
.
This ends the proof.
4.3.2 The Two-Block problem and its dual
This specic problem deals with the case when D
21
is square, i.e., p
2
= m
1
, and invertible.
Also, it is assumed that T
12
(z) has no zeros on the unit circle D and that the matrix pencil
(AB
1
D
1
21
C
2
)z(EB
1
D
1
21
C
2
) is stable. In order to prove the main result of this section,
we need the following lemma.
Lemma 4.10. Consider the FI system T
FI
(z) given in (4.19) and the system T(z) (4.2), with
D
21
C
m
1
m
1
invertible, and (AB
1
D
1
21
C
2
) z(E B
1
D
1
21
C
2
) stable. We have that
T
FI
(z) = T(z) G(z), (4.35)
where is the Redheer product and
G(z) :=
_
_
AzE B
1
D
1
21
C
2
( z) B
1
D
1
21
B
2
0 0 I
_
I
D
1
21
C
2
_ _
I
D
1
21
_ _
0
0
_
_
2
.
33
Chapter 4. ]
2
Proof. Let x and x denote the state of T(z) and G(z), respectively. Dene e := x x and let
x :=
_
e
x
_
be the state of the interconnected system. After a bit of algebra, the realization of
the interconnected system is
T(z) G(z) =
_
_
AzE B
1
D
1
21
C
2
( z) 0 0 0
B
1
D
1
21
C
2
( z) AzE B
1
B
2
C
1
C
1
0 D
12
_
0
D
1
21
C
2
_ _
I
0
_ _
0
I
_ _
0
0
_
_
2
. (4.36)
Removing the stable uncontrollable states we obtain T
FI
(z) given in (4.19). This ends the proof.
We can now easily obtain the controller for the two-block problem, knowing the solution
of the FI problem. We will now state the main result of this subsection.
Proposition 4.11. Consider the descriptor system T(z) given in (4.2) and let
0
=
2
D
not a pole of T(z). Assume the following hypotheses hold:
(H
1
2b) The pair (AzE, B
2
rank
_
Ae
j
E B
2
( e
j
)
C
1
D
12
_
= n +m
2
, [0, 2) . (4.37)
(H
2
2b) D
21
C
m
1
m
1
is square and invertible, and the matrix pencil (A B
1
D
1
21
C
2
)
z(E B
1
D
1
21
C
2
) is stable.
Then the DDTARE (4.10) has a stabilizing hermitian solution X = X
. Moreover, there exists

a proper controller
K(z) =
_
AzE + (B
2
F B
1
D
1
21
C
2
)( z) B
1
D
1
21
F 0
_
2
(4.38)
that solves the ]
2
optimization problem, where F is the corresponding stabilizing Riccati feedback.
Moreover, the optimal value of the ]
2
norm is
min
K stabilizing
|T
CL
|
2
2
= 2 Trace
_
Re(
2
B
1
E
F
A
F
XB
1
) B
1
XB
1
_
, (4.39)
where A
F
= A+B
2
F, E
F
= E +B
2
F.
Proof. With the hypothesis (H
1
2b) it follows that the DDTARE(
12
)
E
XEA
XA((E A)
XB
2
+C
1
D
12
) (D
12
D
12
)
1
(D
12
C
1
+B
2
X(E A))+C
1
C
1
= 0
has a stabilizing hermitian solution X, see Remarks 3.9 and 4.6.
From Lemma 4.10 we know that T
FI
(z) = T(z) G(z). With this expression, we can
obtain the controller for the ]
2
two-block optimization problem. The closed-loop system is
T
CL
(z) = LLFT(T(z) G(z), K
FI
)
= LLFT(T(z), LLFT(G(z), K
FI
)) .
(4.40)
with K
FI
=
_
F 0
_
. Notice that the controller for the ]
2
two-block optimization problem is
simply
K(z) = LLFT
_
G(z),
_
F 0
__
.
34
Chapter 4. ]
2
After a bit of algebra, we arrive exactly at (4.38). Furthermore, the closed-loop system is
identical for the two mentioned problems (FI and ]
2
two-block), see equation (4.40), and thus
the ]
2
norm of the closed-loop system has the same optimal value, see Proposition 4.9.
It remains to show that the closed-loop system is indeed stable. With (4.7) and (4.38),
the realization is
T
CL
(z) =
_
_
AzE B
2
F( z) B
1
B
1
D
1
21
C
2
( z) AzE + (B
2
F B
1
D
1
21
C
2
)( z) B
1
C
1
D
12
F 0
_
2
. (4.41)
Perform an equivalence transformation with Q =
_
I 0
I I
_
= Z. Then the closed-loop system
becomes
T
CL
(z) =
_
_
AzE +B
2
F( z) B
2
F( z) B
1
0 AzE B
1
D
1
21
C
2
( z) 0
C
1
+D
12
F D
12
F 0
_
2
=
_
AzE +B
2
F( z) B
1
C
1
+D
12
F 0
_
2
,
(4.42)
where the last equality follows by removing the stable uncontrollable part. It is now obvious
that the closed-loop system is internally stable, since F is the stabilizing Riccati feedback, i.e.,
(AzE +B
2
F( z)) D.
This ends the whole proof.
We now consider the dual two-block problem, having p
1
= m
2
, i.e. D
12
is square.
Proposition 4.12. Consider the descriptor system T(z) given in (4.2) and let
0
=
2
D
not a pole of T(z). Assume the following hypotheses hold:
(H
1
d2b) D
12
R
m
2
m
2
is invertible and (AB
2
D
1
12
C
1
) z(E B
2
D
1
12
C
1
) is stable.
(H
2
d2b) The pair (C
2
, AzE) is detectable and
rank
_
Ae
j
E B
1
( e
j
)
C
2
D
21
_
= n +p
2
, [0, 2) . (4.43)
Then the DDTARE (4.11) has a stabilizing hermitian solution Y = Y
. Furthermore, there
exists a proper controller
K(z) =
_
AzE + (B
2
D
1
12
C
1
+K
C
2
)( z) K
D
1
12
C
1
0
_
2
(4.44)
that solves the optimal ]
2
control problem, where K = (D
21
D
21
)
1
(D
21
B
1
+C
2
Y
s
(E A)
)
is the corresponding Riccati stabilizing feedback. Moreover, the optimal value of the ]
2
norm
is
min
K stabilizing
|T
CL
|
2
2
= 2 Trace
_
Re(
2
C
1
E
1
K
A
K
Y C
1
) C
1
Y C
1
_
, (4.45)
where A
K
:= A+K
C
2
and E
K
:= E +K
C
2
.
35
Chapter 4. ]
2
Proof. The result follows by duality from Proposition 4.11. Indeed, if T(z) satises the hypothe-
ses (H
1
d2b) and (H
2
d2b), then T
D
(z) satises the hypotheses (H
1
2b) and (H
2
2b),
where the suprascript stands for "dual" and it is dened as
T
D
(z) =
_
_
A
zE
1
C
2
B
1
0 D
21
B
2
D
12
0
_
2
. (4.46)
Further, write down the controller (4.38) for T
D
(z) to obtain
K
D
(z) =
_
A
zE
+ (C
2
K C
1
D
12
B
2
)( z) C
1
D
12
K 0
_
2
K(z) =
_
AzE + (B
2
D
1
12
C
1
+K
C
2
)( z) K
D
1
12
C
1
0
_
0
=
2
.
(4.47)
But this is exactly the controller (4.44), up to a sign reduction. The rest of the proof is a matter
of straightforward substitutions.
Proof of Theorem 4.1. Notice that
12
and
21
are the positiveness Popov quadruples
associated with T
12
(z) and T
21
(z), respectively. Then with (H1) and (H2) it follows that
the DDTARE(
12
) and the DDTARE(
21
) have the stabilizing hermitian solutions X and Y ,
respectively, see Remarks 3.9 and 4.6. Further, the DDTARE (4.10) has a stabilizing solution
i the KSPYS(
12
, I) given by
D
12
D
12
= V
V
C
1
D
12
+ (E A)
XB
2
= W
V
C
1
C
1
+E
XE A
XA = W
W
(4.48)
has a stabilizing solution (X = X
, V, W), with F = V
1
W the corresponding stabilizing
feedback. Further, replace the output z = C
1
x +D
12
u in (4.3) with the expression
z = Wx +V u (4.49)
to obtain the new system
T(z) =
_
T
11
(z)

T
12
(z)
T
21
(z) T
22
(z)
_
=:
_
_
AzE B
1
B
2
W 0 V
C
2
D
21
0
_
2
. (4.50)
Since V is invertible and the matrix pencil AzEB
2
V
1
W(z) AzEB
2
F(z)
is stable, the system

T(z) satises the hypotheses (H
1
d2b) and (H
2
d2b) of Proposition
4.12. Write the controller (4.44) for the system

T(z) in (4.50) to obtain
K(z) =
_
AzE + (B
2
V
1
W +K
C
2
)( z) K
V
1
W 0
_
2
=
_
AzE + (B
2
F +K
C
2
)( z) K
F 0
_
2
(4.51)
36
Chapter 4. ]
2
But this is exactly our controller, given in (4.14). The closed-loop system is calculated to be
T
CL
(z) =
_
_
AzE +B
2
F( z) B
2
F( z) B
1
0 AzE +K
C
2
( z) B
1
+K
D
21
C
1
+D
12
F D
12
F 0
_
0
=
2
. (4.52)
Recall that F and K are the stabilizing Riccati feedbacks, i.e.,
_
AzE +B
2
F( z)
_

_
AzE +K
C
2
( z)
_
D,
and therefore the resulting closed loop system is internally stable.
It only remains to show that K(z) is indeed optimal and to get the evaluation (4.15).
Recall from the FI problem that (4.28) holds, i.e.,
|z
k
|
2
= | z
k
|
2
(Ex
k
+B
2
u
k
)
X(Ex
k
+B
2
u
k
) + (Ax
k
+B
2
u
k
)
X(Ax
k
+B
2
u
k
). (4.53)
It is easy to see that, in this case, the evaluation (4.28) also hold. From the dynamics (4.3) of
the general descriptor system we can write
Ex
k
+B
1
w
k
+B
2
u
k
= Ax
k1
+B
1
w
k1
+B
2
u
k1
, k = 0, 1, . . .
Let w
k
= w
i
k
:=
k
e
i
, for i = 1, . . . , m. We obtain that
Ex
k
+B
2
u
k
= Ax
k1
+B
1
e
i
k
+B
2
u
k1
, (4.54)
with
k
:=
k1

k
. Substitute (4.54) in (4.53) to get
|z
i
k
|
2
= | z
i
k
|
2
(Ax
k1
+B
2
u
k1
)
X(Ax
k1
+B
2
u
k1
) + (Ax
k
+B
2
u
k
)
X(Ax
k
+B
2
u
k
)
e
i
B
1
XB
1
e
i
[
k
[
2
2 Re
_
e
i
B
1
X(Ax
k1
+B
2
u
k1
)
k
.
(4.55)
Notice that
0
= ,
1
= , and
k
= 0, for k , 0, 1. Sum the above expression from
k = 0 to to get
|z
i
|
2
2
= | z
i
|
2
2
2e
i
B
1
XB
1
e
i
2 Re
_
e
i
B
1
X(Ax
0
+B
2
u
0
)
. (4.56)
We have considered once more that
k=0
_
(Ax
k
+B
2
u
k
)
X(Ax
k
+B
2
u
k
) (Ax
k1
+B
2
u
k1
)
X(Ax
k1
+B
2
u
k1
)
_
= 0,
since the closed-loop system is stable. Further, we need to evaluate x
0
and u
0
, respectively. For
this purpose, consider the closed-loop dynamics
_
E
F
B
2
F
0 E
K
_ _
x(k)
x
K
(k)
_
+
_
B
1
e
i
(B
1
+K
D
21
)e
i
_
k
=
_
A
F
B
2
F
0 A
K
_ _
x(k 1)
x
K
(k 1)
_
+
+
_
B
1
e
i
(B
1
+K
D
21
)e
i
_
k1
at k = 0 to obtain
_
E
F
B
2
F
0 E
K
_ _
x(0)
x
K
(0)
_
+
_
B
1
e
i
(B
1
+K
D
21
)e
i
_
= 0. (4.57)
Here, we have denoted by x
K
the internal state of the controller K. From (4.57) we get the
37
Chapter 4. ]
2
evaluations
x
K
(0) = E
1
K
(B
1
+K
D
21
)e
i
,
x(0) = E
1
F
(B
2
Fx
K
(0) B
1
e
i
)
= E
1
F
_
B
2
FE
1
K
(B
1
+K
D
21
) +B
1
_
e
i
.
(4.58)
Further, from the dynamics of the controller (4.51) we know that u(0) = Fx
K
(0). We can now
further evaluate the closed-loop ]
2
norm. Equation (4.56) becomes
|z
i
|
2
2
= | z
i
|
2
2
2e
i
B
1
XB
1
e
i
+
+2e
i
Re
_
2
B
1
X
_
AE
1
F
(B
2
FE
1
K
(B
1
+K
D
21
) +B
1
) +B
2
FE
1
K
(B
1
+K
D
21
)
__
e
i
.
(4.59)
Sum the above equation from i = 1 to m and recall Lemma 2.17. We get that
|T
CL
|
2
2
= |
T
CL
|
2
2
+
2 Trace
_
Re
_
2
B
1
X(AE
1
F
+I)B
2
FE
1
K
(B
1
+K
D
21
) +AE
1
F
B
1
_
B
1
XB
1
_
,
(4.60)
where

T
CL
(z) is the system (4.50). Since

T
CL
(z) satises the hypotheses of a two-block ]
2
optimization problem, min |
T
CL
|
2
2
can be computed using the result in Proposition 4.12. This
ends the whole proof of the result stated in Theorem 4.1.
4.3.3 The case D
11
,= 0
Consider the general system
T(z) =
_
_
AzE B
1
B
2
C
1
D
11
D
12
C
2
D
21
0
_
2
. (4.61)
In the time domain setting, the system is described by
_
_
Ex +B
1
w +B
2
u = Ax +B
1
w +B
2
u
z = C
1
x +D
11
w +D
12
u
y = C
2
x +D
21
w
, (4.62)
Substitute the control input u with the new input
:= u Ry,
where R C
pm
is an arbitrary constant matrix. In other words, connect a constant feedback
matrix R to the system T(z) to obtain a new system

T(z) having the inputs z and and the
same outputs as the original system. Substituting in (4.62) the expressions
u = +Ry
u = +RC
2
x +RD
21
w
u = +RC
2
x +RD
21
w
(4.63)
we obtain the new system as
T(z) =
_
_
(A+B
2
RC
2
) z(E +B
2
RC
2
) B
1
+B
2
RD
21
B
2
C
1
+D
12
RC
2
D
11
+D
12
RD
21
D
12
C
2
D
21
0
_
0
=
2
. (4.64)
38
Chapter 4. ]
2
Requiring that

D
11
:= D
11
+ D
12
RD
21
0 and assuming that D
12
has full column rank and
D
21
has full row rank, we get
R = (D
12
D
12
)
1
(D
12
D
11
D
21
)(D
21
D
21
)
1
. (4.65)
Further, we can write the controller in (4.14), i.e., the main result, for

T(z) because it has
D
11
= 0. After some algebra, we obtain the controller
K(z) =
_
AzE + (B
2
F +K
C
2
B
2
RC
2
)( z) B
2
R K
F RC
2
0
_
2
. (4.66)
Connect now the controller

K(z) with the constant feedback matrix R to obtain a new con-
troller denoted with K, i.e.,

K = KR. We have that K =

K+R, i.e.,
K(z) =
_
AzE + (B
2
F +K
C
2
B
2
RC
2
)( z) B
2
R K
F RC
2
R
_
2
. (4.67)
In other words, the controller (4.67) solves the ]
2
optimization problem for the general system
in (4.61) (the constant feedbacks cancel each other, R R = 0).
4.4 A second proof
We provide in this section an alternative proof for our main result given in Theorem 4.1, which
is based on a successive reduction to simpler problems. The main tool for this reduction is the
Kalman-Szego-Popov-Yackubovich System.
We begin with internal stability. The next result is a slightly modied version of (Theorem
4, Oara and Sabau 2011) and it provides the class of all stabilizing controllers for a generalized
plant in the form (4.61).
Proposition 4.13. 1. Let (AzE, B) be a stabilizable pair and
0
=
2
in D(AzE) .
Then there exists a matrix F such that
_
AzE +BF( z)
_
D. (4.68)
2. Let T(z) be a general p m system given by (4.61) and assume that
0
=
2
D is not
a pole of T(z). Then the class of all controllers K(z) achieving an internally stable feedback
system is
K(z) =
_
AzE + (B
2
F +KC
2
B
2
RC
2
)( z) B
2
R K
F RC
2
R
_
2
, (4.69)
where (4.61) is a proper stabilizable and detectable realization of T(z), F and K are two matrices
such that
_
AzE +B
2
F( z)
_

_
AzE +KC
2
( z)
_
D, (4.70)
and R is an arbitrary p m complex matrix.
Remark 4.14. Notice that the controller that achieves internal stability has the same form as
the controller we obtained in the case D
11
,= 0, see (4.67). Moreover, notice that the optimal
controller has an extra condition on R C
pm
, given by (4.65) (obviously, in order to fulll the
optimality requirement).
39
Chapter 4. ]
2
Remark 4.15. The closed-loop system is
T
CL
(z) =
_
_
AzE +B
2
F( z) B
2
(RC
2
F)( z) B
1
+B
2
RD
21
0 AzE +KC
2
( z) B
1
+KD
21
C
1
+D
12
F D
12
(RC
2
F) D
11
+D
12
RD
21
_
2
(4.71)
Note from (4.70) that the closed-loop system is stable, i.e., has all its poles inside the open unit
disk D.
With this result, we can further solve the one-block ]
2
optimization problem. The one-
block problem is a particular case with p
1
= m
2
and p
2
= m
1
, i.e. D
12
and D
21
are square.
Therefore, the RMF is also square, having T(z) C
mm
(z), with m := m
1
+m
2
.
Proposition 4.16. Consider the system T(z) given in (4.61) and assume that the following
hypotheses hold:
(H
1
1b) D
12
C
m
2
m
2
2
D
1
12
C
1
) z(E B
2
D
1
12
C
1
) is stable.
(H
2
2b) D
21
C
m
1
m
1
1
D
1
21
C
2
) z(E B
1
D
1
21
C
2
) is stable.
Then the controller
K(z) =
_
A
K
zE
K
B
K
C
K
D
K
_
2
(4.72)
with
A
K
= AB
2
D
1
12
C
1
B
1
D
1
21
C
2
+B
2
D
1
12
D
11
D
1
21
C
2
,
E
K
= E B
2
D
1
12
C
1
B
1
D
1
21
C
2
+B
2
D
1
12
D
11
D
1
21
C
2
,
B
K
= (B
1
B
2
D
1
12
D
11
)D
1
21
,
C
K
= D
1
12
(D
11
D
1
21
C
2
C
1
),
D
K
= D
1
12
D
11
D
1
21
(4.73)
is a solution to the ]
2
optimization problem. Moreover, the optimal value of the ]
2
norm is
min
K stabilizing
|T
CL
|
2
= 0.
Proof. Consider the stabilizing controller (4.69). The closed-loop system is given by (4.71) and
the closed-loop poles are
_
AzE +B
2
F( z)
_
_
AzE +KC
2
( z)
_
. According to
hypotheses (H
1
1b), (H
2
1b), D
12
and D
21
are invertible. Thus we can take
F = D
1
12
C
1
, K = B
1
D
1
21
. (4.74)
With (4.74), the closed-loop poles are
_
AzE B
2
D
1
12
C
1
( z)
_

_
AzE B
1
D
1
21
C
2
( z)
_
D.
The inclusion follows from the stability of the two matrix pencils in hypotheses (H
1
1b),
(H
2
1b). Thus the closed loop system is internally stable. Further, substitute (4.74) in (4.71)
40
Chapter 4. ]
2
to get
T
CL
(z) =
_
_
AzE B
2
D
1
12
C
1
( z) B
2
(RC
2
+D
1
12
C
1
)( z) B
1
+B
2
RD
21
0 AzE B
1
D
1
21
C
2
( z) B
1
B
1
D
1
21
D
21
C
1
D
12
D
1
12
C
1
D
12
(RC
2
+D
1
12
C
1
) D
11
+D
12
RD
21
_
2
=
_
_
AzE B
2
D
1
12
C
1
( z) B
2
(RC
2
+D
1
12
C
1
)( z) B
1
+B
2
RD
21
0 AzE B
1
D
1
21
C
2
( z) 0
0 D
12
(RC
2
+D
1
12
C
1
) D
11
+D
12
RD
21
_
2
= D
11
+D
12
RD
21
,
(4.75)
where, to obtain the last equality, we remove the stable uncontrollable and unobservable parts.
Notice that T
CL
(z) is a constant matrix and thus its ]
2
norm is simply
|T
CL
|
2
= |D
11
+D
12
RD
21
|
2
.
Requiring |T
CL
|
2
= 0 (the achievable minimum) we get
R = D
1
12
D
11
D
1
21
. (4.76)
Substituting (4.74) and (4.76) in (4.69), we get the expressions (4.73). Moreover, |T
CL
|
2
= 0.
This completes the rst part of the proof.
Conversely, assume that K(z) is given by (4.73). After some algebra, the closed-loop
system (4.7) becomes (4.75), where R := D
K
= D
1
12
D
11
D
1
21
. It follows that the closed loop
system is internally stable and |T
CL
|
2
= 0. This ends the whole proof.
Remark 4.17. Assume that T
12
(z) C
m
2
m
2
(z) has an invertible D
12
and that it has no
unstable zeros, i.e., ZT
12
D. This implies that T
1
12
(z) has no unstable poles. We get that
T
1
12
(z) =
_
AB
2
D
1
12
C
1
z(E B
2
D
1
12
C
1
) B
2
D
1
12
D
1
12
C
1
D
1
12
_
2
(4.77)
is stable, and thus the pole pencil A B
2
D
1
12
C
1
z(E B
2
D
1
12
C
1
) has all generalized
eigenvalues inside the open unit disk D. But this is exactly the hypothesis (H
1
1b). The
hypothesis (H
2
1b) can be derived in the same manner.
We will now give an alternative proof to the two-block ]
2
optimization problem,
stated in Proposition 4.11. Recall that the existence of a stabilizing hermitian solution for the
DDTARE(
12
) is equivalent to the existence of a stabilizing solution (X = X
, V, F) to the
KSPYS(
12
, I) with F := V
1
W the corresponding stabilizing feedback. Replace the output
z = C
1
x +D
12
u in (4.62) (consider that D
11
= 0) with the expression
z = Wx +V u (4.78)
to obtain the new system
T(z) =
_
T
11
(z)

T
12
(z)
T
21
(z) T
22
(z)
_
=:
_
_
AzE B
1
B
2
W 0 V
C
2
D
21
0
_
2
. (4.79)
Since V is invertible and the matrix pencils
AzE +B
1
D
1
21
C
2
( z),
AzE B
2
V
1
W( z) AzE B
2
F( z)
41
Chapter 4. ]
2
are stable, the system

T(z) satises the hypotheses (H
1
1b), (H
2
1b) of Proposition 4.16.
Write the controller (4.73) with D
11
= 0 for the system

T(z) in (4.79) to obtain the controller
(4.38) given by Proposition 4.11. Notice that T
CL
(z) and

T
CL
(z) share the same pole pencil
and that the closed-loop system is internally stable.
The only point that needs a dierent argument is the proof of optimality for the two-block
problem. We illustrate this aspect only. First of all, notice that the evaluation (4.56) holds for
a two-block problem, since no dynamics was necessary to derive it. The evaluation is
|z
i
|
2
2
= | z
i
|
2
2
2e
i
B
1
XB
1
e
i
2 Re
_
e
i
B
1
X
_
Ax
0
+B
2
Fx
K
(0)
_
_
. (4.80)
Since the pencil A zE + B
1
D
1
21
C
2
( z) is stable, x
K
(0) = x
0
. Further, consider the
closed-loop dynamics for w
k
= w
i
k
:=
k
e
i
, i = 1, . . . m, i.e.,
E
F
x
k
+B
1
e
i
k
= A
F
x
k1
+B
1
e
i
k1
,
where A
F
= A+B
2
F and E
F
= E+B
2
F. For k = 0 we get that x
0
= E
1
F
B
1
e
i
. Introduce
this in (4.80) and sum both sides from i = 1, . . . , m (recall Lemma 2.17) to arrive at
|T
CL
|
2
2
= |
T
CL
|
2
2
+ 2 Trace
_
Re(
2
B
1
E
F
A
F
XB
1
) B
1
XB
1
_
. (4.81)
Further, it is easy to see from Proposition 4.16 that min |
T
CL
|
2
= 0 (u = Fx = V
1
Wx).
This is yet another argument for the fact that optimality is reached when u = Fx. Therefore,
min |T
CL
|
2
2
= 2 Trace
_
Re(
2
B
1
E
F
A
F
XB
1
) B
1
XB
1
_
, (4.82)
which is exactly the evaluation (4.39). This ends the proof.
The dual two-block ]
2
optimization problem follows by duality. The main result can be
proved in the same manner as before, and therefore is omitted.
42
5 Numerical Examples
W
e illustrate in this chapter the proposed approach by three numerical examples of growing
complexity. In the rst example we present a controller that solves a ]
2
two-block
optimization problem, while the second example provides a controller for a four-block problem.
Finally, we treat the general case with D
11
,= 0. Moreover, we show that the controllers are
proper in each case. We begin with a brief discussion on the numerical solution of DDTARE().
The numerical solution of the DDTARE() is based on the ndimensional stable deating
subspace of the DSP(), zM
. Perform an ordered QZ complex factorization with respect

to the unit disk of the DSP() to obtain an upper triangular form
Q(zM
)Z = z
.
If the matrices are restricted to be real, the QZ algorithm produces upper quasi-triangular
matrices

M
,

N
. Further, note that a basis matrix for the ndimensional stable deating
subspace of the DSP() is V := Z(:, 1 : n) and thus
V
1
= Z(1 : n, 1 : n),
V
2
= Z(n + 1 : 2n, 1 : n),
V
3
= Z(2n + 1 : 2n +m, 1 : n).
Moreover, if V
1
is invertible, we can compute from Theorem 3.5 the stabilizing hermitian solu-
tion X and the corresponding stabilizing feedback F.
Example 1. Consider the Rational Matrix Function
T(z) =
_
_
20z
2
+ 2z 22
z + 1
4z
2
z + 1
z + 1
10z
2
z 9 2z
2
+ 3
20z
3
+ 8z
2
13z 5
z + 1
4z
3
2z
2
+ 5z + 1
z + 1
_
_
R
32
(z), (5.1)
with the partitions given by p
1
= 2 and m
1
= 1 (thus, m
2
= 1 control input and p
2
= 1
measured output). The RMF has a proper minimal realization centered at
0
= 1 (note that
T(1) is nite), i.e, with = = 1 D, given by
T(z) =
_
_
1 z 0 1 13 1
0 z 1 1 0
0 1 0 10 2
1 1 0 0 2
0 1 1 0 1
1 0 2 5 0
_
0
=1
. (5.2)
The discrete-time system T(z) is improper having one pole at 1 with multiplicity 1 and one
poles at with multiplicity 2. Clearly, the system is unstable. Note that D
21
= 5, thus it is
43
Chapter 5. Numerical Examples
square and invertible, and that the matrix pencil AzE B
1
D
1
21
C
2
(1 z) is stable:
_
AzE B
1
D
1
21
C
2
(1 z)
_
= 0.8010, 0.8208, 0.3802 D.
Moreover, it can be easily checked that the pair (A zE, B
2
) is stabilizable, see PBH tests in
Denition 2.12. Therefore, we deal with the ]
2
two-block optimization problem. The stablizing
solution of the DDTARE (4.10) is
X =
_
_
1.4574 1.3623 1.7877
1.3623 2.7686 3.2746
1.7877 3.2746 5.3911
_
_,
with the corresponding stablizing Riccati feedback
F =
_
0.4472 0.9615 1.2610
_
.
The generalized eigenvalues for the pencil A
F
zE
F
are
(AzE +B
2
F(1 z)) = 0.6633, 0.5851, 0.4861 D. (5.3)
We construct now the optimal ]
2
controller using (4.38) in Proposition 4.11. With F given
above, we obtain the following proper controller:
K(z) =
0.1994z
3
+ 0.06138z
2
0.2135z 0.04723
z
3
0.575z
2
0.2573z 0.009621
.
The closed-loop system is given by
T
CL
(z) =
_
_
z
3
3.828z
2
+ 1.862z + 2.966
z
3
+ 0.4079z
2
0.4262z 0.1887
12.04z
3
+ 1.856z
2
12.04z 1.856
z
3
+ 0.4079z
2
0.4262z 0.1887
_
_
=
_
(z + 4.106)(z + 0.7224)(z 1)
12.0398(z 1)(z + 1)(z + 0.1541)
_
(z 0.6633)(z + 0.5851)(z + 0.4861)
.
Thus the closed-loop system is internally stable and proper, having the closed-loop poles given in
(5.3) and the optimal value of the ]
2
norm min |T
CL
|
2
= 15.0623. Moreover, the evaluation
for the ]
2
norm holds true:
min
K stabilizing
|T
CL
|
2
=
_
2 Trace
_
B
1
E
F
A
F
XB
1
B
1
XB
1
__1
2
= 15.0623.
T(z) =
_
_
4z
5
5z
4
14z
3
17z
2
+34z2
2z
3
4z
2
6z
2z
3
5z
2
4z+7
z3
z
4
z
3
10z
2
+15z1
z
2
2z3
z
4
+5.5z
3
8.5z
2
+3z+1
z
2
3z
4z
5
7z
4
+35z
3
23z
2
7z+6
2z
3
4z
2
6z
2z
3
+4z
2
2z
z3
z
4
+z
3
2z
2
+11z9
z
2
2z3
2z
4
7z
3
+7z6
2z
2
6z
8z
5
+6z
4
23z
3
8z
2
+11z2
2z
3
4z
2
6z
4z
3
7z
2
+4z5
z3
2z
4
z
3
4z
2
+z+2
z
2
2z3
4z
4
+16z
3
7z
2
7z+2
2z
2
6z
4z
4
14z
3
+29z
2
26z+7
2z
3
4z
2
6z
3z
2
+15z14
z3
2z
3
+12z
2
18z+8
z
2
2z3
2z
2
+9z7
2z
2
6z
_
_
.
The RMF has the dimension 4 4, with partitions given by p
1
= 2 and m
1
= 2, and thus
m
2
= 2, p
2
= 2. The system has a proper minimal realization centered at
0
= 1 (note that
44
T(1) is nite) given by
T(z) =
_
_
1 z 0 3 0 0 0 1 1 0
0 1 0 0 z 1 0 1 0 0 1
0 0 1 2 3z 0 0 1 1 2 1
0 0 0 z + 1 0 0 1 0 1 0
0 0 0 0 z 3 1 3 2 1 0
0 0 0 0 0 2z 1 0 0 1
1 1 0 0 3 0 0 0 1 0
1 0 1 1 0 2 0 0 0 1
2 0 1 1 1 1 1 2 0 0
0 1 1 0 3 1 0 1 0 0
_
0
=1
. (5.4)
The discrete-time system T(z) is improper having 3 poles at , one with multiplicity 2, and the
other with multiplicity 1. It also has a pole outside the unit disc in 3, a pole on the unit circle
in 1, and a pole in 0. Note that D
11
= D
22
= O
22
. Using the PBH tests in Denition 2.12,
one can easily check that the pair (A zE, B
2
) is stabilizable, and that the pair (C
2
, A zE)
is detectable. This is the full ]
2
, i.e., the four-block, optimization problem.
The stabilizing symmetrical solutions of the DDTAREs (4.10) and (4.11) are given by
X =
_
_
2.2098 4.3416 3.8799 7.2063 0.1378 0.4301
4.3416 21.5281 24.9643 57.4610 14.3250 7.4566
3.8799 24.9643 30.0833 70.5164 18.6616 9.5015
7.2063 57.4610 70.5164 168.9155 48.6195 23.0002
0.1378 14.3250 18.6616 48.6195 19.4334 7.4257
0.4301 7.4566 9.5015 23.0002 7.4257 3.6191
_
_
,
Y =
_
_
9.4304 2.5613 17.8654 0.4177 8.3482 0.0359
2.5613 4.7028 2.5846 0.9806 3.9250 0.8079
17.8654 2.5846 37.1363 1.0878 14.7981 0.1537
0.4177 0.9806 1.0878 0.8280 0.1672 0.2831
8.3482 3.9250 14.7981 0.1672 8.0996 0.3592
0.0359 0.8079 0.1537 0.2831 0.3592 0.1874
_
_
,
with the corresponding Riccati stabilizing feedbacks
F =
_
0.7941 3.2451 4.4319 17.2468 13.5498 2.2783
1.8919 3.1285 3.3825 19.1828 6.1782 1.9407
_
, (5.5)
K =
_
1.5440 0.1081 0.6180 0.7587 2.2340 0.1666
0.2089 3.8960 4.2653 0.8660 13.1367 0.1387
_
. (5.6)
With (5.5) and (5.6), the generalized eigenvalues for the closed-loop system are given by
((A+B
2
F) z(E +B
2
F)) = 0.4690, 0.5453 0.6801i, 0.1881, 0.3852, 0.6319 D,
_
(A+K
T
C
2
) z(E +K
T
C
2
)
_
= 0.5176 0.5580i, 0.7510 0.0778i, 0.4011 0.1114i D.
(5.7)
The controller that solves the ]
2
optimization problem is given in Theorem 4.1 and for this
example is computed to be
K(z) =
_
K
1
(z) K
2
(z)
_
,
45
where
K
1
(z) :=
_
_
0.1928z
6
+0.4834z
5
0.4621z
4
+0.2311z
3
+0.03315z
2
0.1701z+0.07735
z
6
3.805z
5
+5.158z
4
2.422z
3
0.6477z
2
+0.9484z0.2323
0.0498z
6
0.3187z
5
+0.2607z
4
+0.5309z
3
0.8115z
2
+0.2809z+0.007801
z
6
3.805z
5
+5.158z
4
2.422z
3
0.6477z
2
+0.9484z0.2323
_
_,
K
2
(z) :=
_
_
0.2843z
6
0.5647z
5
0.05319z
4
+0.5993z
3
0.1842z
2
0.1276z+0.04612
z
6
3.805z
5
+5.158z
4
2.422z
3
0.6477z
2
+0.9484z0.2323
0.043z
6
+0.04807z
5
0.3647z
4
+0.2996z
3
+0.06979z
2
0.0957z
z
6
3.805z
5
+5.158z
4
2.422z
3
0.6477z
2
+0.9484z0.2323
_
_.
Note that the controller is proper, having K() nite, and therefore it can be easily
implemented on a hardware device. The closed-loop system is
T
CL
(z) =
_
T
1
(z) T
2
(z)
_
(z 0.6319)(z 0.1881)(z
2
1.502z + 0.57)(z
2
+ 1.035z + 0.5792)(z
2
1.091z + 0.7599)
,
where
T
1
(z) =
_
4.9483(z 4.958)(z 1.117)(z 1.056)(z 1)(z
2
+ 1.406z + 0.9365)(z
2
1.278z + 1.142)
22.0291(z 1)(z 0.9881)(z 1.423)(z 0.6303)(z
2
+ 1.52z + 1.037)(z
2
1.578z + 1.404)
_
,
T
2
(z) =
_
3.8703(z + 3.301)(z 1.27)(z 1)(z 0.4241)(z
2
1.309z + 1.058)(z
2
0.107z + 0.8058)
2.0858(z 5.423)(z 1)(z 0.6304)(z 0.4073)(z
2
1.991z + 1.831)(z
2
0.5327z + 1.095)
_
.
Thus the closed-loop system is internally stable and proper, having the closed-loop poles inside
the unit circle and the optimal value of the ]
2
norm
min |T
CL
|
2
= 106.4345.
T(z) =
_
_
2z
4
+ 14z
3
11z
2
z + 6
z
3
z
2
+ 2
4z
5
+ 6z
4
3z
3
3.75z
2
+ 5.75z + 4
z
4
0.75z
3
0.25z
2
+ 2z + 0.5
z
4
+ 3z
3
+ 2z
2
13z + 11
z
2
2z + 2
2z
5
+ 3.5z
4
3z
3
+ 7.25z
2
13z + 12.25
z
3
1.75z
2
+ 1.5z + 0.5
z
5
+ 2z
4
+ 6z
3
8z
2
+ 10z + 1
z
3
z
2
+ 2
2z
6
+ 1.5z
5
+ 3.5z
4
11.5z
3
+ 3.5z
2
+ 6.25z 1.25
z
4
0.75z
3
0.25z
2
+ 2z + 0.5
_
_
,
with p = 3 outputs and m = 2 inputs.The partitions are obtained by setting p
1
= 2 and m
1
= 1,
i.e., we have m
2
= 1 control input and p
2
= 1 measured output. The proper minimal realization
centered at
0
= 1 is
T(z) =
_
_
z 1 0 1 0 0 0 0 0 1
0 z 1 0 0 0 0 1 0
0 1 0 0 0 0 0 1 2
0 0 0 1 z 1 0 0 1 0
0 0 0 1 1 z 0 0 2 1
0 0 0 0 0 z
1
4
1 1 3
0 0 0 0 0 0 z
1
4
0 1
1 1 0 1 3 0 1 3 2
0 1 1 2 1 0 5 2 4
1 0 1 2 1 0 1 5 0
_
0
=1
.
46
The system is improper having one pole at with multiplicity 2, one pole on the unit circle in
1, one complex conjugate pair of poles in 1 i, and one stable pole in
1
4
with multiplicity
2. This is a slightly more general case, having D
11
=
_
3
2
_
,= 0, and D
22
= 0. Further, we
compute the stabilizing symmetrical solutions of the DDTAREs (4.10) and (4.11):
X =
_
_
4.7399 3.3377 11.2379 1.6074 14.2981 0 2.2016
3.3377 52.8326 97.4204 24.2231 155.8582 0 3.2432
11.2379 97.4204 235.1286 125.7092 351.8098 0 1.6096
1.6074 24.2231 125.7092 296.3267 134.5666 0 1.1783
14.2981 155.8582 351.8098 134.5666 606.8626 0 6.3334
0 0 0 0 0 0 0
2.2016 3.2432 1.6096 1.1783 6.3334 0 27.2810
_
_
,
Y =
_
_
175.0319 139.0325 17.0295 44.0751 44.9552 3.6573 0
139.0325 115.4501 36.1056 36.6614 42.8593 0.7925 0
17.0295 36.1056 125.0332 9.9053 52.0302 8.1370 0
44.0751 36.6614 9.9053 17.6005 10.7246 0.6549 0
44.9552 42.8593 52.0302 10.7246 33.2278 1.4922 0
3.6573 0.7925 8.1370 0.6549 1.4922 1.0608 0
0 0 0 0 0 0 0
_
_
.
The stabilizing Riccati feedbacks are
F =
_
0.2236 3.0356 1.8062 4.1396 5.3640 0 0.1456
_
,
K =
_
1.9076 0.6506 2.1582 1.4923 0.0778 0.0149 0
_
,
and
((A+B
2
F) z(E +B
2
F)) = 0.2500, 0.6642, 0.4912 0.5726i, 0.8397, 0.3069 0.4489i,
_
(A+K
T
C
2
) z(E +K
T
C
2
)
_
= 0.2500, 0.4508 0.7459i, 0.4089, 0.0927, 0.2984, 0.2500,
inside the unit circle. The controller that solves the ]
2
optimization problem with D
11
,= 0 has
a state-space realization given in (4.67). With F and K given above, and R = 0.14 from (4.65),
K(z) was computed to be
K(z) =
0.08149z
6
+ 0.008825z
5
0.3495z
4
+ 0.1826z
3
+ 0.3201z
2
0.1881z 0.06283
z
6
0.9192z
5
1.893z
4
+ 2.392z
3
+ 0.2586z
2
0.9428z + 0.1571
The closed-loop system
T
CL
=
_
_
8.5(z0.9731)(z+1.388)(z
2
+1.223z+0.4148)(z
2
2.046z+1.195)(z
2
1.128z+1.245)(z
2
1.79z+4.692)
(z+0.8397)(z+0.4089)(z0.6642)(z0.2984)(z
2
+0.6138z+0.2957)(z
2
0.9824z+0.5691)(z
2
0.9017z+0.7596)
5.636(z+2.106)(z+0.9751)(z1.011)(z1.768)(z
2
2.098z+1.351)(z
2
1.218z+1.28)(z
2
+1.997z+2.848)
(z+0.8397)(z+0.4089)(z0.6642)(z0.2984)(z
2
+0.6138z+0.2957)(z
2
0.9824z+0.5691)(z
2
0.9017z+0.7596)
_
_
is internally stable and proper. The optimal value of the ]
2
norm was computed to be
min |T
CL
|
2
= 216.1535.
47
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49

H2 Optimization Problem For General Discrete-Time Systems

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Faculty of Automatic Control and Computer Science

is its conjugate transpose inverse. A hermitian matrix satises

, and we denote by A > 0 (A < 0) if it is in addition positive denite (negative denite).

of the innite generalized eigenvalue of A E is by denition the multiplicity of = 0 as the

are in the Jordan canonical form, with E

nilpotent. Recall that a matrix

. Thus, for = the partial multiplicities are s

, the geometric multiplicity is h

and the algebraic multiplicity is n

are in the Jordan canonical form, with E

nilpotent. The regular part of A E

) is observable, and the pair

is not an generalized eigenvalue of the pole

, . Then there exists a matrix F such that

C(AzE). Then there

is not a generalized eigenvalue of the pole pencil A zE. Further, we associate

is called the stabilizing solution to DDTARE()

, V, W) satisfying (3.10) such that z(E + BF) (A + BF) is

(X) and the KSPYS(, J).

(X) admits a J-factorization

, V, W) such that (3.12) holds for J = I

. The transfer function matrix (TFM) from u to v

). It can be easily checked that

is not among the generalized eigenvalues of the matrix pencil

X(E A) +LF +Q) S = (E

X(E A) +LF +Q) T. (3.20)

+ RF = 0 which, together with

is the DSP(), and Im(V ) =: 1 is

, V, W) satises the KSPYS (3.12). From the rst and the

X(E A)) to arrive at the DDTARE (3.9).

> 0. This is a generalization of the standard Linear Quadratic

. We are now ready to state the main result of this

X(E A)) . (3.31)

, V, W), with the stabilizing Riccati feedback F = V

X. This ends the whole proof.

, V, W) is the stabilizing solution of KSPYS(

, see also Remark 3.9.

. Moreover, there exists

, V, W), see Lemma 3.6. The Riccati stabilizing feedback is given

. Moreover, there exists

. Perform an ordered QZ complex factorization with respect

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