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Vous êtes sur la page 1sur 83

• Response of systems to white noise and coloring filters

• Spectral factorization and the Positiv Real Lemma

• Optimal H2 -synthesis by static state-feedback

• Optimal H2 -estimation (Kalman filtering)

• Optimal H2 -synthesis by output feedback (Separation Principle)

Related Reading

[KK]: 8, 9, 11 (stationary version)

1/82

The H2 -Norm

Consider the LTI system with state-space description

ẋ = Ax + Bw, z = Cx

and with transfer matrix

T (s) = C(sI − A)−1 B of dimension p × q.

Here w is a disturbance input and z is an output of interest that is

desired to be small. A quantification of the effect of the input w onto

the output z is the so-called H2 -norm of the transfer matrix.

Definition 1 Let T have all its poles in the open left half-plane.

The H2 -norm of T is defined as

s Z

∞

1

kT k2 := kT (iω)k2F dω

2π −∞

with k.kF denoting the Frobenius matrix norm.

2/82

Relation to Hardy-Spaces

The Hardy-space H2p×q consists of all matrices S of dimension p × q

whose elements are analytic functions in the open right half-plane s.th.

Z ∞

2 1

kSk2 := sup kS(r + iω)k2F dω is finite.

r>0 2π −∞

For all such functions one can show that the limit

T̂ (iω) := lim S(r + iω)

r&0

R, and that kSk2 actually equals kT̂ k2 as defined on the previous slide.

One can as well show that H2p×q is a Hilbert-space.

The subspace of all strictly proper and stable real rational matrices

is denoted as RH2p×q . The subspace RH2p×q is dense in H2p×q .

3/82

Parseval and Payley-Wiener

The space Lp×q2 [0, ∞) denotes all real-matrix-valued functions on the

positive half-line that are square integrable. For any F ∈ Lp×q 2 [0, ∞)

the Fourier-transform is defined, in the sense of a limit in the mean, as

Z ∞

F̂ (iω) = e−iωt F (t) dt.

0

Z ∞ Z ∞

2 1

kF (t)kF dt = kF̂ (iω)k2F dω.

0 2π −∞

One can show that F̂ is in H2p×q . Parseval’s theorem just means that the

Fourier transform is a linear isometry Lp×q

2 [0, ∞) → H2

p×q

. A version of

the Payley-Wiener theorem establishes that this map is even surjective.

Therefore Lp×q

2 [0, ∞) and H2

p×q

are actually isometrically isomorphic.

See: B.A. Francis, A course in H∞ -Control, Springer LNCIS 88, 1987.

4/82

Computation

It is a beautiful fact that the H2 -norm of a stable transfer matrix can

be computed algebraically on the basis of a state-space realization.

1. kT k22 = tr CPc C T where APc + Pc AT + BB T = 0.

2. kT k22 = tr B T Po B where AT Po + Po A + C T C = 0.

R∞ T

Proof of 2.: Recall that Po = 0 eA t C T CeAt dt. Using Parseval’s theo-

rem we infer

Z ∞

1

2

kT k2 = tr T (iω)∗ T (iω) dω =

2π −∞

Z ∞

[CeAt B]T [CeAt B] dt = tr B T Po B .

= tr

0

The proof of 1. proceeds in an analogous fashion.

5/82

Inequality Characterization

The following characterizations of a bound on the H2 -norm will be useful

for controller synthesis proofs.

AT X + XA + C T C ≺ 0 and tr(B T XB) ≺ γ.

subtracting the Lyapunov equation for Po we infer AT (X − Po ) +

(X − Po )A ≺ 0 and thus Po ≺ X since A is Hurwitz. This implies

tr(B T Po B) ≤ tr(B T XB) < γ and thus kT k22 < γ.

equation AT P + P A + C T C + I = 0 with > 0. Clearly P → Po

for → 0. Since tr(B T Po B) ≺ γ, we can hence fix some 0 with

tr(B T P0 B) ≺ γ. Then X = P0 does the job.

6/82

Deterministic Interpretation

Let ek be the standard unit vector of dimension q and let zk (.) denote

the response of

ẋ = Ax, z = Cx, x(0) = Bek

Recall that this is just the response to an impulse in the k-th input.

Since zk (t) = CeAt Bek we infer

Z ∞ Z ∞

T T T AT t T

zk (t) zk (t) dt = ek B e C Ce dt Bek = eTk B T Po Bek .

At

0 0

“the” impulse responses:

q Z ∞

X

kzk (t)k2 dt = kT k22 .

k=1 0

7/82

Random Vectors

Uncertain outcomes of experiments are modeled by random vectors

x = (x1 · · · xn )T . Here x is a vector of n random variables x1 , . . . , xn

and is characterized by its distribution function Fx : Rn → R which

admits the following interpretation: If (ξ1 · · · ξn )T ∈ Rn , the probability

for the event x1 ≤ ξ1 , ..., xn ≤ ξn to happen is given by Fx (ξ1 , ..., ξn ).

Z ξ1 Z ξn

Fx (ξ1 , ..., ξn ) = ··· fx (τ1 , ..., τn ) dτn · · · dτ1 for all ξ ∈ Rn .

−∞ −∞

1 1 T −1

fx (τ ) = p exp (τ − m) R (τ − m)

(2π)n det(R) 2

where m ∈ Rn and R ∈ Rn×n is symmetric and positive definite.

8/82

Expectation and Covariance

Suppose g : Rn → Rk×l is Borel measurable. If the random vector

x = (x1 · · · xn )T has the density fx (τ1 , ..., τn ), the expectation of

g(x1 , ..., xn ) is a matrix in Rk×l and defined as

Z +∞ Z +∞

E[g(x1 , ..., xn )] = ··· g(τ1 , ..., τn )fx (τ1 , ..., τn ) dτn · · · dτ1 .

−∞ −∞

With g(τ, σ) = (τ −E[x])(σ−E[y])T we obtain the covariance matrix

cov(x, y) := E[(x − E[x])(y − E[y])T ]

of the two random vectors x and y. Then

cov(x, x) = E[(x − E[x])(x − E[x])T ] = E[xxT ] − E[x]E[x]T < 0

is the auto-covariance matrix x. Its trace is called variance of x.

Moreover, E[xxT ] is the second order moment matrix of x and its

trace E[xT x] is the second order moment of x. 9/82

Wiener-Processes

In control the disturbance w on slide 2 is often considered as white

noise, which is associated with irregular signals having a flat spectrum.

Loosely speaking, this boils down to viewing w as the derivative of the

(normalized) Wiener-process or Brownian motion. It would take us too

far astray and it is not required for our purposes to develop the whole

theory of stochastic differential equations (based on Îto calculus).

Instead let us just collect some basic facts that are required in the sequel.

1) There exists a Wiener-process W (t) for t ≥ 0 with intensity 1:

• Initialized at zero: W (0) = 0 with probability one.

• Independent increments: For all 0 ≤ t1 ≤ t2 ≤ t3 ≤ t4 , the random

variables W (t2 ) − W (t1 ) and W (t4 ) − W (t3 ) are independent.

• Gaussian increments: For all 0 ≤ t1 ≤ t2 , the increment W (t2 ) −

W (t1 ) is Gaussian with expectation 0 and variance t2 −t1 = 1|t2 −t1 |.

10/82

Simulation of Standard Wiener Process

Realizations of Wiener Process

8

−2

−4

0 1 2 3 4 5 6 7 8 9 10

τ2

• W (t) for t > 0 is Gaussian with density fW (t) (τ ) = √ 1 e− 2t .

2πt

different time instances t1 , . . . , tk > 0 the random vector

T

W (t1 ) · · · W (tk ) is Gaussian.

11/82

Wiener-Processes

2) For a square integrable real-valued function f on [a, b] (0 ≤ a ≤ b),

Z b

the random variable f (t) dW (t)

a

is defined analogously to standard Lebesgue-Stieltjes integrals as follows:

partition [tk , tk+1 ], k = 1, . . . , N (a = t1 < · · · < tN +1 = b), define

Z b XN

s(t) dW (t) := sk [W (tk+1 ) − W (tk )].

a k=1

Z b Z b

f (t) dW (t) := lim sν (t) dW (t),

ν→∞ a

|a {z } | {z }

I Iν

2

in the sense of E[(I − Iν ) ] → 0 for ν → ∞.

12/82

Wiener-Processes

3) The integral is a Gaussian random variable. Just by direct calculation

for step-functions and taking limits, one proves for x, y ∈ L2 [a, b] that

Z b

E x(t) dW (t) = 0,

a

Z b Z b Z b

E x(t) dW (t) y(τ ) dW (τ ) = x(t)y(t) dt.

a a a

Z b Z b

E x(t) dŴ (t) y(τ ) dW (τ ) = 0.

a a

of deterministic functions with respect to Wiener-processes are the

only facts from stochastics that remain unproven here.

13/82

Wiener-Processes

The q-dimensional Wiener-process W = col(W1 , . . . , Wq ) is a vector

of q Wiener processes W1 , . . . , Wq (with intensity 1) that are pairwise

independent.

integrable elements on [a, b] (0 ≤ a ≤ b), then the random vectors

Z b Z b

x= X(t) dW (t), y = Y (t) dW (t)

a a

of dimension p are defined elementwise. They both have mean zero and

and their correlation matrix is given by

Z b

T

E[xy ] = X(t)Y (t)T dt.

a

14/82

White Noise and System Response

Let us come back to slide 2 with w being interpreted as the “derivative

of a Wiener process”; we (formally) denote it by Ẇ . In this sense “W

can be obtained by integrating white noise”:

Z t Z t

W (t) = “ Ẇ (τ ) dτ “ = dW (τ ) for t ≥ 0.

0 0

The middle expression is NOT sensible mathematically. But we can now

just define precisely what we mean by the state-response of a linear

system to a white noise input and a random initial condition ξ. Tacitly,

we assume that ξ is Gaussian and independent from W (t) for all t ≥ 0.

with x(0) = ξ (and ξ independent from W ) is defined as

Z t

At

x(t) := e ξ + eA(t−τ ) B dW (τ ) for t ≥ 0.

0

15/82

White Noise and System Response

According to our preparatory remarks x(.) is a Gaussian process.

If just applying the rules given above, the expectation of x(t) and the

covariance matrix of x(t1 ) and x(t2 ) are easily determined.

Then

E[x(t)] = eAt E[ξ] for t ≥ 0

and

Z t1

AT t2 T (t −τ )

cov(x(t1 ), x(t2 )) = e At1

cov(ξ, ξ)e + eA(t1 −τ ) BB T eA 2

dτ

0

for 0 ≤ t1 ≤ t2 .

E[BW (t)] = 0 as well as E[BW (t)W (t)T B T ] = tBB T .

16/82

Stochastic Interpretation of H2 -Norm

Corollary 6 Let eig(A) ⊂ C− and x(.), z(.) be the state- and

output-responses of ẋ = Ax + B Ẇ , z = Cx, x(0) = ξ. Then

E[x(t)] → 0 and E[z(t)] → 0 for t → ∞. Moreover:

• The state’s auto-covariance satisfies lim cov(x(t), x(t)) = Pc .

t→∞

t→∞

of the output of a stable linear system driven by white noise.

Proof. E[x(t)] = eAt E[ξ] → 0 and E[z(t)] → 0 for t → 0 are clear.

T

Since lim eAt cov(ξ, ξ)eA t = 0, we infer that lim cov(x(t), x(t)) is

t→∞ t→∞

Z t Z t

T T

lim eA(t−τ ) BB T eA (t−τ ) dτ = lim eAσ BB T eA σ dσ = Pc .

t→∞ 0 t→∞ 0

This also implies

lim tr cov(z(t), z(t)) = lim tr C[cov(x(t), x(t))]C T = tr(CPc C T ). 17/82

t→∞ t→∞

Example

√

Consider ẋ = −px + 2p Ẇ , z = x for p > 0. Simulate the system and

plot the output process and a histogram thereof for p = 10, 100:

Squared H2−norm: 1 Estimated variance 1.0747

4 300

2

200

0

100

−2

−4 0

0 5 10 −5 0 5

4 400

2 300

0 200

−2 100

−4 0

0 5 10 −5 0 5

18/82

Colored Noise

Definition 7 We say that w̃ is colored noise if there exists

(Ã, B̃, C̃) with eig(Ã) ⊂ C− such that w̃ is the output of

x̃˙ = Ãx̃ + B̃ Ẇ , w̃ = C̃ x̃, x̃(0) = 0.

the coloring filter T̃ (s) = C̃(sI − Ã)−1 B̃.

ẋ = Ax + B w̃, z = Cx + Dw̃, x(0) = ξ

driven by colored noise w̃ is defined as the output of

ẋ A B C̃ x 0 x(0) ξ

˙x̃ = + Ẇ , =

0 Ã x̃ B̃ x̃(0) 0

x

z = C DC̃ .

x̃

19/82

Remarks

Rt

• Since w̃(t) = 0 C̃eÃ(t−τ ) B̃ dW (τ ) for t ≥ 0, we can assume w.l.o.g.

that (Ã, B̃, C̃) is minimal, and that the coloring filter T̃ (and not

its realization) captures all properties of w̃. This raises the question

about how to determine such coloring filters in practice.

• The response of a linear system to colored noise is reduced to that

for white noise and for the series interconnection of the system and

the coloring filter.

• In the theory of stochastic differential equations it is shown that our

definitions are consistent. More precisely, the response of

ẋ = Ax + B w̃, z = Cx + Dw̃, x(0) = ξ

can indeed be represented as it should, namely as

Z t

At

x(t) = Ce ξ + CeA(t−τ ) B w̃(τ ) dτ + Dw̃(t) for t ≥ 0,

0

if defining the integral appropriately. 20/82

Coloring Filters

Clearly E[w̃(t)] = 0 for all t ≥ 0. For a fixed τ ∈ R let us consider the

asymptotic covariance matrix of w̃(t) and w̃(t + τ ):

R(τ ) := lim E[w̃(t + τ )w̃(t)T ].

t→∞

Lyapunov equation ÃP̃ + P̃ ÃT + B̃ B̃ T = 0 then

(

C̃eÃτ P̃ C̃ T for τ ≥ 0,

R(τ ) = T

C̃ P̃ e−Ã τ C̃ T for τ < 0.

tially for τ → ±∞ and has a well-defined Fourier transform.

density of the process w̃.

21/82

Proof

For t ≥ 0 and τ > 0 the filter state satisfies

Z t

T

T

E[x̃(t + τ )x̃(t) ] = eÃ(t+τ −σ) B̃ B̃ T eÃ (t−σ) dσ =

0

Z t

Ãτ Tσ

=e eÃσ B̃ B̃ T eÃ dσ → eÃτ P̃ for t → ∞.

0

Similarly for t ≥ 0 and τ ∈ [−t, 0] we get

Z t+τ

T

T

E[x̃(t + τ )x̃(t) ] = eÃ(t+τ −σ) B̃ B̃ T eÃ (t−σ) dσ =

0

Z t+τ

T (σ−τ ) Tτ

= eÃσ B̃ B̃ T eÃ dσ → P̃ e−Ã for t → ∞.

0

The proof is finished with the observation

R(τ ) = lim C̃E[x̃(t + τ )x̃(t)T ]C̃ T .

t→∞

22/82

Coloring Filters

Theorem 10 The spectral density of w̃ is given by

R̂(iω) = T̃ (iω)T̃ (iω)∗ .

Hence R̂(iω) is Hermitian and positive semi-definite for all ω ∈ R.

Z 0 Z ∞

−iωτ −ÃT τ T

e C̃ P̃ e C̃ dτ + C̃e−iωτ eÃτ P̃ C̃ T dτ =

−∞ Z ∞ 0

iωτ ÃT τ −1

= C̃ P̃ e e dτ + (iωI − Ã) P̃ C̃ T =

0

= C̃ P̃ (iωI − Ã)−∗ + (iωI − Ã)−1 P̃ C̃ T .

(iωI − Ã)P̃ + P̃ (iωI − Ã)∗ = B̃ B̃ T and thus

P̃ (iωI − Ã)−∗ + (iωI − Ã)−1 P̃ = (iωI − Ã)−1 B̃ B̃ T (iωI − Ã)−∗ .

Plugging this into the above relation proves the formula. 23/82

Example

Consider the colored noise on slide 18. The filter has the realization

√

−p − 2p

T̃ =

1 0

and hence P̃ = 1. Therefore

√ √

−p|τ | 2p 2p 2p

R(τ ) = e and R̂(iω) = = 2 .

p + iω p − iω ω + p2

The graphs for p = 10 (blue) and p = 100 (red) look as follows:

R(τ) |T~(iω)|

0

1 10

0.8

0.6

−2

10

0.4

0.2

−4

0 10 −2 0 2 4

−0.1 −0.05 0 0.05 0.1 10 10 10 10 24/82

Coloring Filters: Construction

We are now prepared for discussing how to determine coloring filters

in practice. By measurements one (statistically) estimates the spectral

density R̂(iω) of the process under scrutiny. One then approximates the

experimentally determined spectral density by G(iω) where G(s) is a

strictly proper real rational function without poles in C0 and with

G(iω) = G(iω)∗ and G(iω) < 0 for all ω ∈ R. (∗)

Finally, the coloring filter is obtained by spectral factorization.

G(s) without poles in C0 satisfies (∗). Then there exists a strictly

proper and stable transfer matrix T with G(s) = T (s)T (−s)T .

This implies G(iω) = T (iω)T (iω)∗ such that T is a coloring filter for

modeling noise with the spectral density G, just as we desired. Often T

is also called a spectral factor of G. 25/82

Example

1−s2

Consider the transfer function G(s) = s4 −13s2 +36

. We have

1 + ω2

G(iω) = > 0 for ω ∈ R.

ω 4 + 13ω 2 + 36

Hence, by Theorem 11, G has a spectral factorization. This can be seen

directly as follows. The numerator and denominator of G(s) can be

factorized as

(1 + s)(1 − s) and (3 + s)(2 + s)(2 − s)(3 − s)

respectively. The symmetric location of the poles and zeros with respect

to the imaginary axis is a consequence of G(iω) being real and positive

for ω ∈ R. Obviously, both transfer functions

1+s 1−s

T− (s) = and T+ (s) =

(3 + s)(2 + s) (3 + s)(2 + s)

are spectral factors of G. They distinguish themselves in that T− shares

it stable zero(s) with G, while T+ shares its anti-stable zero(s) with G.

26/82

System Description for Design

ẋ = Ax + Bw w + Bu z w

z = Cz x + Dzw w + Dz u P

y u

y = Cx + Dw w + Du

control input u, a performance output z (to-be-rendered small) and

a measurement output y.

discussed in the lecture on regulation can be subsumed to this paradigm.

The goal is to find a feedback controller which stabilizes this system

and which minimizes the H2 -norm of the closed-loop transfer matrix.

For simplicity of the exposition let us assume Dzw = 0 and D = 0. 27/82

The H2 -Control Problem

Open-loop system P :

ẋ = Ax + Bw w + Bu z w

z = Cz x + Dz u P

y = Cx + Dw w

y u

Controller K:

ẋK = AK xK + BK y K

u = C K xK

Controlled system described as ξ˙ = Aξ + Bw, z = Cξ with

A BCK Bw

A B

= BK C AK BK Dw .

C D

Cz Dz CK 0

closed-loop system over all controllers which render A Hurwitz.

28/82

LQG-Control

One particular scenario is worth mentioning. Consider the system

ẋ = Ax + B1 Ẇ1 + Bu

with control input u and process noise B1 Ẇ1 . Suppose the measure-

ments Cx are corrupted by white noise Ẇ2 where W1 and W2 are inde-

pendent Wiener processes. The measured output hence is

y = Cx + D2 Ẇ2 .

As in LQ-control, we are interested in keeping the linear combinations

C1 x and D1 u of the states and the controls small. Hence we choose

C1 x

z=

D1 u

as the performance output. The LQG-control goal is to find a stabilizing

controller which minimizes lim tr cov(z(t), z(t)), which equals

t→∞

lim E[z(t)T z(t)] = lim E x(t)T C1T C1 x(t) + u(t)T D1T D1 u(t) .

t→∞ t→∞

29/82

LQG-Control

Let us define the following generalized plant

ẋ = Ax + B1 0 w + Bu

C1 0

z = x+ u

0 D1

y = Cx + 0 D2 w.

asymptotic variance of z for a while noise w is the classical so-called

Linear-Quadratic-Gaussian (LQG) optimal control problem.

Note that the process and measurement noises are defined via the

Wiener-processes B1 W1 and D2 W2 with auto-covariances

E B1 W1 (t)W1 (t)T B1T = B1 B1T t, E D2 W2 (t)W2 (t)T D2T = D2 D2T t.

Hence B1 B1T and D2 D2T are the intensities of these processes. 30/82

LQG-Control

If Ẇ1 is not white but colored noise w̃1 , one absorbs the related coloring

filter T (s) = C̃(sI − Ã)−1 B̃ into the generalized plant and solves the

H2 -problem for the weighted generalized plant

ẋ A B1 C̃ x 0 0 B

= + w+ u

x̃ 0 Ã x̃ B̃ 0 0

C1 0 x 0

z = + u

0 0 x̃ D1

x

y = C 0 + 0 D2 w.

x̃

The block-diagram of the weighted generalized plant is more instructive:

w̃1 w1

z T

w2

P

y

u

31/82

Static State-Feedback Synthesis

Let us first consider the case that the whole state is available for control.

For this purpose we consider the open-loop system

ẋ = Ax + Bw w + Bu

z = Cz x + Dz u

under the following hypotheses:

• (A, B) is stabilizable.

• (A, Cz ) has no unobservable modes in C0 .

• DzT Cz Dz = 0 I .

u = −F x

leads to the closed-loop system

ẋ = (A − BF )x + Bw w

z = (Cz − Dz F )x. 32/82

Optimal H2 -Control by Static State-Feedback

The goal is to infimize

k(Cz − Dz F )(sI − A + BF )−1 Bw k2

over all F such that A − BF is Hurwitz. It turns out that the infimum

is actually attained. Moreover, both the optimal value and an optimal

state-feedback gain can be computed by solving an LQ-Riccati equation.

Theorem 12 Let P denote the stabilizing solution of

AT P + P A − P BB T P + CzT Cz = 0.

Then the optimization problem

γopt := min k(Cz − Dz F )(sI − A + BF )−1 Bw k22

F , A−BF Hurwitz

γopt = tr(BwT P Bw )

and F = B T P is an optimal solution.

33/82

Proof

Let γ > γopt . Then there exists F for which A − BF is Hurwitz and

such that k(Cz − Dz F )(sI − A + BF )−1 Bw k22 < γ. Due to Lemma 3

we can choose X 0 with

and tr(BwT XBw ) < γ. Exploiting DzT Cz = 0 and DzT Dz = I allows to

rearrange to

AT X + XA + CzT Cz − XBB T X + (B T X − F )T (B T X − F ) ≺ 0.

Therefore AT X + XA + CzT Cz − XBB T X ≺ 0 and thus P ≺ X by

the result on slide 68. This implies that

tr(BwT P Bw ) 4 tr(BwT XBw ) < γ.

Since γ > γopt was arbitrary we conclude

tr(BwT P Bw ) ≤ γopt .

34/82

Proof

Let us now choose F = B T P . Note that A − BF = A − BB T P is

Hurwitz, just because of the choice of P as the stabilizing solution of

the ARE. Moreover with the ARE we trivially have

AT P + P A + CzT Cz − P BB T P + (B T P − F )T (B T P − F ) = 0.

As above this can be re-arranged to

(A − BF )T P + P (A − BF ) + (Cz − Dz F )T (Cz − Dz F ) = 0

Viewed as a Lyapunov equation, this shows that

k(Cz + Dz F )(sI − A − BF )−1 Bw k22 = tr(BwT P Bw ).

This proves that tr(BwT P Bw ) is attained by the stabilizing state-feedback

gain F = B T P which indeed confirms

tr(BwT P Bw ) = γopt

and optimality of F .

35/82

Example

For the following model of a DC-motor ([F] p.20)

0 1 0 φ

ẋ = x+ u, x = .

0 −1 1 ω

design a full information state-feedback controller which tracks φ. This

results in the following response:

Control action

200

−200

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

36/82

Example

Assume that the control input is affected by colored noise with filter

134.2/(s + 10) and having H2 -norm 30 in order to clearly display its

effect. We get the following substantially deteriorated response:

Control action

200

−200

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

37/82

Example

With the coloring filter included in the system description, design an

optimal H2 -state-feedback gain for the cost function

2000|φ|2 + 0.3|u|2 .

The feed-forward gain is adjusted appropriately. The cost has been tuned

so that the noise-free response resembles the one we obtained earlier:

Control action

200

−200

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

38/82

Example

The noisy closed-loop response shows that the effect of the noise onto

the to-be-tracked output is visibly reduced:

Control action

200

−200

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

39/82

Kalman Filtering

Consider again the full generalized plant

ẋ = Ax + Bw w + Bu, z = Cz x + Dz u, y = Cx + Dw w.

If w = 0, an observer for this system is defined as

x̂˙ = Ax̂ + Bu + L(y − ŷ), ẑ = Cz x̂ + Dz u, ŷ = C x̂

where L is taken with eig(A − LC) ⊂ C− ; then the observer state

asymptotically reconstructs the system’s state.

lim E (z(t) − ẑ(t))T (z(t) − ẑ(t))

(err)

t→∞

can serve as a measure for how well ẑ(t) approximates z(t) for t → ∞.

minimized is called a Kalman Filter for the generalized plant.

40/82

Optimal H2 -Observer Synthesis

By considering the dynamics of the state-error ξ = x − x̂, one easily

checks that the transfer matrix from w to z − ẑ admits the description

ξ˙ = (A − LC)ξ + (Bw − LDw )w, z − ẑ = Cz ξ.

Find L which renders A − LC Hurwitz and minimizes the H2 -norm

of the transfer matrix from w to z − ẑ.

We stress again that this formulation admits various interpretations,

according to what can be subsumed to H2 -norm minimization.

The problem is solved under the following simplifying assumptions:

• (A, C) is detectable.

• (A, Bw ) has no uncontrollable modes in C0 .

• Dw BwT DwT = 0 I .

41/82

Optimal H2 -Observer Synthesis

We hence need to determine L which renders A − LC Hurwitz and

which minimizes

kCz (sI − A + LC)−1 (Bw − LDw )k2 .

The solution to this problem is dual to Theorem 12.

AQ + QAT − QC T CQ + Bw BwT = 0.

Then the optimization problem

γopt := min kCz (sI − A + LC)−1 (Bw − LDw )k22

L, A−LC Hurwitz

γopt = tr(Cz QCzT )

and L = QC T is an optimal solution.

42/82

Proof by Duality

Note that we have

This observation reduces the problem to one of static state-feedback

control for the system

x̌˙ = AT x̌ + CzT w̌ + C T ǔ, ž = BwT x̌ + DwT w̌.

An application of Theorem 12 finishes the proof. (Provide the details.)

43/82

Remarks

• Note that the optimal observer does not depend on Cz or Dz ! In

particular it is as well an optimal H2 -observer for the full state x

(with the choices Cz = I and Dz = 0) with optimal value tr(Q).

• An optimal H2 -estimator is an unstructured LTI system with inputs

u and y, which generates an asymptotic state-estimate x̂ such that

Cz x̂+Dz u is an optimal estimate of z in the H2 -sense. One can prove

that general estimators do not offer any benefit over observers!

• In view of the stochastic interpretation of the H2 -norm, optimal H2 -

observers minimize the asymptotic variance of z − ẑ if w is white

noise. Then the optimal observer is the celebrated Kalman-Filter.

blems, Journal of basic Engineering, 82 (1960) 35-45. (13560 citations

in Google Scholar as of February 7, 2013!)

44/82

Example

Consider again the two-compartment model ([AM] pp.85):

−k0 − k1 k1 0 b0

ċ = c+ w1 + u

k2 −k2 λ1 0

y = 1 0 c + λ2 w 2

in which the second state and the output are corrupted by (independent)

white noises w1 and w2 and λ1 and λ2 scale their intensities. For k0 = 1,

k1 = 1, k2 = 2 and b0 = 1 we design a pole-placing observer with pole

locations −1.5, −1.6 and compare it with the Kalman filter. Note that

the poles have been chosen such that the responses resemble those for

the Kalman filter if the intensities λ1 and λ2 are small (noise-free case).

The simulations on the next slides illustrate a substantial reduction in

noise sensitivity if using the Kalman filter (in the lower plots).

45/82

Example

System and observer responses as well as errors for λ1 = λ2 = 0.01:

2 2 1

1 1

0

0 0

−1

−1 −1

−2 −2 −2

0 5 10 0 5 10 0 5 10

2 2 1

1 1

0

0 0

−1

−1 −1

−2 −2 −2

0 5 10 0 5 10 0 5 10

46/82

Example

System and observer responses as well as errors for λ1 = λ2 = 0.1:

4 4 1

2 0

2

0 −1

0

−2 −2

−2 −4 −3

0 5 10 0 5 10 0 5 10

2 2 1

1 0

0

0 −1

−2

−1 −2

−2 −4 −3

0 5 10 0 5 10 0 5 10

47/82

Example

System and observer responses as well as errors for λ1 = λ2 = 1:

4 4 4

2 2 2

0 0 0

−2 −2 −2

−4 −4 −4

0 5 10 0 5 10 0 5 10

4 4 4

2 2

2

0 0

0

−2 −2

−2 −4 −4

0 5 10 0 5 10 0 5 10

48/82

The Output-Feedback H2 -Control Problem

Open-loop system P :

ẋ = Ax + Bw w + Bu z w

z = Cz x + Dz u P

y = Cx + Dw w

y u

Controller K:

ẋK = AK xK + BK y K

u = C K xK

Controlled system described as ξ˙ = Aξ + Bw, z = Cξ with

A BCK Bw

A B

= BK C AK BK Dw .

C D

Cz Dz CK 0

closed-loop system over all controllers which render A Hurwitz.

49/82

Hypotheses

We derive a solution to this optimal synthesis problem in terms of AREs

under the following assumptions:

1. (A, B) is stabilizable and (A, C) is detectable.

Are required for the existence of a stabilizing controller.

T

Bw T 0

2. Dz Cz Dz = 0 I and Dw = .

Dw I

It’s essential that Dz and Dw have full column and row rank. The

other properties are introduced to simplify the formulas.

on the imaginary axis.

Are required for the existence of stabilizing solutions of AREs.

50/82

Output-Feedback Control: Riccati Equation Solution

Under the given hypotheses the H2 -problem admits an optimal solution.

This main result of this lecture is formulated as follows.

AT P + P A − P BB T P + CzT Cz = 0,

AQ + QAT − QC T CQ + Bw BwT = 0,

an H2 -optimal controller is given as

ẋK = (A − BB T P − QC T C)xK + QC T y, u = −B T P xK

and the corresponding optimal closed-loop H2 -norm is

p

tr(BwT P Bw ) + tr(B T P QP B).

The proof is given in the appendix. The following remarks on the inter-

pretation and on generalizations of this result are essential.

51/82

Output-Feedback Control: The Separation Principle

The H2 -optimal state-feedback gain is F = B T P while L = QC T is the

H2 -optimal observer gain. With these, the optimal H2 -controller can be

written as ẋK = (A − BF − LC)xK + Ly, u = −F xK or as

ẋK = AxK + Bu + L(y − ŷ), ŷ = CxK , u = −F xK .

• If the system state is available for control then u = −F x is optimal.

Otherwise, one just has to replace x by an optimal estimate xK of

the state and optimally control the system with u = −F xK . In short:

Optimal state-feedback + Optimal estimation = Optimal output-feedback.

mate −F xK of the unavailable but to-be-implemented signal −F x.

The “extra cost” for this estimation is tr(F QF T ) if compared to the

cost for optimal state-feedback controller.

52/82

Output-Feedback Control: Comments

In Matlab’s robust control toolbox the command h2syn allows to solve

the H2 -control problem. The algorithm is applicable for systems P

ẋ = Ax + Bw w + Bu z w

z = Cz x + Dzw w + Dz u P

y u

y = Cx + Dw w + Du

1. (A, B) is stabilizable and (A, C) is detectable.

There exists some N with Dzw + Dz N Dw = 0.

A − iωI B

2. Dz and have full column rank for all ω ∈ R.

Cz Dz

A − iωI Bw

3. Dw and have full row rank for all ω ∈ R.

C Dw

These properties are natural generalizations of those on slide 50. 53/82

How to Enforce Satisfaction of Hypotheses?

Condition 1 is necessary for the existence of a stabilizing controller which

renders the closed-loop transfer matrix strictly proper.

A − iωI B

Dz

, Cz Dz have full column rank ∀ ω ∈ R.

Dze

Cze Cze

A − iωI Bw Bwe

Dw Dwe , have full row column ∀ ω ∈ R.

C Dw Dwe

rough choices demonstrate:

I 0 Bwe I 0

Cze Dze = and = .

0 I Dwe 0 I

54/82

How to Enforce Satisfaction of Hypotheses?

Then define, with small > 0, the perturbed open-loop system P :

ẋ = Ax + Bw w + Bwe we + Bu

z w

z = Cz x + Dzw w + Dz u ze P we

ze = Cze x + Dze u y u

y = Cx + Dw w + Dwe we + Du

The perturbed system satisfies the required hypothesis and one can find

an optimal H2 -controller K with optimal value γ . Now interconnect

K with the the original system P with closed-loop transfer matrix T .

level of at least γ :

kT k2 ≤ γ .

Moreover, γ converges monotonically to the optimal achievable H2 -

norm level for P (although an optimal controller might not exist).

55/82

Example

In the lectures we provide a demo on designing an output-feedback

tracking controller for the motor on slide 36. We obtain the following

responses for a pole-placement and LQG-synthesis with low noise-levels:

Control action

20

0

−20

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

Control action

20

0

−20

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

56/82

Example

For increased noise-levels we see the benefit of LQG-control:

Control action

20

0

−20

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10

Control action

20

0

−20

0 2 4 6 8 10

Reference (red) and output

2

−2

0 2 4 6 8 10 57/82

Example

However, comparisons of this sort can be misleading:

• Obviously the response of the pole-placement observer to non-zero in-

itial conditions is faster than that of the LQG controller. This explains

its higher sensitivity to noise. Slowing down the observer poles does

not alter the tracking behavior (a lot), but it reduces the sensitivity

to noise.

• For this simple example, one can obtain similar designs by pole-

placement and LQG-synthesis after tuning. In practice, modern syn-

thesis tools rather serve to reduce the time required for tuning a

controller, while the optimality properties are not that crucial.

• LQG output-feedback controllers suffer from an essential deficiency:

There are no guarantees for robustness! This lead to the development

of dedicated tools for robust controller synthesis. You are now well-

prepared to enter this exciting field of control.

58/82

Appendix

59/82

Proof of Theorem 11: Step 1

Choose a minimal realization G(s) = CG (sI −AG )−1 BG . Since G has no

poles in C0 , the matrix AG has only eigenvalues in C− or C+ . In suitable

coordinates we can assume that the realization has the structure

A1 0 B1

0 A2 B2 , eig(A1 ) ⊂ C− , eig(A2 ) ⊂ C+ .

C1 C2 0

Therefore

G(s) = C1 (sI − A1 )−1 B1 + C2 (sI − A2 )−1 B2 .

Observe that

G(−s)T = B2T (−sI − AT2 )−1 C2T + B1T (−sI − AT1 )−1 C1T .

Since G(iω)∗ = G(−iω)T , we have G(s) = G(−s)T for s ∈ C0 and

hence for all s ∈ C (different from poles of G(s) and G(−s)T ). Thus

the stable and anti-stable parts in the additive decomposition of G(s)

and G(−s)T coincide. 59/82

Proof of Theorem 11: Step 1

Therefore

C1 (sI −A1 )−1 B1 = B2T (−sI −AT2 )−1 C2T = (−B2T )(sI −(−AT2 ))−1 C2T .

By realization minimality, there exists a non-singular T such that

A1 = −T AT2 T −1 , B1 = T C2T , C1 = −B2T T −1 .

Performing yet another state-coordinate change proves the following

intermediate fact.

A 0 B

0 −AT −C T with eig(A) ⊂ C− .

C BT 0

controllable and (A, C) being observable.

60/82

Proof of Theorem 11: Step 2

If we define J(s) = C(sI − A)−1 B we infer

G(iω) = J(iω) + J(iω)∗ < 0 for all ω ∈ R.

Hence J is said to be positive real. This has the following consequence,

the result of which is the celebrated Positive Real Lemma.

AX + XAT < 0 and B + XC T = 0.

Due to XC T = −B, the right-hand side is J(iω)∗ + J(iω) = G(iω).

This proves that T (s) = C(sI − A)−1 B̃ is the filter to-be-constructed.

61/82

Proof of the Positive Real Lemma

For ν > 0 let us consider the perturbed algebraic Riccati equation

AX + XAT − ν(XC T + B)(XC T + B)T = 0.

It suffices to show that this ARE has a solution Xν which does converges

to some X for ν → ∞. Indeed, we can then conclude AXν +Xν AT < 0

which implies AX + XAT < 0; moreover from

1

(AXν + Xν AT ) = (Xν C T + B)(Xν C T + B)T

ν

we infer Xν C T + B → 0 and thus XC T + B = 0.

written as

(A − νBC)X + X(A − νBC)T − νXC T CX − νBB T = 0. (∗)

Clearly ((A − νBC)T , C T ) is controllable.

62/82

Proof of the Positive Real Lemma

According to slide 66, we need to show for any ω ∈ R that

(A − νBC)T − iωI −νC T C

det 6= 0. (∗ ∗)

νBB T −(A − νBC) − iωI

For this purpose note that G(−iω) + ν1 I 0 and hence

1

J(−iω)∗ + J(−iω) + I 0.

ν

In particular the left-hand side is non-singular; it is also clearly (check!)

the Schur complement of

T

A − iωI 0 CT

0 −A − iωI −B (∗ ∗ ∗)

T 1

B C ν

I

with respect to the left-upper block. Since A has no eigenvalues in C0

we infer that (∗ ∗ ∗) is non-singular. Hence the Schur-complement with

respect to the right-lower block is also non-singular. This is (∗ ∗).

63/82

Proof of the Positive Real Lemma

Let Xν− and Xν+ denote the stabilizing and anti-stabilizing solution of

(ARE). Now observe for ν ≥ µ that

Again by slide 66 we infer Xν− 4 Xµ− . Combined with a similar argument

for Xν+ we conclude

Xµ+ 4 Xν+ 4 Xν− 4 Xµ− for ν ≥ µ.

This implies that Xν− is non-increasing and bounded from below for

increasing ν. Hence it converges for ν → ∞ as we desired to show.

Remark: The same argument applies to Xν+ . We get two limits which

lead to different spectral factors that are distinct in the properties of

their zeros. A detailed exposition goes beyond this course.

64/82

Example for Theorem 11

1−s2

Consider G(s) = s4 −13s 2 +36 . Determine a minimal realization of G and

−2 1.73 −0.06

J = 0 −3 0.13

.

−0.87 0.5 0

By solving the perturbed ARE we obtain the two approximate solutions

as in the Positive Real Lemma:

−1.02 0.16 −1.12 0.94

X− = , X+ = .

0.16 −0.19 0.94 −6.12

These lead to the two spectral factors

−s − 1 −s + 1

T− (s) = 2 , T+ (s) = 2 .

s + 5s + 6 s + 5s + 6

The first shares the stable zero with G, while the second one shares the

anti-stable zero with G. This is not a coincidence but a general property!

65/82

Riccati Theory: Addendum I

With controllable (A, B), positive definite R and just a symmetric Q,

let us consider the algebraic Riccati equation

AT P + P A − P BR−1 B T P + Q = 0.

A −BR−1 B T

• H= does not have an eigenvalue in C0 .

−Q −AT

• The ARE has a unique solution P− for which A − BR−1 B T P− is

Hurwitz. P− is called the stabilizing solution.

• The ARE has a unique solution P+ for which A − BR−1 B T P+ is

anti-Hurwitz. P+ is called the anti-stabilizing solution.

P+ 4 P 4 P− (or P+ ≺ P ≺ P− ).

66/82

Riccati Theory: Addendum I

Equivalence of the first two items is Theorem V-7. Equivalence to the

third item is a direct consequence as discussed in the exercises.

The relations among the various solutions is proved as in Theorem V-10,

by exploiting

for ∆ = P2 − P1 .

For example for P2 = P and P1 = P+ we infer

(A − BR−1 B T P+ )T ∆ + ∆(A − BR−1 B T P+ ) < ∆BR−1 B T ∆ < 0.

Since A − BR−1 B T P+ is anti-stable, we infer ∆ < 0 and thus P < P+ .

(If P satisfies the strict Riccati inequality, all derived inequalities are

strict as well.)

67/82

Riccati Theory: Addendum II

Suppose that (A, B) is stabilizable and (A, C) has no unobservable

modes on the imaginary axis. Then the ARE

AT P + P A − P BB T P + C T C = 0 (ARE)

has a unique stabilizing solution P which also satisfies P < 0.

Let us reveal a useful relation to the set of all solutions X 0 of the

so-called strict algebraic Riccati inequality (ARI)

AT X + XA − XBB T X + C T C ≺ 0. (ARI)

any positive semi-definite solution is actually positive definite.

68/82

Proof: Step 1

The kernel N (P ) of P is A-invariant and contained in N (C).

Indeed, with x satisfying P x = 0, we infer from xT (ARE)x = 0 that

kCxk2 = 0 and thus Cx = 0. Then (ARE)x = 0 implies P Ax = 0.

This proves the claim.

matrix T = (T1 T2 ). Then

T P1 0

T PT = and P1 0.

0 0

Due to AN (P ) ⊂ N (P ) and N (P ) ⊂ N (C) we also infer

−1 A1 0 −1 B1

T AT = , T B= , CT = C1 0 .

A21 A2 B2

W.l.o.g. (coordinate-change - check!) we can assume that the matrices

are already given in this form while X has no particular structure.

69/82

Proof: Step 2

By inspection, the ARE reads as AT1 P1 +P1 A1 −P1 B1 B1T P1 +C1T C1 = 0.

This implies for Q1 = P1−1 (recall invertibility!) that

(A1 + Q1 C1T C1 )T = −P1 (A1 − B1 B1T P1 )P1−1 .

Therefore A + Q1 C1T C1 is anti-stable. (All eigenvalues are in the open

right half-plane.) We also have

A1 Q1 + Q1 AT1 − B1 B1T + Q1 C1T C1 Q1 = 0.

Similarly, Y = X −1 satisfies AY + Y AT − BB T + Y C T CY ≺ 0. Just

by considering the left-upper block, we infer for

Y1 Y12

Y =

Y21 Y2

that Y1 satisfies the strict algebraic Riccati inequality

A1 Y1 + Y1 AT1 − B1 B1T + Y1 C1T C1 Y1 ≺ 0.

70/82

Proof: Step 3 - The Coup de Grâce

By last property on slide 66 we conclude Q1 Y1 . (This requires some

work; please check!) Due to

−1

Y1 Y12 X1 X12

=

Y21 Y2 X21 X2

and the block-inversion formula we have

P1 = Q−1

1 ≺ Y1

−1

= X1 − X12 X2−1 X21 .

With X2 0 we infer

X1 − X12 X2−1 X21 0

P1 0

≺ .

0 0 0 X2

I X12 X2−1

A congruence transformation with finally leads to

0 I

P1 0 X1 X12

≺

0 0 X21 X2

which finishes the proof.

71/82

Proof of Theorem 14

If γopt denotes the optimal value of the H2 -problem, the first step is

to show tr(BwT P Bw + B T P QP B) ≤ γopt2

. Choose γ > γopt . We can

then find AK , BK , CK which render A Hurwitz and such that kC(sI −

A)−1 Bk22 < γ 2 . By simply expanding the controller realization with

stable uncontrollable or unobservable modes, we can assume that AK

has at least the same dimension as A. Moreover, by slide 6 there exists

some X 0 with AT X + X A + C T C ≺ 0 and tr(B T X B) < γ 2 . With

Z := B T X B + I and suitably small > 0 we then infer

T T X XB

A X + X A + C C ≺ 0, 0, tr(Z) < γ 2 . (1)

BT X Z

More precisely, let (X U ) denote the upper block row of X . We can

assume that U has full row rank and that the right-lower block of X is

non-singular (after perturbation if necessary). This assures:

72/82

Proof of Theorem 14

There exist X, U and Y , V such that

I VT Y 0

X = and S has full row rank. (2)

I 0 X U

| {z } | {z }

S R

Let us first prepare some relations for the proof. In view of (1) we need

T T T T T SX S T SX B

SA X S + SX AS + SC CS ,

BT X S T Z

which are equal to

T T T T T RS T RB

SA R + RAS + SC CS , . (3)

B T RT Z

First note that

T Y 0 I I Y Y

RS = =

X U V 0 Y X

where we exploited the fact that this matrix is symmetric.

73/82

Proof of Theorem 14

Moreover, all other blocks in (3) can be explicitly written as

Y 0 Bw Y Bw

RB = = ,

X U BK Dw XBw + U BK Dw

T

I I

CS = Cz Dz CK = Cz + Dz CK V Cz

V 0

and

T Y 0 A BCK I I

RAS = =

X U BK C AK V 0

Y 0 A + BCK V A

= =

X U BK C + AK V BK C

Y (A + BCK V ) YA

= .

X(A + BCK V ) + U BK C + U AK V XA + U BK C

74/82

Proof of Theorem 14

Therefore the matrices in (3) read as

T

Y Y Y Bw

R1 R21

, Y X XBw + U BK Dw (4)

R21 R2

Bw Y (∗)T

T

Z

with blocks

R1 = (A + BCK V )T Y +Y (A + BCK V )+(Cz + Dz CK V )T (Cz + Dz CK V ),

R2 = AT X + XA + U BK C + (U BK C)T + CzT Cz ,

With the equation for P and with ∆ = X − P let us note that R2 and

R21 can be written as

R2 = AT ∆ + ∆A + U BK C + (U BK C)T + P BB T P,

R21 = AT (Y − P ) + ∆A + (P + ∆)BCK V + U BK C + U AK V + P BB T P.

75/82

Proof of Theorem 14

After these preparations we continue the proof. Since S has full row

rank, (1) clearly implies that R1 ≺ 0, R2 ≺ 0 and that the second

matrix in (4) is positive definite. By slide 34, R1 ≺ 0 implies P ≺ Y .

On the other hand, by taking the Schur-complement we infer

X XBw + U BK Dw I

T − T Y I Bw 0.

(XBw + U BK Dw ) Z Bw

Combining the last two inequalities implies (recalling X − P = ∆) that

∆ ∆Bw + U BK Dw

0.

(∆Bw + U BK Dw )T Z − BwT P Bw

With L = −∆−1 U BK we have ∆Bw + U BK Dw = ∆(Bw − LDw ) and

therefore Z − BwT P Bw − (Bw − LDw )T ∆(Bw − LDw ) 0. This shows

tr(Bw − LDw )T ∆(Bw − LDw ) < γ 2 − tr(BwT P Bw ) (∗)

due to (1). Moreover R2 ≺ 0 as at the bottom of slide 75 reveals

(A − LC)T ∆ + ∆(A − LC) + P BB T P ≺ 0. (∗∗)

76/82

Proof of Theorem 14

By slide 6 the inequalities (∗), (∗∗) show that A − LC is Hurwitz and

A − LC Bw − LDw
2

< γ 2 − tr(BwT P Bw ).

BT P 0

2

This allows to apply our result on H2 -estimation on slide 41. Due the

choice of Q we can hence conclude

tr(B T P QP B) + tr(BwT P Bw ) < γ 2 .

Since γ > γopt was arbitrary we finally get

2

tr(B T P QP B) + tr(BwT P Bw ) ≤ γopt .

This concludes the first part of the proof.

Equality is shown by constructing an optimal controller. For this purpose

we follow the above steps as much as possible in the reverse order,

which includes a motivation for the structure of the to-be-constructed

controller.

77/82

Proof of Theorem 14: Controller Construction

Due to our result on H2 -estimation on slide 41 (applied for Cz replaced

with B T P ) we know that A − QC T C is Hurwitz and leads to

A − QC T C Bw − QC T Dw
2

= tr(B T P QP B).

BT P 0

2

Therefore the solution ∆ of

(A − QC T C)T ∆ + ∆(A − QC T C) + P BB T P = 0 (5)

satisfies

tr(Bw − QC T Dw )T ∆(Bw − QC T Dw ) = tr(B T P QP B). (6)

recalling the state-feedback problem, we clearly have R1 = 0 for Y = P ,

V = I and CK = −B T P . (We stress that we could take ANY non-

singular V at this point - the constructed controller would then just

have a different state-space realization!)

78/82

Proof of Theorem 14: Controller Construction

Next enforce R2 = 0 and R21 = 0 if represented as at the bottom of

slide 75. Indeed, (5) implies R2 = 0 with U = −∆ and BK = QC T .

Moreover, with all the choices so far we have

∆(A − BB T P − QC T C − AK ) = 0

with AK = A − BB T P − QC T C. Further take X = ∆ + P such that

the two representations of R2 and R21 on slide 75 are indeed correct.

P + ∆ −∆

X =

−∆ ∆

is easily seen to be the unique solution of (2). This renders all equations

on slides 73-75 satisfied.

79/82

Proof of Theorem 14: Controller Construction

Now we can conclude the proof. The constructed controller is exactly

the one on slides 51 and 52. Since A − BB T P and A − QC T C are

Hurwitz and due to the observer structure, it is certainly stabilizing.

implies SAT RT + RAS T + SC T CS T and thus AT X + X A + C T C = 0

by using (2) and exploiting that S is now square and non-singular.

= tr(BwT P Bw ) + tr(B T P QP B)

due to (6). This finishes the proof.

80/82

References

• [KK] H.W. Knobloch, H. Kwakernaak, Lineare Kontrolltheorie, Springer-Verlag

Berlin 1985

• [AM] K.J. Aström, R.M. Murray, Feedback Systems: An Introduction for Scientists

and Engineers, Princeton University Press, Princeton and Oxford, 2009 (available

online for free with Wiki, just google.)

• J.P. Hespanha, Linear Systems Theory, Princeton University Press, 2009

• [S] E.D. Sontag, Mathematical Control Theory, Springer, New York 1998

• [K] T. Kailath, Linear Systems, Prentice Hall, Englewood Cliffs, 1980

• [F] B. Friedland, Control System Design: An Introduction to State-space Methods.

Dover Publications, 2005

• W.J. Rugh, Linear System Theory, Prentice-Hall, 2 1998

• R. Brockett, Finite dimensional linear systems, Wiley, 1970

• W.M. Wonham, Linear multivariable control, a geometric approach, Springer-

Verlag, 3 1985

81/82

References

• J. Zabczyk, Mathematical Control Theory: An Introduction, Birkhäuser, 2007

• B.A. Francis, A course in H∞ -control theory, Springer, 1987

• H.K. Khalil, Nonlinear Systems, Prentice Hall, 3 2002

• L. Arnold, Stochastic Differential Equations: Theory and Applications, Wiley, 1974

• A. Packard, State-space Youla Notes, Course in Multivariable Control Systems,

UC Berkeley, 2008

• J.M. Coron, Control and nonlinearity, Mathematical Surveys and Monographs,

2007

• Y. Yuan, G.-B. Stan, S. Warnick, and J.M. Goncalves, Minimal realization of the

dynamical structure function and its application to network reconstruction, IEEE

Transactions on Automatic Control, http://www.bg.ic.ac.uk/research/g.stan/,

2012

• J.S. Freudenberg with C.V. Hollot and D.P. Looze, A first graduate course in

feedback control, 2003

82/82

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