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**1.1 Linear Quadratic Regulator
**

Consider the system

& = Ax + B u x And the performance criteria

J [u (⋅)] = ∫ [ x T Qx + u T Ru ]dt , K Q ≥ 0, R > 0,

0

∞

p Problem: Calculate function u : [0, ∞] a ℜ such that J [u ] is minimized.

Remarks: 1. LQR can be considered for final times 2. LQR can be considered for time varying matrices 3. LQR can be extended in several ways to nonlinear systems (e.g. State Dependent Riccati Equations) 4. LQR assumes full knowledge of the state The LQR controller has the following form u (t ) = − R −1B T Px (t )

n× n Where P ∈ ℜ is given by the positive (symmetric) semi definite solution of

0 = PA + AT P − Q + PBR −1 B T P

This equation is called Ricatti equation. It is solvable iff the pair and (Q, A) is detectable LQR controller design

( A, B) is controllable

( A, B ) is given by “design” and can not be modified at this stage (Q, R ) are the controller design parameters. Large Q penalizes transients of x , large 2. R penalizes usage of control action u

1.

**1.2 Linear Quadratic Gaussian Regulator
**

In LQR we assumed that the whole state is available for control at all times (see formula for control action above). This is unrealistic as the very least there is always measurement noise. One possible generalization is to look at

**& = Ax + B u + w x y = Cx + v Where v, w are stochastic processes called measurement and process noise, respectively.
**

For simplicity one assumes these processes to be white noise (ie zero mean, uncorrelated, Gaussian distribution) Now only y (t ) is available for control. It turns out that for linear systems a separation principle holds ˆ (t ) estimate the full state x(t ) using the available information 1. First, calculate x ˆ (t ) in place of the true 2. Secondly, apply the LQR controller, using the estimation x (now unknown) state x(t ) . Observer design (Kalman Filter)

**ˆ (t ) is calculated by integrating in real time the following ODE The estimation x & ˆ = Ax ˆ + Bu + L ( y − Cx ˆ) x
**

With the following matrices calculated offline (ie before hand)

**L = PC T R −1 0 = AP + PAT − PC T R −1CP + QY , P ≥ 0, Q = E ( wwT ), R = E (vvT )
**

The Riccati equation above has its origin in the minimization of the cost functional

ˆ (⋅)] = ∫ [( x ˆ − x)( x ˆ − x)T ]dt J[x

−∞

0

1.3 H∞ Control

p×q H∞ norm of a transfer function G ( s ) ∈ C is defined by

G ( s)

∞

= max ω∈ℜ G ( jω )

2

= max ω∈ℜ σ 1 (G ( jω ))

Where σ 1 denotes the largest singular value of the complex matrix G ( jω ) . Consider the system depicted below.

& = Ax + B1 w + B 2u x z = C1x + D12 w y = C2x + w w(t ) is a disturbance acting on the system, while u (t ) is the control action. Further, z (t ) is to be understood as performance index.

Problem H∞ Control is about finding the stabilizing control (not necessarily memoryless) law u (t ) = F ( y (t )) That stabilizes the system above and minimizes the effect of the disturbance w(t ) on the performance index z . This goal can be achieved by minimizing the H∞ norm of the transfer function T : w a z that is generated once a controller design has been chosen. H∞ Control Design In practice one does not seek the optimal controller (ie the ones that produces the absolute minimal value for T ∞ but the design is made using an iterative procedure that seeks for reducing the norm while still looking at other performance measures. Indeed, for any sufficiently large given γ > 0 one can calculate a controller that makes T ∞ < γ using the following formulae i) Find X ≥ 0 that satisfies the ARE 0 − XA + AT X − C1T C1 + X (1 / γ 2 B1B1T − B 2 B 2T ) X And A − (1 / γ 2 B1B1T − B 2 B 2T ) X is stable ii) ii) Find Y ≥ 0 that satisfies the ARE

**0 − AY + YAT − B1B1T + Y (1 / γ 2C1T C1 − C 2T C 2)Y And A − (1 / γ 2C1T C1 − C 2T C 2)Y is stable
**

iii)

ρ ( XY ) < γ 2 (lowest singular value)

Then the dynamic H∞ controller has the form

**& = Ax ˆ ˆ + B1 wworst (t ) + B 2uopt (t ) + ZL(C 2 x ˆ (t ) − y (t )) x ˆ (t ) wworst (t ) = γ 2 B1T Xx ˆ (t ) uopt (t ) = Fx
**

Where

Z = ( I − 1 / γ 2 XY ) −1 L = −YC 2T F = − B2 X

Remarks. 1. For very small values of γ , these equations will have no solution while for very large γ , these equations reduce to the LQG case.

2. The best design is made by an iterative procedure reducing γ that keeps an eye on the disturbance rejection properties at all interesting frequencies (and not jus the maximum value).

**1.4 General Robustness Considerations
**

1. LQR produces very robust controllers 2. LQG robustness not all guaranteed. It is thus it is important to look at the stability radius and spectral values sets of the closed loop design. This is related to the interaction of the transients of the true state, the controller action and the observer. 3. H∞ design provides robustness at the cost of a pessimistic control law: it assumes that the worst possible perturbation is acting on the system at all times.

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