This action might not be possible to undo. Are you sure you want to continue?
KATSUHISA FURUTA Tokyo Institute of Technology
AKIRA SAND
Keio University, Yokohama
In association with
DEREK ATHERTON Sussex University, UK
JOHN WILEY & SONS
Chichester· New York· Brisbane· Toronto· Singapore
This work is an extended version of that first . published by Corona Publishing Company Limned, 446 10Sengoku Bunkyoku Tokyo, Japan
Copyright © 1988 by Katsuhisa Furuta
All rights reserved
No part of this book may be rcproduced by any means, or transmitted, or translated into a machine language without the written permission of the publisher.
Library of Congress Cataloging;nPuhlication Data:
Furuta, Katsuhisa, 1940 . ..
State variable methods in automatic control I Katsuhisa Furuta,
Akira Sano ; in association with Derek Atherton.
p. em.
ISBN 0 471918776
1. System analysis. 2. Control theory. optimization. I. Sano , Akira, 1943
111. Title.
QA402. F87 1988
629.8' 3dc 19
3. Mathematical
II. Atherton, Derek P.
British Librarv Cataloguing in publication Data:
Furuta, Kaisuhisa .
State variable methods in automatic control.
I. Automatic control
l. Title II. Sano, Akita Ill. Atherton,
Derek 629.8' 32
T J213
ISBN 0 471918776
Typeset by Mathematical Composition Setters Ltd, ~Ivy Street, Salisbury Printed and bound in Great Britain by BIddies of GUildford
CONTENTS
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
1.1 SYSTEM REPRESENTA PION 1.1.1 InputOutput Description 1.1.2 State Variable Description
1.1.3 Relationship between Transfer Function and State Variable Description
1 .2 STATE VARIABLE MODELLING 1.2.1 Linearization
1.2.2 Analogies in Physical Systems
1.2.3 Transfer Function and State Variable Description 1.2.4 State Variable Description of an RLC Network
1.3 SOLUTION OF THE LINEAR STATE EQUATION 1.3.1 Homogeneous Linear Equation
1.3.2 Solution of the Inhomogeneous Linear Equation 1.3.3 Calculation of the Transition Matrix
1.4 EQUIVALENT SYSTEMS 1.4.1 InputOutput Relation 1.4.2 Equivalent Systems
1.5 REALIZATION OF SINGLEINPUT AND SINGLEOUTPUT LINEAR SYSTEMS
1.5.1 Companion Form (a): Controllable canonical form 1.5.2 Companion Form (b): Observable canonical form
8735481 1.5.3 Jordan Canonical Form
CIP 1.5.4 Tridiagonal Form
PROBLEMS
2 STRUCTURE OF LINEAR SYSTEMS
2.1 OBSERVABILITY AND CONTROLLABILITY OF
TIMEINVARIANT SYSTEMS
2.1.1 The Condition for Controllability 2.1.2 The Condition for Observability 2.1.3 Duality
2.1.4 Output Controllability 2.1.5 Equivalent Systems
2.2 STATE SPACE STRUCTURE OF TIMEINVARIANT SYSTEMS 2.2.1 Controllable Subspace
1 1 2
5 9 9
14 16 18 20 20 22 24 28 28 29
31 32 33 35 38 40
47
47 47 51 53 53 54 54 55
vi
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
2.2.2 Unobservable Subspace and Kalman's Canonical Decomposition
2.2.3 Stability and Decomposition of the State Space 2.2.4 Lyapunov Function
PROBLEMS
3 CANONICAL FORMS AND MINIMAL REALIZATIONS 3.1 CANONICAL FORM
3.1.1 Canonical Form
3.1.2 The Definition of Canonical Form and Ackermann's Procedure
3.1.3 Canonical Form and InputOutput Relation 3.2 MINIMAL REALIZATION
3.2.1 Dimension of a Minimal Realization
3.2.2 Kalman's Algorithm for a Minimal Realization from a Transfer Matrix
3.2.3 Mayne's Minimal Realization Algorithm PROBLEMS
4 STATE FEEDBACK AND DECOUPLING
4. 1 STATE FEEDBACK
4.1.1 State Feedback and the Controllable Subspace 4.1.2 Pole Assignment by State Feedback
4.1.3 Pole Assignment in the Controllable Subspace 4.2 THE DECOUPLING PROBLEM
4.2.1 Decoupling by State Feedback
4.2.2 Pole Assignment and Zeros of Decoupled Systems PROBLEMS
5 OPTIMAL CONTROL AND OBSERVERS
CONTENTS
vii
61 72 74 76
6 THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL
6.1 THE LQG PROBLEM
6.2 THE KALMAN FILTER
6.2.1 Properties of the Kalman Filter
6.2.2 Treatment of Various Types of Random Noise 6.3 STOCHASTIC OPTIMAL CONTROL
6.3.1 Perfect State Observation
6.3.2 The Separation Theorem
PROBLEMS
176 176 177 182 184 189 189 192 205
78
78 78
85 93 97 97
REFERENCES
207
INDEX
210
100 102 109
112
112 112 114 119 121 121 127 132
135
5.1 OPTIMAL CONTROL 135
5.1.1 Quadratic Criterion Function 135
5.1.2 The Stability of the Optimal Control System 138
5.1.3 Frequency Domain Characteristics of a System with
Optimal Control 141
5.1.4 Square Root Locus 144
5.1.5 Computational Methods of Optimal Control 146
5.2 OBSERVERS 148
5.2.1 State Observer 148
5.2.2 Determination of L in Gopinath's Algorithm 155
5.2.3 Design of a Functional Observer 159
5.2.4 Characteristics of a Closed Loop System
Incorporating an Observer 163
5.3 CONTROL SYSTEM FOR STEP COMMAND 165
5.3.1 Control System Design 166
5.3.2 Behaviour of Observer to Constant Disturbance 169
PROBLEMS 174
1
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
1.1 SYSTEM REPRESENTATION
1.1.1 InputOutput Description
The inputoutput description of a system gives a mathematical relationship between the input and output of the system. The impulse response, the transfer function and the frequency response are typical examples of this description. The system shown in Figure 1.1 has m inputs and p outputs, which are written as the vectors u(t) = (UI' ... , UIII)T and y(t) = (YI, ... , Yp)T respectively. If the time function u is defmed only over the interval [to, td, we write it as u[lo.rd. The output at time t of the system generally depends not only on the input applied at t, but also on the input before and/or after t. Therefore the inputoutput description is given by
yet) = yet, u(co,co)
= roo H(t, T)U(T) dT
(Ll)
where H(t, T) is the matrix impulse response, and the ti, j) element hij(t, T) is the impulse response associated with the input Uj(t) and the output Yi(t). The physical interpretation of hij(t, T) is observed from the fact that when the impulse function Uj(t) = oU  T) is applied as an input at time t = T the output is represented by Yj(t) = hij(t, T).
If the characteristics of a system do not change with time, the system is said to be timeinvariant or stationary. The timeinvariant linear system has the property that if an input is shifted by an amount of time, the waveform of the output remains the same except for the shift by the same amount of time. Therefore, the impulse response H(t, T) depends only on the difference t  T, and the inputoutput description is given by
(1.2)
Generally in dynamical systems, the output at time t depends not only on the input at t but also on the input applied before and/or after t. The system
2
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
H (t,T) 
' hpj ••••• hpm _
ligure 1.1 Matrix impulse response function
MA THEMA nCAL DESCRIPTION 01' LINEAR SYSTEMS
3

Example 1.1 Consider the series RLC circuit shown in Figure 1.2, where the input 1S the voltage u(t) and the output is the capacitor voltage Y(f). The transfer function from u to y is easily evaluated to be
H(s)= Y(s) = lIs
U(s) (3+2s+lls) 5+0.5 s+1 and the impulse response h (t) is given by
h(l) = (r I H(s) = e051 _ e ".
Denoting the initial time as to and taking account of the input U]I".IJ, the output y(t) is described as follows:
y(t) = L", h(t 7)U(T) d r
is said to be causal if the output at t does not depend on the input after t, that is, it depends only on the input applied before and at time t. Every physically realizable system satisfies the causality property. The impulse response of a causal system therefore satisfies
H(t,T)=O
for t < T
and hence the inputoutput description is given by
y(t) = y(t, U( 00,/1)
= LDO n«, T)U(T) d r
1.1. 2 State Variable Description
(1.7)
( 1.3)
The first term in the RIIS of (1.7) indicates the effect of the unknown input before to on the output at I, and is rewritten as
,\ :'~ h(1  T)U(T) dT = e  0.51 j ~'oo ell 57U(T) d r  c i I r,'w e'lI(T) dT
(1. 8)
(1.4)
where
(1.5)
X2 = X2(tO) = L'w eTU(T) d r
x, and X2 are both independent of t. Thus if XI and X2 are known, the output y(t) for I ~ 10 when the circuit is excited by the input U]I",I] can be uniquely calculated. Hence XI and Xz arc the minimum amount of information at to for determining the future output response and therefore we can assign XI (t) and X2(t) as the states for any time I.
II follows from (1.7) and (1.8) that
We consider the output response y(t) after time to of a system excited by the input U[lo,oo), Generally the output y(t) for [~to cannot be uniquely determined by knowledge of the input U[/o,OO) alone, Rewriting (1.1) yields
y(t) = ['eo H(t, T)U(T) dT+ [ H(t, T)U(T) d r and it is noticed that the output y(t) is excited not only by the input U[lo,oo) but also by the unknown input U(  00,1,,) before to. The fu st term in the RHS of (l,5) corresponds to the initial condition at time to. If the zrtuplc parameters x = (Xl, "', Xfl)T which specify the initial condition are given together with the future input U[lo,OO), the output y(t) can be uniquely calculated. x 'is a function of to, and we can represent the output y(t) by
where x(to) is called the state or state variable at time to, and n is the order of the system, The state is the minimal sufficient information that enables us to uniquely calculate the future output y(t) on t ~ to for the input 11110,00) without reference to the past input U( 00,10) before time to,
y(t) = y(t, x(to), lilll),oo)
for t ~ to
(1.9)
(l.6)
+
1F
y(t)
Figur« 1.2 RLC circuit
4
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAl, DESCRIPTION OF LINEAR SYSTEMS
5
Differentiating (J. 7) with respect to ( yields
j(t) = 0.5 e D,S/XI + erX2 + h(O)lI(t)j
r / a
\  h(t  T)U(T) d r. "1,, at
We treat, in many cases, thc transition function 1/; (.) given by the solution of the ordinary differential equation:
and letting t = to in the above equation gives
y(to) =  0.5 e o.5r"XI + er"x2.
x(t) = ([x(f), u(f), tj
for x(to) = Xo
(1.13)
(1.10)
Combined with the output equation (1.11), the description of the dynamical system is summarized as
From (I. 9) and (1.10) we can write
XI = 2 eOSI"[y(to) + i(/o)] X2 = e/"[y(to)I 2j(to)].
This implies that y(to) and jUo) can also be chosen as state variables. They are the physical quantities related with the capacitor charge and the inductor current respectively. It is thus important to note that the choice of the state variables is not unique. We will later show a standard method for deriving the state equation for a general RLC network, where capacitor voltages and inductor currents are taken as the state variables.
xU) = f[xU), u(t), tl y(t) = grx(t), u (f), tl
x(to)=Xo
(1.14)
Putting t = to in (1.4), we have
y(t) = y[t, x(t), UII,IJ)] = g[t, x(t), u(t)l
(1.11)
Provided that f (. ) satisfies the Lipschitz condition with respect to x and is continuous for u and t, and that g (.) is continuous for x, u and t, the state xU) and the output y(t) uniquely exist from any initial condition Xo and input u (f). x, u and yare vectons.with n, 111 and p elements respectively, and the space spanned by x is called the ndimensional state space. If f(') and g (.) in (1.14) do not include t explicitly then the dynamical system is timeinvariant or stationary.
If f(') and g(.) arc linear with respect to x and u, the linear dynamical system is described by:
(a) Timevariant linear system [A (f), B(t), C(t), D(t)l:
This implies that the output y(t) can be specified by the state x(t) and the input u(t) at time t. We call g(.) the output junction.
On the other hand, from (1.6) and (l.11) it is easy to see that x(f) depends on x(to) and U[lu,l] and is hence represented as
xU) = A (t)xU) + B(t)u(t) for x(to) = Xo
y(t) = C(t)x(t) + D(t)u(t)
(b) Timeinvariant linear system (A, E, C, D):
(USa) (l.lSb)
x(f) = 1/;(f; Xa, ta, UI/II,Ij)
for Xo = x(to)
(1.12)
x(t) = Ax(t) + Bu(t) y(t) = Cx(t) + Du(t)
for x(to) = Xo
(1. 16a) (1.16b)
where 1/;(') is called the state transition junction, since it indicates the transition behaviour from the initial state Xo to the state x(t) by the application of the input UII",/j.
In summary, a dynamical system can be described in the compact form shown in Figure 1.3, by using the statetransition function (1.12), the output function (l.11) and incorporating the conecpt of state variables.
where A (t), B(t), C(t), and D(t) (or A, B, C, and D) are matrices with n x n, n x m, p x nand p x 111 elements respectively. If the elements are continuous with respect to t then there exists a unique solution of (1.15).
1.1.3 Relationship between Transfer Function and State Variable Description
rj
I I
, I
, I
" ,
I I
I '
u
g
y
Another description of the inputoutput relationship is the Laplace transform of the impulse response matrix which we call the transjer junction matrix. If the first term in the RHS of (1.5) is assumed zero, the output y(t) depends only on the input U[/",1J. In the timeinvariant causal linear system the inputoutput description, assuming to = 0, is
Output
Input
I I
L ~
Figure 1.3 Schematic diagram of a dynamical system
y(t) = \00 H(t  r)u (r) d r
vO
( 1.17)
6
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMA nCAL DESCRIPTION OF LINEAR SYSTEMS
Let the Laplace transform of fl(t), y(t), and u(t) be defmed by H(s) = Y)!H(t») = [ es/ H(t) dt
yes) =P(y(f»), U(s) = !:f(u(t»)
where I is the identity matrix. In the case when the initial condition is zero, i.e. Xo = 0, the transfer function from u to y is seen to be given by
yes) = H(s)U(s)
( 1.19)
H(s) = C(sl  A) 1 B + D = C adj(sl  A )B + D det(sl A)
The relation between the descriptions H(s) and (A, B, C, D) is illustrated in
(1.22)
(1.18)
(1.23)
The application of the Laplace transformation to (1.17) gives
Figure 1.4.
where H(s) is called the matrix transfer function.
We now determine the transfer function of the linear system (A, B, C, D) described by (1.16). Applying the Laplace transform to (1.16) leads to
Example 1.2 Consider the linear singleinput singleoutput (SISO) system (/I, b, c T, 0)' described by
sX (s)  Xo= AX(s) + BU (s) yes) = CX(s) + DU(s)
(1.20a) (l.20b)
(~~) = (~  I ~) (;~) + (.~)11
Xl 0 0  3 XJ 1
where Xes) = (jJ!x(t»), U(s) = Y'lu(t») and yes) = .Ply(t)]. Rewriting (1.20) we have
Y = ( I
o
O)x
Then,
x (s) = (sl  A)  lXO + (sf  A)  I BU (s)
Yes) = C(sl A)IXO + ! C(sl A)I B + D)U(s)
(1.21a) (1.21b)
der(s!  A) = det (~ s ~ \
~ )'=S(s+ l)(s+3) s+3
ro  i
"~b+ ~ Ui
I
I A I
I I
L  _j
(a)
The transfer function H(s) is given from (1.23) by
(s + 1) (s + 3) s + 3
(100) 0 s(s+3)
H(s) = Yes) = 0 0
U(s) s(s + 1)(s + 3)
s+2
s(s + l)(s + 3)
There are many methods to compute (s1  A)  j. One is to make use of (1.23), which requires calculations of determinants in both the numerator and denominator as done above. Here we present an iterative scheme to calculate (s1  A)  1, which is called the Faddeev algorithm.
Let the characteristic polynomial of the n x n matrix A be denoted by
det(s1 A) == ¢(s)
y(s)
Then,
(1.24)
(b)
( I A )  1 1 (I" /1  1 r /1  2 r )
s  = ¢ (s) /1 1 S + n  2S + ... + 0
( 1.25)
I inure I A Block diagrams of a linear dynamical system. (a) stale variable description. .uu.l (b) input=output description (tram fer matrix function)
[This representation is used since for a S[SO system B becomes a column vector and C a row vector
8
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF' LINEAR SYSTEMS
9
where 0',,1,0',,2, ... ,0'0, r"_I, rll2, ... , ro can be calculated in a recursive manner from:
this theorem that, for any integer i> 0, A 11+1 can be expressed as a linear combination of I, A, ... , A"I.
rllI = I
r" 2 = Ar,,I + 0',,11 r,,3 = Ar,,2 + O'n21
0'11' = tr(Ar,,d 0',,2 =  tr(Ar,,2)/2 0'/13= tr(Arn3)/3
1.2 STATE VARIABLE MODELLING
(1.26a)
1.2.1 Linearization
cc, =  tr(Ar i )/(n  i)
(l.26b)
The technique of linearizing nonlinear systems is extremely important since it provides in many cases a standard approach to analysis. For instance, the method is commonly employed in process control where a process is regulated around certain set points. The linearization technique is also used in designing a control system so as to keep the output along the nominal trajectory.
It is now assumed that a nonlinear control system is described by the di fferential eq nation:
1'0 = Ar, + 0',1 0= Aro+O'ol
0'0= tr(Aro)/n
where tr(X), the trace of X, is the sum of all the diagonal elements of the matrix X.
Example 1.3 Here we again compute (sl A) 1 which appeared in Example 1.2 but this time using the Faddeev algorithm (1.26).
r2 = I, 0'2 = tr(A) =4
(~ 1 r}
T'. = AI'2 + 41 = 3 0'1 = tr(Ard/2 = 3
0
(~ 3 I)
ro=Arl+3/= 0 o , 0'0 =  trCAro)f3 = 0
0 0 x(t) = f(xU), u(t», y(t) = g[x(t), u(t)],
x(to)=xo
( 1.28a) (I.28b)
If the nominal state vector is defmed by x'''(t) and the corresponding control input by u*(t), the state x''(t) satisfies
x*(1) = f[x*(t), u*(I)l y*(t) = g[x*(t), u\t)]
(1.29)
Hence from (1.24) and (1.2S), we obtain
(slA)l= 1 (S2+~S+3 s~:~s =~)
S3 + 4s2 + 3s 0 0 S2 + S

We now consider the deviation of the state and the output from their nominal trajectory owing to the fact that the input deviates from u*(I). We define these deviations by
ouU) = uU)  u*(t) ox(t) = xU)  x*(t) oy(t) = yet)  ~/(t)
The recursive form for [Tr] in (1.26) can be derived as follows: Rearranging (1.25), we obtain
"Cb(s)1 = (sl  A )(rll_Is"' + rll_zs"2 + ... + r,s + ro)
and equating the coefficients with the same power of s yields the formula for [r,J in (1.26).·
Eliminating rl/_', r,I2, ... , ro from 0.26) iteratively, we have
If these variations are assumed to be small, we can expand (1.28) in a Taylor series around the nominal value, as follows
ii*(t) + O)(;''(t) = j;[x*(r), u*(r)] + aji(X, u) IT ,.0X(l)
ax x=x',
u=u
All + O'/_IA" '+ Ci'1I_2A"' + ... + O'jA + 0'01= 0
(1.27)
+ ~J;~: u) [=< ou(l) + o(ox, ou)
which also implies .p(A) = O. This well known result is the CayleyHamilton theorem, which will be frequently referred to later. It is easily shown from
U=U
for i=1,2, ... ,n
10
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
11
y/(t) + oy,(1) = gi[X*(t), U''(t)] + agi(X, u) IT ., .. ox(t)
ax x~x~
If x", u* and },* are chosen constant as the equilibrium or steady state such that they satisfy
U=U
0= f'(x", u")
(L31a) (1.3lb)
+ agi(X,~) IT 0 <
ou(t) + o(ux, ou)
au ,=<
y* = g(x*, u"),
fori=1,2, ... ,p
the linearized equation corresponding to (1.30) becomes the timeinvariant linear system
where 0 (ox, ou) denotes higher order terms.
By introducing the Jacobian matrices
ajl ajl
A (t) == af(\u) I. .' aXI aXil
ax ,_ x" of" af"
1I=1I
aXI Bx; x = x
ll::...;.U
ajl ajl
8(t) == af~:~U) 1,=", = aUI aUIII
of" af"
*
U=lI
aUI aUIII :\=x
lJ = II ..
agl agl
C(t) == ag(x, u) I . = aXI aXil
axT *
x = \* agp
uu
ax! o x; *
x=x
u=u
es. agl
D(t) == ag~:~u) I x=,* = au! aUIIl
agp agp
*
u=u
au! aUIIl X=X
L1=1l *
wc have the linearized system description
ox(t) = AU) ox(t) + B(t) ou(t), for ox(to) = oXo (1.30a)
oy(t) = C(t) ox(t) + D(t) ou(t) (1.30b) ox(t) = A ox(t) + B .suU) oy(t) = C ox(t) + D ou(t)
(1.32a) (1.32b)
Example 1.4 (Dynamics of a stirred tank). Consider the stirred tank shown in Figure 1.5. The tank is fed with an incoming now with constant temperature 8i (oC) and !low rate is qi(t) (rrr' Is). We consider the dynamical behaviour of the temperature and the level of the tank, whith arc later chosen as/the state variables. It is assumed that the tank is heated and stirred well so that the temperature of the outgoing now equals the temperature eo(t) in the tank. Other symbols are defmed as follows: qo(t)(m 3/S) is the outgoing now rate, v(t) (caljs) the heat input, C (cal/m30C) the specific heat of the flow, h(t) the level of the tank, S (rn ') the crosssectional area of the tank and hence the volume, V(t), is equal to ShU).
From the mass balance equation, we have
Sil(t) = qi(t) q,,(l) qo(t) = aJh(t)]
( 1.33a) (1.3 3b)
(1.33c)
T
h (t)
( t )
====i><JI~
U ei, q, 1111\
v(t)
III \\ 80 (t i, qo ( t )
v (t)
This equation describes the variations around the nominal trajectory and has at least fir storder accuracy.
Heater
Figure 1.5 Stirred tank
12
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
13
We take C}j(t) and v(t) as the inputs and the output y(t) to be y(l) = (qo(r») = (a'[h(t)l)
eo(t) e,,(t)
and the output
(~j:) = (a)~r») .
We nO\N assume only small deviations from the steady state such that
( 1.36)
( 1.34)
We consider now a steadystate situation where all quantities are constant, i.e. qj* and q~:' for the now rates, v * for the heating rate, h * for the level and 17" for the temperatures. In Ihis stationary state, the following relations hold:
0= q;""  C},;', C}~:' = 0'\ (11':')
0= cot q;*  c()" "'qo" + v'"
(1.35a) ( 1.35 b)
qj(t) = qt + ()(!i(t), h(t) = h'" + oh(t),
v(t) = v* + ov(t) e,,(t) = e;;' + MoU)
and expand (1.33a) to (l.33c) in Taylor series around the stationary values to obtain
(I "') 1
oh(r) ~  ~ oh(£) +  8qj(r)
2Sh' 5
Mg
I+ /J
. " 0'1(11") ..
h"80o(t)+e~ 8h(t)= _,_. , e~8h(1)
25/7'
a.J(h") 17, I
 Ma(r) +  8qj(t) +. 8v(t)
S 5 cS
t =0
Figure 1.6 Inverted pendulum
Using the notation V'" == Sh *, qo* == 0'\ (/7 *) and p * "'" V*/ q~' (holdup lime of the tank), these linearized equations can be summarized in vector form.
The state equation is
(0~1(t») = (J/2P
817o(t) 0
o ) (011(1») (l/S 0) (Oqj(t»)
···I/p Q(),,(I) + (OJ  0,;:')/ V'" l/cV'" Ol!(r)
pendulum are given by ~ t / sin ¢ and I cos ¢ respectively. The equations of motion can be seen to be
(1.37a)
d 2 d
J  ¢ + C  1> = VI sin ¢;  HI cos ¢
dtI dt
d2
In ) (I cos ¢) = V  mg dt
and the output equation is
(OqoU») = (q:'J2h*
Wort) 0
0) (011(1»)
I Mo(t)
(J .37b)
d2
m ', (~ + I sin rp) = H dr '
dZ d
M2 ~+ F ~=uH
dt dt
where the length of the pendulum is 2/, the moment of inertia with respect to the centre of gravity is J = ml 3/3, and H and V are horizontal and vertical reaction forces, respectively, on the pivot. C and F represent the friction coefficients for the rotary motion of the pendulum and the linear motion of the carriage, and u is the force driving the carriage.
Eliminating H and V from these equations gives
(J I 1I112)¢ + (m! cos ¢)~ =  C~ + mlg sin dJ
(M + /Il)~ + (1/11 cos ¢)¢ =  F~ + (ml sin ¢)¢2 + II
(1.38)
Example 1.5 (Model for stabilization of inverted pendulum). We consider the inverted pendulum shown in Figure 1.6. The pivot of the pendulum is mounted on a carriage which. can move in a horizontal direction. The pendulum can be kept balanced at a specified position by applying horizontal forces to drive the carriage.
From inspection of Figure 1.6 we construct the differential equations describing the dynamics of the inverted pendulum and the carriage. The horizontal displacement of the pivot on the carriage is ~(t), while the rotational angle of the pendulum is dJ(t). The horizontal and vertical positions of the centre of gravity of the
14
STA TE VARIABLE METHODS IN AVTOMA TIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
15
Using sin ¢ == d, and cos ¢ == 1 for small 1>, we can derive the linearized equations with respect to i5rf, about ¢ '" = 0 from (1.38). Then replacing o¢ by ¢ gives
1I1/~ f (J + mI2)¢ =  C¢ + mIg ¢ (M + 111)~ + ml¢ =  F~ + u
Table 1.1 Analogy of mechanical systems and electric circuits
(1.39)
Mechanical Mechanical Electric Electric
translation rotational circuit circuit
system system (a) (b) Choosing the states XI "" ~, Xl"" ¢, X3 "" ~ and x~ "" ¢, we obtain for the linear slate space model of the inverted pendulum
where Li. "" (1\1 + /11) J + Mm/2
Variables Force: f Torque: T Voltage: v Current: i
Velocity: v Angular Current: i Voltage: v
velocity: w
Distance: y Angle: e Eleclric Magnetic
charge: q flux: ¢
(y=]vdt) (e = ]w dt) (q=lidt) (¢ = Iv dt)
Elements Mass: M Moment of Inductance: L Capacitance: C
and functions inertia: J (v = L :t(i»)
U=Mu) (T= ]w) (i = CU)
Damping Damping Resistance: R Conductance: G
constant: D constant: D
U= D/J) (T= Dw) (u= Ri) (i = Gu)
Stiffness: K Stiffness: K Capacitance: C Inductance: L
U=Kjvdt) (T=Klwdt) (V=Zlid') (i=±SVdl) I o
 F(J + m/2)} Li. mlF!.0.
mL )(~;)+(J' ':"'»)"
C(M+m)!.0. X4 ml/.0.!
(1.40)
1.2.2 Analogies in Physical Systems
An analogy can be formed between a mechanical system, an electric circuit, and other physical systems. These analogies are used in replacing elements of one type of system with analogous quantities of another type of system.
Table 1.1 summarizes analogies of physical quantities between mechanical systems and electric circuits. For instance, Figure 1.7 shows a dynamic translation system and the corresponding electric circuit.
Let YI (t) and Y2 (t) be displacements from the equilibrium position which exist when the force f(t) is zero. Then, the dynamic equations for the motion of the two masses are
(1.41b)
(I.41a)
Next, we obtain equations for the electric circuit, shown in Figure 1.7(b), which is analogous to the mechanical system. If we apply Kirchhoff's voltage law to loops CD and W of the circuit, we obtain
Llih + Rlql + q.l C, + (ql  qz)/Cz = 0 for loop CD
(1.42a)
Lzq: + R2q2 + (q2  qd/Cz = u(t) for loop W (I.42b) where ql = S il dt and qz = 1 i: dt.
Thus we see that the mechanical system and electric circuit yield similar differential equations with the analogous quantities shown in columns one and three of Table 1.1. This analogue is often referred to as the forcevoltage analogue, and that between columns one and four as the forcecurrent analogue (see Problem Pl.4).
(a) (b)
Figure 1.7 Mechanical system and electric circuit
16
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
17
1.2.3 Transfer Function and State Variable Description
We now consider the relationship between the transfer function and a state variable description by analysing a physical system.
Next the state variable description of the motor is investigated. Let us choose the state variables as
XI = e, X2 = e, XJ = iJ
( 1.48)
Again eliminating ia, Va and T.« from (1.43) through (1.46) leads to the differential equation
.' (Ra DI) ,. DIRa + KeKT e KT
e t  +  e +  =  1I
t; II II La II La
It is noted from the choice of the state variables in (l.48) that XI = e = XZ
X2 = Ii = Xl
X3 = iJ
so that we obtain the state space description
( 1.49)
Example 1.6 (Position control of d.c, motor). We consider the position control of an armaturecontrolled d.c. motor, shown in Figure 1.8, where the angular displacement of the molar shaft e can be controlled by changing the armature voltage u. The torque Tm generated at the motor shaft depends on the magnetic field and the armature current i., In the absence of saturation T", is linearly proportional to i.; that is
(1.50)
(1.43 )
where KT is the torque constant (Nm/A). The generated torque Ts. drives the load and overcomes the viscous friction so that the equation of motion is
d2 d
T« = II , e + DI  e (1.44)
dr dt
where II is the total moment of inertia of the motor shaft, including the inertia of the load, rotor and shaft, and DI is the viscous friction constant.
For the armature circuit we have
(XI) (0
:: = ~
1 o
 (RaDI + KeKT)/ Lal1
o ) (XI)
 (Ra/ L: + DII 11)' '.';:
+ ( ~ ) II
KT/ liLa
(I.51a)
d
La  i; + Raia I Va = u dt
(1.45)
y = (I 0 O)x
(I.Slb)
where Va is the back e.m.f, of the armature circuit, which is linearly proportional to the angular velocity of the motor, and given by
As mentioned before, the choice of the state variables is not unique, therefore we can obtain other state variable descriptions. If, alternatively, the states are taken as
( 1.52)
(1.46)
it is easy to see from (1.43) through (1.46) and (1.52) that RaXI + LaXI ~ KeX3 = U
where K; (V/rad/s) is the e.m.f , constant.
First, we give the transfer function representing the inputoutput behaviour of the d.c. motor. Taking the Laplace transforms of (1.43) to (1.46), assuming zero initial conditions, and eliminating ia, Va and T", we obtain the transfer function from u to e as
H(s) = 8(s) = /(1 _
U(s) sr(Las+Ra)(Jls+Dd~ K"KTl
(1.47)
KTXI = 115:3 + DIX3
and then the state variable description has the different form:
(1.53a)
y = (0
0) x
(1.53b)
+
8
Calculating the transfer function for (1.53) using (1.22), we fwd, as expected, that the two statevariable dcscriptions (1.51) and (1.53) yield the same transfer function (1.47). The following relationships exist between the states x and x
XI=XZ, X2~X3, KTXI=llx3+DIX2
l/(t)
or cquivalently in vector form
Figure 1.8 D.c. motor schematic
(L54)
HI
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION Of LINEAR SYSTEMS
19
This indicates the nonuniqueness of a state variable description of a given system and shows that an alternative set of slate variables can be obtained by any nonsingular transformation, T (det T"o 0).
] ,2.4 State Variable Description of an RLC Network
We explain a standard procedure for deriving the state equations of linear RLC networks through a typical example.
Example 1.7 Consider the linear electric circuit shown in Figure 1.9. If we know the initial conditions at time 10, such as the magnetic flux 1>(10) of the inductor and the charges q I (to) and a: (to) of the capacitors, and also the source voltage e, (t) and the source current i,(t) for time t ~ to, then the flux <p(t) and the charges ql (t) and q2(t) are uniquely determined. This implies that the fluxes and charges can be taken as the state variables which can uniquely specify the behaviour of the RLC circuit. Assigning the inductor current h (t) and capacitor voltages Vc (t) as the state variables, since they satisfy the relationships <pU) = Lidt) and q(t) = CVe(t), the procedure is as follows:
c
a
Closed path
b
+
y
Figure 1.10 Equivalent circuit for use with Figure 1.9
(I) Choose the inductor current iL(t) and capacitor voltages ve,(t) and vc,(t) as the states, then
d
 L  is. = VI dt
resistors and sources, Now apply Kirchhoff's voltage and current laws to the circuit of Figure 1.10. The application of Kirchhoff's current law to the nodes a and b
yields
i., (I) 1 i,(t)  iC2(t) = 0 i,,(t)  iL(t) = 0
The application of Kirchhoff's voltage law to loop CD yields
e,(t)  Rli,,(!) ~ Vc, (t) + Uc,(t) + viC!)  R2iL(t) = 0 Solving these three equations with respect to vdt), icJI) and ic2(t) gives
( l.S5)
(2) Describe VL(I), i, (I) and ic,(t) on the RHS of (1.55) in terms of the states idl), VcJI) and va(t) and the inputs e,(I) and (,(I), and, for this purpose, modify Figure 1.9 into Figure 1.10 which shows the equivalent circuit comprising only
ic,U) = idt)  i,U) ic,(t) = iL(I)
VL(t) = tR, + R2hU)  vc,(t)  vc,(I)  dt)  RIHt)
. . (1 56) . (1.)5) and rearranvinz the equations into matrix
Finally su bstituung . II1to ~ ~
form gives
V L
+
y
= (RI
+ (1
c
Figure L 9 R t.c circuit
(idt»)
1) v,Jt)
vc,(t)
( 1.56)
IlL o o
IIL)(h_(t») (IlL
o vc,(t) + 0
o v,,(t) 0
(l.57b)
20
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
21
1.3 SOLUTION OF THE LINEAR STATE EQUATION
(b) The homogenous equation (1.60) with the initial condition x(ta) = Xa has the solution
r n this section we investigate the solution of the linear state equation
x(t) = cpU, ta)xo
for all t
(1.65)
x(t) = A(t)x(t) + B(t)u(t),
for x(to) = Xo
(1. 5 8)
xU) = Ax(t) + Bu(t),
for x(to) = Xo.
(1. 59)
Proof Substituting (1.65) into (1.60), we have
x(t) = ~ cp (t, to)xo = A (t)cp (t, ta)xo = A (t)x(t) at
x (to) = cp(to, to)xo = Xo·
(c) The transition matrix cp(t, to) is nonsingular.
where x(t) is an nstate vector, u(t) an minput vector, A (t) and B(t) are (n X n) and (n X /11) matrices respectively and each element is continuous with respect to t. We also discuss the timeinvariant linear state equation
x(t) = A (t)x(t).
(1.60)
Proof Suppose that Cp(t" to) is singular for some t1' Then there exists a nonzero vector C (:;<,0) such That Cp(t" to)c = 0.1fh.e vector defined by l/;(t) == cp(t, to)c is shown from (1.63) to satisfy l/;(t) = A (t)l/;(t) and l/;(tt} = 0; hence it follows that l/;(t) = 0 for all t, i.e. cp(t, to)c = ~ for all. t. Since c :;<' 0, cpU, to) is singular for all t. This contradicts the nonsingularity of Cp(to, to) = 1. Hence cp(t, to) is nonsingular for all t.
(d) For all to, t, and tz,
1.3.1 Homogeneous Linear Equation
We first consider the solution of the homogeneous equation without any forcing terms, that is
Let r/J, (t, to), r/Jz(t, to), ... , r/J1I(t, to) be the set of solutions of (1.60) associated with the corresponding initial conditions
(1.66)
Proof Let the state variables at time ta, t, and t: be denoted by x(to), x(td and X(t2), then
cpU, to) = (r/Jl (t, to), r/Jz(t, to), ... , r/J,,(t, ta»
(1.62)
x(tt} = cp(t" to)x(to): x(to) > x(tt} x(tz) = CP(t2, tt}x(t,): x(tt} > X(tl) X(t2) = cp (tl, to)x(to) : X(ta) > X(t2)
Combining these solutions, we define the n x n matrix
which is called the transition matrix.
Hence we have
X(t2) = CP(t2, tp)x(tJ) = CP(t2, tdCP(tl, to)x(to).
Then from the uniqueness of the solution of (1.63), (1.66) can be established.
(e) For all t and to,
Properties of the transition matrix
(a) cpU, t{) is the unique solution of the matrix differential equation for all t and to
a
at cp(t, to) = A (t)cp(t, to)
cp (to, to) = I
for t ~ to
(1.63)
(1.64)
Proof It is seen from (1.66) and (1.64) that
CP(ta, to) = CP(/a, t) cp(t, to) = 1.
Hence for all to and t, cpU, to) = cpI (/0, t).
Proof (1.63) and (1.64) are equivalent to the definition of the transition matrix. The uniqueness of the solution is assured by the continuity of AU).
22
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MA THEMA TICAL DESCRIPTION Of LINEAR SYSTEMS
23
(f) The transition matrix <I>(t, to) can be expressed in the series <I>(£,to)=l+ ( A(T)dr+ r r Ah)A(r2) dr2drl + ...
J to J 10 J'll
Theorem I.I
The unique solution of the linear state equation
x(t) = A (t)x(t) + B(t)u (t)
for x(to) = Xo
(1.58)
+ r: r" ... \T' 'A(TJ)A(T2) ... A(TddTk ... dTl+'" (l.67)
J to J 10 .., l(1
is given by
Proof By substitution, it is easily verified that (1.67) is the solution of (1.63) with (1.64).
x(t) = tj;(t; xo, to, u)
= <p(t, to)xo + [,I cpU, T)B(T)u(r) d r J II)
(I. 73)
In the case where the matrix A (I) is constant and equal to A, (1.67) becomes
where cp(t, T) is the transition matrix satisfying (1.63) and (1.64).
I? ,
= l+ A(t to) + A(t to) + ... 2l
( 1.68)
Proof First, by setting I to 10 in (1.73) it is easily seen that the solution (1.73) satisfies the initial condition x(to) = xn. Next, we have to verify that (1.73) satisfies (1.58). Taking a derivative of (1.73}'with respect to t, we obtain
a a jl
xU) =  cp(t, to)xo +  cp(t, T)B(T)U(T) d r
at at III
Hence the transition matrix depends only on (t  to) and we can write
<l>(t to) == cp(t to,O)
(1.69)
J'I a
= A (t)cp(t, to)x + cp(t, t)B(t)u(t) +  cp(t, T)B(T)U(T) dv
r" at •
The series of (1.68) converges uniformly and absolutely on any finite interval, and extending the notation of the scalar exponential function to matrices we have
(1.70)
= A (t)[ cpU, to)xo + L cp(t, r)B(T)u(r) dTJ + B(t)u(t) = A (t)x(t) + B(t)u(t).
so that the transition matrix of the timeinvariant linear system can be written
Therefore, it is established that (1.73) is the unique solution of (1.58).
cp(t)= e/11
(1.71)
The solution (1.73) consists of the two terms. The first term expresses the solution of the homogeneous equation with u (t) = ° for all t ~ to as
Clearly this satisfies
1/;(t; Xo, to, 0) = cp(t, to)xo
(1.74)
cp(t) = Acp(t),
cp(O)=l
(1.72)
and is the effect of the initial state Xo on the state at time t. Thesecond term in (1. 73) expresses the solution of (1.58) for the case of the zero initial state
Xo = ° as
The series 0.70) is frequently utilized to numerically compute the transition matrix CAl.
(1.75)
1.3.2 Solution of the Inhomogeneous Linear Equation
and is the effect of the input UII", lion the state at time t.
The linear system has the property that the response of the state comprises the zeroinput response and the zerostate response. tj;(.) satisfies the following properties:
(a) Decomposition property: for any t, to, Xo and D,
1/;(1; Xo, to, "Iro,l)) = Jf;(t; Xo, to, 0) + 1/;(1; 0, to, LIllo. II)
The general solution of the inhomogeneous equation (1.58) is shown via an analogy with a scalar linear differential equation to consist of the sum of two parts: the first one being a particular solution of (1.58), which we now derive, and the second one being the general solution (1.65) of the homogeneous equation (1.60).
24
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION Of' LINEAR SYSTEMS
25
(b) Linearity of the zerostate response: for any to, t, U I, U2, aj, a2, 1/I(t; 0, to, o ru /111, II + aZu [III, II) = al 1/I(t; 0, 1o, U lin, 'I) + az1/l(t; 0, to, U [In, IJ) (c) Linearity of the zeroinput response: for any to, t,xl,X2,al,a2,
1/1 (t; a IX I + a2x 2, to, 0) = O! 1 1/1 (t; X I , to, 0) + a21/1(t; X 2, to, 0)
(b) Method via diagonalization
Let X I, X2, . ." X/1 be the distinct eigenvalues 0 f A and let Vi be an eigenvector of A associated with X, for i = 1,2, ... ,11, then
for i= 1,2, ... , n
(1. 77)
The necessary and sufficient condition for (1.77) to have the nonzero solutions v, 7= 0 for i = 1, ... , n is that Xi is a root of the characteristic
1.3.3 Calculation of the Transition Matrix
equation
det(A  XI) = 0
(1. 7 8)
We now present several procedures for calculating the transition matrix eAI for a timeinvariant linear system.
(a) Method via Lap/ace transform
Application of the Laplace transform Sf{·) to (1.72) yields s!:t{1>(t») q,(O) = AY){q,(r)1
The eigenvalues Ai for i= 1, .. " n are the solutions of (1.78), and are assumed to be all distinct, in which case the eigenvectors VI, • ." v" are linearly independent. This is proved by contradiction. Suppose that VI, .•. , VII are linearly dependent, then there exists at least one nonzero
c, ~ 0 such that " :
CIVI + CZV2 + ... + C"VII = 0
For instance, if CI 7= 0, we obtain from the above equation
hence
(1.76)
(A  X2J)(A  Xd) ... (A  X/1I)(~ CiVi) = 0 Since it follows clearly from (I. 77) that
(A  XjI)Vi = (Ai  Xj)v" then (1.79) can be reduced to
CI(AI  A2)(XI  X3) ... (XI  XII)VI = O.
(I. 79)
A recursive scheme for computing (5/ A)I was given in Section 1.1.3.
Exampie 1.8 Consider the Ii near system
for x(O) = xo
The solution is given as follows:
I (5 0) (0  2) J  1 (s
(51  A)  1 = l ° 5  1 _ 3 =_
2 )1
s+3
By assumption that XI, ... , X" are all distinct, we have ('I = O. This is a contradiction.
Therefore, since the eigenvectors are linearly independent, the matrix T defmed by
1 (S+3 2)
=(s+I)(s+2) 1 5
(1.80)
( 2 1
= S~1_S~2 s+ 1 5+2
2 2)
s+I+5+2
1 2
j
5+1 5+2
is nonsingular. Combination of (1.77) and (1.80) gives
Xl 0 0
o X2 0
o
= TA
(1.81)
Hence (he transition matrix is
(2e1  e 21 2e1 + 2e21)
cl,,(t)=ell=lj,11(51A)lj= _I _'I
e  e   e  r + 2e 21
and [he general solution of the system equation is given from (1.73) by
where A is a diagonal matrix with the eigenvalues in the diagonal elements. Hence we have
(2 1 21
e  e
x(t) = _I _'I
e  e 
_ )1 7 .21) j I ( 2(1T))
_e + _e e
_I 2 21 xo + 2(rTI II(T) dr
 e + e In e
(1. 82)
We call the above operation diagonalization of the matrix A.
26
STATE V ARlAIlLE METHODS IN A{JTOMA TIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
27
The transition matrix CAl can be calculated by use of the diagonalized matrix A of A, as
(1.83) /
If the matrix A has repeated eigenvalues, it is not always possible to fwd a diagonalized matrix like (1.81). In this case, the matrix A becomes of the Jordan block form which is discussed further in Section 1.5.3.
1>(t) == eAI = T eAITI This can easily verified by use of (1.70) as follows T eA IT  1 = T e r I A TI T  1
= Tf/+ T1ATt+;t (TIAT)2t2+ ... jTI
= TT  1 + TT  1 A T T 1 t +.!_ T( r 1 AT) ' T  1 t2 + ... 2!
(c) Sylvester expansion theorem
Let AI, }..2, ... , A" be the distinct eigenvalues of A, and Jet f(A) be a matrix polynomial of degree n  1. Then the Sylvester theorem states that f(A) can be expressed as
1 A2 7 AI
= T ' At +  l " + ... = e
T 2!
( 1.84)
f(A) =i= f(Ai) (A Iii T) .,. (,,4  Ai I T)(A  Ai+ IT) ... (A  AliT) (1.85)
,= 1 (A,  Ad··· (Ai  Ai  d (Ai  A, + 1) ... (Ai  AI/)
The case of f(A) = eAI corresponds to the calculation of the transition matrix. We use an example to illustrate the procedure.
T= (  ~ 2 _;) ,and T 1= (~~ 5/2 D
4 2
 1 1 3 5/2 3/2
hence
( 1 0 ~).
iI.=TIAT= ~ 2
°
From (1.83), we have
c"= (: 2 D C~' 0 e ~,) C/~ 5/2 :)
 4 e 21 2
I 0 5/2 3/2 Example 1.10 Calculate
l(A) = e " with A = (  o _~).
From (1.78), det(AJ  A) = (A + I)(A + 2) = 0, thus AI =  1 and A2 =  2. Hence l(AI)=e ',l(A2) =e2r and thus from (1.85) we have
eAI = l(AI) A  A21 + l(A2) ~  All
AIA2 A2AI
Example 1.9 Calculate eAI for
A= (_j_~ _~).
From (1.78), del(A  AI) =  (A + I)(A + 2)(A + 3), then AI = 1, A2 =  2 and Al =  3. The matrix T associated with the eigenvalues is
=e '(A+2l)+e21(Al)= (CO' e'e2') e2{
~
(d) Use of the CayleyHamilton theorem
We have already seen from the CayleyHamilton theorem that for any integer ian 11 x n matrix A 11+; can be expressed as a linear combination of J, A, ... , AliI. Thus eAI can be written
CJ_eI6e 2'+~ell
2 2
9 15 .
_ e  1 I 12e  21   c  .,1
2 2
, 3 _ 1
=e I  4c .1 + e .1
2 2
e 1_2e2f ~_eJI
In addition if A has distinct eigenvalues they must satisfy the same equation, that is
I 8 21 9 ,I
e + e  +e .
2 2
_ e  1 .j 4e  21  3c , 1
_CJ_e r_3e"+~e31
2 2
5 9
_ e  I _ 2e  ~ I + e  J [
2 2
_e1_c2'13eJ1
for i = 1,2, ... , n, These n equations then enable the n unknown coefficients 0'0,0'1, ... ,0'1/1, to be found which are required to evaluate e/11•
28
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
29
1.4 EQUIVALENT SYSTEMS
the output yet) for the zeroinitial state Xo = 0 can be described by yet) = y(t; 0, to, ult", 00)) = roo H(t, T)U (T) d r
J (Il
(1. 92)
1.4.1 InputOutput Relation
x(t) = A (t)x(t) + B(t)u (t) y(t) = C(t)x(t) + D(t)u(t)
( 1. 86a) ( 1.86b)
Hence, it can be seen from (1.4) that H(t, T) is the impulse response. We also remark that, if the statevariable description [A (r), B(t), C(t), D(t)] is given, the impulse response function is uniquely determined as (1.91).
In particular for the timeinvariant linear dynamical system (A, B, C, D)
We consider the linear system
where x(t), u(t) and y(t) are an nstate vector, an minput vector and a poutput vector respectively; A (t), B(t), C(t), and D(t) are an n x n, n x 111, p X n, and p x m matrix respectively; and all of them are assumed to be continuous in t.
The general solution of the state equation (1.86a) is known to be
x(t) = !/t(t; xo, to, Ullo,ll)
= <I>(t, to)xo + r' <I>(t, T)B(T)U(T) d r J 1(1
x(t) = Ax(t) + Bu(t) y(t) = Cx(t) + Du(t)
(I. 93a) (1.93b)
( 1.87)
the transition matrix <I>(t, T) is given by <I>(t  T) = eA(IT) and the matrix impulse response is
H(t, T) = C eA(IT) B + Do+ (t  T) for t ~ T.
Since H(t, T) is a function of only (t  T), then we can write it as
H(t) = C eAI B + Do+ (t)
for t ~ 0
(1.94)
Then, it follows from (1.86) that the output y(t) is yet) = y(t; Xo, to, lillo, 1])
= C(t)<I>(t, to)xo + C(t) L <I>(t, T)B(T)U(T) d r + D(t)u(t) = y (t; Xo, to, 0) + y (r; 0, to, U[I", IJ)
By taking the Laplace transform of (1.94), we obtain the transfer function H(s) as
(1.88) ( 1.89)
H(s)= C(sJ A)IB+ D
(1.95)
which is the same as (1.22) obtained directly from the Laplace transform of (1.16).
Thus the output y(t) can be decomposed into the zeroinput response and the zerostate response, as indicated by (1.89). The first term in (1.88), that is the zeroinput response, represents the effect of the initial state Xo on the output response y(t). The second and third terms in (1.88), that is the zerostate response, express the output response in the case of a zero initial state, and can be written as
1.4.2 Equivalent Systems
We consider a transformation of the state vectors of a linear dynamical system by use of the nonsingular matrix T(t), that is
x(t) = T1(t)x(t) or x(t) = T(t)x(t)
(1.96)
y(t; 0, to, Ullo, IJ) = ('I (C(t)<I>(t, T)B(T) + ouv: (t  T)}U(T) d r (1.90) J to
where T(t) is nonsingular for all t and continuously differentiable.
The new state x (t) obtained through the transformation (I. 96) satisfies
where 0+ (t) is the delta function defmed by o+(t)= lim Ol(!)
,,~O
and
where
~(t) = A (t)x(t) + B(t)u(t) y(t) = c(t)x(t) + D(t)u(t)
(1.97a) (1.97b)
for 0 ~ t ~ 6 otherwise
If H(t, T) is denoted by
= \C(t)<I>(t,T)B(T)+D(t)(j+(tT);for T~t
H(t,T) to ;for T> t
(I. 91)
A(t)= TI(t)A(t)T(t) T1(t)T(t) S(t) = T I (t)B(t)
C(t) = C(t)T(t)
D(t) = D(t)
(1. 98a) (1.98b) (I. 98e) ( 1.98d)
30
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
31
We show below in Theorem 1.2 that the inputoutput relationship is not changed by the transformation. Thus, if the initial conditions also satisfy (1.96), that is, x(ta) = T(to)x(to), then both linear systems have identical output responses for the same input. In this case the linear dynamical system given by (1.97) is said to be equivalent to the linear system of (1.86), and T(t) is also called an equivalence transformation.
Similarly, dynamical systems which are equivalent to the timeinvariant linear dynamical system in (1.93) can be derived through the nonsingular transformation matrix T given by
Then, it follows from (1.103) and 0.98) that ~(t,T)= T1U)<P(t,T)T(T)
(l.105)
x(t) = T lX(t) or x(t) = Tx(t)
(1. 99)
Using (l. 105) and (1.98) in 0.91) it is seen that the impulse response HU, T) for the dynamical system (l.97) is
H(t, T) = C(t)~(t, T)13(T) + 15(t)0+ (t  T)
= C(t) T(t) T1 (t)<P(t, T) T(T) T1 (T)B(T) + oir«: (t  T) = C(t)<P(t, T)B(T) + D(t)o+ (t  T)
so that
= H(t, T)
( l.106)
.  
xU) = Ax(t) + Bu(t)
y(t) = CxU) + Du(t)
(UOOa) (1.100b)
Thus, the theorem is established.
A = r1AT 13= T IB
(l.IOIa) (1.l01b) (l.10lc) (1.101d)
Corollary I.I
Linear timeinvariant dynamical systems which are equivalent have identical transfer functions.
where
C=CT D=D
Proof The transfer function associated with the linear system (1.100) is R(s) = C(sf  A)l13+ i5 = CT(sT1 T  T lAT)TIB + D
= CTT1(sf  A)l TTIB + D = C(sf  A)IB+ D
= H(s)
Hence, there exist an infinite number of equivalent systems since the transformation matrix can be arbitrarily chosen.
Theorem 1.2
Hence all equivalent linear systems have identical transfer functions.
Equivalent linear systems have identical matrix impulse responses.
Proof The state variables x (t) and x (t) for the linear dynamical systems described by (1.86) and (1.97), respectively, are given by
1.5 REALIZATION OF SINGLEINPUT AND SINGLEOUTPUT LINEAR SYSTEMS
x(t) = <P(t, to)x(to) + r <P(t, T)B(T)U(T) dr xU) = ~(t, to)x(to) + r I ~(t, T)13(T)u(T) dT
J tn
( 1.103)
We consider, initially, a linear multiinput multioutput (!VIlMO) system with transfer function matrix H(s). If there exists a linear finitedimensional dynamical system (A, B, C, D) that has the specified H(s), the transfer function matrix H(s) is said to be realizable, and (A, B, C, D) is called a realization of H(s).
Whe.n the system description (A, B, C, D) is given, H(s) is described by the rational fl~nction of s indicated in (1.23). The determinant of (sf  A) gives a denominator polynomial of degree n in s, while every element of the adjoint matrix of (sf  A) gives a numerator polynomial of degree equal to or less than n  1. If D = 0 the transfer function matrix H(s) = C(sf  A) I B, and for each element the dezree of its denominator
• b
IS at least one degree higher than that of its numerator. In this case the
(1.102)
where <P (t! T) and ~ (t, T) are the transition matrices corresponding to A (t) and A(t) respectively. Substituting (1.96) into (1.102) and multiplying by T1(t), we have
xU) = T I (t)<P(t, to)TUo)x(ta)
+ r: T1(t)<P(t, T)T(T)T1(T)B(T)U(T) d r (1.104) J til
32
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MA THEMA nCAL DESCRIPTION OF LINEAR SYSTEMS
33
I f XI (t) = yr I [XI (5») is taken as one of the state variables, it satisfies the linear ordinary differential equation
transfer function is called strictly proper. If D is a constant matrix, the degree of the denominator of each element is equal to or greater than that of its numerator, and then the transfer function is called proper. Hence, it can be seen that H(s) is realizable if and only if H(s) is a proper rational matrix.
We now turn our attention to the realization of a singleinput singleoutput rational transfer function.
b "b III b b
H( ) = ,,5 + ,, IS + ... + IS + 0
S I! 11 I
5 +O'IIIS + ... +0'15+0'0
XI(II)(t) + O',,IX["I)(t) + ... + O'OXI (t) = u(t) Further, if the other n  1 state variables are chosen as
it follows from (1.112) that the state equation is
(1.107a)
x\ = X2 '(2 = X3
P III P ,,2 P P
_ ,,IS + 1125 + ... + IS + 0 D
" II I ... +
5 +0',,15 + +0'15+0'0
(1.l07b)
;(,,1 = X"
x" =  O'OXI
X2  ...  (XIIIX" + Jl
where Pi = b,  b"O'i for i = 0,1, ... , n  1 and 0 = b.; We present methods for reconstructing state variable descriptions (A, b, eT, d) for the given transfer function (l.107b).
and from (1.108) and (1.111) that the output equation is y(t) = z(t) + DU(t)
= Po XI (t) + (3IX2(t) + ... + (311IX,,(t) + DU(t)
Rewriting (1.113) and (1.114) in matrix form, we have x(t) = Ax(t) + bu(t)
y(t) = eTx(t) + du(t)
1.5.1 Companion Form (a): Controllable canonical form
Equation (l.107b) being decomposed into two parts, as shown in Figure 1.11, the output Yes) can be written as
Y(s) = Z(s) + DU(S)
(1.108)
where
where
a 1 a a • b~ (~)
0 a 1 a
A= a a a a
 0'1  (Xn2 ~ (X,,[
c ' = «(30 (3] (32 (3,,1), d=o Z(s) (311 __ 15,,1 + (3,,_25,,2 + ... + (315 + (30
U(s) 5" + 0',, 15,,1 + ... + O'IS + 0'0
(1.109)
Let XI (s) be defined as in Fig. 1.11, then we have
XI(s)
UW  5" + 0',,_15"1 + ... + (XIS + 0'0
(1.110)
(1.112)
(1.113)
(1.114)
(1.115a) (!.l15b)
(1.111)
The block diagram of the state space description (1.115) IS given in Figure 1. 12.
If the companion form (A, b, eT, d) in (1.115) is a realization of H(s), another companion form (AT, c, bT, d) is also a realization of H(s), since
H(s) = eT(s!  A) Ib = tb T(sl AT)le)T
= bT(sl A)Ie.
U{s)
1.5.2 Companion Form (b): Observable canonical form
Figure 1.11 Transfer function representation
(1.116)
34
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
35
~~~,
It is seen, from Figure 1. I 3 which gives the block diagram of this realization, that the state variables are assigned by
u
XII_! = ;(1/ + O'nIXII ~ (3111 U XII2 = XIII + 0'1I2XII ~ (31/ZU
XI = X2+O'IXII~(3IU 0= XI + O'OXII ~ (3oU.
(1.118)
L_~ao~~
1.5.3 Jordan Canonical Form
Figure 1.12 Realization by companion form (a)
When the trans fer function (1. 107) has distinct poles 1\1, ;"'2, ... , ;...", H(s) can be described by the partial.fraction expansion
Thus we can obtain another companion form given by
Xt 0 0 ~ 0'0 (30
X2 0 ~ 0'1 (31
X3 0 0 ~ 0'2 + (32 u (1.117a)
Xn 0 0 Ctlll {3111
y = (0 0 0 l)x+8u. (1.117b)
I; where
H(s)="l!+~+ ... +~+ 8
s ~ ;... I S ~ A2 S ~ All
(1.1 19)
"Ii = lim (s Ai)H(s)
s + Ai
As illustrated in Figure I. 14, if we a ssign the state variables XI, X2, ... , XII as
XI (s) X2(S) Xn(S)
U(S) S ~ AI' U(S) S ~;"'2' ... , U(S) S ~ All'
xI
SA,
1 X2
u 5 A2
•
•
•
•
•
Xn
5 An u
._jf3nI),
+
0 y
Figure 1.13 Realization by companion form (b)
Figure J.] 4 Realization by Jordan form: case (a) distinct eigenvalues
36
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
37
the output Y(s) is
Y(s) = )'IXI(S) + )'2X2(S) + ... + I'll XII (s) + oU(s) We now obtain the diagonalized state variable description
where
(1.120)
5 + Iq
xU) = Ax(t) + bu(t) (1.121a)
y(t) = cTx(t) + duCt) (1.121b)
where
Al 0 0 0
0 Al 0 0
A= 0 0 "3 0 b=
0 0 AI!
cT = ()'I )'2 )'n),d=o )'12 = }~n;, f:s (s "d3H(S)j
1'13 = lim Idds22 (s "1)3H(S)]
s  ~I l
'Yi = lim! (s  Ai)H(s)].
s + 'Ai
We assign the state variables XI, Xl, ... XII, as illustrated in Figure 1.15, then
Next we consider a transfer function with poles which are not all distinct.
We give an example to explain the procedure to obtain the Jordan block form. Assume that H(s) can be expanded by partial fractions as
X3(t)  AIX3(t) = u(t) X2(t)  AIX2(t) = X3(t) XI (£)  A,XI (t) = X2(t) X4(£)  ~X4(t) = u(t)
XII(t)  AI!Xn(t) = u(t)
y(t) = /IIXI(f) + 'Y12X2(t) + 'Y13X3(t) + /4X4(t) + ... + 'YIIXII(t) + ou(t)
Rewriting in matrix form, we have the Jordan block canonical form
I'll + /12 + I'D + /4 + ... + )'11 +0
(5 Ad3 (s Ad2 (5 AI) (s~) (5 All)
1/
XI Al 0 I 0 0 0
X2 0 Al 0 0 0
X3 0 0 AI 0 0 0
11 + U
X4 o 0 0 I A4 I 0
L __ J XII 0
~~~~
• e
• • •
y=(YII )'12 )'13 'Y4"'/II)X+ou
(1. 122a) (1.122b)
8
It is seen that the matrix A consists of one Jordan block, shown dotted, associated with each eigenvalue. Because Al is of multiplicity three the corresponding Jordan block is three by three. The elements above the diagonal in this block are unity, or in some rather special cases, zero.
Every linear timeinvariant system has an equivalent Jordan canonical form. For instance, the nonsingular matrix which transforms the com
r~/n
Figure 1.15
Realization by Jordan block form: case (b) repeated eigenvalues
38
Sf A TE VARIABLE METHODS IN AUTOMATIC CONTROL
MATHEMATICAL DESCRIPTION O}' LINEAR SYSTEMS
39
panion canonical form (1.115) into the Jordan canonical form (1.121) is given by
Ho(s) = 
T=
b, + als +  .. =bi + a2S + 
'.
, det T ~ 0
(1.123)
1 bllI + a,,Is+b; + ails
\ ,,I fl."
where a, ~ 0 for i= 1, ... , n.
If we assign the state variables from
where AI, A2, ... , All are the eigenvalues of the companion matrix A in (1.115). This result can be easily proved as follows. With A taken as in (1.115) we have
X,,_I (5) b; + ails
AT=
1 o
o
X,I (s) X,,2(S)
,1/ I fl.1I
X1(S) U(s)
A2'
A2' I
we then have the following state equations
. b"
x" = XI/_I  X"
an au
Thus AT = TA, giving A = T  I A T and T is therefore the nonsingular matrix which transforms the companion form into the equivalent Jordan form.
. I bllI 1
X,,I = XI/1 XI/I XII
(/1/_.1 (/11' a,,_1
1.5.4 Tridiagonal Form
. I b, 1
X2 =  XI  X2   X3
(/2 ({2 (/Z
It is assumed that the strictly proper part Ho(s) of the transfer function H(s) can be expanded in a continued fraction as
bill
~'" =._ X, X2+ U.
(/1 (/1 al
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
~\:J
I
u (t)
40 STATE VARIABLE METHODS IN AUTOMATIC CONTROL
They can be rewritten in matrix form as
Xl bt 0 0
Xl
al al al
Xl bz 0 0
X2
az a2 a2
0 + u
bnI
a,,_1 a,,_1 all_I
X" 0 0 bll 0
XII
all all
y = (I 0 O)x
PROBLEMS II \
S2 SI
w~'mr '/
7777 t~
h2 hI
R2 I
~ 41
S3
f
h3
Rl I R3
~ ~ ~
q3 y(t) Figure P 1.3
hi, h : and hs the levels. It is assumed that the each flow rate qi, q3 and y through the pipes is proportional to the difference in the levels, that is, a: = (hi  h2)/Rz, where R2 is the flow resistance.
P 1.4 Write node voltage equations for the circuit shown in Figure P 1.4 and show that it is the forcecurrent analogue of Figure L7(a).
Pt.1 Find, by use of the Faddeev algorithm, the transfer function of the linear system (A, b, cT) given by
o 2
3
0)
P1.2 Find the state variable description of the network given in Figure P1.2, where the input u(t) is the source voltage and the output voltage y(t) is the voltage across the resistor R3.
u (t)
Figure Pl.2
c,
Figure PIA
r
y(t)
L
+ u (I)
P 1.5 Obtain state variable equations for the network shown in Figure PI.S using the voltages across the capacitors and the current through
VI (t)
Figure P 1.5
P 1.3 Construct the state variable description of the tank system shown in Figure P 1.3, where input u(t) is the incoming flow rate, the output y{t) the outgoing flow rate, 51, 52 and 53 the crosssectional areas of the tanks and
42
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
the inductance as the state variables. Determine the A, B, C and D matrices if Vj (t) is the input and V2(t) the output.
PL6 Write the state equations for the network of Figure P1.6 using the state variables iI, i2 and v, el and e: are the network inputs and t, and i: arc the required outputs.
Figure PI.6
c
PI. 7 Obtain the differential equations for the system shown in Figure PI. 7. Draw a block diagram for this plant and find the transfer function X2(s)1 F(s). Write the statevariable representation for the plant, using the variables Zl = Xl, Zz = Xl, ZJ = X2, and Z4 = xz.
Figure P1.7
MA THEMA TICAl, DESCRIPTION OF LINEAR SYSTEMS
43
P1.8 Draw the electric circuit which is the forcecurrent analogue of the mass, spring, damper system of Figure Pl.7.
Pl.9 Show that the circuit shown in Figure PI. 9 has a transfer function from V3 to V2 of
Vz(s) _ 1
V3(S)  S3 LRC2 + 2S2 LC + s(2CR + LI R) + 2
and it can be represented in state variable form with
A=
0)
I
o a(a+2b)
( ~ ), and C = (1
ab
o
where a = IIRC and b = RIL.
Choosing the state variables Xl = VI, X2 = V2 and X3 = Li3 show that the new A matrix A I is given by
a
a
1
 ab)
ab
o
Determine the transformation matrix T relating the state variables for the two choices of the A matrix.
r
v, L v2
I, 13
13
12 14
'V v3 R
r C
Figure Pl.9 Pl.IO Obtain the state space representation of the network shown in Figure PI.1O with the currents through the inductors as state variables, UI and liz the input voltages and YI and Y2 as the output voltages.
44
STATE VARIABLE METHODS IN AUTOMATlC CONTROL
MATHEMATICAL DESCRIPTION OF LINEAR SYSTEMS
45
Pl.lS A dynamic system is described by the state space equation x=Ax+bu
Y= XI
x(O) = 0
where
FigurePI.JO Ri= 1 and L;=2 for all i
8
3
4
2)
2
1
and b~ G)
Y+3;i+2y=u(t).
(a) Find a nonsingular transformation T such that T  I A T is diagonal. (b) From (a), find e ".
(c) Find c " using the Sylvester expansion. (d) Find y if u is a unit impulse function.
P 1.16 A system is governed bYthe state equation
Pl.l1 Write in controllable canonical form the state equation for the differential equation
and draw the corresponding signal flow graph. If a state variable transformation x = Ts: is used, where x and x are respectively the old and the new state variables, determine the new state equations for the differential equation if
. (' (: 3
x t) = I
where x(t) and u(t) are respectively the state and input vectors of the system. Determine the transition matrix of this system and hence obtain an explicit expression forx(t) if
x(O) = G) and u(t) = (~) (t > 0)
P 1.17 For the system shown in Figure P 1.17 write a state space description with Xl and X2 the state variables. If u(t) = 0 for all t and x(2) = (l O)T, find x(O) and x(3)
Draw a signal flow graph for this new representation.
P1.12 Obtain a state space representation of the differential equation ·Y + 3 x + 3X + X = ~i + u
with the output y = x.
P1.13 A system has an A matrix with a modal matrix V (i.e. the matrix which diagonalizes A). Show that the modal matrix V of the system with A matrix AT is, with a suitable choice of normalizing constants, given by
VT = VI
u +<r 1 x2 1 XI
 
S 5 + 1

.£ 5
Pl.14 Obtain the response y(t) of the following system using the Laplace transformation method
Figure Pl.l7
(3
x= ~
2 o o
PU8
Find the transition matrix of A if
II is a unit step function and x(O) = o.
A = ( ~
2
1 o 4
46 STATE VARIABLE METHODS IN AUTOMATIC CONTROL
P1.19 The state space equation of a system is
X= ( ~
12
2
STRUCTURE OF LINEAR SYSTEMS
where x = (XI, X2, X3)T. Obtain the scalar differential equation satisfied by XI.
P1.20 Represent the following plants by means of state variable descriptions with A in the controllable canonical form.
2.1 OBSERVABILITY AND CONTROLLABILITY OF TIMEINVARIANT SYSTEMS
1
(a) Gp(s) = ~)~ 5 + 25 + 3
Let us consider the timeinvariant system represented by
5+2
(b) Cp(s) = ~1~2 5 + 35 +25+ 10
x(t) T'Ax(t) + Bu(t) y(t) = Cx(t) + Du(t)
(2.1a) (2.1 b)
(c) Gp(S) = 10(5+ 1)(5+ 2) 5(5 + 3)(5 + 4)
P1.21 The transfer function C(5) is given by
G(5)= 52+75+10
 53 + 852 + 195 + 122
Find (a) the controllable canonical form, (b) the observable canonical form, (c) the Jordan canonical form and (d) the tridiagonal form. Draw the corresponding block diagrams.
where x, u, yare an nvector, an tnvector and a pvector. The objective of the control is to transfer thestate of the system to a desirable state from the initial state using the input u. However, the existence of such an input should be assured; this is the controllability condition. On the other hand, it is sometimes necessary to know all state variables from measurement of the output y(t) whose dimension is less than that of the state. The observability condition assures the construction of the state from the output. These properties are intrinsic for systems and play important roles in linear system theory.
P1.22 Verify that
2.l.1 The Condition for Controllability
holds true only if A and B commute, i.e. AB = BA. P1.23 Show that
Definition 2.1 (Controllability). For the linear system given by (2.1) if there exists an input lIlO,11i which transfers the initial state x(O) = Xu to the zero state x (/1) = 0 in a finite time tl, the state Xo is said to be controllable. If all initial states are controllable the system is said to be completely controllable.
From (1.73), the solution of(2.1a) is
where A II and An are assumed to be nonsingular. P1.24 Show that
x(t) = e,1'xo+ [' eA(IT)Bu(T) d r .I 0
(2.2)
If the system is controllable, i.e., there exists an input to make x(tl) = x, = 0 at finite time t = tl, then after premultiplying by e  AI" (2.2) yields
Xo = L eATBu(T) d r
(2.3)
where All and D '= A22  A21AIIIA12 are assumed to be nonsingular.
47
48
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
49
Therefore any controllable state satisfies (2.3), and for a completely controllable system every state Xo E R" satisfies (2.3) with II (>0) and uro,!,]· "
From (2.3), it is found that complete controllability of a system depends on A and B, and is independent of the output matrix C.
The theorem to check the controllability of the system is given as follows.
L
a
Theorem 2.1
The necessary and sufficient condition for the system (2.1) to be completely controllable is given by one of the following conditions:
(i) W(O, rd = W e~I1IBBTe~AT, dz is nonsingular,
(ii) The controllability matrix ({~ ~ [B, AB, A 2B, ... , A" ~ 1 B], (n X nm) satisfies rank ({' = n. j
Figure 2.1 Bridge circuit
the inductance, ii., and the voltage of the capacitance uc, and let the output be iL, then
Since condition (ii) can be computed without integration it allows the controllability of a system to be easily checked. As seen from Theorem 2.1, the complete controllability of the system comes from the properties of A and B. So one simply states that '(A, B) is controllable'. Before the proof is done some examples are given.
Example 2. / The system represented by
X= (~
rank '{' = rank[b, Ab, A zb] = rank (: . 0
~ =~)=2""3
I 2
The controllability matrix of the system is
(±  ~2 [R~~R~2 + R:~R~J)
({'= [b,Ab] = .
I [R~ R2]
o LC RJ + R4  RI + fu
Thus we see that under the condition that R4f(Rl + R4) = Rz/(R, + R2), that is, R I R4 = RzR3, rank '{' = 1 and the system becomes 'uncontrollable'. This condition is the one required to balance the resistance bridge, and in this case, the voltage of the capacitance Vc cannot be varied by any external input u.
is considered. The rank of the controllability matrix of the given system is 2 as shown below. So the system is not completely controllable.
Exampte 2.2· The state equation a r the circuit shown in figure 2.1 can be derived using the method described in Section 1.2.4. Let the state variables be the current of
Proof of Theorem 2.1 (due to Brockett) Condition (i): Sufficiency. If W(O, tl) given in (i) is nonsingular, the following input can be applied to the system
'U? denotes the set or real numbers I x I  co < X < 00 I and R" gives an ndimensional real \ ector space. x E R" denotes that x is an element of R", i.c., x is an ndimensional real vector. iRank ,(, denotes the rank of the matrix 't', which is equal 10 the number of linearly independent column (or row) vectors in '('.
(2.4)
50
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE 01<' LINEAR SYSTEMS
51
For the input (2.4), the state of the system (2.2) is given by X(tl) = eAl'xo  eA11 f L cI1T BETe  /11 T dTJ WI (0, tdxo =0
and therefore
(2.5)
0= L c/eAT BBTe /lTTa d r = aT W(O, tda. (2.13)
Since the system is completely controllable, W(O, tl) should be nonsingular from (i). There a of (2.13) should be zero, which contradicts the assumption that a is nonzero. So rank w = n.
for any initial state Xo. Therefore the system (A, B) is controllable.
Necessity. Assume that though W(O, tl) is singular for any t I, the system is controllable. Then for t , > 0, there exists a nonzero nvector a such that
aTW(O, tda= \1, aTeATBBTeATTa dT=O .10
(2.6)
2.1.2 The Condition for Observability
which yields for any t ;?: 0 aTeA1B=OT,
Observability is concerned with the output equation of the system.
[ ;?: 0
(2.7)
From the assumption of controllability, there exists an input II satis l'ying (2.3), therefore from (2.3) and (2.7)
aTxo=aT L' cATBu(T) dT=O holds for any initial state Xo. By choosing Xo = a, (2.8) gives a = 0 which contradicts the nonzero property of a. Therefore the nonsingularity of W(O, tl) is proved.
Condition (ii): Sufficiency. It is first assumed that though rank v' = n the system is not controllable, and by showing that this is a contradiction the controllability of thc system is proved. By the above assumption that the system is not controllable and rank v" = n, W(O, tl) is singular. Therefore (2.7), that is
(2.8)
Definition 2.2
Observability. When using the output of the system (2.1) measured from time 0 to time ts, if the initial state x(O) = Xu is uniquely determined, Xo is said to be observable, when the input is assumed to be completely known. When all states are observable, the system is said to be completely observable, Or (A, C) is observable.
The output of the system (2.1) is given by
y(t) = CeAlxo + C L eMI T)Bu(T) d r + Du(t)
(2.14)
t ;?: 0, a 7"' 0
(2.9)
The output and the input can be measured and used, so the following signal TJ can be obtained from u and y.
TJ(t) ~ yet)  C ~ ~ e1(1 T)Bu(T) d r  Du(t) = Ce·1lxo
(2.15)
holds. Derivatives of the above equation at t = 0 yield
k = 0, 1, ... ,11  1
(2.10)
where C is a p x 11 matrix.
Since p is usually less than 11, Xo cannot be determined uniq uely from 7J (t) at a specific time t. But when the signal e Ir ) is available over a time interval from 0 to t, and the system is completely observable, the initial state Xo can be uniquely determined.
Premultiplying (2.15) by eAI CT and integrating from 0 to tl, gives
U:)' elTICTCeAI dtJXO= .[ e·ITICT7J(t) dt.
(2.16)
which is equivalent to
aT[B, AB, ... , A III BJ = aT '(,' = OT
(2.11)
This contradicts tile assumption that rank '(,' = n so the system is completely controllable.
Necessity. It is assumed that tile system is completely controllable, but rank '(,' < n. From the assumption there exists a nonzero a satisfying (2.11), or equivalently (1. 1 0). Also from the CayleyHamilton theorem, A II + i can be expressed as a linear combination of J, A, ... , A II  I so that e AI may be expressed as a linear combination of J, A, ... , A"I, which yields
t ;?: 0, a 7"' 0
(2.12)
If the n x n matrix defined by
M(O, tl) ~ L eilT1CTCeAl dt
(2.17)
52
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
53
is nonsingular, Xo is determined uniquely from (2.16) as
Example 2.3 The observability matrix of the bridge circuit given in Example 2.2 is given by
(2.18)
(1
T T T
(I = [e ,A c 1 = 0
Therefore the nonsingularity of M(O, t,) for tl ~ 0 is a sufficient condition for the system to be completely observable.
On the other hand, if the system is completely observable, J'\.1(O, tl) is nonsingular. This will be proved by contradiction as follows. Assume that the system is completely observable but M(O, tJ) is singular, there exists a nonzero vector a such that
For the balance condition of RIR~ = R}R3, rank (I = I and the system is not observable
aTM(O,tl)a=O.
(2.19)
2.1.3 Duality
O=aTM(O,tda=aT rl, eiITlCTCeAldta Jo
The controllability matrix 'f/ an.d. the observability matrix (/ have similar structure in that by replacing B' and A by CT and AT, ((? becomes r..
Let us consider the system
By su bstit uting (2. 17) into (2.19)
(2.20)
X*(t) =  ATX*(t)  CTu*(t) y*(t) = BTX*(t) + DTu*(t).
(2.22a) (2.22b)
which gives for any time t ~ 0
CeAra = 0,
t ~ 0
(2.21)
By changing f >  t, A > AT, B , CT, C + BT, D + DT in the system (2.1), the system (2.22) is obtained, and this system is said to be the dual system to the system (2.1).
From Theorem 2.1 and Theorem 2.2, if the system (2.1) is controllable (observable), its dual system is observable (controllable). This shows that controllability and observabilityhave a dual relationship, and this relationship will again appear between the optimal regulator and the optimal filter (sec Section 6.2.1).
This means that the output is always zero for the nonzero initial condition x (0) = a ;;': 0, and the state a cannot be distinguished from the zero state from the measured output, which contradicts the observability of the system. Therefore M(O, tl) should be nonsingular for the system to be completely observable.
From the above results, it is clear that observability is dependent only on the properties of the matrices A and C, and the following theorem concerning observability is given.
2.1.4 Output Controllability
Theorem 2.2
Controllability is concerned with the transfer of the state to the zero state and is irrelevant with respect to the output. In this section we consider the problem of making the output y(t) zero in a finite time.
A necessary and sufficient condition for the system (2.1) to be completely observable is one of the following equivalent conditions.
(i) M(O t) [I, 1T/CTC (II d . . 1
, '1 = J(] e' e t IS nonsmgu ar.
(ii) The observability matrix defined as the n x np matrix (j ~ [CT, AT CT, ... , (AT)"ICT] has rank n.
Definition 2.3
Output controllability. If there exists an input which makes the output of the system, y(t), zero in a finite time t, when the output at time zero is arbitrary, then the system is said to be completely output controllable.
(i) has been proved before the theorem and (ii) can be proved from (i) in a similar manner to Theorem 2.1.
Concerning output controllability we give the following theorem similar to Theorem 2.1.
54
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE Of LINEAR SYSTEMS
55
Theorem 2.3
concepts have been demonstrated by Examples 2,1, 2.2 and 2.3. This section describes the state space structure from the viewpoint of controllability and observability.
A necessary and sufficient condition for the system (2.1) to be completely output controllable is one of the following conditions.
(i) W/(O, tt}= ]£'CeAIBBTecATICT dt is nonsingular.
(ii) The output controllability matrix a p x nm matrix defined by '(~! g [CB, CAB, CA2B, ... , CAliIE] has rank p.
2.2.1 Controllable Subspace
By the nonsingular transformation
X= Tx
The system (2.1) is assumed not to satisfy the complete controllability condition of Theorem 2.1, then although all states may not be controllable there may exist some controllable states. Since a controllable state is represented by (2.3), the set of all controllable states 'fe, named the controllable subspace, is given by
2.1.5 Equivalent Systems
the system (2.1) is transformed into an equivalent system
(2.26);'
 
y(t) = CX(t) + Du(t)
(2.23a) (2.23b)
Since for XI, X2 E :[0' XI + Xz E pl'c, and for XI E !!t·c and a real number a, aXI E ;!t°e, then A'c is a linear space. The controllability subspace ;Y'c is defined in the next theorem.
.  
X(/) = Ax(t) + Bu(t)
as described in Section 1.4.2, where
A=T'AT, B=T'B, C=CT, D=D.
The controllability matrix of (2.23) is
'(;'= [B,AE, ... ,A"IE] = [TIB, TIAB, ... , TIA"iB]
= T I ('(I) (2.25)
Theorem 2.5
(2.24)
The necessary and sufficient condition for the state Xo of the system (2.1) to be controllable is
xoEM(W)
(2.27)
rank 'i' = rank Yl.
The controllable subspace .ufc is written as d'c = <':1.'('(:)
where ;;'1'«(1) is the range space of the controllability matrix «(/. !Yi'(Yl) = [x I x = Y?u, "u E R"II1}
Before the proof of this theorem an example is given.
(2.28)
Since T' is nonsingular
A similar relationship can be shown for the observability matrices so that the following theorem exists.
Theorem 2.4
Complete controllability and observability are preserved for equivalent systems.
Example 2.4 The controllable subspace of Example 2.1 is given by
,71(((') =.J? (1
2.2 STATE SPACE STRUCTURE OF TiMEINVARIANT SYSTEMS
The conditions for a system to be completely controllable or completely observable have been given in Theorem 2.1 or Theorem 2.2, and the
+This is interpreted as the set »; consists of x" characterized bv xo =  r I e·I'Bu(T) d r
J "
for any input.
56
ST A TE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
57
1 he range space of a matrix is the subspace whose basis is formed by a linear combination of the independent column vectors of the matrix. Since here rank 'f/ is I wo we can take any two of the three column vectors as the basis vectors. Thus /JI('?') is a twodimensional hyperplane, a subspace, of the threedimensional space of A.
choosing linearly independent vectors from B, AB, ... , AI/I B. For this case, any element in the controllable subspace is given by
n;
x, = ::s v.s; i=1
(Xi is scalar)
Proof of Theorem 2.5. By expanding eAT (2.26) can be rewritten as L eATBu(T) dT= L (1 AT+ ~2 T2_ ;!3 T3+ ... )BU(T) d r
L U(T) dr
In addition to v 1, .... to VII,., linearly independent vectors VII, + I, .•. to VII can be introduced so that VI, '" to Vil forms a basis for the ndimensional vector space. Then any element x in the ndimensional vector space can be represented by
= lB, AB, A2B, ... J
L  m(T) d r r T2 U(T) d r J 0 2
1/
X = ::s Vi):i, i~ I
where l~ UCT) d r, J~TU(T) d r, J~ T2U(T) d r, ... can be made arbitrary by an appropriate choice U (T). Therefore the controllability subspace ;!)'e is represented by
(2.29)
;j'e = .fi[B, AB, A 2 B, ... J
From the CayleyHamilton theorem, A !1+iB is given by a linear combination of AiB,Ai+lB, ... ,A"+ilB, and by repeating this procedure, A ns ]: B (k> 0) can be represented by a linear combination of B, AB, ... , A II  I B. Therefore the controllable state in d'c
The first term 0 f the right side is the part in the controllable subspace. Since
DO
X = ::s A 'e« i~O
is nonsingular, using this transformation the original system may be found to be equivalent to the special system given in the following theorem.
can be rewritten as
Theorem 2.6
Hl
X = ::s A 's«. i=O
When the system (2.1) is not completely controllable, it is equivalent to the system represented by
Thus
.1'e = ;jf[B, AB, J
= de[B, AB, , AllIB]
A 12) _ (Be)
 X + U
An 0
(2.30a)
and (2.28) holds.
For a system which is not completely controllable with rank ({' = n; < n and with B= [bl, .. " bm], the basis of ;j'e, VI, ... , v., can be obtained by
(2.30b)
where (Ae, Be) is controllable.
Let the characteristic equation of A be as (1.24), thcn using the CayleyHamilton theorem the above equation yields
A[VI, ... ,VI1J = [AB,A2B, ... ,A"BjNI
58
STATE VARIABLE METHOUS IN AIJTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
Before the proof of this theorem the following example is considered.
Example 2.5 Let us find the equivalent system in the form (2.30) for the system in Example 2. I. Since
00
= [B,AB, ... ,AIlIBj
00 J 0
o J o
 1.)
3
"
o I 1
rank v = 2
and Irorn (2.29)
This relation implies
(i = 1, ... , nc)
which means
59
0  Cl'o!
M
0
J CI'I1d
(2.31 ) Ii ~
AVi=:S rljjVj (i= 1, ... ,nc) (2.32)
j~1
For the linearly independent vectors [V'I. '1 ..• v J such that V v v
,,,~ « v n I, 2~· .. ,. n
form the basis of an ndimensional vector space, A Vi (i = n, + 1, ... , n), can be written as
Choosing V3 as
so that
AVi = t ajiVj )=1
(i = III + I, ... , n)
o 1 1
From (2.32) and (2.33)
is nonsingular. The transformation T for
x = Ts:
gives an equivalent system given by
o 0
~=G 0 ~) {r 0 v(' 0 DuG 0 D1(D u
1 0  3 1 1 I
1 1 3 0 1
(01:) C)
= 6~8:~1 51.+ _~_ U o
On the other hand,
U=l, ... ,m)
therefore
which is in the form of (2.30), where ([~ ~~J' [~]) is obviously controllable.
B=[VI, ... Vn" ... .vl h1U hn,1Il
o 0
o ... 0
Proof of Theorem 2.6 Let rank '(i = n, and pick n; linearly independent vectors V" V2, ... , Vile from B, AB, ... , A 111 B, then
From the above relations, by choosing
[VI, ... , VII,] = [B, AB, ... , A"'B]!l1
T= [VI, "', VII]
(2.33)
o
60
STATE VARIABLE METHODS IN AUTOMATIC CONTROl"
STRUCTURE Of LINEAR SYSTEMS
61
the equivalent system is described by (2.30). The controllability matrix for (A, B) is written as
'((=(B AB A"'B)= T(Be,AJje,,,.'A~I'Bc)
. , , ... , 0,0, .'" 0
In Example 1.6 it was shown that the transfer functions of equivalent systems are identical. Thus the transfer function matrix of the system (2.1) must be the same as that of (2.30). The transfer function of (2.30), FI(s), is calculated from (1.127b) as
Using the CayleyHamilton theorem and rank v = n., the following relation is derived.
 A 12 )  I (Be)
st=A» 0
   n  I 
rank[Bc, AcBe, ... , Ae' Bel = n;
This equation indicates that (A c, Be) is controllable.
In the proof of the theorem it was found that for any element v in the controllable subspace m('li?), Av also belongs to the controllable subspace. This is written as
C21 (51 _Ao)', (sI  Ae) IALZ(Sl=~A22)I) (Be)
o (~A22) 0
= C1 (sI  Ac)IBc
(2.35)
v E Ph' (W) => A V E .0/( (W)
Therefore the inputoutput relationship for the system is only dependent on the controllable part of the system.
In general if for any element v of !J'p, v E :X'p, Av also belongs to fp, Av E iX'p, then @'p is said to be Ainvariant, which is written as
2.2.2 Unobservable Subspace and Kalman's Canonical Decomposition
(2.34)
Theorem 2.2 gives the condition for a system to be completely observable. However, as we have already seen in Example 2.3, there are systems which are not completely observable. In this section we consider the case where the timeinvariant system (2.1) is not completely observable. Using the observability matrix
Thus the controllable subspace is Ainvariant.
Theorem 2.6 shows that any system which is not completely controllable is equivalent to the decomposed system shown in Figure 2.2, where a free system X2 = A22X2 is not affected by the input and is uncontrollable. Therefore the system is decomposed into controllable and uncontrollable subsystems. Equivalently the whole state space of the system is composed of the controllable and uncontrollable subspaces.
(;= [CT, ATCT, ... ,(ATY''CTl the ndimensional state space RII can be written as
Controllable system with respect to the input u
( ( Ac ' B c) controllable pair)
R 11 = ;0/( 0) ffi ./V( (; T).
Here .4'({JT) denotes the null space of OT defmed as
./V(OT) = [x I (;TX = OJ
which means that .A«(;T) is the set of clements x satisfying (JTX = O. The significance of (2.36) is that the basis for an ndimensional vector space can be obtained from the range space of A and the null space of AT. Since the rank of (; is equal to the dimension of m«(;) then for the completely observable system
(2.36)
In
put 
u .. .A Stote x I
(Ac,[A12IBC]' C1) Output
';> + y
, + v

Stote x2
CA22, 0, C2) rank (i=dim m«(I)= n
which indicates
Uncontrollable subsystem
Figure 2.2 Decomposition into controllable and uncontrollable systems
However for a system which is not completely observable dim ,q((I) = no < n
62
STA TE V ARIABLE METHODS IN AUTOMATIC CONTROL
and from (2.36)
and [rom (2.36)
Noting that
STRUCTURE or LINEAR SYSTEMS
63
dim A«(J) = no < 11
(~
o 1 )1 (I
1  2 = 2
2 3 1
2 1 o
dim ,//'((IT) = n  no
The dimension of ,;f«(/T) is called the nullity of (IT. The subspace, .1 «(IT) is called the unobservable subspace and any state in ,.I"((;T) is unobservable. When the initial state of the system (2.1) is unobservable, the signal TJ(t) gi ven by (2.15) is always zero, since [or any x EelI'( (! T).
where the first row vector in the left side has been chosen to make the matrix nonsingular, we can write this relationship
(c )
CA
. x = 0
CA"l
which yields
(2.37)
Using the relation CA iX = OU = 0, ... , n  1) and the CayleyHamilton theorem
2 1
°
o 1
°
~)
2
An alternative way of interpreting this result is that the vector (1,2, I)T is orthonormal to the vectors (O,O,l)T, (O,I,2)T and (I,2,3? Thus dim .• /((J) = 1 in this case and we can write
_(0
.• 1 1
2
(2.38)
which is written in general as
Conversely any initial state which gives TJ{t) =0 is found from (2.38) to be unobservable.
Example 2.6 Let us check the observability of the system
x=G
y = (0
{O)}·
The unobservable subspace ·:Fo of .q(.T) can be shown to be Ainvariant as follows.
For any x E .j o, there exists
~ =Dx+(l}1
 2)x
which has the same A and b as Example 2.1. The observability matrix of the system, (0, has rank given by
Let the characteristic equation of A be
A 11 + Cl'n _ l A n 1 + '" + ao = °
rank ( ~
2
1 2 3
2)
3= 2 < 3
4
(0,1,0
0,0,1,0
(;TAx= :
a aol
then
and the system _j(j = ./((.T) is
is not completely observable. The unobservable subspace
_j'ij =.1 ( ~
2
1 2 3
2) (0
~ =.1 1
2
so Ax E ,il'((; T) and the unobservable subspace _,q (I T) is Ainvariant.
64
ST A TE VARIABLE METHODS IN AUTOMATIC CONTROL
Theorem 2.7
. . cyst em (2.1) 1'S not completely observable it is
When the timemvarlant ~ )
equivalent to a system of the form
q)x + (~j)u
Ao B2
(2.39a)
y = (Co, O)x
(2.39b)
Proof. From the observability matrix
(c )
(,T = CA
~A"!
linearly independent row vectors wI, wI, w;,,, may be chosen, where 110 = rank (;T.
Then w;,,,+ I, ... , w~ are determined so that wI, wI, ... , w~ are mutually linearly independent from
(~T) I = [VI, ... , Vn,,, Vnu+ I, .•. , vnl ~~
where V"u+]' ... , VII are the basis of . ,{'({IT).
Since "I"((IT) is Ainvariant,
11
AVi = 1.: ajiVj
j = 110 + 1
(i = no + 1, ... , n)
and
o
o
o
an\)+ lno+ 1··· iin()+ In
(Cll .,. Clno
c=: :
Cpl .. , (pno
~ ... ~)(w~)
: : W2
0 ... 0 :
w~
STRUCTURE OF UNEAR SYSTEMS
65
(All' Co) is observable
.. State XI r ..
')
V (411   v
, BI , Co )
Input
u
.. 7
(4 ,[A2  ],0)
v 0 ,82 Unobservable subsystem
Figure 2.3 Decomposition into observable and unobservable systems
Therefore with the linear transformation
T= [VI, ... , vl1]
the equivalent system in the form of (2.39) is obtained. The system structure of (2.39) is shown in Figure 2.3.
Exumpie 2. 7 Find the equivalent system of the form (2.39) for the system of Example 2.6. Since
T can be chosen as
2 1 o
D·
Here we have changed the order a r the columns in T from the matrix given in Example 2.6 to realize the system with the observable part in the upper block of the A matrix.
Using this transformation the equivalent system becomes
DG
 ~)
J
2 I o
1)(1
 3 0
J 0
o o 1
2 1 o
66
STATE VARlABI,E METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
67
jj~ r'B(=D .CCT~(O
which has the form of (2.39).
The pair (AII,Co).given by (2.39) can easily be proved observable in a similar manner to Theorem 2.6.
The transfer function matrix of (2.39) firs) is given by
_  (SfAll 0 )I(BI)
H(s) ~ [Co, 0] 
A21 .11/10 B2
0)
+ y
 (SfAII)I
~[Co,Ol  1 I
(slAo) All(slAII)
Co(slAII)IBI
+
(2.40)
2:,=(A11, [:4,2,A,3, Aj4;aJ,0), 2:2=(.422, [A24,B21c2)
2:3=()133' A34,0), 2:4=(A44,0, C41
which shows that the unobservable part of the system does not affect the inputoutput relationship.
Thus the state space can be decomposed into either controllable and uncontrollable or unobservable and observable subspaces. The generalization of Theorems 2.6 and 2.7 is given by Kalman's canonical decomposition theorem.
Figure 2.4 System decomposition
This theorem indicates that the state space can be decomposed into four subspaces, and the subsystems corresponding to the subspaces, shown in Figure 2.4, are denoted by 2.:J, 2.:2, 2.:3 and 2.;4, where 2.;, is controllable but unobservable, 2::2 is controllable and observable, 2.:3 is uncontrollable and unobservable, and 2.:4 is uncontrollable but observable.
Before the proof of the theorem an example is given.
Theorem 2.8 (Kalman's canonical decomposition theorem)
The time invariant system of (2.1) is equivalent to a system of the following form.
n,
(~'
 0
A=
o
o
n3 n4
)
All A'4 ]n,
0 A24 Jn2
A33 ~34 In3 (2.41a)
0 A44 I fl4 Example 2.8 Find an equivalent system in the form of (2.41) for the system given in Example 2.6.
From Example 2.5,
(2.41b)
and from Example 2.6,
(2.4lc)
Therefore "/"((IT) :J .Jj'('P) and
;Yi'c(c»n./I((/T) = {O)} , giving n, = I
where
n, = dim PlI(O.) n.IJ"((;T) } 112 = dim .fl«(/)  11,
113 = dim ,II «(/T)  11,
114 = 11  n,  112  fl3
LeI
(2.42)
68
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
69
which indicates 112 = 1, 113 = 0, and 114 = I. The whole stale space R3 is represented by
where, as mentioned, the choices of :;1"(0, :/)'co and ;d'co are not unique. Letting
dim 2/"co = III dim d'co = 112 dim ;:1'co = 113 dim :d 'co = 114
':)'(0 = (Vl, ... , Vrll)
~j 'co = {VlIl + 1, ... , V!ll + 1121
~j'co = {vnl + 11~ j 1, ... , Viii + J!'}.+ n:;} ·!l'co == ~ Vn I + n,_ + IlJ + 1, ... , vnl
1 1 o
~)
;j'co = .:J?( '(/)n.II((J) is Ainvariant, since .7'7((') and .11 ((iT) are Ainvariant, so for any x E ::1'co, Ax E ;Jf«(') and Ax E .1/({i)T and therefore AXE :d'co. Thus
Using the transformation
the equivalent system in the form of (2.41) is
ill
AVi = ~ aj/Vj i=I
(i=1, .. ,,11r)
(I 1 ~)G 0 1)( 1 0) (1 1 ~)
/1= rlAT= i 1 0 3 2 1 o = 0 I
1 3 1 0 1 ° 0 1
( 1 1 DG)= (f)
B=r1B= i I
\
c= CT= (0 2)0 1 D=(o  2)
° On the other hand ,:11'('(') = ;d'co Ql fco is Ainvariant, so
HI + !l,_
A Vi = 2..:' ajiVi )1
(i=I1I+l, ... ,I1I+112)
!/l Jll+Jl_,+nl,
AVi = ~ aj,vi + ~ ajivi
j=l j=!ll+//?_+I
where there is no A J3 in A in this example. Except for .f((' T) n ,1/('(/) = I r 1,2, I] T l, the 'choice of the basis is not unique, so there exist many equivalent systems in the form of (2.41) besides the (A, S, C) given here.

and ·j'co is not Ainvariant
/I
AVi = ~ Gj;Vj )=]
(i = flI + 112 + 113 + 1, ... , 11)
Proof of Theorem 2.8 Let
From the above results (2.41a) is obtained. Equations (2.41 b) and (2.4lc) are derived from Theorems 2,6 and 2,7.
,Jf('(?)n.ll((iT) is calculated as follows: Letting
;feo = ;:11' ('(') n. 1/ «(J T)
then the controllable subspace ::11'('(') can be expressed as the direct sum of the linear subspaces ;d 'co and .j 'co, so that
.:1i('(1) = ld'co ffi /)'[0
where the choice of :j'co is [lot unique, Similarly a subspace /)'i'o is chosen so that the unobservable subspace ,;/'«(;T) is expressed as the direct sum of ')'c6 and j'co, that is
,:11'«((:) = [v., , .. , v,d .//'«(,T) = IWI, "" WI/i,]
the orthogonal space to di('(), [VI, .. " v.l ", and that to "I((,T), w.. ... wn,,].L should be obtained. Then the intersection is given as follows: (Wonham)
. II"( (i T) = fcc; ffi fcc
where the choice of ';)'co is not unique. The whole state space is expressed as
(2.43)
The orthogonal space lv., ... , vnJ J is calculated from the inverse of lv I, ... , VII] as follows, where V II, + 1, .. " VI! are determined so that the matrix is nonsingular.
70
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
71
Using these two vectors we [hen find
() ~)~ = {CO}
Therefore
vi' .L lv., .. ~, v.},
i = n; + 1, ... , 11
therefore
[v l ~ ••• , v nJ _!_ = [v fit.: + 1, •.• , V /1 J
[ WI, ••. , ,\V no]..L :::::: {W :lji + 1 , ... ~ VV /I}
Concerning the transfer [unction of (2.41) we have the following result
and
Theorem 2.9
rile transfer function of (2.41.1)5 given by
(2.44)
[[VI, .~., V'lc.]..L, [WI, ... ~ \Vnii] _l_] J.. = [V/ll I I, ... , V,'I, '""','/[1_1, .~., VV/1] ..L
(SI_AII) I (51,411) IAI2(sl ,422) I :
o (51Ad I: X
=                 ._              ~     =:' ..  ~ ~      _   ~ ~        
o 0 1(51/111) (slAn) Au(slA~_d
I  I
o 0 : 0 (51  A!~ )
Thus the intersection is calculated.
Proof ,From (2.41)
Example 2.9 rind
.Jj'(A )nJ(A ')
(sfAll
 ()
C~)
o
o
for the following matrices
A= G
fEes) = (0
o
o
')
 3 ,A' = (0
2
0)
Now
and from (1.127)
 AI2 sf  An
Choosing \'0 as (0 0 J)T gives
o I
( :
I
o
so that (I, 1, J)T is orthogonal to (I, I,O)T and (0, I, 1)1, that is
G :r ~ {(D)
Similarly we obtain
G ~)~ = {G)} where
(51 All)
X=
 /112
 AI~ ) I (BI)
 A2~ B2
A'~ 0
sl ~~~ 0
 All
sf
o
o o
sfAn o
o
AI~ ) I
 /h~
A\+
sf  A~~
o o
51 Au o
rl3~ +AI,j(sl FL~) I (sl  A,,) 'A,~(sl /T~~) I
')
'A_lJ(s/ A3J) 1,(s/,411) ItAI2(SJ;f22) 'A~_,! .4IJ(sl/13~)
o
Substituting this expression for the inverse, (2.44) is derived.
72
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
73
(An, B2, C\) is completely controllable and completely observable, and only this part is found to affect the inputoutput relationship of the system.
If .f;(t; v., 0) is a solution,
:t (eA'/!  (Ad  A )te"i/)vi
= {Aje""!  (Ad  A)eAil  (Ad  A)AI!CA,!)Vi = Ale"'/ I  (Ad  A)teA,I)vi
which yields (Ad  A)2Vi = 0, therefore
Vi C;V{ (Ad  A )2].
2.2,3 Stability and Decomposition of the State Space
In the preceding sections, the state space has been decomposed from a controllability and observability viewpoint. In this section, the state space is decomposed from a stability viewpoint.
The initial state Xo of the timeinvariant ndimensional linear system
Generally for a ptuple root Ai, the initial state
X= Ax
X(O) = Xo
(2.45)
is said to be unstable if its solution 'f(t; Xo, 0) is such that
gives the solution
lim II .f; (r; Xo, 0) II = co
t 'CC
(2.46)
(2.49)
If there are no unstable states then the system is said to be stable. Further if for any initial state the solution satisfies
lim II.f;(t; Xo, 0) II = 0, \fxo E R"
/~oo
(2.47)
Let C+ denote the right half of the complex plane including the imaginary axis and let C be its complement, then the following polynomials can be defined for the characteristic roots Ai, ... , Ak of A with multiplicity Sl, S2, ... , Sk by
det(s!  A) = sn + 0'11_1Sn1 + 00. + 0'0 = 0
(2.48)
1
'I' + (s) = II (s  A/)"
t : I
k
'I' (s) = II (s  AI)"
i=l+ I the system of (2.45) is said to be asymptotically stable.
Letting the characteristic equation of A be
AlE C
with roots AI, A2, ... and An, then there exists an initial state Vj to give the solution of (2.45) represented by
where Ai (i = 1, ... , /) and A! (i = / + 1, "', k) are assumed in C+ and Crespectively. Since there is obviously no common factor for 'I'  (s) and '1'+ (s), there exist hl(s) and h2(s) such that
hi (s)'I'+(s) + h2(s)'I'(s) = 1
If there exists such a solution then it satisfies (2.45). That is
Therefore any x in R" satisfies
hl(A)'I'+(A)x+ h2(A)'I'(A)x= x From the CayleyHamilton theorem
'I' + (A )'1'  (A) = 0
(2.50)
Therefore the initial state satisfies
(AdA)vi=O
which indicates
which tells that VI E . ,I[ (Ad  A )]. Similarly for double roots Ai, there exists an initial state Vi to give the solution
therefore
74
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STRUCTURE OF LINEAR SYSTEMS
75
On the other hand, for Xo E ,;If 10 (A)], h : (A)<P  (A )xo = 0 and from (2.50) Xo = h)(A)'P+(A)xo
Theorem 2.11
A necessary and sufficient condition for the system (2.45) to be asymptotically stable is the existence of a positive symmetric matrix P satisfying
therefore
Thus it is proved that
(2.52)
for H such that (A, H) is observable.
Similarly, it can be proved that
Proof For the positive functional defined by
Therefore using (2.50) the whole statc space can be written as
Vex) = X T Px
(2.51)
its derivative is
where
.8('+ (A) = ,/V['P+(A)] ::1' (A) = ,IV[ID(A)]
Vex) = e Px + x T Px
= X T (AT P + PA)x = _ II Hx 112
/.('+ (A) includes ,/1[ (},J  A)] with nonnegative real part Ai, so it is the set of all initial states which do not give asymptotically stable solutions, and »': (A) is the set of all initial states which give asymptotically stable solutions. From the above discussion, the next theorem follows.
Since (A, H) is observable
=  II HeAtxo 112 < 0
Theorem 2.10
The necessary and sufficient condition for the timeinvariant system (2.45) to be asymptotically stable is that all its characteristic roots have negative real parts.
so Vex) is proved to be a Lyapunov function and the system is asymptotically stable. Necessity is proved as follows. Assume that the system IS asymptotically stable, then the Gramrnian matrix in the form of
2.2.4 Lyapunov Function
In the previous section, the relation between stability and the real parts of the' characteristic roots of A was discussed. In this section a Lyapunov function which can bc used for the stability analysis of general systems, including nonlinear ones, is introduced for the stability analysis of a linear Limeinvariant system. Let the solution of a dynamical system be x(t), then a functional Vex) which has first order partial derivatives with respect to x, is real positive and has a derivative which is real and negative for all nonzero x is said to be a Lyapunov function, and a system for which a Lyapunov function can be constructed is asymptotically stable. Thus a Lyapunov function is useful for the stability analysis of general systems, but how to construct such a function is often a problem. For the linear system (2.45) a Lyapunov function can be constructed easily.
(2.53)
= I'''' (ATeIT7HTHeAT +e·177HTHeATA) d r
• 0
= ATS + SA
Letting S = P, (2.52) is obtained. Thus x T Px is a Lyapunov function and (2.52) is said to be a Lyapunov equation.
76
STATE VARIABLE METHODS IN AUTOMATiC CONTROL
STRUCTURE OF UNEAR SYSTEMS
77
PROBLEMS
check whether the system is observable if
o o
(i) e = (1 0 0) (ii) e = (0 0)
and (iii) e = (~ 0 ~)
0
P2.S Draw a block diagram for the system
(A,h,,')~ (n 1 flm 0)
2 [1 0
0 P2.1 Find the controllable and unobservable subspaces of the following systems.
(11)
(12)
(13)
(14)
(15)
(A, h" ')  ([1
(A,b,cT)= ([~ _32],[:],lO 1])
lJ.[~lll
(A, B,,') ~([_~;
(A, e, C) ([ ~
[0
o
o
(i)
(A,b)=([_~ ~],[~])
(A,B)~ (U 1 0 ~lli m
0
0 0
3 4 5 0
(A,b)~ W 0 j],[m
2 2
3
Discuss the controllability and observability of the system from the polezero pattern of the block diagram and check your results by manipulation on the matrices. In particular, find for what values of a the system may be uncontrollable or unob'S"trvable and determine the corresponding III odes.
0.5
1.5
2
o
3
P2.6 Check whether the pair (1\, B) is controllable for the following systems. If uncontrollable find the uncontrollable modes.
3
P2.2 For the systems in P2.l, find equivalent systems in the form of Kalman's canonical decomposition.
(ii)
P2.3 Prove that the solution of the Lyapunov equation (2.52) for Pis given as follows: Let A have distinct eigenvalues AI, ... , An, then P is given by
(iii)
where [vT, uTlT is an eigenvector of
(2.54)
(2.55)
P2.7 Two systems 51 and 52 have state space representations (AI, BJ, el, DJ) and (A2, E2, e2, D2), respectively, where Ai is (ni X ni), Bi(ni x ri), Cit m, X ni) and Diirn, x ri) for i = 1,2. Show that
corresponding to the eigenvalue Ai.
P2.4 The state space equation of a system is x = Ax + Bu Y= ex
(i) If the two systems are connected in series (i.e. m, = 1'2) then a necessary, but insufficient condition for the cascade combination to be controllable (observable) is that both 51 and 52 arc controllable (observable).
(ii) If the two systems are connected in parallel (i.e. 1'1 = rz, m [ = 1112) then a necessary and sufficient condition for the parallel combination to be controllable (observable) is that both S, and 52 are controllable (observable).
where
6 2 o
CANONICAL FORMS ANI) MINIMAL REALIZATIONS
79
is n x n and nonsingular. Therefore ({:I exists. Let
3
CANONICAL FORMS AND MINIMAL REALIZATIONS
and
3.1 CANONICAL FORM
(3.3)
3.1.1 Canonical Form
Now if T transforms A to the controllable form, Ac, then T  1 A = Ac T1 and this can be written
This chapter is concerned with canonical forms. Canonical forms are important in studying the structure of classes of systems. A canonical form is a special form for representing a class of systems. There are many canonical forms, but in this chapter we first explain Luenberger's second controllable canonical form, and then the definition of the canonical form and its properties are discussed. We first consider a single input single output system.
( I'TA) (0
i,TA2
T1 A = ; =
!'TAII 0'0
°
° )( I~ )
I,TA
~II_1 IJA:III'
(3.4a)
This is true since the last row corresponds to the CayleyHamilton theorem result
Proposition
An ndimensional single input system
A II + 0'11 _ I A 11  I + 0'11 2 A II  2 + ... + 0'0 J = 0.
Also using L ((,' = 1 we see that
x = Ax+hu
(3.1 )
(3Ab)
has the equivalent system
(0 ) (0)
: 111 I x, + : u
°0'0  0' I ...  0'11  I ~
(3.2)
and the sufficiency is proved.
Necessity. If (3.1) has the equivalent system of (3.2), then there exists a transformation matrix T satisfying
if and only if (A, b) is controllable, where
det(Js  A) = 511 + 0'11_15111 + 0'11_25112 + ... + 0'0·
AT= T(!
 0'0
1f11 ) and B=T(~)
 0'11 1 1
Proof If (A, b) is controllable the controllability matrix
Let the nonsingular matrix
(;/= [b, Ab, ... , A,,lbj
T= [tI, ... , till
78
80
then from the above relations
STATE VARIABLE METHODS IN A{JTOMA TIC CONTROL
CANONICAL FORMS AND MINIMAL REALIZATIONS
81
C,= b
At" = t,,I  O',,Itll At,,I = t,,2  0',,2t/l
which gives
t,,1 = Atll + O'IIlb t,,2 = At/ll + 0'1I2b
with
= [b, Ab, ... , AIIIbj
and the (Ii are determined by the following procedure. Let B = [b i, b2, ... , bmL then from [bl, bz, ... , bill, Abl, Ab2, ... , A bill, A zbl, ... ) n linearly independent column vectors are picked up sequentially. Let the set of these vectors be s/'. If rank B = 111, then
o
(3.5)
0'11 I 1
o
o
since T is nonsingular, (A, b) is proved controllable. Q.E.D.
The system (3.2) is said to be in the controllable canonical form.
Luenberger generalized this idea to multivariable systems.
Theorem 3.1
o
(3.8c)
(3.8b)
o
(i = 1, ... , m), Po = 0
and (Ii is given by
//'= [b., bz, .'" bill, Abl, ... )
(3.9)
a, = max[j I AjIbi E //')
(3.10)
(II, (12, ... , (I", are called the controllability indices, and
(Luenbergers second controllable canonical form). If an m input, p output, ndimensional linear multivariable system (A, B, C) is controllable, then there exists a nonsingular matrix T satisfying
is known as the controllability index.
where
A c = T  I A T, Be = T  I B
(3.6)
(All
A21 Ae=
A:1I1
Proof Since (A, B) is controllable, /f consists of n vectors. By rearranging the elements of /f, the following n x n matrix
(3.7)
(3.11 )
is obtained where
and A' .. E R'" x a, A .. E ROo X rIi B E RO, x 111 (.  1 '  1 ) .
1/ ,'1./ ' , I 1  , ... , 171, J  , ... , 11 are given
as follows:
Aii= ( ~
~iPi I
Since S is nonsingular, the inverse matrix L exists, where
rank B = m,
(3.8a)
(3.12)
82
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
Letting
where
CANONICAL fORMS AND MINIMAL REALIZATIONS
83
j
Pi = 2.: o, (j = 1, ... , p), Po = 0 i= I
(3.13)
Example 3.1 Find Luenberger's second controllable canonical form for the system
Vl,B,C)~ [(J 0 0 i)e 1} (~ :)]
0 0 0 0
11 4 o ' 0 0
23 6 0 6 I
The controllability matrix '(/ = [B, AB, A 2B, A 3 BJ becomes
',~ (! 0 I 3 6 18 25 75)
0 2  6 13 39 56 168
] 0 4 0 16 11  97
3 6 18 25 75 90  270 then
and the 1, 2, 3, and 5th column vectors arc chosen sequentially as linearly independent vectors. SO (JI = 3 and (J2 = 1. By rearranging the vectors as Ill, A b., A 2bl, b2 we have
I;;,B 0 0\
Ih,AB
rlB= 0
~)
Ih,Ao,IB 1
0 (3.15)
where B = [b., b2J.
The inverse of S is given by
Q.E.D.
(Ae, Be) are called the (second) controllable canonical form. When (A, C) is observable, (AT, CT) is controllable and the controllable canonical form of (AT, CT) can be obtained as ((AT)c, (CT)c). Letting
Ao = (AT)J, CO = (CT)J
then (Ao, Co) is said to be in Luenberger's second observable form. This form is given by
11 6 1 o
6
 2 13
o 0 6 25
D
3 o o 1
I)
o
o + alth row
o f al + (Jzth row.
The inverse of the transformation matrix is constructed according to (3.13) as
(3.16) ,{ 0 ")~li
canonical 0 0 o + ... I;r,A
T  0 0 0 1 + ... I;;,A 2
0 0 o + ... 1;;, (All... A2P)
Ao = A:21'" :2P
Api App
(3.17)
where PI = (JI, P2 = al+ 02 and I;;, denotes the Pith row vector of L. Therefore
(3.18)
2 o o
o o o
D
84
STATE VARIABLE METHOnS IN AUTOMATIC CONTROL
CANONICAL ,FORMS AND MINIMAL REALIZATIONS
85
and the controllable canonical form (Ae, Be, Ce) becomes
/lC=TIAT=( L.,L.!U\B=T'B=(LJ)
11,00:4) 0 I
c; = CT = (~ ~ ~ ~)
Using the P! (= UI) and P2 (= UI + uz)th column vectors 1/, It then T is constructed
as
C 0 1 0 D
T= ! 0 I 0
0 1 1
0 1 1
1 0 0
'I 'I 'I 'I i
Ipl Alpl A zlpl Ip, Alp2
and T  I is given by
C 1 0 0 0)
T'= ! 0 0 0 1
I 0 0 ~;.,
I 1 0
2 1 1 Exampie 3.2
Find the observable canonical form of the system
(A'BC)=Q; 1 0 0 'HI ;] ~l)
0 0 0 I 0 [~ 0 0
0 0 0 1 , 0
0 1 0 1 0 0 1
0 0 o 0 0
rhc observability matrix (! ~ r CT, AT CT, ... , (A T)4 C T] is given by
('=G 0 0 0 1 2 0 1 0 D
0 0 0 1 2 I 1 0
1 0 1 0 0 0 0 0
1 0 0 0 0 0 0 0
0 1 2 0 1 0 0 1 C= CD
Therefore the observable canonical form (AD, Bo, Co) is given by
Ao= T'AT=(!_f __ ~~~_ ~ __ ~)'BO= T'B= (_! )_~)
o 0 1 : 1 0 0 : 0
Co = CT = (~ ~ ~ i ~ n
which has been constructed by the dual procedure to that for the controllable canonical form.
and the 1, 2, 3, 4, 5 column vectors are sequentially chosen as linearly independent vectors. Letting
3.1.2 The Definition of Canonical Form and Ackermann's Procedure
S" is made up of c T. cT A, eTA z, cI, cIA and can be written
s,,= ( ! 1 0 0 or')
0 0 0 1 <···eTA
1 0 0 o e. ···eT A 2
0 1 1 o '···cI
0 0  2 < ···cr A In the previous section, the second controllable canonical form of Luenberger has been defined in (3.7) for a multiinput system. From this result we may consider that the following system
X=
(3.19)
where 01 = 3,02 = 2. Let the inverse of So be Lo, then
c 0 1 0 D
1 . 0 0 0
Lo= ~ 2 0 0
2 0 1
I 0 0
T
PI P2 is in controllable canonical form.
If, however, we again calculate the controllable canonical form using the procedure given in the previous section then the controllability matrix is
given by
"= lB. AB. A'BI =G 0 1 I
1 0 4
2 4 3 86
ST A TE VARIARtF: METHODS IN AUTOMATIC CONTROL
CANONICAL j<'ORMS AND MI["IMAL REAUZATION§ .
87
The 1 st, 2nd and 3rd column vectors are chosen sequentially as linearly independent. So S is defined as
and yields
51 = L = (:;) = ( ~
h 2
This gives the transformation matrix T as
Definition (canonical form)
Let X be a set, and let E be an equivalence relation on X. A map ¢: X + X is said to be a canonical map for E on X if
The range of ¢, denoted by ilC(¢), is said to be a set of canonical forms for Eon X
Let X be a set of ndimensional systems with minputs and poutputs, then (A, E, C) is an element of X
X = [(A, E, C) I A E R"x ", BE Rill X ". CE RPX "l
When (A, E, C) and (A, E, C) .. .are equivalent, that is, there exists a nonsingular T satisfY~lg_ A = T ) AT, jj = T ) B a;ld C = CT, we can denote (A, B, C)E(A, E, C), since the relation is an equivalence relation. For the equivalence relation defined by
1 2
(1) xE¢(x), "xE X
(2) xEy {o} ¢(x) = ¢(y), "x, Y EX
1 o o
o 1 o
o 1 o
The controllable canonical form (/le, Be) is thus given by
1,~ r'AT~ G B,~ r+e. 0
(3.21a) (3.21b)
(A,B,C)E(A,B,C){o}
eT: nonsingularjt.a = TIAT,B= TIB,C= CT) (3.22)
there are many invariants. Controllability indices are invariants, since
if Albi is linearly independent of hi, h2, ... , hill, Ahl, ... ,
Aj1b Alb Alb I All T1Aib' l' I' I' d d
III, 1,···, iI,tlen )i= . ilsaso mearym epen ent
of til, h2' ... , b.1I,Abl, ... ,A)Ibm, Alb" ... ,A.iiJi_l. So if we use the following diagram, where a X (cross) is marked when Ai in the left of the row times hi in the top of the column is linearly independent of the already
I 1 o
D D
(3.20b)
(3.20a)
which is different from the original system (3.19). So we have to ask the question is (3.19) in the canonical form? What is the definition of the canonical form?
A definition of the canonical form has been given by many researchers such as Popov, Rissanen, Brunovsky, and Wang and Davison. The definition which Wang and Davison used is closely related to the equivalence relation, which is a relation satisfying reflexive, symmetric, and transitive properties. That is, let E be an equivalence relation on X, then xEx, "XE X; xEy => yEx, "x, y E X and xEy, yEz => xliz, "x, y, z EX define these properties.
b1 b2
I X X
A X X f;1 X X
ACT; X X Definition (invariant)
Let .«: be a set, and let E be an equivalence relation on X. If I' is another set, a function f : X + I' is said to be an invariant for E if xEy => f(x) = fey); and a complete invariant for E if xEy {o} I(x) = fey)·
b b
1>14 m
X X DEB
88
STATE VARIABI"E METHODS IN AUTOMATIC CONTROL
CANONICAL FORMS AND MINIMAL REALIZATIONS
marked elements, then if the number of the cross marks in the /th column is
M'"~G  (321 ~~"" )
I  (3111('{' I)
0 (3.23)
where a 1\ b = min(a, b). From the above relation we see that not only Iud but also I aijd are in varian ts on X. I u;] is called a controllability index or Kronecker index.
Let the set of controllable systems be Xc defined as
then the canonical form is given by
Ac = Ae + BeMXBl KAB Bc= BeM;J
Xc = I (A, B, C) I (A, B, C) E X, (A, B) is controllable]
The E defmed in (3.22) is also an equivalence relation on Xc. For a system in Xc, the sum of Kronecker indices is n , and Iud plus laijd are completely invariant for E on Xc, since
where
Ae = diag(Ael, Ae2, •.. , Aem) Be = diagtb, r, ... , bem)
gives a canonical form
0 0 a, [0 0 \ I 0 0\
1 0 alii \ 0
0
A= B=
I ,
allul [ 0 I 1
(/[20 0 ) 0 a, X 1 matrix.
89
(3.2Sb)
(3.26a) (3.26b)
Using Ackermann's procedure, the controllable canonical form of the system (3.19) is derived as follows:
for a class of controllable equivalent systems on Xc. The above canonical form is not convenient for general use and Ackermann gave a procedure to give the canonical form obtained by Luenberger's algorithm. He defined
A 'h, ~ C D ~ ~ 2b, ~ Ah, + 5b, ~ «nobr 1 "' uAb, + "",b,
Ab," G)~ ~ b. 1 Ab, 1 2b, ~ ",,010,1 ~",1b, 1 ",,,b,
aijk = aijk for i = 1, ... , m, j = I, ... , m, k = 0, ... , minu», Uj)  I (3iJ = [liP,
(3.24a)
where I a;Jk land {{3ul are called aparameters and {3parameters respectively. Let
exL' = [  auo,  aij[, ... ,  aijiJii' 0 ... OJ
Therefore
K _ (allo a III a2la) = (2 1  ~)
AB 
a 120 0 ano 5 0
M4B= C  ~)
. 0
MAAKAB = (~ :) ( ~ 1 ~) = G 1 D
0 0 (3.24b)
where uij = rnintc., Ui)  I and
( T
a[1
T exn
KAB=
a~11
T )
aim
a~1Jl
(3.25a)
T al2
90
STATE VARIABI,E METHODS IN AUTOMATIC CONTROL
CANONICAL HlRMS AND MINiMAL REALIZATIONS
91
and the canonical form is
1 1 o
A 2bl = &llobl + &111Abl + &\20(b2  p21bl) £'1(112  1321bd = &21Obl + &220(b2  13z1bd.
This relationship shows that the coefficients of the following equations A 2bl = allabl + alilAbl + al20b
Ab2 = a210bi + a2l1Ahl + a22ob2
then
Do
The relationship is proved by considering a simple example. For the controllable system,
x = (a~1O alII
([120 0
satisfy 1321 = a2l1 and
 (321) (~IIO
1 Cl: 120
~210) = (aiIO ([III
o:no al20 0
The elements of the controllability matrix are
So that
a2lo)
a220 ,
and by generalizing the above; example, Ackermann's procedure can be understood as follows:
From the above simple example, we will derive the controllable canonical form for a general multivariable system. jj is first defmed as
where MAB is
1  1321  1331  131111
MAB= 0  1332 13m2
0  (3mml A 2b1 = (/1 !ObI + al11Abl + ([12oh2 Ah2 = a21OI11 + a220b2
Therefore in the case that all the 13parameters are zero, the coefficients of the linear combination giving AUibi are the same as those in the Amatrix of the canonical form. However, if the 13parameters are not equal to zero such
that
and the aparameters are defined as
C" O'ill "d"') C" a ill
ai20 ('Xi21 a 120, I _ M 1 an» au,
 AS
0':1/10 (:;'iml a:I1Ui  I a;l/Io aillil alII
,,~'")x + (~ ~21) 11
0:220 0 1
o
(alii )
A2h1= ~llO+a~11
0:120
Then from (3.23)
an«: I)
(/i2a/ I
a:l/I(Ji I
(ai1O) (aill) (ailai)
A "b, ~ jj a,,, + A B ",,, +.. I A"'  , il 7"'
almO . O:unl CliFnOj
( 1321 )
Ab2 = 1321&I~1 + 0'210
0:220
Let
(3.23)'
92
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
and
tia, = bi (ciiil~i 1)
t.,, ~ At,,:  B " ";' ,
alf11tJil
(O'ill)
ciii21
.: I '
then from (3.23)'
(O'iIO)
At"  il "",,,
CXimO
Using T, the following relations are derived
o 1 0
o 0
cii llO 0'111 cii11u, 1 &210 eXmlaml
0
AT= T
0
&120 &121 &l2al  1 &220 cii22u,  1
0
&lmO &1/111 O'lmu,l ciizmo ammaml
= TAc
0 0
0
J 0 0
B= T 0 ° MAt = TEe
0 0
0 CANONICAL FORMS AND MINIMAL REALIZATIONS
93
(Ae, Be) are thus found in the canonical form given by Luenberger's algorithm.
3.1.3 Canonical Form and InputOutput Relation
The canonical form discussed has a close connection with the transfer function which represents the inputoutput relationship.
First the controllable canonical form (A, b, cT) with a single input and output is considered. We have
o
: )x+(O)u
_ (~IiI F ~
o
y = Wo, ... , .611 dx
o
and the transfer function of the system is
R /II R
H( ) = !J1lIS + ... + 1'0
S n 11[
S +O'nIS +"'+0'0
(}.) ,
(3.27a)
(3.27b)
(3.27c)
(3.27c)'
which can be proved as follows: To show (3.27c)' follows from (3.27c), we first prove
(SfA)Ib=( ~) sn_[_O'o, ... ,Ci.n_tl (: )_1
s"I SnI
Premultiplying by (sf  A) and post multiplying by
(s" [Ci.o, ... , O'II_I])[I,s, ... ,snIjT
(3.28) yields
( 0 ) =(SfA)(: )
s" + Ci.n_1SIl~1 + ... + Ci.o ~";I
(3.28)
(3.29)
94
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
CANONICAL FORMS AND MINIMAL REALIZATIONS
95
which is obviously true. Therefore (3.28) holds and (3.27) follows from
(1.23). .
This relation between the transfer function and the canonical form of a
single variable system can be generalized to a multivariable system by the structure theorem of Falb W olovich.
.: )
 AmS(s)
'.
sa"
Theorem 3.2 (structure theorem)
Consider the second controllable canonical form of Luenberger (Ae, Be, Cc) with full rank B represented by
(0:10
, .
Am= :
0:1110
0:1(11 J) )
~111(11 J)
(3.33)
(3.34a)
Aim) (BI)
AZiIi ,Bc= : ,Ce=[C" ... ,CII1]
A mill BII! (3.30)
1 (311 ... (31(111 I)
0
13/11= (3.34b)
1 (3{m  I)(mI)
0 0 The proof is given in the appendix of this chapter.
In the case where (A, B, C) is an observable canonical form a similar relation exists. Letting Luenberger's second observable canonical form of (A, B, C) be (Ao, Bu, Co), then (AJ, cJ, BJ) is Luenberger's second controllable canonical form; therefore the transfer matrix of the system from (3.31) is
t;  I ) A ..  (
, ij r:
 O:i(p,  I)  O:ipi I
o _ rXi(Pi _ I)
(3.8a, b)
where Po = 0, Pi = 2::;=1 OJ, and
o
(3.8e)
The transfer matrix of the system is given by
Cc(sl Ae)IBc= CeS(s) 0;: I (s)BII/
and taking the transpose, the transfer matrix of (Ao, Bo, Co) is given. Specifically
(3.31 )
where
(3.35)
where S(s) is defined similar to (3.32a,b), but by choosing m = p, and
CUI)
S2(S)
S(s) = .
SII;(S)
S,(8) ~(: 0 0 ... :)
s
0 50' I 0 ...
t (3.32a)
o
(SUI
00(5) = 0
'.
(3.32b)
( I'll
C" = 'Y(P~ 1)1,
aop )
(3.36)
O:(I1I)p
(3.37)
96
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
CANONICAL FORMS AND MINIMA L REALIZATIONS
97
The transfer matrix is, therefore, given by
1 3 2
H(s) = 4 3 2 [C,B,s + Cor2B,s + cer I Rs + CcToR]
s + lOs + 35s + 50s + 24
Example 3.3 Find the transfer matrix of the system given in Example 3.1. .
Letting the controllable canonical form of (A, B, C) be CAe, !leo Ce), th~n by usmg the fact that equivalent systems have the same transfer matrix, there exists
H(s) = C(sl  A)! B = Cc(sl  Ac)' Be
where
Ac~(J 1 0 ~).Bc~(; D,c,~ (~ ~).
0 1 0 1
11 6 0 0
11 0 0 4 0
Using Theorem 3.2
H(s) = (~ 0 1 ~(, ~}C'(6 i)
0 0
where
(S3 0) (6 11 6 ~)(i' D
<\(s) = 0 s  11 0 0 S4 + 10s3 + 35s2 + 50s + 24
as before.
3.2 MINIMAL REALIZATION
Therefore H(s) is given by
The construction of a state s~ace representation flbm an inputoutput relation such as the transfer function is called a realization. In Chapter 2, it was pointed out that the transfer function of a system is equal to that of its controllable and observable subsystem. From this fact it is therefore understandable that there can exist many state space representations with different orders which give the same transfer function. Among these possible state space descriptions the minimal dimension system is called a minimal realization. In this section, algorithms to obtain the minimal realization from a transfer function are given.
(S2
HCs) = 0
0) (S3 + 6s2 + 11 s + 6 0) ! (1
1 11 s+4 0
3.2.1 Dimension of a Minimal Realization
The transfer matrix H(s) is a common representation for a system inputoutput relationship. For a multivariable system there are many forms for its representation. We give below several of these for strictly proper systems which by definition satisfy Iims~'" H(s) = O.
The result can be compared with that given by the algorithm of Faddeev (1.26) which yields
r I cn= tr Ac= 10 (i) (P,,(s) , puCs) , ".,P''''(S))
( 10 1 0 0) ( 0 10 1 g}J5 qll(S) qu(s) qlm(S)
0 10 I o 16  11 4 H(s) . .
=. .
r2 = Aer3 + col = o ' (X2 =  ,tr  24 60  35 . .
6 11 4 Ppl (s) PP2(S) PPIIJ(s)
11 0 0 6 611 11 0 24 ~~, ~~, .~~,
qpl(S) qp2(S) qPI1I(S)
C' 10 0) C6 ~ 4 g) ~50
6 24 4 o 1 24 50 0 1
I'1=Acr2+ad= 24  50 0 o ' 0'1 =  ~tr 0  24  50 (ii) H(s) = ~ Hi(S)
q(s)
 66 11 0 11 121  66 11 44
0) c~ 0 0 g}~ where
( 44 24 4
24 0 0 o 1 0 24 0 q(s) r r: I (/;ER
= S + (/, IS + ... + (/0,
I'o=Acrl+all= 0 24 0 ~ , 0'0 =  4tr g 0  24
121 66 11 0 0 24 Hi(S) = u.i,«:' + ... + He; HiE RpxlII (3.38)
(3.39)
98
STATE VARIABLE METHODS IN A 1JTOMA TIC CONTROL
CANONICAL t'ORMS AND MINIMAL REALIZATIONS
99
(iii) H(s) = N(s)D1(s)
N(s) = Nr_1s,1 + Nr_2s,2 + '". + No, N, E RP XII/
D(s) = Dvs! + Dr_lsr1 + ... + Do, D, E Rill x III
(3.40a)
can be rewritten using the relation Hi = CA i B as
There is also a dual form to (3.40a) with H(s) = NI(s)D(s)
·1fn =
C CA CAz
[B, AB, ... , A"IB]
(3.40b)
N(s) = N,sr + ... + No, D(s) = Dr1s,1 + ... + Do,
NiE n=»
D, E RP X III
CA"1
(3.41)
By the assumption that (A, B) is controllable and (C, A) is observable,
In this representation the coefficient matrices Hi of (3 AI) are called Markov parameters.
If the transfer matrix of the system (A, B, C) is H(s), that is,
H(s) = C(sI  A)IB
= CBs1 + CABs2 + '"
than the Markov parameter Hi is related to (A, B, C) by
rank .yt'll = n
(3.44)
However Hi = C' A JiB' gives
Hi= CAiB,
i = 0,1,2, ...
(3.42)
.:1('" = ( cC~, ) [B I, A' B', ... , A ' ,, I B' J
C'A,n1
Therefore if there exists an A, B, C satisfying (3.42) then (A, B, C) is a realization of H(s). Theorem 2.8 in Chapter 2, shows that the completely controllable and observable subsystem of (A, B, C) gives the same transfer matrix. There is, however, a question of whether there is a system with a lower order than that of the completely controllable and observable system. The next theorem answers this question.
Therefore
rank[B',A'B', ... ,A'II1B'] (; n'«n)
Theorem 3.3
which yields
The realization of the system (A, B, C) from the given transfer function matrix H(s), is a minimal realization if and only if it is completely controllable and observable.
rank .1f n (; n' ( < n)
Proof From Theorem 2.8, it is known that the minimal realization is controllable and observable. Therefore it will be proved that the controllable and observable system is a minimal realization. Let a controllable and observable nth order system (A, B, C) be a realization of H(s) and assume that there exists a lower order system (A', B', C') with the dimension n' « n), then a Hankel matrix composed of the Markov parameters
(HO' H"Hz
HI, Hz, H3
.;/('" = .
~1I1' H", HII+I
This result contradicts (3.44) and thus it is proved that the controllable and observable realization is minimal.
This theorem shows the uniqueness of the order of the minimal realization, and all minimal realizations for a given inputoutput relation are shown equivalent by the following theorem.
Theorem 3.4
Hn_l)
H"
H2112
(3.43)
If (AI, BI, Ct) and (A2, Bz, C2) are minimal realizations for the transfer matrix H(s), then they are equivalent.
Proof It is given in the appendix.
100
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
CANONICAL FORMS AND MINIMAL REALIZATIONS
101
3.2.2 Kalman's Algorithm for a Minimal Realization from a Transfer Matrix
Equation (3.46) can be rewritten as
There are many algorithms for obtaining a minimal realization from an inputoutput relationship. First, the algorithm of R. E. Kalman which is historically important is described.
When the transfer matrix H(s) is considered, the least common multiple of all denominators of components in H(s) is denoted by ,.p(s). Then ,.p(s)H(s) becomes a polynomial matrix and can be written in the Smith form as
tj;(s)H(s) =t [PieS) V/«S»_ q; (S)] tj;(s) (mod tj;(s)
1= j /ll S
(3.47)
where PieS) is the ith column of pes) and qT (s) is the ith row of Q(s). Let
AI=( 0
 ({(n,I)I
_J
i = 1, ... , r
(3.48)
o
then the following relation exists (sf  A;)I,.pi(S) ==
tj;(s)H(s) = pes)
Q(s)
(3.45)
[ II;  I + II;  2 J ( d .i. ( »
s ({liS +···+a(II;I)i, ... ,s+ali,1 mo '1'1 s (3.49)
o
where pes) and Q(s) are unimodular matrices and Vl(S) 1 V2(S) I···
where
tj;i(S) = s'" + alis"; 1+ '" + ({,,;I
(i,e, VI (s)divides V2(S»,
Dividing both sides of (3.45) by pes), the following MacMillan form is obtained for H(s).
H(s) = pes)
o
vi(s) !lr(S)
(3.46)
Using the relation (3.49), JJ(s) of (3.47) is realized as
A~(:' A, :) B~G:) C~(C"c" ... ,C) (3.50)
Ci( : ) == PieS) (mod tj;i(S» (3.51a)
s": I
v{(s) !ll (s)
o
vr'+ I (s) !lr+I(S)
where vf(~) and !l1(S) are obtained by cancelling the common factors of VieS) and ,.p(s) so that they are coprime and satisfy
vi(s) 1 v2(s) I .. ·
rs",I + ans" 2 + ... + ({(ii, I)" ... , IJBi == Vi(S)q; (s) (mod tj;i(S» (3.51b)
The algorithm is shown in the following example.
Example 3.4
The transfer matrix
( 2s+ 3
(.1+ 1)(.1+ 2) H(s) =
2
s+1
3.'1+4 )
(.I + 1)1(S + 2)
s + 1
and
/lr(S) 1 /lrl(S) 1 !lr2(S) I,,,·
If H(s) is a minimal realization of a strongly proper linear system, its dimension is 2.:;'= I deg( {tiCS»~ and it is called the MacMillan degree.
102
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
CANONICAL FORMS AND MINIMAL REALIZATIONS
103
is minimally realized by Kalman's approach as follows. Since if;(s) = (s + l)(s + 2) ,y(s)H(s) = (21' + 3 31'.+ 4)
2s + 4 2s + 4
f, .
system is realized for the given transfer function and in the second step, its observable (controllable) subsystem is computed to give a minimal realization. The procedure is completely dependent on Theorem 2.6 and (3.35) or Theorem 2.7 and (2.40).
Then
( I 0) ( 1 s) (I S )
2s + 4 I 2s + 4 25 + 4  0 2(1' + J)(5 + 2)
( 1 I' ) ( IS) (I 0 )
o 2(s+I)(s+2) 0 I = 0 2(5+1)(5+2)
(1) Realization of a controllable form and its minimal realization by picking its observable subsystem
When the transfer function matrix R(s) is given by (3.38), let us consider its zth column
 1) ( 1
1  2s + 4
1 )
2s 3
PlieS) q Ii (s)
Giving
hi\S) =
P2i(S)
q2i(S)
Therefore
P(s)= (253 II) 2s4
Q(5)= (~ :)
(253)
1>1(S)= 2s4
qT= [151
and let the least common multiple of Qli(S), "0, qPI(s) be dies), then hieS) can be written as
Using eqns (3.49), (3.50), and (3.51),
I T
,y(5)H(s) == pd5) '/;(s) ql (5)'/;(.1) (mod 1/;(5»
1 (nues»)
hieS) = dieS) n~i(S)
npi(s)
yields
A = ( 0 2
C(I) (2S 3) .. C ( 3
= glvmo =
5  2s  4 s»  4
 ~)
2)
2
where
[I' + 3, 1 J B = [  1, sJ giving B = ( 0 1
nji(S) = (3ji(l1i I)S"i 1 + (3ji(JI,_2)S"i2 + ... + (3j/o dieS) = s'" + O'i(lIi I)S"i 1+ ". + 0'10
and the minimal realization is derived.
From (3.19), hieS) can be realized in the controllable canonical form as
In Section 3.2.2 one algorithm to minimally realize a given transfer function matrix has been given. But the algorithm requires one to handle polynomial matrices and is not suitable for computer computation. This section gives Mayne's algorithm which can easily be achieved computationally. The algorithm consists of two steps. In the first step a controllable (observable)
3.2.3 Mayne's Minimal Realization Algorithm
o
( (3lio
c. = ~PiO
(311(11,1) ) ~PI(lIi I)
(3.52)
104
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
CANONICAL j<'ORMS AND MINIMAL REALIZA nONS
lOS
Thereafter H(s) is realized as follows. Writing
Example 3.5 Find a minimal realization of
( 45+6
(5+1)(s+2) H(s) =
2
(s+ I)(s+ 2)
2s+ 3 )
(s+I)(5+2)
I
(5 + 1)(5+ 2)
From (3.52) the controllable realization for hi (s) is
(3.53)
AI = ( 0 n hi = (n C1 = ( 6 ~)
2 2
and that for hz (s) is
A, = ( 0 ~) h2 = (~) C, = ( 3 ~)
 2   1
They give a controllable realization
C 1 0 j) C D
? 3 0 B= 1 C= ( 6 4 3 ~)
A = 
0 0 0 0 2 0 1
0 0 2 0
The observability matrix of (A, B, C) is
C 4 3 J)
2 ° 1
(JT= _? 6 4
2 0 1 The system (3.53) is controllable, but it may not be observable. So its observable subsystem as given in Theorem 2.7 should be taken. Since the observability matrix of (3.53) is
C CA CAl
CA"]
and if rank fJT = no < n, then no linearly independent row vectors wI, wi, ... , wi, can be taken from (JT. Let these vectors form the matrix, S, where
(WI)
T
s= W2 .
~;;"
CA is linearly dependent on C, so CA 2 and CA 3 are also linearly dependent on C, which gives rank (IT = 2, so that wI = [6,4,3,2], and wi = [ 2, 0,  1,0]. S is given by
and find the matrix U satisfying
5 = (w~) = ( 6
W2 2
4 3 o I
~)
so s r;
(3.54)
and U = 51 by
Ao= SAU,Bo= SB, Co= CU
(3.55)
4)
6 .
o
o
then
gives the observable and controllable system with the given transfer function.
Therefore a minimal realization
Remark The procedure is to find (A][,.81, Co) in Theorem 2.7 and U consisting of column vectors which are not included in N((;T). To find such a Vane chooses SI to make (~.) nonsingular and d·) ] = [U, VI J gives U.
1 (3 Ao= SAU=
2 1
1) (4
Bo = 5B=
 3 ' 0
2) Co=CU=(1 ° ' 0
~)
is derived.
106
STATE VARIABLE METHODS IN AUTOMATlC CONTROL
The dual 0[' the above procedure can also be considered.
then
CANONICAL FORMS AND MINIMAL REALIZATIONS
107
Ac = SA U, Be = SB, Cc = CU
(2) Realization of an observable form and its minimal realization by picking its controllable subsystem
Let the ith row of H(s) be
gives a minimal realization.
APPENDIX
The Proof of Theorem 3.2
and let dieS) be the least common multiple of the denominators qij(s). Then it can be rewritten as
To prove (3.31),
(3.31)'
will be proved. The left of (3.31) I is
(: 1 :1
(sf  Ac)S(s) = I a~o
\: ..
where
() {3 II,  1 + (3 . s"  2 + + i3.
flU S = iJ(I/' I)S ijcn,  2) •.. IjO
de) 11,+ ",1+ SI/,2+ +~.
i S = S ai("i I)S O:i(II,2) ... ~IO
From the transpose of (3.27) the observable realization of h! (s) is given by
s + 0:1(01  1)
(JuuO )
(31111t1'1
° °
Ci= [0,0, ... , IJ.
(3.56)
H(s) is then realized by
0' 1
O:liSi ~ 0:1(1+ a!lS'
A = (A I A2 ° ) B = (~~)
° Ap ~p
The controllable subsystem of (A, B, C) is given as follows. Let the rank of the controllability matrix
'€= [B, AB, ... , A"IB]
0[ I
~ fXmiSi i~O
(3.58)
be n; < n. Then choose n; linearly independent column vectors VI, ... , Vn, from B, AB, ... , A 111 B. Let U be a matrix formed from these vectors where
Therefore (3.31)' exists. By dividing (3.31)' by (sf  Ac) from the left and by oc(s) from the right, and by multiplying by Cc from the left gives (3.31).
The Proof of Theorem 3.4
Let both (A!, B" Ci ) and (A2, B2, C2) be minimal realizations for H(s), then
and find S such that
i = 0,1,2, ...
(3.59)
108
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
CANONICAL FORMS AND MINIMAL REALIZA nONS
109
Let
Now (3.64) gives
'e'l = [B" AlB" ... , Ar'BIl Yi:2= [B2,A2B2, ••• ,Ai,lB2J
T2 TI = (fJ2 (Ji)  I Od! T {{/ I {{'I «(e2 (("I)' = (fJ2(;I) 'h(!i({J2({'i«(('"2(("I)' =1
then (3.59) gives
(3.60)
therefore
and from the fact that they are minimal realizations, that is, controllable and observable.
Thus (3.61), (3.63), (3,65) show that (AI, B" Ci ) and (Az, Bz, Cz) are equivalent.
Let
PROBLEMS
P3.1 Find Luenberger's seconIf' Controllable Canonical Form for the following systems.
then
(3.61 )
(I II [C ~}G ~} [(0 01]
(A,B,cT)= ~ 3
5
(12)
T l (1  D, (~), [(1 O)J]
(A,b,c)= 0
(1 3) 01]
(A, R,c'l ~~~'5 0 ) V5 05~
0 0, 0.25 0.25 ,[1 2
\0 2 o 0.5 0.5
(14)  :)1
(A, o. C)~[O 2 4 ~) C ) (I
3 4 0 2
0 0 1 '0 0' 2 2 2
5 9 6 1 0 From (3.59),
(3.62)
where
(h = [cT, AT cT, (AT)2CIT, , (AT)" J cTJ
()z = [ci, Ai ci, (Ai)2Ci, , (AirIci].
(3.62) gives
(3.63)
where
and (3.62) yields
P3.2 Find the transfer functions of the systems in Problem P3.I. P3.3 Obtain minimal realizations for the following transfer matrices.
(3.64)
(3.65)
(31) (2S+3
S2 + 3s + 2
H(s) = \ 3
s + 1
From the above equations, the following equation is derived.
uo
CANONICAL FORMS AND MINIMAL REALIZATIONS
111
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
Let T be defined as
(32)
( 5+2
52 + 2s + I H(5) =
5+1
52 + 25 + 1
(33) (25 + 3
52 + 35 + 2
H(5) =
1
52 + 35 + 2
1 )
52 +:5 + 2
52 + 35 + 2
5+2
1
52 + 55 + 6
(34) H(5) = (25)2 + 3s + 2 S + 3) r+25+15+1
G.
n, )
H2n+l
Hn+l ...
1 )
S+ I
2s+ 4 52 + 45+ 3
then show that there exists an n x nm matrix Q" such that T.:;fll = PQ#
and HI, H2, ... arc minimally realized by A = Q#QT (QQT)l
111_1 )
 0:,,1
B=Q (1) C'= (Jp 0 .. )P
P3.6 A system has
(A,B,C,D)~ [0 2 O,G)' (~ I  :),(D]
 1 0
0 P3.4 If the matrix A is in the companion form
Determine the inputoutput transfer function matrix. Is the system completely characterized by the transfer matrix? Confirm your answer by showing from the above matrices that the system is controllable and observable.
P3.7 A multivariable system has a transfer matrix
and 1/'(s) = 51i + 0'1115111 + ... + O'u, then prove the following relation.
,p(5)[SJ Ar I ==
+ ... + 0:2, ... , l](mod 1/'(s)) (3.66)
( (5 ~ 2) (s + 4~)~51 + 3»)
H(5) =
3 5
 
(s+3) (5+3)
where the equality == (mod 1/'(s)) means that the residues of both sides divided by 1/;(5) are equal.
P3.S For Markov parameters HI, H2 •... , if the Hankel matrix of (3.43) is assumed to satisfy
rank ._'Ifr = rank ._'Ifr+ j = ... = rank i_'lt'n = n
for a certain r, then .:/(/" can be expressed as the product of an np x n matrix P and an n x nm matrix as
where rank P = rank Q = n.
J{'I! = PQ
Find its minimal state space representation.
STATE FEEDBACK AND DECOUPLING
113
4
STATE FEEDBACK AND DECOUPLING
Theorem 4.1
The controllable subspace of (A, B, C) is the same as that of (A + BF, BG, C) with any F and nonsingular G.
Before the theorem is proved, the following example may be useful to illustrate this property.
Example 4.1 The controllable subspace of the SISO system
X= (~ =Dx+ G)u
is given by
4.1 STATE FEEDBACK
or: _ u (1 .J: c .'Ii' 1
4.1.1 State Feedback and the Controllable Subspace
When the control is given by
Consider the following ndimensional linear system with minputs and poutputs
u = (fl, h)x + gu(g "'" 0)
x = Ax + Bu
(4.1a) (4.1 b)
the system becomes
Y= ex
u = Fx + Gv
(4.2)
The controllable subspace
fc = ;Yl G', j: : j~ = D = [ G) }
which we see is not changed by the state feedback.
For this system the effect of implementing a control law consisting of state feedback Fx and feed forward Gv is considered, that is
We discuss how the structure of the system is changed by this control. Substituting (4.2) into (4.1) we have
x = (A + BF)x + BGv Y = ex.
( 4.3a) (4.3b)
Proof of Theorem 4.1 Let the controllability matrix of (A, B, C) be
'&1 = (B, AB, ... , AllIB)
and that of (A + BF, BG, C) be ~2. Then the controllable subspaces are given by M(reI) and M('t?2) respectively. The nonzero vector Xl which is orthogonal to §£('6?r) satisfies xT '(;iI = 0, which yields xT A! B = 0 for i= 0,1,2, ... , n  1. Now
Thus by the control of (4.2) (A, B, C) is changed to (A + BF, BG, C). The structure of the closed loop system is depicted in Figure 4.1.
x] BG = OT, so that xT(A + BF)BG = x] ABG = OT
and
xT(A + BFfBG = xT(A + BF)(A + BFr 1 BG
= xTA (A + BF)i 1 BG = ... = xTA i BG = OT
which yields
tigure 4. J State feedback control system
112
114
STATE VARIAI.ILl<: METHODS IN AUTOMATIC CONTROL
STATE FEEDBACK AND DECOlJPLlNG
lIS
The required fT can be determined as follows (Gopinath). The relationships
(sf A b). T (51  A b )
det fT I =del(slAbf)=det OT IfT(sfA)lb
and ;llC(,'2)_L ~ .11'«('J)_L is derived which is equivalent to ,O/Z(Wd ~ mC(2)
The converse statement is proved as follows. XI752 = 0 means xI(A + BFrEG = 0 for i = 0, 1,2, ... , n  1. Since G is nonsingular
OT = xIB, OT = xIAB, ... ,
OT = xI(A + BF)iBG = xi(A + BF)(A + BF)iIBG = xiA(A + BFr'BG = ... = xiAiBG
yield
so that
s" + )'11_,5,,1 + ... +)'0
= 5" + CI,,_IS" I + ... + ao  fT(fl1_ISn 1+ 1'112S" 2 + ... + lo)b (4.4)
Therefore
where
(51  A)  I = 1> ~ s} (111 I s" I + . _. + 10) Comparing coefficients of powers of s in (4.4) gives
and
The I", are given by Faddeev's algorithm, (1.26), that is
Theorem 4.1 shows the fact that the controllable subspace does not vary with state feedback, which indicates that the controllability of the system (A + BF, B, C) is the same as that of the system (A, B, C). However the poles, that is the mode characteristics of the state space, can be changed by state feedback. This is illustrated by the following example.
so that [I'IIIb, C,2b, ... , lob] can be written
1'111 = I, In2 = A + anIf, f,,J = A 2 + a,,IA + CY.n21, ...
4.1.2 Pole Assignment by State Feedback
(1 allI
° 1 [r".,b, """' r,bl ~ 'C 0 ;
Example 4.2 For a controllable single variable system x = Ax + bu
where
'(' = [b, Ab, ... , A 1I1b]
Since the system is controllable, '(' is nonsingular and we have the required result
where the characteristic equation of A is
1>(5) = det(ls A) = IT (5  Si)
(4.5)
We determine the control law
The algorithm (4.5) includes the parameters of the characteristic equation of A which therefore have to be evaluated. Ackermann proposed another algorithm of pole allocation for single input systems where fT is given by
u = fTx + u
so that the characteristic equation of the closed loop system on substituting the control law, that is
fT= [0,0, ... ,0, 1] ((,lcPJ(A).
(4.6)
The proof is as follows. We write the relationship between the system with state feedback and its controllable canonical form, that is
x = (A + bfT)X + bu
has a predetermined characteristic equation of the form <!>r(s) = det(sl  A  bfT)
= 5" + ),11 15" I + ... + )'0
I ) T1•
... /tI1
116
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE FEEDBACK AND DECOUPLlNG
117
( I~ )
_I I~A'I (' 1
T = .: with I" = [0, ... ,0, I] (
I),A" 1
the controllability indices of the system be ! ad, then one of the equivalent systems can be represented by the controllable canonical form
EI 0
where T1 is given by (3.5) as
On premultiplying both sides of the above relationship by (0, ... ,0,1) we obtain (4.6). Equations (4.5) and (4.6) indicate that for any given ri, the corresponding state feedback fT can be determined if and only if the system is controllable. This result can be extended to multivariable systems as originally shown by Wonham.
aT bT
E2 °
A= aI B= bI °
b~,
For a linear multivariable system (A, B, C) a state feedback Fcan be found such that the characteristic equation of the feedback system has arbitrary real coefficients if and only if (A, B) is controllable.
iI
~ aj + 1 ;=1
(Jill
(i=l, ... ,m)
Theorem 4.2
E, = [0, ... ,0,0, fa, 10, ... , Ollai  1 ~
aT = [tXiO, ca I •... , tXili!  d
bT = [0, ".,0, 1,i3il+l, ... ,();,1I1
Proof Since (A, B, C) has the same characteristic equation as its equivalent system (A, S, C)
det(sI  A) = det T1 det(sf  A )det T.
Also the_ feed~ack law F of the system is related to that of the equivalent system F by FT = F, and the following relationship exists
det(sf  A  SF) = det T1 det(sf  A  BF) det T
This equation shows that the pole assignability of (A, B, C) is the same as that of (A, S, C), and if (A, B) is not controllable, then from Theorem 2.6, it has an equivalent system of the form
A = [~c 1~:J S = r~cJ F= [Fe, F21
Let
and define
_ ' I ~
F= B,,, F
(4.8)
then
A+BF=
(4.7)
The characteristic determinant of this system is given by
det(sf  A  SF) = det (Sf  A~  SJc
where
= det(sf Ac  BcFc)det(sf An)
which shows that all the characteristic roots of A cannot be changed by state feedback. Controllability of (A, B) is thus a necessary condition for all the poles to be assigned arbitrarily. Sufficiency can be proved by determining the feedback law F for a controllable system (A, B) so that the resulting closed loop system has a preassigned characteristic equation. Let
(fT)
fI
;~,
If F is determined so that
BD) II 111+ +
det(sf  A  " = s + IIIIS ... ,0
Theorem 4.1 shows that a control law can be determined for a controllable system to provide it with any desirable chara2ieristic equation. Similar results exist for the observable system. If (A, C) is observable, it is known that (AT, CT) is controllable, therefore there exists a K so that the characteristic equation of A + KC
det(sl AT  CT KT) = det(sl A  KC) = 0 has any arbitrary symmetric poles.
lUI
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE fEEDBACK AND DECOUPLING
and (il = 3, (J2 = I, F is given from (4.8) by
p C 3rl ( 6 11 6 4 ~ 5)
 0 1 114 10 10
= (I; 41 36  ~)
10 10
therefore
i) G 1 0 D
( IS 41 36 0 0
F=
7 10 10 0 0
0 I then the f ' s are given for i = 1,2,3,4, ... , m  1 as follows: rT =  aT + [0, ... ,0, 1,0, ... ,0]
':v'
I
2:: (J) j=1
fJ,= aJI+ [YO,  yl, ... ,  YIJld
(4.9)
This F gives
o
_ (II
 4
4 I
36)
10
15 7
whose characteristic equation is specified a priori. This indicates that the feedback matrix
(4.9r
makes the characteristic equation of A + BF of the desirable form.
119
Corollary
If (A, C) is observable there exists a K for predetermined ex, satisfying det(Is  A  KC) = s" + (1,,IS" I + ... + (10
Example 4.3 Find the control law u = Fx for the system
( 0 0 0 ') C r}
. I 0 0 2 0
X= 22 II 4 o x + 0
 23 6 0 6 I
y = (g 0 0 6)X
0 I 4.1.3 Pole Assignment in the Controllable Subspace
so that poles of the closed loop system are  I,  I ± j,  2. From Example 3.1, the controllable canonical form of the system is given by
In the previous section it was shown that if a system is completely controllable a feedback matrix F can be determined so that the characteristic equation is of a desirable form. In this section we discuss pole assignment for a system which is not controllable.
By Theorem 4.1, it is shown that the controllable subspace of (A, B, C) represented by .cJi'('{'d is equal to that of the feedback system (A + BF, B, C) represented by ;Yi' ('('2), .Ji ('(' I) is A invariant as shown in Section 2.2.1. Similarly ;:11('('2) is (A + BF)invariant. Therefore .11('('1) is (A + BF)invariant and
( 0 I 0 0) C 0)
~ 0 0 1 o _ 0 0
X= _~~ 11 6 o x+ 1 3 u
0 0 4 0 1
where x is related to x by
,=0 1 0 ~)
2 0
0 0 I x
0 1 0 Since the desirable characteristic equation is
det(sl  A  SF) = (s + l)(s + I  j)(s + 1 t j)(s t 2) = (S2 + 3s + 2)(S2 + 2s + 2)
= S4 + 5s2 + 1052 + lOs + 4
Let the rank of ({c!1 be nc and let the basis of ;;Ii'('('I) (= d?((~2)) be VI, '.', VII,. Then from Theorem 2.6, there exists a controllable (A" Be) for A, B satisfying
(4.10)
(4.10) ,
120
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE FEEDBACK AND DECOUPLING
121
Fc = F[VI, V2, ... , VnJ
Since (Ae, Be) is controllable, Fe can be determined to satisfy det(Is  Ae  BeFe) = s": + 'YlleIS'" I + ... + 'Yo
for the gi ven 'Yi. Let
there exists a feedback matrix which makes the closed loop system stable. So if (4.14) is satisfied, the system is said to be 'stabilizable' or alternatively (A, B) is said to be 'stabilizable'. When (AT, CT) is stabilizable, (A, C) is said to be 'detectable'. Thus 'detectability' is the dual concept of 'stabilizability' .
where
Example 4.4 Check whether the following system is stabilizable or not
X= (~ ~ _Dx+ G)u
The controllable subspace of the system is
~G ~ D~m), n)~
then the CayleyHamilton theorem yields q\(Ac + BJc) = 0
(4.11 )
On the other hand, (4.10)' gives
(A + BF)i[VI, ... , v"J = [VI, ... , vIIJ(Ae + BeFe)'
(i=0,1,2,3, ... )
( 4.12)
and therefore (4.12) and (4.11) yield
</le(A + BF)[vJ, ... , vllJ = [VI, ... , v"J¢e(Ae + BJ~~) = 0 In section 2.2.3, it was shown that the general solution of
x = (A + BF)x
is given by (2.49) for an initial condition in a certain subspace. And for x(O) E ({/ satisfying </le(A + BF)(() = 0, xU) is given by a linear combination of (2.49) corresponding to the roots of </le(S) = O.
(4.13)
Since the characteristic roots of A arc  1, 1,2, '''·+(A)=.,I(l A)(2JA) =,;V(2J3A+A2)
~H(! : 10 ~{(D' G)}
C ;ir( 'f?)
So the system is found to be stabilizable.
4.2 THE DECOUPLING PROBLEM
Theorem 4.3
There exists a feedback matrix Fto realize the given characteristic equation </le(s) corresponding to the controllable subspace pre of (A, B) satisfying </le(A + BF)f!Ye = O.
When some characteristic roots of A have positive real parts, </l + (s)
denotes the polynomial which has these characteristic roots. Then for any initial condition
4.2.1 Decoupling by State Feedback
A system with m inputs and m outputs is said to be decoupled if and only if its transfer function is given by
where
x(O) E !!r+ (A)
a: (A) = ,;1[</l + (A)],
••
H(s) =
o
h22 (s)
o ) = diag(hll(s), h22(S), ... , hmm(s» hmm(s)
(4.15)
X= Ax
where hi;(s) is not zero. For a decoupled system the effect of the ith input appears only in the ith output. In this section we consider decoupling of the system
then the solution of
is known to diverge as we have seen in Chapter 2. Therefore if
x = Ax + Bu
x(O)=Xo
(4.16a) (4.16b)
(4.14)
y= ex
122
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
u== Fx+ Gv.
where u, Y E R"\ x E RiI, A E R"XI!, BE R"XIIJ, CE RII/xn by the control law
(4.17)
This problem is called decoupling by state feedback.
When the control law (4.17) is employed, the resultant system becomes
x = (A + BF)x + BGv y= Cx
and the transfer function matrix is given by
(4.18a) (4.18b)
(4.18c)
Therefore decoupling by state feedback requires one to find the control matrices F and G which make HFG (s) diagonal and nonsingular.
Before treating the decoupling problem we first consider the relation between the transfer function HF(j(S) and that of (4.16). The transfer
function matrix of (4.16) is given by
H(s) = C(s!  A)IB
(4.16c)
Proposition 4.1
The transfer function matrix HFds) of (4.18c) is related to H(s) of (4.16c) by
HFc(S) = H(s)[! + F(s1 A  BF)I B] G = H(s)[1 F(s1 Af I B]I G
Proof
H}c(s) = C(s1 A  BF)I BG
= C(s1 A)I[(s1 A  BF) + BF](s1 A  BF)I BG
= H(s)B1[l + BF(s!  A  BF)I]BG
= H(s)[! + F(s1 A  BF)I B] G
Now consider
( 4.19)
[1 + F(s! A BF)IB][1 F(s1 A)IB]
= ! + F(s!  A  BF)  1 (s!  A  BF + BF)(s1 A) I B _ F(s!  A)  1 B _ F(s1  A  BF)  1 BF(s!  A)  I B
=1
Therefore
[1 + F(s1 A  BF)l Bl = [!  F(s! A) IBjl and (4.19) is proved.
(4.20)
STATE FEEDBACK AND DECOlJPUNG
123
Observer
System
Figure 4.2 Series compensator
Proposition 4.1 indicates that controlling the system (4.16) with the cO~ltrol law (4. 17) is equivalent to compensating the system (4.16) serially using the compensator
HcCs) = [J + F(s!  A  BF)I B] G
This compensator can be represented by the state space equations Xc = (A + BF)xc + BGv
(4.21)
(4.22a) (4.22b)
)'c = Fx; + Gv
,~here v is the input to t~e compensator and Yc is its output. The original fee.dback_ control s~stem IS shown in Figure 4.1 and its equivalent representation ~v.lth the series precompensator is shown in Figure 4.2. Using this proposinon the necessary and sufficient condition for the system to be decoupled by state feedback control is given by the following theorem.
Theorem 4.4
There exis.ts a control law of the form (4.17) to decouple the system (4.16) if and only If the matrix
(4.23)
is nonsingular, where
CT = [CI' C2, ... , eml and a, (i = 1, 2, ... , m) is an integer given by
o, = [tnin(j I cT AJI B :3;: OT) n  I; cT Af B = OT, v}
(4.24)
124
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE FEEDBACK AND DECOUPLING
125
Proof Necessity is proved first. The ith row of the transfer function H(s) of (4.16) can be expanded in polynomials of s:' as
h(s)J = c;(sl A)I B = ci BsI + e! ABs2 + ...
= sOi(eTAO,1 B + cT AOiBsI + e! A,,;+I Bs2 + ... )
= sa'[c;Ao,IB+ c;AO'(sl A)IBl
Substituting (4.29) into (4.30) gives
Hn;(s) = diag«(0,,~"2, ... , sU''')[B* + C*(sl A)IB] X [B" + c'tst : A)IBrl
(4.25)
(4.31)
Using B* of (4.23) H(s) can be written as
and the system is decoupled.
This. form of decoupled system having SUi in the diagonal element as (4.31) IS called an integrator decoupled system.
( 0,
H(s) = s
o ) [B"'+C':(slA)IB] (4.26)
SOill
Example 4.5 The system
X= ( ~ 0 ~) x l (~ !)"
0
1 3
Y = (b 1 ~)x
0 is required to be integrator decoupled by the control law (4,17), Solution The transfer function matrix of the system is calculated as
H(s)= (b b ~)G ~ s~IJ1G D
= (,(:'::i:t+12) (0+ ~(n 2))
(1'+ 1)(1'+ 2) (s+ 1)(s+ 2)
and its internal structure is depicted in Figure 4.3,
o
where C* is
(eTAO')
C*= d~a,
cJ1Aom
(4.27)
Thus from proposition 4.1 the transfer function matrix of the feedback system HFG(S) is given by
HFG(S) = H(s)[1 + F(sl A  BF)I B] G
= diag(sU ',so', ... , sa m)[B* + C*(sl  A) I B] X [1+ F(slA BF)IB]G
(4.28)
If H FG (s) is to be nonsingular and diagonal then [B* + C * (sl  A)  I BJ [1 + F(sl  A  BF) 1 BJ G should be nonsingular and diagonal. Thus G should be nonsingular and the coefficient matrix for SO of the polynomial matrix B*G should be diagonal. Since G is nonsingular and all row vectors of B* are nonzero, B* G is nonsingular. Thus the nonsingularity of B* is
a necessary condition for decoupling.
The sufficiency is proved by constructing the control law to decouple the
system as follows. If B* is nonsingular, let F and G be chosen as
G = B*I
F=  B*IC*
(4.29a) (4.29b)
Now from Proposition 4.1,
HFG (s) = diag(sO" so', . ." sO"')[B* + C*(sl  A )1 B]
X [GI GI F(sl A)IB]I.
(4.30)
Figure 4,3
+
s
s
Structure due to C
System of Example 4,)
126
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE FEEDBACK AND DECOUPUN(;
127
which has the transfer function
Now
cTs= (l,0) which yields 01 = 1 and cTA = (0,0, 1)
therefore S* of (4.23) and C* of (4.27) are
B* = (~ ~), C':, = (. ~
o 2
HF<i(S) = (~ ~) G ° ]) I C ~)
1  1 0
s
° ° s °
{ ~)
° '
s and
cis = (0,1) which yields 02 = 1 and ciA = (1, 2, 3),
., 1 F B*IC*~ (°1
C = B"' = I, and =  
o 2
The system is therefore integrator dceoupled and its structure is depicted in Figure 4.4. As can be seen from (4.18) the control law does not change the output matrix C. The measurement structure is therefore unchanged, and deeoupling is achieved by cancelling the effect of path (1) by path CD.
Since S* is nonsingular, the system can be decouplcd. From (4.29) the control law has
Thus the system becomes
X= G }= c
o 1) (1
o 1 x + 0
o ° 0
4.2.2 Pole Assignment and Zeros of Decoupled Systems
I °
In this section, the control law matrices F and G are determined so that the decoupled system has preassigned poles. This is given by the following theorem.
Theorem 4.5
When the system (4.16) can be decoupled by state feedback and F and G are determined from
G = B*I
( G I F)i = clAoi + O'ile! Ao,l + O'i2CIAo,2 + ... + O'io,cl
(4.32)
Structure due to C
where ( GI F)i denotes the /th row vector of  G1 F, then the resultant feedback system has the transfer function given by
'.
(4.33)
Figure 4.4
128
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE t'EEDBACK AND DECOUPLING
129
Proof Let the ith row vector of the transfer function matrix of (4.16) be denoted by h(s); and multiply by (SO, + ... + 0';0,)' then from (4.25)
(SO, + O'ilS" i I + ... + O';a,}h (s);
=C;A",IB+(c;Aa'+O'lic;A<Tj 1+"'+O'ioiC;)Bs I
T 0 TAo I T)Aj 'Bsj
+ ... + (c, A '+ O'ilCi ' + ... + O'IO"iC/
+ ...
= c; Ao,IB + (e; AO, + O'ile! A"iI + ... + 0';oic!)(s1  A)IB = e; A" iI B + e/ *T (s1  A)  I B
A + BF= ( ~ 0 i) + (A ~) (: 1 D
0 2
1 2 3 0
CI 1 1)
= 0 0 1 .
0 0 2
This yields HFds) = diag[(s + I)  1, (s + 2) I]. (4.34)
In the above example, a 3rd order system has been deeoupled to give a 2nd order system without finite zeros. Thus a polezero cancellation has taken place. In the next theorem the zero positions are considered in the decoupling.
where
**T (TAO + ,TA",I + .. , + "cT)
Cj = Ci I aile; exiGi I
(4.35)
Dividing both sides of (4.34) by (sa, + O'il SO . : 1 + ... + O'io,), H(s) is given by
Theorem 4.6
The linear system (4.1) can be decoupled by the feedback control law (4.17) with the ith diagonal element of the transfer function of the decoupled system having a numerator niCs) if and only if the ith row of H(s), denoted by hies) is represented by
• 0  I ) I ( <T, U ,  I + + )  I
H(s) = diag l t s" 1 + 0'11.1' 1 + ... + 0'101 ,5  + 0'215  ... 0'202 ,
(Som+n' 1.1'0",1+"'+0'11/ )IJ[B*+C**(s1A)IB] (4.36)
•.• ) IJ../H am
where
(et*T)
**T C2
c**= :
)~*T em
(i=J, ... ,m) (4.38)
and
Then from (4.19) and (4.36)
) di [(0 011 + )1 (SO,'' + 50",1+
HFG(S = Jag s 1 + 0'115 +,.. 0'101 , ... , 0'1111 ...
+ 0'IIIo,J1] [B* + C**(s1  A )1 B][ C I  CI F(s1  A )1 B] 1 (4.37)
Thus by choosing C and F as (4.32), the transfer function matrix of the closed loop system is given by (4.33).
(CTA~'IB)
jj'~ <lAo' 'n
cJAam' B
(4.23) I
is nonsingular, where o, is
(j. = [min(J I c; AiIS:l;: OT) In_I: c;AJ1B=OT, V}
Proof Sufficiency is proved first. Let
Example 4.6 In Example 4.5, the integrator decoupled system is obtained. In this example, the same system is required to be decoupled to give
HfG(s)=diag[(s+ 1)',(s+2)']
From Example 4.5, B" = I and therefore G = I. Since 0'" ~ 1,0'21 = 2, (4.32) gives
= (. i
o 2
D + (b
1 o
~) = (:
1 2
D
then from (4.38), the transfer function matrix H(s) is
H(s) = diagj», (.1'), nz(s), ... , n.; (s)]C(s1  A )' B (4.39)
From Theorem 4.5 and (4.23)', (A, B, C) can be decoupled to give HFG(S) = diag] », (s), n2(s), ... , 11111(s)]diag[di1 (5), ... , d;;;1 (5)]
l31l
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
STATE FEEDBACK AND DECOUPLINC
131
hii(S) = nJs)!di(s)
i=I,2, ... ,111
(4.40)
(1
~ 0 Bill = :
o ...
Therefore the ith component of the decoupled transfer function hii(S) is represented by
where dieS) is determined not to have common factors with niCs). Thus sufficiency is proved.
Necessity is proved next. When the diagonal element of the deeoup1cd system is given by (4.40), the ith row vector of the decoupled transfer function hFc;(s)i is
hFc(s)i = ci(sl  A  BF) tBG = ni(5)!diCs)e;
From (3.23) and (4.41), there exists a c; satisfying hFc(s); = l1i(s)cT(sl  A  BF)IBG
(4.41)
and a; and b., are found from
(4.41)'
(~'~:
Ac= .
AmI
AI"')
A2",. ,f
A:1l11i
On the other hand from (4.19), (4.41) and (4.41r it is easily shown that c;(sl  A)IB[I  F(::;I  A)IB]IG
= ni(s)c;(sl  A )1 B[l F(s!  A)IE]  IG
(4.39) is then derived by dividing both sides of the above by [!  F(s!  A) I E] I G from the right side.
From the above theorem, it is found that the numerator terms in the decoupled system are given by the properties of the original system and cannot be designed arbitrarily. In the next section an algorithm to determine the numerator terms using Wolovich and Falb's structure theorem is presented.
( :?
o :: I 0
'I I 0;1, ... ,
I I
[Ail, ... , Aii, ... , AIIII] = : 0 :
\      ~i               
(3.23)
Bc= (r), B, =(f!)
~III ~~ ~~~i~I~~II
The 2nd step: The c; satisfying
Cc5 (S)oo1 (s)B/1/ = diag [n I (s), ... , n.; (s)] Cc5(s)0,: I (.nBIII (4.42)
is determined.
The 3rd step: The control law F; and G; to decouple (Ae, Be, Cc) is determined, and if necessary F; and Go are transformed to F and G for (A, B, C).
The Algorithm to Obtain the Numerator Terms of Deco up led Systems The 1st step: Luenberger 's canonical form (Ae, Be, Cc) is calculated for the given system (A, B, C). Then from (3.23) the transfer function is given by
where
o
Using the previous example, the given algorithm is illustrated. Since the system is already in the controllable canonical form, the first step is from
(323), H(,) ~€~ ~ nO D}~~,o,) + (~ ~ ~) G Dr
 (~ ~) G 52 + ~s + 2f I
s
5(s) =
o
o
132
STA TE FEEDBACK AND DECOUPUNG
133
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
o
The 2nd step:
yields
 (1
C=
o
(1 3)
1
Find feedback fT to assign poles  1 ± j for the systems
P4.2 (21)
(A,b)= (l~ ~J, [~J) (A, b) = ([~ _~], [~])
~)
(22)
so that nl(s)= 1, n2(s)=s.
The 3rd step: cT B = [1 0], cI B = [0 0], cI AB = [0 G =! and from (4.32) F is given by
F= (~
o 2
I] yields B*=l. So
P4.3
Check whether the systems given in P2.l are stabilizable or not.
 0'11
P4.4 Check whether the following systems can be decoupled or not, and if the system can be decoupled fldd F and G to yield lntegrator decoupled systems.
o 0)
 0'22 0
By choosing 0']1 = 1, 0'21 = 3, 0'22 = 2, F is determined as
o
(1
F=
1
The resultant transfer function is
(1 1 0) (S + 1
HFC(s) = 0
o 0 1 0
 1 o
(41) ([0
(A,B,C)= ~
(42) (f'
(A,B,C)= l~
IJ. [~ j], [~
I] 1.1 0] 1
~ , l~ ~' [0
o
~l) ~l )
S ~ 1 ) 1 (~ ~)
2 s+3 0 1
o o
~ )
S2 + 3s + 2
P4.S Show that for the ndimensional system with m inputs and p outputs the output feedback control
and in this case all the poles are found to be assignable. This, however, is not generally the case for decoupled systems.
u = kf\' can assign p poles by choosing f T as
fT = [¢()\]), ¢()\Z), ... , ¢(Ap)][ C adj(l\]!  A )Bk, .«, C adj(Apl A )BkJ1 (4.43)
PROBLEMS
for the given k , where ¢(s) = det(s!  A) and A], .. " Ap are the poles to be assigned.
P4.1 Find feedback fT to assign poles  1,  1 ± j for the following systems.
(11)
(A, h) ~ ([! 1
3
5
(A, b) ~ ([~ 2
0
3 (12)
P4.6 Show that the pair (A, b) is controllable if
1 o 1
Show that the A matrix has two unstable eigenvalues and determine a state feedback control law to move these eigenvalues to  3 and  2 whilst leaving the third eigenvalue unchanged.
134 STATE VAlUABLE METHODS IN AUTOMATIC CONTROl.
P4.7 Determine a state feedback control law for the system with
(A,h)~ [(J ~ D ,0)]
to place its closed loop poles at  2,  3 and  4.
5
OPTIMAL CONTROL AND OBSERVERS
5.1 OPTIMAL CONTROL
S.Ll Quadratic Criterion Function
Control can be considered to be a manipulation to achieve or to fulfil a given objective, such as to transfer the state to a desirable one and/or to exclude the effect of a disturbance. When more than a single unique control can fulfil the given objective, the most desirable control in the sense of minimizing a given criterion function can be used. Such a control is said to be an optimal control. If the criterion function is the time required to attain the objective state, the minimum time control is optimal, and if the criterion function is the energy required, then the minimum energy control becomes optimal.
Many kinds of functionals can be considered as criterion functions although in this book, only the quadratic criterion function is discussed since it is mathematically tractable and thus commonly used for the design of controls for linear multivariable systems.
For the linear controllable multivariable system
x = Ax + Bu, x(O) = xo
(5.1)
with controllable pair (A, B), we consider the following quadratic criterion function
(5.2);
where R is a symmetric positive definite matrix, and Q is a symmetric positive semidefinite matrix written as Q = HT H with observable pair CA, H). The optimal control problem for a linear multivariablc system with the quadratic criterion function is one of the most common problems in linear system theory. The optimal control for the quadratic function is given by the following theorem.
X !!i, denotes the quadratic form "Q'; i.e., Ii:\ iii!= :\TQ:\.I\ III!y, = 11' RII.
135
136
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
137
Theorem 5.!
Since P<r) is positive definite from (5.6) (see Appendix) when (A, H) is observable, per) is the constant, symmetric, positive definite matrix solution of the algebraic Riccati equation
The optimal control for the controllable.system (5.1) which minimizes the criterion function
(5.3)
(5.9)
is given by
(5.4)
Corollary 5.1
If the linear system (5.1) is controllable and (A, H) is observable, the optimal control minimizing the criterion function (5.2) is given by
where P is positive definite, Q is positive semidefinite written as Q = HT H with observable pair (A, H), R is a positive definite symmetric matrix, and P(t; Pj, tj) is a solution of the Riccati differential equation
p= AT P+ PA + Q PBRIBT P (5.5a)
(5.4),
where P is the symmetric, positive definite solution of (5.9).
with the terminal condition
(5.5b)
Example 5.1
Find the optimal control with the criterion function
The minimum value of the criterion function is given by
0) x + r 1111 112] d t
(j2
(5.10)
min J = i II Xo II ],(0; r; I,)
(5.6)
for the system
The proof is given in the appendix at the end of the chapter.
In particular when tr'> 00 and Pr'> 0, let the limit of the solution of (5.1), if it exists, be P(t), that is
. (0
x
 0'0
~Jx + (~) u , x(O) = Xo
(5.11 )
Let the solution of the Riccati equation be denoted by
lim P(t; 0, tf) = P(t).
~r 00
(5.7)
p=(Pll P12)
P12 pzz
It can be shown that if the system (5.1) is controllable the limit exists. This can be proved as follows. When the system is controllable, there exists a control to make the state zero in a finite time ti ( < tf), so there exists a (3 such that
then from (5.9)
e = :~) (~:~ ~~~) + (~:~ ~~:) (_°0'0 _10'1) + (61 gz)
:( i [ (II x(OII ~ + 11 nU) II~) dt :s (3 II Xo 112
_rI(Pl! P!z)(O)(O l)(PI! PI2)=O (5.12)
P!2 P22 1 \PIZ PZ2
For the (1.1), (1.2) and (2.2) elements, respectively, we obtain 20'OPI2 + q,  p~2r 1=0
PI!  0'!P!2  O'OP22  P!2P22r! = °
2PI2  20!}P22 + q:  p~2r! = °
min J = i II Xo II ],(0; Pr, r,)
(5.8)
which yield the solutions
p!Z =  rO'o ± rJ(0'5 + (j!/r)
P22= raj ± rJ(O'T+Q2/r+2pll/r)
P!! = CX!P!2 + CXojJn ]: jJ!zpnr ! = (O:!i" + P2Z)(O'Or + jJ!2)r 1  O'IO'nr
Since P is positive definite we require PII > 0, jJ22 > 0, jJllPn  ph > 0. Thus, the elements of Pare
jJl! = r!O'T + qL/r + 2[  0:0 +, (0'6 + L]!lr)ll !!\ (O'~ i Qdr) O'w!r (5.13a)
for finite matrices Q and R. Equation (5.8) shows that the limit of the solution per) exists, since P(o; PI, tf) is bounded and nondecreasing with respect to fl. For constant matrices A, B, Q, R, the limit of the solution does not depend on a shift of time and satisfies
P(t)= lim P(fr+h,O,tl+h)=P(t+h),vh
It • 00
138
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL A"li) OBSERVERS
139
(5.13b)
Proof Let the symmetric positive definite solution of (5.9) be P, and defme a functional
(S.13c)
Vex, l) = 111 x II?'
(5.20)
and tile optimal control is given by 11= 1"1(0 l)Px
which gives a positive value for any x except x = O. Let x be the solution of (5.17), then the derivative of Vex) is derived from (5.18) as
V (x, t) = H (:t x T) Px + X T P :r x J
=  [  ao + , (a6 + ql/ r),  a I + \ (cd + q2/ I" l 2(  ao + , (O'~ + qs] r)) 1i21x (5.14) Characteristic properties of systems with optimal control and the numerical computation of the optimal control are discussed later.

5.1.2 The Stability of the Optimal Control System
(5.21)
The optimal control for the system (5.1) with the quadratic criterion function (5.2) has been proved to be given by
u = Fx
(5.15)
Assume [hal Vex, t) = 0 for any x :I;: 0, then BT Px = 0 and Hx = 0 should be simultaneously satisfied. Therefore F = 0 and Hx = He (A + BF)!XO = HeA1xo = 0 which contradicts (A, H) is observable. Therefore
where
V(x,t)<O
(5.16)
and Vex, t) is a Lyapunov function satisfying (5.17) and (5.17) is asymptotically stable.
The poles of the closed loop system (5.17) are the roots of the characteristic equation
Substituting (5.15) into (5.1), the closed loop system is given by
x = (A + BF)x, x(O) = Xo
(5.17)
The stability of this closed loop system is discussed in this section. Using (5.16), (5.9) can be rewritten as
del(s!  A  BF) = del(s! _. A + BR  I B T P) = 0
(5.22)
Q = IF JI
(5.19)
Example 5.2 Find the poles for the optimal closed loop system of example 5.1. Since F is 1 x 2 matrix, it can be written as fT = (/II, fl) and is given by
fT = lh, fd = lao  \ (0'3 + a.lr). al  [l~T + q2/r + 2(  ao + \ (a6 + ql/r»] 1i21
(5.23) B is a 2 x 1 matrix, so if it is denoted by b the characteristic equation of the closed loop system is
det(sl A  bf")
(A + BF)T P+ peA + BF) =  Q+ FTRF
(5.18)
If Q and P are positive definite then from the Lyapunov equation (2.52) (A + BF) is stable. Even if Q is symmetric positive semidefmite and expessed as
then the closed loop is still stable as shown by the following theorem.
= det [ S
ao  fo
+1 •• =s2+IO'T+C;2/r+2[C'Lo+,(!Yi)+C}I/r)111!2s S al  1
+\(a6+ql/r) (5.24)
Theorem 5.2
and the poles are given by
If the linear system (A, B, H) is controllable and observable, then the closed loop system using the optimal control (5.15) which minimizes the quadratic criterion function (5.2) is asymptotically stable.
I ( [2 . I ,) I If?
2  a 1 + q : r  2ao + 2~(aii + ql r)] 
2 I .) I I '2
± [a 1+ q2 r  2ao  2\(0:6 + ql r)] , I
(5.25)
140
ST A TE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
141
5.1.3 Frequency Domain Characteristics of a System with Optimal Control
Example 5.3 For the linear system
(5.26)
(5.27)
In the previous sections we have shown that the optimal control for a quadratic criterion function is given as a function of time from the solution of a Riccati equation. In this section we discuss the frequency domain properties of the single input system with optimal control.
The system considered is a controllable single input system represented by
find how the poles of the closed loop system using the optimal control minimizing
change according to the value of r.
Su bstituting ao =  1, a l = 0, q 1 = 9 and q: = 1 into (5.14) gives the optimal control
U =  it +, (1 + 9/1"), [2 + l/r + 2, (l + 9/r)] lnlx
and the poles of the closed loop system are given from (5.25) as
i ( [1/ r + 2 + 2,' (I + 9/ r)]1 12 :+: [1/ r + 2 2,;' 1 + 9/ n /2
x = Ax + bu, x(O) = Xo
(5.1) ,
(5.28)
with the criterion function
(5.2) f
(5.29)
From Corollary 5.1, the optimal control
The poles of the open loop system (5.26) are  1 and + 1. However, as shown by Theorem 5.2 the poles of the closed loop system for any r (> 0) are located in the left half of the complex plane. The location of the poles as r varies is shown in Figure 5.1.
r =0.1
r =0.05
r =0.03
r =0.03 r =0
5
3
2
r =0.1
Figure 5.1 Pole locations with variation of r
(5.15)'
is characterized by the following equations
1m
fT = _ r1b T P
AT P + PA + HT H  frfT = 0
(5.16)' (5.18)'
This control law may be characterized in the frequency domain without using the solution of the Riccati equation by the Kalman equation.
Re
Theorem 5.3 If (5.1)' is controllable, the necessary and sufficient condition that the control law fT given by (5.15)' is the optimal control minimizing (5.2) 1 is that the closed loop system with feedback f is stable and the following Kalman equation exists for almost all 0.1.
o
(lfT(jlc,I/l)lh)(lrT(jwIA) Ib)=I+~IIH(ju;lA) lblll (5.30)
r
1
Proof Necessity. Since (5.18)' exists for the optimal control law fT, adding sP to and subtracting sP from (5.18)' gives
( r sl  A) T P + P(sl  A) + f rf T = Q
Premultiplying by (51 AT)l and postmultiplying by (sf  A)1 yields P(sl  A)1 + ( 51  AT)1 P+ r(  51  AT)lffT(sl  A)1
= (51  AT)IQ(sl  A)1
142
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
143
Again prernultiplying by b T, and postmultiplying by b and substituting for P from (5.16)' the equation can be rewritten as
 rf T (sf  A )  I b  rb T (  51  AT)  If + rb T (  51 __ AT)  Iff T (51 _ A)  I b =bT(sIAT) IQ(s1A)lb
Adding unity to each side and substituting Q = HTH yields
(1  b T (  sf  AT)  If) (1  fT (sf  A)  I b)
1
= 1 +;bT(sfAT)IQ(SfA)lb
exists, then
This means that if the decomposition of (5.30) is unique, (5.30) characterizes the optimal control law f. The uniqueness of the decomposition of (5.30) is proved as follows: Since the numerator of the right side of (5.30) is a function of v}, (5.30) can be rewritten as
(5.31 )
¢(jw)q)(jw)
Since fI(w2) is positive definite, it can be decomposed into terms of the form (w2+at),(w+f:hi)2+od;J(J+f:b)2+(xi;l which' may be further decomposed into terms (jw + ali), ( ji» + ali), (jw + a2i + j(32i), ( jw + (Xli + j{3ld, (jw + ali  j(32i), ( jw + a2i  j(321), where ali and ali are positive. As the control law f makes the closed loop asymptotically stable the characteristic equation
det(jwI  A  bf") = det(jwl A)(1  rT(ju_,f A )Ib)
indicates that 1  f T (sf  A)  I b = 0 does not have any roots in t he complex right plane. From the above facts, 8 (w2) can be uniquely decomposed as
8(w2) = p(  jw)p(jw) = I p(jw)12
which on letting s = jw yields (5.30).
Sufficiency. Let the control law satisfying (5.16)' and (5.18)! be denoted by J», then from the necessary condition the control law f of (5.30) satisfies the equality
where
<I>(s)=(sIA)1
If (A, b) is controllable, the controllable canonical form can be considered for A and b as
A = ( r I" I ), b = (n
 Go,  G,, I I /
and the characteristic equation of A is
d
¢(s) = det(sf  A)
where pes) = 0 has roots in the complex left plane and p(jw) may be written p (jw) = II (jw + a Ii) II (jw + a2i + j{32i) (jw + ali  j(32i)
The Kalman equation (5.30) of Theorem 5.3 shows that when the control law stabilizing the closed loop is given, the criterion function Q for a given r can be obtained. This problem is said to be the inverse problem of optimal control.
Let
fT = (f(l, fl, ... , j;, I)
Example 5.4 Find what criterion function is minimized by the control law
then
u = r./iJ, Itlx
(5.32)
for the system of (S.11), when the control law stabilizes the closed loop system.
The characteristic equation of the closed loop system is given from (5.24) by
h(s) = 52 + (0:1  fl)s + (0:0  /0) ~ 0
where 0:1  fl > 0,0'0  /0 > O.
Denoting the characteristic equation of the open loop system by
<p(s) =,\'2 + 0:15 + 0'0
So if the equality
144
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
145
the left side of (5.31) can bc written as
1 (  fo + flS) ( j{,  fls) +  fo  fls +  j{, + fls
+ ¢(s) <p(S) ¢(s) ¢(s)
= 1 + (f~  20'.0fo)  (fI ~ 2fo  ?Cl'I[1 )S2
<p(. S)q:J (s)
The right side of (S.31) with r = 1 is given by
[1,  S]QG)
1+ = 1 +
1.>(s)<I>(s)
where p = 1/,. and
(Ms) = det(sI  A  bfT) Now, since II H(sI  A)  h 112 can be expressed as
. I 112_111(s)m(s)
II H(sI  A) b I  ¢( _ s)¢(s)
(5.35)
(5.36)
qll + qus  q2ls  Q22s2 ¢( s)¢(s)
su bstituting (5.36) into (5.34) yields
(M S)q)f(S) = ¢(  s)<;1>(s) + pm(  s)m(5)
(5.34)'
where
Since A, b, H is controllable and observable then from Theorem 5.2 all the roots of <;1>/(s) = 0 have negative real parts, thus all the roots of the righthand side of (5.34)' with negative real parts are those of <;1>/(s) = O. The roots of <;1>I(  s ) <;1>r (s ) = 0 as varies constitute the square root locus.
O=(qll q,2)
 q21 q22
From the equality of the above expressions, q i: and q21 which are equal, may be chosen arbitrarily and
Letting
II 1
<;1>(s) = II (SPi), m(s)=cx II (Sqi)
(5.37)
q,l = f~  2 O'.{) j{,
= (jll  CYO)2 a6,
q i: = fT + 2f{J  20'.Ifi
= (f,  O'.d2  O:T + 2(0
_
(5.33)
/=1
i= I
5.1.4 Square Root Locus
(5.34)' can be rewritten as
For Example 5.3 the poles of the closed loop system with optimal control are depicted in Figure 5.1 as r varies. These poles are roots of the Kalman equation , which is a function of the square of s as shown in (5.31), so that it has roots!  Ad if ! Ad are roots, and the locus of these roots as a function of r is called the square root locus. Since the locus is symmetrical with respect to the imaginary axis only the left half of the figure, as shown in Figure 5.1, is usually drawn.
In this section the characteristics of the locus will be discussed using the Kalman equation.
The optimal control of (5.1) 1 minimizing the criterion function (5.2) 1 has been given by (5.15)' and (5.16)'. Since there exist the relationships
det(sI  A  bfT) = detlSJ;r A ~]
Jl 2 Ii/
II (SPi)(S+Pi)+Pa. (1)
I
II (Sqi)(S+qi)=O.
(5.38)
i=1
i=1
From (5.38) when P = 0 the roots of 4)r(s) = 0 are those of <;1>(  s)<;1>(s) = 0 with negative real part, and when P > 00, / roots of <;1>r(s) = 0 are those of
m(  s)m(s) = 0 with negative real part. . .
From (5.38) the rest of the roots are infinite zeros satisfying
S211+pa.2(I)" IS21"",0 (s>oo)
Letting p > 00, (n  i) roots of lh(s) = 0 are given by
s= [(_pa.2)1/2(1I/): :': even (pa.2)1I2(1I1): n i IS odd
(5.39)
whose real parts are negative. This we can also write as s = (pa.2) 1/2 (111) eJ8
(5.40)
d [SJ A 0 ]
 et
 fT lfT(sIA)lb
=det(sIA)(lf\sIA) Ib)
where
and
fJ= k x [k= ±I, ±3, ... , for nieven
2(n/) k=0,±2, ... , forniodd.
In the case of Example 5.3,
<;1>(  s)q)(s) = (S2  1)2, m(  s)m(s) = 9  52
so that m (s) = s + 3, n = 2 and / = 1, and the left half of the square root locus is as given in Figure 5.1.
<;1>(  s)<;1>(s) = det(  sI  A )det(sI  A) multiplying both sides of (5.31) by <;1>(  s)<;1>(s) we obtain
¢r(s)¢r(s) = <;1>(s)¢(s) +p¢(s)11 JI(sJ A) IbI12¢(s) (5.34)
146
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
5.1.5 Computational Methods of Optimal Control
To compute the optimal control for a given quadratic criterion function, the positive definite solution P of the algebraic Riccati equation (5.9) must be calculated. In the case of a single input system, however, the optimal control can be directly calculated from the Kalman equation (5.31) without the need to first obtain P. In this section computational procedures for obtaining the optimal control solution for a single input system and for the positive definite solution of the algebraic Riccati equation are described.
Computation of the optima! control of a single input system
For a single input system, A, b, Q, r arc assumed to be given and the optimal control fT may be calculated as follows:
1st step: Multiply (5.31) by q~(s)q)(  s) to give
det(  s!  A  bfT)det(s! A  bfT)
= ¢(  s)q~(s) + l bT adj(  s!  AT)Q adj(s!  A)b (5.41) r
where
(s!  A) I = 1 adj(s!  A)
det(s!  A)
The roots of the right side of (5.41) which are of the form
(5.42)
are calculated.
2nd step: Find the n roots with negative real parts from the above roots of (5.41). Let them be denoted by po.;), and calculate
/I
¢j{s)~ II (s",)=sit+CYit_ISI,I+···+cyo, Re ,,;<O(i= 1, ... ,n)
i= I
3rd step: Find the control law fT satisfying
det(s!  A  bfT) = sit + CYn_ISit1 + ... + CYo This can be done using the Ackermann algorithm
fT = [0, ... ,0 IJ[b,Ab, ... ,AitIbJI¢I(A)
(5.43)
(5.44)
In the case of a multiinput system where a control to stabilize the closed loop system is to be determined one approach is to choose the first input u, as the optimal control of (A, b I) such that
UI = fIx
(5.45)
OPTIMAL CONTROL AND OBSERVERS
147
and then u: is calculated for (A + blfT, b2) and so on where U; is determined for (A + LJ~II bjfJ, b.).
Positive definite solution of the algebraic Riccati equation
The computation of the matrix solution P of the algebraic Riccati equation is quite complicated using any method. Kalman proposed the calculation of Pas P(  co ] of the Riccati differential equation calculated backward from P(tI) = O. Kleinman suggested calculation of P from the limit of the iteration
(A  BRI BT Pi)T Pi+ 1+ Pi+ I (A  BRI BT Pi) = Q + P,BRI BT Pi
Both these methods sometimes require long computation times if the initial value is not appropriately chosen. ,Jhis section describesa more straightforward computation method due to Potter,
The method proceeds as follows: 1st step: The 2n x 2n matrix
.<1 = ( A Q
(5.46)
is calculated for (A, B, Q, R), and all its eigenvalues "I,  "I, "2,  "2, ... , "n,  "II obtained. [,,;} and [  ,,;I are the eigenvalues since
det[s!  .o/l
d (sf  A
= et
Q
BR  I BT) s! + AT
( s!A+BRIBTp BRIBT)
= det Q + (s! + AT)P _ pes! _ A + BR  I B T P) sf + AT  PBR  I B T
= det(s!  A + BRIBT P)det(s! + AT  PBR IBT)
where the (2.1) block is seen from the Riccati equation to be a small block . 2nd step:
Let the eigenvector or generalized eigenvector corresponding to "i, which has negative real part a., be
(UV',',)
(i=I, ... ,n)
(5.47)
Then the solution of the Riccati equation is given by P = [UI, ... , lInllvI, ... , vllli.
(5.48)
The algorithm can be proved as follows: Since P satisfies AT P+ PA + Q  PBRIBT P= 0
148
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
which can be written
(sf + AT)P  P(sf  A + BR  I BT P) + 0 = 0 then if the eigenvalues of
(5.49)
are !'l, "', ,'An, their real parts are negative and their corresponding eigenvectors satisfy
('Ad  A + BR1BT P)Vi = O.
Using this relationship in (5.49) yields
(5.50)
Letting
Pvi=Ui
the above two expressions may be written as
which means that [vI,1I11 are eigenvectors corresponding to Ai. In the case of multiple eigenvalues a similar proof can be done using generalized eigenvectors.
5.2 OBSERVERS
5.2.1 State Observer
This section is concerned with the linear system
x = Ax + Bu, x(O) = Xu Y= ex
(5.51a) (5.51b)
where inputu s Rill, state xE R", output yE RP, A E R"XI1, BE RI1XII1, and C E RPxl1. It is assumed that the input and output of the system can be measured but not the state which is needed to implement the control law. This section discusses the realization of a state observer which constructs the state from the measured input and output. Before presenting the details of the observer we consider a simple problem.
OPTIMAl, CONTROL AND OBSERVERS
149
Example 5.5 When the initial state Xo of (5.51) is unknown, can the state x be estimated from the state x of a system with the same structure and same input
~ = Ax + Bu, ,;;;(0) = 0
(5.51a)'
This problem can be stated as to whether the state of a system can be estimated by the state of a model system when those two systems, with different initial conditions, receive the same input.
Subtracting (5.51a)' from (5.51a) and letting
e(i) = x(t)  xU)
(5.52)
yields
e = Ae, e(O) = Xo
(5,53)
This equation shows that provided (5.53) is asymptotically stable, that is all the eigenvalues of A have negative real parts, then e(t) + 0 as t > co which means that xCt) approaches xCt) as t increaseS;,"otherwise x(t) does not approach x(t) as t increases.
From this example, we see that (5.51 a)' cannot be used in all cases to estimate the state of (5.51). Thus instead of using (5.51a)', the following system which also uses the measured output, and is given by
~=Ax+ Bu+ K(y CX),x(O)=O
(5.54)
may be considered where K E R"xP.
By substracting (5.54) from (5.51a), we obtain
e = Ae  KCe
= (A  KC)e, e(O) = Xo
(5.55)
where e(t) = x(t)  xU). If K is chosen such that (5.55) is asymptotically stable, then x(t) approaches x(t) as t increases. The existence of such a K can be found from the dual of Theorems 4.2 and 4.3, that is if (A, C) is detectable, there exists a K such that e(t) , 0 as t __,. co, and if (A, C) is observable, a K can be chosen so that the characteristic equation of (5.55) is in a given form. This means that for an observable system the error of (5.55) may be made to vanish with arbitrary modes. If (A, C) is detectable and K is chosen so that (5.55) is asymptotically stable, (5.54) is called a state observer of (5.51). This kind of observer is not always practically useful since its dimension is the same as that of the system which is often too high. Its dimension can be decreased using the output and an observer whose state z estimates Ux such that
(Z(t») __,. (U)X(t) as t __,. co
y(t) C
(5.56)
150
ST A n: VARIABLE METHODS IN AUTOMATIC CONTROL
If the row vectors of U are linearly independent of those of C and rank (J = n, UE R(lIP)XIJ
(5.57)
then
( U) I (z(£»)
__. xU) as I + DO
C yet)
(5.56)'
This equation indicates that if z(t) ...... Ux (t) (t + DO) then x (t) can be estimated from y and z. The dimension of z is the same as that of Ux, and from (5.57) the dimension of z to estimate the state of the system is equal to n p, and it may be written as
z = AZ + By + lu, z(O) c= 0
(5.58a)
A A I ZJ
x=[C,Dlly
(5.58b)
where A E R(lIP)X(IIP), BE R(IIP)XP, 1 E R(IJp)XIiI.
To find the condition that z(t) + Ux(t) as t > co, premultiplying (5.51) by U and subtracting (5.58a) gives
~ = A ~ + (UB  J)u + (UA  AU  Be)x
(5.55)'
where ~ = Ux  z.
It ~ approaches zero as t increases independent of the input u(t) and the state, then xU) approaches xU) by choosing
[C, Dl(J = t;
The system (5.58) is called a minimal order state observer.
(5.59)
Definition 5. j
If the linear system given by (5.58) produces the output x satisfying
lim [xt r )  xU)] = 0,
Input Output
r= Plant l v
~ Stat
Observer ~
e of plant
Figure 5.2 Block diagram of plant and observed
OPTIMAl, CONTROL AND OBSERVERS
151
for any input and initial condition, (5.58) is a minimal order state observer of (5.51).
From (5.55)' the condition for the observer is given by the following theorem.
Theorem 5.4
The npdimensional observer with u and y of (5.51) as inputs, given by
i = AZ + By + Ju, z(O) = 0 x = C'l + by
(5.58a)
(5.58b)
is the minimal order state observer of the controllable system (5.51) if and only if it satisfies the following eonditions.
(i) There exists a UE R(lIp)XlI satisfying
UA  AU= BC l= UB C'U+ DC= t,
(ii) All the eigenvalues of A have negative real parts.
(5.60a) (5.60b) (5.60c) (5.60d)
The structure of the observer and the plant whose state is to be estimated is depicted in Figures 5.2 and 5.3.
Design methods for the minimal order state observer have been proposed by many researchers. These methods can be classified into two categories. One is to determine (A, E, C, D, J) after an appropriate form or U is given.
ligure 5.3 Configuratior. of plant and observer
152
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
The other is to determine (.4, B) first, then a corresponding U is obtained to calculate C, D, and J. A typical design algorithm for the first approach has been given by Gopinath and is presented below
First (5.60a) and (5.60c) are rewritten as
then if (0 is nonsingular, vi, B, C, D) can be calculated from
(5.61)
and J is obtained from (5.60b) when U is given. This minimal order state observer does not necessarily satisfy (5.60d). Gopinath proposed a design procedure using a nonsingular U with prespecified structure and parameters to satisfy (5.60d).
Observer design algorithm of Gopinath
(l) The plant (A, B, C) whose state is to be estimated is considered. First C# E R(IIp)XII is constructed such that the 11 x 11 matrix
(5.62)
is nonsingular.
(2) Using T of (5.62), the equivalent system (A, B, C) to (A, B, C) is calculated from
A = T1AT= (~II ~12)
All An
(5.63a)
(5.63b)
(5.63c)
(3) ~Ol~ t~e ~ equivalent system the minimal order state observer (A, B, C, 15, J) is determined. Using C given by (5.63c). 0 satisfying (5.57)
OPTIMAL CONTROL AND OBSERVERS
153
is chosen as
U = (lllP,  L)
(5.64)
(4) For U given by (5.64), the following relation is derived from (5.61).
(~
p) = ([/",,  LJA) (/111'  L)I
D III 0 1"
_ (All  LA2J Al2  LAn) (IIIp L)
 I,,_p 0 0 II'
o Ip
This may be written
  
A =All  LA21
B=AIILIA2IL+AI2 LAn
(5.6Sa) (5 .6Sb)
(5.6Sd)
(5.65c)
If (A, C) is observable,
C ( 0 I, )
CA A2l A22
rank CA2 = rank AzjA II ; AnAli A21Al2 ;A~2 =n (5.66)
CAliI which indicates the first np column vectors are linearly independent. Therefore (A21,A1d is observable and A of (S.6Sa) can be designed to have given characteristic r90t~ by an appropriate choice of L.
(5) Since (A, B, C, 15, J) is the observer of (A, B, C), the output of the observer i can be used to estimate the state of (A, B, C) as
Ti ~ x as t ~ 00
Therefore the observer of (A, B, C) has the parameters
154
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
Example 5.6 For the system
x=( b 1 J)x+ (Du
0
1 3
(0 1 I)
y= 1 0 o x find the observer with a single pole at  1.
Proceeding according to Gopinath's algorithm: (1) Let
C"=lO 0 I]
then
(2)
 (0
C= CT= I
o I o
~) = (~
(3) Let U= [I, i.. /21 (4) From (5.65) /l=6n 12
13 = [  3  9/1  7ft  [1/2  12,  1  I,  7/1/2  612  I~]
C=
[1] ~. [I]
o ,D= I
o 0
Choosing 11 =
I and /2 = 2 the observer is given by
~ A
/1 =  1, B = (  I,  2)
o 1 o
~)
I o
~)
OPTIMAL CONTROL AND OBSERVERS
155
Plant
Observer
fI r  ,
Xl ~~~_4~~~
L~~ .J
Figure 5.4 Observer tor Example 5.6
(5) Therefore the observer for (A, B, C) is
/l =  I,
[C,Dl=(:
J=O
B = (1 2)
~ b)(b:~
o 0 0: 0
~)
The designed observer is shown in Figure 5.4, which indicates that the observer does not use the input of the system. Therefore this observer can be used in situations where the input is unknown.
5.2.2 Determination of L in Gopinath's Algorithm
In the previous section an algorithm to design a minimal order slate observer was presented. Tn the algorithm, one of the most important things is to determine U which is equivalent to finding L in (5.64). When L is given, the observer is designed from (5.65). L should be given so that all the eigenvalues of A = All  LAn have negative real parts. Such an L can be determined (1) by pole assignment so that the characteristic equation of A, det(1s  A) = 0 has appropriate roots or (2) by the optimal feedback  L T
156
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
157
for (ATI, AIt) with a quadratic criterion function, since such an optimal control gives a stable
For the characteristic equation of A to be written as
det(sI  A) = sJlP + {31PIS"P 1+ '" + {3o
AL AIIU
These algorithms are discussed in detail.
(5.67) requires
(1) Determination oj L by pole assignment
I f (A II, All) is observable, (AL, AIL) is controllable and from Theorem 4.2, the coefficients of the characteristic equation
So I is given by
  T T T
det(sI  A" + LA2d = det(sI  All +A2IL ) = 0
are known to be specified by the choice of L. I~ the case that A II is cyclic such that there exists k to make Lk,Allk, ... ,A(\PIk) linearly independent, an L to assign the poles of A can easily be obtained. So in this part, this design approach is given. When A" is ~ot cyclic, an LI to _?1ake
A II  L IA2l = A {I cyclic is chosen and then A [I is considered as A II to determine L I from
All  LA21 = (All  LIA2d  L'A21
When A II is cyclic and (A II, A2I) is observable, a yT such that (A 11,1' TA2d is observable can be determined. t
Letting
I ~ ( ~: ::L:~) , (~:~:~: = ::~;~: )
By the dual of (4.6), it can be rewritten as
(5.68)
) _I( (311_p_lcxn_p_l)
o {311p2 ~ CXIlp2
1 (3o  CXu
and from IyT, L is determined.
(5.68) I
then
detesT .4) = det(sI All + IyTAzd = det(SI  ~II' I')
 yTA2I,
   I
=det(sIAldll +yTA2l(sIAI1) I)
(5.67)
(2) Determination oj L from optimal control
The optimal feedback law  L T for (AL, AL) with a quadratic criterion function is known to give all roots of
det(sI  All + LA2l) = det("I  ATI + AIIL T) = 0
with negative real parts. So in this part L is determined using this approach. Since
where
d (I A) np+ snpI+ ... +~
et s  II = S CXIlp1 ~O
x = ATlx + AIlu
is controllable, the optimal control minimizing the criterion function
and
  I 1 (r' 11  P  I . .. + r )
(sfAll) = npIS + 0
det(sIAII)
tSee, for example, M. Heymann, Structure and realization pro~lems in t~le theory of dynamical systems, CISi\/f Course and Lectures, No. 204, Springerverlag (197)).
is given from Corollary 5.1 by
15&
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVER
159
where (AL, if) is observable and P is the symmetrical positive defmite solution of the Riccati equation
and since the pole of the observer is specified as  I.
(5.69)
giving
det(sI  A) = s + I (3D = I
T T I  .
From Theorem 5.2, all the eigenvalues of A II  All R AZI P have negative
real parts and therefore
Fro m (5.68)
(5.70)
I = (I. 1)  1(1  6) =  5
L = (0,  5) that is II = 0, h =
Thus, suhsriuring for I. in b of (4) in Example 5.6 gives
makes A of (5 .65a) stable. The choice of Hand R determine the poles of A.
Example 5. 7 An observer is designed for the system in Example 5.6 by the method proposed in (I).
In this case
A I, B= [2,4],
c= (D, , (0 5)
D= b o , )=1
1 and the resulting observer followin.@'(5) of Example 5.6 is
All = C)
,4 = 1,8= [2,4]
so A II is cyclic. Let I'T = (0 1)
then 'YTA21=1,np=1
[C,Dl=G )=1
o 1 o
~ ~)
o 5
Since det(sI  A II) = 5 + 6,
Cio=6,ro= 1
The observer designed is shown in Figure 5.5.
Plant
From the examples, we see that the observer for the system (A, B, C) can not be uniquely determined simply by specifying the observer poles. But from (5.60) and (5.61), the observer is uniquely determined if Uis specified.
5.2.3 Design of a Functional Observer
u
r
Until now all the state variables have been estimated by the observer. Generally, however, it may not be necessary to estimate all the state variables but simply Fx which is required for control. In case F is a row vector fT, the observer to estimate the scalar (IX is called a functional observer and 'when F is a matrix, the observer to estimate Fs is called a linear functional observer. The construction of the minimal order functional observer is a current topic, but we still do not have many powerful algorithms for its determination. In this section, a possible algorithm for designing a functional observer is presented. For the plant of (5.51), a linear functional observer to estimate fTx is given by
,
I
I
I
I iobserver I
I I I
~ I
I I
L  ~ I
figure 5,5 Observer for Example 5.7
z = AZ + B~i + Ju w=Cz+Dr
(5.58a)' (S.58b) ,
160
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
]61
which is similar to (5.58) and it is easily shown that for a given matrix VE Rf{XII the following equations should be satisfied
Therefore we have
(I) VAAV=BC (5.60a) ,
(2) J= VB (5.60b)'
(3) CV+ DC= fT (5.60c)' o D
(4) All the eigenvalues of A must bc in the left half of the complex plane (5.60d)'
CA (12 B
(5.74)
"u, "x
(5.71 )
Since Wo, (31, ... ,1] ( ~~ . )
CA'i
= C¢(A)=O, (5.73) follows by
Comparing with (5.60), only (5.60c)' is different and this condition is to give
The minimal dimension of (5.58)' will be shown to be at largest 110  1, where 110 is the observability index of (A, C). Algorithms to construct a minimal functional observer with given poles have been presented by many researchers, and the following is due to A. Inoue.
premultiplying (5.74) by «(30,PI, ... , 1).
Sufficiency. This is proved by constructing a functional observer with the conditions of the theorem satisfied.
l st step: (5.73) shows that there exist Vi such that
Theorem 5.5
When the characteristic equation of A is given by
¢(s) = sf{ + (3,,15,,1 + .,. + (30
(5.72)
(C)
T T T CA T
[vo,vl, ... ,vql : =f ¢(A)
CAf{
(5.75)
A can be used for a functional observer to estimate fTx of (A, B, C) if and only if
fT¢(A)E row span (~~)
CAq
from which v, can be determined.
2nd step: Using v. obtained from the lst step find tii from
(5.73)
(5.76a) (5.76b)
The theorem also states that the order of the functional observer q can be chosen as 1'0 _. 1.
(5.76c)
Proof Necessity. If (A, B, C, D, J) is a functional observer of (A, B, C), then from (5.60c)' and (5.60a)',
fT = CV+ DC
fT A = CUA + DCA = CA V + CBC + DCA
fT A 2 = CA VA + CBCA + DCA 2 = CA 2 V + CABC + CBCA + DCA 2
3rd step: Using tii and vJ find uJ from
T _ fT TC
uq   v"
T T T'
U" I = uqA + (3'1 IU" . bqC
T _ T T '
Uq2  uqIA + (3'12U"  b,,_1 C
(5.77a) (5.77b) (5.77c)
and so on.
(S.77d)
162
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
163
, T ~",~
4th step: Using v~, hi and u., find (A, B, C, D, J) from
Po 1
;,,1
o 1]
= (f T  v J C)¢ (A )  f T 1> (II ) + v J C ¢ (A ) + hi C =blC
and the first row of (5.79) is b 1 C as required and (5 .60a)' is proved. Equation (5.60b)' is obvious and (5.60d)' is satisfied by an appropriate choice of the characteristic equation in the design. Thus (5.78) gives a linear functional observer.
(5.78)
5.2.4 Characteristics of a Closed Loop System Incorporating an Observer
The optimal control law has been shown to by given be state feedback. However, in a practical situation only the input and output of a plant are often measured directly so that the state needs to be estimated using an
.''~". to.
These matrices define a functional observer. Firstly since
~ ~ T T T
CU+DC=u"+v,,C=f
(5 .60c) I is obviously satisfied. From the 3rd step (5. 77bd) we ha ve
The clement in the first row is found by substituting (5.77b) into (5.77e), and so on to give
U~ 2 = u~ A z + p,,_lu~A + P,,zuJ  bCA  bq_1 C
T' )' '
U~l '" u~A 3 + pq_Iu~A 2 + p,,zuJA + Pq3U"  b"CA   bqI CA  b,,2C
=U~¢(A)[VJ""'V~_d( ~~ 1 + [Po, ... ,i3,,tl ( v1~ \ +h,C
CAq1 V~CAq)
uTA + pou~ ulA  u] + pou~
UAAU= uIAlll+Plu~
T T R T
uqA  UqI + fJqIU,/
T T 1/1 TA,,2 p TAq3+ +PuT
UI = u"A +p,,_IUq +fJ,,2Uq .,. fJl q
_ b' C' A q  2  b~ 1 CA q  3  •••  b, C
" n q _
Therefore, from the last expression, we can write
observer.
Consider the following minput, poutput and ndimensional system
x = Ax + Bu
(5.51a) (5.5Jb)
( "
bic
\ bqC
(5.58a) (5.58b)
(5.79)
where the feedback control law U = Fx is achieved using the estimate of the state X, since x cannot be measured directly. The estimate x is given by an n+p dimensional observer
1 = AZ + B~' + Ju, z(O) = 0 x = Cz + by
where (5.51) and (5.58) are related with the (n  p) x n matrix U by
UAAU=BC J= UB CU+ DC= //1
(5.60a) (5.60b) (5.60c)
When the estimate x is used for the control, it is given by U= FX
(5.80)
and the augmented system consisting of the system (5.51) and the observer (5.58) is given by
(5.81)
Thus under the control law (5.80) the closed loop system is given by
(x) ( A + BFDC BFC) (x)
Z = BC + JFDC A + 1Ft z
(5.81) r
Hi4
STATE VARIABU, MIo:THODS IN AUTOMATIC CONTROL
OPTIMAL CONTROl" AND OBSERVERS
165
and its characteristic equation is
[51  A  BFDC  BFC ]
det A A A
 BC  J FDC 51  A  JFC
Post multiplying the right column of the determinant by V and adding it to the first column of the determinant gives
[ sIABFDCBFCV BFC]
=det BC1FDC1FCVHsIA.)V sIA.1FC
Using (5.60a) and (S.60c) the determinant can bc written as
lsI  A  BF  BFC ]
= det _ VA _ 1F + sU sI  A.  1FC
Finally premultiplying the top row by V and subtracting it from the bottom row gives
This is depicted in Figure 5.6, which shows that when the observer is used, it gives a disturbance to the state feedback system due to the error produced by the observer. Thus when the control is done using Fx instead of the optimal control Fx the criterion function will be degraded. This is shown by the next theorem.
Theorem 5.6
Instead of the optimal control Fx minimizing the criterion function J = i So (II x II ~ + II u 111)dt the control u = FX using the estimate of the state from the observer deteriorates the criterion function by 11 J where
11 J = ~ II HO)II ~,., CHO) = x(O)  x(O)
(5.84)
and
(5.85)
[51  A  BF = det
o
 BFC:] = det(sI  A  BF)det(sI··· A.) sl= A
(5.82)
Proof From (5.3)' in the Appendix of this chapter, the criterion function is written as tJ ~ co as
which shows that the poles of the closed loop system consist of those of the observer and feedback system without the observer. This can be understood in the following way: Letting
I \"'0 ) I 2
J= Ilu FxllR dt+llx(O)llp
2 .02
~ = Ux  z
Therefore letting
C~ = x  X
and using the relation x  x = cs, the control law (5.80) can be rewritten as
then
u = Fx  FC~
(5.83)
1 Icc A)
t.J.J= IIFC~IIRdt
2 0
from (5.55) " the closed loop system can also be written as
where P, is found as the solution of (5.85) from Theorem 2.11.
.
x=
Ax +
c
y
5.3 CONTROL SYSTEM FOR STEP COMMAND
Until now only the control required to stabilize a closed loop system has been considered. However, in the general control problem the controlled variables should be controlled to follow reference signals. A controller which makes the controlled variables follow reference signals in the presence of disturbance is called a 'servocontroller.' In the state space approach these external variables must be modelled in order to design a satisfactory control system. Here we are concerned with the design of a servocontroller.
ligure 5.6 Effect of the observer on the closed loop system
166
SlATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
167
5.3.1 Control System Design
the system is controllable if and only if
y = ex
(5.86a) (5.86b)
(5.93)
The system to be considered is
x= Ax+ Bu+ Ew
where the input u is an l11vector, the state x is an nvector, the controlled vector y is a pvector and the disturbance VI' is a qvector. A, B, C, E are 11 X n, n x 171, p X n, 11 X q matrices respectively. The objective of the control is to make y follow the constant reference signal r in the presence of the constant disturbance wand to stabilize the closed loop. The former condition is called 'output regulation' and the latter 'internal stability'.
Let the models of the disturbance and reference signals be
When the above condition is satisfied, the poles of the closed loop system can be assigned arbitrarily by state feedback. Such control to stabilize (5.90) is given by
(5.94)
and u is given by
r:
u(t) = Flx(t) + F2 J c dr + constant
(5.95)
X, = 0, r = X,
(5.87) (5.88)
When the constant term is taken as zero, the controjlaw is
Xd = 0, w = Xd
(5.95) ,
and define the error e as
(5.89)
and the closed loop is as shown in Figure 5.7, where the control system is said to have integral control.
The constant term of the control is u (0) _ FIX (0) if the integral is taken from T = 0. Usually x(O) = 0 and u(O) is taken as the steady state value Us for the steady state of (5.86) with reference r and zero disturbance, that is
Since w = 0 and I' = 0, so the derivative of (5.86) gives x = Ax + Bu
(5.86) , (5.89) ,
(5.90)
(~ ~) (::) = G)
(A BO)  I (Or) __ d Nr
Us = [0 1] C
(5.96)
and these equations constitute an augmented system
When e is taken as the output of this system, the observability matrix of this
system is
(1= (~ ~)
CA 0
Ew
(5.91)
s
r
+
F2
and it is observable if (A, C) is observable. So in order that e> 0 as r + DO all the state variable [XT, eTJ should approach zero. Since the controllability matrix of the augumented system is
(('= (~ AB A2B ... )
CB CAB ...
= (~ BjC B AB ... \ (5.92)
0/ I ° ° .. .) Figure 5.7 Closed loop system with integral control 168
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
169
And the control law is given by
u(t) = Flx(t) + F2 L e d r + Nr The determination of F, and F2 can be done using optimal control for the
2.0
(5.97)
1.5
y
criterion function
1.0~r~ __ ~~====~ __ ==== ___
(5.98)
0.5
(5.99)
Time
which yields
2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0
where P is the positive definite solution of
Example 5.8 Design an integral controller for the constant reference signal r for the system given by
x = (~ ~) x + G) u + G) IV, xeD) = 0
y = (I D]x
Figure 5.8 System response for Example 5.8
Let
5.3.2 Behaviour of Observer to Constant Disturbance
e=yr
then
G) = (~ g ~) (:) + (~) Ii
In the previous section, a control law using state feedback to accommodate constant reference and disturbance signals was shown to be given by (5.95). When the state cannot be accessed directly, it may be estimated using an observer. However, when the observer is designed based on the system model without taking the disturbance into consideration the estimate given by the observer contains errors. For the system (5.86) with w = 0, the observer is given by (5.58), that is
and the augmented system is
The optimal control minimizing
J= [00(11 e112+ 11 i1112) dt J ()
i. = AZ + By + Ju x=Cz+[;y
(5.58a) (5.58b)
is given by
Ii =  [2, 2]x  e
with the condition
which yields
UA  AU= BC J= UB CU+ DC= I
(5.60a) (5.60b) (5.60c)
II =  [2, 2]x + r (r  y) d r
The response of the output of this system for IV = 0 to a step change of the reference r is shown in Figure 5.8.
And ~ = Ux  z has been shown by (5.55) I to vanish as t > ca. In the
170
STATE VARIABLE METHODS iN AliTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
171
presence of the disturbance w in (5.86), the relationship derived in (5.55)', under the condition of (5.60) becomes
the controlled variable y approaches r as t + 00 even when the state in the control law is the estimate from the observer.
~=A~+ UEw
(5.101)
From (5.101), provided UE"", 0 and w is constant, ~ becomes  A I UEw as t > 00.
If we usc this observer in the closed loop for the control law given in the previous section then the controlled variable will coincide with the reference signal as t > 00 as shown below.
The control law (5.95)' is modified, when the estimate of the state x from the observer is used instead of the state, to
Example 5.9
The response of the controlled variable is considered when an observer is employed in the case of Example 5.8.
The observer is designed using the Gopinath algorithm. So it is first transformed into
" I
LI =  Kj'x  K2 J (y  r) dt + KJ;~
Using the above control law for the system (5.86), the closed loop system is
y = (0 I)"
(5.95)"
using
given by
,,/
x=AxBK1X+BK2 J (ry)dt+Ew+BKJC~
(5.102)
Let
U = (1, I)
which is shown in Figure 5.9 and is interpreted as the control of the system with the disturbance Ew + BKI C~ instead of Ew. From the previous discussion of (5.101) ~ can be considered constant and given by
then from (5.65), the observer is given by
~~_:_AIUEw
(5.103)
since the observer should be designed so that the response of the observer is faster than that of the system. Since the control law (5.95)' is also valid for the constant disturbance
2.0~ 1 5
"' 1 
Ew  BKJ CA  UEw
c
"" ..... O. Or++ ++:++++1+t+t++f+++t+1
2.0 4.0
r
r
0.5~
10~
~ 1 5~
2J
Time
5
Figure 5.9 Effect of rile observer on system with integral control
Figurc '.10 Response of system of Example s. ')
172
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
173
Thus using x = T5i. it follows that
, , " ,(0)
A = I, B =  I~, J = I, C = I '
Since S is arbitrary, it is taken to satisfy
iJ = C)
:t S + AT S + SA = SBR  1 B T S  Q, S (t,) = PI
which taking S(t) = p(t) is equal to (5.5). So the following relation is derived.
When 1 = 2, ,. = I and w  1 the response of the controlled variable to the step reference signal is shown in Figure 5.10.
APPENDlX
(A) Proof that pet) in Positive Definite
By adding the above term multiplied by 1/2 to the criterion function (5.3),
With the optimal control (5.4), the system is represented by
x=(ABR1BTp)x. x(O)=xo
J = ~ II x(O)11 ~(O)
.1=; Icc {ile(ABRIBTP)lxollb+ IIRIBTPe(ABRIBII')lxoll~ld[  J 0
1 \1/
+  [x T P B R  1 B T Px + X T P Bu + U T B T Px + U T R u l d t
2 .0
and the criterion function is given by
Assume that (A, H) is observable and P is positive semidefinite, and let Xo be such that Px« = 0, then
.1 =! \00 [ II eA1xo II b + II R1 BT Pe·1lxo 117<!dt 2 .0
(5.3)'
This equation shows that the optimal control minimizing J is given by (5.4) .
(C) Proof that when (A, C) is Observable and A is Cyclic, then there Exists I' such that (A, 'Y T C) is Observable
This means that Xo is an element of an A invariant subspace 'I satisfying p'f = 0 and
HeA1xo = O. 3 Xo E 'I
which contradicts (A, H) is observable. Therefore, P is positive definite.
Such '/ always exists as follows: Let (A, C) be observable, generator be dT and ti be the cyclic space generated by cT, then whole state space RII is spanned by lias
R 1/ = t 1 + /2 + ... + t {J
(B) The Proof of Theorem 5.1
and the minimal polynomial of / i denotes (3" Then the minimal polynomial of R" is
If x (t) is the solution of (5.1), there exists for an arbitrary matrix S the relation
Since cT is given from the cyclicity of /I
cT=dT1)i(A), i=l, ... ,p
so if /'1, .. ,,1'11/ of
1)('A) = /,11)1 ('A) + /,21)2 ('A) + ... + /'1II1JII/('A)
174
STATE VAHIABLE METHODS IN AUTOMATIC CONTROL
OPTIMAL CONTROL AND OBSERVERS
175
are chosen so that 1)(:\) is coprime to 0:(:\), then R" is generated by
PS.3 If
p
ye = 2: Yie!
i= I
1 roo
J= \ (1IxI12Q+2xTWu+llullk)dr 2 • 0
is used as the criterion function instead of (5.2), then find the optimal control u for (S.I).
This is using the fact that if dT is a generator of R" with minimal polynomial 0:(:\), then
~ T
c ' = d yeA)
PS.4 Design observers for the following systems.
with y(:\) which is coprime to 0'(:\) generates also R", This is because I and ex are coprime there exist p and (J such that
IP + o:a = 1
(41) (A,b,cT)= ([~ !J. [~J, [3 1])
(42) T (l 0.5 _ ~.4J, [~7], [0, 1])
(A,b,c)= 0.2
(A, B, C) ~([! ~ I] [~l [~ ~l)
(43) 3
3 0 Therefore
dT = dTy(A)p(A)+ dTo:(A)a(A) = dTy(A)p(A)
=cTp(A)
This shows
PS.S Show that the functional observer of
vxTER"
xT = dTe(A) = cTp(A)e(A)
Therefore for the minimal polynomial of c T denoted by (3(:\) xT(3(A)=O and 0:1(3
On the other hand, 0: is the minimal polynomial of R" and {3 is that of c T, so (310: and 0: = (3 is derived.
x=l~
nl2 y=rO
~::] x + [~:J u
~
nl2
J ]x
can be realized by a first order system.
PROBLEMS
PS.l Find the optimal control for a linear system
x~G ~ !}+ 0)"
which minimizes the criterion function
. oo( [3 0 0] )
J = ~ () X T ~ ~ ~ x + u2 d z
PS.2 When 0:0 = 2, 0:1 = 3 in the system (5.11) and q, = 1, q2 = 0 in the criterion (5.10), how does the optimal control vary with y?
THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL 177
6
THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL
random variables a and b. The presence of the delta function 3(1  T) guarantees the whiteness property implying that the noise is uncorrelated from one instant to the next. It is also assumed that V is a nonnegative defmite covariance matrix and W is a positive definite covariance matrix.
The initial state Xo is also assumed to be a Gaussian random variable with mean Xo and covariance :60, and to be independent of both v(t) and wet). Therefore, in mathematical terms,
E(xo) = xo, covlx, xol = :60 E(XOVT(t)) = E(xoWT(t)] =0
(6.6a) (6.6b)
6.1 THE LQG PROBLEM
The control input u(t) should be manipulated to force the system to behave in a desired manner. A quadratic per Iorrnance index is introduced, as in Chapter 5, to evaluate the quality of the system behaviour. Since v (t), w(t), and Xo are random variables, we need to cvaluaie the expected value of the performance index, that is
We showed, in Chapter 5, that the optimal feedback control for deterministic linear systems is given in the form of a linear combination of the state variables when we wish to minimize a performance index which is quadratic in the state and control input. When all of the state variables are not accessible a state observer can play an important role in reconstructing the states to implement the optimal control.
In this ehapter we foeus our attention on a stochastic version of the linear optimal control problem and consider the situation where the system is perturbed by random disturbances and only some of the states can be measured through noisecorrupted output data. We confine the discussion only to the basic principles of the stochastic control problem and so some of the details of more mathematically rigorous treatments will be omitted.
The stochastic linear system considered is described by
x(t) = Ax(t) + Bu(t) + rv(t), y(t) = Cx(t) + w(t)
x(O)=Xo
(6.1) (6.2)
J = ~ El [III x(/) II b + 111I(t) II ~) ".
where Q is a symmetric nonnegative defmite matrix and R is a symmetric positive defmite matrix.
The stochastic optimization problem for the linear system described by (6.1) and (6.2) which is subjected to Gaussian random disturbances and measurement noise with a control specified to minimize the quadratic performance index (6.7) is called an LQG problem. The term LQG originates from 'Linear, Quadratic and Gaussian'. As will be shown later, the LQG problem consists of an optimal filtering and an optimal stochastic control problem. In Section 6.2, we study the Kalman Iilter which can estimate all of the state variables in an optimal fashion based on the set of measured output data. In Section 6.3, we then give the optimal solution for the LQG pro blem.
(6.7)
where x(t) is an nvector of the state variables, 1I(t) is an mvector of the control input, y(t) is a pvector of the measured output, v(t) is an rvector of the system disturbances, and w(t) is a pvector of measurement noises. The matrices A, B, I', and C have constant coefficients and are of dimension n x n, n x 111, n X r, and p x n respectively.
Both v(t) and w(t) are assumed to be white Gaussian random variables having zero means and to be statistically independent of each other, that is
6.2 THE KALMAN FILTER
cov(v(t), w(t)] = 0
(6.5)
The optimal estimation problem considered in this section is that of how to estimate the state of a stochastic linear system with the assumption that the measurement data obtained is noise corrupted. The estimation operation is called optimal when an estimate is determined in accordance 'with the minimization of some criterion or loss function, which represents a quantitative measure of how good the estimate is. If we ,are concerned with the estimation error, it is reasonable to take a nonnegative loss function of the estimation error such as a quadratic function.
E{v(t») = v = 0, cov]v (t), VeT)} = V3(t  T) (6.3)
E(w(t») = w = 0, covlwfr ), WeT)} = W3(t  T) (6.4)
where Eta) == a is the expected value of the random variable a, and cov (a, b) == EI (a  a)(b  b)T) denotes the covariance matrix for the
176
178
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL
179
We adopt the mean square error as the criterion, that is
(6.8a)
Xl!)
~
1= E[ II x(t)  xU) 112] = tr E[x(t)xT (t)l
Optimal filter
"
t====;) r ( t )
where xU) is the estimate of the state x(t) of the linear system (6.1) which minimizes the measure (6.8a), on the assumption that a set of measurement data ;//[ "'" [y(r) for 0 ~ r ~ t] is available and that the input function u(t) is known. xU) is the estimation error defined by
t
E {II oW ( 1) W}  min
x(t) "'" x(t)  x(t)
(6.8b)
Figure 6.1 Optimal filter
(6.9)
the measured data observed up to the present time t. The problem is to determine both h(t) and H(t, 7) such that the mean square error criterion (6.8a) is minimized, as illustrated in fig. 6.1. It is known that, if all of the random variables are Gaussianvehe linear estirnationsgiven by (6.12) is optimum.
It follows from the result of the unbiased property (b) of the estimate x(t) that
The optimal estimate minimizing the quadratic loss function (6.8a) is called the least square estimate and has the following properties:
(a) The optimal estimate x(t) is the conditional expectation of x(t) given the measured data :til, that is
(b) The estimate x(t) is an unbiased estimate, which means that
E!x(t») = E[x(t»)
(6.10)
E[x(t») = h(t) + \.t HU, T)E[y(r)) d r = E[x(t)]
• 0
then,
Proof Equation (6.8a) can be rewritten as
1= £lE[ II x(t)  x(t) 1121 ':rd J.
(6.11)
(6.13)
Let I' be denoted by
where
x(t) "'" E[x(t)],
y(t) "'" E[y(t)] = cx(t)
(6.14)
Then it is noticed that the estimate x (t) that minimizes the criterion I' also minimizes I. The criterion I' can be written as
Hence we have
I' = E[ II xU)  iO(t) + x°(t)  x(t) 1121:rtl = EIII xU)  x°(t) 1121wtl
+ 2E[ [x(t)  X°(t)]T[X°(t)  x(!)] I :~d
+ E[llx°(t)x(t)1121 ;lId
= E[II xU)  x°(t) 1121':rd + EIII x°(t)  x(t) 1121:rtl
Therefore, x(t) that minimizes I' is given by x(t) = x°(t) and (6.9) IS established.
We restrict our attention to an estimate of the form
x(t) = x(t) + \ [ H(t, r)ly(r)  YeT)] d r
va
(6.15)
Now the problem is reduced to that of determining the optimal kernel H(t, T), which is given by the following theorem.
Theorem 6.1
1\ necessary and sufficient condition for x(t) to be the optimal estimate is the kernel H(t, r ) satisfies the Wiener=Hopf integral equation:
cov[x(t), y(r)) = r I H(t, o lcovlyt o ), yeT)) da .1 n
forO~7< t (6.16)
x(t) = h(t) + t H(t, r)y(r) d r
(6.12)
Proof See Appendix 6(1\).
where h(t) is an 11vector and H(t, r ) an 11 x n matrix. It is assumed in (6.12) that the optimal estimate is obtained through a linear operation on
Substituting (6.15) into (6.16) gives cov[x(t), y(t)] = covlxtr), yeT)]
[or 0 ~ r < t
180
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
then
covlx(t), yeT») = 0
for 0 ::;;; T < t
(6. 17)
This implies that the estimation error xU) is uncorrelated with all of the past measured data before time t.
Postrnultiplying both sides of (6.17) by fiT (t, T) and integrating over T from 0 to t, we obtain
cov[x(t), x(t») = cov[x(t), x(t»)
or equivalently
cov[x(t),x(t») = 0
(6. 18)
Corollary 6. J (orthogonal projection lemma)
The optimum estimate xU) is orthogonal to the estimation error x(t) in the sense of (6. I 8).
It is difficult to derive the explicit form of fIU, T) by directly solving (6.16). Kalman approached the problem using a state variable description for the inputoutput structure of the optimal estimator (6.15), and derived a result known as the Kalman filter, the structure of which is illustrated in Figure 6.2.
L_ Stochastic linear system
Measurement
Kalman filter
Figure 6.2 Kalman filter block diagram
Theorem 6.2 (Kalman filter)
The optimal estimate xU) for the stochastic linear system (6.1) and (6.2) subject to random noise characterized by (6.3) to (6.6) is given by
x(t) = Ax(t) + Bu(t) + K(t)[y(t)  CX(t)]
x(O) = Xo
(6.19)
where
K(t) = 2: (t)CT wt
(6.20)
THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL
181
2..:(0) = Lo (6.21)
K(t) is the filter gain, and 2:(t) is the covariance of the estimation error defined by 2:(t) == cov[x(t), x(t»).
Proof See Appendix 6(B).
Example 6.1 Consider the scalar stochastic linear system
x(t) = ax(t) + j1u(t) y(t) = cx(t) + wet)
It follows from (6.19) to (6.21) that the Kalman filter is given by
lU) = ax(t) + K(t)[y(t)  d'(t)]' K(t) = c'L,(t)j W
)':(1) = 2a2',(I) + 1'2 V  c22',2(t)j W,
x(o) = ~\'()
2',(0) = 2',()
The solution 2',(t) of the above Riccati equation is given by
(" ) (" ) _7,,[
2.:(t)=PI ~OP2 P2 ~IlPI e
2',0  P2  (2.:0  PI)e 2",
where
}1 = (a2 + C2j12 Vj W) 112
PI,P2= W(a±}1)jc2, PI >0, P2<0
As the time I tends to infinity, the solution 2',(t) converges to the positive constant: 2.: = lim 2.:(1) = W{u + }1)jc2
Then we have the stationary Kalman filter given by
. a+p
i(t) =  ~c\:(t) + ' y(t) c
Example 6.2 Consider the following secondorder system perturbed by stochastic disturbances, that is
,'((t) + w2 x(t) = vet) yet) = x(l) + w(!).
Assigning the state variables as XI (t) = x(t) and X2(t) = XI (t) the system can be described by
yet) = (1
O)((t) + w(t)
182
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
It follows from (6.21) that each element of the covariance matrix satisfies i:11 (t) = 22.:12(t)  WI2..:Tl (t)
i:dt) = 2.:n(t)  u/2.:11(t)  W lL:11(t)2..:dl) i:n(t) = 2w22_,12U) + V  WI2.:h(1)
with the boundary condition 2.:(0) = 2..:0.
The steadystate solutions for infinite t of the above equations should be
nonnegative definite and are given by
2.:11 = W[2C (y)  W2)]1/2 L:12 = W[Jy)  w2]
2..:22 = W(y(Jy)  0)2)J 112
where y == w.j + VI W.
The stationary Kalman filter is thus described by
.~·I(t)   [2(\ (r)  (2)]Ii2XI (I) + .\'2(1) + !2r, (y)  w2j j1/2y(l) .~2U) =  Jy )XI (t) + [Jy)  w2]y(t)
Although the system is not asymptotically stable, the covariance matrix tends to a Imite value for infinite t. The asymptotic properties of the Kalman filter are discussed in the next section.
6.2.1 Properties of the Kalman Filter
Asymptotic characteristics
We pay attention only to the stationary property of the covariance equation (6.21) because of the difficulties associated with studying directly the asymptotic behaviour of the random variable x(t). The Riccati equation (6.21) which the convariance matrix "Z(t) satisfies has a similar form to (5.5a) which was used to solve the optimal control problem presented in Chapter 5. By making comparisons of (6.21) and (5.5) it is seen that the following dual relations hold between the optimal regulator and the optimal state estimation problems:
2.: <> P,
{<>{rt.
By considering the results of the optimal regulator problem, we can obtain the asymptotic characteristics of the Kalman filter. The following theorems can be derived corresponding to Corollary 5.1 and Theorem 5.2.
THE KALMAN )<'ILTER AND STOCHASTIC OPTIMAL CONTROL
183
Theorem 6.3
If the linear dynamical system (A, C) is observable, the solution of (6.21) for infmite t tends to a nonnegative matrix 2.: which satisfies
Theorem 6.4
If the linear system (A, I", C) is both controllable and observable, then the solution of (6.21) tends to a unique positive definite matrix I: and the matrix (A  I:CT W 1 C) is stable.
Innovations process
The innovation process I' (t) is de fined by
v(t)=y(t) CX(n
(6.23)
The innovations process is a forcing term for the Kalman filter of (6.19), which contributes to the operation of corrections in the state estimate. p(t) may also be written using (6.2) and (6.8b) as
v(t) = Cx(t) + wet)  CX(t) = (;XU) + w(t)
(6.24)
We now discuss properties of the innovations process 1'(1). Since x(t) is an un biased estimate, it follows from (6.4) that
Elv(r)] = 0
( 6.25)
The covariance of I' (t) is given by
E{p(t)pT(r») = CE(X(t)XT(t»)CT + CE{x(t)wT(r»)
+ E{w(t)XT(r»)CT + t_'(W(t)wT(T») (6.26)
It is easily shown from (6.1), (6.2) and (6.19) that the estimation error x(t) satisfies
k(t) = (A  K(t)C)x(t) + rv(t)  K(t)w(t)
and thus x(t) does not depend on the known input u(t). The solution of (6.27) is
x(t) = cp(t, t ' )x(t') + r .:p(t, O')[rv(O')  K(O')w(a») de (6.28)
Substituting (6.28) into (6.26), and making usc of the noise characteristics
184
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
THE KALMAN FII"TER AND STOCHASTIC OPTIMAL CONTROL
185
given from (6.3) to (6.6), we obtain
E! 1I(t),/ (T)l = Cep(t, T)2::(T)CT  C1>(t, T)K(T) W + W o(t  T) for t ~ T Then it follows, by use of (6.20), that
E[ II (t ) II T( T ») = W 0 (t  T)
~(t) = A2::(t) + L:(t)AT + I' vrT
 r2::(t)CT + I' Sl W I [2::(t)CT + I' SIT, 2::(0) = 2::0
(6.34)
(6.29)
Example 6.3
Consider the linear system
This implies that there is no information left in the innovations process p (t) if x(t) is the optimal estimate.
~'<(t) = ax(t) + v(t) yet) = x(t) + pv(t)
E[p(t»)=O and E[p(t)pT(T»)= WO(tT)
(6.30)
where a < 0 and p > O. Let the variance of v(t) be denoted by V. Then we obtain W = p2 V and 5 = p V. It follows from (6.34) that
:i(t) = 2 (a  n2.:(t)  p; V 2.:2(1)
Theorem 6.5
The innovations process defined by (6.23) is a white Gaussian process with mean and covariance matrix given by
6.2.2 Treatment of Various Types of Random Noise
Since the stationary solution for in finite t is 2.: = lim,~oo 2.: (t) = 0, then it will be scen that the estimate ~\'(t) approaches the true value of X(/). The stationary Kalman filter is given by
The Kalman filter given in Theorem 6.2 assumes the conditions from (6.3) to (6.6) for the random noise signals. In this section, we make some generalizations to the Kalman filter for the case where the system disturbance is correlated with the measurement noise, and the system disturbance and measurement noise are not white. Since the known input u(t) plays no significant role in the Kalman filter, then we assume that u (t) == O.
. 1
x(t) = ax(t) i  [y(t)  xU)] p
cov[v(t), WeT») = So(t  T)
(6.31)
Coloured system disturbance
In this section we consider the optimal filter for the case when the system disturbance is not white. This disturbance can be modelled as the output of a linear dynamical system driven with a white noise input. Then, by adjoining the dynamical system associated with the disturbance generation to the original linear system, we obtain an augmented dynamical system which has a white noise input for which we can design a Kalman filter.
Instead of condition (6.3), let v(t) be modelled as the output of the qdimensional linear system
Correlated system and measurement noises
We assume here that the system disturbance v(t) and the measurement noise w(t) are correlated, so that
Since the derivation of the optimal filter for this case is similar to the previous derivation of Theorem 6.2 where v(t) and wet) are uncorrelated, we present only the results.
x,(t) = MA(t) + NHt), v(t) = GA(t)
A(O) = Ao
(6.35a) (6.35b)
Theorem 6.6
where Ht) and Ao are Gaussian random variables characterized by
E!Ao) = 0, E!AoAdJ = Ao
E!~(t») = 0, E!Ht)e (T») = Z oct  T)
E{~(t)AJ) = o.
(6.36) (6.37) (6.38)
Assume that v(t) and w(t) are characterized by (6.3), (6.4), (6.6) and (6.31). Then t he optimal state estimate x (t) for the linear system described by (6.1) and (6.2) is given by
~(t) = Ax(t) + K(t)!y(t)  Cx(t)), x (0) = XO K(t) = (L(t)cT + r S) W I
(6.32) (6.33)
It is also assumed that ~(t) is statistically independent of x(O) and w(t) and that M is a stable matrix.
186
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
For the stationary case, we discuss the covariance matrix of the noise v(t). Let the transition matrix of M be denoted by q,(t) = eMI, then the solution h(f) of (6.35a) is given by
)..(t)= \1 <fJ(tu)NHu)du= r q)(u)N~(tu)du
" 00 0
(6.39)
It then follows from (6.37) and (6.39) that
A == EI)..(!»)..T(t)1 = [ <fJ(u)NENTq:,T(u) do (6.40)
Since M is a stable matrix, it satisfies the Lyapunov equation
that is
(6.41)
Making use of the above results, we give the correlation function matrix 'f L(7) for the random noise v (t). It follows from (6.39) and (6.37) that
'fv(7) == Elv(t + 7)VT(t)j = CElh(t+ 7»)..T([)]OT
= C [,co reo <p(u)NE!~(t + 7 u)~T (t  s)]NTq,T (s) drr dsCT Jo Jo
= C [ <P(7+ s)NZNTq,T(S) dsCT
= Ccp(7)ACT for 7;;;; 0
(6.42a)
and also
'fv(7) = CAq,T (7)CT
for T < O.
(6.42b)
Example 6.4 Let the random noise v(t) be the output of the linear dynamical system
~(t) = aA(t) + HI) v(r) = gA(t)
Since 1> (I) = e III and the solution of (6.41) is A = 3/2a, then it follows from (6.42) that the correlation l'unction of u(t) is
'It,,(7) = (g23/2a)ea1fl

THE KALMAN FILTER AND STOCHASTIC OPTiMAL CONTROL
187
Example 6.5 system
Let the random noise uU) he the output of the secondorder lineal"
u(t)~(l
O)"U)
The transition matrix or the above linear system is
(e\CC"lfCOSU.'III+\WIiSinwo/] e \Cc.lsinw()/ )
GJo Wo
TU) ~
wJ~  I, t. [ • ~ ," f f r WI/ j
 e "SII1 wo/ e . cos wol   sin w()i
0)0 lL'O
where Wo = W"\ (I  \,2). The Lyapunov equation (6.41) canbe written as
f'
2AI2 = 0
An' 0),7 A 1 1  2\,W,,1\12 , 0 20),71\12  4\,0)111\22 + w,72 = 0
anel the solution far A is A II = w,,3/41, A 12 = 0 and A22 = 0);;2/4\. Therefore, it Iollows from (6.42a) that 'It,.(7) is given by
T 0)112  (oJ T( i0)".)
'It,.(7)=G<f>(7)AG =~ e ." COS0)()T+SITlW07
4s Wo
Now, by adjoining the dynamical system (6.35) associated with the noise to the original linear system (6.1) and (6.2), we can obtain the augmented linear system.
G~~n = (~
y(t)=(C
r C) (XU)) + (0 ) ~(t)
M A(t) N
O)x(t) + w(t)
(6.43)
(6.44)
We can now easily implement the Kalman filter given in Theorem 6.1 for this augmented stochastic linear system.
Coloured measurement noise
When the measurement noise w(t) is not white, we can similarly model the noise as the output of a stable linear dynamical system
w(t) = Mw(t) + NHt),
w(O) = wo
(6.45)
where
E(wo] =0,
(6.46)
188
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
THE KALMAN fiLTER AND STOCHASTIC OPTIMAL CONTROL
189
Elte!)} = 0,
(6.47) (6.48) (6.49)
The gain of the Kalman filter K (t) is
K = cl (a  m):i + VJ/(c2 V + 2) and the steadystate Kalman filter is described by
E[~(t)VT (7)] = 0,
covlx, w(t») = covlx, ~(t)J = 0
With these assumptions, the least squares estimate x (t) is given by the following theorem.
x(t) = a~y(t) + KIY(t)  my(1)  ci a  m).R(t)1
6.3 STOCHASTIC OPTIMAL CONTROL
Theorem 6.7
If the system disturbance v (t) and measurement noise w (t) are characterized by (6.3), (6.6), and (6.45) to (6.49), the optimum estimate x(t) for the linear system described by (6.1) and (6.2) is given by
6.3.1 Perfect State Observation
k(t) = Ax(t) + K(t)[y(t)  My(t)  (CA  MC)x(t)]
(6.50)
We study the stochastic problem of controlling the linear system (6.1) subject to external disturbances so as to minimize the performance index (6.7). It is assumed that all ()f the states can be observed perfectly, so we take no account of the fueasurement equation (6.2). This problem is a stochastic version of the optimal regulator problem investigated in Chapter 5.
The optimal control is given in the next theorem.
where
(6.51)
Q = [Cr vrT CT + NENT] (6.52)
t(t) = A I;(t) + 2..:(t)AT + I' vrT  K(t)QKT (t) (6.53)
Theorem 6.8
Consider the stochastic linear system
and the initial conditions for (6.50) and (6.53) are given by
X(O) = Xo + cov{xo, y(O)]cov(y(O), y(O)]I{y(O)  CXo] (6.54a)
= Xo + 2..:oCT{ C2..:oCT + WO]I(y(O)  CXo} (6.54b)
x(t) = Ax(t) + Bu(t) + Tvtr ),
x(O) = Xo
(6. I)
The optimal control input u 0 (t) that minimizes the performance index
1= ~E[L (II x(t) II~+ II u(t) II~] dt]
is given by state feedback in the form
U°(t) = R1BTp(t)x(t)
(6.7)
and
Proof See Appendix 6(C).
(6.56)
x(t) ~ ax(i) + u(t) y(t) = cx(t) + w(t) w(t) = mw(t) + w)
The minimum value of the performance index is
min 1 = i II XO II ~(O) + ~ tr[2..:oP(O)1 + i 0'(0) where P(t) and a(t) arc characterized by the differential equations
 pet) = AT P(t) + PUlA + Q  P(t)BR1 BT P(t) (6.58)
(6.57)
Example 6.6 Consider the stochastic linear system
The measurement noise wet) that is modelled by the last equation has the autocorrelation function 'l'v(T) = (  212m )e"'! T I. the steadystate solution of (6.53) is
a(t) = tr(rVrT PUll (6.59)
with the boundary conditions P(tf) = 0 and a(tj) = O.
Proof See Appendix 6(D)
which gives
Z=, 1 ? la2+mc1V+J(a2+mc2V)2+c2(am)2V2ll
c(a  m)
We notice that the optimal control given by (6.56) has the same form as that of the deterministic case treated in Chapter 5. However, a difference in
190
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL
191
the value of the performance index from the deterministic one is shown by the addition of the last two terms in (6.57). The second term is owing to the uncertainty of the initial state, and the third term is owing to the uncertain system disturbances.
For infmite tj, we use the performance index
(6.60)
It follows from (6.56) that the optimal control is u(t)= r IbTp(!)x(t)
b, .
=  = ! P12(t)XI (r) + Pn(t)X2(r)!
r .
where each element of P(t) satisfies the Riccati equation (6.58), giving
•. j 1 j j
Pll(l)  2w· P12(i) +  bzPT2(!) + q, = 0 r
instead of (6.7).
Example 6.7 Consider the stochastic regulator problem where the linear dynamical system and the performance index are described by
)((1) =  ax(!) + bu(t) + u(t)
J = lim _l_ r Elll' \X2(1) + ru2(1)1 dt] t, ~ co t, l J 0
the stationary solution of the Riccati equation (5.58) is
b2 ,
2aP+l P=O, P>O
with the boundary condition 12(tr) = O.
We briefly mention here thedigital calculation of the behaviour of a linear system perturbed by random noise. Consider a discrete approximation to the above linear state equation as
x(k+ 1.6.)=(1+ L:lA)x(k.6.)+ .6.bu(kL:l)+),L:lu(kL:l)
r
where L:I is the sampling period. It should be noted that the covariance of the discretetime random noise v(k L:I) is related to the covariance V for u(t) by
P=~ II(a21 1/) _ a]
b: l'\) r
and the optimal control is given by
u°(l) =  i[ J (a2 + ~;)  a] x(t)
and the minimum of the performance index for infinite tr is
. 1 T r V [ i (' b 2) ]
mill J = 2 tr[L' VI' Pl = 2b2 "l a + ;  a
since as the limiting operation is taken for tf, the term due to the uncertainty of the initial state vanishes.
v cov(v(kil.), v(/L:I)l =  01,/ L:I
Figure 6.3 shows the solution for P(t) calculated numerically for the case where 0)=2, b2='Y2=1, ql=lO, (j2~ll 1'=0.01,1/=1, V=I and L:I=O.OOI. The trajectories of the states Xl (t) and X2(1), and the optimal control input 1/(/) are shown in Figure 6.4. The results are also compared with the deterministic case (v(t) == 0) shown by the smooth solid lines. IL is seen that the stochastic system behaves like the corresponding deterministic system in an averaged manner. 
4r _
500 k
1000
Example 6.8 Consider the stochastic linear system and the performance index
x{t) = Ax(L) + bu(t) + )'u(t)
( ) I) ()
A 0 I b= 0 = 0
 _w" 0' \b2 ,Y /,2
where Q = diag (ql, (j2)'
Figure 6.3 Solution for P(r) of Example 6.S
where Q and Rare nonnegativedefinite and positivedefinite symmetric matrices respectively.
The main difference from the problem discussed in Section 6.3.1 is that information on the states can be obtained only through the output equation (6.2) and all of the states cannot be perfectly observed, so it is referred to as a partial observation problem. The problem is to choose the control input u (t) at time t as a function of the measured data up to time t, i.e. ;Ij, == (Y(T); 0;:';:; T;:';:; tl so as to minimize (6.7). Thus the controller should
process the data record ;Ij/ and convert it to the control input u(t). The separation theorem ensures that we can separate this operation into two parts: computation of the least square estimate x(t) of the state x(t) using the input (U(T); 0;:';:; T;:';:; tl and the output (Y(T); 0;:';:; T;:';:; r], and computation of the optimal control u (t) = F(t)x (t) as a linear function of the estimate x(t).
192
STATE VARIABLE METHODS IN AUTOMATIC CONTROL
THE KALMAN FILTER AND STOCHASTIC OPTIMAL CONTROL
Xl( 1)
.f_

:I
XI (v=o )
0r~~~~5'00 k
1000
j
_
x(u=V=O)
Jt 2. _
I'  _

u (V =0)
193
Theorem 6.9 (The separation theorem)
Given the stochastic linear system (6.1) and the output equation (6.2), then the optimal control that minimizes (6.7) is given by
(6.61)
20
where x(t) is the least square estimate of x(t) that is provided by the Kalman filter characterized by
Figure 6.4 Behaviour of the state variables and control input for Example 6.8
x(r) = Ax(t) + Eu(t) + K(t)[y(t)  Cx(t)j K(t) = 2.: (t) CT W1
i:(t)= A2.:(t)+2.:(t)AT +rvrT 2.:(t)CTW1C2.:(t) with X(O) = Xo and 2:(0) = 2.:0
6.3.2 The Separation Theorem
We now investigate the LQG problem stated at the beginning of the present chapter. The stochastic linear system is given by the statc equation
Then, the minimum value of the performance index is given by min J = ~ II XO II ho) + ~ tr{2.:oP(O)1 + ~ a(O) where P(t) and a(t) satisfy
 p(n = AT P{t) + P(t)A + Q  P(t)BR1 BT P(t)
 6:(t) = tr{Q2.:(t) + K(t) WKT (t)P(t)1
x(t) = Ax(t) + Bu(t) + rv(t), y(t) = Cx(t) + w(t)
(6.1 ) (6.2)
x(O) = xo
where the system disturbance v (f), measurement noise w (t) and the initial state Xo are all Gaussian random variables and satisfy the assumptions from (6.3) to (6.6). The control input is to be chosen to minimize the average quadratic performance index
with the boundary conditions PUJ) = 0 and a (tJ) = O.
(6.7)
Proof It is noted that for the expectation in (6.7),
E( . 1= E[E!'I ;/j,J]
(6.19) (6.20) (6.21)
(6.62)
(6.63) (6.64)
This action might not be possible to undo. Are you sure you want to continue?
We've moved you to where you read on your other device.
Get the full title to continue reading from where you left off, or restart the preview.