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A FIRST GRADUATE COURSE IN

FEEDBACK CONTROL
J. S. Freudenberg
with
C. V. Hollot and D. P. Looze
Winter 2003
ii
Contents
1 What You Should Know: Classical Control 1
1.1 A Brief Introduction to Feedback . . . . . . . . . . . . . . . . 3
1.2 Terminology . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.3 Frequency Response . . . . . . . . . . . . . . . . . . . . . . . 8
1.4 Closed Loop Response . . . . . . . . . . . . . . . . . . . . . . 9
1.5 Input/Output Stability . . . . . . . . . . . . . . . . . . . . . . 13
1.6 Integral Control and Step Response . . . . . . . . . . . . . . . 17
1.7 Transient Step Response . . . . . . . . . . . . . . . . . . . . . 20
1.8 Sensitivity to Parameter Variations . . . . . . . . . . . . . . . 20
1.9 A Fundamental Identity and Tradeoff . . . . . . . . . . . . . . 23
1.10 Control Signal . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
1.11 Relation Between Open and Closed Loop System Properties . 25
1.12 Open Loop Design Specifications . . . . . . . . . . . . . . . . 26
1.13 Two Degree of Freedom Control . . . . . . . . . . . . . . . . . 28
1.14 Homework Problems for Chapter 1 . . . . . . . . . . . . . . . 31
2 What You Should Know: Modern Control 41
2.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.2 State Feedback and Observer Design . . . . . . . . . . . . . . 43
2.3 Feedback Analysis of an Observer Based Compensator . . . . 46
2.4 Homework Problems for Chapter 2 . . . . . . . . . . . . . . . 47
3 Multivariable Setpoint Tracking 59
3.1 The SISO Case . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3.1.1 Precompensation . . . . . . . . . . . . . . . . . . . . . 61
3.1.2 Integral Control . . . . . . . . . . . . . . . . . . . . . . 62
3.2 The MIMO Case . . . . . . . . . . . . . . . . . . . . . . . . . 64
3.2.1 Precompensation . . . . . . . . . . . . . . . . . . . . . 65
iii
iv CONTENTS
3.2.2 Integral Control . . . . . . . . . . . . . . . . . . . . . . 66
3.3 Feasibility of Setpoint Tracking . . . . . . . . . . . . . . . . . 69
3.3.1 Zeros of a MIMO System . . . . . . . . . . . . . . . . . 69
3.3.2 Zeros and Feasibility . . . . . . . . . . . . . . . . . . . 70
3.3.3 Feasibility and the Control Signal . . . . . . . . . . . . 72
3.4 Integral Control and State Estimation . . . . . . . . . . . . . 73
3.5 Feedforward with Integral Control . . . . . . . . . . . . . . . . 74
3.6 Tracking vs. Disturbance Rejection . . . . . . . . . . . . . . . 75
3.6.1 Computing the Disturbance from the Integrator States 77
3.7 Homework Problems for Chapter 3 . . . . . . . . . . . . . . . 79
4 The Linear Quadratic Regulator 89
4.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
4.2 The Finite Horizon Case . . . . . . . . . . . . . . . . . . . . . 91
4.3 The Infinite Horizon Case . . . . . . . . . . . . . . . . . . . . 97
4.3.1 Stabilizability and Finite Cost . . . . . . . . . . . . . . 98
4.3.2 Detectability and Closed Loop Stability . . . . . . . . . 101
4.4 Practical Issues . . . . . . . . . . . . . . . . . . . . . . . . . . 104
4.4.1 Computation . . . . . . . . . . . . . . . . . . . . . . . 104
4.4.2 Weight Selection . . . . . . . . . . . . . . . . . . . . . 104
4.5 Homework Problems for Chapter 4 . . . . . . . . . . . . . . . 107
5 The Optimal Linear Estimator 115
5.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
5.2 The Time Varying Optimal Estimator . . . . . . . . . . . . . 118
5.3 A Proof of the Time Varying Estimator . . . . . . . . . . . . . 120
5.3.1 Preliminary Lemmas . . . . . . . . . . . . . . . . . . . 120
5.3.2 Proof of Theorem 5.1 . . . . . . . . . . . . . . . . . . . 122
5.4 The Time Invariant Optimal Estimator . . . . . . . . . . . . . 124
5.4.1 Tradeoffs Between Process and Measurement Noise . . 125
5.5 The LQG Control Problem . . . . . . . . . . . . . . . . . . . . 126
5.6 Homework Problems for Chapter 5 . . . . . . . . . . . . . . . 129
6 Fundamental Limitations in SISO Feedback Systems 131
6.1 Closed Loop Transfer Functions . . . . . . . . . . . . . . . . . 133
6.2 Time Domain Design Limitations . . . . . . . . . . . . . . . . 135
6.2.1 Integrators and Overshoot . . . . . . . . . . . . . . . . 135
6.2.2 Open Right Half Plane Poles and Overshoot . . . . . . 137
CONTENTS v
6.2.3 Open Right Half Plane Zeros and Undershoot . . . . . 138
6.3 Frequency Domain Design Specifications . . . . . . . . . . . . 140
6.4 Algebraic Design Tradeoffs . . . . . . . . . . . . . . . . . . . . 143
6.5 Analytic Design Tradeoffs . . . . . . . . . . . . . . . . . . . . 144
6.5.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . 145
6.5.2 The Bode Gain-Phase Relation . . . . . . . . . . . . . 146
6.5.3 The Bode Sensitivity Integral . . . . . . . . . . . . . . 151
6.5.4 The Poisson Sensitivity Integral . . . . . . . . . . . . . 156
6.5.5 The Middleton Complementary Sensitivity Integral . . 161
6.5.6 The Poisson Complementary Sensitivity Integral . . . . 163
6.6 Homework Problems for Chapter 6 . . . . . . . . . . . . . . . 165
7 Stability Robustness for SISO Feedback Systems 181
7.1 Motivation: Robust Stability . . . . . . . . . . . . . . . . . . . 182
7.2 Unstructured Multiplicative Uncertainty . . . . . . . . . . . . 183
7.2.1 Bandwidth Limitations . . . . . . . . . . . . . . . . . . 188
7.3 Uncertainty in a Booster Vehicle . . . . . . . . . . . . . . . . . 189
7.3.1 Uncertainty Model . . . . . . . . . . . . . . . . . . . . 190
7.3.2 A Stiffer Booster Vehicle . . . . . . . . . . . . . . . . . 194
7.4 Other Uncertainty Models . . . . . . . . . . . . . . . . . . . . 204
7.4.1 Multiple Sources of Uncertainty . . . . . . . . . . . . . 206
7.4.2 Robust Performance . . . . . . . . . . . . . . . . . . . 206
7.5 Homework Problems for Chapter 7 . . . . . . . . . . . . . . . 207
8 Properties of MIMO Feedback Systems 211
8.1 SISO Analysis of MIMO Stability Robustness . . . . . . . . . 213
8.2 MIMO Stability Robustness . . . . . . . . . . . . . . . . . . . 217
8.3 Other Types of Uncertainty Models . . . . . . . . . . . . . . . 222
8.3.1 A MIMO Generalization of the Stability Radius . . . . 225
8.4 Singular Values and Gain of a MIMO System . . . . . . . . . 227
8.4.1 Relation between Open Loop Gain and Feedback Prop-
erties . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
8.5 Singular Values and Control Authority . . . . . . . . . . . . . 232
9 Feedback Properties of the LQ Regulator 237
9.1 The Return Difference . . . . . . . . . . . . . . . . . . . . . . 239
9.1.1 Sensitivity and Complementary Sensitivity . . . . . . . 240
9.1.2 Open and Closed Loop Characteristic Polynomials . . . 241
vi CONTENTS
9.1.3 The Return Difference Equality . . . . . . . . . . . . . 242
9.2 Guaranteed Stability Margins . . . . . . . . . . . . . . . . . . 242
9.2.1 Single Input Stability Margins . . . . . . . . . . . . . . 243
9.2.2 Multiple Input Stability Margins . . . . . . . . . . . . 245
9.3 Symmetric Root Locus . . . . . . . . . . . . . . . . . . . . . . 246
9.3.1 The Optimal SISO Root Locus . . . . . . . . . . . . . 247
9.3.2 Cheap Control Asymptotes . . . . . . . . . . . . . . . 253
9.3.3 The Asymptotic Closed Loop Response . . . . . . . . . 255
9.3.4 The MIMO Root Locus . . . . . . . . . . . . . . . . . 256
9.4 Asymptotic Gain and Regulation Cost . . . . . . . . . . . . . 259
9.4.1 Asymptotic State Feedback Gain . . . . . . . . . . . . 259
9.4.2 Asymptotic Gain Crossover Frequency . . . . . . . . . 260
9.4.3 Asymptotic Regulation Cost . . . . . . . . . . . . . . . 263
9.4.4 Extensions to Multiple Input Systems . . . . . . . . . . 267
10 Robustness with an Observer 269
10.1 Stability Margins with an Observer . . . . . . . . . . . . . . . 270
10.2 Asymptotic Properties . . . . . . . . . . . . . . . . . . . . . . 271
10.3 Loop Transfer Recovery . . . . . . . . . . . . . . . . . . . . . 273
10.4 LTR with Augmented Integrators . . . . . . . . . . . . . . . . 279
10.5 Recovery at the Plant Output . . . . . . . . . . . . . . . . . . 284
11 Design Rules for MIMO Feedback Systems 285
12 Feedback Control Implementation 287
12.1 Linearization . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
12.2 Integrator AntiWindup . . . . . . . . . . . . . . . . . . . . . . 288
A Useful Information 295
A.1 Matrix Identities . . . . . . . . . . . . . . . . . . . . . . . . . 296
A.2 Facts from Linear Algebra . . . . . . . . . . . . . . . . . . . . 297
A.3 Complex Variable Theory . . . . . . . . . . . . . . . . . . . . 299
A.4 Butterworth Filters . . . . . . . . . . . . . . . . . . . . . . . . 300
B Zeros of Multivariable Systems 303
B.1 Normal Rank . . . . . . . . . . . . . . . . . . . . . . . . . . . 305
B.2 System Inverses . . . . . . . . . . . . . . . . . . . . . . . . . . 306
B.3 The Rosenbrock System Matrix . . . . . . . . . . . . . . . . . 307
CONTENTS vii
B.4 Zeros of SISO Systems . . . . . . . . . . . . . . . . . . . . . . 308
B.4.1 Zeros in the State Space . . . . . . . . . . . . . . . . . 309
B.4.2 Transmission Blocking Property . . . . . . . . . . . . . 311
B.5 Zeros of MIMO Systems . . . . . . . . . . . . . . . . . . . . . 311
B.6 Zeros of the System Matrix . . . . . . . . . . . . . . . . . . . 316
B.6.1 Invariance of System Zeros under State Feedback . . . 317
B.6.2 Computing Zeros . . . . . . . . . . . . . . . . . . . . . 318
C Disturbance Rejection via Bias Estimation 323
C.1 Feeding Forward a Measurable Disturbance . . . . . . . . . . . 324
C.2 Estimating an Unmeasurable Disturbance . . . . . . . . . . . 325
C.3 Bias Estimation and Integral Control . . . . . . . . . . . . . . 331
C.4 Homework Problems for Appendix C . . . . . . . . . . . . . . 335
D Properties of Hermitian Matrices 339
E The Hamiltonian Matrix 343
F Review of Random Processes 351
F.1 Stochastic Models of Signals . . . . . . . . . . . . . . . . . . . 352
F.2 Vector-valued Random Variables . . . . . . . . . . . . . . . . . 354
F.3 Random Processes . . . . . . . . . . . . . . . . . . . . . . . . 355
F.3.1 Stationary Random Processes . . . . . . . . . . . . . . 355
F.4 White Noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . 356
F.4.1 White Noise through a Linear System . . . . . . . . . . 357
G Reduced Order Observers 363
H Model Reduction 369
H.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 370
H.2 Controllability and Observability Grammians . . . . . . . . . . 371
H.3 Interpretation of Gramians . . . . . . . . . . . . . . . . . . . . 372
H.3.1 Minimum Energy Control . . . . . . . . . . . . . . . . 372
H.3.2 Energy of the Unforced Response . . . . . . . . . . . . 373
H.4 Balanced Realizations . . . . . . . . . . . . . . . . . . . . . . 373
H.5 Model Reduction by Balanced Truncation . . . . . . . . . . . 374
H.6 Application to Controller Order Reduction . . . . . . . . . . . 375
H.7 Homework Problems for Appendix H . . . . . . . . . . . . . . 379
viii CONTENTS
I Properties of the Singular Value Decomposition 383
I.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . 384
I.2 The Singular Value Decomposition . . . . . . . . . . . . . . . 385
I.3 Scaling and Units . . . . . . . . . . . . . . . . . . . . . . . . . 392
I.4 Feasibility of Setpoint Tracking . . . . . . . . . . . . . . . . . 393
Chapter 1
What You Should Know:
Classical Control
Revised January 7, 2003.
1
2 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
In this chapter we review material that we believe the student should
have learned in the prerequisites, which are a senior level course in “classical”
control design, and a first year graduate level course in linear system theory.
We also provide an overview of certain concepts that will recur throughout
the textbook. Not all of these are part of standard prerequisite courses, but
perhaps in the future they will be...
Motivation
Engineering is a combination of science and art, and feedback control is no
exception. The science consists of a theory of inherent design limitations that
manifest themselves as tradeoffs among conflicting design goals. The art
consists of learning to use design techniques to manipulate these tradeoffs
wisely. At a higher level, the science of feedback may be used to design
a system so that the tradeoffs imposed by the fundamental limitations are
sufficiently benign to admit an acceptable solution.
In this textbook, we study properties of linear models; however, the un-
derlying physical system will always be nonlinear. Hence we must worry
about the validity of the linear model, and insure that signal amplitudes are
kept sufficiently small. For example, excessively large control signals will
saturate the control actuators.
“Classical” vs. “Modern” Control Theory
Analysis and design of feedback systems utilizes both classical, frequency
response based methods such as Bode plots as well as modern state space
methods such as state feedback and observers. It is useful to divide the
history of feedback control (at least in the 20th century) into three eras.
The “Classical” era comprised contributions from people such as Black,
Nyquist, Bode, Nichols, and Evans. These events took place in the time frame
of the 1930’s, 1940’s, and 1950’s. The relevant tools were Laplace transforms,
frequency response, and transfer functions, and the scope of problems treated
were primarily focused on single input, single output systems. In fact, clas-
sical techniques are sometimes problematic when applied to multivariable
systems that have multiple inputs and multiple outputs.
The “Modern” began roughly around 1960 with the work of people such
as Kalman and Gilbert. The relevant tools are state equations, controllabil-
ity, observability, optimal control, LQG. These techniques are applicable to
1.1. A BRIEF INTRODUCTION TO FEEDBACK 3
multivariable systems and, to a lesser extent, nonlinear systems. However,
it is difficult to find a counterpart in the modern theory to such bread and
butter concepts from classical control as bandwidth and robustness.
The name of the “Classical/Modern Synthesis” era was coined in 1980.
Under this synthesis, modern techniques are used to design for “classical”
properties such as bandwidth and robustness. This involves singular values,
LQG/LTR, robust performance, H

, structured singular values... Achieving
this “classical/modern” synthesis is where we are headed in this course.
Feedback may be used to improve certain properties of a system; however,
other properties may deteriorate. For example, courses in classical control
show how feedback may be used to improve system properties such as
• steady state response: position and velocity error constants
• transient response: rise time, overshoot, settling time
• robustness: gain and phase margins
• disturbance response
In fact, there exist tradeoffs between the potential benefits and costs of
feedback! An obvious question is what are the disadvantages of feedback?
We shall return to this question throughout the textbook. For now, we will
look at some simple examples...
1.1 A Brief Introduction to Feedback
To begin our study of feedback system properties and design tradeoffs, let
us consider a simple example with a plant that is a constant gain, P, with
input u(t) and output y(t) (cf. Figure 1.1).
P
y(t)
u(t)
Figure 1.1: Constant Gain Plant
Suppose we desire that the output approximate a desired reference tra-
jectory: y(t) ≈ r(t). We now introduce two techniques for doing so, and
compare their relative advantages and disadvantages.
4 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
Open Loop Control
One way to achieve this goal is with a precompensator C, as shown in Fig-
ure 1.2. If we set C = 1/P, then y(t) = r(t), and our tracking goal is
P
y(t) u(t)
C
r(t)
Figure 1.2: Constant Precompensator
achieved.
Feedback Control
Consider next the feedback system depicted in Figure 1.3. In this system,
P
y(t)
u(t)
C
e(t)
Σ
r(t)
-
Figure 1.3: Feedback Control
we use the measured tracking error, e r − y to drive the compensator C.
We shall let the compensator be a constant gain C = k. The equations that
describe this feedback system are given by
u = ke (1.1)
e = r −y (1.2)
y = Pu. (1.3)
Together, these equations show that the closed loop response of the system
output and error signal are given by
e =
1
1 + Pk
r (1.4)
y =
Pk
1 + Pk
r. (1.5)
1.1. A BRIEF INTRODUCTION TO FEEDBACK 5
Consider the high gain limit, as [Pk[ → ∞. It follows from (1.4)-(1.5) that
e → 0 and thus y → r. More generally, it is easy to see that if [Pk[ ¸ 1,
then [1/(1 + Pk)[ ¸1 and Pk/(1 + Pk) ≈ 1.
Comparison of Control Strategies
We have seen two strategies for using compensation to achieve small track-
ing error. To compare the relative advantages and disadvantages of these
strategies, let us consider the important practical issue of system uncertainty.
Specifically, let us suppose that the plant gain is an imprecisely known con-
stant
ˆ
P, and that there is an unmeasured disturbance to the system given
by d. Hence the true system is as shown in Figure 1.4.
P
^
y(t) u(t)
Σ
d(t)
Figure 1.4: Uncertain Plant and Disturbance
With the open loop controller C = 1/P, the system output is given by
y = (
ˆ
P/P)r + d. (1.6)
It follows that the tracking error will be nonzero unless the disturbance is zero
and the plant model is precisely known. With open loop control, this problem
may be remedied only by obtaining a better model of the system, perhaps by
using components that do not deviate significantly from the desired value,
and by insuring that no exogenous disturbances act on the system. These
strategies may be expensive or infeasible.
Consider next the feedback controller, as shown in Figure 1.5. As an
exercise, the reader should verify that the response of the system is given by
e =
1
1 +
ˆ
Pk
r −
1
1 +
ˆ
Pk
d (1.7)
y =
ˆ
Pk
1 +
ˆ
Pk
r +
1
1 +
ˆ
Pk
d. (1.8)
Once again, if [
ˆ
Pk[ ¸ 1, then e ≈ 0 and y ≈ r. Hence feedback has
6 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
P
^
y(t) u(t)
k
e(t)
Σ
r(t)
-
Σ
d(t)
Figure 1.5: Feedback Control with Uncertain Plant and Disturbance
the potential advantage that it may be used to achieve our goal of tracking
despite imperfect knowledge of the system.
Much of the rest of this textbook will be devoted to describing the poten-
tial disadvantages of feedback, and to characterizing certain design tradeoffs
that must be performed between the potential advantages and disadvantages
of feedback. We close this section with a description of one such disadvan-
tage.
Suppose that sensor has a measurement error, as depicted in Figure 1.6.
We sometimes refer to the signal n as measurement noise. Often a sensor
P
^
y(t) u(t)
k Σ
r(t)
-
Σ
d(t)
Σ
n(t)
y
m
(t)
e
m
(t)
Figure 1.6: Feedback System with Sensor Error
error is a constant bias that must be prevented by periodic calibration. In
any case, the effect of the sensor error is that the measured output, y
m
(t),
differs from the true output, y(t). Furthermore, the measured error, e
m
(t),
differs from the true tracking error, e(t). The output of the feedback system
is now given by
y =
ˆ
Pk
1 +
ˆ
Pk
r +
1
1 +
ˆ
Pk
d −
ˆ
Pk
1 +
ˆ
Pk
n. (1.9)
Using high gain now implies that y ≈ r − n, and will insure small tracking
error only if the sensor error is negligible. We therefore see that one potential
1.2. TERMINOLOGY 7
disadvantage of feedback is that the system will respond to errors in the
measurement. (In industry, sensors are often viewed as “devices that cost
money and usually break”, and this fact sometimes prevents feedback control
from being used in applications.)
We have just seen the first of many design tradeoffs that are inherent
to feedback control. Feedback may be used to overcome the effects of un-
certainty in our model of a system but only if the sensor measurement is
sufficiently accurate. Hence we must perform a design tradeoff between sus-
ceptibility to model error and susceptibility to sensor error.
Our brief introduction to the properties of a feedback system is now over.
We have seen that feedback can aid in overcoming the effects of system uncer-
tainty, but at the cost of requiring sensor measurements. Further exploration
of the tradeoffs associated with feedback design is a major topic of this text-
book. We now resume our introductory chapter with reviews of topics from
classical and modern control theory.
Classical Control
We shall work primarily with system models that are linear and time-invariant.
Such models have limited efficacy in describing the real world, which pos-
sesses neither of these properties. Nevertheless linear design and analysis
techniques are used extensively in control engineering. In this section, we
review classical control concepts that are governed by the transfer function
of a single input, single output (SISO) linear time-invariant system.
1.2 Terminology
We pause to introduce some terminology that we use in the remainder of this
section, and throughout the book.
Denote the open and closed left and right halves of the complex plane by
OLHP, CLHP, ORHP, and CRHP. Next, consider a polynomial
p(s) = a
0
s
n
+ a
1
s
n−1
+ . . . + a
n−1
s + a
n
, (1.10)
with a
0
,= 0. We say that p(s) has degree n, and write deg(p(s)) = n. A
complex number z is a zero of p(s) if it is a root of the equation p(s) = 0.
Any polynomial p(s) of degree n has n zeros, ¦z
i
, i = 1, . . . , n¦, and may be
8 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
factored as p(s) =

n
i=1
(s − z
i
). Two polynomials p(s) and q(s) are said to
be coprime if they have no common zeros, and thus no common factors. A
polynomial is Hurwitz if all its zeros lie in the OLHP.
A rational transfer function has the form G(s) = N(s)/D(s), where N(s)
and D(s) are polynomials. Such a transfer function is proper if deg(N(s)) ≤
deg(D(s)), and strictly proper if deg(N(s)) < deg(D(s)). The relative degree
of G is equal to deg(D(s)) − deg(N(s)). We shall often assume that N(s)
and D(s) are coprime, in which case we say that N(s)/D(s) is a coprime
factorization of G(s). In this case the zeros of G(s) are those of N(s), and
the poles of G(s) are the zeros of D(s). A rational transfer function is stable
if it has no poles in the CRHP. We denote the unit step function by 1(t).
1.3 Frequency Response
One reason for the widespread use of transfer function models is the great
utility of frequency response concepts. Recall that Fourier analysis allows us
to decompose a time signal into a sum of sinusoids, using either a Fourier
series or a Fourier transform, as appropriate. The assumption of a linear
time invariant system allows us to study the response of the system to an
arbitrary signal by studying the response of the system to each frequency
component of the signal.
We now state the fundamental result underlying frequency response anal-
ysis of linear systems.
Lemma 1.1 Assume that G(s) in Figure 1.7 is proper and stable. Suppose
that the input is given by u(t) = sin(ωt + φ), t ≥ 0. Then, as t → ∞, the
output satisfies y(t) →y
ss
(t), where
y
ss
(t) = [G(jω)[ sin(ωt + φ +∠G(jω)). (1.11)
In words, the steady state response of a stable linear time invariant system to
a sinusoidal input with frequency ω is a sinusoid whose frequency is the same
as that of the input, but whose magnitude and phase differ from those of the
input by amounts given by the transfer function of the system evaluated at
frequency ω.
It is a common misconception among students that Bode plots are not
defined for an unstable system. This belief is not true: given any transfer
function G(s) one can certainly plot the magnitude and phase vs. frequency.
1.4. CLOSED LOOP RESPONSE 9
G(s)
u(t) y(t)
Figure 1.7: Stable Linear Time Invariant System
It is true that the Bode plot of an unstable system does not correspond to the
steady state response of the system to a sinusoidal input. Indeed, instability
implies that the system output never reaches a steady state!
Finally, note that the unit step function may be viewed as a sinusoid with
φ = π/2 and ω = 0. Hence it follows that the steady state response to a unit
step input, u(t) = 1(t), is given by y
ss
= G(0). Because G(0) determines the
response of a linear system to an input that is constant for t > 0, G(0) is
termed the DC gain of the system.
1.4 Closed Loop Response
Consider the feedback system depicted in Figure 1.8, where P(s) and C(s)
Σ
C(s) P(s)
Σ
d
O
(t)
Σ
-
r(t) e(t)
u(t)
n(t)
y(t)
v(t)
Σ
d
I
(t)
Figure 1.8: Single Input, Single Output Feedback System
denote the transfer functions of the plant and controller, respectively. The
various signals are the command input r(t), the system output y(t), the
control input u(t), the measured error e(t), the input and output disturbances
d
I
(t) and d
O
(t), and measurement noise n(t). When an input disturbance is
present, we denote the controller output by v(t) to distinguish it from the
plant input that will differ due to the disturbance. Define the open loop
10 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
transfer function
L(s) = P(s)C(s), (1.12)
sensitivity function
S(s) =
1
1 +L(s)
, (1.13)
and complementary sensitivity function
T(s) =
L(s)
1 + L(s)
. (1.14)
Motivation for the terminology “sensitivity function” will be seen in Sec-
tion 1.8. The term “complementary sensitivity function” follows from the
identity
S(s) +T(s) = 1. (1.15)
As an exercise, the reader should verify that the response of the closed
loop system is given by
Y (s) = S(s)D
O
(s) + S(s)P(s)D
I
(s) + T(s)R(s) −T(s)N(s) (1.16)
E(s) = S(s) (R(s) −N(s) −D
O
(s) −P(s)D
I
(s)) (1.17)
U(s) = C(s)S(s) (R(s) −N(s) −D
O
(s)) + S(s)D
I
(s). (1.18)
The transfer function describing the control response satisfies the handy iden-
tity
C(s)S(s) = P
−1
T(s). (1.19)
It follows from (1.16)-(1.19) that the sensitivity and complementary sensi-
tivity functions describe the response of the feedback system to exogenous
inputs.
Unity vs. Nonunity Feedback
The feedback system in Figure 1.8 is termed a unity feedback system because
the gain in the feedback path is equal to one. A nonunity feedback system
is depicted in Figure 1.9. Here the transfer function H(s) may be present
due to sensor dynamics, filtering, and/or use of a two degree of freedom
feedback configuration (cf. Section 1.13). Let us extend the terminology
used to describe the response of a unity feedback system to the more general
case. To do so, we suppose that we break the feedback loop as shown in
1.4. CLOSED LOOP RESPONSE 11
Σ
C(s) P(s)
Σ
-
r(t)
u(t)
y(t)
H(s)
n(t)
Σ
d
O
(t) d
I
(t)
e(t)
Σ
Figure 1.9: Nonunity Feedback
Figure 1.10, inject a signal v
in
(t), and compute the response v
out
(t) with all
other inputs set equal to zero. It is easy to verify that
V
out
(s) = −L(s)V
in
(s), (1.20)
where
L(s) = H(s)P(s)C(s). (1.21)
Note that the difference between the input and output signals is given by Make a separate
section for “Return
Difference and Sta-
bility Radius”.
V
in
(s) −V
out
(s) = (1 + L(s))V
in
(s), (1.22)
thus motivating the terminology return difference for the transfer function 1+
L(s). The sensitivity and complementary sensitivity functions may continue
to be defined by S(s) = 1/(1 + L(s)) and T(s) = 1 − S(s). It is left as
an exercise for the reader to derive equations similar to (1.16)-(1.18), and to State these equa-
tions in the text. show that the command response is no longer governed by the complementary
sensitivity function.
Σ C(s)
P(s)
Σ
-
r(t)
u(t)
y(t)
H(s)
n(t)
Σ
d(t)
v
in
(t) v
out
(t)
Figure 1.10: Breaking the Loop to Compute an Open Loop Transfer Function
12 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
Performance Outputs
Sometimes the system variable in which we are most interested is inaccessible
to measurement, and we must instead feed back a system variable for which
we do have a sensor. This situation is depicted in Figure 1.11, where we let
“y” denote the sensed output, and “z” the performance output. Suppose we
wish to command z to a desired steady state value z

, and that we know
the DC gains P
y
(0) and P
z
(0). Then setting F = P
y
(0)P
−1
z
(0) allows us
to translate a desired setpoint for the performance variable to one for the
sensed variable, and forcing y(t) → y

will also force z(t) → z

. In Sec- Put this discussion
in a separate archi-
tecture section.
P
z
z
P
y
y
u
Σ
C
-
e
y
r = z
*
F
y
*
Figure 1.11: Performance vs. Measured Outputs
tion 1.1, we considered the case of a static system, and studied the use of
feedback to attenuate the effects of disturbances and parameter variations.
As an exercise, the student should repeat this analysis, and determine the
effect that disturbances and parameter variations have upon the ability of
the performance variable z in Figure 1.11 to track a reference input r = z

.
In particular, compare the effect of uncertainty in P
y
to that in P
z
.
Measured vs. True Error
It is important to note that the error signal in the feedback loop of Figure 1.8
is equal to the difference between the command and the measurement of the
system output. The measured and actual system outputs may differ, for
example, due to the presence of sensor noise or a nonunity transfer function
in the feedback path. When calculating the true, as opposed to the measured,
error signal, it is often convenient to consider the feedback diagram shown
in Figure 1.12, where the transfer function H(s) is included to describe a
potentially nonunity gain feedback path. To illustrate the difference, we
note that the true and measured error signals are given by
1.5. INPUT/OUTPUT STABILITY 13
E
t
(s) = (1 −P(s)C(s)S(s)) R(s) + P(s)C(s)S(s)H(s)N(s) (1.23)
E
m
(s) = S(s)R(s) −S(s)H(s)N(s). (1.24)
Σ
C(s) P(s)
Σ
-
r(t) e
m
(t)
u(t)
y(t)
H(s)
Σ
e
t
(t)
-
n(t)
Figure 1.12: True vs. Measured Error
As we noted in our discussion of Figure 1.6, differences between the true
and measured outputs will compromise our ability to use feedback. To sim-
plify notation, we will often use e(t) to denote the input to the controller;
whether this signal represents the true or measured error must be determined
from the context.
1.5 Input/Output Stability
Several different types of stability are encountered when studying feedback
control systems. For example, Lyapunov stability requires the unforced re-
sponse of a system to nonzero initial conditions to be well behaved. In ap-
plications, one must always insure that the response of a system to bounded
inputs remains bounded, and thus the appropriate notion is that of bounded
input, bounded output (BIBO) stability. We say that a system is BIBO
stable if the response of the system output to any bounded input signal is
also bounded. It is a standard result that a system described by a rational
transfer function G(s) is BIBO stable precisely when G(s) has no poles in
the Closed Right Half Plane (CRHP). In this textbook, stability will always
mean that a system has no poles in the CRHP.
Assessing the input/output stability of a system that is itself the inter-
connection of other subsystems requires care. To see why this is so, consider
14 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
the feedback system in Figure 1.13. Many textbooks state that this system
C(s) P(s)
Σ
r(t)
y(t)
-
Figure 1.13: Feedback System with One External Input and One Output
Signal
is stable if the transfer function T(s) mapping r(t) to y(t) is BIBO stable.
Unfortunately, this characterization of stability neglects the possibility that
unstable pole-zero cancellations may exist between the plant and controller.
Students sometimes believe that the reason such cancellations are problem-
atic is that they cannot be made exactly. While this fact is true, even if
such cancellations could be made with infinite precision, the feedback sys-
tem would not be stable in any meaningful sense. We illustrate with an
example.
Example 1.2 Suppose first that the feedback system in Figure 1.13 has
plant and controller given by
P(s) =
s −1
s + 1
, C(s) =
1
s −1
. (1.25)
Then T(s) is stable, but the transfer function C(s)S(s) is not:
T(s) =
1
s + 2
, C(s)S(s) =
1
s −1
s + 1
s + 2
. (1.26)
Suppose next that
P(s) =
1
s −1
, C(s) =
s −1
s + 1
. (1.27)
In this case, T(s) is unchanged, and C(s)S(s) is stable, but the transfer
function S(s)P(s) is not:
C(s)S(s) =
s −1
s + 2
, S(s)P(s) =
s + 1
s + 2
1
s −1
. (1.28)
To see why it is important that both S(s)P(s) and C(s)S(s) are stable,
we add an additional input d(t), as shown in Figure 1.14, and define the
1.5. INPUT/OUTPUT STABILITY 15
C(s) P(s)
y(t)
Σ
r(t)
-
Σ
d(t)
u(t)
Figure 1.14: Feedback System with Additional Signals for Stability Analysis
control signal u(t) as an additional output. If the transfer function S(s)P(s)
is unstable, then the response of y(t) to bounded disturbances d(t) will grow
without bound. In applications, there will always exist disturbances at the
actuator interface, and thus S(s)P(s) is required to be stable. Alternately,
if C(s)S(s) is unstable, then the response of the control signal u(t) to a
bounded input r(t) will grow without bound. In practice, there always exist
limits on the permissible size of the control signal, and thus C(s)S(s) must
also be stable.
In each scenario described in Example 1.2, the system has an unstable
mode at s = 1 that is hidden in the response of y(t) to r(t). One way to avoid
difficulties with unstable hidden modes is to use state variable descriptions of
the plant and controller to compute a state variable description of the closed
loop system. Any unstable hidden modes will appear as unstable closed loop
eigenvalues that are either uncontrollable or unobservable (cf. Chapter 2).
An alternate approach is to examine sufficiently many closed loop transfer
functions that any unstable hidden modes are guaranteed to appear in at least
one of them. Hence we introduce an external input, and define an additional
output, between each pair of subsystems of an interconnected system. As
we have already seen in our discussion of Figures 1.13-1.14, the closed loop
response is determined by the four closed loop transfer functions S(s), T(s),
S(s)C(s), and S(s)P(s):
Y (s) = S(s)P(s)D(s) +T(s)R(s) (1.29)
U(s) = S(s)D(s) + S(s)C(s)R(s). (1.30)
Definition 1.3 The feedback system in Figure 1.8 is stable if and only if the
four transfer functions S(s), T(s), S(s)P(s), and C(s)S(s) have no poles in
the closed right half plane.
The above stability definition is sometimes termed the “four transfer func-
tion” characterization of stability. Note that, because T(s) = 1 −S(s), sta-
16 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
bility of one of these transfer functions implies stability of the other. Hence
we really only inspect three closed loop transfer functions to determine closed
loop stability. Because the analogous result for multiple input, multiple out-
put systems does require that four transfer functions be inspected to deter-
mine stability, we prefer to use all four transfer functions in Definition 1.3.
As discussed in Problem 2.6, a feedback system with three subsystems, such
as that in Figure 1.9, requires that nine input/output relations be inspected
to determine closed loop stability.
Our next result is a test for stability that is equivalent to that in Defini-
tion 1.3. To derive this stability test, consider coprime factorizations of the
plant and controller, obtained by writing
P(s) =
N
P
(s)
D
P
(s)
, C(s) =
N
C
(s)
D
C
(s)
, (1.31)
where (N
P
(s), D
P
(s)) and (N
C
(s), D
C
(s)) are each pairs of coprime polyno-
mials.
Theorem 1.4 The feedback system in Figure 1.8 is stable if and only if the
closed loop characteristic polynomial
∆(s) D
P
(s)D
C
(s) + N
P
(s)N
C
(s) (1.32)
has no zeros in the closed right half plane.
Proof: The four closed loop transfer functions may be written as
S(s) =
D
P
(s)D
C
(s)
D
P
(s)D
C
(s) + N
P
(s)N
C
(s)
(1.33)
T(s) =
N
P
(s)N
C
(s)
D
P
(s)D
C
(s) + N
P
(s)N
C
(s)
(1.34)
S(s)P(s) =
N
P
(s)D
C
(s)
D
P
(s)D
C
(s) + N
P
(s)N
C
(s)
(1.35)
C(s)S(s) =
D
P
(s)N
C
(s)
D
P
(s)D
C
(s) + N
P
(s)N
C
(s)
. (1.36)
Assume first that ∆(s) has no CRHP zeros. It follows immediately from
(1.33)-(1.36) that the four transfer functions have no CRHP poles. Hence a
sufficient condition for closed loop stability is that ∆(s) have no CRHP zeros.
1.6. INTEGRAL CONTROL AND STEP RESPONSE 17
To show necessity, assume that ∆(p) = 0. We then prove by contradiction
that at least one of the four closed loop transfer functions must have a pole
at p. Suppose not. Then the identity
_
S(s) C(s)S(s)
S(s)P(s) T(s)
_
=
_
D
P
(s)
N
P
(s)
_
_
D
C
(s) N
C
(s)
¸
D
P
(s)D
C
(s) + N
P
(s)N
C
(s)
(1.37)
implies that either D
P
(p) = N
P
(p) = 0 and/or D
C
(p) = N
C
(p) = 0. How-
ever, either of these conditions violates the assumption that the pairs of
polynomials (N
P
(s), D
P
(s)) and (N
C
(s), D
C
(s)) are each coprime. It follows
that closed loop stability implies that ∆(s) has no CRHP zeros.
Note that we could have also defined stability by requiring that the closed
loop characteristic polynomial have no CRHP zeros, and then shown that
this definition is equivalent to the four transfer functions (1.33)-(1.36) being
stable.
The motivation for considering several closed loop transfer functions in
our definition of stability is that we may avoid unstable pole zero cancella-
tions. If in fact C(s) and/or P(s) is stable, fewer transfer functions required
to determine stability.
Corollary 1.5 (i) Assume that P is stable. Then the SP is stable if and
only if S is stable.
(ii) Assume that C is stable. Then the CS is stable if and only if S is
stable.

It follows from Corollary 1.5 that if both C and P are stable, then we need
check only one closed loop transfer function to assess closed loop stability.
1.6 Integral Control and Step Response
All classical feedback control textbooks discuss the use of integral control to
achieve zero steady state tracking error in response to step commands. In
this section we use the factorizations developed in Section 1.5 to characterize
the response of a feedback system to step disturbances. As we shall see,
18 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
only in special cases does the use of integral control achieve zero steady state
tracking error in response to such disturbances.
Suppose that L(s) is factored as
L(s) =
_
1
s
_
k
L
0
(s), (1.38)
where L
0
(s) has no poles or zeros at s = 0. Then we say that L(s) is “Type
k”. If k > 0, then lim
s→0
[L(s)[ = ∞, and we say that L(s) has infinite DC
gain.
We have already proven the following result as a consequence of Lemma 1.1;
the following proof, which uses the final value theorem, is useful in general-
izations.
Lemma 1.6 Consider the linear system in Figure 1.7, and assume that G(s)
is proper and stable. Suppose that the input is a step command u(t) = u
0
1(t).
Then the output satisfies y(t) →y
ss
, where
y
ss
= G(0)u
0
. (1.39)
Proof: The Laplace transform of y(t) is given by
Y (s) =
G(s)u
0
s
. (1.40)
Since G(s) is stable, it follows that sY (s) is also stable. Applying the Final
Value Theorem yields
y
ss
= lim
s→0
sY (s), (1.41)
and substituting (1.40) into (1.41) yields (1.39).
Let’s now apply (1.39) to compute the steady state response of a feedback
system with L(s) given by (1.38) to a step command.
Theorem 1.7 Assume that k ≥ 1 and that the feedback system in Figure 1.8
is stable. Then the response of e(t) to a step command r(t) = r
0
1(t) satisfies
e
ss
= lim
t→∞
e(t) = 0. (1.42)
1.6. INTEGRAL CONTROL AND STEP RESPONSE 19
Proof: The Laplace transform of e(t) satisfies E(s) = S(s)R(s), where
R(s) = r
0
/s. Hence applying Lemma 1.6 yields
e
ss
= S(0)r
0
. (1.43)
Consider the closed loop characteristic polynomial (1.32) and the expression
(1.33) for the sensitivity function. The assumption of closed loop stabil-
ity implies that ∆(0) ,= 0, and the assumption that k > 1 implies that
D
P
(0)D
C
(0) = 0. Hence the factorization (1.33) implies that S(0) = 0, and
(1.42) follows.
One advantage of integral control is that the steady state tracking error
will equal zero even if the system model is inaccurate. Such model inaccu-
racies may occur in two ways. First suppose that the true plant differs from
the model used to design the controller. Then (1.42) will continue to hold
as long as the model errors are not so large as to destabilize the system.
Suppose next that the system is subjected to a step disturbance at the plant
output. Then a proof identical to that of Theorem 1.7 may be followed to
show that such a disturbance yields zero steady state error:
Corollary 1.8 Assume that k ≥ 1 and that the feedback system in Figure 1.8
is stable. Then the response of e(t) to a step disturbance at the plant output,
d
O
(t) = d
0
1(t), satisfies (1.42).
Whether a system with integrators in L(s) also rejects step input distur-
bances depends upon whether the integrator is in the plant or the controller.
Theorem 1.9 Assume that the feedback system in Figure 1.8 is stable. Sup-
pose that L(s) is Type 1. Then the response of e(t) to a step disturbance at
the plant input, d
I
(t) = d
0
1(t), satisfies
(a) e
ss
= 0, if the integrator is in C(s)
(b) e
ss
,= 0, if the integrator is in P(s)

If P(s) does not have an integrator, then it may be introduced in the
controller, by requiring that C(s) = C
0
(s)/s, where C
0
(0) ,= 0. For example,
we may use a Proportional-Integral (PI) controller C(s) = K
P
+K
I
/s. Note
that the use of an integral controller is feasible only if the DC gain of the
20 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
plant satisfies P(0) ,= 0. Otherwise, the closed loop system will have an
unstable pole-zero cancellation at s = 0. In Chapter 3 of this textbook,
wherein we implement integral control using state space techniques, we shall
need to seek analogous feasibility conditions.
1.7 Transient Step Response
Incorporate some
material from the
HW problem here,
and refer to the
HW problem.
Suppose there exist stable pole-zero cancelations between P and C. Then
the expressions (1.33)-(1.36) may be used to show that these poles will also
appear in the closed loop transfer functions. The reader is encouraged to use
this fact to answer a question students frequently ask when performing root
locus design: Is there any harm in canceling a slow stable plant pole with
a controller zero? Hint: the slow pole will appear in the transfer function
governing response to input disturbances, which might or might not matter,
depending on the application.
1.8 Sensitivity to Parameter Variations
We now show that the sensitivity function describes the effect of small vari-
ations in the plant upon the closed loop response.
The response of the closed loop system to a command input is given by
Y (s) = T(s)R(s). If we suppose that the true plant deviates from its nominal
value
ˆ
P = P(s) + ∆P(s), (1.44)
then these deviations will affect the closed loop response, yielding
ˆ
T(s) = T(s) + ∆T(s). (1.45)
We shall now determine whether the presence of the feedback loop tends to
amplify or to attenuate the effects of the plant uncertainty.
As in many engineering calculations, it is useful to remove dependence
upon units by normalizing the deviations in P(s) and T(s) by their nominal
values. Hence we shall compare the sizes of the relative deviations of P and
T from their nominal values
∆P(s)
P(s)
and
∆T(s)
T(s)
.
1.8. SENSITIVITY TO PARAMETER VARIATIONS 21
(Multiplying each of these ratios by 100 yields percent deviation from nomi-
nal.)
Differentially Small Uncertainty
If plant deviations are “small”, then we can determine their effect upon the
closed loop response by looking at a first order approximation. That is, we
examine the derivative dT(s)/dP(s). Because we are interested in relative
deviations from nominal, we instead consider the logarithmic derivative
d log T(s)
d log P(s)
=
dT(s)/T(s)
dP(s)/P(s)
. (1.46)
To compute the logarithmic derivative, we use the definitions (1.13)-(1.14)
of S and T to show that
1
dT
dP
=
C
1 +PC

PC
2
(1 + PC)
2
=
C
(1 + PC)
2
,
and thus
d log T(s)
d log P(s)
= S(s). (1.47)
It follows from (1.47) that, at frequencies for which [S(jω)[ < 1, the
presence of the feedback loop will attenuate the first order effects of plant
variations. If [S(jω)[ > 1, then feedback increases these effects. Hence we see
that the (nominal) sensitivity function governs the effect of small variations
in the plant upon closed loop response.
Large Uncertainty
In the previous section we saw that the nominal sensitivity function describes
the effect of “small” plant variations upon the closed loop response. Because
these results are based upon a first order approximation to the effects of plant
uncertainty, they may fail to be useful for larger modeling errors. Indeed,
consider the following example.
1
We shall often suppress dependence on “s” to simplify the notation.
22 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
Example 1.10 Consider Figure 1.15, which contain the Nyquist plots of
a system with open loop transfer function L(s) =
1
s(s+1)
and a perturbed
version of this system with
ˆ
L(s) =
1
s(s+1)(s+0.5)
. The additional pole in
ˆ
L(s)
may represent dynamics that are not included in the model L(s). As the
figure shows, the extra pole causes the Nyquist plot of
ˆ
L(s) to have the
incorrect number of encirclements of the critical point. Because the closed
−5 −4 −3 −2 −1 0 1 2 3 4 5
−5
−4
−3
−2
−1
0
1
2
3
4
5
real
i
m
a
g
i
n
a
r
y
Nyquist plots of 1/(s
2
+s) and 1/((s
2
+s)(s+0.5))
nominal
perturbed
Figure 1.15: Nyquist Plots of Nominal and Perturbed Systems
loop system is unstable, the first order approximation, which depends only
upon the nominal plant, is useless in relating closed loop variations to those
of the plant.
We now derive a formula relating open and closed loop errors for plant
variations that are not necessarily “differentially small”. Let ∆T be defined
by (1.45). Then some calculations yield
∆T =
(P + ∆P)C
1 + (P + ∆P)C

PC
1 + PC
=
∆PC
(1 + (P + ∆P)C)(1 + PC)
=
ˆ
S∆PCS (1.48)
1.9. A FUNDAMENTAL IDENTITY AND TRADEOFF 23
It follows from (1.48) that
∆T(s)
T(s)
=
ˆ
S(s)
∆P(s)
P(s)
(1.49)
We see from (1.49) that if the plant variations are not “differentially small”, Perhaps state
(1.49) as a propo-
sition.
then it is the true (not the nominal) sensitivity function that relates plant
errors to closed loop errors. Of course, the true sensitivity function isn’t
known, and may even be unstable!
Note however that, in the limit as ∆P →0,
∆T
T
P
∆P

d log T
d log P
= S (1.50)
which agrees with our earlier result. We could also state
here a simple sta-
bility robustness
test involving T.
1.9 A Fundamental Identity and Tradeoff
The potential ability of feedback to achieve the benefits of feedback is com-
promised by the tradeoff imposed by the identity
S(jω) + T(jω) = 1, (1.51)
which tells us that if [S(jω)[ ¸1, then T(jω) ≈ 1. It follows that any noise
in the sensor measurements is passed directly through to the system output.
On the other hand, requiring [T(jω)[ ¸ 1 in order to reject sensor noise
implies that S(jω) ≈ 1, and thus that disturbances will not be attenuated. Should emphasize
that this is NOT
a tradeoff between
disturbance atten-
uation and com-
mand response.
Typically, the signals one wishes to track have energy concentrated at
low frequencies. Such signals include steps, ramps, and other signals that
vary relatively slowly. Hence one attempts to have small sensitivity at these
frequencies so that tracking error is small despite the presence of low fre-
quency disturbances and model errors. To achieve these goals, sensors are
often assumed (perhaps by virtue of periodic recalibration) to be accurate
at low frequencies. Sensors inevitably become noisy at high frequencies, and
thus we try to have small complementary sensitivity at high frequencies to
achieve small noise response. Hence typical design specifications will require,
roughly, that
• [S(jω)[ ¸1 at low freqencies
24 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
• [T(jω)[ ¸1 at high freqencies
Unfortunately, it is possible that frequencies exist for which the system
response satisfies [S(jω)[ ¸1 and [T(jω)[ ¸1. Hence, the feedback system
will actually amplify both disturbances and noise at such frequencies!
Sensitivity and the Nyquist Plot
To obtain insight into when this unfortunate circumstance may arise, note
that at each frequency [S(jω)[ is inversely proportional to the distance from
the Nyquist plot to the critical point, as depicted in Figure 1.16. It follows
L
L(jω)
|S(jω)|<1
|S(jω)|>1
-1
Figure 1.16: The Sensitivity Function and the Nyquist Plot
that [S(jω)[ < 1 if the Nyquist plot is outside the unit circle centered at the
critical point. At frequencies for which the Nyquist plot lies inside this unit
circle, then [S(jω)[ > 1, and the feedback system amplifies disturbances at
these frequencies! In particular, systems with poor gain and phase margins
will have large peaks in the sensitivity function. It follows from the identity
(1.51) that [S(jω)[ ¸ 1 if and only if [T(jω)[ ¸ 1, and thus that noise
response will also be large.
1.10 Control Signal
In all engineering systems the magnitude of the control signal is constrained
by limits imposed by the actuators. Hence it is necessary to monitor the
1.11. RELATIONBETWEEN OPENAND CLOSED LOOP SYSTEMPROPERTIES25
size of the control inputs carefully. Let’s consider the response to an output
disturbance. It follows from (1.18) and (1.19) that
U(jω) = −C(jω)S(jω)D
O
(jω)
= −P
−1
(jω)T(jω)D
O
(jω). (1.52)
Suppose that [S(jω)[ ¸1, so that the disturbance is attenuated through use
of feedback control. However, the identity (1.51) implies that T(jω) ≈ 1,
and thus the control response satisfies
U(jω) ≈ −P
−1
(jω)D
O
(jω). (1.53)
Most engineering systems have a low-pass characteristic, and thus the plant
gain will become small beyond some frequency. It follows from (1.53) that
achieving disturbance attenuation at frequencies for which the plant has small
gain will result in control signals with large amplitude. Furthermore, these
signals will have a high frequency characteristic that will also cause the ac-
tuators to move rapidly. This fact limits the use of feedback (or any other)
control to achieve command tracking.
1.11 Relation Between Open and Closed Loop
System Properties
In classical control texts one rarely thinks of performing a design by shaping
the closed loop transfer functions directly. Instead, one shapes the open loop
transfer function L(s) = P(s)C(s) by looking at Bode, Nyquist, and root
locus plots and compensating the system with PI, PID, lead and lag filters.
This procedure is referred to as open loop shaping.
Open loop shaping is really an indirect method of shaping the closed loop
transfer functions, because of the following approximations:
[L(jω)[ ¸1 ⇔[S(jω)[ ¸1 and T(jω) ≈ 1 (1.54)
[L(jω)[ ¸1 ⇔[S(jω)[ ≈ 1 and T(jω) ¸1 (1.55)
[L(jω)[ ≈ 1 ⇒[T(jω)[ ≈ [S(jω)[ ≈
¸
0.5
1 + cos(∠L(jω))
(1.56)
It follows from (1.56) that
[L(jω)[ ≈ 1 and ∠L(jω) ≈ −180

⇔[S(jω)[ ¸1 and [T(jω)[ ¸1 (1.57)
26 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
This is consistent with the fact that [S(jω)[ is inversely proportional to the
distance from the Nyquist plot to the critical point (cf. Figure 1.16).
1.12 Open Loop Design Specifications
The relations between open loop gain and phase and feedback properties
allows us to impose design specifications upon open loop gain and phase,
[L(jω)[ and ∠L(jω).
Nominal Stability L(jω) must satisfy the Nyquist Encirclement Criterion
Performance Tracking, disturbance rejection, and insensitivity to small pa-
rameter variations require that [S(jω)[ ¸ 1 at low frequencies. All
these conditions are associated with the benefits of feedback, which we
generally require over a low frequency range. Hence, we require that
[L(jω)[ ¸1 at low frequencies.
Bandwidth Limitations The need to have small response to noise, lim-
ited control activity, and to maintain stability robustness against large
modeling errors, requires that the bandwidth of the closed loop system
be limited, and thus that [T(jω)[ ¸ 1 at high frequencies. Hence, we
require that [L(jω)[ ¸1 at high frequencies.
Phase Margins At intermediate frequencies, where [L(jω)[ ≈ 1, we require
that [S(jω)[ and [T(jω)[ are bounded. This implies that it is neces-
sary to keep ∠L(jω) bounded away from ±180

near gain crossover
frequency.
These considerations lead to the Bode loop-shaping specification which states
that, in addition to satisfying the Nyquist stability criterion, L(jω) should
possess
• high gain at low frequencies to achieve performance and benefits of
feedback,
• low gain at high frequencies to achieve robustness and avoid costs of
feedback,
• phase bounded away from ±180

near gain crossover frequency.
The Bode loop-shape specification is depicted in Figures 1.17-1.18.
1.12. OPEN LOOP DESIGN SPECIFICATIONS 27
10
-2
10
-1
10
0
10
1
10
2
Bode loop spec - gain
ω, rad/sec
|L(jω)|
ω
1
ω
2
|L(jω)|
m
a
g
n
i
t
u
d
e
Figure 1.17: Bode Gain Specification
-150
-100
-50
0
50
100
150
Bode loop spec - phase
-180
180
ω, rad/sec
ω
1
ω
2
/ L(jω)
/ L(jω)
Figure 1.18: Bode Phase Specification
28 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
1.13 Two Degree of Freedom Control
The feedback system depicted in Figure 1.8 is sometimes referred to as having
One Degree of Freedom (1DOF) because the controller only depends upon
the measured error signal. In some systems, the only signal available to the
controller is indeed the error signal. In many systems, however, a separate
measurement of the command signal is available, and thus the command and
output can be processed separately. We shall refer to such a system as having
a Two Degree of Freedom (2DOF) control architecture.
There are many ways to introduce two degrees of freedom into a feed-
back system. For example, consider the nonunity feedback system depicted
in Figure 1.9. It is easy to verify that this structure allows the command
response to be manipulated independently from the response to sensor noise.
Precompensation
An alternate 2DOF architecture is shown in Figure 1.19. As we shall see, the
Σ
C(s) P(s)
-
r(t)
e(t)
u(t)
y(t)
G(s)
Figure 1.19: Two Degrees of Freedom with Precompensation
Where will we see
this?
architecture in Figure 1.19 is useful in achieving unity closed loop DC gain,
and/or in achieving a desired closed loop transient response.
Feedforward to the Control Signal
The architecture in Figure 1.20 allows the control signal to respond more
rapidly to a command. In fact, the nonlinear implementation of a controller Refer to homework
problem where we
do this.
will use a steady state response map to drive the actuators to new steady
state values when a setpoint change is commanded. This is desirable because
it relieves the feedback loop of the burden of doing so. Nonlinear implemen-
tation issues will be discussed in a later chapter. For now, we describe the Where?
linear version of this idea.
1.13. TWO DEGREE OF FREEDOM CONTROL 29
Σ
C(s)
-
e(t)
P(s)
r(t)
u(t)
y(t)
G
Σ
Figure 1.20: Two Degrees of Freedom with Feedforward to the Control Signal
The error signal in Figure 1.20 is given by
E(s) = (1 + P(s)C(s))
−1
R
eff
(s), (1.58)
where R
eff
(s) is the effective command
R
eff
(s) (1 −P(s)G)R(s). (1.59)
If G = P
−1
(0), then the DC component of the effective command is equal to
zero:
R
eff
(s) = (1 −P(s)P
−1
(0))R(s). (1.60)
Essentially, feeding forward the command to the actuator makes the response
quicker. Furthermore, with G = P
−1
(0) the control problem is partitioned
into two parts. The nominal steady state response will be satisfactory be-
cause of the feedforward term, and the feedback loop needs only to adjust
the transient response, and reject disturbances and the reduce sensitivity to
parameter variations.
Of course, one can also let the feedforward term in Figure 1.20 be dynam-
ical. In fact, we shall see that an observer-based state feedback compensator Point to where we
do this. has this structure. As we progress through the textbook, we shall point out
various properties and potential advantages of two degree of freedom control
architectures.
30 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
1.14. HOMEWORK PROBLEMS FOR CHAPTER 1 31
1.14 Homework Problems for Chapter 1
Problem 1.1
This problem illustrates the fact that the transfer function of a stable
linear time–invariant system governs the steady state response to a
sinusoidal input.
Find the steady state response of the system with transfer function
G(s) =
s
2
+ 0.1s + 1
s
2
+ s + 1
to sinusoidal inputs u(t) = sin(0.1t), sin(0.9t), and sin(10t). Do this by
(a) evaluating the gain and phase of the transfer function numerically,
(b) inspecting the Bode gain and phase plots to determine gain and phase
at the frequencies of interest,
(c) verifying the correct qualitative behavior from plots of the steady state
response to sinusoidal inputs.
The above procedure may be illustrated using a different transfer func-
tion. The following three plots were generated using the MATLAB m-file
“PB1 PS1.m”. Consider the transfer function
G(s) =
1
s
2
+ 0.1s + 1
. (1.61)
Bode gain and phase plots of G(s) are found in Figures 1.21-1.22.
The gain and phase of G(jω) may be picked directly off the Bode plots
using the MATLAB command “ginput”. The following MATLAB commands
show you how to do this: In the final version,
I do not intend
to have any MAT-
LAB commands in
the text. All MAT-
LAB related mate-
rials will be avail-
able from a web
site.
>> [x,y] = ginput % pick off the gain at the desired frequencies
x = % frequency values
0.1000
1.0000
10.0000
y = % gain in absolute units (not dB) at these frequencies
32 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
10
−2
10
−1
10
0
10
1
10
2
10
−4
10
−3
10
−2
10
−1
10
0
10
1
ω, rad/sec
|
G
(
j
ω
)
|
1/(s
2
+ 0.1s + 1)
Figure 1.21: Bode Gain Plot for G(s) from (1.61)
10
−2
10
−1
10
0
10
1
10
2
−180
−160
−140
−120
−100
−80
−60
−40
−20
0
ω, rad/sec
p
h
a
s
e

o
f

G
(
j
ω
)
,

d
e
g
r
e
e
s
1/(s
2
+ 0.1s + 1)
Figure 1.22: Bode Phase Plot for G(s) from (1.61)
1.14. HOMEWORK PROBLEMS FOR CHAPTER 1 33
1.0308
10.0000
0.0104
>> [x,y] = ginput
x = % frequency values
0.1000
1.0334
10.3344
y = % phase in degrees at these frequencies
-0.8772
-100.0000
-179.8246
The steady state response to a sinusoidal input is found in Figure 1.23.
This plot is consistent with a gain of 10. Furthermore, y(t) lags u(t); we can
see this because each zero crossing of y(t) occurs after the respective zero
crossing of u(t). What determines the length of time that must pass before
the response approaches its steady state value?
0 10 20 30 40 50 60 70 80 90 100
−10
−8
−6
−4
−2
0
2
4
6
8
10
time,seconds
response to sinusoid
input, u
output, y
Figure 1.23: Steady State Response to the Input u(t) = sin t
34 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
Problem 1.2
In this problem you will study the qualitative relation between the
bandwidth and time response of a linear system.
A very important concept in feedback control is that of bandwidth. De-
spite the utility of this concept, it is difficult to define precisely; instead, we
refer to a “high bandwidth” or a “low bandwidth” system, using the term
qualitatively.
Using a Bode gain plot, bandwidth is defined loosely as “that frequency
beyond which the system no longer responds to a sinusoidal input”. Please
read the discussion of bandwidth in pages 343-344 of the handout from
Franklin, Powell, and Emami-Naeini. As stated in this reference, bandwidth
is a measure of the speed of response of a system.
Let us now investigate the relation between bandwidth and speed of re-
sponse for a general, stable linear system. Consider Bode gain plots of the
linear filter
G(s) =
p
s + p
, (1.62)
for various values of p > 0; these plots are found in Figure 1.24.
10
−3
10
−2
10
−1
10
0
10
1
10
2
−90
−80
−70
−60
−50
−40
−30
−20
−10
0
frequency, rad/sec
m
a
g
n
i
t
u
d
e
,

d
B
Bode Gain plots, 1st order filters
p=0.01
p=0.1
p=1.0
p=10.0
Figure 1.24: Bode Gain Plots of (1.62)
It is clear that the bandwidth of the system increases with the value of p.
Consider next the response of each of these filters to a unit step input: Note
1.14. HOMEWORK PROBLEMS FOR CHAPTER 1 35
0 2 4 6 8 10 12 14 16 18 20
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
time, seconds
Step responses, 1st order filters
p=0.01
p=0.1
p=1.0
p=10.0
Figure 1.25: Step Responses of (1.62)
that the response is very fast for the high bandwidth filters, and very slow
for the low bandwidth filters. The idea is that the filter removes the high
frequency components of the unit step. Recall that the Fourier transform of
a unit step u(t) is given by
U(jω) = πδ(ω) +
1

, (1.63)
where δ(ω) is the unit impulse. The filter attenuates the high frequency
portion of the step signal due to the term 1/jω.
The plots in Figures 1.24-1.25 were generated using the m-file “Prob2 PS1.m”.
(a) Repeat the above analysis for the second order system
G(s) =
ω
2
n
s
2
+ 2ζω
n
s + ω
2
n
(1.64)
Fix the value of ζ, and vary the natural frequency ω
n
. (For example, you
may use ζ = 0.5 and ω
n
= 1, 2, 5rad/sec.) How do bandwidth and speed
of response vary as ω
n
increases?
(b) For a One Degree of Freedom feedback system, such as that pictured in
Figure 1.26, the bandwidth of the closed loop transfer function from r
36 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
to y is often approximated by the gain crossover frequency of the open
loop transfer function L(s) = P(s)C(s). To illustrate, consider the open
loop system
L(s) =
ω
2
n
s(s + 2ζω
n
)
. (1.65)
Again, fix the value of ζ, compare the Bode gain plots of L(s) and T(s) =
L(s)/(1+L(s)) for various values of ω
n
, and comment on any trends you
see.
C(s) P(s)
Σ
-
r ( t )
y( t )
Figure 1.26: One Degree of Freedom Feedback System
1.14. HOMEWORK PROBLEMS FOR CHAPTER 1 37
Problem 1.3
In this problem you will review root locus, Bode, and Nyquist plots,
and design a controller using root locus techniques.
Consider a plant with transfer function
P(s) =
1
s(s + 1)
. (1.66)
It is possible to use root locus techniques to design a compensator C(s) to
stabilize this system using the feedback configuration in Figure 1.27 and to
achieve a closed loop step response with such desired characteristics as
(i) rise time t
r
< 0.5sec, and
(ii) overshoot < 20%.
C(s) P(s)
Σ
-
r ( t )
y( t )
Figure 1.27: Feedback System
(a) Find pole locations for a second order system with no zeros that will
yield a step response satisfying these specs. (You may use the rules of
thumb contained in, for example, the handout from Franklin, Powell,
and Emami-Naeini.)
(b) Are these pole locations achievable using a constant gain compensator?
A lag filter? A lead filter?
(c) Use root-locus techniques to design a lead compensator yielding these
pole locations. Inspect Bode plots of the compensator to verify that it
does produce phase lead.
38 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
(d) Evaluate the step response to determine whether the desired responses
are achieved. (If they are not achieved, how do you think your design
might be modified so that the specifications are satisfied?)
(e) Find Bode gain plots of S(s) and T(s).
(f) Make Nyquist and Bode plots of L(s), and use these to find the gain and
phase margins of the system.
To do parts (e)-(f), you will need the transfer functions L(s), S(s), and
T(s). These may be obtained from the transfer functions P(s) and C(s)
using the MATLAB commands:
nL = conv(nP,nC);
dL = conv(dP,dC);
[nT,dT] = feedback(nL,dL,1,1);
[nS,dS] = feedback(1,1,nL,dL);
Other useful MATLAB commands are as follows:
desired_poles = [pole1 pole2];
rlocus(nL,dL) % plots root locus for k > 0
hold on
plot(desired_poles,’*’) % plots desired poles on same axes
hold off
axis([-4 2 -4 4]) % resizes axes
% interactively selects a point on the root locus, finds the value of k
% that places the poles there, and computes all the resulting poles
[k,poles] = rlocfind(nL,dL)
Select a point in the graphics window
selected_point = -2.5000 + 1.1801i
k = 0.3057
poles =
-2.5000 + 1.1801i
-2.5000 - 1.1801i
Problem 1.4
1.14. HOMEWORK PROBLEMS FOR CHAPTER 1 39
In this problem you will see how a two degree of freedom control
architecture can allow the command response to be modified without
changing feedback properties. You will also see that an open loop
integrator renders the steady state step response insensitive to small
plant parameter variations.
As an illustration of Two Degree of Freedom control design, let us recon-
sider Problem 1.3. In this problem, you were asked to design a lead filter
yielding (i) rise time t
r
< 0.5 seconds, and (ii) overshoot < 20%. If the
desired pole locations are based on the design rules for second order systems
with no zeros, then Figure 3.17 and equation (3.38) of [8] show that ζ = 0.5
and ω
n
= 3.6 will meet the desired specifications. A potential difficulty is
that the extra pole and zero in the system due to the compensator may cause
these design rules to be violated, and thus the specifications may not be met
2
.
One way to remedy this problem is to use a precompensator, as shown in
Figure 1.28.
____
s(s+1)
1
G(s)
Σ
K(s+z)
(s+p)
-
r
1
r
2
y
Figure 1.28: Two Degree of Freedom Control with Precompensator
Let the transfer function from r
1
to y be denoted by
T(s) =
L(s)
1 + L(s)
.
(a) From your design
3
for Problem 1.3, find the poles and zeros of T(s).
Does the step response of y to r satisfy the design specs?
2
Some of you may have used the zero of the lead filter to cancel the stable plant pole,
and these comments will not apply to you.
3
If you chose the zero of the lead filter to cancel the stable plant pole, then instead use
the lead compensator C(s) = 38(s + 3.6)/(s + 13.4).
40 Chapter 1: WHAT YOU SHOULD KNOW: CLASSICAL
(b) Any poles and zeros of T(s) that lie in the Open Left Half Plane (OLHP)
may be cancelled outside the feedback loop using the precompensator
G(s). It is of course true that unstable poles and zeros cannot be can-
celled in this way. It is also probably not a good idea to cancel OLHP
poles and zeros that are close to the jω–axis, because any uncertainty
in their location could cause problems due to inexact cancellation. How-
ever, poles and zeros that are “far enough” into the OLHP can often be
cancelled with no problems.
Find a precompensator G(s) so that the transfer function from r
2
to y
is given by
T(s)G(s) =
ω
2
n
s
2
+ 2ζω
n
s + ω
2
n
,
where ζ = 0.5 and ω
n
= 3.6. Plot a step response to see if the specs on
rise time and overshoot have been met.
(c) Would you expect the lead filter in (a) to yield overshoot exceeding that
predicted by the closed loop pole locations (which were determined from
the rules for second order systems with no zeros)? Why or why not?
(d) In general, the problem in using a precompensator is that it depends upon
the nominal values of the plant parameters, and thus cannot account for
plant uncertainty. For this problem, do you expect that “small” modeling
errors at low frequencies in the Bode plot will cause problems in the
system response? Why or why not? In particular, do you expect small
modeling errors to cause significant errors in the steady state value of the
step response? Why or why not? (To help answer this question, it may
help to examine a plot of the sensitivity function.) Test your conjectures
by examining the step response obtained by letting the plant have an
uncertain gain K:
P(s) =
K
s(s + 1)
Let K = 1.5, 1.0, 0.8, 0.5, −0.01, −1.0, and explain the resulting step re-
sponses.
Note: The m-file PB1 PS2.m has been written to show you how to do
some of the calculations for this problem.
Chapter 2
What You Should Know:
Modern Control
Revised January 7, 2003.
41
42 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
We now review state-space models of linear time invariant systems, and
treat multiple input, multiple output (MIMO) systems. With the exception
of passing comments, we do not address time-varying systems in this book,
and treat nonlinear systems only when we discuss implementation issues. This chapter needs
more stuff added to
it.
In this section we review results from modern control using state feedback
and observer techniques. We shall consider the linear MIMO system
1
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
(2.1)
y = Cx + Du, y ∈ R
q
, x(0) = x
0
with transfer function P(s) = C(sI −A)
−1
B + D.
2.1 Preliminaries
We use several standard definitions and results pertaining to controllability
and observability of a linear time invariant system. The system (2.1) is
controllable if any initial state can be driven to any desired terminal state
in finite time. If (2.1) is controllable, then we also say that (A, B) is a
controllable pair.
The following test for controllability will prove extremely useful in the
remainder of the text.
Lemma 2.1 Consider A ∈ R
n×n
, B ∈ R
n×p
. Then (A, B) is controllable if
and only if
rank
_
sI −A B
¸
= n, ∀s ∈ C. (2.2)

Note that the rank condition (2.2) is always satisfied at values of s that are
not eigenvalues of A. The main theorem concerning state feedback states
that if (A, B) is controllable, then K may be chosen to place the eigenvalues
of A −BK arbitrarily. If λ is an eigenvalue of A for which (2.2) is satisfied,
then we say that λ is a controllable eigenvalue. Such eigenvalues may be
shifted by state feedback. Alternatively, if condition (2.2) is violated, then
A − BK will have an eigenvalue equal to λ for all state feedback matrices
K. We say that (A, B) is stabilizable if all unstable eigenvalues of A are
controllable.
1
We shall omit the direct feedthrough term “D” when it is irrelevant to the discussion.
2.2. STATE FEEDBACK AND OBSERVER DESIGN 43
The system (2.1) is observable if it is possible to determine the initial state
using only knowledge of the system input and output. If (2.1) is observable,
then we say that (A, C) is an observable pair. We shall use the following test
for observability.
Lemma 2.2 Consider A ∈ R
n×n
, C ∈ R
q×n
. Then (A, C) is observable if
and only if
rank
_
sI −A
C
_
= n, ∀s ∈ C. (2.3)

An eigenvalue of A is observable if the rank condition (2.3) is satisfied. We
say that (A, C) is detectable if all unstable eigenvalues of A are observable. Discuss state space
realizations of
some closed loop
transfer functions.
Discuss stability in
state space.
Discuss 4 transfer
function theorem.
2.2 State Feedback and Observer Design
Suppose that we introduce a state feedback control law
u = −Kx +Gr (2.4)
into the system (2.1). Then the state dynamics become
˙ x = (A −BK)x + BGr. (2.5)
The resulting system is depicted in Figure 2.1.
(sI-A)
-1
C
x
y
B
K
Σ
-
u
G
r
Figure 2.1: State Feedback
State feedback presumes that we have a sensor for each state of the system
we wish to control. In applications, this is usually not practical. Instead the
state feedback control law is applied to estimates of the states obtained using
44 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
an observer. To do so, we set up a model of the system (2.1), with state ˆ x,
and attempt to make the error ∆x = x − ˆ x small by driving the model
with the input to the system (2.1) and a term proportional to the output
estimation error ∆y = C∆x:
˙
ˆ x = Aˆ x + Bu + K(y − ˆ y), (2.6)
ˆ y = Cˆ x
The state estimation error has dynamics
∆˙ x = (A −LC)∆x. (2.7)
The major theorem concerning observer design says that if (A, C) is observ-
able, then the eigenvalues of A − LC may be placed arbitrarily. Hence, we
may design a stable observer so that the estimation error satisfies ∆x(t) →0
as t →∞.
Using the state estimate instead of the state for feedback control yields
the block diagram in Figure 2.2. The system in Figure 2.2 has order 2n, and
K
Σ
-
u
B
(sI-A)
-1
C
x y
x = (A-LC)x+Bu+Ly
.
^
^
x
^
r
G
Figure 2.2: State Feedback with Observer
state equation given, in matrix form, by
_
˙ x
˙
ˆ x
_
=
_
A −BK
LC A −BK −LC
_ _
x
ˆ x
_
+
_
B
B
_
r (2.8)
y =
_
C 0
¸
_
x
ˆ x
_
Changing the basis for the state space results in a set of state equations
from which many properties of the system in Figure 2.2 are self-evident.
Define a new state vector by
_
x
∆x
_
=
_
I 0
I −I
_ _
x
ˆ x
_
. (2.9)
2.2. STATE FEEDBACK AND OBSERVER DESIGN 45
The state equations in transformed coordinates have the simple form
_
˙ x
∆˙ x
_
=
_
A −BK BK
0 A −LC
_ _
x
∆x
_
+
_
B
0
_
r (2.10)
y =
_
C 0
¸
_
x
∆x
_
We now state several properties of the system in Figure 2.2. These follow
immediately from the structure of (2.10).
• The eigenvalues of the feedback system are equal to the union of the
eigenvalues of A−BK and A−LC. Hence the combination of a stable
state feedback with a stable observer yields a stable feedback system.
• Because K and L may be chosen independently, we say that the state-
feedback/observer architecture enjoys a separation property.
• The transfer function from the command input r to the system output
y is given by
T
yr
(s) = C(sI −A + BK)
−1
BG. (2.11)
Hence the observer dynamics do not affect the command response.
• The reason that the observer dynamics do not affect the transfer func-
tion T
yr
(s) is that the error states are uncontrollable from the command
input. However, the error states will generally be observable from the
output y, and thus will contribute to the transient response due to
initial conditions.
In part because of all the nice properties described above, observer-based
state feedback is the basis for a wide variety of “modern” control techniques.
Yet we must not forget two facts about this control configuration. First
is that an observer based compensator is merely another type of feedback
controller, with associated bandwidth, gain and phase margin, and so forth.
Second is that none of the nice properties listed above remains valid when
the effects of model error and exogenous inputs other than the command are
considered.
46 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
2.3 Feedback Analysis of an Observer Based
Compensator
As noted in the preceding section, a feedback system with an observer based
compensator will have gain and phase margins, bandwidth, and other prop-
erties familiar from classical control engineering. If the plant is SISO, then
the system will also have Bode, Nyquist, and root locus plots. Needs more detail,
esp. motivation
for adding auxil-
iary input.
To evaluate classical properties of a feedback system with an observer
based compensator, we must realize that these properties depend upon the
feedback interconnection of the plant, which maps u(t) to y(t), and the com-
pensator, which maps y(t) to u(t). The location of the command input in
Figure 2.2 does not affect feedback properties.
As an exercise for the reader, show that the transfer function mapping
y(t) to u(t) in Figure 2.2 is given by
C
obs
(s) = K(sI −A + BK + LC)
−1
L. (2.12)
The block diagram may be rearranged into the 1DOF configuration shown
in Figure 2.3, where ˜ r(t) is a dummy input used to make the figure look like
the 1DOF feedback system we have seen earlier.
Σ
-
r
~
x = Ax + Bu
y = Cx
.
C
obs
(s) = K(sI-A+BK+LC)
-1
L
Figure 2.3: Input/Output Relation of an Observer Based Compensator
2.4. HOMEWORK PROBLEMS FOR CHAPTER 2 47
2.4 Homework Problems for Chapter 2
Problem 2.1
You will solve the design problem posed in Problem 1.3 using an
observer-based state feedback compensator. You will learn how to
analyze classical properties of the resulting feedback system, such as
stability margins. You will also see that the controllers from this
problem and Problem 1.3 must necessarily possess similar Bode gain
and phase plots.
Let’s now redo Problem 1.3, using pole placement and observer design
techniques. In so doing, we must keep in mind that an observer-based con-
troller is just another type of compensator, like a lead or lag filter, and must
be analyzed for bandwidth and stability margin properties.
x = (A-LC)x + Bu + Ly
^
.
^
K
Σ
-
r ( t ) u( t )
y( t )
x = Ax + Bu
y = Cx
.
x( t )
^
(a) Find a state feedback that places the closed loop poles at the locations
you used Problem 1.3(a). Evaluate the step response.
(b) Design an observer, incorporate it into your system, and evaluate the
step response. You should see the same step response with and without
the observer. Why is this?
(c) Find the poles and zeros of the closed loop transfer function from r to y.
You should see that (after cancellations) the closed loop transfer function
is a second order system with no zeros, and poles at the locations you
calculated in part (a) of Problem 3. Verify that the step response has
rise time and overshoot consistent with these locations. (First normalize
48 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
the system with a constant gain precompensator to achieve unity DC
gain.)
(d) In Problem 3, we used a lead controller to get the desired closed loop
poles. If we rearrange the above diagram as shown in Figure 2.4, we see
that for purposes of calculating Bode plots, Nyquist diagrams, stability
margins, and so forth, the observer-based controller may be viewed as a
compensator with transfer function
C
obs
(s) = K(sI −A + BK + LC)
−1
L. (2.13)
What are the poles and zeros of the compensator? Find Bode gain and
phase plots of C
obs
(jω). How does C
obs
(jω) compare with the lead filter
you designed in Problem 3?
Σ
-
r
~
x = Ax + Bu
y = Cx
.
C
obs
(s) = K(sI-A+BK+LC)
-1
L
Figure 2.4: Observer Based Compensator for Stability Margin Calculation
(e) The compensator you have designed in (4d) has two poles and one zero.
By using the “reduced order” observer described in Appendix G, you
can obtain a first order controller. Design such an observer, and find
the pole and zero of the resulting controller. Look at Bode plots of this
controller, and compare them to those for the controller you designed in
Problem 3.
Some useful MATLAB commands:
num = 1;den = [1 1 0];
desired_poles = [-1+j -1-j];
[a,b,c,d] = ss2tf(num,den); % creates state space from transfer function
k = place(a,b,desired_poles); % places closed loop poles
eig(a-b*k) % checks the answer
desired_obs_poles = [-2+2*j -2-2*j];
L = place(a’,c’,desired_obs_poles)’; % places observer poles
step(a-b*k,b,c-d*k,d) % step response of closed loop system
tzero(a,b,c,d) % computes zeros of state space system
2.4. HOMEWORK PROBLEMS FOR CHAPTER 2 49
Problem 2.2
In this problem, you will see that the “separation property” of ob-
server based state feedback design vanishes when the effects of system
uncertainty are considered. You will also see that external distur-
bance and noise signals effect the observer error dynamics.
Consider a plant with state equations given by ˙ x = Ax + Bu, y = Cx.
Suppose that we design a state feedback control law u = −Kx + r. Let us
implement the state feedback law using an estimate of the state obtained
from an observer, u = −Kˆ x + r, where the observer dynamics are given by
˙
ˆ x = (A −LC)ˆ x + Bu + Ly.
(a) Suppose that the state equations of the plant have uncertainty in the
“A” matrix:
˙ x = (A + ∆A)x + Bu
y = Cx
Derive state equations for the closed loop system with the true plant
and the observer; the observer has the nominal value of the “A” matrix.
Transform these state equations into the coordinates
_
x
∆x
_
=
_
x
x − ˆ x
_
. (2.14)
Does the separation property hold?
(b) Suppose that the “A” matrix is known, but that there is a disturbance
to the plant dynamics and noise in the measurement of the output:
˙ x = Ax + Bu + d
y = Cx +n
The disturbance and noise are unknown, and therefore cannot be mod-
eled in the observer. Derive the expression for the error dynamics. We
know that the error dynamics are uncontrollable from the reference in-
put. Are the error dynamics also unaffected by d and n?
50 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
(c) Assume that the plant has a single output. Show that the transfer func-
tions from d and n to the error in the estimated output, ∆y C∆x,
satisfy
∆Y (s) =
C(sI −A)
−1
D(s)
(1 + C(sI −A)
−1
L)

C(sI −A)
−1
LN(s)
(1 + C(sI −A)
−1
L)
. (2.15)
What happens as the observer gain vector L →∞? as L →0? Is this a
fundamental tradeoff? Explain.
Problem 2.3 Adapted from [21, p. 435]
In this problem you will learn that (i) some systems can be stabilized
only with a controller that is itself unstable, (ii) the step response of
certain systems must “start off” in the wrong direction, (iii) adding
sensor measurements can result in larger stability margins, (iv) inves-
tigate the effect that adding an observer to a state feedback system
has upon the disturbance response.
Consider the problem of balancing an inverted pendulum on a cart (cf.
Figure 2.5).
u
m
M
l
θ
y
Figure 2.5: Inverted Pendulum on a Cart
Define state variables
_
¸
¸
_
x
1
x
2
x
3
x
4
_
¸
¸
_
=
_
¸
¸
_
y
˙ y
θ
˙
θ
_
¸
¸
_
.
2.4. HOMEWORK PROBLEMS FOR CHAPTER 2 51
It may be shown that a linear model of this system (linearized about the
pendulum up position) is given by
˙ x =
_
¸
¸
_
0 1 0 0
0 0 −
mg
M
0
0 0 0 1
0 0
(M+m)g
Ml
0
_
¸
¸
_
x +
_
¸
¸
_
0
1
M
0

1
Ml
_
¸
¸
_
u,
where g denotes the acceleration due to gravity.
The transfer functions from u to y and θ are given by:
P
yu
(s) =
K(s −b)(s +b)
s
2
(s −a)(s + a)
(2.16)
P
θu
(s) =
_

1
Ml
_
(s −a)(s + a)
, (2.17)
where K = 1/M, b =
_
g/l, and a =
_
(M +m)g/Ml. Let parameter values
be given by l = 1, g = 10m/sec
2
, and M = m = 0.5kg.
Motivated by a desire to use the minimum number of sensors, we shall first
try to stabilize this system using only a measurement of y, the cart position.
We shall then assess the benefits of using an additional measurement of θ,
the pendulum angle.
(a) Calculate the poles and zeros, Bode plots, and Nyquist plot of the plant
P
yu
(s). (Before doing ANY linear design, one ALWAYS looks at this
information.)
(b) The plots computed above tell us that this system presents some inter-
esting stabilization problems. Specifically, use root locus arguments to
prove that any controller stabilizing P
yu
(s) must necessarily be unstable.
Hence, the Nyquist plot of the compensated system must have the cor-
rect number of encirclements to yield stability for at least two unstable
poles. (If you are a real Nyquist aficionado, you will want to sketch the
shape of the Nyquist plot that results in a closed loop stable system.)
Furthermore, the Nyquist plot must be moved sufficiently far away from
the critical point to achieve satisfactory gain and phase margins.
In fact, this system is inherently difficult to robustly control. Indeed,
note that the problem of stabilizing an inverted pendulum using only
52 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
the cart position is identical to that of balancing a stick in your hand,
while looking only at your hand and not at the stick!
Nevertheless, given a minimal realization of P
yu
(s), we may apply using
state feedback/observer design techniques to design a stabilizing con-
troller
(c) Design a state feedback/observer based controller for this system. Place
the state feedback poles at, for example, −1 ± j, −5, −6, and the ob-
server poles twice as fast as these. Verify that the compensator C
obs
is
unstable.
(d) To analyze such feedback properties of your design as disturbance re-
sponse and stability robustness, examine Bode and Nyquist plots of the
open loop transfer function L(s) = P
yu
(s)C
obs
(s) and associated sensitiv-
ity function. What are the gain and phase margins? What is the peak in
sensitivity? If the stability margins and disturbance response properties
are very poor, do you think that they may be improved with a different
controller design? (If you did manage to balance a stick in your hand
without looking at it, would you expect to keep it balanced if someone
breathed upon it heavily?)
(e) Use a constant gain precompensator so that the steady state response of
the cart to a step command has zero tracking error, and plot the response
of both y and θ to a step command. Does the observer affect the step
response?
Remark 2.3 The vertical axis for the θ simulation has units of radians.
Since 1rad ≈ 57

, it follows that we can only tolerate small deviations of
θ from zero before the pendulum response becomes nonlinear.
(f) Use the pole and zero locations of the system to explain why the step
response starts off in the wrong direction. Explain physically why this
must happen.
Now suppose, as shown in Figure 2.6, that there is a disturbance force
acting on the cart in the same way as does the control. This disturbance
cannot be measured to feed into the observer, and it enters the feedback
system at a different location than does the reference. Hence, unlike
the step response, the disturbance response will be different with and
without the observer.
2.4. HOMEWORK PROBLEMS FOR CHAPTER 2 53
Σ
-
r
u
y
K
x
^
Observer
P(s)
Σ
d
Figure 2.6: Inverted Pendulum with Disturbance
(g) Calculate (in terms of A, B, . . .) the state space description (A
d
, B
d
, C
d
, D
d
)
of the closed loop transfer function T
dy
(s) that maps d → y. How does
it differ from the state space description for the transfer function T
ry
(s)
that maps r →y? Simulate the responses of y and θ to a step disturbance
with and without the observer included in the loop.
If you wish, repeat the above design using different pole locations, and try
to get one that has better stability margins and disturbance response.
But don’t over-exert yourself; as I stated above, this is an inherently
difficult problem. (Later in the semester, we shall see how to prove this
mathematically, in case you are not willing to just believe it...)
The “right” approach to this problem, of course, is to buy a sensor for
the pendulum angle, and use measurements of both y and θ to generate
the control signal. This results in the single input, two output (SITO)
feedback system depicted in Figure 2.7.
The complication is that we need to figure out how to blend the two
measurements to generate one actuator input. This may be done in two
ways. First, we shall perform a state feedback/observer design, plac-
ing the eigenvalues in the same locations as when we were using only
one measurement. (We haven’t talked yet about how to choose good
eigenvalue locations, so it will only be fortuitous if the design indeed
constitutes an improvement.) Alternately, we could use a classical con-
trol strategy termed “inner-loop/outer-loop” feedback to arrive at what
we hope will be a reasonable design. (This approach is described in [21].)
54 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
G(s)
Inverted
Pendulum
y
1
=y
y
2

u
C(s)
(2 i nput, 1 output
controller)
Σ
-
Figure 2.7: Single Input, Two Output Feedback System
We now have a complication in that the system is SITO. So where do
we calculate Bode and Nyquist plots? At the plant output, we have
two loops, thus rendering the interpretation of Bode and Nyquist plots
problematic. However, at the plant input, we only have one loop, and
can thus calculate Bode and Nyquist plots and the sensitivity functions
as in the SISO case.
The m-file PB3 PS2.m has been written to help you make the various
plots needed for this problem. Please make sure that you understand
everything that is going on in the m-file!!!!!
Note that state space descriptions of L(s) = C(s)P(s), S(s) = 1/(1 +
L(s)), and T(s) = L(s)/(1+L(s)) may be obtained from the commands:
A_c = A-B*K-L*C; B_c = L; C_c = K;
D_c = zeros(size(K,1),size(L,2));
[AL,BL,CL,DL] = series(A,B,C,D,A_c,B_c,C_c,D_c);
[AS,BS,CS,DS] = feedback([],[],[],eye(size(B,2)),AL,BL,CL,DL,-1);
[AT,BT,CT,DT] = feedback(AL,BL,CL,DL,[],[],[],eye(size(B,2)),-1);
Note the ordering: L(s) = C(s)P(s) is a scalar transfer function but
P(s)C(s) is matrix valued!!!
2.4. HOMEWORK PROBLEMS FOR CHAPTER 2 55
(h) Make Bode and Nyquist plots of L, and determine the stability margin.
You may do so by either using the peak in the sensitivity function as a
measure of the inverse of the stability margin, or by evaluating the gain
and phase margins. Compare these stability margins to those obtained
using only cart feedback.
Problem 2.4
In this problem you will derive various identities from linear algebra
that will allow you to easily manipulate the equations that describe
the response of a closed loop system.
When analyzing MIMO feedback systems, various matrix identities are
often useful in calculating transfer functions, reducing block diagrams, and
demonstrating tradeoffs between conflicting design goals. Read the list of
identities found in Section A.1 of Appendix A, and prove (c), (d), and (g).
Problem 2.5
In Chapter 1, we saw that unstable pole-zero cancellations between
the plant and controller will lead to an unstable feedback system,
even if the cancellations are made perfectly. In this problem, you will
address the same issue using state space techniques. You will see that
unstable pole-zero cancellations will lead to either an uncontrollable
or an unobservable mode of the feedback system. You will derive the
“four transfer function” theorem, showing that stability is equivalent
to four closed loop transfer functions having all stable poles.
Consider the feedback system in Figure 2.8.
C(s) P(s)
Σ
-
r ( t )
y( t ) u( t )
e( t )
Figure 2.8: Multivariable Feedback System
56 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
Let the state space descriptions of the plant and controller be given by
P(s) :
_
˙ x
1
= A
1
x
1
+ B
1
u
y = C
1
x
1
+ D
1
u
x
1
∈ R
n
1
, u ∈ R
p
, y ∈ R
q
(2.18)
C(s) :
_
˙ x
2
= A
2
x
2
+ B
2
e
u = C
2
x
2
+ D
2
e
x
2
∈ R
n
2
, e ∈ R
q
(2.19)
Assume that the inverses M (I + D
1
D
2
)
−1
and N (I + D
2
D
1
)
−1
exist. Then a state variable description for the feedback system mapping the
input r to the output y is given by
_
˙ x
1
˙ x
2
_
=
_
A
1
−B
1
D
2
MC
1
B
1
NC
2
−B
2
MC
1
A
2
−B
2
MD
1
C
2
_ _
x
1
x
2
_
+
_
B
1
D
2
B
2
_
Mr (2.20)
y =
_
MC
1
D
1
NC
2
¸
_
x
1
x
2
_
+ D
1
D
2
Mr. (2.21)
It is an optional exercise to derive (2.20)-(2.21).
(a) Suppose that the plant and controller are as shown in Figure 2.9.
Σ
-
r ( t )
y( t )
u( t )
e( t )
(s-1)
(s+2)
1
(s-1)
Figure 2.9: Feedback System with Unstable Plant
Is the feedback system controllable and observable? If not what are
the uncontrollable and/or unobservable eigenvalues? Is this answer in-
tuitively reasonable?
(b) Repeat (a) for the feedback system in Figure 2.10.
Let’s see if we can derive a test for closed loop stability that involves
transfer functions instead of state space descriptions. Consider the prob-
lems that arise in (a) and (b). In (a) we have an unstable mode that
cannot be excited by the input. In (b), the problem is that we have an
unstable mode that doesn’t appear in the system output. To rectify this
2.4. HOMEWORK PROBLEMS FOR CHAPTER 2 57
Σ
-
r ( t )
y( t )
u( t )
e( t )
(s-1)
(s+2)
1
(s-1)
Figure 2.10: Feedback System with Unstable Controller
situation, let’s add additional inputs and outputs. Consider the diagram
in Figure 2.11. Let P(s) and C(s) have state space descriptions given by
(2.18)-(2.19). Assume that (A
1
, B
1
, C
1
) and (A
2
, B
2
, C
2
) are stabilizable
and detectable.
C(s) P(s)
y( t )
u( t )
Σ Σ
-
r ( t ) e( t )
v( t )
d( t )
Figure 2.11: Feedback System for the Four Transfer Function Theorem
(c) Show that the closed loop transfer function matrix W(s) mapping r(t)
and d(t) to v(t) and y(t) is given by
_
V (s)
Y (s)
_
= W(s)
_
R(s)
D(s)
_
(2.22)
where
W(s) =
_
C(s)(I + P(s)C(s))
−1
−C(s)(I + P(s)C(s))
−1
P(s)
P(s)C(s)(I + P(s)C(s))
−1
P(s)(I +C(s)P(s))
−1
_
.
(2.23)
(d) One way to determine whether the feedback system in Figure 2.11 is
stable is to construct a state variable description of the system from the
state variable descriptions of the plant and controller. The system is
stable precisely when the closed loop system has no eigenvalues in the
58 Chapter 2: WHAT YOU SHOULD KNOW: MODERN
CRHP. Prove that the feedback system in Figure 2.11 is stable (in the
sense just defined) if and only if all poles of W(s) are stable. (Note: If
you wish, simplify the algebra by considering only the special case with
D
1
and D
2
both equal to zero.)
Problem 2.6 Consider the nonunity feedback system of Figure 2.12, and
assume that the plant has p inputs and q outputs.
P
y(t)
Σ
d
1
(t)
u(t)
C
e(t)
Σ
r(t)
-
H
Σ
d
2
(t)
Figure 2.12: Feedback System with Three Subsystems
(a) Show that closed loop response is
Y = S
y
PCR + S
y
PD
1
+ S
y
D
2
, S
y
(I + PCH)
−1
(2.24)
U = S
u
CR + S
u
D
1
−S
u
CHD
2
S
u
(I +CHP)
−1
(2.25)
E = S
e
R −S
e
HPD
1
−S
e
HD
2
, S
e
(I + HPC)
−1
(2.26)
(b) In general, how many transfer functions must be examined to assess
closed loop stability?
(c) Suppose that p = q = 1. How does the answer to (b) change?
(d) How does the answer to (b) change if one or more of P, C, and H are
stable?
Chapter 3
Multivariable Setpoint Tracking
Revised January 7, 2003.
59
60 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
The use of integral control to achieve tracking of step commands is a stan-
dard topic in classical control courses, and is so widespread in applications
that there exists a large industry that markets industrial PI (proportional-
integral) controllers. In Section 1.6 we reviewed the use of integral control
to track step commands and reject step disturbances. We also noted a sim-
ple condition required for integral control to be feasible; namely, that plant
transfer function is nonzero at s = 0.
How may state space techniques be used to design an integral controller?
At first, this does not seem obvious; after all, the state feedback is a constant
gain. In fact, there are several different ways to approach the design of an
integral controller useing state space methods, and in this book we shall
describe a few of these.
In Section 3.1 we give a simplified treatment of the SISO case that avoids
technical details but illustrates the important concepts. To illustrate the
benefits of integral control, we also discuss an approach to the tracking prob-
lem that uses precompensation to achieve tracking. We then, in Section 3.2,
give a careful treatment of the MIMO case that includes a discussion of the
conditions required for setpoint tracking to be feasible. The latter feasibility
conditions are stated in terms of the state variable description of the plant,
and at first appear unrelated to the feasibility condition P(0) ,= 0 that is fa-
miliar from classical control. In Section 3.3 we survey the concepts of normal
rank, system zeros, and transmission zeros that are treated in detail in Ap-
pendix B, and use these concepts to translate the feasibility condition from
Section 3.2 into one on the DC gain of the plant transfer function matrix.
3.1 The SISO Case
Consider the SISO system
˙ x = Ax + bu, x ∈ R
n
, u ∈ R
1
(3.1)
y = cx, y ∈ R
1
,
with transfer function P(s) = c(sI − A)
−1
b. Suppose we wish to design
a controller to stabilize this system (if necessary) and to force the system
output to track a step command r(t) = r
0
1(t) with zero steady state error:
y(t) →r
0
, as t →∞.
We shall present two solutions to this design problem, both using state
feedback for stabilization. The two solutions use different methods to achieve
3.1. THE SISO CASE 61
zero tracking error, with attendant differences in the ability to cope with
system uncertainty.
3.1.1 Precompensation
Applying state feedback, u = −kx +Gr to the plant (3.1) yields the system
in Figure 3.1. The output of the closed loop system is given by
k
Σ
-
u
b
(sI-A)
-1
c
x y
r
G
v
Figure 3.1: State Feedback with Precompensator
Y (s) = T
yv
(s)GR(s), T
yv
(s) = c(sI −A + bk)
−1
b. (3.2)
If (A, b) is controllable, then we can choose k so that T
yv
(s) has stable closed
poles. Applying the Final Value Theorem shows that the steady state re-
sponse to a step command satisfies
lim
t→∞
y(t) = T
yv
(0)Gr
0
= c(−A +bk)
−1
bGr
0
. (3.3)
In general, the limit (3.3) will not be equal to r
0
, and thus the steady state
tracking error will be nonzero.
If it happens that
T
yv
(0) ,= 0 (3.4)
then one can set the constant gain precompensator to
G = 1/T
yv
(0), (3.5)
and thus achieve zero steady state tracking error, y(t) →r
0
.
There are a number of issues that arise when using a precompensation
scheme to achieve zero tracking error. Among these are the following:
62 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
(i) It is necessary that the feasibility condition (3.4) be satisfied. Since
T
yv
(0) depends upon the state feedback gain k, it appears that an in-
judicious choice of k may cause the condition to be violated. As we
shall see when we analyze the MIMO case in Section 3.2, the feasibility
condition does not in fact depend upon k!
(ii) Suppose next that we cannot measure the states, and hence, as dis-
cussed in Chapter 2, must incorporate an observer into the system
in Figure 3.1. A bit of reflection reveals that the transfer function
T
yv
(s) will be unaffected by the observer, and thus our precompensa-
tion scheme is still useful in this case.
(iii) Recall the critique of open loop control presented in Section 1.1. We
might expect that our precompensation scheme will also be susceptible
to the effects of model error and disturbances. Indeed, suppose that
the state dynamics are given by
˙ x = Ax + bu +bd. (3.6)
Then, using a stabilizing state feedback and the precompensator (3.5),
the steady state response to a step command and a step disturbance
d(t) = d
0
1(t) satisfies
y(t) →r
0
+c(−A + bk)
−1
bd
0
. (3.7)
Only in special cases will y(t) →r
0
. Furthermore, because the precom-
pensator depends upon the values of the plant (A, b, c) matrices, errors
in these matrices will also introduce nonzero tracking errors.
In the next section, we shall see how to achieve zero tracking error even in
the presence of constant disturbances and modeling errors.
3.1.2 Integral Control
We will now mimic classical control by letting the control signal depend
upon the integral of the tracking error between the system output and the
command input. We implement this strategy as shown in Figure 3.2. With
no feedback applied, the open loop state equations are given by
_
˙ x
˙ w
_
=
_
A 0
c 0
_ _
x
w
_
+
_
b
0
_
(u + d) +
_
0
−1
_
r (3.8)
3.1. THE SISO CASE 63
k
Σ
-
u
b
(sI-A)
-1
c
x
Σ
-
Σ
-
r
y
1/s
e
K
I
w
Σ
d
Figure 3.2: State Feedback and an Augmented Integrator, SISO Case
We say that we have augmented an integrator to the plant.
Suppose that the augmented state equations are controllable; i.e., suppose
that
__
A 0
c 0
_
,
_
b
0
__
(3.9)
is a controllable pair. Then we can find a state feedback
u = −kx −k
I
w (3.10)
so that the feedback system in Figure 3.2 is stable. The resulting state
equations are given by
_
˙ x
˙ w
_
=
_
A −bk −bk
I
c 0
_
. ¸¸ .
A
CL
_
x
w
_
+
_
b
0
_
d +
_
0
−1
_
r (3.11)
We now apply the Final Value Theorem to evaluate the steady state response
of this system to a step command r(t) = r
0
1(t) and a step disturbance
64 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
d(t) = d
0
1(t):
lim
t→∞
_
x(t)
w(t)
_
= lim
s→0
s
_
X(s)
W(s)
_
= lim
s→0
s
_
(sI −A
CL
)
−1
__
b
0
_
d
0
s
+
_
0
−1
_
r
0
s
__
= −(A
CL
)
−1
__
b
0
_
d
0
+
_
0
−1
_
r
0
_
(3.12)
Since the right hand side of (3.12) is constant, it follows that the derivatives
of the state vector satisfy
lim
t→∞
_
˙ x(t)
˙ w(t)
_
=
_
0
0
_
. (3.13)
Because ˙ w = y − r
0
, it follows that use of integral control achieves steady
state tracking of step commands despite the presence of step disturbances.
Furthermore, we do not need to know the exact values of the plant (A, b, c)
matrices!
It remains to consider the issue of feasibility. With integral control, the
feasibility issue is no longer whether T
yv
(0) is nonzero, but whether the au-
gented state equations are controllable. As we shall see in the next section,
satisfaction of one of these feasibility conditions is closely related to that of
the other.
3.2 The MIMO Case
Consider the MIMO system
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
(3.14)
y = Cx, y ∈ R
q
,
with transfer function P(s) = C(sI − A)
−1
B. Suppose that we wish to
(i) stabilize this system, and (ii) force the output to track a constant step
command, y(t) →r
0
∈ R
q
as t →∞.
In Section 3.1 we discussed two solutions to the SISO version of this
problem. Both used state feedback to achieve closed loop stability. One
solution achieved zero steady state tracking error by using a constant gain
3.2. THE MIMO CASE 65
precompensator. The other used integral control. The advantage of integral
control is that it is insensitive to small model errors and to constant step
disturbances. We now revisit these two solutions, extend them to the MIMO
case, and present feasibility conditions guaranteeing that the design goals are
achievable.
3.2.1 Precompensation
Consider the feedback configuration of Figure 3.3. If (A, B) is stabilizable,
(sI-A)
-1
C
x y
B
K
Σ
-
u r
G
v
Figure 3.3: State Feedback with Precompensation
then we can find a state feedback K such that the closed loop system is
stable (i.e., so that A−BK has stable eigenvalues). The closed loop transfer
function from command to output is given by
Y (s) = T
yv
(s)GR(s), T
yv
(s) C(sI −A + BK)
−1
B (3.15)
If the command input is a vector of step inputs, r(t) = r
0
1(t), then closed
loop stability together with the Final Value Theorem implies that y(t) →
T
yv
(0)Gr
0
as t → ∞. Now suppose that the DC gain matrix T
yv
(0) has
rank equal to q. Then, by (A.17), T
yv
(0) has a right inverse that satisfies
T
yv
(0)T
yv
(0)
−R
= I
q
, and setting
G = T
yv
(0)
−R
(3.16)
yields y(t) →r
0
as t →∞.
In order for the above design solution to be feasible, we require both that
the system be stabilizable, and that the right inverse in (3.16) exist. We
now derive conditions which guarantee that the latter condition holds. In
particular, we show that the existence of the right inverse (3.16) does not
depend upon the choice of state feedback gain.
66 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
Theorem 3.1 Assume that the feedback system in Figure 3.3 is stable. Then
T
yv
(0) is right invertible,
rank T
yv
(0) = q, (3.17)
if and only if
rank
_
A B
C 0
_
= n +q. (3.18)
Proof: Since the feedback system is stable, A−BK has no eigenvalues at
s = 0. Hence we may write
_
I
n
0
C(−A + BK)
−1
I
q
_ _
−A B
−C 0
_ _
I
n
0
K I
p
_
=
_
−A +BK B
0 T
yv
(0)
_
. (3.19)
By Sylvester’s Inequality (A.15) and the fact that the first and third matrices
on the left hand side of (3.19) are nonsingular, we have
rank
_
−A B
−C 0
_
= n + rank T
yv
(0), (3.20)
and (3.18) follows immediately.
Of course, a disadvantage of the precompensation solution to the tracking
problem is that it is nonrobust with respect to the effects of parameter vari-
ations and disturbances.
3.2.2 Integral Control
Consider the system
˙ x = Ax + Bu + Ed, x ∈ R
n
, u ∈ R
p
, d ∈ R
m
y = Cx, y ∈ R
q
(3.21)
where we now include the effects of a disturbance upon the plant. As in the
SISO case, we form the augmented system
_
˙ x
˙ w
_
=
_
A 0
C 0
_ _
x
w
_
+
_
E
0
_
d +
_
B
0
_
u +
_
0
−I
_
r
y = Cx,
and introduce state feedback as shown in Figure 3.4. By following the same
steps as in the SISO case, we may prove the following result.
3.2. THE MIMO CASE 67
K
Σ
-
u
B
(sI-A)
-1 C
x
Σ
-
Σ
-
r
y
I/ s
e
K
I
w
Σ Σ
E
d
Figure 3.4: State Feedback with Augmented Integral Control
Theorem 3.2
(i) Assume that (A
aug
, B
aug
) is stabilizable, where
A
aug

_
A 0
C 0
_
, B
aug

_
B
0
_
. (3.22)
Then there exist state feedback gains K and K
I
that stabilize
the system.
(ii) Assume that the closed loop system is stable. Then the response
of the output to a step command r(t) = r
0
1(t) and a step
disturbance d(t) = d
0
1(t) satisfies y(t) →r
0
as t →∞.
Proof: Statement (i) is immediate. To prove (ii), note that the closed loop
state equations satisfy
˙ x
aug
= A
CL
x
aug
+
_
E
0
_
d +
_
0
−I
_
r, (3.23)
where
x
aug

_
x
w
_
, A
CL

_
A −BK −BK
I
C 0
_
. (3.24)
68 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
Closed loop stability implies that the closed loop response to initial states
converges to zero. This fact, together with the Final Value Theorem, implies
that
lim
t→∞
x
aug
(t) = −A
−1
CL
__
E
0
_
d
0
+
_
0
−I
_
r
0
_
(3.25)
Since the augmented state vector approaches a constant, it follows that
lim
t→∞
˙ x
aug
(t) = 0. Thus, by definition of w, we have that y(t) → r
0
for
all constant disturbances and all initial conditions.
Our next result provides a simple test for the stabilizability condition
required in Theorem 3.2.
Theorem 3.3 The system (A
aug
, B
aug
) defined by (3.22) is stabilizable if and
only if (A, B) is stabilizable, and
rank
_
A B
C 0
_
= n +q. (3.26)
Proof: We shall apply Lemma 2.1 to (A
aug
, B
aug
). First, suppose that λ is
a nonzero eigenvalue of A. Then
rank
_
λI
n+q
−A
aug
B
aug
¸
= rank
_
λI
n
−A 0 B
−C λI
q
0
_
.
Since λ ,= 0, the rank of this matrix is equal to n + q precisely when λ is a
controllable eigenvalue of A. Second, suppose that λ = 0. Then
rank
_
0I
n+q
−A
aug
B
aug
¸
= rank
_
−A 0 B
−C 0 0
_
= rank
_
A B
C 0
_
It follows that the augmented system is stabilizable if and only if the original
system is stabilizable and condition (3.26) is satisfied.
The attentive reader will note that the control scheme described in this sec-
tion achieves disturbance rejection but requires measurements of the system
outputs. It is left to that reader to verify that a constant bias in one or more
of these measurements will result in a nonzero steady state tracking error.
Hence the potential benefits of integral feedback do not come for free!
3.3. FEASIBILITY OF SETPOINT TRACKING 69
3.3 Feasibility of Setpoint Tracking
In our discussion of classical control in Section 1.6, we noted that setpoint
tracking, whether through precompensation or through integral control, is
feasible only if the plant transfer function has no zeros at s = 0. Intuition
suggests that a similar condition must hold when setpoint tracking is ap-
proached using state space techniques. This intuition proves to be correct;
however, it proves problematic to define the zeros of a MIMO system, and
to characterize these zeros in the state space. In this section, we shall first
review some facts about zeros of MIMO systems. We then derive a feasi-
bility condition for the setpoint regulation problem in terms of these zeros.
Finally, we investigate design difficulties that may ensue when the feasibility
condition is “almost violated”.
3.3.1 Zeros of a MIMO System
The literature on the topic of zeros for MIMO linear systems is extensive
and a bit confusing. In particular, many definitions of MIMO zeros have
appeared in the literature. We shall only need two of these in this textbook,
and include a brief review in this section so that we may relate feasibility of
setpoint tracking to the presence of zeros at the origin. Additional details,
examples, and proofs are found in Appendix B.
The following definition of a zero, although not very intuitive, proves to
be the most useful for a system that is described in state variable form.
Definition 3.4 Consider the linear system
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
(3.27)
y = Cx +Du, y ∈ R
q
,
with transfer function P(s) = C(sI − A)
−1
B + D. Define the associated
Rosenbrock System Matrix
RSM(s) =
_
sI −A B
−C D
_
(3.28)
Then the complex frequency s = z is a system zero if
rank RSM(z) < n + min¦p, q¦. (3.29)

70 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
Alternately, we may use the transfer function define the transmission zeros
of a system. In special cases, such zeros are identical with the system zeros
defined above. Before proceeding, we say that a transfer function has normal
rank equal to r if it has rank equal to r for almost all values of s. It turns out
that the definition of a transmission zero requires nonsquare systems with
fewer inputs than outputs to be treated differently than those with more
inputs than outputs. Hence we shall merely present a definition valid for
square transfer functions, and leave the details of the two nonsquare cases to
Appendix B.
Definition 3.5 Consider a pp transfer function matrix P(s) whose normal
rank is equal to p, and let (A, B, C, D) be a minimal realization of P(s). Then
z is a transmission zero of P(s) if there exist nonzero vectors u
0
∈ C
p
and
x
0
∈ C
n
such that the response to the input u(t) = u
0
e
zt
, t ≥ 0, and the
initial state x(0) = x
0
satisfies y(t) = 0, ∀t ≥ 0.
In fact, if P(s) is stable, then the response to the input u(t) = u
0
e
zt
satisfies
y(t) →0 for any initial condition!
The next result, which is proven in Appendix B, establishes the equiva-
lence between the two definitions of zeros.
Lemma 3.6 Consider a q p transfer function matrix P(s) whose normal
rank is equal to min¦p, q¦, and let (A, B, C, D) be a minimal realization of
P(s). Then z is a transmission zero of P(s) if and only if the Rosenbrock
System Matrix satisfies (3.29). Furthermore, if z is not an eigenvalue of A,
then condition (3.29) is satisfied precisely when the transfer function loses
rank:
rank P(z) < min¦p, q¦. (3.30)
Hence, under reasonable hypotheses, system zeros and transmission zeros are
equivalent, with the latter characterization more easily related to the transfer
function, and the former more useful for computations.
3.3.2 Zeros and Feasibility
Consider the linear system (3.14). Theorems 3.1 and 3.3 imply that the
problem of setpoint tracking for this system is feasible precisely when (A, B)
is stabilizable, and
rank
_
A B
C 0
_
= n +q. (3.31)
3.3. FEASIBILITY OF SETPOINT TRACKING 71
We now demonstrate the connection between feasibility of setpoint tracking
and existence of plant zeros at the origin.
Corollary 3.7
(i) Condition (3.31) is equivalent to the requirement that system (3.14)
have at least as many inputs as outputs (p ≥ q) and no system zeros at s = 0.
(ii) Suppose that P(s) has normal rank equal to min¦p, q¦, and that the
realization (A, B, C, D) is minimal. Then condition (3.31) is equivalent to
requiring that P(s) have at least as many inputs as outputs (p ≥ q) and no
transmission zeros at s = 0.
(iii) Suppose, in addition to the hypotheses of (ii), that P(s) has no poles
at s = 0. Then condition (3.31) is satisfied if and only if
rank P(0) = q. (3.32)
Proof: The first statement follows immediately from the definition of sys-
tem zero. Statement (ii) follows from the equivalence between transmission
zeros and system zeros for systems with full normal rank and minimal real-
izations. Finally, statement (iii) follows from the identity
_
I 0
−CA
−1
I
_ _
−A B
−C 0
_
=
_
−A B
0 P(0)
_
(3.33)

There are actually several different reasons that setpoint tracking may be
infeasible. In applications, it is important to distinguish among these reasons
so that one may develop an “engineering fix”.
• There exist at least as many control inputs as outputs to be regulated:
p ≥ q.
• The q regulated outputs must be linearly independent over the field
of rational transfer functions. For example, suppose that the second
output is a constant scalar multiple of the first. It is clearly impossible
to independently regulate these outputs to arbitrary values, no matter
how many actuators we have. As another example, suppose that the
two outputs are position and velocity of a dynamical system. Because
the system is controllable, it is possible to regulate these outputs to
arbitrary values at a fixed point in time, but again clearly impossible
to maintain these values indefinitely.
72 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
• The plant has no transmission zeros at s = 0. Suppose there were such
a zero. Then the identity
T
yv
(s) = C(sI −A)
−1
B
_
I + K(sI −A)
−1
B
_
−1
(3.34)
implies that the closed loop DC gain matrix also has such a zero, and
thus that we cannot achieve setpoint tracking with precompensation.
Furthermore, any attempt to augment integrators will result in a pole-
zero cancellation at the origin, rendering it impossible to stabilize the
augmented integrators.
3.3.3 Feasibility and the Control Signal
When the plant has no integrators, then condition (3.32) is particularly ap-
pealing in that it may be evaluated using only a static model of the plant.
Such models may be obtained in several ways, including experiment. The
intelligent question to ask about a feasibility condition, such as (3.32), is not
whether it is satisfied, but whether it is “almost violated”. In the present
case, one suspects that problems might ensue if P(0) were almost rank defi-
cient. To investigate, let us explore the size of the control signal required to
regulate the system outputs to desired setpoint values.
Theorem 3.8 Consider either of the feedback systems in Figure 3.3 or 3.4.
Assume that these systems are stable, that p = q, and that the plant has no
integrators. Let y
ss
and u
ss
denote the steady state responses of the system
output and plant input to a step command r(t) = r
0
1(t). Then, in each case,
u
ss
= P
−1
(0)r
0
. (3.35)
Proof: By design, y
ss
= r
0
, and the result follows from the fact that Y (s) =
P(s)U(s).
It follows from (3.35) that if the plant inverse has large elements, then the
steady state control signal needed to track certain commands may be very
large, potentially causing problems with control actuator saturation. We
shall explore this problem in detail later in this textbook, and study examples
using data from real engineering problems. For now we illustrate with an
academic example. Add discussion of
σ
min
and κ.
3.4. INTEGRAL CONTROL AND STATE ESTIMATION 73
Example 3.9 Suppose that
P(0) =
_
1 + 1
1 1
_
. (3.36)
Then
P
−1
(0) =
1

_
1 −1
−1 1 +
_
. (3.37)
In the limit as → 0, the two outputs are affected by the two actuators
in the same way, and thus cannot be regulated to independent values. For
small values of the outputs can be regulated independently, but the control
signal required to do so will be very large.
3.4 Integral Control and State Estimation
Both our solutions to the tracking problem used state feedback to stabilize
the plant. As is well known, it is usually not possible to measure all the
states of a system, and thus it is necessary to use an observer for state
estimation. As it turns out, both our solutions to the tracking problem may
be implemented using an observer. (Hence the ability to measure the states
is not on our list of feasibility conditions!)
Because the observer dynamics are uncontrollable from the command in-
put (cf. Section 2.2), it follows that the precompensator used in Section 3.2.1
achieves zero steady state tracking error even with an observer present.
The use of an observer with the integral control scheme in Section 3.2.2 is
a bit more interesting. Note in particular that there is no need to estimate the
integrator states, as these are computed from the measured outputs. Hence
we may consider the feedback configuration in Figure 3.5, which shows an
observer used only to estimate the states of the plant.
Our next result, whose proof is left as an exercise, shows that the aug- Refer to specific ex-
ercise. mented state feedback/observer configuration in Figure 3.5 enjoys a separa-
tion property.
Theorem 3.10 Suppose that observer dynamics are given by
˙
ˆ x = Aˆ x + Bu + L(y −Cˆ x). (3.38)
74 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
K
Σ
-
u
B
(sI-A)
-1
C
x
Σ
-
Σ
-
r
I/s
e
K
I
w
y
Observer
x
^
Figure 3.5: State Feedback with Augmented Integrators and Observer
Then the eigenvalues of the feedback system in Figure 3.5 are the union of
the eigenvalues of the matrices
_
A −BK −BK
I
C 0
_
and A −LC. (3.39)

It follows that a stable augmented state feedback combined with a stable
observer will yield a stable feedback system.
3.5 Feedforward with Integral Control
The use of precompensation to achieve setpoint tracking, as shown in Fig-
ure 3.3, does have one potential advantage over the integral control scheme
of Figure 3.4. For motivation, recall Section 1.13, wherein we described a two
degree of freedom control architecture involving feedforward from the com-
mand input to the control signal. As a result, it may be possible to achieve
a faster speed of response with this scheme than through use of feedback
alone to achieve tracking. For example, as we shall see later in this textbook,
there are many reasons that the bandwidth of a feedback loop may need to
be limited, with attendant limitations on the speed of response of the closed
loop system.
The preceding discussion shows that it may be advantageous to add a
feedforward path to our integral control scheme, as illustrated in Figure 3.6.
3.6. TRACKING VS. DISTURBANCE REJECTION 75
In the SISO case, this feedforward term essentially adds a zero to the closed
loop transfer function between r and y. It is left as an exercise for the reader
to show that if
G = (C(−A + BK)
−1
B)
−1
, (3.40)
then the steady state response of the integrator state is equal to zero, and
command tracking is achieved solely through use of feedforward control. The
feedback term, of course, is still needed to compensate for the effects of
disturbances and uncertainty. Connect to Prob-
lem 3.1
K
Σ
-
u
B
(sI-A)
-1 C
x
Σ
-
Σ
-
r
I/s
e
K
I
w
y
x
G
Figure 3.6: Integral Control with Feedforward of the Command Input
3.6 Tracking vs. Disturbance Rejection
Optional section.
We have seen that, under appropriate conditions, it is possible to force the
outputs of the system to track step commands by augmenting integrators to
the plant and driving them with the output tracking errors. This control
strategy will also reject the effect that step disturbances have upon these
outputs. It is interesting to note, however, that only in special cases will
the disturbances be completely rejected from the system; usually, they will
produce a nonzero steady state response in those system states that are not
under integral control. To explore this issue, in this section we shall compute
the steady state response of the system state to a step disturbance, note
those special cases in which this response equals zero, and show that, under
additional hypotheses, it is possible to compute the value of an unknown step
disturbance from the steady state effect it has upon the integrator states.
76 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
Lemma 3.11 Assume that the feedback system in Figure 3.4 is stable. Let
x
ss
and w
ss
denote the steady state responses of the plant and integrator
states to a step command r(t) = r
0
1(t) and disturbance d(t) = d
0
1(t). Define
A
K
A −BK. Then
_
x
ss
w
ss
_
=
_
A
−1
K
_
I −B(CA
−1
K
B)
−1
CA
−1
K
_
E
(CA
−1
K
BK
I
)
−1
CA
−1
K
E
_
d
0
+
_
A
−1
K
B(CA
−1
K
B)
−1
(CA
−1
K
BK
I
)
−1
_
r
0
. (3.41)
Proof: Applying the formula (A.9) to the partitioned matrix A
CL
defined
in (3.24) yields
A
−1
CL
=
_
A
−1
K
_
I −B(CA
−1
K
B)
−1
CA
−1
K
_
A
−1
K
B(CA
−1
K
B)
−1
(CA
−1
K
BK
I
)
−1
CA
−1
K
(CA
−1
K
BK
I
)
−1
_
, (3.42)
and substituting this expression for A
−1
CL
into (3.25) yields the result.
We know that use of augmented integrators rejects the effect that a step
disturbance has upon the outputs y used to form the error signal in Figure 3.4.
Only in special cases does the use of such integrators completely reject the
effect that such disturbances have upon the system.
Corollary 3.12 Suppose that
1(E) ⊆ 1(B). (3.43)
Then the steady state response of the system state to any step disturbance
satisfies x
ss
= 0. Furthermore, if condition (3.43) is violated, then there
exist step disturbances such that x
ss
,= 0.
Proof: It follows from (3.41) that x
ss
= 0 precisely when
Ed
0
= B(CA
−1
K
B)
−1
CA
−1
K
Ed
0
. (3.44)
Suppose first that condition (3.43) is satisfied. Then there exists a matrix M
such that E = BM, and substituting this expression for E into (3.41) results
in x
ss
= 0 for all values of d
0
. Suppose next that 1(E) 1(B). Then there
must exist some column of E that is not a linear combination of the columns
of B; with no loss of generality, assume this is the first column of E. Then a
disturbance d
0
=
_
1 0 . . . 0
¸
T
will not satisfy condition (3.44), and thus
x
ss
,= 0.
3.6. TRACKING VS. DISTURBANCE REJECTION 77
Roughly speaking, Corollary 3.12 states that the disturbance will have a
nonzero steady state effect upon the states of the system unless the actua-
tors affect the system in the same way as does the disturbance. Why is this
observation important? After all, we have seen that the effect of the distur-
bance upon the system outputs can be forced to equal zero. One reason that
a nonzero value of x
ss
is important is that the outputs available for feedback
are often different than (or a subset of) the outputs that are important for
performance. Hence rejecting the effects of the disturbance upon the mea-
sured outputs will not necessarily reject the effects that the disturbance has
upon all variables that are important for performance, and may in fact make
these effects worse!
A special case of (3.43) is when E = B, so that the disturbances in
question are those that affect the system in exactly the same way as do the
control actuators. In fact, sometimes engineers attempt to locate actuators
near the source of significant system disturbances, in effect forcing B to
approximate E.
3.6.1 Computing the Disturbance from the Integrator
States
It is often very useful to know the value of a disturbance, so that it may be
used in another part of a control algorithm. In this regard Lemma 3.11 may
be used to show that, under certain conditions, the value of the constant
disturbance vector may be computed from that of the steady state values of
the integrators.
Corollary 3.13 Assume that
rank CA
−1
K
E = q. (3.45)
Then
d
0
= (CA
−1
K
E)
−L
_
CA
−1
K
BK
I
w
ss
−r
0
_
(3.46)
That we may compute d
0
from w
ss
becomes less surprising when we realize
that one task of these integrators is to generate a control signal that will can-
cel the effect of the disturbance upon the outputs y. In effect the integrator
must determine the value of the disturbance in order to reject it, and thus
may be viewed as a (poor man’s) estimator for the disturbance!
78 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
In Appendix C, we take a more straightforward approach to this problem,
and discuss the problem of designing an estimator for a constant disturbance.
This technique is known as bias estimation and, when combined with feed-
forward control using the bias estimate, offers another approach to integral
control.
3.7. HOMEWORK PROBLEMS FOR CHAPTER 3 79
3.7 Homework Problems for Chapter 3
Problem 3.1
In this problem you will perform integral control using state space
techniques. You will add a feedforward term from the reference to the
control signal, and see that the zero added by this term can be used to
speed up the closed loop response without increasing the bandwidth
of the feedback loop.
Consider a plant with transfer function P(s) =
1
s+3
.
(a) Using state space techniques, design an integral controller for this system
so that the output tracks a constant step command with zero steady state
error. Place the closed loop poles at −5 and −6.
(b) Plot the responses of both y and u to a step in r. Why does u approach
a nonzero constant value?
(c) Find the transfer function from r to y. Does it have any zeros? Why or
why not? Hint: Does the original plant have any zeros?
(d) Consider using feedforward control
u = −K
I
_
e(t)dt −Kx + Nr
as shown in Figure 3.7.
Show that using feedforward control in this way adds a zero to the trans-
fer function from r to y. What effect will the zero location have on the
step response? Verify your conjectures by examining some plots.
The Matlab m-file PB2 PS3.m will help you make some of the plots for
this problem.
80 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
Σ
-
r
1/ s K
I
q
K
Σ
-
e
y = x
u
-
N
1/ s
3
Σ
-
Figure 3.7: Feedforward Control to Add Zero
Problem 3.2
In this problem you will consider an integral controller designed by
applying state feedback to a plant augmented with integrators, and
learn that such a controller can be implemented using an observer for
the plant states only.
Consider the integral control system depicted in Figure 3.8, where x ∈ R
n
,
u ∈ R
p
, y ∈ R
q
. Let P(s) = C(sI −A)
−1
B.
K
Σ
-
u
B (sI-A)
-1 C
x
Σ
-
Σ
-
r
y v
I/ s
e
K
I
w
Figure 3.8: State Feedback with Augmented Integrators
We showed in class that if
ˆ
A =
_
A 0
C 0
_
,
ˆ
B =
_
B
0
_
is a controllable pair, then we can find a state feedback u = −Kx −K
I
w to
stabilize this system. As a consequence of the integrators, it follows that the
response to a step input r(t) = r
0
1(t) satisfies y(t) →r
0
as t →∞.
3.7. HOMEWORK PROBLEMS FOR CHAPTER 3 81
Usually we will not be able to measure all the states of the system; how-
ever, if (A, C) is an observable pair, then we can design a stable observer
for these states, with gain L. Suppose that we use the feedback control
u = −Kˆ x −K
I
w, as shown in Figure 3.5.
Show that the closed loop eigenvalues are the union of the eigenvalues of
the matrices
_
A −BK −BK
I
C 0
_
and A −LC,
and thus satisfy a “separation property”.
82 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
Problem 3.3
In this problem, you will learn about the Internal Model Principle,
and how it can be applied to force a system to track sinusoidal input
commands with zero steady state error.
There is a very general result in feedback control theory entitled the
“Internal Model Principle”. A precise mathematical statement is rather for-
bidding; if you would like to see it, consult [28, pp. 203–210]. I will merely
quote the verbal statement from [28, p. 210] (“structurally stable” means
robust against “sufficiently small” variations in plant parameters):
Internal Model Principle:: A regulator is structurally stable only if
the controller utilizes feedback of the regulated variable, and incor-
porates a suitably reduplicated model of the dynamic structure of
the exogenous which the regulator is required to process.
We have seen that, in order to robustly track step commands and reject
step disturbances, it is necessary to use integral control. This fact corre-
sponds to the Internal Model Principle because an unknown step input or
disturbance may be viewed as the output of an integrator with unknown ini-
tial condition. This agrees with the notion of “System Type” from classical
control: To track a step you need a Type 1 system (one integrator), to track
a ramp you need a Type 2 system (double integrator), and so forth.
In theory, one may extend this idea to track any sort of unstable signal
or reject any sort of unstable disturbance. In practice, this isn’t feasible ex-
cept for unstable signals with poles on the jω–axis. We shall now extend
the technique presented in class for doing integral control in the state space
to develop a technique for tracking an oscillatory reference or rejecting an
oscillatory disturbance. Examples of oscillatory disturbances include 60Hz
interference in an electrical system, and vibrations due to the presence of
rotating machinery, such as an automobile engine. We shall limit our discus-
sion to the reference tracking problem; as with the integral control problem,
the extension to disturbance rejection is straightforward.
Suppose that the reference signal in Figure 3.9 is generated as the output
of a harmonic oscillator with known frequency but unknown initial condition
3.7. HOMEWORK PROBLEMS FOR CHAPTER 3 83
(for simplicity we shall assume that there is only one output, q = 1):
˙ z = Fz, F =
_
0 1
−ω
2
0
0
_
, z(0) = z
0
r = Gz
K
Σ
-
u
B (sI-A)
-1 C
x
Σ
-
Σ
-
r
y v
e
K
w
w
oscillator
Figure 3.9: State Feedback with an Augmented Oscillator (3.47)
Motivated by the internal model principle, we shall try to track the sinusoidal
command input by using a model of the reference dynamics in the controller.
In Figure 3.9 “w” denotes the state of the oscillator, and satisfies the
dynamical equations
˙ w =
_
0 1
−ω
2
0
0
_
w + He (3.47)
where H ∈ R
2
is arbitrary subject to the constraint that (F, H) is control-
lable. For specificity, choose H =
_
0 1
¸
T
. (Note in passing that if we had a
multiple output system (q > 1), then we would use a separate oscillator for
each output.)
The augmented state equations are given by:
_
˙ x
˙ w
_
=
_
A 0
HC F
_ _
x
w
_
+
_
B
0
_
u +
_
0
−H
_
r
Note that the order of the augmented system is equal to n + 2, because the
oscillator that we augmented to the output has two states.
Define
ˆ
A =
_
A 0
HC F
_
,
ˆ
B =
_
B
0
_
.
Suppose that
84 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
(i) (A, B) is stabilizable,
(ii) (F, H) is controllable,
(iii) (A, B, C) has no system zeros at s = jω
0
,
We shall show that if these conditions are satisfied, then (
ˆ
A,
ˆ
B) is control-
lable. (It is also possible to show that these conditions are necessary for
controllability, but that is more tedious.)
We will apply the same sort of arguments we used in class for the integral
control problem. Specifically, we check to see if
rank
_
λI −
ˆ
A
ˆ
B
¸
= n + 2 (3.48)
where λ is an eigenvalue of A or F. students are always
confused by what
they should do here
(a) Suppose first that λ is an eigenvalue of A that is not also an eigenvalue
of F. Show if λ is a controllable eigenvalue of (A, B), then (3.48) is
satisfied.
In the two last parts of the problem, we let λ be an eigenvalue of F; i.e.,
λ = ±jω
0
, suppose that
rank
_
λI −
ˆ
A
ˆ
B
¸
< n + 2 (3.49)
and show that this contradicts the assumption that (A, B, C) has no
zeros at s = jω
0
.
(b) Suppose that (3.49) is satisfied. Let v
T
=
_
x
T
y
T
¸
be a nonzero vector
lying in the left nullspace of
_
λI −
ˆ
A
ˆ
B
¸
. Show that y ,= 0, y
T
(λI−F) =
0 and y
T
H ,= 0.
(c) Suppose that (3.49) is satisfied. Use the results of (b) to show that jω
0
is a system zero of (A, B, C), a contradiction.
It follows that if hypotheses (i)-(iii) are satisfied, then the system with
the oscillator augmented to the output is controllable.
3.7. HOMEWORK PROBLEMS FOR CHAPTER 3 85
Problem 3.4
1
Consider the disk drive depicted in Figure 3.10.
Drive
Motor
Read/write head
Disk
Sensor
Figure 3.10: Disk Drive Problem
The horizontal position of the head shown in Figure 3.10 is driven by a
motor which may be modelled as a double integrator. Let y denote the head
position, and u denote the motor voltage. Then
˙ x = Ax + Bu
y = Cx
where
A =
_
0 1
0 0
_
, B =
_
0
1
_
, C =
_
2 0
¸
.
The track-following problem is that of holding the head above a given track
on the disk while reading from or writing to the disk. Let the rotational
velocity of the disk be ω
0
(according to [19], between 2500 and 4000RPM.)
Due to the fact that the disk is not centered perfectly, the tracks defined
as circles on the disk actually trace out ellipses with respect to a stationary
head position. Hence, the track following problem requires that the head
position track a periodic signal satisfying
˙ z = Fz, F =
_
0 1
−ω
2
0
0
_
, z(0) = z
0
r = Gz
Since I have no data for this problem, let’s just suppose that ω
0
= 1 to
illustrate the point.
1
This problem is adapted from [8] and also [19, pp. 237–238].
86 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
(a) Form the augmented state equations, and design a stabilizing state feed-
back. Try to keep the input bounded: [u(t)[ < 5, and have the output
converge to its steady state value within 5 seconds (cf. Figure 3.11).
(b) Derive state equations for the closed loop system, taking care to introduce
the reference command correctly.
(c) Simulate the response of this system to an arbitrary sinusoidal input of
frequency ω
0
.
For example, Figure 3.11 illustrates the response of a system I designed
to the reference input r(t) = sin t + 2 cos t.
(d) Explain why, as shown in Figure 3.11, the asymptotic values of u(t) and
y(t) are 180

out of phase.
0 1 2 3 4 5 6 7 8 9 10
−3
−2
−1
0
1
2
3
4
time
response of disk drive system to reference
reference r
input u
output y
Figure 3.11: Reference Tracking for Disk Drive
The Matlab m-file PB5 PS3.m will help you make some of the plots for
this problem.
3.7. HOMEWORK PROBLEMS FOR CHAPTER 3 87
Problem 3.5
You will see that the problem of forcing a system to track a vector of
step inputs may be reduced to one of state regulation.
Consider the linear system
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
, x(0) = x
0
(3.50)
y = Cx, y ∈ R
p
(3.51)
Suppose that we wish the outputs of the system to track a command that
consists r(t) = r
0
1(t). We now show that this setpoint tracking problem
may be reformulated as one of regulating the state of the system to a new
equilibrium value. This fact is true for each of our two approaches to setpoint
tracking.
(a) Consider the control input
u = −Kx + Gr, (3.52)
where K is a stabilizing state feedback. Show that the system has a
stable equilibrium point given by
x

= −(A −BK)
−1
BGr
0
. (3.53)
(b) Define a new state vector ˜ x = x −x

, and show that the system (3.50)-
(3.52) is equivalent to
˙
˜ x = (A −BK)˜ x, ˜ x(0) = x
0
−x

(3.54)
y = C˜ x + Cx

. (3.55)
(c) Show that y(t) →Cx

at a rate determined by the eigenvalues of A−BK.
Under what conditions will y(t) →r
0
as t →∞? Explain.
(d) Suppose instead that we augment the state of the system (3.50) with in-
tegrators, and define the augmented state evector x
aug
as in Section 3.2.2.
Apply the control input
u = −Kx −K
I
w, (3.56)
88 Chapter 3: MULTIVARIABLE SETPOINT TRACKING
where K and K
I
are chosen to stabilize the system, and let x

aug
denote
the steady state value of x
aug
. Define ˜ x
aug
= x
aug
−x

aug
and show that
˙
˜ x
aug
=
_
A −BK −BK
I
C 0
_
˜ x
aug
(3.57)
y =
_
C 0
¸
˜ x
aug
+
_
C 0
¸
x

aug
. (3.58)
(e) Use the result of (d) to show that y(t) →r
0
.
Chapter 4
The Linear Quadratic
Regulator
Revised January 7, 2003.
89
90 Chapter 4: THE OPTIMAL LINEAR REGULATOR
Given a controllable/observable linear system, we can always design a
stabilizing controller using state feedback and observer techniques. Further-
more, we can augment additional dynamics, and thus achieve steady state
tracking and disturbance rejection.
A number of challenges remain before observer-based state feedback can
be considered a useful design tool. For example, we must have some method-
ology for choosing the state feedback and observer gains! For low order sys-
tems, there is a close correspondence between eigenvalue locations and such
response properties as rise time and overshoot. Unfortunately, this corre-
spondence is less obvious for higher order systems.
Another difficulty in eigenvalue assignment is the number of available
degrees of freedom. For example, if the system has n states and p inputs,
then the feedback gain matrix has np elements. For a single input system
(p = 1) there are precisely as many parameters in the feedback gain vector
K as are needed to assign the closed loop eigenvalues. If p > 1, then there
are more parameters than we need to assign the eigenvalues, and it is not
clear how these may be used. One approach, described in [23], is to use these
additional degrees of freedom to assign closed loop eigenvectors. However,
these eigenvectors may themselves be difficult to relate to system design
goals.
One useful idea is to choose state feedback and observer gains (and thus
the associated eigenvalue locations) to optimize a measure of system quality,
such as dynamic response, disturbance and noise rejection, or robustness and
sensitivity. In fact, many different optimal control methodologies have been
developed to design linear feedback systems. These all suffer from the inabil-
ity of a mathematical cost function to adequately describe the complexities
of a feedback design problem. Hence the trick is to use the optimization
routine, not as an end in itself, but rather as a means of twiddling with a
design until you end up with a result that is satisfactory. For this strategy
to be effective, we must understand how to twiddle intelligently.
In this chapter we develop the optimal linear quadratic regulator (LQR)
as a technique for choosing state feedback gains. Solutions to the optimal reg-
ulation problem have been available since the early 1960’s. Since that time,
much information has become available about the use of the optimal regula-
tor as a design tool, independently of its origin in optimal control. While it
is true that these techniques do not solve all design problems, an intelligent
control engineer may use them effectively in many practical situations.
4.1. MOTIVATION 91
4.1 Motivation
We will consider the linear time invariant system
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
, x(t
0
) = x
0
. (4.1)
Suppose we wish to find a control input u(t) to drive x(t) → 0 rapidly
and without incurring excessively large transients in the state and/or control
signals.
There are several reasons that large transients are to be avoided. For
example, in practice the linear system (4.1) will represent the behavior of a
nonlinear system in the neighborhood of an equilibrium point. If the states
or control signal become too large, then the system may be driven into a
nonlinear operating regime, and conclusions drawn from analysis of the linear
model may be invalid.
Note that if (A, B) were controllable, and the size of the control signal
were not an issue, then we could choose a conrol law u = −Kx, where the
eigenvalues of A −BK are such that the response to an initial state
x(t) = e
(A−BK)(t−t
0
)
x(t
0
) (4.2)
decays to zero arbitrarily rapidly. Unfortunately, the associated control signal
u(t) = −Ke
(A−BK)(t−t
0
)
x(t
0
) (4.3)
may become excessively large.
We shall now consider an optimization problem that attempts to achieve
a compromise between the responses of the system state and control signal.
For technical reasons, we must divide the development into two parts. In
Section 4.2 we consider state regulation only over a finite time interval. Doing
so has the advantage that, since we deal only with linear systems, stability
questions do not arise. In Section 4.3, we solve the infinite horizon regulation
problem by taking the limit of the solution to the finite horizon problem,
invoking hypotheses of stabilizability and detectability as required.
4.2 The Finite Horizon Case
The finite horizon linear regulator problem requires us to find a control signal
u(t), t ∈ (t
0
, T) to minimize the cost function
J(t
0
, x
0
, u, T) =
_
T
t
0
(x
T
Qx +u
T
Ru)dt + x
T
(T)P
f
x(T) (4.4)
92 Chapter 4: THE OPTIMAL LINEAR REGULATOR
subject to the constraint that the state and input must satisfy (4.1). The
weighting matrices Q, R, and P
f
are assumed to satisfy
1
• Q is positive semidefinite: Q = Q
T
≥ 0
• R is positive definite: R = R
T
> 0
• P
f
is positive semidefinite: P
f
= P
T
f
≥ 0
Each of these weighting matrices is present to penalize a certain type of
system behavior:
• Q penalizes transient deviations of the state vector from zero,
• R penalizes transient deviations of the control signal from zero,
• P
f
penalizes final deviations of the state vector from zero.
There are many ways to derive the solution to this problem, using tech-
niques from optimal control theory; e.g., the Hamilton-Jacobi-Bellman equa-
tion, calculus of variations, or dynamic programming. We shall present a
simpler derivation that avoids higher mathematics at the expense of looking
unmotivated. This technique is termed “completing the square”. There are
thousands of papers and dozens of books that discuss various aspects of the
LQR problem. A particularly complete reference (at the time it was written)
is [1]. The “completing the square” technique is discussed in [12].
Our first result tells us how to find the optimal control for the finite
horizon regulator problem.
Theorem 4.1 Consider the problem of minimizing the cost function (4.4)
subject to the constraint (4.1).
(i) The control law that minimizes (4.4) is given by
u(t) = −R
−1
B
T
P(t)x(t), (4.5)
where the optimal cost matrix P(t) is the unique solution to the Riccati
differential equation

˙
P(t) = P(t)A + A
T
P(t) + Q−P(t)BR
−1
B
T
P(t) (4.6)
1
Positive semidefinite matrices are defined, and some of their properties described, in
Appendix D.
4.2. THE FINITE HORIZON CASE 93
subject to the terminal constraint
P(T) = P
f
. (4.7)
(ii) The optimal value of the cost index is
J

(t
0
, x
0
, T) = x
T
0
P(t
0
)x
0
. (4.8)
(iii) The optimal cost matrix, P(t), satisfies P(t) ≥ 0, ∀t ≤ T.
(iv) The elements of P(t) are bounded ∀t ≤ T.
Note that the Riccati differential equation must be solved by imposing the
terminal constraint P(t) = P
f
, and then integrating backwards in time. It fol-
lows that P(t) is defined for t ≤ T. Our proof essentially involves “guessing”
that P(t) defined in this manner is the optimal solution, and then showing,
after various manipulations, that this is indeed the case.
Proof: The cost index (4.4) can be rearranged as
J(t
0
, x
0
, u, T) =
_
T
t
0
(x
T
Qx +u
T
Ru)dt + x
T
(T)P
f
x(T) (4.9)
−x
T
0
P(t
0
)x
0
+ x
T
0
P(t
0
)x
0
.
The fundamental theorem of calculus implies that
_
T
t
0
d
dt
_
x
T
Px
_
dt = x
T
(T)P(T)x(T) −x
T
0
P(t
0
)x
0
. (4.10)
Substituting (4.10) into (4.9) and rearranging yields
J(t
0
, x
0
, u, T) =
_
T
t
0
_
x
T
Qx +u
T
Ru +
d
dt
_
x
T
Px
_
_
dt + x
T
0
P(t
0
)x
0
. (4.11)
Invoking the chain rule and the constraint (4.1) shows that
J(t
0
, x
0
, u, T)
=
_
T
t
0
_
x
T
Qx +u
T
Ru + (Ax + Bu)
T
Px + x
T
P(Ax + Bu) + x
T
˙
Px
_
dt
+ x
T
0
P(t
0
)x
0
. (4.12)
94 Chapter 4: THE OPTIMAL LINEAR REGULATOR
Now since P(t) satisfies the Riccati differential equation, substituting for
˙
P
and rearranging
2
reveals that the optimal cost may be written as
J(t
0
, x
0
, u, T) =
_
T
t
0
_
u + R
−1
B
T
Px
_
T
R
_
u + R
−1
B
T
Px
_
dt + x
T
0
P(t
0
)x
0
.
(4.13)
Expression (4.13) for the optimal cost is completely equivalent to the original
expression (4.4). However, since only the first term depends on the control
signal, it now follows immediately that minimizing this term will yield the
minimum value of the cost function. Since the term in question is nonnega-
tive, the control (4.5) minimizes the cost index. This proves statements (i)
and (ii) of the theorem.
To prove statement (iii), we suppose that there exists some
ˆ
t < T for
which P(
ˆ
t) 0. Then, by the definition of a positive semidefinite matrix,
there exists ˆ x such that ˆ x
T
P(
ˆ
t)ˆ x < 0. We now show that this entails a
contradiction. To do so, pick initial time and state t
0
=
ˆ
t, and x
0
= ˆ x.
Then the optimal cost associated with this initial time and state satisfy
J

(
ˆ
t, ˆ x, T) = ˆ x
T
P(
ˆ
t)ˆ x < 0. But this contradicts the fact that the right
hand side of the cost function must be nonnegative, by the assumptions that
Q ≥ 0, R > 0, and P
f
≥ 0.
To prove statement (iv), we note that the cost associated with the optimal
control must be less than the cost associated with any control, including the
control that is identically zero: u(t) ≡ 0. Hence if we can show that the cost
associated with applying the zero control yields finite cost, then the optimal
cost must also be finite. Let us now evaluate the cost associated with the
zero control. Setting u(t) ≡ 0 yields
x(t) = e
A(t−t
0
)
x
0
(4.14)
and thus
J(t
0
, x
0
, 0, T) =
_
T
t
0
_
e
A(t−t
0
)
x
0
_
T
Q
_
e
A(t−t
0
)
x
0
_
dt + x
T
(T)P
f
x(T) (4.15)
The fact that the integrand is bounded over any finite time interval (t
0
, T)
implies that the integral is finite, and so is the cost J(t
0
, x
0
, 0, T). By defini-
tion
J

(t
0
, x
0
, T) ≤ J(t
0
, x
0
, 0, T) (4.16)
2
These are the manipulations termed “completing the square.”
4.2. THE FINITE HORIZON CASE 95
and it follows that the optimal cost is bounded.
It remains to show that the optimal cost matrix P(t) must also be bounded.
We do this by contradiction. Suppose first that a diagonal element of P(t)
is unbounded; without loss of generality, assume that lim
t→t
0
[p
11
(t)[ = ∞.
Then the optimal cost associated with the initial state x
0
=
_
1 0 . . . 0
¸
T
is
given by J

(t, x
0
, T) = p
11
(t), and is also unbounded, which contradicts the
fact that the optimal cost must be finite. Hence, any unbounded element of
P(t) must lie off the diagonal. With no loss of generality, assume that p
12
(t) =
p
21
(t) is unbounded. Then the optimal cost associated with the initial state
x
0
=
_
1 1 0 . . . 0
¸
T
is given by J

(t, x
0
, T) = p
11
(t) +2p
2
12
(t) +p
22
(t), and
must also be unbounded, again yielding a contradiction.

It follows from Theorem 4.1 that the optimal control law may be im-
plemented as state feedback with a time varying feedback gain, K(t) =
R
−1
B
T
P(t). Because the differential equation defining P(t) must be solved
backwards in time, the optimal control gain must be calculated off-line for a
given T.
Example 4.2 Consider the linear system
˙ x = u, x(t
0
) = x
0
(4.17)
and suppose we wish to minimize the cost function
J(t
0
, x
0
, u, T) =
_
T
t
0
(x
2
+ u
2
)dt + P
f
x
2
(T) (4.18)
subject to the constraint (4.17).
The optimal cost matrix is in this case a scalar, and is given by the
solution to the Riccati differential equation and terminal constraint

˙
P(t) = 1 −P
2
(t), P(T) = P
f
. (4.19)
Denote the solution to (4.19) for given values of t and T by P(t, T). Inte-
grating by separation of variables yields
P(t, T) =
e
2(T−t)
−1 + P
f
(e
2(T−t)
+ 1)
e
2(T−t)
+ 1 +P
f
(e
2(T−t)
−1)
. (4.20)
96 Chapter 4: THE OPTIMAL LINEAR REGULATOR
The optimal cost associated with regulating the state over any interval (t
0
, T),
with t
0
< T, is thus given by
J

(t
0
, x
0
, T) = P(t
0
, T)x
2
0
. (4.21)
Note that the optimal cost depends only upon the difference, T −t
0
, between
the initial and final times. This fact is to be expected since the system and
cost function are both time invariant.
Figure 4.1 contains plots of P(t, T) vs. t for the case P
f
= 0 and various
values of the terminal time. The cost of regulating the initial condition x
0
= 1
over the time interval (4, 5) is J

(4, 1, 5) ≈ 0.76. The same cost is associated
with regulating this initial state over the interval (9, 10). Note that, for a
fixed value of t
0
, the optimal cost satisfies lim
T→∞
J

(t
0
, x
0
, T) = 1. Indeed,
we see from Figure 4.2 that the optimal cost for a given initial condition is a
monotonically increasing function of the terminal time, T. For any fixed t,
lim
T→∞
P(t, T) is a constant which, in Figure 4.1, happens to be equal to 1.
Might label the
plots as J

(4, 1, 5),
J

(9, 1, 10), etc.
0 2 4 6 8 10 12 14 16 18 20
0
0.2
0.4
0.6
0.8
1
time, seconds
P(t,T) with P
f
= 0
T = 5
T = 10
T = 15
T = 20
Figure 4.1: The Optimal Cost Matrix P(t, T) vs t
4.3. THE INFINITE HORIZON CASE 97
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0
0.2
0.4
0.6
0.8
1
T, seconds
J
*
(t
0
,x
0
,T), t
0
=0, x
0
=1
Figure 4.2: The Optimal Cost J

(t
0
, x
0
, T) vs. T
4.3 The Infinite Horizon Case
The solution to the finite horizon regulator problem is a time-varying state
feedback gain defined only over a finite time interval. In this section we
show that, under appropriate hypotheses, the solution to the infinite horizon
regulator problem is a constant state feedback that stabilizes the system.
We assume that the terminal cost is zero, and study the solution to the
finite horizon problem in the limit as T →∞:
J(t
0
, x
0
, u) lim
T→∞
_
T
t
0
_
x
T
Qx + u
T
Ru
_
dt. (4.22)
By way of contrast with the finite horizon case, the optimal cost associated
with the infinite horizon regulator problem may not be finite. Our next
example illustrates this point.
Example 4.3 Consider the finite horizon regulator problem with
˙ x =
_
1 0
0 −1
_
x +
_
0
1
_
u, x(t
0
) =
_
1
0
_
and weighting matrices
Q =
_
1 0
0 0
_
, R = 1.
98 Chapter 4: THE OPTIMAL LINEAR REGULATOR
The special structure of the state equations implies that, with any control
input, the state x
1
satisfies
˙ x
1
= x
1
, x
1
(t
0
) = 1,
and thus x
1
(t) = e
(t−t
0
)
. Hence the finite horizon regulation cost is given by
J(t
0
, x
0
, u, T) =
_
T
t
0
_
e
2(t−t
0
)
+u
2
_
dt.
It follows that, regardless of how the control is chosen,
lim
T→∞
J(t
0
, x
0
, T) = ∞
and hence the optimal cost is not finite.
The reason for the unbounded cost in Example 4.3 is that the “A” matrix
has an eigenvalue at +1 which is simultaneously unstable, uncontrollable,
and penalized in the cost. This fact suggests that appropriate stabilizability
and/or detectability assumptions will yield finite cost. We now explore this
conjecture.
4.3.1 Stabilizability and Finite Cost
In this section we assume that the system to be regulated is stabilizable, and
show that this hypothesis guarantees the optimal cost is finite.
Theorem 4.4 Assume that (A, B) is stabilizable, and consider the problem
of minimizing the cost function (4.22) subject to the constraint (4.1).
(i) For a given T, let P(t, T) denote the solution to the corresponding finite
horizon optimal control problem. Then the limit
¯
P lim
T→∞
P(t, T) (4.23)
exists and is a finite constant.
(ii) The optimal control minimizing (4.22) is given by
u(t) = −
¯
Kx(t),
¯
K R
−1
B
T
¯
P. (4.24)
4.3. THE INFINITE HORIZON CASE 99
(iii) The matrix
¯
P is a positive semidefinite solution to the Algebraic Riccati
Equation (ARE):
¯
PA + A
T
¯
P + Q−
¯
PBR
−1
B
T
¯
P = 0. (4.25)
(iv) The optimal value of the cost index is
J

(t
0
, x
0
) = x
T
0
¯
Px
0
.
Proof: We first prove statement (i). It follows from the assumptions Q ≥
0 and R > 0 that the optimal cost J

(t
0
, x
0
, T) must be a monotonically
increasing function
3
of T. Next, we show that the optimal cost satisfies
an upper bound that is independent of T. To do this, choose an arbitrary
matrix K such that A−BK has stable eigenvalues; such a matrix exists by
the assumption that (A, B) is stabilizable. The optimal cost J

(t
0
, x
0
, T) is
certainly no greater than the cost associated with the control u(t) = −Kx(t):
J

(t
0
, x
0
, T) ≤ J(t
0
, x
0
, −Kx, T)
Applying this control yields
x(t) = e
(A−BK)(t−t
0
)
x
0
, u(t) = −Ke
(A−BK)(t−t
0
)
x
0
.
Since A−BK has stable eigenvalues, both x(t) and u(t) will converge expo-
nentially to zero at t →∞. It follows that the limit
J(t
0
, x
0
, −Kx) = lim
T→∞
J(t
0
, x
0
, −Kx, T)
= lim
T→∞
_
T
t
0
_
x
T
Qx + u
T
Ru
_
dt
exists and is finite. (This is because the integrand converges to zero expo-
nentially.) Hence, for every T, the optimal cost is bounded above by the cost
associated with an arbitrary stabilizing control over an infinite interval:
J

(t
0
, x
0
, T) ≤ J(t
0
, x
0
, −Kx, T)
≤ J(t
0
, x
0
, −Kx). (4.26)
3
See the example in Figure 4.2.
100 Chapter 4: THE OPTIMAL LINEAR REGULATOR
It follows from (4.26) that for any (t
0
, x
0
) the optimal cost J

(t
0
, x
0
, T) is a
monotonically increasing function of T that satisfies an upper bound which
is independent of T. This fact, together with the monotone convergence
theorem [24], shows that J

(t
0
, x
0
, T) converges to a finite limit as T → ∞.
(See the example in Figure 4.2.) Arguments similar to those used in the proof
of statement (iv) of Theorem 4.1 may be used to show that the elements of
P(t, T) also converge to finite limits.
We now show that
¯
P is constant (i.e., independent of t). The fact that
the A, B, Q, R matrices are constant implies that solution to the differential
equation (4.6) satisfies P(t, T) = P(0, T −t). Hence
lim
T→∞
P(t, T) = lim
T→∞
P(0, T −t)
= lim
τ→∞
P(0, τ), (4.27)
where τ T −t. Since the limit in (4.27) does not depend on t, the limiting
cost matrix must be a constant, and thus the cost of regulating the system
over any semi-infinite interval (t
0
, ∞) must be independent of the initial time
t
0
. (See the example in Figure 4.1.) This completes the proof of the various
claims in statement (i).
The fact that
¯
P is the limit of a sequence of positive semidefinite functions
implies that
¯
P is positive semidefinite also. The fact that
¯
P is constant
implies that
¯
P must be a solution to the Riccati differential equation with
the derivative term set equal to zero, thus proving statement (iii).
Statements (ii) and (iv) follow from their counterparts (4.5) and (4.8) for
the finite horizon case, using the fact that the optimal cost matrix approaches
the constant
¯
P.

The optimal control for the infinite horizon regulator problem is constant
linear state feedback, and thus it is possible to apply the optimal control over
an indefinitely long time interval. This has clear advantages over the solution
to the finite horizon problem, which required us to know the terminal time T.
Nevertheless, some interesting difficulties with the infinite horizon solution
remain.
First, it is awkward to compute the optimal cost matrix. To do so, we
must first solve the finite horizon problem for P(T, t), and then take the limit
as T →∞. While it is true that the resulting cost matrix must be a positive
semidefinite solution to the ARE, there may be many such solutions, and
4.3. THE INFINITE HORIZON CASE 101
only one of these will correspond to the optimal control. Second, it turns out
that the optimal control does not always result in a stable feedback system!
Example 4.5 Consider the optimal control derived in Example 4.2. It is
easy to see from (4.20) and Figure 4.1 that
¯
P = lim
T→∞
P(t, T) = 1. (4.28)
The ARE for this example is given by 1 − P
2
= 0, and has two solutions,
P
±
= ±1. Clearly, it is the positive solution that corresponds to the limiting
optimal cost:
¯
P = P
+
. Note that, in this example, the optimal control,
u = −x, yields the stable closed loop system ˙ x = −x.
Our next example shows that the optimal control does not always yield
a stable closed loop system.
Example 4.6 Consider the cost function and state dynamics
J(t
0
, x
0
, u, T) =
_
T
t
0
u
2
dt, ˙ x = x +u
It is easy to see that the optimal control is identically zero: u(t) ≡ 0. But
then the closed loop system is ˙ x = x, and is thus unstable. Note that the
ARE for this example is given by 2P − P
2
= 0. This equation has two
positive semidefinite solutions, P = 0 and P = 2. The solution P = 0 is
optimal.
The problem with Example 4.6 is that there is an unstable mode that does
not appear in the cost function. Since the unstable mode doesn’t contribute
to the cost, why should we spend control energy to stabilize it?
4.3.2 Detectability and Closed Loop Stability
In this section we show that if all unstable modes of the system are penalized
in the cost, then the optimal state feedback will stabilize the system. Our
proof will use several properties of positive definite and semidefinite matrices
that are discussed in Appendix D.
Theorem 4.7 Consider the problem of minimizing the cost function (4.22)
subject to the constraint (4.1). Assume that (A, B) is stabilizable, and that
(A, Q) is detectable. Then
102 Chapter 4: THE OPTIMAL LINEAR REGULATOR
(i) the optimal control u(t) = −
¯
Kx(t), where
¯
K = R
−1
B
T
¯
P, stabilizes the
closed loop system; i.e., the eigenvalues of A −B
¯
K are stable,
(ii)
¯
P is the unique positive semidefinite solution of the ARE,
(iii) if (A, Q) is observable, the
¯
P is the unique positive definite solution of
the ARE.
Proof: The proofs of statements (ii) and (iii) are left as exercises for the
reader. We now prove statement (i), by contradiction. Let E be any square
root of Q. Assume that (A, Q) is detectable, and suppose that A−BK has
an eigenvalue, λ, with Re(λ) ≥ 0. By definition, there exists v ,= 0 such that
(A − BK)v = λv. Note that the ARE (4.25) may be rearranged into the
form
¯
P(A −B
¯
K) + (A −B
¯
K)
T
¯
P = −Q−
¯
PBR
−1
B
T
¯
P (4.29)
Next, premultiply and postmultiply (4.29) by v
H
and v, respectively:
2 Re(λ)v
H
¯
Pv = −
_
v
H
Qv + v
H
¯
PBR
−1
B
T
¯
Pv
_
(4.30)
Together, the fact that v
H
¯
Pv ≥ 0 and the hypothesis that Re(λ) ≥ 0 imply
that the left hand side of (4.30) is nonnegative. Furthermore, since both Q
and
¯
PBR
−1
B
T
¯
P are positive semidefinite, it follows that the right hand side
of (4.30) must be no greater than zero. It follows that both sides of (4.30)
must equal zero.
Next note that since both terms on the right hand side of (4.30) have the
same sign, they must satisfy
v
H
Qv = 0 (4.31)
v
H
¯
PBR
−1
B
T
¯
Pv = v
H
¯
K
T
R
¯
Kv
= 0. (4.32)
It follows from (4.31) and Lemma D.4 that Qv = 0, and from (4.32) and the
definition of a positive definite matrix that
¯
Kv = 0. The latter fact implies
that
λv = (A −B
¯
K)v
= Av.
Hence λ must be an eigenvalue of A, and since Qv = 0, it follows that λ is
unobservable. But we are supposing that λ is unstable, thus contradicting
our assumption that (A, Q) is detectable.
4.3. THE INFINITE HORIZON CASE 103
Henceforth we shall dispense with the “¯” notation and denote the unique
positive semidefinite solution to the ARE by P, and the state feedback gain
by K.
We now revisit the examples discussed earlier in this chapter in the light
of Theorem 4.7.
Example 4.8 Recall that the ARE for Examples 4.2 and 4.5 has two so-
lutions, P
±
= ±1. In this example the stabilizability and detectability hy-
potheses are satisfied. Hence the optimal cost matrix is P
+
= +1 and the
resulting feedback control stabilizes the system.
Example 4.9 Consider once again Example 4.3. The “A” matrix in this
example has an unstable eigenvalue λ = 1. This eigenvalue is not stabilizable,
rank
_
λI −A B
¸
= 1,
and thus violates the hypothesis of Theorem 4.4. However, we see that
rank
_
λI −A
Q
_
= 2,
and thus the unstable eigenvalue is observable in the cost. As we have seen,
the latter fact implies that the optimal cost is not finite.
Example 4.10 In Example 4.6 the open loop system is unstable, but con-
trollable. However, the unstable state is not observable in the cost, and thus
the detectability hypothesis of Theorem 4.7 is violated.
Given A and Q, we say that an eigenvalue of A is “observable in the cost”
if
rank
_
λI −A
Q
_
= n.
It follows that a necessary condition for the optimal state feedback to be
stabilizing is that all unstable eigenvalues of A must be observable in the
cost.
Suppose we wish to penalize a set of m system outputs defined by z = Ex,
where rank E = m, and hence select the state weighting matrix as Q = E
T
E.
The following lemma, whose proof is left as an exercise for the reader, shows
that the observability hypothesis may be verified using E.
104 Chapter 4: THE OPTIMAL LINEAR REGULATOR
Lemma 4.11 Consider matrices A, Q ∈ R
n×n
. Assume that Q is positive
semidefinite and that rank Q = m. Let E ∈ R
m×n
be any square root of Q:
Q = E
T
E. Then (A, Q) is detectable if and only if (A, E) is detectable.
4.4 Practical Issues
Need more.
In this section we briefly discuss additional facts useful in applications of the
linear regulator.
4.4.1 Computation
Except for very special low dimensional cases, it is not possible to solve the
ARE by hand. The problem is exacerbated by the fact that the ARE has
several solutions, only one of which is optimal. Numerical Riccati equation
solvers, such as that found in MATLAB, proceed by turning the problem
of solving the ARE, which is nonlinear in the cost matrix P, into a linear
problem based on the eigenstructure of the associated Hamiltonian matrix.
Properties of the Hamiltonian matrix, and its connection to the solution of
the ARE, are discussed in Appendix E. These properties are useful to know,
because they lend some insight into situations for which solving the Riccati
equation is numerically ill-conditioned.
4.4.2 Weight Selection
The most commonly asked question about the LQR problem is how one
should choose the weights Q and R. Unfortunately, weight selection always
involves making an initial guess, and then using trial and error to obtain
a design with reasonable properties. This phase is often frustrating to stu-
dents working homework problems. For students and engineers working on
applications projects, the effort spent in the initial trial and error phase is
amortized over the duration of the project. For example, when a modification
must be made to the system (perhaps an actuator is replaced), the engineer
can design a new controller using the previous values of the weighting ma-
trices as a starting point, and the insights obtained in their selection as an
aid in iteration.
In a later chapter, we shall analyze such feedback properties of linear
regulators as stability margins, sensitivity, and bandwidth, and learn how to
4.4. PRACTICAL ISSUES 105
manipulate these properties through appropriate weight selection. For now,
we present some general guidelines that may prove useful in initial weight
selection and subsequent iteration.
Maximum Allowable Deviations
Because we are working with a linear model, it follows that x
i
and u
i
each
represent deviations from nominal values. These deviations are generally
required to be sufficiently small that the linear model remains valid. One
approach to select initial choices for the weighting matrices is to determine
the maximum allowable deviations of each variable from its nominal value.
If it is desirable that [x
i
(t)[ ≤ ¯ x
i
and [u
i
(t)[ ≤ ¯ u
i
, then we may define
Q = diag
_
1
¯ x
i
_
2
, R = diag
_
1
¯ u
i
_
2
. (4.33)
Those variables that can only tolerate small deviations from their nominal
values will receive the largest weightings, and conversely.
Physical Considerations
In many applications, the linear model used for design is obtained by lin-
earizing a nonlinear set of differential equations obtained from such physical
principles as Newton’s laws. For such systems, the state variables will have
physical significance that may be used in choosing the weighting matrices.
To illustrate, suppose that the state variables are position and velocity
in a mechanical system. It is then reasonable to expect that the speed of
response may be increased by using a penalty on the position state that is
large relative to that on the velocity state. If the penalty on the velocity
state is relatively large, then one would expect the response to be sluggish
and heavily damped.
It is not always possible to construct a system model from physical prin-
ciples. In such cases, it may be possible to use sensors to measure certain
important system variables. We may thus apply test signals, such as step
inputs or sine waves, measure the resulting response, and then use system
identification techniques to construct a dynamical input-output model. The
states of such a model will usually not have physical significance, but we may
penalize the measured outputs, say y = Cx, that were used to construct the
model.
106 Chapter 4: THE OPTIMAL LINEAR REGULATOR
In general, models obtained from physical principles tend to support
higher performance designs than do those models obtained completely from
input-output data, and for which the individual states may not have a phys-
ical interpretation.
Tracking as a Regulation Problem
Suppose we are given a linear system
˙ x = Ax + Bu (4.34)
y = Cx (4.35)
and we desire the outputs y(t) to asymptotically track a desired trajectory,
y

(t), without incurring large control signals. Such a design goal is known
as a tracking problem, and may be approached by minimizing a cost index
such as
J =
_

0
(y −y

)
T
Q(y −y

) + u
T
Ru dt. (4.36)
It is possible to reformulate such optimal tracking problems as problems of
state regulation, for which the earlier results in this chapter are applicable. In
general, finding the optimal control for a tracking problem requires technical
development beyond the scope of this textbook; for a thorough discussion,
see [1, 16].
An important special case is the setpoint tracking problem, in which the
desired trajectory is a vector of step commands: y

(t) = r
0
1(t). In Chapter 3
we saw two approaches to the solution of this problem using state feedback.
Our first solution used constant gain precompensation to force setpoit track-
ing, and the second solution used integral control. As we saw in Problem 3.5,
each of these approaches to setpoint tracking can be reformulated as a prob-
lem of state regulation. Hence LQR may be used to design a state feedback
to achieve a reasonable tradeoff between state and control response, and
setpoint tracking will be assured.
4.5. HOMEWORK PROBLEMS FOR CHAPTER 4 107
4.5 Homework Problems for Chapter 4
Problem 4.1
You will study the solution to the Riccati differential equation for the
finite horizon regulator problem as the terminal time converges to
infinity, and the relation of this limit to the solutions of the algebraic
Riccati equation.
Consider a linear system with one state and one input
˙ x = Ax + Bu, x ∈ R, u ∈ R, x(0) = x
0
, B ,= 0, (4.37)
and the cost index
J(t
0
, x
0
, u, T) =
_
T
t
0
_
Qx
2
+ Ru
2
_
dt, Q > 0, R > 0. (4.38)
It may be shown (see [1, p. 25]) that the solution to the Ricatti differential
equation is given by:
P(t) =
P
1
P
2
_
e
(P
1
−P
2
)l
2
(T−t)
−1
_
−P
1
+ P
2
e
(P
1
−P
2
)l
2
(T−t)
, (4.39)
where P
1
< 0 and P
2
> 0 are the solutions to the Algebraic Riccati Equation
and l
2
B
2
/R.
(a) For A = 0.5, B = 1, Q = 1, R = 0.1, plot P(t) and K(t) vs t for t
0
= 0
and various values of T. How does P(t) behave in the limit as T →∞?
(b) How is the limit in (a) related to the solutions of the ARE?
The m-file PB3 PS4.m may be used with this problem.
Problem 4.2
In this problem, you will prove that the detectability test can be
stated in terms of either the state weighting matrix or its square
root.
108 Chapter 4: THE OPTIMAL LINEAR REGULATOR
Consider a positive semidefinite, symmetric matrix, Q = Q
T
≥ 0, Q ∈
R
n×n
. Assume that rank Q = m, and let D = Q
1
2
be a square root of Q
as defined in Appendix A. That is, choose D ∈ R
m×n
such that Q = D
T
D
and rank D = m. Prove that (A, Q) is detectable if and only if (A, D) is
detectable.
Problem 4.3
In this problem, you will assume that any unstable modes of the
system are observable in the cost, and show that the Algebraic Riccati
Equation has a unique positive semidefinite solution.
Consider the infinite horizon linear regulator problem, with
˙ x = Ax + Bu, (4.40)
with cost index
J(0, x
0
, u) =
_

0
(x
T
Qx + u
T
Ru)dt (4.41)
Assume that (A, B) is stabilizable. Then the optimal control is
u = −Kx, K = R
−1
B
T
¯
P, (4.42)
where
¯
P is a solution to the Algebraic Riccati Equation
¯
PA + A
T
¯
P + Q−
¯
PBR
−1
B
T
¯
P = 0. (4.43)
Recall that the solution of the ARE corresponding to the optimal control is
given by the limit
¯
P = lim
T→∞
P(t, T), where P(t, T) is the solution of the
corresponding Riccati differential equation. Since P(t, T) ≥ 0 for all values
of T, it follows that
¯
P is also positive semidefinite. We have noted that there
exist many solutions to the ARE. Moreover, there may exist several positive
semidefinite solutions.
In this problem we shall show that, under the additional hypothesis that
(A, Q) is detectable, there exists a unique positive semidefinite solution to
the ARE. To do so, we shall suppose that there exist two positive semidefinite
solutions to the ARE. Denote these by P
1
and P
2
.
(a) Define K
1
= R
−1
B
T
P
1
and K
2
= R
−1
B
T
P
2
. Show that A − BK
1
and
A −BK
2
must both have stable eigenvalues.
4.5. HOMEWORK PROBLEMS FOR CHAPTER 4 109
(b) Show that
(P
1
−P
2
)(A −BK
1
) + (A −BK
2
)
T
(P
1
−P
2
) = 0. (4.44)
(c) Use the facts about the Lyapunov equation found in Item (k), Section A.2
of Appendix A to show that the Riccati equation has a unique solution.
Problem 4.4
You will study how the closed loop bandwidth and step response vary
with the ratio between the state and control costs.
Consider a linear system with one state, one input, and one output:
˙ x = Ax + Bu, x ∈ R, u ∈ R (4.45)
y = Cx, y ∈ R (4.46)
with performance index
J =
_

0
_
Qx
2
+ Ru
2
_
dt, Q > 0, R > 0
(a) Show that the optimal cost and optimal state feedback gain are given by
P =
AR
B
2
+
¸
_
AR
B
2
_
2
+
QR
B
2
(4.47)
K =
A
B
+ sgn(B)
¸
_
A
B
_
2
+
Q
R
(4.48)
(b) How does the optimal closed loop eigenvalue vary with the weights Q
and R? How does the case A > 0 differ from the case A < 0?
Suppose that we use a constant gain precompensator G so that the DC
gain from r to y is equal to one.
(c) Show that, with this precompensator, the closed loop transfer functions
from r to u and y are given by
T
ru
(s) =
(s −A)
_
A
2
+ QB
2
/R
BC
_
s +
_
A
2
+ QB
2
/R
_ (4.49)
T
ry
(s) =
_
A
2
+QB
2
/R
_
s +
_
A
2
+ QB
2
/R
_ (4.50)
110 Chapter 4: THE OPTIMAL LINEAR REGULATOR
(d) Show that the bandwidth of T
ry
(s) converges to infinity as Q/R → ∞.
Describe qualitatively how the response of y to a step in r will vary with
the ratio Q/R.
(e) Describe qualitatively how the Bode plot of T
ru
(s) varies as Q/R →∞.
How will the response of u to a step in r vary with the ratio Q/R?
(f) Let A = B = C = 1. Inspect Bode plots of [T
ry
(jω)[ and [T
ru
(jω)[, and
step response plots of y(t) and u(t) for several values of the ratio Q/R
(Say, 1, 10, and 100). (Hand in one set of each of these plots showing
the trend as Q/R is varied.) Do these plots agree with your conjectures
from parts (d) and (e) above?
Problem 4.5
In this problem you will perform a linear quadratic regulator design
for a system with two actuators and two regulated outputs. Your
design will achieve a decoupled command response that satisfies rise
time and overshoot specifications. You will use integral control to
reject the effects of an unknown step disturbance.
Consider the problem of suspending a metal bar using two electromagnets,
as shown in Figure 4.3.
f
1
f
2
y
1
y
2
2L
Mg
θ
h
M=2
g=1
L=6
Figure 4.3: Magnetically Suspended bar
4.5. HOMEWORK PROBLEMS FOR CHAPTER 4 111
The dynamics of this system are governed by the nonlinear differential equa-
tions
M
d
2
h
dt
2
= −f
1
−f
2
+ Mg
J
d
2
θ
dt
2
= −f
1
Lcos θ +f
2
Lcos θ
y
1
= h + Lsin θ
y
2
= h −Lsin θ
where J 1/3ML
2
. Assume that the forces f
1
and f
2
exerted by the magnets
on the bar are given by
f
1
=
2i
1
y
1
and f
2
=
2i
2
y
2
.
Define state variables, input vector, and output vector by
_
¸
¸
_
x
1
x
2
x
3
x
4
_
¸
¸
_
=
_
¸
¸
_
h
˙
h
θ
˙
θ
_
¸
¸
_
, y =
_
y
1
y
2
_
, u =
_
u
1
u
2
_
=
_
i
1
i
2
_
,
respectively.
A nonlinear state model of this system is given by
_
¸
¸
_
˙ x
1
˙ x
2
˙ x
3
˙ x
4
_
¸
¸
_
=
_
¸
¸
¸
¸
_
x
2

1
M
_
2u
1
x
1
+Lsin x
3
+
2u
2
x
1
−Lsin x
3
_
+ g
x
4
_
−Lcos x
3
J
_
_
2u
1
x
1
+Lsin x
3
_
+
_
Lcos x
3
J
_
_
2u
2
x
1
−Lsin x
3
_
_
¸
¸
¸
¸
_
_
y
1
y
2
_
=
_
x
1
+ Lsin x
3
x
1
−Lsin x
3
_
Suppose that we wish to keep the bar suspended at an equilibrium po-
sition h
eq
= 0.5, θ
eq
= 0.0. By substituting these values into the above
differential equations, it may be shown that this requires a constant bias
current i
eq
1
= i
eq
2
= I
eq
, where I
eq
= 0.25.
If we wish to design a linear feedback control system to maintain the
bar suspended at this equilibrium position, we shall need a model of the
112 Chapter 4: THE OPTIMAL LINEAR REGULATOR
linearized dynamics describing motion about the equilibrium. To do this, let
x
i
= x
eq
i
+ ∆x
i
, y
i
= y
eq
i
+ ∆y
i
, u
i
= I
eq
i
+ ∆u
i
, where ∆x
i
, ∆y
i
, ∆u
i
each
represent a small deviation from equilibrium. For notational convenience, we
replace ∆x
i
, ∆y
i
, ∆u
i
by the corresponding x
i
, y
i
, u
i
. It is straightforward
to show that the linearized state dynamics are given by
˙ x = Ax + Bu
y = Cx
where
A =
_
¸
¸
_
0 1 0 0
2 0 0 0
0 0 0 1
0 0 6 0
_
¸
¸
_
, B =
_
¸
¸
_
0 0
−2 −2
0 0
−1 1
_
¸
¸
_
, C =
_
1 0 6 0
1 0 −6 0
_
.
Suppose we wish to design a feedback control scheme to achieve the fol-
lowing design goals:
(i) Closed loop stability.
(ii) Zero steady state error to commands in h and θ.
(iii) The transient responses of the system to step commands in height and
angle should be decoupled. That is, a step command to height should
not affect angle, and vice-versa.
(iv) The step response due to a height command should exhibit < 5% over-
shoot and < 0.5 seconds rise time (where rise time is measured from
0% to 90% of steady state value).
(v) The step response due to an angle command should exhibit < 5% over-
shoot and < 0.5 seconds rise time.
One way to achieve these goals is to use state feedback with constant
precompensation, and then design an observer for the states. In this problem,
we will only do the state feedback portion of the design. Note first that the
measured outputs are y =
_
y
1
y
2
¸
T
, which represent deviations of each
end of the bar from equilibrium. However, the performance specifications
are imposed upon height and angle deviations, z =
_
h θ
¸
T
. As we saw in
Section 1.4, it is often the case that system variables that are important for
performance differ from those that are measured. Conceptually, we have the
system shown in Figure 4.4. Be consistent: H
or C
z
.
4.5. HOMEWORK PROBLEMS FOR CHAPTER 4 113
(sI-A)
-1
C
z
z
y
u
Σ
B
-
K
r
C
x
G
Figure 4.4: Performance vs Measured Outputs
(a) Assume that K is a stabilizing state feedback. Suppose we wish to
regulate the system outputs to desired constant values, z

=
_
h

θ

¸
T
.
What value must G have so that the response to commands of the form
r = z

exhibits zero steady state error?
(b) Use LQ design techniques to design a state feedback controller to satisfy
the above design goals. Iterate on the Q and R matrices and evaluate
step responses until the above specifications are achieved. Hand in a set
of plots showing that you have achieved the specifications.
(c) Now assume that there is an unknown mass with weight w hanging from
the bar a distance d from the center of the bar, as shown in Figure 4.5.
f
1
f
2
y
1
y
2
2L
Mg
θ
h
w
d
M=2
g=1
L=6
Figure 4.5: Magnetic Bar with Unknown Weight
The state equations become
˙ x = Ax +Bu + Ew
y = Cx
114 Chapter 4: THE OPTIMAL LINEAR REGULATOR
where (A, B, C) are as before, and E =
_
0 0.5 0 d/24
¸
T
. Design
a feedback control law so that the design goals stated above remain
satisfied despite the presence of the constant disturbance. That is, when
no disturbance is present, the step response of the system should be
decoupled and satisfy the rise time and overshoot specifications. When
a step disturbance is added, its effect should be zero in steady state.
The controller may be implemented as shown in Figure 4.6, where
H =
_
1 6
1 −6
_
(4.51)
transforms setpoint commands for h and θ into setpoint commands for
y
1
and y
2
. Note that the augmented state vector contains the integrator
(sI-A)
-1
B
y
u
Σ
-
K
C
x
Σ
H
r=z
*
I/s K
I
-
y
*
-
Figure 4.6: Integral Control for the Magnetic Bar
states
_
(y
i
−y

i
), i = 1, 2. It will be useful in your design to penalize the
integrals of height and angle error:
_
(h − h

) and
_
(θ − θ

). This may
be done by using a state weighting matrix of the form
Q
aug
=
_
Q 0
0 Q
y
_
,
where
Q
y
= H
−T
Q
x
H
−1
and Q
x
is diagonal.
Hand in a set of plots showing that you have achieved the specifications.
Add a part to make
them look at the
size of the control
signal. Also, have
them try reference
feedforward.
The Matlab m-files PB1a PS5.m and PB1b PS5.m will help with the plots
for this problem.
Chapter 5
The Optimal Linear Estimator
Revised January 7, 2003.
115
116 Chapter 5: THE OPTIMAL ESTIMATOR
We noted in the introduction to Chapter 4 that the task of designing an
observer for a linear system would be expedited if there were a systematic
methodology for selecting the observer gain. Our purpose in this chapter is
to formulate and solve the optimal estimation problem, whose solution is also
known as the Kalman filter. We shall also state the solution to the Linear
Quadratic Gaussian (LQG) stochastic optimal control problem.
Before commencing, we remark that the Kalman filter has many appli-
cations that do not involve closing a feedback loop around the estimates of
the state variables, and thus is interest independently of its use in feedback
control.
5.1 Motivation
Consider a linear system whose process dynamics are affected by a distur-
bance, and for which the measurement of the system output is contaminated
by measurement noise:
˙ x = Ax +Bu + d, x ∈ R
n
, u ∈ R
p
(5.1)
y
m
= Cx +n, y ∈ R
q
, x(0) = x
0
. (5.2)
Suppose that we design an observer for this system,
˙
ˆ x = Aˆ x +Bu + L(y
m
−Cˆ x). (5.3)
Define the state and output estimation errors by
∆x x − ˆ x (5.4)
∆y C∆x. (5.5)
The process disturbance and measurement noise affect the state estima-
tion error dynamics:
∆˙ x = (A −LC)∆x + d −Ln. (5.6)
The Laplace transform of the output estimation error satisfies
∆Y (s) =
_
I + C(sI −A)
−1
L
_
−1
C(sI −A)
−1
D(s)

_
I +C(sI −A)
−1
L
_
−1
C(sI −A)
−1
LN(s). (5.7)
5.1. MOTIVATION 117
(sI-A)
-1
C
y
Σ
Observer
x
^
C
y
^
Σ
-
∆y
Cx
x
Σ B
u
n
d
y
m
Figure 5.1: Observer Error with Disturbance and Noise
It follows from the identity
_
I +C(sI −A)
−1
L
_
−1
+
_
I +C(sI −A)
−1
L
_
−1
C(sI −A)
−1
L = I (5.8)
that the response to both disturbance and measurement noise signals cannot
be made small at the same frequency. For a single output system (5.7)
reduces to refer back to the
homework problem
where we derived
this relation
∆Y (s) =
_
C(sI −A)
−1
1 + C(sI −A)
−1
L
_
D(s) −
_
C(sI −A)
−1
L
1 + C(sI −A)
−1
L
_
N(s) (5.9)
An obvious design tradeoff may be illustrated by supposing that the observer
gain is given by L = γL
0
, where γ is a scalar parameter. If the observer is
stable for all values of γ, then increasing the observer gain by letting γ →∞
will attenuate the effect of the disturbance at the expense of amplifying the
measurement noise. Alternately, suppose that γ → 0, so that the estimator
is essentially running “open loop”. Then the measurement error does not
affect the output estimate, but there is no ability to attenuate the effects of
the disturbance.
It is desirable to have an observer design procedure that rationalizes the
tradeoff between the responses to the disturbance and to the measurement
error. One way to achieve such a compromise is to adopt stochastic models
for these signals, and use stochastic optimization techniques to perform this
tradeoff.
There are different philosophies regarding optimal observer design. First,
we may have reasonable stochastic models for the process and measurement
118 Chapter 5: THE OPTIMAL ESTIMATOR
noises affecting the system, and seek to design an observer that makes an
optimal compromise between them. Second, we may simply wish to design
an observer to use in conjunction with state feedback so that the resulting
closed loop system has reasonable stability margins and bandwidth. Our
development in the present chapter adopts the first approach. Later in this
book we will develop the theoretical background needed to appreciate and
apply the second approach.
5.2 The Time Varying Optimal Estimator
We shall consider the linear system (5.1), and suppose that the disturbance
and noise signals have stochastic models. To emphasize this fact, we write
˙ x = Ax + Bu + v, x ∈ R
n
, u ∈ R
p
(5.10)
y
m
= Cx + w, y ∈ R
q
, x(t
0
) = x
0
. (5.11)
where v and w are stationary, zero mean, Gaussian white noise processes
with covariance kernels
E
_
v(t)v(τ)
T
_
= V δ(t −τ) (5.12)
E
_
w(t)w(τ)
T
_
= Wδ(t −τ). (5.13)
The definition of a covariance kernel implies that V and W are positive
semidefinite matrices. We shall assume that W > 0. This assumption implies
that the noise affects all the measured outputs of the system; i.e., there are
no “clean measurements”.
Let the initial state have mean and covariance
¯ x
0
= E¦x(t
0
)¦ (5.14)
Σ
0
= E
_
(x(t
0
) − ¯ x
0
) (x(t
0
) − ¯ x
0
)
T
_
. (5.15)
Assume that v, w, and x(t
0
) are mutually uncorrelated:
E
_
v(t)w(τ)
T
_
= 0, ∀t, τ (5.16)
E
_
x(t
0
)v(t)
T
_
= 0, ∀t (5.17)
E
_
x(t
0
)w(t)
T
_
= 0, ∀t (5.18)
5.2. THE TIME VARYING OPTIMAL ESTIMATOR 119
Let ˆ x(t) denote an estimate of the system state at time t ≥ t
0
. Suppose that
we know the input and (measured) output of the system for times between t
0
and t: u(τ), y
m
(τ), ∀τ ∈ (t
0
, t). Then we may attempt to use this information
to construct a state estimate ˆ x(t) that minimizes the mean square estimation
error E
_
∆x
T
(t)∆x(t)
_
, where ∆x is defined by (5.4).
The following result shows that the estimate ˆ x(t) which minimizes the
mean square error may be obtained as the state of a dynamical system having
the structure of an observer with a time-varying gain, L(t).
Theorem 5.1 Consider the linear system (5.10) together with the system
˙
ˆ x = Aˆ x + Bu + L(t)(y
m
−Cˆ x), ˆ x(t
0
) = ¯ x
0
. (5.19)
Suppose that
L(t) = Σ(t)C
T
W
−1
, ∀t ≥ t
0
, (5.20)
where Σ(t) is the solution to the dual Riccati differential equation
˙
Σ(t) = Σ(t)A
T
+ AΣ(t) + V −Σ(t)C
T
W
−1
CΣ(t), (5.21)
with initial condition
Σ(t
0
) = Σ
0
. (5.22)
Then
(i) ˆ x(t) minimizes E¦∆x(t)
T
∆x(t)¦,
(ii) E¦∆x(t)¦ = 0 and E¦∆x(t)∆x(t)
T
¦ = Σ(t),
(iii) E¦∆x(t)
T
∆x(t)¦ = trace Σ(t),
(iv) Σ(t) ≥ 0 exists and is finite ∀t ≥ t
0
.

The system (5.19) is known as the time varying optimal estimator, or Kalman
filter. The various statements in the theorem have the following implications.
It follows from (i) that the state of this estimator minimizes the mean square
estimation error. Furthermore, (ii) says that the estimation error has zero
mean, covariance given by the solution to the dual Riccati equation (5.21).
Finally, statement (iii) implies that the mean square value of the estimation
error is equal to the trace of the covariance matrix which, by (iv), is finite.
120 Chapter 5: THE OPTIMAL ESTIMATOR
Note the strong resemblance between the solutions to the time varying
optimal estimation and the linear quadratic regulator problems. In each case,
the solution is obtained by solving a Riccati differential equation. Because
(5.21) is solved forward in time, it is possible to implement the estimator in
real time by numerically integrating the equation.
5.3 A Proof of the Time Varying Estimator
In this section we provide a proof of the time varying optimal estimator result
stated in Theorem 5.1.
5.3.1 Preliminary Lemmas
Our first preliminary result will be used to reduce the Riccati differential
equation that arises in the optimal estimation problem to the Riccati equa-
tion that arises from the optimal linear regulator.
Lemma 5.2 Consider the system of differential equations
˙ x(t) = f(t, x(t)), x(t
0
) = x
0
, t ≥ t
0
. (5.23)
Choose t
1
> t
0
and define
z(t) x(σ −t), σ t
0
+ t
1
. (5.24)
Then z(t) satisfies
˙ z(t) = −f(σ −t, z(t)), z(t
1
) = x
0
, t ≤ t
1
. (5.25)
Proof: By definition, z(t
1
) = x
0
. Furthermore, x(σ − t) is defined for
(σ − t) ≥ t
0
, and thus the definition of σ implies that z(t) is defined for
t ≤ t
1
. Finally, differentiating (5.24) yields
dz(t)
dt
=
dx(σ −t)
d(σ −t)
d(σ −t)
dt
,
= −f(σ −t, x(σ −t)),
and (5.25) follows from the definition (5.24).
5.3. A PROOF OF THE TIME VARYING ESTIMATOR 121
Example 5.3 Suppose that
˙ x = ax, x(t
0
) = x
0
.
Then
x(t) = e
a(t−t
0
)
x
0
, t ≥ t
0
.
Defining z(t) as in (5.24) yields
z(t) = e
a(σ−t−t
0
)
x
0
,
= e
a(t
1
−t)
x
0
.
Differentiating yields
˙ z(t) = −ae
a(t
1
−t)
x
0
,
= −az(t)
which is consistent with (5.25).
Our second result pertains to the optimal linear regulator, and thus by
duality to the optimal estimator. We provide a formula for calculating the
regulation cost associated with an arbitrary state feedback, which must of
course be larger than the cost associated with the optimal feedback.
Lemma 5.4 Consider the cost function
J(t
0
, x
0
, T, u) =
_
T
t
0
_
x
T
Qx + u
T
Ru
_
dt + x
T
(T)P
f
x(T), (5.26)
where
˙ x = Ax + Bu, x(t
0
) = x
0
. (5.27)
(i) Suppose that the control law is given by
u(t) = −
˜
K(t)x(t) (5.28)
where
˜
K(t) is an arbitrary time-varying state feedback. Then the value
of the cost function (5.26) is
J(t
0
, x
0
, T, −
˜
K(t)x) = x
T
(t
0
)
˜
P(t
0
)x(t
0
), (5.29)
where
˜
P(t) is the solution to the matrix Lyapunov differential equation

˙
˜
P(t) = Q +
˜
K
T
(t)R
˜
K(t) +
˜
P(t)(A −B
˜
K(t)) + (A −B
˜
K(t))
T
˜
P(t)
(5.30)
˜
P(T) = P
f
. (5.31)
122 Chapter 5: THE OPTIMAL ESTIMATOR
(ii) Let P(t) denote the solution to (5.30) for the gain K(t), where
K(t) = R
−1
B
T
P(t), (5.32)
and P(t) is the solution to the Riccati differential equation

˙
P(t) = P(t)A + A
T
P(t) + Q−P(t)BR
−1
B
T
P(t) (5.33)
P(T) = P
f
. (5.34)
Then
˜
P(t) ≥ P(t), ∀t ∈ [t
0
, T], (5.35)
in the sense that
x
T
(t)
˜
P(t)x(t) ≥ x
T
(t)P(t)x(t), ∀x(t). (5.36)

A proof of Lemma 5.4 may be found in [16].
5.3.2 Proof of Theorem 5.1
We now use the results from the preceding section to prove Theorem 5.1. We
proceed by considering the observer (5.19) with an arbitrary gain
˜
L(t), and
show that the mean square estimation error associated with this gain must
be at least as large as that for the gain computed from the Riccati equation
(5.21). We shall use results from Appendix F describing how the statistics of
a white noise process change when they are passed through a linear system.
Proof: We have seen that the estimation error associated with the observer
(5.19) with gain
˜
L(t) satisfies the differential equation
∆˙ x =
_
A −
˜
L(t)C
_
∆x + v −
˜
L(t)w. (5.37)
It follows from Section F.4.1 that the mean square estimation error has co-
variance
E
_
(∆x(t) −∆¯ x(t))(∆x(t) −∆¯ x(t))
T
_
=
˜
Σ(t), (5.38)
where
˜
Σ(t) satisfies the Lyapunov differential equation and initial condition
˙
˜
Σ(t) =
_
A −
˜
L(t)C
_
˜
Σ(t) +
˜
Σ(t)
_
A −
˜
L(t)C
_
T
+ V +
˜
L(t)W
˜
L
T
(t),
(5.39)
˜
Σ(t
0
) = Σ
0
. (5.40)
5.3. A PROOF OF THE TIME VARYING ESTIMATOR 123
Expanding the expression for the covariance in (5.38) yields
E
_
∆x(t)
T
∆x(t)
_
= ∆¯ x(t)
T
∆¯ x(t) + trace
˜
Σ(t), (5.41)
Because ∆¯ x(t) satisfies the differential equation and initial condition

˙
¯ x(t) =
_
A −
˜
L(t)C
_
∆¯ x(t), ∆¯ x(t
0
) = ∆¯ x
0
, (5.42)
it follows that the first term on the right hand side of (5.41) will be equal to
zero if
ˆ x(t
0
) = ¯ x
0
. (5.43)
Let us now consider the problem of minimizing the second term in (5.41).
We do this by “reversing time” in the differential equation (5.39). Choose
t
1
> t
0
, and define
˜
P(τ) =
˜
Σ(σ −τ), σ = t
0
+ t
1
. (5.44)
It follows from Lemma 5.2 that
˜
P(τ) satisfies the differential equation

˙
˜
P(τ) =
_
A
T
−C
T
˜
L
T
(σ −τ)
_
˜
P(τ) +
˜
P(τ)
_
A −
˜
L(σ −τ)C
_
+ V +
˜
L(σ −τ)W
˜
L
T
(σ −τ), τ ≤ t
1
, (5.45)
with terminal condition
˜
P(t
1
) = Σ
0
. (5.46)
Suppose that we choose
˜
L(σ −τ) = L(σ −τ), where
L(σ −τ) = W
−1
CP(τ), τ ≤ t
1
, (5.47)
and P(τ) satisfies the Riccati differential equation

˙
P(τ) = P(τ)A
T
+ AP(τ) + V −P(τ)C
T
W
−1
CP(τ), τ ≤ t
1
, (5.48)
with terminal condition P(t
1
) = Σ
0
. It follows from Lemma 5.4 that if
˜
P(τ)
denotes the solution to (5.45) for some other gain
˜
L(σ−τ), then P(τ) ≤
˜
P(τ)
in the sense defined in Lemma 5.4. By definition (5.44), it follows that
Σ(σ −τ) ≤
˜
Σ(σ −τ), σ −τ ≥ t
0
. (5.49)
124 Chapter 5: THE OPTIMAL ESTIMATOR
Defining t = σ −τ yields that
Σ(t) ≤
˜
Σ(t), t ≥ t
0
. (5.50)
It follows that
E
_
e(t)
T
e(t)
_
= trace Σ(t) (5.51)
is minimized by choosing the observer gain as
L(t) = W
−1
CΣ(t), t ≥ t
0
. (5.52)

5.4 The Time Invariant Optimal Estimator
Suppose that we have been estimating the state for an arbitrarily long time;
i.e., assume that t
0
→ −∞. By duality with the optimal regulator prob-
lem, it follows that, with appropriate hypotheses, the solution to the Riccati
equation (5.21) will converge to a constant value, and that the observer gain
(5.20) will be a constant.
Theorem 5.5 Assume that (A, C) is detectable, and (A, V ) is stabilizable,
and consider the optimal estimation problem of Theorem 5.1.
(i) Let Σ(t
0
, t) denote the solution to the Riccati differential equation (5.21)
for a given t
0
. Then the limit
lim
t
0
→−∞
Σ(t
0
, t) =
¯
Σ (5.53)
exists and is finite.
(ii) The optimal estimator gain is given by
¯
L =
¯
ΣC
T
W
−1
, (5.54)
and the eigenvalues of A −
¯
LC are stable.
(iii) The matrix
¯
Σ is the unique positive semidefinite solution to the Dual
Algebraic Riccati Equation:
0 =
¯
ΣA
T
+ A
¯
Σ + V −
¯
ΣC
T
W
−1
C
¯
Σ. (5.55)
5.4. THE TIME INVARIANT OPTIMAL ESTIMATOR 125

A proof of Theorem 5.5 may be obtained by dualizing the solution to the
infinite horizon optimal regulator problem. The hypotheses of the theorem
have the following implications
• The assumption that (A, C) is detectable implies that a stable observer
exists, and thus that the steady state error covariance is finite. (This is
the dual to the fact that (A, B) is stabilizable implies that the optimal
cost of the infinite horizon regulator is finite.)
• The assumption that (A, V ) is stabilizable implies that the process
noise affects all the unstable dynamics of the system, either directly
or through interactions with the other states. This guarantees that
the optimal observer gain does stabilize the system. (This is dual to
the fact that (A, Q) detectable implies that the optimal state feedback
stabilizes the system.) Indeed, if there are unstable dynamics that are
unaffected by the process noise, then there is no reason to take noisy
measurements to estimate the associated states. It is therefore plausible
that (A, V ) is stabilizable implies the optimal observer must be stable.
5.4.1 Tradeoffs Between Process and Measurement Noise
Recall the tradeoff between disturbance and noise response described by 5.1.
We now give a simple example showing how this tradeoff may be performed
using the optimal estimation methodology.
Consider the system
˙ x = Ax + v
y = Cx + w
where
A =
_
−4 −4
1 0
_
, C =
_
1 1
¸
, V =
_
1 0
0 0
_
, W = ρ
In Section 5.1 we showed that there exists a tradeoff between the response
of the estimation error to the process disturbance and to the measurement
noise that is described by
∆Y (s) =
_
C(sI −A)
−1
1 + C(sI −A)
−1
L
_
V (s) −
_
C(sI −A)
−1
L
1 +C(sI −A)
−1
L
_
W(s) (5.56)
126 Chapter 5: THE OPTIMAL ESTIMATOR
Suppose that the measurement noise is very small (ρ ≈ 0). Then it is plau-
sible that the response of the system to process disturbance will decrease,
at the cost of increased response to measurement noise. This conjecture is
verified by the plots in Figures 5.2-5.3. When the measurement is relatively
clean, the estimator is able to use it effectively to attenuate the effects of the
disturbance. Specifically, if ρ →0, indicating that the measurement becomes
clean, then the response to the process noise will diminish (Figure 5.2) and
the response to measurement noise will increase (Figure 5.3).
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
ω, rad/sec
Process noise, v, to output estimation error vs ρ
ρ = 1.0
ρ = 0.1
ρ = 0.01
ρ = 0.001
Figure 5.2: Transfer Function from Process Noise to Output Estimation Error
5.5 The LQG Control Problem
By combining the solutions to the linear regulator and optimal estimator
problems, we can obtain a solution to the Linear Quadratic Gaussian optimal
control problem.
Consider the linear system (5.10) where v and w are zero mean, stationary
Gaussian white noise processes whose statistics satisfy (5.12)-(5.13) and x
0
is
a Gaussian random variable with mean E¦x
0
¦ = ¯ x
0
and covariance Σ
0
that
satisfies (5.16)-(5.18).
Suppose that we wish to minimize the expected value of a quadratic cost
5.5. THE LQG CONTROL PROBLEM 127
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
ω, rad/sec
Measurement noise, w, to output estimation error vs ρ
ρ = 1.0
ρ = 0.1
ρ = 0.01
ρ = 0.001
Figure 5.3: Transfer Function from Measurement Noise to Output Estimation
Error
function:
J(t
0
, x
0
, u) = lim
T→∞
1
T
E
__
T
0
_
x
T
Qx + u
T
Ru
_
dt
_
,
where Q ≥ 0 and R > 0.
Assume that the system dynamics, weighting matrices, and covariance ma-
trices satisfy:
(i) (A, B) is stabilizable,
(ii) (A,

Q) is detectable,
(iii) (A,

V ) is stabilizable, and
(iv) (A, C) is detectable.
Then the optimal control has the form of state feedback applied to the state
estimate given by a Kalman filter: u(t) = −Kx(t), where K = R
−1
B
T
P,
with P the unique positive semidefinite solution to the Algebraic Riccati
Equation
PA +A
T
P +Q−PBR
−1
B
T
P = 0
128 Chapter 5: THE OPTIMAL ESTIMATOR
and ˆ x is the state of an observer with gain L = ΣCW
−1
, where Σ is the
unique positive semidefinite solution to the dual Algebraic Riccati Equation:
0 = ΣA
T
+AΣ + V −ΣC
T
W
−1
CΣ.
Note there exists a separation principle: the Kalman filter design does
not depend on the weighting matrices Q and R, nor does the optimal state
feedback gain depend on the noise statistics.
5.6. HOMEWORK PROBLEMS FOR CHAPTER 5 129
5.6 Homework Problems for Chapter 5
Problem 5.1
In this problem, we consider the estimation problem dual to the regulator
problem described in Problem 4.4. Consider a linear system
˙ x = Ax + v, x, y ∈ R
y = Cx + w, C ,= 0
where we model v and w as independent zero-mean Gaussian white noise
processes with covariances E
_
vv
T
_
= V and E
_
ww
T
_
= W, respectively.
Assume that V > 0 and W > 0.
(a) Find the Algebraic Riccati Equation that must be solved to obtain the
optimal observer gain.
(b) Find formulas for the optimal error covariance and optimal observer gain,
in terms of A, C, V , and W.
(c) How does the optimal observer eigenvalue vary with the covariances V
and W?
(d) Consider the block diagram of the optimal estimator shown in Figure 5.4.
(sI-A)
-1
v
C
Σ
C Observer Σ
w
x
y
m
x
^
^
y
Cx
-
∆y
Figure 5.4: Optimal Estimator
Find the closed loop transfer functions T
v∆y
(s) and T
w∆y
(s) from v and
w to ∆y. State your answer in terms of A, C, V , and W.
(e) How does the DC gain of T
v∆y
(s) vary as V/W →∞?
130 Chapter 5: THE OPTIMAL ESTIMATOR
(f) How do the DC gain and frequency response of T
w∆y
(s) vary in the limit
as V/W →∞?
(g) Describe qualitatively how the response of ∆y to v and w will vary as
V/W →∞.
(h) Use Bode plots of the closed loop transfer functions T
v∆y
(s) and T
w∆y
(s),
along with simulations of the response of ∆y(t) to white noise inputs, to
verify your claims in parts (e)-(g). Hand in plots comparing the transfer
functions and noise responses for various values of the ratio V/W. What
happens if you fix the value of V and let W →0?
(i) What happens if the filter is designed for relatively clean measurements,
but the actual measurements are much noisier? Describe what you expect
to happen, and investigate with Matlab.
The Matlab m-file PB1 PS6.m will help with the plots for this problem.
Problem 5.2 Consider the problem of estimating a constant scalar signal
z(t) from a noisy measurement
y(t) = z(t) + w(t) (5.57)
where we assume that w(t) is white noise with covariance W > 0.
Suppose that we model the constant signal z(t) as the state of a linear
system with unknown initial condition:
˙ z(t) = 0, z(t
0
) = z
0
. (5.58)
To apply Kalman filtering techniques to the problem of estimating z(t), as-
sume that z
0
is a random variable with mean ¯ z
0
and covariance Σ
0
.
The optimal estimator has the form
˙
ˆ z(t) = L(t)(y(t) − ˆ z(t)), ˆ z(t
0
) = ¯ z
0
. (5.59)
(a) Find an expression for L(t).
(b) How does L(t) behave as t →∞? Explain this behavior.
(c) Find the steady state gain estimator gain
¯
L = lim
t
0
→−∞
L(t).
(d) Is the estimator with steady state gain stable? Explain. (Consider the
effect of disturbances and measurement errors.)
Chapter 6
Fundamental Limitations in
SISO Feedback Systems
Revised January 7, 2003.
131
132 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
In this chapter we study certain fundamental limitations that constrain
the performance of any linear time invariant SISO feedback system. We
shall see that these limitations manifest themselves as tradeoffs that force
the feedback control engineer to compromise among conflicting design goals.
Indeed, we have already seen one such tradeoff in Chapter 1, namely, that
between those feedback properties such as disturbance attenuation that are
governed by the sensitivity function, and properties such as noise rejection
that are governed by the complementary sensitivity function.
A thorough knowledge of fundamental design limitations is essential to
any engineer working in the control field. Suppose your boss asks you to
design a controller for a given plant in order to meet certain performance
specifications. What if you are not successful in this task? Is your failure
due to your incompetence as a control engineer? Or did your boss assign
you an impossible problem? If the problem as stated is indeed impossible,
can you tell your boss how the specifications must be relaxed in order to be
achievable? If it is not permissible to relax the specifications, then can you
advise your boss as to how the plant can be changed, perhaps by buying
additional, or more expensive components, in order that the specifications
can be achieved? Can the problem be solved by additional modeling, which
also tends to be expensive?
The preceding scenario presupposes that you, as a control engineer, have
only become involved with the project at a relatively late stage in its de-
velopment. Any design difficulties that emerge at this stage are likely to
be close to production, and thus time consuming and expensive to fix. On
the other hand, perhaps you have become involved at an earlier stage of
the engineering process, during which the plant is still being specified. Then
perhaps you can use your knowledge of fundamental limitations to influence
the design of the plant so that the associated limitations and tradeoffs do
not prevent a satisfactory feedback control law from being designed. Such
influence will have a much greater impact upon the success of the overall en-
gineering project (in terms of financial benefits to your company) than does
any single control law that you may design.
In this chapter, we study certain fundamental limitations that are im-
posed upon properties of a feedback system. These limitations show that
certain design specifications may not be achievable, and lead to design trade-
offs that must be performed between various desirable system properties.
We first review properties of closed loop transfer functions, and the feedback
properties they describe, in Section 6.1. Then, in Section 6.2, we study limits
6.1. CLOSED LOOP TRANSFER FUNCTIONS 133
on time domain specifications as such as rise time, settling time, overshoot,
and undershoot. Many important feedback properties, such as bandwidth
and stability margins, are characterized by the closed loop transfer func-
tions. In Section 6.3 we describe how to develop design specifications stated
in terms of these transfer functions. We then discuss two classes of design
tradeoffs: “algebraic” tradeoffs in Section 6.4, and “analytic” tradeoffs in
Section 6.5.
6.1 Closed Loop Transfer Functions
Consider the One Degree of Freedom (1DOF) Single Input, Single Output
(SISO) feedback system depicted in Figure 6.1. Unless otherwise noted, we
Σ
C(s) P(s)
r e
u
Σ
d
O
Σ
n
y
-
Σ
d
I
v
Figure 6.1: One Degree of Freedom Single Input, Single Output Feedback
System
shall consider this feedback architecture throughout this chapter. In Chap-
ter 1, we defined the open loop transfer function L(s) = P(s)C(s), and the
sensitivity and complementary sensitivity functions, S(s) = 1/(1+L(s)) and
T(s) = L(s)/(1 + L(s)), respectively. As discussed in Chapter 1, many im-
portant properties of this feedback system are governed by the four closed
loop transfer functions S(s), T(s), S(s)P(s), and C(s)S(s). For example,
the response to exogenous inputs is given by
Y (s) = S(s)D
O
(s) + T(s) (R(s) −N(s)) + S(s)P(s)D
I
(s) (6.1)
E(s) = S(s) (R(s) −D
O
(s) −N(s) −P(s)D
I
(s)) (6.2)
U(s) = −T(s)D
I
(s) +C(s)S(s) (R(s) −N(s) −D
0
(s)) . (6.3)
We have seen in Section 1.4 that the closed loop transfer functions govern
the response of a feedback system to exogenous input signals. Furthermore,
134 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
in Section 1.8 we saw that the sensitivity function governs the effect that
“sufficiently small” parameter variations have upon the closed loop response.
In Chapter 7 we shall show that the closed loop transfer functions also provide
a measure of stability robustness against modeling error.
Interpolation Constraints
We now present a simple lemma whose implications for feedback design are
quite profound, and will in fact require the remainder of this chapter to
develop in detail.
Lemma 6.1 Assume that the feedback system in Figure 6.1 is stable. Let
the plant and controller be described by
P(s) = N
P
(s)/D
P
(s), C(s) = N
C
(s)/D
C
(s), (6.4)
where (N
P
(s), D
P
(s)) and (N
C
(s), D
C
(s)) are each pairs of coprime polyno-
mials.
(a) Suppose that P(z) = 0, and/or C(z) = 0, z ∈CRHP. Then necessarily
S(z) = 1, T(z) = 0. (6.5)
(b) Suppose that p ∈CRHP is a pole of P(s) and/or C(s). Then necessarily
S(p) = 0, T(p) = 1. (6.6)
Proof: Recall that the characteristic polynomial (1.32) is given by ∆ =
D
P
D
C
+ N
P
N
C
. Suppose that P(z) = 0, z ∈CRHP. Then necessarily
N
P
(z) = 0. If D
C
(z) = 0 also, then the closed loop characteristic poly-
nomial will satisfy ∆(z) = 0, and the system will be unstable. Closed loop
stability requires that D
C
(z) ,= 0 and thus, from (1.33), that S(z) = 1. The
remainder of the results follow from similar arguments, and are left as an
exercise for the reader.
Conditions (6.5)-(6.6) are termed interpolation constraints: if the plant has
CRHP zeros or poles, then the values of the closed loop transfer functions
S(s) and T(s) are constrained to equal certain values at the locations of
these zeros and poles. As we shall see, plants with poles and/or zeros in the
6.2. TIME DOMAIN DESIGN LIMITATIONS 135
CRHP may be difficult to control, with the degree of difficulty depending
on the relative location of these poles and zeros with respect to the control
bandwidth.
Note that S(s) and T(s) are also constrained at the locations of any
CRHP poles and zeros of the controller. However, there is a conceptual
difference between the constraints due to poles and zeros of the plant and
those due to poles and zeros of the controller. Those due to the plant are
inherent, and cannot be removed without modifying the system we are trying
to control. Since we get to choose the controller, we have more flexibility to
choose its pole and zero locations, and presumably will not choose controller
poles and zeros that compromise our ability to achieve a satisfactory feedback
design.
6.2 Time Domain Design Limitations
Classical control textbooks all discuss design specifications imposed upon
qualitative properties of the step response, including its rise time, settling
time, overshoot, and undershoot. In this section, we shall use the definition
of the Laplace transform, together with the interpolation constraints (6.5)-
(6.6) to show that the presence of CRHP poles and zeros will impose design
tradeoffs among different properties of the step response. These tradeoffs
are above and beyond such familiar tradeoffs as that between rise time and
overshoot in a second order system with no zeros.
6.2.1 Integrators and Overshoot
Many feedback systems contain at least one integrator, if not in the plant,
then in the controller. The potential advantages of such integrators are that
they allow step commands to be tracked with zero steady state error, despite
the presence of parameter variations and unknown step disturbances. How-
ever, these benefits come with a price in terms of the transient behavior of
the system.
Definition 6.2 Consider the response of the feedback system in Figure 6.1
to a unit step command. We say that the response exhibits overshoot if
y(t) exceeds its commanded value at some time: y(t) > 1. If the system
overshoots its commanded value, then we define the amount of overshoot as
136 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
the smallest number y
os
> 0 such that
y(t) ≤ 1 +y
os
, ∀t. (6.7)

Note that this definition of overshoot measures the amount by which the step
response exceeds its commanded value; overshoot may also be defined as the
amount by which the step response exceeds its steady state value.
We now show that the potential benefits of open loop integrators, in terms
of steady state tracking error, are accompanied by potential costs in terms
of the transient behavior of the step response.
Theorem 6.3 Assume that the feedback system in Figure 6.1 is stable, and
let r(t) = 1(t), a unit step command.
(a) If L(s) has at least two poles at s = 0, then
_

0
e(t)dt = 0. (6.8)
(b) If L(s) has one pole at s = 0, then
_

0
e(t)dt = 1/K
v
, (6.9)
where K
v
is the velocity constant, defined by
K
v
lim
s→0
sL(s). (6.10)

In practice, L(s) will be strictly proper, and thus the initial value theorem
states that the step response satisfies y(0
+
) = 0. Hence there will exist an
initial time interval over which e(t) > 0. It follows from (6.8) that there
must also exist a time interval over which e(t) < 0 and thus y(t) > 1. Hence
any system with a double integrator must necessarily exhibit overshoot in its
step response.
If L(s) has but one integrator, then the tendency to overshoot may be
reduced if the velocity constant is small. However, a small value of K
v
implies a large steady state error in response to a ramp input, and thus may
be undesirable.
6.2. TIME DOMAIN DESIGN LIMITATIONS 137
6.2.2 Open Right Half Plane Poles and Overshoot
Open loop poles that are real, and that lie in the open right half plane, will
also cause overshoot in the step response.
Theorem 6.4 Assume that the feedback system in Figure 6.1 is stable, and
let r(t) = 1(t), a unit step command. Suppose that p is a pole of L(s) with
Re(p) > 0. Then
_

0
e
−pt
e(t)dt = 0. (6.11)

Consider a real pole, p > 0. Then e
−pt
> 0, and it follows, as in the
discussion of (6.8), that the step response will necessarily exhibit overshoot.
Indeed, there exists a guaranteed minimum overshoot whose size is inversely
proportional to a measure of the rise time of the system.
Corollary 6.5 Define the α-rise time, t
α
, as the smallest value of t such
that
y(t) ≤ α < 1, ∀t ≤ t
α
. (6.12)
Then
pt
α
≤ log
_
1 +y
os
−α
1 −α
_
. (6.13)

Suppose that α = 0.9 and y
os
= 0.2. Then
pt
α
≤ log(3) ≈ 1.1. (6.14)
Hence, as p becomes more unstable, the rise time of the closed loop system
must decrease to maintain the desired overshoot. In Problem 6.4 a more
detailed model of the initial portion of the step response is used to derive a
tighter estimate of the tradeoff between rise time and overshoot for an open
loop unstable system.
Note that the proof of Theorem 6.4 uses the fact that the feedback system
has the unity feedback architecture depicted in Figure 6.1. In Problem 6.4
the effect of other feedback control architectures on the limitations imposed
by an unstable open loop pole are explored.
138 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
6.2.3 Open Right Half Plane Zeros and Undershoot
Zeros of L(s) that lie in the open right half plane also constrain the step
response. For reasons that will be discussed in Section 6.5.2, such zeros are
said to be nonminimum phase.
Definition 6.6 Consider the response of the feedback system in Figure 6.1
to a unit step command. We say that the response exhibits undershoot if the
step response is ever negative: y(t) < 0. Define the amount of undershoot as
the least negative number y
us
< 0 such that
y(t) ≥ y
us
, ∀t. (6.15)

Undershoot is commonly defined to be present whenever the step response
“starts” in the wrong direction: y(0
+
) < 0. Our definition is more general,
as it allows y(t) to be negative at any time.
Our next result shows that any system with a real open loop nonminimum
phase zero must necessarily exhibit undershoot in its step response.
Theorem 6.7 Assume that the feedback system in Figure 6.1 is stable, and
let r(t) = 1(t), a unit step command. Suppose that z is a zero of L(s) with
Re(z) > 0. Then
_

0
e
−zt
y(t)dt = 0. (6.16)

It follows immediately from (6.16) that the feedback system must exhibit
undershoot in response to a unit step command (unless L(s) is identically
zero, in which case the system does not response to the command at all!)
Note an important difference between the limitation on undershoot im-
posed by an ORHP zero, and that on overshoot imposed by an ORHP pole.
Specifically, it follows from the proof of Theorem 6.7 that the design limi-
tations due to an ORHP zero remain present even with the use of alternate
control architectures such as open loop control or state feedback, and with
nonlinear or time-varying control laws.
Corollary 6.8 Assume that the feedback system in Figure 6.1 has unity DC
gain: T(0) = 1. Define the β-settling time, t
β
, as the smallest value of t
6.2. TIME DOMAIN DESIGN LIMITATIONS 139
such that
[y(t) −1[ ≤ β < 1, ∀t ≥ t
β
. (6.17)
Then
zt
β
≥ log
_
y
us
−1 + β
y
us
_
. (6.18)

Suppose that β = 0.1 and y
us
= −0.1. Then
zt
β
≥ log(10) ≈ 2.3. (6.19)
Hence, as z gets smaller, the settling time must increase in order to maintain
the desired level of undershoot.
If L(s) has both a pole and a zero in the ORHP, then either a large
overshoot or undershoot will exist even with no specifications imposed upon
rise time or settling time.
Theorem 6.9 Assume that T(0) = 1, and that L(s) has a real ORHP pole
p and a real ORHP zero z. Then, if p > z
y
us
<
z
z −p
. (6.20)
If z > p, then
y
os
>
p
z −p
. (6.21)

Example 6.10 Many results on fundamental design limitations can be illus-
trated using the familiar example of an inverted pendulum on a cart, depicted
in Figure 6.2.
A linear model of the inverted pendulum has transfer functions [26]
P
yu
(s) =
(s −b)(s + b)
Ms
2
(s −a)(s + a)
, (6.22)
P
θu
(s) =
−1
Ml(s −a)(s + a)
, (6.23)
where g denotes the acceleration due to gravity,
b =
_
g/l, a =
_
(M + m)g/Ml.
140 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
u
m
M
l
θ
y
Figure 6.2: Inverted Pendulum on a Cart
Let parameter values be given by l = 1 m, g = 10 m/sec
2
. If m/M = 0.1,
then a =

11 and b =

10. If m/M = 1, then a =

20 and b =

10.
Suppose that we design a controller using only a measurement of the cart
position. Then (6.20) implies that the unit step response will exhibit an check to see if we
do this in a home-
work problem
undershoot y
us
< −20 m (if m/M = 0.1), and y
us
< −2.4 m (if m/M = 1).
Hence there will be a large undershoot that worsens as the location of the pole
approaches that of the zero. The theory of fundamental design limitations
quickly identifies the design difficulty due to the ORHP pole and zero in
the plant. We shall return to the inverted pendulum in a later section,
and show that adding an additional sensor to feed back the pendulum angle
significantly lessens the design limitations.
6.3 Frequency Domain Design Specifications
Because the closed loop transfer functions describe so many important prop-
erties of a feedback system, it is natural to consider design specifications
stated in terms of frequency dependent bounds upon their magnitude. For
SISO systems, these bounds take the form
[S(jω)[ < M
S
(ω) (6.24)
[T(jω)[ < M
T
(ω) (6.25)
[C(jω)S(jω)[ < M
CS
(ω) (6.26)
[S(jω)P(jω)[ < M
SP
(ω) (6.27)
6.3. FREQUENCY DOMAIN DESIGN SPECIFICATIONS 141
In fact, specifications of the form (6.24)-(6.27) may not be stated explicitly,
but are usually implicitly present in any feedback design problem. For ex-
ample, we always want the response to disturbances to be small, the control
response to not be overly aggressive, and so forth.
Frequency response design specifications are sometimes stated in terms
of the infinity norm.
Definition 6.11 Let G(s) denote the transfer function of a stable proper
linear time invariant system. Then the infinity norm of the system is defined
as
|G|

max
ω≥0
[G(jω)[. (6.28)

In words, the infinity norm is simply the peak in the Bode gain plot of G.
Suppose we let W
S
(s) denote the transfer function of a stable system such
that [W
S
(jω)[ = 1/M
S
(ω). Then the specification (6.24) may be restated as
the requirement that |W
S
S|

< 1.
Often, instead of designing to meet specifications such as (6.24)-(6.27), we
instead examine Bode gain plots of the closed loop transfer functions to de-
termine whether any of them have peaks that are “too large”, or bandwidth
that is “too high”. Nevertheless, there do exist several methods for develop-
ing specifications such as (6.24)-(6.27) explicitly. These include specifications
developed from
• problem data
• a prototype system
• a legacy design.
We now discuss each of these alternatives.
Specifications Developed from Problem Data
Of course, the best possible method to develop design specifications is to use
data and models for the specific problem at hand. However, to develop spec-
ifications from problem data, one must model the exogeneous input signals
such as noise and disturbances, plant uncertainty, and performance require-
ments. Such models might not be available in the detail required to state
142 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
these specifications, and the cost of obtaining them may be prohibitive. Of
course, a rough approximations may be used. Furthermore, in many feed-
back design problems one doesn’t know what level of performance may be
expected until several controllers are designed in order to better understand
the performance limiting feature of the system.
An example of the use of problem data to develop a bound (6.25) to
assure stability robustness against poorly modeled plant dynamics is found
in Chapter 7.
Specifications Developed from a Prototype Design
There are certain systems whose properties are very well understood, and it
may prove useful to ask the performance of a feedback system to approximate
the performance of such a system. For example, we may wish to use a
second order systems with no zeros; such systems are discussed extensively in
undergraduate textbooks. In the following example, we show how to develop
design specifications asking that system approximate a first order system
obtained by closing a feedback loop arund an integrator.
Example 6.12 Consider a feedback system whose plant is simply an inte-
grator, and whose controller is a proportional gain k. The sensitivity and
complementary sensitivity functions for such a system are given by
S

(s) =
s
s + k
, T

(s) =
k
s + k
. (6.29)
Suppose we develop design specifications by defining
M
S
(ω) 2[S

(jω)[, M
T
(ω) 2[T

(jω)[. (6.30)
Plots of these bound for the case k = 1 are found in Figure 6.3. Also in
Figure 6.3 are plots of the sensivity and complementary sensitivity functions
for the plant and controller
P(s) =
1
s(s + 1)
, C(s) = 1. (6.31)
Note that the specifications have been achieved.
6.4. ALGEBRAIC DESIGN TRADEOFFS 143
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
ω, rad/sec
m
a
g
n
i
t
u
d
e
sensitivity and complementary sensitivity
|S|
|T|
MS
MT
Figure 6.3: Sensitivity and Complementary Sensitivity Functions, and Design
Specifications
Specifications Developed from a Legacy Design
Often a feedback system exists, and it is desired to change some parameter
of the system, perhaps to reduce cost, to improve reliability, or to alter some
other aspect of system performance. It is then reasonable to ask whether the
new system can match the performance of the old system. In this case, the
closed loop transfer functions of the existing system may be used to construct
specifications by a procedure analogous to that in Example 6.12. my example for
this is the M-1
tank
6.4 Algebraic Design Tradeoffs
We saw in Section 1.9 that the identity
S(s) + T(s) = 1 (6.32)
prevents both [S(jω)[ and [T(jω)[ from being very small at the same fre-
quency. It follows immediately that not all specifications of the form (6.24)-
(6.25) will be achievable. Hence, at each frequency the desirable system
properties of disturbance attenuation and noise rejection must be traded off
against one another. This is sometimes termed an algebraic design tradeoff
because it is quantified by the simple algebraic equation (6.32). Note that
144 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
this tradeoff is actually a consequence of the structure of a feedback loop and
is not unique to linear time invariant systems.
Other algebraic design tradeoffs are also present. For example, in Sec-
tion 1.10 we saw that there exists a tradeoff between disturbance attenuation
and control response whose severity at any frequency depends upon the size
of the plant gain. In fact, there exists a design tradeoff between those system
properties described by S and SP, and those properties described by T and
CS.
Lemma 6.13 Suppose that
(a) (6.24) and (6.25) are both satisfied at frequency ω. Then
M
S
(ω) + M
T
(ω) > 1. (6.33)
(b) (6.24) and (6.26) are both satisfied at frequency ω. Then
M
S
(ω) +[P(jω)[M
CS
(ω) > 1. (6.34)
(c) (6.25) and (6.27) are both satisfied at frequency ω. Then
M
T
(ω) +
M
SP
(ω)
[P(jω)[
> 1. (6.35)
(d) (6.26) and (6.27) are both satisfied at frequency ω. Then
M
SP
(ω)
[P(jω)[
+[P(jω)[M
CS
(ω) > 1. (6.36)

In Problem 6.2, the reader is asked to derive the four bounds in Lemma 6.13,
and to provide design interpretations of each of them.
6.5 Analytic Design Tradeoffs
A second class of design tradeoffs must be performed between feedback prop-
erties in different frequency ranges. These are sometimes termed analytic
design tradeoffs, because they are quantified by equations arising from com-
plex analytic function theory. These tradeoffs are in effect frequency domain
counterparts to the time domain tradeoffs discussed in Section 6.2.
6.5. ANALYTIC DESIGN TRADEOFFS 145
6.5.1 Motivation
Consider the classical Bode loop shaping specification described in Section 1.12.
Recall this specification requires the use of high gain at low frequencies to
achieve performance specifications, the use of low gain at high frequencies to
satisfy bandwidth constraints, and that phase be bounded away from ±180

near gain crossover frequency.
Suppose we wish to improve performance by adding more gain at low
frequencies. We can do this using a lag filter
G
lag
(s) =
s + z
s + p
, z > p. (6.37)
Note from Figure 6.4 that a lag filter will increase the low frequency gain at
the expense of adding additional phase lag at intermediate frequencies. This
phase lag may result in an excessively small phase margin, or even instability!
10
−2
10
−1
10
0
10
1
10
2
0
5
10
15
20
phase lag filters
m
a
g
n
i
t
u
d
e
,

d
b
z/p = 2
z/p = 5
z/p = 10
10
−2
10
−1
10
0
10
1
10
2
−60
−50
−40
−30
−20
−10
0
ω/p
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 6.4: Bode Plots of a Lag Filter
Alternately, suppose that we wished to use a lead filter
G
lead
(s) =
_
p
z
_
s +z
s + p
, z < p (6.38)
146 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
to increase the phase margin without reducing low frequency gain. The Bode
plots in Figure 6.5 reveal that a lead filter will also the high frequency gain
of the system, thus potentially violating bandwidth constraints.
10
−2
10
−1
10
0
10
1
10
2
0
5
10
15
20
phase lead filters
m
a
g
n
i
t
u
d
e
,

d
b
z/p = 0.5
z/p = 0.2
z/p = 0.1
10
−2
10
−1
10
0
10
1
10
2
0
10
20
30
40
50
60
ω/p
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 6.5: Bode Plots of a Lead Filter
We see from these examples that it is difficult to manipulate gain and
phase independently. Furthermore, attempts to satisfy the Bode loop shaping
specification in one frequency range may compromise our ability to satisfy the
specification at other frequencies. However, it is unclear whether the source
of this difficulty is the simple controllers we have been using, or whether a
more sophisticated controller will allow us to avoid this apparent tradeoff.
6.5.2 The Bode Gain-Phase Relation
Difficulty in independently shaping the gain and phase of a linear filter had
been noticed by design engineers by the 1920’s and ’30’s. At that time, how-
ever, it was not known whether this difficulty was due to an inadequate filter
design methodology, or to some fundamental underlying principle. In [18], Y.
W. Lee, a student of Norbert Weiner, used the Hilbert transform to point out
that in fact gain and phase cannot be manipulated independently. Indeed,
specifying the gain of a transfer function over the entire jω-axis constrains the
6.5. ANALYTIC DESIGN TRADEOFFS 147
phase of that transfer function completely. The implications of this fact for
design were unclear until the work of Bode [2], who stated precise conditions
under which these constraints were applicable, and formulated a statement
of the constraints that lent themselves readily to design interpretations. This
result is known as the Bode gain-phase relation.
Theorem 6.14 Assume that L(s) = P(s)C(s) is a rational function with
no poles or zeros in the open right half plane. Assume further that the gain
has been normalized so that L(0
+
) > 0. Then, at each frequency ω
0
, phase
and gain
1
are related by:
∠L(jω
0
) =

0
π
_
+∞
−∞
log [L(jω)[ −log [L(jω
0
)[
ω
2
−ω
2
0
dω (6.39)
=
1
π
_
+∞
−∞
d log [L(jω
0
e
ν
)[

log
_
coth
[ν[
2
_
dν (6.40)
where ν = log(ω/ω
0
).
A proof of this result is found in [26]. The gain-phase relation has several
important implications:
• The phase of the transfer function is completely determined by its gain.
Hence the two parameters, gain and phase, that describe the frequency
response yield only one degree of freedom in design.
• The phase depends upon the slope of the Bode gain plot. An intuitive
feel for this relationship may be obtained from the Bode plots of the
lag and lead filters in Figures 6.4-6.5.
• As a special case, suppose that L(s) = 1/s
N
. It is easy to verify that
d log [L[

= −N, or −20N
db
decade
. (6.41)
and
∠L(jω
0
) = −

2
, or −90N

. (6.42)
These values are consistent with (6.40):
1
π
_

−∞
−N log
_
coth
[ν[
2
_
dν =
−N
π
π
2
2
(6.43)
1
By “log” we mean the “natural log, or “log base e”.
148 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
• The weighting function
log
_
coth
[ν[
2
_
= log
¸
¸
¸
¸
ω + ω
0
ω −ω
0
¸
¸
¸
¸
(6.44)
is plotted in Figure 6.6, and implies that ∠L(jω
0
) depends strongly
upon the rate of decrease in [L(jω
0
)[ at frequencies near ω
0
. Hence, if
the slope is constant near the frequency at which we wish to determine
the phase, relations (6.41)-(6.42) will hold approximately. A rule of
thumb useful for design states that phase at a given frequency, ω
0
, is
determined by the rate of gain decrease over a frequency range that is
centered at ω
0
, and approximately a decade in width.
10
−2
10
−1
10
0
10
1
10
2
0
1
2
3
4
5
6
7
8
9
ω/ω
0
log(coth|ν/2|)
Figure 6.6: Weighting Function for Bode Gain-Phase Integral
• It follows from the Bode gain-phase relation that in order to achieve
closed loop stability it is necessary that the loop gain roll off less rapidly
than −40db/decade near gain crossover frequency. To achieve reason-
able phase margins, it is usually necessary that loop gain roll off at
≈ −20db/decade near gain crossover frequency.
• The Bode gain-phase relation implies a tradeoff between the low fre-
quency performance specification and the high frequency bandwidth
6.5. ANALYTIC DESIGN TRADEOFFS 149
limitation! Specifically, the rate of gain decrease near crossover fre-
quency cannot be much greater than −20db/decade if we are to achieve
nominal stability and a reasonable phase margin. As a consequence,
design specifications as shown in Figure 1.17 for which the frequencies
ω
1
and ω
2
are too close together will be impossible to satisfy.
The Effect of RHP Zeros and Poles
The Bode gain-phase relation is applicable to rational transfer functions with
no poles and zeros lying in the ORHP. We now discuss the effect that such
poles and zeros have upon the relation between gain and phase.
Suppose that L(s) has N
z
ORHP zeros, ¦z
i
, i = 1, . . . , N
z
¦, and N
p
ORHP
poles, ¦p
i
, i = 1, . . . , N
p
¦. Then we may factor L(s) as
L(s) = L
0
(s)B
z
(s)B
−1
p
(s), (6.45)
where
B
z
(s) =
Nz

i=1
z
i
−s
¯ z
i
+ s
, B
p
(s) =
Np

i=1
p
i
−s
¯ p
i
+ s
(6.46)
are Blaschke products of ORHP zeros and poles, respectively.
Each Blaschke product is an allpass transfer function whose magnitude
is equal to one at all frequencies
[B
z
(jω)[ = 1, ∀ω, [B
p
(jω)[ = 1, ∀ω. (6.47)
The phase of each Blaschke product does change with frequency. For exam-
ple, the phase of a Blaschke product for a single real zero,
B
z
(s) =
z −s
z + s
plotted in Figure 6.7. Note in particular that ∠B
z
(jω) →−180

, as ω →∞,
and thus the Blaschke product adds phase lag without changing gain. Hence,
out of all stable rational transfer functions with the same Bode gain plot,
that transfer function with the minimum amount of phase lag is the one that
contains no ORHP zeros. If such zeros are present, there will exist additional
phase lag, and it is for this reason that ORHP zeros are termed nonminimum
phase (NMP) zeros. A transfer function with at least one NMP zero is termed
a nonminimum phase transfer function.
150 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
10
−2
10
−1
10
0
10
1
10
2
−180
−160
−140
−120
−100
−80
−60
−40
−20
0
Blaschke product, real zero
ω/z
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 6.7: Phase Lag for a Blaschke product with a Real Zero
Hence, if L(s) is has ORHP zeros, then we may apply the Bode gain phase
relation to L
0
(s). The NMP zeros contribute additional phase lag, thereby
worsening the design tradeoff between high gain at low frequencies and low
gain at high frequencies. Indeed, the presence of an NMP zero implies that
the gain crossover frequency must lie well below ω = z, the frequency at
which the NMP zero contributes −90

phase lag.
If L(s) contains ORHP poles, then it is easy to verify that the Blaschke
product due to these poles contributes phase lead to L(jω). This does not
mitigate the design tradeoff because the Nyquist Stability Criterion requires
a different number of encirclements, and thus different specifications on gain
and phase, in order to achieve closed loop stability. As we shall see, if L(s) has
both ORHP poles and zeros, then tradeoffs in feedback design can become
much worse than if only the NMP zeros were present.
Time Delays
The most common example of a nonrational transfer function is one contain-
ing a time delay, L(s) = L
0
(s)e
−sτ
. To analyze the effect of such a delay, note
that, like a NMP zero, a delay adds phase lag to L(jω) without changing
[L(jω)[.
It is common in applications to approximate the delay by a rational trans-
fer function. For example, one may use a Pade approximation. The first and
6.5. ANALYTIC DESIGN TRADEOFFS 151
second order Pade approximations to e
−sτ
are given by [8, 21]
P
1
(s) =
2 −τs
2 +τs
, P
2
(s) =
12 −6τs + (τs)
2
12 + 6τs + (τs)
2
.
These Pade approximations have NMP zeros at
2
τ
and
1
τ
(3 ± j

3), respec-
tively. The phase lag of the delay and two approximations is plotted in
Figure 6.8.
10
−2
10
−1
10
0
10
1
10
2
−400
−350
−300
−250
−200
−150
−100
−50
0
p
h
a
s
e
,

d
e
g
r
e
e
s
phase of delay e
−jωτ
& Pade Approximations
ω/τ
delay
1st order
2nd order
Figure 6.8: Phase Lag of a Time Delay and Approximations
In practice, there is seldom any need to use very high order Pade ap-
proximations because the bandwidth limitation imposed by the delay is ac-
curately modeled by the bandwidth limitations imposed by low order Pade
approximations. It follows that design limitations due to time delays may be
approximated by those due to nonminimum phase zeros. In each case, the
limitation manifests itself by contributing additional phase lag to the transfer
function, with no attendant change in gain.
6.5.3 The Bode Sensitivity Integral
The Bode gain-phase relation describes a tradeoff between system properties
at low and high frequencies that is imposed by the need to satisfy the Nyquist
stability criterion with a reasonable phase margin. It is also possible to
152 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
describe this tradeoff in terms of the sensitivity function. We shall assume
that the open loop transfer function may be factored as
L(s) = L
0
(s)B
z
(s)B
−1
p
(s)e
−sτ
, (6.48)
where B
z
(s) and B
p
(s) are Blaschke products (6.46) of ORHP zeros and
poles, respectively, and τ ≥ 0 represents a time delay.
Theorem 6.15 Assume that S(s) is stable, that L(s) has at least two more
poles than zeros, and that L(s) has no poles in the ORHP. Then This theorem holds
for any transfer
function of the
form 1/(1+L),
where L satisfies
certain proper-
ties...
_

0
log [S(jω)[dω = 0. (6.49)

The integral relation (6.49) states that if [S(jω)[ < 1 over some frequency
interval, then necessarily [S(jω)[ > 1 at other frequencies. This fact is
sometimes termed the Bode waterbed effect: “The area of sensitivity increase
equals the area of sensitivity decrease, in units of db(rad/sec)”. Essentially,
the benefits of feedback due to sensitivity reduction over one frequency range
are exactly balanced by the costs of feedback due to sensitivity amplification
at other frequencies.
Recall from Section 1.9 that there exists a close relationship between
the Nyquist plot of an open loop system and the sensitivity function of the
corresponding feedback system. To illustrate, consider the Nyquist plot of
L(s) =
1
s(s + 1)
,
depicted in Figure 6.9. As ω → ∞, L(jω) → 0 along the negative real
axis (∠L(jω) = −180

). Hence, the Nyquist plot penetrates the unit cir-
cle centered at the critical point, and necessarily [S(jω)[ > 1, as shown in
Figure 6.10. In fact, the Nyquist plot of any L(s) with no ORHP poles or
zeros and a pole-zero excess equal to two must approach the origin along
the negative real axis, and thus must penetrate the unit circle. If L(s) has
pole-zero excess greater than two, then the need to satisfy the Nyquist stabil-
ity criterion implies that L(jω) passes through the unit circle, again forcing
[S(jω)[ > 1.
6.5. ANALYTIC DESIGN TRADEOFFS 153
−3 −2 −1 0 1 2 3
−3
−2
−1
0
1
2
3
Real axis
I
m
a
g

a
x
i
s
Nyquist plot
L(jω)
−1
Figure 6.9: Nyquist Plot Showing Sensitivity Increase
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−3
−2.5
−2
−1.5
−1
−0.5
0
0.5
1
log|S(jω)| vs ω
ω, rad/sec
Figure 6.10: Bode Gain Plot of Sensitivity Function
154 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Effect of Bandwidth Limitations
It is not immediately obvious that the Bode sensitivity integral imposes a
meaningful design limitation. Indeed, Bode [2] said that the integral rela-
tion (6.49) “is at least curious, although it may not be of great practical
importance . . . the high frequency region over which a perceptible increase in
[sensitivity] takes place may be very broad”.
For example, the area of sensitivity increase may (in principle) be ob-
tained by allowing log [S(jω)[ to exceed zero by an arbitrarily small amount,
, over an arbitrarily large frequency range, as shown in Figure 6.11. In prac-
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−3
−2.5
−2
−1.5
−1
−0.5
0
0.5
1
ε sensitivity increase
ω, rad/sec
Figure 6.11: Possible Sensitivity Tradeoff with Unlimited Bandwidth
tice, realistic bandwidth limitations imply that even an arbitrarily small level
of sensitivity increase cannot be maintained over a wide frequency range, and
thus that there exists a bound on the tail of the sensitivity integral.
Proposition 6.16 Assume that Can also assume
that L satisfies this
bound. [T(jω)[ <
_
ω
c
ω
_
k
, ∀ω > ω
c
, (6.50)
where <
1
2
and k ≥ 2. Then
_

ωc
log [S(jω)[dω <

c
2(k −1)
. (6.51)
6.5. ANALYTIC DESIGN TRADEOFFS 155

Because the area under the tail of the sensitivity integral is bounded, it
follows that most of the tradeoff between sensitivity reduction and sensitivity
increase must take place at low and intermediate frequencies. Our next result
provides a lower bound on a peak in sensitivity at intermediate frequencies.
Corollary 6.17 Assume that the hypotheses of Theorem 6.15 are satisfied.
Suppose further that
[S(jω)[ ≤ α < 1, ∀ω ≤ ω
1
, (6.52)
and that the closed loop bandwidth constraint (6.50) holds, where ω
c
> ω
1
.
Then
max
ω∈(ω
1
,ωc)
log [S(jω)[ ≥
_
ω
c
ω
c
−ω
1
_
log
1
α

_
ω
c
ω
c
−ω
1
_
3
2(k −1)
. (6.53)

It follows from Corollary 6.17 that bandwidth constraints, which are always
present in a realistic control design, will impose a nontrivial tradeoff between
sensitivity reduction at low frequencies and sensitivity increase at interme-
diate frequencies.
Sensitivity for an Open Loop Unstable System
The tradeoff imposed by the Bode sensitivity integral worsens when the
system to be controlled has open loop poles in the ORHP.
Theorem 6.18 Assume that S(s) is stable, that L(s) has at least two more
poles than zeros, and that L(s) has ORHP poles, ¦p
i
, i = 1, . . . , N
p
¦. Then
_

0
log [S(jω)[dω = π
Np

i=1
Re¦p
i
¦. (6.54)

It follows that the area of sensitivity increase exceeds that of sensitivity de-
crease by an amount proportional to the sum of the distances from the ORHP
poles to the left half plane. The cost of achieving two benefits of feedback,
disturbance attenuation and stabilization, is thus greater than that of achiev-
ing only the benefit of disturbance attenuation.
156 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Example 6.19 To illustrate, the Nyquist plot of the open loop unstable
system
L(s) =
5
s
2
+ s −2
.
is plotted in Figure 6.12, and encircles the critical point the appropriate
number of times to yield closed loop stability. The Bode plot of the sensitivity
−3 −2.5 −2 −1.5 −1 −0.5 0 0.5 1
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
Real axis
I
m
a
g

a
x
i
s
Nyquist plot, open loop unstable system
−1
L(jω)
Figure 6.12: Nyquist Plot of Unstable Open Loop System
function is shown in Figure 6.13. Note that the area of sensitivity increase
is clearly larger than that of sensitivity decrease.
6.5.4 The Poisson Sensitivity Integral
We have stated several times that the additional phase lag due to a NMP
zero may cause poor feedback properties, such as phase margins, if the phase
lag is significant over the useful bandwidth of the system. We now make this
statement precise.
First, let’s compare the Nyquist plot of a NMP plant P(s) with that of
its minimum phase counterpart P
m
(s):
P(s) =
−s + 1
(s + 0.5)(s + 1)
, P
m
(s) =
1
s + 0.5
.
6.5. ANALYTIC DESIGN TRADEOFFS 157
0 1 2 3 4 5 6 7 8 9 10
−3
−2.5
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
log|S(jω)| vs ω
ω
Figure 6.13: Sensitivity Function for an Open Loop Unstable System
Note from Figure 6.14 that the Nyquist plot of this NMP system extends into
the unit circle centered at the critical point. Hence, as shown in Figure 6.15,
there exists a frequency range over which [S(jω)[ > 1.
Our next result allows us to restate the interpolation constraint (6.5) as
a constraint imposed upon the Bode gain plot of the sensitivity function.
This theorem holds
for any transfer
function of the
form 1/(1+L),
where L satisfies
certain proper-
ties...
Theorem 6.20 Assume that S(s) is stable. Let z = x + jy, x > 0, denote
an NMP zero of L(s). Then
_

0
log [S(jω)[W(z, ω)dω = π log [B
−1
p
(z)[, (6.55)
where B
p
(s) is the Blaschke product (6.46) of ORHP poles of L(s), and
W(z, ω) =
x
x
2
+ (y −ω)
2
+
x
x
2
+ (y + ω)
2
. (6.56)
Proof: Note that S(s) may be factored as S(s) = S
m
(s)B
p
(s), where S
m
(s)
has no poles or zeros in the ORHP and [S
m
(jω)[ = [S(jω)[. It is easy to
verify that log S
m
(s) satisfies the hypotheses of Lemma A.1. Hence, for z in
the ORHP,
_

0
log [S(jω)[W(z, ω)dω = π log [S
m
(z)[. (6.57)
158 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
Real axis
I
m
a
g

a
x
i
s
Nyquist plots, MP and NMP
MP
NMP
Figure 6.14: Nyquist Plots of Minimum Phase and Nonminimum Phase Sys-
tems
10
−2
10
−1
10
0
10
1
10
−1
10
0
10
1
sensitivity functions, MP and NMP systems
ω, radians/sec
m
a
g
n
i
t
u
d
e
NMP
MP
Figure 6.15: Sensitivity Functions for Minimum and Nonminimum Phase
Systems
6.5. ANALYTIC DESIGN TRADEOFFS 159
Noting that S
m
(z) = S(z)B
−1
p
(z), the result follows from the fact that S(z) =
1 at any zero of L(s).
Suppose first that the system is open loop stable. Then
_

0
log [S(jω)[W(z, ω)dω = 0. (6.58)
Since W(z, ω) > 0, ∀ω, it follows that if [S(jω)[ < 1 over any frequency
range, then necessarily [S(jω)[ > 1 at other frequencies.
Unlike the design tradeoff imposed by the Bode sensitivity integral, there
exists a guaranteed peak in [S(jω)[ even without the assumption of an addi-
tional bandwidth constraint. This follows from the weighting function in the
integrand, which implies that the weighted length of the jω-axis is finite.
If the system is open loop unstable, then the right hand side of (6.55) is
greater than zero. Indeed,
log [B
−1
p
(s)[ =
Np

i=1
log
¸
¸
¸
¸
¯ p
i
+ z
p
i
−z
¸
¸
¸
¸
. (6.59)
In particular, systems with approximate RHP pole zero cancellations have
very poor sensitivity and robustness properties. (This is not surprising, but
it is nice to see how it falls out of the mathematics...)
Sensitivity Peak and Phase Lag
Suppose that z = x > 0, a real NMP zero. Assume that the sensitivity
function is required to be small over a low frequency range:
[S(jω)[ < α < 1, ∀ω ∈ Ω [0, ω
0
). (6.60)
Define the weighted length of the frequency interval Ω by
Θ(z, Ω)
_
ω
0
0
W(z, ω)dω. (6.61)
It turns out that the weighted length of the interval Ω is equal to minus the
additional phase lag contributed by the NMP zero at its upper endpoint:
Θ(z, Ω) = −∠
_
z −jω
0
z + jω
0
_
. (6.62)
In particular, Θ(z, Ω) →π as ω
0
→∞.
160 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Corollary 6.21 If the closed loop system is stable, and the sensitivity func-
tion satisfies (6.60), then
max
ω≥ω
0
[S(jω)[ >
_
1
α
_
Θ(z,Ω)
π−Θ(z,Ω)
[B
−1
p
(z)[
π
π−Θ(z,Ω)
(6.63)

To illustrate, consider the plots in Figure 6.16, which show the phase lag
Θ(z, Ω) as well as the lower bound on |S|

implied by (6.63), for α = 0.5
and various locations of the zero relative to ω
0
. Do I define |S|

?
As the zero moves outside the frequency range where sensitivity reduc-
tion is required (ω
0
/z → 0), the phase lag at the upper endpoint and the
lower bound upon the peak in sensitivity both decrease. This confirms the
empirical observation that NMP zeros that lie well outside the bandwidth
of a system do not impose severe performance tradeoffs; NMP zeros within
this bandwidth, do impose nontrivial design limitations. Essentially, the loop
gain, [L(jω)[, must be rolled off well below the frequency at which the phase
lag contributed by the zero becomes significant. Maybe plot vs
z/ω
0
?
0 0.5 1 1.5 2 2.5 3
0
1
2
3
4
5
6
7
8
9
10
ω
0
/z
open loop stable, real NMP zero, α = 0.5, Ω = [0,ω
0
)
Θ(z,Ω)
bound on ||S||

Figure 6.16: Lower Bound on Sensitivity Peak for a Nonminimum Phase
System
If the open loop system has both a NMP zero and an ORHP pole, then
there will exist a peak in sensitivity even if no specification such as (6.60) is
6.5. ANALYTIC DESIGN TRADEOFFS 161
imposed. Indeed, we have
|S|

≥ [B
−1
p
(z)[. (6.64)
Again, we see that a system with an approximate pole-zero cancellation in
the ORHP will necessarily have a poor stability margin.
Example 6.22 To illustrate, let us return to the inverted pendulum on a
cart. We saw in Example 6.10 that attempting to control this system using
only a measurement of the cart will necessarily result in a feedback design
with large undershoot in the step response. Even if such undershoot were
acceptable (perhaps because the cart moved on a very long track!), the feed-
back system would still have very poor properties. Indeed, it follows from
(6.64) and (6.71) that if m/M = 0.1, so that the ORHP pole and zero are
very close together, then Do we treat this ex-
ample in a home-
work problem?
|S|

≥ 41. (6.65)
If m/M = 1.0, then the design limitations are still significant:
|S|

≥ 5.8. (6.66)
In particular, it follows from (6.66) that the Nyquist plot must penetrate a
circle of radius 0.18 centered at the critical point. This circle is plotted in
Figure 6.17, along with the Nyquist plot of a particular design. Note that it
is theoretically impossible to obtain a design with a Nyquist plot that does
not penetrate the small circle centered at the critical point!
6.5.5 The Middleton Complementary Sensitivity Inte-
gral
The integral relation (6.55) holds for each NMP plant zero taken one at a
time, but does not incorporate the combined effects of multiple zeros. It turns
out that T(s) must satisfy an integral constraint that does incorporate the
effects of all NMP zeros, well as any time delay that may be present [22, 26].
the role of delay
needs to be ex-
plained better.
comment on the
fact that delay
does not affect the
S integrals.
Theorem 6.23 Assume that T(s) is stable, and that L(s) has at least one
integrator. Then
_

0
log [T(jω)[

ω
2
+
π
2K
v
= π
Nz

i=1
1
z
i
+
πτ
2
. (6.67)
162 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
−3 −2.5 −2 −1.5 −1 −0.5 0 0.5 1
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
Nyquist plot, cart feedback only, maximum possible stability radius 0.17157
Figure 6.17: Maximum Possible Stability Radius for the Inverted Pendulum
with Cart Feedback Only
6.5. ANALYTIC DESIGN TRADEOFFS 163
where K
v
is the velocity constant defined in (6.56).
The size of the summation on the right hand side of (6.67) is an indication
of design difficulty associated with NMP zeros. If this summation is large,
then [T(jω)[ will tend to have a peak at intermediate frequencies hwose
size is influenced by the presence of other design specifications [22]. The
potential size of this peak will be lowered if K
−1
v
is large and positive; as in
the case of the time domain ntegral (6.9), the resulting small value of the
velocity constant will imply a large steady state error in response to a ramp
command.
6.5.6 The Poisson Complementary Sensitivity Integral
Just as the complementary sensitivity integral (6.67) is dual to the Bode
sensitivity integral, there also exists a dual to the Poisson sensitivity integral.
Theorem 6.24 Assume that T(s) is stable. Suppose that p = x+jy, x > 0,
is an ORHP pole of L(s). Then
_

0
log [T(jω)[W(p, ω)dω = π log [B
−1
z
(p)[ + πτx. (6.68)
where B
z
(s) is the Blaschke product (6.46) of ORHP zeros of L(s), and
W(p, ω) =
x
x
2
+ (y −ω)
2
+
x
x
2
+ (y + ω)
2
. (6.69)
Proof: Note that T(s) may be factored as T(s) = T
m
(s)B
z
(s)e
−sτ
, where
T
m
(s) has no poles or zeros in the ORHP and [T
m
(jω)[ = [T(jω)[. It is easy
to verify that log T
m
(s) satisfies the hypotheses of Lemma A.1. Hence, p in
the ORHP,
_

0
log [T(jω)[W(p, ω)dω = π log [T
m
(p)[. (6.70)
Noting that T
m
(p) = T(p)B
−1
z
(p)e
pT
, the result follows from the fact that
T(p) = 1 at any pole of L(s).
It follows immediately that any open loop unstable system which also has
a NMP zero or a time delay must have a peak in complementary sensitivity
that satisfies the lower bound
|T|

≥ [B
−1
z
(p)[e
τx
. (6.71)
164 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Note that time delays will contribute to design limitations associated with an
open loop unstable system. This fact is plausible since such delays impede
the processing of information around the feedback loop.
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 165
6.6 Homework Problems for Chapter 6
Problem 6.1 Consider the unity feedback system depicted in Figure 6.1,
and the notions of rise time and overshoot from Corollary 6.5 and Defini-
tion 6.2.
(a) Consider the second order system
G(s) =
ω
2
n
s
2
+ 2ω
n
ζs + ω
2
n
. (6.72)
For a fixed value of ω
n
, say ω
n
= 1, plot the step response for various
values of ζ. Will the step response exhibit overshoot if the poles are real?
How does the rise time of the system vary with the overshoot?
(b) Suppose that the plant is given by P(s) = 1/(s−1), and let the controller
be a constant gain k chosen to stabilize the system. Plot the closed loop
step response, and explain why it exhibits overshoot. Why does the
overshoot increase as the rise time decreases? Explain how to use a
precompensator to remove the overshoot without changing the rise time.
(c) Suppose next that the plant is given by P(s) = 1/(s(s − 1)). Design a
controller to stabilize the system, and so that all the closed loop poles
are real. Plot the closed loop step response, and explain why it exhibits
overshoot. Why does the overshoot increase as the rise time decreases?
Explain how to use a precompensator to remove the overshoot without
changing the rise time.
(d) Do your results from (b) and (c) contradict that of (a)? Explain.
Problem 6.2 Derive the four bounds in Lemma 6.13. In each case, discuss
the design tradeoffs that each bound describes.
Problem 6.3
You will see that open loop poles and zeros that lie in the right half
plane impose interpolation constraints on the closed loop transfer
functions.
166 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Consider the One Degree of Freedom SISO feedback system pictured in
Figure 6.18, and suppose that the plant and compensator transfer functions
have the form
P(s) =
N
P
(s)
D
P
(s)
, C(s) =
N
C
(s)
D
C
(s)
,
where (N
P
(s), D
P
(s)) and (N
C
(s), D
C
(s)) are each pairs of coprime polyno-
mials.
P(s) C(s)
Σ
-
r ( t ) y( t ) e( t )
Figure 6.18: One Degree of Freedom SISO Feedback System
We have seen that the feedback system in Figure 6.18 is stable if and only
if the four closed loop transfer functions S, T, SP, and CS have no poles in
the closed right half plane (CRHP).
(a) Assume that the closed loop system is stable, and prove that if P(z) = 0,
for some z ∈CRHP, then necessarily
S(z) = 1, and T(z) = 0. (6.73)
Some of this has
been moved to the
text.
(b) Assume that the closed loop system is stable, and prove that if p is a
pole of P(s) lying in the CRHP, then necessarily
S(p) = 0, and T(p) = 1. (6.74)
Conditions (6.73)-(6.74) are termed interpolation constraints: if the plant
has CRHP zeros or poles, then the values of the closed loop transfer functions
S(s) and T(s) are constrained to equal certain values at the locations of
these zeros and poles. As we shall see, plants with poles and/or zeros in the
CRHP may be difficult to control, with the degree of difficulty depending
on the relative location of these poles and zeros with respect to the control
bandwidth.
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 167
Note that S(s) and T(s) are also constrained at the locations of any
CRHP poles and zeros of the controller. However, there is a conceptual
difference between the constraints due to poles and zeros of the plant and
those due to poles and zeros of the controller. Those due to the plant are
inherent, and cannot be removed without modifying the system we are trying
to control. Since we get to choose the controller, we have more flexibility to
choose its pole and zero locations, and presumably will not choose controller
poles and zeros that compromise our ability to achieve a satisfactory feedback
design.
Problem 6.4
You will see that open loop unstable poles cause the step response of
a one degree of freedom feedback system to exhibit overshoot. The
extent of the overshoot depends upon the rise time of the closed loop
system.
Recall that the step response of a stable second order linear system with
no zeros will overshoot its steady state value depending upon the damp-
ing coefficient of its poles. Adding an OLHP zero to the system will tend
to exacerbate the extent of overshoot. We now show that a one degree of
freedom feedback system whose open loop transfer function possesses a real
ORHP pole is also guaranteed to exhibit overshoot. Assume that the system
in Figure 6.18 is stable, and consider the response to a unit step command
r(t) = 1(t). Let E(s) denote the Laplace transform of the resulting error
signal.
(a) Use the definition of the Laplace transform to show if the plant has a
real pole, p, lying in the ORHP, then the error signal satisfies the integral
relation
2
0 =
_

0
e
−pt
e(t)dt. (6.75)
Stated in words, (6.75) says that the integral of the error signal, weighted
by the decaying exponential e
−pt
, is equal to zero.
2
Be careful to show how the assumption that the pole lies in the ORHP is used.
168 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
(b) Define the peak overshoot in the unit step response as the maximum
amount by which it exceeds one
3
:
y
os
max
t>0
(y(t) −1) (6.76)
Show that if the plant has a real pole, p, lying in the ORHP, then nec-
essarily there is overshoot in the unit step response; i.e., y
os
> 0.
(c) We have just seen that the presence of a real ORHP open loop pole
implies that the step response will tend to overshoot. To obtain insight
into this phenomenon, consider the plant
P(s) =
1
s(s −1)
, (6.77)
stabilized with one of the lead controllers
C
1
(s) =
5(s + 0.1)
(s + 3)
, C
2
(s) =
26(s + 0.66)
(s + 7.21)
, C
3
(s) =
1050(s + 7)
(s + 47)
.
(6.78)
These lead controllers each result in the dominant closed loop poles hav-
ing the same damping coefficient, ζ = 0.69, but different natural fre-
quencies. Use the Matlab m-file PB3c PS5.m to plot the step responses
for these three controllers. Compare the qualitative relationship between
the overshoot as defined in (6.76), and the rise time defined, as in [8],
by the amount of time it takes the step response to go from 10% to 90%
of its final value. Do you see any trends? Does there appear to be a re-
lation between rise time and overshoot? Between closed loop bandwidth
(as approximated by the open loop crossover frequency) and overshoot?
(d) We now explore the tradeoff between rise time and overshoot for an
open loop unstable system analytically. To do so, we adopt an alternate
definition of rise time that proves to be easier to work with analytically.
Define the rise time t
r
as the smallest value of t for which the unit step
response satisfies
y(t) ≤
_
t
t
r
_
, ∀t ∈ [0, t
r
). (6.79)
3
Note that this is a nonstandard definition of overshoot, in that the system response is
not required to exceed its final value.
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 169
This definition of rise time has the appealing graphical interpretation
depicted in Figure 6.19. Specifically, if we draw a line starting at the
origin that is tangent to the step response, then the slope of this line is
1/t
r
.
0 1 2 3 4 5 6
0
0.2
0.4
0.6
0.8
1
time, seconds
rise time: t
r
= 1.35
t
r
y(t)
t/t
r
Figure 6.19: Definition (6.79) of Rise Time
It follows that the error signal satisfies
e(t) ≥ 1 −
_
t
t
r
_
> 0, ∀t ∈ [0, t
r
). (6.80)
Assume that the bounds (6.79)-(6.80) are satisfied, and use these bounds,
together with the integral relation (6.75), to show that
y
os

1 + (pt
r
−1)e
ptr
pt
r
, (6.81)
and verify from a plot of (6.81) that
y
os
≥ 0.5pt
r
. (6.82)
The bound (6.82) states that the overshoot will be large unless the rise
time of the closed loop system is fast with respect to the time constant
of the unstable pole.
170 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
(e) There is an (approximate) design rule of thumb which states that ω
b
, the
bandwidth of a feedback system as approximated by the gain crossover
frequency of the open loop system, and the rise time t
r
are related by
ω
b
t
r
≈ 2.3.
Use this approximation to show that requiring y
os
≤ 0.2 implies that
closed loop bandwidth should be at least five times as fast as the unstable
pole:
ω
b
≥ 5p. (6.83)
(f) Consider feedback system with constant precompensation shown in Fig-
ure 6.20, and suppose that the plant has an ORHP pole. Will the pres-
K
Σ
-
u
B
(sI-A)
-1
C
x y
r
G
Figure 6.20: State Feedback with Precompensation
ence of an unstable open loop pole imply that this feedback system neces-
sarily exhibits overshoot in its step response, as happens for the feedback
system in Figure 6.18? If yes, prove that it does. If not, explain why not
(i.e., why does the analysis used in our discussion of (6.75) fail?)
(g) In Problem C.1, we studied a feedback system whose block diagram
may be rewritten as in Figure 6.21. Will the response of y to a unit
step command exhibit overshoot? Will the response of u to a unit step
disturbance exhibit overshoot, in the sense that it u(t) < −1? Explain.
(You may wish to look at your plots from this problem!!!)
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 171
K
Σ
-
u
B
(sI-A)
-1
C
x y
x
^
r
N
Σ
d
Observer
G
d
^
Figure 6.21: Bias Estimator
172 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Problem 6.5
Consider the feedback system in Figure 6.1, with plant given by
P
τ
(s) =
1
s
2
+ s + 1
1
τs + 1
, (6.84)
where τ is the time constant of the control actuator.
With τ = 1 second, it is possible to design an integral controller with
closed loop transfer functions S
1
(s), T
1
(s), and C
1
(s)S
1
(s) shown in Fig-
ure 6.22.
Suppose that we wish to obtain closed loop transfer functions similar to
those for the case τ = 1 second, but with a slower actuator having time
constant τ = 10 seconds. Hence consider the design specifications
[S(jω)[ ≤ M
S
(ω), M
S
(ω) 1.2[S
1
(jω)[ (6.85)
[T(jω)[ ≤ M
T
(ω), M
T
(ω) 1.2[T
1
(jω)[ (6.86)
[C(jω)S(jω)[ ≤ M
CS
(ω), M
CS
(ω) 1.2[C
1
(jω)S
1
(jω)[. (6.87)
The factor “1.2” is introduced to allow the closed loop transfer functions
for the system to be moderately larger than those with the faster actuator.
The resulting bounds are plotted in Figure 6.23, together with the new plant
transfer function.
Are these specifications achievable? Why or why not?
Problem 6.6 Consider the problem of balancing a stick in the palm of
your hand. This is just an inverted pendulum problem, very similar to the
problem of stabilizing a booster vehicle (if we ignore the effects of flex). If
we consider the position of your hand as an input, and only model the states
of the pendulum itself, then we end up with a second order system, as shown
in Figure 6.24. The state equations are given by
dx
1
dt
= x
2
(6.88)
dx
2
dt
=
g
L
x
1

g
L
u (6.89)
y = x
1
, (6.90)
where x
1
is the distance of the pendulum tip from a reference position, x
2
=
˙ x
1
, g is the gravitational constant (10m/sec
2
), and L is the length of the
stick.
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 173
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
10
2
frequency, rad/sec
plant and closed loop transfer functions, τ = 1
|T
1
|
|S
1
|
|C
1
S
1
|
|P
1
|
Figure 6.22: Closed Loop Transfer Functions and Plant for τ = 1 second
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
10
2
frequency, rad/sec
design specifications and plant, τ = 10
M
T

M
S

M
CS

|P
10
|
Figure 6.23: Design Specifications, and Plant for τ = 10 seconds
174 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
HAND
M
x
1
θ
u
L
Figure 6.24: Balancing a Stick in the Palm of Your Hand
Just for fun, try to balance sticks of various lengths, noting whether longer
sticks or shorter sticks are easier to balance. In this problem we will use the
the Bode sensitivity integral to analyze the difficulty involved in balancing
the stick. To do so, we shall by view the problem as a linear feedback system
with a human compensator.
(a) How do the open loop eigenvalues vary with the length of the stick?
(b) We obviously need to use feedback to stabilize this system. Of course, we
also need to obtain a sufficiently large stability margin. The compensator
in this problem has a bandwidth limitation, due to the inability of a
human being to respond rapidly to stimuli. (Of course, some of you will
have faster reflexes than will others.) For the purpose of this problem,
assume that this bandwidth limitation reduces to a complete inability to
respond to signals with frequency content above 10 rad/sec. Hence we
will assume that
L(jω) = 0, ∀ω > 10rad/sec (6.91)
Suppose that we require the feedback system to stabilize the stick and
keep the Nyquist plot as far away from the critical point as possible.
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 175
(However, we do not require that sensitivity be less than one at any
frequency.) Define the peak in the sensitivity function by
|S|

= max
ω≥0
[S(jω)[. (6.92)
Show that there exists a theoretical minimum possible value of |S|

that varies as a function of the stick length, for 0 ≤ L ≤ 10 feet, and
denote this value by S

. Describe the qualitative relation between S

and
the stick length. Which stick lengths are most or least easy to robustly
stabilize? Hint: Consider a sensitivity function with the shape shown
in Figure 6.25, and calculate S

.
ω
log|S(jω)|
10 rad/sec
logS
*
0
Figure 6.25: Sensitivity Function with Minimum Possible Peak
Problem 6.7 Consider, as shown in Figure 6.2, the problem of stabilizing
the inverted pendulum on a cart. Define state variables as
_
¸
¸
_
x
1
x
2
x
3
x
4
_
¸
¸
_
=
_
¸
¸
_
y
˙ y
θ
˙
θ
_
¸
¸
_
. (6.93)
It may be shown that a model of this system, linearized about the pendulum
up position, is given by
˙ x =
_
¸
¸
_
0 1 0 0
0 0 −
mg
M
0
0 0 0 1
0 0
(M+m)g
Ml
0
_
¸
¸
_
x +
_
¸
¸
_
0
1
M
0

1
Ml
_
¸
¸
_
u, (6.94)
176 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
where g denotes the acceleration due to gravity. The transfer functions from
u to y and θ are given by:
P
yu
(s) =
K(s −b)(s + b)
s
2
(s −a)(s + a)
, P
θu
(s) =
_

1
Ml
_
(s −a)(s +a)
, (6.95)
where K = 1/M, b =
_
g/l, and a =
_
(M + m)g/Ml. Let parameter values
be given by l = 1m, g = 10m/sec
2
, and M = m = 0.5kg.
(a) In Problem 3 of Problem Set 2 we tried to stabilize this system using only Refer to the appro-
priate problem in
the text.
a measurement of the cart position. Recall that the resulting feedback
design had a Nyquist plot that came very close to the critical point and,
as a result, had a sensitivity function with a very large peak. Use the
fact that the plant has both an unstable pole and a nonminimum phase
zero to derive a lower bound on the minimum achievable peak in the
sensitivity function.
(b) Suppose that we try to stabilize this system using the inner/outer loop
controller architecture shown in Figure 6.26. Show that the response of
the pendulum and cart to a reference command is given by
_
Y (s)
Θ(s)
_
= S
O
(s)P(s)c
1
(s)R(s), (6.96)
where S
O
(s) is the output sensitivity function
S
O
(s) (I + P(s)C(s))
−1
, (6.97)
and
P(s) =
_
P
yu
(s)
[6pt]P
θu
(s)
_
, C(s) =
_
c
1
(s) c
2
(s)
¸
. (6.98)
Show that the NMP zero of P
yu
(s) imposes an interpolation constraint
upon the (1,1) element of S
O
(s), but that the unstable pole does not.
What are the design implications of these facts?
Problem 6.8 Consider the feedback system in Figure 6.27. Assume that
this feedback system is stable. Denote the transfer function from r(t) to y(t)
by
T(s) =
P(s)C(s)G
1 + P(s)C(s)
, (6.99)
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 177
Σ
P(s)
-
r(t)
y(t)
Σ
C
2
(s)
- θ(t)
C
1
(s)
e(t)
u(t)
v(t)
Figure 6.26: Inner and Outer Loops
P(s) C(s)
Σ
-
e
r y
G
Figure 6.27: SISO Feedback System with Precompensation
and suppose that G has been chosen so that T(0) = 1. Assume that P(s)C(s)
is strictly proper and that the system is initially at rest.
Consider the response of y(t) to a unit step input, r(t) = 1(t). The
assumptions that the system is strictly proper and initially at rest imply
that y(0
+
) = 0. The assumption that the closed loop DC gain is unity
implies that lim
t→∞
y(t) = 1.
We say that the step response of this system exhibits undershoot if y
us
<
0, where Does this definition
match that in the
text?
y
us
min
t>0
y(t). (6.100)
(a) Compare the step responses of three unity feedback systems, with plants
P
1
(s) =
s + 1
s
2
+ 2s + 1
, P
2
(s) =
−s + 1
s
2
+ 2s + 1
, P
3
(s) =
2(s
2
−3s + 2)
(s + 10)(s
2
+ 2s + 1)
(6.101)
and C(s) = 1 in all cases. Which of these systems exhibits undershoot as
defined above? For such systems, is it always true that the step response
“starts in the wrong direction”?
(b) Consider a unity feedback system, and suppose that P(s) has at least
one real nonminimum phase zero, z > 0. Prove that the step response
of the system necessarily exhibits undershoot.
(c) Let’s now derive a bound on the size of the undershoot. Define the
settling time t
s
as the smallest value of t such that
[y(t) −1[ ≤ 0.1, ∀t ≥ t
s
. (6.102)
178 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Prove that
y
us

0.9
1 −e
zts
< 0. (6.103)
(d) Suppose we require that
y
us
> −β, β > 0. (6.104)
Derive a lower bound that the product zt
s
must satisfy. If we don’t want
much undershoot, must settling time be slow or fast?
(e) Suppose that P(s) has a real ORHP pole, p, and a real NMP zero, z.
Suppose also that the product P(s)C(s) contains at least one integrator,
so that the precompensator G is unnecessary. Prove that if p > z, then
necessarily
y
us

1
1 −
p
z
. (6.105)
Hint: First show that the unit step response of the system satisfies
_

0
e
−pt
y(t)dt =
1
p
. (6.106)
(f) Consider the the inverted pendulum on a cart, as shown in Figure 6.2.
Suppose that we stabilize this system using only a cart measurement. This problem
is connected to
the previous one
through computa-
tions concerning
Figure 6.26.
Should make it
independent.
Use the numerical values from the previous exercise to derive an upper
bound on the undershoot that will necessarily be present in the step
response. Will undershoot be present when both outputs are used for
feedback, as shown in Figure 6.26? Explain.
Problem 6.9 Consider a unity feedback system with sensitivity function
S(s) = 1/(1 + L(s)). Assume that
|S|

≤ α, α ≥ 1. (6.107)
(a) Prove that the phase margin of the feedback system satisfies
PM ≥ 180

−2 cos
−1
_
0.5
α
_
(6.108)
6.6. HOMEWORK PROBLEMS FOR CHAPTER 6 179
(b) Suppose we insert a gain k in the feedback system, so that L(s) is replaced
by kL(s). Prove that the feedback system is stable for any value of gain
in the interval
α
α + 1
< k <
α
α −1
(6.109)
(c) The X-29 aircraft, in one flight mode, has an unstable pole p = 6 and a
nonminimum phase zero z = 26. Suppose it is desired that a feedback
control system be designed for this aircraft to stabilize it and to achieve
a phase margin of at least 40

. Translate the phase margin specification
into a specification on α by finding the smallest value of α such that if
(6.107) is satisfied for that α, then the system is guaranteed to have at
least a 40

phase margin.
(d) Is this value of α calculated above achievable?
180 Chapter 6: LIMITATIONS IN SISO FEEDBACK SYSTEMS
Chapter 7
Stability Robustness for SISO
Feedback Systems
Revised January 7, 2003.
181
182 Chapter 7: SISO STABILITY ROBUSTNESS
It is always true that the model of a plant we use in control design will not
accurately describe the physical system we are trying to control. This fact
is both good news and bad news – bad news because it greatly complicates
the design process, and good news because it helps make feedback control an
interesting and challenging field of study.
Modeling errors occur at many different levels. Physical systems are
always nonlinear and have parameters that vary with time. Hence, a linear
time invariant model will necessarily be inaccurate. Furthermore, such a
model will not even accurately describe the linear behavior of the system
we are trying to control! In this chapter, we study the latter type of model
uncertainty, and derive robustness tests which, if satisfied, guarantee that a
controller that stabilizes the plant model will also stabilize the “true” plant.
Our results will be limited to a simple class of model uncertainty that is
linear and time invariant. Nevertheless, we shall be able to make two specific,
and important, points. First, that high frequency uncertainty always limits
the achievable closed loop bandwidth, and second, that each closed loop
transfer function provides a measure of robustness against a particular source
of system uncertainty.
7.1 Motivation: Robust Stability
There are many sources of system uncertainty that affect a linear time in-
variant model. For example, parameter values will only be known to within
manufacturing tolerances, and will drift with time. Furthermore, the dynam-
ical order of a model is always lower than that of the system it describes,
and it is important to insure that a feedback system is not destabilized by
these neglected dynamics. As we describe below, the latter type of model
uncertainty affects the high frequency behavior of a plant model. We shall
see subsequently that such uncertainty may be the dominant factor limiting
system bandwidth and therefore performance.
• Suppose that we neglect a real pole, 1/(τs + 1), in the system model.
Doing so will lead to errors in high frequency errors in both the Bode
gain and phase plots, with the phase error becoming significant at a
lower frequency than the gain error. Such model errors arise from
dynamics that we know to exist, but disregard in order to simplify the
design model (see Appendix H and Problem H.1). However, there often
7.2. UNSTRUCTURED MULTIPLICATIVE UNCERTAINTY 183
exist dynamics due to real poles that we either cannot model, or cannot
model very accurately. These uncertain dynamics will contribute to
both gain and phase uncertainty at high frequencies.
• In many control problems there exist poorly modeled complex modes.
These may arise, for example, from treating a flexible structure as
though it were a rigid body. Even if the structure is modeled as being
flexible, it is often very difficult to determine the exact frequency and
damping of flex modes. Most design methodologies require that our
design model be of finite order, and that we must design our controller
using a finite dimensional approximation to a flexible system. Hence
even if we had perfect knowledge of the system, the model used in
design would contain inaccuracies, and a feedback control design must
be robust to these. A detailed examination of model error due to poorly
modeled flex modes will be discussed in Section 7.3.
• Time delays, which are always present to some extent in a feedback
system, represent another form of infinite dimensional behavior. Ne-
glected time delays cause high frequency errors in the phase of the
system. To an extent the phase lag due to a delay can be modeled by
using a Pade approximation (see Figure 6.8). However, in an analog
system we can never completely capture the effects of the time delay
using a finite dimensional approximation.
• The effects of the sample and hold process in a digital control im-
plementation also contribute phase lag at frequencies approaching the
Nyquist sampling frequency. As described in digital control textbooks
such as [9], the sample and hold contributes a delay of −T/2 seconds,
where T is the sample period.
Of course, no model of uncertainty can ever completely describe the ac-
tual modeling error! Indeed, there are thousands of books and research
papers that describe various classes of model uncertainty and corresponding
robustness tests.
7.2 Unstructured Multiplicative Uncertainty
Plant models inevitably deteriorate at high frequencies, eventually resulting
in large (> 100%) variations in the gain, and complete (±180

) uncertainty
184 Chapter 7: SISO STABILITY ROBUSTNESS
in phase. Motivated by this fact, we now develop a test that will aid in eval-
uating the robustness of a feedback design with respect to such uncertainty.
Let P(s) denote the nominal plant model; i.e., the model which we will
use to perform our control design, and let
ˆ
P(s) denote the true, but unknown,
plant. Define the relative uncertainty in the plant model by

r
(s)
ˆ
P(s) −P(s)
P(s)
, (7.1)
so that
ˆ
P(s) = P(s) (1 + ∆
r
(s)) . (7.2)
Uncertainty of the form (7.2) is termed multiplicative uncertainty because
the uncertain transfer function multiplies the nominal plant model. If all we
know about uncertainty is that it exists, then there is little hope of being
able to derive a test for robustness against it! However, in many cases it is
reasonable to suppose that we do know a frequency dependent upper bound
upon the system uncertainty:
[∆
r
(jω)[ < M(ω). (7.3)
Typically, M(ω) is relatively small at low frequencies, at which the plant is
relatively well modeled, and becomes very large at high frequencies. If we
suppose in addition that the number and location of any unstable plant poles
is fixed, then ∆
r
(s) will be stable.
It is useful to normalize the uncertainty by modeling its frequency depen-
dence with a weighting function. To do so, we suppose that the true plant is
given by
ˆ
P(s) = P(s) (1 + W(s)∆(s)) , (7.4)
where W(s) is a stable weighting function, with [W(jω)[ = M(ω), and ∆(s)
is a stable but otherwise unknown transfer function. Since ∆(s) is assumed
to be arbitrary subject to the stability constraint, it is called unstructured
uncertainty.
The idea behind our robustness test is as follows. We assume that the
feedback system is nominally stable; i.e., that it is stable for the nominal
model of the system we use in design. We then choose W(s) to model how
the level of uncertainty varies with frequency, and suppose that ∆(s) is stable
and satisfies an upper bound of the form
[∆(jω)[ ≤ α, ∀ω. (7.5)
7.2. UNSTRUCTURED MULTIPLICATIVE UNCERTAINTY 185
We will then try to compute the largest value of α for which the system
can be guaranteed to remain stable. If we have some a priori information
about the size of α, then we can obtain a stability robustness test for our
feedback system. Alternately, if we calculate that the allowable value of α
is excessively small, then we know that our design is likely to be faced with
robustness problems.
Our next result is a stability robustness test which, if satisfied, guarantees
that the system will remain stable despite model uncertainty of the form
(7.4). We state our result for the feedback system shown in Figure 7.1.
Σ
-
P(s)
r(t)
C(s)
W(s)
y(t)
∆(s)
Σ
Figure 7.1: Feedback System with Multiplicative Uncertainty
Theorem 7.1 Assume that the feedback system is nominally stable. Suppose
that the true plant is given by (7.4), where W(s) is stable, and that ∆(s) is
stable and satisfies the bound (7.5). Then
(i) a sufficient condition for the feedback system to be stable is that
[W(jω)T(jω)[ <
1
α
, ∀ω (7.6)
(ii) if all that is known about ∆(s) is that it is stable and satisfies the bound
(7.5), then condition (7.6) is also necessary for robust stability.
Proof: (Sufficiency) Since the feedback system is assumed to be nominally
stable (i.e., stable with ∆(s) = 0), it follows that the transfer function from
z(t) to y
0
(t) in Figure 7.2 must be stable. By setting r(t) = 0, and solving
for Y
0
(s) in terms of Z(s), it may be verified that this transfer function is
the complementary sensitivity function, T = PC/(1 + PC):
Y
0
= −PC(Z −PCY
0
)
= −TZ. (7.7)
186 Chapter 7: SISO STABILITY ROBUSTNESS
Σ
C(s) P(s)
-
z(t)
v(t)
∆(s) W(s)
Σ
y
0
(t)
Σ
y(t)
r(t)
Figure 7.2: Feedback System with Additional Input and Output
Note also that
Z = ∆(V + WY
0
). (7.8)
Substituting (7.7) into (7.8) and rearranging yields
Z = ∆(1 + WT∆)
−1
V. (7.9)
The mapping from v to z can thus be drawn as the feedback system shown
in Figure 7.3, where we have introduced additional signals d(t) and e(t) for
the purpose of assessing closed loop stability. Indeed, recall from Chapter 1
∆(s)
W(s)T(s)
Σ
-
z(t)
v(t)
Σ
d(t)
e(t)
Figure 7.3: Feedback System for Robustness Analysis
that this feedback system will be stable if and only if the four closed loop
transfer functions from v(t) and d(t) to z(t) and e(t) are all stable. These
transfer functions are given by
_
E
Z
_
=
_
(1 + WT∆)
−1
−(1 + WT∆)
−1
WT
∆(1 +WT∆)
−1
(1 + WT∆)
−1
_ _
V
D
_
(7.10)
7.2. UNSTRUCTURED MULTIPLICATIVE UNCERTAINTY 187
The fact that the feedback system is assumed to be nominally stable implies
that T is stable; furthermore, W and ∆ are stable by assumption. Hence
it follows from Corollary 1.5 that stability of the system in Figure 7.3 can
be determined using only the closed loop transfer function (1 + WT∆)
−1
.
But this transfer function will be stable precisely when the Nyquist plot of
W(jω)T(jω)∆(jω) does not encircle the critical point.
Now suppose that the bounds (7.5) and (7.6) hold. Then
[W(jω)T(jω)∆(jω)[ < 1, ∀ω, (7.11)
and it follows that the Nyquist plot of W(jω)T(jω)∆(jω) lies entirely in-
side the unit circle centered at the origin, as shown in Figure 7.4. Since
-1
W(jω)T(j ω) ∆(j ω)
Figure 7.4: Nyquist Plot for Stability Robustness Test
W(s)T(s)∆(s) is stable, the Nyquist plot is guaranteed to posses the num-
ber of encirclements needed for closed loop stability.
(Necessity) Suppose there exists ω
0
such that
W(jω
0
)T(jω
0
) =
1
α
.
Then, as described in [6], one may construct a stable, rational ∆(s) with the
188 Chapter 7: SISO STABILITY ROBUSTNESS
properties that
[∆(jω)[ ≤ α, ∀ω
[∆(jω
0
)[ = α
1 + W(jω
0
)T(jω
0
)∆(jω
0
) = 0.
It follows that the feedback system has poles at s = ±jω
0
, and thus that the
Nyquist plot of W(jω)T(jω)∆(jω) passes through the critical point. The
feedback system is therefore unstable.
Suppose that our only knowledge of relative plant uncertainty is a fre-
quency dependent bound on its magnitude. Then Theorem 7.1 implies that
T(jω) must necessarily satisfy a bound inversely proportional to the size of
the uncertainty. In practice, we may not know a bound on the uncertainty–
however, we can design a controller, and inspect a Bode plot of [T(jω)[. If
[T(jω)[ has a large peak at any frequency, then we know that the stabil-
ity margin against uncertainty at that frequency will be poor. Moreover,
if [T(jω)[ is not very small at frequencies where the plant model is poorly
known, then poor robustness is to be expected.
7.2.1 Bandwidth Limitations
For the reasons cited in Section 7.1, system uncertainty tends to become very
large at high frequencies, and the phase of the plant becomes completely un-
known. Hence the weighting function W(s) used to describe the frequency
dependence of the uncertainty will be large at high frequencies. The robust-
ness test derived in Theorem 7.1 thus requires that [T(jω)[ must be small at
high frequencies, and thus that the closed loop bandwidth is limited.
It is easy to show that a closed loop bandwidth constraint imposed to
maintain stability robustness also imposes a constraint on the open loop
bandwidth. Indeed, consider a frequency for which [W(jω)T(jω)[ < 1 and
[W(jω)[ > 1. Then it follows from the triangle inequality that necessarily
[L(jω)[ <
1
[W(jω)[ −1
. (7.12)
In particular, if [W(jω)[ ¸1, then we must have
[L(jω)[ ¸1. (7.13)
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 189
Hence the requirement of stability robustness contributes to the high fre-
quency bound on open loop gain that is used to describe the Bode loop-
shaping specification. Such a bandwidth constraint is in addition to those
imposed by sensor noise and actuator authority.
7.3 Uncertainty in a Booster Vehicle
Consider the problem of stabilizing a booster vehicle during ascent phase.
This problem is very similar to that of balancing a stick in the palm of your
hand, with the additional complication that the stick is very flexible!
As depicted in Figure 7.5, the booster is controlled by changing the thrust
vector, and a sensor is available to measure the rate of change in the angle
from vertical. Because a booster vehicle is a flexible structure, it has in-
θ
Pitch rate
.
u
Thrust Vector
Figure 7.5: Simple Booster Model
finitely many lightly damped poles and zeros whose precise locations are not
accurately known. Consider Figure 7.6, which shows the pole and zero lo-
cations of a finite dimensional model of the booster vehicle containing only
four pairs of lightly damped poles. These poles cause the peaks in the Bode
plot depicted in Figure 7.7. In fact, the location of the three highest peaks
frequency peaks in Figure 7.7 is not very well known, and they could occur
at any frequency above 20 rad/sec. Note also that the phase varies abruptly
by as much as 180

at the location of these peaks. Since the location of these
peaks is poorly known, it follows that the phase of the system must be viewed
as completely unknown above 20 rad/sec. Hence not only is the model of the
booster shown in Figures 7.6-7.7 an approximation to the booster because it
190 Chapter 7: SISO STABILITY ROBUSTNESS
is finite dimensional, even those modes of the booster that it does contain
are imprecisely known!
In general, one must be very careful when designing a controller to sta-
bilize a system with poorly modeled lightly damped modes. Suppose that
the controller design used information about the nominal locations of these
modes. For example, an observer based compensator will use a copy of the
system dynamics that includes the nominal mode locations. As we have
seen, lightly damped modes cause sharp peaks in gain and abrupt changes
in phase, and thus even relatively small uncertainty in mode locations will
have significant impact upon the frequency response. An alternate approach
would be to treat the poorly modeled modes as uncertainty, and then design a
feedback system that is robustly stable against the effects of this uncertainty.
−15 −10 −5 0 5 10 15
−60
−40
−20
0
20
40
60
real
i
m
a
g
i
n
a
r
y
Figure 7.6: Poles and Zeros, High Order Booster Model
7.3.1 Uncertainty Model
The three highest frequency modes in the booster model are poorly known,
and thus we shall eliminate them from the model used for control design.
Using the modal residualization method discussed in Appendix H to remove
these modes without changing the DC gain results in a reduced order model
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 191
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
Bode plots, high order plant model
m
a
g
n
i
t
u
d
e
10
−1
10
0
10
1
10
2
−500
−400
−300
−200
−100
0
100
ω, rad/sec
d
e
g
r
e
e
s
Figure 7.7: Bode Plots, High Order Booster Model
with poles and zeros shown in Figure 7.8.
Bode plots for the high order and reduced order booster models are com-
pared in Figure 7.9. Note that these models agree at low frequencies, but
differ significantly at high frequencies. These differencs will be included in
the description of modeling error.
Let us now model the difference between the high order and the reduced
order booster models as multiplicative uncertainty (7.2). Let P(s) denote
the reduced order model, and
ˆ
P(s) denote the higher order model. Then we
may use P(s) and
ˆ
P(s) to calculate ∆
r
(s), yielding

r
(s) =
ˆ
P(s) −P(s)
P(s)
. (7.14)
A Bode plot of [∆
r
(jω)[ is found in Figure 7.10. Because this plot was
obtained by eliminating system dynamics that are very uncertain, it must
be viewed as only representative of the actual difference between the low
and high order plants. Note that the gain of the uncertainty becomes very
large at high frequencies; if we were to consider additional high frequency
flex modes that are in the true system but not in our “high order” model,
the uncertainty in gain would become even larger. Furthermore, the phase of
192 Chapter 7: SISO STABILITY ROBUSTNESS
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−10
−8
−6
−4
−2
0
2
4
6
8
10
real
i
m
a
g
i
n
a
r
y
Figure 7.8: Poles and Zeros, Reduced Order Booster Model
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
Bode plots, high order and reduced order plant
m
a
g
n
i
t
u
d
e
high order
reduced order
10
−1
10
0
10
1
10
2
−500
−400
−300
−200
−100
0
100
ω, rad/sec
d
e
g
r
e
e
s
high order
reduced order
Figure 7.9: Bode plots, high order and reduced order booster models
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 193
10
−1
10
0
10
1
10
2
10
−4
10
−2
10
0
10
2
multiplicative uncertainty
m
a
g
n
i
t
u
d
e
10
−1
10
0
10
1
10
2
−400
−300
−200
−100
0
100
ω, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 7.10: Bode gain plot, multiplicative uncertainty
the uncertainty has many abrupt jumps of 180

; the locations of these jumps
will vary with the natural frequencies of the lightly damped poles and zeros.
Hence it is reasonable to treat the phase value at any particular frequency
as completely unknown. Indeed, we consider that the high order plant used
to generate the Bode plots in Figure 7.7 is one of the possible plants allowed
by our uncertainty description.
A control design strategy is therefore to
(i) model the uncertainty in Figure 7.10 using a weighting function as in
(7.4),
(ii) design a controller to stabilize the reduced order model of the booster,
(iii) check to see whether the stability robustness test |WT|

≤ 1 is satis-
fied,
(iv) test the controller on even higher order models of the booster.
Before proceeding it is important to note that this problem does present
fundamental design difficulties. First, we need to use feedback in order to
stabilize the booster vehicle, and doing so will tend to require high gain at
194 Chapter 7: SISO STABILITY ROBUSTNESS
low frequencies. Second, we need to use low gain at high frequencies so that
the lightly damped flex modes are not destabilized. Hence there is a potential
conflict between the potential advantages and disadvantages of feedback that
worsens as the frequency of the lowest lightly damped mode approaches that
of the unstable pole.
7.3.2 A Stiffer Booster Vehicle
Let’s now consider a different configuration of the flexible booster vehicle.
This configuration uses a stiffer structure, and thus the flex modes are now
located at a higher frequency, yielding a more tractable design problem. In
this case our high order model includes five flex modes, and the reduced order
model is obtained by residualizing all five of these modes. Poles and zeros of
the high order and reduced order models are shown in Figures 7.11 and 7.12,
respectively, and Bode plots of both models are found in Figure 7.13.
Figure 7.14 shows plots of the relative uncertainty together with a weight-
ing function W(s) that “covers” the uncertainty and allows for additional
variations in frequency and damping of the flex modes. This weighting func-
tion is obtained using Butterworth filters, which are linear filters whose pass-
band gain is “maximally flat” given the order of the filter (Appendix A).
−1.5 −1 −0.5 0 0.5 1 1.5
−50
−40
−30
−20
−10
0
10
20
30
40
50
real
i
m
a
g
i
n
a
r
y
Figure 7.11: Poles and Zeros, high order model of stiffer booster
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 195
−5 −4 −3 −2 −1 0 1 2 3 4 5
−5
−4
−3
−2
−1
0
1
2
3
4
5
real
i
m
a
g
i
n
a
r
y
Figure 7.12: Poles and Zeros, reduced order model of stiffer booster
Controller Design One
Let’s design a controller to stabilize the nominal plant, and then check to
see whether our stability robustness test is satisfied. Please note that this
controller was not picked to be “good” in any sense except that it is nominally
stabilizing. With the controller
C(s) =
8s + 11.2
s
, (7.15)
the Nyquist plot in Figure 7.15 shows that the system is nominally stable, in
that C(s) stabilizes the reduced order plant. However, as the Nyquist plot
in Figure 7.16 shows, the controller (7.15) does not stabilize the high order
booster model! Indeed, the closed loop poles for the low order and the high
order booster model are plotted in Figure 7.17.
Let us see why the controller (7.15) does not achieve closed loop stabil-
ity. First, Figure 7.18 shows that the weighted complementary sensitivity
function violates the bound |WT|

< 1. The Bode gain plots of [L(jω)[
and 1/([W(jω)[ − 1) in Figure 7.19 reveal that the open loop bandwidth
constraint on (7.12) is also violated.
196 Chapter 7: SISO STABILITY ROBUSTNESS
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
10
1
Bode plots, high order and reduced order plant
m
a
g
n
i
t
u
d
e
high order
reduced order
10
−1
10
0
10
1
10
2
−500
−400
−300
−200
−100
0
100
ω, rad/sec
d
e
g
r
e
e
s
high order
reduced order
Figure 7.13: Bode plots, stiffer booster configuration
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
10
1
10
2
multiplicative uncertainty and bound
ω, rad/sec
m
a
g
n
i
t
u
d
e

r
W
Figure 7.14: Gain of relative uncertainty, and a weighting function, stiffer
configuration
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 197
−10 −5 0 5
−5
−4
−3
−2
−1
0
1
2
3
4
5
nominal Nyquist plot
Real axis
I
m
a
g

a
x
i
s
Figure 7.15: Nyquist Plot, Low Order Booster Model, Controller 1
−10 −8 −6 −4 −2 0 2 4 6 8 10
−10
−8
−6
−4
−2
0
2
4
6
8
10
true Nyquist plot
Real axis
I
m
a
g

a
x
i
s
Figure 7.16: Nyquist Plot, High Order Booster Model, Controller 1
198 Chapter 7: SISO STABILITY ROBUSTNESS
−8 −7 −6 −5 −4 −3 −2 −1 0 1
−40
−30
−20
−10
0
10
20
30
40
real
i
m
a
g
i
n
a
r
y
nominal poles
true poles
Figure 7.17: Closed Loop Poles, Low and High Order Plants, Controller 1
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
10
2
ω, rad/sec
m
a
g
n
i
t
u
d
e
weighted complementary sensitivity
| T|
| WT |
| W |
Figure 7.18: Weighted Complementary Sensitivity Function, Controller 1
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 199
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
ω, rad/sec
m
a
g
n
i
t
u
d
e
gain of L = PC, controller 1
| L |
(|W|−1)
−1
, |W|>1
Figure 7.19: Open Loop Bandwidth, Controller 1
Gain vs. Phase Stabilization
When attempting to robustly stabilize systems that have lightly damped
modes, it is common to use the terminology “gain stabilization” and “phase
stabilization”. A lightly damped mode is said to be “gain stabilized” if the
peak in the open loop Bode plot of the compensated system does not exceed
one. In this case, the Nyquist plot cannot leave the unit circle centered at
the origin, and thus cannot encircle the critical point, and cause the incorrect
number of encirclements for closed loop stability. On the other hand, if the
Nyquist plot does leave the unit circle, but does not encircle the critical
point, then the mode is said to be “phase stabilized”. Clearly, one cannot
robustly achieve phase stabilization unless one has a relatively good idea of
the phase at the frequency of the mode. If phase uncetrainty is large, then
gain stabilization is required to achieve closed loop stability.
The Bode plot of the high order plant model in Figure 7.20 reveals the
existence of additional gain crossover frequencies due to the lightly damped
modes. As we have already seen, the Nyquist plot in Figure 7.16 shows that
the phase at these crossover frequencies is unfavorable, and thus that the
modes are not phase stabilized.
200 Chapter 7: SISO STABILITY ROBUSTNESS
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
10
2
ω, rad/sec
m
a
g
n
i
t
u
d
e
gain of L=PC
Figure 7.20: Open Loop Transfer Function, High Order Plant, Controller 1
Controller Design Two
Let’s now use another controller, obtained from the first controller by simply
reducing the gain:
C(s) =
2s + 2.8
s
(7.16)
The Nyquist plot in Figure 7.21 shows that the nominal closed loop system
is stable. However, Figure 7.22 shows that the bandwidth constraint (7.12)
remains violated, and thus that the stability robustness test |WT| ≤ 1
will not be satisfied. The Bode plots in Figures 7.23 show an additional
gain crossover at relatively high frequency; as it happens, the phase at this
crossover is “favorable”, and the closed loop system with the high order plant
model is stable.
The closed loop poles for the both the low and high order plants are plot-
ted in Figure 7.24. Note from Figure 7.25 that the “true” Nyquist plot
has a large lobe extending into the right half plane. Hence this system has
been “phase stabilized”, in the sense that the phase at the resonance has a
value consistent with closed loop stability. As we have discussed, an alter-
native would be “gain stabilization” in which case the peak in the resonance
would have magnitude less than unity, and thus closed loop stability would
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 201
−10 −5 0 5
−5
−4
−3
−2
−1
0
1
2
3
4
5
nominal Nyquist plot
Real axis
I
m
a
g

a
x
i
s
Figure 7.21: Nyquist Plot, Low Order Booster Model, Controller 2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
ω, rad/sec
m
a
g
n
i
t
u
d
e
gain of L = PC, controller 2
| L |
(|W|−1)
−1
, |W|>1
Figure 7.22: Open Loop Bandwidth, Controller 2
202 Chapter 7: SISO STABILITY ROBUSTNESS
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
m
a
g
n
i
t
u
d
e
Bode plots of L=PC, controller 2
10
−1
10
0
10
1
10
2
−200
−100
0
100
200
300
400
500
ω, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 7.23: Bode Plots, High Order Plant, Controller 2
−1.5 −1 −0.5 0
−40
−30
−20
−10
0
10
20
30
40
real
i
m
a
g
i
n
a
r
y
nominal poles
true poles
Figure 7.24: Closed Loop Poles, Low and High Order Plants, Controller 2
7.3. UNCERTAINTY IN A BOOSTER VEHICLE 203
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
true Nyquist plot
Real axis
I
m
a
g

a
x
i
s
Figure 7.25: High Order Plant has been Phase Stabilized
be assured even without knowledge of the phase.
The fact that the closed loop system with the high order plant is stable
should not make us complacent. Since the Nyquist plot has large lobes
whose magnitude exceeds one, it follows that variations in the phase at these
lobes will destabilize the system. Our assumption that the phase of the
system is completely unknown at high frequencies thus implies that closed
loop system stability cannot be guaranteed. The class of “true” systems
allowed by our uncertainty description contains plants for which the closed
loop system is unstable. Additional phase lag will come from neglected time
delay, sampling effects, actuator and sensor dynamics, and the additional flex
modes we haven’t modeled.
An interesting study of booster vehicle stabilization and robustness using
modern control techniques is found in [7].
204 Chapter 7: SISO STABILITY ROBUSTNESS
7.4 Other Uncertainty Models
The methods used in Section 7.2 to derive a stability robustness test for
multiplicative uncertainty may also be used to derive robustness tests for
other models of uncertainty. Depending on the application at hand, these
other uncertainty models may be more convenient for analysis. We shall now
state robustness tests for some other uncertainty models. In each case, we
assume that
(i) the feedback system with the nominal, unperturbed, plant is stable
(ii) the perturbation has the form W(s)∆(s), where W(s) and ∆(s) are
both stable
(iii) [∆(jω)[ < α, ∀ω, but is otherwise unknown
For sake of completeness, we include the multiplicative uncertainty case de-
scribed in Theorem 7.1.
Multiplicative Uncertainty
Suppose that the feedback system has multiplicative uncertainty, as shown in
Figure 7.26. Such uncertainty may be viewed as unmodeled feedforward, and
may possibly introduce nonminimum phase zeros into the feedback system.
A necessary and sufficient condition for the system to be stable is that
[W(jω)T(jω)[ <
1
α
, ∀ω. (7.17)
Σ
C(s) P(s)
y(t)
Σ
∆(s) W(s)
-
r(t)
Figure 7.26: Feedback System with Multiplicative Uncertainty
7.4. OTHER UNCERTAINTY MODELS 205
Additive Uncertainty
Suppose that the feedback system has additive uncertainty, as shown in Fig-
ure 7.27. Such uncertainty may be viewed as unmodeled feedforward from
the control actuator to the plant output, and may possibly introduce non-
minimum phase zeros into the feedback system. A necessary and sufficient
condition for the system to be stable is that
[W(jω)C(jω)S(jω)[ <
1
α
, ∀ω. (7.18)
Σ
C(s) P(s)
Σ
y(t)
-
∆(s) W(s)
r(t)
Figure 7.27: Feedback System with Additive Uncertainty
Divisive Uncertainty
Suppose that the feedback system has divisive uncertainty, as shown in Fig-
ure 7.28. Such uncertainty may be viewed as unmodeled feedback, and may
possibly introduce unstable poles into the feedback system. A necessary and
sufficient condition for the system to be stable is that
[W(jω)S(jω)[ <
1
α
, ∀ω. (7.19)
Σ
C(s) P(s)
y(t)
Σ
∆(s) W(s)
-
-
r(t)
Figure 7.28: Feedback System with Divisive Uncertainty
206 Chapter 7: SISO STABILITY ROBUSTNESS
Subtractive Uncertainty
Suppose that the feedback system has subtractive uncertainty, as shown in
Figure 7.29. Such uncertainty may be viewed as unmodeled feedback from
the plant output to the control actuator, and may possibly introduce unstable
poles into the feedback system. A necessary and sufficient condition for the
system to be stable is that
[W(jω)S(jω)P(jω)[ <
1
α
, ∀ω. (7.20)
Σ
C(s)
P(s)
y(t)
Σ
-
∆(s) W(s)
r(t)
-
Figure 7.29: Feedback System with Subtractive Uncertainty
Note that each of the closed loop transfer functions T, S, SP, and CS
provides a measure of stability robustness against a class of modeling uncer-
tainty. Note that those transfer functions that provide a measure of robust-
ness against unmodeled feedback represent the benefits of feedback, and are
made small through use of high gain. The others represent costs of feedback,
and are made small though use of small gain. Be more specific,
also mention mod-
eling uncertainty in
unstable poles.
7.4.1 Multiple Sources of Uncertainty
7.4.2 Robust Performance
7.5. HOMEWORK PROBLEMS FOR CHAPTER 7 207
7.5 Homework Problems for Chapter 7
Problem 7.1 By mimicking the steps involved in the proof of sufficiency
for Theorem 7.1, derive the sufficiency conditions for stability robustness
corresponding to the three additional models of system uncertainty discussed
in Section 7.4.
Problem 7.2 Let us analyze fundamental limitations for problems such as
that of booster vehicle stabilization. In such problems, we need to use feed-
back in order to pull the unstable pole into the left half plane. However, the
amount of feedback that may be used is limited by the need to gain stabilize
the flex modes.
(a) Assume that
[T(jω)[ < M
T
(ω), ∀ω > ω
0
. (7.21)
Suppose the plant has an ORHP pole at s = p, and use the Poisson
complementary sensitivity integral to show that
log |T|

>
1
Θ(p, ω
0
)
_
π log [B
−1
z
(p)[ −
_

ω
0
log(M
T
(ω))W(p, ω)dω
_
.
(7.22)
(b) Figure 7.30 contains a representative model error obtained by residual-
izing all the flex modes from a model of a booster vehicle. Construct
a weighting function W
T
(s) whose magnitude bounds this uncertainty.
Hint: Let W
T
(s) be the ratio of two 10th order Butterworth filters:
W
T
(s) = kB
10
(s/ω
1
)/B
10
(s/ω
2
) (7.23)
(c) Let ω
0
denote the frequency at which the weighting (7.23) has magnitude
equal to one: [W
T
(jω
0
)[ = 1. Set M
T
(ω) in (7.21) equal to [W
−1
T
(jω)[,
and evaluate the bound (7.22) for the reduced order model of the booster
vehicle obtained by residualizing the flex modes. This model has an
unstable pole at p = 1.386, and a NMP zero at z = 1.77 10
5
. (Does
this zero contribute significantly to design limitations?)
(d) Suppose that the pole location varies with respect to the uncertainty,
and make a plot of the bound (7.22) vs p for 0.1 < p < 10. What is the
largest value of p for which this bound is smaller than 2?
208 Chapter 7: SISO STABILITY ROBUSTNESS
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
10
1
10
2
multiplicative uncertainty and bound
ω, rad/sec
m
a
g
n
i
t
u
d
e

r
W
T
Figure 7.30: Gain of relative uncertainty, and a weighting function, stiffer
configuration
(e) Suppose that the booster vehicle is made less stiff in order to save weight.
As a result, the flex modes are now a factor of two lower in frequency,
and can be modeled by shifting the weighting function (7.23) to a lower
frequency: W
1
T
(s) = W
T
(2s). Repeat (d). What is now the largest value
of p for which the bound is smaller than 2?
The MATLAB file PB1 PS8.m will help with this problem.
Problem 7.3 Design a controller to stabilize the reduced order model of the
stiffer booster vehicle, and to gain stabilize the high frequency flex modes.
(Recall that these modes will be gain stabilized if the open loop transfer
function satisfies (7.12) at frequencies for which [W
T
(jω)[ > 1.) Does your
design also satisfy the bound |W
T
T|

< 1, where W
T
(s) is the weighting
function describing the uncertainty in Figure 7.30?
The MATLAB file PB2 PS8.m will help with this problem.
Problem 7.4 Consider the problem of finding a controller that minimizes
|W
T
T|

subject to the requirement of internal stability. We assume that
W
T
(s) is stable and minimum phase, that P(s) has one ORHP pole, p,
7.5. HOMEWORK PROBLEMS FOR CHAPTER 7 209
and NMP zeros at ¦z
i
: i = 1, . . . , N
z
¦. Hence the plant may be factored
as P(s) = P
m
(s)B
z
(s), where P
m
(s) is minimum phase, and B
z
(s) is the
Blaschke product of plant NMP zeros.
(a) It follows from the assumption of internal stability that T(p) = 1 and
that T(z
i
) = 0. Use these facts to show that
_

0
log [W
T
(jω)T(jω)[W(p, ω)dω = π log [B
−1
z
(p)[ + π log [W
T
(p)[.
(7.24)
(b) Suppose there exists a (possibly improper) controller C(s) with the prop-
erty that
W
T
(s)T(s) = γB
z
(s), (7.25)
where
γ W
T
(p)B
−1
z
(p). (7.26)
Show that no other controller can yield a smaller value of |W
T
T|

, and
thus that the optimal value of |W
T
T|

is equal to γ.
(c) Show that (7.25) may be solved for the open loop tramsfer function L(s)
via the formula
L(s) =
_
γB
z
(s)
W
T
(s) −γB
z
(s)
_
(7.27)
and thus the controller C(s) may be obtained from
C(s) =
1
P
m
(s)
_
γ
W
T
(s) −γB
z
(s)
_
(7.28)
Will C(s) cancel the ORHP plant pole with a NMP zero? Explain.
(d) Find the value of γ for the booster stabilization problem, using the W
T
you constructed above. Is the specification |W
T
T|

< 1 achievable?
(e) Suppose that the flex modes are at a lower frequency, and model this sit-
uation by shifting the weighting function to a lower frequency: W
1
T
(s) =
W
T
(2s). Is the specification still achievable? What about if we shift the
specification to an even lower frequency, say W
1
T
(s) = W
T
(5s)?
The MATLAB file PB3 PS8.m will help with this problem.
210 Chapter 7: SISO STABILITY ROBUSTNESS
Chapter 8
Properties of MIMO Feedback
Systems
Revised January 7, 2003.
211
212 Chapter 8: MIMO FEEDBACK PROPERTIES
In this chapter we again consider the one degree of freedom feedback
structure in Figure 8.1. This structure is the same as we discussed in Chap-
ters 6 and 7; however, we now assume that the plant has p inputs and q
outputs. The assumption that the plant and controller are matrix valued is
Σ
C(s) P(s)
r e
u
Σ
d
O
Σ
n
y
-
Σ
d
I
Figure 8.1: Multivariable Feedback System
significant. For example, the plant and controller transfer functions will not,
in general, commute: P(s)C(s) ,= C(s)P(s). As a result of this fact, students
often make mistakes when deriving transfer functions for MIMO systems.
Two sets of transfer functions are required to describe the response of
the feedback system in Figure 8.1. Define the input and output open loop
transfer functions
L
I
(s) = C(s)P(s), L
O
(s) = P(s)C(s), (8.1)
the input and output sensitivity functions
S
I
(s) = (I + L
I
(s))
−1
, S
O
(s) = (I + L
O
(s))
−1
, (8.2)
and the input and output complementary sensitivity functions
T
I
(s) = L
I
(s) (I + L
I
(s))
−1
, T
O
(s) = L
O
(s) (I + L
O
(s))
−1
. (8.3)
These transfer functions satisfy the two fundamental identities
S
I
(s) + T
I
(s) = I
p×p
, S
O
(s) + T
O
(s) = I
q×q
(8.4)
As in the SISO case, the closed loop transfer functions govern the response
of the feedback system to exogenous inputs:
Y (s) = S
O
(s)D
O
(s) +T
O
(s) (R(s) −N(s)) + S
O
(s)P(s)D
I
(s) (8.5)
E(s) = S
O
(s) (R(s) −D
O
(s) −N(s) −P(s)D
I
(s)) (8.6)
U(s) = S
I
(s)D
I
(s) +S
I
(s)C(s) (R(s) −N(s) −D
O
(s)) . (8.7)
8.1. SISO ANALYSIS OF MIMO STABILITY ROBUSTNESS 213
It is important that students be able to derive the closed loop response of
signals defined at any point of the feedback system to the exogeneous inputs.
We illustrate by deriving the response of the control signal:
U = D
I
+ C (R −N −D
O
−PU)
⇒(I + CP) U = D
I
+ C (R −N −D
O
)
⇒U = (I + CP)
−1
(D
I
+C (R −N −D
O
)) .
It is possible to extend many of the concepts familiar from SISO feedback
systems to the MIMO case; however, such extensions are not straightforward,
and the information they provide is not as detailed. In the present chapter,
we shall discuss many of these extensions. First, we shall describe certain
pitfalls that arise when analyzing stability robustness of a MIMO feedback
system using SISO techniques. We shall then describe stability robustness
tests that are applicable to MIMO systems.
The techniques we use to develop MIMO stability robustness tests are
matrix norms, in particular the Euclidean norm, or maximum singular value,
defined in Appendix I. After we apply singular values to analyze stability
robustness, we shall use them to (partly) generalize the Bode loop-shaping
specification to MIMO systems, and to study performance limitations.
8.1 SISO Analysis of MIMO Stability Robust-
ness
Interactions in MIMO feedback systems can yield stability robustness diffi-
culties that may go undetected when analyzing robustness of the individual
feedback loops. In the late 1970’s, people began to concoct examples of sys-
tems that have extremely poor stability robustness properties, despite the
fact that when analyzed one loop at a time, properties appear very good.
We now examine two examples that appeared in the literature. Although
these example may appear contrived
Example 8.1 Consider the plant
P(s) =
1
s
_
1 b
0 1
_
. (8.8)
214 Chapter 8: MIMO FEEDBACK PROPERTIES
1/s
1/s
Σ
Σ Σ
-
-
b
y
1
y
2
r
1
r
2
Figure 8.2: The Crossfeed Plant (8.8) with Unity Negative Feedback
It is easy to verify that this plant may be stabilized using unity negative
feedback as shown in Figure 8.2. The output sensitivity function of this
system is given by
S
O
(s) =
1
(s + 1)
2
_
s
2
+ s −bs
0 s
2
+ s
_
. (8.9)
It is clear that this system is stable for all values of the crossfeed term b.
A common way to analyze stability robustness of a MIMO system is to
break the feedback loops one at a time, and look at the gain and phase
margins against uncertainty in each loop. For example, suppose that we
break the second feedback loop as shown in Figure 8.3, and calculate the
“open loop” transfer function L
2
(s) mapping the input v
in
(t) to the output
v
out
(t):
V
out
(s) = −L
2
(s)V
in
(s).
The requirement of closed loop stability implies that L
2
(s) must satisfy the
Nyquist encirclement criterion, and one can define gain and phase margins,
and a stability radius from this Nyquist plot. It is trivial to verify that
L
2
(s) = 1/s, and thus satisfies the Nyquist criterion with a 90

phase mar-
gin. Furthermore, if we insert an uncertain gain parameter k, as shown in
Figure 8.4, then the system will remain stable for all 0 < k < ∞. A similar
result holds if we calculate stability margins against uncertainty in the first
loop.
Suppose that the model error takes the form of an additional crossfeed
term, not included in the original model, as shown in Figure 8.5. The output
8.1. SISO ANALYSIS OF MIMO STABILITY ROBUSTNESS 215
1/s
1/s
Σ
Σ
-
-
r
1
r
2
Σ
b
y
1
y
2
V
out
V
in
Figure 8.3: Breaking the Second Loop to Calculate Stability Margin
1/s
1/s
Σ
Σ Σ
-
-
b
y
1
y
2
r
1
r
2
k
Figure 8.4: Uncertainty in the Second Feedback Loop
1/s
1/s
Σ
Σ Σ
-
-
b
y
1
y
2
r
1
r
2
Σ
c
Figure 8.5: Uncertain Crossfeed
216 Chapter 8: MIMO FEEDBACK PROPERTIES
sensitivity function is now given by
S
O
(s) =
1
s
2
+ 2s + (1 −bc)
_
s
2
+s −bs
−cs s
2
+ s
_
.
It follows that the system is stable if and only if bc < 1. Hence, if the
nominal crossfeed term is large, say b = 10, then stability will be lost due to
a relatively small additional crossfeed term, c = 0.1.
Because the crossfeed term in the nominal plant does not effect the stabil-
ity margins in the individual loops, it is impossible to detect this robustness
problem by breaking the feedback loops one at a time.
Example 8.2 Consider the feedback system in Figure 8.6, where
P(s) =
1
s
2
+ 100
_
s −100 10(s + 1)
−10(s + 1) s −100
_
, (8.10)
and k
1
and k
2
are uncertain gains whose values are nominally equal to zero.
By computing the closed loop characteristic polynomial, it may be deter-
P(s)
y
1
u
1
y
2
u
2
1+k
1
1+k
2
0
0
Σ
Σ
-
-
r
2
r
1
Figure 8.6: Feedback System with Diagonal Uncertainty
mined that this feedback system is stable for all values of k
1
and k
2
lying
in the stable region of Figure 8.7. Note that the nominal system is stable
and has excellent stability margins against variations in the gains k
1
and k
2
taken one at a time. However, very small simultaneous variations in the gains
yield instability! Again, we see that analyzing the effects of uncertainty in
individual feedback loops does not yield an accurate assessment of stability
robustness.
The robustness difficulties arising in the above examples are relatively sim-
ple to detect; analogous problems may be much less obvious in practice. In
particular, in large industrial applications, different design teams may be
responsible for tuning different feedback loops, and the existence of inter-
actions between loops may go unnoticed until relatively late in the project
development.
8.2. MIMO STABILITY ROBUSTNESS 217
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
k1
k
2
region of robust stability
stable
unstable
stable
unstable
unstable
Figure 8.7: Region of Robust Stability
8.2 MIMO Stability Robustness
We now turn to the problem of assessing stability robustness of a MIMO
system. In general, it is very difficult to determine a realistic description of
modeling uncertainty, and even more unlikely that such a description will fit
neatly into an mathematical framework. Nevertheless, it is desirable to de-
velop a technique for estimating the stability robustness of a MIMO feedback
system that avoids the pitfalls demonstrated by the examples of Section 8.1.
We shall do this by adopting an “unstructured uncertainty” description of
modeling error, and generalizing the robustness tests for SISO systems de-
veloped in Chapter 7 to the MIMO case.
Suppose, as shown in Figure 8.8, that the true plant is given by
ˆ
P(s) = P(s)(I + W
1
(s)∆(s)W
2
(s)), (8.11)
where we assume that W
2
(s), W
1
(s), and ∆(s) are all stable. The weighting
matrices are potentially used to model the frequency and directional depen-
dence of the uncertainty, and two matrices may be needed because matrices
do not, in general, commute. In practice, it may be difficult to determine
218 Chapter 8: MIMO FEEDBACK PROPERTIES
W
1
(s) ∆(s)
W
2
(s)
Σ P(s) C(s)
-
r(t)
y(t)
Σ
Figure 8.8: Weighted Multiplicative Input Uncertainty
suitable values for these weighting matrices.
Given a stable proper transfer function matrix M(s), define the infinity
norm of M(s) by
|M|

sup
ω
σ
max
(M(jω)) . (8.12)
The following result is a generalization of Theorem 7.1.
Theorem 8.3 Assume that the feedback system is nominally stable. Suppose
that the true plant is given by (8.11), where W
1
(s) and W
2
(s) are stable, and
∆(s) is stable and satisfies the bound
|∆|

≤ α. (8.13)
Then
(i) a sufficient condition for the true feedback system to be stable is that
|W
2
T
I
W
1
|

<
1
α
. (8.14)
(ii) if all that is known about ∆(s) is that it is stable and satisfies the bound
(8.13), then condition (8.14) is also necessary for robust stability.
Proof: (Sufficiency) Since the feedback system is nominally stable, we know
that the closed loop transfer function from u(t) to u
0
(t) in Figure 8.9 must
be stable. By setting r(t) = 0, and solving for U
0
(s) in terms of U(s), it is
easy to verify that this transfer function is equal to the input complementary
sensitivity function (8.3):
U
0
= −CP (U +U
0
)
= −T
I
U (8.15)
8.2. MIMO STABILITY ROBUSTNESS 219
W
1
(s) ∆(s)
W
2
(s)
Σ P(s) C(s)
-
r(t)
y(t)
u(t)
v(t)
z(t)
u
0
(t)
Σ
Σ
Figure 8.9: MIMO Feedback System with Internal Signals Defined
We also have that
Z = ∆V + ∆W
2
U
0
(8.16)
U = W
1
Z. (8.17)
Together, (8.15), (8.16), and (8.17) imply that
Z = (I + ∆W
2
T
I
W
1
)
−1
∆V. (8.18)
The mapping from v(t) to z(t) may thus be drawn as the feedback system in
Figure 8.10, where we have introduced additional signals d(t) and e(t) for the
purpose of assessing closed loop stability. The rearranged feedback system
∆(s)
W
2
(s)T
I
(s)W
1
(s)
Σ
-
z(t)
v(t)
Σ
d(t)
e(t)
Figure 8.10: MIMO Feedback System for Robustness Analysis
will be stable precisely when the four transfer functions mapping v(t) and
d(t) to e(t) and z(t) are all stable:
_
E
Z
_
=
_
(I + W
2
T
I
W
1
∆)
−1
−(I + W
2
T
I
W
1
∆)
−1
W
2
T
I
W
1
(I + ∆W
2
T
I
W
1
)
−1
∆ (I + ∆W
2
T
I
W
1
)
−1
_ _
V
D
_
(8.19)
220 Chapter 8: MIMO FEEDBACK PROPERTIES
Recall that T
I
(s) is stable by design, and that W
1
(s), W
2
(s), and ∆(s) are
stable by assumption. It follows that all four transfer functions will be stable
if (I +W
2
T
I
W
1
∆)
−1
is stable. But this transfer function has no poles in the
CRHP precisely when
det (I + W
2
(s)T
I
(s)W
1
(s)∆(s)) ,= 0, ∀s ∈ CHRP (8.20)
⇔σ
min
(I + W
2
(s)T
I
(s)W
1
(s)∆(s)) > 0, ∀s ∈ CHRP (8.21)
Now suppose that the bound (8.14) is satisfied. Together, this inequality
and the assumption (8.13) imply that
|W
2
T
I
W
1
∆|

< 1. (8.22)
It follows from the Maximum Modulus Theorem (Lemma A.2) that
σ
max
(W
2
(s)T
I
(s)W
1
(s)∆(s)) < 1, ∀s ∈ CHRP. (8.23)
Lemma I.6 shows that
σ
min
(I + W
2
(s)T
I
(s)W
1
(s)∆(s)) ≥ 1 −σ
max
(W
2
(s)T
I
(s)W
1
(s)∆(s)) .
(8.24)
Together, (8.23) and (8.24) imply that the perturbed system remains stable.
(Necessity): As in the SISO case, if |W
2
T
I
W
1
|

= 1/α, then one can
construct a stable, rational ∆(s) with |∆|

= α that destabilizes the system.

Example 8.4 Consider again Example 8.1. In this example, we showed that
the system is not robustly stable to small unmodeled crossfeed uncertainty.
The singular values and elements of T
I
(s) are shown in Figure 8.11. Note
the peak σ
max
(T
I
(jω)) ≈ 5 at ω = 1 due to the crosscoupling term. This
alerts us to the existence of stability robustness problems more serious than
those indicated by looking at robustness in the individual loops (the diagonal
elements of T
I
).
Example 8.5 Next consider Example 8.2; recall that this system was found
to be unstable for small nonzero values of k
1
and k
2
. A plot of σ
max
(T
I
(jω))
is in Figure 8.12. Since σ
max
(T
I
(jω)) is large at low frequencies, we know
that there is some small ∆ for which the system becomes unstable. This test
does NOT tell us whether the system can become unstable due to a ∆ which
is real and diagonal; however, it does alert us to the potential existence of a
robustness problem that is missed if we only check the loops one at a time.
(Of course, for this problem, there does exist a small destabilizing k
1
and
k
2
.)
8.2. MIMO STABILITY ROBUSTNESS 221
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
m
a
g
n
i
t
u
d
e
frequency, rad/sec
singular values of input complementary sensitivity, Example 1
σ
max
(T
I
)
T
I11
=T
I22
T
I12
σ
min
(T
I
)
Figure 8.11: Stability Robustness test for Example 8.1
10
−2
10
−1
10
0
10
1
10
2
10
−1
10
0
10
1
complementary sensitivity example 2
m
a
g
n
i
t
u
d
e
frequency, rad/sec
σ
max
(T
I
)
Figure 8.12: Stability Robustness test for Example 8.2
222 Chapter 8: MIMO FEEDBACK PROPERTIES
8.3 Other Types of Uncertainty Models
We have seen that each of the six closed loop transfer functions S
O
, T
O
, CS
O
,
S
O
P, S
I
, and T
I
governs the response of some signal in the feedback system
to an exogeneous input. We now show that each of these tramsfer functions
also yields a robustness test against a class of modeling uncertainty. In anch
of the following cases, we assume that
(i) the feedback system with the nominal, unperturbed, plant is stable
(ii) the perturbation has the form W
2
(s)∆(s)W
1
(s), where W
1
(s), W
2
(s),
and ∆(s) are all stable
(iii) |∆|

< α, but is otherwise unknown
These results are the MIMO counterpart to those of Section 7.4; a key dif-
ference is that there are now six transfer functions to be considered.
Input Multiplicative Uncertainty
As shown in Figure 8.13, input multiplicative uncertainty may be used to
represent unmodeled feedforward at the plant input:
ˆ
P(s) = P(s) (I + W
1
(s)∆(s)W
2
(s)) (8.25)
A robustness test against this class of uncertainty is that
|W
2
T
I
W
1
|

< 1/α (8.26)
W
1
(s) ∆(s)
W
2
(s)
Σ
P(s)
Figure 8.13: Unmodeled Feedforward at the Plant Input
8.3. OTHER TYPES OF UNCERTAINTY MODELS 223
Additive Uncertainty
As shown in Figure 8.13, additive uncertainty may be used to represent
unmodeled feedforward around the plant:
ˆ
P(s) = P(s) + W
1
(s)∆(s)W
2
(s) (8.27)
A robustness test against this class of uncertainty is that
|W
2
CS
O
W
1
|

< 1/α. (8.28)
W
1
(s) ∆(s)
W
2
(s)
Σ
P(s)
Figure 8.14: Unmodelled Feedforward around the Plant
Output Multiplicative Uncertainty
As shown in Figure 8.15, output multiplicative uncertainty may be used to
represent unmodeled feedforward at the plant output:
ˆ
P(s) = (I + W
1
(s)∆(s)W
2
(s)) P(s) (8.29)
A robustness test against this class of uncertainty is that
|W
2
T
O
W
1
|

< 1/α. (8.30)
Input Divisive Uncertainty
As shown in Figure 8.16, input divisive uncertainty may be used to represent
unmodeled feedback at the plant input:
ˆ
P(s) = P(s) (I +W
1
(s)∆(s)W
2
(s))
−1
(8.31)
A robustness test against this class of uncertainty is that
|W
2
S
I
W
1
|

< 1/α. (8.32)
224 Chapter 8: MIMO FEEDBACK PROPERTIES
W
1
(s) ∆(s)
W
2
(s)
Σ
P(s)
Figure 8.15: Unmodelled Feedforward at the Plant Output
W
1
(s) ∆(s)
W
2
(s)
Σ
P(s)
-
Figure 8.16: Unmodelled Feedback at the Plant Input
Output Divisive Uncertainty
As shown in Figure 8.17, output divisive uncertainty may be used to represent
unmodeled feedback at the plant output:
ˆ
P(s) = (I + W
1
(s)∆(s)W
2
(s))
−1
P(s) (8.33)
A robustness test against this class of uncertainty is that
|W
2
S
O
W
1
|

< 1α. (8.34)
W
1
(s) ∆(s)
W
2
(s)
Σ
P(s)
-
Figure 8.17: Unmodelled Feedback at the Plant Output
8.3. OTHER TYPES OF UNCERTAINTY MODELS 225
Subtractive Uncertainty
As shown in Figure 8.18, subtractive uncertainty may be used to represent
unmodelled feedback around the plant:
ˆ
P(s) = (I + P(s)W
1
(s)∆(s)W
2
(s))
−1
P(s) (8.35)
A robustness test against this class of uncertainty is that
|W
2
S
O
PW
1
|

< 1/α. (8.36)
W
1
(s) ∆(s)
W
2
(s)
Σ P(s)
-
Figure 8.18: Unmodelled Feedback Around the Plant
8.3.1 A MIMO Generalization of the Stability Radius
In undergraduate control courses, stability robustness is often measured in
terms of gain and phase margins. This fact suggests that appropriate general-
izations of such margins might prove useful in measuring stability robustness
of a MIMO feedback system. In fact, the robustness tests derived in Sec-
tions 8.2-8.3 were stated in terms of closed loop transfer functions, not in
terms of gain and phase margins. Furthermore, although we have seen that
singular values (or other matrix norms) may be used to generalize the notion
of gain to MIMO systems, it is not clear how one may approach generalizing
the notion of phase. In this chapter we show that, even in the SISO case,
gain and phase margins may sometimes give misleading notions of stability
robustness.
For SISO feedback systems, we have defined the stability radius as the
minimum distance from the Nyquist plot to the critical point:
R min
ω
[1 + L(jω)[ (8.37)
226 Chapter 8: MIMO FEEDBACK PROPERTIES
As shown in Figure 8.19, a large stability radius guarantees implies a large
gain and phase margin. However, as the sketch in Figure 8.20 shows, good
-1
PM
GM
L(jω)
Figure 8.19: Gain and Phase Margins on the Nyquist Plot
gain and phase margins do not necessarily imply a large stabilty radius.
-1
L(jω)
Figure 8.20: Minimum Distance to Critical Point
Hence, instead of seeking generalized notions of gain and phase margins,
we may instead seek to generalize the stability radius. Indeed, we may con-
sider two of these:
R
O
min
ω
σ
min
(I + L
O
(jω)) (8.38)
R
I
min
ω
σ
min
(I + L
I
(jω)) . (8.39)
8.4. SINGULAR VALUES AND GAIN OF A MIMO SYSTEM 227
The identity (I.16) shows that each stability radius is simply the reciprocal
of the peak in the largest singular value of one of the sensitivity functions:
1/R
O
= max
ω
σ
max
(S
O
(jω)) (8.40)
1/R
I
= max
ω
σ
max
(S
I
(jω)) . (8.41)
and thus that peaks in sensitivity correspond to small stability radii.
8.4 Singular Values and Gain of a MIMO Sys-
tem
Singular values are also useful in generalizing the notion of gain to MIMO
systems. Recall that the transfer functions of a stable feedback system govern
the steady state response to sinusoidal inputs. For example, consider the
response of the system output to an output disturbance d
O
(t) = de
jωt
, where
d is a constant vector. In steady state,
y(t) →y
ss
= S
O
(jω)de
jωt
. (8.42)
Note that the size of the steady state disturbance response will generally
vary with the the direction of the vector d, by which we mean the subspace
in which it lies. It is natural to aks what are the largest and smallest pos-
sible responses to a disturbance at a given frequency. This question may be
answered using singular values (Appendix I).
Indeed, the definition of maximum and minimum singular values implies
that
σ
min
(S
O
(jω)) ≤
|y
ss
|
|d|
≤ σ
max
(S
O
(jω)) . (8.43)
It follows that the “gain” of the steady state response to a disturbance at a
given frequency is bounded above and below by the maximum and minimum
singular values of the output sensitivity function at that frequency, respec-
tively. Furthermore, it is easy to show that each element of the sensitivity
function is bounded above by the largest singular value
1
:
[S
ij
(jω)[ ≤ σ
max
(S
O
(jω)) , ∀i, j. (8.44)
1
The following statement is NOT TRUE: |S
ij
(jω)| ≥ σ
min
(S
O
(jω)), ∀i, j.
228 Chapter 8: MIMO FEEDBACK PROPERTIES
Hence, plotting σ
max
(S
O
(jω)) vs ω allows us to assess quickly whether any
of the elements of the disturbance response are large.
Furthermore, note that
σ
max
(S
O
(jω)) = max
d=0
|S
O
(jω)d|
2
|d|
2
, (8.45)
and thus σ
max
(S
O
(jω)) is the amount that a “worst case” disturbance is
amplified. It follows that if σ
max
(S
O
(jω)) ¸ 1, then the response of the
system output to disturbances is “small in all directions”.
Similarly, note that
σ
min
(S
O
(jω)) = min
d=0
|S
O
(jω)d|
2
|d|
2
, (8.46)
and thus σ
min
(S
O
(jω)) is the amount by which a “best case” disturbance
is amplified. Hence if σ
min
(S
O
(jω)) ¸ 1, then the response of the system
output to all disturbances is large.
Example 8.6 Consider the sensitivity function from Example 8.1. The sin-
gular values of (8.9) are plotted in Figure 8.21. At low frequencies, the
10
−2
10
−1
10
0
10
1
10
2
10
−4
10
−3
10
−2
10
−1
10
0
10
1
m
a
g
n
i
t
u
d
e
frequency, rad/sec
singular values
S
11
=S
22
S
12

σ
max

σ
min

Figure 8.21: Singular Values of Sensitivity Function (8.9)
response to all disturbances is small:
σ
max
(S
O
(jω)) ¸1, (8.47)
8.4. SINGULAR VALUES AND GAIN OF A MIMO SYSTEM 229
while at high frequencies, the response to all disturbances is unity:
σ
max
(S
O
(jω)) ≈ σ
min
(S
O
(jω)) ≈ 1. (8.48)
At intermediate frequencies, the sensitivity function has a large peak due to
the closed loop interaction:
σ
max
(S
O
(jω)) ¸1, [S
O12
(jω)[ ¸1. (8.49)
This closed loop interaction implies that the first output will exhibit a signif-
icant transient response to a disturbance to the second output (Figure 8.22).
Because the output sensitivity function also governs the response of the track-
0 5 10 15
−4
−3.5
−3
−2.5
−2
−1.5
−1
−0.5
0
0.5
1
response to step disturbance in output#2
time, seconds
y
1
y
2
Figure 8.22: Step Disturbance in Output #2
ing error to command inputs, E(s) = S
O
(s)R(s), similar interactions will
occur in the closed loop command response.
Other Closed Loop Transfer Functions
One can use the largest singular value to quantify other closed loop response
properties of a feedback system; for example, the response of the system out-
put to sensor noise is small at frequency ω precisely when σ
max
(T
O
(jω)) ¸1.
Since closed loop response properties are governed by the largest singular
values of various matrices, one can state design specifications as bounds on
230 Chapter 8: MIMO FEEDBACK PROPERTIES
these singular values; e.g., σ
max
(S
O
(jω)) < M
S
(ω), where M
S
(ω) is a bound
that will typically be small at low frequencies, and no larger than, say, two,
at any frequency.
In MIMO systems, it may happen that some outputs are more signifi-
cantly affected by disturbances than others; similarly, some outputs may be
more important than others. We can (in principle) incorporate this direc-
tional information into the design specifications by using weighting matrices
chosen to reflect both the frequency dependence and the “directional” de-
pendence of the disturbance specification:
σ
max
(W
1
(ω)S
O
(jω)W
2
(jω)) < 1.
In practice, it may difficult to use very structured weighting matrices due
to lack of information about the system. In fact, people often just plot the
singular values of various closed loop transfer functions and examine them
to obtain qualitative insight into the closed loop response.
8.4.1 Relation between Open Loop Gain and Feedback
Properties
Using singular value “gains” it is possible to derive analogous rules for MIMO
systems.
Proposition 8.7 Consider the output open loop transfer function, L
O
(s),
and the associated sensitivity and complementary sensitivity functions, S
O
(s)
and T
O
(s). Then
σ
min
(L
O
(jω)) ¸1 ⇔ σ
max
(S
O
(jω)) ¸1, T
O
(jω) ≈ I (8.50)
σ
max
(L
O
(jω)) ¸1 ⇔ σ
max
(T
O
(jω)) ¸1, S
O
(jω) ≈ I (8.51)
Proof: It follows from (I.16) that
σ
max
(S
O
) = 1/σ
min
(I + L
O
), (8.52)
and from (I.45) that
σ
min
(I + L
O
) ≥ σ
min
(L
O
) −1. (8.53)
Hence, if σ
min
(L
O
) > 1, then
σ
max
(S
O
) ≤ 1/ (σ
min
(L
O
) −1) . (8.54)
8.4. SINGULAR VALUES AND GAIN OF A MIMO SYSTEM 231
In particular, if σ
min
(L
O
) ¸1, then σ
max
(S
O
) ¸1.
The proof of (8.51) is similar.
A set of relations analogous to (8.50)-(8.51) applies to the transfer functions
defined at the plant input.
It follows from Proposition 8.7 that the SISO Bode loop shaping specifi-
cation may be partly generalized to MIMO systems by requiring that “open
loop gain should be large in all directions at low frequencies to achieve sen-
sitivity reduction and small disturbance response, and small in all directions
at high frequencies to satisfy bandwidth constraints”. This specification is
depicted in Figure 8.23.
σ
min
(L
O
(jω))
σ
max
(L
O
(jω))
ω
1
ω
2
Figure 8.23: Bode Gain Shaping at the Output of a MIMO System
Many attempts have been made to extend the notion of phase to MIMO
systems. None of these has gained wide acceptance. In fact, people still
do not really understand the relation between open loop gain and feedback
properties for systems wherein the gain is “large in some directions and small
in other directions” (so that σ
max
(L
O
(jω)) ¸1 and σ
min
(L
O
(jω)) ¸1 over
the same frequency range).
It is also interesting to note that the closed loop transfer functions at
plant input and output may differ greatly.
Proposition 8.8 Assume that P is square and invertible. Then, at each
frequency, the closed loop transfer functions at the plant input and output
232 Chapter 8: MIMO FEEDBACK PROPERTIES
are related by
κ
−1
(P)σ
max
(S
I
) ≤ σ
max
(S
O
) ≤ κ(P) σ
max
(S
I
) (8.55)
κ
−1
(P)σ
max
(T
I
) ≤ σ
max
(T
O
) ≤ κ(P) σ
max
(T
I
) . (8.56)
Proof: The result follows from the identities
S
O
(s) = P(s)S
I
(s)P
−1
(s)
T
O
(s) = P(s)T
I
(s)P
−1
(s)
together with norm inequalities and the definitions of the largest and smallest
singular values.
It follows that if the condition number of the plant is large at any frequency,
then the transfer functions defined at the plant input may differ greatly from
those at the plant output.
8.5 Singular Values and Control Authority
In a MIMO plant, it may happen that some control signals affect the system
output more strongly than do others. Two situations arise: either
• an individual control is not effective (manifested by low gain-bandwidth
in the associated Bode plots), or
• two or more control actuators are redundant (or almost redundant).
Let’s now examine an aerospace vehicle which has “almost redundant” actu-
ators, and examine the effect upon the plant transfer functions and singular
values.
The vehicle is an advanced concept fighter aircraft, with nonstandard
control surfaces to add maneuverability. We shall study the effect that the
elevon (δ
e
) and canard (δ
c
) actuators have upon the angle of attack (α) and
attitude angle (θ).
_
α(s)
θ(s)
_
=
_
p
11
(s) p
12
(s)
p
21
(s) p
22
(s)
_
_
δ
e
(s) δ
c
(s)
¸
(8.57)
The idea is to use these actuators to manipulate the angle of attack and
attitude angle separately. We note that the open loop system is unstable,
and thus that feedback is needed to achieve closed loop stability.
8.5. SINGULAR VALUES AND CONTROL AUTHORITY 233
Canard
Flap
Aileron
Rudder
Elevator
Elevon
α
θ
Horizontal
x-axis
α: angle of attack
θ: attitude angle
Figure 8.24: Fighter Aircraft
234 Chapter 8: MIMO FEEDBACK PROPERTIES
One reason to look at the “gains” of the plant is that the size of the
control signal needed to attenuate a disturbance is inversely proportional to
the plant gain. Indeed, suppose that σ
max
(S
O
(jω)) ¸1. Then
C(jω)S
O
(jω) = P
−1
(jω)T
O
(jω)
≈ P
−1
(jω)
which implies that
σ
max
(C(jω)S
O
(jω)) ≈ σ
max
_
P
−1
(jω)
_
=
1
σ
min
(P(jω))
It follows that if σ
min
(P(jω)) ¸1, so that the plant gain is “small in some
direction”, then the control response will be “large in some direction”. It
is possible to figure out these directions by examining the singular vectors
associated with the small singular value, the individual transfer functions
(which is problematic when we must consider both gain and phase) or from
an understanding of the physics of the system we are trying to control.
The Bode gain and phase plots of the plots of the four transfer functions
of the fighter are depicted in Figure 8.25. It is clear from the Bode plots that
• both actuators affect angle of attack (y
1
) relatively weakly at low fre-
quencies
• both actuators affect both outputs relatively strongly at intermediate
frequencies.
It isn’t so clear whether the plant gain is “large in all directions” at in-
termediate frequencies. For example, if both actuators affect both outputs
in approximately the same way, then we really don’t have two independent
degrees of freedom to control the aircraft.
From the plot of the singular values in Figure 8.26, we see that the gain
is much larger in some directions than others. Physically, this is caused by
the approximate redundancy in the two control actuators. It follows that it
will take larger control signals to track some commanded trajectories than
others.
8.5. SINGULAR VALUES AND CONTROL AUTHORITY 235
10
−3
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
0
10
2
m
a
g
n
i
t
u
d
e
p
11
p
12
p
21
p
22
10
−3
10
−2
10
−1
10
0
10
1
10
2
−200
−100
0
100
200
300
frequency, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 8.25: Bode Plots of Fighter
10
−3
10
−2
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
10
1
10
2
frequency, rad/sec
m
a
g
n
i
t
u
d
e
plant singular values
p
11

p
12

p
21

p
22

σ
max
σ
min
Figure 8.26: Singular Values of Fighter
236 Chapter 8: MIMO FEEDBACK PROPERTIES
Chapter 9
Feedback Properties of the LQ
Regulator
Revised January 7, 2003.
237
238 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
Let us begin with a brief review. In Chapter 4 we learned how to design a
state feedback control law using the linear regulator methodology. Doing so
allowed to achieve a tradeoff between the response of the state variables and
that of the control signal. Then, in Chapter 5, we learned how to implement
this control law using an optimal state estimator to achieve a compromise
between the response of the state estimates to disturbances and to mea-
surement noise. We next, in Chapters 6-7, studied in detail inherent design
limitations and stability robustness of a single loop feedback system. These
concepts were extended to multiple loop feedback systems in Chapter 8.
We are now ready to return to the linear regulator problem. We shall see
that state feedback control laws designed using this methodology possess cer-
tain guaranteed properties that have interpretations in terms of performance
and robustness. Knowledge of these properties is useful in helping a designer
achieve reasonable tradeoffs between conflicting design goals. Unfortunately,
favorable properties of a state feedback design may be significantly when the
control law is implemented using an observer. We shall see that, under ap-
propriate hypotheses, the state feedback properties may be approximated by
an appropriately tuned optimal state estimator.
Preliminaries
Throughout this chapter, we consider the linear system
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
, x(0) = x
0
, (9.1)
where (A, B) is stabilizable, and the performance index
J(x
0
, u) =
_

0
_
x
T
Qx + u
T
Ru
_
dt, (9.2)
where R > 0, Q ≥ 0, and (A, Q) is detectable. The optimal control law
minimizing (9.2) is given by state feedback
u = −Kx, K = R
−1
B
T
P, (9.3)
where P is the unique positive semidefinite solution to the Algebraic Riccati
Equation (ARE):
0 = A
T
P + PA + Q−PBR
−1
B
T
P. (9.4)
9.1. THE RETURN DIFFERENCE 239
B (sI-A)
-1
K
Σ
-
u
x r
C
z
z
G
Figure 9.1: State Feedback with Controlled Outputs and Precompensator
We shall often explain properties of the optimal control law by referring
to the feedback system in Figure 9.1, where z ∈ R
q
represents a vector of
controlled outputs. These outputs are defined as follows. Suppose that Q
has rank q, and factor
1
Q = C
T
z
C
z
, where C
z
∈ R
q×n
. Then we may rewrite
x
T
Qx = z
T
z, where the vector z represents those linear combinations of state
variables that are penalized in the cost function (9.2). Denote the transfer
function from the control inputs to the controlled outputs by
P
z
(s) = C
z
(sI −A)
−1
B. (9.5)
As was proven in Theorem 3.1, if
rank
_
A B
C
z
0
_
= n + q, (9.6)
then we may set
G =
_
C
z
(−A + BK)
−1
B
_
−R
(9.7)
so that the DC gain from r to z is equal to the identity matrix.
9.1 The Return Difference
Suppose that we wish to evaluate the stability robustness of a state feedback
system with respect to uncertainty at the plant input. To do this, we may
break the feedback loop at the plant input, as shown in Figure 9.2, and inject
an input signal v
in
(t). The response of the output signal v
out
(t) to v
in
(t) is
given by
V
out
(s) = −L
sf
(s)V
in
(s), (9.8)
where
L
sf
(s) K(sI −A)
−1
B (9.9)
1
We say that C
z
is a square root of Q; see Appendix D for details.
240 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
is the open loop transfer function of the state feedback loop. The return
difference is the transfer function from the input signal to the difference
between input and output signals:
V
in
(s) −V
out
(s) = (I +L
sf
(s))V
in
(s) (9.10)
B
(sI-A)
-1
K
Σ
-
v
in
x
v
out
r
Figure 9.2: Loop Broken to Calculate Return Difference
The return difference has several interesting properties that are valid
for any state feedback system, regardless of how the state feedback gain
is obtained.
9.1.1 Sensitivity and Complementary Sensitivity
In Chapter 1 we defined the return difference for a single input, single output
feedback system. We saw that the return difference is equal to the reciprocal
of the sensitivity function, and that the magnitude of the return difference
is equal to the distance from the Nyquist plot tothe critical point. As a
consequence, the return difference describes such important properties of a
feedback system as stability robustness and disturbance response.
The return difference (9.10) of a multiple input state feedback loop also
describes feedback properties. To see this, define the state feedback sensitivity
and complementary sensitivity functions,
S
sf
(s) = (I + L
sf
(s))
−1
(9.11)
T
sf
(s) = L
sf
(s)(I +L
sf
(s))
−1
. (9.12)
Suppose first that there exists a disturbance at the plant input, so that
u = Gr −Kx+d. Then the closed loop response to this disturbance is given
by
Z(s) = P
z
(s)S
sf
(s)D(s), (9.13)
9.1. THE RETURN DIFFERENCE 241
and it follows from (9.13) that the effect of an input disturbance may be
attenuated at a given frequency by requiring that σ
max
(S
sf
(jω)) ¸1.
Suppose next that the feedback system is nominally stable and that there
exists multiplicative uncertainty at the plant input,
ˆ
P
z
(s) = P
z
(s)(I +∆(s),
where ∆(s) is stable and satisfies |∆(jω)| ≤ α, ∀ω. Then a sufficient
condition for the system to be robustly stable against such uncertainty is
that
σ
max
(T
sf
(jω)) < 1/α, ∀ω. (9.14)
Hence (9.14) implies that the system can be made robustly stable against
significant levels of input uncertainty by requiring that σ
max
(T
sf
(jω)) ¸1.
Of course, the identity
S
sf
(jω) + T
sf
(jω) = I
p
(9.15)
implies that S
sf
(s) and T
sf
(s) cannot both be small at the same frequency,
and thus there exists a tradeoff between use of state feedback to achieve
disturbance reduction and stability robustness.
9.1.2 Open and Closed Loop Characteristic Polynomi-
als
Define the open and closed loop characteristic polynomials by
φ
O
(s) det(sI −A) (9.16)
φ
C
(s) det(sI −A + BK). (9.17)
These polynomials are also related through the return difference:
Lemma 9.1 The polynomials (9.16)-(9.17) satisfy
det(I
p
+L
sf
(s)) =
φ
C
(s)
φ
O
(s)
. (9.18)
Proof: Applying the identities (A.13) and (A.14) yields
det
_
I
p
+ K(sI −A)
−1
B
_
= det
_
I
n
+ (sI
n
−A)
−1
BK
_
=
det(sI
n
−A + BK)
det(sI
n
−A)
,
and (9.18) follows.
242 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
9.1.3 The Return Difference Equality
Our next result shows that the return difference must satisfy an identity
termed the return difference, or Kalman, equality. Although the proof is a
rather uninspiring algebraic manipulation, the consequences of this identity
are quite profound, and provide the basis for the remainder of this chapter.
Proposition 9.2 Let K be defined by (9.3)-(9.4). Then
R + P
T
z
(−s)P
z
(s) = (I + L
T
sf
(−s))R(I + L
sf
(s)). (9.19)
If there is but a single input, then R = ρ, and the return difference equality
(9.19) reduces to
1 +
_
1
ρ
_
P
T
z
(−s)P
z
(s) = (1 + L
sf
(−s))(1 +L
sf
(s)). (9.20)
Proof: Start with the ARE (9.4), add and subtract sP, and use the fact
that K satisfies (9.3):
Q = P(sI −A) + (−sI −A
T
)P +K
T
RK.
Multiply on the left by B
T
(−sI −A
T
)
−1
and on the right by (sI −A)
−1
B:
P
T
z
(−s)P
z
(s) = L
T
sf
(−s)R + RL
sf
(s) + L
T
sf
(−s)RL
sf
(s). (9.21)
Adding R to both sides and combining terms yields (9.19).
Note that the left hand side of (9.19) is completely determined by the system
dynamics and the weighting matrices. The right hand side contains the return
difference of the optimal state feedback system. These facts will be used
throughout this chapter to show how feedback properties may be influenced
by the choice of weighting matrices.
9.2 Guaranteed Stability Margins
In this section, we show that state feedback systems designed using the opti-
mal regulator methodology have certain guaranteed stability margins against
uncertainty at the plant input. Please note that these stability margins do
not guarantee that the system will be robustly stable, because the level of
system uncertainty may exceed the guaranteed margins.
9.2. GUARANTEED STABILITY MARGINS 243
9.2.1 Single Input Stability Margins
Results for single input systems are much more detailed than for the multiple
input case.
Corollary 9.3 Assume that p = 1, and let R = ρ. Then the sensitivity and
complementary sensitivity functions (9.11)-(9.12) satisfy
[S
sf
(jω)[ ≤ 1, ∀ω (9.22)
[T
sf
(jω)[ ≤ 2, ∀ω. (9.23)
Proof: Evaluating (9.20) at s = jω yields
1 +
_
1
ρ
_
|P
z
(jω)|
2
= [1 + L
sf
(jω)[
2
. (9.24)
Hence the return difference satisfies
[1 +L
sf
(jω)[ ≥ 1, ∀ω, (9.25)
and (9.22) follows immediately. Applying the triangle inequality and the
identity (9.15) yields (9.23).
As shown in Figure 9.3, the Nyquist plot of the optimal state feedback loop
must lie entirely outside the unit circle centered at the critical point. This
-1 -2
|S
sf
(jω)|<1
L
sf
(jω)=K(jωI-A)
-1
B
|S
sf
(jω)|>1
Figure 9.3: Nyquist Plot for LQR State Feedback
fact guarantees that the optimal closed loop system has certain guaranteed
stability margins.
244 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
Specifically, recall that the assumptions of stabilizability and detectability
imply that a state feedback system with gain given by (9.3) is nominally
stable. Suppose, as shown in Figure 9.4, that there exists a source of model
uncertainty, Γ, at the plant input. Then the results of Problem 6.9 and
B
(sI-A)
-1
K
x
Σ
-
r
Γ
Figure 9.4: Uncertainty at the Plant Input
Theorem 7.1 imply that the system will remain stable for
• Γ = k, where k is a real number such that
1
2
< k < ∞,
• Γ = e

, where [θ[ < 60

.
• Γ(s) = 1 + ∆(s), where ∆(s) is stable and satisfies
[∆(jω)[ < 0.5. (9.26)
In other words, the system has a 50% gain reduction margin, an infinite gain
increase margin, a 60

phase margin, and can tolerate simultaneous gain and
phase variations that satisfy (9.26).
The fact that the Nyquist plot of L
sf
(s) must avoid the unit circle shown
in Figure 9.3 has further interesting implications. For example, suppose that
L
sf
(s) had a NMP zero. Then the Poisson sensitivity integral would imply
that [S
sf
(jω)[ > 1 at some frequency. It follows that the optimal L
sf
(s) can
have no NMP zeros. This fact may also be seen by considering the root locus.
A system with a NMP zero cannot have an infinite stability margin against
increases in gain, because as the gain inceases, eventually a closed loop pole
must cross into the ORHP. Similarly, it follows from the Bode sensitivity
integral that L
sf
(s) must have pole-zero excess equal to one.
Once again, a word of warning: these guaranteed stability margins may be
useless in practice if the bandwidth of the system is too high. For example,
we have noted several reasons that phase becomes very uncertain at high
frequencies. Hence, even a 60

phase margin is insufficient to guarantee
stability robustness.
9.2. GUARANTEED STABILITY MARGINS 245
9.2.2 Multiple Input Stability Margins
We now extend the results of the previous section to the case in which the
system has multiple inputs.
Corollary 9.4 Assume that p ≥ 1, and let R = ρI. Then the sensitivity
and complementary sensitivity functions satisfy
σ
max
(S
sf
(jω)) ≤ 1, ∀ω (9.27)
σ
max
(T
sf
(jω)) ≤ 2. ∀ω (9.28)
Proof: The Kalman equality (9.19) implies that
I +
_
1
ρ
_
P
T
z
(−s)P
z
(s) = (I +L
T
sf
(−s))(I + L
sf
(s)). (9.29)
Equation (9.29) has the form
I + W = M
H
M, (9.30)
where M (I + L
sf
(jω)) and W ≥ 0. It follows that for any x ∈ C
p
, with
|x| = 1,
1 + x
H
Wx = x
H
M
H
Mx ≥ 1. (9.31)
Hence the definition of minimum singular value implies that
σ
min
(I + L
sf
(jω)) ≥ 1, ∀ω, (9.32)
and thus (9.27) follows. The identity (9.15) yields (9.28).
Suppose that the feedback system is subject to uncertainty of the form
shown in Figure 9.4. It follows from (9.28) that the feedback system will
remain stable for input multiplicative uncertainty Γ(s) = (I + ∆(s)), where
∆(s) is stable and satisfies σ
max
(∆(jω)) < 0.5, ∀ω.
It is also possible to extend the gain and phase margin results from the
previous section to multiple input systems. Suppose that R is diagonal. Then
it may be shown that the feedback system of Figure 9.4 will be robustly stable
for
• Γ(s) = diag(k
1
, k
2
, . . . , k
p
), where each k
i
is a real number that satisfies
1/2 < k
i
< ∞.
246 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
• Γ(s) = diag(e

1
, e

2
, . . . , e
jθp
), where each [θ
i
[ < 60

.
The proof of these results is more technical than in the single input case;
see [1] for details. Note that these results do not give any stability robsutness
guarantees for simultaneous gain and phase variations, or for uncertainty that
introduces coupling between the loops.
9.3 Symmetric Root Locus
When using the LQR methodology to design a state feedback control law,
we often wish to use the weighting matrices Q and R as “knobs” that we
“twiddle” to adjust the properties of a feedback design. In effect, we are
applying optimal control not to mimimize a cost function whose value is of
utmost concern, but rather as a means to satisfy design specifications that
are not incorporated easily into the cost function.
Of course, one would not expect to achieve a satisfactory design in a
reasonable length of time by “twiddling” with Q and R arbitrarily. Un-
fortunately, it is not possible to obtain a simple mapping between design
specifications and the weighting matrices. However, it is possible to study
trends in how closed loop properties vary with the control cost. Specifically,
we suppose that the control weight in (9.3) has the form R = ρR
0
, and study
how feedback properties vary in the limit as ρ → 0 (“cheap” control) or as
ρ → ∞ (“expensive” control). To do so, we shall apply concepts from root
locus theory to study how the optimal closed loop eigenvalue locations vary
with control cost.
An Aside on the Classical Root Locus
Consider the single input, single output feedback system shown in Figure 9.5.
Let G(s) = N(s)/D(s), where N(s) and D(s) are coprime. Then the closed
loop transfer function, from r to y, is given by
T(s) =
kN
G
(s)
D
G
(s) +kN
G
(s)
, (9.33)
where
D
T
(s) = D
G
(s) +kN
G
(s) (9.34)
is the closed loop characteristic polynomial, whose zeros are equal to the
closed loop poles. Recall that, as [k[ →∞, the closed loop poles converge to
9.3. SYMMETRIC ROOT LOCUS 247
y
Σ
-
r
k G(s)
Figure 9.5: A Single Input, Single Output Feedback System with Root Locus
Gain k
• the open loop zeros (i.e., zeros of N
G
(s))
• infinity (along asymptotes that depend on the pole-zero excess of G(s)).
On the other hand, for small values of k, the closed loop poles are approxi-
mately those of G(s). In the next section, we shall use these ideas to study
the asypmtotic root locus of the optimal linear regulator eigenvalues.
9.3.1 The Optimal SISO Root Locus
In this section we assume the system (9.1) has one control input, and that
Q = C
T
z
C
z
has rank one. Then there exists only one controlled output,
z = C
z
x, and the transfer function P
z
(s) defined by (9.5) is SISO. Let P
z
(s)
be written as
P
z
(s) =
N(s)
φ
O
(s)
, (9.35)
where the hypotheses of stabilizability and detectability imply that any com-
mon roots of N(s) and φ
O
(s) must lie in the OLHP. Since there are n states,
deg φ
O
(s) = n. Assume that deg N(s) = m, so that P
z
(s) has m open loop
zeros and pole-zero excess equal to n −m.
Since p = 1, the control weighting is a scalar, R = ρ, and the optimal
feedback gain has the form
K
ρ
=
_
1
ρ
_
B
T
P
ρ
, (9.36)
where P
ρ
solves the ARE (9.4) with R = ρ. Let the closed loop characteristic
polynomial (9.17) obtained using the gain (9.36) be denoted
φ

(s) = det(sI −A +BK
ρ
). (9.37)
248 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
Lemma 9.5 Let N(s), φ
O
(s), and φ

(s) be defined as in (9.35) and (9.37).
Then
φ

(−s)φ

(s) = φ
O
(−s)φ
O
(s) +
_
1
ρ
_
N(−s)N(s). (9.38)
Proof: Substitute (9.18) into the single input version of the return differ-
ence equality (9.20), and use (9.35) and (9.37).
Observe that the polynomial (9.38) is the closed loop characteristic poly-
nomial of a feedback system, such as that shown in Figure 9.5, with
G(s) =
N(−s)N(s)
φ
O
(−s)φ
O
(s)
(9.39)
and gain parameter k = 1/ρ. It follows that standard root locus results
may be used to study how the optimal closed loop eigenvalues vary with
the control cost. Because the zeros of (9.38) are distributed symmetrically
2
about the jω-axis, this procedure is refered to as the symmetric root locus.
Proposition 9.6
(i) In the expensive control limit as ρ →∞, the optimal closed loop poles
approach
• those open loop poles lying in the CLHP
• mirror images of any open loop poles lying in the ORHP.
(ii) In the cheap control limit as ρ →0,
• m closed loop poles approach those open loop zeros lying in the
CLHP or the mirror images of any open loop zeros lying in the
ORHP
• n−m of the closed loop poles approach infinity through the OLHP.
Proof: Note that the zeros of the left hand side of (9.38) are equal to
the optimal closed loop eigenvalues and their mirror images reflected across
the jω-axis. The first and second terms on the right hand side of (9.38)
have zeros equal to the open loop poles and their mirror images, and to the
2
It may be shown that the zeros of (9.38) are the eigenvalues of the Hamiltonian matrix
(Appendix E).
9.3. SYMMETRIC ROOT LOCUS 249
open loop zeros and their mirror images, respectively. The assumptions of
stabilizability and detectability imply that the optimal state feedback system
is stable, and thus the optimal poles must be those roots of (9.38) lying in
the OLHP.
We illustrate the symmetric root locus with several examples.
Example 9.7 Suppose first that
P
z
(s) =
s
2
+ s + 1
s
3
+ 3s
2
+ 4s + 2
.
The poles and zeros of P
z
(s), together with their mirror images, are plotted
in Figure 9.6, and the symmetric root locus is drawn in Figure 9.7. The
optimal closed loop poles are those lying in the OLHP. Note that, because
the pole-zero excess of P
z
(s) is equal to one, only one optimal closed loop
pole converges to infinity as ρ →0.
−5 −4 −3 −2 −1 0 1 2 3 4 5
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
open loop poles and zeros
Figure 9.6: Poles and Zeros for Example 9.7
Example 9.8 Consider next an example with pole-zero excess equal to two:
P
z
(s) =
s + 2
s
3
+ 3s
2
+ 4s + 2
.
250 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
−15 −10 −5 0 5 10 15
−1.5
−1
−0.5
0
0.5
1
1.5
Symmetric Root Locus
real
i
m
a
g
i
n
a
r
y
Figure 9.7: Symmetric Root Locus for Example 9.7
The poles and zeros of P
z
(s) and their mirror images are plotted in Figure 9.8,
and the symmetric root locus is drawn in Figure 9.9. In this case two of the
optimal closed loop poles approach infinity.
Note that the symmetric root locus does not depend upon whether the
poles and zeros of P
z
(s) lie in the left or right half plane. Indeed, the following
transfer functions will all yield the same closed loop poles for the same value
of control cost:
P
1
z
(s) =
s + 2
(s + 1) (s
2
+ 2s + 2)
,
P
3
z
(s) =
s + 2
(−s + 1) (s
2
+ 2s + 2)
,
P
5
z
(s) =
s + 2
(s −1) (s
2
−2s + 2)
,
P
2
z
(s) =
−s + 2
(s + 1) (s
2
+ 2s + 2)
,
P
4
z
(s) =
s + 2
(s + 1) (s
2
−2s + 2)
,
P
6
z
(s) =
s −2
(s + 1) (s
2
−2s + 2)
.
The symmetric root locus for all these systems is that in Figure 9.9.
Example 9.9 Suppose finally that
P
z
(s) =
s
2
+ 1
(s
2
+ 2)(s
2
+ 0.5)
,
9.3. SYMMETRIC ROOT LOCUS 251
−5 −4 −3 −2 −1 0 1 2 3 4 5
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
open loop poles and zeros
Figure 9.8: Poles and Zeros for Example 9.8
−4 −3 −2 −1 0 1 2 3 4
−5
−4
−3
−2
−1
0
1
2
3
4
5
Symmetric Root Locus
real
i
m
a
g
i
n
a
r
y
Figure 9.9: Symmetric Root Locus for Example 9.8
252 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
which has all its poles and zeros on the jω-axis. The poles and zeros, and
their mirror images, are plotted in Figure 9.10, where each pole and zero has
multiplicity equal to two. The symmetric root locus is drawn in Figure 9.11.
Note that the closed loop system always has four poles in the open left half
plane.
−5 −4 −3 −2 −1 0 1 2 3 4 5
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
open loop poles and zeros
Figure 9.10: Poles and Zeros for Example 9.9
A Useful Trick
We can place the dominant closed loop poles in desired locations and achieve
the gain/phase margins of the LQ regulator simply by selecting the zeros of
the numerator of C
z
(s) to be in the desired closed loop pole locations, and
letting control cost become small. For example, suppose we desire that the
closed loop response approximate that of a second order system with poles
having a specified ω
n
and ζ. If C
z
(s) has a pair of zeros with the desired
natural frequency and damping, then, as ρ →0, two of the desired poles will
approach these zeros, and the others will approach infinity. We will illustrate
this trick in Example 9.15 after we have developed additional results.
9.3. SYMMETRIC ROOT LOCUS 253
−2.5 −2 −1.5 −1 −0.5 0 0.5 1 1.5 2 2.5
−2.5
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
2.5
Symmetric Root Locus
real
i
m
a
g
i
n
a
r
y
Figure 9.11: Symmetric Root Locus for Example 9.9
9.3.2 Cheap Control Asymptotes
Those optimal eigenvalues that approach infinity do so along asymptotes
whose locations depend upon n −m, the pole-zero excess of P
z
(s).
Proposition 9.10 Let
N(s) = b
0
s
m
+ b
1
s
m−1
+ + b
m
, (9.40)
φ
O
(s) = s
n
+ a
1
s
n−1
+ +a
n
, (9.41)
and define α
2m
= b
2
0
. Then, in the limit as ρ → 0, n − m closed loop poles
approach those roots of the polynomial
s
2(n−m)
+ (−1)
m−n
_
α
2m
ρ
_
= 0 (9.42)
that lie within the CLHP. Moreover, the roots of (9.42) are evenly distributed
on a semi-circle of radius
_
α
2m
ρ
_ 1
2(n−m)
. (9.43)
254 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
Proof: It is easy to verify that the numerator and denominator of (9.39)
have the form
N(−s)N(s) = α
2m
(−1)
m
s
2m
+ α
2(m−1)
s
2(m−1)
+ . . . (9.44)
φ
O
(−s)φ
O
(s) = (−1)
n
s
2n
+ β
2(n−1)
s
2(n−1)
+ . . . (9.45)
where α
2(m−1)
and β
2(n−1)
are constants and the ellipses indicate lower order
terms in s.
From root locus theory, we know that as ρ →0, 2m of the zeros of (9.38)
will converge to the zeros of N(−s)N(s), and 2(n − m) of these zeros will
converge to infinity. We will now investigate the qualitative behavior of the
zeros that converge to infinity. Let s
ρ
denote a zero of the polynomial (9.38):
φ

(−s
ρ


(s
ρ
) = φ
O
(−s
ρ

O
(s
ρ
) + (1/ρ) N(−s
ρ
)N(s
ρ
) = 0. (9.46)
It follows by substituting (9.44) and (9.45) into (9.46) that
0 = (−1)
n
(s
ρ
)
2n
+ (α
2m
/ρ) (−1)
m
(s
ρ
)
2m
+ β
2(n−1)
(s
ρ
)
2(n−1)
+
_
α
2(m−1)

_
(−1)
(m−1)
(s
ρ
)
2(m−1)
+ . . . (9.47)
Dividing both sides of (9.47) by (α
2m
/ρ)(−1)
m
(s
ρ
)
2m
yields
0 = 1 +(−1)
n−m
(s
ρ
)
2(n−m)
(ρ/α
2m
) +(−1)
m
(s
ρ
)
2(n−m−1)

2(n−1)
ρ/α
2m
) +. . .
(9.48)
Suppose that [s
ρ
[ →∞as ρ →0. Since (9.48) must be satisfied for all values
of ρ, it follows that the highest order term in s
ρ
must remain finite. The
other terms in (9.48), which all contain lower powers of s
ρ
, will converge to
zero as ρ →0. Hence, as ρ →0, equation (9.48) becomes
0 = 1 + (−1)
n−m
(s
ρ
)
2(n−m)
(ρ/α
2m
)
Solving this equation for s
ρ
yields
(s
ρ
)
2(n−m)
= (−1)
n−m+1

2m
/ρ) , (9.49)
and it follows that those roots of (9.38) that converge to infinity do so along
a circle of radius (9.43). Furthermore, these roots are spaced equally around
the this circle, and are separated by angles that depend upon the value of
n −m.
As discussed in Appendix A, eigenvalues that are evenly spaced around a
semicircle in the CLHP are said to lie in a Butterworth configuration. It
follows that, as ρ → 0, the optimal closed loop eigenvalues will lie in a
Butterworth configuration of order n −m.
9.3. SYMMETRIC ROOT LOCUS 255
9.3.3 The Asymptotic Closed Loop Response
Consider the optimal closed loop transfer function from command input to
controlled output:
T
rz
(s) = C
z
(sI −A + BK
ρ
)
−1
BG
=
C
z
(sI −A)
−1
BG
1 + K
ρ
(sI −A)
−1
B
(9.50)
Substituting (9.35) and (9.18) into (9.50) shows that
T
rz
(s) =
N(s)G
φ

(s)
. (9.51)
We shall assume that N(0) ,= 0, and choose the precompensator G so that
T
rz
(0) = 1.
Suppose that P
z
(s) has no NMP zeros. Then, as ρ → 0, we know that
some of the closed loop poles (i.e., some of the zeros of φ

(s)) will approach
the zeros of N(s). The other closed loop poles will approach infinity in a
Butterworth configuration. It follows that, as ρ → 0, T
rz
(s) approaches the
trsmfer function of an order (n −m) Butterworth filter.
Example 9.11 Suppose that the response of the controlled output is mini-
mum phase, as in
P
z
(s) =
s + 1
s
2
+ 4s + 4
. (9.52)
Bode gain and phase plots of T
rz
(s) are shown in Figure 9.12. Note that, as
ρ → 0, the gain of T
rz
(s) becomes flat over the passband of the closed loop
system. Furthermore, the closed loop bandwidth increases with decreasing
control cost.
Suppose next that P
z
(s) has NMP zeros. Then, as ρ → 0, those closed
loop poles that approach the mirror images of the NMP zeros will not be
approximately cancelled, and thus will affect the closed loop response.
Example 9.12 Suppose that the OLHP zero of P
z
(s) in Example 9.11 is
moved to its mirror image in the ORHP:
P
z
(s) =
−s + 1
s
2
+ 4s + 4
. (9.53)
256 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
10
−1
10
0
10
1
10
2
10
3
10
−2
10
−1
10
0
normalized closed loop transfer functions vs ρ
m
a
g
n
i
t
u
d
e
ρ = 1.0
ρ = 0.01
ρ = 0.001
ρ = 0.0001
10
−1
10
0
10
1
10
2
10
3
−100
−80
−60
−40
−20
0
d
e
g
r
e
e
s
ω, rad/sec
ρ = 1.0
ρ = 0.01
ρ = 0.001
ρ = 0.0001
Figure 9.12: Bode Plots of T
rz
(s), Example 9.11
The resulting closed loop Bode plots are shown in Figure 9.13. The gain plots
are identical with those of Figure 9.12, but the NMP zero causes additional
phase lag. A comparison of the step response plots for the two cases is found
in Figure 9.14. Note the two major differences in the second case: the NMP
zero causes initial undershoot, and the closed loop pole at s = −1 dominates
the closed loop response, causing a longer settling time
3
.
9.3.4 The MIMO Root Locus
The behavior of the optimal regulator eigenvalues when the system has sev-
eral control inputs and/or several controlled outputs is more complicated
than in the SISO case. Nevertheless, the same basic ideas are applicable, as
we illustrate by discussing an important special case.
Assume that rank Q = p, so that P
z
(s) is square and the number of
control inputs is equal to the number of controlled outputs. Let
det P
z
(s) =
N(s)
φ
O
(s)
(9.54)
3
Recall from Section 6.2.3 the tradeoff between undershoot and settling time that exists
for a NMP system.
9.3. SYMMETRIC ROOT LOCUS 257
10
−1
10
0
10
1
10
2
10
3
10
−2
10
−1
10
0
normalized closed loop transfer functions vs ρ
m
a
g
n
i
t
u
d
e
ρ = 1.0
ρ = 0.01
ρ = 0.001
ρ = 0.0001
10
−1
10
0
10
1
10
2
10
3
−300
−250
−200
−150
−100
−50
0
d
e
g
r
e
e
s
ω, rad/sec
ρ = 1.0
ρ = 0.01
ρ = 0.001
ρ = 0.0001
Figure 9.13: Bode Plots of T
rz
(s), Example 9.12
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
−1
−0.5
0
0.5
1
1.5
time
closed loop step responses
ρ = 1.0
ρ = 0.01
ρ = 0.001
ρ = 0.0001
Figure 9.14: Comparison of Step Responses, P
z
MP and NMP
258 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
where φ
O
(s) is the open loop characteristic polynomial (9.16), and
N(s) = det
_
sI −A B
−C
z
0
_
. (9.55)
We will assume that deg N(s) = m, and refer to the roots of the equation
N(s) = 0 as the open loop zeros. These zeros are those of the Rosenbrock sys-
tem matrix and, if (A, B, C
z
) is minimal, are identical with the transmission
zeros (Appendix B).
Proposition 9.13 Assume that R = ρR
0
.
(i) In the expensive control limit, as ρ →∞, the optimal closed loop poles
approach
• those open loop poles lying in the CLHP
• the mirror images of any open loop poles lying in the ORHP.
(ii) In the cheap control limit, as ρ →0,
• m closed loop poles approach those open loop zeros lying in the
CLHP or the mirror images of any open loop zeros lying in the
ORHP
• n −m closed loop poles approach infinity through the OLHP.
Proof: Corresponding to the identity (9.38) applicable to SISO systems,
we have that
φ

(−s)φ

(s) = φ
O
(−s)φ
O
(s) det(I + (1/ρ)P
T
z
(−s)P
z
(s)). (9.56)
For large values of ρ, the reasoning is the same as in the SISO case. For small
values of ρ, those closed loop eigenvalues that remain finite must approach
the CLHP zeros of
φ
O
(−s)φ
O
(s) det
_
P
T
z
(−s)P
z
(s)
_
= N(−s)N(s), (9.57)
and the reasoning proceeds from this point as in the SISO case.
Because the expression (9.56) that constrains the closed loop eigenvalue lo-
cations does not have the simple form (9.34), the detailed dependence of
the closed loop eigenvalues upon ρ is more complicated than in the SISO
case. For example, as discussed in [16], those poles that approach infinity
will generally group into several Butterworth patterns.
9.4. ASYMPTOTIC GAIN AND REGULATION COST 259
9.4 Asymptotic Gain and Regulation Cost
We now describe other asymptotic properties of the linear regulator in the
limit as the control cost approaches zero.
9.4.1 Asymptotic State Feedback Gain
Consider the system (9.1) with cost index (9.2). It seems intuitive that, as
the control cost becomes smaller, the control gain should become larger. Our
next result makes this statement precise.
Proposition 9.14 Suppose that p = 1, and that rank Q = 1, so that P
z
(s)
is SISO. Then, in the limit as ρ → 0, the open loop transfer function of the
state feedback loop satisfies
[L
sf
(jω)[ →
_
1/ρ [P
z
(jω)[ . (9.58)
Assume further that (A, B) is controllable, and that P
z
(s) has no NMP zeros.
Then the optimal state feedback gain satisfies
K
ρ
→±
_
1/ρC
z
. (9.59)
Proof: The SISO Kalman equality (9.20) implies that
¸
¸
1 + K
ρ
(jωI −A)
−1
B
¸
¸
=
_
1 + (1/ρ) [P
z
(jω)[
2
. (9.60)
It follows that, as ρ →0, (9.58) is satisfied.
The assumption that P
z
(s) is minimum phase implies that
4
K
ρ
(jωI −A)
−1
B →±
_
1/ρ)P
z
(jω). (9.61)
Rearranging (9.61) yields
_
K
ρ

_
1/ρC
z
_
(jωI −A)
−1
B →0 (9.62)
and the assumption of controllability implies that (9.59) is satisfied.
It follows from (9.58) that the optimal state feedback gain becomes un-
bounded as control cost becomes very small. If P
z
(s) is minimum phase,
then we can determine the limiting value of the control gain to within a
factor of ±1.
4
Otherwise, L
sf
(jω) → ±

(1/ρ)P
zm
(jω), where P
zm
(s) is a minimum phase counter-
part of P
z
(s).
260 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
9.4.2 Asymptotic Gain Crossover Frequency
Assume that C
z
B ,= 0. Then the power series expansion
(sI −A)
−1
=
1
s

k=0
_
A
s
_
k
(9.63)
implies, for sufficiently large values of ω, that
[K
ρ
(jωI −A)
−1
B[ ≈
[K
ρ
B[
ω
. (9.64)
For sufficiently small values of ρ, (9.59) implies that K
ρ
≈ ±
_
1/ρC
z
, and
thus we have
[L
sf
(jω)[ ≈
_
1
ρ
[C
z
B[
ω
(9.65)
It follows from (9.65) that the gain crossover frequency of the state feedback
loop (i.e., that frequency ω
c
for which [L
sf
(jω
c
)[ = 1) may be approximated
as
ω
c

_
1/ρ[C
z
B[. (9.66)
Note in particular that ω
c
→∞as ρ →0. When applying the linear regulator
methodology we must be careful to resist the temptation to use cheap control
to achieve a fast closed loop response at the expense of high bandwidth. In
particular, the gain and phase margins associated with the linear regulator
will not be sufficient to guarantee robust stability if gain crossover is at such a
high frequency that the uncertainty in the system model is excessively large.
Example 9.15 Consider a system whose transfer function
P
y
(s) =
1
(0.5s + 1)(s
2
+ 2(0.01)(0.8)s + (0.8)
2
)
(9.67)
has a very lightly damped pair of poles: ζ = 0.01 and ω
n
= 0.8. It is desired
to use state feedback so that the dominant closed loop poles are more heavily
damped: ζ = 0.5 and ω
n
= 0.8. This value of ζ will result in approximately
16% overshoot. We do not really care where the third pole lies, as long as it
is reasonably fast. We also desire that the closed loop system have unity DC
gain and good stability margins. The former goal may be achieved through
use of a constant precompensator, as shown in Figure 9.15. The latter goal
9.4. ASYMPTOTIC GAIN AND REGULATION COST 261
may be addressed by using the LQR methodology to select the feedback gain
matrix. To force the closed loop poles to lie near the desired locations, we
will use the results of Proposition 9.6.
Suppose we choose the state weighting matrix so that Q = C
T
z
C
z
so that
the transfer function from the control input to the controlled output z in
Figure 9.15 has zeros at the desired closed loop eigenvalue locations:
P
z
(s) =
(s
2
+ 2(0.5)(0.8)s + (0.8)
2
)
(0.5s + 1)(s
2
+ 2(0.01)(0.8)s + (0.8)
2
)
. (9.68)
This may be done using the state variable descriptions
A =
_
_
−2.016 −0.672 −1.28
1 0 0
0 1 0
_
_
, B =
_
_
1
0
0
_
_
(9.69)
C
y
=
_
0 0 2
¸
, C
z
=
_
1 0.8 0.64
¸
. (9.70)
It follows that, as we decrease the control cost, two of the closed loop poles
Σ
r
-
G B
(sI-A)
-1
y
x
u
K
z
C
y
C
z
Figure 9.15: State Feedback with Two Sets of Outputs
will converge to the zeros of P
z
(s) (cf. the symmetric root locus plot in
Figure 9.16). In Figure 9.17 we compare the closed loop step responses of
y and z for ρ = 0.01. To facilitate comparison, for each response plot we
used the value of G that achieves unity DC gain. As desired, we see that
the step response of y has rise time and overshoot consistent with that of a
second order system with poles in the desired locations. The step response of
z, on the other hand, is not affected by these poles because they are nearly
unobservable, and is instead dominated by the fast real pole.
The behavior of the step response plots is consistent with that of the
closed loop transfer functions. As shown in Figure 9.18, the transfer function
262 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
Root Locus
Real Axis
I
m
a
g

A
x
i
s
−4 −3 −2 −1 0 1 2 3 4
−1
−0.8
−0.6
−0.4
−0.2
0
0.2
0.4
0.6
0.8
1
Figure 9.16: Symmetric Root Locus for Example 9.15
0 1 2 3 4 5 6 7 8 9 10
0
0.2
0.4
0.6
0.8
1
1.2
1.4
step responses
time, seconds
z = Dx
y = Cx
Figure 9.17: Comparison of Step Responses
9.4. ASYMPTOTIC GAIN AND REGULATION COST 263
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
T
zr
vs ρ
ω, rad/sec
m
a
g
n
i
t
u
d
e
ρ = 10.0
ρ = 1.0
ρ = 0.1
ρ = 0.01
10
−2
10
−1
10
0
10
1
10
2
−100
−80
−60
−40
−20
0
20
ω, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 9.18: Asymptotic T
zr
(s)
T
rz
(s) approaches that of a first order Butterworth filter because the complex
poles are almost cancelled by numerator zeros. Because P
y
(s) has no zeros,
the complex poles will affect the response of y, and we see from Figure 9.18
that for small ρ the transfer function T
ry
(s) approaches that of a second order
system with an extra high frequency real pole.
The open loop transfer function L
sf
(jω) is plotted for various values of ρ
in Figure 9.20. As we expect from (9.58), the relative shape of the Bode plot
approaches that of P
z
(jω). The gain of this plot, and thus the gain crossover
frequency, increase with decreasing control cost. For the plot with ρ = 0.01,
we see that gain crossover frequency is ω
c
≈ 20, which agrees well with the
approximation (9.66).
It follows from our last observation that we must be cautious when plac-
ing closed loop poles using cheap control; otherwise, the system may have
excessively high bandwidth.
9.4.3 Asymptotic Regulation Cost
Recall that the optimal cost associated with the infinite horizon LQR problem
is given by J

(x
0
) = x
T
0
Px
0
, where P is the unique positive semidefinite
264 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
T
yr
vs ρ
ω, rad/sec
m
a
g
n
i
t
u
d
e
ρ = 10.0
ρ = 1.0
ρ = 0.1
ρ = 0.01
10
−2
10
−1
10
0
10
1
10
2
−300
−250
−200
−150
−100
−50
0
ω, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
Figure 9.19: Asymptotic T
yr
(s)
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
10
2
ω, rad/sec
m
a
g
n
i
t
u
d
e
K
ρ
(jωI−A)
−1
B vs ρ
P
z
P
z
(jω)
ρ = 10.0
ρ = 1.0
ρ = 0.1
ρ = 0.01
Figure 9.20: Asymptotic Loop Shapes for Example 9.15
9.4. ASYMPTOTIC GAIN AND REGULATION COST 265
solution to the ARE. Suppose that the control weighting matrix has the
form R = ρR
0
. Then the optimal cost is a function of ρ, and we write P
ρ
.
Our next result describes the cheap control regulation cost; for a proof and
more dicussion, see [16].
Proposition 9.16 Consider the SISO case, wherein p = 1 and Q = C
T
z
C
z
has rank one. Assume that P
z
(s) has no zeros in the ORHP. Then, in the
limit as ρ →0, the optimal cost matrix satisfies P
ρ
→0.
Let us appeal to the root locus to describe how the regulation cost may be
made to approach zero. Since P
z
(s) is minimum phase, the optimal closed
loop poles will either converge to infinity or to open loop zeros. The response
of those states that are associated with the poles that converge to infinity can
be made to decay to zero arbitrarily rapidly. The response of those states
that are associated with the poles that converge to zeros becomes almost
unobservable, and thus does not affect the optimal cost.
Example 9.17 Consider the cheap control linear regulator problem for two
systems with
A =
_
−4 −4
1 0
_
, B =
_
1
0
_
C
1
z
=
_
1 1
¸
, C
2
z
=
_
−1 1
¸
.
The transfer functions of these systems are
P
1
z
(s) =
s + 1
s
2
+ 4s + 4
, P
2
z
(s) =
−s + 1
s
2
+ 4s + 4
. (9.71)
The behavior of the optimal gain and cost matrices for these two systems
is shown in Figure 9.21. We see that for each value of ρ the optimal gain
matrices are identical for the two cases, and in the limit they both converge
to (1/

ρ)C
1
z
, where C
1
z
defines the minimum phase outputs.
The optimal cost matrices are not identical, however. Only P
1
ρ
, the cost
matrix associated with the minimum phase system, converges to zero with
cheap control. The cost matrix for the NMP case, P
2
ρ
, does not converge to
zero, although it does become singular. It is interesting to determine which
initial states will yield small cost for small values of ρ, and which will not.
The eigenvalues and eigenvectors of A −BK
ρ
, with ρ = 0.001, are given by
_
λ
1
0
0 λ
2
_
=
_
−32 0
0 −1.005
_
,
_
v
1
v
2
¸
=
_
−0.9995 0.7087
0.0315 −0.7005
_
(9.72)
266 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
ρ = 10 ⇒ K
1
ρ
=
_
0.016 0.013
¸
, P
1
ρ
=
_
0.16 0.12
0.12 0.12
_
K
2
ρ
=
_
0.016 0.013
¸
, P
2
ρ
=
_
0.16 0.12
0.12 2.12
_
ρ = 1 ⇒ K
1
ρ
=
_
0.15 0.12
¸
, P
1
ρ
=
_
0.15 0.12
0.12 0.12
_
K
2
ρ
=
_
0.15 0.12
¸
, P
2
ρ
=
_
0.15 0.12
0.12 2.12
_
ρ = 0.1 ⇒ K
1
ρ
=
_
1.3 1.1
¸
, P
1
ρ
=
_
0.13 0.11
0.11 0.11
_
K
2
ρ
=
_
1.3 1.1
¸
, P
2
ρ
=
_
0.13 0.11
0.11 2.11
_
ρ = 0.01 ⇒ K
1
ρ
=
_
7.4 6.8
¸
, P
1
ρ
=
_
0.074 0.068
0.068 0.066
_
K
2
ρ
=
_
7.4 6.8
¸
, P
2
ρ
=
_
0.074 0.068
0.068 2.066
_
ρ = 0.001 ⇒ K
1
ρ
=
_
28.7 27.8
¸
, P
1
ρ
=
_
0.029 0.028
0.028 0.028
_
K
2
ρ
=
_
28.7 27.8
¸
, P
2
ρ
=
_
0.029 0.028
0.028 2.028
_
Figure 9.21: Optimal Gain and Cost with Cheap Control
9.4. ASYMPTOTIC GAIN AND REGULATION COST 267
An initial condition proportional to the eigenvector v
1
will yield small cost,
because this eigenvector lies in the (approximate) nullspace of P
r
ρ
. The cost
associated with an initial state proportional to v
2
does not become small as
ρ → 0. Indeed, the associated eigenvalue does not become very fast, and is
observable in the cost because no zero is located nearby.
9.4.4 Extensions to Multiple Input Systems
We now state generalizations of the above ideas to systems with several
control inputs, and/or several controlled outputs.
First suppose that (A, B) is controllable, that P
z
(s) is square and invert-
ible, and has no NMP zeros, and let R = ρI. Then, in the limit as ρ →0, the
optimal state feedback gain K
ρ
→ (1/

ρ)WD, where W is an orthonormal
matrix. Hence, the optimal state feedback loop satisfies
K
ρ
(sI −a)
−1
B →
_
1
ρ
WC
z
(sI −a)
−1
B. (9.73)
We next consider the general case, and state conditions under which the
asymptotic cost is equal to zero.
Proposition 9.18 Suppose that P
z
(s) has q outputs and p inputs, and let
R = ρR
0
.
(i) Suppose that q ≤ p (at least as many control inputs as controlled out-
puts), and that P
z
(s) has no NMP zeros. Then, as ρ →0, the optimal
cost matrix satisfies P
ρ
→0.
(ii) Suppose that q > p (fewer control inputs than controlled outputs). Then,
as ρ →0, the optimal cost matrix satisfies P
ρ
0.
(iii) Suppose that q = p, and that P
z
(s) has at least one NMP zero. Then,
as ρ →0, the optimal cost matrix satisfies P
ρ
0.

268 Chapter 9: FEEDBACK PROPERTIES OF THE LQ REGULATOR
Chapter 10
Robustness with an Observer
Revised January 7, 2003.
269
270 Chapter 10: ROBUSTNESS WITH AN OBSERVER
It is often convenient to think of designing a compensator in two stages.
First, one designs a state feedback to achieve satisfactory dynamic response.
By augmenting integrators, one can achieve disturbance rejection and insen-
sitivity to parameter variations. If the state feedback gain is chosen through
the linear quadratic regulator methodology, then one can manipulate the
tradeoff between the response of the system states and that of the contol sig-
nal. Furthermore, the state feedback control laws obtained using LQR have
certain guaranteed properties with respect to stability margins, and can be
analyzed using the symmetric root locus.
Regardless of how the state feedback control law is designed, it is almost
always necessary to implement it using estimates of the state obtained from
an observer. Hence it is necessary to insure that the desirable properties
of the state feedback design do not vanish when the state estimates are
used. It is proven in linear system theory courses that the command response
is unaffected by the presence of the observer. However, the response to
initial conditions will affect the system output. It is sometimes suggested in
textbooks that the the observer poles should be made “faster” than the state
feedback poles by an amount that depends upon the level of measurement
noise. These conclusions are generally based upon transient time response
properties of the system, and not on feedback properties such as robustness
margins. We now present a procedure for tuning an observer so that, under
appropriate conditions, the feedback properties of a state feedback design are
“recovered”.
10.1 Stability Margins with an Observer
We begin with a comparative analysis of the robustness properties of a state
feedback design and an observer based compensator incorporating the same
feedback gain. In Section 9.1.1, we saw that the response of a state feedback
system to disturbances and uncertainty at the plant input is governed by
the open loop transfer function (9.9) and associated sensitivity and comple-
mentary sensitivity functions (9.11)-(9.12). Suppose we now implement the
control law using an observer to estimate the states. For the purpose of ana-
lyzing feedback properties, we rearrange the system as shown in Figure 2.3.
Then the response to disturbances and uncertainty at the plant input is de-
scribed by the transfer function L
I
(s) = C
obs
(s)P(s), S
I
(s), and T
I
(s), where
C
obs
(s) is the transfer function (2.12) of the observer based compensator.
10.2. ASYMPTOTIC PROPERTIES 271
Suppose that we have designed a state feedback control law with rea-
sonable stability margins against uncertainty at the plant input. There is no
straightforward relationship between the transfer functions L
sf
(s) and L
I
(s),
and thus between the stability margins with and without the observer. In-
deed, if K is obtained by solving the linear regulator problem, then L
sf
(s)
will be minimum phase and have pole zero excess equal to one. However, if
P(s) has a NMP zero, then internal stability will dictate that L
sf
(s) also has
this zero. If P(s) is strictly proper, then L
sf
(s) will have pole zero excess
at least two. Hence the guaranteed robustness properties of an LQR design
may no longer be present when the observer is used.
10.2 Asymptotic Properties
Consider the system
˙ x = Ax + v, x ∈ R
n
, x(0) = x
0
(10.1)
y
m
= Cx + w, y
m
∈ R
q
, (10.2)
where v and w are white noise processes with covariances V and W > 0,
(A, C) is detectable, (A, V ) is stabilizable. We have seen that the optimal
estimator gain for this system has the form
L = ΣC
T
W
−1
, (10.3)
where Σ is the unique positive semidefinite solution to the dual Algebraic
Riccati Equation
0 = ΣA
T
+ AΣ +V −ΣC
T
W
−1
CΣ. (10.4)
Suppose that rank V = p. Then we may factor V = B
v
B
T
v
, where B
v
∈ R
n×q
,
and define P
v
(s) = C(sI − A)
−1
B
v
. If p = q, so that P
v
(s) is square, then
we may define
det P
v
(s) =
N
v
(s)
φ
O
(s)
(10.5)
where φ
O
(s) is the open loop characteristic polynomial (9.16), and
N
v
(s) = det
_
sI −A B
v
−C 0
_
. (10.6)
We will assume that deg N
v
(s) = m. The following result corresponds to
Proposition 9.13 for the linear regulator problem.
272 Chapter 10: ROBUSTNESS WITH AN OBSERVER
Proposition 10.1 Assume that W = ρW
0
and let V = β
2
B
v
B
T
v
.
(i) In the limit as the measurements become more noisy than the process
(ρ/β
2
→∞), the optimal estimator eigenvalues approach
• those open loop poles lying in the CLHP
• the mirror images of any open loop poles lying in the ORHP.
(ii) In the limit as the process becomes more noisy than the measurements
(ρ/β
2
→0),
• m optimal estimator eigenvalues approach those open loop zeros
lying in the CLHP or the mirror images of any open loop zeros
lying in the ORHP
• n−m optimal estimator eigenvalues approach infinity through the
OLHP.

Suppose that the process disturbance covariance matrix has the form
V = V
0
+ β
2
B
v
B
T
v
, (10.7)
where V
0
≥ 0 is arbitrary and β is a parameter we may adjust. Then the
optimal error covariance depends upon β, which we indicate by writing Σ
β
.
Proposition 10.2 Suppose that P
v
(s) is square and invertible, and has no
NMP zeros. Then
lim
β→∞
1
β
2
Σ
β
= 0. (10.8)

As β → ∞, the process disturbance becomes unbounded and it is plausible
that the estimation error Σ
β
also becomes unbounded despite the filtering
action of the observer. Proposition 10.2 states that the estimation error co-
variance becomes unbounded more slowly than does the process disturbance
covariance, and thus the filter is effective at reducing the effects of the process
disturbance.
We now calculate the limiting value of the optimal observer gain which,
for a given value of β, we will denote by L
β
.
10.3. LOOP TRANSFER RECOVERY 273
Corollary 10.3 Suppose that P
v
(s) is square, invertible, and has no NMP
zeros. Let V have the form (10.7). Then, as β →∞,
L
β
→βB
v
X, (10.9)
where X is a nonsingular matrix.
Proof: Substituting (10.7) into the Riccati equation (10.4) yields:
1
β
2
Σ
β
A
T
+
1
β
2

β
+
1
β
2
V
0
+ B
v
B
T
v

1
β
2
Σ
β
C
T
W
−1

β
= 0. (10.10)
It follows from (10.8) that the first two terms on the left hand side of (10.10)
converge to zero, and thus
lim
β→∞
1
β
2
Σ
β
C
T
W
−1

β
= B
v
B
T
v
. (10.11)
The optimal estimator gain is given by L
β
= Σ
β
C
T
W
−1
and thus
lim
β→∞
1
β
2
L
β
WL
T
β
= B
v
B
T
v
. (10.12)
Because W > 0, by Lemma D.3 there exists a nonsingular matrix Z such
that W = ZZ
T
. Hence, for any given value of β, (10.12) has solutions of the
form
1
β
L
β
Z = B
v
U, (10.13)
where U is an orthonormal matrix: UU
T
= I. It follows that, in the limit as
β →∞,
L
β
→βB
v
UZ
−1
(10.14)
and (10.9) is obtained by defining X = UZ
−1
.
10.3 Loop Transfer Recovery
We shall now apply the Kalman filter methodology to solve the problem of
designing an observer so that the feedback properties of a state feedback loop
are “recovered” as the observer gain is tuned. As we have seen, one difficulty
to be overcome is that the closed loop transfer functions associated with the
274 Chapter 10: ROBUSTNESS WITH AN OBSERVER
state feedback loop, S
sf
(s) and T
sf
(s), differ from those associated with the
observer based compensator, S
I
(s) and T
I
(s).
Our result shows how, under appropriate hypotheses, an observer may
be designed so that the feedback properties at the plant input approximate
those of the state feedback loop. We shall consider the linear system
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
(10.15)
y = Cx, x ∈ R
q
, (10.16)
where (A, B) is stabilizable and (A, C) is detectable. Let
u = −Kx + r (10.17)
be a stabilizing state feedback, resulting in the state feedback loop trans-
fer function L
sf
(s) = K(sI − A)
−1
B. Suppose that this state feedback is
implemented on a state estimate obtained from the observer
˙
ˆ x = (A −LC)ˆ x + Bu −Ly. (10.18)
To simplify the notation, define
Φ(s) (sI −A)
−1
(10.19)
Φ
K
(s) (sI −A + BK)
−1
(10.20)
Proposition 10.4 Assume that q = p and that P(s) = C(sI − A)
−1
B has
no NMP zeros. Suppose we solve for the observer gain from (10.3) and (10.4)
with W > 0 and V = V
0
+ β
2
BB
T
, where V
0
≥ 0 is arbitrary. Then, in the
limit as β →∞,
C
obs
(s) →L
sf
(s)P
−1
(s), (10.21)
and thus L
I
(s) →L
sf
(s).
Proof: Rearranging the expression for C
obs
(s) yields
C
obs
(s) = K(sI −A + BK + LC)
−1
L
β
= KΦ
K
(s)L
β
(I + CΦ
K
(s)L
β
)
−1
= (I + KΦ(s)B)
−1
KΦ(s)L
β
_
I + CΦ(s)(I +BKΦ(s))
−1
L
β
_
−1
(10.22)
10.3. LOOP TRANSFER RECOVERY 275
As β →∞, it follows from Corollary 10.3 that L
β
→βBX. Using this limit
yields
C
obs
(s) →KΦ
K
(s)βBX (I + CΦ
K
(s)βBX)
−1
(10.23)
→KΦ(s)B(CΦ(s)B)
−1
(10.24)

We say that the state feedback properties are “asymptotically recovered” in
the sense that the open loop transfer function at the plant input asymp-
totically converges to that of the state feedback loop. Note L
I
(jω) cannot
approximate L
sf
(jω) uniformly well at all frequencies. Indeed, suppose that
we attempted to require
L
I
(jω) = L
sf
(jω), ∀ω. (10.25)
Then, since the pole zero excess of L
I
(s) will in general be larger than that of
L
sf
(s), it follows that an improper compensator will be required to achieve
(10.25). Since our compensator is strictly proper, perfect recovery cannot
be achieved. One can also see why the assumption of a minimum phase
plant is required. Because the compensator inverts the plant, it follows that
a compensator that achieved recovery for a NMP plant must result in an
unstable pole-zero cancellation.
Note that L
I
(s) will always have at least two more poles than zeros, even
in the case that K(sI −A)
−1
B has only one more pole than zero (as it will if
K is an optimal LQ state feedback gain). This fact can be used to advantage,
because a one-pole roll-off rate is sometimes too slow, and yields designs with
excessive bandwidth.
One should not attempt to recover the state feedback design over a fre-
quency range well beyond that of the desired gain crossover frequency. The
resulting system may have excessive bandwidth, and will be susceptible to
sensor noise, robustness difficulties against high frequency uncertainty, and
excessive control gain.
Example 10.5 Consider the plant
P(s) =
s + 1
s
3
+ 4s
2
+ 4s
(10.26)
Suppose that we design a state feedback using LQR techniques with Q =
C
T
C, R = 0.001, and then apply the recovery procedure. This yields the
276 Chapter 10: ROBUSTNESS WITH AN OBSERVER
10
−2
10
−1
10
0
10
1
10
2
10
−4
10
−2
10
0
10
2
m
a
g
n
i
t
u
d
e
open loop gain and phase, K(sI−A)
−1
B and C
obs
(s)P(s)
SF
β =10
β =100
β =1000
10
−2
10
−1
10
0
10
1
10
2
−300
−250
−200
−150
−100
−50
frequency, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
SF
β =10
β =100
β =1000
Figure 10.1: Bode Plots, LTR for Minimum Phase Plant (10.26)
10
−2
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
10
1
frequency, rad/sec
m
a
g
n
i
t
u
d
e
input sensitivity functions
SF
β =10
β =100
β =1000
Figure 10.2: Input Sensitivity Function, LTR for Minimum Phase Plant
(10.26)
10.3. LOOP TRANSFER RECOVERY 277
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
Nyquist plot
SF
β =10
β =100
β =1000
Figure 10.3: Nyquist Plots, LTR for Minimum Phase Plant (10.26)
278 Chapter 10: ROBUSTNESS WITH AN OBSERVER
Bode gain and phase plots, sensitivity plots, and Nyquist plots depicted in
Figures (10.1)-(10.3).
Example 10.6 Let us now try the recovery precedure for a nonminimum
phase plant
P(s) =
−s + 1
s
3
+ 4s
4
+ 4s
. (10.27)
We use the same state feedback design as in the design for (10.26), with
R = 0.001. Bode, sensitivity, and Nyquist plots are shown in Figures 10.4-
10.6.
10
−2
10
−1
10
0
10
1
10
2
10
−4
10
−2
10
0
10
2
m
a
g
n
i
t
u
d
e
open loop gain and phase, K(sI−A)
−1
B and C
obs
(s)P(s)
SF
β =10
β =100
β =1000
10
−2
10
−1
10
0
10
1
10
2
−500
−400
−300
−200
−100
0
frequency, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
SF
β =10
β =100
β =1000
Figure 10.4: Bode Plots, LTR for Nonminimum Phase Plant (10.27), R =
0.001
Recall that, by the Poisson integral, the sensitivity function for a NMP
plant cannot have magnitude less than one at all frequencies. Indeed, we
see that the state feedback loop is not recovered in the nonminimum phase
case. In fact, the sensitivity functions for the loops with the observer-based
compensators don’t look much at all like those for the state feedback case.
Let’s think about this a moment. If we look at the open loop Bode plot,
we see that the gain crossover frequency lies well into the frequency region
where the NMP zero contributes significant phase lag.
10.4. LTR WITH AUGMENTED INTEGRATORS 279
10
−2
10
−1
10
0
10
1
10
2
10
−3
10
−2
10
−1
10
0
10
1
frequency, rad/sec
m
a
g
n
i
t
u
d
e
input sensitivity functions
SF
β =10
β =100
β =1000
Figure 10.5: Sensitivity Function, LTR for Nonminimum Phase Plant
(10.27), R = 0.001
Example 10.7 Suppose that we try a less aggressive design for the state
feedback loop, with R = 1. From the plots in Figures 10.7-10.9, we see
that the system with the observer approximates the state feedback system
much more closely. This is consistent with the less aggressive design–the gain
crossover frequency of the state feedback loop is now below the frequency of
the NMP zero.
10.4 LTR with Augmented Integrators
In Chapter 3 we approached the problem of setpoint tracking by augmenting
integrators to the plant, using state feedback to stabilize the system, and an
observer to estimate the states of the plant. The resulting feedback system
is shown in Figure 3.5, and has state equations
˙ x
aug
= A
aug
x
aug
+ B
aug
u +
_
0
−I
_
r (10.28)
u = −K
aug
x
aug
, (10.29)
280 Chapter 10: ROBUSTNESS WITH AN OBSERVER
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
Nyquist plot
SF
β =10
β =100
β =1000
Figure 10.6: Nyquist Plots, LTR for Nonminimum Phase Plant (10.27), R =
0.001
10.4. LTR WITH AUGMENTED INTEGRATORS 281
10
−2
10
−1
10
0
10
1
10
2
10
−4
10
−2
10
0
10
2
m
a
g
n
i
t
u
d
e
open loop gain and phase, K(sI−A)
−1
B and C
obs
(s)P(s)
SF
β =10
β =100
β =1000
10
−2
10
−1
10
0
10
1
10
2
−500
−400
−300
−200
−100
0
frequency, rad/sec
p
h
a
s
e
,

d
e
g
r
e
e
s
SF
β =10
β =100
β =1000
Figure 10.7: Bode Plots, LTR for Nonminimum Phase Plant (10.27), R = 1.0
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
frequency, rad/sec
m
a
g
n
i
t
u
d
e
input sensitivity functions
SF
β =10
β =100
β =1000
Figure 10.8: Sensitivity Function, LTR for Nonminimum Phase Plant
(10.27), R = 1.0
282 Chapter 10: ROBUSTNESS WITH AN OBSERVER
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
Nyquist plot
SF
β =10
β =100
β =1000
Figure 10.9: Nyquist Plots, LTR for Nonminimum Phase Plant (10.27), R =
1.0
10.4. LTR WITH AUGMENTED INTEGRATORS 283
where
x
aug
=
_
x
w
_
, A
aug
=
_
A 0
C 0
_
, B
aug
=
_
B
0
_
, K
aug
=
_
K
1
K
2
¸
.
(10.30)
If the (A
aug
, B
aug
) is stabilizable, then it is possible to choose the state feed-
back by minimizing the cost function
J =
_

0
_
x
T
aug
Q
aug
x
aug
+ u
T
Ru
_
dt, (10.31)
where (A
aug
, Q
aug
) is detectable.
The solution to the LQR problem just described must satisfy all the re-
sults from Chapter 9 concerning guaranteed stability margins and asymptotic
properties. For example, in the SISO case the Nyquist plot of the open loop
transfer function
L
sf
(s) = K
aug
(sI −A
aug
)
−1
B
aug
= K
1
(sI −A)
−1
B +
_
K
2
s
_
(sI −A)
−1
B, (10.32)
must lie outside the unit circle centered at the critical point. Suppose that
an observer with gain L is used to estimate the states of the plant. Then
stability robustness at the plant input is governed by the open loop transfer
function L
I
(s) = C
obs
(s)P(s), where
C
obs
(s) = K
aug
(sI −A
aug
+ B
aug
K
aug
+ L
aug
C
aug
)
−1
L (10.33)
We now show that if P(s) is square and minimum phase, then a Kalman
filter designed using the asymptotic recovery procedure will enable stability
margins at the plant input to approximate those of the state feedback system.
Let V = V
0
+βBB
T
, and denote the resulting observer gain by L
β
. Then
the state equations for the compensator are given by
_
˙
ˆ x
˙ w
_
=
_
A −L
β
C −BK
1
−BK
2
0 0
_ _
ˆ x
w
_
+
_
L
β
I
_
y +
_
0
−I
_
r (10.34)
u = −
_
K
1
K
2
¸
_
ˆ x
w
_
(10.35)
284 Chapter 10: ROBUSTNESS WITH AN OBSERVER
Applying the identity (A.9) yields
C
obs
(s) = K
1
(sI −A + BK
1
+L
β
C)
−1
L
β
−K
1
(sI −A + BK
1
+L
β
C)
−1
B
_
K
2
s
_
+
_
K
2
s
_
, (10.36)
and after some algebra we have
C
obs
(s) =
_
I + K
1
(sI −A + L
β
C)
−1
B
_
−1
_
K
1
(sI −A + L
β
C)
−1
L
β
+ (K
2
/s)
_
=
_
I + K
1
(sI −A + L
β
C)
−1
B
_
−1
K
1
(sI −A +L
β
C)
−1
+
_
I +K
1
(sI −A + L
β
C)
−1
B
_
−1
(K
2
/s) (10.37)
Using the limiting property L
β
→βBX yields
C
obs
(s)P(s) →K
1
(sI −A)
−1
B +
_
K
2
s
_
(sI −A)
−1
B (10.38)
and thus the state feedback transfer function is recovered at the plant input.
10.5 Recovery at the Plant Output
Chapter 11
Design Rules for MIMO
Feedback Systems
Revised January 7, 2003.
285
286 Chapter 11: MIMO DESIGN RULES
Chapter 12
Feedback Control
Implementation
Revised January 7, 2003.
287
288 Chapter 12: FEEDBACK CONTROL IMPLEMENTATION
This book has been devoted to the analysis and design of feedback systems
using linear models of the plant we wish to control, and linear control laws.
In fact, almost all systems that we wish to control are nonlinear, and many
control laws have combine both linear and nonlinear algorithms. Linear
system models and linear control algorithms are nevertheless widely used as
the starting point for control development. In this chapter, we discuss several
aspects pertaining to the implementation of a linear control algorithm on a
nonlinear system.
12.1 Linearization
In this section, we shall review linearization. We shall describe how to imple-
ment a linear controller designed using a linear model obtained at a certain
setpoint on the underlying nonlinear system. We will take care to add and
subtract the setpoint values from the inputs and outputs of the linear con-
troller. We will also discuss use of feedforward control to command a change
from one linearization point to another.
12.2 Integrator AntiWindup
Integral control is very commonly used in applications. However, there is a
problem associated with the use of such control.
Actuator Saturation
Consider a SISO feedback system with integral control, as shown in Fig-
ure 12.1. Suppose that the actuator of the system has saturation limits; i.e.,
P P
act
C
Σ
-
y( t )
u( t ) v( t )
r ( t ) e( t )
Figure 12.1: SISO Feedback System with Actuator Model
the actuator output is constrained to lie in an interval u(t) ∈ (u
min
, u
max
).
12.2. INTEGRATOR ANTIWINDUP 289
To simplify our discussion, let us assume that the actuator is a pure satu-
ration, and ignore the actuator dynamics. The input–output relation of the
actuator is depicted in Figure 12.2, and the feedback system is shown in Fig-
v
u
u
max
u
min
Figure 12.2: Input-Output Relation of Saturating Actuator
ure 12.3. Suppose that the error signal is so large that the controller issues
P
y( t )
u( t )
C
Σ
-
v( t )
r ( t ) e( t )
Figure 12.3: Feedback System with Actuator Saturation
a command v(t) to the actuator that exceeds the saturation limits. Then
that command cannot be realized. As a consequence, the feedback loop is
effectively broken as shown in Figure 12.4, because the actuator output may
remain saturated and thus will no longer respond to changes in the system
output. If the controller contains an unstable pole, such as an integrator,
then the system with the broken feedback loop will be unstable. As a result,
the controller output will continue to grow, so that eventually v(t) ¸u
max
.
Suppose that the error signal eventually becomes smaller, so that it can
be accomodated by the actuator without exceeding the saturation limits.
Then it may take a long time for the integrator to “come off saturation”;
i.e., for the controller output to decrease so that v(t) ≤ u
max
. This will
290 Chapter 12: FEEDBACK CONTROL IMPLEMENTATION
P
y( t )
u
max
C
Σ
-
v( t )
r ( t ) e( t )
Figure 12.4: Broken Feedback Loop Resulting from Actuator Saturation
result in a very sluggish feedback system. To illustrate the source of the
problem, suppose that the controller is simply an integrator: C(s) = k/s.
Then v(t) =
_
e(t), and thus v(t) cannot begin to decrease until e(t) changes
sign.
Anti–reset Windup Algorithm for a SISO System
Due to problems with integrator windup, it is common to implement an
integrator with “anti–reset windup”. One technique for implementing anti–
reset windup is discussed in [27, pp. 310–311]. Factor the controller as
C(s) = C
0
(s)/s, and move the integrator downstream of the rest of the
controller, as shown in Figure 12.5. If the output of the actuator can be
C
0
1/ s
v( t ) u( t )
Σ
- ε
act
( t )
Σ
e( t )
τ
Figure 12.5: Integrator Anti-reset Windup Algorithm
measured, then the error between the input to and output from the actuator
can be calculated, and used to design a feedback loop around the integrator.
Suppose first that v(t) ∈ (u
min
, u
max
). Then the actuator is not satu-
rated, ε
act
(t) = 0, and the feedback loop in Figure 12.5 doesn’t do anything.
Alternately, if v(t) exceeds either of the saturation limits, then the integrator
is stabilized by the feedback loop, ε
act
→0, and v(t) →u
max
or v(t) →u
min
,
depending on whether the actuator has saturated high or low. The parame-
ter τ is selected to control the rate at which the integrator output converges
12.2. INTEGRATOR ANTIWINDUP 291
to the saturation limit. If the actuator output cannot be measured, then the
anti–windup logic may be implemented with a model of the saturation, as
shown in Figure 12.6.
τ
ε
act
( t )
C
0
1/ s
Model
v( t ) u( t )
Σ
-
Σ
e( t )
P
act
u
*
( t )
Figure 12.6: Implementation with a Model of the Actuator
Analyzing stability for a system with saturation nonlinearities and inte-
gral control (with or without antiwindup) is problematic. The system can-
not be globally stable, and large initial conditions and/or disturbances and
commands may render it unstable. These issues are especially vexing when
MIMO systems are considered.
An Anti-Reset Windup Algorithm for State Feedback/Observer
Based Integral Control
Let us now consider antiwindup logic for the MIMO case. We shall focus
on controllers that are designed using state–feedback/observer techniques
with augmented integrators. There is no universally accepted method for
designing antiwindup algorithms; we shall present a method adapted from
[14].
First, suppose that we have designed an integral controller using state
feedback and augmented integrators, and implemented it with an observer,
as shown in Figure 12.7. At first, it appears problematic to implement an
antiwindup algorithm, because the integrators are not located next to the
actuators. Hence it will be difficult to relate actuator saturation to the
behavior of the integrators, particularly when there are more than one of
these.
To remedy this apparent difficulty, let us rearrange the block diagram
as shown in Figure 12.8 to bring the integrators up next to the actuators.
Our next result, whose proof is left as an exercise, provides a state variable
realization of that portion of the compensator within the box in Figure 12.8.
Lemma 12.1 A state variable description of the system mapping u and y
292 Chapter 12: FEEDBACK CONTROL IMPLEMENTATION
(sI-A)
-1
C
y
B
K
1
K
2
Σ
-
I
s
w
Σ
-
-
u
Observer
x
^
r
Figure 12.7: Integral Control with an Observer for the Plant States
(sI-A)
-1
C
y
B
I
s
Σ
-
-
u
K
1
K
2
Σ
-
Observer s
x
^
z
r
Figure 12.8: System Rearranged to Bring the Integrators Next to the Actu-
ators
12.2. INTEGRATOR ANTIWINDUP 293
to z in Figure 12.8 is given by
˙
ˆ x = (A −LC)ˆ x +
_
B L
¸
_
u
y
_
(12.1)
z = K
1
(A −LC)ˆ x +
_
K
1
B K
1
L
¸
_
u
y
_
(12.2)
A state variable description of the system mapping y and r to the control
input u in Figure 12.8 is given by
_
˙
ˆ x
˙ u
_
=
_
A −LC B
−K
1
(A −LC) −K
1
B
_ _
ˆ x
u
_
+
_
L 0
−(K
1
L +K
2
) K
2
_ _
y
r
_
(12.3)

We can now mimic the SISO antiwindup algorithm, as shown in Fig-
ure 12.9, where we incorporate a model of the actuator (which we assume to
be a pure saturation) into the compensator. Hence the output of the com-
pensator in Figure 12.9 is u

and the input to the plant in this figure is u.
Note that if the model of the actuator is perfect, then u = u

.
ε
act
P(s)
y
K
1
K
2
Σ
-
I
s
Σ
u
*
v
Σ
-
-
u
Observer
s
Model
P
act
-
Σ
x
^
z
τI
r
Figure 12.9: Final Implementation of Anti-reset Windup
294 Chapter 12: FEEDBACK CONTROL IMPLEMENTATION
Lemma 12.2 The signal v in Figure 12.9 satisfies
_
˙
ˆ x
˙ v
_
=
_
A −LC B
−K
1
(A −LC) −K
1
B
_ _
ˆ x
v
_
+
_
L 0 B
−(K
1
L + K
2
) K
2
(τI −K
1
B)
_
_
_
y
y
des
ε
act
_
_
(12.4)

Appendix A
Useful Information
Revised January 7, 2003.
295
296 Appendix A: USEFUL INFORMATION
In this Appendix we collect many definitions and facts that are used in
the body of the text.
A.1 Matrix Identities
(a) Consider A, B ∈ C
n×n
. Assume that A
−1
and B
−1
exist. Then
(AB)
−1
= B
−1
A
−1
.
(b) Consider A ∈ C
n×n
. Assume that (I
n
+A)
−1
exists. Then
A(I
n
+ A)
−1
+ (I
n
+ A)
−1
= I
n
(A.1)
A(I
n
+ A)
−1
= (I
n
+ A)
−1
A. (A.2)
(c) Consider A ∈ C
m×n
, B ∈ C
n×m
. Assume that (I
m
+AB)
−1
exists. Then
(I
n
+ BA)
−1
also exists, and
A(I
n
+ BA)
−1
= (I
m
+ AB)
−1
A (A.3)
(I
m
+ AB)
−1
= I
m
−A(I
n
+BA)
−1
B. (A.4)
(d) Consider A ∈ R
n×n
, B ∈ R
n×p
, C ∈ R
p×n
, and define P(s) = C(sI
n

A)
−1
B. Then
(I
p
+ P(s))
−1
= I
p
−C (sI
n
−A +BC)
−1
B (A.5)
P(s) (I
p
+ P(s))
−1
= C (sI
n
−A + BC)
−1
B (A.6)
(e) Consider P(s) ∈ C
q×p
and C(s) ∈ C
p×q
. Then
_
I
q
+
1
s
P(s)C(s)
_
−1
= I
q

1
s
P(s)
_
I
p
+
1
s
C(s)P(s)
_
−1
C(s)
= I
q
−P(s) (sI
p
+ C(s)P(s))
−1
C(s)
(f) Consider
M =
_
M
11
M
12
M
21
M
22
_
(A.7)
A.2. FACTS FROM LINEAR ALGEBRA 297
where M ∈ R
n×n
, M
11
∈ R
m×m
, and the remaining matrices are dimen-
sioned compatibly. Assume that M
−1
and M
−1
11
exist. Then
det M = det M
11
det
_
M
22
−M
21
M
−1
11
M
12
_
and the matrix
_
M
22
−M
21
M
−1
11
M
12
_
is nonsingular. Furthermore, the
factorization
M =
_
M
11
0
0 I
_ _
I 0
M
21
I
_ _
I 0
0 M
22
−M
21
M
−1
11
M
12
_ _
I M
−1
11
M
12
0 I
_
(A.8)
implies that
M
−1
=
_
M
−1
11
+ M
−1
11
M
12
QM
21
M
−1
11
−M
−1
11
M
12
Q
−QM
21
M
−1
11
Q
_
, (A.9)
where
Q
_
M
22
−M
21
M
−1
11
M
12
_
−1
(A.10)
(g) Consider A ∈ R
n×n
, B ∈ R
n×p
, C ∈ R
p×n
, A ∈ R
p×p
. Then
det
_
sI
n
−A B
−C D
_
= det (sI
n
−A) det
_
C (sI
n
−A)
−1
B + D
_
. (A.11)
A.2 Facts from Linear Algebra
(a) Given M ∈ C
n×m
. Then “M Hermitian” is defined by
M
H

¯
M
T
. (A.12)
That is, M
H
is equal to the complex conjugate transpose of M.
(b) Consider M, N ∈ C
n×n
. Then
det(MN) = det M det N. (A.13)
(c) Suppose that M ∈ C
m×n
and N ∈ C
n×m
. Then
det(I
m
+ MN) = det(I
n
+ NM). (A.14)
298 Appendix A: USEFUL INFORMATION
(d) Consider two matrices M, N ∈ C
n×n
. These two matrices are said to be
similar if there exists a nonsingular matrix T ∈ C
n×n
such that N =
T
−1
MT. Similar matrices have the property that they possess identical
sets of eigenvalues.
(e) Consider M ∈ C
p×n
and N ∈ C
n×q
. Then Sylvester’s inequality states
that Add the corollary
that if A and
C have full rank,
then rank(ABC) =
rank(C).
rank M + rank N −n ≤ rank(MN) ≤ min¦rank M, rank N¦. (A.15)
(f) Consider M, N ∈ C
n×m
. We say that λ is a generalized eigenvalue of M
if there exists a nonzero v ∈ C
m
such that
Mv = λNv. (A.16)
Given M and N, the generalized eigenvalue problem is that of finding all
generalized eigenvalues of M for that particular N.
(g) Consider M ∈ C
q×p
. Suppose that rank M = q. Then M is right-
invertible, and there exists a matrix M
−R
such that also define left-
invertible
MM
−R
= I
q
. (A.17)
We say that M
−R
is a right inverse of M. Unless M is square, the right
inverse is not unique. One formula for M
−R
is the “pseudoinverse” given,
in this case, by
M
#
= M
H
(MM
H
)
−1
. (A.18)
(h) Consider the block matrix (A.7), and suppose that M is block triangular,
in the sense that at least one of the blocks M
12
or M
21
is equal to zero.
Then the eigenvalues of M are equal to the union of the eigenvalues of
the diagonal blocks M
11
and M
22
.
(i) Given M ∈ C
p×q
, define the four fundamental subspaces:
1(M) : the range, or columnspace, of M (A.19)
^(M) : the (right) nullspace of M (A.20)
1
row
(M) = 1(M
H
) : the rowspace of M (A.21)
^
left
(M) = ^(M
H
) : the left nullspace of M (A.22)
A.3. COMPLEX VARIABLE THEORY 299
(j) Let A denote a subspace of C
n
, and let M ∈ C
n×n
. Define the subspace
MA ¦Mx : x ∈ A¦. We say that A is an invariant subspace of M if
MA ⊂ A.
(k) Consider A, B ∈ C
n×n
, and define the Lyapunov Operator L : C
n×n

C
n×n
by
L(X) A
T
X + XB. (A.23)
Denote the eigenvalues of A and B by λ
i
(A) and λ
i
(B), i = 1, . . . , n.
Then the equation L(X) = 0 has a unique solution given by X = 0 if
and only if
λ
i
(A) + λ
j
(B) ,= 0, i, j = 1, . . . , n. (A.24)
A.3 Complex Variable Theory
In this section we collect a few results from complex variable theory that
are useful in the body of the text. A comprehensive discussion of complex
variable theory and its applications to the study of fundamental design lim-
itations is found in [26].
The Poisson Integral
Given a function g(s), define
m(R) sup
θ
[g(Re

)[, π/2 ≤ θ ≤ π/2. (A.25)
The function g(s) is said to be in class 1 if
lim
R→∞
m(R)
R
= 0. (A.26)
Most functions we encounter in this textbook are in class 1. For example,
any proper rational transfer function lies in class 1.
We say that g(s) is conjugate symmetric if g(jω) satisfies the two condi-
tions
[g(jω)[ = [g(−jω)[ (A.27)
∠g(jω) = −∠g(−jω). (A.28)
300 Appendix A: USEFUL INFORMATION
For example, any rational function with real coefficients is conjugate sym-
metric.
The Poisson integral theorem is an important result from the theory of
complex functions. We shall need a version of this result that is specialized
to a function of the form g(s) = log f(s).
Lemma A.1 Assume that f(s) is conjugate symmetric, has no poles or zeros
in the ORHP and that log f(s) is in class 1. Then, for each s
0
= x+jy, x >
0,
log [f(s
0
)[ =
1
π
_

0
log [f(jω)[W(s
0
, ω)dω, (A.29)
where
W(s
0
, ω)
x
x
2
+ (y −ω)
2
+
x
x
2
+ (y + ω)
2
(A.30)

For example, if f(s) is a rational function, then log f(s) is in class 1. On
the other hand, suppose that f(s) = f
0
(s)e
−sτ
, where τ ,= 0. Then log f(s)
is not in class 1.
The Poisson integral is remarkable in that it allows us to reconstruct the
gain of a function at any point in the ORHP from the gain of the function
on the imaginary axis.
The Maximum Modulus Theorem
Lemma A.2 Assume that M(s) is a matrix of stable, proper transfer func-
tions. Then
sup
s∈CRHP
σ
max
(M(s)) = sup
ω
σ
max
(M(jω)) . (A.31)
That is, σ
max
(M(s)) takes its largest value on the jω–axis.
A.4 Butterworth Filters
A Butterworth filter is a stable linear filter paramaterized by order n and
cutoff frequency, ω
c
. Bode gain plots of Butterworth filters of orders n =
1, 2, 3, 10 are depicted in Figure A.1. Butterworth filters are characterized
by having gain that is nearly constant throughout the passband, and that
rolls off steeply after the cutoff frequency. The extent to which the passband
A.4. BUTTERWORTH FILTERS 301
10
−1
10
0
10
1
10
−2
10
−1
10
0
ω/ω
c
m
a
g
n
i
t
u
d
e
Butterworth filter gain plots
n = 1
n = 2
n = 3
n = 10
Figure A.1: Bode Gain Plots of Butterworth Filters
gain is constant and the slope of the high frequency gain are both determined
by the order of the filter.
We denote the Butterworth filter order n and cutoff frequency ω
c
= 1
rad/sec by B
n
(s). Then a filter with cutoff frequency ω
c
is denoted B
n
(s/ω
c
).
Some examples:
B
1
(s) =
1
s + 1
(A.32)
B
2
(s) =
1
s
2
+ 1.414s + 1
(A.33)
B
3
(s) =
1
s
3
+ 2s
2
+ 2s + 1
. (A.34)
The poles of a Butterworth filter of order n and cutoff frequency ω
c
are
the stable solutions to the equation
(s/ω
c
)
2n
+ (−1)
n
= 0, (A.35)
and are depicted in Figure A.2 for n = 1, 2, 3, 10.
302 Appendix A: USEFUL INFORMATION
−1 −0.5 0 0.5 1
−1
−0.5
0
0.5
1
n = 1
−1 −0.5 0 0.5 1
−1
−0.5
0
0.5
1
n = 2
−1 −0.5 0 0.5 1
−1
−0.5
0
0.5
1
n = 3
−1 −0.5 0 0.5 1
−1
−0.5
0
0.5
1
n = 10
Figure A.2: Poles of Butterworth Filters, ω
c
= 1 rad/sec
Appendix B
Zeros of Multivariable Systems
Revised January 7, 2003.
303
304 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
Consider the multivariable system with state equations
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
(B.1)
y = Cx + Du, y ∈ R
q
,
and transfer function P(s) = C(sI −A)
−1
B + D.
For a SISO system, a zero of P(s) is simply a frequency z at which
P(z) = 0. The concept of a zero for a MIMO system is more problematic.
One might consider defining a zero to be a frequency at which the transfer
function is equal to zero; however, this definition proves too restrictive to be
useful. Indeed, it is intuitively more appealing to define a zero as a frequency
at which the transfer function loses rank. This intuition proves to be correct;
however, as the following examples illustrate, there are a number of technical
issues that must be addressed.
Example B.1 (i) Consider a system with transfer function
P(s) =
_
1
s−1
0
0
s−1
s+1
_
. (B.2)
Intuition suggests that (B.2) should have both a zero and a pole at
s = 1, because one row is equal to zero at this frequency. However, the
determinant
det P(s) =
1
s + 1
(B.3)
has no zeros.
(ii) As we shall see, the transfer function
P(s) =
_
1
s−1
s
s+1
1
s−1
1
3−s
_
(B.4)
also has a zero at s = 1, although this fact is not obvious from inspec-
tion. Indeed, it is unclear how one should evaluate the rank of a matrix
at a frequency for which it has a pole.
(iii) The transfer function
P(s) =
_
1
s+1
1
s+2
1
s+1
1
s+2
_
(B.5)
clearly has less than full rank at all frequencies. We must decide whether
we want to include all these frequencies in our definition of zeros.
B.1. NORMAL RANK 305
(iv) Suppose that we are given only the state space realization of a system. If
this realization is not minimal, then certain eigenvalues will not appear
as poles of the transfer function. Do we say that such frequencies are
also zeros of the system?
The notion of a zero for a MIMO system must be sufficiently precise to
overcome the subtleties enumerated above. Indeed, as the references [3, 4,
13, 20, 25, 29] indicate, there exist many alternate ways to define the zeros
of a MIMO system. These include the Smith-McMillan form, which yields
the “Smith-McMillan” zeros of a system. It is also possible to define zeros
using a coprime factorization of the transfer function; for example, see [25].
We shall define zeros in terms of their transmission blocking property, and
show that they may be calculated from the Rosenbrock System Matrix. We
will not attempt to treat the topic in complete generality, but will present a
definition useful in practice. Our treatment is adapted from [4].
B.1 Normal Rank
Our first step is to determine the rank that a given transfer function matrix
has when evaluated at a frequency that is neither a pole nor a zero.
Definition B.2 The normal rank of P(s) is equal to r if rank P(s) = r for
almost all values of s.
Because the system (B.1) has q outputs and p inputs, it follows that
normal rank P(s) ≤ min¦p, q¦. (B.6)
In practice, we may find the normal rank of P(s) by evaluating P(s) at a
few randomly chosen values of s, and computing the rank of the resulting
complex matrices.
Example B.3 Consider the transfer function matrix
P(s) =
_
1
s+1
1
s
1
s
1
s+1
_
. (B.7)
Note that rank P(s) is defined at all frequencies away from the poles at s = 0
and s = −1. It is easy to determine that normal rank P(s) = 2. Indeed,
det P(s) =
−(2s + 1)
s
2
(s
2
+ 2s + 1)
, (B.8)
306 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
and thus P(s) has less than normal rank only at s = −
1
2
.
The normal rank of the transfer function matrix (B.5) is equal to one.
Our next example shows that a nonsquare transfer function matrix may have
less than full normal rank.
Example B.4 Consider
P(s) =
_
1
s+1
1
s
1
s(s+2)
s
s+1
1
1
s+2
_
. (B.9)
Note that the second row is equal to s times the first row. Hence, the rows
of P(s) are linearly dependent over the field of rational functions. It follows
that normal rank P(s) = 1.
A transfer function such as (B.9) might arise from a system with the
first output defined to be position, and the second defined to be velocity. In
principle, the second output may be determined by differentiating the first,
and thus these two outputs are not independent.
B.2 System Inverses
The concept of normal rank is closely connected to that of system invertibil-
ity.
Proposition B.5
(i) Suppose that normal rank P(s) = q. Then P(s) is right invert-
ible in the sense that there exists a transfer function matrix
P
−R
(s) satisfying P(s)P
−R
(s) = I
q
. We say that P
−R
(s) is a
right inverse of P(s).
(ii) Suppose that normal rank P(s) = p. Then P(s) has a left
inverse in the sense that there exists a transfer function matrix
P
−L
(s) satisfying P
−L
(s)P(s) = I
p
. We say that P
−L
(s) is a
left inverse of P(s).
The left and/or right inverse is unique precisely when p = q, in which case
we say that the system has an inverse P
−1
(s) satisfying both the above
B.3. THE ROSENBROCK SYSTEM MATRIX 307
properties. If P(s) is right invertible and p > q, then there exist many right
inverses. One of these is given by
P
−R
(s) = P
T
(s)
_
P(s)P
T
(s)
_
−1
. (B.10)
A similar expression holds for the left inverse.
The inverse of a system is useful in theoretical derivations; however, it is
usually improper, and thus does not have a state space realization. It is true
that many design methodologies tend to construct a rational approximation
to the inverse of a system. This is sometimes convenient, as it allows us to
replace the plant dynamics with those of the controller, but can also lead to
robustness difficulties.
Our next result, whose proof is left as an exercise for the reader, gives a
state space description for the system inverse in the case that it does exist.
Lemma B.6 Suppose that p = q, and that D is invertible. Then a state
space description of P
−1
(s) is given by
˙ z = (A −BD
−1
C)z + BD
−1
v (B.11)
w = −D
−1
Cz +D
−1
v.
B.3 The Rosenbrock System Matrix
We now introduce the concept of Rosenbrock System Matrix (or “system
matrix”). As we shall see, the system matrix will allow us to characterize
and compute zeros in the state space.
Definition B.7 Consider the system (B.1). The associated Rosenbrock Sys-
tem Matrix (RSM) is defined by
RSM(s)
_
sI −A B
−C D
_
. (B.12)

Our next result shows that the normal rank of a transfer function is directly
related to that of the associated system matrix.
308 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
Lemma B.8 Consider the system (B.1), and associated system matrix (B.12).
Then
normal rank RSM(s) = n + normal rank P(s). (B.13)
Proof: It is easy to verify that
_
I
n
0
C(sI
n
−A)
−1
I
q
_ _
sI
n
−A B
−C D
_
=
_
sI
n
−A B
0 P(s)
_
. (B.14)
Note that the leftmost matrix in (B.14) has rank equal to n + q. It follows
from Sylvester’s Inequality (A.15) that
normal rank
_
sI
n
−A B
−C D
_
= normal rank
_
sI
n
−A B
0 P(s)
_
, (B.15)
and (B.13) follows.
It follows immediately that P(s) attains its maximum normal rank, and
thus has a left and/or right inverse, precisely when the Rosenbrock System
Matrix attains its maximum normal rank. Frequencies at which the system
matrix has less than full rank are of special interest.
Definition B.9 The complex frequency s = z is a zero of the Rosenbrock
System Matrix, or simply system zero, if
rank RSM(z) < n + min¦p, q¦. (B.16)

If RSM(s) has less than full normal rank, then every complex frequency s is
a system zero according to Definition B.9. If RSM(s) has full normal rank,
then the number of system zeros is finite. As an exercise, the reader should
show that the eigenvalues of the inverse system in (B.11) are equal to the
systems zeros defined above.
B.4 Zeros of SISO Systems
It is clear that a zero of a SISO system is simply a complex frequency for
which its transfer function satisfies P(z) = 0. As we noted in above, the
problem of defining zeros for MIMO systems, and for state space desciptions
B.4. ZEROS OF SISO SYSTEMS 309
of systems, is a bit delicate. Hence, before attempting to define zeros for
MIMO systems, we shall first consider a SISO system with state equations
˙ x = Ax + bu, x ∈ R
n
, u ∈ R, (B.17)
y = cx +du, y ∈ R,
and transfer function P(s) = c(sI −A)
−1
b +d. We shall assume throughout
this section that (A, b, c, d) is a minimal realization of P(s).
B.4.1 Zeros in the State Space
Suppose we write the transfer function of system (B.17) as
P(s) =
N(s)
D(s)
, D(s) = det(sI −A). (B.18)
Our assumption of minimality implies that N(s) and D(s) have no common
factors, and thus that the zeros of P(s) are identical with those of N(s).
We now show that the numerator polynomial can be computed from the
Rosembrock System Matrix, and thus that the zeros of P(s) are identical
with the system zeros.
Proposition B.10 Consider the SISO system in (B.17), and define N(s)
as in (B.18). Then
N(s) = det
_
sI −A b
−c d
_
(B.19)
Proof: Specializing identity (B.14) to the SISO case yields
_
I 0
c(sI −A)
−1
1
_ _
sI −A b
−c d
_
=
_
sI −A b
0 P(s)
_
. (B.20)
Note that the leftmost matrix in (B.20) has determinant equal to one. Hence,
applying (A.13) to (B.20) yields
det
_
sI −A b
−c d
_
= det
_
sI −A b
0 P(s)
_
= det(sI −A)P(s)
and the result follows.
310 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
Corollary B.11 The following statements are equivalent.
(i) s = z is a zero of P(s)
(ii) det
_
zI −A b
−c d
_
= 0
Example B.12 Consider
A =
_
−2 1
−1 0
_
, B =
_
1
0
_
, C =
_
1 1
¸
, D = 0. (B.21)
det(sI −A) = s
2
+ 2s + 1. (B.22)
The Rosenbrock matrix is given by
RSM(s) =
_
_
s + 2 −1 1
1 s 0
−1 −1 0
_
_
, (B.23)
and thus det RSM(s) = s −1. The transfer function
P(s) =
s −1
s
2
+ 2s + 1
(B.24)
has one zero, at s = 1.
Our next example shows that the assumption of minimality is essential
for the validity of Corollary B.11.
Example B.13 Suppose we replace the “C” matrix in (B.21) by C =
_
1 −1
¸
.
The Rosenbrock matrix is now given by
RSM(s) =
_
_
s + 2 −1 1
1 s 0
−1 1 0
_
_
, (B.25)
whence it follows that det RSM(s) = s + 1, and thus
P(s) =
s + 1
s
2
+ 2s + 1
. (B.26)
Note that s = −1 is not a zero of P(s). This example shows that if the
minimality assumption is not satisfied, then zeros of the Rosenbrock System
Matrix need not correspond to zeros of the transfer function. It is left as an
exercise for the reader to determine whether the system in this example is
uncontrollable, unobservable, or both.
B.5. ZEROS OF MIMO SYSTEMS 311
B.4.2 Transmission Blocking Property
An alternate characterization of zeros will be used for generalization to the
MIMO case. Consider the response of the system (B.17) to an arbitrary
initial condition x(0) = x
0
and an input u(t) = e
zt
, ∀t ≥ 0, where z is not a
pole of P(s). Taking the Laplace transform of y(t) yields
Y (s) = c(sI −A)
−1
x
0
+ P(s)U(s), U(s) =
1
s −z
. (B.27)
Using partial fraction expansion to isolate the contribution to the output
from the input yields
Y (s) =
P(z)
s −z
+ c(sI −A)
−1
x
0
+¦terms due to the poles of P(s)¦. (B.28)
If A is stable, then taking the inverse Laplace transform yields
y(t) = P(z)e
zt
+¦terms that →0 as t →∞¦. (B.29)
Hence, y(t) → P(z)e
zt
as t → ∞. Now suppose that P(z) = 0. Then, after
transients die out, y(t) → 0, even if u(t) 0! This phenomenon is referred
to as the transmission blocking property of zeros.
We shall see in the next section that if the initial state is chosen ap-
propriately, then y(t) = 0, ∀t ≥ 0, and thus even the transient response is
equal to zero. Note in particular that this fact holds even when the system
is unstable!
B.5 Zeros of MIMO Systems
For SISO systems, we have seen that the assumption of minimality implies
that transmission zeros of a system correspond to zeros of its transfer func-
tion. We shall define zeros for MIMO systems in terms of their transmission
blocking properties, and then show that they may be calculated from the
Rosenbrock System matrix.
Definition B.14 (Transmission Zero) Consider the system (B.1). We
shall define transmission zeros only for such systems that satisfy the addi-
tional conditions that:
(a) normal rank P(s) = min¦p, q¦
312 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
(b) (A, B) is controllable
(c) (A, C) is observable
Transmission zeros for nonsquare plants must be treated in two separate
cases.
(i) p ≤ q: We say that s = z is a transmission zero if there exist nonzero
vectors u
0
∈ C
p
, and x
0
∈ C
n
, such that the response to the input u(t) =
u
0
e
zt
, t ≥ 0, and the initial state x(0) = x
0
satisfies y(t) = 0, ∀t ≥ 0.
(ii) p ≥ q: Assume that z is not an eigenvalue of A. We say that s = z
is a transmission zero if there exists a nonzero vector y
0
∈ C
q
with the
property that for any input u(t) = u
0
e
zt
, t ≥ 0, there exists an initial state
x(0) = x
0
∈ C
n
such that the response satisfies y
T
0
y(t) = 0, ∀t ≥ 0.

Definition B.15 (Zero Directions) We say that u
0
is the “input zero di-
rection”, x
0
is the “state zero direction”, and y
0
is the “output zero direction”.

Transmission zeros are associated with modes of behavior wherein the
input and states of a system are nonzero, yet the output equals zero. We
now provide formulas for the inputs and initial states that produce zero
output.
Theorem B.16 Assume that conditions (a)-(c) of Definition B.14 hold.
Then s = z is a transmission zero if and only if
rank
_
zI −A B
−C D
_
< n + min¦p, q¦. (B.30)
Proof:
(i) p ≤ q (⇐) Suppose first that rank RSM(z) < n + p. Then RSM(z)
has a nontrivial right nullspace. By the definition of right nullspace, there
exist vectors ˜ x ∈ C
n
, ˜ u ∈ C
p
such that ˜ x ,= 0 and/or ˜ u ,= 0 and
_
zI −A B
−C D
_ _
˜ x
˜ u
_
=
_
0
0
_
. (B.31)
We show that, in fact, both ˜ x ,= 0 and ˜ u ,= 0. To see this, suppose first that
˜ x = 0. Then (B.31) implies that
_
sI −A B
−C D
_ _
0
˜ u
_
=
_
0
0
_
, ∀s, (B.32)
B.5. ZEROS OF MIMO SYSTEMS 313
and it follows that the system matrix has less than full normal rank. By
Lemma B.8, P(s) also has less than full normal rank, which violates condition
(a). Next suppose that ˜ u = 0. Then (B.31) implies that
_
zI −A
C
_
˜ x =
_
0
0
_
, (B.33)
and it follows that condition (c) is violated.
Now let the input and initial state be given by u(t) = u
0
e
zt
, with u
0
= −˜ u,
and x
0
= ˜ x. Then (B.31) implies that
(zI −A)x
0
= Bu
0
(B.34)
Cx
0
+ Du
0
= 0. (B.35)
Recall that the response of the state to any initial condition and input satisfies
X(s) = (sI −A)
−1
x
0
+ (sI −A)
−1
BU(s). (B.36)
Substituting U(s) = u
0
/(s −z) into (B.36) and adding and subtracting Ax
0
yields
X(s) = (sI −A)
−1
((s −z)x
0
+Bu
0
) /(s −z)
= (sI −A)
−1
((sI −A)x
0
−(zI −A)x
0
+Bu
0
) /(s −z)
and applying (B.34) yields
X(s) =
x
0
s −z
. (B.37)
It follows that x(t) = e
zt
x
0
, and thus (B.35) implies
y(t) = Cx
0
e
zt
+ Du
0
e
zt
= 0. (B.38)
(⇒) Assume that z is a transmission zero, and let x(t) denote the response
of the state vector to the initial condition x(0) = x
0
and input u(t) = u
0
e
zt
given by Definition B.14. Since y(t) = 0 for this initial condition and input,
it follows that Y (s) = 0, and hence
CX(s) +
Du
0
s −z
= 0. (B.39)
314 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
Furthermore, it follows from (B.36) that
(sI −A)X(s) = x
0
+
Bu
0
s −z
. (B.40)
Combining (B.39) and (B.40) yields
_
sI −A
−C
_
X(s) = x
0
+
_
B
D
_
u
0
s −z
. (B.41)
Evaluating the residue of (B.41) at s = z yields
_
zI −A
−C
_
x
r
=
_
B
D
_
u
0
, (B.42)
where
x
r
lim
s→0
(s −z)X(s). (B.43)
It follows from (B.42) that the system matrix is rank deficient, with nontrivial
right nullspace spanned by the vector
_
x
T
0
u
T
0
¸
T
.
(ii) p ≥ q (⇐) Suppose first that rank RSM(z) < n + q. Then RSM(z)
has a nontrivial left nullspace. By the definition of left nullspace, there exist
vectors
˜
ξ ∈ C
n
, ˜ y ∈ C
q
such that
˜
ξ ,= 0 and/or ˜ y ,= 0 and
_
˜
ξ
T
˜ y
T
¸
_
zI −A B
−C D
_
=
_
0 0
¸
. (B.44)
Using an argument similar to that in the case p ≤ q, the condition (b) may
be used to show that ˜ y ,= 0.
Note next that, given any u
0
∈ C
p
, the fact that (zI −A) is nonsingular
implies the existence of ˜ x ∈ C
n
such that
(zI −A)˜ x + Bu
0
= 0. (B.45)
Together, (B.44) and (B.45) show that
−˜ y
T
C˜ x + ˜ y
T
Du
0
= 0. (B.46)
Calculations similar to those for the case p ≤ q show that the responses of
the state and output to the initial condition x
0
= −˜ x and input u(t) = u
0
e
zt
satisfy x(t) = x
0
e
zt
and
y(t) = Cx
0
e
zt
+ Du
0
e
zt
. (B.47)
B.5. ZEROS OF MIMO SYSTEMS 315
Together (B.46) and (B.47) imply that ˜ y
T
y(t) = 0 for any input u(t) = u
0
e
zt
with initial condition chosen from (B.45).
(⇒) Assume that z is a transmission zero. Consider the response of the
system to an arbitrary input u(t) = u
0
e
zt
and initial condition x
0
= −˜ x,
where ˜ x is given by (B.45). This choice of initial condition guarantees that
(B.47) holds and, by definition of transmission zero, there exists ˜ y such that
˜ y
T
(Cx
0
+ Du
0
)e
zt
= 0. (B.48)
Since (zI −A) is invertible, we have that
˜ y
T
(C(zI −A)
−1
B + D)u
0
= 0. (B.49)
Since (B.49) must hold for all choices of u
0
, it follows that
˜ y
T
(C(zI −A)
−1
B + D) = 0, (B.50)
and thus that P(z) has rank less than q. The factorization (B.15) implies
that
rank
_
zI −A B
−C D
_
= n + rank P(z), (B.51)
and it follows that z is a zero of the Rosenbrock System Matrix.

In cases for which a zero is not also a pole, it is true that the system
matrix loses rank precisely when the transfer function matrix loses rank.
Corollary B.17 (MIMO Systems, z not a pole) Let z be a transmis-
sion zero that is not a pole of P(s). Then rank P(z) < min¦p, q¦.
Proof: Since z is a transmission zero, rank RSM(z) < n +min¦p, q¦. The
result follows by applying Sylvester’s inequality (A.15) to the identity
_
I 0
C(zI −A)
−1
I
_ _
zI −A B
−C D
_
=
_
zI −A B
0 P(z)
_
. (B.52)

If A has stable eigenvalues, then the response to an input at the frequency
of a zero decays to zero even if the input itself does not.
316 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
Corollary B.18 (Stable MIMO Systems)
(i) p ≤ q: Let z be a transmission zero with input zero direction u
0
, and
suppose that P(s) is stable. Then the response to u(t) = u
0
e
zt
, t ≥ 0 and
any initial state x
0
satisfies y(t) →0.
(ii) p ≥ q: Let z be a transmission zero with output zero direction y
0
,
and suppose that P(s) is stable. Then the response of the linear combination
of outputs y
T
0
y(t) to any input u(t) = u
0
e
zt
, t ≥ 0 and any initial state x
0
satisfies y
T
0
y(t) →0.
Proof:
(i) p ≤ q: This statement is trivially true if z lies in the open left half
plane, because u(t) decays to zero. Hence assume that z lies in the closed
right half plane, and thus is not an eigenvalue of A. The partial fraction
expansion of the system response satisfies
Y (s) = P(z)
u
0
s −z
+ terms due to the eigenvalues of A. (B.53)
It follows from (B.52) and the definition of u
0
that P(z)u
0
= 0. Hence the
only nonzero terms in (B.53) are due to the stable eigenvalues of A, and thus
decay to zero.
(ii) p ≥ q: We leave this proof as an exercise for the reader.

B.6 Zeros of the System Matrix
In this section we explore many properties of the system zeros defined in
Section B.3. We have already seen that if the conditions of Definition B.14
are satisfied, then these zeros are identical with transmission zeros. System
zeros also have the interesting property that they are invariant under state
feedback. Furthermore, numerical routines for calculating zeros actually work
with system zeros, rather than transmission zeros.
Consider system (B.1), with no additional hypotheses, and let z be a
zero of the system matrix. Theorem B.16 implies that if conditions (a)-(c)
of Definition B.14 are satisfied, then z is also a transmission zero. We now
show that all three of these conditions are necessary to obtain the equivalence
between system and transmission zeros.
B.6. ZEROS OF THE SYSTEM MATRIX 317
(a) Suppose the assumption that P(s) has full normal rank is violated. Then
it follows from Lemma B.8 that RSM(s) has less than full rank for every
value of s. Hence, each complex frequency is a system zero; however,
these system zeros do not qualify as transmission zeros because we have
defined these only for systems with full normal rank.
(b) Assume that P(s) has full normal rank. Suppose that p ≥ q but that
(A, B) is uncontrollable. Let λ be an uncontrollable eigenvalue of A.
Then it may be shown that rank RSM(λ) < n + q. Such system zeros
are termed input decoupling zeros, because they correspond to modes of
the system that cannot be excited by the input.
(c) Assume that P(s) has full normal rank. Suppose that p ≤ q but that
(A, C) is unobservable. Let λ be an unobservable eigenvalue of A. Then
it may be shown that rank RSM(λ) < n + p. Such system zeros are
termed output decoupling zeros, because they correspond to modes of
the system that do not appear in the output.
B.6.1 Invariance of System Zeros under State Feed-
back
We now show that system zeros are not affected by the introduction of state
feedback into a system. Note that the next results invoke neither the condi-
tion of full normal rank nor of minimality.
Lemma B.19 Consider system (B.1), and suppose that constant state feed-
back, u = −Kx +r is applied, yielding
˙ x = (A −BK)x + Br
y = (C −DK)x +Dr.
Then
rank
_
zI −A B
−C D
_
= rank
_
zI −A + BK B
−C + DK D
_
(B.54)
Proof: Applying Sylvester’s Inequality (A.15) to the factorization
_
zI −A +BK B
−C + DK D
_
=
_
zI −A B
−C D
_ _
I 0
K I
_
. (B.55)
yields the result.
318 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
If (A, B) is controllable and (A, C) is observable, then applying state feedback
creates no new transmission zeros, and can “remove” transmission zeros only
by creating a nonminimal realization; i.e., by shifting a pole under a trans-
mission zero to obtain a pole-zero cancellation. (Several design procedures
tend to do this; e.g., cheap control LQ regulators.)
B.6.2 Computing Zeros
One virtue of the system matrix characterization of transmission zeros is that
it leads to a method for computing transmission zeros. Assume that p ≤ q,
and suppose that z is a transmission zero. Then it follows from (B.31) that
_
A −B
C −D
_ _
˜ x
˜ u
_
= z
_
I 0
0 0
_ _
˜ x
˜ u
_
, (B.56)
and we see from definition (A.16) that the problem of computing transmission
zeros is a generalized eigenvalue problem with
M =
_
A −B
C −D
_
, N =
_
I 0
0 0
_
. (B.57)
If p > q, then analogous results may be obtained by working with the trans-
pose of the system matrix.
Note that the generalized eigenvalue problem computes zeros of the sys-
tem matrix; these zeros will be equal to transmission zeros only when the
assumption of minimality is satisfied.
Example B.20 Consider the transfer function
P(s) =
_
2
s
2
+3s+2
2s
s
2
+3s+2
[6pt]
−2s
s
2
+3s+2
−2
s
2
+3s+2
_
, (B.58)
with minimal realization
A =
_
_
−1 0 0
0 −2 0
0 0 −2
_
_
, B =
_
_
2 −2
−2 4
−4 2
_
_
, C =
_
1 1 0
1 0 1
_
, D =
_
0 0
0 0
_
.
(B.59)
B.6. ZEROS OF THE SYSTEM MATRIX 319
The MATLAB command tzero shows that this system has a transmission
zero at z = 1. The associated input zero, state zero, and output zero direc-
tions are given by
u
0
=
_
0.2673
−0.2673
_
, x
0
=
_
_
0.5345
−0.5345
−0.5345
_
_
, y
0
=
_
0.5571
0.5571
_
. (B.60)
The response of the system to the special initial condition and input given
in (B.60) is plotted in Figure B.1. Note that the response of both outputs
is identically zero. Because the system is stable, the response to a different
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−1
−0.8
−0.6
−0.4
−0.2
0
0.2
0.4
0.6
0.8
1
time, seconds
response to x
0
and u(t) = u
0
e
t
Figure B.1: Response of the System Outputs to an Input in the Direction of
the Nonminimum Phase Zero and the Special Initial State
initial state and the input in (B.60) decays to zero, as show in Figure B.2.
The response of the output in the direction given by (B.60) is plotted in
Figure B.3. Note that the steady state response decays to zero, even though
the input to the system is a growing exponential! In fact, as we see in
Figure B.4, the states of the system are becoming unbounded. The reason
that the output approaches zero is that we are choosing a particular linear
combination of states that adds to zero. In practice, of course, we would never
know the precise numerical values of the various zero directions, and thus
would not be able to reproduce the behavior seen in Figures B.1-B.3. In fact,
320 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−1
−0.8
−0.6
−0.4
−0.2
0
0.2
0.4
0.6
0.8
1
time, seconds
response to random x
0
and u(t) = u
0
e
t
Figure B.2: Response of the System Outputs to an Arbitrary Initial State
and an Input in the Direction of a Nonminimum Phase Zero
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−1
−0.8
−0.6
−0.4
−0.2
0
0.2
0.4
0.6
0.8
1
time, seconds
response of y
0
T
y to random u
0
and special x
0
Figure B.3: Response of the Zero Output Direction to an Arbitrary Initial
State and an Arbitrary Input at the Frequency of the Nonminimum Phase
Zero
B.6. ZEROS OF THE SYSTEM MATRIX 321
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−10
−8
−6
−4
−2
0
2
4
6
8
10
time, seconds
state response to random x
0
and u(t) = u
0
e
t
Figure B.4: Response of the System States to an Input in the Direction of a
Nonminimum Phase Zero
if we ran these simulations long enough, numerical error would eventually
cause the output to blow up!!! (Try it!)
As a final exercise for the reader, find a minimal realization of (B.4), and
compute the transmission zeros.
322 Appendix B: ZEROS OF MULTIVARIABLE SYSTEMS
Appendix C
Disturbance Rejection via Bias
Estimation
Revised January 7, 2003.
323
324 Appendix C: BIAS ESTIMATION
In this appendix we develop an alternate approach to the multivariable
setpoint tracking problem first discussed in Chapter 3. To do so, we will
consider the linear system
˙ x = Ax + Bu + Ed, x ∈ R
n
, u ∈ R
p
, d ∈ R
m
(C.1)
y = Cx +Fd, y ∈ R
q
(C.2)
where d is a disturbance. Note that we now include a direct feedthrough
term from the disturbance to the system output. We do so in order that the
formulas we derive will properly account for the effects of such a disturbance
1
.
We have previously modeled a constant disturbance as a vector valued
step function, d(t) = d
0
1(t). In Chapter 3 we used such a model, together
with the final value theorem, to compute the steady state effect of a constant
disturbance upon the system output.
We will now view a constant disturbance as the state of the dynamical
system with an unknown initial condition:
˙
d = 0, d(0) = d
0
. (C.3)
As we shall see, the model (C.3) will suggest alternate strategies for distur-
bance rejection.
C.1 Feeding Forward a Measurable Distur-
bance
Suppose, for the sake of argument, that we could measure the state of the
disturbance system. Then, as shown in Figure C.1, we could incorporate this
measurement into our integral control scheme with the control law
u = −Kˆ x −K
I
w +Gd. (C.4)
A potential advantage of using feedforward from the disturbance to the con-
trol signal is that we could perhaps obtain a faster response to the disturbance
than would otherwise be the case. The only problem with this approach is
that we will generally not be able to measure the disturbance!
1
It is straightforward to verify that, with no further modification, the control architec-
tures in Figures 3.4 and 3.5 will achieve setpoint tracking despite the effect of a constant
disturbance for which F = 0.
C.2. ESTIMATING AN UNMEASURABLE DISTURBANCE 325
K
Σ
-
u
B
(sI-A)
-1 C
x
Σ
-
Σ
-
r
y
I/ s
e
K
I
Σ
E
F
w
Σ
Observer
x
^
G
d
Figure C.1: Feedforward from Measurable Disturbance
C.2 Estimating an Unmeasurable Disturbance
Since we are modeling the disturbance as the state of a dynamical system,
and since we are already using an observer to estimate the state of the plant,
it seems a reasonable idea to use the observer to estimate the disturbance as
well. We may then, as shown in Figure C.2, consider using the control law
u = −Kˆ x −K
I
w + G
ˆ
d. (C.5)
Because a step disturbance may be viewed as an unknown bias, the observer
in Figure C.2 is sometimes termed an “unknown bias estimator”. A simi-
lar procedure may be used to estimate the state of other disturbances, for
example, a sinusoid, or a decaying exponential.
We shall now analyze the problem of designing an observer to estimate
the disturbance. Because the concepts we need for the observer design do not
depend upon the use of integral control in Figure C.2, we will instead explain
the procedure based upon the simpler control scheme shown in Figure C.3.
Once we know how to design a disturbance estimator, our results can be
modified to apply to the situation in Figure C.2. The approach to bias
estimation described below is adapted from [25].
326 Appendix C: BIAS ESTIMATION
K
Σ
-
u
B
(sI-A)
-1 C
x
Σ
-
Σ
-
r
y
I/ s
e
K
I
w
Σ
E
F
d
Σ
Observer
x
^
G
^
d
Figure C.2: Observer for Disturbance, with Integral Control
B
Σ
E
d
(sI-A)
-1
C
Σ
F
Σ
u r
K
y
-
x
G
Σ
N
Observer
x
^
d
^
Figure C.3: Observer for Disturbance with Command Precompensator
C.2. ESTIMATING AN UNMEASURABLE DISTURBANCE 327
Note that the observer and control law in Figure C.3 are given by
_
˙
ˆ x
˙
ˆ
d
_
=
_
A E
0 0
_ _
ˆ x
ˆ
d
_
+
_
B
0
_
u + L(y − ˆ y), L
_
L
1
L
2
_
(C.6)
ˆ y =
_
C F
¸
_
ˆ x
ˆ
d
_
(C.7)
and
u = −Kˆ x + G
ˆ
d + Nr. (C.8)
We must answer several questions:
(a) When can a stable observer for x and d be designed?
(b) When is the closed loop system stable?
(c) Does y(t) →r
0
as t →∞ despite the presence of the disturbance?
(d) How do we find appropriate values for K, L, N, and G?
Answers to these questions are provided in the following result.
Theorem C.1 Consider the system described by (C.1), (C.2), (C.6), (C.7),
and (C.8). Assume that
(i) (A, B) is stabilizable,
(ii) (A, C) is detectable,
(iii) rank
_
A B
C 0
_
= n +q
(iv) rank
_
A E
C F
_
= n + m
Then K and L may be chosen to stabilize the resulting closed loop system.
Furthermore, if N and G have the values
N =
_
C(−A + BK)
−1
B
_
−R
(C.9)
G = −N
_
C(−A + BK)
−1
E + F
_
(C.10)
then the steady state response of the system output to a step command r(t) =
r
0
1(t) and a step disturbance d(t) = d
0
1(t) satisfies y(t) →r
0
as t →∞.
328 Appendix C: BIAS ESTIMATION
Proof: Substituting (C.7) into (C.6) shows that the observer satisfies
_
˙
ˆ x
˙
ˆ
d
_
= (
ˆ
A −L
ˆ
C)
_
ˆ x
ˆ
d
_
+
_
B
0
_
u + Ly (C.11)
=
_
A −L
1
C E −L
1
F
−L
2
C −L
2
F
_ _
ˆ x
ˆ
d
_
+
_
B
0
_
u +
_
L
1
L
2
_
y
where
ˆ
A
_
A E
0 0
_
,
ˆ
C
_
C F
¸
. (C.12)
It follows from (C.11) that we can design a stable observer if (
ˆ
A,
ˆ
C) is a
detectable pair. Furthermore, if (A, B) is a stabilizable pair, we can find a
state feedback gain K so that (A −BK) has stable eigenvalues.
Applying the control law (C.8) to (C.1)-(C.2) and (C.11) results in the
closed loop state equations
_
¸
_
˙ x
˙
ˆ x
˙
ˆ
d
_
¸
_
=
_
_
A −BK BG
L
1
C A −BK −L
1
C E + BG−L
1
F
L
2
C −L
2
C −L
2
F
_
_
_
_
x
ˆ x
ˆ
d
_
_
+
_
_
BN
BN
0
_
_
r +
_
_
E
L
1
F
L
2
F
_
_
d
(C.13)
y =
_
C 0 0
¸
_
_
x
ˆ x
ˆ
d
_
_
+Fd (C.14)
It is difficult to determine properties of the closed loop system from the state
equations (C.13). To do so, we consider an alternate set of state variables:
C.2. ESTIMATING AN UNMEASURABLE DISTURBANCE 329
x, ∆x = x − ˆ x, and −
ˆ
d. The corresponding state equations are given by
_
¸
_
˙ x
˙
∆x

˙
ˆ
d
_
¸
_
=
_
_
A −BK BK −BG
0 A −L
1
C E −L
1
F
0 −L
2
C −L
2
F
_
_
_
_
x
∆x

ˆ
d
_
_
+
_
_
BN
0
0
_
_
r +
_
_
E
E −L
1
F
−L
2
F
_
_
d,
(C.15)
y =
_
C 0 0
¸
_
_
x
ˆ x
ˆ
d
_
_
+ Fd. (C.16)
It is clear from (C.15) that a separation principle holds, in the sense that
the closed loop eigenvalues are the union of the eigenvalues of A −BK and
those of the observer (C.11). Hence if (A, B) is stabilizable, and (
ˆ
A,
ˆ
C) is
detectable, we may always design a stable closed loop system.
If the closed loop system is stable, then the steady state response to a
step command r(t) = r
0
1(t) and step disturbance d(t) = d
0
1(t) approaches
a constant value. Hence, the derivatives of the state variables asymptotically
approach zero. Furthermore, defining the disturbance estimation error by
∆d = d −
ˆ
d, it follows from (C.3) and (C.11) that
_
∆˙ x

˙
d
_
=
_
A −L
1
C E −L
1
F
−L
2
C −L
2
F
_ _
∆x
∆d
_
. (C.17)
Because the observer is stable, it follows that for any initial conditions x
0
and d
0
the steady state values of the estimation errors satisfy ∆x
ss
= 0 and
∆d
ss
= d
0

ˆ
d
ss
= 0. Substituting into (C.15) yields
0 = (A −BK)x
ss
+ BNr
0
+ (E + BG)d
0
, (C.18)
and it follows immediately that
y
ss
= −CA
−1
K
BNr
0
+
_
−CA
−1
K
E +F −CA
−1
K
BG
_
d
0
, (C.19)
where A
K
A−BK. Assumption (iii) guarantees that C(−A+BK)
−1
B is
right invertible. Hence choosing N and G as in (C.9)-(C.10) yields y
ss
= r
0
.
330 Appendix C: BIAS ESTIMATION
It remains to prove that (
ˆ
A,
ˆ
C) is a detectable pair. We do this by showing
that
rank
_
λI −
ˆ
A
ˆ
C
_
= rank
_
_
λI −A −E
0 λI
C F
_
_
= n + m, (C.20)
where λ is an eigenvalue of
ˆ
A.
Suppose first that λ is a nonzero eigenvalue of A. Then
rank
_
_
λI −A −E
0 λI
C F
_
_
= n + m (C.21)
if and only if this matrix has n + m linearly independent columns. Because
λ ,= 0, it is clear that the last m columns are linearly independent, and are
also linearly independent from the first n columns. Hence
rank
_
_
λI −A −E
0 λI
C F
_
_
= n + m ⇔rank
_
λI −A
C
_
= n (C.22)
if and only if λ is an observable eigenvalue of A.
Next consider λ = 0. The rank test reduces to requiring that
rank
_
−A −E
C F
_
= n + m,
and will be satisfied by assumption (iv).

Assumption (iii) requires p ≥ q, and thus that there exist at least as many
control inputs as outputs to be regulated. Define the transfer function
P
yu
(s) = C(sI − A)
−1
B, assume that (A, B, C) is a minimal realization
of P
yu
(s), and that normal rank P
yu
(s) = q. Then we may apply the equiv-
alence between zeros of the system matrix and transmission zeros to replace
condition (iii) by the assumption that P
yu
(s) has no transmission zeros at
s = 0. If in addition A has no eigenvalues at s = 0, the assumption further
reduces to requiring that rank P
yu
(0) = q.
Similarly, assumption (iv) requires q ≥ m, and thus that there exist at
least as many measurements as there are disturbances to be estimated. Define
C.3. BIAS ESTIMATION AND INTEGRAL CONTROL 331
P
yd
(s) = C(sI −A)
−1
E+F, assume that (A, E, C, F) is a minimal realization
of P
yd
(s), and that normal rank P
yd
(s) = m. Then condition (iv) may be
replaced by the assumption that P
yd
(s) has no transmission zeros at s = 0.
If in addition A has no eigenvalues at s = 0, the assumption further reduces
to requiring that rank P
yd
(0) = m. These conditions essentially insure that
all states of the disturbance vector affect the steady state response of the
system.
C.3 Bias Estimation and Integral Control
It is reasonable to ask whether the approach to disturbance rejection using
bias estimation will result in an integral controller. In this section we show
that it does in an important special case. To demonstrate this fact, note first
that the control signal in Figure C.3 has the form
U(s) = −C
obs
(s)Y (s) + C
ref
(s)R(s), (C.23)
where −C
obs
(s) has state equations
_
˙
ˆ x
˙
ˆ
d
_
=
_
A −L
1
C −BK BG + E
−L
2
C 0
_
. ¸¸ .
Ac
_
ˆ x
ˆ
d
_
+
_
L
1
L
2
_
. ¸¸ .
Bc
y (C.24)
u = −
_
K −G
¸
. ¸¸ .
Cc
_
ˆ x
ˆ
d
_
(C.25)
Our next result states conditions under which C
obs
(s) has poles at the origin.
Corollary C.2 Assume the feedback system in Figure C.3 is stable. Suppose
further that F = 0, p = m = q, and
1(E) = 1(B). (C.26)
Then A
c
in (C.24) has m eigenvalues at the origin. Furthermore, these
eigenvalues are all poles of C
obs
(s). Finally, assume that A−L
1
C −BK has
no eigenvalues at the origin
2
. Then C
0
(s) may be factored as
C
obs
(s) =
C
0
(s)
s
(C.27)
2
This assumption is made to simplify the derivation.
332 Appendix C: BIAS ESTIMATION
where rank C
0
(0) = m.
Proof: Assumption (C.26) implies that E = BM, where M ∈ R
p×p
is
nonsingular. Using this fact in (C.10) shows that G = −M, and thus that
BG = −E. It follows that the state equations in (C.24) have m eigenvalues
at the origin.
We now show that the eigenvalues at the origin are all controllable and
observable, and thus that they will appear as poles of C
obs
(s). First, we note
that the observer (C.11) has the form
ˆ
A −L
ˆ
C =
_
A −L
1
C E
−L
2
C 0
_
. (C.28)
Since the observer is assumed to be stable, the matrix (C.28) can have no
eigenvalues at the origin, and is thus nonsingular. This fact, in turn, implies
that L
2
must be nonsingular.
We next show that λ = 0 is a controllable eigenvalue of A
c
. To do this,
we need to show that
rank
_
−A
c
B
c
¸
= n + m. (C.29)
However,
rank
_
−A
c
B
c
¸
= rank
_
−A + L
1
C + BK 0 L
1
L
2
C 0 L
2
_
= rank
_
−A + L
1
C + BK L
1
C I
_
. (C.30)
Suppose that the rank condition (C.29) is violated. Then there exist x and
v, not both zero, such that
_
−A +L
1
C + BK L
1
C I
_ _
x
v
_
=
_
0
0
_
. (C.31)
In fact, it is easy to show that x ,= 0; otherwise, the only solution to (C.31)
is v = 0. Using Cx = −v yields (−A + BK)x = 0, which contradicts
the assumption that K is a stabilizing state feedback. Hence λ = 0 is a
controllable eigenvalue. To show that λ = 0 is also observable, we need to
show that
rank
_
−A
c
C
c
_
= n + m. (C.32)
C.3. BIAS ESTIMATION AND INTEGRAL CONTROL 333
This may be done by a procedure similar to that used to show controllability,
invoking the fact G was proven to be a nonsingular matrix.
Finally, using the identity (A.9) to compute C
obs
(s) from the state variable
description (C.24)-(C.25) yields
C
obs
(s) =
GL
2
s
_
C(sI −A
1
)
−1
L
1
−I
_
+ K(sI −A
1
)
−1
L
1
, (C.33)
where A
1
A − L
1
C − BK. Our simplifying assumption that A
1
is non-
singular implies that the two rightmost matrices in (C.33) have no poles at
s = 0. The fact that the matrix in (C.30) has full rank implies that the DC
gain of (C(sI −A
1
)
−1
L
1
−I) is also full rank, and the factorization (C.27)
follows.
The preceding discussion suggests an alternate way to design an integral
controller to achieve both disturbance rejection and command tracking. We
first design an integral controller by postulating the existence of a distur-
bance with E = B, and applying the bias estimation technique. If we then
implement the controller as shown in Figure C.4, then the integrators used
to reject the disturbance also force setpoint tracking. (Of course, a reference
signal entering at this location will excited the observer error dynamics.)
u
Σ
d
B (sI-A)
-1 C
y
Σ
-
r e
C
obs
(s)
Figure C.4: Integral Controller Designed using Bias Estimation
334 Appendix C: BIAS ESTIMATION
C.4. HOMEWORK PROBLEMS FOR APPENDIX C 335
C.4 Homework Problems for Appendix C
Problem C.1
In this problem you will use bias estimation to achieve disturbance re-
jection. You will study the qualitative relation between the command
and disturbance response and the closed loop pole locations. You will
evaluate the response to disturbances that are not step functions by
examining the closed loop Bode plot.
Consider the problem of suspending a metal ball from an electromagnet.
A diagram of the system is shown in Figure C.5, where the various quantities
are defined to be
e(t): input voltage
i(t): winding current
y(t): ball position
L: winding inductance
g: gravitational constant
R: winding resistance
M: ball mass
Define state variables x
1
= y, x
2
= ˙ y, x
3
= i, u = e. Then a nonlinear
model of the system is given by
3
˙ x
1
= x
2
(C.34)
˙ x
2
= g −
1
M
x
2
3
x
1
(C.35)
˙ x
3
= −
R
L
x
3
+
u
L
(C.36)
For a given constant input voltage, u = u
eq
, this set of equations has an
equilibrium point
x
eq
1
= (x
eq
3
)
2
/Mg, x
eq
2
= 0, x
eq
3
= u
eq
/R. (C.37)
3
This model is taken from [15].
336 Appendix C: BIAS ESTIMATION
e( t )
+
-
L R
M
i
2
y
Mg
y( t )
i ( t )
Figure C.5: Magnetically Suspended Ball
Suppose we linearize the nonlinear model (C.34)-(C.36) about this equilib-
rium point. The resulting linearized equations are
_
_
δ ˙ x
1
δ ˙ x
2
δ ˙ x
3
_
_
=
_
¸
_
0 1 0
[6pt]
g
x
eq
1
0 −2
_
g
Mx
eq
1
[6pt]0 0 −
R
L
_
¸
_
_
_
δx
1
δx
2
δx
3
_
_
+
_
_
0
0
1
L
_
_
δu (C.38)
δy =
_
1 0 0
¸
_
_
δx
1
δx
2
δx
3
_
_
(C.39)
where δx
i
= x
i
− x
eq
i
, δu = u − u
eq
, δy = y − y
eq
represent deviations of
these variables from their equilibrium values. (Henceforth, we shall simplify
notation by dropping the “δ”, but keep in mind that these linear equations
are valid only for sufficently small deviations from equilibrium.)
With parameter values
L = 0.01H, R = 1Ω, M = 1kg, g = 32ft/sec
2
the linearized equations governing the motion of the ball about the equilib-
rium x
eq
1
= 0.5ft are given by:
_
_
˙ x
1
˙ x
2
˙ x
3
_
_
=
_
_
0 1 0
64.4 0 −16
0 0 −100
_
_
_
_
x
1
x
2
x
3
_
_
+
_
_
0
0
100
_
_
u (C.40)
C.4. HOMEWORK PROBLEMS FOR APPENDIX C 337
Our design goal will be to stabilize this system, and to reject the effects of
a constant bias in the electronics that causes the input voltage u to be in
error. With this bias, the system dynamics are given by
_
_
˙ x
1
˙ x
2
˙ x
3
_
_
=
_
_
0 1 0
64.4 0 −16
0 0 −100
_
_
_
_
x
1
x
2
x
3
_
_
+
_
_
0
0
100
_
_
u +
_
_
0
0
100
_
_
w (C.41)
(a) Use the bias estimation technique to design a feedback controller to
achieve tracking of step commands and rejection of step disturbances.
You must decide where the state feedback poles and the observer poles
should be placed. Since this system is 3rd order, you will need to specify
three state feedback poles. Note that the observer will have four eigen-
values, because of the bias estimator state. Finally, you will need to
specify G and N.
(b) Simulate the response of your system to a step in the command, and a
step in the disturbance. The plots in Figure C.6 show the response to a
unit step command applied at t = 1 second, and a 0.5 step disturbance
applied at t = 2 seconds. Note that the output (the ball position) is very
strongly affected by the disturbance. Try to get a design that looks more
like the one in Figure C.7, which shows that the disturbance doesn’t
affect the ball position very much. As you do the designs, monitor the
size of the control signal. How does the control signal change as the
command and disturbance response change? Do slower eigenvalues tend
to result in a larger or a smaller control signal (or is there no particular
trend)?
(c) Plot the closed loop transfer function from the disturbance to the output.
Over what frequency range does your design attenuate disturbances by
at least −20 db? Does your design amplify disturbances at some fre-
quencies??
The Matlab m-file PB1 PS4.m will help with this problem.
338 Appendix C: BIAS ESTIMATION
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−1
0
1
2
3
4
5
6
7
8
time, seconds
ref
y (out)
w (dist)
w
est
Figure C.6: Disturbance has strong effect on the ball position
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−0.2
0
0.2
0.4
0.6
0.8
1
1.2
time, seconds
ref
y (out)
w (dist)
w
est
Figure C.7: Disturbance has little effect on the ball position
Appendix D
Properties of Hermitian
Matrices
Revised January 7, 2003.
339
340 Appendix D: HERMITIAN MATRICES
Matrices that are Hermitian (if complex) or symmetric (if real) arise fre-
quently in multivariable feedback design. For example, the positive definite
and semidefinite matrices used for weightings in the optimal regulator prob-
lem and as covariances matrices in the Kalman filter are examples of sym-
metric matrices. In this appendix we collect a number of definitions and
properties of Hermitian matrices that will prove useful in the body of the
text.
Definition D.1 A complex matrix M ∈ C
n×n
is said to be Hermitian if
M
H
= M, where M
H
=
¯
M
T
is the complex conjugate transpose of M. A
real matrix M ∈ R
n×n
is said to be symmetric if M
T
= M.
Of course, a symmetric matrix is also Hermitian. For example, the matrices
M
1
=
_
1 j
−j 2
_
, M
2
=
_
1 −2
−2 3
_
are both Hermitian; the matrix M
2
is also symmetric.
Certain types of Hermitian matrices arise frequently. For example, it is
easy to verify that any matrix of the form M = N
H
N, N ∈ C
m×n
is Hermi-
tian. Important special cases of Hermitian matrices are positive definite and
semidefinite matrices.
Definition D.2 Consider M ∈ C
n×n
, and assume that M is Hermitian.
(i) We say that M is positive semidefinite (denoted M ≥ 0) if x
H
Mx ≥
0, ∀x ∈ C
n
.
(ii) We say that M is positive definite (denoted M > 0) if x
H
Mx ≥ 0, ∀x ∈
C
n
, and x
H
Mx = 0 only if x = 0.

There exist analogous definitions of negative semidefinite and negative defi-
nite matrices.
It is possible to factorize any positive definite or semidefinite matrix using
the concept of a matrix square root.
Lemma D.3 Consider a Hermitian matrix M ∈ C
n×n
.
(i) If M ≥ 0, and rank M = m, then ∃N ∈ C
m×n
with rank N = m such
that M = N
H
N.
341
(ii) Consider N ∈ C
m×n
, and define the matrix M = N
H
N. Then M ≥ 0.
Furthermore, if rank N = m, then rank M = m. If rank N = n, then
M > 0.
The matrix N in part (i) is termed a square root of M, and is denoted
N = M
1
2
. Clearly, the square root of a matrix is not unique. Indeed, in the
case n = 1, the matrix M = 1 has two square roots, N = ±1.
The fact that a positive semidefinite matrix has a square root allows us
to prove the following useful result.
Lemma D.4 Consider M ∈ C
n×n
, and assume that M ≥ 0. Then v
H
Mv =
0 if and only if Mv = 0.
Proof: Suppose first that v
H
Mv = 0 and that rank M = m. Let N ∈ C
m×n
denote a square root of M. Then v
H
Mv = v
H
N
H
Nv = |Nv|
2
, where | • |
denotes the Euclidean vector norm. It follows immediately that Nv = 0, and
thus that Mv = 0 also. It is obvious that if Mv = 0, then v
H
Mv = 0, and
the result follows.
The eigenvalues and eigenvectors of a Hermitian matrix have many special
properties.
Proposition D.5 Suppose that M ∈ C
m×n
is a Hermitian matrix. Then
the eigenvalues of M are all real.
Proof: Denote the eigenvalues of M by λ
1
, . . . , λ
n
. Let v
i
be an eigen-
vector associated with λ
i
, so that Mv
i
= λ
i
v
i
. Postmultiplying by v
H
i
and
rearranging yields
λ
i
=
v
H
i
Mv
i
v
H
i
v
i
. (D.1)
The denominator of (D.1) is a real number, because v
H
i
v
i
= |v
i
|
2
2
. We now
show that the numerator of (D.1) is also real. To see this, use the facts that
(AB)
H
= B
H
A
H
and that v
H
i
Mv
i
is a scalar to obtain
_
v
H
i
Mv
i
_
H
= (v
H
i
Mv
i
)
= v
H
i
M
H
v
i
= v
H
i
Mv
i
.
It follows that (v
H
i
Mv
i
) = v
H
i
Mv
i
, and thus this term is real. Hence λ
i
is
the ratio of two real numbers, and the result follows.
342 Appendix D: HERMITIAN MATRICES
Proposition D.6 Suppose that M ∈ C
n×n
is a Hermitian matrix of the form
M = N
H
N, N ∈ C
m×n
. Then the eigenvalues of M are all nonnegative.
Proof: Let λ
i
be an eigenvalue of M with unit eigenvector v
i
. Then
λ
i
= v
H
i
Mv
i
= v
H
i
N
H
Nv
i
= |Nv
i
|
2
2
≥ 0,
and the result follows.
It is also true that any Hermitian matrix has a complete set of eigenvectors,
even if the eigenvalues are repeated. Furthermore, these eigenvectors may be
chosen to form an orthonormal basis for C
n
!
Appendix E
The Hamiltonian Matrix
Revised January 7, 2003.
343
344 Appendix E: HAMILTONIAN MATRIX
In Chapter 4 we derived the solution to the infinite horizon linear reg-
ulator problem with cost function (4.22) and state dynamics (4.1). Under
appropriate stabilizability and detectability hypotheses, the optimal control
was constant state feedback u(t) = −Kx(t), where K = R
−1
B
T
P and P is
the unique positive semidefinite solution to the Algebraic Riccati Equation
(ARE):
PA + A
T
P + Q−PBR
−1
B
T
P = 0. (E.1)
Furthermore, the optimal state feedback stabilizes the system: A−BK has
stable eigenvalues. We have also seen, in Example 4.5-4.6, that the ARE has
more than one solution, and have proven in Theorem 4.7 that only one of
these solutions corresponds to the optimal control. Finally, in Chapter 5, we
have seen that the solution to the time-invariant optimal linear estimation
problem may be obtained from an ARE that is dual to that for the linear
regulator problem. In this appendix we derive some properties of the ARE
that are useful in computations of its solution.
Associated with the ARE (E.1) is the Hamiltonian matrix:
H
_
A −BR
−1
B
T
−Q −A
T
_
. (E.2)
There are many fundamental connections between the Hamiltonian matrix
and the associated Algebraic Riccati Equation. For example, see [1, 12, 29].
In particular, we shall see that solutions to the ARE may be obtained from
the eigenstructure of the Hamiltonian matrix.
Many results in this appendix are valid even without the hypotheses that
(A, B) is stabilizable and (A, Q) is detectable, and hence these assumptions
will be invoked only when they are explicitly stated.
Lemma E.1 Let P denote any solution to the ARE. Define K = R
−1
B
T
P.
Then the eigenvalues of H are the union of the eigenvalues of (A−BK) and
−(A −BK).
Proof: Define a nonsingular matrix
M =
_
I 0
P I
_
.
It is easy to verify (using (E.1)) that
M
−1
HM =
_
A −BK −BR
−1
B
T
0 −(A −BK)
T
_
. (E.3)
345
Note that H is similar to (E.3), and thus these two matrices have identical
eigenvalues (Appendix A). Because the latter matrix is block triangular,
and because the eigenvalues of a block triangular matrix are the union of the
eigenvalues of the diagonal blocks, the result follows.
Any real matrix has the property that its eigenvalues are distributed sym-
metrically about the real axis: if λ is an eigenvalue of H, then so is
¯
λ, the
complex conjugate of λ. Lemma E.1 implies that the eigenvalues of the
Hamiltonian matrix have the additional property that they are distributed
symmetrically about the jω-axis: if λ is an eigenvalue of H, then so is −λ.
An immediate consequence of this fact is that if H has an eigenvalue on
the jω-axis, then this eigenvalue must have multiplicity at least two. Our
next result shows that, with appropriate hypotheses, H can have no purely
imaginary eigenvalues.
Corollary E.2 Assume that (A, B) is stabilizable and that (A, Q) is de-
tectable. Then H has no eigenvalues on the jω-axis.
Proof: We know that, under these hypotheses, there exists a P to the
ARE such that A −BK is stable, where K = R
−1
B
T
P. The eigenvalues of
H consist of the eigenvalues of A−BK, which all lie in the OLHP, together
with their mirror images, which all lie in the ORHP. It follows that H can
have no purely imaginary eigenvalues.
Example E.3 Simple examples show that both the stabilizability and de-
tectability hypotheses are necessary. First relax the stabilizability assump-
tion, and consider the system A = 0, B = 0, Q = 1, and R = 1. Then
H =
_
0 0
1 0
_
,
and we see that stabilizability is necessary. Next, consider A = 0, B = 1,
Q = 0, and R = 1, which violates the detectability hypothesis. Then
H =
_
0 −1
0 0
_
,
and we see that detectability is also required.
We now show that a solution to the ARE may be constructed from the
eigenstructure of the Hamiltonian matrix.
346 Appendix E: HAMILTONIAN MATRIX
Lemma E.4 Let P denote any solution to the ARE. Then the columns of
the matrix
_
I
P
_
span an invariant subspace of H.
Proof: Define K = R
−1
B
T
P. Then (E.1) may be used to verify that
_
A −BR
−1
B
T
−Q −A
T
_ _
I
P
_
=
_
I
P
_
(A −BK). (E.4)

We shall now make the simplifying assumption that the eigenvalues of H
are distinct, and thus that H has a complete set of eigenvectors. If this
assumption is not satisfied, we can modify our arguments using generalized
eigenvectors.
Lemma E.5 Assume that (A, B) is stabilizable and that (A, Q) is detectable.
Let P and K denote the stabilizing solution to the ARE and the associated
state feedback gain, respectively. Denote the eigenvalues of A − BK and a
corresponding set of eigenvectors by
Λ = diag
_
λ
1
λ
2
. . . λ
n
¸
V =
_
v
1
v
2
. . . v
n
¸
.
Then the columns of
_
V
PV
_
, (E.5)
form a set of eigenvectors corresponding to the stable eigenvalues of H.
Proof: It follows from (E.4) that
_
A −BR
−1
B
T
−Q −A
T
_ _
I
P
_
V =
_
I
P
_
(A −BK)V
=
_
I
P
_
V Λ

347
The preceding result shows that the eigenstructure of the Hamiltonian
matrix can be calculated from the solution to the Riccati equation. This is
not the result we want! Instead, we wish to calculate the solution to the
Riccati equation from the Hamiltonian matrix. Our next result shows how
to do this.
Lemma E.6 Assume that (A, B) is stabilizable and that (A, Q) is detectable.
Let the columns of
_
X
1
X
2
_
∈ C
2n×n
(E.6)
denote a set of eigenvectors corresponding to the stable eigenvalues of H.
Then X
1
is nonsingular, and the unique positive semidefinite (and thus sta-
bilizing) solution to the ARE is given by P = X
2
X
−1
1
.
Proof: First, we show that X
1
is nonsingular. Recall that an eigenvector
corresponding to a distinct eigenvalue is uniquely defined except for a factor
of a scalar constant. By Lemma E.5, we know that one set of eigenvectors
corresponding to the stable eigenvalues of H is given by (E.5). With no loss
of generality, we may assume that the eigenvectors in (E.6) have the same
ordering as those in (E.5). Hence there exists a nonsingular diagonal matrix
D such that
_
X
1
X
2
_
=
_
V
PV
_
D.
The fact that X
1
is nonsingular follows from the fact that V and D are
nonsingular.
Second, we see that
X
2
X
−1
1
= (PV D)(V D)
−1
= P
and thus that the stabilizing solution to the ARE may be calculated from
the eigenvectors of H.
Our next example illustrates the computation of the optimal cost matrix
from the eigenvectors of the Hamiltonian matrix.
348 Appendix E: HAMILTONIAN MATRIX
Example E.7 Let
A =
_
_
0 1 0
0 0 1
−1 −2 −1
_
_
, B =
_
_
1
1
1
_
_
Q =
_
_
1 0 0
0 0 0
0 0 0
_
_
, R = 1
The eigenvalues of the associated Hamiltonian matrix are plotted in Fig-
ure E.1. The optimal closed loop eigenvalues are those in the OLHP, located
at −1.5, −.559 ± 1.56j. The eigenvectors corresponding to the stable eigen-
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
−2
−1.5
−1
−0.5
0
0.5
1
1.5
2
real
i
m
a
g
i
n
a
r
y
eigenvalues of Hamiltonian
Figure E.1: Eigenvalues of the Hamiltonian Matrix
values may be partitioned as
X
1
=
_
_
−0.4539 0.0426 + 0.1862j 0.0426 −0.1862j
0.2444 −0.5417 + 0.0195j −0.5417 −0.0195j
−0.8029 0.0451 −0.7995j 0.0451 + 0.7995j
_
_
X
2
=
_
_
−0.2712 −0.1074 + 0.0845j −0.1074 −0.0845j
−0.1179 −0.0904 + 0.0012j −0.0904 −0.0012j
−0.0472 −0.0293 −0.0286j −0.0293 + 0.0286j
_
_
349
Solving for the optimal cost matrix shows that
P = X
2
X
−1
1
=
_
_
0.6444 0.2532 0.0506
0.2532 0.1920 0.0622
0.0506 0.0622 0.0491
_
_
Note that P calculated from complex eigenvectors of the Hamiltonian will
generally have very small complex parts due to small numerical errors. This
annoyance can be avoided by working with the real and imaginary parts of
any complex eigenvectors.
Riccati solvers as implemented in MATLAB are based upon the invariant
subspaces of the associated Hamiltonian matrix. However, they are much
more sophisticated (and thus numerically better conditioned) than merely
solving an eigenvalue problem. See, for example [17].
350 Appendix E: HAMILTONIAN MATRIX
Appendix F
Review of Random Processes
Revised January 7, 2003.
351
352 Appendix F: RANDOM PROCESSES
In this appendix we shall review several properties of random variables
and random processes. These properties are useful in formulating and solving
the optimal estimation and LQG control problems.
F.1 Stochastic Models of Signals
Let X be a random variable with a probability density function f
X
(). The
density function may be used to calculate the probability that the value of
X lies in the interval (a, b):
Prob ¦a ≤ X ≤ b¦ =
_
b
a
f
X
(x)dx. (F.1)
Note that
_
+∞
−∞
f
X
(x)dx = 1. (F.2)
The probability density function may be used to evaluate the mean, variance,
and standard deviation of the random variable.
Mean:
E¦X¦ =
¯
X
=
_
+∞
−∞
xf
X
(x)dx (F.3)
Variance:
Var ¦X¦ = E
_
_
X −
¯
X
_
2
_
=
_
+∞
−∞
_
x −
¯
X
_
2
f
X
(x)dx (F.4)
Standard Deviation:
σ
X
=
_
Var ¦X¦ (F.5)
Common examples of density functions are the uniform density function
f
X
(x) =
_
1
b−a
, a ≤ x ≤ b
0, otherwise
(F.6)
F.1. STOCHASTIC MODELS OF SIGNALS 353
x
a b
1
(b-a)
f
X
(x)
Figure F.1: Uniform Probability Density
depicted in Figure F.1, and the normal, or Gaussian density function
f
X
(x) =
_
1
σ
X


_
exp
_

_
x −
¯
X
_
2

2
X
_
(F.7)
depicted in Figure F.2.
0 x
f
X
(x)
X

σ
X
1
Figure F.2: Normal Probability Density
354 Appendix F: RANDOM PROCESSES
F.2 Vector-valued Random Variables
Consider an n-dimensional vector of random variables,
X =
_
¸
¸
¸
_
X
1
X
2
.
.
.
X
n
_
¸
¸
¸
_
.
A vector-valued random variable has an associated probability density func-
tion f
X
(x). The probability that the elements of X lie in given intervals is
given by
Prob ¦a
i
≤ X
i
≤ b
i
, i = 1, . . . , n¦ =
_
b
1
a
1

_
bn
an
f
X
(x
1
, . . . , x
n
)dx
1
. . . dx
n
(F.8)
As in the case of a scalar valued random variable, the density function may
be used to define the mean
¯
X = E¦X¦ , (F.9)
and the covariance of X
R
X
= E
_
_
X −
¯
X
_ _
X −
¯
X
_
T
_
, (F.10)
where element (i, j) of R
X
is given by
R
X
(i, j) = E
_
_
X
i

¯
X
i
_ _
X
j

¯
X
j
_
T
_
. (F.11)
Given two vector-valued random variables, X and Y , we also define the
cross-covariance:
R
XY
= E
_
_
X −
¯
X
_ _
Y −
¯
Y
_
T
_
. (F.12)
If R
XY
= 0, then X and Y are said to be uncorrelated.
As an example, the vector Gaussian density function is given by
f
X
(x) =
_
1
_
(2π)
n
det R
X
_
exp
_

1
2
_
X −
¯
X
_
T
R
−1
X
_
X −
¯
X
_
_
(F.13)
F.3. RANDOM PROCESSES 355
F.3 Random Processes
A random, or stochastic, process is a random variable, X(t), that evolves
in time: at each time
ˆ
t, X(
ˆ
t) is a random variable. To illustrate, we may
think of a system, such as that depicted in Figure F.3, that generates a noise
signal.
x( t )
Noise
Generator
Figure F.3: Noise Generator
Suppose we perform a set of experiments wherein we turn on the noise gener-
ator in Figure F.3 a number of times, record the resulting output (which will
be different every time) and average the results. Then we obtain a description
of the mean and variance of the output as a function of time.
We define the mean
E¦X(t)¦ =
¯
X(t), (F.14)
and the covariance kernel of X(t)
R
X
(t
1
, t
2
) = E
_
_
X(t
1
) −
¯
X(t
1
)
_ _
X(t
2
) −
¯
X(t
2
)
_
T
_
(F.15)
If the covariance kernel equals zero except for t
1
= t
2
, then the values of the
signal at any two distinct times are said to be uncorrelated. We also define
the covariance matrix
P
X
(t) = R
X
(t, t) (F.16)
Note that the covariance matrix is, by definition, positive semidefinite:
P
X
(t) = P
T
X
(t) ≥ 0, ∀t. (F.17)
F.3.1 Stationary Random Processes
A random process is said to be stationary if its statistics do not change with
time. The mean, covariance kernel, and covariance matrix of a stationary
356 Appendix F: RANDOM PROCESSES
random process satisfy
¯
X(t) =
¯
X, a constant,
R
X
(t
1
, t
2
) = R
X
(τ), τ = t
2
−t
1
,
P
X
(t) = P
X
(0), a constant.
Loosely speaking, a stationary random process corresponds to a time-
invariant deterministic process. In the deterministic case, we often study the
spectrum of a signal by calculating its Fourier transform to see how the energy
of the signal is distributed at different frequencies. A signal that varies slowly
with time will have its spectrum concentrated at lower frequencies than will
a signal that varies much more rapidly.
For stochastic signals, the analogous concept is that of the power spectral
density. A stationary random process X(t) with covariance kernel R
X
(t) has
a power spectral density given by
Φ
X
(ω) =
_
+∞
−∞
R
X
(t)e
−jωt
dt (F.18)
R
X
(t) =
1

_
+∞
−∞
Φ
X
(ω)e
jωt
dω (F.19)
F.4 White Noise
We shall be specially concerned with a random process termed white noise.
The mean and covariance of a stationary, zero mean, Gaussian, white noise
process w(t) satisfy
E¦w(t)¦ = 0, ∀t
E¦w(t
1
)w(t
2
)¦ = Qδ(t
2
−t
1
), Q ≥ 0
R
W
(t) = Qδ(t)
Φ
X
(ω) = Q
A white noise signal is characterized by the fact that its power is uniformly
distributed over all frequencies. There is no correlation between the values
that the signal takes at two (arbitrarily close) instants of time.
F.4. WHITE NOISE 357
F.4.1 White Noise through a Linear System
White noise (like a delta function) is a mathematical fiction – such a process
cannot exist in nature. However, in many cases white noise is a good approx-
imation to a physical process. Furthermore, one can model many processes
as colored noise. Briefly, colored noise is just white noise that has been fil-
tered by passing it through a linear system. The resulting random process is
termed “colored” because its spectrum is no longer constant with frequency.
We shall be primarily interested in the case that white noise is passed
through a time invariant system. However, we will also consider the time-
varying case because of its utility in deriving the Kalman filter.
Suppose that a white noise signal w(t) with mean and covariance
E¦w(t)¦ = 0, R
W
(t) = Qδ(t) (F.20)
is passed through a linear system with state equations
˙ x(t) = A(t)x(t) + B(t)w(t), (F.21)
y(t) = C(t)x(t). (F.22)
The state and output of the system are also random variables. Denote the
mean and covariance matrix of the state x(t) by
m(t) = E¦x(t)¦ (F.23)
P
X
(t) = E
_
(x(t) −m(t)) (x(t) −m(t))
T
_
(F.24)
These statistics evolve according to the dynamical equations
˙ m(t) = A(t)m(t), m(t
0
) = m
0
(F.25)
˙
P
X
(t) = A(t)P
X
(t) + P
X
(t)A
T
(t) + B(t)QB
T
(t), P
X
(t
0
) = P
0
. (F.26)
The differential equation in (F.26) is termed a Lyapunov differential equation.
We have that
R
X
(t
1
, t
2
) =
_
P
X
(t
1

T
(t
2
, t
1
), t
2
≥ t
1
Φ(t
1
, t
2
)P
X
(t
2
), t
1
≥ t
2
(F.27)
R
Y
(t
1
, t
2
) =
_
CP
X
(t
1

T
(t
2
, t
1
)C
T
, t
2
≥ t
1
CΦ(t
1
, t
2
)P
X
(t
2
)C
T
, t
1
≥ t
2
(F.28)
358 Appendix F: RANDOM PROCESSES
where Φ(t
1
, t
2
) denotes the state transition matrix associated with the sys-
tem.
Suppose now that the system is time invariant and A is stable. Then
the mean of the state vector satisfies m(t) → 0 as t → ∞, and the state
covariance matrix satisfies P
X
(t) →
¯
P, where
¯
P is the unique solution to the
algebraic Lyapunov equation
0 = AP + PA
T
+ BQB. (F.29)
The state and output of the system become stationary colored noise pro-
cesses, with mean zero and covariance kernels given by
R
X
(t
1
, t
2
) =
_
¯
Pe
A
T
(t
2
−t
1
)
, t
2
≥ t
1
e
A(t
1
−t
2
)
¯
P, t
1
≥ t
2
(F.30)
R
Y
(t
1
, t
2
) =
_
C
¯
Pe
A
T
(t
2
−t
1
)
C
T
, t
2
≥ t
1
Ce
A(t
1
−t
2
)
¯
PC
T
, t
1
≥ t
2
(F.31)
Note that R
X
(t
1
, t
2
) and R
Y
(t
1
, t
2
) depend only upon the difference t
1
−t
2
.
This fact is to be expected since the linear system is time-invariant.
The covariance matrix of the output converges to E
_
y(t)y
T
(t)
_
= C
¯
PC
T
.
One may show that the power spectral density matrices of the state and
output are given by
Φ
X
(ω) = (jωI −A)
−1
BQB
T
(−jωI −A
T
)
−1
(F.32)
Φ
Y
(ω) = C(jωI −A)
−1
BQB
T
(−jωI −A
T
)
−1
C
T
(F.33)
It follows that the spectrum of the system output will be shaped by the
frequency response of the linear system.
Example F.1 Consider white noise of zero mean and unity variance passed
through a filter
F(s) =
1
τs + 1
.
Let’s compare the results for τ = 5, 1, 0.5. A state variable description of
the filter is:
˙ x = −
1
τ
x + w
y =
1
τ
x
F.4. WHITE NOISE 359
Solving the Lyapunov equation for the steady state covariance matrix (with
A =
1
τ
, B = 1, Q = 1, and C =
1
τ
) yields
¯
P =
τ
2
. The output covariance
kernel is given by:
R
Y
(t
1
, t
2
) = C
2
¯
Pe
A|t
2
−t
1
|
=
_
1
τ
_
2 _
τ
2
_
e

1
τ
|t
2
−t
1
|
which implies that the steady state output covariance matrix is P
Y
=
1

.
As shown in Figure F.4, the shorter the time constant τ, the higher the
bandwidth of the filter.
10
−2
10
−1
10
0
10
1
10
2
10
−2
10
−1
10
0
10
1
filter gain
m
a
g
n
i
t
u
d
e
frequency, rad/sec
τ=5.0
τ=1.0
τ=0.5
Figure F.4: Bode Gain of Lowpass Filters
As the bandwidth of the filter increases, the filter passes higher frequency
components of the noise. This is manifested by the covariance kernel looking
more like a delta function (Figure F.5). As a result, the values of the signal at
two nearby instants in time will become less and less correlated. Furthermore,
the frequency content of the filtered noise also increases; this is manifested
as increasing bandwidth of the power spectral density of the filter output
(Figure F.6).
The first plot in Figure F.7 contains the white noise input; the succeeding
plots contain the outputs of filters with the three different time constants.
Note that the filter with the slowest time constant (τ = 5) does the greatest
360 Appendix F: RANDOM PROCESSES
−2 −1.5 −1 −0.5 0 0.5 1 1.5 2
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
output covariance kernel
m
a
g
n
i
t
u
d
e
time, sec
τ=5.0
τ=1.0
τ=0.5
Figure F.5: Covariance Kernel
10
−2
10
−1
10
0
10
1
10
2
10
−4
10
−3
10
−2
10
−1
10
0
10
1
power spectral density
m
a
g
n
i
t
u
d
e
frequency, rad/sec
τ=5.0
τ=1.0
τ=0.5
Figure F.6: Power Spectral Density
F.4. WHITE NOISE 361
amount of smoothing. The filter with the fastest time constant (τ = 0.5)
passes relatively more noise.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−5
0
5
input
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−0.2
0
0.2
τ=5.0
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−0.2
0
0.2
τ=1.0
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
−0.2
0
0.2
time, sec
τ=0.5
Figure F.7: White and Filtered Noise
Application: The Dryden Spectrum
A common application of the concept of colored noise is to model signals
generated from physical data. For example, the vertical component of ran-
dom wind velocity in turbulent air has the “Dryden” spectrum [10] obtained
by passing unity variance white noise through the second order filter
F(s) =
_
σ
2
z
_

3Ts + 1
(Ts + 1)
2
where σ
z
and T are tuning parameters. The filter F(s) is termed a “shaping
filter” because it shapes the spectrum of the colored noise output.
362 Appendix F: RANDOM PROCESSES
Appendix G
Reduced Order Observers
Revised January 7, 2003.
363
364 Appendix G: REDUCED ORDER OBSERVERS
Consider the SISO system Need to do MIMO
case.
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
y = Cx, y ∈ R
q
, x(0) = x
0
_
→P(s) = C(sI −A)
−1
B
where (A, C) is observable.
Suppose that C has the special structure C =
_
1 0 0 0
¸
, so that y =
x
1
. Then x, A, and B may be partitioned compatibly:
x =
_
x
1
x
2
_
, A =
_
A
11
A
12
A
21
A
22
_
, B =
_
B
1
B
2
_
where x
2
∈ R
n−1
.
Note that a state feedback control law, u = −Kx, may be partitioned
compatibly as
u = −K
1
x
1
−K
2
x
2
.
Since x
1
is measured directly, we only need to construct an observer of order
n −1. This may be done as follows:
Find L so that the eigenvalues of A
22
− LA
12
are stable. (We can do
this by the assumption of observability and the special structure of C
1
.) Let
z ∈ R
n−1
satisfy the differential equations:
˙ z = (A
22
−LA
12
)z + [(A
22
−LA
12
)L + (A
21
−LA
11
)] y + (B
2
−LB
1
)u
Define ˆ x
2
:= z + Ly and e := x
2
− ˆ x
2
. Then
ˆ e = (A
22
−LA
12
)e
and e(t) →0 as t →∞ by the assumed stability of (A
22
−LA
12
).
Now suppose that u is given by the above state feedback law, where x
2
is replaced by ˆ x
2
. This yields
u = −K
1
x
1
−K
2
ˆ x
2
= −K
1
y −K
2
z −K
2
Ly
Substituting into the differential equation for z yields
˙ z = (A
22
−LA
12
)z + [(A
22
−LA
12
)L + (A
21
−LA
11
)] y
−(B
2
−LB
1
)(K
1
y + K
2
z + K
2
Ly)
1
Specifically, one may show that (A, C) is observable if and only if (A
22
, A
12
) is ob-
servable. (To do so requires the assumption that C =

1 0 0 0

.)
365
Rearranging yields a state space description for the reduced order observer
mapping y to u:
˙ z = [A
22
−LA
12
−(B
2
−LB
1
)K
2
] z
+ [(A
22
−LA
12
)L + (A
21
−LA
11
) −(B
2
−LB
1
)(K
1
+ K
2
L)] y
u = −[K
2
z + (K
1
+ K
2
L)y]
For a negative feedback configuration we adjust the minus sign as shown in
Figure G.1.
x = Ax + Bu
y = Cx
.
C
roo
(sI-A
roo
)
-1
B
roo
+ D
roo
Σ
-
u y
Figure G.1: Reduced Order Observer
where
A
roo
= [A
22
−LA
12
−(B
2
−LB
1
)K
2
]
B
roo
= [(A
22
−LA
12
)L −(A
21
−LA
11
) −(B
2
−LB
1
)(K
1
+K
2
L)]
C
roo
= K
2
D
roo
= (K
1
+ K
2
L).
Example G.1 Consider the plant
P(s) =
1
s(s + 1)
;
a realization of this transfer function having the special structure for “C” is
given by
A =
_
−1 1
0 0
_
, B =
_
0
1
_
, C =
_
1 0
¸
, D = 0.
366 Appendix G: REDUCED ORDER OBSERVERS
−10 −8 −6 −4 −2 0 2 4 6 8 10
−10
−8
−6
−4
−2
0
2
4
6
8
10
Real Axis
I
m
a
g

A
x
i
s
root locus, reduced order observer
Figure G.2: Root Locus for Compensator Based on Reduced Order Observer
Suppose we place the state feedback poles at −1 ±4j and the observer pole
at −10. Introducing a gain parameter into the resulting feedback system
and computing the root locus yields the plot in Figure G.2. Note that the
compensator using the reduced order observer is merely a lead filter, as we
knew it must be from root locus arguments! A Bode plot of the compensator
in Figure G.3 reveals the phase lead.
367
Frequency (rad/sec)
P
h
a
s
e

(
d
e
g
)
;

M
a
g
n
i
t
u
d
e

(
d
B
)
Bode Diagrams
23
24
25
26
27
28
29

10
0
10
1
10
2
0
5
10
15

Figure G.3: Bode Plots of Compensator Based on Reduced Order Observer
368 Appendix G: REDUCED ORDER OBSERVERS
Appendix H
Model Reduction
Revised January 7, 2003.
369
370 Appendix H: MODEL REDUCTION
Consider a linear time invariant system with state description
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
y = Cx, y ∈ R
q
, x(0) = x
0
_
→P(s) = C(sI −A)
−1
B.
Suppose that we want a lower order system
˙
ˆ x =
ˆ
Aˆ x +
ˆ
Bu, ˆ x ∈ R
m
, u ∈ R
p
, m < n
y =
ˆ
Cˆ x, y ∈ R
q
, x(0) = x
0
with approximately the same transfer function
ˆ
P(s) ≈ P(s).
How should we measure the size of the error between
ˆ
P(s) and P(s)?
There are many ways to do this. One would be to calculate the infinity norm
of the approximation error,
|∆P|

:= sup
ω
|∆P(jω)|
2
,
where ∆P(s) := P(s) −
ˆ
P(s) and | |
2
denotes the Euclidean matrix norm.
If p = q = 1, then
|∆P|

= sup
ω
[∆P(jω)[,
which is just the peak in the Bode gain plot of the error.
There are many other criteria one could use to measure the difference be-
tween two systems; however, we shall present a technique for obtaining lower
order models of linear systems that tends to minimize the error according to
the above definition.
H.1 Motivation
Suppose first that (A, B, C) is not a minimal realization of P(s). Then we
know that any uncontrollable and/or unobservable states can be eliminated
without affecting the transfer function at all.
As it happens, any realization (A, B, C) will generically be minimal, in
that the controllability and observability matrices will almost always have
full rank.
It seems intuitively reasonable that if we eliminate states that are almost
uncontrollable and/or almost unobservable, then the transfer function should
not be affected significantly.
There is a potential problem with this reasoning, however.
H.2. CONTROLLABILITY AND OBSERVABILITY GRAMMIANS 371
Example H.1 Consider the transfer function
P(s) =
1
s + 1
which has the three realizations
A
1
= −1, B
1
= 100, C
1
= 0.01
A
1
= −1, B
1
= 0.01, C
1
= 100
A
1
= −1, B
1
= 1, C
1
= 1
It seems that the first of these has a state which is “weakly” observable, but
strongly controllable. The second has a state which is weakly controllable,
but strongly observable. Finally, the third has a state which is equally con-
trollable and observable. It seems like we need to be more rigorous about
our notions of weak controllability and weak observability!!! In a system with
many states, we can have similar behavior, albeit more complicated...
Often we may have some physical insight into the states of the system,
and we can use this insight to do model reduction.
In other cases, we don’t have particular interpretations of the states.
Among these are systems for which our models are obtained by black box
identification of experimental data.
Other situations arise when we design a controller using state feedback/observer
design techniques. in this case, our controller has theh same dynamical order
as the system we wish to control. It is desirable to implement the simplest
controller that satisfactorily achieves design objectives.
It turns out that there is a special basis for the state space in which each
state is equally controllable and observable. If the system si given in this
basis, we can eliminate states without worrying about whether a strongly
controllable state is weakly observable, and vice-versa.
H.2 Controllability and Observability Gram-
mians
Assume that Ahas only stable eigenvalues. Define the Controllability Gramian
W
C
:=
_

0
e

BB
T
e
A
T
τ

372 Appendix H: MODEL REDUCTION
and recall that W
C
is the unique solution to the Algebraic Lyapunov Equa-
tion:
0 = AW
C
+ W
C
A
T
+ BB
T
.
Note that W
C
is symmetric, W
C
= W
T
C
, and positive semidefinite, W
C
≥ 0.
Hence
x
T
W
C
x ≥ 0, ∀x.
Furthermore, (A, B) is a controllable pair if and only if W
C
is positive definite,
W
C
> 0. Hence
x
T
W
C
x > 0, ∀x ,= 0.
Similarly, define the Observability Gramian
W
O
:=
_

0
e
A
T
τ
C
T
Ce

dτ,
and recall that W
O
is the unique solution to the Algebraic Lyapunov Equa-
tion:
0 = A
T
W
O
+W
O
A + C
T
C.
It is also true that W
O
is symmetric and positive semidefinite, and that (A, C)
is an observable pair if and only if W
O
is positive definite.
H.3 Interpretation of Gramians
Definition H.2 (Signal Energy) Given a time signal, v(t) ∈ R
m
, defined
for t ∈ (t
0
, t
1
). The energy of the signal is defined to be
_
t
1
t
0
|v(t)|
2
2
dt
where | |
2
denotes the Euclidean vector norm.
H.3.1 Minimum Energy Control
Assume that (A, B) is controllable, and suppose that the system is at rest
(has zero initial condition) in the infinitely remote past: lim
t→−∞
x(t) = 0.
Consider an arbitrary state x
0
. By the assumption of controllability, we
know there exists an input that takes the state of the system to x
0
at time
t = 0. That is, there exists u(t), t ∈ (−∞, 0] such that x(0) = x
0
.
H.4. BALANCED REALIZATIONS 373
In fact, we know that there exist many inputs that transfer the state to
the desired value. It is of interest to know which of these inputs has the
minimum possible energy; denote this input
1
by u

(t). it turns out that the
energy in the “minimal energy” input u

(t) is given by
_
0
−∞
|u

(t)|
2
2
dt = x
T
0
W
−1
C
x
0
Example H.3 To interpret this result, suppose that
W
C
=
_
100 0
0 0.01
_
.
The amount of energy needed to transfer the state from the origin to x
0
=
_
1 0
¸
T
is equal to 0.01; the amount of energy needed to transfer the state
from the origin to x
0
=
_
0 1
¸
T
is equal to 100. Hence, the state x
0
=
_
1 0
¸
T
is much more strongly controllable than is the state x
0
=
_
0 1
¸
T
.
The larger the controllability Gramian, the more strongly controllable the
system is...
H.3.2 Energy of the Unforced Response
To obtain an interpretation of the Observability Gramian, we note that the
response of the system to zero input and the initial state x(0) = x
0
is given
by y(t) = Ce
At
x
0
. The energy in the output due to this initial state is
_

0
|y(t)|
2
2
dt = x
T
0
W
0
x
0
Again, the larger the Observability Gramian, the more strongly observable
the system is...
H.4 Balanced Realizations
There is a special realization for which each state of the system is equally
controllable and observable.
1
A formula for u

(t) is found in many textbooks; for example [5]
374 Appendix H: MODEL REDUCTION
Theorem H.4 Assume that (A, B) is controllable, (A, C) is observable, and
that A is stable. Then there exists a change of state variables ¯ x = Px such
that
¯
A = PAP
−1
,
¯
B = PB, and ¯ x = Px have Gramians that are equal and
diagonal:
¯
W
C
=
¯
W
O
=
_
¸
¸
¸
_
σ
1
0 0
0 σ
2
0
.
.
.
.
.
.
.
.
.
.
.
.
0 0 σ
n
_
¸
¸
¸
_
where σ
1
≥ σ
2
≥ ≥ σ
n
> 0.
Hence, the minimum energy needed to transfer the state from the origin to
the standard basis vector x(0) = e
i
is equal to 1/σ
i
. The energy in the output
due to an initial state (0) = e
i
is equal to σ
i
.
It follows that if σ
i
¸1, then e
i
is both strongly controllable and observ-
able; if σ
i
¸1, then e
i
is both weakly controllable and observable.
Remark H.5 The σ
i
’s are termed “Hankel singular values”.
H.5 Model Reduction by Balanced Trunca-
tion
Suppose that the Hankel singular values satisfy
σ
1
≥ σ
2
≥ ≥ σ
m
¸σ
m+1
≥ ≥ σ
n
> 0
Then the first m states of the balanced realization are relatively much more
strongly controllable and observable than are the last n −m states.
Suppose that we delete the last n −m states of the balanced realization,
to obtain a new system (
ˆ
A,
ˆ
B,
ˆ
C) of order m:
¯
A =
_
ˆ
A ∗
∗ ∗
_
,
¯
B =
_
ˆ
B

_
,
¯
C =
_
ˆ
C ∗
¸
.
The reduced order realization obtained in this way has several useful prop-
erties.
H.6. APPLICATION TO CONTROLLER ORDER REDUCTION 375
Theorem H.6 If σ
m
> σ
m+1
, then (
ˆ
A,
ˆ
B,
ˆ
C) is a minimal realization and
ˆ
A is stable. Furthermore
|∆P|

= sup
ω
|P(jω) −
ˆ
P(jω)|
2
≤ 2 (σ
m+1
+ +σ
n
)
We see that deleting states of a balanced realization that correspond to
small Hankel singular values will not affect the transfer function much. Of
course, one would still need to check Bode plots to verify that the approxi-
mation is good at frequencies for which one is especially interested, such as
DC, gain crossover, etc.
H.6 Application to Controller Order Reduc-
tion
Suppose that we wish to apply the balanced truncation model reduction
procedure to reduce the order of a controller. This is fine, if the controller is
stable. If the controller is not stable, then we cannot apply the procedure; this
fact is a nuisance, because we often wish to use integrators in our controller.
We shall now develop a trick so that we may apply balanced truncation
to a controller obtained by augmenting integrators to the plant, designing
a state feedback to stabilize the augmented system, and then implementing
the state feedback with an observer for the states of the plant only.
Let the plant be given by
˙ x = Ax + Bu, x ∈ R
n
, u ∈ R
p
y = Cx, y ∈ R
q
, x(0) = x
0
_
→P(s) = C(sI −A)
−1
B
Augmenting integrators to the outputs of the plant yields the state equations
_
˙ x
˙ q
_
=
_
A 0
C 0
_ _
x
q
_
+
_
B
0
_
u +
_
0
−I
_
r
y =
_
C 0
¸
_
x
q
_
If the appropriate hypotheses are satisfied, then we may stabilize the aug-
mented system with state feedback
u = −
_
K
1
K
2
¸
_
x
q
_
376 Appendix H: MODEL REDUCTION
Now, suppose that we have an observer for the states of the plant:
˙
ˆ x = (A −LC)ˆ x + Bu + Ly
= (A −BK
1
−LC)ˆ x −BK
2
q + Ly
Then we can implement the control law
u = −K
_
ˆ x
q
_
= −K
_
K
1
K
2
¸
_
ˆ x
q
_
The overall compensator, which includes both the integrators as well as the
observer, has state equations
_
˙
ˆ x
˙ q
_
=
_
A −BK
1
−LC −BK
2
0 0
_
. ¸¸ .
A
C
_
ˆ x
q
_
+
_
L 0
I −I
_
. ¸¸ .
B
C
_
y
r
_
u = −K
.¸¸.
C
C
_
ˆ x
q
_
Obviously, this controller is unstable, because of the integrators. To apply
the balanced truncation technique, we must separate the integrators form
the rest of the controller; if the rest of the controller is stable, then balanced
truncation may be applied.
It is possible to decompose the controller as follows:
˙ q = 0
.¸¸.
A
i
q +
_
I −I
¸
. ¸¸ .
B
i
_
y
r
_
_
u
q
y
_
=
_
−K
2
0
¸
. ¸¸ .
C
i
q +
_
0 0
I 0
_
. ¸¸ .
D
i
_
y
r
_
˙
ˆ x = (A −BK
1
−LC)
. ¸¸ .
A
S
ˆ x +
_
B L
¸
. ¸¸ .
B
S
_
u
q
y
_
u = −K
1
.¸¸.
C
S
ˆ x +
_
I 0
¸
. ¸¸ .
D
S
_
u
q
y
_
H.6. APPLICATION TO CONTROLLER ORDER REDUCTION 377
If A − BK
1
− LC is stable, then the balanced truncation procedure can be
applied to (A
S
, B
S
, C
S
).
378 Appendix H: MODEL REDUCTION
H.7. HOMEWORK PROBLEMS FOR APPENDIX H 379
H.7 Homework Problems for Appendix H
Problem H.1
You will learn the technique of modal residualization, which may
be used to delete high frequency modes from a system model with
changing the DC gain. You will compare the frequency responses of
the full and reduced order systems.
It is often desirable to reduce the order of a plant model by deleting some
states from the system model. In general, one always wants to work with the
simplest model that captures the relevant information about a system. This
is sometimes important when using state space design techniques, because
they require an observer which has dynamical order equal to that of the plant
model. Hence the resulting compensator may have high dynamic order, which
sometimes causes implementation difficulties.
There are several circumstances in which states may be deleted from the
model without incurring excessive modeling error. In all cases the deleted
modes correspond to behavior of the plant that we choose not to control.
Examples include: stable modes that are almost uncontrollable and/or un-
observable, flex dynamics that we cannot dampen and do not wish to excite,
and dynamics that are “faster” than the rest of the system.
We shall now work out a technique for reducing the dynamical order of
a system in such a way that the steady state and low frequency response is
unaffected. Let the states of the system be separated into two groups:
_
˙ x
1
˙ x
2
_
=
_
A
11
A
12
A
21
A
22
_ _
x
1
x
2
_
+
_
B
1
B
2
_
u (H.1)
y =
_
C
1
C
2
¸
_
x
1
x
2
_
+ Du (H.2)
Suppose that the dynamics associated with the states x
2
are fast relative to
those of the states x
1
, so that the approximation ˙ x
2
= 0 is reasonable. (In
other words, suppose that the states x
2
settle to a steady state value before
the states x
1
.)
(a) Assume that A
22
is nonsingular, and show that setting ˙ x
2
= 0 in the
(H.1)-(H.2), solving for x
2
in terms of x
1
and u, and substituting into
380 Appendix H: MODEL REDUCTION
the remaining differential equation yields:
˙ x
1
= A
red
x
1
+B
red
u (H.3)
y = C
red
x
1
+ D
red
u (H.4)
where
A
red
A
11
−A
12
A
−1
22
A
21
(H.5)
B
red
B
1
−A
12
A
−1
22
B
2
(H.6)
C
red
C
1
−C
2
A
−1
22
A
21
(H.7)
D
red
D −C
2
A
−1
22
B
2
. (H.8)
(b) Denote the transfer functions of the original and reduced order systems
by G(s) and G
red
(s), respectively. Assume that neither of these transfer
functions contain integrators, so that the DC gains are defined. Prove
that
G(0) = G
red
(0). (H.9)
The fact that the reduced order model preserves the DC gain is a very
useful feature of this technique (sometimes called the “singular pertur-
bation” or “modal residualization” method). Indeed, we know that the
DC gain is important to the steady state response properties. It turns
out that this model reduction technique has other useful features. For
further information about this and other procedures for model reduction,
see [12].
One situation when modal residualization is useful is when we have a
system with modes that have very different time scales. For example,
sometimes we know that the sensors and actuators of a system are suffi-
ciently fast that their dynamics can be ignored (provided that the band-
width of the closed loop system is sufficiently slower than the neglected
dynamics.) This simplifies design, especially when we are doing state
feedback/observer designs, which yield controllers whose order increases
with that of the system we wish to control.
(c) Apply the modal residualization technique to eliminate the high fre-
quency pole due to the circuit in Problem 1 of Problem Set 4. Examine
the Bode gain and phase plots of the reduced system, and compare these
H.7. HOMEWORK PROBLEMS FOR APPENDIX H 381
to the plots of the original system. At what frequencies do significant
model errors occur? Under what circumstances do you think it would be
safe to design a controller for this system using the simpler model?
In practice, it is often acceptable to neglect fast dynamics, provided that
the following issues are addressed.
(i) The DC gain should be preserved, as this is usually an important
system parameter.
(ii) Allowance is made for stability margins (e.g., gain and phase mar-
gins).
(iii) We should avoid making the closed loop system have time constants
close to those of the neglected dynamics. This is done by making
sure that the gain crossover frequency is located approximately a
decade below those dynamics.
(iv) If we want the closed loop system to respond with time constants
near those of the neglected dynamics, then we should include these
dynamics in the design model.
The Matlab m-file PB2 PS4.m will help with this problem.
382 Appendix H: MODEL REDUCTION
Appendix I
Properties of the Singular
Value Decomposition
Revised January 7, 2003.
383
384 Appendix I: SINGULAR VALUE DECOMPOSITION
In this Appendix we develop properties of the singular value decomposi-
tion (SVD) that are used in the body of the text. A good reference on the
SVD, and on numerical linear algebra in general, is [11].
I.1 Preliminaries
In this section we collect several definitions needed for the development of
the SVD and related results. Please refer also to Appendices A and D, which
contain additional useful information. sometimes x
i
is one
of a set of vectors,
and sometimes x
i
is
a component of a
vector.
(a) Consider x ∈ C
n
. Then we define the vector “x Hermitian” to be the
complex conjugate of the transpose of x: x
H
¯ x
T
. Similarly, for a
matrix A ∈ C
m×n
, we define A
H
∈ C
n×m
by A
H

¯
A
T
. We say that
A ∈ C
n×n
is a Hermitian matrix if A = A
H
. Properties of such matrices
are developed in Appendix D.
(b) Given x, y ∈ C
n
, and denote the elements
1
of x and y by ¦x
1
, . . . , x
n
¦ and
¦y
1
, . . . , y
n
¦, respectively. Then the Euclidean inner product is defined
as
¸x, y) x
H
y = ¯ x
1
y
1
+ + ¯ x
n
y
n
(I.1)
(c) The Euclidean vector norm associated with the Euclidean inner product
is given by
2
|x|
2

_
¸x, x) =
_
n

i=1
[x
i
[
2
_
1/2
. (I.2)
(d) Given A ∈ C
m×n
. Then the Euclidean matrix norm induced by the
Euclidean vector norm is given by:
|A|
2
max
v=0
|Av|
2
|v|
2
. (I.3)
It is a fact (cf. Appendix D) that the eigenvalues of the matrices A
H
A
and AA
H
are all real and nonnegative. Let λ
max
() denote the largest
such eigenvalue. Then
|A|
2
=
_
λ
max
(A
H
A) =
_
λ
max
(AA
H
). (I.4)
1
Sometimes we use subscripts to denote the elements of a vector, and sometimes to
denote different members of a set of vectors. The meaning will be clear from context.
2
Because we discuss only this matrix norm, we shall usually omit the subscript “2”.
I.2. THE SINGULAR VALUE DECOMPOSITION 385
(e) Two vectors x, y ∈ C
n
are orthogonal if ¸x, y) = 0. A collection of vectors
¦x
1
, x
2
, , x
m
¦ ∈ C
n
is said to be an orthonormal set if each vector
has Euclidean norm equal to one, and if the set of vectors is mutually
orthogonal:
¸x
i
, x
j
) =
_
0, i ,= j
1, i = j
(I.5)
(f) Consider a subspace A ⊆ C
n
. The orthogonal complement of A, denoted
A

, is defined as the set of vectors in C
n
that are orthogonal to every
vector in A:
A

¦x ∈ C
n
: ¸x, y) = 0, ∀y ∈ A¦ . (I.6)
(g) A matrix U ∈ C
n×n
is unitary if U
H
U = UU
H
= I
n
. The columns of a
unitary matrix U form an orthonormal basis for C
n
. Indeed, denote the
columns of U by U =
_
u
1
u
2
u
n
¸
. Then
U
H
U =
_
¸
¸
¸
_
u
H
1
u
1
u
H
1
u
2
u
H
1
u
n
u
H
2
u
1
u
H
2
u
2
u
H
2
u
n
.
.
.
.
.
.
.
.
.
.
.
.
u
H
n
u
1
u
H
n
u
2
u
H
n
u
n
_
¸
¸
¸
_
=
_
¸
¸
¸
_
1 0 0
0 1 0
.
.
.
.
.
.
.
.
.
.
.
.
0 0 1
_
¸
¸
¸
_
, (I.7)
and it follows that ¦u
1
, . . . , u
n
¦ satisfy (I.5).
I.2 The Singular Value Decomposition
We now define the SVD and explore many of its interesting properties. For
proofs of those results not found here, see [11].
Proposition I.1 Consider A ∈ C
m×n
. Then there exist unitary matrices
U =
_
u
1
u
2
u
m
¸
∈ C
m×m
, (I.8)
V =
_
v
1
v
2
v
n
¸
∈ C
n×n
(I.9)
such that
A =
_
¸
¸
_
¸
¸
_
U
_
Σ
0
_
V
H
, m ≥ n
U
_
Σ 0
¸
V
H
, m ≤ n
(I.10)
386 Appendix I: SINGULAR VALUE DECOMPOSITION
where
Σ =
_
¸
¸
¸
_
σ
1
0 0
0 σ
2
0
.
.
.
.
.
.
.
.
.
.
.
.
0 0 σ
p
_
¸
¸
¸
_
, (I.11)
p min¦m, n¦, and σ
1
≥ σ
2
≥ ≥ σ
p
≥ 0.
We refer to σ
i
, u
i
, and v
i
as the i’th singular value, left singular vector,
and right singular vector, respectively. Each singular value and the associated
pair of singular vectors satisfy
Av
i
= σ
i
u
i
, A
H
u
i
= σ
i
v
i
, i = 1, . . . , p. (I.12)
The singular values and vectors may be used to express A as the summation
A =
p

i=1
σ
i
u
i
v
H
i
. (I.13)
Singular Values and the Euclidean Matrix Norm
The largest singular value, σ
max
σ
1
is equal to the Euclidean matrix norm
of A:
σ
max
(A) = |A|
2
= max
v=0
|Av|
2
|v|
2
(I.14)
The smallest singular value, σ
min
σ
p
, satisfies
σ
min
(A) =
_
¸
_
¸
_
min
v=0
Av
2
v
2
, m ≥ n
min
v=0
v
H
A
2
v
2
, m ≤ n
(I.15)
If A ∈ C
n×n
invertible, then
σ
min
(A) =
1
|A
−1
|
2
= 1/σ
max
(A
−1
). (I.16)
I.2. THE SINGULAR VALUE DECOMPOSITION 387
Singular Values and Eigenvalues
If A is square, and λ is an eigenvalue of A, then
σ
1
≥ [λ[ ≥ σ
n
. (I.17)
The singular values of A ∈ C
m×n
are related to the eigenvalues of A
H
A
and/or of AA
H
. Let the eigenvalues of these latter matrices be numbered in
order of decreasing magnitude. Then
σ
i
(A) =
_
_
_
_
λ
i
(AA
H
), m ≥ n
_
λ
i
(A
H
A), m ≤ n
(I.18)
Furthermore, the left and right singular vectors are eigenvectors of th ema-
trices A
H
A and AA
H
:
A
H
Av
i
= σ
2
i
v
i
, AA
H
u
i
= σ
2
i
u
i
. (I.19)
Singular Values and Rank Deficiency
Consider A ∈ C
m×n
, and suppose that rank A = r. Then A has precisely r
nonzero singular values:
σ
1
≥ ≥ σ
r
> σ
r+1
= = σ
p
= 0. (I.20)
Furthermore, it follows from (I.13) that
A =
r

i=1
σ
i
u
i
v
H
i
. (I.21)
If A ∈ C
n×n
is invertible, then r = n, and (I.21) implies that
A
−1
=
n

i=1
1
σ
i
v
i
u
H
i
(I.22)
The Four Fundamental Subspaces
The singular vectors may be used to construct bases for the four fundamental
subspaces (A.19)-(A.22) associated with A. Indeed, suppose that rank(A) =
388 Appendix I: SINGULAR VALUE DECOMPOSITION
r. Then
1(M) = span ¦u
1
, u
2
, . . . , u
r
¦ , (I.23)
^(M) = span ¦v
r+1
, v
r+2
, . . . , v
n
¦ , (I.24)
1
row
(M) = ^(M)

= span ¦v
1
, v
2
, . . . , v
r
¦ , (I.25)
^
left
(M) = 1(M)

= span ¦u
r+1
, u
r+2
, . . . , u
n
¦ . (I.26)
The SVD and the Pseudoinverse
The SVD may be used to compute A
#
, the pseudoinverse of A:
A
#
= V
r
Σ
−1
r
U
r
, (I.27)
where
U
r

_
u
1
u
2
u
r
¸
, (I.28)
Σ
r
diag
_
σ
1
σ
2
σ
r
¸
, (I.29)
V
r

_
v
1
v
2
v
r
¸
. (I.30)
Note that A
#
is well defined even if A is rank deficient. If A does have
full rank, then the pseudoinverse is equal to the left or right inverse (cf.
Appendix A):
(i) If m = n and A is nonsingular, then A
#
= A
−1
.
(ii) If m > n, and rank(A) = n, then A is left invertible, and A
#
= A
−L
.
(iii) If m < n, and rank(A) = m, then A is right invertible, and A
#
= A
−R
.
The SVD and Near Rank Deficiency
Many results in the theory of linear systems state that “if such and such
a matrix has full rank, then the linear system posseses such and such a
property”. For example, if the controllability matrix of a linear system has
full rank, then we know there exists an input driving the state of a system
from one given location to another in finite time. Such results are naive,
in that they neglect the fact that a matrix generated from physical data
is almost always full rank. The more important question is not “does a
I.2. THE SINGULAR VALUE DECOMPOSITION 389
matrix have full rank?”, but rather “how close is a matrix to one that is rank
deficient?”. The SVD is a very useful tool in answering this question.
Our next result characterizes the extent to which a nonsingular matrix
may be perturbed before losing rank.
Proposition I.2 Consider A ∈ C
m×n
, and assume that
rank(A) = p = min¦m, n¦. (I.31)
Suppose that A is perturbed:
ˆ
A = A + ∆A.
(i) If |∆A| < σ
min
(A), then
rank(A + ∆A) = p. (I.32)
(ii) There exists a matrix ∆A, with |∆A| = σ
min
(A) such that
rank(A + ∆A) < p. (I.33)
Proof: (i) (We do the case m ≥ n only.) Using the triangle inequality,
(I.14), and (I.15) yields
σ
min
(A + ∆A) = min
v=1
|(A + ∆A)v|
≥ min
v=1
¦|Av| −|∆Av|¦
≥ min
v=1
|Av| − max
v=1
|∆Av|
≥ σ
min
(A) −σ
max
(∆A).
It follows from our hypothesis that
σ
min
(A + ∆A) > 0 (I.34)
and thus that rank(A + ∆A) = p.
(ii) Since rank(A) = p, the decomposition (I.21) holds with r = p. Let
∆A = −σ
p
u
p
v
H
p
. It is easy to see that
A + ∆A =
p−1

i=1
σ
i
u
i
v
H
i
, (I.35)
and thus rank(A + ∆A) = p −1.

390 Appendix I: SINGULAR VALUE DECOMPOSITION
Suppose that rank(A) = p, but A has very small singular values. Then A
is “close” to a singular matrix in the sense that there exists a small pertur-
bation ∆A to the elements of A that causes
ˆ
A to lose rank. Such a matrix
should perhaps be treated in applications as though it were indeed singular.
The Condition Number
In practice, it is often more useful to assess distance to singularity by com-
puting the ratio between the maximum and minimum singular values, rather
than by examining the size of the smallest singular value.
Consider A ∈ C
m×n
and suppose that rank(A) = p = min(m, n). Then
the Euclidean condition number of A is defined as
κ(A)
σ
max
(A)
σ
min
(A)
. (I.36)
Suppose rank(A) = p, but that κ(A) ¸ 1. We now show that A is
“almost rank deficient”, in the sense that calculations involving A
−1
may be
prone to error.
Consider the linear system of equations
Ax = b, (I.37)
where A ∈ C
m×n
, m ≥ n, b ∈ C
n
, and rank(A) = n. Suppose that we are
given the data for A and b and need to solve for x. Let 1(A) denote the
range of A. If b ∈ 1(A), then we may find x from x = A
#
b. In reality,
the elements of A and b will be corrupted by errors. These may arise due to
uncertainty in the problem data. Errors also arise due to numerical roundoff
in the computer representation of the real numbers. We would like to know
how these errors affect the accuracy of the solution vector x. Let
ˆ
A A+∆A
and
ˆ
b b + ∆b denote true values of A and b, let ˆ x denote the solution to
ˆ
Aˆ x =
ˆ
b (I.38)
and define ∆x ˆ x −x. Our next result relates errors in A and b to errors in
the computed value of x; a proof is obtained through a sequence of homework
exercises in [11].
Proposition I.3 Suppose that ∆A and ∆b satisfy the bounds
|∆A|
σ
min
(A)
≤ α < 1, (I.39)
I.2. THE SINGULAR VALUE DECOMPOSITION 391
and
max
_
|∆A|
|A|
,
|∆b|
|b|
_
≤ δ. (I.40)
Then
|∆x|
|x|

_

1 −α
_
κ(A). (I.41)

It follows from this result that if κ(A) ¸ 1, then small relative errors
in A and b may result in large relative errors in the computed value of x.
One should be cautioned, however, that this error estimate is only an upper
bound. Hence, the computed answer is not guaranteed to be incorrect. How-
ever, there are non-pathological examples for which the upper bound on the
error is achieved! Hence, if no additional information is available, the answer
to any calculation involving the inverse of a matrix that is ill-conditioned
(i.e., κ(A) ¸1) should be viewed dubiously.
Example I.4 Consider
A =
_
1 100
0 1
_
.
Then A is clearly nonsingular, and has condition number κ(A) ≈ 10
4
. Sup-
pose that A is obtained from physical data. Then the elements of A may be
subject to small errors that make computations with A
−1
problematic. To
illustrate, suppose that
ˆ
A =
_
1 100
0.009 1
_
.
Even though A and
ˆ
A differ but slightly, their inverses differ significantly:
A
−1
=
_
1 −100
0 1
_
,
ˆ
A
−1
=
_
10 −1000
−0.09 10
_
On the other hand, consider an error of the same magnitude in a different
element of A:
ˆ
A =
_
1.009 100
0 1
_
.
Then there is little difference between the inverses of A and
ˆ
A:
ˆ
A
−1
=
_
0.99 −99
0 1
_
.

392 Appendix I: SINGULAR VALUE DECOMPOSITION
I.3 Scaling and Units
There is a difficulty associated with using σ
min
(A) and/or κ(A) as measures
of distance to singularity. Namely, the size of these quantities varies with
scaling. For example, consider the equation
Ax = b, x ∈ C
p
, b ∈ C
q
,
where the elements of the vectors represent some physical variables.
Suppose that we change the units used to measure the elements of x and
b:
b
new
D
−1
1
b, x
new
D
−1
2
x (I.42)
where D
1
and D
2
are diagonal matrices whose diagonal elements are all real
and positive. (The use of inverses is to conform with the notation in [11]; it
also suggests the common practice of scaling signals by their nominal values.)
It is easy to show that b
new
and x
new
satisfy
b
new
= A
new
x
new
, (I.43)
where
A
new
= D
−1
1
AD
2
. (I.44)
It follows that changing units for the physical quantities related by A corre-
sponds to scaling A by diagonal matrices. It is easy to show that the singular
values and condition number of A
new
may be very different than those of the
original matrix.
Example I.5
A =
_
1 100
0 1
_
,
for which σ
min
= 0.01 and κ(A) = 10, 000. If we choose
D
1
=
_
1 0
0 d
1
_
, D
2
=
_
1 0
0 d
2
_
,
then
A
new
= D
−1
1
AD
2
=
_
1 100d
2
0
d
2
d
1
_
.
It follows that, by changing units so that d
1
= d
2
¸ 1, we can make the
condition number and singular values of A
new
arbitrarily close to one.
I.4. FEASIBILITY OF SETPOINT TRACKING 393
This means that the matrix is no longer “almost singular”? Does it also
mean that the physical property that depended upon A being full rank is
now present robustly? Maybe and maybe not. It all depends if the units of
A
new
are physically reasonable. The latter condition is a qualitative one that
depends upon good engineering sense. For example, if one were studying
deposition rates of a metal oxide film on a silicon substrate, measuring speed
in terms of microns/minute might be very appropriate. If, in order to obtain
a nice “A” matrix, we had to change these units to furlongs/fortnight, then
it would be very difficult to interpret our answer.
Unfortunately, finding a physically reasonable set of units with which to
work is sometimes problematic. In a MIMO feedback system, we may be
comparing very different types of signals, for example, voltages, pressures,
speeds, temperatures. Our choice of units will dictate the conditioning of
various matrices, such as the DC gain matrix. To draw conclusions from the
condition number, we must nevertheless have units that make comparisons
between different physical quantities meaningful.
Singular Values and the Triangle Inequality
Lemma I.6 For any constant matrix M,
σ
min
(I +M) ≥ 1 −σ
max
(M). (I.45)
Proof: Using the triangle inequality yields:
σ
min
(I +M) = min
u
2
=1
|(I + M)u|
2
≥ min
u
2
=1
¦|u|
2
−|Mu|
2
¦
≥ 1 − max
u
2
=1
|Mu|
2
= 1 −σ
max
(M)

I.4 Feasibility of Setpoint Tracking
Consider a linear system with outputs y(t) ∈ R
p
, inputs u(t) ∈ R
p
, and trans-
fer function P(s). Suppose for simplicity that P(s) has no poles at the origin.
394 Appendix I: SINGULAR VALUE DECOMPOSITION
We have seen that if P(0) is nonsingular, then we may achieve zero steady
state tracking error through use of integral control or precompensation.
What happens if P(0) is nonsingular, but almost rank deficient, in the
sense that
σ
min
(P(0)) ¸1 (I.46)
and/or
κ(P(0)) ¸1? (I.47)
To answer this question, suppose first that we have implemented any control
scheme that results in zero steady state tracking error. Then the response of
the control input and system output to a commanded value y

satisfies
y(t) →y
ss
= y

(I.48)
u(t) →u
ss
= P
−1
(0)y
ss
. (I.49)
It follows that if (I.46) holds, then the response of the control signal to certain
output commands will be very large. In practice, the size of the control
signal will be limited by saturation constraints, and thus a DC gain matrix
that is almost rank deficient in the sense that (I.46) is satisfied may not
allow tracking of any but very small setpoint commands. Furthermore, small
changes in the plant parameters may result in the true DC gain matrix
ˆ
P(0)
being singular. Hence the feasibility condition required to achieve setpoint
tracking is not robust with respect to small model errors.
Suppose next that we use integral control to achieve setpoint tracking.
Then if the true plant is singular, the system will become unstable. Suppose,
however, that the system remains stable. Then the integrators will enforce
setpoint tracking, which may result in excessively large control signals. Fur-
thermore, if (I.47) is satisfied, then small changes in the system parameters
may lead to large changes in the resulting control signal. Hence, even if the
nominal DC gain matrix indicates that the control signal needed to track
desired setpoints is not excessive, the actual control signal may be too large.
Example I.7 Consider the advanced technology diesel engine depicted in
Figure I.1. This engine has two novel actuators, exhaust gas recirculation,
EGR, and a variable geometry turbocharger, V GT. The presence of the
EGR actuator implies that some of the gases in the exhaust manifold will
I.4. FEASIBILITY OF SETPOINT TRACKING 395
reenter the intake manifold, and thus the intake manifold will contain burned
fuel. The turbocharger converts some of the energy of the exhaust gas into
mechanical energy that drives a compressor, thus increasing the density of air
supplied to the engine. By varying the geometry of the turbocharger vanes,
the air flow to the engine can be controlled.
It is desired to use these actuators in a feedback control scheme for the
purpose of regulating F
1
, the fraction of burned gas in the intake manifold,
and AFR, the ratio of air to fuel in the cylinder. These variables are known
to be closely connected with emissions of smoke and oxides of nitrogen, both
harmful pollutants. Unfortunately, neither F
1
nor AFR is measurable for
real time feedback control. However, sensors do exist for W
c1
, the airflow
through the compressor, and p
1
, the pressure in the intake manifold. Hence
in this control problem the performance outputs, measured outputs, and
control inputs
z =
_
F
1
AFR
_
, y =
_
W
c1
p
1
_
, u =
_
EGR
V GT
_
.
respectively.
Consider a small signal model of the engine linearized about an operating
condition that yields optimum emissions reduction, and henceforth let y, z,
and u denote deviations from these nominal values. Let P
y
(s) and P
z
(s)
denote the transfer functions from u to y and z. It may be determined
experimentally that
P
y
(0) =
_
0.84 1.80
−1.1 −2.1
_
, P
z
(0) =
_
0.23 −0.55
−0.90 1.84
_
.
Even though the performance outputs are not measurable, we shall sup-
pose that we do have sensors for these variables, and consider the integral
feedback control system of Figure I.2. Doing so will allow us to illustrate po-
tential difficulties in controlling systems whose DC gain matrices are almost
rank deficient. Note that
σ
min
(P(0)) = 0.034, κ(P(0)) = 63. (I.50)
The control signal required to track the command z

=
_
1 −1
¸
T
is u
ss
=
_
−18 −9.3
¸
T
. Suppose, however, that the actual DC gain matrix is given
by
P
z
(0) =
_
0.23 −0.55
−0.80 1.84
_
.
396 Appendix I: SINGULAR VALUE DECOMPOSITION
N
tc
m
2
P
2
F
2
m
1
P
1
F
1
W
f
Engine
W
cyl
W
t
W
egr
nzl
θ
egr
χ
Figure I.1: Diesel Engine with Exhaust Gas Recirculation and a Variable
Geometry Turbocharger
P
z
(s)
C
0
(s)
s
Σ
-
u
z
z*
Figure I.2: Integral Feedback with z Measurements
I.4. FEASIBILITY OF SETPOINT TRACKING 397
Then the control signal is considerably larger: u
ss
=
_
−77 −34
¸
T
.
Of course, as discussed in Section I.3, one must carefully assess the choice
of units when determining whether κ(P(0)) is too large or σ
min
(P(0)) too
small.
398 Appendix I: SINGULAR VALUE DECOMPOSITION
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