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Lecture 8: LMIs, Model Reduction and Summary [Ch.

11-12]

Elling W. Jacobsen, Automatic Control Lab, KTH

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Todays program

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Linear Matrix Inequalities

Linear Matrix Inequality (LMI)

F

0

+F

1

x

1

+F

2

x

2

+. . . F

m

x

m

> 0

where

x = [x

1

. . . x

m

] is a real vector

F

i

, i = 0, m are symmetric real matrices

An LMI imposes a convex constraint on x

T

x subject to LMI

Old problem, efcient solvers now available

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Example 1: Linear stability problem

LTI system

x = Ax(t )

T

Px > 0 with

V(x) < 0 iff

P = P

T

> 0, A

T

P +PA < 0

two inequalities into one big matrix)

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Example 2: Linear robust stability problem

Polytopic LTV system

1

, . . . , A

L

}

P = P

T

> 0 , A

T

i

P +PA

i

< 0, i = 1, . . . L

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Optimization problems: H

-norm

Consider LTI system

x = Ax(t ) +Bw(t )

z(t ) = Cx(t ) +Dw(t )

The H

norm of G

yw

is equivalent to solving

min s.t .

_

_

A

T

P +PA PB C

T

B

T

P I D

T

C D I

_

_

< 0, P > 0

i.e., minimization subject to LMI.

min

D

(D

1

ND) is another example that can be cast as an

optimization problem with LMI constraint.

-optimal control,

can be obtained via LMI feasibility problem.

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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LMIs in contol - the Essence

as LMI problems convex optimization problems for

which efcient algorithms exist (e.g., interior point

methods)

solvers in Robust Control toolbox.

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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The LTI Model Reduction Problem

Given minimal state-space model (A, B, C, D)

x = Ax(t ) +Bu(t ) x R

n

,u R

m

y(t ) = Cx(t ) +Du(t ) y R

l

or, as input-output model

Y(s) =

_

C(sI A)

1

B +D

. .

G(s)

U(s)

x

r

= A

r

x(t ) +B

r

u(t ) x

r

R

k

,u R

m

y(t ) = C

r

x

r

(t ) +D

r

u(t ) y R

l

G

a

(s) = C

r

(sI A

r

)

1

B

r

+D

r

with k < n, such that the predicted input-output behavior is close

in some sense, e.g., G G

a

is small

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Why Model Reduction?

time for dynamic simulation is approximately proportional to

n

3

(if A dense)

in particular, important for real time applications, e.g.,

controllers

order at least equal to model order, usually signicantly higher.

Thus, to obtain low order controller

reduce model order prior to control design, or

reduce controller order after design

A multitude of model reduction methods. Here we will consider those

most commonly employed in linear control theory.

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Truncation and Residualization

Divide state vector x into two vectors x

1

and x

2

of dimension k and

n k, respectively

x

1

= A

11

x

1

(t ) +A

12

x

2

(t ) +B

1

u(t )

x

2

= A

21

x

1

(t ) +A

22

x

2

(t ) +B

2

u(t )

y(t ) = C

1

x

1

(t ) +C

2

x

2

(t ) +Du(t )

We aim at removing the state vector x

2

, i.e., obtain a kth order model

from an nth order model

Truncation: let x

2

= 0, i.e., remove x

2

from state-space model

Residualization: let

x

2

= 0, i.e., x

2

becomes an algebraic

variable which depends on x

1

and u

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Truncation

With x

2

= 0 we get

(A

r

, B

r

, C

r

, D

r

) = (A

11

, B

1

, C

1

, D)

general case

arrange the states so that x

2

correspond to the fastest modes,

i.e., largest magnitude eigenvalues

i

) then

G(s) =

n

i =1

c

i

b

T

i

s

i

G(s) G

a

(s) =

n

i =k+1

c

i

b

T

i

s

i

G G

a

i =k+1

(c

i

b

T

i

)

|Re(

i

)|

note: must assume stable G(s)

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Truncation contd

The H

error bound

n

i =k+1

(c

i

b

T

i

)

|Re(

i

)|

depends not only on eigenvalues of fast modes, but also on the

terms (residues) c

i

b

T

i

, i.e., the effect of inputs u on x

2

and effect

of x

2

on outputs y

At =

G

a

(i ) = G(i ) = D

Thus, no error at innite frequency

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Residualization

With

x

2

= 0 we get (assume A

22

invertible)

x

2

(t ) = A

1

22

A

21

x

1

(t ) A

1

22

B

2

u(t )

and elimination of x

2

from partitioned model then yields

x

1

(t ) = (A

11

A

12

A

1

22

A

21

)x

1

(t ) + (B

1

A

12

A

1

22

B

2

)u(t )

y(t ) = (C

1

C

2

A

1

22

A

21

)x

1

(t ) + (D C

2

A

1

22

B

2

)u(t )

r

, B

r

, C

r

, D

r

) =

(A

11

A

12

A

1

22

A

21

, B

1

A

12

A

1

22

B

2

, C

1

C

2

A

1

22

A

21

, DC

2

A

1

22

B

2

)

to Jordan form rst

At zero frequency

G

a

(0) = G(0)

follows from the fact that

x

2

0 at steady-state

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Comments on Truncation and Residualization

s

1

s

reduction errors since total effect of states on input-output

behavior not necessarily related to the speed of response

small overall effect of removed states on input-output behavior

balancing

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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The Controllability Gramian

from u(t ) to x(t ) given by

X(t ) = e

At

B

P(t ) =

_

t

0

X()X

T

()d =

_

t

0

e

A

BBe

A

T

P = lim

t

P(t )

equation

AP +PA

T

+BB

T

= 0

states. Essentially, measures the effect of the inputs on the

different states

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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The Observability Gramian

The state space model (A, B, C, D) with input u(t ) = 0 and initial

state x(0) = x

y(t ) = Ce

At

x

_

t

0

y

T

()y()d = x

T

_

t

0

e

A

T

C

T

Ce

A

d

. .

Q(t )

x

Q = lim

t

_

t

0

e

A

T

C

T

Ce

A

d

equation

A

T

Q +QA +C

T

C = 0

states. Essentially, measures the effect of states on outputs

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Balanced Realizations

Consider the nth order stable state space model (A, B, C, D) with

controllability and observability gramians P and Q, respectively

b

(t ) = Tx(t )

so that the transformed state space model

x

b

= TAT

1

x

b

(t ) +TBu(t )

y(t ) = CT

1

x

b

(t ) +Du(t )

has controllability and observability gramians

P = Q = diag(

1

, . . . ,

n

);

i

=

_

i

(PQ)

where the Hankel singular values

1

>

2

> . . . >

n

Each state x

bi

in the balanced realization is as observable as it is

controllable, and

i

is a measure of how controllable/observable

it is

i

has a relatively small effect on

the input-output behavior and can hence be removed without

signicantly affecting the predicted input-output behavior

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Balanced Truncation and Residualization

partitioning

A =

_

A

11

A

12

A

21

A

22

_

, B =

_

B

1

B

2

_

, C =

_

C

1

C

2

_

P = Q =

_

1

0

0

2

_

where

1

= diag(

1

, . . . ,

k

) and

2

= diag(

k+1

, . . . ,

n

)

corresponding to

1

will both have model reduction error

G G

k

a

2

n

i =k+1

i

twice the sum of the tail

emphasize certain frequency ranges, However, this introduces

extra states and it is furthermore usually non-trivial to choose

weigths that give the desired result

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Optimal Hankel Norm Approximation

E(s)

H

=

1

=

_

(PQ)

i.e., equals the maximum Hankel singular value of E(s)

G G

k

a

H

for a given order k of the reduced order model

For stable square G(s) the optimal Hankel norm kth order

approximation can be directly computed and has Hankel norm

error

G G

k

a

H

=

k+1

k

a

The minimum -norm of the error is

min

D

G G

k

a

i =k+1

i

i.e., sum of the tails only

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Unstable models

Balanced truncation and residualization and optimal Hankel norm

approximations applies to stable G(s) only. Two tricks to deal with

unstable models

1. Separate out unstable part before performing model reduction of

stable part

G(s) = G

u

(s) +G

s

(s) G

a

(s) = G

u

(s) +G

sa

(s)

2. Consider coprime factorization of G(s)

G(s) = M

1

(s)N(s)

with M(s) and N(s) stable. Apply model reduction to [M(s) N(s)]

and use

G

a

(s) = M

1

a

(s)N

a

(s)

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Model Reduction in Matlab

factors

Homework 8: test it out yourself! (no hand in).

use e.g., rss(n) to generate a random stable state-space

model with n states.

compare step and frequency responses of different

reduced models

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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Very Brief Course Summary

Lecture 1:

hard limitations, imposed by the system itself and (ii)

models are always uncertain

the weighted H

-norm

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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directions

SISO: RS + NP RP

for analysis of RS

MIMO: RS + NP = RP

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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synthesis: min

K

P

m

, m = 2,

H

2

- generalized LQG

feedback

followed by robust stabilization

Lecture 8: LMIs, Model Reduction and Summary FEL3100 MIMO Control

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The Final Moment

Exam:

calculator

which you want to take it (give at least 3 days notice)

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