Labview Control Design and Simulation Module: Algorithm References

LabVIEW Control Design and
Simulation Module
Algorithm References
This document contains an index of Control Design VIs that use specific
algorithms to calculate the output of the VI. These algorithms include ones
derived by National Instruments and published algorithms. Table 1-1 lists
the VIs of the LabVIEW Control Design and Simulation Module that use
special algorithms to calculate the VI outputs. Table 1-1 lists the VIs by
palette. The first column contains the name of the palette, the second
column contains the name of the VI, and the third column provides the
name of the algorithm and links to the sections that contain the algorithm
derivation.
The derivations of the algorithms are located in sections that follow
Table 1-1. Each section also contains references to published algorithms,
which National Instruments used to implement the Control Design VIs.
This document also contains the derivations of the Lyapunov and Sylvester
Equations and the Riccati Equations.
Table 1-1. Algorithm References for Control Design VIs
Palette Name
Dynamic Characteristics
VI Name
CD Covariance
Response VI
Reference
Lyapunov Equation Solver
Discrete Lyapunov Equation Solver
Staircase
CD DC Gain VI
Convert State-Space Model to

Transfer Function Model
Staircase
CD Norm VI

State-Space Norm
Staircase
CD Parametric Time
Response VI

Linear Response
Staircase
Zero-Order-Hold
CD Pole-Zero Map VI
Staircase
Transmission Zeros (State-Space)
CD Root-Locus VI

Root Locus Plots
Control Design and Simulation Module Algorithm Reference
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Table 1-1. Algorithm References for Control Design VIs (Continued)
Palette Name
Frequency Response
VI Name
Reference
CD All Margins

All Margins (Linear System)
CD Bandwidth

CD Bode

Bode, Nyquist, and Nichols Analysis
CD Gain and
Phase Margins VI

Gain and Phase Margin (Linear
System)
CD Nichols VI

CD Nyquist VI

CD Singular Values VI

Singular Values
Staircase
National Instruments Corporation
Palette Name
Model Construction
VI Name
CD Construct Special
Model VI
Reference
First-Order-Hold
Pade Approximation of Delay for a
SISO Transfer Function Model
Staircase
Tustins Transformations
Zero-Order-Hold
Model VI PID Academic

First-Order-Hold
Staircase
Zero-Order-Hold
Model VI PID Parallel

First-Order-Hold
Staircase
Zero-Order-Hold
Model VI PID Series

First-Order-Hold
Staircase
Zero-Order-Hold
CD Draw Transfer Function

Equation VI

CD Draw Zero-Pole-Gain
Equation VI

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Palette Name
Model Conversion
VI Name
Reference
CD Convert Delay with

Pade Approximation VI

Staircase
CD Convert Continuous to
Discrete VI

First-Order-Hold
Staircase
Zero-Order-Hold
Convert Continuous Model to
Discrete Model with Input Delay
CD Convert Discrete to
Continuous VI

Staircase
Zero-Order-Hold
CD Convert Discrete to
Discrete VI

First-Order-Hold
Staircase
Zero-Order-Hold
CD Convert to State-Space
Model VI
Staircase
CD Convert to Transfer
Function Model VI

CD Convert to
Zero-Pole-Gain Model VI

CD Convert Delay to Poles

at Origin VI

Covert Transfer Function Model to

State-Space Model
Staircase
Control Design
and Simulation Module Algorithm Reference
Palette Name
Model Interconnections
VI Name
Reference
CD Append VI
Staircase
CD Feedback VI

Staircase
Unit Feedback
CD Parallel VI

Staircase
CD Series VI

Staircase
Model Reduction
CD Minimal Realization VI
Staircase
Canonical State-Space Realization
Minimal State-Space Realization
CD Model Order
Reduction VI
Model Order Reduction
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Palette Name
State Feedback Design
VI Name
Reference
CD Ackermann
Ackermann
CD Kalman Gain VI
Continuous Algebraic Riccati

Equation Solver
Discrete Algebraic Riccati Equation
Solver
Hamiltonian Reduction Algorithm
for Solving Riccati Equations
Kalman Gain
Equation Somer via Schur and QZ
Solver via Schur and QZ
Full Rank Factorization
CD Linear Quadratic
Regulator VI

Equation Solver
Solver
Hamiltonian Reduction Algorithm
for Solving Riccati Equations
Equation Somer via Schur and QZ
Solver via Schur and QZ
CD Pole Placement VI

Pole Placement
CD State Estimator
State Estimator and State-Space

Controller
Unit Feedback
CD State-Space Controller
State Estimator and State-Space

Controller
Unit Feedback
Palette Name
State-Space Model
Analysis
VI Name
CD Balance State-Space
Model (Grammians)
Reference
Grammians
Balancing
CD Controllability
Staircase VI
Staircase
CD Grammians VI

Grammians
Time Response
CD Observability
Staircase VI
Staircase
CD Impulse Response VI
Linear Response
Staircase
Zero-Order-Hold
CD Initial Response VI
Linear Response
Staircase
Zero-Order-Hold
CD Linear Simulation VI
First-Order-Hold
Linear Simulation
Staircase
Zero-Order-Hold
CD Step Response
Linear Response
Staircase
Zero-Order-Hold
Stochastic Systems
CD Correlated Gaussian
Random Noise
Generating Correlated Gaussian

Random Vectors
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Palette Name
Implementation
VI Name
Reference
CD Current Observer
Corrector / Predictor
Implementation Current Observer

(Point-by-Point)
CD Predictive Observer
Implementation Predictive Observer

(Point-by-Point)
CD Discrete Recursive
Kalman Corrector /
Predictor
Adjust Stochastic State-Space System

with Non-Zero-Mean Noise
Excitation
Discrete-Time Recursive Kalman
Filter
Implementation
(Simulation Module)
CD Continuous Observer
Implementation Continuous
Observer (Point-by-Point)
CD Continuous Recursive
Kalman Filter
ContinuousTime Recursive
Kalman-Bucy Filter
Adjust Stochastic State-Space System
with Non-Zero-Mean Noise
Excitation
Pole Placement
Assume the pair (A, B) is controllable and consider K the controller gain
such that it places the poles, Eig(A BK), in the location you specify.
Then, there exists a similarity transformation T such that
1
T ( A BK )T =
Where represents the user-defined poles along the diagonal. Rearranging
the terms, you get the following equation.
AT + BKT = T
AT T = BKT
When KT is unknown, set KT equal to G. You get the following equation.
AT T = BG
Note that T must be invertible. Therefore, (, G) should be observable
Eig ( ) Eig ( A ) = 0
The CD Pole Placement VI is implemented such that G is random but
(, G) is observable.
Reference:
Varga, A. Robust Pole Assignment via Sylvester Equation Based State
Feedback Parametrization. IEEE International Symposium on Computer
Aided Control Systems Design, CACSD' 2000. Anchorage, AK, 2000.
Singular Values
Consider a system defined in terms of the state space model, and the
equivalent transfer function model, shown below.
1
(s)
x = Ax + Bu X ( s ) = ( Is A ) 1 BU ( s ) Y
----------- = C ( Is A ) B + D
U(s)
y = Cx + Du
Y ( s ) = CX ( s ) + DU ( s )
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The CD Singular Values VI calculate the eigenvalues of the following

equation:
(): [(I A)1B + D)]
This calculation uses a singular values decomposition. To show this result
in decibels, you convert as 20log(w).
First-Order-Hold
This algorithm implements what is called the triangle-hold equivalent of a
first-order hold. The effect of this hold is to extrapolate samples and
connect them in a straight line. In discrete form, this extrapolation is
non-causal. You derive the filter that does this extrapolation as follows.
Consider the following unit impulse.
A first-order hold transfer function gives the following impulse response.
In order to construct this function in the s-domain, apply the superposition

principle of ramp functions.
11
1
As shown in the figure, the ramp has a slope of --- , which you can describe
T
in the s-domain as follows:
1
slope = ---2s
Ts
e 1
At time T, the ramp starts at -----2- --- .
s T
21
At time 0, the ramp changes the sign of the slope ---- --- .
2
Ts
s T
e--------- --1At time T, the response levels are 2 .
s T
The composite transfer function becomes
T
e s 2 + e -s
H(s) = -----------------------------2
s T
Placing the first-order hold in series with the system transfer function G(s),
you get the following:
T
e s2+e s
- *G(s)*U(s)
Y(s) = H(s)*G(s) *U(s)= -----------------------------2
s T
Define the unit impulse function as
T
U(s) = (e s 2 + e
Ts
)U ( s )
and the auxiliary input variables as

sW ( s ) = U ( s )
sTV ( s ) = W ( s )
By applying the Inverse Laplace Transform to the definitions above and
expressing G(s) in state-space form, you get the following:
x = Ax + Bv
v = w
---T
x w = u(t + T)(t + T) 2u(t)(t) + u(t T)(t T) = u
You can place these expressions in one state-space model, as illustrated in
the following expression:
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x
v
w
A B 0
= 0 0 --IT
0 0 0
(t)
0
+ 0 u
1
x
v
(t)
where u represents the unit impulse function. This model is shown in the
following figure.
( t ) = M ( t ) + Bu
e
At
(t) e
Mt
M ( t ) = e
Mt
Bu
Mt
Mt
de ( t )
----------------------- = e Bu
dt
Looking at the Zero-Order-Hold solution for the equation above,

Mt
[ ( K + 1 )T ] = e [ KT ] +
( K + 1 )T M [ t ( K + 1 )T ]
KT
Budt
in which case the impulse response becomes
u = u[(K 1)T](t (K 1)T) 2u(KT)(t KT) +

u[(K + 1)T](t (K + 1)T)
because u only consists of impulses
13
( K + 1 )T
f ( t ) ( t KT ) =
KT
KT
f( t) = 0
KT
Similarly for (t (K + 1)T)

[ ( K + 1 )T ] = e
MT
[ KT ]
Using Taylor Series expansion to evaluate the exponential of a matrix, you

get the following:
2
( MT )
eMT = I + MT + ---------------- +... =
2!
i=0
( MT )
--------------i!
In the case of matrix M,
M0
2
A B 0
A AB B T
2
= I; M = 0 0 1 T ; M = 0 0
0 ;
0 0 0
0 0
0
1
i1
i2
A A B ABT
A A B A BT
i
M = 0 0
0 ; ... ; M = 0
0
0
0 0
0
0
0
0
3
Substituting of such terms into the Taylor Series Expansion results in the
following:
MT
i=0
( MT )
--------------- =
i!
( AT )
i=0
( AT )
i1
i=1
0
0
( AT )
i2
i=2
1
0
1
1
To simplify the expression for eMT, define the following matrices,
( AT ) , 1 =
i=0
i=1
14
( AT )
i1
B , 2 =
( AT )
i2
i=2
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which give
MT
1 2
=
0 I 0
0 0 I
Therefore
1 2 x ( k )
x(k + 1)
v(k + 1) = 0 1 0 v( k)
w(k + 1)
0 0 1 w(k)
x(k + 1) = x(k) + 1v(k) + 2w(k)
Based on Franklin Powell
v(k) = u(k)
w(k) = u(k + 1) u(k)
substituting into the state-space model results in the following:
x(k + 1) = x(k) + 1u(k) + 2[u(k + 1) u(k)]
= x(k) + [1 2]u(k) + 2u(k + 1)
Because all k + 1 terms need to be on the right-hand side of the equation,
you need the following definition:
(k) = x(k) 2u(k)
Evaluating the previous equation at k + 1 results in the following:
( 1 2 )u ( k )
(k + 1) = x(k + 1) 2u(k + 1) = x ( k ) + 1 u ( k ) 2 u ( k )
= [x(k) 2u(k)] + 2u(k) + (1 2)u(k)
= [x(k) 2u(k)] + [1 2 + 2]u(k)
= (k) + [1 2 + 2]u(k)
15
From this expression you can recognize the following system matrix, which
is equivalent for the state dynamics,
F.O.H
Ad
F.O.H
= , B d
= 1 2 + 2
and for the output calculation,

y(k) = Cx(k) + Du(k)
= C[x(k) 2u(k)] + C2u(k) + Du(k)
= C(k) + [C2 + D]u(k)
F.O.H
Cd
F.O.H
= C, D d
= C2 + D
Notice that because the change of variables are made to have all k + 1 terms
on the left-hand side of the system equation, the initial conditions are
affected by the inputs at time t = 0 in the following manner:
F.O.H
Initial Conditions: (0) = x d
(0) = x(0) 2u(0)
= [ I 2 ] x ( 0 ) , ICMAT = [I 2]
u(0)
where ICMAT is used to calculate the initial conditions based on the new
set of states, .
Reference:
Franklin, G.F., J. D. Powell, and M. L. Workman. Digital Control of
Dynamic Systems, 3th ed., p. 204. Reading, MA: Addison-Wesley, 1997.
Linear Response
Linear Response for continuous systems: After applying a zero-order-hold
conversion from continuous to discrete, the following assumptions are
made to the input profile:
In the case of a unit step, the input is hold at 1
In the case of an impulse response, you look at the effect of the impulse
before the system has been converted to discrete form. Therefore, in a
continuous system,
x = Ax + Bu
y = Cx + Du
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Taking the Laplace transform,

X(s)s x(0) = AX(s) + Bu(s)
X(s) = (Is A)1[x(0) + Bu(s)]
Because u(s) of impulse (0) is 1, you get
X(s) = (Is A)1[x(0) + B]
Impulse enter to the system as if you were using or shifting initial conditions.
*
Therefore, for impulse in input i, x i ( 0 ) = x(0) + bi, where bi is the ith column of B.
Therefore, the system is discretized and the impulse enters as an initial condition
equivalent to bi.
Note
Linear Simulation
Discrete System:
x(k + 1) = Ax(k) + Bu(k)
y(k) = Cx(k) + Du(k)
which makes integration straightforward after initial conditions are
defined.
Continuous System:
The system must be discretized, and the initial conditions must be adjusted
properly depending on the discretization method.
For Zero-Order-Hold: (Ac, Bc, Cc, Dc) (Ad, Bd, Cd, Dd)
IC not a function of u0. Integration is identical to Discrete Systems.
First-Order-Hold: Based on the algorithm in the First-Order-Hold section,
the initial conditions needs to be re-evaluated based on the change of
variables.
( k ) x ( k ) 2 u ( k )
which you can evaluate at t = 0.
( 0 ) = [ I 2 ] x ( 0 )
u(0)
17
Unit Feedback
Consider the following continuous state-space model.
x = Ax + Bu
y = Cx + Du
for unit feedback in the SISO case, as shown in the following figure.
Notice there is no one-to-one correspondence between r and y in the MIMO

case, as shown in the following figure.
Therefore, a Matrix describes connectivity for the feedback path. For

example, in the figure above, you obtain that:
y 2'
y 1'
0 0 1
1 0 0
y1
y2
y3
where u = r + y' = r + y
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Substituting, you get the following:

y = Cx + D(r + y)
y = (I D)1Cx + (I D)1Dr
1
or y = Cx + Dr , where C = ( I D ) C , D = ( I D ) CD .
Substituting the previous expressions in the state-space model dynamics
expression gives:
x = Ax + Bu
= Ax + B(r + y)
where y is a function of the states and the reference, r:
= Ax + B(r + Cx + Dr )
grouping common terms for the states and the reference:
= (A + BC )x + B(I + D )r
In this manner the equivalence of A and B matrices are identified:
A = A + B(I D)1C
B = B(I + (I D)1D)
In summary,
19
is equivalent to
If (I D) is not invertible, there is at least one unfeasible ri, as the

following example illustrates.
A = 0, B = 0, C = 0, D = 1 0
0 1
and connectivity
u1 = r1 y1
u2 = r2 y2
u = r+y
from G
y=u
Therefore r is not an independent input to the system but identical to the
null vector r = 0.
r is not chosen but fixed. In this case, you cannot calculate the unit
feedback transfer function.
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Grammians
Controller Continuous: By definition the Controllable Grammians is given
by the following expressions
W c (0,t f)
t f A
T A
e BB e
and
W c lim W c (0,t f)
tf
The easier way to calculate the grammians is by pre and post multiplying
Wc by A and AT, and adding the two terms, as illustrated below:
T
AW c + W c A = A
A
0
T A
e BB e
d +
A
0
T A
e BB e
dA
Notice that the right-hand side of the equation can be grouped in the
following way:
d(e
T A
BB e )
------------------------------------- d
d
0
T
T A
= e BB e
= BB
Substituting the end values into the expression above and considering that
for stable systems the exponential goes to zero at infinite, you get the
following expression:
AWc + WcAT + BBT = 0
which solved using Lyapunov.
Observer Continuous: By definition the Observable Grammians is given by
the following expressions:
W 0 (0,t f) =
tf AT
e
0
21
C Ce d , W 0 lim W 0 (0,t f)
tf
Following an identical reasoning than for the Controller Grammians, you

obtain the following expression:
T
A W0 + W0 A + C C = 0
which also is solved using Lyapunov.
Controller Discrete: The following expression defines the Controller
Grammians for discrete systems:
Wc
A BB ( A
k
T k
k=0
A BB ( A
W c lim W c =
n
T k
k=0
Multiply each side by A, AT respectively

T
AW c A =
k+1
T k+1
BB ( A )
k=0
If you define J = k + 1, you get the following:
A BB ( A
J
T J
J=1
To reinitialize the index to start at J = 0 and make it identical to Wc the term

BBT must be added and subtracted giving:
T
AW c A =
A BB ( A
J
T J
) BB
J=0
Therefore, AWcAT = Wc BBT is also solved using Discrete Lyapunov.
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Observer Discrete: The following expression defines the Observer

Grammians for discrete systems:
W0
(A
T k
) C CA
k=0
W 0 lim W 0 =
n
(A
T k
) C CA
k=0
for which, following a similar reasoning in the Controller Grammians for

discrete systems, you get ATW0A = W0 CTC.
The previous expression is also solved using Discrete Lyapunov.
Implementation:
B is decomposed using SVD
B = USVT BBT = Us2UT
UU T = U T U = I
For Controller Continuous, substitution of the previous expression gives:
AWc + WcAT + Us2U T = 0
which could be pre- and post-multiplied by UT and U, respectively.
U T AWcU + U T Wc AT U + s2 = 0
T
U Wc U
W c
U Wc U
U A U
U AU
W c
+s = 0
because Wc is symmetric.
T
A W c + W c A + s = 0
Continuous Lyapunov
For Controller Discrete
AWcAT Wc + Us2UT = 0
23
which could be pre- and post-multiplied by UT and U, respectively.

UTAWcATU UTWcU + s2 = 0
T
U Wc U
W c
U A U
( A )
U Wc U
U AU
+s = 0
W c
Discrete Lyapunov
Note: Wc = UWcUT
Reference:
Kailath, T. Linear Systems, 1st ed., p. 609. Englewood, NJ: Prentice-Hall,
1980.
Balancing
The CD Balance State-Space Models (Grammians) VI has only one entry
per column or row in the transformation matrix T.
1
2
T =
3
4
The tolerance is defined as follows.

max
----------- tolerance
min
Rearranging the terms, you get the following relationship.
max
1
----------- ---------------------- 1 0
min tolerance
If TRUE, T is not adjusted. If FALSE, set K equal to the following:
max max
- , ----------K ---------= tolerance
min old min new
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The new max and the new min are as follows:

maxnew = maxold tolerance
---------------------K
K
minnew = minold ---------------------tolerance
This way, the new set of max and min satisfies the tolerance.
tolerance
--------------------- max
K
max
----------= ---------- -------------------------- = tolerance

min new
min old
K
---------------------tolerance
T is rescaled accordingly to the modifications made, and the procedure is
repeated until one of the following conditions are met.
1.
K min = 0, T is not full rank.
2.
K max = 0, T is not full rank.

max
---------- tolerance .
min
3.
4.
The number of iterations is equal to the dimension of T.
Reference:
Alan J. Laub, Michael T. Heath, Chris C. Paige, and Robert C. Ward,
Computation of System Balancing Transformations and Other
Applications of Simultaneous Diagonalization Algorithms. IEEE
Transactions on Automatic Control, vol. AC-21, num. 2, 1987.
The Model Conversion VIs use Tustins methods to convert models from
discrete to continuous and from continuous to discrete. The following
section describes the algorithm used to implement the discrete to
continuous conversion.
25
Discrete to Continuous
AT 1
AT
* = I + -------- I --------
2
2
AT
AT
------------ = I + -------
2
2
T
( I ) = ( + I ) --- A
2
2
1
A = ( + I ) ( I ) --T
1
* = I AT
-------- B T
1
AT
B = ------- I --------
2
T
1
1
= ------- ( I ( + I ) ( I ) )
T
*H =
TC I AT
--------
1
1
1
AT
C = ------- H I -------- = ------- H ( I ( + I ) ( I ) )
2
T
T
AT 1 BT
* J = D + C I -------- ------
2 2
1 BT
1
D = J C ( I ( + I ) ( I ) ) ------2
2
1T
1
D = J --- --- H ( I ( + I ) ( I ) )
T2
H
1
D = J ---- ( I ( + I ) ( I ) )
2
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Reference:
Franklin, G.F., J. D. Powell, and M. L. Workman. Digital Control of
Dynamic Systems, 3th ed., p. 200. Reading, MA: Addison-Wesley, 1997.
The continuous to discrete conversion for Tustins method uses the algorithms
presented in Digital Control of Dynamic Systems.
Note
Model Order Reduction

Step 1: Find a similarity transformation that place the state to eliminate at
the end.
For example,
x1
=
x
x2
x3
Eliminate state 1 and 2. (Place them at the bottom of the state vector.) The
similarity transformation is given by the following similarity matrix T:
a 11 a 12 a 13
0 0 1
T = 1 0 0 , A = a 21 a 22 a 23
0 1 0
a 31 a 32 a 33
a 31 a 32 a 33
a 33 a 31 a 32
T
TA = a 11 a 12 a 13 , TAT = a 13 a 11 a 12
a 21 a 22 a 23
a 23 a 21 a 22
x3
= TAT 1
This way: x = x 1 , A
x2
The states have been reordered. The following procedure explains how to
obtain T.
27
Consider the number of states to eliminate in descending order.

J1
J =
J2
Je
where
e = number of states to eliminate,
n = total number of states
Consider T initialized as the identity matrix, and counter index i initialized
at 1.
1.
Take Ji row from T, denoted as t Ji .
2.
Take n i row from T, denoted as tni.
3.
Swap them in T. In other words, substitute t Ji in row ni and tni in

row Ji.
4.
Make inew = i + 1 and continue to point 1 until inew > e.
The Match Gain Option

Match Gain allows you to maintain a steady-state gain while eliminating
states.
Consider the following continuous system description:
A ss A se x s
B
x s
=
+ s u
A es A ee x e
Be
x e
y = Cs Ce
xs
xe
+ Du
Where s stands for selected and e stands for eliminated.

Sets the dynamics of the eliminated states to zero, xe = 0 , which is a
quasi-steady state assumption, where x e represents fast dynamics.
ss
0 = A es x s + A ee x e + B e u
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Solving for x e ss
ss
x e = A ee [ A es x s + B e u ] = [ A es x s + B e u ]
Substituting in the selected set of states dynamics, xs :
xs = A ss x s + A se [ A es x s + B e u ] + B s u
where now a new set of A, B, C and D matrices are identified, as illustrated
below.
A ss
[ B s + A se B e ] u
[ A ss + A se A es ] x s
B s
Substituting for y, you get the following equation:

y = Csxs + Ce[Aesxs + Beu] + Du
Note
C s
[ D + C e B e ] u
[ C s + C e A es ] x s
In the case of Discrete Systems, = (I A)1.
Canonical State-Space Realization

A state-space model can be transformed into a controllable canonical form
using the transformation matrix T defined as follows:
T = QW
where Q is the controllability matrix
Q = [B: AB: ... An1B]
an 1 an 2 a1 1
W =
an 2 an 3 1 0
a1
0 0
0 0
where |SI A| = sn + a1sn1 + ... + an1z + an = 0
29
Reference:
Ogata, K., Discrete-Time Control Systems. Englewood, NJ: Prentice-Hall,
1987.
Minimal State-Space Realization

The CD Minimal State Realization VI eliminates states that do not have any
effect on the control problem. For example, this function eliminates states
that are unobservable and/or uncontrollable.
The controllability matrix is defined as,
Q = [B AB ... An1B]
The observability matrix is defined as,
O =
C
CA
:
CA
n1
Each row of C and OT refers to the controllability and observability of the

corresponding state.
Let Ci refers to row i and Cj refers to column j in the matrix.
If CiCiT , the state is uncontrollable.
If OjTOj , the state is unobservable.
is a small constant that represents tolerance.
The CD Minimal State Realization VI eliminates all states that are either
uncontrollable or unobservable and returns a reduced model.
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Zero-Order-Hold
Continuous to Discrete: Consider the state dynamics equation:
x = Ax + Bu
Pre-multiply the expression above by the exponential term
e
At
At
x = e
xe
At
At
Ax + e
At
Bu
Ax = e
At
Bu
The right-hand side of the equation can be grouped in the following

derivative term:
At
d------------------( e x )- = e At Bu
dt
Integration of the previous expression between K and K + 1 gives
e
At
( K + 1 )T
KT
( K + 1 )T At
KT
Budt
Evaluation of the left-hand side of the equation provides the following

terms:
e
A ( K + 1 )T
x [ ( K + 1 )T ] e
AKT
x [ KT ]
Set = t KT. Substituting this change of variables in the equation above

give the following result:
e
At
= e
A ( + KT )
u( + KT) = u(t)
d = dt
=
T A ( + KT )
0
Bu ( + KT )d = e
AKT
T A
0
Bu ( + KT )d
Which leads to
e
AT
x [ ( K + 1 )T ] x [ KT ] =
31
T A
0
Bu ( + KT )d
Solving for x[(K + 1)T]

x [ ( K + 1 )T ] = e
= e
= e
AT
AT
AT
x [ KT ] +
x [ KT ] + e
x [ KT ] +
AT
T A ( T )
0
Bu ( + KT ) d
( K + 1 )T A ( t KT )
KT
Bu ( t )dt
( K + 1 )T A [ t ( K + 1 )T ]
KT
Bu ( t )dt
Zero-Order-Hold
Consider the following equation where the input u(t) remains constant in
the [K K+1] interval:
( K + 1 )T
KT
u(t)
= cons tan t = u ( KT )
Substituting this assumption in the previous expression gives:

= e
AT
x [ KT ] +
( K + 1 )T A [ t ( K + 1 )T ]
KT
dtBu ( KT )
You can take the input out of the integral.

= e
AT
x [ KT ] e
A [ t ( K + 1 )T ]
1 ( K + 1 )T
Bu ( KT )
KT
and you can evaluate the integral accordingly.

= e
AT
= e
x [ KT ] [ A
AT
x [ KT ] ( I e
AT
AT
A ]Bu ( KT )
1
)A Bu ( KT )
This last expression allows you to identify the system matrices A and B for
the zero-order-hold conversion.
ZOH
Ad
=e
AT
ZOH
, Bd
= (e
AT
I )A B
Code Implementation using the Taylor Series Expansion
MT
( MT )
= I + MT + ---------------+ =
2!
32
( MT )
-------------i!
i=0
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Consider that matrices A and B can be appended together. Therefore, the

exponential of the appended matrix is given by:
2
2
M = A B M = A B A B = A AB
0 0
0 0 0 0
0 0
i1
3
i
M = A A B M = A A B
0 0
0
0
The addition of the infinite number of terms in the series gives,
MT
i=1
i
i1
A A B --1i!
0
0
+ I 0
0 0
Because the matrix summation is equivalent to the summation of each of its
elements, you get the following expression:
MT
AT
i=1
i1
AT
A B--------------e
=
i!
i=1
1
A
----- A B
i!
where the definition of the exponential of the A matrix can be substituted,

= e
AT
(e
AT
I )A B
0
and therefore, the system matrices can be identified:
AB T
ZOH
= Ad
ZOH
Bd
Note:
y = Cx + Du y(K) = Cx(K) + Du(K)
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Initial Conditions: For the initial condition, as the zero order hold makes the
response causal, you get the following:
ZOH
xd
( 0 ) = x ( 0 ) + Ou ( 0 ) IC MAT = I O
and the initial conditions are not a function of the inputs at t = 0. In

summary you have:
ZOH
Bd
= (e
Ac T
ZOH
Ad
I )A c B c
= e
Ac T
ZOH
= C
ZOH
= D
Cd
Dd
When going from discrete to continuous, you solve for the continuous set
of system matrices, as shown in the following:
ZOH
lnA d
A c = ----------------T
Bc = Ac ( e
AT
ZOH
= Ac ( Ad
ZOH
I ) Bd
1
ZOH
I ) Bd
State-Space Norm
The CD Norm VI calculates two types of normsthe 2-norm and the
infinity-norm.
2-norm
For stable systems, the following procedure outlines the steps for
computing the 2-norm.
For continuous systems, when you solve AX + XAT + BBT = 0 for X, you
get the following norm and frequency.
Frequency = NaN
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Trace ( CXC T )
where G is the transfer function matrix.

For discrete systems, when you solve AXAT X + BBT = 0 for X, you get
the following norm and frequency.
Frequency = NaN
G
Trace ( CXC T + DD T )
If the system is unstable, the CD Norm VI produces an error. In this case,

the norm is and frequency is NaN. Systems with D 0 also have as
the norm and NaN as the frequency.
Infinity-norm
The procedure for computing the infinity-norm is different for SISO
systems and MIMO systems.
SISO Systems
For SISO systems, the CD Norm VI converts a state-space model to a
transfer function model.
Create frequency vector. For example, a vector of i.
Compute the norm according to the following formula.
G
= arg max( arg ( i I A ) )

i
MIMO Systems
Create frequency vector. For example, a vector of i.
For each i, compute the USVT decomposition of H(ji)
Use this to compute the norm according to the formula,
G
= arg max( max ( S ( H ( j i ) ) ) )

i
Marginally stable systems have -norm of infinity.
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For the generation of the frequency vector, the continuous function is

approximated by multiple evaluation at grid points. The grid is a geometric
sequence, adjusted based on whether you are dealing with the continuous
domain (j) or discrete domain (e jT).
References:
Doyle, J. C., K. Glover, P. P. Khargonekar, and B. A. Francis. State space
solutions to standard H2 and H control problems. IEEE Transaction on
Automatic Control, vol. 34, no. 8, p. 83, 1989.
Robel, A. On computing the infinity norm. IEEE Transaction on Automatic
Control, vol. 34, no. 8, p. 882, 1989.

The Lyapunov equation is defined by the following equation.
AX + XB = C
The implementation of a solver for this algorithm is based on the Bartels
Stewart algorithm.
The following procedure outlines the steps for computing the Lyapunov
algorithm.
1.
Compute the real Schur decomposition of A. For example, UTAU = R.
2.
Compute the decomposition for B. For example, VTBTV = S.
3.
Construct a matrix F = UTCV.
4.
Solve RY + YST = F as a Sylvester equation.
5.
Compute the Lyapunov solution X = UYVT.
References:
R. H. Bartels and G. W. Stewart. Algorithm 432: Solution of the matrix
equation AX + XB = C. Communications of the ACM, September 1972.
G.H. Golub, S. Nash, and C. Van Loan. A Hessenberg Schur Method for the
problem AX + XB = C. IEEE Transaction on Automatic Control, December
1979.
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The Continuous Lyapunov equation is
H
A 1 X + XA 1 = C 1
where
H
C1 = C1
If (I A1)1 exists and then A is defined as follows.

A = (I + A1)1 (I + A1)
and
A1 = (A I) (A + I)1
Rewrite the continuous Lyapunov equation as follows:
(A + I)H (AH I)X + X(A I)(A + I)1 = C1
Rearranging the equation results in the following equation:
1
H
H
A XA X = --- ( A + I ) C 1 ( A + I )
2
Let
1
H
C = --- ( A + I ) C 1 ( A + I )
2
This equation yields
AHXA X = C
This equation is the discrete Lyapunov equation.
Therefore, to solve the discrete equation, use the continuous solver and set
A1 = (A I) (A + I)1
The resulting equation is
1
H
C = --- ( A + I ) C 1 ( A + 1 )
2
37
Reference:
S. J. Hammarling. Numerical solution of the stable, non-negative definite
Lyapunov equation. IMA J. Numerical Analysis, vol. 2, pp. 303323, July
1982.
Hamiltonian Reduction Algorithm for

Solving Riccati Equations
The Riccati equation is defined as follows:
ATX + XA XBR-1BTX + Q = 0
To solve this, in the context of optimal control, begin with the Hamiltonian
equation.
1
H(x(t), u(t), (t), t) = --- [xT(t)Qx(t) + UT(t)Ru(t)] + T(t) [Ax(t) + Bu(t)]
2
H H
From the Euler LaGrange equations = ------- , ------- = 0
x x
1 T
x ( t )
= A B R B x ( t )
T
(t )
(t)
Q
A
This system matrix is symplectic, which means, if is an eigenvalue, is

also an eigenvalue.
Let V be a modal matrix of the Hamiltonian system.
J (t t )
V 11 V 12
X ( t ) = V 11 V 12 e + f
0
J
(
t
t
)
f
(t)
V 21 V 22
V 21 V 22
0
e
I
Sf
The Riccati solution is as follows:

S(t) = (t)X1(t)
J+ and J are Jordan blocks containing unstable and stable subpartitions of
the Hamiltonian matrix.
As tf , e
J+ ( t tf )
0, and e
J ( t tf )
X(t) = V12 e
38
,
J ( t tf )
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(t) = V22 e
J ( t tf )
where
* = V 11 V 12
z
V 21 V 22
I
Sf
As tf , S(t) becomes
S(t) = (t) X1(t) = V22 e
J ( t tf )
Z[V12 e
J ( t tf )
Z]1
Therefore S0 = V22V121
Numerical solutions involve computing this algorithm on the modal matrix
of H for stable eigenvalues.
References:
A.J. Laub. A Schur method for solving algebraic riccati equation. IEEE
Transaction on Automatic Control, vol. AC24, no. 6, pp. 913921,
December 1979.
Uy Loi Ly. Linear Multivariable Control, Course Notes, U. Washington,
Dec 31, 1996
Continuous Algebraic Riccati Equation Solver

The continuous Algebraic Riccati Equation is defined as follows:
ATX + XA (XB + S)R1(BTX + ST) + Q = 0
Using the Hamiltonian reduction algorithm to solve this equation, the
above equation is equivalent to the following equation.
T
1 T
1 T
A X + XA + Q SR B X XBR S XBR B X SR S = 0
By applying the following transformations,
A = A BR1ST
M = BR1BT
Q = Q SR1ST
39
the continuous Algebraic Riccati Equation reduces to the following form:

ATX + XA XMX + Q = 0
This form of the continuous Algebraic Riccati Equation can be solved by
the Hamiltonian reduction procedure, as in Hamiltonian Reduction
Algorithm for Solving Riccati Equations section.
Discrete Algebraic Riccati Equation Solver

The equation that is being solved is
(A BR1ST)TX(A BR1ST) (A BR1ST)XB(BTXB + R)1BTX(A BR1ST) + Q SR1ST = X
By making the following two transformations
F = A BR1S, G1 = B, G2 = R
and
1
H = Q SR1S, G = G 1 G 2 G 1
then the equation reduces to
T
FTXF X FTXG1(G2 + G 1 XG1)1 G 1 XF + H = 0

As seen in the references, this equation has the symplectic matrix, similar
to Hamiltonian matrix in the Continuous Algebraic Riccati Equation Solver
section.
T
Z = F + GF H G F
T
T
F H
F
Then this algorithm uses a basis for the stable eigenspace of Z to compute
the desired Riccati solution, using the same procedure as in the
Hamiltonian Reduction Algorithm for Solving Riccati Equations section.
References:
T. Pappas, A. J. Laub, N. R. Sandell. On the numerical solution of the
discrete time algebraic riccati equation, IEEE Transaction on Automatic
Control, Vol AC25, No. 4, pp. 631641, Aug 1980.
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A. J. Laub. A Schur method for solving algebraic riccati equations. IEEE

Transaction on Automatic Control, Vol AC24, No. 6, pp. 913921,
Dec 1979.
Convert State-Space Model to Transfer Function Model

Consider the following transfer function matrix.
H(s) = C(sI A)1B + D
If you begin with
(---------------------------------------------------------------------------------------------sI A + BC ) ( sI A ) + D T ( sI A )sI A
you obtain
BC - + D T
-------------sI A
Transposing this equation gives you H(s). The expression is then evaluated
for each input-output pair and the result is transposed.
Reference:
C. Chen. Linear System Theory and Design. pp. 90 91. Oxford University
Press.
Covert Transfer Function Model to State-Space Model

Consider the following strictly proper MIMO transfer function model.
G 11 G 12 G 1l u 1
y1
y2
G 21 G 2l u 2
=
:
: :
:
ym
G m1 G ml u l
To convert the whole transfer function model into a state-space model,
consider the first output y1.
l
y1 =
i=1
41
G 1i u i =
1i
i=1
where y1i = G1iui. You can get the controllable canonical realization of G1i,
given by:
x 1i = A 1i
x 1i + : u i
0
1
y 1i = C 1i x 1i
l
because y 1 =
1i ,
you can append the states in the following way:
i=1
A 11
A 12
x 11
: =
x
x1 +
A 1l
1l
x 1 =
0 0 0

1 : :
0 1 :
1 1
A1
B1
y1 =
u1
:
ul
x1
C 11 C 12 C 1l
C1
Because all outputs share the same set of inputs, the additional outputs are
appended in the following way:
x 1
: =
x
A 11
y1
: =
ym
42
0
A 12
:
0
A 1l
x1
u1
x2
B2
+
:
:
:
ul
xm
Bm
C1 0 0
0 C2 0

: : :
0
B1
x1
x2
:
:
Cm xm
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Transmission Zeros (State-Space)

Consider the following state-space model
x = Ax + Bu
y = Cx + Du
and the following transfer function matrix
H(s) = C(sI A)1B + D
This algorithm allows you to compute the zeros of this transfer function
matrix.
To get the zeros, solve a generalized eigenvalue problem of the form
Mx = Nx where
M = A B
C D
N =
In 0
0 0
When M and N are square matrices and the dimensions match, this problem
is solved directly by using the Analysis VIs. When the dimensions of the
matrices do not match, the algorithm creates matrices M1 and M2 by using
random numbers to pad the matrix with a smaller dimension.
Then, if a transmission zero corresponds to original system, it has to be
(with probability close to 1) a zero of both M1 and M2.
The algorithm picks the zeros based on the following criteria where
z1 = set of zeros of M1
z2 = set of zeros of M2
For each element in z1, select the closest element in z2 and set distance as d.
If d < threshold, meaning d is 1020 times the norm of M, then the element
is a transmission zero of M.
References:
A.J. Laub and B. C. Moore. Calculation of transmission zeros using QZ
techniques. Tech report ESL-P-802.
A. S. Hodel. Computation of system zeros with Balancing. Linear Algebra
and its Applications. 188, 189: 423436, 1993.
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Pade Approximation of Delay

for a SISO Transfer Function Model
The objective of the CD Convert Delay with Pade Approximation VI is to
approximate a delay of e std by using a polynomial approximation. To
approximate the exponential, use the following rational polynomial.
Rpq(z) = Dpq(z)1 Npq(z)
where
p
Npq ( z ) =
( p + q k )!p!
z
(------------------------------------------p + q )!k! ( p k )!
k=0
and
q
Dpq ( z ) =
( p + q k )!q!
( z )
------------------------------------------( p + q )!k! ( q k )!
k=0
When approximating time delays,

Npq ( T s s ) =
( p + q k )!p!
- ( T ) s
(-----------------------------------------p + q )!k! ( p k )!
k k
k=0
where
k=0N=1
k = 1 N = 1
--- T s s
2
1
2 2
k= 2 N = ------------------------------- ( ( T ) s s )
2 2 ( 2 1 )
etc.
is defined as the order of the polynomial.
The function sequentially computes the terms and takes the sum of products
(from k = 0 to p). Finally, the denominator is made monic and incorporated
back into the model.
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Reference:
G.H. Golub and C.F. Van Loan. Matrix Computations, 3rd ed.,
pp. 572573. Baltimore, MD: Johns Hopkins University Press, 1996.
Root Locus Plots

Consider the closed-loop transfer function of a linear time-invariant
system.
Y(s)
D ( s )G ( s )
T ( s ) = ----------- = --------------------------------------------R(s)
1 + D ( s )G ( s )H ( s )
The characteristic equation is
1 + D(s)G(s)H(s) = 0
You can rewrite this equation as
N(s)
1 + KL(s) = 0 where L ( s ) = ----------- .
D(s)
K is some parameter that enters the characteristic equation linearly.
The following are some alternate ways to represent the same equation.
(s) = D(s) + K(s)N(s) = 0
ds ( K ) dK ( s )
Then, because -------------- -------------- = 1 , D'(s)N(s) D(s)N'(s) = 0.
dk
ds
The roots s of this equation would solve the equation
D(s)
K = ----------N(s)
such that if for any s,
(s)
K = D
----------N(s)
then that value of s is also a root of (s).
Each of these properties are used in various ways in this algorithm.
45
The high level structure of the algorithm is as follows:

1.
Determine bifurcation points, for example, the roots of the equation

D'(s)N(s) D(s)N'(s) = 0.
Verify that these points are indeed bifurcation points by checking the
equation
D(s)
K = ----------N(s)
to make sure it is real, which means the bifurcation point lies on the
real axis, etc.
2.
Perform pole-zero cancellations to derive the minimal system for

analysis.
3.
Determine the maximum gain required for plotting (and some

additional parameters).
To get the maximum gain, notice that the nature of the root locus is
such that roots move from poles to zeros. If you evaluate the following
equation at the zero,
D(s)
----------N(s)
you get an idea of the final gain required to visually depict this path. If
you look at this value for each zero of the system, you get an idea of
what the appropriate, final gain Kf, for the entire plot. Use a default Kf
for systems with no zeros. The largest pole/zero/bifurcation point also
is used to determine the extent of the axes for the plots.
4.
Once you know the final gain value, you create a grid of gain values
based on the geometric series, and iteratively refine this grid, until the
plot is estimated to be visually correct. Here you use some specialized
heuristics based on interpoint distances.
Lastly, you fill in the appropriate infinity and special points for the
plots.
References:
A.M. Krall and R. Fornaro. An Algorithm for Generating Root Locus
Diagrams. Communications of the ACM, Vol. 10, No. 3, pp. 186188,
Mar 1967.
T. O. e Silva. Automatic Generation of Root Locus Plots. Revista Do
Detua, Vol 2, No. 3, pp. 273278, Sept 1998.
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Consider the transfer function H(s).
Y( s)
H ( s ) = ---------x(s)
When you apply a sinusoidal input as
x(t) = Xsin(t)
For linear time-invariant systems, the output is
y(t) = Ysin(t + )
Define
Y
G ( j ) = --X
as the magnitude or input ratio and
imag ( G ( j ) )
= /G ( j ) = atan -------------------------------real ( G ( j ) )
as the phase shift of the output sinusoid with respect to the input sinusoid.
If you repeat this operation for all the possible frequencies, you obtain a
magnitude and phase shift for each frequency, creating the frequency
response of the system.
The frequency response is obtained by transforming from the s-domain to
the jdomain:
H(s) = H(j) = M(j)e j( j)
where
Y ( j )M ( j ) = -------------X ( j )
and
( j ) = /Y ( j ) /X ( j )
47
For discrete systems, the frequency response is obtained by the

transformation z = e jT.
H(z) = H(ejT) = M(ejT)ej(j)T
If the system is a multiple-input multiple-output (MIMO) system, this
process is repeated for each input-output pair.
It is possible to visualize the frequency response in three types of plots.
The Bode plot is composed by two plots that shows the magnitude (in linear
or dB scale) against frequency and phase (degree) against frequency.
Nichols Plot is a graph that shows the magnitude (in dB) of the frequency
response of the input system plotted against its phase (in degrees).
Nyquist Plot is a graph that shows the imaginary part of the complex
frequency response of the input system plotted against its real part.
The algorithm used to evaluate the frequency response of a transfer
function is based on following steps:
1.
Create a vector of frequencies that capture the relevant dynamics of the

system. This vector spans a frequency band that includes three decades
around the relevant natural frequencies of the system.
2.
Evaluate the transfer function at each frequency and obtain the

magnitude and phase of the signal for each frequency.
For continuous systems:
num ( j -)
M = --------------------den ( j )
n
num1 ( j )- + -------j 0 = atan -----------------------den1 ( j ) j m

where:
n = number of zeros at zero in the complex plane
m = number of poles at zero in the complex plane
num1 = numerator polynomial without the roots at zero
den1 = denominator polynomial without the roots at zero
This algorithm corrects the initial frequency of the Bode response to
start at the correct angle.
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For discrete systems:

num ( jd )
M = -----------------------den ( jd )
num1 ( jd )
0 = atan ----------------------------
den1 ( jd )
3.
Correct phase for wrapping and transport delay:

For continuous:
= 0 delay = 0 Tdelay
For discrete:
= 0 delay = (0 TdelayTd)
4.
Repeat the operation for each input-output pair of the MIMO system.
5.
Correct the result for units.
The frequency, magnitude, and phase are calculated in radians/seconds,

linear, and radians, respectively. If you need the result in hertz, decibels, or
degrees, use one of the following conversions:
= 2f
Mdb = 20log (M)
degree = 180/
All Margins (Linear System)

The algorithm used for the CD All Margins VI is based on the calculation
of the frequency response, where it computes the frequency at which the
phase crosses 180, gm, for a system, H(s):
180
--------- H ( j )
= gm
= 180
The corresponding gain margin at gm is calculated as:

gain margin (dB) = 0 20log10|H(jgm)
The algorithm is based on the following steps:
1.
Generate a frequency response for system using the Bode algorithm.

Refer to the Bode, Nyquist, and Nichols Analysis section for
information about the Bode algorithm.
49
2.
In the magnitude response, calculate all crossovers for phase 180

(2k + 1). Using bisection algorithm, obtain the crossover frequency
and gain. This will define all the Frequencies and Gain Margins of the
system.
3.
In the phase response, calculate all crossovers for magnitude equal to

1 (0 dB) and using bisection algorithm obtain the crossover frequency
and phase. This will define all the Frequencies and Phase Margins of
the system.
Gain and Phase Margin (Linear System)

The CD Gain and Phase Margin VI is based on the CD All Margin VI
algorithm. The response of the CD Gain and Phase Margin VI is defined as:
Gain margin (dB) is smallest gain margin of the system.
Frequency (radians/seconds) is the nearest crossover frequency of 180
(2k + 1), where k = 0, 1, 2 corresponding to the smallest gain margin.
Phase margin (degrees) is the smallest phase margin of the system.
Frequency (radians/seconds) is the 0 dB crossover frequency
corresponding to the smallest phase margin.
Staircase
Reference:
Web Site of Math Department of Escuela Politecnica Nacional, Ecuador,
Staircase Algorithm. http://epn.edu.ec/~fc/dpto_mat/pdf/
staircase.pdf
Kalman Gain
The CD Kalman Gain VI uses the derivation found in the following
references.
Kwakernaak, H. & Sivan, R., Linear Optimal Control Systems.
Wiley-Interscience, 1972.
1987.
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Ackermann
The CD Ackermann VI uses the derivation found in the following
reference.
1995.
State Estimator and State-Space Controller

Refer to the LabVIEW Control Design User Manual for information about
the implementation of the CD State Estimator VI and CD State-Space
Controller VI.
Generating Correlated Gaussian Random Vectors

Problem Statement
We need to generate random samples (denoted as x andy) of the random
vectors x Rn and y Rm such that the random vectors x and y are
Gaussian-distributed and are characterized by the second-order statistics:
E{x} = mx
Cov{x} = Cxx = E{xxT} mxmxT
E[y} = my
Cov{y} = Cyy = E{yyT} mymyT
Cov {x,y} = Cxy = E{xyT} mxmyT
Solution
Lets first focus on the problem of generating random samples of a single
Gaussian random vector x with mean mx and covariance matrix Cxx. Then,
we will generalize the solution to generating random samples of the two
vectors X and Y.
Single Vector Case

Say we are able to generate one sample of the Gaussian random variable z
(denoted as ) such that z is characterized by the statistics z ~ N (mz = 0,
z2 = 1).
Now, lets generate n-independent samples {1, 2, ..., n}of the random
variables {z1, z2, ..., zn} that are identically distributed as z~N (0, 1).
51
z1
Define z =
z2
zn
0
mz =
Czz = Cov{z}
= E{zzT} mzmzT
1 0 0
= 0 1 0 =I
0 0 1
z~N(0, I)
Define the affine transformation:
X = Az + b
where A Rnn, b Rn
Since affine transformation of a Gaussian random vectors yields a Gaussian
random vector x is Gaussian-distributed.
We will find the matrix A and the vector b that will generate x such that
x ~ N(mx, Cxx).
E { x } = E { Az + b }
E{z}
= A
= 0
+b
E{x} = b
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Cov { x } = Cov { Az + b }
T
= E { [ Az + b ] [ Az + b ] } E { Az + b } E { Az + b }
T
= AE { zz }A + AE { z }b + bE { Z }A + bb
[ AE { z } + b ] [ AE { z } + b ]
T
= A C zz A + bb bb
I
C xx = A A
recall, given a real-symmetric matrix M Rnn with Eigenvalues

{1, 2,..., n}, then M is similar to a diagonal matrix given by
1 0 0
=
0 2 0
0 0 n
under the transformation:

V1MV =
where, V = [v1, v2, ..., vn]
with {v1, v2, ..., vn} being the orthonormal Eigenvectors corresponding to
the Eigenvalues {1, 2, ..., n}
but, since {v1, v2, ..., vn} for an orthonormal basis for V
V is unitary
VTV = I
VT = V1
VTMV =
M = VVT
now, if we factor = 1/2 1/2, and since = T
1/2 = (1/2)T
M = 1/21/2VT
53
1 T
--2- T
V
C xx

1--2
1--- T
2 V T

1
--2
C xx =
Therefor, selecting A = V1/2 and b = mx and applying the transformation

x = Az + b on random samples of the vector z will solve the problem of
generating random samples of the Gaussian random vector x with mean mx
and covariance matrix Cxx.
Two Vectors Case

x
W = -y
m
E { w } = m w = ------x
my
T
Cov { w } = E { w, w } E { w }E { w }
x T T m
T
T
= E -- [ x y ] ------x [ m x m x ]
y
m
y
Cov { w } = C ww
T
T
T
m mx m x my
= E { xx } E { xy } x
t
T
T
T
E { yx } E { yy }
m y mx m y my
C xx C xy
T
Cxy C yy
Now, we can generate random samples of the Gaussian random vector w

via the method outlined in the single vector case, i.e. by selecting
A = V1/2, here L is the Eigenvalues matrix of Cww and V is the
Eigenvectors matrix of Cww, and b = mw, and then applying the
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transformation w = Az+b. Finally, taking the first n-elements of the random

vector sample w gives the random vector sample x and taking the last
m-elements of the random vector sample w yields the random vector
sample y.
Implementation Current Observer (Point-by-Point)

@ time k = 0:
x ( 0 ) is already available.
Calculate the predicted state x ( 1 ) :

x ( 1 ) = Adx ( 0 ) + Bdu ( 0 )
x ( 1 ) = Ad x( 0 ) + Bd u( 0 )
@ time k:
x ( k ) is already available.
A new measurement y ( k ) becomes available.
Calculate the corrected/current state x ( k )

x ( k ) = x ( k ) + Lc [ y ( k ) y ( k ) ]
y ( k ) = Cd x( k ) + Dd y( k )
Calculate the predicted state x ( k + 1 ) :

x ( k + 1 ) = Ad x( k ) + Bd u( k )
Relationship between Lp and Lc:

The Current Gain matrix Lc is related to the Predicted Gain matrix Lp
through the relationship.
L p = Ad L c
this means that Ad needs to be full-rank.
Algorithm adapted from:
Franklin, Powell, Workman, Digital Control of Dynamic Systems, 3rd.
Ed., pp. 295
55
Implementation Predictive Observer (Point-by-Point)

@ time k = 0:
Calculate the predicted state estimate:

x ( 1 ) = Adx ( 0 ) + Bdu ( 0 ) + L p [ y ( 0 ) y ( 0 ) ]
= Adx ( 0 )
y ( 0 ) = Cdx + Ddu ( 0 )
= Cdx ( 0 )
@ time k:
Calculate the predicted state estimate

x ( k + 1 ) = Adx ( k ) + Bdu ( k ) + Lp [ y ( k ) y ( k ) ]
y ( k ) = Cd x( k ) + Dd u ( k )

Ed., pp. 290
Implementation Continuous Observer (Point-by-Point)

Given a Continuous-Time system:
x ( t ) = Ax ( t ) + Bu ( t )
y ( t ) = Cx ( t ) + Du ( t )
x ( t 0 ) = Initial Condition
The observer dynamics can be represented as:
(t)
dx
-----------= Ax ( t ) + Bu ( t ) + L [ y ( t ) y ( t )]
dt
y ( t ) = Cx ( t ) + Du ( t )
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x ( t 0 ) = Initial Condition
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The observer gain (L) can be computed through pole-placement or

Ackermann.
John Bay, Fundamentals of Linear State Space Systems, McGraw Hill,
1999.
ContinuousTime Recursive Kalman-Bucy Filter

The following derivation assumes the familiarity of the reader with basic concepts
of Estimation Theory and Linear Algebra. Much of the derivations herein follows the
developments outlined in the following references:
Note
1.
I. Rhodes, A Tutorial Introduction to Estimation and Filtering, IEEE

Transactions on Automatic Control, Vol. A C-16, No. 6, December
1971, pp. 688-706.
2.
Jerry Mendel, Lessons in Estimation Theory for Signal Processing,

communications, and Control, Prentice Hall, 1995.
3.
John Bay, Fundamentals of Linear State-Space Systems, McGraw

Hill, 1999.
Problem Statement
Given the continuous-Time (C.T.) Linear Time-Varying (LTV) stochastic
state-space system.
x ( t ) = A ( t )x ( t ) + B ( t )u ( t ) + G ( t )w ( t )
y ( t ) = C ( t )x ( t ) + D ( t )u ( t ) + H ( t )w ( t ) + v ( t )
r
The control input vector u ( t ) IR is deterministic and known t .

nxn
nxr
nxq
The matrices A ( t ) IR , B ( t ) IR , G ( t ) IR ,
mxn
mxr
mxq
, D ( t ) IR , H ( t ) IR
are deterministic and
C ( t ) IR
known t .
The disturbance vectors w ( t ) and v ( t ) are assumed to be white (i.e.
zero-mean and temporally uncorrelated) random processes with the
following first- and second-order statistics.
E{ w( t) } = o
cov { w ( t ) ,w ( t ) } = E { w ( t ) w ( t ) } = Q ( t )s ( t t ) ,Q ( t ) = Q ( t ) 0
E{ v(t) } = o
t
T
57
cov { v ( t ) ,v ( t ) } = E { v ( t ) v ( t ) } = R ( t )s ( t t ) ,R ( t ) = R ( t ) > 0
cov { w ( t ) ,v ( t ) } = E { w ( t ) v ( t ) } = N ( t )s ( t t )
where S ( t ) is the Dirac delta function.

Also, it is assumed that the initial state vector x ( to ) is uncorrelated w/ the
random processes w ( t ) and v ( t )
t
cov { w ( t ) ,x ( to ) } = 0 ,cov { v ( t ) ,x ( to ) } = 0
*
We need to find the best linear estimator x ( t ) = E { x ( t ) y t } in terms of

the measurements Y t = {( y ( s ) ;S ), S [ to ,t )}
Solution
The best linear estimator x ( t ) of the state vector x ( t ) in terms of the
measurements Y t has the following dynamical structure:
x ( t ) = A ( t )x ( t ) + B ( t )u ( t ) + L ( t ) [ y ( t ) y ( t ) ]
y ( t ) = C ( t )x ( t ) + D ( t )u ( t )
T
L( t)=
[ P ( t )C ( t ) + G ( t )Q ( t )H ( t ) + G ( t )N ( t ) ]
. [ H ( t )Q ( t )H T ( t ) + H ( t )N ( t ) + N T ( t )H T ( t ) + R ( t ) ] 1
T
T
P ( t ) = A ( t )P ( t ) + P ( t )A ( t ) + G ( t )Q ( t )G ( t )
1
T
T
T
P ( t )C ( t ) . [ H ( t )Q ( t )H ( t ) + H ( t )N ( t ) + N ( t )H ( t ) + R ( t ) ] . C ( t )P ( t )
T
[ G ( t )Q ( t )H ( t ) + G ( t )N ( t ) ] . [ H ( t )Q ( t )H ( t ) + HtN ( t ) + N ( t )H ( t ) + R ( t ) ]
. [ G ( t )Q ( t )H T ( t ) + G ( t )N ( t ) ] T
Kalman-Bucy Filter Derivation:

Estimator dynamics structure:
x ( t ) = Ax ( t ) + Bu ( t ) + L ( t ) [ y ( t ) y ( t ) ]
y ( t ) + Cx ( t ) + Du ( t )
Estimator Error:
e ( t ) = x ( t ) x ( t )
Error Dynamics:
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e ( t ) = x ( t ) x ( t )
= Ax ( t ) + Bu ( t ) + Gw ( t )
[ Ax ( t ) + Bu ( t ) + Lt [ yt Cx ( t ) Du ( t ) ] ]
e ( t ) = Ae ( t ) + Gw ( t )
L ( t ) [ Cx ( t ) + Du ( t ) + Hw ( t ) + v ( t ) Cx ( t ) Du ( t ) ]
= Ae ( t ) + Gw ( t ) Lt [ Ce ( t ) + Hw ( t ) + v ( t ) ]
e ( t ) = [ A LC ]e ( t ) + [ G LH ]w ( t ) Lv ( t )
t
e ( t ) = ( t, to )e ( to ) + ( t, ) [ ( G LH )w ( ) Lv ( ) ] d
to
Covariance of estimation error:

T
E {e()}
E{e(t)}
P(t) = E{e(t).e ( )}
= E ( t, to )e ( to ) + ( t, ) [ ( G LH )w ( t ) Lv ( t ) ] dt
to
. ( t, to )e ( to ) + ( t, s ) [ ( G LH )w ( s ) Lv ( s ) ] ds
to
59
= E { ( t, to )e ( to )e ( to ) ( t, to ) }
+ E ( t, to )e ( to ) .
( t, s ) [ ( G LH )w ( s ) Lv ( s ) ]ds
to
T
.
.
+ E ( t, ) [ ( G LH )w ( ) Lv ( ) ] dt e ( to ) ( t, to )
to
+ E
[ ( G LH )w ( s ) Lv ( s ) ] ( t, to ) ds
to
( t, ) [ ( G LH )w ( ) Lv ( t ) ] dt .
to
P ( t ) = ( t, to )P ( to ) ( t, to )
t t
T T
+ E ( t, ) [ ( G LH )w ( t ) Lv ( t ) ] [ ( G LH )w ( s ) Lv ( s ) ] ( t, s ) d d
to to
= ( t, to )P ( to ) ( t, to )
t t
( t, )E { [ ( G LH )w ( ) Lv ( ) ] [ w ( s ) ( G LH )
T
v ( s )L ] } ( t, s ) d
to to
T
= ( t, to )P ( to ) ( t, to )
t t
( t, ) [ ( G LH )Q ( t )s ( t s ) ( G LH ) ( G LH ) N ( )s ( s )L
T
to to
T
LN ( )s ( s ) ( G LH ) + LR ( )s ( s ) ] ( t, s )d
T
= ( t, to )P ( to ) ( t, to )
t
+ ( t, ) [ ( G LH )Q ( ) ( G LH ) ( G LH ) N ( )L
to
T
LN ( ) ( G LH ) + LRL ] ( t, )d
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P ( t ) = ( t, to )P ( to ) ( t, to )
t
+ ( t, ) [ ( G LH )Q ( ) ( G LH ) ( G LH ) N ( )L
to
T
LN ( ) ( G LH ) + LRL ] ( t, )d
recall:
h(t)
d
----- f ( x, t )dx =
dt
g(t)
h(t)
dh ( t )
t { f ( x, t ) } dx +f [ h ( ( t ), t ) ] -----------dt
g(t)
dg ( t )
f [ g ( t ), t ] -----------dt
denote:
T
Z = ( G LH )Q ( ) ( G LH ) ( G LH )N ( )L LN ( ) ( G LH )
+ LRL
T
T
P ( t ) = ( t, to )P ( to ) ( t, to ) + ( t, to ) ( to ) ( to )
t
T
+ ( t, )Z ( t, ) + ( t, )Z ( t, ) d
to
dto
-------T
dt
(
t
,
to
)
Z
(
t
,
to
)
( t, ) ( t, ) dt
----+
Z
dt
T
= 0
I
I
= 0
T
T
= ( t, to )P ( to ) ( t, to ) + ( t, to )P ( to ) ( t, to )
t
T
T
+ ( t, )Z ( t, ) + ( t, )Z ( t, ) d
to
+Z
but,
e ( t ) = [ A LC ]e ( t ) + [ G LH ]w ( t ) Lv ( t )
( t, to ) = state transition mtx for above D.E.
61

( t, to ) = [ A LC ] ( t, to )
T
P ( t ) = [ A LC ] ( t, to )P ( to ) ( t, to )
T
+ ( t, to )P ( to ) ( t, to ) [ A LC ]
+ [ A LC ] ( t, )Z ( t, ) d
to
t
+ ( t, )Z ( t, ) d [ A LC ]
to
+Z
t
= [ A LC ] ( t, to )P ( t, to ) ( t, to ) + ( t, )Z ( t, ) d
to
t
( t, to )P ( to ) ( t, to ) + ( t, )Z ( t, ) d
[ A LC ]
+ [ G LH ]Q ( t ) [ G LH ] [ G LH ]N ( t )L LN ( t ) [ G LH ] + LR ( t )L
to
P( t)
+Z
T
P ( t ) = [ A LC ]P ( t ) + P ( t ) [ A LC ] + Z
T
P ( t ) = [ A LC ]P ( t ) + P ( t ) [ A LC ]
T
>Different Riccati Equation.

Now, to optimize the Gain L ( t ) , the chosen criterion will be to minimize
the squared estimation error.
T
e (t ).e(t )
T
E
= tr [ E { e ( t ) . e ( t ) } ]
scalar
T
= E { tr [ e ( t ) . e ( t ) ] }
T
= E { tr [ e ( t ) . e ( t ) ] }
T
= tr [ E { e ( t ) . e ( t ) } ]
= tr [ P ( t ) ]
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max
L( t)
{ tr [ P ( t ) ] }
{ tr } [ P ( t ) ]
L( t)
T
AP LCP + PA PC L
T
T
T
T
+ GQG GQH L LHQG + LHQH L
{ tr } [ P ( t ) ]
=
L GNL T + LHNL T LN T G T = LN T H T L T
L(t)
+ LRL
. { tr [ XA T ] } = A
x
. { tr [ X T A ] } = A
x
. { tr [ ABA T ] } = AB + AB T
x
1
T
T T
{ tr [ LCP ] } = ( CP ) = P C
L
T T
T
T
T
{ tr [ PC L ] } =
{ tr [ L CP ] } = PC
L
L
T T
T
T
T
{ tr [ GQH L ] } =
{ tr [ L GQH ] } = GQH
L
L
T
T T
T T
4 { tr [ LHQG ] } = ( HQG ) = GQ H
L
T
T T
= LHQH + L ( HQH )
T T
5 { tr [ LHQH L ] }
T
T T
L
= LHQH + LHQ H
6
T
T
{ tr [ GNL ] } =
{ tr [ L GN ] } = GN
L
L
T
T
T T
7 { tr [ LHNL ] } = LHN + L ( HN ) = LHN + LN H
L
63
T T
T T T
{ tr [ LN G ] } = ( N G ) = GN
L
T
10
T T
T
T
{ tr [ LRL ] } = LR + LR
L
now,
T
= LN H + L ( N H )
T T T
{ tr [ LN H L ] }
T T
L
= LN H + LHN
{ tr [ P ( t ) ] } 0
L
PC PC GQH GQH + LHQH = LHQH

T
GN + LHN + LN H GN + LN H + LHN + LR + LR 0
T
2PC 2GQH + 2LHQH 2GN + 2LHN + 2LN H + 2LR 0

T
LHQH = LN H + LR + LHN PC + GQH + GN

T
L [ HQH + R + HN + N H ] PC + GQH + GN
T
L ( t ) = [ PC + GQH + GN ] . [ HQH + HN + N H + R ]
substituting for L ( t ) into P ( t ) :

T
T T
P ( t ) = AP LCP + PA PC L
T
+ GQG GQH L LHQG + LHQH L

T
GNL LN G + LHNL + LN H L
+ LRL
T
T
= AP LCP + PA PC L
T
T
T
+ GQG GQH L LHQG GNL LN G

T
+ L [ HQH + HN + N H + R ]
T
T
P ( t ) = AP + PA GQG
T
L [ CP ( HQG + N G ) ]
T
[ PC + GQH + GN ]
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P ( t ) = AP + PA + GQG
T
L [ CP + HQG + N G ]
1
T
[ PC + GQH + GN ]L
2
T
L [ HQH + HN + N H + R ]L
3
1
T
T
T
T T
T
T T
1 [ PC GQH + GN ] [ HQH + HN + N H + R ] . [ CP + HQG + N G ]
T
1
T
T
T
T
T T
T
T
2 [ PC GQH + GN ] . [ [ HQH + HN + N H + R ] ] . [ PC + GQH + GN ]
T
T 1
= [ PC GQH + GN ] [ [ HQH + HN + N H + R ] ] [ CP + HQG + N G ]

T
= [ PC GQH + GN ] [ HQH + HN + N H + R ] [ CP + HQG + N G ]

T
3 [ PC GQH + GN ] . [ HQH + HN + N H + R ]
. [ HQH T + HN + N T H T + R ]
T
. [ [ HQH T + HN + N T H T + R ] 1 ] . [ PC T GQH T + GN ] T
T
= [ PC GQH + GN ] . [ HQH + HN + N H + R ] [ CP + HQG + N G ]

1+2+3 = 1
T
T
[ PC + GQH + GN ] .
T
[ HQH + HN + N H + R ]
P ( t ) = AP + PA + GQG
. [ CP + HQG T + N T G T ]
= AP + PA + GQG [ PC + GQH + GN ] . . [ HQG + N G ]

T
= AP + PA + GQG PC CP [ GQH + GN ] . . [ HQG + N G ]

1
T
T
T
T T
T
P ( t ) = AP + PA [ PC ] [ HQH + HN + N H + R ] . [ CP ] + GQG
1
T
T
T
T T
T
[ GQH + GN ] [ HQH + HN + N H + R ] . [ GQH + GN ]
65
n-step-Ahead Kalman Predictor

Note:
Much of the derivations herein follow the developments in the following
reference:
[1] Ian Rhodes, A Tutorial Introduction to Estimation and Filtering,
IEEE Transactions on Automatic Control, Vol. AC-16, No. 6,
December 1971, pp. 688706.
Problem statement:
Given the Discrete-Time LTV XXXX state-space system:
xk + 1 = Ak xk + Bk uk + Gk wk
= Ck xk + Dk uk + Hk wk + vk
yk
Need to find the n-step-ahead Kalman Predictor, i.e. find the state estimate
*
x k + n k = E { x k + n Y k }, given the knowledge of the one-step-ahead
predicted state x k + 1
k+n1
{ Ai } i = k + 1 ,
k and assuming the knowledge of the matrices

k+n1
k+n1
{ Bi } i = k + 1 and the central input { u i } i = k + 1 .
Solution:
Define,
k , j = Ak 1 Ak 2 Aj
j , j = I
Then, we may re-write the state difference equation as:
xk + 1 = k + 1 , 0 x0 +
k + 1 ,i + 1 ( Biui )
+ k + 1 ,i + 1 ( Giwi ) ]
i=0
Similarly, we may express xk + n (n 2) as:

k+n1
x k + n = k + n ,k + 1 x k + 1 +
[ k + n , i + 1( Biui ) + k + n ,i + 1 ( Giwi ) ]
i = k+1
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Now:
xk + n k = E { xk + n Yk }
*
= k + n, k + 1 E { x k + 1 Y k }
k+n1
[ k + n , i + 1BiE { u i Y k } + k + n , i + 1GiE { w i Y k } ]
i = k+1
but,
E*{ui | Yk} = ui , since ui is a deterministic input vector.
*
E { w i Y k } = 0 k + 1 i k + n 1
since the sequence Yk = {y0, y1, , yk} depends only and linearly on
k
{ x 0 } ,{ w i } ik = 0 ,{ x i } ik = 0 ,{ v i } i = 0 , all of which are assumed uncorrelated

k+n1
with { w i } i = k + 1 .
k+n1
x k + n k = k + n , k + 1 x k + 1 k +
k + n , i + 1BiUi
i = k+1
If the system is Time-Invariant, then the n-step-ahead Kalman predictor

x k + n k can be represented more compactly.
Ak + n 1 Ak + n 2 Ak + 1
k + n , k + 1 =
k + n 1 (k + 1) + 1 = n 1
=A
Ak + n 1 Ak + n 2 Ai + 1
k + n, i + 1 =
n1
k + n 1 (i + 1) + 1 = k + n i 1
=A
k+ni1
67
k+n1
n1
x k + n k = A
x k + 1 k +
k+ni1
B Ui
i = k+1
Lyapunov and Sylvester Equations

The Lyapunov and Sylvester equations are similar in form. Table 1-2
defines both the continuous and discrete versions of each equation.
Table 1-2. Lyapunov and Sylvester Equations
Equation
Continuous
Discrete
Lyapunov
AX + XAT + Q = 0
AXAT X + Q = 0
Sylvester
AX + XB + C = 0
AXB X + C = 0
These equations differ in the underlying assumptions and meaning

attributed to the coefficient matrices A, B, and C. These differences ensure
certain properties of the solution X.
You can use this set of equations to analyze the stability of systems and
related applications such as the computation of Grammians, norms, and
so on. Refer to Numerical Linear Algebra Techniques for Systems and
Control1 for more information about these computations. Refer to Robust
Pole Assignment via Sylvester Equation Based State Feedback
Parametrization2 for more information about the Sylvester equation.
The Sylvester equation is the basis for solving both forms of these
equations. The solution is based on the Bartels-Stewart algorithm, which
reduces both A and F to the real Schur form and then performs a backward
substitution to complete the solution. The underlying implementation
of this algorithm uses the Mathematics VIs, which are based on
BLAS/LAPACK algorithms.
Complete the following steps to solve the continuous version of the
Lyapunov equation.
4.
Calculate the Schur decompositions of A and B.

U TAU = R and V TBTV = S
5.
1
Construct F = U TCV.
Laub, Alan J., Paul Van Dooren, and R.V. Patel (eds). Numerical Linear Algebra Techniques for Systems and Control.
Piscataway, NJ: IEEE Press, 1994.
Varga, A. Robust Pole Assignment via Sylvester Equation Based State Feedback Parametrization. IEEE International
Symposium on Computer Aided Control System Design, CACSD'2000. Anchorage, Alaska, 2000.
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6.
Solve RY + YS T = F using the backward-substitution procedure.
7.
Solve X = UYV T.
You can apply the same methodology to the discrete version of the
Lyapunov equation if you complete the following steps:
T
1.
Consider the continuous Lyapunov equation, A 1 X + XA 1 + C 1 = 0 .
2.
If (I A1)1 exists and if A = (I A1)1(I + A1) and

A1 = (A I )(A + I )1, the Lyapunov equation is as follows:
(A + I )T(AT I )X + X(A I )(A + I )1 + C1 = 0
3.
If you define the matrix C with the following equation:

1
T
C = --- ( A + I ) C 1 ( A + I )
2
4.
Rearranging the terms in the above equation produces the following

discrete equation:
ATXA X + C = 0
Riccati Equations
The symmetric n n algebraic Riccati equation for the continuous time
case is ATX + XA XMX + Q = 0.
The solution of this equation is based on the reduction of a Hamiltonian
matrix, defined by the following equation:
H =
A M
Q A
If V is the modal matrix of this Hamiltonian matrix, for stable eigenvalues,

you can express V with the following equation:
V =
V 11 V 12
V 21 V 22
You then can express the steady state solution of the Riccati equation with
the following equation:
1
X = V 22 V 12
69
You can reduce a continuous algebraic Riccati equation,

ATX + XA (XB + S)R1(BTX + ST ) + Q = 0, to the simpler form by
applying the following transformations:
A = A BR1ST
M = BR1BT
Q = Q SR1ST
The following equation defines the discrete version of the Riccati equation.
T
A XA X A XB 1 ( B 2 + B 1 XB 1 ) B 1 XA + C = 0
1
If B = B 1 B 2 B 1 , the following equation defines the Hamiltonian matrix

for this equation.
T
H = A + BA C BA
T
T
A C
A
You can use this Hamiltonian matrix in a reduction procedure to compute

the solution of the discrete algebraic Riccati equation.
If the discrete Riccati equation is defined as follows, you can reduce the
equation using the Hamiltonian matrix.
( A BR
1 T
S )X ( A BR
1 T
S ) ( A BR
1 T T
S ) XB ( B XB + R )
1 T
B X ( A BR
1 T
S ) + Q SR
1 T
= X
The following transformations reduce the discrete Riccati equation to the

simpler form based on the determined Hamiltonian matrix.
A = A BR1ST
B1 = B
B2 = R
C = Q SR1ST
Convert Continuous Model to Discrete Model with Input

Delay
Problem 1: ZoH discretization with uniform input delay
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x ( t ) = Ax ( t ) + Bu ( t )
Y ( t ) = Cx ( t ) + Du ( t )
= (lm) T
l = 1,2,3...
0 m <1
We will consider the case where l 1, 0 m <1.
If l <1, the (l 1) delay will be set to the discrete model independently after
the discretization is achieved.
x ( kT + T ) = ( T )x ( kT ) + 1 u ( kT lT ) + 2 u ( kT lT + T )
AT
(T) = e
A
1 =
e d B
MT
MT
A
=
e d B
2
( ) = e A
define
A
( A ) = e d B
1 = ( mT ) ( T mT )
2 = ( mT )
define the state vector, (k) = u(k1), and (T=1) for simplicity
x(k)
x(k)
x(k + 1)
- = ( T ) 1 ---------- + ---------- u ( k )
------------------(k + 1)
(k)
x ( k + 1 ) = Ad x ( k ) + Bd u ( k )
now, looking at the output equation, we can note that for l 1, and 0m<1,
then a delay of is equivalent to a delay that is less than one sampling time,
71
which if we employ a ZOH discretization technique will result in capturing

the input sample for the previous time-step, i.e. u(k1) into y(k).
y(k)=Cx(k)+Du(k1)
x(k)
y ( k ) = [ C D] ---------(k)
+[0]u(k)
y ( k ) = C d ( k )x ( k ) + D d u ( k )
Ad = ( T ) 1
0
Bd = -----2
I
Cd [C D}
Dd = 0
Problem 2: ZOH discretization with vectorized input delay.
x ( t ) = Ax ( t ) + Bu ( t )
y ( t ) = Cx ( t ) + Du ( t )
u1 ( t 1 )
x ( t ) = Ax ( t ) + [ b 1 b 2 b r ]
u2 ( t 2 )
ur ( t r )
1 = ( l 1 m 1 )T
2 = ( l 2 m 2 )T
= ( l m )T
r
r
r
li = 1, 2, 3, ...
0mi,1
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We will consider the case when li1, 0mi<1.

If li > 1, the (li1) delay will be set to the discrete model @ input channel i,
independently after the discretization is achieved.
x(k+1) = (T)x(k) + 1u(k-1) + 2u(k)
(T) = eAT
1 = [ 1, 1 1, 2 1, r ]
T
where, 1, i =
d b i
mi T
( mi T ) = e
Am i T
T mi T
1, i = ( m i T ) i ( T m i T )
i ( T mi T ) =
d b i
2 = [ 2, 1 2, 2 2, r ]
mi T
where, 2, i =
d b i
0
mi T
= i ( mi T ) i ( mi T ) =
d b i
define the state vector (k) = u(k1)
x ( k + 1 )------------------(k + 1)
x ( k + 1 )
( T ) 1 x ( k ) -------------- + 2 u ( k )
0 0 (k) I
y(k) = Cx(k) + Du(k1)
Cd
x( k )
--------- ( k ) + [ 0 ]u ( k )
y(k) =
[ CD ]
x ( k )
Problem 3: ZoH discretization with uniform output delay
73
x ( t ) = Ax ( t ) + Bu ( t )
y ( t + ) = Cx ( t ) + Du ( t ) y ( t ) = Cx ( t ) + Du ( t )
= ( j q )T
j = 1, 2, 3,
0 q < 1
We will consider the case when j 1, 0 q <1.
If l > 1, the (j1) delay will be set to the discrete model independently
after the discretization is achieved.
t
x(t) = e
A ( t to )
x ( to ) + e
A(t )
Bu ( ) d
to
t o = kT , t = kT + T , u ( kT ) = u ( kt ) kT, [ k T + T )
e
x ( kT + T ) =
AT
(T)
x ( kT ) + e
dBu ( kT )
x ( k + 1 ) = ( T )x ( k ) + u ( k )
y(t) = Cx(t) + Du(t)
y(kT) = Cx(kT) + Du(kT)
= Cx(kT(lm)T) + Du(kT(lm)T)
= Cx[T(k(lm)] + Du[T(k(lm))]
t
but, x ( t ) = e
A ( t to )
x ( to ) + e
A (t )
Bu ( ) d
t0
to = ( k 1 )T , t = kT ( 1 q )T
e
xT [ ( k ( 1 q ) ) ] =
A [ kT ( 1 q )T ( k 1 )T ]
x [ ( k 1 )T ]
kT ( 1 q )T
A [ kT ( 1 q )T ( k 1 )T ]
Bu ( ) d
( k 1 )T
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but, u ( t ) = u [ ( k 1 )T ] , ( k 1 )T t < ( k 1 + q )T < kT

e
x[ T(k ( 1 q) ) ] =
[ kT T + mT kT + T ]
x [ ( k 1 )T ]
kT ( 1 q )T
A[T(k 1 + q) 2]
B du [ ( k 1 )T ]
( k 1 )T
AqT
x [ ( k 1 )T ]
kT ( 1 q )T
A[T(k 1 + q) ]
dBu [ ( k 1 )T ]
( k 1 )T
x[T(k (1 q))] =
I
kT ( 1 q )T
I =
A[T(k 1 + q) ]
( k 1 )T
mT
e
0
d = ( k 1 + q )T
d = d
= ( k 1 )T = ( k 1 + q )T ( k 1 )T = qT
d
= ( k 1 + q )T = 0
qT
x [ ( k 1 )T ] +
( qT )
dB u [ ( k 1 )T
[ T ( k ( 1 q ) ) ] = ( qt ) e
AqT
( qT )
x [ T ( k ( 1 q ) ) ] = ( qT )x ( k 1 ) + ( qT )u ( k 1 )
Note that, u[T(k(1q)] = u[k(1q)]
= u(k1+q)
= u(k-1)
It can be noted that ~1 ZoH, the input signal u(t) will be sampled @
time-step kT and the value of the sample is led through time-step (k+1)T.
So, if we delay the signal by k-1 and then advance the signal by m s.t. we
get u(k1+q) we will still be capturing the value of the signal @ time-step
k1, i.e. u(k1)
y(kt) = Cx[T(k(1q))] + Du[T(k(1q))]

y(k) = C[(qt)x(k1) + (qT)u(k1)] + Du(k1)
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y(k) = C[(qT)x(k1) + [C(qT)+D]u(k1)

y(k+1) = C(qT)x(k) + [C(qT)+D]u(k)
x(k)
Note
[0 I] x(k)
---------- +
Cd y ( k )
[0]
y(k) =
Bd
Dd
u(k)
Ad
------------------------------C ( qT ) + D
x(k)
---------y(k)
x ( k + 1 )
T
0
C ( qT ) 0
x(k + 1)
------------------y(k + 1)
u(k)
u(k)
Few of the derivations here follows the development in

Ed., 1998, pp. 110-114.
Problem 4: ZOH discretization with vectorized output delay
x ( t ) = Ax ( t ) + Bu ( t )
y ( t + ) = Cx ( t ) + Du ( t )
x1 ( t )
y1 ( t + 1 )
y2 ( t + 2 )
ym ( t + m )
y1 ( t + 1 )
x2 ( t )
D1
u1 ( t )
u (t)
D2 2
+
Cm
Dm
ur ( t )
xn ( t )
C2
C 11 x 1 ( t ) + C 12 x 2 ( t ) + + C 1n x n ( t ) + D 11 u 1 ( t ) + D 12 u 2 ( t ) + + D 1r u r ( t )
y2 ( t + 2 )
ym ( t + m )
C1
C 21 x 1 ( t ) + C 22 x 2 ( t ) + + C 2n x n ( t ) + D 21 u 1 ( t ) + D 22 u 2 ( t ) + + D 2r u r ( t )
=
C m1 x 1 ( t ) + C m2 x 2 ( t ) + + C mn x n ( t ) + D m1 u 1 ( t ) + D m2 u 2 ( t ) + + D 2mr u r ( t )
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y1 ( t )
C 11 x 1 ( t 1 ) + C 12 x 2 ( t 1 ) + + C 1n x n ( t 1 )
y2 ( t )
ym ( t )
C 21 x 1 ( t 2 ) + C 22 x 2 ( t 2 ) + + C 2n x n ( t 2 )
=
C m1 x 1 ( t m ) + C m2 x 2 ( t m ) + + C mn x n ( t m )
D 11 u 1 ( t 1 ) + + D 1r u ( t 1 )
D 21 u 1 ( t 2 ) + + D 2r u ( t 2 )
D m1 u 1 ( t m ) + + D mr u ( t m )
y1 ( t )
C1 x ( t 1 )
y2 ( t )
ym ( t )
D1 u ( t 1 )
C2 x ( t 2 )
=
Cm x ( t m )
D2 u ( t 2 )
+
Dm u ( t m )
Define,
= ( j q )T
1
1
1
= ( j q )T
2
2
2
= ( j q )T
m
m
m
j 1 = 1, 2, 3, ... i = 1, 2, ..., m
i = 1, 2, ..., m
0 q1 < 1
We will only consider the case where j 1 1, q 1 < 1 .
If j1 > 1, the (j1 1) delay will be set to the discrete model at the output
channel i, independently after the discretization is achieved.
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Now,
y1 ( t )
C1 x ( t 1 )
y2 ( t )
ym ( t )
y 1 ( kT )
C2 x ( t 2 )
=
D2 u ( t 2 )
Cm x ( t m )
Dm u ( t m )
C 1 x [ kT ( 1 q 1 )T ]
y 2 ( kT )
y m ( kT )
D1 u ( t 1 )
D 1 u [ kT ( 1 q 1 )T ]
C 2 x [ kT ( 1 q 2 )T ]
=
C m x [ kT ( 1 q m )T ]
D 2 u [ kT ( 1 q 2 )T ]
+
D m u [ kT ( 1 q m )T ]
But,
t
x(t) = e
A ( t t0 )
x ( t0 ) + e
A(t )
Bu ( ) d
t0
t 0 = ( k 1 )T, t = kT ( 1 q 1 )T
kT ( 1 m )T
x [ T ( k ( 1 q i ) ) ] = e
A [ kT ( 1 q i )T ( k 1 )T ]
x [ ( k 1 )T ] +
A [ kT ( 1 q i )T ]
Bu ( ) d
( k 1 )T
Also,
u [ T ( k ( 1 qi ) ) ] = u [ k 1 + qi ] = u ( k 1 )
Following the same derivation as in case (3) we get
x [ k ( 1 q i ) ] = ( q i T )x ( k 1 ) + ( q i T )Bu ( k 1 )
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y1 ( k )
C 1 [ ( q 1 T )x ( k 1 ) + ( q 1 T )u ( k 1 ) ]
y2 ( k )
ym ( k )
C 2 [ ( q 2 T )x ( k 1 ) + ( q 2 T )u ( k 1 ) ]
=
C m [ ( q m T )x ( k 1 ) + ( q m T )u ( k 1 ) ]
D1 u ( k 1 )
D2 u ( k 1 )
+
Dm u ( k 1 )
C 1 ( q 1 T )x ( k 1 )
C1 ( q1 T ) + D1
C 2 ( q 2 T )x ( k 1 )
=
C m ( q m T )x ( k 1 )
C2 ( q2 T ) + D2
C1 ( q1 T )
C2 ( q2 T )
=
Cm ( qm T )
u(k 1)
Cm ( qm T ) + Dm
C1 ( q1 T ) + D1
x(k 1) +
C2 ( q2 T ) + D2
u(k 1)
Cm ( qm T ) + Dm
C1 ( q1 T )
Cm ( qm T )
y(k + 1) =
x(k )
C2 ( q2 T ) + D2
+
Cm ( qm T ) + Dm
C'
x(k)
y(k) +
79
x ( k )
T'
D'
u(k)
(T) 0
C' 0
Ad
x ( k + 1 )
D'
x(k + 1)
y(k + 1)
u(k)
C2 ( q2 T )
C1 ( q1 T ) + D1
Bd
u(k)
Cd
[0] u(k)
y(k) = [0 I]
x(k)
y(k) +
Dd
x ( k )
Problem 5: ZOH discretization with uniform input and output delay.

x ( t ) = Ax ( t ) + Bu ( t )
y ( t ) = Cx ( t ) + Du ( t ( + ) ) y ( t + ) = Cx ( t ) + Du ( t )
= ( j q )T
j = 1, 2, ...
0 q < 1
= ( l m )T
l = 1, 2, ...
0m<1
We will consider the case when l = j 1, 0 m, q < 1 .
If (l > 1) and/or ( j > 1), the (l 1) and/or ( j 1) delay will be set to the
model independently after the discretization is achieved.
1.
State Eq: Following the same derivations as in case (1), we find that
x ( k + 1 ) = ( T )x ( k ) + 1 u ( k 1 ) + 2 u ( k )
1 = ( mT ) ( T mT )
2 = ( mT )
( k) = u(k 1)
Observation Eq.: Following the same derivations as in case (3), we find that
y ( kT ) = Cx [ kT ( 1 q )T ] + Du [ kT ( 1 m + 1 q )T ]
+ Du [ ( k 2 + m + q )T ]
Cx [ ( k 1 + q )T ]
**
* x [ ( k 1 + q )T ] = ?
Recall,
t
x(t) = e
A ( t t0 )
x ( t0 ) + e
A(t )
Bu ( ) d
t0
t 0 = ( k 1 )T
t = kT ( 1 q )T
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x [ ( k 1 + q )T ] = e
A [ kT T + qT kT + T ]
x [ ( k 1 )T ]
kT ( 1 q )T
A [ kT T + qT ]
Bu ( ) d
( k 1 )T
=e
AqT
x [ ( k 1 )T ]
kT ( 1 q )T
A [ kT T + qT ]
Bu ( ) d
( k 1 )T
= kT T + qT I
d = d
= ( k 1 )T = kT T + qT kT + T = qT
= kT ( 1 q ) T = kT T + qT Tk + T = qT
qT
x [ ( k 1 + q )T ] = e
AqT
x [ ( k 1 )T ] +
Bu [ kT T + qT ] d
0
qT
= e
AqT
x [ ( k 1 )T ] +
Bu [ kT T + qT ( 1 m )T ] d
Bu [ ( k 2 + q + m )T ] d
0
qT
= e
AqT
x [ ( k 1 )T ] +
I
qT
I =
Bu [ ( k 2 + q + m )T ] d
@ = 0 u [ ( k 2 + q + m )T ]
@ = qT u [ ( k 2 + m )T ]
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Note that,
0 q, m < 1
0q+m<2
case 1:
0m+q<1
qT
I =
Bu [ ( k 2 + q + m )T ] d
0
qT
d B u [ ( k 2 )T ]
case 2:
1m+q<2
qT
I =
Bu [ ( k 2 + q + m )T ] d
0
( q + m )T T
d B u [ ( k 1 )T ]
d B u [ ( k 2 )T ]
0
qT
( q + m )T T
qT
(e
B u [ ( k 2 + q + m )T ] d
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qT
e A d B u [ ( k 2 )T ], 0 m + q < 1
( q + m 1 )T
A
e d B u [ ( k 1 )T ]
=
qT
A
+
e d B u [ ( k 2 )T ], 1 m + q < 2
( q + m 1 )T
Define,
( a ) = e Aa
A
( a ) = e d B
Now,
qT
d B
( q + m 1 )T
= ( q + m 1 )T
d = d
( 1 m )T
A[ + (q + m 1)T]
d B
0
( 1 m )T
= e
( q + m 1 )T
d B
= [ ( q + m 1 )T ] [ ( 1 m )T ]
= ( q + m 1 )T = ( q + m 1 )T ( q + m 1 )T
= qT = qT qT mT + T = ( 1 m )T
83
x [ ( k 1 + q )T ] = ( qT )x [ ( k 1 )T ] + I
( qT ) u [ ( k 2 )T ],
I =
[ ( q + m 1 )T ] u [ ( k 1 )T ]
[ ( q + m 1 )T ] [ ( 1 m )T ] u [ ( k 2 )T ],
0m+q<1
1m+q<2
** u [ ( k 2 + q + m )T ] =
case 1:
0m+q<1
u [ ( k 2 + m + q )T ] = u [ ( k 2 )T ]
case 2:
1m+q<2
u [ ( k 2 + m + q )T ] = u [ ( k 1 )T ]
case 1:
0m+q<1
y ( kT ) = C [ ( qT ) x ( k 1 )T ] + ( qT ) u [ ( k 2 )T ] + D u [ ( k 2 )T ]
y ( kT ) = C ( qT ) x[ ( k 1 )T ] + [ C ( qT ) + D ] u[ ( k 2 )T ]
case 2:
1m+q<2
y ( kT ) = C [ ( qT )x ( k 1 )T ] + [ ( q + m 1 )T ] u [ ( k 1 )T ]
+ [ ( q + m 1 )T ] [ ( 1 m )T ] u [ ( k 2 )T ]
+ D u [ ( k 1 )T ]
y ( kT ) = C ( qT ) x[ ( k 1 )T ] + [ C [ ( q + m 1 )T ] + D ]u [ ( k 1 )T ]
+ C [ ( q + m 1 )T ] [ ( 1 m )T ] u [ ( k 2 )T ]
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C ( qT ) x( k ) + [ C ( qT ) + D ]u ( k 1 )
y ( k + 1 ) = C ( qT ) x( k ) + [ C [ ( q + m 1 )T ] + D ]u ( k )
+ C [ ( q + m 1 )T ] [ ( 1 m )T ] u ( k 1 )
0m+q<1
1m+q<2
case 1:
0m+q<1
(T)
1
0 x(k)
2
x(k + 1)
=
+
(k + 1)
I u( k)
0
0
0 (k)
y(k + 1)
0
C ( qT ) C ( qT ) + D 0 y ( k )
x(k)
y ( k ) = 0 0 I ( k ) + [ 0 ]u ( k )
y(k)
case 2:
1m+q<2
(T)
1
0 x(k)
2
x(k + 1)
=
+
u(k)
(k + 1)
I
0
0
0 (k)
y(k + 1)
C [ ( q + m 1 )T ] + D
C ( qT ) C [ ( q + m 1 )T ] [ ( 1 m )T ] 0 y ( k )
x(k)
y ( k ) = 0 0 I ( k ) + [ 0 ]u ( k )
y(k)
Problem 6: ZoH discretization with vectorized input and output delays
x ( t ) = Ax ( t ) + Bu ( t )
y ( t + ) = Cx ( t ) + Du ( t )
1 = ( l 1 P 1 )T
2 = ( l 2 P 2 )T
= ( l P )T
r
r
r
85
1 = ( h 1 q 1 )T
2 = ( h 2 q 2 )T
= ( h q )T
r
r
r
l j = 1, 2,
o Pj < 1
1.
h i = 1, 2,
o qi < 1
j = 1, 2, , r
j = 1, 2, , r
i = 1, 2, , r
i = 1, 2, , r
We will only consider the case when l j = h i 1 , o P j , q i < 1 .
If ( l j > 1 ) and/or ( h i > 1 ) , the ( l j 1 ) and/or ( h i > 1 ) delay will

be set to the model independently after the discretization is
achieved.
State Equation: Following the same derivatives as in case (2), we find

that
x ( t ) = Ax ( t ) + Bu ( t )
B = [ b1 b2 br ]
x ( k + 1 ) = ( T )x ( k ) + T 1 u ( k 1 ) + T 2 u ( k )
1 = [ 1,1 1,2 1, r ]
1, j = j ( P j T ) j ( T P j T )
j ( Pj T ) = e
j = 1, 2, , r
AP j T
T Pj T
A
j ( T Pj T ) =
d b j
2 = [ 2,1 2,2 2, r ]
2, j = j ( P j T )
j = 1, 2, , r
Pj T
j ( Pj T ) =
( d b j )
2.
Observation Equation: Following the same derivations as in case (4),

we find that
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y1 ( t + 1 )
c 11 x 1 ( t ) + c 12 x 2 ( t ) + + c 1n x n ( t )
y2 ( t + 2 )
ym ( t + m )
d 11 u 1 ( t 1 ) + + d 1r u r ( t r )
c 21 x 1 ( t ) + c 22 x 2 ( t ) + + c 2n x n ( t )
c m1 x 1 ( t ) + c m2 x 2 ( t ) + + c mn x n ( t )
y2 t
d m1 u 1 ( t 1 ) + + d mr u r ( t r )
c 11 x 1 ( t 1 ) + c 12 x 2 ( t 2 ) + + c 1n x n ( t 1 )
y1 t
d 21 u 1 ( t 1 ) + + d 2r u r ( t r )
c 21 x 1 ( t 2 ) + c 22 x 2 ( t 2 ) + + c 2n x n ( t 2 )
c m1 x 1 ( t m ) + c m2 x 2 ( t m ) + + c mn x n ( t m )
ym t
d 11 u 1 [ t ( 1 + 1 ) ] + d 12 u 2 [ t ( 2 + 1 ) ] + + d 1r u r [ t ( r + 1 ) ]
d 21 u 1 [ t ( 1 + 2 ) ] + d 22 u 2 [ t ( 2 + 2 ) ] + + d 2r u r [ t ( r + 2 ) ]
d m1 u 1 [ t ( 1 + m ) ] + d mr u r [ t ( 2 + m ) ] + + d mr u r [ t ( r + m ) ]
y1 ( t )
y2 ( t )
ym ( t )
c1 x ( t 1 )
=
D1 u [ t ( + 1 ) ]
c2 x ( t 2 )
cm x ( t m )
D2 u [ t ( + 2 ) ]
Dm u [ t ( + m ) ]
y 1 ( kT )
c 1 x [ kT ( 1 q 1 )T ]
D 1 u [ kT ( 1 P ) T ( 1 q 1 ) T ]
y 2 ( kT )
c 2 x [ kT ( 1 q 2 ) T ]
D 2 u [ kT ( 1 P ) T ( 1 q 2 )T ]
c m x [ kT ( 1 q m ) T ]
y m ( kT )
**
* x [ kT ( 1 q i )T ]=
D m u [ kT ( 1 P )T ( 1 q m ) T ]
i = 1, 2, , m
recall, x ( t ) = e
A ( t t0 )
x ( t0 ) + e
A(t )
B u ( )d
t0
t 0 = ( k 1 )T
t = kT ( 1 q i )T
87
x [ ( k 1 + q i )T ] = e
Aq i T
kT ( 1 q i )T
A [ kT T + q i T ]
x [ ( k 1 )T ] +
B u ( )d
( k 1 )T
= ( k 1 )T = q i T
= kT T + q i T
= kT ( 1 q i ) T = 0
d = d
x [ ( k 1 + q i )T ] = e
Aq i T
qi T
x [ ( k 1 )T ] +
B u [ kT T + q i T ]d
qi T
= ( q i T )x [ ( k 1 )T ] +
B u [ kT T + q i T ( 1 P )T ]d 1
Ii
qi T
Ii =
B u [ kT T + q i T ( 1 P ) T ]d
qi T
B u 1 [ kT T + q i T ( 1 P 1 ) T ]
d
u r [ kT T + q i T 1 P r T ]
qi T
B u 1 [ ( k 2 + q i + P 1 )T ]
u 2 [ ( k 2 + q i + P 2 )T ]
u r [ ( k 2 + q i + P r )T ]
qi T
Ii =
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b 11 u 1 [ ( k 2 + q i + P 1 )T ] + b 12 u 2 [ ( k 2 + q i + P 2 )T ] + + b 1r u r [ ( k 2 + q i + P r )T ]
b 21 u 1 [ ( k 2 + q i + P 1 )T ] + b 22 u 2 [ ( k 2 + q i + P 2 )T ] + + b 2r u r [ ( k 2 + q i + P r )T ]
b n1 u 1 [ ( k 2 + q i + P 1 )T ] + b n2 u 2 [ ( k 2 + q i + P 2 )T ] + + b nr u r [ ( k 2 + q i + P r )T ]
[ b 1 u 1 [ ( k 2 + q i + P 1 )T ] + b 2 u 2 [ ( k 2 + q i + P 2 )T ] + + b r u r [ ( k 2 + q i + P r )T ]
qi T
b 1 u 1 [ ( k 2 + q i + P 1 )T ]
I i ,1
qi T
b 2 u 2 [ ( k 2 + q i + P 2 )T ]d
I i ,2
+
qi T
b r u r [ ( k 2 + q i + P r )T ]d
I i ,r
I i = I i ,1 + Ii ,2 + + I i ,r
qi T
where, I i ,j =
b j u j [ ( k 2 + q i + P i )T ]d
89
j = 1, 2, , r
i = 1, 2, , m
qi T
e A d b u [ ( k 2 )T ]
j
j
( qi + Pj 1 )T
A
e d b j u j [ ( k 1 )T ]
=
qi T
A
+
e d b j u j [ ( k 2 )T ]
( qi + Pj 1 )T
0 qi + Pj < 1
0 qi + Pj < 2
= ( q i + P j 1 )T
qi T
but,
= ( q i + P j 1 )T = 1
d b j d = d
= q i T = ( 1 P j )
( q i + P j 1 )T
( 1 P j )T
A ( qi + Pj 1 ) ( T + )
d b j
=e
A ( q i + P j 1 )T
( 1 P j )T
A
d b j
= [ ( q i + P j 1 )T ] j [ ( 1 P j )T ]
I i ,j
j q i T u j [ ( k 2 )T ]
[ ( q + P 1 )T ] u [ ( k 1 )T ]
j
j
j i
=
+ [ ( q i + P j 1 )T ] j [ ( 1 P j )T ] u j [ ( k 2 )T ]
0 Pj + qi < 1
1 Pj + qi < 2
i = 1, 2, , m
j = 1, 2, , r
x [ ( k 1 + q i )T ] = ( q i T )x [ ( k 1 )T ] + [ I i ,1 + I i ,2 + + I i ,r ]
= ( q i T )x [ ( k 1 )T ] + i ,3 u [ ( k 2 )T ] + i ,4 u [ ( k 1 )T ]
i ,3 = [ i ,3 ,1 i ,3 ,2 i ,3 ,r ]
j ( qi T )
i ,3 ,j =
[ ( q i + P j 1 )T ] j [ ( 1 P j )T ]
90
0 Pj + qi < 1
1 Pj + qi < 2
ni.com
i ,4 = [ i ,4 ,1 i ,4 ,2 i ,4 ,r ]
0 Pj + qi < 1
0
i ,4 ,j =
j [ ( q i + P j 1 )T ]
1 Pj + qi < 2
** u [ kT ( 1 P ) T ( 1 q i ) T ]=
i = 1, 2, , m
u [ kT ( 1 P ) T ( 1 q i ) T ] = u 1 [ kT ( 1 P 1 ) T ( 1 q i ) T ]
u 2 [ kT ( 1 P 2 ) T ( 1 q i ) T ]
u r [ kT ( 1 P r ) T ( 1 q i ) T ]
= u 1 [ kT ( 2 P 1 q i )T ]
u 1 [ kT ( 2 P 2 q i )T ]
u r [ kT ( 2 P r q i )T ]
Case 1: 0 P j + q i < 1
j = 1, 2, , r
u j [ kT ( 2 P j q i )T ] = u j [ ( k 2 )T ]
Case 2: 1 P j + q i < 2
u j [ kT ( 2 P j q i )T ] = u j [ ( k 1 )T ]
u [ kT ( 1 P ) T ( 1 q i ) T ] = V i u [ ( k 2 )T ] + W i [ ( k 1 )T ]u [ ( k 1 )T ]
V i ,11
where, V i =
W i ,11
Wi =
0
0
V i ,22 0

0 0 V i ,rr
0
W i ,22 0

0 0 W i ,rr
91
0 Pj + qi < 1
1
V i ,jj =
0
1 Pj + qi < 2
j = 1, 2, , r
1
W i ,jj =
0
0 Pj + qi < 1
1 Pj + qi < 2
j = 1, 2, , r
finally,
C 1 [ ( q 1 T )x [ ( k 1 )T ] + 1 ,3 u [ ( k 2 )T ] + 1 ,4 [ ( k 1 )T ] ]
y 1 ( kT )
y 2 ( kT )
y m ( kT )
C 2 [ ( q 2 T )x [ ( k 1 )T ] + 2 ,3 u [ ( k 2 )T ] + 2 ,4 [ ( k 1 )T ] ]
C m [ ( q m T )x [ ( k 1 )T ] + m ,3 u [ ( k 2 )T ] + m ,4 [ ( k 1 )T ] ]
D 1 [ V 1 u [ ( k 2 )T ] + W 1 u [ ( k 1 )T ] ]
+
D 2 [ V 2 u [ ( k 2 )T ] + W 2 u [ ( k 1 )T ] ]
D m [ V m u [ ( k 2 )T ] + W m u [ ( k 1 )T ] ]
y m ( kT )
C2 2 ( q2 T )
x [ ( k 1 )T ] +
C 2 2 ,3 + D 2 V 2
u [ ( k 2 )T ]
C m m ,3 + D m V m
Cm m ( qm T )
y 2 ( kT )
C 1 1 ,3 + D 1 V 1
C1 1 ( q1 T )
y 1 ( kT )
D2
C 1 1 ,4 + D 1 W 1
C 2 2 ,4 + D 2 W 2
u [ ( k 1 )T ]
C m m ,4 + D m W m
D2
Discrete-Equivalent System:
2
( T ) 1 0 x ( k )
(k + 1) =
0
0 0 (k) + 0 u(k)
x(k + 1)
y(k + 1)
D1 0
y(k)
D2
x(k)
y(k) = 0 0 I (k) + 0 u(k)
y(k)
where,
1 = 1 ,1 1 ,2 1 ,r
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1 ,j = j ( P j T ) j ( T P j T )
j ( Pj T ) = e
j ( T Pj T ) =
j = 1, 2, , r
AP j T
T Pj T
A
d b j
2 = 2 ,1 2 ,2 2 ,r
2 ,j = j ( P j T )
j = 1, 2, , r
Pj T
j ( Pj T ) =
d b j
C1 1 ( q1 T )
C =
Cm m ( qm T )
C 1 1 ,3 + D 1 V 1
D1 =
C 2 2 ,3 + D 2 V 2
C 1 1 ,4 + D 1 V 1
C 2 2 ,4 + D 2 V 2
D2 =
C m m ,3 + D m V m
i ,3 = i ,3 ,1 i ,3 ,2 i ,3 ,r
C m m ,4 + D m V m
i = 1, 2, , m
j = 1, 2, , r
j ( qi T )
i ,3 ,j =
[ ( q i + P j 1 )T ] j [ ( 1 P j )T ]
0 Pj + qi < 1
1 Pj + qi < 2
i ,4 = i ,4 ,1 i ,4 ,2 i ,4 ,r
0
i ,4 ,j =
j [ ( q i + P j 1 )T ]
93
0 Pj + qi < 1
1 Pj + qi < 2
V i ,11
Vi =
i = 1, 2, , m
V i ,22 0
j = 1, 2, , r

0 V i ,rr
W i ,11
Wi =
W i ,22

0 W i ,rr
1
V i ,jj =
0
0
W i ,jj =
1
0 Pj + qi < 1
1 Pj + qi < 2
0 Pj + qi < 1
1 Pj + qi < 2
Adjust Stochastic State-Space System with

Non-Zero-Mean Noise Excitation
Much of the derivation in this document follows the developments in the following
reference:
Note
[1] Jerry Mendel, Lessons in Estimation Theory for Signal Processing, Communications,
and Control, Prentice Hall, 1995.
Problem Statement
Given the Discrete-Time LTV stochastic state-space system:
x ( k + 1 ) = A ( k )x ( k ) + B ( k )u ( k ) + G ( k )w ( k )
= C ( k )x ( k ) + D ( k )u ( k ) + H ( k )w ( k ) + v ( k )
y(k)
where the noise sequences { w ( k ) } and { v ( k ) } are non-zero-means.
i.e.
E { w ( k ) } = mw ( k ) 0
E { v ( k ) } = mv ( k ) 0
Need to transform the above system into a stochastic state-space system

perturbed by zero-mean noise sequences.
Solution
Define the noise sequence:
w1 ( k ) w ( k ) mw ( k )
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E { w1 ( k ) } = E { w ( k ) } E { mw ( k ) } = 0
w 1 ( k ) is a zero-mean noise sequence...
x ( k + 1 ) = ( k )x ( k ) + B ( k )u ( k ) + G ( k )w 1 ( k ) + G ( k )m w ( k )
Define. u 1 ( k ) B ( k )u ( k ) + G ( k )m w ( k )
x ( k + 1 ) = A ( k ) + u 1 ( k ) + G ( k )w 1 ( k )
Define the Noise sequence.
v1 ( k ) v ( k ) mv ( k )
E { v1 ( k ) } = E { v ( k ) } E { mv ( k ) } = o
v 1 ( k ) is a zero-mean noise sequence...
y ( k ) = C ( k )x ( k ) + D ( k )u ( k ) + H ( k )w 1 ( k ) + H ( k )m w ( k ) + v 1 ( k ) + m v ( k )
Define, y 1 ( k ) y ( k ) D ( k )u ( k ) H ( k )m w ( k ) m v ( k )
y 1 ( k ) = C ( k )x ( k ) + H ( k )w 1 ( k ) + v 1 ( k )
Discrete-Time Recursive Kalman Filter

Problem Statement
Given the Discrete-Time (DT) Linear Time-Varying (LTV) stochastic
state-space system:
xk + 1 = Ak xk + Bk uk + Gk wk
yk = Ck xk + Dk uk + Hk wk + vk
The control input vector uk Rr is deterministic and known k.
The matrices Ak Rnn, Bk Rnr, Gk Rnq, Ck Rmn, Dk Rmr,

Gk Rmq are deterministic and known k.
The disturbances {wk} and {vk} are assumed to be white (i.e.

zero-mean and uncorrelated) random sequences with the following
first- and second-order statistics:
95
E{wk} = o k
Cov{wk, wj} = E{wkwjT} = QkSkj, Qk = QkT 0 k, j = 0, 1...
E{vk} = o k
Cov{vk, vj} = E{vkvjT} = RkSkj, Rk = RT > 0 k, j = 0, 1...
Cov{wk, vj} = E{wkvjT} = NkSkj

where Skj is the Kronecher Delta function, defined as:
S kj =
k = j
kj
We need to find, for every time-step k, the best linear predicted and filtered
state estimates of the vector xk (denoted as x k + 1 k and x k k , respectively)
in terms of the measurement sequence
k
{ y k } = { y i } i = 0 = { y 0, y 1, , y k }
sequence of measurements up to and including time.
random vector y is defined as:
1
x = E { x y } = m x + xy yy [ y m y ]
m x = E { x }, m y = E { y }, xy = Cov { x, y }, yy = Cov { y, y }
Denote:
x k + 1 k = E { x k + 1 y k } best linear predicted state estimate
x k k = E { x k y k } best linear filtered state estimate
x k k 1 = x k x k k 1 estimation error
k k 1 = Cov { x k k 1, x k k 1 } covariance of estimation error.
Solution:
The best linear (lin.) estimator x k + 1 k of the state vector xk+1 in terms of
k
the measurement sequence y k = { y i } i = 0 may be computed recursively

using x k k 1 and yk according to:
The following derivations assumes familiarity of the reader with basic concepts of
Estimation Theory and Linear Algebra. Much of the derivations herein follows the
Note
96
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Rhodes, Ian, A Tutorial Introduction to Estimation and Filtering, IEEE
Transactions on Automatic Control, vol AC-16, No. 6, December 1971,
pp 688-706
Mendel, Jerry, Lessons in Estimation Theory for Signal Processing,
Communications and Control, Prentice Hall, 1995

xk + 1 k = Ak xk k 1 + Bk uk + Lk [ yk Ck xk k 1 Dk uk ]
T
T
Lk = [ Ak k k 1 Ck + Gk Qk Hk + Gk Nk ]
[ Ck k k 1 CkT + Hk Qk HkT + Hk Nk + NkT HkT + Rk ]
I.C.: x 0 1 = E { x 0 }
The covariance of estimation error evolves according to:
k + 1 k = cov {x k + 1 k, x k + 1 k}
T
T
= [A
k k k 1 Ak + Gk Qk Gk ]
T
T
[ Ak k k 1 Ck + Gk Qk Hk Gk Nk ]
1
[ Ck k k 1 CkT + Hk Qk HkT + Hk Nk + NkT HkT + Rk ]
T
T
T
[A
k k k 1 Ck + Gk Qk Hk + Gk Nk ]
T
I.C.: 0 1 = cov {x 0 1, x 0 1} = 0 1 0
The best linear estimator of the state vector xk in terms of x k k 1 and Yk

may be computed according to:

x k k = x k k 1 + M k [ y k C k x k k 1 D k u k ]
1
Mk = [ k k 1 CkT ] [ Ck k k 1 CkT + Hk Qk HkT + Hk Nk + NkT HkT + Rk ]
The covariance matrix of the filtered estimation error is computed as:
k k = cov {x k k, x k k}
= k k 1 Mk [ Ck k k 1 ]
97
Kalman Filter Derivation:
*
y k k 1 = E {yk Y k 1 }
*
= E { [Ck xk + Dk uk + Hk wk + vk ] Y k 1 }
*
E { vk Yk 1 }
= Ck E {xk Y k } + D k E {uk Y k 1 } + H k E {wk Y k 1 } +

1
1:
*
E { w k Y k 1 } = E { w k y 0 , y 1 , , y k 1 }
1
= cov {wk, Y k 1} cov {Y k 1, Y k 1} [ Y k 1 E { Y k 1 } ]

But, Yk 1 = {y0, y1, ..., yk 1} depends only and linearly on
k1
k1
x 0 ,{ w i } i = 0 { v i } i = 0 , all of which are correlated with wk.

*
E { wk Yk 1 } = 0
2:
*
E { v k Y k 1 } = cov {vk, Y k 1} cov {Y k 1, Y k 1} [ Y k 1 E { Y k 1 } ]

*
E { v k Y k 1 } = 0 same as above argument

y k k 1 = C k x k k 1 + D k u k
y k k 1 = y k y k k 1
= C k x k + D k u k + H k w k + v k C k x k k 1 D k u k
y k k 1 = Ck x k k 1 + H k w k + v k
vk is uncorrelated with x k , x k k 1 , x k k 1
wk is uncorrelated with x k , x k k 1 , x k k 1
uncorrelated with xk, since x k = A k 1 x k 1 + B k 1 u k 1 + G k 1 w k 1
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k1
xk depends only on { w i } i = 0 , all of which are uncorrelated with vk and

*
uncorrelated with x k k 1 , since x k k 1 = E { x k Y k 1 } , but
{ Y k 1 } = { y 0 , , y k } depends only and linearly on

k1
k1
x 0 , { w i } i = 0 , { v i } i = 0 , all of which are uncorrelated with vk and wk.
uncorrelated with x k k 1 , since x k k 1 = x k x k k 1 , which is a

linear function of xk and x k k 1 , both of which are uncorrelated with
vk and wk.
cov {y k k 1, y k k 1} = E { [ Ck x k k 1 + H k w k + v k ] [ Ck x k k 1 + H k w k + v k ]
T
= E { Ck x k k 1 x k k 1 Ck + Ck x k k 1 wk Hk + Ck x k k 1 vk
T
+ H k w k x k k 1 Ck + H k w k w k Hk + H k w k v k
T
+ v k x k k 1 C k + v k w k H k + v k v k }
T
cov {y k k 1, y k k 1} = C k k k 1 C k + H k Q k H k + H k N k + N k H k + R k
recall, updating formula:
x
k+1
= E { x y 0 , y 1 , , y k , y k + 1 }
*
= x k + E { x k y k + 1 k }
where:
*
x k = E { x y 0 , y 1 , , y k }
x k = x x k
*
y k + 1 k = y k + 1 E { y k + 1 y 0 , y 1 , , y k }
The estimation error x k k 1 is zero mean, and the innovations set

{ y i i 1 } is zero-mean and mutually-uncorrelated.
Kalman one-step-ahead Predictor:
99
*
x k + 1 k = E { x k + 1 y 0 , y 1 , , y k + 1 }
*
E { x k + 1 k 1 y k k 1 }
= x k + 1 k 1
i
ii
i:
x k + 1
k1
= E { x k + 1 Y k 1 }
*
= E { Ak xk + Bk uk + Gk wk Yk 1 }
*
= Ak E { xk Yk 1 } + Bk E { uk Yk 1 } + Gk E { wk Yk 1 }
x k + 1 k 1 = A k x k k 1 + B k u k
ii:
*
E { x k + 1 k 1 y k k 1 } = E { x k + 1 k 1 } + cov {x k + 1
k 1, y k k 1}
1
cov {y k k 1, y k k 1} [ y k k 1 E { y k k 1 } ]
but, E { x k + 1 k 1 } = E { x k + 1 x k + 1 k 1 }
= E { x k + 1 A k x k k 1 B k u k }
= E { A k x k + B k u k + G k w k A k x k k 1 B k u k }
o
= A k E { x k k 1 } + G k E { w k }
= 0
1
cov { y k k 1, y k k 1 }
y k k 1
cov { x k + 1 k 1, y k k 1 }
k1
y k k 1 } =
E { x k + 1
1 cov { x k + 1 k 1, y k k 1 } = cov { [ x k + 1 x k + 1 k 1 ], y k k 1 }
1.a
cov { x k + 1 k 1, y k k 1 }
cov { x k + 1, y k k 1 }
1.b
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1.a cov { x k + 1, y k k 1 } = cov { x k + 1, C k x k k 1 + H k w k + v k }

T
= cov { x k + 1, x k k + 1 } C k
+ cov { x k + 1, w k } H k
+ cov { x k + 1, v k }
= cov { x k + 1, x k k 1 } C k
+ cov { A k x k + B k u k + G k w k, w k }H k
+ cov { A k x k + B k u k + G k w k, v k }
1.a cov { x k + 1, y k k 1 } = cov { x k + 1, x k k 1 }C kT + G k Q k H kT + G k N k
= A k cov { x k, x k k 1 }C kT + B k cov { u k, x k k 1 }C kT + G k cov { w k, x k k 1 }
+ G k Q k H kT + G k N k
1.b cov { x k + 1 k 1, y k k 1 } = cov { x k + 1 k 1, C k x k k 1 + H k w k + v k }
= cov { x k + 1
k 1,
x k k 1 }C kT
+ cov { x k + 1
k 1,
w k }H kT
+ cov { x k + 1
k 1,
vk }
= cov { A k x k k 1 + B k u k, x k k 1 }C kT
+ cov { A k x k k 1 + B k u k, w k }H kT
+ cov { A k x k k 1 + B k u k, v k }
= A k cov { x k k 1, x k k 1 }C kT
+ B k cov { u k, x k k 1 }C kT
+ A k cov { x k k 1, w k }H kT
+ B k cov { u k, w k }H kT
101
+ A k cov { x k k 1, v k }
+ B k cov { u k, v k }
1.b:
cov {x k + 1
k 1, y k k 1}
= A k cov {x k k 1, x k k 1} C k
+ B k cov {u k, x k k 1} C k
+ A k cov {x k k 1, w k} H kT
1:
cov {x k + 1
k 1, y k k 1}
= 1.a 1.b
= A k cov {x k, x k k 1} C k
T
+ B k cov {u k, x k k 1} C k
T
+ G k cov {w k, x k k 1} C k
T
+ Gk Qk Hk + Gk Nk
T
A k cov {x k k 1, x k k 1} C k
B k cov {u k, x k k 1} C k
A k cov {x k k 1, w k} H k
= A k cov {x k k 1, x k k 1} C k
+ G k cov {w k, x k k 1} C k
+ Gk Qk Hk + Gk Nk
A k cov {x k k 1, w k} H k
T
T
cov {x k + 1 k 1, y k k 1} = A k k k 1 C k + G k Q k H k + G k N k
2:
T
T
T
T
cov {y k k 1, y k k 1} = C k k k 1 C k + H k Q k H k + H k N k + N k H k + R k
3:
y k k 1 = y k y k k 1
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y k k 1 = y k C k x k k 1 D k u k
x k + 1 k 1 = i + ii
T
= A k x k k 1 + B k u k + [ A k k k 1 C k G k Q k H k + G k N k ]
T
[ Ck k k 1 Ck + Hk Qk Hk + Hk Nk + Nk Hk + Rk ]
[ y k C k x k k 1 D k u k ]
T
Lk = [ Ak k k 1 Ck + Gk Qk Hk + Gk Nk ] [ Ck k k 1 Ck + Hk Qk Hk + Hk Nk + Nk Hk + Rk ]
Now, lets derive the covariance of estimation error evolution equation.
Recall, updating formula:
1
T
cov {x k + 1, x k + 1} = cov {x k, x k} cov {x k , y k + 1 k} cov {y k + 1 k, y k + 1 k} cov {x k, y k + 1 k}
cov {x k + 1 k , x k + 1 k} =
*
cov {x k + 1 k 1, x k + 1 k 1}
T
1
cov {x k + 1 k 1, y k k 1} cov {y k k 1, y k k 1} cov {x k + 1 k 1, y 1}
*cov {x k + 1
k 1, x k + 1 k 1}
= ?
But,
x k + 1 k 1 = x k + 1 x k + 1
k1
= xk + 1 E { [ Ak xk + Bk uk + Gk wk ] Yk 1 }
*
= x k + 1 A k x k k 1 B k u k G k E { w k Y k 1 }
*
G k E { w k Y k 1 } = 0, since Y k 1 depends only and linearly on

k1
k1
x 0 , { w i } i = 0 , { v i } i = 0 , all of which are uncorrelated with wk.

x k + 1 k 1 = A k x k + B k u k + G k w k A k x k k 1 B k u k
103
= A k x k k 1 + G k w k
cov {x k + 1 k 1, x k + 1 k 1} = cov {[ A k x k k 1 + G k w k ], [ A k x k k 1 + G k w k ]}
T
= A k E { x k k 1 x k k 1 }A k
T
T
+ A k E { x k k 1 w k }G k
T
+ G k E { w k x k k 1 }A k
T
+ G k E { w k w k }G k
T
T
* cov {x k + 1 k 1, x k + 1 k 1} = A k k k 1 A k + G k Q k G k
k + 1 k = cov {x k + 1 k, x k + 1 k}
T
= [ Ak k k 1 Ak + Gk Qk Gk ]
T
[ Ak k k 1 Ck + Gk Qk Hk + Gk Nk ]
T
[ Ck k k 1 Ck + Hk Qk Hk + Hk Nk + Nk Hk + Rk ]
T
[ Ak k k 1 Ck + Gk Qk Hk + Gk Nk ]
Now, lets derive the current filtered estimate x k k

x
k+1
*
= x k + E { x
y k + 1 k }
*
x k k = x k k + 1 + E {x k k 1 y k k 1 }
**
*
** E {x k k 1, y k k 1} = E {x k k 1 } + cov {x k k 1, y k k 1}
1
cov {y k k 1, y k k 1} [y k k 1 E {y k k 1 } ]
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cov {y k k 1, y k k 1} y k k 1
cov {x k k 1, y k k 1}
*
E {x k k 1, y k k 1} =
4
4:
T
cov {x k k 1, y k k 1} = E {x k k 1 [ y k y k k 1] }
T
= E {x k k 1 [ C kx k k 1 + H k w k + v k ] }
T
= E {x k k 1 x k k 1 } C k + E {x k k 1 w k }H k
+ E {x k k 1 v k }
= k k 1 Ck
1
T
T
T
T
T
x k k = x k k 1 + k k 1 C k [ C k k k 1 C k + H k Q k H k + H k N k + N k H k + R k ]
[ y k C kx k k 1 D k u k ]
T
Mk = k k 1 Ck [ Ck k k 1 Ck + Hk Qk Hk + Hk Nk + Nk Hk + Rk ]
Now, lets find the covariance matrix of the current filtered state estimation
error.
cov {x
k + 1, x k + 1}
1
= cov {x k, x k} cov {x k, y k + 1 k} cov {y k + 1 k, y k + 1 k} cov {y k + 1 k, x k}
k k = cov {x k k, x k k}
= cov {x k k 1, x k k 1}
1
cov {y k k 1, y k k 1} cov {y k k 1, x k k 1}
cov {x k k 1, y k k 1}
4
T
k k = k k 1 [ k k 1 C k ] [ C k k k 1 C k + H k Q k H k + H k N k + N k H k + R k ] [ k k 1 C k ]
105
Note The preceding derivations assumes familiarity of the reader with basic concepts of
Estimation Theory and Linear Algebra. Much of the derivations herein follows the
Rhodes, Ian, A Tutorial Introduction to Estimation and Filtering, IEEE

Transactions on Automatic Control, Vol AC-16, No. 6, December 1971,
pp. 688-706.
Mendel, Jerry, Lessons in Estimation Theory for Signal Processing,
Communications and Control Prentice Hall, 1995.
Continuous Algebraic Riccati Equation Somer via Schur

and QZ
Problem Statement
Need to find the positive-definite (stabilizing) solution to the Continuous
Algebraic Riccati Equation (CARE) given by:
AT = XA [XB + N]R1[BTX + NT] + Q = 0
Q NR N
T
1 T
A X + XA X BR B X +
= 0
1 T
A = A BR N
Assumptions
The following assumptions will be assumed to be true:
R = RT > 0
The positive-definiteness assumption is needed since R needs to be
non-singular for R1 to exist.
Q NR1NT 0
This condition is needed since the term Q NR1NT 0 in the
more general CARE structure given by:
AT XA XGX + H = 0
T
H = H 0
G = GT 0
Another way of looking at this condition is as follows:
106
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Q N
T
N R
But, since R is invertible, we can show that

Q N
det
0
NT R
T
must be 0
det [ R ] 0
det [ Q NR N ]
>0, sinceR > 0
Actually, the above condition ensures that Q 0 and that the

cross-term N makes sense (ex. when Q, R are auto-covariance
matrices of noise processes and N is the cross-covariance matrix of the
noise processes).
Q = QT
The pair ( A ,B 1 ) is stabilizable, where

1 T
A = A BR N
B1 is the Full-Rank Factorization (FRF) of the matrix G = BR1BT, s.t.
T
G = B 1 B 1 , with rank[G] = rank[B1]
This condition ensures the existence of the solution to the Riccati

equation and that this solution will be the optimizing solution.
The pair ( C ,A ) is detectable, where
1
1 T
A = A BR N
C1 is the Full-Rank Factorization (FRF) of the mix H = Q NR1NT,

s.t. H = C1TC1 with rank[H] = rank[C1]
This condition ensures the uniqueness of the solution to the Riccati
equation and that this solution will be positive-definite (stabilizing).
Under the above assumptions, it is guaranteed that the Hamiltonian

Z =
A BR N
1
BR B
T T
NR N Q [ A BR N ]
A G
T
H A
will have no pure imaginary eigenvalues.
107
Algorithm
General Outline
Construct the 2n 2n matrix pencil

1
A BR N
BR B
I O
= I M
1 T
1 T T
O I
NR N Q [ A BR N ]
L I 2n 2n
Find orthogonal matrices U and s.t.

V[ M] = V IU VMU
= VU VMU
= L M
L = upper-triangular
= quasi-upper-triangular
M
Factor U to the block form
U =
U 11 U 12
U 21 U 22
Solution is given by:

x = U21 . U11-1 solves CARE with X = XT 0.
LabVIEW Code Outline
Using the QZ Decomposition VI with Schur, Real Ascending

options, and setting the input to:
A = M
B = I
Then, taking the output matrix Q =

Solution is given by:
X = Q 21 Q 11
Q 11 Q 12
Q 21 Q 22
The Gain Matrix is defined as:

1
K = R [B X + N ]
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The closed-loop spectrum can be derived as follows:
For a given LTI sys

x = Ax + Bu
Using the negative feedback control

u = kx
This will place the eigenvalues at

( x = Ax Bkx
) = [ A Bk ]x
(A Bk) = closed -loop spectrum will be in the open-left plane.
the residual of the CARE solution is defined as:

Residual = -----------------------X
Where, X = Norm of the CARE that we achieve upon substituting X
for its solution
T
= A X + XA [ XB + N ]R [ XB + N ] + Q
Algorithm adopted from:
[1] Arnold W.F. III and Laub A.J., Generalized Eigenproblem Algorithms
and Software for Algebraic Riccati Equations, Proc. IEEE, vol. 72, no. 12,
pp. 17461754, Dec. 1984.
[2] Laub A.J., A Schur Method for Solving Algebraic Riccati Equations,
IEEE Transactions on Automatic Control, vol. AC_24, no. 6, pp. 913921,
Dec. 1979.
[3] John Bay, Fundamentals of Linear State Space Systems, McGraw
Hill, 1999.
++++++
@ time k = 0:
Calculate the predicted state x ( 1 ) :

x ( 1 ) = Adx ( 0 ) + Bdu ( 0 )
x ( 1 ) = Ad x( 0 ) + Bd u( 0 )
@ time k:
109
Calculate the corrected/current state x ( k )

x ( k ) = x ( k ) + Lc [ y ( k ) y ( k ) ]
y ( k ) = Cd x( k ) + Dd y( k )
Calculate the predicted state x ( k + 1 ) :

x ( k + 1 ) = Ad x( k ) + Bd u( k )
Relationship between Lp and Lc:

The Current Gain matrix Lc is related to the Predicted Gain matrix Lp
through the relationship.
L p = Ad L c
this means that Ad needs to be full-rank.
Ed., pp. 295
Discrete Algebraic Riccati Equation Solver via Schur

and QZ
Problem Statement:
Need to find the positive-definite (stabilizing) solution of the Discrete
Algebraic Riccati Equation (DARE) given by:
T
X = A A [A B + N][B B + R] [A B + N] + Q
1 T
T
T
T
1 T
X = A A A B [ B B + R ] B A NR N + Q
1 T
A = A BR N
Assumptions:
The following assumptions will be assumed true:
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R=RT>0
The positive definiteness assumption is needed since R needs to be

full-rank for R1 to exist.
Q NR1NT 0
This condition is needed since the term Q NR1NT 0 in the

more general CARE structure given by:
ATX+XAXGX+H=0
T
H = H 0
G = GT 0
Another way of looking at this condition is as follows:

Q N
T
N R
but since R is invertible, we can show that

Q N
det
0
NT R
Q NR N
detR 0
must be 0 > 0, since R>0
actually, the above condition ensures that Q0 and that the

cross-term N makes sense (ex. when Q, R are auto-covariance
matrices of noise processes and N is the cross-covariance matrix
of the noise processes.)
Q=QT
The pair (,B) is stabilizable, where = ABR1NT and C1 is the

Full-Rank Factorization (FRF) of H = QNR1NT, s.t. H = C1TC1, with
rank [H] = rank [C1]
Under the above assumptions, it is guaranteed that the symplectic

matrix has no Eigenvalues on the unit circle.
Algorithm:
General Outline:
Construct the pencil matrix:
111
1 T
I BR B
A BR N
T T
NR N Q
O [ A BR N ]
L
= L M
Find orthogonal matrices U and V s.t.

VLU
L
VMU
V [ L M ]U =
= L M
The matrix U can be partitioned into the blocks
U =
U 11 U 12
U 21 U 22
and with certain re-ordering to ensure that the Eigenvalues are partitioned
to those inside the unit circle and those outside the unit circle (refer to
reference papers details).
Solution: X=U21U111solves DARE with X=XT0

LV Code Outline:
Using the QZ Decomposition VI with Schur, Magnitude Ascending
option, and setting the inputs to:
A = M
B = L
Then, taking the output matrix:
Z =
Z 11 Z 12
Z 21 Z 22
Solution: X=Z21Z111
The Gain matrix is defined as:
k = [BTB+R]1[BTA+NT]
The closed-loop spectrum can be derived as follows:
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ni.com
for a given LTI system,

x(k+1)=Ax(k)+(k)
using the negative feedback control

u=kx
This will place the Eigenvalues at:

x ( k + 1 ) = Ax B kx
= [ A Bk ]x ( A Bk )
= closed-loop spectrum
will lie inside the unit disk
The residual of the DARE solution is defined as:

Residual
r = ------------------------x
where
x = norm of the computed Riccati solution
Residual = Norm of the DARE that we achieve upon substitution X for
its solution
T
= A A X A B + NB B + R [A B + N] + Q
Arnold, W.F. III and Laub, A.J., Generalized Eigenproblem Algorithms
and Software for Algebraic Riccati Equation, Proc. IEEE, Vo. 72, no 12,
pp. 1746-1754, Dec 1984.
Laub, A.J., A Schur Method for Solving Algebraic Riccati Equations,
IEEE Transactions are Automatic Control, vol. AC-24, no. 6, pp. 913-921,
Dec 1979.
Bay, John, Fundamentals of Linear State Space Systems, McGraw Hill,
1999.

Problem statement:
Given a real n n symmetric positive semi-definite matrix A
A = AT 0, A R n n
113
We need to calculate the Full-Rank Factorization (FRF) of A, where the

FRF is defined as:
A = BTB
with rank[A] = rank[B].
Proposed solution:
Take the Singular Value Decomposition of A
US
12
12
A = USV
=B B
Notes:
The FRF is similar to the Cholesky Decomposition; however, the Cholesky
Decomposition restricts the input matrix to be positive-definite, whereas
we may be interested in finding the FRF for a positive semi-definite matrix.
The FRF is similar to a matrix square root; however, if we use the matrix
square root decomposition s.t.
A = A
12
12
we are inducing more computational load, since the matrix square root
VI was the Eigenvalue decomposition, which is more expensive than the
SVD.
National Instruments, NI, ni.com, and LabVIEW are trademarks of National Instruments Corporation.
Refer to the Terms of Use section on ni.com/legal for more information about National
Instruments trademarks. Other product and company names mentioned herein are trademarks or trade
names of their respective companies. For patents covering National Instruments products/technology,
refer to the appropriate location: HelpPatents in your software, the patents.txt file on your
media, or the National Instruments Patent Notice at ni.com/patents.
20042009 National Instruments Corporation. All rights reserved.

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LabVIEW Control Design and

Table 1-1. Algorithm References for Control Design VIs

Convert State-Space Model to

Lyapunov Equation Solver

Convert State-Space Model to

Convert State-Space Model to

Control Design and Simulation Module Algorithm Reference

Table 1-1. Algorithm References for Control Design VIs (Continued)

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

National Instruments Corporation

Control Design and Simulation Module Algorithm Reference

Table 1-1. Algorithm References for Control Design VIs (Continued)

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

CD Draw Transfer Function

Convert State-Space Model to

Convert State-Space Model to

Control Design and Simulation Module Algorithm Reference

Table 1-1. Algorithm References for Control Design VIs (Continued)

CD Convert Delay with

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

National Instruments Corporation

Convert State-Space Model to

Convert State-Space Model to

CD Convert Delay to Poles

Convert State-Space Model to

Covert Transfer Function Model to

Table 1-1. Algorithm References for Control Design VIs (Continued)

Convert State-Space Model to

Convert State-Space Model to

Convert State-Space Model to

Control Design and Simulation Module Algorithm Reference

Model Order Reduction

Table 1-1. Algorithm References for Control Design VIs (Continued)

Continuous Algebraic Riccati

Continuous Algebraic Riccati

Lyapunov Equation Solver

State Estimator and State-Space

State Estimator and State-Space

National Instruments Corporation

Control Design and Simulation Module Algorithm Reference

Table 1-1. Algorithm References for Control Design VIs (Continued)

Lyapunov Equation Solver

Control Design and Simulation Module Algorithm Reference

Generating Correlated Gaussian

Table 1-1. Algorithm References for Control Design VIs (Continued)

Implementation Current Observer

Implementation Predictive Observer

Adjust Stochastic State-Space System

National Instruments Corporation

Control Design and Simulation Module Algorithm Reference

Control Design and Simulation Module Algorithm Reference

The CD Singular Values VI calculate the eigenvalues of the following