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on a computer. This implies that the measurements that are supplied to

the control system must be sampled. If the sampler has period T , then the

sampled value of the measurements are denoted by

The output from the controller will take on discrete values which we denote

by uk . The actual input to the plant be controlled is usually obtained by

passing the sequence uk through a zero-order hold (ZOH). The output of the

ZOH is given by

u(t) = uk , tk t < tk+1

In this section we would like to determine mathematical models for the rela-

tionship between uk and yk and establish a technique for digital implemen-

tation of a controller design.

of the form

x = Ax + Bu, y = Cx (2)

Let us first of all note that the sampled value of the output y satisfies

Z t

x(t) = eA(tt0 ) x(t0 ) + eA(t ) Bu( ) d

t0

Z t

k+1 A(t

xk+1 = e AT

xk + e k+1 ) Bu( ) d

tk

Z t

k+1 A(t

= eAT xk + e k+1 ) B d uk

tk

Letting, 0 = tk+1 , we have

Z t Z 0 Z T

k+1 A(t 0

e k+1 ) B d = eA (d 0 )B = eA d B

tk T 0

Therefore,

xk+1 = Ad xk + Bd uk (3)

yk = Cd xk

where

Cd = C

Ad = eAT

Z T

Bd = eA d B

0

Consider

xk+1 = Ad xk , x0 given

It is readily verified that the solution is

xk = Akd x0

For simplicity, assume that Ad has distinct eigenvalues and permits the eigen-

decomposition

Ad = EE1

Therefore,

= Ek E1

and

xk = Ek E1 x0

Letting xk = E1 xk , it follows that

xk = k x0

where k = diag{ki }. If

|i | < 1, i = 1, , n (4)

then

ki 0 as k

k O as k

xk = Exk 0 as k

ki as k

||xk || as k

Theorem 1. If the eigenvalues of Ad lie within the open unit disk of the

complex plane, the discrete-time system is asymptotically stable.

Theorem 2. If any of the eigenvalues of Ad lie outside the unit disk of the

complex plane, then the discrete-time system is unstable.

Consider the ZOH equivalent in (3) and assume that A has distinct eigen-

values. If A has the eigendecomposition

A = EE1 , = diag{i }, i = i ji

then

Ad = eAT = EeT E1

Therefore

{Ad } = ei T = ei T eji T

Now, |ei T | = |ei T |. Hence if i < 0, then |ei T | < 1. Therefore, the

ZOH equivalent of an asymptotically stable continuous-time system is also

asymptotically stable.

(i) direct discrete design using the ZOH equivalent as a model;

(ii) discretization of a continuous-time design based on the continuous-time

plant model.

Initially we consider (ii) using the bilinear transformation (also called Tustins

rule or the trapezoidal rule).

Assume that we have a continuous-time controller with the following model:

x = Ax + Bu, y = Cx (5)

We want to replace this with difference equations that relate the sampled

values yk and uk . Since y(tk ) = Cx(tk ) we have

yk = Cxk

Z t Z t Z t

k+1 k+1 k+1

xk+1 xk = x dt = A x dt + B u dt

tk tk tk

Now, approximate the integrals on the right-hand side using the trapezoidal

rule:

Z t

k+1 T

x dt = (xk+1 + xk )

tk 2

Z t

k+1 T

u dt = (uk+1 + uk )

tk 2

Therefore,

T T

xk+1 xk = A [xk+1 + xk ] + B [uk+1 + uk ]

2 2

T T T

[1 A ]xk+1 = [1 + A ]xk + B [uk+1 + uk ]

2 2 2

T 1 T T T

xk+1 = [1 A ] [1 + A ] xk + [1 A ]1 B [uk+1 + uk ]

| 2 {z 2} | 2

{z 2}

Ad Bd

zk+1 = Ad zk + Bd uk

zk+2 = Ad zk+1 + Bd uk+1

Note that setting xk = zk + zk+1 and adding the two equations gives the

desired one for xk . Hence

yk = Cxk = C(zk + zk+1 )

= Czk + C(Ad zk + Bd uk )

= C(1 + Ad ) zk + C B u

| {z d} k

| {z }

Cd Dd

Hence the discrete equivalent of the state-space model in Eq. (5) is

zk+1 = Ad zk + Bd uk (6)

yk = Cd zk + Dd uk (7)

where Ad , Bd , Cd , and Dd are defined as above.

xk+1 = Ad xk + Bd uk

yk = Cd xk

Assume that the controller is described by a discrete equivalent of the form

zk+1 = Ad zk + Bd yk

uk = Cd zk + Dd yk

Closing the loop gives:

xk+1 = Ad xk Bd Cd zk Bd Dd yk

= (Ad Bd Dd Cd )xk Bd Cd zk

Also,

zk+1 = Ad zk + Bd Cd xk

Combining these two gives

xk+1 Ad Bd Dd Cd Bd Cd xk

=

zk+1 Bd Cd Ad zk

| {z }

Acomp

For stability {Acomp } must lie within the unit disc.

9.5 Discrete-Time Optimal Control

of the form

xk+1 = Axk + Buk , x0 = c (8)

Consider a performance index of the form

N 1

1 T 1 X T

J = 2 xN SxN + 2 xk Qxk + uTk Ruk (9)

k=0

where

R = RT > O, Q = QT O, S = ST O,

We would like to determine uk , k = 0, 1, 2, , N 1 to minimize J .

The state equation is treated as a constraint which we rewrite as

Axk + Buk xk+1 = 0 (10)

Let us adjoin (10) to (9) using Lagrange multipliers k , k = 1, , N :

1

NX

L=J + Tk+1 (Axk + Buk xk+1 ) (11)

k=0

L

= 0, k = 1, , N

xk

L

= 0, k = 1, , N 1

uk

L

= 0, k = 1, , N

k

We have

1

NX

L = 21 xTN SxN + [ 12 xTk Qxk + 12 uTk Ruk + Tk+1 (Axk + Buk xk+1 )]

k=0

L

= SxN N = 0

xN

L

= Qxk + AT k+1 k = 0, k = 1, , N 1

xk

L

= Ruk + BT k+1 = 0, k = 1, , N 1

uk

L

= Axk1 + Buk1 xk = 0, k = 1, , N

k

We can rewrite these as

xk+1 = Axk + Buk , x0 = c (12)

k = AT k+1 + Qxk , N = SxN (13)

uk = R1 BT k+1 (14)

Substituting (14) into (12) leads to

xk+1 = Axk BR1 BT k+1 , x0 = c

k = AT k+1 + Qxk , N = SxN (15)

This is a discrete two-point boundary value problem. Since N = SxN , let

us assume

k = Pk xk , k = 1, , N (16)

with PN = S. Substituting (16) into (14) gives:

uk = R1 BT Pk+1 xk+1

= R1 BT Pk+1 (Axk + Buk )

(R + BT Pk+1 B)uk = BT Pk+1 Axk

uk = R1 T

k+1 B Pk+1 Axk

= Fk xk , Fk = R1 T

k+1 B Pk+1 A

where

Rk+1 = R + BT Pk+1 B

Hence, the optimal control is state feedback.

In order to determine Pk , let us substitute (16) into (15):

Pk xk = AT Pk+1 xk+1 + Qxk

= AT Pk+1 (Axk + Buk ) + Qxk

= AT Pk+1 Axk AT Pk+1 BR1 T

k+1 B Pk+1 Axk + Qxk

Since this must hold for all xk , the coefficient matrix on each side must match.

Therefore,

Pk = AT (Pk+1 Pk+1 BR1 T

k+1 B Pk+1 )A + Q (17)

This is called the discrete-time Riccati equation. It can be solved backwards

given the terminal condition PN = S. When Pk , k = N, N 1, , 0 is

known, the optimal feedback gains Fk can be determined.

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