optimal control

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optimal control

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You are on page 1of 7

Automatic Control II

Reglerteknik II 5hp

handbooks.

Preliminary grades: 23p for grade 3, 33p for grade 4, 43p for grade 5.

Use separate sheets for each problem, i.e. no more than one problem per

sheet. Write your exam code on every sheet.

in the problem formulation! Vague or lacking motivations may lead to a

reduced number of points.

choose to hand in a solution to Problem 6 you will be accounted for the best

performance of the homework assignments and Problem 6.)

Please use English in your solution for Problem 1.

Good luck!

Problem 1 Please use English in your solution for Problem 1.

(a) Give a state space representation for the continuous-time system

h i

Y (s) = 1 2s+3 U 1 ( s) :

s+3 (s+3)(s+1) U2 (s)

(4p)

(b) The continuous-time system

0 1

ẋ(t) = 1 0

x(t) + 10 u(t);

y (t) = 1 0 x(t);

is sampled (zero-order-hold) with sampling period h, and the discrete-time

model

(

x(kh + h) = F x(kh) + Gu(kh); cos h sin h

with F =

y (kh) = Hx(kh); sin h cos h

(c) Consider again the sampled system in (b). For some sampling periods

h the sampled system is unobservable. Determine the vector H , and specify

for which sampling periods h the sampled system is not observable. (2p)

is to be controlled by a LQ-controller, so that the criterion

Z 1

V= Qx2 (t) + u2 (t)dt; Q 0;

0

is minimized.

(a) Show that the system is unstable. (1p)

(b) Find the feedback gain L in the optimal control law u(t) = Lx(t). (4p)

(c) What will the pole of the closed loop system be as Q ! 0? (3p)

1

Problem 3 Consider the (scalar) continuous-time system

˙ (t) = u(t) + w(t);

y (t) = (t) + e(t);

where e(t) is white noise with intensity Φe (! ) = 0:1, and w (t) is a disturbance

described by

2 1

˙(t) = 1 0

(t) + 10 (t);

w(t) = 1 0 (t);

where (t) is white noise with intensity Φ (! ) = 1.

(a) Determine the spectral density for w (t), i.e. Φw (! ). In particular, what

is Φw (0), Φw (1) and lim Φw (! )? (2p)

!!1

(b) Determine the covariance matrix Π = E (t) T (t) for the state vector in

the disturbance model. (3p)

(c) The system model and the disturbance model can be combined into an

augmented state space model (the “standard” form)

ẋ(t) = Ax(t) + Bu(t) + Nv1 (t);

y (t) = Cx(t) + v2 (t);

where v1 (t) and v2 (t) are white noise with intensities Φv1 (! ) = R1 and

Φv2 (! ) = R2 . Find such an augmented state space model, that is deﬁne

the state variables in x(t), determine the matrix A and the vectors B , N and

C accordingly, and give the values of the noise intensities R1 and R2 . (4p)

or false. No motivations required — only answers “true”/“false” are consid-

ered!

(a) The scalar system ẋ = 2x + u + 4 , y = x + , ( is white noise) is on

innovations form.

(b) The scalar system ẋ = 4x + u + 2 , y = x + , ( is white noise) is on

innovations form.

(c) In MPC the control horizon is normally much longer than the prediction

horizon.

(d) In MPC the computational load increases with the control horizon.

(e) MPC yields a linear time-invariant controller.

(f) LQG yields a linear time-invariant controller.

(g) The sampling frequency should be chosen less than the Nyquist fre-

quency.

Each correct answer scores +1, each incorrect answer scores 1, and

omitted answers score 0 points. (Minimal total score is 0 points.) (7p)

2

Problem 5 In a water tower drinking water is stored at a height suﬃcient to

pressurize the water distribution system. The water level should be constant.

The water supply is monitored by measurements of the water level. This

system can be modeled as (the discrete-time system)

x(k + 1) = x(k) + v1 (k);

y (k) = x(k) + v2 (k);

where v1 (k ) describes the ﬂuctuations in the net ﬂow into the water container,

and v2 (k ) is the measurement noise. Both v1 and v2 are white noise, and have

the intensities R1 = 1, R2 = 0:5 and R12 = 0:5. In order to estimate the

water level a Kalman ﬁlter is used:

x̂(k + 1jk) = x̂(kjk 1) + K (y (k) x̂(kjk 1)):

(a) Determine the covariance of the estimation error P = E x̃2 (k jk 1). (3p)

(b) What is the Kalman gain K ? (2p)

(c) Find the transfer function from the measured output y (k ) to the esti-

mated level x̂(k jk 1). What is the static gain? (2p)

(d) A Kalman ﬁlter is designed for a third order system. One of the following

matrices,

2 3

1 0 0

1 0 1 0 0

M1 =

0 2

; M2 4

= 0 2 15 ; M3 =

0 2 1

;

0 1 2

2 3 2 3

1 0 0 1 0 0

M4 4

= 0 2 15 ; M5 4

= 0 2 15 ;

0 1 2 0 1 2

is the covariance matrix P of the estimation error x̃. Which of the matrices

is P ? A full motivation is required! (3p)

A DC-motor, modeled as

1

Y ( s) = U ( s) ;

s(s + 2)

is to be controlled by a sampling controller, using proportional control, mean-

ing that the control law is u(t) = u(kh) = Ke(kh) for kh t < (k + 1)h,

where e = yref y is the control error and h = 0:5 is the sampling period

(and k is an integer).

(a) Determine the transfer operator Gd (q ) of the sampled version of the

system (the DC-motor) (assuming that u is constant between the sampling

instants). (3p)

(b) For which values of the gain K is the (sampled) closed loop system stable

when the proportional control above is used? (4p)

3

Solutions to the exam in Automatic Control II, 2011-10-24:

h i

Y (s) = 1

s+3

2s+3

(s+3)(s+1) U (s) = s+1

s2 +4s+3

2s+3

s2 +4s+3 U (s):

The observer canonical form is then

4 1

ẋ = 3 0

x + 11 23 u;

y = 1 0 x:

Alternative solution: rewrite the system as

1 2s + 3 1 1

Y ( s) = U1 (s) + U (s) = U1 (s) + 2U2 (s) + U (s) :

s+3 s+1 2 s+3 s+1 2

The choice X1 (s) = s+1

1

U2 (s) and X2 (s) = Y (s) gives

1 0

ẋ = 1 3

x + 01 12 u;

y = 0 1 x:

(b) Sampling of the continuous-time system ẋ = Ax + Bu, y = Cx gives the

Rh

discrete-time system qx = F x + Gu, y = Hx, where F = eAt , G = 0 eAt Bdt,

and H = C . Here

Z h

cos t sin t cos t h

e =

At

sin t cos t

) G= sin t

dt = cossin

h 1 :

0

(c) From (b) H = C = 1 0 . The observability matrix is

H = 1

O = HF 0

and det O = sin h:

cos h sin h

2. (a) The system has its pole in > 0, i.e. in the right half plane, and is

therefor unstable.

(b) Optimal state feedback gain is L = Q2 1 B T S , where S = S T 0 is the

solution to the CARE 0 = AT S + SA + M T Q1 M SBQ2 1 B T S (see Theorem

9.1). Here A = , B = 1, M = 1, Q1 = Q and Q2 = 1. The CARE becomes

0 = 2S + Q S2 , S2 2S Q = 0;

p

with solution S = + p 2 + Q (the negative squareroot is rejected since

S 0). Thus L = S = + 2 + Q.

(c) The closed loop system is

p

ẋ = x Lx = ( L)x = 2 + Qx;

1

p

with the pole 2 + Q ! as Q ! 0. (This means that the “cheapest”

— only u is penalized — way to stabilize the system is to mirror the unstable

pole.)

3. (a) We have that Φw (! ) = jGw (i!)j2Φ (!) if w(t) = Gw (p) (t). Here

Φ (! ) = R = 1, and

p p

Gw (p) = = ;

p + 2p + 1 (p + 1)2

2

!2

(! 2 +1)2

) Φw (0) = 0, Φw (1) = 0:25 and !lim Φ (! ) = 0.

!1 w

(b) For ˙ = A + B the covariance matrix Π is the solution to the

Lyapunov equation 0 = A Π + Π AT + B R BT . Setting

p p12

Π = 1 ) 0=

2 p1 p12 2p12 p2 + 2p1 p12 p1 + 1 0 ;

p12 p2 p1 p12 2p12 p2 p12 0 0

or

8 8

>

<0 = 4p1 2p12 + 1; <p1

> = 0:25;

0:25 0

>

0 = p1 2p12 p2 ; ) >

p12 = 0; , Π =

0 0:25

:

: :

0 = 2p12 p2 = 0:25

(c) Set e.g. x = )

ẋ1 = ˙ = 1 0 + u = x2 + u;

ẋ2 = ˙1 = 21 + = 2x2 x3 + ;

ẋ3 = ˙2 = 1 = x2 ;

y = + e = x1 + e;

and thus

2 3 2 3 2 3

0 1 0 1 0

ẋ = 40 2 15 x + 405 u + 415 ;

0 1 0 0 0

y = 1 0 0 x + e:

Here v1 = and v2 = e so R1 = R = 1 and R2 = Re = 0:1.

A NC = 2); (b) False (here A NC = 2, i.e. unstable); (c) False (the

other way around); (d) True; (e) False (MPC = nonlinear and time-varying);

(f) True; (f) False (the Nyquist frequency is half the sampling frequency).

2

5. (a) The covariance P = PT 0 is the solution of the DARE

P = F P F T + NR1 N T (F P H T + NR12 )(HP H T + R2 ) 1 (F P H T + NR12 )T :

Here F = 1, N = 1, H = 1, R1 = 1, R2 = 0:5 and R12 = 0:5 )

(P + 0:5)2

P =P +1+

P + 0:5

, (P + 0:5)2 = P + 0:5 , P = 0:5;

where the negative solution is rejected. Thus P = 0:5.

(b) K = (F P H T + NR12 )(HP H T + R2 ) 1 ) K = 00::5+0 :5

5+0:5

= 1.

(c) We have

1) = y (k ):

q

The transfer function is Gx̂y (z ) = 1z , and the static gain is Gx̂y (1) = 1.

(d) P = P T 0 and P is 3 3 (since third order system) ) M4 is the only

possible P .

6. (a) In order to sample the system, represent it in state space form, e.g.

in controller canonical form:

ẋ = 2 0

x + 10 u; ) F =e Ah

=

e 2h

0

=

e 1

0

;

1 0 0:5(1 e 2h

) 1 0:5(1 e 1

) 1

y = 0 1 x; H=C= 0 1 and

Z h

G= eAt

Bdt = 0:5(h0:5(1 e 2h )

0:5) + 0:25e 2h =

0:5(1 e 1 )

0:25e 1

:

0

The transfer operator is then

G (q ) = H (qI F ) G = 0 1

d 1 q e 1

0

1

0:5(1 e 1 )

0:5(1 e ) q 1

1

0:25e 1

0:25(1 e 1 )2 + 0:25e 1 (q e 1 ) 0:25e 1 (q + e 2)

= = :

(q 1)(q e 1 ) (q 1)(q e 1 )

(b) The poles of the closed loop system are given by

= z 2 + (0:25e 1 K 1 e 1 )z + e 1 + 0:25K (1 2e 1 ):

Stability for z 2 + az + b , b < 1, a + b > 1 and a b < 1, so

1 e 1

b<1 ) K<4 9:57;

1 2e 1

a + b > 1 ) 0:25K (1 e 1 ) > 0 , K > 0;

1+e 1

and a b < 1 ) K < 8 105:6 :

3e 1 1

Hence, the closed loop system is stable for 0 < K < 4 11 2ee

1

1 9:57.

3

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