APC Part 7 LQG and MPC PDF

Linear Quadratic Optimal Control
and
Model Predictive Control
(LQOC and MPC)
Sachin C. Patwardhan
Dept. of Chemical Engineering
I.I.T. Bombay
Email: sachinp@iitb.ac.in
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Outline
IIT Bombay
 Motivation
 Reachability
 Pole Placement Controller Design
 Linear Quadratic Optimal Control
 Linear Model Predictive Control Formulation
 Introduction to Nonlinear Model Predictive
Control Formulation
 Conclusions and References
1/16/2014 State Feedback Control 2

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Plant Wide Control Framework
Long Term Scheduling

and Planning Market
Demands /
Raw material
availability
On-line Optimization
Slow Parameter
Setpoints PV, MV drifts
Multivariable / Nonlinear Control
Advanced
Regulatory (PID) Control Control

MV PV
Fast Load
Plant Disturbances

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Hierarchy of control system functions

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Control Problem
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 Why advanced control?

 Complex multi-variable interactions
 Operating constraints
 Safety limits
 Input saturation constraints
 Product quality constraints
 Control over wide operating range
 Process nonlinearities
 Changing process parameters / conditions
 Conventional approach
 Multi-loop PI: difficult to tune
 Ad-hoc constraint handling using logic programming
(PLCs): lack of coordination
 Nonlinearity handling by gain scheduling

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Optimal State Estimation

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Thus, given stochastic state space model

x(k  1)  x(k )  u(k )  w (k )
y (k )  Cx(k )  v (k )
where w(k) and v(k) are uncorrelated (in time
and with each other) random sequences with
zero mean and know variances
E w (k )w (k )T   Q ; E v(k ) v(k )T   R
Q quantify uncertainties in state dynamics

and/or modeling errors
R quantifies variability of measurement errors
How to design an optimal state feedback controller?
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Controller Design
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Aim: Design state feedback controller

 Step 1: Assume the states are measurable and
design a stable control law / controller
 Step 2: Design a stable state estimator using
measurements
 Step 3: Implement the controller using estimated
states
Separation principle ensures nominal closed loop
stability with state estimator-controller pair
Advantage: Multi-variable systems can be
controlled relatively easily
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Reachability and Controllability

Consider ideal situation where
 disturbances and measurement errors are absent
 model is perfect
Problem: Given an arbitrary initial condition x(0)

together with state space model
x(k  1)  x(k )  u(k )
y (k )  Cx(k )
Question
Can we find input sequence u(0), u(1), ….,u(k),…
such that the discrete system can be moved
from any arbitrary initial state, say x(0), to
any arbitrary final state, say xf ?
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Input Sequence
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Given initial state estimate x(0) and input sequence

u(0), u(1),…, the discrete system evolves according to
x(1)  x(0)  u(0)
x(2)  x(1)  u(1)

  2 x(0)  u(0)  u(1)
x(3)   3 x(0)   2 u(0)  ....  u(2)

.............................................................
x(n )  n x(0)  n 1u(0)  ....  u(n  1)
Question: Can we reach x(n) = xf ?

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Condition for Reachability
The above set of linear equations can be
rearranged as follows
 u(n  1) 
u(n  2)

  ... n 1  
 ... 

  x  n x(0)
f 
 
 u ( 0) 
Necessary condition for reachability: the

discrete dynamic system is reachable if
following rank condition holds
rank   .... n 1   n

n  state dimension
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CSTR Example
IIT Bombay
dC A
 f1 (C A ,T , F , Fc ,C A0 ,Tcin )
dt
dT
 f 2 (C A ,T , F , Fc ,C A0 ,Tcin )
dt
Discrete linear perturbation model
Sampling Time (T) = 0.1 min
0.185 - 0.01 0.005 0.13  0.06

x (k  1)    x(k )    u(k )    d (k )
 73.49 1.33  - 0.73 - 1.8   3 .9 
y (k )  0 1x (k )
C (t )  C A   F (t )  F 
x (t )   A  ; u ( t )    ; d (t )  C Ai (t )  C Ai
 T (t )  T  Fc (t )  Fc 

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Reachability: CSTR Example

Can we move concentration and temperature
from any initial condition to any final condition
using manipulation of coolant flow-rate ?
 0.185 - 0.008  0.0026

   
73.492 1.333  - 0.7335
Reachabili
ty Matrix Wc
 0.002 0.0064 
Wc     
- 0.7335 - 0.7876

rank Wc  2
Linear Perturbation model is Reachable

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Quadruple Tank System

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Discrete Time State Space Model

Sampling Time T = 5 sec
x(k  1)  Φx(k )  Γu(k )

y (k )  Cx(k )
0.9233 0 0.1813 0 
 0 0.9462 0 0.1493 
 
 0 0 0.8112 0 
 
 0 0 0 0.8465 
 0.4001 0.02276
0.01209 0.3055 
  0.5 0 0 0 
 C 
 0 0.2159   0 0.5 0 0 
 
 0.1438 0 
1/16/2014 State
State
Feedback
Estimation
Control 13
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Quadruple Tank System

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
WC     2   3  
 0.4000 0.0238 0.3692 0.0626 0.3407 0.0904 0.3145 0.1097 
 0.0121 0.3056 0.0328 0.2892 0.0492 0.2736 0.0619 0.2589
 
 0 0.2148 0 0.1725 0 0.1384 0 0.1111 
 
 0.1438 0 0.1218 0 0.1031 0 0.0874 0 
Rank of reachability matrix = 4

Quadruple Tank System is Reachable
Levels in Tank 1 to Tank 4 can be moved from

Any initial state to Any final state
by suitable input manipulations

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SISO Pole Placement Controller
Coordinate Transforma tion :  (k)  Tx(k)
Original Model Controllab le Cannonical Form

x(k  1)  x(k )  u (k ) .......(I )  (k  1)  c (k )  cu (k ) .......(II )
y (k )  Cx(k ) y (k )  C c (k )
Transfer Fundtion  a1  a2  a`3 ....  an  1

 1 0 0.... 0  0
b1z  b2z
n 1
 ......  bn
n 2 c      
y(k)  u (k )  .... .... .... ....  c ....
z n  a1z n 1  ....  an  0
 0 .... 0  0
 
C c  b1 b2 ..... bn 
Design Procedure
 Transform the model to controllable canonical form
 In transformed coordinates, choose controller vector such that
poles of are placed at desired location
 Express the controller gain matrix in the original co-ordinate
system

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Design Controller in transformed coordinates
 (k  1)  c (k )  cu (k ) ; u (k )   Gc (k )
 a1  gc ,1  a 2  gc , 2 0....  an  gc ,n 
 1 0 .... 0 
c  cGc   
 .... .... .... .... 
 
 0 0 .... 0 
 detI  (c  cGc )  n  a1  gc ,1 n 1  .......  (an  gc ,n )
Let the desired observer characteristic polynomial be
P ( )  n  p1n 1  .......  pn
where polynomial on R.H.S. has poles at the desired location
Equating coefficients of P( ) with detI  (c  c Gc ), we have

pi  ai  gc ,i  gc ,i  pi  ai for i  1,2...n
Transform the observer Gc back to original state space as G  GcT

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Coordinate Transforma tion Inverse Coordinate Transforma tion

 Tx ~ 1
T 1  WCON WCON  
~
T  WCON WCON 1  1 a1 ... an 1 
0 1 ... an 2 
~
WCON  c c c ...  n 1
c  
c

WCON
~

1

... ... ... ... 

WCON    ... n 1  0 0
 ... 1 
Note that the above coordinate transformation

is possible only if the original system is
reachable, i.e.
Rank( Wcon) = n

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Nominal Closed Loop Stability
Assumption: Perfect Model

Plant Dynamics
x(k  1)  Φx(k )  Γu(k )
y (k )  Cx(k )
Controller implementation using Luenberger Observer

xˆ (k | k  1)  xˆ (k  1 | k  2)  u(k  1)  L P y (k  1)  Cxˆ (k  1 | k  2)
u(k )  Gxˆ (k | k  1)
Combined Dynamics
Observer Error Dynamics
x(k  1)  Φx(k )  ΓGxˆ (k | k  1)
ε(k  1 | k )  (  LC)ε(k | k  1)
 Φx(k )  ΓG x(k )  ε(k | k  1)
ε(k | k  1)  x(k )  xˆ (k | k  1)
 Φ  ΓG x(k )  ΓGε (k | k  1)

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Combined Closed Loop Dynamics This image cannot currently be display ed.
 x(k  1)  Φ  ΓG  ΓG   x(k ) 

ε(k  1 | k )   [0]   LC ε(k | k  1)
  
Closed Loop Characteristic Equation

I  Φ  ΓG   ΓG 
det 
0  I    LC   det I  Φ  ΓG  det I    LC  0
 [ ] 
Note : Matrices G and L have been selected such that

 Φ  ΓG   1 and    LC  1
 Eigenvalues of the closed loop equation inside the unit circle
Thus, even though the observer and controller are

designed separately to be a-stable, the nominal closed
loop system, implemented using the observer based
feedback controller, is asymptotically stable
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CSTR Example
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Linearized (Original) State Space Model

0.185 - 0.01 0.005
x(k  1)    x (k )   - 0.73 u (k )
 73.49 1.33   
y (k )  0 1x(k )
Controllab le Canonical form
1.518 - 0.836 1 
 (k  1)    (k )   u (k )
 1 0  0 
y (k )  - 0.7335 0.3256 (k )
G  p1  1.518 p2  0.836T

1
1 1.518  0.0026 0.0064 
T WCON WCON   
~ 1
0 1  - 0.7335 - 0.7876

123.8870 - 0.9260 
 
 278.8236 0.9841
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CSTR Example
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Closed Loop Poles Controller Gain Vector

[0.8, 0.8] [-64.8345 -0.1165]
[0.4, 0.4] [-99.6531 -1.3300]
[0,0] (Dead Beat) [-45.2481 -2.2286]
In general, the state feedback controller becomes

more and more aggressive as
closed loop poles move closer to origin
Controller-Observer Pair Selected
Poles of (  G )  [0.6 0.6]
Poles of (  LC )  [0.4 0.4]
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CSTR: Pole Placement Controller
State Evolution
State Dynamics
0.4
Conc.(mod/m3)
0.3
0.2
0.1
0
0 1 2 3 4 5
Sampling Instant
415
410
Temp.(K)
405
400
395
390
0 1 2 3 4 5
Sampling Instant

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Manipulated Inputs
20
Coolent Flow
15
10
5
0 1 2 3 4 5
Sampling Instant
1.5
Inflow
0.5
0
0 1 2 3 4 5
Sampling Instant

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Observer Error Dynamics
0.15
Error in Conc. Estimate

0.1
0.05
-0.05
0 1 2 3 4 5
Time (min)
10
Error in Temp. Estimate
-5
0 1 2 3 4 5
Time (min)
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MIMO Systems: IIT Bombay
Difficulty with Pole Placement Design

Consider a MIMO system with u  R m
X (k  1)  x (k )  u(k )
With state feedback controller law
u(k)  -Gx(k)
where G is a (m  n) matrix.
The closed loop dynamics is governed by
X (k  1)    G x (k )
If we intend to place poles of closed loop at the roots of
n  p1n 1  ......  pn  0
then equating coefficien ts of detI -   G   0
with the desired closed loop polynmial gives only n equations.
Number of unknowns  (n  m) elements of G
Difficulty : Under - determined system of equations.

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Linear Quadratic Regulator

IIT Bombay
Model: x (k  1)  Ax (k )  Bu(k )
y (k )  Cx(k )
Objective
Regulate the process at origin of the state space
in the face of sudden impulse like, disturbances,
which result in non-zero initial conditions
Determine input sequence u(0),...., u(N  1) such that
Final State  x (N )T WN x(N )  
min  N 1 

 
u(0),...., u(N  1)   x(k )T W x x(k )  u(k) T Wu u(k) 
 k 0 
Square of Subject to Penalize
distance Large
x(k  1)  x(k)  u(k )
from Origin manipulated
y(k)  Cx(k) inputs
W x, Wu , WN : Symmetric Positive Definite seighting matrices

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Solution by Dynamic Programming
Solution Strategy: Bellman’s dynamic programming

Basic Idea
Solve problem at instant (k) by assuming that
problem up to time (k-1) has been solved optimally.

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Consider a scalar quadratic function
The minimum value of F(u) is obtained by setting u  - A -1z

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The optimal solution can be expressed as
which gives minimum loss function
where,
Similar arguments yield

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The procedure can be repeated backward in time.

Discrete time Riccati equation
where
Control Law
u(k )  G (k )x(k )
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Summary: Quadratic Optimal Control
Time varying state feedback control law

u(k)  -G(k)x(k)
Gain matrix computed by solving Discrete time Riccati Equation
 1
G(k)  Wu  T S (k  1) T S (k  1)
S (k )  [  G (k )]T S (k  1)[  G (k )]T Wx  G (k )T Wu G (k )
Equation solved backward in time
starting from N, N - 1, ....1 with
S(N)  WN
s(k) : Symmetric and  ve definite for each k
which ensures optimality of solution at each stage
N should be known a-priori and gain matrices

have to be saved : not quite practical in many situations
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Algebraic Riccati Equation

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When N becomes large, S(k)  S ; G(k)  G

which can be computed by solving
Algebraic Riccati Equation (ARE) as
 1
G  Wu  T S  T S 
T
S  [  G ]T S [  G ]T Wx  G Wu G
and control law assumes form

u(k)  -G x(k)
ARE has many solutions. However, if (, ) is controllab le
and if (, ) is observable where
Wu  T 
then there exists a unique symmetric and non negative
definite solution to ARE.
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Nominal Stability Analysis

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Theorem 1: Consider the time invariant dynamic model

together with the LQ loss function. Assume that a
positive-definite steady state solution exists for the
algebraic Riccati equations. Then the steady state
optimal strategy
gives an asymptotically stable closed-loop system
Proof: Define Lyapunov function
Note : S is a  ve definite matrix

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Nominal Stability Analysis

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 Thus, the closed loop system is asymptotically stable for any

choice of positive definite Wx and positive semi-definite Wu
matrices
 Simultaneously guarantees closed loop stability and good closed
loop performance
 By selecting Wx and Wu appropriately, it is easy to compromise
between speed of recovery and magnitude of control signals.

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Closed Loop Poles

IIT Bombay
The poles of the closed loop system obtained

by solving the characteristic equation
It can be shown that the poles are the n stable

eigenvalues of the generalized eigenvalue problem
This equation is called the Euler equation of the LQ problem.
Theorem 1 shows that LQ controller gives a stable closed loop system,

i.e. all poles of  - G  are inside the unit circle.

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Linear Quadratic Optimal IIT Bombay
Output Regulator
In many situations we are only interested in
controlling certain outputs of a system
The above modified objective function can be rearranged as follows
and by setting
we can use the Riccati equations derived above for controller design.

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Linear Quadratic Gaussian Regulator
Linear Quadratic Gaussian (LQG) Regulator

 Design optimal state estimator (Kalman Predictor /
Kalman Filter)
 Implement control law using estimated states
Process Dynamics
x(k  1)  x(k )  u(k )  w (k )
y (k )  Cx(k )  v(k )
Controller implementation using Kalman Predictor
e(k  1)  y (k  1)  Cxˆ (k  1 | k  2)
xˆ (k | k  1)  xˆ (k  1 | k  2)  u(k  1)  L  e(k  1)
u(k )  G  xˆ (k | k  1)
Is the closed loop stable under the nominal conditions?

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Combined Closed Loop Dynamics
 x(k  1)  Φ  ΓG   ΓG    x(k )  I [0]  w (k )
ε(k  1 | k )   [ 0]    
  L C ε(k | k  1) I L    v(k ) 
  
Closed Loop Characteristic Equation

I  Φ  ΓG    ΓG 
det 
0  I   L C

  
  det I  Φ  ΓG   det I    L  C  0

 [ ]  
Note : Through Lyapunov stability arguments, we have established that

 Φ  ΓG    1 and    L C  1
 Eigenvalues of the closed loop equation inside the unit circle
Thus, even though the observer and controller are

designed separately to be a-stable, the nominal closed
loop system, implemented using the observer based
feedback controller, is asymptotically stable
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Realistic LQOC Formulation
 Linear quadratic regulator designed above can

generate an offset if
 the unmeasured disturbances are non-stationary, i.e. they
have slowly drifting behavior
 mismatch exists between the plant and the model.
 In order to deal with such situations, it is
necessary to introduce integral action in the
controller.
 Also, the regulator designed above only solves the
restricted problem of moving the system from any
initial state to the origin. If it is desired to move
the system from any initial condition to an
arbitrary setpoint, the state feedback control
laws has to be modified.
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LQ Controller Design
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Consider the problem of designing a LQ controller for

a general system governed by difference equation
such that it is controlled at an arbitrarily specified setpoint r
Further, assume that
are known apriori.

41
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The steady state behavior of this system is given by
From the steady state equation, it follows that
and
When number of manipulated inputs equals the

number of controlled outputs, it follows that
42
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IIT Bombay
Pseudo-inverse of matrix Ku can be used in the above expression

When No. of manipulated inputs >= No. of controlled outputs
Now, subtracting the steady state model equations

from the dynamic model equation
43
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IIT Bombay
the transformed system dynamics is given by
An LQ controller is developed for the transformed system as follows
which regulated the transformed system at the origin. This is

equivalent to achieving offset free behavior for the original
system for the specified stepoint and the disturbance level.
Thus, the LQ control law that solves servo and regulatory
problems simultaneously can be expressed as follows
44
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Realistic LQOC Formulation
Thus, the problem of regulation in the face of unknown drifting

disturbances / plant-model mismatch and tracking an arbitrary
setpoint trajectory is solved by modifying the regulatory
control law as follows

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Innovation Bias Approach

IIT Bombay
By this approach, the observer is implemented as follows
When the model is perfect, the innovation sequence {e(k)} is

a zero mean white noise signal.
However, in the presence of

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IIT Bombay
and / or
In fact, the sequence {e(k)} becomes colored noise.

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IIT Bombay
The low frequency drifting mean of {e(k)} can be estimated

using a simple unity gain first order filter of the form
Choice of this parameter influences the regulatory

(disturbance rejection) behavior of the LQG controller
Typical value of i is 0.9.
Choosing i  0 sets ei,f (k)  ei (k) and the filtering of the high frequency
component is eliminated, which makes the controller quite aggressive
Signal ef (k) contains informatio n on low frequency drifting unmeasured

disturbances and model plant mismatch influencin g the plant dynamics.
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Unity Gain Filter

IIT Bombay
Consider a unity gain 1'st order transfer function

used for filtering a signal y(t) to generated yf (t )
1
yf (s )  y (s )
s  1
In discrete time (with sampling interval T), this is equivalent to
(1   )
yf (z )  y (z ) where   exp(-T/ )
z 
Note : 0    1 for any   0
Or in time domain
yf (k  1)  yf (k )  (1   ) y(k )
The filter is often implemented by removing the unit delay, i.e.
yf (k )  yf (k  1)  (1   ) y(k )
49
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Unity Gain Filtering of e(k)

IIT Bombay
50
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IIT Bombay
The following assumptions are made in the innovation bias

formulation regarding the state and the output disturbances
Further it is assumed that these disturbances remain constant

over the future, i.e. these disturbances behave according the
following linear difference equations
51
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IIT Bombay
To achieve offset free closed loop behavior and setpoint

tracking, the control law is now implemented as follows
{r(k)} represents setpoint trajectory

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State Augmentation Approach
By this approach, the state space model is augmented with
extra artificial states as follows

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Output bias formulation: A simple approach is to view the
drifting disturbances as causing a bias in the measured
outputs, i.e., we can choose
Input Bias Formulation: The elements of vector can be viewed

as bias in r manipulated inputs. When number of manipulated
inputs equals the number of measured outputs (r = m), then we
can choose
Disturbance bias formulation: When the state space model

is derived from a mechanistic model, it is possible to choose

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The above set of equations can be combined into an augmented

state space model of the form

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Together with covariance matrices
This augmented model can be used for developing a Kalman predictor

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The steady state Kalman gain is obtained by solving the

corresponding steady state Riccati equations
In order to maintain the observability of the artificially

introduced states, the number of additional states
introduced in the augmented model should not exceed
the number of measured outputs.
When the state space model is observable and stable with

no integrating modes, the augmented state space model
will be observable (detectable) in most of the cases.

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At k’th instant, the steady state targets are computed by
solving for

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For the case m = r; two special cases of quadratic optimal tracking

control law are as follows

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Inferential Control of CSTR

IIT Bombay
 Control schemes
 Measure only temperature
 Estimate concentration and temperature using state
observer
 Develop MIMO / Multi-loop control schemes to control
estimated concentration and temperature
 Controllers developed
 Multi-loop PI
 Multi-loop PI with gain decoupling
 LQC
 Control problem: Compare performances for step

change in conc. setpoint at k=50 followed by step
disturbance at t = 150
Automation Lab
State Observer Design

IIT Bombay
We introduce artificial state as bias in disturbance, i.e.

0.06
we select    
 3 . 9 
Augmented system for state estimation
 0.185 - 0.01 0.06   0.005 0.13    0.06 
 x (k  1)     x ( k ) 
  (k  1)    73.49

1.33   3.9       - 0.73 - 1.8  u(k )    3.9  d (k )
   0   (k )    
 0  1   0 0    0 
 x(k ) 
y (k )  0 1 0   { Note : Only temperatur e is measured }
  (k )
0.012 0 
State & Measuremen t Noise Covariance s : Qa   2  ; R a  0.1
2
 0   
Choice of Tuning Parameter :    (0.01) 2
2
Steady stste gain for Klaman Filter (current state estimator)

LC ,  0.0016 0.8006 0.0447 
T

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CSTR: Kalman Filter Performance
State Estimation
0.35
Conc.(mol/m3)
0.3
0.25 Linear
Plant
0.2
Simulation
0 1 2 3 4 5
Time (min)
6 7 8 9 10
(No Plant
Model
Mismatch
Case)
Inlet Conc. (mol/m3)
2.3 True
2.2 Estimated
2.1
1.9
0 1 2 3 4 5 6 7 8 9 10
Time (min)
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IIT Bombay
CSTR: Kalman Filter Performance

State Estimation
0.35
Conc.(mol/m3)
0.3
0.25
Non-Linear
0.2 Plant
0 1 2 3 4 5 6 7 8 9 10 Simulation
Time (min) (Plant
Model
Mismatch
2.3 True Case)

2.2 Estimated
2.1
1.9
0 1 2 3 4 5 6 7 8 9 10
Time (min)
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CSTR : Inferential LQC

IIT Bombay
Conol of reactor temperature and estimated reactor concentration,

1 0
i.e., we have Cr   
0 1
Controller Design Parameters
LQC1 : Small Input weighting (relatively aggressive control action)
100 0  1 0  47.37  0.7614 
Wx    ; W  0 1 ; G   6.94 0.0312 
u 
 0 1   
LQC2 : Large Input Weighting (relatively less aggressive control action)
100 0 100 0   1.3163  0.0183 
Wx    ; W   0 100  ; G   6.177 0.0444 
u 
 0 1   
Linear Quadratic Control Law
1 0   1.6  10 17  ˆ
xs(k)    r(k )   15 
 (k | k )
0 1   1 . 857  10 
89.52 0.3226 
u(k )   r (k )  G xˆ (k | k )  xs(k)
4.356 0.0537 
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CSTR: Multi-Loop PI Performance

Controlled Outputs
0.4 PID Pairing
CA - Fc
Conc.(mol/m3)
0.35
T-F
0.3
0.25
Linear
0.2
0 5 10 15 20 25 Plant
Time (min) Simulation
400
k c1  6.34
Temp.(K)
395
 I ,1  0.2
390 k c ,2  0.0028
 I , 2  0.3
385
0 5 10 15 20 25
Time (min)
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CSTR: Multi-Loop PI Performance
Coolent Flow (m3/min) Manipulated Inputs and Disturbance
30
20
10
0 5 10 15 20 25
Time (min)
1.5
Linear
Inflow (m3/min)
1 Plant
Simulation
0.5
0 5 10 15 20 25
Time (min)
2.5
1.5
0 5 10 15 20 25
Time (min)
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CSTR: PI with gain Decoupling

Controlled Outputs
0.45
PID Pairing
Conc.(mol/m3)
0.4
CA – m1
0.35
T – m2
0.3
0.25
0.2 Linear
0 5 10 15 20 25
Time (min) Plant
Simulation
405
Temp.(K)
400 k c 1  0 .1
 I ,1  0.2
395
k c , 2  0 .1
390  I , 2  0 .2
0 5 10 15 20 25
Time (min)
Automation Lab

IIT Bombay
Coolent Flow (m3/min) Manipulated Inputs and Disturbance

30
20
10
0 5 10 15 20 25
Time (min)
1.5
Linear
Inflow (m3/min)
1
Plant
Simulation
0.5
0 5 10 15 20 25
Time (min)
2.5
1.5
0 5 10 15 20 25
Time (min)
Automation Lab

IIT Bombay
Controlled Outputs
0.8
0.6
Conc.(mol/m3)
0.4
0.2
0 Non-Linear
0 5 10 15 20 25
Time (min) Plant
Simulation
430
420
Temp.(K)
410
400
390
380
0 5 10 15 20 25
Time (min)
Automation Lab
IIT Bombay

Coolent Flow (m3/min)
Manipulated Inputs and Disturbance
30
20
10
0 5 10 15 20 25
Time (min)
2
Inflow (m3/min)
Non-Linear
1.5
Plant
1
Simulation
0.5
0 5 10 15 20 25
Time (min)
2.5
1.5
0 5 10 15 20 25
Time (min)
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CSTR: LQG Performance

IIT Bombay
Controlled Outputs
0.45
0.4
Conc.(mol/m3)
0.35
0.3 Linear
0.25 Plant
0.2 Simulation
0 5 10
Time (min)
15 20 25
(No Plant
Model
398
Mismatch
396 Case)
Temp.(K)
394
392
390
388
0 5 10 15 20 25
Time (min)
Automation Lab

IIT Bombay

30
20
10
0 5 10 15 20 25 Linear
Time (min) Plant
3
Inflow (m3/min)
Simulation
2
(No Plant
1 Model
0
0 5 10 15 20 25
Mismatch
Time (min) Case)
2.5
1.5
0 5 10 15 20 25
Time (min)
Automation Lab

IIT Bombay
Controlled Outputs
0.45
Conc.(mol/m3)
0.4
0.35
0.3 Non-Linear
0.25
Plant
Simulation
0.2
0 5 10 15 20 25 (Plant
Time (min) Model
400 Mismatch
Case)
Temp.(K)
395
390
385
0 5 10 15 20 25
Time (min)
Automation Lab
CSTR: LQC Performance

IIT Bombay

30
20
10 Non-Linear
0 5 10 15 20 25
Sampling Instant Plant
3 Simulation
Inflow (m3/min)
2 (Plant
1
Model
Mismatch
0
0 5 10 15 20 25 Case)
Sampling Instant
2.5
1.5
0 5 10 15 20 25
1/16/2014 Sampling
StateInstant
Feedback Control 74
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Difficulties with LQG

IIT Bombay
 Difficult to incorporate operating constraints

explicitly
 Limits on manipulated inputs / rate of change of
manipulated inputs
 Limits of process outputs (arising from product
quality, safety considerations)
 Difficult to deal systematically with Plant-Model
mismatch
 Algebraic Riccati Equations: AREs is notoriously
difficult to solve for large dimensional systems

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Model Predictive Control

IIT Bombay
 Multivariable Control based on On-line use

of Dynamic Model
 Most widely used multivariable control scheme in
process industries over last 25 years
 Dynamic Matrix Control (DMC) developed by Shell in
U.S.A. (Cutler and Ramaker, 1979)
 Model Algorithmic Control developed by Richalet et. al.
(1978) in France
 Used for controlling critical unit operations (such
as FCC / crude column) in refineries world over
 Mature technology
 Can be used for controlling complex large dimensional
systems

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Advantages of MPC
IIT Bombay
 Modified form of classical optimal control

problem
 Can systematically and optimally handle
 Multivariable interactions
 Operating input and output constraints
 Process nonlinearities
 Basic Idea
Given a reasonably accurate model for plant
dynamics, possible consequences of the current
and future input moves on the future plant
behavior (such as possible constraint violations
in future etc.) can be forecasted on-line and
used while deciding the input moves
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MPC: Schematic Diagram

IIT Bombay
Disturbances
Optimization Inputs Outputs
Process
Dynamic
Prediction Dynamic
Model Model
MPC
Plant-model mismatch
Set point Trajectory
Dynamic Model: used for on-line forecasting
over a moving time horizon (window)

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MPC: Basic Idea

IIT Bombay
 Finite Horizon formulation: Optimization

problem is formulated over a finite window of
time starting from current instant
 At each sampling instant, a constrained
optimization problem is formulated over the
window and solved
 Moving horizon / window: The time window keeps
moving or receding
FROM [k, k+p] TO [k+1, k+p+1] …. and so on
 Pro-active constraint management: Given a good
dynamic model, we can perform on-line
forecasting and foresee any possible constraint
violations over the time window

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Moving Horizon Formulation

IIT Bombay
Output
Constraints
(Kothare et al, (2000), IEEE Control Systems Technology)

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Components of MPC
IIT Bombay
 Internal model and state estimator

 Discrete Linear State Space Model developed from
mechanistic approach or time series modeling
(FIR or Finite Step Response models were used initially)
 State Estimator: Open loop observer / Kalman Predictor/
Kalman Filter / Luenberger Observer / Innovation form of
state observer developed from ARX / ARMAX / BJ model
 Prediction of Future Plant Behavior
 Key issue: Handling unmeasured drifting disturbances and
plant model mismatch
 On-line constrained optimization strategy
 Quadratic programming
 Linear programming
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MPC with State Estimation

IIT Bombay
On-line Optimizer Dynamic

Model
(Kothare et al, (2000), IEEE Control Systems Technology)

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State Estimation and Prediction
Consider state estimation and prediction using prediction

form of observer
Such a observer can be developed using any of the

following approaches
 Kalman predictor
 Luenberger predictor
 State realization of ARX / ARMAX / BJ model
Prediction estimate of the current state and innovation

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State Estimation and Prediction
Innovation Bias Approach:

Effect of model plant mismatch and /or unmeasured
disturbance signal is extracted by filtering the innovation
through a unity gain low pass filter
model predictions over future time window [k + 1; k + p] are

generated using the discrete dynamic model as follows

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Future Trajectory Prediction
Future instant (k+1)
Future instant (k+2)

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Future instant (k+p)

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Interpretation of p step output prediction equation
Future output Effect of the past 

  
prediction   state on future outputs 
Effect of future 
 
 inputs on future outputs 
Effect of Plant Model Mismatch and Unmeasured 
 
Disturbanc es on future outputs 
‘p’ is called as Prediction Horizon

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Note: The predictions generated using the innovation
bias approach is equivalent to carrying out predictions
using the observer augmented with an artificially
introduced integrated white noise model, i.e. prediction
Generated using the following dynamic system
Introduction of integrated white noise in predictions

helps in achieving offset free closed loop behavior
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Constraints on Inputs
IIT Bombay
To reduce the degree dimension of the on-line optimization

problem, degrees of freedom available for shaping the future
trajectory are often restricted to first q moves
by imposing input constraints of the form
q is called the Control Horizon
In a practical implementation
control horizon (q) << prediction horizon (p)
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Constraints on Inputs
IIT Bombay
Bounds on the manipulated inputs
Bounds on rate of change of manipulated inputs
Since predictions are carried out online at each control

instant, it is possible to choose future inputs moves such
That the above constraints are respected
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Control Horizon
Schematic Representation of Control Horizon and Input Bounds
91
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Future Setpoint Trajectory
In addition to predicting the future output trajectory, at each

instant, a filtered future setpoint trajectory is generated using
a reference system of the form

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Future Setpoint Trajectory

IIT Bombay
93
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Steady State Target Computation
Case: Number of manipulated inputs equals the number of

controlled outputs and unconstrained solution exists

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Constrained MPC formulation

IIT Bombay
Given the prediction model, input constraints and desired set

point trajectory, the MPC problem at sampling instant k is
formulated as follows

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Subject to following constraints
(a) Model Prediction Equations
(b) Bounds on future inputs and predicted outputs

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WE is a symmetric positive definite error weighting matrix

and WU is symmetric positive semidefinite input weighting matrix
These matrices are treated as tunig parameters,
which are used to shape the closed loop input and output behavior
The terminal state weighting matrix W can be found by solving

discrete Lyapunov equation. When poles of  are inside the unit
circle, W can be found by solving discrete Lyapunov equation
When some poles of Φ are outside unit circle, the procedure

for computing the terminal weighting matrix is given in
Muske and Rawlings (1993)

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Moving Horizon Implementation
The resulting constrained optimization problem is solved on-

line each sampling instant using any standard constrained
optimization method.
The controller is implemented in a moving horizon framework.
Thus, after solving the optimization problem

over window [k,k+p], only the first optimal move
is implemented on the plant, i.e.
The optimization problem is reformulated at the next sampling

instant over time windows [k+1, k+p+1] based on the updated
information from the plant and resolved.

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Moving Horizon Formulation

IIT Bombay
 Optimization problem transformed to Quadratic

Programming (QP) problem for improving computing
efficiency on-line and solved using efficient QP
solvers available commercially.
 MPC formulation can control Non-square multi-variable
systems i.e. systems with number of controlled
outputs not equal to the number of manipulated
inputs.
 In many practical situations, not all outputs have to be
controlled at fixed setpoints but need to be
maintained in some “zone”. Such zones can be easily
defined using constraints on predicted outputs.

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Quadratic Programming (QP)

IIT Bombay
A constrained optimization problem is called as

Quadratic Programming (QP) formulation if it
Has following standard form
Min 1
UT HU  F T U
U 2
Subject to
AU  b
A large dimensional QP formulation can be solved
very quickly using an efficient search method
Through a series of algebraic manipulations, the
Constrained MPC formulation can be transformed
to a Quadratic Programming (QP) Problem
100
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QP Formulation
IIT Bombay
To understand how the MPC optimization problem can be

transformed to a quadratic programming problem, consider
MPC formulation without terminal state weighting
the prediction model can be expressed as follows
(Note: QP formulation can be carried out with terminal state weighting

also. It has been neglected here to keep the expressions relatively simple)
101
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QP Formulation
IIT Bombay
Matrix relating the Matrix relating the effect of

effect of past states past unmeasured disturbances
to future predictions and model plant mismatch on
the future predictions
102
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QP Formulation
IIT Bombay
Matrix relating the effect of future manipulated inputs

On future predictions
Consists of impulse response coefficients of the model
Referred to as Dynamic Matrix in MPC literature
103
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Unconstrained QP Formulation
Using these notations, unconstrained version of MPC problem

can be stated as follows
104
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105
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The unconstrained optimization problem can be reformulated

as a Quadratic Programming problem as follows
The optimum solution to above minimization problem is
106
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Since only the first input move is implemented on the process
With some algebraic manipulations, the above control law can

be rearranged as follows
From the above expression, it is easy to see that

unconstrained MPC is a form of state feedback control law
Advantage of unconstrained formulation: closed form

control law can be obtained and, as a consequence,
on-line computation time is small
107
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Constrained QP Formulation
IIT Bombay
The constrained MPC formulation at k’th sampling instant
can be re-cast as
108
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Constrained QP Formulation
IIT Bombay
109
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Alternate Formulations
 To achieve offset free control, it is possible to develop MPC

formulation based on the augmented state space model
(see Muske and Rawlings, 1993; Yu et al., 1994) as described
in the case of LQG (on slides 46 to 50).
 Early formulations of MPC, such as Dynamic Matrix Control
(DMC), were based on ‘open loop observer’ and were meant
for open loop stable systems. These formulations can be
derived by setting the observer gain to zero in the
innovation bias formulation.
 MPC formulation in this presentation has been developed
using Kalman predictor only for the sake of convenience. It
is straightforward to develop similar formulations based on
the Kalman filter with innovation bias approach or state
augmentation approach.
110
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Tuning of MPC
IIT Bombay
Facilitates Performance specification
Unknown
Set Point Filter Disturbances
Inputs Outputs
MPC Process
Set Point
Dynamic
Model
Robustness
Plant-model mismatch
Filter
Guard again plant-model mismatch

111
Automation Lab
Tuning of MPC
IIT Bombay
 Prediction Horizon: Typically chosen close to open

loop settling time (60 to 100 samples)
 Control Horizon: Typically chosen small (5 to 10)
to avoid model inversion problems
 Input rate constraints
Zone / Range Control: Not necessary to specify

set points on each output. Instead, high and

low limits can be defined within which output
should be maintained
112
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Example: Shell Control Problem
Controlled Outputs :
(y1) Top End Point
(y2) Side Endpoint
(y3) Bottom Reflux
Temperature
Manipulated Inputs :
(u1) Top Draw
(u2) Side Draw
(u3) Bottom Reflux Duty
Unmeasured Disturbances:
(d1) Upper reflux
(d2) Intermediate reflux
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Shell Control Problem (SCP)
y ( s )  Gu ( s ) u ( s )  G d ( s ) d ( s )
 4.05e 27 s 1.77e 28 s 5.88e 27 s 
 50 s  1 60 s  1 50 s  1 
 5.39e 18 s 5.72e 14 s 6.9e 15 s 
Gu ( s )   
 50 s 201s 60 s  1 40 s  1 
 4.38e 4.42e 22 s 7.2e 19 s 
 33s  1 44 s  1 19 s  1 

 1.2e 27 s 1.44e 27 s 
 45s  1 40s  1  Characteristics
1.52e 15 s 1.83e 15 s   Large time delays
Gd ( s )   `
 25s  1 20s  1   High degree of
 1.14 1.26  multivariable
 27 s  1 32 s  1  interactions

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SCP: MPC Tuning Parameters
Operating Constraints
Input Limits  0.5  ui  0.5  for i  1,2,3
 0.5  d i  0.5  for i  1,2 
Rate Limits  0.05  ui  0.05  for i  1,2,3
Output Constraints  0.5  y1  0.5

 0.5  y 3
Sampling
We  diag 1 1 0 interval
Wu  1.5 diag 1 0.1 1 (T) = 2 min
Prediction Horizon : 40 Control Horizon : 5

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SCP: PID Tuning Parameters

IIT Bombay
 Multi-loop PID control: Three independent PID

controllers with no coordination among them
 PID Pairing and Tuning

 (y1) Top End Point - (u1) Top Draw
Kc = 0.3 , Ti = 13 min, Td = 0
 (y2) Side Endpoint - (u2) Side Draw

Kc = 0.23 , Ti = 30 min, Td = 0
 (y3) Bottom Reflux - (u3) Bottom Reflux Duty

Kc = 0.28 , Ti = 9 min, Td = 0
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Comparison of Servo Responses
Controlled Outputs
117
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Comparison of Servo Responses
Manipulated Inputs
118
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Comparison of Regulatory IIT Bombay
Responses
Controlled Outputs
(Open Loop Observer Based MPC Formulation)

119
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Responses
Manipulated Inputs
120
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Responses
Unmeasured Disturbances
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IIT Bombay
SCP: Sequential Servo Changes
Shell Control Problem
0.5 With drifting
Unmeasured
0.4
disturbances
0.3
0.2 y(1)
y(3) Note:
Decoupled
Measured Outputs
0.1
Servo
0 Response.
Change in
-0.1
one
-0.2 Setpoint
-0.3 y(2) Does not
affect the
-0.4
other
-0.5 outputs
0 50 100 150 200 250
Sampling instant

Automation Lab
IIT Bombay
SCP: Sequential Servo Changes
Shell Control Problem
0.5
0.4
u(1)
0.3
0.2
Manipulated Inputs
0.1 u(2)
0
-0.1 u(3)
-0.2
-0.3
-0.4
-0.5
0 50 100 150 200 250
Sampling instant

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Improved Disturbance Rejection
Kalman Predictor Based MPC
Disturbance:
Step Jumps
Open loop
Observer Output constraint
Based MPC handling
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IIT Bombay
Linear MPC: Nominal Stability
 Approach 1: Formulate infinite prediction horizon and

finite control horizon problem
 m
   u(k  i | k ) W
2 2
ef (k  i | k) W
e e
i 1 i 1
Stability is proved by using Lipunov’s approach

 Approach 2: Impose terminal Constraints on
predicted state x(k+p) = 0 or introduce large weighting
on terminal state
 Approach 3: Impose contraction constraints
x(k  p | k ) R   x(k | k ) R
R :  ve definite,   [0,1)
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Nominal Stability
IIT Bombay
Infinite Horizon Formulation (Muske and Rawlings,1993)

Let ( s x ) and ( u x ) be projection s of x on to stable
unstable eigen - spaces of  matrix, respective ly
 m 1
 
m 1 
 x (k  i | k ) T
W e x (k  i | k )    u(k  i | k) T
 Wu u(k  i | k) 
   i 1 i 0 
 T 
  x ( k  m | k )T
 s W 
s s x ( k  m | k ) 
Subject to
 u x(k  m | k )  0
Input and state constraints
W : Positive definite solution to Liapunov Equation
  
 T
s
T
 s T Ws  s  s   Ws   s 
T
We  
 T
s  0
 s  Ts ( s Ts ) 1
Automation Lab
Linear MPC: Robustness

IIT Bombay
 Approach 1:Uncertainty modeled as interval

uncertainty / ellipsoidal bounds on FIR coefficient
 Optimization problem formulated as min-max problem
(minimize worst case value of objective functions taken
over the set of uncertain plants)
 Approach 2: Multi-model description of uncertainty
x (k  1)  x(k )  u(k )
y (k )  Cx(k )
s s 
[, ]   i [ i , i ] |  i  1 ; i  0
 i 1 i 1 
 Use Linear Matrix Inequalities framework to solve robust

control problem
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Commercial Products
IIT Bombay
(Ref.: Qin and Badgwell, 2003)

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Linear MPC Applications (2003)

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Industrial Application: Ammonia Plant

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Need for Nonlinear Control

IIT Bombay
 Linear prediction model based MPC:

limits applicability to small regions around
operating point
 Real systems are nonlinear: use of linear
controllers can generate sub-optimal
performance
 Nonlinear MPC
 Need to achieve tight control of highly nonlinear
systems
 Control of time varying (batch / semi-batch)
systems
 Grade transition problems in polymer processing

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Models for Nonlinear MPC (NMPC)

First Principles / Phenomenological
/ Mechanistic / Grey Box
 Based on physics of the problem
 Energy and material balances
 Thermodynamic models
 Conservation laws: conservation of charge
 Valid over wide operating range
 Provide insight in the internal working of systems
 Development and validation process: difficult and
time consuming, requires a domain expert for
development

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Models for Nonlinear MPC

IIT Bombay
 Data Driven / Black Box Models

Dynamic models developed directly from input-
output data
 Model Forms
 Nonlinear Difference Equations
 Artificial Neural Networks
 Limitations
 Valid over limited operating range
 Provide no insight into internal working of systems
 Development process: much less time consuming

and comparatively easy

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Discrete Time Series Models

Dynamic Models: Given observed data
Set of past Inputs :U (k )  u (1) u ( 2) ... u (k )

Measured Outputs :Y (k )  y (1) y ( 2) ... y (k )
we are looking for relationship

y(k )  U (k 1) ,Y (k 1) ,    e (k )
such that noise (residuals) e(k) are

as small as possible
  R d represents parameter vector
identified from data

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Black Box Models: Examples

IIT Bombay
Nonlinear Output Error (NOE)

x (k )  F x (k  1),.....x (k  n ), u(k  1),..., u(k  d )
y (k )  x (k )  e(k )
Example : Dynamic model using Recurrent ANN
Volverra Series Models
Block Oriented Hammerstei n and Weiner Models
Nonlinear ARX Model (NARX)

y (k )  F y (k  1),.....y (k  n ),u(k  1),..., u(k  d )  e(k )
Examples : Dynamic model using Feed Forward ANN
Nonlinear State Observers with NARX structure

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Nonlinear MPC Formulation

IIT Bombay
Let r(k+i|k), i= 1, 2,…P denote desired future setpoint

trajectory
Then, defining future prediction error
e(k  i | k )  r (k  i | k )  yˆ (k  i | k )
MPC problem at the k’th instant is formulated as a

constrained nonlinear optimization problem
min
u(k | k ),...u (k  m
q 1 | k  e f (k  1 | k ),...., ef (k  p | k )
Subject to
Model Prediction Equations
Input Constraints Variety of Control
Output Constrinats objectives can be
specified

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Example: Control of Tennessee IIT Bombay
Eastman Problem
Primary controlled variables: Product concentration of G

Product Flow rate
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TE Problem: Objective Function

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IIT Bombay
TE Problem: Operating Constraints

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TE Problem: Transition Control
Primary Controlled Outputs

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Secondary Controlled Outputs

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Manipulated Inputs

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IIT Bombay
Manipulated Inputs

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IIT Bombay
Model for Predictive Control

Model Type Origin Linear/Nonlinear Stable/unstable
PDE, ODE Physics L, NL S, U
State Space Physics, L, NL S, U
Data
Transfer Function Physics, LTI S, U
Data
ARX, ARMAX Physics, L S, U
Data
Convolution* Data LTI Stable
(Impulse, Step)
Neural Network Data L, NL S, U

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IIT Bombay
Heater Mixer Setup at IIT Bombay
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Unmeasured Disturbances: IIT Bombay
Typical variation
146
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IIT Bombay
Open loop behavior
Typical open-loop output variation in the
presence of stationary and non-stationary disturbances
147
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NMPC on Heater-Mixer Setup
148
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Variation of unmeasured Disturbances
149
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Manipulated Inputs
150
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Nonlinear MPC: Vendors

IIT Bombay

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NMPC: Applications (2003)

IIT Bombay

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Summary
IIT Bombay
 Model Predictive Control

 provides a coordinated approach to handling of multi-
variable interactions and operating constraints
 deal with control problems of non-square systems
 transparent way of tuning controller through objective
function weights and rate limits to achieve desirable
closed loop performance
 nonlinear systems
 Flexible control tool for addressing wide variety
of control problems
 Increasingly being applied in diverse application
areas: robotics, fuel cells, internet search engines,
planning and scheduling, control of drives, bio-
medical applications
Automation Lab
Current Research Directions

IIT Bombay
 Developing reliable nonlinear models capturing

effects of unmeasured disturbances
 Incorporating robustness at design stage
 Integrating fault diagnosis with MPC/NMPC
formulations
 Development of improved state estimation
schemes
 Embedding MPC / NMPC on a chip
 Fast NMPC for robotic and other fast
applications
 Improving MPC relevant optimization schemes

Automation Lab
References
IIT Bombay
Books with excellent material on LQOC and MPC

 Astrom, K. J. and B. Wittenmark, Computer Controlled
Systems, Prentice Hall, 1990.
 Camacho, E. C. and C. Bourdons, 1999, "Model Predictive
Control", Springer Verlag, London.
 Franklin, G. F. and J. D. Powell, Digital Control of Dynamic
Systems, Addison-Wesley, 1989.
 Goodwin, G., Graebe, S. F., Salgado, M. E., Control System
Design, Phi Learning, 2009.
 Glad, T., Ljung, L. Control Theory: Multivariable and
Nonlinear Methods, Taylor and Francis, 2000.
 Sodderstrom, T. Discrete Time Stochstic Systems.
Springer, 2003.
155
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References
IIT Bombay
MPC and Related Important Review Articles

 Garcia, C. E., Prett, D. M. , Morari, M. Model predictive control:
Theory and practice - A survey. Automatica, 25 (1989), 335-348.
 Morari, M. , Lee, J.H., Model Predictive Control: Past, Present and
Future, Comp. Chem. Engg., 23 (1999), 667-682.
 Henson, M.A. (1998). Nonlinear Model Predictive Control : Current
status and future directions. Computers and Chemical Engg,23 ,
187- 202.
 Lee, J.H. (1998). Modeling and Identification for Nonlinear Model
Predictive control:Requirements present status and future needs.
International Symposium on Nonlinear Model Predictive
control,Ascona, Switzerland.
 Meadows, E.S. , Rawlings, J. B. Nonlinear Process Control, ( M.A.
Henson and D.E. Seborg (eds.), New Jersey: Prentice Hall, Chapter
5.(1997).
 Qin, S.J., Badgwell, T.A. A servey of industrial model predictive
control technology, Control Engineering Practice 11 (2003) 733-
764.
156
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References
IIT Bombay
Useful / Important Papers

 Muske, K. R. , Rawlings, J. B. ; Model Predictive control with
linear models, AIChE J., 39 (1993), 262-287.
 Muske, K. R. ;Badgwell, T. A. Disturbance modeling for
offset-free linear model predictive control. Journal of
Process Control, 12 (2002), 617-632.
 Patwardhan S.C. and S.L. Shah (2005) From data to diagnosis
and control using generalized orthonormal basis filters. Part
I: Development of state observers, Journal of Process
Control,15,7, 819-835.
 Ricker, N. L., Model Predictive Control with State Estimation,
Ind. Eng. Chem. Res., 29 (1990), 374-382.
 Yu, Z. H. , Li , W., Lee, J.H. , Morari, M. State Estimation
Based Model Predictive Control applied to Shell Control
Problem: A Case Study, Chem. Eng. Sci., (1994), 14-22.
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Appendix
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Input Blocking Constraints

IIT Bombay
The degree of freedom for shaping the future trajectory is

typically restricted by imposing input blocking constraints
q is called the Control Horizon
In a practical implementation
control horizon (q) << prediction horizon (p)
Automation Lab
Input Blocking Constraints

IIT Bombay
Bounds on the manipulated inputs
Bounds on rate of change of manipulated inputs
Since predictions are carried out online at each control

instant, it is possible to choose future inputs moves such
That the above constraints are respected

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Input Blocking and Bounds

Schematic Representation of Input Blocking and Input Bounds
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QP Formulation
IIT Bombay
To understand how the MPC optimization problem can be

transformed to a quadratic programming problem, consider
MPC formulation without terminal state weighting
the prediction model can be expressed as follows
(Note: QP formulation can be carried out with terminal state weighting

also. It has been neglected here to keep the expressions relatively simple)
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QP Formulation
IIT Bombay
163
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QP Formulation
IIT Bombay
164
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Using these notations, unconstrained version of MPC problem

can be stated as follows
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166

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Linear Quadratic Optimal Control

1/16/2014 State Feedback Control 2

Long Term Scheduling

Regulatory (PID) Control Control

1/16/2014 State Feedback Control 3

1/16/2014 State Feedback Control 4

 Why advanced control?

1/16/2014 State Feedback Control 5

Optimal State Estimation

Thus, given stochastic state space model

Q quantify uncertainties in state dynamics

Aim: Design state feedback controller

Reachability and Controllability

Problem: Given an arbitrary initial condition x(0)

Given initial state estimate x(0) and input sequence

x(1)  x(0)  u(0)

x(2)  x(1)  u(1)

x(3)   3 x(0)   2 u(0)  ....  u(2)

1/16/2014 State Feedback Control 9

Necessary condition for reachability: the

rank   .... n 1   n

0.185 - 0.01 0.005 0.13  0.06

1/16/2014 State Feedback Control 11

Reachability: CSTR Example

 0.185 - 0.008  0.0026

Linear Perturbation model is Reachable

Quadruple Tank System

Discrete Time State Space Model

x(k  1)  Φx(k )  Γu(k )

Quadruple Tank System

Rank of reachability matrix = 4

Levels in Tank 1 to Tank 4 can be moved from

1/16/2014 State Feedback Control 14

Original Model Controllab le Cannonical Form

Transfer Fundtion  a1  a2  a`3 ....  an  1

1/16/2014 State Feedback Control 15

Equating coefficients of P( ) with detI  (c  c Gc ), we have

Transform the observer Gc back to original state space as G  GcT

1/16/2014 State Feedback Control 16

Coordinate Transforma tion Inverse Coordinate Transforma tion

Note that the above coordinate transformation

1/16/2014 State Feedback Control 17

Assumption: Perfect Model

Controller implementation using Luenberger Observer

1/16/2014 State Feedback Control 18

 x(k  1)  Φ  ΓG  ΓG   x(k ) 

Closed Loop Characteristic Equation

Note : Matrices G and L have been selected such that

Thus, even though the observer and controller are

Linearized (Original) State Space Model

G  p1  1.518 p2  0.836T

0 1  - 0.7335 - 0.7876

Closed Loop Poles Controller Gain Vector

In general, the state feedback controller becomes

1/16/2014 State Feedback Control 22

1/16/2014 State Feedback Control 23

Error in Conc. Estimate

Difficulty with Pole Placement Design

1/16/2014 State Feedback Control 25

Linear Quadratic Regulator

1/16/2014 State Feedback Control 26

Solution Strategy: Bellman’s dynamic programming

1/16/2014 State Feedback Control 27