ROBUST AND OPTIMAL

CONTROL

KEMIN ZHOU

with

JOHN C. DOYLE and KEITH GLOVER

PRENTICE HALL, Upper Saddle River, New Jersey 07458

 Contents

Preface xiii

Notation and Symbols xv

List of Acronyms xix

1 Introduction 1
1.1 Historical Perspective 1
1.2 How to Use This Book 5
1.3 Highlights of The Book 7

2 Linear Algebra 17
2.1 Linear Subspaces 17
2.2 Eigenvalues and Eigenvectors 20
2.3 Matrix Inversion Formulas 22
2.4 Matrix Calculus 24
2.5 Kronecker Product and Kronecker Sum 25
2.6 Invariant Subspaces 26
2.7 Vector Norms and Matrix Norms 28
2.8 Singular Value Decomposition 32
2.9 Generalized Inverses 36
2.10 Semidefinite Matrices 36
2.11 Matrix Dilation Problems* 38
2.12 Notes and References 44

3 Linear Dynamical Systems 45

3.1 Descriptions of Linear Dynamical Systems 45

vii
viii CONTENTS

3.2 Controllability and Observability 47

3.3 Kalman Canonical Decomposition 53
3.4 Pole Placement and Canonical Forms 58
3.5 Observers and Observer-Based Controllers 63
3.6 Operations on Systems 65
3.7 State Space Realizations for Transfer Matrices 68
3.8 Lyapunov Equations 71
3.9 Balanced Realizations 72
3.10 Hidden Modes and Pole-Zero Cancelation 78
3.11 Multivariable System Poles and Zeros 80
3.12 Notes and References 89

4 Performance Specifications 91
4.1 Normed Spaces 91
4.2 Hilbert Spaces 93
4.3 Hardy Spaces H2 and H^ 97
4.4 Power and Spectral Signals 102
4.5 Induced System Gains 104
4.6 Computing £2 and H2 Norms 112
4.7 Computing C^ and Hoo Norms 114
4.8 Notes and References 116

5 Stability and Performance of Feedback Systems 117

5.1 Feedback Structure 117
5.2 Well-Posedness of Feedback Loop 119
5.3 Internal Stability . 121
5.4 Coprime Factorization over HHoo 126
5.5 Feedback Properties 130
5.6 The Concept of Loop Shaping 134
5.7 Weighted H2 and H^ Performance 137
5.8 Notes and References 141

5 Performance Limitations 143

6.1 Introduction 143
6.2 Integral Relations 145
6.3 Design Limitations and Sensitivity Bounds 148
6.4 Bode's Gain and Phase Relation 151
6.5 Notes and References 152
CONTENTS IX

7 Model Reduction by Balanced Truncation 155

7.1 Model Reduction by Balanced Truncation 156
7.2 Frequency-Weighted Balanced Model Reduction 163
7.3 Relative and Multiplicative Model Reductions 165
7.4 Notes and References 171

8 Hankel Norm Approximation 173

8.1 Hankel Operator 174
8.2 All-pass Dilations 179
8.3 Optimal Hankel Norm Approximation 188
8.4 Coo Bounds for Hankel Norm Approximation 192
8.5 Bounds for Balanced Truncation 196
- 8.6 Toeplitz Operators 198
8.7 Hankel and Toeplitz Operators on the Disk* 199
8.8 Nehari's Theorem* 205
8.9 Notes and References 211

9 Model Uncertainty and Robustness 213

9.1 Model Uncertainty 213
9.2 Small Gain Theorem 217
9.3 Stability under Stable Unstructured Uncertainties 221
9.4 Unstructured Robust Performance 229
9.5 Gain Margin and Phase Margin 237
9.6 Deficiency of Classical Control for MIMO Systems 240
9.7 Notes and References 245

10 Linear Fractional Transformation 247

10.1 Linear Fractional Transformations 247
10.2 Examples of LFTs 254
10.3 Basic Principle 265
10.4 Redheffer Star-Products 266
10.5 Notes and References 269

11 Structured Singular Value 271

11.1 General Framework for System Robustness 272
11.2 Structured Singular Value 276
11.3 Structured Robust Stability and Performance 286
11.4 Overview on fi Synthesis 297
11.5 Notes and References 300
 CONTENTS

12 Parameterization of Stabilizing Controllers 301

12.1 Existence of Stabilizing Controllers 302
12.2 Duality and Special Problems 305
12.3 Parameterization of All Stabilizing Controllers 311
12.4 Structure of Controller Parameterization 320
12.5 Closed-Loop Transfer Matrix 322
12.6 Youla Parameterization via Coprime Factorization* 323
12.7 Notes and References 326

13 Algebraic Riccati Equations 327

13.1 All Solutions of A Riccati Equation 328
13.2 Stabilizing Solution and Riccati Operator 333
13.3 Extreme Solutions and Matrix Inequalities 341
13.4 Spectral Factorizations 350
13.5 Positive Real Functions 361
13.6 Inner Functions 365
13.7 Inner-Outer Factorizations 366
13.8 Normalized Coprime Factorizations 370
13.9 Notes and References 372

14 H2 Optimal Control 373

14.1 Introduction to Regulator Problem . . . 373
14.2 Standard LQR Problem '. 375
14.3 Extended LQR Problem 380
14.4 Guaranteed Stability Margins of LQR 381
14.5 Standard H2 Problem 383
14.6 Optimal Controlled System 386
14.7 Hi Control with Direct Disturbance Feedforward* 387
14.8 Special Problems 389
14.9 Separation Theory 396
14.10 Stability Margins-of 7i2 Controllers . . 398
14.11 Notes and References 399

15 Linear Quadratic Optimization 401

15.1 Hankel Operators 401
15.2 Toeplitz Operators 403
15.3 Mixed Hankel-Toeplitz Operators 405
15.4 Mixed Hankel-Toeplitz Operators: The General Case* 407
15.5 Linear Quadratic Max-Min Problem 409
15.6 Notes and References 412
CONTENTS XI

16 Hoo Control: Simple Case 413

16.1 Problem Formulation 413
16.2 Output Feedback Hoo Control 414
16.3 Motivation for Special Problems 420
16.4 Full Information Control 424
16.5 Full Control 430
16.6 Disturbance Feedforward 431
16.7 Output Estimation 433
16.8 Separation Theory 434
16.9 Optimality and Limiting Behavior 438
16.10 Controller Interpretations 443
16.11 An Optimal Controller 445
16.12 Notes and References 446

17 Hoo Control: General Case 449

17.1 General Hoo Solutions 449
17.2 Loop Shifting 453
17.3 Relaxing Assumptions 457
17.4 H2 and Hoo Integral Control 459
17.5 Hoo Filtering 462
17.6 Youla Parameterization Approach* 464
17.7 Connections 468
17.8 State Feedback 470
17.9 Notes and References 475

18 Hoo Loop Shaping 477

18.1 Robust Stabilization of Coprime Factors 477
18.2 Loop Shaping Using Normalized Coprime Stabilization 486
18.3 Theoretical Justification for Hoo Loop Shaping 489
18.4 Notes and References 495

19 Controller Order Reduction 497

19.1 Controller Reduction with Stability Criteria 498
19.2 Hoo Controller Reductions 505
19.3 Frequency-Weighted Coo Norm Approximations 512
19.4 An Example 517
19.5 Notes and References 521
xu CONTENTS

20 Fixed Structure Controllers 523

20.1 Lagrange Multiplier Method 523
20.2 Fixed Order Controllers 528
20.3 Notes and References 533

21 Discrete Time Control 535

21.1 Discrete Time Systems 535
21.2 Discrete Lyapunov Equations 537
21.3 Discrete Riccati Equations 538
21.4 Bounded Real Functions 547
21.5 Matrix Factorizations 552
21.6 Relations with the Continuous Time Case 558
21.7 Discrete Time H2 Control 560
21.8 Discrete Balanced Model Reduction 564
21.9 Model Reduction Using Coprime Factors 569
21.10 Notes and References 572

Bibliography 573

Index 591