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Matthew M. Peet
Arizona State University
where
−1 T −1
AK2 BK2 X2 X1 B2 An Bn X1 AY1 0 Y2 0
= − .
CK2 DK2 0 I Cn Dn 0 0 C2 Y1 I
Theorem 1.
For an LTI system P , if w is noise with spectral density Ŝw (ıω) and z = P w,
then z is noise with density
E[z(t)2 ] = kGk2H2
If the noise is colored, then we can still use the same approach to H2 optimal
control. Let Ĥ(ıω)Ĥ(ıω)∗ = Ŝw (ıω). Then design an H2 -optimal controller for
the plant
P̂ (s)Ĥ(s) P̂12 (s)
P̂s (s) = 11
P̂21 (s)Ĥ(s) P̂22 (s)
Now, using the controller and filtered plant,
S(Ps , K)(s) = P11 H + P12 (I − KP22 )−1 KP21 H = S(P, K)H
For noise with spectral density Sw , let z = S(P, K)w. Then if Sz is the spectral
density of z, we have
Sz (s) = S(P, K)(s)Ŝw (s)S(P, K)(s)∗
= S(P, K)(s)Ĥ(s)Ĥ(s)∗ S(P, K)(s)∗ = S(Ps , K)(s)Ŝ(Ps , K)(s)∗
Theorem 2.
Suppose P̂ (s) = C(sI − A)−1 B. Then the following are equivalent.
1. A is Hurwitz and kP̂ kH2 < γ.
2. There exists some X > 0 such that
Proof.
Suppose A is Hurwitz and kP̂ kH2 < γ. Then the Controllability Grammian is
defined as Z ∞
T
Xc = eAt BB T eA dt
0
Now recall the Laplace transform
Z ∞
At
eAt e−ts dt
Λe (s) =
Z0 ∞
= e−(sI−A)t dt
0
t=−∞
−1 −(sI−A)t
= −(sI − A) e dt
t=0
= (sI − A)−1
Proof.
ΛCeAt B (s) = C(sI − A)−1 B implies
Proof.
Likewise TraceB T Xo B = kP̂ k2H2 . To show that we can take strict the
inequality X > 0, we simply let
Z ∞
T
X= eAt BB T + I eA dt
0
Theorem 3.
The following are equivalent.
1. kS(K, P )kH2 < γ.
2. K = ZX −1 for some Z and X > 0 where
AT
X
+ X ZT + B1 B1T < 0
A B2
Z B2T
Trace C1 X + D12 Z X −1 C1 X + D12 Z < γ
Applying the Schur Complement gives the alternative formulation convenient for
control.
Theorem 4.
Suppose P̂ (s) = C(sI − A)−1 B. Then the following are equivalent.
1. A is Hurwitz and kP̂ kH2 < γ.
2. There exists some X, Z > 0 such that
T
CT
A X + XA XB X
< 0, > 0, TraceZ < γ
BT X −γI C Z
Theorem 5.
The following are equivalent.
1. kS(K, P )kH2 < γ.
2. K = ZX −1 for some Z and X > 0 where
AT
X T
+ B1 B1T < 0
A B2 + X Z
Z B2T
(C1 X + D12 Z)T
X
>0
C1 X + D12 Z W
TraceW < γ
Thus minimizing the H2 -norm minimizes the effect of white noise on the power
of the output noise.
• This is why H2 control is often called Least-Quadratic-Gaussian (LQG).
LQR:
• Full-State Feedback
• Choose K to minimize the cost function
Z ∞
x(t)T Qx(t) + u(t)T Ru(t)dt
0
If
Theorem 6 (Lall).
The following are equivalent.
AK BK
• There exists a K̂ = such that kS(K, P )kH2 < γ.
CK DK
X1 I
• There exist X1 , Y1 , Z, An , Bn , Cn , Dn such that >0
I Y1
AY1 +Y1 AT +B2 Cn +CnT B2T ∗T ∗T
AT + An + [B2 Dn C2 ]T X1 A+AT X1 +Bn C2 +C2T BnT ∗T < 0,
T T
[B1 + B2 Dn D21 ] [XB1 + Bn D21 ] −γI
∗T
X1 I
I Y1 ∗T > 0,
C1 Y1 + D12 Cn C1 + D12 Dn C2 Z
D11 + D12 Dn D21 = 0, trace(Z) < γ
p M q
Questions:
• Is S(∆, M ) stable for all ∆ ∈ ∆?
• Determine
sup kS(∆, M )kH∞ .
∆∈∆