ON A RESOLVENT CONDITION IN FINITE-DIMENSIONAL CONTROLLER DESIGN

MARKO HUHTANEN

Abstract. For an in nite dimensional linear control problem in a Hilbert space approximation scheme via nite-dimensional systems is considered. We study a resolvent condition of I. Lasiecka which is closely related to quasitriangularity of a bounded linear operator de ned by P. Halmos. Quasitriangularity yields a lot of information about this resolvent condition. Further it is shown that the condition allows to make various error estimates in nite dimensional controller design. First, we derive error bounds for bounded systems. Second, we show that transfer function convergence follows from this assumption. Third, bounds in the residual error for algebraic Riccati equation can be derived by using this quantity. Key words. control systems, resolvent condition, quasitriangularity, numerical approximation, transfer function, algebraic Riccati equation AMS subject classi cations. 93B50, 93C25, 65J10
the linear system

1. Introduction. Let H , U and Y be separable Hilbert spaces, and consider

z(t) = Az (t) + Bu(t); z (0) = z0 _ y(t) = Cz (t)
(1.1)

where A : D(A) ! H is the in nitesimal generator of a strongly continuous semigroup S (t) 2 L(H ), and further, B 2 L(U; H ) and C 2 L(H; Y ) are bounded linear operators. Associated with (1.1) we consider convergence questions originating from numerical approximation schemes based on systems of ordinary di erential equations z(t) = AN z (t) + BN u(t); z (0) = z0;N : _ (1.2) y(t) = CN z (t) As a necessary resolvent condition one needs, at least, r-convergence of the scheme, i.e., for all x 2 H and with an s 2 (A), holds limN !1 (sI AN ) 1 x = (sI A) 1 x. While approximating abstract di erential and algebraic Riccati equations, or, while giving error estimates for the semigroup approximation, this can replaced with a slightly stronger hypothesis by demanding instead: With an s 2 (A) and with a sequence of orthogonal projectors fPN gN converging strongly to the identity, lim k(sI AN ) 1 PN PN (sI A) 1 k = 0 (1.3) N !1 holds true, see 16, 17] by I. Lasiecka and R. Triggiani. This assumption is satised in many problems when typical schemes ( nite elements, nite di erences, mixed methods, spectral approximations etc.) are used. First in this paper we associate this with the quasitriangularity of a bounded linear operator in order to see when the above type of convergence is possible. In fact, the condition (1.3) implies that the adjoint of (sI A) 1 is quasitriangular (see De nition (2.1)), an important notion introduced by P. Halmos 7]. Or, equivalently, if the adjoint of the resolvent operator is quasitriangular, then (1.3) can be achieved for a sequence of approximations
Institute of Mathematics Helsinki University of Technology Espoo, FIN-02150, Finland. (Marko.Huhtanen@hut.fi). Partially supported by Fundacao Calouste Gulbenkian during the visit to CIM. 1

M. HUHTANEN

about quasitriangularity, see 5, 6, 1, 8, 22] and references therein. More importantly, there exists a simple spectral characterization which tells exactly when (1.3) can be obtained. In the rst section we brie y recall these conditions. In numerical analysis quasitriangularity has been considered in 19, 20] by O. Nevanlinna and G. Vainikko and in 9]. These papers study the approximation of the spectrum of a bounded operator. And in numerical control theory, as mentioned, the quasitriangularity is implicitly assumed in (1.3) in 16, 17]. In both cases an important fact is that (1.3) is attainable for a large set of operators. It contains, for instance, operators with compact, or, self-adjoint resolvents. In fact, the augmented system A A , where A denotes the Banach space adjoint of A, has always quasitriangular resolvent operator 9]. In addition to these considerations, we furnish a number of technical results which follow from the assumption (1.3). We show that this condition is independent on s 2 (A), and, that the speed of convergence is the same in all (A). Further, we study perturbation theory and show that a quasitriangular perturbation of A does not a ect (1.3). Especially, compact perturbations of A do not a ect the convergence. This is an important property which we use in transfer function convergence of closed loop systems. In the latter part of the paper we show that (1.3), as well as the adjoint condition lim k(sI AN ) 1 PN (sI A) 1 PN k = 0 (1.4) N !1 for a s 2 (A), can be used in error estimation. First, the error in the approximation of the semigroup for bounded system is bounded by quasitriangularity. Second, the assumption (1.3) yields strong convergence of transfer functions. If C is additionally compact then the convergence is in norm. In order to handle the transfer function convergence of closed loop systems we use perturbation theory. The reason for this is simple: often closed loop systems can be viewed as compact perturbations of the original system (1.1) so that the convergence is determined by the resolvent of A only. Third, if the system (1.1) is exponentially stabilizable, then the algebraic Riccati equation can be written in a slightly di erent form R(si; A)X + XR(si; A) R(si; A)(C C + XBR 1 B X )R(si; A) = 0 for a real s 2 (A). Since in this form every operator bounded, it is more convenient to measure how accurately does N solve this residual error equation. Here N is the corresponding solution for the algebraic Riccati equation for the approximative system (1.2). We get bounds which combine quasitriangularity and the norms of N . To control the growth of N one usually needs additional conditions besides (1.3), see 15, 12, 18, 13, 11], for example. These additional assumptions guarantee the strong convergence of N to which, of course, is a su cient condition for uniform boundedness of the norms of N . Finally we derive similar relations for bounded systems. 2. A resolvent condition in controller design. In this section we relate the resolvent condition (1.3) to quasitriangularity of an operator. Using this, we associate with (1.3) a necessary spectral condition and prove that this type of convergence, and its speed are independent on the chosen point of (A). We end the section with perturbation results. 2.1. Quasitriangular convergence. Let R(s; A) = (sI A) 1 denote the resolvent of A for s 2 (A), the resolvent set of A. Suppose fPN gN is an increasing

fAN gN . Fortunately, there exists a large amount of operator theoretical information

ON A RESOLVENT CONDITION

sequence of orthogonal projections on H , having nite rank, converging strongly to the identity. If we put HN := PN H , then in 2] the sequence fHN gN is called a ltration of H . Further, suppose we have a sequence of operators AN 2 L(HN ) de ned in some manner and BN = PN B 2 L(U; HN ) and CN = CPN . Here L(H1 ; H2 ) denotes the set of bounded linear mappings from H1 to H2 . Quasitriangularity 7], originally de ned with an eye to create a tool for studying the invariant subspace problem, is a measure of invariance of a subspace for a T 2 L(H ). Let us start with the de nition. Definition 2.1. 7] T 2 L(H ) is quasitriangular if for a sequence fPN gN of orthogonal projectors of nite rank converging strongly to the identity
N !1

lim kPN TPN TPN k = 0

(2.1)

holds. The de nition says, roughly, that T has a sequence of \approximatively invariant" subspaces. If we know the sequence fPN gN , then we say that T is quasitriangular along fPN gN . In general, one major question is, of course, the construction of such a sequence. There exists a large amount of information of the properties of operators ful lling (2.1), see 5, 6, 1, 8, 22]. Before recalling the most important of this to our interests, we rst relate (2.1) to numerical analysis of control systems. Implications of quasitriangularity to convergence schemes in numerics was noticed by O. Nevanlinna and G. Vainikko 19, 20]. We, however, need a slightly di erent format which serves our purposes in control, and, with not necessarily bounded operators. Definition 2.2. If for some s 2 (A)
N !1

lim kPN R(s; AN ) PN R(s; A) PN k = 0;

(2.2)

then the approximants AN converge quasitriangularly to A . Analogously, if limN !1 kPN R(s; AN )PN R(s; A)PN k = 0 holds for an s 2 (A), then we say that AN converges quasitriangularly to A. The rst PN in (2.2) is super uous, however, we put it there to stress the similarity with the original de nition. And, of course, (2.2) is precisely the condition (1.3) since we have just taken the adjoint of PN R(s; AN )PN PN R(s; A). Further, since A is not necessarily bounded, AN is not usually de ned via PN APN , like in De nition 2.1. It should be clear that R(s; A) must be quasitriangular if AN converges quasitriangularly to A . This follows from the inequality

kPN R(s; A) PN R(s; A) PN k kPN R(s; AN ) PN R(s; A) PN k:

(2.3)

In addition, it is natural to talk about the speed of quasitriangular convergence and, in fact, for many important problems speed estimates do exist. For example, in 16, 17] cases are considered in which

C (2.4) kPN R(s; AN ) PN R(s; A) PN k N s is attained for some constants s; C > 0. There N equals 1=h, where h is a discretation parameter. As noted in 16], if A originates from a uniformly elliptic, second
order partial di erential operator, then the speed is related to the smoothness of the coe cients in A. But clearly, the relation (2.3) bounds the speed estimates. Thus,

M. HUHTANEN

only by using more re ned subspaces, i.e., by constructing a somehow more optimal sequence of projectors fPN gN , one can speed up the convergence. It turns out that the quasitriangularity of a bounded operator is completely characterized by its spectrum. This is especially important since it captures the cases when (2.2) can be attained. For the spectral characterization we need to recall a number of de nitions. An operator T 2 L(H ) is semi-Fredholm if the range of T is closed and min(nul(T ), nul(T )) < 1, where nul(T ) denotes the dimension of the kernel of T . In this case the index of T is de ned by ind(T ) = nul(T ) nul(T ): The set s F (T ) consists of those 2 C for which I T is a semi-Fredholm operator. The spectral characterization of quasitriangularity of C. Apostol, C. Foias and D. Voiculescu 1] says that T is quasitriangular if and only if s F (T ) = ;. Here s F (T ) = f 2 s F (T ) : ind( I T ) < 0g Using this, we note that our de nition of quasitriangular convergence is consistent with the original concept, i.e., to use the resolvent operator in our de nition, as can be seen from the following lemma. Lemma 2.3. Suppose T 2 L(H ) and s 2 (T ). Then T is quasitriangular if and only if R(s; T ) is. Proof. This follows from the spectral characterization, since s F (T ) = ; if and only if s F (R(s; T )) = ;. As to condition (2.2), there are a lot of operators A that ful ll this spectral condition, for example, compact operators are quasitriangular, i.e., operators with compact resolvents can achieve quasitriangular convergence. In fact, then any sequence of fPN gN converging strongly to the identity will do. This follows, for instance, from the Schmidt decomposition of R(s; A) . But, operators which are far from compact are also included, like self-adjoint operators, or more generally, any R(s; A) with the spectrum having empty interior 1]. The spectral characterization of quasitriangularity has thus an implication to the spectrum of the resolvent. Theorem 2.4. Suppose AN converges quasitriangularly to A . Then s F (R(s; A) ) = ;: Clearly, if s F (R(s; A) ) 6= ; holds, then quasitriangular convergence cannot be achieved. For instance, if A is the backward shift in l2 (N), then this is the case, since s F (A ) = 1. However, note the following interesting, and, nontrivial consequence of this spectral condition: If we study the augmented system A A , where A is the Banach space adjoint of A, then this operator has quasitriangular resolvent since s F (R(s; A A ) ) = ; by construction. Therefore, for this enlarged system there always exists a sequence of projectors such that (2.2) holds. A major task in any case is, of course, the construction of the sequence fPN gN that would yield (2.2). The following proposition is proved exactly like the corresponding one in 20]. Here the di erence is that TN does not necessarily originate from the projected operator PN TPN . Proposition 2.5. 20] For T 2 L(H ) put N = kPN TN PN TPN k: If s 2 (T ) and if N kR(s; T )k < 1, then s 2 (TN ) and ; kR(s; TN )k 1 kR(ksRTs);kT )k : N (

ON A RESOLVENT CONDITION

A direct consequence of this is that if a small neighborhood of (T ), the spectrum of T , is chosen, then for a su ciently small N the spectrum of TN is contained in that neighborhood. We need Proposition 2.5 to prove: With A , not necessarily bounded, the resolvent operator is quasitriangular in the whole resolvent set of A if it is quasitriangular at some point s 2 (A). In fact, as the proof of the following proposition shows, the same sequence fPN gN of projectors can be used in all (A). Proposition 2.6. Suppose s; 2 (A). Then R(s; A) is quasitriangular if and only if R( ; A) is. Proof. Suppose R(s; A) is quasitriangular. Then, by using the resolvent identity R( ; A) = R(s; A) ( s)R( ; A)R(s; A) we obtain

PN R( ; A) PN R( ; A) PN = PN R(s; A) PN R(s; A) PN
( or, equivalently

s) PN R( ; A) R(s; A) PN R( ; A) R(s; A) PN ; s)PN R(s; A) PN =

PN R( ; A) PN R( ; A) PN I + (
(PN I )R(s; A) PN (

R( ; A) I PN R(s; A) PN : Since I +( s)R(s; A) is boundedly invertible (with the inverse (sI A) R( ; A) ), the operator I + ( s)PN R(s; A) PN is invertible in HN by Proposition 2.5, for su ciently large N such that the norms of the inverses are bounded independently on N . Thus by multiplying with its inverse from the right, taking norms on both sides s) PN R( ; A)
and using triangle and Schwarz's inequalities we get the claim since
N !1

lim k(PN I )R(s; A) PN k = 0

by assumption. Using this, we obtain almost similarly the following. Theorem 2.7. The quasitriangular convergence of AN along fPN gN to A is independent of s 2 (A). Proof. Choose a 2 (A ) and suppose AN converges quasitriangularly to A with some s 2 (A ). First we need to verify that R( ; AN ) exists for su ciently large N , then follow the lines of the previous proof. Since 1=(s ) 2 (R(s; A) ), by Proposition 2.5 we obtain 1=(s ) 2 (R(s; AN ) ) for su ciently large N . But then R( ; AN ) exists and equals the inverse of (s )( s 1 R(s; AN ) )(s AN ) : As in the proof of Proposition 2.6 we obtain again PN R( ; AN ) PN R( ; A) PN = PN R(s; AN ) PN R(s; A) PN (

s) (PN R( ; AN ) R(s; AN ) PN R( ; A) R(s; A) PN ) ; s)R(s; AN ) PN

which yields after an amount of computations (PN R( ; AN ) PN R( ; A) PN ) I + ( = PN R(s; AN ) PN R(s; A) PN (

s)R( ; A) (I PN )R(s; A) PN

M. HUHTANEN

( s)R( ; A) PN (PN R(s; AN ) R(s; A) PN ) : Then, since the norms of the inverses of I +( s)R(s; AN ) PN are uniformly bounded in N , the rst and the last terms on the right handside converge quasitriangularly by assumption, and, the second term by Proposition 2.6, the claim follows. We obtain from the proof the important fact that the speed of quasitrangular convergence is achieved in all (A). Corollary 2.8. Suppose s; 2 (A) and, as N ! 1, kPN R(s; AN ) PN R(s; A) PN k = o(f (N )): Then kPN R( ; AN ) PN R( ; A) PN k = o(f (N )) as N ! 1. Combining Theorem 2.7 with Proposition 2.5 we obtain spectral convergence. Corollary 2.9. Suppose AN converges quasitriangularly to A and s 2 (A). If U is a neighborhood of the spectrum of R(s; A), then, for N N0 su ciently large, the spectrum of R(s; AN ) is contained in U . An important property, as to stabililizing the system fA; B; C g, is the following. This follows from 20] and Theorem 2.7. Corollary 2.10. Suppose AN converges quasitriangularly to A and s 2 (A). Then for any isolated subset M of R(s; A) there exists N 2 (R(s; AN )) such that dist( N ; M ) ! 0 as N ! 1. Suppose the system (1.1) has a nite number of unstable eigenvalues. By Corollary 2.10, from the assumption (2.2) it follows that, modulo \wandering points of spectrum of A", the unstable eigenvalues of the system fA; B; C g will eventually be located from those of fAN ; BN ; CN g. This happens, in fact, so that there will be no other points in a neighborhood of the unstable eigenvalues of the system fA; B; C g. We skip the proof, it follows from Proposition 2.5. Thus a feedback controller should be constructed by concentrating on those points of C + . As to Corollary 2.8, what sort of tools are there to approximate the speed of quasitriangular convergence? We give simple example for A with compact resolvent operator. Then, with the optimal sequence of fPN gN , the speed is faster than the P decay of the singular values of R(s; A) . In fact, let R(s; A) x = 1 j < x; i > i i=1 be the Schmidt decomposition of R(s; A) , where 1 2 ::: 0 are the singular values of R(s; A) and both f i g1 and f i g1 form an orthonormal basis of H . i=1 i=1 Thus (PN I )R(s; A) PN x =
1 X
i=1 i < x; PN i > (PN

I)

for all x 2 H . If the range of PN is spanned by f i gj=1 then k kPN k k for k > j i determines the decay of quasitriangularity. So we have proved the following. Proposition 2.11. Suppose s 2 (A) and R(s; A) is compact. Then, with an appropriate sequence of projectors PN , kPN R(s; A) PN R(s; A) PN k sup k kPN k k;
k>j

where j is the rank of PN . This form shows interestingly how the amount of self-adjointness of the resolvent e ects the approximation since if A were self-adjoint then k kPN k k would be zero. Let us now consider a few examples. The rst one is an approximation scheme for algebraic Riccati equation which is not suitable for controller design.

ON A RESOLVENT CONDITION

Example This is from 15, 18] and it is used as an example of not providing closed loop convergence. Let H = l2(N) and choose a vector b 2 H of unit length with nonnegative components. Consider z_ (t) = z (t) + bu(t) (2.5) y(t) =< b; z (t) > where <; > indicates the inner product of H . The solution semigroup of this problem is S (t) = e tI which is exponentially stable. If, as in 15, 18], we let
AN = diag( 1; 1; :::; 1; b2 +1) 2 R(N +1) (N +1) N approximate A = A = I , the in nitesimal generator of S , then this sequence does not converge quasitriangularly to A since for s 2 (A) 2 kPN R(s; AN )PN R(s; A)PN k = (s +1b2 bN +1+ 1) : N +1 )(s In fact, kR(0; AN )k ! 1 as N ! 1. However, the sequence AN r-converges to A, i.e., for some s 2 (A) and for all x 2 H holds limN !1 R(s; AN )x = R(s; A)x; which is a standard assumption for approximation schemes 21]. Moreover, A is clearly quasitriangular, and, for example, PN APN restricted to HN converges quasitriangularly to A.
The following example shows how Galerkin approximation yields quasitriangular convergence. Example This example is from 12] and it is concerned with parabolic systems. Suppose V and H are Hilbert spaces with V dense in H and assume the injection i : V ! H is compact. Consider a sesquilinear form a : V V ! R such that

a(u; v) C kukV kvkV for u; v 2 V

kvkH for u 2 V for ! > 0. Then there exists an operator A 2 L(V; V ), where V H = H V , de ned via a(u; v) =< Au; v > with the property that D(A) is dense in V . With a sequence HN of subspaces of H de ne AN at u 2 HN by a(u; v) =< AN u; v > for all v 2 HN : Then, after an amount of computation, it is shown in 12] that for an s 2 (A) lim kR(s; AN )PN R(s; A)k = 0 N !1
holds. Thus since R(s; AN )PN PN R(s; A) = PN R(s; AN )PN R(s; A) ; so that AN converges quasitriangularly to A .

a(u; v) !kukV

of a physical system, some tolerance in quasitriangular convergence is needed. Also, since a feedback construction transforms the original system to another one, we need to know whether we still have the property (2.2) for the resulting system. Perturbation theory can be treated e ectively after knowing the following simple result. Lemma 2.12. 22] The set fT 2 L(H ) : limN !1 kPN TPN TPN k = 0g is a closed subalgebra of L(H ).

2.2. Perturbation theory. Let us now suppose that we have xed the sequence fPN gN , i.e., we have a ltration of H . As in practise (1.1) is only an approximation

M. HUHTANEN

This is gives us immediately the following perturbation property. Proposition 2.13. Suppose E is bounded and A and E have quasitriangular resolvents along fPN gN . Then A + E has quasitriangular resolvent along fPN gN . Proof. This follows from the representation

R(s; A + E ) =

1 X

k=0

R(s; A) E R(s; A)

(2.6)

for s > ! + kE k, where ! is such that kS (t)k Me!t . Here S (t) is the semigroup generated by A. Each term in the summation formula is quasitriangular along fPN gN by the previous lemma and by Lemma 2.3. Since, by the previous lemma, the subalgebra is closed, we obtain that the in nite sum is quasitriangular along this projector sequence. Now we obtain the following perturbation result by using essentially same technique as in the proof of Theorem 2.7. Theorem 2.14. Suppose I + E R(s; A) is invertible and that the norms of R(s; AN + EN ) are uniformly bounded for an s 2 (A + E ). If AN and EN converge quasitriangularly to A and E respectively along fPN gN , then AN + EN converges quasitriangularly to A + E along fPN gN . Proof. Since for the resolvents the identities

R(s; AN + EN ) PN R(s; AN ) PN = R(s; AN + EN ) EN R(s; AN ) PN

and

R(s; A + E ) PN R(s; A) PN = R(s; A + E ) E R(s; A) PN

hold true, we obtain after subtracting

R(s; AN + EN ) PN R(s; A + E ) PN

R(s; AN ) PN R(s; A) PN =

R(s; AN + EN ) EN R(s; AN ) PN E R(s; A) PN + R(s; A + E ) E R(s; A) PN PN E R(s; A) PN

After rearranging this is

R(s; AN + EN ) PN R(s; A + E ) PN PN E R(s; A) PN :

R(s; AN + EN ) PN R(s; A + E ) PN I + PN E R(s; A) PN = R(s; AN ) PN R(s; A) PN R(s; AN + EN ) EN R(s; AN ) PN

vertible such that the inverses are uniformly bounded. Then the three terms on the right-hand side converge to zero by assumptions and by Proposition 2.13, so that the claim follows. The assumptions of this theorem are not stringent and all reasonable schemes typically ful ll them. First, I + E R(s; A) is clearly invertible as soon as kR(s; A)k <

E R(s; A) PN + R(s; A + E ) E R(s; A) PN PN E R(s; A) PN : Because of Lemma 2.12, quasitriangularity yields that I + PN E R(s; A) PN is in-

ON A RESOLVENT CONDITION

kE k 1. And, for the uniform boundedness, the uniform stability assumption keAN t k M0 e!0 t for some M0 1 and !0 2 R su ces, since then the resolvents have the form (2.6). From this it follows that for s > ! + supN kEN k the norms of the inverses of s (AN + EN ) are uniformly bounded.

Compact perturbations do not a ect the quasitriangular convergence as compact operators have quasitriangular resolvents along any fPN gN converging strongly to the identity. Corollary 2.15. Suppose AN converges quasitriangularly to A and E is compact. If for some s 2 (A + E ) such that I + E R(s; A) is invertible the norms kR(s; AN + PN EjHN )k are uniformly bounded, then AN + PN EjHN converges quasitriangularly to A + E . Note that the assumptions of this corollary are often ful lled by feedback systems A + BK and A + GC for some K 2 L(H; U ) and G 2 L(Y; H ). 3. Quasitriangular convergence in controller design. In this section we show how quasitriangularity is essential in several approximation problems related to control systems. First we study bounded systems. Then we show that transfer functions converge under the assumption (2.2). Finally we derive results for algebraic Riccati equations. We refer to 20, 16, 17] for other applications. 3.1. Approximation of bounded systems. The quasitriangular convergence of AN to A is an e ective tool which leads to many nice properties. First let us state a result on bounded operators showing that the variation of constants formula gets more accurate in case TN converges quasitriangularly to T . With bounded operators TN typically originates from PN TPN in some manner. We start with an auxiliary result for the accuracy of the approximative resolvent for the resolvent of T 2 L(H ). For that purpose, let us put N := kPN TN PN T PN k. Lemma 3.1. Suppose T 2 L(H ) and 2 (T ). If N kR( ; T )k < 1, then

kPN R( ; TN )PN PN R( ; T )k
holds. Proof. We have length holds

N1

kR( ; T )k2 N kR( ; T )k

2 (TN ) by Proposition 2.5, so that for any x 2 H of unit

( I T ) kR( ;; TN ) PN xk = ( I TN ) PN kR( ;; TN ) PN xk + y = R ( T N ) PN x R ( TN ) P N x

P x = kR( ; T N ) P xk + y N N with some y 2 H of norm at most N . So as 2 (T ), we obtain 1 kR( ; T ) k k (R( ; TN ) PN R( ; T ) PN ) xk

k( I T ) (R( ; TN ) PN R( ; T ) PN ) xk =
= kykkR( ; TN ) PN xk
n kR( ; TN )

10

M. HUHTANEN

from which the claim follows after multiplying both sides by kR( ; T ) k and using Proposition 2.5. Next we see how quasitriangularity guarantees the accuracy of the semigroup approximation of a bounded operator. For that purpose suppose f is analytic in the neighborhood G of (T ). Theorem 3.2. Suppose TN converges quasitriangularly to T 2 L(H ). Then, with N su ciently small, Z ; 2 kPN f (TN )PN PN f (T )k 2N jf ( )j 1 kR(kRT )k T )k dj j; N ( ; where is a path surrounding (T ) in G. Proof. As N kR( ; T ) k < 1, we are in the resolvent set of TN as well, thus 1 Z f ( )R( ; T ) P xd ; f (TN ) PN x = 2 i N N R subtracting f (T ) PN x = 21 i f ( )R( ; T ) PN xd from it and taking the norms we get the claim. With bounded system operator one often works with quasitriangular T , i.e., (1.4) holds instead. Therefore we put N := kPN TN PN TPN k to see from the following that the semigroup which TN generates gives an accurate approximation to eTt when restricted to HN . Corollary 3.3. Suppose TN converges quasitriangularly to T 2 L(H ). Then, with N su ciently small, Z ; 2 kPN f (TN )PN f (T )PN k 2N jf ( )j 1 kR(kRT )k T )k dj j; N ( ; where is a path surrounding (T ) in G. It is, in fact, quite straightforward to prove that kPN eTt PN eTN t PN k N ekT kt : (3.1) n PN (PN TPN )n k n 1 and then subFirst show by induction that kPN T N nkT k tract the series representations. However, (3.1) is clearly not optimal. To see this, consider T 2 L(H ) diagonal with negative elements large in norm so that the norm of T is large. However, taking the exponential, those eigenvalues contribute very little. Corollary 3.3 yields better estimates because of the factor jf ( )j inside the integral and the norm of T is not used. Let us illustrate this with an example. Example Suppose T is symmetric with eigenvalues 2; 3; :::; 100, so that the smallest convex set containing (T ) is the interval I = fz = x + iy 2 C : y = 0; 100 x 2g: Let be the path with the constant distance 1 to I . If TN = PN TjHN , then, as soon as N 2, we have Since the standard error estimates have the exponential of the norm of Tt, which equals 100t, they completely fail to give correct error estimates for exponentially stable systems. This is especially important for numerical analysis of ODE's since with sti problems there are very di erent time-scales and the above type of error analysis is well suited for that. For estimates in nite dimensions of type (3.1) for a single vector, see 23]. See also 10].

kPN eTN t PN eTt PN k 2N

je t j2dj j 3 N e t :

ON A RESOLVENT CONDITION

11

3.2. Transfer function convergence. We recall from the examples of the previous section that transfer function convergence does not necessarily take place if the approximations only r-converge to A. Instead, quasitriangular convergence implies that the transfer functions of the approximative system do converge to the transfer function of the original system. We denote by G(s) the transfer function of (1.1) and by GN (s) the transfer function of the plant fAN ; BN ; CN g. Theorem 3.4. Suppose (2.2) and that 2 (A). Then GN ( ) converges strongly to G( ). Proof. First, by quasitriangularity, Theorem 2.7 implies that GN ( ) exists for large enough N . Take an x 2 H and form
CN R( ; AN )BN x CR( ; A)Bx = C (PN R( ; AN )PN R( ; A))Bx
= C (PN R( ; AN )PN PN R( ; A))Bx C (I PN )R( ; A)Bx: The last term converges to zero since PN ! I strongly. The rst term converges to zero by Theorem 2.7. It can be seen from the proof that the control operator B could have been unbounded. If C is compact, then we obtain the following estimate. Corollary 3.5. Suppose (2.2) and 2 (A) and C is compact. Then GN ( ) converges in norm to G( ) such that

As will be seen in the next section, this is a typical decomposition of the error term. Especially, if C is of nite rank and the projectors PN are constructed in the way that the range of C is contained in the range of PN , then only the size of N determines the error. Symmetrically we state the following if the adjoint condition (1.4) holds instead. Corollary 3.6. Suppose AN converges quasitriangularly to A and 2 (A) and B is compact. Then GN ( ) converges in norm to G( ) such that

kG( ) GN ( )k N kB kkC k + kB kk(I PN )C kkR( ; A)k; where N = kPN R( ; AN ) PN R( ; A) PN k.

the following sense. For the proof, see 20] adapted to this setting. Theorem 3.7. Suppose (2.2) and 2 (A). Then limN !1 kR( ; AN )k = 1: Suppose now that both B and C are compact so that closed loop systems are simply compact perturbations of the original system. Thus we can use perturbation theory while dealing with them. More precisely, suppose the pair (A; B ) is stabilizable with K and (A; C ) detectable with G. Then there exists an in nite dimensional compensator for (1.1), i.e., w satis es

kG( ) GN ( )k N kB kkC k + kC kk(I PN )B kkR( ; A)k; where N = kPN R( ; AN )PN R( ; A)PN k. If 2 (A) then the convergence of GN ( ) to G( ) breaks down, as it should, in

w(t) = (A BK )w(t) + G(y(t) Cw(t)); _ (3.2) u(t) = Kw(t) which leads to a stable closed loop system. Denote by G( ) = KR(s; A (BK + GC ))G the transfer function associated with (3.2). The resolvent operator is obtained from a compact perturbation of A, let us denote by E = BK + GC for simplicity.

12

M. HUHTANEN

To further simplify the assumptions, let us make the uniform stability assumption keAN t k M0 e!0 t for some M0 1 and !0 2 R. If we put EN = PN EjHN and denote by GN ( ) the approximative transfer function of (3.2), then we obtain directly from Corollary 2.15 the following. Theorem 3.8. Suppose (2.2) and that B , K and C are compact and that the uniform stability assumption holds. If 2 ((A E )), then GN ( ) converges in norm to the transfer function of (3.2). In a similar vain, most feedback systems are compact perturbations of (1.1). Thus one needs only quasitriangular convergence of AN to the system operator A for guaranteeing the transfer function convergence in these cases. 3.3. Approximation of algebraic Riccati equation. Typically a number of assumptions are needed while forming semigroup approximations via a sequence of di erential equations (1.2). However, approximation of the algebraic Riccati equation can be done relying to some extent only to quasitriangular convergence. We give error bounds for the case in which the resolvent operator is quasitriangular. For the additional assumptions that guarantee the actual existence and strong convergence of Riccati equation approximation, see 15, 12, 18, 13, 11]. First recall that exponentially stabilizability is a su cient condition for the system (1.1) with a cost functional

J (z0 ; u) =

< y(s); y(s) > + < u(s); Ru(s) > ds

(3.3)

to be optimizable, i.e., it has for every initial state an input u 2 L2 ( 0; 1]; U ) such that (3.3) is nite. Exponential stabilizability with a compact B implies that the spectrum A has only a nite number of points on the imaginary axis. In the sequel, let us suppose si 2 (A) with a s 2 R. Then an equivalent equation with the formal algebraic Riccati equation

A + A
associated with (3.3) is

C C = BR 1 B

R(si; A)C CR(si; A) = R(si; A) BR 1 B R(si; A) : The derivation of this is straightforward, just add and subtract si and then factor A si and A + si. It is clear how the corresponding approximation is constructed. Knowing by Theorem 2.7 that is 2 (AN ) for N su ciently large, we solve R(si; AN ) N N R(si; AN ) R(si; AN )CN CN R(si; AN ) = ; R(si; AN ) N BN R 1 BN N R(si; AN ) (3.4)
or the equivalent standard version (by the same argument)

R(si; A)

R(si; A)

CN CN = N BR 1 B N (3.5) for N : HN ! HN . Let us denote by f the residual error function associated with the approximative solutions such that for X 2 L(H ) f (X ) = R(si; A)X XR(si; A) R(si; A)(C C + XBR 1B X )R(si; A) :

AN

N + N AN

ON A RESOLVENT CONDITION

13

This is a more appealing form to derive error bounds. Su cient conditions for this to converge to zero as N grows are quasitriangular convergence and, on the other hand, equibounded, or, slower growth of the norms of the solutions of (3.4). We assume now (1.4) and put N := kPN R(si; AN )PN R(si; A)PN k. The following theorem shows that the accuracy can be guaranteed if two di erent kind of terms can be made small. On the one hand the quasitriangular convergence of AN to A is needed. On the other, the observability operator must be compact. Theorem 3.9. Suppose N solves (3.4). Then

kf ( N )k

N (2k N k + cN kC

C+

N BB

N k) + bN k(I

PN )C k;

where the constants equal

cN = ( N + 2kR(si; A)k) and bN = ( N + 2kR(si; A)k)kR(si; A)kkC k:

Proof. For simplicity, we designate R(is; A) and R(is; AN ) by T and TN respectively. Then, subtracting zero from f ( N ) and using BN = PN B and CN = CPN , we obtain

f(

N) = T N + NT

T (C C +

N BB

N )T = N BB N )T +

(TPN TN ) N + N (TPN TN )

T (C C + TN )

TN (CN CN +

N BN BN N )TN = (TPN

N + N (TPN

TN )

(TPN TN )(C C + N BB N )T + TN (C C + N BB N )(TN TPN ) +

yields kf ( N )k

T (I PN )C CT + TN C C (I PN )T ; where we also used the identity PN N = N PN = N : Thus, taking the norms this
2k N k + (kT k + kTN k)kC C + N BB N k kPN TN PN TPN k+

(kT k + kTN k)kC kkT kk(I PN )C k which completes the proof after using kTN k N + kT k. This inequality gives us a hint how to generate the projector sequence. Since the latter part of the approximation is dominated by C the construction of projectors PN should be started such that the range of C is approximatively in the range of PN . Then only the invariance of the resolvent operator, and, the growth of the norms of N dominate the accuracy of the approximation. Of course, if we use any of the known results that guarantee the strong convergence of N to , then we get straight from the uniform boundedness principle that k N k for all N for some constant < 1. Corollary 3.10. Suppose C is of nite rank and its range is contained in the range of PN for all N . Then kf ( N )k N (2k N k + cN kC C + N BB N k):

14

M. HUHTANEN

Let us recall that in numerical linear algebra it is a standard procedure with the so-called Krylov subspace methods to generate projectors with B and=or C such that the projector sequence ful lls the above assumption for the sequence fPN gN , 3]. For example, the subspace construction can be made by forming Krylov subspaces Km (A; C ) = spanfC ; AC ; A2 C ; :::; Am 1 C g; where A 2 C n n and is large, typically sparse and C 2 C r n such that r n. Thus C is in the range of the generated projectors by construction. For Krylov subspace approximation of Lyapunov equations, see 14], for instance. This bound for the residual error function can be used with the original algebraic Riccati equation as follows. Proposition 3.11. Suppose the assumptions of Theorem 3.9 hold. Then for all z1 ; z2 2 D(A ) j < N A z1 ; z2 > + < z1 ; N A z2 > < C Cz1 ; z2 > < N BR 1 B N z1 ; z2 > j

kf ( N )kk(si A) z1kk(si A) z2k:

Proof. The claim follows from j < f ( N )(si A) z1 ; (si A) z2 > j kf ( N )kk(si A) z1 kk(si A) z2 k after obvious computations. Again, similar decomposition holds for the error if A is bounded and quasitriangular. Let N solve the approximative algebraic Riccati equation AN N + N AN CN CN = N BN R 1 BN N for the approximation AN . Let N := kPN AN PN APN k Theorem 3.12. If A is bounded, then with the above notations

kA

N + NA

CC

N BR 1 B

Nk

2k(I PN )(A N + C C )k

N 2k N k + 2kC kk(I

PN )C k:

Proof. In a similar vain as in the previous proof, subtract zero to get A N + N A C C N BR 1 B N

AN

N AN + CN CN + N BN R 1 BN N =

(APN AN ) N + N (APN AN )

(C C CN CN ) =

(APN AN ) N + N (APN AN ) (I PN )C C + PN C C (PN I ): Thus taking the norms gives the claim. Corollary 3.13. Suppose C is of nite rank and its range is contained in the range of PN for all N . Then kA N + N A C C N BR 1 B N k N 2k N k:

ON A RESOLVENT CONDITION

15

This corollary stresses that quasitriangularity bounds the error from above if PN is constructed in such a manner that takes the observability matrix C into account. Similarly if A is bounded and exponentially stable, then the Lyapunov equations

ALB + LB A = BB and A LC + LC A = C C
can be approximated via quasitriangularity. However, now there may be a need for constructing two sequences of projectors for A and A and thus to make di erent ^ approximations AN and AN for the corresponding Lyapunov equations. For that ^ purpose, suppose N := kPN AN PN APN k and ^N := kQN AN QN A QN k. We give the error terms which stress the quasitriangularity. Corollary 3.14. Suppose A 2 L(H ). Then for the approximative solutions LN B and LN C

kALN + LN A + BB k 2 N kLN k + 2kB kk(I PN )B k B B B

and

ror bounds will depend only on quasitriangularity. These approximations are quite straightforward. In fact, it is more di cult to derive bounds for the solutions LB and LC . However, using the error bounds of Corollary 3.3 we can give estimates to show that the quasitriangularity bounds the error. Theorem 3.15. Suppose A 2 L(H ) is exponentially stable with keAtk Me !t and the approximation scheme is uniformly stable with keAN t k M0 e !0t . If the range of B is contained in the range of PN , then with N = kPN AN PN APN k

kA LN + LN A + C C k 2^N kLN k + 2kC kk(I QN )C k: C C C Again, if we take into account B and C in the subspace construction, the er-

kLB

LN k B

^ kB k2M Z

Re(

kR( ; A)k2 dj j; !) 1 N kR( ; A)k ^

Z

^ where ! = minf!; !0g and M = maxfM; M0 g and surrounds the spectrum in C . ^ Proof. Now from the representation of the corresponding solutions in the form

LB =

eAs BB eA s ds and LN = B
Z

eAN s BB eAN s ds

we obtain after subtracting

LB
=
Z

LN = B

eAs BB eA s eAN s BB eAN s ds =

eAs BB (eA s eAN s ) + (eAs eAN s )BB eAN s ds:

So that since PN B = B , this yields

kLB

LN k B

kB k2

(keAs k + keAN s k)keAN s eAs PN kds

16 ^ kB k2M 1
Z

M. HUHTANEN

Re( where we used Fubini's theorem and Corollary 3.3. Note that this error bound shows how those parts of the spectrum of A which have large negative real parts contribute less to the error because of the factor Re( 1 !) ^ inside the integral. Corollary 3.16. Suppose A 2 L(H ) is exponentially stable with keAt k Me !t and the approximation scheme is uniformly stable with keAN t k M0 e !0 t . If the range of C is contained in the range of PN , then with ^N = kQN AN QN A QN k 2 ^ Z ; 2 kLC LN k ^N kC k M Re( 1 !) 1 kR(kRA)kA)k dj j; C ^ ^N ( ; ^ where ! = minf!; !0g and M = maxfM; M0g and surrounds the spectrum in C . ^ 4. Conclusions. In this paper we have studied a resolvent condition for an unbounded operator A of I. Lasiecka. This condition can be used in nite dimensional controller design and we have related it to quasitriangularity of P. Halmos. We have shown that this type of convergence takes place in the whole resolvent set of A and derived perturbation theory for it. We have used the concept in approximation problems and shown that that bounded systems can be approximated accurately by using this quantity. Further we have shown that this is a su cient condition for transfer function convergence. Then we have derived error estimates for the algebraic Riccati equations and the Lyapunov equations. There a number of unanswered questions and the ones we will continue to investigate, to name a few, are the following. If the resolvent operator is quasitriangular but not compact, then the construction of subspaces which provide quasitriangular convergence is of utmost importance. Or, the other way around: How to characterize those A which are quasitriangular along given fPN gN ? If A originates from a partial di erential operator, then we would like to know whether the standard subspace constructions, related to Galerkin approximation for instance, provide quasitriangular convergence? And of course whether the used approximation AN itself converges quasitriangularly then? As to the abstract control theory, the case of systems of the form A A is of extreme importance: How to form subspaces in that case? An important question is the speed of quasitriangularity and how to approximate it? Does the spectrum of A code the speed of the obtainable quasitriangular convergence? Further, how do these results change if B and C are unbounded? How the approximations for the Lyapunov equations should be used in model reduction?
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kR( ; A)k2 dj j; !) 1 N kR( ; A)k ^

ON A RESOLVENT CONDITION

17

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