# Module EPM751: Optimisation and optimal control Q4 and Q5 - Solutions (May 2005

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Question 4 (i) Since f is independent of t, Euler-Lagrange equation is: ∂f x2 ˙ 2x ˙ dx f −x ˙ =c⇒ 3 −x 3 =c⇒ ˙ = cx3/2 ∂x ˙ x x dt Integrating 1 x(t) = kt + l ⇒ x(t) = 1 (kt + l)2

l Substituting end-points: 1 = 1/l2 and hence l = ±1. Also 4 = 1/(2k+l)2 and hence k = ± 1 − 2 . 4 3 Thus we have the four possibilities for (k, l): ±(− 1 , 1) and ±(− 4 , 1) which result in two possible 4 solutions: 1 1 x(t) = and x(t) = 1 2 (1 − 4 t) (1 − 3 t)2 4 3 The second of these is not admissible, since it tends to inﬁnity at t = 4 which is inside interval [0, 2] and the two branches of the curve are not connected. Thus the only extremising solution is x (t) = (1−11 t)2 . [10 marks]
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(ii) First, we form the Hamiltonean for the LQR problem: 1 H(x, u) = (xT Qx + uT Ru) + pT (Ax + Bu) 2 To obtain the minimising solution we need to solve: ∂H ∂u = 0 ⇒ Ru + B T p = 0 ⇒ u = −R−1 B T p

∂H = −Qx − AT p ∂x ∂M (T ) = Sx(T ) p(T ) = ∂x p = − ˙ together with the dynamic equations. In matrix form: x ˙ p ˙ = A −BR−1 B T −Q −AT x p

which is a two-point boundary-value problem with boundary conditions x(0) = x0 and p(T ) = Sx(T ). Next, use suggested substitution p(t) = P (t)x(t) for some unknown matrix function P (t), which satisﬁes P (T ) = S. Diﬀerentiating the co-state equations we get: ˙ ˙ ˙ p = P x + P x = P x + P (Ax + Bu) = P x + P (Ax − BR−1 B T p) ˙ ˙ ˙ ˙ = P x + P Ax − P BR−1 B T p = P x + P Ax − P BR−1 B T P x 1

so we must have p2 = 1 and p1 = p3 . [5 marks] (ii) See notes. Since this must hold for all state-trajectories given any x(0) = x0 .Using the co-state equation p = −Qx − AT p = −Qx − AT P x gives ˙ ˙ −P x = (AT P + P A − P BR−1 B T P + Q)x for t ∈ [0 T ]. 2 p1 = p3 (if p2 = 1) or p1 = −p3 (if p2 = −1). Thus 3 √ 2+m 1 √ P = 1 2+m 2 . the state estimates are then used for optimal regulation via LQR rule as if they were the true states. B) stabilisable and (A. This may fail if we cannot choose an n-dimensional (where n is the dimension of A) stable invariant subspace for H (i. if H has eigenvalues on the imaginary axis) or if P1 is singular. Clearly p1 = −p3 does not correspond to a positive semi-deﬁnite solution.e. the columns of [P1 P2 ]T are the eigenvectors and generalised eigenvectors of H and Λ is the part of the Jordan block of H corresponding to all stable eigenvalues). The (1. Both conditions are satisﬁed if (A. the estimator structure (output injection) and the decomposition of the LQG problem into the LQR and Kalman-ﬁlter subproblem. The (2. Then P = P2 (P1 )−1 . 1) element gives p2 = 1 or p2 = ±1. C) detectable. 2) element then gives p1 = p2 p3 . i.g. 2) entry now gives √ p2 = 2p2 + m = 2 + m and hence p3 = 2 + m (positive solution should be chosen).e. Q = diag(1. it is necessary that: ˙ −P = AT P + P A − P BR−1 B T P + Q for t ∈ [0 T ] which is a diﬀerential matrix Riccati equation. m) (which is semi-deﬁnite since m ≥ 0). [5 marks] (iii) This is a standard LQR problem with R = 1. Solution should include the stochastic assumptions on process and measurement noise signals. Let the ARE solution be p1 p2 P = p2 p3 Then the Riccati equation gives: 0 0 1 0 or 0 0 p1 p2 + 0 p1 0 p2 − p2 p2 p3 2 p2 p3 p2 3 + 1 0 0 m =0 p1 p2 p2 p3 + p1 p2 p2 p3 0 1 0 0 − p2 p3 p2 p3 + 1 0 0 m =0 The (1. Question 5 (i) Obtain a spectral decomposition of the Hamiltonean: H P1 P2 = P1 P2 Λ [10 marks] T T T T where [P1 P2 ]T is a basis of the stable invariant subspace of H (e.

while for m ≥ 2 they 2 are real-negative. [10 marks] 3 . Hence the closed-loop poles are 1√ 1√ 2+m± m−2 λ1.2 = − 2 2 √ For 0 ≤ m < 2 these are complex-conjugates with real-part − 1 2 + m.is the stabilising solution and hence √ u = −R B P x = − −1 T 0 1 2+m 1 √ 1 2+m x1 x2 = −x1 − √ 2 + mx2 The closed-loop A-matrix is then: Acl = A − BR−1 B T P = 0 1 √ −1 − 2 + m √ This has a characteristic equation det(λI −Acl ) = λ2 +λ 2 + m+1 = 0. in either case the closed-loop system is asymptotically stable.