INDIAN INSTITUTE OF TECHNOLOGY ROORKEE

LINEAR QUADRATIC CONTROL:

DERIVATION
OPTIMAL CONTROL PROBLEM

 Consider a system represented in state-space form as

x&= Ax + Bu (1)

 Problem: Determination of matrix K of the optimal control law

u =-Kx (2)

 Such that the performance index given below is minimized

�
J = (
� x T
Qx + u T
Ru ) dt (3)
0
where, Q is positive semi-definite Hermitian and R is positive definite
Hermitian matrix

2
 Substitute the control law from (2) in (1), we get

x&= ( A - BK ) x (4)

 Replace the value of u from (2) in (3). Hence,

�
J =� ( )
xT ( Q + K T RK ) x dt (5)

0
 For ease of convenience, set
-d T
( x ( Q + K RK ) x =
T T
) dt
( x Px ) (6)

where, P is positive definite Hermitian matrix

3
 Simplifying (6), we get

( )
xT ( Q + K T RK ) x = - x&T Px - xT Px&

 From (4), we get

xT ( Q + KT RK ) x = -xT �
(� ) P + P( A - Bk ) �
T
A - BK x
�
 Hence
-( Q + KT RK ) = ( A - BK ) P + P ( A - Bk )
T
(7)
 From (5) � �
-d
J =� ( )
xT ( Q + K T RK ) x dt = � ( xT Px )
dt
0 0

= xT (0) Px(0) - xT (�) Px(�)

 An assumption here is that (A-BK) is stable. Hence x(�) = 0 and
J = xT (0)Px(0)
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 To obtain the optimal control law, assume
R = T *T
 From (7), we get
( A - K B ) P + P( A - BK ) + Q + K T TK = 0
* * * * *

 Add and subtract P * BR -1 B * P to both sides of equation, we get

A P + PA- PBR B P +Q- PBK - K B P + K T TK + P B( T T ) B*P = 0

* -1 * * * * * * * -1

 On rearranging the terms by using property (AB)* = B*A* , we obtain

AP+PA-PBR B P+Q-PBK -K T ( T )
* -1 * *
( * * -1
) B P+(TK) TK+P B( T T)
* * * * -1 *
B P=0

5
 On further simplification, we get

AP+PA-PBR B P+Q-PBT TK +(TK) TK -( T ) B P +P B( T T) B P = 0

* -1 * -1 *
( * -1 *
) * * -1 *

 Thus, we get

( )( )
*
AP+PA-PBR B P+Q+ TK -( T ) B P TK -( T ) B P = 0
* -1 * * -1 * * -1 *

 The minimization of the performance index J with respect to K

requires the minimization of

( ) B P ) ( TK - ( T ) B P ) x
*
x TK - ( T
* * -1 * * -1 *

 The minima of the above non-negative expression occurs when it

is equal to 0, i.e.,
TK = ( T )
* -1
B* P

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 Hence,
K =T -1
(T )
* -1
B* P
= R -1 B * P

 Therefore, the optimal control law is given by

-1 *
u =-Kx =-R BPx
where, P is the solution of the following Riccati equation

A*P+ PA- PBR-1B*P+Q = 0

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