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03  -control_system_advanced_methods 03 -control_system_advanced_methods Document Transcript

  • i i i i i i
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  • i i i i MATLAB® and Simulink® are trademarks of The MathWorks, Inc. and are used with permission. The MathWorks does not warrant the accuracy of the text or exercises in this book. This book’s use or discussion of MATLAB® and Simulink® software or related products does not constitute endorsement or sponsorship by The MathWorks of a particular pedagogical approach or particular use of the MATLAB® and Simulink® software. CRC Press Taylor & Francis Group 6000 Broken Sound Parkway NW, Suite 300 Boca Raton, FL 33487-2742 © 2011 by Taylor and Francis Group, LLC CRC Press is an imprint of Taylor & Francis Group, an Informa business No claim to original U.S. Government works Printed in the United States of America on acid-free paper 10 9 8 7 6 5 4 3 2 1 International Standard Book Number: 978-1-4200-7364-5 (Hardback) This book contains information obtained from authentic and highly regarded sources. Reasonable efforts have been made to publish reliable data and information, but the author and publisher cannot assume responsibility for the validity of all materials or the consequences of their use. The authors and publishers have attempted to trace the copyright holders of all material reproduced in this publication and apologize to copyright holders if permission to publish in this form has not been obtained. If any copyright material has not been acknowledged please write and let us know so we may rectify in any future reprint. Except as permitted under U.S. Copyright Law, no part of this book may be reprinted, reproduced, transmitted, or utilized in any form by any electronic, mechanical, or other means, now known or hereafter invented, including photocopying, microfilming, and recording, or in any information storage or retrieval system, without written permission from the publishers. For permission to photocopy or use material electronically from this work, please access www.copyright.com (http:// www.copyright.com/) or contact the Copyright Clearance Center, Inc. (CCC), 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400. CCC is a not-for-profit organization that provides licenses and registration for a variety of users. For organizations that have been granted a photocopy license by the CCC, a separate system of payment has been arranged. Trademark Notice: Product or corporate names may be trademarks or registered trademarks, and are used only for identification and explanation without intent to infringe. Library of Congress Cataloging-in-Publication Data Control system advanced methods / edited by William S. Levine. -- 2nd ed. p. cm. -- (The electrical engineering handbook series) Includes bibliographical references and index. ISBN 978-1-4200-7364-5 1. Automatic control. I. Levine, W. S. II. Title. III. Series. TJ212.C685 2011 629.8--dc22 2010026367 Visit the Taylor & Francis Web site at http://www.taylorandfrancis.com and the CRC Press Web site at http://www.crcpress.com i i
  • i i i i Contents Preface to the Second Edition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiii Acknowledgments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv Editorial Board . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xvii Editor. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .xix Contributors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xxi SECTION I 1 Analysis Methods for MIMO Linear Systems Numerical and Computational Issues in Linear Control and System Theory . . . . . . . . . 1-1 A.J. Laub, R.V. Patel, and P.M. Van Dooren 2 Multivariable Poles, Zeros, and Pole-Zero Cancellations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-1 Joel Douglas and Michael Athans 3 Fundamentals of Linear Time-Varying Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3-1 Edward W. Kamen 4 Balanced Realizations, Model Order Reduction, and the Hankel Operator . . . . . . . . . . . 4-1 Jacquelien M.A. Scherpen 5 Geometric Theory of Linear Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5-1 Fumio Hamano 6 Polynomial and Matrix Fraction Descriptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6-1 David F. Delchamps 7 Robustness Analysis with Real Parametric Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7-1 Roberto Tempo and Franco Blanchini 8 MIMO Frequency Response Analysis and the Singular Value Decomposition . . . . . . . 8-1 Stephen D. Patek and Michael Athans 9 Stability Robustness to Unstructured Uncertainty for Linear Time Invariant Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9-1 Alan Chao and Michael Athans 10 11 Trade-Offs and Limitations in Feedback Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10-1 Douglas P. Looze, James S. Freudenberg, Julio H. Braslavsky, and Richard H. Middleton Modeling Deterministic Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11-1 Jörg Raisch and Bruce Francis vii i i
  • i i i i viii Contents SECTION II 12 Kalman Filter and Observers Linear Systems and White Noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12-1 William S. Levine 13 Kalman Filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .13-1 Michael Athans 14 Riccati Equations and Their Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .14-1 Vladimír Kuˇera c 15 Observers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15-1 Bernard Friedland SECTION III 16 17 Design Methods for MIMO LTI Systems Eigenstructure Assignment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .16-1 Kenneth M. Sobel, Eliezer Y. Shapiro, and Albert N. Andry, Jr. Linear Quadratic Regulator Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17-1 Leonard Lublin and Michael Athans 18 19 H2 (LQG) and H∞ Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18-1 Leonard Lublin, Simon Grocott, and Michael Athans 1 Robust Control: Theory, Computation, and Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19-1 Munther A. Dahleh 20 The Structured Singular Value (μ) Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .20-1 Gary J. Balas and Andy Packard 21 Algebraic Design Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .21-1 Vladimír Kuˇera c 22 Quantitative Feedback Theory (QFT) Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22-1 Constantine H. Houpis 23 Robust Servomechanism Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23-1 Edward J. Davison 24 Linear Matrix Inequalities in Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24-1 Carsten Scherer and Siep Weiland 25 Optimal Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25-1 Frank L. Lewis 26 Decentralized Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26-1 M.E. Sezer and D.D. Šiljak 27 Decoupling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .27-1 Trevor Williams and Panos J. Antsaklis 28 Linear Model Predictive Control in the Process Industries . . . . . . . . . . . . . . . . . . . . . . . . . . 28-1 Jay H. Lee and Manfred Morari i i
  • i i i i ix Contents SECTION IV 29 Analysis and Design of Hybrid Systems Computation of Reach Sets for Dynamical Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .29-1 Alex A. Kurzhanskiy and Pravin Varaiya 30 Hybrid Dynamical Systems: Stability and Stabilization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30-1 Hai Lin and Panos J. Antsaklis 31 Optimal Control of Switching Systems via Embedding into Continuous Optimal Control Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31-1 ˇ Sorin Bengea, Kasemsak Uthaichana, Milos Zefran, and Raymond A. DeCarlo SECTION V 32 Adaptive Control Automatic Tuning of PID Controllers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .32-1 Tore Hägglund and Karl J. Åström 33 Self-Tuning Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .33-1 David W. Clarke 34 Model Reference Adaptive Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .34-1 Petros Ioannou 35 Robust Adaptive Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35-1 Petros Ioannou and Simone Baldi 36 Iterative Learning Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .36-1 Douglas A. Bristow, Kira L. Barton, and Andrew G. Alleyne SECTION VI 37 38 Analysis and Design of Nonlinear Systems Nonlinear Zero Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37-1 Alberto Isidori and Christopher I. Byrnes The Lie Bracket and Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38-1 V. Jurdjevic 39 Two Timescale and Averaging Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .39-1 Hassan K. Khalil 40 Volterra and Fliess Series Expansions for Nonlinear Systems. . . . . . . . . . . . . . . . . . . . . . . .40-1 Françoise Lamnabhi-Lagarrigue 41 42 i Integral Quadratic Constraints . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .41-1 Alexandre Megretski, Ulf T. Jönsson, Chung-Yao Kao, and Anders Rantzer Control of Nonholonomic and Underactuated Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42-1 Kevin M. Lynch, Anthony M. Bloch, Sergey V. Drakunov, Mahmut Reyhanoglu, and Dmitry Zenkov i
  • i i i i x Contents SECTION VII 43 Stability Lyapunov Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .43-1 Hassan K. Khalil 44 Input–Output Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .44-1 A.R. Teel, T.T. Georgiou, L. Praly, and Eduardo D. Sontag 45 Input-to-State Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45-1 Eduardo D. Sontag SECTION VIII 46 Design Feedback Linearization of Nonlinear Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46-1 Alberto Isidori and Maria Domenica Di Benedetto 47 The Steady-State Behavior of a Nonlinear System . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .47-1 Alberto Isidori and Christopher I. Byrnes 48 Nonlinear Output Regulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .48-1 Alberto Isidori and Lorenzo Marconi 49 Lyapunov Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .49-1 Randy A. Freeman and Petar V. Kokotovi´ c 50 51 52 Variable Structure, Sliding-Mode Controller Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .50-1 ˙ Raymond A. DeCarlo, S.H. Zak, and Sergey V. Drakunov Control of Bifurcations and Chaos . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .51-1 Eyad H. Abed, Hua O. Wang, and Alberto Tesi Open-Loop Control Using Oscillatory Inputs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52-1 J. Baillieul and B. Lehman 53 54 Adaptive Nonlinear Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .53-1 Miroslav Krsti´ and Petar V. Kokotovi´ c c Intelligent Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .54-1 Kevin M. Passino 55 Fuzzy Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .55-1 Kevin M. Passino and Stephen Yurkovich 56 Neural Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .56-1 Marios M. Polycarpou and Jay A. Farrell SECTION IX 57 System Identification System Identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .57-1 Lennart Ljung i i
  • i i i i xi Contents SECTION X 58 Stochastic Control Discrete Time Markov Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .58-1 Adam Shwartz 59 Stochastic Differential Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .59-1 John A. Gubner 60 Linear Stochastic Input–Output Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60-1 Torsten Söderström 61 Dynamic Programming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .61-1 P.R. Kumar 62 Approximate Dynamic Programming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .62-1 Draguna Vrabie and Frank L. Lewis 63 Stability of Stochastic Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .63-1 Kenneth A. Loparo 64 Stochastic Adaptive Control for Continuous-Time Linear Systems . . . . . . . . . . . . . . . . .64-1 T.E. Duncan and B. Pasik-Duncan 65 Probabilistic and Randomized Tools for Control Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65-1 Fabrizio Dabbene and Roberto Tempo 66 Stabilization of Stochastic Nonlinear Continuous-Time Systems . . . . . . . . . . . . . . . . . . . 66-1 Miroslav Krsti´ and Shu-Jun Liu c SECTION XI 67 Control of Distributed Parameter Systems Control of Systems Governed by Partial Differential Equations . . . . . . . . . . . . . . . . . . . . .67-1 Kirsten Morris 68 Controllability of Thin Elastic Beams and Plates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .68-1 J.E. Lagnese and G. Leugering 69 Control of the Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .69-1 Thomas I. Seidman 70 Observability of Linear Distributed-Parameter Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70-1 David L. Russell 71 Boundary Control of PDEs: The Backstepping Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . 71-1 Miroslav Krsti´ and Andrey Smyshlyaev c 72 Stabilization of Fluid Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .72-1 Miroslav Krsti´ and Rafael Vazquez c SECTION XII 73 Networks and Networked Controls Control over Digital Networks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73-1 Nuno C. Martins i i
  • i i i i xii 74 Contents Decentralized Control and Algebraic Approaches . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .74-1 Michael C. Rotkowitz 75 Estimation and Control across Analog Erasure Channels . . . . . . . . . . . . . . . . . . . . . . . . . . . 75-1 Vijay Gupta 76 Passivity Approach to Network Stability Analysis and Distributed Control Synthesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76-1 Murat Arcak Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Index-1 i i
  • i i i i Preface to the Second Edition As you may know, the first edition of The Control Handbook was very well received. Many copies were sold and a gratifying number of people took the time to tell me that they found it useful. To the publisher, these are all reasons to do a second edition. To the editor of the first edition, these same facts are a modest disincentive. The risk that a second edition will not be as good as the first one is real and worrisome. I have tried very hard to insure that the second edition is at least as good as the first one was. I hope you agree that I have succeeded. I have made two major changes in the second edition. The first is that all the Applications chapters are new. It is simply a fact of life in engineering that once a problem is solved, people are no longer as interested in it as they were when it was unsolved. I have tried to find especially inspiring and exciting applications for this second edition. Secondly, it has become clear to me that organizing the Applications book by academic discipline is no longer sensible. Most control applications are interdisciplinary. For example, an automotive control system that involves sensors to convert mechanical signals into electrical ones, actuators that convert electrical signals into mechanical ones, several computers and a communication network to link sensors and actuators to the computers does not belong solely to any specific academic area. You will notice that the applications are now organized broadly by application areas, such as automotive and aerospace. One aspect of this new organization has created a minor and, I think, amusing problem. Several wonderful applications did not fit into my new taxonomy. I originally grouped them under the title Miscellaneous. Several authors objected to the slightly pejorative nature of the term “miscellaneous.” I agreed with them and, after some thinking, consulting with literate friends and with some of the library resources, I have renamed that section “Special Applications.” Regardless of the name, they are all interesting and important and I hope you will read those articles as well as the ones that did fit my organizational scheme. There has also been considerable progress in the areas covered in the Advanced Methods book. This is reflected in the roughly two dozen articles in this second edition that are completely new. Some of these are in two new sections, “Analysis and Design of Hybrid Systems” and “Networks and Networked Controls.” There have even been a few changes in the Fundamentals. Primarily, there is greater emphasis on sampling and discretization. This is because most control systems are now implemented digitally. I have enjoyed editing this second edition and learned a great deal while I was doing it. I hope that you will enjoy reading it and learn a great deal from doing so. William S. Levine xiii i i
  • i i i i xiv Preface to the Second Edition MATLAB and Simulink are registered trademarks of The MathWorks, Inc. For product information, please contact: The MathWorks, Inc. 3 Apple Hill Drive Natick, MA, 01760-2098 USA Tel: 508-647-7000 Fax: 508-647-7001 E-mail: info@mathworks.com Web: www.mathworks.com i i
  • i i i i Acknowledgments The people who were most crucial to the second edition were the authors of the articles. It took a great deal of work to write each of these articles and I doubt that I will ever be able to repay the authors for their efforts. I do thank them very much. The members of the advisory/editorial board for the second edition were a very great help in choosing topics and finding authors. I thank them all. Two of them were especially helpful. Davor Hrovat took responsibility for the automotive applications and Richard Braatz was crucial in selecting the applications to industrial process control. It is a great pleasure to be able to provide some recognition and to thank the people who helped bring this second edition of The Control Handbook into being. Nora Konopka, publisher of engineering and environmental sciences for Taylor & Francis/CRC Press, began encouraging me to create a second edition quite some time ago. Although it was not easy, she finally convinced me. Jessica Vakili and Kari Budyk, the project coordinators, were an enormous help in keeping track of potential authors as well as those who had committed to write an article. Syed Mohamad Shajahan, senior project executive at Techset, very capably handled all phases of production, while Richard Tressider, project editor for Taylor & Francis/CRC Press, provided direction, oversight, and quality control. Without all of them and their assistants, the second edition would probably never have appeared and, if it had, it would have been far inferior to what it is. Most importantly, I thank my wife Shirley Johannesen Levine for everything she has done for me over the many years we have been married. It would not be possible to enumerate all the ways in which she has contributed to each and everything I have done, not just editing this second edition. William S. Levine xv i i
  • i i i i Editorial Board Frank Allgöwer Institute for Systems Theory and Automatic Control University of Stuttgart Stuttgart, Germany Tamer Ba¸ar s Department of Electrical and Computer Engineering University of Illinois at Urbana–Champaign Urbana, Illinois Davor Hrovat Research and Advanced Engineering Ford Motor Company Dearborn, Michigan Naomi Leonard Department of Mechanical and Aerospace Engineering Princeton University Princeton, New Jersey Richard Braatz Department of Chemical Engineering Massachusetts Institute of Technology Cambridge, Massachusetts Masayoshi Tomizuka Department of Mechanical Engineering University of California, Berkeley Berkeley, California Christos Cassandras Department of Manufacturing Engineering Boston University Boston, Massachusetts Mathukumalli Vidyasagar Department of Bioengineering The University of Texas at Dallas Richardson, Texas xvii i i
  • i i i i Editor William S. Levine received B.S., M.S., and Ph.D. degrees from the Massachusetts Institute of Technology. He then joined the faculty of the University of Maryland, College Park where he is currently a research professor in the Department of Electrical and Computer Engineering. Throughout his career he has specialized in the design and analysis of control systems and related problems in estimation, filtering, and system modeling. Motivated by the desire to understand a collection of interesting controller designs, he has done a great deal of research on mammalian control of movement in collaboration with several neurophysiologists. He is co-author of Using MATLAB to Analyze and Design Control Systems, March 1992. Second Edition, March 1995. He is the coeditor of The Handbook of Networked and Embedded Control Systems, published by Birkhauser in 2005. He is the editor of a series on control engineering for Birkhauser. He has been president of the IEEE Control Systems Society and the American Control Council. He is presently the chairman of the SIAM special interest group in control theory and its applications. He is a fellow of the IEEE, a distinguished member of the IEEE Control Systems Society, and a recipient of the IEEE Third Millennium Medal. He and his collaborators received the Schroers Award for outstanding rotorcraft research in 1998. He and another group of collaborators received the award for outstanding paper in the IEEE Transactions on Automatic Control, entitled “Discrete-Time Point Processes in Urban Traffic Queue Estimation.” xix i i
  • i i i i Contributors Eyad H. Abed Department of Electrical Engineering and the Institute for Systems Research University of Maryland College Park, Maryland J. Baillieul Department of Electrical & Computer Engineering Boston University Boston, Massachusetts Andrew G. Alleyne Department of Mechanical Science and Engineering University of Illinois at Urbana–Champaign Urbana, Illinois Gary J. Balas Department of Aerospace Engineering and Mechanics University of Minnesota Minneapolis, Minnesota Albert N. Andry, Jr. Teledyne Reynolds Group Los Angeles, California Simone Baldi Department of Systems and Computer Science University of Florence Florence, Italy Panos J. Antsaklis Department of Electrical Engineering University of Notre Dame Notre Dame, Indiana Murat Arcak Department of Electrical Engineering and Computer Sciences University of California, Berkeley Berkeley, California Karl J. Åström Department of Automatic Control Lund Institute of Technology Lund, Sweden Michael Athans Department of Electrical Engineering and Computer Science Massachusetts Institute of Technology Cambridge, Massachusetts Kira L. Barton Department of Mechanical Science and Engineering University of Illinois at Urbana–Champaign Urbana, Illinois Sorin Bengea Control Systems Group United Technologies Research Center East Hartford, Connecticut Franco Blanchini Department of Mathematics and Computer Science University of Udine Udine, Italy Anthony M. Bloch Department of Mathematics University of Michigan Ann Arbor, Michigan xxi i i
  • i i i i xxii Contributors Julio H. Braslavsky School of Electrical Engineering and Computer Science The University of Newcastle Callaghan, New South Wales, Australia Raymond A. DeCarlo Department of Electrical and Computer Engineering Purdue University West Lafayette, Indiana Douglas A. Bristow Department of Mechanical and Aerospace Engineering Missouri University of Science and Technology Rolla, Missouri David F. Delchamps School of Electrical and Computer Engineering Cornell University Ithaca, New York Christopher I. Byrnes Department of Systems Sciences and Mathematics Washington University St. Louis, Missouri Maria Domenica Di Benedetto Department of Electrical Engineering University of L’Aquila L’Aquila, Italy Alan Chao Laboratory for Information and Decision Systems Massachusetts Institute of Technology Cambridge, Massachusetts David W. Clarke Department of Engineering Science University of Oxford Oxford, United Kingdom Fabrizio Dabbene Institute for Electronics, Engineering, Information and Telecommunications–National Research Council Polytechnic University of Turin Turin, Italy Munther A. Dahleh Laboratory for Information and Decision Systems Massachusetts Institute of Technology Cambridge, Massachusetts Edward J. Davison Department of Electrical and Computer Engineering University of Toronto Toronto, Ontario, Canada i Joel Douglas Department of Electrical Engineering and Computer Science Massachusetts Institute of Technology Cambridge, Massachusetts T.E. Duncan Department of Mathematics University of Kansas Lawrence, Kansas Sergey V. Drakunov Department of Physical Sciences Embry-Riddle Aeronautical University Daytona Beach, Florida Jay A. Farrell Department of Electrical Engineering University of California, Riverside Riverside, California Bruce Francis Department of Electrical and Computer Engineering University of Toronto Toronto, Ontario, Canada Randy A. Freeman University of California, Santa Barbara Santa Barbara, California i
  • i i i i xxiii Contributors James S. Freudenberg Department of Electrical Engineering and Computer Science University of Michigan Ann Arbor, Michigan Petros Ioannou Department of Electrical Engineering University of Southern California Los Angeles, California Bernard Friedland Department of Electrical and Computer Engineering New Jersey Institute of Technology Newark, New Jersey Alberto Isidori Department of Computer Science and Systemics Sapienza University of Rome Rome, Italy T.T. Georgiou Department of Electrical Engineering University of Minnesota Minneapolis, Minnesota Simon Grocott Space Engineering Research Center Massachusetts Institute of Technology Cambridge, Massachusetts John A. Gubner College of Engineering University of Wisconsin–Madison Madison, Wisconsin Vijay Gupta Department of Electrical Engineering University of Notre Dame Notre Dame, Indiana Tore Hägglund Department of Automatic Control Lund Institute of Technology Lund, Sweden Ulf T. Jönsson Department of Mathematics Royal Institute of Technology Stockholm, Sweden V. Jurdjevic Department of Mathematics University of Toronto Toronto, Ontario, Canada Edward W. Kamen School of Electrical and Computer Engineering Georgia Institute of Technology Atlanta, Georgia Chung-Yao Kao Department of Electrical Engineering National Sun Yat-Sen University Kaohsiung, Taiwan Fumio Hamano Department of Electrical Engineering California State University Long Beach, California Constantine H. Houpis Department of Electrical and Computer Engineering Air Force Institute of Technology Wright-Patterson Air Force Base, Ohio i Hassan K. Khalil Department of Electrical & Computer Engineering Michigan State University East Lansing, Michigan Petar V. Kokotovi´ c Department of Electrical and Computer Engineering University of California, Santa Barbara Santa Barbara, California i
  • i i i i xxiv Contributors Miroslav Krsti´ c Department of Mechanical and Aerospace Engineering University of California, San Diego San Diego, California B. Lehman Department of Electrical & Computer Engineering Northeastern University Boston, Massachusetts Vladimír Kuˇera c Czech Technical University Prague, Czech Republic G. Leugering Faculty for Mathematics, Physics, and Computer Science University of Bayreuth Bayreuth, Germany and Institute of Information Theory and Automation Academy of Sciences Prague, Czech Republic P.R. Kumar Department of Electrical and Computer Engineering and Coordinated Science Laboratory University of Illinois at Urbana–Champaign Urbana, Illinois Alex A. Kurzhanskiy Department of Electrical Engineering and Computer Sciences University of California, Berkeley Berkeley, California Françoise Lamnabhi-Lagarrigue Laboratory of Signals and Systems National Center for Scientific Research Supélec Gif–sur–Yvette, France J.E. Lagnese Department of Mathematics Georgetown University Washington, D.C. A.J. Laub Electrical Engineering Department University of California, Los Angeles Los Angeles, California Jay H. Lee Korean Advanced Institute of Science and Technology Daejeon, South Korea i William S. Levine Department of Electrical & Computer Engineering University of Maryland College Park, Maryland Frank L. Lewis Automation and Robotics Research Institute The University of Texas at Arlington Arlington, Texas Hai Lin Department of Electrical and Computer Engineering National University of Singapore Singapore Shu-Jun Liu Department of Mathematics Southeast University Nanjing, China Lennart Ljung Department of Electrical Engineering Linköping University Linköping, Sweden Douglas P. Looze Department of Electrical and Computer Engineering University of Massachusetts Amherst Amherst, Massachusetts i
  • i i i i xxv Contributors Kenneth A. Loparo Department of Electrical Engineering and Computer Science Case Western Reserve University Cleveland, Ohio Leonard Lublin Space Engineering Research Center Massachusetts Institute of Technology Cambridge, Massachusetts Kevin M. Lynch Mechanical Engineering Department Northwestern University Evanston, Illinois Lorenzo Marconi Department of Electronics, Computer Sciences and Systems University of Bologna Bologna, Italy Nuno C. Martins Department of Electrical & Computer Engineering University of Maryland College Park, Maryland Alexandre Megretski Laboratory for Information and Decision Systems Massachusetts Institute of Technology Cambridge, Massachusetts Richard H. Middleton The Hamilton Institute National University of Ireland, Maynooth Maynooth, Ireland Andy Packard Department of Mechanical Engineering University of California, Berkeley Berkeley, California B. Pasik-Duncan Department of Mathematics University of Kansas Lawrence, Kansas Kevin M. Passino Department of Electrical Engineering The Ohio State University Columbus, Ohio Stephen D. Patek Laboratory for Information and Decision Systems Massachusetts Institute of Technology Cambridge, Massachusetts R.V. Patel Department of Electrical and Computer Engineering University of Western Ontario London, Ontario, Canada Marios M. Polycarpou Department of Electrical and Computer Engineering University of Cyprus Nicosia, Cyprus L. Praly Systems and Control Centre Mines Paris Institute of Technology Paris, France Manfred Morari Swiss Federal Institute of Technology Zurich, Switzerland Kirsten Morris Department of Applied Mathematics University of Waterloo Waterloo, Ontario, Canada i Jörg Raisch Department of Electrical Engineering and Computer Science Technical University of Berlin Berlin, Germany Anders Rantzer Department of Automatic Control Lund University Lund, Sweden i
  • i i i i xxvi Contributors Mahmut Reyhanoglu Physical Sciences Department Embry-Riddle Aeronautical University Daytona Beach, Florida D.D. Šiljak Department of Electrical Engineering Santa Clara University Santa Clara, California Michael C. Rotkowitz Department of Electrical and Electronic Engineering The University of Melbourne Melbourne, Australia Andrey Smyshlyaev Department of Mechanical and Aerospace Engineering University of California, San Diego La Jolla, California David L. Russell Department of Mathematics Virginia Polytechnic Institute and State University Blacksburg, Virginia Kenneth M. Sobel Department of Electrical Engineering The City College of New York New York, New York Carsten Scherer Department of Mathematics University of Stuttgart Stuttgart, Germany Jacquelien M.A. Scherpen Faculty of Mathematics and Natural Sciences University of Groningen Groningen, the Netherlands Thomas I. Seidman Department of Mathematics and Statistics University of Maryland, Baltimore County Baltimore, Maryland M.E. Sezer Department of Electrical and Electronics Engineering Bilkent University Ankara, Turkey Torsten Söderström Department of Information Technology Uppsala University Uppsala, Sweden Eduardo D. Sontag Department of Mathematics Rutgers University New Brunswick, New Jersey A.R. Teel Department of Electrical Engineering University of Minnesota Minneapolis, Minnesota Roberto Tempo Institute for Electronics, Engineering, Information and Telecommunications– National Research Council Polytechnic University of Turin Turin, Italy Eliezer Y. Shapiro (deceased) HR Textron Valencia, California Adam Shwartz Department of Electrical Engineering Technion–Israel Institute of Technology Haifa, Israel i Alberto Tesi Department of Systems and Computer Science University of Florence Florence, Italy Kasemsak Uthaichana Department of Electrical Engineering Chiang Mai University Chiang Mai, Thailand i
  • i i i i xxvii Contributors P.M. Van Dooren Department of Mathematical Engineering Catholic University of Leuven Leuven, Belgium Pravin Varaiya Department of Electrical Engineering and Computer Sciences University of California, Berkeley Berkeley, California Rafael Vazquez Department of Aerospace Engineering University of Seville Seville, Spain Draguna Vrabie Automation and Robotics Research Institute The University of Texas at Arlington Arlington, Texas Hua O. Wang United Technologies Research Center East Hartford, Connecticut Siep Weiland Department of Electrical Engineering Eindhoven University of Technology Eindhoven, the Netherlands i Trevor Williams Department of Aerospace Engineering and Engineering Mechanics University of Cincinnati Cincinnati, Ohio Stephen Yurkovich Department of Electrical Engineering The Ohio State University Columbus, Ohio ˙ S.H. Zak School of Electrical and Computer Engineering Purdue University West Lafayette, Indiana ˇ Milos Zefran Department of Electrical Engineering University of Illinois at Chicago Chicago, Illinois Dmitry Zenkov Department of Mathematics North Carolina State University Raleigh, North Carolina i
  • i i i i I Analysis Methods for MIMO Linear Systems I-1 i i
  • i i i i 1 Numerical and Computational Issues in Linear Control and System Theory∗ 1.1 1.2 1.3 Introduction ........................................................ 1-1 Numerical Background ...................................... 1-4 Fundamental Problems in Numerical Linear Algebra..................................................... 1-7 Linear Algebraic Equations and Linear Least-Squares Problems • Eigenvalue and Generalized Eigenvalue Problems • The Singular Value Decomposition and Some Applications 1.4 Some Typical Techniques • Transfer Functions, Poles, and Zeros • Controllability and Other “Abilities” • Computation of Objects Arising in the Geometric Theory of Linear Multivariable Control • Frequency Response Calculations • Numerical Solution of Linear Ordinary Differential Equations and Matrix Exponentials • Lyapunov, Sylvester, and Riccati Equations • Pole Assignment and Observer Design • Robust Control A.J. Laub University of California, Los Angeles R.V. Patel University of Western Ontario P.M. Van Dooren Catholic University of Leuven Applications to Systems and Control .............. 1-13 1.5 Mathematical Software ..................................... 1-22 General Remarks • Mathematical Software in Control 1.6 Concluding Remarks ........................................ 1-24 References .................................................................... 1-24 1.1 Introduction This chapter provides a survey of various aspects of the numerical solution of selected problems in linear systems, control, and estimation theory. Space limitations preclude an exhaustive survey and extensive list of references. The interested reader is referred to [1,4,10,14] for sources of additional detailed information. ∗ This material is based on a paper written by the same authors and published in Patel, R.V., Laub, A.J., and Van Dooren, P.M., Eds., Numerical Linear Algebra Techniques for Systems and Control, Selected Reprint Series, IEEE Press, New York, pp. 1–29 1994, copyright 1994 IEEE. 1-1 i i
  • i i i i 1-2 Control System Advanced Methods Many of the problems considered in this chapter arise in the study of the “standard” linear model x (t) = Ax(t) + Bu(t), ˙ (1.1) y(t) = Cx(t) + Du(t). (1.2) Here, x(t) is an n-vector of states, u(t) is an m-vector of controls or inputs, and y(t) is a p-vector of outputs. The standard discrete-time analog of Equations 1.1 and 1.2 takes the form xk+1 = Axk + Buk , (1.3) yk = Cxk + Duk . (1.4) Of course, considerably more elaborate models are also studied, including time-varying, stochastic, and nonlinear versions of the above, but these are not discussed in this chapter. In fact, the above linear models are usually derived from linearizations of nonlinear models regarding selected nominal points. The matrices considered here are, for the most part, assumed to have real coefficients and to be small (of order a few hundred or less) and dense, with no particular exploitable structure. Calculations for most problems in classical single-input, single-output control fall into this category. Large sparse matrices or matrices with special exploitable structures may significantly involve different concerns and methodologies than those discussed here. The systems, control, and estimation literature is replete with ad hoc algorithms to solve the computational problems that arise in the various methodologies. Many of these algorithms work quite well on some problems (e.g., “small-order” matrices) but encounter numerical difficulties, often severe, when “pushed” (e.g., on larger order matrices). The reason for this is that little or no attention has been paid to the way algorithms perform in “finite arithmetic,” that is, on a finite word length digital computer. A simple example by Moler and Van Loan [14, p. 649]∗ illustrates a typical pitfall. Suppose it is desired to compute the matrix eA in single precision arithmetic on a computer which gives six decimal places of precision in the fractional part of floating-point numbers. Consider the case A= −49 −64 24 31 and suppose the computation is attempted with the Taylor series formula +∞ eA = k=0 1 k A . k! (1.5) This is easily coded and it is determined that the first 60 terms in the series suffice for the computation, in the sense that the terms for k ≥ 60 of the order 10−7 no longer add anything significant to the sum. The resulting answer is −22.2588 −1.43277 . −61.4993 −3.47428 Surprisingly, the true answer is (correctly rounded) −0.735759 −1.47152 0.551819 . 1.10364 What happened here was that the intermediate terms in the series became very large before the factorial began to dominate. The 17th and 18th terms, for example, are of the order of 107 but of opposite signs so ∗ i The page number indicates the location of the appropriate reprint in [14]. i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-3 that the less significant parts of these numbers, while significant for the final answer, are “lost” because of the finiteness of the arithmetic. For this particular example, various fixes and remedies are available. However, in more realistic examples, one seldom has the luxury of having the “true answer” available so that it is not always easy to simply inspect or test a computed solution and determine that it is erroneous. Mathematical analysis (truncation of the series, in the example above) alone is simply not sufficient when a problem is analyzed or solved in finite arithmetic (truncation of the arithmetic). Clearly, a great deal of care must be taken. The finiteness inherent in representing real or complex numbers as floating-point numbers on a digital computer manifests itself in two important ways: floating-point numbers have only finite precision and finite range. The degree of attention paid to these two considerations distinguishes many reliable algorithms from more unreliable counterparts. The development in systems, control, and estimation theory of stable, efficient, and reliable algorithms that respect the constraints of finite arithmetic began in the 1970s and still continues. Much of the research in numerical analysis has been directly applicable, but there are many computational issues in control (e.g., the presence of hard or structural zeros) where numerical analysis does not provide a ready answer or guide. A symbiotic relationship has developed, especially between numerical linear algebra and linear system and control theory, which is sure to provide a continuing source of challenging research areas. The abundance of numerically fragile algorithms is partly explained by the following observation: If an algorithm is amenable to “easy” manual calculation, it is probably a poor method if implemented in the finite floating-point arithmetic of a digital computer. For example, when confronted with finding the eigenvalues of a 2 × 2 matrix, most people would find the characteristic polynomial and solve the resulting quadratic equation. But when extrapolated as a general method for computing eigenvalues and implemented on a digital computer, this is a very poor procedure for reasons such as roundoff and overflow/underflow. The preferred method now would generally be the double Francis QR algorithm (see [17] for details) but few would attempt that manually, even for very small-order problems. Many algorithms, now considered fairly reliable in the context of finite arithmetic, are not amenable to manual calculations (e.g., various classes of orthogonal similarities). This is a kind of converse to the observation quoted above. Especially in linear system and control theory, we have been too easily tempted by the ready availability of closed-form solutions and numerically naive methods to implement those solutions. For example, in solving the initial value problem x (t) = Ax(t); ˙ x(0) = x0 , (1.6) it is not at all clear that one should explicitly compute the intermediate quantity etA . Rather, it is the vector etA x0 that is desired, a quantity that may be computed by treating Equation 1.6 as a system of (possibly stiff) differential equations and using an implicit method for numerically integrating the differential equation. But such techniques are definitely not attractive for manual computation. The awareness of such numerical issues in the mathematics and engineering community has increased significantly in the last few decades. In fact, some of the background material well known to numerical analysts has already filtered down to undergraduate and graduate curricula in these disciplines. This awareness and education has affected system and control theory, especially linear system theory. A number of numerical analysts were attracted by the wealth of interesting numerical linear algebra problems in linear system theory. At the same time, several researchers in linear system theory turned to various methods and concepts from numerical linear algebra and attempted to modify them in developing reliable algorithms and software for specific problems in linear system theory. This cross-fertilization has been greatly enhanced by the widespread use of software packages and by developments over the last couple of decades in numerical linear algebra. This process has already begun to have a significant impact on the future directions and development of system and control theory, and on applications, as evident i i
  • i i i i 1-4 Control System Advanced Methods from the growth of computer-aided control system design (CACSD) as an intrinsic tool. Algorithms implemented as mathematical software are a critical “inner” component of a CACSD system. In the remainder of this chapter, we survey some results and trends in this interdisciplinary research area. We emphasize numerical aspects of the problems/algorithms, which is why we also spend time discussing appropriate numerical tools and techniques. We discuss a number of control and filtering problems that are of widespread interest in control. Before proceeding further, we list here some notations to be used: Fn×m AT AH A+ A diag (a1 , . . . , an ) Λ(A) λi (A) Σ(A) σi (A) the set of all n × m matrices with coefficients in the field F (F is generally R or C ) the transpose of A ∈ Rn×m the complex-conjugate transpose of A ∈ Cn×m the Moore–Penrose pseudoinverse of A the spectral norm of A (i.e., the matrix norm subordinate to the Euclidean vector norm: A = max x 2 =1 Ax 2 ) ⎡ ⎤ 0 a1 ⎢ ⎥ .. the diagonal matrix ⎣ ⎦ . 0 an the set of eigenvalues λ1 , . . . , λn (not necessarily distinct) of A ∈ Fn×n the ith eigenvalue of A the set of singular values σ1 , . . . , σm (not necessarily distinct) of A ∈ Fn×m the ith singular value of A Finally, let us define a particular number to which we make frequent reference in the following. The machine epsilon or relative machine precision is defined, roughly speaking, as the smallest positive number that, when added to 1 on our computing machine, gives a number greater than 1. In other words, any machine representable number δ less than gets “ rounded off” when (floating-point) added to 1 to give exactly 1 again as the rounded sum. The number , of course, varies depending on the kind of computer being used and the precision of the computations (single precision, double precision, etc.). But the fact that such a positive number exists is entirely a consequence of finite word length. 1.2 Numerical Background In this section, we give a very brief discussion of two concepts fundamentally important in numerical analysis: numerical stability and conditioning. Although this material is standard in textbooks such as [8], it is presented here for completeness and because the two concepts are frequently confused in the systems, control, and estimation literature. Suppose we have a mathematically defined problem represented by f which acts on data d belonging to some set of data D, to produce a solution f (d) in a solution set S . These notions are kept deliberately vague for expository purposes. Given d ∈ D, we desire to compute f (d). Suppose d ∗ is some approximation to d. If f (d ∗ ) is “near” f (d), the problem is said to be well conditioned. If f (d ∗ ) may potentially differ greatly from f (d) even when d ∗ is near d, the problem is said to be ill-conditioned. The concept of “near” can be made precise by introducing norms in the appropriate spaces. We can then define the condition of the problem f with respect to these norms as κ[f (d)] = lim sup δ→0 d2 (d,d ∗ )=δ i d1 (f (d), f (d ∗ )) , δ (1.7) i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-5 where di (· , ·) are distance functions in the appropriate spaces. When κ[f (d)] is infinite, the problem of determining f (d) from d is ill-posed (as opposed to well-posed). When κ[f (d)] is finite and relatively large (or relatively small), the problem is said to be ill-conditioned (or well-conditioned). A simple example of an ill-conditioned problem is the following. Consider the n × n matrix ⎡ 0 ⎢· ⎢ ⎢· A=⎢ ⎢· ⎢ ⎣· 0 1 · 0 · · · · · · · · · · · · · · · · · · · · · ⎤ 0 ·⎥ ⎥ ·⎥ ⎥, 0⎥ ⎥ 1⎦ 0 with n eigenvalues at 0. Now, consider a small perturbation of the data (the n2 elements of A) consisting of adding the number 2−n to the first element in the last (nth) row of A. This perturbed matrix then √ has n distinct eigenvalues λ1 , . . . , λn with λk = 1/2 exp(2kπj/n), where j := −1. Thus, we see that this small perturbation in the data has been magnified by a factor on the order of 2n resulting in a rather large perturbation in solving the problem of computing the eigenvalues of A. Further details and related examples can be found in [9,17]. Thus far, we have not mentioned how the problem f above (computing the eigenvalues of A in the example) was to be solved. Conditioning is a function solely of the problem itself. To solve a problem numerically, we must implement some numerical procedures or algorithms which we denote by f ∗ . Thus, given d, f ∗ (d) is the result of applying the algorithm to d (for simplicity, we assume d is “representable”; a more general definition can be given when some approximation d ∗∗ to d must be used). The algorithm f ∗ is said to be numerically (backward) stable if, for all d ∈ D, there exists d ∗ ∈ D near d so that f ∗ (d) is near f (d ∗ ), (f (d ∗ ) = the exact solution of a nearby problem). If the problem is well-conditioned, then f (d ∗ ) is near f (d) so that f ∗ (d) is near f (d) if f ∗ is numerically stable. In other words, f ∗ does not introduce any more sensitivity to perturbation than is inherent in the problem. Example 1.1 further illuminates this definition of stability which, on a first reading, can seem somewhat confusing. Of course, one cannot expect a stable algorithm to solve an ill-conditioned problem any more accurately than the data warrant, but an unstable algorithm can produce poor solutions even to well-conditioned problems. Example 1.2, illustrates this phenomenon. There are thus two separate factors to consider in determining the accuracy of a computed solution f ∗ (d). First, if the algorithm is stable, f ∗ (d) is near f (d ∗ ), for some d ∗ , and second, if the problem is well conditioned, then, as above, f (d ∗ ) is near f (d). Thus, f ∗ (d) is near f (d) and we have an “accurate” solution. Rounding errors can cause unstable algorithms to give disastrous results. However, it would be virtually impossible to account for every rounding error made at every arithmetic operation in a complex series of calculations. This would constitute a forward error analysis. The concept of backward error analysis based on the definition of numerical stability given above provides a more practical alternative. To illustrate this, let us consider the singular value decomposition (SVD) of an arbitrary m × n matrix A with coefficients in R or C [8] (see also Section 1.3.3), A = UΣV H . (1.8) Here U and V are m × m and n × n unitary matrices, respectively, and Σ is an m × n matrix of the form Σ= Σr 0 0 ; 0 Σr = diag{σ1 , . . . , σr } (1.9) with the singular values σi positive and satisfying σ1 ≥ σ2 · · · ≥ σr > 0. The computation of this decomposition is, of course, subject to rounding errors. Denoting computed quantities by an overbar, for some i i
  • i i i i 1-6 Control System Advanced Methods error matrix EA , H A = A + EA = UΣV . (1.10) The computed decomposition thus corresponds exactly to a perturbed matrix A. When using the SVD algorithm available in the literature [8], this perturbation can be bounded by EA ≤ π A , (1.11) where is the machine precision and π is some quantity depending on the dimensions m and n, but reasonably close to 1 (see also [14, p. 74]). Thus, the backward error EA induced by this algorithm has roughly the same norm as the input error Ei resulting, for example, when reading the data A into the computer. Then, according to the definition of numerical stability given above, when a bound such as that in Equation 1.11 exists for the error induced by a numerical algorithm, the algorithm is said to be backward stable [17]. Note that backward stability does not guarantee any bounds on the errors in the result U, Σ, and V . In fact, this depends on how perturbations in the data (namely, EA = A − A) affect the resulting decomposition (namely, EU = U − U, EΣ = Σ − Σ, and EV = V − V ). This is commonly measured by the condition κ[f (A)]. Backward stability is a property of an algorithm, and the condition is associated with a problem and the specific data for that problem. The errors in the result depend on the stability of the algorithm used and the condition of the problem solved. A good algorithm should, therefore, be backward stable because the size of the errors in the result is then mainly due to the condition of the problem, not to the algorithm. An unstable algorithm, on the other hand, may yield a large error even when the problem is well conditioned. Bounds of the type Equation 1.11 are obtained by an error analysis of the algorithm used, and the condition of the problem is obtained by a sensitivity analysis; for example, see [9,17]. We close this section with two simple examples to illustrate some of the concepts introduced. Example 1.1: Let x and y be two floating-point computer numbers and let fl(x ∗ y) denote the result of multiplying them in floating-point computer arithmetic. In general, the product x ∗ y requires more precision to be represented exactly than was used to represent x or y. But for most computers fl(x ∗ y) = x ∗ y(1 + δ), (1.12) where |δ| < (= relative machine precision). In other words, fl(x ∗ y) is x ∗ y correct to within a unit in the last place. Another way to write Equation 1.12 is as follows: fl(x ∗ y) = x(1 + δ)1/2 ∗ y(1 + δ)1/2 , (1.13) where |δ| < . This can be interpreted as follows: the computed result fl(x ∗ y) is the exact product of the two slightly perturbed numbers x(1 + δ)1/2 and y(1 + δ)1/2 . The slightly perturbed data (not unique) may not even be representable as floating-point numbers. The representation of Equation 1.13 is simply a way of accounting for the roundoff incurred in the algorithm by an initial (small) perturbation in the data. i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-7 Example 1.2: Gaussian elimination with no pivoting for solving the linear system of equations Ax = b (1.14) is known to be numerically unstable; see for example [8] and Section 1.3. The following data illustrate this phenomenon. Let A= 0.0001 1.000 1.000 , −1.000 b= 1.000 . 0.000 All computations are carried out in four-significant-figure decimal arithmetic. The “true answer” x = A−1 b is 0.9999 . 0.9999 Using row 1 as the “pivot row” (i.e., subtracting 10,000 × row 1 from row 2) we arrive at the equivalent triangular system 0.0001 1.000 1.000 x1 = . 0 −1.000 × 104 x2 −1.000 × 104 The coefficient multiplying x2 in the second equation should be −10, 001, but because of roundoff, becomes −10, 000. Thus, we compute x2 = 1.000 (a good approximation), but back substitution in the equation 0.0001x1 = 1.000 − fl(1.000 ∗ 1.000) yields x1 = 0.000. This extremely bad approximation to x1 is the result of numerical instability. The problem, it can be shown, is quite well conditioned. 1.3 Fundamental Problems in Numerical Linear Algebra In this section, we give a brief overview of some of the fundamental problems in numerical linear algebra that serve as building blocks or “tools” for the solution of problems in systems, control, and estimation. 1.3.1 Linear Algebraic Equations and Linear Least-Squares Problems Probably the most fundamental problem in numerical computing is the calculation of a vector x which satisfies the linear system Ax = b, (1.15) where A ∈ Rn×n (or Cn×n ) and has rank n. A great deal is now known about solving Equation 1.15 in finite arithmetic both for the general case and for a large number of special situations, for example, see [8,9]. The most commonly used algorithm for solving Equation 1.15 with general A and small n (say n ≤ 1000) is Gaussian elimination with some sort of pivoting strategy, usually “partial pivoting.” This amounts to factoring some permutation of the rows of A into the product of a unit lower triangular matrix L and an upper triangular matrix U. The algorithm is effectively stable, that is, it can be proved that the computed solution is near the exact solution of the system (A + E)x = b (1.16) with |eij | ≤ φ(n) γ β , where φ(n) is a modest function of n depending on details of the arithmetic used, γ is a “growth factor” (which is a function of the pivoting strategy and is usually—but not always—small), β behaves essentially like A , and is the machine precision. In other words, except for moderately pathological situations, E is “small”—on the order of A . i i
  • i i i i 1-8 Control System Advanced Methods The following question then arises. If, because of rounding errors, we are effectively solving Equation 1.16 rather than Equation 1.15, what is the relationship between (A + E)−1 b and A−1 b? To answer this question, we need some elementary perturbation theory and this is where the notion of condition number arises. A condition number for Equation 1.15 is given by κ(A) : = A A−1 . (1.17) Simple perturbation results can show that perturbation in A and/or b can be magnified by as much as κ(A) in the computed solution. Estimating κ(A) (since, of course, A−1 is unknown) is thus a crucial aspect of assessing solutions of Equation 1.15 and the particular estimating procedure used is usually the principal difference between competing linear equation software packages. One of the more sophisticated and reliable condition estimators presently available is implemented in LINPACK [5] and its successor LAPACK [2]. LINPACK and LAPACK also feature many codes for solving Equation 1.14 in case A has certain special structures (e.g., banded, symmetric, or positive definite). Another important class of linear algebra problems, and one for which codes are available in LINPACK and LAPACK, is the linear least-squares problem min Ax − b 2 , (1.18) where A ∈ Rm×n and has rank k, with (in the simplest case) k = n ≤ m, for example, see [8]. The solution of Equation 1.18 can be written formally as x = A+ b. The method of choice is generally based on the QR factorization of A (for simplicity, let rank(A) = n) A = QR, (1.19) where R ∈ Rn×n is upper triangular and Q ∈ Rm×n has orthonormal columns, that is, QT Q = I. With special care and analysis, the case k < n can also be handled similarly. The factorization is effected through a sequence of Householder transformations Hi applied to A. Each Hi is symmetric and orthogonal and of the form I − 2uuT /uT u, where u ∈ Rm is specially chosen so that zeros are introduced at appropriate places in A when it is premultiplied by Hi . After n such transformations, Hn Hn−1 . . . H1 A = R , 0 from which the factorization Equation 1.19 follows. Defining c and d by c d := Hn Hn−1 . . . H1 b, where c ∈ Rn , it is easily shown that the least-squares solution x of Equation 1.18 is given by the solution of the linear system of equations Rx = c . (1.20) The above algorithm is numerically stable and, again, a well-developed perturbation theory exists from which condition numbers can be obtained, this time in terms of κ(A) : = A A+ . Least-squares perturbation theory is fairly straightforward when rank(A) = n, but is considerably more complicated when A is rank deficient. The reason for this is that, although the inverse is a continuous i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-9 function of the data (i.e., the inverse is a continuous function in a neighborhood of a nonsingular matrix), the pseudoinverse is discontinuous. For example, consider A= 1 0 0 = A+ 0 and perturbations E1 = with δ being small. Then which is close to A+ but 0 δ 0 0 and E2 = ⎡ 1 (A + E1 )+ = ⎣ 1 + δ2 0 0 0 0 δ ⎤ δ 1 + δ2 ⎦ , 0 ⎤ 0 (A + E2 )+ = ⎣ 1⎦ , 0 δ + as δ is decreased toward 0. which gets arbitrarily far from A In lieu of Householder transformations, Givens transformations (elementary rotations or reflections) may also be used to solve the linear least-squares problem [8]. Givens transformations have received considerable attention for solving linear least-squares problems and systems of linear equations in a parallel computing environment. The capability of introducing zero elements selectively and the need for only local interprocessor communication make the technique ideal for “parallelization.” ⎡ 1 1.3.2 Eigenvalue and Generalized Eigenvalue Problems In the algebraic eigenvalue/eigenvector problem for A ∈ Rn×n , one seeks nonzero solutions x ∈ Cn and λ ∈ C, which satisfy Ax = λx. (1.21) The classic reference on the numerical aspects of this problem is Wilkinson [17]. A briefer textbook introduction is given in [8]. Quality mathematical software for eigenvalues and eigenvectors is available; the EISPACK [7,15] collection of subroutines represents a pivotal point in the history of mathematical software. The successor to EISPACK (and LINPACK) is LAPACK [2], in which the algorithms and software have been restructured to provide high efficiency on vector processors, high-performance workstations, and shared memory multiprocessors. The most common algorithm now used to solve Equation 1.21 for general A is the QR algorithm of Francis [17]. A shifting procedure enhances convergence and the usual implementation is called the double-Francis-QR algorithm. Before the QR process is applied, A is initially reduced to upper Hessenberg form AH (aij = 0 if i − j ≥ 2). This is accomplished by a finite sequence of similarities of the Householder form discussed above. The QR process then yields a sequence of matrices orthogonally similar to A and converging (in some sense) to a so-called quasi-upper triangular matrix S also called the real Schur form (RSF) of A. The matrix S is block upper triangular with 1 × 1 diagonal blocks corresponding to real eigenvalues of A and 2 × 2 diagonal blocks corresponding to complex-conjugate pairs of eigenvalues. The quasi-upper triangular form permits all arithmetic to be real rather than complex as would be necessary for convergence to an upper triangular matrix. The orthogonal transformations from both the Hessenberg reduction and the QR process may be accumulated in a single orthogonal transformation U so that U T AU = R (1.22) compactly represents the entire algorithm. An analogous process can be applied in the case of symmetric A, and considerable simplifications and specializations result. i i
  • i i i i 1-10 Control System Advanced Methods Closely related to the QR algorithm is the QZ algorithm for the generalized eigenvalue problem Ax = λMx, (1.23) where A, M ∈ Rn×n . Again, a Hessenberg-like reduction, followed by an iterative process, is implemented with orthogonal transformations to reduce Equation 1.23 to the form QAZy = λQMZy, (1.24) where QAZ is quasi-upper triangular and QMZ is upper triangular. For a review and references to results on stability, conditioning, and software related to Equation 1.23 and the QZ algorithm, see [8]. The generalized eigenvalue problem is both theoretically and numerically more difficult to handle than the ordinary eigenvalue problem, but it finds numerous applications in control and system theory [14, p. 109]. 1.3.3 The Singular Value Decomposition and Some Applications One of the basic and most important tools of modern numerical analysis, especially numerical linear algebra, is the SVD. Here we make a few comments about its properties and computation as well as its significance in various numerical problems. Singular values and the SVD have a long history, especially in statistics and numerical linear algebra. These ideas have found applications in the control and signal processing literature, although their use there has been overstated somewhat in certain applications. For a survey of the SVD, its history, numerical details, and some applications in systems and control theory, see [14, p. 74]. The fundamental result was stated in Section 1.2 (for the complex case). The result for the real case is similar and is stated below. Theorem 1.1: Let A ∈ Rm×n with rank(A) = r. Then there exist orthogonal matrices U ∈ Rm×m and V ∈ Rn×n so that A = UΣV T , where Σr 0 Σ= (1.25) 0 0 and Σr = diag {σ1 , . . . , σr } with σ1 ≥ · · · ≥ σr > 0. The proof of Theorem 1.1 is straightforward and can be found, for example, in [8]. Geometrically, the theorem says that bases can be found (separately) in the domain and codomain spaces of a linear map with respect to which the matrix representation of the linear map is diagonal. The numbers σ1 , . . . , σr , together with σr+1 = 0, . . . , σn = 0, are called the singular values of A, and they are the positive square roots of the eigenvalues of AT A. The columns {uk , k = 1, . . . , m} of U are called the left singular vectors of A (the orthonormal eigenvectors of AAT ), while the columns {vk , k = 1, . . . , n} of V are called the right singular vectors of A (the orthonormal eigenvectors of AT A). The matrix A can then be written (as a dyadic expansion) also in terms of the singular vectors as follows: r T σk uk vk . A= k=1 The matrix AT has m singular values, the positive square roots of the eigenvalues of AAT . The r [= rank(A)] nonzero singular values of A and AT are, of course, the same. The choice of AT A rather than i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-11 AAT in the definition of singular values is arbitrary. Only the nonzero singular values are usually of any real interest and their number, given the SVD, is the rank of the matrix. Naturally, the question of how to distinguish nonzero from zero singular values in the presence of rounding error is a nontrivial task. It is not generally advisable to compute the singular values of A by first finding the eigenvalues of AT A, √ tempting as that is. Consider the following example, where μ is a real number with |μ| < (so that fl(1 + μ2 ) = 1, where fl(·) denotes floating-point computation). Let ⎡ ⎤ 1 1 A = ⎣μ 0 ⎦ . 0 μ Then fl(AT A) = 1 1 1 . 1 √ ˆ So we compute σ1 = 2, σ2 = 0 leading to the (erroneous) conclusion that the rank of A is 1. Of course, ˆ if we could compute in infinite precision, we would find AT A = 1 + μ2 1 1 1 + μ2 with σ1 = 2 + μ2 , σ2 = |μ| and thus rank(A) = 2. The point is that by working with AT A we have unnecessarily introduced μ2 into the computations. The above example illustrates a potential pitfall in attempting to form and solve the normal equations in a linear least-squares problem and is at the heart of what makes square root filtering so attractive numerically. Very simplistically, square root filtering involves working directly on an “A-matrix,” for example, updating it, as opposed to updating an “AT Amatrix.” Square root filtering is usually implemented with the QR factorization (or some closely related algorithm) as described previously rather than SVD. Moreover, critical information may be lost irrecoverably by simply forming AT A. Returning now to the SVD, two features of this matrix factorization make it attractive in finite arithmetic: first, it can be computed in a numerically stable way, and second, singular values are well conditioned. Specifically, there is an efficient and numerically stable algorithm by Golub and Reinsch [8] which works directly on A to give the SVD. This algorithm has two phases. In the first phase, it computes orthogonal matrices U1 and V1 so that B = U1 T AV1 is in bidiagonal form, that is, only the elements on its diagonal and first superdiagonal are nonzero. In the second phase, the algorithm uses an iterative procedure to compute orthogonal matrices U2 and V2 so that U2 T BV2 is diagonal and nonnegative. The SVD defined in Equation 1.25 is then Σ = U T BV , where U = U1 U2 and V = V1 V2 . The computed U and V are orthogonal approximately to the working precision, and the computed singular values are the exact σi ’s for A + E, where E / A is a modest multiple of . Fairly sophisticated implementations of this algorithm can be found in [5,7]. The well-conditioned nature of the singular values follows from the fact that if A is perturbed to A + E, then it can be proved that σi (A + E) − σi (A) ≤ E . Thus, the singular values are computed with small absolute error although the relative error of sufficiently small singular values is not guaranteed to be small. It is now acknowledged that the singular value decomposition is the most generally reliable method of determining rank numerically (see [14, p. 589] for a more elaborate discussion). However, it is considerably more expensive to compute than, for example, the QR factorization which, with column pivoting [5], can usually give equivalent information with less computation. Thus, while the SVD is a useful theoretical tool, its use for actual computations should be weighed carefully against other approaches. i i
  • i i i i 1-12 Control System Advanced Methods The problem of numerical determination of rank is now well understood. The essential idea is to try to determine a “gap” between “zero” and the “smallest nonzero singular value” of a matrix A. Since the computed values are exact for a matrix near A, it makes sense to consider the ranks of all matrices in some δ-ball (with respect to the spectral norm · , say) around A. The choice of δ may also be based on measurement errors incurred in estimating the coefficients of A, or the coefficients may be uncertain because of rounding errors incurred in a previous computation. However, even with SVD, numerical determination of rank in finite arithmetic is a difficult problem. That other methods of rank determination are potentially unreliable is demonstrated by the following example. Consider the Ostrowski matrix A ∈ Rn×n whose diagonal elements are all −1, whose upper triangle elements are all +1, and whose lower triangle elements are all 0. This matrix is clearly of rank n, that is, is invertible. It has a good “solid” upper triangular shape. All of its eigenvalues (−1) are well away from zero. Its determinant (−1)n is definitely not close to zero. But this matrix is, in fact, very nearly singular and becomes more nearly so as n increases. Note, for example, that ⎡ −1 ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎣ 0 . . . +1 .. . .. . ··· .. . .. . ··· . .. . . . 0 .. . .. ··· . ··· .. .. . . 0 ⎤ +1 . ⎥ . ⎥⎡ ⎤ ⎡ −n+1 ⎤ ⎡ ⎤ . ⎥ −2 0 1 ⎥ ⎢0⎥ ⎥ ⎢ 2−1 ⎥ ⎢−2−n+1 ⎥ ⎥ ⎢ ⎥ ⎢ ⎥ ⎥⎢ = ⎥ → ⎢ . ⎥ (n → +∞). . . ⎥⎢ . ⎥ ⎢ . ⎦ ⎣.⎦ . ⎥⎣ . ⎦ ⎣ . . . . ⎥ ⎥ 2−n+1 −n+1 −2 0 ⎥ +1⎦ −1 Moreover, adding 2−n+1 to every element in the first column of A gives an exactly singular matrix. Arriving at such a matrix by, say, Gaussian elimination would give no hint as to the near singularity. However, it is easy to check that σn (A) behaves as 2−n+1 . A corollary for control theory is that eigenvalues do not necessarily give a reliable measure of “stability margin.” It is useful to note that in this example of an invertible matrix, the crucial quantity, σn (A), which measures nearness to singularity, is simply 1/ A−1 , and the result is familiar from standard operator theory. There is nothing intrinsic about singular values in this example and, in fact, A−1 might be more cheaply computed or estimated in other matrix norms. Because rank determination, in the presence of rounding error, is a nontrivial problem, the same difficulties naturally arise in any problem equivalent to, or involving, rank determination, such as determining the independence of vectors, finding the dimensions of certain subspaces, etc. Such problems arise as basic calculations throughout systems, control, and estimation theory. Selected applications are discussed in more detail in [14, p. 74] and in [1,4,10]. Finally, let us close this section with a brief example illustrating a totally inappropriate use of SVD. The rank condition rank [B, AB, . . . , An−1 B] = n (1.26) for the controllability of Equation 1.1 is too well known. Suppose A= with |μ| < √ 1 0 μ , 1 B= 1 μ . Then fl[B, AB] = 1 μ 1 , μ and now even applying SVD, the erroneous conclusion of uncontrollability is reached. Again the problem is in just forming AB; not even SVD can come to the rescue after that numerical faux pas. i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-13 1.4 Applications to Systems and Control A reasonable approach to developing numerically reliable algorithms for computational problems in linear system theory would be to reformulate the problems as concatenations of subproblems for which numerically stable algorithms are available. Unfortunately, one cannot ensure that the stability of algorithms for the subproblems results in the stability of the overall algorithm. This requires separate analysis that may rely on the sensitivity or condition of the subproblems. In the next section, we show that delicate (i.e., badly conditioned) subproblems should be avoided whenever possible; a few examples are given where a possibly badly conditioned step is circumvented by carefully modifying or completing existing algorithms; see, for example, [14, p. 109]. A second difficulty is the ill-posedness of some of the problems occurring in linear system theory. Two approaches can be adopted. One can develop an acceptable perturbation theory for such problems, using a concept such as restricted condition, which is, the condition under perturbations for which a certain property holds, for example, fixed rank [14, p. 109]. One then looks for restricting assumptions that make the problem well posed. Another approach is to delay any such restricting choices to the end and leave it to the user to decide which choice to make by looking at the results. The algorithm then provides quantitative measures that help the user make this choice; see, for example, [14, p. 171, 529]. By this approach, one may avoid artificial restrictions of the first approach that sometimes do not respect the practical significance of the problem. A third possible pitfall is that many users almost always prefer fast algorithms to slower ones. However, slower algorithms are often more reliable. In the subsections that follow, we survey a representative selection of numerical linear algebra problems arising in linear systems, control, and estimation theory, which have been examined with some of the techniques described in the preceding sections. Many of these topics are discussed briefly in survey papers such as [11] and [16] and in considerably more detail in the papers included or referenced in [14] and in [1,4,10]. Some of the scalar algorithms discussed here do not extend trivially to the matrix case. When they do, we mention only the matrix case. Moreover, we discuss only the numerical aspects here; for the system-theoretical background, we refer the reader to the control and systems literature. 1.4.1 Some Typical Techniques Most of the reliable techniques in numerical linear algebra are based on the use of orthogonal transformations. Typical examples of this are the QR decomposition for least-squares problems, the Schur decomposition for eigenvalue and generalized eigenvalue problems, and the SVD for rank determinations and generalized inverses. Orthogonal transformations also appear in most of the reliable linear algebra techniques for control theory. This is partly due to the direct application of existing linear algebra decompositions to problems in control. Obvious examples of this are the Schur approach for solving algebraic Riccati equations, both continuous- and discrete-time [14, p. 529, 562, 573], for solving Lyapunov equations [14, p. 430] and for performing pole placement [14, p. 415]. New orthogonal decompositions have also been introduced that rely heavily on the same principles but were specifically developed for problems encountered in control. Orthogonal state-space transformations on a system {A, B, C} result in a new state-space representation {U H AU, U H B, CU}, where U performs some kind of decomposition on the matrices A, B, and C. These special forms, termed “condensed forms,” include • • • • The state Schur form [14, p. 415] The state Hessenberg form [14, p. 287] The observer Hessenberg form [14, p. 289, 392] The controller Hessenberg form [14, p. 128, 357]. Staircase forms or block Hessenberg forms are other variants of these condensed forms that have proven useful in dealing with MIMO systems [14, p. 109, 186, 195]. i i
  • i i i i 1-14 Control System Advanced Methods There are two main reasons for using these orthogonal state-space transformations: • The numerical sensitivity of the control problem being solved is not affected by these transformations because sensitivity is measured by norms or angles of certain spaces and these are unaltered by orthogonal transformations. • Orthogonal transformations have minimum condition number, essential in proving bounded error propagation and establishing numerical stability of the algorithm that uses such transformations. More details on this are given in [14, p. 128] and in subsequent sections where some of these condensed forms are used for particular applications. 1.4.2 Transfer Functions, Poles, and Zeros In this section, we discuss important structural properties of linear systems and the numerical techniques available for determining them. The transfer function R(λ) of a linear system is given by a polynomial representation V (λ)T −1 (λ)U(λ) + W(λ) or by a state-space model C(λI − A)−1 B + D. The results in this subsection hold for both the discrete-time case (where λ stands for the shift operator z) and the continuous-time case (where λ stands for the differentiation operator D). 1.4.2.1 The Polynomial Approach One is interested in a number of structural properties of the transfer function R(λ), such as poles, transmission zeros, decoupling zeros, etc. In the scalar case, where {T(λ), U(λ), V (λ), W(λ)} are scalar polynomials, all of this can be found with a greatest common divisor (GCD) extraction routine and a rootfinder, for which reliable methods exist. In the matrix case, the problem becomes much more complex and the basic method for GCD extraction, the Euclidean algorithm, becomes unstable (see [14, p. 109]). Moreover, other structural elements (null spaces, etc.) come into the picture, making the polynomial approach less attractive than the state-space approach [14, p. 109, and references therein]. 1.4.2.2 The State-Space Approach The structural properties of interest are poles and zeros of R(λ), decoupling zeros, controllable and unobservable subspaces, supremal (A, B)-invariant and controllability subspaces, factorizability of R(λ), left and right null spaces of R(λ), etc. These concepts are fundamental in several design problems and have received considerable attention over the last few decades; see, for example, [14, p. 74, 109, 174, 186, 529]. In [14, p. 109], it is shown that all the concepts mentioned above can be considered generalized eigenstructure problems and that they can be computed via the Kronecker canonical form of the pencils [λI − A] λI − A −C [λI − A | B] λI − A −C B D (1.27) or from other pencils derived from these. Backward stable software is also available for computing the Kronecker structure of an arbitrary pencil. A remaining problem here is that determining several of the structural properties listed above may be ill-posed in some cases in which one has to develop the notion of restricted condition (see [14, p. 109]). A completely different approach is to reformulate the problem as an approximation or optimization problem for which quantitative measures are derived, leaving the final choice to the user. Results in this vein are obtained for controllability, observability [14, p. 171, 186, 195] (almost) (A, B)-invariant, and controllability subspaces. i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-15 1.4.3 Controllability and Other “Abilities” The various “abilities” such as controllability, observability, reachability, reconstructibility, stabilizability, and detectability are basic to the study of linear control and system theory. These concepts can also be viewed in terms of decoupling zeros, controllable and unobservable subspaces, controllability subspaces, etc. mentioned in the previous section. Our remarks here are confined, but not limited, to the notion of controllability. A large number of algebraic and dynamic characterizations of controllability have been given; see [11] for a sample. But each one of these has difficulties when implemented in finite arithmetic. For a survey of this topic and numerous examples, see [14, p. 186]. Part of the difficulty in dealing with controllability numerically lies in the intimate relationship with the invariant subspace problem [14, p. 589]. The controllable subspace associated with Equation 1.1 is the smallest A-invariant subspace (subspace spanned by eigenvectors or principal vectors) containing the range of B. Since the A-invariant subspaces can be extremely sensitive to perturbation, it follows that, so too, is the controllable subspace. Similar remarks apply to the computation of the so-called controllability indices. The example discussed in the third paragraph of Section 1.2 dramatically illustrates these remarks. The matrix A has but one eigenvector (associated with 0), whereas the slightly perturbed A has n eigenvectors associated with the n distinct eigenvalues. Attempts have been made to provide numerically stable algorithms for the pole placement problem discussed in a later section. It suffices to mention here that the problem of pole placement by state feedback is closely related to controllability. Work on developing numerically stable algorithms for pole placement is based on the reduction of A to a Hessenberg form; see, for example, [14, p. 357, 371, 380]. In the single-input case, a good approach is the controller Hessenberg form mentioned above where the state matrix A is upper Hessenberg and the input vector B is a multiple of (1, 0, . . . , 0)T . The pair (A, B) is then controllable if, and only if, all (n − 1) subdiagonal elements of A are nonzero. If a subdiagonal element is 0, the system is uncontrollable, and a basis for the uncontrollable subspace is easily constructed. The transfer function gain or first nonzero Markov parameter is also easily constructed from this “canonical form.” In fact, the numerically more robust system Hessenberg form, playing an ever-increasing role in system theory, is replacing the numerically more fragile special case of the companion or rational canonical or Luenberger canonical form. A more important aspect of controllability is a topological notion such as “near uncontrollability.” But there are numerical difficulties here also, and we refer to Parts 3 and 4 of [14] for further details. Related to this is an interesting system-theoretic concept called “balancing” discussed in Moore’s paper [14, p. 171]. The computation of “balancing transformations” is discussed in [14, p. 642]. There are at least two distinct notions of near uncontrollability [11] in the parametric sense and in the energy sense. In the parametric sense, a controllable pair (A, B) is said to be near uncontrollable if the parameters of (A, B) need be perturbed by only a relatively small amount for (A, B) to become uncontrollable. In the energy sense, a controllable pair is near-uncontrollable if large amounts of control energy ( uT u) are required for a state transfer. The pair ⎡ 0 ⎢. ⎢. ⎢. ⎢ A=⎢ ⎢. ⎢. ⎣. 0 1 .. . ··· .. . .. ··· . ··· ⎤ 0 .⎥ .⎥ .⎥ ⎥ ⎥, ⎥ ⎥ 1⎦ 0 ⎡ ⎤ 0 ⎢.⎥ ⎢.⎥ B = ⎢.⎥ ⎣0⎦ 1 is very near-uncontrollable in the energy sense but not as badly as in the parametric sense. Of course, both measures are coordinate dependent and “balancing” is one attempt to remove this coordinate bias. The pair (A, B) above is in “controllable canonical form.” It is now known that matrices in this form i i
  • i i i i 1-16 Control System Advanced Methods (specifically, the A matrix in rational canonical form) almost always exhibit poor numerical behavior and are “close to” uncontrollable (unstable, etc.) as the size n increases. For details, see [14, p. 59]. 1.4.4 Computation of Objects Arising in the Geometric Theory of Linear Multivariable Control A great many numerical problems arise in the geometric approach to control of systems modeled as Equations 1.1 and 1.2. Some of these are discussed in the paper by Klema and Laub [14, p. 74]. The power of the geometric approach derives in large part from the fact that it is independent of specific coordinate systems or matrix representations. Numerical issues are a separate concern. A very thorough numerical treatment of numerical problems in linear system theory has been given by Van Dooren [14, p. 109]. This work has applications for most calculations with linear state-space models. For example, one by-product is an extremely reliable algorithm (similar to an orthogonal version of Silverman’s structure algorithm) for the computation of multivariable system zeros [14, p. 271]. This method involves a generalized eigenvalue problem (the Rosenbrock pencil), but the “infinite zeros” are first removed by deflating the given matrix pencil. 1.4.5 Frequency Response Calculations Many properties of a linear system such as Equations 1.1 and 1.2 are known in terms of its frequency response matrix G( jω) : = C( jωI − A)−1 B + D; (ω ≥ 0) (1.28) (or G(ejθ ); θ ∈ [0, 2π] for Equations 1.3 and 1.4). In fact, various norms of the return difference matrix I + G( jω) and related quantities have been investigated in control and system theory to providing robust linear systems with respect to stability, noise response, disturbance attenuation, sensitivity, etc. Thus it is important to compute G( jω) efficiently, given A, B, and C for a (possibly) large number of values of ω (for convenience we take D to be 0, because if it is nonzero it is trivial to add to G). An efficient and generally applicable algorithm for this problem is presented in [14, p. 287]. Rather than solving the linear equation ( jωI − A)X = B with dense unstructured A, which would require O(n3 ) operations for each successive value of ω, the new method initially reduces A to upper Hessenberg form H. The orthogonal state-space coordinate transformations used to obtain the Hessenberg form of A ˜ ˜ are incorporated into B and C giving B and C. As ω varies, the coefficient matrix in the linear equa˜ tion ( jωI − H)X = B remains in upper Hessenberg form. The advantage is that X can now be found in O(n2 ) operations rather than O(n3 ) as before, a substantial saving. Moreover, the method is numerically very stable (via either LU or QR factorization) and has the advantage of being independent of the eigenstructure (possibly ill-conditioned) of A. Another efficient and reliable algorithm for frequency response computation [14, p. 289] uses the observer Hessenberg form mentioned in Section 1.4.1 together with a determinant identity and a property of the LU decomposition of a Hessenberg matrix. The methods above can also be extended to state-space models in implicit form, that is, where Equation 1.1 is replaced by E x = Ax + Bu. ˙ (1.29) Then Equation 1.28 is replaced with G( jω) = C( jωE − A)−1 B + D, (1.30) and the initial triangular/Hessenberg reduction [8] can be employed again to reduce the problem to updating the diagonal of a Hessenberg matrix and consequently an O(n2 ) problem. An improvement for the frequency response evaluation problem is using matrix interpolation methods to achieve even greater computational efficiency. i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-17 1.4.6 Numerical Solution of Linear Ordinary Differential Equations and Matrix Exponentials The “simulation” or numerical solution of linear systems of ordinary differential equations (ODEs) of the form x (t) = Ax(t) + f (t), x(0) = x0 , ˙ (1.31) is a standard problem that arises in finding the time response of a system in state-space form. However, there is still debate as to the most effective numerical algorithm, particularly when A is defective (i.e., when A is n × n and has fewer than n linearly independent eigenvectors) or nearly defective. The most common approach involves computing the matrix exponential etA , because the solution of Equation 1.31 can be written simply as t x(t) = etA x0 + e(t−s)A f (s) ds. 0 A delightful survey of computational techniques for matrix exponentials is given in [14, p. 649]. Nineteen “dubious” ways are explored (there are many more ways not discussed) but no clearly superior algorithm is singled out. Methods based on Padé approximation or reduction of A to RSF are generally attractive while methods based on Taylor series or the characteristic polynomial of A are generally found unattractive. An interesting open problem is the design of a special algorithm for the matrix exponential when the matrix is known a priori to be stable (Λ(A) in the left half of the complex plane). The reason for the adjective “dubious” in the title of [14, p. 649] is that in many (maybe even most) circumstances, it is better to treat Equation 1.31 as a system of differential equations, typically stiff, and to apply various ODE techniques, specially tailored to the linear case. ODE techniques are preferred when A is large and sparse for, in general, etA is unmanageably large and dense. 1.4.7 Lyapunov, Sylvester, and Riccati Equations Certain matrix equations arise naturally in linear control and system theory. Among those frequently encountered in the analysis and design of continuous-time systems are the Lyapunov equation AX + XAT + Q = 0, (1.32) AX + XF + Q = 0. (1.33) AXAT − X + Q = 0 (1.34) AXF − X + Q = 0. (1.35) and the Sylvester equation The appropriate discrete-time analogs are and Various hypotheses are posed for the coefficient matrices A, F, and Q to ensure certain properties of the solution X. The literature in control and system theory on these equations is voluminous, but most of it is ad hoc, at best, from a numerical point of view, with little attention to questions of numerical stability, conditioning, machine implementation, and the like. For the Lyapunov equation, the best overall algorithm in terms of efficiency, accuracy, reliability, availability, and ease of use is that of Bartels and Stewart [14, p. 430]. The basic idea is to reduce A to quasi-upper triangular form (or RSF) and to perform a back substitution for the elements of X. An attractive algorithm for solving Lyapunov equations has been proposed by Hammarling [14, p. 500]. This algorithm is a variant of the Bartels–Stewart algorithm but instead solves directly for the Cholesky i i
  • i i i i 1-18 Control System Advanced Methods factor Y of X: Y T Y = X and Y is upper triangular. Clearly, given Y , X is easily recovered if necessary. But in many applications, for example, [14, p. 642] only the Cholesky factor is required. For the Lyapunov equation, when A is stable, the solutions of the equations above are also equal to the reachability and observability Grammians Pr (T) and Po (T), respectively, for T = +∞ for the system {A, B, C}: T Pr (T) = T etA BBT etA dt; 0 T T etA C T CetA dt 0 (1.36) T k Pr (T) = T Po (T) = T T k A BB (A ) ; k=0 T k T Po (T) = k (A ) C CA . k=0 These can be used along with some additional transformations (see [14, p. 171, 642]) to compute the ˜ ˜ ˜ so-called balanced realizations {A, B, C}. For these realizations, both Po and Pr are equal and diagonal. These realizations have some nice sensitivity properties with respect to poles, zeros, truncation errors in digital filter implementations, etc. [14, p. 171]. They are, therefore, recommended whenever the choice of a realization is left to the user. When A is not stable, one can still use the finite range Grammians Equation 1.36, for T < +∞, for balancing [14, p. 171]. A reliable method for computing integrals and sums of the type Equation 1.36 can be found in [14, p. 681]. It is also shown in [14, p. 171] that the reachable subspace and the unobservable subspace are the image and the kernel of Pr (T) and Po (T), respectively. From these relationships, sensitivity properties of the spaces under perturbations of Pr (T) and Po (T) can be derived. For the Sylvester equation, the Bartels–Stewart algorithm reduces both A and F to RSF and then a back substitution is done. It has been demonstrated in [14, p. 495] that some improvement in this procedure is possible by only reducing the larger of A and F to upper Hessenberg form. The stability of this method has been analyzed in [14, p. 495]. Although only weak stability is obtained, this is satisfactory in most cases. Algorithms are also available in the numerical linear algebra literature for the more general Sylvester equation A1 XF1 T + A2 XF2 T + Q = 0 and its symmetric Lyapunov counterpart AXF T + FXAT + Q = 0. Questions remain about estimating the condition of Lyapunov and Sylvester equations efficiently and reliably in terms of the coefficient matrices. A deeper analysis of the Lyapunov and Sylvester equations is probably a prerequisite to at least a better understanding of condition of the Riccati equation for which, again, there is considerable theoretical literature but not as much known from a purely numerical point of view. The symmetric n × n algebraic Riccati equation takes the form Q + AX + XAT − XGX = 0 (1.37) T T AT XA − X − AT XG1 (G2 + G1 XG1 )−1 G1 XA + Q = 0 (1.38) for continuous-time systems and for discrete-time systems. These equations appear in several design/analysis problems, such as optimal control, optimal filtering, spectral factorization, for example, see the papers in Part 7 of [14] and references therein. Again, appropriate assumptions are made on the coefficient matrices to guarantee the existence and/or uniqueness of certain kinds of solutions X. Nonsymmetric Riccati equations of the form Q + A1 X + XA2 − XGX = 0 (1.39) for the continuous-time case (along with an analog for the discrete-time case) are also studied and can be solved numerically by the techniques discussed below. i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-19 Several algorithms have been proposed based on different approaches. One of the more reliable generalpurpose methods for solving Riccati equations is the Schur method [14, p. 529]. For the case of Equation 1.37, for example, this method is based on reducing the associated 2n × 2n Hamiltonian matrix A −G −Q −AT (1.40) to RSF. If the RSF is ordered so that its stable eigenvalues (there are exactly n of them under certain standard assumptions) are in the upper left corner, the corresponding first n vectors of the orthogonal matrix, which effects the reduction, forms a basis for the stable eigenspace from which the nonnegative definite solution X is then easily found. Extensions to the basic Schur method have been made [14, p. 562, 573], which were prompted by the following situations: • G in Equation 1.37 is of the form BR−1 BT , where R may be nearly singular, or G2 in Equation 1.38 may be exactly or nearly singular. • A in Equation 1.38 is singular (A−1 is required in the classical approach involving a symplectic matrix that plays a role analogous to Equation 1.40). This resulted in the generalized eigenvalue approach requiring the computation of a basis for the deflating subspace corresponding to the stable generalized eigenvalues. For the solution of Equation 1.37, the generalized eigenvalue problem is given by ⎡ ⎤ ⎡ ⎤ I 0 0 A 0 B λ ⎣0 I 0⎦ − ⎣−Q −AT 0 ⎦ ; (1.41) 0 0 0 0 BT R for Equation 1.38, the corresponding problem is ⎤ ⎡ ⎡ A I 0 0 λ ⎣ 0 AT 0 ⎦ − ⎣ −Q 0 G1 T 0 0 0 I 0 ⎤ −G1 0 ⎦. G2 (1.42) The extensions above can be generalized even further, as the following problem illustrates. Consider the optimal control problem 1 2 +∞ [x T Qx + 2x T Su + uT Ru] dt (1.43) E x = Ax + Bu. ˙ min (1.44) 0 subject to The Riccati equation associated with Equations 1.43 and 1.44 then takes the form E T XBR−1 BT XE − (A − BR−1 ST )T XE − E T X(A − BR−1 ST ) − Q + SR−1 ST = 0 or (1.45) (E T XB + S)R−1 (BT XE + ST ) − AT XE − E T XA − Q = 0. (1.46) This so-called “generalized” Riccati equation can be solved by considering the associated matrix pencil ⎤ ⎤ ⎡ ⎡ E 0 0 A 0 B ⎣−Q −AT −S ⎦ − λ ⎣ 0 E T 0⎦. (1.47) ST 0 0 0 BT R Note that S in Equation 1.43 and E in Equation 1.44 are handled directly and no inverses appear. The presence of a nonsingular E in state-space models of the form Equation 1.44 adds no particular difficulty i i
  • i i i i 1-20 Control System Advanced Methods to the solution process and is numerically the preferred form if E is, for example, near singular or even sparse. Similar remarks apply to the frequency response problem in Equations 1.29 and 1.30 and, indeed, throughout all of linear control and system theory. The stability and conditioning of these approaches are discussed in [14, p. 529, 573]. Other methods, including Newton’s method and iterative refinement, have been analyzed in, for example, [14, p. 517]. Numerical algorithms for handling Equations 1.41, 1.42, and 1.47 and a large variety of related problems are described in [14, p. 421, 573]. A thorough survey of the Schur method, generalized eigenvalue/eigenvector extensions, and the underlying algebraic structure in terms of “Hamiltonian pencils” and “symplectic pencils” is included in [3,12]. Schur techniques can also be applied to Riccati differential and difference equations and to nonsymmetric Riccati equations that arise, for example, in invariant imbedding methods for solving linear twopoint boundary value problems. As with the linear Lyapunov and Sylvester equations, satisfactory results have been obtained concerning condition of Riccati equations, a topic of great interest independent of the solution method used, be it a Schur-type method or one of numerous alternatives. We refer to [1] for a further discussion on this. A very interesting class of invariant-subspace-based algorithms for solving the Riccati equation and related problems uses the so-called matrix sign function. These methods, which are particularly attractive for very large-order problems, are described in detail in [14, p. 486] and the references therein. These algorithms are based on Newton’s method applied to a certain matrix equation. A new family of iterative algorithms of arbitrary order convergence has been developed in [14, p. 624]. This family of algorithms can be parallelized easily and yields a viable method of solution for very high-order Riccati equations. 1.4.8 Pole Assignment and Observer Design Designing state or output feedback for a linear system, so that the resulting closed-loop system has a desired set of poles, can be considered an inverse eigenvalue problem. The state feedback pole assignment problem is as follows: Given a pair (A, B), one looks for a matrix F so that the eigenvalues of the matrix AF = A + BF lie at specified locations or in specified regions. Many approaches have been developed for solving this problem. However, the emphasis is on numerically reliable methods and consideration of the numerical sensitivity of the problem, for example, see the papers in Part 6 of [14]. Special cases of the pole assignment problem arise in observer design [14, p. 407], and in deadbeat control for discrete-time systems (where A + BF is required to be nilpotent) [14, p. 392]. The numerically reliable methods for pole assignment are based on reducing A to either an RSF, [14, p. 415], or to a Hessenberg or block Hessenberg (staircase) form [14, p. 357, 380]. The latter may be regarded a numerically robust alternative to the controllable or Luenberger canonical form whose computation is known to be numerically unreliable [14, p. 59]. For multi-input systems, the additional freedom available in the state-feedback matrix can be used for eigenvector assignment and sensitivity minimization for the closed-loop poles [14, p. 333]. There the resulting matrix AF is not computed directly, but instead the matrices Λ and X of the decomposition AF = XΛX −1 are computed via an iterative technique. The iteration aims to minimize the sensitivity of the placed eigenvalues λi or to maximize the orthogonality of the eigenvectors xi . Pole assignment by output feedback is more difficult, theoretically as well as computationally. Consequently, there are a few numerically reliable algorithms available [14, p. 371]. Other works on pole assignment have been concerned with generalized state-space or descriptor systems. The problem of observer design for a given state-space system {A, B, C} is finding matrices T, AK , and K so that TAK − AT = KC (1.48) i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-21 whereby the spectrum of AK is specified. Because this is an underdetermined (and nonlinear) problem in the unknown parameters of T, AK , and K, one typically sets T = I and Equation 1.48 then becomes AK = A + KC, which is a transposed pole placement problem. In this case, the above techniques of pole placement automatically apply here. In reduced order design, T is nonsquare and thus cannot be equated to the identity matrix. One can still solve Equation 1.48 via a recurrence relationship when assuming AK in Schur form [14, p. 407]. 1.4.9 Robust Control In the last decade, there has been significant growth in the theory and techniques of robust control; see, for example, [6] and the references therein. However, the area of robust control is still evolving and its numerical aspects have just begun to be addressed [13]. Consequently, it is premature to survey reliable numerical algorithms in the area. To suggest the flavor of the numerical and computational issues involved, in this section we consider a development in robust control that has attracted a great deal of attention, the so-called H∞ approach. H∞ and the related structured singular value approach have provided a powerful framework for synthesizing robust controllers for linear systems. The controllers are robust, because they achieve desired system performance despite a significant amount of uncertainty in the system. In this section, we denote by R(s)n×m the set of proper real rational matrices of dimension n × m. The H∞ norm of a stable matrix G(s) ∈ R(s)n×m is defined as G(s) ∞ := sup σmax [G( jω)], (1.49) ω∈R where σmax [·] denotes the largest singular value of a (complex) matrix. Several iterative methods are available for computing this norm. In one approach, a relationship is established between the singular values of G(jw) and the imaginary eigenvalues of a Hamiltonian matrix obtained from a state-space realization of G(s). This result is then used to develop an efficient bisection algorithm for computing the H∞ norm of G(s). To describe the basic H∞ approach, consider a linear, time-invariant system described by the statespace equations x (t) = Ax(t) + B1 w(t) + B2 u(t), ˙ z(t) = C1 x(t) + D11 w(t) + D12 u(t), (1.50) y(t) = C2 x(t) + D21 w(t) + D22 u(t), where x(t) ∈ Rn denotes the state vector; w(t) ∈ Rm1 is the vector of disturbance inputs; u(t) ∈ Rm2 is the vector of control inputs; z(t) ∈ Rp1 is the vector of error signals; and y(t) ∈ Rp2 is the vector of measured w z variables. The transfer function relating the inputs to the outputs is u y G(s) := = G11 (s) G21 (s) D11 D21 G12 (s) G22 (s) C D12 + 1 (sI − A)−1 B1 D22 C2 (1.51) B2 . (1.52) Implementing a feedback controller defined by u = K(s)y i (1.53) i
  • i i i i 1-22 Control System Advanced Methods where K(s) ∈ R(s)m2 ×p2 , we obtain the closed-loop transfer matrix Tzw (s) ∈ R(s)p1 ×m1 from the disturbance w to the regulated output z Tzw := G11 + G12 K(I − G22 K)−1 G21 . (1.54) Next, define the set K of all internally stabilizing feedback controllers for the system in Equation 1.50, that is, K := {K(s) ∈ R(s)m2 ×p2 : Tzw (s) is internally stable}. Now let K(s) ∈ K, and define γ := Tzw (s) ∞. (1.55) Then the H∞ control problem is to find a controller K(s) ∈ K that minimizes γ. The optimal value of γ is defined as γopt := inf Tzw (s) ∞ . (1.56) K∈K The original formulation of this problem was in an input–output setting, and the early methods for computing γopt used either an iterative search involving spectral factorization and solving the resulting Nehari problem or computed the spectral norm of the associated Hankel plus Toeplitz operator. In a state-space formulation for computing γopt , promising from the viewpoint of numerical computation, the problem is formulated in terms of two algebraic Riccati equations that depend on a gain parameter γ. Then, under certain assumptions [13], it can be shown that for a controller K(s) ∈ K to exist so that Tzw ∞ < γ, three conditions have to be satisfied, namely, stabilizing solutions exist for the two Riccati equations, and the spectral radius of the product of the solutions is bounded by γ2 . If these conditions are satisfied for a particular value of γ, the corresponding controller K(s) can be obtained from the solutions of the Riccati equations. The optimal gain, γopt , is the infimum over all suboptimal values of γ such that the three conditions are satisfied. The approach above immediately suggests a bisection-type algorithm for computing γopt . However, such an algorithm can be very slow in the neighborhood of the optimal value. To obtain speedup near the solution, a gradient approach is proposed in [13]. The behavior of the Riccati solution as a function of γ is used to derive an algorithm that couples a gradient method with bisection. It has been pointed out in [13] that the Riccati equation can become ill-conditioned as the optimal value of γ is approached. It is therefore recommended in [13] that, instead of computing the Riccati solutions explicitly, invariant subspaces of the associated Hamiltonian matrices should be used. 1.5 Mathematical Software 1.5.1 General Remarks The previous sections have highlighted some topics from numerical linear algebra and their application to numerical problems arising in systems, control, and estimation theory. These problems represent only a very small subset of numerical problems of interest in these fields but, even for problems apparently “simple” from a mathematical viewpoint, the myriad of details that constitute a sophisticated implementation become so overwhelming that the only effective means of communicating an algorithm is through mathematical software. Mathematical or numerical software is an implementation on a computer of an algorithm for solving a mathematical problem. Ideally, such software would be reliable, portable, and unaffected by the machine or system environment. The prototypical work on reliable, portable mathematical software for the standard eigenproblem began in 1968. EISPACK, Editions I and II [7,15], were an outgrowth of that work. Subsequent efforts of interest to control engineers include LINPACK [5] for linear equations and linear least-squares problems, FUNPACK (Argonne) for certain function evaluations, MINPACK (Argonne) for certain optimization problems, and various ODE and PDE codes. High-quality algorithms are published regularly in the i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-23 ACM Transactions on Mathematical Software. LAPACK, the successor to LINPACK and EISPACK, is designed to run efficiently on a wide range of machines, including vector processors, shared-memory multiprocessors, and high-performance workstations. Technology to aid in developing mathematical software in Fortran has been assembled as a package called TOOLPACK. Mechanized code development offers other advantages with respect to modifications, updates, versions, and maintenance. Inevitably, numerical algorithms are strengthened when their mathematical software is portable, because they can be used widely. Furthermore, such a software is markedly faster, by factors of 10 to 50, than earlier and less reliable codes. Many other features besides portability, reliability, and efficiency characterize “good” mathematical software, for example, • • • • • • • • • High standards of documentation and style so as to be easily understood and used Ease of use; ability of the user to interact with the algorithm Consistency/compatibility/modularity in the context of a larger package or more complex problem Error control, exception handling Robustness in unusual situations Graceful performance degradation as problem domain boundaries are approached Appropriate program size (a function of intended use, e.g., low accuracy, real-time applications) Availability and maintenance “Tricks” such as underflow-/overflow-proofing, if necessary, and the implementation of columnwise or rowwise linear algebra Clearly, the list can go on. What becomes apparent from these considerations is that evaluating mathematical software is a challenging task. The quality of software is largely a function of its operational specifications. It must also reflect the numerical aspects of the algorithm being implemented. The language used and the compiler (e.g., optimizing or not) for that language have an enormous impact on quality, perceived and real, as does the underlying hardware and arithmetic. Different implementations of the same algorithm can have markedly different properties and behavior. One of the most important and useful developments in mathematical software for most control engineers has been very high-level systems such as MATLAB and Scilab. These systems spare the engineer the drudgery of working at a detailed level with languages such as Fortran and C, and they provide a large number of powerful computational “tools” (frequently through the availability of formal “toolboxes”). For many problems, the engineer must still have some knowledge of the algorithmic details embodied in such a system. 1.5.2 Mathematical Software in Control Many aspects of systems, control, and estimation theory are at the stage from which one can start the research and design necessary to produce reliable, portable mathematical software. Certainly, many of the underlying linear algebra tools (e.g., in EISPACK, LINPACK, and LAPACK) are considered sufficiently reliable to be used as black, or at least gray, boxes by control engineers. An important development in this area is the SLICOT library, which is described in [1, p. 60]. Much of that theory and methodology can and has been carried over to control problems, but this applies only to a few basic control problems. Typical examples are Riccati equations, Lyapunov equations, and certain basic state-space transformations and operations. Much of the work in control, particularly design and synthesis, is simply not amenable to nice, “clean” algorithms. The ultimate software must be capable of enabling a dialogue between the computer and the control engineer, but with the latter probably still making the final engineering decisions. i i
  • i i i i 1-24 Control System Advanced Methods 1.6 Concluding Remarks Several numerical issues and techniques from numerical linear algebra together with a number of important applications of these ideas have been outlined. A key question in these and other problems in systems, control, and estimation theory is what can be computed reliably and used in the presence of parameter uncertainty or structural constraints (e.g., certain “hard zeros”) in the original model, and rounding errors in the calculations. However, because the ultimate goal is to solve real problems, reliable tools (mathematical software) and experience must be available to effect real solutions or strategies. The interdisciplinary effort during the last few decades has significantly improved our understanding of the issues involved in reaching this goal and has resulted in some high-quality control software based on numerically reliable and well-tested algorithms. This provides clear evidence of the fruitful symbiosis between numerical analysis and numerical problems from control. We expect this symbiotic relationship to flourish, as control engineering realizes the full potential of the computing power becoming more widely available in multiprocessing systems and high-performance workstations. However, as in other applications areas, software continues to act as a constraint and a vehicle for progress. Unfortunately, high-quality software is very expensive. In this chapter, we have focused only on dense numerical linear algebra problems in systems and control. Several related topics that have not been covered here are, for example, parallel algorithms, algorithms for sparse or structured matrices, optimization algorithms, ODE algorithms, algorithms for differential-algebraic systems, and approximation algorithms. These areas are well established in their own right, but for control applications a lot of groundwork remains undone. The main reason we have confined ourselves to dense numerical linear algebra problems in systems and control is that, in our opinion, this area has reached a mature level where definitive statements and recommendations can be made about various algorithms and other developments. References 1. Varga, A. et al. The amazing power of numerical awareness in Control, IEEE Control Systems Magazine pp. 14–76, 24, February 2004. 2. Anderson, E., Bai, Z., Bischof, C., Blackford, S., Demmel, J., Dongarra, J., DuCroz, J., et al. LAPACK Users’ Guide (3rd edition), SIAM, Philadelphia, PA, 1999. 3. Bunse-Gerstner, A., Byers, R., and Mehrmann, V., Numerical methods for algebraic Riccati equations, in Proceedings of Workshop on the Riccati Equation in Control, Systems, and Signals (Como, Italy) Bittanti, S., Ed., Pitagora, Bologna, Italy, pp. 107–116, 1989. 4. Datta, B.N., Linear Algebra and Applications (2nd edition), SIAM, Philadelphia, PA, 2010. 5. Dongarra, J.J., Bunch, J.R., Moler, C.B., and Stewart, G.W., LINPACK Users’ Guide, SIAM, Philadelphia, PA, 1979. 6. Dorato, P. and Yedavalli, R.K., Eds., Recent Advances in Robust Control, Selected Reprint Series, IEEE Press, New York, 1990. 7. Garbow, B.S., Boyle, J.M., Dongarra, J.J., and Moler, C.B., Matrix Eigensystem Routines—EISPACK Guide Extension, in Lecture Notes in Computer Science, Springer (vol. 51) New York, 1977. 8. Golub, G.H. and Van Loan, C.F., Matrix Computations (3rd edition), Johns Hopkins University Press, Baltimore, MD, 1996. 9. Higham, N.J., Accuracy and Stability of Numerical Algorithms (2nd edition), SIAM, Philadelphia, PA, 2002. 10. Higham, N.J., Functions of Matrices. Theory and Computation, SIAM, Philadelphia, PA, 2008. 11. Laub, A.J., Survey of computational methods in control theory, in Electric Power Problems: The Mathematical Challenge, Erisman, A.M., Neves, K.W., and Dwarakanath, M.H., Eds., SIAM, Philadelphia, PA, pp. 231–260, 1980. 12. Laub, A.J., Invariant subspace methods for the numerical solution of Riccati equations, in The Riccati Equation, Bittanti, S., Laub, A.J., and Willems, J.C., Eds., Springer, Berlin, pp. 163–196, 1991. 13. Pandey, P. and Laub, A.J., Numerical issues in robust control design techniques, in Control and Dynamic Systems—Advances in Theory and Applications: Digital and Numeric Techniques and Their Applications in Control Systems, vol. 55, Leondes, C.T., Ed., Academic, San Diego, CA, pp. 25–50, 1993. i i
  • i i i i Numerical and Computational Issues in Linear Control and System Theory 1-25 14. Patel, R.V., Laub, A.J., and Van Dooren, P.M., Eds., Numerical Linear Algebra Techniques for Systems and Control, Selected Reprint Series, IEEE Press, New York, 1994. 15. Smith, B.T, Boyle, J.M., Dongarra, J.J., Garbow, B.S., Ikebe, Y., Klema, V.C., and Moler, C.B., Matrix Eigensystem Routines—EISPACK Guide, in Lecture Notes in Computer Science, vol. 6, Springer, New York, 1976. 16. Van Dooren, P., Numerical aspects of system and control algorithms, Journal A, 30, pp. 25–32, 1989. 17. Wilkinson, J.H., The Algebraic Eigenvalue Problem, Oxford University Press, Oxford, England, 1965. i i
  • i i i i 2 Multivariable Poles, Zeros, and Pole-Zero Cancellations 2.1 2.2 Introduction ........................................................ 2-1 Unforced Linear Systems ................................... 2-1 Eigenvectors and Eigenvalues • The Matrix Exponential • Definition of Modes • Multivariable Poles 2.3 Forced Linear Time-Invariant Systems ............. 2-4 Solution to Forced Systems • Controllability and Observability • Other Tests for Controllability and Observability 2.4 Multivariable Transmission Zeros..................... 2-6 Definition of MIMO Transmission Zeros • Calculation of Transmission Zeros • Transmission Zeros for Nonsquare Systems Joel Douglas Massachusetts Institute of Technology 2.5 Multivariable Pole-Zero Cancellations.............. 2-9 References .................................................................... 2-12 Michael Athans Massachusetts Institute of Technology 2.1 Introduction In this chapter we will introduce the basic building blocks necessary to understand linear time-invariant, multivariable systems. We will examine solutions of linear systems in both the time domain and frequency domain. An important issue is our ability to change the system’s response by applying different inputs. We will thus introduce the concept of controllability. Similarly, we will introduce the concept of observability to quantify how well we can determine what is happening internally in our model when we can observe only the outputs of the system. An important issue in controllability and observability is the role of zeros. We will define them for multivariable systems and show their role in these concepts. Throughout, we will introduce the linear algebra tools necessary for multivariable systems. 2.2 Unforced Linear Systems 2.2.1 Eigenvectors and Eigenvalues Given a matrix A ∈ Rn×n , the eigenstructure of A is defined by n complex numbers λi . When the λi are all different, each λi has corresponding vectors vi ∈ C n and wi ∈ C n so that Avi = λi vi ; wiH A = λi wiH ; i = 1...n (2.1) 2-1 i i
  • i i i i 2-2 Control System Advanced Methods where w H is the complex conjugate transpose of w. The complex numbers λi are called the eigenvalues of A. The vectors vi are called the right eigenvectors, and the vectors wi are called the left eigenvectors. Notice that any multiple of an eigenvector is also an eigenvector. The left and right eigenvectors are mutually orthogonal, that is, they satisfy the property 1 0 wiH vj = δij = if i = j if i = j (2.2) We assume throughout that the eigenvalues are distinct; that is, they are all different. The case where eigenvalues repeat is much more complicated, both theoretically and computationally. The case of repeated eigenvalues is covered in Kailath [1]. One other formula useful for describing linear systems is the dyadic formula. This formula shows how the matrix A can be formed from its eigenvalues and eigenvectors. It is given by n λi vi wiH A= (2.3) i=1 2.2.2 The Matrix Exponential The matrix exponential, eA , is defined by 1 1 e A = I + A + A2 + A3 + · · · 2 6 ∞ 1 k = A k! (2.4) (2.5) k=0 The matrix exponential solves the following matrix differential equation x (t) = Ax(t), ˙ x(0) = ξ (2.6) The solution is x(t) = eAt ξ (2.7) The matrix exponential can be calculated from the eigenstructure of the matrix A. If A has the eigenstructure as in Equation 2.1, then n eA = eλi vi wiH n and eAt = i=1 eλi t vi wiH (2.8) i=1 This can be seen by writing the matrix exponential using the infinite sum, substituting in the dyadic formula (Equation 2.3), and using Equation 2.2. Taking the Laplace transform of Equation 2.6, sx(s) − ξ = Ax(s) (2.9) where we have used the initial condition x(0) = ξ. Thus, the solution is x(s) = (sI − A)−1 ξ (2.10) Therefore, (sI − A)−1 is the Laplace transform of eAt . i i
  • i i i i Multivariable Poles, Zeros, and Pole-Zero Cancellations 2-3 2.2.3 Definition of Modes The solution to the unforced system Equation 2.6 can be written in terms of the eigenstructure of A as n x(t) = eAt ξ = eλi t vi (wiH ξ) (2.11) i=1 The ith mode is eλi t vi , defined by the direction of the right eigenvector vi , and the exponential associated with the eigenvalue λi . wiH ξ is a scalar, specifying the degree to which the initial condition ξ excites the ith mode. Taking Laplace transforms, n x(s) = i=1 1 vi wiH ξ s − λi (2.12) From this equation, x(s) = (sI − A)−1 ξ = n i=1 1 vi wiH ξ s − λi (2.13) When the initial condition is equal to one of the right eigenvectors, only the mode associated with that eigenvector is excited. To see this, let ξ = vj . Then, using Equation 2.2, n x(t) = eλi t vi (wiH vj ) = eλj t vj (2.14) i=1 A mode is called stable if the dynamics of the modal response tend to zero asymptotically. This is, therefore, equivalent to Re(λi ) < 0 (2.15) A system is said to be stable if all of its modes are stable. Thus, for any initial condition, x(t) → 0 if the system is stable. 2.2.4 Multivariable Poles Consider the system x (t) = Ax(t) + Bu(t) ˙ (2.16) y(t) = Cx(t) + Du(t) (2.17) The multivariable poles are defined as the eigenvalues of A. Thus, the system is stable if all of its poles are strictly in the left half of the s-plane. The poles are therefore the roots of the equation det(sI − A) = 0 i (2.18) i
  • i i i i 2-4 Control System Advanced Methods 2.3 Forced Linear Time-Invariant Systems 2.3.1 Solution to Forced Systems We consider the dynamical system x (t) = Ax(t) + Bu(t), ˙ x(0) = ξ y(t) = Cx(t) + Du(t) (2.19) (2.20) The solution x(t) to this equation is t x(t) = eAt ξ + eA(t−τ) Bu(τ) dτ (2.21) 0 This can be seen by differentiating the solution, and substituting in Equation 2.19. The output y(t) is thus t y(t) = Cx(t) + Du(t) = CeAt ξ + CeA(t−τ) Bu(τ) dτ + Du(t) (2.22) 0 Using the eigenstructure of A, we can write n eλi t (Cvi )(wiH ξ) y(t) = (2.23) i=1 n eλi t (Cvi )(wiH B) + i=1 t e−λi τ u(τ) dτ + Du(t) (2.24) 0 Applying the Laplace Transform to the system Equations 2.19 and 2.20, y(s) = C(sI − A)−1 Bu(s) + Du(s) Using the eigenstructure of A, we can substitute for (sI n y(s) = i=1 − A)−1 (2.25) to get the Laplace Transform equation Cvi wiH B u(s) + Du(s) s − λi (2.26) Cv w H B i i The matrix (s−λi ) is called the residue matrix at the pole s = λi . We can see that wiH B is an indication of how much the ith mode is exited by the inputs, and Cvi indicates how much the ith mode is observed in the outputs. This is the basis for the concepts of controllability and observability, respectively. 2.3.2 Controllability and Observability Controllability is concerned with how much an input affects the states of a system. The definition is general enough to handle nonlinear systems and time-varying systems. Definition 2.1: The nonlinear time-invariant (LTI) system x (t) = f [x(t), u(t)], ˙ x(0) = ξ, (2.27) is called completely controllable if, for any initial state ξ and any final state θ, we can find a piecewise, continuous bounded function u(t) for 0 ≤ t ≤ T, T < ∞, so that x(T) = θ. A system which is not completely controllable is called uncontrollable. Observability is defined similarly. i i
  • i i i i Multivariable Poles, Zeros, and Pole-Zero Cancellations 2-5 Definition 2.2: The nonlinear time-invariant system x (t) = f [x(t), u(t)], ˙ x(0) = ξ y(t) = g[x(t), u(t)] (2.28) (2.29) is observable if one can calculate the initial state ξ based upon measurements of the input u(t) and output y(t) for 0 ≤ t ≤ T, T < ∞. A system which is not observable is called unobservable. For LTI systems, there are simple tests to determine if a system is controllable and observable. The ith mode is uncontrollable if, and only if, wiH B = 0 (2.30) Thus a mode is called uncontrollable if none of the inputs can excite the mode. The system is uncontrollable if it is uncontrollable from any mode. Thus, a system is controllable if wiH B = 0 i = 1, . . . , n (2.31) Similarly, the ith mode is unobservable if, and only if, Cvi = 0 (2.32) Thus a mode is called unobservable if we can not see its effects in any of the outputs. The system is unobservable if it is unobservable from any mode. Thus, a system is unobservable if Cvi = 0, i = 1, . . . , n (2.33) 2.3.3 Other Tests for Controllability and Observability There is a simple algebraic test for controllability and observability. Let us define the controllability matrix Mc as (2.34) Mc = B AB A2 B · · · An−1 B The system is controllable if, and only if, rank(Mc ) = n. Note that if the rank of Mc is less than n, we do not know anything about the controllability of individual modes. We only know that at least one mode is uncontrollable. There is a similar test to determine the observability of the system. We form the observability matrix Mo as ⎡ ⎤ C ⎢ CA ⎥ ⎢ ⎥ 2 ⎥ ⎢ Mo = ⎢ CA ⎥ . (2.35) ⎢ . ⎥ ⎣ . ⎦ . CAn−1 The system is observable if, and only if, rank(Mo ) = n. Again, this test provides no insight into the observability of the modes of the system. It only determines whether or not the whole system is observable. We now have tests for controllability and observability. We will now relate the loss of controllability and observability to pole-zero cancellations. First, we need to define the concept of a zero for a multi-input multioutput system. i i
  • i i i i 2-6 Control System Advanced Methods 2.4 Multivariable Transmission Zeros There are several ways in which zeros can be defined for multivariable systems. The one we will examine is based on a generalized eigenvalue problem and has an interesting physical interpretation. Another approach to defining and calculating the zeros of MIMO systems can be found in Kailath [1]. 2.4.1 Definition of MIMO Transmission Zeros To define the multi-input, multi-output (MIMO) transmission zeros, we will first assume that we have a system with the same number of inputs and outputs. This is referred to as a square system. We will later extend the definition to nonsquare systems. For square systems, we can represent the system in the time domain as x (t) = Ax(t) + Bu(t) ˙ (2.36) y(t) = Cx(t) + Du(t) (2.37) where x(t) ∈ Rn , u(t) ∈ Rm , and y(t) ∈ Rm . We can also write the transfer function matrix as G(s) = C(sI − A)−1 B + D (2.38) where G(s) ∈ C m×m . Given this system, we have the following definition: Definition 2.3: The plant has a zero at the (complex) value zk if vectors ξk ∈ C n and uk ∈ C m exist which are not both zero, so that the solution to the equations x (t) = Ax(t) + Buk ezk t , ˙ x(0) = ξk (2.39) y(t) = Cx(t) + Du(t) (2.40) y(t) ≡ 0 ∀t > 0 (2.41) has the property that This property of transmission zeros is sometimes called transmission blocking. When zeros repeat, this definition still holds but a more complicated transmission blocking property also holds [2]. As an example, let us show that this definition is consistent with the standard definition of zeros for single-input, single-output systems. Example 2.1: Let us consider the following plant: g(s) = s+1 s(s − 1) (2.42) Then a state-space representation of this is ˙ x1 (t) = x2 (t) (2.43) ˙ x2 (t) = x2 (t) + u(t) (2.44) y(t) = x1 (t) + x2 (t) i (2.45) i
  • i i i i 2-7 Multivariable Poles, Zeros, and Pole-Zero Cancellations Let us define u(t) = 2e−t , so that uk = 2 and zk = −1. Let us also define the vector ξk as 1 −1 ξk = (2.46) Then x˙2 (t) = x2 (t) + 2e−t , ⇒ x2 (t) = −et + et t 0 x2 (0) = −1 e−τ 2e−τ ∂τ = −e−t ˙ x1 (t) = x2 (t), x1 (0) = 1 −t − 1 = e−t ⇒ x1 (t) = 1 + e (2.47) (2.48) (2.49) (2.50) Thus, y(t) = x1 (t) + x2 (t) = 0 (2.51) So we have confirmed that z = −1 is a transmission zero of the system. From the definition, we can see how transmission zeros got their name. If an input is applied at the frequency of the transmission zero in the correct direction (uk ), and the initial condition is in the correct direction ξk , then nothing is transmitted through the system. 2.4.2 Calculation of Transmission Zeros To calculate the transmission zero, we can rewrite the definition of the transmission zero in matrix form as zk I − A −C −B −D 0 ξk = 0 uk (2.52) This is in the form of a generalized eigenvalue problem, typically written as Gvi = zi Mvi (2.53) wiH G = zi wiH M (2.54) where zi is a generalized eigenvalue, with right and left generalized eigenvectors vi and wi , respectively. The generalized eigenvalues are the roots of the equation det(zM − G) = 0 (2.55) Note that if M is invertible, there are n generalized eigenvalues. Otherwise, there are less than n. Equation 2.52 is a generalized eigenvalue problem with G= A C B D M= I 0 0 0 (2.56) Let us look at the implication of the generalized eigenvalue problem. Let zk be a transmission zero. Then it must be true that z I − A −B 0 = det k (2.57) −C −D If there are no common poles and zeros, then zk I − A is invertible, and we can write 0 = det(zk I − A) det[C(zk I − A)−1 B + D] = det(zk I − A) det[G(zk )] i (2.58) (2.59) i
  • i i i i 2-8 Control System Advanced Methods Since we assume there are no common poles and zeros in the system, then det(zk I − A) = 0, and so it must be true that (2.60) det(G(zk )) = 0 Thus, in the case that there are no common poles and zeros, the MIMO transmission zeros are the roots of Equation 2.60. To check for transmission zeros at the same frequencies as the poles, we must use the generalized eigenvalue problem. Let us now give a multivariable example. Example 2.2: Consider the system given by Equations 2.36 and 2.37, with the matrices given by ⎡ −2 A=⎣ 0 0 C= 0 −3 0 1 0 0 1 ⎤ 0 0⎦ −4 0 1 ⎡ −1 B = ⎣−1 0 D= 1 1 0 0 ⎤ 0 0⎦ 1 (2.61) (2.62) Solving the generalized eigenvalue problem Equation 2 52, we find that there are two zeros, given by z1 = −1 z2 = −3 ⎡ ⎤ ⎡ ⎤ 2 0 ξ1 = ⎣1⎦ ξ2 = ⎣ 1 ⎦ 1 −1 u1 = −2 3 u2 = 0 −1 (2.63) (2.64) (2.65) Let us also check the transfer function calculation. The transfer function matrix for this system is given by ⎡ ⎤ s+1 0 ⎢s+2 ⎥ ⎢ ⎥ G(s) = ⎢ (2.66) ⎥ ⎣s+2 1 ⎦ s+3 s+4 To find transmission zeros at locations other than the poles of the system, we take the determinant and set it equal to zero to find s+1 0 = det(G(z)) = (2.67) (s + 2)(s + 4) Thus we find a transmission zero at z = −1. Notice that we have correctly found the transmission zero which is not at the pole frequency, but in this case we did not find the transmission zero at the same frequency as the pole at s = −3. It is also important to realize that, although one of the SISO transfer functions has a zero at s = −2, this is not a transmission zero of the MIMO system. Also notice that this frequency domain method does not give us the directions of the zeros. We need to use the generalized eigenvalue problem to determine the directions. 2.4.3 Transmission Zeros for Nonsquare Systems When we have a nonsquare system, we differentiate between right zeros and left zeros. In the following, we will assume we have a system with n states, m inputs, and p outputs. i i
  • i i i i 2-9 Multivariable Poles, Zeros, and Pole-Zero Cancellations Definition 2.4: zk is a right zero of the system, x (t) = Ax(t) + Bu(t) ˙ (2.68) y(t) = Cx(t) + Du(t) (2.69) if vectors ξk ∈ C n and uk ∈ C m exist, both not zero, so that zk I − A −C −B −D 0 ξk = 0 uk (2.70) Definition 2.5: zk is a left zero of the system, x (t) = Ax(t) + Bu(t) ˙ (2.71) y(t) = Cx(t) + Du(t) (2.72) x (t) = AT x(t) + C T u(t) ˙ (2.73) if it is a right zero of the system, T T y(t) = B x(t) + D u(t) (2.74) In other words, zk is a left zero of our system if vectors ηk ∈ C n and γk ∈ C p exist, both not zero, so that ηk γk zk I − A −C −B = 0 −D 0 (2.75) For square systems, the left and right zeros coincide; any frequency which is a right zero is also a left zero. 2.5 Multivariable Pole-Zero Cancellations Now that we have defined the zeros of a multivariable system, we are in a position to describe pole-zero cancellations and what they imply in terms of controllability and observability. First, we give a SISO example, which shows that a pole-zero cancellation implies loss of controllability or observability. Example 2.3: Consider the system given by the equations ˙ 0 x1 (t) = ˙ 1 x2 (t) y(t) = 1 i 1 0 x1 (t) x2 (t) −1 x1 (t) x2 (t) + 0 u(t) 1 (2.76) (2.77) i
  • i i i i 2-10 Control System Advanced Methods The transfer function for this system is given by s−1 −s + 1 =− g(s) = 2 (s + 1)(s − 1) s −1 (2.78) Thus, there is a pole-zero cancellation at s = 1. To check for loss of controllability and observability, we will perform an eigenvalue decomposition of the system. The eigenvalues and associated left and right eigenvalues are given by λ1 = −1 v1 = 1 −1 1 λ2 = 1 v 2 = 1 w1 = 0.5 w2 = 0.5 −0.5 (2.79) 0.5 (2.80) It is easy to verify that the dyadic decomposition Equation 2.3 holds. We now can use the modal tests for controllability and observability. We can see that Cv1 = 2 T w1 B = −0.5 (2.81) This tells us that the first mode is both controllable and observable, as expected. For the second mode, T Cv2 = 0 w2 B = 0.5 (2.82) We see that the second mode is controllable, but unobservable. The conclusion is that this particular state-space realization has an unobservable mode, but is controllable. Now let us examine what happens when we lose observability in more detail. We will assume we have the system described by Equations 2.36 through 2.38. Let us assume a pole with frequency λk and direction vk , that is, A has an eigenvalue λk with associated eigenvalue vk . Thus (λk I − A)vk = 0 Let us also assume a (right) zero at frequency zk with direction given by ξT k (2.83) T uk T , that is, (zk I − A)ξk − Buk = 0 (2.84) Cξk + Duk = 0 (2.85) If it is true that λk = zk and ξk = βvk with β any scalar, then Buk = 0 (2.86) If we assume that the columns of B are linearly independent (which says we don’t have redundant controls), then it must be true that uk = 0. However, with uk = 0, Cvk = 0 ⇒ kth mode is unobservable (2.87) On the other hand, let us assume that the kth mode is unobservable. Then we know that Cvk = 0 (2.88) where vk is the eigenvector associated with the kth mode. We will show that there must be a pole-zero cancellation. Let us choose uk = 0. If λk is the eigenvalue associated with the kth mode, then we know (λk I − A)vk = 0 ⇒ (λk I − A)vk − Buk = 0 (2.89) Cvk + Duk = 0 (2.90) vk 0 (2.91) Thus, λk is also a zero with direction i i
  • i i i i 2-11 Multivariable Poles, Zeros, and Pole-Zero Cancellations We have now proven the following theorem: Theorem 2.1: The kth mode, with eigenvalue λk and eigenvector vk , is unobservable if, and only if, λk is a right transmission zero with direction given by Equation 2.91. Following the exact same steps, we show that loss of controllability implies a pole-zero cancellation. Using the same steps as before, we can prove the following theorem. Theorem 2.2: Let the kth mode have eigenvalue λk and left eigenvector wk . Then the kth mode is uncontrollable if, and only if, λk is a left transmission zero with direction given by T wk (2.92) 0 We conclude with an example. Example 2.4: Consider the system Equations 2.19 and 2.20, with matrices ⎤ −0 5 0 5 −1 5 0 5⎦ 1 −2 ⎡ −2 5 A=⎣ 05 1 C= 0 0 0 1 1 0 ⎤ 1 B = ⎣ 1⎦ −2 ⎡ (2.93) 0 0 D= (2.94) A has the following eigenstructure: ⎡ ⎤ 0 λ1 = −1 v1 = ⎣1⎦ 1 ⎤ 1 λ2 = −2 v2 = ⎣−1⎦ 0 T w1 = 1 2 1 2 1 2 (2.95) ⎡ ⎤ 1 λ3 = −3 v1 = ⎣ 0⎦ −1 T w2 = 1 2 − T w1 = 1 2 1 2 1 2 1 2 (2.96) 1 2 (2.97) ⎡ − Let us check for controllability and observability. i i
  • i i i i 2-12 Control System Advanced Methods Cv1 = Cv2 = and 1 1 T w1 B = 0 T w2 B = −1 0 −1 Cv3 = −1 0 (2.98) (2.99) T w3 B = 2. (2.100) The conclusion is, therefore, that all modes are observable and that the first mode is uncontrollable, but the second and third modes are controllable. It is easy to verify that z = −1 is a left zero of this system, with direction 1 1 1 (2.101) ηT γ T = 0 0 . 2 2 2 Thus there is a pole-zero cancellation at z = −1, which makes the system uncontrollable. References 1. Kailath, T., Linear Systems, Prentice Hall, Englewood Cliffs, NJ, 1980. 2. MacFarlane, A.G.J. and Karcanias, N., Poles and Zeros of Linear Multivariable Systems: A Survey of the Algebraic, Geometric, and Complex Variable Theory, Int. J. Control, 24, 33–74, 1976. 3. Rosenbrock, H.H., State-Space and Multivariable Theory, John Wiley & Sons, New York, 1973. 4. Sain, M.K. and Schrader, C.B., The Role of Zeros in the Performance of Multiinput, Multioutput Feedback Systems, IEEE Trans. Education, 33(3), 1990. 5. Schrader, C.B. and Sain, M.K., Research on System Zeros: A Survey, Int J Control, 50(4), 1989. i i
  • i i i i 3 Fundamentals of Linear Time-Varying Systems 3.1 3.2 Introduction ........................................................ 3-1 Analysis of Continuous-Time Causal Linear Time-Varying Systems ....................................... 3-2 State Model Realizations • The State Model • Change of State Variables • Stability • Controllability and Observability • Control Canonical Form and Controller Design 3.3 Discrete-Time Linear Time-Varying Systems .............................................................. 3-18 State Model in the General Case • Stability • Controllability and Observability • Change of State Variables and Canonical Forms 3.4 Applications and Examples.............................. 3-25 Observer and Controller Design • Exponential Systems • Stability • The Lyapunov Criterion Edward W. Kamen Georgia Institute of Technology 3.5 Defining Terms ................................................. 3-31 Acknowledgment......................................................... 3-31 References .................................................................... 3-31 Further Reading ........................................................... 3-32 3.1 Introduction In this chapter, various fundamental elements of the theory of linear time-varying systems are studied in both the continuous-time and discrete-time cases. The chapter is a revised and updated version of Chapter 25 that appeared in the first edition of The Control Handbook. The revision includes material on the existence of coordinate transformations that transform time-varying system matrices into diagonal forms, and the connection to the concept of “dynamic” eigenvalues and eigenvectors. Also included in the revision is the use of a simplified expression derived in [11] for the feedback gain in the design of a state feedback controller in the single-input case based on the control canonical form. Generalizations to the multi-input multi-output case can be carried out using the results in [12]. The theory begins in Section 3.2 after the following comments. The distinguishing characteristic of a time-varying system is that the values of the output response depend on when the input is applied to the system. Time variation is often a result of system parameters changing as a function of time, such as aerodynamic coefficients in high-speed aircraft, circuit parameters in electronic circuits, mechanical parameters in machinery, and diffusion coefficients in chemical processes. Time variation may also be a result of linearizing a nonlinear system about a family of operating points and/or about a time-varying operating point. 3-1 i i
  • i i i i 3-2 Control System Advanced Methods The values of the time-varying parameters in a system are often not known a priori, that is, before the system is put into operation, but can be measured or estimated during system operation. Systems whose parameters are not known a priori are often referred to as parameter varying systems, and the control of such systems is referred to as gain scheduling. Parameter varying systems and gain scheduling are considered in another chapter of this handbook, and are not pursued here. In some applications, time variations in the coefficients of the system model are known a priori. For example, this may be the case if the system model is a linearization of a nonlinear system about a known time-varying nominal trajectory. In such cases, the theory developed in this chapter can be directly applied. In this chapter, the study of linear time-varying systems is carried out in terms of input/output equations and the state model. The focus is on the relationships between input/output and state models, the construction of canonical forms, the study of the system properties of stability, controllability, and observability, and the design of controllers. Both the continuous-time and the discrete-time cases are considered. In the last part of the chapter, an example is given on the application to state observers and state feedback control, and examples are given on checking for stability. Additional references on the theory of linear time-varying systems are given in Further Reading. 3.2 Analysis of Continuous-Time Causal Linear Time-Varying Systems Consider the single-input single-output continuous-time system given the input/output relationship y(t) = t −∞ h(t, τ)u(τ) dτ (3.1) where t is the continuous-time variable, y(t) is the output response resulting from input u(t), and h(t, τ) is a real-valued continuous function of t and τ. It is assumed that there are conditions on h(t, τ) and/or u(t), which insure that the integral in Equation 3.1 exists. The system given by Equation 3.1 is causal since the output y(t) at time t depends only on the input u(τ) for τ ≤ t. The system is also linear since integration is a linear operation. Linearity means that if y1 (t) is the output response resulting from input u1 (t), and y2 (t) is the output response resulting from input u2 (t), then for any real numbers a and b, the output response resulting from input au1 (t) + bu2 (t) is equal to ay1 (t) + by2 (t). ε Let δ(t) denote the unit impulse defined by δ(t) = 0, t = 0 and −ε δ(λ) dλ = 1 for any real number ε > 0. For any real number t1 , the time-shifted impulse δ(t − t1 ) is the unit impulse located at time t = t1 . Then from Equation 3.1 and the sifting property of the impulse, the output response y(t) resulting from input u(t) = δ(t − t1 ) is given by y(t) = t −∞ h(t, τ)u(τ) dτ = t −∞ h(t, τ)δ(τ − t1 ) dτ = h(t, t1 ) Hence, the function h(t, τ) in Equation 3.1 is the impulse response function of the system, that is, h(t, τ) is the output response resulting from the impulse δ(t − τ) applied to the system at time τ. The linear system given by Equation 3.1 is time invariant (or constant) if and only if h(t + γ, τ + γ) = h(t, τ), for all real numbers t, τ, γ (3.2) Time invariance means that if y(t) is the response to u(t), then for any real number t1 , the time-shifted output y(t − t1 ) is the response to the time-shifted input u(t − t1 ). Setting γ = −τ in Equation 3.2 gives h(t − τ, 0) = h(t, τ), for all real numbers t, τ (3.3) Hence, the system defined by Equation 3.1 is time invariant if and only if the impulse response function h(t, τ) is a function only of the difference t − τ. In the time-invariant case, Equation 3.1 reduces to the i i
  • i i i i 3-3 Fundamentals of Linear Time-Varying Systems convolution relationship y(t) = h(t) ∗ u(t) = t −∞ h(t − τ)u(τ) dτ (3.4) where h(t) = h(t, 0) is the impulse response (i.e., the output response resulting from the impulse δ(t) applied to the system at time 0). The linear system defined by Equation 3.1 is finite-dimensional or lumped if the input u(t) and the output y(t) are related by the nth-order input/output differential equation n−1 m y (n) (t) + ai (t)y (i) (t) = i=0 bi (t)u(i) (t) (3.5) i=0 where y (i) (t) is the ith derivative of y(t), u(i) (t) is the ith derivative of u(t), and ai (t) and bi (t) are real-valued functions of t. In Equation 3.5, it is assumed that m ≤ n. The linear system given by Equation 3.5 is time invariant if and only if all coefficients in Equation 3.5 are constants, that is, ai (t) = ai and bi (t) = bi for all i, where ai and bi are real constants. 3.2.1 State Model Realizations A state model for the system given by Equation 3.5 can be constructed as follows. First, suppose that m = 0 so that Equation 3.5 becomes n−1 y (n) (t) + ai (t)y (i) (t) = b0 (t)u(t). (3.6) i=0 Then defining the state variables xi (t) = y (i−1) (t), i = 1, 2, . . . , n, (3.7) the system defined by Equation 3.6 has the state model x (t) = A(t)x(t) + B(t)u(t) ˙ (3.8) y(t) = Cx(t) (3.9) where the coefficient matrices A(t), B(t), and C are given by ⎡ 0 ⎢ 0 ⎢ ⎢ 0 ⎢ A(t) = ⎢ . ⎢ . ⎢ . ⎣ 0 −a0 (t) 1 0 0 ··· ··· ··· 0 1 0 0 −a1 (t) 0 −a2 (t) ⎡ 0 0 0 ··· ··· 0 · · · −an−2 (t) ⎤ 0 0 ⎥ ⎥ 0 ⎥ ⎥ . ⎥ . ⎥ . ⎥ 0 ⎦ b0 (t) ⎢ ⎢ ⎢ ⎢ B(t) = ⎢ ⎢ ⎢ ⎣ C= 1 i 0 0 ··· ⎤ 0 0 0 . . . 1 ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎦ (3.10) −an−1 (t) (3.11) 0 0 (3.12) i
  • i i i i 3-4 Control System Advanced Methods and x(t) is the n-dimensional state vector given by ⎡ ⎤ x1 (t) ⎢ x2 (t) ⎥ ⎥ ⎢ ⎢ . ⎥ x(t) = ⎢ . ⎥ . ⎥ ⎢ ⎣xn−1 (t)⎦ xn (t) When m ≥ 1 in Equation 3.5, the definition in Equation 3.7 of the state variables will not yield a state model of the form given in Equations 3.8 and 3.9. If m < n, a state model can be generated by first rewriting Equation 3.5 in the form n−1 m Dn y(t) + Di αi (t)y(t) = i=0 Di [βi (t)u(t)] (3.13) i=0 where D is the derivative operator and αi (t) and βi (t) are real-valued functions of t. The form of the input/output differential equation given by Equation 3.13 exists if ai (t) and bi (t) are differentiable a suitable number of times. If ai (t) are constants so that ai (t) = ai for all t, then αi (t) are constants and αi (t) = ai , i = 0, 1, . . . , n − 1. If bi (t) are constants so that bi (t) = bi for all t, then βi (t) are constants and βi (t) = bi , i = 0, 1, . . . , m. When ai (t) and bi (t) are not constants, αi (t) is a linear combination of ai (t) and the derivatives of aj (t) for j = n − i − 1, n − i − 2, . . . 1, and βi (t) is a linear combination of bi (t) and the derivatives of bj (t) for j = m − i − 1, m − i − 2, . . . 1. For example, when n = 2, α0 (t) and α1 (t) are given by α0 (t) = a0 (t) − a1 (t) ˙ (3.14) α1 (t) = a1 (t) (3.15) α0 (t) = a0 (t) − a1 (t) + a2 (t) ˙ ¨ (3.16) a α1 (t) = a1 (t) − 2˙ 2 (t) (3.17) α2 (t) = a2 (t) (3.18) When n = 3, αi (t) are given by In the general case (n arbitrary), there is a one-to-one and onto correspondence between the coefficients ai (t) in the left-hand side of Equation 3.5 and the coefficients αi (t) in the left-hand side of Equation 3.13. Similarly, there is a one-to-one and onto correspondence between the coefficients in the right-hand side of Equation 3.5 and the right-hand side of Equation 3.13. Now given the system defined by Equation 3.5 written in the form of Equation 3.13, define the state variables xn (t) = y(t) xn−1 (t) = Dxn (t) + αn−1 (t)xn (t) − βn−1 (t)u(t) xn−2 (t) = Dxn−1 (t) + αn−2 (t)xn (t) − βn−2 (t)u(t) (3.19) . . . x1 (t) = Dx2 (t) + α1 (t)xn (t) − β1 (t)u(t) where βi (t) = 0 for i > m. Then with the state variables defined by Equations 3.19, the system given by Equation 3.5 has the state model x (t) = A(t)x(t) + B(t)u(t) ˙ y(t) = Cx(t) i (3.20) (3.21) i
  • i i i i 3-5 Fundamentals of Linear Time-Varying Systems where the coefficient matrices A(t), B(t), and C are given by ⎡ 0 ⎢1 ⎢ ⎢0 ⎢ A(t) = ⎢ . ⎢. ⎢. ⎣0 0 0 0 0 0 0 ··· ··· ··· 0 0 0 0 0 0 0 1 ··· ··· ··· 0 1 ⎤ β0 (t) ⎢ β1 (t) ⎥ ⎥ ⎢ ⎢ β2 (t) ⎥ ⎥ ⎢ B(t) = ⎢ . ⎥ ⎢ . ⎥ ⎢ . ⎥ ⎣β (t)⎦ n−2 βn−1 (t) ⎡ ⎤ −α0 (t) −α1 (t) ⎥ ⎥ −α2 (t) ⎥ ⎥ ⎥ . . ⎥ . ⎥ −αn−2 (t)⎦ −αn−1 (t) (3.22) (3.23) and C= 0 0 ··· 0 (3.24) 1 The state model with A(t) and C specified by Equations 3.22 and 3.24 is said to be in observer canonical form, which is observable as discussed below. Note that for this particular state realization, the row vector C is constant (independent of t). In addition to the state model defined by Equations 3.22 through 3.24, there are other possible state models for the system given by Equation 3.5. For example, another state model can be constructed in the case when the left-hand side of Equation 3.5 can be expressed in a Floquet factorization form (see [1]), so that Equation 3.5 becomes m bi (t)u(i) (t) (D − p1 (t))(D − p2 (t)) . . . (D − pn (t))y(t) = (3.25) i=0 where again D is the derivative operator and the pi (t) are real-valued or complex-valued functions of the time variable t. For example, consider the n = 2 case for which y (D − p1 (t))(D − p2 (t))y(t) = (D − p1 (t))[˙ (t) − p2 (t)y(t)] ˙ ¨ y (D − p1 (t))(D − p2 (t))y(t) = y (t) − [p1 (t) + p2 (t)]˙ (t) + [p1 (t)p2 (t) − p2 (t)]y(t) (3.26) With n = 2 and m = 1, the state variables may be defined by ˙ x1 (t) = y (t) − p2 (t)y(t) − b1 (t)u(t) (3.27) x2 (t) = y(t) (3.28) which results in the state model given by Equations 3.20 and 3.21 with A(t) = B(t) = p1 (t) 1 0 p2 (t) ˙ b0 (t) − b1 (t) + p1 (t)b1 (t) b1 (t) (3.29) (3.30) and C= 0 i 1 (3.31) i
  • i i i i 3-6 Control System Advanced Methods In the general case given by Equation 3.25, there is a state model in the form of Equations 3.20 and 3.21 with A(t) and C given by ⎡ p1 (t) ⎢ 1 ⎢ ⎢ 0 ⎢ A(t) = ⎢ . ⎢ . ⎢ . ⎣ 0 0 0 p2 (t) 1 0 0 C= 0 0 0 p3 (t) 0 0 0 0 0 0 0 0 0 ··· ··· ··· 0 0 0 . . . ··· ··· pn−1 (t) 1 ··· 1 ⎤ 0 0 ⎥ ⎥ 0 ⎥ ⎥ . ⎥ . ⎥ . ⎥ 0 ⎦ pn (t) (3.32) (3.33) A very useful feature of the state model with A(t) given by Equation 3.32 is the lower triangular form of A(t). In particular, as discussed below, stability conditions can be specified in terms of pi (t), which can be viewed as “time-varying poles” of the system. However, in the time-varying case the computation of pi (t) based on the Floquet factorization given in the left-hand side of Equation 3.25 requires that nonlinear Riccati-type differential equations must be solved (see, e.g., [2,13]). The focus of [2] is on the computation of poles and zeros and the application to stability and transmission blocking, with the emphasis on timevarying difference equations. In [4], the authors generate a Floquet factorization given by the left-hand side of Equation 3.25 by utilizing successive Riccati transformations in a state-space setting. A significant complicating factor in the theory of factoring polynomial operators with time-varying coefficients is that in general there are an infinite number of different “pole sets”{p1 (t), p2 (t), . . . , pn (t)}. This raises the question as to whether one pole set may be “better” in some sense than another pole set. In the case of linear difference equations with time-varying coefficients, it is shown in [2] that poles can be computed using a nonlinear recursion and that uniqueness of pole sets can be achieved by specifying initial values for the poles. For recent work on the factorization of time-varying differential equations by using ground field extensions, see [6]. As discussed below, in [7] the definition and computation of time-varying poles is pursued by using Lyapunov coordinate transformations in a state-space setting. 3.2.2 The State Model For an m-input p-output linear n-dimensional time-varying continuous-time system, the general form of the state model is x (t) = A(t)x(t) + B(t)u(t) ˙ (3.34) y(t) = C(t)x(t) + D(t)u(t) (3.35) where Equation 3.34 is the state equation and Equation 3.35 is the output equation. In Equations 3.34 and 3.35, A(t) is the n × n system matrix, B(t) is the n × m input matrix, C(t) is the p × n output matrix, D(t) is the p × m direct feed matrix, u(t) is the m-dimensional input vector, x(t) is the n-dimensional state vector, and y(t) is the p-dimensional output vector. The term D(t)u(t) in Equation 3.35 is of little significance in the theory, and thus D(t)u(t) is usually omitted from Equation 3.35, which will be done here. To solve Equation 3.34, first consider the homogeneous equation x (t) = A(t)x(t), ˙ t > t0 (3.36) with the initial condition x(t0 ) at initial time t0 . For any A(t) whose entries are continuous functions of t, it is well known (see, e.g., [8]) that for any initial condition x(t0 ), there is a unique continuously i i
  • i i i i 3-7 Fundamentals of Linear Time-Varying Systems differentiable solution of Equation 3.36 given by x(t) = Φ(t, t0 )x(t0 ), t > t0 (3.37) where Φ(t, t0 ) is an n × n matrix function of t and t0 , called the state-transition matrix. The state-transition matrix has the following fundamental properties: Φ(t, t) = I = n × n identity matrix, for all t Φ(t, τ) = Φ(t, t1 )Φ(t1 , τ), −1 Φ (t, τ) = Φ(τ, t), for all t1 , t, τ for all t, τ ∂ Φ(t, τ) = A(t)Φ(t, τ), for all t, τ ∂t ∂ Φ(t, τ) = −Φ(t, τ)A(τ), for all t, τ ∂τ detΦ(t, τ) = exp (3.38) (3.39) (3.40) (3.41) (3.42) t τ tr[A(σ)] dσ (3.43) In Equation 3.43, “det” denotes the determinant and “tr” denotes the trace. Equation 3.39 is called the composition property. It follows from this property that Φ(t, τ) can be written in the factored form Φ(t, τ) = Φ(t, 0)Φ(0, τ), for all t, τ (3.44) Another important property of the state-transition matrix Φ(τ, t) is that it is a continuously differentiable matrix function of t and τ. It follows from Equation 3.42 that the adjoint equation γ(t) = −AT (t)γ(t) ˙ (3.45) has state-transition matrix equal to ΦT (τ, t), where again Φ(t, τ) is the state-transition matrix for Equation 3.36 and superscript “T” denotes the transpose operation. If the system matrix A(t) is constant over the interval [t1 , t2 ], that is, A(t) = A, for all t ∈ [t1 , t2 ], then the state-transition matrix is equal to the matrix exponential over [t1 , t2 ]: Φ(t, τ) = eA(t−τ) for all t, τ ∈ [t1 , t2 ] (3.46) If A(t) is time varying and A(t) commutes with its integral over the interval [t1 , t2 ], that is, t A(t) τ t A(σ) dσ = τ A(σ) dσ A(t), for all t, τ ∈ [t1 , t2 ] (3.47) then Φ(t, τ) is given by Φ(t, τ) = exp t τ A(τ) dτ , for all t, τ ∈ [t1 , t2 ] (3.48) Note that the commutativity condition in Equation 3.47 is always satisfied in the time-invariant case. It is also always satisfied in the one-dimensional (n = 1) time-varying case since scalars commute. Thus, Φ(t, τ) is given by the exponential form in Equation 3.48 when n = 1. Unfortunately, the exponential form for Φ(t, τ) does not hold for an arbitrary time-varying matrix A(t) when n > 1, and, in general, there is no known closed-form expression for Φ(t, τ) when n > 1. However, approximations to Φ(t, τ) can be readily computed from A(t) by numerical techniques, such as the method of successive approximations (see, e.g., [8]). Approximations to Φ(t, τ) can also be determined by discretizing the time variable t as shown next. i i
  • i i i i 3-8 Control System Advanced Methods Let k be an integer-valued variable, let T be a positive number, and let aij (t) denote the i, j entry of the matrix A(t). Suppose that by choosing T to be sufficiently small, the absolute values |aij (t) − aij (kT)| can be made as small as desired over the interval t ∈ [kT, kT + T] and for all integer values of k. Then for a suitably small T, A(t) is approximately equal to A(kT) for t ∈ [kT, kT + T], and from Equation 3.46 the state-transition matrix Φ(t, kT) is given approximately by Φ(t, kT) = eA(kT)(t−kT) for all t ∈ [kT, kT + T] and all k (3.49) Setting t = kT + T in Equation 3.49 yields Φ(kT + T, kT) = eA(kT)T for all k (3.50) The state-transition matrix Φ(kT + T, kT) given by Equation 3.50 can be computed by using a parameterized Laplace transform. To show this, first define the n × n matrix q(k, t) = eA(kT)t (3.51) Then q(k, t) is equal to the inverse Laplace transform of Q(k, s) = [sI − A(kT)]−1 (3.52) Note that the transform Q(k, s) is parameterized by the integer-valued variable k. A closed-form expression for q(k, t) as a function of t can be obtained by expanding the entries of Q(k, s) into partial fraction expansions and then using standard Laplace transform pairs to determine the inverse transform of the terms in the partial faction expansions. Then from Equation 3.51, setting t = T in q(k, t) yields q(k, T) = Φ(kT + T, kT). Again consider the general case with the state equation given by Equation 3.34. Given the statetransition matrix Φ(t, τ), for any given initial state x(t0 ) and input u(t) applied for t ≥ t0 , the complete solution to Equation 3.34 is x(t) = Φ(t, t0 )x(t0 ) + t Φ(t, τ)B(τ)u(τ) dτ, t > t0 (3.53) t0 Then, when y(t) = C(t)x(t), the output response y(t) is given by y(t) = C(t)Φ(t, t0 )x(t0 ) + t C(t)Φ(t, τ)B(τ)u(τ) dτ, t > t0 (3.54) t0 If the initial time t0 is taken to be −∞ and the initial state is zero, Equation 3.54 becomes y(t) = t −∞ C(t)Φ(t, τ)B(τ)u(τ) dτ (3.55) Comparing Equation 3.55 with the m-input, p-output version of Equation 3.1 reveals that H(t, τ) = C(t)Φ(t, τ)B(τ) for t ≥ τ 0 for t < τ (3.56) where H(t, τ) is the p × m impulse response function matrix. Inserting Equation 3.44 into Equation 3.56 reveals that H(t, τ) can be expressed in the factored form, H(t, τ) = H1 (t)H2 (τ), t≥τ (3.57) where H1 (t) = C(t)Φ(t, 0) and H2 (τ) = Φ(0, τ)B(τ) (3.58) It turns out [8] that a linear time-varying system with impulse response matrix H(t, τ) has a state realization given by Equations 3.34 and 3.35 with D(t) = 0 if and only if H(t, τ) can be expressed in the factored form given in Equation 3.57. i i
  • i i i i Fundamentals of Linear Time-Varying Systems 3-9 3.2.3 Change of State Variables Suppose that the system under study has the n-dimensional state model x (t) = A(t)x(t) + B(t)u(t) ˙ (3.59) y(t) = C(t)x(t) (3.60) In the following development, the system given by Equations 3.59 and 3.60 will be denoted by the triple [A(t), B(t), C(t)]. Given any n × n invertible continuously differentiable matrix P(t), which is real or complex valued, another state model can be generated by defining the new state vector z(t) = P −1 (t)x(t), where P −1 (t) is the inverse of P(t). The matrix P −1 (t) (or the matrix P(t)) is called the transformation matrix and the process of going from x(t) to z(t) is referred to as a coordinate transformation. The state variables for the new state model (i.e., the zi (t)) are linear combinations with time-varying coefficients of the state variables of the given state model. To determine the state equations for the new state model, first note that P(t)z(t) = x(t). Then taking the derivative of both sides of P(t)z(t) = x(t) gives ˙ P(t)˙ (t) + P(t)z(t) = x (t) z ˙ (3.61) Inserting the expression for x (t) given by Equation 3.59 yields ˙ ˙ P(t)˙ (t) + P(t)z(t) = A(t)x(t) + B(t)u(t) z (3.62) and replacing x(t) by P(t)z(t) in Equation 3.62 and rearranging terms results in ˙ P(t)˙ (t) = [A(t)P(t) − P(t)]z(t) + B(t)u(t) z (3.63) Finally, multiplying both sides of Equation 3.63 on the left by P −1 (t) gives ˙ z (t) = [P −1 (t)A(t)P(t) − P −1 (t)P(t)]z(t) + P −1 (t)B(t)u(t) ˙ (3.64) and replacing x(t) by P(t)z(t) in Equation 3.60 yields y(t) = C(t)P(t)z(t) (3.65) The state equations for the new state model are given by Equations 3.64 and 3.65. This new model will ¯ ¯ ¯ be denoted by the triple [A(t), B(t), C(t)] where ˙ ¯ A(t) = P −1 (t)A(t)P(t) − P −1 (t)P(t) (3.66) ¯ B(t) = P (t)B(t) ¯ C(t) = C(t)P(t) (3.67) −1 (3.68) Multiplying both sides of Equation 3.66 on the left by P(t) and rearranging the terms yield the result that the transformation matrix P(t) satisfies the differential equation ˙ ¯ P(t) = A(t)P(t) − P(t)A(t) (3.69) ¯ ¯ ¯ The state models [A(t), B(t), C(t)] and [A(t), B(t), C(t)] with A(t), B(t), C(t) given by Equations 3.66 ¯ ¯ ¯ ¯ through 3.68 are said to be algebraically equivalent. The state-transition matrix Φ(t, τ) for [A(t), B(t), C(t)] is given by ¯ Φ(t, τ) = P −1 (t)Φ(t, τ)P(τ) (3.70) where Φ(t, τ) is the state-transition matrix for [A(t), B(t), C(t)]. i i
  • i i i i 3-10 Control System Advanced Methods Given an n-dimensional state model [A(t), B(t), C(t)] and any n × n continuous matrix function Γ(t), ¯ there is a transformation matrix P(t) that transforms A(t) into Γ(t), that is, A(t) = Γ(t). To show this, define P(t) by ¯ P(t) = Φ(t, 0)Φ(0, t) (3.71) ¯ where Φ(t, τ) is the state-transition matrix for z (t) = Γ(t)z(t). Note that P(t) is continuously differen˙ ¯ tiable since Φ(t, 0) and Φ(0, t) are continuously differentiable, and P(t) is invertible since state-transition matrices are invertible. Then taking the derivative of both sides of Equation 3.71 gives ˙ ¯ ˙ ¯ ˙ P(t) = Φ(t, 0)Φ(0, t) + Φ(t, 0)Φ(0, t) (3.72) Using Equations 3.41 and 3.42 in Equation 3.72 yields ¯ ¯ ˙ P(t) = −Φ(t, 0)Φ(0, t)Γ(t) + A(t)Φ(t, 0)Φ(0, t) (3.73) ¯ Finally, inserting Equation 3.71 into Equation 3.73 results in Equation 3.69 with A(t) = Γ(t), and thus, P(t) transforms A(t) into Γ(t). This result shows that via a change of state, A(t) can be transformed to any desired continuous matrix Γ(t). The fact that any continuous system matrix A(t) can be transformed to any other continuous matrix raises some interesting issues. For example, suppose that the transformation z(t) = P −1 (t)x(t) is defined ¯ so that the new system matrix A(t) is equal to a diagonal matrix Λ(t) with real or complex-valued functions λ1 (t), λ2 (t), . . . , λn (t) on the diagonal. Then from Equation 3.66, ˙ Λ(t) = P −1 (t)A(t)P(t) − P −1 (t)P(t) (3.74) and multiplying both sides of Equation 3.74 on the left by P(t) gives ˙ P(t)Λ(t) = A(t)P(t) − P(t) (3.75) Now for i = 1, 2, . . . , n, let γi (t) denote the ith column of the transformation matrix P(t). Then from Equation 3.75, it follows that λi (t)γi (t) = A(t)γi (t) − γi (t), ˙ i = 1, 2, . . . , n (3.76) Rearranging terms in Equation 3.76 gives [A(t) − λi (t)I]γi (t) = γi (t), ˙ i = 1, 2, . . . , n (3.77) where I is the n × n identity matrix. Equation 3.77 has appeared in the literature on linear time-varying systems, and has sometimes been used as the justification for referring to the λi (t) as “dynamic” eigenvalues or poles, and the corresponding γi (t) as eigenvectors, of the time-varying system having system matrix A(t). But since Equation 3.77 holds for any continuous scalar-valued functions λ1 (t), λ2 (t), . . . , λn (t), or for any constants λ1 , λ2 , . . . , λn , the existence of λi (t) and γi (t) satisfying Equation 3.77 is not useful unless further conditions are placed on the transformation matrix P(t). For example, one can consider stronger notions of equivalence such as topological equivalence. This means that, in addition to being algebraically equivalent, the transformation matrix P(t) has the properties |det P(t)| ≥ c0 for all t (3.78) pij (t) ≤ c1 for all t and i, j = 1, 2, . . . , n (3.79) where pij (t) is the i, j entry of P(t), and c0 and c1 are finite positive constants. The conditions given in Equations 3.78 and 3.79 are equivalent to requiring that P(t) and its inverse P −1 (t) be bounded i i
  • i i i i 3-11 Fundamentals of Linear Time-Varying Systems matrix functions of t. A transformation z(t) = P −1 (t)x(t) with P(t) satisfying Equations 3.78 and 3.79 is called a Lyapunov transformation. As noted in Section 3.2.4, stability is preserved under a Lyapunov transformation. If the transformation z(t) = P −1 (t)x(t) is a Lyapunov transformation and puts the system matrix A(t) into the diagonal form Λ(t) = diag(λ1 (t), λ2 (t), . . . , λn (t)), then the λi (t) are of interest since they determine the stability of the system. However, in the general linear time-varying case, the existence of a Lyapunov transformation that puts A(t) into a diagonal form is a strong condition. A much weaker condition is the existence of a Lyapunov transformation that puts A(t) into an upper or lower triangular form (see, e.g., [7]). This is briefly discussed in Section 3.2.4. 3.2.4 Stability Given a system with n-dimensional state model [A(t), B(t), C(t)], again consider the homogeneous equation x (t) = A(t)x(t), ˙ t > t0 (3.80) with solution x(t) = Φ(t, t0 )x(t0 ), t > t0 (3.81) The system is said to be asymptotically stable if for some i