EE635 - Control System Theory

Jitkomut Songsiri

6. Linear Quadratic Gaussian Control

Output feedback The Kalman lter LQG/LQR

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Output feedback
Consider a linear system x = Ax + Bu, A state-feedback controller has a form u(t) = Kx(t) which requires the availability of the process measurement when the state variables are not accessible, one can use u(t) = K x(t) where x(t) is an estimate of x(t) based on the output y
Linear Quadratic Gaussian Control 6-2

y = Cx

Full-order observers
x cannot be fully measured and the goal is to estimate x based on y our approach is to replicate the process dynamic in x x = A + Bu x Dene the state estimation error e = x x, we can see e = Ax A = Ae x if A is stable, then the error goes to zero asymptotically if A is unstable, e is unbounded and x grows further apart from x to avoid this problem, one can consider a correction term as x = A + Bu + L(y y ), x (feed y back to the estimator)
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x(0) = 0

L is a given matrix, called observer gain matrix the error dynamic now is e = Ax A L(Cx C x) = (A LC)e, x e(0) = x(0)

the observer error goes to zero if L is chosen such that A LC is stable we can make e goes to zero fast if the eigenvalues of A LC can be arbitrarily assigned eigenvalues of A LC are same as those of (AT C T LT ) hence, choosing L is the dual of state-feedback design problem for the pair (AT , C T ) eigenvalues of A LC can be freely reassigned if and only if (A, C) observable
Linear Quadratic Gaussian Control 6-4

Observer-based controller
closed-loop equations after a state feedback u(t) = r(t) K x(t) where r(t) is reference input, is x = Ax BK x + Br x = A + L(y y ) + Br BK x x or

d x A = LC dt x

BK A LC BK

x B + r x B

Linear Quadratic Gaussian Control

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Separation principle
Change coordinate I I 0 I x x x = = x xx e

the dynamics in the new coordinate is d x A BK = 0 dt e BK A LC x I + r e 0

the dynamic of e does not depend on x closed-loop eigenvalues are {eig(A BK)} {eig(A LC)} one can assign eigenvalues of the system and the observer independently
Linear Quadratic Gaussian Control 6-6

Observer of noisy system

In general, the system is corrupted by noise x = Ax + Bu + w, y = Cx + v

where w is process noise and v is measurement noise rewrite the error dynamic of an observer e = Ax + Bu + w A Bu L(Cx + v C x) x = (A LC)e + w Lv due to w, v, the estimation will generally not go to zero one would like the error to remain small by a good choice of L the optimal choise of L is given by the Kalman gain
Linear Quadratic Gaussian Control 6-7

The Kalman lter

assume w, v are uncorrelated zero-mean Gaussian white noise, i.e., E w(t)w( ) = W (t ), E v(t)v( ) = V (t )

E w(t)v( ) = 0 spectral density matrices of w, v are W 0, and V 0, respectively

2

The optimal observer gain which minimizes E e(t) L = P C V 1

is

where P is the unique positive-semidenite solution of the ARE P A + AP P C V 1CP + W = 0 when using the optimal gain, this system is called the Kalman-Bucy lter
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A LC is stable as long as the two conditions hold (A, C) is observable (A, W ) is controllable Recall: LQR control with J = we need to solve ARE P A + AP P BR1B P + Q = 0 with conditions (A, B) controllable to guarantee Jmin < (A, Q) observable to obtain a unique positive denition P Duality: Kalmain lter is equivalent to designing an LQR controller on the dual system (A, C , B , D ) with Q = W , R = V
Linear Quadratic Gaussian Control 6-9

x(t)Qx(t) 0

+ u(t)Ru(t)dt

Linear Quadratic Gaussian Control

a combination of optimal state estimation and optimal state feedback
w u Plant v y

B + + x + A

L y +

Kalman Filter K x LQ regulator

Linear Quadratic Gaussian Control

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Example
we design an LQG controller to a spring-mass system x= 0 0 1 u + w, x+ 1 1 0 y = 1 0 x+v

where covariances of w are v are 0.001I and 0.001 respectively we use the parameters Q = 5C C, R = 1, W = I, V = 0.1

(A, C) observable and (A, W ) controllable MATLAB codes n Q K W L = = = = = 2; A = [0 1;-1 0]; B = [0 1]; C = [1 0]; 5*C*C; R = 1; lqr(A,B,Q,R); eye(n); V = 0.1; lqe(A,eye(n),C,W,V);
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Linear Quadratic Gaussian Control

closed-loop response to unit step in reference

2.5 2 1.5 1 0.5 0 0.5 1 1.5 0 output estimation error input

10

15

20

25

30

t (a standard LQG does not have an integral action)

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Robustness properties
LQR-controlled systems if R is diagonal, then the system will have a gain margin equal to and a phase margin of 60 The input u = Kx can have a complex perturbation ui = kieji , i = 1, 2, . . . , m m = number of inputs

without causing instability providing 1. i = 0 and 0.5 ki , 2. ki = 1 and |i| 60, i = 1, 2, . . . , m

i = 1, 2, . . . , m

LQG-controlled systems LQG-controlled system with a combined Kalman lter and LQR control law, there are NO guaranteed stability margins
Linear Quadratic Gaussian Control 6-13

References
Lecture note on Observer-based controller design, David Banjerdphongchai, Chulalongkorn University Chapter 9 in S. Skogestad and I. Postlethwaite, Multivariable Feedback Control: Analysis and Design, John Wiley & Sons, 1996

Linear Quadratic Gaussian Control

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