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Jitkomut Songsiri
output feedback
Kalman filter
LQG/LQR
7-1
Output feedback
consider a linear system
x = Ax + Bu,
y = Cx
7-2
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
x + Bu
define the state estimation error e = x x
, we can see
e = Ax A
x = Ae
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
x + Bu + L(y y),
x
(0) = 0
7-3
e(0) = x(0)
7-4
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
x + L(y y) + Br BK x
or
d x
A
=
LC
dt x
BK
x
B
+
r
A LC BK x
7-5
Separation principle
change the coordinate
I
I
0
x
x
x
=
=
I x
xx
BK
x
I
+
r
A LC e
0
7-6
y = Cx + v
7-7
Kalman filter
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
and V 0,
respectively
7-8
R
0
x(t)Qx(t) + u(t)Ru(t)dt
P A + AP P BR1B P + Q = 0
with conditions
(A, B) controllable to guarantee Jmin <
(A, Q) observable to obtain a unique positive definition P
Duality: Kalmain filter is equivalent to designing an LQR controller on the
dual system (A, C , B , D ) with Q = W , R = V
Linear Quadratic Gaussian Control
7-9
Plant
B
x
R
A
L
+
+
y
-
Kalman Filter
LQ regulator
7-10
Example
we design an LQG controller to a spring-mass system
0
0 1
u + w, y = 1 0 x + v
x+
x =
1
1 0
where covariances of w are v are I and 0.1 respectively
we use the parameters
Q = 5C C,
R = 1,
W = I,
V = 0.1
=
=
=
=
=
7-11
2
1.5
1
0.5
0
0.5
1
1.5
0
10
15
20
25
30
t
(a standard LQG does not have an integral action)
Linear Quadratic Gaussian Control
7-12
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
i = 1, 2, . . . , m
i = 1, 2, . . . , m
7-13
Counterexample
we will show that the gain margin of LQG becomes very small as feedback
and observer gains become large
R = 1,
1 1
,
W =
1 1
V =1
7-14
p11 p12
, p12 = p22 = 2 + 4 + , p11 = (p212 )/2
P =
p12 p22
the LQR gain is
K = R
B P = (2 + 4 + ) 1 1
k k
7-15
A
LC
BK
(A LC + BK)
7-16
c0 = 1 + (1 )kl
and the value of can make these two coefficients to change sign:
if > (1 + 1/kl) then c0 < 0
if < [1 (l + k 4)/2lk] then c1 < 0
so the gain margin is smaller as kl becomes larger
increasing l and k relates to increasing Q and W
robustness is enhanced by low weighting on the state and covariance of
process noise
7-17
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
Chapter 6 in
R. F. Stengel, Optimal Control and Estimation, Dover, 1994
7-18