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    Linear Quadratic Control: Derivation: Indian Institute of Technology Roorkee

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    Shivam
    This document describes the derivation of the optimal linear quadratic control law. It shows that: 1) The optimal control law that minimizes a performance index is given by u = -Kx, where K is the feedback gain matrix. 2) By substituting the control law into the system model and performance index, an equation relating K and system matrices A, B, Q, R can be derived. 3) Solving this equation for K results in the optimal feedback gain being K = R-1B*P, where P satisfies the continuous-time Riccati equation A*P+PA-PBR-1B*P+Q=0.

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    Linear Quadratic Control: Derivation: Indian Institute of Technology Roorkee

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    Shivam
    32 views8 pages
    This document describes the derivation of the optimal linear quadratic control law. It shows that: 1) The optimal control law that minimizes a performance index is given by u = -Kx, where K is the feedback gain matrix. 2) By substituting the control law into the system model and performance index, an equation relating K and system matrices A, B, Q, R can be derived. 3) Solving this equation for K results in the optimal feedback gain being K = R-1B*P, where P satisfies the continuous-time Riccati equation A*P+PA-PBR-1B*P+Q=0.

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    This document describes the derivation of the optimal linear quadratic control law. It shows that: 1) The optimal control law that minimizes a performance index is given by u = -Kx, where K is the feedback gain matrix. 2) By substituting the control law into the system model and performance index, an equation relating K and system matrices A, B, Q, R can be derived. 3) Solving this equation for K results in the optimal feedback gain being K = R-1B*P, where P satisfies the continuous-time Riccati equation A*P+PA-PBR-1B*P+Q=0.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    32 views8 pages

    Linear Quadratic Control: Derivation: Indian Institute of Technology Roorkee

    Uploaded by

    Shivam
    This document describes the derivation of the optimal linear quadratic control law. It shows that: 1) The optimal control law that minimizes a performance index is given by u = -Kx, where K is the feedback gain matrix. 2) By substituting the control law into the system model and performance index, an equation relating K and system matrices A, B, Q, R can be derived. 3) Solving this equation for K results in the optimal feedback gain being K = R-1B*P, where P satisfies the continuous-time Riccati equation A*P+PA-PBR-1B*P+Q=0.

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    You are on page 1of 8

    INDIAN INSTITUTE OF TECHNOLOGY ROORKEE

    LINEAR QUADRATIC CONTROL:


    DERIVATION
    OPTIMAL CONTROL PROBLEM

     Consider a system represented in state-space form as


    x&= Ax + Bu (1)

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

    u =-Kx (2)

     Such that the performance index given below is minimized


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

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

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

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


    �
    J =� ( )
    xT ( Q + K T RK ) x dt (5)

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

    where, P is positive definite Hermitian matrix

    3
     Simplifying (6), we get

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

     From (4), we get


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

    = xT (0) Px(0) - xT (�) Px(�)


     An assumption here is that (A-BK) is stable. Hence x(�) = 0 and
    J = xT (0)Px(0)
    4
     To obtain the optimal control law, assume
    R = T *T
     From (7), we get
    ( A - K B ) P + P( A - BK ) + Q + K T TK = 0
    * * * * *

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

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


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

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

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

    5
     On further simplification, we get

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


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

     Thus, we get

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

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


    requires the minimization of

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

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


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

    6
     Hence,
    K =T -1
    (T )
    * -1
    B* P
    = R -1 B * P

     Therefore, the optimal control law is given by


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

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

    7
    8

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