Journal of Process Control 12 (2002) 707719 www.elsevier.

com/locate/jprocont

Minimum variance control and performance assessment of time-variant processes

Biao Huang*
Department of Chemical and Materials Engineering, University of Alberta, Edmonton, AB, Canada T6G 2G6 Received 21 October 2000; received in revised form 20 December 2000; accepted 4 April 2001

Abstract This paper is concerned with (1) an explicit solution of a minimum variance control law for linear time-variant (LTV) processes in the transfer function form, and (2) performance assessment of LTV processes using minimum variance control as the benchmark. It is shown that there exists a time-variant, absolute lower bound of process variance that is achievable under LTV minimum variance control and can be estimated from routine operating data. This lower bound can subsequently be used to assess the benet of implementing LTV control such as adaptive control. The proposed methods are illustrated through simulated examples and an industrial case study. # 2002 Elsevier Science Ltd. All rights reserved.
Keywords: Minimum variance control; Linear time-variant system; Performance monitoring; Non-stationary time series

1. Introduction In this paper, we consider (1) an explicit solution of the minimum variance control law for linear time-variant (LTV) processes in the transfer function form, and (2) performance assessment of LTV processes using minimum variance control as the benchmark. Development of linear time-invariant (LTI) minimum variance control can be attributed to Astrom [1]. The theory has received considerable attention in the eld of predictive control [6,8,27,29,30], adaptive control [1012,22], and self-tuning control [2,3,5,9,20]. Most recent interests in minimum variance control are in the emerging research area of control loop performance assessment [7,13,14, 16,17,19,21,26,32,33] that uses minimum variance control as a benchmark to evaluate control loop performance. Despite this development, design of minimum variance control for LTV plants is very rare [23], and is only available in some very restrictive cases, namely one-stepahead minimum variance control for LTV plants with colored process noise, [4,23]. Li and Evans [23] recently developed a d-step-ahead minimum variance control
* Corresponding author. Tel.: +1-780-492-9016; fax: +1-780-4922881. E-mail address: biao.huang@ualberta.ca (B. Huang).

algorithm for LTV plants with colored process noise. A set of pseudocommutation equations have to be solved and the solutions are non-trivial. The method is also restricted to LTV autoregressive moving-average (ARMAX) models. Although the general problem of LTV control may also be solved under the state space framework, the transfer function approach to minimum variance control is of considerable interest particularly in the studies of adaptive control [24] and control loop performance assessment [13,19]. The most distinguished feature of the minimum variance control law in the transfer function form, perhaps, is its simplicity. It admits a closed-form solution without involving a numerical solution or solving the Ricatti equation. On the other hand, minimum variance control is also, theoretically, the best possible control achievable. Its control error is simply a nite-order moving average time series. This fact has been used for diagnosis to determine performance of control loops [1,13,19]. Harris [13] has found that a feedback control invariant or controller independent term of an LTI SISO process can be estimated from routine operating data, and this term represents the process output under minimum variance control. Desborough and Harris [7] further developed this idea and suggested using autoregressive time series modeling to t the process output and consequently calculate the minimum variance term from

0959-1524/02/$ - see front matter # 2002 Elsevier Science Ltd. All rights reserved. PII: S0959-1524(01)00026-9

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linear regression. Since then, a number of extensions have appeared in the literature. Readers are referred to the review in Qin [28], Harris et al. [15] and Huang and Shah [18] for details. However, just like studies on LTV minimum variance control, almost all studies on control-loop performance assessment have so far been limited to time series, that are stationary or can be made stationary by some simple transformation (e.g. dierencing), or to time series that can be represented as a time-invariant linear function of present and past values of an independent white noise process. Non-stationary time series or time-variant dynamics are often observed in performance assessment of control loops due to varying process dynamics, abrupt changes of disturbances, non-linearity of actuators and sensors, operator intervention, etc. The most intuitive extension of performance assessment techniques from LTI process to LTV process is thorough the recursive estimation technique. Several recursive algorithms have been proposed to estimate control loop performance in the presence of non-stationary characteristics in the data [7,18]. As one of the main objectives of this paper we will justify these recursive approaches from a theoretical point of view, and at the same time point out a potential diculty in the handling of LTV operators and propose a solution strategy. The main contributions of this paper therefore include: (1) development of an algorithm for designing the LTV minimum variance control law in the transfer function form; (2) theoretical rationalization of the existence of a time-variant lower bound of process variance that is feedback control invariant and is achievable under LTV minimum variance control; (3) development of a methodology for performance assessment of LTV processes. Compared to the results of Li and Evans [23], the LTV minimum variance control law developed in this paper is directly applicable to the Box Jenkins model structure which is more general than the ARMAX model structure and the calculation of the control law does not require solving a set of nontrivial pseudocommutation equations. The remainder of this paper is organized as follows. In Section 2, an explicit solution of the transfer function form of the LTV minimum variance control law is developed. A methodology for performance assessment of LTV processes using recursive algorithms is developed in Section 3. Simulation examples are give in Section 4 and an industrial case study is discussed in Section 5, followed by concluding remarks in Section 6. To facilitate reading of this paper, most mathematical proofs and derivations are presented in the Appendices.

~ q 1 ; t ut N q 1 ; t at yt q d T

where d is the time-delay and is considered as a constant (the case where d in is not a constant is considered ~ q1 ; t A1 q1 ; t B q1 ; t is the Remark (1)); T delay-free LTV plant transfer function; N q1 ; t D1 q1 ; t C q1 ; t is the disturbance LTV 1 1 transfer 1 function; where A q ; t ; B q ; t ; C q ; t and 1 D q ; t are polynomials in the backshift operator q1, and D(q1, t) and A(q1, t) may or may not have common factors; at is a white noise sequence with a zero 2 mean and time-variant variance a t. Eq. (1) is also known as the (time-varying) BoxJenkins model [25]. In this section, we derive a linear time-variant feedback control law ut=Q(q1, t)yt such that the following control objective function is minimized: Jt E yt 2 We then show that the time-variant minimum variance or the lower bound of the objective function min[Jt]=minE[yt]2 can be estimated from routine operating data even though the process is not under LTV minimum variance control. Before proceeding, we need to introduce a basic property of the backshift operator q1 when it is multiplied by an LTV transfer function. This property will be used throughout this paper. That is, for any LTV transfer function G(q1,t), we have the following identities: q d G q 1 ; t G q 1 ; t d q d qd G q 1 ; t G q 1 ; t d qd The diculty in manipulation of LTV transfer functions is the noncommutativity of the multiplication [24]. For example, let A(q1, t) and B(q1, t) be two LTV polynomials in the backshift operator: A q1 ; t a0 t a1 tq1 an tqn B q1 ; t b0 t b1 tq1 bm tqm

2. Minimum variance control of time-variant processes Consider the LTV SISO process shown in Fig. 1:
Fig. 1. Schematic of time-variant process.

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The multiplication of A(q1, t) and B(q1, t) is given by

n X m X ai tqi bj tqi A q 1 ; t B q 1 ; t i 0 j 0 n X m X ai tbj t iqij i 0 j 0

yt f0 tat f1 tat1 f2 tat2 fd1 tatd1 fd tatd i.e. the rst d terms of this moving average model constitute the process output under LTV minimum variance control as shown in Eq. (4). The proof of this result is shown in the Appendices. Remark 1. The minimum variance control law is designed according to the fact that time delay is one of the fundamental limitations in feedback control. The structure of the Diophantine equation [Eq. (3)] for the design of the minimum variance control law depends on the time delay, which is assumed to be constant so far. It is clear that changing of time delay will change the number of terms in Fq1 ; t, i.e. the polynomial Fq1 ; t varies not only in its parameters but also in the number of terms in the polynomial. The same argument applies to the term Rq1 ; tqd . Therefore, by assuming a time varying d and then following the same derivation procedure as in Appendix A, the minimum variance control law can be derived as ~ 1 q1 ; t R q1 ; t d F1 q1 ; t Q q 1 ; t T which has the same form as Eq. (2). However, the two terms in the control law, Rq1 ; t d and F1 q1 ; t, vary not only in their parameters but also in their structures which can be determined from the Diophantine equation. The closed-loop response under LTV minimum variance control is given by  yt mv f0 t f1 tq1 fd1 tqd1 at which has the same form as Eq. (4) but d is time varying, i.e. the number of terms in this equation is time varying. For performance assessment, one typically assumes time delay is known a priori [7,13,18]. The rationale is that time delay constitutes a fundamental limitation on the achievable control performance and must be known in order to assess this fundamental performance limitation. Knowing time delay is much less demanding than knowing a complete knowledge of the process. However, if the time delay or its variation is unknown and if there is an external excitation to the control loop, then closed-loop identication (recursive closed-loop identication for the time varying system) [31] can be applied to on-line estimate the time delay. If there is no external excitation available, then the extended horizon performance assessment (or a plot of the minimum variance term versus a range of time delay) can also be useful for assessment of controller performance by checking the trajectory of the plot [15,18,33].

while the multiplication of B(q1, t) and A(q1, t) is given by

m X n X bj tqi ai tqi B q 1 ; t A q 1 ; t j 0 i 0 n X m X bj tai t jqij i 0 j 0

Therefore, A(q1, t)B(q1, t)6B(q1, t)A(q1, t). This result implies that the LTV minimum variance control law is not a trivial extension from the LTI minimum variance control law. The following result presents the design of LTV minimum variance control and performance assessment of LTV processes using the minimum variance control as the benchmark. Result 1. For an LTV process shown in Eq. (1), the solution of the LTV minimum variance control law and the performance assessment problem is given by the following steps: (i) the LTV minimum variance control law is given by ~ 1 q 1 ; t R q 1 ; t d F 1 q 1 ; t Q q 1 ; t T 2

where Fq1 ; t and Rq1 ; t are solved from a Diophantine identity: N q1 ; t f0 t f1 tq1 fd1 tqd1 |{z} R q 1 ; t q d
Fq1 ;t

(ii) where fi t fori 1; ; d 1 are time-variant impulse response coecients of the disturbance transfer function, and Rq1 ; t is the remaining rational, proper transfer function. The closed-loop response under minimum variance control is given by  yt mv f0 t f1 tq1 fd1 tqd1 at 4 (iii) If one models the closed-loop response, that is not necessarily under minimum variance control, by a moving average model, then the model should have the following form

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Remark 2. A minimum variance control law for the LTV ARMAX process has been discussed in Li and Evans [23]. Compared to Li and Evans [23], the LTV minimum variance control law shown in Eq. (2) is more general and simpler in the following senses: The model used for the derivation of Eq. (2) is a general BoxJenkins model ~ q 1 ; t ut N q 1 ; t at yt q d T while Li and Evans [23] uses an ARMAX model A q 1 ; t yt B q 1 ; t ut C q 1 ; t at In order to solve the LTV minimum variance control problem, a set of pseudocommutation equations have to be solved rst in Li and Evans [23], which is non-trivial. In this paper, the solution of the LTV minimum variance control law does not require the pseudocommutation equations, and thus signicantly simplies the design procedure. In the Appendices, we will show that the LTV minimum variance control law derived in this paper is equivalent to that derived by Li and Evans [23] if the BoxJenkins model is reduced to an ARMAX model.

mated rst and then transferred into the moving average form, Eq. (5). The following result shows that any stable closed-loop response of an (open-loop) LTV BoxJenkins process under feedback control can be expressed by an LTV ARMA model. Result 2. For the LTV process shown in Eq. (1), the stable closed-loop response under LTV feedback control ut Qq1 ; tyt U1 q1 ; tVq1 ; tyt can be represented by an LTV ARMA time series model, where Uq1 ; t and Vq1 ; t are polynomials in the backshift operator q1. Proof. Substituting ut=Q(q1, t)yt=U1(q1, t) V(q1, t)yt into Eq. (1) yields h i1 1 ~ q 1 ; t Q q 1 ; t yt 1 q d T N q ; t at 1 1 q d A 1 q 1 ; t B q 1 ; t U 1 q 1 ; t V q 1 ; t D 1 q 1 ; t C q 1 ; t at 1 A 1 q 1 ; t d B q 1 ; t d U 1 q 1 ; t d 1 7 V q1 ; t d qd D1 q1 ; t C q1 ; t at where A(q1, t), B(q1, t), C(q1, t) and D(q1, t) are polynomials in the backshift operator q1 as dened in Eq. (1). It follows from Li and Evans [23] that there exists a pseudocommutation equation such that B q 1 ; t d U 1 q 1 ; t d 1 ~ 1 q 1 ; t d B ~ q ;t d U 8

3. Performance assessment of LTV processes One of the main objectives of this paper is to justify control loop performance assessment for LTV processes using LTV minimum variance control as the benchmark through the recursive algorithm, and in the same time to point out potential problem in the calculation of the minimum variance term and the solution strategy. As shown in Result 1, a stable LTV closed-loop response can be written as an innite-order movingaverage (MA) process: yt f0 tat f1 tat1 f2 tat2 fd1 tatd1 fd tatd 5

Substituting Eq. (8) into Eq. (7) yields h 1 1 1 ~ ~ q ;t d q ;t d B yt 1 A1 q1 ; t d U 1 V q1 ; t d qd D1 q1 ; t C q1 ; t at 9 ~ 1 (q1, td), Denote E1(q1, td)=A1(q1, td)U and then Eq. (9) can be written as h 1 ~ q ;t d D q1 ; t 1 E1 q1 ; t d B 10 V q 1 ; t d q d yt C q 1 ; t at Similarly the following pseudocommutation equation exists 1 ~ 1 q 1 ; t d D ~ q ;t D q 1 ; t E 1 q 1 ; t d E Substituting Eq. (11) into Eq. (10) yields h 1 1 ~ 1 q 1 ; t d D ~ q ;t B ~ q ;t d D q 1 ; t E V q 1 ; t d q d yt C q 1 ; t at 11

The LTV minimum variance can be calculated from the rst d-terms of the moving average model (5), i.e.
2 2 2 2 t f 2 mv 0 ta t f 1 ta t 1 2 f2 d1 ta t d 1

By comparing this minimum variance term with the actual process variance, one can determine how well the current controller is operating. For LTV processes, this comparison indicates whether an LTV or adaptive control should be used. To calculate the minimum variance term in practice, an LTV ARMA model may be esti-

12

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~ (q1, td) yields Multiplying Eq. (12) by E h 1 ~ q 1 ; t B ~ q ;t d ~ q 1 ; t d D q 1 ; t D E ~ q 1 ; t d C q 1 ; t at V q 1 ; t d q d yt E Denote this equation as Acl q1 ; t yt Ccl q1 ; t at

1 f0 t f1 t ltf0 t 1q1 f2 t ltf1 t 1q2 f3 t ltf2 t 1q3 17

13

which has the form of the LTV ARMA model, where Acl(q1, t) and Ccl(q1, t) are polynomials in the backshift operator q1. Remark 3. Although in the proof of Result 2, we use pseudocommutation equations to derive the ARMA form of the closed-loop response, we do not use the pseudocommutation equations to solve for Eq. (13) in practice. Instead, we directly estimate the coecients of Eq. (13) from time series analysis of routine operating data. & Therefore, any recursive time-series analysis algorithm can be used to estimate the LTV ARMA model for performance assessment of LTV processes [7,18]. However, to calculate the minimum variance, care has to be taken to the noncommutativity problem when we transfer the LTV ARMA model to the LTV moving average (MA) model, which is a necessary step for the calculation of the minimum variance term. Simple long division may not yield a correct solution if the plant model or the disturbance model varies suciently fast. This fact has so far been ignored in the literature. For example, for an LTV ARMA model A q 1 ; t yt C q 1 ; t at the LTV impulse response coecients have to be solved via the following equation: C q 1 ; t A q 1 ; t f0 t f1 tq1 f2 tq2 14

Equating coecients of the both hand sides of Eq. (17) yields 8 f0 t 1 > > > > > < f1 t lt f2 t ltlt 1 > f > 3 t ltlt 1lt 2 > > > :. . . That is yt 1 ltq1 ltlt 1q2 ltlt 1lt 2 q 3 at However, direct long division of Eq. (15) yields yt 1 ltq1 l2 tq2 l3 tq3 at

18

which is not correct. In Li and Evans [23], the multiplications as used in Eqs. (16) and (17) are called the normal multiplication of LTV transfer functions; The multiplication (or division) that is used to derive Eq. (18) is called pointwise multiplication (or division). The normal multiplication is non-commutative, while the pointwise multiplication (or division) is commutative but not applicable to LTV transfer functions. Therefore, unless we can directly model the LTV time series by the moving average model, any attempt to transfer other models to the moving average model needs to take the noncommutativity into account if the parameters vary suciently fast. In any case, it would be recommended to use normal multiplication/division rather than the pointwise multiplication/division when one deals with time varying processes.

4. Simulations Solving Eq. (14) by equating coecients of the equation is not obvious due to the noncommutativity problem. Consider a simple LTV AR model: 1 ltq1 yt at 15 According to Eq. (14), the impulse response coecients can be solved via 16 1 1 ltq1 f0 t f1 tq1 f2 tq2 This yields

Simulation 1. Consider a process transfer function given by: ~ q1 q4 1 0:67q1 1 Kp t q d T 19

and the time-variant disturbance transfer function given by 1 N q1 1 ltq1 20

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In this simulation, the minimum variance control law will be calculated and closed-loop responses are simulated to demonstrate applicability of the proposed LTV minimum variance control law. The purpose of choosing this example is to test the proposed minimum variance control law for several dierent scenarios, from extremely rapid parameter change to relatively slow parameter change. The performance of traditional adaptive control is also compared with the new LTV minimum variance control through this simulation. The Diophantine identity can be solved according to Eq. (3) as: 1 1 ltq1 f0 t f1 tq1 f2 tq2 f3 tq3 1 1 ltq1 g0 q4 or equivalently 1 1 ltq1 f0 t f1 tq1 f2 tq2 f3 tq3 g0 q 4 21

and the LTV minimum variance is given by 2 mv t 1 lt2 ltlt 12 2 ltlt 1lt 22 a

25

In the following, we shall simulate closed-loop responses of LTV minimum variance control for dierent sets of parameters. Case 1. Consider l(t)=(1)t and Kp(t)=0.33(1)t where t is integer. In this system the pole of the disturbance transfer function has a rapid change from 1 to 1 and vice versa, and the gain of the plant has a rapid change from 0.33 to 0.33 and vice versa. The disturbance trajectory without control is shown in Fig. 2. The process output under LTV minimum variance control is shown on the top graph of Fig. 3, and the controller output is shown on the bottom graph of Fig. 3. Clearly, the LTV minimum variance controller is able to regulate the disturbances even though the process dynamics may change arbitrarily fast. Case 2. Consider the case when both plant and disturbance dynamics gradually change with time (in comparison to the abrupt changes as discussed in the previous case). This case would be naturally related to adaptive control. We shall compare the LTV minimum

Equating coecients of both hand sides of Eq. (21) yields 8 f0 t 1 > > > > < f1 t lt f2 t ltlt 1 > > f t ltlt 1lt 2 > > : 3 g0 t ltlt 1lt 2lt 3 That is F q1 ; t 1 ltq1 ltlt 1q2 ltlt 1lt 2q3 22

Fig. 2. The trajectory of the disturbance with LTV dynamics.

1 R q1 ; t 1 ltq1 ltlt 1lt 2lt 3 23 The LTV minimum variance control law can be calculated from Eq. (2): 1 1 1 Q q1 ; t K 1 lt 4q1 p t 1 0:67q lt 4lt 3lt 2lt 1 1 ltq1 lt 1 lt 1q2 ltlt 1lt 2q3 24 The time-variant minimum variance term can theoretically be calculated from Eq. (4) as yt jmv 1 ltq1 ltlt 1q2 ltlt 1 l t 2 q 3 at

Fig. 3. The trajectory of the output under LTV minimum variance control.

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variance control with the traditional adaptive minimum variance control. Assume that the models can be exactly estimated, i.e. we consider control performance of traditional adaptive control without modelplant mismatch. This represents the best possible performance of traditional adaptive minimum variance control. The traditional adaptive minimum variance control, as discussed in Li and Evans [23], does not take into account the noncommutativity of the LTV transfer functions. For this example, the traditional adaptive minimum variance control law would be Q q 1 ; t 1 0:67q1 l4 t Kp t1 ltq1 1 ltq1 l2 tq2 l3 tq3 where all multiplications (or divisions) are pointwise [23]. Pointwise multiplication (or division) does not cause any time delay in the coecients of the polynomials and is commutative. Let us rst consider that the model parameters change continuously and relatively fast: Kp 0:33 0:3sin250t

Fig. 4. The trajectory of the outputs under traditional adaptive minimum variance control and LTV minimum variance control.

Fig. 5. The trajectory of the outputs under traditional adaptive minimum variance control and LTV minimum variance control.

Case 2. t 0:4 0:4cost=10 lt 0:67 0:33cost=10 28 29

l sin250t Case 3. The simulation results are shown in Fig. 4. The closed-loop response under traditional adaptive minimum variance control clearly yields much poorer performance than the LTV minimum variance control. The dierence of the performance is reduced when the parameter change slows down. Consider Kp 0:33 0:3sin100t l sin100t Then the two minimum variance controllers yield similar responses as shown in Fig. 5. Simulation 2. Now consider the performance assessment problem. The process model is given by yt q 4 1 0:33 ut 1 ltq1 1 tq1 at 1 0:67q1 t 0:4 0:4cost lt 0:67 0:33cost 30 31

A Dahlin controller is used to control this process, which is given by Q q 1 0:7 0:47q1 0:33 0:10q1 0:23q4 32

We consider that disturbance has three dierent time variant dynamics: Case 1. t 0:4 0:4cost=100 lt 0:67 0:33cost=100 26 27

In this simulation, we shall compare the dierence between the normal multiplication and pointwise multiplication for the calculation of the minimum variance term. This is an example where the disturbance dynamics varies with time in a relatively smooth way. The purpose of choosing this example is to compare the proposed performance assessment algorithm with the traditional one for several dierent scenarios, i.e. from relatively slow parameter change to relatively fast parameter change. The LTV minimum variance term can theoretically be calculated via the Diophantine equation: 1 1 tq1 1 f1 tq1 f2 tq2 1 f3 tq3 1 ltq1 r0 tq4 1 ltq1

or

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1 tq1 1 ltq1 1 f1 tq1 f2 tq2 f3 tq3 r0 tq4 It follows from Eq. (33) that 8 < f1 t lt t f t ltf1 t 1 : 2 f3 t ltf2 t 1

33

given by case 1. The calculated minimum variance terms for the disturbance dynamics given by case 2 are shown in the middle subgure. The calculated minimum variance terms for the disturbance dynamics given by case 3 are shown in the bottom subgure. The three subgures are arranged in the ascending order, from the top to the bottom, in terms of varying rate of the disturbance parameters. It is clearly seen that the dierence between the normal multiplication and the pointwise multiplication increases with the increase of the parameter varying rate.

It is interesting to compare the dierence between the normal multiplication and pointwise multiplication and how this dierence varies with the parameter changing rate. The comparisons are shown in Fig. 6. The top subgure shows the minimum variance term calculated using the normal multiplication (solid line) and pointwise multiplication (dashed line) for the disturbance dynamics

5. Case study on an industrial cascade control loop The proposed performance assessment method is applied to monitor control loop performance of an industrial cascade control loop. The schematic of the process is shown in Fig. 7. The feed stocks are anhydrous ammonia (NH3) and air. The ammonia goes through a two-stage heating process before entering the catalytic reaction which contains a (gauze type) platinumrhodium catalyst. Process air at over 400 F and 150 psig enters the reactor. The ammonia-air mixture reacts on the catalyst at over 1600 F and forms nitrogen dioxide with other by-products (NOx). In order to maximize the production of NO2 and minimize the by-products which are harmful to the environment, the gauze temperature is required to be kept as steady as possible even in the presence of disturbances in the ambient temperature air quality, ammonia feed temperature, and ammonia ow rate. The present control conguration is that the gauze temperature controller (outer loop) adjusts the setpoint of the ammonia ow rate (inner loop). The time delay of the outer loop from a priori analysis is known to be 15 s including the delay due to the zeroorder-hold device. The sampling period is 5 s, and, therefore, the time delay is three sampling periods, i.e. d=3.

Fig. 6. Comparison of time-variant minimum variance term between normal multiplication and pointwise multiplication.

Fig. 7. Schematic diagram of the industrial cascade reactor control loop.

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To compare the minimum variance term estimated using normal multiplication and pointwise multiplication, the estimated time-variant minimum variance of the outer loop is shown in Fig. 8. The dierence can clearly be seen from the gure. Since the minimum variance term depends on disturbance dynamics only, the time varying property of the minimum variance term actually reects the time varying property of the disturbance dynamics. This case study once again shows importance to use the normal multiplication rather than the pointwise multiplication for a process with time varying characteristics. Remark 4. This example demonstrates that it is important to use normal multiplication in the estimation of the minimum variance term for an LTV process. The time varying nature of process data is frequently observed in practice, which is due to either varying process dynamics or varying disturbance dynamics. In this example, it has been suspected that the time varying nature is due to time varying feed quality and/or ambient temperature. It is worthwhile, before concluding, to point out that to calculate the minimum variance term using the proposed approach, one does not need to know process or disturbance models, which is a very desired property in practice for assessment of control loop performance.

variance) for an LTV process is feedback control invariant and can be estimated from routine operating data. The results have been veried by simulated examples and an industrial case study.

Acknowledgements This work was supported by the Natural Sciences and Engineering Research Council of Canada under Research Grant 203057-98.

Appendix A. Proof of result 1

Proof. Let ut=Q(q1, t)yt be a time-variant control law. Substituting this into Eq. (1) yields  1 1 ~ q 1 ; t Q q 1 ; t yt 1 q d T N q ; t at Substituting Eq. (3) into Eq. (A1) yields  1 ~ q 1 ; t Q q 1 ; t yt 1 q d T 1 F q ; t R q 1 ; t q d at A1

A2

6. Conclusion An explicit transfer function form of the LTV minimum variance control law has been derived in this paper. This result extends the recent contributions by Li and Evans [23] from an ARMAX model to the general BoxJenkins model. The solution presented here is simpler and no pseudocommutation equations need to be solved, which has greatly simplied the design of the LTV minimum variance control law. It has been shown that the lower bound of process variance (minimum

Due to noncommutativity of the multiplication of LTV transfer functions, we have to treat all manipulations of the LTV polynomials in the same way as the matrix manipulation. Applying the matrix inversion lemma (see Appendix C) to Eq. (A2) yields   1 ~ q 1 ; t 1 Q q 1 ; t q d T ~ q 1 ; t yt 1 q d T Q q 1 ; t F q 1 ; t R q 1 ; t q d a t F q 1 ; t at ~ q 1 ; t 1 Q q 1 ; t R q 1 ; t q d at q d T 1 1 1 ~ q 1 ; t ~ q 1 ; t q d T Q q ; t F q ; t at q d T  1 1 1 d ~ q 1 ; t 1 Q q 1 ; t q d T Q q ; t R q ; t q at A3 Denoting the third term on the right hand side of Eq. (A3) as rhs3, then  1 ~ q 1 ; t 1 Q q 1 ; t q d T ~ q 1 ; t rhs3 qd T ~ q 1 ; t d Q q 1 ; t F q 1 ; t a t T   1 1 1 ~ q 1 ; t qd qd Q q 1 ; t q d T Q q ; t F q ; t at  1 ~ q 1 ; t d 1 Q q 1 ; t d q d T ~ q 1 ; t d T Q q 1 ; t d F q 1 ; t d a t d A4

Fig. 8. Estimated time-variant minimum variance.

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Similarly, the fourth term on the right hand side of Eq. (A3) can be written as ~ q 1 ; t d rhs4 T  1 ~ q 1 ; t d 1 Q q 1 ; t d q d T Q q 1 ; t d R q 1 ; t d q d a t d

The LTV minimum variance control law can therefore be solved from Eq. (A8). Using Eqs. (A7) and (A8), we have ~ q 1 ; t d 1 Q q 1 ; t d R q 1 ; t T 1 1 ~ q 1 ; t d q d T Q q ; t d N q 1 ; t d 0 This can be simplied to

A5

Substituting Eqs. (A4) and (A5) into Eq. (A3) yields ~ q 1 ; t d y t F q 1 ; t a t R q 1 ; t a t d T  1 1 ~ q 1 ; t d 1 Q q 1 ; t d q d T Q q ;t d ~ q 1 ; t d F q 1 ; t d a t d T  1 1 ~ q 1 ; t d 1 Q q 1 ; t d q d T Q q ;t d R q1 ; t d qd atd F q1 ; t at L q1 ; t atd A6 where ~ q 1 ; t d L q 1 ; t R q 1 ; t T  1 1 ~ q 1 ; t d 1 Q q 1 ; t d q d T Q q ;t d ~ q 1 ; t d F q 1 ; t d T  1 1 ~ q 1 ; t d 1 Q q 1 ; t d q d T Q q ;t d ~ q 1 ; t d R q 1 ; t d q d R q 1 ; t T  1 1 ~ q 1 ; t d 1 Q q 1 ; t d q d T Q q ;t d 1 F q ; t d R q 1 ; t d q d R q 1 ; t  1 ~ q 1 ; t d 1 Q q 1 ; t d q d T ~ q 1 ; t d T Q q 1 ; t d N q 1 ; t d A7 which is a proper transfer function. Since F(q1, t)at=f0(t)at+ +fd1(t)atd+1 depends on the white noise sequence from atd+1 up to at, and L(q1,t)atd depends on the white noise sequence before time td+1, the two terms on the right hand side of Eq. (A6) are independent, and as a result, Varyt Var F q1 ; t at Var L q1 ; t atd Therefore Varyt 5Var F q1 ; t at The equality holds [or the lower bound of Var(yt) is achieved] if and only if L q 1 ; t 0 A8

 1  1 1 ~ q ; t d q d R q1 ; t Q1 q1 ; t d T N q 1 ; t d 0 or  1 1 1 ~ q ; t d q d Q 1 q 1 ; t d T R q1 ; t N1 q1 ; t d Therefore, we have ~ 1 q 1 ; t d Q q 1 ; t d T ~ 1 q 1 ; t d N q 1 ; t d R 1 q 1 ; t q d 1 T 1 1 F q ; t d R q1 ; t d qd R1 q1 ; t qd ~ 1 q 1 ; t d F q 1 ; t d q d R q 1 ; t T 1 ~ 1 q 1 ; t d R q 1 ; t R 1 q 1 ; t q d T F1 q1 ; t d A9 or ~ 1 q1 ; t R q1 ; t d F1 q1 ; t Q q 1 ; t T A10

The closed-loop response under LTV minimum variance control can be solved by substituting Eq. (A10) into Eq. (A6). This yields yt jmv F q1 ; t at A11 f0 t f1 tq1 fd1 tqd1 at In Eq. (A6), the controller transfer function Q(q1, t) only aects the second term, L(q1, t), the minimum variance term F(q1, t) is therefore feedback controller invariant. If we model routine operating data by a moving average model, then the model should have the following form: yt f0 tat f1 tat1 f2 tat2 fd1 tatd1 |{z}
Fq1 ;tat

fd tatd |{z}
Lq1 ;tatd

B. Huang / Journal of Process Control 12 (2002) 707719

717

i.e. the rst d terms precisely constitute the process output under minimum variance control.

1 1 where y t is the desired setpoint; E(q , t) and G(q , t) are determined from the Diophantine identity

1 ~ q 1 ; t E q 1 ; t A ~ q ; t G q 1 ; t q d C Appendix B. Equivalence of two LTV minimum variance control laws Proof. See Li and Evans [23]. To verify the developed LTV minimum variance control law, in the sequel we shall show that the LTV minimum variance control law derived in this paper is equivalent to that derived by Li and Evans [23] if the BoxJenkins model is reduced to an ARMAX model. We will, in the following, introduce three lemmas before the proof of the equivalence of the two minimum variance control laws. Lemma 5. For an LTV ARMAX model: A q 1 ; t y t d B q 1 ; t u t C q 1 ; t a t d

B6

Lemma 7. For the same notations as dened in Lemmas 5 and 6, the following equality holds: 1 1 ~ ~ q 1 ; t E1 q1 ; t G q1 ; t C q ;t d A 1 1 ~ 1 q 1 ; t G q 1 ; t A ~ q ; t d E1 q1 ; t d B7 C Proof. Eq. (B7) is equivalent to: 1 1 1 1 1 ~ q 1 ; t A ~ C q ; t E q ; t G q ; t G q 1 ; t 1 ~ 1 q1 ; t d E1 q1 ; t d C ~ q ;t d A B8

B1

Eq. (B1) is I/O equivalent to the following LTV model: " # ! ! ~ q 1 ; t 0 D ut xtd B2 ~ q1 ; t B ~ q 1 ; t zt a t d A y t d ! h i xtd 1 ~ C q ;t 0 zt B3

~ q 1 ; t ; B ~ q1 ; t ; and D ~ q 1 ; t ; C ~ q 1 ; t where A are determined from the following pseudocommutation equations: 1 1 ~ q ; t C q 1 ; t A ~ q ;t A q 1 ; t C 1 1 ~ q ; t C q 1 ; t B ~ q ;t B q 1 ; t D Proof. See Li and Evans [23]. This lemma builds a bridge between the regular ARMAX model and the model used to derive the LTV minimum variance control in Li and Evans [23]. With this new model the LTV minimum variance control law can be solved from the following lemma. Lemma 6. The minimum variance control law for the new I/O equivalent model in Lemma 5 is given by " ~ q 1 ; t d C G q 1 ; t # ! ! yt ^ t jt x y t d z ^t jt B4 ! h i x ^ t jt ~ q 1 ; t ut 0 D ^t jt z B5

Substituting Eq. (B6) into the left hand side of Eq. (B8) yields h 1 i 1 1 ~ q ; t G q 1 ; t q d A ~ q ;t lhs E q1 ; t A E 1 q 1 ; t G q 1 ; t G q 1 ; t G q 1 ; t ~ 1 q1 ; t E1 q1 ; t G q1 ; t q d A

Substituting Eq. (B6) into the right hand side of Eq. (B8) yields 1 1 ~ rhs G q1 ; t A q ; t d E1 q1 ; t d h 1 i ~ q ; t d G q 1 ; t d q d E q 1 ; t d A ~ 1 q 1 ; t E 1 q 1 ; t G q 1 ; t G q 1 ; t q d A G q 1 ; t Thus lhs=rhs, i.e. Eq. (B8) holds and consequently Eq. (B7) is true. With these three lemmas, we are in the position to show the equivalence of the LTV minimum variance control law for an ARMAX model as derived in Li and Evans [23] and the LTV minimum variance control law developed in this paper when it is applied to an LTV ARMAX model. Corollary 8. For the LTV ARMAX model given by Eq. (B1), the LTV minimum variance control law shown in Result 1 is the same as the minimum variance control law given in Lemma 6. However, the solution in Result 1 does not require solving pseudocommutation equations and therefore simplies the design procedure.

1 ~ q ;t E q 1 ; t B

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B. Huang / Journal of Process Control 12 (2002) 707719

Proof. It follows from Eqs. (B2) and (B3) that the I/O equivalent model of (B1) is given by 1 1 1 1 1 ~ q 1 ; t A ~ ~ q ;t D ~ yt q C q ;t B q ; t ut 1 1 1 ~ q ;t d A ~ C q ; t d at B9
d

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Comparing Eq. (B9) to Eq. (1) yields 1 1 1 1 1 ~ q 1 ; t A ~ q ;t B ~ q ;t D ~ ~ q 1 ; t C q ;t T 1 1 ~ q 1 ; t d A ~ N q 1 ; t C q ;t d Combining Eqs. (B6) and (B11) yields N q 1 ; t E q 1 ; t d G q 1 ; t d ~ 1 q 1 ; t 2d q d A Comparing Eq. (B12) with (3) yields F q 1 ; t E q 1 ; t d 1 1 ~ q ; t 2d R q 1 ; t G q 1 ; t d A B10 B11

B12

B13 B14

From Eqs. (B4) and (B5), (assuming a zero setpoint for simplicity) the minimum variance control law solved by using pseudocommutation equations is given by 1 1 1 1 1 ~ q 1 ; t B ~ q ;t E ~ q ;t G q ;t ut D ~ 1 q 1 ; t d yt C Substituting Eq. (B7) into Eq. (B15) yields 1 1 1 1 1 1 ~ q ;t C ~ ~ q 1 ; t B ~ q ;t A ut D q ;t G q ;t 1 1 1 1 ~ A q ; t d E q ; t d yt B16 Using Eqs. (B10), (B13) and (B14), Eq. (B16) can be written as ~ 1 q1 ; t R q1 ; t d F1 q1 ; t yt ut T which is the same as the minimum variance control law reported in Result 1.

B15

Appendix C. Matrix inversion lemma Given matrices A, B, C and D, then the following identity holds: 1 A BCD1 A1 A1 B C1 DA1 B DA1 where A and C are assumed to be invertible.

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