Convex Optimization and System

Theory
Lecturer :

Prof.dr. Anton A. Stoorvogel

E-mail: A.A.Stoorvogel@ewi.tudelft.nl

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Input-output systems

Input
System
Output

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Glass tubes
glas

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lucht

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Inputs:

Air pressure
Glass temperature
Pulling speed

Outputs:

Diameter tube
Wall thickness

Disturbances:

Outside temperature
Impurities in the glass
Non-uniform temperature distribution
Model uncertainties

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Consider a linear system:

x(k + 1) = Ax(k) + Bu(k)
y(k)

= Cx(k) + Du(k)

We need to choose u such that for instance

0  u(k)  1 for all k
1  y(k)  1 for all k
0.9  y(k)  1 for all k > 100
min

u(k)

k=1

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Stability

Consider a linear system:

x(k + 1) = Ax(k) + Bu(k)
y(k)

= Cx(k) + Du(k)

The system is stable if and only if all eigenvalues of A are

inside the unit circle.
Stability of the system implies that bounded input u results
in a bounded state x.

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Open loop versus closed loop

x(k + 1) = Ax(k) + Bu(k),

y(k)

x(0) = x0

= Cx(k) + Du(k)

Choosing u such that y(k) and u(k) satisfy certain

requirements results in an input u which is a function of x0 .

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What happens if we have noise:

x(k + 1) = Ax(k) + Bu(k) + Ew(k),
y(k)

x(0) = x0

= Cx(k) + Du(k)

An optimal choice for u might be very sensitive to the eects of

the disturbance w. A better idea is to use a feedback:

u(k) = Fk x(k) + v(k)

However: is this still a linear optimization problem ?

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Controllability
Consider a linear system:
x(k + 1) = Ax(k) + Bu(k)
y(k)
with x(k)

= Cx(k) + Du(k)

n.

The system is called controllable if for all x0 and x1 there

exists an input u and time T > such that x(0) = x0 implies
that x(T ) = x1 .
A system is controllable if and only if there exists for any
{1 , . . . , n } there exists a matrix F such that the
eigenvalues of A + BF are equal to {1 , . . . , n }

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 A system is controllable if and only if



rank B AB An1 B = n
A system is controllable if and only if


rank I A B = n
for all .

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Stabilizability

Consider a linear system:

x(k + 1) = Ax(k) + Bu(k)
y(k)

= Cx(k) + Du(k)

The system is called stabilizable if there exists a matrix F

such that A + BF has all its eigenvalues inside the unit circle.
For a stabilizable system there exists a preliminary state
feedback u = F x + v such that the resulting system is
stable.

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 A system is stabilizable if and only if



rank I A B = n
for all  with ||  1.

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Consider a linear system:

x(k + 1) = Ax(k) + Bu(k),
y(k)

x(0) = x0

= Cx(k) + Du(k)

We have:
y(k) = Du(k) + CAk x0 +

k1


CAkj1 Bu(j)

j=0

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Consider a stable linear system:

x(k + 1) = Ax(k) + Bu(k) + Ew(k),
y(k)

x(0) = x0

= Cx(k) + Du(k)

We have:
y(k) = Du(k) + CAk x0 +

k1


CAkj1 Bu(j) +

j=0

k1

j=0

CAkj1 Ew(j)


 Mw

Hence small disturbances have small eect.

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x(k + 1) = Ax(k) + Bu(k) + Ew(k),

y(k)

x(0) = x0

= Cx(k) + Du(k)

If you ignore the disturbances in the optimization then

First apply a preliminary stabilizing feedback
u = Fx + v
Next, do an optimization for v.
Note we also need to modify the constraints:
u(k)  1

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F x(k) + v(k)  1

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Stability is a dicult item in optimization:

If we have constraints like:
1  x(k)  1
for all k then we often truncate and only look at k  K but
then stability is no longer guaranteed.
The class of stabilizing feedbacks does not have a nice
structure. It is for instance not convex.

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Model predictive control

At time t:
Measure state xt = x(t)
Calculate input uopt (k) over control horizon t  k < t + N
such that
J[t,t+T ] (xt , uopt ) = inf J[t,t+T ] (xt , u)
u

subject to system/plant equations and constraints.

Implement rst sample
umpc (t) = uopt (t)

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Set t  t + 1 and repeat for all t to yield the receding horizon

controller (RHC)
umpc (t) = uopt (t),

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t

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How do we approach disturbances in an optimization:

Stochastic w is a stochastic process with a known distribution
and we minimize the expected cost.
Worst case We have a min-max optimization:
min max J(x0 , u, w)
u

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Example: overshoot
Consider a stable system:
x(k + 1) = Ax(k) + Bu(k) + Ew(k),
y(k)

x(0) = x0

= Cx(k) + Du(k)

In this case w is a step function:

0
w(t) = H(t) =

t<0
t0

and x0 = 0. We are interested in the behavior of y. We require:

lim y(t) = 1

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but we would like to have the following criterion small:

max y(t)
t

State feedback: u = F x
Open loop: choose u(0), u(1), u(2), . . ..

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