2010 8th IEEE International Conference on FrB3.

2
Control and Automation
Xiamen, China, June 9-11, 2010

The optimal control of delay discrete-time

linear system with control constraint
Zhao Hui and Chen Dongyan and Hou Ling

Abstract— The problem of optimal control of the delay A0 ∈ Rn×n , A1 ∈ Rn×n and B ∈ Rn×1 are known
discrete-time linear system with control constraint is consid- constant matrices, and the control uk is required to satisfy
ered, where the control input is the one-dimensional variable the constraint
which takes its value in a bounded closed interval. By using
dynamic programming, the problem of finding the optimal uk ∈ Ω = [−∆, +∆], ∆ > 0. (2)
saturation control sequence that minimizes the performance
index is transformed into that of finding the optimal saturation The cost functional is defined as
control sequence that minimizes the sequence of performance
functional. The optimal saturation control sequence is derived N
X −1
by using the method of induction. Finally, the effectiveness of J= (zkT Q zk + uTk R uk ) + xTN P xN , (3)
the proposed controller is shown by an example. k=0
Keywords: Delay discrete-time system, Control constraint,    
Optimal saturation controller, Dynamic programming xk Q11 Q12
where zk = , Q = is the state
xk−h Q21 Q22
I. INTRODUCTION weighted matrix and assumed to be symmetric semipositive
Almost all control components are saturate in the practical definite, R is a positive number, and P is the terminal
control systems, among which the input saturation is the state weighted matrix which is chosen to be the symmetric
most common problem. Analysis and synthesis of control semipositive definite matrix solution of the following
systems with input saturation can be found in literatures. algebraic Riccati equation
Recently, the derivation of explicit solutions to the input-    T 
P 0 A0
constrained LQR problem(i.e., the problem of finding the P A0 A1 + Q − M T RM, (4)
 
=
optimal control law for a linear system such that a quadratic 0 0 AT1
cost functional is minimized subject to the satisfaction of the with R = R + B T P B,
input constraints) has attracted considerable attention[1]-[5].
−1
Saturation controller u = −sat∆ (Kx) of the input- M = [K L] = R B T P [A0 A1 ] ∈ R1×2n . (5)
constrained LQR problem was reported in [3]. However,
∗
this solution is of a local nature and valid in a certain Problem 1: Find the control sequence U =
region of the state space. In [4], the region was further {u∗ (0), u∗ (1), · · · , u∗ (N − 1)} minimizing the cost
characterized by a set of linear inequalities and it was shown functional (3). For some horizon N , the control sequence is
that the controller u = −sat∆ (Kx) effectively reaches the denoted by
constraints. Furthermore, the global solution(i.e.,valid in U = {u0 , u1 , · · · , uN −1 }
the entire state space) of discrete-time linear system with . For r ∈ {1, · · · , N } and some initial time N − r ∈
input constraint without delay is presented by substituting {1, · · · , N }, let UN −r denote the partial control sequence
the region optimal saturation controller u = −sat∆ (Kx) in 
[3] with u = −sat∆ (L b N, i x + b
hN, i ). This paper aims to UN −r = uN −r , uN −(r−1) , · · · , uN −1
study the quadratic optimization control problem of the . By U ∈ ΩN (resp,UN −r ∈ Ωr ). we denote the case in which
delay discrete-time linear system with control constrain by every element in the control sequence satisfies uk ∈ Ω, k =
using dynamic programming and present the expression of 0, 1, · · · , N − 1(resp, k = N − r, N − r + 1, · · · , N − 1).
the optimal memory saturation control law. For each r ∈ {1, · · · , N }, the partial control sequence
UN −r ∈ Ωr and the quadratic cost functional is defined by
Consider the delay discrete-time linear system N −1
X
zkT Qzk + uTk Ruk + xTN P xN .


Jr = (6)
xk+1 = A0 xk + A1 xk−h + Buk , (1)
k=N −r
where h is the delay time constant, xk = x(k) ∈ Rn is To find the optimal control sequence, the method of dynamic
the state vector, uk = u(k) ∈ R is the control variable, programming will be applied. By the Principle of Optimality,
for each r ∈ {1, · · · , N }, we have
This work is Supported by National Natural Science Foundation of
P.R.China (10471031,10771047) J00 = xTN P xN ,
Zhao Hui,Chen Dongyan,Hou Ling is with Applied Science College,
Harbin Univ. Sci. and Tech., Harbin, Heilongjiang 150080, P.R. China Jr0 = T
min {zN T 0
dychen 2004@yahoo.com.cn −r QzN −r + uN −r RuN −r + Jr−1 }. (7)
uN −r ∈ Ω

978-1-4244-5196-8/10/$26.00 ©2010 IEEE 1699

 FrB3.2

Pk2 Q k2
Therefore, Problem 1 can be solved by solving Problem 2. Moreover, if k2 < k1 , then j=k 1
(·) = 0, j=k 1
(·) = I, 0
∗
Problem 2: Finding the partial control sequence UN −r = is the zero matrix with the same number of rows or columns,
∗ ∗ ∗
{uN −r , uN −(r−1) , · · · , uN −1 } that minimize the sequence of as the matrices in the summation and I is the identity matrix
the cost functional {J r , J r−1 , · · · , J 0 }. with the same number of rows(or columns) as the matrices
in the products.
II. M AIN RESULTS Next, we present a Lemma which will be needed in the
The following definition will be needed in order to subsequent discussion.
present the main result. For each r ∈ {1, · · · , N }, we define Lemma 1 The matrix defined in (13) satisfies the follow-
r−1 ing properties:
1 X
Kr = {K + K
b r−i A
b r, i , 0 B K b r, i , 0 A0 }, (8)
b r−i A
C i=1 (i) A
b r−1, i , p = A
b r, i+1, p+1 ,
r−1
1 X b r−1, i−1, 0 (A0 − BKr−1 ) = A
(ii) A b r, i , 0 ,
Lr = {L + K
b r−i A
b r, i , 0 B K b r, i , 0 A1 },
b r−i A (9)
C i=1
r−j
(iii) A
b r, 0, 0 = I.
i−1
1
P b b r−i P A
Ar,j = C{ Kr−i A
br,i,0 B(K br,i,p BAr−p,r−i
i=r−j p=1 Proof: These properties follow directly from the defi-
k2
r−(j+1) Y
nition of A
b a, b, c together with the fact that (·) = I, if
b r−i ) −P
+L K
b r−i A
br,i,0 B
i=1 j=k1
i−1
P k2 < k1 .
(K
b r−i A
br,i,p BAr−p,j + Ar−i,j )
p=1 Theorem 1 If there exists a symmetric semi-positive matrix
r−1 r−(j+1)
P P P satisfying (4) for the given system (1) and the cost
+ K
b r−i A
br,i,0 B [K
b r−i A
br,i,p
i=r−j+1 p=1 functional (6), then for each r ∈ {1, · · · , N }, the control
BAr−p,j +K br,i,r−j (A1 − BLj )]},
b r−i A law that satisfies the control constraint (2) and minimizes
(10) the cost functional (6) is given by
i−1
D b X
h r = − (K r−i A
b r, i , p B h r−p + h r−i ), (11)
C p=1 uN −r = −Kr xN −r − L r xN −r−h
r−1
4
X (18)
where K and L are obtained from (4) and (5), C = + Ar, j xN −j−h + h r ,
r−1 j=1
X 4 r−1
1+ (K b r, i , 0 B)2 ,D =
b r−i A P b
Kr−i A
br,i,0 B. For i =
i=1 i=1
1, · · · , r − 1, Kb i and L
b i are respectively defined as where Kr , L r , Ar, j and hr are defined by (14)–(17) respec-
4 4 tively. Moreover, the minimum is
Kb i = K − Ki , L
bi = L − L i. (12)
For a, b, c ∈ Z, let Jr0 = xTN −r P xN −r + R[Kb r xN −r + L
b r xN −r−h
r−1
Ar,j xN −r−h + hr ]2
P
a−1−c
+
4 Y j=1
A
ba, b, c = (A0 − BKj ), (13) r−1
P
j=a+1−b + R {K
b r−i A
br+1,i+1,0 xN −r
i=1
For each r ∈ {1, · · · , N } +K br,i,0 (A1 − BLr )xN −r−h
b r−i A
 r−(i+1) i
K r , if |Ξ| ≤ ∆,
P b r−i P A
Kr = (14) + (K br,i,p−1 BAr+1−p,j
0, otherwise. j=1 p=1
 +Ar−i,j )xN −j−h (19)
Lr , if |Ξ| ≤ ∆, i
Lr = (15) b r−i P A
+(K br,i,p−1 BAr+1−p,r−i
0, otherwise.
p=1
+Lb r−i )xN −(r−i)−h

Ar,j , if |Ξ| ≤ ∆,
Ar,j = (16) r−1 r−j
0, otherwise. P b r−i P A
+ [K br,i,p−1 BAr+1−p,r−i
where j=r−i+1 p=1
  +K br,i,r−j (A1 − BLj )] xN −j−h
b r−i A
 r−1  i
∆ 
 X 
|Ξ| = −K r xN −r − Lr xN −r−h + Ar,j xN −j−h + hr  . b r−i P A
+K br,i,p−1 Bhr+1−p + hr−i }2 .
 j=1  p=1

 h̄r , if |Ξ| ≤ ∆,
hr = −∆, if Ξ < −∆, (17) Proof: We shall use mathematical induction to
∆, if Ξ > ∆. complete the proof. First, by (1),(4),(5) and (7) we have


1700
 FrB3.2

= min {xTN −r P xN −r + R[uN −r + KxN −r

T uN −r
uTN −1 RuN −1 J00

J10 = umin
N −1
zN −1 QzN −1 + +
+LxN −r−h ]2 + R[K b r−1 (A0 xN −r
T T T
= min {zN −1 QzN −1 + uN −1 RuN −1 + xN P xN } +A1 xN −r−h + BuN −r ) + L b r−1 xN −(r−1)−h
uN −1
T T r−2
= min {zN −1 QzN −1 + uN −1 RuN −1 + (A0 xN −1 +
P
Ar−1,j xN −j−h + hr−1 ]2
uN −1
j=1
+A1 xN −1−h + BuN −1 )T P (A0 xN −1 r−2
P
+A1 xN −1−h + BuN −1 )} + R {K
b r−1−i A
br,i+1,0 (A0 xN −r
xN −1 T xN −1 i=1
= min {[ ] Q̃[ ] +A1 xN −r−h + BuN −r )
uN −1 xN −1−h xN −1−h br−1,i,0 (A1 − BLr−1 )xN −(r−1)−h
T
+uN −1 (R + B P B)uN −1 + xN −1 AT0 P BuN −1
T T + Kb r−1−i A
r−i−(i+1) i
+xTN −1−h AT1 P BuN −1 + uTN −1 B T P A0 xN −1 +
P b r−1−i P A
(K br−1,i,p−1 BAr−p,j
+uTN −1 B T P A1 xN −1−h } j=1 p=1
= min {xTN −1 P xN −1 +Ar−1−i,j )xN −j−h
uN −1 i
+R[uN −1 + KxN −1 + LxN −1−h ]2 }, b r−1−i P A
+(K br−1,i,p−1 BAr−p,r−1−i
p=1
where +Lb r−1−i )xN −(r−1−i)−h
Q11 + AT0 P A0 Q12 + AT0 P A1
 
r−2 r−1−j
Q̃ = .
P b P b
QT12 + AT1 P A0 Q22 + AT1 P A1 + [Kr−1−i Ar−1,i,p−1 BAr−p,j
j=r−i p=1
Hence the control uN −1 which minimizes [uN −1 + +K br−1,i,r−1−j (A1 − BLj )]xN −j−h
b r−1−i A
KxN −1 + LxN −1−h ]2 must also minimizes J1 . It is clear i
b r−1−i P A br−1,i,p−1 Bhr−p + hr−1−i }2 }.
+K
that, in the unconstraint case, the optimal control is given by p=1
u∗N −1 = −K 1 xN −1 − L 1 xN −1−h . If uN −1 ∈ [−∆, +∆],
then the optimal control is The above formula can be rewritten as
Jr0 = min {xTN −r P xN −r
u∗N −1 = −sat∆ (KxN −1 + LxN −1−h ) uN −r
,
= −K1 xN −1 − L1 xN −1−h + h1 +R[f (uN −r, xN −r ,xN −r−h , ..., xN −1−h , hr )]2 }.
where K1 , L 1 and h 1 are given in (8) , (9) and (11) Therefore, the control uN −r that minimizes
with r = 1, respectively. Substitute u∗N −1 = −K1 xN −1 − [f (uN −r , xN −r , xN −r−h , · · · , xN −1−h , hr )]2 also
L1 xN −1−h + h1 into the above expression of J10 , and by minimizes J r . In the unconstraint case, the optimal
farther noting (12), we have d[f (·)]2
control can be obtained by solving = 0. Next, we
J10 = min {xTN −1 P xN −1 duN −r
uN −1 d[f (·)]2
b 1 xN −1−h + h1 ]2 }. proceed to uN −r . Solving = 0, then
+R[K
b 1 xN −1 + L duN −r
From (1), (4) , (5) and (7), it follows that uN −r + KxN −r + LxN −r−h
T T 0
Jr0 = umin {zN −r QzN −r + uN −r RuN −r + Jr−1 } +Kb r−1 B[K
b r−1 A0 xN −r + Kb r−1 A1 xN −r−h
N −r
T
= min {zN T +Kb r−1 BuN −r + Lb r−1 xN −(r−1)−h
−r QzN −r + uN −r RuN −r r−2
uN −r P
+xTN −(r−1) P xN −(r−1) + R (K
b r−1 xN −(r−1) + Ar−1,j xN −j−h + hr−1 ]
j=1
r−2 r−2
b r−1 xN −(r−1)−h + P Ar−1,j xN −j−h + hr−1 )2
+L +
P
K
b r−1−i A
br,i+1,0 B{K
b r−1−i A
br,i+1,0 A0 xN −r
j=1 i=1
r−2
+ R
P
{K
b r−1−i A
br,i+1,0 xN −(r−1) +Kb r−1−i A
br,i+1,0 A1 xN −r−h + K b r−1−i A
br,i+1,0 BuN −r
i=1 +Kr−1−i Ar−1,i,0 (A1 − BLr−1 )xN −(r−1)−h
b b
+K br−1,i,0 (A1 − BLr−1 )xN −(r−1)−h
b r−1−i A r−1−(i+1)
P i
r−1−(i+1) i + (Kb r−1−i P A br−1,i,p−1 BAr−p,j
P b r−1−i P A
+ (K br−1,i,p−1 BAr−p,j j=1 p=1
j=1 p=1 +Ar−1−i,j )xN −j−h
+Ar−1−i,j ) xN −j−h i
i
b r−1−i P A
+(K br−1,i,p−1 BAr−p,r−1−i
b r−1−i P A
+(K br−1,i,p−1 BAr−p,r−1−i p=1
p=1 +Lb r−1−i )xN −(r−1−i)−h
+Lb r−1−i ) xN −(r−1−i)−h r−2
P b r−1−j
P b
r−2
P b r−1−j
P b + [Kr−1−i Ar−1,i,p−1 BAr−p,j
+ [Kr−1−i Ar−1,i,p−1 BAr−p,j j=r−i p=1
j=r−i p=1 +K br−1,i,r−1−j (A1 − BLj )]xN −j−h
b r−1−i A
+K br−1,i,r−1−j (A1 − BLj )] xN −j−h
b r−1−i A i
i
b r−1−i P A
+K br−1,i,p−1 Bhr−p + hr−1−i } = 0.
b r−1−i P A
+K br−1,i,p−1 Bhr−p + hr−1−i }2 } p=1
p=1 (20)

1701
 FrB3.2

We next divide our deduction into 7 steps. By using property (i) in Lemma 1 and taking t = i + 1,
Step 1 By arranging the terms with uN −r in(20),and the (21)can be rewritten as
definition and properties of A
b a, b, c , we have r−2
K
b r−1 B L b r−1 B P Ar−1,j xN −j−h
b r−1 xN −(r−1)−h + K
r−2 j=1
b r−1 B)2 + P (K
[1 + (K br,i+1,0 B)2 ]uN −r
b r−1−i A r−1
P r−1−t
P t−1
P
i=1 + K
b r−t A
br,t,0 B{ (K
b r−t A
br,t,p BAr−p,j
r−1 t=2 j=1 p=1
b r−1 B)2 + P (K
= [1 + (K br,t,0 B)2 ]uN −r
b r−t A
t=2
+Ar−t,j )xN −j−h
r−1 t−1
4 b r−t P A
br,i,0 B)2 ]uN −r = EuN −r . +(K br,t,p BAr−p,r−t + L
b r−t )xN −(r−t)−h
P
= [1 + (K
b r−i A
i=1 p=1
r−2
P r−1−j
P
By EuN −r we denote the term in the right hand side of the + [K
b r−t A
br,t,p BAr−p,j
r−1
X j=r−t+1 p=1
second equality, where E = [1 + (K b r, i , 0 B)2 ].
b r−i A +K br,t,r−j (A1 − BLj )]xN −j−h
b r−t A
i=1 +Kr−t Ar,t,0 (A1 − BLr−1 )xN −(r−1)−h }.
b b
Step 2 By arranging terms with xN −r in (20), we can
obtain and since K b r, t , 0 (A1 − BL r−1 )xN −(r−1)−h is the
b r−t A
given by
[K + Kb r−1 B K
b r−1 A0
r−2
P b r−1−j
P
+ Kr−1−i A br,i+1,0 B K
b r−1−i A
br,i+1,0 A0 ]xN −r [K
b r−t A
br,t,p BAr−p,j
i=1 p=1
r−1 br,t,r−j (A1 − BLj )]xN −j−h ,
= [K + K
b r−1 B K
b r−1 A0 +
P
K
b r−t A
br,i,0 A0 ]xN −r +K
b r−t A
t=2
r−1 with j = r − 1, (21) can be rewritten as
P 4
= [K + K
b r−i A
br,i,0 B K
b r−i A
br,i,0 A0 ]xN −r = F xN −r . r−2
i=1 K
b r−1 B L b r−1 B P A−1,j xN −j−h
b r−1 xN −(r−1)−h + K
j=1
By F xN −r we denote the term in the right hand side of the r−1
P r−1−t t−1
second equality. + K br,t,0 B{ P (K
b r−t A b r−t P A br,t,p BAr−p,j
t=2 j=1 p=1
Step 3 It follows by arranging terms with xN −r−h in (20)
+Ar−t,j )xN −j−h
that r−t t−1
P b P b
+ (Kr−t Ar,t,p BAr−p,j + L
b j )xN −j−h
[L + Kb r−1 B K
b r−1 A1
j=r−t p=1
r−2
P b r−1 r−1−j
+ Kr−1−i A br,i+1,0 B K
b r−1−i A
br,i+1,0 A1 ]xN −r−h P b r−t P A
+ [K br,t,p BAr−p,j
i=1 j=r−t+1 p=1
r−1
= [L +
P
K
b r−i A
br,i,0 B K
b r−i A
br,i,0 A1 ]xN −r−h +K br,t,r−j (A1 − BLj )]xN −j−h }
b r−t A
i=1 r−1
P b r−1−i i−1
4 = Kr−i Abr,i,0 B{ P (K b r−i P A br,i,p BAr−p,j
= GxN −r−h . i=1 j=1 p=1
r−i i−1
The term in the right hand side of the above equality is
P P
Ar−i,j ) + (K
b r−i A
br,i,p BAr−p,j + L
bj )
denoted by GxN −r−h . j=r−t p=1
r−1 i−1−j
Step 4 It can be obtained by arranging terms with +
P
[K
b r−i P
A
br,i,p BAr−p,j
xN −j−h , j = 1, · · · , r − 1 in (20), that j=r−i+1 p=1
+K br,i,r−j (A1 − BLj )]}xN −j−h .
b r−i A
r−2
K
b r−1 B L b r−1 B P Ar−1,j xN −j−h
b r−1 xN −(r−1)−h + K Pr−1 b
j=1 By i=1 (Kr−i A b r, i , 0 BM )xN −j−h we denote the term in
r−2
P the right hand side of the above equality.
+ K
b r−1−i A
br,i+1,0 B{K
b r−1−i A
br−1,i,0 (A1
Step 5 By arranging the others in (20) and applying
i=1
−BLr−1 )xN −(r−1)−h property (i) in Lemma, we have
r−1−(i+1)
P i r−2
+ b r−1−i P A
(K br−1,i,p−1 BAr−p,j b r−1 Bhr−1 + P K
K b r−1−i A
br,i+1,0 B
j=1 p=1 i=1
+Ar−1−i,j )xN −j−h i
P
i (K
b r−1−i A
br−1,i,p−1 Bhr−p + hr−1−i )
b r−1−i P A p=1
+(K br−1,i,p−1 BAr−p,r−1−i
r−1
p=1 b r−1 Bhr−1 + P K
=K b r−t A
br,t,0 B
+Lb r−1−i )xN −(r−1−i)−h t=2
r−2 r−1−j t−1
+
P b
[Kr−1−i
P b
Ar−1,i,p−1 BAr−p,j b r−t P A
(K br,t,p Bhr−p + hr−t )
j=r−i p=1 p=1
r−1 i−1
+K br−1,i,r−1−j (A1 − BLj )]xN −j−h }.
b r−1−i A P b r−i P A
= K
b r−i A
br,i,0 B(K br,i,p Bhr−p +hr−i ).
(21) i=1 p=1

1702
 FrB3.2

The term in the right hand side of the above equality is with j = r − 1. Then
denoted by N .
Jr0 = min {xTN −r P xN −r + R[K
b r xN −r + L
b r xN −r−h
Step 6 By substituting the above result into (20), it will uN −r
leads to r−1
Ar,j xN −j−h + hr ]2
P
+
EuN −r + F xN −r + GxN −r−h + N j=1
r−1 b r−1 (A0 − BKr )xN −r
P b +R[K
+ (Kr−i A
br,i,0 BM )xN −j−h = 0
i=1 +Kr−1 (A1 − BLr )xN −r−h
b
F G
uN −r = − E xN −r − E xN −r−h − N E
r−1
b r−1 B P Ar,j xN −j−h + K
r−1 + K b r−1 Bhr
− E1
P b
(Kr−i A
br,i,0 BM )xN −j−h . j=1
i=1 r−2
P
+L
b r−1 xN −(r−1)−h + Ar−1,j xN −j−h
By the expressions of E, F, G, M and N , we have j=1
r−1
F G
= Kr, E = Lr , − N E = hr +hr−1 ]2 + R
P
E {K br,t,0 (A0 − BKr )xN −r
b r−t A
r−1 t=2
− E1
P
(K
b r−i A
br,i,0 BM ) = Ar,j . +K br,t,0 (A1 − BLr )xN −r−h
b r−t A
i=1 r−1
Thus the optimal control in the unconstrainted case is given +K br,t,0 B P Ar,j xN −j−h
b r−t A
j=1
by
+Kb r−t A
br,t,0 Bhr
r−1 r−1−t t
u∗N −r = −K r xN −r − Lr xN −r−h +
P
Ar,j xN −j−h + hr . P b
(Kr−t
P
A
br,t,s−1 BAr−s+1,j
j=1 j=1 s=2
Furthermore, if uN −1 ∈ [−∆, +∆], then the optimal control +Ar−t,j )xN −j−h
t
law u∗N −r satisfies (18). b r−t P A
+(K br,t,s−1 BAr−s+1,r−t
Step 7 By substituting the optimal control law u∗N −r that s=2
satisfies (18) into J r0 , using (12) and (13) and taking s = +Lb r−t )xN −(r−t)−h
p + 1, t = i + 1, we have r−2
P r−j
+ [Kb r−t P A br,t,s−1 BAr−s+1,j
Jr0 = min {xTN −r P xN −r + R[K
b r xN −r + L
b r xN −r−h j=r−t+1 s=2
uN −r br,t,r−j (A1 − BLj )]xN −j−h
r−1
+K
b r−t A
t
Ar,j xN −j−h + hr ]2 +R[K
P b r−1 (A0 − BKr )
+ b r−t P A br,s−1,p Bhr−s+1 + hr−t }2 }.
j=1
+K
s=2
xN −r + Kb r−1 (A1 − BLr )xN −r−h
r−1 r−1
X
+ Kb r−1 B P Ar,j xN −j−h + K b r−1 Bhr Moreover, since K b r−t A
b r, t , 0 B A r , j xN −j−h and
j=1 j=1
r−2 Kr−t A r, t , 0 Bh r are the values of
b b
b r−1 xN −(r−1)−h + P Ar−1,j xN −j−h
+L r−1−t t
j=1
P P
r−1
(K
b r−t A
br,t,s−1 BAr−s+1,j )xN −j−h
j=1 s=2
+hr−1 ]2 + R
P
{K br,t,0 (A0 − BKr )xN −r
b r−t A t
P
t=2 +(K
b r−t A
br,t,s−1 BAr−s+1,r−t )xN −(r−t)−h
br,t,0 (A1 − BLr )xN −r−h s=2
+K
b r−t A r−2
P r−j
P
r−1 + (K
b r−t A
br,t,s−1 BAr−s+1,j )xN −j−h ,
+K br,t,0 B P Ar,j xN −j−h +K
b r−t A b r−t A
br,t,0 Bhr j=r−t+1 s=2
j=1
+K br,t,1 (A1 − BLr−1 )xN −j−h
b r−t A and
t
r−1−t t
X
P b
(Kr−t
P
Abr,t,s−1 BAr−s+1,j +Ar−t,j ) K
b r−t A
b r, s−1, p Bh r−s+1 .
j=1 s=2 s=2
t
b r−t P A
xN −j−h + (K br,t,s−1 BAr−s+1,r−t +L
b r−t ) with s = 1, respectively. Let i = t and apply property (ii) in
s=2 Lemma1.Then
r−2 r−j
Jr0 = min {xTN −r P xN −r + R[K b r xN −r + L
b r xN −r−h
P P
xN −(r−t)−h + [K
b r−t A
br,t,s−1 B
uN −r
j=r−t+1 s=2
r−1
Ar−s+1,j + K br,t,r−j (A1 − BLj )]xN −j−h
b r−t A +
P
Ar,j xN −j−h + hr ]2
t j=1
+Kb r−t P
Abr,s−1,p Bhr−s+1 + hr−t }2 }. b r−1 (A0 − BKr )xN −r
s=2
+R[K
b r−1 (A1 − BLr )xN −r−h + K
+K b r−1 Bhr
Note that K b r, i , 1 (A1 − BL r−1 )xN −j−h is the value of
b r−i A r−1
P
r−2 r−j + K
b r−1 B Ar,j xN −j−h
P P j=1
[K
b r−t A
br,t,s−1 BAr−s+1,j
r−2
j=r−t+1 s=2 P
+L
b r−1 xN −(r−1)−h + Ar−1,j xN −j−h
+K br,t,r−j (A1 − BLj )]xN −j−h ,
b r−t A j=1

1703
 FrB3.2

r−1
+hr−1 ]2 + R [4] J. De Doná and G. Goodwin, Elucidation of the state space regions
P
{K
b r−i A
br+1,i+1,0 xN −r
i=2 wherein model predictive control and anti-windup strategies achieve
br,i,0 (A1 − BLr )xN −r−h identical conyrol policies, Proceedings of the 2000 Ameriacn Control
+Kb r−i A
Conference, Chicago,Illinois,USA., 2000, pp.
r−1−i i
P b P [5] M. Seron, G. Goodwin and J. De Doná, Characterisation of receding
+ (Kr−i Abr,i,s−1 BAr−s+1,j
horzon control for constrained linear system, Journal of Control, vol.5,
j=1 s=1
2003, pp. 271-286.
i
b r−i P A [6] Chao-Zhu Wang and Hua-Shu Qin, The Optimal Control Theory,
+Ar−i,j )xN −j−h (K br,i,s−1 BAr−s+1,r−i
Beijing, Science Press, 2005, pp. 65-72.
s=1
[7] Xue-Shu Xie, The Optimal Control Theory and Apply , Beijing,
+Lb r−i )xN −(r−i)−h
TsingHua University Press, 1986, pp.216-237.
r−1
P r−j
+ [Kb r−i P A br,i,s−1 BAr−s+1,j
j=r−i+1 s=1
K br,i,r−j (A1 − BLj )] xN −j−h
b r−i A
i
+Kb r−i P A br,i,s−1 Bhr−s+1 + hr−i }2 }.
s=1

Finally, the second term with R in J r0 is exactly the value

of the later part when i = 1, which shows that Jr0 is exactly
(19). To sum up, the optimal control law (18) satisfies control
constraint condition (2) and minimizes the cost functional
(6).

III. E XAMPLE
For the given delay discrete-time linear system (1), the
control constraint condition (2) and the cost functional

1 0 0 0
(3), with A0 = ,A = ,B =
 2 −1  1 −3 1
  0.5 0 0 0
1  0 0 0 0 
,Q =   0 0 0 0  , R = 1. By (4) and (5)

0
0 0 0 0 
1 0 −1
we have solution P = , K = R B T P A0 =
0 0
  −1  
0.5 0 , and L = R B T A1 = 0 0 . Take N = 4,
by Theorem 1, the optimal control law that minimizes the
cost functional (3) is given by u∗0 = −K4 x0 − L4 x−h +
X 3
 8 
A4, j x4−j−h + h4 , where K4 = 13 0 , L4 =
j=15    15
26 0 , A4, j = 0 0 , h4 = 26 are obtained from
(14)–(17).

IV. C ONCLUSIONS
The paper presents the quadratic optimal control law of
the delay discrete-time linear system with input saturation
by using dynamic programming and explores the intrinsic
structure of the optimal solution.The effectiveness of the
approach is shown with an example. For farther work, we
will discuss whether the saturated feedback system with the
optimal control law is of global asymptotic stabilization.

R EFERENCES
[1] A. Bemporad, M. Morai, V. Dua and E. Pistikopoulos, The Explicit
linear quadratic regulator for constrained system, Automatica, vol. 38,
2002, pp 3-20.
[2] José B. Mare, José A. De Doná,Use of dynamic programming for
the analytical solution of input-constrained LQR problems, 2004 5th
Asian Control Conference, 2004, pp. 442-448.
[3] J. De Doná, G. Goodwin and M. Seron, Anti-windup and model
predictive control: reflections and connections, European Journal of
Control, vol.6(5), 2000, pp. 467-477.

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