Modern Control Theory Ad Damen course: (5N050) Measurement and Control Group Department of Electrical Engineering Eindhoven University

of Technology P.O.Box 513 5600 MB Eindhoven Draft version of October 11, 2002 2 Contents 1 Analysis of nonlinear systems 5 1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1.2 Describing functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1.2.1 Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1.2.2 Example0: Saturation . . . . . . . . . . . . . . . . . . . . . . . . . . 8 1.2.3 Example1: Relay with hysteresis . . . . . . . . . . . . . . . . . . . . 13 1.2.4 Example2: Heating system . . . . . . . . . . . . . . . . . . . . . . . 16 1.2.5 Example3: Quantisation error and sampling . . . . . . . . . . . . . . 19 1.3 Stability analysis by linearisation. . . . . . . . . . . . . . . . . . . . . . . . . 21 1.3.1 Theory for continuous time systems. . . . . . . . . . . . . . . . . . . 21 1.3.2 Example4: Pendulum . . . . . . . . . . . . . . . . . . . . . . . . . . 22 1.3.3 Theory for discrete time systems. . . . . . . . . . . . . . . . . . . . . 24 1.3.4 Example5: Chain Wheel . . . . . . . . . . . . . . . . . . . . . . . . . 24 1.3.5 Example6: Population growth . . . . . . . . . . . . . . . . . . . . . . 27 1.3.6 Exercise with Mandelbrot set . . . . . . . . . . . . . . . . . . . . . . 2 9 1.4 State space descriptions/ Phase portraits. . . . . . . . . . . . . . . . . . . . 32 1.4.1 Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 1.4.2 Example4: Pendulum . . . . . . . . . . . . . . . . . . . . . . . . . . 32 1.4.3 More nodes and isoclines . . . . . . . . . . . . . . . . . . . . . . . . 3 5 1.4.4 Limit cycles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 1.4.5 Separators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 1.4.6 Chaos . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 1.4.7 Nonlinear state space control . . . . . . . . . . . . . . . . . . . . . . 43 2 Stability of nonlinear systems, Lyapunov. 49 2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 2.2 Definition of stability. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 2.3 Stability analysis according to the second method of Lyapunov. . . . . . . . 52 2.4 The positive definite function xTPx. . . . . . . . . . . . . . . . . . . . . . . 57 2.5 Krasovskiis method. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61 2.6 Second method of Lyapunov for discrete time systems. . . . . . . . . . . . . 62

3 Introduction to optimal control. 63 3.1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 3.2 Theory. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66 3.3 Example inverted pendulum . . . . . . . . . . . . . . . . . . . . . . . . . . . 71 3.4 Coupling control. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73 3.4.1 A) quadratic criterion . . . . . . . . . . . . . . . . . . . . . . . . . . 73 3.4.2 A1) x(0) = 0 and x(tf ) = 3 (exampla1.m) . . . . . . . . . . . . . . 76 3 4 CONTENTS 3.4.3 A2) like A1 but tf = (exampla2.m) . . . . . . . . . . . . . . . . . 77 3.4.4 B) F = F(x): F is independent of x . . . . . . . . . . . . . . . . . . 77 3.4.5 B1) = 0, tf = 1, x(0) = 0, x(1)=3 . . . . . . . . . . . . . . . . . . 78 3.4.6 B2) (x(tf ), tf) = 12 (x(tf ) 3)2, tf = 1, x(0) = 0 ( > 0). . . . . . 79 3.4.7 B3) = 0, x(0) = 0, x(tf) = 3, tf =free. . . . . . . . . . . . . . . . . 80 3.5 Properties of H miltoni n; Pontry gin. . . . . . . . . . . . . . . . . . . . . . 80 3.5.1 B4) = 0, x(0) = 0, tf =free, x(tf) = 3, U = {u 1 u 1} . . . 81 3.6 Discrete time version. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83 3.6.1 Ex mple8: c r cceler tion (bike suits s well). . . . . . . . . . . . . 8 3 4 Introduction line r systems 85 5 The continuous, optim l control problem 87 5.1 Compens tion in right h lf pl ne . . . . . . . . . . . . . . . . . . . . . . . . 87 5.2 An lysis of st bilis tion by output feedb ck. . . . . . . . . . . . . . . . . . . 93 5.3 St te v ri ble feedb ck, pole loc tion . . . . . . . . . . . . . . . . . . . . . 97 5.4 Line r Qu dr tic Regul tor . . . . . . . . . . . . . . . . . . . . . . . . . . . 100 5.4.1 A simple, one dimension l, numeric l ex mple . . . . . . . . . . . . 104 5.4.2 Angul r velocity st bilis tion problem . . . . . . . . . . . . . . . . . 1 06 5.4.3 Rem rks on the cost function . . . . . . . . . . . . . . . . . . . . . . 1 09 5.4.4 Stoch stic regul tor problem . . . . . . . . . . . . . . . . . . . . . . 1 10 5.4.5 Ex mple: irrig tion. . . . . . . . . . . . . . . . . . . . . . . . . . . . 113 6 The continuous, optim l observer problem. 119 6.1 Asymptotic observers for st te me surement . . . . . . . . . . . . . . . . . . 119 6.2 The K lm n Bucy filter. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124 6.2.1 Proof of K lm n filter . . . . . . . . . . . . . . . . . . . . . . . . . . 126 6.2.2 An ex mple: detection of const nt midst white noise. . . . . . . . 132 6.2.3 More bout st te disturb nce nd me surement noise. . . . . . . . . 135 7 Complete LQG control 139 7.1 Preserv tion of controller nd observer poles. . . . . . . . . . . . . . . . . . 140 7.2 Proof of the sep r tion principle . . . . . . . . . . . . . . . . . . . . . . . . 142

7.3 Reference input, fin l error . . . . . . . . . . . . . . . . . . . . . . . . . . . 144 7.4 Ex mple: irrig tion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146 8 Time discrete controller nd observer 149 8.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149 8.2 Structure of line r controller nd observer. . . . . . . . . . . . . . . . . . . . 149 8.3 Optim l, line r, qu dr tic controller design. . . . . . . . . . . . . . . . . . . 150 8.4 Ex mple : C r p rking. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152 8.5 Optim l, line r, qu dr tic observer design . . . . . . . . . . . . . . . . . . . 155 8.6 The innov tions represent tion . . . . . . . . . . . . . . . . . . . . . . . . . 157 Ch pter 1 An lysis of nonline r systems 1.1 Introduction The n lysis nd design of control systems in the b sic courses w s confined to line r, SISO (single input single output) systems either in continuous or in discrete ti me. or such systems the superposition principle holds. or nonline r systems this is no t the c se by definition nd unfortun tely (or should we s y fortun tely ?) most physic l s ystems show nonline r dyn mics. Line ris tion bout working point c n help here, prov ided the sign ls re bounded to r nge where the line ris tion le ds to sufficient ly ccur te description. We will discuss this l ter in sections 1.3 nd 1.4 when we study p rticul r systems th t show only smooth nonline rities, i.e. the involved nonline r st tic functions nd their deriv tives re continuous. This smoothness is not present in very fre quent nd f mili r effects like s tur tion, de d zone, st tic friction nd b ckl sh. T hese nonline rities, inherent to the process to be controlled, re cert inly not w nted but one lso deliber tely introduces discontinuous nonline rities in controllers like switche s nd rel ys or nonline rities re undesired side effects like the limited resolution of AD nd DAconverters. One should not think th t the use of rel ys nd switches is outd ted s these controllers re very che p nd robust nd still ubiquit ry in e.g. controlled he t systems in the household environment like centr l he ting, irconditioning, irons, refri ger tors, freezers, w shing m chines, dish w shers, h irfohns, boilers etc. However, the d r wb ck of these controllers is th t they lw ys le d to sm ll oscill tions round the w ished equilibrium s we will see nd indic te s limit cycle. or ll these discontinuous nonline ri ties line ris tion is not the proper w y for n lysis bec use, wh tever sm ll the sig n ls re, line r description right in the discontinuities is fund ment lly impossible. Wh t seems to

rem in is to n lyse the system in the time dom in in piecewise continuous subdo m ins bounded by the constr ints of the discontinuities nd tresp ssing the constr int s with the use of bound ry v lues for the st tes. Done by h nd, this r pidly ppe rs to bec ome meticulous job but computer simul tions offer solution, though to be tre ted w ith c re nd suspicion. We will discuss the simul tion l ter in section 1.4. irst we int roduce the method of the describing function s it represents b sic lly simple tool le ding to the insight why or why not such system will oscill te nd wh t the pproxim te fre quency nd mplitude for possible (st ble) oscill tion will be. 5 6 CHAPTER 1. ANALYSIS O NONLINEAR SYSTEMS 1.2 Describing functions 1.2.1 Theory The method under this n me is lso indic ted by equiv lent line ris tion method or h rmonic b l nce nd ims t n lysing the system beh viour in the frequency dom i n. This might seem str nge thing to do s nonline r system beh viour is h rd to d escribe in the frequency dom in bec use higher h rmonics ppe r depending on the type n d mplitude of the input sign l. It is precisely by ignoring these higher h rmonic s for sinusoid l inputs th t we sort of line rise the system whereby we keep the mplitu de of the input sine w ve s p r meter to n lyse st bility properties. The principl e c n very simply be elucid ted by ig. 1.1. igure 1.1: Block scheme describing function method. It is supposed th t the tot l process c n be represented by c sc de of nonli ne r nd line r p rt. The nonline r p rt should be such th t sinew ve on the inpu t e le ds to periodic sign l q of the s me period where the form depends on the mplitud e of the incoming sinew ve but not on its frequency. Ex mples of such nonline rities c n be found in ig. 1.2 which depicts the libr ry of nonline r blocks in Simulink. Nonline r Libr ry R te Limiter S tur tion De d Zone B ckl sh Coulombic riction Qu ntizer Sign Rel y 2D LookUp T ble LookUp T ble Abs Abs * Product

Switch Combin tori l Logic AND Logic l Oper tor >= Rel tion l Oper tor system S unction MATLAB unction MATLAB cn 1/s Reset Integr tor 1/u cn V ri ble Tr nsport Del y Tr nsport Del y Memory 1/s Limited Integr tor igure 1.2: Nonline r blocks in Simulink. It is e sy to conclude for the nonline r functions in the first two rows th t ex cit tion by sine w ve will yield periodic sign l of the s me period where the form is on ly dependent 1.2. DESCRIBING UNCTIONS 7 on the mplitude of the incoming w ve nd not influenced by the frequency, so:

e = e sin(t) q = q(e) sin(t + (e)) + higher harmonics (1.1) The same holds or the nonlinear unctions in the third ro de ined by the lookup table or an explicit unction o the input temporal value. The other blocks can be used to compose more complicated nonlinearities as e ill sho in this section. In that case the ul ilment o the mentioned assumption should be atched. This crucial assumptio n, put in other ords, is that the nonlinear block only e ects a possible delay (repre sented by a phase shi t ) and adds higher harmonics to an incoming sinusoidal signal dependin g on the amplitude but not on the requency o this sine. Next the linear block is supposed to be stable and su iciently lo pass so that all higher harmonics are e ectively iltered out. This linearisation allo s us to ana lyse the system behaviour or each requency by considering the describing unction o the nonlinear block. The describing unction is de ined as: (e) = q(e)ej(e)

e = a1(e) + jb1(e) e (1.2) here e is the amplitude o the input sinusoidal signal and a1 and b1 are the Fou rier coe icients o the undamental requency , so: q(t) = k=0(ak sin(kt) + bk cos(kt)) (1.3) ak = 1 2+ q(t) sin(kt)dt (1.4) bk = 1 2+ q(t) cos(kt)dt (1.5) So the describin function is just the ratio of the out oin to the incomin fun damental (harmonic) in com lex lane. It is, so to say, the frequency inde endent, com le x am lification by the nonlinearity of only the fundamental frequency. Note that the am litude of the out oin fundamental q is a function of the am litude e of the incomin sin e ave. By ne lectin the hi her harmonics, the closed loo transfer function for the sy stem of Fi .1.1 is then a roximated by: M(j) = f(e)H(j) 1 + f(e)H(j) (1.6) here H(j) is the stable, lo ass transfer function of the linear block. A ain t he characteristic equation: 1 + f(e)H(j) = 0 (1.7) indicates stability. In the com lex lane e can dra the olar lots of f(e)H(j) and study the situation ith res ect to the oint -1. The function f(e)H(j) de end s on both the frequency and the am litude e. So e et a set of curves each defined by a certain value of the am litude e as sho n in Fi .1.3. In case a articular curve asses throu h the oint 1 we m y compute the frequenc y nd the mplitude of the oscill tion from f(e)H(j) = 1. The comput tion nd the 8 CHAPTER 1. ANALYSIS O NONLINEAR SYSTEMS 4 2 0 2 4 6 8 10 12 14 10 8 6 4 2 0 2 re l im gin ry f(ei)H(jw) igure 1.3: Nyquist plots for v rious ei.

dr wing of ll these curves is quite cumbersome. A simpler method is to consider th t, if f(e) = 0, the st bility is lso governed by: 1 f(e) + H(j) = 0 H(j) = 1 f(e) (1.8) We then ctu lly repl ce the point 1 by 1/f(e) nd we just h ve to dr w two curves i.e. H(j) and 1/f(e). The p rt of the curve 1/f(e) encomp ssed by the H(j) Nyquist curve indicates the am litudes e for hich the system is unstable and vice versa. The intersection of both curves defines the ossible oscillation on hich the system behaviour ill stay. Exam les ill clarify this sim le analysis. 1.2.2 Exam le0: Saturation 1 Let us analyse the effects of a nonlinearity in the form of a frequently occurri n saturation. Fi . 1.4 illustrates ho a sinusoidal in ut ith sufficiently lar e am litude i ll be distorted leadin to hi her harmonics. For the describin function e need only to com ute a1 and b1. From symmetry e can immediately conclude that all coefficients bi are zero so that there is no hase shift and the describin function ill be real hile: e es : a1 = 1 2 0 q(t) sin(t)dt = 2eK {arcsin es e + es e 1 es e 2} e es : 1 = Ke (1.9) with K = t n(). So the describing function is given by f(e) = 1/e which is re l. I n ig. 1.5 f(e) h s been plotted for K = 1 nd es = .5. Note th t, for e > .5, f(e) is lw ys less th n K. in lly in ig. 1.6 we h ve dis pl yed both 1/f(e) nd H(j) hich as chosen to be 100/((j + 1)(j + 2)(j + 3)). 1Exam lei refers to a Simulink file exam lei.m re resentin exam le i. The Simulin k files can be obtained from ft .nt01.er.ele.tue.nl/ModRe 1.2. DESCRIBING FUNCTIONS 9 Fi ure 1.4: Distortion by saturation. 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 0.1