Feedback control of linear discrete-time systems under state and

control constraints

In this paper the problem of stabilizing linear discrete-time systems under state and
control linear constraints is studied. Based on the concept of positive invariance,
existence conditions
of linear state feedback control laws respecting both the
constraints are established. These conditions are then translated into an algorithm
of linear programming.

1.

Introduction
Most industrial systems must operate within fixed bounds and are subject to strict
control limitations. The determination
of closed-loop controls for such systems by
state or output feedback often reduces to solving an associated
unconstrained
problem and then modifying the solution by superimposition
of state and control
limitations. The global stability of these control schemes is usually not guaranteed.
Another approach
that is more rigorous, consists of explicitly introducing
the
constraints in the lagrangian formulation of an optimal control problem (Mouradi
1979, Franckena
and Sivan 1979, Gauthier
and Bornard
1983). However, its
implementation
is not simple, because as an open-loop scheme it implies considerable
off-line computation
and as a closed-loop scheme it is represented by a non-linear
controller.
The concept of invariance (or positive invariance), which is related to the notion of
Lyapunov functions, is a convenient
tool both for guaranteeing
stability and
respecting the constraints. In the general case of constrained controllers for linear
systems, Gutman and Hagander (1985) used quadratic
Lyapunov functions to
determine non-linear feedback controllers. However, for linear systems with linear
constraints on state and control variables, non-quadratic
Lyapunov functions must be
used in order to generate the biggest positively invariant set included in the domain of
constraints. Such Lyapunov functions have already been applied for improving linear
constrained
controllers of linear systems characterized
by a stable non-negative
dynamic matrix (Chegan<;as and Burgat 1985).
In this paper the problem of design of linear state feedback controllers for linear
discrete-time systems under linear constraints on the state and control variables is
studied. In 2 the linear constrained regulation problem is formulated. Then, using
recent results on the existence of polyhedral positively invariant sets (Bitsoris 1986,
1988 a), existence conditions of a solution to this problem are obtained ( 3). Finally, in
4, an approach for the determination
of such a control law is established.
Received 14 April 1987.
t Laboratoire d'Automatique et d'Analyse des Systemes du C.N.R.S., 7 Avenue du Colonel
Roche, 31077, Toulouse, France.
t Control Systems Laboratory, Electrical Engineering Department, University of Patras,
26110 Patras, Greece.

2.

Problem statement
Throughout
the paper, capital letters generally denote real matrices, lower case
letters denote column vectors or scalars, Rn denotes the euclidean n-space and Rn x m
the set of real n x m matrices. For a real matrix A = (aij), IAI denotes the matrix IAI =
(Iaij!)' For vectors x = [XI Xz ... Xn]T and Ixi = [ixil
IXzl
Ixnl]T. Finally:lL
denotes a unity matrix.
We consider discrete-time linear system described by the difference equation

where X ERn, U E Rm, A ERn

BERn x m and k belongs to the set of non-negative
integers T= {a, 1,2, ... }.
The control vector u(k) is subject to constraints
XI',

where P = [PI
pz
...
Pm]T with Pi> 0, i = 1,2, ... , m.
There is also given a bounded set of initial states Xo defined by the inequalities

whereGERqXnwithq~n,rankG=nandw=[wl
Wz
... wq]Twithwi>O,i=
1, 2, ... , q. These inequalities can also be considered as state constraints.
The problem to be studied is the determination
of a linear state feedback control
law

that satisfy constraints (2) are transferred asymptotically

to the origin while the
control vector u(k) does not violate the constraints (1). We call this problem the linear
constrained regulation problem (LCRP).
If the equilibrium x = of the open-loop system

is stable in the sense of Lyapunov or asymptotically stable, then the above problem
admits the trivial solution u(k) = 0. If, on the contrary, the open-loop system is
unstable, then the LCRP may not possess any solution. Therefore, we shall say that
constraints (1) and (2) are compatible with respect to system (S) if the LCRP has at
least one solution.
3.

Existence conditions of linear constrained controllers

Let us associate to each linear state feedback control
F E Rm x n the set
R(F, p)

law u(k)

= Fx(k) with

= {x E R": - P ~ Fx ~ p}

It is clear that the polyhedral set R(F, p) is the region of initial states of the closed-loop
system (4) at which the linear state feedback control u(k) = Fx(k) does not initially
violate the constraints (1).
According to the above notation the set of initial states defined in (2) is expressed

It is obvious that the control law u = Fx is a solution of the LCRP ifand only if the
resulting closed-loop system (4) is asymptotically stable and every trajectory x(k; xo)
emanating from the region R(G, w) does not leave the region R(F, p) for any instant
k E T. This condition can also be expressed as follows (Bitsoris 1988 b).
Proposition 1
The control

law u

(a) the eigenvalues

lAd < 1;

Fx with FE Rm

Ai>i

xn

is a solution

to the LCRP if and only if

= 1,2, ... , n, of the matrix A + BF are in the open disk

(b) there exists a positively

system (4) such that

invariant

sett

Q ; W of the resulting

There are many ways to use this result for obtaining a solution
(Bitsoris 1986). An approach can be based upon the following
preceding proposition.
Corollary

closed-loop

on to the LCRP
corollary of the

If F is a real m x n matrix such that

(a) the eigenvaluesA;,

= 1, 2, ... , n of the matrix A + BF are in the open disk IAI< 1,

(b) R( G, w) is a positively invariant

set of the closed-loop

system (4); and

(c) R(G, w) ; R(F, p)

then the control law u = Fx is a solution to the LCRP and the state vectors satisfy
constraints (2) for all initial states Xo E R( G, w) and k E T.
It is clear that for applying this result to the derivation of a solution to the LCRP,
one must first establish conditions guaranteeing that R( G, w) is a positively invariant
set of the resulting closed-loop system (4). It is well known that an asymptotically
stable system possesses positively invariant sets having a quadratic boundary. Such
positively invariant sets are generated by quadratic Lyapunov functions of the type
v(x) = xT Px where P E Rn xn is a symmetric
positive-definite
matrix. By using
Lyapunov-like functions we can also generate positively invariant polyhedral sets
R(G, w).
It can be easily seen that the polyhedral set R(G, w) can be equivalently defined by
the expression

v *( x )

LI}
=t::. max {I(GX
-1 ~i~q

Wi

(Gx); denoting the ith component of the vector Gx.

The following proposition provides a necessary and sufficient condition for v*(x)
defined by (5) to be a Lyapunov function, and, accordingly, for R(G, w) to be a
positively invariant set of system (S).

tA
Xo E Q

non-empty subset Q of R" is said to be a positively

implies x(k; xo) E Q for all k E T.

invariant

set of (4) if and only if

Proposition

(Bitsoris

1988 a)

The polyhedral set R( G, w) is a positively invariant

there exists a matrix H E Rq x q such that

(IHI-

set of system (S) if and only if

:ll.)w:::; 0

GA-HG=O
By a direct application
establish the following.
Proposition
If FER'"

of this result to the closed-loop

system described by (4) we

3
x n

and there exists a matrix HE Rq

q such that

(IHI-:ll.)w:::;O
GA
(iii) the eigenvalues

Ai

+ GBF=

HG

= 1,2, ... , n of the matrix A + BF are in the open disk IAil

<1
then the control law u = Fx is a solution to the LCRP.
Observe that condition (iii) of the preceding proposition can be replaced by an
asymptotic stability condition on the matrix H because G(A + BF) = HG and, by
hypothesis, G E Rq x 11 with rank G = n. Note also that, since matrix IHI -:ll. has nonnegative off-diagonal elements and w is a vector with positive components, inequality
(6) implies stability in the sense of Lyapunov of matrix H and accordingly of the
closed-loop system (4) also (Bitsoris and Burgat 1977). Moreover, in the case where
inequality (6) is strictly satisfied, that is (IHI - :ll.)w< 0, or if matrix H is irreducible
then matrix H and accordingly system (4) are asymptotically
stable (Gantmacher
1960). Consequently, condition (iii) of the preceding proposition can be replaced by
the condition that H is irreducible or by imposing that condition (6) is strictly
satisfied.
In order to facilitate the application of the result presented in the preceding
proposition to the design of constrained regulators, condition (8), which expresses the
compatibility of the constraints on the control vector and the initial states, must be
replaced by an equivalent algebraic condition. To this end, we can use the following
result.

Proposition

If

Proof
From (9) it follows that if

IF( GT G)

-1

GT yl :::; IF( GT G)

-1

GTIlyl

:::; IF( GT G)

-1

GT Iw :::; p

Now, setting y= Gx in (10) and (11) we conclude

that if

IGxl~w
or, equivalently

if x

R( G, w) then
IF(GTG)

GT Gxl

-I

= IFxl ~

It must be noted that in the case where G E R" x n, inequality (9) becomes IFG-11
w ~ p and is, in addition, a necessary condition for R(G, w) c:;: R(F, p) (Bitsoris 1988 b).
Now, by combining the results stated in Propositions 3 and 4 we conclude that if
FE Rm x n and there exists an asymptotically stable matrix HE Rq x q satisfying (6), (7)
and (9), then with the control law u = Fx all the states Xo E R( G, w) are transferred
asymptotically to the origin while the control and state vectors satisfy inequalities (I)
and (2) respectively.
Design by means of linear programming
A straightforward
application of the preceding result to the design of constrained
linear controllers seems to be a very difficult problem. However, by an appropriate
transformation
of conditions (6), (7) and (9), the determination
of a solution to the
LCRP can be reduced to a linear programming problem.
Observe that (7) is satisfied with
4.

Now, by introducing

matrix DE Rm
D

such that

xq

= F( GT G) - 1GT

relation (12) can be written as

H=GA(GTG)-IGT

Insertion

+GBD

of (13) and (14) into (9) and (6), respectively,

yields
(15)

IDlw~p
IGA(GTG)-IGT

( 16)

+GBDlw~w

These conditions on matrix D guarantee the existence of a linear control law

Fx = DGx such that R( G, w) is a positively invariant set of the resulting closedloop system
u

and R(G, w) c:;: R(F, p). However, conditions (15) and (16) do not imply the asymptotic stability of system (17). The asymptotic stability of (17) is guaranteed if inequality
(16) is strictly satisfied. For this reason, inequality (16) is replaced by the inequality
IGA(GT G)

-I

GT

+ GBDlw

GW

(18)

where G is a real number such that 0 ~ G < 1.

Therefore, the existence condition of a solution to the LCRP reduces to the
existence of a matrix DE Rm x q and a real number G, 0 ~ G < 1, satisfying inequalities
(15) and (18).
Non-linear inequalities (15) and (18) do not seem easy to solve. However, one
should take into account the fact that the vector w has positive components. Thus, we
can use the following result.

Proposition 5
The matrix inequality
where Y = (YiJ, Y
set of equations

RP

x r,

r:J.E R' and fJ

RP with r:J.j;;::'0 and fJi ;;::,0, is equivalent to the

ersJT denotes one of the distinct vectors

+ 1or -1.

where es = [e1S
ezs
components equal to
Proof
Assume that Y=(Yij),

R' with

satisfies inequalities (19). Then

YERPxr

I
j~l

es

Yijejsr:J.j ~

I
j~l

!Yijllejslr:J.j

I
j~l

IYij!r:J.j ~ fJi

for all i = 1,2, ... , p and s = 1,2, ... , 2r, because r:J.j;;::' O.Therefore, (19) implies (20).
Conversely, if Y = (Yij), Y E RP x r satisfies (20) then for ejS = sign (Yij) we obtain
r

I
j~

!Yij!r:J.j =

I
j~

Yijejsr:J.j ~ fJi'

i = 1,2, ... , p

The application of this result to the determination of a solution to the LCRP is

straightforward. The system of inequalities (15) and (18) can be equivalently replaced
by a system of linear inequalities with unknown variables, the elements dij of matrix D
and the positive variable B. If the set of solutions to these inequalities is non-empty,
then such a solution can be obtained by minimizing any linear function of the
unknown variables dij and B.
Since it is very important not only to stabilize the system but also to increase the
rate of convergence to the equilibrium, we can choose as the objective function of the
linear programming problem, the function
J(D,

B)

=B

Indeed, if B satisfy inequality (18), then by virtue of (14)

!Hlw~BW

v(x) = max
t

{!(GX);l}
Wi

is positive-definite. Therefore v(x) can be considered as the distance of x from the

origin. (It can easily be proved that v(x) represents the distance of x from the origin, in
the space R" with the distance
V(X)
d(x, y)

+ v(y)

ifx#y

if

=Y

Now, taking into account (7), we get

v(x(k

+ 1)) =

m~x f(GX(~~

1))il}

= m~x {I(G(A + ~:)X(k));i}

= m~x

fHG:;k))il}

~ m~x

{(IHII~~(k)l)i}~ w(x(k))

because from (22) it follows that

Therefore, minimization of 8 increases the rate of convergence of the state variable

x(k) to the origin.
If the optimal solution D*, 8* of the linear programming
problem is such that
8* < 1, then the asymptotic
stability of the resulting closed-loop system, is guaranteed
because inequality (6) is strictly satisfied. This is also true if 8* := 1 and the resulting
matrix H is irreducible. Finally if 8* = 1 and matrix H is not irreducible one must
apply the Kotelyansky-Sevastianov
conditions
(Gantmacher
1960) to examine
whether matrix IHI is asymptotically stable.
This approach is illustrated in the following example.
Example

Let us consider

the second-order
x(k

+ 1) =

system described

[ 08 0'5J
-0,4

12

x(k)

IX1+2x21~5
l-l'5xl+2x21~10

by the difference equation

[OJ
1

u(k)

(25 a)
(25 b)

The problem to be solved is the determination

of a linear state feedback control
u = [fl f2]X such that the resulting closed-loop system is asymptotically stable and
all initial states satisfying (25) are transferred to the origin while the control vector
does not violate constraints (24).

~~J

A~[_~:
are Al = 1 + jO-4 and .1.2 = 1 - jO4.
Now, setting

[~lG~[-:5 ~l

[la

w~

B~

and taking into account

that det G #- 0, conditions

p~7

(15) and (18) become

IDlw":;p
IGA(GTG)-lGT

+ GBDlw=

+ GBDlw,,:;ew

IGAG-I

51d11 + 1OId21
510'87 + 2dll
51-0'305

,,:;

(26 a)

+ 1010'58 + 2d2 5e
+ 2dll + 1011'13 + 2d21,,:; lOe
1

(26 b)

,,:;

(26 c)

Thus, the LCRP for system (23) under constraints (24) and (25) is reduced to the
determination
of dl, d2 and e which minimize the objective function

under constraints (26).

Transformation
of inequalities
application of a standard algorithm

(26) to a system of linear inequalities

and
of linear programming
gave the optimal values

u ~ [-0435 -04825{ -:5

With this control,

+ BD*G)x(k) where

the

resulting

closed-loop

08
A+BD*G=

[ -0,11125

~J[::J
system

05

becomes

x(k

+ 1) = (A

-0,635

The eigenvalues of matrix A + BD*G are Al = 0'76, .1.2 = 059 and it is worth noticing
that the optimal value of parameter e is a good upper bound of max (1.1.11, 1.1.21). Due to
the optimality of control law (26), the intersection of the boundary of set R( G, w) and
the boundary of set R(F, p) is not empty. This is shown in the following Figure.

5.

Conclusion

The Linear Constrained Regulation Problem has been analysed by determining

positively invariant sets associated to non-quadratic
Lyapunov functions. Existence
conditions oflinear state feedback control laws have been obtained and translated into
an efficient algorithm based on linear programming. The control laws obtained by this
approach not only transfer to the origin all the initial states belonging to a polyhedral
subset of the state space but also optimize the convergence rate, while respecting
control constraints.
Although in the formulation of the LCRP no constraints on the state vector have
been imposed, the proposed algorithm also provides a solution to the case where the
state vector must satisfy linear inequalities.

REFERENCES

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Technical Report 86015 (L.A.A.S.-CN.R.S,
Toulouse, France); 1988 a, Int. J. Control,
47, 1713; 1988 b, J. Large-scale Systems, to be published.
BITSORIS,G., and BURGAT, C, 1977, Int. J. Control, 25, 413.
CHEGANc;AS,J., and BURGAT, C, 1985, Actes du Congres Automatique
d'AFCET, Toulouse,
France, 193.
FRANKENA,J. F., and SIVAN, R., 1979, Int. J. Control, 30, 159.
GANTMACHER,F. R., 1960, The Theory of Matrices (New York: Chelsea).
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GUTMAN, P.O., and HAGANDER, P., 1985, IEEE
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