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IN T. J. CON TROL,
1.
Introduction
International Journal of Control ISSN 00207179 print/ISSN 13665820 onlin e # 2001 Taylo r & F rancis Ltd
http://www.tandf.co.uk/journals
D OI: 10.1080/00207170010014061
483
2.
LTI
v kjk f u kjk
x k 1jk A x kjk Bv k jk
w kjk Cx kjk Dv kjk
y k jk h w kjk
1
2
3
1
X
i0
y k ijk T Q y y k ijk
u k ijk T R u u k ijk
subject to the model equations (1), (2) and (3) and possible input, state and output constraints, where u k ijk
for i 0 . . . 1 are the degrees of freedom. Q y and R u are
positive de nite weighting matrices. Because of the nonlinear functions f u and h w this optimization problem
is non-linear in general. Without any other restrictions
minimizing equation (4) would require an in nite
number of degrees of freedom. To solve this problem
484
H . H . J. Bloemen et al.
J k J 1 k J 2 k
J 1 k
H
s 1
X
i0
y k ijk Q y y k ijk
J 2 k x k H s jk T Px k H s jk
u k ijk T R u u k ijk
6
7
9
10
485
u = g(v) = G(v) v
Gmax v
2
6
6
6
4
..
.
w k H s 1jk
Gmin v
0
6
6 CA
6
6 .
6 ..
4
CA H s 1
min
02
6
B
6
B
6
B
6
B
6
B
B
B6
6
6
B
6
B
6
B
4
@
max
v
F igure 2. Transformation of the input non-linearity into a
polytopic description. Dashed: min and max value
for v. Solid: non-linearity g v. D otted: sector bound s
of the non-linearity within the operating region. Gmax
and Gmin represent the vertices of the polytopic
description.
w kjk
u kjk
6
7
..
6
7
5
4
.
u k H s 1jk
2
3
G v kjk 0
0
6
7
..
.
..
6
7
0
. ..
.
6
7
6
7
..
..
..
6
7
5
4
0
.
.
.
0
0 G v k H s 1j k
2
3
v kjk
6
7
..
6
7
4
13
5
.
v k H s 1jk
2
6
6
6
4
6
6
7
7
7
5
7
7
7
7x k
7
5
v kjk
..
.
4
6
v k H s 1jk
y kjk
..
.
y k H s 1jk
7
7
7
5
14
7
7
7
5
2H w kjk 0
6
6
6
6
6
6
4
0
..
.
6
6
6
4
0
2
3
D 0 0 C
.. 7
C
7
CB
.7 6
7C
.
.
.
6
C
.
.
.
7
0
.
. . 7
7C
.. 7 6
6
C
7
CA B
.7
7 6
7C
.. . . . .
6
7
7
.
. 0 5C
C
..
.. 7 4 .
C
7
.
.5
0 0 D A
CA H s 2 B CB 0
..
.
.. ..
.
.
.. ..
.
.
0
w kjk
..
..
..
.
..
..
..
.
w k H s 1jk
or equivalently
0 H w k H s 1jk
3
7
7
7
7
7
7
5
7
7
7
5
15
u~ G~ v~v~
16
w
~ C~A x k C~B D~v~
17
y~ H~ w
~w
~
18
19
486
H . H . J. Bloemen et al.
where Q~y and R~u are block diagonal matrices, respectively having Q y and R u blocks on the diagonal, a struc~ M inimizing J 1 k is equivalent to
ture similar to D.
minimizing 1 under the constraint
kC~A x k C~B D~v~k2H~ w~T Q~ H~ w~ k~
vk2G~ v~ T R~u G~ v~ 1
y
20
Q~1
y
v~ G~ v~
3
7
H~ w
~ C~A x k C~B D~v~ 7
7
5 0
G~ ~vv~
21
22
~ H Co fH~1 . . . H~ ~ g
H~ w
~ 2 O
NH
23
x k H s jk S 1 x k H s jk 1
24
2
4
1
x k H s jk
x k H s jk T 5
S
25
N ext, conditions on P are derived such that J 2 k represents an upperbound for the tail of the original performance index, equation (4), beyond k H s , i.e.
J 2 k kx k H s jk k2P
1
X
iH s
ky k ijk k2Qy
ku k ijk k2R u
26
8i H s 27
8i H s
28
487
max kP v; j v k ijk k2
iH s
C DK T H wT Q y H w C DK
T
K G v R u G vK gx k ijk 0
8 i H s 29
Qy
R
H w CS DY Y T G vT u G vY 0 30
2
2
which is transformed into the non-linear matrix inequality by using Schur complements (see Appendix)
2
6
6
6
A S BY
6
6
6Q 1=2 H w CS DY
6 y
4
R 1=2
u G vY
1=2 3
S A T Y T B T S C T Y T D T H w Q 1=2
Y T G v R u
y
S
2 I
n2 I
0
7
7
7
7
7
7
7
5
31
This matrix inequality is non-linear because of the multiplication of S and Y with G v and H w. Because G v
and H w appear a nely in inequality (31), the polytopic descriptions in equations (11) and (12) imply that if
inequality (31) holds for every combination of vertices
of OG and OH , which results in linear inequalities, every
convex combination of these inequalities will hold, and
thus that the original non-linear inequality is also satis ed. This transforms the non-linear optimization problem into a convex optimization problem given a LM I for
every combination of vertices of OG and OH .
Input, state and output constraints should still be
satis ed for interval i H s until 1. The constraints
on v and w, which are always present because they
were used to calculate the polytopic descriptions OG
and OH , are given by
Pv v k ijk v
8i H s
32
Pw w k ijk w
8i Hs
33
34
iH s
max kPw; j w k ij k k2
iH S
iH s
36
iH s
37
This means inequalities (34) and (35) are satis ed if
max k Pv;j Y S 1 zk2 2v;j
38
39
z2"
z2"
1
Pv; j Y S 1 z z T S 1 z
2v; j
max z T S 1 Y T D T C T PTw; j
z2"
40
1
Pw; j C DY S 1 z
2w; j
z T S 1 z
41
or
S 1 S 1 Y T P Tv;j
1
P v; j Y S 1 0
2v;j
S 1 S 1 Y T D T C T PTw; j
42
1
P w; j C DY S 1 0
2w;j
43
which, after pre- and post-multiplication by S and using
Schur complements, see Appendix, lead to the LM Is (in
Y and S )
2 2
4 v;j
Y T PTv;j
2
4
Pv;j Y
S
3
5 0
2w; j
Pw;j CS DY
Y T D T S C T PTw;j
44
3
5 0
45
488
H . H . J. Bloemen et al.
HTi Q y2 Hi
H~Tj Q~ y H~j
>
>
>
>
>
for any i 6 j =
>
for any i 6 j >
>
>
for any i 6 j
>
>
46
>
;
g;
9
=
Remark 2: In the special case when the non-linearities consist of respectively m parallel SISO input and
p parallel SISO output non-linearities, G v and H w
are diagonal. If then R u and Q y are chosen diagonal as
well, there is only one couple of active vertices Glim ,
Hlim , G~lim and H~lim characterized by
9
jGlim j jGi j
8Gi 2 OG >
>
jHlim j jHi j
jG~lim j jG~i j
jH~lim j jH~i j
48
49
~G >
>
8 G~i 2 O
>
>
>
>
50
>
~H ;
8 H~i 2 O
1 2
51
k~uk2R~u
>
>
>
>
>
8Hi 2 OH =
v~;Y ;S ; 1 ;2
v F u u
489
3.
53
H~Tlim ;new Q~y H~lim ;new H~Tlim ;old Q~y H~lim ;old
54
J 1 k new J 1 k old
55
J 2 k new J 2 k old
56
J k new J k old
57
J k new
J k new . These steps can be repeated several
times. U sing the receding horizon principle the extra
constraints imposed over the interval k up to
k H s 1 should be inherited when stating the optimization problem at the next time t l k 1 in the
receding horizon mode.
At every next time step a feasible solution will exist,
because at every time t k 1 the shifted solution of
time t k can be applied which is thus feasible.
Consider now the performance indices J k and J l
given the solution of the optimization problem at time
k. J 1 l can be written as
490
H . H . J. Bloemen et al.
kw k H s jk k2Hlim k H s jk T Qy Hlim k H s jk
kv k H s jk k2Glim k H s jk T R u Glim k H s jk
58
J 2 l J 2 k kw k H s jk k22 H lim k H s j k T
2 Q y Hlim k
H s jk
2:6
6
6
A 4
6 2
0
kv k H s jk k2Glim k H s jk T R u Glim k H s jk
59
60
4.
Examples
F igure 3.
C 0:4
Qy 1
1:1
0
0:5
0
eu 1
eu 1
0:7
7
0 7
7
5
0
0:1
R u 0:5
61
39
0:5 >
>
>
6 7>
>
6 7>
>
=
B 4
6 0 5
7
>
0 >
>
>
>
>
>
;
D 0:2
Hs 5
62
63
u ln 1
2
v1
64
491
65
vj k ij k vj ;old k ijk vb
66
1
X
i0
y k ijk T Q y y k ijk
v k ijk T R v v k ijk
67
7
@u 7
7
@v 7v0
7
@u7
2 Ru 2
R u 7
@v7v0
68
F igure 4. Control performance for the SISO H ammerstein model. U pper plots: when the non-linearity is transformed into a
polytopic description as presented in this paper. Lower plots: when the non-linearity is removed from the control problem.
F igure 5. Performance evaluation based on criterion (69) for the SISO Hammerstein model. Solid line: when the non-linearity is
transformed into a polytopic description as presented in this paper. D ashed line: when the non-linearity is removed from the
control problem.
492
H . H . J. Bloemen et al.
ik
X
J eval k
y i y ref iT Q y y i y ref i
i0
u i uref iT R u u i uref i
69
is plotted. In this gure it is clear that there is no signi cant di erence between both algorithms during the
rst part of the simulation. This is most clear in the right
plot of gure 5 in which the logarithm of J eval is plotted.
When the setpoint for the output returns from one to
zero at t 76, the M PC algorithm that uses performance index (67) calculates the maximum value for v.
H owever, it does not take the e ect of the non-linearity
into account, which in this case causes a more than
proportional increase in u. Therefore it is bene cial to
use a smaller input v at the cost of a slightly slower
response of the output as this improves the criterion
(69). This is exactly what the M PC algorithm presented
in this paper is doing. When the setpoint for the output
goes from zero to two, at t 101, a similar e ect is
observed. The smaller input v calculated by the M PC
algorithm presented in this paper, leads to a slightly
larger overshoot in the output, but because the associated control e ort in u decreases more than proportional, this will lead to a better evaluation based on
(69) (see gure 5). At t 126, when the setpoint for y
returns to zero, the same a ect as around t 76 is
observed. This example demonstrates that when the calculated v moves into the saturated region of the nonlinearity, the M PC algorithm presented in this paper is
able to account for this non-linear e ect by transforming the non-linearity into a polytopic description. This
improves the control action when evaluating the simulation with the criterion (69) as can be seen in gure 5.
N ote that criterion (69) corresponds to the original
objective function (4).
eu1 1
eu1 1
eu2 1
eu2 1
70
71
0:95
0:01
0:02
6
6
6 0:01 0:93 0:05
6
6
A6
6 0:03 0:03 0:77
6
6
6 0
0
0
4
0:82
0:81
6
6
6 0:1
6
6
B6
6 0
6
6
6 1
4
0
"
"
0
0:8
39
>
>
>
=
0:7
7
7
7
7
7
7
7
5
0
1
0:77
0:18
#
0
0:37
0:01
0:8
#9
>
>
>
>
>
>
0:01 =
>
>
>
>
>
>
;
0:01
y 1 ew1 1
y 2 ew2 1
Q y 10 I
>
>
>
7>
>
>
0:06 7
>
7>
>
7>
>
>
7
>
0:25 7>
>
7>
>
>
7
>
>
7
>
0 7
>
5>
>
>
0:25 7
0:03
0:1
0:81
0:06 7
7
0:9
0:01
0:82
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
;
72
73
74
75
Ru I
Hs 5
76
1
X
i0
w k ijk Q w w k ijk
v k ijk T R v v k ijk
77
493
F igure 6. Control performance for the M IMO H ammersteinWiener model. U pper plots: when the non-linearity is transformed
into a polytopic description as presented in this paper. Lower plots: when the non-linearity is removed from the control
problem. 1st and 2nd corresponds to the rst and second u, v, w and y.
F igure 7. Performance evaluation based on criterion (69) for the M IMO H ammersteinWiener model. Solid line: when the nonlinearity is transformed into a polytopic description as presented in this paper. D ashed line: when the non-linearity is
removed from the control problem.
Qw
7
@y 7
7
@w7w0
7
@y 7
I Qy I
Q y 7
@w7w0
78
Discussion
494
H . H . J. Bloemen et al.
Acknowledgements
This research is supported by the D utch Technology
F oundation (STW) under project number D EL55.3891.
Appendix.
Schur complements
Convex quadratic matrix inequalities can be converted into linear matrix inequalities through the use
of Schur complements (see, for example, K othare et al.
1996). G iven M z M z T , L z L z T and K z,
being a ne in the variable z, then the matrix inequalities
M z > 0
L z K z T M z 1 K z 0
79
L z > 0
M z K z L z 1 K zT 0
80
L z
81
82
References
A MATO, F ., G AROFALO, F ., G LIELMO, L ., and P IRONTI, A .,
1995, R obust and quadratic stability via polytopic set covering. International Journal of R obust and N onlinear Control,
5, 745756.
495