Академический Документы
Профессиональный Документы
Культура Документы
of Optimal Control
R. E. KALMAN
147
soon [13]. Most computer packages that aim at linear systems [3] T. BAŞAR AND G.J. OLSDER, Dynamic Noncooperative Game Theory, Clas-
and control implement today a Riccati equation solver. A wealth sics in Applied Mathematics, SIAM (Philadelphia), 1999.
[4] S. BITTANTI, A.J. LAUB, AND J.C. WILLEMS, edts, The Riccati Equation,
of information and references on the work on the LQ problem
Springer Verlag (Berlin), 1991.
can be found in [15] and [4]. [5] R.W. BROCKETT, Finite Dimensional Linear Systems, Wiley (New York),
Kalman’s paper deals only with state feedback. The formula- 1970.
tion of the output feedback version of the LQ problem requires [6] J.C. DOYLE, “Guaranteed margins for LQG regulators,” IEEE Trans. Au-
either introducing, as in LQG, stochastic disturbances, or a for- tomat. Contr., AC-23:756–757, 1978.
[7] J.C. DOYLE, K. GLOVER, P.P. KHARGONEKAR AND B.A. FRANCIS, “State-
mulation in terms of the H2 -norm. It is worth noting, however,
space solutions to standard H2 and H∞ control problems,” IEEE Trans.
that Kalman’s paper contains (p. 104) an informal, unproven but Automat. Contr., AC-34:831–847, 1989.
quite precise statement of the separation theorem and the cer- [8] A.C. HALL, The Analysis and Synthesis of Linear Servomechanisms, The
tainty equivalence principle, which are further discussed in this Technology Press, M.I.T. (Cambridge, MA), 1943.
volume in the preamble to Feldbaum’s papers. [9] Y.C. HO, A.E. BRYSON, JR. AND S. BARON, “Differential games and optimal
pursuit-evasion strategies,” IEEE Trans. Automat. Contr., AC-10(4):385–
The LQ problem and its sister, LQG, received enormous atten-
389, 1965.
tion, and were sometimes presented as a panacea for solving lin- [10] R.E. KALMAN, “On the general theory of control systems,” in Proc.
ear control problems. Critics [14], [16] pointed to the excessive First Internat. Congress Automat. Contr., pp. 481–491, Moscow,
bandwidth and poor robustness properties of the LQG controller. 1960.
In fact, Doyle’s paper [6] about guaranteed margin of LQG- [11] H. KWAKERNAAK AND R. SIVAN, Linear Optimal Control Systems, Wiley
(New York), 1972.
controllers had the abstract “There are none”—fortuitously mak-
[12] G.C. NEWTON, JR., L.A. GOULD AND J.F. KAISER, Analytical Design of
ing reading of the article superfluous. This lack of robustness led Linear Feedback Controls, Wiley (New York), 1957.
to the H∞ control problem which was formulated by Zames [19] [13] J.E. POTTER, “Matrix quadratic solutions,” SIAM J. Appl. Math., 14:496–
in part as a reaction to the LQG problems (see the comments in 501, 1964.
the preamble to [19], the last paper in this volume). However, [14] H.H. ROSENBROCK AND P.D. MCMORRAN, “Good, bad, or optimal?,” IEEE
Trans. Automat. Contr., AC-16(6):552–554, 1971.
it turns out that also in the H∞ -problem it was the Riccati equa-
[15] Special Issue on the Linear-Quadratic-Gaussian Estimation and Control
tion that finally prevailed [7]! The introduction of the Riccati Problem, IEEE Trans. Automat. Contr., AC-16(6), 1971.
equation, along with the notions of controllability and observ- [16] A.W. STARR AND Y.C. HO, “Nonzero-sum differential games,” J. Optimiz.
ability, are among the many gems in the crown of original ideas Theory Appl., 3(3):184–206, 1969.
in this seminal paper by Kalman. [17] N. WIENER, Extrapolation, Interpolation, and Smoothing of Stationary
Time Series, MIT Press (Cambridge, MA), 1949.
REFERENCES [18] J.C. WILLEMS, “Least squares stationary optimal control and the alge-
braic Riccati equation,” IEEE Trans. Automat. Contr., AC-16:621–634,
[1] B.D.O. ANDERSON AND J.B. MOORE, Linear Optimal Control, Prentice 1971.
Hall (Englewood Cliffs, NJ), 1971. [19] G. ZAMES, “Feedback and optimal sensitivity: Model reference transforma-
[2] M. ATHANS AND P.L. FALB, Optimal Control, McGraw-Hill (New York), tions, multiplicative seminorms, and approximate inverses,” IEEE Trans.
1966. Automat. Contr., AC-26:301–320, 1981.
148
Reprinted with permission from Boletin de la Sociedad Matematica Mexicana, R. E. Kalman,
“Contributions to the Theory of Optimal Control,” Vol. 5, 1960, pp. 102–119.
149