Академический Документы
Профессиональный Документы
Культура Документы
MEGRETSKI
8 KYP Lemma
The dissipation inequality associated with a continuous time state space model
ẋ(t) = f (x(t), u(t)) (8.1)
defined by a function f : Rn × Rm 7→ Rn , and a supply rate σ (a function σ : Rn × Rm 7→
R), the associated dissipation inequality is the condition
V̇ (x)f (x, u) ≤ σ(x, u) ∀ x ∈ Rn , u ∈ Rm , (8.2)
where V : Rn → R (the associated storage function) is a continuously differentiable
function, and V̇ (x) means the gradient of V at the point x ∈ Rn . In a typical application,
f (·, ·) and σ(·, ·) are given, and (8.2) is to be solved with respect to V (·). While having
a dissipation inequality established for a given state space model is always beneficial
(unless (8.2) is trivial, as in the case when V ≡ 0 and σ ≥ 0 is non-negative), dissipation
inequalities with non-negative storage functions are especially useful, as they establish
that the integrals
Z T Z T
σ(x(t), u(t))dt ≥ dV (x(t)) = V (x(T )) − V (x(0)) ≥ −V (x(0))
0 0
39
8.1 Storage Functions: Quadratic vs. Non-Quadratic
The simplest part of the KYP Lemma states that dissipation inequalities (8.2) or (8.4)
with linear f and quadratic σ are satisfied for some continuous V if and only if they are
satisfied for some quadratic storage function V (x) = x0 P x (where P = P 0 ), in which case
(8.2) takes the form of the quadratic form inequality
P A + A0 P P B
≤ Q, (8.7)
B0P 0
Theorem 8.1 is the statement for the continuous time case, without a positive defi-
niteness restriction on V .
Theorem 8.2 is the similar statement for the continuous time case, with a positive
definiteness restriction on V .
Theorem 8.3 is the statement for the discrete time case, without a positive definiteness
restriction on V .
40
Theorem 8.4 is the similar statement for the discrete time case, with a positive defi-
niteness restriction on V .
Theorem 8.4 If functions f : Rn × Rm 7→ Rn and σ : Rn × Rm 7→ R defined by (8.5)
satisfy (8.4) for some continuous function V : Rn 7→ [0, ∞) then (8.8) is satisfied for some
n-by-n real symmetric positive semidefinite matrix P = P 0 ≥ 0.
Example 8.1 For example, according to Theorem 8.1, the dissipation inequality
V̇ (y)(ay + u) ≤ yu ∀ y, u ∈ R (8.10)
(where a ∈ R is a parameter) has a continuously differentiable solution V : R 7→ R if and only
if it has a solution V (y) = P y 2 , in which case (8.10) has the form
2P y(ay + u) ≤ yu ∀ y, u ∈ R,
which is equivalent to P = 0.5, P a ≤ 0, i.e. allows one to conclude that (8.10) is feasible iff
a ≤ 0.
41
Theorem 8.6 is the discrete time version with strict inequalities.
Theorem 8.6 If real matrices Q = Q0 , A, B are such that the Hermitian form (8.11) is
positive definite on the subspaces defined by (8.13) for all z ∈ C such that |z| = 1 then
there exists real matrix P = P 0 such that the quadratic form
is positive definite.
The standard non-strict frequency domain inequality versions of the KYP Lemma
require an additional assumption of reachability (or controllability) of the pair (A, B),
which means that the matrix
Mc (A, B) = [B AB A2 B . . . An−1 B]
must be right invertible. Otherwise, the implication is not valid, as shown by the following
example.
Theorem 8.7 If real matrices Q = Q0 , A, B are such that the pair (A, B) is reachable,
and the Hermitian form (8.11) is positive semidefinite on the subspaces defined by (8.12)
for all ω ∈ R then there exists real matrix P = P 0 satifying (8.6).
Theorem 8.8 If real matrices Q = Q0 , A, B are such that the pair (A, B) is reachable,
and the Hermitian form (8.11) is positive semidefinite on the subspaces defined by (8.13)
for all z ∈ C such that |z| = 1 then there exists real matrix P = P 0 satisfying (8.8).
Example 8.3 According to Theorem 8.7, the dissipation inequality from Example 8.1 has a
quadratic form solution V (y) = P y 2 if and only if the Hermitian form σ(y, u) = Re(y 0 u) is
positive semidefinite subject to jωy = ay + u for all ω ∈ R. Since, for jωy = ay + u,
42