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Anda di halaman 1dari 23

Sachin C. Patwardhan

Dept. of Chemical Engineering,

I. I. T. Bombay, Powai, Mumbai 400 076

Email: sachinp@iitb.ac.in

Let us consider a stochastic process described by the following linear discrete state space

model

x(k + 1) =

x(k) + u(k)+w(k)

(1)

(2)

y(k) = Cx(k)+v(k)

represents measured outputs and w 2 Rn and v 2 Rr represent unmeasured disturbances

(state noise) and measurement noises, respectively. Here the vectors w(k) and v(k) are

assumed to be zero mean white noise sequences such that

R1 = E w(k)w(k)T

(3)

R12 = E w(k)v(k)T

(4)

R2 = E v(k)v(k)T

(5)

Such a model can be derived using either from linearization of a of rst principles (or grey

box model or state realization of a time series model developed from input-output data.

1.1

Linear discrete perturbation model of the form

x(k + 1) =

x(k) + u(k)+

y(k) = Cx(k)+v(k)

1

d d(k)

(6)

(7)

can be developed in the neighborhood of an operating point starting from a nonlinear rst

principles (or grey box) model. Here d 2 Rd represents vector of (physical) unmeasured

such as uctuations in feed concentrations. If it is further assumed that d(k) with known

covariance matrix, say Q; then we have

w(k) =

E [w(k)] = 0 ;

(8)

d d(k)

Cov [w(k)] = R1 =

dQ

T

d

(9)

When a state space model derived from rst principles is used for inferential control, the set

of controlled outputs will dier from the set of measured output. We represent controlled

outputs yr 2 Rr as follows

yr (k) = Cr x(k)

Example: Consider a CSTR in which the state variable vector is perturbations in reactor

concentration and reactor temperature

h

CA

Cr =

x=

iT

h

i

C= 0 1

and

1.2

1 0

x(k + 1) =

(10)

(11)

can be obtained from time series models (ARX/ARMAX) models identied from inputoutput data. Here, the innovations (or residuals) fe(k)g are a zero mean Gaussian white

noise sequence with covariance matrix Ve and K represents the corresponding steady state

Kalman gain. The above model can be re-written as

x(k + 1) =

(12)

(13)

where the vectors w(k) 2 Rn and v(k) 2 Rr are zero mean white noise sequences such that

R1 = E w(k)w(k)T = L1 VeT LT1

R12 = E w(k)v(k)T = L1 Ve

R2 = E v(k)v(k)T = Ve

(14)

(15)

(16)

It may be noted that, when a state space model is identied from data, typically we have

Cr = C, i.e., the set of outputs that can be controlled is identical to the set of measured

outputs.

The above model is used as a basis for design of a state feedback controller. Steps involved

in design of any state feed-back controller are as follows

1. Solve regulator / controller design problem under the assumption that full state is

available for feedback

2. Design state estimator and implement control law using estimated states.

In this section, we rst describe the method for designing optimal state feedback control

law and later show how control law can be implemented using optimal state observer (Kalman

Filter).

2.1

We rst discuss the state regulator design problem, where it is desired to bring the system

form non-zero initial state to zero initial state (the origin of state space). Non-zero initial

state can result from impulse like disturbances, which are su ciently spaced in time. We

want to device a state feedback regulator of type

u(k) =

Gx(k)

which will bring the system to the origin in a optimal fashion. For designing the regulator,

we only consider the deterministic part of the model, i.e.

x(k + 1) =

x(k) + u(k)

y(k) = Cx(k)

(17)

(18)

determine control sequence u(0); u(1):::::u(N 1) such that objective function

(N 1

)

X

J =E

x(k)T Wx x(k) + u(k)T Wu u(k) + x(N )T WN x(N )

(19)

k=0

is minimized. Here E(:) represents the expectation and x(N ) represents the state at nal

time N T . Wx ; Wu and WN are symmetric positive denite matrices. This optimization

problem is solved using the Bellmans method of dynamic programming. In order to derive

the control law, we start optimization from time k = N and work backwards in time. Let

us dene S(N ) = WN and

(N 1

)

X

J(k) =

min

E

x(i)T Wx x(i) + u(i)T Wu u(i) + x(N )T WN x(N )

(20)

u(k):::::u(N 1)

i=k

For k = N;

J(N ) = x(N )T WN x(N )

Then, for k = N

J(N

(21)

1;

1) = min

u(N 1)

x(N

1)T Wx x(N

1) + u(N

1)T Wu u(N

1) + J(N )

(22)

But

= [ x(N

1) + u(N

1) + u(N

1)]

(23)

Thus,

(

S(N ) u(N 1)

T

T

T

T

u(N 1)

+u(N 1)

S(N ) x(N 1) + u(N 1)

S(N ) + Wu u(N 1)

(24)

T

T

Note that the rst term x(N 1) Wx + S(N ) x(N 1) in J(N 1)cannot be inuenced by u(N 1). We solve the problem of minimizing the last three terms in J(N 1)

by method of competing squares. In order to see how this can be achieved, consider a scalar

quadratic function

J(N 1) = min

F (u) = uT Au + zT u + uT z

= uT Au + zT u + uT z + zT A 1 z

=

u + A 1z

A u + A 1z

4

(25)

zT A 1 z

zT A 1 z

(26)

(27)

where A is a positive denite matrix. The rst term on the right hand side in the above

equation is always non-negative. This implies that minimum of F (c)with respect to u is

attained at

u = A 1z

(28)

and its minimum value is

Fmin (u) =

zT A 1 z

(29)

T

(30)

S(N ) + Wu

S(N ) x(N

1)

(31)

1)

(32)

1) =

u(N

1) =

G(N

1)x(N

G(N

Wu +

S(N )

S(N )

(33)

1)

(34)

J(N

1)T S(N

1) = x(N

1)x(N

where,

S(N

1) =

S(N ) + Wx

G(N

1)T Wu +

S(N )

G(N

(35)

1)

J(N

2) = min

u(N 2)

x(N

2)T Wx x(N

2)T Wu u(N

2) + u(N

2) + J(N

1)

(36)

This is same as the earlier optimization problem, but with the time argument shifted. The

procedure can be repeated backward in time. The equation,

S(k) = [

G(k)]T S(k + 1) [

(37)

is called the discrete time Riccati equation. The matrices S(N ) = WN and Wu are assumed

to be positive denite and symmetric. This implies that S(k) is positive denite/semi-denite

and symmetric and this condition guarantees optimality at each stage. When horizon N

becomes large, S(k) tends to a constant matrix S(k) ! S1 which can be computed by

solving the algebraic Riccati equation (ARE)

G 1 = Wu +

S1

S1

(38)

S1 = [

G1 ]T S1 [

G1 ] + Wx + GT1 Wu G1

(39)

pair, where Wu = T , then there exists a unique, symmetric, non-negative denite solution

to the ARE. The corresponding state feedback control law can be formulated as

u(k) =

(40)

G1 x(k)

Further, when ( ; ) is controllable and objective function is symmetric and positive definite, the LQ controller will always give asymptotically stable closed loop behavior. By

selecting Wx and Wu appropriately, it is easy to compromise between speed of recovery and

magnitude of control signals.

2.2

Stability of LQ controller

Theorem 1 (Stability of the closed loop system) : Consider the time invariant system

given by equation (1) the loss function for the optimal control is given by equation (19).

Assume that a positive-denite steady state solution S1 exists for Riccati equation (39).

Then the steady state optimal strategy

u(k) =

G1 x(k) =

Wu +

S1

S1 x(k)

x(k + 1) = (

G1 )x(k)

Proof: Theorem A.3 in Appendix can be used to show that the closed loop system is

asymptotically stable (see Appendix for denitions of stability). It is su cient to show that

the function

V (x(k)) = xT (k)S1 x(k)

is a Lyapunov function. V is positive denite and

= xT (k)(

=

xT (k)S1 x(k)

G1 )T S1 (

G1 )x(k)

xT (k)S1 x(k)

xT (k)[Wx + LT Wu L]x(k)

system is thus asymptotically stable.

6

The poles of the closed loop system can be obtained in several ways. When the design is

completed, the poles are obtained from

det( I

+ G1 ) = 0

It is possible to show that the poles are the n stable eigenvalues of the generalized

eigenvalue problem.

("

I

Wx

0

T

"

Wu

I

#)

=0

This equation is called the Euler equation of the LQ problem. Theorem 1 shows that LQ

controller gives a stable closed loop system, i.e. all poles of

G1 are inside unit circle.

2.3

2.3.1

State Estimation

The model (1-2) can be used to develop the optimal state predictor as follows

e(k) = y(k)

b(k + 1jk) =

x

Cb

x(kjk

b(kjk

x

1) +

(41)

1)

u u(k)

+ Lp e(k)

(42)

Lp =

P1 =

P1 CT + R12

P1

CP1 CT + R2

Lp CP1 CT + R2 LTp

+ R1

(43)

(44)

Here, matrix P1 denotes steady state covariance of error in state estimation. It can be shown

that the residual (or innovation) fe(k)g is a zero mean Gaussian white noise process with

covariance matrix V1 . The state feedback LQ control law designed above is implemented

together with the Kalman predictor using estimated states as follows

u(k) =

b(kjk

G1 x

(45)

1)

Alternatively, model (1-2) can be used to develop the optimal current state estimator as

follows

e(k) = y(k)

b(kjk

x

1) =

Cb

x(kjk

b(k

x

b(kjk) = x

b(kjk

x

jk

1) +

u u(k

1) + Lc e(k)

7

(46)

1)

1)

(47)

(48)

P1;1 =

P0;1

P1;1 CT + R12

Lc =

P0;1 =

[I

(49)

+ R1

CP1;1 CT + R2

(50)

(51)

Lc C] P1;1

We can then use Kalman ler (current state estimator) to implement control law as follows

u(k) =

2.3.2

Separation Principle

b(kjk)

G1 x

(52)

To assess the nominal stability of the closed loop generated by observer - regulator pair, the

observer and the plant dynamics has be considered together. For example, the closed loop

system with Kalman predictor can be described by following set of equations

x(k + 1) =

(53)

(54)

b(k + 1jk) =

x

b(kjk

x

1) + u(k) + Lp [y(k)

"(kjk

1) = x(k)

Cb

x(kjk

1)]

(55)

b(kjk

x

(56)

1)

"

#

"

#"

x(k + 1)

[

G1 ]

G1

x(k)

=

"(k + 1jk)

[0]

[

Lp C]

"(kjk

" #

"

#

I

[0]

+

w(k) +

v(k)

I

Lp

1)

#

(57)

values of [

G1 ]) and dynamics of the state observers (i.e. eigen values of [

Lp C] ).

Thus, designing state feedback controller and state observer to be individually stable ensures

stability of the closed loop (separation principle). As a consequence, if the system under

consideration is observable and controllable, then the resulting closed loop is guaranteed

to be stable if weighting matrices in LQ formulation are chosen to be positive denite /

semi-denite. It is straight forward to show that separation principle also holds in this case.

2.4

2.4.1

State Augmentation for Unmeasured Disturbance Modeling

Linear quadratic regulator designed above can generate oset if (a) the unmeasured disturbances are non-stationary, i.e. they have slowly drifting behavior (b) mismatch exists

between the plant and the model. In order to deal with such a situation and introduce

integral action in the controller in the face of plant-model mismatch, the state space model

(1-2) is augmented with extra articial states as follows

x(k + 1) =

x(k) +

u u(k)

(k) + w(k)

(58)

(k + 1) =

(k) + w (k)

(59)

(k + 1) =

(k) + w (k)

(60)

y(k) = Cx(k) + C

(61)

(k) + v(k)

where 2 Rs and 2 Rt are articially introduced input and output disturbance vectors

while vectors w 2 Rs and w 2 Rt are zero mean white noise sequences with covariances Q

and Q ; respectively. The model coe cient matrices ( , C ) and noise covariances matrices

(Q , Q ) are treated as tuning parameters, which can be chosen to achieve the desired closed

loop disturbance rejection characteristics. Note that the total number of extra states cannot

exceed the number of measurements due to the requirement that the additional states should

be observable. Typical choices of the articial state variables and the corresponding coupling

matrices are as follows

Output bias formulation: A simple approach is to view the drifting disturbances

as causing a bias in the measured outputs, i.e., we can choose

= [0] ; Q = [0] ; C = I ;

Q =

can be viewed as bias in r manipulated inputs. When number of manipulated inputs equals the number of measured

outputs (r = m), then we can choose

=

;Q =

I ; C = [0] ;

Q = [0]

independent columns of u can be selected as :

Disturbance bias formulation: When the state space model is derived from rst

principles, it is possible to choose

=

;Q =

columns of d can be chosen as :

In all the above cases, 2 is treated as a tuning parameter. The above set of equations

can be combined into an augmented state space model of the form

xa (k + 1) =

a xa (k)

ua u(k)

(62)

+ wa (k)

(63)

where

3

2

3

x(k)

w(k)

6

7

6

7

xa (k) = 4 (k) 5 ; wa (k) = 4 w (k) 5

k)

w k)

2

3

"

#

[0]

6

7

u

[0] 5 ;

a = 4 [0] I

ua =

0

[0] [0] I

h

i

Ca =

C [0] C

R1a

R12a

R1 [0]

6

T

= E wa (k)wa (k) = 4 [0] Q

[0] [0]

"

#

R

12

= E wa (k)v(k)T =

[0]

3

[0]

7

[0] 5

Q

R2a = E v(k)v(k)T = R2

This augmented model can be used for developing a Kalman predictor of the form

ea (k) = y(k)

ba (k + 1jk) =

x

Cb

xa (kjk

ba (kjk

ax

(64)

1)

1) +

ua u(k

1) + La ea (k)

(65)

where the steady state Kalman gain is obtained by solving the corresponding steady state

Riccati equations

La =

Pa1 =

T

a Pa1 Ca

a Pa1

T

a

+ R12a

+ R1

Ca Pa1 CT

a + R2

T

La Ca Pa1 CT

a + R2 La

(66)

(67)

In order to maintain the observability of the articially introduced states, the number of additional states introduced in the augmented model should not exceed the number of measured

outputs . When the state space model (10-11) is observable and stable with no integrating

modes, the augmented state space model will be observable (detectable) in most of the cases.

10

2.4.2

The problem of tracking a setpoint is solved by modifying the regulatory control law as

follows

us (k) =

u(k)

G [x(k)

u(k) = us (k)

(68)

xs (k)]

G [x(k)

(69)

xs (k)]

where xs (k) represent the nal steady state target corresponding to the setpoint, say r(k);

and us (k) represents the steady state input necessary to reach this steady state target. At

any instant k;these vectors are computed by solving steady state equation

xs (k) =

xs (k) +

u us (k)

r(k) = Cr xs (k) + C

(70)

(k)

(71)

(k)

r(k)= Ku us (k) + K

(k) + C

(72)

(k)

Ku = Cr (I

K = Cr (I

When number of inputs (m) equals the number of controlled outputs (r), we can re-arrange

above equations as follows

us (k) = Ku 1 [r

xs (k) = (I

K

)

(k)

u Ku

(k)]

[r(k)

(73)

(k)] +

u Ku

(k)

(74)

When number of the manipulated inputs (m) is not equal to number of controlled outputs

(r), matrix Ku 1 in the above expression should be replaced by Kyu ; i.e., pseudo-inverse of

the steady state gain matrix Ku : For the case m = r; two special cases of quadratic optimal

tracking control law are as follows

Output bias formulation: In this case we have

= [0] ; C = I; which implies

that K = [0] and computation for xs (k); us (k) reduces to

us (k) = Ku 1 [r(k)

xs (k) = (I

11

(75)

(k)]

u Ku

[r(k)

(k)]

(76)

= u ; C = [0]; which implies

that K = Ku and computation for xs (k); us (k) reduces to

us (k) = Ku 1 r(k)

xs (k) = (I

(77)

(k)

1

u Ku

(78)

r(k)

LQG formulation described above provides a systematic approach to designing a control law

for linear multi-variable systems. However, main di culty associated with the classical LQG

formulation is inability to handle constraints explicitly. Operating constraints, such as limits

on manipulated inputs, limits on controlled outputs arising out of product quality or safety

considerations are commonly encountered in any real problem. Also, it is di cult to deal

with plant-model mismatch in classical LQG framework.

Model Predictive Control (MPC) refers to a class of multi-variable control algorithms

developed in process industry to deal with operating constraints together with multi-variable

interactions. MPC can be viewed as modied versions of LQ (or LQG) formulation, which

can deal with plant-model mismatch and operating constraints in a systematic manner. This

approach was rst proposed independently by two industrial groups

Dynamic Matrix Control (DMC): Proposed by Cutler and Ramaker from Shell, USA

in 1978.

Model Algorithmic Control (MAC): proposed by Richalet (1978, France)

These initial versions were based on nite impulse models (FIR) models. In this section,

we rst present DMC formulation starting from equations (17-18). We later proceed to

develop the recent version of MPC formulation based on Kalman lter, which is better

suited for dealing with unmeasured disturbances.

3.1

The main component of DMC is the model describing deterministic contributions to process

dynamics given by equations (17-18). This model is used on-line to perform future predictions

of plant dynamics. When the system under consideration is open loop stable, this model can

be used to develop an open loop state observer as follows

b(kjk

x

1) =

b(k

x

1jk

12

2) +

u u(k

1)

(79)

where x

(k 1).

In a typical DMC formulation, at each sampling instant, the state estimator (79) is used

for predicting future behavior of the plant over a nite future time horizon of length p (called

as the prediction horizon) starting from the current time instant k: Let us assume that at

any instant k; we are free to choose only q future manipulated input moves

fu(kjk); u(k + 1jk)::::::u(k + q

1jk)g

with the following constraints on the remaining of the future input moves

u(k + qjk) = u(k + q + 1jk) = :::::: = u(k + p

1jk) = u(k + q

1jk)

(80)

where q is called as the control horizon. The predicted estimates of the state variables can

be generated by recursively using the state estimator (41-42) as follows

b(k + 1jk) =

x

b(k + j + 1jk) =

x

b(kjk

x

1) +

b(k + jjk) +

x

u u(kjk)

u u(k

+ jjk)

(81)

(82)

A predictive control formulation based on the above open loop observer predictions can

pose practical di culties in the presence of mismatch between plant and the model. Since

the model is identied once in the initial phase of the MPC implementation, discrepancies

between plant and model parameters can arise over the period of time due to shift in the

operating point, changes in the disturbance characteristics etc. Thus, there is a need to

introduce some mechanism to account for the plant model mismatch, which, in turn, introduces integral action in the controller formulation. In DMC formulation, this is achieved by

correcting the future predictions as follows

b(k + j + 1jk) = Cr x

b(k + jjk) + b (k + jjk)

y

b (k + j + 1jk) = b (k + jjk)

b (kjk) = y(k)

(for j = 1::::p)

Cb

x(kjk

1)

(83)

(84)

(85)

(86)

Note that vector b (k) contain information about unknown / unmeasured disturbances as

well as plant model mismatch. It is easy to see that this mismatch compensation strategy is

equivalent to the output bias formulation discussed in the previous section.

13

3.2

In addition to predicting the future output trajectory, at each instant, a ltered future

setpoint trajectory is generated using a reference system of the form

xr (k + j + 1jk) =

r xr (k

+ jjk) +

[r(k)

yr (k)]

for j = 0; 1; ::::p

(87)

(88)

with initial condition xr (k) = 0. Here, r(k) 2 Rr represents the setpoint vector. The

coe cient matrices of the reference system are tuning parameters which can be selected

to achieve the desired closed loop tracking performance. In order to ensure the free servo

responses for step changes in the setpoint, the coe cient matrices of the reference system

should be selected such that the steady state gain of the reference system is equal to the

identity matrix, i.e.

1

Crf (I

r)

r = I

Typically, the reference system is selected such that its transfer function matrix is diagonal

with unit gain rst (or higher) order low pass lters on the main diagonal.

3.3

Given future desired setpoint trajectory fyrf (k + jjk) : j = 1; 2; ::::pg at instant k; the model

predictive control problem at the sampling instant k is dened as a constrained optimization

problem whereby the future manipulated input moves u(kjk); u(k + 1jk)......u(k + q 1jk)

are determined by minimizing an objective function dened as

=

p

X

ef (k + jjk) we ef (k + jjk) +

j=1

q 1

X

(89)

j=0

where

ef (k + jjk) = yrf (k + jjk)

j = 1; 2; ::::p

b(k + jjk)

y

(90)

(91)

u(k + jjk) = u(k + jjk)

j = 1; :::q

u(kjk) = u(kjk)

14

u(k + j

1jk)

(92)

1

u(k

1)

(93)

yL

yH

bc (k + jjk)

y

(94)

j = 1; 2; ::::p

uL

u

uH

u(k + jjk)

uf (k + jjk)

j = 0; 1; 2; ::::q

(95)

u

(96)

Here, we represents positive denite the error weighting matrix and wu represents positive

semi-denite the input move weighting matrix. The closed loop stability and the desired

closed loop performance can be achieved by judiciously selecting the prediction horizon p;

control horizon q. Typically, prediction horizon is selected close to the open loop settling

time while control horizon (q) is chosen signicantly smaller (say between 1 to 5). The

weighting matrices we and wu are typically chosen diagonal and can be eectively used to

specify relative importance of errors and manipulated input moves. The resulting constrained

optimization problem can be solved using any standard nonlinear programming method such

as SQP (Sequential Quadratic Programming). For e cient on-line implementation, it is

possible to re-arrange above problem as a QP problem.

The controller is implemented in a moving horizon frame work. Thus, after solving the

optimization problem, only the rst move uopt (kjk) is implemented on the plant, i.e.

u(k) = uopt (kjk)

and the optimization problem is reformulated at the next sampling instant based on the

updated information from the plant. Note that the use of open loop observer limits applicability of DMC to open loop stable systems. Thus, if a process has unstable modes, then

these modes are stabilized rst by introducing a local feedback loop and DMC is applied as

a master controller in a cascade conguration.

3.4

b

Dening the future input vector Uf (k) and the predicted output vector Y(k)

over the future

horizon as

h

iT

(97)

Uf (k) =

u(kjk)T u(k + 1jk)T ::::::: u(k + q 1jk)T

h

i

b

Y(k)

=

(98)

b(k + 1jk)T y

b(k + 2jk)T ::::: y

b(k + pjk)T

y

the above prediction model, together with the constraints (118) on the future inputs, can be

expressed as

b

b(k=k 1) + Su Uf (k) + S b (k)

Y(k)

= Sx x

(99)

15

where

6

6

Sx = 6

4

C u

C

:::::

C q

C q

:::::

C p

6

6

6

6

6

6

Su = 6

6

6

6

6

4

C

C 2

::::::

C p

[0]

C u

:::::

C q

C q

::::::

C p

3

7

7

7

5

2

1

[0]

[0]

::::

::::

:::

::::

:::

u

u

6

6

S =6

4

::::

::::

:::

:::

::::

::::

:::

I

I

::::::

I

3

7

7

7

5

(100)

[0]

[0]

[0]

C u

C( + I) u

::::

C( p q + :::: + I)

7

7

7

7

7

7

7

7

7

7

7

5

(101)

Here, matrix Su is called dynamic matrix of the system. Dening the future reference

trajectory vector R(k) as

R(k) =

yrf (k + 1jk)

yrf (k + 2jk)

E(k) = R(k)

iT

(102)

b

Y(k)

(103)

The unconstrained version of the DMC control problem stated above can be re-cast as follows

min E(k)T WE E(k) +

Uf (k)

Uf (k)T WU

(104)

Uf (k)

where WE and WU represents error weighting and input move weighting matrices, respectively, and are dened as

h

i

WE = diag we we :::: we

(105)

h

i

WU = diag wu wu :::: wu

(106)

Here,

Uf (k) is dened as

2

6

6

Uf (k) = 6

4

u(k=k) u(k 1)

u(k + 1=k) u(k=k)

::::::

u(k + q 1=k) u(k + q

16

3

2=k)

7

7

7=

5

Uf (k)

0 u(k

1)

(107)

where

6

6

=6

4

[0] [0]

I I [0]

::: ::: :::

[0] ::::

I

[0]

[0]

:::

I

3

7

7

7

5

6

6

=6

4

I

[0]

:::

[0]

3

7

7

7

5

(108)

This unconstrained problem can be solved analytically to compute a closed form control law.

The unconstrained optimization problem can be reformulated as

1

min Uf (k)T HUf (k) + Uf (k)T z(k)

Uf (k) 2

(109)

where

H = 2(STu WE Su + T WU )

h

b(k=k 1)

z(k) =

2 (R(k) Sx x

Sd b (k)) WE Su + (

0 uk 1 )

WU

(110)

(111)

Since only the rst input move is implemented on the process

uopt (kjk) =

T

0 Uf (k)

T

1

0 H z(k)

With some algebraic manipulations, the above control law can be rearranged as follows

uopt (kjk) = Gu u(k

1)

b(kjk

Gx x

1) + G

(kjk) + Gr R(k)

From the above rearranged equation, it is easy to see that the unconstrained DMC control

law is a special type of state feedback controller.

3.5

QP Formulation

The base constrained DMC formulation stated in Section 3.3 can be re-cast as follows

min E(k)T WE E(k) +

Uf (k)

Uf (k)T WU

Uf (k)

(112)

YL

UL

UL

b

Y(k)

Uf (k)

Uf (k)

17

YH

(113)

UH

(114)

UH

(115)

Note that above formulation has a quadratic objective function and linear constraints. Thus,

for improving the computational e ciency, the above problem can be transformed into an

equivalent quadratic programming (QP) formulation as follows

1

min Uf (k)T H Uf (k) + zT Uf (k)

Uf (k) 2

Subject to AUf (k)

where

3

Iqm

6

7

6 Iqm 7

6

7

6

7

7 ;

A=6

6

7

6

7

6

7

4 Su

5

Su

6

6

6

6

b =6

6

6

6

4

(116)

(117)

UH

UL

UH + 0 uk 1

UL

0 uk 1

b

b(k=k 1) Sd d(k)

Sx x

+ YH

b

b(k=k 1) + Sd d(k)

Sx x

YH

3

7

7

7

7

7

7

7

7

5

for on-line implementation as e cient algorithms exist for solving QP.

3.6

The DMC controller discussed above gives good setpoint tracking performance. However.

the main limitation of DMC formulation arises from poor handling of unmeasured disturbance and plant model mismatch. Thus, the research eorts over last decade were directed

toward improving disturbance handing capabilities of MPC formulations. This section illustrates how MPC can be formulated using Kalman predictor to improve disturbance rejection

capabilities of MPC.

The main component of the improved MPC formulation is the model describing deterministic and stochastic contributions to process dynamics (equations 1-2), which is used to

develop the Kalman predictor (equations 41-44). At each sampling instant, the Kalman state

estimator is used for predicting future behavior of the plant over a nite future time horizon

of length p (called as the prediction horizon) starting from the current time instant k: Let us

assume that at any instant k; we are free to choose only q future manipulated input moves

fu(kjk); u(k + 1jk)::::::u(k + q

1jk)g

with the following constraints on the remaining of the future input moves

u(k + qjk) = u(k + q + 1jk) = :::::: = u(k + p

18

1jk) = u(k + q

1jk)

(118)

where q is called as the control horizon. As the expected value of future innovations is zero,

the optimal predicted estimates of the state variables can be generated by recursively using

the state estimator (41-42) as follows

b(k + 1jk) =

x

b(kjk

x

b(k + j + 1jk) =

x

1) +

b(k + jjk) +

x

(for j = 1::::Np

u u(kjk)

u u(k

+ Le(k)

+ jjk)

(119)

(120)

1)

A predictive control formulation based on the above optimal predictions can pose practical

di culties in the presence of mismatch between plant and the model. Since the model is

identied once in the initial phase of the MPC implementation, discrepancies between plant

and model parameters can arise over the period of time due to shift in the operating point,

changes in the disturbance characteristics etc. Thus, there is a need to introduce some

mechanism to account for the plant model mismatch, which, in turn, introduces integral

action in the controller formulation. This can be achieved by augmenting the state space

model with articially introduced input and / or output disturbance variables, which behave

as integrated white noise sequences. The resulting augmented model can be written as

x(k + 1) =

x(k) +

u u(k)

(k) + w(k)

(121)

(k + 1) =

(k) + w (k)

(122)

(k + 1) =

(k) + w (k)

(123)

y(k) = Cx(k) + C

(124)

(k) + v(k)

where 2 Rs and 2 Rt are articially introduced input and output disturbance vectors

while vectors w 2 Rs and w 2 Rt are zero mean white noise sequences with covariances

Q and Q ; respectively. The model coe cient matrices ( , C ) and noise covariances

matrices (Q , Q ) are treated as tuning parameters, which can be chosen to achieve the

desired closed loop disturbance rejection characteristics. Typical choices of the articial

state variables and the corresponding coupling matrices have been discussed in Section 2.3.

This augmented model can be used for developing a Kalman predictor of the form

ea (k) = y(k)

ba (k + 1jk) =

x

Cb

xa (kjk

ba (kjk

ax

1) +

(125)

1)

ua u(k)

+ La ea (k)

(126)

where La represents the steady state Kalman gain is obtained by solving the corresponding

steady state Riccati equations. The optimal predictions of states based on the augmented

19

ba (k + 1jk) =

x

ba (k + j + 1jk) =

x

ba (kjk

ax

ba (k

ax

(for j = 1::::p

1) +

+ jjk) +

ua u(kjk)

ua u(k

+ La ea (k)

+ jjk)

(128)

(129)

1)

b(k + jjk) = Ca x

ba (k + jjk)

y

(127)

(for j = 1::::p)

(130)

Using the above augmented state observer, the MPC controller is formulated as an optimization problem at every instant as discussed in Section 3.3. It is also possible to derive closed

form unconstrained control law and a QP formulation suitable for on-line implementation as

discussed in section 3.4 and 3.5, respectively.

4

4.1

Appendix: Stability

Denitions

It is assumed that the notion of stability is known from the basic texts in control theory.

Only the basic denitions are given here. Consider the discrete time, state space equation

(possibly nonlinear and time varying)

(131)

x(k + 1) = F(x(k); k)

Let x (k) and x(k) be solutions of Eq. (131) when the initial conditions are x (k0 ) and

x(k0 ), respectively. Further let k : kdenote a vector norm.

Denition A.1 (Stability): The solution x (k) of Eq. (131) if stable if for any given

> 0, there exists a ( ; k0 ) > 0 such that all solutions with k x(k0 ) x (k0 ) k< are such

that k x(k) x (k) k< and for all k = k0 :

Denition A.2 (Asymptotic stability): The solution x (k) of Eq.131 is asymptotically stable if it is stable and if k x(k) x (k) k! 0 when k ! 1 provided that

k x(k0 ) x (k0 ) k is small enough.

From the denitions, it follows that stability in general is dened for a particular solution

and not for the system.

Theorem A.1. Asymptotic stability of linear systems. A discrete-time, linear, timeinvariant system,

x (k + 1) = x (k); x (0) = a0

is asymptotically stable if and only if all eigen values of

20

(132)

Stability with respect to disturbances in the initial value has already been dened. Other

types of stability concepts are also of interest. In control we often work with input-output

models of the form

y(k) = F [y(k

1); y(k

ny ); u(k

nu )] + e(k)

(133)

In the context of such models, we are interested in knowing whether the dynamic system

will generate bounded output sequence, i.e. ky(k)k1

My < 1 for all k if the system is

subjected to a bounded input sequence, i.e. ku(k)k1 Mu < 1 for all k:

Denition A.3. BIBO stability: A linear, time-invariant system is bounded-inputbounded-output (BIBO) stable if a bounded input gives a bounded output for every initial

value.

From the denition it follows that asymptotic stability is the strongest concept. The

following theorem is a result.

Theorem A.2. Asymptotic stability implies stability and BIBO stability.

4.2

Lyapunovs second method is a useful tool for determining the stability of non-liner dynamic

systems. (Analyzing stability using eienvalues is often referred to as Lyapunovs rst method.

) Lyapunov developed the theory for dierential equation, but a corresponding theory can

also be derived for dierence equations.

Denition A.4. Lyapunov function: Let V (x) represent a Lyapunov function for the

system,

x(k + 1) = F(x(k)) ;

F(0) = 0

(134)

If:

1. V (x) is continuous in x and V (0) = 0:

2. V (x) is positive denite.

3. 4V (x) = V [x(k + 1)]

V [x(k)] = V [F(x(k))]

A simple geometric illustration of the denition is given in Figure (4.2). The level curves

of a positive denite continuous function V [x(k)] are closed curves in the neighborhood of

the origin. Let each curve be labelled by the value of the function. Condition 3 above implies

that the dynamics of the system are such that the solution always moves toward curves with

21

lower values. All the curves encircle the origin and do not intersect any other level curve.

It thus seems that the existence of a lyapunov function ensures asymptotic stability. The

following theorem is a precise statement of this fact.

Theorem 3. Stability theorem of Lyapunov: The solution x(k) = 0 is asymptotically stable if there exists a Lyapunov function for the system given by equation (134).

Further, if there exists (k x k) such that

(k x k) < V (x)

0<

conditions.

The main obstacle to using the Lyapunov theory is nding a suitable Lyapunov function.

This is in general a di cult problem; however, for the linear system of Eq.132, it is straightforward to determine quadratic Lyapunov functions. Take V (x) = xT Px as a candidate for

Lyapunov function. The increment of V is then given by

4V (x) = V ( x)

= xT [

V (x) = xT

P x

xT Px

P ]x = xT Qx

For V to be a Lyapunov function, it is thus necessary and su cient that there exists a

positive denite matrix P that satises the equation

T

P=

22

(135)

where Q is positive denite. Eq.135 is called Lyapunovs equation. It can be shown that

there is always a solution to the Lyapunov equation when the linear system is stable. The

matrix P is positive denite if Q is positive denite.

References

Franklin, G. F. and J. D. Powell, Digital Control of Dynamic Systems, Addison-Wesley,

1989.

23

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