.- - .

382 IEEE TRANSACTIONS ON .~WTOUTIC CONTROL, AUGUST 1971

C 1 o o r l / o o o o 1 0 o o ‘ 0 o
15 I

I
I -1 -m5 ; 1-c
5 5
I
I
!
Fig. 1. The matrix A .
Fig. 2. The triangulatedmatrix U.
Q(1,i) = 1, J =i-1 Thus, given that # is a companion matrix, 2n3/3multiplications
are required for the solution of (1). Numerical d a c u l t y will only
-
- ai, J =n
+
arise if for any I , the term (1 &I1) is very small.
and If the original 4 matrix is not in companion form, then the re-
quired transformations on the +
and S matrices and the inverse
L(1,i) = 1, i # ?L transformation to obtain the correct P matrixcan be done with
= 1/(1 + dnrI), i = n. only approximately 5n3 multiplications (using the method of Dan-
ilevsky), provided the matrices arenot too ill-conditioned with
The above equat.ion is easily explained with respect to the A respect to any of t,he operat.ions.
matrix shown in Fig. 1. The first. row of matrices is already in the Thus, in general, the abovemethod requires approximately 5
desired form. The AZJ-1 submatrices must be removed from the 2/3n3 multiplications and hence should be considerably more
remaining rows. St.arting with AZ1, the -1 in the ith row can be efficient than t,he iterative method discussed above. C. Storey has
removed by adding the(i - 1)th row of the first row of submatrices. found that a similar result can be obtained with the Srrartz trans-
This introduces the u & - l J in the equation for d. The ai)s in the formation.
last column of Azl are eliminated by adding the appropriatemultiple
of the last row of the first row of submatrices. This int,roduces the C. S. BERGER
second term in the d equation. The zero so evident in the Cent. Elec. Res. Lab.
ftrst row of submatrices,have not been accounted for in order Leatherhead, Surrey
t.0 make the presentation and resulting program less complex. They
England
become nonzero as I increases. The last term accounts for the ai’s
already present in the A matrix. The L(I,&)term is necessary to
REFERENCES
maintain the 1on the diagonal.
[ I ] R. E. Iialrnan and J. E. Bertra?: “Control system analysis and design via
The second term in the d equation requires approximately n3/3 the second melhod of Lyapunor. J. Basic Eng., June 1960.
mult,iplications(for large n). The other multiplications are small in (21 6. Barnet.t. “.%!gebraic methods in Liapunov theory,”Control. June 1,969.
131 C. 5. Berger, Computer aided design of ineensit,lve linear systems, Ph.D.
comparison. dissert.ation. Cambridge Univ.. Cambridge, England, 1970.
Writing the triangulated set of equations (see Fig. 2) as [-%I S. Barnettand C. Storey.“Remarksonthe numericalsolution of the
Lyapunov matrix equat.ion.”Electron. Lett.,.Sept. 1987.
[ 5 ] E. 3. Davison and F. T. Man, “The numencal solution of A‘ Q + +QA =
Ur = h, -C,” JEEE Trans.Automat. Conlr. (Corresp.), r d . AC-13, Aug. 1968,
pp. 4 4 8 4 4 9 .
161 B. Moljnari,“Algebraic solution of matrixlinear equationsincontroi
the rightchand vector is given by [from (1)and ( S ) ] theory Proc. Inst. Elec. Eng,, vol. 116, Ocr. 1969.
[ i ]V. M.’Faddeeva, Computattona! Xeelhods of Ltnear Algebra. N e w fork:
Dover, 1959.
hlj = slj, j = 1 -f n
= +
(hG1,j-1 hi-l,n(LYI - ui-2-133-1 )

+ su)L(I,i), i 2 4n, 9 =
. . n (7)
= B -f
An Iterative Technique for the Computation of the
and thesolution r is given by Steady State Gains for the Discrete Optimal Regulator

Absfract-In this correspondence an algorithm is presented for

computing the steady-state optimal feedback law of the discrete
time invariant linear regulator that convergesquadratically in a
neighborhood of the steady state.

which requires approximately n3/3 multiplications. Manuscript reeeired August 14. 1970; revised February 26, 19iI.
 TECHNICALNOTES AND CORRESPONDENCE 383

INTRODUCTION Since this implies that +l is a stability matrix, the uniquepositive

definite solution VI of (5) exists. Using (7) with V Oand VI given by
The purpose of this correspondence is to establish the validityof an
algorithm for the discrete-time invariantlinear regulator with (5), we obtain
infinite terminal time, which is the analog of the algorithm derived m

by Kleinman [5] for the continuous problem. Although the usual v o - VI =

n=O
(+on)’(Lo- LI)’(D‘V& + R ) (Lo - L)(+at)2 0;
derivat.ion of the optimal control law is recursive in nature, the rate
of convergence to the steady stateis generally not very rapid, espe- hence, V I 5 VO.
cially in the neighborhood of the steady state, as simple one-dimen- 2 ) Let L* = (D’KD +
R)-ID‘K+, which is well defined by
sional examples demonstrate. I n contrast, the algorithm presented the choice of R. By employing an identity similar t.0 (7), one obt.ains
here converges in a neighborhood of 6he steady &atea t a rate thatis m
quadratic.
The linear time-invariant discreteplant is given by t,he state
VI -K = (+In)‘(L1- L*)‘(D‘KD + R ) ( L , - L*)(@ln)2 0 ;
equations for n = 0, 1, 2, * , - hence, V I 2 K .
n=O

s(n + 1) = @z(n) Du(n), + s(0) = zo (1) 3 ) The proof now proceeds as in Kleinman [5].
An upper bound for any matrix norm on t,he rate of convergence
I with cost funct,ional of the algorithm is given by the following theorem. As the estimate
shows, the rateof convergence is quadratic in a neighborhood of the
steady stat.e.
Theorem 2: If the algorithm in Theorem 1 is employed, then the
L where R > 0’ and for simp1icit.ywe assume that C‘C > 0. Theoptimal rate of convergence to the steady st.ateK is
feedback law, when the steady stat.eexists, is given by [2] IK - l’k+11 5 CIK - Vkl’,

U*(x) = - (D’KD + R)-lD’K@s(n)J (3)

where C i s a constant,independent of the iterat,ion index12.
where K is the unique posit.ive definitesolution of the algebraic
Proof: Let L* = (D’KD R)-l D’K+ and = DL*. + + +*-
equation
Since the steady state K is assumed t.o exist, is a st,ability matrix. +*
The matrix difference K - Vk+1can be expressed as in the proof of
K = +‘K+ - +‘KD(D’KD R)-ID’K+ C’C. + +
(4) Theorem 1 as a convergent series.
m
A matrix A will be called a stability matrix if and only if all of
its eigenvalues are less than one in absolute value.
K - Vk+l = (@*n)’(L*- Lk+l)‘(D’KD$. R )
n=O
-(L* - Lk+l)(O*n),
OF THE ALGORITHN
DERIVATIOK
where K k is obtained from (6).
T h e m 1: Let V k , k = 0,1,2, . . . , be thesolutions of the equation The expression
‘cs, = (+k)’Vk(+k) + Lk‘RLk + c’c (5) L* - Lk+1 = (D’KD + R)-’D’(K - Vk)@

where ’(D’KD + R)--l(DrVkD- D’KD)Lk+l

Lk = (D’V.L~D-t R)-lD’Vt-l@,, k = 1,2, * .. (6) can be verified by matrix manipulation. Subst,it,ut,ingt.his expression
= Q - DLk, k = 0,1,2, . . ., in the above series, we obtain for any matrix norm

and Lois chosen such t h a t *O is a stability matrix. Then

R 5 vk+l 5 Vk * * -, k = 0,1, .. . where C is a constant..

and REMARKS
lim V k = K. 1) A well-known sufficient condition for the exist,ence of K is
k+ m
that the pair (9,D) be controllable [4]. In addition, if the pair
Proof: (+, D ) is controllable, then t.here exists an LOsuch that @O is a st,ability
matrix [ 2 ] , 161.
1) Since @O is a stability matrix, by [I] the unique positive 2 ) By incorporating some of the ideas in ‘A’onham’s paper [8],
definite solution T.To of ( 5 ) may be mitt.en as the aut.hor [3] has established the validity of the algorithm and the
m existence of t.he st.eady st,ate K wit.hout requiring that C‘C > 0 or
v0 = N = O ( W ) ” ( L ~ ~ R+Lc~ ~ ) ( + ~ ) ” even that,R > 0.
3 ) Numerical studies by the author indicate that theconvergence
Let L.1 be defined by (6) and consider the identity is quiterapid for higher order systems even if C’C 2 0 and/or
R = 0 in the cases cited in remark 2.
+o‘Vo@o + Lo’RLo = + Ll‘RL1 GARYA. HEWER
+ (LI - Lo)’(D‘VOD + R)(LI- Lo), (7) Res. Dep.
which is similar to one foundin Wonham [7]. Michelson Lab.
By (7) VOalso satisfies the equation Naval Weapons Cen.
China Lake, Calif.
vo = +l’VO+l + M ,
REFERENCES
where
[l] W. Hahn, “Die Methode von Lgapunov und Differe~engleichungen,”
3f = C’C + LI‘RLI + (L1 - Lo)’(D’VoD + R)(L, - Lo) > 0. Math. Ann.. vol. 136, 1958, pp. 430-441.
121 M . L. J. Hautus,“St,@ilizationcontrollabilityandobservability
aut.onomoussystems, IndagationesMathematicae,
of Linear
vol. 32, no. 5 , 1970,
pp. 44s-455.
[3] G . A.Hewer,“Analysis of a discretematrixRiccatiequationoflinear
1 If X and Y aIe symmetric positive semidefinite matrices, then the notation control and Kalman filtering,” Naval Weapons Center, China Lake, Calif.,
X > Y [X 2 Y] means that the mat.rix X - Y is positive (semi) definite. NWC TP 5124.
[4] R. E. Kalman “On the general theory of control systems,” Proc. I & I F A C
Corrgr. London:Butterrrorths, 1960.
[5] D. Kleinman, “On an iterative technique for Riccati equat.ing computa-
tions,” I E E E Trans.Automat. Contr. (Corresp.). 1.01. AC-13. Feb.1968.
p. 114.
[ 6 ] JV. hi. Konham. “On pole assignment in multi-inputcontrollablelinear
systems, I E E E Trans.Automat. Contr.. vol. AC-12. Dec. 196i, pp. 660- and
665.
[ i ]-, “On a matrix Riccati equation of stochastic control,” S I A X J . Contr.. j = TAT-‘
1-01.6 , 1968, pp. 681-697.
6 = Tb
c = CT-’.
Kow, according to thecanonical structure t,heorem
+controllable and unobsel-vable components
Comments on “Design of a Single-Input
System for Specified Roots Using Output Feedback”’
...

1
(dimension nl)
X? +-controllable and observable components
..., (dimension -n?)

Abstract-A direct proof is given to Jameson’s second theorern’

which statesthattheroots corresponding to uncontrollable or
x = -

---
1

I
x3 tuncont.rollable and unobservable components
(dimension n3)
I X 4 +uncontrollable and observable components
unobselvablemodes cannot be altered by output feedback. The L---A (dimension -nl)
proof relies on Kalman’s canonical structure theorem and shows
that only the dynamics of the controllable andobservable sub- and
system can be changed by output feedback.
nl + n2 + n3 + n1 = n.
An important area of research in modem control theory is the &O,
question of att.ainability of arbitrarily assigned roots through st.ateor
out.put feedback. In other words, can any given pole distribution
(consistent wit,h system description) be at.tained by using const,ant,
(linear) state or outputfeedback?
In the case of state feedback, interesting results are available for
both the single-input and nmlti-input case [1]-[4]. The key notion
in all these works is that of (state) cont,rollability. Also, an inherent
assumption is t.hat all state variables are measurable.
I n a recent. publication,’ Jameson has considered the same basic
b = [[]
problem withthe exception t.hat only theoutput variables are - -
available for feedback purposes. c = [a C? 0 -541.

Consider t.he single-input constant system From (4)and (8)

X = AX + bu (1) j = (2 + &&)x.
y = cx. (21
By direct computation
Then (1) and (2) represent a linear dynamical systemwith t.he state x
an n-dimensional vector, t~ a scalar control, and y an m-dimensional
output vector.
The second theorem of Jameson reads as follows.
Themem: The root corresponding to eit.her an uncontrollable or an
unobservable mode of a system wit.h distinct open-loop roots cannot Carrying out. the mat,rix product in (loa)
he altered by feedbacks from the out.put vector.
Jameson’s proof of this theorem is based on the diagonalization nl nr n? n3
of A. In t.his correspondence an entirely different approach is taken columns columns columns columns
based on the famous canonical structure theorem of Kalman [ 3 ] .
In a m-ay, the proof is simpler and more revealing.
Because of out,put feedback,
21 = d‘y (31

where d ‘ is an (1 x m ) row vector. The equation for t.he closed-loop

system becomes
X = (A + bdtC)x. (4) For convenience, the sizes of partitioned vectors and mat,rices are
shorn wherever possible. Finally,
write

X = TX (3)

where T represents a const.ant nonsingular transformation that t,akes

(1) and (2) to their canonical forms. Details about T can be found in
[ 5 ] . Then COSCLUSIONS
1) From (11) it is seen that the
dynamics of the completely
controllable and observable subsystem only can be changed bg
using output vector feedback.