Lecture 12
Linear Quadratic Regulator (lqr)
Objective of Lecture 12
Know what is optimal control
Explain what is lqr
Design lqr state feedback optimal controller for LTI systems
1
Lecture 12
Linear Quadratic Regulator (lqr)
The design of optimal control systems is an important function of control engineering. The purpose
of design is to realize a system with practical components that will provide the desired operating
performance. The desired performance can be readily stated in terms of time-domain performance
indices. The performance of a control system can be represented by integral performance measures.
Therefore, the design of a system must be based on minimizing a performance index, such as the
integral of the squared error. Systems that are adjusted to provide a minimum performance index are
often called optimal control systems. In this section, we will consider the design of an optimal control
system that is described by a state variable formulation.
consider the optimal regulator problem that, given the system equation
ẋ = Ax + Bu (1)
determines the matrix K of the optimal control vector u(t) = -Kx(t) so as to minimize the performance
index Z ∞
J= (xT Qx + uT Ru)dt (2)
to
where Q is a positive-definite (or positive-semidefinite) Hermitian or real symmetric matrix and R is a
positive-definite Hermitian or real symmetric matrix. Note that the second term on the right-hand side
of Equation 6 accounts for the expenditure of the energy of the control signals. The matrices Q and R
determine the relative importance of the error and the expenditure of this energy. In this problem, we
assume that the control vector u(t) is unconstrained. Therefore, if the unknown elements of the matrix
K are determined so as to minimize the performance index, then u(t)=–Kx(t) is optimal for any initial
state x(0).
The performance index is minimized when
k = R−1 B T P (3)
The nxn P matrix is determined from
P A + AT P − P BR−1 B T P = −Q (4)
which is called Riccati equation.
If Q and R, which are called weighting matrix, selected to be positive definite and symmetric, then
minimum cost function J exists if and only if there exists positive definite symmetric P matrix.
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Example 1:For the following system determine an optimal lqr state feedback gain matrix
−1 0 0
ẋ(t) = x(t) + u(t)
0 −2 1
y(t) = 1 0 (5)
To minimize Z ∞
1
J= (50x21 + 48x22 + u2 )dt (6)
0
4
Solution Riccati equation:
P A + AT P − P BR−1 B T P = −Q (7)
Let P be symmetric matrix as
p11 p12 50 0 1
P = P = R= (8)
p12 p22 0 10 4
T
p11 p12 −1 0 −1 0 p11 p12 p11 p12 0 1 −1 0 p11 p12 50 0
+ − ( ) =−
p12 p22 0 −2 0 −2 p12 p22 p12 p22 1 4 1 p12 p22 0 10
(9)
−2p11 − 4p122 −3p12 − 4p12p22 −50 0
= (10)
−3p12 − 4p12p22 −4p22 − 4p222 0 −10
−2p11 − 4p122 = −50 (11)
−3p12 − 4p12p22 = 0 (12)
−4p22 − 4p222 = −10 (13)
solving gives:
25 0 25 0
P1 = P2 = (14)
0 3 0 −4
Since P have to be positive definite (all eigenvalues of P must be greater than or equal zero) the solution
for P is P1 . The value of feedback gain matrix K=R−1 B T P =[0 12]
