Linear-quadratic regulator

The theory of optimal control is concerned with operating a dynamic system at minimum cost. The case where the system dynamics are described by a set of linear differential equations and the cost is described by a quadratic functional is called the LQ problem. One of the main results in the theory is that the solution is provided by the linear-quadratic regulator (LQR), a feedback controller whose equations are given below. The LQR is an important part of the solution to the LQG problem. Like the LQR problem itself the LQG problem is one of the most fundamental problems in control theory.

General description

In layman's terms this means that the settings of a (regulating) controller governing either a machine or process (like an airplane or chemical reactor) are found by using a mathematical algorithm that minimizes a cost function with weighting factors supplied by a human (engineer). The "cost" (function) is often defined as a sum of the deviations of key measurements from their desired values. In effect this algorithm therefore finds those controller settings that minimize the undesired deviations, like deviations from desired altitude or process temperature. Often the magnitude of the control action itself is included in this sum as to keep the energy expended by the control action itself limited.

In effect, the LQR algorithm takes care of the tedious work done by the control systems engineer in optimizing the controller. However, the engineer still needs to specify the weighting factors and compare the results with the specified design goals. Often this means that controller synthesis will still be an iterative process where the engineer judges the produced "optimal" controllers through simulation and then adjusts the weighting factors to get a controller more in line with the specified design goals.

The LQR algorithm is, at its core, just an automated way of finding an appropriate state-feedback controller. And as such it is not uncommon to find that control engineers prefer alternative methods like full state feedback (also known as pole placement) to find a controller over the use of the LQR algorithm. With these the engineer has a much clearer linkage between adjusted parameters and the resulting changes in controller behaviour. Difficulty in finding the right weighting factors limits the application of the LQR based controller synthesis.

Finite-horizon, continuous-time LQR

For a continuous-time linear system described by

:$dot\{x\}\; =\; Ax\; +\; Bu$

with a quadratic cost function defined as

:$J\; =\; frac\{1\}\{2\}\; x^T(T)F(T)x(T)\; +\; intlimits\_\{0\}^T\; left(\; x^T\; Q\; x\; +\; u^T\; R\; u\; ight)\; dt$

the feedback control law that minimizes the value of the cost is

:$u\; =\; -F\; x\; ,$

where $F$ is given by

:$F\; =\; R^\{-1\}\; B^T\; P\; ,$

and $P$ is found by solving the continuous time algebraic Riccati equation (CARE).

Infinite-horizon, continuous-time LQR

For a continuous-time linear system described by

:$dot\{x\}\; =\; Ax\; +\; Bu$

with a cost functional defined as

:$J\; =\; intlimits\_\{0\}^infty\; left(\; x^T\; Q\; x\; +\; u^T\; R\; u\; ight)\; dt$

the feedback control law that minimizes the value of the cost is

:$u\; =\; -F\; x\; ,$

where $F$ is given by

:$F\; =\; R^\{-1\}\; B^T\; P\; ,$

and $P$ is found by solving the continuous time algebraic Riccati equation

:$A^T\; P\; +\; P\; A\; -\; P\; B\; R^\{-1\}\; B^T\; P\; +\; Q\; =\; 0\; ,$

Infinite-horizon, discrete-time LQR

For a discrete-time linear system described by

:$x\_\{k+1\}\; =\; A\; x\_k\; +\; B\; u\_k\; ,$

with a performance index defined as

:$J\; =\; sumlimits\_\{k=0\}^\{infty\}\; left(\; x\_k^T\; Q\; x\_k\; +\; u\_k^T\; R\; u\_k\; ight)$

the optimal control sequence minimizing the performance index is given by

:$u\_k\; =\; -F\; x\_k\; ,$

where

:$F\; =\; (R\; +\; B^T\; P\; B)^\{-1\}\; B^T\; P\; A\; ,$

and $P$ is the solution to the discrete time algebraic Riccati equation (DARE).

$P\; =\; Q\; +\; A^T\; left(\; P\; -\; P\; B\; left(\; R\; +\; B^T\; P\; B\; ight)^\{-1\}\; B^T\; P\; ight)\; A$

Bibliography

*cite book
last = Kwakernaak, Huibert and Sivan, Raphael
first =
authorlink =
year = 1972
title = Linear Optimal Control Systems. First Edition
publisher = Wiley-Interscience
id = ISBN 0-471-511102

*cite book
last = Sontag
first = Eduardo
authorlink = Eduardo D. Sontag
year = 1998
title = Mathematical Control Theory: Deterministic Finite Dimensional Systems. Second Edition
publisher = Springer
id = ISBN 0-387-984895

External links

* [http://documents.wolfram.com/applications/control/OptimalControlSystemsDesign/10.1.html Linear Quadratic Regulator]