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Linear Control Systems Lecture # 8 Observability & Discrete-Time Systems

The document discusses observability and discrete-time systems in linear control systems. It defines observability as the ability to uniquely determine the initial state from output measurements over time. The observability Gramian is used to test observability, and is positive definite if and only if the system is observable. For discrete-time systems, controllability and observability are defined similarly to continuous-time systems, and the rank of the observability/controllability matrices determine if the pair is observable/controllable.

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Ravi Verma
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118 views

Linear Control Systems Lecture # 8 Observability & Discrete-Time Systems

The document discusses observability and discrete-time systems in linear control systems. It defines observability as the ability to uniquely determine the initial state from output measurements over time. The observability Gramian is used to test observability, and is positive definite if and only if the system is observable. For discrete-time systems, controllability and observability are defined similarly to continuous-time systems, and the rank of the observability/controllability matrices determine if the pair is observable/controllable.

Uploaded by

Ravi Verma
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 25

Linear Control Systems

Lecture # 8
Observability
&
Discrete-Time Systems
p. 1/25
Denition: The system
x = Ax, y = Cx
or the pair (A, C), is said to be observable on [t
0
, t
f
] if any
initial state x(t
0
) = x
0
can be uniquely determined from
y(t) on [t
0
, t
f
]. It is said to be (re)constructible on [t
0
, t
f
] if
any nal state x(t
f
) = x
f
can be uniquely determined from
y(t) on [t
0
, t
f
]
Without loss of generality, take t
0
= 0
The observability Gramian of (A, C) is dened by
W
o
(0, t
f
) =
_
t
f
0
e
A
T
t
C
T
Ce
At
dt
p. 2/25
Lemma: W
o
(0, t
f
) is positive denite if and only if there is
no vector x
a
= 0 such that
Ce
At
x
a
0, t [0, t
f
]
Proof:
x
T
a
W
o
(0, t
f
)x
a
=
_
t
f
0
x
T
a
e
A
T
t
C
T
Ce
At
x
a
dt
x
T
a
W
o
(0, t
f
)x
a
= 0 Ce
At
x
a
0, t [0, t
f
]
p. 3/25
Theorem: The pair (A, C) is observable (constructible) on
[0, t
f
] if and only if the observability Gramian W
o
(0, t
f
) is
positive denite
Proof of sufciency: Suppose W
o
(0, t
f
) is positive denite
and let x
0
be the initial state
y(t) = Cx(t) = Ce
At
x
0
Multiply from the left by e
A
T
t
C
T
e
A
T
t
C
T
y(t) = e
A
T
t
C
T
Ce
At
x
0
Integrate from 0 to t
f
_
t
f
0
e
A
T
t
C
T
y(t) dt =
_
t
f
0
e
A
T
t
C
T
Ce
At
dt x
0
p. 4/25
_
t
f
0
e
A
T
t
C
T
y(t) dt = W
o
(0, t
f
)x
0
This equation has a unique solution
x
0
= W
1
o
(0, t
f
)
_
t
f
0
e
A
T
t
C
T
y(t) dt
Since
x(t
f
) = e
At
f
x
0
and e
At
f
is nonsingular, x(t
f
) is determined uniquely by
x(t
f
) = e
At
f
W
1
o
(0, t
f
)
_
t
f
0
e
A
T
t
C
T
y(t) dt
p. 5/25
Proof of Necessity: We want to show that positive
deniteness of W
o
(0, t
f
) is a necessary condition for
observability (constructibility) over [0, t
f
]
Suppose W
o
(0, t
f
) is not positive denite. Then, there is a
vector x
a
= 0 such that
Ce
At
x
a
0, t [0, t
f
]
For the case of observability, The output due to x(0) = x
0
is
Ce
At
x
0
and the output due to x(0) = x
0
+x
a
is
Ce
At
(x
0
+x
a
) = Ce
At
x
0
+Ce
At
x
a
= Ce
At
x
0
p. 6/25
The initial states x
0
and x
0
+x
a
produce the same output.
Hence, x
0
cannot be uniquely determined from the output
For the case of constructibility
y(t) = Ce
At
x(0) = Ce
At
e
At
f
x(t
f
)
x(t
f
) = x
f
and x(t
f
) = x
f
+e
At
f
x
a
correspond to the
same output because
Ce
At
e
At
f
_
x
f
+e
At
f
x
a
_
= Ce
At
e
At
f
x
f
+Ce
At
e
At
f
e
At
f
x
a
= Ce
At
e
At
f
x
f
+Ce
At
x
a
= Ce
At
e
At
f
x
f
p. 7/25
Lemma: The observability Gramian W
o
(0, t
f
) is positive
denite if and only if rank O = n, where
O =
_

_
C
CA
.
.
.
CA
n1
_

_
is the observability matrix (O is np n when A is n n
and C is p n)
p. 8/25
Proof:
W
o
(0, t
f
) is singular if and only if
there is x
a
= 0 such that Ce
At
x
a
0, t [0, t
f
]
C

k=0
t
k
k!
A
k
x
a
0, t [0, t
f
]
CA
k
x
a
= 0, k 0
CA
k
x
a
= 0, k = 0, 1, . . . , n 1
p. 9/25

_
C
CA
.
.
.
CA
n1
_

_
x
a
= 0
rank
_

_
C
CA
.
.
.
CA
n1
_

_
< n
Theorem: The pair (A, C) is observable (reconstructible)
if and only if rank O = n
p. 10/25
Duality
(A, B) controllable rank [B, AB, . . . , A
n1
B] = n
rank
_

_
B
T
B
T
A
T
.
.
.
B
T
(A
T
)
n1
_

_
= n

_
A
T
, B
T
_
observable
Similarly, observability of (A, C) is equivalent to
controllability of
_
A
T
, C
T
_
p. 11/25
Controllability and observability are invariant to state
transformations
{A, B, C, D} x = Pz {P
1
AP, P
1
B, CP, D}
rank
_
P
1
B, P
1
APP
1
B, . . . ,
_
P
1
AP
_
n1
P
1
B
_
= rank
_
P
1
B, P
1
AB, . . . , P
1
A
n1
B

= rank
_
P
1
[B, AB, . . . , A
n1
B]
_
= rank [B, AB, . . . , A
n1
B]
Matlab:
O = obsv(A, C); rank(O)
p. 12/25
Mathematical Preliminaries: Consider the equation
y = Mx
where M is an mn matrix. The equation has a solution
if and only if y can be expressed as a linear combination of
the columns of M
rank M = rank [M, y]
The range space of M, denoted by R(M), is the set of all
linear combinations of the columns of M. It is a subspace
of R
m
of dimension equal to rank M. The equation
y = Mx has a solution if and only if y R(M). The
equation y = Mx has a solution for every y R
m
if and
only if
rank(M) = m R(M) = R
m
p. 13/25
Given that y = Mx has a solution. Is the solution unique?
Suppose there are two solutions x
a
and x
b
such that
y = Mx
a
, y = Mx
b
M(x
a
x
b
) = 0
The null space of M, denoted by N(M), is the set of all
vectors x R
n
such that Mx = 0. It is a subspace of R
n
of dimension (n rank M)
The solution of y = Mx is unique if and only if there is no
vector x = 0 such that Mx = 0
Equivalently, rank M = n
p. 14/25
Discrete-Time Systems
The denitions of controllability (reachability) and
observability (constructibility) are the same as in the
continuous-time case
Let us study steering the state of the system
x(k + 1) = Ax(k) +Bu(k)
Find u(k) to steer the state of the system from x
0
to x
f
in
nite time
x(k) = A
k
x(0) +
k1

j=0
A
kj1
Bu(j)
p. 15/25
x(k) A
k
x
0
= [B, AB, . . . , A
k1
B]
_

_
u(k 1)
u(k 2)
.
.
.
u(0)
_

_
Can we choose u(0), . . . , u(k 1) such that x(k) = x
f
for
some k?
The answer is Yes if for some k,
x
f
A
k
x
0
R
_
[B, AB, . . . , A
k1
B]
_
p. 16/25
Due to Cayley-Hamilton theorem
R
_
[B, AB, . . . , A
k1
B]
_
= R
_
[B, AB, . . . , A
n1
B]
_
for all k n
Thus, we take k = n and rewrite the equation as
x
f
A
n1
x
0
= C
_

_
u(n 1)
u(n 2)
.
.
.
u(0)
_

_
def
= C U
p. 17/25
Reachability: x
0
= 0 and x
f
is any vector in R
n
x
f
= C U
There is a solution for every x
f
if and only if
R(C) = R
n
rank C = n
Controllability: x
f
= 0 and x
0
is any vector in R
n
A
n
x
0
= C U
There is a solution if and only if A
n
x
0
R(C)
rank C = n is a sufcient condition for the existence of a
solution. Is it necessary?
p. 18/25
If A is nonsingular, then the vector A
n
x
0
can be any vector
in R
n
. In this case, the condition rank C = n is necessary
If A is singular, the equation
A
n
x
0
= C U
may be solvable even if rank C < n
p. 19/25
Example:
A =
_
1 1
0 0
_
, B =
_
1
0
_
C = [B, AB] =
_
1 1
0 0
_
rank C = 1
p. 20/25

_
+
0
_
=
_
1 1
0 0
_ _
u(1)
u(0)
_
( +) = u(0) +u(1)
There are innitely many solutions. Two examples are
u(0) = , u(1) = 0
u(0) = , u(1) =
p. 21/25
Summary:
rank C = n is a necessary and sufcient condition for
reachability of x(k + 1) = Ax(k) +Bu(k)
rank C = n is a sufcient condition for controllability of
x(k + 1) = Ax(k) +Bu(k)
If A is nonsingular, then rank C = n is a necessary and
sufcient condition for controllability of
x(k + 1) = Ax(k) +Bu(k)
Remark: Strictly speaking, we should say that the pair
(A, B) is reachable if and only rank C = n. However, by
abuse of notation, we will continue to call the pair (A, B)
controllable if and only if rank C = n. This will keep the
discussion of controllability the same for both
continuous-time and discrete-time systems
p. 22/25
Observability: Consider the system
x(k + 1) = Ax(k), y(k) = Cx(k)
and study the question of uniquely determining x(0) from
the output y(k)
_

_
y(0)
y(1)
.
.
.
y(k 1)
_

_
=
_

_
Cx(0)
CAx(0)
.
.
.
CA
k1
x(0)
_

_
=
_

_
C
CA
.
.
.
CA
k1
_

_
x(0)
p. 23/25
The equation will have a unique solution x(0) if and only if
rank
_

_
C
CA
.
.
.
CA
k1
_

_
= n
By Cayley-Hamilton theorem
rank
_

_
C
CA
.
.
.
CA
k1
_

_
= rank
_

_
C
CA
.
.
.
CA
n1
_

_
, k n
p. 24/25
Take k = n and write the equation as
Y = O x(0)
where
Y =
_

_
y(0)
y(1)
.
.
.
y(n 1)
_

_
The equation has a unique solution if and only if
rank O = n
p. 25/25

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