LMIs in Control/pages/Mixed H2 HInf Optimal Observer

The goal of mixed $H_{2}-H\infty$-optimal state estimation is to design an observer that minimizes the $H_{2}$ norm of the closed-loop transfer matrix from $w_{1}$ to $z_{1}$, while ensuring that the $H\infty$ norm of the closed-loop transfer matrix from $w_{2}$ to $z_{2}$ is below a specified bound.

The System

Consider the continuous-time generalized plant $P$ with state-space realization

${\begin{aligned}{\dot {x}}&=Ax+B_{1,1}w_{1}+B_{1,2}w_{2},\\y&=C_{2}x+D_{21,1}w_{1}+D_{21,1}w_{2}\\\end{aligned}}$

where it is assumed that $(A,C_{2})$ is detectable.

The Data

The matrices needed as input are $A,B_{1},B_{2},C_{2},D_{21},D_{11}$.

The Optimization Problem

The observer gain L is to be designed to minimize the $H_{2}$ norm of the closed-loop transfer matrix $T_{11}(s)$ from the exogenous input $w_{1}$ to the performance output $z_{1}$ while ensuring the $H\infty$ norm of the closed-loop transfer matrix $T_{22}(s)$ from the exogenous input $w_{2}$ to the performance output $z_{2}$ is less than $\gamma _{d}$, where

${\begin{aligned}T_{11}(s)=C_{1,1}(s1-(A-LC_{2}))^{-1}(B_{1,1}-LD_{21,1})\\T_{22}(s)=C_{1,2}(s1-(A-LC_{2}))^{-1}(B_{1,2}-LD_{21,2})+D_{11,22}\end{aligned}}$

is minimized. The form of the observer would be:

${\begin{aligned}{\dot {\hat {x}}}=A{\hat {x}}+L(y-{\hat {y}}),\\{\hat {y}}=C_{2}{\hat {x}}\\\end{aligned}}$

is to be designed, where $L\in \mathbb {R} ^{n_{x}\times n_{y}}$ is the observer gain.

The LMI: $H_{\infty }$ Optimal Observer

The mixed $H_{2}-H\infty$-optimal observer gain is synthesized by solving for $P\in \mathbb {S} ^{n_{x}},G\in \mathbb {R} ^{n_{x}\times n_{y}}$, and $\nu \in \mathbb {R} _{>0}$ that minimize $\zeta (\nu )=\nu$ subject to $P>0,Z>0$,

${\begin{aligned}{\begin{bmatrix}PA+A^{T}P-GC_{2}-{C_{2}}^{T}G^{T}&&PB_{1}-GD_{21}\\\star &&-1\end{bmatrix}}<0\\{\begin{bmatrix}PA+A^{T}P-GC_{2}-{C_{2}}^{T}G^{T}&&PB_{1}-GD_{21}&&C_{1}\\\star &&-\gamma 1&&{D_{11}}^{T}\\\star &&\star &&-\gamma 1\end{bmatrix}}<0\\{\begin{bmatrix}P&&C{_{1,1}}^{T}\\\star &&Z\end{bmatrix}}>0\\trZ<\nu \end{aligned}}$

Conclusion:

The mixed $H_{2}-H_{\infty }$ -optimal observer gain is recovered by $L=P^{-1}G$ , the $H_{2}$ norm of $T_{11}(s)$ is less than $\mu ={\sqrt {\nu }}$ and the $H_{\infty }$ norm of T(s) is less than $\gamma _{d}$.

Implementation

Link to the MATLAB code designing $H_{2}-H\infty$- Optimal Observer

Code $H_{2}-H\infty$ Optimal Observer

External Links

• LMI Methods in Optimal and Robust Control - A course on LMIs in Control by Matthew Peet.
• LMI Properties and Applications in Systems, Stability, and Control Theory - A List of LMIs by Ryan Caverly and James Forbes.
• LMIs in Systems and Control Theory - A downloadable book on LMIs by Stephen Boyd.

Related LMIs

• $H_{2}$ Optimal observer
• $H\infty$ Optimal observer