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Discrete-Time Mixed H2-H∞-Optimal Full-State Feedback Control

A discrete time system operates on a discrete time signal input and produces a discrete time signal output. They are used in digital signal processing, such as digital filters for images or sound. The class of discrete time systems that are both linear and time invariant, known as discrete time LTI systems.

A full-state feedback controller $$K = K_d \in {R^{n_u*n_x}}$$ (i.e., $$uk = K_dx_k$$) is to be designed to minimize the H2 norm of the closed loop transfer matrix $$T11(z)$$ from the exogenous input $$w_{1,k}$$ to the performance output $$z_{1,k}$$ while ensuring the H∞ norm of the closed-loop transfer matrix $$T22(z)$$ from the exogenous input $$w_{2,k}$$ to the performance output $$z_{2,k}$$ is less than $$\gamma_{d}$$.

The System
Discrete-Time LTI System with state space realization

$$ \begin{align}

x_{k+1}&=A_{d}x_{k}+B_{d1,1}w_{1,k}+B_{d1,2}w_{2,k}+B_{d2}u_{k},\\

\begin{bmatrix} Z_{1,k}\\ Z_{2,k}\end{bmatrix} &= \begin{bmatrix} C_{d1,1}\\ C_{d1,2}\end{bmatrix}x_{k}+ \begin{bmatrix} 0 & D_{d11,12}\\ D_{d11,21} & D_{d11,22}\end{bmatrix} \begin{bmatrix} w_{1,k}\\ w_{2,k}\end{bmatrix}+ \begin{bmatrix} D_{d12,1}\\ D_{d12,2}\end{bmatrix}u_{k}\\

y_k &= x_k\\ \end{align} $$

The Data
The matrices: System $$ (A_d,B_{d1,1},B_{d1,2},B_{d2},C_{d1,1},C_{d1,2},D_{d11,12},D_{d11,21},D_{d11,22},,D_{d12,1},D_{d12,2}), P, F_d $$.

The Optimization Problem
The following feasibility problem should be optimized:

Minimize the H2 norm of the closed loop transfer matrix $$T11(z)$$, while ensuring the H∞ norm of the closed-loop transfer matrix $$T22(z)$$ is less than $$\gamma_{d}$$, while obeying the LMI constraints.

The LMI:
Discrete-Time Mixed H2-H∞-Optimal Full-State Feedback Controller is synthesized by solving for $$P \in S^{n_{x}}, Z \in S^{n_{w}}, F_{d} \in R^{n_{u} * n_{x}}$$, and $$\mu \in R_{>0}$$ that minimize $$\mu$$ subject to $$P>0, Z>0$$

The LMI formulation

H∞ norm < $$\gamma_{d}$$

H2 norm < $$\mu$$

$$ \begin{align}

\begin{bmatrix}P & A_{d}P-B_{d2}F_{d} & B_{d1,1}\\
 * & P & 0\\
 * & * & 1\end{bmatrix}&>0\\

\begin{bmatrix}P & A_{d}P-B_{d2}F_{d} & B_{d1,2} & 0\\
 * & P & 0 & PC_{d1,2}^T-F_{d}^TD_{d12,2}^T\\
 * & * & \gamma_{d} I & D_{d11,22}^T\\
 * & * & * & \gamma_{d} I\end{bmatrix}&>0\\

\begin{bmatrix} Z & C_{d1,1}P-D_{d12,1}\\
 * & P\end{bmatrix}&>0\\

trace(Z) &< \mu^2

\end{align}$$

Conclusion:
The H2-optimal full-state feedback controller gain is recovered by $$K_{d}=F_{d}P^{-1}$$

Implementation
A link to CodeOcean or other online implementation of the LMIMATLAB Code

Related LMIs
- Continuous Time Mixed H2-H∞ Optimal Full State Feedback Control