SIAM Journal on Control and Optimization, Vol.45, No.6, 2011-2034, 2007
Simplified formula for a controller in optimal control problems
We derive a simplified frequency-domain formula for a controller transfer matrix for LQ optimal output feedback control of stochastic systems. For this purpose we apply a generalization of the Wiener-Hopf method. The generalization is characterized by the following three properties: (1) We generalize the usual operator {center dot}(+) on rational matrices in the traditional Wiener-Hopf approach. The same algorithms as for computation of {center dot}(+) are applicable to compute the new operator. (2) The matrices of the Youla-Kucera parametrization do not appear in the optimal controller transfer matrix C ( they appear only in its derivation), even if the plant is unstable. (3) Unlike the traditional Wiener-Hopf method [D. C. Youla, H. A. Jabr, and J. J. Bongiorno, Jr., IEEE Trans. Automat. Control, AC-21 (1976), pp. 319-338], where the spectral factors in the two spectral factorizations are both stable and minimum phase, our spectral factors need to be minimum phase only. Finally, three state-space applications of the formula are presented.
Keywords:parametrization of stabilizing controllers;Laplace transformation;Wiener-Hopf approach;partial fraction expansion;spectral factorization