H2 and H Optimal Control

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Prepared by Ben M. Chen

Introduction to the Problems

Consider a stabilizable and detectable linear time-invariant system with a proper controller
c

w
u

c
where

x& = A x + B u + E w

: y = C1 x + 0 u + D1 w
z = C x + D u + 0 w

2
2

v& = Ac v + Bc y
c :
u = Cc v + Dc y

x n state variable
u m control input

p
l
y
&
w

disturbanc e
measuremen
t

k
z q controlled output
v

controller state

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The problems of H2 and H optimal control are to design a proper control law c such that
when it is applied to the given plant with disturbance, i.e., , we have
The resulting closed loop system is internally stable (this is necessary for any control
system design).
The resulting closed-loop transfer function from the disturbance w to the controlled output z,
say, Tzw (s) , is as small as possible, i.e., the effect of the disturbance on the controlled
output is minimized.
H2 optimal control: the H2-norm of Tzw (s) is minimized.
H optimal control: the H-norm of Tzw (s) is minimized.
Note: A transfer function is a function of frequencies ranging from 0 to . It is hard to tell if
it is large or small. The common practice is to measure its norms instead. H2-norm and Hnorm are two commonly used norms in measuring the sizes of a transfer function.

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The Closed Loop Transfer Function from Disturbance to Controlled Output

Recall that
x& = A x + B u + E w

: y = C1 x + 0 u + D1 w
z = C x + D u + 0 w
2
2

x& = A x + B (Cc v + Dc y ) + E w

y = C1 x
+ D1 w
z = C x + D (C v + D y )
c
c
2
2

x& = Ax + BC c v + BDc y + Ew

z = C2 x + D2Cc v + D2 Dc y
x&
A + BD c C 1

=
&

B cC 1
v

z = [C 1 + D 2 D cC 1

and

v& = Ac v + Bc y
c :
u = Cc v + Dc y
v& = Ac v + Bc (C1 x + D1w)
= Ac v + BcC1 x + Bc D1w

x& = Ax + BC c v + BDc (C1 x + D1w) + Ew

z = C2 x + D2Cc v + D2 Dc (C1 x + D1w)

x& = ( A + BDcC1 ) x + BC c v + ( E + BDc D1 ) w

z = (C2 + D2 DcC1 ) x + D2Cc v + D2 Dc D1w

E + BD c D 1
x
+
w = Acl ~
x + B cl w

B
D
c
1

v
x
D 2 C c ] +
D 2 D cD1
w = C cl ~
x + D cl w
v
86

BC c
Ac

Prepared by Ben M. Chen

Thus, the closed-loop transfer function from w to z is given by

T zw ( s ) = C cl (sI Acl ) B cl + D cl
1

The resulting closed-loop system is internally stable if and only if the eigenvalues of
A + BD c C 1
A cl =
BcC 1

BC c
A c

are all in open left half complex plane.

Remark: For the state feedback case, C1 = I and D1 = 0, i.e., all the states of the given
system can be measured, c can then be reduced to u = F x and the corresponding
closed-loop transfer function is reduced to

Tzw ( s) = ( C2 + D2 F

) (sI A BF )

The closed-loop stability implies and is implied that A + B F has stable eigenvalues.
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H2-norm and H-norm of a Transfer Function

Definition: (H2-norm) Given a stable and proper transfer function Tzw(s), its H2-norm is
defined as
1

=
trace T zw ( j ) T zw ( j ) H d

2
+

T zw

Graphically,

1
2

|Tzw(j)|
H2-norm

Note: The H2-norm is the total energy corresponding to the impulse response of Tzw(s).
Thus, minimization of the H2-norm of Tzw(s) is equivalent to the minimization of the total
energy from the disturbance w to the controlled output z.
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Definition: (H-norm) Given a stable and proper transfer function Tzw(s), its H-norm is
defined as
T zw

= sup max [T zw ( j ) ]
0 <

where max [Tzw(j)] denotes the maximum singular value of Tzw(j). For a single-input-singleoutput transfer function Tzw(s), it is equivalent to the magnitude of Tzw(j). Graphically,
|Tzw(j)|
H-norm

Note: The H-norm is the worst case gain in Tzw(s). Thus, minimization of the H-norm of
Tzw(s) is equivalent to the minimization of the worst case (gain) situation on the effect from
the disturbance w to the controlled output z.
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Infima and Optimal Controllers

Definition: (The infimum of H2 optimization) The infimum of the H2 norm of the closed-loop
transfer matrix Tzw(s) over all stabilizing proper controllers is denoted by 2*, that is

2* : = inf { Tzw

c internally stabilizes

}.

Definition: (The H2 optimal controller) A proper controller c is said to be an H2 optimal

controller if it internally stabilizes and Tzw

= 2* .

Definition: (The infimum of H optimization) The infimum of the H-norm of the closed-loop
transfer matrix Tzw(s) over all stabilizing proper controllers is denoted by *, that is

* : = inf { Tzw

c internally stabilizes

}.

Definition: (The H -suboptimal controller) A proper controller c is said to be an H suboptimal controller if it internally stabilizes and Tzw

< (> *.)

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Critical Assumptions - Regular Case vs Singular Case

Most results in H2 and H optimal control deal with a so-called a regular problem or regular
case because it is simple. An H2 or H optimal problem is said to be regular if the following
conditions are satisfied,
1. D2 is of maximal column rank, i.e., D2 is a tall and full rank matrix
2. The subsystem ( A,B,C2,D2 ) has no invariant zeros on the imaginary axis;
3. D1 is of maximal row rank, i.e., D1 is a fat and full rank matrix
4. The subsystem ( A,E,C1,D1 ) has no invariant zeros on the imaginary axis;
An H2 or H optimal problem is said to be singular if it is not regular, i.e., at least one of the
above 4 conditions is satisfied.
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Solutions to the State Feedback Problems - the Regular Case

The state feedback H2 and H control problems are referred to the problems in which all the
states of the given plant are available for feedback. That is the given system is
x& = A x + B u + E w

: y = x
z = C x + D u
2
2

where ( A, B ) is stabilizable, D2 is of maximal column rank and ( A, B, C2, D2 ) has no

invariant zeros on the imaginary axis.
In the state feedback case, we are looking for a static control law

u=F x
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Solution to the Regular H2 State Feedback Problem

Solve the following algebraic Riccati equation (H2-ARE)
AT P + PA + C 2T C 2 (PB + C 2T D2 ) (D2T D2 )

(D C
T
2

+ BTP ) = 0

for a unique positive semi-definite solution P 0. The H2 optimal state feedback law is
then given by

u = F x = ( D 2T D 2 ) 1 ( D 2T C 2 + B T P ) x

It can be showed that the resulting closed-loop system Tzw(s) has the following property:

Tzw
It can also be showed that

*
2

= [ trace ( E

2
T

= 2* .

PE ) ]

. Note that the trace of a matrix is

defined as the sum of all its diagonal elements.

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1
0
5 2
x& =
x
u
+
+
2 w

3
4

: y = x

z = [ 1 1 ] x + 1 u

C2

D2

Solving the following H2-ARE using MATLAB,

The closed-loop magnitude response from

the disturbance to the controlled output:
10
8
Magnitude

Example: Consider a system characterized by

we obtain a positive definite solution

and

144 40
P=

40 16
F = [ 41 17 ]

0
-2
10

10
10
Frequency (rad/sec)

10

The optimal performance or infimum is

given by
2* = 19.1833
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Prepared by Ben M. Chen

Classical Linear Quadratic Regulation (LQR) Problem is a Special Case of H2 Control

It can be shown that the well-known LQR problem can be re-formulated as an H2 optimal
control problem. Consider a linear system,

x& = A x + B u ,

x (0) = X 0

The LQR problem is to find a control law u = F x such that the following index is minimized:

J =

(x
0

Q x + u T Ru ) dt ,

where Q 0 is a positive semi-definite matrix and R > 0 is a positive definite matrix. The
problem is equivalent to finding a static state feedback H2 optimal control law u = F x for
x& = A x + B u + X 0 w
y = x
R 12
0
z = 12 x +
u
Q
0

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Prepared by Ben M. Chen

Solution to the Regular H State Feedback Problem

Given > *, solve the following algebraic Riccati equation (H-ARE)
AT P + PA + C2TC2 + PEET P / 2 ( PB + C2T D2 ) (D2T D2 ) ( D2TC2 + BT P) = 0
1

for a unique positive semi-definite solution P 0. The H -suboptimal state feedback law
is then given by

u = F x = ( D 2T D 2 ) 1 ( D 2T C 2 + B T P ) x

The resulting closed-loop system Tzw(s) has the following property:

Tzw

< .

Remark: The computation of the best achievable H attenuation level, i.e., *, is in general
quite complicated. For certain cases, * can be computed exactly. There are cases in which
* can only be obtained using some iterative algorithms. One method is to keep solving the
H-ARE for different values of until it hits * for which and any < *, the H-ARE does
not have a solution. Please see the reference textbook by Chen (2000) for details.

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Prepared by Ben M. Chen

1
0
5 2
x& =
x
u
+
+
2 w

3
4

: y = x

z = [ 1 1 ] x + 1 u

C2

D2

It can be showed that the best achievable H

The closed-loop magnitude response from

the disturbance to the controlled output:
6

4
Magnitude

Example: Again, consider the following system

performance for this system is * = 5 . Solving

the following H-ARE using MATLAB with
=5.001, we obtain a positive definite solution

and

330111.5 110028.8
P=

110028.8 26679.1
F = [ 110029 .8 36680 .1]

0
-2
10

10

10
10
Frequency (rad/sec)

10

Clearly, the worse case gain, occurred at

the low frequency is roughly equal to 5
(actually between 5 and 5.001)
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Solutions to the State Feedback Problems - the Singular Case

Consider the following system again,
x& = A x + B u + E w

: y = x
z = C x + D u
2
2

where ( A, B ) is stabilizable, D2 is not necessarily of maximal rank and ( A, B, C2, D2 )

might have invariant zeros on the imaginary axis.
Solution to this kind of problems can be done using the following trick (or so-called a
perturbation approach): Define a new controlled output

D2
z C2
~
z = x = I x + 0 u


I
u 0
Clearly,

z~
z if = 0.

small perturbations

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Now let us consider the perturbed system

~

x& = A x + B u + E w

x
y =
~
~z = C~ x + D
2
2u

C2
~
~
where C2 : = I and D2 : =

0

D2
0

I

~ ~

Obviously, D2 is of maximal column rank and ( A, B, C2 , D2 ) is free of invariant zeros for any
> 0. Thus, ~ satisfies the conditions of the regular state feedback case, and hence we
can apply the procedures for regular cases to ~ find the H2 and H control laws.
Example:

5 2
0
1
x& =
x
+
u
+

1
2 w
3
4

y=x
z = [1 1 ] x + 0u

~
:

5
x& =
3
y=
1

z=
0

2
0
1
x
+
u
+
1
2 w
4


x
1
0
0
0
x+ u

0

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Prepared by Ben M. Chen

Solution to the General H2 State Feedback Problem

Given a small > 0, Solve the following algebraic Riccati equation (H2-ARE)

~ ~
~ ~
~ ~
~
AT P + P A + C 2T C 2 P B + C 2T D2

) (D~ D~ ) (D~ C~
T
2

T
2

~
+ BTP = 0

for a unique positive semi-definite solution P~ 0. Obviously, P~ is a function of . The H2

optimal state feedback law is then given by

~
~ ~
~ ~
~
u = F x = ( D 2T D 2 ) 1 D 2T C 2 + B T P x

It can be showed that the resulting closed-loop system Tzw(s) has the following property:

Tzw

2*

as 0

It can also be showed that

[ trace ( E

~
PE)

2*

as 0.
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Prepared by Ben M. Chen

1
0
5 2
x& =
x
u
+
+
2 w

3
4

: y = x

z = [ 1 1 ] x + 0 u

Solving the following H2-ARE using MATLAB

with = 1, we obtain
~ 186.1968 46.2778
P=
, F = [ 46.2778 18.2517]
46.2778
18.2517

= 0.1
~ 21.2472 4.9311
P=
,
4.9311 1.8975

F = [ 49.3111 18.9748]

= 0.0001
~ 1.6701 0.0424
P=
,
0.0424
0.0112

The closed-loop magnitude response from

the disturbance to the controlled output:
2.5

=1

2
Magnitude

Example: Consider a system characterized by

1.5

= 0.1

0.5
0
-2
10

= 0.0001

10
10
Frequency (rad/sec)

10

The optimal performance or infimum is

given by

F = [ 423.742 112.222]

2* = 1.225
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Prepared by Ben M. Chen

Solution to the General H State Feedback Problem

C2
~
~
C2 : = I and D2 : =

0

Step 1: Given a > *, choose = 1.

Step 2: Define the corresponding C~2 and D~2

D2
0

I

Step 3: Solve the following algebraic Riccati equation (H-ARE)

~ ~ ~
~ ~
~ ~
~
~
~ ~
AT P + PA + C2TC2 + PEE T P / 2 ( PB + C2T D2 ) D2T D2

~ ~
~
( D2TC2 + B T P ) = 0

~
for P.

~
Step 4: If P
> 0 , go to Step 5. Otherwise, reduce the value of and go to Step 2.

Step 5: Compute the required state feedback control law

~
~ ~
~ ~
~
u = F x = ( D 2T D 2 ) 1 D 2T C 2 + B T P x

It can be showed that the resulting closed-loop system Tzw(s) has:

Tzw

< .
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Example: Again, consider the following system

1
0
5 2
x& =
x
u
+
+
2 w

3
4

: y = x

z = [ 1 1 ] x + 0 u

It can be showed that the best achievable H

The closed-loop magnitude response from

the disturbance to the controlled output:
0.8

0.6

0.4

performance for this system is * = 0.5 .

Solving the following H-ARE using MATLAB
with = 0.6 and = 0.001, we obtain a
positive definite solution

and

15.1677 0.9874
P=

0.9874 0.0981
F = [ 987.363 98.1161]

0.2

0
-2
10

10

10

10

Clearly, the worse case gain, occurred at

the low frequency is slightly less than 0.6.
The design specification is achieved.
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Solutions to Output Feedback Problems - the Regular Case

Recall the system with measurement feedback, i.e.,
x& = A x + B u + E w

: y = C1 x
+ D1 w
z = C x + D u
2
2

where (A, B) is stabilizable and (A, C1) is detectable. Also, it satisfies the following regularity
assumptions:
1. D2 is of maximal column rank, i.e., D2 is a tall and full rank matrix
2. The subsystem ( A,B,C2,D2 ) has no invariant zeros on the imaginary axis;
3. D1 is of maximal row rank, i.e., D1 is a fat and full rank matrix
4. The subsystem ( A,E,C1,D1 ) has no invariant zeros on the imaginary axis;
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Solution to the Regular H2 Output Feedback Problem

Solve the following algebraic Riccati equation (H2-ARE)
AT P + PA + C 2T C 2 (PB + C 2T D2 ) (D2T D2 )

(D C
T
2

+ BTP ) = 0

for a unique positive semi-definite solution P 0, and the following ARE

QA T + AQ + EE T (QC 1T + ED 1T )(D1 D1T )

(D E
1

+ C1Q ) = 0

for a unique positive semi-definite solution Q 0. The H2 optimal output feedback law is
then given by

v& = ( A + BF + KC 1 ) v K y
c :
F v
u =

where F = ( D 2T D 2 ) 1 ( D 2T C 2 + B T P

and K = (QC 1T + ED 1T )(D1 D1T )

Furthermore,
2* = { trace ( E T PE ) + trace [ ( A T P + PA + C 2T C 2 ) Q

]}

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1
0
5 2
x& =
x
u
+
+
2 w

3
4

+ 1 w
: y =[0 1 ]x

z = [ 1 1 ] x + 1 u

Solving the following H2-AREs using MATLAB,

we obtain
144 40
P=

40 16

49.7778 23.3333
Q=

23.3333 14.0000

The closed-loop magnitude response from

the disturbance to the controlled output:
200

150
Magnitude

Example: Consider a system characterized by

100

50

F = [ 41 17]

24.3333
K =

16.0000

0
-2
10

10
10
Frequency (rad/sec)

10

and an output feedback control law,

The optimal performance or infimum is

v& =
c :
u =

given by

5 22.3333
24.3333
+
v
38

16 y

29

[ 41 17 ] v

2* = 347.3
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Solution to the Regular H Output Feedback Problem

Given a > *, solve the following algebraic Riccati equation (H-ARE)

AT P + PA + C2TC2 + PEET P / 2 ( PB + C2T D2 ) (D2T D2 ) ( D2TC2 + BT P) = 0

1

for a unique positive semi-definite solution P 0, and the following ARE

QA T + AQ + EE T + QC 2T C 2Q / 2 (QC 1T + ED 1T )(D1 D1T )

(D E
1

+ C1Q ) = 0

for a unique positive semi-definite solution Q 0. In fact, these P and Q satisfy the so-called
coupling condition: ( PQ ) < 2. The H -suboptimal output feedback law is then given by
v& = Ac v + B c y
c :
u = Cc v

where Ac = A + 2 EE T P + BF + (I 2QP ) K (C1 + 2 D1E T P )

1

Bc = (I 2QP ) K ,
1

and where F = ( D2T D 2 ) 1 ( D 2T C 2 + B T P ) ,

Cc = F .

K = ( QC 1T + ED 1T )(D1 D1T ) .
1

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1
0
5 2
x& =
x
u
+
+
2 w

3
4

+ 1 w
: y =[0 1 ]x

z = [ 1 1 ] x + 1 u

It can be showed that the best achievable H

performance for this system is * = 96.32864 .
Solving the following H-AREs using MATLAB

v& =
c :
u =

the disturbance to the controlled output:

100
80
60

40

20
0
-2
10

with = 97, we obtain

144.353 40.1168
P=

40.1168 16.0392

The closed-loop magnitude response from

Magnitude

Example: Consider a system characterized by

49.8205 23.3556
Q=

23.3556 14.0118

38.814 1848.66
1836.58
v
+
59.414 914.112
894.227 y

[ 41.116 17.039 ] v

10
10
Frequency (rad/sec)

10

Clearly, the worse case gain, occurred at

the low frequency is slightly less than 97.
The design specification is achieved.
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Solutions to the Output Feedback Problems - the Singular Case

For general systems for which the regularity conditions are not satisfied, it can be solved
again using the so-called perturbation approach. We define a new controlled output:
D2
z C2
~z = x = I x + 0 u


I
u 0

and new matrices associated with the disturbance inputs:

~
~
E =[ E I 0]
and
D1 = [ D1 0

I ].

The H2 and H control problems for singular output feedback case can be obtained by
solving the following perturbed regular system with sufficiently small :

~~
&
x
=
A
x
+
B
u
+
E
w

~
~ ~
: y = C1 x
+ D1 w
~
~
~
=
+
z
C
x
D
2
2 u

Remark: Perturbation approach might

have serious numerical problems!
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