LMIs in Control/pages/HInf Optimal Filter

Optimal filtering is a means of adaptive extraction of a weak desired signal in the presence of noise and interfering signals. The goal of optimal filtering is to design a filter that acts on the output $z$ of the generalized plant and optimizes the transfer matrix from w to the filtered output.

The System:

Consider the continuous-time generalized LTI plant with minimal states-space realization

${\begin{aligned}{\dot {x}}&=Ax+B_{1}w\\z&=C_{1}x+D_{11}w,\\y&=C_{2}x+D_{21}w,\end{aligned}}$

where it is assumed that $A$ is Hurwitz.

The Data

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

The Optimization Problem:

An $H\infty$-optimal filter is designed to minimize the $H_{\infty }$ norm of ${\tilde {P}}(s)$ in following equation.

${\begin{aligned}{\tilde {P}}(s)={\tilde {C}}_{1}(sI-{\tilde {A}})^{-}1{\tilde {B}}_{1}+{\tilde {D}}_{11},\\{\text{where}}\\{\tilde {A}}={\begin{bmatrix}A&&0\\B_{f}C_{2}&&A_{f}\end{bmatrix}}&<0\\{\tilde {B}}_{1}={\begin{bmatrix}B_{1}\\B_{f}D_{21}\end{bmatrix}}&<0\\{\tilde {C}}_{1}={\begin{bmatrix}C_{1}-D_{f}C_{2}-C_{f}\end{bmatrix}}&<0\\{\tilde {D}}_{11}=D_{11}-D_{f}D_{21}\\\end{aligned}}$

The LMI: $H_{\infty }$- Optimal filter

Solve for $A_{n}\in \mathbb {R} ^{n_{x}\times n_{x}},B_{n}\in \mathbb {R} ^{n_{x}\times n_{y}},C_{f}\in \mathbb {R} ^{n_{x}\times n_{x}}$, $X,Y\in \mathbb {S} ^{n_{x}}$ and $\nu \in \mathbb {R} _{>0}$ that minimize $\zeta (\nu )=\nu$ subject to $X>0,Y>0$.

${\begin{aligned}{\begin{bmatrix}YA+A^{T}Y+B_{n}C_{2}&&A_{n}+C_{2}^{T}B_{n}^{T}+A^{T}X&&YB_{1}+B_{n}D_{21}&&{C_{1}}^{T}-{C_{2}}^{T}{D_{f}}^{T}\\\star &&A_{n}+A_{n}^{T}&&XB_{1}+B_{n}D_{21}&&-{C_{f}}^{T}\\\star &&\star &&-\gamma I&&{D_{1}1}^{T}-{D_{2}1}^{T}{D_{f}}^{T}\\\star &&\star &&\star &&-\gamma I\end{bmatrix}}&<0\\\\Y-X>0\\\end{aligned}}$

Conclusion:

The filter is recovered by $A_{f}=X^{-1}A_{n}$ and $B_{f}=X^{-1}B_{n}$.

Implementation

• https://github.com/Ricky-10/coding107/blob/master/Hinfinity%20Optimal%20filter- $H\infty$- Optimal Filter

External links

• [1]- Optimal Filtering
• LMI Properties and Applications in Systems, Stability, and Control Theory - A List of LMIs by Ryan Caverly and James Forbes.