658 IEEE TRANSACTIONS ON AUTOMATIC CONTROL. VOL. AC-32. NO.
8, AUGUST 1987
Computational Methods for Parametric LQ
Problems-A Survey
PERTTI M. M k U L A , SENIOR MEMBER, IEEE, AND
Abstract-Iterative methods for findingthe optimal constant feedback
gains for parametric LQ problems, notably for optimal constant output
feedback problems, are surveyed. Tbe connections of several methods to
loss function expansions are discussed with important implications to the
understanding of their convergence properties. Especially, the descent
Anderson-Moore method, Levine-Athans like methods, and the Newton
method are considered. Convergence results are also included. The
initialization problem and the output feedback stabilization problem are
also discussed. Furthermore, it is shown that the concepts and methods
surveyed in this paper are useful in solving many realistic generalized
parametric LQ problems as well, notably so-called robust parametric LQ
problems.
I. INTRODUCTION
N this paper computational methods for one of the classic
I control problems in linear quadratic control theory are
surveyed. The term parametric LQ (PLQ) control is used here to
include such important control topics as optimal constant output
feedback (see, e.g., [40], [4], [51], and [57]), optimal low-order
dynamical and observer feedback (see, e.g., [38]. [77], [65], and
[%I), and optimal decentralized control [26], [27], [72].
Much of the recent interest in PLQ control has been motivated
by applications of the theory to advanced industrial process
control problems [75], [31], [49], to flight control problems [ 121.
[23], [25], and byits potential ‘In optimal decentralized control
[63], [SI and in adaptive control [30], [45].
This interest in applying PLQ control to complex practical
control problems revealed several deficiencies in the numerical
algorithms then available to solve PLQ problems. The Levine-
Athans method [40] was considered to be computationally
expensive and its convergence properties were not well-under-
stood in the 1970’s [19], [68]. The Anderson-Moore method [4]
was known not to converge always [66]. This made the use of
general-purpose function minimization methods popular in solv-
ing PLQ problems in the 1970’s [19], [35]. The lack of efficient
special-purpose numerical methods to solve PLQ problems was
madeall the more apparent by the many significant results
obtained for solving algebraic Riccati equations and linear
quadratic Gaussian control problems (see, e.g., [ 2 ] and [39]).
Recently, however, some interesting results have been obtained
for modified Anderson-Moore and Levine-Athans methods. The
descent Anderson-Moore method has been studied in several
papers [32], [43],[45],[47], and [55]. An essential feature in
these descent Anderson-Moore algorithms is the introduction of a
step-length parameter to enhance convergence to a stationary
Manuscript received May 26. 1986; revised February 23. 1987. Paper
recommended by Associate witor, A. J . h u b . This work was supported in
part by the Foundation of Abo Akademi and by the Council of Technical
Sciences, Academy of Finland.
P. M. M5kila is with the Department of Electrical Engineering. McGill
University, Montreal,P.Q.,Canada,on leaye from the Department of
Chemical Engineering. Swedish University of Abo (Ab0 Akademi). Turku,
Finland.
H. T. Toivonen is with the Department of Chemical Engineering, Swedish
University of Abo (Abo Akademi), Turku, Finland.
IEEE Log Number 8715365.
0018-9286/87/0800-0658$01.OO $2 1987 IEEE
HANNU T. TOIVONEN, MEMBER, IEEE
point of the loss function. Some convergence results have also
been obtained for Levine-Athans like methods [47] and [71]. The
work of Medanic et al. (see. e.g., [34] and [52]) on a projective
controls approach to output feedback design has given new insight
into the conditions for existence of a solution to the nonlinear
matrix equations in Levine-Athans like methods. Advanced ~ ~~ ~
projection techniques form also the basis of the eigenprojection
method in [37].
The best rate of convergence results apply to the Newton and
inexact Newton methods for solving PLQ problems [73]. These
methods have the desirable superlinear (actually quadratic)
terminating rate of convergence property. Bingulac. Cuk, and
Calovic [ 1 11 describe a Newton-Raphson method to solve the set
of nonlinear matrix equations expressing the necessary optimality
conditions for continuous-time optimal constant output feedback
problems.
In this survey paper the numerical methods are described for
linear stochastic discrete-time systems. Manyofthe references
consider the continuous-time and deterministic problems. too. For
convenience. only the case in which all the feedback gain matrix
elements are optimized is described. In some of the references it is
shown that many of the methods can be used also when only some
elements of the feedback gain matrix are optimized using an
elimination of variables technique (see. e.g.. [19]. [72], and [73]).
The output feedback stabilization problem and the initialization
problem are all discussed as well. In. e.g., [54] output feedback
stabilization is studied based on minimizing a spectral radius
functional. A sufficient condition for output feedback stabilizabil-
ity isusedin1671. Some other approaches to the initialization
problem presented in the literature (see, e.g.. [73] and [12]) are
also discussed. The perturbation [ 121 or the scaling approach is
interesting as it allows standard methods for parametric LQ
problems to be used in the initialization problem as well.
Furthermore, it is shown thatthe concepts and methods
surveyed in this paper can be exploited to solve many realistic
generalized parametric LQ problems. notably so-called robust
parametric LQ problems [411, [ 161. and [lo].
The material in the paper is organized as follows. In Section I1
the necessary background material on the infinite-horizon para-
metric LQ control problem for linear discrete-time stochastic
systems is presented. The descent Anderson-Moore method is
discussed in Section 111. and Levine-Athans like methods are
discussed in Section IV. The Sewton method is considered in
Section V . Other methods are discussed in Section VI. including
the BFGS variable metric method as a good representative of
modern general-purpose function minimization methods. The
output feedback stabilization and the initialization problems are
considered in Section VII. Numerical solution of some realistic
generalized parametric LQ problems is discussed in Section VIII.
Some topics deserving further attention are discussed in Section
IX .
11. THEPARAMETRIC
LQ COSTROL
PROBLEM
Consider finding the optimal constant feedback gains for
parametric LQ problems involving the minimization ofthe
-LA AND TOIVONEN: PARAM!3TRIC LQ PROBLEMS 659
infinite-horizon control criterion Then it can be shown that
1 N-l
AJ=2 tr (F2-FI)r[S^(Fl)F~B(F2)+BrS(F~)AP(F2)Dr]
E lim [ ~ ( f ) ~ Q ~ ( t ) + u ( t ) ~ R u (Qt Z) O
l, R20 (1)
N+m
t=O +tr (F2-Fl)TS^(Fl)(F2-Fl)P(F2). (11)
associated with the linear stochastic state-space system This result was given in [32]. It is very useful in the convergence
analysis of numerical methods to solve parametric LQ problems.
x(t+l)=Ax(t)+Bu(t)+w(t) (2) Consider now
subject to the linear controller structure constraints dJ=
F+
J(
dF) -J
F() (12)
z(t)=Dx(t)+u(t) (3a) where F, F + dF E SF. From (1 1) it is seen that
u(t)=Fz(t) (3b) aJ
dJ=tr dFr-+6J2+0(lldF11;) (13)
where x is an n-dimensional state vector, u is a pdimensional aF
input vector, z is an r-dimensional vector, and F is the feedback where aJ/aF is the gradient of the loss ( 5 ) evaluated at F E SF,
gain matrix. and given by
Note that often it is convenient to interpret z ( t ) as an output
vector. It is also easy to see that, in principle, dynamical output
feedback regulators and linear regulators in the transfer function aJ
form can be written as in (2), (3) (see, e.g., [581 and [47l). -=2[sFP+B7SAPDT] (14)
Observe also that sometimes it is convenient to introduce some aF
special structure on F, cf. optimal decentralized control (F is then where for convenience the argument F is not shown in P ( F ) and
block-diagonal). S ( F ) . Furthermore, SJ2 represents the second-order terms (in
The control problem is defined by the 8-tuple ( A , B , D,Q , R, d F ) of the loss increment dJ, (12)
R,, R,, F ) , where R , and R,are the covariance matrices for the
white noise processes w ( f )and u(f), respectively. It is assumed 6J2=trdFTgdFP+2 tr dFrBGSI(BFP+APDr) (15)
that Eu(t)w(t)r = 0.
The minimization of the control criterion is performed conven- where &SIis the first-order Taylor series expansion (in d F ) of dS
iently in the set SF of stabilizing feedback gains = S(F +dF) - S(F)
SF={F E R p X r I ~ ( A + B F D ) < l } (4) ~s~=(A+BFD)~~s~(A+BFD)+D~~F~(SFD+BTSA)

where p( -) denotes the spectral radius of a square matrix. Then a + (SFD+ B r ~r d~ ~ (16)
) .
~
necessary optimality condition is that any minimizer F* must be a
stationary point of the loss function (1). All the computational The term o(ll dF 11 :) in (13) is such that
methods to be discussed in this paper generate, either explicitly or
implicitly, a sequence of feedback gains ( F k )hopefully converg-
ing to a stationary point of the control criterion. To understand
these methods it is essential to consider how they are suggested by
various loss increment expansions. For this purpose some useful In compact notation the parametric LQ (PLQ) control problem
loss increment expansions are taken up next. is as follows:
Assume that SF is nonempty and let F E SF. Then the loss
function (1) can be written as min J ( F ) .
F E SF

J(F)=tr
(Q+DrFrRFD)P+tr
FTRFR, (5) Some of the properties of (17) as a minimization problem are now
discussed, and two technical assumptions used in the sequel are
where P is the stationary state covariance matrix for the system introduced.
(2), when controlled with the time-invariant regulator (3), i.e., Consider then the level set
P = Ex( t ) x ( t ) (6) n ( d ) = { F E S,cl J ( F ) S d ) (18)
where P is given as a positive semidefinite solution to the discrete where d 2 0. Let SF be nonempty. Often it is useful to visualize
Lyapunov equation that, under certain conditions, the loss function in (17) grows
P=(A+BFD)P(A+BFD)T+R,+BFR,FTBT. (7)
without bound as the boundary of SFis approached along any path
in the open set SF. This gives the motivation to consider (17) as, in
Introduce also the symmetric matrix S given as a positive effect, an unconstrained minimization problem. A technical
semideffite solution to the discrete Lyapunov equation consequence of this unbounded-loss-at-the-boundary assumption
is that the level set n ( J ( F ) )is compact for any F E SF. A more
S=(A+BFD)'S(A+BFD)+Q+DrFTRFD. (8) detailed discussion of this topic in terms of the system formulation
(1)-(3) is given in Appendix A.
The linear matrix equations (7), (8) define the matrix functions An assumption which appears naturally, cf. especially Section
P ( F ) and S ( F ) , respectively, for F E SF. IV on Levine-Athans like methods, is that & F ) and $ F ) > 0
Consider the loss increment (i.e., strictly positive definite) for anyF E SF. Then the
following test is insightful.
AJ=J(F2)-J(F,) (9) For F E SF,
where F,, F2 E SF. Introduce the notation Q ( F ) Q ( F ) ~ + R , > o>=P ( F ) > o (194

B ~ F ) = D P ( F ) D ~ + SR^, ,( F ) = B ~ S ( F ) B + R . (10) q(F)r"k(F)+R>O=

>S^(F)>O (1%)
660 E E E TRANSACTIONS ON AUTOMATIC
CONTROL, VOL. AC-32, NO. 8. AUGUST 1987

where O(F) = [ D U ( F D ) @(F)U(F) -D @ ( F ) n - l U ( F ) ] , where Pk = P(Fk), s k = S(Fk), etc., Cf. (7), (8), and (10). h
"(F)T= [BTH(F)T B'@(F)TH(F)T * * * BT(@(F)n-l)TH(F)T], alternative way of introducing the Anderson-Moore method is as
@ ( F ) = A + BFD, U ( F ) U(F)' = R , + BFR,FrBT, and follows.
H ( F ) T H ( F )= Q + DTFTRFD. Let Fo E SF. Consider then a sequence of feedback gains {Fk}
Let D have full row rank and B full column ran&, respectively. generated by
Then U ( F ) is nonsingular, say R , > 0, implies P ( F ) > 0 for F
E SF by (19a) [an analogous result holds for S ( F ) ] .Now if U ( F ) Fk+i=Fk+akGAM,k (25)
'
is singular, it may still be possible to have Q(F)Q(F) > 0 when
) greater rank where an-> 0 is such that Fk+ E SF, and GA,w&is given by the
the observability matrix of the pair ( D , @ ( F ) has
than D , as rank Q ( F ) = rank D = > Q(F)Q(F)' > 0. unique minimizer to the positive definite quadratic form
Returning to the compactness assumption of the loss level sets,
cf. (18), it is observed that if II(J(F))is compact for some F E
SF, then the loss (5) has a minimizer in S F ,due to the continuity of
the loss in SF [32].In the following sections the condition
where qAM(dF) is a quadratic appro_ximatio_nto the loss increment
dJ, Cf. (13) and ( 1 3 , at Fk, and Pk and Sk are positive definite
II(J( Fo))
compact
is (20)
matrices given by
where FO E SF is an initial stabilizing feedback gain matrix, is p k-Pk+rk
- -
often used in the convergence analysis of numerical methods to (274
find a local minimizer of J ( F ) on SF. It is a mild condition, and
even in cases where it is not fulfilled, one may still get sk=sk+Ak. (2%)
convergence so that The positive semidefinije matrices r k and-& are20 chosen that the
condition numbers, K(Pk)and K(Sk),OfPk and Sk are both 5 K ,
> 1, cf. Remark 3.1.
Thus, GA,w,k is given by
where { ( a J / a F ) k )is the gradient sequence generated during the
iterative solution of a PLQ problem.
In this paper the term explicit gain space methods refers to
computational methods for solving parametric LQ problems based and it is easy to see that
on explicitly generating a sequence of feedback gains {Fk)
according to
Fk+l=Fk+akGk (22)
where Gk is a search direction, (?k > 0 is a step-length parameter,
and { F k )hopefully converges to a local minimizer of the loss (5). i.e., GAM,k is a descent direction of the loss J ( F ) at Fk.
The more successful explicit gain space methods generate a It should be observed that when the term tr dFrSkdFpk
sequence of monotonically decreasing loss function values dominates other terms in (15), it can be expected that the
J(Fk))so that Fk E SF for all k . The initialization problem, i.e., Anderson-Moore method performs close to the Newton method
the problem of finding an Fo E SF when the system ( 2 ) is open- for solving parametric LQ problems. It is also interesting to note
loop unstable, is then of importance. This problem and the output that when R , = 0 and D = Z (of size n), the Anderson-Moore
feedback stabilizability problem are discussed in Section VU. algorithm gives
Remark 2.1: The use of parametric LQ techniques in rms
tuning of control loops is classical. One useful interpretation of Fk+[=-S^,'B'&A. (30)
the control criterion (1) is as follows. In many stochastic control
problems performance requirements are stated as upper bounds on Then the Anderson-Moore algorithm is equivalent to a method for
the variances of certain process variables (see, e.g., [49], [ 2 5 ] , solving algebraic Riccati equations having local quadratic rate of
and [20]). One engineering tool to address multiple variance convergence [ 3 3 ] .
requirements is by a penalty function method, such as linear Note that (25) gives the same Fk+I as (24) for all k , if ak = 1,
quadratic and parametric linear quadratic theories. Then, techni- r k = 0 , and A, = 0. Unfortunately, convergence of the sequence
cally, it is also possible to interpret the control criterion (1) as a { F k } to a stationary point of the loss function is then not
linear combination of the components of a multiobjective variance guaranteed (see, e.g., [66]) and it can even happen that the
criterion. Gangsaas et ai. [25] discuss an advanced practical successor Fk+ SF,although Fk E SF, causing a collapse of the
control systems design approach based on parametric LQ ideas. algorithm. This phenomenon is in fact not too rare rendering the
Robust performance and stability requirements can then also be original Anderson-Moore algorithm of limited use.
addressed, cf. also Section VIII. It seems that the importance of the descent property (29) was
first observed by Halyo and Broussard [32] and independently by
III. THEDESCENT ANDERSON-MOORE METHOD Makila [43].Halyo and Broussard [32]proved also a convergence
result, which is repeated here in a slightly different form.
A well-known necessary condition for optimality for the PLQ Theorem I {Convergence of {(aJ/aF)k}):Let &be nonvoid,
problem is that and let Fo E SF.
Let the level set n(J(F0))
aJ
-=0 implying F= -S^-'BTSAPDTP-l (23)
aF II(J(Fo))={F E S F ( J ( F ) S J ( F O ) I (3 1)
assuming that p-' and S-I exist. This suggested the original be compact. Then there exists 0 > 0 such that
Anderson-Moore algorithm [ 4 ] ,[58],where the sequence { F k )is
generated as, starting from Fo E SF,
-s^;'BTSkAPkDTpk'
Fk+l= (24)
MAKILA AND TONONEN: PARAMETRICLQ PROBLEMS 66 1

whenever 0 < CY I/3 and the sequence { F k } is defined by necessarily converges to a stationary point of the loss function.
Note also that in any case the loss J ( F ) must attain the same
value, say Jo, at all the cluster points of {Fk}, so that for any e >
0 there exists a no egative integer L , such that 0 I J(Fk) - JO
where GALv,kis given by (28) with p k and $ having condition < e for all k 5: If J ( F ) has a unique stationary point on II
numbers bounded above for all k. (J(Fo)),then Theorem 2 guarantees that (Fk} converges to this
Proof: Essentially the same as Theorem 3 in [32]. 0 point, which must be the global minimizer of the loss J ( F ) on the
To find such a constant step-length parameter CY > 0 , [32] compact set II(J(Fa)).
suggests that fzk in (25) is chosen to satisfy FkT E SF and the Various implementation aspects of descent Anderson-Moore
descent condition algorithms are discussed, e.g., in [32], (461, and [47]. The
algorithmic structure of the descent Anderson-Moore method is
very attractive. Only linear discrete Lyapunov matrix equations
have to be solved at each iteration step. In numerical comparisons
The step-length parameter ak is computed by finding the smallest [32], [44] the descent Anderson-Moore method has compared
nonnegative. integer j in favorably with popular general-purpose function minimization
methods.
ak=yJak-j,
O<y<l, a-1 3 1 (35) In 1431 and [72] the descent Anderson-Moore method is applied
to optimal decentralized control. In a numerical comparison [72]
such that Fk + +ax-- lGA?W,ksatisfies the stabilizing and descent it is shown to be superior to the method proposed in [26]. It is also
conditions (34). It is then hoped that there exists an integer M 5: 0 straightforward to generalize the descent Anderson-Moore
such that q b r E (0,/3], where /3 is as in Theorem 1, i.e., it is hoped method to arbitrarily constrained feedback gain matrices F by an
that after a finite number M o f iteration steps ak = a,wE (0, /3] is elimination of variables technique [43], [73].
accepted for all k 5: M . The result (32) of Theorem 1 would then In Theorems 1 and 2 it was not assumed that the necessary
apply. optimality condition (23) has a unique solution. Then itwas
In [55] the descent condition is used in a descent Anderson- convenient to consider the convergence of the gradient sequence
Moore algorithm for continuous-time systems. { ( a J / a F ) k } .Actually, it is known that condition (23) can have
The descent condition (34) and the boundedness property J ( F ) several solutions in some cases [43]. Then itis necessary to
5: 0 for all F E SF guarantee convergence of the sequence compare the different solutions to decide for the global minimizer
{J(Fk)} for any Fo E SF. This does not, however, imply of J ( F ) on SF.
convergence of { F k )to a local minimizer of the loss J ( F ) , neither Remark 3. I : For certain parametric LQ problems, the matrix
convergence of {(dJ/dF)k} to zero, due to basically that inverses in (24) can become ill-conditioned, or they may not even
condition (34) accepts arbitrarily small reductions in the loss J ( F ) exist, for some stabilizing feedback gains. The device of (27),
(see, e.g., [24]). Thus, the conclusions on the convergence to a (28) is then important, cf. also the bounded condition number
stationary point for the Halyo-Broussard 1321 and for the requiremenkin Theorems-1 and 2 . One technique is then to choose
Moerder-Calise [55] algorithms remain unproved. It should be rk = E tc Pk x I , ifK(Pk) 5: E - ] + 1, and r k = 0 otherwise.
observed, however, that in practice the descent condition (34) is Then K(Pk) < E - I + 1 for all k , where e is a small positive
often enough to obtain the result (32)(no counterexample is number, say * * Akin (27b) can be chosen in a similar
known). way. This simple technique bounds the condition numbers of the
In [43], [44], and [46] a descent Anderson-Moore method was matrix inverses in (28) (assuming only that tr Pk(tr Sk) > 0 for all
suggested such that the step-length parameter uk is chosen to k ) enhancing the convergence properties of the descent Ander-
satisfy the Goldstein step-length condition [29] son-Moore method for ill-conditioned parametric LQ problems.
IV. LEVINE-ATHANS
LIKEMETHODS
Levine and Athans [40] suggested a method for solving the
optimal constant output feedback problem for continuous-time
systems based on an iterative solution of the necessary optimality
conditions of the control problem. At each iteration step a system
where 0 < u < 1/2, in addition to the condition F k + lE SF. A of nonlinear equations is involved. Levine and Athans [40] were
somewhat simpler step-length rule was used in [47]. Note that as ablc to show that undcr an cxistcncc assumption their method
generates a sequence of monotonically decreasing loss function
the condition numbers of p k and s k in (27) are bounded above for values. The convergence properties of the method, however, have
all k,condition (36) guarantees that the reductions in J ( F ) do not not been well-understood [40], [68]. Recently, some convergence
become arbitrarily small, as then (aJ/aF)kand GA.w,k will not be results have been obtained for Levine-Athans like methods [47],
arbitrarily close to orthogonality. In 1441 and [47] convergence of [71].The proofs of these results utilize an interpretation of
the sequence {(dJ/aF)x-} to zero was proved when using these Levine-Athans type methods with loss increment expansions.
stronger step-length rules under mild assumptions.
Theorem 2 (Convergence of {(aJ/aF)k}When Using Condi- The Levine-Athans Method
tion (36)): Let SF be nonvoid, and let Fo E SF. Let the level set II
(J(F0))be compact. Let the sequence {Fk} be generated by Fk+ Let us iysert P k - = P(Fk+ and Pk+I = B(Fk+ for p(Fk +
= Fk + akGA.v,k, where GA,w,k isgiven by (28). and the step- d F ) and P(Fk + d F ) , respectively, in (12) and (1 1). Then the
length parameter ak is chosen so that the Goldstein step-length rule loss increment (12) gives a quadratic form whose minimizer is
(36) is satisfied, and Fk+l E SF. Then given by

(&)k =o for some k , or (g) -0.

1 -
G L A , ~-=- s,1(2[skFkpkLj +BTSkAPk+lDT]}p;,!,(37)
2
Proof: See [44] and [47]. assuming that and Pi:., exist. Equation (37) determines GLA,k
Thus, the cluster points of {Fk} must be stationary points of the implicitly, as P k + lis obtamed from
loss function J ( F ) . It is fairly easy to show that if { F k }has a finite
number N of cluster points then N = 1: i.e., then { F k } Pk+I=P(Fk+Gra,k) (38)
662 IEEE TRANSACTIONS ON AUTOMATIC CONTROL,VOL. AC-32, NO. 8, AUGUST 1981

where P ( - )is given by (7). Thus, each iteration step Consider then the sequence {Fk) generated by

Fk+l=Fk+GLA,k (39)
of the Levine-Athans method requires the solution of a nonlinear
matrix equation. Due to its construction, the Levine-Athans
method satisfies the descent property where 0 < 8 k I1, and G u , k is as in (37).
A convergence theorem was given for this type of modified
J(Fk)-J(Fk+I)>o, ifGLA,k#o (40) Levine-Athans method in [71] for continuous-time systems.
Theorem 4 (Convergence of { G L A , k } and { ( a J / a F ) k } ) : Let
without any line search dong G L A , k , cf. the descent Anderson- SF be nonempty. Let Fo E SF, and let II(J(Fo))be compact. Let
Moore method. Presently, however, there s e e m to be no general { F k } be generated by (48), (49), where 8 k E (0,13, k 2 0, is
existence proof available for a stabilizing solution to the nonlinear chosen so as to satisfy the conditions for existence of a solution to
equations (37) and (38). Some numerical experience indicates that (37), (49) for each k. Let inf 6 k > 0. Then
a stabilizing solution often exists.
Note that (39) can also be written as
- S , lFBkT+SL k=A P k + l D T P k ; L I .

It is seen from (11) and (37) that

(41)
( g ) k =0, for some k, or (g) +O.
k (50b)
Proofi Analogous to the proof of Theorem 3.
J(Fk+I)-J(Fk)= -tr GzA,kgkkGLA,kpkk+l. (42) Instead of discussing numerical algorithms to solve the set of
nonlinear matrix equations (37), (38), or (37) and (49), in the
The descent property (40) is evident from (42). The following Levine-Athans method at this point, this problem is deferred to a
convergence result is also obtained. later discussion on the corresponding problem forthe dual
Theorem 3 (Convergence of { G L A , k } and ((aJ/aF)k)):Let Levine-Athans method.
Fo E SF. Assume d S 0 that F k + I = F k + G U , k E SF exists for all
k 2 0. Let the leyel set II([(Fo))= {F E SFIJ(F) 5 J(Fo)}be The Dual Levine-Athans Method
compact, and let S ( F ) and P ( F )be positive definite on lT(J(Fo)).
Then A dual version of the Levine-Athans method has been
discussed in 1431 and [47] for discrete-time stochastic systems,
GLA,k=O, for Some k , Or G L A , k + O (434 and in [71] for continuous-time systems.

(E) k
=0, for some k , or
k
-0. (E) Note Gat in the loss increm_ent (1 1) the arguments Fl and Fzin
(43b) S(Fl), S(Fl), P(Fz), and P(F3 can be permuted due to a
+
symmetry of the loss increment. Let F k + = Fk G D L A , k , where
GDLA,k is defined as follows. Introduce the notation S k + , =
Proof: See Appendix B. S ( F k + ] ) and $ k + l = s ^ ( F k + I ) . Consider then S k + [ and g k + l as
Thus, if the loss J ( F ) has a unique stationary point on constant, butyet unknown, matrices. Then the loss increment
(J(Fo)),then Theorem 3 guarantees that ( F k } converges to this gives a quadratic form whose minimizer is the dual Levine-
point, which is then also the global minimizer of the loss on the AthaIlS Step G D L A , k
by-assumption-compact set l T ( J ( F 0 ) ) (see the discussion after
Theorem 2).
Toivonen [71] has considered a modified Levine-Athans
method for continuous-time systems. Let then the sequence { F k )
be generated as assuming that and P i exist, cf. the Levine-Athans method.
G D L A , k is defined implicitly by (51), where & + l is given by
Fk+l=Fk+eGLA.k, 0<8<2 (44)
where GLA,k is defined as in (37), and (38) for P k + is replaced
with The mamx function S(-) is defined in (8). Thus (51) and (52)
form a set of nonlinear matrix equations for G D L A , k (and S k + I).
Pk+I=p(Fk+eGu,k). (45) Note that when D = Z (of size n X n) and R , = 0, the PLQ
control problem reduces to a steady-state LQG problem with
Then it is seen from (11) and (37) complete state information. Then
J(Fk+l)-J(Fk)=e(e-2) tr G~A,kSkGLA,k~k+l- (46)
Thus, the modified Levine-Athans method satisfies the descent
property
J(Fk)-J(Fk+I)>o, if GLA,kfO- (47)
[Observe that & and p k + l are positive definite by assumption, cf.
(37).] The introduction of the parameter 6 allows the derivation of
an existence lemma.
Lemma I : (Existence of Solutionjo (37) and (45)): Let SF be In this case the dual Levine-Athans method solves the control
nonempty, and let F k E SF. Let P ( F ) and s ( F ) be positive problem in one iteration step only corresponding to the solution of
definite on SF. Then there exists a real number 8 > 0, such that the algebraic Riccati matrix equation (55). This is alnice property
for every 8 E [0, G) there exists a positive semidefinite matrix for the dual Levine-Athans method.
P k + l such that P k + I is a Solution to (37) and (45), and F k + l Returning to the general case, (51), (52), it follows that
defined by (44)satisfies then Fk+ E SF.
Proof: See Appendix C. S=ATSA+Q-ATSBS^-lBTSA+CRTATSBS-'BTSACR(56)
MjiKZL;i AND TOIVONEN: PARAMETRIC LQ PROBLEMS 663

where S = and CR = I - P k D T p i L DEquation

. (56) is for the Levine-Athans method [47], [71]. Thus, the following
called here the discrete-time extended algebraic Riccati equation convergence result is obtained.
(DEARE), cf. [52]. It is observed that the DEARE (56) can be Theorem 5 (Convergence of {GDLA,k) and {(aJ/aF)k)):Let
written as SFbe nonvoid. Let FOE SF, and let lI(J(Fo))be compact. Let the
sequence {Fk} be generated by (51), (52) as
S=RTArSAR+Q+\k(S) (57)
(66) Fk+I=Fk+GDLA,k.
where
Let a solutio_n egst to (51), (52), such that Fkil E Sf for
~(S)=AT(S-SBS^-1BTS)A-@TA'(S-SBS^-'BTS)A(R each k. Let P ( F )and S ( F ) be positive definite on lT(J(Fo)).Then

(58) GDLA,k=O, for Some k , Or GDLA,~+O

and S - SBS^-'BTS 2 0 for all S 2 0 such that g-' exists. It is
interesting to note that in some (rare) cases * ( S ) = 0, and thus if
the spectral radius of A @ is less than one, then the DEARE (57)
has a solution S 2 Q.
The projective controls approach to output feedback control
(see, e.g., [MI, [53] and [52]) has given some results on the
existence of solutions to the DEARE (56). In [52] discrete-time
systems are considered. Assume thus that the triple ( A , B , D ) is
controllable and observable. Let then L be a matrix such that p(A
+ BL) < 1, i.e., L corresponds to a stabilizing full-state
feedback gain matrix.
Let A and X be the spectrum and eigenmatrix of ( A + BL),
respectively. Then ( A + B L ) X = XA. Let Ar and X , be a
subspectrum and the corresponding subeigenmatrix of ( A BL), +
respectively, i .e.,
( A + BL)X,=XrAr. (59)
Let D have full rank, rank (0)= r. Define projective matrices 6
and CR by
S=X,(DX,)-'D, @=Z-S. (60)
Note that S 2 = 6 and CR2 = C R
, and thus 6 and CR are
projections and idempotent matrices. Then the projective controls
(674
Proof: See proof of Theorem 3, and also [47].
In Toivonen [71] a modified dual Levine-Athans method is
considered for continuous-time systems, cf. the modified Levine-
Athans method (Theorem 4). In[71] a numerical comparison
found faster convergence for the dual. Levine-Athans method
compared to the Levine-Athans method for continuous-time
systems.
In the dual Levine-Athans method the nonlinear matrix
equations (51), (52) are solved at each iteration step. Alterna-
tively, (56) can be solved. Direct iteration of (56) has been used
with some success in [47]. However, while for discrete-time
algebraic Riccati-equations direct iteration of the Riccati equation
has been shown to be convergent under mild assumptions [ 141 and
[ 151, the conditions for convergence of a direct iteration of the
DEARE (56) seem to be unknown. Here a Newton method for
computing FkT is discussed based on the first-order Taylor series
expansion of the nonlinear matrix equation
F-Fk-GDm(S(F))=O (68)
where

u(r)=LX,(DX,)-Lz(t) (61)
retain the invariant subspace X , of the full-state feedback, u(t) =
-:
G D , ~ ( S ( F ) ) = $(F)-'{2[s(F)Fkpk

L x ( f ) ,in the closed-loop system, i.e., + B T S ( F ) A P k D T ] } P i l (69)

( A+BLS)X,=X,A,. (62) and S( -) is defined by (8). The equations for the Newton step A F ;
at F' E Sf (i = 0, 1, * . .), with = Fk, become then
Now, if u ( t ) = 0, then u(f) = LOx(t).Medanic, Petranovic, and
Gluhajic [52] consider L defined by F'+AF'-Fk-GDLA(S(Fi))-SIGD,y=O (70)
\

S = A 'SA + Q - A 'SBS^-'BTSA (63) where GIGDLa is the first-order Taylor series term of GDLA(S(F))
at S(F')) given by
L = -S^-'B'SA. (64)
Thus, L solves the full LQG problem corresponding to the PLQ
problem at hand.
Let the system (2), (3) be transformed so that D = [ I ! 01. It is
shown in [52] that if Pk in (56) has the form

and
then the DEARE (56) has a solution S 2 0, provided that the
corresponding projective controls give a stable closed-loop
system, i.e., if p(A + B L 6 ) < 1. This seems tobe the best
result presently available on the existence of solutions to the
DEARE (56).
There are available several convergence results for the dual
Levine-Athans method, which are analogous to Theorems 3 and 4
where the step-length parameter cyi E (0, 11 is chosen so that the
sequence { IIF' - Fk - GDLA(S(F'))112, i = 0, 1, 2, . . } is
(strictly) monotone decreasing. See, e.g., [69] for a discussion on
how good global convergence properties are obtained with
Newton methods. Close to FkT ai= 1 is accepted in (72) by the
descent condition on the norm above, and thus the quadratic
terminating rate of convergence property of the ordinary Newton
method is obtained for {F'}. Note that an analogous algorithm can
be used to solve the nonlinear equations in the Levine-Athans
method.
664 IEEE TRANSACTIONS ON AUTOMATIC CONTROL, VOL. AC-32, NO. 8, AUGUST 1987

The Alternating Levine-Athans Method optimality conditions

Next a method is described which alternates behveen the
Levine-Athans and the dual Levine-Athans methods avoiding the
solution of a Lyapunov matrix equation at each iteration step. The
alternating Levine-Athans method generates a sequence of +[s^&kFkD+BTSkA]sPl,kDr'=O (81)
feedback gains {Fk) according to
8Sl,k=(A+BFkD)TSSl,k(A+BFkD)+DTdFT
. [ ~ k k F k D + 3 T S k A ] + [ ~ k k F k D + B r S k A ] T d F(82)
D

T+ BdF
6PI,k= ( A +BF,D)GPl,k(A +BFkD)
' [ ~ ~ F ~ ~ T + D P ~ A T ] + [ ~ ~ k F ~ B T + D P(83)
kAT
where 6Pl,k is the first-order Taylor series expansion term (in d F )
Of dP = P(& + d F ) - P(Fk).
Thus, GN,k is given as a solution to the system of linear matrix
equations (81)-(83). The solution exists and is unique if the
quadratic program is positive definite, i.e., if the Hessian matrix
of the loss function J ( F ) is positive definite at Fk. For effective
Fk+l=Fk+
GDu.k+ Gu,k- (77) solution of the linear matrix equations (81)-(83) it is convenient to
make a similarity transformation, such that the transformed
The alternating Levine-Athans method is initialized by choosing closed-loop system matrix obtains a simple form. Let Tk be a
an Fo E SF, and by computing Po = P(Fo).Each iteration step of similarity transformation and let c k denote the transformed
the method consists then of first solving the nonlinear equations closed-loop system matrix, i.e.,
( 7 3 , (74) for GDu,k and s, and then solving the nonlinear
equations (75), (76) using the previously computed value for T i l ( A+BFkD) Tk= ck. (84)
GDu,k and s.A convergence result analogous to Theorems 4 and
5 for the Levine-Athans method and the dual Levine-Athans Introduce also the symmetric matrices K and L such that
method, respectively, can be obtained for the alternating Levine- 6S1,p=( T , l ) T K T , ' (85a)
Athans method.
6PI.k= TkL T i . (85b)
V. THENEWTONMETHOD
Then the system of linear equations (81)-(83) can be written as
Newton-like methods for solving function minimization prob-
lems have the well-known desirable characteristic of showing
second-order rate of convergence close to a minimizer (see, e.g.,
[24]). These methods have been successful in solving algebraic
Riccati equations (see, e.g., [2]). The software implementation of
an effective Newton method for parametric LQ problems is,
however, not a trivial problem. The implementation should be
such that the computations at each iteration step are not excessive
compared to the descent Anderson-Moore method. This would
make the Newton method competitive with the descent Anderson-
Moore method due to the second-order rate of convergence
property.
In Newton's method a sequence of feedback gains (Fk) is
generated according to In [73] the Newton step is solved in an iterative way using the
conjugate gradient method. Then the system of linear equations
Fk+l=Fk+QkGN,k (78) (86)-(88) is solved for a sequence of arguments dF. This can be
done effectively if the similarity transformation Tk is chosen so
where GN,kis taken to be the minimizer of the second-order that c k will be in real Schur, or quasi-triangular, form. Note that
truncated Taylor series expansion of the loss increment dJ (13) at the Bartels and Stewart [6] algorithm for solving linear matrix
Fk E SF, i.e., G,v,kis the minimizer of the quadratic form equations is based on this transformation. An interesting alterna-
tive is to choose Tk so that the closed-loop system matrix ( A +
BFkD)will be reduced to block diagonal form [48]. An algorithm
(79) for such a reduction is given in [ 7 ] .
Note that it may still be computationally expensive to solve the
linear equations (86)-(88) exactly at each iteration step k . This
may not be justified when far from the solution as the benefits of
the Newton method are mainly local close to the solution. In [73]
an inexact Newton methodis considered in which the Newton
equations (86)-(88) are solved only approximately in such a way
and 6Sl.k is the first-order Taylor series term of dS = s(Fk + that close to the solution quadratic rate of convergence is
d F ) - s(Fk), cf. (16). The step-len@ parameter ak in (78) is obtained.
included to improve the global convergence properties of the Good global convergence properties are obtained with the
Newton method. Note that if the quadratic form (79) is positive Newtonmethodwhen the Hessian matrix of the loss J ( F ) is
definite, then it has a unique minimizer. positive definite on SF, if the step-length parameter ak in (78) is
The quadratic program (79), (80) with the equality constraint chosen so that a satisfactory reduction is obtained in the loss
defining 6Sl.k as a linear function of dF, has the necessary function value at each iteration step. The Newton step is a descent
 AND TOIVONEN: PARAMETNC LQ PROBLEMS 665

direction of the loss, i.e., method for solving the nonlinear matrix equations expressing the
necessary optimality conditions of a parametric LQ problem,
based on a dynamic compensator formulation, has been given in
[37] and [9].

Thus, the Goldstein step length rule, cf. condition (36) or, e.g., W. THEINITIALIZATION PROBLEM
the Armijo line search process, will give effective schemes to
choose the step-length parameter ak in (78). Close to a minimum In this section the problem of finding an initial stabilizing
these schemes accept ak = 1 preserving the second-order final feedback gain matrix Fo E SF and the related problem of output
convergence rate of the Newton method. When the Hessian feedback stabilizability are discussed. However, this section does
matrix of the loss J ( F ) is not positive definite everywhere on SF, not intend to be a survey of these control topics.
the Newton method must be somewhat modified. One possibility It would be useful to have a computationally simple test to
is to solve a positive definite subproblem of the quadratic program decide whether SF is nonempty or empty, such that it tries to
(79), (80), or to consider restricted step Newton methods (see, construct a stabilizing feedback gain matrix, when the system (2)
e.g., [241). is open-loop unstable. Anderson et ai. [3] have suggested the use
For details of implementation of the Newton method and of methods to solve polynomial inequalities in such a test. Miller
numerical results, see [73]. There it is also shown that it may be et ai. 1541 use a special method to minimize a spectral radius
advantageous to use a preconditioned form of the conjugate functional. Prakash and Fam [60] consider a geometric approach.
gradient method when solving the Newton equations. The Soh, Berger, and Dabke [67] suggest a cost-function approach
Anderson-Moore search direction, cf. (25), offers then a natural based on sufficient conditions for output feedback stabilizability.
preconditioning direction. Consider the problem of finding an F E SF, i.e., a feedback
Remark 5.1: The Hessian matrix of the loss can also beof +
gain matrix F such that p(A BFD) < 1. This is actually a set of
interest in itsown right. It gives information on the convexity n inequalities
properties of the loss. Furthermore, it is possible to consider a set
of quadratic approximations of the loss whose domains "cover" IIX;(A+BFD)II2<1, i=l, .e., TI. (93)
the set of stabilizing feedback gains SF to obtain inclusions of the
global minimum of the loss on SF, cf. Taylor form methods for Godbout and Jordan [28] give gradient matrices for the eigen-
obtaining inclusions for the range of functions 1611. values X,(A + BFD). Thus, it is feasible to use Newton-like
algorithms for solving sets of inequalities (see, e.g., [SO]).
Alternatively, as
VI. OTHERMETHODS
In this section some alternative methods for solving parametric p(A+BFD)=%x[I(h;(A+BFD)112] (94)
1

LQ problems are discussed. Gradient methods for function

minimization have been quite popular. In [19], [35], the Davi- can be a nondifferentiable function, it is possible to consider the
don-Fletcher-Powell (DFP) variable metric method is used for constrained minimization problem
computing the optimal constant output feedback gains for continu-
ous-time systems. More recently, the BFGS variable metric min c
c.F
method is preferred (see, e.g., [64] and [ a ] ) . The BFGS method
performs well with inexact line searches reducing significantly the s.t.
computation times in solving parametric LQ problems. Note also
the importance of an initial scaling of the variable metric matrix as crIIX;(A+BFD)I12, i=l, n.
e - . , (95)
in [64] and [a]. In numerical comparisons [43], [72] the descent
Anderson-Moore method has compared favorably with the BFGS An effective method to solve this type of constrained minimization
method. Also typically the proofs of convergence results for the problem is Powell's method with the watchdog technique [17].
BFGS method require convexity assumptions [59]. Another possibility to consider the output feedback stabilizabil-
In some computer-aided design packages for parametric LQ ity problem is by way ofnecessary and/or sufficient conditions for
control a conjugate gradient algorithm is used (see, e.g., [31]). It stabilizability of the system (2), (3). A necessary condition for SF
should also be observed that the descent Anderson-Moore method to be nonempty is that the fixed modes of the triple ( A , B, D)are
is a gradient method. It utilizes partial second-order information strictly inside the unit disk [22].
of the loss increment expression (1 1). In [67] a sufficient condition for stabilizability, the dominance
The necessary optimality conditions of the parametric LQ condition [76] is used. The dominance condition is
control problem (1)-(3) can be written in terms of the matrices P
and S as
i= I
S=A~SA+Q-ATSBS^-~BTSA
., n, are the
+ ( I - D ~ P - ~ D P ) A ~ s B S ^ - ~ B ~ S A ( Z -(90) - ~ D )ti(F),polynomial
P D ~ Pwhere
characteristic
i = 1, - *

of ( A + BFD)
coefficients in the

P=APAT+R,-APDrP-lDPA7 C(Z)=Z"+~~(F)Z"-'+.**+~,(F).
(97)
(91)
+(I-BS-'BTS)APDrP-'DPAT(I-SBS^-IBT) Let now F* denote the global minimizer of the function H ( F ) on
RPxr
where s^ = BTSB + R , and = DPDT + R , . The
corresponding feedback gain matrix F is given as
(98)
F= -S-~BTSAPDTP-~. (92) i= 1

Direct solution of the matrix equations (go), (91) has not been If H(F*) < 1, then the system (2), (3) is (output feedback)
much discussed in the literature. In [ l l ] a Newton-Raphson stabilizable. Soh, Berger, and Dabke [67] suggest to use the
method has been presented to solve an analogous set of nonlinear global minimizer of the differentiable function E:= tf(F)in the
matrix equations for continuous-time systems. An interesting new dominance test H ( F ) < 1 .
666 IEEE TRANSACTIONS ON AUTOMATIC CONTROL. VOL. AC-32. NO. 8, AUGUST I987
The initialization problem can also be seen as a special
eigenvalue assignment problem. Homotopy, or continuation,
methods for eigenvalue assignment are considered in [62]. All the
methods discussed so far for the initialization problem differ in a
basic way from methods for solving parametric LQ problems in
SF. Bingulak, Cuk, and Calovic [ l l ] consider a sequence of
parametric LQ problems starting from full state feedback and then
gradually reducing the dimension of the vector z ( t ) in (3), until
the original parametric LQ problem is obtained. Wenk and Knapp
I743 consider the controller structure constraints as linear equality
constraints, thus, allowing again to start from a full state feedback
controller. A direct approach to the initialization problem,
utilizing any standard algorithm for parametric LQ problems in
SF, can be obtained based on a perturbation approach for
continuous-time systems 1123 and a scaling technique for discrete-
time systems to be discussed next; see Appendix D for a
convergence result.
Consider a deterministic linear system ( A , B , D ) , cf. (2), (3).
Introduce the time-weighted criterion
1 A‘-]
h ( F , u ) = E lim
K-m
-
N
2 ~ ~ ‘ [ x ( t ) ~ Q x ( t ) + u ( t ) ~(99)
R ~ ( tlinear
r=o
where EX(O)X(O)~ = X > 0, u E (0, 11, and Q and R are
positive definite weighting matrices. Furthermore, introduce the
scaled system
q ( t + l)=uAy(t)+uBp(t)
c(t)=otl(t)
fi(t)=Fi-(t) (100)
) ~X . Then it is easy to check that for the
where E ~ ( 0 ) ? ( 0=
scaled system (loo), h(F, a) is a standard quadratic Criterion of
the form (1). Let then S d u ) denote the set
cf. the definition (4) of SF. The standard parametric LQ problem
for the scaled system
has a trivial initialization problem if the scaling parameter u is
chosen small enough. The idea is then to consider a sequence of
problems of the form (102) for a strictly monotonically increasing
sequence {ukk)of scaling parameters, each successor ak+I chosen
so that the local minimizer Fk of (102) for a = uk provides an
initial stabilizing feedback for (102) with u = u k + , . Some
numerical experience indicates that this technique can be a fast
wayof locating an initial stabilizing feedback gain for the
parametric LQ problem (17), when a stabilizing feedback gain
exists.
V U . GENERALIZATIONS
In this section we discuss so-called robust parametric LQ
control problems [42], [41], [161, [lo]. The concepts and methods
surveyed in this paper have found application in solving other
realistic generalizations of the basic parametric LQ control
problem formulation, cf. Section LI, as well, e.g., parametric LQ
problems with multirate sampling [13], input amplitude con-
strained parametric LQ problems [70!, and parametric LQ
problems with “soft” state and input constraints [49], [23]. Many
realistic control problems can be formulated as constrained
parametric LQ control problems, cf. Davison and Ferguson [21]
and Gangsaas et a/. [25].
Robust LQ Control
One criticism of LQ control is that robustness issues to plant
parameter variations and modeling errorsare not explicitly
addressed in the control problem formulation. In recent years
several techniques, or synthesis tools, for addressing robustness
issues in parametric LQ design have been studied. Calise and
Moerder [16] consider a singular perturbation technique to take
into account the presence of high-frequency unmodeled dynamics
in parametric LQ design for continuous-time systems. The design
point will then satisfy a certain robust stabilization condition. In
another technique, i.e., in the robust parametric LQ problem 1421,
[41], 1561 also performance robustness is considered, e.g., over a
range of operation conditions through a multimodeling approach.
A third technique, the maximum entropy parametric LQ problem
[lo] exploits state-, control-, and measurement dependent noise to
automatically desensitize the design to plant modeling errors.
The Robust Parametric LQ Control Problem
Consider the problem of finding the fmci feedback gains of a
) ] controller to obtain satisfactory performance over a set of
operating points [41]. This is a physically well-justified robust
controller design problem, cf. [I], [21], and [41].
Let M linear time-invariant stochastic systems { [ A ; ,B,, D,,
RK,;,R,,;], i = 1, * * M } be given, cf. (2), (3). The M linear
0 ,
systems are models of the same physical system representing
different operating conditions (and/or various actuator/sensor
failure situations, modeling errors, etc.). The control law is
uj(r)=Fzi(r), i = 1, ., M (103)
where u,(t) E RP and_z,(t) E, Rr.
--
Let { P , ( F ) ,S;(F),P ; ( F ) ,S(Fj),i = 1, -,M } be defined as
in (7), ( S ) , and (10) for the M linear systems. Introduce a set of
functions {J,(F),i = 1, . M ) of the form (I), where {Q,, Ri,
-
a ,
i = 1, . ., M ) are the corresponding weighting functions, for
the M linear systems. Let (dJ;/dF, i = 1, * ., M } denote the
gradient matrices of the functions (.I@), i = 1, . * , M } with
respect to the feedback matrix F, cf. (14).
Consider the control criterion
M
JR(F)= w;Ji(F) (104)
i=l
where wi = 1, w i > 0, e.g., $vi = l / M , i = 1, - . e , M.
Define the function rM(F)as
r~(F)=max(p(A;+B;FDi), i = l , - a * , M) (105)
I
where F E Rpxr, and p denotes the spectral radius function.
Introduce the set S,w of feedback gains which stabilize each of the
M lihear systems
s,w= { F E RpX‘lr,W(F)< 1). (106)
The robust parametric LQ control problem is then
Note that JR(F) is a smooth function for F E &. Let S,wbe
nonempty, and let F l ,Fz E S M . Let { A J ; = Jj(F2) - J;(F,),i =
1, . .,M } denote the loss increments of the functions { J;, i = 1,
* * - ,M ) , cf. (11).
Then the loss increment AJ, = JR(F2)- JR(Fl)is given by
M
AJR= w;AJ;. (108)
;=I
Thus, many of the numerical methods for the basic parametric LQ
M m AND TOIVONEN: PARAMETRIC LQ PROBLEMS
problem, cf. (1)-(3), have natural extensions to the robust
parametric LQ problem.
Consider then applying the effective descent Anderson-Moore
method, cf. Section III. Introduce the quadratic form
aJR
qR(dF)=tr dF'-+z wi tr dFT$(F)dFpj(F) (109)
aF i = I
where F E S,w, dF E R p x r , and aJR/aF = Z E wiaJj/aF.Let f
bethecolumnstringofF,i.e., f=cZs(F) = [F11,F21, ...,Fpr]r.
The quadratic form (109) can then be written in vector notation as
aJR 1
qR(df)=dfT-+-dfTff(-f)df (1 10)
af 2
where H(f)
= Z f l w i H i ( f ) ,and
[H;(nl~i-I)pig,(/-l)p+k=2[~jiCf)]4k[~j(f)]/j (111)
forq,kE{1;~~,p},andI,jE(1;~-,r},andfori=1,
-
-,M. Note that all ( H j ( f ) ,i = 1, M } are symmetric
e ,
positive semidefinite matrices. Let H(f)be strictly positive
definite. Then the unique minimizer of q R ( d f )is given by
aJR
d A M ( f ) = - H ( f ) - '- . (1 12)
af
Thus, d A M ( fis
) a descent direction of the loss function J R ( f ) atf
E SM.
Let fo E SM.Consider then the sequence { f k ) generated by
fk+ I =fk + akdAM,k (113)
where d A M , k = -H(fk)-'(aJR/af)k, and ak E (0, 11 is a
suitably chosen step length parameter, cf. Section III, i.e., ak is
such that at leastfk, E SM,and JR(fk+ < J ~ ( f k ) .Then under
mild conditions, cf. Theorem 2 and the discussion after it, the
sequence (fk) converges to a stationary point of J R ( f ) .
The initialization problem, i.e., to find a feedback gainfo E
S,w, can be difficult, indeed sometimes S,wis empty. Looze [41]
gives a Lagrange multiplier nonlinear programming technique to
solve a robust LQ problem without the need for an initial
stabilizing feedback gain.The total computation time is then,
however, greatly increased [41]. Therefore, Looze [41] recom-
mends that this technique is used for the initialization problem
only. The methods of Section W are also useful here. For most
industrial control problems the plant remains open-loop stable for
all realistic perturbations. Then the initialization problem is
trivial.
The maximum entropy parametric LQ control problem [lo]
was mentioned earlier in this section. It is also possible to use the
loss increment technique to generalize, e.g., the descent Ander-
son-Moore method to this interesting class of parametric LQ
problems for robust design.
We conclude this section with the following remark. In Section
II the so-called constant output fccdback formulation of the
parametric LQ control problem was used. This is actually no loss
of generality as problems with linear dynamic controllers (dy-
namic compensators) can be transformed to this basic form (see,
e.g., [ S I , [47]). Then it is possible to consider, e.g., regulators
of the form
H(q-')u(t)=G(q-')r(t) (121)
where
667
y ( t ) is an output vector, and q-' is the backward shift operator
(q-Iy(t) = y ( t - l ) , etc.).
The well-known LQG solution for globally minimizing (i.e.,
also with respect to controller structure) the quadratic criterion (1)
often results in a fairly complex regulator. Surprisingly often a
much simpler regulator will give almost the same performance.
Parametric LQ methods make such a comparison attractive.
IX. FUTURE
DEVELOPMENTS
This survey has mostly concentrated on some recent develop-
ments in computational methods for solving the parametric LQ
control problem (17). The choice of topics was necessarily
somewhat limited, so in this section some topics which deserve
further attention are mentioned.
The structure of the coupled extended Riccati matrix equations
(go), (91) is not well-understood from a computational point of
view. Projection techniques (see, e.g., [53], [36]) provide new
insight into this difficult problem area. The eigenprojection
method [37], [9], explicitly utilizes the special projection structure
of the coupling of the matrix equations expressing the necessary
optimality conditions of a parametric LQ control problem based
on a dynamic compensator formulation. The convergence proper-
ties of this method deserve further attention. In addition to the
special structure of the coupling of the nonlinear matrix equations
(W),(91), there is another structural aspect to be considered.
Namely, the resemblance of these equations to algebraic Riccati
equations. This means, e.g., that it is possible to try solving them
as a series of Lyapunov or Riccati equation problems (this is
utilized also in the eigenprojection method, and in many imple-
mentations of Levine-Athans like methods). The convergence
properties of such iterations seem tobe, however, poorly
understood, except in the case of descent gradient methods
(including the descent Anderson-Moore and Newton methods)
which are based on a series of Lyapunov equation problems.
The problem of characterizing the global minimum to paramet-
ric LQ control problems is also of interest. Conditions for the
existence of several local minima in terms of the system
formulation would be useful. The use of component-cost methods
to select the global minimum has been suggested in [37]. Interval
methods for rational functions [61] may also provide interesting
computational tools for obtaining inclusions of the global mini-
mum.
No comprehensive numerical comparisons covering all the
important methods for solving parametric LQ control problems
are available. It is suggested that such comparisons should consist
of several well-chosen test problems displaying different convex-
ity properties of the loss function. Details of implementation of the
computational methods should also be reported.
A growing number of advanced applications of various para-
metric LQ techniques (see, e.g., [75], [56], [25], and Sections I
and V U for further references) indicates the usefulness of these
techniques as an engineering tool. Some of the main features of
such a control systems design approach based on parameter
optimization are described in the first IEEE TRANSACTIONS ON
AUTOMATIC CONTROL Special Category Paper [25]. To mention a
fewproblem classes where parametric LQ techniques deserve
further attention, these include controller reduction, multiobjec-
tive LQ control, and minimax LQ control.
X. CONCLUSIONS
Computational methods for solving parametric LQ problems
have been surveyed. To summarize, some rather classic unsolved
computational problems from the beginning of the 1970's on
optimal constant output feedback control have been solved
recently. New algorithms have been developed and convergence
results have been obtained for the descent Anderson-Moore
method and for Levine-Athans like methods. The descent Newton
method and the inexact Newton method are promising.
668 IEEE TRANSACTIONS ON AUTOMATIC CONTROL, VOL. AC-32, NO. 8, AUGUST 1987

Recently it has also been shown that, e.g., the descent As an example of applying (A5),
Anderson-Moore and the Newton methods can be readily applied
to optimal decentralized control problems and to parametric LQ Q > O and R,>O = (Al) (A61
problems with arbitrary controller structure constraints. Further-
more, dynamic compensators can be considered. The technique of when B and D have full rank, cf. also [32].
the loss increment has been the main analytical tool in these recent Introduce the observability matrix of the pair ( H ( F ) ,+ ( F ) )
developments. With this tool it is possible to generalize many of
the effective methods surveyed in this paper to other realistic
parametric LQ control problems, including robust parametric LQ
problems.
In numerical comparisons (see, e.g., [32], [U],and [72]) the
descent Anderson-Moore method has compared favorably with
tested general-purpose function minimization methods (including
the DFP and BFGS variable metric methods). The descent
Newton method converges usually in fewer iterations than the
The loss (A3) can then be written as
descent Anderson-Moore method, butitis more complex to
implement [73]. The Levine-Athans like methods require no line m
search but at the moment only some partial existence results for a
solution to the related nonlinear matrix equations seem to be
J(F)= 2 tr [ 9 ( F ) @ ( F ) k . " U ( F ) ]
k=O
available.
Projection techniques [53], [37], are providing new insight into . [ 8 ( F ) @ ( F ) k ' " U ( F ) ] 7 + tFTRFR,
r (AS)
some of the remaining open issues.
APPENDIX
A where F E SF. Let 8 ( F ) have rank no 5 n , and let 8 ( F )denote a
square submatrix of B(F), of size n and rank no. Let Fa E asF.
Compactness of the Level Set n(J(F)), F E SF Then

Let asFdenote the boundary of SF, i.e., F E asFif and only if lirn J ( F ) is finite * lirn lim F)@(F)k'" e(
U(F ) = 0. (A9)
the closed-loop system matrix A +
BFD has at least one F-Fa
F E SF
k - m F+Fa
F E SF
eigenvalue on the unit circle and the remaining eigenvalues inside
the unit circle. To guarantee that SF is bounded (and thus that asF
exists in the sense defined), it is required that B and D have full Therefore,
column and row rank, respectively.
Consider then the unbounded-loss-at-the-boundary assumption, ( H ( F a ) , @(Fa))observable and
cf. the discussion after (18),
U ( F J )nonsingular for all Fa E as,. (A10)
lirn
inf J(F)=a.
Fa E aSF F-Fa * ('41)
F E SF
Note that in (A10) observability can be replaced by the weaker
The matrix function P ( F ) in (7) can be expressed as an infinite assumption of detectability as the unobservable modes then have
series corresponding eigenvalues strictly inside the unit circle.
m To summarize, ( A ,E , D ) is output feedback stabilizable, B and
P ( F ) = Z @ ( F ) ' U ( F ) U ( F ) ~ ( ~ ( F ) ' ) 7 (A21 D have full column and row rank, respectively, (H(Fa),@(Fa))
i=O detectable and U(F8) nonsingular for all Fa E asF= >

where @ ( F = +
) A BFD, and U ( F )U ( F )7 = R, + BFRLF7B7. 1) (Al)
Thus, the loss (5) can be written as 2 ) n ( J ( F ) ) = ( FE S , I J ( p ) < J ( F ) }
m is compact for any F E S F
J ( F ) = Z tr [ H ( F ) + ( F ) ' U ( F ) ] 3) thePLQproblem (17)has a minimizer in SF. , (A11)
i=O
Note that in (A1 l), ( 2 ) and (3) are implied by (1). This ends the
. [ H ( F ) @ ( F ) ' U ( F ) ] 7 + t FTRFR,
r (A3) short "intuitive" discussion on the meaning of the compactness
assumption (20), and of the related unbounded-loss-at-the-bound-
where H ( F ) 7 H ( F ) = Q + DTF7RFD,and F E SF. Let Fa E ary assumption. The compactness assumption is seen to be a most
as., Then natural assumption.

lim J ( F ) isfinite = limlim H ( F ) @ ( F ) ' U ( F ) = O . (A4) APPENDIX

B
F-Fa I+= F-Fa
F E SF F E SF PROOF OF THEOREM
3
Thus, if H(FJ)and U(Fa) are nonsingular for Fa E asF,then Take first (43a). Assume that (43a) isnot true. Then there
(A4) implies exists a subsequence {Fki}such that Fki E n ( J ( F 0 ) ) for all k; and
a number 6, > 0 such that IIGLA,kill;> 6 , . Therefore, there exists
lim lim +(F)'= 0, which is a contradiction. a number v, > 0 and an integer KI 2 0 such that
1-m F-Fa
F E SF T
t T GLA.ki&iGLA,kipki+I> V I for d l k;>Kl
Therefore,
H(Fa) and U(Fa)are nonsingular for all Fa E asF - (Al).
where the assumption that S^(F)and B ( F ) are positive definite on
n(J(FO))has been used. Then
J(Fki)-J(Fki+l)>Vl
fordl
k,rKl
MAKILA AND TONONEN: PARAMETRIC LQ PROBLEMS 669
due to (42), contradicting the existence of inf [ J ( F ) ,F E SF] 2 system, cf. (2), (3),
0. Thus, (43a) is true.
Use now the continuity of P ( F ) , (7), to get from (38)

pk+l-pk+o (B1)

due to (43a). Assume that (43b) is not true. Then there exists a
subsequence {Fkj} such that Fkj E II(J(F0))for all kj and a and the criterion
number h2 > 0 such that Il(aJ/dF)kjlli > d2. Therefore, there . A'-I
exists a number v2 > 0 and an integer K2 2 0 such that

where Q 2 0, R 2 0. Let Sdu) be defined as in (IOI), i.e., &(a)

denotes the set of stabilizing feedback gains for the scaled system
(D. 1). Note that

u2>ul * sF(u2) c SF(ul). (D.3)

Let the assumptions in (A.12) in Appendix A be fulfdled for
(D.l), (D.2). If SF(l)is nonempty, then for every H > 0 there
exists a number C ( H ) , such that
This is again a contradiction. Thus, (43b) is also true. 0
Note that GLA,k = 0 e (aJ/dF)k = 0. F E S F ( U ) and h ( F , u ) < H * u p ( A + B F D ) < C ( H ) < l (D.4)
uniformly on 0 < u 5 1 . Furthermore,from (D.I), (D.2) it
APPENDIX
C follows that for any F E &(ff2)
PROOF OF LEMMA1
U~>UI * h (~F2,) > h ( F , 01). 03.5)
Denote P = Pk+ and introduce the row string of P , y = rsP
= [Pll,P I 2 , * P,,] T. Thus, (45) defines a set of n X n
a ,
Consider then the following scaling algorithm for the initializa-
equations tion problem. Let { F , }be a sequence of feedback gains generated
by solving a sequence of problems .

f ( y , e )=o (C1)

where from (7)

where the sequence ( f f k } is determined as follows. If Fk E SF =
f ( y , @ = y - ( A + B F D )@ (A+BFD)y-rs(Rw+BFR,FTBT) &(I), the initialization problem is solved, else choose f f k
according to
and F = Fk + eGLA,k. Note that there exists an open set D E
R n x n + such that f(y, 0) is continuously differentiable on Q ,
where f(y k , I9 = 0) E 0.Furthermore,
where { A k } is a strictly monotonically increasing sequence of
positive numbers such that sUPk A k = 1, e.g.,
1
hk+I =- 2 , X, E (0, I), k=O, 1, 2, e.*. (D.8)

Then Fk E sdffk). From (DS), (D.6) and the fact that ak < 1 it
follows that if SF is nonempty,
h(Fk-1, U k ) < Illin h(F, 1) 0.9)
F E SF

and by (D.4) there then exists a number C such that

By the implicit function theorem there then exists open sets C C U ~ ~ ( A + B F ~ + I D ) I Cfor
<~ k=O, 1, 2, .... (D.10)
Rnxn+l and c R',with (yr,I9 = 0)' E C and I9 = 0 E +,
+
such that to every I9 E corresponds a unique y such that ( y T , From (D.7) and (D.lO) it then follows that
6)T E C andf( y , 19) = 0. By continuity there exists a number 6
> 0 such that for all 0 E [0, 6) C a, the equationf( y , 0) defines ffk+l
hk+ I
2- ffk. (D. 11)
F = Fk + I9GLA.k E SF. Thus, the Lemma is true. c
Since C < 1 and hk f 1, this implies that for some k, f f k 2 1,
APPENDIX
D i.e., Fk E SF, and the initialization problem is solved.
THEMETHOD OF SCALED SYSTEMS FOR THE INITIALIZATION Note that if it is only required that a local minimizer is found
PROBLEM while solving (D.6), then (D.9) maynotholdwhen there are
multiple local minima. However, if & ( f f k ) is connected for each k
In Section VII the scaled system (100) was related to the time- = 0, 1 , 2, * - then there still exists an H > 0 such that
e ,

weighted criterion (99) providing a useful interpretation of the

scaling technique. In a stochastic setting, introduce the scaled h ( F k +flf, k ) I H , k=O, 2, ' . ' 1 9 (D. 12)
670 IEEE TRANSA(ZTIONS ON AUTOMATIC CONTROL, VOL. AC-32, NO. 8, AUGUST 1987
where F . + , isa local minimizer of (D.6). Thus, (D.lO) and
(D.11) apply in this case as well. If SALT.)consists of discon-
nected sets for some k 2 0, then the algorithm can fail and should
be reinitialized with a different Fo.
REFERENCES
111 J. Ackermann, “Parameter space design of robust control systems,”
IEEE Trans. Automat. Contr., vol. AC-25, pp. 1058-1072. 1980.
121 B. D. 0. Anderson, “Second-order convergent algorithms for the
steady-state Riccati-equation.” Int. J. Contr., vol. 28, pp. 295-306,
1978.
[31 B. D. 0. Anderson,N. K. Bose, and E. I. Jury, “Output feedback
stabilization and related problems-Solution via decision methods.”
IEEE Trans. Automat. Contr., vol. AC-20. pp. 53-56. 1975.
r41 B. D. 0. Anderson and J. B. Moore, Linear OptimalControl.
Englewood Cliffs, NJ: Prentice-Hall, 1971.
151 M. J. Balas, “Trends in large space structure control theory: Fondest
hopes, wildest dreams,” IEEE Trans. Automat. Contr..vol. AC-27,
pp. 522-535, 1982.
[61 C. A. Bartels and G. W. Stewart, ‘Solution of the equation AX + XB
= C,” C.A.C.M.,VOI. 15, pp. 820-826. 1979.
171 C. A. Bavely and G. W. Stewart,“An algorithm for computing
reducing subspaces by block diagonalization,” SIAM J. Numer.
Anal., vol. 16. pp. 359-367, 1979.
181 C. S. Berger,“An algorithm for designing suboptimal dynamic
controllers,” IEEE Trans. Automat. Contr., vol. AC-19. pp. 596-
597,1974.
[91 D.S. Bernstein, L. D.Davis,and S. W. Greeley.“The optimal
projection equations for fixed-order sampled-data dynamic compensa-
tion with computation delay,” IEEE Trans. Automat. Contr., vol.
AC-31, pp. 859-862. 1986.
D. S. Bernstein and S. W. Greeley, “Robust controller synthesis using
the maximum entropy design equations,” IEEE Trans. Automat.
Contr., vol. AC-31, pp. 362-364, 1986.
S. P. Bingulac, N. K. Cuk,and M. S. Calovic, “Calculation of
optimum feedback gains for output-constrained regulators:” IEEE
Trans. Automat. Contr., vol. AC-20, pp. 164-166, 1975.
J. R. Broussard and N. Halyo. “Active flutter control using discrete
optimal constrained dynamic compensators,” in Proc. 1983 Amer.
Contr. Conf., San Francisco, CA, 1983.
~ 3 1 ~ “Optimal multi-rate output feedback,“ in Proc. 23rdIEEE
Coni Decision Contr., Las V e g a , N V , 1984.
141 P. E. Caines and D. Q. Mayne, “On the discrete time matrix Riccati
equation of optimal control,” Int. J. Contr., vol. 12. pp. 785-794,
1970.
-, “Onthediscrete time matrix Riccati equation of optimal
control,” Int. J. Contr., vol. 14. pp. 205-207, 1971.
A. J. Calise and D. D. Moerder, “Optimal output feedback design of
systems with ill-conditioned dynamics,” Automatica, vol. 21,pp.
271-276, 1985.
1171 R. M. Chamberlain, J. D. Powell, C. Lemarechal,and H. C. Pedersen,
“The watchdo- technique for forcing convergence in algorithms for
constrained opt”lmization,” Math. Progr. Study, vol.16, pp. 1-17,
1982.
K. C. Cheok, N. K. Loh, and M. A. Zohdy, “Discrete-time optimal
feedback controllers with time-multiplied performance indexes,”
IEEE Trans. Automat. Contr., vol. AC-30, pp. 494-496, 1985.
S.S. Choiand H. R. Sirisena, “Computation of optimal output
feedback gains for linear multivariable systems,” IEEE Trans.
Automat. Contr., vol. AC-19, pp. 257-258, 1974.
E. G. Collins, Jr. and R. E. Skelton, “A theory of state covariance
assignment fordiscretesystems,“ IEEE Trans. Automat. Contr.,
vol. AC-32, pp. 35-41, 1987.
r2 11 E. J . Davison and I. J. Ferguson, “The design of controllers for the
multivariable robust servomechanism problem using parameter optimi-
zation methods,” IEEE Trans. Automat. Contr., vol. AC-26, pp.
93-110, 1981.
E. J. Davison and U. Ozgiiner, “Characterizations of decentralized
modes for interconnected systems,” Automatica, vol. 19, pp. 169-
182, 1983.
P. Fleming, “A non-linear programming approach to the computer-
aided design of regulators using a linear quadratic formulation,” Int.
J. Contr., vol. 42, pp. 257-268, 1985.
R.Fletcher, Practical MethodsofOptimization, Vol. 1. New
York: Wiley, 1980.
D. Gangsaas, K. R. Bruce, J. D. Blight, and U.-L. Ly, “Application of
modern synthesis to aircraft control: Three case studies.” IEEE
Trans. Automat. Contr., vol. AC-31, pp. 995-1014, 1986.
J. C. Geromel and J. Bernussou, “ A n algorithm for optimal decentral-
ized control ofdynamic systems,” Automatica, vol. 15. pp. 489491,
1979.
[27] -, “Optimal decentralized control of dynamic systems,’’ Auto-
matica,
pp. vol. 18, 545-557, 1982.
[28] L. F. Godbout and D. Jordan, “Gradient matrices for output feedback
systems,” Int. J. Confr.,vol. 32. pp. 411-433. 1980.
1291 A. A. Goldstein, “On steepest descent,” J. SIAM Contr., Ser. A ,
V O ~ .3, pp. 147-151, 1965.
r301 G. C. Goodnjin and P. J. Ramadge, “Design of restricted complexity
adaptive controllers.” IEEE Trans. Automat. Contr., vol. AC-24,
pp. 584-588, 1979.
1311 G. Guardabassi, A. Locatelli. C. Maffezzoni, andN. Schiavoni,
“Computer-aided design of structurally constrained multivariable
regulators. Part 1: Problem statement, analysis andsolution,” IEE
Proc., vol. 130. Pt. D., pp. 155-164, 1983; Part2: Applications, IEE
Proc., vol. 130, Pt. D., pp. 165-172, 1983.
1321 N. Halyo and J. R. Broussard. “A convergent algorithm forthe
stochastic infinite-time discrete optimal output feedback problem,” in
Proc. Joint Automat. Contr. Conf..,Charlottesville. NC, 1981.
G. A. Hewer, “An iterative technique for the computation of the steady
state gains for the discrete optimal regulator,” IEEE Trans. Automat.
Contr., vol. AC-16, pp. 383-383, 1971.
W. E. Hopkins, Jr., J. Medanic, and W. R. Perkins. “Output feedback
pole placement in the design of suboptimal linear quadratic regula-
tors,” Int. J. Contr., vol. 34, pp. 593-612, 1981.
H. P. Horisberger and P. R. Belanger. “So,l,ution of the optimal output
feedback problem by conjugate gradients, IEEE Trans. Automat.
Contr.. vol. AC-19. pp. 434-435, 1974.
1361 D. C. Hyland and D. S. Bernstein, “The optimal projection equations
for fixed-order dynamiccompensation,” IEEE Trans. Automat.
Contr., vol. AC-29, pp. 1034-1037, 1984.
-, “The optimal projection equations for model reduction and the
relationships among the methods of Wilson, Skelton, and Moore,”
IEEE Trans. Automat. Contr., vol. AC-30, pp. 1201-1211, 1985.
1381 D. E. Johansen, Optimal Controlof Linear Stochastic Systems with
ComplexityConstraints. In Advances in ControlSystems, Vol.
4. New York: Academic, 1966.
A. J . h u b . “A Schur method for solving algebraic Riccati equations,”
IEEE Trans. Automat. Contr., vol. AC-24, pp. 913-921, 1979.
W. S. Levine and M. Athans, “On the determination of the optimal
constant output feedback gainsforlinear multivariable systems,’’
IEEE Trans. Automat. Contr., vol. AC-15. pp. 4448, 1970.
1411 D. P. Looze, “A dual 2ptimization procedure forlinearquadratic
robust control problems, Automatica. vol. 19, pp. 299-302, 1983.
r421 D. P. Looze and N. R. Sandell, Jr., “Gradient calculations for h e a r
quadratic fixed-control structure problems,“ IEEE Trans. Automat.
Contr.. vol. AC-25, pp. 285-288, 1980.
P.M.Makila, “Constrained linear quadratic gaussiT control for
process application,” Ph.D. dissertation, Swedish Univ. Abo, Finland,
1982.
-. “Linear quadratic design of structure-constrained controllers,”
in Proc. 1983 Amer. Contr. Conf.., San Francisco, CA, 1983.
-, “A self-tuning regulator based on optimal output feedback
theory,” Automatica, vol. 20. pp. 671-679, 1984.
-. “On the Anderson-Moore method for solvine the00timal outuut
feedback problem,” IEEE Trans. Automat. Con;.., voi. AC-29, pp.
834-836.
. ~1984.
-.
~. .
“Parametric LQ control,” Int. J. Contr., vol. 41, pp. 1413-
1428, 1985.
P.M. M W a and H. T.Toivonen, “On numerical methods for
parametric LQproblems,” in Proc. 1986 Amer. Contr. Conf.,
Seattle, WA. 1986.
P. M. Mgliila, T. Westerlund,andH. T. Toivonen, “Constrained
linear quadratic Gaussian control with process applications,” Auto-
matica, vol. 20. pp. 15-29, 1984.
D. Q . Mayne andM.Sahba,“An efficient algorithm for solving
inequalities,” J. Optimiz. Theory Appl., vol. 45. pp. 407423, 1985.
P. J. McLane, “Linear optimal stochastic control using instantaneous
output feedback,” Int. J. Contr., vol. 13, pp. 383-396, 1971.
J. Medanic, D.Petranovic,and N. Gluhajic, “The design of output
regulators for discrete-time linear systems by projective controls,” Int.
J. Contr.. vol. 41, pp. 615-639, 1985.
J. Medanic and Z. Uskokovic, “The design of optimal output
regulators forlinear multivariable systems with constant distur-
bances,” Int. J. Contr., vol. 37. pp. 809-830, 1983.
1541 L. F. Miller, R. G.Cochran,and J. W . Howze, “Output feedback
stabilization by minimization of a spectral radius functional.” Int. J.
Contr.: vol. 27, pp. 455-462. 1978.
D. D. Moerder and A. J. Calise, “Convergenceof a numerical
algorithm for calculating optimal output feedback gains,” IEEE
Trans. Automat. Contr., vol. AC-30, pp. 900-903, 1985.
1561 D. M. Moerder, N. Halyo, 3. R.Broussard,andA. K. Caglayan,
“Application of precomputed control laws in a reconfigurable aircraft
flight control system,’’ presented at the 1986 Amer.Contr.Conf.,
Seattle, WA, 1986.
J . O’Reilly, “Optimal instantaneous output feedback controllersfor
linear discrete-time systems with inaccessible state,” Int. J. Syst. Sci.,
VOI. 9. pp. 9-16, 1978.
-. Optimal Loworder Feedback Controllers for Linear Db-
Crete-Time Systems. In Control and Dynamic Systems. Vol. 16.
New York: Academic, 1980.
[591 M. J. D. Powell, “Some global convergence properties of a variable
metric algorithm for minimization without exact line searches,” in
Proc. Symp. Nonlinear Programming. Amer. Math. SOC., 1975.
MAKILA AKD TOIVONEN: PARAMETRIC LQ PROBLEMS
M. N. Prakash and A. T. Fam, ‘‘A geometric approach to stabilization
by output feedback,’‘ Int. J. Conrr.. vol. 37. pp. 111-125, 1983.
H. Ratschek and J. Rokne, Computer Methods for theRange of
Functions. Chichester: Ellis Horwood,1984.
S. Richter and R. DeCarlo. “A homotopy method for eigenvalue
assignment using decentralized state feedback.” IEEE Trans. Auto-
mat. Contr.. vol. AC-29, pp. 148-158, 1984.
N. R. Sandell. Jr.. P. Varaiya, M . Athans. andM. G . Safonov,
“Survey of decentralized control methods for large scale systems,”
IEEE Trans. Automat. Contr., vol. AC-23, pp. 108-128, 1978.
D. F. Shanno and K . H. Phua, “Xumerical comparison of several
variable-metric algorithms.” J. Optimiz. Theory Appl.. vol. 25, pp.
507-518. 1978.
hl. Sidar and B.-Z. Kurtaran. ”Optimal low-order controllers for linear
stochastic syqtrms.“ Inr. J. Conrr., vnl. 22,pp. 377-387, 1975.
T. Soderstrom. ”On some algorithms for design of optimal constrained
regulators.“ IEEE Trans. Automat. Contr.. vol. AC-23. pp. 1100-
1101. 1978.
C. B. Soh, C. S. Berger, and K. P. D a b h . ‘‘A simple approach to
stabilization of discrete-time systems by output feedback,” Int. J.
Conrr.. vol. 42. pp. 1481-1490, 1985.
Y. G. Srinivasa and T. Rajagopalan, ”Algorithms for the computation
of optimal output feedback gains,’’ in Proc. 18thIEEE Conf.
Deckion Contr., Fort Lauderdale. FL, 1979.
J. Stoer and R. Bulirsch, Inrroducrion to Numerica[Analysis. New
York: Springer-Verlag.1980.
H . T. Toivonen. “Multivariablecontrollerfordiscrete stochastic
amplitude-constrained systems,“ Modeling, Ident. Conrr., vol. 4 ,
pp. 83-93, 1983.
-. “A globally convergent algorithm for the optimal constant
output feedback problem,” Int. J. Contr.. vol. 41, pp. 1589-1599,
1985.
H . T. Toivonen and P. M . Makila, “A convergent Anderson-Moore
algorithm for optimal decentralized control,’‘ Automatica, vol. 21,
pp. 743-744. 1985.
~~ . “On Newton‘s method for solving parametric linear quadratic
control problems,’’ Int. J. Contr., 1987.
C. J. W’enk and C. H . Knapp, “Parameter optimization in linear
systems with arbitrarily constrained controllerstructure,” IEEE
Trans. Automar. Contr., vol. AC-25. pp. 496-500, 1980.
67 1
[75] T. Westerlund, “A digital quality control system for an industrial dry
process rotary cement kiln,” IEEETrans. Automat. Contr., vol.
AC-26, pp. 885-890, 1981.
[76] Y. Xi and G . Schmidt, “A note on the location of the roots of a
polynomial,” IEEE Trans. Automat. Contr., vol. AC-30, pp. 78-
80, 1985.
[77] T. Yahagi, “A new method of optimal digital PID feedback control,”
Innt. J. Contr., vol. 18, pp. 849-861, 1973.
Pertti M. Makila (SM’84) was born in Turku,
Finland, in 1954. He received the M.Sc. and Ph.D.
degrees in chemical engi$eering in 1978 and 1983,
respectively, both from Abo Akademi (the Swedish
University of Abo), Turku, Finland.
He has been a Senior Fulbright Scholar at the
University of California, Berkeley, Gendron Fellow
at the Pulp and Paper Research Institute of Canada,
Montreal and Vancouver, and manager of paper
mill surveys at the R&D Department of Valmet,
Inc.,Turku. Presently he is a Senior Research
Fellow at the Academy of Finland. His research interests include process
control, adaptive control, and stochastic control theory.
Hmnu T. Toivonen (“80) was born in Turku
. (Abo), Finland, in 1952. He received the M.Sc.
and Ph.D. degrees inchemical engineering in 1976
and 1981, respectively, both from Abo Akademi
’ , (the Swedish University of Abo), Turku,Finland.
From 1979 to1981 he was employed asa
Research Fellow of the Academy of Finland, and
from 1982 to 1983 he was a Postdoctoral Fellow at
the Norwegian Institute of Technology, Trondheim,
Norway. His research interests include applications
of stochastic control theory,self-tuning control, and
nonjinear programming.