International Journal of Control

ISSN: 0020-7179 (Print) 1366-5820 (Online) Journal homepage: http://www.tandfonline.com/loi/tcon20

A stochastic PID controller for a class of MIMO

systems

Samer S. Saab

To cite this article: Samer S. Saab (2016): A stochastic PID controller for a class of MIMO
systems, International Journal of Control, DOI: 10.1080/00207179.2016.1183176

To link to this article: http://dx.doi.org/10.1080/00207179.2016.1183176

Accepted author version posted online: 02

May 2016.
Published online: 13 Jul 2016.

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Download by: [Lebanese American University Libraries] Date: 25 November 2016, At: 01:36
INTERNATIONAL JOURNAL OF CONTROL, 
http://dx.doi.org/./..

A stochastic PID controller for a class of MIMO systems

Samer S. Saab
Department of Electrical and Computer Engineering, Lebanese American University, Byblos, Lebanon

ABSTRACT ARTICLE HISTORY

This paper deals with the design of a controller possessing tracking capability of any realisable refer- Received  June 
ence trajectory while rejecting measurement noise. We consider discrete-time-varying multi-input Accepted  April 
multi-output stable linear systems and a proportional-integral-derivative (PID) controller. A novel
KEYWORDS
recursive algorithm estimating the time-varying PID gains is proposed. The development of the pro- Multivariable control;
posed algorithm is based on minimising a stochastic performance index. The implementation of the proportional-integral-
proposed algorithm is described and boundedness of trajectories and convergence characteristics derivative (PID) controller;
are presented for a discretised continuous-time model. Simulation results are included to illustrate discrete-time-varying
the performance capabilities of the proposed algorithm. systems; parameter
optimisation; measurement
noise; sampling rate

1. Introduction proposed by Reynoso-Meza et al. (2013). Wang et al.

(2013) successfully implemented their design to an indus-
Proportional-integral-derivative (PID) control is con-
trial plant. Their approach does not require any knowl-
sidered to be one of the earlier control strategies and
edge of the plant model including the order of the system.
remains to be the most common control scheme used
However, the system under consideration is assumed to
in industry. The acceptance of PID controllers can be
be asymptotically stable linear time-invariant subject to
credited to its effective performance and its simple struc-
constant reference and disturbance signals. Other tech-
ture and implementation. In addition, the contribution
niques based on Lyapunov stability analysis are proposed
produced by each of their three terms is well com-
for PID tuning (see, e.g., Chuan-ke, Jiang, Wu, Yong, &
prehended by plant operators and adjusting their gains
Min, 2013; Mendoza, Zavala-Río, Santibáñez, & Reyes,
becomes a relatively straightforward task. Usually, oper-
2015; Orrante-Sakanassi & Hernández-Guzmán, 2014).
ators tune the three gains manually relying on a trial-
A relationship between delay margins and control gains
and-error approach. Such operation can take consider-
is studied for delay-dependent load frequency control
able time if done diligently (Gawthrop & Nomikos, 1990).
(Chuan-ke et al., 2013). Another recent technique for
Several classical methods have been developed that help
selecting appropriate PID gains for a class of MIMO
in systematically tuning the gains. The classical meth-
systems is achieved by stabilising an augmented system
ods, which are summarised in Gawthrop and Nomikos
where a solution is obtained by treating the augmented
(1990) and a survey of different adaptive techniques pre-
system as a static output feedback (SOF) problem (Saab
sented in Åström, Hägglund, Hang, and Ho (1993), are
& Toukhtarian, 2015). Another category for tuning PID
applicable to single-input single-output asymptotically
gains is based on employing various intelligent control
stable systems. Automatic tuning or adequate selection
schemes. Such methods mostly consider nonlinear sys-
of PID gains becomes more challenging when consider-
tems, among those methods; techniques that employ sim-
ing multi-input multi-output (MIMO) systems. Substan-
ulated annealing or genetic algorithms (see, e.g., Hamet-
tial amount of work pertaining to analytically determin-
ner, Mayr, Kozek, & Jakubek, 2013; Ming-Hao Hung,
ing or tuning PID gains for various MIMO systems has
Li-Sun, Shinn-Jang, Shiow-Fen, & Shinn-Ying, 2008;
been proposed. One approach is based on optimal con-
Neath, Swain, Madawala, & Thrimawithana, 2014), neu-
trol (see, e.g., Cao & Chen, 2014a; Cao & Chen, 2014b;
ral network (see, e.g., Cong & Liang, 2009; Jing & Cheng,
Choi & Chung, 2005; Reynoso-Meza, García-Nieto,
2013; Wen & Rosen, 2013) and several techniques that
Sanchis, & Blasco, 2013; Wang, Davison, & Davison,
are based on fuzzy strategies (see, e.g., Harinath & Mann,
2013). A flexible multi-objective optimisation tuning
2008; Mannani & Talebi, 2007; Mannani & Talebi, 2011;
design for a class of nonlinear systems has been recently
Tao, Taur, Chang, & Chang, 2010). All the proposed
CONTACT Samer S. Saab ssaab@lau.edu.lb
©  Informa UK Limited, trading as Taylor & Francis Group
2 S. S. SAAB
methods above and many others come with a number of
unique features.
A problem with PID controller is in its derivative
term. This term amplifies higher frequency measurement
noise that can cause significant degradation in the track-
ing performance. Many proposed PID controllers embed
different robust designs limiting the effects of higher
frequency noise. Even if the approach was based on a
holistic multi-objective optimisation design, difficulties
in assigning weights that relate different performance cri-
teria and robustness would arise (Romero, Hägglund, &
Åström, 2014). During the past few years, considerable
efforts have been oriented towards the remedy of mea-
surement noise (see, e.g., Chang & Jung, 2009; Isaksson
& Graebe, 2002; Kristiansson & Lennartson, 2006; Lars-
son & Hägglund, 2011; Lee, Shin, & Chung, 2012; Romero
et al., 2014; Sekara & Matausek, 2009; Skogestad, 2006;
Tan et al., 2012). In order to reduce the effects of noise,
a method for tuning the gains is proposed (Skogestad,
2006). Another approach is the implementation of a fil-
ter with some specific time constant. The selections of
PID gains and filter time constant are optimally deter-
mined based on a performance index (Isaksson & Graebe,
2002; Kristiansson & Lennartson, 2006; Romero et al.,
2014; Sekara & Matausek, 2009). A significant reduc-
tion in noise is achieved when employing a second order
Butterworth filter at a cost of a moderate decrease of per-
formance (Romero et al., 2014).
However, most of the proposed published works do
not explicitly deal with rejecting measurement noise as
they are mostly based or derived on a deterministic
approach including minimising a deterministic perfor-
mance index such as the integral square error, the integral
absolute error and the integral time absolute error.
This paper presents a novel recursive algorithm for
producing the PID gains. Unlike the traditional perfor-
mance index employed in the PID literature, we use a
stochastic performance index. In particular, the develop-
ment of the algorithm is based on minimising the covari-
ance of the state error and the input error. In this work,
we consider MIMO discrete-time-varying asymptotically
stable linear systems with zero-mean white process noise
and measurement noise. A sufficient condition is pre-
sented for the boundedness of all trajectories and con-
vergence requiring the product of the output-coupling
matrix and the input-coupling matrix to be full-column
rank. The key contribution of this paper is in showing that
a standalone PID controller can reject measurement noise
without the use of any filter and, yet, providing bound-
edness of all trajectories and tracking of realisable ref-
erence trajectories in the absence of process noise. The
advantages of the proposed recursive algorithm are as
follows:
r Discrete-time implementation and automatic PID
gains selection.
r Estimation of the covariance of the state error and
the covariance of the input error at every time sam-
ples. That is, the plant operator can estimate the
overall performance of a controlled plant at all times
by simply running the proposed recursive algo-
rithm.
r Ability of rejecting measurement noise and errors
due to erroneous initial conditions.
r Capability of achieving arbitrary small errors, while
considering a discretised continuous-time model,
for sufficiently small sampling period, in the pres-
ence of measurement noise and erroneous initial
conditions.
It is important to note that the ability of rejecting
measurement noise along with the above characteristics
are also demonstrated for Stochastic Iterative Learning
Control (SILC) in Saab (2001) and Saab (2005), and for
other SILC algorithms the reader is referred to Shen and
Wang (2014) and relevant references therein. However,
the major drawbacks of Iterative Learning Control (ILC)
algorithms are (1) implementation requires repetitions,
(2) does not work well under non-repetitive dynamics
and (3) different implementation is needed for different
reference trajectories. The latter drawbacks are irrelevant
to our proposed approach.
The effectiveness of the proposed method is con-
firmed numerically for a linear time-varying system with
two inputs and two outputs, and performance is com-
pared with a method recently proposed in Saab and
Toukhtarian (2015). In addition, we compare the pro-
posed controller to a model reference adaptive control
(MRAC) (Guo, Liu, & Tao, 2009) while considering a lat-
eral motion dynamic model of a large transport airplane.
The rest of the paper is organised as follows. Section 2
defines the system under consideration and the associated
control problem formulation. The proposed recursive
algorithm and its characteristics are given in Section 3,
followed by numerical examples in Section 4. The paper
ends with conclusions. The proofs of all results are
provided in the Appendix.
2. System descriptions and problem
formulation
The system under consideration is a MIMO discrete-
time-varying system described by the following state-
space equation:
x (k + 1) = A (k) x (k) + B (k) u (k) + w(k)
y (k) = C (k) x (k) + v (k) (1)

where the argument k ∈ Z+ is the discrete-time index,
x(k) ∈ n is the system state, w(k) ∈ n is the process
noise or random state disturbance, y(k) ∈ q is the mea-
sured output and C(k)x(k) is the output, u(k) ∈  p is
the system input and the measurement error v (k) ∈ q .
It is worthwhile noting that the values of the parame-
ters and variables in Equation (1) depend on the mag-
nitude of the sampling period whenever the system in
Equation (1) is the result of a discretised continuous
system. It is assumed that either the plant is inherently
discrete-time, or that model (1) is described by an under-
lying linear continuous-time-varying model, which is
sampled with Ts > 0 sampling period and with a zero-
order hold. The values of the parameters and variables in
Equation (1) depend on the magnitude of the sampling
period whenever the system in Equation (1) is the result
of a discretised continuous-time system.
The control objective is to design an output feed-
back control vector u(k) to make all signals in the
closed-loop system bounded under initialisation errors,
measurement noise and random state disturbance. In
addition, it is desired to have the output vector y(k)
asymptotically track a given reference vector yd (k) in
the presence of measurement noise and initialisation
errors. The problem becomes similar to a SOF prob-
lem. Although many approaches and techniques exist to
approach different versions of the problem, no efficient
non-iterative algorithmic solutions are available and even
the simplest SOF case is rather involved. On the other
hand, PID controllers do not normally require full-state
feedback and, due to their integral action, can achieve
asymptotic tracking (see, e.g., Saab & Toukhtarian, 2015).
However, the desired tracking should be achieved in
the presence of measurement noise. Consequently, the
selection of the PID gains could be based on minimis-
ing a stochastic performance index, which may require
some model-based designs. Such characteristics inspire
the consideration of a stochastic-based PID controller for
the problem at hand.
Notations: We denote by E[.] to be the expecta-
tion operator, Im ∈ m × m the identity matrix, λ(M) the
eigenvalues of M and tr(.) the trace operator
Assumptions:
(A1) The system matrices [ A(k) B(k) C(k) ] are
assumed to be bounded for all k and as k → ∞.
(A2) For any realisable output trajectory or refer-
ence signal, yd (k) = [y1,d (k)...yq,d (k)]T , and an appro-
priate initial condition xd (0), there exists a control input
ud (k) ∈  p generating the desired output trajectory,
yd (k), for the nominal plant. That is, the following dif-
ference equation is satisfied:
xd (k + 1) = A(k)xd (k) + B(k)ud (k)
yd (k) = C(k)xd (k) (2)
INTERNATIONAL JOURNAL OF CONTROL 3
where xd (k) is the state response due to ud (k) with a given
xd (0) such that yd (0) = C(0)xd (0).
(A3) v(.) and w(.) are zero-mean white noise processes
mutually uncorrelated with each other and with x(0).
E[w(k)w(k)T ] = Q(k) and E[v (k)v (k)T ] = R(k) where
Q(k) = Q(k)T positive semi-definite matrix and R(k) =
R(k)T positive-definite matrix.
In addition, the matrix E[(xd (0) − x(0))(xd (0) −
x(0))T ] is positive semi-definite.
(A1)–(A3) are assumed to hold throughout this paper.
The control law1 under consideration is given by

3
u (k + 1) = u (k) + Ki (k) e (k + 2 − i) (3)
i=1
where the matrices Ki (k), i ∈ {1, 2, 3}, represent the
(p × q) learning gains, e(k) ≡ yd (k) − y(k) is the out-
put measurement error due to the control action u(k) and
u(k) = 0 for k ≤ 1. Consequently, we set Ki (0) ≡ 0, i ∈
{1, 2, 3}.
Define the state and the input errors as δx(k) ≡
xd (k) − x(k) and δu(k) ≡ ud (k) − u(k), respectively.
For compactness of presentation, we denote
A ≡ A(k), B ≡ B(k), C ≡ C(k), C+ ≡ C(k + 1),
A− ≡ A(k − 1), B− ≡ B(k − 1), C− ≡ C(k − 1),
Ki ≡ Ki (k), i ∈ {1, 2, 3} .
The error model corresponding to the update law can
be derived from Equation (3) as follows:
δu(k + 1) = δu(k) − K1 e(k + 1) − K2 e(k)
− K3 e(k − 1) + ud (k) (4)
where ud (k) ≡ ud (k + 1) − ud (k). Equations (1) and
(2) yield
δx(k + 1) = Aδx(k) + Bδu(k) − w(k) (5)
which further lead to

e(k + 1) = C+ A A− δx(k − 1) + B− δu(k − 1)

− w(k − 1) + C+ Bδu(k)
− C+ w(k) − v (k + 1) (6)
Similarly, we can obtain
e(k) = CA− δx(k − 1) + CB− δu(k − 1)
− Cw(k − 1) − v (k) (7)
e(k − 1) = C− δx(k − 1) − v (k − 1) (8)
4 S. S. SAAB

Inserting Equations (6)–(8) in Equation (4) and rear- Notations: Let us denote, for convenience,
ranging terms, we arrive to
P+ ≡ E[X + X + T ], P ≡ E[XX T ],
δu(k + 1)
  Pu ≡ E[δu(k)δu(k)T ]
= (I − K1C+ B)δu(k) − K1C+ AB− + K2CB− δu(k − 1)
  Pu+ ≡ E[δu(k + 1)δu(k + 1)T ],
− K1C+ AA− + K2CA− + K3C− δx(k − 1) +
Puu − ≡ E[δu(k + 1)δu(k) ]
T
 
+ K1C+ w(k) + K1C+ A + K2C w(k − 1) Puu− ≡ E[δu(k)δu(k − 1)T ],
+ K1 v (k + 1) + K2 v (k) + K3 v (k − 1) + ud (k) (9) Px ≡ E[δx(k)δx(k)T ]
Px− ≡ E[δx(k − 1)δx(k − 1)T ],
In order to arrange Equations (10) and (14) into an
Pu− ≡ E[δu(k − 1)δu(k − 1)T ]
augmented system, we define
d ≡ E[ud (k)ud (k)T ], Q ≡ Q(k), Q− ≡ Q(k − 1)
⎡ ⎤ ⎡ ⎤
δu(k) δu(k + 1)
X ≡ ⎣ δu(k − 1) ⎦ , X + ≡ ⎣ δu(k) ⎦ , R+ ≡ R(k + 1), R ≡ R(k), R− ≡ R(k − 1)
δx(k − 1) δx(k)  +   
⎡ ⎤ C B C+ AB− Pu Puu−
v (k + 1) N̂ ≡ , P̂u ≡ ,
⎡ ⎤ 0 CB− Puu− Pu−
⎢ v (k) ⎥ ud (k) ⎡ + ⎤ ⎡ ⎤
⎢ ⎥ C B C+ AB− 0
Z≡⎢ ⎥
⎢ v (k − 1) ⎥ ,  ≡
⎣ 0 ⎦. Pu Puu− 0
⎣ w(k) ⎦ ⎣
N̄ ≡ 0 CB − ⎦ ⎣
0 , E1 ≡ Puu− Pu− T
0⎦
0
w(k − 1) 0 0 0 0 0 0

We combine Equations (5) and (9) to obtain Minimisation of the mean-square errors of u(k + 1),
u(k) and x(k) is equivalent to minimisation of the mean-
X + = X + Z +  (10) square errors of X + , which is also equivalent to min-
imisation of tr(P+ ). Note that tr(P+ ) = E(δu2 (k + 1)) +
where E(δu2 (k)) + E(δx2 (k)) is a sum of positive terms. Con-
sequently, in order to minimise tr(P+ ) with respect to
⎡ ⎤ Ki , i ∈ {1, 2, 3}, at each kth instant in time, we set
1 2 3 1 ≡ (I − K1C+ B)
 ≡ ⎣ I 0 0 ⎦, 2 ≡ −(K1C+ AB− + K2CB− )
0 B− A − 3 ≡ −(K1C+ AA− + K2CA− + K3C− ) ∂P+
⎡ ⎤ = 0, i ∈ {1, 2, 3} (11)
K1 K2 K3 K1C+ K1C+ A + K2C ∂Ki
≡⎣ 0 0 0 0 0 ⎦
0 0 0 I 0 where

Problem 2.1. Statement: Consider the system presented P+ = E (X − Z + ) (X − Z + )T (12)
in Equation (1) under Assumptions (A1)–(A3). Find
the gains Ki (k), i ∈ {1, 2, 3}, of the PID controller (3), The proposed recursive algorithm requires that a
that minimise the mean-square errors corresponding to matrix, S(k), to be non-singular. The following proposi-
u(k + 1) and x(k + 1). tion defines this matrix and guarantees its positive defi-
niteness.
Proposition 3.1: For all k ≥ 0, the 3q × 3q matrix, S(k),
3. Main results with its block elements Si j defined in the following, is
This section presents the proposed recursive algorithm symmetric and positive definite.
and its characteristics pertaining to the boundedness and
convergence of trajectories. By boundedness, it is meant  T
S11 ≡ C+ BPu (C+ B)T + C+ AA− Px− C+ AA−
that all system trajectories including the state, input and  T  T
output are bounded for all k ≥ 0. + C+ AB− Pu− C+ AB− + C+ BPuu− C+ AB−
   T
+ C+ AB− PuuT + T
− (C B) + R+ + C+ A Q− C+ A
+ C+ QC+
T
3.1. PID gains
 T    T
In this section, we develop the proposed recursive S12 ≡ C+ AA− Px− CA− + C+ AB− Pu− CB−
algorithm. + C+ AQ−CT + C+ BPuu− (CB− )
 INTERNATIONAL JOURNAL OF CONTROL 5

 − T Puu− (k)], whereas, Corollary 3.1 provides a contraction

+
S13 ≡C AA− Px−
C , relationship among the pairs. The latter characteristics do
− −
 − T  −  −  − T not assume stability of system (1). Theorems 3.1 and 3.2
S22 ≡ CA Px CA + CB Pu CB + R + CQ−CT
disclose boundedness of all trajectories and some con-
 T  T vergence characteristics assuming system stability. The
S23 ≡ CA− Px− C− , S33 ≡ C− Px− C− + R− ,
proofs of all results are provided in the Appendix.
S21 ≡ ST12 , S31 ≡ ST13 and S32 ≡ ST23 ,
Proposition 3.2: If, for k = 1, Pu (k) and Puu− (k) are
symmetric matrices, then they are symmetric for all
Proposed recursive algorithm: The following four equa-
k ≥ 1.
tions reveal the proposed recursive algorithm for updat-
ing the gains Ki (k), i ∈ {1, 2, 3}, and updating the The subsequent results employ a 2q × 2q matrix, S̄−1 2q .
estimates of the state error and input error covariance The development of this matrix is first elaborated. Let
matrices, for all k > 0: S̄ ≡ S − N̄E1 N̄ T . Equation (A1), of the Appendix, shows
that S = N̄E1 N̄ T + a symmetric positive-definite matrix.
 Therefore, S̄ is a symmetric positive-definite matrix. Con-
K(k) = K1 (k) K2 (k) K3 (k)
  sequently, S̄−1 is also a positive-definite matrix includ-
Pu (k)(C(k + 1)B(k))T + ing all its leading principal minors (Sylvester’s criterion).
=
Puu− (k)(C(k + 1)A(k)B(k − 1))T Let S̄−1 −1
2q be the 2qth leading principal minor of S̄ (first
  
Puu− (k)× 2q × 2q block of matrix S̄−1 ). It is worthwhile noting
× 0 S(k)−1 (13)
(C(k)B(k − 1))T that when C(k + 1)B(k) is full-column rank ∀k, then N̂
becomes full-column rank.
Px (k) = A(k − 1)Px (k − 1)A(k − 1)T
Proposition 3.3: If P̂u is symmetric positive definite,
+ B(k − 1)Pu (k − 1)B(k − 1)T + Q(k − 1)
then
(14)    
Pu+ Ip 0  −1  P   
+ = I2p + P̂u N̂ T S̄−1
2q N̂ u
+ d
Puu− (k + 1) = 1 (k)Pu (k) + 2 (k)Puu
T
− (k) (15) Puu − Ip 0 Puu− 0
(17)
Pu (k + 1) = 1 (k)Pu (k) + 2 (k)Puu
T
− (k) + d (k)

(16)
Lemma 3.1: If C(k + 1)B(k) is full-column rank, ∀ k ≥
where 1 (k) ≡ I − K1 (k)C(k + 1)B(k), 2 (k) ≡ 0, Pu (1) and Puu− (1) are symmetric positive-definite
−K1 (k)C(k + 1)A(k)B(k − 1) − K2 (k)C(k)B(k − 1), matrices, then the update law given in Equation (3) and
the matrix S(k) is as defined in Proposition 3.1, and the recursive algorithm presented by Equations (13)–(16)
Pu (1) and Puu− (1) are initially set such that they are guarantee that Pu (k), Puu− (k) and P̂u (k) are symmetric
symmetric positive-definite matrices. positive-definite matrices ∀ k > 0. Moreover, the eigen-
The detailed development of the recursive algorithm is values of (I2p + P̂u N̂ T S̄−1
2q N̂ )
−1
are positive and less than
provided in the Appendix. Although the above recursive one, that is, ∀ k > 0
algorithm is developed based on minimizing the trace of  −1 
the error covariance matrix, the proposed algorithm can- T −1
0 < λ I2p + P̂u N̂ S̄2q N̂ <1 (18)
not be considered optimal since its development neglects
the correlation between the input error and state error.
Corollary 3.1: There exists a consistent norm
.
such
that ∀ k > 0:
3.2. Boundedness and convergence characteristics
This section presents basic characteristics of the proposed
algorithm. The presented characteristics basically assume
that C(k + 1)B(k) is full-column rank, ∀ k ≥ 0 and sys-
tem (1) is asymptotically stable. Proposition 3.2 states that
Pu (k) and Puu− (k) are always symmetric, the first part of
Lemma 3.1 shows that P̂u (k) is always symmetric and pos-
itive definite, and provides a contraction condition rele-
vant to the input error. Proposition 3.3 presents a relation
between the couple [Pu (k + 1), Puu− (k + 1)] and [Pu (k),
     
 Pu (k + 1)   Pu (k)   
 <  +  d  (19)
 Puu− (k + 1)   Puu− (k)   0 
Theorem 3.1: Assume that C(k + 1)B(k) is full-column
rank, ∀ k ≥ 0, Pu (1) and Puu− (1) are symmetric positive-
definite matrices, and the system in Equation (1) is
asymptotically stable. If there exists a k1 > 0 such that
ud (k) = ud (k + 1) ∀ k ≥ k1 , then the update law given
in Equation (3) and the recursive algorithm presented
by Equations (13)–(16) guarantee that all trajectories are
6 S. S. SAAB
bounded. In addition,
lim Pu (k) = 0 (20)
k→∞
Furthermore, if ∀k, w(k) = 0,
lim Px (k) = 0 (21)
k→∞
Remark 3.1: The assumption that ud (k) = ud (k + 1),
∀ k ≥ k1 is rather restrictive and especially for time-
varying systems. However, Theorem 3.1 indicates the
capability of the controller in rejecting random mea-
surement errors, random initial conditions and random
state disturbances. However, zero-error output conver-
gence (21) requires absence of random state disturbances.
The capability of rejecting random measurement errors
is further justified with a numerical example in Section 4
whenever ud (k) = ud (k + 1), ∀k.
Remark 3.2: limk → ∞ Pu (k) = 0 ⇒ limk → ∞ Puu− (k) =
0. Consequently, Equation (13) implies that
limk → ∞ K(k) = 0.
In what follows, we consider a discretised plant.
Definition 3.1: A trajectory ud (k) is said to be a smooth
function provided that for any given sampling period Ts
and any consistent norm
.
, ∃cu > 0 such that ∀ k ≥ 0, rank requires that the number of outputs is greater than or
ud (k + 1) − ud (k)
≤ cu Ts . equal to the number of inputs. The latter is a consequence
Theorem 3.2: Assume that C(k + 1)B(k) is full-column
rank, ∀ k ≥ 0, Pu (1) and Puu− (1) are symmetric positive-
definite matrices and the system in Equation (1) is asymp-
totically stable. The update law given in Equation (3) and
the recursive algorithm presented by Equations (13)–(16)
guarantee that all trajectories are bounded. Furthermore,
if the trajectory of ud (k) is a smooth function, then there
exists a positive constant cu such that
lim
Pu (k)
≤ cu Ts (22) while considering a modified PID controller, as sug-
k→∞
and if ∀k, w(k) = 0, then there exists a positive constant
cx such that
lim
Px (k)
≤ cx Ts (23) delays in u(k − μ + 1) should compensate for observing
k→∞
Remark 3.3: Equation (23) implies that the steady-state
output error decreases as the sampling period decreases
in the presence of measurement noise and in the absence
of process noise. That is, arbitrary small errors can be
achieved at steady state for sufficiently large sampling
rate. Theorem 3.2 does not indicate what sampling rate to
choose in order to achieve a desired error bound. How-
ever, while proving limk → ∞
Px (k)
≤ cx Ts , cx is shown for single-input single-output linear time-invariant sys-
to be proportional to cs and also cs is proportional to cu ,
where cu is defined in Definition 3.1. That is, smaller cu
leads to smaller cx and smaller bound on the steady-state
error. In addition, cu , which depends on both the plant
and desired trajectory bandwidth, should decrease as the
bandwidth of the desired output trajectory decreases.
Therefore, for a specific tolerance of the steady-state error,
the choice of the sampling rate should depend on the
bandwidth of the output desired trajectory. That is, larger
sampling rate should be employed for desired trajectories
with higher bandwidth.
Remark 3.4: Based on numerical results, it is observed
that whenever the size of process noise and/or mea-
surement noise is large, better performance is obtained
when Ts is made smaller right after the transient period.
As shown in the proof of Theorem 3.2, the error due
to erroneous initial condition is reflected in mo (k) =
 k−1
j = 0 M( j)P(0) where 0 < M( j) < 1, ∀ j. However, as
Ts is made smaller, M( j) gets closer to 1. This phe-
nomenon can lead to ineffectively rejecting the errors due
to erroneous initial condition. Consequently, whenever
the overall performance is not satisfactory while using
a fixed sampling rate, it is suggested considering imple-
mentation of an adaptive sampling rate strategy where the
sampling rate is increased after the transient period.
Remark 3.5: Assuming that C(k + 1)B(k) is full-column
for contracting the covariance of the input and state errors
associated while considering the proposed recursive algo-
rithm that generates the PID gains. However, in the case
where the number of inputs is greater than the number
of outputs, another approach may be needed where the
development of the PID gains can based on minimising
the trace of the output error covariance.
Remark 3.6: In this work, the plant relative degree
μ = 1 is assumed. However, for μ > 1, it is worth-
gested in Saab (2007), while finding appropriate
gains that result in closed-loop stability. In particu-
lar, the modifiedcontroller has the form: u(k + 1) =
u(k − μ + 1) + 3i = 1 Ki (k)e(k + 2 − i). The μ − 1
the associated output error for plants with arbitrary
relative degree.
Remark 3.7: In this work, it is assumed that the plant
is asymptotically stable. For a class of unstable plants,
as illustrated in Saab and Toukhtarian (2015), a higher-
order controller
 may be needed, that is, u(k + 1) =
u(k) + li = 1 Ki (k)e(k + 2 − i) with l > 3. The latter
can be motivated while considering root-locus analysis
tem. In this case, the controller (with l > 3) would result
 INTERNATIONAL JOURNAL OF CONTROL 7

in adding more zeros inside the unit circle attracting more

unstable modes.

4. Numerical example
In this section, we illustrate the implementation and per-
formance of the proposed recursive algorithm while con-
sidering two examples with different models. All numer-
ical simulations are carried out using MATLAB. All ran-
dom errors are assumed to be zero-mean white Gaussian
noise. The norm,
.
, employed throughout this example
is the 2-norm.
Example 4.1: We consider a two-input two-output sys-
tem with plant nominal parameters [ An (k) Bn (k) C ] to Figure . Open-loop response using the reference model.
update the output of the plant. The role of the nominal
model is basically to depict the actual plant, which may
considered, ∀ k ≥ 0:
not be available to the controller. An erroneous model
of the plant is considered as a reference model in order 
yd1 (k) = −15
to only update the recursive formulas, [ A(k) B(k) C ] Trajectory A :
yd2 (k) = 10
used to update the recursive formulas (13)–(16). How- 
ever, since the algorithm implicitly assumes knowledge yd1 (k) = −50 sin(kTs )
Trajectory B :
of the nominal plant, in few scenarios, we compare the yd2 (k) = 50 cos(2kTs )
performance whenever Equations (13)–(16) employ the
nominal plant as an ‘optimal’ case versus the erroneous 4.1. Sensitivity of modelling errors and time
plant as a non-optimal case. In the following, we present variation
the nominal and reference parameters employed in this
study. In order to check for the sensitivity of modelling errors,
we compute the input corresponding to Trajectory A
using the inverse dynamics of the reference model and
An (k) = then apply the resulting open-loop control to the nom-
⎡ ⎤
−2.85 −1.9 1.05 inal model. We consider zero error at the initial state;
I3 + Ts ⎣ 0.95 −4.75 + cos(an1 kTs ) −1 ⎦ that is, we set x(0) ≡ xd (0). Figure 1 depicts the result-
1.9 −1.05 −6.3 + sin(bn1 kTs ) ing response. By examining Figure 1, it can be observed
A(k) = that the output diverges away from desired trajectory as
⎡ ⎤
−3 −2 1. time increases. Figure 2 shows the nominal desired trajec-
I3 + Ts ⎣ 1 −5 + cos(a1 kTs ) −1 ⎦ tories of ud1 (k) and ud2 (k) needed to generate Trajectory
2 −1 −6 + sin(b1 kTs ) A in the absence of process noise. Although the desired
outputs are constants, the controller possesses significant
time variation.

⎡ ⎤
0 0 4.2. Robustness and rejection of measurement noise
Bn (k) = Ts ⎣ 4.75 sin(an1 kTs ) ⎦ ,
cos(bn1 kTs ) 5.25 We consider the following performance measures for the
⎡ ⎤ errors corresponding to ξ ∈ {x1 , x2 , x3 , u1 , u2 }: |δξ (k)| is
0 0
the absolute error and sqrt(Pξ (k)) is the square root of the
B(k) = Ts ⎣ 5 sin(a1 kTs ) ⎦
diagonal element corresponding to ξ extracted from the
cos(b1 kTs ) 5
recursive Equations (13) and (16). However, Equations
(13)–(16) employ the reference model and not the nom-
Ts is the sampling period, an1 = 1.05, a1 = 1, bn1 = inal one. The latter measure is an estimate of the error
1.9 and b1 = 2. The output-coupling matrix is given by standard deviation estimated by the proposed recursive
C = [ 00 10 01 ]. That is, y1 (k) = x2 (k) and y2 (y) = x3 (k). algorithm. These two measures are mostly used in vari-
The following two sets of desired output trajectories are ous figures presented in this example. avgt ∈ [t1 ,t2 ] |δξ (k)|,
8 S. S. SAAB

Figure . |δξ (k)| and sqrt(Pξ (k)), ξ ∈ [x2 , x3 ] with Qk = 4I3 ,

Figure . ud (k) and ud (k) for Trajectory A. Rk = 2500I2 : Trajectory A with Ts = 0.1.
1 2

Table . Robustness and rejection of measurement errors:

Trajectory A with Ts = 0.01 and kTs ∈ [0, 100] sec.
 
Rk Qk avg∀t |δx1 (k)| avg∀t |δx2 (k)| avg∀t |δx3 (k)|

100I2 2I3 . . .

50I2 2I3 . . .
50I2 I3 . . .
50I2 0.5I3 . . .


stdt ∈ [t1 ,t2 ] (δξ (k)) and avgt ∈ [t1 ,t2 ] Pξ (k) are the average
of absolute errors,  standard deviation average of errors
and average of Pξ (k) over kTs ∈ [t1 , t2 ], respectively.
These three measures are included in the tables. Since the
average errors are relatively zero when employing the pro-
posed control law, they are not presented. Figure . |δξ (k)| and sqrt(Pξ (k)), ξ ∈ [u1 , u2 ] with Qk = 4I3 ,
Rk = 2500I2 : Trajectory A with Ts = 0.1.
The updated law (3) is applied to the nominal model
using the reference model for updating the proposed
gains presented in Equations (13)–(16). The (erroneous) Table . Actual standard deviations versus model-reference-
based predicted standard deviations: Trajectory A with Ts =
initial values for the state and input are always set
0.01 and kTs ∈ [0, 100] sec.
to zero, that is, x(0) ≡ 0 and u(0) ≡ 0. Consequently, 
Trajectory A is used to analyse the step response charac- (avg∀t Pξ (k))
std∀t (δξ (k))
teristics of the proposed updated law. Trajectory B exam- 
ines the tracking capability of sinusoidal trajectories with Rk 100I2 50I2 50I2 50I2
Qk 2I3 2I3 I3 0.5I3
two embedded different frequencies and phases along
with an initial step response (the case of yd2 (0) = 50). ξ = x1 . (.) . (.) . (.) . (.)
ξ = x2 . (.) . (.) . (.) . (.)
We first illustrate the boundedness of trajectories in ξ = x3 . (.) . (.) . (.) . (.)
the presence of very large random errors, in particular, ξ = u1 . (.) . (.) . (.) . (.)
ξ = u2 . (.) . (.) . (.) . (.)
we use Qk = 4I3 , Rk = 2500I2 , Ts = 0.1 sec, we consider
Trajectory A, and we run for 1000 sec. Figures 3 and 4
illustrate boundedness of trajectories. Tables 1 and 2 list
the performance for different values of Qk and Rk , and run r Robustness: Regardless of how large the random
time of 100 sec with Ts = 0.01. measurement errors and random state disturbance
Examining Figures 1 and 2 and Tables 1 and 2, the fol- are, all trajectories remain bounded – as indicated
lowing assessments can be concluded from this example: in Theorem 3.2.

Figure . ξ (k)(solid) and ξd (k)(dashed), ξ ∈ [x1 , x2 , x3 ] with
Ki (k)
, i ∈ {1, 2, 3}, Qk = 0, Rk = I2 : Trajectory A with
Qk = 0, Rk = I2 : Trajectory A with Ts = 10−4 .
Figure . |δξ (k)| and sqrt(Pξ (k)), ξ ∈ [x2 , x3 ] with Qk = 0,
Rk = I2 : Trajectory A with Ts = 10−4 .
r Estimated errors by the recursive algorithm: The
recursive algorithm employs the erroneous refer-
ence model. However, by comparing the actual val-
ues to their corresponding ones, in Table 2, we find
that the estimated values can be indicative to a cer-
tain extent. Such estimates can vary to the better or
to the worse for different sampling periods or dif-
ferent scenarios but no general conclusion can be
drawn as far as accuracy of the estimates extracted
from the proposed recursive algorithm is concerned.
In addition, there exists some sort of a periodic com-
ponent in the actual errors (e.g., Figures 5 and 6)
that are not reflected in Pξ (k). The latter issue is
unclear to the author and is worthwhile investigat-
ing in future work.
INTERNATIONAL JOURNAL OF CONTROL 9
Figure .
Ts = 10−3 .
r Rejection of measurement errors and state distur-
bance from controller perspective: Examining the
last two rows of Table 2, it can be noted that the con-
troller errors are almost the same for various values
of Qk and Rk . That is, as indicated by Theorems 3.1
and 3.2, the controller rejects such disturbances
regardless of the size of their variances.
r Rejection of measurement noise from outputs:
Tables 1 and 2 show that the performance for Rk =
10,000 and Rk = 2500 with fixed Qk = 4 is very
much the same, which shows that the output perfor-
mance is independent of the size of random mea-
surement errors. However, the measurement errors
are extensively larger than the resulting output
errors. In addition, the output errors significantly
decrease as the magnitude of Qk decreases. The next
part of this example shows how output errors can be
made significantly smaller when employing smaller
sampling period.
4.3. Transient and steady-state performance
This section examines the transient and steady-state char-
acteristics for various sampling periods. Trajectory A is
considered for kTs ∈ [0, 5] sec with Qk = 0, Rk = I2 . In
this section, we introduce the following common three
measures: tr , OS% and ess are the rise time (the time
required for the response to rise from 0% to 100% of its
final value), maximum per cent overshoot and steady-
state error computed by taking the average of the absolute
errors during the last two seconds of the run, respectively.
Figure 5 shows the response, Figure 6 depicts |δξ (k)|
and sqrt(Pξ (k)), ξ ∈ [x1 , x2 ] employing Ts = 10−4 and
Figure 7 shows how the norm of each PID gain varies with
10 S. S. SAAB

Table . Transient and steady-state performance at different

sampling rates: Trajectory A with Qk = 0 and Rk = I2 .
Ts 10−1 10−2 10−3 10−4 10−5

δx2 . . . . .

tr sec δx3 . . . . .
δx2 % .% % % %
OS% δx3 % .% % % %
δx2 . . . . .
ess δx3 . . . . .

Figure . |δξ (k)| and sqrt(Pξ (k)), ξ ∈ [x2 , x3 ] with Qk = 0,

Rk = I2 : Trajectory A with Ts = 10−4 .

r The steady-state error decreases as the sampling rate

increases (as indicated in Theorem 3.2). In particu-
lar, as sampling rate is increased by an order of mag-
nitude, the error is decreased by 50% for Trajectory
A, and at a faster rate for Trajectory B (Table 4).

In addition, since the steady-state errors decrease at

Figure . ξ (k)(solid) and ξd (k)(dashed), ξ ∈ [x1 , x2 , x3 ] with a geometric rate as the sampling rate is increased in the
Qk = 0, Rk = I2 : Trajectory B with Ts = 10−4 .
presence of measurement noise (Rk = I2 ), it can be con-
cluded that the updated law can completely reject mea-
Table . Steady-state performance at different sampling surement noise, and can achieve arbitrary small transient
rates: Trajectory B with Qk = 0 and Rk = I2 . period and arbitrary small steady-state errors for suffi-
Ts 10−1 10−2 10−3 10−4 10−5
ciently small sampling period at a cost of larger overshoot.
In order to show the advantage of the proposed
ess δx2 . . . . .
δx3 . . . . .
stochastic algorithm over deterministic approach for the
selection of PID gains, we compare the performance of
our proposed method with the deterministic PID method
that was recently published in Saab and Toukhtarian
time. Figures 5–7 and Table 3 correspond to Trajectory A, (2015). Figure 9 considers |δξ (k)| and sqrt(Pξ (k)), ξ ∈
whereas, Figure 8 and Table 4 correspond to Trajectory B. [x1 , x2 ] with Ts = 10−4 . As expected, the tracking errors
Figure 7 depicts how during transient response, the PD pertaining to the method in Saab and Toukhtarian (2015)
gains,
Ki (k)
, i ∈ {1, 2}, decrease while gain,
K3 (k)
, are tainted with measurement noise.
increases and, thereafter, all gains start decreasing grad- Example 4.2: The main purpose of this example is to
ually – this decrease trend at steady state can be inferred compare the performance of proposed controller to a
from Remark 3.2. Examining Figures 5, 6 and 8, it can be multivariable MRAC. In this example, we consider the
noticed that the controller is well capable of tracking dif- linearised lateral motion dynamic model of a large trans-
ferent trajectories while rejecting random measurement port airplane (Guo et al., 2009) described by
errors. However, by examining Table 3, we may conclude
the following as the sampling rate, f s = 1/Ts , is increased: T T
ẋ = Ac x + Bc u, x = v b pb rb ϕ ψ , u = dr da
r The rise time decreases at a rate inversely propor-
tional to log10 ( fs ). where v b is the lateral velocity, pb is the roll rate, rb is the
r The overshoot increases at some logarithmic rate as yaw rate, ϕ is the roll angle, ψ is the yaw angle, dr is the
the sampling rate increases. rudder position and da is the aileron position. The state
 INTERNATIONAL JOURNAL OF CONTROL 11

matrix, A and the output-coupling matrix B, as in Guo

et al. (2009), are given by

⎡ ⎤
−0.13858 14.326 −219.04 323.167 0
⎢ −0.02073 −2.1692 0.91315 0.000256 0 ⎥
⎢ ⎥
Ac = ⎢
⎢ 0.00289 −0.16444 −0.15768 −0.00489 0 ⎥
⎥
⎣ 0 1 0.00618 0 0⎦
0 0 1 0 0
⎡ ⎤
0.15935 0.00211
⎢ 0.01264 0.021326 ⎥
⎢ ⎥
Bc = ⎢ ⎥
⎢ −0.012879 0.00171 ⎥
⎣ 0 0 ⎦
0 0
Figure . Lateral velocity (top), yaw rate (centre) and yaw angle
It is important to note that one eigenvalue of the (bottom) in the presence of measurement noise.
continuous-time state matrix corresponding to the yaw
angle is zero. The problem is in having the lateral velocity
and the yaw angle tracking the following reference trajec-
tories

v bref = 5 sin(0.01t ) ft/sec and ψ ref = 5 − 5 cos(0.01t ) deg.

Consequently, as in Guo et al. (2009), we use only two

output measurements, the lateral velocity and the yaw
angle. Thus, the output-coupling matrix


10000
C=
00001
It is important to note that the product of the
output–input coupling matrices CBc associated with the
continuous-time plant is not full rank. However, due to
discretisation, the corresponding product, CB, becomes
full rank. We discretise the plant with sampling period
Ts = 8 × 10−2 sec.
Unlike the work in Guo et al. (2009), we corrupt
the output measurements with additive zero-mean white
Gaussian noise. In particular, the standard deviations cor-
responding to the lateral velocity and the yaw angle are
σ1 = 5 × 10−4 ft/sec and σ2 = 0.1 deg, respectively. We
also use an erroneous model for the measurement noise,
2 × 10−3 0
in particular, Rk = [ ], ∀k. We set the ini-
0 10−9
tial control input to zero, P0 = 0, and simulate the system
for 1000 sec. The relevant aircraft outputs, lateral velocity,
yaw rate and yaw angle are shown along with their corre-
sponding reference signals in Figure 10. The outputs uni-
formly track their reference trajectories. The correspond-
ing control signals, rudder position and aileron position
shown in Figure 11, can be considered practically accept-
able.
Figure . Control signals in the presence of measurement noise.
In Guo et al. (2009), MRAC is applied to the plant in
the absence of measurement noise also using measure-
ments of lateral velocity and yaw angle. Based on Figure 2
in Guo et al. (2009), long transient (ࣈ600 sec) is observed
in the tracking of the yaw angle. In addition, the yaw error
at around 110 sec is approximately 0.82 deg, whereas, the
maximum absolute yaw error achieved over the entire
time period using the proposed controller is 0.18 deg, in
the presence of measurement noise. It is important to note
that MRAC (Guo et al., 2009) implements full-state feed-
back, whereas, the proposed system only uses measure-
ments of lateral velocity and yaw rate.
5. Conclusion and future work
In this paper, the ability of a PID controller in rejecting
measurement noise has been demonstrated. The advan-
tages of the proposed recursive algorithm is in: (1) with-
standing process noise and measurement noise of any
12 S. S. SAAB
size, (2) rejecting measurement noise and errors due to
random initial conditions, (3) automatically producing
the PID gains in a discrete-time fashion, (4) provid-
ing indicative estimates of errors at every time sample
and (5) skilfully tracking any realisable reference trajec-
tories in the presence of measurement noise. Although
the presented theory is based on full knowledge of the
plant model, simulation results showed that an erroneous
model could achieve all presented characteristics of the
proposed recursive algorithm.
Note
1. A more common form of a PID control law is given by
 ness. Journal of Process Control, 16, 91–103.
u (k) = u (k − 1) + 3i = 1 Ki (k) e (k + 1 − i).
Acknowledgments
The author would like to thank the anonymous reviewers for
their constructive suggestions in improving this work.
Disclosure statement
No potential conflict of interest was reported by the authors.
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Reynoso-Meza, G., García-Nieto, S., Sanchis, J., & Blasco, F.X.
(2013). Controller tuning by means of multi-objective opti-
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Romero, V.S., Hägglund, T., & Åström, K.J. (2014). Measure-
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algorithm. IEEE Transactions on Automatic Control, 46(6),
877–887.
 INTERNATIONAL JOURNAL OF CONTROL 13

Saab, S.S. (2005). Selection of the learning gain matrix of an Development of the proposed recursive algorithm.
iterative learning control algorithm in presence of mea- Processes are uncorrelated since δx(0), v(.) and w(.)
surement noise. IEEE Transactions on Automatic Control, are assumed to be zero-mean white noise. Conse-
50(11), 1761–1774.
Saab, S.S. (2007). Learn while tracking. In Proceedings of the quently, E[(X )(−Z + )T ] = 0, E[(−Z)()T ] =
R+ 0 0 0 0
American Control Conference (pp. 3733–3738). New York, 0 R 0 0 0
NY. 0 and E[ZZT ] = [0 0 R− 0 0 ] Therefore,
0 0 0 Q 0
Saab, S., & Toukhtarian, R. (2015). A MIMO sampling rate 0 0 0 0 Q+
dependent controller. IEEE Transactions on Industrial Elec-
tronics, 62(6), 3662–3671.  
Sekara, T.B., & Matausek, M. (2009). Optimization of PID con- P+ = PT + E ZZT  T + E T (A2)
troller based on maximization of the proportional gain
under constraints on robustness and sensitivity to measure- Since u(k) generates x(k + 1) (but not x(k)), we assume
ment noise. IEEE Transactions on Automatic Control, 54(1), that E[δx(k)δu(k)T ] ∼= 0 and E[δx(k − 1)δu(k)T ] ∼ =
184–189.
0(but Px = E[δx(k + 1)δu(k)T ] = 0). That is,
Shen, D., & Wang, Y. (2014). Survey on stochastic iterative Pu Puu− 0
learning control. Journal of Process Control, 24, 64–77. P = [ PuuT − Pu− 0 ].
Skogestad, S. (2006). Tuning for smooth PID control with 0 0 Px−
acceptable disturbance rejection. Industrial and Engineer- Consequently, expanding Equation (A2) and taking
ing Chemistry Research, 45, 7817–7822. the trace, yield
Tan, K.K., Huang, S., Liang, W., Mamun, A.A., Koh, E.K., &  
Zhou, H. (2012). Development of a spherical air bearing trace P+ =
positioning system. IEEE Transactions on Industrial Elec- ⎧ −
⎫
⎪
⎪ (1 Pu + 2 Puu
T
− )1 + (1 Puu− + 2 Pu )2
T T
⎪
⎪
tronics, 59(9), 3501–3509. ⎨ + P−  T + P + B− P− (B− )T + A− P− (A− )T ⎬
3 x 3 u u x
Tao, C.-W., Taur, J.-S., Chang, Y.-H., & Chang, C.-W. (2010). trace + T − T + + T
⎪
⎪ +K 1 R K + K 2 RK T
+ K R K + K C Q(K C ) ⎪
⎪
A novel fuzzy-sliding and fuzzy-integral-sliding controller ⎩  1 2  3 3 1
T 1
⎭
for the twin-rotor multi-input–multi-output system. IEEE + K1C+ A + K2C Q− K1C+ A + K2C + Q + d
Transactions on Fuzzy Systems, 18(5), 893–905.
Wang, W.S.W., Davison, D.E., & Davison, E.J. (2013). Controller Expanding and collecting terms and with some
design for multivariable linear time-invariant unknown straightforward tedious work, we obtain
systems. IEEE Transactions on Automatic Control, 58(9),
2292–2306. trace(P+ ) =
Wen, Y., & Rosen, J. (2013). Neural PID control of robot manip- ⎧ ⎫
⎪
⎪ −K1C+ BPu − Pu (C+ B)T K1T − K1C+ AB− Puu T
− ⎪
⎪
ulators with application to an upper limb exoskeleton. IEEE ⎪
⎪ + − T T − T − T T ⎪
⎪
⎪
⎪ −P uu − (C AB ) K − K2 CB P − − Puu − (CB ) K
2 ⎪
⎪
Transactions on Cybernetics, 43(2), 673–684. ⎨ 1 uu
⎬
+K1 S11 K1 + K2 S22 K2 + K3 S33 K3
T T T
trace
⎪
⎪ +K1 S12 K2 + K2 S21 K1 + K1 S13 K3 + K3 S31 K1
T T T T
⎪
⎪
⎪
⎪ +K2 S23 K T + K3 S32 K T ⎪
⎪
⎪
⎪ ⎪
⎪
Appendix ⎩ 3
− − − T
2
− − − T ⎭
+2Pu + B Pu (B ) + A Px (A ) + Q + d
Proof of Proposition 3.1: We denote by
⎡ ⎤ ⎡ ⎤ where the terms Si j , i, j ∈ {1, 2, 3}, are defined in
R+ + C+ QC+ 0 0
T
Pu Puu− 0 Proposition 3.1. Equation (11) leads to
T ≡⎣ 0 R 0 ⎦ , E1 ≡ ⎣ PuuT −
− Pu 0⎦,
−  "
0 0R 0 0 0 ∂trace(P+ ) K1 S11 + K2 S21 + K3 S31
⎡ −⎤
=2 + T + − T ≡0
# u (C B) − Puu− (C AB )
−P
+ ∂K1
0 0 C AA $
H2 ≡ ⎣ 0 0 CA− ⎦ , ∂trace(P+ )
∂K2
= 2 K2 S22 + K1 S12 + K3 S32 − Puu− (CB− )
T

(C+ AA− ) (CA− )

T T
C− ≡0
⎡ + ⎤ ⎡ ⎤ ⎡ + ⎤ ∂trace(P+ )
C A CT 0 00 0 Q 00 ∂K3
= 2 {K3 S33 + K1 S13 + K2 S23 } ≡ 0
H3 ≡ ⎣ C 0 0 ⎦ , E2 ≡ ⎣ 0 0 0 ⎦ , E3 ≡ ⎣ 0 0 0 ⎦
0 0 0 0 0 Px− 0 00 Putting the above three equations in a block matrix, we
obtain
Consequently, S can be decomposed as follows:
[ K1 K2 K3 ]S = [ Pu (C+ B)T + Puu− (C+ AB− )T Puu− (CB− )T 0 ]
S = N̄E1 N̄ T + H2 E2 H2T + H3 E3 H3T + T (A1)
whence Equation (13). Inserting Equation (5) in Px =
Therefore, S is a summation of non-negative sym- E[δx(k)δx(k)T ], expanding and cancelling the uncorre-
metric definite matrices and a symmetric positive- lated terms yield Equation (14). Equation (15) can be eas-
definite matrix, T ; consequently, S is symmetric positive- ily extracted from Equation (A2). Again, after expanding
definite.  and arranging terms of the first p × p block of Equation
14 S. S. SAAB

(A2), and making use of S, we obtain matrix inversion lemma, we have S−1 = S̄−1 −
 T S̄−1 [ N̂0 ]([ N̂ T 0 ]S̄−1 [ N̂0 ] + P̂u−1 )−1 [ N̂ T 0 ]S̄−1
Pu+ = Pu − K1C+ BPu − Pu C+ B K1T − K1C+ AB− Puu
T
− Consequently,
− Puu− (C+ AB− )T K1T − K2CB− Puu
T
−  

I2q
− Puu− (CB− )T K2T + KSK T + d (A3) S̄−1
2q = I2q 0 S −1
0
 −1
Inserting the value of K presented in Equation (13) = S̄−1 −1 T −1 −1
N̂ T S̄−1
2q − S̄2q N̂ N̂ S̄2q N̂ + P̂u 2q
in Equation (A3), and cancelling redundant terms, we
obtain Equation (16).  (A7)
Proof of Proposition 3.2: Equation (A3) implies that Again, using the same inversion lemma, we have
Pu (k), ∀k, is symmetric (and positive semi-definite)
   −1
matrix. Equations (15) and (16) imply that  I
I2q 0 S−1 2q = S̄2q + N̂ P̂u N̂ T (A8)
0
Puu− (k + 1) = Pu (k + 1) − d (A4)
Inserting Equation (A8) into Equation (A5), we
Since d is symmetric, Puu− (k) is also symmetric. It is obtain
worthwhile noting that
  −1
+
K̂ = Ip 0 P̂u N̂ T N̂ P̂u N̂ T + S̄2q (A9)
Ip − KSK T = 1 Pu + 2 Puu− = Puu −

Next, we evaluate

   
Claim 1: I2p − P̂u N̂ T (N̂ P̂u N̂ T + S̄2q )−1 N̂ =  Ip
−1 Pu+ = Ip 0 − K̂ N̂ P̂u + d (A10)
(I2p + P̂u N̂ T S̄2q N̂ )−1 0

Proof: Let  ≡ (N̂ T S̄−1 −1 −1

2q N̂ + P̂u ) and  ≡ N̂ T S̄−1
2q N̂ Inserting Equation (A9) in Equation (A10), we get
Using a well-known matrix inversion lemma −1
Pu+ = [ Ip 0 ](I2p − P̂u N̂ T (N̂ P̂u N̂ T + S̄2q ) N̂ )P̂u [ I0p ] +
P̂u N̂ T (N̂ P̂u N̂ T + S̄2q )−1 N̂ = P̂u  − P̂u 
d , where P̂u [ I0p ] = [ PuuPu− ]. Claim 1 implies
(I2p − P̂u  − P̂u ) (I2p + P̂u ) −1  P 

= I2p + P̂u  − P̂u  − P̂u P̂u  − P̂u  − P̂u P̂u  Pu+ = Ip 0 I2p + P̂u N̂ T S̄−1
2q N̂
u
+ d
Puu−
(A11)
Cancelling the second and third terms, and rearrang- Equation (A4) implies that
ing the others while using −1 ≡  + P̂u−1
 
+
 −1 Pu
(I2p − P̂u  − P̂u ) (I2p + P̂u ) Puu − = Ip 0 I2p + P̂u N̂ T S̄−1
2q N̂ (A12)
Puu−
= I2p − P̂u P̂u  − P̂u −1 P̂u  = I2p
Combining Equations (A11) and (A12), we obtain
 Equation (17). 
Proof of Proposition 3.3: Equation (13) implies Proof of Lemma 3.1: The proof is preceded by an
induction argument with respect to index k. Since C(k +
+ + −

K̂ = [ Ip 0 ]P̂u N̂ T [ I2q 0 ]S−1 [

I2q
] (A5) 1)B(k) is full-column rank ∀ k ≥ 0, N̂ = [ C 0 B CCBAB− ] is
0 δu(1) δu(1) T
also of column rank ∀ k ≥ 0. P̂u (1) = E([ δu(0) ][ δu(0) ] )
is by structure symmetric, semi-positive and diagonally
where K̂ ≡ [ K1 K2 ]. Based on the definitions of S̄, N̄, P̂u
dominant matrix. Since Pu (1) and Puu− (1) are symmetric
and N̂, S is presented as positive-definite matrices, P̂u (1) is symmetric positive-
  definite matrix. Since S̄−1 2q is symmetric and positive def-
N̂ 
S = S̄ + P̂u N̂ T 0 (A6) inite and N̂ is full-column rank, N̂ T S̄−1 2q N̂ is symmet-
0
ric positive definite. Since for, k = 1 P̂u (1) > 0, then
It is worthwhile noting that S̄ does not include λ(P̂u N̂ T S̄−1 T −1
2q N̂ ) > 0; hence, λ(I2p + P̂u N̂ S̄2q N̂ ) > 1 and
−1
any direct term related to P̂u . Using a well-known 0 < λ((I2p + P̂u N̂ T S̄−1
2q N̂ ) ) < 1. Since [ I p 0 ] is of full
 INTERNATIONAL JOURNAL OF CONTROL 15

Pu system is assumed to be asymptotically stable, Equation

row rank, [ ] is of full-column rank and d is sym- (14) implies that limk → ∞ Px (k) = 0. 
Puu−
metric semi-definite, Equations (A11) and (A12) imply
that both Pu (2) and Puu− (2) are symmetric positive- Proof of Theorem 3.2: d = E[ud (k)ud (k)T ],
definite matrices. The rest of the induction argument fol- where ud (k) = ud (k + 1) − ud (k). Since ud (k) and its
lows the same steps.  limit are bounded,
d
and its limit are bounded.
−1
Proof of Corollary 3.1: Since 0< Define M(k) ≡
(I2p + P̂u N̂ T S̄−12q N̂ )
, P(k) ≡
T −1 −1
λ((I2p + P̂u N̂ S̄2q N̂ ) ) < 1, then there exists a con- P (k)

[ u ]
and D(k, Ts ) ≡
[ d ]
. It follows that
−1 Puu− (k) 0
sistent norm such that
(I2p + P̂u N̂ T S̄−1
2q N̂ )
< 1 and P(k + 1) ≤ M(k)P(k) + D(k, Ts ). ∀ k,
d
and

[
Ip 0
]
= 1. Consequently, Equation (17) implies the D(k, Ts ) are bounded, limk → ∞ D(k, Ts ) is bounded
Ip 0 and
desired results. 
Proof of Theorem 3.1: There exists a consistent norm
P(k + 1) ≤ M(k)P(k) + cD (Ts ) (A14)
such that (Corollary 3.1)
   −1   
 Pu (k + 1)     Pu (k)  where cD (Ts ) = supk D(k, Ts ). All variables become
  ≤  I2p + P̂u N̂ S̄ N̂
T −1  
 Puu− (k + 1)   2q   Puu− (k)  dependent on Ts and especially whenever a continuous
  system is discretised with a sampling period Ts . How-
 d 
+ 
0  ever, for compactness, we drop the argument Ts and
use it when relevant. ∀k, λ(I2p + P̂u N̂ T S̄−1 2q N̂ )
−1
< 1,
M(k) < 1 and Pu are bounded. Next, we show that
Since ud (k) = ud (k + 1) ∀ k ≥ k1 , d = 0, ∀k ≥ k1 .
limk → ∞ M(k) < 1. If limk → ∞ λ(P̂u N̂ T S̄−1 2q N̂ ) > 0, then
Define P̃u (k) ≡ [ PuuPu−(k)
(k) ]. Now we have ∀k > k1
λ(I2p + P̂u N̂ S̄2q N̂ ) < 1. For all k, P̂u and N̂ T S̄−1
T −1 −1
2q N̂
    −1 
  are positive definite, and limk → ∞ (N̂) is bounded.
    
P̃u (k + 1) ≤  I
 2p + P̂u N̂ T
S̄ −1
2q N̂  
 u 
P̃ (k) Equation (A1) implies that S̄ = H2 E2 H2T + H3 E3 H3T + T ,
which indicates that S̄ is independent of P̂u (refer
(A13)
to the proof of Proposition 3.1). In addition,
∀ k, H2 E2 H2T ≥ 0, limk → ∞ (H3 E3 H3T + T ) > 0
We show that limk → ∞ P̃u (k) = 0. This part of
is positive definite with bounded limit, and
the proof is preceded by a contradiction argument.
−1 limk → ∞ (H2 ) is bounded. Since system is assumed
Since
(I2p + P̂u N̂ T S̄−1 2q N̂ )
< 1, Equation (A13) to be asymptotically stable, limk → ∞ H2 E2 H2T ≥ 0
implies that
P̃u (k)
is strictly decreasing sequence and and bounded. Therefore, limk → ∞ S̄−1 > 0 and
bounded from below by zero, limk → ∞
P̃u (k)
exists limk → ∞ S̄−1 2q > 0, limk → ∞ N̂ T S̄−1
2q N̂ > 0, hence,
so do limk → ∞
P̂u (k)
and limk → ∞
Pu (k)
. T −1
limk → ∞ λ(P̂u N̂ S̄2q N̂ ) > 0, limk → ∞ λ(I2p + P̂u N̂ T
Assume that limk → ∞
P̃u (k)
= 0. Consider the
S̄−1
2q N̂ )
−1
< 1, and, for this specific consistent
following ratio test for the sequence
P̃u (k)
: −1

P̃u (k+1)

≤
(I2p + P̂u N̂ T S̄−1
−1 norm, limk → ∞
(I2p + P̂u N̂ T S̄−1
2q N̂ )
< 1 or

P̃u (k)
2q N̂ )
< 1. Since ∀ k, w(k) k − 1
and Pu (k) are bounded, so is u(k). Since the sys- limk → ∞ M(k) < 1. Consequently, limk → ∞ j = 0
tem is assumed to be asymptotically stable, x(k) is M( j) = 0. In addition,there exists a c > 0 such
−1 j−1
bounded ∀ k, so are Px (k) and its limit. Consequently, that supTs limk → ∞ kj = 0 i = 0 M( j + 1 − i) = c.
 −1
limk → ∞ S(k) is bounded; hence, limk → ∞ S̄−1 2q (k) Equation (A14) implies P(k + 1) ≤ kj = 0 M( j)P(0) +
remains symmetric and positive definite as well k−1  j − 1
cD (Ts ) j= 0 i = 0 M( j + 1 − i) or P(k + 1) ≤
as limk → ∞ N̂ T S̄−1 2q (k)N̂. Since limk→∞
P̂u (k)
is
k − 1
j = 0 M( j)P(0) + ccD (Ts ) and limk → ∞ P(k) ≤ ccD (Ts ).
also bounded, limk → ∞ λ(I2p + P̂u N̂ T S̄−1 2q N̂ )
−1
<1 In addition, when ud (k) is assumed to be a smooth
and, for this specific consistent norm, limk → ∞ trajectory, then ∃cc > 0 such that cD (Ts ) ≤ cc Ts .
−1

(I2p + P̂u N̂ T S̄−1

2q N̂ )
< 1. Therefore, limk → ∞ We can deduce then that limk → ∞ P(k) ≤ ccs Ts and

P̃u (k+1)

< 1. Since
P̃u (k)
> 0, the ratio test implies limk → ∞
Pu (k)
≤ cu Ts , where cu ≡ ccs .

P̃u (k)

Since
Pu (k)
≤ P(k), then the above further leads to
that limk → ∞
P̃u (k)
= 0, which is equivalent to
limk → ∞ Pu (k) = 0. Next, having w(k) = 0, ∀ k ≥ k1
then Q(k) = 0, ∀ k ≥ k1 . Since limk → ∞ Pu (k) = 0 and
Pu (k)
≤ mo (k) + ccs Ts (A15)
16 S. S. SAAB

 −1 where 0 < cA ≡ supk

A(k)
< 1 and 0 < cB ≡
where mo (k) ≡ kj = 0 M( j)P(0), with limk → ∞ mo (k) =
0. Next, since system is assumed to be asymptotically supk
B(k)
< ∞ and limk → ∞ mo (k) = 0. We
stable, then, for discrete-time linear systems, we have can write the inequality (A16)  as
Px (k)
≤
(cA2 )k
Px (0)
+ cB2 (mo (k) + ccs Ts ) kj=−01 (cA2 ) .
j
λ(A(k)) < 1 and, consequently, there exists a consistent Con-
norm such that
A(k)
< 1 and limk → ∞
A(k)
< 1. sequently, limk → ∞
Px (k)
≤ cx Ts , where cx ≡
cB2 ccs
Having w(k) = 0, ∀ k then Q(k) = 0, ∀k, then we 1−c2
> 0. 
A
can deduce from Equation (14) that
Px (k)
≤

A(k − 1)
2
Px (k − 1)
+
B(k − 1)
2
Pu (k − 1)
.
This, together with Equation (A15), yields

Px (k)
≤ cA2
Px (k − 1)
+ cB2 (mo (k) + ccs Ts )
(A16)