FP12 - 2:15

Proceedings of the 28th Conference

on Decision and Control
Tampa, Florida December 1989

Improved Robustness Bounds Using Covariance Matrices

M. Corless, G. Zhu, R. Skelton

School of Aeronautics and Astronautics
Purdue University
West Lafayette, Indiana
Abstract
Many types of performance and stability robustness are
shown to be directly related to properties of the closed loop
covariance matrix. Covariance controllers assign a specified
covariance matrix to the closed loop system. Hence they can
deliver a prescribed degree of robustness with respect to
disturbance rejection, structured and unstructured parameter
changes. New, (less conservative) bounds are derived for these
robustness problems: structured and unstructured parameter
variations and disturbance robustness (L, bounds) for continuous
systems.
1. Introduction
The purpose of this paper is to contribute several different
new robustness results. Both structured and unstructured parameter
bounds are improved for continuous systems, and L, bounds on
output are given for continuous time systems subject to
disturbance inputs. These results are all explicitly related to the
state covariance matrix. Hence we describe here the robustness
properties of any covariance controller [20] that gives a specified
state covariance to the closed loop system.
There are. at least two parameterizations of the class of all
stabilizing controllers. The early work of Youla [I71 parameterized
the class of all stabilizing controllers in the frequency domain. A
state space parameterization of these controllers is also available.
The work in [20,21] characterizes the set of all state covariance
mamces that a linear closed loop system may possess, and gives (in
closed form) the class of all controllers assigning a specified state
covariance. Since all stable systems have a finite state covariance,
one may look upon [20,21] as another parameterization of all
stabilizing controllers.
Consider the following dynamic system

2. Disturbance Rejection and Covariances

Suppose (A, D) is a controllable pair for the asymptotically
stable system,
X=Ax+Dw
y=cx.
(2.1)
We shall consider two classes of disturbances w(t). We define
X lim E[x(t)x*(t)] when w(t) is a zero mean white noise with
t--1-

intensity I. X is the state covariance satisfying the linear equation

XA* +AX+DD* = O
(2.2)
Equivalently, we may define X to be the controllability g r d a n
with no need to characterize w(t) as white noise. We shall hereafter
refer to the stochastic interpretation above, even though the other
valid interpretation is entirely deterministic. A deterministic
interpretation may be applied to every result in the sequel.
The second class of disturbances of interest will be the class
of
disturbances defined by
ea

jw*(f)w(r)dz <
0

-V(x(t))
d
dt

IP I"el symmetric part

for stability where ( IP I )i, = 1 Pi, 1, P is the solution of the

(1.3)

- w(t)]*[D*X'x(t)

-~ ( t ) ]

+ w*(t)w(t)

(2.6)

- w(t)]*[D*X'x(t) -WO)]

20 ,

Eq.

(2.6)

d
-V(x(t)) s w'(t)w(t) .
(2.7)
dt
Note that (2.7) describes the tightest possible bound on
d
-V(x(t)), since a w(t) exists that will lead to an equality in
dt
(2.7). This input is w(t) = D*X'x(t).
Integrating both sides of (2.7) and using definition (2.3) yields
(for x(0) = 0)

(Ue)ij= IAAij I/& .

( 1.4)
Unstructured parameter variations were previously treated in [23]
which only requires
1
(3[AA] c (1.5)

a 1

CH2642-7/89/0000-2667$1.00
@ 1989 IEEE

= -[D'X'x(t)

Since [D*X'x(t)
implies that

for stability. We shall improve these results here.

Most of the robustness measures mentioned above can be
directly related to properties of the state covariance mamx. The
paper is outlined as follows. Section 2 derives relationships
between disturbance rejection and covariance properties. Section 3
derives relationships between structured and unstructured parameter
variations and covariance properties. Also Sections 2 and 3 give
some examples to show how to use the theorems. Section 4
illustrates by example how to guarantee specified levels of
performances wifh respect to: (i) disturbance rejection, (ii)
uarameter vanabons, (iii)
. . RMS performance, and (iv) L,
performance.

For system (2.1) we may choose

V(x(t)) P x* (t)X'x(t)
(2.3)
as a Lyapunov function. Its derivative along a solution is
d
-V(x(t)) = x*(t)[A*X' + X'A]x(t)
dt
+ w*(t)D'x'x(t) + x*(t)x'Dw(t).
(2.4)
From the defining equation (2.2) for X note that
A'X' + X ~ A = - X ' D D ' X ~ .
(2.5)
After substituting (2.5) into (2.4) we can write (2.4) in the
convenient form,

x = (A + AA) x +Dw
(1.1)
with parameter disturbance matrix AA. The work of Yedavalli [l]
and more recently Khargonekar [2] show perhaps the most detailed
analysis of robustness with respect to structured parameter
variations requiring only
1
IAAijlmax$ E < (1.2)

following Lyapunov equation

PA + ATP 21 = 0 ,
and

x*(t)X-'x(t) 5 rw'(o)w(o)do
Since for any t 5 -,
jotw*(o)w(o)do 5 j"w'(o)w(o)do

(2.8)

(2.9)

(2.8) and (2.9) yield

2667

x*(t)X' x(t) < jnMw'(o)w(o)do

(2.10)

Ily(.)ll, =0.1155 < 0.1443 .

The upper bound on the L, norm given in (2.12) is

Use the facts

x'(t)x(t)o[X']
s x'(t)X'x(t)

o[X'l= (O[W)-'

3.

(;f[xl)-'x*(t)x(t) s x*(t)x'x(t) 5 Jo"w*(o)w(o)do

(2.11)
Using (2.10) and (2.1 1) we can prove the following L, disturbance
robustness result.

In this section, we present some robusmess measures of

unstructured and structured parameter variations in terms of state
covariances.

Theorem 1.
For the asymptotically stable and controllable system
(2.1), the output covariance matrix is Y CXC* where X is defined
by (2.2). Let wc) in (2.1) be any h disturbance
(llw(.)ll; Aiaw*(z)w(r)dz < 4 and Ily(.)llf ={;

a) Unstructured parameter variations

Consider the following linear dynamic system with linear
parameter perturbations:
X = (A + AA)x + Dw
(3.1)
where the nominal system & =
+ Dw is asymptotically stable
and AA is the parameter error mamx. We assume that the system
(3.1). is disturbable [(A + AA, D) controllable for all AA]. This
requms a nonsingular D.
When the input w = 0, we can choose
V(x(t)) 2 x'(t)X-'x(t)
(3.2)
as a Lyapunov function for some X > O to be chosen later. The
derivative of V(x(t)) is
xV(x(t))
d
=x*(t)X'(XA* +AX+XAA* +AAX)X'x(t)
(3.3)

y*(t)y(t)be

the square of the L, norm of ye). Then

IlY(.)llt ~rylllw(.~ll;

(2.12)

and
llx(.)112 5 3xIllw(.)ll% .

(2.13)

Proof:

Letting x = TT*, note that

llCXll2 = I"xl12
5 IICT11211T'x112
= IICTT*C*IlX*T*T-'X,
= IICXC*llX*X'X ;

Now choose X as the solution of the following Lyapunov equation

XA*+AX+DWD*=O
(3.4)

(T*
h'*)

Eq. (3.4) defines our choice of X in (3.2). Physical sigmficance may

be given to X if W is interpreted as the intensity of a white noise
w(t) (w(t) was assumed zero only in the definition of V(x(t)) not X).
Substitute (3.4) into (3.3) to obtain
d
-V(x(t)) = - x*(t)x'@WD* - AAX - xAA*)X'x(t)
(3.5)
dt
Clearly, (3.5) is negative definite if and only if
DWD*-(AAX+XAA*)>O
(3.6)
Since DWD* is positive definite, rewrite (3.6) as
I - (DWD*)-"(AAX + xAA*)@WD*)-"* > 0 .
(3.7)
Now it is clear that (3.7) holds if
(3.8)
20[@WD*)-"AAx@WD*)-1h*] < 1

hence

llCX112 s O[Y]X*X'X
Recalling (2.10), we have

llY(t)ll2= IlCx(t)l12
5 G[Ylx*(t)X-'x(t)
O~Ylllw(.)ll;

Thus

g;;

IlY(.)IIf =

llY(t)1I2 5 ~[Ylllw(.)ll;

Since O[PI = (~[P-'I)-', note that

Remark A generalization of the above result appears in [18].

G[@WD')--'A AAX(DWD*)-'A']

Example
Let system (2.1) be

s [a[DWD*]"]-'o[X@WD*)-"*]a[AA]

x = -20 -31 I x + k]w(t)

The

100% in this example.

.1443
Parameter Variationsand Covariances

conservative by 20% =

and (2.10) to see that

Theorem 2.
For the asymptotically stable nominal system (3.1), assume
that D is nonsingular and define X to be the state covariance matrix
solved by (3.4) and AA to be the perturbation matrix, then (3.1) is
asymptoticallystable if

Y = [I, Olx
disturbance is defined by
w(t) =

0
t>l
Use (2.2) to get the state covariance matrix

x=

(3.9)

This proves the following theorem (similar to a result in [ 111).

(3.10)

0.i671

Inequalities (3.10) and (1.12) provide two robusmess

measures for unstructured parameter variations. However, (1.12) is
a special case of (3.10). This can be Seen by taking
DWD* = 2 F 2 where P is the solution of the Lyapunov equation
(1.10). Note that in this case X = P-' ; hence

and

o[V=0.0833
kww*(~)w(~)ciz
= J '0.25d~= 0.25

o[DWD*]" = g[2P-2]" = &/G[P]

Using (2.12),

2o[x@wD*)-"*]
= 2G[P-'(P/&)] =
After substituting (3.11) into (3.10),
-o[DWD*]" = - .1

Ily(.)ll?, s 0.0208 .
This means that the output L, norm will be less than 0.1443. The
actual output L, norm is

~ G ~ X ~ W D * ) - ~ * Orpi
I

2668

__

6.

(3.11)

This demonstrates that (1.12) is a special case of (3.10). By

proper selection of the intensity matrix W of the input white Foise w
it may be possible to obtain a larger upper bound than l/o[P]as
shown by the following example.
As before, let

lo -21

A=

1 -3
L

then

, DWD*= 11.1549 0.2613

0.2613 0.9860A
L

=0.382 .
o[DWD*]%
cI= -=0.4111
2a[X(DWD*)-"*]
The example obtains a better upper bound than (1.12) by an
appropriate choice of matrix W. The best choice for W remains an
open problem, but for this example an improvement of 8% is
obtained.

a[P1

b) Structured parameter variations

In many parameter perturbation problems (e.g. constant
output feedback with uncertainty in the gain matrix) we know the
structure of the matrix perturbation AA. One can use the structural
information to obtain better robustness bounds. In particular, let us
assume that the uncertainty matrix AA is in the following form:
m

AA= Z piAAi

(3.12)

i=l

where AAi ( i=l, 2, . . . ,m) are constant matrices, pi are uncertain

parameters assumed to vary in intervals around zero, i.e.,
pi E [-e,e]. This represents a useful structured perturbation
model in state-space.
Example
Consider system (1.1) with given system matrices:
P1 ItLT

K=

and the output feedback gain:

0 -3i-p~
G=

P2 1,

(3.21)

PmL

[o -2+,,]

where p1 and p2 are uncertain parameters varying in the

intervals [-q, EI] and [-Q, 131, respectively. The closed loop
system can be written as follows.

"1 1i)]

A + B G C = [ o1 -3

o[xex:]i=lZ p ? < 1

=A,+AA.
Use (3.12),

(3.23)
m

This yields condition i). Using o[&K] 5 ,Z Ipi I E&] we obtain

F1
condition ii),
m

Z Ipi IO[&] < 1

AA = Z pi AAi
note that

to see that

o[XeKl 5 z[.z I ki I
I=

For this class of structured perturbations, we have the following

result.
Theorem 3.
For the asymptotically stable nominal system (3.1) which has
the structured parameter variations AA defined in (3.12), a s s m e
that D is nonsingular aqd let X be the state covariance matrix
defined by (3.4). Let Xi, Xi, and X, be:
Xi
+AAiX

Ai 8 @")-%xi@")-%*
x, 8 E l , 22, ...,im]

(3.24)

i=l

i=1

(i=l, 2, ...m)

. IPi I1 5

"zl I
m

VX

I pj I

Ai

I1

(3.25)

Inequalities (3.25) and (3.22) verify condition iii).

Remark: Useful calculations are obtained by replacing pi in
(3.13)-(3.15)by their upper bounds 2 pi. Now we would like to
present an example in using Theorem 3.
Example
Let

DWD'=

vl

;1 I:

The results for different q follow:

Group 1: q = 1

a) l/o[XeX: J = 1.6

c)

l/E[,i1 I & I ]

= 1.0

I=

= 1.8065

Group 2: q = 2.15 a) l/O[X,X:]

2

q = 2 b)
q = 2.55 c)

i= 1

IpiIo[i;l=O.6364 Ip1 I +0.4816 lp2l

l/o[,i1 lki I ] = 1.0788.

Comparing the results we find the a) and c) bounds in group 2

are better than those in group 1. This example points out that
DWD' = I does not necessarily give the best bounds. The best
DWD' remains an open question.
The next section demonstrates a control procedure that
utilizes the above bounds in control design. This example is limited
to a full order controller, utilizing an output variance constrained
design (OVC) algorithm reported in [22]. This algorithm solves the
following design problem: min Eu'Ru subject to Ey' 2 a? for a
linear system with plant and measurement noise. This example
utilizes the upper bounds of Section 2 to show how to choose q in
the OVC al orithm to guarantee (in the resence of any disturbance
w(t)) Ilyi(.)lL 5 Ei, namely ai = Ei/llwC)lE .
4. Example
Consider the system given in Fig. 4.1
VI

ACTUATOR

'

'

'

i+

Fig. 4.1
where the plant is described by
mq + dq + kq= b(y2 + w)

E[v(t)] =O ;E[v(~)v(T)]= V6(t -T) ; E

-

(4.la)

With no saturation, the following differential equations

describe the dynamics of the actuator and plant (when r = 0)
.
l
l
(4.3a)
y2=--yz+-u
Z

1y1
SENSOR

Fig. 4.2
The given parameters of the controlled system are:
~ = 0 . 1 , m = 1 . 0 , d = 0 . 1 , k = 1 . 0 ,b=1.0,
pY -- 1.0, pz = 1.0, r,, = 0.5, r, = 1.0.
The design disturbances for requirement (4.2~)are described
by the white noise processes,
E[~(t)]=O;E[~(t)w(~)]=W8(t--~);Ew(t)v(z)=OW=
1.0

d
k
Y 2 w
(4.3b)
q=-(-q+-q)+-+-.
m
m
m
m
Using the above data for Z,d, m, and k, we let x1 = ql, x2 = q
and x3 = y2. Then the state space description of the system is
x = Ax+ Bu + Dw
(4.4a)
y= cx
(4.4b)
z=Mx+v
(4.4c)

;I:{ 11;

After substituting~-~
the given parameters into A, B, D, C and M we
obtain
0
1
0
0
A = 1-i.0 -:.l
B=
D=

[i]

(4.lb)
= Py9 + ryq
0.5
(4.1~)
= Pz9 + rzil
l;],M=H
1
01
The design goal of the closed loop system is to keep the sensor and
actuator signals within their saturation bounds under the
c=
disturbances w(-) and v(-) in Fig. 4.2 when r = 0. So the
Suppose there exists some parameter errors in Azl, A z , then,
requirements of performance are as follows:
Y1

1;

Y3

llY3(9ll- 2
4 E3
Ily2e)ll- 2 0.8 4 E2
4-2CT1=4

(4.2a)
(4.2b)
(4.2~)

The design disturbances for requirements (4.2a, b) appear in Fig.

1 -

4.L.

Given the model of the system, generally, we can use the

following steps to design the controller. Using the Output Variance
Control (OVC) algorithm [22] find an assignable state covariance
matrix X which satisfies the constraints of (4.2). The OVC problem
2670

is stated as follows

Using Theorem 1, set

min lim Eu*(t)Ru(t)

03

t+-

subject to the constraints

X

y
z

= E3/llW(.)llZ

0 2 =~ 2 / l l W I l 2

Y, = (CXC')ii
then

=Ax+Bu+Dw
=
cx
Mx+v
=

(4.5)

Y11

0:

Y22

03

= 2

(4.12a)
= 0.3200
(4.12b)
Y 3 3 5 0: = 2.5000
(4.12c)
The existence of a controller with variances satisfying (4.12) is
demonstrated by calculating maximal accuracies (from step 1 and
eq. (4.7)):

(4.5)
-

This problem was shown in [24] to have an LQG solution for some
diagonal positive semidefinite matrix Q in the cost function
lim E(y*Qy + u'Ru). Furthermore the diagonal elements of Q are

(CkC')11 =0.6217 <

t+-

Lagrange multipliers with the property:

(CXC'),

03

QE
Jy?
- =0 .
(4.6)
Hence, the following algorithm from [22] produces Q, = 0
whenever constraint i is not binding (Ey' < 0:) (see step 4 of
the OVC algorithm below). The solution of this problem (from
[22]) follows.
The OVC algorithm: (LQG weight selection)
Given data : (A, B, R, D, W, V, M, C, oi. E )
1. Solve
for

=o

0:

< of

(CkC*)33 = 1.2559 < 05 .

Hence the solution of the OVC problem provides the 3rd order
controller described by G = [-1.1125, -7.9997, -0.77031
F=

I:!';]

Xc = Acxc + Fz, U = Gx,

A,=A+BG-FM

The closed-loop system is described by

o=XA* + A X - X M * V - ' ~ + D W D *

(4.7)

X o.

[cXC'I,

not, STOP. If yes, continue) .

s 0: ?

F = XM*V-'

(4.13b)

Q, = diag [... 0
;
' ...I, set k = 0 .
2. Solve 0 = KkA + A*& - KkBR-'B'Kk
for Kk> 0 .
Gk = - R-'B'Kk
0 = &(A + BGk)'

+C*QC

+ (A + BGk)Xk + F W *

(4.8)
(4.9)
(4.10)

3. o[c(xk + %)c* - C(xk-1 + %)c'], 5 E?

(If yes, STOP. If not, continue)

and the output covariance is

1.8619
1.5428 -0.2387
Y = -0.2387 0.2820 -0.4249 .
2.5000
1.8619 -0.4249
Thus this output covariance matrix together with Theorem 1,
guarantees the goals in (4.12). For the closed loop system with a
31d order controller, the state space representation of the plant and
controller is

= (A + AA)x + Bu + Dw
y=cx
z=Mx+v
X

(where Ey? (k)= [c(&

Return to 2.

+ k)c*]ii)

Step 1 computes the standard Kalman filter and contains

maximal accuracy tests for LQG. Step 2 computes the standard
LQG gain, given a weighting matrix Q. Step 3 determines whether
the iterations have converged. Step 4 updates the weighting matrix
to Q,+ 1, so that as Q converges, property (4.6) tends to hold.
For this example, we shall use the OVC algorithm to illustrate
the use of the theorems of Sections 2 and 3 to find the desired
constraints on the output covariance Y. Then, we shall use the
control gain obtained by the OVC algorithm to show that we obtain
the required performance using this controller. Now, we calculate
the
norm of we) and v(') from Fig. 4.2:
IlwC.)ll; = k-w2(t)dt = 2/3

(4.11a)

Ilv(')llg = jo-v2(t)dt = 4/3

Hence the L2 norm of all disturbances is

(4.11b)

(4.14a)
(4.14b)
(4.14~)

i,=(A-FM)x,+Bu+Fz
(4.14d)
u=Gx, .
(4.14e)
So. if we consider the parameter errors, the closed loop system is

(4.15b)
The closed loop system parameter error is

Define D, =
and 3 cannot
in Theorems
used in the
definition of

. Since D,WDT

is singular Theorems 2

be applied using D,WDT. However, the DWD' term

2 and 3 serves only to define the Lyapunov function
stability analysis. We cboose D W p t i ! in the
our Lyapunov function (Z , x z ) X j ( Z , xc) in this

example. Hence,
XLAL + ALXL+ DLWDL = 0 , DLWDL = I
where AL is the closed loop "plant" matrix in (4.20a). Using
Theorems 2 and 3 this yields
(from Theorem 2)
p = 0.2804
I p I = 0.4064 (from Theorem 3, (3.15))
Hence, for the closed loop system, if the unstructured parameter
errors AA satisfies
:(AA,) < P
Then, the system will be asymptotically stable. If the structured
parameter errors p1, p2 satisfy
max(lp1 I, I P ~ I ) <I P I
the closed loop system will also be asymptotically stable.

5. Conclusions
This paper shows that the following robustness properties of
continuous systems are directly related to the system covariance
matrix: robustness to uncertain disturbances, to uncertain structured
parameters, to uncertain unstructured parameters, to L,
performance requirements, and to
performance requirements.
Some of the structured and unstructured parameter bounds are new.
Come are improvements over existing bounds [ 1, 21. Several of the
existing parameter bounds for continuous time systems can be
obtainrd as special cases of the bounds developed in this paper.
i-mre research on the controller synthesis is desired to take
further advantage of the covariance controller's explicitness in
terms of the state covariance.
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