International Journal of Control

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

Model-based predictive control for Hammerstein?

Wiener systems
H. H. J. Bloemen , T. J. J. Van Den Boom & H. B. Verbruggen
To cite this article: H. H. J. Bloemen , T. J. J. Van Den Boom & H. B. Verbruggen (2001) Modelbased predictive control for Hammerstein?Wiener systems, International Journal of Control,
74:5, 482-495, DOI: 10.1080/00207170010014061
To link to this article: http://dx.doi.org/10.1080/00207170010014061

Published online: 08 Nov 2010.

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Date: 29 August 2016, At: 16:15

IN T. J. CON TROL,

2001 , VOL. 74, N O. 5, 482 495

Model-based predictive control for HammersteinWiener systems

H . H . J. BLOEM EN {*, T. J. J. VAN D EN BOOM { and H . B. VER BR U G G EN {
In this paper a model-based predictive control (MPC) algorithm is presented for H ammersteinWiener systems. This type
of system consists of a linear dynamic block preceded and followed by a static non-linear block. These systems appear
useful in modelling several non-linear processes encountered in industry. Directly using such a model in a M PC algorithm
will in general lead to a non-linear optimization problem due to the static non-linearities. This can be avoided by
exploiting the structure of these models. In this paper the non-linearities are transformed into polytopic descriptions.
This procedure enables one to use robust linear M PC techniques for controlling these systems. In such a way a convex
optimization problem is retained. For the presented MPC algorithm, which is stated as an optimization problem subject
to linear matrix inequalities, nominal closed loop stability is proven. In two examples it is shown that by means of
transforming the non-linearities into polytopic descriptions, as done in the presented M PC algorithm, a better tuning of
the inputoutput behaviour of the plant is obtained, compared to removing the static non-linearities from the control
problem by an inversion, a technique often used for these systems.

1.

Introduction

A special class of non-linear models are the so-called

block oriented non-linear models in which a linear time
invariant (LTI) dynamic block is preceded and/or followed by a static non-linearity. When the linear dynamic
block is preceded by a static input non-linearity the
model is referred to as a H ammerstein model and
when the linear dynamic block is followed by a static
output non-linearity the model is referred to as a Wiener
model. Both are a special case of the situation in which
the linear dynamic block is sandwiched between two
static non-linear blocks, a H ammersteinWiener
model. See gure 1 for a schematic representation.
Although H ammersteinWiener models only represent a small subclass of all non-linear models, they have
appeared useful in modelling several non-linear processes encountered in the process industry, for example
distillation columns (Eskinat et al. 1991, Sentoni et al.
1996, Verhaegen 1998, N orquay et al. 1999 a, Zhu 1999),
a heat exchanger (Eskinat et al. 1991), pH neutralization
processes (G erks ic and Juric ic 1998, Patwardhan et al.
1998, N orquay et al. 1999 b) and a continuously fed
stirred tank reactor (Wellers and R ake 1998). This capability of approximating non-linear processes has been
investigated by Boyd and Chua (1985), who have proven
that any time invariant system with fading memory can
be approximated with arbitrary accuracy by a nite
dimensional Wiener model. In practical applications
this approximation is only acceptable when the dimen-

R eceived 5 June 2000.

* Author for correspondence. e-mail: H .Bloemen@
its.tudelft.nl
{ D epartment of Information Technology and Systems,
D elft U niversity of Technology, PO Box 5031, 2600 G A
D elft, The N etherlands.

sion of the Wiener model is reasonably small. A priori

knowledge can facilitate the choice of the model structure. The existence of an actuator non-linearity like a
smooth saturation favours the choice of a H ammerstein
model for example. Several algorithms have been
reported in the literature to identify these block oriented
models, see Eskinat et al. 1991, Verhaegen and
Westwick 1996, Westwick and Verhaegen 1996 to mention a few.
In model-based predictive control (M PC) the input is
calculated by on-line minimization of a performance
index based on predictions by a model, subject to
constraints. See G arcia et al. (1989) and H enson
(1998) for a survey on M PC. It is obvious that the control quality highly depends on the accuracy of the
model. Thus for processes which show a signi cant
non-linear behaviour, a non-linear model should be
used. Sentoni et al. (1996) directly use a Wiener model
in a M PC algorithm, in general leading to a non-convex
optimization problem as the model acts as an equality
constraint. Optimizing a non-convex optimization problem is not attractive because it is computationally expensive and the algorithm may get stuck in a local minimum
(H enson 1997).
There are several possibilities to relax the computational demand of the non-linear optimization problem.
Wang and H endriksen (1994), H aber et al. (1998) and
Wellers and R ake (1998) suggest the use of a prediction
horizon equal to one, in which case the optimal solution
can be found by solving a polynomial equation in one
variable if the plant is single input, the non-linearity is a
polynomial and no constraints like input, state or output constraints are present. H owever, the requirements
of a control horizon equal to one and the absence of
constraints are fairly restrictive.
Another approach, used by G erks ic et al. (2000), is
to linearize the predictions around a control sequence,

International Journal of Control ISSN 00207179 print/ISSN 13665820 onlin e # 2001 Taylo r & F rancis Ltd
http://www.tandf.co.uk/journals
D OI: 10.1080/00207170010014061

483

Predictive control H ammersteinW iener systems

F igure 1. Schematic representation of a H ammerstein

Wiener model. The input to the plant is denoted by
u, which is mapped to v by the static input non-linearity f u, v is the input to the linear dynamic block
(LTI) with output w, which is then mapped into the
output y of the plant by the static output non-linearity
h w.

obtained from previous iterations. Then the remaining

optimization problem will be a quadratic programme
again, as in the case of linear M PC. By using several
iterations within one sample interval the linearization
error (deviation between the calculated optimal input
sequence and the input sequence around which the
predictions were linearized) can be decreased.
H owever, this approach still su ers from the possible
convergence to local minima and slow convergence
when trying to reduce the linearization error as it can
be seen as a special way of performing the non-linear
optimization problem, i.e. some kind of sequential
quadratic programming.
F ruzzetti et al. (1997), N orquay et al. (1998) and
Patwardhan et al. (1998) use the speci c structure of
H ammersteinWiener models to relax the computational demand. This is done by inverting the static
non-linearity, thus essentially removing it from the
control problem, which enables the use of linear M PC
techniques for the remaining linear block if no constraints are present. D ue to the inversion of the nonlinearity, original linear input and/or output constraints
may become non-linear, thus resulting in a non-linear
optimization problem again. When these transformed
constraints can be approximated by, or are, linear constraints, linear M PC techniques can be used. The main
drawback of inverting the static non-linearity is that its
e ect on the inputoutput behaviour of the plant is not
taken into account anymore by the controller, because it
is removed from the control problem. H owever, in the
original design goal, i.e. a trade-o between minimizing
a deviation of the output and the input from their setpoints, this non-linearity is present.
In this paper a M PC algorithm for H ammerstein
Wiener systems is presented which does take the e ect of
the input and output non-linearities into account, while
still retaining a convex optimization problem. This is
done by transforming the static non-linearities into
polytopic descriptions. Thus the H ammersteinWiener
model is represented as a linear model with uncertainty,
which enables the use of robust linear M PC techniques
to control this kind of system. This paper combines and
extends the work of Bloemen and van den Boom
(1999 b) and Bloemen et al. (2000 b) in which the opti-

mization problem is given by minimization of a linear

objective function subject to linear matrix inequalities
(LM Is). In } 2 the M PC algorithm for H ammerstein
Wiener systems is presented, in } 3 the nominal closed
loop stability of this algorithm is proven, followed by
two simulation examples in } 4 in which the bene t of
transforming the non-linearities into polytopic descriptions is demonstrated by comparing the proposed M PC
algorithm with one that removes the static non-linearity
from the control problem via an inversion. F inally, the
paper is concluded with a discussion in } 5.

2.

The HammersteinWiener MPC algorithm

2.1. Problem de nition

In state space a H ammersteinWiener model, gure
1, is represented by

LTI

v kjk f u kjk
x k 1jk A x kjk Bv k jk
w kjk Cx kjk Dv kjk
y k jk h w kjk

1
2
3

where u 2 R m is the physical input to the plant, which is

passed through the non-linear mapping f u to give the
input v 2 R m of the linear dynamic block. A , B, C, and
D are the system matrices (of conformal dimensions) of
the linear dynamic block, x k 1jk 2 R n is the state at
time k 1 calculated at time k, v 2 R p is the output of
the linear block which is passed through the non-linear
mapping h w to give the output y 2 R p of the plant.
The static non-linear functions f u and h w are
assumed to be invertible.
Assume that the desired reference steady-state uref ,
vref , x ref , wref , y ref 0;0;0;0;0. When this is not the
case the system can be shifted such that the origin of the
shifted system corresponds to the desired steady state.
Then the goal is to minimize the quadratic performance
index
J k

1
X
i0

y k ijk T Q y y k ijk

u k ijk T R u u k ijk

subject to the model equations (1), (2) and (3) and possible input, state and output constraints, where u k ijk
for i 0 . . . 1 are the degrees of freedom. Q y and R u are
positive de nite weighting matrices. Because of the nonlinear functions f u and h w this optimization problem
is non-linear in general. Without any other restrictions
minimizing equation (4) would require an in nite
number of degrees of freedom. To solve this problem

484

H . H . J. Bloemen et al.

the performance index is split into two parts, see for

example the work by Chen and Allgo wer (1998) and
Bloemen and van den Boom (1999 a)

J k J 1 k J 2 k
J 1 k

H
s 1
X
i0

y k ijk Q y y k ijk

J 2 k x k H s jk T Px k H s jk

F irstly the input non-linearity in equation (1) is

inverted such that the plant input u is given as a function
of v
u kjk f 1 v kjk g v kjk

u k ijk T R u u k ijk

2.2. T ransforming the non-linearity into a polytopic

description

6
7

where J 2 k is a quadratic end point state penalty

weighted by P such that these costs are an upperbound
for the tail of the in nite horizon costs, while the input is
parameterized as a static state feedback to limit the
degrees of freedom, e ectively leading to an in nite control and prediction horizon. This point H s is therefore
referred to as the switching horizon since the parameterization of the input changes at this point. With this state
feedback (control law) an invariant region is associated
in which the state should lie at time k H s and in which
all constraints will be satis ed. This invariant region
thus acts as an end point inequality constraint. The in nite horizon enables us to guarantee nominal closed
loop stability. Chen and Allgo wer (1998) o -line determine the state feedback and, associated with it, the
invariant region and the weighting matrix P. F or linear
systems this can be done on-line and incorporated
within the optimization problem as shown by Bloemen
and van den Boom (1999 a), resulting in a minimization
of a linear objective function subject to LM Is.
Because the choice of the state feedback, which parameterizes the input beyond the switching horizon, a ects
the feasibility region and performance of the entire
model-based predictive controller, incorporating the calculation of this feedback into the on-line optimization
problem leads to an automatic trade-o between feasibility and performance, leading to a much better performance especially for short switching horizons. This
is an important property because the way in which the
non-linearity is handled in this paper, i.e. by means of
transforming it into a polytopic description as described
in } 2.2, results in an LM I based optimization problem
of which the number of LM Is increases rapidly with
increasing switching horizon, see } 2.3. Thus using a
small switching horizon is important in order not to
blow up the number of inequalities involved in the optimization problem too much. The above observations
motivate to extend the algorithm presented by
Bloemen and van den Boom (1999 a) such that it is suitable to handle input and output uncertainties that result
from transforming the non-linearity.

where the non-linear function g is the inverse of f .

Secondly the non-linearities g and h will be transformed
into polytopic descriptions which are linear in v and w
respectively. The inversion of the input non-linearity is
motivated by the way the polytopic description resulting
from the inverted non-linearity enters the optimization
problem, which enables us to eliminate LM Is from the
optimization problem by means of a simple selection
procedure, see } 2.5.
Because the non-linear functions, equations (3) and
(8), pass the origin they can be represented as
u kjk g v kjk G v k jk v kjk
y kjk h w kjk H w k jk w kjk

9
10

where the elements of the matrices G v kjk and

H w k jk are non-linear functions of v kjk and
w kjk respectively. If the operating region for v and w
is restricted the output of the non-linear functions is
bounded. R estriction of the operating region for these
signals is motivated by the fact that the model is only
valid within the operating region in which it is identi ed.
Transformation of a non-linear function into a polytopic description which is linear in the arguments of the
non-linear function, basically consists of nding the sector bounds of the non-linear function within the operating region (see gure 2 for an example in the case of a
univariate input non-linearity). In this way polytopic
descriptions are generated such that the non-linearities
are captured within the sector bounds, or equivalently,
such that the matrices G v kjk and H w kjk are
represented as elements within the convex hull Co of
a polytope
9
=
u kjk G v kjk v kjk
11
G v kjk 2 OG Co fG1 . . . GN G g ;
9
=
y kjk H w kjk w kjk
12
H w kjk 2 OH Co fH1 . . . HN H g ;
where Gi and Hi are the vertices of the polytopes. An
algorithm to analytically cover the image of a non-linear
function by a polytope is presented by Amato et al.
(1995) for example. A high accuracy, which means low
conservatism, usually requires a large number of vertices
(N G and N H ). H owever from a computational point of
view the number of vertices should preferably be small,

485

Predictive control H ammersteinW iener systems

u = g(v) = G(v) v

Gmax v

2
6
6
6
4

..
.

w k H s 1jk

Gmin v
0

6
6 CA
6
6 .
6 ..
4

CA H s 1

min

02
6
B
6
B
6
B
6
B
6
B
B
B6
6
6
B
6
B
6
B
4
@

max

v
F igure 2. Transformation of the input non-linearity into a
polytopic description. Dashed: min and max value
for v. Solid: non-linearity g v. D otted: sector bound s
of the non-linearity within the operating region. Gmax
and Gmin represent the vertices of the polytopic
description.

as every vertex leads to an LM I in the optimization

problem (see } 2.3 and } 2.4). Algorithms to reduce the
conservatism of the polytopic description by introducing
extra vertices have been reported by Broman and Shensa
(1990) and Amato et al. (1995) for example. Some practical aspects regarding the type of non-linearity and
elimination of vertices from the optimization problem
can be found in } 2.5.
The above procedure transforms the non-linear
H ammersteinWiener model, equations (1)(3), into an
uncertain linear model, equations (2), (11) and (12),
which enables one to formulate a convex optimization
problem by means of a robust linear M PC algorithm in
order to control the non-linear model. This is presented
in the following sections.
2.3. M inimizing J 1 (k)
Predicting the signals up to time k H s 1 by the
model equations (8), (2) and (3) results in

w kjk

u kjk
6
7
..
6
7
5
4
.
u k H s 1jk
2
3
G v kjk 0
0
6
7
..
.
..
6
7
0
. ..
.
6
7
6
7
..
..
..
6
7
5
4
0
.
.
.
0
0 G v k H s 1j k
2
3
v kjk
6
7
..
6
7
4
13
5
.
v k H s 1jk

2
6
6
6
4

6
6

7
7
7
5

7
7
7
7x k
7
5

v kjk
..
.

4
6

v k H s 1jk

y kjk
..
.

y k H s 1jk

7
7
7
5

14

7
7
7
5

2H w kjk 0

6
6
6
6
6
6
4

0
..
.

6
6
6
4

0
2
3
D 0 0 C
.. 7
C
7
CB
.7 6
7C
.
.
.
6
C
.
.
.
7
0
.
. . 7
7C
.. 7 6
6
C
7
CA B
.7
7 6
7C
.. . . . .
6
7
7
.
. 0 5C
C
..
.. 7 4 .
C
7
.
.5
0 0 D A
CA H s 2 B CB 0

..
.
.. ..
.
.
.. ..
.
.

0
w kjk

..

..

..
.

..

..

..
.

w k H s 1jk

or equivalently

0 H w k H s 1jk

3
7
7
7
7
7
7
5

7
7
7
5

15

u~ G~ v~v~

16

w
~ C~A x k C~B D~v~

17

y~ H~ w
~w
~

18

Then J 1 k , equation (6), is given by (notation: kbk2C

bT Cb
J 1 k kC~A x k C~B D~v~k2H~ w~T Q~y H~ w~

k~vk2G~ v~T R~u G~ ~v

19

486

H . H . J. Bloemen et al.

where Q~y and R~u are block diagonal matrices, respectively having Q y and R u blocks on the diagonal, a struc~ M inimizing J 1 k is equivalent to
ture similar to D.
minimizing 1 under the constraint
kC~A x k C~B D~v~k2H~ w~T Q~ H~ w~ k~
vk2G~ v~ T R~u G~ v~ 1
y

20

U sing Schur complements, see Appendix, this constraint

can then be transformed into the non-linear matrix
inequality
2 ~1
Ru
6
6
6
4

Q~1
y

v~ G~ v~

3
7
H~ w
~ C~A x k C~B D~v~ 7
7
5 0
G~ ~vv~

C~A x k C~B D~v~ H~ w

~

21

This matrix inequality is non-linear because of the multiplication of v~ with G~ v~ and H~ w

~ which essentially are
functions of v~.
The next step is to replace G~ v~ and H~ w
~ by polytopic descriptions. Similar to the polytopic descriptions
for one time step, equations (11) and (12), polytopic
descriptions for G~ v~ and H~ w
~ can be built as
~ G Co fG~1 . . . G~~ g
G~ v~ 2 O
NG

22

~ H Co fH~1 . . . H~ ~ g
H~ w
~ 2 O
NH

23

N ow any possible G~ v~ and H~ w

~ within the operating
region can be represented as some convex combination
~ G and O
~ H respectively. Because G~ v~
of the elements of O
~
and H w
~ appear a nely in inequality (21) the polytopic
descriptions imply that if inequality (21) holds for every
~ G and O
~ H , which results in
combination of vertices of O
linear inequalities, every convex combination of these
inequalities will hold, and thus the original non-linear
inequality is also satis ed. This transforms the nonlinear optimization problem into a convex optimization
problem given a LM I for every combination of vertices
~ G and O
~H .
of O
~ G and O
~ H by reWhen generating the vertices of O
spectively all possible combinations of the vertices of OG
~ v~,
and OH on the diagonal, due to the structure of G
equation (13), and H~ w
~, equation (15), the number of
vertices (N~G and N~H ) will increase exponentially with an
H
H
increasing switching horizon N~G N G s , N~H N H s .
F or this reason, it is useful in practice to work with a
small switching horizon in order to keep the number of
LM Is limited. As discussed at the end of } 2.1 this motivates the choice of using the algorithm presented by
Bloemen and van den Boom (1999 a) as a basis for the
M PC algorithm presented in this paper. The number of
LM Is also increases for an increasing number of inputs
and outputs. Some practical aspects regarding the type
of non-linearity and elimination of vertices from the
optimization problem can be found in } 2.5.

Besides the LM Is resulting from every combination

~ G and O
~ H , additional LM Is are needed to
of vertices of O
specify the constraints for v~ and w,
~ which were used to
calculate the polytopic descriptions. When these constraints are linear they are easily converted into LM Is.
Constraints on u~ and y~ to express the valid operating
region for these signals are related to the operating
region for v~ and w~ and can thus be expressed as constraints on v~ and w.
~
2.4. M inimizing J 2 (k)
M inimization of J 2 k , see equation (7), involves
both x k H s jk and the (symmetric) positive de nite
weighting matrix P. M inimizing J 2 k is equivalent to
minimizing 2 under the constraint J 2 k 2 . After a
variable transformation S 2 P 1 this constraint is
given by
T

x k H s jk S 1 x k H s jk 1

24

which leads to the following LM I (see Appendix) in v~

and S (note that x k H s jk is an a ne function of v~)

2
4

1
x k H s jk

x k H s jk T 5
S

25

N ext, conditions on P are derived such that J 2 k represents an upperbound for the tail of the original performance index, equation (4), beyond k H s , i.e.
J 2 k kx k H s jk k2P

1
X

iH s

ky k ijk k2Qy

ku k ijk k2R u

26

This is achieved by imposing the inequalities

kx k ijk k2P kx k i 1jk k2P
ky k ijk k2Qy ku k ij k k2R u

8i H s 27

which can be proven by summing inequality (27) for

i H s . . . 1, leading to the desired result, inequality
(26). The inequalities (27) require an in nite number
of degrees of freedom because they have to hold
8i H s . This is avoided by imposing the equality constraint, or state feedback
v k ijk Kx k ijk

8i H s

28

where K is a matrix variable. Plugging this equality and

the model equations (2), (9) and (10) into inequalities
(27) leads to

487

Predictive control H ammersteinW iener systems

x k ijk T fP A BK T P A BK

max kP v; j v k ijk k2
iH s

C DK T H wT Q y H w C DK
T

K G v R u G vK gx k ijk 0

8 i H s 29

which shows that all the inequalities 8i H s can be

replaced by one inequality by requiring the matrix
expression between the curly brackets to be positive
(semi) de nite. Substituting P 2 S 1 and K Y S 1 ,
followed by pre and post multiplication by S , and division by 2 yields
S A S BY T S 1 A S BY CS DY T H w T

Qy
R

H w CS DY Y T G vT u G vY 0 30
2
2

which is transformed into the non-linear matrix inequality by using Schur complements (see Appendix)
2

6
6
6
A S BY
6
6
6Q 1=2 H w CS DY
6 y
4
R 1=2
u G vY

1=2 3

S A T Y T B T S C T Y T D T H w Q 1=2
Y T G v R u
y
S

2 I

n2 I
0

7
7
7
7
7
7
7
5

31

This matrix inequality is non-linear because of the multiplication of S and Y with G v and H w. Because G v
and H w appear a nely in inequality (31), the polytopic descriptions in equations (11) and (12) imply that if
inequality (31) holds for every combination of vertices
of OG and OH , which results in linear inequalities, every
convex combination of these inequalities will hold, and
thus that the original non-linear inequality is also satis ed. This transforms the non-linear optimization problem into a convex optimization problem given a LM I for
every combination of vertices of OG and OH .
Input, state and output constraints should still be
satis ed for interval i H s until 1. The constraints
on v and w, which are always present because they
were used to calculate the polytopic descriptions OG
and OH , are given by
Pv v k ijk v

8i H s

32

Pw w k ijk w

8i Hs

33

where Pv and Pw are matrices relating v k ijk and

w k ijk to the maxima expressed in the vectors v
and w . N ote that because v 0 and w 0 corresponds
to the desired steady state, the vectors v and w only
contain positive elements. The jth constraint on v and w,
the jth row of inequalities (32) and (33), can be
expressed as

max kPv;j Y S 1 x k ijk jj2 2v; j

34

iH s

max kPw; j w k ij k k2
iH S

max kPw; j C DY S 1 x k ijk k2 2w; j 35

iH s

D ue to inequality (27), " fzjz T S 1 z 1g, equivalent

to inequality (24), is an invariant ellipsoid for the
predicted states. Thus x k H s jk 2 " implies
x k ijk 2 " 8i H s , and also
max kPv;j v k ijk k2 max jj Pv;j Y S 1 zk2
z2"

iH s

36

max kP w; j w k ijk k2 max kPw; j C DY S 1zk2

z2"

iH s

37
This means inequalities (34) and (35) are satis ed if
max k Pv;j Y S 1 zk2 2v;j

38

max kPw; j C DY S 1 zk2 2w;j

39

z2"

z2"

which are satis ed if (using the invariant ellipsoid ")

max z T S 1 Y T PTv; j
z2"

1
Pv; j Y S 1 z z T S 1 z
2v; j

max z T S 1 Y T D T C T PTw; j
z2"

40

1
Pw; j C DY S 1 z
2w; j
z T S 1 z

41

or
S 1 S 1 Y T P Tv;j

1
P v; j Y S 1 0
2v;j

S 1 S 1 Y T D T C T PTw; j

42

1
P w; j C DY S 1 0
2w;j

43
which, after pre- and post-multiplication by S and using
Schur complements, see Appendix, lead to the LM Is (in
Y and S )

2 2

4 v;j

Y T PTv;j

2
4

Pv;j Y
S

3
5 0

2w; j

Pw;j CS DY

Y T D T S C T PTw;j

44

3
5 0

45

488

H . H . J. Bloemen et al.

Constraints on the states x can be expressed similarly.

Constraints on u and y to express their valid operating
region are related to the constraints on v and w and can
thus be expressed as constraints on v and w. N ote that
the constraints for the in nite horizon, inequalities (32)
and (33), have been expressed as constraints on S and Y ,
inequalities (44) and (45), and thus a ect the invariant
ellipsoid and the state feedback.
2.5. Eliminating L M Is from the optimization problem
A disadvantage of using the polytopic descriptions
to account for the static non-linearities of the
H ammersteinWiener model is the drastic increase in
the number of LM Is for increasing number of inputs
and outputs and increasing H s . A partial remedy for
this is based on the observation that the non-linearity
basically enters as a non-linear weighting in the performance index (see equation (19) for example). The
active constraints (matrix inequalities) for minimizing
J 1 k and J 2 k will be the ones that originate from
~ G and O
~ H that yield the highthose vertices of OG , OH , O
est performance index. Consequently, the vertices Gj , Hj ,
G~j and H~j , which will never lead to active LM Is in the
optimization problem, are characterized by
9
GTj R u Gj GTi R u Gi
for any i 6 j >
>
HTj Q y Hj

HTi Q y2 Hi

G~Tj R~u G~j G~Ti R~u G~i

H~Tj Q~ y H~j

H~Ti Q~y H~i

>
>
>
>
>
for any i 6 j =

>
for any i 6 j >
>
>
for any i 6 j

>
>

46

>
;

Remark 1: This procedure to remove LM Is from the

optimization problem is the motivation for rstly inverting the input non-linearity, equation (8), followed
by generating the polytopic description for the inverted
input non-linearity. D irectly generating a polytopic description for the input non-linearity, equation (1) results in
9
v~ F~ u~ u~
=
47
~ F Co fF~1 . . . F ~ g ;
F~ u~ 2 O
NF
F u 2 OF Co fF 1 . . . F N F

g;

F or J 1 k for example, this then leads to

J 1 k kC~A x k

9
=

C~B D~F~ u~u~k2H~ w~T Q~y H~ w~

Remark 2: In the special case when the non-linearities consist of respectively m parallel SISO input and
p parallel SISO output non-linearities, G v and H w
are diagonal. If then R u and Q y are chosen diagonal as
well, there is only one couple of active vertices Glim ,
Hlim , G~lim and H~lim characterized by
9
jGlim j jGi j
8Gi 2 OG >
>
jHlim j jHi j
jG~lim j jG~i j

jH~lim j jH~i j

48

49

~G >
>
8 G~i 2 O
>
>

>
>

50

>
~H ;
8 H~i 2 O

2.6. T otal optimization problem

The total optimization problem is a combination of
the optimization problems stated in } 2.3 and } 2.4 which
results in
min

1 2

51

given LM I (25) and relevant LM Is, see } 2.5, to satisfy

inequalities (21) and (31), plus all LM Is to represent
constraints on v, x and w.
The minimization of equation (51) will yield the optimal values v~ , Y , S , 1, 2 . F rom this solution v kjk
is selected and used to calculate u kj k by equation (8).
This input is applied to the plant and the optimization is
repeated for the next interval, the so-called receding
horizon mode.
2.7. R educing conservatism
G iven the entire valid operating region for the model
(expressed as linear constraints for v and w) the polytopic descriptions of the non-linearities are likely to be
very conservative when the non-linearities are strong.
The performance index minimized by the controller
1
X
i0

k~uk2R~u

>
>
>
>
>
8Hi 2 OH =

This reduces the number of LM Is which stem from

inequalities (21) and (31) to two, i.e. one LM I for each
non-linear inequality.

v~;Y ;S ; 1 ;2

The corresponding LM Is can be eliminated from the

optimization problem prior to solving it. This decreases
the computational demand of the optimization problem.

v F u u

In which case the non-linearity F~ u~ can no longer be

interpreted as a non-linear weighting matrix. Then, eliminating LM Is which result from the vertices in equations
(47) and (48), can no longer be done by means of a
simple selection procedure like the one stated in inequalities (46).

kw k ijk k2H k ij k T Q H k ijk

lim
y lim

kv k ijk k2Glim k ijk T R u Glim k ijk 52

basically is an upperbound for performance index (4)
because it over-estimates the terms G v k ijk T R u

Predictive control H ammersteinW iener systems

G v k ijk and H w k ijk T Q y H w k ijk , by
Glim k ijk T R u Glim k ijk
and
Hlim k ijk T Q y
Hlim k ijk respectively. When the di erence between
these two performance indices is large the control action
is likely to be very conservative. To improve the control
action of the presented M PC algorithm the optimization
problem stated in } 2.6 is solved iteratively such that this
di erence decreases. The optimization problem is solved
using a polytopic description based on the entire valid
operating region of the model. This yields v~ , Y and S
(the asterisk denotes the optimal value). Then extra constraints around v~ , v k H s jk , w
~ and w k H s jk
are speci ed to decrease the operating region. G iven
this reduced operating region a new polytopic description for the non-linearity is determined. As the operating
region can be di erent at every time k . . . k H s
(depending on the previously calculated trajectory and
the constraints around it) the polytopic description is
determined for each time instant k till k H s . Beyond
k H s the constraints and the polytopic description will
remain the same. The size, i.e. volume, of the newly
calculated polytopic descriptions, and thus the conservatism, will be reduced, because the operating region is
reduced, compared to the previous iteration (see gure
2, the sector bounds of the non-linearity will be closer to
one another when the operating region is narrowed).
This means the upperbound of the performance index
that is minimized by the controller is closer to the original performance index, thus yielding a better control
action. Because the new polytopic descriptions are
based on a narrow operating region around the solution
obtained in the previous optimization, it varies for every
time instant k till k H s which can be interpreted as
some kind of automatic gain scheduling. Every new
optimization problem will always be feasible because
v~ , Y and S resulting from the previous optimization
is a feasible solution. This procedure can be repeated
several times, depending on the time available.
Remark 3: The tightening of the operating region for
v and w should be performed gradually, to avoid the
extra constraints from becoming active in an early
stage. The constraints for v k ijk and w k ijk
8i H s are symmetric around the origin due to the
way they are handled in inequalities (34) and (35), so
v;new and w;new should be the largest absolute value of
the new extra constraints at time k H s . Because the
constraint handling for this part of the optimization
problem is conservative, these constraints should not
be made too tight.
Remark 4: Because the non-linearities, and consequently the polytopic descriptions, enter in the weighting of the performance index, a conservative polytopic
description will not a ect the feasibility of the optimi-

489

zation problem, but will only a ect the values of 1

and 2 , representing an upperbound on the costs.

3.

Nominal closed loop stability

Theorem 1: Under the assumption that R u and Q y are

positive de nite, the M PC algorithm presented in } 2
guarantees nominal closed loop stability for a controllable and observable plant once a feasible solution of the
M PC problem is found.
Proof: Assume a feasible solution at time t k exists.
G iven this feasible solution extra constraints for v~ and
w
~ are added. Because the constraint handling for
v k ijk and w k ijk 8i H s is conservative, assume that v and w for this part of the optimization
problem are not changed (so the polytopic descriptions
at time k i 8i H s remain the same). A subsequent
optimization problem will then always be feasible because the predicted trajectory resulting from the previous optimization is a feasible solution. D ue to the
extra constraints that are added a new uncertainty description is obtained such that
G~Tlim ;new R~u G~lim ;new G~Tlim ;old R~u G~lim ;old

53

H~Tlim ;new Q~y H~lim ;new H~Tlim ;old Q~y H~lim ;old

54

Thus without performing an extra optimization

J 1 k new J 1 k old

55

J 2 k new J 2 k old

56

where the asterisk denotes the optimal value. Summing

these two equations yields

J k new J k old

57

An extra optimization will lead to a value

J k new
J k new . These steps can be repeated several
times. U sing the receding horizon principle the extra
constraints imposed over the interval k up to
k H s 1 should be inherited when stating the optimization problem at the next time t l k 1 in the
receding horizon mode.
At every next time step a feasible solution will exist,
because at every time t k 1 the shifted solution of
time t k can be applied which is thus feasible.
Consider now the performance indices J k and J l
given the solution of the optimization problem at time
k. J 1 l can be written as

490

H . H . J. Bloemen et al.

J 1 l J 1 k kw kjk k2Hlim k jk T Q y Hlim k jk

4.1. A S IS O H ammerstein model

A smooth saturation is taken as input non-linearity,
a non-linearity often encountered in practice. The nonlinearity and system matrices and the weighting matrices
of the performance index, equation (4), are

kv kjk k2Glim kjkT R u Glim kjk

kw k H s jk k2Hlim k H s jk T Qy Hlim k H s jk
kv k H s jk k2Glim k H s jk T R u Glim k H s jk

58

U sing inequality (27) it can be derived that

J 2 l J 2 k kw k H s jk k22 H lim k H s j k T
2 Q y Hlim k

H s jk

2:6

6
6
A 4
6 2
0

kv k H s jk k2Glim k H s jk T R u Glim k H s jk

59

Summation of equation (58) and inequality (59) leads to

J l J k

60

U sing the receding horizon strategy, at time l k 1 a

new minimization of J l is performed. This convex
optimization always yields a global optimum
J l J l . This means J i is a Lyapunov function,
which proves nominal closed loop stability of the
M PC algorithm presented in } 2.
&

4.

Examples

The goal of this section is to demonstrate the bene ts

of using polytopic descriptions to capture the e ect of
the non-linearities, compared to a M PC algorithm in
which the non-linearities are removed from the control
problem by an inversion, as presented by F ruzzetti et al.
(1997), N orquay et al. (1998) and Patwardhan et al.
(1998). In the rst example a simple SISO LTI block
preceded by an input non-linearity is used, i.e. a
H ammerstein model. In the second example a M IM O
H ammersteinWiener model is used.

F igure 3.

C 0:4
Qy 1

1:1
0
0:5
0

eu 1
eu 1

0:7

7
0 7
7
5
0

0:1

R u 0:5

61

39
0:5 >
>

>
6 7>
>
6 7>
>
=
B 4
6 0 5
7
>
0 >
>
>
>
>
>
;
D 0:2

Hs 5

62

63

The inverse of the input non-linearity is given by

u ln 1

2
v1

64

The shape of the non-linearity and its inverse is shown in

gure 3. F rom these plots it is clear that the non-linearity is almost linear for 1 < u < 1, or equivalently,
0:5 < v < 0:5.
The initial condition used is x 0; 0; 0T . The setpoints for y are 0.5, 0, 1, 0, 2, 0 for blocks of 25 time
steps respectively. These are chosen such that for the
rst setpoint changes the input remains in the linear
region, and for the last setpoint changes the input
moves into the non-linear region (i.e. it saturates).
Because below 5 and above 5 a change in u has
no e ect on v, the operating region for u was limited to
juj 5. These constraints can be transformed into linear
constraints on v. Two extra iterations, as sketched in
} 2.7, were performed for the presented M PC strategy.
The operating region for v is reduced by adding the
constraints

The static input non-linearity (left) and its inverse (right).

491

Predictive control H ammersteinW iener systems

vj k ijk vj ;old k ijk vb

65

vj k ij k vj ;old k ijk vb

66

where vj;old is the solution from the previous iteration

and vb speci es the reduced operating region around the
solution given by vj;old . Every extra iteration vb is
reduced by vb;new 0:05 0:5 vb;old . The rst extra
optimization vb was set to 0.5, the value of vb converges
to 0.1. Every time the setpoint changes all extra constraints are deleted and the constraints are reset to the
original operating region.
The M PC algorithm that removes the non-linearity
from the control problem by an inversion minimizes the
performance index
J invnl k

1
X
i0

y k ijk T Q y y k ijk

v k ijk T R v v k ijk

67

The di erence between such a M PC algorithm and the

M PC algorithm presented in this paper is that the
weighting on v is constant in the above performance
index R v , whereas in the presented M PC algorithm it

is dependent on the valid operating region, which yields

the polytopic description, resulting in a weighting
GTlim k ijk R u Glim k ijk . By means of the iterative
way to reduce conservatism, as presented in } 2.7,
some automatic kind of gain scheduling is achieved. In
this way the presented M PC algorithm is able to account
for the non-linearity in the inputoutput behaviour of
the plant. F or the comparison between both algorithms
R v was set to
Rv

7
@u 7
7
@v 7v0

7
@u7
2 Ru 2
R u 7
@v7v0

68

because then the performance index (67) is almost equal

to (4) as long as v stays within the approximately linear
part of the non-linearity.
In gure 4 the simulations are plotted for the M PC
algorithm presented in this paper (upper plots) and for
the M PC algorithm in which the non-linearity is
removed from the control problem by an inversion
(lower plots). U ntil t 75 the input remains within the
linear part of the non-linearity and both algorithms
show a similar behaviour. This can also be seen in
gure 5 in which the evaluation based on the criterion

F igure 4. Control performance for the SISO H ammerstein model. U pper plots: when the non-linearity is transformed into a
polytopic description as presented in this paper. Lower plots: when the non-linearity is removed from the control problem.

F igure 5. Performance evaluation based on criterion (69) for the SISO Hammerstein model. Solid line: when the non-linearity is
transformed into a polytopic description as presented in this paper. D ashed line: when the non-linearity is removed from the
control problem.

492

H . H . J. Bloemen et al.

ik
X
J eval k
y i y ref iT Q y y i y ref i
i0

u i uref iT R u u i uref i

69

is plotted. In this gure it is clear that there is no signi cant di erence between both algorithms during the
rst part of the simulation. This is most clear in the right
plot of gure 5 in which the logarithm of J eval is plotted.
When the setpoint for the output returns from one to
zero at t 76, the M PC algorithm that uses performance index (67) calculates the maximum value for v.
H owever, it does not take the e ect of the non-linearity
into account, which in this case causes a more than
proportional increase in u. Therefore it is bene cial to
use a smaller input v at the cost of a slightly slower
response of the output as this improves the criterion
(69). This is exactly what the M PC algorithm presented
in this paper is doing. When the setpoint for the output
goes from zero to two, at t 101, a similar e ect is
observed. The smaller input v calculated by the M PC
algorithm presented in this paper, leads to a slightly
larger overshoot in the output, but because the associated control e ort in u decreases more than proportional, this will lead to a better evaluation based on
(69) (see gure 5). At t 126, when the setpoint for y
returns to zero, the same a ect as around t 76 is
observed. This example demonstrates that when the calculated v moves into the saturated region of the nonlinearity, the M PC algorithm presented in this paper is
able to account for this non-linear e ect by transforming the non-linearity into a polytopic description. This
improves the control action when evaluating the simulation with the criterion (69) as can be seen in gure 5.
N ote that criterion (69) corresponds to the original
objective function (4).

4.2. A M IM O H ammersteinW iener model

In this example the input non-linearity consists of
two parallel SISO non-linearities similar to the one
used in the previous example. The output non-linearity
consists of two exponential functions. Such an output
non-linearity is often used to approximate the non-linearity of high purity distillation columns for example
(Eskinat et al. 1991). The non-linearity and system
matrices and the weighting matrices of the performance
index, equation (4), are
v1
v2

eu1 1
eu1 1
eu2 1
eu2 1

70
71

0:95

0:01

0:02

6
6
6 0:01 0:93 0:05
6
6
A6
6 0:03 0:03 0:77
6
6
6 0
0
0
4

0:82

0:81

6
6
6 0:1
6
6
B6
6 0
6
6
6 1
4
0

"

"

0
0:8

39

>
>

>
=

0:7

7
7
7
7
7
7
7
5

0
1

0:77

0:18
#
0

0:37

0:01

0:8

#9

>
>
>
>
>
>
0:01 =
>
>
>
>
>
>
;

0:01

y 1 ew1 1
y 2 ew2 1
Q y 10 I

>
>

>
7>
>
>
0:06 7
>
7>
>
7>
>
>
7
>
0:25 7>
>
7>
>
>
7
>
>
7
>
0 7
>
5>
>
>

0:25 7

0:03

0:1

0:81

0:06 7
7

0:9

0:01

0:82

>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
;

72

73

74
75

Ru I

Hs 5

76

where I is the identity matrix. The initial condition used

is x 0; 0; 0; 0; 0T . The setpoints for y are 0:8647 ; 0T
and 0:8647; 0:8647 T for blocks of 25 time steps. The
operating region for u was limited to juj 5, the operating region for w was limited to jwj 2:5. Two extra
iterations, as sketched in } 2.7, were performed for the
presented M PC strategy, where the operating region for
v and w is reduced similarly as in the rst simulation
example.
The M PC algorithm that removes the input and output non-linearities from the control problem by an
inversion minimizes the performance index
J invnl k

1
X
i0

w k ijk Q w w k ijk

v k ijk T R v v k ijk

77

i.e. the weighting on w and v is constant in the above

performance index (Q w and R v ), whereas in the presented M PC algorithm it is dependent on the valid operating region, which yields the polytopic description,
resulting in a weighting HTlim k ijk Q y Hlim k ijk
and GTlim k ijk R u Glim k ijk respectively.
F or the comparison between both algorithms R v is
given by equation (68), and, similarly, Q w is given by

Predictive control H ammersteinW iener systems

493

F igure 6. Control performance for the M IMO H ammersteinWiener model. U pper plots: when the non-linearity is transformed
into a polytopic description as presented in this paper. Lower plots: when the non-linearity is removed from the control
problem. 1st and 2nd corresponds to the rst and second u, v, w and y.

F igure 7. Performance evaluation based on criterion (69) for the M IMO H ammersteinWiener model. Solid line: when the nonlinearity is transformed into a polytopic description as presented in this paper. D ashed line: when the non-linearity is
removed from the control problem.

Qw

7
@y 7
7
@w7w0

7
@y 7
I Qy I
Q y 7
@w7w0

78

such that around the origin, both algorithms have

approximately the same performance.
In gure 6 the simulations are plotted for the M PC
algorithm presented in this paper (upper plots) and for
the M PC algorithm in which the non-linearity is
removed from the control problem by an inversion
(lower plots). The M PC algorithm which removes the
non-linearity via an inversion calculates a fast setpoint
change for w1 in the rst part of the simulation. This is
accompanied with a deviation of w2 from its setpoint.
D ue to the exponential output non-linearity the deviation of y 2 from its setpoint is magni ed. To accomplish
this setpoint change the input is steered into the saturated region. The presented M PC algorithm, which uses
the polytopic descriptions, results in a slower setpoint
change, while keeping w2 and y 2 closer to their setpoints,
and using less control e ort. Thus the M PC algorithm
accounts for the e ects of the input and output nonlinearities on the inputoutput behaviour of the plant,
resulting in a better performance when evaluating it by

means of the criterion in equation (69) (see gure 7). A

similar e ect is observed for the second setpoint change.
5.

Discussion

In this paper a new M PC algorithm for

H ammersteinWiener systems is presented. This method
transforms the static input and output non-linearities
into polytopic descriptions, which enables one to use a
robust linear M PC algorithm. In this way a convex optimization problem is retained. By means of an iterative
procedure the conservatism of the controller can be
reduced as the operating region and the size of the associated polytopic description is reduced in every iteration. This can be interpreted as a kind of automatic gain
scheduling procedure. N ominal closed loop stability of
the presented M PC algorithm is guaranteed.
The major advantage of using the polytopic descriptions compared to removing the non-linearities from the
control problem, is the fact that the e ect of the nonlinearities on the inputoutput behaviour of the plant
is still taken into account. Because the non-linearity
is present in the original design criterion, (4), a better
control performance evaluated on this criterion is

494

H . H . J. Bloemen et al.

obtained. This has been demonstrated by two simulation

examples.
A disadvantage of the presented algorithm is the
rapid increase of the number of LM Is for general
input and output non-linearities. Because the polytopic
descriptions enter in the weighting matrices of the performance index some of the LM Is can be eliminated
from the optimization problem prior to solving it,
which reduces the computational load. In the special
case when the non-linearities consist of m SISO input
and p SISO output non-linearities and R u and Q y are
diagonal, the number of LM Is resulting from the nonlinear inequalities reduce to one for each non-linear
inequality. Although this special case is restrictive,
note that choosing R u and Q y diagonal is common practice. The other extreme of fully interacted non-linearities
will not be attractive from an identi cation point of view
as this requires a large number of parameters because of
the large number of possible interactions. Interactions
that do not substantially contribute will result in a large
variance of the corresponding parameters and as a result
should be omitted in the identi cation step. Thus when
SISO parallel non-linearities do not su ce one can focus
on more speci c interactions instead of a fully interacted
non-linearity. N ote that the M IM O linear dynamic
block and the possibility of using both input and output
non-linearities already can account for many interactions. Also note that in practical applications the
non-linearities often consist of SISO non-linearities,
for example the titration curve in pH neutralization processes (G erks ic et al. 2000, N orquay et al. 1999 b), and
the logarithmic transformation of the product compositions of distillation columns (Eskinat et al. 1991).
The presented M PC algorithm has been applied in a
case study which involves dual composition control of a
distillation column. To approximate the non-linear
behaviour of high purity distillation columns Wiener
models appear useful. The results concerning this benchmark problem can be found in Bloemen et al. (2000 a).

Acknowledgements
This research is supported by the D utch Technology
F oundation (STW) under project number D EL55.3891.

Appendix.

Schur complements

Convex quadratic matrix inequalities can be converted into linear matrix inequalities through the use
of Schur complements (see, for example, K othare et al.
1996). G iven M z M z T , L z L z T and K z,
being a ne in the variable z, then the matrix inequalities

M z > 0

L z K z T M z 1 K z 0

79

L z > 0

M z K z L z 1 K zT 0

80

are equivalent to the LM I

"
#
M z K z
K z T

L z

81

which can be proven by applying the congruence transformations

2
3
"
#
I
0
I K zL z 1
5
or 4
T
1
K z M z
I
0
I

82

to inequality (81) to give inequalities (79) and (80)

respectively.

References
A MATO, F ., G AROFALO, F ., G LIELMO, L ., and P IRONTI, A .,

1995, R obust and quadratic stability via polytopic set covering. International Journal of R obust and N onlinear Control,
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BLOEMEN , H . J . J ., C HOU, C . T ., VAN DEN BOOM, T . J . J .,

VERDULT, V., VERHAEGEN, M ., and BACKX, T . C ., 2000 a,
Wiener model identi cation and predictive control for dual
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BLOEMEN , H . H . J ., and VAN DEN BOOM, T . J . J ., 1999 a,
Constrained linear model-based predictive control with an
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U SA, 710 D ecember, pp. 45954600.
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