Optimal Control and Estimation MAE 546, Princeton University Robert Stengel, Preliminaries!
|
|
- Frederick Marshall
- 5 years ago
- Views:
Transcription
1 Optimal Control and Estimation MAE 546, Princeton University Robert Stengel, 2018 Copyright 2018 by Robert Stengel. All rights reserved. For educational use only Reference Preliminaries R. Stengel, Optimal Control and Estimation, Dover, 1994 Various journal papers and book chapters Resources Blackboard Course Home Page, Syllabus, and Links Engineering Library, including Databases and e-journals Assignments will be submitted using the notation and symbols of this course Tuesday and Thursday, 3-4:20 pm Room 306, Friend Center GRADING Class participation: 15 5-min quizzes: 10 Homework assignments: 35 Final Paper: 40 2
2 Syllabus - 1 Week Tuesday Thursday ==== ======= ======== 1 Overview and Preliminaries Minimization of Static Cost Functions 2 Principles for Optimal Control Principles for Optimal Control of Dynamic Systems Part 2 3 Path Constraints and Minimum-Time and -Fuel Numerical Optimization Optimization 4 Linear-Quadratic LQ) Control Dynamic System Stability 5 Linear-Quadratic Regulators Cost Functions and Controller Structures 6 LQ Control System Design Modal Properties of LQ Systems MID-TERM BREAK 3 Syllabus - 2 Week Tuesday Thursday ==== ======= ======== 7 Spectral Properties of LQ Systems Singular-Value Analysis 8 Probability and Statistics Least-Squares Estimation for Static Systems 9 Propagation of Uncertainty Kalman Filter in Dynamic Systems 10 Kalman-Bucy Filter Nonlinear State Estimation 11 Nonlinear State Estimation Adaptive State Estimation 12 Stochastic Optimal Control Linear-Quadratic-Gaussian Control READING PERIOD Final Paper due on Deans Date 4
3 Typical Optimization Problems Minimize the probable error in an estimate of the dynamic state of a system Maximize the probability of making a correct decision Minimize the time or energy required to achieve an objective Minimize the regulation error in a controlled system Estimation Control 5 Dynamic Systems Dynamic Process: Current state depends on prior state x = dynamic state u = input w = exogenous disturbance p = parameter t or k = time or event index Observation Process: Measurement may contain error or be incomplete y = output error-free) z = measurement n = measurement error All of these quantities are vectors 6
4 Mathematical Models of Dynamic Systems Dynamic Process: Current state depends on prior state x = dynamic state u = input w = exogenous disturbance p = parameter t = time index Observation Process: Measurement may contain error or be incomplete y = output error-free) z = measurement n = measurement error Continuous-time dynamic process: Vector Ordinary Differential Equation xt) = dxt) dt = f[xt),ut),wt),pt),t] t = time, s Output Transformation yt) = h[xt),ut)] Measurement with Error zt) = yt) + nt) 7 Example: Lateral Automobile Dynamics Constant forward axial) velocity, u No rigid-body rolling motion State Vector p = m I zz Y v Y steer N v N steer v Side velocity, m/s r x = Yaw angle rate, rad/s = y Lateral position, m Yaw angle, rad Parameter Vector mass, kg Lateral moment of inertia, N-m Side force sensitivity to side velocity, N/m/s) Side force sensitivity to steering angle, N/rad = Yawing moment sensitivity to side velocity, N-m/m/s) Yawing moment sensitivity to steering angle, N-m/rad u = steer = Steering angle, rad w = Control and Disturbance Vectors v wind f road = Crosswind, m/s Side force on front wheel, N Output and Measurement Vectors y y = = Lateral position, m Yaw angle, rad z = y measured measured = y + error + error 8
5 Lateral Automobile Dynamics Example Dynamic Process Observation Process x t) = ) ) ) ) v t r t y t t = Y x,u,w) m N x,u,w) I yy u sin + vcos r y = z = y z 1 z 2 = y 1 y 2 = y 1 + n 1 y 2 + n 2 = x 3 x 4 Discrete-Time Models of Dynamic Systems Dynamic Process: Current state depends on prior state x = dynamic state u = input w = exogenous disturbance p = parameter t = time index Discrete-time dynamic process: Vector Ordinary Difference Equation Observation Process: Measurement may contain error or be incomplete y = output error-free) z = measurement n = measurement error x k+1 = f k [x k,u k,w k,p k,k] k = time index, - ) = time interval, s t k+1 t k Output Transformation Measurement with Error y k = h k [x k,u k ] z k = y k + n k 10
6 Approximate Discrete-Time Lateral Automobile Dynamics Example x k+1 = Approximate Dynamic Process Rectangular Integration) v k+1 r k+1 y k+1 k+1 ) Y k x k,u k,w k m N k x k,u k,w k ) I yy u k sin k + v k cos k r k t k+1 ) t k ) Observation Process y k = = z k = = y k k = y 1k y 2k z 1k z 2k y 1k y 2k + n 1k + n 2k k k x 3k x 4k 11 Dynamic System Model Types NTV NTI LTV LTI dxt) dt dxt) dt = f [ xt),ut),wt),pt),t ] dxt) dt = f [ xt),ut),wt) ] = Ft)xt) + Gt)ut) + Lt)wt) dxt) = Fxt) + Gut) + Lwt) dt 12
7 Controllability and Observability Controllability: State can be brought from an arbitrary initial condition to zero in finite time by the use of control Observability: Initial state can be derived from measurements over a finite time interval Subsets of the system may be either, both, or neither Effects of Stability Stabilizability Detectability Blocks subject to feedback control? 13 Introduction to Optimization 14
8 Optimization Implies Choice Choice of best strategy Choice of best design parameters Choice of best control history Choice of best estimate Optimization is provided by selection of best control variables) 15 Tradeoff Between Two Cost Factors Minimum-Cost Cruising Speed Nominal Tradeoff Fuel Cost Doubled Fuel cost proportional to velocity-squared Cost of time inversely proportional to velocity Time Cost Doubled 16
9 Desirable Characteristics of a Cost Function, J Scalar Clearly defined preferably unique) maximum or minimum Local Global Preferably positive-definite i.e., always a positive number) 17 Criteria for Optimization Names for criteria Figure of merit Performance index Utility function Value function Cost function, J Optimal cost function = J* Optimal control = u* Minimum J = k Different criteria lead to different optimal solutions Maximum J = ke x2 Types of Optimality Criteria Absolute Regulatory Feasible 18
10 Minimum Cost Functions with Two Control Parameters Maximum 3-D plot of equal-cost contours iso-contours) 2-D plot of equal-cost contours iso-contours) 19 Real-World Topography Local vs. global maxima/minima 20
11 Must stay on the trail Cost Functions with Equality Constraints c u 1,u 2 ) = 0 u 2 = fcn u 1 ) Equality constraint may allow control dimension to be reduced ) = J u 1, fcn u 1 ) J u 1,u 2 ) = J u 1 21 Example: Minimize Concentrations of Bacteria, Infected Cells, and Drug Usage = Concentration of a pathogen, which displays antigen = Concentration of plasma cells, which are carriers and producers of antibodies x 3 = Concentration of antibodies, which recognize antigen and kill pathogen x 4 = Relative characteristic of a damaged organ [0 = healthy, 1 = dead] What is a reasonable cost function to minimize? 22
12 Optimal Estimate of the State, x, Given Uncertainty 23 Optimal State Estimation Goals Minimize effects of measurement error on knowledge of the state Reconstruct full state from reduced measurement set r n) Average redundant measurements r n) to estimate the full state Method Provide optimal balance between measurements and estimates based on the dynamic model alone 24
13 Typical Problems in Optimal Control and Estimation 25 Minimize an Absolute Criterion Achieve a specific objective Minimum time Minimum fuel Minimum financial cost to achieve a goal What is the control variable? 26
14 Optimal System Regulation Find feedback control gains that minimize tracking error in presence of random disturbances 27 Feasible Control Logic Find feedback control structure that guarantees stability i.e., that keeps x from diverging) 28
15 Cost Functions with Inequality Constraints Must stay to the left of the trail Must stay to the right of the trail 29 Static vs. Dynamic Optimization Static Optimal state, x*, and control, u*, are fixed, i.e., they do not change over time J* = Jx*, u*) Functional minimization or maximization) Parameter optimization Dynamic Optimal state and control vary over time J* = J[x*t), u*t)] Optimal trajectory Optimal feedback strategy Optimized cost function, J*, is a scalar, real number in both cases 30
16 Deterministic vs. Stochastic Optimization Deterministic System model, parameters, initial conditions, and disturbances are known without error Optimal control operates on the system with certainty J* = Jx*, u*) Stochastic Uncertainty in system model parameters initial conditions disturbances resulting cost function Optimal control minimizes the expected value of the cost: Optimal cost = E{J[x*, u*]} Cost function is a scalar, real number in both cases 31 Example: Pursuit-Evasion: Competitive Optimization Problem Pursuer s goal: minimize final miss distance Evader s goal: maximize final miss distance Minimax saddle-point) cost function Optimal control laws for pursuer and evader ut) = u P t) u E t) = C P t) C PEt) C EP t) C E t) ˆx P t) ˆx E t) Example of a differential game, Isaacs 1965), Bryson Ho 1969) 32
17 Example: Simultaneous Location and Mapping SLAM) Durrant- Whyte et al Build or update a local map within an unknown environment Stochastic map, defined by mean and covariance SLAM Algorithm = State estimation with extended Kalman filter Landmark and terrain tracking 33 Next Time: Minimization of Static Cost Functions Reading: Optimal Control and Estimation OCE): Chapter 1, Section
18 Supplemental Material 35 Math Review Scalars and Vectors Matrices, Transpose, and Trace Sums and Multiplication Vector Products Matrix Products Derivatives, Integrals, and Identity Matrix Matrix Inverse 36
19 Scalars and Vectors Scalar: usually lower case: a, b, c,, x, y, z Vector: usually bold or with underbar: x or x Ordered set Column of scalars Dimension = n Transpose: interchange rows and columns x T = x 3 x = x 3 3-D Vector ; y = a b c d x 3 37 Matrices and Transpose Matrix: Usually bold capital or capital: F or F Dimension = m x n) Transpose: Interchange rows and columns A = a b c d e f g h k l m n 4 x 3 A T = a d g l b e h m c f k n 3 x 4 38
20 Trace of a Square Matrix Trace of A = n i=1 a ii A = a b c d e f g h i ; Tr A) = a + e + i 39 Sums and Multiplication by a Scalar Operands must be conformable Conformable vectors and matrices are added term by term x = a b ; z = c d ; x + z = a + c) b + d) A = a 1 a 2 a 3 a 4 ; B = b 1 b 2 b 3 b 4 ; A + B = a 1 + b 1 ) a 2 + b 2 ) a 3 + b 3 ) a 4 + b 4 ) Multiplication of vector by scalar is associative commutative distributive a ax = xa = a ax 3 ax T = a a ax 3 40
21 Vector Products Inner dot) product of vectors produces a scalar x T x = x x = x 3 1 m)m 1) = 11) x 3 = ) Outer product of vectors produces a matrix xx T = x x = x 3 m 1)1 m) = m m) x 3 = 2 2 x 3 x 3 x 3 x 3 x Matrix Products Matrix-vector product transforms one vector into another y = Ax = a b c d e f g h k l m n n 1) = n m)m 1) x 3 = a + b + cx 3 d + e + fx 3 g + h + kx 3 l + m + nx 3 Matrix-matrix product produces a new matrix a 1 a 2 b 1 b 2 A = ; B = ; AB = a 3 a 4 b 3 b 4 a 1 b 1 + a 2 b 3 ) a 1 b 2 + a 2 b 4 ) a 3 b 1 + a 4 b 3 ) a 3 b 2 + a 4 b 4 ) n m) = n l)l m) 42
22 Inner product x T x = Examples = ) = 14 = length) 2 y = v x v y v z Rotation of expression for velocity vector through pitch angle = 2 cos 0 sin sin 0 cos Matrix product v x v y v z v x1 cos + v z1 sin = v y1 v x1 cos + v z1 sin a c b d = a + 2c 3a + 4c b + 2d 3b + 4d 43 Vector Transformation Example y = Ax = n 1) = n m)m 1) x 3 = x 3 ) x 3 ) x 3 ) ) 9 6 3x 3 = y 1 y 2 y 3 y 4 44
23 Derivatives and Integrals of Vectors Derivatives and integrals of vectors are vectors of derivatives and integrals dx dt = d dt d dt dx 3 dt x dt = dt dt x 3 dt 45 Matrix Identity and Inverse Identity matrix: no change when it multiplies a conformable vector or matrix I 3 = y = Iy A non-singular square matrix multiplied by its inverse forms an identity matrix AA 1 = A 1 A = I AA 1 = = cos 0 sin sin 0 cos cos 0 sin sin 0 cos = cos 0 sin sin 0 cos cos 0 sin sin 0 cos 1 46
24 A non-singular square matrix multiplied by its inverse forms an identity matrix Matrix Inverse AA 1 = A 1 A = I The inverse allows a reverse transformation of vectors of equal dimension y = Ax; x = A 1 y; dimx) = dimy) = n 1); dima) = n n) ) [ A] 1 = Adj A A = Adj A) det A n n) 1 1) Cofactors are signed minors of A = CT det A ; C = matrix of cofactors ij th minor of A is the determinant of A with the i th row and j th column removed 47 Matrix Inverse Example Transformation = A x y z 2 = cos 0 sin sin 0 cos x y z 1 Inverse Transformation = A 1 x y z 1 = cos 0 sin sin 0 cos x y z 2 48
Optimal Control and Estimation MAE 546, Princeton University Robert Stengel, Preliminaries!
Optimal Control and Estimation MAE 546, Princeton University Robert Stengel, 2017 Copyright 2017 by Robert Stengel. All rights reserved. For educational use only. http://www.princeton.edu/~stengel/mae546.html
More informationIntroduction to Optimization!
Introduction to Optimization! Robert Stengel! Robotics and Intelligent Systems, MAE 345, Princeton University, 2017 Optimization problems and criteria Cost functions Static optimality conditions Examples
More informationAircraft Flight Dynamics Robert Stengel MAE 331, Princeton University, 2018
Aircraft Flight Dynamics Robert Stengel MAE 331, Princeton University, 2018 Course Overview Introduction to Flight Dynamics Math Preliminaries Copyright 2018 by Robert Stengel. All rights reserved. For
More informationAircraft Flight Dynamics!
Aircraft Flight Dynamics Robert Stengel MAE 331, Princeton University, 2016 Course Overview Introduction to Flight Dynamics Math Preliminaries Copyright 2016 by Robert Stengel. All rights reserved. For
More informationMinimization with Equality Constraints
Path Constraints and Numerical Optimization Robert Stengel Optimal Control and Estimation, MAE 546, Princeton University, 2015 State and Control Equality Constraints Pseudoinverse State and Control Inequality
More informationStochastic Optimal Control!
Stochastic Control! Robert Stengel! Robotics and Intelligent Systems, MAE 345, Princeton University, 2015 Learning Objectives Overview of the Linear-Quadratic-Gaussian (LQG) Regulator Introduction to Stochastic
More informationMinimization with Equality Constraints!
Path Constraints and Numerical Optimization Robert Stengel Optimal Control and Estimation, MAE 546, Princeton University, 2017 State and Control Equality Constraints Pseudoinverse State and Control Inequality
More informationTime Response of Dynamic Systems! Multi-Dimensional Trajectories Position, velocity, and acceleration are vectors
Time Response of Dynamic Systems Robert Stengel Robotics and Intelligent Systems MAE 345, Princeton University, 217 Multi-dimensional trajectories Numerical integration Linear and nonlinear systems Linearization
More informationOPTIMAL CONTROL AND ESTIMATION
OPTIMAL CONTROL AND ESTIMATION Robert F. Stengel Department of Mechanical and Aerospace Engineering Princeton University, Princeton, New Jersey DOVER PUBLICATIONS, INC. New York CONTENTS 1. INTRODUCTION
More informationNonlinear State Estimation! Extended Kalman Filters!
Nonlinear State Estimation! Extended Kalman Filters! Robert Stengel! Optimal Control and Estimation, MAE 546! Princeton University, 2017!! Deformation of the probability distribution!! Neighboring-optimal
More informationTime-Invariant Linear Quadratic Regulators Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 2015
Time-Invariant Linear Quadratic Regulators Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 15 Asymptotic approach from time-varying to constant gains Elimination of cross weighting
More informationDynamic Optimal Control!
Dynamic Optimal Control! Robert Stengel! Robotics and Intelligent Systems MAE 345, Princeton University, 2017 Learning Objectives Examples of cost functions Necessary conditions for optimality Calculation
More informationMinimization of Static! Cost Functions!
Minimization of Static Cost Functions Robert Stengel Optimal Control and Estimation, MAE 546, Princeton University, 2017 J = Static cost function with constant control parameter vector, u Conditions for
More informationTime-Invariant Linear Quadratic Regulators!
Time-Invariant Linear Quadratic Regulators Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 17 Asymptotic approach from time-varying to constant gains Elimination of cross weighting
More informationLinearized Equations of Motion!
Linearized Equations of Motion Robert Stengel, Aircraft Flight Dynamics MAE 331, 216 Learning Objectives Develop linear equations to describe small perturbational motions Apply to aircraft dynamic equations
More informationLinear-Quadratic-Gaussian Controllers!
Linear-Quadratic-Gaussian Controllers! Robert Stengel! Optimal Control and Estimation MAE 546! Princeton University, 2017!! LTI dynamic system!! Certainty Equivalence and the Separation Theorem!! Asymptotic
More informationStochastic and Adaptive Optimal Control
Stochastic and Adaptive Optimal Control Robert Stengel Optimal Control and Estimation, MAE 546 Princeton University, 2018! Nonlinear systems with random inputs and perfect measurements! Stochastic neighboring-optimal
More informationTranslational and Rotational Dynamics!
Translational and Rotational Dynamics Robert Stengel Robotics and Intelligent Systems MAE 345, Princeton University, 217 Copyright 217 by Robert Stengel. All rights reserved. For educational use only.
More informationControl Systems! Copyright 2017 by Robert Stengel. All rights reserved. For educational use only.
Control Systems Robert Stengel Robotics and Intelligent Systems MAE 345, Princeton University, 2017 Analog vs. digital systems Continuous- and Discretetime Dynamic Models Frequency Response Transfer Functions
More informationLinear Quadratic Zero-Sum Two-Person Differential Games Pierre Bernhard June 15, 2013
Linear Quadratic Zero-Sum Two-Person Differential Games Pierre Bernhard June 15, 2013 Abstract As in optimal control theory, linear quadratic (LQ) differential games (DG) can be solved, even in high dimension,
More informationReturn Difference Function and Closed-Loop Roots Single-Input/Single-Output Control Systems
Spectral Properties of Linear- Quadratic Regulators Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 2018! Stability margins of single-input/singleoutput (SISO) systems! Characterizations
More informationChapter 3. LQ, LQG and Control System Design. Dutch Institute of Systems and Control
Chapter 3 LQ, LQG and Control System H 2 Design Overview LQ optimization state feedback LQG optimization output feedback H 2 optimization non-stochastic version of LQG Application to feedback system design
More informationLinear-Optimal State Estimation
Linear-Optimal State Estimation Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 218 Linear-optimal Gaussian estimator for discrete-time system (Kalman filter) 2 nd -order example
More informationFirst-Order Low-Pass Filter!
Filters, Cost Functions, and Controller Structures! Robert Stengel! Optimal Control and Estimation MAE 546! Princeton University, 217!! Dynamic systems as low-pass filters!! Frequency response of dynamic
More informationLinear Quadratic Zero-Sum Two-Person Differential Games
Linear Quadratic Zero-Sum Two-Person Differential Games Pierre Bernhard To cite this version: Pierre Bernhard. Linear Quadratic Zero-Sum Two-Person Differential Games. Encyclopaedia of Systems and Control,
More informationBasic Linear Algebra in MATLAB
Basic Linear Algebra in MATLAB 9.29 Optional Lecture 2 In the last optional lecture we learned the the basic type in MATLAB is a matrix of double precision floating point numbers. You learned a number
More informationAircraft Equations of Motion: Translation and Rotation Robert Stengel, Aircraft Flight Dynamics, MAE 331, 2018
Aircraft Equations of Motion: Translation and Rotation Robert Stengel, Aircraft Flight Dynamics, MAE 331, 2018 Learning Objectives What use are the equations of motion? How is the angular orientation of
More information(q 1)t. Control theory lends itself well such unification, as the structure and behavior of discrete control
My general research area is the study of differential and difference equations. Currently I am working in an emerging field in dynamical systems. I would describe my work as a cross between the theoretical
More informationAdaptive State Estimation Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 2018
Adaptive State Estimation Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 218! Nonlinearity of adaptation! Parameter-adaptive filtering! Test for whiteness of the residual!
More information3-D Kinetics of Rigid Bodies
3-D Kinetics of Rigid Bodies Angular Momentum Generalized Newton s second law for the motion for a 3-D mass system Moment eqn for 3-D motion will be different than that obtained for plane motion Consider
More informationTime Series Analysis
Time Series Analysis hm@imm.dtu.dk Informatics and Mathematical Modelling Technical University of Denmark DK-2800 Kgs. Lyngby 1 Outline of the lecture State space models, 1st part: Model: Sec. 10.1 The
More informationOverview of the Seminar Topic
Overview of the Seminar Topic Simo Särkkä Laboratory of Computational Engineering Helsinki University of Technology September 17, 2007 Contents 1 What is Control Theory? 2 History
More informationMATRICES The numbers or letters in any given matrix are called its entries or elements
MATRICES A matrix is defined as a rectangular array of numbers. Examples are: 1 2 4 a b 1 4 5 A : B : C 0 1 3 c b 1 6 2 2 5 8 The numbers or letters in any given matrix are called its entries or elements
More informationOR MSc Maths Revision Course
OR MSc Maths Revision Course Tom Byrne School of Mathematics University of Edinburgh t.m.byrne@sms.ed.ac.uk 15 September 2017 General Information Today JCMB Lecture Theatre A, 09:30-12:30 Mathematics revision
More information6.241 Dynamic Systems and Control
6.241 Dynamic Systems and Control Lecture 24: H2 Synthesis Emilio Frazzoli Aeronautics and Astronautics Massachusetts Institute of Technology May 4, 2011 E. Frazzoli (MIT) Lecture 24: H 2 Synthesis May
More informationExam. 135 minutes, 15 minutes reading time
Exam August 6, 208 Control Systems II (5-0590-00) Dr. Jacopo Tani Exam Exam Duration: 35 minutes, 5 minutes reading time Number of Problems: 35 Number of Points: 47 Permitted aids: 0 pages (5 sheets) A4.
More informationIntroduction to Matrices
214 Analysis and Design of Feedback Control Systems Introduction to Matrices Derek Rowell October 2002 Modern system dynamics is based upon a matrix representation of the dynamic equations governing the
More information1 Determinants. 1.1 Determinant
1 Determinants [SB], Chapter 9, p.188-196. [SB], Chapter 26, p.719-739. Bellow w ll study the central question: which additional conditions must satisfy a quadratic matrix A to be invertible, that is to
More informationSingular Value Analysis of Linear- Quadratic Systems!
Singular Value Analyi of Linear- Quadratic Sytem! Robert Stengel! Optimal Control and Etimation MAE 546! Princeton Univerity, 2017!! Multivariable Nyquit Stability Criterion!! Matrix Norm and Singular
More informationNonlinear State Estimation! Particle, Sigma-Points Filters!
Nonlinear State Estimation! Particle, Sigma-Points Filters! Robert Stengel! Optimal Control and Estimation, MAE 546! Princeton University, 2017!! Particle filter!! Sigma-Points Unscented Kalman ) filter!!
More informationLQR, Kalman Filter, and LQG. Postgraduate Course, M.Sc. Electrical Engineering Department College of Engineering University of Salahaddin
LQR, Kalman Filter, and LQG Postgraduate Course, M.Sc. Electrical Engineering Department College of Engineering University of Salahaddin May 2015 Linear Quadratic Regulator (LQR) Consider a linear system
More informationHere represents the impulse (or delta) function. is an diagonal matrix of intensities, and is an diagonal matrix of intensities.
19 KALMAN FILTER 19.1 Introduction In the previous section, we derived the linear quadratic regulator as an optimal solution for the fullstate feedback control problem. The inherent assumption was that
More informationMaterials engineering Collage \\ Ceramic & construction materials department Numerical Analysis \\Third stage by \\ Dalya Hekmat
Materials engineering Collage \\ Ceramic & construction materials department Numerical Analysis \\Third stage by \\ Dalya Hekmat Linear Algebra Lecture 2 1.3.7 Matrix Matrix multiplication using Falk s
More informationA6523 Modeling, Inference, and Mining Jim Cordes, Cornell University
A6523 Modeling, Inference, and Mining Jim Cordes, Cornell University Lecture 19 Modeling Topics plan: Modeling (linear/non- linear least squares) Bayesian inference Bayesian approaches to spectral esbmabon;
More informationPrediction of ESTSP Competition Time Series by Unscented Kalman Filter and RTS Smoother
Prediction of ESTSP Competition Time Series by Unscented Kalman Filter and RTS Smoother Simo Särkkä, Aki Vehtari and Jouko Lampinen Helsinki University of Technology Department of Electrical and Communications
More informationA Review of Matrix Analysis
Matrix Notation Part Matrix Operations Matrices are simply rectangular arrays of quantities Each quantity in the array is called an element of the matrix and an element can be either a numerical value
More informationElementary maths for GMT
Elementary maths for GMT Linear Algebra Part 2: Matrices, Elimination and Determinant m n matrices The system of m linear equations in n variables x 1, x 2,, x n a 11 x 1 + a 12 x 2 + + a 1n x n = b 1
More informationReview of Linear Algebra
Review of Linear Algebra Definitions An m n (read "m by n") matrix, is a rectangular array of entries, where m is the number of rows and n the number of columns. 2 Definitions (Con t) A is square if m=
More informationPhys 201. Matrices and Determinants
Phys 201 Matrices and Determinants 1 1.1 Matrices 1.2 Operations of matrices 1.3 Types of matrices 1.4 Properties of matrices 1.5 Determinants 1.6 Inverse of a 3 3 matrix 2 1.1 Matrices A 2 3 7 =! " 1
More informationAlternative Expressions for the Velocity Vector Velocity restricted to the vertical plane. Longitudinal Equations of Motion
Linearized Longitudinal Equations of Motion Robert Stengel, Aircraft Flig Dynamics MAE 33, 008 Separate solutions for nominal and perturbation flig paths Assume that nominal path is steady and in the vertical
More informationLinear Algebra review Powers of a diagonalizable matrix Spectral decomposition
Linear Algebra review Powers of a diagonalizable matrix Spectral decomposition Prof. Tesler Math 283 Fall 2018 Also see the separate version of this with Matlab and R commands. Prof. Tesler Diagonalizing
More informationLinear Algebra review Powers of a diagonalizable matrix Spectral decomposition
Linear Algebra review Powers of a diagonalizable matrix Spectral decomposition Prof. Tesler Math 283 Fall 2016 Also see the separate version of this with Matlab and R commands. Prof. Tesler Diagonalizing
More informationUCLA Chemical Engineering. Process & Control Systems Engineering Laboratory
Constrained Innite-time Optimal Control Donald J. Chmielewski Chemical Engineering Department University of California Los Angeles February 23, 2000 Stochastic Formulation - Min Max Formulation - UCLA
More informationa11 a A = : a 21 a 22
Matrices The study of linear systems is facilitated by introducing matrices. Matrix theory provides a convenient language and notation to express many of the ideas concisely, and complicated formulas are
More informationMultiple Degree of Freedom Systems. The Millennium bridge required many degrees of freedom to model and design with.
Multiple Degree of Freedom Systems The Millennium bridge required many degrees of freedom to model and design with. The first step in analyzing multiple degrees of freedom (DOF) is to look at DOF DOF:
More informationIntroduction to Quantitative Techniques for MSc Programmes SCHOOL OF ECONOMICS, MATHEMATICS AND STATISTICS MALET STREET LONDON WC1E 7HX
Introduction to Quantitative Techniques for MSc Programmes SCHOOL OF ECONOMICS, MATHEMATICS AND STATISTICS MALET STREET LONDON WC1E 7HX September 2007 MSc Sep Intro QT 1 Who are these course for? The September
More informationMATRIX ALGEBRA AND SYSTEMS OF EQUATIONS. + + x 1 x 2. x n 8 (4) 3 4 2
MATRIX ALGEBRA AND SYSTEMS OF EQUATIONS SYSTEMS OF EQUATIONS AND MATRICES Representation of a linear system The general system of m equations in n unknowns can be written a x + a 2 x 2 + + a n x n b a
More informationLecture 7: Vectors and Matrices II Introduction to Matrices (See Sections, 3.3, 3.6, 3.7 and 3.9 in Boas)
Lecture 7: Vectors and Matrices II Introduction to Matrices (See Sections 3.3 3.6 3.7 and 3.9 in Boas) Here we will continue our discussion of vectors and their transformations. In Lecture 6 we gained
More informationReview 1 Math 321: Linear Algebra Spring 2010
Department of Mathematics and Statistics University of New Mexico Review 1 Math 321: Linear Algebra Spring 2010 This is a review for Midterm 1 that will be on Thursday March 11th, 2010. The main topics
More information11 a 12 a 21 a 11 a 22 a 12 a 21. (C.11) A = The determinant of a product of two matrices is given by AB = A B 1 1 = (C.13) and similarly.
C PROPERTIES OF MATRICES 697 to whether the permutation i 1 i 2 i N is even or odd, respectively Note that I =1 Thus, for a 2 2 matrix, the determinant takes the form A = a 11 a 12 = a a 21 a 11 a 22 a
More informationPHYS 705: Classical Mechanics. Rigid Body Motion Introduction + Math Review
1 PHYS 705: Classical Mechanics Rigid Body Motion Introduction + Math Review 2 How to describe a rigid body? Rigid Body - a system of point particles fixed in space i r ij j subject to a holonomic constraint:
More informationEL2520 Control Theory and Practice
EL2520 Control Theory and Practice Lecture 8: Linear quadratic control Mikael Johansson School of Electrical Engineering KTH, Stockholm, Sweden Linear quadratic control Allows to compute the controller
More informationMATH 2050 Assignment 8 Fall [10] 1. Find the determinant by reducing to triangular form for the following matrices.
MATH 2050 Assignment 8 Fall 2016 [10] 1. Find the determinant by reducing to triangular form for the following matrices. 0 1 2 (a) A = 2 1 4. ANS: We perform the Gaussian Elimination on A by the following
More informationKalman Filter. Predict: Update: x k k 1 = F k x k 1 k 1 + B k u k P k k 1 = F k P k 1 k 1 F T k + Q
Kalman Filter Kalman Filter Predict: x k k 1 = F k x k 1 k 1 + B k u k P k k 1 = F k P k 1 k 1 F T k + Q Update: K = P k k 1 Hk T (H k P k k 1 Hk T + R) 1 x k k = x k k 1 + K(z k H k x k k 1 ) P k k =(I
More informationBasic Math Review for CS1340
Basic Math Review for CS1340 Dr. Mihail January 15, 2015 (Dr. Mihail) Math Review for CS1340 January 15, 2015 1 / 34 Sets Definition of a set A set is a collection of distinct objects, considered as an
More informationKnowledge Discovery and Data Mining 1 (VO) ( )
Knowledge Discovery and Data Mining 1 (VO) (707.003) Review of Linear Algebra Denis Helic KTI, TU Graz Oct 9, 2014 Denis Helic (KTI, TU Graz) KDDM1 Oct 9, 2014 1 / 74 Big picture: KDDM Probability Theory
More informationMath Bootcamp An p-dimensional vector is p numbers put together. Written as. x 1 x =. x p
Math Bootcamp 2012 1 Review of matrix algebra 1.1 Vectors and rules of operations An p-dimensional vector is p numbers put together. Written as x 1 x =. x p. When p = 1, this represents a point in the
More informationFirst-Order Low-Pass Filter
Filters, Cost Functions, and Controller Structures Robert Stengel Optimal Control and Estimation MAE 546 Princeton University, 218! Dynamic systems as low-pass filters! Frequency response of dynamic systems!
More informationChapter 9: Systems of Equations and Inequalities
Chapter 9: Systems of Equations and Inequalities 9. Systems of Equations Solve the system of equations below. By this we mean, find pair(s) of numbers (x, y) (if possible) that satisfy both equations.
More informationLecture 13: Simple Linear Regression in Matrix Format
See updates and corrections at http://www.stat.cmu.edu/~cshalizi/mreg/ Lecture 13: Simple Linear Regression in Matrix Format 36-401, Section B, Fall 2015 13 October 2015 Contents 1 Least Squares in Matrix
More informationMATRIX ALGEBRA. or x = (x 1,..., x n ) R n. y 1 y 2. x 2. x m. y m. y = cos θ 1 = x 1 L x. sin θ 1 = x 2. cos θ 2 = y 1 L y.
as Basics Vectors MATRIX ALGEBRA An array of n real numbers x, x,, x n is called a vector and it is written x = x x n or x = x,, x n R n prime operation=transposing a column to a row Basic vector operations
More informationFlip Your Grade Book With Concept-Based Grading CMC 3 South Presentation, Pomona, California, 2016 March 05
Flip Your Grade Book With Concept-Based Grading CMC South Presentation, Pomona, California, 016 March 05 Phil Alexander Smith, American River College (smithp@arc.losrios.edu) Additional Resources and Information
More information, respectively to the inverse and the inverse differential problem. Check the correctness of the obtained results. Exercise 2 y P 2 P 1.
Robotics I July 8 Exercise Define the orientation of a rigid body in the 3D space through three rotations by the angles α β and γ around three fixed axes in the sequence Y X and Z and determine the associated
More informationELE539A: Optimization of Communication Systems Lecture 15: Semidefinite Programming, Detection and Estimation Applications
ELE539A: Optimization of Communication Systems Lecture 15: Semidefinite Programming, Detection and Estimation Applications Professor M. Chiang Electrical Engineering Department, Princeton University March
More informationBasic Math Review for CS4830
Basic Math Review for CS4830 Dr. Mihail August 18, 2016 (Dr. Mihail) Math Review for CS4830 August 18, 2016 1 / 35 Sets Definition of a set A set is a collection of distinct objects, considered as an object
More informationSome definitions. Math 1080: Numerical Linear Algebra Chapter 5, Solving Ax = b by Optimization. A-inner product. Important facts
Some definitions Math 1080: Numerical Linear Algebra Chapter 5, Solving Ax = b by Optimization M. M. Sussman sussmanm@math.pitt.edu Office Hours: MW 1:45PM-2:45PM, Thack 622 A matrix A is SPD (Symmetric
More informationA Little Necessary Matrix Algebra for Doctoral Studies in Business & Economics. Matrix Algebra
A Little Necessary Matrix Algebra for Doctoral Studies in Business & Economics James J. Cochran Department of Marketing & Analysis Louisiana Tech University Jcochran@cab.latech.edu Matrix Algebra Matrix
More informationChapter 2 Optimal Control Problem
Chapter 2 Optimal Control Problem Optimal control of any process can be achieved either in open or closed loop. In the following two chapters we concentrate mainly on the first class. The first chapter
More informationLinear Algebra, part 2 Eigenvalues, eigenvectors and least squares solutions
Linear Algebra, part 2 Eigenvalues, eigenvectors and least squares solutions Anna-Karin Tornberg Mathematical Models, Analysis and Simulation Fall semester, 2013 Main problem of linear algebra 2: Given
More information4 Linear Algebra Review
Linear Algebra Review For this topic we quickly review many key aspects of linear algebra that will be necessary for the remainder of the text 1 Vectors and Matrices For the context of data analysis, the
More informationELEC4631 s Lecture 2: Dynamic Control Systems 7 March Overview of dynamic control systems
ELEC4631 s Lecture 2: Dynamic Control Systems 7 March 2011 Overview of dynamic control systems Goals of Controller design Autonomous dynamic systems Linear Multi-input multi-output (MIMO) systems Bat flight
More informationMath Camp II. Basic Linear Algebra. Yiqing Xu. Aug 26, 2014 MIT
Math Camp II Basic Linear Algebra Yiqing Xu MIT Aug 26, 2014 1 Solving Systems of Linear Equations 2 Vectors and Vector Spaces 3 Matrices 4 Least Squares Systems of Linear Equations Definition A linear
More informationEE731 Lecture Notes: Matrix Computations for Signal Processing
EE731 Lecture Notes: Matrix Computations for Signal Processing James P. Reilly c Department of Electrical and Computer Engineering McMaster University September 22, 2005 0 Preface This collection of ten
More informationTTK4190 Guidance and Control Exam Suggested Solution Spring 2011
TTK4190 Guidance and Control Exam Suggested Solution Spring 011 Problem 1 A) The weight and buoyancy of the vehicle can be found as follows: W = mg = 15 9.81 = 16.3 N (1) B = 106 4 ( ) 0.6 3 3 π 9.81 =
More informationExercise Sheet 1.
Exercise Sheet 1 You can download my lecture and exercise sheets at the address http://sami.hust.edu.vn/giang-vien/?name=huynt 1) Let A, B be sets. What does the statement "A is not a subset of B " mean?
More informationMathematics. EC / EE / IN / ME / CE. for
Mathematics for EC / EE / IN / ME / CE By www.thegateacademy.com Syllabus Syllabus for Mathematics Linear Algebra: Matrix Algebra, Systems of Linear Equations, Eigenvalues and Eigenvectors. Probability
More informationENGI 9420 Lecture Notes 2 - Matrix Algebra Page Matrix operations can render the solution of a linear system much more efficient.
ENGI 940 Lecture Notes - Matrix Algebra Page.0. Matrix Algebra A linear system of m equations in n unknowns, a x + a x + + a x b (where the a ij and i n n a x + a x + + a x b n n a x + a x + + a x b m
More informationEstimation, Detection, and Identification CMU 18752
Estimation, Detection, and Identification CMU 18752 Graduate Course on the CMU/Portugal ECE PhD Program Spring 2008/2009 Instructor: Prof. Paulo Jorge Oliveira pjcro @ isr.ist.utl.pt Phone: +351 21 8418053
More informationColumbus State Community College Mathematics Department Public Syllabus
Columbus State Community College Mathematics Department Public Syllabus Course and Number: MATH 2568 Elementary Linear Algebra Credits: 4 Class Hours Per Week: 4 Prerequisites: MATH 2153 with a C or higher
More information1 Kalman Filter Introduction
1 Kalman Filter Introduction You should first read Chapter 1 of Stochastic models, estimation, and control: Volume 1 by Peter S. Maybec (available here). 1.1 Explanation of Equations (1-3) and (1-4) Equation
More informationLinear Algebra Review (Course Notes for Math 308H - Spring 2016)
Linear Algebra Review (Course Notes for Math 308H - Spring 2016) Dr. Michael S. Pilant February 12, 2016 1 Background: We begin with one of the most fundamental notions in R 2, distance. Letting (x 1,
More informationLinear Discrete-time State Space Realization of a Modified Quadruple Tank System with State Estimation using Kalman Filter
Journal of Physics: Conference Series PAPER OPEN ACCESS Linear Discrete-time State Space Realization of a Modified Quadruple Tank System with State Estimation using Kalman Filter To cite this article:
More informationLecture 9. Introduction to Kalman Filtering. Linear Quadratic Gaussian Control (LQG) G. Hovland 2004
MER42 Advanced Control Lecture 9 Introduction to Kalman Filtering Linear Quadratic Gaussian Control (LQG) G. Hovland 24 Announcement No tutorials on hursday mornings 8-9am I will be present in all practical
More informationMathematical Theory of Control Systems Design
Mathematical Theory of Control Systems Design by V. N. Afarias'ev, V. B. Kolmanovskii and V. R. Nosov Moscow University of Electronics and Mathematics, Moscow, Russia KLUWER ACADEMIC PUBLISHERS DORDRECHT
More informationLinear Algebra. Matrices Operations. Consider, for example, a system of equations such as x + 2y z + 4w = 0, 3x 4y + 2z 6w = 0, x 3y 2z + w = 0.
Matrices Operations Linear Algebra Consider, for example, a system of equations such as x + 2y z + 4w = 0, 3x 4y + 2z 6w = 0, x 3y 2z + w = 0 The rectangular array 1 2 1 4 3 4 2 6 1 3 2 1 in which the
More informationGame Theory Extra Lecture 1 (BoB)
Game Theory 2014 Extra Lecture 1 (BoB) Differential games Tools from optimal control Dynamic programming Hamilton-Jacobi-Bellman-Isaacs equation Zerosum linear quadratic games and H control Baser/Olsder,
More information1 Continuous-time Systems
Observability Completely controllable systems can be restructured by means of state feedback to have many desirable properties. But what if the state is not available for feedback? What if only the output
More informationModeling and Control Overview
Modeling and Control Overview D R. T A R E K A. T U T U N J I A D V A N C E D C O N T R O L S Y S T E M S M E C H A T R O N I C S E N G I N E E R I N G D E P A R T M E N T P H I L A D E L P H I A U N I
More informationMath Linear Algebra Final Exam Review Sheet
Math 15-1 Linear Algebra Final Exam Review Sheet Vector Operations Vector addition is a component-wise operation. Two vectors v and w may be added together as long as they contain the same number n of
More informationSYSTEMTEORI - KALMAN FILTER VS LQ CONTROL
SYSTEMTEORI - KALMAN FILTER VS LQ CONTROL 1. Optimal regulator with noisy measurement Consider the following system: ẋ = Ax + Bu + w, x(0) = x 0 where w(t) is white noise with Ew(t) = 0, and x 0 is a stochastic
More information