English

A simple pole-shifting gain matrix $K$ which avoids solving Lyapunov equations

Optimization and Control 2024-02-19 v1

Abstract

It is well known that if ACN×NA\in\mathbb{C}^{N\times N} and BCN×MB\in\mathbb{C}^{N\times M} form a controllable pair (in the sense that the Kalman matrix [B  AB    AN1B][B\ |\ AB\ | \ \dots\ |\ A^{N-1}B] has full rank) then, there exists KCM×NK\in\mathbb{C}^{M\times N} such that the matrix A+BKA+BK has only eigenvalues with negative real parts. The matrix KK is not unique, and is usually defined by a solution of a Lyapunov equation, which, in case of large NN, is not easily manageable from the computational point of view. In this work, we show that, for general matrices AA and BB, if they satisfy the controllability Kalman rank condition, then K=Bk=1N[(A+γkI)1]{k=1N[(A+γkI)1BB(A+γkI)1]}1K=-\overline{B}^\top\sum_{k=1}^N\left[(\overline{A}^\top+\gamma_kI)^{-1}\right]\left\{\sum_{k=1}^N\left[(A+\gamma_kI)^{-1}B\overline{B}^\top(\overline{A}^\top+\gamma_kI)^{-1}\right]\right\}^{-1} ensures that the matrix A+BKA+BK has all the eigenvalues with the real part less than γ1-\gamma_1. Here, 0<γ1<γ2<<γN0<\gamma_1<\gamma_2<\dots<\gamma_N are NN positive numbers, large enough such that A+γkIA+\gamma_kI is invertible, for each kk.

Keywords

Cite

@article{arxiv.2402.10489,
  title  = {A simple pole-shifting gain matrix $K$ which avoids solving Lyapunov equations},
  author = {Ionut Munteanu},
  journal= {arXiv preprint arXiv:2402.10489},
  year   = {2024}
}
R2 v1 2026-06-28T14:50:25.538Z