lqg

Arguments

P

syslin list (augmented plant) in state-space form

r

1x2 row vector = (number of measurements, number of inputs) (dimension of the 2,2 part of P)

K

syslin list (controller)

Description

lqg computes the linear optimal LQG (H2) controller for the "augmented" plant P=syslin('c',A,B,C,D) (continuous time) or P=syslin('d',A,B,C,D) (discrete time).

The function lqg2stan returns P and r given the nominal plant, weighting terms and variances of noises.

K is given by the following ABCD matrices: [A+B*Kc+Kf*C+Kf*D*Kc,-Kf,Kc,0] where Kc=lqr(P12) is the controller gain and Kf=lqe(P21) is the filter gain. See example in lqg2stan.

See Also

• lqg2stan — LQG to standard problem
• lqr — LQ compensator (full state)
• lqe — linear quadratic estimator (Kalman Filter)
• h_inf — Continuous time H-infinity (central) controller
• obscont — observer based controller