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Ajuda do Scilab >> CACSD > lqr


LQ compensator (full state)

Calling Sequence




syslin list (state-space linear system)


two real matrices


lqr computes the linear optimal LQ full-state gain for the plant P12=[A,B2,C1,D12] in continuous or discrete time.

P12 is a syslin list (e.g. P12=syslin('c',A,B2,C1,D12)).

The cost function is l2-norm of z'*z with z=C1 x + D12 u i.e. [x,u]' * BigQ * [x;u] where

[C1' ]               [Q  S]
BigQ= [    ]  * [C1 D12] = [    ]
[D12']               [S' R]

The gain K is such that A + B2*K is stable.

X is the stabilizing solution of the Riccati equation.

For a continuous plant:


For a discrete plant:


An equivalent form for X is


with Abar=A-B2*inv(R)*S' and Qbar=Q-S*inv(R)*S'

The 3-blocks matrix pencils associated with these Riccati equations are:

discrete                           continuous
|I   0    0|   | A    0    B2|         |I   0   0|   | A    0    B2|
z|0   A'   0| - |-Q    I    -S|        s|0   I   0| - |-Q   -A'   -S|
|0   B2'  0|   | S'   0     R|         |0   0   0|   | S'  -B2'   R|

Caution: It is assumed that matrix R is non singular. In particular, the plant must be tall (number of outputs >= number of inputs).


A=rand(2,2);B=rand(2,1);   //two states, one input
Q=diag([2,5]);R=2;     //Usual notations x'Qx + u'Ru
Big=sysdiag(Q,R);    //Now we calculate C1 and D12
[w,wp]=fullrf(Big);C1=wp(:,1:2);D12=wp(:,3:$);   //[C1,D12]'*[C1,D12]=Big
P=syslin('c',A,B,C1,D12);    //The plant (continuous-time)
spec(A+B*K)    //check stability
norm(A'*X+X*A-X*B*inv(R)*B'*X+Q,1)  //Riccati check
P=syslin('d',A,B,C1,D12);    // Discrete time plant
spec(A+B*K)   //check stability
norm(A'*X*A-(A'*X*B)*pinv(B'*X*B+R)*(B'*X*A)+Q-X,1) //Riccati check

See Also

  • lqe — linear quadratic estimator (Kalman Filter)
  • gcare — Continuous time control Riccati equation
  • leqr — H-infinity LQ gain (full state)
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Last updated:
Thu Oct 02 13:57:39 CEST 2014