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lqg_ltr
LQG with loop transform recovery
Syntax
[kf,kc]=lqg_ltr(sl,mu,ro)
Arguments
- sl
linear system in state-space form (
syslinlist)- mu,ro
real positive numbers chosen ``small enough''
- kf,kc
controller and observer Kalman gains.
Description
returns the Kalman gains for:
x = a*x + b*u + l*w1 (sl) y = c*x + mu*I*w2 z = h*x
Cost function:
/+oo | J = E(| [z(t)'*z(t) + ro^2*u(t)'*u(t)]dt) lqg | / 0
The lqg/ltr approach looks for L,mu,H,ro such that:
J(lqg) = J(freq) where
/+oo * * * J = | tr[S W W S ] + tr[T T]dw freq | /0
and
S = (I + G*K)^(-1) T = G*K*(I+G*K)^(-1)
See also
- syslin — définition d'un système dynamique linéaire
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