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Справка Scilab >> CACSD > Control Design > Linear Quadratic > lqg2stan


LQG to standard problem


[P_aug, r] = lqg2stan(P, Qxu, Qwv)



State space representation of the nominal plant (nu inputs, ny outputs, nx states).


[Q, S ; S', N] symmetric nx+nu by nx+nu weighting matrix.


[R,T;T',V] symmetric nx+ny by nx+ny covariance matrix.


Row vector [ny nu].


Augmented plant state space representation (see: syslin)


lqg2stan returns the augmented plant for linear LQG (H2) controller design problem defined by:

  • The nominal plant P: described by

    \left\{\begin{array}{l}\dot{x}=A x+B
                    u +w \\y=C x+D u +v\end{array}\right. \text{ for continuous time or }
                    \left\{\begin{array}{l}x^+=A x+B u+w\\y=C
                    x+D u +v\end{array}\right. \text{ for discrete time.}
  • The (instantaneous) cost function \left[\begin{array}{ll} x.

  • The noises covariance matrix \mathbb{E}(\left[\begin{array}{l}w\\v\end{array}\right]

\text{P_aug }=\left\{\begin{array}{l}\dot{x}=A x+B_1 W+B
            u  \\y_1=C_1 x+D_{12}W\\y_2=-C x+D_{21} W+D u
            \end{array}\right. \text{ for continuous time or }
            \left\{\begin{array}{l}x^+=A x+B_1 W+B
            u  \\y_1=C_1 x+D_{12} W \\y_2=-C x+D_{21} W+D u
            \end{array}\right. \text{ for discrete time.}


If [B1; D21] is a factor of Qxu, [C1, D12] is a factor of Qwv (see: fullrf) then

P_aug = syslin(P.dt, P.A, [B1,P.B], [C1;-P.C], [0,D12;D21,P.D])


ny = 2;
nu = 3;
nx = 4;
P = ssrand(ny,nu,nx);
Qxu = rand(nx+nu,nx+nu);
Qxu = Qxu * Qxu';
Qwv = rand(nx+ny,nx+ny);
Qwv = Qwv * Qwv';
[P_aug, r] = lqg2stan(P, Qxu, Qwv);
K = lqg(P_aug,r);          // K=LQG-controller
spec(h_cl(P_aug, r, K))    // Closed loop should be stable
//Same as Cl = P/.K; spec(Cl('A'))

lqg2stan(1/(%s+2), eye(2,2), eye(2,2))

See also

  • lqg — LQG compensator
  • lqr — LQ compensator (full state)
  • lqe — linear quadratic estimator (Kalman Filter)
  • obscont — observer based controller
  • h_inf — Continuous time H-infinity (central) controller
  • augment — augmented plant
  • fstabst — Youla's parametrization of continuous time linear dynamical systems
  • feedback — feedback operation


6.0 It is no longer necessary to enter -P to get P_aug instead of -P_aug (bug 13751 fixed).
Report an issue
<< lqg Linear Quadratic lqg_ltr >>

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Last updated:
Tue Feb 25 08:54:55 CET 2020