lqg_ltr - LQG with loop transform recovery

Calling Sequence

[kf,kc]=lqg_ltr(sl,mu,ro)

Parameters

• sl : linear system in state-space form (syslin list)
• 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