Scilab Function
Last update : 25/09/2008

lqg_ltr - LQG with loop transform recovery

Calling Sequence

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

Parameters

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 ,