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lqg.m
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1999-04-29
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# Copyright (C) 1996, 1997 A. Scottedward Hodel
#
# This file is part of Octave.
#
# Octave is free software; you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by the
# Free Software Foundation; either version 2, or (at your option) any
# later version.
#
# Octave is distributed in the hope that it will be useful, but WITHOUT
# ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
# FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
# for more details.
#
# You should have received a copy of the GNU General Public License
# along with Octave; see the file COPYING. If not, write to the Free
# Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
function [K,Q1,P1,Ee,Er] = lqg(sys,Sigw,Sigv,Q,R,input_list)
#
# function [K,Q,P,Ee,Er] = lqg(sys,Sigw,Sigv,Q,R,input_list)
# design a linear-quadratic-gaussian optimal controller for the system
#
# dx/dt = A x + B u + G w [w]=N(0,[Sigw 0 ])
# y = C x + v [v] ( 0 Sigv ])
#
# or
#
# x(k+1) = A x(k) + B u(k) + G w(k) [w]=N(0,[Sigw 0 ])
# y(k) = C x(k) + v(k) [v] ( 0 Sigv ])
#
# inputs:
# sys: system data structure
# Sigw, Sigv: intensities of independent Gaussian noise processes (as above)
# Q, R: state, control weighting respectively. Control ARE is
# input_list: indices of controlled inputs
# default: last dim(R) inputs are assumed to be controlled inputs, all
# others are assumed to be noise inputs.
# Outputs:
# K: system data structure LQG optimal controller
# (Obtain A,B,C matrices with sys2ss, sys2tf, or sys2zp as appropriate)
# P: Solution of control (state feedback) algebraic Riccati equation
# Q: Solution of estimation algebraic Riccati equation
# Ee: estimator poles
# Es: controller poles
#
# See also: h2syn, lqe, lqr
# Written by A. S. Hodel August 1995; revised for new system format
# August 1996
sav_val = implicit_str_to_num_ok;
implicit_str_to_num_ok = 1;
if ( (nargin < 5) | (nargin > 6))
usage("[K,Q1,P1,Ee,Er] = lqg(sys,Sigw, Sigv,Q,R{,input_list})");
elseif(!is_struct(sys) )
error("sys must be in system data structure");
endif
DIG = is_digit(sys);
[A,B,C,D,tsam,n,nz,stname,inname,outname] = sys2ss(sys);
[n,nz,nin,nout] = sysdimen(sys);
if(nargin == 5)
#construct default input_list
input_list = (columns(Sigw)+1):nin;
endif
if( !(n+nz) )
error(["lqg: 0 states in system"]);
elseif(nin != columns(Sigw)+ columns(R))
error(["lqg: sys has ",num2str(nin)," inputs, dim(Sigw)=", ...
num2str(columns(Sigw)),", dim(u)=",num2str(columns(R))])
elseif(nout != columns(Sigv))
error(["lqg: sys has ",num2str(nout)," outputs, dim(Sigv)=", ...
num2str(columns(Sigv)),")"])
elseif(length(input_list) != columns(R))
error(["lqg: length(input_list)=",num2str(length(input_list)), ...
", columns(R)=", num2str(columns(R))]);
endif
varname = list("Sigw","Sigv","Q","R");
for kk=1:length(varname);
eval(sprintf("chk = is_sqr(%s);",nth(varname,kk)));
if(! chk ) error("lqg: %s is not square",nth(varname,kk)); endif
endfor
# permute (if need be)
if(nargin == 6)
all_inputs = sysreord(nin,input_list);
B = B(:,all_inputs);
inname = inname(all_inputs);
endif
# put parameters into correct variables
m1 = columns(Sigw);
m2 = m1+1;
G = B(:,1:m1);
B = B(:,m2:nin);
# now we can just do the design; call dlqr and dlqe, since all matrices
# are not given in Cholesky factor form (as in h2syn case)
if(DIG)
[Ks, P1, Er] = dlqr(A,B,Q,R);
[Ke, Q1, jnk, Ee] = dlqe(A,G,C,Sigw,Sigv);
else
[Ks, P1, Er] = lqr(A,B,Q,R);
[Ke, Q1, Ee] = lqe(A,G,C,Sigw,Sigv);
endif
Ac = A - Ke*C - B*Ks;
Bc = Ke;
Cc = -Ks;
Dc = zeros(rows(Cc),columns(Bc));
# fix state names
stname1 = strappen(stname,"_e");
# fix controller output names
outname1 = strappen(inname(m2:nin),"_K");
# fix controller input names
inname1 = strappen(outname,"_K");
if(DIG)
K = ss2sys(Ac,Bc,Cc,Dc,tsam,n,nz,stname1,inname1,outname1,1:rows(Cc));
else
K = ss2sys(Ac,Bc,Cc,Dc,tsam,n,nz,stname,inname1,outname1);
endif
implicit_str_to_num_ok = sav_val;
endfunction