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lqg.m
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1999-12-24
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## Copyright (C) 1996, 1997 Auburn University. All Rights Reserved
##
## 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, 59 Temple Place, Suite 330, Boston, MA 02111 USA.
## -*- texinfo -*-
## @deftypefn {Function File } {[@var{K}, @var{Q}, @var{P}, @var{Ee}, @var{Er}] =} lqg(@var{sys}, @var{Sigw}, @var{Sigv}, @var{Q}, @var{R}, @var{in_idx})
## Design a linear-quadratic-gaussian optimal controller for the system
## @example
## dx/dt = A x + B u + G w [w]=N(0,[Sigw 0 ])
## y = C x + v [v] ( 0 Sigv ])
## @end example
## or
## @example
## 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 ])
## @end example
##
## @strong{Inputs}
## @table @var
## @item sys
## system data structure
## @item Sigw, Sigv
## intensities of independent Gaussian noise processes (as above)
## @item Q, R
## state, control weighting respectively. Control ARE is
## @item in_idx
## indices of controlled inputs
##
## default: last dim(R) inputs are assumed to be controlled inputs, all
## others are assumed to be noise inputs.
## @end table
## @strong{Outputs}
## @table @var
## @item K
## system data structure format LQG optimal controller
## (Obtain A,B,C matrices with @code{sys2ss}, @code{sys2tf}, or @code{sys2zp} as appropriate)
## @item P
## Solution of control (state feedback) algebraic Riccati equation
## @item Q
## Solution of estimation algebraic Riccati equation
## @item Ee
## estimator poles
## @item Es
## controller poles
## @end table
## @end deftypefn
## See also: h2syn, lqe, lqr
function [K, Q1, P1, Ee, Er] = lqg (sys, Sigw, Sigv, Q, R, input_list)
## Written by A. S. Hodel August 1995; revised for new system format
## August 1996
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
endfunction