Mercurial > octave-nkf
view scripts/control/lqe.m @ 76:c69be6819009
[project @ 1993-08-30 15:29:38 by jwe]
Initial revision
author | jwe |
---|---|
date | Mon, 30 Aug 1993 15:29:38 +0000 |
parents | |
children | 16a24e76d6e0 |
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function [k, p, e] = lqe (a, g, c, sigw, sigv, zz) # Usage: [k, p, e] = lqe (A, G, C, SigW, SigV {,Z}) # # Linear quadratic estimator (Kalman filter) design for the # continuous time system # # dx/dt = A x + B u + G w # y = C x + D u + w # # where w, v are zero-mean gaussian noise processes with respective # intensities SigW = cov (w, w) and SigV = cov (v, v). # # Z (if specified) is cov(w,v); otherwise cov(w,v) = 0. # # Observer structure is dz/dt = A z + B u + k( y - C z - D u). # # Returns: # # k = observer gain, (A - K C) is stable # p = solution of algebraic Riccati equation # e = closed loop poles of (A - K C) # Written by A. S. Hodel (scotte@eng.auburn.edu) August, 1993. if (nargin != 5 && nargin != 6) error ("lqe: illegal number of arguments"); endif # The problem is dual to the regulator design, so transform to lqr # call. if (nargin == 5) [k, p, e] = lqr (a', c', g*sigw*g', sigv); else [k, p, e] = lqr (a', c', g*sigw*g', sigv, g*zz); endif endfunction