lqg_ltr

lqg_ltr — LQG with loop transform recovery

Calling sequence

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

`sl`	: linear system in state-space form (`syslin` list)
`mu,ro`	: real positive numbers chosen ``small enough''
`kf,kc`	: controller and observer Kalman gains.

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)