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Optimal reduced-order discrete-time LQG design

Optimal reduced-order discrete-time LQG design

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16 May 2008 (Updated )

Solution of the SDOPE by repeated forward and backward iteration

sr=sperad(mat);
% SPERAD: spectral radius of a square matrix
%
%         sr=sperad(mat)
%
%         L.G. Van Willigenburg, W.L. De Koning, 28-11-95.
%
  function sr=sperad(mat);
  sr=max(abs(eig(mat)));

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