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Reduced-order discrete-time LQG design for systems with white parameters

Reduced-order discrete-time LQG design for systems with white parameters

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22 May 2008 (Updated )

Optimal compensation of time-varying discrete-time linear systems with white stochastic parameters

[pms,pva,gms,gva,cms,cva,pgms,pgva,pcms,pcva]=...
% MSVHOM: Scale mean square values and variances for the homotopy algorithm
%         function [pms,pva,gms,gva,cms,cva,pgms,pgva,pcms,pcva]=...
%         msvhom(pms,pva,gms,gva,cms,cva,pgms,pgva,pcms,pcva,a);
%
%         GvW, WdK 21-9-'99

    function [pms,pva,gms,gva,cms,cva,pgms,pgva,pcms,pcva]=...
    msvhom(pms,pva,gms,gva,cms,cva,pgms,pgva,pcms,pcva,a);

    a=a*a; a1=1-a;
    pms=pms-a1*pva; pva=a*pva;
    gms=gms-a1*gva; gva=a*gva;
    cms=cms-a1*cva; cva=a*cva;

    if nargin>6
      pgms=pgms-a1*pgva; pgva=a*pgva;
      pcms=pcms-a1*pcva; pcva=a*pcva;
    end;

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