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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

[sigp,sigs,k,l]=spcomco(pm,gm,cm,pms,gms,cms,pgms,pcms,pva,gva,cva,pgva,pcva,q,r,v,w,mc,me,st,sh,pt,ph)
% SPCOMCO: Stochastic Parameter COMpensator COst.
%
%          [sigp,sigs,k,l]=spcomco(pm,gm,cm,pms,gms,cms,pva,gva,cva,q,r,v,w,st,sh,pt,ph)
%
%          L.G. Van Willigenburg, W.L. De Koning, 28-11-95.
%
  function [sigp,sigs,k,l]=spcomco(pm,gm,cm,pms,gms,cms,pgms,pcms,pva,gva,cva,pgva,pcva,q,r,v,w,mc,me,st,sh,pt,ph)
  ln=r; kn=w;
  ln(:)=gms'*st(:)+r(:)+gva'*sh(:);
  h=mc'; h(:)=h(:)+pgms'*st(:)+pgva'*sh(:); l=pinv(ln)*h;
  kn(:)=cms *pt(:)+w(:)+cva *ph(:);
  h=me; h(:)=h(:)+pcms *pt(:)+pcva* ph(:);  k=h*pinv(kn);
  sigp=trace(q*pt+(q+l'*r*l -2*mc*l )*ph);
  sigs=trace(v*st+(v+k *w*k'-2*me*k')*sh);

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