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

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

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Matlab software associated with the paper:

L.G. Van Willigenburg, W.L. De Koning, 1999, "Optimal reduced-order compensators for time-varying discrete-time systems with deterministic and white parameters", Automatica, 35, 129-138.

http://gvw007.yolasite.com/resources/aut99.pdf

Systems with white parameters (with multiplicative white noise) are useful for non-conservative robust control system design under structured parameter uncertainty. The software computes the optimal compensator (feedback controller) for time-varying discrete-time linear systems with white stochastic parameters, additive Gaussian system and measurement noise and quadratic criteria. It uses the associated optimal projection equations.

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