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

Version 1.3.0.0 (20.5 KB) by Gerard Van Willigenburg
Optimal compensation of time-varying discrete-time linear systems with white stochastic parameters
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Updated 14 Apr 2013

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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.

Cite As

Gerard Van Willigenburg (2024). Reduced-order discrete-time LQG design for systems with white parameters (https://www.mathworks.com/matlabcentral/fileexchange/20014-reduced-order-discrete-time-lqg-design-for-systems-with-white-parameters), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R12
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.3.0.0

A paper download link has been added to the description. No changes to the files.
1.1.0.0

Slight modification to the tags. Files unchanged.
1.0.0.0

Update readme.m