Continuous and discrete time optimal reduced order output feedback

Software associated with : International Journal of Control, 83, 12, 2546-2563, 2010

Software associated with the paper:

L.G. van Willigenburg, W.L. De Koning, 2010, "Compensatability and optimal compensation of systems with white parameters in the delta domain ", International Journal of Control, 83, 12, 2546-2563.

http://gvw007.yolasite.com/resources/IJC2010.pdf

Using the delta operator, the strengthened discrete-time optimal projection equations for optimal reduced-order compensation of systems with white stochastic parameters are formulated in the delta domain. The delta domain unifies discrete time and continuous time. Moreover, when formulated in this domain, the efficiency and numerical conditioning of algorithms improves when the sampling rate is high. Exploiting the unification, important theoretical results, algorithms and compensatability tests concerning finite and infinite horizon optimal compensation of systems with white stochastic parameters are carried over from discrete time to continuous time. Among others, we consider the finite-horizon time-varying compensation problem for systems with white stochastic parameters and the property mean-square compensatability (ms-compensatability) that determines whether a system with white stochastic parameters can be stabilised by means of a compensator. In continuous time, both of these appear to be new. This also holds for the associated numerical algorithms and tests to verify ms-compensatability. They are illustrated with three numerical examples that reveal several interesting theoretical and numerical issues. A fourth example illustrates the improvement of both the efficiency and numerical conditioning of the algorithms. This is of vital practical importance for digital control system design when the sampling rate is high.