lqgltr(1)

NAME
lqg_ltr - LQG with loop transform recovery

CALLING SEQUENCE
[kf,kc]=lqg_ltr(sl,mu,ro)

PARAMETERS

sl  : linear system in state-space form (syslin list)

mu,ro
    : real positive numbers chosen ``small enough''

kf,kc
    : controller and observer Kalman gains.

DESCRIPTION
returns the Kalman gains for:
           x = a*x + b*u + l*w1
  (sl)
           y = c*x + mu*I*w2
           z = h*x
Cost function:
        /+oo
               |
      J = E(| [z(t)'*z(t) + ro^2*u(t)'*u(t)]dt)
       lqg |
               / 0 The lqg/ltr approach looks for L,mu,H,ro such that: J(lqg) = J(freq) where
              /+oo * * *
      J = | tr[S W W S ] + tr[T T]dw
       freq |
              /0 and
 S = (I + G*K)^(-1)
 T = G*K*(I+G*K)^(-1)

SEE ALSO
syslin