LQG with loop transform recovery
[kf, kc] = lqg_ltr(sl, mu, ro)
linear system in state-space form (syslin
list)
real positive numbers chosen ``small enough''
controller and observer Kalman gains.
returns the Kalman gains for:
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