H-infinity LQ gain (full state)
[K, X, err] = leqr(P12, Vx)
syslin
list
symmetric nonnegative matrix (should be small enough)
two real matrices
a real number (l1 norm of LHS of Riccati equation)
leqr
computes the linear suboptimal H-infinity LQ full-state gain
for the plant P12=[A,B2,C1,D12]
in continuous or discrete time.
P12
is a syslin
list (e.g. P12=syslin('c',A,B2,C1,D12)
).
Vx
is related to the variance matrix of the noise w
perturbing x
;
(usually Vx=gama^-2*B1*B1'
).
The gain K
is such that A + B2*K
is stable.
X
is the stabilizing solution of the Riccati equation.
For a continuous plant:
K=-inv(R)*(B2'*X+S) | ![]() | ![]() |
For a discrete time plant:
with Abar=A-B2*inv(R)*S'
and Qbar=Q-S*inv(R)*S'
The 3-blocks matrix pencils associated with these Riccati equations are: