/usr/share/octave/packages/control-2.6.2/lqe.m is in octave-control 2.6.2-1build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 | ## Copyright (C) 2009-2014 Lukas F. Reichlin
## Copyright (C) 2012 Megan Zagrobelny
##
## This file is part of LTI Syncope.
##
## LTI Syncope is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## LTI Syncope is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with LTI Syncope. If not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {[@var{l}, @var{p}, @var{e}] =} lqe (@var{sys}, @var{q}, @var{r})
## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{e}] =} lqe (@var{sys}, @var{q}, @var{r}, @var{s})
## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{e}] =} lqe (@var{a}, @var{g}, @var{c}, @var{q}, @var{r})
## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{e}] =} lqe (@var{a}, @var{g}, @var{c}, @var{q}, @var{r}, @var{s})
## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{e}] =} lqe (@var{a}, @var{[]}, @var{c}, @var{q}, @var{r})
## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{e}] =} lqe (@var{a}, @var{[]}, @var{c}, @var{q}, @var{r}, @var{s})
## Kalman filter for continuous-time systems.
##
## @example
## @group
## .
## x = Ax + Bu + Gw (State equation)
## y = Cx + Du + v (Measurement Equation)
## E(w) = 0, E(v) = 0, cov(w) = Q, cov(v) = R, cov(w,v) = S
## @end group
## @end example
##
## @strong{Inputs}
## @table @var
## @item sys
## Continuous or discrete-time @acronym{LTI} model (p-by-m, n states).
## @item a
## State matrix of continuous-time system (n-by-n).
## @item g
## Process noise matrix of continuous-time system (n-by-g).
## If @var{g} is empty @code{[]}, an identity matrix is assumed.
## @item c
## Measurement matrix of continuous-time system (p-by-n).
## @item q
## Process noise covariance matrix (g-by-g).
## @item r
## Measurement noise covariance matrix (p-by-p).
## @item s
## Optional cross term covariance matrix (g-by-p), s = cov(w,v).
## If @var{s} is empty @code{[]} or not specified, a zero matrix is assumed.
## @end table
##
## @strong{Outputs}
## @table @var
## @item l
## Kalman filter gain matrix (n-by-p).
## @item p
## Unique stabilizing solution of the continuous-time Riccati equation (n-by-n).
## Symmetric matrix. If @var{sys} is a discrete-time model, the solution of the
## corresponding discrete-time Riccati equation is returned.
## @item e
## Closed-loop poles (n-by-1).
## @end table
##
## @strong{Equations}
## @example
## @group
## .
## x = Ax + Bu + L(y - Cx -Du)
##
## E = eig(A - L*C)
##
## @end group
## @end example
## @seealso{dare, care, dlqr, lqr, dlqe}
## @end deftypefn
## Author: Lukas Reichlin <lukas.reichlin@gmail.com>
## Created: April 2012
## Version: 0.1
function [l, p, e] = lqe (a, g, c, q = [], r = [], s = [])
if (nargin < 3 || nargin > 6)
print_usage ();
endif
if (isa (a, "lti"))
[l, p, e] = lqr (a.', g, c, q); # lqe (sys, q, r, s), g=I, works like lqr (sys.', q, r, s).'
elseif (isempty (g))
[l, p, e] = lqr (a.', c.', q, r, s); # lqe (a, [], c, q, r, s), g=I, works like lqr (a.', c.', q, r, s).'
elseif (columns (g) != rows (q) || ! issquare (q))
error ("lqe: matrices g(%dx%d) and q(%dx%d) have incompatible dimensions", ...
rows (g), columns (g), rows (q), columns (q));
elseif (isempty (s))
[l, p, e] = lqr (a.', c.', g*q*g.', r);
elseif (columns (g) != rows (s))
error ("lqe: matrices g(%dx%d) and s(%dx%d) have incompatible dimensions", ...
rows (g), columns (g), rows (s), columns (s));
else
[l, p, e] = lqr (a.', c.', g*q*g.', r, g*s);
endif
l = l.';
## NOTE: for discrete-time sys, the solution L' from DARE
## is different to L from DLQE (a, s)
endfunction
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