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[Octave-cvsupdate] SF.net SVN: octave:[10649] trunk/octave-forge/main/control
|
From: <par...@us...> - 2012-06-21 07:17:01
|
Revision: 10649
http://octave.svn.sourceforge.net/octave/?rev=10649&view=rev
Author: paramaniac
Date: 2012-06-21 07:16:50 +0000 (Thu, 21 Jun 2012)
Log Message:
-----------
control: move completed functions into place
Modified Paths:
--------------
trunk/octave-forge/main/control/INDEX
trunk/octave-forge/main/control/NEWS
Added Paths:
-----------
trunk/octave-forge/main/control/inst/dlqe.m
trunk/octave-forge/main/control/inst/lqe.m
Removed Paths:
-------------
trunk/octave-forge/main/control/devel/dlqe.m
trunk/octave-forge/main/control/devel/lqe.m
Modified: trunk/octave-forge/main/control/INDEX
===================================================================
--- trunk/octave-forge/main/control/INDEX 2012-06-21 07:08:29 UTC (rev 10648)
+++ trunk/octave-forge/main/control/INDEX 2012-06-21 07:16:50 UTC (rev 10649)
@@ -78,9 +78,11 @@
place
rlocus
Linear-Quadratic Control
+ dlqe
dlqr
estim
kalman
+ lqe
lqr
Robust Control
augw
Modified: trunk/octave-forge/main/control/NEWS
===================================================================
--- trunk/octave-forge/main/control/NEWS 2012-06-21 07:08:29 UTC (rev 10648)
+++ trunk/octave-forge/main/control/NEWS 2012-06-21 07:16:50 UTC (rev 10649)
@@ -7,8 +7,12 @@
** Fixed a silly mistake in MIMO transfer function to state-space conversion.
The bug has been introduced with control-2.3.51.
(Thanks to Jim Rawlings for providing the test case)
-
+** dlqe, lqe
+ Added new functions for linear quadratic estimators.
+ (Thanks to Megan Zagrobelny)
+
+
===============================================================================
control-2.3.51 Release Date: 2012-06-03 Release Manager: Lukas Reichlin
===============================================================================
Deleted: trunk/octave-forge/main/control/devel/dlqe.m
===================================================================
--- trunk/octave-forge/main/control/devel/dlqe.m 2012-06-21 07:08:29 UTC (rev 10648)
+++ trunk/octave-forge/main/control/devel/dlqe.m 2012-06-21 07:16:50 UTC (rev 10649)
@@ -1,105 +0,0 @@
-## Copyright (C) 2012 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{z}, @var{e}] =} lqe (@var{a}, @var{g}, @var{c}, @var{q}, @var{r})
-## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{z}, @var{e}] =} lqe (@var{a}, @var{g}, @var{c}, @var{q}, @var{r}, @var{s})
-## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{z}, @var{e}] =} lqe (@var{a}, @var{[]}, @var{c}, @var{q}, @var{r})
-## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{z}, @var{e}] =} lqe (@var{a}, @var{[]}, @var{c}, @var{q}, @var{r}, @var{s})
-## Kalman filter for discrete-time systems.
-##
-## @example
-## @group
-## x[k] = Ax[k] + Bu[k] + Gw[k] (State equation)
-## y[k] = Cx[k] + Du[k] + v[k] (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 LTI model (p-by-m, n states).
-## @item a
-## State transition matrix of discrete-time system (n-by-n).
-## @item g
-## Process noise matrix of discrete-time system (n-by-g).
-## @item c
-## Measurement matrix of discrete-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 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 discrete-time Riccati equation (n-by-n).
-## @item z
-## Error covariance (n-by-n), cov(x(k|k)-x)
-## @item e
-## Closed-loop poles (n-by-1).
-## @end table
-##
-## @strong{Equations}
-## @example
-## @group
-## x[k|k] = x[k|k-1] + L(y[k] - Cx[k|k-1] -Du[k])
-##
-## x[k+1|k] = Ax[k|k] + Bu[k] for S=0
-##
-## x[k+1|k] = Ax[k|k] + Bu[k] + G*S*(C*P*C' + R)^-1*(y[k] - C*x[k|k-1]) for non-zero S
-##
-##
-## E = eig(A - A*L*C) for S=0
-##
-## E = eig(A - A*L*C - G*S*(C*P*C' + Rv)^-1*C) for non-zero S
-##
-## @end group
-## @end example
-## @seealso{dare, care, dlqr, lqr, lqe}
-## @end deftypefn
-
-## Author: Lukas Reichlin <luk...@gm...>
-## Created: April 2012
-## Version: 0.1
-
-function [l, p, z, e] = dlqe (a, g, c, q, r, s = [])
-
- if (nargin < 5 || nargin > 6)
- print_usage ();
- endif
-
- if (isempty (g))
- [~, p, e] = dlqr (a.', c.', q, r, s); # dlqe (a, [], c, q, r, s), g=I
- elseif (isempty (s))
- [~, p, e] = dlqr (a.', c.', g*q*g.', r);
- else
- [~, p, e] = dlqr (a.', c.', g*q*g.', r, g*s);
- endif
-
- l = p*c.' / (c*p*c.' + r);
-
- z = p - l*c*p;
-
-endfunction
Deleted: trunk/octave-forge/main/control/devel/lqe.m
===================================================================
--- trunk/octave-forge/main/control/devel/lqe.m 2012-06-21 07:08:29 UTC (rev 10648)
+++ trunk/octave-forge/main/control/devel/lqe.m 2012-06-21 07:16:50 UTC (rev 10649)
@@ -1,100 +0,0 @@
-## Copyright (C) 2012 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 LTI model (p-by-m, n states).
-## @item a
-## State transition matrix of continuous-time system (n-by-n).
-## @item g
-## Process noise matrix of continuous-time system (n-by-g).
-## @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 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).
-## @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 <luk...@gm...>
-## 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 (isempty (s))
- [l, p, e] = lqr (a.', c.', g*q*g.', r);
- else
- [l, p, e] = lqr (a.', c.', g*q*g.', r, g*s);
- endif
-
- l = l.';
-
-endfunction
Copied: trunk/octave-forge/main/control/inst/dlqe.m (from rev 10648, trunk/octave-forge/main/control/devel/dlqe.m)
===================================================================
--- trunk/octave-forge/main/control/inst/dlqe.m (rev 0)
+++ trunk/octave-forge/main/control/inst/dlqe.m 2012-06-21 07:16:50 UTC (rev 10649)
@@ -0,0 +1,105 @@
+## Copyright (C) 2012 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{z}, @var{e}] =} lqe (@var{a}, @var{g}, @var{c}, @var{q}, @var{r})
+## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{z}, @var{e}] =} lqe (@var{a}, @var{g}, @var{c}, @var{q}, @var{r}, @var{s})
+## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{z}, @var{e}] =} lqe (@var{a}, @var{[]}, @var{c}, @var{q}, @var{r})
+## @deftypefnx {Function File} {[@var{l}, @var{p}, @var{z}, @var{e}] =} lqe (@var{a}, @var{[]}, @var{c}, @var{q}, @var{r}, @var{s})
+## Kalman filter for discrete-time systems.
+##
+## @example
+## @group
+## x[k] = Ax[k] + Bu[k] + Gw[k] (State equation)
+## y[k] = Cx[k] + Du[k] + v[k] (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 LTI model (p-by-m, n states).
+## @item a
+## State transition matrix of discrete-time system (n-by-n).
+## @item g
+## Process noise matrix of discrete-time system (n-by-g).
+## @item c
+## Measurement matrix of discrete-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 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 discrete-time Riccati equation (n-by-n).
+## @item z
+## Error covariance (n-by-n), cov(x(k|k)-x)
+## @item e
+## Closed-loop poles (n-by-1).
+## @end table
+##
+## @strong{Equations}
+## @example
+## @group
+## x[k|k] = x[k|k-1] + L(y[k] - Cx[k|k-1] -Du[k])
+##
+## x[k+1|k] = Ax[k|k] + Bu[k] for S=0
+##
+## x[k+1|k] = Ax[k|k] + Bu[k] + G*S*(C*P*C' + R)^-1*(y[k] - C*x[k|k-1]) for non-zero S
+##
+##
+## E = eig(A - A*L*C) for S=0
+##
+## E = eig(A - A*L*C - G*S*(C*P*C' + Rv)^-1*C) for non-zero S
+##
+## @end group
+## @end example
+## @seealso{dare, care, dlqr, lqr, lqe}
+## @end deftypefn
+
+## Author: Lukas Reichlin <luk...@gm...>
+## Created: April 2012
+## Version: 0.1
+
+function [l, p, z, e] = dlqe (a, g, c, q, r, s = [])
+
+ if (nargin < 5 || nargin > 6)
+ print_usage ();
+ endif
+
+ if (isempty (g))
+ [~, p, e] = dlqr (a.', c.', q, r, s); # dlqe (a, [], c, q, r, s), g=I
+ elseif (isempty (s))
+ [~, p, e] = dlqr (a.', c.', g*q*g.', r);
+ else
+ [~, p, e] = dlqr (a.', c.', g*q*g.', r, g*s);
+ endif
+
+ l = p*c.' / (c*p*c.' + r);
+
+ z = p - l*c*p;
+
+endfunction
Copied: trunk/octave-forge/main/control/inst/lqe.m (from rev 10648, trunk/octave-forge/main/control/devel/lqe.m)
===================================================================
--- trunk/octave-forge/main/control/inst/lqe.m (rev 0)
+++ trunk/octave-forge/main/control/inst/lqe.m 2012-06-21 07:16:50 UTC (rev 10649)
@@ -0,0 +1,100 @@
+## Copyright (C) 2012 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 LTI model (p-by-m, n states).
+## @item a
+## State transition matrix of continuous-time system (n-by-n).
+## @item g
+## Process noise matrix of continuous-time system (n-by-g).
+## @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 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).
+## @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 <luk...@gm...>
+## 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 (isempty (s))
+ [l, p, e] = lqr (a.', c.', g*q*g.', r);
+ else
+ [l, p, e] = lqr (a.', c.', g*q*g.', r, g*s);
+ endif
+
+ l = l.';
+
+endfunction
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