Thread: [Octave-cvsupdate] SF.net SVN: octave:[10648] trunk/octave-forge/main/control/devel (Page 3)

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Revision: 10648
          http://octave.svn.sourceforge.net/octave/?rev=10648&view=rev
Author:   paramaniac
Date:     2012-06-21 07:08:29 +0000 (Thu, 21 Jun 2012)
Log Message:
-----------
control: apply changes by Megan Zagrobelny

Modified Paths:
--------------
    trunk/octave-forge/main/control/devel/dlqe.m
    trunk/octave-forge/main/control/devel/lqe.m

Modified: trunk/octave-forge/main/control/devel/dlqe.m
===================================================================

--- trunk/octave-forge/main/control/devel/dlqe.m	2012-06-20 21:48:29 UTC (rev 10647)
+++ trunk/octave-forge/main/control/devel/dlqe.m	2012-06-21 07:08:29 UTC (rev 10648)
@@ -23,6 +23,14 @@
 ## @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
@@ -30,15 +38,15 @@
 ## @item a
 ## State transition matrix of discrete-time system (n-by-n).
 ## @item g
-## Process noise matrix of discrete-time system (n-by-.).
+## 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 (.-by-.).
+## Process noise covariance matrix (g-by-g).
 ## @item r
 ## Measurement noise covariance matrix (p-by-p).
 ## @item s
-## Optional cross term covariance matrix (n-by-p), s = cov(w,v)  If @var{s} is not specified, a zero matrix is assumed.
+## 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}
@@ -89,14 +97,9 @@
   else
     [~, p, e] = dlqr (a.', c.', g*q*g.', r, g*s);
   endif
-
-  ## k computed by dlqr would be
-  ## k = (r + c*p*c.') \ (c*p*a.' + s.')
-  ## such that  l = a \ k.'
-  ## what about the s term?
     
   l = p*c.' / (c*p*c.' + r);
-  ## z = p - p*c.' / (c*p*c.' + r) * c*p;
+
   z = p - l*c*p;
 
 endfunction

Modified: trunk/octave-forge/main/control/devel/lqe.m
===================================================================
--- trunk/octave-forge/main/control/devel/lqe.m	2012-06-20 21:48:29 UTC (rev 10647)
+++ trunk/octave-forge/main/control/devel/lqe.m	2012-06-21 07:08:29 UTC (rev 10648)
@@ -1,4 +1,5 @@
 ## Copyright (C) 2012   Lukas F. Reichlin
+## Copyright (C) 2012   Megan Zagrobelny
 ##
 ## This file is part of LTI Syncope.
 ##
@@ -22,50 +23,56 @@
 ## @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})
-## Linear-quadratic estimator.
+## 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.
+## Continuous or discrete-time LTI model (p-by-m, n states).
 ## @item a
-## State transition matrix of continuous-time system.
-## @item b
-## Input matrix of continuous-time system.
+## 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
-## State weighting matrix.
+## Process noise covariance matrix (g-by-g).
 ## @item r
-## Input weighting matrix.
+## Measurement noise covariance matrix (p-by-p).
 ## @item s
-## Optional cross term matrix.  If @var{s} is not specified, a zero matrix is assumed.
-## @item e
-## Optional descriptor matrix.  If @var{e} is not specified, an identity matrix is assumed.
+## 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
-## Observer gain matrix.
+## Kalman filter gain matrix (n-by-p).
 ## @item p
-## Unique stabilizing solution of the continuous-time Riccati equation.
+## Unique stabilizing solution of the continuous-time Riccati equation (n-by-n).
 ## @item e
-## Closed-loop poles.
+## Closed-loop poles (n-by-1).
 ## @end table
 ##
 ## @strong{Equations}
 ## @example
 ## @group
 ## .
-## x = A x + B u,   x(0) = x0
+## x = Ax + Bu + L(y - Cx -Du)          
 ##
-##         inf
-## J(x0) = INT (x' Q x  +  u' R u  +  2 x' S u)  dt
-##          0
-##
-## L = eig (A - B*G)
+## E = eig(A - L*C)
+## 
 ## @end group
 ## @end example
-## @seealso{lqr, care, dare, dlqe}
+## @seealso{dare, care, dlqr, lqr, dlqe}
 ## @end deftypefn
 
 ## Author: Lukas Reichlin <luk...@gm...>

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Thread: [Octave-cvsupdate] SF.net SVN: octave:[10648] trunk/octave-forge/main/control/devel (Page 3)

A collection of packages providing extra functionality for GNU Octave

octave-cvsupdate