Specifications

kalman
16-112
for more general plants sys where the known inputs and stochastic inputs
are mixed together, and not all outputs are measured. The index vectors
sensors and known then specify which outputs of sys are measured and
which inputs are known. All other inputs are assumed stochastic.
Example See LQG Design forthe x-Axis and Kalman Filtering for examples that use the
kalman function.
Limitations The plant and noise data must satisfy:
• detectable
• and
• has no uncontrollable mode on the imaginary
axis (or unit circle in discrete time)
with the notation
See Also care Solve continuous-time Riccati equations
dare Solve discrete-time Riccati equations
estim Form estimator given estimator gain
kalmd Discrete Kalman estimator for continuous plant
lqgreg Assemble LQG regulator
lqr Design state-feedback LQ regulator
References [1]Franklin, G.F.,J.D.Powell, and M.L. Workman, Digital Control of Dynamic
Systems, Second Edition, Addison-Wesley, 1990.
u
w
y
u
CA
,()
R 0
>
QNR
1–
N
T
– 0
≥
ANR
1–
C– QNR
1–
N
T
–
,()
Q GQG
T
=
RRHNN
T
H
T
HQH
T
++ +=
NGQH
T
N+
()
=