Inputs

sys

Continuous or discrete-time LTI model (m inputs, n states, p outputs).

State and input weighting matrix (n+m-by-n+m).

Process and measurement noise covariance matrix (n+p-by-n+p).

Optional output weighting matrix for LQG servo control with integral action (p-by-p). If QI is not specified, the LQG regulator is computed

Outputs

reg

LQG regulator or controller as dynamic compensator. Connect with positive feedback.

Equations $$ \dot{x} = A\,x + B\,u,\quad x(0) = x_0 $$$$ J(x_0) = E \left[ \lim_{T\to\infty} \, \frac{1}{T}\,\int_0^T [x^T \, u^T ] Q_{xu}\, [x^T \, u^T ]^T + x_i^TQ_i\,x_i \,\, dt \right] $$

See also: lqr, kalman, lqi

Source Code: lqg