UDU factored discrete-time Lyapunov recursions solve optimal reduced-order LQG problems

DOI10.3166/ejc.10.588-601zbMath1293.49088OpenAlexW1999040111MaRDI QIDQ2511946

Willem L. de Koning, L. Gerard Van Willigenburg

Publication date: 7 August 2014

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3166/ejc.10.588-601

zbMATH Keywords

restricted complexity controllersnon-linearly coupled discrete-time Lyapunov equationsoptimal reduced-order LQG controlUDU factorisation

Mathematics Subject Classification ID

Related Items (4)

Equivalent optimal compensation problem in the delta domain for systems with white stochastic parameters ⋮ U-D factorisation of the strengthened discrete-time optimal projection equations ⋮ Discussion on: ``UDU factored discrete-time Lyapunov recursions and optimal reduced-order LQG problems ⋮ Minimal representation of matrix valued white stochastic processes and U–D factorisation of algorithms for optimal control

Uses Software

• Matlab
• mexFunction
• MEX-file

Cites Work

• Numerical algorithms and issues concerning the discrete-time optimal projection equations.
• Factorization methods for discrete sequential estimation
• Optimal reduced-order compensation of time-varying discrete-time systems with deterministic and white parameters
• The optimal projection equations for fixed-order dynamic compensation
• Controller reduction: concepts and approaches
• Equivalent discrete optimal control problem for randomly sampled digital control systems
• Compensatability and optimal compensation of systems with white parameters
• A separation theorem for the stochastic sampled-data LQG problem
• Efficient Solution of Linearly Coupled Lyapunov Equations
• Conditions for nonnegativeness of partitioned matrices
• Minimal and non-minimal optimal fixed-order compensators for time-varying discrete-time systems

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