X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Fcontrol-2.3.52%2Fkalman.m;fp=octave_packages%2Fcontrol-2.3.52%2Fkalman.m;h=309e53e9185ef636d106ab1798a7dcfbe56b764d;hp=0000000000000000000000000000000000000000;hb=c880e8788dfc484bf23ce13fa2787f2c6bca4863;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/control-2.3.52/kalman.m b/octave_packages/control-2.3.52/kalman.m
new file mode 100644
index 0000000..309e53e
--- /dev/null
+++ b/octave_packages/control-2.3.52/kalman.m
@@ -0,0 +1,125 @@
+## Copyright (C) 2009, 2010   Lukas F. Reichlin
+##
+## 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{est}, @var{g}, @var{x}] =} kalman (@var{sys}, @var{q}, @var{r})
+## @deftypefnx {Function File} {[@var{est}, @var{g}, @var{x}] =} kalman (@var{sys}, @var{q}, @var{r}, @var{s})
+## @deftypefnx {Function File} {[@var{est}, @var{g}, @var{x}] =} kalman (@var{sys}, @var{q}, @var{r}, @var{[]}, @var{sensors}, @var{known})
+## @deftypefnx {Function File} {[@var{est}, @var{g}, @var{x}] =} kalman (@var{sys}, @var{q}, @var{r}, @var{s}, @var{sensors}, @var{known})
+## Design Kalman estimator for LTI systems.
+##
+## @strong{Inputs}
+## @table @var
+## @item sys
+## Nominal plant model.
+## @item q
+## Covariance of white process noise.
+## @item r
+## Covariance of white measurement noise.
+## @item s
+## Optional cross term covariance.  Default value is 0.
+## @item sensors
+## Indices of measured output signals y from @var{sys}.  If omitted, all outputs are measured.
+## @item known
+## Indices of known input signals u (deterministic) to @var{sys}.  All other inputs to @var{sys}
+## are assumed stochastic.  If argument @var{known} is omitted, no inputs u are known.
+## @end table
+##
+## @strong{Outputs}
+## @table @var
+## @item est
+## State-space model of the Kalman estimator.
+## @item g
+## Estimator gain.
+## @item x
+## Solution of the Riccati equation.
+## @end table
+##
+## @strong{Block Diagram}
+## @example
+## @group
+##                                  u  +-------+         ^
+##       +---------------------------->|       |-------> y
+##       |    +-------+     +       y  |  est  |         ^
+## u ----+--->|       |----->(+)------>|       |-------> x
+##            |  sys  |       ^ +      +-------+
+## w -------->|       |       |
+##            +-------+       | v
+##
+## Q = cov (w, w')     R = cov (v, v')     S = cov (w, v')
+## @end group
+## @end example
+##
+## @seealso{care, dare, estim, lqr}
+## @end deftypefn
+
+## Author: Lukas Reichlin <lukas.reichlin@gmail.com>
+## Created: November 2009
+## Version: 0.3
+
+function [est, k, x] = kalman (sys, q, r, s = [], sensors = [], deterministic = [])
+
+  ## TODO: type "current" for discrete-time systems
+
+  if (nargin < 3 || nargin > 6 || ! isa (sys, "lti"))
+    print_usage ();
+  endif
+
+  [a, b, c, d, e] = dssdata (sys, []);
+
+  if (isempty (sensors))
+    sensors = 1 : rows (c);
+  endif
+
+  stochastic = setdiff (1 : columns (b), deterministic);
+
+  c = c(sensors, :);
+  g = b(:, stochastic);
+  h = d(sensors, stochastic);
+
+  if (isempty (s))
+    rbar = r + h*q*h.';
+    sbar = g * q*h.';
+  else
+    rbar = r + h*q*h.'+ h*s + s.'*h.'; 
+    sbar = g * (q*h.' + s);
+  endif
+
+  if (isct (sys))
+    [x, l, k] = care (a.', c.', g*q*g.', rbar, sbar, e.');
+  else
+    [x, l, k] = dare (a.', c.', g*q*g.', rbar, sbar, e.');
+  endif
+
+  k = k.';
+
+  est = estim (sys, k, sensors, deterministic);
+
+endfunction
+
+
+%!shared m, m_exp, g, g_exp, x, x_exp
+%! sys = ss (-2, 1, 1, 3);
+%! [est, g, x] = kalman (sys, 1, 1, 1);
+%! [a, b, c, d] = ssdata (est);
+%! m = [a, b; c, d];
+%! m_exp = [-2.25, 0.25; 1, 0; 1, 0];
+%! g_exp = 0.25;
+%! x_exp = 0;
+%!assert (m, m_exp, 1e-2);
+%!assert (g, g_exp, 1e-2);
+%!assert (x, x_exp, 1e-2);
\ No newline at end of file