X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Fcontrol-2.3.52%2Flyapchol.m;fp=octave_packages%2Fcontrol-2.3.52%2Flyapchol.m;h=41611080a4859bcc09eb84a1bab26fd3ae623709;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

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+## Copyright (C) 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{u} =} lyapchol (@var{a}, @var{b})
+## @deftypefnx{Function File} {@var{u} =} lyapchol (@var{a}, @var{b}, @var{e})
+## Compute Cholesky factor of continuous-time Lyapunov equations.
+##
+## @strong{Equations}
+## @example
+## @group
+## A U' U  +  U' U A'  +  B B'  =  0           (Lyapunov Equation)
+##
+## A U' U E'  +  E U' U A'  +  B B'  =  0      (Generalized Lyapunov Equation)
+## @end group
+## @end example
+##
+## @strong{Algorithm}@*
+## Uses SLICOT SB03OD and SG03BD by courtesy of
+## @uref{http://www.slicot.org, NICONET e.V.}
+##
+## @seealso{lyap, dlyap, dlyapchol}
+## @end deftypefn
+
+## Author: Lukas Reichlin <lukas.reichlin@gmail.com>
+## Created: January 2010
+## Version: 0.2.1
+
+function [u, scale] = lyapchol (a, b, e)
+
+  switch (nargin)
+    case 2
+      
+      if (! is_real_square_matrix (a))
+        ## error ("lyapchol: a must be real and square");
+        error ("lyapchol: %s must be real and square", \
+                inputname (1));
+      endif
+
+      if (! is_real_matrix (b))
+        ## error ("lyapchol: b must be real")
+        error ("lyapchol: %s must be real", \
+                inputname (2))
+      endif
+  
+      if (rows (a) != rows (b))
+        ## error ("lyapchol: a and b must have the same number of rows");
+        error ("lyapchol: %s and %s must have the same number of rows", \
+                inputname (1), inputname (2));
+      endif
+
+      [u, scale] = slsb03od (a.', b.', false);
+
+      ## NOTE: TRANS = 'T' not suitable because we need U' U, not U U'
+
+    case 3
+
+      if (! is_real_square_matrix (a, e))
+        ## error ("lyapchol: a, e must be real and square");
+        error ("lyapchol: %s, %s must be real and square", \
+                inputname (1), inputname (3));
+      endif
+
+      if (! is_real_matrix (b))
+        ## error ("lyapchol: b must be real");
+        error ("lyapchol: %s must be real", \
+                inputname (2));
+      endif
+
+      if (rows (b) != rows (a) || rows (e) != rows (a))
+        ## error ("lyapchol: a, b, e must have the same number of rows");
+        error ("lyapchol: %s, %s, %s must have the same number of rows", \
+                inputname (1), inputname (2), inputname (3));
+      endif
+
+      [u, scale] = slsg03bd (a.', e.', b.', false);
+
+      ## NOTE: TRANS = 'T' not suitable because we need U' U, not U U'
+
+    otherwise
+      print_usage ();
+
+  endswitch
+
+  if (scale < 1)
+    warning ("lyapchol: solution scaled by %g to prevent overflow", scale);
+  endif
+
+endfunction
+
+
+%!shared U, U_exp, X, X_exp
+%!
+%! A = [ -1.0  37.0 -12.0 -12.0
+%!       -1.0 -10.0   0.0   4.0
+%!        2.0  -4.0   7.0  -6.0
+%!        2.0   2.0   7.0  -9.0 ].';
+%!
+%! B = [  1.0   2.5   1.0   3.5
+%!        0.0   1.0   0.0   1.0
+%!       -1.0  -2.5  -1.0  -1.5
+%!        1.0   2.5   4.0  -5.5
+%!       -1.0  -2.5  -4.0   3.5 ].';
+%!
+%! U = lyapchol (A, B);
+%!
+%! X = U.' * U;  # use lyap at home!
+%!
+%! U_exp = [  1.0000   0.0000   0.0000   0.0000
+%!            3.0000   1.0000   0.0000   0.0000
+%!            2.0000  -1.0000   1.0000   0.0000
+%!           -1.0000   1.0000  -2.0000   1.0000 ].';
+%!
+%! X_exp = [  1.0000   3.0000   2.0000  -1.0000
+%!            3.0000  10.0000   5.0000  -2.0000
+%!            2.0000   5.0000   6.0000  -5.0000
+%!           -1.0000  -2.0000  -5.0000   7.0000 ];
+%!
+%!assert (U, U_exp, 1e-4);
+%!assert (X, X_exp, 1e-4);
+
+%!shared U, U_exp, X, X_exp
+%!
+%! A = [ -1.0    3.0   -4.0
+%!        0.0    5.0   -2.0
+%!       -4.0    4.0    1.0 ].';
+%!
+%! E = [  2.0    1.0    3.0
+%!        2.0    0.0    1.0
+%!        4.0    5.0    1.0 ].';
+%!
+%! B = [  2.0   -1.0    7.0 ].';
+%!
+%! U = lyapchol (A, B, E);
+%!
+%! U_exp = [  1.6003  -0.4418  -0.1523
+%!            0.0000   0.6795  -0.2499
+%!            0.0000   0.0000   0.2041 ];
+%!
+%!assert (U, U_exp, 1e-4);