lqg — LQG compensator

[K]=lqg(P,r)

- P
`syslin`

list (augmented plant) in state-space form- r
1x2 row vector = (number of measurements, number of inputs) (dimension of the 2,2 part of

`P`

)- K
`syslin`

list (controller)

`lqg`

computes the linear optimal LQG (H2) controller for the
"augmented" plant `P=syslin('c',A,B,C,D)`

(continuous time) or
`P=syslin('d',A,B,C,D)`

(discrete time).

The function `lqg2stan`

returns `P`

and `r`

given the
nominal plant, weighting terms and variances of noises.

`K`

is given by the following ABCD matrices:
`[A+B*Kc+Kf*C+Kf*D*Kc,-Kf,Kc,0]`

where `Kc=lqr(P12)`

is the controller gain and `Kf=lqe(P21)`

is the filter gain.
See example in `lqg2stan`

.