design error of closed loop linear quadratic gaussian(LQG) regulator

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JS MUN
JS MUN on 22 Apr 2022
Edited: Paul on 13 May 2022
%% defining LSSM
A=[ 0.6348 0.2593 0.4600
0.5413 0.4619 -2.1551
0.3717 -0.2875 -0.2284];
B=[-0.000373884261537862
-0.000282628577356680
6.75556005562987e-06];
C=[0.775419018631805 -0.351536834549575 -2.22055248727544
-1.06763937573713 1.60044239999917 2.15337710223348
-0.0104624868533414 -0.872193358462870 1.95243821622811
0.169459415037054 -2.05534089971536 3.53024245136833];
D=[0
0
0
0];
[k n]=size(C); %dimension index
Qw=C*C';
r_w=[1];
Rw=diag(r_w);
w=wgn(n,1,0);
v=wgn(k,1,0);
Q=w'*w; %
R=v'*v; %
% N=w*v';
% E|[ w [w.' v.']|=|Q N|
% | v] | |N.' R|
SYS=ss(A,B,C,D);
[K,~]=lqry(SYS,Qw,Rw); % u = -Kx minimizes J(u) % [A,B] controllable
%lqry is the Create a linear-second-order (LQ)
%state-feedback regulator with output weighting using [A,B,C,D]
%Design of Kalman estimator
[Kest,L,~]=kalman(SYS,Q,R); % [A,C] observable
% Form LQG regulator = LQ gain + Kalman filter.
F=lqgreg(Kest,K);
%Closed loop
cl_sys=feedback(SYS,F); %error point
With a given LSSM condition [A,B,C,D]
I want to implement a closed loop with feedback by designing an LQG regulator.
LSSM is a data driven IO model that satisfies both controllability and observability.
An error occurs because the dimensions of SYS and F in the last code do not match.
Could you please explain what problem in control theory is causing this issue and how to fix the code?
  1 Comment
JS MUN
JS MUN on 12 May 2022
%% defining LSSM
A=[ 0.6348 0.2593 0.4600
0.5413 0.4619 -2.1551
0.3717 -0.2875 -0.2284];
B=[-0.000373884261537862
-0.000282628577356680
6.75556005562987e-06];
C=[0.775419018631805 -0.351536834549575 -2.22055248727544
-1.06763937573713 1.60044239999917 2.15337710223348
-0.0104624868533414 -0.872193358462870 1.95243821622811
0.169459415037054 -2.05534089971536 3.53024245136833];
D=[0
0
0
0];
[A,B,C,D,~]=idssdata(LSSM);
[k n]=size(C); %dimension index
Qw=C'*C;
r_w=[1];
Rw=diag(r_w);
w=wgn(n,1,0);
v=wgn(k,1,0);
Q=w'*w; % ??
R=v'*v; % ??
% E|[ w [w.' v.']|=|Q N|
% | v] | |N.' R|
SYS=ss(A,B,C,D,1); %nargin 5 is discrete time step
%Design of Kalman estimator
[Kest,L,P,Mx,Z,My]=kalman(SYS,Q,R); % [A,C] observable
%calculating the LQ gain
[K,~]=lqr(SYS,Qw,Rw); % u = -Kx minimizes J(u) % [A,B] controllable
% SYS2=ss(Kest.A,Kest.B,Kest.C,Kest.D);
% [K,~]=lqr(SYS2,Qw,Rw);
% Form LQG regulator = LQ gain + Kalman filter.
F=lqgreg(Kest,K);
%Closed loop
cl_sys=feedback(SYS,F); % closed loop

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Accepted Answer

Paul
Paul on 22 Apr 2022
I think there are a few issues with the code. First, the plant should have at least one input for the control and one input for the process noise. Second, the feedback() command to form clsys needs to use positive feedback, and it probably needs to use additional input arguments to specify the inputs/outputs of the the plant to connect to F.
This link has an example of the entire process. Feel free to post back with any additional questions after checking it out.
Also, there is a function called lqg() that might be of interest.
A few additional comments. Is that form for Qw really what's intended? I'm only asking because setting Q = C'*C (the transponse of Qw) is common for LQR designs when the cost function includes x'*Q*x, which is then y'*y. So maybe this problem really intends to use Qw = 1? Also, it's not clear why Q and R would be based on random numbers?
  2 Comments
Paul
Paul on 13 May 2022
Hi JS,
Q and R for designing the Kalman filter can be random numbers, but there is not mathemmatical justification that I can think of. Using cov() on a large sample of random numbers may be sensible.
The dimension of Q is based on the number of process noise inputs, which are not defined in the plant. See below.
The LQR feedback gain is computed from SYS, not Kest.
The plant model in the original code has one input. Seems like it should have at least two, one for the control input and one for the process noise. However, only the portion of the sys.b for the control is to be used for the LQR design.

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