LAPACK-Based Condition Estimates for the Discrete-Time LQG Design

DOI10.1007/978-3-642-00464-3_52zbMath1233.93086OpenAlexW1532066760MaRDI QIDQ3615686

Nicolai D. Christov, Michael M.Konstantinov, Petko Hr. Petkov

Publication date: 24 March 2009

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-00464-3_52

zbMATH Keywords

Kalman filtermatrix Riccati equationslinear stochastic control systemsLAPACK-based condition estimatorsLinear-Quadratic Gaussian (LQG) designsynthesis of a LQ state regulator

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear-quadratic optimal control problems (49N10) Software, source code, etc. for problems pertaining to systems and control theory (93-04)

Uses Software

• LAPACK
• BLAS
• Algorithm 674
• SONEST
• CONEST

Cites Work

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• FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation
• A numerical algorithm to solve<tex>A^{T}XA - X = Q</tex>
• Basic Linear Algebra Subprograms for Fortran Usage
• A set of level 3 basic linear algebra subprograms

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