| optdes {timsac} | R Documentation |
Compute optimal controller gain matrix for a quadratic criterion defined by two positive definite matrices Q and R.
optdes(y, max.order=NULL, ns, q, r)
y |
a multivariate time series. |
max.order |
upper limit of model order. Default is 2*sqrt(n), where n is the length of the time series |
ns |
number of D.P. stages. |
q |
positive definite (m, m) matrix Q, where m is the number of controlled variables. A quadratic criterion is defined by Q and R. |
r |
positive definite (l, l) matrix R, where l is the number of manipulated variables. |
perr |
prediction error covariance matrix. |
trans |
first m columns of transition matrix, where m is the number of controlled variables. |
gamma |
gamma matrix. |
gain |
gain matrix. |
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
# Multivariate Example Data
ar <- array(0,dim=c(3,3,2))
ar[,,1] <- matrix(c(0.4, 0, 0.3,
0.2, -0.1, -0.5,
0.3, 0.1, 0),3,3,byrow=TRUE)
ar[,,2] <- matrix(c(0, -0.3, 0.5,
0.7, -0.4, 1,
0, -0.5, 0.3),3,3,byrow=TRUE)
x <- matrix(rnorm(200*3),200,3)
y <- mfilter(x,ar,"recursive")
q <- matrix(c(0.16,0,0,0.09), 2, 2)
r <- matrix(0.001, 1, 1)
optdes(y,, ns=20, q, r)