optdes {timsac} | R Documentation |
Computr 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 y. |
ns |
number of D.P. stages. |
q |
positive definite (ir, ir) matrix Q, where ir is the number of controlled variables.
A quadratic criterion is defined by Q and R. |
r |
positive definite (il, il) matrix R, where il is th number of maninpulated variables. |
perr |
prediction error covariance matrix. |
trans |
first ir columns of transition matrix, where ir 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)