Title :
Box-Jenkins model LQG controller: design and performance
Author :
Vu, K.M. ; Tessier, P. ; Dumont, G.A.
fDate :
9/1/2001 12:00:00 AM
Abstract :
The relationship between the variances of the input and output variables of a Box-Jenkins model control system under the linear quadratic Gaussian control law is obtained. This relationship is generalised to the relationships between the statistics of the input and output variables under this control law. Formulae to calculate these statistics are derived. The statistics are the auto-covariances and cross-covariances of the two input and output variable time series driven by the same Gaussian white noise. The statistics can be used to assess control loop performance
Keywords :
Gaussian noise; control system analysis; control system synthesis; linear quadratic Gaussian control; matrix algebra; stochastic systems; time series; white noise; Box-Jenkins model LQG controller; Gaussian white noise; auto-covariances; control loop performance; cross-covariances; linear quadratic Gaussian control law; two input two output variables time series;
Journal_Title :
Control Theory and Applications, IEE Proceedings -
DOI :
10.1049/ip-cta:20010678
