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# KALMAN FILTER and LQG The system model is:

where x and u represent the state and input vectors, while the additional inputs , w and v, denote noise signals. The signal, w, enters the state equation additively and is referred to as the process noise. The signal, v , enters the output equation and is used to model measurement noise. The plant noise and process noise are assumed to be zero-mean, and white white with spectral density Sw and Sv, respectively, and uncorrelated. In other words,

The structure of the (steady-state) state) Kalman filter is: It can be seen to be made up of a copy of the plant, together with an additional correction term + Du ) together with a constant gain matrix, L. y (Cx The optimality of the filter arises from the fact that the gain matrix, L, is chosen as the unique , in a least-squares solution that minimises the steady steady-state state estimation error, e = x x least sense, as follows:
J = E[e T e]

where E denotes the expected value operator. Since this problem is dual to the LQR problem, the solution emerges as:

## EXERCISE (using MATLAB)

, of the state vector, x , using In this exercise you will design a filter that will produce an estimate, x the plant input and outputs, that is optimal.

## Satellite Antenna Tracking Model

The model consists of a satellite tracking antenna subject to random wind torques. Let e denote the &]T , control input torque, u , (Nm) and random wind pointing error (deg.). Introduce the state x = [e e torque, w (Nm). Then a model for the antenna is given as:

with To set up the noise sources use Simulink imulink and with a sample time of tc = 0.01 s, enter ter the noise power for w and v as Sw tc and Sv tc respectively. espectively. 1.Write down the matrix equations for the augmented system, i.e., that with the plant and Kalman filter. 2.Simulate this system, and record the estimated state superimposed upon the actual state, during a transient. 3.Investigate the effect of varying the initial condition of the plant model. 4.Investigate the effect of increasing Sw and/or Sv on the performance of the Kalman filter.

LQG controller
In this exercise you will design an LQG controller for the satellite antenna tracking model of the previous experiment. 1. Design an optimal LQR controller for the open open-loop system, assuming that the he plant states are available for feedback. 2. Write down the matrix equations for the open open-loop loop augmented system, comprising the plant and Kalman filter. 3. Write down the matrix equations for the closed closed-loop loop system, using the control law, . u= -Kx 4. Simulate this system, and record the closed closed-loop loop responses for the plant outputs and the control signal. 5. Confirm that the state estimation is performing satisfactorily. 6. Investigate the effect on the system response of varying the initial conditi condition on of the plant model. 7. Investigate the effect on the system response of increasing Sw and/or Sv 8. If time permits, implement integral action in the controller.