1 files changed, 46 insertions, 0 deletions
diff --git a/modules/cacsd/macros/lqg2stan.sci b/modules/cacsd/macros/lqg2stan.sci
new file mode 100755
index 000000000..16239dc20
--- /dev/null
+++ b/modules/cacsd/macros/lqg2stan.sci
@@ -0,0 +1,46 @@
+// Scilab ( http://www.scilab.org/ ) - This file is part of Scilab
+// Copyright (C) INRIA -
+//
+// This file must be used under the terms of the CeCILL.
+// This source file is licensed as described in the file COPYING, which
+// you should have received as part of this distribution.  The terms
+// are also available at
+// http://www.cecill.info/licences/Licence_CeCILL_V2.1-en.txt
+
+function [P,m]=lqg2stan(P22,Q,R)
+    //P = standard plant for LQG control problem
+    //described by the triple (A,B,C)
+    //  .
+    //  x = Ax + w1 + Bu   (resp x[n+1]= ... if dom='d')
+    //
+    //  y = Cx + w2
+    //
+    //  cov(w1,w2)=R;
+    //
+    //  mininize (x,u)'Q(x,u)
+    //
+
+    flag=0;
+    P221=P22(1);
+    if P221(1)=="r" then
+    P22=tf2ss(P22);flag=1;end
+    P22=-P22;
+    [A,B,C,D22]=P22(2:5);
+    [nx,nu]=size(B);
+    [ny,nx]=size(C);
+    Qhalf=real(sqrtm(Q));
+    Rhalf=real(sqrtm(R));
+    B1=Rhalf(1:nx,:);D21=Rhalf(nx+1:nx+ny,:);
+    B2=B;
+    C1=Qhalf(:,1:nx);D12=Qhalf(:,nx+1:nx+nu);
+    C2=C;
+    D11=0*C1*B1;
+    dom=P22(7);
+    if dom==[] then
+        warning(msprintf(gettext("%s: Input argument #%d is assumed continuous time.\n"),"lqg2stan",1));
+    end
+    P=syslin(dom,A,real([B1,B2]),real([C1;C2]),real([D11,D12;D21,D22]));
+    m=size(C2*B2);
+    if flag==1 then
+    P=ss2tf(P);end
+endfunction