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matrix_comps.jl
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matrix_comps.jl
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const _scaling_notice = """
Note: Gramian computations are sensitive to input-output scaling. For the result of a numerical balancing, gramian computation or truncation of MIMO systems to be meaningful, the inputs and outputs of the system must thusbe scaled in a meaningful way. A common (but not the only) approach is:
- The outputs are scaled such that the maximum allowed control error, the maximum expected reference variation, or the maximum expected variation, is unity.
- The input variables are scaled to have magnitude one. This is done by dividing each variable by its maximum expected or allowed change, i.e., ``u_{scaled} = u / u_{max}``
Without such scaling, the result of balancing will depend on the units used to measure the input and output signals, e.g., a change of unit for one output from meter to millimeter will make this output 1000x more important.
"""
"""
are(::Continuous, A, B, Q, R)
Compute 'X', the solution to the continuous-time algebraic Riccati equation,
defined as A'X + XA - (XB)R^-1(B'X) + Q = 0, where R is non-singular.
In an LQR problem, `Q` is associated with the state penalty ``x'Qx`` while `R` is associated with the control penalty ``u'Ru``.
See [`lqr`](@ref) for more details.
Uses `MatrixEquations.arec`. For keyword arguments, see the docstring of `ControlSystemsBase.MatrixEquations.arec`,
note that they define the input arguments in a different order.
"""
function are(::ContinuousType, A::AbstractMatrix, B, Q, R; kwargs...)
arec(A, B, R, Q; kwargs...)[1]
end
"""
are(::Discrete, A, B, Q, R; kwargs...)
Compute `X`, the solution to the discrete-time algebraic Riccati equation,
defined as A'XA - X - (A'XB)(B'XB + R)^-1(B'XA) + Q = 0, where Q>=0 and R>0
In an LQR problem, `Q` is associated with the state penalty ``x'Qx`` while `R` is associated with the control penalty ``u'Ru``.
See [`lqr`](@ref) for more details.
Uses `MatrixEquations.ared`. For keyword arguments, see the docstring of `ControlSystemsBase.MatrixEquations.ared`,
note that they define the input arguments in a different order.
"""
function are(::DiscreteType, A::AbstractMatrix, B, Q, R; kwargs...)
ared(A, B, R, Q; kwargs...)[1]
end
are(t::TimeEvolType, A::Number, B::Number, Q::Number, R::Number) = are(t, fill(A,1,1),fill(B,1,1),fill(Q,1,1),fill(R,1,1))
are(sys::AbstractStateSpace, args...; kwargs...) = are(timeevol(sys), sys.A, sys.B, args...; kwargs...)
@deprecate care(args...; kwargs...) are(Continuous, args...; kwargs...)
@deprecate dare(args...; kwargs...) are(Discrete, args...; kwargs...)
"""
lyap(A, Q; kwargs...)
Compute the solution `X` to the discrete Lyapunov equation
`AXA' - X + Q = 0`.
Uses `MatrixEquations.lyapc / MatrixEquations.lyapd`. For keyword arguments, see the docstring of `ControlSystemsBase.MatrixEquations.lyapc / ControlSystemsBase.MatrixEquations.lyapd`
"""
function LinearAlgebra.lyap(::DiscreteType, A::AbstractMatrix, Q; kwargs...)
lyapd(A, Q; kwargs...)
end
LinearAlgebra.lyap(::ContinuousType, args...; kwargs...) = lyapc(args...; kwargs...)
LinearAlgebra.lyap(::DiscreteType, args...; kwargs...) = lyapd(args...; kwargs...)
LinearAlgebra.lyap(sys::AbstractStateSpace, args...; kwargs...) = lyap(timeevol(sys), sys.A, args...; kwargs...)
"""
Xc = plyap(sys::AbstractStateSpace, Ql; kwargs...)
Lyapunov solver that takes the `L` Cholesky factor of `Q` and returns a triangular matrix `Xc` such that `Xc*Xc' = X`.
"""
plyap(sys::AbstractStateSpace, args...; kwargs...) = plyap(timeevol(sys), sys.A, args...; kwargs...)
plyap(::ContinuousType, args...; kwargs...) = MatrixEquations.plyapc(args...; kwargs...)
plyap(::DiscreteType, args...; kwargs...) = MatrixEquations.plyapd(args...; kwargs...)
@deprecate dlyap(args...; kwargs...) lyap(Discrete, args...; kwargs...)
"""
U = grampd(sys, opt; kwargs...)
Return a Cholesky factor `U` of the grammian of system `sys`. If `opt` is `:c`, computes the
controllability grammian `G = U*U'`. If `opt` is `:o`, computes the observability
grammian `G = U'U`.
Obtain a `Cholesky` object by `Cholesky(U)` for observability grammian
Uses `MatrixEquations.plyapc/plyapd`. For keyword arguments, see the docstring of `ControlSystemsBase.MatrixEquations.plyapc/plyapd`
"""
function grampd(sys::AbstractStateSpace, opt::Symbol; kwargs...)
if !isstable(sys)
error("gram only valid for stable A")
end
if opt === :c
plyap(sys.timeevol, sys.A, sys.B; kwargs...)
elseif opt === :o
plyap(sys.timeevol, sys.A', sys.C'; kwargs...)
else
error("opt must be either :c for controllability grammian, or :o for
observability grammian")
end
end
"""
gram(sys, opt; kwargs...)
Compute the grammian of system `sys`. If `opt` is `:c`, computes the
controllability grammian. If `opt` is `:o`, computes the observability
grammian.
See also [`grampd`](@ref)
For keyword arguments, see [`grampd`](@ref).
# Extended help
$(_scaling_notice)
"""
function gram(sys::AbstractStateSpace, opt::Symbol; kwargs...)
U = grampd(sys, opt; kwargs...)
opt === :c ? U*U' : U'U
end
"""
obsv(A, C, n=size(A,1))
obsv(sys, n=sys.nx)
Compute the observability matrix with `n` rows for the system described by `(A, C)` or `sys`. Providing the optional `n > sys.nx` returns an extended observability matrix.
Note that checking for observability by computing the rank from `obsv` is
not the most numerically accurate way, a better method is checking if
`gram(sys, :o)` is positive definite.
"""
function obsv(A::AbstractMatrix, C::AbstractMatrix, n::Int = size(A,1))
T = promote_type(eltype(A), eltype(C))
nx = size(A, 1)
ny = size(C, 1)
if nx != size(C, 2)
throw(ArgumentError("C must have the same number of columns as A"))
end
res = fill(zero(T), n*ny, nx)
res[1:ny, :] = C
for i=1:n-1
res[(1 + i*ny):(1 + i)*ny, :] = res[((i - 1)*ny + 1):i*ny, :] * A
end
return res
end
obsv(sys::AbstractStateSpace, n::Int = sys.nx) = obsv(sys.A, sys.C, n)
"""
ctrb(A, B)
ctrb(sys)
Compute the controllability matrix for the system described by `(A, B)` or
`sys`.
Note that checking for controllability by computing the rank from
`ctrb` is not the most numerically accurate way, a better method is
checking if `gram(sys, :c)` is positive definite.
"""
function ctrb(A::AbstractMatrix, B::AbstractVecOrMat)
T = promote_type(eltype(A), eltype(B))
n = size(A, 1)
nu = size(B, 2)
if n != size(B, 1)
throw(ArgumentError("B must have the same number of rows as A"))
end
res = fill(zero(T), n, n*nu)
res[:, 1:nu] = B
for i=1:n-1
res[:, (1 + i*nu):(1 + i)*nu] = A * res[:, ((i - 1)*nu + 1):i*nu]
end
return res
end
ctrb(sys::AbstractStateSpace) = ctrb(sys.A, sys.B)
"""
P = covar(sys, W)
Calculate the stationary covariance `P = E[y(t)y(t)']` of the output `y` of a
`StateSpace` model `sys` driven by white Gaussian noise `w` with covariance
`E[w(t)w(τ)]=W*δ(t-τ)` (δ is the Dirac delta).
Remark: If `sys` is unstable then the resulting covariance is a matrix of `Inf`s.
Entries corresponding to direct feedthrough (D*W*D' .!= 0) will equal `Inf`
for continuous-time systems."""
function covar(sys::AbstractStateSpace, W)
(A, B, C, D) = ssdata(sys)
if !isa(W, UniformScaling) && (size(B,2) != size(W, 1) || size(W, 1) != size(W, 2))
error("W must be a square matrix the same size as `sys.B` columns")
end
isa(W, UniformScaling) && (W = I(size(B, 2)))
if !isstable(sys)
return fill(Inf,(size(C,1),size(C,1)))
end
Wc = cholesky(W).L
Q1 = sys.nx == 0 ? B*Wc : try
plyap(sys.timeevol, A, B*Wc)
catch e
@error("No solution to the Lyapunov equation was found in covar.")
rethrow(e)
end
P1 = C*Q1
P = P1*P1'
if iscontinuous(sys)
#Variance and covariance infinite for direct terms
direct_noise = D*W*D'
for i in 1:size(C,1)
if direct_noise[i,i] != 0
P[i,:] .= Inf
P[:,i] .= Inf
end
end
else
P += D*W*D'
end
return P
end
covar(sys::TransferFunction, W) = covar(ss(sys), W)
# Note: the H∞ norm computation is probably not as accurate as with SLICOT,
# but this seems to be still reasonably ok as a first step
"""
norm(sys, p=2; tol=1e-6)
`norm(sys)` or `norm(sys,2)` computes the H2 norm of the LTI system `sys`.
`norm(sys, Inf)` computes the H∞ norm of the LTI system `sys`.
The H∞ norm is the same as the L∞ for stable systems, and Inf for unstable systems.
If the peak gain frequency is required as well, use the function `hinfnorm` instead.
See [`hinfnorm`](@ref) for further documentation.
`tol` is an optional keyword argument, used only for the computation of L∞ norms.
It represents the desired relative accuracy for the computed L∞ norm
(this is not an absolute certificate however).
`sys` is first converted to a `StateSpace` model if needed.
"""
function LinearAlgebra.norm(sys::AbstractStateSpace, p::Real=2; tol=1e-6)
if p == 2
return sqrt(max(0,tr(covar(sys, I))))
elseif p == Inf
return hinfnorm(sys; tol=tol)[1]
else
error("`p` must be either `2` or `Inf`")
end
end
LinearAlgebra.norm(sys::TransferFunction, p::Real=2; tol=1e-6) = norm(ss(sys), p, tol=tol)
"""
Ninf, ω_peak = hinfnorm(sys; tol=1e-6)
Compute the H∞ norm `Ninf` of the LTI system `sys`, together with a frequency
`ω_peak` at which the gain Ninf is achieved.
`Ninf := sup_ω σ_max[sys(iω)]` if `G` is stable (σ_max = largest singular value)
:= `Inf' if `G` is unstable
`tol` is an optional keyword argument for the desired relative accuracy for
the computed H∞ norm (not an absolute certificate).
`sys` is first converted to a state space model if needed.
The continuous-time L∞ norm computation implements the 'two-step algorithm' in:\\
**N.A. Bruinsma and M. Steinbuch**, 'A fast algorithm to compute the H∞-norm of
a transfer function matrix', Systems and Control Letters (1990), pp. 287-293.
For the discrete-time version, see:\\
**P. Bongers, O. Bosgra, M. Steinbuch**, 'L∞-norm calculation for generalized
state space systems in continuous and discrete time', American Control Conference, 1991.
See also [`linfnorm`](@ref).
"""
hinfnorm(sys::AbstractStateSpace{<:Continuous}; tol=1e-6) = _infnorm_two_steps_ct(sys, :hinf, tol)
hinfnorm(sys::AbstractStateSpace{<:Discrete}; tol=1e-6) = _infnorm_two_steps_dt(sys, :hinf, tol)
hinfnorm(sys::TransferFunction; tol=1e-6) = hinfnorm(ss(sys); tol=tol)
"""
Ninf, ω_peak = linfnorm(sys; tol=1e-6)
Compute the L∞ norm `Ninf` of the LTI system `sys`, together with a frequency
`ω_peak` at which the gain `Ninf` is achieved.
`Ninf := sup_ω σ_max[sys(iω)]` (σ_max denotes the largest singular value)
`tol` is an optional keyword argument representing the desired relative accuracy for
the computed L∞ norm (this is not an absolute certificate however).
`sys` is first converted to a state space model if needed.
The continuous-time L∞ norm computation implements the 'two-step algorithm' in:\\
**N.A. Bruinsma and M. Steinbuch**, 'A fast algorithm to compute the H∞-norm of
a transfer function matrix', Systems and Control Letters (1990), pp. 287-293.
For the discrete-time version, see:\\
**P. Bongers, O. Bosgra, M. Steinbuch**, 'L∞-norm calculation for generalized
state space systems in continuous and discrete time', American Control Conference, 1991.
See also [`hinfnorm`](@ref).
"""
function linfnorm(sys::AbstractStateSpace; tol=1e-6)
if iscontinuous(sys)
return _infnorm_two_steps_ct(sys, :linf, tol)
else
return _infnorm_two_steps_dt(sys, :linf, tol)
end
end
linfnorm(sys::TransferFunction; tol=1e-6) = linfnorm(ss(sys); tol=tol)
function _infnorm_two_steps_ct(sys::AbstractStateSpace, normtype::Symbol, tol=1e-6, maxIters=250, approximag=1e-10)
# norm type :hinf or :linf the reason that to not use `hinfnorm(sys) = isstable(sys) : linfnorm ? (Inf, Nan)`
# is to avoid re computing the poles and return the peak frequencies for, e.g., 1/(s^2 + 1)
# `maxIters`: the maximum number of iterations allowed in the algorithm (default 1000)
# approximag is a tuning parameter: what does it mean for a number to be on the imaginary axis
# Because of this tuning for example, the relative precision that we provide on the norm computation
# is not a true guarantee, more an order of magnitude
# outputs: An approximatation of the L∞ norm and the frequency ω_peak at which it is achieved
# QUESTION: The tolerance for determining if there are poles on the imaginary axis
# would not be very appropriate for systems with slow dynamics?
T = promote_type(real(numeric_type(sys)), Float64)
on_imag_axis = z -> abs(real(z)) < approximag # Helper fcn for readability
if sys.nx == 0 # static gain
return (T(opnorm(sys.D)), T(0))
end
pole_vec = poles(sys)
# Check if there is a pole on the imaginary axis
pidx = findfirst(on_imag_axis, pole_vec)
if !(pidx isa Nothing)
return (T(Inf), T(imag(pole_vec[pidx])))
# note: in case of cancellation, for s/s for example, we return Inf, whereas Matlab returns 1
end
if normtype === :hinf && any(z -> real(z) > 0, pole_vec)
return T(Inf), T(NaN) # The system is unstable
end
# Initialization: computation of a lower bound from 3 terms
if isreal(pole_vec) # only real poles
ω_p = minimum(abs.(pole_vec))
else # at least one pair of complex poles
maxidx = argmax([abs(imag(p)/real(p))/abs(p) for p in pole_vec])
ω_p = abs(pole_vec[maxidx])
end
m_vec_init = [0, ω_p, Inf]
(lb, idx) = findmax([opnorm(evalfr(sys, im*m_vec_init[1]));
opnorm(evalfr(sys, im*m_vec_init[2]));
opnorm(sys.D)])
ω_peak = m_vec_init[idx]
lb == 0 && (return zero(T), zero(T))
# Iterations
for iter=1:maxIters
gamma = (1+2*T(tol))*lb
R = sys.D'*sys.D - gamma^2*I
S = sys.D*sys.D' - gamma^2*I
M = sys.A-sys.B*(R\sys.D')*sys.C
H = [ M -gamma*sys.B*(R\sys.B') ;
gamma*sys.C'*(S\sys.C) -M' ]
Λ = complex(eigvals(H)) # To make type stable
if numeric_type(sys) <: Real
# Only need to consider one eigenvalue in each complex-conjugate pairs
filter!(z -> imag(z) >= 0, Λ)
end
# Find eigenvalues on the imaginary axis
Λ_on_imag_axis = filter(on_imag_axis, Λ)
ω_vec = imag.(Λ_on_imag_axis)
sort!(ω_vec)
if isempty(ω_vec)
return T((1+tol)*lb), T(ω_peak)
end
# Improve the lower bound
# if not empty, ω_vec contains at least two values
for k=1:length(ω_vec)-1
mk = (ω_vec[k] + ω_vec[k+1])/2
sigmamax_mk = opnorm(evalfr(sys,mk*1im))
if sigmamax_mk > lb
lb = sigmamax_mk
ω_peak = mk
end
end
end
error("In _infnorm_two_steps_dt: The computation of the H∞/L∞ norm did not converge in $maxIters iterations")
end
function _infnorm_two_steps_dt(sys::AbstractStateSpace, normtype::Symbol, tol=1e-6, maxIters=250, approxcirc=1e-8)
# Discrete-time version of linfnorm_two_steps_ct above
# Compuations are done in normalized frequency θ
on_unit_circle = z -> abs(abs(z) - 1) < approxcirc # Helper fcn for readability
T = promote_type(real(numeric_type(sys)), Float64, typeof(true/sys.Ts))
Tw = typeof(one(T)/sys.Ts)
if sys.nx == 0 # static gain
return (T(opnorm(sys.D)), Tw(0))
end
pole_vec = poles(sys)
# Check if there is a pole on the unit circle
pidx = findfirst(on_unit_circle, pole_vec)
if !(pidx isa Nothing)
return T(Inf), Tw(angle(pole_vec[pidx])/sys.Ts)
end
if normtype == :hinf && any(z -> abs(z) > 1, pole_vec)
return T(Inf), Tw(NaN) # The system is unstable
end
# Initialization: computation of a lower bound from 3 terms
if isreal(pole_vec) # not just real poles
# find frequency of pôle closest to unit circle
θ_p = angle(pole_vec[argmin(abs.(abs.(pole_vec).-1))])
else
θ_p = T(pi)/2
end
if isreal(pole_vec) # only real poles
ω_p = minimum(abs.(pole_vec))
else # at least one pair of complex poles
maxidx = argmax([abs(imag(p)/real(p))/abs(p) for p in pole_vec])
ω_p = abs(pole_vec[maxidx])
end
m_vec_init = [0, θ_p, pi]
(lb, idx) = findmax([opnorm(evalfr(sys, exp(im*m))) for m in m_vec_init])
θ_peak = m_vec_init[idx]
# Iterations
for iter=1:maxIters
gamma = (1+2*T(tol))*lb
R = gamma^2*I - sys.D'*sys.D
RinvDt = R\sys.D'
L = [ sys.A+sys.B*RinvDt*sys.C sys.B*(R\sys.B');
zeros(T, sys.nx,sys.nx) I]
M = [ I zeros(T, sys.nx,sys.nx);
sys.C'*(I+sys.D*RinvDt)*sys.C L[1:sys.nx,1:sys.nx]']
Λ = complex(eigvals(L,M)) # complex is to ensure type stability
if numeric_type(sys) <: Real
# Only need to consider one eigenvalue in each complex-conjugate pairs
filter!(z -> imag(z) >= 0, Λ)
end
# Find eigenvalues on the unit circle
Λ_on_unit_cirlce = filter(on_unit_circle, Λ)
θ_vec = angle.(Λ_on_unit_cirlce)
sort!(θ_vec)
if isempty(θ_vec)
return T((1+tol)*lb), Tw(θ_peak/sys.Ts)
end
# Improve the lower bound
# if not empty, θ_vec contains at least two values
for k=1:length(θ_vec)-1
mk = (θ_vec[k] + θ_vec[k+1])/2
sigmamax_mk = opnorm(evalfr(sys,exp(mk*1im)))
if sigmamax_mk > lb
lb = sigmamax_mk
θ_peak = mk
end
end
end
error("In _infnorm_two_steps_dt: The computation of the L∞ norm did not converge in $maxIters iterations")
end
"""
S, P, B = balance(A[, perm=true])
Compute a similarity transform `T = S*P` resulting in `B = T\\A*T` such that the row
and column norms of `B` are approximately equivalent. If `perm=false`, the
transformation will only scale `A` using diagonal `S`, and not permute `A` (i.e., set `P=I`).
"""
function balance(A, perm::Bool=true)
n = LinearAlgebra.checksquare(A)
B = copy(A)
job = perm ? 'B' : 'S'
ilo, ihi, scaling = LAPACK.gebal!(job, B)
S = Diagonal(scaling)
for j = 1:(ilo-1) S[j,j] = 1 end
for j = (ihi+1):n S[j,j] = 1 end
P = Matrix{Int}(I,n,n)
if perm
if ilo > 1
for j = (ilo-1):-1:1 cswap!(j, round(Int, scaling[j]), P) end
end
if ihi < n
for j = (ihi+1):n cswap!(j, round(Int, scaling[j]), P) end
end
end
return S, P, B
end
function cswap!(i::Integer, j::Integer, X::StridedMatrix)
for k = 1:size(X,1)
X[i, k], X[j, k] = X[j, k], X[i, k]
end
end
"""
`sysr, G, T = balreal(sys::StateSpace)`
Calculates a balanced realization of the system sys, such that the observability and reachability gramians of the balanced system are equal and diagonal `diagm(G)`. `T` is the similarity transform between the old state `x` and the new state `z` such that `Tz = x`.
See also [`gram`](@ref), [`baltrunc`](@ref).
Reference: Varga A., Balancing-free square-root algorithm for computing singular perturbation approximations.
"""
function balreal(sys::ST) where ST <: AbstractStateSpace
# This code is adapted from DescriptorSystems.jl
# originally written by Andreas Varga
# https://github.com/andreasvarga/DescriptorSystems.jl/blob/dd144828c3615bea2d5b4977d7fc7f9677dfc9f8/src/order_reduction.jl#L622
# with license https://github.com/andreasvarga/DescriptorSystems.jl/blob/main/LICENSE.md
A,B,C,D = ssdata(sys)
SF = schur(A)
bs = SF.Z'*B
cs = C*SF.Z
S = MatrixEquations.plyaps(SF.T, bs; disc = isdiscrete(sys))
R = MatrixEquations.plyaps(SF.T', cs'; disc = isdiscrete(sys))
SV = svd!(R*S)
U,Σ,V = SV
# Determine the order of a minimal realization to √ϵ tolerance
rmin = count(Σ .> sqrt(eps())*Σ[1])
i1 = 1:rmin
Σ = Σ[i1]
hsi2 = Diagonal(1 ./sqrt.(Σ))
L = lmul!(R',view(U,:,i1))*hsi2
Tr = lmul!(S,V[:,i1])*hsi2
# return the minimal balanced system
T = L'SF.Z'
return ss(L'SF.T*Tr, L'bs, cs*Tr, sys.D, sys.timeevol), Σ, T
end
"""
sysr, G, T = baltrunc(sys::StateSpace; atol = √ϵ, rtol=1e-3, n = nothing, residual = false)
Reduces the state dimension by calculating a balanced realization of the system sys, such that the observability and reachability gramians of the balanced system are equal and diagonal `diagm(G)`, and truncating it to order `n`. If `n` is not provided, it's chosen such that all states corresponding to singular values less than `atol` and less that `rtol σmax` are removed.
`T` is the similarity transform between the old state `x` and the newstate `z` such that `Tz = x`.
If `residual = true`, matched static gain is achieved through "residualization", i.e., setting
```math
0 = A_{21}x_{1} + A_{22}x_{2} + B_{2}u
```
where indices 1/2 correspond to the remaining/truncated states respectively.
See also `gram`, `balreal`
Glad, Ljung, Reglerteori: Flervariabla och Olinjära metoder.
For more advanced model reduction, see [RobustAndOptimalControl.jl - Model Reduction](https://juliacontrol.github.io/RobustAndOptimalControl.jl/dev/#Model-reduction).
# Extended help
$(_scaling_notice)
"""
function baltrunc(sys::ST; atol = sqrt(eps()), rtol = 1e-3, n = nothing, residual=false) where ST <: AbstractStateSpace
sysbal, S, T = balreal(sys)
if n === nothing
S = S[S .>= atol]
S = S[S .>= S[1]*rtol]
n = length(S)
else
S = S[1:n]
end
i1 = 1:n
if residual
A,B,C,D = ssdata(sysbal)
i2 = n+1:size(A, 1)
A11 = A[i1, i1]
A12 = A[i1, i2]
A21 = A[i2, i1]
A22 = -A[i2, i2]
isdiscrete(sys) && (A22 += I)
B1 = B[i1, :]
B2 = B[i2, :]
C1 = C[:, i1]
C2 = C[:, i2]
A2221 = A22\A21
A = A11 + A12*(A2221)
B = B1 + (A12/A22)*B2
C = C1 + C2*A2221
D = D + (C2/A22)*B2
else
A = sysbal.A[i1,i1]
B = sysbal.B[i1,:]
C = sysbal.C[:,i1]
D = sysbal.D
end
return ST(A,B,C,D,sys.timeevol), S, T
end
"""
syst = similarity_transform(sys, T; unitary=false)
Perform a similarity transform `T : Tx̃ = x` on `sys` such that
```
à = T⁻¹AT
B̃ = T⁻¹ B
C̃ = CT
D̃ = D
```
If `unitary=true`, `T` is assumed unitary and the matrix adjoint is used instead of the inverse.
See also [`balance_statespace`](@ref).
"""
function similarity_transform(sys::ST, T; unitary=false) where ST <: AbstractStateSpace
if unitary
A = T'sys.A*T
B = T'sys.B
else
Tf = factorize(T)
A = Tf\sys.A*T
B = Tf\sys.B
end
C = sys.C*T
D = sys.D
ST(A,B,C,D,sys.timeevol)
end
"""
time_scale(sys::AbstractStateSpace{Continuous}, a; balanced = false)
time_scale(G::TransferFunction{Continuous}, a; balanced = true)
Rescale the time axis (change time unit) of `sys`.
For systems where the dominant time constants are very far from 1, e.g., in electronics, rescaling the time axis may be beneficial for numerical performance, in particular for continuous-time simulations.
Scaling of time for a function ``f(t)`` with Laplace transform ``F(s)`` can be stated as
```math
f(at) \\leftrightarrow \\dfrac{1}{a} F\\big(\\dfrac{s}{a}\\big)
```
The keyword argument `balanced` indicates whether or not to apply a balanced scaling on the `B` and `C` matrices.
For statespace systems, this defaults to false since it changes the state representation, only `B` will be scaled.
For transfer functions, it defaults to true.
# Example:
The following example show how a system with a time constant on the order of one micro-second is rescaled such that the time constant becomes 1, i.e., the time unit is changed from seconds to micro-seconds.
```julia
Gs = tf(1, [1e-6, 1]) # micro-second time scale modeled in seconds
Gms = time_scale(Gs, 1e-6) # Change to micro-second time scale
Gms == tf(1, [1, 1]) # Gms now has micro-seconds as time unit
```
The next example illustrates how the time axis of a time-domain simulation changes by time scaling
```julia
t = 0:0.1:50 # original time axis
a = 10 # Scaling factor
sys1 = ssrand(1,1,5)
res1 = step(sys1, t) # Perform original simulation
sys2 = time_scale(sys, a) # Scale time
res2 = step(sys2, t ./ a) # Simulate on scaled time axis, note the `1/a`
isapprox(res1.y, res2.y, rtol=1e-3, atol=1e-3)
```
"""
function time_scale(sys::AbstractStateSpace{Continuous}, a; balanced = false)
a isa Real && (a > 0 || error("Time scaling constant must be positive"))
A,B,C,D = ssdata(sys)
A = a*I * A
if balanced
B = √(a)*I * B # Split the scaling equally on B and C to keep good balance
C = √(a)*I * C
else
B = a*I*B
end
ss(A,B,C,D,sys.timeevol)
end
time_scale(G::TransferFunction{Continuous}, a; balanced = true) = tf(time_scale(ss(G), a; balanced))
"""
sysi = innovation_form(sys, R1, R2[, R12])
sysi = innovation_form(sys; sysw=I, syse=I, R1=I, R2=I)
Takes a system
```
x' = Ax + Bu + w ~ R1
y = Cx + Du + e ~ R2
```
and returns the system
```
x' = Ax + Kv
y = Cx + v
```
where `v` is the innovation sequence.
If `sysw` (`syse`) is given, the covariance resulting in filtering noise with `R1` (`R2`) through `sysw` (`syse`) is used as covariance.
See Stochastic Control, Chapter 4, Åström
"""
function innovation_form(sys::ST, R1, R2, args...) where ST <: AbstractStateSpace
K = kalman(sys, R1, R2, args...)
innovation_form(sys, K)
end
# Set D = I to get transfer function H = I + C(sI-A)\ K
function innovation_form(sys::ST; sysw=I, syse=I, R1=I, R2=I) where ST <: AbstractStateSpace
K = kalman(sys, covar(sysw,R1), covar(syse, R2))
ss(sys.A, K, sys.C, Matrix{eltype(sys.A)}(I, sys.ny, sys.ny), sys.timeevol)
end
"""
sysi = innovation_form(sys, K)
Takes a system
```
x' = Ax + Bu + Kv
y = Cx + Du + v
```
and returns the system
```
x' = Ax + Kv
y = Cx + v
```
where `v` is the innovation sequence.
See Stochastic Control, Chapter 4, Åström
"""
function innovation_form(sys::ST, K) where ST <: AbstractStateSpace
ss(sys.A, K, sys.C, Matrix{eltype(sys.A)}(I, sys.ny, sys.ny), sys.timeevol)
end
"""
observer_predictor(sys::AbstractStateSpace, K; h::Int = 1)
observer_predictor(sys::AbstractStateSpace, R1, R2[, R12])
If `sys` is continuous, return the observer predictor system
```math
\\begin{aligned}
x̂' &= (A - KC)x̂ + (B-KD)u + Ky \\\\
ŷ &= Cx + Du
\\end{aligned}
```
with the input equation `[B-KD K] * [u; y]`
If `sys` is discrete, the prediction horizon `h` may be specified, in which case measurements up to and including time `t-h` and inputs up to and including time `t` are used to predict `y(t)`.
If covariance matrices `R1, R2` are given, the kalman gain `K` is calculated using [`kalman`](@ref).
See also [`innovation_form`](@ref) and [`observer_controller`](@ref).
"""
function observer_predictor(sys::AbstractStateSpace, R1, R2::Union{AbstractArray, UniformScaling}, args...; kwargs...)
K = kalman(sys, R1, R2, args...)
observer_predictor(sys, K; kwargs...)
end
function observer_predictor(sys::AbstractStateSpace, K::AbstractMatrix; h::Integer = 1)
h >= 1 || throw(ArgumentError("h must be positive."))
ny = noutputs(sys)
size(K, 1) == sys.nx && size(K,2) == ny || throw(ArgumentError("K has the wrong size, expected $((sys.nx, ny))"))
A,B,C,D = ssdata(sys)
if h == 1
ss(A-K*C, [B-K*D K], C, [D zeros(ny, ny)], sys.timeevol)
else
isdiscrete(sys) || throw(ArgumentError("A prediction horizon is only supported for discrete systems. "))
# The impulse response of the innovation form calculates the influence of a measurement at time t on the prediction at time t+h
# Below, we form a system del (delay) that convolves the input (y) with the impulse response
# We then add the output again to account for the fact that we propagated error and not measurement
inn = innovation_form(sys, K)
ts = (0:h-1) .* sys.Ts
imp = impulse(inn, ts).y * sys.Ts # Impulse response differs from Markov params by 1/Ts
del_components = map(Iterators.product(1:inn.ny, 1:inn.nu)) do (i,j)
tf(imp[i,:,j], [1; zeros(h-1)]) # This forms a system that convolves the input with the impulse response
end
del = tf(first.(numvec.(del_components)), first.(denvec.(del_components)), sys.timeevol) |> ss
pe = ss(A-K*C, [B-K*D K], C, [D -I(ny)], sys.timeevol) # prediction error system ŷ-y
return ss([zero(D) I(ny)], sys.timeevol) + del*pe # add y back to compensate for -y in pe
end
end
"""
cont = observer_controller(sys, L::AbstractMatrix, K::AbstractMatrix)
Return the observer_controller `cont` that is given by
`ss(A - B*L - K*C + K*D*L, K, L, 0)`
Such that `feedback(sys, cont)` produces a closed-loop system with eigenvalues given by `A-KC` and `A-BL`.
# Arguments:
- `sys`: Model of system
- `L`: State-feedback gain `u = -Lx`
- `K`: Observer gain
See also [`observer_predictor`](@ref) and [`innovation_form`](@ref).
"""
function observer_controller(sys, L::AbstractMatrix, K::AbstractMatrix)
A,B,C,D = ssdata(sys)
ss(A - B*L - K*C + K*D*L, K, L, 0, sys.timeevol)
end