Box-Jenkins model LQG controller: design and performance

TitleBox-Jenkins model LQG controller: design and performance
Publication TypeJournal Article
Year of Publication2001
AuthorsVu, K. M., P. TESSIER, and G. A. Dumont
JournalIEE Proceedings-Control Theory and Applications
Volume148
Pagination419-429
Date PublishedSEP
Type of ArticleArticle
ISSN1350-2379
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.

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