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Box–Jenkins model LQG controller: design and performance

Box–Jenkins model LQG controller: design and performance

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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.

Inspec keywords: control system analysis; white noise; Gaussian noise; control system synthesis; matrix algebra; linear quadratic Gaussian control; stochastic systems; time series

Other keywords: two input two output variables time series; linear quadratic Gaussian control law; Gaussian white noise; cross-covariances; control loop performance; Box-Jenkins model LQG controller; auto-covariances

Subjects: Algebra; Control system analysis and synthesis methods; Other topics in statistics; Optimal control; Time-varying control systems

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