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Kalman decomposition : ウィキペディア英語版
Kalman decomposition

In control theory, a Kalman decomposition provides a mathematical means to convert a representation of any linear time-invariant control system to a form in which the system can be decomposed into a standard form which makes clear the observable and controllable components of the system. This decomposition results in the system being presented with a more illuminating structure, making it easier to draw conclusions on the system's reachable and observable subspaces.
== Notation ==
The derivation is identical for both discrete-time as well as continuous time LTI systems. The description of a continuous time linear system is
: \dot(t) = Ax(t) + Bu(t)
: \, y(t) = Cx(t) + Du(t)
where
: \, x is the "state vector",
: \, y is the "output vector",
: \, u is the "input (or control) vector",
: \, A is the "state matrix",
: \, B is the "input matrix",
: \, C is the "output matrix",
: \, D is the "feedthrough (or feedforward) matrix".
Similarly, a discrete-time linear control system can be described as
: \, x(k+1) = Ax(k) + Bu(k)
: \, y(k) = Cx(k) + Du(k)
with similar meanings for the variables. Thus, the system can be described using the tuple consisting of four matrices \, (A, B, C, D).
Let the order of the system be \, n.
Then, the Kalman decomposition is defined as a transformation of the tuple \, (A, B, C, D) to \, (\hat, \hat, \hat, \hat) as follows:
: \, }AT
: \, }B
: \, } = D
\, T is an \, n \times n invertible matrix defined as
: \, T = \begin T_ & T_o}\end
where
* \, T_ is chosen so that the columns of \, \begin T_\end are a basis for the reachable subspace.
* \, T_ T_}\end are a basis for the unobservable subspace.
* \, T_ is chosen so that \,\begin T_ & T_o}\end is invertible.
By construction, the matrix \, T is invertible. It can be observed that some of these matrices may have dimension zero. For example, if the system is both observable and controllable, then \, T = T_, making the other matrices zero dimension.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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