#define BDMLIB #include "../mat_checks.h" #include "design/lq_ctrl.h" using namespace bdm; TEST ( LQG_test ) { LQG reg; shared_ptr > stsp = new StateSpace; // 2 x 1 x 1 stsp-> set_parameters ( eye ( 2 ), ones ( 2, 1 ), ones ( 1, 2 ), ones ( 1, 1 ), /* Q,R */ eye ( 2 ), eye ( 1 ) ); reg.set_system ( stsp ); // A, B, C reg.set_control_parameters ( eye ( 1 ), eye ( 1 ), vec_1 ( 1.0 ), 6 ); //Qy, Qu, horizon reg.validate(); reg.redesign(); double reg_apply = reg.ctrlaction ( "0.5, 1.1", "0.0" ) ( 0 ); /*convert vec to double*/ CHECK_CLOSE ( reg_apply, -0.248528137234392, 0.0001 ); } TEST ( to_state_test ) { mlnorm ml; mat A = "1.1, 2.3"; ml.set_parameters ( A, vec_1 ( 1.3 ), eye ( 1 ) ); RV yr = RV ( "y", 1 ); RV ur = RV ( "u", 1 ); ml.set_rv ( yr ); yr.t_plus ( -1 ); ml.set_rvc ( concat ( yr, ur ) ); shared_ptr Stsp = new StateCanonical; Stsp->connect_mlnorm ( ml ); /* results from [A,B,C,D]=tf2ss([2.3 0],[1 -1.1]) */ CHECK_CLOSE_EX ( Stsp->_A().get_row ( 0 ), vec ( "1.1" ), 0.0001 ); CHECK_CLOSE_EX ( Stsp->_C().get_row ( 0 ), vec ( "2.53" ), 0.0001 ); CHECK_CLOSE_EX ( Stsp->_D().get_row ( 0 ), vec ( "2.30" ), 0.0001 ); } TEST ( to_state_arx_test ) { mlnorm ml; mat A = "1.1, 2.3, 3.4"; ml.set_parameters ( A, vec_1 ( 1.3 ), eye ( 1 ) ); RV yr = RV ( "y", 1 ); RV ur = RV ( "u", 1 ); ml.set_rv ( yr ); ml.set_rvc ( concat ( yr.copy_t ( -1 ), concat ( ur, ur.copy_t ( -1 ) ) ) ); shared_ptr Stsp = new StateFromARX; RV xrv; RV urv; Stsp->connect_mlnorm ( ml, xrv, urv ); /* results from [A,B,C,D]=tf2ss([2.3 0],[1 -1.1]) */ CHECK_CLOSE_EX ( Stsp->_A().get_row ( 0 ), vec ( "1.1, 3.4, 1.3" ), 0.0001 ); CHECK_CLOSE_EX ( Stsp->_B().get_row ( 0 ), vec ( "2.3" ), 0.0001 ); CHECK_CLOSE_EX ( Stsp->_C().get_row ( 0 ), vec ( "1, 0, 0" ), 0.0001 ); } TEST ( arx_LQG_test ) { mlnorm ml; mat A = "1.81, -.81, .00468, .00438"; ml.set_parameters ( A, vec_1 ( 0.0 ), 0.00001*eye ( 1 ) ); RV yr = RV ( "y", 1 ); RV ur = RV ( "u", 1 ); RV rgr = yr.copy_t ( -1 ); rgr.add ( yr.copy_t ( -2 ) ); rgr.add ( yr.copy_t ( -2 ) ); rgr.add ( ur.copy_t ( -1 ) ); rgr.add ( ur ); ml.set_rv ( yr ); ml.set_rvc ( rgr ); ml.validate(); shared_ptr Stsp = new StateFromARX; RV xrv; RV urv; Stsp->connect_mlnorm ( ml, xrv, urv ); LQG L; L.set_system ( Stsp ); L.set_control_parameters ( eye ( 1 ), sqrt ( 1.0 / 1000 ) *eye ( 1 ), vec_1 ( 0.0 ), 100 ); L.validate(); L.redesign(); cout << L.to_string() << endl; } TEST (quadratic_test){ /*quadraticfn qf; qf.Q = chmat(2); qf.Q._Ch() = mat("1 -1 0; 0 0 0; 0 0 0"); CHECK_CLOSE_EX(qf.eval(vec("1 2")), vec_1(1.0), 0.0000000000000001); LQG_universal lq; lq.Losses = Array(1); lq.Losses(0) = quadraticfn(); lq.Losses(0).Q._Ch() = mat("1 -1 0; 0 0 0; 0 0 0"); lq.Losses(0).rv = RV("{u up }"); lq.Models = Array(1); lq.Models(0) = linfnEx(mat("1"),vec("1")); lq.Models(0).rv = RV("{x }"); lq.rv = RV("u",1); lq.redesign(); CHECK_CLOSE_EX(lq.ctrlaction(vec("1,0")), vec("1.24, -5.6"), 0.0000001);*/ } TEST (LQGU_static_vs_Riccati_test){ //test of universal LQG controller LQG_universal lq; lq.rv = RV("u", 2, 0); lq.set_rvc(RV("x", 2, 0)); lq.horizon = 10; /* model: x = Ax + Bu time: 0..horizon loss: l = x'Q'Qx + u'R'Ru time: 0..horizon-1 final loss: l = x'S'Sx time: horizon dim: x: 2 u: 2 A = [ 2 -1 ] [ 0 0.5 ] B = [ 1 -0.1 ] [ -0.2 2 ] Q = [ 5 0 ] [ 0 1 ] R = [ 0.01 0 ] [ 0 0.1 ] S = Q */ mat mA("2 -1;0 0.5"); mat mB("1 -0.1;-0.2 2"); mat mQ("5 0;0 1"); mat mR("0.01 0;0 0.1"); mat mS = mQ; //starting configuration vec x0("6 3"); /*cout << "configuration:" << endl << "mA:" << endl << mA << endl << "mB:" << endl << mB << endl << "mQ:" << endl << mQ << endl << "mR:" << endl << mR << endl << "mS:" << endl << mS << endl << "x0:" << endl << x0 << endl;*/ //model Array model(2); //model Ax part model(0).A = mA; model(0).B = vec("0 0"); model(0).rv = RV("x", 2, 0); model(0).rv_ret = RV("x", 2, 1); //model Bu part model(1).A = mB; model(1).B = vec("0 0"); model(1).rv = RV("u", 2, 0); model(1).rv_ret = RV("x", 2, 1); //setup lq.Models = model; //loss Array loss(2); //loss x'Qx part loss(0).Q.setCh(mQ); loss(0).rv = RV("x", 2, 0); //loss u'Ru part loss(1).Q.setCh(mR); loss(1).rv = RV("u", 2, 0); //setup lq.Losses = loss; //finalloss setup lq.finalLoss.Q.setCh(mS); lq.finalLoss.rv = RV("x", 2, 1); lq.validate(); //default L //cout << "default L matrix:" << endl << lq.getL() << endl; //produce last control matrix L lq.redesign(); //verification via Riccati LQG version mat mK = mS; mat mL = - inv(mR + mB.transpose() * mK * mB) * mB.transpose() * mK * mA; //cout << "L matrix LQG_universal:" << endl << lq.getL() << endl << //"L matrix LQG Riccati:" << endl << mL << endl; //checking L matrix (universal vs Riccati), tolerance is high, but L is not main criterion //more important is reached loss compared in the next part double tolerr = 1;//0.01; //0.01 OK x 0.001 NO OK //check last time L matrix CHECK_CLOSE_EX(lq.getL().get_cols(0,1), mL, tolerr); mat oldK; int i; //produce next control matrix L for(i = 0; i < lq.horizon - 1; i++) { lq.redesign(); oldK = mK; mK = mA.transpose() * (oldK - oldK * mB * inv(mR + mB.transpose() * oldK * mB) * mB.transpose() * oldK) * mA + mQ; mL = - inv(mR + mB.transpose() * mK * mB) * mB.transpose() * mK * mA; //cout << "L matrix LQG_universal:" << endl << lq.getL() << endl << //"L matrix LQG Riccati:" << endl << mL << endl; //check other times L matrix CHECK_CLOSE_EX(lq.getL().get_cols(0,1), mL, tolerr); } //check losses of LQG control - compare LQG_universal and Riccati version, no noise //loss of LQG_universal /*double*/vec loss_uni("0"); //setup vec x = x0; vec xold = x; vec u; //vec tmploss; //iteration for(i = 0; i < lq.horizon - 1; i++){ u = lq.getL().get_cols(0,1) * xold; x = mA * xold + mB * u; /*tmploss*/loss_uni = x.transpose() * mQ * x + u.transpose() * mR * u; //loss_uni += tmploss.get(0); xold = x; } /*tmploss*/ loss_uni = x.transpose() * mS * x; //loss_uni += tmploss.get(0); //loss of LQG Riccati version /*double*/ vec loss_rct("0"); //setup x = x0; xold = x; //iteration for(i = 0; i < lq.horizon - 1; i++){ u = mL * xold; x = mA * xold + mB * u; /*tmploss*/loss_rct = x.transpose() * mQ * x + u.transpose() * mR * u; //loss_rct += tmploss.get(0); xold = x; } /*tmploss*/loss_rct = x.transpose() * mS * x; //loss_rct += tmploss.get(0); //cout << "Loss LQG_universal: " << loss_uni << " vs Loss LQG Riccati: " << loss_rct << endl; CHECK_CLOSE_EX(loss_uni, loss_rct, 0.0001); } TEST (LQGU_random_vs_Riccati_test){ //uniform random generator Uniform_RNG urng; double maxmult = 10.0; int maxxsize = 5; int maxusize = 5; urng.setup(2.0, maxxsize); int matxsize = round(urng()); urng.setup(2.0, maxusize); int matusize = round(urng()); urng.setup(-maxmult, maxmult); mat tmpmat; mat mA; mA = urng(matxsize, matxsize); mat mB; mB = urng(matxsize, matusize); mat mQ; tmpmat = urng(matxsize, matxsize); mQ = tmpmat*tmpmat.transpose(); mat mR; tmpmat = urng(matusize, matusize); mR = tmpmat*tmpmat.transpose(); mat mS; tmpmat = urng(matxsize, matxsize); mS = tmpmat*tmpmat.transpose(); //starting configuration vec x0; x0 = urng(matxsize); /*cout << "configuration:" << endl << "x size " << matxsize << " u size " << matusize << endl << "mA:" << endl << mA << endl << "mB:" << endl << mB << endl << "mQ:" << endl << mQ << endl << "mR:" << endl << mR << endl << "mS:" << endl << mS << endl << "x0:" << endl << x0 << endl;*/ vec zerovecx(matxsize); zerovecx.zeros(); vec zerovecu(matusize); zerovecu.zeros(); //test of universal LQG controller LQG_universal lq; lq.rv = RV("u", matusize, 0); lq.set_rvc(RV("x", matxsize, 0)); lq.horizon = 10; //model Array model(2); //model Ax part model(0).A = mA; model(0).B = zerovecx; model(0).rv = RV("x", matxsize, 0); model(0).rv_ret = RV("x", matxsize, 1); //model Bu part model(1).A = mB; model(1).B = zerovecu; model(1).rv = RV("u", matusize, 0); model(1).rv_ret = RV("x", matxsize, 1); //setup lq.Models = model; //loss Array loss(2); //loss x'Qx part loss(0).Q.setCh(mQ); loss(0).rv = RV("x", matxsize, 0); //loss u'Ru part loss(1).Q.setCh(mR); loss(1).rv = RV("u", matusize, 0); //setup lq.Losses = loss; //finalloss setup lq.finalLoss.Q.setCh(mS); lq.finalLoss.rv = RV("x", matxsize, 1); lq.validate(); //produce last control matrix L lq.redesign(); //verification via Riccati LQG version mat mK = mS; mat mL = - inv(mR + mB.transpose() * mK * mB) * mB.transpose() * mK * mA; //checking L matrix (universal vs Riccati), tolerance is high, but L is not main criterion //more important is reached loss compared in the next part double tolerr = 2;//1;//0.01; //0.01 OK x 0.001 NO OK //check last time L matrix CHECK_CLOSE_EX(lq.getL().get_cols(0,(matxsize-1)), mL, tolerr); mat oldK; int i; //produce next control matrix L for(i = 0; i < lq.horizon - 1; i++) { lq.redesign(); oldK = mK; mK = mA.transpose() * (oldK - oldK * mB * inv(mR + mB.transpose() * oldK * mB) * mB.transpose() * oldK) * mA + mQ; mL = - inv(mR + mB.transpose() * mK * mB) * mB.transpose() * mK * mA; //check other times L matrix CHECK_CLOSE_EX(lq.getL().get_cols(0,(matxsize-1)), mL, tolerr); } //check losses of LQG control - compare LQG_universal and Riccati version, no noise //loss of LQG_universal vec loss_uni("0"); //setup vec x = x0; vec xold = x; vec u; //vec tmploss; //iteration for(i = 0; i < lq.horizon - 1; i++){ u = lq.getL().get_cols(0,(matxsize-1)) * xold; x = mA * xold + mB * u; loss_uni = x.transpose() * mQ * x + u.transpose() * mR * u; xold = x; } loss_uni = x.transpose() * mS * x; //loss of LQG Riccati version vec loss_rct("0"); //setup x = x0; xold = x; //iteration for(i = 0; i < lq.horizon - 1; i++){ u = mL * xold; x = mA * xold + mB * u; loss_rct = x.transpose() * mQ * x + u.transpose() * mR * u; xold = x; } loss_rct = x.transpose() * mS * x; CHECK_CLOSE_EX(loss_uni, loss_rct, 0.0001); } TEST (LQGU_SiSy_test){ int K = 5; int N = 100; double sigma = 0.1; double yr = 1; double y0 = 0; double x0 = y0 - yr; double Eb = 1; double P; //double P = 0.01; //loss ~ 1.0??? e-2 //double P = 0.1; //loss ~ 1.??? e-1 //double P = 1; //loss ~ ???.??? e+2 //double P = 10; //loss ~ ?e+6 mat A("1"); mat B(1,1); B(0,0) = Eb; mat Q("1"); mat R("0"); vec u(K); u.zeros(); mat xn(K, N); xn.zeros(); vec S(K); S.zeros(); vec L(K); L.zeros(); vec loss(N); loss.zeros(); LQG_universal lq; lq.rv = RV("u", 1, 0); lq.set_rvc(RV("x", 1, 0)); lq.horizon = K; Array model(2); model(0).A = A; model(0).B = vec("0 0"); model(0).rv = RV("x", 1, 0); model(0).rv_ret = RV("x", 1, 1); model(1).A = B; model(1).B = vec("0 0"); model(1).rv = RV("u", 1, 0); model(1).rv_ret = RV("x", 1, 1); lq.Models = model; Array qloss(2); qloss(0).Q.setCh(Q); qloss(0).rv = RV("x", 1, 0); qloss(1).Q.setCh(R); qloss(1).rv = RV("u", 1, 0); lq.Losses = qloss; lq.finalLoss.Q.setCh(Q); lq.finalLoss.rv = RV("x", 1, 1); lq.validate(); int n, k; double Br; //double x00; for(k = K-1; k >= 0;k--){ lq.redesign(); L(k) = (lq.getL())(0,0); } for(P = 0.01; P <= 10; (P*=10)){ lq.resetTime(); //cout << "Ls " << L << endl; for(n = 0; n < N; n++){ Br = Eb + sqrt(P)*randn(); xn(0, n) = x0 + sigma*randn(); for(k = 0; k < K-1; k++){ u(k) = L(k)*xn(k, n); xn(k+1, n) = (A*xn(k, n))(0,0) + Br*u(k) + sigma*randn(); } loss(n) = 0; for(k=0;k model(2); model(0).A = A; model(0).B = vec("0 0"); model(0).rv = RV("x", 3, 0); model(0).rv_ret = RV("x", 3, 1); model(1).A = B; model(1).B = vec("0 0"); model(1).rv = RV("u", 1, 0); model(1).rv_ret = RV("x", 3, 1); lq.Models = model; Array qloss(2); qloss(0).Q.setCh(X); qloss(0).rv = RV("x", 3, 0); qloss(1).Q.setCh(Y); qloss(1).rv = RV("u", 1, 0); lq.Losses = qloss; lq.finalLoss.Q.setCh(X); lq.finalLoss.rv = RV("x", 3, 1); lq.validate(); int n, k; //double Br; //double x00; /*for(k = K-1; k >= 0;k--){ lq.redesign(); L(k) = (lq.getL())(0,0); }*/ //cout << "Ls " << L << endl; for(inP = 0.01; inP <= 10; (inP*=10)){ lq.resetTime(); x0(2) = inP; for(n = 0; n < N; n++){ L.zeros(); xn0(0, n) = x0(0); xn1(0, n) = x0(1) + sqrt(inP) * randn(); xn2(0, n) = x0(2); //^neznalost, sum zatim ne for(k = 0; k < K-1; k++){ u(k) = L(0)*xn0(k, n) + L(1)*xn1(k, n) + L(2)*xn2(k, n); Kk(k) = u(k)*xn2(k, n)/(u(k)*u(k)*xn2(k, n) + sigma*sigma); xn0(k+1, n) = xn0(k, n) + xn1(k, n)*u(k) + sigma*randn(); xn1(k+1, n) = xn1(k, n) + Kk(k)*(xn0(k+1, n) - xn0(k, n) - xn1(k, n)*u(k)); xn2(k+1, n) = (1 - Kk(k)*u(k))*xn2(k, n); } lq.resetTime(); lq.redesign(); for(k = K-1; k > 0; k--){ A(0, 1) = u(k); A(1, 0) = -Kk(k); A(1, 1) = 1-Kk(k)*u(k); A(1, 2) = u(k)*sigma*sigma*(xn0(k+1, n) - xn0(k, n) - xn1(k, n)*u(k)) / sqr(u(k)*u(k)*xn2(k, n) + sigma*sigma); A(2, 2) = 1 - u(k)*u(k)*xn2(k, n)*(u(k)*u(k)*xn2(k, n) + 2*sigma*sigma) / sqr(u(k)*u(k)*xn2(k, n) + sigma*sigma); B(0) = xn1(k, n); B(1) = ((xn2(k, n)*sigma*sigma-u(k)*u(k)*xn2(k, n)*xn2(k, n))*(xn0(k+1, n)-xn0(k, n)) - 2*xn1(k, n)*u(k)) / sqr(u(k)*u(k)*xn2(k, n) + sigma*sigma); B(2) = -2*u(k)*xn2(k, n)*xn2(k, n)*sigma*sigma / sqr(u(k)*u(k)*xn2(k, n) + sigma*sigma); lq.Models(0).A = A; lq.Models(1).A = B; lq.redesign(); } L = lq.getL(); //simulation xn0(0, n) += sigma*randn(); for(k = 0; k < K-1; k++){ u(k) = L(0)*xn0(k, n) + L(1)*xn1(k, n) + L(2)*xn2(k, n); Kk(k) = u(k)*xn2(k, n)/(u(k)*u(k)*xn2(k, n) + sigma*sigma); xn0(k+1, n) = xn0(k, n) + xn1(k, n)*u(k) + sigma*randn(); xn1(k+1, n) = xn1(k, n) + Kk(k)*(xn0(k+1, n) - xn0(k, n) - xn1(k, n)*u(k)); xn2(k+1, n) = (1 - Kk(k)*u(k))*xn2(k, n); } loss(n) = 0; for(k=0;k