gl2kr.py

"""
The content of this module is based on the original work:

    "Subspace Identification for Linear Systems, Theory, Implementation, Applications"
                           Van Overschee P., De Moor B.
                        Kluwer Academic Publishers, (1996)
"""

import numpy as np

from solvric import solvric

def gl2kr(A, G, C, L0):
    if (G == []) | (L0 == []):
        K = []
        R = []
    else:
        # Solve the Riccati equation
        P, flag = solvric(A, G, C, L0)
        if flag == 1:  # Riccati equation had no solution
            print('Warning: Non positive real covariance model => K = R = []')
            K = []
            R = []
        else:
            # Make output (Page 63 for instance)
            R = L0 - C @ P @ C.conj().T
            K = (G - A @ P @ C.conj().T) @ np.linalg.inv(R)

    return K, R