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lti_disc

PURPOSE ^

LTI_DISC Discretize LTI ODE with Gaussian Noise

SYNOPSIS ^

function [A,Q] = lti_disc(F,L,Q,dt)

DESCRIPTION ^

LTI_DISC  Discretize LTI ODE with Gaussian Noise

 Syntax:
   [A,Q] = lti_disc(F,L,Qc,dt)

 In:
   F  - NxN Feedback matrix
   L  - NxL Noise effect matrix        (optional, default identity)
   Qc - LxL Diagonal Spectral Density  (optional, default zeros)
   dt - Time Step                      (optional, default 1)

 Out:
   A - Transition matrix
   Q - Discrete Process Covariance

 Description:
   Discretize LTI ODE with Gaussian Noise. The original
   ODE model is in form

     dx/dt = F x + L w,  w ~ N(0,Qc)

   Result of discretization is the model

     x[k] = A x[k-1] + q, q ~ N(0,Q)

   Which can be used for integrating the model
   exactly over time steps, which are multiples
   of dt.

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:
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