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lti_int

PURPOSE ^

LTI_INT Integrate LTI ODE with Gaussian Noise

SYNOPSIS ^

function [x,P,A] = lti_int(x,P,F,L,Q,T)

DESCRIPTION ^

LTI_INT  Integrate LTI ODE with Gaussian Noise

 Syntax:
   [x,P,A] = lti_int(x,P,F,L,Q,T)

 Description:
   Integrates LTI differential equation

     x' = F*x + L*w  , w ~ N(0,Q)

   from t0=0 to t1=T or over given steps t0,t1,t2,t3,...
   Initial conditions can be in form

     x(t0) = x0

   or

     x(t0) ~ N(x0,P0)

 See also
   LTI_DISC

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:
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