State and covariance extrapolation from the state transition matrix
Author :
Frame, J.S.
Volume :
59
Issue :
2
fYear :
1971
Firstpage :
294
Lastpage :
295
Abstract :
A computational method is proposed for evaluating the function Φ(T)=eATfor a constant n×n matrix A, using only n-2 matrix multiplications, and also for computing the related integral V(t) = ∫0tΦ(τ)QΦ´(τ)dτ by a recurrence relation.
Keywords :
Covariance matrix; Digital simulation; Extrapolation; Polynomials; Real time systems; Transient response; White noise;
