ltiDisc: Discretize Linear Time-Invariant ODE

In eddelbuettel/rcppkalman: 'RcppArmadillo'-Based Kalman Filtering

Description

Discretize Linear Time-Invariant ODE with Gaussian Noise

Usage

ltiDisc(F, L, Q, dt)

Arguments

F	An N x N feedback matrix
L	(Optional, default idendity) N x L noise effect matrix
Q	(Optionalm default zeros) L x L diagonal spectral density
dt	(Option, default one) time step

Details

This function discretizes the linear time-invariant (LTI) ordinary differential equation (ODE).

Value

A list with elements

A

the transition matrix, and

Q

the discrete process covariance

Author(s)

The EKF/UKF Toolbox was written by Simo Särkkä, Jouni Hartikainen, and Arno Solin.

Dirk Eddelbuettel is porting this package to R and C++, and maintaing it.

See Also

The documentation for the EKF/UKF toolbox at http://becs.aalto.fi/en/research/bayes/ekfukf

eddelbuettel/rcppkalman documentation built on June 19, 2020, 4:28 a.m.