Path: Common/Control
%Convert continuous noise process to a discrete noise process.
Such that
dx/dt = a*x + b*w
becomes
x[k+1] = a*x[k] + w[k]
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Form:
[q, r] = CToDRand( a, q, r, b, t )
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Inputs
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a State matrix
q Spectral density of the white noise process w.
r Variance for the colored measurement noise
b Continuous noise input matrix
t Time step
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Outputs
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q (:) Covariance matrix
r (:) Measurement variance
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Reference: Van Loan, C. F., .
IEEE Trans. Automat. Contr. Vol. AC-23, No. 3, pp. 295-404,
June, 1978.
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