Augmenting the Linear Variance Equation

A technique is developed to convert the covariance analysis ofcertain time-varying linear systems into time-invariant form, thusallowing an arbitrary time step for the solution of the differentialequations. The result is accomplished by augmenting the linearvariance equation and augmenting the state vector if necessary. Themethod is illustrated with an example showing the covariancepropagation of ring laser gyro errors in a strapdown inertial systeminto navigation errors during turns.