• DocumentCode
    916246
  • Title

    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;
  • fLanguage
    English
  • Journal_Title
    Proceedings of the IEEE
  • Publisher
    ieee
  • ISSN
    0018-9219
  • Type

    jour

  • DOI
    10.1109/PROC.1971.8142
  • Filename
    1450072
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=916246