lti_int.m

用EKF/UKF的Matlab仿真程序包

%LTI_INT  Integrate LTI ODE with Gaussian Noise
%
% Syntax:
%   [x,P,A] = lti_int(x,P,F,L,Q,T)
%
% Description:
%   Integrates LTI differential equation
%
%     x' = F*x + L*w  , w ~ N(0,Q)
%
%   from t0=0 to t1=T or over given steps t0,t1,t2,t3,...
%   Initial conditions can be in form
%
%     x(t0) = x0
%
%   or
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%     x(t0) ~ N(x0,P0)
%
% See also
%   LTI_DISC

% History:
%   20.11.2002  The first official version.
%
% Copyright (C) 2002 Simo S鋜kk