Discretizing stochastic dynamical systems using Lyapunov equations
Dynamical Systems
2014-02-07 v1
Abstract
Stochastic dynamical systems are fundamental in state estimation, system identification and control. System models are often provided in continuous time, while a major part of the applied theory is developed for discrete-time systems. Discretization of continuous-time models is hence fundamental. We present a novel algorithm using a combination of Lyapunov equations and analytical solutions, enabling efficient implementation in software. The proposed method circumvents numerical problems exhibited by standard algorithms in the literature. Both theoretical and simulation results are provided.
Cite
@article{arxiv.1402.1358,
title = {Discretizing stochastic dynamical systems using Lyapunov equations},
author = {Niklas Wahlström and Patrix Axelsson and Fredrik Gustafsson},
journal= {arXiv preprint arXiv:1402.1358},
year = {2014}
}