covar
Output and state covariance of system driven by white noise
Syntax
P = covar(sys,W)
[P,Q] = covar(sys,W)
Description
covar calculates the stationary covariance of the output
y of an LTI model sys driven by Gaussian white
noise inputs w. This function handles both continuous- and
discrete-time cases.
P = covar(sys,W)returns the steady-state output response
covariance
P=E(yyT)
given the noise intensity
E(w(t)w(τ)T)=Wδ(t−τ)(continuous time)E(w[k]w[l]T)=Wδkl(discrete time)
[P,Q] = covar(sys,W) also returns the steady-state state
covariance
Q=E(xxT)
when sys is a state-space model (otherwise Q is
set to []).
When applied to an N-dimensional LTI array sys,
covar returns multidimensional arrays P,
Q such that
P(:,:,i1,...iN) and Q(:,:,i1,...iN) are the
covariance matrices for the model sys(:,:,i1,...iN).
Examples
Compute the output response covariance of the discrete SISO system
H(z)=2z+1z2+0.2z+0.5,Ts=0.1
due to Gaussian white noise of intensity W = 5. Type
sys = tf([2 1],[1 0.2 0.5],0.1);
p = covar(sys,5)
These commands produce the following result.
p =
30.3167
You can compare this output of covar to simulation results.
randn('seed',0)
w = sqrt(5)*randn(1,1000); % 1000 samples
% Simulate response to w with LSIM:
y = lsim(sys,w);
% Compute covariance of y values
psim = sum(y .* y)/length(w);
This yields
psim =
32.6269
The two covariance values p and psim do not
agree perfectly due to the finite simulation horizon.
Algorithms
Transfer functions and zero-pole-gain models are first converted to state space with
ss.
For continuous-time state-space models
x˙=Ax+Bwy=Cx+Dw,
the steady-state state covariance Q is obtained by solving the
Lyapunov equation
AQ+QAT+BWBT=0.
In discrete time, the state covariance Q solves the discrete Lyapunov equation
AQAT−Q+BWBT=0.
In both continuous and discrete time, the output response covariance is given by
P = CQCT +
DWDT. For unstable systems,
P and Q are infinite. For continuous-time
systems with nonzero feedthrough, covar returns
Inf for the output covariance P.
References
[1] Bryson, A.E. and Y.C. Ho, Applied Optimal
Control, Hemisphere Publishing, 1975, pp. 458-459.
See Also
Introduced before R2006a