covar

Steady-state co-variance.

Syntax

[P, Q] = covar(SYS, W)

Inputs

SYS
Space-state or transfer function model.
W
Gaussian white noise intensity.

Outputs

P
The output covariance.
Q
The state covariance.

Examples

Transfer function model input: 
sys = tf([3 2], [2 0.4 1.5], 10);  
[P,Q] = covar(sys,12)
P = 80.7940447
Q = [Matrix] 2 x 2
111.16625  -12.70471
-12.70471  111.16625
State-space model input: 
sys = tf([2], [3 4 2 2]);
sys1 = ss(sys);
[P, Q] = covar(sys1, 10)
P = 20
Q = [Matrix] 3 x 3
 1.50000e+01  -7.10543e-15  -2.25000e+01
-7.10543e-15   2.25000e+01   2.66454e-15
-2.25000e+01   2.66454e-15   4.50000e+01