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matrixexponentialintegralscilab

scilab - find the integral of an exponential with matrix

How do I do this:

H = integral( exp(At) * B dt), from 0.0 to 0.1?

The objective is to develop a discrete state observer from a continuous one. However, a never get a answer from scilab.

Solution

  • What you want is probably this:
    C. Van Loan: Computing integrals involving the matrix exponential, IEEE Transactions on Automatic Control, vol.23, no.3, pp. 395–404, Jun 1978

    For example, from here:
    http://www.cs.cornell.edu/cv/ResearchPDF/computing.integrals.involving.Matrix.Exp.pdf