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Title: Stochastic systems additions by murrayrm · Pull Request #714 · python-control/python-control · GitHub

Open Graph Title: Stochastic systems additions by murrayrm · Pull Request #714 · python-control/python-control

X Title: Stochastic systems additions by murrayrm · Pull Request #714 · python-control/python-control

Description: This PR adds new functionality for supporting analysis and simulation of stochastic systems, based on a class that I taught at Caltech: Adds two new functions supporting random signals: white_noise, which creates a white noise vector in continuous or discrete time, and correlation, which calculates the correlation function (or [cross-] correlation matrix), R(tau). Adds a new function create_estimator_iosystem that matches the style of create_statefbk_iosystem (#710) and creates an I/O system implementing an estimator (including covariance update). Adds the ability to specify initial conditions for input_output_response as a list of values, so that for estimators that keep track of covariance you can set the initial conditions as [X0, P0]. In addition, if you specify a fewer number of initial conditions than the number of states, the remaining states will be initialized to zero (with a warning if the last initial condition is not zero). This allows the initial conditions to be given as [X0, 0]. Adds the ability to specify inputs for input_output_response as a list of variables. Each element in the list will be treated as a portion of the input and broadcast (if necessary) to match the time vector. This allows input for a system with noise as [U, V] and inputs for a system with zero noise as [U, np.zero(n)] (where U is an input signal and np.zero(n) gets broadcast to match the time vector). Added some new Jupyter notebooks demonstrate the use of these functions: stochresp.ipynb: illustrates the implementation of random processes and stochastic response. pvtol-outputfbk.ipynb: illustrates the implementation of an extended Kalman filter and the use of the estimated state for LQR feedback of a vectored thrust aircraft model. kincar-fusion.ipynb: works through estimation of the state of a car changing lanes with two different sensors available: one with good longitudinal accuracy and the other with good lateral accuracy.

Open Graph Description: This PR adds new functionality for supporting analysis and simulation of stochastic systems, based on a class that I taught at Caltech: Adds two new functions supporting random signals: white_noi...

X Description: This PR adds new functionality for supporting analysis and simulation of stochastic systems, based on a class that I taught at Caltech: Adds two new functions supporting random signals: white_noi...

Opengraph URL: https://github.com/python-control/python-control/pull/714

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4c197ca add not implemented test/fix for continuous MPC murrayrm Mar 12, 2022 https://github.com/python-control/python-control/pull/714/commits/4c197caa9e3c5347aef6807fa64b3b908f966c8e
b1b3ad5 create _NamedIOSystem, _NamedIOStateSystem parent classes murrayrm Mar 23, 2022 https://github.com/python-control/python-control/pull/714/commits/b1b3ad58b3d75d62974c8c504e35298548aca427
3de4956 initial creation of stochsys module + create_estimator_iosystem murrayrm Mar 16, 2022 https://github.com/python-control/python-control/pull/714/commits/3de4956c3deb3b72287c8dc3e8988fcb5756bd2c
dff5206 allow legacy matrix representation murrayrm Mar 17, 2022 https://github.com/python-control/python-control/pull/714/commits/dff520652618c207b6cc6cae6c3dba926315cba5
536b97e stochsys ipynb examples + labeling fixes murrayrm Mar 18, 2022 https://github.com/python-control/python-control/pull/714/commits/536b97e654a135126755ddaf3b146d869474bb67
a211dad allow legacy matrix representation murrayrm Mar 17, 2022 https://github.com/python-control/python-control/pull/714/commits/a211dad6857b8eef2bb521914a96cb3980679a78
d3e7387 additional stochsys documentation, unit tests murrayrm Mar 18, 2022 https://github.com/python-control/python-control/pull/714/commits/d3e738710a197f81adfd5b85aa1332773ff2adb0
bd1e8e0 replace correlation_lags with calculation + new example murrayrm Mar 18, 2022 https://github.com/python-control/python-control/pull/714/commits/bd1e8e07bdea4b0c93f2ced987ae6c9e3f309b92
7821e2b add jupyter notebooks to documentation + updated notebooks murrayrm Mar 18, 2022 https://github.com/python-control/python-control/pull/714/commits/7821e2b62ad45661a699e1aaf63abcc37a0e12d8
1202257 add documentation on predict keyword + input_output_response list pro… murrayrm Mar 18, 2022 https://github.com/python-control/python-control/pull/714/commits/12022571bf4d048c76d337ca136cb1493fea2f01
a4567d4 rebase cleanup murrayrm Mar 23, 2022 https://github.com/python-control/python-control/pull/714/commits/a4567d4aeea90f05877aac2a55f529e28a000558
051e196 retrigger checks murrayrm Mar 23, 2022 https://github.com/python-control/python-control/pull/714/commits/051e19606f28bdf06be4c00bc513eaa31aa85abf
34c2c7e add kwarg checks + rebase cleanup murrayrm Mar 30, 2022 https://github.com/python-control/python-control/pull/714/commits/34c2c7e3018a3537c97f3564368535d4158421a9
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