types.core.DiffusionMatrix

types.core.DiffusionMatrix

Diffusion/noise gain matrix (nx, nw) - stochastic systems only.

Scales noise in stochastic dynamics.

Uses: - Continuous: Gc (diffusion Jacobian ∂g/∂x, scales dW) - Discrete: Gd (noise gain, scales w[k]) - Process noise: Q = GWG’ where W is noise intensity

Examples

>>> # Continuous SDE
>>> Gc: DiffusionMatrix = np.array([[0.1], [0.2]])
>>> 
>>> # Discrete (Euler-Maruyama)
>>> Gd: DiffusionMatrix = np.sqrt(dt) * Gc
>>> 
>>> # Additive noise (constant)
>>> G_additive: DiffusionMatrix = 0.1 * np.eye(nx)