control.white_noise

control.white_noise(T, Q, dt=0)

Generate a white noise signal with specified intensity.

This function generates a (multi-variable) white noise signal of specified intensity as either a sampled continous time signal or a discrete time signal. A white noise signal along a 1D array of linearly spaced set of times T can be computing using

V = ct.white_noise(T, Q, dt)

where Q is a positive definite matrix providing the noise intensity.

In continuous time, the white noise signal is scaled such that the integral of the covariance over a sample period is Q, thus approximating a white noise signal. In discrete time, the white noise signal has covariance Q at each point in time (without any scaling based on the sample time).

Parameters

• T (1D array_like) – Array of linearly spaced times.

• Q (2D array_like) – Noise intensity matrix of dimension nxn.

• dt (float, optional) – If 0, generate continuous time noise signal, otherwise discrete time.

Returns

V – Noise signal indexed as V[i, j] where i is the signal index and j is the time index.

Return type

array