Compute stochastic linear observability and constructability Gramians in a numerically stable way
This repository contains two MATLAB functions for stochastic linear observability and constructability (SLOC) analysis in discrete-time time-varying systems. The recursive formula used to obtain the stochastic constructability Gramian is based on established literature, while the numerically stable recursive formula for calculating the stochastic observability Gramian is derived in Boyacioglu and van Breugel (2024). The 'examples' folder includes code to generate Fig. 2 from that paper, along with a bonus example for calculating the stochastic constructability Gramian.