MATLAB CONTROL SYSTEM TOOLBOX 9 Spécifications Page 384

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covar
16-44
Note that is well defined for nonzero in the discrete case.
Limitations The state and output covariances are defined for stable systems only. For
continuous systems, the output response covariance is finite only when the
matrix is zero (strictly proper system).
See Also dlyap Solver for discrete-time Lyapunov equations
lyap Solver for continuous-time Lyapunov equations
References [1]Bryson,A.E.andY.C.Ho,Applied Optimal Control, Hemisphere
Publishing, 1975, pp. 458-459.
PD
P
D
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