randvec (Control Design and Simulation Module, MathScript Function)

LabView Control Design MathScript Functions

randvec (Control Design and Simulation Module, MathScript Function)

Member of the cdutil class.

Syntax

vectorX = randvec(covXX)

vectorX = randvec(meanX, covXX)

[vectorX, vectorY] = randvec(covXX, covYY, covXY)

[vectorX, vectorY] = randvec(meanX, covXX, covYY, covXY)

[vectorX, vectorY] = randvec(meanX, meanY, covXX, covYY, covXY)

Description

Generates one or more random vectors with specified mean, auto-covariance, and cross-covariance information.

Examples

Inputs

Name Description
covXX Specifies the auto-covariance of the vectorX vector. covXX is a real matrix and must be symmetric and positive semi-definite.
meanX Specifies the mean of the vectorX vector. meanX is a real vector and determines the length of vectorX and the dimensions of covXX. The default value of meanX is 0.
covYY Specifies the auto-covariance of the vectorY vector. covYY is a real matrix and must be symmetric and positive semi-definite.
meanY Specifies the mean of the vectorY vector. meanY is a real vector and determines the length of vectorY and the dimensions of covYY. The default value of meanY is 0.
covXY Specifies the cross-covariance between the vectorX and vectorY vectors. covXY is a real matrix. If n is the length of meanX and m is the length of meanY, covXY must be an n x m matrix.

Outputs

Name Description
vectorX Returns a random vector with mean meanX, auto-covariance covXX, and cross-covariance covXY with the vectorY vector.
vectorY Returns a random vector with mean meanY, auto-covariance covYY, and cross-covariance covXY with the vectorX vector.

Examples

eig_xy = abs(randn(1,7));diag_xy = diag(eig_xy);
U_xy = rand(7,7);
overall_cov = U_xy*diag_xy*U_xy';
covXX = overall_cov(1:4,1:4);
covYY = overall_cov(5:7,5:7);
covXY = overall_cov(1:4,5:7);
[vectorX, vectorY] = randvec(covXX, covYY, covXY);