Fast computation for matrices to compute a sequence of states from a discrete-time, time-varying state space model

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Michael Fink il 2 Giu 2021

Modificato: Michael Fink il 3 Giu 2021

Hello

I have the following linear discrete-time, time-varying state space model

No i want to compute a sequence of states from a sequence of inputs with the following equation:

My question is, how can i compute the augemented matrices

and

in a fast way (e.g. without loops, built-in function, ... ) for big N (e.g. N>100)?

The matrices

and

are already computed for all

and they are saved in 3-dimensional arrays

and

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