Implement a discretization method for State Space Models originally defined in continuous time to accommodate discrete token sequences. This process is crucial for applying continuous-time models to real-world problems that involve discrete data.
The Continuous State Space Model is defined by the equations x′(t)=Ax(t)+Bu(t) and y(t)=Cx(t), where x(t) is the state vector, u(t) is the input vector, and y(t) is the output vector. To discretize this model, we can use the Zero-Order Hold method, which assumes the input is constant between sampling times.
Here are the steps to discretize the model:
This technique is widely used in digital control systems.
A=-1.0, B=1.0, delta=0.1
(0.9048, 0.0952)
A_bar = e^(-0.1) ≈ 0.9048. B_bar = (e^(-0.1) - 1) / (-1) × 1 ≈ 0.0952. The state decays by ~10% each step while accumulating input.