ts2func - Convert time series to functions of time and state

Synopsis

F = ts2func(Array)

F = ts2func(Array, 'Name1', Value1, 'Name2', Value2, ...)

Description

The ts2func function encapsulates a time series array associated with a vector of real-valued observation times within a MATLAB function suitable for Monte Carlo simulation of an NVARS-by-1 state vector X_t.

Input Arguments

Array Time series array to encapsulate within a callable function of time and state. Array may be a vector, 2-dimensional matrix, or three-dimensional array.

Optional Input Arguments

Specify optional input arguments as variable-length lists of matching parameter name/value pairs: 'Name1', Value1, 'Name2', Value2, ... and so on. The following rules apply when specifying parameter-name pairs:

Specify the parameter name as a character string, followed by its corresponding parameter value.
You can specify parameter name/value pairs in any order.
Parameter names are case insensitive.
You can specify unambiguous partial string matches.

Valid parameter names are:

`Times`	Vector of monotonically increasing observation times associated with the time series input array `Array`. If you do not specify a value for this argument, `Times` is a zero-based, unit-increment vector of the same length as that of the dimension of `Array` associated with time (see `TimeDimension`).
`TimeDimension`	Positive scalar integer that specifies which dimension of the input time series array `Array` is associated with time. The value of this argument cannot be greater than the number of dimensions of `Array`. If you do not specify a value for this argument, the default is `1`, indicating that time is associated with the rows of `Array`.
`StateDimension`	Positive scalar integer that specifies which dimension of the input time series array `Array` is associated with the `NVARS` state variables. `StateDimension` cannot be greater than the number of dimensions of `Array`. If you do not specify a value for this argument, `ts2func` assigns `StateDimension` the first dimension of `Array` that is not already associated with time (the state vector X_t is associated with the first available dimension of `Array`not already assigned to `TimeDimension`).

Output Arguments

F Callable function F(t) of a real-valued scalar observation time t. You can invoke F with a second input (such as an NVARS-by-1 state vector X), which is a placeholder that ts2func ignores. For example, while F(t) and F(t,X) produce identical results, the latter directly supports SDE simulation methods.

Remarks

When you specify Array as a trivial scalar or a vector (row or column), ts2func assumes that it represents a univariate time series.
F returns an array with one fewer dimension than the input time series array Array with which F is associated. Thus, when Array is a vector, a 2-dimensional matrix, or a three-dimensional array, F returns a scalar, vector, or 2-dimensional matrix, respectively.
When the scalar time t at which ts2func evaluates the function F does not coincide with an observation time in Times, F performs a zero-order-hold interpolation. The only exception is if t precedes the first element of Times, in which case F(t) = F(Times(1)).
To support Monte Carlo simulation methods, the output function F returns an NVARS-by-1 column vector or a 2-dimensional matrix with NVARS rows.