In the manual section 20.3, there’s an example of solving a linear ODE with the Matrix Exponential method. The example is of the type:
dx/dt = Ax, where
x is a vector of state variables, and
A holds the parameters to be estimated (describing the dynamics of the state space model).
In Stan, can a linear ODE with an input vector be solved with Matrix Exponential as well? That’s a linear ODE of the type:
dx/dt = Ax + Bu, where
u is the input vector (holding data) and B is a matrix of parameters describing how the input signals (
u) are entering the system.