srfaur
square-root algorithm
Syntax
[p,s,t,l,rt,tt]=srfaur(h,f,g,r0,n,p,s,t,l)
Arguments
- h, f, g
convenient matrices of the state-space model.
- r0
E(yk*yk').
- n
number of iterations.
- p
estimate of the solution after n iterations.
- s, t, l
intermediate matrices for successive iterations;
- rt, tt
gain matrices of the filter model after
n
iterations.- p, s, t, l
may be given as input if more than one recursion is desired (evaluation of intermediate values of
p
).
Description
square-root algorithm for the algebraic Riccati equation.
Examples
//GENERATE SIGNAL x=%pi/10:%pi/10:102.4*%pi; rand('seed',0);rand('normal'); y=[1;1]*sin(x)+[sin(2*x);sin(1.9*x)]+rand(2,1024); //COMPUTE CORRELATIONS c=[];for j=1:2,for k=1:2,c=[c;corr(y(k,:),y(j,:),64)];end;end c=matrix(c,2,128); //FINDING H,F,G with 6 states hk=hank(20,20,c); [H,F,G]=phc(hk,2,6); //SOLVING RICCATI EQN r0=c(1:2,1:2); [P,s,t,l,Rt,Tt]=srfaur(H,F,G,r0,200); //Make covariance matrix exactly symmetric Rt=(Rt+Rt')/2
See also
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