system

Arguments

x0

input state vector

f

system matrix

g

input matrix

h

Output matrix

q

input noise covariance matrix

r

output noise covariance matrix

x1

output state vector

y

output observation

Description

define system function which generates the next observation given the old state. System recursively calculated

x1=f*x0+g*u
y=h*x0+v

where u is distributed N(0,q) and v is distribute N(0,r).

Authors

C. B.