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Aide Scilab >> Traitement du Signal > kalm

kalm

Kalman update

Calling Sequence

[x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)

Arguments

f,g,h

current system matrices

q, r

covariance matrices of dynamics and observation noise

x0,p0

state estimate and error variance at t=0 based on data up to t=-1

y

current observation Output from the function is:

x1,p1

updated estimate and error covariance at t=1 based on data up to t=0

x

updated estimate and error covariance at t=0 based on data up to t=0

Description

function which gives the Kalman update and error variance

Authors

C. B.

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Copyright (c) 1989-2012 (INRIA)
Copyright (c) 1989-2007 (ENPC)
with contributors
Last updated:
Wed Oct 05 12:10:56 CEST 2011