Scilab 5.4.0
Please note that the recommended version of Scilab is 2025.0.0. This page might be outdated.
See the recommended documentation of this function
srkf
square root Kalman filter
Calling Sequence
[x1,p1]=srkf(y,x0,p0,f,h,q,r)
Arguments
- f, 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
Description
square root Kalman filter algorithm
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