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Scilabヘルプ >> Signal Processing > Filters > sskf

sskf

定常状態カルマンフィルタ

呼出し手順

xe = sskf(y,f,h,q,r,x0)

[xe, pe]=sskf(y,f,h,q,r,x0)

引数

y

[y0,y1,...,yn], ykからのデータ, 列ベクトル

f

システム行列の次元(NxN)

h

観測行列の次元(MxN)

q

ダイナミクスノイズ行列の次元(NxN)

r

観測ノイズ行列の次元(MxM)

x0

初期状態量の推定値

xe

状態量の推定値

pe

誤差共分散の定常値

説明

定常状態カルマンフィルタ

rand("seed",5);
rand("normal");
q=[.03 0.01;.01 0.03];
u=rand(2,11);
f=[1.1 0.1;0 0.8];
g=(chol(q))';
m0=[10 10]';
p0=[2 0;0 2];
x0=m0+(chol(p0))'*rand(2,1);
x=ltitr(f,g,u,x0);
r=[2 0;0 2];
v=(chol(r))'*rand(2,11);
y=x+v;
h=eye(2,2);
[xe pe]=sskf(y,f,h,q,r,m0)
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