system

observation update

Calling Sequence

[x1,y]=system(x0,f,g,h,q,r)

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).

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