Scilab Function
Last update : April 1993
kalm - Kalman update
Calling Sequence
- [x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)
Parameters
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f,g,h: current system matrices
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q, r: covariance matrices of dynamics and observation noise
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x0,p0: state estimate and error variance at t=0 based on data up to t=-1
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y: current observation Output from the function is:
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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
Author
C. B.