File: system.cat

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system(1)                      Scilab Function                      system(1)
NAME
  system - observation update

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

PARAMETERS

  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).

AUTHOR
  C. B.