File: sskf.sci

package info (click to toggle)
scilab 2.6-4
  • links: PTS
  • area: non-free
  • in suites: woody
  • size: 54,632 kB
  • ctags: 40,267
  • sloc: ansic: 267,851; fortran: 166,549; sh: 10,005; makefile: 4,119; tcl: 1,070; cpp: 233; csh: 143; asm: 135; perl: 130; java: 39
file content (23 lines) | stat: -rw-r--r-- 516 bytes parent folder | download | duplicates (2) 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
 
function [xe]=sskf(y,f,h,q,r,x0)
//<xe>=sskf(y,f,h,q,r,x0)
//steady-state kalman filter
// y   :data in form [y0,y1,...,yn], yk a column vector
// f   :system matrix dim(NxN)
// h   :observations matrix dim(NxM)
// q   :dynamics noise matrix dim(NxN)
// r   :observations noise matrix dim(MxM)
//
// xe  :estimated state
//!
// Copyright INRIA

//get steady-state Kalman gain
 
x=ricc(f',h'/r*h,q,'disc') // steady state err cov
 k=x*h'/(h*x*h'+r)

 // estimate state
 kfd=(eye(f)-k*h)*f;
 [xe]=ltitr(kfd,k,y,x0);