File: system.cat

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scilab 2.6-4
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system            Scilab Group            Scilab Function            system
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.