srkf - square root Kalman filter

Calling Sequence

[x1,p1]=srkf(y,x0,p0,f,h,q,r)

Parameters

• f, h : current system matrices
• q, r : covariance matrices of dynamics and observation noise
• x0, p0 : state estimate and error variance at t=0 based on data up to t=-1
• y : current observation Output from the function is
• x1, p1 : updated estimate and error covariance at t=1 based on data up to t=0

Description

square root Kalman filter algorithm

Author

C. B.