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.