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).