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// Scilab ( http://www.scilab.org/ ) - This file is part of Scilab
// Copyright (C) INRIA
//
// This file must be used under the terms of the CeCILL.
// This source file is licensed as described in the file COPYING, which
// you should have received as part of this distribution. The terms
// are also available at
// http://www.cecill.info/licences/Licence_CeCILL_V2.1-en.txt
function [xe, x]=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
//!
//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);
endfunction
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