system
observation update
Calling Sequence
[x1,y]=system(x0,f,g,h,q,r)
Arguments
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
where u is distributed N(0,q)
and v is distribute N(0,r).
Examples