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eimm_smooth

PURPOSE ^

EIMM_SMOOTH EKF based fixed-interval IMM smoother using two IMM-EKF filters.

SYNOPSIS ^

function [x_sk,P_sk,x_sik,P_sik,mu_sk] = eimm_smooth(MM,PP,MM_i,PP_i,MU,p_ij,mu_0j,ind,dims,A,a,a_param,Q,R,H,h,h_param,Y)

DESCRIPTION ^

EIMM_SMOOTH  EKF based fixed-interval IMM smoother using two IMM-EKF filters.

 Syntax:
   [X_S,P_S,X_IS,P_IS,MU_S] = EIMM_SMOOTH(MM,PP,MM_i,PP_i,MU,p_ij,mu_0j,ind,dims,A,a,a_param,Q,R,H,h,h_param,Y)

 In:
   MM    - Means of forward-time IMM-filter on each time step
   PP    - Covariances of forward-time IMM-filter on each time step
   MM_i  - Model-conditional means of forward-time IMM-filter on each time step 
   PP_i  - Model-conditional covariances of forward-time IMM-filter on each time step
   MU    - Model probabilities of forward-time IMM-filter on each time step 
   p_ij  - Model transition probability matrix
   ind   - Indices of state components for each model as a cell array
   dims  - Total number of different state components in the combined system
   A     - Dynamic model matrices for each linear model and Jacobians of each
           non-linear model's measurement model function as a cell array
   a     - Cell array containing function handles for dynamic functions
           for each model having non-linear dynamics
   a_param - Parameters of a as a cell array.
   Q     - Process noise matrices for each model as a cell array.
   R     - Measurement noise matrices for each model as a cell array.
   H     - Measurement matrices for each linear model and Jacobians of each
           non-linear model's measurement model function as a cell array
   h     - Cell array containing function handles for measurement functions
           for each model having non-linear measurements
   h_param - Parameters of h as a cell array.
   Y     - Measurement sequence

 Out:
   X_S  - Smoothed state means for each time step
   P_S  - Smoothed state covariances for each time step
   X_IS - Model-conditioned smoothed state means for each time step
   P_IS - Model-conditioned smoothed state covariances for each time step
   MU_S - Smoothed model probabilities for each time step
   
 Description:
   EKF based two-filter fixed-interval IMM smoother.

 See also:
   EIMM_UPDATE, EIMM_PREDICT

CROSS-REFERENCE INFORMATION ^

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