Home > src > erts_smooth1.m

erts_smooth1

PURPOSE ^

ERTS_SMOOTH1 Extended Rauch-Tung-Striebel smoother

SYNOPSIS ^

function [M,P,D] = erts_smooth1(M,P,A,Q,a,W,param,same_p)

DESCRIPTION ^

ERTS_SMOOTH1  Extended Rauch-Tung-Striebel smoother

 Syntax:
   [M,P,D] = ERTS_SMOOTH1(M,P,A,Q,[a,W,param,same_p])

 In:
   M - NxK matrix of K mean estimates from Unscented Kalman filter
   P - NxNxK matrix of K state covariances from Unscented Kalman Filter
   A - Derivative of a() with respect to state as
       matrix, inline function, function handle or
       name of function in form A(x,param)                 (optional, default eye())
   Q - Process noise of discrete model                       (optional, default zero)
   a - Mean prediction E[a(x[k-1],q=0)] as vector,
       inline function, function handle or name
       of function in form a(x,param)                        (optional, default A(x)*X)
   W - Derivative of a() with respect to noise q
       as matrix, inline function, function handle
       or name of function in form W(x,param)                (optional, default identity)
   param - Parameters of a. Parameters should be a single cell array, vector or a matrix
           containing the same parameters for each step or if different parameters
           are used on each step they must be a cell array of the format
           { param_1, param_2, ...}, where param_x contains the parameters for
           step x as a cell array, a vector or a matrix.     (optional, default empty)
   same_p - 1 if the same parameters should be
            used on every time step                          (optional, default 1)
                                   
                         

 Out:
   K - Smoothed state mean sequence
   P - Smoothed state covariance sequence
   D - Smoother gain sequence
   
 Description:
   Extended Rauch-Tung-Striebel smoother algorithm. Calculate
   "smoothed" sequence from given Kalman filter output sequence by
   conditioning all steps to all measurements.

 Example:

 See also:
   EKF_PREDICT1, EKF_UPDATE1

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:
Generated on Fri 12-Aug-2011 15:08:47 by m2html © 2005