RTS_SMOOTH Rauch-Tung-Striebel smoother Syntax: [M,P,S] = RTS_SMOOTH(M,P,A,Q) In: M - NxK matrix of K mean estimates from Kalman filter P - NxNxK matrix of K state covariances from Kalman Filter A - NxN state transition matrix or NxNxK matrix of K state transition matrices for each step. Q - NxN process noise covariance matrix or NxNxK matrix of K state process noise covariance matrices for each step. Out: M - Smoothed state mean sequence P - Smoothed state covariance sequence D - Smoother gain sequence Description: Rauch-Tung-Striebel smoother algorithm. Calculate "smoothed" sequence from given Kalman filter output sequence by conditioning all steps to all measurements. Example: m = m0; P = P0; MM = zeros(size(m,1),size(Y,2)); PP = zeros(size(m,1),size(m,1),size(Y,2)); for k=1:size(Y,2) [m,P] = kf_predict(m,P,A,Q); [m,P] = kf_update(m,P,Y(:,k),H,R); MM(:,k) = m; PP(:,:,k) = P; end [SM,SP] = rts_smooth(MM,PP,A,Q); See also: KF_PREDICT, KF_UPDATE

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