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urts_smooth2

PURPOSE ^

URTS_SMOOTH2 Augmented form Unscented Rauch-Tung-Striebel smoother

SYNOPSIS ^

function [M,P,D] = urts_smooth2(M,P,f,Q,f_param,alpha,beta,kappa,mat,same_p)

DESCRIPTION ^

URTS_SMOOTH2  Augmented form Unscented Rauch-Tung-Striebel smoother

 Syntax:
   [M,P,S] = URTS_SMOOTH2(M,P,f,Q,[f_param,alpha,beta,kappa,mat,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
   f - Dynamic model function as inline function,
       function handle or name of function in
       form a([x;w],param)
   Q - Non-singular covariance of process noise w
   f_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)
   alpha - Transformation parameter      (optional)
   beta  - Transformation parameter      (optional)
   kappa - Transformation parameter      (optional)
   mat   - If 1 uses matrix form         (optional, default 0)
   same_p - If 1 uses the same parameters 
            on every time step      (optional, default 1)   

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

 Example:
   [...]

 See also:
   URTS_SMOOTH1, UKF_PREDICT2, UKF_UPDATE2

CROSS-REFERENCE INFORMATION ^

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