Optimization: principles and algorithms, by Michel Bierlaire
Functions
kalmanFilter.m File Reference

Algorithms 14.2 and 14.3: Kalman filter update. More...

Go to the source code of this file.

Functions

function kalmanFilter (in x, in H, in A, in b, in lambda)
 Applies one update of the Kalman filter algorithm. More...
 

Detailed Description

Algorithms 14.2 and 14.3: Kalman filter update.

Implementation of algorithms 14.2 and 14.3 of [1]

Note
Tested with runKalman.m
Author
Michel Bierlaire
Date
Fri May 9 16:06:12 2014

Definition in file kalmanFilter.m.

Function Documentation

function kalmanFilter ( in  x,
in  H,
in  A,
in  b,
in  lambda 
)

Applies one update of the Kalman filter algorithm.

Parameters
xthe current estimate of the parameters
Hthe current filter matrix
Athe data matrix for the next block
bthe RHS for the next block
lambdathe discount factor
Returns
[x,H]
x: the updated value of the parameters.
H: the updated value of the filter matrix.
Copyright 2015-2016 Michel Bierlaire