Optimization: principles and algorithms, by Michel Bierlaire
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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... | |
Algorithms 14.2 and 14.3: Kalman filter update.
Implementation of algorithms 14.2 and 14.3 of [1]
Definition in file kalmanFilter.m.
function kalmanFilter | ( | in | x, |
in | H, | ||
in | A, | ||
in | b, | ||
in | lambda | ||
) |
Applies one update of the Kalman filter algorithm.
x | the current estimate of the parameters |
H | the current filter matrix |
A | the data matrix for the next block |
b | the RHS for the next block |
lambda | the discount factor |