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

kalmanFilter()

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

Applies one update of the Kalman filter algorithm.

Parameters

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

Returns

[x,H]

x: the updated value of the parameters.

H: the updated value of the filter matrix.