2 %> Algorithms 14.2 and 14.3: Kalman filter update. Implementation of algorithms 14.2 and 14.3 of \cite Bier15-book
4 %> @note Tested with \ref runKalman.m
6 %> @author Michel Bierlaire
7 %> @date Fri May 9 16:06:12 2014
11 %> Applies one update of the Kalman filter algorithm.
12 %> @param x the current estimate of the parameters
13 %> @param H the current filter matrix
14 %> @param A the data matrix
for the next block
15 %> @param b the RHS
for the next block
16 %> @param lambda the discount factor
18 %> @
return x: the updated value of the parameters.
19 %> @
return H: the updated value of the filter matrix.
21 H = lambda * H + A'*A ;
22 d = H \ (A' * (b - A*x)) ;
function kalmanFilter(in x, in H, in A, in b, in lambda)
Applies one update of the Kalman filter algorithm.