timeup.m

Kalman Filtering Theory and Practice, Using MATLAB

function [x,P] = timeup(x,P,Phi,Q)
%
% function [x,P] = timeup(x,P,Phi,Q)
%
% Performs the Kalman filter time update of state vector, x
% and the associated covariance matrix of estimation uncertainty, P
%
% Input  x   is n-dimensional column vector
%        P   is n-by-n symmetric pos. def. matrix
%        Phi is n-by-n state transition matrix
%        Q   is n-by-n covariance matrix of additive state noise
% Output x and P updated for time passing
%
x = Phi*x;
P = Phi*P*Phi' + Q;