lti_disc.m

EKF滤波 扩展kalman 滤波的matlab学习程序,特点是简单,能够设置输入参数,直观理解算法原理.

%LTI_DISC  Discretize LTI ODE with Gaussian Noise
%
% Syntax:
%   [A,Q] = lti_disc(F,L,Qc,dt)
%
% In:
%   F  - NxN Feedback matrix
%   L  - NxL Noise effect matrix        (optional, default identity)
%   Qc - LxL Diagonal Spectral Density  (optional, default zeros)
%   dt - Time Step                      (optional, default 1)
%
% Out:
%   A - Transition matrix
%   Q - Discrete Process Covariance
%
% Description:
%   Discretize LTI ODE with Gaussian Noise. The original
%   ODE model is in form
%
%     dx/dt = F x + L w,  w ~ N(0,Qc)
%
%   Result of discretization is the model
%
%     x[k] = A x[k-1] + q, q ~ N(0,Q)
%
%   Which can be used for integrating the model
%   exactly over time steps, which are multiples
%   of dt.

% History:
%   11.01.2003  Covariance propagation by matrix fractions
%   20.11.2002  The first official version.
%
% Copyright (C) 2002, 2003 Simo S鋜kk