functionsr_kfStepMatrices
One step, i.e. prediction and update of a kalman filter iteration for discrete systems
Extends from Modelica.Icons.Function (Icon for functions).
Inputs
| Type | Name | Default | Description |
|---|---|---|---|
| Real[:,size(A, 1)] | A | Transition matrix of the discrete system | |
| Real[:,size(A, 1)] | C | Output matrix of the discrete system | |
| Real[size(A, 1),size(A, 1)] | S | Cholesky factor of the state covariance matrix of the previous instant | |
| Real[size(A, 1),:] | wB | Weighting matrix of the input noise covariance matrix of the previous instant | |
| Real[size(wB, 2),size(wB, 2)] | Cq | Cholesky factor of input or process noise covariance matrix of the previous instant | |
| Real[size(C, 1),size(C, 1)] | Cr | Cholesky factor or measurement noise covariance matrix of the previous instant |
Outputs
| Type | Name | Default | Description |
|---|---|---|---|
| Real[size(A, 1),size(C, 1)] | K | Kalman filter gain matrix | |
| Real[size(A, 1),size(A, 1)] | S_new | Updated state covariance matrix | |
| Real[size(C, 1),size(C, 1)] | Cr_new | Modified Cholesky output or measurement noise covariance matrix | |
| Real[size(C, 1) + size(A, 1),2*size(C, 1) + size(A, 1)] | M |