Path: Common/Estimation
% Combine forward and backward covariances and states.
--------------------------------------------------------------------------
Form:
[xS, pS] = KalmanFilterCombine( xB, pB, xF, pF )
--------------------------------------------------------------------------
------
Inputs
------
xB (n,1) Backward state
pB (n,n) Backward covariance
xF (n,1) Forward state
pF (n,n) Forward covariance
-------
Outputs
-------
xS (n,1) Smoothed state
pS (n,n) Smoothed covariance
--------------------------------------------------------------------------
References: R.G. Brown and P.Y.C. Hwang. Introduction to Random Signals
and Applied Kalman Filtering, 2nd Edition. John Wiley and
Sons, 1992.
--------------------------------------------------------------------------
Back to the Common Module page