Path: Common/Control
% Mechanizes a Kalman Filter fixed interval smoother.
You input a full
set of measurements and it outputs the smoothed results.
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Inputs
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r (m,m) Measurement Covariance
phi (n,n) State transition matrix
q (n,n) Process noise covariance
h (m,n) Measurement matrix
z (m,:) Measurement vector
p (n,n) Initial covariance
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Outputs
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xS (n,:) Filtered state
pDiag (n,:) Covariance diagonal
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Common: Graphics/Plot2D
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