view toolboxes/FullBNT-1.0.7/Kalman/smooth_update.m @ 0:e9a9cd732c1e tip

first hg version after svn

function [xsmooth, Vsmooth, VVsmooth_future] = smooth_update(xsmooth_future, Vsmooth_future, ...
    xfilt, Vfilt,  Vfilt_future, VVfilt_future, A, Q, B, u)
% One step of the backwards RTS smoothing equations.
% function [xsmooth, Vsmooth, VVsmooth_future] = smooth_update(xsmooth_future, Vsmooth_future, ...
%    xfilt, Vfilt,  Vfilt_future, VVfilt_future, A, B, u)
%
% INPUTS:
% xsmooth_future = E[X_t+1|T]
% Vsmooth_future = Cov[X_t+1|T]
% xfilt = E[X_t|t]
% Vfilt = Cov[X_t|t]
% Vfilt_future = Cov[X_t+1|t+1]
% VVfilt_future = Cov[X_t+1,X_t|t+1]
% A = system matrix for time t+1
% Q = system covariance for time t+1
% B = input matrix for time t+1 (or [] if none)
% u = input vector for time t+1 (or [] if none)
%
% OUTPUTS:
% xsmooth = E[X_t|T]
% Vsmooth = Cov[X_t|T]
% VVsmooth_future = Cov[X_t+1,X_t|T]

%xpred = E[X(t+1) | t]
if isempty(B)
  xpred = A*xfilt;
else
  xpred = A*xfilt + B*u;
end
Vpred = A*Vfilt*A' + Q; % Vpred = Cov[X(t+1) | t]
J = Vfilt * A' * inv(Vpred); % smoother gain matrix
xsmooth = xfilt + J*(xsmooth_future - xpred);
Vsmooth = Vfilt + J*(Vsmooth_future - Vpred)*J';
VVsmooth_future = VVfilt_future + (Vsmooth_future - Vfilt_future)*inv(Vfilt_future)*VVfilt_future;