39 lines
862 B
Matlab
39 lines
862 B
Matlab
n = 10;
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p = 3;
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q = 4;
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% With measurment errors.
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for i=1:100
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tmp = randn(q,q+100);
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Q = tmp*transpose(tmp)/1000;
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R = randn(n,q);
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QQ = R*Q*transpose(R);
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tmp = randn(p,p+100);
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H = tmp*transpose(tmp)/2000;
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eig_val_T = rand(n)*2-1;
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eig_vec_T = randn(n,n);
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T = eig_vec_T*eig_val_T*inv(eig_vec_T);
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Z = zeros(p,n);
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Z(1,1) = 1;
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Z(2,3) = 1;
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Z(3,6) = 1;
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P = kalman_steady_state(transpose(T),QQ,transpose(Z),H);
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end
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% Without measurment errors.
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for i=1:100
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tmp = randn(q,q+100);
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Q = tmp*transpose(tmp)/1000;
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R = randn(n,q);
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QQ = R*Q*transpose(R);
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H = zeros(p,p);
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eig_val_T = rand(n)*2-1;
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eig_vec_T = randn(n,n);
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T = eig_vec_T*eig_val_T*inv(eig_vec_T);
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Z = zeros(p,n);
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Z(1,1) = 1;
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Z(2,3) = 1;
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Z(3,6) = 1;
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P = kalman_steady_state(transpose(T),QQ,transpose(Z),H);
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end
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