Using "kalman" with a Zero B matrix

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John F
John F 2014-5-20
评论： Arkadiy Turevskiy 2014-5-29
I am trying to use the "kalman" command to compute the steady-state gains for a Kalman filter in a signal tracking problem. There are no inputs. So, the dynamic equations are:
X[k+1] = A*X[k]; Y[k] = C*X[k];
I feel like there should be a way to do this. Any ideas? Thanks!

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回答（1 个）

Arkadiy Turevskiy
Arkadiy Turevskiy 2014-5-22
Yes, you can use kalman to design a Kalman filter for a system with no input u . Did you try it? Did you run into problems?
  2 个评论
John F
John F 2014-5-28
I get an error that an internal matrix in the calculation is not positive definite.
Error using ss/kalman (line 167)
In the "kalman(SYS,QN,RN,NN,...)" command, the covariance matrix
E{(H*w+v)(H*w+v)'} = [H,I]*[QN NN;NN' RN]*[H';I]
must be positive definite.
I'm assuming I am framing the problem incorrectly.

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