Question about choosing an initial state error covariance for Kalman filter
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Hi Everyone,
I have a Kalman filter code from internet, which estimates states of following state space system:
x(k+1)= A x(k) + w(k); y(k)= C x(k);
Before the code starts to perform the Kalman filter, it initializes the initial state error covariance P(0) as
P{0}= reshape( (eye(n^2)-kron(A,A) ) \ Q(:), n, n );
where n is the size of state, Q is the covariance of white Gaussian noise w(k).
Does anyone have a clue why the code initialize the P(0) like this?
Thanks
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