QCE:

Path: Common/Control

% Create an estimator from a state space system.
 Create an estimator based on the state equations
   .
   x = ax + bw
   y = cx + v

   E(ww') = q
   E(vv') = r
   E(vw') = n

--------------------------------------------------------------------------
   Form:
   [k, sInf] = QCE( a, c, q, r, b, n )
--------------------------------------------------------------------------

   ------
   Inputs
   ------
   a                   Plant matrix
   c                   Measurement matrix
   q                   State noise covariance matrix
   r                   Measurement noise covariance matrix
   b                   State noise input matrix
   n                   State/measurement cost cross-coupling covariance matrix

   -------
   Outputs
   -------
   k                   Optimal gain
   sInf                Covariance matrix

--------------------------------------------------------------------------
   References:  Bryson, A., Y. Ho, Applied Optimal Control, Hemisphere,
                1976, 364-373.
--------------------------------------------------------------------------

Children:

Common: Control/QCR

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