system(1)

NAME
system - observation update

CALLING SEQUENCE
[x1,y]=system(x0,f,g,h,q,r)

PARAMETERS

x0  : input state vector

f   : system matrix

g   : input matrix

h   : Output matrix

q   : input noise covariance matrix

r   : output noise covariance matrix

x1  : output state vector

y   : output observation

DESCRIPTION
define system function which generates the next observation given the old state. System recursively calculated
     x1=f*x0+g*u
     y=h*x0+v
where u is distributed N(0,q) and v is distribute N(0,r).

AUTHOR
C. B.