% Written by:
% -- 
% John L. Weatherwax                2005-08-14
% 
% email: wax@alum.mit.edu
% 
% Please send comments and especially bug reports to the
% above email address.
% 
%-----

clc; 

%format rat; 

Phi = 1; 
H   = 1;  % measurement mapping matrix 
Q   = 30; % process noise covariance
R   = 20; % measurement noise covariance 

P_p = 150; % initial value of state error covariance P_0 = P(+)

% iterate the covariance equations: 
for k=1:4,
  P_m   = Phi * P_p * Phi + Q; 
  K_bar = P_m * H / ( H * P_m * H + R );
  P_p   = ( 1 - K_bar ) * P_m;
  fprintf( 'k = %10d: P_m=%10.6f K_bar=%10.6f P_p=%10.6f \n', k, P_m, K_bar, P_p ); 
end