/kalmanfilter/prinit.m (ad0df64d2051b3f56cbb0e5a17c9d6a1d8eea33a) (253 bytes) (mode 100644) (type blob)
function [xinit,pinit] = prinit(F,H,L,Q,xin,pin)
% function [xpost,ppost] = prinit(F,H,L,Q,xprior,pprior)
%
% Convert prior initial conditions to posterior initial conditions.
% Note that system must be discrete!
xinit = F*xin;
pinit = F*pin*F'+L*Q*L';
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