All righty then...(posted 8813 days ago)So, I coded up the consider covariance as a batch. I'm calaculating my matrices numerically, not analytically. My step size is 0.001 and in using this I get a good phi matrix (by cross peer validation). So, I know that my code works. However, I'm not getting consistent answers for my data noise covariance nor my consider covariance. I have no idea why! I've looked at my A and B matrices, and they seem to be on the money (formulation).
For my A matrix I have: [0,1;-(g/l),0] For my B matrix I have: [0,0;0,-(theta/l)]
Phidot = A*Phi Thetadot = A*Theta + B
with Phi(t0,t0) = I and Theta(t0,t0) = zeros
can anyone contribute to solving my dilemma?