ddekf_update_phase.m

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function [estimate_next, covariance_sqrt] = ddekf_update_phase(R_root,P_root,C,estimate,measurement)
%runs update portion of the dd-ekf.
%[estimate_next,covariance_sqrt] = ddekf_update_phase(R_root,P_root,C,estimate,measurement)
%INPUT:
%   R_root:sensor error covariance matrix where 
%   R=R_root*(R_root')
%
%   P_root:covariance matrix from the predict phase
%   P_predict = P_root*(root')
%
%   C: observation matrix
%
%   estimate: estimate from predict phase
%
%   measurement: measurement picked up by sensor
%
%OUTPUT:
%   estimate_next: estimate incorporating measurement 
%
%   covariance_sqrt: square root of covariance at the 
%   end of update phase. Actual covariance is 
%   covariance_sqrt*(covariance_sqrt')

    measurement_count = size(C,1); 
    state_count = size(C,2);
    
    tmp = zeros(state_count+measurement_count, state_count+measurement_count);
    tmp(1:measurement_count,1:measurement_count) = R_root;
    tmp(1:measurement_count,(measurement_count+1):end) = C*P_root;
    tmp((1+measurement_count):end,(1+measurement_count):end) = P_root;

    [Q,R] = qr(tmp');
    R = R';

    X = R(1:measurement_count,1:measurement_count); 
    Y = R((1+measurement_count):end,(1:measurement_count));
    Z = R((1+measurement_count):end,(1+measurement_count):end); 
    
    %Kalman_gain = Y*inv(X);
    estimate_next = estimate + Y*(X\(measurement - C*estimate));
    covariance_sqrt = Z;
end