EST_kalman.h

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/*                                                                       */
/*                Centre for Speech Technology Research                  */
/*                     University of Edinburgh, UK                       */
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/*                    Author :  Simon King                               */
/*                    Date   :  November 1996                            */
/*-----------------------------------------------------------------------*/
/*                   Lattice/Finite State Network                        */
/*                                                                       */
/*=======================================================================*/


#ifndef __EST_KALMAN_H__
#define __EST_KALMAN_H__

#include "EST_TVector.h"
#include "EST_FMatrix.h"

bool kalman_filter(EST_FVector &x_state,
           EST_FMatrix &P_estimate_error_covariance,
           EST_FMatrix &Q_process_noise_covariance,
           EST_FMatrix &R_measurement_noise_covariance,
           EST_FMatrix &A_state_time_step_model,
           EST_FMatrix &H_state_to_measurement_model,
           EST_FVector &z_measurement);

bool kalman_filter_Pinv(EST_FVector &x_state,
            EST_FMatrix &Pinv_estimate_error_covariance_inverse,
            EST_FMatrix &Q_process_noise_covariance,
            EST_FMatrix &Rinv_measurement_noise_covariance_inverse,
            EST_FMatrix &A_state_time_step_model,
            EST_FMatrix &H_state_to_measurement_model,
            EST_FVector &z_measurement);

#endif