CovarianceUtilities.CalculateUnscentedWeights(Variable, Variable, Variable, Variable) Method

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Description

Computes the covariance matrix from the provided sigma points matrix and Alpha, Beta and Kappa values.

 

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Method Signature

CovarianceUtilities.CalculateUnscentedWeights(

Variable numberOfStates,


Variable alpha,


Variable beta,


Variable kappa)

 

 

Arguments

numberOfStates


Description:

The number of states for which weighting factors are to be computed.

Valid Range:

numberOfStates > 0

 

 

alpha


Description:

The value for alpha to be used in the Scaled Unscented Transformation. Choosing Alpha << 1 reduces higher order effects when selecting sigma points.

Valid Range:

alpha > 0

 

 

beta


Description:

The value for beta to be used in the Scaled Unscented Transformation. Choosing Beta = 2 reflects a Gaussian distribution.

Valid Range:

beta > 0

 

 

kappa


Description:

The value for kappa to be used in the Scaled Unscented Transformation. Choosing Kappa >= 0 ensures the resulting covariance matrix will be positive semi-definite.

Valid Range:

kappa ≥ 0

 

 

 

Return Value

Type:

Matrix of number

 

 

Returns a matrix of weighting factors.

 

Syntax

myMatrix1 = CovarianceUtilities.CalculateUnscentedWeights(myVariable1, myVariable2, myVariable3, myVariable4);

 

 

See also

CovarianceUtilities Object