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executable file 20 lines (10 sloc) 160 Bytes
#!/usr/bin/octave
A = [0,-1;1,-.5]'
B = [0;1]
C = [1,0]
V = [1 0; 0 1]
W = 1
# kalman-bucy
ricB = C'*inv(W)*C
P = are(A',ricB, V)
K = P * C' * inv(W)