稳态kalman滤波算法仿真通式

本程序考虑线性离散时不变随机系统。系统模型为x(t+1)=fai*x(t)+gama*w(t)

y(t)=H(t)*x(t)+v(t)。有6个参数：状态转移阵fai，输入噪声系数gama，观测阵H，输入

噪声方差Q，观测噪声方差R，观测y-　Steady-state kalman filtering algorithm simulation program to consider the general form　linear discrete time-invariant stochastic system. System model x (t+1) = fai* x (t)+ gama* w (t)　y (t) = H (t)* x (t)+ v (t). There are six parameters: state transition matrix fai, input noise figure gama, observation matrix H, enter　noise variance Q, observation noise variance R, observation y