Created
June 20, 2018 21:00
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| # Take a covariance matrix nxn | |
| P = [2 1 1; 1 3 1;1 1 5] | |
| C = eye(3,3) | |
| R = [1 0 0; 0 2 0;0 0 300000] | |
| K = P*C'*inv(C*P*C'+R) |
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