An algorithm for weak covariance controllability: MATLAB Code

Description

This algorithm is associated with the paper entitled "A class of nonlinear observers with controllable covariance" by Shakouri et al. that is currently under review. This algorithm comprises a number of recursive steps to construct a controllability matrix $R_k$ for the covariance elements as well as state variables of an LTI system with a linear measurement model when the proposed state-dependent Luenberger-like observer is used.

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