An algorithm for weak covariance controllability: MATLAB Code

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.