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.本算法关联于Shakouri等人撰写、目前处于审稿阶段的论文《一类具备可控协方差的非线性观测器（A class of nonlinear observers with controllable covariance）》。当采用本文提出的状态相关类龙伯格（Luenberger）观测器时，本算法包含若干递归步骤，用于为搭载线性测量模型的线性时不变（Linear Time-Invariant, LTI）系统的协方差元素与状态变量构建可控性矩阵$R_k$。