%RTS_SMOOTH  Rauch-Tung-Striebel smoother%% Syntax:%   [M,P,S] = RTS_SMOOTH(M,P,A,Q)%% In:%   M - NxK matrix of K mean estimates from Kalman filter%   P - NxNxK matrix of K state covariances from Kalman Filter%   A - NxN state transition matrix or NxNxK matrix of K state%       transition matrices for each step.%   Q - NxN process noise covariance matrix or NxNxK matrix%       of K state process noise covariance matrices for each step.%% Out:%   M - Smoothed state mean sequence%   P - Smoothed state covariance sequence%   D - Smoother gain sequence%   % Description:%   Rauch-Tung-Striebel smoother algorithm. Calculate "smoothed"%   sequence from given Kalman filter output sequence%   by conditioning all steps to all measurements.%% Example:%   m = m0;%   P = P0;%   MM = zeros(size(m,1),size(Y,2));%   PP = zeros(size(m,1),size(m,1),size(Y,2));%   for k=1:size(Y,2)%     [m,P] = kf_predict(m,P,A,Q);%     [m,P] = kf_update(m,P,Y(:,k),H,R);%     MM(:,k) = m;%     PP(:,:,k) = P;%   end%   [SM,SP] = rts_smooth(MM,PP,A,Q);%% See also:%   KF_PREDICT, KF_UPDATE% Copyright (C) 2003-2006 Simo S鋜kk