19 lines
650 B
Mathematica
19 lines
650 B
Mathematica
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function [Omega_new] = updateErrorFullCovariance(W_hash, Y_tau_hash, Beta_LS, Omega_old_sqrt, nbDOF)
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% Authors: Quentin Leboutet, Julien Roux, Alexandre Janot and Gordon Cheng
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%
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% Gives the updated error covariance from the observation matrix following the
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% approach of Han et al. (2020). This is used for IRLS computation.
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[neq,np] = size(W_hash);
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Residual = zeros(nbDOF,neq/nbDOF);
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for i=1:nbDOF
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% Compute error covariance:
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Residual(i,:) = (Y_tau_hash(i:nbDOF:end) - W_hash(i:nbDOF:end,:)*Beta_LS).';
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end
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Omega_new = Omega_old_sqrt*(Residual*Residual.')*Omega_old_sqrt/(neq-np); % Compute the resulting error covariance estimate
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end
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