pendulum_sim.m

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%
% Simulate pendulum data for the examples in the book
%
% Simo Sarkka (2013), Bayesian Filtering and Smoothing,
% Cambridge University Press.
%
% Last updated: $Date: 2013/08/26 12:58:41 $.
%
% This software is distributed under the GNU General Public
% Licence (version 2 or later); please refer to the file
% Licence.txt, included with the software, for details.
%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%%
% Simulate simple pendulum. Note that the system easily
% diverges, but it should not matter.

    % Remember to comment these out when benchmarking!
    fprintf('!! Using fixed random stream !!\n');
    rand('state',1)
    randn('state',1)
    % <---

    DT = 0.01;
    g  = 9.81;
    Q  = 0.01*[DT^3/3 DT^2/2; DT^2/2 DT];
    R  = 0.1;
    m0 = [1.6;0]; % Slightly off
    P0 = 0.1*eye(2);

    steps = 500;

    QL = chol(Q,'lower');

    T = [];
    X = [];
    Y = [];
    t = 0;
    x = [1.5;0];
    for k=1:steps
        x = [x(1)+x(2)*DT;
             x(2)-g*sin(x(1))*DT];
        w = QL * randn(2,1);
        x = x + w;
        y = sin(x(1)) + sqrt(R)*randn;
        t = t + DT;
        X = [X x];
        Y = [Y y];
        T = [T t];
  end

  % Plot the data
  plot(T,Y,'g.',T,X(1,:),'r-');