A probabilistic state space model

• Basic state space description:
  • definition
    • 

    • z	internal state
      v	model input
      w	model output
      G	state change function
      H	output function

  • implementation in Simulink
    • 
    • specify H, G
• Probabilistic state-space description:
  • adds a stochastic disturbance ξ(z)
    • 
    • distribution of ξ depends on z
  • implementation in Simulink
    • 
    • specify H, G, ξ