Code for the paper "Risk averse deterministic Kalman filters for uncertain dynamical systems"

Code accompanying the research artile "Risk averse deterministic Kalman filters for uncertain dynamical systems". Changes since last version: Removed unneccesary files average_kf.m average_system.m index_finder.m plot_KFs.m Adjusted generation of disturbances samples from normal distributions are now realized using the function "mvnrnd" from the statistics toolbox process and output disturbances are now piecewise constant instead of piecewise linear values of process and output noise are realized with covariances scaled by the inverse time step length covariance matrices adjusted Risk aversion parameters adjusted