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. 2023 Jun 29;23(13):6021. doi: 10.3390/s23136021
Algorithm 1 Recursive Expectation-Maxization Algorithm
Data:x^0, P^0, a0, yN, uN, QN, RN, γN
Result:x^N, aN
  1: for N=1,2, do
  2:   xˇN=Ax^N1+MaN1+BuN1
  3:   PˇN=AP^N1AT+QN1
  4:   KN=PˇNHTHPˇNHT+RN1
  5:   x^N=xˇN+KNyNHxˇN
  6:   P^N=IKNHPˇN
  7:   aN=1γNaN1+γNinv(M)x^NAx^N1BuN1
  8: end for
  9: † Remarks: If matrice M is not of full column-rank, it should be computed by using any pseudo-inverse.