How do I get the covariance matrix if I only got one sensor at measureing? Ḯ'm going to develope a LQG regulator.
If you look at this picture. The C-matris is like [1 0 0 0 0 0], then the I-matrix must be just a one dimension vector $n(t)$ ?
The same as the J-matrix. If B-matris is [0; 30; 0; 0; 0; 0], then the J-matrix must be like [0; 1 ;0 ;0 ;0 ;0]
Question: $$ $$ How do I compute the covariance matrix for noise and disturbance? How should a noise and disturbance vector look like? Can they be one dimension? Or do they need to be the same dimension as the A-matrix?