function testKF(skipgen)
if nargin<1, skipgen=0; end

if ~skipgen
	dimx = 30;
	Apom=rand(dimx);
	Apom2 = Apom*Apom';
	A = Apom2/max(1.1*eig(Apom2));
	B=ones(dimx,1);
	C=eye(dimx);
	D=ones(dimx,1);
	R=0.1*eye(dimx);
	Q=0.2*eye(dimx); 

	sQ = chol(Q)';
	sR = chol(R)';

	N =1000;
	mu0 = zeros(dimx,1);
	P0 = 200*eye(dimx);

	u = rand(1,N);
	x = zeros(dimx,N);
	y = zeros(dimx,N);

	x(:,1) = 10*ones(dimx,1);
	Et = sQ*randn(dimx,N);
	Wt = sR*randn(dimx,N);
	for i=2:N;
		x(:,i) = A*x(:,i-1) + B*u(i) + Et(:,i);
		y(:,i) = C*x(:,i) + D*u(i) + Wt(:,1);
	end

	d=[y;u];
	itsave('testKF.it',d,A,B,C,D,Q,R,P0,mu0)
	save testKF
else
	load testKF
end
% init 
mu = mu0;
P = P0;
EP = [0;0];

Oxt = mu0;
OPt = P0;
ll =0;
Oxt2 = mu0;
OPt2 = P0;
ll2=0;

tic;
for t=2:N
	mu = A*mu + B*u(t);
	P  = A*P*A' + Q;

	%Data update
	Ry = C*P*C' + R;
	iRy = inv(Ry);
	K = P*C'*iRy; 
	P = P- K*C*P; % P = P -KCP;
	mu = mu + K*(y(:,t)-C*mu-D*u(t));
	Mu(1:dimx,t)=mu;

%	[Oxt,OPt,ll(t)] = Kalman(Oxt,y(:,t),A,C,Q,R,OPt);
%	[Oxt2,OPt2,ll2(t)] = Kalman(Oxt2,y(:,t),A,C,Q,R/10000,OPt2);
end
exec_matlab = toc

%!./test_kalman
itload('testKF_res.it');

hold off
plot(x');
hold on
plot(xth','--');
plot(xth2','+');
plot(xthE','o');
plot(Mu','d');

max(max(x(:,2:end) - xth(:,1:end-1)))
max(max(x - xth2))
max(max(x - xthE))
max(max(x - Mu))

exec_times
exec_matlab./exec_times
%keyboard
end