How to solve Kalman Filter equation using ode45

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upinderjeet on 30 Apr 2014

Edited: upinderjeet on 30 Apr 2014

the kalman filter equation is:

Xhatdot=A*Xhat+L[Y-C*Xhat]

where Y is the measurement and the measurement equation is describes as:

Y=C*X+v where v is the zero mean white random noise

I have the the values of A,C,L and the initial value of Xhat. And obviously I can generate the random noise v as well.

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