Learning the Kalman-Bucy Filter in Simulink

A Simulink model to learn the continuous-time Kalman-Bucy Filter

Description

This model simulates the continuous-time version of Kalman filter, i.e. Kalman-Bucy filter working with a continuous-time Gassian process. An m-file is developed to provide several examples to show how the Simulink model can be used.

The package is suitable for beginner to learn the Kalman-Bucy filter by just changing the model parameters without to know the details of calculations. By looking into masked subsystems, you will also be albe to learn how it can be implemented in Simulink.

The model is developed in MATLAB R14SP1 (MATLAB 7.0.1, Simulink 6.1). If there is a need to work with previous version, please let me know.

Acknowledgements

The author wishes to acknowledge the following in the creation of this submission:
Learning the Kalman Filter in Simulink v2.1

• Required Products: Simulink
• MATLAB release: MATLAB 7.0.1 (R14SP1)

[Yuriy Pigovsky]

It is very useful information for beginners.
Especially to those, who need to know that Kalman-Bucy filter is not just a kind of death theory, but a real think, which could be applied in real-world applications.

[V. Poor]