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Code covered by the BSD License

Highlights from
Kalman filtering framework

DoubleWell
HeatConduction simple model of 1-dimensional heat conduction
Reentry from Julier and Uhlmann's UKF article
ekfTransform(f, J_x, mu, P, Q...
sdchol(A) SDCHOL Cholesky-like decomposition for positive semidefinite matrices
symmetricSigmaPoints(n, W_mea... input:
unscentedTransform(f, mu, cho...
BLUEFilter BLUEFILTER Filter based on Best Linear Unbiased Estimator (BLUE)
BaseContinuousSystemModel BASECONTINUOUSSYSTEMMODEL Abstract base class for a continuous time system
BaseDiscreteSystemModel BASEDISCRETESYSTEMMODEL Abstract base class for discrete system models
BaseObserverModel BASEOBSERVERMODEL Abstract base class for observer models
BaseSystemModel BASESYSTEMMODEL Abstract base class for system models
EKFContinuousSystemModel EKFCONTINUOUSSYSTEMMODEL Class modeling a continuous time system with EKF predictions
EKFObserverModel EKFOBSERVERMODEL Observer model based on Extended Kalman Filter
EKFSystemModel EKFSYSTEMMODEL Class modeling a discrete time system with EKF predictions
LinearContinuousSystemModel LINEARCONTINUOUSSYSTEMMODEL Class modeling a linear continuous time system
LinearObserverModel LINEAROBSERVERMODEL Linear observer model
LinearSystemModel LINEARSYSTEMMODEL Class modeling a discrete system with linear evolution
UnscentedContinuousSystemModel UNSCENTEDCONTINUOUSSYSTEMMODEL Class modeling a continuous time system with EKF predictions
UnscentedObserverModel UNSCENTEDOBSERVERMODEL Observer model based on Unscented Kalman Filter
UnscentedSystemModel UNSCENTEDSYSTEMMODEL Class modeling a discrete time system with UKF predictions
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Kalman filtering framework

by David Ogilvie

22 Aug 2009

Object framework for filtering using Kalman filter, EKF, or UKF.

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Description

Object-based framework for performing Kalman filtering for discrete time systems or continuous-discrete hybrid systems. Includes code for the classical Kalman filter for linear systems, the extended Kalman filter (EKF), and the more recent unscented Kalman filter (UKF). Both linear and non-linear noise in the system and observation are permitted.

Three examples are included in the demos folder.

MATLAB release

MATLAB 7.8 (R2009a)

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Everyone's Tags	basic kalman filter(2), filter analysis(2), filter design, kalman filter
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Comments and Ratings (2)
03 Nov 2009	Kenz	Interesting idea, but the lack of documentation kills it. Perhaps if the examples had been better chosen, for instance to include multidimensional problems, it might have been clearer. As it were, when I tried a simple spring-mass system I got lots of "matrix dimensions must agree" errors, and, being unfamiliar with Matlab's `classdef` features, couldn't really sort out what was going wrong.
03 Nov 2009	Kenz	(Excuse me, I wasn't clear. I meant for the "continuous-discrete" functionality, which is where this kind of framework could come in truly handy)

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Tag Activity for this File
Tag	Applied By	Date/Time
kalman filter	David Ogilvie	24 Aug 2009 13:21:47
filter design	David Ogilvie	24 Aug 2009 13:21:47
filter analysis	David Ogilvie	24 Aug 2009 13:21:47
basic kalman filter	David Ogilvie	24 Aug 2009 13:21:47
filter analysis	madhavi shrikhande	26 Dec 2009 03:36:19
basic kalman filter	Mahyar	30 Oct 2011 16:19:41

Highlights from Kalman filtering framework

Kalman filtering framework

Highlights from
Kalman filtering framework