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### Highlights from Linear Kalman Filter

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# Linear Kalman Filter

### Amir Omidvarnia (view profile)

25 Oct 2010 (Updated )

A fully commented script which explains Linear Kalman Filtering in the form of a simple example.

File Information
Description

This script implements the linear Kalman filter and shows its performance on a 2nd order under-damped LTI system.

The code consists of two main parts. In the first part, a noisy model with two state variables is simulated and in the second part, Kalman filtering is applied to estimate the real observations.

To write this code, I've got help from ReBEL MATLAB toolkit, available at:
http://choosh.csee.ogi.edu/rebel/
(in particular, 'dempe1.m' located in '..\examples\parameter_estimation')

MATLAB release MATLAB 7.10 (R2010a)
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Comments and Ratings (5)
07 Dec 2014 Yossarian

### Yossarian (view profile)

yh_(:,i) = C * xh_(:,i) + R;

Line 79 maybe wrong, because the estimated observation y(t|t-1) = C*x(t|t-1). It should be just like line 69, xh_(:,i) = A * xh(:,i).

25 Jul 2014 MD RAHMAN

### MD RAHMAN (view profile)

liked it

06 May 2014 Carlos M. Velez S.

### Carlos M. Velez S. (view profile)

A good complement of linear Kalman filter in Simulink: http://www.mathworks.com/matlabcentral/fileexchange/46407-linear-kalman-filter-in-simulink

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28 Mar 2013 james

### james (view profile)

How does this .m read your initial values? im struggling to comprehend..

Comment only
31 Dec 2012 W. Chong

### W. Chong (view profile)

thanks for sharing~

26 Oct 2010 1.1

A screenshot was added to the page.

29 Oct 2010 1.2

Some minor changes were applied on the comments.

29 Oct 2010 1.3

Some minor changes were applied on the comments.

24 Nov 2010 1.5

A small changes was applied onto the code.