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Linear Kalman Filter

version 1.5 (2.46 KB) by

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

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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')

Comments and Ratings (6)

Easy to understand. Thanks

Yossarian

 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).

MD RAHMAN

liked it

james

james (view profile)

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

W. Chong

thanks for sharing~

Updates

1.5

A small changes was applied onto the code.

1.3

Some minor changes were applied on the comments.

1.2

Some minor changes were applied on the comments.

1.1

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