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Linear Kalman Filter

4.8 | 4 ratings Rate this file 23 Downloads (last 30 days) File Size: 2.46 KB File ID: #29127 Version: 1.5
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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.

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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:
(in particular, 'dempe1.m' located in '..\examples\parameter_estimation')

MATLAB release MATLAB 7.10 (R2010a)
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Comments and Ratings (6)
27 Oct 2016 Vishwas Sharma

Easy to understand. Thanks

07 Dec 2014 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).

25 Jul 2014 MD RAHMAN

liked it

06 May 2014 Carlos M. Velez S.

A good complement of linear Kalman filter in Simulink:

Comment only
28 Mar 2013 james

james (view profile)

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

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31 Dec 2012 W. Chong

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.

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