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Estimating a constant state using the Kalman Filter

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16 Jul 2012 (Updated )

Kalman Filter example for estimating a constant value

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Description

This is an example of the Kalman Filter in discrete time. We Implement the Kalman Filter to estimate
x(k)=x(k+1)=0.12345
using
z(k)=x(k)+w(k)
where
x: Constant state
z: Measurements
w: White noise with statistical properties w~N(0,0.01)
Update: In this update The comments are fixed and presented in a better way. Also included is an html file created with the publish feature and a pdf file created in latex. Both help in the better presentation of the results.

Acknowledgements

This file inspired 1 D Standard Kalman Filter (Simulink Model & Program).

Required Products MATLAB
MATLAB release MATLAB 8.1 (R2013a)
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Comments and Ratings (4)
06 May 2014 Carlos M. Velez S.

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

05 Apr 2014 himakar  
05 Jan 2013 Lazaros Moysis

You are welcome! This was part of my assignment in one of my master's classes. The title of the assignment is 'An introduction to the Kalman Filter in continuous and discrete time' which to be honest, i consider to be an excelent work for begginers, especially mathematicians. You can find it here but it's in Greek, sometime in the future maybe i'll translate and re-upload it.
http://eclass.auth.gr/modules/document/file.php/MATH106/%CE%95%CF%81%CE%B3%CE%B1%CF%83%CE%AF%CE%B5%CF%82%20%CE%A6%CE%BF%CE%B9%CF%84%CE%B7%CF%84%CF%8E%CE%BD/%CE%A6%CE%AF%CE%BB%CF%84%CF%81%CE%BF%20Kalman-%20%CE%9C%CF%89%CF%85%CF%83%CE%AE%CF%82%20%CE%9B%CE%AC%CE%B6%CE%B1%CF%81%CE%BF%CF%82.pdf
and the ppt here
eclass.auth.gr/modules/document/file.php/MATH106/%CE%95%CF%81%CE%B3%CE%B1%CF%83%CE%AF%CE%B5%CF%82%20%CE%A6%CE%BF%CE%B9%CF%84%CE%B7%CF%84%CF%8E%CE%BD/Kalman%20Filter-%20Moysis%20Lazaros.pptx

31 Dec 2012 W. Chong

A good tutorial for starters, thank you for sharing!

Updates
23 May 2014

Created better comments to the code. Also included pdf and html files with the results.

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