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Estimating a constant state using the Kalman Filter

version 1.1 (112 KB) by

Kalman Filter example for estimating a constant value

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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.

Comments and Ratings (4)

himakar

Lazaros Moysis

Lazaros Moysis (view profile)

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

W. Chong

A good tutorial for starters, thank you for sharing!

Updates

1.1

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

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