UD Factorization & Kalman Filtering by Gerard Van Willigenburg

UD and LD factorization of nonnegative matrices and associated Kalman filter implementations. (ldl factorization, control design, kalman filter)

[P,K,xhat]=kmfmu(c,w,P,xhat,y)

[P,xhat]=kmftu(Phi,V,P,xhat,Gam,u)

[l,d]=ld2ld(ld)

ensemble kalman filter by dwight nwaigwe

This program uses the ensemble kalman filter to estimate a system's state. (ensemble kalman filte..., kalman filter, state estimation)

ensemblekfilter(f,h,x_tr,x_ini,w,z,num_iterations)

Implementations of Kalman Filter using both message passing algorithm and standard matrix operations by Shuang Wang

This is a demo of using message passing algorithm (belief propagation) to implement Kalman Filter. (kalman filter, belief propagation, message passing)

GaussianMultiply(G1, G2)

eyeInf(len)

initializeMessage(T, mu_0, V_0, d_x, y, B, V_W)

Comparison of 5 Estimator Methods by John Hedengren

Example Kalman Filter, Implicit Dynamic Feedback, Filter Bias Update, and Moving Horizon Estimation (kalman filter, moving horizon estima..., implicit dynamic feed...)

apm(server,app,aline)

apm_get(server,app,filename)

apm_info(server,app,class,name)

Estimating Time-varying Neural Interactions by Hideaki Shimazaki

Matlab code for estimating time-varying interactions of neurons from spike data. (statistics, mathematics, optimization)

BayesFactor(model,cell_id)

BayesFactor(model,cell_id)

CompSync(raw,D,r)

Fast Symmetric Matrix Inverse by Eric Blake

Uses LAPACK, Cholesky to invert real, positive definite, symmetric matrix. More efficient than inv. (cholesky decompositio..., covariance matrix, symmetric matrix inve...)

run_to_compile_and_test.m

Tracking of a point in video using Kalman Filter by Yogesh Kumar

Tracking of a red point in video using 5 equations of Kalman Filter (object tracking, tracking, image processing)

kalman.m

video generate.m

Kalman Filter in Matlab (Tutorial) by Farhat Masood

Learn how to Implement Kalman Filter in Matlab. (covariance, kalman, kalman filter)

(A*s1*C'+V12)/(V2+C*s1*C'); dd=max(max(abs(k1-k0))); ...

kalmanf(s)

extended Kalman Filter(EKF) for GPS by You Chong

An easy-to-implement function of the Extended Kalman Filtering with a GPS example (ekf, gps, kalman filter)

Extended_KF(f,g,Q,R,Z,X,P,Xstate)

[Delta_Rho]=Delta_Rho_Compute(Rhoc,SV_Pos,Rcv_Pos,b);

[G]=G_Compute(SV_Pos,Rcv_Pos);

Kalman Filter Example by Ismael Seanez

A Kalman Filter application for a tracking problem (filter, kalman, kalman filter)

Kalman filter by VPS Naidu

Kalman filter implementation with suitable tracking example (target tracking, kalman filter)

kf(F,G,Q,H,R,Xhat,Phat,nmeas)

meas(trj,R,seednumber)

models(T)

Learning the Kalman Filter in Simulink v2.1 by Yi Cao

A Simulink model to learn the Kalman filter for Gassian processes. (kalman filter, filter design, gaussian process)

Learning the Kalman Filter in Simulink Examples

kalmanfilte_r14r

Learning the Kalman Filter: A Feedback Perspective by Yi Cao

A feedback view of Kalman filter to gain more useful insights. (filter design, filter analysis, kalman filter)

Learning the Kalman Filter: a Feedback Perspective

KFgain

KalmanLTI

Learning the Unscented Kalman Filter by Yi Cao

An implementation of Unscented Kalman Filter for nonlinear state estimation. (kalman filter, extended kal, dear prof yi cao)

[x,P]=ukf(fstate,x,P,hmeas,z,Q,R)

Kalman filtering demo in MATLAB with automatic MATLAB-to-C code generation by Houman Zarrinkoub

Kalman filtering algorithm to track an object and generating C source code for implementation (kalman filter, embedded matlab, emlc)

ObjTrack01(position)

ObjTrack02(position)

kalman01(z) %#eml

Learning Kalman Filter Implementation in Simulink(R) by Roger Aarenstrup

Three different implementations of a kalman filter in Simulink(R). (kalman filter, dc motor, state estimate)

params_readme.m

kalman_3_way

kalman_est

Kalman equivalent lowpass filter by Francesco

Equivalent lowpass filter of the Kalman in steady-state (target tracking, lowpass filter, kalman)

Kalman_eq_filter.m

Kalman Filter Application two factor CIR by Nils Delava

Estimates the parameters of the two factor CIR model on the UK German, and US term structures. (kalman filter, finance, term structure)

MinimizeLLtwoCIR

sumll=LLtwoCIR(para,Y, tau, nrow, ncol)

Kalman Filter Application CIR by Nils Delava

Estimates the parameters of the CIR model on a generated term structure (finance, interest rates, term structure)

[Rt]=RateSimCIR(theta,kappa,sigma,lambda,dt,ratestart,month...

[para, sumll]=MinimizeLLRateSimCIR()

sumll=LLoneCIR(para,Y, tau, nrow, ncol)

Kalman Filter Application by Biao

Kalman Filter is applied to estimate the parameters of CIR interest rate model. (interest rate, kalman filter)

TreasuryYieldKF()

loglik(para,Y, tau, nrow, ncol) %calculate log likelihood

Kalman filter by Salil Banerjee

This is an implementation of a Kalman filter for a two-variable, constant velocity-model. (kalman filter, statistics, signal processing)

KalmanFilter(Data,T,X0,Y0,GTData,...

SumProductLab for Factor Graphs by Henry Leung

This is an platform for experiments with factor graphs. (markov random field, hidden markov, bayesian network)

kalman filter example for body in gravitation by Maxim Vedenyov

with description and references (kalman filter body gr..., trajectory, kalman filter)

kalman_filter.m

kalman_filter_tmp.m

kalman_filter_tmp_2.m

Kalman filtering framework by David Ogilvie

Object framework for filtering using Kalman filter, EKF, or UKF. (basic kalman filter, filter analysis, filter design)

DoubleWell

HeatConduction

Reentry

Introduction to Unscented Kalman Filtering by Krisada Sangpetchsong

Unscented Kalman filtering tutorial: Simulink and tilt sensor case study. (estimation, arm, kalman filter)

compare_error_variance_1run.m

compare_error_variance_monte_carlo.m

tilt_system

Extended Kalman Filter (EKF) by Nithya V S

Gives the estimated next state for the input state-space model (ekf, extended kalman filte..., kalman filter)

ekf(f,Q,h,y,R,del_f,del_h,x_hat,P_hat);

KalmanFilter by Kedar Patwardhan

Simple Kalman Filter implementation (kalman filter, control design, aerospace)

KalmanFilter(X, Z, Kalman_Params, action_flag)

Exact Negative Log-likelihood of ARMA models via Kalman Filtering by Statovic

Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter (loglikelihood, kalman filter, arma)

arma_ACV(a, c, v, n)

arma_ConvertToSS(A, C, v)

arma_KalmanLikelihood(A, C, v, y, eps);

Unconstrained Optimization using the Extended Kalman Filter by Yi Cao

A function using the extended Kalman filter to perform unconstrained nonlinear optimization (extended kalman filte..., nonlinear optimizatio..., kalman filter)

[x,e]=ekfopt(h,x,tol,P,Q,R)

Nonlinear least square optimization through parameter estimation using the Unscented Kalman Filter by Yi Cao

A function using the unscented Kalman filter to perform nonlinear least square nonlinear optimizatio (kalman filter, kalman, optimization)

[x,e]=ukfopt(h,x,tol,P,Q,R)

Learning the Kalman-Bucy Filter in Simulink by Yi Cao

A Simulink model to learn the continuous-time Kalman-Bucy Filter (filter design, filter analysis, kalmanbucy filter)

Learning the Kalman-Bucy Filter in Simulink

kalmanbucy

Learning the Extended Kalman Filter by Yi Cao

An implementation of Extended Kalman Filter for nonlinear state estimation. (extended kalman filte..., filter design, state estimate)

[x,P]=ekf(fstate,x,P,hmeas,z,Q,R)

Optimal Kalman Filter for nonscalar system estimation by Sasha Zorin

Example calculation of time dependence of system variations is presented. (filter design, filter analysis, kalman filter)

KF_opt.m

Learning the Kalman Filter by Michael Kleder

Basic Kalman filter, heavily commented, for beginners to Kalman filtering. (basic kalman filter, kalman filter, discrete filter)

kalmanf(s)