Learning the Kalman Filter: A Feedback Perspective

Version (218 KB) by Yi Cao
A feedback view of Kalman filter to gain more useful insights.
Updated 19 Feb 2011

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The Kalman filter is a feedback system. A Simulink model is developed to view this more clearly. From the feedback blocks, it is clear the normal Kalman filter is a linear time-variant system. By replacing the time-varying filter gain with its steady-state values, a simple linear time-invariant version of Kalman filter is provided in Simulink as well. Examples show that all these models provide similar performance.

Cite As

Yi Cao (2024). Learning the Kalman Filter: A Feedback Perspective (https://www.mathworks.com/matlabcentral/fileexchange/18628-learning-the-kalman-filter-a-feedback-perspective), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Inspired by: Learning the Kalman Filter in Simulink v2.1

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Version Published Release Notes

update descriptions.

correct typo in the html description.