Linear Kalman Filter

Version 1.5.0.0 (2.46 KB) by Amir Omidvarnia
A fully commented script which explains Linear Kalman Filtering in the form of a simple example.
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Updated 24 Nov 2010

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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:
http://choosh.csee.ogi.edu/rebel/
(in particular, 'dempe1.m' located in '..\examples\parameter_estimation')

Cite As

Amir Omidvarnia (2026). Linear Kalman Filter (https://www.mathworks.com/matlabcentral/fileexchange/29127-linear-kalman-filter), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.5.0.0

A small changes was applied onto the code.
1.3.0.0

Some minor changes were applied on the comments.
1.2.0.0

Some minor changes were applied on the comments.
1.1.0.0

A screenshot was added to the page.
1.0.0.0