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:
(in particular, 'dempe1.m' located in '..\examples\parameter_estimation')
Amir Omidvarnia (2022). Linear Kalman Filter (https://www.mathworks.com/matlabcentral/fileexchange/29127-linear-kalman-filter), MATLAB Central File Exchange. Retrieved .
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