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Introduction to Kalman Filter and Its Applications

version 1.0.3 (18.3 KB) by Youngjoo Kim
Kalman filter and extended Kalman filter examples for INS/GNSS navigation, target tracking, and terrain-referenced navigation.

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Updated 31 Jan 2021

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Source code for examples in a book chapter "Introduction to Kalman Filter and Its Applications", IntechOpen (2018), written by Youngjoo Kim and Hyochoong Bang

Cite As

Youngjoo Kim and Hyochoong Bang, "Introduction to Kalman Filter and Its Applications", Kalman Filter, IntechOpen, 2018.

Comments and Ratings (4)

Youngjoo Kim

Dear readers, some equations were wrongly implemented in the simulation (using inv(P) for prior P). The code has been revised and updated.

asaf rothschild

asaf rothschild

The code for KF produces different plots than the ones found in the source
https://www.intechopen.com/books/introduction-and-implementations-of-the-kalman-filter/introduction-to-kalman-filter-and-its-applications
Does anyone have any ideas why?

Iven Yi

There is an error in the Kalman gain
K = P\H'/(R+H*P\H');

should be:
K = P*H'/(R+H*P*H');

MATLAB Release Compatibility
Created with R2017b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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