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Estimating a constant state using the Kalman Filter

version 1.1.0.0 (112 KB) by Lazaros Moysis
Kalman Filter example for estimating a constant value

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Updated 23 May 2014

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This is an example of the Kalman Filter in discrete time. We Implement the Kalman Filter to estimate
x(k)=x(k+1)=0.12345
using
z(k)=x(k)+w(k)
where
x: Constant state
z: Measurements
w: White noise with statistical properties w~N(0,0.01)
Update: In this update The comments are fixed and presented in a better way. Also included is an html file created with the publish feature and a pdf file created in latex. Both help in the better presentation of the results.

Cite As

Lazaros Moysis (2021). Estimating a constant state using the Kalman Filter (https://www.mathworks.com/matlabcentral/fileexchange/37521-estimating-a-constant-state-using-the-kalman-filter), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (4)

himakar

Lazaros Moysis

You are welcome! This was part of my assignment in one of my master's classes. The title of the assignment is 'An introduction to the Kalman Filter in continuous and discrete time' which to be honest, i consider to be an excelent work for begginers, especially mathematicians. You can find it here but it's in Greek, sometime in the future maybe i'll translate and re-upload it.
http://eclass.auth.gr/modules/document/file.php/MATH106/%CE%95%CF%81%CE%B3%CE%B1%CF%83%CE%AF%CE%B5%CF%82%20%CE%A6%CE%BF%CE%B9%CF%84%CE%B7%CF%84%CF%8E%CE%BD/%CE%A6%CE%AF%CE%BB%CF%84%CF%81%CE%BF%20Kalman-%20%CE%9C%CF%89%CF%85%CF%83%CE%AE%CF%82%20%CE%9B%CE%AC%CE%B6%CE%B1%CF%81%CE%BF%CF%82.pdf
and the ppt here
eclass.auth.gr/modules/document/file.php/MATH106/%CE%95%CF%81%CE%B3%CE%B1%CF%83%CE%AF%CE%B5%CF%82%20%CE%A6%CE%BF%CE%B9%CF%84%CE%B7%CF%84%CF%8E%CE%BD/Kalman%20Filter-%20Moysis%20Lazaros.pptx

W. Chong

A good tutorial for starters, thank you for sharing!

MATLAB Release Compatibility
Created with R2013a
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