KALMANF - updates a system state vector estimate based upon an

observation, using a discrete Kalman filter.



Version 1.0, June 30, 2004



This tutorial function was written by Michael C. Kleder



INTRODUCTION



Many people have heard of Kalman filtering, but regard the topic

as mysterious. While it s true that deriving the Kalman filter and

proving mathematically that it is "optimal" under a variety of

circumstances can be rather intense, applying the filter to

a basic linear system is actually very easy. This Matlab file is

intended to demonstrate that.



An excellent paper on Kalman filtering at the introductory level,

without detailing the mathematical underpinnings, is:

"An Introduction to the Kalman Filter"

Greg Welch and Gary Bishop, University of North Carolina-　KALMANF - updates a system state vector estimate based upon an

　　　　　　observation, using a discrete Kalman filter.



　Version 1.0, June 30, 2004



　This tutorial function was written by Michael C. Kleder



　INTRODUCTION



　Many people have heard of Kalman filtering, but regard the topic

　as mysterious. While it s true that deriving the Kalman filter and

　proving mathematically that it is "optimal" under a variety of

　circumstances can be rather intense, applying the filter to

　a basic linear system is actually very easy. This Matlab file is

　intended to demonstrate that.



　An excellent paper on Kalman filtering at the introductory level,

　without detailing the mathematical underpinnings, is:

　"An Introduction to the Kalman Filter"

　Greg Welch and Gary Bishop, University of North Carolina