/how-kalman-filters-work-examples

Example files for the article "How Kalman Filters Work".

Primary LanguageMATLAB

Examples for "How Kalman Filters Work"

This repository contains the MATLAB files used for the "How Kalman Filters Work" article available at:

http://www.anuncommonlab.com/articles/how-kalman-filters-work/

including four filters, demonstration files, and several utilities.

Filters

bf - bootstrap filter
ekf - extended Kalman filter
lkf - linear Kalman filter
ukf - sigma-point filter

Demos

ekf_demo - demonstration of an extended Kalman filter
kalman_gain_demo - demonstration of the correction of the covariance via the Kalman gain
lkf_demo - demonstration of a linear Kalman filter with comparisons to the extended Kalman filter
sigma_point_demo - demonstration of a sigma-point (unscented) Kalman filter
particle_demo - demonstration of a bootstrap filter

Utilities

covdraw - utility to create random draws with a given covariance
ellipse - creates points of an ellipse corresponding to a covariance matrix
mndpdf - utility to calculate probability density for a multivariate normal distribution
randcov - utility to create a random covariance matrix rk4step - numerically integrates a function over one time step using the common Runge-Kutta fourth order method

For more detailed, powerful Kalman filter functions and related utilities, see *kf from:

http://www.anuncommonlab.com/starkf/

Copyright 2016-2017 An Uncommon Lab