kalmanf(revised suggestion).txt

几个kalman滤波的例程 适合初学者使用 并有优化建议

Date: 2008-01-25
From: Yi Cao 
Rating:  
Comments: This is a very popular file in the File Exchange. The function itself is excelent. However, I just noticed that the example provide with the file is not correct. Somehow, it is misleading to beginers.

In line 131, the process is defined as:
true(end+1) = randn*2 + 12;
i.e. the state is a constant plus a noise. If so, the process in the standard state space form should be:
x(k+1) = 0 * x(k) + 12 + w(k)
i.e. s.A = 0; s.B = 1; s.u = 12;
However, in the file it is wrongly defined as:
s.A = 1; s.B = 0; s.u = 0;
The difference is that the process noise is not dynamically cumulated in the former definition but does in the later.