chap7_10f.m

来自「本程序是刘金琨编著的《先进PID控制matlab仿真》一书的所有matlab源代」· M 代码 · 共 40 行

%Discrete Kalman filter
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
function [u]=kalman(u1,u2,u3)
persistent A B C D Q R P x

yv=u2;
if u3==0
   x=zeros(2,1);
   ts=0.001;
   a=25;b=133;
   sys=tf(b,[1,a,0]);
   A1=[0 1;0 -a];
   B1=[0;b];
   C1=[1 0];
   D1=[0];
   [A,B,C,D]=c2dm(A1,B1,C1,D1,ts,'z');
    
	Q=1;               %Covariances of w
	R=1;               %Covariances of v
   P=B*Q*B';          %Initial error covariance
end
   
%Measurement update
Mn=P*C'/(C*P*C'+R);
    
x=A*x+Mn*(yv-C*A*x);

P=(eye(2)-Mn*C)*P;

ye=C*x+D;           %Filtered value

u(1)=ye;
u(2)=yv;

errcov=C*P*C';      %Covariance of estimation error

%Time update
x=A*x+B*u1;
P=A*P*A'+B*Q*B';