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kalmanf
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
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