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