4.5 | 58 ratings Rate this file 13991 downloads (last 30 days) File Size: 7.16 KB File ID: #5377

Learning the Kalman Filter

30 Jun 2004 (Updated 12 Oct 2005)

Basic Kalman filter, heavily commented, for beginners to Kalman filtering.

File Information
Description	When I first studied Kalman filtering, I saw many advanced signal processing submissions here at the MATLAB Central File exchange, but I didn't see a heavily commented, basic Kalman filter present to allow someone new to Kalman filters to learn about creating them. So, a year later, I've written a very simple, heavily commented discrete filter.
Acknowledgements	This submission has inspired the following: Learning the Kalman Filter in Simulink, Learning the Extended Kalman Filter, Learning the Unscented Kalman Filter, Kalman Filter Tutorial
MATLAB release	MATLAB 5.3.1 (R11.1)
Other requirements	None.

Tags for This File
Everyone's Tags	basic kalman filter(3), discrete filter, filter analysis, filter design, kalman filter, linear(2)
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Comments and Ratings (81)
23 Sep 2004	Giap Do van	great!
05 Oct 2004	Vassilios Moussas	Compact, well documented, very good initialization and use of structures.
29 Nov 2004	Thomas Byrne	Excellent!! Thank You.
11 Jan 2005	Hooman Dejnabadi
14 Jan 2005	Simon Tippler	Very helpful. Thanks!!
21 Jan 2005	Giuliano Scimone
25 Jan 2005	ARLINDA SAQELLARI
23 Mar 2005	Liu Baolong	You are a great tutor ! I really appreciate it . Thank you very much.
23 Mar 2005	Nathir Rawashdeh	This is a very good example and shows how easy it is to apply the Kalman filter. It does, however, require some background knowledge. It would be nice to have a more complicated example with non-zero u and where H and A are not =1. Thanks Michael!
30 Mar 2005	Daniel O. Fufa	very good Thanks Daniel Aalborg university
19 May 2005	ARLINDA SAQELLARI	very good, I like the idea
16 Jun 2005	Flop Flop
29 Jun 2005	Tim Gebbie	Very fun. Very neat.
30 Jun 2005	lee yk	Would you like to give me sample 's' value? I still don't understand it perfectly.
08 Jul 2005	Rentian Xiong	Nice work. It would be better if there is an example for vector state. Also it would be very cool if someone can put Kalman filter algorithm in simulink so that we can see the estimation of states dynamically. And of course, an extended kalman filter for nonlinear system would be also very useful.
10 Jul 2005	ammar saleem
03 Aug 2005	Tsanko Tsankov	A good try to explain something. Keep up the good work! There are, however, some mistakes (at the autoinitialization step). Anyway I still don't quite understand the use of Kalman filter. The given example is good, but I'm still confused how to apply this filter to my data.
21 Oct 2005	shobi kumar	excellent apporach but i m unable to run this prog plz help me
29 Oct 2005	Zahid Ullah Khan	Its nice, no doubt.
15 Nov 2005	nemesio CARDENAS LOPES	ok
20 Nov 2005	Rafal G.	Simple, pretty, excellent :-))) Thanks a lot!!
25 Dec 2005	Mehdi Sanaatiyan	Well,it's good for first time.No at all
07 Jan 2006	ALEXANDRE EDUARDO	VERY GOOD
07 Jan 2006	Robert Kaddu	Very well presented summary that makes more sense than that provide within the Matlab help function.
12 Jan 2006	Carlos Roldan
13 Jan 2006	Xuewu Dai	Very Useful for understanding Kalman Filter
20 Jan 2006	akher falcon	its great.
09 Feb 2006	Eduardo Veras
15 Feb 2006	Franz Dietrich	Useful Comments in Code.
22 Feb 2006	swami nathan
29 Mar 2006	Camilo Lozoya
06 Apr 2006	Carlos Orduno	The best source I've found to start working with Kalman Filters. Do you have anything for the nonlinear version?
13 Apr 2006	Indiana Jones
23 Apr 2006	Teo chai	I try to run the "learning the kalman filter" in the matlab but i unable to run it. May i know how to run the file? thks
26 Apr 2006	Bing Li	try to replace inv(A)*B by A\B to speed up, although it's not significant when the matrix size is small
14 Jun 2006	ti toe	you have to set up matlab first and run with workspace
15 Aug 2006	Colin O'Flynn	Thank You! Great introduction to the Kalman filter, even if you don't use Matlab.
27 Aug 2006	diop bara	good
17 Oct 2006	shao litang	I need Kalman Filter program.
26 Oct 2006	clayonjj Harrison	i like the explanation but I cant run the file the following error pops up.HELP!! kalmanf ??? Input argument "s" is undefined. Error in ==> kalmanf at 150 if ~isfield(s,'x'); s.x=nan*z; end
29 Oct 2006	Priyanka Gupta	I get the same error: kalmanf ??? Input argument "s" is undefined. Error in ==> kalmanf at 150 if ~isfield(s,'x'); s.x=nan*z; end
01 Nov 2006	MORSHED MAHMUD
14 Nov 2006	Tansel Yucelen	Same Error !!!
30 Nov 2006	ravindar reddy
11 Dec 2006	karim kiko	It will be better if you separate the comment from the m.file and try to add them as "help" in a pdf format.
08 Jan 2007	u v
13 Mar 2007	Way Jch
13 Mar 2007	v ram
28 Mar 2007	fatemeh shoormij	discrete kalman filter
29 Mar 2007	Rajesh Krishnan
25 Apr 2007	xu zheng	very good tools thank you very much
26 Apr 2007	lai zuomei	a good demo for me!
29 Apr 2007	Rodrigo Badínez	Good demo. You probably should separete the example, to another m file, named like RunMeDemoKalman. For the really beginners.
09 May 2007	zhu Yi Yong zhuyiyong	very good
15 May 2007	Edward Taylor	Very easy to use, recommended.
23 May 2007	SOURAV DAS	It is a very user friendly, recommended
29 May 2007	mehmet ali arabaci	Actually, I am not a beginner at Kalman filter issue. But, i think this is a very useful tool and i wish i got this m-file when i first started to work with Kalman. Because, it is very important for the beginners to have the simplest form of the problem and to see its solution with a simulation program.
07 Jun 2007	Bouchemmella abdelhalim	I want this refference
10 Jun 2007	sk imtiaj	this is very good
14 Jun 2007	X. King
11 Jul 2007	hamid reza ghazizadeh	how con I find calculation of dry gas filter for natural gas ? please
04 Oct 2007	Duong Minh Au
05 Oct 2007	Utkarsh Gaur
19 Oct 2007	djeunang brigitte	i want a kalman filter
06 Nov 2007	P. McNamara	Be careful. Also we are looking at your downloads records.
27 Nov 2007	wang yi	very good
28 Nov 2007	Randy Coleman
27 Dec 2007	Arsalan Khan	I can understand Kalman filter from this document, I bet anyone can.
31 Dec 2007	James Hokanson
04 Jan 2008	marc luc
25 Jan 2008	Yi Cao	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) = randn2 + 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.
03 Mar 2008	mohamed pumma	ok
22 Apr 2008	bekir pasaoglu	great
27 Apr 2008	Sahil Ganguly	I keep getting this error,can someone explain what i'm doing wrong? kalmanf ??? Input argument "s" is undefined. Error in ==> kalmanf at 150 if ~isfield(s,'x'); s.x=nan*z; end
03 Jun 2008	Behnam Molaee Ardekani	Good for those who want to see what the Kalman Filter is for the first time. It works and there is a simple example in the m file.
19 Jun 2008	Sid Saraiya	This was extremely useful for a beginner like me. A great post!
03 Jul 2008	Imtiaz Hussain	Very Useful Indeed
13 Jul 2008	Vipin Gupta	Thanks for sharing. :)
21 Jul 2008	Tim Davis	Nice comments. Awful numerics. Why would you consider multiplying by the inverse? That's horribly inaccurate and slow. Replace x = inv(H)z P = inv(H)Rinv(H') with, at least x = H\z P = (H\R)/H' likewise K = P H' * inv (lots of stuff) should be K = P * H' / (lots of stuff) further more, if H is not changing, it should be factorized just once and the factors kept (LU or CHOL).
26 Sep 2008	mohammad khorrami arani	Thanks
11 Nov 2008	Prasetyo Utomo	Thanks very much

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Updates
12 Oct 2005	comment change

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