Kalman Filter For Beginners With Matlab Examples [exclusive] Download

% --- Main Kalman Loop --- for k = 1:T % 1. Prediction x_pred = F * x_est; P_pred = F * P_est * F' + Q;

x_est = x_pred + K * y; % new state estimate P_est = (eye(2) - K * H) * P_pred; % new covariance kalman filter for beginners with matlab examples download

P_est = (I - K * H) * P_pred Intuition: Our uncertainty drops because we incorporated a measurement. % --- Main Kalman Loop --- for k = 1:T % 1