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KF_NonUniform_Timestamp.m - Kalman Filtering with a Non-Uniform Timestep

This simulates a noisy second order system, and uses the noisy measurement
provided at irregular intervals to estimate the state using a Kalman Filter.

A regular implementation of the kalman filter would predetermine the 
state space matrices, but become less effective as the size of the 
timestep during a simulation varies.  This code creates a function_handle 
to generate the appropriately sized state space matrices during runtime.

The code is well documented as to provide insight into the purpose
of each step and the calculations that are being used.

Created: Sat, 29 Dec 2012 20:00 UTC by Daniel Couture



>> KF_NonUniform_Timestep()

Plot Generated:
Plot of x, x_est x_truth, x_err

Text Output:
Kalman Filter for a Non-Uniform Timestep
60 sec simulation with timesteps avg = 0.2 sec, stdev = 0.06 sec
Simulation Complete
 Final state error: 2.10357