Implementation of Discrete Kalman Filter in Matlab/Octave with simple examples
This repository demonstrates the implementation of Kalman filter with simple examples in Matlab/Octave. The implementation steps are based on the paper entitled "An Introduction to the Kalman Filter" by Greg Welch and Gary Bishop. The paper can be downloaded at https://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf .
The "simpleKalmanFilter.m" example is based on the voltage reading error described in the above mentioned paper. However, the resultant graphs could be a little bit different from the provided ones in the paper because of the random generator used in this particular implementation.
The "KF_train_const_speed.m" and "KF_train_sys_input.m" examples are based on the one-dimentional train tracking problem. The problem is described in details in the lecture note entitled "Understanding the Basis of the Kalman Filter Via a Simple and Intuitive Derivation" by Ramsey Faragher. The lecture note can be downloaded at https://courses.engr.illinois.edu/ece420/fa2017/UnderstandingKalmanFilter.pdf .