Kalman Filter For Beginners With Matlab Examples Phil Kim Pdf __top__ Info

% Update K = P_pred*H'*inv(H*P_pred*H' + R); x_est = x_pred + K*(z(i) - H*x_pred); P_est = (1 - K*H)*P_pred;

% Define the system matrices A = [1 1; 0 1]; B = [0.5; 1]; H = [1 0]; Q = [0.001 0; 0 0.001]; R = 0.1; % Update K = P_pred*H'*inv(H*P_pred*H' + R); x_est