kalman滤波基础及matlab仿真程序,王可东,例3-10,P84
clc;clear all
T = 1; K = 0.5; q=0.1; delta_t = 0.1;
N = 1000;
w_unit = randn(1,N);
q_k = sqrt(q*K^2*(1-exp(-2*delta_t/T))/(2*T)); %白噪声的功率谱密度
w_k = q_k *w_unit; %白噪声
phi_k = exp(-delta_t/T);
x(1) = 0;
for k = 1:N-1
x(k+1) = phi_k * x(k) +w_k(k);
end
t = (1:N)*delta_t;
plot(t,x')
xlabel('t/s');ylabel('x(t)');
运行结果: