卡尔曼滤波器程序解析(1)

  离散卡尔曼滤波器程序解析(1)

先看一下介绍卡尔曼滤波器的一个比较好的 文档<-点击文档进行下载。

例一，下面是一个用卡尔曼滤波器估计温度的matlab程序。

 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 %日 期： 	2015.9.22
 %程序功能：	使用卡尔曼滤波器估计温度
 %程序变量描述 ：X(k)	系统状态变量
 %		A	系统矩阵
 %		w	噪声
 %		Z(k)	观测值
 %		H	观测矩阵
 %		P(k)	协方差
 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
  clear 
  N=200;
  A=1;
  X(1)=1;			%最优估计 初始值 
  w=0;
  P(1)=10;              	%协方差 初始值                	
  Q = 0.000001;       		%温度模拟