matlab for 1 3,EKF/UKF Toolbox for Matlab V1.3

Introduction

EKF/UKF is an optimal filtering toolbox for Matlab. Optimal

filtering is a frequently used term for a process, in which the

state of a dynamic system is estimated through noisy and indirect

measurements. This toolbox mainly consists of Kalman filters and

smoothers, which are the most common methods used in stochastic

state-space estimation. The purpose of the toolbox is not to

provide highly optimized software package, but instead to provide a

simple framework for building proof-of-concept implementations of

optimal filters and smoothers to be used in practical

applications.

Most of the code has been written by Simo

Särkkä in the Laboratory of Computational

Engineering.Later Jouni

Hartikainen and Arno

Solin documented and extended it with new filters and

smoothers as well as simulated examples.

The

methods that are discussed in the current documentation

are:

Kalman

filters and smoothers

Extended Kalman filters and

smoothers

Unscented Kalman filters and

smoothers

Gauss-Hermite Kalman filters and

smoothers

Cubature Kalman filters and

smoothers

Interacting Multiple Model (IMM) filters

and smoothers