Kalman 【卡尔曼滤波】

用于跟踪、平滑、预测等方面

 % KALMANF - updates a system state vector estimate based upon an
%           observation, using a discrete Kalman filter.
%
% Version 1.0, June 30, 2004
%
% This tutorial function was written by Michael C. Kleder
%
% INTRODUCTION
%
% Many people have heard of Kalman filtering, but regard the topic
% as mysterious. While it's true that deriving the Kalman filter and
% proving mathematically that it is "optimal" under a variety of
% circumstances can be rather intense, applying the filter to
% a basic linear system is actually very easy. This Matlab file is
% intended to demonstrate that.
%
% An excellent paper on Kalman filtering at the introductory level,
% without detailing the mathematical underpinnings, is:
% "An Introduction to the Kalman Filter"
% Greg Welch and Gary Bishop, University of North Carolina
% http://www.cs.unc.edu/~welch/kalman/kalmanIntro.html
%
% PURPOSE:
%
% The purpose of each iteration of a Kalman filter is to update
% the estimate of the state vector of a system (and the covariance
% of that vector) based upon the information in a new observation.
% The version of the Kalman filter in this function assumes that
% observations occur at fixed discrete time intervals. Also, this
% function assumes a linear system, meaning that the time evolution
% of the state vector can be calculated by means of a state transition
% matrix.
%
% USAGE:
%
% s = kalmanf(s)
%
% "s" is a "system" struct containing various fiel