Examples for "How Kalman Filters Work"

This repository contains the MATLAB files used for the "How Kalman Filters Work" article available at:

http://www.anuncommonlab.com/articles/how-kalman-filters-work/

including four filters, demonstration files, and several utilities.

Filters

bf - bootstrap filter
ekf - extended Kalman filter
lkf - linear Kalman filter
ukf - sigma-point filter

Demos

ekf_demo - demonstration of an extended Kalman filter
kalman_gain_demo - demonstration of the correction of the covariance via the Kalman gain
lkf_demo - demonstration of a linear Kalman filter with comparisons to the extended Kalman filter
sigma_point_demo - demonstration of a sigma-point (unscented) Kalman filter
particle_demo - demonstration of a bootstrap filter

Utilities

covdraw - utility to create random draws with a given covariance
ellipse - creates points of an ellipse corresponding to a covariance matrix
mndpdf - utility to calculate probability density for a multivariate normal distribution
rk4step - numerically integrates a function over one time step using the common Runge-Kutta fourth order method

Copyright 2016 An Uncommon Lab