Linear Kalman Filter软件

A fully commented script which explains Linear Kalman Filtering in the form of a simple example.

软件应用简介

This script implements the linear Kalman filter and shows its performance on a 2nd order under-damped LTI system.

The code consists of two main parts. In the first part, a noisy model with two state variables is simulated and in the second part, Kalman filtering is applied to estimate the real observations.

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结果示意

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