卡尔曼滤波程序

卡尔曼滤波程序：% kalman filtering

load initial_track  s; % y:initial data,s:data with noise
T=0.1;

% yp denotes the sample value of position
% yv denotes the sample value of velocity
% Y=[yp(n);yv(n)];
% error deviation caused by the random acceleration
% known data
Y=zeros(2,200);
Y0=[0;1];
Y(:,1)=Y0;
A=[1 T
    0 1];         
B=[1/2*(T)^2 T]';
H=[1 0];

C0=[0 0
    0 1];
C=[C0 zeros(2,2*199)];
Q=(0.25)^2;
R=(0.25)^2;