Kalman filtering implementation with Matlab [article]

Rachel Kleinbauer, Universität Stuttgart, Universität Stuttgart
2005
In 1960 and 1961 Rudolf Emil Kalman published his papers on a recursive predictive filter that is based on the use of state space techniques and recursive algorithms and therewith he revolutionized the field of estimation. Since that time the so-called Kalman filter has been the subject of extensive research and application. The Kalman filter estimates the state of a dynamic system, even if the precise form of the system is unknown. The filter is very powerful in the sense that it supports
more » ... at it supports estimations of past, present, and even future states. Within the scope of this study thesis it was the task to program a Kalman filter in Matlab. The intention is to give the students of the course "Methods of Navigation" an understanding of the Kalman filter by providing them with its practical aspects. The composition includes a description of the standard Kalman filter and its algorithm with the two main steps, the prediction step and the correction step. Furthermore the extended Kalman filter is discussed, which represents the conversion of the Kalman filter to nonlinear systems. In the end the program was executed to calculate the orbit of a geostationary satellite as an example.
doi:10.18419/opus-3692 fatcat:rzpbprste5dvpflcfocwxlus5e