Stochastic differential equations

Nonlinear least square optimization through parameter estimation using the unscented kalman filter in matlab

The following Matlab project contains the source code and Matlab examples used for nonlinear least square optimization through parameter estimation using the unscented kalman filter. The Kalman filter can be interpreted as a feedback approach to minimize the least equare error.

Kalman Filter Matlab Code

Kalman filter is an algorithm that uses a series of measurements observed over time, containing noise (random variations) and other inaccuracies, and produces estimates of unknown variables that tend to be more precise than those based on a single measurement alone.

kalman filter

Ensemble kalman filter in matlab

The following Matlab project contains the source code and Matlab examples used for ensemble kalman filter. The algorithm used in this code is referenced from the following: S Gillijns et al "What Is the Ensemble Kalman Filter and How Well Does it Work?" Proceedings of the 2006 American Control Conference, Minneapolis, Minnesota, USA, June 14-16, 2006, pp 4448-4453.

Kalman filter in matlab

The following Matlab project contains the source code and Matlab examples used for kalman filter. This function performs Kalman filtering on data consisting of two variables. A constant-velocity model is assumed. The filtered output and the error from the ground truth is computed. Comments are welcome.
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