用matlab function写kalmanfilter代码
时间: 2023-07-29 15:07:01 浏览: 51
以下是一个简单的 Matlab Kalman Filter 的示例代码:
```matlab
function [xhat, P] = kalmanfilter(y, A, C, Q, R, x0, P0)
% Kalman filter function
% y: measurement signal
% A, C, Q, R: model parameters
% x0, P0: initial state and covariance
% Initialization
n = length(x0);
xhat = zeros(n,size(y,2));
P = zeros(n,n,size(y,2));
xhat(:,1) = x0;
P(:,:,1) = P0;
for k = 2:size(y,2)
% Prediction step
xhat(:,k) = A*xhat(:,k-1);
P(:,:,k) = A*P(:,:,k-1)*A' + Q;
% Update step
K = P(:,:,k)*C'/(C*P(:,:,k)*C' + R);
xhat(:,k) = xhat(:,k) + K*(y(:,k) - C*xhat(:,k));
P(:,:,k) = P(:,:,k) - K*C*P(:,:,k);
end
end
```
其中,输入参数为:
- `y`:测量信号
- `A`:状态转移矩阵
- `C`:测量矩阵
- `Q`:过程噪声协方差矩阵
- `R`:测量噪声协方差矩阵
- `x0`:初始状态
- `P0`:初始状态协方差矩阵
输出参数为:
- `xhat`:估计状态
- `P`:估计状态协方差矩阵