# how-kalman-filters-work-examples

**Repository Path**: EnjoyProgamme/how-kalman-filters-work-examples

## Basic Information

- **Project Name**: how-kalman-filters-work-examples
- **Description**: Example files for the article "How Kalman Filters Work".
- **Primary Language**: Matlab
- **License**: Not specified
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 1
- **Forks**: 0
- **Created**: 2020-10-10
- **Last Updated**: 2022-04-15

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

Examples for "How Kalman Filters Work"
======================================

This repository contains the MATLAB files used for the "How Kalman Filters
Work" article available at:

<http://www.anuncommonlab.com/articles/how-kalman-filters-work/>

including four filters, demonstration files, and several utilities.

### Filters ###

**bf**   - bootstrap filter  
**ekf**  - extended Kalman filter  
**lkf**  - linear Kalman filter  
**ukf**  - sigma-point filter  

### Demos ###

**ekf_demo**          - demonstration of an extended Kalman filter  
**kalman_gain_demo**  - demonstration of the correction of the covariance
                        via the Kalman gain  
**lkf_demo**          - demonstration of a linear Kalman filter with
                        comparisons to the extended Kalman filter  
**sigma_point_demo**  - demonstration of a sigma-point (unscented) Kalman
                        filter  
**particle_demo**     - demonstration of a bootstrap filter  

### Utilities ###

**covdraw**  - utility to create random draws with a given covariance  
**ellipse**  - creates points of an ellipse corresponding to a covariance 
               matrix  
**mndpdf**   - utility to calculate probability density for a multivariate 
               normal distribution  
**randcov**  - utility to create a random covariance matrix
**rk4step**  - numerically integrates a function over one time step using
               the common Runge-Kutta fourth order method  

For more detailed, powerful Kalman filter functions and related utilities,
see `*kf` from:

<http://www.anuncommonlab.com/starkf/>

Copyright 2016-2017 An Uncommon Lab