卡尔曼滤波工具箱（kalman filter box）

data linear filtering problem [Kalman60]. Since that time, due in large part to advances in digital computing, the Kalman filter has been the subject of extensive research and application, particularly in the area of autonomous or assisted navigation. A very “friendly” introduction to the general idea of the Kalman filter can be found in Chapter 1 of [Maybeck79], while a more complete introductory discussion can be found in [Sorenson70], which also contains some interesting historical narrative. More extensive references include [Gelb74; Grewal93; Maybeck79; Lewis86; Brown92; Jacobs93].

function [FHQRinitx initV] = AR_to_SS（coef C y）
%
% Convert a vector auto-regressive model of order k to state-space form.
% [FHQR] = AR_to_SS（coef C y）
% 
% X（i） = A（1） X（i-1） + ... + A（k） X（i-k+1） + v where v ~ N（0 C）
% and A（i） = coef（::i） is the weight matrix for i steps ago.
% We initialize the state vector with [y（:k）‘ ... y（:1）‘]‘ since
% the state vector stores [X（i） ... X（i-k+1）]‘ in order.

[s s2 k] = size（coef）; % s is the size of the state vector
bs = s * ones（1k）; % size of each block

F = zeros（s*k）;
for i=1:k
   F（block（1bs） block（ibs）） = coef（::i）;
end
for i=1:k-1
  F（block（i+1bs） block（ibs）） = eye（s）;
end

H = zeros（1*s k*s）;
% we get to see the most recent component of the state vector 
H（block（1bs） block（1bs）） = eye（s）; 
%for i=1:k
%  H（block（1bs） block（ibs）） = eye（s）;
%end

Q = zeros（k*s）;
Q（block（1bs） block（1bs）） = C;

R = zeros（s）;

initx = zeros（k*s 1）;
for i=1:k
  initx（block（ibs）） = y（: k-i+1）; % concatenate the first k observation vectors
end

initV = zeros（k*s）; % no uncertainty about the state （since perfectly observable）

 属性            大小     日期    时间   名称
----------- ---------  ---------- -----  ----

     目录          0  2005-10-17 23:27  kalman滤波工具箱

     目录          0  2005-10-17 23:27  kalman滤波工具箱\KalmanAll

    ..AD...         0  2005-10-17 23:27  kalman滤波工具箱\KalmanAll\Kalman

     文件       1107  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\AR_to_SS.m

     文件        425  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\convert_to_lagged_form.m

     文件        354  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\ensure_AR.m

     文件       1045  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\eval_AR_perf.m

     文件       2899  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\kalman_filter.m

     文件       2392  2002-11-01 16:32  kalman滤波工具箱\KalmanAll\Kalman\kalman_forward_backward.m

     文件       1584  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\kalman_smoother.m

     文件       1840  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\kalman_update.m

     文件       1022  2002-10-23 08:17  kalman滤波工具箱\KalmanAll\Kalman\learning_demo.m

     文件        819  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\learn_AR.m

     文件        687  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\learn_AR_diagonal.m

     文件       5498  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\learn_kalman.m

     文件        485  2004-06-07 07:39  kalman滤波工具箱\KalmanAll\Kalman\README.txt

     文件        535  2003-01-18 13:47  kalman滤波工具箱\KalmanAll\Kalman\README.txt~

     文件       1797  2003-01-24 11:36  kalman滤波工具箱\KalmanAll\Kalman\sample_lds.m

     文件       1199  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\smooth_update.m

     文件        579  2002-05-29 08:59  kalman滤波工具箱\KalmanAll\Kalman\SS_to_AR.m

     文件         28  2005-06-08 18:56  kalman滤波工具箱\KalmanAll\Kalman\testKalman.m

     文件       1960  2003-01-18 14:49  kalman滤波工具箱\KalmanAll\Kalman\tracking_demo.m

    ..AD...         0  2005-10-17 23:27  kalman滤波工具箱\KalmanAll\KPMstats

     文件        267  2005-05-03 13:08  kalman滤波工具箱\KalmanAll\KPMstats\#histCmpChi2.m#

     文件       1955  2005-04-25 19:29  kalman滤波工具箱\KalmanAll\KPMstats\beta_sample.m

     文件        199  2005-04-25 19:29  kalman滤波工具箱\KalmanAll\KPMstats\chisquared_histo.m

     文件       1326  2005-04-25 19:29  kalman滤波工具箱\KalmanAll\KPMstats\chisquared_prob.m

     文件       1389  2005-04-25 19:29  kalman滤波工具箱\KalmanAll\KPMstats\chisquared_readme.txt

     文件       2127  2005-04-25 19:29  kalman滤波工具箱\KalmanAll\KPMstats\chisquared_table.m

     文件       5884  2005-04-25 19:29  kalman滤波工具箱\KalmanAll\KPMstats\clg_Mstep.m

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