Specifications

Kalman Filtering
10-55
'v'
'u'
SimModel.outputname
ans =
'y'
'y_e'
You are now ready to simulate the filter behavior. Generate a sinusoidal input
and process and measurement noise vectors and .
t = [0:100]';
u = sin(t/5);
n = length(t)
randn('seed',0)
w = sqrt(Q)*randn(n,1);
v = sqrt(R)*randn(n,1);
Now simulate with lsim.
[out,x] = lsim(SimModel,[w,v,u]);
y = out(:,1); % true response
ye = out(:,2); % filtered response
yv = y + v; % measured response
and compare the true and filtered responses graphically.
subplot(211), plot(t,y,'--',t,ye,'-'),
xlabel('No. of samples'), ylabel('Output')
title('Kalman filter response')
subplot(212), plot(t,y-yv,'-.',t,y-ye,'-'),
uwv