User`s guide

Kalman Adaptive Filter
5-249
5Kalman Adaptive Filter
Purpose Compute filter estimates for an input using the Kalman adaptive filter
algorithm.
Library Filtering / Adaptive Filters
Description The Kalman Adaptive Filter block computes the optimal linear minimum
mean-square estimate (MMSE) of the FIR filter coefficients using a one-step
predictor algorithm. This Kalman filter algorithm is based on the following
physical realization of a dynamical system.
The Kalman filter assumes that there are no deterministic changes to the filter
taps over time (i.e., the transition matrix is identity), and that the only
observable output from the system is the filter output with additive noise. The
corresponding Kalman filter is expressed in matrix form as
gn()
Kn 1–()un()
u
H
n()Kn 1–()un() Q
M
+
--------------------------------------------------------------------=
yn() u
H
n()w
ˆ
n()=
en() dn() yn()–=
w
ˆ
n 1+()w
ˆ
n() en()gn()+=
Kn() Kn 1–()gn()u
H
n()Kn 1–()Q
P
+–=