%?THIS?PROGRAM?IS?FOR?IMPLEMENTATION?OF?DISCRETE?TIME?PROCESS?EXTENDED?KALMAN?FILTER
%?FOR?GAUSSIAN?AND?LINEAR?STOCHASTIC?DIFFERENCE?EQUATION.
%?By?（R.C.R.C.R）SPLABSMPL.
%?（17?JULY?2005）.
%?Help?by?Aarthi?Nadarajan?is?acknowledged.
%?（drawback?of?EKF?is?when?nonlinearity?is?high?we?can?extend?the
%?approximation?taking?additional?terms?in?Taylor‘s?series）.

clc;??close?all;?clear?all;

Xint_v?=?[1;?0;?0;?0;?0];
wk?=?[1?0?0?0?0];
vk?=?[1?0?0?0?0];

for?ii?=?1:1:length（Xint_v）
????
????Ap（ii）?=?Xint_v（ii）*2;
????W（ii）?=?0;
????H（ii）?=?-sin（Xint_v（ii））;
????V（ii）?=?0;
????Wk（ii）?=?0;
????
end

Uk?=?randn（1200）;
Qu?=?cov（Uk）;
Vk?=?randn（1200）;
Qv?=?cov（Vk）;
C?=?[1?0?0?0?0];
n?=?100;

[YY?XX]?=?EKLMNFTR1（ApXint_vUkQuVkQvCnWkWV）;

for?it?=?1:1:length（XX）
????MSE（it）?=?YY（it）?-?XX（it）;
end

tt?=?1:1:length（XX）;

figure（1）;???subplot（211）;???plot（XX）;???title（‘ORIGINAL?SIGNAL‘）;
subplot（212）;???plot（YY）;???title（‘ESTIMATED?SIGNAL‘）;

figure（2）;?plot（ttXXttYY）;?title（‘Combined?plot‘）;?legend（‘original‘‘estimated‘）;

figure（3）;???plot（MSE.^2）;???title（‘Mean?square?error‘）;


web?-browser?http://www.ilovematlab.cn/thread-3268-1-1.html

?屬性????????????大小?????日期????時(shí)間???名稱
-----------?---------??----------?-----??----
?????目錄???????????0??2011-11-21?21:08??EKF\
?????文件????????1207??2008-02-21?17:09??EKF\EKF1.m
?????文件????????2088??2008-02-21?17:12??EKF\EKLMNFTR1.m