How to solve Kalman Filter equation using ode45

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upinderjeet
upinderjeet il 30 Apr 2014
Modificato: upinderjeet il 30 Apr 2014
the kalman filter equation is:
Xhatdot=A*Xhat+L[Y-C*Xhat]
where Y is the measurement and the measurement equation is describes as:
Y=C*X+v where v is the zero mean white random noise
I have the the values of A,C,L and the initial value of Xhat. And obviously I can generate the random noise v as well.

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