How to set Q and R in a Kalman filter?
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Marco Maccotta
il 8 Mag 2017
Commentato: Ahmed Gharieb naga
il 27 Gen 2024
Hi, I have a system where I estimated the parameters using RLS procedure. Now I need to implement a Kalman Filter in continuos time but I don't know how to choose Q and R. Do you have some suggestion? Thanks.
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Wilson A N
il 11 Mag 2017
As I understand the parameters Q and R are referring to the process noise covariance and sensor noise covariance matrices.
I believe this should be provided by the plant manufacturer. However, for simulation purposes, you can assume any value greater than 0 depending on how much you think the process and sensor noise affects the plant. You can refer to the following link which shows an example:
You can also refer to the example given below where the Q and R are calculated from zero-mean, independent random variables with known variances:
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