Kalman Filter wind speed estimation

What is the best way to use the kalman function (or other) in order to estimate missing wind speed values?

Answer 1

[Youssef Khmou]

hi james,

You can use interpolation method to estimate the missing values from your data,

Concerning the Kalman Filter, you need to set the initial conditions, and implement the algorithm:

Suppose that your data ( Wind velocity estimate) fits the model :

 Xn+1=A*Xn+Wn  with Wn~N(0,R)

 Yn=  H xn+Vn  with Vn~N(0,Q)

Then, You can apply the Kalman Filter ,

For better view , i recommend that you take a look at this material :

" An introduction to the Kalman Filter " by Greg Welch and Gary Bishop.

For an example to get ideas from, i recommand my submission :

http://www.mathworks.de/matlabcentral/fileexchange/38353-1d-standard-kalman-filter-simulink-model-program

[james]

I have set initial conditions, but I am struggling to understand how my values (windspeeds) fit in with the filter? As in how does the filter use my values?

[james]

Furthermore, could you expand on the 'interpolation' to estimate the missing values? Will i have to do this before the kalman filter is applied?