September 2011
Intermediate to advanced
324 pages
10h 9m
English
Content preview from Practical Biomedical Signal Analysis Using MATLAB
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Single channel signal 33
x
0
,P
0
Predict :
ˆx
−
k
= Aˆx
k−1
+ Bu
k
P
−
k
= AP
k−1
A
T
+ Q
))
Update:
K
k
= P
−
k
M
T
MP
−
k
M
T
+ R
−1
ˆx
k
= ˆx
−
k
+ K
k
(z
k
−Mˆx
−
k
)
P
k
=(I −K
k
M)P
−
k
ff
FIGURE 2.3: The computation of successive system states with Kalman filter.
Kalman filter may be found in [Welch et al., 1960].
MATLAB toolbox by Kevin Murphy avaliable at
http://people.cs.ubc.ca/
˜
murphyk/Software/Kalman/kalman.html
provides Kalman filter formalism for
filtering, smoothing, and parameter estimation for linear dynamical systems.
Many real dynamical systems do not exactly fit the model assumed by Kalman
filter design. The not-modeled dynamics contributes to the component w
k
in equation
2.19. In practice ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.