Problem in Kalman Filter

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RUDRAKSH 2016-5-5

编辑： RUDRAKSH 2016-5-5

By following http://www.mu-sigma.com/analytics/pdf/Technical%20Research/Prediction%20using%20Kalman%20Filter.pdf I'm trying to implement kalman filter for prediction. As though i do not have much exposure to kalman flter hence unable to debug what is going wrong.

Can any one help me

Following is the code in matlab:

l = length(PredictionMatrix);

R_K = 1;

H_K = [1];

F_K = [1];

P = eye(length(F_K));

X(1:length(F_K),1) = rand;

V_K(1:length(F_K)) = 10;

Xhat_K(1:length(F_K)) = rand;

Phat_K(1:length(F_K)) = 1;

for i = 2:1:l

Xhat_K(i,1) = F_K*X(i-1);

Phat_K(i,1) = F_K*P*F_K';

V_K(i,1) = PredictionMatrix(i,1) - H_K*Xhat_K(i,1);

Y_K(i,1) = H_K*Xhat_K(i)+V_K(i,1);

S_K = H_K*Phat_K(i)*H_K' +R_K;

W_K = Phat_K(i,1)*H_K'/S_K;

X(i,1) = Xhat_K(i,1)+W_K*V_K(i,1);

P = (Phat_K(i,1)-W_K*S_K*W_K')*P;

end

Xhat_K(i+1) = F_K*X(i);

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