How to set Q and R in a Kalman filter?

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Marco Maccotta 2017-5-8

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https://ww2.mathworks.cn/matlabcentral/answers/339275-how-to-set-q-and-r-in-a-kalman-filter

评论： Ahmed Gharieb naga 2024-1-27

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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Ahmed Gharieb naga 2024-1-27

Check my profile I have a function of kalman filter filter

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Answer 1

Wilson A N 2017-5-11

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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:

https://www.mathworks.com/help/control/examples/kalman-filter-design.html

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:

https://www.mathworks.com/help/ident/ug/estimating-states-of-time-varying-systems-using-kalman-filters.html