Extended-Kalman-Filter---Matlab

Easy implementation of the extended Kalman Filter

Extended-Kalman-Filter---Matlab

This repo implements the extended Kalman Filter class which is a multi-purpose EKF to facilitate the implementation and verification of EKFs in Matlab for the post-processing setting.

The user has to define the following functions, and then pass them to the class initializer in order to build an instant of the EKF class:

1. = , which is a propagation function of the state vector. The output of this function must be , the predicted value of the state vector, and where is the state transition matrix between the two time instants and
2. = which is a function that returns the measurement vector at time .
3. = : is the measurement model function. The output must be the vector of modeled measurements, the matrix , and optionally the measrement vector after removing outlaiar measuremets.
4. , the state model covarience matrix (constant or callable),
5. : measurement covarience matrix (constant or callable),

The EKF class has some visualization cababilities, which are illustrated in the example.