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Bayesian Estimation Example

version 1.0.3 (1.34 KB) by Ayad Al-Rumaithi
Solution of Bayesian estimation example

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Updated 01 Jul 2019

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Bayesian estimation example:

We have two measurements of state (x) using two sensors. x1=3 from sensor 1 and x2=5 from sensor 2. We know that sensor 1 has zero mean Gaussian noise with variance=1 and sensor 2 has zero mean Gaussian noise with variance=0.25. Find MMSE estimate of x and its variance.

Solution: From the code attached we get:

Expected value of x=4.6
Variance of x=0.2

This can be related to Kalman filter estimation as:
K=1/(1+0.25)=0.8
x=3+K*(5-3)=4.6
P=(1-K)*1=0.2

Cite As

Ayad Al-Rumaithi (2020). Bayesian Estimation Example (https://www.mathworks.com/matlabcentral/fileexchange/71993-bayesian-estimation-example), MATLAB Central File Exchange. Retrieved .

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