Design Case Studies

Kalman Filtering

This final case study illustrates the use of the Control System Toolbox for Kalman filter design and simulation. Both steady-state and time-varying Kalman filters are considered.

Consider the discrete plant

with additive Gaussian noise on the input and data

• A = [1.1269   -0.4940    0.1129
       1.0000         0         0
            0    1.0000         0];
  
  B = [-0.3832
        0.5919
        0.5191];
  
  C = [1 0 0]; 
  

Our goal is to design a Kalman filter that estimates the output given the inputs and the noisy output measurements

where is some Gaussian white noise.

MIMO LQG Design

Discrete Kalman Filter