Learning the Kalman Filter

Version 1.0.0.0 (2.83 KB) by Michael Kleder

Basic Kalman filter, heavily commented, for beginners to Kalman filtering.

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Updated 12 Oct 2005

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Editor's Note: This file was selected as MATLAB Central Pick of the Week Popular File 2008 2009 2010 2011 2012

When I first studied Kalman filtering, I saw many advanced signal processing submissions here at the MATLAB Central File exchange, but I didn't see a heavily commented, basic Kalman filter present to allow someone new to Kalman filters to learn about creating them. So, a year later, I've written a very simple, heavily commented discrete filter.

Cite As

Michael Kleder (2026). Learning the Kalman Filter (https://uk.mathworks.com/matlabcentral/fileexchange/5377-learning-the-kalman-filter), MATLAB Central File Exchange. Retrieved January 11, 2026.

MATLAB Release Compatibility

Created with R11.1

Compatible with any release

Platform Compatibility

Windows macOS Linux

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Acknowledgements

Inspired: Kalman Filter Tutorial, Learning the Extended Kalman Filter, Learning the Unscented Kalman Filter, Learning the Kalman Filter in Simulink v2.1

kalmanf(s)

Version	Published	Release Notes
1.0.0.0	12 Oct 2005	comment change	Download