Basic Kalman Filter Algorithm

Version 1.0.4 (3.63 KB) by Guilherme Keiel
Computes Kalman optimal gain and MMSE estimates of a system states. Examples with a variety of models.
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Updated 30 Aug 2025

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A code to compute Kalman optimal gain and minimum mean square error (MMSE) estimates of a system states. Examples with a variety of models avaiable. Easily adaptable to other systems and inputs, which makes it good for study applications.

Cite As

Guilherme Keiel (2026). Basic Kalman Filter Algorithm (https://uk.mathworks.com/matlabcentral/fileexchange/88867-basic-kalman-filter-algorithm), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.4

Changed figure.
1.0.3

Minor adjustments. More models to test.
1.0.2

Small change related to process noise.
1.0.1

Minor changes.
1.0.0