Kalman Filters

How to implement Kalman filter in Phase Lock Loop? Codes or algorithms are welcome...

[Subhasmita Chakraborty]

its urgent...

Answer 1

[Ahmad Alnahlaui]

First you have to define the covariance matrices. they depend on measuring and system errors. Q=[...]; R=[...]; P=[...]; Then you should calculate the apriori estimate and the covariance matrices of the apriori estimation error. x1k+1 = f(xk,u); P1= AD*Pk*AD'+Q; Now you can calculate the weighting matrix and the final estimate. L=P1*C'*inv(C*P1*C'+R); xk+1=x1k+1+L*((ZMeasurement-(x1k+1'*C'))'); Finally, you need to calculate the covariance matrices of the aposteriori estimation error. P=(eye(n)-L*C)*P1;