explanation of EKF code required
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can anyone provide explanation for the EKF code by Yi Cao
www.mathworks.com/matlabcentral/fileexchange/18189
n=4; %number of state q=0.1; %std of process r=0.1; %std of measurement Q=q^2*eye(n); % covariance of process % or Q=diag[Q 0]; % if no process noise is included in the parameter R=r^2; % covariance of measurement f=@(x)[x(2);x(3);x(4)*x(1)*(x(2)+x(3));x(4)]; % nonlinear state equations h=@(x)x(1); % measurement equation s=[0;0;1;0.1]; % initial state x=s+q*randn(4,1); %initial state % initial state with noise P = eye(n); % initial state covraiance N=20; % total dynamic steps xV = zeros(n,N); %estmate % allocate memory sV = zeros(n,N); %actual zV = zeros(1,N); for k=1:N z = h(s) + r*randn; % measurments sV(:,k)= s; % save actual state zV(k) = z; % save measurment [x, P] = ekf(f,x,P,h,z,Q,R); % ekf xV(:,k) = x; % save estimate s = f(s) + q*randn(3,1); % update process end;
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