What is the relationship Q, R and P in Kalman Filter?

Now I'm studying Kalman Filter.

Actually, I know what is Q, R, P, but I don't know how to regulate those.

I set the noise of system and sensor as 3 and 2 each and I set the Q and R as 3^2 and 2^2.

I think it will be the best cuz I regulate Q and R accurately.

Am I right?

I set the Q and R accurately, But my code doesn't work as above.

But I set the Q and R very small value, for example, Q = 0.0001, R = 0.01, then the result is better than Q = 3^2 and R = 2^2.

Why my theory and the practice doesn't match?

I uploaded the my file.

Please check this file..

Answer 1

[Sulaymon Eshkabilov]

Hi,

It is nice that you are trying to design your own Kalman filter. But why not to play with MATLAB's built in Kalman filter:

https://www.mathworks.com/help/control/ref/ss.kalman.html

Good luck.

[Junu Lee]

Because this is a homework...