kalman_voltage.m

A small experiment to understand Kalman filter

This is a small voltage measurement example to understand Kalman filter. The experiment is about measuring voltage on a multimeter. Due to noise in the multimeter we get different readings of the same voltage at different points in time. The noise is considered to be 0.1 V rms. 50 such measurements are made. A process and a measurement model are established. The Kalman filter can be tested for different values of a priori measurement error covariances and process noise covariances. Here, for instance we can see the influence of very high and very low measurement error covariances. At very high measurement error covariance the estimates almost follow the constant voltage line, i.e. the multimeter measurements are not 'trusted' very much. At very low measurement error covariance the estimates follow the measurement plot.
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