Corrects the prediction using a new measurement, weighted by the Kalman Gain ( ) .
Model:
He explains how the filter uses the previous estimate to calculate the current one, meaning you don't need to store a massive history of data. Corrects the prediction using a new measurement, weighted
: You can find the sample MATLAB/Octave code directly on the author's Phil Kim GitHub repository . Corrects the prediction using a new measurement, weighted
If your GPS is cheap and noisy, the filter trusts the prediction more. Corrects the prediction using a new measurement, weighted
The "Magic" is that the filter constantly updates this gain. If the sensor starts failing, the filter automatically shifts its weight to the prediction. Simple MATLAB Example: Estimating a Constant