MATLAB Implementation of Kalman Filter

This documentation presents MATLAB implementation source code for the Kalman filter, structured as reusable functions for ease of use. The Kalman filter is an optimal estimation algorithm for state variable tracking, while MATLAB serves as a widely-used programming language for scientific computing and engineering development. Our implementation includes key functions for prediction and update steps, utilizing matrix operations for state transition and measurement models. The code incorporates the standard Kalman filter algorithm with proper initialization, time update (prediction), and measurement update (correction) phases. We employ efficient matrix computations and handle covariance matrices appropriately to ensure numerical stability. These source codes leverage modern algorithmic techniques to guarantee accuracy and computational efficiency. We are confident that this implementation will prove valuable for researchers and engineers requiring Kalman filter applications, whether in academic research or practical engineering projects.