I chose to work in ANSI C, because of its portability and ease of integration into other projects I am working on. The kalman filter code is embedded in an application which loads the simulated data from files (stored in ASCII format), performs the monte-carlo simulation, and outputs the results back in to text files.
This is code that is specific to the model used in this particular project :
This code implements the basic algorithms used, and is model independent in nature :
Instead of writing standalone utilities for generating the simulation
data, or using a pre-packaged utility, I chose to use MatLab. It allowed
me to play around with the data and get a feel for the measurement model
before the simulations, and easily analyze and plot the results.
Here are the MatLab files I used. The top-level worksheet guides you through the process,
automatically doing some of the work and providing the rest in "commented out"
form.
Data Preparation and Analysis
wad@media.mit.edu