The Kalman filter is a feedback system. A Simulink model is developed to view this more clearly. From the feedback blocks, it is clear the normal Kalman filter is a linear time-variant system. By replacing the time-varying filter gain with its steady-state values, a simple linear time-invariant version of Kalman filter is provided in Simulink as well. Examples show that all these models provide similar performance.
Yi Cao (2021). Learning the Kalman Filter: A Feedback Perspective (https://www.mathworks.com/matlabcentral/fileexchange/18628-learning-the-kalman-filter-a-feedback-perspective), MATLAB Central File Exchange. Retrieved .
Inspired by: Learning the Kalman Filter in Simulink v2.1
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