How to set Q and R in a Kalman filter?

Hi, I have a system where I estimated the parameters using RLS procedure. Now I need to implement a Kalman Filter in continuos time but I don't know how to choose Q and R. Do you have some suggestion? Thanks.

[Ahmed Gharieb naga]

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Answer 1

[Wilson A N]

As I understand the parameters Q and R are referring to the process noise covariance and sensor noise covariance matrices.

I believe this should be provided by the plant manufacturer. However, for simulation purposes, you can assume any value greater than 0 depending on how much you think the process and sensor noise affects the plant. You can refer to the following link which shows an example:

https://www.mathworks.com/help/control/examples/kalman-filter-design.html

You can also refer to the example given below where the Q and R are calculated from zero-mean, independent random variables with known variances:

https://www.mathworks.com/help/ident/ug/estimating-states-of-time-varying-systems-using-kalman-filters.html