Heliostat, as a concentrator reflecting the incident solar energy to the receiver located at the tower, is the most important system in the tower-type solar thermal power plant, since it determines the efficiency and performance of solar thermal plower plant. Thus, a good sun tracking ability as well as its good optical property are required. In this paper, we propose a method to compensate the heliostat sun tracking error. We first model the sun tracking error, which could be measured using BCS (Beam Characterization System), by multilayered neural network. Then the extended Kalman filter was employed to train the neural network. Finally the model is used to compensate the sun tracking errors. Simulated result shows that the method proposed in this paper improve the heliostat sun tracking performance dramatically. It also shows that the training of neural network by the extended Kalman filter provides faster convergence property, more accurate estimation and higher measurement noise rejection ability compared with the other training methods like gradient descent method.