class KalmanFilter extends AnyRef
The KalmanFilter class is used to fit state-space models.
- See also
en.wikipedia.org/wiki/Kalman_filter FIX: needs more thorough testing
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new
KalmanFilter(ff: MatrixD, hh: MatrixD, qq: MatrixD, rr: MatrixD, bb: MatrixD = null)
- ff
the state transition matrix
- hh
the observation matrix
the process noise covariance matrix
- rr
the observation noise covariance matrix
- bb
the optional control-input matrix
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def
solve(x0: VectorD, dt: Double, u: VectorD = null): VectorD
Iteratively solve for 'x' using predict and update phases.
Iteratively solve for 'x' using predict and update phases.
- x0
the initial state vector
- dt
the time increment (delta t)
- u
the control vector
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- val traj: MatrixD
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