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(x0: VectoD, ff: MatriD, hh: MatriD, qq: MatriD, rr: MatriD, bb: MatriD = null, u: VectoD = null)
- x0
the initial state vector
- 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
- u
the control vector
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def
predict(): Unit
Predict the state of the process at the next time point
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def
solve(dt: Double, u: VectoD = null): VectoD
Iteratively solve for 'x' using predict and update phases.
Iteratively solve for 'x' using predict and update phases.
- dt
the time increment (delta t)
- u
the control vector
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- val traj: MatrixD
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def
update(z: VectoD): Unit
Update the state and covariance estimates with the current and possibly noisy measurements
Update the state and covariance estimates with the current and possibly noisy measurements
- z
current measurement/observation of the state
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