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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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Instance Constructors

  1. 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

    qq

    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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  15. def predict(): Unit

    Predict the state of the process at the next time point

  16. 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

  17. final def synchronized[T0](arg0: ⇒ T0): T0
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  18. def toString(): String
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  19. val traj: MatrixD
  20. 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

  21. final def wait(): Unit
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