[jira] [Commented] (MATH-485) Feature Request: Kalman Filter

[Thomas Neidhart (JIRA)]

    [ 
https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13021019#comment-13021019
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Thomas Neidhart commented on MATH-485:
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some additional rationale to the current interface design:

 - predict and correct methods exist for both, double[] and RealVector input 
parameters for convenience reasons
 - the constructor only supports RealMatrix objects, as there are a number of 
required parameters, but a separate one could be added that takes double[][] if 
this is deemed helpful
 - the initial state and error covariance can be set after construction to 
reduce the number of parameters in the constructor (no check is yet being made 
if the filter is still in initialization mode)

> Feature Request: Kalman Filter
> ------------------------------
>
>                 Key: MATH-485
>                 URL: https://issues.apache.org/jira/browse/MATH-485
>             Project: Commons Math
>          Issue Type: Wish
>            Reporter: Benjamin McCann
>             Fix For: 3.0
>
>         Attachments: KalmanFilterExample.java, MATH-485.patch
>
>
> I'd love it if Commons Math could add support for the Kalman filter.  Here 
> are a few implementations that might be able to be used for reference or 
> included if they're using compatible licenses:
> http://code.google.com/p/efficient-java-matrix-library/wiki/KalmanFilterExamples
> http://mathstat.asu.edu/~eubank/
> http://www.fit.vutbr.cz/research/prod/index.php.en?id=53&notitle=1
> http://sourceforge.net/projects/jkalman/
> http://www.vni.com/products/imsl/jmsl/v30/api/com/imsl/stat/KalmanFilterEx1.html

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