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https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13047964#comment-13047964
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Luc Maisonobe commented on MATH-485:
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>From a quick look, this seems good to me.
There are still some missing javadoc (on private fields) and missing </i> in
the html. It would also be nice to have in the javadoc for KalmanFilter class
an explanation of the meaning of the matrices and vectors (A = transition
matrix, B control matrix, u control vector ...).
There is one point that bothers me. The ProcessModel and MeasurementModel
interfaces define methods to retrieve the process noise and measurement noise
that don't have any parameter. Thus the user can only implement constant
noises, not time-dependant noises when he implement the interfaces (or use the
default implementation, which are constant). Wouldn't it be more general to add
an integer parameter for the step number ? The default implementation would
ignore it and always return the same matrices, but users may want to have
custom implementation using the informatio of the current step.
Concerning the formatting you should check the style with checkstyle.
Typically, tabulation is completely forbidden and for line breaks, the
operators should remain at the end of the previous line, not at the beginning
of the next line.
> 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-update1.patch,
> 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¬itle=1
> http://sourceforge.net/projects/jkalman/
> http://www.vni.com/products/imsl/jmsl/v30/api/com/imsl/stat/KalmanFilterEx1.html
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