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https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Thomas Neidhart updated MATH-485:
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Attachment: MATH-485-cleanup.patch
Thanks for already committing the patch ;-).
I have worked on the comments from Luc and provided a cleanup patch that
corrects the following:
* added missing javadoc comments
* fixed checkstyle errors (ignoring method extension warnings as I do not know
exactly how or if to resolve them)
* added package.html
* processNoise and measurementNoise are now correctly retrieved from the
respective models every predict/correct step
@time-dependant noises:
I think this makes perfect sense, but I was unsure how to solve this in an
optimal way. By now, one could create a specific ProcessModel implementation
that returns the "right" process noise at the correct time-step. For a more
general case, one would also need the mentioned integer parameter in the
predict/correct methods, or do you think about keeping track of the iteration
internally in the Kalman filter?
> 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-cleanup.patch,
> 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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