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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-485) Feature Request: Kalman Filter
Date Mon, 18 Apr 2011 13:13:05 GMT

    [ https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13021019#comment-13021019
] 

Thomas Neidhart commented on MATH-485:
--------------------------------------

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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