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From "Luc Maisonobe (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-485) Feature Request: Kalman Filter
Date Sat, 11 Jun 2011 18:32:59 GMT

    [ https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13047964#comment-13047964
] 

Luc Maisonobe commented on MATH-485:
------------------------------------

>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&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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