contrib/oul/ouel/kalman_filter.cxx File Reference

kalman_filter.cc: A linear Kalman filter class More...

#include "kalman_filter.h"
#include <vcl_cstdlib.h>
#include <vcl_iostream.h>
#include <vnl/algo/vnl_svd.h>

Go to the source code of this file.

Functions
vcl_ostream &	operator<< (vcl_ostream &os, const KalmanFilter &kf)
	output operator.

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Detailed Description

kalman_filter.cc: A linear Kalman filter class

Implementation of a linear Kalman filter. We want to estimate the value of a time-varying signal from a measurement and predict the next value of the signal.

The relationship between signal and measurement is: z(k) = H(k) * x(k) + v(k) measurement relation signal noise matrix

The relationship between signals at different times is: x(k+1) = A(k) * x(k) + B(k) * u(k) + w(k) signal relation signal control control noise matrix matrix signal

Copyright (c) 1999 Brendan McCane University of Otago, Dunedin, New Zealand Reproduction rights limited as described in the COPYRIGHT file.

Definition in file kalman_filter.cxx.

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Function Documentation

vcl_ostream& operator<<	(	vcl_ostream &	os,
		const KalmanFilter &	kf
	)

output operator.

Parameters:

kf	the Kalman filter to output

Todo:

under development

Author:

Brendan McCane

Definition at line 342 of file kalman_filter.cxx.