contrib/oul/ouel/kalman_filter.h File Reference

A linear Kalman filter class. More...

#include <vnl/vnl_matrix.h>
#include <vcl_iosfwd.h>

Go to the source code of this file.

Classes
class	KalmanFilter

---

Detailed Description

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
   

Status: Completed

Author:

Brendan McCane

Definition in file kalman_filter.h.