[jira] [Updated] (MATH-485) Feature Request: Kalman Filter

["Thomas Neidhart (JIRA)" <ji...@apache.org>]

     [ https://issues.apache.org/jira/browse/MATH-485?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Thomas Neidhart updated MATH-485:
---------------------------------

    Attachment: MATH-485-update1.patch

Following the comments from Gilles and Benjamin, I have updated the patch and removed the serialization code.

Additionally, I have added ProcessModel and MeasurementModel interfaces and default implementations for them that take either double[][] or RealMatrix/RealVector input values. These classes basically serve as data holder. I would be pleased to get some feedback about this change from somebody else.

Note: sorry for the formatting, but the apache-commons formatting style I have found on the web (from luc) makes the code unreadable, so I have used the default one provided by eclipse.

> 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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