[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: KalmanFilterExample.java
                MATH-485.patch

As I have been playing around with Kalman filters for some time now, I gave this feature request a try.

Please find attached a patch for a Kalman filter together with a (simple) test case and two examples (separate file, requires jfreechart to print some graphs).

The implementation is derived from the paper of Greg Welch and Gary Bishop and an example from Dan Simon (see javadoc for links).

This is a first, initial version, so any comments and suggestions are welcome. I tried to explain as much as possible with inline comments to ease the review process.

The test case is very rudimentary, maybe somebody has additional ideas for test cases.

> 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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