卡尔曼滤波（Kalman filter）及预测

参考文章：https://blog.csdn.net/baidu_38172402/article/details/82289998;  https://www.jianshu.com/p/2768642e3abf

kalman滤波的作用：1.数据 滤波；2.数据预测   3.数据融合。其基本原理：是通过协方差 来进行加权。

1.什么是Kalman

      A Linear Dynamical System is a partially observed stochastic process with linear dynamics and linear observations, both subject to Gaussian noise. It can be defined as follows, where X(t) is the hidden state at time t, and Y(t) is the observation.

   x(t+1) = F*x(t) + w(t),  w ~ N(0, Q),  x(0) ~ N(X(0), V(0))
   y(t)   = H*x(t) + v(t),  v ~ N(0, R)

      The Kalman filter is an algorithm for performing filtering on this model, i.e., computing P(X(t) | Y(1), ..., Y(t)).
The Rauch-Tung-Striebel (RTS) algorithm performs fixed-interval offline smoothing, i.e., computing P(X(t) | Y(1), ..., Y(T)), for t <= T.

噪声（不确定性）来源： 1.本身的高斯噪声  2. 观测存在的噪声。

         其优势在于&