最牛逼的详细的描述,全英文(中国这么多大神咋没一个能写出来?):
https://www.kalmanfilter.net/alphabeta.html
简单描述
卡尔曼滤波的局限性在于其只能拟合线性高斯系统。【https://zhuanlan.zhihu.com/p/36745755】
举例:假设你只有一只眼睛,然后你要走10米出门。你肯定是走几步,感觉自己走了,然后眼睛看一眼。
不断的调节关于你与门的距离信息。
因为你一只眼睛不确定与门的距离,而感觉自己走了几米,也不确定,所以需要俩信息结合。
而卡尔曼滤波就是利用很多关于一个信息的不准确的测量结果,来得到这个信息的尽力真实的值。
直接抄维基
Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, who was one of the primary developers of its theory.
【https://en.wikipedia.org/wiki/Kalman_filter】
更通用的分析
直接测量当前信息,和通过前一次的信息推测下一次的状态,这两个信息的计算方式不是固定的,但是也不是很难懂。
关键的问题是如何合成信息,和为什么这样合成这两个信息?
维基解释原理:
The Kalman filter produces an estimate of the state of the system as an average of the system’s predicted state and of the new measurement using a weighted average. The purpose of the weights is that values with better (i.e., smaller) estimated uncertainty are “trusted” more.
权重如何计算:
The weights are calculated from the covariance, a measure of the estimated uncertainty of the prediction of the system’s state.
根据这个计算方式,那我都可以自己设计权重计算了,就是方差a1,a2。然后softmax。。。
至于如何计算方差,可以自己根据实际情况选择。
下式,pn,n-1就是你更具上一次的状态预测出的新状态的不确定性,而rn就是观测新状态得到的状态的不确定性。