python卡尔曼多维_kalman filter using python

代码1

代码2

# Kalman filter example demo in Python

# A Python implementation of the example given in pages 11-15 of "An

# Introduction to the Kalman Filter" by Greg Welch and Gary Bishop,

# University of North Carolina at Chapel Hill, Department of Computer

# Science, TR 95-041,

# http://www.cs.unc.edu/~welch/kalman/kalmanIntro.html

# by Andrew D. Straw

import numpy

import pylab

# intial parameters

n_iter = 50

sz = (n_iter,) # size of array

x = -0.37727 # truth value (typo in example at top of p. 13 calls this z)

z = numpy.random.normal(x,0.1,size=sz) # observations (normal about x, sigma=0.1)

Q = 1e-5 # process variance

# allocate space for arrays

xhat=numpy.zeros(sz)      # a posteri estimate of x

P=numpy.zeros(sz)         # a posteri error e