Kalman Filter笔记(1)

　　Kalman Filter的重要性不用说，是显而易见的。有必要从多个角度去掌握Kalman Filter。

　　

      (1) OpenCV中的Kalman Filter:

  cvKalmanPredict
  estimate:
  x'(k) = A*x(k-1) + Bu(k), since we have no control matrix, x'(k) = A*x(k-1)
  P'(k) = A*P(k-1)*At + Q
 
 cvKalmanCorrect
  correct:
  K(k) = P'(k)*Ht*inv(H*P'(k)*Ht + R)
  x(k) = x'(k) + K(k)*(z(k) - H*x'(k))
  P(k) = (I - K(k)*H)*P'(k)

 

　　夜深了，先休息一下，明天继续。