关于卡尔曼滤波(Kalman Filter)的很好讲解

http://bilgin.esme.org/BitsAndBytes/KalmanFilterforDummies

C#代码:

 double[] Data = new double[] { 0.39, 0.50, 0.48, 0.29, 0.25, 0.32, 0.34, 0.48, 0.41, 0.45 };
         private void kalman()
         {
             sb = new StringBuilder();
            for(int j=;j<;j++)
                 for (int i = ; i < Data.Length; i++)
                 {
                     double k = lp / (lp + 0.1);
                     double x = lx + k * (Data[i] - lx);
                     double p = ( - k) * lp;
                     sb.Append(string.Format("{0}:  {1:F3};  {2:F3};  {3:F3} \n", i, Data[i], x, p));
                     richTextBox1.BeginInvoke(new EventHandler(delegate
                     {
                         richTextBox1.Text = sb.ToString();
                         richTextBox1.SelectionStart = richTextBox1.TextLength;
                         richTextBox1.ScrollToCaret();
                     }));
                     Thread.Sleep();
                     lx = x;
                     lp = p;
                 }
         }

经多次迭代，p值得到很好收敛，是不是很简单，但实际使用还需要完善模型，调整速度、加速度、测量噪声等参数！