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=0;j<50;j++)
                for (int i = 0; i < Data.Length; i++)
                {
                    double k = lp / (lp + 0.1);
                    double x = lx + k * (Data[i] - lx);
                    double p = (1 - 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(1000);
                    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！