Python中的卡尔曼平滑器

Question

我的数据

1    14.7
2    14.58
3    14.82
4    14.59
5    14.67
...  ...
150  13.76

我已经绘制了图形和上/下信封线。接下来，我要对u / l包络线应用Kalman平滑器。有关于卡尔曼平滑器的适当示例吗？

Answer 1

def kalmanfilter(x,p,z,r):
    # p - estimate unceratininty 
    # r - measurement unceratininty ( σ2 )  
    # z - Measured System State

    # Kalman gain calculation
    K =  p/(p+r)
    # estimate current state
    x1 = x + K*(z-x)
    # update current estimate uncertainity
    p1 = (1-K)*p

    return (x1,p1)