关于 kalman filter 中的参数整定

ref:

• http://blog.sina.com.cn/s/blog_40edfdc90102ww2o.html
• http://blog.sina.com.cn/s/blog_40edfdc90102xfex.html
• http://blog.sina.com.cn/s/blog_40edfdc90102vhmw.html
• http://blog.sina.com.cn/s/blog_40edfdc90102v5oa.html
• https://en.wikipedia.org/wiki/Kalman_filter

状态与协方差的更新方式

• 从 Kalman 滤波的公式中可以看出，状态与协方差的更新是相互独立的；所以在实现的过程中需要注意保证其协方差与状态的匹配；

Predict

• Predicted (a priori) state estimate

$${\hat{\mathbf{x}}}_{k\mid k-1}={\mathbf{F}}_k{\hat{\mathbf{x}}}_{k-1\mid k-1}+{\mathbf{B}}_k{\mathbf{u}}_k{\hat{\mathbf{x}}}_{k\mid k-1}={\mathbf{F}}_k{\hat{\mathbf{x}}}_{k-1\mid k-1}+{\mathbf{B}}_k{\mathbf{u}}_k$$

• Predicted (a priori) error covariance

$${\mathbf{P}}_{k\mid k-1}={\mathbf{F}}_k{\mathbf{P}}_{k-1\mid k-1}{\mathbf{F}}_k^{\text{T}}+{\mathbf{Q}}_k{\mathbf{P}}_{k\mid k-1}={\mathbf{F}}_k{\mathbf{P}}_{k-1\mid }$$