[MATH-485] Feature Request: Kalman Filter

• Type: Wish
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Fix Version/s: 3.0
• Assignee: Unassigned
• Reporter: Benjamin McCann
• Created: 19/Jan/11 02:00
• Updated: 24/Mar/12 16:16
• Resolved: 29/Nov/11 19:37

Description

I'd love it if Commons Math could add support for the Kalman filter. Here are a few implementations that might be able to be used for reference or included if they're using compatible licenses:
http://code.google.com/p/efficient-java-matrix-library/wiki/KalmanFilterExamples
http://mathstat.asu.edu/~eubank/
http://www.fit.vutbr.cz/research/prod/index.php.en?id=53&notitle=1
http://sourceforge.net/projects/jkalman/
http://www.vni.com/products/imsl/jmsl/v30/api/com/imsl/stat/KalmanFilterEx1.html