Kalman

Documentation

extKalman :: forall m n. (KnownNat m, KnownNat n, (1 <=? n) ~ True, (1 <=? m) ~ True) => R n -> Sq n -> L m n -> Sq m -> (R n -> R n) -> (R n -> Sq n) -> Sq n -> [R m] -> [(R n, Sq n)]

Take the

• Prior mean muPrior,
• Prior variance sigmaPrior,
• Observation map (represented as a matrix) bigH,
• Observation noise bigSigmaY,
• State update function littleA,
• A function which return the Jacobian of the state update function at a given point bigABuilder,
• State noise bigSigmaX,
• List of observations ys

and return the posterior mean and variance.