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Kalman filter example: wrong transition matrix?
The example given on the Kalman Filter documentation page defines a position+velocity problem, with this state transition matrix F:
f.F = np.array([[1.,1.],
[0.,1.]])
From what I can tell, the upper right element should actually be dt
, not 1. I can exclude that the timestep size dt
is coincidentally 1, because further down we have f.Q = Q_discrete_white_noise(dim=2, dt=0.1, var=0.13)
.
So, afaict, here it should say
f.F = np.array([[1.,0.1],
[0.,1.]])