root/library/tests/tutorial/kalman_simple.cpp @ 384

#include "estim/kalman.h"
using namespace bdm;
        
// estimation of AR(0) model
int main() {
        //dimensions
        int dx=3, dy=3, du=1;
        // matrices
        mat A = eye(dx);
        mat B = zeros(dx,du);
        mat C = eye(dx);
        mat D = zeros(dy,du);
        mat Q = eye(dx);
        mat R = 0.1*eye(dy);
        //prior
        mat P0 = 100*eye(dx);
        vec mu0 = zeros(dx);
        // Estimator
        KalmanCh KF;
        KF.set_parameters(A,B,C,D,/*covariances*/ Q,R);
        KF.set_statistics(mu0,P0);
        // Estimation loop
        for (int i=0;i<100;i++){
                KF.bayes(randn(dx+du));
        }
        //print results
        cout << "Posterior estimate of x is: "  << endl;
        cout << "mean: "<< KF.posterior().mean()<< endl;
        cout << "variance: "<< KF.posterior().variance()<< endl;
}