https://github.com/niklasvonm/kalman-bucy-filter

Shiny App for visualizing the Kalman-Bucy-Filter with multiple models, inspired by Oeksendal (2003).
https://github.com/niklasvonm/kalman-bucy-filter

Last synced: 23 days ago
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Shiny App for visualizing the Kalman-Bucy-Filter with multiple models, inspired by Oeksendal (2003).

• Host: GitHub
• URL: https://github.com/niklasvonm/kalman-bucy-filter
• Owner: NiklasvonM
• Created: 2021-05-23T14:35:09.000Z (over 3 years ago)
• Default Branch: master
• Last Pushed: 2024-01-27T19:07:38.000Z (9 months ago)
• Last Synced: 2024-01-27T20:25:24.128Z (9 months ago)
• Language: R
• Homepage:
• Size: 358 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# Kalman-Bucy Filter

This repository contains a simple R Shiny app simulating the one-dimensional Kalman-Bucy filter - a continuous-time model for adjusting predictions of dynamic, noisy environments in real-time.

See Kalman_Bucy_Filter_Handout.pdf for my short notes or [[1]](#1) for all technical details.

![app screenshot](docs/shiny-app-screenshot.png)

## Applications

The Kalman-Bucy filter and its discrete-time-version, the Kalman filter, have been used for navigation of the Apollo Lunar Module [[2]](#1) and many other applications [[3]](#3).

## References

[1] 

[Øksendal, B. (2003). Stochastic Differential Equations, 85-104](https://doi.org/10.1007/978-3-642-14394-6_5)

[2] 

[Suddath, J. H., Kidd, R. H. III, & Reinhold, A. G. (1967). A Linearized Error Analysis of Onboard Primary Navigation Systems for the Apollo Lunar Module, NASA TN D-4427. National Aeronautics and Space Administration.](https://ntrs.nasa.gov/api/citations/19670025568/downloads/19670025568.pdf)

[3] 

[Wikipedia: Kalman filter](https://en.wikipedia.org/wiki/Kalman_filter)