Scala for Machine Learning - Second Edition

The discrete Kalman filter

The Kalman filter is a mathematical model that provides an accurate and recursive computation approach to estimate the previous states and predict the future states of a process for which some variables may be unknown. R.E. Kalman introduced it in the early 1960s to model dynamics systems and predict trajectory in aerospace [3:11]. Today, the Kalman filter is used to discover a relationship between two observed variables that may or may not be associated with other hidden variables. In this respect, the Kalman filter shares some similarities with the hidden Markov model (HMM) described in the Hidden Markov model section of Chapter 7, Sequential Data Models [3:12].

The Kalman filter is:

• A predictor of the next data point ...