Saturday, April 12, 2014

Kalman Filter

Kalman filter separate signal from noise. A nice explanation and a implementation in presented in this TKJ Electronics blog post. The port to F# is straight forward.

The first example uses a course grid with respect to time. As a result, the Kalman filter cannot detect the underlying signal shape correctly. Instead, the filtered signal follows closely the noisy signal:


 
Using a finer grid for the time component, the Kalman filter is enabled to detect the true signal through the noise:



The source code is on Github.