2 Copyright (C) 2008-2019 EDF R&D
4 This file is part of SALOME ADAO module.
6 This library is free software; you can redistribute it and/or
7 modify it under the terms of the GNU Lesser General Public
8 License as published by the Free Software Foundation; either
9 version 2.1 of the License, or (at your option) any later version.
11 This library is distributed in the hope that it will be useful,
12 but WITHOUT ANY WARRANTY; without even the implied warranty of
13 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
14 Lesser General Public License for more details.
16 You should have received a copy of the GNU Lesser General Public
17 License along with this library; if not, write to the Free Software
18 Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
20 See http://www.salome-platform.org/ or email : webmaster.salome@opencascade.com
22 Author: Jean-Philippe Argaud, jean-philippe.argaud@edf.fr, EDF R&D
24 .. index:: single: KalmanFilter
25 .. _section_ref_algorithm_KalmanFilter:
27 Algorithme de calcul "*KalmanFilter*"
28 -------------------------------------
30 .. ------------------------------------ ..
31 .. include:: snippets/Header2Algo01.rst
33 Cet algorithme réalise une estimation de l'état d'un système dynamique par un
36 Il est théoriquement réservé aux cas d'opérateurs d'observation et d'évolution
37 incrémentale (processus) linéaires, même s'il fonctionne parfois dans les cas
38 "faiblement" non-linéaire. On peut vérifier la linéarité de l'opérateur
39 d'observation à l'aide de l':ref:`section_ref_algorithm_LinearityTest`.
41 En cas de non-linéarité, même peu marquée, on lui préférera
42 l':ref:`section_ref_algorithm_ExtendedKalmanFilter`, ou
43 l':ref:`section_ref_algorithm_EnsembleKalmanFilter` et
44 l':ref:`section_ref_algorithm_UnscentedKalmanFilter` qui sont plus puissants.
46 .. ------------------------------------ ..
47 .. include:: snippets/Header2Algo02.rst
49 .. include:: snippets/Background.rst
51 .. include:: snippets/BackgroundError.rst
53 .. include:: snippets/EvolutionError.rst
55 .. include:: snippets/EvolutionModel.rst
57 .. include:: snippets/Observation.rst
59 .. include:: snippets/ObservationError.rst
61 .. include:: snippets/ObservationOperator.rst
63 .. ------------------------------------ ..
64 .. include:: snippets/Header2Algo03AdOp.rst
66 .. include:: snippets/EstimationOf.rst
68 StoreSupplementaryCalculations
69 .. index:: single: StoreSupplementaryCalculations
71 Cette liste indique les noms des variables supplémentaires qui peuvent être
72 disponibles à la fin de l'algorithme. Cela implique potentiellement des
73 calculs ou du stockage coûteux. La valeur par défaut est une liste vide,
74 aucune de ces variables n'étant calculée et stockée par défaut. Les noms
75 possibles sont dans la liste suivante : [
76 "APosterioriCorrelations",
77 "APosterioriCovariance",
78 "APosterioriStandardDeviations",
79 "APosterioriVariances",
88 Exemple : ``{"StoreSupplementaryCalculations":["BMA", "Innovation"]}``
90 .. ------------------------------------ ..
91 .. include:: snippets/Header2Algo04.rst
93 .. include:: snippets/Analysis.rst
95 .. ------------------------------------ ..
96 .. include:: snippets/Header2Algo05.rst
98 .. include:: snippets/APosterioriCorrelations.rst
100 .. include:: snippets/APosterioriCovariance.rst
102 .. include:: snippets/APosterioriStandardDeviations.rst
104 .. include:: snippets/APosterioriVariances.rst
106 .. include:: snippets/BMA.rst
108 .. include:: snippets/CostFunctionJ.rst
110 .. include:: snippets/CostFunctionJb.rst
112 .. include:: snippets/CostFunctionJo.rst
114 .. include:: snippets/CurrentState.rst
116 .. include:: snippets/Innovation.rst
118 .. ------------------------------------ ..
119 .. include:: snippets/Header2Algo06.rst
121 - :ref:`section_ref_algorithm_ExtendedKalmanFilter`
122 - :ref:`section_ref_algorithm_EnsembleKalmanFilter`
123 - :ref:`section_ref_algorithm_UnscentedKalmanFilter`