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[documentation] add reference and improvements
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FrancoisCarouge committed Aug 27, 2022
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## Member Types

| Member Type | Definition | Dimensions |
| --- | --- | --- |
| `estimate_uncertainty` | Type of the estimated covariance matrix P, also known as Σ. | x by z |
| `gain` | Type of the gain matrix K. | x by z |
| `innovation_uncertainty` | Type of the innovation uncertainty matrix S. | z by z |
| `innovation` | Type of the innovation column vector Y. | z by 1 |
| `input_control` | Type of the control transition matrix G, also known as B. | x by u |
| `input` | Type of the control column vector U. | u by 1 |
| `output_model` | Type of the observation transition matrix H, also known as C. | z by x |
| `output_uncertainty` | Type of the observation, measurement noise covariance matrix R. | z by z |
| `output` | Type of the observation column vector Z, also known as Y or O. | z by 1 |
| `process_uncertainty` | Type of the process noise covariance matrix Q. | x by x |
| `state_transition` | Type of the state transition matrix F, also known as Φ or A. | x by x |
| `state` | Type of the state estimate column vector X. | x by 1 |
| Member Type | Dimensions | Definition | Also Known As |
| --- | --- | --- | --- |
| `estimate_uncertainty` | x by x | Type of the estimated covariance matrix `p`. | P, Σ |
| `gain` | x by z | Type of the gain matrix `k`. | K |
| `innovation_uncertainty` | z by z | Type of the innovation uncertainty matrix `s`. | S |
| `innovation` | z by 1 | Type of the innovation column vector `y`. | Y |
| `input_control` | x by u | Type of the control transition matrix `g`. | G, B |
| `input` | u by 1 | Type of the control column vector `u`. | U |
| `output_model` | z by x | Type of the observation transition matrix `h`. | H, C |
| `output_uncertainty` | z by z | Type of the observation, measurement noise covariance matrix `r`. | R |
| `output` | z by 1 | Type of the observation column vector `z`. | Z, Y, O |
| `process_uncertainty` | x by x | Type of the process noise covariance matrix `q`. | Q |
| `state_transition` | x by x | Type of the state transition matrix `f`. | F, Φ, A |
| `state` | x by 1 | Type of the state estimate column vector `x`. | X |

## Member Functions

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A specialization of the standard formatter is provided for the filter. Use `std::format` to store a formatted representation of all of the characteristics of the filter in a new string. Standard format parameters to be supported.

```cpp
fcarouge::kalman k;
kalman k;

std::string message{ std::format("{}", k) };
// {"f":1,"h":1,"k":1,"p":1,"q":0,"r":0,"s":1,"x":0,"y":0,"z":0}
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Awesome resources to learn about Kalman filters:
- John Lukesh's transcription of [A New Approach to Linear Filtering and Prediction Problems](https://www.cs.unc.edu/~welch/kalman/kalmanPaper.html) by Kalman, Rudolph Emil in Transactions of the ASME - Journal of Basic Engineering, Volume 82, Series D, pp 35-45, 1960.
- [KalmanFilter.NET](https://www.kalmanfilter.net) by Alex Becker.
- [Kalman and Bayesian Filters in Python](https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python) by Roger Labbe.
- [How Kalman Filters Work](https://www.anuncommonlab.com/articles/how-kalman-filters-work) by Tucker McClure of An Uncommon Lab.
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