validate.py 文件源码

def sqrt_kf_sim(sim):
    """
    Process each simulation trial generated with
    :func:`setup_random_test` with a Kalman filter and return the
    posterior state estimates and error covariances.
    """
    post = defaultdict(dict)
    for l in range(sim['L']):
        x_hat_l, P_sqrt_l = sqrt_kalman_filter(sim[l]['y'],
                                               sim['H'],
                                               sim['R_sqrt'],
                                               sim['F'],
                                               sim['Q_sqrt'],
                                               sim['mu'],
                                               sim['PI_sqrt'])
        post[l]['x_hat'] = x_hat_l
        if l == 0:
            post['P'] = [NP.matmul(x, x.T) for x in P_sqrt_l]
        post[l]['error'] = []
        for x_i, x_hat_i in izip(sim[l]['x'], post[l]['x_hat']):
            post[l]['error'].append(x_hat_i - x_i)
    return post