poked kalman

src/kalman.jl

+"""
+One dimensional Kalman filter
+`kalman(R1,R2,theta, y, A, P)`
+"""
 function kalman(R1,R2,theta, y, A, P)
-    # This is really a Kalman filter, not RLS
-    ATP = A'*P;
-    K = (P*A)/(R2+ATP*A);
-    P = P - (P*A*ATP)./(R2 + ATP*A) + R1;
-    yp = A'*theta
-    e = (y-yp)[1];
-    red = 1;
-    # if abs(e) > 0.025
-    #     red = 0.2;
-    # end
-    theta = theta + K*e*red;
-
-    theta, P, e, yp[1]
+    ATP = A'P
+    K = (P*A)/(R2+ATP*A)
+    P = P - (P*A*ATP)./(R2 + ATP*A) + R1
+    yp = (A'theta)[1]
+    e = y-yp
+    theta = theta + K*e
+    return theta, P, e, yp
 end