1 | initial version |
Kalman filter applicable for linear dynamic systems. It is X[i+1] = FX[i] + BU[i] + W in common. X is N-dimensional vector. F is NN matrix. See wiki for details. In your case N = 300 000 and F matrix has 300000300000 elements. The common Kalman filter is not applicable for dense systems of such size. If X is sparse, you need to use special implementation of Kalman filter for your purposes. In other case you need some thing else.