\ucd5c\uadfc \uba87 \ub144\uac04 \uae08\uc735 \uc2dc\uc7a5\uc740 \uae30\uc220 \ubc1c\uc804\uacfc \ud568\uaed8 \ube60\ub974\uac8c \ubcc0\ud654\ud574\uc654\uc2b5\ub2c8\ub2e4. \uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd \uae30\uc220\uc740 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529, \ud2b9\ud788 \uc54c\ud30c \ud329\ud130\uc758 \uac1c\ubc1c\uacfc \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654 \ubd84\uc57c\uc5d0\uc11c \uc911\uc694\ud55c \uc5ed\ud560\uc744 \ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4. \uc774 \uae00\uc5d0\uc11c\ub294 \uce7c\ub9cc \ud544\ud130\ub97c \uc0ac\uc6a9\ud558\uc5ec \uc54c\ud30c \ud329\ud130\uc758 \uacfc Noise\ub97c \ucd5c\uc18c\ud654\ud558\uace0, \uc774\ub7ec\ud55c \uc811\uadfc\ubc95\uc744 \ud1b5\ud574 \uc131\ub2a5\uc744 \ud5a5\uc0c1\uc2dc\ud0a4\ub294 \ubc29\ubc95\uc5d0 \ub300\ud574 \ub17c\uc758\ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uc815\ud574\uc9c4 \uaddc\uce59\uc5d0 \ub530\ub77c \uc790\ub3d9\uc73c\ub85c \ub9e4\ub9e4\ub97c \uc218\ud589\ud558\ub294 \uae30\ubc95\uc785\ub2c8\ub2e4. \uc8fc\uc2dd, \ucc44\uad8c, \uc678\ud658 \ub4f1 \ub2e4\uc591\ud55c \uc790\uc0b0 \ud074\ub798\uc2a4\uc5d0\uc11c \ud3ed\ub113\uac8c \ud65c\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc758 \ubaa9\ud45c\ub294 \ub370\uc774\ud130 \ubd84\uc11d\uacfc \uc218\ud559\uc801 \ubaa8\ub378\ub9c1\uc744 \ud1b5\ud574 \uc2dc\uc7a5\uc758 \ube44\ud6a8\uc728\uc131\uc744 \ud3ec\ucc29\ud558\uace0, \uc774\ub97c \ubc14\ud0d5\uc73c\ub85c \uc218\uc775\uc744 \uadf9\ub300\ud654\ud558\ub294 \uac83\uc785\ub2c8\ub2e4.<\/p>\n
\uc54c\ud30c \ud329\ud130\ub780 \ud2b9\uc815 \uc790\uc0b0\uc758 \ucd08\uacfc \uc218\uc775\uc744 \uc608\uce21\ud558\uae30 \uc704\ud55c \uc9c0\ud45c\ub85c, \uc77c\ubc18\uc801\uc73c\ub85c \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc744 \ud1b5\ud574 \ucd94\uc815\ub429\ub2c8\ub2e4. \uc54c\ud30c \ud329\ud130\ub294 \uc218\uc775\ub960\uc744 \uc608\uce21\ud558\ub294 \ub370 \ub3c4\uc6c0\uc744 \uc8fc\ub294 \ub2e4\uc591\ud55c \ub3c5\ub9bd \ubcc0\uc218\ub97c \ud3ec\ud568\ud558\uba70, \uc774\ub97c \ud1b5\ud574 \ud22c\uc790 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uba38\uc2e0\ub7ec\ub2dd\uc740 \ub370\uc774\ud130\uc5d0\uc11c \ud328\ud134\uc744 \uc778\uc2dd\ud558\uace0 \uc608\uce21\ud558\ub294 \uc54c\uace0\ub9ac\uc998\uc744 \uac1c\ubc1c\ud558\ub294 \ub370 \ud544\uc218\uc801\uc778 \uc694\uc18c\uc785\ub2c8\ub2e4. \uc804\ud1b5\uc801\uc778 \ud1b5\uacc4 \ubaa8\ub378\uc5d0 \ube44\ud574 \uba38\uc2e0\ub7ec\ub2dd\uc740 \ub354 \ub9ce\uc740 \ub370\uc774\ud130\uc640 \ubcf5\uc7a1\ud55c \uc0c1\uad00\uad00\uacc4\ub97c \ub2e4\ub8f0 \uc218 \uc788\ub294 \uc7a5\uc810\uc774 \uc788\uc2b5\ub2c8\ub2e4. \ub525\ub7ec\ub2dd\uc740 \uba38\uc2e0\ub7ec\ub2dd\uc758 \ud558\uc704 \uc9d1\ud569\uc73c\ub85c, \uc778\uacf5 \uc2e0\uacbd\ub9dd\uc744 \uc0ac\uc6a9\ud558\uc5ec \ubcf4\ub2e4 \ubcf5\uc7a1\ud55c \ub370\uc774\ud130\uc758 \ud2b9\uc9d5\uc744 \uc790\ub3d9\uc73c\ub85c \ucd94\ucd9c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0\uc11c \uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd\uc758 \uc801\uc6a9 \uc608\ub85c\ub294 \ub2e4\uc74c\uacfc \uac19\uc740 \uac83\ub4e4\uc774 \uc788\uc2b5\ub2c8\ub2e4:<\/p>\n
\uc54c\ud30c \ud329\ud130\ub294 \uc608\uce21\uc758 \uc815\ud655\uc131\uc744 \ub192\uc774\uae30 \uc704\ud574 \uc7a1\uc74c\uc744 \uc81c\uac70\ud558\ub294 \uac83\uc774 \uc911\uc694\ud569\ub2c8\ub2e4. \uc7a1\uc74c\uc774\ub780 \ubd88\ud544\uc694\ud55c \ub370\uc774\ud130 \ubcc0\ub3d9\uc73c\ub85c, \uc774\ub294 \uc815\ud655\ud55c \uc608\uce21\uc744 \ubc29\ud574\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub530\ub77c\uc11c \uc54c\ud30c \ud329\ud130\uc5d0\uc11c \ubd88\ud544\uc694\ud55c \ubcc0\ub3d9\uc131\uc744 \ucd5c\uc18c\ud654\ud558\ub294 \uac83\uc774 \uc131\ud328\uc758 \uc5f4\uc1e0\uac00 \ub429\ub2c8\ub2e4.<\/p>\n
\uce7c\ub9cc \ud544\ud130\ub294 \uc7a1\uc74c\uc744 \uc904\uc774\uace0, \uc2e0\ud638\ub97c \ucd94\uc815\ud558\ub294 \ub370 \ub9e4\uc6b0 \uc720\uc6a9\ud55c \ub3c4\uad6c\uc785\ub2c8\ub2e4. \uc774\ub97c \ud1b5\ud574 \ub450 \uac00\uc9c0 \uc8fc\uc694 \uc791\uc5c5\uc744 \uc218\ud589\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4:<\/p>\n
\uce7c\ub9cc \ud544\ud130\ub294 \ub3d9\uc801 \uc2dc\uc2a4\ud15c\uc758 \uc0c1\ud0dc\ub97c \uc608\uce21\ud558\uace0 \uad00\uce21\uc790\ub8cc\ub85c\ubd80\ud130 \ucd94\uc815\ud558\ub294 \uc54c\uace0\ub9ac\uc998\uc785\ub2c8\ub2e4. \uc8fc\ub85c \uc5f0\uc18d\uc801\uc778 \uc2dc\uac04\uc5d0 \uc9c4\ud589\ub418\ub294 \uc2dc\uc2a4\ud15c\uc5d0\uc11c \uc0ac\uc6a9\ub418\uba70, \uc0c1\ud0dc \ubcc0\uc218\uc758 \ud655\ub960\uc801 \ubaa8\ub378\uacfc \ub178\uc774\uc988 \ubaa8\ub378\uc744 \uacb0\ud569\ud558\uc5ec \ucd5c\uc801\uc758 \ucd94\uc815\uac12\uc744 \uc81c\uacf5\ud569\ub2c8\ub2e4.<\/p>\n
\uce7c\ub9cc \ud544\ud130\ub294 \ubc18\ubcf5\uc801\uc73c\ub85c \ub2e4\uc74c \ub450 \uac00\uc9c0 \ub2e8\uacc4\ub97c \uc218\ud589\ud569\ub2c8\ub2e4:<\/p>\n
\uce7c\ub9cc \ud544\ud130\uc758 \uae30\ubcf8 \uc54c\uace0\ub9ac\uc998\uc740 \ub2e4\uc74c\uc758 \uc218\uc2dd\uc73c\ub85c \ud45c\ud604\ub429\ub2c8\ub2e4:<\/p>\n
\n1. \uc608\uce21 \ub2e8\uacc4:\n - \uc0c1\ud0dc \uc608\uce21: x_hat_k = F * x_hat_k-1 + B * u_k + w_k\n - \uc624\ucc28 \uacf5\ubd84\uc0b0 \uc608\uce21: P_k = F * P_k-1 * F^T + Q\n\n2. \uc5c5\ub370\uc774\ud2b8 \ub2e8\uacc4:\n - \uce7c\ub9cc \uc774\ub4dd \uacc4\uc0b0: K_k = P_k * H^T * (H * P_k * H^T + R)^(-1)\n - \uc0c1\ud0dc \uc5c5\ub370\uc774\ud2b8: x_hat_k = x_hat_k + K_k * (z_k - H * x_hat_k)\n - \uc624\ucc28 \uacf5\ubd84\uc0b0 \uc5c5\ub370\uc774\ud2b8: P_k = P_k - K_k * H * P_k\n<\/pre>\n\uc5ec\uae30\uc11c : <\/p>\n
\uc774\uc81c \uce7c\ub9cc \ud544\ud130\ub97c \uc0ac\uc6a9\ud558\uc5ec \uc54c\ud30c \ud329\ud130\uc758 \uc7a1\uc74c\uc744 \uc81c\uac70\ud558\ub294 \ubc29\ubc95\uc5d0 \ub300\ud574 \uc0b4\ud3b4\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uc774 \uacfc\uc815\uc740 \ud06c\uac8c \ub370\uc774\ud130 \uc804\ucc98\ub9ac, \ubaa8\ub378 \uac1c\ubc1c, \uad6c\ud604 \ub2e8\uacc4\ub85c \ub098\ub20c \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uccab \ubc88\uc9f8 \ub2e8\uacc4\ub294 \uc54c\ud30c \ud329\ud130\uc5d0 \uc0ac\uc6a9\ud560 \ub370\uc774\ud130\ub97c \uc218\uc9d1\ud558\uace0 \uc804\ucc98\ub9ac\ud558\ub294 \uac83\uc785\ub2c8\ub2e4. \ub2e4\uc74c\uacfc \uac19\uc740 \ub370\uc774\ud130\uac00 \ud3ec\ud568\ub420 \uc218 \uc788\uc2b5\ub2c8\ub2e4:<\/p>\n
\uc218\uc9d1\ub41c \ub370\uc774\ud130\ub294 \uacb0\uce21\uac12 \uc81c\uac70, \uc815\uaddc\ud654 \ubc0f \ud45c\uc900\ud654\ub97c \ud1b5\ud574 \ucc98\ub9ac\ud574\uc57c \ud569\ub2c8\ub2e4. \uc774 \uacfc\uc815\uc5d0\uc11c \ub178\uc774\uc988\ub97c \uc904\uc774\uae30 \uc704\ud574 \uc801\uc808\ud55c \ud544\ud130\ub9c1 \uae30\ubc95\uc744 \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uce7c\ub9cc \ud544\ud130\ub97c \uc0ac\uc6a9\ud55c \ubaa8\ub378\uc744 \uac1c\ubc1c\ud558\ub294 \uacfc\uc815\uc740 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:<\/p>\n
\uc774\uc81c \uc55e\uc11c \uc815\uc758\ud55c \uc694\uc18c\ub97c \uae30\ubc18\uc73c\ub85c \uce7c\ub9cc \ud544\ud130\ub97c \uad6c\ud604\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. Python\uc744 \uc0ac\uc6a9\ud55c \uc608\uc2dc \ucf54\ub4dc\ub294 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:<\/p>\n
import numpy as np\n\n# \uce7c\ub9cc \ud544\ud130 \ud074\ub798\uc2a4 \uc815\uc758\nclass KalmanFilter:\n def __init__(self, F, H, Q, R, x0, P0):\n self.F = F # \uc0c1\ud0dc \uc804\uc774 \ud589\ub82c\n self.H = H # \uad00\uce21 \ud589\ub82c\n self.Q = Q # \ud504\ub85c\uc138\uc2a4 \ub178\uc774\uc988 \uacf5\ubd84\uc0b0\n self.R = R # \uad00\uce21 \ub178\uc774\uc988 \uacf5\ubd84\uc0b0\n self.x = x0 # \ucd08\uae30 \uc0c1\ud0dc\n self.P = P0 # \ucd08\uae30 \uc624\ucc28 \uacf5\ubd84\uc0b0\n\n def predict(self):\n self.x = self.F @ self.x\n self.P = self.F @ self.P @ self.F.T + self.Q\n\n def update(self, z):\n y = z - self.H @ self.x # \uc794\ucc28\n S = self.H @ self.P @ self.H.T + self.R # \uc794\ucc28 \uacf5\ubd84\uc0b0\n K = self.P @ self.H.T @ np.linalg.inv(S) # \uce7c\ub9cc \uc774\ub4dd\n\n self.x = self.x + K @ y # \uc0c1\ud0dc \uc5c5\ub370\uc774\ud2b8\n self.P = self.P - K @ self.H @ self.P # \uc624\ucc28 \uacf5\ubd84\uc0b0 \uc5c5\ub370\uc774\ud2b8\n\n# \uc608\uc2dc \ub370\uc774\ud130\nobservations = np.array([10, 12, 11, 13, 15])\nF = np.eye(1)\nH = np.eye(1)\nQ = np.array([[1]])\nR = np.array([[2]])\nx0 = np.array([[0]])\nP0 = np.eye(1)\n\nkf = KalmanFilter(F, H, Q, R, x0, P0)\n\n# \uc54c\uace0\ub9ac\uc998 \uc2e4\ud589\nfor z in observations:\n kf.predict()\n kf.update(z)\n print(\"\ucd94\uc815\ub41c \uc0c1\ud0dc:\", kf.x)\n<\/code><\/pre>\n6. \uacb0\uacfc \ubd84\uc11d \ubc0f \ud3c9\uac00<\/h2>\n
\uce7c\ub9cc \ud544\ud130\ub97c \ud1b5\ud574 \ub178\uc774\uc988\uac00 \uc81c\uac70\ub41c \uc54c\ud30c \ud329\ud130\uc758 \uc131\ub2a5\uc744 \ud3c9\uac00\ud558\ub294 \uac83\uc774 \uc911\uc694\ud569\ub2c8\ub2e4. \uc774\ub97c \uc704\ud574 \ub2e4\uc591\ud55c \uc9c0\ud45c\ub97c \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4:<\/p>\n
\n- Sharpe \ube44\uc728 \u2013 \uc704\ud5d8 \ub300\ube44 \uc218\uc775\ub960<\/li>\n
- Maximum Drawdown \u2013 \ucd5c\ub300 \uc190\uc2e4\ud3ed<\/li>\n
- \uac00\uc6b0\uc2dc\uc548 \ud14c\uc2a4\ud2b8 \u2013 \ub370\uc774\ud130\uc758 \uc815\uaddc\uc131 \ud3c9\uac00<\/li>\n<\/ul>\n
\uc774\ub7ec\ud55c \uc9c0\ud45c\ub4e4\uc744 \ud1b5\ud574 \uce7c\ub9cc \ud544\ud130\ub97c \uc0ac\uc6a9\ud558\uc5ec \uc7a1\uc74c\uc774 \uc81c\uac70\ub41c \uc54c\ud30c \ud329\ud130\uc758 \uc131\uacfc\ub97c \ud3c9\uac00\ud558\uace0, \uc774\ub294 \uace7 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc758 \uc131\uacfc\ub85c \uc774\uc5b4\uc9c8 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uacb0\ub860<\/h2>\n
\uce7c\ub9cc \ud544\ud130\ub294 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0 \uc788\uc5b4 \uc54c\ud30c \ud329\ud130\uc758 \uc7a1\uc74c\uc744 \ud6a8\uacfc\uc801\uc73c\ub85c \uc81c\uac70\ud558\ub294 \ub3c4\uad6c\uc785\ub2c8\ub2e4. \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \uae30\uc220\uacfc \ud568\uaed8 \ud65c\uc6a9\ud558\uc5ec \uc2dc\uc7a5\uc758 \ube44\ud6a8\uc728\uc131\uc744 \uadf9\ubcf5\ud558\uace0, \uc218\uc775\uc744 \ud6a8\uacfc\uc801\uc73c\ub85c \uadf9\ub300\ud654\ud560 \uc218 \uc788\ub294 \uac00\ub2a5\uc131\uc744 \uc81c\uc2dc\ud569\ub2c8\ub2e4.<\/p>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc758 \uc131\uacf5\uc740 \ub370\uc774\ud130\uc758 \uc9c8, \uc54c\uace0\ub9ac\uc998\uc758 \ud6a8\uc728\uc131, \uadf8\ub9ac\uace0 \ucd5c\uc801\ud654 \uacfc\uc815\uc5d0 \ub2ec\ub824 \uc788\uc2b5\ub2c8\ub2e4. \uce7c\ub9cc \ud544\ud130\uc640 \uac19\uc740 \uace0\uae09 \uae30\uc220\uc744 \ub3c4\uc785\ud568\uc73c\ub85c\uc368 \uac70\ub798 \uc804\ub7b5\uc758 \uc2e0\ub8b0\uc131\uc744 \ub192\uc774\uace0, \ub354 \ub098\uc740 \ud22c\uc790 \uc131\uacfc\ub97c \ub204\ub9b4 \uc218 \uc788\uc744 \uac83\uc785\ub2c8\ub2e4.<\/p>\n
\uc774\uc81c \uc5ec\ub7ec\ubd84\ub3c4 \uc774 \uae30\uc220\uc744 \ud65c\uc6a9\ud558\uc5ec \uc790\uc2e0\ub9cc\uc758 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud574\ubcf4\uc138\uc694!<\/p>\n
<\/body><\/p>\n","protected":false},"excerpt":{"rendered":"