Bayesian Filtering Library
Generated from SVN r
|
#include <SRiteratedextendedkalmanfilter.h>
Public Member Functions | |
SRIteratedExtendedKalmanFilter (Gaussian *prior, unsigned int nr_it=1) | |
virtual | ~SRIteratedExtendedKalmanFilter () |
Destructor. | |
virtual void | SysUpdate (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u) |
Perform a system update with the current measurement model ans system model using an input u. | |
virtual void | SysUpdate (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel) |
Perform a system update with the current measurement model and system model. | |
virtual void | MeasUpdate (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s) |
Perform a measurement update use a measurement model, measurements z and virutal measurements s. | |
virtual void | MeasUpdate (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z) |
Perform a measurement update use a measurement model, measurements z. | |
MatrixWrapper::Matrix | SRCovarianceGet () const |
Returns a square root of the covariance of the measurement input u. | |
void | SRCovarianceSet (MatrixWrapper::Matrix JP_new) |
Set the square root covariance to a specific value. | |
void | PriorSet (MatrixWrapper::ColumnVector &X, MatrixWrapper::SymmetricMatrix &P) |
Set mean and covariance of the state estimation to a specific value. | |
virtual void | CalculateMeasUpdate (MatrixWrapper::ColumnVector z, MatrixWrapper::ColumnVector Z, MatrixWrapper::Matrix H, MatrixWrapper::SymmetricMatrix R) |
virtual void | CalculateMatrix (MatrixWrapper::Matrix &H_i, MatrixWrapper::SymmetricMatrix &R_i, MatrixWrapper::Matrix &invS, MatrixWrapper::Matrix &Sr, MatrixWrapper::Matrix &K_i) |
Calculate K_i , invS and Sr. More... | |
virtual void | CalculateMean (MatrixWrapper::ColumnVector &x_k, const MatrixWrapper::ColumnVector &z, MatrixWrapper::ColumnVector &Z_i, MatrixWrapper::Matrix &K_i) |
Calculate the new state estimate. More... | |
virtual void | CalculateCovariance (MatrixWrapper::Matrix &R_vf, MatrixWrapper::Matrix &H_i, MatrixWrapper::Matrix &invS, MatrixWrapper::Matrix &SR) |
Calculate the covariance of the new state estimate (P_k) More... | |
virtual Gaussian * | PostGet () |
Get Posterior density. More... | |
void | AllocateMeasModel (const vector< unsigned int > &meas_dimensions) |
Function to allocate memory needed during the measurement update,. | |
void | AllocateMeasModel (const unsigned int &meas_dimensions) |
Function to allocate memory needed during the measurement update. | |
virtual void | Reset (Pdf< MatrixWrapper::ColumnVector > *prior) |
Reset Filter. | |
virtual bool | Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u, MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s) |
Full Update (system with inputs/sensing params) More... | |
virtual bool | Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s) |
Full Update (system without inputs, with sensing params) More... | |
virtual bool | Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z) |
Full Update (system without inputs/sensing params) More... | |
virtual bool | Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u, MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z) |
Full Update (system with inputs, without sensing params) More... | |
virtual bool | Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u) |
System Update (system with inputs) More... | |
virtual bool | Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel) |
System Update (system without inputs) More... | |
virtual bool | Update (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s) |
Measurement Update (system with "sensing params") More... | |
virtual bool | Update (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z) |
Measurement Update (system without "sensing params") More... | |
int | TimeStepGet () const |
Get current time. More... | |
Protected Attributes | |
ColumnVector | _Mu_new |
SymmetricMatrix | _Sigma_new |
Matrix | _Sigma_temp |
Matrix | _Sigma_temp_par |
Matrix | _SMatrix |
Matrix | _K |
double | _Nis |
std::map< unsigned int, MeasUpdateVariables > | _mapMeasUpdateVariables |
std::map< unsigned int, MeasUpdateVariables > ::iterator | _mapMeasUpdateVariables_it |
Pdf < MatrixWrapper::ColumnVector > * | _prior |
prior Pdf | |
Pdf < MatrixWrapper::ColumnVector > * | _post |
Pointer to the Posterior Pdf. More... | |
int | _timestep |
Represents the current timestep of the filter. More... | |
This is a class implementing the Kalman Filter (KF) class for Square Root Iterated Extended Kalman Filters. this is a possible implementation of a Kalman filter, which in will yield better numerical stable results, since the covariance matrix is defined as the Square root of the Covariance matrix of the state estimation. See
@Book{ Anderson_auxiliary, author = {Anderson, B.D.O. and Moore, J.B.}, title = {Optimal filtering}, publisher = {Prentice-Hall, Englewood Cliffs, NJ }, year = {1979} }
for more details. Note that this particular implementation:
Definition at line 53 of file SRiteratedextendedkalmanfilter.h.
SRIteratedExtendedKalmanFilter | ( | Gaussian * | prior, |
unsigned int | nr_it = 1 |
||
) |
Constructor
prior | pointer to the Monte Carlo Pdf prior density |
nr_it | the number of iterations in one update |
|
virtual |
Calculate the covariance of the new state estimate (P_k)
|
virtual |
Calculate K_i , invS and Sr.
|
virtual |
Calculate the new state estimate.
|
virtual |
Calculate Kalman filter Measurement Update
with
|
protectedinherited |
Calculate Kalman filter Measurement Update
with
|
protectedinherited |
Calculate Kalman filter System Update
|
virtualinherited |
Get Posterior density.
Get the current Posterior density
Reimplemented from Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >.
|
inherited |
Get current time.
Get the current time of the filter
|
virtualinherited |
Full Update (system with inputs/sensing params)
sysmodel | pointer to the system model to use for update |
u | input to the system |
measmodel | pointer to the measurement model to use for update |
z | measurement |
s | "sensing parameter" |
|
virtualinherited |
Full Update (system without inputs, with sensing params)
sysmodel | pointer to the system model to use for update |
measmodel | pointer to the measurement model to use for update |
z | measurement |
s | "sensing parameter" |
|
virtualinherited |
Full Update (system without inputs/sensing params)
sysmodel | pointer to the system model to use for update |
measmodel | pointer to the measurement model to use for update |
z | measurement |
|
virtualinherited |
Full Update (system with inputs, without sensing params)
sysmodel | pointer to the system model to use for update |
u | input to the system |
measmodel | pointer to the measurement model to use for update |
z | measurement |
|
virtualinherited |
System Update (system with inputs)
sysmodel | pointer to the system model to use for update |
u | input to the system |
|
virtualinherited |
System Update (system without inputs)
sysmodel | pointer to the system model to use for update |
|
virtualinherited |
Measurement Update (system with "sensing params")
measmodel | pointer to the measurement model to use for update |
z | measurement |
s | "sensing parameter" |
|
virtualinherited |
Measurement Update (system without "sensing params")
measmodel | pointer to the measurement model to use for update |
z | measurement |
|
protectedvirtualinherited |
Actual implementation of Update, varies along filters.
sysmodel | pointer to the used system model |
u | input param for proposal density |
measmodel | pointer to the used measurementmodel |
z | measurement param for proposal density |
s | sensor param for proposal density |
Implements Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >.
|
protectedinherited |
Pointer to the Posterior Pdf.
The Posterior Pdf represents the subjective belief of the person applying the filter AFTER processing inputs and measurements. A filter does not maintain the beliefs at all timesteps t, since this leads to non-constant (or ever growing if you prefer) memory requirements. However, it is possible, to copy the Posterior density at all timesteps in your application by means of the PostGet() member function
|
protectedinherited |