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SRIteratedExtendedKalmanFilter Class Reference

#include <SRiteratedextendedkalmanfilter.h>

Inheritance diagram for SRIteratedExtendedKalmanFilter:
KalmanFilter Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >

List of all members.

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.
virtual void CalculateMean (MatrixWrapper::ColumnVector &x_k, const MatrixWrapper::ColumnVector &z, MatrixWrapper::ColumnVector &Z_i, MatrixWrapper::Matrix &K_i)
 Calculate the new state estimate.
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)
virtual GaussianPostGet ()
 Get Posterior density.
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)
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)
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)
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)
virtual bool Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u)
 System Update (system with inputs)
virtual bool Update (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel)
 System Update (system without inputs)
virtual bool Update (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s)
 Measurement Update (system with "sensing params")
virtual bool Update (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z)
 Measurement Update (system without "sensing params")
int TimeStepGet () const
 Get current time.

Protected Member Functions

void PostSigmaSet (const MatrixWrapper::SymmetricMatrix &s)
 Set covariance of posterior estimate.
void PostMuSet (const MatrixWrapper::ColumnVector &c)
 Set expected value of posterior estimate.
void CalculateSysUpdate (const MatrixWrapper::ColumnVector &J, const MatrixWrapper::Matrix &F, const MatrixWrapper::SymmetricMatrix &Q)
void CalculateMeasUpdate (const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &Z, const MatrixWrapper::Matrix &H, const MatrixWrapper::SymmetricMatrix &R)
virtual bool UpdateInternal (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u, MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s)
 Actual implementation of Update, varies along filters.

Protected Attributes

ColumnVector _Mu_new
SymmetricMatrix _Sigma_new
Matrix _Sigma_temp
Matrix _Sigma_temp_par
Matrix _SMatrix
Matrix _K
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.
int _timestep
 Represents the current timestep of the filter.

Friends

class NonminimalKalmanFilter

Detailed Description

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.


Constructor & Destructor Documentation

SRIteratedExtendedKalmanFilter ( Gaussian prior,
unsigned int  nr_it = 1 
)

Constructor

Precondition:
you created the prior
Parameters:
priorpointer to the Monte Carlo Pdf prior density
nr_itthe number of iterations in one update

Member Function Documentation

virtual void CalculateCovariance ( MatrixWrapper::Matrix &  R_vf,
MatrixWrapper::Matrix &  H_i,
MatrixWrapper::Matrix &  invS,
MatrixWrapper::Matrix &  SR 
) [virtual]

Calculate the covariance of the new state estimate (P_k)

\[ JP = JP-JP*JP^{'}*H_k^{'}*inv(S)^{'}*inv(R+Sr)*H_k*JP \]

\[ P_k=JP*JP^{'} \]

virtual void CalculateMatrix ( MatrixWrapper::Matrix &  H_i,
MatrixWrapper::SymmetricMatrix &  R_i,
MatrixWrapper::Matrix &  invS,
MatrixWrapper::Matrix &  Sr,
MatrixWrapper::Matrix &  K_i 
) [virtual]

Calculate K_i , invS and Sr.

\[ Sr= cholesky(H_i*JP*JP^{'}*H_i^{'}+R_i)^{'} \]

\[ invS=inv(Sr)\]

\[ K_i=JP*JP^{'}*H_i^{'}*invS^{'}*invS \]

virtual void CalculateMean ( MatrixWrapper::ColumnVector &  x_k,
const MatrixWrapper::ColumnVector &  z,
MatrixWrapper::ColumnVector &  Z_i,
MatrixWrapper::Matrix &  K_i 
) [virtual]

Calculate the new state estimate.

\[ x_k = x_{k-} + K.(z - Z) \]

void CalculateMeasUpdate ( const MatrixWrapper::ColumnVector &  z,
const MatrixWrapper::ColumnVector &  Z,
const MatrixWrapper::Matrix &  H,
const MatrixWrapper::SymmetricMatrix &  R 
) [protected, inherited]

Calculate Kalman filter Measurement Update

\[ x_k = x_{k-} + K.(z - Z) \]

\[ P_k = (I-K.H).P_{k-} \]

with

\[ K = P_{k-}.H'.(H.P_{k-}.H'+R)^{-1} \]

virtual void CalculateMeasUpdate ( MatrixWrapper::ColumnVector  z,
MatrixWrapper::ColumnVector  Z,
MatrixWrapper::Matrix  H,
MatrixWrapper::SymmetricMatrix  R 
) [virtual]

Calculate Kalman filter Measurement Update

\[ x_k = x_{k-} + K.(z - Z) \]

\[ S=(H_k*J_k*J_k^{'}*H_k+D*R*D^{'})^{'} \]

\[ Sr=cholesky(S)^{'}\]

\[ J_k = J_k-J_k*J_k^{'}*H^{'}*inv(S)^{'}*inv(R+Sr)*H_k*J_k \]

with

\[ K = J_{k}*J_{k}^{'}*H'*inv(S)^{'}*inv(S) \]

void CalculateSysUpdate ( const MatrixWrapper::ColumnVector &  J,
const MatrixWrapper::Matrix &  F,
const MatrixWrapper::SymmetricMatrix &  Q 
) [protected, inherited]

Calculate Kalman filter System Update

\[ x_k = J \]

\[ P_k = F.P_{k-}.F' + Q \]

virtual Gaussian* PostGet ( ) [virtual, inherited]

Get Posterior density.

Get the current Posterior density

Returns:
a pointer to the current posterior

Reimplemented from Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >.

int TimeStepGet ( ) const [inherited]

Get current time.

Get the current time of the filter

Returns:
the current timestep
virtual bool Update ( MeasurementModel< MatrixWrapper::ColumnVector , MatrixWrapper::ColumnVector > *const  measmodel,
const MatrixWrapper::ColumnVector &  z 
) [virtual, inherited]

Measurement Update (system without "sensing params")

Parameters:
measmodelpointer to the measurement model to use for update
zmeasurement
virtual bool Update ( SystemModel< MatrixWrapper::ColumnVector > *const  sysmodel,
MeasurementModel< MatrixWrapper::ColumnVector , MatrixWrapper::ColumnVector > *const  measmodel,
const MatrixWrapper::ColumnVector &  z 
) [virtual, inherited]

Full Update (system without inputs/sensing params)

Parameters:
sysmodelpointer to the system model to use for update
measmodelpointer to the measurement model to use for update
zmeasurement
virtual bool Update ( SystemModel< MatrixWrapper::ColumnVector > *const  sysmodel,
const MatrixWrapper::ColumnVector &  u,
MeasurementModel< MatrixWrapper::ColumnVector , MatrixWrapper::ColumnVector > *const  measmodel,
const MatrixWrapper::ColumnVector &  z 
) [virtual, inherited]

Full Update (system with inputs, without sensing params)

Parameters:
sysmodelpointer to the system model to use for update
uinput to the system
measmodelpointer to the measurement model to use for update
zmeasurement
virtual bool Update ( SystemModel< MatrixWrapper::ColumnVector > *const  sysmodel) [virtual, inherited]

System Update (system without inputs)

Parameters:
sysmodelpointer to the system model to use for update
virtual bool Update ( SystemModel< MatrixWrapper::ColumnVector > *const  sysmodel,
const MatrixWrapper::ColumnVector &  u 
) [virtual, inherited]

System Update (system with inputs)

Parameters:
sysmodelpointer to the system model to use for update
uinput to the system
virtual bool Update ( SystemModel< MatrixWrapper::ColumnVector > *const  sysmodel,
MeasurementModel< MatrixWrapper::ColumnVector , MatrixWrapper::ColumnVector > *const  measmodel,
const MatrixWrapper::ColumnVector &  z,
const MatrixWrapper::ColumnVector &  s 
) [virtual, inherited]

Full Update (system without inputs, with sensing params)

Parameters:
sysmodelpointer to the system model to use for update
measmodelpointer to the measurement model to use for update
zmeasurement
s"sensing parameter"
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 
) [virtual, inherited]

Full Update (system with inputs/sensing params)

Parameters:
sysmodelpointer to the system model to use for update
uinput to the system
measmodelpointer to the measurement model to use for update
zmeasurement
s"sensing parameter"
virtual bool Update ( MeasurementModel< MatrixWrapper::ColumnVector , MatrixWrapper::ColumnVector > *const  measmodel,
const MatrixWrapper::ColumnVector &  z,
const MatrixWrapper::ColumnVector &  s 
) [virtual, inherited]

Measurement Update (system with "sensing params")

Parameters:
measmodelpointer to the measurement model to use for update
zmeasurement
s"sensing parameter"
virtual bool UpdateInternal ( SystemModel< MatrixWrapper::ColumnVector > *const  sysmodel,
const MatrixWrapper::ColumnVector &  u,
MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const  measmodel,
const MatrixWrapper::ColumnVector &  z,
const MatrixWrapper::ColumnVector &  s 
) [protected, virtual, inherited]

Actual implementation of Update, varies along filters.

Parameters:
sysmodelpointer to the used system model
uinput param for proposal density
measmodelpointer to the used measurementmodel
zmeasurement param for proposal density
ssensor param for proposal density

Implements Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >.


Friends And Related Function Documentation

friend class NonminimalKalmanFilter [friend, inherited]

Very dirty hack to avoid ugly methods PostSigmaSet and PostMuSet to be public! NonMinimalKalmanFilter should be redesigned though!

Definition at line 110 of file kalmanfilter.h.


Member Data Documentation

Pdf<MatrixWrapper::ColumnVector >* _post [protected, inherited]

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

See also:
PostGet()

Definition at line 95 of file filter.h.

int _timestep [protected, inherited]

Represents the current timestep of the filter.

Todo:
Check wether this really belongs here

Definition at line 100 of file filter.h.


The documentation for this class was generated from the following file: