Class representing the family of all Kalman Filters (EKF, IEKF, ...) More...

#include <kalmanfilter.h>

Inheritance diagram for BFL::KalmanFilter:

Classes
struct	MeasUpdateVariables
Public Member Functions
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.
	KalmanFilter (Gaussian *prior)
	Constructor.
virtual Gaussian *	PostGet ()
	Get Posterior density.
virtual	~KalmanFilter ()
	Destructor.
Protected Member Functions
void	CalculateMeasUpdate (const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &Z, const MatrixWrapper::Matrix &H, const MatrixWrapper::SymmetricMatrix &R)
void	CalculateSysUpdate (const MatrixWrapper::ColumnVector &J, const MatrixWrapper::Matrix &F, const MatrixWrapper::SymmetricMatrix &Q)
virtual void	MeasUpdate (MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const measmodel, const MatrixWrapper::ColumnVector &z, const MatrixWrapper::ColumnVector &s)=0
	Measurement Update (overloaded)
void	PostMuSet (const MatrixWrapper::ColumnVector &c)
	Set expected value of posterior estimate.
void	PostSigmaSet (const MatrixWrapper::SymmetricMatrix &s)
	Set covariance of posterior estimate.
virtual void	SysUpdate (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u)=0
	System Update.
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
Matrix	_K
std::map< unsigned int, MeasUpdateVariables >	_mapMeasUpdateVariables
std::map< unsigned int, MeasUpdateVariables > ::iterator	_mapMeasUpdateVariables_it
ColumnVector	_Mu_new
SymmetricMatrix	_Sigma_new
Matrix	_Sigma_temp
Matrix	_Sigma_temp_par
Matrix	_SMatrix
Friends
class	NonminimalKalmanFilter

Detailed Description

Class representing the family of all Kalman Filters (EKF, IEKF, ...)

This is a class representing the family of all Kalman Filter (KF). Kalman filters are filters in which the Posterior density is represented by a Gaussian density. Kalman filters are only applicable to continuous systems.

The system of updating the Posterior density is implemented in this base class. However, the parameters used for this update differ for different KFs (Simple KF,EKF,IEKF): that's why the xUpdate members are still pure virtual functions.

This class is the base class for all sorts of KFs.

See also:: Gaussian; LinearAnalyticSystemModelGaussianUncertainty

Definition at line 49 of file kalmanfilter.h.

Constructor & Destructor Documentation

BFL::KalmanFilter::KalmanFilter ( Gaussian * prior )

Constructor.

Precondition:: you created the prior

Parameters:

prior pointer to the Gaussian Pdf prior density

Definition at line 28 of file kalmanfilter.cpp.

BFL::KalmanFilter::~KalmanFilter ( ) [virtual]

Destructor.

Definition at line 39 of file kalmanfilter.cpp.

Member Function Documentation

void BFL::KalmanFilter::AllocateMeasModel ( const vector< unsigned int > & meas_dimensions )

Function to allocate memory needed during the measurement update,.

Definition at line 45 of file kalmanfilter.cpp.

void BFL::KalmanFilter::AllocateMeasModel ( const unsigned int & meas_dimensions )

Function to allocate memory needed during the measurement update.

Definition at line 63 of file kalmanfilter.cpp.

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

Calculate Kalman filter Measurement Update

$x_k = x_{k-} + K.(z - Z)$

$P_k = (I-K.H).P_{k-}$

with

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

Definition at line 88 of file kalmanfilter.cpp.

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

Calculate Kalman filter System Update

$x_k = J$

$P_k = F.P_{k-}.F' + Q$

Definition at line 76 of file kalmanfilter.cpp.

virtual void BFL::KalmanFilter::MeasUpdate	(	MeasurementModel< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *const	measmodel,
		const MatrixWrapper::ColumnVector &	z,
		const MatrixWrapper::ColumnVector &	s
	)		`[protected, pure virtual]`

Measurement Update (overloaded)

Update the filter's Posterior density using the sensor measurements, an input and the measurement model. This method is used when the measurements depend on the inputs too (doesn't happen very often, does it?) BEWARE: the first time the measurment update is called with a new size of measurement, new allocations are done

Parameters:

measmodel	pointer to the measurement model the filter should use
z	sensor measurement
s	input to the system (must be of the same type as u for now, since this was not yet implemented in ConditionalPdf

Implemented in BFL::ExtendedKalmanFilter, BFL::SRIteratedExtendedKalmanFilter, and BFL::IteratedExtendedKalmanFilter.

Gaussian * BFL::KalmanFilter::PostGet ( ) [virtual]

Get Posterior density.

Get the current Posterior density

Returns:: a pointer to the current posterior

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

Definition at line 160 of file kalmanfilter.cpp.

void BFL::KalmanFilter::PostMuSet ( const MatrixWrapper::ColumnVector & c ) [protected]

Set expected value of posterior estimate.

Definition at line 153 of file kalmanfilter.cpp.

void BFL::KalmanFilter::PostSigmaSet ( const MatrixWrapper::SymmetricMatrix & s ) [protected]

Set covariance of posterior estimate.

Definition at line 147 of file kalmanfilter.cpp.

virtual void BFL::KalmanFilter::SysUpdate	(	SystemModel< MatrixWrapper::ColumnVector > *const	sysmodel,
		const MatrixWrapper::ColumnVector &	u
	)		`[protected, pure virtual]`

System Update.

Update the filter's Posterior density using the deterministic inputs to the system and the system model

Parameters:

sysmodel	pointer to the system model the filter should use
u	input to the system

Implemented in BFL::ExtendedKalmanFilter, BFL::SRIteratedExtendedKalmanFilter, and BFL::IteratedExtendedKalmanFilter.

bool BFL::KalmanFilter::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]`

Actual implementation of Update, varies along filters.

Parameters:

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