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

#include <kalmanfilter.h>

Inheritance diagram for BFL::KalmanFilter:

[legend]

Classes
struct	MeasUpdateVariables

Public Member Functions
void	AllocateMeasModel (const vector< unsigned int > &meas_dimensions)
	Function to allocate memory needed during the measurement update,. More...

void	AllocateMeasModel (const unsigned int &meas_dimensions)
	Function to allocate memory needed during the measurement update. More...

	KalmanFilter (Gaussian *prior)
	Constructor. More...

virtual Gaussian *	PostGet ()
	Get Posterior density. More...

virtual	~KalmanFilter ()
	Destructor. More...

Public Member Functions inherited from BFL::Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >
	Filter (Pdf< MatrixWrapper::ColumnVector > *prior)
	Constructor. More...

	Filter (const Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > &filt)
	copy constructor More...

virtual void	Reset (Pdf< MatrixWrapper::ColumnVector > *prior)
	Reset Filter. More...

int	TimeStepGet () const
	Get current time. More...

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...

virtual	~Filter ()
	destructor More...

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) More...

void	PostMuSet (const MatrixWrapper::ColumnVector &c)
	Set expected value of posterior estimate. More...

void	PostSigmaSet (const MatrixWrapper::SymmetricMatrix &s)
	Set covariance of posterior estimate. More...

virtual void	SysUpdate (SystemModel< MatrixWrapper::ColumnVector > *const sysmodel, const MatrixWrapper::ColumnVector &u)=0
	System Update. More...

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. More...

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

Protected Attributes inherited from BFL::Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >
Pdf< MatrixWrapper::ColumnVector > *	_post
	Pointer to the Posterior Pdf. More...

Pdf< MatrixWrapper::ColumnVector > *	_prior
	prior Pdf More...

int	_timestep
	Represents the current timestep of the filter. More...

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

◆ KalmanFilter()

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.

◆ ~KalmanFilter()

BFL::KalmanFilter::~KalmanFilter ( )

virtual

Destructor.

Definition at line 39 of file kalmanfilter.cpp.

Member Function Documentation

◆ AllocateMeasModel() [1/2]

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.

◆ AllocateMeasModel() [2/2]

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.

◆ CalculateMeasUpdate()

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.

◆ CalculateSysUpdate()

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.

◆ MeasUpdate()

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

protectedpure 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.

◆ PostGet()

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.

◆ PostMuSet()

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

protected

Set expected value of posterior estimate.

Definition at line 153 of file kalmanfilter.cpp.

◆ PostSigmaSet()

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

protected

Set covariance of posterior estimate.

Definition at line 147 of file kalmanfilter.cpp.

◆ SysUpdate()

virtual void BFL::KalmanFilter::SysUpdate	(	SystemModel< MatrixWrapper::ColumnVector > *const	sysmodel,
		const MatrixWrapper::ColumnVector &	u
	)

protectedpure 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.

◆ UpdateInternal()

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
	)

protectedvirtual

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

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

Definition at line 130 of file kalmanfilter.cpp.

Friends And Related Function Documentation

◆ NonminimalKalmanFilter

friend class NonminimalKalmanFilter

friend

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

◆ _K

Matrix BFL::KalmanFilter::_K

protected

Definition at line 101 of file kalmanfilter.h.

◆ _mapMeasUpdateVariables

std::map<unsigned int, MeasUpdateVariables> BFL::KalmanFilter::_mapMeasUpdateVariables

protected

Definition at line 102 of file kalmanfilter.h.

◆ _mapMeasUpdateVariables_it

std::map<unsigned int, MeasUpdateVariables>::iterator BFL::KalmanFilter::_mapMeasUpdateVariables_it

protected

Definition at line 103 of file kalmanfilter.h.

◆ _Mu_new

ColumnVector BFL::KalmanFilter::_Mu_new

protected

Definition at line 96 of file kalmanfilter.h.

◆ _Sigma_new

SymmetricMatrix BFL::KalmanFilter::_Sigma_new

protected

Definition at line 97 of file kalmanfilter.h.

◆ _Sigma_temp

Matrix BFL::KalmanFilter::_Sigma_temp

protected

Definition at line 98 of file kalmanfilter.h.

◆ _Sigma_temp_par

Matrix BFL::KalmanFilter::_Sigma_temp_par

protected

Definition at line 99 of file kalmanfilter.h.

◆ _SMatrix

Matrix BFL::KalmanFilter::_SMatrix

protected

Definition at line 100 of file kalmanfilter.h.

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

Classes

Public Member Functions

Protected Member Functions

Protected Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

◆ KalmanFilter()

◆ ~KalmanFilter()

Member Function Documentation

◆ AllocateMeasModel() [1/2]

◆ AllocateMeasModel() [2/2]

◆ CalculateMeasUpdate()

◆ CalculateSysUpdate()

◆ MeasUpdate()

◆ PostGet()

◆ PostMuSet()

◆ PostSigmaSet()

◆ SysUpdate()

◆ UpdateInternal()

Friends And Related Function Documentation

◆ NonminimalKalmanFilter

Member Data Documentation

◆ _K

◆ _mapMeasUpdateVariables

◆ _mapMeasUpdateVariables_it

◆ _Mu_new

◆ _Sigma_new

◆ _Sigma_temp

◆ _Sigma_temp_par

◆ _SMatrix