KalmanFilter Class Reference

#include <kalman_filter.h>

Detailed Description

Definition at line 38 of file kalman_filter.h.


Public Member Functions
	KalmanFilter (unsigned int ns, unsigned int nm, unsigned int nc, const vnl_matrix< double > &Ai, const vnl_matrix< double > &Hi, const vnl_matrix< double > &Bi, const vnl_matrix< double > &z_initial, const vnl_matrix< double > &x_initial, const vnl_matrix< double > &Pi)
	Constructor.
	KalmanFilter (unsigned int ns, unsigned int nm, const vnl_matrix< double > &Ai, const vnl_matrix< double > &Hi, const vnl_matrix< double > &z_initial, const vnl_matrix< double > &x_initial, const vnl_matrix< double > &Pi)
	Constructor.
void	set_initial_input (const vnl_matrix< double > &x_initial)
void	measurement_update (const vnl_matrix< double > &zk, const vnl_matrix< double > &Rk)
	measurement_update.
vnl_matrix< double >	predict (const vnl_matrix< double > &Qk)
	predict.
vnl_matrix< double >	predict (const vnl_matrix< double > &Qk, const vnl_matrix< double > &uk)
	predict.
vnl_matrix< double >	update_predict (const vnl_matrix< double > &zk, const vnl_matrix< double > &Rk, const vnl_matrix< double > &Qk)
	update_predict.
vnl_matrix< double >	estimate ()
vnl_matrix< double >	prediction ()
Private Attributes
unsigned int	num_signal_dimensions
unsigned int	num_measurement_dimensions
unsigned int	num_control_dimensions
vnl_matrix< double >	A
vnl_matrix< double >	H
vnl_matrix< double >	B
vnl_matrix< double >	x
vnl_matrix< double >	x_pred
vnl_matrix< double >	z
vnl_matrix< double >	P
vnl_matrix< double >	K
Friends
vcl_ostream &	operator<< (vcl_ostream &os, const KalmanFilter &kf)
	output operator.

Constructor & Destructor Documentation

KalmanFilter::KalmanFilter	(	unsigned int	ns,
		unsigned int	nm,
		unsigned int	nc,
		const vnl_matrix< double > &	Ai,
		const vnl_matrix< double > &	Hi,
		const vnl_matrix< double > &	Bi,
		const vnl_matrix< double > &	z_initial,
		const vnl_matrix< double > &	x_initial,
		const vnl_matrix< double > &	Pi
	)

Constructor.

Initialises the necessary parameters and matrices

Parameters:

	ns	number of dimensions in signal
	nm	number of dimensions in measurement
	nc	number of dimensions in control input
	A	the ns*ns matrix relating signal at time k to signal at time k+1.
	H	the nm*ns matrix relating the measurement to the signal.
	B	the nc*ns matrix relating the signal to the control input. I'm not sure what this is used for, but I've included it for completeness.
	x_initial	the initial ns*1 estimate of the signal.
	p_initial	the initial error variance vector. P = p_initial.transpose()*p_initial.

under development

Author:: Brendan McCane

Definition at line 54 of file kalman_filter.cxx.

KalmanFilter::KalmanFilter	(	unsigned int	ns,
		unsigned int	nm,
		const vnl_matrix< double > &	Ai,
		const vnl_matrix< double > &	Hi,
		const vnl_matrix< double > &	z_initial,
		const vnl_matrix< double > &	x_initial,
		const vnl_matrix< double > &	Pi
	)

Constructor.

Initialises the necessary parameters and matrices

Parameters:

	ns	number of dimensions in signal
	nm	number of dimensions in measurement
	A	the ns*ns matrix relating signal at time k to signal at time k+1.
	H	the nm*ns matrix relating the measurement to the signal.
	x_initial	the initial ns*1 estimate of the signal.
	p_initial	the initial error variance vector. P = p_initial.transpose()*p_initial.

under development

Author:: Brendan McCane

Definition at line 131 of file kalman_filter.cxx.

Member Function Documentation

void KalmanFilter::set_initial_input ( const vnl_matrix< double > & x_initial ) [inline]

Definition at line 91 of file kalman_filter.h.

void KalmanFilter::measurement_update	(	const vnl_matrix< double > &	zk,
		const vnl_matrix< double > &	Rk
	)

measurement_update.

Calculate the Kalman gain, update the signal estimate from the last time point using the previous estimate and the new measurement, and update the error covariance matrix.

Parameters:

	zk	the new measurement
	Rk	the measurement error covariance matrix

under development

Author:: Brendan McCane

Definition at line 192 of file kalman_filter.cxx.

vnl_matrix< double > KalmanFilter::predict ( const vnl_matrix< double > & Qk )

predict.

Calculate the next state given the current estimate and project the error covariance matrix ahead in time as well. In this case, I am assuming there is no control input.

Parameters:

the process error covariance matrix

under development

Author:: Brendan McCane

Definition at line 248 of file kalman_filter.cxx.

vnl_matrix< double > KalmanFilter::predict	(	const vnl_matrix< double > &	Qk,
		const vnl_matrix< double > &	uk
	)

predict.

Calculate the next state given the current estimate and project the error covariance matrix ahead in time as well.

Parameters:

	Qk	the process error covariance matrix
	uk	the control input

under development

Author:: Brendan McCane

Definition at line 281 of file kalman_filter.cxx.

vnl_matrix< double > KalmanFilter::update_predict	(	const vnl_matrix< double > &	zk,
		const vnl_matrix< double > &	Rk,
		const vnl_matrix< double > &	Qk
	)

update_predict.

A wrapper function to both update the measurement and predict the new state.

Parameters:

	zk	the new measurement
	Rk	the measurement error covariance matrix
	Qk	the process error covariance matrix

under development

Author:: Brendan McCane

Definition at line 324 of file kalman_filter.cxx.

vnl_matrix<double> KalmanFilter::estimate ( ) [inline]

Definition at line 119 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::prediction ( ) [inline]

Definition at line 121 of file kalman_filter.h.

Friends And Related Function Documentation

vcl_ostream& operator<<	(	vcl_ostream &	os,
		const KalmanFilter &	kf
	)			`[friend]`

output operator.

Parameters:

the Kalman filter to output

under development

Author:: Brendan McCane

Definition at line 342 of file kalman_filter.cxx.

Member Data Documentation

unsigned int KalmanFilter::num_signal_dimensions [private]

Definition at line 41 of file kalman_filter.h.

unsigned int KalmanFilter::num_measurement_dimensions [private]

Definition at line 44 of file kalman_filter.h.

unsigned int KalmanFilter::num_control_dimensions [private]

Definition at line 47 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::A [private]

Definition at line 50 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::H [private]

Definition at line 53 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::B [private]

Definition at line 56 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::x [private]

Definition at line 59 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::x_pred [private]

Definition at line 62 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::z [private]

Definition at line 65 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::P [private]

Definition at line 68 of file kalman_filter.h.

vnl_matrix<double> KalmanFilter::K [private]

Definition at line 71 of file kalman_filter.h.

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

contrib/oul/ouel/kalman_filter.h
contrib/oul/ouel/kalman_filter.cxx

Generated on Tue Dec 2 05:25:22 2008 for contrib/oul/ouel by

1.5.1

KalmanFilter Class Reference

Detailed Description

Public Member Functions

Private Attributes

Friends

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation