GClasses::GExtendedKalmanFilter Class Reference

Detailed Description

This is an implementation of the Extended Kalman Filter. This class is used by alternately calling advance and correct.

#include <GKalman.h>

Public Member Functions
	GExtendedKalmanFilter (int stateDims, int obsDims, int controlDims)
	~GExtendedKalmanFilter ()
virtual void	addObservationNoise (GMatrix *pInOutCov)=0
	pInOutCov is a mxm matrix, where m is the number of observation dims. This method should add the covariance of the observation noise to pInOutCov. More...
virtual void	addTransitionNoise (GMatrix *pInOutCov)=0
	pInOutCov is a nxn matrix, where n is the number of state dims. This method should add the covariance of the transition noise to pInOutCov. More...
void	advance (const GVec &control, GMatrix *pA)
	Advance to the next time step. pControl is the control vector to apply to the system at the current time step. pA is the Jacobian of the transition function at the current state, and with this control vector. Each column in pA represents the change in f(x,u) over the change in one of the dimensions of x, where f is the transition function, x is the state, and u is the control vector. More...
void	correct (const GVec &observation, GMatrix *pH)
	Correct the estimates of state and covariance based on the observations made in the new state (and assuming the observation function is locally linear around the current state). pH is the Jacobian of the observation function at the current state. Each column in pH represents the change in h(x) over the change in one of the dimensions of x, where h is the observation function, and x is the state. More...
virtual void	observation (GVec &outObs, const GVec &state)=0
	Computes the observation function. Put results in pOutObs. More...
GVec &	state ()
	Use this to get and/or set the estimated state. More...
GMatrix *	stateCovariance ()
	Use this to get and/or set the estimated covariance of the state. More...
virtual void	transition (GVec &inOutState, const GVec &control)=0
	Computes the transition function. (Adjust the values in pInOutState as directed by pControl.) More...

Protected Attributes
size_t	m_obsDims
GMatrix *	m_pP
size_t	m_stateDims
GVec	m_x
GVec	m_z
GVec	m_zz

Constructor & Destructor Documentation

GClasses::GExtendedKalmanFilter::GExtendedKalmanFilter	(	int	stateDims,
		int	obsDims,
		int	controlDims
	)

GClasses::GExtendedKalmanFilter::~GExtendedKalmanFilter

(

)

Member Function Documentation

virtual void GClasses::GExtendedKalmanFilter::addObservationNoise ( GMatrix *  pInOutCov )

pure virtual

pInOutCov is a mxm matrix, where m is the number of observation dims. This method should add the covariance of the observation noise to pInOutCov.

virtual void GClasses::GExtendedKalmanFilter::addTransitionNoise ( GMatrix *  pInOutCov )

pure virtual

pInOutCov is a nxn matrix, where n is the number of state dims. This method should add the covariance of the transition noise to pInOutCov.

void GClasses::GExtendedKalmanFilter::advance	(	const GVec &	control,
		GMatrix *	pA
	)

Advance to the next time step. pControl is the control vector to apply to the system at the current time step. pA is the Jacobian of the transition function at the current state, and with this control vector. Each column in pA represents the change in f(x,u) over the change in one of the dimensions of x, where f is the transition function, x is the state, and u is the control vector.

void GClasses::GExtendedKalmanFilter::correct	(	const GVec &	observation,
		GMatrix *	pH
	)

Correct the estimates of state and covariance based on the observations made in the new state (and assuming the observation function is locally linear around the current state). pH is the Jacobian of the observation function at the current state. Each column in pH represents the change in h(x) over the change in one of the dimensions of x, where h is the observation function, and x is the state.

virtual void GClasses::GExtendedKalmanFilter::observation ( GVec &  outObs, const GVec &  state  )

pure virtual

Computes the observation function. Put results in pOutObs.

GVec& GClasses::GExtendedKalmanFilter::state ( )

inline

Use this to get and/or set the estimated state.

GMatrix* GClasses::GExtendedKalmanFilter::stateCovariance ( )

inline

Use this to get and/or set the estimated covariance of the state.

virtual void GClasses::GExtendedKalmanFilter::transition ( GVec &  inOutState, const GVec &  control  )

pure virtual

Computes the transition function. (Adjust the values in pInOutState as directed by pControl.)

Member Data Documentation

size_t GClasses::GExtendedKalmanFilter::m_obsDims

protected

GMatrix* GClasses::GExtendedKalmanFilter::m_pP

protected

size_t GClasses::GExtendedKalmanFilter::m_stateDims

protected

GVec GClasses::GExtendedKalmanFilter::m_x

protected

GVec GClasses::GExtendedKalmanFilter::m_z

protected

GVec GClasses::GExtendedKalmanFilter::m_zz

protected