The class of a Linear Kalman filter. More...

#include <state-observation/observer/linear-kalman-filter.hpp>

Inheritance diagram for stateObservation::LinearKalmanFilter:

Collaboration diagram for stateObservation::LinearKalmanFilter:

Public Types
typedef Matrix	Bmatrix
	The type of the matrix linking the input to the state.

typedef Matrix	Dmatrix
	The type of the matrix linking the input to the measurement.

Public Types inherited from stateObservation::KalmanFilterBase
typedef Matrix	Amatrix
	The type of the jacobian df/dx.

typedef Matrix	Cmatrix
	The type of the jacobian dh/dx.

typedef Matrix	Qmatrix
	The type of the covariance matrix of the process noise v.

typedef Matrix	Rmatrix
	The type of the covariance matrix of the measurement noise w.

typedef Matrix	Pmatrix
	The type of the covariance matrix of the state estimation error.

typedef Eigen::LLT< Pmatrix >	LLTPMatrix

typedef Vector	StateVectorTan
	StateVector is the type of state tangent vector.

typedef Vector	MeasureVectorTan
	MeasureVector is the type of measurement tanegnt vector.

Public Types inherited from stateObservation::ObserverBase
typedef Vector	StateVector
	StateVector is the type of state vector.

typedef Vector	MeasureVector
	MeasureVector is the type of measurements vector.

typedef Vector	InputVector
	InputVector is the type of the input vector.

Public Member Functions
	LinearKalmanFilter (Index n, Index m, Index p=0)

	LinearKalmanFilter ()
	Default constructor.

virtual void	setB (const Bmatrix &B)
	Set the value of the input-state matrix.

virtual void	clearB ()
	Clear the value of the input-state Matrix.

virtual void	setD (const Dmatrix &D)
	Set the value of the input-measurement matrix.

virtual void	clearD ()
	Clear the value of the input-measurement matrix.

Bmatrix	getBmatrixConstant (double c) const
	Get a matrix having the size of the B matrix having "c" values.

Bmatrix	getBmatrixRandom () const
	Get a matrix having the size of the B matrix having random values.

Bmatrix	getBmatrixZero () const
	Get a matrix having the size of the B matrix having zero values.

bool	checkBmatrix (const Bmatrix &) const
	checks whether or not a matrix has the dimensions of the B matrix

Dmatrix	getDmatrixConstant (double c) const
	Get a matrix having the size of the D matrix having "c" values.

Dmatrix	getDmatrixRandom () const
	Get a matrix having the size of the D matrix having random values.

Dmatrix	getDmatrixZero () const
	Get a matrix having the size of the D matrix having zero values.

bool	checkDmatrix (const Dmatrix &) const
	checks whether or not a matrix has the dimensions of the D matrix

virtual void	setStateSize (Index n)

virtual void	setMeasureSize (Index m)

virtual void	setInputSize (Index p)

Public Member Functions inherited from stateObservation::KalmanFilterBase
	KalmanFilterBase ()
	Default constructor.

	KalmanFilterBase (Index n, Index m, Index p=0)

	KalmanFilterBase (Index n, Index nt, Index m, Index mt, Index p)

virtual void	setA (const Amatrix &A)
	Set the value of the jacobian df/dx.

virtual Matrix	getA () const

virtual void	clearA ()
	Clear the jacobian df/dx.

virtual void	setC (const Cmatrix &C)
	Set the value of the Jacobian dh/dx.

virtual Matrix	getC () const

virtual void	clearC ()
	Clear the jacobian dh/dx.

virtual void	setR (const Rmatrix &R)
	Set the measurement noise covariance matrix.

void	setMeasurementCovariance (const Rmatrix &R)

virtual Matrix	getR () const
	Set the measurement noise covariance matrix.

Matrix	getMeasurementCovariance () const

virtual void	clearR ()
	Clear the measurement noise covariance matrix.

virtual void	setQ (const Qmatrix &Q)
	Set the process noise covariance matrix.

void	setProcessCovariance (const Qmatrix &Q)

virtual Matrix	getQ () const
	Set the process noise covariance matrix.

Matrix	getProcessCovariance () const

virtual void	clearQ ()
	Clear the process noise covariance matrix.

virtual void	setStateCovariance (const Pmatrix &P)
	Set the covariance matrix of the current time state estimation error.

virtual void	clearStates ()
	clears the state and the state covariance

virtual void	clearStateCovariance ()

virtual Pmatrix	getStateCovariance () const
	Get the covariance matrix of the current time state estimation.

virtual void	reset ()
	Resets all the observer.

Amatrix	getAmatrixConstant (double c) const
	Get a matrix having the size of the A matrix having "c" values.

Amatrix	getAmatrixRandom () const
	Get a matrix having the size of the A matrix having random values.

Amatrix	getAmatrixZero () const
	Get a matrix having the size of the A matrix having zero values.

Amatrix	getAmatrixIdentity () const
	Get an identity matrix having the size of the A matrix.

bool	checkAmatrix (const Amatrix &) const
	checks whether or not a matrix has the dimensions of the A matrix

Cmatrix	getCmatrixConstant (double c) const
	Get a matrix having the size of the C matrix having "c" values.

Cmatrix	getCmatrixRandom () const
	Get a matrix having the size of the C matrix having random values.

Cmatrix	getCmatrixZero () const
	Get a matrix having the size of the C matrix having zero values.

bool	checkCmatrix (const Cmatrix &) const
	checks whether or not a matrix has the dimensions of the C matrix

Qmatrix	getQmatrixConstant (double c) const
	Get a matrix having the size of the Q matrix having "c" values.

Qmatrix	getQmatrixRandom () const
	Get a matrix having the size of the Q matrix having random values.

Qmatrix	getQmatrixZero () const
	Get a matrix having the size of the Q matrix having zero values.

Qmatrix	getQmatrixIdentity () const
	Get an identity matrix having the size of the Q matrix.

bool	checkQmatrix (const Qmatrix &) const
	checks whether or not a matrix has the dimensions of the Q matrix

Rmatrix	getRmatrixConstant (double c) const
	Get a matrix having the size of the R matrix having "c" values.

Rmatrix	getRmatrixRandom () const
	Get a matrix having the size of the R matrix having random values.

Rmatrix	getRmatrixZero () const
	Get a matrix having the size of the R matrix having zero values.

Rmatrix	getRmatrixIdentity () const
	Get an identity matrix having the size of the R matrix.

bool	checkRmatrix (const Rmatrix &) const
	checks whether or not a matrix has the dimensions of the R matrix

Pmatrix	getPmatrixConstant (double c) const
	Get a matrix having the size of the P matrix having "c" values.

Pmatrix	getPmatrixRandom () const
	Get a matrix having the size of the P matrix having random values.

Pmatrix	getPmatrixZero () const
	Get a matrix having the size of the P matrix having zero values.

Pmatrix	getPmatrixIdentity () const
	Get an identity matrix having the size of the P matrix.

bool	checkPmatrix (const Pmatrix &) const
	Checks whether or not a matrix has the dimensions of the P matrix.

virtual StateVectorTan	stateTangentVectorConstant (double c) const
	Gives a vector of state tangent vector size having duplicated "c" value.

virtual StateVectorTan	stateTangentVectorRandom () const
	Gives a vector of state tangent vector size having random values.

virtual StateVectorTan	stateTangentVectorZero () const
	Gives a vector of state tangent vector size having zero values.

virtual bool	checkStateTangentVector (const StateVectorTan &v) const
	Tells whether or not the vector has the dimensions of a state tangent vector.

virtual MeasureVectorTan	measureTangentVectorConstant (double c) const
	Gives a vector of measurement tangent vector size having duplicated "c" value.

virtual MeasureVectorTan	measureTangentVectorRandom () const
	Gives a vector of measurement tangent vector size having random values.

virtual MeasureVectorTan	measureTangentVectorZero () const
	Gives a vector of measurement tangent vector size having zero values.

virtual bool	checkMeasureTangentVector (const MeasureVectorTan &) const
	Tells whether or not the vector has the dimensions of a measurement tangent vector.

virtual void	setStateSize (Index n, Index nt)

virtual void	setMeasureSize (Index m, Index mt)

virtual MeasureVector	getSimulatedMeasurement (TimeIndex k)
	Get simulation of the measurement y_k using the state estimation.

virtual const StateVector &	getInnovation ()
	Get the last vector of innovation of the Kalman filter.

const StateVector &	updateStatePrediction ()

MeasureVector	updateStateAndMeasurementPrediction ()

const StateVector &	getLastPrediction () const
	get the last predicted state

const MeasureVector &	getLastPredictedMeasurement () const
	get the last predicted measurement

const MeasureVector &	getLastMeasurement () const
	get the last measurement

const Matrix &	getLastGain () const
	get the last Kalman gain matrix

void	setStateArithmetics (StateVectorArithmetics *arith)

Public Member Functions inherited from stateObservation::ZeroDelayObserver
	ZeroDelayObserver (Index n, Index m, Index p=0)

	ZeroDelayObserver ()
	Default constructor (default values for n,m,p are zero)

virtual	~ZeroDelayObserver ()
	Destructor.

virtual void	setState (const ObserverBase::StateVector &x_k, TimeIndex k)
	Set the value of the state vector at time index k.

virtual void	setCurrentState (const ObserverBase::StateVector &x_k)
	Modify the value of the state vector at the current time.

bool	stateIsSet () const
	Returns if the state is set or not. The state being set is mandatory to start the estimator.

virtual void	setMeasurement (const ObserverBase::MeasureVector &y_k, TimeIndex k)

virtual void	pushMeasurement (const ObserverBase::MeasureVector &y_k)
	Sets the measurement value at the next time index.

virtual void	clearMeasurements ()
	Remove all the given values of the measurements.

virtual void	setInput (const ObserverBase::InputVector &u_k, TimeIndex k)

virtual void	pushInput (const ObserverBase::InputVector &u_k)
	Set the input value at the next time indext.

virtual void	clearInputs ()

virtual void	clearInputsAndMeasurements ()
	Remove all the given values of the inputs and measurements.

virtual TimeIndex	estimateState ()
	run the observer until the measurement vector is depleted.

virtual ObserverBase::StateVector	getEstimatedState (TimeIndex k)
	getestimated State

virtual ObserverBase::StateVector	getCurrentEstimatedState () const
	Get the Current Estimated State.

virtual TimeIndex	getCurrentTime () const
	Get the value of the time index of the current state estimation.

Vector	getInput (TimeIndex k) const
	Get the value of the input of the time index k.

virtual TimeSize	getInputsNumber () const
	Get the number of available inputs.

virtual TimeIndex	getInputTime () const
	Get the time index of the last given input.

Vector	getMeasurement (TimeIndex k) const
	Get the measurement of the time index k.

virtual TimeIndex	getMeasurementTime () const
	Get the time index of the last given measurement.

virtual TimeSize	getMeasurementsNumber () const
	Gets the number of regitered measurements.

Public Member Functions inherited from stateObservation::ObserverBase
	ObserverBase (Index n, Index m, Index p=0)

	ObserverBase ()
	default constructor (default values for n,m,p are zero)

virtual	~ObserverBase ()
	Destructor.

virtual Index	getStateSize () const
	gets the size of the state vector

virtual Index	getMeasureSize () const
	gets the size of the measurement vector

virtual Index	getInputSize () const
	gets the size of the input vector

virtual StateVector	stateVectorConstant (double c) const

virtual StateVector	stateVectorRandom () const
	Gives a vector of state vector size having random values.

virtual StateVector	stateVectorZero () const
	Gives a vector of state vector size having zero values.

virtual bool	checkStateVector (const StateVector &v) const
	Tells whether or not the vector has the dimensions of a state vector.

virtual MeasureVector	measureVectorConstant (double c) const
	Gives a vector of measurement vector size having duplicated "c" value.

virtual MeasureVector	measureVectorRandom () const
	Gives a vector of measurement vector size having random values.

virtual MeasureVector	measureVectorZero () const
	Gives a vector of measurement vector size having zero values.

virtual bool	checkMeasureVector (const MeasureVector &) const
	Tells whether or not the vector has the dimensions of a measurement vector.

virtual InputVector	inputVectorConstant (double c) const
	Gives a vector of input vector size having duplicated "c" value.

virtual InputVector	inputVectorRandom () const
	Gives a vector of input vector size having random values.

virtual InputVector	inputVectorZero () const
	Gives a vector of input vector size having zero values.

virtual bool	checkInputVector (const InputVector &) const
	Tells whether or not the vector has the dimensions of a input vector.

Protected Member Functions
virtual StateVector	prediction_ (TimeIndex k)
	The implementation of the (linear) prediction (state dynamics)

virtual MeasureVector	simulateSensor_ (const StateVector &x, TimeIndex k)
	The implementation of the (linear) measurement (state dynamics)

Protected Member Functions inherited from stateObservation::KalmanFilterBase
virtual StateVector	oneStepEstimation_ ()
	The Kalman filter loop.

virtual MeasureVector	predictSensor_ (TimeIndex k)
	Predicts the sensor measurement,.

Protected Member Functions inherited from stateObservation::StateVectorArithmetics
virtual void	stateSum (const Vector &stateVector, const Vector &tangentVector, Vector &sum)

virtual void	stateDifference (const Vector &stateVector1, const Vector &stateVector2, Vector &difference)

virtual void	measurementDifference (const Vector &measureVector1, const Vector &measureVector2, Vector &difference)

Protected Attributes
Matrix	d_
	The container of the Input-State matrix.

Matrix	b_
	The container of the Input-Measurement matrix.

Protected Attributes inherited from stateObservation::KalmanFilterBase
Index	nt_
	the size of tangent space of the state space

Index	mt_
	the size of tangent space of the measurement space

Matrix	a_
	Containers for the jacobian matrix of the process.

Matrix	c_
	Containers for the jacobian matrix of the measurement.

Matrix	q_
	Container for the process noise covariance matrice.

Matrix	r_
	Container for the measurement noise covariance matrice.

Matrix	pr_
	Container for the covariance matrix of the estimation error.

IndexedVector	xbar_
	container for the prediction

IndexedVector	ybar_
	container for the prediction of the sensor

Vector	innovation_
	Vector containing the inovation of the Kalman filter.

struct stateObservation::KalmanFilterBase::optimizationContainer	oc_

StateVectorArithmetics *	arithm_

Protected Attributes inherited from stateObservation::ZeroDelayObserver
IndexedVector	x_
	while the measurements and iputs are put in lists

IndexedVectorArray	y_
	Container for the measurements.

IndexedVectorArray	u_
	Container for the inputs.

Protected Attributes inherited from stateObservation::ObserverBase
Index	n_
	stateSize is the size of the state vector

Index	m_
	measureSize is the size of measurements vector

Index	p_
	inputSize is the size of the input vector

Additional Inherited Members
Protected Types inherited from stateObservation::KalmanFilterBase
typedef Matrix	Kmatrix
	The type of Kalman gain matrix.

Detailed Description

The class of a Linear Kalman filter.

It implements the Kalman filter for linear systems (LTI-LTV). This is the class to instanciate when you want to use Kalman filtering for linear systems. To use this class, one needs to provide the matrices that describe the dynamics of the state and the measurement.

 x_{k+1}=A_k x_k+ B_k u_k + v_k

 y_k=C_k x_k + D_k u_k + w_k

Member Typedef Documentation

◆ Bmatrix

typedef Matrix stateObservation::LinearKalmanFilter::Bmatrix

The type of the matrix linking the input to the state.

◆ Dmatrix

typedef Matrix stateObservation::LinearKalmanFilter::Dmatrix

The type of the matrix linking the input to the measurement.

Constructor & Destructor Documentation

◆ LinearKalmanFilter() [1/2]

stateObservation::LinearKalmanFilter::LinearKalmanFilter	(	Index	n,
		Index	m,
		Index	p = `0`
	)

inline

The constructor

n : size of the state vector
m : size of the measurements vector
p : size of the input vector

◆ LinearKalmanFilter() [2/2]

stateObservation::LinearKalmanFilter::LinearKalmanFilter ( )

inline

Default constructor.

Member Function Documentation

◆ checkBmatrix()

bool stateObservation::LinearKalmanFilter::checkBmatrix ( const Bmatrix & ) const

checks whether or not a matrix has the dimensions of the B matrix

◆ checkDmatrix()

bool stateObservation::LinearKalmanFilter::checkDmatrix ( const Dmatrix & ) const

checks whether or not a matrix has the dimensions of the D matrix

◆ clearB()

virtual void stateObservation::LinearKalmanFilter::clearB ( )

virtual

Clear the value of the input-state Matrix.

◆ clearD()

virtual void stateObservation::LinearKalmanFilter::clearD ( )

virtual

Clear the value of the input-measurement matrix.

◆ getBmatrixConstant()

Bmatrix stateObservation::LinearKalmanFilter::getBmatrixConstant ( double c ) const

Get a matrix having the size of the B matrix having "c" values.

◆ getBmatrixRandom()

Bmatrix stateObservation::LinearKalmanFilter::getBmatrixRandom ( ) const

Get a matrix having the size of the B matrix having random values.

◆ getBmatrixZero()

Bmatrix stateObservation::LinearKalmanFilter::getBmatrixZero ( ) const

Get a matrix having the size of the B matrix having zero values.

◆ getDmatrixConstant()

Dmatrix stateObservation::LinearKalmanFilter::getDmatrixConstant ( double c ) const

Get a matrix having the size of the D matrix having "c" values.

◆ getDmatrixRandom()

Dmatrix stateObservation::LinearKalmanFilter::getDmatrixRandom ( ) const

Get a matrix having the size of the D matrix having random values.

◆ getDmatrixZero()

Dmatrix stateObservation::LinearKalmanFilter::getDmatrixZero ( ) const

Get a matrix having the size of the D matrix having zero values.

◆ prediction_()

virtual StateVector stateObservation::LinearKalmanFilter::prediction_ ( TimeIndex k )

protectedvirtual

The implementation of the (linear) prediction (state dynamics)

Implements stateObservation::KalmanFilterBase.

◆ setB()

virtual void stateObservation::LinearKalmanFilter::setB ( const Bmatrix & B )

virtual

Set the value of the input-state matrix.

◆ setD()

virtual void stateObservation::LinearKalmanFilter::setD ( const Dmatrix & D )

virtual

Set the value of the input-measurement matrix.

◆ setInputSize()

virtual void stateObservation::LinearKalmanFilter::setInputSize ( Index p )

virtual

changes the dimension of the input vector: resets the internal container for the input vectors and the containers for the matrices B, D

Reimplemented from stateObservation::ZeroDelayObserver.

◆ setMeasureSize()

virtual void stateObservation::LinearKalmanFilter::setMeasureSize ( Index m )

virtual

changes the dimension of the measurement vector: resets the internal container for the measurement vectors and the containers for the matrices C, D, R

Reimplemented from stateObservation::KalmanFilterBase.

◆ setStateSize()

virtual void stateObservation::LinearKalmanFilter::setStateSize ( Index n )

virtual

changes the dimension of the state vector: resets the internal container for the state vector and the containers for the matrices A, B, C, Q, P

Reimplemented from stateObservation::KalmanFilterBase.

◆ simulateSensor_()

virtual MeasureVector stateObservation::LinearKalmanFilter::simulateSensor_	(	const StateVector &	x,
		TimeIndex	k
	)

protectedvirtual

The implementation of the (linear) measurement (state dynamics)

Implements stateObservation::KalmanFilterBase.

Member Data Documentation

◆ b_

Matrix stateObservation::LinearKalmanFilter::b_

protected

The container of the Input-Measurement matrix.

◆ d_

Matrix stateObservation::LinearKalmanFilter::d_

protected

The container of the Input-State matrix.

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

include/state-observation/observer/linear-kalman-filter.hpp

Public Types

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ Bmatrix

◆ Dmatrix

Constructor & Destructor Documentation

◆ LinearKalmanFilter() [1/2]

◆ LinearKalmanFilter() [2/2]

Member Function Documentation

◆ checkBmatrix()

◆ checkDmatrix()

◆ clearB()

◆ clearD()

◆ getBmatrixConstant()

◆ getBmatrixRandom()

◆ getBmatrixZero()

◆ getDmatrixConstant()

◆ getDmatrixRandom()

◆ getDmatrixZero()

◆ prediction_()

◆ setB()

◆ setD()

◆ setInputSize()

◆ setMeasureSize()

◆ setStateSize()

◆ simulateSensor_()

Member Data Documentation

◆ b_

◆ d_