sp::KF Class Reference

#include <kalman.h>

Inheritance diagram for sp::KF:

Collaboration diagram for sp::KF:

Public Member Functions
	KF (arma::uword _N, arma::uword _M, arma::uword _L)
	~KF ()
void	clear (void)
void	set_state_vec (const arma::mat &_x)
void	set_trans_mat (const arma::mat &_A)
void	set_control_mat (const arma::mat &_B)
void	set_meas_mat (const arma::mat &_H)
void	set_err_cov (const arma::mat &_P)
void	set_proc_noise (const arma::mat &_Q)
void	set_meas_noise (const arma::mat &_R)
void	set_kalman_gain (const arma::mat &_K)
void	set_trans_fcn (fcn_v _f)
void	set_meas_fcn (fcn_v _h)
arma::mat	get_state_vec (void)
arma::mat	get_err (void)
arma::mat	get_kalman_gain (void)
arma::mat	get_err_cov (void)
void	predict (const arma::mat u)
void	predict (void)
void	update (const arma::mat z)
void	rts_smooth (const arma::mat &Xf, const arma::cube &Pf, arma::mat &Xs, arma::cube &Ps)

Protected Attributes
arma::uword	N
arma::uword	M
arma::uword	L
bool	lin_proc
bool	lin_meas
arma::mat	x
arma::mat	z_err
arma::mat	A
arma::mat	B
arma::mat	H
arma::mat	P
arma::mat	Q
arma::mat	R
arma::mat	K
fcn_v	f
fcn_v	h

Detailed Description

Implements Kalman functions for the discrete system

\[ x_k = Ax_{k-1}+Bu_{k-1} + w_{k-1} \]

with measurements

\[ z_k = Hx_k + v_k \]

The predicting stage is

\[ \hat{x}^-_k = A\hat{x}_{k-1}+Bu_{k-1} \]

\[ P^-_k = AP_{k-1}A^T+Q \]

and the updates stage

\[ K_k = P^-_kH^T(HP^-_kH^T+R)^{-1} \]

\[ \hat{x}_k = \hat{x}^-_k + K_k(z_k-H\hat{x}^-_k) \]

\[ P_k = (I-K_kH)P^-_k \]

For detailed info see: http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf

Examples:

kalman_linear.cpp.

Definition at line 129 of file kalman.h.

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

• kalman.h