private StepOutput <float> CalculateNext(StepInput <float> prev)
{
float w = _rand.NextGaussian(0, _stdDevW);
float v = _rand.NextGaussian(0, _stdDevV);
// Calculate the state and the output
float x = _a * prev.X + w;
float z = _h * x + v;
// Predictor equations
float priX = _a * prev.PostX;
float residual = z - _h * priX;
float priP = _a * _a * prev.PostP + _q;
// Corrector equations
float k = _h * priP / (_h * _h * priP + _r);
float postP = priP * (1 - _h * k);
float postX = priX + k * residual;
return(new StepOutput <float>
{
K = k,
PriX = priX,
PriP = priP,
PostX = postX,
PostP = postP,
PostXError = postX - x,
PriXError = priX - x,
X = x,
Z = z,
W = w,
V = v,
});
}
public StepOutput <GPSFilter2DSample> Filter(GPSObservation obs, GPSFilter2DInput input)
{
var inputFromPrev = new StepInput <Matrix>(_prevEstimate);
StepOutput <Matrix> result = CalculateNext(inputFromPrev, obs, input);
_prevEstimate = result;
return(ToFilterResult(result));
}
// Observations are never used.
// public IEnumerable<StepOutput<GPSFilter2DSample>> Filter(IEnumerable<GPSObservation> samples, IEnumerable<GPSFilter2DInput> inputs)
// {
// return samples.Select(s => Filter(s, i));
// }
private StepOutput <Matrix> CalculateNext(StepInput <Matrix> prev, GPSObservation observation,
GPSFilter2DInput input)
{
TimeSpan time = observation.Time;
TimeSpan timeDelta = time - _prevEstimate.Time;
UpdateMatrices(time, timeDelta);
Matrix u = ToInputMatrix(input);
// Ref equations: http://en.wikipedia.org/wiki/Kalman_filter#The_Kalman_filter
// Calculate the state and the output
Matrix x = A * prev.X + B * u + w;
Matrix z = H * x + v; //ToOutputMatrix(observation) + v;//H * x + v;
// Predictor equations
Matrix PriX = A * prev.PostX + B * u; // n by 1
Matrix AT = Matrix.Transpose(A);
Matrix PriP = A * prev.PostP * AT + Q; // n by n
Matrix residual = z - H * PriX;
Matrix residualP = H * PriP * Matrix.Transpose(H) + R;
Matrix residualPInv = residualP.Inverse();
// Corrector equations
Matrix K = PriP * Matrix.Transpose(H) * residualPInv; // n by m
// TODO Temp, experimenting with skipping measurements
// compileerror
// k[PositionY, PositionY] = 1.0;
// k[VelocityY, VelocityY] = 1.0;
// k[AccelerationY, AccelerationY] = 1.0;
Matrix PostX = PriX + K * residual; // n by 1
Matrix PostP = (I - K * H) * PriP; // n by n
return(new StepOutput <Matrix>
{
K = K,
PriX = PriX,
PriP = PriP,
PostX = PostX,
PostP = PostP,
PostXError = PostX - x,
PriXError = PriX - x,
X = x,
Z = z,
W = w,
V = v,
Time = time,
});
}
/// <summary></summary>
/// <param name="x0">Initial system state</param>
/// <param name="postX0">Initial guess of system state</param>
/// <param name="postP0">Initial guess of a posteriori covariance</param>
/// <returns></returns>
private StepOutput <Matrix> GetInitialEstimate(Matrix x0, Matrix postX0, Matrix postP0)
{
var startingCondition = new StepInput <Matrix>(x0, postX0, postP0);
// TODO Is it ok to use an observation for the initial state in this manner?
var observation = new GPSINSObservation
{
GPSPosition = GetPosition(x0),
Time = _startTime
};
return(CalculateNext(startingCondition, observation, new GPSINSInput()));
}
/// <summary></summary>
/// <param name="x0">Initial system state</param>
/// <param name="postX0">
/// Initial guess of system state
/// </param>
/// <param name="postP0">
/// Initial guess of a posteriori covariance
/// </param>
/// <returns></returns>
private StepOutput <float> InitializeFirstStep(float x0, float postX0, float postP0)
{
var startingCondition = new StepInput <float>(x0, postX0, postP0);
return(CalculateNext(startingCondition));
}
private StepOutput <Matrix> CalculateNext(StepInput <Matrix> prev, GPSINSObservation observation,
GPSINSInput input)
{
TimeSpan time = observation.Time;
TimeSpan timeDelta = time - _prevEstimate.Time;
// Note: Use 0.0 and not 0 in order to use the correct constructor!
// If no GPS update is available, then use a zero matrix to ignore the values in the observation.
H = observation.GotGPSUpdate
? Matrix.Identity(m, n)
: new Matrix(m, n, 0.0);
HT = Matrix.Transpose(H);
UpdateTimeVaryingMatrices(timeDelta);
Matrix u = ToInputMatrix(input, time);
// Ref equations: http://en.wikipedia.org/wiki/Kalman_filter#The_Kalman_filter
// Calculate the state and the output
Matrix x = A * prev.X + B * u; // +w; noise is already modelled in input data
Matrix z = ToObservationMatrix(observation); //H * x + v;// m by 1
// Predictor equations
Matrix PriX = A * prev.PostX + B * u; // n by 1
Matrix PriP = A * prev.PostP * AT + Q; // n by n
Matrix residual = z - H * PriX; // m by 1
Matrix residualP = H * PriP * HT + R; // m by m
// If residualP is zero matrix then set its inverse to zero as well.
// This occurs if all observation standard deviations are zero
// and this workaround will cause the Kalman gain to trust the process model entirely.
Matrix residualPInv = Matrix.AlmostEqual(residualP, _zeroMM) // m by m
? _zeroMM
: residualP.Inverse();
// Corrector equations
Matrix K = PriP * Matrix.Transpose(H) * residualPInv; // n by m
Matrix PostX = PriX + K * residual; // n by 1
Matrix PostP = (I - K * H) * PriP; // n by n
var tmpPosition = new Vector3((float)PostX[0, 0], (float)PostX[1, 0], (float)PostX[2, 0]);
// var tmpPrevPosition = new Vector3((float)prev.PostX[0, 0], (float)prev.PostX[1, 0], (float)prev.PostX[2, 0]);
// Vector3 positionChange = tmpPosition - tmpPrevPosition;
Vector3 gpsPositionTrust = new Vector3((float)K[0, 0], (float)K[1, 1], (float)K[2, 2]);
Vector3 gpsVelocityTrust = new Vector3((float)K[3, 3], (float)K[4, 4], (float)K[5, 5]);
//
// Matrix tmpPriPGain = A*Matrix.Identity(10,10)*AT + Q;
var tmpVelocity = new Vector3((float)x[3, 0], (float)x[4, 0], (float)x[5, 0]);
var tmpAccel = new Vector3((float)x[6, 0], (float)x[7, 0], (float)x[8, 0]);
return(new StepOutput <Matrix>
{
K = K,
PriX = PriX,
PriP = PriP,
PostX = PostX,
PostP = PostP,
PostXError = PostX - x,
PriXError = PriX - x,
X = x,
Z = z,
W = w,
V = v,
Time = time,
});
}