UKF Class Reference

Unscented Kalman Filter class. More...

#include <sc_ukf.h>

Public Member Functions
	UKF ()
	Constructor.
	~UKF ()
	Destructor.
void	set_filter_mode (UKF_mode mode)
	Sets the filter mode. More...
void	set_filter_parameters (const double alpha, const double kappa, const double beta)
	Sets the filter parameters. More...
void	set_integrator_time_info (double t, double dt)
	Sets the integrator time and time step. More...
void	set_initial_values (const ml_matrix &state0, const ml_matrix &covariance0, const ml_matrix &parameter0=ml_matrix())
	Sets the initial state and covariance. More...
void	set_noise_covariances (const ml_matrix &Rp, const ml_matrix &Rm)
	Sets the noise covariance matrices. More...
void	set_state_function (state_func state_fun)
	Sets the state function. More...
void	set_integrator (integ_func integ_fun)
	Sets the integrator function. More...
void	set_measurement_function (meas_func meas_fun)
	Sets the measurement function. More...
void	set_context (void *context)
	Sets the context pointer for data needed by the state or measurement functions. More...
void	set_state (const ml_matrix &state0)
	Sets the current state. More...
ml_matrix	current_state (void) const
	Returns the current estimated state.
ml_matrix	current_residual (void) const
	Returns the current residual.
ml_matrix	current_parameter (void) const
	Returns the current estimated parameter.
ml_matrix	current_covariance (void) const
	Returns the current estimated covariance.
ml_matrix	current_residual_covariance (void) const
	Returns the current residual covariance.
ml_matrix	current_rhs_params (void) const
	Returns the current RHS parameters (only used in parameter mode).
void	update_estimate (const ml_matrix &measurement)
	Updates the current estimate. More...

Detailed Description

Unscented Kalman Filter class.

Implements an unscented Kalman filter (UKF). Operates in two modes: state and parameter.

To create and use a filter, do the following:

1. Construct a UKF object.
2. Set the filter mode (state or parameter).
3. Set the filter parameters.
4. Set the integrator time information (time and time step).
5. Set the initial state, covariance, and (only in parameter mode) parameters.
6. Set the noise covariance matrices (process and measurement).
7. Set the update functions (state, integrator (for state), and measurement).
8. Set the context data if needed by the state or measurement functions
9. Use the filter:
   1. get the current state/parameter/covariance,
   2. set the integrator current time, and
   3. update the filter based on new measurements, as appropriate.
10. When finished with it, destroy the UKF object.

Member Function Documentation

set_filter_mode()

void UKF::set_filter_mode

(

UKF_mode

mode

)

Sets the filter mode.

Parameters

mode	desired mode (from enum UKF_mode).

set_filter_parameters()

void UKF::set_filter_parameters	(	const double	alpha,
		const double	kappa,
		const double	beta
	)

Sets the filter parameters.

Parameters

alpha	usually in [.0001,1]
kappa	0 for state estimation
beta	2 for normally distributed data

set_integrator_time_info()

void UKF::set_integrator_time_info	(	double	t,
		double	dt
	)

Sets the integrator time and time step.

Parameters

t	time (s)
dt	timestep (s)

set_initial_values()

void UKF::set_initial_values	(	const ml_matrix &	state0,
		const ml_matrix &	covariance0,
		const ml_matrix &	parameter0 = ml_matrix()
	)

Sets the initial state and covariance.

Sets the initial state, parameter and covariance.

Parameters

state0	state (nx1)
covariance0	covariance (nxn)
parameter0	parameter (nx1) (not used in state mode)

set_noise_covariances()

void UKF::set_noise_covariances	(	const ml_matrix &	Rp,
		const ml_matrix &	Rm
	)

Sets the noise covariance matrices.

Parameters

Rp	noise covariance matrix (nxn)
Rm	measurement covariance matrix (mxm)

set_state_function()

void UKF::set_state_function

(

state_func

state_fun

)

Sets the state function.

Sets the state function, which is the right hand side of the state update.

Parameters

state_fun

a function pointer to a state_func function

set_integrator()

void UKF::set_integrator

(

integ_func

integ_fun

)

Sets the integrator function.

Sets the integrator function used to propagate the state.

Parameters

integ_fun

a function pointer to a integ_func function

set_measurement_function()

void UKF::set_measurement_function

(

meas_func

meas_fun

)

Sets the measurement function.

Parameters

meas_fun

a function pointer to a meas_func function

set_context()

void UKF::set_context

(

void *

context

)

Sets the context pointer for data needed by the state or measurement functions.

Sets the context pointer that will be passed in to the other functions.

Parameters

*context

a function pointer to a meas_func function

set_state()

void UKF::set_state

(

const ml_matrix &

state0

)

Sets the current state.

Sets the state.

Parameters

state0

state (nx1)

update_estimate()

void UKF::update_estimate

(

const ml_matrix &

measurement

)

Updates the current estimate.

Parameters

measurement

updated measurement vector (mx1)