124 lines
3.8 KiB
C
124 lines
3.8 KiB
C
#include <eigen3/Eigen/Dense>
|
|
#include <iostream>
|
|
|
|
typedef Eigen::Matrix<double, DIM, DIM, Eigen::RowMajor> DDM;
|
|
typedef Eigen::Matrix<double, EDIM, EDIM, Eigen::RowMajor> EEM;
|
|
typedef Eigen::Matrix<double, DIM, EDIM, Eigen::RowMajor> DEM;
|
|
|
|
void predict(double *in_x, double *in_P, double *in_Q, double dt) {
|
|
typedef Eigen::Matrix<double, MEDIM, MEDIM, Eigen::RowMajor> RRM;
|
|
|
|
double nx[DIM] = {0};
|
|
double in_F[EDIM*EDIM] = {0};
|
|
|
|
// functions from sympy
|
|
f_fun(in_x, dt, nx);
|
|
F_fun(in_x, dt, in_F);
|
|
|
|
|
|
EEM F(in_F);
|
|
EEM P(in_P);
|
|
EEM Q(in_Q);
|
|
|
|
RRM F_main = F.topLeftCorner(MEDIM, MEDIM);
|
|
P.topLeftCorner(MEDIM, MEDIM) = (F_main * P.topLeftCorner(MEDIM, MEDIM)) * F_main.transpose();
|
|
P.topRightCorner(MEDIM, EDIM - MEDIM) = F_main * P.topRightCorner(MEDIM, EDIM - MEDIM);
|
|
P.bottomLeftCorner(EDIM - MEDIM, MEDIM) = P.bottomLeftCorner(EDIM - MEDIM, MEDIM) * F_main.transpose();
|
|
|
|
P = P + dt*Q;
|
|
|
|
// copy out state
|
|
memcpy(in_x, nx, DIM * sizeof(double));
|
|
memcpy(in_P, P.data(), EDIM * EDIM * sizeof(double));
|
|
}
|
|
|
|
// note: extra_args dim only correct when null space projecting
|
|
// otherwise 1
|
|
template <int ZDIM, int EADIM, bool MAHA_TEST>
|
|
void update(double *in_x, double *in_P, Hfun h_fun, Hfun H_fun, Hfun Hea_fun, double *in_z, double *in_R, double *in_ea, double MAHA_THRESHOLD) {
|
|
typedef Eigen::Matrix<double, ZDIM, ZDIM, Eigen::RowMajor> ZZM;
|
|
typedef Eigen::Matrix<double, ZDIM, DIM, Eigen::RowMajor> ZDM;
|
|
typedef Eigen::Matrix<double, Eigen::Dynamic, EDIM, Eigen::RowMajor> XEM;
|
|
//typedef Eigen::Matrix<double, EDIM, ZDIM, Eigen::RowMajor> EZM;
|
|
typedef Eigen::Matrix<double, Eigen::Dynamic, 1> X1M;
|
|
typedef Eigen::Matrix<double, Eigen::Dynamic, Eigen::Dynamic, Eigen::RowMajor> XXM;
|
|
|
|
double in_hx[ZDIM] = {0};
|
|
double in_H[ZDIM * DIM] = {0};
|
|
double in_H_mod[EDIM * DIM] = {0};
|
|
double delta_x[EDIM] = {0};
|
|
double x_new[DIM] = {0};
|
|
|
|
|
|
// state x, P
|
|
Eigen::Matrix<double, ZDIM, 1> z(in_z);
|
|
EEM P(in_P);
|
|
ZZM pre_R(in_R);
|
|
|
|
// functions from sympy
|
|
h_fun(in_x, in_ea, in_hx);
|
|
H_fun(in_x, in_ea, in_H);
|
|
ZDM pre_H(in_H);
|
|
|
|
// get y (y = z - hx)
|
|
Eigen::Matrix<double, ZDIM, 1> pre_y(in_hx); pre_y = z - pre_y;
|
|
X1M y; XXM H; XXM R;
|
|
if (Hea_fun){
|
|
typedef Eigen::Matrix<double, ZDIM, EADIM, Eigen::RowMajor> ZAM;
|
|
double in_Hea[ZDIM * EADIM] = {0};
|
|
Hea_fun(in_x, in_ea, in_Hea);
|
|
ZAM Hea(in_Hea);
|
|
XXM A = Hea.transpose().fullPivLu().kernel();
|
|
|
|
|
|
y = A.transpose() * pre_y;
|
|
H = A.transpose() * pre_H;
|
|
R = A.transpose() * pre_R * A;
|
|
} else {
|
|
y = pre_y;
|
|
H = pre_H;
|
|
R = pre_R;
|
|
}
|
|
// get modified H
|
|
H_mod_fun(in_x, in_H_mod);
|
|
DEM H_mod(in_H_mod);
|
|
XEM H_err = H * H_mod;
|
|
|
|
// Do mahalobis distance test
|
|
if (MAHA_TEST){
|
|
XXM a = (H_err * P * H_err.transpose() + R).inverse();
|
|
double maha_dist = y.transpose() * a * y;
|
|
if (maha_dist > MAHA_THRESHOLD){
|
|
R = 1.0e16 * R;
|
|
}
|
|
}
|
|
|
|
// Outlier resilient weighting
|
|
double weight = 1;//(1.5)/(1 + y.squaredNorm()/R.sum());
|
|
|
|
// kalman gains and I_KH
|
|
XXM S = ((H_err * P) * H_err.transpose()) + R/weight;
|
|
XEM KT = S.fullPivLu().solve(H_err * P.transpose());
|
|
//EZM K = KT.transpose(); TODO: WHY DOES THIS NOT COMPILE?
|
|
//EZM K = S.fullPivLu().solve(H_err * P.transpose()).transpose();
|
|
//std::cout << "Here is the matrix rot:\n" << K << std::endl;
|
|
EEM I_KH = Eigen::Matrix<double, EDIM, EDIM>::Identity() - (KT.transpose() * H_err);
|
|
|
|
// update state by injecting dx
|
|
Eigen::Matrix<double, EDIM, 1> dx(delta_x);
|
|
dx = (KT.transpose() * y);
|
|
memcpy(delta_x, dx.data(), EDIM * sizeof(double));
|
|
err_fun(in_x, delta_x, x_new);
|
|
Eigen::Matrix<double, DIM, 1> x(x_new);
|
|
|
|
// update cov
|
|
P = ((I_KH * P) * I_KH.transpose()) + ((KT.transpose() * R) * KT);
|
|
|
|
// copy out state
|
|
memcpy(in_x, x.data(), DIM * sizeof(double));
|
|
memcpy(in_P, P.data(), EDIM * EDIM * sizeof(double));
|
|
memcpy(in_z, y.data(), y.rows() * sizeof(double));
|
|
}
|
|
|
|
|