77 lines
1.9 KiB
C++
77 lines
1.9 KiB
C++
#pragma once
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#include <eigen3/Eigen/Eigen>
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#include <Indoor/data/Timestamp.h>
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struct Kalman
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{
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int nucID = 0; // debug only
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Eigen::Matrix<float, 2, 1> x; // predicted state
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Eigen::Matrix<float, 2, 2> P; // Covariance
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float R = 30; // measurement noise covariance
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float lastTimestamp = NAN; // in sec
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Kalman(): nucID(0) { }
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Kalman(int nucID)
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: nucID(nucID)
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{}
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Kalman(int nucID, float measStdDev)
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: nucID(nucID), R(measStdDev*measStdDev)
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{}
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float predict(const Timestamp timestamp, const float measurment)
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{
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constexpr auto square = [](float x) { return x * x; };
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const auto I = Eigen::Matrix2f::Identity();
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// init kalman filter
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if (isnan(lastTimestamp))
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{
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P << 10, 0,
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0, 10; // Initial Uncertainty
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x << measurment,
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0;
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}
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const float dt = isnan(lastTimestamp) ? 1 : timestamp.sec() - lastTimestamp;
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lastTimestamp = timestamp.sec();
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Eigen::Matrix<float, 1, 2> H; // Measurement function
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H << 1, 0;
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Eigen::Matrix2f A; // Transition Matrix
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A << 1, dt,
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0, 1;
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Eigen::Matrix2f Q; // Process Noise Covariance
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Q << 0, 0,
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0, square(0.3);
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// Prediction
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x = A * x; // Prädizierter Zustand aus Bisherigem und System
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P = A * P*A.transpose()+Q; // Prädizieren der Kovarianz
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// Correction
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float Z = measurment;
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auto y = Z - (H*x); // Innovation aus Messwertdifferenz
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auto S = (H*P*H.transpose()+R); // Innovationskovarianz
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auto K = P * H.transpose()* (1/S); //Filter-Matrix (Kalman-Gain)
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x = x + (K*y); // aktualisieren des Systemzustands
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P = (I - (K*H))*P; // aktualisieren der Kovarianz
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return x(0);
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}
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};
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