watchrobot/libraries/AP_Soaring/ExtendedKalmanFilter.cpp

#include "ExtendedKalmanFilter.h"
#include "AP_Math/matrixN.h"


float ExtendedKalmanFilter::measurementpredandjacobian(VectorN<float,N> &A)
{
    // This function computes the Jacobian using equations from
    // analytical derivation of Gaussian updraft distribution
    // This expression gets used lots
    float expon = expf(- (powf(X[2], 2) + powf(X[3], 2)) / powf(X[1], 2));
    // Expected measurement
    float w = X[0] * expon;

    // Elements of the Jacobian
    A[0] = expon;
    A[1] = 2 * X[0] * ((powf(X[2],2) + powf(X[3],2)) / powf(X[1],3)) * expon;
    A[2] = -2 * (X[0] * X[2] / powf(X[1],2)) * expon;
    A[3] = A[2] * X[3] / X[2];
    return w;
}


void ExtendedKalmanFilter::reset(const VectorN<float,N> &x, const MatrixN<float,N> &p, const MatrixN<float,N> q, float r)
{
    P = p;
    X = x;
    Q = q;
    R = r;
}


void ExtendedKalmanFilter::update(float z, float Vx, float Vy)
{
    MatrixN<float,N> tempM;
    VectorN<float,N> H;
    VectorN<float,N> P12;
    VectorN<float,N> K;
    
    // LINE 28
    // Estimate new state from old.
    X[2] -= Vx;
    X[3] -= Vy;

    // LINE 33
    // Update the covariance matrix
    // P = A*ekf.P*A'+ekf.Q;
    // We know A is identity so
    // P = ekf.P+ekf.Q;
    P += Q;

    // What measurement do we expect to receive in the estimated
    // state
    // LINE 37
    // [z1,H] = ekf.jacobian_h(x1);
    float z1 = measurementpredandjacobian(H);

    // LINE 40
    // P12 = P * H';
    P12.mult(P, H); //cross covariance 
    
    // LINE 41
    // Calculate the KALMAN GAIN
    // K = P12 * inv(H*P12 + ekf.R);                     %Kalman filter gain
    K = P12 * 1.0 / (H * P12 + R);

    // Correct the state estimate using the measurement residual.
    // LINE 44
    // X = x1 + K * (z - z1);
    X += K * (z - z1);

    // Correct the covariance too.
    // LINE 46
    // NB should be altered to reflect Stengel
    // P = P_predict - K * P12';
    tempM.mult(K, P12);
    P -= tempM;
    
    P.force_symmetry();
}