kalman_filters.h File Reference

Kalman filter implementation. More...

Go to the source code of this file.

Typedefs
typedef struct _KFilterData	KFilterData
	Single Kalman filter instance internal data structure.
typedef KFilterData *	KFilter
	Opaque reference to Kalman filter data structure.

Functions
KFilter	Kalman_CreateFilter (size_t statesNumber, size_t measurementsNumber, size_t inputsNumber)
	Creates and initializes internal matrices of Kalman filter data structure More...
void	Kalman_DiscardFilter (KFilter filter)
	Deallocates internal data of given filter More...
void	Kalman_SetInputFactor (KFilter filter, size_t stateIndex, size_t inputIndex, double ratio)
	Defines correlation between input and state variables for prediction phase. More...
void	Kalman_SetTransitionFactor (KFilter filter, size_t newStateIndex, size_t oldStateIndex, double ratio)
	Defines correlation between two state variables for state transition on prediction phase More...
void	Kalman_SetMeasureWeight (KFilter filter, size_t measureIndex, size_t stateIndex, double maxError)
	Defines impact of a measurement variable for state estimation More...
void	Kalman_SetMeasure (KFilter filter, size_t measureIndex, double value)
	Sets new value for a single measument. More...
void	Kalman_SetInput (KFilter filter, size_t inputIndex, double value)
	Sets new value for a single input. More...
double *	Kalman_Predict (KFilter filter, double *inputsList, double *result)
	Runs prediction phase on given Kalman filter More...
double *	Kalman_Update (KFilter filter, double *measuresList, double *result)
	Runs update phase on given Kalman filter More...
void	Kalman_Reset (KFilter filter)
	Resets internal filter matrices data. More...

Detailed Description

Kalman filter implementation.

Signal filtering and fusion utilities using Kalman algorithm Based on http://www.bzarg.com/p/how-a-kalman-filter-works-in-pictures/#mjx-eqn-kalupdatefull

Function Documentation

Kalman_CreateFilter()

KFilter Kalman_CreateFilter	(	size_t	statesNumber,
		size_t	measurementsNumber,
		size_t	inputsNumber
	)

Creates and initializes internal matrices of Kalman filter data structure

Parameters

[in]	statesNumber	size (in elements) of the internal estimated state vector
[in]	measurementsNumber	size (in elements) of the measurements vector
[in]	inputsNumber	size (in elements) of the inputs vector

Returns

reference/pointer to allocated and initialized Kalman filter data structure

Kalman_DiscardFilter()

void Kalman_DiscardFilter

(

KFilter

filter

)

Deallocates internal data of given filter

Parameters

[in]

filter

reference to filter

Kalman_Predict()

double* Kalman_Predict	(	KFilter	filter,
		double *	inputsList,
		double *	result
	)

Runs prediction phase on given Kalman filter

Parameters

[in]	filter	reference to filter
[in]	inputsList	array of input values (NULL if not updated)
[out]	result	pointer to array where predicted internal state will be copied (NULL if not required)

Returns

pointer to result array containing predicted filter state (NULL on errors)

Kalman_Reset()

void Kalman_Reset

(

KFilter

filter

)

Resets internal filter matrices data.

Parameters

[in]

filter

reference to filter

Kalman_SetInput()

void Kalman_SetInput	(	KFilter	filter,
		size_t	inputIndex,
		double	value
	)

Sets new value for a single input.

Parameters

[in]	filter	reference to filter
[in]	inputIndex	index of the input variable in the internal input vector
[in]	value	new value of the input variable

Kalman_SetInputFactor()

void Kalman_SetInputFactor	(	KFilter	filter,
		size_t	stateIndex,
		size_t	inputIndex,
		double	ratio
	)

Defines correlation between input and state variables for prediction phase.

Parameters

[in]	filter	reference to filter
[in]	stateIndex	index of the correspondent state variable in the internal state vector
[in]	inputIndex	index of the input variable in the internal input vector
[in]	ratio	output/input ratio desired on prediction

Kalman_SetMeasure()

void Kalman_SetMeasure	(	KFilter	filter,
		size_t	measureIndex,
		double	value
	)

Sets new value for a single measument.

Parameters

[in]	filter	reference to filter
[in]	measureIndex	index of the measure variable in the internal measure vector
[in]	value	new value of the measurement variable

Kalman_SetMeasureWeight()

void Kalman_SetMeasureWeight	(	KFilter	filter,
		size_t	measureIndex,
		size_t	stateIndex,
		double	maxError
	)

Defines impact of a measurement variable for state estimation

Parameters

[in]	filter	reference to filter
[in]	measureIndex	index of the measure variable in the internal measure vector
[in]	stateIndex	index of the correspondent state variable in the internal state vector
[in]	maxError	maximum deviation for error modeling

Kalman_SetTransitionFactor()

void Kalman_SetTransitionFactor	(	KFilter	filter,
		size_t	newStateIndex,
		size_t	oldStateIndex,
		double	ratio
	)

Defines correlation between two state variables for state transition on prediction phase

Parameters

[in]	filter	reference to filter
[in]	newStateIndex	index (in state vector) of variable updated during predicition
[in]	oldStateIndex	index (in state vector) of variable used to calculate predicition
[in]	ratio	output/input ratio desired on prediction

Kalman_Update()

double* Kalman_Update	(	KFilter	filter,
		double *	measuresList,
		double *	result
	)

Runs update phase on given Kalman filter

Parameters

[in]	filter	reference to filter
[in]	measuresList	array of measurement values (NULL if not updated)
[out]	result	pointer to array where updated internal state will be copied (NULL if not required)

Returns

pointer to result array containing updated filter state (NULL on errors)