- refactored
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+23
-21
@@ -12,28 +12,30 @@ class Kalman:
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model = np.matrix([1, dt, 1/2*dt**2]).transpose()
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N = len(model)-1
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P = var_P*np.eye(N)
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R = var_R*np.eye(N)
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# Process Covariance Matrix
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self.P = var_P*np.eye(N)
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# Sensor Noise Covariance Matrix
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self.R = var_R*np.eye(N)
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H = np.eye(N)
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A = np.eye(N)
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self.A = np.eye(N)
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for row in range(0, N):
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A[row, row:N] = model.transpose()[0, 0:N-row]
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self.A[row, row:N] = model.transpose()[0, 0:N-row]
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G = np.matrix(model[N:0:-1])
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Q = G * G.transpose() * var_Q
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self.P = P
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self.Q = Q
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self.R = R
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# Process Noise Covariance Matrix
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self.Q = G * G.transpose() * var_Q
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self.N = N
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self.A = A
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self.H = H
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X = np.matrix([0, 1.0]).transpose()
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Xp = np.matrix([0, 0]).transpose()
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self.Xp = Xp
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self.X = X
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# State Matrix
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self.X = np.matrix([0, 1.0]).transpose()
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# Predicted State Matrix
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self.Xp = np.matrix([0, 0]).transpose()
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np.set_printoptions(precision=3)
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@@ -67,14 +69,6 @@ class Kalman:
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# State estimate
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self.Xp = self.A * self.Xp
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# ----------------------------
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# Measurement prediction
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Zp = self.H * self.Xp
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# ----------------------------
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# Measurement residual
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V = Z - Zp
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# ----------------------------
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# State prediction covariance
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self.P = self.A * self.P * self.A.transpose() + self.Q
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@@ -86,8 +80,16 @@ class Kalman:
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# ----------------------------
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# Kalman gain
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K = self.P * self.H.transpose() * inv(S)
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print("Kalman gain = {}".format(K))
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# ----------------------------
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# Measurement prediction
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Zp = self.H * self.Xp
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# ----------------------------
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# Measurement residual
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V = Z - Zp
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# Update state estimate
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self.Xp = self.Xp + K * V
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