Package org.hipparchus.filtering.kalman.extended

Class ExtendedKalmanFilter<T extends Measurement>

java.lang.Object

org.hipparchus.filtering.kalman.AbstractKalmanFilter<T>

org.hipparchus.filtering.kalman.extended.ExtendedKalmanFilter<T>

Type Parameters:

T - the type of the measurements

All Implemented Interfaces:

KalmanFilter<T>

public class ExtendedKalmanFilter<T extends Measurement>
extends AbstractKalmanFilter<T>

Kalman filter for non-linear process.

Since:

1.3

Constructor Summary

Constructors

Constructor	Description
ExtendedKalmanFilter(MatrixDecomposer decomposer, NonLinearProcess<T> process, ProcessEstimate initialState)	Simple constructor.

Method Summary

Modifier and Type	Method	Description
ProcessEstimate	estimationStep(T measurement)	Perform one estimation step.

Methods inherited from class org.hipparchus.filtering.kalman.AbstractKalmanFilter

computeInnovationCovarianceMatrix, correct, getCorrected, getPredicted, predict

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ExtendedKalmanFilter

public ExtendedKalmanFilter(MatrixDecomposer decomposer,
                            NonLinearProcess<T> process,
                            ProcessEstimate initialState)

Simple constructor.

Parameters:

decomposer - decomposer to use for the correction phase

process - non-linear process to estimate

initialState - initial state

Method Detail

estimationStep

public ProcessEstimate estimationStep(T measurement)
                               throws MathRuntimeException

Perform one estimation step.

Parameters:

measurement - single measurement to handle

Returns:

estimated state after measurement has been considered

Throws:

MathRuntimeException - if estimation fails