Package org.hipparchus.filtering.kalman.unscented

Class UnscentedKalmanFilter<T extends Measurement>

java.lang.Object

org.hipparchus.filtering.kalman.unscented.UnscentedKalmanFilter<T>

Type Parameters:

T - the type of the measurements

All Implemented Interfaces:

KalmanEstimate, KalmanFilter<T>

public class UnscentedKalmanFilter<T extends Measurement>
extends Object
implements KalmanFilter<T>

Unscented Kalman filter for unscented process.

Since:

2.2

See Also:

• "Wan, E. A., & Van Der Merwe, R. (2000, October). The unscented Kalman filter for nonlinear estimation. In Proceedings of the IEEE 2000 Adaptive Systems for Signal Processing, Communications, and Control Symposium (Cat. No. 00EX373) (pp. 153-158)"

Constructor Summary

Constructors

Constructor	Description
UnscentedKalmanFilter(MatrixDecomposer decomposer, UnscentedProcess<T> process, ProcessEstimate initialState, UnscentedTransformProvider utProvider)	Simple constructor.

Method Summary

Modifier and Type	Method	Description
ProcessEstimate	estimationStep(T measurement)	Perform one estimation step.
ProcessEstimate	getCorrected()	Get the corrected state.
ProcessEstimate	getPredicted()	Get the predicted state.
RealMatrix	getStateCrossCovariance()	Get the cross-covariance between the previous state and the prediction.
UnscentedTransformProvider	getUnscentedTransformProvider()	Get the unscented transform provider.
void	setObserver(KalmanObserver kalmanObserver)	Set the filter observer callback.

Methods inherited from class java.lang.Object

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

Constructor Details

UnscentedKalmanFilter

public UnscentedKalmanFilter(MatrixDecomposer decomposer,
 UnscentedProcess<T> process,
 ProcessEstimate initialState,
 UnscentedTransformProvider utProvider)

Simple constructor.

Parameters:

decomposer - decomposer to use for the correction phase

process - unscented process to estimate

initialState - initial state

utProvider - unscented transform provider

Method Details

estimationStep

public ProcessEstimate estimationStep(T measurement)
                               throws MathRuntimeException

Perform one estimation step.

Specified by:

estimationStep in interface KalmanFilter<T extends Measurement>

Parameters:

measurement - single measurement to handle

Returns:

estimated state after measurement has been considered

Throws:

MathRuntimeException - if estimation fails

setObserver

public void setObserver(KalmanObserver kalmanObserver)

Set the filter observer callback.

Specified by:

setObserver in interface KalmanFilter<T extends Measurement>

Parameters:

kalmanObserver - the observer

getPredicted

public ProcessEstimate getPredicted()

Get the predicted state.

Specified by:

getPredicted in interface KalmanEstimate

Returns:

predicted state

getCorrected

public ProcessEstimate getCorrected()

Get the corrected state.

Specified by:

getCorrected in interface KalmanEstimate

Returns:

corrected state

getStateCrossCovariance

public RealMatrix getStateCrossCovariance()

Get the cross-covariance between the previous state and the prediction. Not required for forward filtering, but required for the smoother.

Specified by:

getStateCrossCovariance in interface KalmanEstimate

Returns:

cross-covariance

getUnscentedTransformProvider

public UnscentedTransformProvider getUnscentedTransformProvider()

Get the unscented transform provider.

Returns:

unscented transform provider