[262] | 1 | |
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[386] | 2 | #include <estim/kalman.h> |
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[7] | 3 | |
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[254] | 4 | using namespace bdm; |
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[7] | 5 | |
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| 6 | //These lines are needed for use of cout and endl |
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| 7 | using std::cout; |
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| 8 | using std::endl; |
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| 9 | |
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| 10 | int main() { |
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[33] | 11 | // Kalman filter |
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[477] | 12 | mat A, B, C, D, R, Q, P0; |
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[8] | 13 | vec mu0; |
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| 14 | mat Mu0;; |
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| 15 | // input from Matlab |
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[477] | 16 | it_file fin ( "testKF.it" ); |
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[11] | 17 | |
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[37] | 18 | mat Dt; |
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[8] | 19 | int Ndat; |
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[7] | 20 | |
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[477] | 21 | bool xxx = fin.seek ( "d" ); |
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| 22 | if ( !xxx ) { |
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[565] | 23 | bdm_error ( "testKF.it not found" ); |
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[477] | 24 | } |
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| 25 | fin >> Dt; |
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| 26 | fin.seek ( "A" ); |
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[8] | 27 | fin >> A; |
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[477] | 28 | fin.seek ( "B" ); |
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[8] | 29 | fin >> B; |
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[477] | 30 | fin.seek ( "C" ); |
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[8] | 31 | fin >> C; |
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[477] | 32 | fin.seek ( "D" ); |
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[8] | 33 | fin >> D; |
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[477] | 34 | fin.seek ( "R" ); |
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[8] | 35 | fin >> R; |
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[477] | 36 | fin.seek ( "Q" ); |
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| 37 | fin >> Q; |
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| 38 | fin.seek ( "P0" ); |
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| 39 | fin >> P0; |
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| 40 | fin.seek ( "mu0" ); |
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| 41 | fin >> Mu0; |
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| 42 | mu0 = Mu0.get_col ( 0 ); |
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| 43 | |
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[87] | 44 | Ndat = 10;//Dt.cols(); |
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[37] | 45 | int dimx = A.rows(); |
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[477] | 46 | |
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[37] | 47 | // Prepare for Kalman filters in BDM: |
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[477] | 48 | RV rx ( "{x }", vec_1 ( A.cols() ) ); |
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| 49 | RV ru ( "{u }", vec_1 ( B.cols() ) ); |
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| 50 | RV ry ( "{y }", vec_1 ( C.rows() ) ); |
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| 51 | |
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[37] | 52 | // // LDMAT |
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| 53 | // Kalman<ldmat> KF(rx,ry,ru); |
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| 54 | // KF.set_parameters(A,B,C,D,ldmat(R),ldmat(Q)); |
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| 55 | // KF.set_est(mu0,ldmat(P0) ); |
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[271] | 56 | // epdf& KFep = KF.posterior(); |
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[477] | 57 | // mat Xt(2,Ndat); |
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[37] | 58 | // Xt.set_col( 0,KFep.mean() ); |
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[7] | 59 | |
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[37] | 60 | //Chol |
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[270] | 61 | KalmanCh KF; |
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[477] | 62 | KF.set_parameters ( A, B, C, D, chmat ( R ), chmat ( Q ) ); |
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[583] | 63 | KF.set_statistics ( mu0, chmat ( P0 ) ); //prediction! |
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[271] | 64 | const epdf& KFep = KF.posterior(); |
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[477] | 65 | mat Xt ( dimx, Ndat ); |
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| 66 | Xt.set_col ( 0, KFep.mean() ); |
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| 67 | |
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[37] | 68 | // FULL |
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[583] | 69 | KalmanFull KF2; |
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| 70 | KF2.set_parameters( A, B, C, D, R, Q); |
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| 71 | KF2.set_statistics( mu0, P0 ); |
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[477] | 72 | mat Xt2 ( dimx, Ndat ); |
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| 73 | Xt2.set_col ( 0, mu0 ); |
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[37] | 74 | |
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[477] | 75 | |
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[37] | 76 | // EKF |
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[527] | 77 | shared_ptr<bilinfn> fxu = new bilinfn ( A, B ); |
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| 78 | shared_ptr<bilinfn> hxu = new bilinfn ( C, D ); |
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[270] | 79 | EKFCh KFE; |
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[527] | 80 | KFE.set_parameters ( fxu, hxu, Q, R ); |
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[583] | 81 | KFE.set_statistics ( mu0, chmat ( P0 ) ); |
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[271] | 82 | const epdf& KFEep = KFE.posterior(); |
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[477] | 83 | mat XtE ( dimx, Ndat ); |
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| 84 | XtE.set_col ( 0, KFEep.mean() ); |
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[8] | 85 | |
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[37] | 86 | //test performance of each filter |
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| 87 | Real_Timer tt; |
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[583] | 88 | vec exec_times ( 3 ); // KF, KF2, KFE |
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[477] | 89 | |
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[37] | 90 | tt.tic(); |
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[477] | 91 | for ( int t = 1; t < Ndat; t++ ) { |
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| 92 | KF.bayes ( Dt.get_col ( t ) ); |
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| 93 | Xt.set_col ( t, KFep.mean() ); |
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[37] | 94 | } |
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[477] | 95 | exec_times ( 0 ) = tt.toc(); |
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| 96 | |
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[37] | 97 | tt.tic(); |
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[477] | 98 | for ( int t = 1; t < Ndat; t++ ) { |
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[583] | 99 | KF2.bayes ( Dt.get_col ( t ) ); |
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| 100 | Xt2.set_col ( t, KF2.posterior().mean() ); |
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[37] | 101 | } |
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[477] | 102 | exec_times ( 1 ) = tt.toc(); |
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[37] | 103 | |
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| 104 | tt.tic(); |
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[477] | 105 | for ( int t = 1; t < Ndat; t++ ) { |
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| 106 | KFE.bayes ( Dt.get_col ( t ) ); |
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| 107 | XtE.set_col ( t, KFEep.mean() ); |
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[7] | 108 | } |
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[583] | 109 | exec_times ( 2 ) = tt.toc(); |
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[7] | 110 | |
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[37] | 111 | |
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[477] | 112 | it_file fou ( "testKF_res.it" ); |
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| 113 | fou << Name ( "xth" ) << Xt; |
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| 114 | fou << Name ( "xth2" ) << Xt2; |
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| 115 | fou << Name ( "xthE" ) << XtE; |
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| 116 | fou << Name ( "exec_times" ) << exec_times; |
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[7] | 117 | //Exit program: |
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| 118 | return 0; |
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| 119 | |
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| 120 | } |
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