[7] | 1 | #include <itpp/itbase.h> |
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[22] | 2 | #include <estim/libKF.h> |
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[7] | 3 | |
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| 4 | using namespace itpp; |
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| 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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| 11 | |
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[19] | 12 | |
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[33] | 13 | // Kalman filter |
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[8] | 14 | mat A, B,C,D,R,Q,P0; |
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| 15 | vec mu0; |
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| 16 | mat Mu0;; |
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| 17 | // input from Matlab |
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[9] | 18 | it_file fin( "testKF.it" ); |
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[11] | 19 | |
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[32] | 20 | mat Dt, Xt,Xt2,XtE,Xtf; |
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[8] | 21 | int Ndat; |
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[7] | 22 | |
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[18] | 23 | bool xxx= fin.seek( "d" ); |
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[28] | 24 | if (!xxx){ it_error("testKF.it not found");} |
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[18] | 25 | fin >>Dt; |
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[8] | 26 | fin.seek( "A" ); |
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| 27 | fin >> A; |
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| 28 | fin.seek( "B" ); |
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| 29 | fin >> B; |
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| 30 | fin.seek( "C" ); |
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| 31 | fin >> C; |
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| 32 | fin.seek( "D" ); |
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| 33 | fin >> D; |
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| 34 | fin.seek( "R" ); |
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| 35 | fin >> R; |
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| 36 | fin.seek( "Q" ); fin >> Q; |
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| 37 | fin.seek( "P0" ); fin >> P0; |
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[18] | 38 | fin.seek( "mu0" ); fin >> Mu0; |
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| 39 | mu0=Mu0.get_col(0); |
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[7] | 40 | |
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[8] | 41 | Ndat = Dt.cols(); |
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| 42 | Xt=zeros( 2,Ndat ); |
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| 43 | Xt2=zeros( 2,Ndat ); |
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[32] | 44 | Xtf=zeros( 2,Ndat ); |
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[22] | 45 | XtE=zeros( 2,Ndat ); |
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[7] | 46 | |
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[8] | 47 | // cout << KF; |
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[32] | 48 | RV rx("1","{x}","2","0"); |
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| 49 | RV ru("2","{u}","1","0"); |
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| 50 | RV ry("3","{y}","1","0"); |
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[28] | 51 | // |
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| 52 | Kalman<ldmat> KF(rx,ry,ru); |
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| 53 | KF.set_parameters(A,B,C,D,ldmat(R),ldmat(Q)); |
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| 54 | KF.set_est(mu0,ldmat(P0) ); |
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| 55 | // |
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| 56 | Kalman<fsqmat> KFf(rx,ry,ru); |
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| 57 | KFf.set_parameters(A,B,C,D,fsqmat(R),fsqmat(Q)); |
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| 58 | KFf.set_est(mu0,fsqmat(P0) ); |
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| 59 | // |
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| 60 | KalmanFull KF2( A,B,C,D,R,Q,P0,mu0 ); |
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| 61 | // |
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[22] | 62 | bilinfn fxu(rx,ru,A,B); |
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| 63 | bilinfn hxu(rx,ru,C,D); |
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[28] | 64 | EKF<ldmat> KFE(rx,ry,ru); |
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| 65 | KFE.set_parameters(&fxu,&hxu,Q,R); |
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| 66 | KFE.set_est(mu0,P0); |
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[8] | 67 | |
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[32] | 68 | epdf& KFep = KF._epdf(); |
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| 69 | epdf& KFfep = KFf._epdf(); |
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| 70 | epdf& KFEep = KFE._epdf(); |
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| 71 | |
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| 72 | Xt.set_col( 0,KFep.mean() ); |
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| 73 | Xtf.set_col( 0,KFfep.mean() ); |
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[28] | 74 | Xt2.set_col( 0,KF2.mu ); |
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[32] | 75 | XtE.set_col( 0,KFEep.mean() ); |
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[7] | 76 | for ( int t=1;t<Ndat;t++ ) { |
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[28] | 77 | KFf.bayes( Dt.get_col( t )); |
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[7] | 78 | KF.bayes( Dt.get_col( t )); |
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[8] | 79 | KF2.bayes( Dt.get_col( t )); |
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[32] | 80 | KFE.bayes( Dt.get_col( t )); |
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| 81 | Xt.set_col( t,KFep.mean() ); |
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| 82 | Xtf.set_col( t,KFfep.mean() ); |
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[8] | 83 | Xt2.set_col(t,KF2.mu); |
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[32] | 84 | XtE.set_col( t,KFEep.mean() ); |
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[7] | 85 | } |
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| 86 | |
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[9] | 87 | it_file fou( "testKF_res.it" ); |
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[7] | 88 | fou << Name("xth") << Xt; |
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[32] | 89 | fou << Name("xthf") << Xtf; |
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[8] | 90 | fou << Name("xth2") << Xt2; |
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[22] | 91 | fou << Name("xthE") << XtE; |
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[7] | 92 | //Exit program: |
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| 93 | return 0; |
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| 94 | |
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| 95 | } |
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