78 lines
2.3 KiB
Matlab
78 lines
2.3 KiB
Matlab
% /* ----------------------------------------------------------------------------
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%
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% * GTSAM Copyright 2010, Georgia Tech Research Corporation,
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% * Atlanta, Georgia 30332-0415
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% * All Rights Reserved
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% * Authors: Frank Dellaert, et al. (see THANKS for the full author list)
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%
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% * See LICENSE for the license information
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%
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% * -------------------------------------------------------------------------- */
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%
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% /**
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% * @file testKalmanFilter.cpp
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% * @brief Test simple linear Kalman filter on a moving 2D point
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% * @date Sep 3, 2011
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% * @author Stephen Williams
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% * @author Frank Dellaert
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% * @author Richard Roberts
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% */
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%% Create the controls and measurement properties for our example
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F = eye(2,2);
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B = eye(2,2);
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u = [1.0; 0.0];
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modelQ = SharedDiagonal([0.1;0.1]);
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Q = 0.01*eye(2,2);
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H = eye(2,2);
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z1 = [1.0, 0.0]';
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z2 = [2.0, 0.0]';
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z3 = [3.0, 0.0]';
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modelR = SharedDiagonal([0.1;0.1]);
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R = 0.01*eye(2,2);
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%% Create the set of expected output TestValues
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expected0 = [0.0, 0.0]';
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P00 = 0.01*eye(2,2);
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expected1 = [1.0, 0.0]';
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P01 = P00 + Q;
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I11 = inv(P01) + inv(R);
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expected2 = [2.0, 0.0]';
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P12 = inv(I11) + Q;
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I22 = inv(P12) + inv(R);
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expected3 = [3.0, 0.0]';
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P23 = inv(I22) + Q;
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I33 = inv(P23) + inv(R);
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%% Create the Kalman Filter initialization point
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x_initial = [0.0;0.0];
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P_initial = SharedDiagonal([0.1;0.1]);
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%% Create an KalmanFilter object
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kalmanFilter = KalmanFilter(x_initial, P_initial)
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EQUALITY('expected0,kalmanFilter.mean', expected0,kalmanFilter.mean);
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EQUALITY('expected0,kalmanFilter.mean', P00,kalmanFilter.covariance);
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%% Run iteration 1
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kalmanFilter.predict(F, B, u, modelQ);
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EQUALITY('expected1,kalmanFilter.mean', expected1,kalmanFilter.mean);
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EQUALITY('P01,kalmanFilter.covariance', P01,kalmanFilter.covariance);
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kalmanFilter.update(H,z1,modelR);
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EQUALITY('expected1,kalmanFilter.mean', expected1,kalmanFilter.mean);
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EQUALITY('I11,kalmanFilter.information', I11,kalmanFilter.information);
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%% Run iteration 2
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kalmanFilter.predict(F, B, u, modelQ);
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EQUALITY('expected2,kalmanFilter.mean', expected2,kalmanFilter.mean);
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kalmanFilter.update(H,z2,modelR);
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EQUALITY('expected2,kalmanFilter.mean', expected2,kalmanFilter.mean);
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%% Run iteration 3
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kalmanFilter.predict(F, B, u, modelQ);
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EQUALITY('expected3,kalmanFilter.mean', expected3,kalmanFilter.mean);
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kalmanFilter.update(H,z3,modelR);
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EQUALITY('expected3,kalmanFilter.mean', expected3,kalmanFilter.mean);
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