kalman_udu.h File Reference

UDU Kalman Filter (Bierman/Thornton "Square Root" Implementation). More...

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Namespaces
namespace	warpos

Functions
int	warpos::kalman_udu (floating_point *x, floating_point *U, floating_point *d, const floating_point *z, const floating_point *R, const floating_point *Ht, int n, int m, floating_point chi2_threshold, int downweight_outlier)
	(Robust) Square Root Kalman Filter (Bierman) update routine for linear systems.
int	warpos::kalman_udu_scalar (floating_point *x, floating_point *U, floating_point *d, const floating_point dz, const floating_point R, const floating_point *H_line, int n)
	Square Root Kalman Filter (Bierman) Routine for a single scalar measurement.
int	warpos::decorrelate (floating_point *z, floating_point *Ht, floating_point *R, int n, int m)
	Decorrelate measurements. For a given covariance matrix R of correlated measurements, calculate a vector of decorrelated measurements (and the matching H-matrix) so that the new covariance R of the decorrelated measurements is an identity matrix.
void	warpos::kalman_udu_predict (floating_point *x, floating_point *U, floating_point *d, const floating_point *Phi, const floating_point *G, const floating_point *Q, int n, int r)
	UDU' (Thornton) Filter Temporal / Prediction Step.

Detailed Description

UDU Kalman Filter (Bierman/Thornton "Square Root" Implementation).

Author

Jan Zwiener (jan@z.nosp@m.wien.nosp@m.er.or.nosp@m.g)