w2img::KalmanEstimator Class Reference

List of all members.

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Detailed Description

The Kalman estimator gives an estimate of the value assuming that the observation is of the same value.

i.e. the filter equations are:

        x_(k+1) = x_k + w_k
        z_k     = x_k + v_k
     

z_k is the observation of the "true" or "model" x_k. Update the filter with z_k's. At any time, you can get the model estimate x_k based on all the previous observations.

The error covariances (E(w_k^2) and E(v_k^2)) are estimated directly from the data.

Author:

Lakshman

Version:

Id

w2img_KalmanEstimator.h,v 1.9 2009/06/02 20:17:57 lakshman Exp

Public Member Functions
	KalmanEstimator (float x_0=0, float p_0=0)
	Pass in your estimate of the initial value and its error covariance.
void	init (float x_0, float p_0=0)
bool	updated () const
	Has this Kalman estimator been updated?
void	update (float z_k, int MAX_HISTORY=-1)
	update the filter with an observation.
float	getValue () const
	get the model value.
float	getModelCovariance () const
float	getObservationCovariance () const

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Constructor & Destructor Documentation

w2img::KalmanEstimator::KalmanEstimator	(	float	x_0 = 0,
		float	p_0 = 0
	)

Pass in your estimate of the initial value and its error covariance.

With time, the filter will place less weight on this initial condition and more on the actual observation.

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Member Function Documentation

float w2img::KalmanEstimator::getModelCovariance

(

)

const [inline]

float w2img::KalmanEstimator::getObservationCovariance

(

)

const [inline]

float w2img::KalmanEstimator::getValue

(

)

const [inline]

get the model value.

void w2img::KalmanEstimator::init	(	float	x_0,
		float	p_0 = 0
	)

void w2img::KalmanEstimator::update	(	float	z_k,
		int	MAX_HISTORY = -1
	)

update the filter with an observation.

Specify the weight to be given to earlier time steps in computing error covariances. By default, every one of the previous values will be used; specify this if you have reason to believe that the error model is going to be changing.

bool w2img::KalmanEstimator::updated

(

)

const [inline]

Has this Kalman estimator been updated?

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