mirror of
https://github.com/gnss-sdr/gnss-sdr
synced 2024-06-16 10:09:58 +00:00
Merge branch 'kf19-next' of https://github.com/glamountain/gnss-sdr into glamountain-kf19-next
This commit is contained in:
Carles Fernandez
commit
ce3d018f67
|
|
@ -33,6 +33,7 @@ set(TRACKING_LIB_SOURCES
|
|||
cpu_multicorrelator.cc
|
||||
cpu_multicorrelator_real_codes.cc
|
||||
cpu_multicorrelator_16sc.cc
|
||||
cubature_filter.cc
|
||||
lock_detectors.cc
|
||||
tcp_communication.cc
|
||||
tcp_packet_data.cc
|
||||
|
|
@ -50,6 +51,7 @@ set(TRACKING_LIB_HEADERS
|
|||
cpu_multicorrelator.h
|
||||
cpu_multicorrelator_real_codes.h
|
||||
cpu_multicorrelator_16sc.h
|
||||
cubature_filter.h
|
||||
lock_detectors.h
|
||||
tcp_communication.h
|
||||
tcp_packet_data.h
|
||||
|
|
|
|||
190
src/algorithms/tracking/libs/cubature_filter.cc
Normal file
190
src/algorithms/tracking/libs/cubature_filter.cc
Normal file
|
|
@ -0,0 +1,190 @@
|
|||
/*!
|
||||
* \file cubature_filter.cc
|
||||
* \brief Interface of a library with Bayesian noise statistic estimation
|
||||
*
|
||||
* Cubature_Filter implements the functionality of the Cubature Kalman
|
||||
* Filter, which uses multidimensional cubature rules to estimate the
|
||||
* time evolution of a nonlinear system.
|
||||
*
|
||||
* [1] I Arasaratnam and S Haykin. Cubature kalman filters. IEEE
|
||||
* Transactions on Automatic Control, 54(6):1254–1269,2009.
|
||||
*
|
||||
* \authors <ul>
|
||||
* <li> Gerald LaMountain, 2019. gerald(at)ece.neu.edu
|
||||
* <li> Jordi Vila-Valls 2019. jvila(at)cttc.es
|
||||
* </ul>
|
||||
* -------------------------------------------------------------------------
|
||||
*
|
||||
* Copyright (C) 2010-2019 (see AUTHORS file for a list of contributors)
|
||||
*
|
||||
* GNSS-SDR is a software defined Global Navigation
|
||||
* Satellite Systems receiver
|
||||
*
|
||||
* This file is part of GNSS-SDR.
|
||||
*
|
||||
* GNSS-SDR is free software: you can redistribute it and/or modify
|
||||
* it under the terms of the GNU General Public License as published by
|
||||
* the Free Software Foundation, either version 3 of the License, or
|
||||
* (at your option) any later version.
|
||||
*
|
||||
* GNSS-SDR is distributed in the hope that it will be useful,
|
||||
* but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
* GNU General Public License for more details.
|
||||
*
|
||||
* You should have received a copy of the GNU General Public License
|
||||
* along with GNSS-SDR. If not, see <https://www.gnu.org/licenses/>.
|
||||
*
|
||||
* -------------------------------------------------------------------------
|
||||
*/
|
||||
|
||||
#include "cubature_filter.h"
|
||||
|
||||
|
||||
Cubature_filter::Cubature_filter()
|
||||
{
|
||||
int nx = 1;
|
||||
x_pred_out = arma::zeros(nx, 1);
|
||||
P_x_pred_out = arma::eye(nx, nx) * (nx + 1);
|
||||
|
||||
x_est = x_pred_out;
|
||||
P_x_est = P_x_pred_out;
|
||||
}
|
||||
|
||||
Cubature_filter::Cubature_filter(int nx)
|
||||
{
|
||||
x_pred_out = arma::zeros(nx, 1);
|
||||
P_x_pred_out = arma::eye(nx, nx) * (nx + 1);
|
||||
|
||||
x_est = x_pred_out;
|
||||
P_x_est = P_x_pred_out;
|
||||
}
|
||||
|
||||
Cubature_filter::Cubature_filter(const arma::vec& x_pred_0, const arma::mat& P_x_pred_0)
|
||||
{
|
||||
x_pred_out = x_pred_0;
|
||||
P_x_pred_out = P_x_pred_0;
|
||||
|
||||
x_est = x_pred_out;
|
||||
P_x_est = P_x_pred_out;
|
||||
}
|
||||
|
||||
Cubature_filter::~Cubature_filter() = default;
|
||||
|
||||
void Cubature_filter::initialize(const arma::mat& x_pred_0, const arma::mat& P_x_pred_0)
|
||||
{
|
||||
x_pred_out = x_pred_0;
|
||||
P_x_pred_out = P_x_pred_0;
|
||||
|
||||
x_est = x_pred_out;
|
||||
P_x_est = P_x_pred_out;
|
||||
}
|
||||
|
||||
|
||||
/*
|
||||
* Perform the prediction step of the cubature Kalman filter
|
||||
*/
|
||||
void Cubature_filter::predict_sequential(const arma::vec& x_post, const arma::mat& P_x_post, Model_Function* transition_fcn, const arma::mat& noise_covariance)
|
||||
{
|
||||
// Compute number of cubature points
|
||||
int nx = x_post.n_elem;
|
||||
int np = 2 * nx;
|
||||
|
||||
// Generator Matrix
|
||||
arma::mat gen_one = arma::join_horiz(arma::eye(nx,nx),-1.0*arma::eye(nx,nx));
|
||||
|
||||
// Initialize predicted mean and covariance
|
||||
arma::vec x_pred = arma::zeros(nx,1);
|
||||
arma::mat P_x_pred = arma::zeros(nx,nx);
|
||||
|
||||
// Factorize posterior covariance
|
||||
arma::mat Sm_post = arma::chol(P_x_post, "lower");
|
||||
|
||||
// Propagate and evaluate cubature points
|
||||
arma::vec Xi_post;
|
||||
arma::vec Xi_pred;
|
||||
|
||||
for (uint8_t i = 0; i < np; i++)
|
||||
{
|
||||
Xi_post = Sm_post * (std::sqrt(((float) np) / 2.0) * gen_one.col(i)) + x_post;
|
||||
Xi_pred = (*transition_fcn)(Xi_post);
|
||||
|
||||
x_pred = x_pred + Xi_pred;
|
||||
P_x_pred = P_x_pred + Xi_pred*Xi_pred.t();
|
||||
}
|
||||
|
||||
// Estimate predicted state and error covariance
|
||||
x_pred = x_pred / ((float) np);
|
||||
P_x_pred = P_x_pred / ((float) np) - x_pred*x_pred.t() + noise_covariance;
|
||||
|
||||
// Store predicted state and error covariance
|
||||
x_pred_out = x_pred;
|
||||
P_x_pred_out = P_x_pred;
|
||||
}
|
||||
|
||||
/*
|
||||
* Perform the update step of the cubature Kalman filter
|
||||
*/
|
||||
void Cubature_filter::update_sequential(const arma::vec& z_upd, const arma::vec& x_pred, const arma::mat& P_x_pred, Model_Function* measurement_fcn, const arma::mat& noise_covariance)
|
||||
{
|
||||
// Compute number of cubature points
|
||||
int nx = x_pred.n_elem;
|
||||
int nz = z_upd.n_elem;
|
||||
int np = 2 * nx;
|
||||
|
||||
// Generator Matrix
|
||||
arma::mat gen_one = arma::join_horiz(arma::eye(nx,nx),-1.0*arma::eye(nx,nx));
|
||||
|
||||
// Evaluate predicted measurement and covariances
|
||||
arma::mat z_pred = arma::zeros(nz,1);
|
||||
arma::mat P_zz_pred = arma::zeros(nz,nz);
|
||||
arma::mat P_xz_pred = arma::zeros(nx,nz);
|
||||
|
||||
// Factorize predicted covariance
|
||||
arma::mat Sm_pred = arma::chol(P_x_pred, "lower");
|
||||
|
||||
// Propagate and evaluate cubature points
|
||||
arma::vec Xi_pred;
|
||||
arma::vec Zi_pred;
|
||||
for (uint8_t i = 0; i < np; i++)
|
||||
{
|
||||
Xi_pred = Sm_pred * (std::sqrt(((float) np) / 2.0) * gen_one.col(i)) + x_pred;
|
||||
Zi_pred = (*measurement_fcn)(Xi_pred);
|
||||
|
||||
z_pred = z_pred + Zi_pred;
|
||||
P_zz_pred = P_zz_pred + Zi_pred*Zi_pred.t();
|
||||
P_xz_pred = P_xz_pred + Xi_pred*Zi_pred.t();
|
||||
}
|
||||
|
||||
// Estimate measurement covariance and cross covariances
|
||||
z_pred = z_pred / ((float) np);
|
||||
P_zz_pred = P_zz_pred / ((float) np) - z_pred*z_pred.t() + noise_covariance;
|
||||
P_xz_pred = P_xz_pred / ((float) np) - x_pred*z_pred.t();
|
||||
|
||||
// Estimate cubature Kalman gain
|
||||
arma::mat W_k = P_xz_pred*arma::inv(P_zz_pred);
|
||||
|
||||
// Estimate and store the updated state and error covariance
|
||||
x_est = x_pred + W_k*(z_upd - z_pred);
|
||||
P_x_est = P_x_pred - W_k*P_zz_pred*W_k.t();
|
||||
}
|
||||
|
||||
arma::mat Cubature_filter::get_x_pred() const
|
||||
{
|
||||
return x_pred_out;
|
||||
}
|
||||
|
||||
arma::mat Cubature_filter::get_P_x_pred() const
|
||||
{
|
||||
return P_x_pred_out;
|
||||
}
|
||||
|
||||
arma::mat Cubature_filter::get_x_est() const
|
||||
{
|
||||
return x_est;
|
||||
}
|
||||
|
||||
arma::mat Cubature_filter::get_P_x_est() const
|
||||
{
|
||||
return P_x_est;
|
||||
}
|
||||
84
src/algorithms/tracking/libs/cubature_filter.h
Normal file
84
src/algorithms/tracking/libs/cubature_filter.h
Normal file
|
|
@ -0,0 +1,84 @@
|
|||
/*!
|
||||
* \file cubature_filter.h
|
||||
* \brief Interface of a library with Bayesian noise statistic estimation
|
||||
*
|
||||
* Cubature_Filter implements the functionality of the Cubature Kalman
|
||||
* Filter, which uses multidimensional cubature rules to estimate the
|
||||
* time evolution of a nonlinear system.
|
||||
*
|
||||
* [1] I Arasaratnam and S Haykin. Cubature kalman filters. IEEE
|
||||
* Transactions on Automatic Control, 54(6):1254–1269,2009.
|
||||
*
|
||||
* \authors <ul>
|
||||
* <li> Gerald LaMountain, 2019. gerald(at)ece.neu.edu
|
||||
* <li> Jordi Vila-Valls 2019. jvila(at)cttc.es
|
||||
* </ul>
|
||||
* -------------------------------------------------------------------------
|
||||
*
|
||||
* Copyright (C) 2010-2019 (see AUTHORS file for a list of contributors)
|
||||
*
|
||||
* GNSS-SDR is a software defined Global Navigation
|
||||
* Satellite Systems receiver
|
||||
*
|
||||
* This file is part of GNSS-SDR.
|
||||
*
|
||||
* GNSS-SDR is free software: you can redistribute it and/or modify
|
||||
* it under the terms of the GNU General Public License as published by
|
||||
* the Free Software Foundation, either version 3 of the License, or
|
||||
* (at your option) any later version.
|
||||
*
|
||||
* GNSS-SDR is distributed in the hope that it will be useful,
|
||||
* but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
* GNU General Public License for more details.
|
||||
*
|
||||
* You should have received a copy of the GNU General Public License
|
||||
* along with GNSS-SDR. If not, see <https://www.gnu.org/licenses/>.
|
||||
*
|
||||
* -------------------------------------------------------------------------
|
||||
*/
|
||||
|
||||
#ifndef GNSS_SDR_CUBATURE_FILTER_H_
|
||||
#define GNSS_SDR_CUBATURE_FILTER_H_
|
||||
|
||||
#include <armadillo>
|
||||
#include <gnuradio/gr_complex.h>
|
||||
|
||||
// Abstract model function
|
||||
class Model_Function{
|
||||
public:
|
||||
Model_Function() {};
|
||||
virtual arma::vec operator() (arma::vec input) = 0;
|
||||
virtual ~Model_Function() = default;
|
||||
};
|
||||
|
||||
class Cubature_filter
|
||||
{
|
||||
public:
|
||||
// Constructors and destructors
|
||||
Cubature_filter();
|
||||
Cubature_filter(int nx);
|
||||
Cubature_filter(const arma::vec& x_pred_0, const arma::mat& P_x_pred_0);
|
||||
~Cubature_filter();
|
||||
|
||||
// Reinitialization function
|
||||
void initialize(const arma::mat& x_pred_0, const arma::mat& P_x_pred_0);
|
||||
|
||||
// Prediction and estimation
|
||||
void predict_sequential(const arma::vec& x_post, const arma::mat& P_x_post, Model_Function* transition_fcn, const arma::mat& noise_covariance);
|
||||
void update_sequential(const arma::vec& z_upd, const arma::vec& x_pred, const arma::mat& P_x_pred, Model_Function* measurement_fcn, const arma::mat& noise_covariance);
|
||||
|
||||
// Getters
|
||||
arma::mat get_x_pred() const;
|
||||
arma::mat get_P_x_pred() const;
|
||||
arma::mat get_x_est() const;
|
||||
arma::mat get_P_x_est() const;
|
||||
|
||||
private:
|
||||
arma::vec x_pred_out;
|
||||
arma::mat P_x_pred_out;
|
||||
arma::vec x_est;
|
||||
arma::mat P_x_est;
|
||||
};
|
||||
|
||||
#endif
|
||||
|
|
@ -799,6 +799,7 @@ if(NOT ENABLE_PACKAGING AND NOT ENABLE_FPGA)
|
|||
${CMAKE_CURRENT_SOURCE_DIR}/unit-tests/signal-processing-blocks/tracking/tracking_loop_filter_test.cc
|
||||
${CMAKE_CURRENT_SOURCE_DIR}/unit-tests/signal-processing-blocks/tracking/cpu_multicorrelator_real_codes_test.cc
|
||||
${CMAKE_CURRENT_SOURCE_DIR}/unit-tests/signal-processing-blocks/tracking/bayesian_estimation_test.cc
|
||||
${CMAKE_CURRENT_SOURCE_DIR}/unit-tests/signal-processing-blocks/tracking/cubature_filter_test.cc
|
||||
)
|
||||
if(${FILESYSTEM_FOUND})
|
||||
target_compile_definitions(trk_test PRIVATE -DHAS_STD_FILESYSTEM=1)
|
||||
|
|
|
|||
|
|
@ -99,6 +99,7 @@ DECLARE_string(log_dir);
|
|||
#endif
|
||||
|
||||
#include "unit-tests/signal-processing-blocks/tracking/bayesian_estimation_test.cc"
|
||||
#include "unit-tests/signal-processing-blocks/tracking/cubature_filter_test.cc"
|
||||
#include "unit-tests/signal-processing-blocks/tracking/cpu_multicorrelator_real_codes_test.cc"
|
||||
#include "unit-tests/signal-processing-blocks/tracking/cpu_multicorrelator_test.cc"
|
||||
#include "unit-tests/signal-processing-blocks/tracking/galileo_e1_dll_pll_veml_tracking_test.cc"
|
||||
|
|
|
|||
|
|
@ -1,7 +1,7 @@
|
|||
/*!
|
||||
* \file bayesian_estimation_positivity_test.cc
|
||||
* \brief This file implements timing tests for the Bayesian covariance estimator
|
||||
* \author Gerald LaMountain, 20168. gerald(at)ece.neu.edu
|
||||
* \file bayesian_estimation_test.cc
|
||||
* \brief This file implements feasability test for the BCE library.
|
||||
* \author Gerald LaMountain, 2018. gerald(at)ece.neu.edu
|
||||
*
|
||||
*
|
||||
* -------------------------------------------------------------------------
|
||||
|
|
|
|||
|
|
@ -0,0 +1,156 @@
|
|||
/*!
|
||||
* \file cubature_filter_test.cc
|
||||
* \brief This file implements numerical accuracy test for the CKF library.
|
||||
* \author Gerald LaMountain, 2019. gerald(at)ece.neu.edu
|
||||
*
|
||||
* -------------------------------------------------------------------------
|
||||
*
|
||||
* Copyright (C) 2010-2019 (see AUTHORS file for a list of contributors)
|
||||
*
|
||||
* GNSS-SDR is a software defined Global Navigation
|
||||
* Satellite Systems receiver
|
||||
*
|
||||
* This file is part of GNSS-SDR.
|
||||
*
|
||||
* GNSS-SDR is free software: you can redistribute it and/or modify
|
||||
* it under the terms of the GNU General Public License as published by
|
||||
* the Free Software Foundation, either version 3 of the License, or
|
||||
* (at your option) any later version.
|
||||
*
|
||||
* GNSS-SDR is distributed in the hope that it will be useful,
|
||||
* but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
* GNU General Public License for more details.
|
||||
*
|
||||
* You should have received a copy of the GNU General Public License
|
||||
* along with GNSS-SDR. If not, see <https://www.gnu.org/licenses/>.
|
||||
*
|
||||
* -------------------------------------------------------------------------
|
||||
*/
|
||||
|
||||
#include "cubature_filter.h"
|
||||
#include <armadillo>
|
||||
#include <gtest/gtest.h>
|
||||
#include <random>
|
||||
|
||||
#define CUBATURE_TEST_N_TRIALS 1000
|
||||
|
||||
class Transition_Model : public Model_Function {
|
||||
public:
|
||||
Transition_Model(arma::mat kf_F) {coeff_mat = kf_F;};
|
||||
virtual arma::vec operator() (arma::vec input) {return coeff_mat*input;};
|
||||
private:
|
||||
arma::mat coeff_mat;
|
||||
};
|
||||
|
||||
class Measurement_Model : public Model_Function {
|
||||
public:
|
||||
Measurement_Model(arma::mat kf_H) {coeff_mat = kf_H;};
|
||||
virtual arma::vec operator() (arma::vec input) {return coeff_mat*input;};
|
||||
private:
|
||||
arma::mat coeff_mat;
|
||||
};
|
||||
|
||||
TEST(CubatureFilterComputationTest, CubatureFilterTest)
|
||||
{
|
||||
Cubature_filter kf_cubature;
|
||||
|
||||
arma::vec kf_x;
|
||||
arma::mat kf_P_x;
|
||||
|
||||
arma::vec kf_x_pre;
|
||||
arma::mat kf_P_x_pre;
|
||||
|
||||
arma::vec ckf_x_pre;
|
||||
arma::mat ckf_P_x_pre;
|
||||
|
||||
arma::vec kf_x_post;
|
||||
arma::mat kf_P_x_post;
|
||||
|
||||
arma::vec ckf_x_post;
|
||||
arma::mat ckf_P_x_post;
|
||||
|
||||
arma::mat kf_F;
|
||||
arma::mat kf_H;
|
||||
|
||||
arma::mat kf_Q;
|
||||
arma::mat kf_R;
|
||||
|
||||
arma::vec eta;
|
||||
arma::vec nu;
|
||||
|
||||
arma::vec kf_y;
|
||||
arma::mat kf_P_y;
|
||||
arma::mat kf_K;
|
||||
|
||||
Model_Function* transition_function;
|
||||
Model_Function* measurement_function;
|
||||
|
||||
//--- Perform initializations ------------------------------
|
||||
|
||||
std::random_device r;
|
||||
std::default_random_engine e1(r());
|
||||
std::normal_distribution<float> normal_dist(0, 5);
|
||||
std::uniform_real_distribution<float> uniform_dist(0.1, 5.0);
|
||||
|
||||
uint8_t nx = 0;
|
||||
uint8_t ny = 0;
|
||||
|
||||
for (uint16_t k = 0; k < CUBATURE_TEST_N_TRIALS; k++)
|
||||
{
|
||||
nx = std::rand() % 5 + 1;
|
||||
ny = std::rand() % 5 + 1;
|
||||
|
||||
kf_x = arma::randn<arma::vec>(nx,1);
|
||||
|
||||
kf_P_x_post = 5.0 * arma::diagmat(arma::randu<arma::vec>(nx,1));
|
||||
kf_x_post = arma::mvnrnd(kf_x, kf_P_x_post);
|
||||
|
||||
kf_cubature.initialize(kf_x_post, kf_P_x_post);
|
||||
|
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// Prediction Step
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kf_F = arma::randu<arma::mat>(nx,nx);
|
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kf_Q = arma::diagmat(arma::randu<arma::vec>(nx,1));
|
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|
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transition_function = new Transition_Model(kf_F);
|
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arma::mat ttx = (*transition_function)(kf_x_post);
|
||||
|
||||
kf_cubature.predict_sequential(kf_x_post,kf_P_x_post,transition_function,kf_Q);
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|
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ckf_x_pre = kf_cubature.get_x_pred();
|
||||
ckf_P_x_pre = kf_cubature.get_P_x_pred();
|
||||
|
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kf_x_pre = kf_F * kf_x_post;
|
||||
kf_P_x_pre = kf_F * kf_P_x_post * kf_F.t() + kf_Q;
|
||||
|
||||
EXPECT_TRUE(arma::approx_equal(ckf_x_pre, kf_x_pre, "absdiff", 0.01));
|
||||
EXPECT_TRUE(arma::approx_equal(ckf_P_x_pre, kf_P_x_pre, "absdiff", 0.01));
|
||||
|
||||
// Update Step
|
||||
kf_H = arma::randu<arma::mat>(ny,nx);
|
||||
kf_R = arma::diagmat(arma::randu<arma::vec>(ny,1));
|
||||
|
||||
eta = arma::mvnrnd(arma::zeros<arma::vec>(nx,1),kf_Q);
|
||||
nu = arma::mvnrnd(arma::zeros<arma::vec>(ny,1),kf_R);
|
||||
|
||||
kf_y = kf_H*(kf_F*kf_x + eta) + nu;
|
||||
|
||||
measurement_function = new Measurement_Model(kf_H);
|
||||
kf_cubature.update_sequential(kf_y,kf_x_pre,kf_P_x_pre,measurement_function,kf_R);
|
||||
|
||||
ckf_x_post = kf_cubature.get_x_est();
|
||||
ckf_P_x_post = kf_cubature.get_P_x_est();
|
||||
|
||||
kf_P_y = kf_H * kf_P_x_pre * kf_H.t() + kf_R;
|
||||
kf_K = (kf_P_x_pre * kf_H.t()) * arma::inv(kf_P_y);
|
||||
|
||||
kf_x_post = kf_x_pre + kf_K * (kf_y - kf_H * kf_x_pre);
|
||||
kf_P_x_post = (arma::eye(nx,nx) - kf_K * kf_H) * kf_P_x_pre;
|
||||
|
||||
EXPECT_TRUE(arma::approx_equal(ckf_x_post, kf_x_post, "absdiff", 0.01));
|
||||
EXPECT_TRUE(arma::approx_equal(ckf_P_x_post, kf_P_x_post, "absdiff", 0.01));
|
||||
|
||||
delete transition_function;
|
||||
delete measurement_function;
|
||||
}
|
||||
}
|
||||
Loading…
Reference in New Issue
Block a user