indii::ml::filter::UnscentedKalmanSmoother

UnscentedKalmanSmoother Class Template Reference

Inheritance diagram for UnscentedKalmanSmoother:

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List of all members.

Detailed Description

template<class T>
class indii::ml::filter::UnscentedKalmanSmoother< T >

Unscented Kalman two-filter smoother.

Author:: Lawrence Murray <lawrence@indii.org>

Version:

Rev

Date:

Date

Parameters:

The type of time.

The Unscented Kalman two-filter smoother performs both a forward and backwards filtering pass, fusing the estimates from the two passes into the smoothed estimate. The forwards filtering pass is identical to that of UnscentedKalmanFilter. The backwards filtering pass requires the inverse of the state transition model, and works in an analogous fashion to the forwards pass, but with time reversed.

See also:: indii::ml::filter for general usage guidelines.

Definition at line 34 of file UnscentedKalmanSmoother.hpp.


Public Member Functions
	UnscentedKalmanSmoother (UnscentedKalmanSmootherModel< T > *model, const T tT, const indii::ml::aux::GaussianPdf &p_xT)
	Create new Unscented Kalman two-filter smoother.
virtual	~UnscentedKalmanSmoother ()
	Destructor.
virtual void	smooth (const T tn, const indii::ml::aux::vector &ytn, const indii::ml::aux::GaussianPdf &p_xtn_ytn)
	Rewind system to time of previous measurement and smooth.
virtual indii::ml::aux::GaussianPdf	backwardMeasure ()
	Apply the measurement function to the current filtered state to obtain an estimated measurement.
virtual indii::ml::aux::GaussianPdf	smoothedMeasure ()
	Apply the measurement function to the current smoothed state to obtain an estimated measurement.
UnscentedTransformation < T > *	getBackwardTransitionTransformation ()
	Get the unscented transformation used for the backward transition function.
UnscentedTransformation < T > *	getMeasurementTransformation ()
	Get the unscented transformation used for the measurement function.
Protected Attributes
const unsigned int	N
	Size of the state space.
const unsigned int	W
	Size of the system noise space.
const unsigned int	V
	Size of the measurement noise space.
aux::GaussianPdf	p_Xtn_ytn_b
	$p(\mathcal{X}_n\,\|\,\mathbf{y}_{n:T})$ ; backward filter density.
UnscentedKalmanSmootherModel < T > *	model
	Model to estimate.
UnscentedTransformationModel < T > *	backwardTransitionModel
	Unscented transformation for backward transition function.
UnscentedTransformation < T > *	backwardTransitionTransform
	Unscented transformation for backward transition function.
UnscentedTransformationModel < T > *	measurementModel
	Unscented transformation for measurement function.
UnscentedTransformation < T > *	measurementTransform
	Unscented transformation for measurement function.

Constructor & Destructor Documentation

UnscentedKalmanSmoother	(	UnscentedKalmanSmootherModel< T > *	model,
		const T	tT,
		const indii::ml::aux::GaussianPdf &	p_xT
	)			`[inline]`

Create new Unscented Kalman two-filter smoother.

Parameters:

	model	Model to estimate.
	tT	; starting time.
	p_xT	$p(\mathbf{x}_T)$ ; prior over the state at time .

Definition at line 134 of file UnscentedKalmanSmoother.hpp.

~UnscentedKalmanSmoother ( ) [inline, virtual]

Destructor.

Definition at line 184 of file UnscentedKalmanSmoother.hpp.

Member Function Documentation

void smooth	(	const T	tn,
		const indii::ml::aux::vector &	ytn,
		const indii::ml::aux::GaussianPdf &	p_xtn_ytn
	)			`[inline, virtual]`

Rewind system to time of previous measurement and smooth.

Performs the backward filtering step and fuses this with the given prediction from the forward filtering step to produce the smoothed prediction.

Parameters:

	tn	; the time to which to rewind the system. This must be less than the current time $t_{n+1}$ .
	ytn	$\mathbf{y}_n$ ; measurement at time .
	p_xtn_ytn	$p(\mathbf{x}_n\,\|\,\mathbf{y}_{1:n})$ ; forward filter density.