CKF算法实现

#CKF算法实现

1.容积规则实现复杂积分

注： **The points and weights ** of the cubature rule are independent with the integrand $f(x)$.
所以，容积规则的点和权重可以脱机计算并预先存储以加快计算速度。

1.1 确定容积点和权重

Consider a multi-dimension weighted integral of the form
$$I(f)={\int }_{D}f(x)\omega (x)dx$$
The basic task of numerically computing $I(f)$ is to find a set of points $x_i$ and weights ${\omega }_i$ that approximates $I(f)$ by a weighted sum of function evalutions .
$$I(f)\approx \sum _{i=1}^m{\omega }_{i}f(x_i)$$

变量$x$是服从高斯分布的，$f$是任意非线性函数。
An efficient non-product third-degree fully symmetric cubature rule is proposed to find { x i , ω i } \{x_i,\omega_i\} { xi​,ωi​} for **Gaussian weighted integrals. **

∫ R n f ( x ) N ( x ; μ , Σ ) d x = 1 π n ∫ R n f ( 2 Σ x + μ ) e − x T x d x \int_{R^n}f(x)N(x;\mu,\Sigma)dx = \frac{1}{\sqrt{\pi^n}} \int_{R^n}f(\sqrt{2\Sigma}x+\mu)e^{-x^Tx}dx