基于Python实现扩展卡尔曼滤波算法

最新推荐文章于 2025-03-21 15:57:31 发布

柳叶吴钩

最新推荐文章于 2025-03-21 15:57:31 发布

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分类专栏：神经网络与机器学习笔记文章标签：机器学习

本文链接：https://blog.csdn.net/moge19/article/details/106774876

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1、卡尔曼滤波器定义式的变形
（1）新息过程
$a_n = y_n-b_n(\hat x_{n|n-1})$
（2）状态空间
$X_{n+1} = A_{n+1,n}X_n+w_n+ \varepsilon_n$
$y_n=B_nX_n+v_n$
（3）表述形式
$\hat x_{n+1|n}=A_{n+1,n}\hat x_{n|n} + \varepsilon_n$
2、实现扩展卡尔曼滤波器的预备步骤
扩展卡尔曼滤波的基本思想是在没个时间点，围绕最近状态估计结果中的状态空间模型线性化
（1）阶段1 新矩阵的构建
$A_{n+1,n}=\frac{\partial a_n(X)}{\partial X}|_{X=\hat{x}_{n|n}}$
$B_n=\frac{\partial b_n}{\partial x}|_{x=\hat{x_{n|n-1}}}$
（2）阶段2 空间模型线性化
3、扩展卡尔曼滤波器的实现

输入过程：
$y_1,y_2,...,y_n]$
已知参数：
非线性状态向量函数= $a_n(x_n)$
非线性测量向量函数= $b_n(x_n)$
过程噪声向量的协方差矩阵= $Q_{w,n}$
测量噪声向量的协方差矩阵= $Q_{v,n}$
计算：n=1,2,3…
$G_n = P_{n,n-1} B_n ^T[B_nP_{n,n-1}B_n^T + Q_{v,n}]$
$a_n = y_n-b_n(\hat x_{n|n-1})$
$\hat x_{n|n}=\hat x_{n|n-1} + G_n a_n$
$\hat x_{n+1|n} = a_n(\hat x_{n|n})$
$P_{n|n} = P_{n|n-1}-G_nB_nP_{n|n+1}$
$P_{n+1|n} = A_{n+1,n}P_{n|n}A_{n+1,n}^T+Q_{w,n}$

4、代码实现
该代码来源于https://github.com/AtsushiSakai/PythonRobotics

"""

Extended kalman filter (EKF) localization sample

author: Atsushi Sakai (@Atsushi_twi)

"""

import math

import matplotlib.pyplot as plt
import numpy as np
from scipy.spatial.transform import Rotation as Rot

# Covariance for EKF simulation
Q = np.diag([
    0.1,  # variance of location on x-axis
    0.1,  # variance of location on y-axis
    np.deg2rad(1.0),  # variance of yaw angle
    1.0  # variance of velocity
]) ** 2  # predict state covariance
R = np.diag([1.0, 1.0]) ** 2  # Observation x,y position covariance

#  Simulation parameter
INPUT_NOISE = np.diag([1.0, np.deg2rad(30.0)]) ** 2
GPS_NOISE = np.diag([0.5, 0.5]) ** 2

DT = 0.1  # time tick [s]
SIM_TIME = 50.0  # simulation time [s]

show_animation = True


def calc_input():
    v = 1.0  # [m/s]
    yawrate = 0.1  # [rad/s]
    u = np.array([[v], [yawrate]])
    return u


def observation(xTrue, xd, u):
    xTrue = motion_model(xTrue, u)

    # add noise to gps x-y
    z = observation_model(xTrue) + GPS_NOISE @ np.random.randn(2, 1)

    # add noise to input
    ud = u + INPUT_NOISE @ np.random.randn(2, 1)

    xd = motion_model(xd, ud)

    return xTrue, z, xd, ud


def motion_model(x, u):
    F = np.array([[1.0, 0, 0, 0],
                  [0, 1.0, 0, 0],
                  [0, 0, 1.0, 0],
                  [0, 0, 0, 0]])

    B = np.array([[DT * math.cos(x[2, 0]), 0],
                  [DT * math.sin(x[2, 0]), 0],
                  [0.0, DT],
                  [1.0, 0.0]])

    x = F @ x + B @ u

    return x


def observation_model(x):
    H = np.array([
        [1, 0, 0, 0],
        [0, 1, 0, 0]
    ])

    z = H @ x

    return z


def jacob_f(x, u):
    """
    Jacobian of Motion Model

    motion model
    x_{t+1} = x_t+v*dt*cos(yaw)
    y_{t+1} = y_t+v*dt*sin(yaw)
    yaw_{t+1} = yaw_t+omega*dt
    v_{t+1} = v{t}
    so
    dx/dyaw = -v*dt*sin(yaw)
    dx/dv = dt*cos(yaw)
    dy/dyaw = v*dt*cos(yaw)
    dy/dv = dt*sin(yaw)
    """
    yaw = x[2, 0]
    v = u[0, 0]
    jF = np.array([
        [1.0, 0.0, -DT * v * math.sin(yaw), DT * math.cos(yaw)],
        [0.0, 1.0, DT * v * math.cos(yaw), DT * math.sin(yaw)],
        [0.0, 0.0, 1.0, 0.0],
        [0.0, 0.0, 0.0, 1.0]])

    return jF


def jacob_h():
    # Jacobian of Observation Model
    jH = np.array([
        [1, 0, 0, 0],
        [0, 1, 0, 0]
    ])

    return jH


def ekf_estimation(xEst, PEst, z, u):
    #  Predict
    xPred = motion_model(xEst, u)
    jF = jacob_f(xEst, u)
    PPred = jF @ PEst @ jF.T + Q

    #  Update
    jH = jacob_h()
    zPred = observation_model(xPred)
    y = z - zPred
    S = jH @ PPred @ jH.T + R
    K = PPred @ jH.T @ np.linalg.inv(S)
    xEst = xPred + K @ y
    PEst = (np.eye(len(xEst)) - K @ jH) @ PPred
    return xEst, PEst


def plot_covariance_ellipse(xEst, PEst):  # pragma: no cover
    Pxy = PEst[0:2, 0:2]
    eigval, eigvec = np.linalg.eig(Pxy)

    if eigval[0] >= eigval[1]:
        bigind = 0
        smallind = 1
    else:
        bigind = 1
        smallind = 0

    t = np.arange(0, 2 * math.pi + 0.1, 0.1)
    a = math.sqrt(eigval[bigind])
    b = math.sqrt(eigval[smallind])
    x = [a * math.cos(it) for it in t]
    y = [b * math.sin(it) for it in t]
    angle = math.atan2(eigvec[1, bigind], eigvec[0, bigind])
    rot = Rot.from_euler('z', angle).as_matrix()[0:2, 0:2]
    fx = rot @ (np.array([x, y]))
    px = np.array(fx[0, :] + xEst[0, 0]).flatten()
    py = np.array(fx[1, :] + xEst[1, 0]).flatten()
    plt.plot(px, py, "--r")


def main():
    print(__file__ + " start!!")

    time = 0.0

    # State Vector [x y yaw v]'
    xEst = np.zeros((4, 1))
    xTrue = np.zeros((4, 1))
    PEst = np.eye(4)

    xDR = np.zeros((4, 1))  # Dead reckoning

    # history
    hxEst = xEst
    hxTrue = xTrue
    hxDR = xTrue
    hz = np.zeros((2, 1))

    while SIM_TIME >= time:
        time += DT
        u = calc_input()

        xTrue, z, xDR, ud = observation(xTrue, xDR, u)

        xEst, PEst = ekf_estimation(xEst, PEst, z, ud)

        # store data history
        hxEst = np.hstack((hxEst, xEst))
        hxDR = np.hstack((hxDR, xDR))
        hxTrue = np.hstack((hxTrue, xTrue))
        hz = np.hstack((hz, z))

        if show_animation:
            plt.cla()
            # for stopping simulation with the esc key.
            plt.gcf().canvas.mpl_connect('key_release_event',
                    lambda event: [exit(0) if event.key == 'escape' else None])
            plt.plot(hz[0, :], hz[1, :], ".g")
            plt.plot(hxTrue[0, :].flatten(),
                     hxTrue[1, :].flatten(), "-b")
            plt.plot(hxDR[0, :].flatten(),
                     hxDR[1, :].flatten(), "-k")
            plt.plot(hxEst[0, :].flatten(),
                     hxEst[1, :].flatten(), "-r")
            plot_covariance_ellipse(xEst, PEst)
            plt.axis("equal")
            plt.grid(True)
            plt.pause(0.001)


if __name__ == '__main__':
    main()