卡尔曼滤波简介＋ 算法实现代码

.一. kalman滤波的基本概念

       最佳线性滤波理论起源于40年代美国科学家Wiener和前苏联科学家Ｋолмогоров等人的研究工作，后人统称为维纳滤波理论。从理论上说，维纳滤波的最大缺点是必须用到无限过去的数据，不适用于实时处理。为了克服这一缺点，60年代Kalman把状态空间模型引入滤波理论，并导出了一套递推估计算法，后人称之为卡尔曼滤波理论。卡尔曼滤波是以最小均方误差为估计的最佳准则，来寻求一套递推估计的算法，其基本思想是：采用信号与噪声的状态空间模型，利用前一时刻地估计值和现时刻的观测值来更新对状态变量的估计，求出现时刻的估计值。它适合于实时处理和计算机运算。

         现设线性时变系统的离散状态防城和观测方程为：

X(k) = F(k,k-1)·X(k-1)+T(k,k-1)·U(k-1)
Y(k) = H(k)·X(k)+N(k)

         其中：X(k)和Y(k)分别是k时刻的状态矢量和观测矢量

F(k,k-1)为状态转移矩阵
U(k)为k时刻动态噪声
T(k,k-1)为系统控制矩阵
H(k)为k时刻观测矩阵
N(k)为k时刻观测噪声
则卡尔曼滤波的算法流程为：
预估计X(k)^= F(k,k-1)·X(k-1)
计算预估计协方差矩阵
C(k)^=F(k,k-1)×C(k)×F(k,k-1)'+T(k,k-1)×Q(k)×T(k,k-1)'
Q(k) = U(k)×U(k)'
计算卡尔曼增益矩阵
K(k) = C(k)^×H(k)'×[H(k)×C(k)^×H(k)'+R(k)]^(-1)
R(k) = N(k)×N(k)'
更新估计
X(k)~=X(k)^+K(k)×[Y(k)-H(k)×X(k)^]
计算更新后估计协防差矩阵
C(k)~ = [I-K(k)×H(k)]×C(k)^×[I-K(k)×H(k)]'+K(k)×R(k)×K(k)'
X(k+1) = X(k)~
C(k+1) = C(k)~
重复以上步骤

二. C语言实现

#include "stdlib.h"
#include "rinv.c"

    int n,m,k;
    double f[],q[],r[],h[],y[],x[],p[],g[];
    int lman(n,m,k,f,q,r,h,y,x,p,g)
    { 
        int i,j,kk,ii,l,jj,js;
        double *e,*a,*b;
        e=malloc(m*m*sizeof(double));
        l=m;
        if (l<n) l=n;
        a=malloc(l*l*sizeof(double));
        b=malloc(l*l*sizeof(double));
        for (i=0; i<=n-1; i++)
            for (j=0; j<=n-1; j++)
            { ii=i*l+j; a[ii]=0.0;
                for (kk=0; kk<=n-1; kk++)
                    a[ii]=a[ii]+p[i*n+kk]*f[j*n+kk];
            }
        for (i=0; i<=n-1; i++)
            for (j=0; j<=n-1; j++)
            { ii=i*n+j; p[ii]=q[ii];
                for (kk=0; kk<=n-1; kk++)
                    p[ii]=p[ii]+f[i*n+kk]*a[kk*l+j];
            }
        for (ii=2; ii<=k; ii++)
        { for (i=0; i<=n-1; i++)
                for (j=0; j<=m-1; j++)
                { jj=i*l+j; a[jj]=0.0;
                    for (kk=0; kk<=n-1; kk++)
                        a[jj]=a[jj]+p[i*n+kk]*h[j*n+kk];
                }
            for (i=0; i<=m-1; i++)
                for (j=0; j<=m-1; j++)
                { jj=i*m+j; e[jj]=r[jj];
                    for (kk=0; kk<=n-1; kk++)
                        e[jj]=e[jj]+h[i*n+kk]*a[kk*l+j];
                }
            js=rinv(e,m);
            if (js==0) 
            { free(e); free(a); free(b); return(js);}
            for (i=0; i<=n-1; i++)
                for (j=0; j<=m-1; j++)
                { jj=i*m+j; g[jj]=0.0;
                    for (kk=0; kk<=m-1; kk++)
                        g[jj]=g[jj]+a[i*l+kk]*e[j*m+kk];
                }
            for (i=0; i<=n-1; i++)
            { jj=(ii-1)*n+i; x[jj]=0.0;
                for (j=0; j<=n-1; j++)
                    x[jj]=x[jj]+f[i*n+j]*x[(ii-2)*n+j];
            }
            for (i=0; i<=m-1; i++)
            { jj=i*l; b[jj]=y[(ii-1)*m+i];
                for (j=0; j<=n-1; j++)
                    b[jj]=b[jj]-h[i*n+j]*x[(ii-1)*n+j];
            }
            for (i=0; i<=n-1; i++)
            { jj=(ii-1)*n+i;
                for (j=0; j<=m-1; j++)
                    x[jj]=x[jj]+g[i*m+j]*b[j*l];
            }
            if (ii<k)
            { for (i=0; i<=n-1; i++)
                    for (j=0; j<=n-1; j++)
                    { jj=i*l+j; a[jj]=0.0;
                        for (kk=0; kk<=m-1; kk++)
                            a[jj]=a[jj]-g[i*m+kk]*h[kk*n+j];
                        if (i==j) a[jj]=1.0+a[jj];
                    }
                for (i=0; i<=n-1; i++)
                    for (j=0; j<=n-1; j++)
                    { jj=i*l+j; b[jj]=0.0;
                        for (kk=0; kk<=n-1; kk++)
                            b[jj]=b[jj]+a[i*l+kk]*p[kk*n+j];
                    }
                for (i=0; i<=n-1; i++)
                    for (j=0; j<=n-1; j++)
                    { jj=i*l+j; a[jj]=0.0;
                        for (kk=0; kk<=n-1; kk++)
                            a[jj]=a[jj]+b[i*l+kk]*f[j*n+kk];
                    }
                for (i=0; i<=n-1; i++)
                    for (j=0; j<=n-1; j++)
                    { jj=i*n+j; p[jj]=q[jj];
                        for (kk=0; kk<=n-1; kk++)
                            p[jj]=p[jj]+f[i*n+kk]*a[j*l+kk];
                    }
            }
        }
        free(e); free(a); free(b);
        return(js);
    }
    
};

三. C++ 实现

============================kalman.h================================


// kalman.h: interface for the kalman class.
//
//


#if !defined(AFX_KALMAN_H__ED3D740F_01D2_4616_8B74_8BF57636F2C0__INCLUDED_)
#define AFX_KALMAN_H__ED3D740F_01D2_4616_8B74_8BF57636F2C0__INCLUDED_


#if _MSC_VER > 1000
#pragma once
#endif // _MSC_VER > 1000


#include <math.h>
#include "cv.h"






class kalman  
{
public:
void init_kalman(int x,int xv,int y,int yv);
CvKalman* cvkalman;
CvMat* state; 
CvMat* process_noise;
CvMat* measurement;
const CvMat* prediction;
CvPoint2D32f get_predict(float x, float y);
kalman(int x=0,int xv=0,int y=0,int yv=0);
//virtual ~kalman();




};


#endif // !defined(AFX_KALMAN_H__ED3D740F_01D2_4616_8B74_8BF57636F2C0__INCLUDED_)




============================kalman.cpp================================


#include "kalman.h"
#include <stdio.h>




/* tester de printer toutes les valeurs des vecteurs*/
/* tester de changer les matrices du noises */
/* replace state by cvkalman->state_post ??? */




CvRandState rng;
const double T = 0.1;
kalman::kalman(int x,int xv,int y,int yv)
{     
    cvkalman = cvCreateKalman( 4, 4, 0 );
    state = cvCreateMat( 4, 1, CV_32FC1 );
    process_noise = cvCreateMat( 4, 1, CV_32FC1 );
    measurement = cvCreateMat( 4, 1, CV_32FC1 );
    int code = -1;
    
    /* create matrix data */
     const float A[] = { 
   1, T, 0, 0,
   0, 1, 0, 0,
   0, 0, 1, T,
   0, 0, 0, 1
  };
     
     const float H[] = { 
    1, 0, 0, 0,
    0, 0, 0, 0,
   0, 0, 1, 0,
   0, 0, 0, 0
  };
       
     const float P[] = {
    pow(320,2), pow(320,2)/T, 0, 0,
   pow(320,2)/T, pow(320,2)/pow(T,2), 0, 0,
   0, 0, pow(240,2), pow(240,2)/T,
   0, 0, pow(240,2)/T, pow(240,2)/pow(T,2)
    };


     const float Q[] = {
   pow(T,3)/3, pow(T,2)/2, 0, 0,
   pow(T,2)/2, T, 0, 0,
   0, 0, pow(T,3)/3, pow(T,2)/2,
   0, 0, pow(T,2)/2, T
   };
   
     const float R[] = {
   1, 0, 0, 0,
   0, 0, 0, 0,
   0, 0, 1, 0,
   0, 0, 0, 0
   };
   
    
    cvRandInit( &rng, 0, 1, -1, CV_RAND_UNI );


    cvZero( measurement );
    
    cvRandSetRange( &rng, 0, 0.1, 0 );
    rng.disttype = CV_RAND_NORMAL;


    cvRand( &rng, state );


    memcpy( cvkalman->transition_matrix->data.fl, A, sizeof(A));
    memcpy( cvkalman->measurement_matrix->data.fl, H, sizeof(H));
    memcpy( cvkalman->process_noise_cov->data.fl, Q, sizeof(Q));
    memcpy( cvkalman->error_cov_post->data.fl, P, sizeof(P));
    memcpy( cvkalman->measurement_noise_cov->data.fl, R, sizeof(R));
    //cvSetIdentity( cvkalman->process_noise_cov, cvRealScalar(1e-5) );    
    //cvSetIdentity( cvkalman->error_cov_post, cvRealScalar(1));
//cvSetIdentity( cvkalman->measurement_noise_cov, cvRealScalar(1e-1) );


    /* choose initial state */


    state->data.fl[0=x;
    state->data.fl[1=xv;
    state->data.fl[2=y;
    state->data.fl[3=yv;
    cvkalman->state_post->data.fl[0=x;
    cvkalman->state_post->data.fl[1=xv;
    cvkalman->state_post->data.fl[2=y;
    cvkalman->state_post->data.fl[3=yv;


cvRandSetRange( &rng, 0, sqrt(cvkalman->process_noise_cov->data.fl[0]), 0 );
    cvRand( &rng, process_noise );




    }


     
CvPoint2D32f kalman::get_predict(float x, float y){
    


    /* update state with current position */
    state->data.fl[0=x;
    state->data.fl[2=y;


    
    /* predict point position */
    cvRandSetRange( &rng, 0, sqrt(cvkalman->measurement_noise_cov->data.fl[0]), 0 );
    cvRand( &rng, measurement );
    
     /* xk=A?xk-1+B?uk+wk */
    cvMatMulAdd( cvkalman->transition_matrix, state, process_noise, cvkalman->state_post );
    
    /* zk=H?xk+vk */
    cvMatMulAdd( cvkalman->measurement_matrix, cvkalman->state_post, measurement, measurement );
    
    /* adjust Kalman filter state */
    cvKalmanCorrect( cvkalman, measurement );
    float measured_value_x = measurement->data.fl[0];
    float measured_value_y = measurement->data.fl[2];


    
const CvMat* prediction = cvKalmanPredict( cvkalman, 0 );
    float predict_value_x = prediction->data.fl[0];
    float predict_value_y = prediction->data.fl[2];


    return(cvPoint2D32f(predict_value_x,predict_value_y));
}


void kalman::init_kalman(int x,int xv,int y,int yv)
{
state->data.fl[0=x;
    state->data.fl[1=xv;
    state->data.fl[2=y;
    state->data.fl[3=yv;
    cvkalman->state_post->data.fl[0=x;
    cvkalman->state_post->data.fl[1=xv;
    cvkalman->state_post->data.fl[2=y;
    cvkalman->state_post->data.fl[3=yv;
}