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#![no_std]
/*!
# rudie
**rudie** has a Kalman Filter implementation that will work on embedded platforms for robotics
applications.
## Using **rudie**
You will need the last stable build of the [rust compiler](http://www.rust-lang.org)
and the official package manager: [cargo](https://github.com/rust-lang/cargo).
Simply add the following to your `Cargo.toml` file:
```.ignore
[dependencies]
rudie = "0.1"
```
## Features
**rudie** is meant to collect together Kalman filter implementations that may be used on embedded
devices for robotics applications since it is designed to run on `#![no_std]` targets.
Those features include:
* An implementation of the OpenCV Kalman filter that will run on `#![no_std]` targets
*/
pub extern crate typenum;
pub extern crate generic_array;
pub extern crate nalgebra as na;
use core::ops::{Mul, Sub};
/// A Rust implementation of the OpenCV Kalman Filter
///
/// Because Rust currently doesn't have const generics, we make heavy use of the typenum
/// to specify type-level numerics that are used when interacting with the library.
///
/// rudie can be used in `#![no_std]` mode for embedded applications with no OS since we make use
/// of only `#![no_std]` compatible libraries
///
/// # Examples
///
/// The following example shows a Kalman filter estimating the orientation and rotational rate
/// of a rotating point. An example is given further down showing that the kalman filter is correct
/// by examining its internal state.
///
/// ```
/// extern crate rudie;
/// extern crate rand;
/// extern crate libm;
/// extern crate assert as asrt;
///
/// use rand::{Rng, StdRng, SeedableRng};
/// use rand::distributions::{Distribution, Normal};
/// use libm::F64Ext;
/// use asrt::close;
///
/// use rudie::KalmanFilter;
/// use rudie::na::{U0, U1, U2, Vector, Matrix, MatrixArray};
///
/// // seed the rng so we get reproducible results
/// let seed: [u8; 32] = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
/// 1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
/// 1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
/// 1, 2];
/// let mut state_rng: StdRng = SeedableRng::from_seed(seed);
/// let state_generator = Normal::new(0., 0.1);
///
/// // We use the typenum crate here to specify type-level numbers such as U0 = 0, U1 = 1, ...
/// // until Rust has support for const generics
/// let mut kf: KalmanFilter<f64, U2, U1, U0> = KalmanFilter::init();
///
/// // (phi, delta_phi), i.e. orientation and angular rate
/// let mut state: Vector<f64, U2, MatrixArray<f64, U2, U1>>;
///
/// let mut process_noise: Vector<f64, U2, MatrixArray<f64, U2, U1>>;
///
/// let mut measurement: Vector<f64, U1, MatrixArray<f64, U1, U1>>;
///
/// state = rudie::na::Matrix2x1::new(
/// state_generator.sample(&mut state_rng),
/// state_generator.sample(&mut state_rng)
/// );
/// kf.transition_matrix = rudie::na::Matrix2::new(
/// 1., 1.,
/// 0., 1.
/// );
///
/// kf.measurement_matrix = rudie::na::Matrix1x2::identity();
/// kf.process_noise_cov = rudie::na::Matrix2::from_diagonal_element(1e-5);
/// kf.measurement_noise_cov = rudie::na::Matrix1::from_diagonal_element(1e-1);
/// kf.error_cov_post = rudie::na::Matrix2::from_diagonal_element(1.);
///
/// let measurement_noise_generator = Normal::new(0., kf.measurement_noise_cov[(0)]);
/// let mut measurement_noise_rng: StdRng = SeedableRng::from_seed(seed);
/// let process_noise_generator = Normal::new(0., kf.process_noise_cov[(0)].sqrt());
/// let mut process_noise_rng: StdRng = SeedableRng::from_seed(seed);
///
/// // set up the initial state
/// kf.state_post = rudie::na::Matrix2x1::new(
/// -0.13210335109501573,
/// -0.06167960574363984
/// );
///
/// for cycle in 0..3 {
/// // Kalman predict
/// kf.predict_no_control();
///
/// // generate measurement
/// measurement = rudie::na::Matrix1::new(
/// measurement_noise_generator.sample(&mut measurement_noise_rng)
/// );
/// measurement += kf.measurement_matrix*state;
///
/// // Kalman correct
/// kf.correct(measurement);
///
/// // generate next state
/// process_noise = rudie::na::Matrix2x1::new(
/// process_noise_generator.sample(&mut process_noise_rng),
/// process_noise_generator.sample(&mut process_noise_rng)
/// );
/// state = kf.transition_matrix * state + process_noise;
/// }
///
/// ```
///
/// The following example shows a Kalman filter estimating the orientation and rotational rate
/// of a rotating point. Assertions are included to ensure the example code does not regress.
///
/// ```
/// extern crate rudie;
/// extern crate rand;
/// extern crate libm;
/// extern crate assert as asrt;
///
/// use rand::{Rng, StdRng, SeedableRng};
/// use rand::distributions::{Distribution, Normal};
/// use libm::F64Ext;
/// use asrt::close;
///
/// use rudie::KalmanFilter;
/// use rudie::na::{U0, U1, U2, Vector, Matrix, MatrixArray};
///
/// /**************************************************
/// ** filter configurations to assert against - begin
/// ***************************************************/
///
/// // known filter configurations to assert state against for kalman predict
/// let state_pre_assert_predict = rudie::na::Matrix2x3::new(
/// -0.19378295683865557, 0.1361050053334287, 0.04097848073026808,
/// -0.06167960574363984, 0.06884248182130964, -0.00403224753640588
/// );
/// let error_cov_pre_assert_predict = rudie::na::Matrix2x6::new(
/// 2.00001, 1., 0.7143075510116619, 0.57144061223518, 0.3509028377933237, 0.1929981748186918,
/// 1., 1.00001, 0.57144061223518, 0.5238317913724221, 0.1929981748186918, 0.1228331394128128
/// );
///
/// // known filter configurations to assert state against for kalman correct
/// let residual_assert_correct = rudie::na::Matrix1x3::new(
/// 0.27409768910726956, -0.10384708598466963, -0.1451463671400915
/// );
/// let innov_cov_assert_correct = rudie::na::Matrix1x3::new(
/// 2.10001, 0.8143075510116619, 0.45090283779332374
/// );
/// let gain_assert_correct = rudie::na::Matrix2x3::new(
/// 0.9523811791372422, 0.8771962756875286, 0.7782227308894513,
/// 0.47618820862757794, 0.70175035405879, 0.4280260815460971
/// );
/// let state_post_assert_correct = rudie::na::Matrix2x3::new(
/// 0.06726252351211906, 0.04501072826667396, -0.07197772148417683,
/// 0.06884248182130964, -0.00403224753640588, -0.06615867831403044
/// );
/// let error_cov_post_assert_correct = rudie::na::Matrix2x6::new(
/// 0.09523811791372422, 0.04761882086275779, 0.08771962756875286, 0.07017503540587901, 0.07782227308894514, 0.04280260815460972,
/// 0.04761882086275779, 0.5238217913724221, 0.07017503540587901, 0.12282313941281281, 0.04280260815460972, 0.04022488689961951
/// );
///
/// /**************************************************
/// ** filter configurations to assert against - end
/// ***************************************************/
///
/// // seed the rng so we get reproducible results
/// let seed: [u8; 32] = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
/// 1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
/// 1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
/// 1, 2];
/// let mut state_rng: StdRng = SeedableRng::from_seed(seed);
/// let state_generator = Normal::new(0., 0.1);
///
/// // We use the typenum crate here to specify type-level numbers such as U0 = 0, U1 = 1, ...
/// // until Rust has support for const generics
/// let mut kf: KalmanFilter<f64, U2, U1, U0> = KalmanFilter::init();
///
/// // (phi, delta_phi), i.e. orientation and angular rate
/// let mut state: Vector<f64, U2, MatrixArray<f64, U2, U1>>;
///
/// let mut process_noise: Vector<f64, U2, MatrixArray<f64, U2, U1>>;
///
/// let mut measurement: Vector<f64, U1, MatrixArray<f64, U1, U1>>;
///
/// state = rudie::na::Matrix2x1::new(
/// state_generator.sample(&mut state_rng),
/// state_generator.sample(&mut state_rng)
/// );
/// kf.transition_matrix = rudie::na::Matrix2::new(
/// 1., 1.,
/// 0., 1.
/// );
///
/// kf.measurement_matrix = rudie::na::Matrix1x2::identity();
/// kf.process_noise_cov = rudie::na::Matrix2::from_diagonal_element(1e-5);
/// kf.measurement_noise_cov = rudie::na::Matrix1::from_diagonal_element(1e-1);
/// kf.error_cov_post = rudie::na::Matrix2::from_diagonal_element(1.);
///
/// let measurement_noise_generator = Normal::new(0., kf.measurement_noise_cov[(0)]);
/// let mut measurement_noise_rng: StdRng = SeedableRng::from_seed(seed);
/// let process_noise_generator = Normal::new(0., kf.process_noise_cov[(0)].sqrt());
/// let mut process_noise_rng: StdRng = SeedableRng::from_seed(seed);
///
/// // set up the initial state
/// kf.state_post = rudie::na::Matrix2x1::new(
/// -0.13210335109501573,
/// -0.06167960574363984
/// );
///
/// for cycle in 0..3 {
/// // Kalman predict
/// kf.predict_no_control();
///
/// /********************************************************************
/// ** assert known filter configuration after predict_no_control - begin
/// *********************************************************************/
/// close(kf.state_pre[(0,0)], state_pre_assert_predict[(0,cycle)], core::f64::EPSILON);
/// close(kf.state_pre[(1,0)], state_pre_assert_predict[(1,cycle)], core::f64::EPSILON);
///
/// close(kf.error_cov_pre[(0,0)], error_cov_pre_assert_predict[(0,cycle*2)], core::f64::EPSILON);
/// close(kf.error_cov_pre[(1,0)], error_cov_pre_assert_predict[(1,cycle*2)], core::f64::EPSILON);
/// close(kf.error_cov_pre[(0,1)], error_cov_pre_assert_predict[(0,cycle*2+1)], core::f64::EPSILON);
/// close(kf.error_cov_pre[(1,1)], error_cov_pre_assert_predict[(1,cycle*2+1)], core::f64::EPSILON);
/// /********************************************************************
/// ** assert known filter configuration after predict_no_control - end
/// *********************************************************************/
///
/// // generate measurement
/// measurement = rudie::na::Matrix1::new(
/// measurement_noise_generator.sample(&mut measurement_noise_rng)
/// );
/// measurement += kf.measurement_matrix*state;
///
/// // Kalman correct
/// kf.correct(measurement);
///
/// /*************************************************************
/// ** assert known filter configuration after correct - begin
/// **************************************************************/
/// close(kf.residual[(0,0)], residual_assert_correct[(0, cycle)], core::f64::EPSILON);
///
/// close(kf.innov_cov[(0, 0)], innov_cov_assert_correct[(0, cycle)], core::f64::EPSILON);
///
/// close(kf.gain[(0, 0)], gain_assert_correct[(0, cycle)], core::f64::EPSILON);
/// close(kf.gain[(1, 0)], gain_assert_correct[(1, cycle)], core::f64::EPSILON);
///
/// close(kf.state_post[(0,0)], state_post_assert_correct[(0, cycle)], core::f64::EPSILON);
/// close(kf.state_post[(1,0)], state_post_assert_correct[(1, cycle)], core::f64::EPSILON);
///
/// close(kf.error_cov_post[(0,0)], error_cov_post_assert_correct[(0, cycle*2)], core::f64::EPSILON);
/// close(kf.error_cov_post[(1,0)], error_cov_post_assert_correct[(1, cycle*2)], core::f64::EPSILON);
/// close(kf.error_cov_post[(0,1)], error_cov_post_assert_correct[(0, cycle*2+1)], core::f64::EPSILON);
/// close(kf.error_cov_post[(1,1)], error_cov_post_assert_correct[(1, cycle*2+1)], core::f64::EPSILON);
/// /*************************************************************
/// ** assert known filter configuration after correct - end
/// **************************************************************/
///
/// // generate next state
/// process_noise = rudie::na::Matrix2x1::new(
/// process_noise_generator.sample(&mut process_noise_rng),
/// process_noise_generator.sample(&mut process_noise_rng)
/// );
/// state = kf.transition_matrix * state + process_noise;
/// }
///
/// ```
///
pub struct KalmanFilter<N, DP, MP, CP>
where
N: Real,
DP: DimName,
MP: DimName,
CP: DimName,
<DP as DimName>::Value: Mul<typenum::U1>,
<<DP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul,
<<DP as DimName>::Value as Mul>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<<DP as DimName>::Value>,
<<MP as DimName>::Value as Mul<<DP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul,
<<MP as DimName>::Value as Mul>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul<<CP as DimName>::Value>,
<<DP as DimName>::Value as Mul<<CP as DimName>::Value>>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul<<MP as DimName>::Value>,
<<DP as DimName>::Value as Mul<<MP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<typenum::U1>,
<<MP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>
{
pub state_pre: Vector<N, DP, MatrixArray<N, DP, U1>>,
pub state_post: Vector<N, DP, MatrixArray<N, DP, U1>>,
pub transition_matrix: Matrix<N, DP, DP, MatrixArray<N, DP, DP>>,
pub process_noise_cov: Matrix<N, DP, DP, MatrixArray<N, DP, DP>>,
pub measurement_matrix: Matrix<N, MP, DP, MatrixArray<N, MP, DP>>,
pub measurement_noise_cov: Matrix<N, MP, MP, MatrixArray<N, MP, MP>>,
pub control_matrix: Matrix<N, DP, CP, MatrixArray<N, DP, CP>>,
pub error_cov_pre: Matrix<N, DP, DP, MatrixArray<N, DP, DP>>,
pub error_cov_post: Matrix<N, DP, DP, MatrixArray<N, DP, DP>>,
pub gain: Matrix<N, DP, MP, MatrixArray<N, DP, MP>>,
pub residual: Vector<N, MP, MatrixArray<N, MP, U1>>,
pub innov_cov: Matrix<N, MP, MP, MatrixArray<N, MP, MP>>
}
use core::fmt;
use generic_array::{ArrayLength};
use na::{U1, Matrix, MatrixArray, DimName, Vector, zero, SVD, Real};
impl<N, DP, MP, CP> KalmanFilter<N, DP, MP, CP>
where
N: Real,
DP: DimName,
MP: DimName,
CP: DimName,
<DP as DimName>::Value: Mul<typenum::U1>,
<<DP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul,
<<DP as DimName>::Value as Mul>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<<DP as DimName>::Value>,
<<MP as DimName>::Value as Mul<<DP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul,
<<MP as DimName>::Value as Mul>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul<<CP as DimName>::Value>,
<<DP as DimName>::Value as Mul<<CP as DimName>::Value>>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul<<MP as DimName>::Value>,
<<DP as DimName>::Value as Mul<<MP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<typenum::U1>,
<<MP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>,
// fn predict
<CP as DimName>::Value: Mul<typenum::U1>,
<<CP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>,
// fn correct
<MP as DimName>::Value: Mul<typenum::U1>,
<<MP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>,
<MP as na::DimName>::Value: typenum::Min,
<<MP as DimName>::Value as typenum::Min>::Output: na::NamedDim,
<<MP as DimName>::Value as typenum::Min>::Output: Mul<<MP as DimName>::Value>,
<<<MP as DimName>::Value as typenum::Min>::Output as Mul<<MP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<<<MP as DimName>::Value as typenum::Min>::Output>,
<<MP as DimName>::Value as Mul<<<MP as DimName>::Value as typenum::Min>::Output>>::Output: ArrayLength<N>,
<<MP as DimName>::Value as typenum::Min>::Output: Mul<typenum::U1>,
<<<MP as DimName>::Value as typenum::Min>::Output as Mul<typenum::U1>>::Output: ArrayLength<N>,
<<MP as DimName>::Value as typenum::Min>::Output: Sub<typenum::U1>,
<<<MP as DimName>::Value as typenum::Min>::Output as Sub<typenum::U1>>::Output: na::NamedDim,
<<<MP as DimName>::Value as typenum::Min>::Output as Sub<typenum::U1>>::Output: Mul<typenum::U1>,
<<<<MP as DimName>::Value as typenum::Min>::Output as Sub<typenum::U1>>::Output as Mul<typenum::U1>>::Output: ArrayLength<N>,
<<MP as DimName>::Value as typenum::Min>::Output: Mul<<DP as DimName>::Value>,
<<<MP as DimName>::Value as typenum::Min>::Output as Mul<<DP as DimName>::Value>>::Output: ArrayLength<N>
{
pub fn init() -> Self {
KalmanFilter {
state_pre: zero(),
state_post: zero(),
transition_matrix: zero(),
process_noise_cov: zero(),
measurement_matrix: zero(),
measurement_noise_cov: zero(),
error_cov_pre: zero(),
error_cov_post: zero(),
gain: zero(),
control_matrix: zero(),
residual: zero(),
innov_cov: zero()
}
}
pub fn predict(&mut self, control: Vector<N, CP, MatrixArray<N, CP, U1>>)
-> Vector<N, DP, MatrixArray<N, DP, U1>>
{
// x'(k) = A*x(k)
self.state_pre = &self.transition_matrix * &self.state_post;
if CP::dim() > 0 {
// x'(k) = x'(k) + B*u(k)
self.state_pre = &self.state_pre + &self.control_matrix * control;
}
// P'(k) = A*P(k)*At + Q
self.error_cov_pre = &self.transition_matrix * &self.error_cov_post * self.transition_matrix.transpose() + &self.process_noise_cov;
// handle the case when there will be measurement before the next predict.
self.state_post = self.state_pre.clone();
self.error_cov_post = self.error_cov_pre.clone();
self.state_pre.clone()
}
pub fn predict_no_control(&mut self)
-> Vector<N, DP, MatrixArray<N, DP, U1>>
{
let dummy_control: Vector<N, CP, MatrixArray<N, CP, U1>> = zero();
self.predict(dummy_control)
}
pub fn correct(&mut self, measurement: Vector<N, MP, MatrixArray<N, MP, U1>>)
-> Vector<N, DP, MatrixArray<N, DP, U1>>
{
// y(k) = z(k) - H*x'(k)
self.residual = measurement - (&self.measurement_matrix * &self.state_pre); // y
// S(k) = H*x'(k)*Ht + R
self.innov_cov = &self.measurement_matrix * &self.error_cov_pre * self.measurement_matrix.transpose() + &self.measurement_noise_cov;
// temp1 = H*P'(k)
let temp1 = &self.measurement_matrix * &self.error_cov_pre;
let svd = SVD::new(self.innov_cov.clone(), true, true);
// temp2 = inv(S)*temp1 = Kt(k)
let temp2 = svd.solve(&temp1, N::default_epsilon());
// K(k)
self.gain = temp2.transpose();
// x(k) = x'(k) + K(k)*y(k)
self.state_post = &self.state_pre + &self.gain*&self.residual;
// P(k) = P'(k) - K(k)*temp1
self.error_cov_post = &self.error_cov_pre - &self.gain*temp1;
self.state_post.clone()
}
}
impl<N, DP, MP, CP> fmt::Debug for KalmanFilter<N, DP, MP, CP>
where
N: Real,
DP: DimName,
MP: DimName,
CP: DimName,
<DP as DimName>::Value: Mul<typenum::U1>,
<<DP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul,
<<DP as DimName>::Value as Mul>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<<DP as DimName>::Value>,
<<MP as DimName>::Value as Mul<<DP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul,
<<MP as DimName>::Value as Mul>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul<<CP as DimName>::Value>,
<<DP as DimName>::Value as Mul<<CP as DimName>::Value>>::Output: ArrayLength<N>,
<DP as DimName>::Value: Mul<<MP as DimName>::Value>,
<<DP as DimName>::Value as Mul<<MP as DimName>::Value>>::Output: ArrayLength<N>,
<MP as DimName>::Value: Mul<typenum::U1>,
<<MP as DimName>::Value as Mul<typenum::U1>>::Output: ArrayLength<N>
{
fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
f.write_str("state_pre: ")?;
write!(f, "{:?}; ", self.state_pre)?;
f.write_str("state_post: ")?;
write!(f, "{:?}; ", self.state_post)?;
f.write_str("transition_matrix: ")?;
write!(f, "{:?}; ", self.transition_matrix)?;
f.write_str("process_noise_cov: ")?;
write!(f, "{:?}; ", self.process_noise_cov)?;
f.write_str("measurement_matrix: ")?;
write!(f, "{:?}; ", self.measurement_matrix)?;
f.write_str("measurement_noise_cov: ")?;
write!(f, "{:?}; ", self.measurement_noise_cov)?;
f.write_str("error_cov_pre: ")?;
write!(f, "{:?}; ", self.error_cov_pre)?;
f.write_str("error_cov_post: ")?;
write!(f, "{:?}; ", self.error_cov_post)?;
f.write_str("gain: ")?;
write!(f, "{:?}; ", self.gain)?;
f.write_str("control_matrix: ")?;
write!(f, "{:?}; ", self.control_matrix)?;
f.write_str("residual: ")?;
write!(f, "{:?}; ", self.residual)?;
f.write_str("innov_cov: ")?;
write!(f, "{:?}; ", self.innov_cov)
}
}