opencv/modules/video/src/kalman.cpp

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#include "precomp.hpp"


CV_IMPL CvKalman*
cvCreateKalman( int DP, int MP, int CP )
{
    CvKalman *kalman = 0;

    if( DP <= 0 || MP <= 0 )
        CV_Error( CV_StsOutOfRange,
        "state and measurement vectors must have positive number of dimensions" );

    if( CP < 0 )
        CP = DP;

    /* allocating memory for the structure */
    kalman = (CvKalman *)cvAlloc( sizeof( CvKalman ));
    memset( kalman, 0, sizeof(*kalman));

    kalman->DP = DP;
    kalman->MP = MP;
    kalman->CP = CP;

    kalman->state_pre = cvCreateMat( DP, 1, CV_32FC1 );
    cvZero( kalman->state_pre );

    kalman->state_post = cvCreateMat( DP, 1, CV_32FC1 );
    cvZero( kalman->state_post );

    kalman->transition_matrix = cvCreateMat( DP, DP, CV_32FC1 );
    cvSetIdentity( kalman->transition_matrix );

    kalman->process_noise_cov = cvCreateMat( DP, DP, CV_32FC1 );
    cvSetIdentity( kalman->process_noise_cov );

    kalman->measurement_matrix = cvCreateMat( MP, DP, CV_32FC1 );
    cvZero( kalman->measurement_matrix );

    kalman->measurement_noise_cov = cvCreateMat( MP, MP, CV_32FC1 );
    cvSetIdentity( kalman->measurement_noise_cov );

    kalman->error_cov_pre = cvCreateMat( DP, DP, CV_32FC1 );

    kalman->error_cov_post = cvCreateMat( DP, DP, CV_32FC1 );
    cvZero( kalman->error_cov_post );

    kalman->gain = cvCreateMat( DP, MP, CV_32FC1 );

    if( CP > 0 )
    {
        kalman->control_matrix = cvCreateMat( DP, CP, CV_32FC1 );
        cvZero( kalman->control_matrix );
    }

    kalman->temp1 = cvCreateMat( DP, DP, CV_32FC1 );
    kalman->temp2 = cvCreateMat( MP, DP, CV_32FC1 );
    kalman->temp3 = cvCreateMat( MP, MP, CV_32FC1 );
    kalman->temp4 = cvCreateMat( MP, DP, CV_32FC1 );
    kalman->temp5 = cvCreateMat( MP, 1, CV_32FC1 );

#if 1
    kalman->PosterState = kalman->state_pre->data.fl;
    kalman->PriorState = kalman->state_post->data.fl;
    kalman->DynamMatr = kalman->transition_matrix->data.fl;
    kalman->MeasurementMatr = kalman->measurement_matrix->data.fl;
    kalman->MNCovariance = kalman->measurement_noise_cov->data.fl;
    kalman->PNCovariance = kalman->process_noise_cov->data.fl;
    kalman->KalmGainMatr = kalman->gain->data.fl;
    kalman->PriorErrorCovariance = kalman->error_cov_pre->data.fl;
    kalman->PosterErrorCovariance = kalman->error_cov_post->data.fl;
#endif

    return kalman;
}


CV_IMPL void
cvReleaseKalman( CvKalman** _kalman )
{
    CvKalman *kalman;

    if( !_kalman )
        CV_Error( CV_StsNullPtr, "" );

    kalman = *_kalman;
    if( !kalman )
        return;

    /* freeing the memory */
    cvReleaseMat( &kalman->state_pre );
    cvReleaseMat( &kalman->state_post );
    cvReleaseMat( &kalman->transition_matrix );
    cvReleaseMat( &kalman->control_matrix );
    cvReleaseMat( &kalman->measurement_matrix );
    cvReleaseMat( &kalman->process_noise_cov );
    cvReleaseMat( &kalman->measurement_noise_cov );
    cvReleaseMat( &kalman->error_cov_pre );
    cvReleaseMat( &kalman->gain );
    cvReleaseMat( &kalman->error_cov_post );
    cvReleaseMat( &kalman->temp1 );
    cvReleaseMat( &kalman->temp2 );
    cvReleaseMat( &kalman->temp3 );
    cvReleaseMat( &kalman->temp4 );
    cvReleaseMat( &kalman->temp5 );

    memset( kalman, 0, sizeof(*kalman));

    /* deallocating the structure */
    cvFree( _kalman );
}


CV_IMPL const CvMat*
cvKalmanPredict( CvKalman* kalman, const CvMat* control )
{
    if( !kalman )
        CV_Error( CV_StsNullPtr, "" );

    /* update the state */
    /* x'(k) = A*x(k) */
    cvMatMulAdd( kalman->transition_matrix, kalman->state_post, 0, kalman->state_pre );

    if( control && kalman->CP > 0 )
        /* x'(k) = x'(k) + B*u(k) */
        cvMatMulAdd( kalman->control_matrix, control, kalman->state_pre, kalman->state_pre );

    /* update error covariance matrices */
    /* temp1 = A*P(k) */
    cvMatMulAdd( kalman->transition_matrix, kalman->error_cov_post, 0, kalman->temp1 );

    /* P'(k) = temp1*At + Q */
    cvGEMM( kalman->temp1, kalman->transition_matrix, 1, kalman->process_noise_cov, 1,
                     kalman->error_cov_pre, CV_GEMM_B_T );

    /* handle the case when there will be measurement before the next predict */
    cvCopy(kalman->state_pre, kalman->state_post);

    return kalman->state_pre;
}


CV_IMPL const CvMat*
cvKalmanCorrect( CvKalman* kalman, const CvMat* measurement )
{
    if( !kalman || !measurement )
        CV_Error( CV_StsNullPtr, "" );

    /* temp2 = H*P'(k) */
    cvMatMulAdd( kalman->measurement_matrix, kalman->error_cov_pre, 0, kalman->temp2 );
    /* temp3 = temp2*Ht + R */
    cvGEMM( kalman->temp2, kalman->measurement_matrix, 1,
            kalman->measurement_noise_cov, 1, kalman->temp3, CV_GEMM_B_T );

    /* temp4 = inv(temp3)*temp2 = Kt(k) */
    cvSolve( kalman->temp3, kalman->temp2, kalman->temp4, CV_SVD );

    /* K(k) */
    cvTranspose( kalman->temp4, kalman->gain );

    /* temp5 = z(k) - H*x'(k) */
    cvGEMM( kalman->measurement_matrix, kalman->state_pre, -1, measurement, 1, kalman->temp5 );

    /* x(k) = x'(k) + K(k)*temp5 */
    cvMatMulAdd( kalman->gain, kalman->temp5, kalman->state_pre, kalman->state_post );

    /* P(k) = P'(k) - K(k)*temp2 */
    cvGEMM( kalman->gain, kalman->temp2, -1, kalman->error_cov_pre, 1,
                     kalman->error_cov_post, 0 );

    return kalman->state_post;
}

namespace cv
{

KalmanFilter::KalmanFilter() {}
KalmanFilter::KalmanFilter(int dynamParams, int measureParams, int controlParams, int type)
{
    init(dynamParams, measureParams, controlParams, type);
}

void KalmanFilter::init(int DP, int MP, int CP, int type)
{
    CV_Assert( DP > 0 && MP > 0 );
    CV_Assert( type == CV_32F || type == CV_64F );
    CP = std::max(CP, 0);

    statePre = Mat::zeros(DP, 1, type);
    statePost = Mat::zeros(DP, 1, type);
    transitionMatrix = Mat::eye(DP, DP, type);

    processNoiseCov = Mat::eye(DP, DP, type);
    measurementMatrix = Mat::zeros(MP, DP, type);
    measurementNoiseCov = Mat::eye(MP, MP, type);

    errorCovPre = Mat::zeros(DP, DP, type);
    errorCovPost = Mat::zeros(DP, DP, type);
    gain = Mat::zeros(DP, MP, type);

    if( CP > 0 )
        controlMatrix = Mat::zeros(DP, CP, type);
    else
        controlMatrix.release();

    temp1.create(DP, DP, type);
    temp2.create(MP, DP, type);
    temp3.create(MP, MP, type);
    temp4.create(MP, DP, type);
    temp5.create(MP, 1, type);
}

const Mat& KalmanFilter::predict(const Mat& control)
{
    // update the state: x'(k) = A*x(k)
    statePre = transitionMatrix*statePost;

    if( control.data )
        // x'(k) = x'(k) + B*u(k)
        statePre += controlMatrix*control;

    // update error covariance matrices: temp1 = A*P(k)
    temp1 = transitionMatrix*errorCovPost;

    // P'(k) = temp1*At + Q
    gemm(temp1, transitionMatrix, 1, processNoiseCov, 1, errorCovPre, GEMM_2_T);

    // handle the case when there will be measurement before the next predict.
    statePre.copyTo(statePost);
    errorCovPre.copyTo(errorCovPost);

    return statePre;
}

const Mat& KalmanFilter::correct(const Mat& measurement)
{
    // temp2 = H*P'(k)
    temp2 = measurementMatrix * errorCovPre;

    // temp3 = temp2*Ht + R
    gemm(temp2, measurementMatrix, 1, measurementNoiseCov, 1, temp3, GEMM_2_T);

    // temp4 = inv(temp3)*temp2 = Kt(k)
    solve(temp3, temp2, temp4, DECOMP_SVD);

    // K(k)
    gain = temp4.t();

    // temp5 = z(k) - H*x'(k)
    temp5 = measurement - measurementMatrix*statePre;

    // x(k) = x'(k) + K(k)*temp5
    statePost = statePre + gain*temp5;

    // P(k) = P'(k) - K(k)*temp2
    errorCovPost = errorCovPre - gain*temp2;

    return statePost;
}

}