Package org.hipparchus.filtering.kalman

Class ProcessEstimate

java.lang.Object
org.hipparchus.filtering.kalman.ProcessEstimate
public class ProcessEstimate extends Object
Holder for process state and covariance.

The estimate always contains time, state and covariance. These data are the only ones needed to start a Kalman filter. Once a filter has been started and produces new estimates, these new estimates will always contain a state transition matrix and if the measurement has not been ignored, they will also contain measurement Jacobian, innovation covariance and Kalman gain.

Since:
1.3

  • Constructor Details

    • ProcessEstimate

      public ProcessEstimate(double time, RealVector state, RealMatrix covariance)
      Simple constructor.

      This constructor sets state transition matrix, covariance matrix H, innovation covariance matrix and Kalman gain k to null.

      Parameters:
      time - process time (typically the time or index of a measurement)
      state - state vector
      covariance - state covariance

    • ProcessEstimate

      public ProcessEstimate(double time, RealVector state, RealMatrix covariance, RealMatrix stateTransitionMatrix, RealMatrix measurementJacobian, RealMatrix innovationCovariance, RealMatrix kalmanGain)
      Simple constructor.
      Parameters:
      time - process time (typically the time or index of a measurement)
      state - state vector
      covariance - state covariance
      stateTransitionMatrix - state transition matrix between previous state and estimated (but not yet corrected) state
      measurementJacobian - Jacobian of the measurement with respect to the state
      innovationCovariance - innovation covariance matrix, defined as \(h.P.h^T + r\), may be null
      kalmanGain - Kalman Gain matrix, may be null
      Since:
      1.4

  • Method Details

    • getTime

      public double getTime()
      Get the process time.
      Returns:
      process time (typically the time or index of a measurement)

    • getState

      public RealVector getState()
      Get the state vector.
      Returns:
      state vector

    • getCovariance

      public RealMatrix getCovariance()
      Get the state covariance.
      Returns:
      state covariance

    • getStateTransitionMatrix

      public RealMatrix getStateTransitionMatrix()
      Get state transition matrix between previous state and estimated (but not yet corrected) state.
      Returns:
      state transition matrix between previous state and estimated state (but not yet corrected) (may be null for initial process estimate)
      Since:
      1.4

    • getMeasurementJacobian

      public RealMatrix getMeasurementJacobian()
      Get the Jacobian of the measurement with respect to the state (H matrix).
      Returns:
      Jacobian of the measurement with respect to the state (may be null for initial process estimate or if the measurement has been ignored)
      Since:
      1.4

    • getInnovationCovariance

      public RealMatrix getInnovationCovariance()
      Get the innovation covariance matrix.
      Returns:
      innovation covariance matrix (may be null for initial process estimate or if the measurement has been ignored)
      Since:
      1.4

    • getKalmanGain

      public RealMatrix getKalmanGain()
      Get the Kalman gain matrix.
      Returns:
      Kalman gain matrix (may be null for initial process estimate or if the measurement has been ignored)
      Since:
      1.4