Package org.hipparchus.util

Interface UnscentedTransformProvider

All Known Implementing Classes:
AbstractUnscentedTransform, JulierUnscentedTransform, MerweUnscentedTransform
public interface UnscentedTransformProvider
Provider for unscented transform.
Since:
2.2

  • Method Details

    • unscentedTransform

      RealVector[] unscentedTransform(RealVector state, RealMatrix covariance)
      Perform the unscented transform from a state and its covariance.
      Parameters:
      state - process state
      covariance - covariance associated with the process state
      Returns:
      an array containing the sigma points of the unscented transform

    • getUnscentedMeanState

      default RealVector getUnscentedMeanState(RealVector[] sigmaPoints)
      Computes a weighted mean state from a given set of sigma points.

      This method can be used for computing both the mean state and the mean measurement in an Unscented Kalman filter.

      It corresponds to Equation 17 of "Wan, E. A., & Van Der Merwe, R. The unscented Kalman filter for nonlinear estimation"

      Parameters:
      sigmaPoints - input samples
      Returns:
      weighted mean state

    • getUnscentedCovariance

      default RealMatrix getUnscentedCovariance(RealVector[] sigmaPoints, RealVector meanState)
      Computes the unscented covariance matrix from a weighted mean state and a set of sigma points.

      This method can be used for computing both the predicted state covariance matrix and the innovation covariance matrix in an Unscented Kalman filter.

      It corresponds to Equation 18 of "Wan, E. A., & Van Der Merwe, R. The unscented Kalman filter for nonlinear estimation"

      Parameters:
      sigmaPoints - input sigma points
      meanState - weighted mean state
      Returns:
      the unscented covariance matrix

    • inverseUnscentedTransform

      default Pair<RealVector,RealMatrix> inverseUnscentedTransform(RealVector[] sigmaPoints)
      Perform the inverse unscented transform from an array of sigma points.
      Parameters:
      sigmaPoints - array containing the sigma points of the unscented transform
      Returns:
      mean state and associated covariance

    • getWc

      RealVector getWc()
      Get the covariance weights.
      Returns:
      the covariance weights

    • getWm

      RealVector getWm()
      Get the mean weights.
      Returns:
      the mean weights