filters::statespace Namespace Reference

Collection of utility methods for use with state space applications. More...

Classes
class	NoiseCovMat
	Represents a square noise covariance matrix. More...
class	NoiseCovMat<-1, -1, -1 >
	Represents a square noise covariance matrix.

Typedefs
using	NoiseCovMatX = NoiseCovMat<-1, -1, -1>

Functions
template<int size>
Eigen::Matrix< double, size, size >	createCovarianceMatrix (const Eigen::Matrix< double, size, 1 > &stdDevs)
	Create a covariance matrix modelling independent variables with the given standard deviations.
template<int numStates>
Eigen::Matrix< double, numStates, numStates >	discreteToContinuous (const Eigen::Matrix< double, numStates, numStates > &A, double dt)
	Convert a discrete time system matrix to continuous time.
template<int numStates, int numInputs>
void	discreteToContinuous (Eigen::Matrix< double, numStates, numStates > &A, Eigen::Matrix< double, numStates, numInputs > &B, double dt)
	Convert discrete time system and input matrices to continuous time.
template<int numStates, int numInputs>
void	continuousToDiscrete (Eigen::Matrix< double, numStates, numStates > &A, Eigen::Matrix< double, numStates, numInputs > &B, double dt)
	Convert continuous time system and input matrices to discrete time.
template<int numStates>
Eigen::Matrix< double, numStates, numStates >	discretizeA (const Eigen::Matrix< double, numStates, numStates > &contA, double dt)
	Convert a continuous time system matrix to discrete time.
template<int numStates>
void	discretizeAQ (const Eigen::Matrix< double, numStates, numStates > &contA, const Eigen::Matrix< double, numStates, numStates > &contQ, Eigen::Matrix< double, numStates, numStates > &discA, Eigen::Matrix< double, numStates, numStates > &discQ, double dt)
	Convert a continuous time system matrix and additive process noise matrix to discrete time.
template<int numStates>
Eigen::Matrix< double, numStates, numStates >	discretizeQ (const Eigen::Matrix< double, numStates, numStates > &contA, const Eigen::Matrix< double, numStates, numStates > &contQ, double dt)
	Discretizes a continuous time additive process noise covariance matrix.
template<int numStates>
Eigen::Matrix< double, numStates, numStates >	discretizeR (const Eigen::Matrix< double, numStates, numStates > &contR, double dt)
	Discretizes a continuous time additive output noise covariance matrix.

Detailed Description

Collection of utility methods for use with state space applications.

Function Documentation

continuousToDiscrete()

template<int numStates, int numInputs>

void filters::statespace::continuousToDiscrete	(	Eigen::Matrix< double, numStates, numStates > &	A,
		Eigen::Matrix< double, numStates, numInputs > &	B,
		double	dt )

Convert continuous time system and input matrices to discrete time.

Template Parameters

numStates

The number of states in the system.

Parameters

A	A reference to the continuous time system matrix. It will be replaced with the discrete time equivalent.
B	A reference to the continuous time input matrix. It will be replaced with the discrete time equivalent.
dt	The time in seconds between updates.

createCovarianceMatrix()

template<int size>

Eigen::Matrix< double, size, size > filters::statespace::createCovarianceMatrix

(

const Eigen::Matrix< double, size, 1 > &

stdDevs

)

Create a covariance matrix modelling independent variables with the given standard deviations.

Template Parameters

size	The dimension of the noise.

Parameters

stdDevs

The standard deviation of each element.

Returns

A size x size covariance matrix.

discreteToContinuous() [1/2]

template<int numStates>

Eigen::Matrix< double, numStates, numStates > filters::statespace::discreteToContinuous	(	const Eigen::Matrix< double, numStates, numStates > &	A,
		double	dt )

Convert a discrete time system matrix to continuous time.

Template Parameters

numStates

The number of states in the system.

Parameters

A	The discrete time system matrix.
dt	The time in seconds between updates.

Returns

An equivalent continuous time system matrix.

discreteToContinuous() [2/2]

template<int numStates, int numInputs>

void filters::statespace::discreteToContinuous	(	Eigen::Matrix< double, numStates, numStates > &	A,
		Eigen::Matrix< double, numStates, numInputs > &	B,
		double	dt )

Convert discrete time system and input matrices to continuous time.

Template Parameters

numStates

The number of states in the system.

Parameters

A	A reference to the discrete time system matrix. It will be replaced with the continuous time equivalent.
B	A reference to the discrete time input matrix. It will be replaced with the continuous time equivalent.
dt	The time in seconds between updates.

discretizeA()

template<int numStates>

Eigen::Matrix< double, numStates, numStates > filters::statespace::discretizeA	(	const Eigen::Matrix< double, numStates, numStates > &	contA,
		double	dt )

Convert a continuous time system matrix to discrete time.

Template Parameters

numStates

The number of states in the system.

Parameters

contA	The continuous time system matrix.
dt	The time in seconds between updates.

Returns

An equivalent discrete time system matrix.

discretizeAQ()

template<int numStates>

void filters::statespace::discretizeAQ	(	const Eigen::Matrix< double, numStates, numStates > &	contA,
		const Eigen::Matrix< double, numStates, numStates > &	contQ,
		Eigen::Matrix< double, numStates, numStates > &	discA,
		Eigen::Matrix< double, numStates, numStates > &	discQ,
		double	dt )

Convert a continuous time system matrix and additive process noise matrix to discrete time.

Template Parameters

numStates

The number of states in the system.

Parameters

contA	A reference to the continuous time system matrix.
contQ	A reference to the continuous time additive process noise matrix.
discA	A reference to a matrix where the discrete time system matrix will be stored.
discQ	A reference to a matrix where the discrete process noise covariance matrix will be stored.
dt	The time in seconds between updates.

discretizeQ()

template<int numStates>

Eigen::Matrix< double, numStates, numStates > filters::statespace::discretizeQ	(	const Eigen::Matrix< double, numStates, numStates > &	contA,
		const Eigen::Matrix< double, numStates, numStates > &	contQ,
		double	dt )

Discretizes a continuous time additive process noise covariance matrix.

Template Parameters

numStates

The number of states in the system.

Parameters

contA	The continuous time system matrix.
contQ	The continuous time process noise covariance matrix.
dt	The time in second between updates.

Returns

The discrete time process noise covariance matrix.

discretizeR()

template<int numStates>

Eigen::Matrix< double, numStates, numStates > filters::statespace::discretizeR	(	const Eigen::Matrix< double, numStates, numStates > &	contR,
		double	dt )

Discretizes a continuous time additive output noise covariance matrix.

Template Parameters

numStates

The number of states in the system.

Parameters

contR	The continuous time output noise covariance matrix.
dt	The time in seconds between updates.

Returns

The discrete time output noise covariance matrix.