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/*
* Copyright (C) 2017 The Android Open Source Project
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package com.android.server.wifi.util;
/**
* Utility providiing a basic Kalman filter
*
* For background, see https://en.wikipedia.org/wiki/Kalman_filter
*/
public class KalmanFilter {
public Matrix mF; // stateTransition
public Matrix mQ; // processNoiseCovariance
public Matrix mH; // observationModel
public Matrix mR; // observationNoiseCovariance
public Matrix mP; // aPosterioriErrorCovariance
public Matrix mx; // stateEstimate
/**
* Performs the prediction phase of the filter, using the state estimate to produce
* a new estimate for the current timestep.
*/
public void predict() {
mx = mF.dot(mx);
mP = mF.dot(mP).dotTranspose(mF).plus(mQ);
}
/**
* Updates the state estimate to incorporate the new observation z.
*/
public void update(Matrix z) {
Matrix y = z.minus(mH.dot(mx));
Matrix tS = mH.dot(mP).dotTranspose(mH).plus(mR);
Matrix tK = mP.dotTranspose(mH).dot(tS.inverse());
mx = mx.plus(tK.dot(y));
mP = mP.minus(tK.dot(mH).dot(mP));
}
@Override
public String toString() {
return "{F: " + mF
+ " Q: " + mQ
+ " H: " + mH
+ " R: " + mR
+ " P: " + mP
+ " x: " + mx
+ "}";
}
}
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