EKF-UKF-Toolbox-for-Matlab-V1.2
所属分类:matlab编程
开发工具:matlab
文件大小:998KB
下载次数:18
上传日期:2013-06-05 08:50:40
上 传 者:
johnsonguo
说明: 各种kalman滤波的matlab工具包,里面包含一个cancer例子,和多个demo
(Various kalman filter matlab toolkit, which contains a cancer case, and a number of demo)
文件列表:
EKF UKF Toolbox for Matlab V1.2\documentation.pdf (1054703, 2011-04-28)
EKF UKF Toolbox for Matlab V1.2\ekfukf_1_2.tar.gz (67732, 2011-04-28)
EKF UKF Toolbox for Matlab V1.2\ekfukf_1_2.zip (125619, 2011-04-28)
EKF UKF Toolbox for Matlab V1.2\TKK - LCE Models and Methods EKF-UKF Toolbox for Matlab.mht (32887, 2011-04-28)
EKF UKF Toolbox for Matlab V1.2 (0, 2011-05-01)
EKF/UKF Toolbox for Matlab V1.2
http://www.lce.hut.fi/research/mm/ekfukf/
Maintainers: Simo S?rkk?, Jouni Hartikainen
News
2007-09-04 Published new version (1.2) with few bug fixes and IMM filters and smoothers.
2007-09-04 Published new version (1.1) with fixes in m-file documentation
2007-08-07 First version of toolbox and documentation have been published!
Introduction
EKF/UKF is an optimal filtering toolbox for Matlab. Optimal filtering is a frequently used term for a process, in which the state of a dynamic system is estimated through noisy and indirect measurements. This toolbox mainly consists of Kalman filters and smoothers, which are the most common methods used in stochastic state-space estimation. The purpose of the toolbox is not to provide highly optimized software package, but instead to provide a simple framework for building proof-of-concept implementations of optimal filters and smoothers to be used in practical applications.
Most of the code has been written by Simo S?rkk? in the Laboratory of Computational Engineering at Helsinki University of Technology (HUT). Later Jouni Hartikainen checked, cleaned, commented and extended it a bit. He also wrote a documentation with examples for it.
License
This software is distributed under the GNU General Public License (version 2 or later); please refer to the file License.txt, included with the software, for details.
Download and Installation guide
Documentation
The documentation demonstrates the use of software as well as state-space estimation with Kalman filters in general. The purpose is not to give a complete guide to the subject, but to discuss the implementation and properties of Kalman filters.
documentation.pdf
The methods that are discussed in the current documentation are:
Kalman filters and smoothers.
Extended Kalman filters and smoothers
Unscented Kalman filters and smoothers
Interacting Multiple Model (IMM) filters and smoothers
Demos
There are four demonstration programs for the provided filters and smoothers. The code of demonstrations and short introduction to them are given below. All of the demonstration programs are discussed completely in the documentation.
Demonstration programs for linear state-space models:
2D CWPA-model, 'kf_cpwa_demo'
Demonstration programs for non-linear state-space models:
Tracking a random sine signal, 'ekf_sine_demo'
UNGM-model, 'ungm_demo'
Bearings Only Tracking, 'bot_demo'
Reentry Vehicle Tracking, 'reentry_demo'
Demonstration programs for multiple model systems:
Tracking a random sine signal, 'ekf_sine_demo'
Coordinated Turn Model, 'ct_demo'
Bearings Only Tracking of a Manouvering Target, 'botm_demo'
Contents
EKF/UKF toolbox for Matlab 7.x
Version 1.1, September 5, 2007
Copyright (C) 2002-2007 Simo S?rkk?,
2007 Jouni Hartikainen
History:
04.09.2007 JH/SS Updated for version 1.1
06.08.2007 JH Updated for version 1.0
This software is distributed under the GNU General Public
Licence (version 2 or later); please refer to the file
Licence.txt, included with the software, for details.
Kalman filtering
KF_PREDICT Perform Kalman Filter prediction step
KF_UPDATE Kalman Filter update step
KF_LHOOD Kalman Filter measurement likelihood
RTS_SMOOTH Rauch-Tung-Striebel Smoother
TF_SMOOTH Smoother based on combination of two Kalman filters
Extended Kalman filtering
EKF_PREDICT1 1st order Extended Kalman Filter prediction step
EKF_UPDATE1 1st order Extended Kalman Filter update step
EKF_PREDICT2 2nd order Extended Kalman Filter prediction step
EKF_UPDATE2 2nd order Extended Kalman Filter update step
ERTS_SMOOTH1 1st order Extended RTS Smoother
ETF_SMOOTH1 Smoother based on two 1st order extended Kalman filters
Unscented transform / Unscented Kalman filtering
UT_WEIGHTS Generate weights for sigma points using the summation form
UT_MWEIGHTS Generate weights for sigma points using the matrix form
UT_SIGMAS Generate Sigma Points for Unscented Transformation
UT_TRANSFORM Makes the Unscented Transformation of x and y
UKF_PREDICT1 Nonaugmented UKF prediction step
UKF_UPDATE1 Nonaugmented UKF update step
UKF_PREDICT2 Augmented (state and process noise) UKF prediction step
UKF_UPDATE2 Augmented (state and measurement noise) UKF update step
UKF_PREDICT3 Augmented (state, process and measurement noise) UKF prediction step
UKF_UPDATE3 Augmented (state, process and measurement noise) UKF update step
URTS_SMOOTH1 Nonaugmented unscented RTS-smoother
URTS_SMOOTH2 Augmented unscented RTS-smoother
UTF_SMOOTH1 Smoother based on combination of two unscented Kalman filters
Multiple Model Filtering
IMM_PREDICT IMM filter prediction step
IMM_UPDATE IMM filter update step
IMM_SMOOTH IMM smoothing
EIMM_PREDICT IMM-EKF filter prediction step
EIMM_UPDATE IMM-EKF filter update step
EIMM_SMOOTH IMM-EKF smoothing
UIMM_PREDICT IMM-UKF filter prediction step
UIMM_UPDATE IMM-UKF filter update step
UIMM_SMOOTH IMM-UKF smoothing
Misc.
GAUSS_PDF Multivariate Gaussian PDF
GAUSS_RND Multivariate Gaussian random variables
LTI_INT Integrate LTI ODE with Gaussian Noise
LTI_DISC Discretize LTI ODE with Gaussian Noise
RK4 Runge-Kutta integration
DER_CHECK Check derivatives using finite differences
SCHOL Positive semidefinite matrix Cholesky factorization
/DEMOS/
/KF_CWPA_DEMO/
KF_CWPA_DEMO CWPA model demonstration with Kalman filter
/EKF_SINE_DEMO/
EKF_SINE_F Dynamic model function (needed by the augmented UKF)
EKF_SINE_H Measurement model function
EKF_SINE_DH_DX Jacobian of the measurement model
EKF_SINE_D2H_DX2 Hessian of the measurement model
EKF_SINE_DEMO Random Sine Signal demonstration
/UNGM_DEMO/
UNGM_F Dynamic model function
UNGM_DF_DX Jacobian of the dynamic model
UNGM_D2F_DX2 Hessian of the dynamic model (not used)
UNGM_H Measurement model function
UNGM_DH_DX Jacobian of the measurement model
UNGM_D2H_DX2 Hessian of the measurement model (not used)
UNGM_DEMO UNGM model demonstration
/BOT_DEMO/
BOT_H Measurement model function
BOT_DH_DX 1st order derivative of the measurement model
BOT_D2H_DX2 2nd order derivative of the measurement model
BOT_DEMO_ALL BOT demo with EKF and UKF
EKFS_BOT_DEMO BOT demo with EKF
UKFS_BOT_DEMO BOT demo with UKF
/REENTRY_DEMO/
REENTRY_F Dynamic model function
REENTRY_DF_DX Jacobian of the dynamic model
REENTRY_H Measurement model function
REENTRY_DH_DX Jacobian of the measurement model
REENTRY_IF Inverse prediction of the dynamic model
REENTRY_COND Generates condition numbers for simulation data
MAKE_REENTRY_DATA Generates the simulation data for reentry dynamics
REENTRY_DEMO Reentry Vehicle Tracking demonstration
/IMM_DEMO/
IMM_DEMO Tracking a Target with Simple Manouvers demonstration
/EIMM_DEMO/
F_TURN Dynamic model function for the coordinated turn model
F_TURN_DX Jacobian of the coordinated turn model's dynamic model
F_TURN_INV Inverse dynamics of the coordinated turn model
CT_DEMO Coordinated Turn Model demonstration
BOT_H Measurement model function
BOT_DH_DX 1st order derivative of the measurement model
BOT_D2H_DX2 2nd order derivative of the measurement model
BOTM_DEMO Bearings Only Tracking of a Manouvering Target Demonstration
Demos currently included in the toolbox, but not documented:
/KF_SINE_DEMO/
KF_SINE_DEMO Sine signal demonstration with Kalman filter
The Software Download and Installation Guide
The software consist only of Matlab m-files.
ekfukf_1_2.tar.gz
ekfukf_1_2.zip
documentation.pdf
The actual functions of the toolbox are located in the directory
/ekfukf/
and the files for the demonstrations are in directories
/ekfukf/demos//
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