Bayesian Filtering Library
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00001 // $Id: rauchtungstriebel.h 6736 2006-12-22 11:24:42Z tdelaet $ 00002 // Copyright (C) 2006 Tinne De Laet <first dot last at mech dot kuleuven dot be> 00003 // 00004 // This program is free software; you can redistribute it and/or modify 00005 // it under the terms of the GNU Lesser General Public License as published by 00006 // the Free Software Foundation; either version 2.1 of the License, or 00007 // (at your option) any later version. 00008 // 00009 // This program is distributed in the hope that it will be useful, 00010 // but WITHOUT ANY WARRANTY; without even the implied warranty of 00011 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 00012 // GNU Lesser General Public License for more details. 00013 // 00014 // You should have received a copy of the GNU Lesser General Public License 00015 // along with this program; if not, write to the Free Software 00016 // Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. 00017 // 00018 00019 #ifndef __RAUCHTUNGSTRIEBEL__ 00020 #define __RAUCHTUNGSTRIEBEL__ 00021 00022 #include "backwardfilter.h" 00023 #include "../pdf/gaussian.h" 00024 #include "../pdf/conditionalpdf.h" 00025 #include "../model/analyticsystemmodel_gaussianuncertainty.h" 00026 00027 namespace BFL 00028 { 00029 00031 00042 class RauchTungStriebel : public BackwardFilter<MatrixWrapper::ColumnVector> 00043 { 00044 public: 00046 00049 RauchTungStriebel(Gaussian* prior); 00050 00052 virtual ~RauchTungStriebel(); 00053 00054 protected: 00055 00057 void PostSigmaSet( const MatrixWrapper::SymmetricMatrix& s); 00058 00060 void PostMuSet( const MatrixWrapper::ColumnVector& c); 00061 00063 00069 virtual void SysUpdate(SystemModel<MatrixWrapper::ColumnVector>* const sysmodel, const MatrixWrapper::ColumnVector& u , Pdf<ColumnVector>* const filtered_post); 00070 00071 virtual bool UpdateInternal(SystemModel<ColumnVector>* const sysmodel, const ColumnVector& u, Pdf<ColumnVector>* const filtered_post); 00072 00073 private: 00074 // Variables to avoid allocation during sysupdate call 00075 ColumnVector _x, _xf, _xpred, _xsmooth; 00076 Matrix _F, _Ppred, _Pxx, _K, _Psmooth; 00077 SymmetricMatrix _Q, _Sigma_new; 00078 }; // class 00079 00080 } // End namespace BFL 00081 00082 #endif //__RAUCHTUNGSTRIEBEL__