Bootstrap Filter

This package implements Bootstrap Filter also known as Particle filter.

Example output

Bootstrap filter in action
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func AlphaGauss

func AlphaGauss(r, c int) float64

    AlphaGauss computes optimal regulariation parameter for Gaussian kernel and returns it.


    type BF

    type BF struct {
    	// contains filtered or unexported fields

      BF is a Bootstrap Filter a.k.a. SIR Particle Filter. For more information about Bootstrap Filter see:

      func New

      func New(m filter.Model, ic filter.InitCond, q, r filter.Noise, p int, pdf distmv.LogProber) (*BF, error)

        New creates new Particle Filter (PF) with the following parameters and returns it: - m: system model - init: initial condition of the filter - q: state noise a.k.a. process noise - r: output noise a.k.a. measurement noise - p: number of filter particles - pdf: Probability Density Function (PDF) of filter output error New returns error if non-positive number of particles is given or if the particles fail to be generated.

        func (*BF) Particles

        func (b *BF) Particles() mat.Matrix

          Particles returns BF particles

          func (*BF) Predict

          func (b *BF) Predict(x, u mat.Vector) (filter.Estimate, error)

            Predict estimates the next system state and its output given the state x and input u and returns it. Predict modifies internal state of the filter: it updates its particle with their predicted values. It returns error if it fails to propagate either the filter particles or x to the next state.

            func (*BF) Resample

            func (b *BF) Resample(alpha float64) error

              Resample allows to resample filter particles with regularization parameter alpha. It generates new filter particles and replaces the existing ones with them. If invalid (non-positive) alpha is provided we use optimal alpha for gaussian kernel. It returns error if it fails to generate new filter particles.

              func (*BF) Run

              func (b *BF) Run(x, u, z mat.Vector) (filter.Estimate, error)

                Run runs one step of Bootstrap Filter for given state x, input u and measurement z. It corrects system state estimate x using measurement z and returns a new state estimate. It returns error if it either fails to propagate particles or update the state x.

                func (*BF) Update

                func (b *BF) Update(x, u, z mat.Vector) (filter.Estimate, error)

                  Update corrects state x using the measurement z given control intput u and returns the corrected estimate. It returns error if it fails to calculate system output estimate or if the size of z is invalid.

                  func (*BF) Weights

                  func (b *BF) Weights() mat.Vector

                    Weights returns a vector containing BF particle weights

                    Source Files