kalman_filter 1.0.0

checksums.yaml

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data/lib/kalman_filter.rb

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+class KalmanFilter
+  attr_writer :process_noise, :measurement_noise, :state_vector,
+              :control_vector, :measurement_vector
+
+  attr_reader :value
+
+  attr_accessor :measurement
+
+  def initialize(options={})
+    @covariance           = nil
+    @value                = nil
+    @measurement          = nil
+
+    # setup defaults
+    @process_noise        = (options[:process_noise]        ||  1.0)
+    @measurement_noise    = (options[:measurement_noise]    ||  1.0)
+    @state_vector         = (options[:state_vector]         ||  1.0)
+    @control_vector       = (options[:control_vector]       ||  0.0)
+    @measurement_vector   = (options[:measurement_vector]   ||  1.0)
+  end
+
+  def measurement=(new_measurement, control = 0.0)
+    @measurement = new_measurement
+
+    if value.nil?
+      self.value       = new_measurement / measurement_vector
+      self.covariance  = 1.0 / measurement_vector
+    else
+
+      # Prediction
+      predicted_x =
+        (state_vector * value) + (control_vector * control)
+      predicted_covariance =
+        ((state_vector * covariance) * state_vector) + process_noise
+
+      # Gain
+      kalman_gain = predicted_covariance * measurement_vector * (1 /
+        ((measurement_vector * predicted_covariance *
+          measurement_vector) + measurement_noise))
+
+      # Correction
+      covariance = predicted_covariance -
+        (kalman_gain * measurement_vector * predicted_covariance)
+
+      self.value = predicted_x + kalman_gain *
+        (new_measurement - (measurement_vector * predicted_x))
+    end
+
+    value
+  end
+
+  private
+
+    attr_writer   :value
+    attr_reader   :process_noise, :measurement_noise, :state_vector,
+                  :control_vector, :measurement_vector
+
+    attr_accessor :covariance
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: kalman_filter
+version: !ruby/object:Gem::Version
+  version: 1.0.0
+platform: ruby
+authors:
+- Joseph Viscomi
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2016-11-06 00:00:00.000000000 Z
+dependencies: []
+description: |-
+  Noisy sensor data, approximations in the equations that
+      describe the system evolution, and external factors that are not accounted
+      for all place limits on how well it is possible to determine the system's
+      state. The Kalman filter deals effectively with the uncertainty due to
+      noisy sensor data and to some extent also with random external factors.
+      The Kalman filter produces an estimate of the state of the system as an
+      average of the system's predicted state and of the new measurement using a
+      weighted average. The purpose of the weights is that values with better
+      (i.e., smaller) estimated uncertainty are "trusted" more. The weights
+      are calculated from the covariance, a measure of the estimated uncertainty
+      of the prediction of the system's state. The result of the weighted
+      average is a new state estimate that lies between the predicted and
+      measured state, and has a better estimated uncertainty than either alone.
+      This process is repeated at every time step, with the new estimate and its
+      covariance informing the prediction used in the following iteration. This
+      means that the Kalman filter works recursively and requires only the last
+      "best guess", rather than the entire history, of a system's state to
+      calculate a new state.
+email: jjviscomi@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- lib/kalman_filter.rb
+homepage: https://github.com/jjviscomi/kalman-filter
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.5.1
+signing_key: 
+specification_version: 4
+summary: A Ruby implimentation of a Kalman Filter, linear quadratic estimator.
+test_files: []