Iterated Posterior Linearization FIlter (IPLF)#1016
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Iterated Posterior Linearization FIlter (IPLF)#1016
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mrcfon
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Overall looks good.
Doc strings need improving in places, minor formatting; but main thing is some suggestions (not tested) to avoid creating lots of new updater instances.
Co-authored-by: Steven Hiscocks <sdhiscocks@dstl.gov.uk>
a) inherit from LinearGaussian, rather than being its sibling class b) be true generalisation of LinearGaussian, i.e., generating the measurement matrix either based on the 'mapping' specification or using the explicitly specified measurement matrix
a) added the docstring and updated the comments b) included a user-specified function that may be useful to deal with issues due to angle wrapping c) replaced np.linalg.inv with np.linalg.pinv d) minor style corrections, e.g., around @
…ugmentedGaussianMeasurementPrediction) to preserve the info about the model used to produce a measurement prediction
a) included explicit specification of the slr_func, should an alternative definition be required b) homogenised the iterations such that the first iteration is not performed separately as an UKF update c) switched from the 'while' loop to the 'for' loop for improved clarity d) removed re-definition of the measurement model in hypothesis.measurement, which then cancelled the need to save/recover the hypothesis, as no info is manipulated -- except for adding/updating a measurement prediction e) included re-definition of the measurement prediction through a custom class (AugmentedGaussianMeasurementPrediction), such that the linearised model and its parameters could be preserved (an outlook for smoothing)
Codecov ReportAttention: Patch coverage is
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## main #1016 +/- ##
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- Coverage 93.61% 93.50% -0.12%
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+ Hits 12218 12287 +69
- Misses 588 596 +8
- Partials 245 258 +13
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This PR adds the following classes:
The Iterated Posterior Linearization FIlter (IPLF) described in [1] is obtained by iteratively linearising the measurement function using statistical linear regression (SLR) with respect to the posterior (rather than the prior), to take into account the information provided by the measurement.
A running example can be found here.
[1] Á. F. García-Fernández, L. Svensson, M. R. Morelande and S. Särkkä, "Posterior Linearization Filter: Principles and Implementation Using Sigma Points," in IEEE Transactions on Signal Processing, vol. 63, no. 20, pp. 5561-5573, Oct.15, 2015, doi: 10.1109/TSP.2015.2454485.