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pythonnumpygpskalman-filter
Himal Acharya
Himal Acharya

Reputation: 1006

Kalman filter implementation in python for speed estimation

I try to implement Kalman filter for predicting speed one step ahead. Implementing in python H=np.diag([1,1]) H

Result: array([[1, 0], [0, 1]]) For measurement vector datafile is csv file containing time as one column and speed in another column

measurements=np.vstack((mx,my,datafile.speed))
 #length of meassurement
 m=measurements.shape[1]
 print(measurements.shape)

Output: (3, 1069)

Kalman

 for filterstep in range(m-1):
         #Time Update
           #=============================
         #Project the state ahead
        x=A*x

        #Project the error covariance ahead
        P=A*P*A.T+Q

        #Measurement Update(correction)
        #===================================
        #if there is GPS measurement
        if GPS[filterstep]:
        #COmpute the Kalman Gain
        S =(H*P*H).T + R
        S_inv=S.inv()
        K=(P*H.T)*S_inv

        #Update the estimate via z
        Z = measurements[:,filterstep].reshape(H.shape[0],1)
        y=Z-(H*x)
        x = x + (K*y)

        #Update the error covariance
        P=(I-(K*H))*P


# Save states for Plotting
    x0.append(float(x[0]))
    x1.append(float(x[1]))


    Zx.append(float(Z[0]))
    Zy.append(float(Z[1]))

    Px.append(float(P[0,0]))
    Py.append(float(P[1,1]))



    Kx.append(float(K[0,0]))
    Ky.append(float(K[1,0]))

Error comes as:

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-80-9b15fccbaca8> in <module>()
     20 
     21         #Update the estimate via z
---> 22         Z = measurements[:,filterstep].reshape(H.shape[0],1)
     23         y=Z-(H*x)
     24         x = x + (K*y)

ValueError: total size of new array must be unchanged

How can i remove such error

Upvotes: 0

Views: 1415

Answers (1)

Keith Brodie
Keith Brodie

Reputation: 655

This line is incorrect:

S =(H*P*H).T + R

The correct code is:

S =(H*P*H.T) + R

I'm having trouble following what the measurements are. You stated " array([[1, 0], [0, 1]]) For measurement vector datafile is csv file containing time as one column and speed in another column"

So that reads to me as a CSV file with two columns, one time, and one speed. In that case you have only one measurement at each time, the speed. For a single measurement, your H-matrix should be a row-vector.

Upvotes: 1

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