WelfordMean: add unit test

src/lib/mathlib/CMakeLists.txt

@@ -43,3 +43,4 @@ px4_add_unit_gtest(SRC math/test/AlphaFilterTest.cpp)
 px4_add_unit_gtest(SRC math/test/MedianFilterTest.cpp)
 px4_add_unit_gtest(SRC math/test/NotchFilterTest.cpp)
 px4_add_unit_gtest(SRC math/FunctionsTest.cpp)
+px4_add_unit_gtest(SRC math/WelfordMeanTest.cpp)

src/lib/mathlib/math/WelfordMeanTest.cpp

@@ -0,0 +1,66 @@
+/****************************************************************************
+ *
+ *   Copyright (C) 2021 PX4 Development Team. All rights reserved.
+ *
+ * Redistribution and use in source and binary forms, with or without
+ * modification, are permitted provided that the following conditions
+ * are met:
+ *
+ * 1. Redistributions of source code must retain the above copyright
+ *    notice, this list of conditions and the following disclaimer.
+ * 2. Redistributions in binary form must reproduce the above copyright
+ *    notice, this list of conditions and the following disclaimer in
+ *    the documentation and/or other materials provided with the
+ *    distribution.
+ * 3. Neither the name PX4 nor the names of its contributors may be
+ *    used to endorse or promote products derived from this software
+ *    without specific prior written permission.
+ *
+ * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+ * "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+ * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS
+ * FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE
+ * COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT,
+ * INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING,
+ * BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS
+ * OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED
+ * AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT
+ * LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN
+ * ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+ * POSSIBILITY OF SUCH DAMAGE.
+ *
+ ****************************************************************************/
+
+#include <gtest/gtest.h>
+#include <random>
+#include <lib/matrix/matrix/math.hpp>
+#include "WelfordMean.hpp"
+
+using namespace math;
+using matrix::Vector3f;
+
+TEST(WelfordMeanTest, NoisySignal)
+{
+	const float std_dev = 3.f;
+	std::normal_distribution<float> standard_normal_distribution{0.f, std_dev};
+	std::default_random_engine random_generator{}; // Pseudo-random generator with constant seed
+	random_generator.seed(42);
+	WelfordMean<Vector3f> welford{};
+
+	for (int i = 0; i < 50; i++) {
+		const float noisy_value = standard_normal_distribution(random_generator);
+		welford.update(Vector3f(noisy_value, noisy_value - 1.f, noisy_value + 1.f));
+	}
+
+	EXPECT_TRUE(welford.valid());
+	const Vector3f mean = welford.mean();
+	const Vector3f var = welford.variance();
+	const float var_real = std_dev * std_dev;
+
+	EXPECT_NEAR(mean(0), 0.f, 0.7f);
+	EXPECT_NEAR(mean(1), -1.f, 0.7f);
+	EXPECT_NEAR(mean(2), 1.f, 0.7f);
+	EXPECT_NEAR(var(0), var_real, 0.1f);
+	EXPECT_NEAR(var(1), var_real, 0.1f);
+	EXPECT_NEAR(var(2), var_real, 0.1f);
+}