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jgoppert
26 lines
550 B
C++
26 lines
550 B
C++
#pragma once
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#include "math.hpp"
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namespace matrix {
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template<typename Type, size_t M, size_t N>
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void kalman_correct(
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const SquareMatrix<Type, M> & P,
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const Matrix<Type, N, M> & C,
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const SquareMatrix<Type, N> & R,
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const Vector<Type, N> &r,
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Vector<Type, M> & dx,
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SquareMatrix<Type, M> & dP,
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float & beta
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)
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{
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SquareMatrix<Type, N> S_I = SquareMatrix<Type, N>(C*P*C.T() + R).I();
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Matrix<Type, M, N> K = P*C.T()*S_I;
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dx = K*r;
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beta = Scalar<Type>(r.T()*S_I*r);
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dP = K*C*P*(-1);
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}
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}; // namespace matrix
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