estimateStates

Batch fusion and smoothing of sensor data

Since R2022a

Syntax

estimates = estimateStates(filter,sensorData,measurementNoise)

[estimates,smoothEstimates] = estimateStates(___)

Description

estimates = estimateStates(filter,sensorData,measurementNoise) returns the state estimates based on the motion model used in the filter, the sensor data, and the measurement noise. The function predicts the filter state estimates forward in time based on the row times in sensorData and fuses data from each column of the table one by one.

example

[estimates,smoothEstimates] = estimateStates(___) additionally returns the smoothed state estimates by using the Rauch-Tung-Striebel (RTS) nonlinear Kalman smoother. For algorithm details, see Algorithms and [1].

Tip

Smoothing usually requires considerably more memory and computation time. Use this syntax only when you need the smoothed estimated states.

example

Examples

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Batch Fusion and State Smoothing Using `insEKF`

Open Live Script

Load measurement data from an accelerometer and a gyroscope.

load("accelGyroINSEKFData.mat");

Create an insEKF filter object. Specify the orientation part of the state in the filter using the initial orientation from the measurement data. Specify the diagonal elements of the state estimate error covariance matrix corresponding to the orientation state as 0.01.

filt = insEKF;
stateparts(filt,"Orientation",compact(initOrient));
statecovparts(filt,"Orientation",1e-2);

Specify the measurement noise and the additive process noise. You can obtain these values by using the tune object function of the filter object.

measureNoise = struct("AccelerometerNoise", 0.1739, ...
    "GyroscopeNoise", 1.1129);
processNoise = diag([ ...
    2.8586 1.3718 0.8956 3.2148 4.3574 2.5411 3.2148 0.5465 0.2811 ...
    1.7149 0.1739 0.7752 0.1739]);
filt.AdditiveProcessNoise = processNoise;

Batch-estimate the states using the estimateStates object function. Also, obtain the estimates after smoothing.

[estimates,smoothEstimates] = estimateStates(filt,sensorData,measureNoise);

Visualize the estimated orientation in Euler angles.

figure
t = estimates.Properties.RowTimes;
plot(t,eulerd(estimates.Orientation,"ZYX","frame"));
title("Estimated Orientation");
ylabel("Degrees")

Figure contains an axes object. The axes object with title Estimated Orientation, ylabel Degrees contains 3 objects of type line.

Visualize the estimated orientation after smoothing in Euler angles.

figure
plot(t,eulerd(smoothEstimates.Orientation,"ZYX","frame"));
title("Smoothed Orientation");
ylabel("Degrees")

Figure contains an axes object. The axes object with title Smoothed Orientation, ylabel Degrees contains 3 objects of type line.

Visualize the estimate error, in quaternion distance, using the dist object function of the quaternion object.

trueOrient = groundTruth.Orientation;
plot(t,rad2deg(dist(estimates.Orientation, trueOrient)), ...
     t,rad2deg(dist(smoothEstimates.Orientation, trueOrient)));
title("Estimated and Smoother Error");
legend("Estimation Error","Smoothed Error")
xlabel("Time");
ylabel("Degrees")

Figure contains an axes object. The axes object with title Estimated and Smoother Error, xlabel Time, ylabel Degrees contains 2 objects of type line. These objects represent Estimation Error, Smoothed Error.

Input Arguments

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`filter` — INS filter
`insEKF` object

INS filter, specified as an insEKF object.

`sensorData` — Sensor data
`timetable`

Sensor data, specified as a timetable. Each variable name (as a column) in the timetable must match one of the sensor names specified in the SensorNames property of the filter. Each entry in the table is the measurement from the sensor at the corresponding row time.

If a sensor does not produce measurements at a row time, specify the corresponding entry as NaN.

`measurementNoise` — Measurement noise
structure

Measurement noise of the sensors, specified as a structure. Each field name must match one of the sensor names specified in the SensorNames property of the filter. The field value is the corresponding measurement noise covariance matrix. If you specify a field value as a scalar, the function extends the scalar to the diagonal of the matrix.

Data Types: struct

Output Arguments

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`estimates` — State estimates
`timetable`

State estimates, returned as a timetable. The name of each variable in the table represents a state. You can obtain the variable names by using the stateinfo object function of the filter. The last column in the table is the state estimate error covariance matrix for the complete state vector of the filter at each of the row times.

`smoothEstimates` — Smoothed state estimates
`timetable`

Smoothed state estimates, returned as a timetable. The name of each variable in the table represents a state. You can obtain the variable names by using the stateinfo object function of the filter. The last column in the table is the state estimate error covariance matrix for the complete state vector of the filter at each of the row times.

Algorithms

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RTS Smoother

Consider a continuous discrete nonlinear model as follows.

$\begin{array}{l} \frac{d}{d t} x (t) = f (x (t), t) + w (t), w (t) ~ N (0, Q (t)) \\ y_{k} = h (x_{k}) + v_{k}, v_{k} ~ N (0, R_{k}) \end{array}$

In the equation, t represents the continuous system time, x is the system state, f is the state equation, and w is process noise that follows a normal distribution of mean 0 and covariance Q. k is the discrete time step, y is the measurement, h is the measurement function, v is measurement noise that follows a normal distribution of mean 0 and covariance R.

Consider a time period [0, T], where T is the total time considered for smoothing. The smoother first performs forward filtering for t ∈ [0, T] by using a regular continuous discrete extended Kalman filter. Eventually, the smoother obtains the forward state estimate x_f(T) and forward covariance estimate P_f(T) at the final time. The smoother also saves the state estimates and covariances at intermediate steps when the smoother corrects the estimated state with measurements.

Next, the smoother obtains the smoothed state by using a backward filter. For convenience, define a variable τ = T - t representing the backward time. The backward filter obtains the smoothed state x_s and covariance P_s at each measurement time by using backward integration with these equations.

$\begin{array}{l} K_{f} (t) = Q P_{f}^{- 1} (t) \\ \frac{d}{d τ} P_{s} (t) = - [F (x_{f} (t), t) + K_{f} (t)] P_{f} (t) - P_{f} (t) {[F (x_{f} (t), t) + K_{f} (t)]}^{T} + Q (t), P_{s} (T) = P_{f} (T) \\ \frac{d}{d τ} x_{s} (t) = - [F (x_{f} (t), t) + K_{f} (t)] [x_{s} (t) - x_{f} (t)] - f (x_{f} (t), t), x_{s} (T) = x_{f} (T) \end{array}$

In these equations, K_f(t) is the Kalman gain and F = ∂f(x,t)/∂x is the Jacobian matrix of the state model.

References

[1] Crassidis, John L., and John L. Junkins. "Optimal Estimation of Dynamic Systems". 2nd ed, CRC Press, pp. 349- 352, 2012.

Extended Capabilities

C/C++ Code Generation
Generate C and C++ code using MATLAB® Coder™.

Version History

Introduced in R2022a

expand all

R2023a: Smooth state estimates using insEKF

You can now obtain smoothed state estimates as the second output from the estimateStates function. The function uses the Rauch-Tung-Striebel (RTS) smoothing algorithm to obtain the smoothed state estimates.

estimateStates

Syntax

Description

Examples

Batch Fusion and State Smoothing Using insEKF

Input Arguments

filter — INS filter insEKF object

sensorData — Sensor data timetable

measurementNoise — Measurement noise structure

Output Arguments

estimates — State estimates timetable

smoothEstimates — Smoothed state estimates timetable

Algorithms

RTS Smoother

References

Extended Capabilities

C/C++ Code Generation Generate C and C++ code using MATLAB® Coder™.

Version History

R2023a: Smooth state estimates using insEKF

See Also

Batch Fusion and State Smoothing Using `insEKF`

`filter` — INS filter
`insEKF` object

`sensorData` — Sensor data
`timetable`

`measurementNoise` — Measurement noise
structure

`estimates` — State estimates
`timetable`

`smoothEstimates` — Smoothed state estimates
`timetable`

C/C++ Code Generation
Generate C and C++ code using MATLAB® Coder™.