Added kalman files - working but weird output

filter_def.py

@@ -0,0 +1,72 @@
+# DEFINING EKF
+import numpy as np
+from filterpy.common import Q_discrete_white_noise
+from filterpy.kalman import ExtendedKalmanFilter
+from numpy import eye, array, asarray
+from math import sqrt, atan
+
+# load data from file
+range_angle_track = np.load('range_angle_track.npy').T
+t_max = range_angle_track.shape[1]
+
+def HJacobian_at(x):
+    """ compute Jacobian of H matrix at state x """
+    C11 = np.divide(x[0], np.sqrt(x[0]**2+x[3]**2))
+    C12 = np.divide(x[3], np.sqrt(x[0]**2+x[3]**2))
+    C21 = np.divide(1, x[0]*(1+np.divide(x[3],x[0])**2))
+    C22 = -np.divide(x[3], x[0]**2*(1+np.divide(x[3],x[0])**2))
+
+    return array ([[C11*x[0], 0, C12*x[3], 0],
+                   [C21*x[0], 0, C22*x[3], 0]])
+
+
+
+def hx(x):
+    """ compute measurement for range and angle that
+        would correspond to state x.
+    """
+    range = sqrt(x[0]**2 + x[2]**2)
+    angle = atan(x[1]/x[3])
+    return (range, angle)
+
+
+
+dt = 1/15
+# define the extended kalman filter object
+rk = ExtendedKalmanFilter(dim_x=4, dim_z=2)
+
+# make a starting point guess
+components = np.array([np.cos(range_angle_track[0][0]), np.sin(range_angle_track[1][0])])
+# starting radial position and velocity are projected on the two axis
+pos_0 = range_angle_track[0][0]*components
+vel_0 = (range_angle_track[0][1]-range_angle_track[0][0])/dt * components
+# initial state vector in the form (x, v_x, y, v_y)
+rk.x = np.array([pos_0[0], vel_0[0], pos_0[1], vel_0[1]])
+
+# transition matrix
+rk.F = np.array([[1, dt, 0, 0],
+                 [0, 1, 0, 0],
+                 [0, 0, 1, dt],
+                 [0, 0, 0, 1]])
+
+# process noise covariance matrix
+sigma_Q = 1
+rk.Q = np.array([[.25*dt**4, .5*dt**3, 0,          0       ],
+                 [.5*dt**2,  dt*2,     0,          0       ],
+                 [0,         0,        .25*dt**4,  .5*dt**3],
+                 [0,         0,        .5*dt**2,   dt*2    ]]) * sigma_Q
+
+# measurement noise covariance matrix
+range_std = (np.zeros(2)+1) * 0.1 # meters
+rk.R = np.diag(range_std**2)
+
+rk.P *= .5 # how to tune this value?
+
+xs = [] # stores the predicted values in cartesian space
+for i in range(t_max):
+    z = range_angle_track.T[i] # i-th measure
+    rk.update(z, HJacobian_at, hx)
+    xs.append(rk.x)
+    rk.predict()
+
+xs = asarray(xs)

plot_kf.py

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+import matplotlib.pyplot as plt
+import seaborn as sns
+import numpy as np
+from filter_def import range_angle_track, t_max, xs
+
+sns.set()
+
+
+fig, ax = plt.subplots(2)
+fig.suptitle('Range and Angle')
+ax[0].plot(range_angle_track[0])
+ax[1].plot(range_angle_track[1])
+plt.show()
+
+plt.plot(xs.T[0])