所以，我已在此dataset上应用了kalman过滤器。以下是我的代码（请注意我正在添加一个代码以在他/她的机器上重现结果）。
# Multi dimensional Kalman filter
import os
from math import *
class matrix:
# implements basic operations of a matrix class
def __init__(self, value):
if isinstance(value, basestring):
print "lol"
self.value = value
self.dimx = len(value)
self.dimy = len(value[0])
if value == [[]]:
self.dimx = 0
def zero(self, dimx, dimy):
# check if valid dimensions
if dimx < 1 or dimy < 1:
raise ValueError, "Invalid size of matrix"
else:
self.dimx = dimx
self.dimy = dimy
self.value = [[0 for row in range(dimy)] for col in range(dimx)]
def identity(self, dim):
# check if valid dimension
if dim < 1:
raise ValueError, "Invalid size of matrix"
else:
self.dimx = dim
self.dimy = dim
self.value = [[0 for row in range(dim)] for col in range(dim)]
for i in range(dim):
self.value[i][i] = 1
def show(self):
for i in range(self.dimx):
print self.value[i]
print ' '
def __add__(self, other):
# check if correct dimensions
if self.dimx != other.dimx or self.dimy != other.dimy:
raise ValueError, "Matrices must be of equal dimensions to add"
else:
# add if correct dimensions
res = matrix([[]])
res.zero(self.dimx, self.dimy)
for i in range(self.dimx):
for j in range(self.dimy):
res.value[i][j] = self.value[i][j] + other.value[i][j]
return res
def __sub__(self, other):
# check if correct dimensions
if self.dimx != other.dimx or self.dimy != other.dimy:
raise ValueError, "Matrices must be of equal dimensions to subtract"
else:
# subtract if correct dimensions
res = matrix([[]])
res.zero(self.dimx, self.dimy)
for i in range(self.dimx):
for j in range(self.dimy):
res.value[i][j] = self.value[i][j] - other.value[i][j]
return res
def __mul__(self, other):
# check if correct dimensions
if self.dimy != other.dimx:
raise ValueError, "Matrices must be m*n and n*p to multiply"
else:
# subtract if correct dimensions
res = matrix([[]])
res.zero(self.dimx, other.dimy)
for i in range(self.dimx):
for j in range(other.dimy):
for k in range(self.dimy):
res.value[i][j] += self.value[i][k] * other.value[k][j]
return res
def transpose(self):
# compute transpose
res = matrix([[]])
res.zero(self.dimy, self.dimx)
for i in range(self.dimx):
for j in range(self.dimy):
res.value[j][i] = self.value[i][j]
return res
# Thanks to Ernesto P. Adorio for use of Cholesky and CholeskyInverse functions
def Cholesky(self, ztol=1.0e-5):
# Computes the upper triangular Cholesky factorization of
# a positive definite matrix.
res = matrix([[]])
res.zero(self.dimx, self.dimx)
for i in range(self.dimx):
S = sum([(res.value[k][i])**2 for k in range(i)])
d = self.value[i][i] - S
if abs(d) < ztol:
res.value[i][i] = 0.0
else:
if d < 0.0:
raise ValueError, "Matrix not positive-definite"
res.value[i][i] = sqrt(d)
for j in range(i+1, self.dimx):
S = sum([res.value[k][i] * res.value[k][j] for k in range(self.dimx)])
if abs(S) < ztol:
S = 0.0
res.value[i][j] = (self.value[i][j] - S)/res.value[i][i]
return res
def CholeskyInverse(self):
# Computes inverse of matrix given its Cholesky upper Triangular
# decomposition of matrix.
res = matrix([[]])
res.zero(self.dimx, self.dimx)
# Backward step for inverse.
for j in reversed(range(self.dimx)):
tjj = self.value[j][j]
S = sum([self.value[j][k]*res.value[j][k] for k in range(j+1, self.dimx)])
res.value[j][j] = 1.0/tjj**2 - S/tjj
for i in reversed(range(j)):
res.value[j][i] = res.value[i][j] = -sum([self.value[i][k]*res.value[k][j] for k in range(i+1, self.dimx)])/self.value[i][i]
return res
def inverse(self):
aux = self.Cholesky()
res = aux.CholeskyInverse()
return res
def __repr__(self):
return repr(self.value)
########################################
# filter function
def kalman_filter(x, P):
# measurement update
y = measurements - H * x
s = H * P * H.transpose() + R
K = P * H.transpose() * s.inverse()
x = x + K * y
P = (I - K * H) * P
# prediction
x = F * x
P = F * P * F.transpose()
return x,P
files = []
x = matrix([[0.], [0.], [0.]]) # initial state (location and velocity)
P = matrix([[1000., 0.,0.], [0., 1000.,0.] , [0.,0.,1000.]]) # initial uncertainty
u = matrix([[0.], [0.]]) # external motion
F = matrix([[1., 0., 0.], [0., 1.,0.], [0.,0.,1.] ]) # next state function
H = matrix([[1., 0., 0.], [0., 1., 0.], [0., 0., 1.]]) # measurement function
R = matrix([[1., 0., 0.], [0.,1.,0.], [0., 0., 1.]]) # measurement uncertainty
I = matrix([[1., 0.,0.], [0., 1.,0.], [0.,0.,1.]]) # identity matrix
for i in os.listdir("/home/fatima/Downloads/thesis/HMP_Dataset/Climb_stairs"):
if i.endswith('.txt'):
files.append(i)
for j in range(len(files)-1):
print "iterationh number"
print j
with open("/home/fatima/Downloads/thesis/HMP_Dataset/Climb_stairs/"+files[j]) as f:
content = f.readlines()
for e in range(len(content)-1):
content1 = [z.strip() for z in content]
content2 = content1[e].split(" ")
content2[0] =-14.709 + (float(content2[0])/63)*(2*14.709);
content2[2] =-14.709 + (float(content2[2])/63)*(2*14.709);
content2[1] =-14.709 + (float(content2[1])/63)*(2*14.709);
measurements =matrix([ [float(content2[0]) ], [float(content2[1])] , [float(content2[2])] ] )
print measurements
x,p= kalman_filter(x, P)
print x
卡尔曼滤波器位于代码的末尾。我没有在状态矩阵的预测中添加任何噪声，因为我不确定如何。 关于数据集： 它是ADL腕戴式加速度计数据集。总共有14个活动，加速度记录在x，y和z方向。加速度值从0到63变化。对于计算，它被标准化为-14.7到+14.7。 的问题： 我的问题是我是否朝着正确的方向前进。输出看起来是否正确？有什么改进吗？
答案 0 :(得分：0)
代码看起来不错，你肯定会朝着正确的方向前进！
以下有些人认为你可以检查你的实施：
K = inv（inv（P）+ H'* inv（R）H）H'inv（R）
其中inv（P）是矩阵P的倒数。两者应该等于数值精度。
对于模型噪声，您可以在方程P = F * P * F'+ Q中添加一个小的协方差矩阵。它通常是与单位矩阵成比例的矩阵。如果Q很小，测量将在一些迭代后不再影响分析。如果Q太大，你的模型状态x会非常嘈杂。
一些编码备注：
measurements，H和R也是Kalman_filter函数的参数，那么您的函数将更容易移植到不同的情况。请告诉我这是否有帮助！