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Add Kalman Filter #698

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Sep 1, 2024
Merged

Add Kalman Filter #698

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6 changes: 3 additions & 3 deletions src/Locators/BfgsMultilateralizer.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -49,7 +49,7 @@ public bool Locate(Scenario scenario)
if (pos.Length < 3 || _floor.Bounds == null)
{
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
else
{
Expand Down Expand Up @@ -77,7 +77,7 @@ public bool Locate(Scenario scenario)
});
var solver = new BfgsBMinimizer(0, 0.25, 0.25, 1000);
var result = solver.FindMinimum(obj, lowerBound, upperBound, initialGuess);
scenario.Location = new Point3D(result.MinimizingPoint[0], result.MinimizingPoint[1], result.MinimizingPoint[2]);
scenario.UpdateLocation(new Point3D(result.MinimizingPoint[0], result.MinimizingPoint[1], result.MinimizingPoint[2]));
scenario.Fixes = pos.Length;
scenario.Error = result.FunctionInfoAtMinimum.Value;
scenario.Iterations = result switch
Expand All @@ -94,7 +94,7 @@ public bool Locate(Scenario scenario)
catch (Exception ex)
{
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
Log.Error("Error finding location for {0}: {1}", _device, ex.Message);
}

Expand Down
8 changes: 4 additions & 4 deletions src/Locators/GaussNewtonMultilateralizer.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -53,7 +53,7 @@ public bool Locate(Scenario scenario)
if (pos.Length < 3 || _floor.Bounds == null)
{
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
else
{
Expand All @@ -67,7 +67,7 @@ public bool Locate(Scenario scenario)
var gaussNewton = new GaussNewton(pos, ranges, lowerBound, upperBound);
var result = gaussNewton.FindPosition(initialGuess);

scenario.Location = new Point3D(result.X, result.Y, result.Z);
scenario.UpdateLocation(new Point3D(result.X, result.Y, result.Z));
scenario.Fixes = pos.Length;
scenario.Error = pos.Select((p, i) => Math.Pow(Error(result.ToPoint3D(), p.ToPoint3D(), ranges[i]), 2)).Average();
scenario.Iterations = gaussNewton.Iterations;
Expand All @@ -81,12 +81,12 @@ public bool Locate(Scenario scenario)
{
scenario.ReasonForExit = ExitCondition.ExceedIterations;
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
catch (Exception ex)
{
confidence = 0;
scenario.Location = new Point3D();
scenario.UpdateLocation(new Point3D());
Log.Error("Error finding location for {0}: {1}", _device, ex.Message);
}

Expand Down
4 changes: 2 additions & 2 deletions src/Locators/IterativeCentroidMultilateralizer.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -49,7 +49,7 @@ public bool Locate(Scenario scenario)
scenario.Error = CalculateError(centroid, original);
scenario.Confidence = 1;
scenario.ReasonForExit = ExitCondition.LackOfProgress;
scenario.Location = new Point3D(centroid[0], centroid[1], centroid[2]);
scenario.UpdateLocation(new Point3D(centroid[0], centroid[1], centroid[2]));
scenario.Room = floor.Rooms.Values.FirstOrDefault(a => a.Polygon?.EnclosesPoint(scenario.Location.ToPoint2D()) ?? false);
return Math.Abs(scenario.Location.DistanceTo(scenario.LastLocation)) >= 0.1;
}
Expand All @@ -65,7 +65,7 @@ public bool Locate(Scenario scenario)
var err = CalculateError(centroid, original);
scenario.Error = err;
scenario.Confidence = Math.Clamp((10000 - (int?)Math.Ceiling(100 * err)) ?? 0, 0, 100);
scenario.Location = new Point3D(centroid[0], centroid[1], centroid[2]);
scenario.UpdateLocation(new Point3D(centroid[0], centroid[1], centroid[2]));
scenario.Room = floor.Rooms.Values.FirstOrDefault(a => a.Polygon?.EnclosesPoint(scenario.Location.ToPoint2D()) ?? false);
return Math.Abs(scenario.Location.DistanceTo(scenario.LastLocation)) >= 0.1;
}
Expand Down
8 changes: 4 additions & 4 deletions src/Locators/MLEMultilateralizer.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ double Error(IList<double> x, DeviceToNode dn)
if (pos.Length < 3 || floor.Bounds == null)
{
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
else
{
Expand Down Expand Up @@ -84,7 +84,7 @@ double Error(IList<double> x, DeviceToNode dn)
var solver = new NelderMeadSimplex(1e-7, 10000);
var result = solver.FindMinimum(obj, initialGuess, initialPerturbation);
var minimizingPoint = result.MinimizingPoint.PointwiseMinimum(upperBound).PointwiseMaximum(lowerBound);
scenario.Location = new Point3D(minimizingPoint[0], minimizingPoint[1], minimizingPoint[2]);
scenario.UpdateLocation(new Point3D(minimizingPoint[0], minimizingPoint[1], minimizingPoint[2]));
scenario.Scale = minimizingPoint[3];
scenario.Fixes = pos.Length;
scenario.Error = result.FunctionInfoAtMinimum.Value;
Expand All @@ -103,12 +103,12 @@ double Error(IList<double> x, DeviceToNode dn)
{
scenario.ReasonForExit = ExitCondition.ExceedIterations;
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
catch (Exception ex)
{
confidence = 0;
scenario.Location = new Point3D();
scenario.UpdateLocation(new Point3D());
Log.Error("Error finding location for {0}: {1}", device, ex.Message);
}

Expand Down
6 changes: 3 additions & 3 deletions src/Locators/MultiFloorMultilateralizer.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -61,7 +61,7 @@ public bool Locate(Scenario scenario)
scenario.Scale ?? 1.0
});
var result = solver.FindMinimum(obj, init);
scenario.Location = new Point3D(result.MinimizingPoint[0], result.MinimizingPoint[1], result.MinimizingPoint[2]);
scenario.UpdateLocation(new Point3D(result.MinimizingPoint[0], result.MinimizingPoint[1], result.MinimizingPoint[2]));
scenario.Scale = result.MinimizingPoint[3];
scenario.Fixes = pos.Count;
scenario.Minimum = nodes.Min(a => (double?) a.Distance);
Expand All @@ -73,14 +73,14 @@ public bool Locate(Scenario scenario)
{
confidence = 1;
scenario.Scale = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
}
catch (Exception ex)
{
confidence = 1;
scenario.Scale = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
Log.Error("Error finding location for {0}: {1}", _device, ex.Message);
}
}
Expand Down
8 changes: 4 additions & 4 deletions src/Locators/NelderMeadMultilateralizer.cs
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -41,7 +41,7 @@ public bool Locate(Scenario scenario)
if (pos.Length < 3 || floor.Bounds == null)
{
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
else
{
Expand Down Expand Up @@ -73,7 +73,7 @@ public bool Locate(Scenario scenario)
var solver = new NelderMeadSimplex(1e-7, 10000);
var result = solver.FindMinimum(obj, initialGuess, initialPerturbation);
var minimizingPoint = result.MinimizingPoint.PointwiseMinimum(upperBound).PointwiseMaximum(lowerBound);
scenario.Location = new Point3D(minimizingPoint[0], minimizingPoint[1], minimizingPoint[2]);
scenario.UpdateLocation(new Point3D(minimizingPoint[0], minimizingPoint[1], minimizingPoint[2]));
scenario.Scale = minimizingPoint[3];
scenario.Fixes = pos.Length;
scenario.Error = result.FunctionInfoAtMinimum.Value;
Expand All @@ -92,12 +92,12 @@ public bool Locate(Scenario scenario)
{
scenario.ReasonForExit = ExitCondition.ExceedIterations;
confidence = 1;
scenario.Location = guess;
scenario.UpdateLocation(guess);
}
catch (Exception ex)
{
confidence = 0;
scenario.Location = new Point3D();
scenario.UpdateLocation(new Point3D());
Log.Error("Error finding location for {0}: {1}", device, ex.Message);
}

Expand Down
80 changes: 78 additions & 2 deletions src/Models/Scenario.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,7 @@
using MathNet.Numerics.Optimization;
using MathNet.Spatial.Euclidean;
using Newtonsoft.Json;
using MathNet.Numerics.LinearAlgebra;

namespace ESPresense.Models;

Expand All @@ -14,7 +15,7 @@ public class Scenario(Config? config, ILocate locator, string? name)
public int? Confidence { get; set; }
public double? Minimum { get; set; }
[JsonIgnore] public Point3D LastLocation { get; set; }
public Point3D Location { get; set; }
public Point3D Location { private set; get; }
public double? Scale { get; set; }
public int? Fixes { get; set; }
public string? Name { get; } = name;
Expand All @@ -26,8 +27,83 @@ public class Scenario(Config? config, ILocate locator, string? name)
public DateTime? LastHit { get; set; }
public double Probability { get; set; } = 1.0;

// Kalman filter properties
private Matrix<double>? _kalmanStateEstimate;
private Matrix<double>? _kalmanErrorCovariance;
private const double ProcessNoise = 0.01;
private const double MeasurementNoise = 0.1;
private Matrix<double>? _F; // State transition matrix
private Matrix<double>? _H; // Measurement matrix
private Matrix<double>? _Q; // Process noise covariance
private Matrix<double>? _R; // Measurement noise covariance

public bool Locate()
{
return Locator.Locate(this);
}
}

public void UpdateLocation(Point3D newLocation)
{
if (_kalmanStateEstimate == null || _kalmanErrorCovariance == null)
{
InitializeKalmanFilter(newLocation);
}

var dt = (DateTime.UtcNow - (LastHit ?? DateTime.UtcNow)).TotalSeconds;
LastHit = DateTime.UtcNow;

UpdateStateTransitionMatrix(dt);

// Predict
_kalmanStateEstimate = _F! * _kalmanStateEstimate!;
_kalmanErrorCovariance = _F * _kalmanErrorCovariance! * _F.Transpose() + _Q!;

// Update
var y = Matrix<double>.Build.DenseOfArray(new double[,] {
{ newLocation.X }, { newLocation.Y }, { newLocation.Z }
}) - _H! * _kalmanStateEstimate;

var S = _H * _kalmanErrorCovariance * _H.Transpose() + _R!;
var K = _kalmanErrorCovariance * _H.Transpose() * S.Inverse();

_kalmanStateEstimate += K * y;
_kalmanErrorCovariance = (Matrix<double>.Build.DenseIdentity(6) - K * _H) * _kalmanErrorCovariance;

// Update Location
Location = new Point3D(
_kalmanStateEstimate[0, 0],
_kalmanStateEstimate[1, 0],
_kalmanStateEstimate[2, 0]
);
}

private void InitializeKalmanFilter(Point3D initialLocation)
{
_kalmanStateEstimate = Matrix<double>.Build.DenseOfArray(new double[,] {
{ initialLocation.X }, { initialLocation.Y }, { initialLocation.Z },
{ 0 }, { 0 }, { 0 }
});
_kalmanErrorCovariance = Matrix<double>.Build.DenseDiagonal(6, 6, 1);

_H = Matrix<double>.Build.DenseOfArray(new double[,] {
{ 1, 0, 0, 0, 0, 0 },
{ 0, 1, 0, 0, 0, 0 },
{ 0, 0, 1, 0, 0, 0 }
});

_Q = Matrix<double>.Build.DenseDiagonal(6, 6, ProcessNoise);
_R = Matrix<double>.Build.DenseDiagonal(3, 3, MeasurementNoise);
}

private void UpdateStateTransitionMatrix(double dt)
{
_F = Matrix<double>.Build.DenseOfArray(new double[,] {
{ 1, 0, 0, dt, 0, 0 },
{ 0, 1, 0, 0, dt, 0 },
{ 0, 0, 1, 0, 0, dt },
{ 0, 0, 0, 1, 0, 0 },
{ 0, 0, 0, 0, 1, 0 },
{ 0, 0, 0, 0, 0, 1 }
});
}
}
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