File content as of revision 5:c3caf8b83e6b:

/*
 * kalman.c
 *
 *  Created on: Aug 21, 2014
 *      Author: Michal
 */

#include "kalman.h"

// Setup the kalman data struct
void kalman_init(kalman_data *data)
{
    data->x1 = 0.0f;
    data->x2 = 0.0f;
    data->x3 = 0.0f;

    // Init P to diagonal matrix with large values since
    // the initial state is not known
    data->p11 = 1000.0f;
    data->p12 = 0.0f;
    data->p13 = 0.0f;
    data->p21 = 0.0f;
    data->p22 = 1000.0f;
    data->p23 = 0.0f;
    data->p31 = 0.0f;
    data->p32 = 0.0f;
    data->p33 = 1000.0f;

    data->q1 = Q1;
    data->q2 = Q2;
    data->q3 = Q3;
    data->r1 = R1;
    data->r2 = R2;
}

void kalman_innovate(kalman_data *data, float z1, float z2)
{
    float y1, y2;
    float a, b, c;
    float sDet;
    float s11, s12, s21, s22;
    float k11, k12, k21, k22, k31, k32;
    float p11, p12, p13, p21, p22, p23, p31, p32, p33;

    // Step 1
    // x(k) = Fx(k-1) + Bu + w:
    data->x1 = data->x1 + DT*data->x2 - DT*data->x3;
    //x2 = x2;
    //x3 = x3;

    // Step 2
    // P(k) = AP(k-1)A'+Q
    a = data->p11 + data->p21*DT - data->p31*DT;
    b = data->p12 + data->p22*DT - data->p32*DT;
    c = data->p13 + data->p23*DT - data->p33*DT;
    data->p11 = a + b*DT - c*DT + data->q1;
    data->p12 = b;
    data->p13 = c;
    data->p21 = data->p21 + data->p22*DT - data->p23*DT;
    data->p22 = data->p22 + data->q2;
    //p23 = p23;
    data->p31 = data->p31 + data->p32*DT - data->p33*DT;
    //p32 = p32;
    data->p33 = data->p33 + data->q3;

    // Step 3
    // y = z(k) - Hx(k)
    // K(k) = P(k)H'(HP(k)T' + R)^-1
    y1 = z1-data->x1;
    y2 = z2-data->x2;
    // S = HPT' + R
    s11 = data->p11 + data->r1;
    s12 = data->p12;
    s21 = data->p21;
    s22 = data->p22 + data->r2;
    // K = PH'*inv(S)
    sDet = 1/(s11*s22 - s12*s21);
    k11 = (data->p11*s22 - data->p12*s21)*sDet;
    k12 = (data->p12*s11 - data->p11*s12)*sDet;
    k21 = (data->p21*s22 - data->p22*s21)*sDet;
    k22 = (data->p22*s11 - data->p21*s12)*sDet;
    k31 = (data->p31*s22 - data->p32*s21)*sDet;
    k32 = (data->p32*s11 - data->p31*s12)*sDet;

    // Step 6
    // x(k) = x(k) + K(z(k)-Hx(k))
    data->x1 = data->x1 + k11*y1 + k12*y2;
    data->x2 = data->x2 + k21*y1 + k22*y2;
    data->x3 = data->x3 + k31*y1 + k32*y2;

    // Step 7
    // P(k) = (I-KH)P(k)
    p11 = data->p11*(1.0f - k11) - data->p21*k12;
    p12 = data->p12*(1.0f - k11) - data->p22*k12;
    p13 = data->p13*(1.0f - k11) - data->p23*k12;
    p21 = data->p21*(1.0f - k22) - data->p11*k21;
    p22 = data->p22*(1.0f - k22) - data->p12*k21;
    p23 = data->p23*(1.0f - k22) - data->p13*k21;
    p31 = data->p31 - data->p21*k32 - data->p11*k31;
    p32 = data->p32 - data->p22*k32 - data->p12*k31;
    p33 = data->p33 - data->p23*k32 - data->p13*k31;
    data->p11 = p11; data->p12 = p12; data->p13 = p13;
    data->p21 = p21; data->p22 = p22; data->p23 = p23;
    data->p31 = p31; data->p32 = p32; data->p33 = p33;
}