openpilot_comma/selfdrive/locationd/kalman/ekf_c.c

#include <eigen3/Eigen/Dense>
#include <iostream>

typedef Eigen::Matrix<double, DIM, DIM, Eigen::RowMajor> DDM;
typedef Eigen::Matrix<double, EDIM, EDIM, Eigen::RowMajor> EEM;
typedef Eigen::Matrix<double, DIM, EDIM, Eigen::RowMajor> DEM;

void predict(double *in_x, double *in_P, double *in_Q, double dt) {
  typedef Eigen::Matrix<double, MEDIM, MEDIM, Eigen::RowMajor> RRM;
  
  double nx[DIM] = {0};
  double in_F[EDIM*EDIM] = {0};

  // functions from sympy
  f_fun(in_x, dt, nx);
  F_fun(in_x, dt, in_F);


  EEM F(in_F);
  EEM P(in_P);
  EEM Q(in_Q);

  RRM F_main = F.topLeftCorner(MEDIM, MEDIM);
  P.topLeftCorner(MEDIM, MEDIM) = (F_main * P.topLeftCorner(MEDIM, MEDIM)) * F_main.transpose();
  P.topRightCorner(MEDIM, EDIM - MEDIM) = F_main * P.topRightCorner(MEDIM, EDIM - MEDIM);
  P.bottomLeftCorner(EDIM - MEDIM, MEDIM) = P.bottomLeftCorner(EDIM - MEDIM, MEDIM) * F_main.transpose();

  P = P + dt*Q;

  // copy out state
  memcpy(in_x, nx, DIM * sizeof(double));
  memcpy(in_P, P.data(), EDIM * EDIM * sizeof(double));
}

// note: extra_args dim only correct when null space projecting
// otherwise 1
template <int ZDIM, int EADIM, bool MAHA_TEST>
void update(double *in_x, double *in_P, Hfun h_fun, Hfun H_fun, Hfun Hea_fun, double *in_z, double *in_R, double *in_ea, double MAHA_THRESHOLD) {
  typedef Eigen::Matrix<double, ZDIM, ZDIM, Eigen::RowMajor> ZZM;
  typedef Eigen::Matrix<double, ZDIM, DIM, Eigen::RowMajor> ZDM;
  typedef Eigen::Matrix<double, ZDIM, EDIM, Eigen::RowMajor> ZEM;
  typedef Eigen::Matrix<double, Eigen::Dynamic, EDIM, Eigen::RowMajor> XEM;
  typedef Eigen::Matrix<double, EDIM, ZDIM, Eigen::RowMajor> EZM;
  typedef Eigen::Matrix<double, Eigen::Dynamic, 1> X1M;
  typedef Eigen::Matrix<double, Eigen::Dynamic, Eigen::Dynamic, Eigen::RowMajor> XXM;

  double in_hx[ZDIM] = {0};
  double in_H[ZDIM * DIM] = {0};
  double in_H_mod[EDIM * DIM] = {0};
  double delta_x[EDIM] = {0};
  double x_new[DIM] = {0};


  // state x, P
  Eigen::Matrix<double, ZDIM, 1> z(in_z);
  EEM P(in_P);
  ZZM pre_R(in_R);
  
  // functions from sympy
  h_fun(in_x, in_ea, in_hx);
  H_fun(in_x, in_ea, in_H);
  ZDM pre_H(in_H); 
  
  // get y (y = z - hx)
  Eigen::Matrix<double, ZDIM, 1> pre_y(in_hx); pre_y = z - pre_y;
  X1M y; XXM H; XXM R;
  if (Hea_fun){
    typedef Eigen::Matrix<double, ZDIM, EADIM, Eigen::RowMajor> ZAM;
    double in_Hea[ZDIM * EADIM] = {0};
    Hea_fun(in_x, in_ea, in_Hea);
    ZAM Hea(in_Hea);
    XXM A = Hea.transpose().fullPivLu().kernel();
   

    y = A.transpose() * pre_y;
    H = A.transpose() * pre_H;
    R = A.transpose() * pre_R * A;
  } else {
    y = pre_y;
    H = pre_H;
    R = pre_R;
  }
  // get modified H
  H_mod_fun(in_x, in_H_mod);
  DEM H_mod(in_H_mod);
  XEM H_err = H * H_mod;
  
  // Do mahalobis distance test
  if (MAHA_TEST){
    XXM a = (H_err * P * H_err.transpose() + R).inverse();
    double maha_dist = y.transpose() * a * y;
    if (maha_dist > MAHA_THRESHOLD){
      R = 1.0e16 * R;
    }
  }

  // Outlier resilient weighting
  double weight = 1;//(1.5)/(1 + y.squaredNorm()/R.sum());

  // kalman gains and I_KH
  XXM S = ((H_err * P) * H_err.transpose()) + R/weight;
  XEM KT = S.fullPivLu().solve(H_err * P.transpose());
  //EZM K = KT.transpose(); TODO: WHY DOES THIS NOT COMPILE?
  //EZM K = S.fullPivLu().solve(H_err * P.transpose()).transpose();
  //std::cout << "Here is the matrix rot:\n" << K << std::endl;
  EEM I_KH = Eigen::Matrix<double, EDIM, EDIM>::Identity() - (KT.transpose() * H_err);

  // update state by injecting dx
  Eigen::Matrix<double, EDIM, 1> dx(delta_x);
  dx  = (KT.transpose() * y);
  memcpy(delta_x, dx.data(), EDIM * sizeof(double));
  err_fun(in_x, delta_x, x_new);
  Eigen::Matrix<double, DIM, 1> x(x_new);
 
  // update cov 
  P = ((I_KH * P) * I_KH.transpose()) + ((KT.transpose() * R) * KT);

  // copy out state
  memcpy(in_x, x.data(), DIM * sizeof(double));
  memcpy(in_P, P.data(), EDIM * EDIM * sizeof(double));
  memcpy(in_z, y.data(), y.rows() * sizeof(double));
}