eive-obsw/mission/controller/acs/util/CholeskyDecomposition.h
Marius Eggert a95f7ff8b0
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added CholeskyDecomposition
2022-09-19 14:36:08 +02:00

103 lines
2.6 KiB
C++

/*
* TinyEKF: Extended Kalman Filter for embedded processors
*
* Copyright (C) 2015 Simon D. Levy
*
* MIT License
*/
#ifndef CHOLESKYDECOMPOSITION_H_
#define CHOLESKYDECOMPOSITION_H_
#include <math.h>
//typedef unsigned int uint8_t;
template<typename T1, typename T2=T1, typename T3=T2>
class CholeskyDecomposition {
public:
static int invertCholesky(T1 *matrix, T2 *result, T3 *tempMatrix, const uint8_t dimension)
{
// https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
return cholsl(matrix, result, tempMatrix, dimension);
}
private:
// https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
static uint8_t choldc1(double * a, double * p, uint8_t n) {
int8_t i,j,k;
double sum;
for (i = 0; i < n; i++) {
for (j = i; j < n; j++) {
sum = a[i*n+j];
for (k = i - 1; k >= 0; k--) {
sum -= a[i*n+k] * a[j*n+k];
}
if (i == j) {
if (sum <= 0) {
return 1; /* error */
}
p[i] = sqrt(sum);
}
else {
a[j*n+i] = sum / p[i];
}
}
}
return 0; /* success */
}
// https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
static uint8_t choldcsl(double * A, double * a, double * p, uint8_t n)
{
uint8_t i,j,k; double sum;
for (i = 0; i < n; i++)
for (j = 0; j < n; j++)
a[i*n+j] = A[i*n+j];
if (choldc1(a, p, n)) return 1;
for (i = 0; i < n; i++) {
a[i*n+i] = 1 / p[i];
for (j = i + 1; j < n; j++) {
sum = 0;
for (k = i; k < j; k++) {
sum -= a[j*n+k] * a[k*n+i];
}
a[j*n+i] = sum / p[j];
}
}
return 0; /* success */
}
// https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
static uint8_t cholsl(double * A,double * a,double * p, uint8_t n)
{
uint8_t i,j,k;
if (choldcsl(A,a,p,n)) return 1;
for (i = 0; i < n; i++) {
for (j = i + 1; j < n; j++) {
a[i*n+j] = 0.0;
}
}
for (i = 0; i < n; i++) {
a[i*n+i] *= a[i*n+i];
for (k = i + 1; k < n; k++) {
a[i*n+i] += a[k*n+i] * a[k*n+i];
}
for (j = i + 1; j < n; j++) {
for (k = j; k < n; k++) {
a[i*n+j] += a[k*n+i] * a[k*n+j];
}
}
}
for (i = 0; i < n; i++) {
for (j = 0; j < i; j++) {
a[i*n+j] = a[j*n+i];
}
}
return 0; /* success */
}
};
#endif /* CONTRIB_MATH_CHOLESKYDECOMPOSITION_H_ */