tiny_ekf_struct.h

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/*
 * tiny_ekf_struct.h: common data structure for TinyEKF
 *
 * You should #include this file after using #define for N (states) and M
*  (observations)
 *
 * Copyright (C) 2016 Simon D. Levy
 *
 * MIT License
 */
 
typedef struct {
 
    int n;          /* number of state values */
    int m;          /* number of observables */
 
    double x[Nsta];    /* state vector */
 
    double P[Nsta][Nsta];  /* prediction error covariance */
    double Q[Nsta][Nsta];  /* process noise covariance */
    double R[Mobs][Mobs];  /* measurement error covariance */
 
    double G[Nsta][Mobs];  /* Kalman gain; a.k.a. K */
 
    double F[Nsta][Nsta];  /* Jacobian of process model */
    double H[Mobs][Nsta];  /* Jacobian of measurement model */
 
    double Ht[Nsta][Mobs]; /* transpose of measurement Jacobian */
    double Ft[Nsta][Nsta]; /* transpose of process Jacobian */
    double Pp[Nsta][Nsta]; /* P, post-prediction, pre-update */
 
    double fx[Nsta];   /* output of user defined f() state-transition function */
    double hx[Mobs];   /* output of user defined h() measurement function */
 
    /* temporary storage */
    double tmp0[Nsta][Nsta];
    double tmp1[Nsta][Mobs];
    double tmp2[Mobs][Nsta];
    double tmp3[Mobs][Mobs];
    double tmp4[Mobs][Mobs];
    double tmp5[Mobs];
 
} ekf_t;