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I have written a C script to implement the inverse Vincenty's formula to calculate the distance between two sets of GPS coordinates based on the equations shown at https://en.wikipedia.org/wiki/Vincenty%27s_formulae
However, my results are different to the results given by this online calculator https://www.cqsrg.org/tools/GCDistance/ and Google maps. My results are consistently around 1.18 times the result of the online calculator.
My function is below, any tips on where I could be going wrong would be very much appreciated!
double get_distance(double lat1, double lon1, double lat2, double lon2)
{
double rad_eq = 6378137.0; //Radius at equator
double flattening = 1 / 298.257223563; //flattenig of earth
double rad_pol = (1 - flattening) * rad_eq; //Radius at poles
double U1,U2,L,lambda,old_lambda,sigma,sin_sig,cos_sig,alpha,cos2sigmam,A,B,C,u_sq,delta_s,dis;
//Convert to radians
lat1=M_PI*lat1/180.0;
lat2=M_PI*lat2/180.0;
lon1=M_PI*lon1/180.0;
lon2=M_PI*lon2/180.0;
//Calculate U1 and U2
U1=atan((1-flattening)*tan(lat1));
U2=atan((1-flattening)*tan(lat2));
L=lon2-lon1;
lambda=L;
double tolerance=pow(10.,-12.);//iteration tollerance should give 0.6mm
double diff=1.;
while (abs(diff)>tolerance)
{
sin_sig=sqrt(pow(cos(U2)*sin(lambda),2.)+pow(cos(U1)*sin(U2)-(sin(U1)*cos(U2)*cos(lambda)),2.));
cos_sig=sin(U1)*cos(U2)+cos(U1)*cos(U2)*cos(lambda);
sigma=atan(sin_sig/cos_sig);
alpha=asin((cos(U1)*cos(U2)*sin(lambda))/(sin_sig));
cos2sigmam=cos(sigma)-(2*sin(U1)*sin(U2))/((pow(cos(alpha),2.)));
C=(flattening/16)*pow(cos(alpha),2.)*(4+(flattening*(4-(3*pow(cos(alpha),2.)))));
old_lambda=lambda;
lambda=L+(1-C)*flattening*sin(alpha)*(sigma+C*sin_sig*(cos2sigmam+C*cos_sig*(-1+2*pow(cos2sigmam,2.))));
diff=abs(old_lambda-lambda);
}
u_sq=pow(cos(alpha),2.)*((pow(rad_eq,2.)-pow(rad_pol,2.))/(pow(rad_pol,2.)));
A=1+(u_sq/16384)*(4096+(u_sq*(-768+(u_sq*(320-(175*u_sq))))));
B=(u_sq/1024)*(256+(u_sq*(-128+(u_sq*(74-(47*u_sq))))));
delta_s=B*sin_sig*(cos2sigmam+(B/4)*(cos_sig*(-1+(2*pow(cos2sigmam,2.)))-(B/6)*cos2sigmam*(-3+(4*pow(sin_sig,2.)))*(-3+(4*pow(cos2sigmam,2.)))));
dis=rad_pol*A*(sigma-delta_s);
//Returns distance in metres
return dis;
}
This formula is not symmetric:
cos_sig = sin(U1)*cos(U2)
+ cos(U1)*cos(U2) * cos(lambda);
And turns out to be wrong, a sin is missing.
Another style of formatting (one including some whitespace) could also help.
Besides the fabs for abs and one sin for that cos I also changed the loop; there were two abs()-calls and diff had to be preset with the while-loop.
I inserted a printf to see how the value progresses.
Some parentheses can be left out. These formulas are really difficult to realize. Some more helper variables could be useful in this jungle of nested math operations.
do {
sin_sig = sqrt(pow( cos(U2) * sin(lambda), 2)
+ pow(cos(U1)*sin(U2)
- (sin(U1)*cos(U2) * cos(lambda))
, 2)
);
cos_sig = sin(U1) * sin(U2)
+ cos(U1) * cos(U2) * cos(lambda);
sigma = atan2(sin_sig, cos_sig);
alpha = asin(cos(U1) * cos(U2) * sin(lambda)
/ sin_sig
);
double cos2alpha = cos(alpha)*cos(alpha); // helper var.
cos2sigmam = cos(sigma) - 2*sin(U1)*sin(U2) / cos2alpha;
C = (flat/16) * cos2alpha * (4 + flat * (4 - 3*cos2alpha));
old_lambda = lambda;
lambda = L + (1-C) * flat * sin(alpha)
*(sigma + C*sin_sig
*(cos2sigmam + C*cos_sig
*(2 * pow(cos2sigmam, 2) - 1)
)
);
diff = fabs(old_lambda - lambda);
printf("%.12f\n", diff);
} while (diff > tolerance);
For 80,80, 0,0 the output is (in km):
0.000885870048
0.000000221352
0.000000000055
0.000000000000
9809.479224
which corresponds to the millimeter with WGS-84.
I am trying to implement the Haversine Formula in a little GPS program I'm writing. The distance calculations appear to be spot-on. However, I believe the bearing is being computed in radians, and I don't know how to properly convert the result to compass directions (0 for North, 90 for East, etc).
Any help would be greatly appreciated, all this talk of cosigns and arctangents is giving me a major headache! I'm a coder, not a mathematician!
#include <stdio.h>
#include <stdlib.h>
#include <math.h>
void FindDistance (double latHome, double lonHome, double latDest, double lonDest)
{
double pi=3.141592653589793;
int R=6371; //Radius of the Earth in kilometers
//Keep the parameters passed to the function immutable
double latHomeTmp=(pi/180)*(latHome);
double latDestTmp=(pi/180)*(latDest);
double differenceLon= (pi/180)*(lonDest- lonHome);
double differenceLat=(pi/180)*(latDest- latHome);
double a= sin (differenceLat/2.)*sin (differenceLat/2.)+cos (latHomeTmp)*cos (latDestTmp)*sin (differenceLon/2.)*sin (differenceLon/2.);
double c=2*atan2 (sqrt (a), sqrt (1-a));
double Distance=R*c;
printf ("Distance is %f\n", Distance);
double RadBearing=atan2 (sin (differenceLon)*cos (latDestTmp), cos (latHomeTmp)*sin (latDestTmp)-sin (latHomeTmp)*cos (latDestTmp)*cos (differenceLon));
double DegBearing=RadBearing*57.2958;
if (DegBearing<0) DegBearing=360+DegBearing;
printf ("Bearing is %f\n", DegBearing);
} //Function FindDistance
int main (void) {
puts ("LA to NY");
FindDistance (34.052235, -118.243683, 40.748817, -73.985428);
puts ("NY to LA");
FindDistance (40.748817, -73.985428, 34.052235, -118.243683);
} //Function main
gcc -o gps -lm gps.c
It returns a bearing of 65 from LA to NY, and a bearing of 273 from NY to LA.
If we add the bearings together, we get 338 which can't be right - shouldn't it equal 360?
Or am I completely out to lunch?
Anyway, as you can see, I always compute both distance and bearing at the same time. If you could also suggest a way to clean up the code so it doesn't perform unnecessary calculations, that would be so very outstanding! I'm running this on a small microprocessor where I like to make every cycle count!
Not a problem.
Consider 2 locations at the same latitude, yet differ in longitude. One is not due east (90) of the other when going in the shorting great circle route. Nor is the first due (west 270). The bearings are not necessarily complementary.
FindDistance(34.0, -118.0, 34.0, -73.0);
FindDistance(34.0, -73.0, 34.0, -118.0);
Distance is 4113.598081
Bearing is 76.958824
Distance is 4113.598081
Bearing is 283.041176
#user3386109 adds more good information.
Per the site suggest by #M Oehm your code is about correct.
Per OP request, some mods that may have slight speed improvement.
void FindDistance(double latHome, double lonHome, double latDest,
double lonDest) {
// A few extra digits sometimes is worth it - rare is adding more digits a problem
// double pi=3.141592653589793;
static const double pi_d180 = 3.1415926535897932384626433832795 / 180;
static const double d180_pi = 180 / 3.1415926535897932384626433832795;
// int R=6371; //Radius of the Earth in kilometers
// (Compiler may do this all ready)
static const double R = 6371.0; // better to make FP to avoid the need to convert
//Keep the parameters passed to the function immutable
double latHomeTmp = pi_d180 * (latHome);
double latDestTmp = pi_d180 * (latDest);
double differenceLon = pi_d180 * (lonDest - lonHome);
double differenceLat = pi_d180 * (latDest - latHome);
double a = sin(differenceLat / 2.) * sin(differenceLat / 2.)
+ cos(latHomeTmp) * cos(latDestTmp) * sin(differenceLon / 2.)
* sin(differenceLon / 2.);
double c = 2 * atan2(sqrt(a), sqrt(1 - a));
double Distance = R * c;
printf("Distance is %f\n", Distance);
double RadBearing = atan2(sin(differenceLon) * cos(latDestTmp),
cos(latHomeTmp) * sin(latDestTmp)
- sin(latHomeTmp) * cos(latDestTmp) * cos(differenceLon));
// double DegBearing = RadBearing * 57.2958;
double DegBearing = RadBearing * d180_pi;
// Why is this even needed?
if (DegBearing < 0) DegBearing = 360 + DegBearing;
printf("Bearing is %f\n", DegBearing);
} //Function FindDistance
I have recently implemented a library of CORDIC functions to reduce the required computational power (my project is based on a PowerPC and is extremely strict in its execution time specifications). The language is ANSI-C.
The other functions (sin/cos/atan) work within accuracy limits both in 32 and in 64 bit implementations.
Unfortunately, the asin() function fails systematically for certain inputs.
For testing purposes I have implemented an .h file to be used in a simulink S-Function. (This is only for my convenience, you can compile the following as a standalone .exe with minimal changes)
Note: I have forced 32 iterations because I am working in 32 bit precision and the maximum possible accuracy is required.
Cordic.h:
#include <stdio.h>
#include <stdlib.h>
#define FLOAT32 float
#define INT32 signed long int
#define BIT_XOR ^
#define CORDIC_1K_32 0x26DD3B6A
#define MUL_32 1073741824.0F /*needed to scale float -> int*/
#define INV_MUL_32 9.313225746E-10F /*needed to scale int -> float*/
INT32 CORDIC_CTAB_32 [] = {0x3243f6a8, 0x1dac6705, 0x0fadbafc, 0x07f56ea6, 0x03feab76, 0x01ffd55b, 0x00fffaaa, 0x007fff55,
0x003fffea, 0x001ffffd, 0x000fffff, 0x0007ffff, 0x0003ffff, 0x0001ffff, 0x0000ffff, 0x00007fff,
0x00003fff, 0x00001fff, 0x00000fff, 0x000007ff, 0x000003ff, 0x000001ff, 0x000000ff, 0x0000007f,
0x0000003f, 0x0000001f, 0x0000000f, 0x00000008, 0x00000004, 0x00000002, 0x00000001, 0x00000000};
/* CORDIC Arcsine Core: vectoring mode */
INT32 CORDIC_asin(INT32 arc_in)
{
INT32 k;
INT32 d;
INT32 tx;
INT32 ty;
INT32 x;
INT32 y;
INT32 z;
x=CORDIC_1K_32;
y=0;
z=0;
for (k=0; k<32; ++k)
{
d = (arc_in - y)>>(31);
tx = x - (((y>>k) BIT_XOR d) - d);
ty = y + (((x>>k) BIT_XOR d) - d);
z += ((CORDIC_CTAB_32[k] BIT_XOR d) - d);
x = tx;
y = ty;
}
return z;
}
/* Wrapper function for scaling in-out of cordic core*/
FLOAT32 asin_wrap(FLOAT32 arc)
{
return ((FLOAT32)(CORDIC_asin((INT32)(arc*MUL_32))*INV_MUL_32));
}
This can be called in a manner similar to:
#include "Cordic.h"
#include "math.h"
void main()
{
y1 = asin_wrap(value_32); /*my implementation*/
y2 = asinf(value_32); /*standard math.h for comparison*/
}
The results are as shown:
Top left shows the [-1;1] input over 2000 steps (0.001 increments), bottom left the output of my function, bottom right the standard output and top right the difference of the two outputs.
It is immediate to see that the error is not within 32 bit accuracy.
I have analysed the steps performed (and the intermediate results) by my code and it seems to me that at a certain point the value of y is "close enough" to the initial value of arc_in and what could be related to a bit-shift causes the solution to diverge.
My questions:
I am at a loss, is this error inherent in the CORDIC implementation or have I made a mistake in the implementation? I was expecting the decrease of accuracy near the extremes, but those spikes in the middle are quite unexpected. (the most notable ones are just beyond +/- 0.6, but even removed these there are more at smaller values, albeit not as pronounced)
If it is something part of the CORDIC implementation, are there known workarounds?
EDIT:
Since some comment mention it, yes, I tested the definition of INT32, even writing
#define INT32 int32_T
does not change the results by the slightest amount.
The computation time on the target hardware has been measured by hundreds of repetitions of block of 10.000 iterations of the function with random input in the validity range. The observed mean results (for one call of the function) are as follows:
math.h asinf() 100.00 microseconds
CORDIC asin() 5.15 microseconds
(apparently the previous test had been faulty, a new cross-test has obtained no better than an average of 100 microseconds across the validity range)
I apparently found a better implementation. It can be downloaded in matlab version here and in C here. I will analyse more its inner workings and report later.
To review a few things mentioned in the comments:
The given code outputs values identical to another CORDIC implementation. This includes the stated inaccuracies.
The largest error is as you approach arcsin(1).
The second largest error is that the values of arcsin(0.60726) to arcsin(0.68514) all return 0.754805.
There are some vague references to inaccuracies in the CORDIC method for some functions including arcsin. The given solution is to perform "double-iterations" although I have been unable to get this to work (all values give a large amount of error).
The alternate CORDIC implemention has a comment /* |a| < 0.98 */ in the arcsin() implementation which would seem to reinforce that there is known inaccuracies close to 1.
As a rough comparison of a few different methods consider the following results (all tests performed on a desktop, Windows7 computer using MSVC++ 2010, benchmarks timed using 10M iterations over the arcsin() range 0-1):
Question CORDIC Code: 1050 ms, 0.008 avg error, 0.173 max error
Alternate CORDIC Code (ref): 2600 ms, 0.008 avg error, 0.173 max error
atan() CORDIC Code: 2900 ms, 0.21 avg error, 0.28 max error
CORDIC Using Double-Iterations: 4700 ms, 0.26 avg error, 0.917 max error (???)
Math Built-in asin(): 200 ms, 0 avg error, 0 max error
Rational Approximation (ref): 250 ms, 0.21 avg error, 0.26 max error
Linear Table Lookup (see below) 100 ms, 0.000001 avg error, 0.00003 max error
Taylor Series (7th power, ref): 300 ms, 0.01 avg error, 0.16 max error
These results are on a desktop so how relevant they would be for an embedded system is a good question. If in doubt, profiling/benchmarking on the relevant system would be advised. Most solutions tested don't have very good accuracy over the range (0-1) and all but one are actually slower than the built-in asin() function.
The linear table lookup code is posted below and is my usual method for any expensive mathematical function when speed is desired over accuracy. It simply uses a 1024 element table with linear interpolation. It seems to be both the fastest and most accurate of all methods tested, although the built-in asin() is not much slower really (test it!). It can easily be adjusted for more or less accuracy by changing the size of the table.
// Please test this code before using in anything important!
const size_t ASIN_TABLE_SIZE = 1024;
double asin_table[ASIN_TABLE_SIZE];
int init_asin_table (void)
{
for (size_t i = 0; i < ASIN_TABLE_SIZE; ++i)
{
float f = (float) i / ASIN_TABLE_SIZE;
asin_table[i] = asin(f);
}
return 0;
}
double asin_table (double a)
{
static int s_Init = init_asin_table(); // Call automatically the first time or call it manually
double sign = 1.0;
if (a < 0)
{
a = -a;
sign = -1.0;
}
if (a > 1) return 0;
double fi = a * ASIN_TABLE_SIZE;
double decimal = fi - (int)fi;
size_t i = fi;
if (i >= ASIN_TABLE_SIZE-1) return Sign * 3.14159265359/2;
return Sign * ((1.0 - decimal)*asin_table[i] + decimal*asin_table[i+1]);
}
The "single rotate" arcsine goes badly wrong when the argument is just greater than the initial value of 'x', where that is the magical scaling factor -- 1/An ~= 0.607252935 ~= 0x26DD3B6A.
This is because, for all arguments > 0, the first step always has y = 0 < arg, so d = +1, which sets y = 1/An, and leaves x = 1/An. Looking at the second step:
if arg <= 1/An, then d = -1, and the steps which follow converge to a good answer
if arg > 1/An, then d = +1, and this step moves further away from the right answer, and for a range of values a little bigger than 1/An, the subsequent steps all have d = -1, but are unable to correct the result :-(
I found:
arg = 0.607 (ie 0x26D91687), relative error 7.139E-09 -- OK
arg = 0.608 (ie 0x26E978D5), relative error 1.550E-01 -- APALLING !!
arg = 0.685 (ie 0x2BD70A3D), relative error 2.667E-04 -- BAD !!
arg = 0.686 (ie 0x2BE76C8B), relative error 1.232E-09 -- OK, again
The descriptions of the method warn about abs(arg) >= 0.98 (or so), and I found that somewhere after 0.986 the process fails to converge and the relative error jumps to ~5E-02 and hits 1E-01 (!!) at arg=1 :-(
As you did, I also found that for 0.303 < arg < 0.313 the relative error jumps to ~3E-02, and reduces slowly until things return to normal. (In this case step 2 overshoots so far that the remaining steps cannot correct it.)
So... the single rotate CORDIC for arcsine looks rubbish to me :-(
Added later... when I looked even closer at the single rotate CORDIC, I found many more small regions where the relative error is BAD...
...so I would not touch this as a method at all... it's not just rubbish, it's useless.
BTW: I thoroughly recommend "Software Manual for the Elementary Functions", William Cody and William Waite, Prentice-Hall, 1980. The methods for calculating the functions are not so interesting any more (but there is a thorough, practical discussion of the relevant range-reductions required). However, for each function they give a good test procedure.
The additional source I linked at the end of the question apparently contains the solution.
The proposed code can be reduced to the following:
#define M_PI_2_32 1.57079632F
#define SQRT2_2 7.071067811865476e-001F /* sin(45°) = cos(45°) = sqrt(2)/2 */
FLOAT32 angles[] = {
7.8539816339744830962E-01F, 4.6364760900080611621E-01F, 2.4497866312686415417E-01F, 1.2435499454676143503E-01F,
6.2418809995957348474E-02F, 3.1239833430268276254E-02F, 1.5623728620476830803E-02F, 7.8123410601011112965E-03F,
3.9062301319669718276E-03F, 1.9531225164788186851E-03F, 9.7656218955931943040E-04F, 4.8828121119489827547E-04F,
2.4414062014936176402E-04F, 1.2207031189367020424E-04F, 6.1035156174208775022E-05F, 3.0517578115526096862E-05F,
1.5258789061315762107E-05F, 7.6293945311019702634E-06F, 3.8146972656064962829E-06F, 1.9073486328101870354E-06F,
9.5367431640596087942E-07F, 4.7683715820308885993E-07F, 2.3841857910155798249E-07F, 1.1920928955078068531E-07F,
5.9604644775390554414E-08F, 2.9802322387695303677E-08F, 1.4901161193847655147E-08F, 7.4505805969238279871E-09F,
3.7252902984619140453E-09F, 1.8626451492309570291E-09F, 9.3132257461547851536E-10F, 4.6566128730773925778E-10F};
FLOAT32 arcsin_cordic(FLOAT32 t)
{
INT32 i;
INT32 j;
INT32 flip;
FLOAT32 poweroftwo;
FLOAT32 sigma;
FLOAT32 sign_or;
FLOAT32 theta;
FLOAT32 x1;
FLOAT32 x2;
FLOAT32 y1;
FLOAT32 y2;
flip = 0;
theta = 0.0F;
x1 = 1.0F;
y1 = 0.0F;
poweroftwo = 1.0F;
/* If the angle is small, use the small angle approximation */
if ((t >= -0.002F) && (t <= 0.002F))
{
return t;
}
if (t >= 0.0F)
{
sign_or = 1.0F;
}
else
{
sign_or = -1.0F;
}
/* The inv_sqrt() is the famous Fast Inverse Square Root from the Quake 3 engine
here used with 3 (!!) Newton iterations */
if ((t >= SQRT2_2) || (t <= -SQRT2_2))
{
t = 1.0F/inv_sqrt(1-t*t);
flip = 1;
}
if (t>=0.0F)
{
sign_or = 1.0F;
}
else
{
sign_or = -1.0F;
}
for ( j = 0; j < 32; j++ )
{
if (y1 > t)
{
sigma = -1.0F;
}
else
{
sigma = 1.0F;
}
/* Here a double iteration is done */
x2 = x1 - (sigma * poweroftwo * y1);
y2 = (sigma * poweroftwo * x1) + y1;
x1 = x2 - (sigma * poweroftwo * y2);
y1 = (sigma * poweroftwo * x2) + y2;
theta += 2.0F * sigma * angles[j];
t *= (1.0F + poweroftwo * poweroftwo);
poweroftwo *= 0.5F;
}
/* Remove bias */
theta -= sign_or*4.85E-8F;
if (flip)
{
theta = sign_or*(M_PI_2_32-theta);
}
return theta;
}
The following is to be noted:
It is a "Double-Iteration" CORDIC implementation.
The angles table thus differs in construction from the old table.
And the computation is done in floating point notation, this will cause a major increase in computation time on the target hardware.
A small bias is present in the output, removed via the theta -= sign_or*4.85E-8F; passage.
The following picture shows the absolute (left) and relative errors (right) of the old implementation (top) vs the implementation contained in this answer (bottom).
The relative error is obtained only by dividing the CORDIC output with the output of the built-in math.h implementation. It is plotted around 1 and not 0 for this reason.
The peak relative error (when not dividing by zero) is 1.0728836e-006.
The average relative error is 2.0253509e-007 (almost in accordance to 32 bit accuracy).
For convergence of iterative process it is necessary that any "wrong" i-th
iteration could be "corrected" in the subsequent (i+1)-th, (i+2)-th, (i+3)-th,
etc. etc. iterations. Or, in other words, at least a half of the "wrong"
i-th iteration could be corrected in the next (i+1)-th iteration.
For atan(1/2^i) this condition is satisfied, i.e.:
atan(1/2^(i+1)) > 1/2*atan(1/2^i)
Read more at
http://cordic-bibliography.blogspot.com/p/double-iterations-in-cordic.html
and:
http://baykov.de/CORDIC1972.htm
(note I'm the author of those pages)
I'm writing a C program for a PIC micro-controller which needs to do a very specific exponential function. I need to calculate the following:
A = k . (1 - (p/p0)^0.19029)
k and p0 are constant, so it's all pretty simple apart from finding x^0.19029
(p/p0) ratio would always be in the range 0-1.
It works well if I add in math.h and use the power function, except that uses up all of the available 16 kB of program memory. Talk about bloatware! (Rest of program without power function = ~20% flash memory usage; add math.h and power function, =100%).
I'd like the program to do some other things as well. I was wondering if I can write a special case implementation for x^0.19029, maybe involving iteration and some kind of lookup table.
My idea is to generate a look-up table for the function x^0.19029, with perhaps 10-100 values of x in the range 0-1. The code would find a close match, then (somehow) iteratively refine it by re-scaling the lookup table values. However, this is where I get lost because my tiny brain can't visualise the maths involved.
Could this approach work?
Alternatively, I've looked at using Exp(x) and Ln(x), which can be implemented with a Taylor expansion. b^x can the be found with:
b^x = (e^(ln b))^x = e^(x.ln(b))
(See: Wikipedia - Powers via Logarithms)
This looks a bit tricky and complicated to me, though. Am I likely to get the implementation smaller then the compiler's math library, and can I simplify it for my special case (i.e. base = 0-1, exponent always 0.19029)?
Note that RAM usage is OK at the moment, but I've run low on Flash (used for code storage). Speed is not critical. Somebody has already suggested that I use a bigger micro with more flash memory, but that sounds like profligate wastefulness!
[EDIT] I was being lazy when I said "(p/p0) ratio would always be in the range 0-1". Actually it will never reach 0, and I did some calculations last night and decided that in fact a range of 0.3 - 1 would be quite adequate! This mean that some of the simpler solutions below should be suitable. Also, the "k" in the above is 44330, and I'd like the error in the final result to be less than 0.1. I guess that means an error in the (p/p0)^0.19029 needs to be less than 1/443300 or 2.256e-6
Use splines. The relevant part of the function is shown in the figure below. It varies approximately like the 5th root, so the problematic zone is close to p / p0 = 0. There is mathematical theory how to optimally place the knots of splines to minimize the error (see Carl de Boor: A Practical Guide to Splines). Usually one constructs the spline in B form ahead of time (using toolboxes such as Matlab's spline toolbox - also written by C. de Boor), then converts to Piecewise Polynomial representation for fast evaluation.
In C. de Boor, PGS, the function g(x) = sqrt(x + 1) is actually taken as an example (Chapter 12, Example II). This is exactly what you need here. The book comes back to this case a few times, since it is admittedly a hard problem for any interpolation scheme due to the infinite derivatives at x = -1. All software from PGS is available for free as PPPACK in netlib, and most of it is also part of SLATEC (also from netlib).
Edit (Removed)
(Multiplying by x once does not significantly help, since it only regularizes the first derivative, while all other derivatives at x = 0 are still infinite.)
Edit 2
My feeling is that optimally constructed splines (following de Boor) will be best (and fastest) for relatively low accuracy requirements. If the accuracy requirements are high (say 1e-8), one may be forced to get back to the algorithms that mathematicians have been researching for centuries. At this point, it may be best to simply download the sources of glibc and copy (provided GPL is acceptable) whatever is in
glibc-2.19/sysdeps/ieee754/dbl-64/e_pow.c
Since we don't have to include the whole math.h, there shouldn't be a problem with memory, but we will only marginally profit from having a fixed exponent.
Edit 3
Here is an adapted version of e_pow.c from netlib, as found by #Joni. This seems to be the grandfather of glibc's more modern implementation mentioned above. The old version has two advantages: (1) It is public domain, and (2) it uses a limited number of constants, which is beneficial if memory is a tight resource (glibc's version defines over 10000 lines of constants!). The following is completely standalone code, which calculates x^0.19029 for 0 <= x <= 1 to double precision (I tested it against Python's power function and found that at most 2 bits differed):
#define __LITTLE_ENDIAN
#ifdef __LITTLE_ENDIAN
#define __HI(x) *(1+(int*)&x)
#define __LO(x) *(int*)&x
#else
#define __HI(x) *(int*)&x
#define __LO(x) *(1+(int*)&x)
#endif
static const double
bp[] = {1.0, 1.5,},
dp_h[] = { 0.0, 5.84962487220764160156e-01,}, /* 0x3FE2B803, 0x40000000 */
dp_l[] = { 0.0, 1.35003920212974897128e-08,}, /* 0x3E4CFDEB, 0x43CFD006 */
zero = 0.0,
one = 1.0,
two = 2.0,
two53 = 9007199254740992.0, /* 0x43400000, 0x00000000 */
/* poly coefs for (3/2)*(log(x)-2s-2/3*s**3 */
L1 = 5.99999999999994648725e-01, /* 0x3FE33333, 0x33333303 */
L2 = 4.28571428578550184252e-01, /* 0x3FDB6DB6, 0xDB6FABFF */
L3 = 3.33333329818377432918e-01, /* 0x3FD55555, 0x518F264D */
L4 = 2.72728123808534006489e-01, /* 0x3FD17460, 0xA91D4101 */
L5 = 2.30660745775561754067e-01, /* 0x3FCD864A, 0x93C9DB65 */
L6 = 2.06975017800338417784e-01, /* 0x3FCA7E28, 0x4A454EEF */
P1 = 1.66666666666666019037e-01, /* 0x3FC55555, 0x5555553E */
P2 = -2.77777777770155933842e-03, /* 0xBF66C16C, 0x16BEBD93 */
P3 = 6.61375632143793436117e-05, /* 0x3F11566A, 0xAF25DE2C */
P4 = -1.65339022054652515390e-06, /* 0xBEBBBD41, 0xC5D26BF1 */
P5 = 4.13813679705723846039e-08, /* 0x3E663769, 0x72BEA4D0 */
lg2 = 6.93147180559945286227e-01, /* 0x3FE62E42, 0xFEFA39EF */
lg2_h = 6.93147182464599609375e-01, /* 0x3FE62E43, 0x00000000 */
lg2_l = -1.90465429995776804525e-09, /* 0xBE205C61, 0x0CA86C39 */
ovt = 8.0085662595372944372e-0017, /* -(1024-log2(ovfl+.5ulp)) */
cp = 9.61796693925975554329e-01, /* 0x3FEEC709, 0xDC3A03FD =2/(3ln2) */
cp_h = 9.61796700954437255859e-01, /* 0x3FEEC709, 0xE0000000 =(float)cp */
cp_l = -7.02846165095275826516e-09, /* 0xBE3E2FE0, 0x145B01F5 =tail of cp_h*/
ivln2 = 1.44269504088896338700e+00, /* 0x3FF71547, 0x652B82FE =1/ln2 */
ivln2_h = 1.44269502162933349609e+00, /* 0x3FF71547, 0x60000000 =24b 1/ln2*/
ivln2_l = 1.92596299112661746887e-08; /* 0x3E54AE0B, 0xF85DDF44 =1/ln2 tail*/
double pow0p19029(double x)
{
double y = 0.19029e+00;
double z,ax,z_h,z_l,p_h,p_l;
double y1,t1,t2,r,s,t,u,v,w;
int i,j,k,n;
int hx,hy,ix,iy;
unsigned lx,ly;
hx = __HI(x); lx = __LO(x);
hy = __HI(y); ly = __LO(y);
ix = hx&0x7fffffff; iy = hy&0x7fffffff;
ax = x;
/* special value of x */
if(lx==0) {
if(ix==0x7ff00000||ix==0||ix==0x3ff00000){
z = ax; /*x is +-0,+-inf,+-1*/
return z;
}
}
s = one; /* s (sign of result -ve**odd) = -1 else = 1 */
double ss,s2,s_h,s_l,t_h,t_l;
n = ((ix)>>20)-0x3ff;
j = ix&0x000fffff;
/* determine interval */
ix = j|0x3ff00000; /* normalize ix */
if(j<=0x3988E) k=0; /* |x|<sqrt(3/2) */
else if(j<0xBB67A) k=1; /* |x|<sqrt(3) */
else {k=0;n+=1;ix -= 0x00100000;}
__HI(ax) = ix;
/* compute ss = s_h+s_l = (x-1)/(x+1) or (x-1.5)/(x+1.5) */
u = ax-bp[k]; /* bp[0]=1.0, bp[1]=1.5 */
v = one/(ax+bp[k]);
ss = u*v;
s_h = ss;
__LO(s_h) = 0;
/* t_h=ax+bp[k] High */
t_h = zero;
__HI(t_h)=((ix>>1)|0x20000000)+0x00080000+(k<<18);
t_l = ax - (t_h-bp[k]);
s_l = v*((u-s_h*t_h)-s_h*t_l);
/* compute log(ax) */
s2 = ss*ss;
r = s2*s2*(L1+s2*(L2+s2*(L3+s2*(L4+s2*(L5+s2*L6)))));
r += s_l*(s_h+ss);
s2 = s_h*s_h;
t_h = 3.0+s2+r;
__LO(t_h) = 0;
t_l = r-((t_h-3.0)-s2);
/* u+v = ss*(1+...) */
u = s_h*t_h;
v = s_l*t_h+t_l*ss;
/* 2/(3log2)*(ss+...) */
p_h = u+v;
__LO(p_h) = 0;
p_l = v-(p_h-u);
z_h = cp_h*p_h; /* cp_h+cp_l = 2/(3*log2) */
z_l = cp_l*p_h+p_l*cp+dp_l[k];
/* log2(ax) = (ss+..)*2/(3*log2) = n + dp_h + z_h + z_l */
t = (double)n;
t1 = (((z_h+z_l)+dp_h[k])+t);
__LO(t1) = 0;
t2 = z_l-(((t1-t)-dp_h[k])-z_h);
/* split up y into y1+y2 and compute (y1+y2)*(t1+t2) */
y1 = y;
__LO(y1) = 0;
p_l = (y-y1)*t1+y*t2;
p_h = y1*t1;
z = p_l+p_h;
j = __HI(z);
i = __LO(z);
/*
* compute 2**(p_h+p_l)
*/
i = j&0x7fffffff;
k = (i>>20)-0x3ff;
n = 0;
if(i>0x3fe00000) { /* if |z| > 0.5, set n = [z+0.5] */
n = j+(0x00100000>>(k+1));
k = ((n&0x7fffffff)>>20)-0x3ff; /* new k for n */
t = zero;
__HI(t) = (n&~(0x000fffff>>k));
n = ((n&0x000fffff)|0x00100000)>>(20-k);
if(j<0) n = -n;
p_h -= t;
}
t = p_l+p_h;
__LO(t) = 0;
u = t*lg2_h;
v = (p_l-(t-p_h))*lg2+t*lg2_l;
z = u+v;
w = v-(z-u);
t = z*z;
t1 = z - t*(P1+t*(P2+t*(P3+t*(P4+t*P5))));
r = (z*t1)/(t1-two)-(w+z*w);
z = one-(r-z);
__HI(z) += (n<<20);
return s*z;
}
Clearly, 50+ years of research have gone into this, so it's probably very hard to do any better. (One has to appreciate that there are 0 loops, only 2 divisions, and only 6 if statements in the whole algorithm!) The reason for this is, again, the behavior at x = 0, where all derivatives diverge, which makes it extremely hard to keep the error under control: I once had a spline representation with 18 knots that was good up to x = 1e-4, with absolute and relative errors < 5e-4 everywhere, but going to x = 1e-5 ruined everything again.
So, unless the requirement to go arbitrarily close to zero is relaxed, I recommend using the adapted version of e_pow.c given above.
Edit 4
Now that we know that the domain 0.3 <= x <= 1 is sufficient, and that we have very low accuracy requirements, Edit 3 is clearly overkill. As #MvG has demonstrated, the function is so well behaved that a polynomial of degree 7 is sufficient to satisfy the accuracy requirements, which can be considered a single spline segment. #MvG's solution minimizes the integral error, which already looks very good.
The question arises as to how much better we can still do? It would be interesting to find the polynomial of a given degree that minimizes the maximum error in the interval of interest. The answer is the minimax
polynomial, which can be found using Remez' algorithm, which is implemented in the Boost library. I like #MvG's idea to clamp the value at x = 1 to 1, which I will do as well. Here is minimax.cpp:
#include <ostream>
#define TARG_PREC 64
#define WORK_PREC (TARG_PREC*2)
#include <boost/multiprecision/cpp_dec_float.hpp>
typedef boost::multiprecision::number<boost::multiprecision::cpp_dec_float<WORK_PREC> > dtype;
using boost::math::pow;
#include <boost/math/tools/remez.hpp>
boost::shared_ptr<boost::math::tools::remez_minimax<dtype> > p_remez;
dtype f(const dtype& x) {
static const dtype one(1), y(0.19029);
return one - pow(one - x, y);
}
void out(const char *descr, const dtype& x, const char *sep="") {
std::cout << descr << boost::math::tools::real_cast<double>(x) << sep << std::endl;
}
int main() {
dtype a(0), b(0.7); // range to optimise over
bool rel_error(false), pin(true);
int orderN(7), orderD(0), skew(0), brake(50);
int prec = 2 + (TARG_PREC * 3010LL)/10000;
std::cout << std::scientific << std::setprecision(prec);
p_remez.reset(new boost::math::tools::remez_minimax<dtype>(
&f, orderN, orderD, a, b, pin, rel_error, skew, WORK_PREC));
out("Max error in interpolated form: ", p_remez->max_error());
p_remez->set_brake(brake);
unsigned i, count(50);
for (i = 0; i < count; ++i) {
std::cout << "Stepping..." << std::endl;
dtype r = p_remez->iterate();
out("Maximum Deviation Found: ", p_remez->max_error());
out("Expected Error Term: ", p_remez->error_term());
out("Maximum Relative Change in Control Points: ", r);
}
boost::math::tools::polynomial<dtype> n = p_remez->numerator();
for(i = n.size(); i--; ) {
out("", n[i], ",");
}
}
Since all parts of boost that we use are header-only, simply build with:
c++ -O3 -I<path/to/boost/headers> minimax.cpp -o minimax
We finally get the coefficients, which are after multiplication by 44330:
24538.3409, -42811.1497, 34300.7501, -11284.1276, 4564.5847, 3186.7541, 8442.5236, 0.
The following error plot demonstrates that this is really the best possible degree-7 polynomial approximation, since all extrema are of equal magnitude (0.06659):
Should the requirements ever change (while still keeping well away from 0!), the C++ program above can be simply adapted to spit out the new optimal polynomial approximation.
Instead of a lookup table, I'd use a polynomial approximation:
1 - x0.19029 ≈ - 1073365.91783x15 + 8354695.40833x14 - 29422576.6529x13 + 61993794.537x12 - 87079891.4988x11 + 86005723.842x10 - 61389954.7459x9 + 32053170.1149x8 - 12253383.4372x7 + 3399819.97536x6 - 672003.142815x5 + 91817.6782072x4 - 8299.75873768x3 + 469.530204564x2 - 16.6572179869x + 0.722044145701
Or in code:
double f(double x) {
double fx;
fx = - 1073365.91783;
fx = fx*x + 8354695.40833;
fx = fx*x - 29422576.6529;
fx = fx*x + 61993794.537;
fx = fx*x - 87079891.4988;
fx = fx*x + 86005723.842;
fx = fx*x - 61389954.7459;
fx = fx*x + 32053170.1149;
fx = fx*x - 12253383.4372;
fx = fx*x + 3399819.97536;
fx = fx*x - 672003.142815;
fx = fx*x + 91817.6782072;
fx = fx*x - 8299.75873768;
fx = fx*x + 469.530204564;
fx = fx*x - 16.6572179869;
fx = fx*x + 0.722044145701;
return fx;
}
I computed this in sage using the least squares approach:
f(x) = 1-x^(19029/100000) # your function
d = 16 # number of terms, i.e. degree + 1
A = matrix(d, d, lambda r, c: integrate(x^r*x^c, (x, 0, 1)))
b = vector([integrate(x^r*f(x), (x, 0, 1)) for r in range(d)])
A.solve_right(b).change_ring(RDF)
Here is a plot of the error this will entail:
Blue is the error from my 16 term polynomial, while red is the error you'd get from piecewise linear interpolation with 16 equidistant values. As you can see, both errors are quite small for most parts of the range, but will become really huge close to x=0. I actually clipped the plot there. If you can somehow narrow the range of possible values, you could use that as the domain for the integration, and obtain an even better fit for the relevant range. At the cost of worse fit outside, of course. You could also increase the number of terms to obtain a closer fit, although that might also lead to higher oscillations.
I guess you can also combine this approach with the one Stefan posted: use his to split the domain into several parts, then use mine to find a close low degree polynomial for each part.
Update
Since you updated the specification of your question, with regard to both the domain and the error, here is a minimal solution to fit those requirements:
44330(1 - x0.19029) ≈ + 23024.9160933(1-x)7 - 39408.6473636(1-x)6 + 31379.9086193(1-x)5 - 10098.7031260(1-x)4 + 4339.44098317(1-x)3 + 3202.85705860(1-x)2 + 8442.42528906(1-x)
double f(double x) {
double fx, x1 = 1. - x;
fx = + 23024.9160933;
fx = fx*x1 - 39408.6473636;
fx = fx*x1 + 31379.9086193;
fx = fx*x1 - 10098.7031260;
fx = fx*x1 + 4339.44098317;
fx = fx*x1 + 3202.85705860;
fx = fx*x1 + 8442.42528906;
fx = fx*x1;
return fx;
}
I integrated x from 0.293 to 1 or equivalently 1 - x from 0 to 0.707 to keep the worst oscillations outside the relevant domain. I also omitted the constant term, to ensure an exact result at x=1. The maximal error for the range [0.3, 1] now occurs at x=0.3260 and amounts to 0.0972 < 0.1. Here is an error plot, which of course has bigger absolute errors than the one above due to the scale factor k=44330 which has been included here.
I can also state that the first three derivatives of the function will have constant sign over the range in question, so the function is monotonic, convex, and in general pretty well-behaved.
Not meant to answer the question, but it illustrates the Road Not To Go, and thus may be helpful:
This quick-and-dirty C code calculates pow(i, 0.19029) for 0.000 to 1.000 in steps of 0.01. The first half displays the error, in percents, when stored as 1/65536ths (as that theoretically provides slightly over 4 decimals of precision). The second half shows both interpolated and calculated values in steps of 0.001, and the difference between these two.
It kind of looks okay if you read from the bottom up, all 100s and 99.99s there, but about the first 20 values from 0.001 to 0.020 are worthless.
#include <stdio.h>
#include <math.h>
float powers[102];
int main (void)
{
int i, as_int;
double as_real, low, high, delta, approx, calcd, diff;
printf ("calculating and storing:\n");
for (i=0; i<=101; i++)
{
as_real = pow(i/100.0, 0.19029);
as_int = (int)round(65536*as_real);
powers[i] = as_real;
diff = 100*as_real/(as_int/65536.0);
printf ("%.5f %.5f %.5f ~ %.3f\n", i/100.0, as_real, as_int/65536.0, diff);
}
printf ("\n");
printf ("-- interpolating in 1/10ths:\n");
for (i=0; i<1000; i++)
{
as_real = i/1000.0;
low = powers[i/10];
high = powers[1+i/10];
delta = (high-low)/10.0;
approx = low + (i%10)*delta;
calcd = pow(as_real, 0.19029);
diff = 100.0*approx/calcd;
printf ("%.5f ~ %.5f = %.5f +/- %.5f%%\n", as_real, approx, calcd, diff);
}
return 0;
}
You can find a complete, correct standalone implementation of pow in fdlibm. It's about 200 lines of code, about half of which deal with special cases. If you remove the code that deals with special cases you're not interested in I doubt you'll have problems including it in your program.
LutzL's answer is a really good one: Calculate your power as (x^1.52232)^(1/8), computing the inner power by spline interpolation or another method. The eighth root deals with the pathological non-differentiable behavior near zero. I took the liberty of mocking up an implementation this way. The below, however, only does a linear interpolation to do x^1.52232, and you'd need to get the full coefficients using your favorite numerical mathematics tools. You'll adding scarcely 40 lines of code to get your needed power, plus however many knots you choose to use for your spline, as dicated by your required accuracy.
Don't be scared by the #include <math.h>; it's just for benchmarking the code.
#include <stdio.h>
#include <math.h>
double my_sqrt(double x) {
/* Newton's method for a square root. */
int i = 0;
double res = 1.0;
if (x > 0) {
for (i = 0; i < 10; i++) {
res = 0.5 * (res + x / res);
}
} else {
res = 0.0;
}
return res;
}
double my_152232(double x) {
/* Cubic spline interpolation for x ** 1.52232. */
int i = 0;
double res = 0.0;
/* coefs[i] will give the cubic polynomial coefficients between x =
i and x = i+1. Out of laziness, the below numbers give only a
linear interpolation. You'll need to do some work and research
to get the spline coefficients. */
double coefs[3][4] = {{0.0, 1.0, 0.0, 0.0},
{-0.872526, 1.872526, 0.0, 0.0},
{-2.032706, 2.452616, 0.0, 0.0}};
if ((x >= 0) && (x < 3.0)) {
i = (int) x;
/* Horner's method cubic. */
res = (((coefs[i][3] * x + coefs[i][2]) * x) + coefs[i][1] * x)
+ coefs[i][0];
} else if (x >= 3.0) {
/* Scaled x ** 1.5 once you go off the spline. */
res = 1.024824 * my_sqrt(x * x * x);
}
return res;
}
double my_019029(double x) {
return my_sqrt(my_sqrt(my_sqrt(my_152232(x))));
}
int main() {
int i;
double x = 0.0;
for (i = 0; i < 1000; i++) {
x = 1e-2 * i;
printf("%f %f %f \n", x, my_019029(x), pow(x, 0.19029));
}
return 0;
}
EDIT: If you're just interested in a small region like [0,1], even simpler is to peel off one sqrt(x) and compute x^1.02232, which is quite well behaved, using a Taylor series:
double my_152232(double x) {
double part_050000 = my_sqrt(x);
double part_102232 = 1.02232 * x + 0.0114091 * x * x - 3.718147e-3 * x * x * x;
return part_102232 * part_050000;
}
This gets you within 1% of the exact power for approximately [0.1,6], though getting the singularity exactly right is always a challenge. Even so, this three-term Taylor series gets you within 2.3% for x = 0.001.
I am sorry for being this tedious but I reviewed my code several times with the help of a dozen of articles but still my KF doesn't work. By "doesn't work" I mean that the estimates by KF are wrong. Here is a nice paste of Real, Noised and KF estimated positions (just a small chunk).
My example is the same as in every tutorial I've found - I have a state vector of position and velocity. Position is in meters and represents vertical position in air. My real world case is skydiving (with parachute). In my sample generated data I've assumed we start at 3000m and the velocity is 10m/s.
P.S.: I am pretty sure matrix computations are OK - there must be an error with the logic.
Here I generate data:
void generateData(float** inData, float** noisedData, int x, int y){
inData[0][0]= 3000; //start position
inData[1][0]= -10; // 10m/s velocity; minus because we assume it's falling
noisedData[0][0]= 2998;
noisedData[1][0]= -10;
for(int i=1; i<x; i++){
inData[0][i]= inData[0][i-1] + inData[1][i-1];
inData[1][i]= inData[1][i-1]; //the velocity doesn't change for simplicity's sake
noisedData[0][i]=inData[0][i]+(rand()%6-3); //we add noise to real measurement
noisedData[1][i]=inData[1][i]; //velocity has no noise
}
}
And this is my implementation (matrices initialization is based on Wikipedia Kalman example):
int main(int argc, char** argv) {
srand(time(NULL));
float** inData = createMatrix(100,2); //2 rows, 100 columns
float** noisedData = createMatrix(100,2);
float** estData = createMatrix(100,2);
generateData(inData, noisedData, 100, 2);
float sampleRate=0.1; //10hz
float** A=createMatrix(2,2);
A[0][0]=1;
A[0][1]=sampleRate;
A[1][0]=0;
A[1][1]=1;
float** B=createMatrix(1,2);
B[0][0]=pow(sampleRate,2)/2;
B[1][0]=sampleRate;
float** C=createMatrix(2,1);
C[0][0]=1; //we measure only position
C[0][1]=0;
float u=1.0; //acceleration magnitude
float accel_noise=0.2; //acceleration noise
float measure_noise=1.5; //1.5 m standard deviation
float R=pow(measure_noise,2); //measure covariance
float** Q=createMatrix(2,2); //process covariance
Q[0][0]=pow(accel_noise,2)*(pow(sampleRate,4)/4);
Q[0][1]=pow(accel_noise,2)*(pow(sampleRate,3)/2);
Q[1][0]=pow(accel_noise,2)*(pow(sampleRate,3)/2);
Q[1][1]=pow(accel_noise,2)*pow(sampleRate,2);
float** P=createMatrix(2,2); //covariance update
P[0][0]=0;
P[0][1]=0;
P[1][0]=0;
P[1][1]=0;
float** P_est=createMatrix(2,2);
P_est[0][0]=P[0][0];
P_est[0][1]=P[0][1];
P_est[1][0]=P[1][0];
P_est[1][1]=P[1][1];
float** K=createMatrix(1,2); //Kalman gain
float** X_est=createMatrix(1,2); //our estimated state
X_est[0][0]=3000; X_est[1][0]=10;
// !! KALMAN ALGORITHM START !! //
for(int i=0; i<100; i++)
{
float** temp;
float** temp2;
float** temp3;
float** C_trans=matrixTranspose(C,2,1);
temp=matrixMultiply(P_est,C_trans,2,2,1,2); //2x1
temp2=matrixMultiply(C,P_est,2,1,2,2); //1x2
temp3=matrixMultiply(temp2,C_trans,2,1,1,2); //1x1
temp3[0][0]+=R;
K[0][0]=temp[0][0]/temp3[0][0]; // 1. KALMAN GAIN
K[1][0]=temp[1][0]/temp3[0][0];
temp=matrixMultiply(C,X_est,2,1,1,2);
float diff=noisedData[0][i]-temp[0][0]; //diff between meas and est
X_est[0][0]=X_est[0][0]+(K[0][0]*diff); // 2. ESTIMATION CORRECTION
X_est[1][0]=X_est[1][0]+(K[1][0]*diff);
temp=createMatrix(2,2);
temp[0][0]=1; temp[0][1]=0; temp[1][0]=0; temp[1][1]=1;
temp2=matrixMultiply(K,C,1,2,2,1);
temp3=matrixSub(temp,temp2,2,2,2,2);
P=matrixMultiply(temp3,P_est,2,2,2,2); // 3. COVARIANCE UPDATE
temp=matrixMultiply(A,X_est,2,2,1,2);
X_est[0][0]=temp[0][0]+B[0][0]*u;
X_est[1][0]=temp[1][0]+B[1][0]*u; // 4. PREDICT NEXT STATE
temp=matrixMultiply(A,P,2,2,2,2);
float** A_inv=getInverse(A,2);
temp2=matrixMultiply(temp,A_inv,2,2,2,2);
P_est=matrixAdd(temp2,Q,2,2,2,2); // 5. PREDICT NEXT COVARIANCE
estData[0][i]=X_est[0][0]; //just saving here for later to write out
estData[1][i]=X_est[1][0];
}
for(int i=0; i<100; i++) printf("%4.2f : %4.2f : %4.2f \n", inData[0][i], noisedData[0][i], estData[0][i]); // just writing out
return (EXIT_SUCCESS);
}
It looks like you are assuming a rigid body model for the problem. If that is the case, then for the problem you are solving, I would not put in the input u when you do the process update to predict the next state. Maybe I am missing something but the input u does not play any role in generating the data.
Let me put it another way, setting u to +1 looks like your model is assuming that the body should move in the +x direction because there is an input in that direction, but the measurement is telling it to go the other way. So if you put a lot of weight on the measurements, it's going to go in the -ve direction, but if you put a lot of weight on the model, it should go in the +ve direction. Anyway, based on the data generated, I don't see a reason for setting u to anything but zero.
Another thing, your sampling rate is 0.1 Hz, But when you generate data, you are assuming it's one second, since every sample, the position is changed by -10 meters per second.
Here is a matlab/octave implementation.
l = 1000;
Ts = 0.1;
y = 3000; %measurement to be fed to KF
v = -10; % METERS PER SECOND
t = [y(1);v]; % truth for checking if its working
for i=2:l
y(i) = y(i-1) + (v)*Ts;
t(:,i) = [y(i);v]; % copy to truth vector
y(i) = y(i) + randn; % noise it up
end
%%%%% Let the filtering begin!
% Define dynamics
A = [1, Ts; 0, 1];
B = [0;0];
C = [1,0];
% Steady State Kalman Gain computed for R = 0.1, Q = [0,0;0,0.1]
K = [0.44166;0.79889];
x_est_post = [3000;0];
for i=2:l
x_est_pre = A*x_est_post(:,i-1); % Process update! That is our estimate in case no measurement comes in.
%%% OMG A MEASUREMENT!
x_est_post(:,i) = x_est_pre + K*(-x_est_pre(1)+y(i));
end
You are doing a lot of weird array indexing.
float** A=createMatrix(2,2);
A[0][0]=1;
A[0][3]=sampleRate;
A[1][0]=0;
A[1][4]=1;
What is the expected outcome of indexing outside of the bounds of the array?