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// Copyright by Martin Billinger
// This program is free software; you can redistribute it and/or modify it under
// the terms of the GNU General Public License as published by the Free Software
// Foundation; either version 2 of the License, or (at your option) any later
// version.
//
// This program is distributed in the hope that it will be useful, but WITHOUT
// ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
// FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
//
// You should have received a copy of the GNU General Public License along with
// this program; if not, write to the Free Software Foundation, Inc., 59 Temple
// Place - Suite 330, Boston, MA 02111-1307, USA.
#include <mex.h>
#include <memory.h>
#include <blas.h>
#include <lapack.h>
#include "kalman_maar.h"
// input to the matlab function. for convenience elements
// can be accessed by name as well as array element.
union mexin
{
struct {
const mxArray *y, *p, *UC, *Kalman, *mode;
};
const mxArray *list[5];
};
// output of the matlab function. for convenience elements
// can be accessed by name as well as array element.
union mexout
{
struct {
mxArray *x, *e, *Kalman;
};
mxArray *list[3];
};
struct mxKalman
{
mxArray *G, *H, *Kp, *Q1, *Q2, *errCov, *x, *yr;
struct Kalman pointers;
};
// true when persistent variables are initialized
static bool initialized = false;
// holds persistent variables used by the MVAAR algorithm
static Kalman_Helper *kh = NULL;
// parameters
int M = 0, L = 0, p = 0;
void initialize( ptrdiff_t M, ptrdiff_t p )
{
mexPrintf( "Initializing Persistent variables.\n" );
kh = new Kalman_Helper( M, p );
initialized = true;
}
void cleanup( )
{
mexPrintf( "Destroying Persistent variables.\n" );
delete kh;
kh = NULL;
initialized = false;
}
void mexFunction(
int nlhs, mxArray *plhs[], // output
int nrhs, const mxArray *prhs[] ) // input
{
union mexin in;
union mexout out;
struct mxKalman inKalman, outKalman;
// some pointers for various uses
double *tmp1, *tmp2, *tmp3;
int n;
double UC;
double *y, *err;
double mode;
if( nrhs < 3 )
mexErrMsgTxt( "Not enough input arguments" );
if( nrhs > 5 )
mexErrMsgTxt( "Too many input arguments" );
for( n=0; n<nrhs; n++ )
in.list[n] = prhs[n];
if( nrhs < 5 )
mode = 7;
else
mode = *mxGetPr( in.mode );
y = mxGetPr( in.y );
// if any parameters is changed the persistent variables have to be
// initialized anew to accomodate for eventually changed memory requirements
if( ( p!=(int)mxGetPr(in.p)[0] ) || ( M!=mxGetN(in.y) ) )
if( initialized )
cleanup( );
if( !initialized )
{
p = (int)mxGetPr(in.p)[0];
M = mxGetN( in.y );
L = M*M*p;
initialize( M, p );
mexAtExit( cleanup );
}
UC = mxGetPr( in.UC )[0];
// create output variables
{ // (in C variables can only be declared et the beginning of a block)
const char *fieldnames[8] = { "G", "H", "Kp", "Q1", "Q2", "errCov", "x", "yr" };
plhs[0] = mxCreateDoubleMatrix( 1, L, mxREAL ); // x
plhs[1] = mxCreateDoubleMatrix( 1, M, mxREAL ); // err
plhs[2] = mxCreateStructMatrix( 1, 1, 8, fieldnames ); // Kalman
}
for( n=0; n<3; n++ )
out.list[n] = plhs[n];
err = mxGetPr( out.e );
if( nrhs == 3 ) // no filter-state argument given. initialize filter
{
printf( "Initialising Kalman Filter\n" );
outKalman.G = mxCreateDoubleMatrix( L, M, mxREAL );
outKalman.H = mxCreateDoubleMatrix( M, L, mxREAL );
outKalman.Kp = eye( L, 1.0 );
outKalman.Q1 = eye( L, UC );
outKalman.Q2 = eye( M, 1.0 );
outKalman.errCov = eye( M, 1.0 );
outKalman.x = mxCreateDoubleMatrix(L,1,mxREAL);
outKalman.yr = mxCreateDoubleMatrix(1,M*p,mxREAL);
// Kalman.yr = [y(:)' zeros(1,M*(p-1))];
// err = y;
/*tmp1 = mxGetPr( in.y );
tmp2 = mxGetPr( outKalman.yr );
tmp3 = mxGetPr( out.e );
for( n=0; n<M; n++ )
{
*(tmp2++) = *(tmp1);
*(tmp3++) = *(tmp1++);
}*/
}
else
{
// extract filter-state from input data
inKalman.G = mxGetField( in.Kalman, 0, "G" );
inKalman.H = mxGetField( in.Kalman, 0, "H" );
inKalman.Kp = mxGetField( in.Kalman, 0, "Kp" );
inKalman.Q1 = mxGetField( in.Kalman, 0, "Q1" );
inKalman.Q2 = mxGetField( in.Kalman, 0, "Q2" );
inKalman.errCov = mxGetField( in.Kalman, 0, "errCov" );
inKalman.x = mxGetField( in.Kalman, 0, "x" );
inKalman.yr = mxGetField( in.Kalman, 0, "yr" );
// set pointers
inKalman.pointers.G = mxGetPr( inKalman.G );
inKalman.pointers.H = mxGetPr( inKalman.H );
inKalman.pointers.Kp = mxGetPr( inKalman.Kp );
inKalman.pointers.Q1 = mxGetPr( inKalman.Q1 );
inKalman.pointers.Q2 = mxGetPr( inKalman.Q2 );
inKalman.pointers.errCov = mxGetPr( inKalman.errCov );
inKalman.pointers.x = mxGetPr( inKalman.x );
inKalman.pointers.yr = mxGetPr( inKalman.yr );
// initialize filter-state output
outKalman.G = mxCreateDoubleMatrix( L, M, mxREAL );
outKalman.H = mxCreateDoubleMatrix( M, L, mxREAL );
outKalman.Kp = mxCreateDoubleMatrix(L, L, mxREAL );
outKalman.Q1 = mxCreateDoubleMatrix(L, L, mxREAL );
outKalman.Q2 = mxCreateDoubleMatrix(M, M, mxREAL );
outKalman.errCov = mxCreateDoubleMatrix(M, M, mxREAL );
outKalman.x = mxCreateDoubleMatrix( L, 1, mxREAL );
outKalman.yr = mxCreateDoubleMatrix(1,M*p,mxREAL );
// set pointers
outKalman.pointers.G = mxGetPr( outKalman.G );
outKalman.pointers.H = mxGetPr( outKalman.H );
outKalman.pointers.Kp = mxGetPr( outKalman.Kp );
outKalman.pointers.Q1 = mxGetPr( outKalman.Q1 );
outKalman.pointers.Q2 = mxGetPr( outKalman.Q2 );
outKalman.pointers.errCov = mxGetPr( outKalman.errCov );
outKalman.pointers.x = mxGetPr( outKalman.x );
outKalman.pointers.yr = mxGetPr( outKalman.yr );
// filtering step
kalman_maar( err, y, UC, M, L, p,
&inKalman.pointers, &outKalman.pointers, kh, mode );
}
// x = Kalman.x'
memcpy( mxGetPr( out.x ), mxGetPr( outKalman.x ), L*sizeof(double) );
mxSetField( out.Kalman, 0, "G", outKalman.G );
mxSetField( out.Kalman, 0, "H", outKalman.H );
mxSetField( out.Kalman, 0, "Kp", outKalman.Kp );
mxSetField( out.Kalman, 0, "Q1", outKalman.Q1 );
mxSetField( out.Kalman, 0, "Q2", outKalman.Q2 );
mxSetField( out.Kalman, 0, "errCov", outKalman.errCov );
mxSetField( out.Kalman, 0, "x", outKalman.x );
mxSetField( out.Kalman, 0, "yr", outKalman.yr );
}
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