2 Copyright (C) 2008-2019 EDF R&D
4 This file is part of SALOME ADAO module.
6 This library is free software; you can redistribute it and/or
7 modify it under the terms of the GNU Lesser General Public
8 License as published by the Free Software Foundation; either
9 version 2.1 of the License, or (at your option) any later version.
11 This library is distributed in the hope that it will be useful,
12 but WITHOUT ANY WARRANTY; without even the implied warranty of
13 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
14 Lesser General Public License for more details.
16 You should have received a copy of the GNU Lesser General Public
17 License along with this library; if not, write to the Free Software
18 Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
20 See http://www.salome-platform.org/ or email : webmaster.salome@opencascade.com
22 Author: Jean-Philippe Argaud, jean-philippe.argaud@edf.fr, EDF R&D
24 .. index:: single: ExtendedKalmanFilter
25 .. _section_ref_algorithm_ExtendedKalmanFilter:
27 Algorithme de calcul "*ExtendedKalmanFilter*"
28 ---------------------------------------------
30 .. ------------------------------------ ..
31 .. include:: snippets/Header2Algo01.rst
33 Cet algorithme réalise une estimation de l'état d'un système dynamique par un
34 filtre de Kalman étendu, utilisant un calcul non linéaire de l'état et de
35 l'évolution incrémentale (processus).
37 Dans le cas d'opérateurs réellement non-linéaires, on peut aisément utiliser
38 l':ref:`section_ref_algorithm_EnsembleKalmanFilter` ou
39 l':ref:`section_ref_algorithm_UnscentedKalmanFilter`, qui sont souvent
40 largement plus adaptés aux comportements non-linéaires mais plus coûteux. On
41 peut vérifier la linéarité des opérateurs à l'aide de
42 l':ref:`section_ref_algorithm_LinearityTest`.
44 .. ------------------------------------ ..
45 .. include:: snippets/Header2Algo02.rst
47 .. include:: snippets/Background.rst
49 .. include:: snippets/BackgroundError.rst
51 .. include:: snippets/EvolutionError.rst
53 .. include:: snippets/EvolutionModel.rst
55 .. include:: snippets/Observation.rst
57 .. include:: snippets/ObservationError.rst
59 .. include:: snippets/ObservationOperator.rst
61 .. ------------------------------------ ..
62 .. include:: snippets/Header2Algo03AdOp.rst
64 .. include:: snippets/BoundsWithExtremes.rst
66 .. include:: snippets/ConstrainedBy.rst
68 .. include:: snippets/EstimationOf.rst
70 StoreSupplementaryCalculations
71 .. index:: single: StoreSupplementaryCalculations
73 Cette liste indique les noms des variables supplémentaires qui peuvent être
74 disponibles à la fin de l'algorithme, si elles sont initialement demandées par
75 l'utilisateur. Cela implique potentiellement des calculs ou du stockage
76 coûteux. La valeur par défaut est une liste vide, aucune de ces variables
77 n'étant calculée et stockée par défaut sauf les variables inconditionnelles.
78 Les noms possibles sont dans la liste suivante : [
80 "APosterioriCorrelations",
81 "APosterioriCovariance",
82 "APosterioriStandardDeviations",
83 "APosterioriVariances",
86 "CostFunctionJAtCurrentOptimum",
88 "CostFunctionJbAtCurrentOptimum",
90 "CostFunctionJoAtCurrentOptimum",
94 "InnovationAtCurrentAnalysis",
95 "InnovationAtCurrentState",
97 "SimulatedObservationAtCurrentAnalysis",
98 "SimulatedObservationAtCurrentOptimum",
99 "SimulatedObservationAtCurrentState",
103 ``{"StoreSupplementaryCalculations":["BMA", "CurrentState"]}``
105 .. ------------------------------------ ..
106 .. include:: snippets/Header2Algo04.rst
108 .. include:: snippets/Analysis.rst
110 .. ------------------------------------ ..
111 .. include:: snippets/Header2Algo05.rst
113 .. include:: snippets/Analysis.rst
115 .. include:: snippets/APosterioriCorrelations.rst
117 .. include:: snippets/APosterioriCovariance.rst
119 .. include:: snippets/APosterioriStandardDeviations.rst
121 .. include:: snippets/APosterioriVariances.rst
123 .. include:: snippets/BMA.rst
125 .. include:: snippets/CostFunctionJ.rst
127 .. include:: snippets/CostFunctionJAtCurrentOptimum.rst
129 .. include:: snippets/CostFunctionJb.rst
131 .. include:: snippets/CostFunctionJbAtCurrentOptimum.rst
133 .. include:: snippets/CostFunctionJo.rst
135 .. include:: snippets/CostFunctionJoAtCurrentOptimum.rst
137 .. include:: snippets/CurrentOptimum.rst
139 .. include:: snippets/CurrentState.rst
141 .. include:: snippets/IndexOfOptimum.rst
143 .. include:: snippets/InnovationAtCurrentAnalysis.rst
145 .. include:: snippets/InnovationAtCurrentState.rst
147 .. include:: snippets/PredictedState.rst
149 .. include:: snippets/SimulatedObservationAtCurrentAnalysis.rst
151 .. include:: snippets/SimulatedObservationAtCurrentOptimum.rst
153 .. include:: snippets/SimulatedObservationAtCurrentState.rst
155 .. ------------------------------------ ..
156 .. include:: snippets/Header2Algo06.rst
158 - :ref:`section_ref_algorithm_KalmanFilter`
159 - :ref:`section_ref_algorithm_EnsembleKalmanFilter`
160 - :ref:`section_ref_algorithm_UnscentedKalmanFilter`