Function navtk::filtering::monte_carlo_approx

• Defined in File utils.hpp

Function Documentation

EstimateWithCovariance navtk::filtering::monte_carlo_approx(const EstimateWithCovariance &ec, const std::function<Vector(const Vector&)> &fx, Size num_samples = 100)

Pass samples of a joint Gaussian through an arbitrary function and calculate the ensemble mean and covariance of the result.

Parameters

• ec – First and second moments of an N-state starting distribution.

• fx – A function that takes an N-length observation (x) and maps it to an M-length result.

• num_samples – Number of samples to pass through fun to generate the statistics.

Returns

A pair containing an M-length Vector of transformed observations and an MxM Matrix of corresponding covariances.