# Source code for stonesoup.updater.chernoff

```
import numpy as np
from ..base import Property
from .base import Updater
from ..types.prediction import MeasurementPrediction
from ..types.update import Update
[docs]class ChernoffUpdater(Updater):
r"""A class which performs state updates using the Chernoff fusion rule. In this context,
measurements come in the form of states with a mean and covariance (compared to traditional
measurements which contain solely a mean). The measurements are expected to come as
:class:`~.GaussianDetection` objects.
The Chernoff fusion rule is written as [#]_
.. math::
p_{\omega}(x_{k}) = \frac{p_{1}(x_{k})^{\omega}p_{2}(x_{k})^{1-\omega}}
{\int p_{1}(x)^{\omega}p_{2}(x)^{1-\omega} \mathrm{d} x}
where :math:`\omega` is a weighting parameter in the range :math:`(0,1]`, which can be found
using an optimization algorithm.
In situations where :math:`p_1(x)` and :math:`p_2(x)` are multivariate Gaussian distributions,
the above formula is equal to the Covariance Intersection Algorithm from Julier et al [#]_.
Let :math:`(a,A)` and :math:`(b,B)` be the means and covariances of the measurement and
prediction respectively. The Covariance Intersection Algorithm was reformulated for use in
Bayesian state estimation by Clark and Campbell [#]_, yielding formulas for the updated
covariance and mean, :math:`D` and :math:`d`, and the innovation covariance matrix, :math:`V`,
as follows:
.. math::
D &= \left ( \omega A^{-1} + (1-\omega)B^{-1} \right )\\
d &= D \left ( \omega A^{-1}a + (1-\omega)B^{-1}b \right )\\
V &= \frac{A}{1-\omega} + \frac{B}{\omega}
In filters where gating is required, the gating region can be written using the innovation
covariance matrix as:
.. math::
\mathcal{V}(\gamma) = \left\{ (a,A) : (a-b)^T V^{-1} (a-b) \leq \gamma \right\}
The specifics for implementing the Covariance Intersection Algorithm in several popular
multi-target tracking algorithms was expanded upon by Clark et al [#]_. The work includes a
discussion of Stone Soup and can be used to apply this class to a tracking algorithm of
choice.
Note
----
If you have tracks that you would like to use as measurements for this updater, the
:class:`~.Tracks2GaussianDetectionFeeder` class can be used to convert the tracks to the
appropriate format.
References
----------
.. [#] Hurley, M., “An information theoretic justification for covariance intersection and its
generalization,” in [Proceedings of the Fifth International Conference on Information
Fusion. FUSION 2002.(IEEE Cat. No. 02EX5997) ], 1, 505–511, IEEE (2002).
https://ieeexplore.ieee.org/document/1021196.
.. [#] Julier, S., Uhlmann, J., and Durrant-Whyte, H., “A new method for the nonlinear
transformation of means and covariances in filters and estimators,” IEEE Transactions on
automatic control 45(3), 477–482 (2000).
https://ieeexplore.ieee.org/abstract/document/847726/similar#similar.
.. [#] Clark, D. and Campbell, M., “Integrating covariance intersection into Bayesian
multi-target tracking filters,” preprint on TechRxiv. submitted to IEEE Transactions on
Aerospace and Electronic Systems.
.. [#] Clark, D. and Hunter, E. and Balaji, B. and O'Rourke, S., “Centralized multi-sensor
multi-target data fusion with tracks as measurements,” to be submitted to SPIE Defense and
Security Symposium 2023.
"""
omega: float = Property(
default=0.5,
doc="A weighting parameter in the range :math:`(0,1]`")
[docs] def predict_measurement(self, predicted_state, measurement_model=None, **kwargs):
r"""
This function predicts the measurement of a state in situations where measurements consist
of a covariance and state vector.
Parameters
----------
predicted_state : :class:`~.GaussianState`
The predicted state :math:`\mathbf{x}_{k|k-1}`
measurement_model : :class:`~.MeasurementModel`
The measurement model. If omitted, the updater will use the model that was specified
on initialization.
Returns
-------
: :class:`~.MeasurementPrediction`
The measurement prediction
"""
measurement_model = self._check_measurement_model(measurement_model)
# The innovation covariance uses the noise covariance from the measurement model
state_covar_m = measurement_model.noise_covar
innov_covar = 1/(1-self.omega)*state_covar_m + 1/self.omega*predicted_state.covar
# The predicted measurement and measurement cross covariance can be taken from
# the predicted state
predicted_meas = predicted_state.state_vector
meas_cross_cov = predicted_state.covar
# Combine everything into a GaussianMeasurementPrediction object
return MeasurementPrediction.from_state(predicted_state, predicted_meas, innov_covar,
predicted_state.timestamp,
cross_covar=meas_cross_cov)
[docs] def update(self, hypothesis, force_symmetric_covariance=False, **kwargs):
r"""
Given a hypothesis, calculate the posterior mean and covariance.
Parameters
----------
hypothesis : :class:`~.Hypothesis`
Hypothesis with the predicted state and the actual/associated measurement which should
be used for updating. If the hypothesis does not contain a measurement prediction, one
will be calculated.
force_symmetric_covariance: bool
A flag to force the output covariance matrix to be symmetric by way of a simple
geometric combination of the matrix and transpose. Default is False.
Returns
-------
: :class:`~.Update`
The state posterior, saved in a generic :class:`~.Update` object.
"""
# Get the predicted state out of the hypothesis. These are 'B' and 'b', the
# covariance and mean of the predicted Gaussian
predicted_covar = hypothesis.prediction.covar
predicted_mean = hypothesis.prediction.state_vector
# Extract the vector and covariance from the measurement. These are 'A' and 'a', the
# covariance and mean of the Gaussian measurement.
measurement_covar = hypothesis.measurement.covar
measurement_mean = hypothesis.measurement.state_vector
# Predict the measurement if it is not already done
if hypothesis.measurement_prediction is None:
hypothesis.measurement_prediction = self.predict_measurement(
hypothesis.prediction,
measurement_model=hypothesis.measurement.measurement_model,
**kwargs
)
# Calculate the updated mean and covariance from covariance intersection
posterior_covariance = np.linalg.inv(self.omega*np.linalg.inv(measurement_covar) +
(1-self.omega)*np.linalg.inv(predicted_covar))
posterior_mean = posterior_covariance @ (self.omega*np.linalg.inv(measurement_covar)
@ measurement_mean +
(1-self.omega)*np.linalg.inv(predicted_covar)
@ predicted_mean)
# Optionally force the posterior covariance to be a symmetric matrix
if force_symmetric_covariance:
posterior_covariance = \
(posterior_covariance + posterior_covariance.T)/2
# Return the updated state
return Update.from_state(hypothesis.prediction, posterior_mean, posterior_covariance,
hypothesis, hypothesis.measurement.timestamp)
```