KeyedLeastSquares.hpp

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// This file is part of INSTINCT, the INS Toolkit for Integrated
// Navigation Concepts and Training by the Institute of Navigation of
// the University of Stuttgart, Germany.
//
// This Source Code Form is subject to the terms of the Mozilla Public
// License, v. 2.0. If a copy of the MPL was not distributed with this
// file, You can obtain one at https://mozilla.org/MPL/2.0/.
 
 
#pragma once
 
#include "util/Container/KeyedMatrix.hpp"
 
namespace NAV
{
template<typename Scalar, typename StateKeyType>
struct KeyedLeastSquaresResult
{
    KeyedVectorX<Scalar, StateKeyType> solution;               
    KeyedMatrixX<Scalar, StateKeyType, StateKeyType> variance; 
};
 
template<typename Scalar, typename StateKeyType, typename MeasKeyType>
KeyedVectorX<Scalar, StateKeyType> solveLinearLeastSquares(const KeyedMatrixX<Scalar, MeasKeyType, StateKeyType>& H, const KeyedVectorX<Scalar, MeasKeyType>& dz)
{
    KeyedVectorX<Scalar, StateKeyType> dx = KeyedVectorX<Scalar, StateKeyType>(Eigen::VectorX<Scalar>::Zero(H.cols()), H.colKeys());
    dx(all) = (H(all, all).transpose() * H(all, all)).inverse() * H(all, all).transpose() * dz(all);
    return dx;
}
 
template<typename Scalar, typename StateKeyType, typename MeasKeyType>
KeyedVectorX<Scalar, StateKeyType> solveWeightedLinearLeastSquares(const KeyedMatrixX<Scalar, MeasKeyType, StateKeyType>& H, const KeyedMatrixX<Scalar, MeasKeyType, MeasKeyType>& W, const KeyedVectorX<Scalar, MeasKeyType>& dz)
{
    KeyedVectorX<Scalar, StateKeyType> dx = KeyedVectorX<Scalar, StateKeyType>(Eigen::VectorX<Scalar>::Zero(H.cols()), H.colKeys());
    dx(all) = (H(all, all).transpose() * W(all, all) * H(all, all)).inverse() * H(all, all).transpose() * W(all, all) * dz(all);
    return dx;
}
 
template<typename Scalar, typename StateKeyType, typename MeasKeyType>
KeyedLeastSquaresResult<Scalar, StateKeyType>
    solveLinearLeastSquaresUncertainties(const KeyedMatrixX<Scalar, MeasKeyType, StateKeyType>& H, const KeyedVectorX<Scalar, MeasKeyType>& dz)
{
    // Amount of equations
    auto m = static_cast<int>(H.rows());
    // Amount of variables
    auto n = static_cast<int>(H.cols());
 
    // Cofactor matrix
    KeyedMatrixX<Scalar, StateKeyType, StateKeyType> Q = KeyedMatrixX<Scalar, StateKeyType, StateKeyType>(Eigen::MatrixX<Scalar>::Zero(n, n), H.colKeys(), H.colKeys());
    Q(all, all) = (H(all, all).transpose() * H(all, all)).inverse();
    LOG_DATA("Q = \n{}", Q(all, all));
    // Least squares solution
    KeyedVectorX<Scalar, StateKeyType> dx = KeyedVectorX<Scalar, StateKeyType>(Eigen::VectorX<Scalar>::Zero(n), H.colKeys());
    dx(all) = Q(all, all) * H(all, all).transpose() * dz(all);
    LOG_DATA("dx = {}", dx(all).transpose());
 
    // Residual sum of squares
    double RSS = std::pow(dz(all).norm(), 2);
    LOG_DATA("RSS = {}", RSS);
 
    // Statistical degrees of freedom
    auto dof = m - n;
    LOG_DATA("dof = {}", dof);
 
    // Estimated error variance (reduced chi-squared statistic)
    double sigma2 = RSS / static_cast<double>(dof);
    LOG_DATA("sigma2 = {}", sigma2);
 
    // Covariance matrix
    Q(all, all) *= sigma2;
    LOG_DATA("variance = \n{}", Q(all, all));
 
    return { .solution = dx, .variance = Q };
}
 
template<typename Scalar, typename StateKeyType, typename MeasKeyType>
KeyedLeastSquaresResult<Scalar, StateKeyType>
    solveWeightedLinearLeastSquaresUncertainties(const KeyedMatrixX<Scalar, MeasKeyType, StateKeyType>& H, const KeyedMatrixX<Scalar, MeasKeyType, MeasKeyType>& W, const KeyedVectorX<Scalar, MeasKeyType>& dz)
{
    // Amount of equations
    auto m = static_cast<int>(H.rows());
    // Amount of variables
    auto n = static_cast<int>(H.cols());
 
    // Cofactor matrix
    KeyedMatrixX<Scalar, StateKeyType, StateKeyType> Q = KeyedMatrixX<Scalar, StateKeyType, StateKeyType>(Eigen::MatrixX<Scalar>::Zero(n, n), H.colKeys(), H.colKeys());
    Q(all, all) = (H(all, all).transpose() * W(all, all) * H(all, all)).inverse();
    LOG_DATA("Q = \n{}", Q(all, all));
 
    // Least squares solution
    KeyedVectorX<Scalar, StateKeyType> dx = KeyedVectorX<Scalar, StateKeyType>(Eigen::VectorX<Scalar>::Zero(n), H.colKeys());
    dx(all) = Q(all, all) * H(all, all).transpose() * W(all, all) * dz(all);
    LOG_DATA("dx = {}", dx(all).transpose());
 
    // Residual sum of squares
    double RSS = dz(all).transpose() * W(all, all) * dz(all);
    LOG_DATA("RSS = {}", RSS);
 
    // Statistical degrees of freedom
    auto dof = m - n;
    LOG_DATA("dof = {}", dof);
 
    // Estimated error variance (reduced chi-squared statistic)
    double sigma2 = RSS / static_cast<double>(dof);
    LOG_DATA("sigma2 = {}", sigma2);
 
    // Covariance matrix
    Q(all, all) *= sigma2;
    LOG_DATA("Covariance matrix = \n{}", Q(all, all));
 
    return { .solution = dx, .variance = Q };
}
 
} // namespace NAV