Added the rls_filter object.

dlib/filtering.h

@@ -4,6 +4,7 @@
 #define DLIB_FILTERiNG_HEADER
 
 #include "filtering/kalman_filter.h"
+#include "filtering/rls_filter.h"
 
 #endif // DLIB_FILTERiNG_HEADER
 

dlib/filtering/rls_filter.h

@@ -0,0 +1,147 @@
+// Copyright (C) 2012  Davis E. King (davis@dlib.net)
+// License: Boost Software License   See LICENSE.txt for the full license.
+#ifndef DLIB_RLS_FiLTER_H__
+#define DLIB_RLS_FiLTER_H__
+
+#include "rls_filter_abstract.h"
+#include "../svm/rls.h"
+#include <vector>
+#include "../matrix.h"
+#include "../sliding_buffer.h"
+
+namespace dlib
+{
+
+// ----------------------------------------------------------------------------------------
+
+    class rls_filter
+    {
+        /*!
+            CONVENTION
+                - data.size() == the number of variables in a measurement 
+                - data[i].size() == data[j].size() for all i and j.  
+                - data[i].size() == get_window_size() 
+                - data[i][0] == most recent measurement of i-th variable given to update.
+                - data[i].back() == oldest measurement of i-th variable given to update 
+                  (or zero if we haven't seen this much data yet).
+
+                - if (count <= 2) then
+                    - count == number of times update(z) has been called
+        !*/
+    public:
+
+        rls_filter()
+        {
+            size = 5;
+            count = 0;
+            filter = rls(0.8, 100);
+        }
+
+        explicit rls_filter (
+            unsigned long size_,
+            double forget_factor = 0.8,
+            double C = 100
+        )
+        {
+            size = size_;
+            count = 0;
+            filter = rls(forget_factor, C);
+        }
+
+        double get_c(
+        ) const
+        {
+            return filter.get_c();
+        }
+
+        double get_forget_factor(
+        ) const
+        {
+            return filter.get_forget_factor();
+        }
+
+        unsigned long get_window_size (
+        ) const
+        {
+            return size;
+        }
+
+        void update (
+        )
+        {
+            if (filter.get_w().size() == 0)
+                return;
+
+            for (unsigned long i = 0; i < data.size(); ++i)
+            {
+                // Put old predicted value into the circular buffer as if it was 
+                // the measurement we just observed.  But don't update the rls filter.
+                data[i].push_front(next(i));
+            }
+
+            // predict next state
+            for (long i = 0; i < next.size(); ++i)
+                next(i) = filter(vector_to_matrix(data[i]));
+        }
+
+        template <typename EXP>
+        void update (
+            const matrix_exp<EXP>& z
+        )
+        {
+            // initialize data if necessary 
+            if (data.size() == 0)
+            {
+                data.resize(z.size());
+                for (long i = 0; i < z.size(); ++i)
+                    data[i].assign(size, 0);
+            }
+
+
+            for (unsigned long i = 0; i < data.size(); ++i)
+            {
+                // Once there is some stuff in the circular buffer, start
+                // showing it to the rls filter so it can do its thing.
+                if (count >= 2)
+                {
+                    filter.train(vector_to_matrix(data[i]), z(i));
+                }
+
+                // keep track of the measurements in our circular buffer
+                data[i].push_front(z(i));
+            }
+
+            // Don't bother with the filter until we have seen two samples
+            if (count >= 2)
+            {
+                for (long i = 0; i < z.size(); ++i)
+                    next(i) = filter(vector_to_matrix(data[i]));
+            }
+            else
+            {
+                ++count;
+                next = matrix_cast<double>(z);
+            }
+        }
+
+        const matrix<double,0,1>& get_predicted_next_state(
+        )
+        {
+            return next;
+        }
+
+    private:
+
+        unsigned long count;
+        unsigned long size;
+        rls filter;
+        matrix<double,0,1> next;
+        std::vector<circular_buffer<double> > data;
+    };
+
+// ----------------------------------------------------------------------------------------
+
+}
+
+#endif // DLIB_RLS_FiLTER_H__
+

dlib/filtering/rls_filter_abstract.h

@@ -0,0 +1,77 @@
+// Copyright (C) 2012  Davis E. King (davis@dlib.net)
+// License: Boost Software License   See LICENSE.txt for the full license.
+#undef DLIB_RLS_FiLTER_ABSTRACT_H__
+#ifdef DLIB_RLS_FiLTER_ABSTRACT_H__
+
+#include "../svm/rls_abstract.h"
+#include "../matrix/matrix_abstract.h"
+
+namespace dlib
+{
+
+// ----------------------------------------------------------------------------------------
+
+    class rls_filter
+    {
+        /*!
+            WHAT THIS OBJECT REPRESENTS
+        !*/
+
+    public:
+
+        rls_filter(
+        );
+        /*!
+            ensures
+                - #get_window_size() == 5
+                - #get_c() == 100
+                - #get_forget_factor() == 0.8
+        !*/
+
+        explicit rls_filter (
+            unsigned long size,
+            double forget_factor = 0.8,
+            double C = 100
+        );
+        /*!
+            requires
+                - 0 < forget_factor <= 1
+                - 0 < C
+                - size >= 2
+            ensures
+                - #get_window_size() == size
+                - #get_forget_factor() == forget_factor
+                - #get_c() == C
+        !*/
+
+        double get_c(
+        ) const;
+        /*!
+        !*/
+
+        double get_forget_factor(
+        ) const;
+
+        unsigned long get_window_size (
+        ) const;
+
+        void update (
+        );
+
+        template <typename EXP>
+        void update (
+            const matrix_exp<EXP>& z
+        );
+
+        const matrix<double,0,1>& get_predicted_next_state(
+        );
+
+    };
+
+// ----------------------------------------------------------------------------------------
+
+}
+
+#endif // DLIB_RLS_FiLTER_ABSTRACT_H__
+
+