%IMM_PREDICT UKF based Interacting Multiple Model (IMM) Filter prediction step
%
% Syntax:
% [X_p,P_p,c_j,X,P] = UIMM_PREDICT(X_ip,P_ip,MU_ip,p_ij,ind,dims,A,a,param,Q)
%
% In:
% X_ip - Cell array containing N^j x 1 mean state estimate vector for
% each model j after update step of previous time step
% P_ip - Cell array containing N^j x N^j state covariance matrix for
% each model j after update step of previous time step
% MU_ip - Vector containing the model probabilities at previous time step
% p_ij - Model transition matrix
% ind - Indices of state components for each model as a cell array
% dims - Total number of different state components in the combined system
% A - Dynamic model matrices for each linear model as a cell array
% a - Dynamic model functions for each non-linear model
% param - Parameters of a
% Q - Process noise matrices for each model as a cell array.
%
% Out:
% X_p - Predicted state mean for each model as a cell array
% P_p - Predicted state covariance for each model as a cell array
% c_j - Normalizing factors for mixing probabilities
% X - Combined predicted state mean estimate
% P - Combined predicted state covariance estimate
%
% Description:
% IMM-UKF filter prediction step. If some of the models have linear
% dynamics standard Kalman filter prediction step is used for those.
%
% See also:
% UIMM_UPDATE, UIMM_SMOOTH
% History:
% 01.11.2007 JH The first official version.
%
% Copyright (C) 2007 Jouni Hartikainen
%
% $Id: imm_update.m 111 2007-11-01 12:09:23Z jmjharti $
%
% This software is distributed under the GNU General Public
% Licence (version 2 or later); please refer to the file
% Licence.txt, included with the software, for details.
function [X_p,P_p,c_j,X,P] = uimm_predict(X_ip,P_ip,MU_ip,p_ij,ind,dims,A,a,param,Q)
% Number of models
m = length(X_ip);
% Default values for state mean and covariance
MM_def = zeros(dims,1);
PP_def = diag(20*ones(dims,1));
% Normalizing factors for mixing probabilities
c_j = zeros(1,m);
for j = 1:m
for i = 1:m
c_j(j) = c_j(j) + p_ij(i,j).*MU_ip(i);
end
end
% Mixing probabilities
MU_ij = zeros(m,m);
for i = 1:m
for j = 1:m
MU_ij(i,j) = p_ij(i,j) * MU_ip(i) / c_j(j);
end
end
% Calculate the mixed state mean for each filter
X_0j = cell(1,m);
for j = 1:m
X_0j{j} = zeros(dims,1);
for i = 1:m
X_0j{j}(ind{i}) = X_0j{j}(ind{i}) + X_ip{i}*MU_ij(i,j);
end
end
% Calculate the mixed state covariance for each filter
P_0j = cell(1,m);
for j = 1:m
P_0j{j} = zeros(dims,dims);
for i = 1:m
P_0j{j}(ind{i},ind{i}) = P_0j{j}(ind{i},ind{i}) + MU_ij(i,j)*(P_ip{i} + (X_ip{i}-X_0j{j}(ind{i}))*(X_ip{i}-X_0j{j}(ind{i}))');
end
end
% Space for predictions
X_p = cell(1,m);
P_p = cell(1,m);
% Make predictions for each model
for i = 1:m
if isempty(a) | isempty(a{i})
[X_p{i}, P_p{i}] = kf_predict(X_0j{i}(ind{i}),P_0j{i}(ind{i},ind{i}),A{i},Q{i});
else
[X_p{i}, P_p{i}] = ukf_predict1(X_0j{i}(ind{i}),P_0j{i}(ind{i},ind{i}),a{i},Q{i},param{i});
end
end
% Output the combined predicted state mean and covariance, if wanted.
if nargout > 3
% Space for estimates
X = zeros(dims,1);
P = zeros(dims,dims);
% Predicted state mean
for i = 1:m
X(ind{i}) = X(ind{i}) + MU_ip(i)*X_p{i};
end
% Predicted state covariance
for i = 1:m
P(ind{i},ind{i}) = P(ind{i},ind{i}) + MU_ip(i)*(P_p{i} + (X_ip{i}-X(ind{i}))*(X_i{i}-X(ind{i}))');
end
end