Implementation of Stochastic Integration Filter

[0sm1um]

Hello all, I am presenting an implementation of the Stochastic Integration Filter for review.

The implementation was primarily authored by Jakub Matousek and revised/edited by myself for an upcoming paper for Fusion 2024.

The implementation includes a Predictor, an updator, as well as some functions which perform the stochastic integration scheme itself.

Also as background on the method itself, here are two papers. The first one details the algorithm itself, but the second I feel gives more background on the algorithm itself and contains compairison to other methods.

1.Dunik J, Straka O, Simandl M. Stochastic Integration Filter. IEEE transactions on automatic control. 2013;58(6):1561-1566. doi:10.1109/TAC.2013.2258494
2 .Dunik J, Straka O, Simandl M, Blasch E. Random-point-based filters: analysis and comparison in target tracking. IEEE tr

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 93.77%. Comparing base (956f1d1) to head (8e1b6d5).
Report is 9 commits behind head on main.

Additional details and impacted files

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+ Coverage   93.69%   93.77%   +0.07%     
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  Files         212      212              
  Lines       13881    14048     +167     
  Branches     1922     1931       +9     
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  Partials      252      252              

Flag	Coverage Δ
integration	65.56% <19.88%> (-0.61%)	⬇️
unittests	90.98% <100.00%> (+0.10%)	⬆️

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[sdhiscocks]

Thanks for the great contribution.

There are some tests missing for smoother and updater. These could be easily added similar to how you've done for predictor.

I wonder if you could make some common code for the multiple recursions, as code is very similar, but minor variations? (You'll see from my suggestions, that many are same for similar code in these recursion parts)

[hpritchett-dstl]

Just some final documentation points and naming conventions, after this it looks good to merge (to me at least!)

Thanks :)
Henry

[0sm1um]

Just some final documentation points and naming conventions, after this it looks good to merge (to me at least!)

Thanks :) Henry

Could you take a look at the latest changes? I believe it should be ready to go!

[hpritchett-dstl]

great work! Happy to approve this :)

Thanks,
Henry