kalman-filter/lib/utils/get-covariance.js

Kalman filter (and Extended Kalman Filter) Multi-dimensional implementation in Javascript

/**
* @param {Object} opts
* @param {Array.<Array.<Number>>} opts.measures a list of measure, size is LxN L the number of sample, N the dimension
* @param {Array.<Array.<Number>>} opts.averages a list of averages, size is LxN L the number of sample, N the dimension
* @returns {Array.<Array.<Number>>} covariance matrix size is NxN
*/

module.exports = function ({measures, averages}) {
	const l = measures.length;
	const n = measures[0].length;

	if (l === 0) {
		throw (new Error('Cannot find covariance for empty sample'));
	}

	return (new Array(n).fill(1)).map((_, rowIndex) => (new Array(n).fill(1)).map((_, colIndex) => {
		const stds = measures.map((m, i) => (m[rowIndex] - averages[i][rowIndex]) * (m[colIndex] - averages[i][colIndex]));
		const result = stds.reduce((a, b) => a + b) / l;
		if (Number.isNaN(result)) {
			throw (new TypeError('result is NaN'));
		}

		return result;
	}));
};