Kalman Filter

Discrete-time model with noise

x[k+1] = Ax[k] + Bu[k] + Ew[k] y[k] = Cx[k] + v[k]

Time Update (TU)

x [k+1|k] = Ax [k|k] + Bu[k]

P[k+1|k] = AP[k|k] AT + EQE T

Measurement Update (MU)

x [k+1|k+1] = x [k+1|k] + L[k+1] y[k+1] C x [k+1|k]

T

L[k+1] = P[k+1|k] C

CP[k+1|k] C + R
T

P[k+1|k+1] = P[k+1|k] P[k+1|k] C

CP[k+1|k] C + R

CP[k+1|k]

Kalman Filter

Continuous-time model and discrete measurements

x = Ax + Bu + Ew y[k] = Cx[k] + v[k]

Time Update (TU)

= Ax x + Bu = AP + P AT + EQE T P

Measurement Update (MU)

[k+1|k] x [k+1|k+1] = x [k+1|k] + L[k+1] y[k+1] C x

1 T T 1

L[k+1] = P[k+1|k] C T CP[k+1|k] C T + R

P[k+1|k+1] = P[k+1|k] P[k+1|k] C

CP[k+1|k] C + R

CP[k+1|k]

Kalman Filter

Continuous-time model and discrete measurements

x = Ax + Bu + Ew y[k] = Cx[k] + v[k]

Time Update (TU) x [k+1|k] = x ((k + 1) T ) P[k+1|k] = P ((k + 1) T )

= Ax x + Bu = AP + P AT + EQE T P

Measurement Update (MU)

[k+1|k] x [k+1|k+1] = x [k+1|k] + L[k+1] y[k+1] C x

1 T T 1

L[k+1] = P[k+1|k] C T CP[k+1|k] C T + R

P[k+1|k+1] = P[k+1|k] P[k+1|k] C

CP[k+1|k] C + R

CP[k+1|k]

Kalman Filter

Continuous-time nonlinear model and discrete meas.

x = f (x, u, w) y[k] = Cx[k] + v[k]

Time Update (TU) x [k+1|k] = x ((k + 1) T ) P[k+1|k] = P ((k + 1) T )

= f ( x x, u) = A[k] P + P AT + EQE T P [k ]

Measurement Update (MU)

[k+1|k] x [k+1|k+1] = x [k+1|k] + L[k+1] y[k+1] C x

T

L[k+1] = P[k+1|k] C

CP[k+1|k] C + R
T

P[k+1|k+1] = P[k+1|k] P[k+1|k] C

CP[k+1|k] C + R

CP[k+1|k]