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A study of A New Approach to Linear Filtering and Prediction Problems by R. E. Kalman Mehul Motani February 11, 2000
Some Motivation
z1
First Estimate
~Normal(z1,
2 z1
x1 = z1 12 =
2 z1
z1
z1
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z 2 , t1 t 2
Second Estimate
~Normal(z 2 ,
2 z2
x2 = ??
2 2 = ??
~Normal( , 2 )
2 z2
z1 +
2 z1 2 z1
2 z2
z2
1 1 1 = 2 + 2 22 z1 z2
x2 =
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Another Look
The Predictor-Corrector Structure
x2 = x1 + K 2 [z2 x1 ]
2 2 = 12 K 2 12
Predict
Correct
dt
v0
t1
t2
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Data Processing
Incorporates discrete-time measurements
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Assumptions
Linear (Discrete) System Model
Admits tractable analysis Linear systems theory is quite thorough.
White Noise
Real systems are bandpass.
Gaussian Noise
Use Central Limit Theorem arguments
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AWG Process Noise : uk ~ Normal (0, Q ) AWG Measurement Noise : vk ~ Normal (0, R)
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Kalmans Model
Bk = R = 0 xk +1 = k xk + u k z k = M k xk
Weiner Problem
Given the observed values{z k , k = 1 m}, find an estimate xk which minimizes the expected loss.
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Kalmans Solution
Orthogonal Projection
xk = E[ xk | z1 , z2 ,
, zm ]
Using the state representation, he derives a recursive optimum solution. We will not derive, but rather motivate the solution.
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A Subtle Distinction
Estimate Estimate Error Estimate Error Covariance
Pk = E ek ekT
a priori a posteriori
xk xk
ek = xk xk ek = xk xk
T Pk = E ek ek
]
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A Closer Look
T T K k = Pk M k M k Pk M k + Rk
Good Measurements
As Rk 0, K k M k1
Bad Measurements
As Pk 0, K k 0
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Predict
1. Project state ahead xk+1 = k xk 2. Project error covariance Pk 1 = k Pk T + Qk k +
Correct
1. Compute the Kalman Gain
T T K k = Pk M k M k Pk M k + Rk
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xk +1 xk +1
1 T xk T2 /2 ak = + 0 1 xk T
z k = xk + vk
R =
2 v
Q =
2 a
4 3 T /4 T /2 3 2 T /2 T
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Applications
Navigational and Guidance Systems Radar tracking and Sonar ranging Satellite orbit computations Active Noise Control Predictive tracking for virtual reality MMSE receiver is Kalman filtering
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Variations on a filter
Discrete-Discrete Kalman Filter Continuous-Discrete Kalman Filter Extended Kalman Filter
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Continuous-Discrete Kalman
System Model
Continuous Model for dynamical system Discrete measurement equations
Why?
Flexibility Irregularly spaced measurements Use numerical integration (e.g. Runge-Kutta) to project states ahead.
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Non-linear Systems
Can we relax the linearity assumption? Nonlinear stochastic difference equation
xk +1 = f ( xk , wk , uk ) z k = h ( xk , v k )
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xk +1 = ~k +1 + Ak ( xk xk ) + Wk wk x z = ~ + H (x ~ ) + U u z x
k k k k k k k
Non-Gaussian Noise
Kalman filter is no longer universally optimum. It is still the minimum variance estimator amongst all linear unbiased estimators.
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Discussion
Non-white measurement and process noise. Non-independent noise What if the statistics of the noise are unknown or vary rapidly? Efficient as it is, the Kalman filter is still not practical for high dimensional systems. Can you approximate the Kalman filter for large systems?
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