2 1 2 1
x x x x E E E + = =
2. If =
1
+
2
then the MSEE estimator is
}  { }  { }  { }  {
2 1 2 1
x x x x E E E E + = + = =
(a result of the linearity of E{.} operator)
3
Derivation of Scalar Kalman Filter
Innovation: ] 1  [
] [ ] [
~
= n n x n x n x
Recall from Section 12.6
MMSE estimate of
x[n] given X[n 1]
(prediction!!)
By MMSE Orthogonality Principle
{ } 0 X = ] 1 [ ] [
~
n n x E
data previous the with ed uncorrelat is that ] [ of part is ] [
~
n x n x
Now note: X[n] is equivalent to { } ] [
~
], 1 [ n x n X
Why? Because we can get get X[n] from it as follows:
] [
] [
] 1 [
] [
~
] 1 [
n
n x
n
n x
n
X
X X
=
"# "$ %
] 1  [
1
0
] [ ] [
~
] [
+ =
n n x
n
k
k
k x a n x n x
4
What have we done so far?
Have shown that { } ] [
~
], 1 [ ] [ n x n n X X
Have split current data set into 2 parts:
1. Old data
2. Uncorrelated part of new data (just the new facts)
uncorrelated
{ } { } ] [
~
], 1 [  ] [ ] [  ] [ ]  [
n x n n s E n n s E n n s = = X X
Because of this
] 1 [  ] [ ]  [
n x n s E
n n s
n n s E n n s +
=
=
X
Update based on
innovation part
of new data
Now need t o
look mor e
closely at
each of t hese!
prediction of s[n]
based on past data
5
] 1  [
+ = = n n u n as E n n s E n n s X X
Now use Property #2:
{ } { }
" " " # " " " $ % " " " # " " " $ %
0 ]} [ { ] 1  1 [
] 1 [  ] [ ] 1 [  ] 1 [ ] 1  [
= = =
+ =
n u E n n s
n n u E n n s E a n n s X X
By Definition
By independence of u[n]
& X[n1] See bottom
of p. 433 in textbook.
] 1  1 [
] 1  [
= n n s a n n s
The Dynamical Model provides the
update from estimate to prediction!!
6
]} [
~
 ] [ { n x n s E Look at Update Term:
Use the form for the Gaussian MMSE estimate:
] [
~
]} [
~
{
]} [
~
] [ {
]} [
~
 ] [ {
] [
2
n x
n x E
n x n s E
n x n s E
n k
" " # " " $ %
=
] 1  [
] [ ] [
~
= n n x n x n x
( ) ] 1  [
] [ ] [ ]} [
~
 ] [ { = n n x n x n k n x n s E
"# "$ % "# "$ %
0
] 1  [
] 1  [
=
+ = n n w n n s
by Prop. #2
Prediction Shows Up Again!!!
So
Because w[n] is indep.
of {x[0], , x[n1]}
Put t hese Result s Toget her :
  ] 1  [
] [ ] [ ] 1  [
]  [
] 1  1 [
+ + =
=
n n s n x n k n n s n n s
n n s a
"# "$ %
This is t he
Kalman Filt er
How to get the gain?
7
Look at the Gain Term:
Need two properties
])} 1  [
] [ ])( 1  [
] [ {( ])} 1  [
] [ ]( [ { = n n s n x n n s n s E n n s n x n s E A.
The innovation
] [
~
] 1  [
] [
n x
n n x n x
=
=
Aside
<x,y> = <x+z,y>
for any z y
Linear combo of past data
thus w/ innovation
0 ])} 1  [
] [ ]( [ { = n n s n s n w E
B.
proof
w[n] is the measurement noise and by assumption is indep. of the
dynamical driving noise u[n] and s[1] In other words: w[n] is indep.
of everything dynamical So E{w[n]s[n]} = 0
is based on past data, which include {w[0], , w[n1]}, and
since the measurement noise has indep. samples we get
] 1  [
n n s
] [ ] 1  [
n w n n s
8
So we start with the gain as defined above:
  { }
  { }
   { }
  { }
   { }
  { }
  { }   { }
  { }   { } ] [ ] 1  [
] [ 2 ] 1  [
] [
] [ ] 1  [
] [ ] 1  [
] [
] [ ] 1  [
] [
] [ ] 1  [
] [ ] 1  [
] [
] [ ] 1  [
] [
] 1  [
] [ ] 1  [
] [
] 1  [
] [
] 1  [
] [ ] [
]} [
~
{
]} [
~
] [ {
] [
2
2
2
2
2
2
2
n w n n s n s E n n s n s E
n w n n s n s E n n s n s E
n w n n s n s E
n w n n s n s n n s n s E
n w n n s n s E
n n s n x n n s n s E
n n s n x E
n n s n x n s E
n x E
n x n s E
n k
n
+ +
+
=
+
+
=
+
=
= =
n n M
Plug in for innovation
MSE when s[n] is estimated
by 1step prediction
9
This gives a form for the gain:
] 1  [
] 1  [
] [
2
+
=
n n M
n n M
n k
n
This balances
the quality of the measured data
against the predicted state
I n t he Kalman f ilt er t he pr edict ion act s like t he
pr ior inf or mat ion about t he st at e at t ime n
bef or e we obser ve t he dat a at t ime n
10
Look at the Prediction MSE Term:
But now we need to know how to find M[nn 1]!!!
  { }
  { }
( )   { }
2
2
2
] [ ] 1  1 [
] 1 [
] 1  1 [
] [ ] 1 [
1  [
] [ ] 1  [
n u n n s n s a E
n n s a n u n as E
n n s n s E n n M
+ =
+ =
=
2 2
] 1  1 [ ] 1  [
u
n n M a n n M + =
Why are the crossterms zero? Two parts:
1. s[n 1] depends on {u[0] u[n 1], s[1]}, which are indep. of u[n]
2. depends on {s[0]+w[0] s[n 1]+w[n 1]}, which are
indep. of u[n]
] 1  1 [
n n s
Use dynamical
model & exploit
form for
prediction
Crossterms = 0
Est. Error at previous time
11
Look at a Recursion for MSE Term: M[nn]
  { } ( )   { }
2 2
] 1  [
] [ ] [ ] 1  [
] [ ]  [
] [ ]  [ = = n n s n x n k n n s n s E n n s n s E n n By def.: M
Term A Term B
Now well get three terms:
E{A
2
}, E{AB}, E{B
2
}
{ } ] 1  [
2
= n n M A E
{ }    { }
] 1  [ ] [ 2
] 1  [
] [ ] 1  [
] [ ] [ 2 2
=
=
n n M n k
n n s n x n n s n s E n k AB E
{ }   { }
 
  ] 1  [ ] [ ] [ of Num. ] [
] [ of Den. ] [
] 1  [
] [ ] [
2
2 2 2
= =
=
=
n n M n k n k n k
n k n k
n n s n x E n k B E
from (!!) is num. k[n]
from (!) is den. k[n]
by definition
] 1  [
] 1  [
] [
2
+
=
n n M
n n M
n k
n
Recall:
12
So this gives
] 1  [ ] [ ] 1  [ ] [ 2 ] 1  [ ]  [ + = n n M n k n n M n k n n M n n M
( ) ] 1  [ ] [ 1 ]  [ = n n M n k n n M
Put t ing all of t hese r esult s t oget her gives
some ver y simple equat ions t o it er at e
Called t he Kalman Filt er
We just derived the form for Scalar State & Scalar Observation.
On the next three charts we give the Kalman Filter equations for:
Scalar State & Scalar Observation
Vector State & Scalar Observation
Vector State & Vector Observation
13
Kalman Filter: Scalar State & Scalar Observation
u[n] WGN; WSS;
) , 0 ( ~
2
u
N
] [ ] 1 [ ] [ n u n as n s + = State Model:
Varies
with n
] [ ] [ ] [ n w n s n + = x Observation Model:
w[n] WGN; ~ ) , 0 (
2
n
N
2 2
} ]) 1  1 [
]} 1 [ {( ] 1  1 [
]} 1 [ { ] 1  1 [
s
s
s s E M
s E s
u
= =
= =
Must Know: u
s
,
2
s
, a,
2
u
,
2
n
Must Know: u
s
,
2
s
, a,
2
u
,
2
n
Initialization:
Prediction:
] 1  1 [
] 1  [
= n n s a n n s
2 2
] 1  1 [ ] 1  [
u
n n M a n n M + =
Pred. MSE:
] 1  [
] 1  [
] [
2
+
=
n n M
n n M
n K
n
Kalman Gain:
( ) ] 1  [
] [ ] [ ] 1  [
]  [
+ = n n s n x n K n n s n n s
Update:
( ) ] 1  [ ] [ 1 ]  [ = n n M n K n n M
Est. MSE:
14
Kalman Filter: Vector State & Scalar Observation
1 ) ( ~ ; ; 1; ] [ ] 1 [ ] [ + = r N r p p p p n n n Q 0, u B A s Bu As s
State Model:
1 ] [ ]; [ ] [ ] [ ] [ + = p n n w n n n x
T T
h s h
) , 0 ( ~
2
n
N
w[n] WGN;
Observation Model:
{ }
s
T
s
E
E
C s s s s M
s s
= =
= =
]) 1  1 [
]} 1 [ ])( 1  1 [
]} 1 [ ( ] 1  1 [
]} 1 [ { ] 1  1 [
Must Know: u
s
, C
s
, A, B, h, Q,
2
n
Must Know: u
s
, C
s
, A, B, h, Q,
2
n
Initialization:
] 1  1 [
] 1  [
= n n n n s A s
Prediction:
T T
n n n n BQB A AM M + = ] 1  1 [ ] 1  [
Pred. MSE (pp):
" " " # " " " $ %
1 1
2
] [ ] 1  [ ] [
] [ ] 1  [
] [
+
=
n n n n
n n n
n
T
n
h M h
h M
K
] [ ] [ ( ] [ ] 1  [
]  [
+ = s h K s s
Update:
( ) ] 1  [ ] [ ] [ ]  [ = n n n n n n
T
M h K I M Est. MSE (pp): :
15
Kalman Filter: Vector State & Vector Observation
1 ) N( ~ ; ; 1; ] [ ] 1 [ ] [ + = r r p p p p n n n Q 0, u B A s Bu As s State Model:
1 ) ] [ N( ~ ] [ ; ] [ ; 1 ]; [ ] [ ] [ ] [ + = M n n p M n M n n n n C 0, w H x w s H x Observation:
{ }
s
T
s
E
E
C s s s s M
s s
= =
= =
]) 1  1 [
]} 1 [ ])( 1  1 [
]} 1 [ ( ] 1  1 [
]} 1 [ { ] 1  1 [
Must Know: u
s
, C
s
, A, B, H, Q, C[n]}
Must Know: u
s
, C
s
, A, B, H, Q, C[n]}
Initialization:
] 1  1 [
] 1  [
= n n n n s A s
Prediction:
T T
n n n n BQB A AM M + = ] 1  1 [ ] 1  [
Pred. MSE (pp):
1
] [ ] 1  [ ] [ ] [ ] [ ] 1  [ ] [


.

\

+ =
" " " # " " " $ %
M M
T T
n n n n n n n n n H M H C H M K
Kalman Gain (pM):
" " " " # " " " " $ %
" " # " " $ %
s innovation n
n n
n n n n n n n n n
: ] [
~
] 1  [
]) 1  [
] [ ] [ ( ] [ ] 1  [
]  [
x
x
s H x K s s
+ =
Update:
Est. MSE (pp): :
( ) ] 1  [ ] [ ] [ ]  [ = n n n n n n M H K I M
16
Kalman Filter Block Diagram
K[n]
Az
1
+
+
] [
n u B
] 1  [
n n s
x[n]
H[n]
] 1  [
n n x
+
] [
~
n x
]  [
n n s
Estimated
State
Estimated
Driving Noise
Innovations
Observations
Embedded
Observation
Model
Embedded
Dynamical
Model
Predicted
Observation
Predicted
State
Looks a lot like Sequent ial LS/ MMSE except it
has t he Embedded Dynamical Model!!!
17
Overview of MMSE Estimation
Jointly
Gaussian
LMMSE
Bayesian
Linear
Model
LMMSE
Linear
Model
}  {
x E =
Optimal
Seq. Filter
(No Dynamics)
Optimal
Kalman Filter
(w/ Dynamics)
Linear
Seq. Filter
(No Dynamics)
Linear
Kalman Filter
(w/ Dynamics)
( ) } { } {
1
x x C C
xx x
E E + =
( ) ( )
H x C H HC H C + + =
1
w
T T
 
1 1
] [
+ =
n
T
n n n n
n x h k
]) 1  1 [
] [ ] [ ]( [ ] 1  [
]  [
+ = n n n n n n n n n s A H x K s s
Force Linear
Any PDF,
Known 2
nd
Moments
Assume
Gaussian
Gen. MMSE
Squared Cost Function