Fuzzy Sets and Systems 157 (2006) 21452170

www.elsevier.com/locate/fss
The fuzzy Kalman lter: State estimation using
possibilistic techniques

Fernando Mata
a,
, Agustn Jimnez
a
, Basil M. Al-Hadithi
a, b
,
Diego Rodrguez-Losada
a
, Ramn Galn
a
a
Intelligent Control Group Universidad Politcnica de Madrid, Spain
b
Universidad Alfonso X El Sabio, Spain
Received 17 October 2005; received in revised form 4 May 2006; accepted 9 May 2006
Available online 9 June 2006
Abstract
A new method to implement fuzzy Kalman lters is introduced. The combination of possibilistic techniques and the extended
Kalman lter has special application in elds where inaccurate information is involved. The novelty of this article comes from the
fact that by using possibility distributions, instead of Gaussian distributions, a fuzzy description of the expected state and observation
is sufcient to obtain a good estimation. Some characteristics of this approach are that uncertainty does not need to be symmetric,
and that a wide region of possible values for the expectations is allowed. To implement the algorithm, this approach also contributes a
method to propagate uncertainty through the process model and the observation model, based on trapezoidal possibility distributions.
Finally, several examples of a real mobile robot moving through a localization process, while using qualitative landmarks, are shown.
2006 Elsevier B.V. All rights reserved.
Keywords: State estimation; Extended Kalman lter; Fuzzy control; Possibility distributions; Localization; Robotics
1. Introduction
The extended Kalman lter is traditionally implemented using probabilistic techniques. It can be agreed that the
algorithm is able to provide an accurate solution to the state estimation problem, where the only condition seems to be
the appropriate initialization of the uncertainty matrices of the initial state estimation and of the process and observation
models.
Nevertheless, the classical lter has some inherent problems which are only detected when trying to carry out a
complex estimation experiment. Among them are the following:
(i) Process noise and observation noise are not always symmetric, which means that Gaussian distributions are not
always the most appropriate. A clear example is a proximity sensor which provides a distance to an object, with
more positive than negative systematic errors.

This work is funded by Spanish Ministry of Science and Technology (ROBINT project DPI-2004-07907-C02) and is developed under the
supervision of the Science Museum Prncipe Felipe de Valencia.

Corresponding author. Tel.: +34 91 336 30 61; fax: +34 91 336 30 10.
E-mail address: fernando.matia@upm.es (F. Mata).
URL: http://www.disam.upm.es/control.
0165-0114/$ - see front matter 2006 Elsevier B.V. All rights reserved.
doi:10.1016/j.fss.2006.05.003
2146 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
(ii) Propagation of probability distributions through non-linear equations produce accumulation of errors, which have
demonstrated to become important when the lter runs for a long time. An example is a mobile robot which moves
for hundreds of meters along a large exhibition area.
(iii) And nally, most important is that the estimation process is done by averaging incoming measurements with
accurate models, while in most cases available models are highly inaccurate, because they have been extracted
from human knowledge. Again a good example is a qualitative map of the environment given to a mobile robot
for navigation.
In this article we suggest a method to apply fuzzy logic to solve, or at least minimize, the above-mentioned prob-
lems. Firstly, replacing Gaussian distributions by trapezoidal distributions allows the introduction of asymmetries
in a natural manner. Secondly, propagating the main points of a trapezoidal distribution through non-linear models,
and recalculating its center of gravity and uncertainty of the propagation, will produce less error than propagating
the mean value and the variance of the Gaussian distribution through a linearized model. This will in turn force the
propagated distribution to continue being Gaussian. A similar idea is in the core of the unscented Kalman lter [15]
but for Gaussian distributions. Thirdly, instead of trying to build very accurate models by understanding the available
knowledge, we will keep the knowledge in its qualitative form and use possibility distributions with margins as wide as
necessary.
The combination of fuzzy logic and the Kalman lter is not new. Several authors have implemented different
versions of what we could call a fuzzy Kalman lter, but with other objectives not less important than the three
above-mentioned ones. Some of them [14,17,23] present probabilistic Kalman lters for mobile robots, where fuzzy
rules are used to adapt process noise and observation noise. Longo et al. [19] apply fuzzy rules combined with a
probabilistic Kalman lter for mobile robots localization, where fuzzy logic is only used for sensor fusion outside
the state estimation process. Cipriano et al. [2] also uses the example of a mobile robot to reduce linearization errors
of the extended Kalman lter, by implementing a set of probabilistic linear Kalman lters which are averaged by a
fuzzy supervisor. Simon [24] uses Kalman ltering technique to design a estimator for Takagi-Sugeno fuzzy model.
Chen et al. [4] present a Kalman lter in which the parameters of the models are fuzzy numbers. Oussalah et al.
[22] build a kind of possibilistic Kalman lter by extending the idea of interval Kalman lter [3] to different -
cuts, in which the lter parameters are intervals. Layne et al. [18] go further and uses fuzzy relations to represent
both the process and observation models, although the noise is white. Trajanoski et al. [25] present a fuzzy lter for
a glucoregulatory system which has better performance than a conventional Kalman lter, but which also includes
probability.
In our work, we completely replace probability by possibility [20,21]. Zadeh [27] introduces what a possibility
distribution is and states the probability/possibility consistency principle, and Dubois et al. [8] formalize management
of possibility distributions using supmin rules. Most of the previous references on fuzzy Kalman ltering focus on
using fuzzy rules or fuzzy relations but with randomvariables. Instead we propose to include fuzzy logic in the variables
denition. The use of fuzzy numbers can be found in [5,11,26]. The analogy between random and fuzzy variables is
established in [9,6]. Additionally, the expected value and variance of a possibility distribution used in [12,1], are based
on the idea of mean value of a fuzzy number [7,10]. Nevertheless, in our work we preferred to use the center of gravity,
a method more frequently used in fuzzy control. For our purpose, any operator is valid if it guarantees that the main
equations of the conventional Kalman lter remain the same, and that the estimation is optimal from the recursive
least-square estimation point of view.
The implementation of our algorithm is intended to be used with possibility distributions dened at several user
dened -cuts. In fact, the use of trapezoidal distributions drives to the subset = {0, 1}. The use of -cuts means that
many operations can be implemented using interval arithmetic [13].
2. Fuzzy variables and uncertainty management
The justication of using fuzzy variables instead of random ones is that, in many applications, information about the
behavior of variables is possibilistic, rather than probabilistic. A person is able to reason using a qualitative criterion
instead of highly precise information. So, if humans are able to make estimations in the presence of uncertainty, so
should an algorithm.
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2147
Fig. 1. Possibility distribution.
We model a fuzzy variable x, dened over the universe of discourse X, using a trapezoidal possibility distribution

X
(x), such as (Fig. 1) this means,

X
(x) =
_
1, x [x
2
, x
3
],
0, x / [x
1
, x
4
].
(1)
This distribution is, in general, asymmetric, which is the usual case of a sensors uncertainty, as already mentioned.
The fuzzy variable x takes possible values inside the region [x
2
, x
3
], and impossible values outside [x
1
, x
4
], with
x
1
x
2
x
3
x
4
. We will restrict the analysis to trapezoidal distributions because, in practical applications, the human
has no criterion to dene the distribution shape between the possible and the impossible regions.
Furthermore, the use of two -cuts was decided to simplify notation along the article. But there is no limit of the
number of -cuts selected by the user. All the measurements dened in this section and the following ones can be
modied appropriately to guarantee that the algorithm continues working properly. Nevertheless, and as it will be
shown in the nal experiments, an increase in the number of -cuts does not inuence the quality of the estimation.
Now we introduce some denitions that will be used in the next sections.
Denition 1. Suppose a fuzzy variable x dened by a trapezoidal distribution. We dene the expectation of x as
E[x] (x
1
, x
2
, x
3
, x
4
). (2)
Example 1. The triangular distribution E[x] (2, 1, 1, 5) corresponds to a fuzzy variable with only one possible
value, x = 1, and impossible values outside the region [2, 5].
Example 2. The rectangular distribution E[x] (3, 3, 7, 7) corresponds to a crisp variable with possible values
inside the region [3, 7], and impossible values outside it.
Example 3. The singleton distribution E[x] (4, 4, 4, 4) corresponds to a crisp variable with only one possible
value, x = 4, and impossible values x = 4.
We dene the following uncertainty measurements for fuzzy variables.
Denition 2. The area of the distribution is dened as

x
=
_

X
(x) dx. (3)
In general, the area of a possibility distribution is not equal to one, as happens in the probabilistic case.
Denition 3. If f is a function of x, then we dene the central value of f (x) as
C[f (x)] =
_
f (x)
X
(x) dx

x
. (4)
Denition 4. The center of gravity is given by
x = C[x] =
_
x
X
(x) dx

x
. (5)
2148 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
The center of gravity can be useful in the case that a crisp value is needed for further calculations outside the Kalman
lter. The following property will be used later:
C[x x] =
_
(x x)
X
(x) dx

x
=
_
x
X
(x) dx

x
x = 0. (6)
Denition 5. The uncertainty of the distribution is dened as
U[x] = C[(x x)
2
] =
_
(x x)
2

X
(x) dx

x
. (7)
U[x] can be considered a measurement of the fuzziness of the estimation given by the Kalman lter. All the above
measurements,
x
, x and U[x], can be easily precalculated for the case of trapezoidal distributions:

x
=
_

X
(x) dx =
x
2
x
1
2
+x
3
x
2
+
x
4
x
3
2
=
x
4
+x
3
x
2
x
1
2
, (8)
x =
_
x
X
(x) dx

x
=
1

x
__
x
2
x
1
x
x x
1
x
2
x
1
dx +
_
x
3
x
2
x dx +
_
x
4
x
3
x
x
4
x
x
4
x
3
dx
_
=
(x
2
4
+x
4
x
3
+x
2
3
) (x
2
2
+x
2
x
1
+x
2
1
)
6
x
, (9)
U[x] =
_
(x x)
2

X
(x) dx

x
=
1

x
__
x
2
x
1
(x x)
2
x x
1
x
2
x
1
dx +
_
x
3
x
2
(x x)
2
dx +
_
x
4
x
3
(x x)
2
x
4
x
x
4
x
3
dx
_
=
1

x
_
1
x
2
x
1
_
x
4
2
x
4
1
4

x
1
x
3
2
x
4
1
3
_
+
x
3
3
x
3
2
3
+
1
x
4
x
3
_
x
4
4
x
4
x
3
3
3

x
4
4
x
4
3
4
__
x. (10)
Example 4. For the trapezoidal distribution E[x] (2, 3, 5, 7) we have

x
=
7 +5 3 2
2
= 3.5, (11)
x =
(7
2
+7 5 +5
2
) (3
2
+3 2 +2
2
)
6 3.5
= 4.29, (12)
U[x] =
1
3.5
_
1
3 2
_
3
4
2
4
4

2 3
3
2
4
3
_
+
5
3
3
3
3
+
1
7 5
_
7
4
7 5
3
3

7
4
5
4
4
__
4.29 = 1.23. (13)
Example 5. For the singleton distribution E[x] (4, 4, 4, 4) we have

x
= 0, (14)
x = 4 (the previous formula is not valid in this case), (15)
U[x] = 0. (16)
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2149
Fig. 2. Afne relation (a > 0).
Possibility distributions are propagated through equations as follows: suppose that the afne relation (Fig. 2) between
E[x] and E[z] is dened by

Z
(z) =
X
(x), x, z | z = ax +b. (17)
This implies that

z
=
_

Z
(z) dz =
_

X
(x) |a| dx = |a|
x
, (18)
z =
_
z
Z
(z) dz

z
=
_
(ax +b)
X
(x) |a| dx
|a|
x
= a x +b, (19)
U[z] =
_
(z z)
2

Z
(z) dz

z
=
_
a
2
(x x)
2

X
(x) |a| dx
|a|
x
= a
2
U[x]. (20)
As we can see, the area of the distribution is not conserved (in the probabilistic case, the area is always equal to one).
Furthermore, l {1, . . . , 4},
z
l
=
_
a x
l
+b if a > 0,
a x
5l
+b if a < 0.
(21)
Note that this consideration with the sign of a is not necessary in the probabilistic case, because Gaussian functions
are symmetric by denition.
It is clear to see that, if we project the possibility distribution to obtain its representative points z
l
, and we calculate
from them
z
, z and U[z], we would obtain the same result.
Example 6. The projection of the possibility distribution E[x] (2, 3, 5, 7) to E[z] through the function z = x
leads to (Fig. 3):

z
=
x
= 3.5, (22)
z = x = 4.29, (23)
U[z] = U[x] = 1.23, (24)
being E[z] (7, 5, 3, 2).
Example 7. The projection of the possibility distribution E[x] (2, 3, 5, 7) to E[z] through the function z = 2x3
leads to:

z
= 2
x
= 7, (25)
2150 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 3. Afne relation (a < 0).
Fig. 4. Projection by linearization.
z = 2 x 3 = 5.58, (26)
U[z] = 4U[x] = 4.92, (27)
being E[z] (1, 3, 7, 11).
In the case of a non-linear function, z = f (x), there are two ways to propagate uncertainty. The rst one is to
linearize f around x, and then apply the previous relations (Fig. 4):
z f ( x) +
jf
jx

x
(x x) = f ( x) +a (x x). (28)
So,

z
|a|
x
, (29)
z f ( x), (30)
U[z] a
2
U[x]. (31)
This is exactly what is done to propagate probabilistic uncertainty, which produces a linearization error.
The second way to obtain these uncertainty measurements is to propagate the fuzzy distribution
X
(x), and deduce
them from its projection
Z
(z). Provided that f (x) is monotonously increasing or decreasing in the range [x
1
, x
4
], then
l {1, . . . , 4},
z
l
=

f (x
l
) if
jf
jx

x
> 0,
f (x
5l
) if
jf
jx

x
< 0.
(32)
The use of only two -cuts, suggests us to carry out a linear interpolation among these points, so that a trapezoidal
distribution can be obtained (Fig. 5).
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2151
Fig. 5. Projection point by point.
Then,

z

_

Z
(z) dz, (33)
z
_
z
Z
(z) dz

z
, (34)
U[z]
_
(z z)
2

Z
(z) dz

z
. (35)
It should be taken into account that the propagation of the center of gravity obtained through the rst method will be,
in general, different from the center of gravity of the propagation. In other words,
f (C[x]) = C[f (x)]. (36)
Example 8. The projection of the distribution E[x] (2, 3, 5, 7) to E[z] through the function z = x
2
10 leads
to the distribution E[z] (6, 1, 15, 39), with

z
= 30.5, (37)
z = 12.5, (38)
U[z] = 102. (39)
3. The multivariable case
In the case of a multivariable system, with x and y dened over the universes of discourse X and Y, respectively, a
joint possibility distribution
X,Y
(x, y) is used with
sup
X,Y
(x, y) = 1. (40)
Denition 6. The volume of the distribution is given by

x,y
=
_ _

X,Y
(x, y) dx dy, (41)
which is not equal to one, in general.
Denition 7. The central value is dened as
C[f (x, y)] =
_ _
f (x, y)
X,Y
(x, y) dx dy

x,y
. (42)
2152 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Denition 8. The marginal distributions
X
(x) and
Y
(y) are those which satisfy

X
(x)

x
=
_

X,Y
(x, y) dy

x,y
, (43)

Y
(y)

y
=
_

X,Y
(x, y) dx

x,y
. (44)
Denition 9. The centers of gravity of the marginal distributions are dened as
x =C[x] =
_ _
x
X,Y
(x, y) dx dy

x,y
=
_
x
_

X,Y
(x, y) dy dx

x,y
=
_
x
X
(x) dx

x
, (45)
y =C[y] =
_ _
y
X,Y
(x, y) dx dy

x,y
=
_
y
_

X,Y
(x, y) dx dy

x,y
=
_
y
Y
(y) dy

y
. (46)
Denition 10. The uncertainties of the marginal distributions are given by
U[x] =C[(x x)
2
] =
_ _
(x x)
2

X,Y
(x, y) dx dy

x,y
=
_
(x x)
2
_

X,Y
(x, y) dy dx

x,y
=
_
(x x)
2

X
(x) dx

x
, (47)
U[y] =C[(y y)
2
] =
_ _
(y y)
2

X,Y
(x, y) dx dy

x,y
=
_
(y y)
2
_

X,Y
(x, y) dx dy

x,y
=
_
(y y)
2

Y
(y) dy

y
. (48)
Denition 11. The dependency between two fuzzy variables is given by
Dep[x, y] = C[(x x)(y y)] =
_ _
(x x)(y y)
X,Y
(x, y) dx dy

x,y
. (49)
Denition 12. The dependency index between two fuzzy variables is
(x, y) =
Dep[x, y]

U[x]U[y]
. (50)
Example 9. When x and y are independent (Fig. 6),

X,Y
(x, y) =
X
(x)
Y
(y). (51)
The upper part of
X,Y
(x, y) represents the possible region, while outside the lower part we have the impossible region.
Then,

x,y
=
_

X
(x) dx
_

Y
(y) dy =
x

y
, (52)
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2153
Fig. 6. Independent variables.
Fig. 7. Dependent variables ( = 1).
Fig. 8. Dependent variables ( = 1).
Dep[x, y] =
_ _
(x x)(y y)
X,Y
(x, y) dx dy

x,y
=
_
(x x)
X
(x) dx
_
(y y)
Y
(y) dy

y
=C[(x x)]C[(y y)] = 0, (53)
(x, y) = 0. (54)
Example 10. If x and y are completely dependent (Figs. 7 and 8),

X,Y
(x, y) =
X
(x) =
Y
(y), x, y | y = ax +b. (55)
Again, the upper part of
X,Y
(x, y) represents the possible pairs {x, y}. Then,

x,y
= 0, (56)
2154 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 9. Addition operation using interval arithmetic.

y
= |a|
x
, (57)
_
U[y] = |a|
_
U[x], (58)
Dep[x, y] =
_ _
(x x)(y y)
X,Y
(x, y) dx dy

x,y
=
_
a (x x)
2
_

X,Y
(x, y) dy dx

x,y
=
a
_
(x x)
2

X
(x) dx

x
=a U[x] = a
_
U[x]
_
U[x] =
a
|a|
_
U[x]U[y], (59)
(x, y) =
a
|a|
= 1. (60)
Uncertainty propagation is carried out as follows.
Example 11. Suppose the relation z = x +y. Then, using interval arithmetic we can check that (Fig. 9)
z
l
= x
l
+y
l
. (61)
Furthermore,
z =
_ _
(x +y)
X,Y
(x, y) dx dy

x,y
=
_
x
_

X,Y
(x, y) dy dx

x,y
+
_
y
_

X,Y
(x, y) dy dx

x,y
=
_
x
X
(x) dx

x
+
_
y
Y
(y) dy

y
= x + y, (62)
U[z] =
_ _
[(x x) +(y y)]
2

X,Y
(x, y) dx dy

x,y
=
_
(x x)
2
_

X,Y
(x, y) dy dx

x,y
+
_
(y y)
2
_

X,Y
(x, y) dy dx

x,y
+2
_ _
(x x)(y y)
X,Y
(x, y) dx dy

x,y
=
_
(x x)
2

X
(x) dx

x
+
_
(y y)
2

Y
(y) dy

y
+2
_ _
(x x)(y y)
X,Y
(x, y) dx dy

x,y
=U[x] +U[y] +2 Dep(x, y). (63)
It can be seen that, for the same z, dependency between x and y modies U[z].
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2155
The above-mentioned operations can be simplied using array notation:
x =
_
x
y
_
(64)
and
E[x] (x
1
, x
2
, x
3
, x
4
), (65)
which stands for
E[x] (x
1
, x
2
, x
3
, x
4
),
E[y] (y
1
, y
2
, y
3
, y
4
). (66)
Denition 13. We can dene the uncertainty matrix of x as
U[x] =C[(x x)(x x)
T
]
=C
_
(x x)
2
(x x)(y y)
(x x)(y y) (y y)
2
_
=
_
U[x] Dep[x, y]
Dep[x, y] U[y]
_
. (67)
Note that, in the case of independency between x and y, uncertainty matrices are diagonal, this means,
U[x] =
_
U[x] 0
0 U[y]
_
. (68)
Example 12. For the relation z = Ax +b, we have that
z
l
= Ax
l
+b, (69)
and
z = A x +b, (70)
U[z] = U[Ax +b] = C[A(x x)(x x)
T
A
T
] = AU[x]A
T
. (71)
Example 13. The previous example in which z = x +y can also be solved using this notation:
z =
_
1 1
_
_
x
y
_
, (72)
z
l
=
_
1 1
_
_
x
l
y
l
_
(73)
and
z =
_
1 1
_
_
x
y
_
, (74)
U[z] =
_
1 1
_
_
U[x] Dep[x, y]
Dep[x, y] U[y]
_ _
1
1
_
= U[x] +U[y] +2 Dep[x, y]. (75)
Example 14. Suppose that z = Ax +By +c. In this case,
z
l
= Ax
l
+By
l
+c (76)
2156 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
and
U[z] =U[Ax +By +c]
=C[A(x x)(x x)
T
A
T
+B(y y)(y y)
T
B
T
+A(x x)(y y)
T
B
T
+B(y y)(x x)
T
A
T
]. (77)
If x and y are independent, which will occur later on in the Kalman lter equations, we obtain
U[z] = AU[x]A
T
+BU[y]B
T
. (78)
Example 15. In the case of a non-linear function, z = f(x),
z
l
= f(x
l
) (79)
and
z
, z and U[z] are calculated from the trapezoidal distributions of z.
This is, at least, in theory. The elements of the diagonal of U[z] can be obtained from E[z]. But the Kalman lter
will also need the dependency between its components, and there exists an implementation problem in its calculation
from Dep[x, y], because the propagation of a joint possibility distribution through a non-linear function produces a
non-uniform distribution too complicated to be managed. So, although some accuracy is lost, the best way to obtain it
is from linearization. We will follow the next steps:
(1) Linearize f:
z z +A(x x). (80)
(2) Calculate an approximation of U[z]:
U

[z] =
_
U

[z
1
] Dep

[z
1
, z
2
]
Dep

[z
1
, z
2
] U

[z
2
]
_
= AU[x]A
T
. (81)
(3) Obtain the dependency index:
(x, y) =
Dep

[z
1
, z
2
]

[z
1
]U

[z
2
]
. (82)
(4) Propagate
X
(x) and
Y
(y) to obtain
Z
1
(z
1
) and
Z
2
(z
2
).
(5) Obtain U[z
1
] and U[z
2
] from
Z
1
(z
1
) and
Z
2
(z
2
).
(6) Calculate the dependency of z:
Dep[z
1
, z
2
] = (x, y)
_
U[z
1
]U[z
2
]. (83)
(7) Build the uncertainty matrix:
U[z] =
_
U[z
1
] Dep[z
1
, z
2
]
Dep[z
1
, z
2
] U[z
2
]
_
. (84)
4. Building a fuzzy least-square estimator
We will now see how to build a least-square estimator using possibilistic techniques. Consider the following obser-
vation model
z(k) = H(k)x +w(k), (85)
where x is the unknown real state (i.e. non-fuzzy), z(k) is the observation, w(k) the measurement noise, and H(k) the
observation matrix at instant k. If the noise has an associated possibility distribution, center of gravity and uncertainty
matrix, respectively (Fig. 10):

E[w(k)] (w
1
(k), w
2
(k), w
3
(k), w
4
(k)),
w(k) = 0,
U[w(k)] = R(k),
(86)
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2157
Fig. 10. Possibility distribution of one component of w(k).
Fig. 11. Possibility distribution of one component of z(k).
then, the observation inherits its uncertainty as follows (Fig. 11):
z
l
(k) = H(k)x +w
l
(k), (87)

E[z(k)] (z
1
(k), z
2
(k), z
3
(k), z
4
(k)),
z(k) = H(k)x,
U[z(k)] = R(k).
(88)
After k observations, the state x can be estimated from the accumulated observation z
k
= H
k
x +w
k
, with
z
k
=

z(1)
.
.
.
z(k)

, H
k
=

H(1)
.
.
.
H(k)

, w
k
=

w(1)
.
.
.
w(k)

. (89)
Now we have that
_
w
k
= 0,
U[w
k
] = R
k
(90)
with
R
k
=

R(1) 0 0
0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
0
0 0 R(k)

(91)
and
_
z
k
= H
k
x,
U[z
k
] = R
k
.
(92)
The least-square estimation procedure consists of minimizing (w
k
)
T
(R
k
)
1
(w
k
), this means,

x
(w
k
)
T
(R
k
)
1
(w
k
) = 0. (93)
Expanding this expression we have

x
(w
k
)
T
(R
k
)
1
(w
k
) =
x
[z
k
H
k
x]
T
(R
k
)
1
[z
k
H
k
x]
=2(H
k
)
T
(R
k
)
1
z
k
+2(H
k
)
T
(R
k
)
1
H
k
x
=0. (94)
2158 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 12. Possibility distribution of one component of x(k).
This means that the estimation of x at instant k is given by
x(k) = [(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
z
k
. (95)
As z
k
is a fuzzy variable, x(k) is also fuzzy, so we can obtain its possibility distribution,
E[ x(k)] ( x
1
(k), x
2
(k), x
3
(k), x
4
(k)), (96)
x
l
(k) =[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
z
k
l
=[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
[H
k
x +w
k
l
]
=x +[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
w
k
l
(97)
and its center of gravity
C[ x(k)] =[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
z
k
=[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
H(k)x
=x. (98)
This is an important result which means that the optimal estimation from the least-square point of view is centered in
the real value of the state (Fig. 12).
Furthermore, the variance of this estimation is given by
U[ x(k)] =[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
U[z
k
](R
k
)
1
H
k
[(H
k
)
T
(R
k
)
1
H
k
]
1
=[(H
k
)
T
(R
k
)
1
H
k
]
1
(H
k
)
T
(R
k
)
1
H
k
[(H
k
)
T
(R
k
)
1
H
k
]
1
=[(H
k
)
T
(R
k
)
1
H
k
]
1
=P(k). (99)
We can improve this method from a computational point of view, by using the recursive least-square estimation. By
denoting
z
k+1
=
_
z
k
z(k +1)
_
, H
k+1
=
_
H
k
H(k +1)
_
, w
k+1
=
_
w
k
w(k +1)
_
(100)
and
R
k+1
=
_
R
k
0
0 R(k)
_
(101)
we can recalculate the variance
P
1
(k +1) =(H
k+1
)
T
(R
k+1
)
1
H
k+1
=
_
(H
k
)
T
H
T
(k +1)
_
_
R
k
0
0 R(k +1)
_
1
_
H
k
H(k +1)
_
=(H
k
)
T
(R
k
)
1
H
k
+H
T
(k +1)R
1
(k +1)H(k +1), (102)
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2159
P(k +1) =[(H
k
)
T
(R
k
)
1
H
k
+H
T
(k +1)R
1
(k +1)H(k +1)]
1
=P(k) P(k)H
T
(k +1)[H(k +1)P(k)H
T
(k +1)
+R(k +1)]
1
H(k +1)P(k)
=P(k) P(k)H
T
(k +1)S
1
(k +1)H(k +1)P(k)
=[I W(k +1)H(k +1)]P(k), (103)
where
S(k +1) = H(k +1)P(k)H
T
(k +1) +R(k +1), (104)
W(k +1) = P(k)H
T
(k +1)S
1
(k +1) (105)
and the state estimation is
x(k +1) =[(H
k+1
)
T
(R
k+1
)
1
H
k+1
]
1
(H
k+1
)
T
(R
k+1
)
1
z
k+1
=P(k +1)[(H
k
)
T
H
T
(k +1)]
_
R
k
0
0 R(k)
_
1
_
z
k
z(k +1)
_
=[I W(k +1)H(k +1)]P(k)
[(H
k
)
T
(R
k
)
1
z
k
+H
T
(k +1)R
1
(k +1)z(k +1)]
=[I W(k +1)H(k +1)] x(k)
+W(k +1)[S(k +1) H(k +1)P(k +1)H
T
(k +1)]
R
1
(k +1)z(k +1)
= x(k) +W(k +1)[z(k) H(k +1) x(k)]. (106)
Again, the center of gravity of this estimation is x:
C[ x(k +1)] =C[ x(k)] +W(k +1)[C[z(k)] H(k +1)C[ x(k)]]
=x +W(k +1)[H(k +1)x H(k +1)x]
=x. (107)
5. The fuzzy Kalman lter
Suppose now that the process and observation models of a system are described as follows:
x(k +1) = (k)x(k) +G(k +1)u(k +1) +v(k +1), (108)
z(k +1) = H(k +1)x(k +1) +w(k +1), (109)
where k and k +1 are two consecutive instants of time, x(k) is the state, u(k +1) is the system input and z(k +1) is
the observation.
Six fuzzy variables are involved: the state estimation after having integrated the previous observation x(k|k), the
process noise v(k +1), the state estimation without having integrated the next observation x(k +1|k), the measurement
noise w(k +1), the observation estimation z(k +1) and the state estimation after having integrated the last observation
x(k + 1|k + 1). Each of them has an associated possibility distribution, center of gravity and uncertainty matrix
(Figs. 1318):
_
E[ x(k|k)] ( x
1
(k|k), x
2
(k|k), x
3
(k|k), x
4
(k|k)),
U[ x(k|k)] = P(k|k),
(110)

E[v(k +1)] (v
1
(k +1), v
2
(k +1), v
3
(k +1), v
4
(k +1)),
v(k +1) = 0,
U[v(k +1)] = Q(k +1),
(111)
2160 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 13. Possibility distribution of one component of x(k|k).
Fig. 14. Possibility distribution of one component of v(k +1).
Fig. 15. Possibility distribution of one component of x(k +1|k).
Fig. 16. Possibility distribution of one component of w(k +1).
Fig. 17. Possibility distribution of one component of z(k +1).
Fig. 18. Possibility distribution of one component of x(k +1|k +1).
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2161
_
E[ x(k +1|k)] ( x
1
(k +1|k), x
2
(k +1|k), x
3
(k +1|k), x
4
(k +1|k)),
U[ x(k +1|k)] = P(k +1|k),
(112)

E[w(k +1)] (w
1
(k +1), w
2
(k +1), w
3
(k +1), w
4
(k +1)),
w(k +1) = 0,
U[w(k +1)] = R(k +1),
(113)
_
E[ z(k +1)] ( z
1
(k +1), z
2
(k +1), z
3
(k +1), z
4
(k +1)),
U[ z(k +1) z(k +1)] = S(k +1),
(114)

E[ x(k +1|k +1)] ( x

1
(k +1|k +1), x
2
(k +1|k +1),
x
3
(k +1|k +1), x
4
(k +1|k +1)),
U[ x(k +1|k +1)] = P(k +1|k +1).
(115)
The Kalman lter steps [16] are exactly the same as in the probabilistic case, because uncertainty matrix notation allows
an analog formulation. The only difference is the way in which the estimations are propagated through the models:
(a) Prediction:
x
l
(k +1|k) = (k) x
l
(k|k) +G(k +1)u(k +1) +v
l
(k +1), (116)
P(k +1|k) = (k)P(k|k)
T
(k) +Q(k +1), (117)
where x(k|k) and v(k +1) are independent.
z
l
(k +1) = H(k +1) x
l
(k +1|k) +w
l
(k +1), (118)
S(k +1) = H(k +1)P(k +1|k)H
T
(k +1) +R(k +1), (119)
where x(k +1|k) and w(k +1) are independent.
(b) Observation:
z(k +1). (120)
(c) Matching: A possibilistic criterion to accept or reject the observation is

Z
(z(k +1)) (121)
for each component of z(k +1), where is a condence value.
(d) Correction:
x
l
(k +1|k +1) =[I W(k +1)H(k +1)] x
l
(k +1|k)
+W(k +1)z
l
(k +1), (122)
P(k +1|k +1) =[I W(k +1)H(k +1)]P(k +1|k)[I W(k +1)H(k +1)]
T
+W(k +1)R(k +1)W
T
(k +1)
=P(k +1|k) W(k +1)H(k +1)P(k +1|k)
P(k +1|k)H
T
(k +1)W
T
(k +1)
+W(k +1)S(k +1)W
T
(k +1). (123)
We must remember that, in all the above operations involving propagation of possibility distributions, the sign of the
derivatives must be taken into account.
To obtain the fuzzy Kalman gain W(k + 1) that minimizes this uncertainty P(k + 1|k + 1) we must calculate the
solution of

W(k+1)
P(k +1|k +1) = 0, (124)
where

W(k+1)
P(k +1|k +1) = 2P(k +1|k)H
T
(k +1) +2W(k +1)S(k +1). (125)
2162 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 19. Possibility distributions for x(4|4).
From this equation, the optimal gain is given by
W(k +1) = P(k +1|k)H
T
(k +1)S
1
(k +1). (126)
This means that the estimation uncertainty can be simplied to
P(k +1|k +1) = P(k +1|k) W(k +1)S(k +1)W
T
(k +1). (127)
or
P(k +1|k +1) = [I W(k +1)H(k +1)]P(k +1|k). (128)
Example 16. Suppose that a mobile robot is located at (Fig. 19)
x(4) =
_
x(4)
y(4)
_
(129)
with
E[ x(4|4)] (0.173, 0.373, 0.673, 0.773), (130)
E[ y(4|4)] (0.283, 0.483, 0.783, 0.883), (131)
this means,
U[ x(4|4)] = 0.019, (132)
U[ y(4|4)] = 0.019. (133)
If we suppose that x(4|4) and y(4|4)) are independent, then
P(4|4) =
_
0.019 0
0 0.019
_
. (134)
The possible position of the robot can also be drawn from an upper view with two rectangles reecting the possible
and impossible regions (Fig. 20):
To explain with a very simple example how the algorithm works, we will suppose that the robot is completely still,
this means that the process model is dened by
(4) = I, (135)
u(5) = 0, (136)
E[v(5)] (0, 0, 0, 0), (137)
Q(5) = 0. (138)
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2163
Fig. 20. Possible and impossible regions for x(4|4).
Fig. 21. Possibility distribution for w(5).
Fig. 22. Possibility distribution for z(5).
The sensor model is dened by a proximity sensor that is oriented in the y direction, with (Fig. 21)
H(5) = [0 1], (139)
E[w(5)] (0.233, 0.033, 0.033, 0.267), (140)
R(5) = 0.011. (141)
Supposing that the next observation is z(5) = 0.498, then the estimation at k = 5 is obtained by (Fig. 22)
(a) Prediction:
E[ x(5|4)] (0.173, 0.373, 0.673, 0.773), (142)
E[ y(5|4)] (0.283, 0.483, 0.783, 0.883), (143)
P(5|4) =
_
0.019 0
0 0.019
_
, (144)
z
l
(5) = H(5) x
l
(5|4) +w
l
(5) = y
l
(5|4) +w
l
(5), (145)
E[ z(5)] (0.05, 0.45, 0.75, 1.15), (146)
S(5) = H(5)P(5|4)H
T
(5) +R(5) = 0.030. (147)
(b) Observation:
z(5) = 0.498. (148)
2164 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 23. Possibility distribution for y(5|5).
Fig. 24. Possible and impossible regions for x(5|5).
(c) Matching:

Z
(0.498) = 1. (149)
(d) Correction (Fig. 23):
W(5) = P(5|4)H
T
(5)S
1
(5) =
_
0
0.633
_
, (150)
x
l
(5|5) = [I W(5)H(5)] x
l
(5|4) +W(5)z(5), (151)
E[ x(5|5)] (0.173, 0.373, 0.673, 0.773), (152)
E[ y(5|5)] (0.419, 0.492, 0.603, 0.639), (153)
P(5|5) = P(5|4) W(5)S(5)W
T
(5) =
_
0.019 0
0 0.007
_
. (154)
We can see that the uncertainty of y decreases. Fig. 24 represents the estimation of the nal position of the robot after
iteration k = 5.
6. Practical application
In practice, process and observation models are non-linear, and it is necessary to use an extended possibilistic lter.
For the calculation of the estimations, the method of propagating the four points of the trapezoidal distributions is also
used. But for the calculation of the uncertainty matrices, which are necessary to calculate the Kalman gain matrix, the
method of the dependency index obtained by linearization is employed, as has been explained already.
The extended lter steps follow:
(a) Prediction:
x
l
(k +1|k) = f(k +1, x
l
(k|k), u(k +1)) +v
l
(k +1), (155)
P(k +1|k) = (k)P(k|k)
T
(k) +Q(k +1), (156)
z
l
(k +1) = h(k +1, x
l
(k +1|k)) +w
l
(k +1), (157)
S(k +1) = H(k +1)P(k +1|k)H
T
(k +1) +R(k +1). (158)
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2165
(b) Observation:
z(k +1). (159)
(c) Matching:

Z
(z(k +1)) (160)
for each component of z(k +1).
(d) Correction:
x
l
(k +1|k +1) = [I W(k +1)H(k +1)] x
l
(k +1|k) +W(k +1)z
l
(k +1), (161)
P(k +1|k +1) = P(k +1|k) W(k +1)S(k +1)W
T
(k +1), (162)
W(k +1) = P(k +1|k)H
T
(k +1)S
1
(k +1). (163)
Of course, in this case, the estimation is not optimal, but suboptimal, as happens with the probabilistic version of
the extended Kalman lter.
The following examples show the application of the extended possibilistic Kalman lter for the localization of a
mobile robot (B21 robot from iRobots company). The state vector is the oriented position of the robot,
x(k) =

x(k)
y(k)
(k)

(164)
the sensor is a laser telemeter (SICK LMS-200), while the process model is the robot odometry equation:

x(k +1)
y(k +1)
(k +1)

x(k)
y(k)
(k)

d(k) cos ((k) +(k)/2)

d(k) sin ((k) +(k)/2)
(k)

, (165)
where d(k) and (k) are the drive and steer encoder incremental values, respectively, and
u(k) =
_
d(k)
(k)
_
. (166)
Example 17. A rst experiment reects the simulation of the mobile robot following a straight line (y-axis), starting
at
x(0) =

x(0)
y(0)
(0)

0
0
/2

(167)
and localizing itself by using one landmark located at
x
L
=
_
x
L
y
L
_
=
_
10
10
_
. (168)
The observation is the relative position of the landmark with respect to the robot:
z(k) =
_
z
1
(k)
z
2
(k)
_
=
_
cos (k) sin (k)
sin (k) cos (k)
_ __
x
L
y
L
_

_
x(k)
y(k)
__
. (169)
Fig. 25 represents the evolution of the possibility distributions of the estimation components x(k|k), y(k|k) and

(k|k).
2166 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
0 10 20 30 40 50 60 70 80 90 100
-0.4
-0.2
0
0.2
0.4
X evolution
0 10 20 30 40 50 60 70 80 90 100
-5
0
5
10
Y evolution
0 10 20 30 40 50 60 70 80 90 100
1.5
1.55
1.6
1.65
Theta evolution
Fig. 25. Possibility distributions evolution.
Each graph shows the four points of the corresponding trapezoidal distribution. It is also possible to see that the
probabilistic estimation (central line), which was run in parallel, is always inside the possible region.
Fig. 26 shows the evolution of the uncertainty of the estimation components, U[x], U[y] and U[], together with
the probabilistic variances
2
x
,
2
y
and
2

. The initial estimation of the position of the robot is

E[ x(0|0)] (0.3, 0.2, 0.2, 0.3), (170)
E[ y(0|0)] (0.3, 0.2, 0.2, 0.3), (171)
E[

(0|0)]
_

2
0.03,

2
0.02,

2
+0.02,

2
+0.03
_
, (172)
while the estimated position of the landmarks is
E[ x
L
] (0.90, 9.94, 10.06, 10.10), (173)
E[ y
L
] (0.90, 9.94, 10.06, 10.10), (174)
E[

L
] (0.010, 0.006, 0.006, 0.010). (175)
The experiment is simple, but the lter seems to work in an appropriate manner.
Example 18. The second experiment reects a more complex simulation in which the same robot moves inside a
room, localizing itself by using three landmarks and three walls, represented as segments. This room is the same one
in which the actual robot will move in the next experiment.
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2167
0 10 20 30 40 50 60 70 80 90 100
0
0.01
0.02
0.03
X variance
0 10 20 30 40 50 60 70 80 90 100
0
0.01
0.02
0.03
Y variance
0 10 20 30 40 50 60 70 80 90 100
0
2
4
x 10
-4
Theta variance
Fig. 26. Uncertainty evolution.
Fig. 27. Navigation with landmarks and segments.
Each segment is represented using the position of its middle point:
x
S
=

x
S
y
S

. (176)
2168 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Fig. 28. URBANO tour-guide robot.
Now the robot observes both landmarks and segments. The observation of the latter is the relative distance and angle
of the segment with respect to the robot:
z(k) =
_
z
1
(k)
z
2
(k)
_
=
_
sin
S
(k) cos
S
(k) 0
0 0 1
_

x
S
y
S

x(k)
y(k)
(k)

. (177)
Fig. 27 shows both the odometry and the estimated paths after having running for a while. Uncertainty is only shown
for x(k) and y(k) as a pair of rectangles which represent the possible and impossible regions.
Example 19. The third experiment was carried out with the actual robot, a mobile platform called URBANO, and
used for tour guiding at museums and trade fairs (Fig. 28).
The experiment was performed at the UPM laboratory, and considers not only landmarks and segments, but also
edges. All of them have a possibilistic position which was dened by a human being, who previously used a software
tool especially designed for this purpose.
F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170 2169
The position of each edge has the form
x
E
=
_
x
E
y
E
_
(178)
and, logically, each of them must correspond to a segment (wall). The same happens with landmarks, which are located
at walls. The observation model is the same as the one used for landmarks.
7. Conclusion
A new fuzzy Kalman lter has been introduced which uses the classical extended Kalman lter equations, but is able
to manage possibilistic uncertainty. Its main difference compared with other Kalman lters commonly treated in the
literature which use fuzzy logic is that, in this proposed lter, fuzzy logic is included in the variables denition, by
representing their uncertainty using possibility distributions instead of Gaussian distributions. Hence, fuzzy variables
replace random ones, and not as other authors do in replacing the process and observation equations by fuzzy rules.
Precisely, one main problem of the classical probabilistic estimation is derived from the use of Gaussian functions.
In many cases, uncertainty is asymmetric, and additionally in others it is not probabilistic. Furthermore, linearizing a
non-linear model and forcing the propagation to keep a Gaussian shape, produces accumulation of errors which can
lead to inconsistencies in the lter when the number of iterations is very large.
On the other hand, new uncertainty measurements for possibility distributions are dened, equivalent to the variance
matrix. This guarantees that the well-known Kalman lter equations can be managed in a very similar way, and that
the optimal gain for the linear case is exactly the same as when using probability. The error due to the calculation of the
uncertainty matrices is also reduced by obtaining the uncertainty directly from the propagated distributions. We leave
it open to the reader to use, in the fuzzy Kalman lter, the denition of mean value of a fuzzy number instead of its
center of gravity.
Practical experiments have been carried out to test the theoretical results. Some of them have been implemented with
a real mobile robot, resulting in excellent results. Experiments with the real robot have not shown any benet of using
more than two -cuts. The experiments also show that, although the accuracy is not necessary to navigate properly, it
can also be achieved using fuzzy logic.
But in this article we do not state that this possibilistic lter will always yield better than the probabilistic one. We
simply argue that we must choose between these different approaches depending on the available type of knowledge
which describes our system. Clearly the possibilistic version makes more sense in applications where uncertainty
is managed in a qualitative manner. Some differences between the probabilistic and the possibilistic approaches are
illustrated in Table 1.
Furthermore, the selection of one method does not exclude the other. In fact, both types of uncertainty representation
can be applied in parallel, as we have seen in the rst experiment (see Example 17). Normally, probabilistic estimation
should always remain inside the possible region.
Table 1
Comparison between approaches
Probabilistic Possibilistic
The area of the distribution is always one The area of the distribution changes
Distribution shape is usually symmetric Distribution shape can be asymmetric
Observation noise is estimated by experimentation Observation noise is estimated by approximation
An accurate model is needed, or a lot of measurements will be
rejected
Allows larger uncertainty in the models, that will be corrected by
the lter
It is a strict lter which rejects small errors It allows bigger errors
It only accepts probable data It only rejects impossible data
The initial state estimation should be coherent with the initial
variance matrix
The initial state estimation should be coherent with the initial
possible region
2170 F. Mata et al. / Fuzzy Sets and Systems 157 (2006) 21452170
Acknowledgments
We deeply thank Mr. Andrs Feito for his detailed work, who spent more than one year programming the above
algorithm, detecting and solving implementation problems, and testing everything in a robotic platformwith successful
results. We also want to thank the anonymous reviewers and the journal editors for their contribution improving the
quality of the paper.
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