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Kalman Filter

The document provides an introduction to the Kalman filter, which is an optimal recursive algorithm for processing linear and non-linear data. It describes the Kalman filter as a set of mathematical equations that uses an iterative, recursive process to provide optimal estimates of past, present and future states based on measurements that may be uncertain and noisy. The key aspects of the Kalman filter covered are that it is optimal for linear systems with Gaussian noise, it is recursive so it only needs the previous state to operate, and it uses variables like the state, process noise, measurement noise, Kalman gain, and prediction error covariance to iteratively calculate state predictions and updates. Common applications of the Kalman filter mentioned include tracking, navigation, control systems, image processing, and

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Sanjay Kumar Gupta
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261 views11 pages

Kalman Filter

The document provides an introduction to the Kalman filter, which is an optimal recursive algorithm for processing linear and non-linear data. It describes the Kalman filter as a set of mathematical equations that uses an iterative, recursive process to provide optimal estimates of past, present and future states based on measurements that may be uncertain and noisy. The key aspects of the Kalman filter covered are that it is optimal for linear systems with Gaussian noise, it is recursive so it only needs the previous state to operate, and it uses variables like the state, process noise, measurement noise, Kalman gain, and prediction error covariance to iteratively calculate state predictions and updates. Common applications of the Kalman filter mentioned include tracking, navigation, control systems, image processing, and

Uploaded by

Sanjay Kumar Gupta
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Ulrik Sderstrm

[email protected]
9 Dec 2005

Kalman filter

General Introduction

What is a Kalman filter


z
z

Optimal recursive data processing algorithm


Typical Kalman filter application

Concept introduction
z

Kalman filter
z
z
z

A set of mathematical equations


Iterative, recursive process
Optimal data processing algorithm under certain
criteria
z

Discrete linear data

Extended KF, Unscented KF

Estimates past, present, future states

Optimal
z

Dependent upon the criteria chosen to


evaluate performance
Under certain assumptions, KF is optimal
with respect to virtually any criteria that
makes sense
z
z

Linear data
Gaussian model

Mean = Median = Max

Recursive
z

A Kalman filter only needs info from the


previous state
z
z

Updated for each iteration


Older data can be discarded
z

Saves computation capacity and storage

Variable definition
z
z

xk = state vector, process to examine


wk = process noise
z

vk = measurement noise
z
z

z
z
z
z

White, Gaussian, mean=0, Covariance matrix Q


White, Gaussian, mean=0, Covariance matrix R
Uncorrelated with wk

Sk = Covariance of the innovation, residual


Kk = Kalman gain, gain matrix
Pk = Covariance of prediction error
zk = Measurement of system state
7

Mathematics
z

Xk+1=Axk + wk

posk +1 1 0 posk t 2 / 2
ak
vel = 0 1 vel +
t
k
k +1

zK = posk + vk

More Mathematics
S k = Pk + R
K k = APk S k1
Pk +1 = APk AT + Q APk S k1 Pk AT
xk +1 = Axk + K k ( z k +1 Axk )

Kalman gain
z
z

Kk in the previous slides


Relates the new estimate to the most certain
of the previous estimates
z
z

Large measurement noise -> Small gain


Large system noise -> Large gain

System and measurement noise unchanged


z

Steady-state Kalman Filter

10

Iterative calculations
z

Prediction
z
z

The state
The error covariance

Initial
estimates
Update

Update
z
z
z

Kalman gain
Update with new measurement
Update with new error covariance

Predict

11

Iterative calculations
z

Prediction
z
z

xk=Axk-1 + wk-1

Pk = APk 1 AT + Q APk 1S k11 Pk 1 AT

Update
1
z K = AP S
k
k k
k +1 = Axk + K k ( z k +1 Axk )
z x
z P
k +1 = ( I K k S k ) Pk

Initial
estimates

Update

Predict
12

Conclusions
z

Given
z

A system model
z
z

With random initial state


Driven by white noise

Noisy measurements of linear combinations of the


system state variables

Determine
z

The best estimate of the system state variables

13

Applications

Anything that can be measured and


estimated
z
z

Initial state, noise models, system model


Often difficult to estimate system model
z

z
z
z

Which type of KF should be used?

Estimation
Filtering
Prediction
15

Tracking in VR
z

Pose
z

Where is somebody looking

Head position (any limb)


z

Where is the limb?

16

Navigation
z

Space shuttles
z

Keep shuttle stable

GPS
z

Received GPS signal can be refined with a


Kalman filter

17

Control system
z

Nuclear plants
z
z

Large system
Important to know the system state

Climate control systems


z

Cars, houses

18

Image processing
z

Image compression
z
z

Update compression iteratively


Resembling Matching Pursuit

Image filtering
z
z

Un-linear filtering
Remove certain features

19

Economics
z

Large scale models


z
z
z

Little control
Many parameters
Not correct models

20

10

Fridays presentation
z

MSP 1
z
z

Discrete Kalman filter


Extended Kalman filter

MSP 2
z
z

Unscented Kalman filter


Comparison of EKF and UKF

21

11

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