Escolar Documentos
Profissional Documentos
Cultura Documentos
by G GDean
Establishment,
Malvern, Worcs
RoyalSignalsResearch
nii+ Kyi+t
'
complicated
l;l. li il[;],
case
Now considera slightly more complicated case. Suppose you .have noisy
of the speedand position
measurements
of a train travelling along a straight
lil,.,
69
Dean
the true voltagecan be obtained by
Ti.rt
K is someconstantto be decided.
The vilrirnce P,*' of the new estimateii+r is then givenby
4*r:E'[(i,*
FiBI
1r
I
i
'
*i* tli. F U - K) ni
it+tlt=iiliill+iiti
r'itla+2"
it*r,,=ir,+in
i+lii+KY i*l
ii*ui=iiti
ft ,(, ' o ll
Lo KzJ
In this casethe equationslook rather
like two sets of those derived in the
voltage problem describedearlier:
ii+r/,+r = (1-K1)(ii+ii
i4111*1= (I-K2)ii
Estrmate
of
variable
using
Estimateof
variables
using old
values
L,
+ KJi*l
* Kzii*t
Measurement
of new
variable
fr rr rarr'r:l [r]
Q - l o 1 ^ t I x , = l rI
Loo l
I,
Lil,
70
Lt
you
state variables themselves and how
they behave before wondering what the
matdces do,
Msasurement+ Control,Volume19,Ntarch1986
+K:E[(],-E(tr* r))rl
+2Q- rqKE[(it-E(i))
x (-v,*, -E(1,* r))j
(&)'
2
values
Theoretically,ii+t/r+r will be a better
estimate of ii+1, the true value, than
the measutement);+1.
At this point you might wonder how
we get the first estimateof positionand
velocity. It is noimally just the first
measuredvalues.afterwards,the filter
descnbed above can be used. Once
asain values for K,, K' can be-tEGF
mrneoDv exDenmenl.
Returning to the State Tnnsition
Matrix, C, we can consider a more
advancedcase.For the caseof the train
we could assumein our model that the
train can accelerateuniformly.
In this case/i and X, will changeto:
Now:
I - Efr'* r) ):]
l._ P, I
l ' ' - p , + n , * ,I
and
",.,=j'R:.' =1t-*)",
ln other words, if tr is given the value
F,
4+R,*t'
the varianceof the new estimateii+l is
minimised. We know the variance of
this estimateto be P,*,=(1-lr.')fl, so if
anothei measurement.yi+r, is made
this pan be combined with ,t,+r to give
ri+2; an even better esiimate of the
volmge.
When the statevector has more than
one term, the maths is essentiallythe
same, but trickier. Without going into
details, it can be shown that for best
results1( variesand is given by:
Kur,*r= P,*rfllr,
x (rI,+1Pi*r/i4,1r+R,+r)-'
Dean
c o - v l r i i u r c c m r L t r i xo f t h e l i k e l v
i n t h c r r e i r : J L l r e dv u l u e s l i
other
Liinedby
1:;"lt*t
lerl.
lerv esti-
vaiucs.
For crilmplc. if I itnd .t were meitsured n \\'ould hc
R.l
fR,
t
l
Rr
LR,
I
r fof lhe
L )i s t h e
\ o^a,s rr;s.,
*-.\t
r-t*;\"
R r i s I h c v a r i u n clen t b e . ! r e a d i n g
=E{(-r-.)r}
Rr is the variilncein-the j readins
=E1ri i)ri
find
,,1.
^=
lf:f:I '=li: ;il
ie for the original tmin example
j
r rliuc
Rl
Fig 2
Forrunately.
thiseffectis very rare and
ersy to c;rrect by increasingthe e
mxtrix coefficients.
pleasedo not let rhe aboveproblems
put you otT too rnuch,For most cases
the limitationsonly resultin a slightly
degradedp.,rf,rrmrrceof a rdthergood
filtler: howr.-ver.orher tvpes of filt;ring
should not be forgorien. To ctarif!
\r,hathas beenstatedso far therenow
followsa workedexample:analvsing
a
chemicalreactionA first orderchenicalreactionis one
thilt obeysthe equation
i=-kx
wherer is the amount-of unreacted
chemical
i is the rate of reaction
k is the .rateconstant'
E
Rr,
;_ ls Ine lmprovement tn.r varlaDce
j ' . _ . 1 5
tc: ol
l'..oii
r. give
ie than
rllv the
ng into
or best
Q o +ur-
P,,,.,,; (l - K1*1H
;,1)P,a,;
t)li'l
1''i',;..,
ton
simpli-
ln the
' i c e sP
.
R i s a
P,,,,,:Q,P,,,Q,r+e,
t,qt
I_llt"-@
LnJ-?-G, (lq;ia
r q . , l r i c c .\ i r ) , J t l r ( m ( . r . J r e m i n l r L l \
' : n p l c : , r r Jt h r \ y \ t e m J r J n o r c h r g e
s lh rrm(. Wirh rrrr rr:ir <rrmole r.r
m ' v r e l r r " \ r I l l h C u n c < r t d l n t \r n r h ,
"r ldelncss,rTlFliiiillT
itr.1ir]hrne\s
n.p! P (and dicriiurc A) trom rending
torrJrdr lurlr rlrrn. mlqy rg,"surei
ntcnlsnJve oeenDlade
The P ntatri{ has to be inrtixliscd
k rutrbi.
some timitations
T h < s o l u t i o nt o t h L e q u a t r o ni s
-r=,li) exp (-ft)
,Y,r is the initial
amoun!of chemical (This is a similar
equation to discharginga capacitor,
where-r is voltrge and t is CR )
Assumethar onlv noisy valueso{ .r
can be measuredat regularintervais
but estimltesof -i are also fequiredat
each inleryal (perhapsto get valuesfor
g!.Y!;:
u e \ .o r t n e c o . \ l l r n c c \ c . r nb < u . e d .
f i n J I l t . i t i ( f ' o . \ i b l ef o r r h c t r l l e r r o
becomeunstable.In this case the P
matrix has some negativeterms that
\rcep inrJ ir. OJireor,(n rhi\ r. b.-c . r r r sreh e Q m . r r r r rh r . n u r h : d t c r c e
enuugh \rlUe\. or beL.rU.ec|mpul;r
r ' . r l c u l u t r ohn. r. r en o r b e e n . r r t i i i c n t l v
accurate(too ferv bits have been used
to describea floatingpoint nuober).
1 N B f h e e x p r n s i o ro l e , < p{ j t r r
I tr rt(r is.mrli.1
Expressing
thisxs matrices:
rs
f- | - i t ar'l f.,l
I.tl
lO r I l.]
^t')-u
t ^t
A better system model allows j ro"
chinge. Srncei is proportionalio _r
f v l e a s u r e m e n+t C o n v { t , V o t l m e 1 9 , M a r c h 1 9 8 6
\ /
J]fu|.d X
= -K1,
7i
Dean
Art o- =
itr ^t)1'
_ t t : _ '+- 4 + t \ ^ Lu
;
\'4
l'\
t4'
* l-n, Av
7,1
7-
ttme
Fig J,
then:
tlecausethen
It i
'-."=
'"
Ii|
It folLowsthat:
&.*,*'s,.ti,+t^-
.:\
f'],- _
- f L i r + s r : )l t I [ x " l
't
T
Q s
J r
irli'
:".,/.j
Ltl
l o 1 r + p r J L r "l
. .=; -.J::tar-Ll
AI
'
fr ol
l0 1l
L_r
l
r,,
I
V
;i1t2.
tn D .71
'
vector
o ' ) ' . =( + r " ! ! J * . measurement
xn '
y=|.'l
r,Af
=(1+p).r,
t lod-!J,-
R,,l
"' I
by symmetry Rlz=R:r
Rx !q-(tb-e,.4qqurqcy
i{r.Fq49ullgthe
amount of chmicary ie ir is the
varianceofy iihd itriiild be knorvn by
experiment.
, r -^<l
o= I ( ?)
I o
?"ttnY
0 /1"
vLLo;1
(aAr)' 1
,Dean
n . measunng'
i viilue can be
lt the variance
,ments,
value between
there is little
measulements
mption will be
'le Rrr and R22
th time iI the
rhe amount of
lnt,
.i to determine
I misrepresenls
.tect model 0
'ro, but rn Prac_
:rve some small
!en! the filter
rhe tlrst system
cv becausei is
' of change of
ras not been
lime period Al
in rate will be
rs a co-vanance
.-l
I
.r: I
e in it causedbY
L1propagationof
in -r causedbY
:em modelof i;
l) known (eilher
ledge, or from
? at any instant
me, so will the I
lg the O and fi
ialisation is re'
.iLl be found fiom
rements and Po/o
.ss prior infsmasive the i and 'i
Jf measurements.
r set to the cois found from the
v work simplY bY
.lnd vector values
rtions.
irn filtet described
ancl a comPulan rnd simPlerway
i\ called the 4-p
rensionto the a-P
ior uniform accel_
irl-7 filter.
]F-l.ffidirtr.relmd
Acknowledgements
t would like to thank CEC Avionics
who taught me the basicsof Kalman
filtering, and in particular Glyn Thomas,my mentor.Also I would like to
thank Bill Strettonof the Civil Aviation Authority and RSRE for encouragingme to publish this article.
APPEIIDIXA
Collectionof the Kalman filrer equations:
Prediction;
Pi*ui=QiPttiQtr+Qi
Measurementl
K,, t,i*,= F,*,H i*tr(Hi*,4*r,H,*,r+R,*,)-I
F;, n1,;Q - K,* y,* rH1*)F ;* y1
Predictionstagesestimatethe fufure valuesof the statevector,Measurcment
stagesestimatethe current valuesof the statevector.
If a measurement
is missedrhenin place;f the measuremenl
equalions
-f,+t/,+tis set to i,+ui
f*,,r*, is set to P,*,r,
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73