Kalman Filter: From Wikipedia, The Free Encyclopedia

7/27/2015
KalmanfilterWikipedia,thefreeencyclopedia
Kalmanfilter
FromWikipedia,thefreeencyclopedia
Kalmanfiltering,alsoknownaslinear
quadraticestimation(LQE),isan
algorithmthatusesaseriesof
measurementsobservedovertime,
containingstatisticalnoiseandother
inaccuracies,andproducesestimatesof
unknownvariablesthattendtobemore
precisethanthosebasedonasingle
measurementalone.Thefilterisnamed
afterRudolfE.Klmn,oneofthe
primarydevelopersofitstheory.
TheKalmanfilterkeepstrackoftheestimatedstateofthesystemand
TheKalmanfilterhasnumerous
thevarianceoruncertaintyoftheestimate.Theestimateisupdated
applicationsintechnology.Acommon
usingastatetransitionmodelandmeasurements.
denotesthe
applicationisforguidance,navigation
estimateofthesystem'sstateattimestepkbeforethekth
andcontrolofvehicles,particularly
measurementykhasbeentakenintoaccount
isthe
aircraftandspacecraft.Furthermore,the
correspondinguncertainty.
Kalmanfilterisawidelyapplied
conceptintimeseriesanalysisusedin
fieldssuchassignalprocessingand
econometrics.Kalmanfiltersalsoareoneofthemaintopicsinthefieldofroboticmotionplanningand
control,andtheyaresometimesincludedintrajectoryoptimization.Themultifractionalorderestimatoris
asimpleandpracticalalternativetotheKalmanfilterfortrackingtargets.
Thealgorithmworksinatwostepprocess.Inthepredictionstep,theKalmanfilterproducesestimatesof
thecurrentstatevariables,alongwiththeiruncertainties.Oncetheoutcomeofthenextmeasurement
(necessarilycorruptedwithsomeamountoferror,includingrandomnoise)isobserved,theseestimatesare
updatedusingaweightedaverage,withmoreweightbeinggiventoestimateswithhighercertainty.The
algorithmisrecursive.Itcanruninrealtime,usingonlythepresentinputmeasurementsandthepreviously
calculatedstateanditsuncertaintymatrixnoadditionalpastinformationisrequired.
TheKalmanfilterdoesnotrequireanyassumptionthattheerrorsareGaussian.[1]However,thefilteryields
theexactconditionalprobabilityestimateinthespecialcasethatallerrorsareGaussiandistributed.
Extensionsandgeneralizationstothemethodhavealsobeendeveloped,suchastheextendedKalmanfilter
andtheunscentedKalmanfilterwhichworkonnonlinearsystems.TheunderlyingmodelisaBayesian
modelsimilartoahiddenMarkovmodelbutwherethestatespaceofthelatentvariablesiscontinuousand
wherealllatentandobservedvariableshaveGaussiandistributions.
Contents
1Namingandhistoricaldevelopment
2Overviewofthecalculation
https://en.wikipedia.org/wiki/Kalman_filter
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2Overviewofthecalculation
3Exampleapplication
4Technicaldescriptionandcontext
5Underlyingdynamicsystemmodel
6Details
6.1Predict
6.2Update
6.3Invariants
6.4Optimalityandperformance
7Exampleapplication,technical
8Derivations
8.1Derivingtheaposterioriestimatecovariancematrix
8.2Kalmangainderivation
8.3Simplificationoftheaposteriorierrorcovarianceformula
9Sensitivityanalysis
10Squarerootform
11RelationshiptorecursiveBayesianestimation
12Marginallikelihood
13Informationfilter
14Fixedlagsmoother
15Fixedintervalsmoothers
15.1RauchTungStriebel
15.2ModifiedBrysonFraziersmoother
15.3Minimumvariancesmoother
16FrequencyWeightedKalmanfilters
17Nonlinearfilters
17.1ExtendedKalmanfilter
17.2UnscentedKalmanfilter
18KalmanBucyfilter
19HybridKalmanfilter
20Variantsfortherecoveryofsparsesignals
21Applications
22Seealso
23References
24Furtherreading
25Externallinks
Namingandhistoricaldevelopment
ThefilterisnamedafterHungarianmigrRudolfE.Klmn,althoughThorvaldNicolaiThiele[2][3]and
PeterSwerlingdevelopedasimilaralgorithmearlier.RichardS.BucyoftheUniversityofSouthern
Californiacontributedtothetheory,leadingtoitoftenbeingcalledtheKalmanBucyfilter.StanleyF.
SchmidtisgenerallycreditedwithdevelopingthefirstimplementationofaKalmanfilter.Herealizedthat
thefiltercouldbedividedintotwodistinctparts,withonepartfortimeperiodsbetweensensoroutputsand
anotherpartforincorporatingmeasurements.[4]ItwasduringavisitbyKalmantotheNASAAmes
ResearchCenterthathesawtheapplicabilityofhisideastotheproblemoftrajectoryestimationforthe
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Apolloprogram,leadingtoitsincorporationintheApollo
navigationcomputer.ThisKalmanfilterwasfirstdescribedand
partiallydevelopedintechnicalpapersbySwerling(1958),Kalman
(1960)andKalmanandBucy(1961).
Kalmanfiltershavebeenvitalintheimplementationofthe
navigationsystemsofU.S.Navynuclearballisticmissile
submarines,andintheguidanceandnavigationsystemsofcruise
missilessuchastheU.S.Navy'sTomahawkmissileandtheU.S.Air
Force'sAirLaunchedCruiseMissile.Itisalsousedintheguidance
andnavigationsystemsoftheNASASpaceShuttleandtheattitude
controlandnavigationsystemsoftheInternationalSpaceStation.
RudolfEmilKalman,coinventorand
developeroftheKalmanfilter.
ThisdigitalfilterissometimescalledtheStratonovichKalmanBucyfilterbecauseitisaspecialcaseofa
moregeneral,nonlinearfilterdevelopedsomewhatearlierbytheSovietmathematicianRuslan
Stratonovich.[5][6][7][8]Infact,someofthespecialcaselinearfilter'sequationsappearedinthesepapersby
Stratonovichthatwerepublishedbeforesummer1960,whenKalmanmetwithStratonovichduringa
conferenceinMoscow.
Overviewofthecalculation
TheKalmanfilterusesasystem'sdynamicsmodel(e.g.,physicallawsofmotion),knowncontrolinputsto
thatsystem,andmultiplesequentialmeasurements(suchasfromsensors)toformanestimateofthe
system'svaryingquantities(itsstate)thatisbetterthantheestimateobtainedbyusinganyonemeasurement
alone.Assuch,itisacommonsensorfusionanddatafusionalgorithm.
Allmeasurementsandcalculationsbasedonmodelsareestimatestosomedegree.Noisysensordata,
approximationsintheequationsthatdescribehowasystemchanges,andexternalfactorsthatarenot
accountedforintroducesomeuncertaintyabouttheinferredvaluesforasystem'sstate.TheKalmanfilter
averagesapredictionofasystem'sstatewithanewmeasurementusingaweightedaverage.Thepurposeof
theweightsisthatvalueswithbetter(i.e.,smaller)estimateduncertaintyare"trusted"more.Theweights
arecalculatedfromthecovariance,ameasureoftheestimateduncertaintyofthepredictionofthesystem's
state.Theresultoftheweightedaverageisanewstateestimatethatliesbetweenthepredictedand
measuredstate,andhasabetterestimateduncertaintythaneitheralone.Thisprocessisrepeatedeverytime
step,withthenewestimateanditscovarianceinformingthepredictionusedinthefollowingiteration.This
meansthattheKalmanfilterworksrecursivelyandrequiresonlythelast"bestguess",ratherthantheentire
history,ofasystem'sstatetocalculateanewstate.
Becausethecertaintyofthemeasurementsisoftendifficulttomeasureprecisely,itiscommontodiscuss
thefilter'sbehaviorintermsofgain.TheKalmangainisafunctionoftherelativecertaintyofthe
measurementsandcurrentstateestimate,andcanbe"tuned"toachieveparticularperformance.Withahigh
gain,thefilterplacesmoreweightonthemeasurements,andthusfollowsthemmoreclosely.Withalow
gain,thefilterfollowsthemodelpredictionsmoreclosely,smoothingoutnoisebutdecreasingthe
responsiveness.Attheextremes,againofonecausesthefiltertoignorethestateestimateentirely,whilea
gainofzerocausesthemeasurementstobeignored.
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Whenperformingtheactualcalculationsforthefilter(asdiscussedbelow),thestateestimateand
covariancesarecodedintomatricestohandlethemultipledimensionsinvolvedinasinglesetof
calculations.Thisallowsforrepresentationoflinearrelationshipsbetweendifferentstatevariables(suchas
position,velocity,andacceleration)inanyofthetransitionmodelsorcovariances.
Exampleapplication
Asanexampleapplication,considertheproblemofdeterminingthepreciselocationofatruck.Thetruck
canbeequippedwithaGPSunitthatprovidesanestimateofthepositionwithinafewmeters.TheGPS
estimateislikelytobenoisyreadings'jumparound'rapidly,thoughalwaysremainingwithinafewmeters
oftherealposition.Inaddition,sincethetruckisexpectedtofollowthelawsofphysics,itspositioncan
alsobeestimatedbyintegratingitsvelocityovertime,determinedbykeepingtrackofwheelrevolutions
andtheangleofthesteeringwheel.Thisisatechniqueknownasdeadreckoning.Typically,dead
reckoningwillprovideaverysmoothestimateofthetruck'sposition,butitwilldriftovertimeassmall
errorsaccumulate.
Inthisexample,theKalmanfiltercanbethoughtofasoperatingintwodistinctphases:predictandupdate.
Inthepredictionphase,thetruck'soldpositionwillbemodifiedaccordingtothephysicallawsofmotion
(thedynamicor"statetransition"model)plusanychangesproducedbytheacceleratorpedalandsteering
wheel.Notonlywillanewpositionestimatebecalculated,butanewcovariancewillbecalculatedaswell.
Perhapsthecovarianceisproportionaltothespeedofthetruckbecausewearemoreuncertainaboutthe
accuracyofthedeadreckoningpositionestimateathighspeedsbutverycertainaboutthepositionestimate
whenmovingslowly.Next,intheupdatephase,ameasurementofthetruck'spositionistakenfromthe
GPSunit.Alongwiththismeasurementcomessomeamountofuncertainty,anditscovariancerelativeto
thatofthepredictionfromthepreviousphasedetermineshowmuchthenewmeasurementwillaffectthe
updatedprediction.Ideally,ifthedeadreckoningestimatestendtodriftawayfromtherealposition,the
GPSmeasurementshouldpullthepositionestimatebacktowardstherealpositionbutnotdisturbittothe
pointofbecomingrapidlychangingandnoisy.
Technicaldescriptionandcontext
TheKalmanfilterisanefficientrecursivefilterthatestimatestheinternalstateofalineardynamicsystem
fromaseriesofnoisymeasurements.Itisusedinawiderangeofengineeringandeconometricapplications
fromradarandcomputervisiontoestimationofstructuralmacroeconomicmodels,[9][10]andisanimportant
topicincontroltheoryandcontrolsystemsengineering.Togetherwiththelinearquadraticregulator(LQR),
theKalmanfiltersolvesthelinearquadraticGaussiancontrolproblem(LQG).TheKalmanfilter,the
linearquadraticregulatorandthelinearquadraticGaussiancontrolleraresolutionstowhatarguablyare
themostfundamentalproblemsincontroltheory.
Inmostapplications,theinternalstateismuchlarger(moredegreesoffreedom)thanthefew"observable"
parameterswhicharemeasured.However,bycombiningaseriesofmeasurements,theKalmanfiltercan
estimatetheentireinternalstate.
InDempsterShafertheory,eachstateequationorobservationisconsideredaspecialcaseofalinearbelief
functionandtheKalmanfilterisaspecialcaseofcombininglinearbelieffunctionsonajointreeor
Markovtree.AdditionalapproachesincludebelieffilterswhichuseBayesorevidentialupdatestothestate
equations.
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AwidevarietyofKalmanfiltershavenowbeendeveloped,fromKalman'soriginalformulation,nowcalled
the"simple"Kalmanfilter,theKalmanBucyfilter,Schmidt's"extended"filter,theinformationfilter,anda
varietyof"squareroot"filtersthatweredevelopedbyBierman,Thorntonandmanyothers.Perhapsthe
mostcommonlyusedtypeofverysimpleKalmanfilteristhephaselockedloop,whichisnowubiquitous
inradios,especiallyfrequencymodulation(FM)radios,televisionsets,satellitecommunicationsreceivers,
outerspacecommunicationssystems,andnearlyanyotherelectroniccommunicationsequipment.
Underlyingdynamicsystemmodel
TheKalmanfiltersarebasedonlineardynamicsystemsdiscretizedinthetimedomain.Theyaremodelled
onaMarkovchainbuiltonlinearoperatorsperturbedbyerrorsthatmayincludeGaussiannoise.Thestate
ofthesystemisrepresentedasavectorofrealnumbers.Ateachdiscretetimeincrement,alinearoperator
isappliedtothestatetogeneratethenewstate,withsomenoisemixedin,andoptionallysomeinformation
fromthecontrolsonthesystemiftheyareknown.Then,anotherlinearoperatormixedwithmorenoise
generatestheobservedoutputsfromthetrue("hidden")state.TheKalmanfiltermayberegardedas
analogoustothehiddenMarkovmodel,withthekeydifferencethatthehiddenstatevariablestakevalues
inacontinuousspace(asopposedtoadiscretestatespaceasinthehiddenMarkovmodel).Thereisa
strongdualitybetweentheequationsoftheKalmanFilterandthoseofthehiddenMarkovmodel.Areview
ofthisandothermodelsisgiveninRoweisandGhahramani(1999)[11]andHamilton(1994),Chapter
13.[12]
InordertousetheKalmanfiltertoestimatetheinternalstateofaprocessgivenonlyasequenceofnoisy
observations,onemustmodeltheprocessinaccordancewiththeframeworkoftheKalmanfilter.This
meansspecifyingthefollowingmatrices:Fk,thestatetransitionmodelHk,theobservationmodelQk,the
covarianceoftheprocessnoiseRk,thecovarianceoftheobservationnoiseandsometimesBk,thecontrol
inputmodel,foreachtimestep,k,asdescribedbelow.
The
ModelunderlyingtheKalmanfilter.Squaresrepresentmatrices.Ellipsesrepresentmultivariatenormal
distributions(withthemeanandcovariancematrixenclosed).Unenclosedvaluesarevectors.Inthesimple
case,thevariousmatricesareconstantwithtime,andthusthesubscriptsaredropped,buttheKalmanfilter
allowsanyofthemtochangeeachtimestep.
Kalmanfiltermodelassumesthetruestateattimekisevolvedfromthestateat(k1)accordingto
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where
Fkisthestatetransitionmodelwhichisappliedtothepreviousstatexk1
Bkisthecontrolinputmodelwhichisappliedtothecontrolvectoruk
wkistheprocessnoisewhichisassumedtobedrawnfromazeromeanmultivariatenormal
distributionwithcovarianceQk.
\mathbf{w}_k\simN(0,\mathbf{Q}_k)
Attimekanobservation(ormeasurement)zkofthetruestatexkismadeaccordingto
\mathbf{z}_k=\mathbf{H}_{k}\mathbf{x}_k+\mathbf{v}_k
whereHkistheobservationmodelwhichmapsthetruestatespaceintotheobservedspaceandvkisthe
observationnoisewhichisassumedtobezeromeanGaussianwhitenoisewithcovarianceRk.
\mathbf{v}_k\simN(0,\mathbf{R}_k)
Theinitialstate,andthenoisevectorsateachstep{x0,w1,,wk,v1vk}areallassumedtobemutually
independent.
Manyrealdynamicalsystemsdonotexactlyfitthismodel.Infact,unmodelleddynamicscanseriously
degradethefilterperformance,evenwhenitwassupposedtoworkwithunknownstochasticsignalsas
inputs.Thereasonforthisisthattheeffectofunmodelleddynamicsdependsontheinput,and,therefore,
canbringtheestimationalgorithmtoinstability(itdiverges).Ontheotherhand,independentwhitenoise
signalswillnotmakethealgorithmdiverge.Theproblemofseparatingbetweenmeasurementnoiseand
unmodelleddynamicsisadifficultoneandistreatedincontroltheoryundertheframeworkofrobust
control.[13][14]
Details
TheKalmanfilterisarecursiveestimator.Thismeansthatonlytheestimatedstatefromtheprevioustime
stepandthecurrentmeasurementareneededtocomputetheestimateforthecurrentstate.Incontrastto
batchestimationtechniques,nohistoryofobservationsand/orestimatesisrequired.Inwhatfollows,the
notation
representstheestimateof attimengivenobservationsupto,andincludingattimemn.
Thestateofthefilterisrepresentedbytwovariables:
,theaposterioristateestimateattimekgivenobservationsuptoandincludingattimek
,theaposteriorierrorcovariancematrix(ameasureoftheestimatedaccuracyofthestate
estimate).
TheKalmanfiltercanbewrittenasasingleequation,howeveritismostoftenconceptualizedastwo
distinctphases:"Predict"and"Update".Thepredictphaseusesthestateestimatefromtheprevious
timesteptoproduceanestimateofthestateatthecurrenttimestep.Thispredictedstateestimateisalso
knownastheaprioristateestimatebecause,althoughitisanestimateofthestateatthecurrenttimestep,it
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doesnotincludeobservationinformationfromthecurrenttimestep.Intheupdatephase,thecurrentapriori
predictioniscombinedwithcurrentobservationinformationtorefinethestateestimate.Thisimproved
estimateistermedtheaposterioristateestimate.
Typically,thetwophasesalternate,withthepredictionadvancingthestateuntilthenextscheduled
observation,andtheupdateincorporatingtheobservation.However,thisisnotnecessaryifanobservation
isunavailableforsomereason,theupdatemaybeskippedandmultiplepredictionstepsperformed.
Likewise,ifmultipleindependentobservationsareavailableatthesametime,multipleupdatestepsmaybe
performed(typicallywithdifferentobservationmatricesHk).[15][16]
Predict
Predicted(apriori)stateestimate
Predicted(apriori)estimatecovariance
Update
Innovationormeasurementresidual
\tilde{\mathbf{y}}_k=\mathbf{z}_k
\mathbf{H}_k\hat{\mathbf{x}}_{k\mid
k1}
Innovation(orresidual)covariance
OptimalKalmangain
Updated(aposteriori)stateestimate
Updated(aposteriori)estimatecovariance
TheformulafortheupdatedestimatecovarianceaboveisonlyvalidfortheoptimalKalmangain.Usageof
othergainvaluesrequireamorecomplexformulafoundinthederivationssection.
Invariants
Ifthemodelisaccurate,andthevaluesfor
and
accuratelyreflectthedistributionoftheinitial
statevalues,thenthefollowinginvariantsarepreserved:(allestimateshaveameanerrorofzero)
where
istheexpectedvalueof ,andcovariancematricesaccuratelyreflectthecovarianceof
estimates
Optimalityandperformance
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ItfollowsfromtheorythattheKalmanfilterisoptimalincaseswherea)themodelperfectlymatchesthe
realsystem,b)theenteringnoiseiswhiteandc)thecovariancesofthenoiseareexactlyknown.Several
methodsforthenoisecovarianceestimationhavebeenproposedduringpastdecades,includingALS,
mentionedinthepreviousparagraph.Afterthecovariancesareestimated,itisusefultoevaluatethe
performanceofthefilter,i.e.whetheritispossibletoimprovethestateestimationquality.IftheKalman
filterworksoptimally,theinnovationsequence(theoutputpredictionerror)isawhitenoise,thereforethe
whitenesspropertyoftheinnovationsmeasuresfilterperformance.Severaldifferentmethodscanbeused
forthispurpose.[17]
Exampleapplication,technical
Consideratruckonfrictionless,straightrails.Initiallythetruckis
stationaryatposition0,butitisbuffetedthiswayandthatby
randomuncontrolledforces.Wemeasurethepositionofthetruck
everytseconds,butthesemeasurementsareimprecisewewantto
maintainamodelofwherethetruckisandwhatitsvelocityis.We
showherehowwederivethemodelfromwhichwecreateour
Kalmanfilter.
Since
\mathbfF,\mathbfH,\mathbfR,\mathbfQ areconstant,
Black:truth,green:filteredprocess,
red:observations
theirtimeindicesaredropped.
Thepositionandvelocityofthetruckaredescribedbythelinearstatespace
where isthevelocity,thatis,thederivativeofpositionwithrespecttotime.
Weassumethatbetweenthe(k1)andktimestepuncontrolledforcescauseaconstantaccelerationofak
thatisnormallydistributed,withmean0andstandarddeviationa.FromNewton'slawsofmotionwe
concludethat
\mathbf{x}_{k}=\mathbf{F}\mathbf{x}_{k1}+\mathbf{G}a_{k}
(notethatthereisno
termsincewehavenoknowncontrolinputs.Instead,weassumethatakisthe
effectofanunknowninputand
appliesthateffecttothestatevector)where
\mathbf{F}=\begin{bmatrix}1&\Deltat\\0&1\end{bmatrix}
and
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sothat
\mathbf{x}_{k}=\mathbf{F}\mathbf{x}_{k1}+\mathbf{w}_{k}
where
and
Ateachtimestep,anoisymeasurementofthetruepositionofthetruckismade.Letussupposethe
measurementnoisevkisalsonormallydistributed,withmean0andstandarddeviationz.
where
and
Weknowtheinitialstartingstateofthetruckwithperfectprecision,soweinitialize
andtotellthefilterthatweknowtheexactpositionandvelocity,wegiveitazerocovariancematrix:
Iftheinitialpositionandvelocityarenotknownperfectlythecovariancematrixshouldbeinitializedwitha
suitablylargenumber,sayL,onitsdiagonal.
Thefilterwillthenprefertheinformationfromthefirstmeasurementsovertheinformationalreadyinthe
model.
Derivations
Derivingtheaposterioriestimatecovariancematrix
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StartingwithourinvariantontheerrorcovariancePk|kasabove
substituteinthedefinitionof
andsubstitute
\mathbf{P}_{k\midk}=\textrm{cov}(\mathbf{x}_{k}(\hat{\mathbf{x}}_{k\midk1}+
\mathbf{K}_k(\mathbf{z}_k\mathbf{H}_k\hat{\mathbf{x}}_{k\midk1})))
and
\mathbf{z}_{k}
\mathbf{P}_{k\midk}=\textrm{cov}(\mathbf{x}_{k}(\hat{\mathbf{x}}_{k\midk1}+
\mathbf{K}_k(\mathbf{H}_k\mathbf{x}_k+\mathbf{v}_k
\mathbf{H}_k\hat{\mathbf{x}}_{k\midk1})))
andbycollectingtheerrorvectorsweget
\mathbf{P}_{k|k}=\textrm{cov}((I\mathbf{K}_k\mathbf{H}_{k})(\mathbf{x}_k
\hat{\mathbf{x}}_{k\midk1})\mathbf{K}_k\mathbf{v}_k)
Sincethemeasurementerrorvkisuncorrelatedwiththeotherterms,thisbecomes
bythepropertiesofvectorcovariancethisbecomes
\mathbf{P}_{k\midk}=(I\mathbf{K}_k\mathbf{H}_{k})\textrm{cov}(\mathbf{x}_k
\hat{\mathbf{x}}_{k\midk1})(I\mathbf{K}_k\mathbf{H}_{k})^{\text{T}}+
\mathbf{K}_k\textrm{cov}(\mathbf{v}_k)\mathbf{K}_k^{\text{T}}
which,usingourinvariantonPk|k1andthedefinitionofRkbecomes
Thisformula(sometimesknownasthe"Josephform"ofthecovarianceupdateequation)isvalidforany
valueofKk.ItturnsoutthatifKkistheoptimalKalmangain,thiscanbesimplifiedfurtherasshown
below.
Kalmangainderivation
TheKalmanfilterisaminimummeansquareerrorestimator.Theerrorintheaposterioristateestimation
is
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\mathbf{x}_{k}\hat{\mathbf{x}}_{k\midk}
Weseektominimizetheexpectedvalueofthesquareofthemagnitudeofthisvector,
Thisisequivalenttominimizingthetraceoftheaposterioriestimatecovariancematrix
expandingoutthetermsintheequationaboveandcollecting,weget:
.
.By
\begin{align}\mathbf{P}_{k\midk}&=\mathbf{P}_{k\midk1}\mathbf{K}_k
\mathbf{H}_k\mathbf{P}_{k\midk1}\mathbf{P}_{k\midk1}\mathbf{H}_k^\text{T}
\mathbf{K}_k^\text{T}+\mathbf{K}_k(\mathbf{H}_k\mathbf{P}_{k\midk1}
\mathbf{H}_k^\text{T}+\mathbf{R}_k)\mathbf{K}_k^\text{T}\\[6pt]&=\mathbf{P}_{k\mid
k1}\mathbf{K}_k\mathbf{H}_k\mathbf{P}_{k\midk1}\mathbf{P}_{k\midk1}
\mathbf{H}_k^\text{T}\mathbf{K}_k^\text{T}+\mathbf{K}_k
\mathbf{S}_k\mathbf{K}_k^\text{T}\end{align}
Thetraceisminimizedwhenitsmatrixderivativewithrespecttothegainmatrixiszero.Usingthegradient
matrixrulesandthesymmetryofthematricesinvolvedwefindthat
\frac{\partial\\mathrm{tr}(\mathbf{P}_{k\midk})}{\partial\\mathbf{K}_k}=2
(\mathbf{H}_k\mathbf{P}_{k\midk1})^\text{T}+2\mathbf{K}_k\mathbf{S}_k=0.
SolvingthisforKkyieldstheKalmangain:
\mathbf{K}_{k}=\mathbf{P}_{k\midk1}\mathbf{H}_k^\text{T}\mathbf{S}_k^{1}
Thisgain,whichisknownastheoptimalKalmangain,istheonethatyieldsMMSEestimateswhenused.
Simplificationoftheaposteriorierrorcovarianceformula
TheformulausedtocalculatetheaposteriorierrorcovariancecanbesimplifiedwhentheKalmangain
equalstheoptimalvaluederivedabove.MultiplyingbothsidesofourKalmangainformulaontherightby
SkKkT,itfollowsthat
Referringbacktoourexpandedformulafortheaposteriorierrorcovariance,
wefindthelasttwotermscancelout,giving
Thisformulaiscomputationallycheaperandthusnearlyalwaysusedinpractice,butisonlycorrectforthe
optimalgain.Ifarithmeticprecisionisunusuallylowcausingproblemswithnumericalstability,orifanon
optimalKalmangainisdeliberatelyused,thissimplificationcannotbeappliedtheaposteriorierror
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covarianceformulaasderivedabove(Josephform)mustbeused.
Sensitivityanalysis
TheKalmanfilteringequationsprovideanestimateofthestate
anditserrorcovariance
recursively.Theestimateanditsqualitydependonthesystemparametersandthenoisestatisticsfedas
inputstotheestimator.Thissectionanalyzestheeffectofuncertaintiesinthestatisticalinputstothe
filter.[18]Intheabsenceofreliablestatisticsorthetruevaluesofnoisecovariancematrices
\mathbf{Q}_{k} and
,theexpression
nolongerprovidestheactualerrorcovariance.Inotherwords,
.
InmostrealtimeapplicationsthecovariancematricesthatareusedindesigningtheKalmanfilterare
differentfromtheactual(true)noisecovariancesmatrices.Thissensitivityanalysisdescribesthebehavior
oftheestimationerrorcovariancewhenthenoisecovariancesaswellasthesystemmatrices and
thatarefedasinputstothefilterareincorrect.Thus,thesensitivityanalysisdescribestherobustness(or
sensitivity)oftheestimatortomisspecifiedstatisticalandparametricinputstotheestimator.
Thisdiscussionislimitedtotheerrorsensitivityanalysisforthecaseofstatisticaluncertainties.Herethe
actualnoisecovariancesaredenotedby and \mathbf{R}^{a}_k respectively,whereasthedesign
valuesusedintheestimatorare
denotedby
\mathbf{Q}_k and
\mathbf{P}_{k\midk}â and
Riccativariable.When
and
respectively.Theactualerrorcovarianceis
ascomputedbytheKalmanfilterisreferredtoasthe
\mathbf{R}_k\equiv\mathbf{R}^{a}_k ,thismeansthat
\mathbf{P}_{k\midk}=\mathbf{P}_{k\midk}â .Whilecomputingtheactualerrorcovarianceusing
,substitutingfor
usingthefactthat
\widehat{\mathbf{x}}_{k\midk} and
E[\mathbf{w}_k\mathbf{w}_k^\mathrm{T}]=\mathbf{Q}_{k}â and
,resultsinthefollowingrecursiveequationsfor
\mathbf{P}_{k\midk}â :
and
Whilecomputing
,bydesignthefilterimplicitlyassumesthat
E[\mathbf{w}_k\mathbf{w}_k^\mathrm{T}]=\mathbf{Q}_{k} and
recursiveexpressionsfor
and
\mathbf{P}_{k\midk}â and
\mathbf{R}_{k}â inplaceofthedesignvalues
.Notethatthe
areidenticalexceptforthepresenceof
\mathbf{Q}_{k} and
respectively.
Squarerootform
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OneproblemwiththeKalmanfilterisitsnumericalstability.IftheprocessnoisecovarianceQkissmall,
roundofferroroftencausesasmallpositiveeigenvaluetobecomputedasanegativenumber.Thisrenders
thenumericalrepresentationofthestatecovariancematrixPindefinite,whileitstrueformispositive
definite.
PositivedefinitematriceshavethepropertythattheyhaveatriangularmatrixsquarerootP=SST.This
canbecomputedefficientlyusingtheCholeskyfactorizationalgorithm,butmoreimportantly,ifthe
covarianceiskeptinthisform,itcanneverhaveanegativediagonalorbecomeasymmetric.Anequivalent
form,whichavoidsmanyofthesquarerootoperationsrequiredbythematrixsquarerootyetpreservesthe
desirablenumericalproperties,istheUDdecompositionform,P=UDUT,whereUisaunittriangular
matrix(withunitdiagonal),andDisadiagonalmatrix.
Betweenthetwo,theUDfactorizationusesthesameamountofstorage,andsomewhatlesscomputation,
andisthemostcommonlyusedsquarerootform.(Earlyliteratureontherelativeefficiencyissomewhat
misleading,asitassumedthatsquarerootsweremuchmoretimeconsumingthandivisions,[19]:69whileon
21stcenturycomputerstheyareonlyslightlymoreexpensive.)
EfficientalgorithmsfortheKalmanpredictionandupdatestepsinthesquarerootformweredevelopedby
G.J.BiermanandC.L.Thornton.[19][20]
TheLDLTdecompositionoftheinnovationcovariancematrixSkisthebasisforanothertypeof
numericallyefficientandrobustsquarerootfilter.[21]ThealgorithmstartswiththeLUdecompositionas
implementedintheLinearAlgebraPACKage(LAPACK).Theseresultsarefurtherfactoredintothe
LDLTstructurewithmethodsgivenbyGolubandVanLoan(algorithm4.1.2)forasymmetric
nonsingularmatrix.[22]Anysingularcovariancematrixispivotedsothatthefirstdiagonalpartitionis
nonsingularandwellconditioned.Thepivotingalgorithmmustretainanyportionoftheinnovation
covariancematrixdirectlycorrespondingtoobservedstatevariablesHkxk|k1thatareassociatedwith
auxiliaryobservationsinyk.theldltsquarerootfilterrequiresorthogonalizationoftheobservation
vector.[20][21]Thismaybedonewiththeinversesquarerootofthecovariancematrixfortheauxiliary
variablesusingMethod2inHigham(2002,p.263).[23]
RelationshiptorecursiveBayesianestimation
TheKalmanfiltercanbepresentedasoneofthemostsimpledynamicBayesiannetworks.TheKalman
filtercalculatesestimatesofthetruevaluesofstatesrecursivelyovertimeusingincomingmeasurements
andamathematicalprocessmodel.Similarly,recursiveBayesianestimationcalculatesestimatesofan
unknownprobabilitydensityfunction(PDF)recursivelyovertimeusingincomingmeasurementsanda
mathematicalprocessmodel.[24]
InrecursiveBayesianestimation,thetruestateisassumedtobeanunobservedMarkovprocess,andthe
measurementsaretheobservedstatesofahiddenMarkovmodel(HMM).
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becauseofthemarkovassumption,thetruestateisconditionallyindependentofallearlierstatesgiventhe
immediatelypreviousstate.
p(\textbf{x}_k\mid\textbf{x}_0,\dots,\textbf{x}_{k1})=p(\textbf{x}_k\mid\textbf{x}_{k1})
Similarlythemeasurementatthekthtimestepisdependentonlyuponthecurrentstateandisconditionally
independentofallotherstatesgiventhecurrentstate.
p(\textbf{z}_k\mid\textbf{x}_0,\dots,\textbf{x}_{k})=p(\textbf{z}_k\mid\textbf{x}_{k})
UsingtheseassumptionstheprobabilitydistributionoverallstatesofthehiddenMarkovmodelcanbe
writtensimplyas:
p(\textbf{x}_0,\dots,\textbf{x}_k,\textbf{z}_1,\dots,\textbf{z}_k)=
p(\textbf{x}_0)\prod_{i=1}^kp(\textbf{z}_i\mid\textbf{x}_i)p(\textbf{x}_i\mid\textbf{x}_{i
1})
However,whentheKalmanfilterisusedtoestimatethestatex,theprobabilitydistributionofinterestis
thatassociatedwiththecurrentstatesconditionedonthemeasurementsuptothecurrenttimestep.Thisis
achievedbymarginalizingoutthepreviousstatesanddividingbytheprobabilityofthemeasurementset.
ThisleadstothepredictandupdatestepsoftheKalmanfilterwrittenprobabilistically.Theprobability
distributionassociatedwiththepredictedstateisthesum(integral)oftheproductsoftheprobability
distributionassociatedwiththetransitionfromthe(k1)thtimesteptothekthandtheprobability
distributionassociatedwiththepreviousstate,overallpossible x_{k1} .
p(\textbf{x}_k\mid\textbf{Z}_{k1})=\intp(\textbf{x}_k\mid\textbf{x}_{k1})
p(\textbf{x}_{k1}\mid\textbf{Z}_{k1})\,d\textbf{x}_{k1}
Themeasurementsetuptotimetis
\textbf{Z}_{t}=\left\{\textbf{z}_{1},\dots,\textbf{z}_{t}\right\}
Theprobabilitydistributionoftheupdateisproportionaltotheproductofthemeasurementlikelihoodand
thepredictedstate.
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Thedenominator
p(\textbf{z}_k\mid\textbf{Z}_{k1})=\intp(\textbf{z}_k\mid\textbf{x}_k)p(\textbf{x}_k\mid
\textbf{Z}_{k1})d\textbf{x}_k
isanormalizationterm.
Theremainingprobabilitydensityfunctionsare
p(\textbf{x}_k\mid\textbf{x}_{k1})=\mathcal{N}(\textbf{F}_k\textbf{x}_{k1},
\textbf{Q}_k)
p(\textbf{z}_k\mid\textbf{x}_k)=\mathcal{N}(\textbf{H}_{k}\textbf{x}_k,\textbf{R}_k)
p(\textbf{x}_{k1}\mid\textbf{Z}_{k1})=\mathcal{N}(\hat{\textbf{x}}_{k1},\textbf{P}_{k
1})
NotethatthePDFattheprevioustimestepisinductivelyassumedtobetheestimatedstateandcovariance.
Thisisjustifiedbecause,asanoptimalestimator,theKalmanfiltermakesbestuseofthemeasurements,
thereforethePDFfor \mathbf{x}_k giventhemeasurements istheKalmanfilterestimate.
Marginallikelihood
RelatedtotherecursiveBayesianinterpretationdescribedabove,theKalmanfiltercanbeviewedasa
generativemodel,i.e.,aprocessforgeneratingastreamofrandomobservationsz=(z0,z1,z2,).
Specifically,theprocessis
1. Sampleahiddenstate
2. Sampleanobservation
\mathbf{x}_0 fromtheGaussianpriordistribution
.
\mathbf{z}_0 fromtheobservationmodel
.
3. For
,do
1. Samplethenexthiddenstate
2. Sampleanobservation
\mathbf{x}_k fromthetransitionmodel
.
fromtheobservationmodel
NotethatthisprocesshasidenticalstructuretothehiddenMarkovmodel,exceptthatthediscretestateand
observationsarereplacedwithcontinuousvariablessampledfromGaussiandistributions.
Insomeapplications,itisusefultocomputetheprobabilitythataKalmanfilterwithagivensetof
parameters(priordistribution,transitionandobservationmodels,andcontrolinputs)wouldgeneratea
particularobservedsignal.Thisprobabilityisknownasthemarginallikelihoodbecauseitintegratesover
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("marginalizesout")thevaluesofthehiddenstatevariables,soitcanbecomputedusingonlytheobserved
signal.Themarginallikelihoodcanbeusefultoevaluatedifferentparameterchoices,ortocomparethe
KalmanfilteragainstothermodelsusingBayesianmodelcomparison.
Itisstraightforwardtocomputethemarginallikelihoodasasideeffectoftherecursivefiltering
computation.Bythechainrule,thelikelihoodcanbefactoredastheproductoftheprobabilityofeach
observationgivenpreviousobservations,
p(\mathbf{z})=\prod_{k=0}^Tp(\mathbf{z}_k\mid\mathbf{z}_{k1},\ldots,\mathbf{z}_0) ,
andbecausetheKalmanfilterdescribesaMarkovprocess,allrelevantinformationfromprevious
observationsiscontainedinthecurrentstateestimate
.Thusthemarginallikelihoodis
givenby
i.e.,aproductofGaussiandensities,eachcorrespondingtothedensityofoneobservationzkunderthe
currentfilteringdistribution
.Thiscaneasilybecomputedasasimplerecursiveupdate
however,toavoidnumericunderflow,inapracticalimplementationitisusuallydesirabletocomputethe
logmarginallikelihood \ell=\logp(\mathbf{z}) instead.Adoptingtheconvention \ell^{(1)}=0 ,
thiscanbedoneviatherecursiveupdaterule
\ell^{(k)}=\ell^{(k1)}\frac{1}{2}\left(\tilde{\mathbf{y}}_k^T\mathbf{S}^{1}_k
\tilde{\mathbf{y}}_k+\log\left|\mathbf{S}_k\right|+d_{y}\log2\pi\right)
,
where
isthedimensionofthemeasurementvector.[25]
Animportantapplicationwheresucha(log)likelihoodoftheobservations(giventhefilterparameters)is
usedismultitargettracking.Forexample,consideranobjecttrackingscenariowhereastreamof
observationsistheinput,however,itisunknownhowmanyobjectsareinthescene(or,thenumberof
objectsisknownbutisgreaterthanone).Insuchascenario,itcanbeunknownaprioriwhich
observations/measurementsweregeneratedbywhichobject.Amultiplehypothesistracker(MHT)typically
willformdifferenttrackassociationhypotheses,whereeachhypothesiscanbeviewedasaKalmanfilter
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(inthelinearGaussiancase)withaspecificsetofparametersassociatedwiththehypothesizedobject.
Thus,itisimportanttocomputethelikelihoodoftheobservationsforthedifferenthypothesesunder
consideration,suchthatthemostlikelyonecanbefound.
Informationfilter
Intheinformationfilter,orinversecovariancefilter,theestimatedcovarianceandestimatedstateare
replacedbytheinformationmatrixandinformationvectorrespectively.Thesearedefinedas:
\textbf{Y}_{k\midk}=\textbf{P}_{k\midk}^{1}
\hat{\textbf{y}}_{k\midk}=\textbf{P}_{k\midk}^{1}\hat{\textbf{x}}_{k\midk}
Similarlythepredictedcovarianceandstatehaveequivalentinformationforms,definedas:
\textbf{Y}_{k\midk1}=\textbf{P}_{k\midk1}^{1}
\hat{\textbf{y}}_{k\midk1}=\textbf{P}_{k\midk1}^{1}\hat{\textbf{x}}_{k\midk1}
ashavethemeasurementcovarianceandmeasurementvector,whicharedefinedas:
\textbf{I}_{k}=\textbf{H}_{k}^{\text{T}}\textbf{R}_{k}^{1}\textbf{H}_{k}
\textbf{i}_{k}=\textbf{H}_{k}^{\text{T}}\textbf{R}_{k}^{1}\textbf{z}_{k}
Theinformationupdatenowbecomesatrivialsum.
\textbf{Y}_{k\midk}=\textbf{Y}_{k\midk1}+\textbf{I}_{k}
\hat{\textbf{y}}_{k\midk}=\hat{\textbf{y}}_{k\midk1}+\textbf{i}_{k}
ThemainadvantageoftheinformationfilteristhatNmeasurementscanbefilteredateachtimestepsimply
bysummingtheirinformationmatricesandvectors.
\textbf{Y}_{k\midk}=\textbf{Y}_{k\midk1}+\sum_{j=1}^N\textbf{I}_{k,j}
\hat{\textbf{y}}_{k\midk}=\hat{\textbf{y}}_{k\midk1}+\sum_{j=1}^N\textbf{i}_{k,j}
Topredicttheinformationfiltertheinformationmatrixandvectorcanbeconvertedbacktotheirstate
spaceequivalents,oralternativelytheinformationspacepredictioncanbeused.
\textbf{M}_{k}=[\textbf{F}_{k}^{1}]^{\text{T}}\textbf{Y}_{k1\midk1}
\textbf{F}_{k}^{1}
\textbf{C}_{k}=\textbf{M}_{k}[\textbf{M}_{k}+\textbf{Q}_{k}^{1}]^{1}
\textbf{L}_{k}=I\textbf{C}_{k}
\textbf{Y}_{k\midk1}=\textbf{L}_{k}\textbf{M}_{k}\textbf{L}_{k}^{\text{T}}+
\textbf{C}_{k}\textbf{Q}_{k}^{1}\textbf{C}_{k}^{\text{T}}
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\hat{\textbf{y}}_{k\midk1}=\textbf{L}_{k}
[\textbf{F}_{k}^{1}]^{\text{T}}\hat{\textbf{y}}_{k1\midk1}
NotethatifFandQaretimeinvariantthesevaluescanbecached.NotealsothatFandQneedtobe
invertible.
Fixedlagsmoother
Theoptimalfixedlagsmootherprovidestheoptimalestimateof
givenfixedlag
N usingthemeasurementsfrom
\hat{\textbf{x}}_{kN\midk} fora
\textbf{z}_{1} to
\textbf{z}_{k} .Itcanbe
derivedusingtheprevioustheoryviaanaugmentedstate,andthemainequationofthefilteristhe
following:
\begin{bmatrix}\hat{\textbf{x}}_{t\midt}\\\hat{\textbf{x}}_{t1\midt}\\\vdots\\
\hat{\textbf{x}}_{tN+1\midt}\\\end{bmatrix}=\begin{bmatrix}\textbf{I}\\0\\\vdots\\0\\
\end{bmatrix}\hat{\textbf{x}}_{t\midt1}+\begin{bmatrix}0&\ldots&0\\\textbf{I}&0&
\vdots\\\vdots&\ddots&\vdots\\0&\ldots&I\\\end{bmatrix}\begin{bmatrix}
\hat{\textbf{x}}_{t1\midt1}\\\hat{\textbf{x}}_{t2\midt1}\\\vdots\\\hat{\textbf{x}}_{t
N+1\midt1}\\\end{bmatrix}+\begin{bmatrix}\textbf{K}^{(0)}\\\textbf{K}^{(1)}\\\vdots\\
\textbf{K}^{(N1)}\\\end{bmatrix}\textbf{y}_{t\midt1}
where:
\hat{\textbf{x}}_{t\midt1} isestimatedviaastandardKalmanfilter
\textbf{y}_{t\midt1}=\textbf{z}(t)\textbf{H}\hat{\textbf{x}}_{t\midt1} istheinnovation
producedconsideringtheestimateofthestandardKalmanfilter
thevarious \hat{\textbf{x}}_{ti\midt} with i=1,\ldots,N1 arenewvariables,i.e.theydonot
appearinthestandardKalmanfilter
thegainsarecomputedviathefollowingscheme:
\textbf{K}^{(i)}=\textbf{P}^{(i)}\textbf{H}^{T}\left[\textbf{H}\textbf{P}
\textbf{H}^\mathrm{T}+\textbf{R}\right]^{1}
and
\textbf{P}^{(i)}=\textbf{P}\left[\left[\textbf{F}\textbf{K}\textbf{H}\right]^{T}
\right]^{i}
where
\textbf{P} and
\textbf{K} arethepredictionerrorcovarianceandthegainsofthe
standardKalmanfilter(i.e.,
\textbf{P}_{t\midt1} ).
Iftheestimationerrorcovarianceisdefinedsothat
\textbf{P}_{i}:=E\left[\left(\textbf{x}_{ti}\hat{\textbf{x}}_{ti\midt}\right)^{*}\left(
\textbf{x}_{ti}\hat{\textbf{x}}_{ti\midt}\right)\midz_{1}\ldotsz_{t}\right],
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thenwehavethattheimprovementontheestimationof
\textbf{x}_{ti} isgivenby:
\textbf{P}\textbf{P}_{i}=\sum_{j=0}^{i}\left[\textbf{P}^{(j)}\textbf{H}^{T}\left[
\textbf{H}\textbf{P}\textbf{H}^\mathrm{T}+\textbf{R}\right]^{1}\textbf{H}\left(
\textbf{P}^{(i)}\right)^\mathrm{T}\right]
Fixedintervalsmoothers
Theoptimalfixedintervalsmootherprovidestheoptimalestimateof
k<n )usingthemeasurementsfromafixedinterval
\hat{\textbf{x}}_{k\midn} (
\textbf{z}_{1} to
\textbf{z}_{n} .Thisisalso
called"KalmanSmoothing".Thereareseveralsmoothingalgorithmsincommonuse.
RauchTungStriebel
TheRauchTungStriebel(RTS)smootherisanefficienttwopassalgorithmforfixedinterval
smoothing.[26]
TheforwardpassisthesameastheregularKalmanfilteralgorithm.Thesefilteredstateestimates
\hat{\textbf{x}}_{k\midk} andcovariances \textbf{P}_{k\midk} aresavedforuseinthebackwards
pass.
Inthebackwardspass,wecomputethesmoothedstateestimates
covariances
\hat{\textbf{x}}_{k\midn} and
\textbf{P}_{k\midn} .Westartatthelasttimestepandproceedbackwardsintimeusingthe
followingrecursiveequations:
\hat{\textbf{x}}_{k\midn}=\hat{\textbf{x}}_{k\midk}+\textbf{C}_k(
\hat{\textbf{x}}_{k+1\midn}\hat{\textbf{x}}_{k+1\midk})
where
\textbf{C}_k=\textbf{P}_{k\midk}\textbf{F}_{k+1}^\mathrm{T}\textbf{P}_{k+1\mid
k}^{1}
ModifiedBrysonFraziersmoother
AnalternativetotheRTSalgorithmisthemodifiedBrysonFrazier(MBF)fixedintervalsmoother
developedbyBierman.[20]ThisalsousesabackwardpassthatprocessesdatasavedfromtheKalmanfilter
forwardpass.Theequationsforthebackwardpassinvolvetherecursivecomputationofdatawhichare
usedateachobservationtimetocomputethesmoothedstateandcovariance.
Therecursiveequationsare
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\tilde{\Lambda}_k=\textbf{H}_k^T\textbf{S}_k^{1}\textbf{H}_k+\hat{\textbf{C}}_k^T
\hat{\Lambda}_k\hat{\textbf{C}}_k
\hat{\Lambda}_{k1}=\textbf{F}_k^T\tilde{\Lambda}_{k}\textbf{F}_k
\hat{\Lambda}_n=0
\tilde{\lambda}_k=\textbf{H}_k^T\textbf{S}_k^{1}\textbf{y}_k+\hat{\textbf{C}}_k^T
\hat{\lambda}_k
\hat{\lambda}_{k1}=\textbf{F}_k^T\tilde{\lambda}_{k}
\hat{\lambda}_n=0
where
\textbf{S}_k istheresidualcovarianceand
\hat{\textbf{C}}_k=\textbf{I}\textbf{K}_k\textbf{H}_k .Thesmoothedstateandcovariancecan
thenbefoundbysubstitutionintheequations
\textbf{P}_{k\midn}=\textbf{P}_{k\midk}\textbf{P}_{k\mid
k}\hat{\Lambda}_k\textbf{P}_{k\midk}
\textbf{x}_{k\midn}=\textbf{x}_{k\midk}\textbf{P}_{k\midk}\hat{\lambda}_k
or
\textbf{P}_{k\midn}=\textbf{P}_{k\midk1}\textbf{P}_{k\midk
1}\tilde{\Lambda}_k\textbf{P}_{k\midk1}
\textbf{x}_{k\midn}=\textbf{x}_{k\midk1}\textbf{P}_{k\midk1}\tilde{\lambda}_k.
AnimportantadvantageoftheMBFisthatitdoesnotrequirefindingtheinverseofthecovariancematrix.
Minimumvariancesmoother
Theminimumvariancesmoothercanattainthebestpossibleerrorperformance,providedthatthemodels
arelinear,theirparametersandthenoisestatisticsareknownprecisely.[27]Thissmootherisatimevarying
statespacegeneralizationoftheoptimalnoncausalWienerfilter.
Thesmoothercalculationsaredoneintwopasses.Theforwardcalculationsinvolveaonestepahead
predictorandaregivenby
\hat{\textbf{x}}_{k+1\midk}=\textbf{(F}_{k}
\textbf{K}_{k}\textbf{H}_{k})\hat{\textbf{x}}_{k\midk1}+\textbf{K}_{k}\textbf{z}_{k}
{\alpha}_{k}=\textbf{S}_k^{1/2}\textbf{H}_{k}\hat{\textbf{x}}_{k\midk1}+
\textbf{S}_k^{1/2}\textbf{z}_{k}
TheabovesystemisknownastheinverseWienerHopffactor.Thebackwardrecursionistheadjointofthe
aboveforwardsystem.Theresultofthebackwardpass \beta_{k} maybecalculatedbyoperatingthe
forwardequationsonthetimereversed
\alpha_{k} andtimereversingtheresult.Inthecaseofoutput
estimation,thesmoothedestimateisgivenby
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\hat{\textbf{y}}_{k\midN}=\textbf{z}_{k}\textbf{R}_{k}\beta_{k}
Takingthecausalpartofthisminimumvariancesmootheryields
\hat{\textbf{y}}_{k\midk}=\textbf{z}_{k}\textbf{R}_{k}\textbf{S}_k^{1/2}\alpha_{k}
whichisidenticaltotheminimumvarianceKalmanfilter.Theabovesolutionsminimizethevarianceofthe
outputestimationerror.NotethattheRauchTungStriebelsmootherderivationassumesthatthe
underlyingdistributionsareGaussian,whereastheminimumvariancesolutionsdonot.Optimalsmoothers
forstateestimationandinputestimationcanbeconstructedsimilarly.
Acontinuoustimeversionoftheabovesmootherisdescribedin.[28][29]
Expectationmaximizationalgorithmsmaybeemployedtocalculateapproximatemaximumlikelihood
estimatesofunknownstatespaceparameterswithinminimumvariancefiltersandsmoothers.Often
uncertaintiesremainwithinproblemassumptions.Asmootherthataccommodatesuncertaintiescanbe
designedbyaddingapositivedefinitetermtotheRiccatiequation.[30]
Incaseswherethemodelsarenonlinear,stepwiselinearizationsmaybewithintheminimumvariance
filterandsmootherrecursions(extendedKalmanfiltering).
FrequencyWeightedKalmanfilters
PioneeringresearchontheperceptionofsoundsatdifferentfrequencieswasconductedbyFletcherand
Munsoninthe1930s.Theirworkledtoastandardwayofweightingmeasuredsoundlevelswithin
investigationsofindustrialnoiseandhearingloss.Frequencyweightingshavesincebeenusedwithinfilter
andcontrollerdesignstomanageperformancewithinbandsofinterest.
Typically,afrequencyshapingfunctionisusedtoweighttheaveragepoweroftheerrorspectraldensityin
aspecifiedfrequencyband.Let \textbf{y} \hat{\textbf{y}} denotetheoutputestimationerror
exhibitedbyaconventionalKalmanfilter.Also,let
\textbf{W} denoteacausalfrequencyweighting
transferfunction.Theoptimumsolutionwhichminimizesthevarianceof
\hat{\textbf{y}} )arisesbysimplyconstructing
Thedesignof
\textbf{W} (
\textbf{y}
\textbf{W}^{1}\hat{\textbf{y}} .
\textbf{W} remainsanopenquestion.Onewayofproceedingistoidentifyasystem
whichgeneratestheestimationerrorandsetting
\textbf{W} equaltotheinverseofthatsystem.[31]This
proceduremaybeiteratedtoobtainmeansquareerrorimprovementatthecostofincreasedfilterorder.
Thesametechniquecanbeappliedtosmoothers.
Nonlinearfilters
ThebasicKalmanfilterislimitedtoalinearassumption.Morecomplexsystems,however,canbe
nonlinear.Thenonlinearitycanbeassociatedeitherwiththeprocessmodelorwiththeobservationmodel
orwithboth.
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ExtendedKalmanfilter
IntheextendedKalmanfilter(EKF),thestatetransitionandobservationmodelsneednotbelinear
functionsofthestatebutmayinsteadbenonlinearfunctions.Thesefunctionsareofdifferentiabletype.
\textbf{x}_{k}=f(\textbf{x}_{k1},\textbf{u}_{k})+\textbf{w}_{k}
\textbf{z}_{k}=h(\textbf{x}_{k})+\textbf{v}_{k}
Thefunctionfcanbeusedtocomputethepredictedstatefromthepreviousestimateandsimilarlythe
functionhcanbeusedtocomputethepredictedmeasurementfromthepredictedstate.However,fandh
cannotbeappliedtothecovariancedirectly.Insteadamatrixofpartialderivatives(theJacobian)is
computed.
AteachtimesteptheJacobianisevaluatedwithcurrentpredictedstates.Thesematricescanbeusedinthe
Kalmanfilterequations.Thisprocessessentiallylinearizesthenonlinearfunctionaroundthecurrent
estimate.
UnscentedKalmanfilter
Whenthestatetransitionandobservationmodelsthatis,thepredictandupdatefunctions
f and
arehighlynonlinear,theextendedKalmanfiltercangiveparticularlypoorperformance.[32]Thisisbecause
thecovarianceispropagatedthroughlinearizationoftheunderlyingnonlinearmodel.Theunscented
Kalmanfilter(UKF)[32]usesadeterministicsamplingtechniqueknownastheunscentedtransformtopick
aminimalsetofsamplepoints(calledsigmapoints)aroundthemean.Thesesigmapointsarethen
propagatedthroughthenonlinearfunctions,fromwhichthemeanandcovarianceoftheestimatearethen
recovered.Theresultisafilterwhichmoreaccuratelycapturesthetruemeanandcovariance.(Thiscanbe
verifiedusingMonteCarlosamplingorthroughaTaylorseriesexpansionoftheposteriorstatistics.)In
addition,thistechniqueremovestherequirementtoexplicitlycalculateJacobians,whichforcomplex
functionscanbeadifficulttaskinitself(i.e.,requiringcomplicatedderivativesifdoneanalyticallyorbeing
computationallycostlyifdonenumerically).
Predict
AswiththeEKF,theUKFpredictioncanbeusedindependentlyfromtheUKFupdate,incombinationwith
alinear(orindeedEKF)update,orviceversa.
Theestimatedstateandcovarianceareaugmentedwiththemeanandcovarianceoftheprocessnoise.
\textbf{x}_{k1\midk1}^{a}=[\hat{\textbf{x}}_{k1\midk1}^\mathrm{T}\quad
E[\textbf{w}_{k}^\mathrm{T}]\]^\mathrm{T}
\textbf{P}_{k1\midk1}^{a}=\begin{bmatrix}&\textbf{P}_{k1\midk1}&&0&\\&0&
&\textbf{Q}_{k}&\end{bmatrix}
Asetof2L+1sigmapointsisderivedfromtheaugmentedstateandcovariancewhereListhedimension
oftheaugmentedstate.
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\chi_{k1\midk1}^{0}=\textbf{x}_{k1\midk1}^{a}
\chi_{k1\midk1}^{i}=\textbf{x}_{k1\midk1}^{a}+\left(\sqrt{(L+\lambda)
\textbf{P}_{k1\midk1}^{a}}\right)_{i},\qquadi=1,\ldots,L
\chi_{k1\midk1}^{i}=\textbf{x}_{k1\midk1}^{a}\left(\sqrt{(L+\lambda)
\textbf{P}_{k1\midk1}^{a}}\right)_{iL},\qquadi=L+1,\dots{},2L
where
\left(\sqrt{(L+\lambda)\textbf{P}_{k1\midk1}^{a}}\right)_{i}
istheithcolumnofthematrixsquarerootof
(L+\lambda)\textbf{P}_{k1\midk1}^{a}
usingthedefinition:squareroot
\textbf{A} ofmatrix
\textbf{B} satisfies
\textbf{B}\triangleq\textbf{A}\textbf{A}^\mathrm{T}.\,
Thematrixsquarerootshouldbecalculatedusingnumericallyefficientandstablemethodssuchasthe
Choleskydecomposition.
Thesigmapointsarepropagatedthroughthetransitionfunctionf.
\chi_{k\midk1}^{i}=f(\chi_{k1\midk1}^{i})\quadi=0,\dots,2L
where
covariance.
.Theweightedsigmapointsarerecombinedtoproducethepredictedstateand
\hat{\textbf{x}}_{k\midk1}=\sum_{i=0}^{2L}W_{s}^{i}\chi_{k\midk1}^{i}
\textbf{P}_{k\midk1}=\sum_{i=0}^{2L}W_{c}^{i}\[\chi_{k\midk1}^{i}
\hat{\textbf{x}}_{k\midk1}][\chi_{k\midk1}^{i}\hat{\textbf{x}}_{k\midk
1}]^\mathrm{T}
wheretheweightsforthestateandcovariancearegivenby:
W_{s}^{0}=\frac{\lambda}{L+\lambda}
W_{c}^{0}=\frac{\lambda}{L+\lambda}+(1\alpha^2+\beta)
W_{s}^{i}=W_{c}^{i}=\frac{1}{2(L+\lambda)}
\lambda=\alpha^2(L+\kappa)L\,\!
\alpha and
\kappa controlthespreadofthesigmapoints.
Normalvaluesare
Gaussian,
\alpha=10^{3} ,
\kappa=0 and
\beta isrelatedtothedistributionof
\beta=2 .Ifthetruedistributionof
x.
x is
\beta=2 isoptimal.[33]
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Update
Thepredictedstateandcovarianceareaugmentedasbefore,exceptnowwiththemeanandcovarianceof
themeasurementnoise.
\textbf{x}_{k\midk1}^{a}=[\hat{\textbf{x}}_{k\midk1}^\mathrm{T}\quad
E[\textbf{v}_{k}^\mathrm{T}]\]^\mathrm{T}
\textbf{P}_{k\midk1}^{a}=\begin{bmatrix}&\textbf{P}_{k\midk1}&&0&\\&0&
&\textbf{R}_{k}&\end{bmatrix}
Asbefore,asetof2L+1sigmapointsisderivedfromtheaugmentedstateandcovariancewhereListhe
dimensionoftheaugmentedstate.
\begin{align}\chi_{k\midk1}^{0}&=\textbf{x}_{k\midk1}^{a}\\[6pt]\chi_{k\midk1}^{i}
&=\textbf{x}_{k\midk1}^{a}+\left(\sqrt{(L+\lambda)\textbf{P}_{k\midk1}^{a}}\right
)_{i},\qquadi=1,\dots,L\\[6pt]\chi_{k\midk1}^{i}&=\textbf{x}_{k\midk1}^{a}\left(
\sqrt{(L+\lambda)\textbf{P}_{k\midk1}^{a}}\right)_{iL},\qquadi=L+1,\dots,2L
\end{align}
AlternativelyiftheUKFpredictionhasbeenusedthesigmapointsthemselvescanbeaugmentedalongthe
followinglines
\chi_{k\midk1}:=[\chi_{k\midk1}^\mathrm{T}\quadE[\textbf{v}_{k}^\mathrm{T}]\
]^\mathrm{T}\pm\sqrt{(L+\lambda)\textbf{R}_{k}^{a}}
where
\textbf{R}_{k}^{a}=\begin{bmatrix}&0&&0&\\&0&&\textbf{R}_{k}&\end{bmatrix}
Thesigmapointsareprojectedthroughtheobservationfunctionh.
\gamma_{k}^{i}=h(\chi_{k\midk1}^{i})\quadi=0..2L
Theweightedsigmapointsarerecombinedtoproducethepredictedmeasurementandpredicted
measurementcovariance.
\hat{\textbf{z}}_{k}=\sum_{i=0}^{2L}W_{s}^{i}\gamma_{k}^{i}
\textbf{P}_{z_{k}z_{k}}=\sum_{i=0}^{2L}W_{c}^{i}\[\gamma_{k}^{i}
\hat{\textbf{z}}_{k}][\gamma_{k}^{i}\hat{\textbf{z}}_{k}]^\mathrm{T}
Thestatemeasurementcrosscovariancematrix,
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isusedtocomputetheUKFKalmangain.
K_{k}=\textbf{P}_{x_{k}z_{k}}\textbf{P}_{z_{k}z_{k}}^{1}
AswiththeKalmanfilter,theupdatedstateisthepredictedstateplustheinnovationweightedbythe
Kalmangain,
\hat{\textbf{x}}_{k\midk}=\hat{\textbf{x}}_{k\midk1}+K_{k}(\textbf{z}_{k}
\hat{\textbf{z}}_{k})
Andtheupdatedcovarianceisthepredictedcovariance,minusthepredictedmeasurementcovariance,
weightedbytheKalmangain.
\textbf{P}_{k\midk}=\textbf{P}_{k\midk1}K_{k}\textbf{P}_{z_{k}z_{k}}
K_{k}^\mathrm{T}
KalmanBucyfilter
TheKalmanBucyfilter(namedafterRichardSnowdenBucy)isacontinuoustimeversionoftheKalman
filter.[34][35]
Itisbasedonthestatespacemodel
\frac{d}{dt}\mathbf{x}(t)=\mathbf{F}(t)\mathbf{x}(t)+\mathbf{B}(t)\mathbf{u}(t)+
\mathbf{w}(t)
\mathbf{z}(t)=\mathbf{H}(t)\mathbf{x}(t)+\mathbf{v}(t)
where
\mathbf{Q}(t) and
\mathbf{w}(t) and
\mathbf{R}(t) representtheintensitiesofthetwowhitenoiseterms
\mathbf{v}(t) ,respectively.
Thefilterconsistsoftwodifferentialequations,oneforthestateestimateandoneforthecovariance:
\frac{d}{dt}\hat{\mathbf{x}}(t)=\mathbf{F}(t)\hat{\mathbf{x}}(t)+\mathbf{B}(t)\mathbf{u}
(t)+\mathbf{K}(t)(\mathbf{z}(t)\mathbf{H}(t)\hat{\mathbf{x}}(t))
\frac{d}{dt}\mathbf{P}(t)=\mathbf{F}(t)\mathbf{P}(t)+\mathbf{P}(t)\mathbf{F}^{T}(t)+
\mathbf{Q}(t)\mathbf{K}(t)\mathbf{R}(t)\mathbf{K}^{T}(t)
wheretheKalmangainisgivenby
\mathbf{K}(t)=\mathbf{P}(t)\mathbf{H}^{T}(t)\mathbf{R}^{1}(t)
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Notethatinthisexpressionfor
\mathbf{K}(t) thecovarianceoftheobservationnoise
\mathbf{R}(t)
representsatthesametimethecovarianceofthepredictionerror(orinnovation)
\tilde{\mathbf{y}}(t)=\mathbf{z}(t)\mathbf{H}(t)\hat{\mathbf{x}}(t) thesecovariancesareequalonly
inthecaseofcontinuoustime.[36]
ThedistinctionbetweenthepredictionandupdatestepsofdiscretetimeKalmanfilteringdoesnotexistin
continuoustime.
Theseconddifferentialequation,forthecovariance,isanexampleofaRiccatiequation.
HybridKalmanfilter
Mostphysicalsystemsarerepresentedascontinuoustimemodelswhilediscretetimemeasurementsare
frequentlytakenforstateestimationviaadigitalprocessor.Therefore,thesystemmodelandmeasurement
modelaregivenby
\begin{align}\dot{\mathbf{x}}(t)&=\mathbf{F}(t)\mathbf{x}(t)+\mathbf{B}(t)\mathbf{u}
(t)+\mathbf{w}(t),&\mathbf{w}(t)&\simN\bigl(\mathbf{0},\mathbf{Q}(t)\bigr)\\\mathbf{z}_k
&=\mathbf{H}_k\mathbf{x}_k+\mathbf{v}_k,&\mathbf{v}_k&\sim
N(\mathbf{0},\mathbf{R}_k)\end{align}
where
\mathbf{x}_k=\mathbf{x}(t_k) .
Initialize
\hat{\mathbf{x}}_{0\mid0}=E\bigl[\mathbf{x}(t_0)\bigr],\mathbf{P}_{0\mid
0}=Var\bigl[\mathbf{x}(t_0)\bigr]
Predict
\begin{align}&\dot{\hat{\mathbf{x}}}(t)=\mathbf{F}(t)\hat{\mathbf{x}}(t)+\mathbf{B}(t)
\mathbf{u}(t)\text{,with}\hat{\mathbf{x}}(t_{k1})=\hat{\mathbf{x}}_{k1\midk1}\\
\Rightarrow&\hat{\mathbf{x}}_{k\midk1}=\hat{\mathbf{x}}(t_k)\\&\dot{\mathbf{P}}(t)=
\mathbf{F}(t)\mathbf{P}(t)+\mathbf{P}(t)\mathbf{F}(t)^T+\mathbf{Q}(t)\text{,with}
\mathbf{P}(t_{k1})=\mathbf{P}_{k1\midk1}\\\Rightarrow&\mathbf{P}_{k\midk1}=
\mathbf{P}(t_k)\end{align}
ThepredictionequationsarederivedfromthoseofcontinuoustimeKalmanfilterwithoutupdatefrom
measurements,i.e., \mathbf{K}(t)=0 .Thepredictedstateandcovariancearecalculatedrespectivelyby
solvingasetofdifferentialequationswiththeinitialvalueequaltotheestimateatthepreviousstep.
Update
\mathbf{K}_{k}=\mathbf{P}_{k\midk
1}\mathbf{H}_{k}^T\bigl(\mathbf{H}_{k}\mathbf{P}_{k\midk
1}\mathbf{H}_{k}^T+\mathbf{R}_{k}\bigr)^{1}
\hat{\mathbf{x}}_{k\midk}=\hat{\mathbf{x}}_{k\midk1}+\mathbf{K}_k(\mathbf{z}_k
\mathbf{H}_k\hat{\mathbf{x}}_{k\midk1})
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\mathbf{P}_{k\midk}=(\mathbf{I}\mathbf{K}_{k}\mathbf{H}_{k})\mathbf{P}_{k\midk
1}
TheupdateequationsareidenticaltothoseofthediscretetimeKalmanfilter.
Variantsfortherecoveryofsparsesignals
RecentlythetraditionalKalmanfilterhasbeenemployedfortherecoveryofsparse,possiblydynamic,
signalsfromnoisyobservations.Bothworks[37]and[38]utilizenotionsfromthetheoryofcompressed
sensing/sampling,suchastherestrictedisometrypropertyandrelatedprobabilisticrecoveryarguments,for
sequentiallyestimatingthesparsestateinintrinsicallylowdimensionalsystems.
Applications
AttitudeandHeadingReferenceSystems
Autopilot
Batterystateofcharge(SoC)estimation[39][40]
Braincomputerinterface
Chaoticsignals
TrackingandVertexFittingofchargedparticlesinParticleDetectors[41]
Trackingofobjectsincomputervision
Dynamicpositioning
Economics,inparticularmacroeconomics,timeseriesanalysis,andeconometrics[42]
Inertialguidancesystem
OrbitDetermination
Powersystemstateestimation
Radartracker
Satellitenavigationsystems
Seismology[43]
SensorlesscontrolofACmotorvariablefrequencydrives
Simultaneouslocalizationandmapping
Speechenhancement
Visualodometry
Weatherforecasting
Navigationsystem
3Dmodeling
Structuralhealthmonitoring
Humansensorimotorprocessing[44]
Seealso
Alphabetafilter
BayesianMMSEestimator
Covarianceintersection
Dataassimilation
EnsembleKalmanfilter
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ExtendedKalmanfilter
FastKalmanfilter
Filteringproblem(stochasticprocesses)
Generalizedfiltering
InvariantextendedKalmanfilter
Kerneladaptivefilter
LinearquadraticGaussiancontrol
Movinghorizonestimation
Nonlinearfilter
Particlefilterestimator
Predictorcorrector
Recursiveleastsquares
SchmidtKalmanfilter
Separationprinciple
Slidingmodecontrol
Stochasticdifferentialequations
Volterraseries
Wienerfilter
Zakaiequation
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Einicke,G.A.(2012).Smoothing,FilteringandPrediction:EstimatingthePast,PresentandFuture
(http://www.intechopen.com/books/smoothingfilteringandpredictionestimatingthepastpresentandfuture).
Rijeka,Croatia:Intech.ISBN9789533077529.
JinyaSuBaibingLiWenHuaChen(2015)."Onexistence,optimalityandasymptoticstabilityoftheKalman
30/33
7/27/2015
JinyaSuBaibingLiWenHuaChen(2015)."Onexistence,optimalityandasymptoticstabilityoftheKalman
filterwithpartiallyobservedinputs".Automatica53:149154.doi:10.1016/j.automatica.2014.12.044
(https://dx.doi.org/10.1016%2Fj.automatica.2014.12.044).
Gelb,A.(1974).AppliedOptimalEstimation.MITPress.
Kalman,R.E.(1960)."Anewapproachtolinearfilteringandpredictionproblems"
(http://www.elo.utfsm.cl/~ipd481/Papers%20varios/kalman1960.pdf)(PDF).JournalofBasicEngineering82(1):
3545.doi:10.1115/1.3662552(https://dx.doi.org/10.1115%2F1.3662552).Retrieved20080503.
Kalman,R.E.Bucy,R.S.(1961)."NewResultsinLinearFilteringandPredictionTheory"
(http://www.dtic.mil/srch/doc?collection=t2&id=ADD518892).Retrieved20080503.
Harvey,A.C.(1990).Forecasting,StructuralTimeSeriesModelsandtheKalmanFilter.CambridgeUniversity
Press.
Roweis,S.Ghahramani,Z.(1999)."AUnifyingReviewofLinearGaussianModels".NeuralComputation11
(2):305345.doi:10.1162/089976699300016674(https://dx.doi.org/10.1162%2F089976699300016674).
PMID9950734(https://www.ncbi.nlm.nih.gov/pubmed/9950734).
Simon,D.(2006).OptimalStateEstimation:Kalman,HInfinity,andNonlinearApproaches
(http://academic.csuohio.edu/simond/estimation/).WileyInterscience.
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Warwick,K.(1987)."OptimalobserversforARMAmodels"
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Bierman,G.J.(1977).FactorizationMethodsforDiscreteSequentialEstimation.MathematicsinScienceand
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Bozic,S.M.(1994).DigitalandKalmanfiltering.ButterworthHeinemann.
Haykin,S.(2002).AdaptiveFilterTheory.PrenticeHall.
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Manolakis,D.G.(1999).StatisticalandAdaptivesignalprocessing.ArtechHouse.
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(http://www.cs.unc.edu/~welch/media/pdf/scaat.pdf)(PDF).SIGGRAPH'97Proceedingsofthe24thannual
conferenceonComputergraphicsandinteractivetechniques.ACMPress/AddisonWesleyPublishingCo.
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Spivey,BenHedengren,J.D.andEdgar,T.F.(2010)."ConstrainedNonlinearEstimationforIndustrialProcess
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Python)FreebookonKalmanFilteringimplementedinIPythonNotebook.
Sourcecodeforthepropellermicroprocessor(http://obex.parallax.com/object/326):Well
documentedsourcecodewrittenfortheParallaxpropellerprocessor.
GeraldJ.Bierman'sEstimationSubroutineLibrary(http://netlib.org/a/esl.tgz):Correspondstothe
codeintheresearchmonograph"FactorizationMethodsforDiscreteSequentialEstimation"
originallypublishedbyAcademicPressin1977.RepublishedbyDover.
MatlabToolboximplementingpartsofGeraldJ.Bierman'sEstimationSubroutineLibrary
(http://www.mathworks.com/matlabcentral/fileexchange/32537):UD/UDU'andLD/LDL'
factorizationwithassociatedtimeandmeasurementupdatesmakinguptheKalmanfilter.
MatlabToolboxofKalmanFilteringappliedtoSimultaneousLocalizationandMapping
(http://eia.udg.es/~qsalvi/Slam.zip):Vehiclemovingin1D,2Dand3D
Derivationofa6DEKFsolutiontoSimultaneousLocalizationandMapping
(http://www.mrpt.org/6DSLAM)(InoldversionPDF
(http://mapir.isa.uma.es/~jlblanco/papers/RangeBearingSLAM6D.pdf)).Seealsothetutorialon
implementingaKalmanFilter(http://www.mrpt.org/Kalman_Filters)withtheMRPTC++libraries.
TheKalmanFilterExplained(http://www.tristanfletcher.co.uk/LDS.pdf)Averysimpletutorial.
TheKalmanFilterinReproducingKernelHilbertSpaces
(http://www.cnel.ufl.edu/~weifeng/publication.htm)Acomprehensiveintroduction.
MatlabcodetoestimateCoxIngersollRossinterestratemodelwithKalmanFilter
(http://www.mathfinance.cn/kalmanfilterfinancerevisited/):Correspondstothepaper"estimating
andtestingexponentialaffinetermstructuremodelsbykalmanfilter"publishedbyReviewof
QuantitativeFinanceandAccountingin1999.
ExtendedKalmanFilters(http://apmonitor.com/wiki/index.php/Main/Background)explainedinthe
contextofSimulation,Estimation,Control,andOptimization
OnlinedemooftheKalmanFilter(http://www.dataassimilation.net/Tools/AssimDemo/?
method=KF).DemonstrationofKalmanFilter(andotherdataassimilationmethods)usingtwin
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experiments.
Botella,GuillermoMartnh.,JosAntonioSantos,MatildeMeyerBaese,Uwe(2011)."FPGA
BasedMultimodalEmbeddedSensorSystemIntegratingLowandMidLevelVision".Sensors11
(12):12511259.doi:10.3390/s110808164(https://dx.doi.org/10.3390%2Fs110808164).
HookesLawandtheKalmanFilter(http://finmathblog.blogspot.com/2013/10/hookeslawand
kalmanfilterlittle.html)Alittle"springtheory"emphasizingtheconnectionbetweenstatisticsand
physics.
ExamplesandhowtoonusingKalmanFilterswithMATLAB
(http://www.mathworks.com/discovery/kalmanfilter.html)ATutorialonFilteringandEstimation
ExplainingFiltering(Estimation)inOneHour,TenMinutes,OneMinute,andOneSentence
(http://blog.sciencenet.cn/home.php?mod=space&uid=1565&do=blog&id=851754)byYuChiHo
Retrievedfrom"https://en.wikipedia.org/w/index.php?title=Kalman_filter&oldid=672721435"
Categories: Controltheory Nonlinearfilters Linearfilters Signalestimation
Stochasticdifferentialequations Robotcontrol Markovmodels Hungarianinventions
Thispagewaslastmodifiedon23July2015,at12:13.
TextisavailableundertheCreativeCommonsAttributionShareAlikeLicenseadditionaltermsmay
apply.Byusingthissite,youagreetotheTermsofUseandPrivacyPolicy.Wikipediaisa
registeredtrademarkoftheWikimediaFoundation,Inc.,anonprofitorganization.
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