Ulrik Sderstrm

ulrik.soderstrom@tfe.umu.se
9 Dec 2005

Kalman filter

General Introduction

What is a Kalman filter

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Optimal recursive data processing algorithm

Typical Kalman filter application

Concept introduction
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Kalman filter
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A set of mathematical equations

Iterative, recursive process
Optimal data processing algorithm under certain
criteria
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Discrete linear data

Extended KF, Unscented KF

Estimates past, present, future states

Optimal
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Dependent upon the criteria chosen to

evaluate performance
Under certain assumptions, KF is optimal
with respect to virtually any criteria that
makes sense
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Linear data
Gaussian model

Mean = Median = Max

Recursive
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A Kalman filter only needs info from the

previous state
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Updated for each iteration

Older data can be discarded
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Saves computation capacity and storage

Variable definition
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xk = state vector, process to examine

wk = process noise
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vk = measurement noise
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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
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Mathematics
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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
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Kk in the previous slides

Relates the new estimate to the most certain
of the previous estimates
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Large measurement noise -> Small gain

Large system noise -> Large gain

System and measurement noise unchanged

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Steady-state Kalman Filter

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Iterative calculations
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Prediction
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The state
The error covariance

Initial
estimates
Update

Update
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Kalman gain
Update with new measurement
Update with new error covariance

Predict

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Iterative calculations
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Prediction
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xk=Axk-1 + wk-1

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

Update
1
z K = AP S
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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
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Conclusions
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Given
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A system model
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With random initial state

Driven by white noise

Noisy measurements of linear combinations of the

system state variables

Determine
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The best estimate of the system state variables

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Applications

Anything that can be measured and

estimated
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Initial state, noise models, system model

Often difficult to estimate system model
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Which type of KF should be used?

Estimation
Filtering
Prediction
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Tracking in VR
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Pose
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Where is somebody looking

Head position (any limb)

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Where is the limb?

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Navigation
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Space shuttles
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Keep shuttle stable

GPS
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Received GPS signal can be refined with a

Kalman filter

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Control system
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Nuclear plants
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Large system
Important to know the system state

Climate control systems

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Cars, houses

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Image processing
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Image compression
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Update compression iteratively

Resembling Matching Pursuit

Image filtering
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Un-linear filtering
Remove certain features

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Economics
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Large scale models

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Little control
Many parameters
Not correct models

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Fridays presentation
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MSP 1
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Discrete Kalman filter

Extended Kalman filter

MSP 2
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Unscented Kalman filter

Comparison of EKF and UKF

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