IEEE TRANSACTIONS ON EDUCATION, VOL. 42, NO.

3, AUGUST 1999

225

Short Papers
A Note on Kalman Filtering
Chiman M. Kwan, Senior Member, IEEE, and Frank L. Lewis, Fellow, IEEE

 (0; 1) is the process noise, v  (0; 0:5) is the measurement noise, and the initial condition x(0)  (0; 1): Note that w, v , and x(0) are mutually uncorrelated with each other. Following the procedure of [1], the CKF can be designed as follows:
w _ x = 0:2x + K (t)(z ^ ^ _ Pc = 0:4Pc + 1 K (t) = 2Pc

AbstractThe purpose of this paper is to point out a confusing phenomenon in the teaching of Kalman ltering. Students are often confused by noting that the a posteriori error covariance of the discrete Kalman lter (DKF) is smaller than the error covariance of the continuous Kalman lter (CKF), which would mean that the DKF is better than CKF since it gives a smaller error covariance. However, simulation results show that CKF gives estimates much closer to the true states. We will provide a simple qualitative argument to explain this phenomenon. Index TermsCovariance, Kalman lter, state estimate.

0
2

x) ^

2Pc

(2)

where Pc is the continuous error covariance between the true state and the estimated state x(t): Suppose the sampling period is T : ^ The discrete model (1) is given by
x(t) xk

+1 = As xk + wk ;
zk = xk + vk ; vk

I. INTRODUCTION Given a continuous state-space system model, there are three ways of Kalman lter design depending upon the measurement process. 1) If the measurement process is continuous, we should use a) the continuous Kalman lter (CKF). where

wk

(0; Q )
s

(0; R )

(3)

=e

0:2T
T

0
0:5 T :

0:4t dt = 2:5(e0:4T 0 1)

2) If the measurement process is discrete, one has two options: a) b) design a continuous-discrete Kalman lter (CDKF); discretize the continuous model and design a discrete Kalman lter (DKF)

Based on (3), we can design a DKF based on the procedure of [1] as follows. Initialization:
x ^

Students often ask the following reasonable question: Which one is the best? It is obvious that CKF gives the best performance since there is a continuous ow of measurement data (information) into the Kalman lter. Also one should note that the DKF and CDKF converge to the CKF as the sampling period T goes to zero. However, when one plots the error covariance of the three designs, he discovers that, for nite T , the DKF and CDKF give lower a posteriori error covariances which would mean DKF and CDKF are better than CKF (Figs. 13). The most confusing thing is that, as T goes larger, the a posteriori error covariances of DKF and CDKF go even smaller. This is completely absurd because the actual estimation error grows up with increasing T ! It should be noted that no textbooks (for example, [1][3] and references therein) have addressed this issue yet. We believe this is an important issue that is worth discussion. II. MAIN RESULTS Consider a very simple continuous system
x = 0:2x + w _ z = x + v:

0 = 0;

0 = 1:

Time update:

0 P
Measurement update at
Pk

xk ^

^ +1 = 0:2xk ; k+1 = 0:4Pk + 1: tk

0 +1 = [(Pk+1 )01 + (Rs )01]01 0 + Kk+1 (zk+1 0 x0 ) xk+1 = xk+1 ^ ^ ^k+1 s Kk+1 = Pk+1 =R :

(4)

We can also design a CDKF using the procedures of [1] as follows. Initialization:
x ^

0 = 0;

0 = 1:

Time update:
_ x = 0:2x; ^ ^ _ Pcd = 0:4Pcd + 1:

(1)

We will use the symbol n  (n; Pn ) to denote a random process with n, Pn the mean and covariance of n, respectively. Here

Measurement update at times

Kk = P
k

Manuscript received September 15, 1994; revised March 9, 1999. C. M. Kwan is with Intelligent Automation Incorporated, Rockville, MD 20850 USA. F. L. Lewis is with the Automation and Robotics Research Institute, The University of Texas at Arlington, Fort Worth, TX 76118 USA. Publisher Item Identier S 0018-9359(99)06324-4.

0 (t ) + R ]01 0 P (t ) = (I 0 K )P (t ) 0 + K (z 0 x0 ): ^ ^ x =x ^
k )[P k k s k k k k k k

0 (t

tk

(5)

The simulation results are shown in Figs. 13. Fig. 1 shows the state estimation errors and error covariances of the three lters. The sampling period T for the DKF and CDKF is 1 s. Figs. 23 shows

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Fig. 1. Simulation results with a sampling period

= 1 s.

Fig. 2. Simulation results with a sampling period

= 0:5 s.

the same things except the sampling periods. The sampling periods for Figs. 2 and 3 are 0.5 and 0.1 s, respectively. One can easily obtain the following observations. 1) The estimation errors of DKF and CDKF grow up as sampling period T increases. However, the a posteriori error covariances of DKF and CDKF actually decrease. The larger is the sampling period T , the smaller are the a posteriori error covariances.

2) The DKF and CDKF converge to the same performance of the CKF as sampling period T decreases. 3) The a posteriori error covariance of DKF and CDKF are the same. It is quite easy to explain 2). See, for example, [1, ch. 3]. It is also easy to explain 3) because the measurement updates of DKF and CDKF are based on the same measurement data at time tk . To

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227

Fig. 3. Simulation results with a sampling period

= 0:1 s.

explain 1), it should be noted that there are no textbooks that have addressed this issue yet. This is a nontrivial problem that is worth some explanations. Let us concentrate on the comparison between CKF and DKF. By denition, Pk in (4) is given by
k=
E [(x

posteriori error covariances of DKF and CDKF may be misleading in this situation. REFERENCES
[1] F. L. Lewis, Optimal Estimation. New York: Wiley, 1986. [2] B. D. O. Anderson and J. B. Moore, Optimal Filtering. Englewood Cliffs, NJ: Prentice-Hall, 1979. [3] J. M. Maciejowski, Multivariable Feedback Theory. Reading, MA: Addison-Wesley, 1989.

0 ^k )2 ]
x

where xk and xk are the true and estimated states. Note xk is scalar ^ in this example. Pc (t) in (2) is dened as
Pc (t)

E [(x(t)

0 ^( ))2 ]
x t

At the sampling time tk , Pc (t) is just Pc (tk ): Based on observation 1), we would get the following conclusions. 1) x(tk ) 0 x(tk ) is larger than xk 0 xk since the DKF gives a ^ ^ lower a posteriori error covariance. 2) x(tk ) 0 x(tk ) is smaller than xk 0 xk because the estimation ^ ^ error of CKF is lower. This conicting phenomenon is very confusing for students. Our explanation is very simple and intuitive. It should be noted that DKF is only optimal with respect to the discrete model (3). It is not optimal with respect to the original model (1) since the discretized model (3) is only an approximation of (1). The DKF estimation error based on the discrete model is xk 0 xk : Although xk 0 xk is smaller as ^ ^ indicated by a smaller a posteriori error covariance, this does not imply x(tk ) 0 xt is smaller. Similar conclusions can be drawn in ^ the case of CDKF. Thus, to compare the performance of different Kalman lter designs on a continuous system, it might be appropriate and consistent to use the a priori error covariances of DKF and CDKF. The a

Chiman Kwan (S95M93SM98) was born on 19 February, 1966 in Jilian, China. He received the B.S. degree in electronics with honors from the Chinese University of Hong Kong in 1988 and the M.S. and Ph.D. degrees in electrical engineering from the University of Texas at Arlington in 1989 and 1993, respectively. From April 1991 to Februrary 1994, he worked in the Beam Instrumentation Department of the Superconducting Super Collider Laboratory (SSC), where he was heavily involved in the modeling, simulation, and design of modern digital controllers and signal processing algorithms for the beam control and synchroniation system. He later joined the Automation and Robotics Research Institute, Fort Worth, TX, where he applied intelligent control methods such as neural networks and fuzzy logic to the control of power systems, robots, and motors. Since July 1995, he has been the Director of Robotics Research at Intelligent Automation Inc., Rockville, MD, where he has been involved in more than ten different projects: modeling and control of advanced machine tools, digital control of high-precision electron microscope, enhancement of microscope images, adaptive antenna arrays for beam forming, automatic target recognition of FLIR and SAR images, fast ow control in communication networks, vibration management of gun pointing system, health monitoring of ight critical systems, high-speed piezoelectric actuator control, fault-tolerant missile control, image processing of infrared images, active speech enhancement, and underwater vehicle control. His primary research areas include robust and adaptive control methods, signal and image processing, communications, neural networks, and fuzzy logic control. Dr. Kwan received an invention award for his work at SSC.

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Frank L. Lewis (S78M81SM86F94) was born in Wurzburg, Germany, subsequently studying in Chile and Scotland. He received the B.S. degree in phsics/electrical engineering and the Masters of electrical engineering degree at Rice University, Houston, TX, in 1971. In 1977, he received the Masters of Science in aeronautical engineering from the University of West Florida, Pensacola. In 1981, he received the Ph.D. degree at the Georgia Institute of Technology, Atlanta. He spent six years in the U.S. Navy, serving as a Navigator aboard the frigate USS Trippe (FF-1075), and Executive Ofcer and Acting Commanding Ofcer aboard USS Salinan (ATF-161). He was with the Georgia Institute of Technology, Atlanta, from 1981 to 1990, and is currently an Adjunct Professor. He was awarded the Moncrief-ODonnel Endowed Chair in 1990 at the Automation and Robotics Research Institute of The University of Texas at Arlington. He has studied the geometric properties of the Riccati equation and implicit systems. His current interests include robotics, intelligent control, nonlinear systems, and manufacturing process control. He is the author/coauthor of more than 100 journal papers, more than 150 conference papers, and six books. Dr. Lewis is a registered Professional Engineer in the State of Texas, Associate Editor of Circuits, Systems, and Signal Processing, and the recipient of an NSF Research Initiation Grant, a Fulbright Research Award, the American Society of Engineering Education F. E. Terman Award, three Sigma Xi Research Awards, the UTA Halliburton Engineering Research Award, the UTA University-wide Distinguished Research Award, and the IEEE Control Systems Society Best Chapter Award (as founding Chairman). He was selected as Engineer of the Year in 1994 by the IEEE Fort Worth Section.

Fig. 1. Nyquist plot of H (s) = (1 + s)=s: (a) the expected plot and (b) the correct plot.

clarify this issue, since some standard textbooks on control theory do not address it. A rational function of type n 2 IN can be written as

P (s) H (s) = n s Q(s)

(2)

Concerning the Nyquist Plots of Rational Functions of Nonzero Type

Paulo J. S. G. Ferreira

where P (s) and Q(s) are polynomials. When the type is one or higher, H (s) has poles at s = 0, and the Nyquist plot branches approach the point at innity as s = j! ! 0. The phase angle subtended by a point on the branches then converges to a multiple of =2. However, this does not mean that the branches approach one of the axes. As the following counterexamples show, for systems of type two the branches may even move further and further away from both axes as ! ! 0. II. EXAMPLES

Abstract The Nyquist plots of rational functions of type one or higher are often represented with branches that tend to innity while approaching either the real or imaginary axis. It is shown that this fails to be true in general, a fact that appears to have little, if any, impact on the usual analysis. However, it has pedagogical interest since it explains the discrepancy between the shape of the Nyquist plots obtained analytically, or with the help of computer programs in the classroom, and the plots found in many standard textbooks. The discrepancy is most clear when the system type is at least two, in which case the branches may move innitely further from both axes. Index TermsControl engineering education, control systems, Nyquist plots.

Example 1: The Nyquist plot of

H (s) =
In this case

s+1 : s
=1 1 0j !

(3)

H (j!) =
and consequently

j! + 1 j!

(4)

ReH (j! ) = 1; Im H (j! ) = 1 0!:

(5)

I. INTRODUCTION The Nyquist plot of H (s) is the locus, in the complex plane, of the points1

fReH (j!); ImH (j!)g

(1)

The Nyquist plot corresponding to ! 2 I + is clearly a vertical halfR line ending in (1, 0) [see Fig. 1(b)]. Usually, the student expects a plot similar to the one depicted in Fig. 1(a). Example 2: The Nyquist plot of

as a function of ! . The traditional Nyquist plot of a rational function H (s) of type one or higher often shows branches which tend to innity while approaching either the real or imaginary axis. This is, in general, incorrect. The purpose of this note is to discuss and
Manuscript received August 7, 1995; revised April 15, 1999. The author is with the Departamento de Electr nica e Telecomunica oes, o c Universidade de Aveiro, 3810 Aveiro, Portugal. Publisher Item Identier S 0018-9359(99)06313-X. 1 The real and imaginary parts of a complex s are denoted by Res and Ims, respectively. The imaginary unit is denoted by j .

H (s) = s + 1 : s2
In this case

(6)

H (j!) = j! +21 0!
ReH (j! ) = ImH (j! ) =

(7)

and thus

1 0!

!2

(8) .

00189359/99$10.00 1999 IEEE