1

ACM 116: The Kalman filter

• Example

• General Setup

• Derivation

• Numerical examples

– Estimating the voltage

– 1D tracking

– 2D tracking

2

Example: Navigation Problem

• Truck on “frictionless” straight rails

• Initial position X0 = 0

• Movement is buffeted by random accelerations

• We measure the position every ∆t seconds

• State variables (Xk, Vk) position and velocity at time k∆t

Xk = Xk−1 + Vk−1∆t + ak−1∆t2/2

Vk = Vk−1 + ak−1∆t

where ak−1 is a random acceleration

• Observations

Yk = Xk + Zk

where Zk is a noise term.

The goal is to estimate the position and velocity at all times.

3

General Setup

Estimation of a stochastic dynamic system

• Dynamics

Xk = Fk−1Xk−1 + Bk−1uk−1 + Wk−1

– Xk: state of the system at time k

– uk−1: control-input

– Wk−1: noise

• Observations

Yk = HkXk + Zk

– Yk is observed

– Zk is noise

• The noise realizations are all independent

• Goal: predict state Xk from past data Y0, Y1, . . . , Yk−1.

4

Derivation

Derivation in the simpler model where the dynamics is of the form

Xk = ak−1Xk−1 + Wk−1

and the observations

Yk = Xk + Zk

The objective is to find, for each time k, the minimum MSE filter based onY0, Y1, . . . , Yk−1

X̂k =k∑

j=1

h(k−1)j Yk−j

To find the filter, we apply the orthogonality principle

E((Xk −k∑

j=1

h(k−1)j Yk−j)Y`) = 0, ` = 0, 1, . . . , k − 1.

5

Recursion

The beautiful thing about the Kalman filter is that one can almost deduce theoptimal filter to predict Xk+1 from that predicting Xk.

h(k)j+1 = (ak − h

(k)1 )h(k−1)

j , j = 1, . . . , k.

Given the filter h(k−1), we only need to find h(k)1 to get the filter at the next

time step.

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How to find h(k)1 ?

Observe that the next prediction is equal to

X̂k+1 = h(k)1 Yk +

k∑j=1

(ak − h(k)1 )h(k−1)

j Yk−j

= akX̂k + h(k)1 (Yk − X̂k)

Interpretation

X̂k+1 = akX̂k + h(k)1 Ik

• akX̂k is the prediction based on the estimate at time k

• h(k)1 Ik is a corrective term which is available since we now see Yk

– h(k)1 is called the gain

– Ik = Yk − X̂k is called the innovation

7

Error of Prediction

To find h(k)1 , we look at the error of prediction

εk = Xk − X̂k

We have the recursion

εk+1 = (ak − h(k)1 )εk + Wk − h

(k)1 Zk

• ε0 = Z0

• E(εk) = 0

• E(ε2k+1) = [ak − h

(k)1 ]2E(ε2

k) + E(W 2k ) + [h(k)

1 ]2E(Z2k)

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To minimize the MSE εk+1, we adjust h(k)1 so that

∂h

(k)1

E(ε2k+1) = 0 = −2(ak − h

(k)1 )E(ε2

k) + 2h(k)1 E(Z2

k)

which is given by

h(k)1 =

akE(ε2k)

E(ε2k) + E(Z2

k)

Note that this gives the recurrence relation

E(ε2k+1) = ak(ak − h

(k)1 )E(ε2

k) + E(W 2k )

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The Kalman Filter Algorithm

• Initialization X̂0 = 0, E(ε20) = E(Z2

0)

• Loop: for k = 0, 1, . . .

h(k)1 =

akE(ε2k)

E(ε2k) + E(Z2

k)

X̂k+1 = akX̂k + h(k)1 (Yk − X̂k)

E(ε2k+1) = ak(ak − h

(k)1 )E(ε2

k) + E(W 2k )

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Benefits

• Requires no knowledge about the structure of Wk and Zk (only variances)

• Easy implementation

• Many applications

– Inertial guidance system

– Autopilot

– Satellite navigation system

– Many others

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General Formulation

Xk = Fk−1Xk−1 + Wk−1

Yk = HkXk + Zk

The covariance of Wk is Qk and that of Zk is Rk.

Two variables:

• X̂k|k estimate of the state at time k based upon Y0, . . . , Yk−1

• Ek|k error covariance matrix, Ek|k = Cov(Xk − X̂k|k)

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Prediction

X̂k+1|k = FkX̂k|k−1

Ek+1|k = FkEk|k−1F Tk + Qk

Update

Ik = Yk − HkX̂k+1|k Innovation

Sk = HkEk+1|kHTk + Rk Innovation covariance

Kk = Ek+1|kHTk S−1

k Kalman Gain

X̂k+1|k+1 = X̂k+1|k + KkIk Updated state estimate

Ek+1|k+1 = (Id − KkHk)Ek+1|k Updated error covariance

13

Estimating Constant Voltage

We wish to estimate some voltage which is almost constant except for somesmall random fluctuations. Our measuring device is imperfect (e.g. because ofa poor A/D conversion). The process is governed by:

Xk = X0 + Wk, k = 1, 2, . . .

with X0 = 0.5V , and the measurements are

Zk = Xk + Vk, k = 1, 2, . . .

where Wk, Vk are uncorrelated Gaussian white noise processes, withR := Var(Vk) = 0.01, Var(Wk) = 10−5.

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0 5 10 15 20 25 30 35 40 45 500

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8Accurate knowledge of measurement variance, Rest=R=0.01

Iteration

Volta

ge

estimateexact processmeasurements

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0 5 10 15 20 25 30 35 40 45 500

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8Optimistic estimate of measurement variance, Rest=0.0001

Iteration

Volta

ge

estimateexact processmeasurements

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0 5 10 15 20 25 30 35 40 45 500

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8Pessimistic estimate of measurement variance, Rest=1

Iteration

Volta

ge

estimateexact processmeasurements

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1D Tracking

Estimation of the position of a vehicle.

Let X be a state variable (position and speed), and A is a transition matrix

A =

1 ∆t

0 1

.

The process is governed by:

Xn+1 = AXn + Wn

where Wn is a zero-mean Gaussian white noise process. The observation is

Yn = CXn + Zn

where the matrix C only picks up the position and Zn is another zero-meanGaussian white noise process independent of Wn.

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0 5 10 15 20 25!4

!2

0

2

4

6

8

Time

Posi

tion

Estimation of a moving vehicle in 1!D.

exact positionmeasured positionestimated position

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2D Example

General setup

X(t + 1) = FX(t) + W (t), W ∼ N(0, Q),

Y (t) = HX(t) + V (t), V ∼ N(0, R)

Moving particle at constant velocity subject to random perturbations in itstrajectory. The new position (x1, x2) is the old position plus the velocity(dx1, dx2) plus noise w.

x1(t)

x2(t)

dx1(t)

dx2(t)

=

1 0 1 0

0 1 0 1

0 0 1 0

0 0 0 1

x1(t − 1)

x2(t − 1)

dx1(t − 1)

dx2(t − 1)

+

w1(t − 1)

w2(t − 1)

dw1(t − 1)

dw2(t − 1)

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Observations

We only observe the position of the particle.

y1(t)

y2(t)

=

1 0 0 0

0 1 0 0

x1(t)

x2(t)

dx1(t)

dx2(t)

+

v1(t)

v2(t)

Source: http://www.cs.ubc.ca/∼murphyk/Software/Kalman/kalman.html

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Implementation

% Make a point move in the 2D plane

% State = (x y xdot ydot). We only observe (x y).

% This code was used to generate Figure 17.9 of

% "Artificial Intelligence: a Modern Approach",

% Russell and Norvig, 2nd edition, Prentice Hall, in preparation.

% X(t+1) = F X(t) + noise(Q)

% Y(t) = H X(t) + noise(R)

ss = 4; % state size

os = 2; % observation size

F = [1 0 1 0; 0 1 0 1; 0 0 1 0; 0 0 0 1];

H = [1 0 0 0; 0 1 0 0];

Q = 1*eye(ss);

R = 10*eye(os);

initx = [10 10 1 0]’;

initV = 10*eye(ss);

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seed = 8; rand(’state’, seed);

randn(’state’, seed);

T = 50;

[x,y] = sample_lds(F,H,Q,R,initx,T);

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Apply Kalman Filter

[xfilt,Vfilt] = kalman_filter(y,F,H,Q,R,initx,initV);

dfilt = x([1 2],:) - xfilt([1 2],:);

mse_filt = sqrt(sum(sum(dfilt.ˆ2)))

figure;

plot(x(1,:), x(2,:), ’ks-’);

hold on

plot(y(1,:), y(2,:), ’g*’);

plot(xfilt(1,:), xfilt(2,:), ’rx:’);

hold off

legend(’true’, ’observed’, ’filtered’, 0)

xlabel(’X1’), ylabel(’X2’)

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X2

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Apply Kalman Smoother

[xsmooth, Vsmooth] = kalman_smoother(y,F,H,Q,R,initx,initV);

dsmooth = x([1 2],:) - xsmooth([1 2],:);

mse_smooth = sqrt(sum(sum(dsmooth.ˆ2)))

figure;

hold on

plot(x(1,:), x(2,:), ’ks-’);

plot(y(1,:), y(2,:), ’g*’);

plot(xsmooth(1,:), xsmooth(2,:), ’rx:’);

hold off

legend(’true’, ’observed’, ’smoothed’, 0)

xlabel(’X1’), ylabel(’X2’)

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!!0 !#0 !20 !10 0 10 2010

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!0

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(0

)1

)2

*+,-./0-+1-203..*4-2

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