An introduction to scalar Kalman filters

The Scalar Kalman Filter

This document gives a brief introduction to the derivation of a Kalman filter when the input is a scalar quantity. It is split into several
sections:
Defining the Problem
Finding K, the Kalman Filter Gain
Finding the a priori covariance
Finding the a posteriori covariance
Review of Pertinent Results
Alternate, More Common, Notation
Examples
Going further
References

Defining the Problem

Discrete time linear systems are often represented in a state variable format given by the equation:
Equation 1
where, for this discussion, the state, xj, is a scalar, a and b are constants and the input uj is a scalar; j represents the time
variable. Note that many texts don't include the input term (it may be set to zero), and most texts use the variable k to
represent time. I have chosen to use j to represent the time variable because we use the variable k for the Kalman filter gain
later in the text. The equation states that the current value of the variable (xj) is equal to the last value (xj-1) multiplied by a
constant (a) plus the current input (uj) mulitiplied by another constant (b). Equation 1 can be represented pictorially as shown
below, where the block with T in it represents a time delay (the input is xj, the output is xj-1). Note: some books will use z-1 or
1/z in place of T.

Figure 1
Now imagine some noise is added to the process such that:
Equation 2
The noise, w, is white noise source with zero mean and covariance Q and is uncorrelated with the input. The process can
now be represented as shown:

Figure 2

An introduction to scalar Kalman filters

Given a situation like the one shown above, a typical question might be: Can we filter the signal x so that the effects of the
noise w are minimized? The answer, it turns out is yes. However, with Kalman filters we can go one step further.
Let us assume that the signal x is not directly measured, but instead we measure z which is x multiplied by a gain (h) with
noise added (v).
Equation 3
The measured value z depends on the current value of x, as determined by the gain h. Additionally, the measurement has its
own noise, v, associated with it. The noise, v, is white noise source with zero mean and covariance R and is uncorrelated
with the input or with the noise w. The two noise sources are independent of each other and independent of the input.

Figure 3

The task of the Kalman filter can now be stated as: Given a system such as the one shown above, how can we filter z so as to
estimate the variable x while minimizing the effects of w and v?
It seems reasonable to achieve an estimate of the state (and the output) by simply reproducing the system architecture. This
simple (and ultimately useless) way to get an estimate of xj (which we will callx^j), is diagrammed below.

Figure 4

This approach has two glaring weakness. The first is that there is no correction. If we don't know the quantities a, b or h
exactly (or the initial value x0), the estimate will not track the exact value of x. Secondly, we don't compensate for the
addition of the noise sources (w and v). An improved arrangement which takes care of both of these problems is shown
below.

An introduction to scalar Kalman filters

Figure 5

This figure is much like the previous one. The first difference noted is that the original estimate of xj is now called x^-j ; we will
refer to this as the a priori estimate.
Equation 4
We use this a priori estimate to predict an estimate for the output, z^j. The difference between this estimated output and the
actual output is called the residual, or innovation.
Equation 5
If the residual is small, it generally means we have a good estimate; if it is large the estimate is not so good. We can use this
information to refine our estimate of xj; we call this new estimate the a posteriori estimate, x^.j If the residual is small, so is the
correction to the estimate. As the residual grows, so does the correction. The pertinent equation is (from the block diagram):
Equation 6
The only task now is to find the quantity k that is used to refine our estimate, and it is this process that is at the heart of
Kalman filtering.
Note: We are trying to find an optimal estimator, and thus far we are only optimizing the value for the gain, k.
We have assumed that a copy of the original system (i.e., the gains a, b, and h arranged as shown) should be used
to form the estimator. This begs the question: "Is the estimator as developed above optimal?" In other words,
should we simply copy the original system in order to estimate the state, or is there perhaps a better way? The
answer it turn out, is that the estimator, as shown above, is the optimal linear estimator that can be developed.
The details are here.

Finding K, the Kalman Filter Gain

(you can skip the next three sections if you are not interested in the math).

To begin, let us define the errors of our estimate. There will be two errors, an a priori error, ej-, and an a posteriori error, ej.
Each one is defined as the difference between the actual value of xj and the estimate (either a priori or a posteriori).

Equation 7

Associated with each of these errors is a mean squared error, or variance:

An introduction to scalar Kalman filters

Equation 8

where the operator E{ } represents the expected, or average, value. These definitions will be used in the calculation of the
quantity k.
A Kalman filter minimizes the a posteriori variance, pj, by suitably choosing the value of k. We start by substituting equation
7 into equation 8, and then substituting in equation 6.

Equation 9
To find the value of k that minimizes the variance we differentiate this expression with respect to k and set the derivative to
zero. Be patient here, the expression gets much messier before it becomes simple.

Equation 10
We take this last expression and use it to solve for k.

Equation 11

This expression is still quite complicated. To simplify it we will consider the numerator and the denominator separately.
We start with the numerator, and substitute in equation 3 for zj.

The measurement noise, v, is uncorrelated to either the input or the a priori estimate of x, so:

An introduction to scalar Kalman filters

Equation 12
This simplifies the expression for the numerator.

Equation 13
Now, in the same way, consider the denominator.

Equation 14

Again, we can use the orthogonality condition from equation 12 to set the last term to zero, so:

Equation 15

where we used the simplification from equation 13 for the first term in the expression, and using the definition of the
measurement noise for the second term.
Using the expression for numerator and denominator, we finally get a simple expression for k:
Equation 16

However, there is still a problem because this expression needs a value for the a priori covariance which in turn requires a
knowledge of the system variable xj. Therefore our next task will be to find an estimate for the a priori covariance.
Before we move on, let's look at this equation in detail. First note that the "constant", k, changes at every iteration. For this
reason it should really be written with a subscript (i.e., kj). We'll be more careful about this later.
Next, and more significantly, we can examine what happens as each of the three terms in equation 16 are varied.
If the a priori error is very small, k is correspondingly very small, so our correction is also very small. In other words
we will ignore the current measurement and simply use past estimates to form the new estimate. This is as expected -if our first estimate (the a priori estimate) is good (i.e., with small error) there is very little need to correct it.
If the a priori error is very large (so that the measurement noise term, R, in the denominator is unimportant) then
k=1/h. This, in effect, tells us to throw away the a priori estimate and use the current (measured) value of the output to
estimate the state. This is made clear by substitution into equation 6. Again, this is as expected -- if the a priori error is
large then we should disregard the a priori estimate, and instead use the current measurement of the output to form our
estimate of the state.

An introduction to scalar Kalman filters

If the measurement noise, R, is very large, k is again very small, so we disregard the current measurement in forming
the new estimate. This is as expected -- if the measurement noise is large, then we have low confidence in the
measurement and our estimate will depend more upon the previous estimates.

Finding the a priori covariance

Finding the a priori covariance is straightforward starting with its definition.

The middle term drops out as before because the process noise is uncorrelated with previous values of the either the state or
its a priori estimate.
Equation 17
so

Equation 18

We are still not finished, however, because we need an expression for pj, the a posteriori estimate.

Finding the a posteriori covariance

As with the a priori covariance, we find the a posteriori covariance by starting with its definition.

An introduction to scalar Kalman filters

Equation 19

The middle term drops out as before because the measurement noise is uncorrelated with the current values of the either the
state or its a priori estimate.

Equation 20

So

Equation 21

We can simplify this by using our previous definition for k (Equation 16 rearranged)
Equation 22

Substituting Equation 22 into Equation 21 yields

Equation 23

Review of Pertinent Results

Any Kalman filter operation begins with a system description consisting of gains a, b and h. The state is x, the input to the
system is u, and the output is z. The time index is given by j.

The process has two steps, a predictor step (which calculates the next estimate of the state based only on past measurements

An introduction to scalar Kalman filters

of the output), and a corrector step (which uses the current value of the estimate to refine the result given by the predictor
step).
Predictor Step
We form the a priori state estimate based on the previous estimate of the state and the current value
of the input.

We can now calculate the a priori covariance

Note that these two equations use previous values of the a posteriori state estimate and covariance.
Therefore the first iteration of a Kalman filter requires estimates (which are often just guesses) of
the these two variables. The exact estimate is often not important as the values converge towards the
correct value over time; a bad initial estimate just takes more iterations to converge.
Corrector Step
To correct the a priori estimate, we need the Kalman filter gain, k.

This gain is used to refine (correct) the a priori estimate to give us the a posteriori estimates.

We can now calculate the a posteriori covariance

Notes about the Kalman filter gain, kj.

If the a priori error is very small, k is correspondingly very small, so our correction is also
very small. In other words we will ignore the current measurement and simply use past
estimates to form the new estimate. This is as expected -- if our first estimate (the a priori
estimate) is good (i.e., with small error) there is very little need to correct it.
If the a priori error is very large (so that the measurement noise term, R, in the denominator is
unimportant) then k=1/h. This, in effect, tells us to throw away the a priori estimate and use
the current (measured) value of the output to estimate the state. This is made clear by
substitution into equation 6. Again, this is as expected -- if the a priori error is large then we
should disregard the a priori estimate, and instead use the current measurement of the output
to form our estimate of the state.

If the measurement noise, R, is very large, k is again very small, so we disregard the current
measurement in forming the new estimate. This is as expected -- if the measurement noise is

An introduction to scalar Kalman filters

large, then we have low confidence in the measurement and our estimate will depend more
upon the previous estimates.

Alternate, More Common, Notation

The notation used in this document was taken from [1]. More common notation is given below.
Variable

Notation in this
Document

More Common Notation

time variable

state

xj

x(k)

system gains

a, b, h

input

uj

output

zj

z(k)

gain

kj

Kk

a priori covariance

pj-

p(k|k-1) or p(k+1|k)

a posteriori
covariance

pj

p(k|k) or p(k+1|k+1)

a, b, h
u(k)

(note: b is often 0)

(note: often there is no input)

a priori estimate
a posteriori
estimate

The notation

can be read as "The estimate of x at time k, based on the information from time k-1"; in other words, the estimate based only
upon the past values of the output, or the a priori estimate. The notation

can be read as "The estimate of x at time k, based on the information from time k"; in other words the estimate based on past
and current values of the output, or the a posteriori estimate

Examples
1. Example of estimating a constant (along with Matlab code).
2. Example of estimating a first order process (along with Matlab code).

Going further
A matrix based (higher order system) Kalman filter is a simple extension of the scalar case presented here. The results are
given here, a full description of the mathematics can be found in the reference [3].

References
[1] An Introduction to Kalman Filters, G Welch and G Bishop, http://www.cs.unc.edu/~welch/kalman/kalman_filter
/kalman.html. See also their other introductory information on Kalman Filters.

An introduction to scalar Kalman filters

[2] Handbook of Digital Signal Processing, D Elliot ed, Academic Press, 1986.
[3] Digital and Kalman filtering : an introduction to discrete-time filtering and optimum linear estimation, SM Bozic,
Halsted Press, 1994.
[4] An Engineering Approach to Optimal Control and Estimation Theory, GM Siouris, John Wiley & Sons, 1996.
[5] Statistical and Adaptive Signal Processing, DG Manolakis, VK Ingle, SM Kogon, McGraw Hill, 2000.
[6] Smoothing, Filtering and Prediction - Estimating The Past, GA Einicke, a free on-line text:http://www.intechopen.com
/books/smoothing-filtering-and-prediction-estimating-the-past-present-and-future
[7] Understanding the Basis of the Kalman Filter Via a Simple and Intuitive Derivation, R Faragher, IEEE SIG PROC
MAG, [128] Sept. 2012 http://www.cl.cam.ac.uk/~rmf25/papers
/Understanding%20the%20Basis%20of%20the%20Kalman%20Filter.pdf This article has a good intuitive description based
on noise distributions.

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Erik Cheever
Engineering Department
Swarthmore College