Kalman Bucy Filter

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Kalman & Kalman Filter -
Information
Kalman
https://en.wikipedia.org/wiki/Rudolf_E._K%C3%A1lm
%C3%A1n

Kalman Filter
https://en.wikipedia.org/wiki/Kalman_filter
http://www.cs.unc.edu/~welch/kalman/

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Estimation
Estimation theory: Finding an approximate value
(called estimate) of a quantity from observations or
measurements which contain the information on the
quantity to be estimated.

Measurements are prone to error, hence estimate can

only be close to the correct value.

Estimation is required for implementing the control of a

physical system.

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 Hence, estimation is to correctly calculate the true
values of the system variables or parameters in the
presence of the disturbances and errors due to errors in
measurement.

Generally, a time history of measurements is available

and the estimates are obtained from these.

If a performance measure is defined to assess the

quality of estimate, the estimate obtained by
optimizing (minimizing or maximizing) the performance
measure is called as optimal estimate.

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Procedure for Optimal Estimation
The procedure for optimal estimation is as follows:

1. Development of the model of the physical system,

2. Specification of the performance measure,

3. Problem formulation,

4. Development of estimation and control algorithm.

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Parameter Estimation and State
Estimation
Parameter estimation:
This deals with estimating the process parameters like gain,
time constant of a process.
Techniques used are least squares, recursive least squares
(RLS) maximum likelihood techniques etc.
State estimation:
State estimation deals with estimation the state(s) of a
systems like position and velocity of an airplane.
Techniques used are Kalman filter (KF), state observer.
Extended Kalman Filter (EKF) is used for estimating the
parameters as well as the states.

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Areas of Application of Estimation
Theory
The areas of application of estimation theory are:
Communication systems: extract message from a
received signal which usually has some noise.
Navigation: Estimating the position and velocity of a
vehicle like airplane, missile, ship.
Post experimental data analysis: Recorded data is
analysed to access the success or failure of a mission
(satellite launch, effectiveness of a new control
algorithm).
Process control: Regulation of a chemical process.

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Main Aspects of Estimation
Prediction, Filtering and Smoothing: improve noisy
measurements, typically due to process noise and
measurement noise.

Take care of limited inaccuracy or errors in system

modeling (i.e. relying on estimated states leads to a robust
controller).

Prediction or forecasting is the estimation of a quantity x(t)

from measurements or information that is available earlier
than the time at which the estimate is obtained.

Prediction of a quantity is represented as /1 where

the estimate is available at time t based on
measurements up to and including time 1 , 1 < .
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Main Aspects of Estimation
Filtering is recovering information about the quantity x(t)
at time instant t using the information up to and including
the instant t.

Filtering of a quantity is represented as / or simply as

, where the estimate is available at time t based on
measurements up to and including time t.

Smoothing of a quantity x(t) uses the measurements or

information available after the time instant t.

Smoothing of a quantity is represented as /2 where

the estimate is available at time t based on
measurements up to and including time 2 , 2 > .

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Kalman Filter: Information Required
& Task
Information Required
System model (linear/linearized model)
Measurements and their statistical behaviours
Statistical models characterizing the process and
measurement noise (typically zero-mean uncorrelated
white noise)
Initial condition information for the states
Task
To estimate (filter) the state by processing the
measurement data and using the system model

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 State Estimation Problem
w(t) v(t)

u(t) x(t) y(t)

x Ax Bu Gw y Cx Du v

SYSTEM

Vectors w(t) and v(t) are noise terms, representing

unmeasured system disturbances and measurement
errors, respectively. They are assumed to be
independent, white, Gaussian, and to have zero mean.

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Problem Statement
System Dynamics: = + +
Measured Output: = +
: Process noise, : Measurement noise
Assumptions:
a) 0 ~ 0 , 0 , ~ 0, , ~ 0, are mutually
orthogonal
b) and are uncorrelated white noise
c) + = , Q 0 (psdf)
+ = , R > 0 (pdf)

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Kalman Filter
= + +
Where,
= + = + = =
as is zero.

The error covariance matrix is

=
where,

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Note:
P(t) is a measure of uncertainty in the estimate.

If the observer dynamics is asymptotically stable, and

, are stationary processes, the error will
eventually reach a steady state

Key:

The gain is chosen so that it minimizes the steady-

state error covariance. The optimal gain will be a
constant matrix

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Observer/Estimator/Filter Design
= + +
Where,
1. = : Estimate of the state
2. = : Estimate of the state
= +
= +
= ( = 0)
=
3. : Estimator/Filter/Kalman Gain
Problem: How to design ?

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Error Dynamics
The error in estimation dynamics is given by
=
= + + + +
= A +
= A + +
= + = 0 +
Note: The error dynamics is driven by both the process
noise and the sensor noise
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Observations
= 0 + = 0
= =

= 0 . and . are interchangeable

If 0 = is stable, then = 0
In this case, the estimate is said to be unbiased.
If 0, the estimate is said to be biased

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Solution for
Error Dynamics

= 0 +

Solution:

= 0 0 + 0

0

= 0 0 + 0 0
0 0

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Cross-correlation Matrices
Note: , , and are mutually orthogonal. Hence,

, = = 0

0


= 0

0


= 0

0


= 0

0
1 1 1
= 0
= =
0
2 = 2 2

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, = = 0
0

= 0
0


= 0

0
1 1
= 0 =
2 = 2

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Error Covariance Propogation
Error Covariance Matrix:

Propagation of Error Covariance Matrix
= +

= +

= +

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 = 0 +
= 0 +
= 0 +
= 0 +
1 1
= 0 +

2 2
1 1
= 0 + +

2 2

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 1 1
= 0 + +

2 2

1 1
+ 0 + +
2 2
= 0 + 0 + +

Solution for P(t):

If is designed in such a way that 0 = is

stable, then given an initial condition 0 = 0 , a solution
0 (psdf) can be obtained.

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Error Covariance Propagation
The error covariance matrix P(t) reaches a steady state
value P as long as 0 = is stable.

In steady state the differential equation reduces to

0 + 0 + + = 0

where .

Hence, a smaller P(t) implies better estimate.

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Derivation of Kalman Gain
Philosophy:

For obtaining the Kalman Gain, the idea is to minimize

the steady state error covariance matrix.

=
=1
Optimal formulation:

1 1 2 2
Minimize = = lim 1 + +
2 2

subject to = 0 + 0 + + = 0

by appropriate selection of and .

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Derivation of Kalman Gain
Augmented Cost Function:
1 1
= +
2 2
where, is the Langrage multiplie matrix.

Necessary conditions:

i. = 0 + 0 + =

ii. = 2 =

iii. = 0 + 0 + + =

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 From i), the Langrange multiplier matrix S is the solution
of the Lyapunov Equation
0 + 0 =

Hence, as long as 0 is stable, > 0 (pdf).

From ii) it follows that

= = 0
= 0 > 0

Hence, the Kalman gain is given by

= 1

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 From iii), we get
0 + 0 + + = 0
+ + + = 0
1 + 1
+ 1 1 + = 0

1 + 1 + 1 1 +
= 0

+ 1 + = 0

This is the Filter ARE. By solving it, we get the value of P.

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Summary: Problem
System Dynamics: = + +
Measured Output: = +
Assumptions:
a) 0 ~ 0 , 0 , ~ 0, , ~ 0, are mutually
orthogonal
b) and are uncorrelated white noise
Problem:
Find such that = lim , is minimized.
where

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Summary: Solution
Filter steps
i. Initialization: 0 = 0
ii. Solve for Riccatti matrix P from the filter ARE:
+ 1 + = 0
iii. Compute Kalman Gain
= 1 , >0
iv. Propagate the estimator (filter) dynamics
= + +

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