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Thomas F. Edgar Department of Chemical Engineering University of Texas Austin, TX 78712

Thomas F. Edgar (UT-Austin)

Kalman Filter

Virtual Control Book 12/06 1

Outline

• • • • Introduction Basic Statistics for Linear Dynamic Systems State Estimation Kalman Filter – Algorithm and Properties

Thomas F. Edgar (UT-Austin)

Kalman Filter

Virtual Control Book 12/06 2

**Control with Limited/Noisy Measurements
**

(1) Some variables may not be measurable in real time (2) Noise in the instruments and in the process may give erroneous data for control purposes

Solution: Use Kalman Filter

Thomas F. Edgar (UT-Austin)

Kalman Filter

Virtual Control Book 12/06 3

Random Variables

Ex turbulent flow, temperature sensor in boiling liquid mean (expected) value of r.v. :

x = E[ x] ∆

∞

−∞

∫ xp( x )dx

p(x) probability density function

Virtual Control Book 12/06 4

**expected value operator
**

Thomas F. Edgar (UT-Austin) Kalman Filter

Definition of Variance and Covariance

( x − x )2 var( x ) ∆ E

∞

1 2

∆ (x-x)(x-x)

−∞

( x − x )2 p( x ) dx ∫

[ var( x )]

= σ (standard deviation)

for two random variables, x and y, the degree of their dependence is indicated by covariance = cov( x, y )∆ E ( x − x )( y − y )

**cov( x, y ) = E [ xy ] − x y cov( x, x ) = var x = E x 2 − ( x )2
**

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 5

Correlation Coefficient

ρ ( x, y )∆

cov(x,y ) var(x )var(y )

−1 ≤ ρ ≤ +1

ρ →1

highly correlated

ρ →0

uncorrelated extension to multivariable case:

covariance matrix

Pij = cov( xi , x j )

P ∆ E ( x − x )( x − x )T

P =P

T

P ≥ 0 pii = var xi

Kalman Filter Virtual Control Book 12/06 6

Thomas F. Edgar (UT-Austin)

State Estimation

Object: Using data (which is filtered), reconstruct values for unmeasured state variables 1 N Definitions: mean = x = ∑ xi N variance

σ 2 = ∑( xi − x )2

σ2 large, lots of scatter! single data pt. is unreliable Example: 2 measurements of equal reliability

( x p , x r ) → xf

more generally,

x p + xr

xp

2

= xf

data pt. “p” data pt. “r” (actually data vectors)

Virtual Control Book 12/06 7

xr

ep = x p − x

r r Thomas F. Edgar (UT-Austin)

e =x −x

Kalman Filter

**State Estimation (cont’d)
**

error vectors → error covariance matrices

P=

ep epT

= ep1 ep1 ⋯ ep1 ep2 ep2 ep2 ⋱ epn epn

Similarly, R = er er T

**combine x p and x r to find x f
**

x f = (I − F )x p + F ( x r ) = x p + F ( x r − x p ) ef = (I − F ) e p + F e r

F : weighting matrix

**The covariance matric of ef is T T H = P − F P − P F + F (P + R ) F
**

Thomas F. Edgar (UT-Austin)

(no correlation between e r and e p )

Kalman Filter

Virtual Control Book 12/06 8

**State Estimation (cont’d)
**

efi 2 is a minimum Select F so that ∑

i

(least squares estimate or minimum variance estimate)

F opt = P (P + R )−1

scalar example:

(a )

P = q2 R =q

2

F=

1 2

(b) P > > R

F =1

(select xr )

Thomas F. Edgar (UT-Austin)

Kalman Filter

Virtual Control Book 12/06 9

**State Estimation (cont’d)
**

For dynamic systems, we have 2 sources of information: (xp) (1) (xr) (2) state equation (and previous state estimates) new measurements at time step k (but # measurements < # states)

**x (k) = A (k-1) x (k-1) + G (k-1) w (k-1) linear dynamic system; w = process noise state variables xnx1
**

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 10

**State Estimation (cont’d) y ( k ) = Cx (k ) + v (k ) y ℓx1 ℓ ≤ n v (k ) : instrument noise
**

y: measured variables

ˆ We wish to update x(k ) (the estimates of the states) from inaccurate or unknown initial conditions on x(k), measurements corrupted by noise.

The Kalman filter eqn:

ˆ ˆ x(k ) = A(k − 1)x(k − 1)

**ˆ + K (k ) [ y (k ) − CA (k − 1) x (k − 1)] ˆ y" ˆ y − y : difference between measurement and estimate
**

"

n.b.

Thomas F. Edgar (UT-Austin)

**if we can’t measure xi (k), then xi (0) is unknown
**

Kalman Filter

Virtual Control Book 12/06 11

**State Estimation (cont’d)
**

Define covariance matrices

Qnxn : w (k )

process noise vector (white) instrument noise vector (white)

Rℓxℓ : v (k )

Q, R usually diagonal matrices that can be “tuned” (variances needed) w, v are uncorrelated white noises (characteristics defined by mean, variance)

markov sequence p(w(k+1) / w(k)) = p(w(k+1)) define state error covariance

P = ( x p − x )( x p − x )

x: true value

State estimate covariance

T

ˆ ˆ H = ( x − x )( x − x )T

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 12

**State Estimation (cont’d)
**

given x (k − 1), an unbiased estimate ˆ (min. variance) is

ˆ x p (k ) = A(k − 1)x(k − 1)

covariance matrix:

P (k ) =

(x

p

− xk )( x p − xk )

T

= A( k

ˆ − 1)x(k − 1) − A(k − 1)x (k − 1) − G(k − 1)w (k − 1) i

[

Thomas F. Edgar (UT-Austin)

]

T

= A(k − 1)H (k − 1)A(k − 1)T + G(k − 1)Q(k − 1)G(k − 1)T

Kalman Filter Virtual Control Book 12/06 13

**State Estimation (cont’d)
**

adjust measurement eqn. (to obtain square system):

y1(k ) = C1x (k ) + v1( k )

nx1 nxn nx1

y = Cx + v

ℓx1 ℓxn ℓx1

C C1 = D

**D : dummy matrix so C1 is square
**

R O R1 = O γI

cov(v1 )

γ →∞

p(x) x

(bad or missing information on n − ℓ components )

Thomas F. Edgar (UT-Austin)

Kalman Filter

Virtual Control Book 12/06 14

**State Estimation (cont’d)
**

Inverting, x (k ) = C1−1[ y1(k ) − v1(k )] estimate

xr (k ) = C1−1y1(k )

**cov [ xr − x(k )] = C1−1R1(k )(C1−1 )T
**

Ex select R=1

C=[1 0] D = [ 0 1 ] to make H1 invertible

1 0 R1 = 0 N

1 0 R1−1 = 0 N-1

N large

note N −1 → 0

**potential for roundoff error
**

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 15

**State Estimation (cont’d)
**

Combine xr and xp to minimize variance

ˆ x

ˆ x ( k ) = x p ( k ) + F ( k ) xr ( k ) − x p ( k )

**(F opt = P (P + R )−1 from earlier analysis)
**

ˆ ˆ ˆ x (k ) = A(k − 1)x(k − 1) + F (k )[C1−1y1(k ) − A(k − 1)x (k − 1)] actually, F opt (k ) = P ( k )[P (k ) + C1−1R1(k )(C1−1 )T ]−1

**F opt (k ) = P ( k )[C1T R1−1( k )C1P (k ) + I ]−1C1T R1(k )−1C1
**

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 16

**State Estimation (cont’d)
**

R −1 0 C examine C1T R1−1C1 = CT DT −1 0 γ I D

= CT R −1C

covariance of composite estimate becomes

H (k ) = [P (k )CT R −1(k )C + I ]−1P (k )

**nxn matrix inverse By rearrangement and matrix identity (reduce size of inverse to be computed)
**

H (k ) = P (k ) − P (k )CT [CP (k )CT + R ]−1CP (k )

Thomas F. Edgar (UT-Austin)

↑ ℓx Filter Kalmanℓ

Virtual Control Book 12/06 17

**Kalman Filter Algorithm
**

1. assume select ˆ x (0), H (0) Q, R

2. P (1) = A(0) H(0) AT (0) + G(0) QGT (0)

3. K (1) = P (1)C CP (1)C + R ℓxℓ

T T

−1

ˆ ˆ ˆ 4. x (1) = A(0)x (0) + K (1) y (1) − CAx (0)

update

H (1) = P (1) − K (1)CP (1)

**return to 2. to generate P(2), K(2) n.b. If A, G are not functions of k, P(k), K(k) can be generated ahead of time.
**

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 18

**Kalman Filter Extension
**

Extensions

ˆ x(k ) = A(k − 1)x (k − 1) + B(k − 1)u(k − 1) + G(k − 1)w (k − 1)

Kalman filter becomes

ˆ ˆ x(k ) = A(k − 1)x(k − 1) + B(k − 1)u(k − 1) + ˆ K(k ) y (k ) − C[ A(k − 1) x(k − 1) + B(k − 1)u(k − 1)]

Recursive update for P:

P (k ) = P (k − i ) − P (k − 1)CT [CP (k − 1)CT + R ]−1CP (k )

Thomas F. Edgar (UT-Austin)

Kalman Filter

Virtual Control Book 12/06 19

**Properties of Kalman Filter
**

(a) It provides an unbiased estimate

ɶ E [ x(t )] = 0 v t > o

ɶ (b) P(t) is the covariance matrix of x

ɶ ɶ P = E x xT

P(t) found by soln of Riccati eqn. and does not depend on y(t) – can be calculated a priori

ɶ note that J (t ) = ∑ E ( xi 2 (t ))

i =1

n

(variance)

= ∑ Pii (t ) = tr (P )

i =1

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 20

n

**Properties of Kalman Filter (cont’d)
**

(c) Kalman filter is a linear, minimum variance estimator linear o.d.e. relating x to y (t ) ˆ For non-white (colored) noise, optimal estimator is not necessarily linear (d) For long times (t → ∞ )

K (t ) → K P (t ) → P

s.s. Riccati eqn.

**don’t have to update gain matrix (e) note similarity to LQP) (Kalman filter uses initial condition)
**

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 21

**Properties of Kalman Filter (cont’d)
**

(f) Extension of K.F. to nonlinear systems (involves successive linearization of state eqn.) (g) Q,R. difficult to estimate a priori, but can be used as design parameters (relative values of Q, R are important) (h) large Q ⇒ large K (implies process noise is large) large R (small Q) ⇒ small K (implies measurement noise is large)

Thomas F. Edgar (UT-Austin) Kalman Filter Virtual Control Book 12/06 22

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