Tm hiu v lc Kalman (Kalman filter)

Rudolf Kalman (sinh nm 1930) l mt nh ton hc M gc Hungary c bit n

nhiu nht v cc cng trnh v ci gi l lc Kalman (Kalman filter). V cc cng trnh
ny m nm 2009 Kalman c Obama trao tng National Medal of Science ca M.
Lc Kalman l mt phng php thut ton lc nhiu ra khi thng tin, v n c dng
rt nhiu trong cc lnh vc iu khin, hng khng, qun s, v tr, v.v, v d nh
c lng v iu khin qu o ca tn la, ca phi thuyn. N cn c dng trong rt
nhiu lnh vc khc, t nhn dng ting ni cho n marketing !
Ngoi Kalman, cn c Thiele v Swerling ngh ra thut ton tng t trc , Bucy
tham ra vo pht trin l thuyt, v Stratonovich Nga cn pht trin mt l thuyt
thut ton phi tuyn m rng hn t trc . Bi vy lc ny cn c gi l KalmanBucy-Stratonovich filter.
Lc Kalman nhm c lng gi tr ch thc ca mt ci g , bng cch d on gi tr
ca n v tnh tin cy (hay bt nh) ca d on , ng thi o c gi tr
(nhng b sai s v c cc nhiu), sau ly mt trung bnh c trng gia gi tr d on
v gi tr o c c, lm gi tr c lng. C th coi n l mt trng hp ca suy
din c iu kin kiu bayes (bayesian inference) ?
M hnh ton hc:
(y l mt m hnh tuyn tnh, cc trng thi c vit bi cc vector cn cc bin i
c vit bi cc ma trn).
Gi
l vector gi tr thc s ca mt ci g (v d nh v tr ca tn la) ti thi
im th . Ta s gi s
bin i theo qui lut sau:

trong
l ma trn thay i trng thi (state transition matrix),
l vector iu
khin,
l ma trn iu khin, cn
l nhiu ngu nhin, vi gi s l n c phn b
Gaussian (phn b normal nhiu chiu)
hip phng sai tng ng.
Ti mi thi im th

trong

, trong

, c mt o c (measurement) trng thi

l ma trn ca m hnh quan st, cn

s nhiu ny cng tun theo mt phn b Gaussian

Cc m trn
nhiu
trng thi ban u

l k hiu ca ma trn

cho kt qu l

l nhiu trong lc o c, v ta gi
.

c coi l bit. Ta gi s thm l cc

l mt b bin ngu nhin c lp v cng c lp vi
.

Cu hi t ra l lm sao c lng c cc trng thi $x_k$ t cc quan st

Nu khng h c nhiu, th ta ch cn t
. Nhng v c nhiu nn khng tnh
c chnh xc
m ch c th ng lng n. Kalman filter l mt hm c lng
quy (recursive estimator) cho php lm vic ny.
Thut ton c lng nh sau: C th chia n thnh 2 bc, bc d on ban u
(predict) v bc iu chnh sau (update)
Predict:
,

y
l k hiu d on gi tr ca
da trn thng tin v gi tr ti thi
im
, cn $\hat{x}_{k|k}$ l c lng gi tr ca
sau khi s dng mi
thng tin ti thi im . Ma trn
dng ch (c lng) ma trn hip phng sai
ca c lng ca .
Update:
lch so vi quan st (measurement residual):
Thng d hip phng sai (residual covariance):
Kalman ti u:
c lng c iu chnh (updated estimate):
Hip phng sai cho c lng mi (updated estimate
covariance):