B lc Kalman

1.B lc l g ? Trc tin, b lc l mt qu trnh x l nhm lo b nhng g khng c gi tr hoc khng quan tm n v gi li nhng g c gi tr s dng. Ting Anh gi l filter (ging nh ci filtre pha cafe). Bn c th hnh dung nm na n gin ci filter pha cafe cng lm nhim v lc, n lc ly cht cafein ha ln nc v loi b xc cafe.Trong x l tn hiu, b lc c thit k lc tn hiu sch (cn tm) t trong tn hiu trn ln gia tn hiu sch v nhiu tn hiu bn (khng cn thit). V d n gin l bn c tn hiu S (signal) trn ln vi nhiu N (noise) trong mt tn hiu tng hp X. V ta cn lc loi b N ra khi X. X(k)=S(k)+N(k) Nu bn bit rng nhiu N dao ng xung quanh 0 v c gi tr trung bnh l 0 khi M ln. Ta thy rng loi b N, ta c th ly tng ca X trn mt ca s c kch thc M.

Nhn mt kha cnh no ta loi b c N Tuy nhin, cng cn phi ch rng ci b lc c lc kiu g th cng khng th loi ht ton b nhiu. Th nn, cc b lc cng ch lc ra c tn hiu sch, theo ngha khng cn nhiu nhiu, nhng cng ch l c lng ca tn hiu thc, ch khng phi chnh xc l tn hiu thc. 2.B lc Kalman l g ? Trc tin tn Kalman l tn ca ngi ngh ra ci b lc y. Vo nm 1960, R.E Kalman cng b bi bo ni ting v mt gii php truy hi gii quyt bi tan lc thng tin ri rc tuyn tnh (discrete data linear filtering). Tn y ca bi bo l "A New Approach to Linear

Filtering and Prediction Problems" . T n nay cng vi s pht trin ca tnh tan k thut s, b lc Kalman tr thnh ch nghin cu si ni v c ng dng trong nhiu ngnh k thut cng ngh khc nhau : trong t ng ha, trong nh v cng nh trong vin thng (v nhiu lnh vc khc na). Mt cch khi qut, b lc Kalman l mt tp hp cc phng trnh tan hc m t mt phng php tnh tan truy hi hiu qa cho php c on trng thi ca mt qu trnh (process) sao cho trung bnh phng sai ca lch (gia gi tr thc v gi tr c an) l nh nht. B lc Kalman rt hiu qu trong vic c an cc trng thi trong qu kh, hin ti v tng lai thm ch ngay c khi tnh chnh xc ca h thng m phng khng c khng nh. 3. Hc b lc Kalman nh th no? 3.1. S kt Chng ta bit, b lc ch n gin nh trn, nhng chng ta cha bit b lc Kalman nh th no (ngoi tr mt nh ngha khi qut)?

Thc ra n cng ch n gin l t mt tn hiu cn o, khi chng ta o, s c nhng sai s t cm bin, nh hng n tn hiu cn o, mi trng o c nhiu... Tt c nhng th ny, tng hp li, s cho ta mt kt qu o. Hc mch lc Kalman nh th no? y l mt cu hi ln khng ln, nh khng nh, nhng tnh quan trng ca n dnh cho nhng ngi mi hc l khng th chi ci. Tuy c th cha thu o, tng tn, song hy vng n c th gip cc bn c nhng tng c bn v mch lc Kalman, v bt u nghin cu n mt cch ph bin.

Mt trong nhng kin thc nn tng c th hiu v nguyn l ca b lc Kalman chnh l xc sut. Hc b lc Kalman hon ton khng kh. tm hiu v xc sut (d nhin l nu bn khng bit v n) th c th tham kho y. 3.2. V d v c lng 1 V d chng ta ly thc o chiu di ca mt cy bt. Ln th nht, chng ta o c l 10cm, ln th hai chng ta o c l 10.05cm chng hn. Vy th nu hi chiu di cy bt l bao nhiu? C phi trong u cc bn lun cho mt gi tr c lng tt nht l 10.025cm? iu ng, nhng cn c vo u cc bn c lng nh vy? Ri, nu by gi, mt anh F ly cy thc o chiu di, v c kt qu l 10.02 cm, v mt bn T khc cng ly cy thc o, v c chiu di 10.07cm. Nu ch c hai kt qu ny thi, chng ta s li c lng rng chiu di ca cy thc l 10.045 cm! Vy th, thc cht l khng th nh ng c chuyn o c ny, m cn c mt h s nh gi. Chiu di cy thc l chiu di = alpha * 10.02 (ca F o) + (1-alpha)*10.07 (ca T o) Vy alpha s l bao nhiu? Cn c vo u la chn alpha? V d trn cc bn thy c khi nim v c lng. 3.3. V d v c lng 2 Gi s chng ta c mt chic xe di chuyn vi vn tc 20m/s theo mt phng x. V tr ban u ca xe l 0. Khi , vn tc ca xe s l:

Trong ,

l nhiu vn tc o.

Kt qu, nu by gi chng ta cn xc nh v tr ca xe sau 2 pht. V gi s chng ta ch quan tm n cm bin o v tr hoc cm bin o vn tc ca xe. Chng ta s ch ra c 2 phng php c lng nh sau: a) Phng php 1:

.... y l c lng v tr ca xe, ch nh vo cm bin v tr ca xe, trong , xe o c. b) Phng php 2: (v tr ban u ca xe) (1 giy sau nu gi s xe di chuyn vi vn tc 20m/s) (1 giy sau na) ... Nh vy, c hai phng php trn, cng u l mt cch chng ta c lng v tr ca xe. Vy p dng li 3.2, chng ta s thy rng, nu dng hai phng php c lng khc nhau, chng ta cng s c cc gi tr c lng khc nhau. Chng ta s tin cch c lng no hn? c) Phng php 3: Vy th, chng ta th xem phng php c lng th ba nh sau: l cc gi tr v tr

Vy cc bn c nhn xt g v cch c lng ny? Mt cch chung chung (khng phi l tng qut, ch l khi nim s khi), nhim v ca b lc Kalman, chnh l tm ra h s alpha ti u tm gn ng vi x(t) nht. Vy nhim v ca mch lc Kalman c pht biu r hn mt cht, l tm c lng gn ng vi x(t) nht (gi tr c lng gn ng vi gi tr thc t nht) thng qua hiu bit ca chng ta v m hnh ca h thng. 3.4. Bn cht ca b lc Kalman

Hnh trn m hnh ha hot ng ca mch lc Kalman. Chng ta c tn hiu o c, chng ta c m hnh ca tn hiu o c (i hi tuyn tnh) v sau l p dng vo trong h thng phng trnh ca mch lc c lng trng thi quan tm. Thc ra tn hiu o l khng kh, phng trnh c sn, ci chung ta cn chnh l m hnh ho h thng. c th ng dng mt cch hiu qu mch lc Kalman th chng ta phi m hnh ha c mt cch tuyn tnh s thay i ca trng thi cn c lng (estimate) hoc c on (predict). 4. B lc Kalman ri rc B lc Kalman cp n bi ton tng qut i c lng trng thi ca mt qu trnh c m hnh ha mt cch ri rc theo thi gian bng mt phng trnh ngu nhin tuyn tnh nh sau (1) v kt qu o c (2) Trong w v v l 2 vector bin ngu nhin i din cho nhiu h thng v nhiu o c. 2 bin ngy nhin ny c lp v c gi s l tun theo phn b Gauss vi trung bnh =0 v ma trn hip bin (covariance) ln lt l Q v R

w ~N(0,Q) v ~N(0,R) Nu vector trng thi x c kch thc l n, th ma trn A s c kch thoc l n x n. B (n x l) l ma trn ph thuc vo iu khin ti u u vi u l vector c kch thc l l. Vector o c z c kch thc l m nn ma trn H s l m x n. Ch rng cc ma trn Q,R, A, H c th thay i theo thi gian (tng bc k), nhng y chng c gi s khng i. n y ta thy bi ton lc Kalman chnh l i tm gi tr c lng v c on ca trng thi x khi ta bit c s bin thin ca n v ta o c mt ai lng z m ph thuc tuyn tnh vo x. V d trong bi ton chuyn ng, ta bit c qui lut thay i ca vn tc, nhng ta li c th o c s thay i ca v tr. Khi , ci ta cn tm l vn tc c lng.

Nu ta gi s v ln lt l tin nghim v tin nghim c lng ca gi tr x ti thi im k. Gi tr tin nghim thu c ch da vo m hnh h thng (1), cn gi tr hu nghim l gi tr thu c sau khi c kt qu o c (2). Khi sai s ca c on tin nghim v hu nghim ln lt l

Ma trn hip bin ca 2 sai s trn c tnh ln lt theo cng thc

Mc ch ca chng ta by gi l i tm h s K sao cho tha mn phng trnh sau (3) n y ta thy , K cng chnh l alpha m gii thiu trn. Phng trnh (3) c ngha l gi tr hu nghim ca c lng x s c tnh bng gi tr tin nghim ca n v sau thm/bt

i mt t da vo sai s gia gi tr o c v gi tr o c c on li (gain) ca mch lc Kalman.

. K y chnh l

Cu hi t ra l lm th no chn K ti u nht. Ti u y theo ngha l covariance ca sai s ca c lng hu nghim (tnh t (3)) l nh nht. Bng cch thay e_k vo trong biu thc tnh P_k, ri sau ly o hm ca P_k theo K, ta s tm ra c gi tr K m tng ng vi n P_k l nh nht.

thay i theo thi gian k v chnh l li cn tm ca mch lc Kalman trong mi c on. Tm li mch lc Kalman bao gm 2 bc : 1- c on trng thi tin nghim, v sau , 2da vo kt qu o hiu chnh li c on. Ta c th tm tt li hot ng ca mch lc Kalman bng cc phng trnh sau: Gi s bn c gi tr c on ti thi im (k-1) v bit c gi tr iu khin . (Gi tr ban u ti thi im 0 c chn ). Lc bn ch vic ln lt tin hnh cc tnh ton t 1 n 2 bc 1 ri t 1 n 3 trong bc 2 nh trong hnh di y.

Hnh trn tm tt c bn ca mch lc Kalman. Nh nhc n phn 3.4, ci kh ca mch

lc Kalman l lm th no m hnh ha cc trng thi v o c c c 2 phng trnh (1) v (2) c th p dng Kalman. tm hiu thm v mch lc Kalman, cc bn c th xem y http://www.cs.unc.edu/~welch/kalman/