31 views

Original Title: Extended Kalman Filter_Shoudong

Uploaded by teju1996cool

Extended Kalman Filter_Shoudong

ho

© All Rights Reserved

- Eece5698 Padir Syllabus v1
- Extended Kalman Filtering for Battery Management Systems of LiPB-Based HEV Battery Packs Part 1.
- Strategic Planning Intro
- Report On Hardware Design of Automotive Diagnoser
- Computational Neuro Science
- Recent Advances in Simultaneous Localization And
- Courses IITK pg courses 2nd Sem CS
- Rainfall-Runoff Model Using.pdf
- Ayearthsmoarde Acreollasyntse
- IJIRSTV2I4043
- Software 2.0 - Design
- Pe1161.pdf
- ENME503 Assignments Solutions 02
- Kaap Reprint
- 10.1.1.57.2541[1]
- energies-11-02120.pdf
- Automatic Load Frequency Control of Two Area Power System With Conventional and Fuzzy Logic Control
- System Thinking
- SIS Tech Coker Drum Press Release Final
- magcalib

You are on page 1of 4

Shoudong Huang

ARC Centre of Excellence for Autonomous Systems (CAS)

Faculty of Engineering and Information Technology,

University of Technology Sydney

Email: sdhuang@eng.uts.edu.au

April 23, 2010

Abstract

Kalman Filter (KF) and extended Kalman Filter (EKF) are basic tools for solving

many estimation problems. They have found plenty of applications including target tracking and mobile robot localization and mapping. In this note, I tried to explain the KF

and EKF formulas without using too much knowledge of probability theory. In Part I, one

dimensional KF formula is derived. In Part II, multi dimensional KF formula is proven

(you should have read these two parts already). In Part III (this note), EKF formula is

proven.

Contents

1 Introduction

3 EKF prediction

3.1

3.2

4 EKF update

4.1

4.2

5 A question

Introduction

I assume the readers have already read the Part I and Part II of this notes (one dimensional

KF and multi dimensional KF).

The structure of this note is the following. The extended Kalman Filter (EKF) formula is

reviewed in Section 2. The derivation of EKF prediction formulas are explained in Section 3

and the EKF update formulas are derived in Section 4. A question is given in Section 5 to

check whether you have completely understand EKF formulas or not.

Different from KF, EKF deals with nonlinear process model and nonlinear observation model.

The nonlinear process model (from time k to time k + 1) is described as

xk+1 = f (xk , uk ) + wk ,

(1)

where xk , xk+1 are the system state (vector) at time k, k + 1, f is the system transition function,

uk is the control, and wk is the zero-mean Gaussian process noise wk N (0, Q).

For state estimation problem, the true system state is not available and needs to be estimated.

The initial state x0 is assumed to follow a known Gaussian distribution x0 N (

x0 , P0 ). The

objective is to estimate the state at each time step by the process model and the observations.

The observation model at time k + 1 is given by

zk+1 = h(xk+1 ) + vk+1 .

(2)

where h is the observation function and vk+1 is the zero-mean Gaussian observation noise

vk+1 N (0, R).

Suppose the knowledge on xk at time k is

xk N (

xk , Pk ),

(3)

xk+1 N (

xk+1 , Pk+1 )

(4)

k+1 , Pk+1 can be computed by the following Extended Kalman Filter formula.

where x

Predict using process model:

k+1 = f (

x

x k , uk )

Pk+1 =

fx Pk fxT

+Q

(5)

(6)

k.

where fx is the Jacobian of function f with respect to x evaluated at x

Update using observation:

k+1 = x

k+1 + K(zk+1 h(

x

xk+1 ))

(7)

(8)

xk+1 ) is called innovation) and the Kalman

gain K are given by

S = hPk+1 hT + R

(9)

K = Pk+1 hT S 1 .

(10)

k+1 .

where h is the Jacobian of function h evaluated at x

2

Remark 2.1 If you just want to apply extended Kalman Filter, then the above formulas are

enough as long as you have got your process model and observation model. If you would like

to know where these formulas come from, then proceed to the following sections.

EKF prediction

This section shows that the EKF prediction formula can be obtained easily by linearizing the

process model and applying the KF prediction formula.

3.1

The major difference between KF and EKF is that KF deals with linear model and EKF deals

with nonlinear model. Thus linearization is a key step for deriving EKF formulas.

k using the first order Taylor series

The process model (1) is linearized at the current estimate x

expansion,

k ) + wk

xk+1 f (

xk , uk ) + fx (xk x

(11)

k . In this equation, all

where fx is the Jacobian of function f with respect to x evaluated at x

k.

the higher order terms are ignored since we assume xk is close to x

System (11) is a linear process model

xk+1 F xk + Uk + wk

(12)

k.

with F = fx and Uk = f (

xk , uk ) fx x

3.2

Now applying the linear KF prediction formula using the linear process model (12), we have

k+1 = F x

k + Uk = fx x

k + f (

k = f (

x

xk , uk ) fx x

x k , uk )

Pk+1 = F Pk F T + Q = fx Pk f T + Q.

x

(13)

(14)

EKF update

This sections shows that the EKF update formula can be obtained easily by linearizing the

observation model and applying the KF update formula.

4.1

k+1 .

After the prediction step, the current estimate of the state is x

k+1 using first order Taylor

The observation model (2) is linearized at the current estimate x

series expansion,

k+1 ) + vk+1 ,

zk+1 h(

xk+1 ) + h(xk+1 x

(15)

k+1 . Here the higher order terms are

where h is the Jacobian of function h evaluated at x

k+1 .

ignored since we assume that xk+1 is close to x

The observation model (15) is a linear observation model

Zk+1 Hxk+1 + vk+1 ,

(16)

xk+1 ) + h

xk+1 .

4.2

Now applying the linear KF update formula using the linear observation model (16), we have

k+1 = x

k+1 + K(Zk+1 H x

k+1 )

x

k+1 + K(zk+1 h(

= x

xk+1 ) + h

xk+1 h

xk+1 )

k+1 + K(zk+1 h(

= x

xk+1 ))

(17)

(18)

and

where the innovation covariance S and the Kalman gain K are given by

S = H Pk+1 H T + R = hPk+1 hT + R

(19)

K = Pk+1 H T S 1 = Pk+1 hT S 1 .

(20)

A question

The following question can be used to check whether you have completely understand the EKF

formula or not.

Question: If the process model is given by

xk+1 = f (xk , uk , wk )

(21)

zk+1 = h(xk+1 , vk+1 ),

(22)

then what the EKF prediction and update formulas are? Can you derive them using linearization and the KF formulas?

Remark 5.1 If you can derive the EKF formula for the above general process model and

observation model, then congratulations to you. You now understand KF and EKF as good as

I do. In the future, you can teach me some other techniques.

4

- Eece5698 Padir Syllabus v1Uploaded byRomil Shah
- Extended Kalman Filtering for Battery Management Systems of LiPB-Based HEV Battery Packs Part 1.Uploaded byPrashant Kramadhari
- Strategic Planning IntroUploaded byearl58
- Report On Hardware Design of Automotive DiagnoserUploaded bySoumik Sarkar
- Computational Neuro ScienceUploaded byvinod17491
- Recent Advances in Simultaneous Localization AndUploaded byShaary Naqvi
- Courses IITK pg courses 2nd Sem CSUploaded bytriplewalker
- Rainfall-Runoff Model Using.pdfUploaded byAlexandra Oprescu
- Ayearthsmoarde AcreollasyntseUploaded byAlberto Azzurro
- IJIRSTV2I4043Uploaded byIJIRST
- Software 2.0 - DesignUploaded byManjula Dharmalingam
- Pe1161.pdfUploaded byBrad Jones
- ENME503 Assignments Solutions 02Uploaded bySeifeldin T. Abdelghany
- Kaap ReprintUploaded byYoussef Toukane
- 10.1.1.57.2541[1]Uploaded byIrma Mg
- energies-11-02120.pdfUploaded byHouda BOUCHAREB
- Automatic Load Frequency Control of Two Area Power System With Conventional and Fuzzy Logic ControlUploaded byInternational Journal of Research in Engineering and Technology
- System ThinkingUploaded byVince
- SIS Tech Coker Drum Press Release FinalUploaded bypiolinwalls
- magcalibUploaded bytangphamvan
- Week11 Ben KalmanUploaded byK.Ramachandran
- Task2 CommunicationsUploaded bySandude8
- Manuscripts in Preparation or Under ReviewUploaded byexspiro
- Communication TherapeiticUploaded byyhon
- LE_Location_Engine.pdfUploaded bySurya Prakash
- SendUploaded bysharadggg
- Learning_the_inverse_kinematics_of_a_rob (1).pdfUploaded byMohamed Faisal bin Abdul Waduth
- Upload 35.docUploaded byganeshrud
- DLTI Systems and Z TransformUploaded byRonald George
- Process Exp 4Uploaded byRickLee

- An experimental investigation of nonlinear vibration and frequency response analysis of cantilever viscoelastic beamsUploaded byRot
- Conservation Law Ma515 2017Uploaded byteju1996cool
- Assignment 4Uploaded byteju1996cool
- Assignment 5Uploaded byteju1996cool
- 14D100020 - 1Uploaded byteju1996cool
- rm8Uploaded byteju1996cool
- Assignment 6Uploaded byteju1996cool
- Assignment 1Uploaded byteju1996cool
- nl073406jUploaded byteju1996cool
- 14D100020 - 0Uploaded byteju1996cool
- RASD_2010Uploaded byteju1996cool
- 1406.0026v2Uploaded byteju1996cool
- Minor Homepage DocumentUploaded byteju1996cool
- art-3A10.1007-2Fs00419-005-0426-1Uploaded byteju1996cool
- 14D100020 - 2Uploaded byteju1996cool
- Assignment 2Uploaded byteju1996cool
- nl200950dUploaded byteju1996cool
- nano9_3_035702Uploaded byteju1996cool
- PhysRevE.86.046208Uploaded byteju1996cool
- nl901706yUploaded byteju1996cool
- 1307.2359v2Uploaded byteju1996cool
- 1602.00508v1Uploaded byteju1996cool
- C4RA08806AUploaded byteju1996cool
- 1.4937743Uploaded byteju1996cool
- WCE2013_pp1640-1645Uploaded byteju1996cool
- Series ExpansionUploaded byteju1996cool

- Postulates_ Laws of ThermodynamicsUploaded byWilbert James Futalan
- Basic Statistics 16Uploaded bymario975
- Markov Chain - WikipediaUploaded byAriadna Mercado
- WKBUploaded byAna Maria Pereira
- Summer 2012 Precalculus Section 2.3 Lecture NotesUploaded bys_scribd1160
- MathematicsUploaded byshunmugathason
- HomeworkSolutionsF05.pdfUploaded bySteven KaEne
- DifferentiationUploaded byabhinav
- Azccrs Hs Math Standards Rev 2015-04-30Uploaded byAnonymous bWpYpOXjK
- CFD-1Uploaded bySamKtk
- PRBABILITYUploaded byAnupam Das
- Vectors and TensorsUploaded byAndrei Cioroianu
- Algebra II m1 Topic c Lesson 30 Teacher (1)Uploaded byJaqueline McGrath
- Fun With Pascal's TriangleUploaded bypaul david jacksonj
- MIT16_410F10_lec14Uploaded byChandan Bagai
- Math 9.pdfUploaded byArslan Haider
- Conditioning and PrecisionUploaded byAliAlMisbah
- Wavelets a New Tool for the Resonant Grounded Power Distribution Systems RelayingUploaded byBhaskar Mitra
- Earthquak Analysis in AnsysUploaded byIgor Gjorgjiev
- Abel’s Lemma on Summation by Parts and Ramanujan’s 1_1-Series IdentityUploaded byapi-26401608
- fdhaeagUploaded byhelloscribdhello1234
- Appendix 4 - Kinematic Derivations for DMO-PSI and EOM (1)Uploaded byFrancico Javier Ondo Bitegue
- CH12 Transient AnalysisUploaded byRanjit Koshy Alexander
- noterUploaded bySurafel L. Tilahun
- syllabus-304LUploaded byAnonymous QlJjisdlLI
- QUARTERLY EXAM 1_advanced Algebra_HS4Uploaded bysakyamath
- scipy-ref-0.18.1Uploaded byDelson Jose
- InIMC 2017 Keystage II IndividualUploaded byNguyen Nhat Minh
- Fundamental Structural Analysis.8765.1408344506Uploaded byNunnapas Saereeporncharenkul
- EMTPTB.pdfUploaded byVigneshwaran Kandaswamy