a'CP-jpb- ~ '3=e.b. f -'1)~? (..

tc)
L 'C1A€ o .t- 0 p+c. 'tJV\sl-l ~~ J PH::.d ~ &.. ~ 'Vh co ~
'-- ----v-- ~
e+C~t-~

9r ~(,t-)
1
J,---eD
~L+)

:...-----.......

P P-E-O 1C'TaP'S :

€-shlJY)a../-e ~lt;l) 1 +~"'t~ bd~d On CIL+) J ~~ t:-.6.tj...

51--'1 ClO"l+{ e-.-.a. s:

ES~-oYVl~-e >< (t-) } ~ -<.. t.1 ba.-~cA Of' tf t-1-) I h ~ .t.6.+-1

l.-.ek- ~(+-) b€. 5c>~ e'S~~e.. e>+ ;><..c..~

OX) 1 ~~
~ -e 5~"W'\o.J--c_:~::)1S\ e-rro-,- CoS o\e~ eel b~
'" L41
e L-e-") -::.:. .:>< t+) - x.

~~ 1- ~?-c /Yl v--n L 'VY1~,> ~ WE....L~ ~cJ

Sd~~ ~-r ~ 'v'-t~'V-{'L~
;yy')tJY) E t-ec.+)T M e(+)} ) MCMT~O

~~

:;,(.Jl -= ~ j.l.- 4 ;><:')L:- 1 + \?Y lL-1 .5 tj -sl € . ..tJV)

::z. t.L :::. -H J.l. >l-JJ.. +- Y u... ~ ea S~ e.J/\.+S

-J:: 1. 'V-I J,l.. } =- 0 ) .r;;.{ Y)L J =- 6

r;;. 1. ~ I~ ~'[:r -= ($;)~ [; (jL-( ')

~fVlL ~'ItT J -= Aj.l.. {)c.JL.:-~")

&" i ~.lL')Lt:, =-0 a..naJ.. ~ i -"",J.(. X (.'1 } -=-0 I ~.s-o t;; { ~"" 'liT} ==-Q

NO.ta.k6)) :

0. \?rCori.. es~.e of- ~JL Goy,d..t..:::t"(..'""b V)J2d.. c;l'Y"l G....L(

')"Y)e c.-~ ~ e. ;I....~ 1:- ~ c'lll e a.-e-- i-c:Jv1.t e.- t-u.

0. pO ~len.."b+L ~Sh.,~e c.>f- ')(..K, c..o 1I\c:lc1-t-'"DVle& O'V'\ ~

'YY\.ec....5~~~ LJY\ve.~e tee ollle. ~ ~ t-..!(.

fJ.e.t-c \....f ~tf\ S of .~ ~ 'W\ c3t..LJ\ ~--E:J.e.r ~ CU. tae c::::lo1l'1(:­

btr U-S(..JneJ t-fr;a Ol~() oy\~?-o p-r-c:.Jno.-..ple (1\ ~ 0f'~
,.e...St-t;Yn~~ ~ '"'L-S <Dt-t-W~ 1-0 ~ ('\IW2oSUo-teM..~

~~ kH0.-5 .<:A0V\e t)\.L ~ C!>~~ J.loJ.~I.> r.a.{~1 1i:16 c ..

~J.l..C-t-) = ( ) ~L-) + L ) 2J.1.

"l~d~~ C.5~
 O~1-{J0B9~ 'tLlAC-L-piR. ~

E-~ (x-JJ.. - ;<U.L+)) " zt '!; -=- a J \-I- C =-1 1 .;l ) _ -) lL-;j.) (~~o)
t.>7(ff\~ ~ 'S'j'5ie..u..>. ~ ~s~~ ~~~ ~
~ e....~h..U"n~ u...pa\·a-ted e..d-u-~ "\tf~ In~e

t:={ ( 4 jL:- ~ ?<JL-1 + ~)2..-j -

J\"
lL.Jl...?<JL (:-') ---
-
-l-<.u. ~ ) : :ze."-1,..
J -=-0

L L;;e. ~PfJe..d du...e. 'to

"c...vnCJOt1~ O~"5c.Lt...O-(>h:Jzw-"'\
E 1. ~)4;l4.-1 (+1i..'~i, +-.. . / t )7") =-0

'80 te-r La CUV\1r :z~ "-He ~

~-l (412..-1 ,z){_, - ~~J4.(-) - il~+-i~?<.Jl.. - 1.L.u. VJ,I...") Z[ J -=- 0

=- ':t' ~-1
;f\
£ -{ )l.lL-1 7-LT 1 - l2:u.." G1. XJL (-) ;z:.2J - J4. -H.u., .f;. i ( ct>1L-1 X1L-1.f- ~ Jk-1).2 t'lJ
1'\

- 'iu .r; i 'YJ,L .:t:{..,-} ==- 0..

[-::::"~' __ , .u.-.L
~ -i 'Y~ ;z'L'T }=~,-t ~ 1\ t.:L] _ _ lL-1.

-:: . ~ i 'VJJ.. ~f..1Hl + G.: 1. YJL "i'":rq Co;;o..1 , 2\ _ '", 1.L-.1

"
g4<, E{ (~Jl.[-) - ~ ) 2~!; ~O
... "Y .. ~~
e S~aJw\l\ et16{­

==P =-0

~J../.. L~
=~ r-·.g-;-'="-r---~-u..-tt-J.<.---'J (1)
 'J'he o-r~occr-01f\~1-(r p~Le c> o-e!)U Lfa-tad yr [;=-J<,

G1?>. L12' -1 (;.LJI.- - ~ td-) ) ;.:zit} = 0 ]

l=tn ~c::luc..e. ~ e..:t""'t"t?t-S 0..>
,....,
">'.JZ. (of-)

~t-)
-
-
'"
~&-)-~

~C.-) -~
} e~~c...
1Pe-fc1-e ~~.s
~t-S o~ a.v.-t

-
~Jl. - A
~(-) - '2..K = '"
~><.~&)-Z~

~-t L~-~(-i-)) i.J.J ~

& ~ L)(.",--~L+)J Z:'} =-q .

.,. ~
tI' ~-, - k ,,~
... ""'(-) •
-
K ,.:%.>()
\( '"
H.... )(..(,-) -;;:.,.)
\-r
= 0

~ J;e.. d-t-v> ,,~...c '?UV'IC.e.

E" 1. '\I'f JL-1 ~:. J -- (:) (;;. l ~SL-1 ~~)) :.. 0

E { (d> 1Ir1 >'-Jl-1 - ~ (-) .,.. iJ;.,.. ~ Jot ;:1<.[-) - ii.jI. I-! JJ.JIt... - ii"....,.;)[fI,.)" l-l- :H..."....- '>Ii}
(H~ ~(-) - 'I,Jf}
==G t.[~JL.-~(-)) ,.. ~t\~(~lL-~C.-)) - ~"J<.J[ t<J(~t-) _VfI(]'T}

.:!=- ~i ~ ~ t-) + 14.t1.v,. ~ L-) - U IL '-iJ(.J ( ~~ ~Jtt-) _ "'I~]r}

=?

0)
 ~
P./.L(..r-) -= ~ 1. ;.(1.(.. (-H ~:c..-+-)} " -=- 0. P os\~~ Co~~ ~
J.L.n6\\jLt I:{,..~

'~JLc.+-) -,-.& ~t-) ~~:z.t.J.. -= (:C-~-KJL-) ~JL~) +~ '%.J.<.

\ ~u.L~ = ~&) .,.. ~ (~- -HJL~l-\)]
)£~ ~JL -.to'JL +-tJL ~ (-) -+- ~
f'..
I\.
(........) - '= - "'-J.i.. +- 1i.u.
-
ZJl..
- "
&- )

-;... - ~J,I.... --
+- J,.!JL -HJ{ ~~ + Xx -- - ""
'1J1.. - J..!)L. 4-\jL. ~x. (-) """""c)l.
"­ L... )
~~ (r) - ~4-t\.(. ("'-101- -~JLl.-)) ~ ~ v~
':' c.. ::z::: - LIu.. ~JI-) ~l..) + jzJ<. '-I Sf..
-I- (.

------
~L-) -,,-"-)

,;(:JL.l~ )

So ~~

Pll-. (+-) ~~ t ~ (~) ~"(-t-)} -=

T'
-=- 1;- t (cr::-JI..a£f-CJL) ~J.t.(-) +i4.'1~J llX-~~J ~(.-) +-k v.J
-=- ( x- ii:/l. f-iJL.) E-{.;£,u.v-) ;£'J£,&) } (:z:-.i4. tt~l'"t + l-Z.JL C; l \IoU~I } .iZJl.
'------v--- \. ...-.-J
~~) ~

(3)

.....:J-I!I\e...te , - - - - - - - - - - - - - - - ­
. [ ~Jt. = P... H f(J (-fiJI. Ps.<(-)f(j[ +~yj
. ""

~ ot{-e.r ~ F C.:3)
p~ C+) = p~(-) - iZ:j( (-{lo£. PSI.. c..-) - P.lLl..-) -HI ~ +- LL.IL K\ol Py...l.- ') t-t;- u;
 (

~ or~~ ec;;kJVn.aJ.e. ~ ~J­

)he..-v\
'"
~.)l.(~) - ~)L -== ~ll...-1 ~1 (..+) -'<'x =- i C+j - <f )<.JL-'\
-
J,L- i ;:'1L-1 - "vIijL_­

-,(.Jt..,{-)-=. ~)L-1 (.2J(.~l-+-) - ,(ji.-1) - "$4 JL-1

... ""v- ­
,..;
)(1L-1 t+)

~~ (-) = f JL-, f ;Ji.-f L+) - -v;..J JL- J '., ­

E-i. ;Z JL. (-) ' ; ( ;C-) ~ -=- ~ ~ t1 .f2 t :--JL,--f (..+-) ~~1 (-I-) )­ -+- &.lL..-1

rjL.(- ~ - I})k-- \ P.ll.-1l-t-') Cf?;--I +- ClJl-- J

A-~r-L t-./~e ~ P.K.C-)

DISCRETE SYSTEM MEASUREMENT DISCRETE KALMAN FILTER

r w;:; - - - - - - - -I
II Vk II
II, :h(+) I
II COPY OF
'DISCRETE SYSTEM
I IL
I I I I
L J L - - - - ­ _I
Figure 4.1 .Block diagram of system, measurement model, and discrete-time Kalman filter.
4.2.1 Summary of Equations for the DIscrete-Time Kalman
estimator
The equations derived in the preceding section are summarized in Thble 4.3. In this
formulation of the filter equations, G has been combined with the plant covariance by
multiplying Gk-l and or-l' e.g.,

Qk-l = Gk-l E(Wk-1WL1)GLl

= Gk-l Qk-l G'f-l'
TABLE 4.3 DISCRETE·TIME KALMAN FILTER EQUATIONS

System dynamic model:

z,. =
w,.
Measurement model:
v,. ='"
z,.
Initial conditions:

E(zo} = Zo

E(ioir) = Po

Independence assumption:

E (W,.vJ) ;::: 0 for all k ~ j

State estimate extra lation

L~Z~,.(iI!;-)~~=~~~~~~-, i) redL-l,~,;t&-1.-~
Error covariance extrapo ation
p,.(-) = ~"-l.p,.-l(+)~r-l + Q,.-l
State estimate observational update (Equation 4.21):
-- z,.(+) = z,.(-) + R,. [Z,. - H,.z,.(-)]
Error covariance update (Equation 4.24):
.P,.(+) = [I - R,.H,.] P,.(-)
Kalman gain matrix (Equation 4.19):
R,. = P,.(-)H,{ [H,.P,.(-)H'{ +R,.r 1

The relation ofthe filter to the system is illustrated in the block diagram of Figure
4.1. The basic steps of the computational procedure for the discrete-time Kalman
estimator are as follows:
1. Co~pute Pk(-) using Pk-l (+), Wk-l> and Qk-l.
2. Compute Kk using Pk(-) (compU&led in step 1), Hk, and Rk.
3. Compute Pk(+) using Kk (computed in step 2) and PkH (from step 1).
4. Compute successive values of Zk(+) recursively, using the computed values
of Kk (from step 3), the given initial estimate zo, and the input data Zk.
Step 4 of the Kalman filter implementation [computation of Zk( +)] can be imple­
mented only for state vector propagation where simulator or real data sets are avail­
able. An example of this is given in Sertion 4.12. .