Nurlan Madiyev

A SIMPLE DERIVATION OF KALMAN FILTER

In accordance with the theory of estimation of state vector (or otherwise – unobserved estimated
under consideration, the signal) is an unbiased, have minimal residual and noise in the case, if
just given the initial state and system parameters. In the Kalman filter tend to reduce the
measured signal to the form, which he would have had to exit the ideal apparatus. However, in
practice, is often enough to reduce the signal mean which he would have had to exit the
apparatus with given characteristics in a controlled noise level.
The proposed approach yields lower as a special case of Kalman filter. Let us consider the
discrete linear system. Let the circuit measuring signal has the following form
yt At xt t (1)
m m n
where yt vector – is measured signal, of m dimension; matrix At – shows the real
m
apparatus; t – random vector, of the same dimension, determining the measurement error
m m
(noise) with zero mean t = 0, and known Rt covariance matrix.

Let us consider, that xt desired signal is associated with the signal in the previous time by
xt 1 t xt t t , (2)
n n n n n
Where t t – are known matrix’, of n n ; t dimension– random vector
n n
with zero middle mean E t 0 and given covariance matrix Q t .

Let us consider, that noises and

are not correlated, and that the previous condition of the
t t
n n
system is known: covariance matrix of estimation error 0 , matrix 0 , 0 , Q0 and
vector of the signal x̂0 at the t = t0.moment.
We put down the linear transformation of the measurements as (1):
K t yt K t At xt Kt t I t xt ( K t At I t ) xt Kt t , (3)
n m n n
where K t , It – is matrix, describing some hypothetic apparatus, that have
appropriate prescribed properties, i.e., It – apparatus, which is better by its characteristics, than At
apparatus, especially, It could be an ideal apparatus (i.e., equal to I t I matrix). Using (2) and
(3) expressions, we may consider, that the signal of the It apparatus is determined from the
relation
I t xt K t yt (It K t At )( x
t 1 t 1 t 1 t 1 ) Kt t (4)

Let the x̂t be the estimate of the desired signal xt , which is shown as

I t xˆt K t yt (It K t At ) xˆ
t 1 t 1 (5)

Subtracting from (4) equality (5), we obtain a vector estimation errors, which is as follows –

It ~
xt I t ( xt xˆt ) ( I t K t At )( ~
x
t 1 t 1 t 1 t 1 ) Kt t

1
 n n
Carrying the designation: let the Pt – be the matrix of the following type

T T
Pt t 1 t 1 t 1 t 1 Qt 1 t 1 , (6)

Then the covariance matrix of estimation error of the desired signal estimate (5) has the form

t (I t K t At ) Pt ( I t K t At )T K t Rt K tT . (7)

Matrix Kt can be found from the following example:

2 2
t (It K t At ) Pt1 / 2 min , in the case of K t Rt1/ 2 . (8)

If K t is a solution, then the estimate of the original signal xt would be K t yt signals. These
signals at a controlled level of noise, not exceeding , up to t will coincide with the signals at
the output of a given apparatus It.

Theorem: Let the circuit measuring signal described by (1) (2), be given starting conditions:
vector x̂t and 0 , 0 , 0 , Q0 matrix’. Then the estimate of the desired signal at the output of the
specified apparatus It in this system at the k time, according to y1 , y 2 , …, y k observations,
minimizing E xt xˆt criteria, in the given noise levels (8), given by recursive equations (5),
where Kt matrix is as follows:

Kt I t Pt AtT ( At Pt AtT Rt ) 1
at ,0< < 0 ,
and
Kt I t Pt1/ 2 At Pt1 / 2 at 0 .

2
where 0 I t Pt1 / 2 At Pt1/ 2 Rt1/ 2 ; here At – is pseudo inverse.

– Unique root of

2 1 2
, It K t Rt1/ 2 I t Pt AtT At Pt AtT Rt Rt1/ 2 .

In this case, the noise level is defined as

, 0< < 0
, It
0, 0

A discrepancy is –
2
2
It I t Pt AtT ( At Pt AtT Rt ) 1 At Pt1 / 2 , ,0< < 0 ,
, It (It K t At ) Pt1/ 2 2
(It I t Pt1 / 2 At Pt1/ 2 At ) Pt1 / 2 0 .

2
And for >0

d , It + d , It 0.

Proof. Lagrange function of the convex problem (8) has the following form:

2 2
L( , K t ) It K t At Pt1/ 2 K t Rt1 / 2 , 0,

Equating the derivative with respect to Kt Lagrange function to zero, we get:

2 It K t At Pt AtT 2 K t Rt 0, (9)

2
0, K t Rt1/ 2 0, K t Rt1/ 2 0, (10)

Conditions (9) and (10) specify the point of L , K t function and at 0 – solution (8). From
the (9) expression, we find out that

Kt I t Pt AtT ( At Pt AtT Rt ) 1
(11)

where Pt is taken from (6).

2
The level of noise t , I t , defined by , It K t Rt1 / 2 , is not decreasing at 0 < < . Let
the S At Pt AtT Rt , be then

d , It 1/ 2 2
2 I t Pt AtT S 1 Rt S , (12)
d

And (12) expression be equal to zero mean, only if ( I t ) ( Pt AtT Rt ) . Here the kernel matrix
H – some vectors, that equals H to zero: ( H ) x : Hx 0 . If it doesn’t make sense, then
1
t , It strictly decreases to 0 < < , considering that H lim H T HH T I , is:
0
2
lim , It I t Pt1/ 2 At Pt1 / 2 Rt1 / 2 .
0

2
Let 0 I t Pt1/ 2 At Pt1 / 2 Rt1/ 2 . Then if 0< < 0 , then equation relatively of this type –
1 2
, It I t Pt AtT At Pt AtT Rt Rt1 / 2 would be like = .

Then K t K t is the solution (8).

Note that in this case, the residual , I t by equality (11) would be:

2 2
, It (It K t At ) Pt1/ 2 It I t Pt AtT [ At Pt AtT Rt ] 1 At Pt1/ 2 , ,0< < 0 ,

3
 2
At 0 I t Pt1 / 2 At Pt1/ 2 Rt1/ 2 condition (10) is for = 0. hen, using the definition of the

pseudoinverse, we get K t I t Pt1/ 2 At Pt1/ 2 , hence, the residual

2 2
, It (It K t At ) Pt1/ 2 It I t Pt1/ 2 ( At Pt1/ 2 ) At Pt1 / 2 , 0 .

Using Conservation law d , It + d , It 0 direct substitution is verified. In reality,

d , It K t Rt d ; d , It It K t At Pt AtT d ;
I t Pt AtT K t At Pt AtT K t Rt I t Pt AtT K t At Pt AtT Rt I t Pt AtT I t Pt AtT 0.

Notation. From (11) relation we can see that at I t I and = 1 we obtain the gain of Kt from
Kalman-Bucy filter.

Bibliography:

1. Madiyev N. Increasing the resolving power of apparatus and Kalman-Bucy filter. Technical
and program means of automation of scientific research. Alma-Ata. Science, 1987. 78-84
page.

4
Nurlan Madiyev

AN OPTIMAL FILTER WITH CONTROLLED LEVEL OF NOISE

Let the circuit measuring signal be represented as:

yt At xt t , (1)

n n m
Here yt – is measuring signal; At – is the real matrix, which describes a real device,
m
that removes the testimony xt – is the desired signal, which is necessary to estimate;
n T
t – is random vector with zero mean E t 0 and covariance matrix E t t Rt . Index t
shows the moment of the signal measurement.

Let us have k observations, i. . y1 , y 2 ,..., y k . Assume that the signal xt is related to signal with
the following equation:
xt t 1 xt 1 t 1 t 1. (2)

m m m
Here , t1
t 1
– are given square matrix'; t 1
– random vector with zero mean;
E t 0 and given covariance matrix E tT t Qt .

We believe that given signal at initial time xˆ 0 , is xˆ0 Ex0 , matrix 0 , 0 , Q0 and initial
estimation error covariance matrix 0 .

Required by k observations y1 , y 2 ,..., y k , known matrix’ Ai, 1 i k ; j , j , 0 j k find an

estimation x̂i of xi , 1 i k vector, which satisfies the criterion of minimum total deviation:

T
min E xi xˆi xi xˆi , 1 i k,

We put down the linear transformation of expression as (1):

xt K t yt (I K t At ) xt Kt t . (3)

Here I – is the single matrix. The term K t t will be interpreted as the internal noise of the device
At, which is not connected with the xt signal; the term ( I K t At ) xt – is a false alarm signal.

Let the

xˆt K t yt (I K t At ) xˆ ,
t 1 t 1 (4)

be an estimate of the desired signal xt. It is easy to verify, that Exˆt Ext . Thus, the lower the
false alarm ( I K t At ) xt is, and the less the noise level K t t is, x̂i evaluation will be more
accurate, In other words, x̂i – is an estimate of the signal at the input device At. Let us assume
that the signal at the input device At, is a mixture of the true signal of the noise level [3]:

5
 xt xt t , (5)

m
The signal xt Ext would be the real signal; noise t – is a vector of random variables with
T
zero mean E t 0 and covariance matrix E t t Wt . The noise t is not connected to At
device and related to that from outside. Taking into account (5) observed signal (1) we may put it
down as:

yt At xt At t t , (6)

We put down the linear transformation of the last expression as:

xt K t yt (I K t At ) xt K t At t Kt t . (7)

The term ( I K t At ) xt is interpreted as false signal, xt distorts the true signal; K t At t – is an

external noise, which is connected to xt, K t t – as an internal noise of the At device, that is not
connected to outgoing signal.

Let the ~
xt xt xˆt be the vector of error estimation, where we define the evaluation of equal as:

xˆt K t yt (I K t At ) xˆt .

Then the error vector of this method of estimation becomes

~
xt xt xˆt ( I K t At ) ~
xt K t At Kt t .
t (8)

Expression (5) taking into account (2) can be reflected as follows:

xt x
t 1 t 1 t 1 t 1 t 1 t 1 .
We put down-
xt x .
t 1 t 1

t t 1 t 1 t 1 t 1 .

because xt x̂0 is known,

x1 x
0 0 0 0 .

In this case (5) it would be -

T
1 0 0 , W1 0 Q0 0 , W0 0.

Given these relations, the expression (8) for the estimation error vector is written as:
~
xt xt xˆt ( I K t At ) t 1~
xt 1 K t At t K t t ,

covariance matrix has the form:

t E~
xtT ~
xt (I K t At ) t 1 t 1
T
t 1 (I K t At )T K t AtWt AtT K tT K t Rt K tT (9)

6
 T T
Where it would be like – Wt t 1 Wt 1 t 1 t 1 Qt 1 t 1 .

Let us find Kt from the following:

2 2 2
1/ 2
min{ ( I K t At ) t 1 t 1 : K t AtWt1/ 2 t , K t Rt1 / 2 t }. (10)
Kt

Theorem. Let the circuit measuring signal be described by (1), (2), (5) and the initial conditions
will be given as follows: vector xˆ 0 , and 0 , 0 , Q0 0 . matrix. Then estimation of the true
2
signal in this system at the k time according to y1 , y 2 ,..., y k , minimizing E xt xˆt criteria, in
the given t noise levels and t (10), given by recursive equations:

xˆt K t yt (I K t At ) xˆ
t 1 t 1

Kt matrix is shown as:

Kt Pt AtT [ At ( Pt 1Wt ) AtT 2 Rt ] 1 ,
where
T
Pt t 1 t 1 t 1 , (11)
T T
Wt t 1 Wt 1 t 1 t 1 Q t 1 t 1 ,
T
W1 0 Q0 0 , W0 0. 1 0, 2 0.

Covariance matrix estimation error t is taken from (9). The 1 and 2 parameters are taken
from:
2
K t AtWt1/ 2 t ,
2
K t Rt1/ 2 t .

Evidence. Lagrange function of the convex problem (10) is like:

1/ 2 2 2 2
L( , K t ) I K t At t 1 t 1 1 K t AtWt1/ 2 2 K t Rt1/ 2 , 1 0, 2 0
Conditions
2( I K t At ) Pt AtT 2 1 K t AtWt AtT 2 2 K t Rt 0, (12)
1/ 2 2 1/ 2 2
1 0, 2 0, 1 ( K t AtW t t ) 0 , K t AtW t t 0,
2 2
2 ( K t Rt1 / 2 t ) 0 , K t Rt1/ 2 t 0.

determine the saddle point function L( ,Kt) and if t >0 t >0 – the answer is (10).

From the (12) we find out that

Kt Pt AtT [ At ( Pt 1 Wt ) AtT 2 Rt ] 1 .

where Pt is estimated from (11).

7
Notation. In this article, for simplicity, the observed signal is reduced to a form that it would
have on the output of an ideal device. Applying the [1], [2] methodology, it is easy to determine
the formula for the case where it is appropriate to reduce the measured signal form the output
device with the specified characteristics.

Bibliography

1. Madiyev N. A Simple Derivation of Kalman Filter. The previous article.

2. Madiyev N. Increasing the resolving power of apparatus and Kalman-Bucy filter.
Technical and program means of automation of scientific research. Alma-Ata. Science,
1987. 78-84 page.
3. Madiyev N. A New Method of Filtration With Regularization of Noises Levels.
Technical and program means of automation of scientific research. Alma-Ata. Science,
1987. 84-88 page.