(probs/362F1605 May 2, 2016) Name:

ECE6439(362) F1605
1.
Given the scalar CV motion model
x(t) = x0 + ẋ0 t
ˆ 0 with zero-mean Gaussian errors with covariance
and the estimates x̂0 and ẋ

σ02
   
x̃0 ρσ0 σ1
cov ˜0 =
ẋ ρσ0 σ1 σ12

(i) Find the predicted value x̂(t) based on the above.

(ii) Find the variance
σt2 = var{x̃(t)}
associated with the prediction from (i).
(iii) Specify the 95% probability interval for x(t) (you can round off the necessary multiplier to the nearest
integer).
(iv) Find the largest t such the length L of the interval in (iii) is less or equal to a.

2. Given at time k the prediction x̂(n|k) = E[x(n)|Z k ] = 100 for the scalar state x(n) of a system, with
n > k, and the associated prediction variance P (n|k) = 25. We know that by time n, the updated variance
will be P (n|n) = 16.
(i) What is the prediction (expected value) at time k of the (not yet available) future estimate x̂(n|n)?
(ii) What is the variance associated with the prediction from (i)?
(iii) Using (i) and (ii), find the 95% probability region for x̂(n|n).

3. For the state model (6.2.2-9) with measurement (6.5.1-1)-(6.5.1-2), find the covariance matrix of initial
estimate
ˆ ˆ˙
x̂(1|1) = [ξ(1|1) ξ(1|1)]0
based on differencing of z(1) and z(0) AND taking into account the (discretized continuous time) process
noise. Note that the process noise is a vector, with components v1 and v2 .
˙
(i) Express [z(1) − z(0)]/T in terms of ξ(1) and the appropriate noises.
(ii) Obtain  
P11 (1|1) P12 (1|1)
P =
P21 (1|1) P22 (1|1)

1
 EE362 F1605 Solution
1.
(i)
ˆ0 t
x̂(t) = x̂0 + ẋ
(ii)
σt2 = σ02 + 2ρσ0 σ1 t + σ12 t2
(iii) The interval is
[x̂(t) − 2σt , x̂(t) + 2σt ]
(iv) q
L = 4σt = 4 σ02 + 2ρσ0 σ1 t + σ12 t2 ≤ a
" r #
1 2 2 2 a2
t ≤ 2 −ρσ0 σ1 + (ρσ0 σ1 ) − σ1 (σ0 − )
σ1 16

2.
(i) From the smoothing property of the expectations one has

E[x̂(n|n)|Z k ] = x̂(n|k) = 100

(ii) From the text, eq. (8.5.2-5) one has

E{[x̂(n|n) − x̂(n|k)][x̂(n|n) − x̂(n|k)]0 |Z k } = P (n|k) − P (n|n) = 25 − 16 = 9

(iii) The s.d. corresponding to the above is 3. Thus the 95% probability interval is the “2-sigma” interval
around the prediction, which is 100, i.e.,

[100 − 6, 100 + 6] = [94, 106]

3.
(i)

z(1) ˙
= ξ(1) + w(1) = ξ(0) + ξ(0)T + v1 (0) + w(1)
˙
= ξ(0) + [ξ(1) − v2 (0)]T + v1 (0) + w(1)
= ˙
ξ(0) + ξ(1)T − v2 (0)T + v1 (0) + w(1)

z(0) = ξ(0) + w(0)

˙ − v2 (0) + [v1 (0) + w(1) − w(0)]/T
[z(1) − z(0)]/T = ξ(1)
(ii)
2
P22 (1|1) = 2σw /T 2 + q̃T + (1/T 2 )q̃T 3 /3 − (1/T )2q̃T 2 /2 = 2σw
2
/T 2 + q̃T /3
2 2
P11 (1|1) = σw P12 (1|1) = σw /T