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I ntroduction

**A Comparison of Complementary and Kalman Filtering
**

WALTER T. HIGGINS, JR. Member, IEEE Arizona State University Tempe, Ariz. 85281

Abstract A technique used in the flight control industry for estimation when combining measurements is the complementary filter. This filter is usually designed without any reference to Wiener or Kalman filters, although it is related to them. This paper, which is mainly tutorial, reviews complementary filtering and shows its relationship to Kalman and Wiener filtering.

A simple estimation technique that is often used in the flight control industry to combine measurements is the complementary filter [1]. This filter is actually a steadystate Kalman filter (i.e., a Wiener filter) for a certain class of filtering problems. This relationship does not appear to be well known by many practitioners of either complementary or Kalman filtering. One exception is the tutorial paper by Brown [2] which discusses this relationship without going into the mathematical details. The complementary filter users do not consider any statistical description for the noise corrupting the signals, and their filter is obtained by a simple analysis in the frequency domain. The proponents of the Kalman filtering approach work in the time domain and do not pay much attention to the transfer function or frequency domain (Wiener filter) approach to the filtering problem, since it is a less general approach to the filtering problem. The Wiener filter solution to this class of multiple-input estimation problems appeared in the literature [3], [4] well before Kalman published his classic paper [5]. This paper reviews complementary filtering and shows how this technique is related to Kalman and Wiener filtering. Since both Kalman and complementary filtering are under consideration for use in the Space Shuttle Reentry and Landing Navigation System, the relationship between them should be well understood.

11. Complementary Filtering

Manuscript received August 6, 1974; revised December 27, 1974. Copyright 1975 by IEEE Thans. Aerospace and Electronic Systems, Vol. AES-li, no. 3, May 1975.

The basic complementary filter is shown in Fig. 1(A) where x and y are noisy measurements of some signal z and z is the estimate of z produced by the filter. Assume that the noise in y is mostly high frequency, and the noise in x is mostly low frequency. Then G(s) can be made a lowpass filter to filter out the high-frequency noise in y. If G(s) is low-pass, [1 - G(s)] is the complement, i.e., a highpass filter which filters out the low-frequency noise in x. No detailed description of the noise processes are considered in complementary filtering. The complementary filter can be reconfigured as in Fig. 1(B). In this case the input to G(s) is y - x = n2 - n I, so that the filter G(s) just operates on the noise or error in the measurements x and y. Note that, in the case of noiseless or error-free measurements, z = z [1 - G(s)] + zG(s) = z; i.e., the signal is estimated perfectly. A typical application of the complementary filter is to combine measurements of vertical acceleration and barometric vertical velocity to obtain an estimate of vertical velocity. To fit the previous discussion, assume that the acceleration measurement is integrated to produce a velocity signal ha, as shown in Fig. 2. The integration attenuates the high-frequency noise in the acceleration measurement, whereas the noise in hb is not changed. Therefore, if hb is filtered by the low-pass filter G(s) = 1/(rs + 1),

VOL. AES-1 1, NO. 3 MAY 1975

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321

IEEE TRANACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS

and position and velocity are estimated. ^ natural frequency and damping factor. 2. The Kalman Filter ha is actually low-pass filtered even though ha is high-pass filtered. The parameters a and b can be chosen to give the filter some desired A . The complementary constraint means that the filter just operates on the noise and is not affected by MAY 1975 322 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS .S +aS -I(S S2+ S+b z (B) +I- I Fig. This multiple-input/multiple-output system can be realized by just the simple second-order system. Gl(s) must be a second-order transfer function in order for the transfer function from Kalman filters.(A) (B) (A) A = b 2 S +aS+b SKG(S). refers to this as the complementary constraint. Complementary filter for estimating vertical velocity. Fig. h= y h + y h biha Fig. The transfer functions from xa and xp to x and x are the same as in Fig. 2(B). 1. simulation or flight testing. If G(s) is a low-pass filter. Note the similarity between Fig. The acceleration (2) measurement is integrated to produce a velocity estimate 1 . Complementary filters to estimate (A) velocity and (B) position from acceleration and position measurements. 5 and Fig. 4 shows the actual realization of the filter. This version of the filter also can be obthten ha is filtered by the high-pass filter tained by a direct argument as follows. in order to have a second-order transfer function between xa and x. 3. G2 2 52(S) S +aS+b S+aS+b Fig. and the actual reali.l/(Ts + 1) = TS/(TS + 1). 3(A) illustrates the complementary filter which estimates the velocity from position and acceleration measurements. Fig. although. 2(A) can be simplified. 1 (B). The time constant signal which is fed back to produce corrections in the estiT is usually between 2 and 6 seconds and is adjusted during mates. Fig. (B) Actual realization of the filter. in his paper. In this case. 1 . G1(s) must also have unity gain at low frequencies. (A) Basic complementary filter.G2(s) must be of the form 1 .G(s) is a high-pass filter.G(s) = 1 . as in the previous cases.enced with the position measurement to produce an error zation of the filter is shown in Fig. 1 . The basic block diagram is given in Fig. 3 shows how the complementary filter approach can be used to solve this problem. aS2 (A) (B) xp to x to provide attenuation at high frequencies. Brown. (B) Alternate version of the filter in which the filter operates only on the noise. (3) Again. as they are used in navigation systems. (A) Basic complementary filter. and a position estimate. an acceleration measurement is combined with a position measurement. The position estimate is differThe filter of Fig. Fig.G2(s) = s2/(s2 + as + b). G2(s) has unity gain at low frequencies. the actual implementation may be different. Note that the measurement Ill. In the case of an augmented inertial system. 3(B) shows the complementary filter for estimating position from the position and acceleration measurements. 3(A) and (B). 5. are based on the complementary filtering principle.

After discussing the basic equations. The Kalman filter equation is [7] 6z z -hx -PR-lP+ Q = 0 or x6 =F~x +k[6z -hl x6] (11) P=V-= aa. Gaussian noise.Ax. the above equations can be manipulated to produce a differential equation for x directly: x =x XI = Fxj + gu (process) zj = hxj (measurement) -6*x x=Fx+g(u + w) -FA -k[6z -h. zj and u are scalars. (14) In order to show the relationship with the complementary filters.hx]. The advantages and disadvantages of removing this constraint are discussed by Brown. k.x)] x = Fk + g(u + w) .6x]. Basically. the philosophy used is that the processing of one class of measurements defines the basic process equations. (5) (15) where u is one noiseless measurement and zj is the other. 323 HIGGINS: A COMPARISON OF COMPLIMENTARY AND KALMAN FILTERING . 1 X n. F = 0. is obtained from the equations k =Ph1 TR-1 = PhTR-l - (12) actual signals that are to be estimated. n X 1. The ideal equations are where P. and h = 1. RI X1[ ] [a1 A °1 Fig.k [z .hx + h(x . 5. an n X 1 matrix. define the measurement equations for the filter. h.Ph TR-h1p+gQgT (13) in which R = u2 is the variance of the measurement noise and Q = u2 is the variance of the process noise. sometimes referred to as augmenting measurements. =Fxj +g(h +w) =x -XI Z=hb =h + v. g = 1. Typical application of the Kalman filter in inertial navigation [2]. Actual implementation and equations of complementary filter to estimate position and velocity. hInapplying Kalman filtering to the problem of combining noisy measurements.x.|SOURCES |SOURCES :~~~~~~~~~~~~~~~~~~~ FITE ESTIMATES Fig. These examples can also be solved by the Wiener filter approach using spectrum factorization. andx are n X n.Fx1 -gu = = F8x + gw = (9) (10) Therefore. where 6k is the estimate of the error vector and k is the Kalman filter gain. F. X= X . 2(A) is where w and v are zero-mean.X= Fx +gu +gw . The stationary Kalman filter is obtained by setting P = 0 in the Riccati equation. the two examples of the previous section are reworked using the steady-state Kalman filter approach. Butk = x . there are two measurements. so that the algebraic Riccati equation is -hbx +1v =hlx + v where 6x is the error vector. The other measurements.6x = x -i. so that the equations are x= z As is shown below. andhi = -h. Example 1 Fx + g(u + w) (6) (7) =hxj + v The process equation from Fig. one of which serves as an input to a differential equation which serves as the process model. the n X n error covariance matrix. The relationship between the steady-state or stationary Kalman filter and the Wiener filter is discussed in the book by Sage and Melsa [6]. and n X I matrixes. In actuality. we have two noisy measurements. so that (4) x = Fk + g(u + w) . is the solution of the Riccati equation P = FP + PFT . white. this equation is identical to the differential equations of the complementary filters for the two examples under consideration. 4.k[z . g. respectively. The error equations are Ax 6x xi (8) = k =Fxl +gh. The actual estimates of the signals are x=x.

F=[ ] g= Pi1 P12 = = Since modern inertial navigation systems use digital computers. where the state transition matrix is I T eFT = and LO 1 The solution to the algebraic Riccati equation is /2u u3 UcwJv Ax(t) =x14t) . the update rate of the complementary filter can be signal is assumed to be much noisier than the acceleromehigher than the normal Kalman filter. means that the barometric fore. L 2 (kAx1n0 T +gxan-1) X =. flare. The comThis equation is identical to the equation of the compleplementary or stationary Kalman filter has a considerable mentary filter in Fig. Consider the solution to the differential equation (17) from one sample time to the next: i(nT) = eFTx[(n .1)7] + nT ha + (wlav) [hb. Thereas in the complementary filter. the time constant consideration in the applications to automatic landing is chosen to get most of the information from the accelero.and k = - a v Uv lav2 = - or w lav - assumption that the measurements are corrupted by stationary white noise produces a stationary Kalman filter that is identical in form to the complementary filter. 2(B). where the time constant of the advantage over the normal Kalman filter because the Ricfilter is now r = a. and k2 of the Kalman filter. the final set of difference equations is MAY 1975 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS . Ax(t) and x. L0 0 X+ 1 uxa + aw /Or . 3(B) is tions directly from the differential equations of the filter. so that the integral becomes nT (n-1)T -r and the Kalman gain is k= _ P L 0 1 ] dr(kAxn-1 +gxan-) [av2]-1 = _ The filter equation is T T2. (t) can be assumed constant over the sampling interval.Avx . P22 = gw 2av L 2aw/lav Assuming that T is small./ow Note that a time constant of four. or the problem can be formulated as a sampled measurement problem from the start.problems.X] eF(t-) (kAx (n-l)T +gx.x(t).) dr h=[l 0]. Another method is to obtain difference equaThe process equation from Fig. the 324 where Txa . This is an important ter signal. especially in an unpowered vehicle. IV. Therefore. In the complementary filter. One simple method to obtain discrete equations is to Example 2 replace the integrators in the block diagrams by digital integrators.w Therefore. which has a rapid descent rate before final long-term reference. such as the meter signal and use the barometric information only as a space shuttle. Therefore. Digital Implementation The filter equation is obtained by substituting into (15): x [ KlX ] =Li[ilX!] L=X$LX1i F F[o ]+[jY. cati equation and Kalman gains are not computed. 3(C) if a and b of the complementary filter are set equal to k. Avx is the usual output of an inertial measurement unit. (x P -X 1) 17) (I L 1T ~~T/2 2 kTAxn-1 + [T2vxnfl This equation is identical to the complementary filter of Fig. the continuous filters can be replaced by discrete x= (-ow lav)xi + (awulav)hb +ha (16 ) approximations.

1. The complementary filter is simpler because it involves less computation. Kalman.Y.L. [5] R. 14-19. 1971. N.P. pp. "Navigation. no. guidance. vol.G. 3445. in 1964 and 1966. vol.M. Melsa. no. He has been a consultant to Sperry Flight Systems on navigation. New York: McGraw-Hill.S. vol. pp. Circuit Theory.J. However. Inst. Winter 1972-73. pp. 19. and control problems. ASME. "Optimum filters for independent measurements of two related perturbed messages. Higgins. "Integrated navigation systems and Kalman filtering: a perspective. New York: McGraw-Hill. as the examples in this paper. Basic Engrg. J. 4.S. and L. vol. in 1961 and the M. 1957.S. the Bronx. HIGGINS: A COMPARISON OF COMPLIMENTARY AND KALMAN FILTERING 325 . W. [4] J. 1969. 355-362.S. Arizona State University. vol. Sage and J.S. Stewart and R. degree from Manhattan College. CT4.E. Conclusions The relationship between the complementary filter and the Kalman filter has been shown. Estimation Theory with Applications to Communications and Control. pp. From February 1966 to September 1967 he worked in the Research Department of Sperry Flight Systems." Navigation. 1973. [1] S. Higgins is a member of the Society for Computer Simulation and Eta Kappa Nu. and Ph. since there are three positions and velocities to be determined. Osder. guidance and control systems for V/STOL aircraft." Sperry Tech. computers. [2] R. Dr. Phoenix. A true comparison of the two filters would probably involve an extensive Monte Carlo simulation. Parks. in a specific real-world problem. Jr. Young.. the position measurement is a nonlinear function of certain ranges and angles. and the filter equations are higher order.D. Bendat. Since September 1967 he has been on the Faculty of Electrical Engineering. Circuit Theory. and random processes.. 1957. the mean-squared error for given white-noise inputs can be compared. degrees in electrical engineering from the University of Arizona. 1938. Rouse. on December 24. where he is currently an Associate Professor. (S'60-M'66) was born in the Bronx. "Degenerate solutions and algebraic approach to the multiple input linear filter design problems." IRE Trans. Stochastic Optimal Linear Estimation and Control. Navigation. Meditch. 3. The question that remains to be answered is how does the accuracy of the two techniques compare? Does the use of fixed or preprogrammed gains degrade the filter performance significantly? In idealized cases. [7] J. Ariz.E. 10-14. CT-4. College of Engineering Sciences. 82D. Tempe. [6] A.E. teaching graduate courses in control systems. [3] R. Walter T. March 1960. the noise is not really white." IRE Trans.E. "A new approach to linear filtering and prediction problems. Tucson. J.T Xn=[l0 1 T1/T n-i + 2 References + [11 01]kTAxn-1 Av1n- V." Trans. He received the B. Brown.

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