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  • Linear Estimation

    Kalman Flowchart

    1. Kalman Filter Tutorial (Cont'd...)

    1.3.2 Algorithm

    Innovation

    Innovation defines the new information of the measurement. It is the difference between the actual measurement $Y_{k}$ and the predicted measurement $H\hat{X}_{k|k-1}$. It is denoted by $Z_{k}$ and expressed as, \begin{equation} Z_{k}=Y_{k}-H_{k}\hat{X}_{k|k-1}. \end{equation}

    Aposteriori estimation (Measurement update)

    The algorithm starts with some initial guess. Aposteriori estimate $\hat{X}_{k|k}$, at step $k$: \begin{equation} \hat{X}_{k|k}=\hat{X}_{k|k-1}+K_{k}Z_{k}, \end{equation} where expression of Kalman gain matrix (derived earlier) is: \begin{equation} K_{k}=P_{k|k-1}H_{k}^{T}[H_{k}P_{k|k-1}H_{k}^{T}+R_{k}]^{-1}. \end{equation} Posterior error covariance matrix $P_{k|k}$, could be evaluated as, \begin{equation} P_{k|k}=[I-K_{k}H_{k}]P_{k|k-1}. \end{equation}

    Prediction (Time update)

    Prior estimation of the states could be obtained with the help of process equation: \begin{equation} \hat{X}_{k+1|k}=\phi_{k}\hat{X}_{k|k}. \end{equation} Prior error covariance matrix $P_{k+1|k}$ is calculated by: \begin{equation} P_{k+1|k}=\phi_{k}P_{k|k}\phi_{k}^{T}+Q_{k}. \end{equation} From the above discussion, we see that the Kalman filter algorithm described here is recursive in nature. The figure on the top describes it.

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