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Kalman Filter Notes: Prateek Tandon

The document provides an overview of the Kalman filter and particle filter algorithms for estimating the state of a system based on intermittent observations. It first describes a generic problem of estimating the position and velocity of a bird flying through a jungle based on glimpses of motion. It then outlines the key equations of the Kalman filter for updating state estimates based on predictions and measurements. The document also lists some applications of Kalman filtering and provides a high-level description of the particle filtering algorithm and an example of using it to estimate the probability of rain based on umbrella use.

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15 views

Kalman Filter Notes: Prateek Tandon

The document provides an overview of the Kalman filter and particle filter algorithms for estimating the state of a system based on intermittent observations. It first describes a generic problem of estimating the position and velocity of a bird flying through a jungle based on glimpses of motion. It then outlines the key equations of the Kalman filter for updating state estimates based on predictions and measurements. The document also lists some applications of Kalman filtering and provides a high-level description of the particle filtering algorithm and an example of using it to estimate the probability of rain based on umbrella use.

Uploaded by

werwerwer
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Kalman Filter Notes

Prateek Tandon

Generic Problem
Imagine watching a small bird flying
through a dense jungle.
You glimpse intermittent flashes of
motion.
You want to guess where the bird is and
where it may be in the next time step.
Birds state might be 6-dimensional:
[x,y,z,x,y,z] three variables for position
and three for velocity.

Kalman Filter
Xk = Fk xk-1 + Bk uk + wk (state update)
Zk = Hkxk + vk (measurement update)

Fk state transition
X current state model
X last state
Bk control input
U control input
W ~ N(0,Q ), represents
process noise distributed via
model
multivariate zero-mean normal distribution with
covariance Q
Hk observation
V ~ N(0,R ), represents observation nose distributed via
multivariate zero-mean
normal distribution with
model
covariance R
k

k-1
k

Kalman Filter Algorithm


PREDICT:
Predicted State

UPDATE:

Predicted
Covariance
Innovation and Measurement
Residual
Innovation on Covariance
Optimal Kalman Gain
Updated State Estimate
Updated Covariance Estimate

Applications
Radar tracking of
planes/missles/navigation
Smoothing time series data
Stock market
People tracking / hand tracking / etc
Sensor Data

GPS Location Data smoothing


application

Particle Filter Algorithm


Function PARTICLE-FILTERING(e,N,dbn) returns a set of samples for the
next time step
Inputs: e, the new incoming evidence
N, the number of samples to be maintained
Dbn, a DBN with prior P(X0), transition model P(X1|X0), sensor
model P(E1|X1)
Persistent: S, a vector of samples of size N, initially generated from
P(X0)
Local variables: W, a vector of weights of size N
For i=1 to N do
S[i] sample from P(X1 | X0 = S[i])
W[i} P(E | X1 = S[i])
S WEIGHTED-SAMPLE-WITH-REPLACEMENT(N,S,W)
Return S

Particle Filter Example


P(R0)

R0

P(R
1)

0.7

0.3

0.7

Rain0

Rain1

R1

P(U
1)

0.9

0.2

Umbrella1

Particle Filter Example


Raint

(a) Propagate

Raint+1

Raint+1

(b) Weight,
[Not Umbrella
observed.]

Raint+1

(c) Resample

References
"Kalman Filter." . WIKIPEDIA, 13
APRIL 2013. Web. 13 Apr 2013.
<http://en.wikipedia.org/wiki/Kalman
_filter>.
Russell, Stuart, and Peter Norvig.
Artificial Intelligence: A Modern
Approach. 3rd. New Jersey: Pearson
Education Inc., 2010. Print.

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