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.