4. B6 loc Kalman réi rac 25 loc Kalman cp dn bbl toén tng quét dude lug trang tl cia mét qué enh duge mé inh NBs mgt cdch Hs ae theo ene ‘91an ng mbt phucng tinh neu nhidn tuyde tinh nou sau Te = At cee + Bt tea $e) a do dee ak = Hike + tk) Trong dé w va vl 2 vector bidn ngBu nhién dai dif cho niu né ending va nhidu do oye. 2 bién ngBy niin nay dbc bp vA auge (98 sil tuin theo phén B& Gauss v6 tung binh =0 vb ma trbn Np ign (covariance) Tn Lt la Q v8 R ww #N.0) v=mo.R) Nu vector trang thx eb keh the Ibn, thi ma tris A 38 cé Kich toe Ibn xn. @ (nx) Hm tr phy thube vo du Knit Wu V6 Ib vector eb ch thude I |. Vector do dae zc ich thu la m adn ma tba H sé Ih m x Chi ¥ rng ebe me edn QR, A H cb thé thay d5i theo that glan (ting bude k), hung & dy ching Avge gié si KnBng i Gin day ta thiy b3/ toda Ipc Kalman ehinh Idd tim oid ti ge hugng va ube dosn cia trang thél x khi ta biét duge sy bbién thién eda m6 vi ta do duge mét dai lugng z ma phy thude tuyéa tinh vio x. ‘i dy trong bbl todn chuyén dng, ta bit Guge cui Bt thay ai cia vin &Bc,nhung tla é thé do dupe sy thay AB cia v\ te. Kh 4, ci ta ba tim Ib vn t6c wee zen. uéy ta 98 sit "va Then luge 18 tién nghiém va tien naném ube heen cia gié trix tl th&t diém k. Gié tr én nghiém thu duoe nl dye va0 mn n8 tng (1), 20918 7 Agung bg ty UNU QUGE aU Kr 68 c8 KR Qua do dac Zhe (2). KI dB sa 35 cL Ube don ben nghiémn v8 bu ng 18 da te tk — Te Ma dn np oo ca 2s rn et in ue tne cg thd = Pe = Blegen") A= Fleet) Me ten cd cing ta by oti Ws Ks co ha mn phg nh sau gt (ce- HAE), t= ‘én aay ta thy ,K cing chin alpha ma 63 aie thi 6 wen. Prvang tinh (3) cb nahi ib gd rt NEU nghiém ce We wong x {uge tinh Bing gi tr ten ngnigm cla né va sau C6 tném/cc ci matt ava Veo $316 gia id Go duge v8 gb Wl do Gae vee ain FE Ey 6 0ay cron 8 it (gala) cba macn lec Kalman (chu ho 08 ra 1b tam tn no a8 enon K UU nt. TEI wu 6 dy theo Nghia 8 covariance cis sal <8 cla we lugng nu nghiém cima ay 8 = KC» (24 — HE * FE), sna nn, sing chen nay ev rong ig thd inh P50 08 290 Ini 208 i theo K, ($8 ti r2 dug git K ma twang ing VBI nd Pk I AMS oh Ky = Po HT (HP, HT + RY* E.tnay a6: eo ts glan & v8 chin i a8 te cn tim cia mach ioc Kalman trong méi ude dase, “Tém at mach Ige Kalman bao gm 2 oube : 1- Use don trang thal dn nahi, vd sau 8, 2-dva vio KB cud do a8 MU chin Ue dean. Ta €& thé tOm UB at hoat €6ng cla mach foe Kalman bing ede Phuong tin 9Gia su Dan 68 06 oi8 tr ube dodm Ehe—0 ta tnd diém (k-1) vd Bit Cuge gid tr dig kniér Led. (Gib ti ban GBu tal thes aiém 0 auge chon £9 = HE % 20). use 66 ban chi vite 180 in trong nian cu dy it tin Ninn che tinh tosn WW 1 Bn 24 DUBE AB RY an 3 trong Due 2 Measurement Update (“Correct”) Time Update (“Predict”) aia eae Kg = PyHT(HP,HT +R)" (1) Project the state ahead i can y . ° (2) Update estimate with measurement 2 (2) Project the error covatianee ahead fy = 4+K,(4-AX) Py = AP,_,AT+O (3) Update the error covariance P, = (I= KH)P; Initial estimates for f,_ and Py_y Hinn trén tm tt c¢ bn ca mach lgc Kalman. Nhu G8 nhc cén & phibn 3.4 ci kd eda mach loc Kalman I lim thé ndo 68 md hie ha ede trang tai vi do dae 68 eb dee 2 ova tinh (1) v8 (2) a cb thE 4p dung Kalman, Dinh nghia covariance matrix Definitionyedit) Thvougnout his aril, bekifaces unsubserpted X ard ¥ are used to refer to random vectors, and unboldfaced subserpted X. and YY ae uses to refer to random scalars. the entries in he column vector xX, sre cnr vis, €2¢h wih inte wating, then he covaance mai isthe mati whose (i) ety is the covasance Bij = cov( Xi, Xj) = Bl (Xz — pa)(Xj— 49) were i = B(X) isthe exoected value ofthe th erty i the vector X. In other words, we haveEX: = aXe = pad] E[CXs = 14) X2 = pad] vo | El(Xa = aX ~ pa)] Ell Xa = 2)(Xa—pa)] oo El X2 ~ 2) Xa - Hd] El(Xu ~ stu)(%i— sy] ECA ~ sha) Ne al] oo EL Xn — sa) Xue = se] -1 ‘The inverse of his mat, D's the inverse covariance matrix, also known 8s the concentration matrix or precision matrix see precision (statistics). The elements ofthe precision max have an interpretation in terms of partial arelatons and pomession Generalization of the variancefedit ‘The dfinton above is equivalant to the matrix equality B=B|(X- EX) (X- E(X)"| ‘This form can be seen as s generalization of the scalar-valued variance to higher dimensions. Recall that fora scalarvalued random varable x a? = var( Xs) = El(X; — E(Xi))"] = El( Xi — E(Xi)) (Xs — EOG))]. Indeed, the entries on the diagonal ofthe covariance mavix are the variances ofeach element of he vector XX. Correlation matrix(edit) ‘A quantity closely related tothe covariance matrix ie the correlation mati, the matrix of Pearson product-moment corlation -oaffcients between each ofthe random variables in the random vector XG. which can be writen pny = (sits) Ey (spent i snore EB) sno matix of agonal elamerts ot 20. onal mats ofeach fhe varancas of X) Ecuivaeny te corlaton maa can be seen 2 the cvaance mati ofthe sandaied random varbis X10 (or = 1 Conflicting nomenclatures and notationsfesit} [Nomenciatures differ. Some statisticians, following the probabil Wiliam Feller, cal the matnx 2 the variance of the random vector XX, because tis the natural generalization to higher dimensions of the 1-dimensional variance. Others call it the covariance matrix, because it's the matrix of covariances between the scalar components of the vector AX. Thus yar(X) = cov(X) = E [(X — E[X])(X — E[X])"] cov(X, Y) = E[(X — E[X))(Y — E[¥])"]. ‘The var otaton is found in Willam Feller two-volume book An inveduction fo Probabilty Theery and ite Appicatione.* but both forme are quite andar and there ‘sno ambiguty between them ‘The matric Dots also often called the variance-covariance matrix since the diagonal terms are infact variances.Propertiesjedit] ne Ex"). Hu=E(X) vanable and ¥ a random ¢-cimensional variable, the following basic properties apply where X is a random p-imensional S=E(XX™) — wet Diispoetiesenisetnte and emetic cov(AX +a} = A cov(X) AT cov(X. Y} = cov(¥,X)! cov(X, + X2, ¥) = cov(X,, ¥) + cov(X2, ¥) tpsqmen Var(X + Y) = var(X) + cov(X,Y) + cov(¥, X) + var(¥) cov(AX + a,BTY +b) = A cov(X,Y)B cov(X,Y)=0 WX ana "Y are independent or uncorrelated. then were XX ano Xz are random xt vectors, Yi arandom get voce, 2s a get vector, Dea pst vector ane AL ane Bare gop matrices This covariance matic @ useful tool ia many diferent areas. From ta lansformation matic can be derived, called a whitening Iansformation that alows one to completely decorelate the data or from a diferent point of view, to find an optimal basis fr representing the data ina compact way #8 s9¢ Rayleigh quotient fra formal proaf and addtional properties of covariance matrices), This scaled pancipa| components anslsis (PCA) and tne Karbunen-Lotve transform (KL-ransfor)