Outline

CT Kalman Filter  KF state equation.

 Kalman gain.
 Error covariance.
M. Sami Fadali
 Riccati equation.
Professor of Electrical
Engineering
University of Nevada

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CT Model Filter Dynamics

• Data: 3 4
 Orthogonality Principle Apply Orthogonality

For minimum mean-square error

estimation, the estimation error is
orthogonal to the data  Error

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 Evaluate the RHS next 6

Solve KF Equation Error Orthogonal to Estimate

 Solution
 Multiply by

 Mean error is zero for an unbiased estimator.

 Error is orthogonal to measurements for minimum
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mean-square error. 8
 Kalman Gain Autocorrelation of Output

, for
Orthogonality

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Differentiate Output Covariance

,
,

,0 0 ,0 , ,

,0 0 ,0 , ,

,0 0 ,0 , ,

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 Error Dynamics Error Covariance: Lyapunov Eq.

 Apply the output covariance result to the error

P t   Fo (t ) Pt   Pt Fo (t )  G (t )Q G T (t )

T

P t   F (t )  K (t ) H (t )Pt 
 Pt F (t )  K (t ) H (t )
T

 G (t )QG T (t )  K (t ) RK T (t )

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Riccati Equation Summary of CT KF

 Substitute for the Kalman gain

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Steady-state Filter Example: Steady-state Filter
 Consider the equation of motion

 Under certain condition, the steady-  State-space model

state solution of the ARE exists.
 x1  0 1  x1  0
 Unique positive definite solution.  x   0 0  x   1u (t )
 Use steady-state filter for simpler  2   2   
implementation (suboptimal) x 
z (t )  1 0 1   v(t )
17  x2  18

Algebraic Riccati Equation Kalman Gain

 Solve the algebraic Riccati equation

0 1  p1 p2   p1 p2  0 0 0 ⁄
        q0 1
0 0  p2 p3   p2 p3  1 0 1 ⁄
 p p2  1 1   p1 p2 
 1     1 0 
 The term is needed to calculate the
 p2 p3  0 r   p2 p3  steady-state square error (trace of )
0  2 p2  p12 r , 0  p3  p1 p2 r
0  q  p22 r
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Reference

 J.B. Burl, Linear Optimal Control:

and Methods, Addison Wesley
Longman, Menlo Park, CA 1999.

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