(probs/362F1505 May 8, 2015) Name:

ECE6439(362) F1505
1. Given the measurement z (an nz -vector)

z = F Cg(x) + Dw

of the unknown constant nx -vector x, with the matrices C, D, F known and with suitable dimensions and
the known function g an ng -vector. The noises (vectors) are jointly normal with

w ∼ (w̄, Rww )

Denote by G the Jacobian matrix of g = [g1 , . . . , gng ]0 w.r.t. x = [x1 , . . . , xnx ]0 with elements

∂gi
Gij = i = 1, . . . , ng j = 1, . . . , nx
∂xj

(i) Write the likelihood function Λ(x; z) of x based on z.

(ii) Write the gradient of the negative log-likelihood function λ(x; z)
(iii) Find the expression of the FIM J for estimating x in the above problem.

2. An object is moving in one dimension along the coordinate ξ according to

¨ = T − Dξ(t)
ξ(t) ˙ 2 + v(t)

where T is the (constant) specific thrust, and D is the drag coefficient, both known.
(i) Write the state equation in the form of (10.3.1-1) for
   
x1 (k) ξ(k)
x(k) = = ˙ k = 1, 2, . . .
x2 (k) ξ(k)

with sampling interval τ , assuming the speed and the process noise (white noise acceleration) are piecewise
constant over each sampling interval

x2 (t) = x2 (k) v(t) = v(k) kτ ≤ t < (k + 1)τ k = 1, 2, . . .

The process noise v(k) is zero-mean white with variance q.

Hint: use the kinematic equations for both position and velocity for an object moving with constant
acceleration.
(ii) Given the observation model

z(k) = x1 (k) + w(k) k = 1, 2, . . .

where the measurement noise w(k) is zero-mean white with variance r and uncorrelated from the process
noise. Initialize the state estimation for this system using the measurements at k = 1, 2. Indicate the initial
estimate for x and to what time it pertains (ignore the drag during the initialization).
Hint: For the velocity initialization express x2 (2) in terms of z(1) and z(2), as well as the measurement
noises w(1) and w(2) and the process noise v(1).
(iii) Find the covariance associated with the intial estimate accounting for both measurement and process
noises during the initialization period.

3. Given a r.v. with pdf N (x; x̄, σ 2 ).

(i) The r.v. x is to approximated by y with a pdf consisting of 3 point masses: µ0 at the mean and µ1 ,
at x̄ ± aσ.
Find the masses µi , i = 0, 1 and a by matching as many moments of y the moments of of x as necessary
Hint: use central moments where convenient.
(ii) Compare the 6th central moments of x and y.

1
 EE362 F1505 Solution
1.
(i)
1
Λ(x; z) = p(z|x) = c exp{− [z − F Cg(x) − Dw̄]0 R−1 [z − F Cg(x) − Dw̄]}
2
where
R = DRww D0
(ii)
1
∇x λ(x) = ∇x { [z − F Cg(x) − Dw̄]0 R−1 [z − F Cg(x) − Dw̄]}
2
= −(∇x g 0 )C 0 F 0 R−1 (z − F Cg − Dw̄) = G0 C 0 F 0 R−1 (z − F Cg − Dw̄)

(iii)
J = E{[∇x λ(x)][∇x λ(x)]0 } = G0 C 0 F 0 R−1 F CG

2.
(i)
x1 (k + 1) = x1 (k) + x2 (k)τ + [T − Dx2 (k)2 ]τ 2 /2 + v(k)τ 2 /2
x2 (k + 1) = x2 (k) + [T − Dx2 (k)2 ]τ + v(k)τ
(ii)
x̂1 (2) = z(2)

x1 (2) − x1 (1) − [T + v(1)]τ 2 /2

x2 (2) = x2 (1) + T τ + v(1)τ = + T τ + v(1)τ
τ
2
z(2) − z(1) + T τ /2 v(1)τ w(2) − w(1)
= − +
τ 2 τ

z(2) − z(1)
x̂2 (2|2) = + T τ /2
τ
(iii)
P11 (2|2) = r
2r qτ 2
P22 (2|2) = +
τ2 4
P12 (2|2) = r/τ

3.
(i)
µ0 + 2µ1 = 1
Because of symmetry of the pdf of y, the first and third moments are zero and thus matched. Moment
matching for variance:
var[y] = 2µ1 (aσ)2 = var[x] = σ 2 ⇒ 2µ1 a2 = 1
Fourth order (central) moment matching:

E[(y − E[y])4 ] = 2µ1 (aσ)4 = E[(x − E[x])4 ] = E[(x − E[x])4 ] = 3σ 4 ⇒ 2µ1 a4 = 3

Solving the above three eqs yields

√
a= 3 µ1 = 1/6 µ0 = 2/3

2
 (ii)
E[(y − E[y])6 ] = 2µ1 (aσ)6 = 2(1/6)33 σ 6 = 9σ 6
vs.
E[(x − E[x])6 ] = 15σ 6