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State Estimation using kalman filter...

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State Estimation using kalman filter...

© All Rights Reserved

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ELECTONICS

AJAY KUMAR GARG ENGINEERING

COLLEGE

Report topic :-

STATE

ESTIMATION

Project supervisor :

Team members :-

Vipul Verma

Vishal Maurya

Vivek Kumar

ACKNOWLEDGMENT

constant support, suggestions, patience and unswerving guidance during my project

work, without which, this Project would not be in its present form. He is the constant

source of inspiration and support throughout the semister for me. We are grateful to all

the faculty members of the department for their consistent effort to provide the best

available resources and share their technical expertise and experience to inculcate

professionalism and condence.

We wish to thank all my classmates, roommates, friends and my well wishers who

helped me directly or indirectly for the completion of this work.

My warmest thanks go to my family for their support, love, encouragement and patience.

Vipul Verma

Vishal Maurya

Vivek Kumar

ABSTRACT

This thesis presents adaptive square root lter for Network Control Systems (NCS) under

various uncertainties like random missing measurements, sensors delays and packet

dropouts. The probabilities of occurrence of all these uncertainties are assumed to be

known a priori. The results presented in for state estimation of unstable NCSs appears to

be erroneous due to the presence of state covariance matrix in the ltering algorithm. A

modied adaptive Kalman lter in square root form is proposed and subsequently, a

memoryless state feedback

controllerforasymptoticstabilityoftheNCSinlinearmatrixinequality (LMI) frame work has

been considered. For NCSs, where system matrices are dependent of unknown

parameter vector with known bounds of parameter variations, a simultaneous parameter

and state estimation algorithm has been proposed in bootstrap manner. Unknown

parameters are estimated based on innovation sequence in measurement information

and gradient of innovation sequence. A design of estimator based controller for

stabilization of NCSs under structure parameter perturbation has been proposed.

Thecontrollerdesignisbasedonknownboundsofthestructureparameterassociatedwiththesy

stemmatrices. The designed controller uses the estimated state to generate control

signal, which stabilizes the composite system.

Content

Introduction

Observability of discrete-time systems

Kalman filter variable

Derivation of the Kalman filter

- Statement of problem

- Propagation step

- Update step

Kalman Filter (Algorithmic Steps)

Covariance matrices

Features of the Kalman Filter

Kalman filter Application

Kalman filter Program

Simulation output Plots

INTRODUCTION

Kalman Filter was introduced in 1960s. Kalman filter is an algorithm that uses a series of measurements

observed over time, containing statistical noise and other inaccuracies, and produces estimates of unknown

variables that tend to be more precise than those based on a single measurement alone. The filter is named

after Rudolf E. Klmn, one of the primary developers of its theory.

The Kalman filter has numerous applications in technology. A common application is for guidance, navigation and

control of vehicles, particularly aircraft and spacecraft. Furthermore, the Kalman filter is a widely applied concept

in time series analysis used in fields such as signal processing and econometrics. Kalman filters also are one of the

main topics in the field of robotic motion planning and control, and they are sometimes included in trajectory

optimization. The multi-fractional order estimator is a simple and practical alternative to the Kalman filter for tracking

targets.

The algorithm works in a two-step process. In the prediction step, the Kalman filter produces estimates of the

current state variables, along with their uncertainties. Once the outcome of the next measurement (necessarily

corrupted with some amount of error, including random noise) is observed, these estimates are updated using

a weighted average, with more weight being given to estimates with higher certainty. The algorithm is recursive. It

can run in real time, using only the present input measurements and the previously calculated state and its

uncertainty matrix; no additional past information is required.

The Kalman filter does not require any assumption that the errors are Gaussian. However, the filter yields the exact

conditional probability estimate in the special case that all errors are Gaussian-distributed.

Extensions and generalizations to the method have also been developed, such as the extended Kalman filter and

the unscented Kalman filter which work on non-linear systems. The underlying model is a Bayesian model similar to

a hidden Markov model but where the state space of the latent variables is continuous and where all latent and

observed variables have Gaussian distributions.

process the measurement for estimation of system states

A necessary condition for the Kalman Filter to work correctly is that the

system for which the states are to be estimated, is observable. Therefore,

you should check for observability before applying the Kalman Filter.

(There may still be other problems that prevent the Kalman Filter from

producing accurate state estimates, as a faulty or inaccurate

mathematical model.)

Consider the discrete linear time varying system

x(k+1) = A(k)x(k) + B(k)w(k) + E(k)u(k)

z(k) = C(K)x(k) + v(k)

where x(k) Rn is the state vector with x(k0) = x(0), z(k) Rp is the

measured output, u(k) Rm is the control input, and w(k) Rm and v(k)

Rp are stationary, zero-mean, uncorrelated, white noise Gaussian sequences

with covariance matrices w and v respectively.

E[w(k)w(k)T] = w

E[v(k)v(k)T] = v

E[w(k)v(k)T] = E[w(k)w(r)T] = E[v(k)v(k)T] = 0

The initial conditions satisfy the mean and covariance conditions:

E[ x(0)] = xo , E (x(0)xo)(x(0)xo)T = o

Let xs(k|k) be the estimates state at time k and (k|k) = E e(k)e(k)T error

covariance, where,

e(k) = x(k)xs(k).

k = state vector

y = observation vector

u = control vector

A: state transition matrix --- dynamics

B: input matrix (maps control commands onto state changes)

E: input error matrix

C: output matrix

V: output error matrix

Statement of problem

Let there be a system which is represented in the state

space domain as follows:

x ( k + 1 )= ( k +1, k ) x ( k )+G( k )u(k )

y ( k )=H ( k ) x ( k ) +v (k)

both assumed to be zero mean,

So that

E [ u ( k ) ]=0

E [ v ( k ) ]=0

Moreover,

u(k)

and

v(k)

Q(k )

and variance

R(k )

respectively.

E [ u ( k ) v t ( l ) ]=E [ u ( k ) ] E [ v ( l ) ]=0 k , l

E [ u ( k ) uT ( k ) ]=Q(k )

E [ v ( k ) v ( k ) ] =R (k )

E [ x 0 ( k ) u ( k ) ]=0 k 0

E[ x 0 ( k ) ] v (k )=0 k 0

and

^x (k +1/k )

^x ( k /k ) :

estimation x^ (k+1/k) is also characterized by transition matrix (k +1 /k)

x

^x ( k +1/k )=E

x ( k +1/k )= ( k +1, k ) E [ x ( k )| y ( 1 ) , , y ( k ) ] +G ( k ) E[u(k ) y ( 1 ) , , y(k )]

u ( k| y ( 1 ) , , y ( k ) ]=0

E

As

We obtain

^x ( k /k )=( k +1/k ) x ( k /k )

x ( k ) ^x ( k /k )T }

P ( k /k ) =E {[ x ( k )^x ( k / k ) ]

x ( k )^x

T

P

Update step

will adopt the following linear form of the state vector estimation:

This form is inspired by the linear recursive algorithm

derived analytically in the section on the recursive least squares estimation

A posteriori estimation

^x (k /k )

difference between the actual measurement and its prediction.

Xs(k+1|k+1) = xs(k+1|k)+K(k+1)

[y(k+1)C(k+1)xs(k+1|k)]

Xs(k+1|k) = A(k)xs(k|k) + E(k)u(k)

STEP 2: Predicted error covariance matrix

(k+1|k) = A(k)(k|k)A(k)T +B(k)w B(k)T

STEP 3: Kalman gain matrix

K(k+1) = (k+1|k)C(k+1)T [C(k+1)(k+1|K)C(K +1)T +v]-1

Xs(k+1|k+1) = xs(k+1|k)+K(k+1)[y(k+1)C(k+1)xs(k+1|k)]

STEP 5: Measurement update of error covariance

(k+1|K +1) = [I K(k+1)C(k+1)](k+1|K)C(k)[I

K(k+1)C(k+1)]T +K(k+1)vK(k+1)

Covariance Matrices

The covariance of two random variable x1 and x2 is

Cov(x1,x2)

1 x1

=

S2x

x2

The correlation coefficient is the normalised quantity

2

Sx x

r 12

,1 r 12 + 1

Sx Sx

1

cov(x)

E [ ( x x ) ( xx )' ]

( xx )(x x )' p( x ) dx

xx

dxn

there is a linear dependence among the components of x.

The (i,j)th element of Pxx is

S 2x x

i

diagonal elements

correlations.

are

the

variances,

off-diagonal

encode

Filter

1. Model errors: There are always model errors since no model can give a

perfect description of a real (practical system). It is possible to analyze the

implications of the model errors on the state estimates calculated by the

Kalman Filter, but this will not be done in this book. However, in general, the

estimation errors are smaller with the Kalman Filter than with a so-called

ballistic state estimator, which is the state estimator that you get if the Kalman

Filter gain K is set to zero. In the latter case there is no correction of the

estimates. It is only the predictions that make up the estimates. The Kalman

Filter then just runs as a simulator. Note that you can try to estimate model

errors by augmenting the states with states representing the model errors.

2. The error-model: Assuming that the system model is linear and that the

model is correct (giving a correct representation of the real system), it can be

shown that the behaviour of the error of the corrected state estimation,

Filter represents a dynamic system. The dynamics of the Kalman Filter can be

analyzed by calculating the eigenvalues of the system matrix of. These

eigenvalues are

{1, 2,..., n } = eig [(I KC)A]

4. The stability of the Kalman Filter: It can be shown that the Kalman

Filter always is an asymptotically stable dynamic system (otherwise it could not

give an optimal estimate). In other words, the eigenvalues dened by always

inside the unity circle.

5. Predictor type Kalman Filter. In the predictor type of the Kalman Filter

there is only one formula for the calculation of the state estimate:

(k + 1) = A xest(k) + K [ y(k)C xest(k)]

Thus, there is no distinction between the predicted state x est estimate and the

corrected estimate (it the same variable). (Actually, this is the original version of

the Kalman Filter. The predictor type Kalman Filter has the drawback that there is a

time delay of one time step between the measurement y(k) and the calculated

state estimate xest(k + 1).

a. Estimation of various states and parameters for spacecraft based on

sensors output.

b. Signal processing in guidance, navigation and control of vehicles,

particularly aircraft.

c. Kalman lter also has one of the main applications in the eld of robotic

motion planning and control . It is sometimes also included in trajectory

optimization.

D. Estimation of the parameters of an AR model.

e. Many computer vision applications

- Stabilizing depth measurements

- Feature tracking

- Cluster tracking

- Fusing data from radar, laser scanner

- Many more

Reference:

-Modelling estimation and Optimal Filteration in signal processing

-Wikipedia

Kalman filter

Program

Simulation

value

x ( k + 1 )= Ax ( k ) +Gu ( k ) +Bw (k )

y=Cx ( k )+ v ( k)

A=

1 0.07857

0 0.6065

]

B=

[

[

.0043

.00008771

G= .0043

.000787

C= [1 0]

cov [ w k ] = w =1

v = 5

for the system

1 0

(0)=

x

0

( 0)=[1 0]

xe

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

k=0:2*pi/1000:2*pi-2*pi/1000;

%u=sin(k);

u(1:1000)=1;

f=[1 .0787;0 .6065];

g=[.0043;0717];

b=[.00043; .000787];

c=[1 0];

q = 1;r =5;

X=[1;0];xe=[1;0];

p=[1 0;0 0];

pd=[];

xs=[];

xes=[];

ks=[];

w=sqrt(q)*randn(1000,1);

v=sqrt(r)*randn(1000,1);

for i=1:1000

xs=[xs x];

xes=[xes xe];

x=f*x+g*u(i)+b*w(i);

y=c*x+v(i);

xe=f*xe+g*u(i);

%original signal

%time update

%predicted state

25

26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51

52

53

54

55

p=f*p*f'+b*q*b';

kk=p*c'/(c*p*c'+r);

xe=xe+kk*(y-c*xe);

p=(eye(2)-kk*c)*p;

ks=[ks kk];

%gain

%measurement update

end

figure

hold on

plot(k,xs(1,:),'b-')

plot (k,xes(1,:),'r-')

grid

xlabel ('time k')

ylabel('x1')

title ('x1 signal')

legend ('original x1','estimated x1')

hold off

figure

hold on

plot(k,xs(2,:),'b-')

plot(k,xes(2,:),'r-')

grid

xlabel('time k')

ylabel('x2')

title ('x2 signal')

legend ('original x2','estimated x2')

hold off

Figure

plot(k,ks)

title('gain')

Figure 1

Figure 2

Figure 3

Figure 4

Figure 5

Figure 6

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