Kalman Filter Slides

Detection and Estimation Theory
ECE 531
Saeed Hajizadeh
Department of Electrical and Computer Engineering

University of Illinois at Chicago
29 March 2016
Saeed Hajizadeh (UIC) Detection and Estimation Theory ECE 531 29 March 2016 1 / 24
Lecture 16
Kalman Filters
Review
Recall last lecture we discussed Bayesian Estimation

Bayesian Risk function to be minimized was introduced
Different cost functions led to various estimators
We also considered the MMSE estimators (posterior mean if
quadratic cost function)
Bayesian linear model resembles classical linear model with prior
Introduction
Today we will discuss Kalman Filters

So far, weve had a fixed parameter to be estimated
What if the parameter evolves over time?
x[n] = f ((n), u[n]) Dynamical Signal Model
Wiener filters and Kalman filters used
When non-stationary or vector noise, Kalman filter is used
Applications:
Guidance, navigation, and control of vehicles
Time series analysis used in Econometrics, Finace, and Signal
Processing
Outline
1 Scalar Version
Scalar Gauss-Markov Signal Model
Scalar Kalman Filter
2 Vector Version
Vector Gauss-Markov Signal Model
Kalman Filter
3 Application
Outline
1 Scalar Version
2 Vector Version
Kalman Filter
3 Application
Dynamical Signal Model
Example of DC level with WGN
x[n] = A[n] + u[n] n 0
Model with first-order Gauss-Markov process
s[n] = as[n 1] + u[n] n 0 (1)
s[1] N (s , s2 )
WGN
u[n] N (0, u2 )
where everything is pairwise independent.
Model looks like an AR(1) process
Non-iterative equivalent
n
X
n+1
s[n] = a s[1] + ak u[n k] (2)
k=0
s[n] is a Gaussian random process (proved by induction)

Mean, covariance, and variance:
E(s[n]) = an+1 s (3)

Cov (s[m], s[n]) = E [(s[m] E(s[m]))(s[n] E(s[n]))]
n
X
= am+n+2 s2 + u2 amn a2k m n (4)
k=0
n
X
Var (s[n]) = a2n+2 s2 + u2 a2k (5)
k=0
E(s[n]) = an+1 s
n
X
Cov (s[m], s[n]) = am+n+2 s2 + u2 amn a2k mn
k=0
n
X
Var (s[n]) = a2n+2 s2 + u2 a2k
k=0
Mean and variance depend on n

Covariance depends on m and n as well as m n
Not a WSS random process
As n the process gets WSS
Recursive formulas for mean, variance, and covariance:
E(s[n]) = aE(s[n 1]) (6)

2
Var (s[n]) = a Var (s[n 1]) + u2 (7)
mn
Cov (s[m], s[n]) = a Var (s[n]) (8)
Mean, variance, and covariance propagation equations

Variance is asymptotically bounded (Why?)
Outline
1 Scalar Version
2 Vector Version
Kalman Filter
3 Application
s[n] = as[n 1] + u[n]

x[n] = s[n] + w [n] (9)
WGN
u[n] N (0, u2 )
w [n] N (0, n2 )
Want to estimate s[n] based on {x[0], x[1], ..., x[n]}: s[n|n]
s[n] = as[n 1] + u[n]

x[n] = s[n] + w [n] (9)
WGN
u[n] N (0, u2 )
w [n] N (0, n2 )

Recursive estimation: s[n] given s[n 1]
s[n] = as[n 1] + u[n]

x[n] = s[n] + w [n] (9)
WGN
u[n] N (0, u2 )
w [n] N (0, n2 )

Process called Kalman filtering
s[n] = as[n 1] + u[n]

x[n] = s[n] + w [n] (9)
WGN
u[n] N (0, u2 )
w [n] N (0, n2 )

Process called Kalman filtering
s[n|n] = arg min E [s[n] s[n|n]]2
s[n|n] = E(s[n]|x[0], x[1], . . . , x[n])
Some MMSE estimator of given two uncorrelated data vectors
= E(|x1 , x2 ) = E(|x1 ) + E(|x2 )

= E(1 + 2 |x) = E(1 |x) + E(2 |x)
Using these properties we can prove,
s[n|n 1] = a
s [n 1|n 1] (10)
2
M[n|n 1] = a M[n 1|n 1] + u2 (11)
M[n|n 1]
K [n] = 2 (12)
n + M[n|n 1]
s[n|n] = s[n|n 1] + K [n](x[n] s[n|n 1]) (13)
M[n|n] = (1 K [n])M[n|n 1] (14)
s[n|n 1] = a
s [n 1|n 1]
M[n|n 1] = a2 M[n 1|n 1] + u2
M[n|n 1]
K [n] = 2
n + M[n|n 1]
s[n|n] = s[n|n 1] + K [n](x[n] s[n|n 1])
M[n|n] = (1 K [n])M[n|n 1]
Example:
1
s[n] = s[n 1] + u[n]
2
1
s[1] N (0, 1) , u2 = 2 , n2 = ( )n
2
Kalman Filter Properties
Extension of sequential MMSE estimation for parameter evolving in

time
No matrix inversion is needed Computationally more efficient
Prediction stage increases the error correction stage decreases it
Best one-step prediction vs. best two-step prediction
s[n|n 1] vs. s[n + 1|n 1] (15)
Two-step prediction is optimal if n .

Kalman is a whitening filter.
Outline
1 Scalar Version
2 Vector Version
Kalman Filter
3 Application
Vector state-scalar observation:
s[n] = As[n 1] + Bu[n] (16)

x[n] = hT [n]s[n] + w [n] (17)
WGN
[A]pp , [B]pr , [u]r 1 N (0, Q), s[1] N (s , Cs )
[h[n]]p1 , w [n] N (0, n2 )
Vector Gauss-Markov Siganl Model
Vector state-vector observation:

State model is the same
x[n] = H[n]s[n] + w[n] (18)
[H[n]]Mp , [x[n]]M1 , [w[n]]M1 N (0, C[n])
Outline
1 Scalar Version
2 Vector Version
Kalman Filter
3 Application
Kalman Filter
Vector state-scalar observation Filter

Prediction
Minimum Prediction MSE Matrix (p p)
Kalman Gain Vector (p 1)
Correction
Minimum MSE Matrix(p p)
s[n|n 1] = As[n 1|n 1] (19)

M[n|n 1] = AM[n 1|n 1]AT + BQBT (20)
M[n|n 1]h[n]
K[n] = 2 (21)
n + hT [n]M[n|n 1]h[n]
s[n|n] = s[n|n 1] + K[n](x[n] hT [n]s[n|n 1]) (22)
T
M[n|n] = (I K[n]h [n])M[n|n 1] (23)
Kalman Filter
Vector state-vector observation Filter

Prediction
Minimum Prediction MSE Matrix (p p)
Kalman Gain Vector (p M)
Correction
Minimum MSE Matrix(p p)
s[n|n 1] = As[n 1|n 1] (24)

T T
M[n|n 1] = AM[n 1|n 1]A + BQB (25)
K[n] = M[n|n 1]HT [n](C[n] + H[n]M[n|n 1]HT [n])1 (26)
s[n|n] = s[n|n 1] + K[n](x[n] H[n]s[n|n 1]) (27)
M[n|n] = (I K[n]H[n])M[n|n 1] (28)
Application
Kalman filter has found a lot of applications in Finance

Is used to model tick by tick returns in Market Microstructure
Efficient price, transaction price, informational price diffusion,
i.i.d
pt,i = mt,i + ut,i , mt,i = mt,i1 + (t,i) i i N (0, 1)
ARMA model for Microstructure noise ut,i assumed

Look for return rt,i = pt,i pt,i1 using Kalman filter techniques
Summary
Gauss-Markov model for evolving parameter estimation

Kalman filter estimated the parameter recursively
Mean, variance, and propagation equations
Scalar and vector state and observation were considered
One application were taken a look at

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Detection and Estimation Theory

Department of Electrical and Computer Engineering

Recall last lecture we discussed Bayesian Estimation

Today we will discuss Kalman Filters

Example of DC level with WGN

x[n] = A[n] + u[n] n 0

Model with first-order Gauss-Markov process

s[n] = as[n 1] + u[n] n 0 (1)

s[n] is a Gaussian random process (proved by induction)

E(s[n]) = an+1 s (3)

Mean and variance depend on n

Recursive formulas for mean, variance, and covariance:

E(s[n]) = aE(s[n 1]) (6)

Mean, variance, and covariance propagation equations

s[n] = as[n 1] + u[n]

Want to estimate s[n] based on {x[0], x[1], ..., x[n]}: s[n|n]

s[n] = as[n 1] + u[n]

Want to estimate s[n] based on {x[0], x[1], ..., x[n]}: s[n|n]

s[n] = as[n 1] + u[n]

Want to estimate s[n] based on {x[0], x[1], ..., x[n]}: s[n|n]

s[n] = as[n 1] + u[n]

Want to estimate s[n] based on {x[0], x[1], ..., x[n]}: s[n|n]

s[n|n] = arg min E [s[n] s[n|n]]2

s[n|n] = E(s[n]|x[0], x[1], . . . , x[n])

Some MMSE estimator of given two uncorrelated data vectors

= E(|x1 , x2 ) = E(|x1 ) + E(|x2 )

Using these properties we can prove,

Extension of sequential MMSE estimation for parameter evolving in

s[n|n 1] vs. s[n + 1|n 1] (15)

Two-step prediction is optimal if n .

Vector state-scalar observation:

s[n] = As[n 1] + Bu[n] (16)

Vector state-vector observation:

x[n] = H[n]s[n] + w[n] (18)

[H[n]]Mp , [x[n]]M1 , [w[n]]M1 N (0, C[n])

Vector state-scalar observation Filter

s[n|n 1] = As[n 1|n 1] (19)

Vector state-vector observation Filter

s[n|n 1] = As[n 1|n 1] (24)

Kalman filter has found a lot of applications in Finance

ARMA model for Microstructure noise ut,i assumed

Gauss-Markov model for evolving parameter estimation

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