state estimation with a kalman filter...example object falling in air we know the dynamics related...

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State Estimation with a Kalman Filter When I drive into a tunnel, my GPS continues to show me moving forward, even though it isn’t getting any new position sensing data How does it work? A Kalman filter produces estimate of system’s next state, given noisy sensor data control commands with uncertain effects model of system’s (possibly stochastic) dynamics estimate of system’s current state In our case, given a blimp with (approximately known) dynamics noisy sensor data control commands our current estimate of blimp’s state How should we predict the blimp’s next state? How should we control blimp? CSE 466 1 State Estimation

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Page 1: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

State Estimation with a Kalman Filter

When I drive into a tunnel, my GPS continues to show me moving forward, even though it isn’t getting any new position sensing data How does it work?

A Kalman filter produces estimate of system’s next state, given noisy sensor data control commands with uncertain effects model of system’s (possibly stochastic) dynamics estimate of system’s current state

In our case, given a blimp with (approximately known) dynamics noisy sensor data control commands our current estimate of blimp’s state

How should we predict the blimp’s next state? How should we control blimp?

CSE 466 1State Estimation

Page 2: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Kalman Filter

Bayesian estimator, computes beliefs about state, assuming everything is linear and Gaussian Gaussian is unimodal only one hypothesis Example of a Bayes filter

“Recursive filter,” since current state depends on previous state, which depends on state before that, and so on

Two phases: prediction (not modified by data) and correction (data dependent)

Produces estimate with minimum mean-squared error Even though the current estimate only looks at the previous estimate,

as long as the actual data matches the assumptions (Gaussian etc), you can’t do any better, even if you looked at all the data in batch!

Very practical and relatively easy to use technique!

CSE 466 State Estimation 2

Page 3: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Example Object falling in air We know the dynamics

Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same as driving blimp forward with const fan speed

We get noisy measurements of the state (position and velocity) We will see how to use a Kalman filter to track it

CSE 466 State Estimation 3

0 20 40 60 80 100 120 140 160 180 200-2

-1

0

1Position of object falling in air, Meas Nz Var= 0.0025 Proc Nz Var= 0.0001

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-1.5

-1

-0.5

0Velocity of object falling in air

observationsKalman outputtrue dynamics

Page 4: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Linear 1D Newtonian dynamics exampleObject falling in air

CSE 466 State Estimation 4

where dxvdt

State is ( , )x v

Page 5: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Linear 1D Newtonian dynamics exampleObject falling in air

CSE 466 State Estimation 5

2 (ideally we'd use instead of )

force due to drag a

g

a g

v v

dvf ma mdt

f kv

f gm

f f f kv mg

dvm kv mgdt

dv kv gdt m

Confused by the signs?If obj is falling down, v is a negative #

g (the gravitational const.) isa pos. number, but the directionof gravity is down, so the gravitational force is -mg (a neg. number).The frictional force –kv is a positivenumber (since v is negative).Even though we wrote –kv and –mg, these two forces are in opposite directions when the object is falling

Page 6: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

How to solve the differential equation on the computer?

CSE 466 State Estimation 6

1

1

1

t t

t t

t t

dv kv gdt mv kv gt m

v v kv gt m

kvv v g tm

kvv v g tm

1

1

t t

t t

dx vdtx vt

x x vt

x x v t

Page 7: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Object falling in air

CSE 466 State Estimation 7

0 20 40 60 80 100 120 140 160 180 200-2

-1.8

-1.6

-1.4

-1.2

-1

-0.8

-0.6

-0.4

-0.2

0Falling object k/m = 10

xv

At terminalvelocity

Produced by iterating the difference equations on previous slide

Page 8: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

In air, heavier objectsdo fall faster!

CSE 466 State Estimation 8

0 20 40 60 80 100 120 140 160 180 200-7

-6

-5

-4

-3

-2

-1

0Falling object k/m = 10

xv

0 20 40 60 80 100 120 140 160 180 200-7

-6

-5

-4

-3

-2

-1

0Falling object k/m = 5

xv

0 20 40 60 80 100 120 140 160 180 200-7

-6

-5

-4

-3

-2

-1

0Falling object k/m = 2.5

xv

And they take longer to reach theirterminal velocity

(Without air, all objects accelerate at thesame rate)

Page 9: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Matlab code for modeling object falling in air% falling.mx0 = 0.0;v0 = 0.0;TMAX = 200;x = zeros(1,TMAX);V = zeros(1,TMAX);g=9.8;m=1.0;k=10.0;x(1) = x0;v(1) = v0;dt=0.01;for t=2:TMAX,

x(t) = x(t-1)+(v(t-1))*dt;v(t) = v(t-1)+(-(k/m)*(v(t-1))-g)*dt;

endfigure();plot(x,'b'); hold on;title(['Falling object k/m = ' num2str(k/m)]);plot(v,'r')legend('x','v'); hold off

CSE 466 State Estimation 9

Page 10: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Multi-dimensional Gaussians

CSE 466 State Estimation 10

2 2 2

2

1/2

1( | , ) exp[ ( ) / 2 ]21 1( | , ) exp[ ( ) ( )]( ) 2

where

( ) det( / 2 )and is the inverse of the covariance matrix.

T

P x m x m

PZ

Z

x m R x m R x mR

R RR

One-dimensional (scalar)Gaussian

Vector Gaussian

Page 11: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Multi-dimensional Gaussians, Covariance Matrices, Ellipses, and all thatIn an N dimensional space is a sphere of radius R

Can write it more generally by inserting identity matrix

If we replace I by a more general matrix M, it will distort the sphere: for M diagonal, it will scale each axis differently, producing an axis-aligned ellipsoidWe could also apply rotation matrices to a diagonal M to produce a general, non-axis aligned ellipsoid The uncertainty “ball” of a multi-D Gaussian [e.g. the 1 std iso-surface] actually IS an ellipsoid!CSE 466 State Estimation 11

2T Rxx

2T T R xx xIx

2 2 2 21 2Note that ...T

Nx x x R xx x x

Page 12: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Example

CSE 466 State Estimation 12

-5 0 5-5

-4

-3

-2

-1

0

1

2

3

4

5

2 00 1

A

-5 0 5-5

-4

-3

-2

-1

0

1

2

3

4

5

1 00 2

A

Blue: circle of radius 1 (e.g. 1 std iso-surface of uncorrelated uniform Gaussian noise)Red: circle after transformation by A

Page 13: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 13

-5 0 5-5

-4

-3

-2

-1

0

1

2

3

4

5

0.1 00 2

A

cos sinWith and ,

sin cos 16

0.1 0 0.172 0.3630 2 0.363 1.93

T

R

A R R

-5 0 5-5

-4

-3

-2

-1

0

1

2

3

4

5

Page 14: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

End

CSE 466 State Estimation 14

Page 15: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Kalman filter variables

CSE 466 State Estimation 15

: state vector: observation vector: control vector

A: state transition matrix --- dynamics: input matrix (maps control commands onto state changes): covariance of state vector estimate: process n

xzu

BPQ oise covariance

: measurement noise covariance: observation matrix

RH

Page 16: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Kalman filter algorithm

CSE 466 State Estimation 16

1

Prediction for state vector and covariance:

Kalman gain factor:

( )

Correction based on observation:

( )

T

T T

x Ax Bu

P APA Q

K PH H PH R

x x K z H x

P P KH P

: state vector: observation vector: control vector

A: state transition matrix --- dynamics: control commands --> state changes: covariance of state vector estimate: process noise covariance: mea

xzu

BPQR surement noise covariance

: observation matrix H

Page 17: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Need dynamics in matrix form

CSE 466 State Estimation 17

1 1

1 1

1

1

1 11 1

1 11 1

x x v dt;v v v g dt;Want s.t.x xv v

Try1 x vx x x0 1 v vv v v

t t t

kt t tm

t t

t t

t tt t tk k

t tt t tm m

t tt t

A

A

A

Hmm, close but gravity is missing…we can’t put it into A because it will be multiplied by vt. Let’s stick it into B!

Page 18: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Need dynamics in matrix form

CSE 466 State Estimation 18

1 0 0 0Try

0 1Bu

g t g t

Now gravity is in there…we treated it as a control input.

1

1

1 11

1 11

x x 0v v 1

1 x vx 1 0 0

0 1 v ( v )v 0 1

t t

t t

t ttk k

t ttm m

B

t tt g tg t

A

1 1

1 1

Wantx x v dt;v v v g dt;

t t t

kt t tm

The command to turn ongravity!

Page 19: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Matlab for dynamics in matrix form% falling_matrix.m: model of object falling in air, w/ matrix notationx0 = 0.0; v0 = 0.0;TMAX = 200;x = zeros(2,TMAX);g=9.8;m=1.0;k=10.0;x(1,1) = x0; x(2,1) = v0;dt=0.01;u=[0 1]';for t=2:TMAX,

A=[[1 dt ]; ... [0 (1.0-(k/m)*dt) ]];

B=[[1 0 ]; ... [0 -g*dt ]];

x(:,t) = A*x(:,t-1) + B*u; end% plotting

CSE 466 State Estimation 19

Page 20: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Matlab for Kalman Filter

function s = kalmanf(s)s.x = s.A*s.x + s.B*s.u;s.P = s.A * s.P * s.A' + s.Q;% Compute Kalman gain factor:K = s.P * s.H' * inv(s.H * s.P * s.H' + s.R);% Correction based on observation:s.x = s.x + K*(s.z - s.H *s.x);s.P = s.P - K*s.H*s.P;

endreturn

CSE 466 State Estimation 20

The most computationallydifficult step

Page 21: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 21

0 20 40 60 80 100 120 140 160 180 200-2

-1.5

-1

-0.5

0

0.5Position of object falling in air, Meas Nz Var= 0.01 Proc Nz Var= 0.0001

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-1.5

-1

-0.5

0

0.5Velocity of object falling in air

observationsKalman outputtrue dynamics

Page 22: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Calling the Kalman Filter (init)x0 = 0.0; v0 = 0.0;TMAX = 200;g=9.8;m=1.0; k=10.0;dt=0.01;

clear s % Dynamics modeled by As.A = [[1 dt ]; ...

[0 (1.0-(k/m)*dt)]];

CSE 466 State Estimation 22

Page 23: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Calling the Kalman Filter (init)% Measurement noise varianceMNstd = 0.4;MNV = MNstd*MNstd;% Process noise variancePNstd = 0.02;PNV = PNstd*PNstd;% Process noise covariance matrixs.Q = eye(2)*PNV;% Define measurement function to return the states.H = eye(2);% Define a measurement errors.R = eye(2)*MNV; % variance

CSE 466 State Estimation 23

Q, H, and R are all diagonal!

Page 24: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Calling the Kalman Filter (init)% Use control to include gravitys.B = eye(2); % Control matrixs.u = [0 -g*m*dt]'; % Gravitational acceleration% Initial state:s.x = [x0 v0]';s.P = eye(2)*MNV;s.detP = det(s.P); % Let's keep track of the noise by keeping detPs.z = zeros(2,1);

CSE 466 State Estimation 24

Page 25: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Calling the Kalman Filter% Simulate falling in air, and watch the filter track ittru=zeros(TMAX,2); % true dynamicstru(1,:)=[x0 v0];detP(1,:)=s.detP;for t=2:TMAX

tru(t,:)=s(t-1).A*tru(t-1,:)’+ s(t-1).B*s(t-1).u+PNstd *randn(2,1);s(t-1).z = s(t-1).H * tru(t,:)' + MNstd*randn(2,1); % create a meas.s(t)=kalmanf(s(t-1)); % perform a Kalman filter iterationdetP(t)=s(t).detP; % keep track of "net" uncertainty

end

CSE 466 State Estimation 25

The variable s is an object whose members are all the important data structures (A, x, B, u, H, z, etc)

tru: simulation of true dynamics. In the real world, this would be implementedby the actual physical system

Page 26: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Blimp estimation example

CSE 466 State Estimation 26

0 20 40 60 80 100 120 140 160 180 200-100

-50

0

50Position of blimp (in air), Meas Nz Var= 25 Proc Nz Var= 0.09

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-200

0

200Velocity of blimp (in air)

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 2000

500

1000Det(P)

0 20 40 60 80 100 120 140 160 180 200-10

0

10Commands

Here we are assuming we can switch gravity back and forth(from -10 to +10 and back)

Page 27: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Blimp P control using raw sensor data, no Kalman filter

CSE 466 State Estimation 27

0 100 200 300 400 500 600 700 800 900 1000-100

-50

0

50Position of blimp (in air), Meas Nz Var= 25 Proc Nz Var= 0.09

observationsKalman outputtrue dynamics

0 100 200 300 400 500 600 700 800 900 1000-100

-50

0

50Velocity of blimp (in air)

observationsKalman outputtrue dynamics

0 100 200 300 400 500 600 700 800 900 10000

500

1000Det(P)

0 100 200 300 400 500 600 700 800 900 1000-10

-5

0

5Commands

Servoing to setpoint -50Mean Squared Error: 0.143RMS: 0.379

Page 28: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Blimp P controlusing Kalman-filtered state estimate

CSE 466 State Estimation 28

0 100 200 300 400 500 600 700 800 900 1000-100

-50

0

50Position of blimp (in air), Meas Nz Var= 25 Proc Nz Var= 0.09

observationsKalman outputtrue dynamics

0 100 200 300 400 500 600 700 800 900 1000-100

-50

0

50Velocity of blimp (in air)

observationsKalman outputtrue dynamics

0 100 200 300 400 500 600 700 800 900 10000

500

1000Det(P)

0 100 200 300 400 500 600 700 800 900 1000-10

-5

0

5Commands

Servoing to setpoint -50Mean Squared Error: 0.0373RMS: 0.193

Page 29: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

How to apply this for our blimps?

(* Let's do it in Mathematica! *)(* Here is the dynamics model *)ClearAll["Global`*"]

A = {{1,dt},{0,1-((k/m)* dt)}};B={{1,0},{0,-g dt}};state = {x,v};cmd = {0,1};A . state + B. cmd (* Dot is matrix multiply *)

{dt v+x,-dt g+(1-(dt k)/m) v}

CSE 466 State Estimation 29

Page 30: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Definitions

g=.;MNstd = 0.4;MNV = MNstd*MNstd;PNstd = 0.02;PNV = PNstd*PNstd;Q = {{PNV,0},{0,PNV}};H = {{1,0},{0,1}};R = {{MNV,0},{0,MNV}};P = {{MNV,0},{0,MNV}};

CSE 466 State Estimation 30

Page 31: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

The Kalman filter

PredState = Simplify[A . state + B . cmd];PredUncertainty = Simplify[A . P . Transpose[A] + Q];Kgain = Simplify[PredUncertainty . Transpose[H] . Inverse[H.PredUncertainty.Transpose[H]+R]];CorrectedState = Simplify[state + Kgain . ({z1,z2} - H . PredState)];CorrectedUncertainty = Simplify[PredUncertainty + Kgain . H . PredUncertainty];

CSE 466 State Estimation 31

Page 32: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Result? Kind of a mess

etcCSE 466 State Estimation 32

Page 33: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Put in numerical values for constants

m=1;k = 1;dt = 0.01;

Kgain

{{0.500637,0.00249354}, {0.00249354,0.495599}}

CorrectedState

{x+0.500637 (-0.01 v - x+z1)+0.00249354 (-v+0.01 (g+v)+z2),v+0.00249354 (-0.01 v - x+z1)+0.495599 (-v+0.01 (g+v)+z2)}

The filter is a linear combination of previous state estimates, and sensor values (z1 and z2)!

CSE 466 State Estimation 33

Page 34: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Extensions

Extended Kalman Filter (EKF) Non-linear generalization…assumes linearization

around the currently estimated state Standard for GPS, robot navigation, etc

Information Filter A variant that allows N previous sensor values to

be processed in one filter update step Unscented Kalman Filter (UKF)…the

unscented Kalman Filter does not stink! Use a sampling of points to represent distributions

CSE 466 State Estimation 34

Page 35: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

Extra examples…various noise settings

CSE 466 State Estimation 35

Page 36: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 36

0 20 40 60 80 100 120 140 160 180 200-4

-2

0

2Position of object falling in air, Meas Nz Var= 0.16 Proc Nz Var= 0.0004

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-3

-2

-1

0

1Velocity of object falling in air

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 2000

0.01

0.02

0.03Det(P)

Page 37: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 37

Process noise Q = 0.0

0 20 40 60 80 100 120 140 160 180 200-2

-1

0

1Position of object falling in air, Meas Nz Var= 0.01 Proc Nz Var= 0

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-1.5

-1

-0.5

0Velocity of object falling in air

observationsKalman outputtrue dynamics

Page 38: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 38

0 20 40 60 80 100 120 140 160 180 200-3

-2

-1

0

1Position of object falling in air 2=0.04

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-1.5

-1

-0.5

0Velocity of object falling in air

observationsKalman outputtrue dynamics

Process noise Q = 0.0

Page 39: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 39

0 20 40 60 80 100 120 140 160 180 200-4

-2

0

2

4Position of object falling in air 2=1

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-4

-2

0

2Velocity of object falling in air

observationsKalman outputtrue dynamics

Process noise Q = 0.0

Page 40: State Estimation with a Kalman Filter...Example Object falling in air We know the dynamics Related to blimp dynamics, since drag and inertial forces are both significant Dynamics same

CSE 466 State Estimation 40

0 20 40 60 80 100 120 140 160 180 200-2

-1

0

1Position of object falling in air 2=0.01

observationsKalman outputtrue dynamics

0 20 40 60 80 100 120 140 160 180 200-1.5

-1

-0.5

0Velocity of object falling in air

observationsKalman outputtrue dynamics

Process noise Q = 0.02