Indirect Kalman filter vs. direct Kalman filter

Started by adelaide in comp.dsp7 years ago 4 replies

Hi, I have implemented one direct and one indirect Kalman filters to integrate INS with wheel encoder. They work fine. The results of my...

Hi, I have implemented one direct and one indirect Kalman filters to integrate INS with wheel encoder. They work fine. The results of my indirect KF is more accurate than those of the direct KF. I've search quite a bit about why that is. I couldn't find a sensible reason though. I'd appreciate it a lot if anyone here could help me with that. Ladan Sahafi


Kalman Filter assumptions and optimality

Started by jionglong in comp.dsp14 years ago 5 replies

Hi, I understand that The Kalman filter is a linear, recursive estimator that produces the minimum variance estimate in a least...

Hi, I understand that The Kalman filter is a linear, recursive estimator that produces the minimum variance estimate in a least squares sense under the assumption of white, Gaussian noise processes. Now, some books eg. Kalman Filtering with Real-Time Applications by Chui and Chen, has added this requirement that the updated estimate x_{k/k} is an unbiased estimate of x_{k} by choos...


Kalman Filter

Started by Anonymous in comp.dsp12 years ago 1 reply

I'm looking for a processor board that has build in A/D (3 channels) and 3 outputs for an inertial nav system. It will have a kalman filter on...

I'm looking for a processor board that has build in A/D (3 channels) and 3 outputs for an inertial nav system. It will have a kalman filter on board (maybe 9 states at least but I will implement the steady- state Kalman filter no Ricatti equations). Also fixed gains for state feedback control. It has to be reasonably compact and robust. I don't want a huge evaluation board - something more li...


Kalman filter with non-white noise

Started by electrical_storm in comp.dsp9 years ago 6 replies

Hi, Is it possible to make the Kalman filter work with non-white measurement noise? I have measurements which have non-zero mean, uncorrelated...

Hi, Is it possible to make the Kalman filter work with non-white measurement noise? I have measurements which have non-zero mean, uncorrelated error. I read about pre-whitening filters. But could not understand how to use them in combination with Kalman Filter and the given measurements. Thanks.


adaptive kalman filtering with dynamics update?

Started by doublehelics in comp.dsp8 years ago 13 replies

Hey all, I have a quick question about Kalman filtering: I have been reading about it and I need some opinions about whether Kalman filters...

Hey all, I have a quick question about Kalman filtering: I have been reading about it and I need some opinions about whether Kalman filters are suitable for my problem at hand: I need to do predictive filtering on a non-stationary digital signal. There is no noise in the system. Also, I do not have a dynamic model for the signal, either. On top of that, any dynamic model that I assume will not be ...


Kalman

Started by hurry in comp.dsp12 years ago 2 replies

Hi, I have just started off with Kalman implementation. My aim is to estimate state vectors from the obseravtions (Z). I have doubt...

Hi, I have just started off with Kalman implementation. My aim is to estimate state vectors from the obseravtions (Z). I have doubt regarding estimation of process noise variance matrix, Quoting the state update eqtn Xhat = XPred + K_G ( Z - H * Xpred ) Where K_G is the Kalman Gain This eq follows the input model : X_n = Phi * X_n-1 + W_n 1) Am I right stating, the co-vari...


Kalman

Started by hurry in comp.dsp12 years ago

Hi, I have just started off with Kalman implementation. My aim is to estimate state vectors from the obseravtions (Z). I have doubt...

Hi, I have just started off with Kalman implementation. My aim is to estimate state vectors from the obseravtions (Z). I have doubt regarding estimation of process noise variance matrix, Quoting the state update eqtn Xhat = XPred + K_G ( Z - H * Xpred ) Where K_G is the Kalman Gain This eq follows the input model : X_n = Phi * X_n-1 + W_n 1) Am I right stating, the co-vari...


Multiple Sample Rates

Started by Anonymous in comp.dsp7 months ago 4 replies

I have a Kalman filter which estimates pitch and roll for a stabilised platform. It is a steady-state kalman filter so no great computational...

I have a Kalman filter which estimates pitch and roll for a stabilised platform. It is a steady-state kalman filter so no great computational overload - I calculate the gain matrix first and then go into the while loop forever. In the loop there is also controllers Lag lead PI type. To get a high bandwidth I sample at 10kHz overall but I am finding that the Kalman filter doesn't nee


Kalman filter help

Started by ta in comp.dsp15 years ago 10 replies

I have some questions regarding a Kalman filter design and implementation. I am new to Kalman filters so I apologize if my questions are too...

I have some questions regarding a Kalman filter design and implementation. I am new to Kalman filters so I apologize if my questions are too basic. I also apologize for my fairly long post. My application is an autonomous vehicle. I need estimates of x,y,z position and velocity in world frame. I have measurements from multiple sensors giving me z in world frame and x,y,z velocities and acc...


Kalman Filter with an Accelerometer

Started by Positron in comp.dsp9 years ago 11 replies

Hi, I wanted to estimate the position of something using data collected from an accelerometer. Now, I know this is a noisy process, so I wanted...

Hi, I wanted to estimate the position of something using data collected from an accelerometer. Now, I know this is a noisy process, so I wanted to use some filtering technique to get accurate position and velocity from just accelerometer readings. I was told that the Kalman Filter would do just the thing. I first decided to design and test a Kalman filter in Matlab and test it by making accele...


extended kalman filter going berserk

Started by hagai_sela in comp.dsp9 years ago 13 replies

Hi, I am using an extended kalman filter to train a neural network. My problem is that after a few thousand samples of training it starts...

Hi, I am using an extended kalman filter to train a neural network. My problem is that after a few thousand samples of training it starts producing very high values. I read about square root kalman filtering, but I am not sure this will help because I am using 64 bit values which should be accurate enough (I think). I only found square root algorithms for single output problems, and my neural ne...


(Joint) Extended Kalman Filter toolbox , package,.....

Started by MotorPump in comp.dsp14 years ago 1 reply

Hello. I just started to study Kalman filter for parameter estimation in state space model based on physics. After reading some...

Hello. I just started to study Kalman filter for parameter estimation in state space model based on physics. After reading some introductory material, I thought so-called "joint extended kalman filter" might be the method for me. In that method, the parameters which I want to estimate are supposed to be additional members to states vector. Please recommend me useful toolbox to acceler...


Ensemble Kalman Filter

Started by Anonymous in comp.dsp6 years ago 5 replies

Came across this recently but didn't understand in plain language why it was needed. Does anybody know? Why is a Kalman filter not do the job?

Came across this recently but didn't understand in plain language why it was needed. Does anybody know? Why is a Kalman filter not do the job?


Kalman Filter to recover the Accelerometer Bias

Started by arvkr in comp.dsp10 years ago 9 replies

Back at the kalman filter again. This is what i am trying to do. I have accurate distance measurement and i differentiate it with respect to...

Back at the kalman filter again. This is what i am trying to do. I have accurate distance measurement and i differentiate it with respect to time twice to get Acceleration. Now i add a scale factor and bias to this acceleration. I am able to recover scale no problem using kalman filter but bias of 0.09mg screws up the filter big time. Any idea what i am doing wrong? My State Variables are x = [...


kalman filter based azimuth and elevation tracking models

Started by Sylvia in comp.dsp12 years ago 2 replies

does anyone knows literature concerning models for kalman filter based azimuth and elevation tracking(without using range).Is it necessary to...

does anyone knows literature concerning models for kalman filter based azimuth and elevation tracking(without using range).Is it necessary to go to cartesian system of coordinates for kalman filter model?


Kalman Filter Instability

Started by Tim Wescott in comp.dsp10 years ago 5 replies

First, some background: I've done some Kalman filters "for pretend" and they always worked out just fine. Now I'm doing one for a client,...

First, some background: I've done some Kalman filters "for pretend" and they always worked out just fine. Now I'm doing one for a client, and of course it's blowing up in my face -- go figure. What's happening is that the state covariance matrix is acquiring some negative eigenvalues, followed shortly by the whole thing rapidly and exponentially growing (bang). It's an extended...


Kalman filter for simple filtering of one signal with measurement noise?

Started by Lox in comp.dsp8 years ago 5 replies

Hello Is it possible to use a Kalman filter to remove as much measurement noise from a sensor signal as possible? I have seen a Kalman...

Hello Is it possible to use a Kalman filter to remove as much measurement noise from a sensor signal as possible? I have seen a Kalman filter used this way when filtering a thermo couple to estimate its temperature and temperature derivative. Would it be possible to use this kind of filtering for any signal, for example a rate gyro? How do I set up the linear model and measurement m...


Kalman Filter

Started by Senthil_Avionics in comp.dsp9 years ago 3 replies

Dear Sir/Madam, Why the noise used in Kalman filter is assumed to be White noise? Any particular reason? Regards, Senthil Kumar...

Dear Sir/Madam, Why the noise used in Kalman filter is assumed to be White noise? Any particular reason? Regards, Senthil Kumar S, Assistant Professor, Hindustan University, Chennai.


Extended Kalman Filter

Started by maury in comp.dsp8 years ago 8 replies

Does anyone have information on publications, research, or data on the theroritical and practical stability analysis of the extended...

Does anyone have information on publications, research, or data on the theroritical and practical stability analysis of the extended Kalman filter? Most of the stuff I've found seems to be a bit *off the wall*. Many thanks, Maurice


practical difference between Kalman Filter and Hinfinity Filter

Started by Kai in comp.dsp11 years ago 9 replies

Hello, I already started some discussions dealing with kalman filter and Hinfinity Filter. But to get the point, again a...

Hello, I already started some discussions dealing with kalman filter and Hinfinity Filter. But to get the point, again a question: According to my practical experiences so far with implementing both filters, I don't see any difference between them. my asumptions are: covariance matrices of the kalman filter = weighting matrices for the hinfinity filter. can anyone please point out the...