> On Nov 17, 5:26 pm, Tim Wescott<t...@seemywebsite.com> wrote:
>
>> The Simon book teaches you a bit about estimation, then spends a chapter
>> deriving a basic Kalman filter. The Van Trees book connects a fire hose
>> directly to your brain and fills it with more estimation theory than you
>> can shake a neuron at, then makes _you_ derive the Kalman filter in one
>> of the homework problems in Chapter 5.
>
> Well, van Trees wrote for the generation of engineers that at age 21
> made a spacecraft that went to the moon and back, using little more
> than a slide rule and spares from a vacuum cleaner.
It's still in print. When I took the class where I got the book, the
prof told us that it would be the hardest class we'd ever take. He was
right. Other's complained because they were doing six credits worth of
work and were only getting three credits. I was happy because I was
getting six credits worth of information, and I was only paying for three.
Different strokes for different folks...
I'm not dissing the Simon book -- he goes into depths that Van Trees
leaves completely unplumbed, in no small part because the advanced
material in Simon's book hadn't been developed yet when Van Trees wrote
his book. But having taken the detection & estimation course means that
reading the Simon book is almost like having x-ray vision: I see what
Simon is saying, and I can see blurry images of even more math behind
it. Because I kind of know the shape of the math behind, what Simon is
saying makes a lot more sense a lot more quickly.
--
Tim Wescott
Wescott Design Services
http://www.wescottdesign.com
Do you need to implement control loops in software?
"Applied Control Theory for Embedded Systems" was written for you.
See details at http://www.wescottdesign.com/actfes/actfes.html
Reply by Rune Allnor●November 18, 20102010-11-18
On Nov 17, 5:26=A0pm, Tim Wescott <t...@seemywebsite.com> wrote:
> The Simon book teaches you a bit about estimation, then spends a chapter
> deriving a basic Kalman filter. =A0The Van Trees book connects a fire hos=
e
> directly to your brain and fills it with more estimation theory than you
> can shake a neuron at, then makes _you_ derive the Kalman filter in one
> of the homework problems in Chapter 5.
Well, van Trees wrote for the generation of engineers that at age 21
made a spacecraft that went to the moon and back, using little more
than a slide rule and spares from a vacuum cleaner.
Rune
Reply by Tim Wescott●November 17, 20102010-11-17
On 11/17/2010 04:29 AM, Senthil_Avionics wrote:
> Dear Sir/Madam,
>
> Why the noise used in Kalman filter is assumed to be White noise? Any
> particular reason?
If you go over the math behind the Kalman filter you'll see that it
assumes white Gaussian noise. The math isn't valid for noise that's not
white (or at least for noise that isn't much broader band than the
dynamics of the variables you're trying to estimate).
If the real-world noise isn't white, then you must model a noise process
with white noise as its input, and estimate the dynamics of that noise
process along with the dynamics of the variables that you're 'really'
interested in.
My favorite Kalman filtering book that's specific to the subject (not
that I have many) is "Optimal State Estimation" by Simon (Wiley, 2006):
http://www.powells.com/partner/30696/biblio/9780471708582. I found it
very useful, but if you want a firm foundation for Kalman filtering and
all of it's offspring, you can't go wrong with "Detection, Estimation
and Modulation Theory, Part I" by Van Trees (Wiley, 1968):
http://www.powells.com/partner/30696/biblio/9780470542965.
The Simon book teaches you a bit about estimation, then spends a chapter
deriving a basic Kalman filter. The Van Trees book connects a fire hose
directly to your brain and fills it with more estimation theory than you
can shake a neuron at, then makes _you_ derive the Kalman filter in one
of the homework problems in Chapter 5. The Simon book teaches you more
about Kalman filters, but any time I've ever had to invent an algorithm
to solve some new detection or estimation problem, it's the stuff I
learned from Van Trees that always saves my behind.
--
Tim Wescott
Wescott Design Services
http://www.wescottdesign.com
Do you need to implement control loops in software?
"Applied Control Theory for Embedded Systems" was written for you.
See details at http://www.wescottdesign.com/actfes/actfes.html
Reply by Senthil_Avionics●November 17, 20102010-11-17
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.