On Mon, 25 Feb 2013 10:26:28 -0800, fl wrote:
<< other stuff snipped >>

> A curious question is here. I see a small Kalman filter has two states.
> Is there a Kalman filter has only one state? Is it possible? If not,
> what is the contradiction?

There is no contradiction, it's just that the answer for a linear system
will be pretty boring.
You can have a one-state Kalman. If you assume measurement noise but no
process noise (i.e., if you're making a noisy measurement of a constant)
then the state estimate is just the average of all the measurements made
to date. If you assume measurement noise and process noise, then the
filter starts out very much like a cumulative average, but in steady
state it ends up being a low pass filter, with a cutoff frequency
determined by the ratio between the two noises.
Keep in mind while you're doing your Kalman filter work is that a Kalman
filter _by itself_ is just a time-varying linear filter that's probably
expressed in a state-space form. What actually makes it a _Kalman_
filter isn't the filter structure -- it's the method that you used to
_design_ the filter.
And, of course, remember that "Kalman" does not mean "magic", so a Kalman
filter isn't a magic filter -- it does have its limitations and drawbacks.
--
Tim Wescott
Control system and signal processing consulting
www.wescottdesign.com

Reply by robert bristow-johnson●February 25, 20132013-02-25

On 2/25/13 1:26 PM, fl wrote:

>
> A curious question is here. I see a small Kalman filter has two states. Is there a Kalman filter has only one state? Is it possible? If not, what is the contradiction?
>

well, i'm the wrong person to ask. i haven't messed around with Kalman
filters since i was a grad student more than 3 decades ago.
i know something (or used to) about state-variable representation of
filters. i know something about probability, random variables, and
random processes. i know something about detection and estimation of
some signal buried in noise. i know what the Kalman filter aims to do
(estimate the states that define a signal, rather than estimate the
signal). but i forgot how it does it.
--
r b-j rbj@audioimagination.com
"Imagination is more important than knowledge."

Reply by fl●February 25, 20132013-02-25

On Monday, February 25, 2013 12:57:22 PM UTC-5, robert bristow-johnson wrote:

> On 2/25/13 12:12 PM, fl wrote:
>
> > On Monday, February 25, 2013 12:05:24 PM UTC-5, fl wrote:
>
> >>
>
> >> I read an article on Kalman filter implementation. It said: "For a 4-state Kalman filter, all the Kalman filter equations can be expressed as 30 scalar equations....."
>
> >>
>
> >> I know a Kalman filter has (1) Process equation:
>
> >>
>
> >> x[n+1] = A*x[n] + w[n]
>
> >>
>
> >> (2) Measurement equation:
>
> >>
>
> >> s[n] = B*x[n] + v[n]
>
>
>
> these are, or can be, matrix equations. you know that.
>
>
>
> this is a "state variable filter" representation and is so general that
>
> these other topologies for filters (you know, Direct Form 1 or 2, the
>
> Transposed Direct Forms, Lattice, Normalized Ladder, Gold-Rader, etc.)
>
> can all be expressed using a common notation. so there are an infinite
>
> number of these state-variable filters that all have the same transfer
>
> function from input to output. but the transfer function from input to
>
> state is different for the different forms.
>
>
>
> >> My question again here is: Where does "4-state" come from the above equations?
>
> >
>
> > I think it is the column dimension number of matrix A. That is, the state number is the row number of x[n]. I need your expert confirmation on my guess. Thanks,
>
>
>
> i think you answered your own question. in a 4-state Kalman (or any
>
> other filter), the number of states is the length of the x[n] column vector.
>
>
>
> --
>
>
>
> r b-j rbj@audioimagination.com
>
>
>
> "Imagination is more important than knowledge."

A curious question is here. I see a small Kalman filter has two states. Is there a Kalman filter has only one state? Is it possible? If not, what is the contradiction?
Thanks

Reply by robert bristow-johnson●February 25, 20132013-02-25

On 2/25/13 12:12 PM, fl wrote:

> On Monday, February 25, 2013 12:05:24 PM UTC-5, fl wrote:
>>
>> I read an article on Kalman filter implementation. It said: "For a 4-state Kalman filter, all the Kalman filter equations can be expressed as 30 scalar equations....."
>>
>> I know a Kalman filter has (1) Process equation:
>>
>> x[n+1] = A*x[n] + w[n]
>>
>> (2) Measurement equation:
>>
>> s[n] = B*x[n] + v[n]

these are, or can be, matrix equations. you know that.
this is a "state variable filter" representation and is so general that
these other topologies for filters (you know, Direct Form 1 or 2, the
Transposed Direct Forms, Lattice, Normalized Ladder, Gold-Rader, etc.)
can all be expressed using a common notation. so there are an infinite
number of these state-variable filters that all have the same transfer
function from input to output. but the transfer function from input to
state is different for the different forms.

>> My question again here is: Where does "4-state" come from the above equations?
>
> I think it is the column dimension number of matrix A. That is, the state number is the row number of x[n]. I need your expert confirmation on my guess. Thanks,

i think you answered your own question. in a 4-state Kalman (or any
other filter), the number of states is the length of the x[n] column vector.
--
r b-j rbj@audioimagination.com
"Imagination is more important than knowledge."

Reply by Tim Wescott●February 25, 20132013-02-25

On Mon, 25 Feb 2013 09:05:24 -0800, fl wrote:

> Hi,
> I read an article on Kalman filter implementation. It said: "For a
> 4-state Kalman filter, all the Kalman filter equations can be expressed
> as 30 scalar equations....."
>
> I know a Kalman filter has (1) Process equation:
>
> x(n+1)=A*x(n)+w(n)
>
> (2) Measurement equation:
>
> s(n)=B*x(n)+v(n)
>
> My question again here is: Where does "4-state" come from the above
> equations?

When life is simple it's just the size of x, the state vector.
Complications can abound with nonlinear systems that force some of the
elements of x to be algebraically dependent on one another, but don't
worry about that at this point.
--
My liberal friends think I'm a conservative kook.
My conservative friends think I'm a liberal kook.
Why am I not happy that they have found common ground?
Tim Wescott, Communications, Control, Circuits & Software
http://www.wescottdesign.com

Reply by fl●February 25, 20132013-02-25

On Monday, February 25, 2013 12:05:24 PM UTC-5, fl wrote:

> Hi,
>
> I read an article on Kalman filter implementation. It said: "For a 4-state Kalman filter, all the Kalman filter equations can be expressed as 30 scalar equations....."
>
>
>
> I know a Kalman filter has (1) Process equation:
>
>
>
> x(n+1)=A*x(n)+w(n)
>
>
>
> (2) Measurement equation:
>
>
>
> s(n)=B*x(n)+v(n)
>
>
>
> My question again here is: Where does "4-state" come from the above equations?
>
>
>
> Thanks,

I think it is the column dimension number of matrix A. That is, the state number is the row number of x(n). I need your expert confirmation on my guess. Thanks,

Reply by fl●February 25, 20132013-02-25

Hi,
I read an article on Kalman filter implementation. It said: "For a 4-state Kalman filter, all the Kalman filter equations can be expressed as 30 scalar equations....."
I know a Kalman filter has (1) Process equation:
x(n+1)=A*x(n)+w(n)
(2) Measurement equation:
s(n)=B*x(n)+v(n)
My question again here is: Where does "4-state" come from the above equations?
Thanks,