系统辨识与滤波ekf和ukf.pptVIP

Vermelding onderdeel organisatie The Unscented Kalman Filter(UKF)Chapter 7a Hao Liu Ke Zhang Contents of Chapter 7 Part A: 7.1 Introduction 7.2 Optimal Recursive Estimation the EKF 7.3 The Unscented Kalman Filter 7.4 UKF Parameter Estimation 7.5 UKF Dual Estimation Part B: 7.6 The Unscented Particle Filter (Presented by other group next week) Main Issues in Chap.7A Why UKF is Needed What can UKF Do Who Contribute to UKF How does UKF Work The UKF Algorithms The Applications of UKF Outline Introduction Methodology (Presented by Ke) Why UKF is Needed What can UKF Do Who Contribute to UKF How does UKF Work Algorithms Applications (Presented by Hao) Algorithms UKF State Estimation UKF Parameter Estimation UKF Dual Estimation Applications Two Examples realized by MATLAB Quick Review of the Former Presentations Kalman Filter (KF) – Chapter 1 Linear dynamical system (Linear evolution functions) Extended Kalman Filter (EKF) – Chapter 1 Non-linear dynamical system (Non-linear evolution functions) Extended Kalman filter (Chapter 1) Consider the following non-linear system: Assume that we can somehow determine a reference trajectory Then: where Extended Kalman filter (Chapter 1) For the measurement equation, we have: We can then apply the standard Kalman filter to the linearized model How to choose the reference trajectory? Idea of the extended Kalman filter is to re-linearize the model around the most recent state estimate, i.e. Time-propagation (prediction): Measurement adaptation (correction): Kalman gain: Use of Extended Kalman filter The Extended Kalman Filter (EKF) has become a standard technique used in a number of nonlinear estimation and machine learning applications State estimation (Chapter 1) estimating the state of a nonlinear dynamic system Parameter estimation (Chapter 2) estimating parameters for nonlinear system identification e.g., learning the weights of a