The Kalman filter is a mathematical method using noisy measurements observed over time to produce values that tend to be closer to the true values of the measurements and their associated calculated values.

learn more… | top users | synonyms

2
votes
0answers
97 views

Matlab: Help needed in correcting the state and parameter estimation by Kalman Filter

I have implemented the Kalman Smoothing with Expectation Maximization based on the Paper Parameter Estimation for Linear dynamical system. All notations are based on this paper. The model is an IIR ...
0
votes
1answer
36 views

System Identification: smoothing in E-step of EM algorithm

My question is, do the smoothed values affect the estimates obtained from the Maximization Step? If not then we could eliminate the smoothing. Once the estimates are obtained, they do not change apart ...
0
votes
1answer
18 views

can measurements go out of the uncertainty bounds?

In the below picture, the measurements are inside the $\pm 3 \sigma$ bounds. In my experiment, the measurements sometimes go out of the uncertainty bounds. This is a snapshot of my plot where the ...
0
votes
0answers
21 views

Kalman filter for velocity estimation from acceleration and displacement: constant-acceleration assumption

I have implemented a Kalman filter to estimate the velocity knowing the acceleration and the positon measurements as explained in this Q/A: Estimating velocity from known position and acceleration ...
3
votes
3answers
96 views

Question about Q matrix (noise process covariance) in Kalman filter

I am implementing my own discrete Kalman filter to estimate velocity from acceleration and position measurements (using Matlab ). I think I managed to deal with the $R$ matrix (measurements noise ...
0
votes
0answers
21 views

Matlab: Help in learning Kalman filter for parameter and state estimation

I have AR(1) model with data samples $N=500$ that is driven by a pseudo random binary sequence $x$. THe observation $y$ is corrupted with measurement noise $v$ of zero mean. The model is $y(t) = ...
2
votes
0answers
45 views

Matlab: Help in learning EKF

I have AR(1) model with data samples $N=500$ that is driven by a nonlinear input $x$. THe observation $y$ is corrupted with measurement noise $v$ of zero mean. The model is $y(t) = ay(t-1) + x(t) + ...
2
votes
3answers
109 views

when is a kalman filter different from a moving average?

this thread asks when a discrete-time Kalman filter is better/different from a simple moving average of the observations: ...
1
vote
1answer
41 views

kalman filter with time-varying noise?

in regular discrete-time (1 dimensional) kalman filter, it is assumed that we have white gaussian noise affecting the transitions and the observations: $x(t+1) = Ax + w$ $y(t) = Cx(t) + v$ ...
2
votes
0answers
88 views

Velocity estimation knowing acceleration and displacement from measurements using Kalman filter

I am having a hard time in trying to use a Kalman filter to obtain velocity from acceleration and position measurements. I think the main reason is that I am not familiar with Kalman filters (I had ...
0
votes
1answer
54 views

Discrete or continuous Kalman filter?

I have position and acceleration measurements and I would like to apply a Kalman filter to estimate the velocity of the system. I am not sure yet about how to procede, but I will check the already ...
1
vote
1answer
30 views

Estimating Velocity from Fuzzy Position Data with Known Uncertainty

I was wondering if someone could maybe clarify or direct me to the best answer for this question. I want to estimate velocities from position data. However, the position data is fuzzy but I have an ...
2
votes
0answers
145 views

How to determine covariance matrix $Q$ and $R$ in Kalman-filter

I am implementing getting orientation from smartphone. I want to use Kalman filter and should determine process noise covariance matrix $Q$ and measurement noise covariance matrix $R$. (newbie to ...
1
vote
1answer
93 views

How to get rid of noise and oscillations using Kalman filtering

I have not studied signal processing at all, so please forgive any ignorance in the following discussion. I have some noisy position measurements that I've been trying to smooth. I've been attempting ...
0
votes
0answers
15 views

Estimating plant parameters from noisy frequecy response data

I have to estimate the parameters of a 1st order transfer function, namely, the coefficients, through experiment. I ran a few experiments and I have a bunch of input-output data vectors. The ...
0
votes
0answers
29 views

Outlier removal before or after Kalman filtering?

I am getting radar data points in form of (x,y) coordinate system relative to my position every ms.[around 10-15 data points]. Now, inorder to have better position estimate of the points, I would like ...
1
vote
1answer
46 views

Iterative Kalman filters and system parameters estimation

i am working recently on a project in which i want to implement a Kalman filter as being an observer, and i couple this observer with a state feedback controller that produces control actions ...
0
votes
0answers
15 views

Optimal estimation of the static points obtained using kalman filtering?

I have used kalman filtering in the field of image processing. Now I would like to use kalman filtering to have a better estimate of the static points observed by a moving object. Given Data: My ...
1
vote
1answer
108 views

Discrete algorithm for low pass filter

I am working on a position controller for a marine vessel. I have an measurement signal containing the y-position of the vessel that consists of both low frequency (<.1 rad/s) and high frequency ...
0
votes
2answers
135 views

Picking out a signal that appears to be noise inside a large signal

I have a signal from a photodiode sensor that has two types of noise. One type of noise is ambient light white noise that gets introduced just from the surrounding environemnt. The other type of noise ...
0
votes
0answers
38 views

Process Noise “Q” covarience matrix in a kalman filter

I am trying to implement a Kalman filter on a Phasor Measurement Unit (PMU) values. I meaured the signal from PMU and give those meaurement as input to Kalman filter to get best estimate. I do not ...
0
votes
1answer
99 views

Kalman Filter Estimate vs ACF Least Squares Estimate

I am currently reading Chapter 5, Applications to the Gas Markets, in Stochastic Modelling of Electricity and Related Markets by Benth, Benth and Koekebakker, World Scientific, 2008. In the ...
0
votes
0answers
37 views

Continuous Time Kalman Filtering

I have a very general question about Kalman Filters. It seems like often the hardest part of a real-world Kalman Filter implementation is discretizing the process noise. I'm curious why it isn't ...
1
vote
0answers
84 views

Using Fourier Transform on Gyroscope

The original idea is to calculate distance from accelerometer input. However, accelerometer reading also contains the gravitational values, thus to remove gravity, I tried using Gyroscope. The idea ...
3
votes
2answers
74 views

The role of GPS in INS/GPS navigation systems

Ideally, a gyroscope and an accelerometer would be enough for a complete navigation solution (attitude + position), using dead reckoning. This comprise the Inertial Navigation System, INS. In ...
4
votes
1answer
91 views

Intertial navigation on android phone with Kalman filter

Ok, so suppose I've got a phone with gyroscope, compass and 3-d accelerometer. I wanted to track position of the moving phone for about 1 minute with let's say 50 mm accuracy. Actually let's say that ...
3
votes
2answers
205 views

How do you apply Kalman Filter to track a signal?

The example that I've seen on state estimation involves deriving the ABCD matrix of a physical system (i.e. falling object) and tracking that object. I would like to use Kalman Filter for signal ...
0
votes
0answers
19 views

Is there a standard way for modeling a Kalman filter where the measurements are obtained from differences?

Consider for simplicity a Kalman filter applied to the one-dimensional state space model $x_{n}=f_{n}x_{n-1}+q_{n}$ $y_{n}=h_{n}x_{n}+r_{n}$ with white noise errors. Assume that $r_n=e_n-e_{n-1}$ ...
5
votes
2answers
162 views

Particle filter Tracking

I am tracking a car using particle filter by making a rectangle around it, and I am using the state vector $[x, y, u, v, a, h]$, where: $x$, $y$ is the position of the body $u$ and $v$ are velocity ...
0
votes
1answer
87 views

simulating range-bearing sensor with Matlab with Gaussian noise

I would like to simulate a sensor that provides range and direction of a beacon. This is for EKF localization, so the noise must be Gaussian (i.e. $\mathcal{N}(0, \sigma^{2})$. Also, I would like to ...
1
vote
0answers
23 views

Kalman Filtering with Restrictions

A question on this topic has been asked before: Combining a linear Kalman Filter with additional linear constraints? and I checked out some of the references given: ...
2
votes
1answer
46 views

Variance of an Implicit Function of Kalman State Vector

Given a state vector given by $ x = {[r, v, a]}^{T} $ (Range, Velocity, Acceleration) the Time to Hit is the the time which holds the following: $$ r + v {T}_{tth} + \frac{a {T}_{tth}^{2}}{2} = 0 $$ ...
1
vote
0answers
21 views

Identifiability for Time Invariant State Space Models

Kevin Murphy's Kalman Filter toolbox (for Matlab) contains an example where it's the fact that the state space system in not identifiable causes problems. I include the example in it's entirety but ...
0
votes
1answer
115 views

Adding measuruments noises to kalman filter

I'm implementing navigation system for my robot. There are two ways to get data from it: odometry(encoders from motors) and camera. Both of information sources can give me estimate of robot's ...
0
votes
0answers
42 views

Correct Implementation of Kalmand Filter to Gaussian state space model?

I am simulating a time series from a state space model, I then want to estimate the state space model parameters from the simulated time series using a kalman filter: I have already posted my code ...
2
votes
0answers
57 views

Correct Kalman Filter for Gaussian State Space Model

I am trying to follow a paper where they say they apply the Kalman filter, but don't give the forumulation for the Kalman filter! Moreover I have looked at two references Wikipeadia and Durbin and ...
0
votes
0answers
33 views

Observation initialization Kalman Filter

I'm designing a Kalman Filter in Matlab, However I want to set initial values. I have set following matrices and finding a way to set initialize observation. ...
0
votes
0answers
25 views

IMM Kalman Filter for Non Linear State and Measurement Function

Has anyone encountered an article or implementation of IMM Kalman Filter for non linear transformations? Even for the most trivial case, measurements are in Polar Coordinate System ($ R, \Theta $) ...
0
votes
0answers
63 views

Kalman filter for GPS tracking. How to use lat and lon?

Summary - I know how a kalman filter works - I use this as a reference: http://www.mathworks.nl/help/dsp/examples/estimating-position-of-an-aircraft-using-kalman-filter.html - I don't know how to use ...
0
votes
1answer
399 views

Problem with Kalman filtering accelerometer data

I'm having some trouble implementing a Kalman filter in MATLAB. I have an Android phone connected sending data from accelerometer for 10 seconds. After i have the data I take out the x-axis vector. ...
0
votes
1answer
78 views

Edge following using Hough transform

Im trying to improve an edge following algorithm developed by some students who did a projekt at my work. The algorithm is supposed to make an robot follow a line with use of an camera. Their approch ...
1
vote
1answer
68 views

Analogous filter to Kalman that maximizes mode (as opposed to minimizing variance)

I may have a potential application where maximizing the mode (as opposed to typically minimizing the variance) would be useful for state estimates. The situation may arise from skewed distributions ...
0
votes
1answer
62 views

Queries on Kalman Filter

I am trying to apply kalman filter for video processing , i am studying about it from different sources but it take me towards question that if i don't know that where my object come in frame mean i ...
1
vote
2answers
338 views

Kalman filtering in image processing, resources?

I'm looking for a good resource (book, tutorial, lesson etc.) that explains the usage of Kalman filtering in image processing applications. I'm aware of the fact that Kalman filtering is an optimal ...
1
vote
0answers
57 views

Incorporating delayed data in Kalman filter

my guide has told me to get familiarized with state estimates and kalman filter ....the problem is that: 1) I am totally new to this topic and finding it really difficult to understand due to lack of ...
0
votes
1answer
2k views

Re-implementing the “spectrogram” function from matlab

I am trying to make a spectrogram viewer without using the spectrogram command. For this purpose, I used a sin function. I broke up the input signal into 256 segments, multiplied each segment with the ...
2
votes
2answers
371 views

Kalman filter with accelerometer with DC offset

Goal: For a particle moving uniaxially, to estimate position ($d$) and velocity ($v$) from noisy acceleration ($a$) and very noisy position (GPS) measurements using a Kalman filter. Catch: The ...
1
vote
1answer
45 views

2-D Distance for Kalman measurements

I have designed a simple 3-state $[x\ \dot{x}\ \ddot{x}]$ Kalman filter which is updated by measurements for $x$ and $\dot{x}$. The filter is tracking a peak on a surface in the $x/\dot{x}$ plane. At ...
1
vote
0answers
62 views

Estimating Position Based on Range Measurement

I want to present Kalman Filter problem. For simplicity I'd assume the simplest dynamic model - Piece Wise Constant Velocity. The state vector and dynamic model are given by: $$ \begin{bmatrix} ...
1
vote
1answer
138 views

Applying Kalman filter to a data set

I went through the answer Kalman filter in practice and it seems we must know all the first and second order properties of random variables to apply the Kalman filter. But when I only have a set of ...