Saturday, 23 May 2015

Kalman filter, defining the measurement model


I would like to implement a Kalman filter to estimate the velocity and position of an object. I have an accelerometer, therefore the acceleration is known. The approach is same as:


Kalman filter for position and velocity: introducing speed estimates


however, I don't understand well, how I should define the measurement model:


ˆX(k+1)=ˆX(k)+K(y(k)HˆX(k));


K is the kalman gain and is calculated in every step, but What is my "y" here, i know it is called the observations, but how i have my observations ? should i calculate the:



v(k+1)=a(k)t+v(k);


x(k+1)=0.5a(k)t2+v(k)t+x(k);


Thank you!



Answer



Your observation are the yk your observation model is defined by Yk=HXk+ηk, where ηk if a sample from a normal distribution.


If you want your kalman filter to estimate position, velocity and acceleration your state vector is : Xk=[xk,˙xk,¨xk]T and therefore your observation matrix is : H=[0,0,1].


As stated by Rhei, your observations are what you get from the system at each time step, i.e. the measured acceleration.


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