LMIs in Control/Applications/An LMI for the Kalman Filter
This is a An LMI for the Kalman Filter. The Kalman Filter is one of the most widely used state-estimation techniques. It has applications in multiple aspects of navigation (inertial, terrain-aided, stellar.)
The data required for the Kalman Filter include a model of the system that the states are trying to be output and a measurement that is the output of the system dynamics being estimated.
The Kalman Filtering (or LQE) problem is a Dual to the LQR problem.
Replace the matrices from LQR with
The Kalman Filter chooses to minimize the cost
This cost can be thought of as the covariance of the state error between the actual and estimated state.
When the state error covariance is low the filter has converged and the estimate is good.
The Luenberger or Kalman gain can be computed from
The process and measurement noise covariances for the Kalman filter are given by
The matrix satisfies the following equality
We also cover the discrete Kalman Filter formulation which is more useful for real-life computer implementations.
The discrete Kalman filter chooses the gain where the PSDs of the
process and sensor noises are given by
The steady-state covariance of the error in the estimated state is given by and satisfies the following
Riccati equation.
Objective: State Estimate Error Covariance
Variables: Observer Gains
Constraints: Dynamics of System to be Estimated
The LMI: H2-Optimal Control Full-State Feedback to LQR to Kalman Filteredit
The Kalman Filter is a dual to the LQR problem which has been shown to be equivalent to a special case of
H2-static state feedback.
Start with the H2-Optimal Control Full-State Feedback.
The following are equivalent
To solve the LQR problem using H2 optimal state-feedback control the following variable
substitutions are required.
Then
This results in the following LMI.
To solve the Kalman Filtering problem using the LQR LMI replace with and
This results in the following LMI.
The discrete-time Kalman Filtering LMI is saved for another page as it requires derivation of the Discrete-Time LQR LMI problem which was not covered in class.
The LMI for the Kalman Filter allows us to calculate the optimal gain for state estimation. It is shown that it can be found as a special case of the H2-optimal state feedback with the appropriate substitution of matrices. The LMI gives us a different way of computing the optimal Kalman gain.
[1] - Applied Optimal Estimation, Arthur Gelb (Kalman Filtering and Optimal Estimation Classic)
[2] - All Source Position, Navigation and Timing. New textbook that has a good development and description of the Kalman Filter and some of its very practical uses and implementations by Boeing Senior Technical Fellow Ken Li.