TRNG I HC BCH KHOA H NI

VIN CNG NGH THNG TIN V TRUYN THNG

----------

BI TP LN

X L TN HIU NGU NHIN

TI:
TM HIU L THUYT V CC NG DNG CA B LC
KALMAN

Nhm sinh vin thc hin:

Bi nh Cng
Nguyn Khnh Hng

20080355
20081279

Gio vin hng dn: PGS.TS Nguyn Linh Giang

H NI 8-2012
L thuyt v cc ng dng ca b lc Kalman

Page 1

LI GII THIU ......................................................................................................................... 3

I.

L THUYT B LC KALMAN ...................................................................................... 4

1.

L thuyt v c lng ..................................................................................................................... 4

1.1.

Khi nim .................................................................................................................................. 4

1.2.

nh gi cht lng .................................................................................................................. 4

1.3.

K vng (Expectation) .............................................................................................................. 5

1.4.

Phng sai (Variance)............................................................................................................... 6

1.5.

lch chun............................................................................................................................ 7

1.6.

Hip phng sai (Covariance) .................................................................................................. 7

1.7.

Ma trn hip phng sai ........................................................................................................... 8

1.8.

Phn phi chun (phn phi Gaussian) ..................................................................................... 8

1.9.

c lng ca trung bnh v phng sai ................................................................................ 10

Phng php bnh phng ti thiu .................................................................................... 11

1.10.
2.

B lc Kalman ................................................................................................................................ 12
2.1.

Gii thiu chung v b lc Kalman ........................................................................................ 12

2.2.

M hnh ton hc .................................................................................................................... 15

2.2.1.

H thng v m hnh quan st ......................................................................................... 15

2.2.2.

Gi thit ........................................................................................................................... 15

2.2.3.

Ngun gc ....................................................................................................................... 16

2.2.4.

iu kin khng chch.................................................................................................... 17

2.2.5.

Hip phng sai sai s .................................................................................................... 19

2.2.6.

li Kalman ................................................................................................................. 20

2.2.7.

Tm tt cc phng trnh ca b lc Kalman ................................................................. 21

II.

NG DNG CA B LC KALMAN ........................................................................ 24

III.

CI T TH NGHIM ............................................................................................... 26

1.

Tao nhiu Gaussian ......................................................................................................................... 26

2.

Ci t b lc Kalman..................................................................................................................... 27

IV.

2.1.

M phng hot ng ca b lc Kalman ................................................................................ 27

2.2.

M phng hot ng ca b lc Kalman m rng .................................................................. 31

KT LUN ....................................................................................................................... 32

TI LIU THAM KHO .......................................................................................................... 33

L thuyt v cc ng dng ca b lc Kalman

Page 2

LI GII THIU

Ngy nay, nn cng ngh th gii ang pht trin nhanh chng v hng lot cc
gii php cng ngh ra i mi nm. Theo , cc sinh vin ngnh cng ngh ngoi vic
tip thu cc kin thc ging ng cn phi tm hiu nghin cu thm cc cng ngh
tin tin trn th gii c th p ng c yu cu cao ca th trng lao ng. Trong
nhng nm gn y cc loi cm bin, thit b o lng c s dng rng ri trong dn
dng cng nh trong cng nghip. Th nhng nhiu loi thit b li rt nhy vi nhiu,
vn lm sao loi nhiu ra khi tn hiu l mt vn thc s khng n gin.
Vi nhng u im vt tri, tim nng ng dng ca thut ton Kalman vo
thc t trong vic p dng lc nhiu trong tn hiu l rt kh quan, v vy vic nghin
cu nm r v tin ti lm ch phng php ny l rt cn thit v b ch. Ngoi ra
vi mong mun p dng v lp trnh thut ton Kalman vo thc t nn nhm chng em
chn ti: TM HIU L THUYT V CC NG DNG CA B LC
KALMAN.

L thuyt v cc ng dng ca b lc Kalman

Page 3

I.

L THUYT B LC KALMAN
Vo nm 1960, R.E Kalman cng b bi bo ni ting v mt gii php truy

hi gii quyt mt bi ton lc thng tin ri rc truyn tnh (discrete data linear
filtering). Tn y ca bi bo l A New Approach to Linear Filtering and Prediction
Problems. T n nay cng vi s pht trin ca tnh ton k thut s, b lc Kalman
tr thnh ch nghin cu si ni v c ng dng trong nhiu ngnh k thut
cng ngh khc nhau: trong t ng ha, trong nh v cng nh trong vin thng v
trong nhiu lnh vc khc.
Mt cch khi qut, b lc Kalman l mt tp hp cc phng trnh ton hc m
t mt phng php tnh ton truy hi hiu qa cho php c on trng thi ca mt qu
trnh sao cho trung bnh phng sai ca l nh nht. B lc Kalman rt hiu qu trong
vic c on cc trng thi trong qu kh, hin ti v tng lai thm ch ngay c khi
tnh chnh xc ca h thng m phng khng c khng nh.

1. L thuyt v c lng
1.1.

Khi nim
Trong thng k, mt c lng l mt gi tr c tnh ton t mt mu th v

ngi ta hy vng l gi tr tiu biu cho gi tr cn xc nh trong tp hp. Ngi ta

lun tm mt c lng sao cho l c lng khng chch, hi t, hiu qu v
vng(robust)..
1.2.

nh gi cht lng
Mt c lng l mt gi tr x c tnh ton trn mt mu c ly mt cch

ngu nhin, do gi tr ca x l mt bin ngu nhin vi k vng E(x) v phng sai

V(x). Ngha l gi tr x c th dao ng ty theo mu th, n c t c hi c th bng
ng chnh xc gi tr X m n ang c lng. Mc ch y l ta mun c th kim
sot s sai lch gi tr x v gi tr X.
Mt bin ngu nhin lun dao ng xung quanh gi tr k vng ca n. Ta mun l
k vng ca x phi bng X. Khi ta ni c lng l khng chch. Trung bnh tch ly
trong v d v chiu cao trung bnh ca tr 10 tui mt c lng ng, trong khi c
L thuyt v cc ng dng ca b lc Kalman

Page 4

lng v tng s c trong h c tnh nh trong v d l mt c lng khng ng,

l c lng tha: trung bnh tng s c c lng c lun ln hn tng s c c thc
trong h.
Ta cng mun l khi mu th cng rng, th sai lch gia x v X cng nh. Khi
ta ni c lng l hi t. nh ngha theo ngn ng ton hc l nh sau:
(xn) hi t nu lim (| | > ) = 0 vi mi s thc dng (xc sut sai lch vi

gi tr thc cn c lng ln hn tin v 0 khi kch c ca mu th cng ln).

Bin ngu nhin dao ng quanh gi tr k vng ca n. Nu phng sai V(x) cng
b, th s dao ng cng yu. V vy ta mun phng sai ca c lng l nh nht c
th. Khi ta ni c lng l hiu qu.
Cui cng, trong qu trnh iu tra, c th xut hin mt gi tr bt thng (v d
c tr 10 tui nhng cao 1,80 m). Ta mun gi tr bt thng ny khng nh hng qu
nhiu n gi tr c lng. Khi ta ni c lng l vng. C th thy trung bnh tch
ly trong v d v chiu cao trung bnh tr 10 tui khng phi l mt c lng vng.
1.3.

K vng (Expectation)
nh ngha: Gi s l i lng ngu nhin ri rc c th nhn cc gi tr

1 , 2 , , vi cc xc sut tng ng 1 , 2 , , .
Khi k vng ca X, k hiu l ( ) hay c xc nh bi cng thc

( ) =

(1.1)

=1

Nu l i lng ngu nhin lin tc c hm mt xc sut l () th k vng

ca l:
+

( ) = ()

(1.2)

Tnh cht
i.

( ) =

L thuyt v cc ng dng ca b lc Kalman

Page 5

ii.

(. ) = . ( ), vi l hng s.

iii.

( + ) = ( ) + ( )

iv.

Nu X v Y l hai i lng ngu nhin c lp th:

(. ) = ( ). ()

ngha: K vng ca mt i lng ngu nhin chnh l gi tr trung bnh

(theo xc sut) ca i lng ngu nhin . N l im trung tm ca phn phi m cc

gi tr c th ca X s tp trung quanh .
1.4.

Phng sai (Variance)

nh ngha: Phng sai (trung bnh bnh phng lch) ca i lng ngu

nhin X, k hiu ( ) hay ( ) c xc nh bi cng thc:

( ) = [( )2 ]

(1.3)

Nu X l i lng ngu nhin ri rc c th nhn cc gi tr 1 , 2 , , vi xc

xc sut tng ng l 1 , 2 , , th:

( ) = [ ]2

(1.4)

=1

Nu X l i lng ngu nhin lin tc c hm mt xc sut l () th:

+

( ) = [ ]2 ()

(1.5)

Trong thc t ta thng tnh phng sai bng cng thc:

( ) = [ 2 ] [ ( )]2

(1.6)

Tnh cht:
i. ( ) = 0
ii. (. ) = 2 . ( );
iii. Nu X, Y l 2 bin ngu nhin c lp th:
( + ) = ( ) = ( ) + ()

(1.7)

ngha: l lch khi gi tr trung bnh. Do phng sai ( ) gi l

trung bnh bnh phng lch. Nn phng sai phn nh mc phn tn ca cc gi
L thuyt v cc ng dng ca b lc Kalman

Page 6

tr ca i lng ngu nhin quanh gi tr trung bnh hay k vng. i lng ngu nhin
c phng sai cng ln th gi tr cng phn tn v ngc li.
1.5.

lch chun
nh ngha: lch chun ca i lng ngu nhin X, k hiu () c xc

nh bi cng thc:
( ) = ( )

1.6.

(1.8)

Hip phng sai (Covariance)

Cho 2 bin ngu nhin X v Y, ta c nh ngha hip phng sai ca X v Y, k

hiu (, ):
(, ) = [( )( )]

(1.9)

trong , ln lt l k vng ca X, Y.
Mt cng thc tng ng ca hip phng sai:
(, ) = []

(1.10)

ngha ca hip phng sai l s bin thin cng nhau ca 2 bin ngu nhin:
Nu 2 bin c xu hng thay i cng nhau (ngha l, khi mt bin c gi tr cao hn k
vng th bin kia cng c xu hng cao hn k vng), th hip phng sai ca hai bin
ny c gi tr dng. Mt khc, nu mt bin nm trn gi tr k vng cn bin kia c xu
hng nm di gi tr k vng, th hip phng sai ca hai bin c gi tr m.
Nu 2 bin ngu nhin l c lp th (, ) = 0 tuy nhin iu ngc li
khng ng. Cc bin ngu nhin m c hip phng sai bng 0 c gi l khng tng
quan (uncorrelated), chng c th c lp nhau hoc khng.
Nh vy nu X, Y c lp ta c [] = .
Tnh cht
-

(, ) = ()

(, ) = (, )

(, ) = (, )

L thuyt v cc ng dng ca b lc Kalman

Page 7

(1 + 2 , 1 + 2 ) = (1 , 1 ) + (2 , 1 ) + (1 , 2 ) +
(2 , 2 )

1.7.

( + ) = ( ) + () + 2(, )

Ma trn hip phng sai

Nh chng ta va trnh by, hip phng sai l i lng tnh ton s tng quan

gia 2 bin ngu nhin.

Vy gi s chng ta c mt vector bin ngu nhin c 3 phn t 1 , 2 , 3 . Nu ta
mun tnh ton s tng quan gia tt c cc cp bin ngu nhin th ta phi tnh tt c 3
hip phng sai (1 , 2 ), (1 , 3 ), (2 , 3 ).
Mt cch tng qut, ma trn hip phng sai ra i cho php ta tnh tt c
cc gia 2 bin ngu nhin trong mt vector bin ngu nhin.
Cho mt vector bin ngu nhin X cha n bin ngu nhin, ma trn hip phng
sai ca X, k hiu l , c nh ngha l:

=[

(1 , 1 )
(2 , 1 )

(1 , 2 )
(2 , 2 )

( , 1 )

( , 2 )

(1 , )
(2 , )
]

( , )

1
Vi = [ ]

Quan st trn ng cho ca ma trn hip phng sai (i=j) ta thy ti l cc

phng sai, v ( , ) = ( )
1.8.

Phn phi chun (phn phi Gaussian)

Trong thc t, ngi ta thng s dng phn phi xc sut c tn l phn phi

chun (normal distribution) hay phn phi Gaussian.

Mt bin ngu nhin X c gi l c phn phi Gaussian khi n c hm mt
l hm Gaussian, k hiu l ~(, ) gi l X c phn phi chun vi tham s , .
Khi hm mt ca X l:
(; , ) =

L thuyt v cc ng dng ca b lc Kalman

1
2

()2
22

Page 8

Vi phn phi xc sut nh trn, ngi ta tnh c , ln lt l k vng v

lch chun ca X.
Di y l th ca mt s phn phi chun.

Hnh 1.1: th ca mt s phn phi chun

Quan st th ta thy phn phi chun c dng chung. Gi tr k vng ca X l

= l trc i xng. lch chun (hay phng sai 2 ) cng ln th th cng
bt, ngha l cc gi tr cng phn tn ra xa k vng.
Trong thc t, cc loi nhiu trong cc h thng o lng c th c m phng
mt cch chnh xc bng nhiu trng cng. Hay ni cch khc tp m trng Gaussian l
loi nhiu ph bin nht trong h thng o lng. Loi nhiu ny c mt ph cng
sut ng u trn min tn s v bin tun theo phn b Gaussian. Theo phng thc
tc ng th nhiu Gaussian l nhiu cng. Vy cc h thng o lng ph bin chu tc
ng ca nhiu Gaussian trng cng (AWGN).

L thuyt v cc ng dng ca b lc Kalman

Page 9

Hnh 1.2: Nhiu Gaussian

1.9.

c lng ca trung bnh v phng sai

Ta chn ngu nhin n c th trong mt dn s gm N c th. Ta quan tm n c

trng nh lng Y ca dn s vi trung bnh v phng sai V(Y). Trong mu , c

trng Y c trung bnh v phng sai o c ln lt l v 2 =

=1( )2 .

Lu l cc gi tr v 2 thay i ty theo mu th, do chng l cc bin ngu nhin

vi trung bnh v phng sai ring khc nhau.
c lng trung bnh ca Y:
Thng thng trung bnh ca Y, tc l c c lng bi: =

=1 ,

cn c gi l trung bnh tch ly (hay trung bnh cng). Ta chng minh c y l

c lng khng chch (unbiased), ngha l () =
c lng phng sai ca Y:
2 l mt c lng ca V(Y), nhng l c lng khng ng, ta chng minh
c k vng ca 2 lun nh hn V(Y), tc c lng l thiu.
Cc c lng ng ca V(Y) l:
L thuyt v cc ng dng ca b lc Kalman

Page 10

(1.11) trong trng hp ly mu c hon li

1 1

(1.12) trong trng hp ly mu khng hon li

Trong trng hp mu ln, php tnh c hon li v php tnh khng hon li l
nh nhau, v

V(Y) l: 2 =

xp x bng 1. V vy trong trng hp tng qut c lng ng ca

1
1

=1( )2 c gi l phng sai tch ly ca Y.

1.10. Phng php bnh phng ti thiu

Trong ton hc, phng php bnh phng ti thiu, cn gi l bnh phng nh
nht hay bnh phng trung bnh ti thiu, l mt phng php ti u ha la chn
mt ng khp nht cho mt di d liu ng vi cc tr ca tng cc sai s thng k
(error) gia ng khp v d liu.
Phng php ny gi nh cc sai s (error) ca php o c d liu phn phi
ngu nhin. nh l Gauss-Markov chng minh rng kt qu thu c t phng php
bnh phng ti thiu khng thin v v sai s ca vic o c d liu khng nht thit
phi tun theo, v d, phn b Gauss. Mt phng php m rng t phng php ny l
bnh phng ti thiu c trng s.
Phng php bnh phng ti thiu thng c dng trong khp ng cong.
Nhiu bi ton ti u ha cng c quy v vic tm cc tr ca dng bnh phng, v d
nh tm cc tiu ca nng lng hay cc i ca entropy.
Gi s d liu gm cc im (xi, yi) vi i = 1, 2, ..., n. Chng ta cn tm mt hm
s f tha mn:
( )

(1.13)

Gi s hm f c th thay i hnh dng, ph thuc vo mt s tham s, pj vi j = 1,

2, ..., m.
() ( , )

(1.14)

Ni dung ca phng php l tm gi tr ca cc tham s pj sao cho biu thc sau

t cc tiu:

L thuyt v cc ng dng ca b lc Kalman

Page 11

2 = ( ( ))2

(1.15)

=1

Ni dung ny gii thch ti sao tn ca phng php l bnh phng ti thiu.

i khi thay v tm gi tr nh nht ca tng bnh phng, ngi ta c th tm gi
tr nh nht ca bnh phng trung bnh:

1
2 = ( ( ))2

(1.16)

=1

iu ny dn n tn gi bnh phng trung bnh ti thiu.

Trong hi quy tuyn tnh, ngi ta thay biu thc
( )
bng
( ) = +

(1.17)

vi h s nhiu l bin ngu nhin c gi tr k vng bng 0.

Trong biu thc ca hi quy tuyn tnh x c o chnh xc, ch c y chu nhiu lon .
Thm na, hm f tuyn tnh vi cc tham s pj. Nu f khng tuyn tnh vi cc tham s,
ta c hi quy phi tuyn, mt bi ton phc tp hn nhiu hi quy tuyn tnh.

2. B lc Kalman
2.1.

Gii thiu chung v b lc Kalman

c xut t nm 1960 bi gio s Kalman thu thp v kt hp linh ng

cc thng tin t cm bin thnh phn. Mt khi phng trnh nh hng v mu thng k
nhiu trn mi cm bin c bit v xc nh, b lc Kalman s cho c lng gi tr
ti u (chnh xc do c loi sai s, nhiu) nh l ang s dng mt tn hiu tinh
khit v c phn b khng i. Trong h thng ny, tn hiu cm bin vo b lc
gm hai tn hiu: t cm bin gc (inclinometer) v cm bin vn tc gc (gyro). Tn hiu
u ra ca b lc l tn hiu ca inclinometer v gyro c loi nhiu nh hai ngun
tn hiu h tr v x l ln nhau trong b lc, thng qua quan h (vn tc gc = o
hm/vi phn ca gi tr gc.

L thuyt v cc ng dng ca b lc Kalman

Page 12

B lc Kalman n gin l thut ton x l d liu hi quy ti u. C nhiu cch

xc nh ti u, ph thuc tiu chun la chn trnh thng s nh gi. N cho thy rng
b lc Kalman ti u i vi chi tit c th trong bt k tiu chun c ngha no. Mt
kha cnh ca s ti u ny l b lc Kalman hp nht tt c thng tin c cung cp ti
n. N x l tt c gi tr sn c, ngoi tr sai s, c lng gi tr hin thi ca
nhng gi tr quan tm, vi cch s dng hiu bit ng hc thit b gi tr v h thng,
m t s liu thng k ca h thng nhiu, gm nhiu n, nhiu o v s khng chc
chn trong m hnh ng hc, v nhng thng tin bt k v iu kin ban u ca gi tr
quan tm.

Hnh 1.3: M hnh o lng c lng ca b lc Kalman

L thuyt v cc ng dng ca b lc Kalman

Page 13

Hnh 1.4: Tn hiu thu trc v sau khi lc qua Kalman

Hnh 1.3 trn m hnh ha hot ng ca mch lc Kalman. Chng ta c tn hiu

o c, chng ta c m hnh ca tn hiu o c (i hi tuyn tnh) v sau l p
dng vo trong h thng phng trnh ca mch lc c lng trng thi quan tm.
Thc ra tn hiu o l khng kh, phng trnh c sn, ci chung ta cn chnh l m
hnh ho h thng. c th ng dng mt cch hiu qu mch lc Kalman th chng ta
phi m hnh ha c mt cch tuyn tnh s thay i ca trng thi cn c lng hoc
d on.

L thuyt v cc ng dng ca b lc Kalman

Page 14

2.2. M hnh ton hc

2.2.1. H thng v m hnh quan st
Chng ta gi s rng c th m hnh ha bi phng trnh chuyn trng thi
+1 = + +

(2.1)

Trong l trng thi ti thi im k, l vector iu khin u vo, l h

thng cng hay nhiu qu trnh thng l nhiu Gaussian trng cng (AWGN) , l
ma trn chuyn i u vo v l ma trn chuyn trng thi.
Ngoi ra chng ta gi s rng, kh nng quan st trng thi c thc hin thng
qua mt h thng o lng c th c biu din bi mt phng trnh tuyn tnh nh
sau
= +

(2.2)

Trong l thng tin quan st hay o lng thc hin ti thi im , l

trng thi ti thi im , l ma trn quan st v l nhiu cng trong qu trnh o
lng.

Hnh 2.1: M hnh khng gian trng thi

2.2.2. Gi thit
Chng ta gi thit nh sau
Nhiu qu trnh v nhiu o lng v l khng tng quan, l nhiu
Gaussian trng cng (AWGN) c gi tr trung bnh bng khng v ma trn
hip phng sai bit.

L thuyt v cc ng dng ca b lc Kalman

Page 15

Khi ,

[ ] = {
0

[ ] = 0

[ ] = {

=
,
=
,
,

(2.3)
(2.4)
(2.5)

Trong v l cc ma trn i xng na xc nh dng.

Trng thi khi to h thng 0 l mt vector ngu nhin khng tng quan
vi c h thng v nhiu o lng.
Trng thi khi to h thng c gi tr trung bnh v ma trn hip phng
sai bit.
0|0 = [0 ] 0|0 = [(0|0 0 )(0|0 0 ) ]
(2.6)
a ra nhng gi nh trn vi mc ch xc nh, a ra tp gi tr quan st
1 , , +1 , b lc c lng thi im + 1 to ra mt c lng ti u ca trng
thi +1 m chng ta k hiu bi +1 , ti thiu ha k vng ca hm tn tht bnh
phng li.
2
[+1 +1 ] = [(+1 +1 ) (+1 +1 )]
(2.7)
2.2.3. Ngun gc
K hiu c lng d on ca trng thi +1 da trn quan st thi im ,
1 , , l +1| . c gi l mt bc trc d on hay n gin l d on. By
gi, gii php ti thiu ha phng trnh (2.7) l k vng ca trng thi thi im
+ 1 c c nh da trn quan st thi im . Nh vy,
+1| = [+1 |1 , , ] = [+1 | ]

(2.8)

Khi trng thi d on c cho bi

+1| = [+1 | ]
= [ + + | ]
= [ | ] + + [ | ]
= | +

(2.9)

Khi s dng trong thc t, nhiu qu trnh c gi tr trung bnh l 0 v c

bit chnh xc.
L thuyt v cc ng dng ca b lc Kalman

Page 16

Hip phng sai c lng d on +1| l trung bnh bnh phng sai s trong
c lng +1| .
V vy, bng vic s dng cc s kin m v | l khng tng quan:
+1| = (+1 +1| )

= [(+1 +1| )(+1 +1| ) | ]

= ( ( | ) + ) = ( | ) + [ ]
= | +

(2.10)

ang c mt c lng d on +1| , gi s rng chng ta ang c mt gi tr

quan st +1 . Lm sao s dng thng tin ny cp nht trng thi d on, tc l
tm +1|+1 . Chng ta gi s rng c lng l tng trng s tuyn tnh ca d on v
quan st mi v c th c m t bi phng trnh,
+1|+1 = +1 +1| + +1 +1

(2.11)

Trong +1 v +1 l nhng ma trn hiu chnh b hay ma trn li (ca

cc kch thc khc nhau). Vn ca chng ta by gi l tm +1 v +1 ti thiu
ha iu kin c lng trung bnh bnh phng sai s. Sai s d on c cho bi
+1|+1 = +1|+1 +1

(2.12)

2.2.4. iu kin khng chch

+1|+1 ] = [+1 ]. Gi s rng | l mt c
b lc khng chch yu cu [
lng khng chch. Kt hp phng trnh (2.11) v (2.12) v tnh k vng

[+1|+1 ] = [+1 +1| + +1 +1 +1 + +1 +1 ]

= +1 [+1| ] + +1 +1 [+1 ] + +1 [+1 ]

(2.13)

V [+1 ] = 0, v d on l khng chch:

[+1| ] = [ | + ]
= [| ] +
= [+1 ]
L thuyt v cc ng dng ca b lc Kalman

(2.14)
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Do kt hp phng trnh (2.13) v (2.14)

[+1|+1 ] = (+1 + +1 +1 ) [+1 ]
V iu kin +1|+1 khng chch yu cu
+1 + +1 +1 =
+1 = +1 +1

(2.15)

c lng khng chch yu cu

+1|+1 = ( +1 +1 )+1| + +1 +1
= +1| + +1 [+1 +1 +1| ]

(2.16)

Trong c gi l li ca b lc Kalman (Kalman gain).

+1 +1| c th c hiu nh mt quan st hay o lng d on +1|
+1| = [+1 | ]
= [+1 +1 + +1 | ]
= +1 +1|

(2.17)

t +1 l lch o lng th hin s sai khc gia gi tr o lng +1 v

c lng ca n +1| , c biu din bi
+1 = +1 +1 +1|

(2.18)

[+1 | ] = [+1 +1| | ]

= [+1 | ] +1|
=0

(2.19)

Kt hp (2.16) v (2.18) ta c
+1|+1 = +1| + +1 +1

L thuyt v cc ng dng ca b lc Kalman

(2.20)

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Hip phng sai lch o lng +1 c cho bi,

+1 = [+1 +1 ]

= [(+1 +1 +1| )(+1 +1 +1| ) ]

+1 = +1 +1| +1 + +1

(2.21)

2.2.5. Hip phng sai sai s

Chng ta xc nh hip phng sai sai s d on ca phng trnh (2.10). By
gi chng ta tnh ton hip phng sai sai s iu chnh.

+1|+1 = [(+1|+1 )(+1|+1 ) | ]

= [(+1 +1|+1 )(+1 +1|+1 ) ]

= (+1 +1|+1 )
= (+1 (+1| + +1 (+1 +1 +1| ))
= (+1 ( +1| + +1 (+1 +1 + +1 +1 +1| )))
= (( +1 +1 )(+1 +1| ) +1 +1 )
= (( +1 +1 )(+1 +1| )) + (+1 +1 )
= ( +1 +1 )(+1 +1| )( +1 +1 ) + +1 (+1 )+1
+1|+1 = ( +1 +1 )+1| ( +1 +1 ) + +1 +1 +1

(2.22)

Ta c th tnh ton +1|+1 theo cch khc nh sau

+1|+1 = (+1 +1|+1 )
= (+1 +1| +1 +1 )
= (+1 +1| ) (+1 +1 )
= +1| +1 +1 +1
L thuyt v cc ng dng ca b lc Kalman

(2.23)
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Trong ,

+1| = (+1 +1| )

]
+1 = (+1 ) = [+1 +1

V vy hip phng sai ca c lng iu chnh c biu din qua hip

phng sai d on +1| , nhiu o lng +1 v ma trn li Kalman +1
2.2.6. li Kalman
Mc tiu ca chng ta l lm sao ti thiu ha trung bnh bnh phng sai s
c lng c iu kin vi li Kalman .

= min [(+1|+1 ) (+1|+1 )| ]

+1

= min ( [(+1|+1 ) (+1|+1 )| ])

+1

= min (+1|+1 )

(2.24)

+1

Vi bt k ma trn A v ma trn i xng B ta c

(( )) = 2

Kt hp (2.23) v (2.24) v ly vi phn ma trn li v t kt qu bng 0 ta

c

= 2( +1 +1 )+1| +1 + 2+1 +1 = 0
+1
Sp xp li v a ra phng trnh cho ma trn li
1

+1 = +1| +1 [+1 +1| +1 + +1 ]

(2.25)

Kt hp vi (2.21) ta c
+1 = +1| +1 1
+1

(2.26)

Cng vi phng trnh 2.16, nh ngha mt c lng ti u tuyn tnh trung

bnh bnh phng sai s.

L thuyt v cc ng dng ca b lc Kalman

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T (2.26) ta c
+1 +1 +1 = +1| +1 +1

(2.27)

Kt hp (2.23) v (2.27)
+1|+1 = +1| ( +1 +1 )
= (+1| ( +1 +1 ) )

= ( +1 +1 ) (+1| )
= ( +1 +1 )+1|

(2.28)

2.2.7. Tm tt cc phng trnh ca b lc Kalman

Trong phn ny chng ta s tm tt cc phng trnh tng qut ca gii thut lc
Kalman. Gii thut bao gm 2 qu trnh: qu trnh c lng v qu trnh iu chnh.
Qu trnh d on
B lc Kalman da vo trng thi c lng iu chnh | - l c lng ca
c lng trng thi +1| l c lng d on ca +1 cho php o +1
Trng thi d on:
+1| = | +

(2.29)

Hip phng sai c lng d on:

+1| = | +

(2.30)

o lng d on:
+1| = +1 +1|

L thuyt v cc ng dng ca b lc Kalman

(2.31)

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 Qu trnh iu chnh
lch o lng:
+1 = +1 +1 +1|

(2.32)

Hip phng sai lch:

+1 = +1 +1| +1 + +1

(2.33)

li Kalman:
+1 = +1| +1 1
+1

(2.34)

Trng thi c lng iu chnh:

+1|+1 = +1| + +1 +1
Hip phng sai c lng iu chnh:

(2.35)

+1|+1 = ( +1 +1 )+1|

(2.36)

Prediction
Initial

(1) +1| = | +
(2) +1| = |
+

| and |

Update
(3) +1 = +1 +1|
+1 + +1
1
(4) +1 = +1|
+1 +1

(5) +1|+1 = +1| + +1 (+1 +1 +1| )

(6) +1|+1 = ( +1 +1 )+1|

Hnh 2.2: Tm tt qu trnh khi to ca Kalman

L thuyt v cc ng dng ca b lc Kalman

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Cng vi cc iu kin ban u trong c lng v ma trn hip phng sai li

ca n (phng trnh 2.6) nh nha mt gii thut ri rc ha v thi gian v quy
xc nh hip phng sai c lng tuyn tnh ti thiu c gi l b lc Kalman.

L thuyt v cc ng dng ca b lc Kalman

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NG DNG CA B LC KALMAN

II.

Bi v b lc Kalman gii quyt mt s vn c bn l lc nhiu v ti u cho

cc c lng nn n c ng dng rt rng ri. Ngy nay Kalman c ng dng
nhiu trong cc t t li c kh nng thay th con ngi vn hnh xe, mt chng trnh
my tnh c ci sn b lc Kalman s c nhim v iu khin xe. Nhng chic xe ny
thm ch cn c gii thiu l an ton hn xe li bi con ngi trong mt s trng hp.
Mt ng dng khc, c th chng ta khng thch th lm, l cc tn la khng
i khng (air-to-air missile: AAM). l cc tn la dn hng vic bn t mt my
bay tiu dit my bay khc. Tn la dn hng hot ng theo nguyn l pht hin
mc tiu (thng thng bng rada hoc hng ngoi, i khi cng s dng Lazer hoc
quang hc) sau t ng dn n mc tiu nh qu trnh c lng ca Kalman [3].
Ngoi ra b lc Kalman cn c p dng nhiu vo h thng theo di mc tiu di
ng trong mng cm bin khng dy. Do nhiu o lng trn cc cm bin nn kt qu
thu c thng khng chnh xc, c sai s ln so vi thc t. B lc Kalman c p
dng lc nhiu, d on, c lng trng thi ca mc tiu nh v tr, tc v qu
o. Nh c qu trnh d on v iu chnh ca b lc Kalman gp phn quan trng
vo vic qun l trng thi cc cm bin lm gim thiu nng lng tiu th cng nh
tng cht lng theo di v ko di thi gian sng ca mng [4].
Mt s ng dng c lit k t bi vit Kalman Filter trn Wikipedia [5]:

Li t ng my bay (Autopilot)
c lng trng thi sc ca pin (Battery state of charge (SoC) estimation)
Giao din tng tc vi my tnh bng no (Braincomputer interface)
nh v chuyn ng (Dynamic positioning)
Cc ng dng trong kinh t, c bit l kinh t v m, time series, v econometrics
H thng dn ng qun tnh (Inertial guidance system)
Theo di bng radar (Radar tracker)
H thng nh v v tinh (Satellite navigation systems)
D bo thi tit (Weather forecasting)
H thng nh v (Navigation Systems)
M hnh ha 3 chiu (3D-Modelling)

L thuyt v cc ng dng ca b lc Kalman

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 Vit Nam c mt s ng dng nh:

ng dng lc Kalman trong phn tch bin dng nh cao tng do bc x nhit mt
tri.
Ci thin cht lng truyn ng khng ng b bng cu trc tch knh trc tip
s dng kalman filter quan st t thng. [6]
ng dng Kalman Filter cho d bo nhit 2m t sn phm m hnh HRM.
H thng dn ng qun tnh INS/GPS. [7]
S dng b lc Kalman kt hp vi thut ton bm nh Camshift nhm nng cao
cht lng bm trong cc h thng robot t ng tm kim v bm bt mc tiu.[8]

L thuyt v cc ng dng ca b lc Kalman

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III.

CI T TH NGHIM

1. Tao nhiu Gaussian

S dng chuyn i Box Muller chuyn t phn phi chun trong khong [0; 1]
sang phn phi Gaussian (, 2 )
Gi s bin ngu nhin ~(, 2 )
= + 2 log() cos(2)

(3.1)

= + 2 log() sin(2)

(3.2)

Hay

trong , [0; 1]
V d to sinh 1000 im tun theo phn phi Gaussian (0, 1)

Hnh 3.1: To sinh 1000 im ~(0, 1)

Trong hnh v trn, th bn tri l hm mt xc sut v phn b ca 1000

im Gaussian. th bn phi th hin s thay i gia phng sai v k vng. T hnh
v ta thy phng sai cng ln th gi tr cng phn tn.
L thuyt v cc ng dng ca b lc Kalman

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2. Ci t b lc Kalman
2.1. M phng hot ng ca b lc Kalman
Cc thng s ci t
y chng ta s m hnh ha mt mc tiu chuyn ng c vector trng thi ti
thi im k:
= [ ( )

( )

( )

()]

Phng trnh chuyn trng thi ca mc tiu:

+1 = +
Trong :
1 0
0
0
0]
1

= [0
1
0
0
0
0
0
1

= +1 = 1

= [ ]

: l i lng biu din cng ca nhiu qu trnh.

0|0

1
= [0
0
0

0
0] ; = (4, 4)
0
0|0
1
0

L thuyt v cc ng dng ca b lc Kalman

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 M hnh o lng:
= +
Trong :
1 0 0
= [
0 0 1
~(0, 1)

0
]
0

1 0
]
0 1
= 5: l i lng biu din cng ca nhiu o lng.
= [ ] = 2 [

Kt qu ci t

Ngn ng s dng C#

Input: Qu o chuyn ng ca mc tiu c v bng con tr chut c

thm nhiu Gaussian.

Output: Qu o c c lng.

Giao din

L thuyt v cc ng dng ca b lc Kalman

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 S dng

Dng con tr chut v mt qu o chuyn ng bt k ca mc tiu v c

biu din bi ng mu en.
Khi nhn Draw chng trnh s to d liu o lng th hin qu trnh o
lng v tr ca mc tiu c th hin bi ng mu .
B lc Kalman s cho kt qu l ng mu xanh chnh l d liu c c
lng ti u.
Chng ta c th thay i cc thng s t kt qu ti u.
Kt qu

Qu o thc ca mc tiu:

L thuyt v cc ng dng ca b lc Kalman

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 Qu o o lng

Qu o sau khi qua lc Kalman

L thuyt v cc ng dng ca b lc Kalman

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2.2. M phng hot ng ca b lc Kalman m rng

Cc thng s ci t

L thuyt v cc ng dng ca b lc Kalman

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IV.

KT LUN

V l thuyt
Nm r c b lc Kalman
C kh nng pht trin h thng c lng dng b lc Kalman
Hiu c cch m hnh ha h thng trong b lc Kalman
V ng dng
Bng nhng kin thc v b lc Kalman m phng c qu trnh c lng
chuyn ng ca mc tiu.
Hng pht trin
ng dng b lc Kalman vo h thng bt mc tiu trong mng cm bin khng
dy, gip qun l trng thi ca cc cm bin, tng cht lng theo di v ko
di thi gian sng ca mng.

L thuyt v cc ng dng ca b lc Kalman

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TI LIU THAM KHO

[1] Gio trnh xc sut thng k, Tng nh Qu, NXB Gio dc, H Ni, 1999.
[2] Estimation II, Ian Ried-2001
[3] Tn la khng i khng, http://vi.wikipedia.org/wiki/Tn_la_khng_i_khng
[4] Vinh Tran-Quang, Phat Nguyen Huu, Takumi Miyoshi, A Collaborative Target
Tracking Algorithm Considering Energy Constraint in WSNs 15-17 Sept. 2011.
[5] Kalman filter, http://en.wikipedia.org/wiki/Kalman_filter
[6] Ths. inh Anh Tun, Nguyn Phng Quang, Ci thin cht lng truyn ng khng
ng b bng cu trc tch knh trc tip s dng kalman filter quan st t thng 20-11-2009
[7] http://www.nchmf.gov.vn/web/vi-VN/71/155/5760/Default.aspx
[8] Ng Mnh Tin, Phan Xun Minh, H Th Kim Duyn, A Method using Kalman
Filter combining with Image Tracking Camshift Algorithm to bring higher tracking
Quality in automatically searching and tracking target Robot System VCCA-2011.

L thuyt v cc ng dng ca b lc Kalman

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