Difference between revisions of "CDS 110b: Sensor Fusion"
(→Frequently Asked Questions) 
m (CDS 110b:Sensor Fusion moved to CDS 110b: Sensor Fusion) 
(No difference)

Revision as of 05:38, 7 February 2006
See current course homepage to find most recent page available. 
Course Home  L72: Sensitivity  L81: Robust Stability  L91: Robust Perf  Schedule 
In this lecture we show how the Kalman filter can be used for sensor fusion and explore some variations on the basic Kalman filter, including the extended Kalman filter.
Lecture Outline
 Sensor fusion using Kalman filters
 The extended Kalman filter
 Parameter estimation using EKF
Lecture Materials
 Lecture presentation (MP3)
 Lecture Notes on Kalman Filters
 Reading: Friedland, Chapter 11
 HW #5, due 13 Feb (Mon)
References and Further Reading
Frequently Asked Questions
Q: How do you deal with time correlated noise (eg, GPS jumps on Alice)?
Correlated noise can be put into the Kalman filtering framework by using a (linear) filter to give a correlated noise source with a given correlation function (or spectral density). Suppose that is a transfer function that filters Gaussian white noise and provides the desired correlation. Let be a state space representation for the filter. Then the entire system can be written as
This system takes a Guassian white noise input , filters it to give the desired spectrum, and uses it to drive the system.
For Alice, the most correct approach would be to model the noise as something other than a Gaussian process (in which case the theory we have studied doesn't directly apply). However, we can also take data from the sensor and develop the correlation function numerically, then determine the linear system that best models the correlation.