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dsp.KalmanFilter System object

Estimate system measurements and states using Kalman filter

Description

The dsp.KalmanFilter System object™ is an estimator used to recursively obtain a solution for linear optimal filtering. This estimation is made without precise knowledge of the underlying dynamic system. The Kalman filter implements the following linear discrete-time process with state, x, at the kth time-step: x(k)=Ax(k1)+Bu(k1)+w(k1) (state equation). This measurement, z, is given as: z(k)=Hx(k)+v(k) (measurement equation).

The Kalman filter algorithm computes the following two steps recursively:

  • Prediction: Process parameters x (state) and P (state error covariance) are estimated using the previous state.

  • Correction: The state and error covariance are corrected using the current measurement.

To filter each channel of the input:

  1. Create the dsp.KalmanFilter object and set its properties.

  2. Call the object with arguments, as if it were a function.

To learn more about how System objects work, see What Are System Objects? (MATLAB).

Creation

Syntax

kalman = dsp.KalmanFilter
kalman = dsp.KalmanFilter(STMatrix, MMatrix, PNCovariance, MNCovariance, CIMatrix)
kalman = dsp.KalmanFilter(Name,Value)

Description

kalman = dsp.KalmanFilter returns the Kalman filter System object, kalman, with default values for the parameters.

example

kalman = dsp.KalmanFilter(STMatrix, MMatrix, PNCovariance, MNCovariance, CIMatrix) returns a Kalman filter System object, kalman. The StateTransitionMatrix property is set to STMatrix, the MeasurementMatrix property is set to MMatrix, the ProcessNoiseCovariance property is set to PNCovariance, the MeasurementNoiseCovariance property is set to MNCovariance, and the ControlInputMatrix property is set to CIMatrix.

kalman = dsp.KalmanFilter(Name,Value) returns an Kalman filter System object, kalman, with each property set to the specified value. Enclose each property name in single quotes. Unspecified properties have default values.

Properties

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Unless otherwise indicated, properties are nontunable, which means you cannot change their values after calling the object. Objects lock when you call them, and the release function unlocks them.

If a property is tunable, you can change its value at any time.

For more information on changing property values, see System Design in MATLAB Using System Objects (MATLAB).

Specify A in the state equation that relates the state at the previous time step to the state at current time step. A is a square matrix with each dimension equal to the number of states.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify B in the state equation that relates the control input to the state. B is a column vector with a number of rows equal to the number of states.

Dependencies

This property is activated only when the ControlInputPort property value is true.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify H in the measurement equation that relates the states to the measurements. H is a row vector with a number of columns equal to the number of measurements.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify Q as a square matrix with each dimension equal to the number of states. Q is the covariance of the white Gaussian process noise, w, in the state equation.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify R as a square matrix with each dimension equal to the number of states. R is the covariance of the white Gaussian process noise, v, in the measurement equation.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify an initial estimate of the states of the model as a column vector with length equal to the number of states.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify an initial estimate for covariance of the state error, as a square matrix with each dimension equal to the number of states.

Data Types: single | double | int8 | int16 | int32 | int64 | uint8 | uint16 | uint32 | uint64

Specify as a scalar logical value, disabling System object filters from performing the correction step after the prediction step in the Kalman filter algorithm.

Specify if the control input is present, using a scalar logical value. The default value is true.

Usage

For versions earlier than R2016b, use the step function to run the System object algorithm. The arguments to step are the object you created, followed by the arguments shown in this section.

For example, y = step(obj,x) and y = obj(x) perform equivalent operations.

Syntax

[zEst, xEst, MSE_Est, zPred, xPred, MSE_Pred] = kalman(z,u)

Description

example

[zEst, xEst, MSE_Est, zPred, xPred, MSE_Pred] = kalman(z,u) carries out the iterative Kalman filter algorithm over measurements z and control inputs u. The columns in z and u are treated as inputs to separate parallel filters, whose correction (or update) step can be disabled by the DisableCorrection property. The values returned are estimated measurements zEst, estimated states xEst, MSE of estimated states MSE_Est, predicted measurements zPred, predicted states xPred, and MSE of predicted states MSE_Pred.

Input Arguments

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Measurement input, specified as a vector or a matrix.

The ratio of the number of rows of the measurement input to the number of rows of the MeasurementMatrix property must be equal to the ratio of the number of rows of the control input to the number of columns of the ControlInputMatrix property.

The measurement signal can be a variable-size input. Once the object is locked, you can change the size of each input channel, but the number of channels cannot change.

Data Types: single | double

Control input, specified as a vector or a matrix.

The ratio of the number of rows of the control input to the number of columns of the ControlInputMatrix property must be equal to the ratio of the number of rows of the measurement input to the number of rows of the MeasurementMatrix property.

The control signal can be a variable-size input. Once the object is locked, you can change the size of each input channel, but the number of channels cannot change.

Data Types: single | double

Output Arguments

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Estimated measurements, returned as a vector or matrix.

Data Types: single | double

Estimated state, returned as a vector or matrix.

Data Types: single | double

Mean-squared error of estimated states, returned as a scalar or column vector. If the input is a row vector, the MSE of the estimated states is a scalar.

Data Types: single | double

Predicted measurements, returned as a vector or a matrix.

Data Types: single | double

Predicted states, returned as a vector or a matrix.

Data Types: single | double

Mean-squared error of predicted states, returned as a scalar or a column vector. If the input is a row vector, the MSE of the estimated states is a scalar.

Data Types: single | double

Object Functions

To use an object function, specify the System object as the first input argument. For example, to release system resources of a System object named obj, use this syntax:

release(obj)

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stepRun System object algorithm
releaseRelease resources and allow changes to System object property values and input characteristics
resetReset internal states of System object

Examples

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Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step syntax. For example, obj(x) becomes step(obj,x).

Create the System objects for the changing scalar input, the Kalman filter, and the scope (for plotting).

numSamples = 4000;
R = 0.02;
src = dsp.SignalSource;
src.Signal = [ones(numSamples/4,1);-3*ones(numSamples/4,1);...
    4*ones(numSamples/4,1); -0.5*ones(numSamples/4,1)];
tScope = dsp.TimeScope('NumInputPorts',3,'TimeSpan',numSamples, ...
    'TimeUnits','Seconds','YLimits',[-5 5], ...
    'ShowLegend',true); % Create the Time Scope
kalman = dsp.KalmanFilter('ProcessNoiseCovariance', 0.0001,...
    'MeasurementNoiseCovariance',R,...
    'InitialStateEstimate',5,...
    'InitialErrorCovarianceEstimate',1,...
    'ControlInputPort',false); %Create Kalman filter

Add noise to the scalar, and pass the result to the Kalman filter. Stream the data, and plot the filtered signal.

while(~isDone(src))
   trueVal = src();
   noisyVal = trueVal + sqrt(R)*randn;
   estVal = kalman(noisyVal);
   tScope(noisyVal,trueVal,estVal);
end

Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step syntax. For example, obj(x) becomes step(obj,x).

Create the signal, Kalman Filter, and Time Scope System objects.

numSamples = 4000;
R = 0.02;
src = dsp.SignalSource;
src.Signal = [  ones(numSamples/4,1);-3*ones(numSamples/4,1);...
              4*ones(numSamples/4,1);-0.5*ones(numSamples/4,1)];
tScope = dsp.TimeScope('NumInputPorts',3,'TimeSpan',numSamples, ...
          'TimeUnits','Seconds','YLimits',[-5 5],...
          'Title',['True(channel 1),noisy(channel 2) and ',...
          'estimated(channel 3) values'], ...
          'ShowLegend', true);
kalman = dsp.KalmanFilter('ProcessNoiseCovariance',0.0001,...
          'MeasurementNoiseCovariance',R,...
          'InitialStateEstimate',5,...
          'InitialErrorCovarianceEstimate',1,...
          'ControlInputPort',false);
ctr = 0;

Add noise to the signal. Stream the data, and plot the filtered signal.

while(~isDone(src))
    trueVal = src();
    noisyVal = trueVal + sqrt(R)*randn;
    estVal = kalman(noisyVal);
    tScope(trueVal,noisyVal,estVal);

    % Disabling the correction step of second filter for the middle
    % one-third of the simulation
    if ctr == floor(numSamples/3)
        kalman.DisableCorrection = true;
    end
    if ctr == floor(2*numSamples/3)
        kalman.DisableCorrection = false;
    end
    ctr = ctr + 1;
end

Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step syntax. For example, obj(x) becomes step(obj,x).

Create the signal where the columns are the two scalar values to be tracked. Also create the Kalman Filter, and the Time Scopes.

numSamples = 4000;
R = 0.02;
src = dsp.SignalSource;
sig1 = [  ones(numSamples/4,1);   -3*ones(numSamples/4,1);...
         4*ones(numSamples/4,1); -0.5*ones(numSamples/4,1)];
sig2 = [-2*ones(numSamples/4,1);   4*ones(numSamples/4,1);...
        -3*ones(numSamples/4,1); 1.5*ones(numSamples/4,1)];

src.Signal = [sig1, sig2];

tScope1 = dsp.TimeScope('NumInputPorts', 3, 'TimeSpan', numSamples, ...
           'TimeUnits', 'Seconds', 'YLimits',[-5 5], ...
           'Title', ['True(channel 1), noisy(channel 2) and ',...
           'estimated(channel 3) values'], ...
           'ShowLegend', true);
tScope2 = clone(tScope1);
kalman = dsp.KalmanFilter('ProcessNoiseCovariance', 0.0001,...
    'MeasurementNoiseCovariance', R,...
    'InitialStateEstimate', -3,...
    'InitialErrorCovarianceEstimate', 1,...
    'ControlInputPort',false);

Add noise to the signal. Stream the data, and plot the filtered signal.

while(~isDone(src))
    trueVal = src();
    noisyVal = trueVal + sqrt(R)*randn(1,2);
    estVal = kalman(noisyVal);
           % Plot results of first channel on Time Scope
    tScope1(trueVal(:,1),noisyVal(:,1),estVal(:,1));
           % Plot results of second channel on Time Scope
    tScope2(trueVal(:,2),noisyVal(:,2),estVal(:,2));
end

Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step syntax. For example, obj(x) becomes step(obj,x).

Use a unit step as the control input to track a ramp signal. Create the ramp signal to be tracked, the control input, the Time Scope, and the Kalman Filter.

numSamples = 200;
R = 100;
src = dsp.SignalSource;
src.Signal = (1:numSamples)';
control = dsp.SignalSource;
control.Signal = ones(numSamples,1);

tScope = dsp.TimeScope('NumInputPorts', 3, 'TimeSpan', numSamples, ...
    'TimeUnits', 'Seconds', 'YLimits',[-5 205], ...
    'Title', ['Noisy(channel 1), True(channel 2) and ',...
    'estimated(channel 3) values'], ...
    'ShowLegend', true);
kalman = dsp.KalmanFilter('ProcessNoiseCovariance', 0.0001,...
    'MeasurementNoiseCovariance', R,...
    'InitialStateEstimate', 1,...
    'InitialErrorCovarianceEstimate', 1);

Add noise to the signal. Filter the signal using kalman filter. View the output using time scope.

while(~isDone(src))
    trueVal = src();
    ctrl = control();
    noisyVal = trueVal + sqrt(R)*randn;
    estVal = kalman(noisyVal,ctrl);
    tScope(noisyVal,trueVal,estVal);
end

Algorithms

This object implements the algorithm, inputs, and outputs described on the Kalman Filter block reference page. The object properties correspond to the block parameters.

References

[1] Greg Welch and Gary Bishop, An Introduction to the Kalman Filter, Technical Report TR95 041. University of North Carolina at Chapel Hill: Chapel Hill, NC., 1995.

Extended Capabilities

See Also

Blocks

Introduced in R2013b