Lecture

Kalman Filter: Introduction

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In course

ENV-548: Sensor orientation

Determination of spatial orientation (i.e. position, velocity, attitude) via integration of inertial sensors with satellite positioning. Prerequisite for applications related to remote sensing, environmental monitoring, mobile mapping, robotics, space expl ...

Description

This lecture introduces the Kalman Filter, a mathematical method used to estimate the state of a linear dynamic system from a series of noisy measurements. The instructor covers the principles behind the Kalman Filter, including its application in various fields such as signal processing and control systems.

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Instructor

Jan Skaloud

Expertise Satellite positioning, inertial and integrated navigation Sensor orientation and calibration, attitude determination Mobile mapping, airborne laser scanning Adjustment methods, Kalman Filtering Mission Teaching in 3 EPFL sections and 2 faculties, director of ESO lab. Books / Monographs J. Skaloud and M. Cramer, «Data Capture,» in GIS Handbook, W. Kresse and D. Danko, Eds. Springer, 2011. D. Lichti and J. Skaloud, «Registration and Calibration,» in Airborne and terrestrial laser scanning, H.-G. Ma

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Related concepts (32)

Kalman filter

For statistics and control theory, Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, who was one of the primary developers of its theory.

Signal processing

Signal processing is an electrical engineering subfield that focuses on analyzing, modifying and synthesizing signals, such as sound, , potential fields, seismic signals, altimetry processing, and scientific measurements. Signal processing techniques are used to optimize transmissions, digital storage efficiency, correcting distorted signals, subjective video quality and to also detect or pinpoint components of interest in a measured signal. According to Alan V. Oppenheim and Ronald W.

Control system

A control system manages, commands, directs, or regulates the behavior of other devices or systems using control loops. It can range from a single home heating controller using a thermostat controlling a domestic boiler to large industrial control systems which are used for controlling processes or machines. The control systems are designed via control engineering process. For continuously modulated control, a feedback controller is used to automatically control a process or operation.

Industrial control system

An industrial control system (ICS) is an electronic control system and associated instrumentation used for industrial process control. Control systems can range in size from a few modular panel-mounted controllers to large interconnected and interactive distributed control systems (DCSs) with many thousands of field connections. Control systems receive data from remote sensors measuring process variables (PVs), compare the collected data with desired setpoints (SPs), and derive command functions that are used to control a process through the final control elements (FCEs), such as control valves.

Ensemble Kalman filter

The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting.

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