MATLAB在卡尔曼滤波器中应用的理论与实践Kalman
MATLAB在卡尔曼滤波器中应用的理论与实践KalmanKALMAN FILTERINGTheory and Practice Using MATLABThird editionMOHINDER S GREWALCalifornia State University at FullertonANGUS P. ANDREWSRockwell Science Center (retired)WILEYA JOHN WILEY & SONS, INC. PUBLICATIONCopyright 2008 by John Wiley sons, Inc. All rights reservedPublished by John Wiley sons, InC, Hoboken, New JerseyPublished simultaneously in CanadaNo part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or byany means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permittedunder Section 107 or 108 of the 1976 United States Copyright Act, without either the prior writtenpermission of the Publisher, or authorization through payment of the appropriate per-copy fee to theCopyright Clearance Center, Inc, 222 Rosewood Drive, Danvers, MA 01923,(978)750-8400, fax(978)750-4470,oronthewebatwww.copyright.com.RequeststothePublisherforpermissionshouldbe addressed to the Permissions Department, John Wiley Sons, Inc, lll River Street, Hoboken, NJ07030,(201)748-6011,fax(201)748-6008,oronlineathttp://www.wiley.com/go/permissionimit of liability Disclaimer of Warranty: While the publisher and author have used their best efforts inpreparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability orfitness for a particular purpose. No warranty may be created or extended by sales representatives orwritten sales materials. The advice and strategies contained herein may not be suitable for your situationYou should consult with a professional where appropriate. Neither the publisher nor author shall be liablefor any loss of profit or any other commercial damages, including but not limited to special, incidentalconsequential, or other damagesFor general information on our other products and services or for technical support, please contact ourCustomer Care Department within the United States at(800)762-2974, outside the United States at(317)572-3993 or fax(317)572-4002Wiley also publishes its books in a variety of electronic formats. Some content that appears in print maynot be available in electronic format. For more information about wiley products, visit our web site atwww.wiley.comLibrary of Congress Cataloging- in-Publication DataGrewal. Mohinder sKalman filtering: theory and practice using MATLAB/Mohinder S. GrewalAngus p. andrews. 3rd edIncludes bibliographical references and indexISBN978-0-470-17366-4( cloth)1. Kalman filtering. 2. MATLAB. I. Andrews, Angus P. II. TitleQA402.3.G69520086298312—dc22200803733Printed in the United States of america10987654321CONTENTSPrefaceAcknowledgmentsXIIIList of abbreviationsXV1 General Information1.1 On Kalman Filtering1.2 On Optimal Estimation Methods, 51. 3 On the notation Used In This book 231. 4 Summary, 25Problems. 262 Linear Dvnamic Systems2. 1 Chapter focus, 312.2 Dynamic System Models, 362. 3 Continuous Linear Systems and Their Solutions, 402.4 Discrete Linear Systems and Their Solutions, 532.5 Observability of Linear Dynamic System Models, 552.6 Summary, 61Problems. 643 Random Processes and Stochastic Systems3.1 Chapter Focus, 673.2 Probability and random Variables (rvs), 703.3 Statistical Properties of RVS, 78CONTEN3.4 Statistical Properties of Random Processes(RPs),803.5 Linear rp models. 883.6 Shaping Filters and State Augmentation, 953.7 Mean and Covariance propagation, 993.8 Relationships between Model Parameters, 1053.9 Orthogonality principle 1143.10 Summary, 118Problems. 1214 Linear Optimal Filters and Predictors1314.1 Chapter Focus, 1314.2 Kalman Filter. 1334.3 Kalman-Bucy filter, 1444.4 Optimal Linear Predictors, 1464.5 Correlated noise Sources 1474.6 Relationships between Kalman-Bucy and wiener Filters, 1484.7 Quadratic Loss Functions, 1494.8 Matrix Riccati Differential Equation. 1514.9 Matrix Riccati Equation In Discrete Time, 1654.10 Model equations for Transformed State Variables, 1704.11 Application of Kalman Filters, 1724.12 Summary, 177Problems. 1795 Optimal Smoothers5.1 Chapter Focus, 1835.2 Fixed-Interval Smoothing, 1895.3 Fixed-Lag Smoothing, 2005.4 Fixed-Point Smoothing, 2135.5 Summary, 220Problems. 226 Implementation Methods2256. 1 Chapter Focus, 2256.2 Computer Roundoff, 2276.3 Effects of roundoff errors on Kalman filters 2326.4 Factorization Methods for Square-Root Filtering, 2386. 5 Square-Root and UD Filters, 2616.6 Other Implementation Methods, 2756.7 Summary, 288Problems. 2897 Nonlinear Filtering2937.1 Chapter Focus, 2937.2 Quasilinear Filtering, 296CONTENTS7.3 Sampling Methods for Nonlinear Filtering, 3307.4 Summary, 345Problems. 3508 Practical Considerations3558.1 Chapter Focus. 3558.2 Detecting and Correcting Anomalous behavior, 3568.3 Prefiltering and Data Rejection Methods, 3798.4 Stability of Kalman Filters, 3828. 5 Suboptimal and reduced- Order Filters, 3838.6 Schmidt-Kalman Filtering, 3938.7 Memory, Throughput, and wordlength Requirements, 4038.8 Ways to Reduce Computational requirements 4098.9 Error Budgets and Sensitivity Analysis, 4148.10 Optimizing Measurement Selection Policies, 4198.11 Innovations analysis, 4248.12 Summary, 425Problems. 4269 Applications to Navigation4279.1 Chapter focus, 4279.2 Host vehicle dynamics, 4319.3 Inertial Navigation Systems(INS), 4359. 4 Global Navigation Satellite Systems(GNSS), 4659.5 Kalman Filters for GNSS. 4709.6 Loosely Coupled GNSS/INS Integration, 4889.7 Tightly Coupled GNSS /INS Integration, 4919. 8 Summary, 507Problems. 508Appendix A MATLAB Software511A 1 Notice. 511A 2 General System Requirements, 511A 3 CD Directory Structure, 512A 4 MATLAB Software for Chapter 2, 512A. 5 MATLAB Software for Chapter 3, 512A6 MATLAB Software for Chapter 4, 512A. 7 MATLAB Software for Chapter 5, 513A 8 MATLAB Software for Chapter 6, 513A 9 MATLAB Software for Chapter 7, 514A10 MATLAB Software for Chapter 8, 515A 11 MATLAB Software for Chapter 9, 515A 12 Other Sources of software 516CONTENAppendix b A Matrix Refresher519B. 1 Matrix Forms. 519B 2 Matrix Operations, 523B 3 Block matrix Formulas. 527B 4 Functions of Square Matrices, 531B 5 Norms. 538B6 Cholesky decomposition, 541B7 Orthogonal Decompositions of Matrices, 543B 8 Quadratic Forms, 545B 9 Derivatives of matrices. 546Bibliography549Index565PREFACEThis book is designed to provide familiarity with both the theoretical and practicalaspects of Kalman filtering by including real-world problems in practice as illustrativeexamples. The material includes the essential technical background for Kalman filter-ing and the more practical aspects of implementation: how to represent the problem ina mathematical model, analyze the performance of the estimator as a function ofsystem design parameters, implement the mechanization equations in numericallystable algorithms, assess its computational requirements, test the validity of resultsitor the filteThetant attributes ofthe subject that are often overlooked in theoretical treatments but are necessary forapplication of the theory to real-world problemsIn this third edition, we have included important developments in the implemen-tation and application of Kalman filtering over the past several years, including adaptations for nonlinear filtering, more robust smoothing methods, and develelopingapplications in navigationWe have also incorporated many helpful corrections and suggefrom ourreaders, reviewers, colleagues, and students over the past several years for theoverall improvement of the textbookAll software has been provided in MatLab so that users can take advantage ofits excellent graphing capabilities and a programming interface that is very close tothe mathematical equations used for defining Kalman filtering and its applicationsSee Appendix a for more information on MATLAB softwareThe inclusion of the software is practically a matter of necessity because Kalmanfiltering would not be very useful without computers to implement it. It provides aMATLAB is a registered trademark of The Mathworks, IncEFACEbetter learning experience for the student to discover how the Kalman filter works byobserving it in actionThe implementation of Kalman filtering on computers also illuminates some of thepractical considerations of finite-wordlength arithmetic and the need for alternativealgorithms to preserve the accuracy of the results. If the student wishes to applywhat she or he learns, then it is essential that she or he experience its workingsand failings--and learn to recognize the differenceThe book is organized as a text for an introductory course in stochastic processes atthe senior level and as a first-year graduate-level course in Kalman filtering theory andapplicationIt can also be used for self-instruction or for purposes of review by practi-cing engineers and scientists who are not intimately familiar with the subject. Theorganization of the material is illustrated by the following chapter-level dependencygraph, which shows how the subject of each chapter depends upon material in otherchapters. The arrows in the figure indicate the recommended order of study. Boxesabove another box and connected by arrows indicate that the material represented bythe upper boxes is background material for the subject in the lower boxAPPENDIX B: A MATRIX REFRESHERGENERAL INFORMATION2. LINEAR DYNAMIC SYSTEMSRANDOM PROCESSES AND STOCHASTIC SYSTEMS4. OPTIMAL LINEAR FILTERS AND PREDICTORS5. OPTIMAL SMOOTHERS6. IMPLEMENTATIONMETHODS7. NONLINEAR8. PRACTICAL9. APPLICATIONSFILTERINGCONSIDERATIONSTO NAVIGATIONAPPENDIX A: MATLAB SOFTWAREChapter l provides an informal introduction to the general subject matter by wayof its history of development and application. Chapters 2 and 3 and Appendix b coverthe essential background material on linear systems, probability, stochastic processesand modeling. These chapters could be covered in a senior-level course in electricalcomputer, and systems engineeringChapter 4 covers linear optimal filters and predictors, with detailed examples ofapplications. Chapter 5 is a new tutorial-level treatment of optimal smoothing
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matlab在数据包络分析中的应用及程序
系统的介绍了包络分析在实际中的应用，介绍了matlab进行包络分析的方法，并附有源程序供科研人员学习这是一个分式规划问题。若令则()可化为等价的线性规划问题:线性规划()的解和称为的最佳权向量,它们是使的效率值达到最大值的权向量。注意:作为线性规划的解,和不是唯一的义()若线性规划()的解满足:,则称为弱有效的;()若线性规划()的解中存在解并且则称为有效的。为了便于检验的有效性,一般考虑()的对偶模型的等式形式(带有松弛变量目具有非阿基米德无穷小)∑∑其中是项输入的松弛变量是项输出的松弛变量;是个的组合系数;;是个很小的止数(般取)。定理设线性规划(的最优解为则()若为弱有效()的;()若且则为有效()的程序由上一节知,要计算一个的相对效率值并讨论其(弱)有效性,须解一个线性规划若要计算所有的相对效率值,则须解个线性规划,其计算量比较大,一般须利用计算机进行计算。我们利用数学软件编写了解模型()和(的程序,比较方便地解决了的计算量大和计算复杂的问题是由公司用语言编写的著名的工程数学应用软件。它自牛推向市场以来,历经十几年的发展和竞争,现已成为国际认可的最优化的科技应用软件。目前,口经成为世界上诸多科技领域的基本应用软件。在国内、外的很多高等院校和科研机构已经十分普及。熟练地运用已成为晑校师生及科研人员的基本技能强大的矩阵运算能力和方便、直观的编程功能是我们选择它作为编写应用程序的原因。诚然,或是解线性规划问题的专业软件,但它们缺乏方便的编程功能和矩阵输入功能,在解一系列线性规划时,它们不如方便。此外,它们的普及程度远不如因此,我们认为是编写应用程序的最佳软件之一。所解的线性规划的标准形式是板小化问题:其中,是变量,是目标函数的系数向量,是不等式约枣的系数矩阵,是等式约束的系数矩阵,和分别是变量的下界和上界解线性规划()的语句为如果要解极大化问题,只须解极小化问题卜面,我们给出模型和(的程序。程序模型的程序)用户输入多指标输入矩阵用户输入多指标输出矩阵解线性规划,得的最佳权向量求出的相对效率值输出最佳权向量输出相对效率值输出投入权向量输出产出权向量程序模型(的程序)用户输入多指标输入矩阵用户输入多指标输出矩阵定义非阿基米德无穷小解线性规划,得的最佳权向量输出最佳权向量输出输出输出输出以上两个程序十分便于使用。用户只须输入多指标输入矩阵和输出矩阵,目可得到所需的结果。程序的应用设有某大学的同类型的五个系在一学年内的投入和产出的数据如下投教职工(人)教职工工资(万元)入运转经费(万元)毕业的本科生:(人)毕业的研究生(人)出发表的论文(篇)完成的科研项目(项)其中,运转经费指一学年內维持该系正常运转的各和费用,如行政小公费、图书资料费、差旅费等等。由程序,得到各系的相对效率值:以及各项投入和产出的权向量中定义,和至少是弱有效的和是非弱有效的。为了确认和的有效性并分析和非有效的原因,须利用模型(。由程序,得本问题的解:由以上解可看出:和的解中且松弛变量故由定理知,这几个系是相对有效的。和的非有效性也可以在以上解中看得一清二楚。以为例,根据有效性的经济意义,在不减少各项输出的前提下,构造一个新的投入的投入按比例减少到原投入的)倍,)并且(由非零的松弛变量可知)还可以进一步减少教职工工资万元、减少运转费用万元、多培养本科生人多完成项科研项目。对的非有效性可作类似的经济解释。结束语本文利用数学软件编写了便于使用的的计算程序,使计算量大和计算复杂的问题得到较好的解决。本文只对的模型进行了讨论。对于的另一个重要模型一模型,只须在模型(。中增加约東条件∑A,程序作相应的修攻即可。本文的程序为的理论研究和实际应用提供了方便、快捷的计算工具。参考文献:魏权龄评价相对有效性的方法北京:中国人民大学出版社盛旧瀚等里论、方法与应用北京:科学出版社,许波,刘征工程数学应用北京:清华大学出版社,
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