卡尔曼滤波器的核心内容就是5条公式,计算简单快速,适合用于少量数据的预测和估计。
下面我们用一个例子来说明一下卡尔曼算法的应用。
假设我们想在有一辆小车,在 t 时刻其速度为 Vt ,位置坐标为 Pt,ut 表示 t 时刻的加速度,那么我们可以用Xt表示 t 时刻的状态,如下:
则我们可以得到,由t-1 时刻到 t 时刻,位置以及速度的转换如下:
用向量表示上述转换过程,如下:
如下图:
那么我们可以得到如下的状态转移公式:
(1)
其中矩阵 F 为状态转移矩阵,表示如何从上一状态来推测当前时刻的状态,B 为控制矩阵,表示控制量u如何作用于当前矩阵,上面的公式 x 有顶帽子,表示只是估计值,并不是最优的。
有了状态转移公式就可以用来推测当前的状态,但是所有的推测都是包含噪声的,噪声越大,不确定越大,协方差矩阵用来表示这次推测带来的不确定性
协方差矩阵
假设我们有一个一维的数据,这个数据每次测量都不同,我们假设服从高斯分布,那么我们可以用均值和方差来表示该数据集,我们将该一维数据集投影到坐标轴上,如下图:
可以看到,服从高斯分布的一维数据大部分分布在均值附近。
现在我们来看看服从高斯分布的二维数据投影到坐标轴的情况,如下图:
二维数据比一维数据稍微复杂一点,投影后有3种情况,分别是:
左图:两个维的数据互不相关;
中图:两个维的数据正相关,也就是 y 随着 x 的增大而增大(假设两个维分别为 x 和 y)
右图:两个维的数据负相关,也就是 y 随着 x 的增大而减小。
那怎么来表示两个维的数据的相关性呢?答案就是协方差矩阵。
状态协方差矩阵传递
在公式(1)之中,我们已经得到了状态的转移公式,但是由上面可知,二维数据的协方差矩阵对于描述数据的特征是很重要的,那么我们应该如何更新或者说传递我们的二维数据的协方差矩阵呢?假如我们用 P 来表示状态协方差,即
那么加入状态转换矩阵 F ,得到
(2)
也即:
因此我们便得到了协方差的转换公式。
现在我们得到了两个公式,运用这两个公式能够对现在状态进行预测。按照我们的正常思路来理解,预测结果不一定会对嘛,肯定有误差。而且在我们大多数回归算法或者是拟合算法中,一般思路都是先预测,然后看看这个预测结果跟实际结果的误差有多大,再根据这个误差来调整预测函数的参数,不断迭代调整参数直到预测误差小于一定的阈值。
卡尔曼算法的迭代思想也类似,不过这里根据误差调整的是状态 X 。
在这里,我们的实际数据就是 Z, 如下图:
其中,矩阵 H 为测量系统的参数,即观察矩阵,v 为观测噪声, 其协方差矩阵为R
那么我们的状态更新公式如下:
其中K 为卡尔曼系数, Z-Hx 则为残差,也就是我们说的,预测值与实际值的误差。
K的作用:
1.K 权衡预测协方差P和观察协方差矩阵R那个更加重要,相信预测,残差的权重小,相信观察,残差权重大,由 K 的表达是可以退出这个结论
2,将残差的表现形式从观察域转换到状态域(残差与一个标量,通过K 转换为向量),由 状态 X 的更新公式可得到该结论。
至此,我们已经得到了 t 状态下的最优估计值 Xt。但为了能让我们的迭代算法持续下去,我们还必须更新状态协方差的值。
状态协方差的更新
以上就是卡尔曼滤波算法的思想,只有简单的 5 条公式,总结如下:
Matlab 实现
<code class="language-matlab hljs has-numbering" style="display: block; padding: 0px; color: inherit; box-sizing: border-box; font-family: 'Source Code Pro', monospace;font-size:undefined; white-space: pre; border-radius: 0px; word-wrap: normal; background: transparent;"><span class="hljs-function" style="box-sizing: border-box;"><span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">function</span> <span class="hljs-title" style="box-sizing: border-box;">kalmanFiltering</span></span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%%</span> clc close all <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% Description : kalmanFiltering</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% Author : Liulongpo</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% Time:2015-4-29 16:42:34</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%%</span> Z=(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>:<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>:<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">200</span>); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%观测值 汽车的位置 也就是我们要修改的量</span> noise=<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">randn</span>(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">100</span>); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%方差为1的高斯噪声</span> Z=Z+noise; X=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> ; <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> ]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%初始状态</span> P=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span>;<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%状态协方差矩阵</span> F=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>;<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%状态转移矩阵</span> Q=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0.0001</span>,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span>;<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> , <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0.0001</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%状态转移协方差矩阵</span> H=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%观测矩阵</span> R=<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%观测噪声方差</span> figure; hold on; <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">for</span> <span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span> = <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>:<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">100</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%基于上一状态预测当前状态 </span> X_ = F*X; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 更新协方差 Q系统过程的协方差 这两个公式是对系统的预测</span> P_ = F*P*<span class="hljs-transposed_variable" style="box-sizing: border-box;">F'</span>+Q; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 计算卡尔曼增益</span> K = P_*<span class="hljs-transposed_variable" style="box-sizing: border-box;">H'</span>/(H*P_*<span class="hljs-transposed_variable" style="box-sizing: border-box;">H'</span>+R); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 得到当前状态的最优化估算值 增益乘以残差</span> X = X_+K*(Z(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>)-H*X_); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%更新K状态的协方差</span> P = (<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">eye</span>(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>)-K*H)*P_; scatter(X(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>), X(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>),<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">4</span>); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%画点,横轴表示位置,纵轴表示速度</span> <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">end</span> <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">end</span> </code><ul class="pre-numbering" style="box-sizing: border-box; position: absolute; width: 50px; top: 0px; left: 0px; margin: 0px; padding: 6px 0px 40px; border-right-width: 1px; border-right-style: solid; border-right-color: rgb(221, 221, 221); list-style: none; text-align: right; background-color: rgb(238, 238, 238);"><li style="box-sizing: border-box; padding: 0px 5px;">1</li><li style="box-sizing: border-box; padding: 0px 5px;">2</li><li style="box-sizing: border-box; padding: 0px 5px;">3</li><li style="box-sizing: border-box; padding: 0px 5px;">4</li><li style="box-sizing: border-box; padding: 0px 5px;">5</li><li style="box-sizing: border-box; padding: 0px 5px;">6</li><li style="box-sizing: border-box; padding: 0px 5px;">7</li><li style="box-sizing: border-box; padding: 0px 5px;">8</li><li style="box-sizing: border-box; padding: 0px 5px;">9</li><li style="box-sizing: border-box; padding: 0px 5px;">10</li><li style="box-sizing: border-box; padding: 0px 5px;">11</li><li style="box-sizing: border-box; padding: 0px 5px;">12</li><li style="box-sizing: border-box; padding: 0px 5px;">13</li><li style="box-sizing: border-box; padding: 0px 5px;">14</li><li style="box-sizing: border-box; padding: 0px 5px;">15</li><li style="box-sizing: border-box; padding: 0px 5px;">16</li><li style="box-sizing: border-box; padding: 0px 5px;">17</li><li style="box-sizing: border-box; padding: 0px 5px;">18</li><li style="box-sizing: border-box; padding: 0px 5px;">19</li><li style="box-sizing: border-box; padding: 0px 5px;">20</li><li style="box-sizing: border-box; padding: 0px 5px;">21</li><li style="box-sizing: border-box; padding: 0px 5px;">22</li><li style="box-sizing: border-box; padding: 0px 5px;">23</li><li style="box-sizing: border-box; padding: 0px 5px;">24</li><li style="box-sizing: border-box; padding: 0px 5px;">25</li><li style="box-sizing: border-box; padding: 0px 5px;">26</li><li style="box-sizing: border-box; padding: 0px 5px;">27</li><li style="box-sizing: border-box; padding: 0px 5px;">28</li><li style="box-sizing: border-box; padding: 0px 5px;">29</li><li style="box-sizing: border-box; padding: 0px 5px;">30</li><li style="box-sizing: border-box; padding: 0px 5px;">31</li><li style="box-sizing: border-box; padding: 0px 5px;">32</li><li style="box-sizing: border-box; padding: 0px 5px;">33</li><li style="box-sizing: border-box; padding: 0px 5px;">34</li><li style="box-sizing: border-box; padding: 0px 5px;">35</li><li style="box-sizing: border-box; padding: 0px 5px;">36</li><li style="box-sizing: border-box; padding: 0px 5px;">37</li><li style="box-sizing: border-box; padding: 0px 5px;">38</li><li style="box-sizing: border-box; padding: 0px 5px;">39</li><li style="box-sizing: border-box; padding: 0px 5px;">40</li></ul>
效果如下
其中 x 轴为位置,y轴为速度。
在代码中,我们设定x的变化是 1:2:200,则速度就是2,可以由上图看到,值经过几次迭代,速度就基本上在 2 附近摆动,摆动的原因是我们加入了噪声。
接下来来看一个实际例子。
我们的数据为 data = [149.360 , 150.06, 151.44, 152.81,154.19 ,157.72];
这是运用光流法从视频中获取角点的实际x轴坐标,总共有6个数据,也就是代表了一个点的连续6帧的x轴坐标。接下来这个例子,我们将实现用5帧的数据进行训练,然后预测出第6帧的x轴坐标。
在上一个matlab例子中,我们的训练数据比较多,因此我们的初始状态设置为[0,0],也就是位置为0,速度为0,在训练数据比较多的情况下,初始化数据为0并没有关系,因为我们在上面的效果图中可以看到,算法的经过短暂的迭代就能够发挥作用。
但在这里,我们的训练数据只有5帧,所以为了加快训练,我们将位置状态初始化为第一帧的位置,速度初始化为第二帧与第一帧之差。
代码如下:
KF.m
<code class="language-matlab hljs has-numbering" style="display: block; padding: 0px; color: inherit; box-sizing: border-box; font-family: 'Source Code Pro', monospace;font-size:undefined; white-space: pre; border-radius: 0px; word-wrap: normal; background: transparent;"><span class="hljs-function" style="box-sizing: border-box;"><span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">function</span> <span class="hljs-params" style="color: rgb(102, 0, 102); box-sizing: border-box;">[predData,dataX]</span> = <span class="hljs-title" style="box-sizing: border-box;">KF</span><span class="hljs-params" style="color: rgb(102, 0, 102); box-sizing: border-box;">(dataZ)</span></span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% Description : kalmanFiltering</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% Author : Liulongpo</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% Time:2015-4-29 16:42:34</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%%</span> Z = <span class="hljs-transposed_variable" style="box-sizing: border-box;">dataZ'</span>; len = <span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">length</span>(Z); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%Z=(1:2:200); %观测值 汽车的位置 也就是我们要修改的量</span> noise=<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">randn</span>(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,len); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%方差为1的高斯噪声</span> dataX = <span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">zeros</span>(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>,len); Z=Z+noise; X=<span class="hljs-matrix" style="box-sizing: border-box;">[Z(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>) ; Z(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>)-Z(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>) ]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%初始状态 分别为 位置 和速度</span> P=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span>;<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%状态协方差矩阵</span> F=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>;<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%状态转移矩阵</span> Q=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0.0001</span>,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span>;<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span> , <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0.0001</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%状态转移协方差矩阵</span> H=<span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">0</span>]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%观测矩阵</span> R=<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%观测噪声方差</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%figure;</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%hold on;</span> <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">for</span> <span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span> = <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>:len <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%基于上一状态预测当前状态 </span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 2x1 2x1</span> X_ = F*X; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 更新协方差 Q系统过程的协方差 这两个公式是对系统的预测</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 2x1 2x1 1x2 2x2</span> P_ = F*P*<span class="hljs-transposed_variable" style="box-sizing: border-box;">F'</span>+Q; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 计算卡尔曼增益</span> K = P_*<span class="hljs-transposed_variable" style="box-sizing: border-box;">H'</span>/(H*P_*<span class="hljs-transposed_variable" style="box-sizing: border-box;">H'</span>+R); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">% 得到当前状态的最优化估算值 增益乘以残差</span> X = X_+K*(Z(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>)-H*X_); <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%更新K状态的协方差</span> P = (<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">eye</span>(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>)-K*H)*P_; dataX(:,<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>) = <span class="hljs-matrix" style="box-sizing: border-box;">[X(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>);X(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">2</span>)]</span>; <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%scatter(X(1), X(2),4); %画点,横轴表示位置,纵轴表示速度</span> <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">end</span> predData = F*X; <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">end</span></code><ul class="pre-numbering" style="box-sizing: border-box; position: absolute; width: 50px; top: 0px; left: 0px; margin: 0px; padding: 6px 0px 40px; border-right-width: 1px; border-right-style: solid; border-right-color: rgb(221, 221, 221); list-style: none; text-align: right; background-color: rgb(238, 238, 238);"><li style="box-sizing: border-box; padding: 0px 5px;">1</li><li style="box-sizing: border-box; padding: 0px 5px;">2</li><li style="box-sizing: border-box; padding: 0px 5px;">3</li><li style="box-sizing: border-box; padding: 0px 5px;">4</li><li style="box-sizing: border-box; padding: 0px 5px;">5</li><li style="box-sizing: border-box; padding: 0px 5px;">6</li><li style="box-sizing: border-box; padding: 0px 5px;">7</li><li style="box-sizing: border-box; padding: 0px 5px;">8</li><li style="box-sizing: border-box; padding: 0px 5px;">9</li><li style="box-sizing: border-box; padding: 0px 5px;">10</li><li style="box-sizing: border-box; padding: 0px 5px;">11</li><li style="box-sizing: border-box; padding: 0px 5px;">12</li><li style="box-sizing: border-box; padding: 0px 5px;">13</li><li style="box-sizing: border-box; padding: 0px 5px;">14</li><li style="box-sizing: border-box; padding: 0px 5px;">15</li><li style="box-sizing: border-box; padding: 0px 5px;">16</li><li style="box-sizing: border-box; padding: 0px 5px;">17</li><li style="box-sizing: border-box; padding: 0px 5px;">18</li><li style="box-sizing: border-box; padding: 0px 5px;">19</li><li style="box-sizing: border-box; padding: 0px 5px;">20</li><li style="box-sizing: border-box; padding: 0px 5px;">21</li><li style="box-sizing: border-box; padding: 0px 5px;">22</li><li style="box-sizing: border-box; padding: 0px 5px;">23</li><li style="box-sizing: border-box; padding: 0px 5px;">24</li><li style="box-sizing: border-box; padding: 0px 5px;">25</li><li style="box-sizing: border-box; padding: 0px 5px;">26</li><li style="box-sizing: border-box; padding: 0px 5px;">27</li><li style="box-sizing: border-box; padding: 0px 5px;">28</li><li style="box-sizing: border-box; padding: 0px 5px;">29</li><li style="box-sizing: border-box; padding: 0px 5px;">30</li><li style="box-sizing: border-box; padding: 0px 5px;">31</li><li style="box-sizing: border-box; padding: 0px 5px;">32</li><li style="box-sizing: border-box; padding: 0px 5px;">33</li><li style="box-sizing: border-box; padding: 0px 5px;">34</li><li style="box-sizing: border-box; padding: 0px 5px;">35</li><li style="box-sizing: border-box; padding: 0px 5px;">36</li><li style="box-sizing: border-box; padding: 0px 5px;">37</li><li style="box-sizing: border-box; padding: 0px 5px;">38</li><li style="box-sizing: border-box; padding: 0px 5px;">39</li><li style="box-sizing: border-box; padding: 0px 5px;">40</li><li style="box-sizing: border-box; padding: 0px 5px;">41</li></ul>
testKF.m
<code class="language-matlab hljs has-numbering" style="display: block; padding: 0px; color: inherit; box-sizing: border-box; font-family: 'Source Code Pro', monospace;font-size:undefined; white-space: pre; border-radius: 0px; word-wrap: normal; background: transparent;"><span class="hljs-function" style="box-sizing: border-box;"><span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">function</span> <span class="hljs-title" style="box-sizing: border-box;">testKF</span></span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%% </span> clc close all <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%%</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%data = load('D:\\a.txt');</span> <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%data = [149.360 , 150.06, 151.44, 152.81,154.19,157.72,157.47,159.33,153.66];</span> data = <span class="hljs-matrix" style="box-sizing: border-box;">[<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">149.360</span> , <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">150.06</span>, <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">151.44</span>, <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">152.81</span>,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">154.19</span> ,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">157.72</span>]</span>; <span class="hljs-matrix" style="box-sizing: border-box;">[predData , DataX]</span> = KF(<span class="hljs-transposed_variable" style="box-sizing: border-box;">data'</span>); error = DataX(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,:) - data; <span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span> = <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>:<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">length</span>(data); figure subplot <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">311</span> scatter(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>,data,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">3</span>),title(<span class="hljs-string" style="color: rgb(0, 136, 0); box-sizing: border-box;">'原始数据'</span>) subplot <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">312</span> scatter(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>,DataX(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,:),<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">3</span>),title(<span class="hljs-string" style="color: rgb(0, 136, 0); box-sizing: border-box;">'预测数据'</span>) subplot <span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">313</span> scatter(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>,error,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">3</span>),title(<span class="hljs-string" style="color: rgb(0, 136, 0); box-sizing: border-box;">'预测误差'</span>) predData(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>) <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%{</span> scatter(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>,error,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">3</span>); figure scatter(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>,data,<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">3</span>) figure scatter(<span class="hljs-built_in" style="color: rgb(102, 0, 102); box-sizing: border-box;">i</span>,predData(<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">1</span>,:),<span class="hljs-number" style="color: rgb(0, 102, 102); box-sizing: border-box;">3</span>) <span class="hljs-comment" style="color: rgb(136, 0, 0); box-sizing: border-box;">%}</span> <span class="hljs-keyword" style="color: rgb(0, 0, 136); box-sizing: border-box;">end</span></code><ul class="pre-numbering" style="box-sizing: border-box; position: absolute; width: 50px; top: 0px; left: 0px; margin: 0px; padding: 6px 0px 40px; border-right-width: 1px; border-right-style: solid; border-right-color: rgb(221, 221, 221); list-style: none; text-align: right; background-color: rgb(238, 238, 238);"><li style="box-sizing: border-box; padding: 0px 5px;">1</li><li style="box-sizing: border-box; padding: 0px 5px;">2</li><li style="box-sizing: border-box; padding: 0px 5px;">3</li><li style="box-sizing: border-box; padding: 0px 5px;">4</li><li style="box-sizing: border-box; padding: 0px 5px;">5</li><li style="box-sizing: border-box; padding: 0px 5px;">6</li><li style="box-sizing: border-box; padding: 0px 5px;">7</li><li style="box-sizing: border-box; padding: 0px 5px;">8</li><li style="box-sizing: border-box; padding: 0px 5px;">9</li><li style="box-sizing: border-box; padding: 0px 5px;">10</li><li style="box-sizing: border-box; padding: 0px 5px;">11</li><li style="box-sizing: border-box; padding: 0px 5px;">12</li><li style="box-sizing: border-box; padding: 0px 5px;">13</li><li style="box-sizing: border-box; padding: 0px 5px;">14</li><li style="box-sizing: border-box; padding: 0px 5px;">15</li><li style="box-sizing: border-box; padding: 0px 5px;">16</li><li style="box-sizing: border-box; padding: 0px 5px;">17</li><li style="box-sizing: border-box; padding: 0px 5px;">18</li><li style="box-sizing: border-box; padding: 0px 5px;">19</li><li style="box-sizing: border-box; padding: 0px 5px;">20</li><li style="box-sizing: border-box; padding: 0px 5px;">21</li><li style="box-sizing: border-box; padding: 0px 5px;">22</li><li style="box-sizing: border-box; padding: 0px 5px;">23</li><li style="box-sizing: border-box; padding: 0px 5px;">24</li><li style="box-sizing: border-box; padding: 0px 5px;">25</li><li style="box-sizing: border-box; padding: 0px 5px;">26</li><li style="box-sizing: border-box; padding: 0px 5px;">27</li><li style="box-sizing: border-box; padding: 0px 5px;">28</li></ul>
效果如下:
预测结果为: 155.7493 ,跟实际结果 157.72 仅有1.9 的误差,可以看到,卡尔曼滤波器算法对于少量数据的预测效果还是挺不错的。当然,预测位置的同时,我们也得到了预测速度。