The background break

Before we tackle the multidimensional Kalman Filter, we'll need to review some essential math topics:

  • Matrix operations
  • Covariance and covariance matrices
  • Expectation algebra

If you are familiar with these topics, you can jump to the next chapter.

References

Matrix operations

All you need to know is basic terms and operations such as:

  • Vector and matrix addition and multiplication
  • Matrix Transpose
  • Matrix Inverse (you don’t need to invert matrices by yourself, you just need to know what the inverse of the matrix is)
  • Symmetric Matrix

There are numerous Linear Algebra textbooks and web tutorials that cover these topics.

Covariance and covariance matrix

You can find a good tutorial on this topic on the visiondummy site:

https://www.visiondummy.com/2014/04/geometric-interpretation-covariance-matrix/

Expectation algebra

I am going to extensively use the expectation algebra rules for Kalman Filter equations derivations. If you are interested in understanding the derivations, you need to master expectation algebra.

You already know what a random variable is and what an expected value (or expectation) is. If not, please read the previous background break page.

Basic expectation rules

The expectation is denoted by the capital letter \( E \).

The expectation of the random variable \( E(X) \) equals the mean of the random variable:

\[ E(X) = \mu_{X} \]
where \( \mu_{X} \) is the mean of the random variable.

Here are some basic expectation rules:

Rule Notes
1 \( E(X) = \mu_{X} = \Sigma xp(x) \) \( p(x) \) is the probability of \( x \) (discrete case)
2 \( E(a) = a \) \( a \) is constant
3 \( E(aX) = aE(X) \) \( a \) is constant
4 \( E(a \pm X) = a \pm E(X) \) \( a \) is constant
5 \( E(a \pm bX) = a \pm bE(X) \) \( a \) and \( b \) are constant
6 \( E(X \pm Y) = E(X) \pm E(Y) \) \( Y \) is another random variable
7 \( E(XY) = E(X)E(Y) \) if \( X \) and \( Y \) are independent

Variance and Covariance expectation rules

The following table includes the variance and covariance expectation rules.

Rule Notes
8 \( V(a) = 0 \) \( V(a) \) is the variance of \( a \)
\( a \) is constant
9 \( V(a \pm X) = V(X) \) \( V(X) \) is the variance of \( X \)
\( a \) is constant
10 \( V(X) = E(X^{2}) - \mu_{X}^{2} \) \( V(X) \) is the variance of \( X \)
11 \( COV(X,Y) = E(XY) - \mu_{X}\mu_{Y} \) \( COV(X,Y) \) is a covariance of \( X \) and \( Y \)
12 \( COV(X,Y) = 0 \) if \( X \) and \( Y \) are independent
13 \( V(aX) = a^{2}V(X) \) \( a \) is constant
14 \( V(X \pm Y) = V(X) + V(Y) \pm 2COV(X,Y) \)
15 \( V(XY) \neq V(X)V(Y) \)

The variance and covariance expectation rules are not straightforward. I will prove some of them.

Rule 8

\[ V(a) = 0 \]

A constant does not vary, so the variance of a constant is 0.

Rule 9

\[ V(a \pm X) = V(X) \]

Adding a constant to the variable does not change its variance.

Rule 10

\[ V(X) = E(X^{2}) - \mu_{X}^{2} \]

The proof:

Notes
\( V(X) = \sigma_{X}^2 = E((X - \mu_{X})^2) = \)
\( E(X^2 -2X\mu_{X} + \mu_{X}^2) = \)
\( E(X^2) - E(2X\mu_{X}) + E(\mu_{X}^2) = \) Applied rule number 5: \( E(a \pm bX) = a \pm bE(X) \)
\( E(X^2) - 2\mu_{X}E(X) + E(\mu_{X}^2) = \) Applied rule number 3: \( E(aX) = aE(X) \)
\( E(X^2) - 2\mu_{X}E(X) + \mu_{X}^2 = \) Applied rule number 2: \( E(a) = a \)
\( E(X^2) - 2\mu_{X}\mu_{X} + \mu_{X}^2 = \) Applied rule number 1: \( E(X) = \mu_{X} \)
\( E(X^2) - \mu_{X}^2 \)

Rule 11

\[ COV(X,Y) = E(XY) - \mu_{X}\mu_{Y} \]

The proof:

Notes
\( COV(X,Y) = E((X - \mu_{X})(Y - \mu_{Y}) \) =
\( E(XY - X \mu_{Y} - Y \mu_{X} + \mu_{X}\mu_{Y}) = \)
\( E(XY) - E(X \mu_{Y}) - E(Y \mu_{X}) + E(\mu_{X}\mu_{Y}) = \) Applied rule number 6: \( E(X \pm Y) = E(X) \pm E(Y) \)
\( E(XY) - \mu_{Y} E(X) - \mu_{X} E(Y) + E(\mu_{X}\mu_{Y}) = \) Applied rule number 3: \( E(aX) = aE(X) \)
\( E(XY) - \mu_{Y} E(X) - \mu_{X} E(Y) + \mu_{X}\mu_{Y} = \) Applied rule number 2: \( E(a) = a \)
\( E(XY) - \mu_{Y} \mu_{X} - \mu_{X} \mu_{Y} + \mu_{X}\mu_{Y} = \) Applied rule number 1: \( E(X) = \mu_{X} \)
\( E(XY) - \mu_{X}\mu_{Y} \)

Rule 13

\[ V(aX) = a^{2}V(X) \]

The proof:

Notes
\( V(K) = \sigma_{K}^2 = E(K^{2}) - \mu_{K}^2 \)
\( K = aX \)
\( V(K) = V(aX) = E((aX)^{2} ) - (a \mu_{X})^{2} = \) Substitute \( K \) by \( aX \)
\( E(a^{2}X^{2}) - a^{2} \mu_{X}^{2} = \)
\( a^{2}E(X^{2}) - a^{2}\mu_{X}^{2} = \) Applied rule number 3: \( E(aX) = aE(X) \)
\( a^{2}(E(X^{2}) - \mu_{X}^{2}) = \)
\( a^{2}V(X) \) Applied rule number 10: \( V(X) = E(X^{2}) - \mu_{X}^2 \)

For constant velocity motion:

\[ V(x) = \Delta t^{2}V(v) \] or \[ \sigma_{x}^2 = \Delta t^{2}\sigma_{v}^2 \]
Where:
\( x \) is the displacement of the body
\( v \) is the velocity of the body
\( \Delta t \) is the time interval

Rule 14

\[ V(X \pm Y) = V(X) + V(Y) \pm 2COV(X,Y) \]

The proof:

Notes
\( V(X \pm Y) = \)
\( E((X \pm Y)^{2}) - (\mu_{X} \pm \mu_{Y})^{2} = \) Applied rule number 10: \( V(X) = E(X^{2}) - \mu_{X}^2 \)
\( E(X^{2} \pm 2XY + Y^{2}) - (\mu_{X}^2 \pm 2\mu_{X}\mu_{Y} + \mu_{y}^2) = \)
\( \color{red}{E(X^{2}) - \mu_{X}^2} + \color{blue}{E(Y^{2}) - \mu_{Y}^2} \pm 2(E(XY) - \mu_{X}\mu_{Y} ) = \) Applied rule number 6: \( E(X \pm Y) = E(X) \pm E(Y) \)
\( \color{red}{V(X)} + \color{blue}{V(Y)} \pm 2(E(XY) - \mu_{X}\mu_{Y} ) = \) Applied rule number 10: \( V(X) = E(X^{2}) - \mu_{X}^2 \)
\( V(X) + V(Y) \pm 2COV(X,Y) \) Applied rule number 11: \( COV(X,Y) = E(XY) - \mu_{X}\mu_{Y} \)

Covariance matrix and expectation

Assume vector \( \boldsymbol{x} \) with \( k \) elements:

\[ \boldsymbol{x} = \left[ \begin{matrix} x_{1}\\ x_{2}\\ \vdots \\ x_{k}\\ \end{matrix} \right] \]

The covariance matrix of the vector \( \boldsymbol{x} \) is given by:

\[ COV(\boldsymbol{x}) = E \left( \left( \boldsymbol{x - \mu_{x}} \right) \left( \boldsymbol{x - \mu_{x}} \right)^{T} \right) \]

The proof:

\[ COV(\boldsymbol{x}) = E \left( \left[ \begin{matrix} (x_{1} - \mu_{x_{1}})^{2} & (x_{1} - \mu_{x_{1}})(x_{2} - \mu_{x_{2}}) & \cdots & (x_{1} - \mu_{x_{1}})(x_{k} - \mu_{x_{k}}) \\ (x_{2} - \mu_{x_{2}})(x_{1} - \mu_{x_{1}}) & (x_{2} - \mu_{x_{2}})^{2} & \cdots & (x_{2} - \mu_{x_{2}})(x_{k} - \mu_{x_{k}}) \\ \vdots & \vdots & \ddots & \vdots \\ (x_{k} - \mu_{x_{k}})(x_{1} - \mu_{x_{1}}) & (x_{k} - \mu_{x_{k}})(x_{2} - \mu_{x_{2}}) & \cdots & (x_{k} - \mu_{x_{k}})^{2} \\ \end{matrix} \right] \right) = \]

\[ = E \left( \left[ \begin{matrix} (x_{1} - \mu_{x_{1}}) \\ (x_{2} - \mu_{x_{2}}) \\ \vdots \\ (x_{k} - \mu_{x_{k}}) \\ \end{matrix} \right] \left[ \begin{matrix} (x_{1} - \mu_{x_{1}}) & (x_{2} - \mu_{x_{2}}) & \cdots & (x_{k} - \mu_{x_{k}}) \end{matrix} \right] \right) = \]

\[ = E \left( \left( \boldsymbol{x - \mu_{x}} \right) \left( \boldsymbol{x - \mu_{x}} \right)^{T} \right) \]

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