1. Probabilistic Robotics
Bayes Filter Implementations
Gaussian filters

2. Kalman Filter Localization

3. Bayes Filter Reminder h=0 If d is a perceptual data item z then
Algorithm Bayes_filter( Bel(x),d ):
h=0
If d is a perceptual data item z then
For all x do
Else if d is an action data item u then
Return Bel’(x)

4. Bayes Filter Reminder
Prediction
Correction

5. Kalman Filter Bayes filter with Gaussians Developed in the late 1950's
Most relevant Bayes filter variant in practice
Applications range from economics, wheather forecasting, satellite navigation to robotics and many more.
The Kalman filter "algorithm" is a couple of matrix multiplications!

6. Gaussians -s s m
Univariate m
Multivariate

7. Gaussians 1D 3D 2D
Video

8. Properties of Gaussians
Univariate
Multivariate
We stay in the “Gaussian world” as long as we start with Gaussians and perform only linear transformations

9. Introduction to Kalman Filter (1)
Two measurements no dynamics
Weighted least-square
Finding minimum error
After some calculation and rearrangements
Another way to look at it – weigthed mean

10. Discrete Kalman Filter
Estimates the state x of a discrete-time controlled process that is governed by the linear stochastic difference equation
with a measurement
Matrix (nxn) that describes how the state evolves from t to t-1 without controls or noise.
Matrix (nxl) that describes how the control ut changes the state from t to t-1.
Matrix (kxn) that describes how to map the state xt to an observation zt.
Random variables representing the process and measurement noise that are assumed to be independent and normally distributed with covariance Rt and Qt respectively.

11. Kalman Filter Updates in 1D
prediction
measurement
correction
It's a weighted mean!

12. Kalman Filter Updates in 1D

13. Kalman Filter Updates in 1D

14. Kalman Filter Updates

15. Linear Gaussian Systems: Initialization
Initial belief is normally distributed:

16. Linear Gaussian Systems: Dynamics
Dynamics are linear function of state and control plus additive noise:

17. Linear Gaussian Systems: Dynamics
This equation can be derived by just looking at the linear function of a Gaussian (ax+bu) and a convolution of two Gaussians

18. Linear Gaussian Systems: Observations
Observations are linear function of state plus additive noise:

19. Linear Gaussian Systems: Observations
Just the multiplication of two Gaussians (ignore c matrix to make it easier
To derive mean, multiply K = sigma / sigma * q into the equation, expand the left mean by sigma + q / sigma + q
To derive variance, same approach: expand left sigma with sigma + q / sigma + q

20. Kalman Filter Algorithm
Algorithm Kalman_filter( mt-1, St-1, ut, zt):
Prediction:
Correction:
Return mt, St

21. Kalman Filter Algorithm

22. Kalman Filter Algorithm
Prediction
Observation
Correction
Matching

23. The Prediction-Correction-Cycle

24. The Prediction-Correction-Cycle

25. The Prediction-Correction-Cycle

26. Kalman Filter Summary
Highly efficient: Polynomial in measurement dimensionality k and state dimensionality n: O(k n2)
Optimal for linear Gaussian systems!
Most robotics systems are nonlinear!

27. Nonlinear Dynamic Systems
Most realistic robotic problems involve nonlinear functions
To be continued