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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(师汉民)机械振动系统_上
(师汉民)机械振动系统_上,优秀研究生教程内容简介本书讲述现代振动工程中有关振动系统的分析测试建模与对策方面的基础理论、基本知识以及常用的方法和技巧。全书分上下两册,上册(基础篇)包括单自由度与多自由度系统振动的基础知识随机激励下的振动振动系统的测试辨识与建模振动的抑制与利用;下册(深化篇)包括分析动力学基础,多自由度系统振动分析的常用方法连续系统与非线性系统的振动,工程中的自激振动以及振动问题分析求解的计算方法本书注意联系工程实际,可作为机械类专业硕士研究生教材;其中上册也可作为本科生教材使用。此外,本书还可供工程技术人员参考AbstractThe fundamental theory, basic knowledge and the methodsand techniques most in use for analysing, measuring, testingmodeling and controlling vibration systems in modern vibrationengineering are discussed in this book. The book is devided intotwo volumes. the first volume(fundamental one) consists of ba-sic knowledge about the vibration of single-or multidegree-offreedom systems, vibration induced by random excitation, vibration measuring, testing, identifying and modeling, vibration suppression and vibration application, the second volume (deepen-ing one) is devoted to elements of analytical dynamics, the methods in common use for analysing vibration in multi-degree-of-freedom systems, vibration of continuous and non-linear systems, self-excited vibration in engineering and computation techniques for vibration problem solvingPaying attention to integrating theory with engineeringpractice the book may be used by the Master degree students inhe disciplines related to mechanical engineering as well as thefirst volume of the book can be used by the undergraduates as atextbook. Besides, the book can be used also by engineers or researchers as a reference book.“研究生用书”总序研究生教材建设是提高研究生教学质量的重要环节,是具有战略性的基本建设。各门课程必须有高质量的教材,才能使学生通过学习掌握各门学科的坚实的基础理论和系统的专门知识,为从事科学研究工作或独立担负专门技术工作打下良好的基础我校各专业自1978年招收研究生以来,组织了一批学术水平较高,教学经验丰富的教师,先后编写了公共课、学位课所需的多种教材和教学用书。有的教材和教学用书已正式出版发行,更多则采用讲义的形式还年印发。这些讲义经过任课教师多年教学实践,不断修改、补充、完善,已达到出书的要求。因此,我校决定出版“研究生用书”,以满足本校各专业研究生教学需要,并与校外单位交流,征求有关专家学者和读者的意见,以促进我校研究生教材建设工作,提高教学质量。“研究生用书”以公共课和若干门学位课教材为主还有教学参考书和学术专著,涉及的面较广,数量较多,准备在今后数年内分批出版。编写“研究生用书”总的要求是从研究生的教学需要出发,根据各门课程在教学过程中的地位和作用,在内容上求新、求深、求精,每本教材均应包括本门课程的基本内容,使学生能掌握必需的基础理论和专门知识;学位课教材还应接触该学科的发展前沿,反映国内外的最新研究成果,以适应目前科学技术知识更新很快的形势;学术专著则应充分反映作者的科研硕果和学术水平,阐述自己的学术见解。在结构和阐述方法上,应条理清楚,论证严谨,文字简炼,符合人们的认识规律。总之,要力求使“研究生用书”具有科学性、系统性和先进性。我们的主观愿望虽然希望“研究生用书”的质量尽可能高一些,但由于研究生的培养工作为时尚短,水平和经验都不够,其中缺点、错误在所难免,尚望校内外专家学者及读者不吝指教,我们将非常感谢。华中理工大学研究生院院长黄树槐1989.11本书是为华中狸工大学顾士研究生的学位课程“机械扳动所编写的教材。此课裎旨在鄣助研究生掌握机械振动的基础理论、基本测试、建模技能与分析计算方法,培养他们对机械系统和工程结构进行振动分析与控制、有效地处理机械工程中各种振动问题的能力为实現上述目的,本书力图在“少而精”的前提下覆盖机械工程类的碩士研究生在他们未来的工作中为处狸种种动态分析与振动控制问题,可能需要的基础理论、基本知识以及常用的方法和技巧。我们试图突破现有机械振动方面的书藉或教材的一般体系,而将现代振动工程中有关振动系统的分析、测试、建樸与对策方面的知识组织成为一个有机的整体,供研究生学位课程教学之用。本书以机械类工科专业本科的课程(理论力学、材杵力学、高等数学和工程数学)作为起点,在取材与编排上有以下特点:突出联系工程实际的观点,在遵循振动学科的基本体系、讲清振动科学的基础理论的同时,注意阐述有类理论、知识和方法的工程背景与实际意义;注意反映由于电子计算机在振动分析中的广泛深入的应用而发展起来的一些新的方法与技巧在适应于教材的容蚤与深度的范围内,本书还介绍了作者近年来在金属切削机床自激振动的非线性理论及其在缀监控技术方面的主要研究成果,作为工程实际中的动问题的分析与处理之例全书分上下两册,上册(基础篇)包抬单自由度与多自由度系统振动的基础知识,随机激励下的扳动,振动系统的测试、铧识与建模,振动的抑制与振动的利用;下册〔深化篇)包括分析力学基础,多自由度系统振动分祈的常用方法,连续系統与非线性系统的振动,工程中的自激振动以及振动问题分析求解的计算方法在叙述方法上我们尽力注意突出重点,讲清难点,分清层次,以利教学!特别是注意以启发诱导的方式,激发研究生的学习兴趣,引导他们去钻砑与理解。在每幸之末灼附有若干思考题》,这些思考題“貌似简单”,其实并不容易,它们有助于都助学习者澄清模糊概念,并激发学习兴趣。在书末附有各章思考题的答案,但我们希望读者在经过认真思考以后,再去查阅答案。各幸之后还附有若干习题,供读者选作。按照我们的教学经验,如果讲授得法,而且研究生们能努力学习,积极配合,那么80学时已足够讲授本书的基本内容,课内外学时之比约为1:2。如果研究生们在本科期间已修有关振动方面的课程,则可略去第一篇,而由第二篇开始讲授,大约40~60学时已能讲完。本书第一篇(笫一至笫七章)还可作为机械类专业大学本科生的必修戌选修课教材,约需40~60个课堂学时。本书除作为教材之外,还可供从亨机搋产品与机械设备的振动测试、分析、押制或利用等方面工作的广大工程技术人员作为技术参考书。谌刚与吴雅参与了这门课程的教学实践与大纲制订,并分别捉供了第三、四、六、七、九幸与第一、二章的初搞,全书由师汉民编写与修改、定稿。谌刚与吴雅负贡盤理、校核全书的文字、公式与插图。伍良生校阅了部分章节,并提出了宝贵建议。周辉、张保国与刘国祥为塔写书稿付出了辛的劳动。杨叔子教授对于这门课程的开设与教材编写给与了热情的支2·持和关怀。枉润生为本课程的实验开设作出了贡献。邓星钟、卢文祥等同志郗为此課程教学活动的正常进行付出了劳动。限于编者的水平,书中定有许多不恰当甚至错误之处,切望读者批评指正。编者1990年11月28日3目录绪论(1)第一篇基础篇●·鲁鲁命◆·鲁●第一章单自由度线性系统的自由振动…(9)§1.1振动系统的简化及其模型……………………(91.2单自由度线性系统的运动微分方程…(22)§1.3无阻尼系统的自由振动……………………(27)§1.4有阻尼系统的自由振动………………6(42)第二章单白由度线性系统的强迫振动………………(56)s2.1谐波激励下的强迫振动………………………(56)S22周期激励下的强迫振动, Fourier级数法……(74)S2.3非周期激励下的强迫振动, Fourier变换法(85)s24非周期激励下的强迫振动脉冲响应函数法…(92)§25冲击与系统的冲击响应…(104)第三章两自由度系统的振动…(113)§31两自由度振动系统的运动微分方程…………(113S3.2无阻尼系统的自由振动,自然模态………………(116§3.3坐标变换与坐标耦合………………(123)§34自然坐标……………………………………(126)§3.5拍击现象…(129)§36两自由度系统在谐波激励下的强追振动…自备口▲▲自自鲁晶自目●(133)第四章多自由度系统振动的基本知识…………………(142)§4.1广义坐标(143)§4.2线性系统的运动方程及其矩阵表达式………………(144§43线性变换与坐标棵合(152)§4.4无阻尼自由振动特征值向题…(154)§45模态向量的正交性与展开定理160)4.6系统对初始激励的响应…(165)s47影响系数,系统机械能与互易定理……………………·(169§4.8系统矩阵、动力矩阵(176)§4.9有阻尼多自由度系统的自由振动…(179)s4.10多自由度系统的一般响应……………………(183)§4.11多自由度振动系统的几种特殊情况………………………(188)第五章随机激励下的振动…(205)§5.1引言●●鲁●幽L自。◆·申费●鼻……………·(205)§5.2随机过程的基本概念……………………………(207)§5.3线性系统对于平稳随机过程的响应(228)§5.4随机过程的联合性质………………………(236)§5.5多自由度系统对于随机激励的响应…………………(243)§5.6窄带随机过程分析………………………………(256)第六章振动系统的测试辨识与建模(271)S6.1振动测试传感器■血■●·自命鲁■■自着鲁自▲吾鲁DD命甲舀省聊即晕●聊鲁看看■■·■■(272)§6.2激振器……………………(283)§6.3振动测试系统命昏●看◆血鲁··。。●■●Da(286)§6.4模态参数识别…………………"(293)§6.5物理参数识别与修改…………………………………(305)第七章振动的抑制与利用(317)§7.1抑制振源…………………………………………(317)§7.2隔振………………………(331)§7.3减振…·(338)S7、4振动的主动控制…………………………(353)s7.5振动的利用…………………(358)思考题参考答案………………(368)2
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