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Kalman Filter
State-space formulation
Kalman filtering algorithm
Examples of Kalman filtering
Scalar random variable estimation
Position estimation
System Identification
System tracking.
Dept. of Telecomm. Eng.
Faculty of EEE
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References
[1] Simon Haykin, Adaptive Filter Theory, Prentice Hall,
1996 (3rd Ed.), 2001 (4th Ed.)..
[2] Steven M. Kay, Fundamentals of Statistical Signal Processing:
Estimation Theory, Prentice Hall, 1993.
[3] Alan V. Oppenheim, Ronald W. Schafer, Discrete-Time Signal
Processing, Prentice Hall, 1989.
[4] Athanasios Papoulis, Probability, Random Variables, and
Stochastic Processes, McGraw-Hill, 1991 (3rd Ed.), 2001 (4th Ed.).
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E v1 ( n ) v1 ( k ) =
0, n k
E v 2 (n) v 2H (k ) = 2
0, n k
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Chapter 8:
Adaptive Filter
Method of Steepest Descent.
Least-Mean-Square Algorithm.
Examples of Adaptive Filtering:
Adaptive Equalization and
Adaptive Beamforming.
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Rw opt = p
[
]
p = E [u(n)d (n)] C
R = E u(n)u H (n) C M M , R = R H
*
Cost function:
J (w ) = E e(n)e* (n) = d2 w H p p H w + w H Rw
MMSE:
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J (w (n) )
w * (n)
J (w (n) )
= p + Rw (n)
*
w (n)
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max
2
2
=
trace(R ) Mr (0)
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2
2
=
=
trace(R ) Mr (0)
M 1
E u (n k )
k =0
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2
2
]
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2 av
M k =1
Thus smaller values of the stepsize parameter, , result
in longer convergence times.
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J ( n ) = E e( n )
]= J
min
+ J ex (n)
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