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Robot Mapping KF, EKF and UKF

! Kalman filter requires linear models

! EKF linearizes via Taylor expansion
Unscented Kalman Filter
Is there a better way to linearize?

Cyrill Stachniss Unscented Transform

Unscented Kalman Filter (UKF)

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Taylor Approximation (EKF) Unscented Transform

Linearization of the non-linear Compute a set of (so-called)

function through Taylor expansion sigma points

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Unscented Transform Unscented Transform

Transform each sigma point Compute Gaussian from the

through the non-linear function transformed and weighted points

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Unscented Transform Overview Sigma Points

! Compute a set of sigma points ! How to choose the sigma points?
! Each sigma points has a weight ! How to set the weights?
! Transform the point through the non-
linear function
! Compute a Gaussian from weighted

! Avoids to linearize around the

mean as the EKF does
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Sigma Points Properties Sigma Points
! How to choose the sigma points? ! Choosing the sigma points
! How to set the weights?
! Select so that:

First sigma point is the mean

! There is no unique solution for

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Sigma Points Matrix Square Root

! Choosing the sigma points ! Defined as
! Computed via diagonalization

matrix square column vectors


dimensionality scaling parameter

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Matrix Square Root Cholesky Matrix Square Root
! Thus, we can define ! Alternative definition of the matrix
square root

! Result of the Cholesky decomposition

! Numerically stable solution
! so that
! Often used in UKF implementations
! L and have the same Eigenvectors

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Sigma Points and Eigenvectors Sigma Points Example

! Sigma point can but do not have to
lie on the main axes of

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Sigma Point Weights Recover the Gaussian
! Weight sigma points ! Compute Gaussian from weighted and
transformed points
for computing parameters
the mean

for computing the covariance

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Example Examples

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Unscented Transform Summary UT Parameters
! Sigma points ! Free parameters as there is no unique
! Scales Unscented Transform uses

Influence how far the

! Weights sigma points are
away from the mean

Optimal choice for

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Examples Examples

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EKF Algorithm EKF to UKF Prediction

replace this by sigma point

propagation of the motion

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UKF Algorithm Prediction EKF to UKF Correction


replace this by sigma point

propagation of the motion

use sigma point propagation for the

expected observation and Kalman gain

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UKF Algorithm Correction (1) UKF Algorithm Correction (1)

(from EKF)
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UKF Algorithm Correction (2) UKF Algorithm Correction (2)

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From EKF to UKF Computing UKF vs. EKF
the Covariance

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UKF vs. EKF (Small Covariance) UKF vs. EKF Banana Shape

EKF approximation

UKF approximation

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UKF vs. EKF UT/UKF Summary
! Unscented transforms as an
alternative to linearization
! UT is a better approximation than
Taylor expansion
! UT uses sigma point propagation
! Free parameters in UT
! UKF uses the UT in the prediction and
correction step

Courtesy: E.A. Wan and R. van der Merwe 37 38

UKF vs. EKF Literature

! Same results as EKF for linear models Unscented Transform and UKF
! Better approximation than EKF for ! Thrun et al.: Probabilistic Robotics,
non-linear models Chapter 3.4
! Differences often somewhat small ! A New Extension of the Kalman Filter
! No Jacobians needed for the UKF to Nonlinear Systems by Julier and
! Same complexity class Uhlmann, 1995
! Dynamische Zustandsschtzung by
! Slightly slower than the EKF
Frnken, 2006, pages 31-34
! Still requires Gaussian distributions

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