[TOC]
Overview
\[z = f(x) + n, \quad n \sim \mathcal{N}(0, \Sigma), \quad z \sim \mathcal{N}(f(x), \Sigma)\] \[P(z \mid x) = \mathcal{N}(z; f(x), \Sigma) = \eta \exp \left(-\frac{1}{2}(z-f(x))^{T} {\Sigma}^{-1}(z-f(x))\right)\]EKF
true state
\[\begin{aligned} x_k &= f(x_{k-1}, w_{k-1}) \\ z_k &= h(x_k, v_k) \end{aligned}\]norminal state
\[\begin{aligned} \bar{x}_k &= f(\hat{x}_{k-1}, 0) \\ \bar{z}_k &= h(\bar{x}, 0) \end{aligned}\]true state linearization
\[\begin{aligned} x_k &\approx \bar{x}_k + A(x_{k-1} - \hat{x}_{k-1}) + W w_{k-1} \\ z_k &\approx \bar{z}_k + H(x_k - \bar{x}_k) + V v_k \end{aligned}\]prediction error & measurement residual
\[\begin{aligned} e_x &\equiv x_k - \bar{x}_k \approx A(x_{k-1} - \hat{x}_{k-1}) + W w_{k-1} \\ e_z &\equiv z_k - \bar{z}_k \approx H e_x + V v_k \end{aligned}\]jacobian
\[A = \frac{\partial f}{\partial x}, \quad W = \frac{\partial f}{\partial w}\] \[H = \frac{\partial h}{\partial x}, \quad V = \frac{\partial h}{\partial v}\]covariance
\[w \sim \mathcal{N}(0, Q), \quad v \sim \mathcal{N}(0, R)\] \[e_x \sim \mathcal{N}(0, P) \rightarrow x \sim \mathcal{N}(\bar{x}, P), \quad e_z \sim \mathcal{N}(0, S)\] \[P = \texttt{cov}(e_x) = E(e_x e_x^T), \quad S = \texttt{cov}(e_z) = E(e_z e_z^T)\]Prediction
state prediction (w/o noise)
\[\hat{x}_k^- = f(\hat{x}_{k-1}, 0)\](error state) covariance
\[\text{cov}(x_k - \hat{x}_k^-) = P_k^- = A_k P_{k-1} A_k^T + W_k Q_{k-1} W_k^T\]Update
Kalman gain
\[K_k = P_k^- H_k^T S^{-1}, \quad S = H_k P_k^- H_k^T + V_k R_k V_k^T\]state update
\[\hat{x}_k = \hat{x}_k^- + K_k (z_k - h(\hat{x}_k^-, 0))\]covariance update
\[\text{cov}(x_k - \hat{x}_k) = P_k = (I - K_k H_k) P_k^-\]MSCKF
Prediction
state prediction (state prior)
\[PVQ\]propagate error cov P
continuous-time to discret-time,离散时间 状态转移矩阵和噪声协方差矩阵 比较准确,例如
\[F = \exp(A \Delta t) \approx I + A \Delta t + \frac{1}{2} (A \Delta t)^2 + \frac{1}{6} (A \Delta t)^3\]误差状态的概率分布
\[\delta x \sim \mathcal{N}(\hat{\delta x}, P) , \quad n \sim \mathcal{N}(0, Q)\]误差协方差传播(整个系统过程)
\[\delta x_{i+1} = F \delta x_i + G n , \quad P = F P F^T + G Q G^T\]Update (ESKF)
\[\delta x \sim \mathcal{N}(\hat{\delta x}, P)\] \[z = h(x) + v \approx h(x_0) + H \delta x + v, \quad v \sim \mathcal{N}(0, R)\]predicted residual (innovation)
\[r = z - h(x_0) = H \delta x + v\]then, the covariance of innovation
\[cov(r, r) = E(rr^T) = E(H \delta x \delta x^T H^T + vv^T) = HPH^T + R\]update state and covariance
\[x = K r\] \[P = (I-KH)P\]MAP (VINS-Mono)
Prediction
state prediction (state prior)
\[PVQ\]pre-integration (propagate error cov P & state)
continuous-time to discret-time
\[F = \exp(A \Delta t) \approx I + A \Delta t\]误差状态的概率分布
\[\delta x \sim \mathcal{N}(0, P) , \quad n \sim \mathcal{N}(0, Q)\]误差状态(状态预积分)和协方差传播(图像k时刻初始,图像k~图像k+1)
\[\delta x_{i+1} = F \delta x_i + G n , \quad P = F P F^T + G Q G^T\]Update (MAP)
Jacobian & information matrix in MAP
\[J = \frac{\partial r}{\partial \delta x}\]IMU
协方差矩阵(信息矩阵的逆)
\[\text{cov}(\delta x_k) = P\]Cam
协方差矩阵(信息矩阵的逆)
\[\text{cov}(r_k) = \Sigma_{\pi}\]update state
\[x = x + \delta x\]QA
Jacobi when Linear and Nonlinear
欧式空间的非线性方程
\[h(x) \approx h(x_0) + H \Delta x, \quad \left. H = \frac{\partial h(x)}{\partial x} \right|_{x = x_0}\]当 $h(x)$ 线性时
\[h(x) = Hx\]Jacobi w.r.t Error or True State
\[f(x_0 \oplus \Delta x) = F(\Delta x)\] \[f(x_0 \oplus \Delta x) \approx f(x_0) + \left. \frac{\partial f(x_0 \oplus \Delta x)}{\partial x} \right|_{x=x_0} \Delta x\] \[F(\Delta x) \approx F(0) + \left. \frac{\partial F(\Delta x)}{\partial \Delta x} \right|_{\Delta x = 0} \Delta x = f(x_0) + \left. \frac{\partial f(x_0 \oplus \Delta x)}{\partial \Delta x} \right|_{\Delta x = 0} \Delta x\]当x在欧式空间时,上式等价。
- ref: https://zhuanlan.zhihu.com/p/75714471
Jacobi in EKF & MAP
优化变量 是 什么状态,对应的 雅克比 即是 对什么状态 求导
EKF
w.r.t true state | w.r.t error state | |
---|---|---|
measurement function | $h(x)$ | $h(\Delta x)$ |
Jacobi | $\frac{\partial h(x)}{\partial x}$ | $\frac{\partial h(x)}{\partial \Delta x}$ |
init state | $x = x_0$ | ${\Delta x}=0$ |
update | $x \oplus \Delta x, \Delta x = Kr$ | $\Delta x = Kr$ |
MAP
w.r.t true-state | w.r.t error-state | |
---|---|---|
cost function | $f(x)$ | $f(\Delta x)$ |
Jacobi | $\frac{\partial f(x)}{\partial x}$ | $\frac{\partial f(x)}{\partial \Delta x}$ |
init state | $x = x_0$ | ${\Delta x}=0$ |
iteration update | $x \oplus \delta x$ | $\Delta x \oplus \delta \Delta x$ |
PREVIOUS基于RGBD相机的多模态结构特征融合定位 (Draft)
NEXTTSDF Overview