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Kalman Filter

Recursive linear state estimator that minimizes estimation error variance in Gaussian-noise systems without storing the full measurement history.

Category
Abstraction level
Sensor fusion (IMU + GPS + LiDAR)Robot localization (SLAM)Tracking objects in robotics and autonomous systemsFault detection (residual generation)State prediction for MPCInertial navigation (INS)Biomedical signal filtering

Predict: x̂⁻ = F·x̂ + B·u; P⁻ = F·P·Fᵀ + Q. Update: K = P⁻·Hᵀ·(H·P⁻·Hᵀ + R)⁻¹; x̂ = x̂⁻ + K·(z - H·x̂⁻); P = (I - K·H)·P⁻. The residual (innovation) z - H·x̂⁻ serves as a signal for fault detection and isolation (FDI).

How to optimally estimate the state of a dynamic system from noisy measurements, without storing the full data history and under limited computational resources.

01

Prediction Step

Computes the a priori state estimate before a new measurement is incorporated.

Propagation of state and covariance through the dynamics model (matrices F, B, Q).

02

Update Step (Correction)

Update step: refines the state estimate upon receiving a new measurement.

Update of the estimate using the new measurement z (matrices H, R), computation of Kalman gain K.

03

Residual (Innovation)

Diagnostic signal for fault detection and estimation quality assessment.

Difference between predicted and actual measurement: ν = z - H·x̂⁻. Foundation of FDI.

Common pitfalls

Incorrect Q and R Tuning
HIGH

Poorly tuned Q (process) and R (measurement) covariances lead to filter divergence or overly slow updates.

Offline tuning on historical data, adaptive filters (autocovariance least squares — ALS).

EKF Linearization Errors Under Strong Nonlinearities
MEDIUM

EKF loses optimality and may diverge for strongly nonlinear models.

Use UKF or a Particle Filter for strongly nonlinear systems.

1960

Kálmán's original paper published

breakthrough

R. E. Kálmán publishes "A New Approach to Linear Filtering and Prediction Problems" in ASME Journal of Basic Engineering.

1961

Kálmán–Bucy – continuous-time

Extension to continuous time (Kálmán–Bucy Filter).

1968

Apollo navigation — first application

breakthrough

KF applied in the Apollo mission navigation computer — the first large-scale industrial implementation.

1987

Extended Kalman Filter widely adopted in robotics

EKF becomes the standard in robotic navigation and SLAM after popularisation by Smith, Self & Cheeseman.

2000

Unscented Kalman Filter

breakthrough

Julier & Uhlmann propose the UKF — a better nonlinearity approximation via sigma points than EKF linearisation.

CPU AVXPRIMARY

KF runs on RT CPU in most embedded and robotic systems.

FPGAGOOD

FPGAs used for very short cycles (e.g. IMU at 10 kHz) with deterministic latency.

Hardware agnosticGOOD

Algorithm is hardware-agnostic — a deterministic scheduler is the key requirement.

Commonly used with

FDI

Fault Detection and Isolation (FDI), also called Fault Detection and Diagnosis (FDD), is a discipline of control engineering concerned with automatic detection, isolation, and characterisation of faults in dynamic systems. FDI comprises three phases: (1) detection — determining that a fault has occurred (by residual threshold crossing); (2) isolation — identifying the fault location (which sensor/actuator/component); (3) identification — characterising the fault (type, magnitude, time profile). Model-based methods include state observers (Luenberger, KF), parity equations, observer banks, Dedicated Observer Scheme (DOS), and Generalised Observer Scheme (GOS). Data-driven methods use ML classifiers (SVM, neural networks, autoencoders) trained on fault data. FDI is a prerequisite for Active FTC — without reliable diagnosis, controller reconfiguration cannot happen in time. Key FDI metrics: False Alarm Rate (FAR), Missed Detection Rate (MDR), detection time T_d, and isolation time T_i. Standards: IEC 61511 (SIS), ISO 13849 (machinery), DO-178C (aviation).

GO TO CONCEPT
MPC

Model Predictive Control (MPC), also called Receding Horizon Control, is a control paradigm introduced in industrial form in the late 1970s–1980s (IDCOM 1978, DMC 1980). At each controller step an optimization is solved: minimise a cost function (state/output trajectory deviations from reference plus input cost) over a prediction horizon N, subject to state and input constraints. Only the first step of the optimal sequence is applied to the plant; at the next step the horizon shifts by one and the optimisation repeats. MPC handles constraints natively (actuator saturation, safe state ranges), making it especially useful in robotics (manipulators, biped locomotion, drones, autonomous vehicles). In FTC, after fault identification the MPC internal model is updated to the faulty-plant model and the constraints are updated to the healthy actuator limits. Key variants: Linear MPC (convex QP, guaranteed convergence), Nonlinear MPC (NMPC, NLP, higher compute cost), Stochastic MPC, Robust MPC (explicit uncertainty modelling), Learning-based MPC (data-driven models). Tools: ACADO, CasADi, do-mpc, Acados, OSQP.

GO TO CONCEPT
FTC

Fault-Tolerant Control (FTC) is a branch of control theory concerned with systems capable of preserving stability and acceptable control performance in the presence of faults. It is divided into two main classes: Passive FTC (PFTC), where the controller is designed to be robust against a predefined fault set without explicitly detecting it, and Active FTC (AFTC), where a Fault Detection and Diagnosis (FDD) module detects and isolates the fault and a reconfiguration mechanism then alters the controller structure or parameters. In robotics, FTC is applied to redundant manipulators, multirotor drones, humanoid robots, and autonomous vehicles — anywhere a single actuator or sensor failure must not result in loss of control. Typical methods include Control Allocation with redistribution onto healthy actuators, Multiple Model Adaptive Control, Sliding Mode Control, and Model Predictive Control with an updated faulty-plant model. FTC is tightly coupled with FDI (Fault Detection and Isolation) — without reliable diagnosis, the controller cannot be reconfigured in time. Key performance metrics include detection time, reconfiguration time, the bound on performance degradation, and the share of faults the system can handle. Standards such as ISO 26262 (automotive), DO-178C/DO-254 (aviation), and IEC 61508 (industry) mandate the use of FTC techniques in safety-critical applications.

GO TO CONCEPT
A New Approach to Linear Filtering and Prediction Problems

R. E. Kálmán, 1960. Original paper.

scientific articleASME Journal of Basic Engineering
Probabilistic Robotics (Thrun, Burgard, Fox)

Standard robotics textbook — chapter covering KF, EKF, UKF, and Particle Filter.

documentationMIT Press