ESTIMATION OF TRAFFIC VARIABLES USING A LINEAR

MODEL OF TRAFFIC FLOW

DIPANKAR
GHOSH and C. H. KNAPP
Departmentof Electrical Engineering andComputer Science, Universityof Connecticut, Storm, CT 06268,U.S.A.

(Received 16 September WI; in revised form 5 May 1978)

Ahstraet-Estimation of traffic velocity and the number of vehicles on adjacent sections of a limitedaccess
highway is examined. The method evaluatedis based upon applicationof Kalman Filtering Methodsto a linear
state variablemodel of traffic Bow. The estimatorutilizes velocity and Row measurements at selectedpointsalong
the highway. The flow measurement is a nonlinear function of the state variables and necessitates linearixstion
about the one step ahead prediction of the state (extended KalmanFilter) or about nominal values of the state
variables.It is shown that performanceusingLincoln Tunneldata is comparablein either case to thatof methods
previously reportedand provides a substantialsavings in storagerequirements.Also demonstrated is the fact that
flow at an internal measurement point may be deleted from the observationvector without a seriouseffect on
performance.This would arise, for example,if control of traffic were to be exercised at such a point.

1. lNTROOUCTION individual cars making this method of questionable utility

Increased dollar cost and environmental cost of new
highways, improvements of alternate means of ground
transport, and the projection of a stable population are
among the factors which have stimulated efforts to im-
prove the efficiency of existing traffic facilities. In order
to approach maximum efficiency, traffic in such facilities
must be controlled with the same sophistication as used
in the automatic operations of aircraft, manufacturing
processes and other complex physical systems.
The specific problem which motivates the research
described herein is the design of traffic responsive
controls which maintain desirable traffic conditions on
limited access roads by adjustment of flow at input
ramps and at selected points along the roadway. Such a
system is frequently modelled by stochastic linear
difference equations so that the problem can be
separated into two parts. This paper concentrates on one
portion of the problem which is to estimate from sensor
data the traffic information needed for control system
operation. The second problem is to design traffic
responsive control strategies. A linear regulation scheme
which has been developed and simulated is reported by
Ghosh (1976).
The estimation strategy developed here uses a model
and measurements based on traffic data collected from
the Lincoln Tunnel. This data was obtained during
experiments (Gazis and Foote, 1%9) designed to improve
traffic movement in the tunnel by proper regulation of
the input flow. The control algorithm used in these
experiments required accurate measurement of traffic
densities. Although these measurements were successfully
obtained by correlating the patterns of lengths of a se-
quence of vehicles over successive points of detection, the
procedure suffered from two drawbacks. Fist of all, it
required rather accurate measurements of vehicle lengths
and a substantial amount of data storage and processing.
Second, it presumed relatively few changes of lane by
for expressways or bridges. In order to develop a prac-
tical means for estimating vehicle counts, Gazis and
Knapp (1971) and Knapp (1973) proposed a method
which utilizes the time series of speed and flow data
from each detector. Periodically an estimate of vehicle
travel time is obtained from the time series of speeds. A
crude estimate of the vehicle count is then determined
from the inventory of car arrivals at the entrance of the
section and the travel time estimate, These crude esti-
mates are then sequentially filtered using Kalman filter-
ing techniques to insure the compatibility of successive
counts with flow data. This approach has proved quite
successful but requires substantial data storage since it is
necessary to retain velocity and flow observations from
each detector over a time interval equal to the largest
reasonable travel time to the next detector.
The method proposed and evaluated here is based
upon a straightforward application of Kalman filtering
methods to a linear state model of trafficflow (see for
example Sage and Melsa, 1971). The only storage
required between observation times is the value of the
previous state estimate. Thus storage is minimal and the
algorithm is obtained in a very direct fashion. The key,
of course, is to have a reasonably good model for traffic
flow. Section 2 describes the state equation model of
traffic flow used in this study. A completedevelopment
and discussion of this model is presented by Foote and
Crowley (1%7). Section 3 presents the results of estima-
tion of traffic conditions obtained using the Lincoln
Tunnel data. Three different cases are considered. The
first two cases assume that the control is to be exerted
only at the entrance of the tunnel whereasthe third case
presumes that control is also exercised inside the tunnel.
Performance of the estimatpr in all three cases is shown
to be comparable to that reported by Gazis and Knapp
(1971) or Knapp (1973). Conclusions and discussion of
the impact of the results are given in Section 4.

395
3% D. GHOSH
and C. H. KNAPP

2.STATEEQUATIONMODEL x = ~YIY*Y3u,u2u3u41=. (2.2)

Parameters of the traffic flow model used in this study
have been determined using data collected from the
Lincoln Tunnel experiments. Referring to Fig. 1, sensors
were placed at each end and at two locations inside the
tunnel to measure flow and the velocity of each vehicle
passing over the sensors. These detection points divide
the tunnel into three sections. The data consists of
observations of average traffic velocity and vehicle flow
at each of the four detector points, updated at a regular
interval of five seconds for a total period of 75 min.
The average velocity at each sensor was computed
using the relation
VII = UU,_l t(1 -a)&
where urn is the latest speed measurement, un-, the
previous average, and u,, the new average. The constant
The dynamic equations for the vehicle count in the
tunnel sections can be written as
Yi(k+l)=yi(k)+qi(k)-qi+l(k), i= 1,2,3.
The velocities Ui(k + 1) are assumed to be arbitrary
linear combinations of previous velocities u i-l(k), s(k),
ui+l(k), previous vehicle counts y+,(k), y*(k) and an
error term wi(k). The various coefficients in these linear
relations may then be adjusted to minimize the mean
squared values of the errors w,(k).The results obtained
by Ghosh (1976) yield the state model
(2.1)
x(k t 1) = Ax(k)
t c(k)t w(k) (2.3a)
where w(k) is assumed to be a white noise process,

I 0 0 0 0 0 0
0 1 0 0 0 0 0
0
I
A= ’ 0 I 0 0 0
0.009 0 0 0.931 0.006 0 0
-0.092 -0.032 0 -0.001 0.961 -0.006 0
0 -0.092 -0.032 0 -0.001 -0.961 0.006
0 0 -0.013 0 0 -0.024 0.945

“a” is typically 0.7 to insure that about five previous and

speed measurements make a significant contribution to
cW = [q,(k) - qz(k). q*(k)- q,(k), q3(k)
the current average. The correct number of vehicles
contained in each of the three tunnel sections was -44(k), 0, 0.0, or . (2.3~)
determined by the sequences of vehicle lengths at input
and output detection points. This number was used to Estimates of the mean and covariance of w(k) obtained
determine the accuracy of estimates obtained from flow using (2.3) with actual data are
and velocity measurements only.
The following nomenclature is used to describe the E(w(k))
= [O,O,
0,2.04,4,26,4.26,3.411=
traffic variables and parameters (Fig. I). Li is the length
of ith section of tunnel in feet; Ui is the average velocity and
of traffic stream at the ith measurement point in ftlsec
(i = 1,2,3,4); yi is the total number of vehicles in the ith V, = E[w(&)w(k)=]
= Diag [O.OS,O.OS,
0.05,2,6,6,41.
section (i= 1,2,3) and q1 is the number of vehicles
passing through the ith point during a sampling interval. Insofar as the estimation problem is concerned, the
(i = 1,2,3,4). above state equation model will be sufficient. At each
Since the rate of flow of traffic at an observation point interval the c vector is updated usingthe measurements of
is the product of traffic density and velocity, and since flow.
traffic density is closely related to the number of vehicles
in the tunnel section, the velocities at the four detection 3.EYl'IMATION
OFTRAFFlCCONDITIONS
points and the number of vehicles in the three tunnel The most convenient method of controlling traffic on a
sections are assumed adequate to characterize this roadway is to adjust traffic flow at selected points along
system if distances L, are not excessive. Therefore, the the roadway. In the case of a tunnel, one would probably
state vector x is assumed to be seek to control flow only at the tunnel entrance. There-

s[;~7~f’t
Fig. I. Three section representationof Lincoln Tunnel.
 Estimation of traffic variables using a linear model of traffic flow
fore, the flow rate q, will be considered as a control
variable while remaining flow rates can be used as
observation variables.
Observations q2, q3 and q4 must be expressed in terms
of the elements of the state vector. Considering the
analogy between fluid flow and traffic flow, the traffic
flow rate can be expressed as the product of the traffic
flow velocity and traffic density pi. Thus qi is given
approximately by
qi = T*pi_,* +fii, i=2,3,4.
Using time interval T = 5 set, and average density
y~_JLi_l, the above becomes
q,(k) = 5* Yi-l(k)*
2Li_1 (c(k) + ui-l(k))+&(k),
where &(k) is an error due to the approximations in-
volved in (3.1).
Since these flow observations are nonlinear in the state
variables, the Extended Kalman Filter approach has
been used to provide state estimates with the results
described under the heading Case A. The paper also
considers an alternate approach which is based on
linearization of the flow-rate equations around nominal
values of traffic velocities and section densities rather
than their estimates. This approach is reported as Case
B. Finally it has been shown by Ghosh (1976) that if
control is applied only at the tunnel entrance the solution
of the optimal control problem. with reasonable control
levels leads to a system which is barely stable. By
exerting control at point three inside the tunnel,
however, the system stability can be substantially im-
proved. Therefore, it is of interest to examine the quality
of the estimates which result if flow information q3 is
excluded from the observation vector. The details are
described under the heading Case C of this section.
Case A
The observation model can be written as
z(k) = h(x(k)) + n(k)
where
s(k) + ni(k), i = I, 2,3,4
a(k) =
qi-s(k)(eqn3.l),i=5,6,7.
Thus
s(k)=xi+spi= 1,2,3,4
hi(k)= [Sxi_d(xi +xi_1)/2Li-4, i =5,6,7.
Noise ni(k), i = 5,6,7 is the approximation error, C-,(k),
of eqn (3.1). Instrumentation error in measuring qi(k) is
insignificant compared to the modelling error Z;(k). n(k)
is assumed to be zero mean white, noise with covariance
matrix
V,=Diag[0.1,0.1,0.1,0.1,1,1,1].
397
These figures are based on experience with (3.1) using
actual data and on typical velocity measurement errors.
Since the observation vector is nonlinear in x(k) an
Extended Kalman Filter algorithm is used to estimate the
states. This algorithm is obtained by assuming that
i(klk - l), the estimate of x(k) using measurements z(l)
through z(k - I), is close to x(k). Nonlinearities in the
message and observation models are then expanded in a
Taylor series about x(k) = %(k(k - I). The result, upon
dropping higher order terms in the series, is a set of
equations linear in x(k). (In the present case the message
model (2.3) is already linear in x(k).) Details of this
procedure are given in the appendix which summarizes
the algorithm used.
In order to initiate the algorithm the mean and covari-
ante of the initial state vector has been assumed to be
respectively
(3.1)
U,=(o) = [IS, 15,15,30,30,30,30]
and
VJo) = Diag [225,225,225,!WO,9OO,!MO,9001.
The mean is based on tunnel traffic data; the diagonal
elements of V=(o) are reasonable upper bounds on the
actual variances.
Since velocity measurements are directly available
with small error, one anticipates that velocity estimates
will be superior to vehicle count estimates. This is indeed
borne out by results (not shown) in which velocity esti-
mates converge within several iterations to values very
near the actual measurements. In fact for estimation
purposes the velocities may be assumed to be given by
the measurements without error. The estimator yielding
the vehicle counts yr(k), i = 1,2,3, may then be some-
what simplified (see Sage and Melsa, 1971). Detailed
results of velocity estimates are given by Ghosh (1976).
Figures 2-4 illustrate time history of exact and esti-
mated vehicle counts for the first 40 min in each of the
three tunnel sections. Averages and standard deviations
of velocity and vehicle count errors (obtained by time
averaging) are summarized in Table I.
(3.2a) Observe that the estimates of vehicle counts y, and y3
converge approximately to the actual number of vehicles
in about 3 min. However, the estimate of vehicles in
Section 2 needs at least 7 min to approach the actual
(3.3a) number of vehicles. These larger errors in the estimates
in Section 2 for the first 7 min make an appreciable
contribution to the calculated variance of the error e2 =
y2- y2. If the first 7 min are omitted in the variance
calculation the standard deviation of e2 lowers to about
(3.3b) 1.7. The much lower values of the vehicle estimates
during the first 7 min can be attributed to the fact that the
value of fifteen chosen for the initial estimate of y2 is
much lower than the actual number during the first few
intervals.
The error between y2 and j$ is not more than one
vehicle in most of the intervals after 7 min. However,
during the period between the 25th min and 32nd min, j2
falls below the actual number of vehicles y2 by as much
 D. GHOSH and C. H. KNAPP

1
-

36 Section I - Exact count

.“.’ Estimate of count
I---

L , I I I 1 I I I I 1 , I 1

3 6 9 12 15 IS 21 24 27 30 33 36 s 42
Time, min.
Fig. 2. Time history of actual and estimated vehicle counts, Section I.

Section 2 - Exact count

. Estimate of cwnt

0 I I I I I I I I I I I I I

3 6 9 12 I5 16 21 24 27 30 33 36 39 42
Time, min
Fig. 3. Time history of actual and estimated vehicle counts, Section 2.

Section 3 -Exact munt

48 -
“.“’ Estiwof
camt

36-

3 6 12 15 I6 21 r% 27 30 33 36 39 42
Time,
Fig. 4. Time history of actual and estimated vehicle counts, Section 3.
 Estimation of trafficvariables usinga linear model of traffic flow 399

Table 1. Estimation error analysis

stirnation

I I 7
-

as six vehicles. This drop in the estimate j$ develops
after a large peak in vehicle count and suggests two
possible corrective procedures. The first is motivated by
observing that the average velocity given by eqn (2.1) is
excellent in smoothing the speed measurements of in-
dividual vehicles, but suffers from one drawback. When
few vehicles pass over the sensor for a considerable time
interval during heavy traffic congestion, the average
speed given by eqn (2.1) may drop much more slowly
than the actual velocity of the traffic stream. One ap-
densities. In order to examine this approach, the
nominal density p* has been assumed to be 0.01 car/ft
for each section, and the nominal velocities II:, u:, u?
and ut have been taken as 35, SO, 35 and 35 ftlsec
respectively. Expanding the equation for q2, i.e. eqn
(3.1), in a Taylor series around the nominal values pt, u:
and u: and neglecting terms higher than first order, we
obtain
u:-+u:p,_p$*u:tu:
1
* u1+u2
PI *2+----’
+&

q2=5
proach to alleviate this problem is to assume that when [ 2 2

1tti,
vehicle counts exceed a certain threshold, velocity
should be decreased exponentially for time intervals in = 5 0.01 .?+42Sp,-0.01x42.5
which no vehicles pass over the detectors. A second
approach to improve performance is based on the possi- =0.025u,t0.025u~+0.16y,-2.1+R~. (3.4a)
bility that the model used may be too crude for large
deviations from the norm. This can be remedied by Similarly
making the detectors closer so that approximations
particularly in eqn (3.1), are better. Alternately, the 4, = 0.025~2+ 0.025~3 + O.O78y,-2.1 t Ax (3.4b)
region between the detectors can be broken into smaller
sections, thereby increasing the number of state vari- and
ables. Whether the added dimensionality or instrumen-
tation is worth the resulting dividends depends on how q, = 0.025~3 + 0.025~4 + O.O6y,
- 1.8+ n’d. (3.4c)
sensitive the control strategy is to errors in vehicle
counts. Therefore the observation model can be written as
The average and variance of the errors between x and
estimate i are also given in Table 1 for the last 40 min, a z(k)= Hx(k)+d+n(k) (3.5)
period which avoids the problem interval just prior to the
32nd min. where

Case B 000 100 0

It has been shown in Case A that the Kalman Filter 000 0 10 0
algorithm can be applied to estimate the traffic velocities 000 0 0 10
and section densities when the observation model is H=O 0 0 0. 0 0 1
linearized about the estimate t(klk - 1). An alternative is 0.1 0 0. 0.025 0.025 0 0
to linearize the observation equation for traffic flow 0 0.078 0 0 0.025 0.025 0
around nominal values of traffic velocities and section 0 0 0.06 0 0 0.025 0.025
400 D. GHOSHand C. H.
and
d=[O,O,O,O,-2.1,-2.1,-1.8]=.
The discrete Kalman Filter algorithm is again readily
applied to estimate the state vector, i.e. the velocities at
the four points and the number of vehicles in the three
sections of the tunnel, using as measurements the velo-
cities at the four points 1,2,3 and 4 and the traffic flow at
points 2, 3 and 4.
The average and variance of the error between the
actual state vector and the estimated state vector have
been computed by time averaging over all 890 intervals
and also over the last 490 intervals; these values are
shown in Table I. The differences between results for
Cases A and B are relatively minor.
Case C
In this case it is assumed that the traffic flow q3 is used
as a control variable rather than an observation variable.
Therefore, the observation vector is reduced to
z = [U,. Ut, u3, u4, qz, @I=. (3.6)
Using the linearized expression for q2 and q4 given by
eqn (3.4) we obtain the linearized observation model
(3.5) where the observation matrix H and the constant
vector d are given by
H-i., ;;_,;.025 ;.025E.,;*02j,
d=[O,O,O,O,-2.1,-1.8]*.
The noise vector, n(k), has been taken to be zero mean
and white, with covariance matrix
V.=Diag[0.1,0.1,0.1,0.1,1,1]
Table 2. Comparison of errors in estimating vehicle
Gasis L Knapp (1971)
KNAPP
as is consistent with Cases A and B. Application of the
Discrete Kalman Filter Algorithm to estimate the state
vector from the measurements (3.6) yielded the results
displayed in Table 1. It is interesting to note that omis-
sion of q3 from the observation vector, improves the
vehicle count estimates in Section 2 relative to the esti-
mates obtained in Case B which includes q3 in the
observation vector. It was previously suggested that a
large deviation from normal traffic flow in Section 2
during the period between the 25th and 32nd min causes
the approximation for q3 in eqn (3.1) to be very poor
during that time period. Therefore, inclusion of in-
formation contained in q3 in the observation model
actually deteriorates the estimate of y2. It may be
observed, however, that the average of the errors et =
(yr -jr) and e2 = (y2 - j$) increase slightly when q3 is
omitted.
Results reported by Gazis and Knapp (1971) and
Knapp (1973)indicate performance comparable to that in
Table 1. A summary of the comparison between vehicle
count estimation is tabulated in Table 2. Further trials of
this approach indicate that if sufficient time is allowed
for the initial error to smooth out, the results are as good
as those reported previously.
In order to compare data storage requirements with
previous methods, assume l/2 mile intervals between
measurement points with a maximum travel time of
2 min over this distance. Using a 5 set data interval, this
means that about 50 velocity and flow measurements
must be stored for each measurement point in order to
apply the estimation procedure of Gazis and Knapp
(1971). For the 14 mile Lincoln Tunnel 200 words of
storage are required compared with 35 words of storage
(7 states and 28 covariance terms) using the procedure
proposed here. If a reduced order estimator is used to
give only vehicle count estimates, this requirement drops
from 35 words to 9 words. The covariance terms can
usually be fixed (as in Case B) so that these constants
may be stored in a read-only memory.
The approach of this paper is consequently attractive
since data storage is minimal, the algorithm is more
straightforward than has been previously proposed, and
cOUnt
Knaw (lY73) Results p-esented in
this paper.
 Estimation of trafficvariables using a linear modelof traffic flow 401

performance appears adequate for control purposes. The state equation

primary disadvantage is that coefficients in the model
(eqn. 2.3) may have to be determined for a particular x(k + I) = Ax(k) + c(k) + Gw(k) (al)
roadway before the algorithm can provide the desired
accuracy. where x(k) is the state vector, e.g. (2.2), c(k) is a known
input and w(k) is noise representing modelling errors and
5. SUMMARY actual disturbances to trafhc flow. Let the traffic
This paper has shown that Kalman Filter techniques measurements be defined by
can be effectively applied for estimation of traffic vari-
ables using a relatively simple model for traffic flow. z(k) = H(k)x(k) t d(k)t n(k) (A2)
Performance using real traffic data collected from the
Lincoln Tunnel is impressive and comparable to that of where n(k) is measurement error and d(k) a known bias
more elaborate estimators previously reported. or known function of k. Noise processes w(k), n(k) are
Vehicle count estimates can be improved by dividing assumed to be uncorrelated white noise processes which
the highway into smaller sections at the cost of increas- are also uncorrelated with the initial state x(o). The mean
ing the order of the system and the estimator. Thus a and covariance of n(k), w(k), x(o) are assumed to be
compromise has to be made between estimation ac- known and given by
curacy and estimator complexity. In the case of the
Lincoln Tunnel, reasonable results have been obtained E[n(k)l = m.(k), E[w(k)l = m,(k), E[x(o)l= m,(o)
by dividing the tunnel into l/2 mile sections.
Coo[n(k)l = ENn(k) - m,(kW(k) - m.(k))‘1 = V,(k)
It has been shown that the Kalman Filter Algorithm
worked equally well when the nonlinear observation 643)
eqns (3.1) are linearized around nominal values of state Cou[w(k)] = V,(k), Cou[x(o)] = VJo).
variables or around the one-stage-predicted values for the
state vector. The performance of the estimator did not Under these assumptions the linear minimum variance
deteriorate much when the middle flow rate measure- estimate of x(k) based on measurements
ment q3 was excluded from the observation vector. z(l), z(2), . . ., z(k) is generated by the Kalman Filter (see
The objective of controlling the traffic flow is to Sage and Melsa, IWi):
restore and maintain desired nominal conditions. This
objective can be mathematically expressed as minimiza- i(k t I) = f(k t Ilk) + K(k + I)[z(k + I) --d(k + 1)
tion of a certain quadratic cost functional. The linear
-H(k + I)f(k + Ilk)]
state variable model and linearized observation model
together with this quadratic performance criterion define f(k t I/k) = Ai + c(k)
a regulator problem having a known feedback solution in K(k t I) = v.(k t llk)H’-(k + Wf(k t I ) Ve(k + l/k)
which the (linear minimum variance) state estimates as
obtained in this paper are supplied to a linear controller xH=(k + 1) t V.(k t I)]-’
obtained by solving the corresponding deterministic V.(k t l/k)= AV.(k)AT + GV,(k)GT
control problem. Thus the estimator developed in this V,(k + 1) = II- K(k + l)H=(k + l)]V.(k t l/k). (A4)
paper can be used in conjunction with such a controller to
maintain efficient traffic movement.
In (A4), i(k) is the estimate of x(k) given z(l), . . ., z(k),
REFFSRENCES i(k/k - I) is the estimate of x(k) given z(l), . . ., z(k - I),
Foote R. S. and Crowley K. W. (1%7) Developingdensity V.(k) is the covariance of x(k) -i(k), V&/k - 1) is the
controls for improvedtraffic operations. HighwayRes. Record covariance of x(k)-f(k/k - I). (A4) is initialized by
154,24-37. T(o) = m=(o), VJo) = V=(o). If matrix A depends upon
Gazis D. C. and Foote R. S. (l%9) Surveillanceand control of
k, replace A by A(k) in (A4). Given f(o), V,.(o), (A4) is
tunnel traffic by an on-line digital computer.TranspnSci. 3,
255-275. solved with k = o yielding f(l), V,(l). The procedure is
Gazis D. C. and Knapp C. H. (1971) On-line estimationof traffic then repeated for k = 1,2,. . ., as each new measurement
densitiesfrom time-seriesof flow and speeddata.Transpn Sci. is made.
5, 283-302.
The state model used in this study is defined by eqn
Ghosh D. (1976) Modelling estimation and controlof vehicular
traffic flow with application to Lincoln Tunnel.hf. S. Thesis, (2.3a)-(2.3c). Matrix G is the identity matrix in this case.
Department of Electrical Engineering, Universityof Connec- Vector c(k) defined by eqn (2.3~) is, in terms of the x, z
ticut, Storrs, Conn. notation,
Knapp C. H. (1973) Traffic estimation and densityestimationfor
singleand multilane traffic. Trnnspn Sci. 7,75-834.
Sage A. P. and Melsa J. L. (1971) Estimation Theory with e(k) = [q,(k) - z,(k), ~0) - z#)r z*(k)
Applications to Communications and Contml. McGraw-Hill, - zdk), 0, 0, 0,Ol’.
New York.
q,(k), the input flow, was also measured in these studies.
APPgNDIxI It was not included in the measurement vector z since in
Summary of estimator equations control applications it would be a control variable rather
Suppose the traffic process is governed by the linear than a stage variable.
402 D. CHOW and C. H. KNAPP

The observation equation specified by eqns (3.1H3.3)

is nonlinear. Thus some approximation must be made to H(k)=$%(k/k-I)= (A3
employ (A4). In cases B and C of the paper, nonlinear
functions hi(x(k)) are linearized as in eqns (3.4) to yield
the linear approximation (3.5) which is identical to (A2).
In the present case H(k) is a 7 X7 matrix with all
Since linearization is about a constant nominal value of
elements zero except:
x, matrix H is constant.
In Case A, the functions h,(x(k)) are linearized about
H,,=Hu=H36= a,=1
i(k/k - I). The result is the so called extended Kalman
Filter. That is, if
H% = & (&(k/k - 1) + &(k/k - I), H5. = H,,
I
= $a li,(k/k - 1)
hi(x(k)) z hi(x(k/k - 1)) +$$(i(k/k - 1)). 1

(x(k)-f(k/k- l)), i= I,2 ,..., 7, (AS) HSZ= &(&(k/k - 1) + i&/k - N, Ha = Hw

c
= &a i,(k/k - 1)
then (3.2) becomes identical to (A2) where 2

d(k) = hU(k/k - 1) - H(kM(k/k - l), (A@ H?3= & (&(k/k - 1) + &(k/k - I)), Se = z-h
= &. &(k/k - 1).
and